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, 2014 – June 30, 2014 | ||
Item 1: Reports to Shareholders |
Semiannual Report | June 30, 2014
Vanguard 500 Index Fund
![](https://capedge.com/proxy/N-CSRS/0000932471-14-006700/index500_q40x1x2.jpg)
Vanguard’s Principles for Investing Success
We want to give you the best chance of investment success. These principles,
grounded in Vanguard’s research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds.
Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
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. | 30 |
Trustees Approve Advisory Arrangement. | 32 |
Glossary. | 33 |
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: The ship’s wheel represents leadership and guidance, essential qualities in navigating difficult seas.
This one is a replica based on an 18th-century British vessel. The HMSVanguard, another ship of that era, served as the
flagship for British Admiral Horatio Nelson when he defeated a French fleet at the Battle of the Nile.
Your Fund’s Total Returns
Six Months Ended June 30, 2014 | |
Total | |
Returns | |
Vanguard 500 Index Fund | |
Investor Shares | 7.05% |
Admiral™ Shares | 7.11 |
Signal® Shares | 7.11 |
ETF Shares | |
Market Price | 7.09 |
Net Asset Value | 7.11 |
S&P 500 Index | 7.14 |
Large-Cap Core Funds Average | 6.36 |
Large-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
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. Nos. 6,879,964; 7,337,138; 7,720,749; 7,925,573; 8,090,646; and 8,417,623.
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, 2013, Through June 30, 2014
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard 500 Index Fund | ||||
Investor Shares | $170.36 | $180.83 | $1.496 | $0.000 |
Admiral Shares | 170.36 | 180.83 | 1.600 | 0.000 |
Signal Shares | 140.72 | 149.37 | 1.320 | 0.000 |
ETF Shares | 169.07 | 179.46 | 1.588 | 0.000 |
1
![](https://capedge.com/proxy/N-CSRS/0000932471-14-006700/index500_q40x4x1.jpg)
Chairman’s Letter
Dear Shareholder,
U.S. stocks overcame a rough start to finish the half year near record highs. Investors looked beyond obvious challenges—such as the U.S. economy’s contraction in the first quarter, rising oil prices, and the World Bank’s reduced estimate for 2014 global growth. Instead, they focused on positives that included lower U.S. unemployment and strong corporate earnings.
Vanguard 500 Index Fund returned about 7%, closely tracking its target index, the Standard & Poor’s 500 Index. The fund exceeded the average return of its large-capitalization core fund peers.
All ten industry sectors advanced, with information technology, health care, and energy stocks contributing most.
The merger of Vanguard Tax-Managed Growth and Income Fund into the 500 Index Fund was completed on May 16. As I mentioned in my last letter to you, this merger was designed to simplify our fund lineup. The two funds shared many common traits—identical risks, similar investment strategies, and the same benchmark, the Standard & Poor’s 500 Index.
As a result of the merger, shareholders who previously owned the Tax-Managed Growth and Income Fund will save on investment costs, since the 500 Index Fund has a lower expense ratio.
2
After starting the half year slowly, stocks pushed higher
Although U.S. stocks began the period with a January decline, they went on to advance in each of the next five months. For the half year, the broad U.S. stock market returned about 7% as the global economy continued to recover, albeit unevenly, and corporate earnings remained solid. Stocks were notably resilient, surging ahead after dips caused by turmoil in Iraq and conflict in Ukraine.
Citing the U.S. economy’s progress, the Federal Reserve has steadily trimmed its stimulative monthly bond-buying since January. At the same time, investors have been reassured by the Fed’s decision to keep interest rates low for an extended period.
International stocks overall returned about 6%. Emerging markets stocks, which have rebounded sharply in recent months, were the top performers, followed by stocks of developed markets in Europe and then those in the Asia-Pacific region.
The period was strong for bonds as yields dropped and prices rose
Bond prices spent most of the six months regaining the ground they lost in 2013. Over the period, the broad U.S. taxable bond market returned 3.93%. The yield of the benchmark 10-year Treasury note ended June at 2.54%, down from almost 3% on December 31. (Bond prices and yields move in opposite directions.)
Market Barometer | |||
Total Returns | |||
Periods Ended June 30, 2014 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 7.27% | 25.35% | 19.25% |
Russell 2000 Index (Small-caps) | 3.19 | 23.64 | 20.21 |
Russell 3000 Index (Broad U.S. market) | 6.94 | 25.22 | 19.33 |
FTSE All-World ex US Index (International) | 5.75 | 21.93 | 11.40 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | 3.93% | 4.37% | 4.85% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 6.00 | 6.14 | 5.81 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.00 | 0.04 | 0.07 |
CPI | |||
Consumer Price Index | 2.27% | 2.07% | 2.02% |
3
Municipal bonds returned 6.00% amid support from the broad bond market rally, investors’ greater appetite for tax-exempt income, and a decline in the pool of new issues.
International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned 5.59%.
In June, the European Central Bank made the unprecedented move of lowering a key interest rate below zero, to –0.10%, in an effort to avert deflation and induce banks to lend and thus fuel economic growth.
Although the period was strong worldwide for bonds, it’s worth remembering that the current low yields imply lower future returns: As yields drop, the scope for further declines—and increases in prices—diminishes.
Returns remained tiny for money market funds and savings accounts because of the Fed’s target of 0%–0.25% for short-term interest rates.
Technology and health care helped drive the fund’s returns
Vanguard 500 Index Fund—the industry’s first index fund for individual investors—invests in 500 of the largest U.S. companies, which span many different industries and account for about three-fourths of the U.S. stock market’s value.
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% |
six months ended June 30, 2014, 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, a Thomson Reuters Company,
and captures information through year-end 2013.
Peer group: Large-Cap Core Funds.
4
As I mentioned earlier, technology, health care, and energy stocks were among the index’s top performers for the half year.
Stocks in the information technology sector, the fund’s largest, contributed most to returns. Some of the nation’s largest hardware, software, and internet companies thrived during the period. Global demand for smartphones and internet-related products and services has translated to revenue and profits for companies with the resources and business plans to execute both at home and abroad. The sector also got a boost from the continued growth of cloud-based computing.
Health care stocks were the second-largest contributors to performance. As a whole, health care companies benefited as investor concerns about the Affordable Care Act began to ease. Pharmaceutical firms posted strong results amid enthusiasm over promising drug pipelines.
The energy sector was also a strong one for the fund. Oil and gas producers benefited from geopolitical tensions in the Middle East, demand for natural gas during the severe U.S. winter, and growing reliance on oil in the developing world. Rising natural gas prices also contributed to the small utilities sector, which had the fund’s highest return (about 19%).
The consumer discretionary sector was the index’s weakest performer, posting a return of less than 1 percent. Retailers struggled during the period, while media companies, hotels, and restaurants fared better.
Don’t let complacency set your portfolio adrift
At Vanguard, we often warn investors against letting their emotions become entangled with their investments. When the financial markets are in turmoil, for example, we’ll caution investors not to let fear lead to rash decisions. But complacency can also stand in the way of achieving financial goals. And lately, conditions may have been leading investors to feel a little too comfortable.
Volatility, a hallmark of stock investing, seems to have vanished for the moment, and returns have been robust. In the more than five years since its March 2009 bottom, the broad U.S. stock market, as measured by the Russell 3000 Index, has produced average annual returns of about 26%. That’s more than double the market’s historical average annual return. And in recent weeks, several indexes have reached all-time highs.
5
The investment winds don’t always blow so favorably, of course. While the smooth sailing lasts, however, it creates risks of its own: In such a calm climate, it can be easy to lose sight of fundamentals, especially the importance of rebalancing. Without rebalancing—periodically adjusting your asset allocation so that it stays in line with your goals and risk tolerance—you can end up with a portfolio that’s very different from, and potentially riskier than, the one you intended to have.
Whether the market’s moving up, down, or sideways, we always encourage our clients to stay focused on four keys to Vanguard’s timeless principles for investment success: goals, balance, cost, and discipline. (You can read more about our principles in Vanguard’s Principles for Investment Success, available at vanguard.com/research.)
As always, thank you for investing with Vanguard.
Sincerely,
![](https://capedge.com/proxy/N-CSRS/0000932471-14-006700/index500_q40x8x1.jpg)
F. William McNabb III
Chairman and Chief Executive Officer
July 11, 2014
6
500 Index Fund
Fund Profile
As of June 30, 2014
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 | 1.64% | 1.76% | 1.76% | 1.76% |
Portfolio Characteristics | |||
DJ | |||
U.S. | |||
Total | |||
Market | |||
S&P 500 | FA | ||
Fund | Index | Index | |
Number of Stocks | 504 | 501 | 3,730 |
Median Market Cap | $68.2B | $68.8B | $45.5B |
Price/Earnings Ratio | 19.1x | 19.1x | 20.7x |
Price/Book Ratio | 2.7x | 2.7x | 2.7x |
Return on Equity | 18.9% | 18.7% | 17.4% |
Earnings Growth | |||
Rate | 14.2% | 14.3% | 14.4% |
Dividend Yield | 2.0% | 2.0% | 1.8% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 3% | — | — |
Short-Term Reserves | 0.1% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
U.S. Total | |||
S&P 500 | Market | ||
Fund | Index FA Index | ||
Consumer Discretionary 11.8% | 11.8% | 12.6% | |
Consumer Staples | 9.5 | 9.5 | 8.2 |
Energy | 10.9 | 10.9 | 10.0 |
Financials | 16.1 | 16.1 | 17.3 |
Health Care | 13.3 | 13.3 | 13.0 |
Industrials | 10.5 | 10.5 | 11.5 |
Information Technology | 18.8 | 18.8 | 18.1 |
Materials | 3.5 | 3.5 | 3.9 |
Telecommunication | |||
Services | 2.4 | 2.4 | 2.2 |
Utilities | 3.2 | 3.2 | 3.2 |
Volatility Measures | ||
DJ | ||
U.S. Total | ||
S&P 500 | Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.99 |
Beta | 1.00 | 0.95 |
These measures show the degree and timing of the fund’s | ||
fluctuations compared with the indexes over 36 months. |
Ten Largest Holdings (% of total net assets) | ||
Apple Inc. | Computer Hardware | 3.2% |
Exxon Mobil Corp. | Integrated Oil & Gas | 2.5 |
Google Inc. | Internet Software & | |
Services | 1.9 | |
Microsoft Corp. | Systems Software | 1.8 |
Johnson & Johnson | Pharmaceuticals | 1.7 |
General Electric Co. | Industrial | |
Conglomerates | 1.5 | |
Wells Fargo & Co. | Diversified Banks | 1.4 |
Chevron Corp. | Integrated Oil & Gas | 1.4 |
Berkshire Hathaway Inc. Multisector Holdings | 1.3 | |
JPMorgan Chase & Co. | Diversified Banks | 1.2 |
Top Ten | 17.9% | |
The holdings listed exclude any temporary cash investments and equity index products. | ||
1 The expense ratios shown are from the prospectus dated April 28, 2014, and represent estimated costs for the current fiscal year. For the six
months ended June 30, 2014, the fund’s annualized expense ratios were 0.17% for Investor Shares, 0.05% for Admiral Shares, 0.05% for Signal
Shares, and 0.05% for ETF Shares.
7
500 Index Fund
![](https://capedge.com/proxy/N-CSRS/0000932471-14-006700/index500_q40x10x1.jpg)
8
500 Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): December 31, 2003, Through June 30, 2014
![](https://capedge.com/proxy/N-CSRS/0000932471-14-006700/index500_q40x11x1.jpg)
Average Annual Total Returns: Periods Ended June 30, 2014 | ||||
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 8/31/1976 | 24.39% | 18.67% | 7.66% |
Admiral Shares | 11/13/2000 | 24.55 | 18.81 | 7.77 |
Signal Shares | 9/29/2006 | 24.55 | 18.81 | 7.361 |
ETF Shares | 9/7/2010 | |||
Market Price | 24.55 | — | 19.071 | |
Net Asset Value | 24.56 | — | 19.071 | |
1 Return since inception. |
See Financial Highlights for dividend and capital gains information.
9
500 Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2014
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.7%)1 | |||
Consumer Discretionary (11.8%) | |||
Walt Disney Co. | 16,570,400 | 1,420,746 | |
Comcast Corp. Class A | 25,409,240 | 1,363,968 | |
* | Amazon.com Inc. | 3,834,863 | 1,245,487 |
Home Depot Inc. | 14,074,959 | 1,139,509 | |
McDonald’s Corp. | 10,169,337 | 1,024,459 | |
Ford Motor Co. | 40,683,314 | 701,380 | |
Twenty-First Century | |||
Fox Inc. Class A | 19,698,490 | 692,402 | |
* | Priceline Group Inc. | 539,479 | 648,993 |
Time Warner Inc. | 9,075,203 | 637,533 | |
Starbucks Corp. | 7,745,129 | 599,318 | |
NIKE Inc. Class B | 7,588,967 | 588,524 | |
Lowe’s Cos. Inc. | 10,260,168 | 492,385 | |
General Motors Co. | 13,529,967 | 491,138 | |
Time Warner Cable Inc. | 2,866,624 | 422,254 | |
* | DIRECTV | 4,820,617 | 409,801 |
TJX Cos. Inc. | 7,204,891 | 382,940 | |
Target Corp. | 6,517,732 | 377,703 | |
Yum! Brands Inc. | 4,541,112 | 368,738 | |
Viacom Inc. Class B | 4,024,019 | 349,003 | |
Johnson Controls Inc. | 6,833,187 | 341,181 | |
CBS Corp. Class B | 5,437,195 | 337,867 | |
* | Netflix Inc. | 616,795 | 271,760 |
VF Corp. | 3,541,683 | 223,126 | |
Macy’s Inc. | 3,708,125 | 215,145 | |
Delphi Automotive plc | 2,842,902 | 195,421 | |
* | Chipotle Mexican | ||
Grill Inc. Class A | 319,804 | 189,487 | |
Omnicom Group Inc. | 2,658,976 | 189,372 | |
* | AutoZone Inc. | 341,825 | 183,300 |
* | Dollar General Corp. | 3,120,537 | 178,994 |
Wynn Resorts Ltd. | 833,448 | 172,990 | |
Carnival Corp. | 4,511,915 | 169,874 | |
* | Discovery | ||
Communications Inc. | |||
Class A | 2,243,314 | 166,633 | |
* | O’Reilly Automotive Inc. | 1,091,435 | 164,370 |
* | Michael Kors | ||
Holdings Ltd. | 1,849,702 | 163,976 |
Market | |||
Value | |||
Shares | ($000) | ||
Starwood Hotels & | |||
Resorts Worldwide Inc. | 1,975,442 | 159,655 | |
Harley-Davidson Inc. | 2,246,518 | 156,919 | |
BorgWarner Inc. | 2,352,221 | 153,341 | |
L Brands Inc. | 2,523,147 | 148,008 | |
Marriott International Inc. | 2,258,991 | 144,801 | |
Ross Stores Inc. | 2,185,325 | 144,516 | |
Genuine Parts Co. | 1,580,413 | 138,760 | |
Mattel Inc. | 3,490,372 | 136,020 | |
* | TripAdvisor Inc. | 1,144,819 | 124,396 |
* | Bed Bath & Beyond Inc. | 2,098,875 | 120,433 |
* | CarMax Inc. | 2,267,835 | 117,950 |
* | Dollar Tree Inc. | 2,127,747 | 115,877 |
Tiffany & Co. | 1,141,891 | 114,475 | |
Whirlpool Corp. | 799,895 | 111,361 | |
Gap Inc. | 2,675,118 | 111,205 | |
Kohl’s Corp. | 2,004,744 | 105,610 | |
Wyndham Worldwide | |||
Corp. | 1,309,708 | 99,171 | |
* | Under Armour Inc. | ||
Class A | 1,666,526 | 99,142 | |
PVH Corp. | 846,581 | 98,711 | |
Nordstrom Inc. | 1,446,196 | 98,240 | |
Ralph Lauren Corp. | |||
Class A | 602,454 | 96,808 | |
Coach Inc. | 2,820,732 | 96,441 | |
H&R Block Inc. | 2,821,288 | 94,570 | |
* | News Corp. Class A | 5,123,300 | 91,912 |
Scripps Networks | |||
Interactive Inc. Class A | 1,102,780 | 89,480 | |
Newell Rubbermaid Inc. | 2,846,714 | 88,220 | |
Best Buy Co. Inc. | 2,835,103 | 87,917 | |
* | Mohawk Industries Inc. | 629,453 | 87,079 |
Tractor Supply Co. | 1,424,828 | 86,060 | |
Interpublic Group | |||
of Cos. Inc. | 4,358,772 | 85,040 | |
Expedia Inc. | 1,055,323 | 83,117 | |
Goodyear Tire & | |||
Rubber Co. | 2,839,959 | 78,894 | |
^ | Garmin Ltd. | 1,262,528 | 76,888 |
Lennar Corp. Class A | 1,808,742 | 75,931 |
10
500 Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Harman International | |||
Industries Inc. | 700,734 | 75,280 | |
Gannett Co. Inc. | 2,333,307 | 73,056 | |
DR Horton Inc. | 2,945,073 | 72,390 | |
Staples Inc. | 6,652,598 | 72,114 | |
Comcast Corp. | 1,338,634 | 71,389 | |
PulteGroup Inc. | 3,506,072 | 70,682 | |
Family Dollar Stores Inc. | 983,746 | 65,065 | |
Hasbro Inc. | 1,188,627 | 63,057 | |
Darden Restaurants Inc. | 1,357,678 | 62,820 | |
PetSmart Inc. | 1,020,601 | 61,032 | |
* | Fossil Group Inc. | 490,048 | 51,220 |
Leggett & Platt Inc. | 1,426,632 | 48,905 | |
GameStop Corp. Class A | 1,178,871 | 47,709 | |
Cablevision Systems | |||
Corp. Class A | 2,227,307 | 39,312 | |
* | AutoNation Inc. | 651,076 | 38,856 |
* | Urban Outfitters Inc. | 1,048,801 | 35,512 |
Graham Holdings Co. | |||
Class B | 44,962 | 32,288 | |
21,217,412 | |||
Consumer Staples (9.5%) | |||
Procter & Gamble Co. | 27,840,108 | 2,187,954 | |
Coca-Cola Co. | 38,888,764 | 1,647,328 | |
PepsiCo Inc. | 15,597,790 | 1,393,507 | |
Philip Morris | |||
International Inc. | 16,182,214 | 1,364,323 | |
Wal-Mart Stores Inc. | 16,582,911 | 1,244,879 | |
CVS Caremark Corp. | 12,029,265 | 906,646 | |
Altria Group Inc. | 20,437,518 | 857,150 | |
Walgreen Co. | 9,033,190 | 669,630 | |
Mondelez International | |||
Inc. Class A | 17,402,401 | 654,504 | |
Colgate-Palmolive Co. | 8,946,955 | 610,003 | |
Costco Wholesale Corp. | 4,509,413 | 519,304 | |
Kimberly-Clark Corp. | 3,876,464 | 431,140 | |
Kraft Foods Group Inc. | 6,124,687 | 367,175 | |
General Mills Inc. | 6,322,002 | 332,158 | |
Archer-Daniels- | |||
Midland Co. | 6,733,346 | 297,008 | |
Kroger Co. | 5,242,381 | 259,131 | |
Lorillard Inc. | 3,730,026 | 227,420 | |
Sysco Corp. | 6,014,297 | 225,235 | |
Mead Johnson | |||
Nutrition Co. | 2,079,350 | 193,733 | |
Reynolds American Inc. | 3,201,392 | 193,204 | |
Estee Lauder Cos. Inc. | |||
Class A | 2,599,210 | 193,017 | |
Kellogg Co. | 2,622,656 | 172,309 | |
Keurig Green | |||
Mountain Inc. | 1,305,860 | 162,723 | |
Brown-Forman Corp. | |||
Class B | 1,667,731 | 157,050 | |
* | Constellation Brands Inc. | ||
Class A | 1,736,521 | 153,040 | |
Hershey Co. | 1,534,992 | 149,462 |
Market | |||
Value | |||
Shares | ($000) | ||
Whole Foods Market Inc. | 3,781,601 | 146,083 | |
ConAgra Foods Inc. | 4,333,038 | 128,605 | |
Molson Coors | |||
Brewing Co. Class B | 1,634,802 | 121,237 | |
Clorox Co. | 1,322,922 | 120,915 | |
Dr Pepper Snapple | |||
Group Inc. | 2,020,413 | 118,356 | |
Coca-Cola Enterprises Inc. | 2,405,631 | 114,941 | |
JM Smucker Co. | 1,066,874 | 113,697 | |
Tyson Foods Inc. Class A | 2,832,026 | 106,314 | |
* | Monster Beverage Corp. | 1,392,416 | 98,903 |
McCormick & Co. Inc. | 1,342,928 | 96,140 | |
Campbell Soup Co. | 1,841,014 | 84,337 | |
Safeway Inc. | 2,369,456 | 81,367 | |
Hormel Foods Corp. | 1,385,212 | 68,360 | |
Avon Products Inc. | 4,469,870 | 65,305 | |
17,033,593 | |||
Energy (10.8%) | |||
Exxon Mobil Corp. | 44,182,000 | 4,448,244 | |
Chevron Corp. | 19,585,549 | 2,556,893 | |
Schlumberger Ltd. | 13,397,508 | 1,580,236 | |
ConocoPhillips | 12,631,197 | 1,082,873 | |
Occidental | |||
Petroleum Corp. | 8,082,573 | 829,515 | |
EOG Resources Inc. | 5,622,714 | 657,070 | |
Halliburton Co. | 8,688,704 | 616,985 | |
Anadarko Petroleum | |||
Corp. | 5,196,289 | 568,838 | |
Phillips 66 | 5,821,394 | 468,215 | |
Williams Cos. Inc. | 7,640,241 | 444,739 | |
Apache Corp. | 3,968,127 | 399,273 | |
National Oilwell Varco Inc. | 4,414,346 | 363,521 | |
Pioneer Natural | |||
Resources Co. | 1,471,732 | 338,219 | |
Baker Hughes Inc. | 4,485,508 | 333,946 | |
Devon Energy Corp. | 3,944,870 | 313,223 | |
Spectra Energy Corp. | 6,900,381 | 293,128 | |
Noble Energy Inc. | 3,696,149 | 286,304 | |
Marathon Oil Corp. | 6,955,443 | 277,661 | |
Valero Energy Corp. | 5,490,265 | 275,062 | |
Hess Corp. | 2,715,343 | 268,520 | |
Kinder Morgan Inc. | 6,874,076 | 249,254 | |
Marathon | |||
Petroleum Corp. | 2,969,465 | 231,826 | |
EQT Corp. | 1,561,350 | 166,908 | |
* | Southwestern Energy Co. | 3,632,662 | 165,250 |
Chesapeake Energy Corp. | 5,209,268 | 161,904 | |
Transocean Ltd. | 3,500,923 | 157,647 | |
Range Resources Corp. | 1,735,288 | 150,883 | |
* | FMC Technologies Inc. | 2,419,713 | 147,772 |
Cabot Oil & Gas Corp. | 4,293,170 | 146,569 | |
ONEOK Inc. | 2,138,637 | 145,598 | |
* | Cameron International | ||
Corp. | 2,100,856 | 142,249 | |
Ensco plc Class A | 2,404,621 | 133,625 | |
Helmerich & Payne Inc. | 1,112,711 | 129,197 |
11
500 Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Cimarex Energy Co. | 896,593 | 128,625 | |
Murphy Oil Corp. | 1,735,409 | 115,370 | |
CONSOL Energy Inc. | 2,365,443 | 108,976 | |
Noble Corp. plc | 2,615,763 | 87,785 | |
Nabors Industries Ltd. | 2,693,087 | 79,096 | |
Tesoro Corp. | 1,330,448 | 78,057 | |
Denbury Resources Inc. | 3,618,165 | 66,791 | |
QEP Resources Inc. | 1,852,688 | 63,918 | |
* | Newfield Exploration Co. | 1,402,759 | 62,002 |
Peabody Energy Corp. | 2,791,500 | 45,641 | |
Rowan Cos. plc Class A | 1,279,527 | 40,855 | |
^ | Diamond Offshore | ||
Drilling Inc. | 705,462 | 35,012 | |
19,443,275 | |||
Financials (16.0%) | |||
Wells Fargo & Co. | 49,312,881 | 2,591,885 | |
JPMorgan Chase & Co. | 38,938,736 | 2,243,650 | |
* | Berkshire Hathaway Inc. | ||
Class B | 16,961,340 | 2,146,627 | |
Bank of America Corp. | 108,188,953 | 1,662,864 | |
Citigroup Inc. | 31,254,121 | 1,472,069 | |
American Express Co. | 9,366,643 | 888,613 | |
American International | |||
Group Inc. | 14,883,452 | 812,339 | |
US Bancorp | 18,675,001 | 809,001 | |
Goldman Sachs | |||
Group Inc. | 4,277,945 | 716,299 | |
MetLife Inc. | 11,580,504 | 643,413 | |
Simon Property | |||
Group Inc. | 3,196,086 | 531,445 | |
PNC Financial Services | |||
Group Inc. | 5,495,393 | 489,365 | |
Capital One Financial | |||
Corp. | 5,880,659 | 485,742 | |
Morgan Stanley | 14,399,889 | 465,548 | |
Bank of New York | |||
Mellon Corp. | 11,732,826 | 439,746 | |
Prudential Financial Inc. | 4,753,343 | 421,954 | |
BlackRock Inc. | 1,287,238 | 411,401 | |
American Tower | |||
Corporation | 4,071,678 | 366,370 | |
ACE Ltd. | 3,474,408 | 360,296 | |
Travelers Cos. Inc. | 3,574,823 | 336,284 | |
Charles Schwab Corp. | 12,048,123 | 324,456 | |
State Street Corp. | 4,432,103 | 298,103 | |
Discover Financial | �� | ||
Services | 4,797,168 | 297,328 | |
Marsh & McLennan | |||
Cos. Inc. | 5,654,575 | 293,020 | |
BB&T Corp. | 7,392,351 | 291,480 | |
Aflac Inc. | 4,672,476 | 290,862 | |
Aon plc | 3,050,315 | 274,803 | |
Allstate Corp. | 4,464,904 | 262,179 | |
Public Storage | 1,491,243 | 255,524 | |
Crown Castle | |||
International Corp. | 3,434,259 | 255,028 |
12
Market | |||
Value | |||
Shares | ($000) | ||
Franklin Resources Inc. | 4,133,037 | 239,055 | |
Ameriprise Financial Inc. | 1,953,510 | 234,421 | |
McGraw Hill Financial Inc. | 2,800,522 | 232,527 | |
Chubb Corp. | 2,515,311 | 231,836 | |
CME Group Inc. | 3,247,594 | 230,417 | |
T. Rowe Price Group Inc. | 2,703,184 | 228,176 | |
Intercontinental | |||
Exchange Inc. | 1,184,217 | 223,699 | |
SunTrust Banks Inc. | 5,482,116 | 219,614 | |
Equity Residential | 3,455,555 | 217,700 | |
Prologis Inc. | 5,141,069 | 211,247 | |
^ | Weyerhaeuser Co. | 6,021,435 | 199,249 |
* | Berkshire Hathaway Inc. | ||
Class A | 1,042 | 197,876 | |
Health Care REIT Inc. | 3,142,748 | 196,956 | |
HCP Inc. | 4,714,220 | 195,074 | |
Ventas Inc. | 3,028,323 | 194,116 | |
Vornado Realty Trust | 1,793,225 | 191,391 | |
Fifth Third Bancorp | 8,750,511 | 186,823 | |
Boston Properties Inc. | 1,574,586 | 186,085 | |
AvalonBay | |||
Communities Inc. | 1,253,546 | 178,242 | |
Host Hotels & | |||
Resorts Inc. | 7,787,792 | 171,409 | |
Moody’s Corp. | 1,934,902 | 169,614 | |
Invesco Ltd. | 4,451,592 | 168,048 | |
M&T Bank Corp. | 1,352,873 | 167,824 | |
Hartford Financial | |||
Services Group Inc. | 4,626,757 | 165,684 | |
Regions Financial Corp. | 14,187,201 | 150,668 | |
Northern Trust Corp. | 2,287,058 | 146,852 | |
Progressive Corp. | 5,603,478 | 142,104 | |
Principal Financial | |||
Group Inc. | 2,814,946 | 142,098 | |
Lincoln National Corp. | 2,713,580 | 139,587 | |
Loews Corp. | 3,141,472 | 138,256 | |
KeyCorp | 9,087,647 | 130,226 | |
General Growth | |||
Properties Inc. | 5,364,473 | 126,387 | |
Essex Property Trust Inc. | 643,208 | 118,936 | |
* | Affiliated Managers | ||
Group Inc. | 521,371 | 107,090 | |
Kimco Realty Corp. | 4,224,398 | 97,077 | |
Macerich Co. | 1,447,536 | 96,623 | |
Comerica Inc. | 1,869,173 | 93,758 | |
Unum Group | 2,648,236 | 92,053 | |
* | CBRE Group Inc. Class A | 2,869,556 | 91,941 |
XL Group plc Class A | 2,793,148 | 91,420 | |
* | Genworth Financial Inc. | ||
Class A | 5,106,038 | 88,845 | |
Leucadia National Corp. | 3,261,180 | 85,508 | |
Plum Creek | |||
Timber Co. Inc. | 1,822,081 | 82,176 | |
Huntington | |||
Bancshares Inc. | 8,516,491 | 81,247 | |
Navient Corp. | 4,349,260 | 77,025 |
500 Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Torchmark Corp. | 903,363 | 74,004 | |
Cincinnati Financial Corp. | 1,514,199 | 72,742 | |
* | E*TRADE Financial Corp. | 2,966,983 | 63,078 |
Zions Bancorporation | 1,902,313 | 56,061 | |
Legg Mason Inc. | 1,057,467 | 54,259 | |
Apartment Investment | |||
& Management Co. | |||
Class A | 1,503,190 | 48,508 | |
People’s United | |||
Financial Inc. | 3,191,124 | 48,409 | |
Assurant Inc. | 737,130 | 48,319 | |
Hudson City Bancorp Inc. | 4,895,965 | 48,127 | |
NASDAQ OMX Group Inc. | 1,211,655 | 46,794 | |
28,854,955 | |||
Health Care (13.3%) | |||
Johnson & Johnson | 29,106,997 | 3,045,174 | |
Pfizer Inc. | 65,627,054 | 1,947,811 | |
Merck & Co. Inc. | 30,066,379 | 1,739,340 | |
* | Gilead Sciences Inc. | 15,799,772 | 1,309,959 |
AbbVie Inc. | 16,359,417 | 923,326 | |
Amgen Inc. | 7,788,699 | 921,948 | |
Bristol-Myers Squibb Co. | 17,049,914 | 827,091 | |
UnitedHealth Group Inc. | 10,081,089 | 824,129 | |
* | Biogen Idec Inc. | 2,440,424 | 769,490 |
* | Celgene Corp. | 8,239,028 | 707,568 |
Medtronic Inc. | 10,278,129 | 655,334 | |
Abbott Laboratories | 15,451,975 | 631,986 | |
Eli Lilly & Co. | 10,135,376 | 630,116 | |
* | Express Scripts | ||
Holding Co. | 7,952,752 | 551,364 | |
Allergan Inc. | 3,061,458 | 518,060 | |
Thermo Fisher | |||
Scientific Inc. | 4,104,627 | 484,346 | |
McKesson Corp. | 2,372,350 | 441,755 | |
* | Actavis plc | 1,905,597 | 425,043 |
Covidien plc | 4,638,187 | 418,272 | |
Baxter International Inc. | 5,582,525 | 403,617 | |
* | Alexion | ||
Pharmaceuticals Inc. | 2,035,023 | 317,972 | |
WellPoint Inc. | 2,877,249 | 309,621 | |
Aetna Inc. | 3,676,997 | 298,131 | |
Stryker Corp. | 3,042,308 | 256,527 | |
Cigna Corp. | 2,763,878 | 254,194 | |
* | Forest Laboratories Inc. | 2,468,154 | 244,347 |
Cardinal Health Inc. | 3,500,105 | 239,967 | |
Becton Dickinson and Co. | 1,987,842 | 235,162 | |
* | Regeneron | ||
Pharmaceuticals Inc. | 819,989 | 231,622 | |
* | Vertex | ||
Pharmaceuticals Inc. | 2,430,072 | 230,079 | |
Humana Inc. | 1,592,568 | 203,403 | |
St. Jude Medical Inc. | 2,924,293 | 202,507 | |
Perrigo Co. plc | 1,376,615 | 200,655 | |
* | Mylan Inc. | 3,845,136 | 198,255 |
Agilent Technologies Inc. | 3,428,755 | 196,948 | |
Zimmer Holdings Inc. | 1,726,516 | 179,316 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Boston Scientific Corp. | 13,608,327 | 173,778 |
AmerisourceBergen | |||
Corp. Class A | 2,323,463 | 168,823 | |
Zoetis Inc. | 5,154,748 | 166,344 | |
* | Intuitive Surgical Inc. | 395,119 | 162,710 |
* | Cerner Corp. | 3,038,234 | 156,712 |
* | DaVita HealthCare | ||
Partners Inc. | 1,829,199 | 132,288 | |
CR Bard Inc. | 784,531 | 112,196 | |
* | CareFusion Corp. | 2,133,554 | 94,623 |
* | Edwards Lifesciences | ||
Corp. | 1,085,305 | 93,163 | |
* | Waters Corp. | 872,365 | 91,110 |
* | Laboratory Corp. of | ||
America Holdings | 872,358 | 89,330 | |
* | Varian Medical | ||
Systems Inc. | 1,069,590 | 88,926 | |
* | Hospira Inc. | 1,719,668 | 88,339 |
Quest Diagnostics Inc. | 1,486,603 | 87,249 | |
DENTSPLY | |||
International Inc. | 1,458,845 | 69,076 | |
PerkinElmer Inc. | 1,164,904 | 54,564 | |
* | Tenet Healthcare Corp. | 1,004,733 | 47,162 |
Patterson Cos. Inc. | 844,761 | 33,377 | |
23,884,205 | |||
Industrials (10.5%) | |||
General Electric Co. | 103,169,971 | 2,711,307 | |
United Technologies | |||
Corp. | 8,677,210 | 1,001,784 | |
Union Pacific Corp. | 9,319,407 | 929,611 | |
3M Co. | 6,394,778 | 915,988 | |
Boeing Co. | 6,902,202 | 878,167 | |
Honeywell | |||
International Inc. | 8,057,160 | 748,913 | |
United Parcel Service Inc. | |||
Class B | 7,251,803 | 744,470 | |
Caterpillar Inc. | 6,422,190 | 697,899 | |
Danaher Corp. | 6,189,565 | 487,304 | |
Emerson Electric Co. | 7,219,918 | 479,114 | |
Lockheed Martin Corp. | 2,742,722 | 440,838 | |
FedEx Corp. | 2,858,041 | 432,650 | |
General Dynamics Corp. | 3,351,173 | 390,579 | |
Eaton Corp. plc | 4,904,639 | 378,540 | |
Precision Castparts Corp. | 1,489,401 | 375,925 | |
Illinois Tool Works Inc. | 3,905,099 | 341,930 | |
Deere & Co. | 3,742,712 | 338,903 | |
Delta Air Lines Inc. | 8,723,831 | 337,787 | |
Norfolk Southern Corp. | 3,185,857 | 328,239 | |
CSX Corp. | 10,333,316 | 318,369 | |
Raytheon Co. | 3,218,710 | 296,926 | |
Cummins Inc. | 1,759,356 | 271,451 | |
Northrop Grumman Corp. | 2,203,015 | 263,547 | |
PACCAR Inc. | 3,649,376 | 229,290 | |
Tyco International Ltd. | 4,745,874 | 216,412 | |
Waste Management Inc. | 4,451,142 | 199,100 | |
Parker Hannifin Corp. | 1,532,340 | 192,661 |
13
500 Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Southwest Airlines Co. | 7,117,746 | 191,183 | |
Rockwell Automation Inc. | 1,424,444 | 178,283 | |
Ingersoll-Rand plc | 2,582,338 | 161,422 | |
WW Grainger Inc. | 626,591 | 159,323 | |
Dover Corp. | 1,712,767 | 155,776 | |
Nielsen NV | 3,118,807 | 150,981 | |
Roper Industries Inc. | 1,026,661 | 149,903 | |
* | Pentair plc | 2,003,093 | 144,463 |
Stanley Black | |||
& Decker Inc. | 1,605,642 | 141,008 | |
Fastenal Co. | 2,809,116 | 139,023 | |
AMETEK Inc. | 2,523,840 | 131,946 | |
Fluor Corp. | 1,637,287 | 125,907 | |
Kansas City Southern | 1,135,094 | 122,034 | |
Textron Inc. | 2,871,744 | 109,959 | |
Rockwell Collins Inc. | 1,394,123 | 108,937 | |
L-3 Communications | |||
Holdings Inc. | 887,293 | 107,141 | |
Flowserve Corp. | 1,413,040 | 105,060 | |
Republic Services Inc. | |||
Class A | 2,749,597 | 104,402 | |
* | Stericycle Inc. | 871,300 | 103,179 |
CH Robinson | |||
Worldwide Inc. | 1,527,206 | 97,421 | |
Pall Corp. | 1,128,503 | 96,363 | |
Equifax Inc. | 1,255,541 | 91,077 | |
Expeditors International | |||
of Washington Inc. | 2,030,537 | 89,669 | |
Masco Corp. | 3,668,311 | 81,437 | |
* | Quanta Services Inc. | 2,241,499 | 77,511 |
Xylem Inc. | 1,891,406 | 73,916 | |
* | Jacobs Engineering | ||
Group Inc. | 1,360,853 | 72,506 | |
Snap-on Inc. | 599,203 | 71,018 | |
Robert Half | |||
International Inc. | 1,414,598 | 67,533 | |
Cintas Corp. | 1,038,815 | 66,006 | |
Joy Global Inc. | 1,027,966 | 63,302 | |
ADT Corp. | 1,792,559 | 62,632 | |
Iron Mountain Inc. | 1,757,696 | 62,310 | |
Pitney Bowes Inc. | 2,084,949 | 57,586 | |
Allegion plc | 923,669 | 52,354 | |
Ryder System Inc. | 547,224 | 48,205 | |
Dun & Bradstreet Corp. | 380,818 | 41,966 | |
18,810,446 | |||
Information Technology (18.8%) | |||
Apple Inc. | 62,032,892 | 5,764,717 | |
Microsoft Corp. | 77,337,357 | 3,224,968 | |
International Business | |||
Machines Corp. | 9,788,558 | 1,774,372 | |
* | Google Inc. Class A | 2,914,582 | 1,704,069 |
* | Google Inc. | 2,914,582 | 1,676,701 |
Intel Corp. | 51,215,979 | 1,582,574 | |
Oracle Corp. | 35,323,297 | 1,431,653 | |
QUALCOMM Inc. | 17,365,519 | 1,375,349 | |
Cisco Systems Inc. | 52,704,063 | 1,309,696 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Facebook Inc. Class A | 17,678,571 | 1,189,591 |
Visa Inc. Class A | 5,171,941 | 1,089,780 | |
MasterCard Inc. Class A | 10,337,827 | 759,520 | |
Hewlett-Packard Co. | 19,252,877 | 648,437 | |
* | eBay Inc. | 11,734,712 | 587,440 |
EMC Corp. | 21,063,836 | 554,821 | |
Texas Instruments Inc. | 11,104,792 | 530,698 | |
Accenture plc Class A | 6,513,225 | 526,529 | |
Automatic Data | |||
Processing Inc. | 4,960,150 | 393,241 | |
* | Micron Technology Inc. | 11,012,717 | 362,869 |
* | Adobe Systems Inc. | 4,762,458 | 344,612 |
* | Yahoo! Inc. | 9,633,381 | 338,421 |
* | salesforce.com inc | 5,811,851 | 337,552 |
* | Cognizant Technology | ||
Solutions Corp. Class A | 6,260,152 | 306,184 | |
Corning Inc. | 13,462,230 | 295,496 | |
Applied Materials Inc. | 12,525,308 | 282,446 | |
TE Connectivity Ltd. | 4,205,160 | 260,047 | |
SanDisk Corp. | 2,327,407 | 243,051 | |
Intuit Inc. | 2,920,811 | 235,213 | |
Broadcom Corp. Class A | 5,717,928 | 212,250 | |
Western Digital Corp. | 2,152,395 | 198,666 | |
Seagate Technology plc | 3,359,644 | 190,895 | |
Avago Technologies Ltd. | |||
Class A | 2,589,834 | 186,649 | |
Analog Devices Inc. | 3,232,114 | 174,760 | |
Symantec Corp. | 7,116,475 | 162,967 | |
Fidelity National | |||
Information | |||
Services Inc. | 2,960,912 | 162,080 | |
* | Alliance Data | ||
Systems Corp. | 557,720 | 156,859 | |
Amphenol Corp. Class A | 1,616,665 | 155,750 | |
Motorola Solutions Inc. | 2,327,766 | 154,959 | |
* | Fiserv Inc. | 2,564,032 | 154,662 |
Xerox Corp. | 11,238,678 | 139,809 | |
Paychex Inc. | 3,330,708 | 138,424 | |
* | Autodesk Inc. | 2,344,402 | 132,177 |
Xilinx Inc. | 2,765,564 | 130,839 | |
NetApp Inc. | 3,408,375 | 124,474 | |
KLA-Tencor Corp. | 1,706,131 | 123,933 | |
* | Juniper Networks Inc. | 4,874,329 | 119,616 |
* | Electronic Arts Inc. | 3,236,212 | 116,083 |
Linear Technology Corp. | 2,433,863 | 114,562 | |
Lam Research Corp. | 1,668,100 | 112,730 | |
Altera Corp. | 3,222,791 | 112,024 | |
* | Akamai Technologies Inc. | 1,831,418 | 111,826 |
* | Red Hat Inc. | 1,948,064 | 107,670 |
NVIDIA Corp. | 5,740,730 | 106,433 | |
* | Citrix Systems Inc. | 1,685,920 | 105,454 |
Microchip Technology Inc. | 2,060,800 | 100,588 | |
Western Union Co. | 5,544,485 | 96,141 | |
CA Inc. | 3,281,100 | 94,299 | |
Computer Sciences Corp. | 1,490,423 | 94,195 | |
* | F5 Networks Inc. | 779,091 | 86,822 |
14
500 Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Harris Corp. | 1,095,723 | 83,001 | |
* | Teradata Corp. | 1,622,416 | 65,221 |
* | VeriSign Inc. | 1,271,177 | 62,046 |
Total System | |||
Services Inc. | 1,708,891 | 53,676 | |
* | First Solar Inc. | 731,408 | 51,974 |
FLIR Systems Inc. | 1,457,109 | 50,605 | |
Jabil Circuit Inc. | 1,903,058 | 39,774 | |
33,714,940 | |||
Materials (3.5%) | |||
Monsanto Co. | 5,392,903 | 672,711 | |
Dow Chemical Co. | 12,387,664 | 637,469 | |
EI du Pont de | |||
Nemours & Co. | 9,448,141 | 618,286 | |
LyondellBasell Industries | |||
NV Class A | 4,285,522 | 418,481 | |
Praxair Inc. | 3,013,815 | 400,355 | |
Freeport-McMoRan | |||
Copper & Gold Inc. | 10,686,754 | 390,067 | |
Ecolab Inc. | 2,779,783 | 309,501 | |
PPG Industries Inc. | 1,422,469 | 298,932 | |
Air Products & | |||
Chemicals Inc. | 2,183,987 | 280,905 | |
International Paper Co. | 4,456,663 | 224,928 | |
Sherwin-Williams Co. | 871,462 | 180,314 | |
Alcoa Inc. | 12,061,046 | 179,589 | |
Mosaic Co. | 3,327,906 | 164,565 | |
Nucor Corp. | 3,276,593 | 161,372 | |
Eastman Chemical Co. | 1,545,682 | 135,015 | |
Newmont Mining Corp. | 5,129,141 | 130,485 | |
CF Industries Holdings Inc. | 535,766 | 128,868 | |
Sigma-Aldrich Corp. | 1,222,591 | 124,069 | |
FMC Corp. | 1,370,124 | 97,539 | |
Ball Corp. | 1,434,253 | 89,899 | |
International Flavors | |||
& Fragrances Inc. | 836,418 | 87,222 | |
Vulcan Materials Co. | 1,345,778 | 85,793 | |
MeadWestvaco Corp. | 1,726,909 | 76,433 | |
Airgas Inc. | 688,011 | 74,931 | |
Sealed Air Corp. | 1,999,462 | 68,322 | |
* | Owens-Illinois Inc. | 1,698,429 | 58,834 |
Allegheny | |||
Technologies Inc. | 1,117,120 | 50,382 | |
Avery Dennison Corp. | 979,473 | 50,198 | |
Bemis Co. Inc. | 1,037,834 | 42,198 | |
^ | United States Steel Corp. | 1,488,821 | 38,769 |
6,276,432 | |||
Telecommunication Services (2.4%) | |||
Verizon | |||
Communications Inc. | 42,605,994 | 2,084,711 | |
AT&T Inc. | 53,396,829 | 1,888,112 | |
CenturyLink Inc. | 5,892,558 | 213,311 | |
^ | Windstream Holdings Inc. | 6,200,584 | 61,758 |
Frontier | |||
Communications Corp. | 10,312,064 | 60,222 | |
4,308,114 |
Market | ||||
Value | ||||
Shares | ($000) | |||
Utilities (3.1%) | ||||
Duke Energy Corp. | 7,276,454 | 539,840 | ||
NextEra Energy Inc. | 4,486,998 | 459,828 | ||
Dominion Resources Inc. | 5,983,918 | 427,970 | ||
Southern Co. | 9,165,171 | 415,915 | ||
Exelon Corp. | 8,835,008 | 322,301 | ||
American Electric | ||||
Power Co. Inc. | 5,021,668 | 280,058 | ||
Sempra Energy | 2,345,684 | 245,617 | ||
PPL Corp. | 6,499,732 | 230,936 | ||
PG&E Corp. | 4,781,780 | 229,621 | ||
Public Service | ||||
Enterprise Group Inc. | 5,205,305 | 212,324 | ||
Edison International | 3,352,129 | 194,792 | ||
Consolidated Edison Inc. | 3,013,513 | 174,000 | ||
Xcel Energy Inc. | 5,164,598 | 166,455 | ||
Northeast Utilities | 3,251,046 | 153,677 | ||
Entergy Corp. | 1,845,600 | 151,505 | ||
FirstEnergy Corp. | 4,320,295 | 150,001 | ||
DTE Energy Co. | 1,821,214 | 141,818 | ||
NRG Energy Inc. | 3,469,862 | 129,079 | ||
NiSource Inc. | 3,239,690 | 127,449 | ||
CenterPoint Energy Inc. | 4,421,567 | 112,927 | ||
Wisconsin Energy Corp. | 2,320,328 | 108,870 | ||
AES Corp. | 6,790,976 | 105,600 | ||
Ameren Corp. | 2,496,336 | 102,050 | ||
CMS Energy Corp. | 2,772,653 | 86,368 | ||
SCANA Corp. | 1,456,827 | 78,392 | ||
Pepco Holdings Inc. | 2,582,663 | 70,972 | ||
AGL Resources Inc. | 1,226,991 | 67,521 | ||
Pinnacle West | ||||
Capital Corp. | 1,135,427 | 65,673 | ||
Integrys Energy | ||||
Group Inc. | 822,765 | 58,523 | ||
TECO Energy Inc. | 2,106,492 | 38,928 | ||
5,649,010 | ||||
Total Common Stocks | ||||
(Cost $97,404,191) | 179,192,382 | |||
Temporary Cash Investments (0.5%)1 | ||||
Money Market Fund (0.5%) | ||||
2,3 | Vanguard Market | |||
Liquidity Fund, | ||||
0.111% | 802,748,693 | 802,749 | ||
Face | ||||
Amount | ||||
($000) | ||||
U.S. Government and Agency Obligations (0.0%) | ||||
4,5 | Fannie Mae Discount | |||
Notes, 0.080%, 9/3/14 | 2,000 | 2,000 | ||
5,6 | Federal Home Loan | |||
Bank Discount Notes, | ||||
0.060%, 7/7/14 | 17,000 | 17,000 |
15
500 Index Fund
Face | Market | ||
Amount | Value | ||
($000) | ($000) | ||
5,6 | Federal Home Loan | ||
Bank Discount Notes, | |||
0.093%, 7/18/14 | 14,000 | 13,999 | |
5,6 | Federal Home Loan | ||
Bank Discount Notes, | |||
0.090%, 8/6/14 | 700 | 700 | |
5,6 | Federal Home Loan | ||
Bank Discount Notes, | |||
0.070%, 9/5/14 | 7,400 | 7,398 | |
41,097 | |||
Total Temporary Cash Investments | |||
(Cost $843,847) | 843,846 | ||
Total Investments (100.2%) | |||
(Cost $98,248,038) | 180,036,228 | ||
Other Assets and Liabilities (-0.2%) | |||
Other Assets | 387,473 | ||
Liabilities3 | (675,197) | ||
(287,724) | |||
Net Assets (100%) | 179,748,504 | ||
At June 30, 2014, net assets consisted of: | |||
Amount | |||
($000) | |||
Paid-in Capital | 102,134,341 | ||
Overdistributed Net Investment Income | (59,519) | ||
Accumulated Net Realized Losses | (4,123,052) | ||
Unrealized Appreciation (Depreciation) | |||
Investment Securities | 81,788,190 | ||
Futures Contracts | 8,544 | ||
Net Assets | 179,748,504 |
Amount | |
($000) | |
Investor Shares—Net Assets | |
Applicable to 155,805,170 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 28,174,202 |
Net Asset Value Per Share— | |
Investor Shares | $180.83 |
Admiral Shares—Net Assets | |
Applicable to 584,852,336 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 105,758,393 |
Net Asset Value Per Share— | |
Admiral Shares | $180.83 |
Signal Shares—Net Assets | |
Applicable to 177,001,645 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 26,439,058 |
Net Asset Value Per Share— | |
Signal Shares | $149.37 |
ETF Shares—Net Assets | |
Applicable to 107,975,329 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 19,376,851 |
Net Asset Value Per Share— | |
ETF Shares | $179.46 |
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $66,667,000.
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 $69,426,000 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 $35,998,000 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.
16
500 Index Fund
Statement of Operations
Six Months Ended | |
June 30, 2014 | |
($000) | |
Investment Income | |
Income | |
Dividends | 1,661,481 |
Interest1 | 581 |
Securities Lending | 817 |
Total Income | 1,662,879 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 3,469 |
Management and Administrative—Investor Shares | 13,305 |
Management and Administrative—Admiral Shares | 13,421 |
Management and Administrative—Signal Shares | 2,963 |
Management and Administrative—ETF Shares | 1,887 |
Marketing and Distribution—Investor Shares | 9,073 |
Marketing and Distribution—Admiral Shares | 6,277 |
Marketing and Distribution—Signal Shares | 4,256 |
Marketing and Distribution—ETF Shares | 1,924 |
Custodian Fees | 593 |
Shareholders’ Reports—Investor Shares | 187 |
Shareholders’ Reports—Admiral Shares | 118 |
Shareholders’ Reports—Signal Shares | 70 |
Shareholders’ Reports—ETF Shares | 20 |
Trustees’ Fees and Expenses | 55 |
Total Expenses | 57,618 |
Net Investment Income | 1,605,261 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 977,815 |
Futures Contracts | 77,466 |
Swap Contracts | 2,160 |
Realized Net Gain (Loss) | 1,057,441 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 9,154,887 |
Futures Contracts | (15,333) |
Change in Unrealized Appreciation (Depreciation) | 9,139,554 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 11,802,256 |
1 Interest income from an affiliated company of the fund was $560,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
17
500 Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2014 | 2013 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 1,605,261 | 2,878,655 |
Realized Net Gain (Loss) | 1,057,441 | 3,840,788 |
Change in Unrealized Appreciation (Depreciation) | 9,139,554 | 32,107,031 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 11,802,256 | 38,826,474 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (237,288) | (512,169) |
Admiral Shares | (861,879) | (1,470,287) |
Signal Shares | (277,782) | (665,590) |
ETF Shares | (161,811) | (227,304) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Signal Shares | — | — |
ETF Shares | — | — |
Total Distributions | (1,538,760) | (2,875,350) |
Capital Share Transactions | ||
Investor Shares | (1,241,997) | (4,012,845) |
Admiral Shares | 17,781,134 | 4,436,942 |
Signal Shares | (10,128,425) | (852,824) |
ETF Shares | 3,256,959 | 5,791,555 |
Net Increase (Decrease) from Capital Share Transactions | 9,667,671 | 5,362,828 |
Total Increase (Decrease) | 19,931,167 | 41,313,952 |
Net Assets | ||
Beginning of Period | 159,817,337 | 118,503,385 |
End of Period1 | 179,748,504 | 159,817,337 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($59,519,000) and ($128,180,000). |
See accompanying Notes, which are an integral part of the Financial Statements.
18
500 Index Fund
Financial Highlights
Investor Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $170.36 | $131.37 | $115.80 | $115.82 | $102.67 | $83.09 |
Investment Operations | ||||||
Net Investment Income | 1.569 | 2.956 | 2.709 | 2.246 | 2.020 | 2.131 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 10.397 | 38.982 | 15.560 | (.020) | 13.096 | 19.553 |
Total from Investment Operations | 11.966 | 41.938 | 18.269 | 2.226 | 15.116 | 21.684 |
Distributions | ||||||
Dividends from Net Investment Income | (1.496) | (2.948) | (2.699) | (2.246) | (1.966) | (2.104) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (1.496) | (2.948) | (2.699) | (2.246) | (1.966) | (2.104) |
Net Asset Value, End of Period | $180.83 | $170.36 | $131.37 | $115.80 | $115.82 | $102.67 |
Total Return1 | 7.05% | 32.18% | 15.82% | 1.97% | 14.91% | 26.49% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $28,174 | $27,758 | $24,821 | $25,967 | $31,904 | $48,313 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.17% | 0.17% | 0.17% | 0.17% | 0.17% | 0.18% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.87% | 1.95% | 2.13% | 1.92% | 1.94% | 2.42% |
Portfolio Turnover Rate2 | 3% | 3% | 3% | 4% | 5% | 12% |
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
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $170.36 | $131.37 | $115.80 | $115.83 | $102.67 | $83.09 |
Investment Operations | ||||||
Net Investment Income | 1.674 | 3.142 | 2.866 | 2.391 | 2.152 | 2.227 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 10.396 | 38.980 | 15.560 | (.031) | 13.092 | 19.556 |
Total from Investment Operations | 12.070 | 42.122 | 18.426 | 2.360 | 15.244 | 21.783 |
Distributions | ||||||
Dividends from Net Investment Income | (1.600) | (3.132) | (2.856) | (2.390) | (2.084) | (2.203) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (1.600) | (3.132) | (2.856) | (2.390) | (2.084) | (2.203) |
Net Asset Value, End of Period | $180.83 | $170.36 | $131.37 | $115.80 | $115.83 | $102.67 |
Total Return1 | 7.11% | 32.33% | 15.96% | 2.08% | 15.05% | 26.62% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $105,758 | $82,357 | $59,749 | $51,925 | $51,438 | $28,380 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.05% | 0.05% | 0.05% | 0.05% | 0.06% | 0.07% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.99% | 2.07% | 2.25% | 2.04% | 2.05% | 2.53% |
Portfolio Turnover Rate2 | 3% | 3% | 3% | 4% | 5% | 12% |
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about
any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
20
500 Index Fund
Financial Highlights
Signal Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $140.72 | $108.52 | $95.65 | $95.68 | $84.81 | $68.64 |
Investment Operations | ||||||
Net Investment Income | 1.382 | 2.594 | 2.368 | 1.975 | 1.780 | 1.839 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 8.588 | 32.193 | 12.861 | (.030) | 10.813 | 16.151 |
Total from Investment Operations | 9.970 | 34.787 | 15.229 | 1.945 | 12.593 | 17.990 |
Distributions | ||||||
Dividends from Net Investment Income | (1.320) | (2.587) | (2.359) | (1.975) | (1.723) | (1.820) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (1.320) | (2.587) | (2.359) | (1.975) | (1.723) | (1.820) |
Net Asset Value, End of Period | $149.37 | $140.72 | $108.52 | $95.65 | $95.68 | $84.81 |
Total Return | 7.11% | 32.33% | 15.97% | 2.08% | 15.05% | 26.61% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $26,439 | $34,666 | $27,304 | $21,592 | $18,977 | $16,590 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.05% | 0.05% | 0.05% | 0.05% | 0.06% | 0.07% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.99% | 2.07% | 2.25% | 2.04% | 2.05% | 2.53% |
Portfolio Turnover Rate1 | 3% | 3% | 3% | 4% | 5% | 12% |
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
21
500 Index Fund
Financial Highlights
ETF Shares | |||||
Six Months | Sept. 7, | ||||
Ended | 20102 to | ||||
June 30, | Year Ended December 31, | Dec. 31, | |||
For a Share Outstanding Throughout Each Period | 2014 | 20131 | 20121 | 20111 | 20101 |
Net Asset Value, Beginning of Period | $169.07 | $130.38 | $114.92 | $114.94 | $100.16 |
Investment Operations | |||||
Net Investment Income | 1.662 | 3.117 | 2.846 | 2.372 | .726 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | 10.316 | 38.681 | 15.450 | (.020) | 15.138 |
Total from Investment Operations | 11.978 | 41.798 | 18.296 | 2.352 | 15.864 |
Distributions | |||||
Dividends from Net Investment Income | (1.588) | (3.108) | (2.836) | (2.372) | (1.084) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (1.588) | (3.108) | (2.836) | (2.372) | (1.084) |
Net Asset Value, End of Period | $179.46 | $169.07 | $130.38 | $114.92 | $114.94 |
Total Return | 7.11% | 32.33% | 15.98% | 2.09% | 15.89% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $19,377 | $15,037 | $6,628 | $2,366 | $261 |
Ratio of Total Expenses to | |||||
Average Net Assets | 0.05% | 0.05% | 0.05% | 0.05% | 0.06%3 |
Ratio of Net Investment Income to | |||||
Average Net Assets | 1.99% | 2.07% | 2.25% | 2.04% | 2.05%3 |
Portfolio Turnover Rate4 | 3% | 3% | 3% | 4% | 5% |
1 Adjusted to reflect a 1-for-2 reverse share split as of the close of business on October 24, 2013.
2 Inception.
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
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. investment companies. 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. 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 performance and requires daily settlement of variation margin representing changes in the market value of each contract.
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).
23
500 Index Fund
During the six months ended June 30, 2014, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.
3. Swap Contracts: The fund has entered into equity swap contracts to earn the total return on selected reference stocks in the fund’s target index. Under the terms of the swaps, 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 in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until termination of the swap, at which time realized gain (loss) is recorded. A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the 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 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, 2014, the fund’s average amounts of total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period. The fund had no open swap contracts at June 30, 2014.
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, 2010–2013), and for the period ended June 30, 2014, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
24
500 Index Fund
5. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
6. Securities Lending: To earn additional income, the fund lends 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 prequalified counter-parties, 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; however, such actions may be subject to legal proceedings. While collateral mitigates counter-party risk, in the absence of a default the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets 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. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $2.89 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at June 30, 2014, or at any time during the period then ended.
8. 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. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
25
500 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 based on 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, 2014, the fund had contributed capital of $18,101,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 7.24% 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, 2014, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 179,192,382 | — | — |
Temporary Cash Investments | 802,749 | 41,097 | — |
Futures Contracts—Assets1 | 179 | — | — |
Futures Contracts—Liabilities1 | (43) | — | — |
Total | 179,995,267 | 41,097 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At June 30, 2014, 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 2014 | 1,185 | 578,399 | 8,543 |
E-mini S&P 500 Index | September 2014 | 60 | 5,857 | 1 |
8,544 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
26
500 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 the fund’s swap contracts are treated as ordinary income (loss) for tax purposes. Realized gains of $2,160,000 on swap contracts have been reclassified from accumulated net realized losses to overdistributed net investment income.
During the six months ended June 30, 2014, the fund realized $1,089,955,000 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, 2013, the fund had available capital losses totaling $4,054,780,000 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 $1,996,869,000 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, 2014; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
The fund acquired additional realized losses of $6,044,000 to offset future net capital gains in connection with the acquisition of Vanguard Tax-Managed Growth and Income Fund in May 2014 (see Note H); these losses have been reclassified from paid-in capital to accumulated net realized losses.
At June 30, 2014, the cost of investment securities for tax purposes was $98,248,038,000. Net unrealized appreciation of investment securities for tax purposes was $81,788,190,000, consisting of unrealized gains of $85,138,515,000 on securities that had risen in value since their purchase and $3,350,325,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2014, the fund purchased $10,374,824,000 of investment securities, including $2,024,195,000 of securities acquired in connection with the acquisition of Vanguard Tax-Managed Growth and Income Fund, and sold $3,784,415,000 of investment securities, other than temporary cash investments. Purchases and sales include $4,533,911,000 and $1,612,190,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
27
500 Index Fund
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2014 | December 31, 2013 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 1,927,179 | 11,209 | 4,265,742 | 27,761 |
Issued in Lieu of Cash Distributions | 226,951 | 1,286 | 491,640 | 3,197 |
Redeemed | (3,396,127) | (19,624) | (8,770,227) | (56,959) |
Net Increase (Decrease)—Investor Shares | (1,241,997) | (7,129) | (4,012,845) | (26,001) |
Admiral Shares | ||||
Issued | 17,337,589 | 99,108 | 9,329,798 | 61,049 |
Issued in Connection with Acquisition of | ||||
Vanguard Tax-Managed Growth and Income | 3,371,686 | 19,420 | — | — |
Issued in Lieu of Cash Distributions | 782,571 | 4,425 | 1,339,808 | 8,678 |
Redeemed | (3,710,712) | (21,527) | (6,232,664) | (41,109) |
Net Increase (Decrease)—Admiral Shares | 17,781,134 | 101,426 | 4,436,942 | 28,618 |
Signal Shares | ||||
Issued | 3,455,513 | 24,410 | 9,679,558 | 77,796 |
Issued in Lieu of Cash Distributions | 244,661 | 1,686 | 594,241 | 4,673 |
Redeemed | (13,828,599) | (95,433) | (11,126,623) | (87,744) |
Net Increase (Decrease)—Signal Shares | (10,128,425) | (69,337) | (852,824) | (5,275) |
ETF Shares1 | ||||
Issued | 4,585,233 | 26,813 | 8,569,611 | 56,551 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (1,328,274) | (7,775) | (2,778,056) | (18,454) |
Net Increase (Decrease)—ETF Shares | 3,256,959 | 19,038 | 5,791,555 | 38,097 |
1 2013 adjusted to reflect a 1-for-2 reverse share split as of the close of business on October 24, 2013. |
H. On May 16, 2014, the fund acquired all of the net assets of Vanguard Tax-Managed Growth and Income Fund pursuant to a plan of reorganization approved by the funds’ board of trustees on September 26, 2013. The purpose of the transaction was to combine two funds with similar investment strategies. The acquisition was accomplished by a tax-free exchange of 19,420,000 of Vanguard 500 Index Fund’s capital shares for the 45,579,000 shares of Vanguard Tax-Managed Growth and Income Fund outstanding on May 16, 2014. Each class of shares of Vanguard Tax-Managed Growth and Income Fund was exchanged for the Admiral Shares of Vanguard 500 Index Fund. Vanguard Tax-Managed Growth and Income Fund’s net assets of $3,371,686,000, including $1,348,485,000 of unrealized appreciation, were combined with Vanguard 500 Index Fund’s net assets of $168,166,924,000, resulting in combined net assets of $171,538,610,000 on May 16, 2014.
28
500 Index Fund
Assuming that the acquisition had been completed on January 1, 2014, the beginning of the fund’s reporting period, the fund’s pro forma results of operations for the six months ended June 30, 2014, would be:
($000) | |
Net Investment Income | 1,629,756 |
Realized Net Gain (Loss) | 1,063,296 |
Change in Unrealized Appreciation (Depreciation) | 9,187,060 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 11,880,112 |
I. Management has determined that no material events or transactions occurred subsequent to June 30, 2014, that would require recognition or disclosure in these financial statements.
Special 2014 tax information (unaudited) for Vanguard Tax-Managed Growth and Income Fund |
This information for the period ended May 16, 2014, is included pursuant to provisions of the Internal Revenue Code.
The fund distributed $21,599,000 of qualified dividend income to shareholders during the period ended May 16, 2014.
For corporate shareholders, 100.0% of investment income (dividend income plus short-term gains, if any) qualifies for the dividends-received deduction.
29
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.
30
Six Months Ended June 30, 2014 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
500 Index Fund | 12/31/2013 | 6/30/2014 | Period |
Based on Actual Fund Return | |||
Investor Shares | $1,000.00 | $1,070.47 | $0.87 |
Admiral Shares | 1,000.00 | 1,071.10 | 0.26 |
Signal Shares | 1,000.00 | 1,071.10 | 0.26 |
ETF Shares | 1,000.00 | 1,071.12 | 0.26 |
Based on Hypothetical 5% Yearly Return | |||
Investor Shares | $1,000.00 | $1,023.95 | $0.85 |
Admiral Shares | 1,000.00 | 1,024.55 | 0.25 |
Signal Shares | 1,000.00 | 1,024.55 | 0.25 |
ETF Shares | 1,000.00 | 1,024.55 | 0.25 |
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.
31
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.
32
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.
33
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.
34
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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 177 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. | |
F. William McNabb III | |
Born 1957. Trustee Since July 2009. Chairman of the | Amy Gutmann |
Board. Principal Occupation(s) During the Past Five | Born 1949. Trustee Since June 2006. Principal |
Years: Chairman of the Board of The Vanguard Group, | Occupation(s) During the Past Five Years: President of |
Inc., and of each of the investment companies served | the University of Pennsylvania; Christopher H. Browne |
by The Vanguard Group, since January 2010; Director | Distinguished Professor of Political Science, School of |
of The Vanguard Group since 2008; Chief Executive | Arts and Sciences, and Professor of Communication, |
Officer and President of The Vanguard Group, and of | Annenberg School for Communication, with secondary |
each of the investment companies served by The | faculty appointments in the Department of Philosophy, |
Vanguard Group, since 2008; Director of Vanguard | School of Arts and Sciences, and at the Graduate |
Marketing Corporation; Managing Director of The | School of Education, University of Pennsylvania; |
Vanguard Group (1995–2008). | Trustee of the National Constitution Center; Chair |
of the Presidential Commission for the Study of | |
Bioethical Issues. | |
IndependentTrustees | |
JoAnn Heffernan Heisen | |
Emerson U. Fullwood | Born 1950. Trustee Since July 1998. Principal |
Born 1948. Trustee Since January 2008. Principal | Occupation(s) During the Past Five Years: Corporate |
Occupation(s) During the Past Five Years: Executive | Vice President and Chief Global Diversity Officer |
Chief Staff and Marketing Officer for North America | (retired 2008) and Member of the Executive |
and Corporate Vice President (retired 2008) of Xerox | Committee (1997–2008) of Johnson & Johnson |
Corporation (document management products and | (pharmaceuticals/medical devices/consumer |
services); Executive in Residence and 2009–2010 | products); Director of Skytop Lodge Corporation |
Distinguished Minett Professor at the Rochester | (hotels), the University Medical Center at Princeton, |
Institute of Technology; Director of SPX Corporation | the Robert Wood Johnson Foundation, and the Center |
(multi-industry manufacturing), the United Way of | for Talent Innovation; Member of the Advisory Board |
Rochester, Amerigroup Corporation (managed health | of the Maxwell School of Citizenship and Public Affairs |
care), the University of Rochester Medical Center, | at Syracuse University. |
Monroe Community College Foundation, and North | |
Carolina A&T University. | F. Joseph Loughrey |
Born 1949. Trustee Since October 2009. Principal | |
Rajiv L. Gupta | Occupation(s) During the Past Five Years: President |
Born 1945. Trustee Since December 2001.2 | and Chief Operating Officer (retired 2009) of Cummins |
Principal Occupation(s) During the Past Five Years: | Inc. (industrial machinery); Chairman of the Board |
Chairman and Chief Executive Officer (retired 2009) | of Hillenbrand, Inc. (specialized consumer services), |
and President (2006–2008) of Rohm and Haas Co. | and of Oxfam America; Director of SKF AB (industrial |
(chemicals); Director of Tyco International, Ltd. | machinery), Hyster-Yale Materials Handling, Inc. |
(diversified manufacturing and services), Hewlett- | (forklift trucks), the Lumina Foundation for Education, |
Packard Co. (electronic computer manufacturing), |
and the V Foundation for Cancer Research; Member | Executive Officers | |
of the Advisory Council for the College of Arts and | ||
Letters and of the Advisory Board to the Kellogg | Glenn Booraem | |
Institute for International Studies, both at the | Born 1967. Controller Since July 2010. Principal | |
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 (retired 2013) | ||
at IBM (information technology services); Fiduciary | Thomas J. Higgins | |
Member of IBM’s Retirement Plan Committee (2004– | Born 1957. Chief Financial Officer Since September | |
2013); Member of the Council on Chicago Booth. | 2008. Principal Occupation(s) During the Past Five | |
Years: Principal of The Vanguard Group, Inc.; Chief | ||
Scott C. Malpass | Financial Officer of each of the investment companies | |
Born 1962. Trustee Since March 2012. Principal | served by The Vanguard Group; Treasurer of each of | |
Occupation(s) During the Past Five Years: Chief | the investment companies served by The Vanguard | |
Investment Officer and Vice President at the University | Group (1998–2008). | |
of Notre Dame; Assistant Professor of Finance at the | ||
Mendoza College of Business at Notre Dame; Member | Kathryn J. Hyatt | |
of the Notre Dame 403(b) Investment Committee; | Born 1955. Treasurer Since November 2008. Principal | |
Board Member of TIFF Advisory Services, Inc. | Occupation(s) During the Past Five Years: Principal of | |
(investment advisor); Member of the Investment | The Vanguard Group, Inc.; Treasurer of each of the | |
Advisory Committees of the Financial Industry | investment companies served by The Vanguard | |
Regulatory Authority (FINRA) and of Major League | Group; Assistant Treasurer of each of the investment | |
Baseball. | companies served by The Vanguard Group (1988–2008) | |
André F. Perold | Heidi Stam | |
Born 1952. Trustee Since December 2004. Principal | Born 1956. Secretary Since July 2005. Principal | |
Occupation(s) During the Past Five Years: George | Occupation(s) During the Past Five Years: Managing | |
Gund Professor of Finance and Banking, Emeritus | Director of The Vanguard Group, Inc.; General Counsel | |
at the Harvard Business School (retired 2011); | of The Vanguard Group; Secretary of The Vanguard | |
Chief Investment Officer and Managing Partner of | Group and of each of the investment companies | |
HighVista Strategies LLC (private investment firm); | served by The Vanguard Group; Director and Senior | |
Director of Rand Merchant Bank; Overseer of the | Vice President of Vanguard Marketing Corporation. | |
Museum of Fine Arts Boston. | ||
Vanguard Senior ManagementTeam | ||
Alfred M. Rankin, Jr. | ||
Born 1941. Trustee Since January 1993. Principal | Mortimer J. Buckley | Chris D. McIsaac |
Occupation(s) During the Past Five Years: Chairman, | Kathleen C. Gubanich | Michael S. Miller |
President, and Chief Executive Officer of NACCO | Paul A. Heller | James M. Norris |
Industries, Inc. (housewares/lignite), and of Hyster- | Martha G. King | Glenn W. Reed |
Yale Materials Handling, Inc. (forklift trucks); Chairman | John T. Marcante | |
of the Board of University Hospitals of Cleveland. | ||
Peter F. Volanakis | Chairman Emeritus and Senior Advisor | |
Born 1955. Trustee Since July 2009. Principal | ||
Occupation(s) During the Past Five Years: President | John J. Brennan | |
and Chief Operating Officer (retired 2010) of Corning | Chairman, 1996–2009 | |
Incorporated (communications equipment); Trustee of | Chief Executive Officer and President, 1996–2008 | |
Colby-Sawyer College; Member of the Advisory Board | ||
of the Norris Cotton Cancer Center and of the Advisory | Founder | |
Board of the Parthenon Group (strategy consulting). | ||
John C. Bogle | ||
Chairman and Chief Executive Officer, 1974–1996 | ||
Vanguard funds.
2 December 2002 for Vanguard Equity Income 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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use by Vanguard. The Vanguard funds are not | |
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, a | investing in such products. |
Thomson Reuters Company, 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. | |
© 2014 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q402 082014 |
Semiannual Report | June 30, 2014 |
Vanguard U.S. Stock Index Funds
Small-Capitalization Portfolios
![](https://capedge.com/proxy/N-CSRS/0000932471-14-006700/smallcapfunds_q48x1x2.jpg)
Vanguard’s Principles for Investing Success
We want to give you the best chance of investment success. These principles,
grounded in Vanguard’s research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds.
Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 4 |
Small-Cap Index Fund. | 10 |
Small-Cap Growth Index Fund. | 30 |
Small-Cap Value Index Fund. | 48 |
About Your Fund’s Expenses. | 66 |
Trustees Approve Advisory Arrangements. | 69 |
Glossary. | 70 |
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: The ship’s wheel represents leadership and guidance, essential qualities in navigating difficult seas.
This one is a replica based on an 18th-century British vessel. The HMSVanguard, another ship of that era, served as the
flagship for British Admiral Horatio Nelson when he defeated a French fleet at the Battle of the Nile.
Your Fund’s Total Returns
Six Months Ended June 30, 2014 | |
Total | |
Returns | |
Vanguard Small-Cap Index Fund | |
Investor Shares | 6.38% |
Admiral™ Shares | 6.46 |
Signal® Shares | 6.47 |
Institutional Shares | 6.48 |
Institutional Plus Shares | 6.48 |
ETF Shares | |
Market Price | 6.47 |
Net Asset Value | 6.46 |
CRSP US Small Cap Index | 6.49 |
Small-Cap Core Funds Average | 4.01 |
Small-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
Vanguard Small-Cap Growth Index Fund | |
Investor Shares | 4.14% |
Admiral Shares | 4.20 |
Institutional Shares | 4.20 |
ETF Shares | |
Market Price | 4.22 |
Net Asset Value | 4.19 |
CRSP US Small Cap Growth Index | 4.19 |
Small-Cap Growth Funds Average | 0.46 |
Small-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
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. Nos. 6,879,964;
7,337,138; 7,720,749; 7,925,573; 8,090,646; and 8,417,623.
1
Your Fund’s Total Returns
Six Months Ended June 30, 2014 | |
Total | |
Returns | |
Vanguard Small-Cap Value Index Fund | |
Investor Shares | 8.29% |
Admiral Shares | 8.37 |
Institutional Shares | 8.41 |
ETF Shares | |
Market Price | 8.37 |
Net Asset Value | 8.38 |
CRSP US Small Cap Value Index | 8.44 |
Small-Cap Value Funds Average | 4.27 |
Small-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
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. Nos. 6,879,964;
7,337,138; 7,720,749; 7,925,573; 8,090,646; and 8,417,623.
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, 2013, Through June 30, 2014 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Small-Cap Index Fund | ||||
Investor Shares | $52.69 | $56.05 | $0.001 | $0.000 |
Admiral Shares | 52.72 | 56.12 | 0.004 | 0.000 |
Signal Shares | 47.49 | 50.56 | 0.004 | 0.000 |
Institutional Shares | 52.71 | 56.12 | 0.004 | 0.000 |
Institutional Plus Shares | 152.16 | 162.00 | 0.013 | 0.000 |
ETF Shares | 110.02 | 117.12 | 0.009 | 0.000 |
Vanguard Small-Cap Growth Index Fund | ||||
Investor Shares | $34.37 | $35.79 | $0.003 | $0.000 |
Admiral Shares | 42.98 | 44.78 | 0.005 | 0.000 |
Institutional Shares | 34.42 | 35.86 | 0.005 | 0.000 |
ETF Shares | 122.23 | 127.34 | 0.017 | 0.000 |
Vanguard Small-Cap Value Index Fund | ||||
Investor Shares | $23.33 | $25.26 | $0.004 | $0.000 |
Admiral Shares | 41.82 | 45.31 | 0.011 | 0.000 |
Institutional Shares | 23.37 | 25.33 | 0.006 | 0.000 |
ETF Shares | 97.32 | 105.45 | 0.024 | 0.000 |
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![](https://capedge.com/proxy/N-CSRS/0000932471-14-006700/smallcapfunds_q48x6x1.jpg)
Chairman’s Letter
Dear Shareholder,
After posting exceptionally strong results in 2013, small-capitalization stocks cooled off during the six months ended June 30, 2014. They trailed their large- and mid-cap counterparts for much of the period as investors pulled back from what they considered riskier and increasingly overvalued segments of the market.
Given the cyclical nature of the market, it’s not too surprising that small-caps decelerated after their rapid growth last year, when annual returns exceeded 35%. Within the small-cap universe, value stocks were back in favor, and growth stocks took a backseat.
Although their ascent slowed, all of the funds covered in this report produced solid returns. Vanguard Small-Cap Value Index Fund returned 8.29%, and Vanguard Small-Cap Growth Index Fund returned 4.14%. Vanguard Small-Cap Index Fund, which includes both growth and value stocks, fell in between the two, returning 6.38%. (All returns are for Investor Shares.)
Each fund closely tracked its target index and exceeded the average return of its peers.
After a slow start to the year, stocks began to climb upward
For the half year, the broad U.S. stock market returned about 7% as the global economy continued to recover, albeit unevenly, and corporate earnings remained
4
solid. Equities were notably resilient, surging ahead after dips caused by turmoil in Iraq and conflict in Ukraine.
Citing the U.S. economy’s progress, the Federal Reserve has steadily trimmed its monthly bond-buying program. At the same time, investors have been reassured by the Fed’s decision to keep interest rates low for an extended period.
International stocks overall returned nearly 6%. Emerging markets, which have rebounded sharply in recent months, were the top performers, followed by developed markets in Europe and then those in the Pacific region.
The period was strong for bonds as yields dropped and prices rose
Bond prices spent most of the six months regaining the ground they lost in 2013, and the broad U.S. taxable bond market returned 3.93%. The yield of the benchmark 10-year Treasury note ended June at 2.54%, down from almost 3% on December 31. (Bond prices and yields move in opposite directions.)
Municipal bonds returned 6.00% amid support from the broad bond market rally, investors’ greater appetite for tax-exempt income, and a decline in the pool of new issues.
Market Barometer | |||
Total Returns | |||
Periods Ended June 30, 2014 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 7.27% | 25.35% | 19.25% |
Russell 2000 Index (Small-caps) | 3.19 | 23.64 | 20.21 |
Russell 3000 Index (Broad U.S. market) | 6.94 | 25.22 | 19.33 |
FTSE All-World ex US Index (International) | 5.75 | 21.93 | 11.40 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | 3.93% | 4.37% | 4.85% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 6.00 | 6.14 | 5.81 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.00 | 0.04 | 0.07 |
CPI | |||
Consumer Price Index | 2.27% | 2.07% | 2.02% |
5
International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned 5.59%.
In June, the European Central Bank made the unprecedented move of lowering a key interest rate below zero, to –0.10%. The drop was intended to avert deflation and induce banks to lend and thus fuel economic growth.
Although the period was strong worldwide for bonds, it’s worth remembering that the current low yields imply lower future returns. As yields drop, the scope for further declines—and increases in prices—diminishes.
Returns remained tiny for money market funds and savings account returns because of the Fed’s target of 0%–0.25% for short-term interest rates.
A defensive shift in the market affected the funds’ performance
As I mentioned earlier, small-caps, particularly the growth-oriented stars, lost a bit of their luster over the six months.
In general, small companies tend to be more volatile and vulnerable to sharp swings in share price than large companies. This is true partly because they lack the cash reserves and other resources available to larger firms. (See the text box on page 7 for more about the differences between small- and large-cap 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 | |
Small-Cap Index Fund | 0.24% | 0.09% | 0.09% | 0.08% | 0.06% | 0.09% | 1.32% |
Small-Cap Growth Index Fund | 0.24 | 0.09 | — | 0.08 | — | 0.09 | 1.42 |
Small-Cap Value Index Fund | 0.24 | 0.09 | — | 0.08 | — | 0.09 | 1.36 |
The fund expense ratios shown are from the prospectus dated April 28, 2014, and represent estimated costs for the current fiscal year. For the
six months ended June 30, 2014, the funds’ annualized expense ratios were: for the Small-Cap Index Fund, 0.23% 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, 0.23% 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, 0.23% 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, a Thomson Reuters Company, and capture
information through year-end 2013.
Peer groups: For the Small-Cap Index Fund, Small-Cap Core Funds; for the Small-Cap Growth Index Fund, Small-Cap Growth Funds; for the
Small-Cap Value Index Fund, Small-Cap Value Funds.
6
During the half year, investors worried that some small-cap stocks with lofty valuations might fall short of their earnings projections. They were not willing to pay higher prices for more potential risk.
This shift in market sentiment took its heaviest toll on the Small-Cap Growth Index Fund, which underperformed both the Small-Cap Index and Small-Cap Value Index Funds.
Small-cap stocks versus large-caps: A case for diversification |
At times, particularly over the past dozen years, small-capitalization stocks have outpaced their |
large-cap counterparts. This performance edge may appear compelling, but before making any |
drastic decisions to heavily tilt your portfolio toward small-caps, consider two points. |
First, there’s no guarantee that small caps’ performance advantage will persist. As shown in |
the chart below, these stocks had an extended period of underperformance in the 1990s, and |
that could happen again. |
Second, investing in small companies’ stocks involves additional risks. These firms generally |
have less business diversification, fewer financial resources, and less management depth than |
larger enterprises. As a result, their stocks can be highly volatile. |
Investors with a heavy allocation to only one segment of the market can end up with greater |
volatility and less diversification. A better alternative can be a market cap-weighted equity |
portfolio of stocks of all capitalizations that offers more diversification over the long term. |
Small-cap performance relative to large-caps
|
![](https://capedge.com/proxy/N-CSRS/0000932471-14-006700/smallcapfunds_q48x9x1.jpg)
Source: Vanguard.
The Growth Index Fund was hindered most by its outsized weightings in consumer services, consumer goods, and technology. In the consumer-related sectors, retailers were hurt by the severe winter and consequent lackluster spring, which crimped spending across much of the United States. Increased competition, along with consumers’ growing preference for online shopping and price comparison, also pushed down sales. In technology, one of the fund’s largest sectors, software and services companies dampened results. The sector barely contributed to performance as investors took a pause after bidding up industry stock prices last year.
As sentiment shifted from growth stocks to more defensive companies and industries, value-oriented sectors within each small-cap fund did best. The Small-Cap Value Fund, the top performer for the period, benefited most from its large allocations to financials, industrials, and oil and gas. Among financial stocks, real estate investment trust holdings fared particularly well as the REIT market began to bounce back from a subpar 2013.
Industrials, the second-largest sector in both the Small-Cap Value and Small-Cap Index Funds, also played a significant role. Industrial stocks got a boost from the U.S. economy’s gradual expansion. Gains were broad-based, led by suppliers of commercial vehicles, makers of electronic components and equipment, and manufacturers of containers and packaging.
Oil and gas, a relatively small holding for the trio, was another key contributor to their returns. Thanks to the growth in U.S.
energy production and distribution, oil and gas producers and oil equipment and service providers delivered double-digit gains.
Health care stocks also helped the Small-Cap Index and the Small-Cap Growth Index Funds. Although investors were concerned early on that certain biotechnology firms were overvalued, the subsector ultimately held up. Pharmaceutical and biotech companies stood out, along with health care providers.
Don’t let complacency set your portfolio adrift
At Vanguard, we often warn against letting emotions become entangled with investing. When the financial markets are in turmoil, for example, we’ll caution investors not to let fear lead to rash decisions. But complacency can also stand in the way of achieving financial goals. And lately, conditions may have been leading investors to feel a little too comfortable.
Volatility, a hallmark of stock investing, seems to have vanished for the moment, and returns have been robust. In the more than five years since its 2009 bottom, the U.S. stock market, as measured by the Russell 3000 Index, has produced average annual returns of about 26%. That’s more than double its historical average. And in recent weeks, several indexes have reached all-time highs.
The investment winds don’t always blow so favorably, of course. While the smooth sailing lasts, however, it creates risks of its own. In such a calm climate, it can be easy
8
to lose sight of fundamentals, especially the importance of rebalancing. It’s crucial to periodically adjust your asset allocation so it stays in line with your goals and risk tolerance. Otherwise, you can end up with a portfolio that’s very different from, and potentially riskier than, the one you intended to have.
Whether the market’s moving up, down, or sideways, we always encourage our clients to stay focused on four keys to Vanguard’s timeless principles for investment success: goals, balance, cost, and discipline. (You can read more about our principles in Vanguard’s Principles for Investment Success, available at vanguard.com/research.)
As always, thank you for your confidence in Vanguard.
Sincerely,
![](https://capedge.com/proxy/N-CSRS/0000932471-14-006700/smallcapfunds_q48x11x1.jpg)
F. William McNabb III
Chairman and Chief Executive Officer
July 17, 2014
9
Small-Cap Index Fund
Fund Profile
As of June 30, 2014
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% | 0.09% | 0.09% | 0.08% | 0.06% | 0.09% |
30-Day SEC Yield | 0.96% | 1.10% | 1.10% | 1.11% | 1.13% | 1.10% |
Portfolio Characteristics | |||
DJ | |||
U.S. | |||
CRSP US | Total | ||
Small Cap | Market | ||
Fund | Index | FA Index | |
Number of Stocks | 1,466 | 1,453 | 3,730 |
Median Market Cap | $3.2B | $3.2B | $45.5B |
Price/Earnings Ratio | 29.7x | 29.7x | 20.7x |
Price/Book Ratio | 2.5x | 2.5x | 2.7x |
Return on Equity | 11.4% | 11.3% | 17.4% |
Earnings Growth | |||
Rate | 12.9% | 12.9% | 14.4% |
Dividend Yield | 1.4% | 1.4% | 1.8% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 10% | — | — |
Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
CRSP US | U.S. Total | ||
Small Cap | Market | ||
Fund | Index | FA Index | |
Basic Materials | 4.4% | 4.4% | 3.1% |
Consumer Goods | 7.6 | 7.6 | 9.9 |
Consumer Services | 13.2 | 13.2 | 13.2 |
Financials | 23.6 | 23.6 | 18.2 |
Health Care | 9.6 | 9.6 | 12.2 |
Industrials | 19.5 | 19.5 | 12.9 |
Oil & Gas | 6.4 | 6.4 | 9.9 |
Technology | 11.5 | 11.5 | 15.1 |
Telecommunications | 0.5 | 0.5 | 2.2 |
Utilities | 3.7 | 3.7 | 3.3 |
Volatility Measures | ||
DJ | ||
Spliced | U.S. Total | |
Small-Cap | Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.94 |
Beta | 1.00 | 1.24 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months. | ||
Ten Largest Holdings (% of total net assets) | ||
Hillshire Brands Co. | Food Products | 0.3% |
Salix Pharmaceuticals | ||
Ltd. | Pharmaceuticals | 0.3 |
Foot Locker Inc. | Apparel Retailers | 0.3 |
Arthur J Gallagher & Co. | Property & Casualty | |
Insurance | 0.3 | |
Harman International | Consumer | |
Industries Inc. | Electronics | 0.3 |
Alkermes plc | Pharmaceuticals | 0.3 |
Gannett Co. Inc. | Publishing | 0.2 |
Packaging Corp. of | Containers & | |
America | Packaging | 0.2 |
Rite Aid Corp. | Drug Retailers | 0.2 |
Snap-on Inc. | Durable Household | |
Products | 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 28, 2014, and represent estimated costs for the current fiscal year. For the six
months ended June 30, 2014, the annualized expense ratios were 0.23% 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.
10
Small-Cap Index Fund
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-14-006700/smallcapfunds_q48x13x1.jpg)
11
Small-Cap Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at 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, 2003, Through June 30, 2014
![](https://capedge.com/proxy/N-CSRS/0000932471-14-006700/smallcapfunds_q48x14x1.jpg)
Note: For 2014, performance data reflect the six months ended June 30, 2014.
Average Annual Total Returns: Periods Ended June 30, 2014 | ||||
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 10/3/1960 | 26.32% | 22.16% | 10.07% |
Admiral Shares | 11/13/2000 | 26.51 | 22.34 | 10.21 |
Signal Shares | 12/15/2006 | 26.51 | 22.32 | 8.821 |
Institutional Shares | 7/7/1997 | 26.52 | 22.36 | 10.25 |
Institutional Plus Shares | 12/17/2010 | 26.54 | — | 16.281 |
ETF Shares | 1/26/2004 | |||
Market Price | 26.56 | 22.34 | 10.26 | |
Net Asset Value | 26.51 | 22.33 | 10.21 | |
1 Return since inception. |
See Financial Highlights for dividend and capital gains information.
12
Small-Cap Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of June 30, 2014
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 | |||
RPM International Inc. | 2,302,119 | 106,312 | 0.2% |
Rockwood Holdings Inc. | 1,253,524 | 95,255 | 0.2% |
Basic Materials—Other † | 1,945,704 | 3.9% | |
2,147,271 | 4.3% | ||
Consumer Goods | |||
Hillshire Brands Co. | 2,119,660 | 132,055 | 0.3% |
Harman International Industries Inc. | 1,176,526 | 126,394 | 0.3% |
Snap-on Inc. | 1,006,191 | 119,254 | 0.2% |
Goodyear Tire & Rubber Co. | 4,292,572 | 119,248 | 0.2% |
* Toll Brothers Inc. | 2,764,266 | 102,001 | 0.2% |
* WhiteWave Foods Co. Class A | 3,004,149 | 97,244 | 0.2% |
Ingredion Inc. | 1,288,570 | 96,694 | 0.2% |
Consumer Goods—Other † | 2,932,810 | 6.0% | |
3,725,700 | 7.6% | ||
Consumer Services | |||
Foot Locker Inc. | 2,519,363 | 127,782 | 0.3% |
Gannett Co. Inc. | 3,918,401 | 122,685 | 0.3% |
* Rite Aid Corp. | 16,852,982 | 120,836 | 0.2% |
Omnicare Inc. | 1,710,852 | 113,891 | 0.2% |
Alaska Air Group Inc. | 1,187,203 | 112,844 | 0.2% |
* Avis Budget Group Inc. | 1,820,927 | 108,691 | 0.2% |
Consumer Services—Other † | 5,778,398 | 11.8% | |
6,485,127 | 13.2% | ||
Financials | |||
Arthur J Gallagher & Co. | 2,714,177 | 126,481 | 0.3% |
NorthStar Realty Finance Corp. | 6,265,465 | 108,894 | 0.2% |
* E*TRADE Financial Corp. | 4,985,105 | 105,983 | 0.2% |
Duke Realty Corp. | 5,692,693 | 103,379 | 0.2% |
Extra Space Storage Inc. | 1,902,999 | 101,335 | 0.2% |
* SVB Financial Group | 862,722 | 100,611 | 0.2% |
WP Carey Inc. | 1,544,821 | 99,486 | 0.2% |
13
Small-Cap Index Fund
Market | Percentage | ||
Value | of Net | ||
Shares | ($000) | Assets | |
Liberty Property Trust | 2,551,770 | 96,789 | 0.2% |
Signature Bank | 757,750 | 95,613 | 0.2% |
Mid-America Apartment Communities Inc. | 1,295,880 | 94,664 | 0.2% |
Financials—Other † | 10,550,920 | 21.5% | |
11,584,155 | 23.6% | ||
Health Care | |||
Salix Pharmaceuticals Ltd. | 1,040,761 | 128,378 | 0.3% |
Alkermes plc | 2,496,796 | 125,664 | 0.2% |
Cooper Cos. Inc. | 828,234 | 112,251 | 0.2% |
MEDNAX Inc. | 1,717,148 | 99,852 | 0.2% |
Medivation Inc. | 1,255,975 | 96,811 | 0.2% |
Health Care—Other † | 4,157,472 | 8.5% | |
4,720,428 | 9.6% | ||
Industrials | |||
Packaging Corp. of America | 1,698,647 | 121,436 | 0.3% |
Trinity Industries Inc. | 2,676,475 | 117,015 | 0.2% |
IDEX Corp. | 1,392,804 | 112,455 | 0.2% |
Flextronics International Ltd. | 10,115,233 | 111,976 | 0.2% |
Kirby Corp. | 886,042 | 103,791 | 0.2% |
Acuity Brands Inc. | 746,535 | 103,208 | 0.2% |
Valspar Corp. | 1,298,430 | 98,927 | 0.2% |
Waste Connections Inc. | 2,034,414 | 98,771 | 0.2% |
Lincoln Electric Holdings Inc. | 1,389,514 | 97,099 | 0.2% |
Carlisle Cos. Inc. | 1,107,243 | 95,909 | 0.2% |
Allegion plc | 1,667,778 | 94,530 | 0.2% |
Genesee & Wyoming Inc. Class A | 899,803 | 94,479 | 0.2% |
Industrials—Other † | 8,340,475 | 17.0% | |
9,590,071 | 19.5% | ||
Oil & Gas | |||
Newfield Exploration Co. | 2,355,567 | 104,116 | 0.2% |
Superior Energy Services Inc. | 2,705,544 | 97,778 | 0.2% |
Oil & Gas—Other † | 2,936,013 | 6.0% | |
3,137,907 | 6.4% | ||
Other † | 2,366 | 0.0% | |
Technology | |||
NCR Corp. | 2,900,832 | 101,790 | 0.2% |
Pitney Bowes Inc. | 3,501,112 | 96,701 | 0.2% |
Technology—Other † | 5,448,574 | 11.1% | |
5,647,065 | 11.5% | ||
Telecommunications | |||
tw telecom inc Class A | 2,382,987 | 96,058 | 0.2% |
Telecommunications—Other † | 153,170 | 0.3% | |
249,228 | 0.5% | ||
Utilities | |||
AGL Resources Inc. | 2,060,403 | 113,384 | 0.2% |
UGI Corp. | 1,988,217 | 100,405 | 0.2% |
ITC Holdings Corp. | 2,723,420 | 99,350 | 0.2% |
Utilities—Other † | 1,493,693 | 3.1% | |
1,806,832 | 3.7% | ||
Total Common Stocks (Cost $34,751,230) | 49,096,150 | 99.9%1 |
14
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 | 0.111% | 464,883,033 | 464,883 | 0.9% |
4U.S. Government and Agency Obligations † | 24,797 | 0.1% | ||
Total Temporary Cash Investments (Cost $489,681) | 489,680 | 1.0%1 | ||
5Total Investments (Cost $35,240,911) | 49,585,830 | 100.9% | ||
Other Assets and Liabilities | ||||
Other Assets | 171,744 | 0.3% | ||
Liabilities3 | (606,864) | (1.2%) | ||
(435,120) | (0.9%) | |||
Net Assets | 49,150,710 | 100.0% | ||
At June 30, 2014, net assets consisted of: | ||||
Amount | ||||
($000) | ||||
Paid-in Capital | 36,238,457 | |||
Undistributed Net Investment Income | 257,390 | |||
Accumulated Net Realized Losses | (1,690,759) | |||
Unrealized Appreciation (Depreciation) | ||||
Investment Securities | 14,344,919 | |||
Futures Contracts | 703 | |||
Net Assets | 49,150,710 | |||
Investor Shares—Net Assets | ||||
Applicable to 92,431,633 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 5,180,897 | |||
Net Asset Value Per Share—Investor Shares | $56.05 | |||
Admiral Shares—Net Assets | ||||
Applicable to 246,320,863 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 13,823,366 | |||
Net Asset Value Per Share—Admiral Shares | $56.12 | |||
Signal Shares—Net Assets | ||||
Applicable to 110,734,030 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 5,598,517 | |||
Net Asset Value Per Share—Signal Shares | $50.56 | |||
Institutional Shares—Net Assets | ||||
Applicable to 172,776,858 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 9,695,992 | |||
Net Asset Value Per Share—Institutional Shares | $56.12 |
15
Small-Cap Index Fund
Amount | |
($000) | |
Institutional Plus Shares—Net Assets | |
Applicable to 34,371,868 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 5,568,273 |
Net Asset Value Per Share—Institutional Plus Shares | $162.00 |
ETF Shares—Net Assets | |
Applicable to 79,267,062 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 9,283,665 |
Net Asset Value Per Share—ETF Shares | $117.12 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent
1% or less of net assets.
1 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 0.9%, respectively, of
net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is
the 7-day yield.
3 Includes $458,615,000 of collateral received for securities on loan.
4 Securities with a value of $4,100,000 have been segregated as initial margin for open futures contracts.
5 The total value of securities on loan is $438,112,000.
See accompanying Notes, which are an integral part of the Financial Statements.
16
Small-Cap Index Fund
Statement of Operations
Six Months Ended | |
June 30, 2014 | |
($000) | |
Investment Income | |
Income | |
Dividends | 307,342 |
Interest1 | 148 |
Securities Lending | 13,898 |
Total Income | 321,388 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,395 |
Management and Administrative—Investor Shares | 4,894 |
Management and Administrative—Admiral Shares | 3,712 |
Management and Administrative—Signal Shares | 1,831 |
Management and Administrative—Institutional Shares | 2,131 |
Management and Administrative—Institutional Plus Shares | 797 |
Management and Administrative—ETF Shares | 2,416 |
Marketing and Distribution—Investor Shares | 585 |
Marketing and Distribution—Admiral Shares | 796 |
Marketing and Distribution—Signal Shares | 940 |
Marketing and Distribution—Institutional Shares | 1,111 |
Marketing and Distribution—Institutional Plus Shares | 450 |
Marketing and Distribution—ETF Shares | 1,020 |
Custodian Fees | 462 |
Shareholders’ Reports—Investor Shares | 81 |
Shareholders’ Reports—Admiral Shares | 55 |
Shareholders’ Reports—Signal Shares | 42 |
Shareholders’ Reports—Institutional Shares | 62 |
Shareholders’ Reports—Institutional Plus Shares | 21 |
Shareholders’ Reports—ETF Shares | 68 |
Trustees’ Fees and Expenses | 15 |
Total Expenses | 22,884 |
Net Investment Income | 298,504 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 951,104 |
Futures Contracts | 5,659 |
Realized Net Gain (Loss) | 956,763 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 1,719,608 |
Futures Contracts | (9,410) |
Change in Unrealized Appreciation (Depreciation) | 1,710,198 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,965,465 |
1 Interest income from an affiliated company of the fund was $135,000.
See accompanying Notes, which are an integral part of the Financial Statements.
17
Small-Cap Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2014 | 2013 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 298,504 | 556,220 |
Realized Net Gain (Loss) | 956,763 | 583,222 |
Change in Unrealized Appreciation (Depreciation) | 1,710,198 | 10,277,416 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,965,465 | 11,416,858 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (96) | (59,108) |
Admiral Shares | (818) | (130,303) |
Signal Shares | (604) | (95,062) |
Institutional Shares | (696) | (118,018) |
Institutional Plus Shares | (412) | (56,696) |
ETF Shares | (701) | (108,060) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Signal Shares | — | — |
Institutional Shares | — | — |
Institutional Plus Shares | — | — |
ETF Shares | — | — |
Total Distributions | (3,327) | (567,247) |
Capital Share Transactions | ||
Investor Shares | (171,670) | (140,555) |
Admiral Shares | 2,898,658 | 1,110,132 |
Signal Shares | (2,125,910) | 1,241,430 |
Institutional Shares | (80,210) | 948,902 |
Institutional Plus Shares | 921,145 | 914,375 |
ETF Shares | 503,462 | 1,555,179 |
Net Increase (Decrease) from Capital Share Transactions | 1,945,475 | 5,629,463 |
Total Increase (Decrease) | 4,907,613 | 16,479,074 |
Net Assets | ||
Beginning of Period | 44,243,097 | 27,764,023 |
End of Period1 | 49,150,710 | 44,243,097 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $257,390,000 and ($37,787,000).
See accompanying Notes, which are an integral part of the Financial Statements.
18
Small-Cap Index Fund
Financial Highlights
Investor Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $52.69 | $38.74 | $33.38 | $34.75 | $27.49 | $20.40 |
Investment Operations | ||||||
Net Investment Income | .301 | .609 | .659 | .402 | .355 | .272 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 3.060 | 13.958 | 5.363 | (1.375) | 7.266 | 7.094 |
Total from Investment Operations | 3.361 | 14.567 | 6.022 | (.973) | 7.621 | 7.366 |
Distributions | ||||||
Dividends from Net Investment Income | (.001) | (.617) | (.662) | (.397) | (.361) | (.276) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.001) | (.617) | (.662) | (.397) | (.361) | (.276) |
Net Asset Value, End of Period | $56.05 | $52.69 | $38.74 | $33.38 | $34.75 | $27.49 |
Total Return1 | 6.38% | 37.62% | 18.04% | -2.80% | 27.72% | 36.12% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $5,181 | $5,041 | $3,813 | $3,925 | $5,270 | $5,913 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.23% | 0.24% | 0.24% | 0.24% | 0.26% | 0.28% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.35% | 1.39% | 1.82% | 1.15% | 1.24% | 1.30% |
Portfolio Turnover Rate2 | 10% | 29% | 14% | 17% | 12% | 14% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about
any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
19
Small-Cap Index Fund
Financial Highlights
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $52.72 | $38.76 | $33.39 | $34.78 | $27.50 | $20.40 |
Investment Operations | ||||||
Net Investment Income | .348 | .681 | .717 | .461 | .384 | .303 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 3.056 | 13.968 | 5.372 | (1.395) | 7.286 | 7.105 |
Total from Investment Operations | 3.404 | 14.649 | 6.089 | (.934) | 7.670 | 7.408 |
Distributions | ||||||
Dividends from Net Investment Income | (.004) | (.689) | (.719) | (.456) | (.390) | (.308) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.004) | (.689) | (.719) | (.456) | (.390) | (.308) |
Net Asset Value, End of Period | $56.12 | $52.72 | $38.76 | $33.39 | $34.78 | $27.50 |
Total Return1 | 6.46% | 37.81% | 18.24% | -2.69% | 27.89% | 36.33% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $13,823 | $10,126 | $6,541 | $5,525 | $5,554 | $1,992 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.09% | 0.10% | 0.10% | 0.12% | 0.14% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.49% | 1.54% | 1.96% | 1.29% | 1.38% | 1.44% |
Portfolio Turnover Rate2 | 10% | 29% | 14% | 17% | 12% | 14% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about
any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
20
Small-Cap Index Fund
Financial Highlights
Signal Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $47.49 | $34.92 | $30.08 | $31.33 | $24.79 | $18.39 |
Investment Operations | ||||||
Net Investment Income | .307 | .614 | .648 | .417 | .359 | .274 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.767 | 12.577 | 4.841 | (1.254) | 6.545 | 6.405 |
Total from Investment Operations | 3.074 | 13.191 | 5.489 | (.837) | 6.904 | 6.679 |
Distributions | ||||||
Dividends from Net Investment Income | (.004) | (.621) | (.649) | (.413) | (.364) | (.279) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.004) | (.621) | (.649) | (.413) | (.364) | (.279) |
Net Asset Value, End of Period | $50.56 | $47.49 | $34.92 | $30.08 | $31.33 | $24.79 |
Total Return | 6.47% | 37.79% | 18.25% | -2.68% | 27.85% | 36.34% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $5,599 | $7,351 | $4,329 | $3,075 | $2,300 | $1,763 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.09% | 0.10% | 0.10% | 0.12% | 0.14% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.49% | 1.54% | 1.96% | 1.29% | 1.38% | 1.44% |
Portfolio Turnover Rate1 | 10% | 29% | 14% | 17% | 12% | 14% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
21
Small-Cap Index Fund
Financial Highlights
Institutional Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $52.71 | $38.76 | $33.39 | $34.77 | $27.50 | $20.40 |
Investment Operations | ||||||
Net Investment Income | .347 | .686 | .724 | .467 | .410 | .316 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 3.067 | 13.957 | 5.372 | (1.385) | 7.276 | 7.106 |
Total from Investment Operations | 3.414 | 14.643 | 6.096 | (.918) | 7.686 | 7.422 |
Distributions | ||||||
Dividends from Net Investment Income | (.004) | (.693) | (.726) | (.462) | (.416) | (.322) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.004) | (.693) | (.726) | (.462) | (.416) | (.322) |
Net Asset Value, End of Period | $56.12 | $52.71 | $38.76 | $33.39 | $34.77 | $27.50 |
Total Return | 6.48% | 37.80% | 18.26% | -2.65% | 27.95% | 36.40% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $9,696 | $9,185 | $5,955 | $4,894 | $5,711 | $4,162 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.50% | 1.55% | 1.98% | 1.31% | 1.42% | 1.50% |
Portfolio Turnover Rate1 | 10% | 29% | 14% | 17% | 12% | 14% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
22
Small-Cap Index Fund
Financial Highlights
Institutional Plus Shares | |||||
Six Months | Dec. 17, | ||||
Ended | 20101 to | ||||
June 30, | Year Ended December 31, | Dec. 31, | |||
For a Share Outstanding Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $152.16 | $111.87 | $96.37 | $100.38 | $100.73 |
Investment Operations | |||||
Net Investment Income | 1.025 | 2.007 | 2.114 | 1.373 | .0642 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | 8.828 | 40.311 | 15.506 | (4.023) | .767 |
Total from Investment Operations | 9.853 | 42.318 | 17.620 | (2.650) | .831 |
Distributions | |||||
Dividends from Net Investment Income | (.013) | (2.028) | (2.120) | (1.360) | (1.181) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.013) | (2.028) | (2.120) | (1.360) | (1.181) |
Net Asset Value, End of Period | $162.00 | $152.16 | $111.87 | $96.37 | $100.38 |
Total Return | 6.48% | 37.85% | 18.29% | -2.65% | 0.82% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $5,568 | $4,323 | $2,435 | $1,840 | $341 |
Ratio of Total Expenses to | |||||
Average Net Assets | 0.06% | 0.06% | 0.06% | 0.06% | 0.06%3 |
Ratio of Net Investment Income to | |||||
Average Net Assets | 1.52% | 1.57% | 2.00% | 1.33% | 1.44%3 |
Portfolio Turnover Rate 4 | 10% | 29% | 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 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.
23
Small-Cap Index Fund
Financial Highlights
ETF Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period $110.02 | $80.89 | $69.70 | $72.58 | $57.41 | $42.60 | |
Investment Operations | ||||||
Net Investment Income | .724 | 1.424 | 1.500 | .957 | .833 | .646 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 6.385 | 29.145 | 11.194 | (2.891) | 15.183 | 14.822 |
Total from Investment Operations | 7.109 | 30.569 | 12.694 | (1.934) | 16.016 | 15.468 |
Distributions | ||||||
Dividends from Net Investment Income | (.009) | (1.439) | (1.504) | (.946) | (.846) | (.658) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.009) | (1.439) | (1.504) | (.946) | (.846) | (.658) |
Net Asset Value, End of Period | $117.12 | $110.02 | $80.89 | $69.70 | $72.58 | $57.41 |
Total Return | 6.46% | 37.80% | 18.22% | -2.68% | 27.89% | 36.31% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $9,284 | $8,217 | $4,691 | $3,683 | $4,843 | $3,460 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.09% | 0.10% | 0.10% | 0.12% | 0.14% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.49% | 1.54% | 1.96% | 1.29% | 1.38% | 1.44% |
Portfolio Turnover Rate1 | 10% | 29% | 14% | 17% | 12% | 14% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
24
Small-Cap Index Fund
Notes to Financial Statements
Vanguard Small-Cap Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers 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. investment companies. 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. 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.
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).
During the six months ended June 30, 2014, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.
25
Small-Cap Index Fund
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, 2010–2013), and for the period ended June 30, 2014, 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 lends 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 prequalified counter-parties, 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; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the absence of a default the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets 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. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $2.89 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at June 30, 2014, or at any time during the period then ended.
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. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. 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.
26
Small-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 based on 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, 2014, the fund had contributed capital of $4,807,000 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.
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, 2014, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 49,093,784 | — | 2,366 |
Temporary Cash Investments | 464,883 | 24,797 | — |
Futures Contracts—Assets1 | 549 | — | — |
Futures Contracts—Liabilities1 | (133) | — | — |
Total | 49,559,083 | 24,797 | 2,366 |
1 Represents variation margin on the last day of the reporting period. |
D. At June 30, 2014, 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 2014 | 342 | 40,708 | 538 |
E-mini S&P MidCap 400 Index | September 2014 | 54 | 7,718 | 165 |
703 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
27
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.
During the six months ended June 30, 2014, the fund realized $957,639,000 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, 2013, the fund had available capital losses totaling $1,606,276,000 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 $660,119,000 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, 2014; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2014, the cost of investment securities for tax purposes was $35,250,198,000. Net unrealized appreciation of investment securities for tax purposes was $14,335,632,000, consisting of unrealized gains of $15,399,792,000 on securities that had risen in value since their purchase and $1,064,160,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2014, the fund purchased $7,030,221,000 of investment securities and sold $4,364,882,000 of investment securities, other than temporary cash investments. Purchases and sales include $2,673,089,000 and $2,147,230,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
28
Small-Cap Index Fund
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2014 | December 31, 2013 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 478,699 | 8,989 | 1,042,480 | 22,850 |
Issued in Lieu of Cash Distributions | 93 | 2 | 56,809 | 1,090 |
Redeemed | (650,462) | (12,238) | (1,239,844) | (26,671) |
Net Increase (Decrease)—Investor Shares | (171,670) | (3,247) | (140,555) | (2,731) |
Admiral Shares | ||||
Issued | 3,606,165 | 67,521 | 1,852,237 | 39,626 |
Issued in Lieu of Cash Distributions | 737 | 14 | 117,877 | 2,260 |
Redeemed | (708,244) | (13,293) | (859,982) | (18,566) |
Net Increase (Decrease)—Admiral Shares | 2,898,658 | 54,242 | 1,110,132 | 23,320 |
Signal Shares | ||||
Issued | 1,013,405 | 21,146 | 2,803,375 | 67,822 |
Issued in Lieu of Cash Distributions | 563 | 12 | 86,598 | 1,843 |
Redeemed | (3,139,878) | (65,205) | (1,648,543) | (38,841) |
Net Increase (Decrease)—Signal Shares | (2,125,910) | (44,047) | 1,241,430 | 30,824 |
Institutional Shares | ||||
Issued | 1,322,048 | 24,759 | 2,730,652 | 59,376 |
Issued in Lieu of Cash Distributions | 646 | 12 | 109,774 | 2,105 |
Redeemed | (1,402,904) | (26,239) | (1,891,524) | (40,878) |
Net Increase (Decrease)—Institutional Shares | (80,210) | (1,468) | 948,902 | 20,603 |
Institutional Plus Shares | ||||
Issued | 1,228,968 | 7,965 | 1,629,864 | 12,227 |
Issued in Lieu of Cash Distributions | 412 | 3 | 56,601 | 376 |
Redeemed | (308,235) | (2,004) | (772,090) | (5,966) |
Net Increase (Decrease)—Institutional Plus Shares | 921,145 | 5,964 | 914,375 | 6,637 |
ETF Shares | ||||
Issued | 2,743,550 | 24,276 | 4,397,170 | 44,397 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (2,240,088) | (19,700) | (2,841,991) | (27,700) |
Net Increase (Decrease)—ETF Shares | 503,462 | 4,576 | 1,555,179 | 16,697 |
H. Management has determined that no material events or transactions occurred subsequent to June 30, 2014, that would require recognition or disclosure in these financial statements.
29
Small-Cap Growth Index Fund
Fund Profile
As of June 30, 2014
Share-Class Characteristics | ||||
Investor | Admiral | Institutional | ||
Shares | Shares | Shares | ETF Shares | |
Ticker Symbol | VISGX | VSGAX | VSGIX | VBK |
Expense Ratio1 | 0.24% | 0.09% | 0.08% | 0.09% |
30-Day SEC Yield | 0.58% | 0.72% | 0.73% | 0.72% |
Portfolio Characteristics | |||
DJ | |||
CRSP US | U.S. | ||
Small Cap | Total | ||
Growth | Market | ||
Fund | Index | FA Index | |
Number of Stocks | 718 | 710 | 3,730 |
Median Market Cap | $3.3B | $3.3B | $45.5B |
Price/Earnings Ratio | 41.7x | 41.7x | 20.7x |
Price/Book Ratio | 3.5x | 3.5x | 2.7x |
Return on Equity | 11.6% | 11.6% | 17.4% |
Earnings Growth | |||
Rate | 18.0% | 18.0% | 14.4% |
Dividend Yield | 0.8% | 0.8% | 1.8% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 28% | — | — |
Short-Term Reserves | 0.1% | — | — |
Sector Diversification (% of equity exposure) | |||
CRSP US | DJ | ||
Small Cap | U.S. Total | ||
Growth | Market | ||
Fund | Index | FA Index | |
Basic Materials | 3.0% | 3.0% | 3.1% |
Consumer Goods | 8.1 | 8.1 | 9.9 |
Consumer Services | 13.3 | 13.4 | 13.2 |
Financials | 18.3 | 18.3 | 18.2 |
Health Care | 14.2 | 14.2 | 12.2 |
Industrials | 17.9 | 17.8 | 12.9 |
Oil & Gas | 7.9 | 7.9 | 9.9 |
Technology | 16.1 | 16.1 | 15.1 |
Telecommunications | 0.6 | 0.6 | 2.2 |
Utilities | 0.6 | 0.6 | 3.3 |
Volatility Measures | ||
DJ | ||
Spliced | U.S. Total | |
Small-Cap | Market | |
Growth Index | FA Index | |
R-Squared | 1.00 | 0.90 |
Beta | 1.00 | 1.28 |
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) | ||
Salix Pharmaceuticals | ||
Ltd. | Pharmaceuticals | 0.6% |
Harman International | Consumer | |
Industries Inc. | Electronics | 0.6 |
Alkermes plc | Pharmaceuticals | 0.6 |
Cooper Cos. Inc. | Medical Supplies | 0.5 |
Kirby Corp. | Marine | |
Transportation | 0.5 | |
Duke Realty Corp. | Industrial & Office | |
REITs | 0.5 | |
Acuity Brands Inc. | Building Materials & | |
Fixtures | 0.5 | |
Toll Brothers Inc. | Home Construction | 0.5 |
Extra Space Storage Inc. | Specialty REITs | 0.4 |
SVB Financial Group | Banks | 0.4 |
Top Ten | 5.1% | |
The holdings listed exclude any temporary cash investments and equity index products. | ||
1 The expense ratios shown are from the prospectus dated April 28, 2014, and represent estimated costs for the current fiscal year. For the six
months ended June 30, 2014, the annualized expense ratios were 0.23% for Investor Shares, 0.09% for Admiral Shares, 0.08% for Institutional
Shares, and 0.09% for ETF Shares.
30
Small-Cap Growth Index Fund
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-14-006700/smallcapfunds_q48x33x1.jpg)
31
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, 2003, Through June 30, 2014
![](https://capedge.com/proxy/N-CSRS/0000932471-14-006700/smallcapfunds_q48x34x1.jpg)
Note: For 2014, performance data reflect the six months ended June 30, 2014.
| ||||
Average Annual Total Returns: Periods Ended June 30, 2014 | ||||
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 5/21/1998 | 24.27% | 22.10% | 10.31% |
Admiral Shares | 9/27/2011 | 24.45 | — | 24.511 |
Institutional Shares | 5/24/2000 | 24.43 | 22.31 | 10.49 |
ETF Shares | 1/26/2004 | |||
Market Price | 24.50 | 22.30 | 10.49 | |
Net Asset Value | 24.43 | 22.27 | 10.44 | |
1 Return since inception. |
See Financial Highlights for dividend and capital gains information.
32
Small-Cap Growth Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of June 30, 2014
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 | |||
Royal Gold Inc. | 744,466 | 56,669 | 0.4% |
Basic Materials—Other † | 416,506 | 2.6% | |
473,175 | 3.0% | ||
Consumer Goods | |||
Harman International Industries Inc. | 825,040 | 88,634 | 0.6% |
* Toll Brothers Inc. | 1,938,239 | 71,521 | 0.4% |
* WhiteWave Foods Co. Class A | 2,106,412 | 68,185 | 0.4% |
* Kate Spade & Co. | 1,531,805 | 58,423 | 0.4% |
* Middleby Corp. | 693,207 | 57,342 | 0.4% |
Consumer Goods—Other † | 939,257 | 5.9% | |
1,283,362 | 8.1% | ||
Consumer Services | |||
* Pandora Media Inc. | 2,238,465 | 66,035 | 0.4% |
Dunkin’ Brands Group Inc. | 1,287,227 | 58,968 | 0.4% |
* Spirit Airlines Inc. | 880,453 | 55,680 | 0.3% |
Consumer Services—Other † | 1,927,242 | 12.2% | |
2,107,925 | 13.3% | ||
Financials | |||
Duke Realty Corp. | 3,991,371 | 72,483 | 0.5% |
Extra Space Storage Inc. | 1,334,959 | 71,087 | 0.5% |
* SVB Financial Group | 604,933 | 70,547 | 0.4% |
WP Carey Inc. | 1,083,164 | 69,756 | 0.4% |
* Signature Bank | 531,415 | 67,054 | 0.4% |
DDR Corp. | 3,697,376 | 65,185 | 0.4% |
* Howard Hughes Corp. | 407,734 | 64,353 | 0.4% |
Regency Centers Corp. | 1,117,724 | 62,235 | 0.4% |
Kilroy Realty Corp. | 998,074 | 62,160 | 0.4% |
Waddell & Reed Financial Inc. Class A | 980,001 | 61,338 | 0.4% |
Taubman Centers Inc. | 727,419 | 55,146 | 0.4% |
Financials—Other † | 2,170,587 | 13.7% | |
2,891,931 | 18.3% |
33
Small-Cap Growth Index Fund
Market | Percentage | |||
Value | of Net | |||
Shares | ($000) | Assets | ||
Health Care | ||||
* | Salix Pharmaceuticals Ltd. | 729,759 | 90,016 | 0.6% |
* | Alkermes plc | 1,750,665 | 88,111 | 0.6% |
Cooper Cos. Inc. | 580,804 | 78,716 | 0.5% | |
* | MEDNAX Inc. | 1,204,022 | 70,014 | 0.4% |
* | Medivation Inc. | 880,649 | 67,880 | 0.4% |
Questcor Pharmaceuticals Inc. | 701,829 | 64,912 | 0.4% | |
* | Cubist Pharmaceuticals Inc. | 911,526 | 63,643 | 0.4% |
* | Sirona Dental Systems Inc. | 698,501 | 57,598 | 0.4% |
Health Care—Other † | 1,659,982 | 10.5% | ||
2,240,872 | 14.2% | |||
Industrials | ||||
* | Kirby Corp. | 621,290 | 72,778 | 0.5% |
Acuity Brands Inc. | 523,445 | 72,366 | 0.4% | |
Waste Connections Inc. | 1,426,487 | 69,256 | 0.4% | |
Lincoln Electric Holdings Inc. | 973,503 | 68,028 | 0.4% | |
* | Genesee & Wyoming Inc. Class A | 630,429 | 66,195 | 0.4% |
Jack Henry & Associates Inc. | 1,023,417 | 60,822 | 0.4% | |
* | Vantiv Inc. Class A | 1,768,124 | 59,444 | 0.4% |
* | CoStar Group Inc. | 365,984 | 57,888 | 0.4% |
Graco Inc. | 733,722 | 57,289 | 0.4% | |
MSC Industrial Direct Co. Inc. Class A | 588,359 | 56,271 | 0.3% | |
Industrials—Other † | 2,177,630 | 13.8% | ||
2,817,967 | 17.8% | |||
Oil & Gas | ||||
* | Gulfport Energy Corp. | 1,034,056 | 64,939 | 0.4% |
Targa Resources Corp. | 461,379 | 64,395 | 0.4% | |
* | Oasis Petroleum Inc. | 1,040,885 | 58,175 | 0.4% |
Oil & Gas—Other † | 1,055,065 | 6.7% | ||
1,242,574 | 7.9% | |||
Technology | ||||
* | SunEdison Inc. | 2,914,095 | 65,859 | 0.4% |
IAC/InterActiveCorp | 935,026 | 64,732 | 0.4% | |
* | Palo Alto Networks Inc. | 746,497 | 62,594 | 0.4% |
* | Cadence Design Systems Inc. | 3,504,375 | 61,291 | 0.4% |
* | athenahealth Inc. | 458,047 | 57,315 | 0.4% |
Solera Holdings Inc. | 832,758 | 55,920 | 0.4% | |
* | PTC Inc. | 1,435,834 | 55,710 | 0.3% |
Technology—Other † | 2,118,314 | 13.4% | ||
2,541,735 | 16.1% | |||
Telecommunications | ||||
* | tw telecom inc Class A | 1,669,503 | 67,298 | 0.4% |
Telecommunications—Other † | 32,992 | 0.2% | ||
100,290 | 0.6% | |||
Utilities | ||||
ITC Holdings Corp. | 1,909,597 | 69,662 | 0.4% | |
Utilities—Other † | 26,462 | 0.2% | ||
96,124 | 0.6% | |||
Total Common Stocks (Cost $11,587,974) | 15,795,955 | 99.9%1 |
34
Small-Cap Growth Index Fund
Market | Percentage | |||
Value | of Net | |||
Coupon | Shares | ($000) | Assets | |
Temporary Cash Investments | ||||
Money Market Fund | ||||
2,3 Vanguard Market Liquidity Fund | 0.111% | 259,731,887 | 259,732 | 1.6% |
4U.S. Government and Agency Obligations † | 9,897 | 0.1% | ||
Total Temporary Cash Investments (Cost $269,630) | 269,629 | 1.7%1 | ||
5Total Investments (Cost $11,857,604) | 16,065,584 | 101.6% | ||
Other Assets and Liabilities | ||||
Other Assets | 33,038 | 0.2% | ||
Liabilities3 | (279,624) | (1.8%) | ||
(246,586) | (1.6%) | |||
Net Assets | 15,818,998 | 100.0% | ||
At June 30, 2014, net assets consisted of: | ||||
Amount | ||||
($000) | ||||
Paid-in Capital | 12,144,029 | |||
Undistributed Net Investment Income | 52,766 | |||
Accumulated Net Realized Losses | (586,068) | |||
Unrealized Appreciation (Depreciation) | ||||
Investment Securities | 4,207,980 | |||
Futures Contracts | 291 | |||
Net Assets | 15,818,998 | |||
Investor Shares—Net Assets | ||||
Applicable to 74,901,245 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 2,680,487 | |||
Net Asset Value Per Share—Investor Shares | $35.79 | |||
Admiral Shares—Net Assets | ||||
Applicable to 120,422,766 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 5,392,130 | |||
Net Asset Value Per Share—Admiral Shares | $44.78 |
35
Small-Cap Growth Index Fund
Amount | |
($000) | |
Institutional Shares—Net Assets | |
Applicable to 108,882,290 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 3,904,472 |
Net Asset Value Per Share—Institutional Shares | $35.86 |
ETF Shares—Net Assets | |
Applicable to 30,169,424 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 3,841,909 |
Net Asset Value Per Share—ETF Shares | $127.34 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent
1% or less of net assets.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund’s effective common stock and temporary cash investment positions represent 100.1% 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 $232,466,000 of collateral received for securities on loan.
4 Securities with a value of $1,500,000 have been segregated as initial margin for open futures contracts.
5 The total value of securities on loan is $221,147,000.
See accompanying Notes, which are an integral part of the Financial Statements.
36
Small-Cap Growth Index Fund
Statement of Operations
Six Months Ended | |
June 30, 2014 | |
($000) | |
Investment Income | |
Income | |
Dividends | 63,786 |
Interest1 | 21 |
Securities Lending | 7,182 |
Total Income | 70,989 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 831 |
Management and Administrative—Investor Shares | 2,502 |
Management and Administrative—Admiral Shares | 1,454 |
Management and Administrative—Institutional Shares | 806 |
Management and Administrative—ETF Shares | 1,023 |
Marketing and Distribution—Investor Shares | 370 |
Marketing and Distribution—Admiral Shares | 493 |
Marketing and Distribution—Institutional Shares | 471 |
Marketing and Distribution—ETF Shares | 390 |
Custodian Fees | 129 |
Shareholders’ Reports—Investor Shares | 38 |
Shareholders’ Reports—Admiral Shares | 23 |
Shareholders’ Reports—Institutional Shares | 24 |
Shareholders’ Reports—ETF Shares | 36 |
Trustees’ Fees and Expenses | 5 |
Total Expenses | 8,595 |
Net Investment Income | 62,394 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 341,673 |
Futures Contracts | 1,861 |
Realized Net Gain (Loss) | 343,534 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 226,337 |
Futures Contracts | (392) |
Change in Unrealized Appreciation (Depreciation) | 225,945 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 631,873 |
1 Interest income from an affiliated company of the fund was $20,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
37
Small-Cap Growth Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2014 | 2013 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 62,394 | 93,647 |
Realized Net Gain (Loss) | 343,534 | 913,713 |
Change in Unrealized Appreciation (Depreciation) | 225,945 | 2,952,175 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 631,873 | 3,959,535 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (239) | (13,753) |
Admiral Shares | (593) | (31,388) |
Institutional Shares | (570) | (24,532) |
ETF Shares | (526) | (23,474) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (1,928) | (93,147) |
Capital Share Transactions | ||
Investor Shares | (280,206) | (738,905) |
Admiral Shares | 296,520 | 1,252,154 |
Institutional Shares | (73,288) | 609,367 |
ETF Shares | 46,212 | 510,887 |
Net Increase (Decrease) from Capital Share Transactions | (10,762) | 1,633,503 |
Total Increase (Decrease) | 619,183 | 5,499,891 |
Net Assets | ||
Beginning of Period | 15,199,815 | 9,699,924 |
End of Period1 | 15,818,998 | 15,199,815 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $52,766,000 and ($7,700,000).
See accompanying Notes, which are an integral part of the Financial Statements.
38
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 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $34.37 | $25.03 | $21.49 | $21.92 | $16.83 | $11.90 |
Investment Operations | ||||||
Net Investment Income | .120 | .168 | .223 | .086 | .075 | .046 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.303 | 9.336 | 3.541 | (.431) | 5.091 | 4.933 |
Total from Investment Operations | 1.423 | 9.504 | 3.764 | (.345) | 5.166 | 4.979 |
Distributions | ||||||
Dividends from Net Investment Income | (.003) | (.164) | (.224) | (.085) | (.076) | (.049) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.003) | (.164) | (.224) | (.085) | (.076) | (.049) |
Net Asset Value, End of Period | $35.79 | $34.37 | $25.03 | $21.49 | $21.92 | $16.83 |
Total Return1 | 4.14% | 37.98% | 17.52% | -1.58% | 30.69% | 41.85% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,680 | $2,859 | $2,649 | $2,613 | $4,229 | $3,018 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.23% | 0.24% | 0.24% | 0.24% | 0.26% | 0.28% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 0.78% | 0.63% | 0.97% | 0.37% | 0.43% | 0.33% |
Portfolio Turnover Rate2 | 28% | 50% | 37% | 40% | 34% | 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 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
Admiral Shares | ||||
Six Months | Sept. 27, | |||
Ended | Year Ended | 20111 to | ||
June 30, | December 31, | Dec. 31, | ||
For a Share Outstanding Throughout Each Period | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $42.98 | $31.30 | $26.88 | $25.00 |
Investment Operations | ||||
Net Investment Income | .182 | .284 | .326 | .031 |
Net Realized and Unrealized Gain (Loss) on Investments | 1.623 | 11.676 | 4.420 | 1.962 |
Total from Investment Operations | 1.805 | 11.960 | 4.746 | 1.993 |
Distributions | ||||
Dividends from Net Investment Income | (.005) | (.280) | (.326) | (.113) |
Distributions from Realized Capital Gains | — | — | — | — |
Total Distributions | (.005) | (.280) | (.326) | (.113) |
Net Asset Value, End of Period | $44.78 | $42.98 | $31.30 | $26.88 |
Total Return2 | 4.20% | 38.22% | 17.66% | 7.97% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $5,392 | $4,881 | $2,539 | $1,781 |
Ratio of Total Expenses to Average Net Assets | 0.09% | 0.09% | 0.10% | 0.10%3 |
Ratio of Net Investment Income to Average Net Assets | 0.92% | 0.78% | 1.11% | 0.51%3 |
Portfolio Turnover Rate 4 | 28% | 50% | 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 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.
40
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 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $34.42 | $25.07 | $21.53 | $21.96 | $16.85 | $11.91 |
Investment Operations | ||||||
Net Investment Income | .147 | .229 | .265 | .125 | .107 | .072 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.298 | 9.346 | 3.540 | (.432) | 5.111 | 4.944 |
Total from Investment Operations | 1.445 | 9.575 | 3.805 | (.307) | 5.218 | 5.016 |
Distributions | ||||||
Dividends from Net Investment Income | (.005) | (.225) | (.265) | (.123) | (.108) | (.076) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.005) | (.225) | (.265) | (.123) | (.108) | (.076) |
Net Asset Value, End of Period | $35.86 | $34.42 | $25.07 | $21.53 | $21.96 | $16.85 |
Total Return | 4.20% | 38.20% | 17.68% | -1.40% | 30.96% | 42.13% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,904 | $3,823 | $2,302 | $1,622 | $1,527 | $945 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 0.93% | 0.79% | 1.13% | 0.53% | 0.61% | 0.53% |
Portfolio Turnover Rate1 | 28% | 50% | 37% | 40% | 34% | 38% |
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
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 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period $122.23 | $89.03 | $76.45 | $77.98 | $59.86 | $42.32 | |
Investment Operations | ||||||
Net Investment Income | .516 | .802 | .925 | .424 | .360 | .225 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 4.611 | 33.188 | 12.578 | (1.535) | 18.121 | 17.555 |
Total from Investment Operations | 5.127 | 33.990 | 13.503 | (1.111) | 18.481 | 17.780 |
Distributions | ||||||
Dividends from Net Investment Income | (.017) | (.790) | (.923) | (.419) | (.361) | (.240) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.017) | (.790) | (.923) | (.419) | (.361) | (.240) |
Net Asset Value, End of Period | $127.34 | $122.23 | $89.03 | $76.45 | $77.98 | $59.86 |
Total Return | 4.19% | 38.18% | 17.67% | -1.43% | 30.87% | 42.02% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,842 | $3,637 | $2,209 | $1,857 | $1,842 | $1,177 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.09% | 0.10% | 0.10% | 0.12% | 0.14% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 0.92% | 0.78% | 1.11% | 0.51% | 0.57% | 0.47% |
Portfolio Turnover Rate1 | 28% | 50% | 37% | 40% | 34% | 38% |
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
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.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. 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. 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.
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).
During the six months ended June 30, 2014, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.
43
Small-Cap Growth Index Fund
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, 2010–2013), and for the period ended June 30, 2014, 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 lends 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 prequalified counter-parties, 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; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the absence of a default the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets 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. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $2.89 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at June 30, 2014, or at any time during the period then ended.
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. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
44
Small-Cap Growth Index Fund
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund based on 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, 2014, the fund had contributed capital of $1,549,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.62% 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, 2014, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 15,795,955 | — | — |
Temporary Cash Investments | 259,732 | 9,897 | — |
Futures Contracts—Assets1 | 198 | — | — |
Total | 16,055,885 | 9,897 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At June 30, 2014, 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 2014 | 238 | 28,329 | 291 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
45
Small-Cap Growth 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, 2014, the fund realized $393,260,000 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, 2013, the fund had available capital losses $509,185,000 to offset future net capital gains. Of this amount, $504,200,000 is subject to expiration dates; $243,082,000 through December 31, 2017, and $261,118,000 through December 31, 2018. Capital losses of $4,985,000 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, 2014; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2014, the cost of investment securities for tax purposes was $11,857,604,000. Net unrealized appreciation of investment securities for tax purposes was $4,207,980,000, consisting of unrealized gains of $4,557,334,000 on securities that had risen in value since their purchase and $349,354,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2014, the fund purchased $3,193,710,000 of investment securities and sold $3,133,211,000 of investment securities, other than temporary cash investments. Purchases and sales include $997,443,000 and $932,930,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
46
Small-Cap Growth Index Fund
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2014 | December 31, 2013 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 328,130 | 9,500 | 885,186 | 29,970 |
Issued in Lieu of Cash Distributions | 222 | 6 | 12,789 | 375 |
Redeemed | (608,558) | (17,773) | (1,636,880) | (53,015) |
Net Increase (Decrease)—Investor Shares | (280,206) | (8,267) | (738,905) | (22,670) |
Admiral Shares | ||||
Issued | 847,332 | 19,693 | 1,872,580 | 48,848 |
Issued in Lieu of Cash Distributions | 556 | 13 | 29,408 | 691 |
Redeemed | (551,368) | (12,848) | (649,834) | (17,093) |
Net Increase (Decrease)—Admiral Shares | 296,520 | 6,858 | 1,252,154 | 32,446 |
Institutional Shares | ||||
Issued | 379,248 | 11,051 | 1,119,510 | 36,742 |
Issued in Lieu of Cash Distributions | 556 | 16 | 23,841 | 699 |
Redeemed | (453,092) | (13,269) | (533,984) | (18,199) |
Net Increase (Decrease)—Institutional Shares | (73,288) | (2,202) | 609,367 | 19,242 |
ETF Shares | ||||
Issued | 999,894 | 8,011 | 1,903,832 | 17,142 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (953,682) | (7,600) | (1,392,945) | (12,200) |
Net Increase (Decrease)—ETF Shares | 46,212 | 411 | 510,887 | 4,942 |
H. Management has determined that no material events or transactions occurred subsequent to June 30, 2014, that would require recognition or disclosure in these financial statements.
47
Small-Cap Value Index Fund
Fund Profile
As of June 30, 2014
Share-Class Characteristics | ||||
Investor | Admiral | Institutional | ||
Shares | Shares | Shares | ETF Shares | |
Ticker Symbol | VISVX | VSIAX | VSIIX | VBR |
Expense Ratio1 | 0.24% | 0.09% | 0.08% | 0.09% |
30-Day SEC Yield | 1.56% | 1.70% | 1.71% | 1.70% |
Portfolio Characteristics | |||
DJ | |||
U.S. | |||
CRSP US | Total | ||
Small Cap | Market | ||
Fund | Value Index | FA Index | |
Number of Stocks | 830 | 810 | 3,730 |
Median Market Cap | $3.2B | $3.2B | $45.5B |
Price/Earnings Ratio | 23.9x | 23.9x | 20.7x |
Price/Book Ratio | 2.0x | 2.0x | 2.7x |
Return on Equity | 11.2% | 11.2% | 17.4% |
Earnings Growth | |||
Rate | 9.3% | 9.3% | 14.4% |
Dividend Yield | 1.8% | 1.8% | 1.8% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 12% | — | — |
Short-Term Reserves | -0.1% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
CRSP US | U.S. Total | ||
Small Cap | Market | ||
Fund | Value Index | FA Index | |
Basic Materials | 5.5% | 5.6% | 3.1% |
Consumer Goods | 7.1 | 7.1 | 9.9 |
Consumer Services | 13.1 | 13.1 | 13.2 |
Financials | 28.1 | 28.1 | 18.2 |
Health Care | 5.8 | 5.7 | 12.2 |
Industrials | 21.0 | 21.0 | 12.9 |
Oil & Gas | 5.1 | 5.1 | 9.9 |
Technology | 7.6 | 7.6 | 15.1 |
Telecommunications | 0.4 | 0.4 | 2.2 |
Utilities | 6.3 | 6.3 | 3.3 |
Volatility Measures | ||
DJ | ||
Spliced | U.S. Total | |
Small-Cap | Market | |
Value Index | FA Index | |
R-Squared | 1.00 | 0.95 |
Beta | 1.00 | 1.20 |
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) | ||
Hillshire Brands Co. | Food Products | 0.5% |
Foot Locker Inc. | Apparel Retailers | 0.5 |
Arthur J Gallagher & Co. | Property & Casualty | |
Insurance | 0.5 | |
Gannett Co. Inc. | Publishing | 0.5 |
Rite Aid Corp. | Drug Retailers | 0.5 |
Snap-on Inc. | Durable Household | |
Products | 0.4 | |
Goodyear Tire & Rubber | ||
Co. | Tires | 0.4 |
Trinity Industries Inc. | Commercial Vehicles | |
& Trucks | 0.4 | |
Omnicare Inc. | Drug Retailers | 0.4 |
AGL Resources Inc. | Gas Distribution | 0.4 |
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 28, 2014, and represent estimated costs for the current fiscal year. For the six
months ended June 30, 2014, the annualized expense ratios were 0.23% for Investor Shares, 0.09% for Admiral Shares, 0.08% for Institutional
Shares, and 0.09% for ETF Shares.
48
Small-Cap Value Index Fund
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-14-006700/smallcapfunds_q48x51x1.jpg)
49
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, 2003, Through June 30, 2014
![](https://capedge.com/proxy/N-CSRS/0000932471-14-006700/smallcapfunds_q48x52x1.jpg)
Note: For 2014, performance data reflect the six months ended June 30, 2014.
Average Annual Total Returns: Periods Ended June 30, 2014 | ||||
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 5/21/1998 | 28.04% | 21.92% | 9.56% |
Admiral Shares | 9/27/2011 | 28.24 | — | 27.051 |
Institutional Shares | 12/7/1999 | 28.29 | 22.14 | 9.74 |
ETF Shares | 1/26/2004 | |||
Market Price | 28.24 | 22.11 | 9.73 | |
Net Asset Value | 28.23 | 22.10 | 9.69 | |
1 Return since inception. |
See Financial Highlights for dividend and capital gains information.
50
Small-Cap Value Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of June 30, 2014
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 | |||
RPM International Inc. | 1,209,364 | 55,848 | 0.4% |
Rockwood Holdings Inc. | 658,508 | 50,040 | 0.3% |
Basic Materials—Other † | 668,071 | 4.8% | |
773,959 | 5.5% | ||
Consumer Goods | |||
Hillshire Brands Co. | 1,113,493 | 69,371 | 0.5% |
Snap-on Inc. | 528,604 | 62,650 | 0.5% |
Goodyear Tire & Rubber Co. | 2,255,051 | 62,645 | 0.4% |
Ingredion Inc. | 676,922 | 50,796 | 0.4% |
Hanesbrands Inc. | 451,886 | 44,484 | 0.3% |
Leggett & Platt Inc. | 1,258,523 | 43,142 | 0.3% |
* Visteon Corp. | 439,433 | 42,629 | 0.3% |
Consumer Goods—Other † | 620,220 | 4.4% | |
995,937 | 7.1% | ||
Consumer Services | |||
Foot Locker Inc. | 1,323,455 | 67,126 | 0.5% |
Gannett Co. Inc. | 2,058,489 | 64,451 | 0.5% |
* Rite Aid Corp. | 8,853,620 | 63,480 | 0.5% |
Omnicare Inc. | 898,751 | 59,830 | 0.4% |
Alaska Air Group Inc. | 623,658 | 59,279 | 0.4% |
* Avis Budget Group Inc. | 956,590 | 57,099 | 0.4% |
Consumer Services—Other † | 1,455,668 | 10.4% | |
1,826,933 | 13.1% | ||
Financials | |||
Arthur J Gallagher & Co. | 1,425,894 | 66,447 | 0.5% |
NorthStar Realty Finance Corp. | 3,291,478 | 57,206 | 0.4% |
Liberty Property Trust | 1,340,550 | 50,847 | 0.4% |
Mid-America Apartment Communities Inc. | 680,740 | 49,728 | 0.4% |
Protective Life Corp. | 715,694 | 49,619 | 0.4% |
51
Small-Cap Value Index Fund
Market | Percentage | ||
Value | of Net | ||
Shares | ($000) | Assets | |
Starwood Property Trust Inc. | 2,009,259 | 47,760 | 0.3% |
East West Bancorp Inc. | 1,301,463 | 45,538 | 0.3% |
Senior Housing Properties Trust | 1,848,982 | 44,912 | 0.3% |
HCC Insurance Holdings Inc. | 906,683 | 44,373 | 0.3% |
Apartment Investment & Management Co. Class A | 1,326,016 | 42,791 | 0.3% |
Financials—Other † | 3,419,547 | 24.4% | |
3,918,768 | 28.0% | ||
Health Care | |||
Community Health Systems Inc. | 993,832 | 45,090 | 0.3% |
Covance Inc. | 521,069 | 44,593 | 0.3% |
Health Care—Other † | 710,722 | 5.1% | |
800,405 | 5.7% | ||
Industrials | |||
Trinity Industries Inc. | 1,406,047 | 61,472 | 0.4% |
IDEX Corp. | 731,745 | 59,081 | 0.4% |
Flextronics International Ltd. | 5,313,973 | 58,826 | 0.4% |
Valspar Corp. | 682,146 | 51,973 | 0.4% |
Carlisle Cos. Inc. | 581,614 | 50,379 | 0.4% |
Allegion plc | 876,132 | 49,659 | 0.4% |
Total System Services Inc. | 1,541,725 | 48,426 | 0.4% |
PerkinElmer Inc. | 1,027,565 | 48,131 | 0.3% |
Global Payments Inc. | 651,821 | 47,485 | 0.3% |
Broadridge Financial Solutions Inc. | 1,095,199 | 45,604 | 0.3% |
Oshkosh Corp. | 770,912 | 42,809 | 0.3% |
Ryder System Inc. | 482,714 | 42,522 | 0.3% |
Industrials—Other † | 2,319,724 | 16.6% | |
2,926,091 | 20.9% | ||
Oil & Gas | |||
Newfield Exploration Co. | 1,237,430 | 54,694 | 0.4% |
Superior Energy Services Inc. | 1,421,360 | 51,368 | 0.4% |
First Solar Inc. | 681,511 | 48,428 | 0.3% |
WPX Energy Inc. | 1,834,746 | 43,869 | 0.3% |
Patterson-UTI Energy Inc. | 1,245,874 | 43,531 | 0.3% |
Oil & Gas—Other † | 475,332 | 3.4% | |
717,222 | 5.1% | ||
Other † | 1,196 | 0.0% | |
Technology | |||
NCR Corp. | 1,523,883 | 53,473 | 0.4% |
Pitney Bowes Inc. | 1,839,117 | 50,796 | 0.4% |
Technology—Other † | 958,248 | 6.8% | |
1,062,517 | 7.6% | ||
Telecommunications † | 55,753 | 0.4% | |
Utilities | |||
AGL Resources Inc. | 1,082,384 | 59,564 | 0.4% |
UGI Corp. | 1,044,530 | 52,749 | 0.4% |
Atmos Energy Corp. | 909,323 | 48,558 | 0.4% |
Westar Energy Inc. Class A | 1,169,920 | 44,679 | 0.3% |
Utilities—Other † | 671,845 | 4.8% | |
877,395 | 6.3% | ||
Total Common Stocks (Cost $10,468,340) | 13,956,176 | 99.7%1 |
52
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 | 0.111% | 107,284,288 | 107,284 | 0.8% |
4U.S. Government and Agency Obligations † | 2,999 | 0.0% | ||
Total Temporary Cash Investments (Cost $110,284) | 110,283 | 0.8%1 | ||
5Total Investments (Cost $10,578,624) | 14,066,459 | 100.5% | ||
Other Assets and Liabilities | ||||
Other Assets | 52,487 | 0.4% | ||
Liabilities3 | (118,410) | (0.9%) | ||
(65,923) | (0.5%) | |||
Net Assets | 14,000,536 | 100.0% | ||
At June 30, 2014, net assets consisted of: | ||||
Amount | ||||
($000) | ||||
Paid-in Capital | 11,319,945 | |||
Undistributed Net Investment Income | 90,513 | |||
Accumulated Net Realized Losses | (898,467) | |||
Unrealized Appreciation (Depreciation) | ||||
Investment Securities | 3,487,835 | |||
Futures Contracts | 710 | |||
Net Assets | 14,000,536 | |||
Investor Shares—Net Assets | ||||
Applicable to 94,849,202 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 2,396,096 | |||
Net Asset Value Per Share—Investor Shares | $25.26 | |||
Admiral Shares—Net Assets | ||||
Applicable to 115,497,780 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 5,233,356 | |||
Net Asset Value Per Share—Admiral Shares | $45.31 | |||
Institutional Shares—Net Assets | ||||
Applicable to 75,957,056 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 1,923,698 | |||
Net Asset Value Per Share—Institutional Shares | $25.33 |
53
Small-Cap Value Index Fund
Amount | |
($000) | |
ETF Shares—Net Assets | |
Applicable to 42,174,527 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 4,447,386 |
Net Asset Value Per Share—ETF Shares | $105.45 |
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 0.5%, 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 $77,075,000 of collateral received for securities on loan.
4 Securities with a value of $1,799,000 have been segregated as initial margin for open futures contracts.
5 The total value of securities on loan is $74,241,000.
See accompanying Notes, which are an integral part of the Financial Statements.
54
Small-Cap Value Index Fund
Statement of Operations
Six Months Ended | |
June 30, 2014 | |
($000) | |
Investment Income | |
Income | |
Dividends | 111,627 |
Interest1 | 39 |
Securities Lending | 2,320 |
Total Income | 113,986 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 776 |
Management and Administrative—Investor Shares | 2,161 |
Management and Administrative—Admiral Shares | 1,342 |
Management and Administrative—Institutional Shares | 354 |
Management and Administrative—ETF Shares | 1,067 |
Marketing and Distribution—Investor Shares | 296 |
Marketing and Distribution—Admiral Shares | 396 |
Marketing and Distribution—Institutional Shares | 210 |
Marketing and Distribution—ETF Shares | 431 |
Custodian Fees | 125 |
Shareholders’ Reports—Investor Shares | 31 |
Shareholders’ Reports—Admiral Shares | 22 |
Shareholders’ Reports—Institutional Shares | 14 |
Shareholders’ Reports—ETF Shares | 35 |
Trustees’ Fees and Expenses | 5 |
Total Expenses | 7,265 |
Net Investment Income | 106,721 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 386,234 |
Futures Contracts | 834 |
Realized Net Gain (Loss) | 387,068 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 579,347 |
Futures Contracts | (291) |
Change in Unrealized Appreciation (Depreciation) | 579,056 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,072,845 |
1 Interest income from an affiliated company of the fund was $36,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
55
Small-Cap Value Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2014 | 2013 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 106,721 | 219,668 |
Realized Net Gain (Loss) | 387,068 | 449,410 |
Change in Unrealized Appreciation (Depreciation) | 579,056 | 2,458,425 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,072,845 | 3,127,503 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (395) | (40,303) |
Admiral Shares | (1,188) | (79,929) |
Institutional Shares | (444) | (31,614) |
ETF Shares | (974) | (72,359) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (3,001) | (224,205) |
Capital Share Transactions | ||
Investor Shares | (164,134) | (290,808) |
Admiral Shares | 469,802 | 836,372 |
Institutional Shares | 78,280 | 344,441 |
ETF Shares | 193,445 | 736,310 |
Net Increase (Decrease) from Capital Share Transactions | 577,393 | 1,626,315 |
Total Increase (Decrease) | 1,647,237 | 4,529,613 |
Net Assets | ||
Beginning of Period | 12,353,299 | 7,823,686 |
End of Period1 | 14,000,536 | 12,353,299 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $90,513,000 and ($13,207,000).
See accompanying Notes, which are an integral part of the Financial Statements.
56
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 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $23.33 | $17.40 | $15.04 | $16.01 | $13.06 | $10.21 |
Investment Operations | ||||||
Net Investment Income | .179 | .394 | .428 | .309 | .285 | .241 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.755 | 5.936 | 2.364 | (.974) | 2.956 | 2.854 |
Total from Investment Operations | 1.934 | 6.330 | 2.792 | (.665) | 3.241 | 3.095 |
Distributions | ||||||
Dividends from Net Investment Income | (.004) | (.400) | (.432) | (.305) | (.291) | (.245) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.004) | (.400) | (.432) | (.305) | (.291) | (.245) |
Net Asset Value, End of Period | $25.26 | $23.33 | $17.40 | $15.04 | $16.01 | $13.06 |
Total Return1 | 8.29% | 36.41% | 18.56% | -4.16% | 24.82% | 30.34% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,396 | $2,375 | $2,001 | $1,980 | $4,316 | $3,279 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.23% | 0.24% | 0.24% | 0.24% | 0.26% | 0.28% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.81% | 2.03% | 2.66% | 1.90% | 2.03% | 2.26% |
Portfolio Turnover Rate2 | 12% | 47% | 25% | 30% | 25% | 33% |
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.
57
Small-Cap Value Index Fund
Financial Highlights
Admiral Shares | ||||
Six Months | Sept. 27, | |||
Ended | Year Ended | 20111 to | ||
June 30, | December 31, | Dec. 31, | ||
For a Share Outstanding Throughout Each Period | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $41.82 | $31.20 | $26.96 | $25.00 |
Investment Operations | ||||
Net Investment Income | .353 | .773 | .814 | .196 |
Net Realized and Unrealized Gain (Loss) on Investments | 3.148 | 10.629 | 4.245 | 2.320 |
Total from Investment Operations | 3.501 | 11.402 | 5.059 | 2.516 |
Distributions | ||||
Dividends from Net Investment Income | (.011) | (.782) | (.819) | (.556) |
Distributions from Realized Capital Gains | — | — | — | — |
Total Distributions | (.011) | (.782) | (.819) | (.556) |
Net Asset Value, End of Period | $45.31 | $41.82 | $31.20 | $26.96 |
Total Return2 | 8.37% | 36.58% | 18.77% | 10.05% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $5,233 | $4,371 | $2,563 | $1,941 |
Ratio of Total Expenses to Average Net Assets | 0.09% | 0.09% | 0.10% | 0.10%3 |
Ratio of Net Investment Income to Average Net Assets | 1.95% | 2.18% | 2.80% | 2.04%3 |
Portfolio Turnover Rate 4 | 12% | 47% | 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.
58
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 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $23.37 | $17.44 | $15.07 | $16.04 | $13.09 | $10.22 |
Investment Operations | ||||||
Net Investment Income | .199 | .434 | .459 | .338 | .311 | .262 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.767 | 5.935 | 2.371 | (.973) | 2.957 | 2.874 |
Total from Investment Operations | 1.966 | 6.369 | 2.830 | (.635) | 3.268 | 3.136 |
Distributions | ||||||
Dividends from Net Investment Income | (.006) | (.439) | (.460) | (.335) | (.318) | (.266) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.006) | (.439) | (.460) | (.335) | (.318) | (.266) |
Net Asset Value, End of Period | $25.33 | $23.37 | $17.44 | $15.07 | $16.04 | $13.09 |
Total Return | 8.41% | 36.55% | 18.78% | -3.97% | 24.97% | 30.71% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,924 | $1,699 | $979 | $722 | $871 | $543 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.96% | 2.19% | 2.82% | 2.06% | 2.21% | 2.46% |
Portfolio Turnover Rate1 | 12% | 47% | 25% | 30% | 25% | 33% |
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.
59
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 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $97.32 | $72.60 | $62.73 | $66.80 | $54.49 | $42.58 |
Investment Operations | ||||||
Net Investment Income | .821 | 1.796 | 1.896 | 1.393 | 1.269 | 1.071 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 7.333 | 24.742 | 9.877 | (4.083) | 12.340 | 11.923 |
Total from Investment Operations | 8.154 | 26.538 | 11.773 | (2.690) | 13.609 | 12.994 |
Distributions | ||||||
Dividends from Net Investment Income | (.024) | (1.818) | (1.903) | (1.380) | (1.299) | (1.084) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.024) | (1.818) | (1.903) | (1.380) | (1.299) | (1.084) |
Net Asset Value, End of Period | $105.45 | $97.32 | $72.60 | $62.73 | $66.80 | $54.49 |
Total Return | 8.38% | 36.57% | 18.78% | -4.05% | 24.97% | 30.52% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $4,447 | $3,908 | $2,281 | $1,755 | $1,851 | $1,310 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.09% | 0.10% | 0.10% | 0.12% | 0.14% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.95% | 2.18% | 2.80% | 2.04% | 2.17% | 2.40% |
Portfolio Turnover Rate1 | 12% | 47% | 25% | 30% | 25% | 33% |
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.
60
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.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. 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. 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.
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).
During the six months ended June 30, 2014, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.
61
Small-Cap Value Index Fund
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, 2010–2013), and for the period ended June 30, 2014, 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 lends 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 prequalified 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; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the absence of a default the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets 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. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $2.89 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at June 30, 2014, or at any time during the period then ended.
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. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. 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.
62
Small-Cap Value Index Fund
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund based on 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, 2014, the fund had contributed capital of $1,371,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.55% 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, 2014, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 13,954,980 | — | 1,196 |
Temporary Cash Investments | 107,284 | 2,999 | — |
Futures Contracts—Assets1 | 254 | — | — |
Total | 14,062,518 | 2,999 | 1,196 |
1 Represents variation margin on the last day of the reporting period. |
D. At June 30, 2014, 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 2014 | 281 | 33,447 | 492 |
E-mini S&P MidCap 400 Index | September 2014 | 71 | 10,148 | 218 |
710 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
63
Small-Cap 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, 2014, the fund realized $349,137,000 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, 2013, the fund had available capital losses totaling $931,261,000 to offset future net capital gains. Of this amount, $916,816,000 is subject to expiration dates; $528,042,000 may be used to offset future net capital gains through December 31, 2017, and $388,774,000 through December 31, 2018. Capital losses of $14,445,000 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, 2014; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2014, the cost of investment securities for tax purposes was $10,584,062,000. Net unrealized appreciation of investment securities for tax purposes was $3,482,397,000, consisting of unrealized gains of $3,697,938,000 on securities that had risen in value since their purchase and $215,541,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2014, the fund purchased $2,244,559,000 of investment securities and sold $1,518,253,000 of investment securities, other than temporary cash investments. Purchases and sales include $946,123,000 and $745,773,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
64
Small-Cap Value Index Fund
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2014 | December 31, 2013 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 271,370 | 11,397 | 623,704 | 30,686 |
Issued in Lieu of Cash Distributions | 364 | 15 | 37,188 | 1,613 |
Redeemed | (435,868) | (18,380) | (951,700) | (45,442) |
Net Increase (Decrease)—Investor Shares | (164,134) | (6,968) | (290,808) | (13,143) |
Admiral Shares | ||||
Issued | 800,916 | 18,789 | 1,221,573 | 32,856 |
Issued in Lieu of Cash Distributions | 1,015 | 24 | 72,142 | 1,746 |
Redeemed | (332,129) | (7,833) | (457,343) | (12,259) |
Net Increase (Decrease)—Admiral Shares | 469,802 | 10,980 | 836,372 | 22,343 |
Institutional Shares | ||||
Issued | 283,375 | 11,839 | 589,813 | 28,421 |
Issued in Lieu of Cash Distributions | 412 | 17 | 29,371 | 1,271 |
Redeemed | (205,507) | (8,605) | (274,743) | (13,130) |
Net Increase (Decrease)—Institutional Shares | 78,280 | 3,251 | 344,441 | 16,562 |
ETF Shares | ||||
Issued | 948,859 | 9,416 | 1,328,171 | 15,142 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (755,414) | (7,400) | (591,861) | (6,400) |
Net Increase (Decrease)—ETF Shares | 193,445 | 2,016 | 736,310 | 8,742 |
H. Management has determined that no material events or transactions occurred subsequent to June 30, 2014, that would require recognition or disclosure in these financial statements.
65
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.
66
Six Months Ended June 30, 2014 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
12/31/2013 | 6/30/2014 | Period | |
Based on Actual Fund Return | |||
Small-Cap Index Fund | |||
Investor Shares | $1,000.00 | $1,063.79 | $1.18 |
Admiral Shares | 1,000.00 | 1,064.57 | 0.46 |
Signal Shares | 1,000.00 | 1,064.73 | 0.46 |
Institutional Shares | 1,000.00 | 1,064.77 | 0.41 |
Institutional Plus Shares | 1,000.00 | 1,064.76 | 0.31 |
ETF Shares | 1,000.00 | 1,064.62 | 0.46 |
Small-Cap Growth Index Fund | |||
Investor Shares | $1,000.00 | $1,041.40 | $1.16 |
Admiral Shares | 1,000.00 | 1,042.00 | 0.46 |
Institutional Shares | 1,000.00 | 1,041.98 | 0.41 |
ETF Shares | 1,000.00 | 1,041.95 | 0.46 |
Small-Cap Value Index Fund | |||
Investor Shares | $1,000.00 | $1,082.91 | $1.19 |
Admiral Shares | 1,000.00 | 1,083.73 | 0.46 |
Institutional Shares | 1,000.00 | 1,084.14 | 0.41 |
ETF Shares | 1,000.00 | 1,083.80 | 0.47 |
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Six Months Ended June 30, 2014 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
12/31/2013 | 6/30/2014 | Period | |
Based on Hypothetical 5% Yearly Return | |||
Small-Cap Index Fund | |||
Investor Shares | $1,000.00 | $1,023.65 | $1.15 |
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 | $1,023.65 | $1.15 |
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 | $1,023.65 | $1.15 |
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, 0.23% 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, 0.23% 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, 0.23%
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.
68
Trustees Approve Advisory Arrangements
The board of trustees of Vanguard Small-Cap Index Fund, Small-Cap Growth Index Fund, and Small-Cap Value Index Fund has renewed each fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard). Vanguard’s Equity Investment Group—through its Equity Index Group—serves as the investment advisor for each fund. The board determined that continuing the funds’ internalized management structure was in the best interests of each 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 arrangements. 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 each 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 Index 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 each advisory arrangement.
Investment performance
The board considered the short- and long-term performance of each 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 each 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 each fund’s advisory fee rate was also well below its peer-group average. 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 each fund’s 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 arrangements again after a one-year period.
69
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.
70
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.
71
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 177 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. | |
F. William McNabb III | |
Born 1957. Trustee Since July 2009. Chairman of the | Amy Gutmann |
Board. Principal Occupation(s) During the Past Five | Born 1949. Trustee Since June 2006. Principal |
Years: Chairman of the Board of The Vanguard Group, | Occupation(s) During the Past Five Years: President of |
Inc., and of each of the investment companies served | the University of Pennsylvania; Christopher H. Browne |
by The Vanguard Group, since January 2010; Director | Distinguished Professor of Political Science, School of |
of The Vanguard Group since 2008; Chief Executive | Arts and Sciences, and Professor of Communication, |
Officer and President of The Vanguard Group, and of | Annenberg School for Communication, with secondary |
each of the investment companies served by The | faculty appointments in the Department of Philosophy, |
Vanguard Group, since 2008; Director of Vanguard | School of Arts and Sciences, and at the Graduate |
Marketing Corporation; Managing Director of The | School of Education, University of Pennsylvania; |
Vanguard Group (1995–2008). | Trustee of the National Constitution Center; Chair |
of the Presidential Commission for the Study of | |
IndependentTrustees | Bioethical Issues. |
Emerson U. Fullwood | JoAnn Heffernan Heisen |
Born 1948. Trustee Since January 2008. Principal | Born 1950. Trustee Since July 1998. Principal |
Occupation(s) During the Past Five Years: Executive | Occupation(s) During the Past Five Years: Corporate |
Chief Staff and Marketing Officer for North America | Vice President and Chief Global Diversity Officer |
and Corporate Vice President (retired 2008) of Xerox | (retired 2008) and Member of the Executive |
Corporation (document management products and | Committee (1997–2008) of Johnson & Johnson |
services); Executive in Residence and 2009–2010 | (pharmaceuticals/medical devices/consumer |
Distinguished Minett Professor at the Rochester | products); Director of Skytop Lodge Corporation |
Institute of Technology; Director of SPX Corporation | (hotels), the University Medical Center at Princeton, |
(multi-industry manufacturing), the United Way of | the Robert Wood Johnson Foundation, and the Center |
Rochester, Amerigroup Corporation (managed health | for Talent Innovation; Member of the Advisory Board |
care), the University of Rochester Medical Center, | of the Maxwell School of Citizenship and Public Affairs |
Monroe Community College Foundation, and North | at Syracuse University. |
Carolina A&T University. | |
F. Joseph Loughrey | |
Rajiv L. Gupta | Born 1949. Trustee Since October 2009. Principal |
Born 1945. Trustee Since December 2001.2 | Occupation(s) During the Past Five Years: President |
Principal Occupation(s) During the Past Five Years: | and Chief Operating Officer (retired 2009) of Cummins |
Chairman and Chief Executive Officer (retired 2009) | Inc. (industrial machinery); Chairman of the Board |
and President (2006–2008) of Rohm and Haas Co. | of Hillenbrand, Inc. (specialized consumer services), |
(chemicals); Director of Tyco International, Ltd. | and of Oxfam America; Director of SKF AB (industrial |
(diversified manufacturing and services), Hewlett- | machinery), Hyster-Yale Materials Handling, Inc. |
Packard Co. (electronic computer manufacturing), | (forklift trucks), the Lumina Foundation for Education, |
and the V Foundation for Cancer Research; Member | Executive Officers | |
of the Advisory Council for the College of Arts and | ||
Letters and of the Advisory Board to the Kellogg | Glenn Booraem | |
Institute for International Studies, both at the | Born 1967. Controller Since July 2010. Principal | |
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 (retired 2013) | ||
at IBM (information technology services); Fiduciary | Thomas J. Higgins | |
Member of IBM’s Retirement Plan Committee (2004– | Born 1957. Chief Financial Officer Since September | |
2013); Member of the Council on Chicago Booth. | 2008. Principal Occupation(s) During the Past Five | |
Years: Principal of The Vanguard Group, Inc.; Chief | ||
Scott C. Malpass | Financial Officer of each of the investment companies | |
Born 1962. Trustee Since March 2012. Principal | served by The Vanguard Group; Treasurer of each of | |
Occupation(s) During the Past Five Years: Chief | the investment companies served by The Vanguard | |
Investment Officer and Vice President at the University | Group (1998–2008). | |
of Notre Dame; Assistant Professor of Finance at the | ||
Mendoza College of Business at Notre Dame; Member | Kathryn J. Hyatt | |
of the Notre Dame 403(b) Investment Committee; | Born 1955. Treasurer Since November 2008. Principal | |
Board Member of TIFF Advisory Services, Inc. | Occupation(s) During the Past Five Years: Principal of | |
(investment advisor); Member of the Investment | The Vanguard Group, Inc.; Treasurer of each of the | |
Advisory Committees of the Financial Industry | investment companies served by The Vanguard | |
Regulatory Authority (FINRA) and of Major League | Group; Assistant Treasurer of each of the investment | |
Baseball. | companies served by The Vanguard Group (1988–2008). | |
André F. Perold | Heidi Stam | |
Born 1952. Trustee Since December 2004. Principal | Born 1956. Secretary Since July 2005. Principal | |
Occupation(s) During the Past Five Years: George | Occupation(s) During the Past Five Years: Managing | |
Gund Professor of Finance and Banking, Emeritus | Director of The Vanguard Group, Inc.; General Counsel | |
at the Harvard Business School (retired 2011); | of The Vanguard Group; Secretary of The Vanguard | |
Chief Investment Officer and Managing Partner of | Group and of each of the investment companies | |
HighVista Strategies LLC (private investment firm); | served by The Vanguard Group; Director and Senior | |
Director of Rand Merchant Bank; Overseer of the | Vice President of Vanguard Marketing Corporation. | |
Museum of Fine Arts Boston. | ||
Vanguard Senior ManagementTeam | ||
Alfred M. Rankin, Jr. | ||
Born 1941. Trustee Since January 1993. Principal | Mortimer J. Buckley | Chris D. McIsaac |
Occupation(s) During the Past Five Years: Chairman, | Kathleen C. Gubanich | Michael S. Miller |
President, and Chief Executive Officer of NACCO | Paul A. Heller | James M. Norris |
Industries, Inc. (housewares/lignite), and of Hyster- | Martha G. King | Glenn W. Reed |
Yale Materials Handling, Inc. (forklift trucks); Chairman | John T. Marcante | |
of the Board of University Hospitals of Cleveland. | ||
Peter F. Volanakis | Chairman Emeritus and Senior Advisor | |
Born 1955. Trustee Since July 2009. Principal | ||
Occupation(s) During the Past Five Years: President | John J. Brennan | |
and Chief Operating Officer (retired 2010) of Corning | Chairman, 1996–2009 | |
Incorporated (communications equipment); Trustee of | Chief Executive Officer and President, 1996–2008 | |
Colby-Sawyer College; Member of the Advisory Board | ||
of the Norris Cotton Cancer Center and of the Advisory | Founder | |
Board of the Parthenon Group (strategy consulting). | ||
John C. Bogle | ||
Chairman and Chief Executive Officer, 1974–1996 | ||
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the
Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
![]() | |
P.O. Box 2600 | |
Valley Forge, PA 19482-2600 | |
Connect with Vanguard® > vanguard.com | |
Fund Information > 800-662-7447 | |
Direct Investor Account Services > 800-662-2739 | |
Institutional Investor Services > 800-523-1036 | |
Text Telephone for People | |
With Hearing Impairment > 800-749-7273 | |
This material may be used in conjunction | |
with the offering of shares of any Vanguard | |
fund only if preceded or accompanied by | |
the fund’s current prospectus. | |
All comparative mutual fund data are from Lipper, a | |
Thomson Reuters Company, 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. | |
© 2014 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q482 082014 |
Semiannual Report | June 30, 2014 |
Vanguard U.S. Stock Index Funds
Mid-Capitalization Portfolios
![](https://capedge.com/proxy/N-CSRS/0000932471-14-006700/midcapportfolios_q98x1x2.jpg)
Vanguard’s Principles for Investing Success
We want to give you the best chance of investment success. These principles,
grounded in Vanguard’s research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds.
Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
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. | 53 |
Mid-Cap Value Index Fund. | 69 |
About Your Fund’s Expenses. | 85 |
Trustees Approve Advisory Arrangements. | 88 |
Glossary. | 89 |
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: The ship’s wheel represents leadership and guidance, essential qualities in navigating difficult seas.
This one is a replica based on an 18th-century British vessel. The HMSVanguard, another ship of that era, served as the
flagship for British Admiral Horatio Nelson when he defeated a French fleet at the Battle of the Nile.
Your Fund’s Total Returns
Six Months Ended June 30, 2014 | |
Total | |
Returns | |
Vanguard Extended Market Index Fund | |
Investor Shares | 6.08% |
Admiral™ Shares | 6.14 |
Signal® Shares | 6.15 |
Institutional Shares | 6.14 |
Institutional Plus Shares | 6.16 |
ETF Shares | |
Market Price | 6.17 |
Net Asset Value | 6.14 |
S&P Completion Index | 6.15 |
Mid-Cap Core Funds Average | 6.29 |
Mid-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
Vanguard Mid-Cap Index Fund | |
Investor Shares | 7.85% |
Admiral Shares | 7.93 |
Signal Shares | 7.91 |
Institutional Shares | 7.93 |
Institutional Plus Shares | 7.94 |
ETF Shares | |
Market Price | 7.94 |
Net Asset Value | 7.93 |
CRSP US Mid Cap Index | 7.97 |
Mid-Cap Core Funds Average | 6.29 |
Mid-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
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. Nos. 6,879,964;
7,337,138; 7,720,749; 7,925,573; 8,090,646; and 8,417,623.
1
Your Fund’s Total Returns
Six Months Ended June 30, 2014 | |
Total | |
Returns | |
Vanguard Mid-Cap Growth Index Fund | |
Investor Shares | 6.75% |
Admiral Shares | 6.81 |
ETF Shares | |
Market Price | 6.80 |
Net Asset Value | 6.81 |
CRSP US Mid Cap Growth Index | 6.85 |
Mid-Cap Growth Funds Average | 3.89 |
Mid-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
Vanguard Mid-Cap Value Index Fund | |
Investor Shares | 8.94% |
Admiral Shares | 9.01 |
ETF Shares | |
Market Price | 9.01 |
Net Asset Value | 9.02 |
CRSP US Mid Cap Value Index | 9.07 |
Mid-Cap Value Funds Average | 8.15 |
Mid-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
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. Nos. 6,879,964; 7,337,138; 7,720,749; 7,925,573; 8,090,646; and 8,417,623.
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, 2013, Through June 30, 2014 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Extended Market Index Fund | ||||
Investor Shares | $62.76 | $66.56 | $0.013 | $0.000 |
Admiral Shares | 62.75 | 66.59 | 0.015 | 0.000 |
Signal Shares | 53.92 | 57.22 | 0.013 | 0.000 |
Institutional Shares | 62.75 | 66.59 | 0.014 | 0.000 |
Institutional Plus Shares | 154.84 | 164.34 | 0.037 | 0.000 |
ETF Shares | 82.71 | 87.77 | 0.018 | 0.000 |
Vanguard Mid-Cap Index Fund | ||||
Investor Shares | $30.02 | $32.37 | $0.005 | $0.000 |
Admiral Shares | 136.19 | 146.96 | 0.028 | 0.000 |
Signal Shares | 42.98 | 46.37 | 0.009 | 0.000 |
Institutional Shares | 30.08 | 32.46 | 0.005 | 0.000 |
Institutional Plus Shares | 148.37 | 160.12 | 0.031 | 0.000 |
ETF Shares | 109.96 | 118.66 | 0.024 | 0.000 |
Vanguard Mid-Cap Growth Index Fund | ||||
Investor Shares | $35.46 | $37.85 | $0.002 | $0.000 |
Admiral Shares | 38.83 | 41.47 | 0.005 | 0.000 |
ETF Shares | 90.20 | 96.33 | 0.011 | 0.000 |
Vanguard Mid-Cap Value Index Fund | ||||
Investor Shares | $31.38 | $34.18 | $0.004 | $0.000 |
Admiral Shares | 41.30 | 45.01 | 0.010 | 0.000 |
ETF Shares | 79.73 | 86.90 | 0.019 | 0.000 |
3
![](https://capedge.com/proxy/N-CSRS/0000932471-14-006700/midcapportfolios_q98x6x1.jpg)
Chairman’s Letter
Dear Shareholder,
Mid-capitalization stocks picked up where they left off in 2013 and marched higher in the first six months of 2014. Returns for the broad U.S. stock market were strong as well, with major indexes finishing the half year near all-time highs.
Investors looked beyond challenges, including conflict in the Middle East that contributed to a rise in oil prices. Instead, they focused on positives, including lower unemployment, strong corporate earnings, livelier merger and acquisition activity, and continued low borrowing costs.
In this environment, the four Vanguard mid-cap stock index funds reviewed in this report fared well. Returns for the six months ended June 30, 2014, ranged from 6.08% for Vanguard Extended Market Index Fund to 8.94% 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 Mid-Cap Growth Index Fund fell in between.
The four funds closely tracked their target benchmarks. All but the Extended Market Index Fund exceeded the average return of their peers.
After starting the half year slowly, stocks pushed higher
Although U.S. stocks began the period with a January decline, they went on to advance in each of the next five months.
4
For the half year, the broad U.S. stock market returned about 7%. Stocks were notably resilient, surging ahead after dips caused by turmoil in Iraq and conflict in Ukraine.
Citing the U.S. economy’s progress, the Federal Reserve has steadily trimmed its stimulative monthly bond-buying since January. At the same time, investors have been reassured by the Fed’s decision to keep interest rates low for an extended period.
International stocks overall returned nearly 6%. Emerging markets stocks, which have rebounded sharply in recent months, were the top performers, followed by stocks of developed markets in Europe and then those in the Pacific region.
The period was strong for bonds as yields dropped and prices rose
Bond prices spent most of the six months regaining the ground they lost in 2013. Over the period, the broad U.S. taxable bond market returned 3.93%. The yield of the benchmark 10-year Treasury note ended June at 2.54%, down from almost 3% on December 31. (Bond prices and yields move in opposite directions.)
Municipal bonds returned 6.00% amid support from the broad bond market rally, investors’ greater appetite for tax-exempt income, and a decline in the pool of new issues.
International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned 5.59%. In June, the
Market Barometer | |||
Total Returns | |||
Periods Ended June 30, 2014 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 7.27% | 25.35% | 19.25% |
Russell 2000 Index (Small-caps) | 3.19 | 23.64 | 20.21 |
Russell 3000 Index (Broad U.S. market) | 6.94 | 25.22 | 19.33 |
FTSE All-World ex US Index (International) | 5.75 | 21.93 | 11.40 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | 3.93% | 4.37% | 4.85% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 6.00 | 6.14 | 5.81 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.00 | 0.04 | 0.07 |
CPI | |||
Consumer Price Index | 2.27% | 2.07% | 2.02% |
5
European Central Bank made the unprecedented move of lowering a key interest rate below zero, to –0.10%, in an effort to avert deflation and induce banks to lend and thus fuel economic growth.
Although the period was strong worldwide for bonds, it’s worth remembering that the current low yields imply lower future returns: As yields drop, the scope for further declines—and increases in prices—diminishes.
Returns remained tiny for money market funds and savings accounts because of the Fed’s target of 0%–0.25% for short-term interest rates.
The mid-cap advance was led by value stocks
During the half year, the middle was the place to be for investors. Mid-cap stocks generally outshone their large- and small-cap counterparts. Among mid-caps, it was value stocks that performed best.
Compared with their growth counterparts, companies in the value category usually have less expensive stocks—based on measures such as price-to-earnings ratios—and pay higher dividends. But they also tend to generate more modest increases in sales and earnings.
For the Mid-Cap Value Index Fund, utility stocks were among the leaders. The utilities sector got a boost from recent
Expense Ratios | |||||||
Your Fund Compared With Its Peer Group | |||||||
Peer Group Average | |||||||
Investor Shares | Admiral Shares | Signal Shares | Institutional Shares | Institutional Plus Shares | ETF Shares | ||
Extended Market Index Fund | 0.24% | 0.10% | 0.10% | 0.08% | 0.06% | 0.10% | 1.21% |
Mid-Cap Index Fund | 0.24 | 0.09 | 0.09 | 0.08 | 0.06 | 0.09 | 1.21 |
Mid-Cap Growth Index Fund | 0.24 | 0.09 | — | — | — | 0.09 | 1.30 |
Mid-Cap Value Index Fund | 0.24 | 0.09 | — | — | — | 0.09 | 1.30 |
The fund expense ratios shown are from the prospectus dated April 28, 2014, and represent estimated costs for the current fiscal year. For the
six months ended June 30, 2014, the funds’ annualized expense ratios were: for the Extended Market Index Fund, 0.23% 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, 0.23% 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, 0.23% for Investor Shares, 0.09%
for Admiral Shares, and 0.09% for ETF Shares; and for the Mid-Cap Value Index Fund, 0.23% 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, a Thomson Reuters Company, and capture
information through year-end 2013.
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
merger and acquisition activity, and investors, confronted with paltry yields elsewhere, were attracted to utility stocks’ relatively high dividends.
Health care stocks helped propel both the Mid-Cap Index Fund and the Mid-Cap Growth Index Fund. As with the utilities sector, health care got a boost from mergers and acquisitions. Productive pipelines for new medicines also helped fuel the ascent of shares of biotechnology firms and pharmaceutical companies.
Energy stocks were a bright spot for the Extended Market Index Fund. Oil and gas producers were buoyed by several factors: geopolitical tensions in Eastern Europe and the Middle East, demand for natural gas during the severe U.S. winter, and growing reliance on oil in the developing world.
Unique among the four funds covered in this report, the Extended Market Index Fund offers exposure to small-cap stocks as well as mid-caps. In this period, the small-cap exposure hindered performance as mid-caps led the market.
It’s worth remembering, of course, that various categories of stocks—be they small- and mid-cap or growth and value—tend to alternate market leadership over time. Rather than indulge in the risky game of guessing what tomorrow’s favorite might be, investors can be better served by holding a market cap-weighted equity portfolio with stocks of all capitalizations. Such a portfolio offers more diversification over the long term.
Don’t let complacency set your portfolio adrift
At Vanguard, we often warn investors against letting their emotions become entangled with their investments. When the financial markets are in turmoil, for example, we’ll caution investors not to let fear lead to rash decisions. But complacency can also stand in the way of achieving your financial goals. And lately, conditions may have been leading investors to feel a little too comfortable.
Volatility, a hallmark of stock investing, seems to have vanished for the moment, and returns have been robust. In the more than five years since its March 2009 bottom, the broad U.S. stock market, as measured by the Russell 3000 Index, has produced average annual returns of about 26%. That’s more than double the market’s historical average annual return. And in recent weeks, several indexes have reached all-time highs.
The investment winds don’t always blow so favorably, of course. While the smooth sailing lasts, however, it creates risks of its own: In such a calm climate, it can be easy to lose sight of fundamentals, especially the importance of rebalancing. Without rebalancing—periodically adjusting your asset allocation so that it stays in line with your goals and risk tolerance—you can end up with a portfolio that’s very different from, and potentially riskier than, the one you intended to have.
7
Whether the market’s moving up, down, or sideways, we always encourage our clients to stay focused on four keys to Vanguard’s timeless principles for investment success: goals, balance, cost, and discipline. (You can read more about our principles in Vanguard’s Principles for Investment Success, available at vanguard.com/research.)
As always, thank you for investing with Vanguard.
Sincerely,
![](https://capedge.com/proxy/N-CSRS/0000932471-14-006700/midcapportfolios_q98x10x1.jpg)
F. William McNabb III
Chairman and Chief Executive Officer
July 15, 2014
8
Extended Market Index Fund
Fund Profile
As of June 30, 2014
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 | 0.24% | 0.10% | 0.10% | 0.08% | 0.06% | 0.10% |
30-Day SEC Yield | 0.98% | 1.11% | 1.11% | 1.13% | 1.15% | 1.11% |
Portfolio Characteristics | |||
DJ | |||
U.S. | |||
S&P | Total | ||
Completion | Market | ||
Fund | Index | FA Index | |
Number of Stocks | 3,196 | 3,369 | 3,730 |
Median Market Cap | $4.1B | $4.1B | $45.5B |
Price/Earnings Ratio | 31.5x | 31.3x | 20.7x |
Price/Book Ratio | 2.6x | 2.6x | 2.7x |
Return on Equity | 11.0% | 11.1% | 17.4% |
Earnings Growth | |||
Rate | 15.2% | 15.3% | 14.4% |
Dividend Yield | 1.2% | 1.2% | 1.8% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 10% | — | — |
Short-Term Reserves | -0.1% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
S&P | U.S. Total | ||
Completion | Market | ||
Fund | Index | FA Index | |
Consumer Discretionary 15.1% | 15.0% | 12.6% | |
Consumer Staples | 3.2 | 3.1 | 8.2 |
Energy | 6.6 | 6.6 | 10.0 |
Financials | 22.1 | 22.2 | 17.3 |
Health Care | 11.6 | 11.7 | 13.0 |
Industrials | 15.7 | 15.7 | 11.5 |
Information Technology | 15.4 | 15.4 | 18.1 |
Materials | 5.5 | 5.5 | 3.9 |
Telecommunication | |||
Services | 1.4 | 1.4 | 2.2 |
Utilities | 3.4 | 3.4 | 3.2 |
Volatility Measures | ||
DJ | ||
S&P | U.S. Total | |
Completion | Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.94 |
Beta | 1.00 | 1.22 |
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 | 0.7% |
American Airlines Group | ||
Inc. | Airlines | 0.7 |
Las Vegas Sands Corp. | Casinos & Gaming | 0.7 |
Illumina Inc. | Life Sciences Tools & | |
Services | 0.5 | |
Tesla Motors Inc. | Automobile | |
Manufacturers | 0.5 | |
Weatherford | Oil & Gas Equipment | |
International plc | & Services | 0.4 |
HCA Holdings Inc. | Health Care Facilities | 0.4 |
LinkedIn Corp. | Internet Software & | |
Services | 0.4 | |
Concho Resources Inc. | Oil & Gas Exploration | |
& Production | 0.4 | |
Cheniere Energy Inc. | Oil & Gas Storage & | |
Transportation | 0.4 | |
Top Ten | 5.1% | |
The holdings listed exclude any temporary cash investments and equity index products. |
1 The expense ratios shown are from the prospectus dated April 28, 2014, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2014, the annualized expense ratios were 0.23% 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/0000932471-14-006700/midcapportfolios_q98x12x1.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, 2003, Through June 30, 2014
![](https://capedge.com/proxy/N-CSRS/0000932471-14-006700/midcapportfolios_q98x13x1.jpg)
For a benchmark description, see the Glossary.
Note: For 2014, performance data reflect the six months ended June 30, 2014.
Average Annual Total Returns: Periods Ended June 30, 2014 | ||||
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 12/21/1987 | 26.83% | 21.77% | 10.18% |
Admiral Shares | 11/13/2000 | 27.00 | 21.95 | 10.33 |
Signal Shares | 9/1/2006 | 26.98 | 21.95 | 9.701 |
Institutional Shares | 7/7/1997 | 27.02 | 21.98 | 10.37 |
Institutional Plus Shares | 1/14/2011 | 27.04 | — | 15.131 |
ETF Shares | 12/27/2001 | |||
Market Price | 27.10 | 21.97 | 10.36 | |
Net Asset Value | 26.99 | 21.94 | 10.34 | |
1 Return since inception. |
See Financial Highlights for dividend and capital gains information.
11
Extended Market Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of June 30, 2014
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. | 3,482,672 | 265,449 | 0.7% | |
* | Liberty Global plc | 5,030,323 | 212,833 | 0.5% |
*,^ | Tesla Motors Inc. | 762,558 | 183,060 | 0.5% |
* | Liberty Media Corp. Class A | 922,187 | 126,045 | 0.3% |
* | DISH Network Corp. Class A | 1,932,610 | 125,774 | 0.3% |
* | Charter Communications Inc. Class A | 645,074 | 102,167 | 0.3% |
*,^ | Sirius XM Holdings Inc. | 27,117,467 | 93,826 | 0.3% |
Autoliv Inc. | 859,499 | 91,605 | 0.2% | |
* | TRW Automotive Holdings Corp. | 1,015,174 | 90,878 | 0.2% |
Advance Auto Parts Inc. | 669,223 | 90,292 | 0.2% | |
Hanesbrands Inc. | 913,540 | 89,929 | 0.2% | |
Royal Caribbean Cruises Ltd. | 1,507,770 | 83,832 | 0.2% | |
* | Liberty Global plc Class A | 1,875,632 | 82,940 | 0.2% |
Signet Jewelers Ltd. | 735,701 | 81,361 | 0.2% | |
* | MGM Resorts International | 3,060,513 | 80,798 | 0.2% |
Consumer Discretionary—Other † | 4,177,648 | 10.5% | ||
5,978,437 | 15.0% | |||
Consumer Staples | ||||
Bunge Ltd. | 1,349,560 | 102,081 | 0.2% | |
Church & Dwight Co. Inc. | 1,246,881 | 87,219 | 0.2% | |
Consumer Staples—Other † | 1,060,071 | 2.7% | ||
1,249,371 | 3.1% | |||
Energy | ||||
* | Weatherford International plc | 7,057,676 | 162,327 | 0.4% |
* | Concho Resources Inc. | 1,024,766 | 148,079 | 0.4% |
* | Cheniere Energy Inc. | 2,007,722 | 143,954 | 0.4% |
* | Whiting Petroleum Corp. | 1,091,179 | 87,567 | 0.2% |
HollyFrontier Corp. | 1,822,340 | 79,618 | 0.2% | |
Energy—Other † | 2,009,260 | 5.0% | ||
2,630,805 | 6.6% |
12
Extended Market Index Fund
Market | Percentage | ||
Value | of Net | ||
Shares | ($000) | Assets | |
Financials | |||
American Realty Capital Properties Inc. | 8,271,848 | 103,646 | 0.3% |
Annaly Capital Management Inc. | 8,691,438 | 99,343 | 0.3% |
SL Green Realty Corp. | 875,626 | 95,802 | 0.2% |
Realty Income Corp. | 2,031,303 | 90,230 | 0.2% |
* Markel Corp. | 128,153 | 84,022 | 0.2% |
CIT Group Inc. | 1,811,034 | 82,873 | 0.2% |
Financials—Other † | 8,213,746 | 20.7% | |
8,769,662 | 22.1% | ||
Health Care | |||
* Illumina Inc. | 1,177,733 | 210,272 | 0.5% |
* HCA Holdings Inc. | 2,875,716 | 162,133 | 0.4% |
* Henry Schein Inc. | 782,955 | 92,913 | 0.3% |
* Endo International plc | 1,284,990 | 89,975 | 0.2% |
* BioMarin Pharmaceutical Inc. | 1,338,608 | 83,275 | 0.2% |
Health Care—Other † | 3,978,786 | 10.0% | |
4,617,354 | 11.6% | ||
Industrials | |||
* American Airlines Group Inc. | 6,606,009 | 283,794 | 0.7% |
* United Continental Holdings Inc. | 3,425,951 | 140,704 | 0.4% |
* Hertz Global Holdings Inc. | 4,211,305 | 118,043 | 0.3% |
* United Rentals Inc. | 892,256 | 93,446 | 0.2% |
* B/E Aerospace Inc. | 907,569 | 83,941 | 0.2% |
* Verisk Analytics Inc. Class A | 1,358,460 | 81,535 | 0.2% |
Industrials—Other † | 5,428,732 | 13.7% | |
6,230,195 | 15.7% | ||
Information Technology | |||
* LinkedIn Corp. Class A | 904,716 | 155,132 | 0.4% |
Activision Blizzard Inc. | 4,528,923 | 100,995 | 0.3% |
* Equinix Inc. | 457,180 | 96,049 | 0.3% |
* FleetCor Technologies Inc. | 676,985 | 89,227 | 0.2% |
* Trimble Navigation Ltd. | 2,393,369 | 88,435 | 0.2% |
Maxim Integrated Products Inc. | 2,593,419 | 87,683 | 0.2% |
Skyworks Solutions Inc. | 1,739,409 | 81,683 | 0.2% |
Information Technology—Other † | 5,412,084 | 13.6% | |
6,111,288 | 15.4% | ||
Materials | |||
Celanese Corp. Class A | 1,430,241 | 91,936 | 0.2% |
Materials—Other † | 2,107,468 | 5.3% | |
2,199,404 | 5.5% | ||
Other † | 2,175 | 0.0% | |
Telecommunication Services | |||
* SBA Communications Corp. Class A | 1,181,456 | 120,863 | 0.3% |
* T-Mobile US Inc. | 2,357,177 | 79,248 | 0.2% |
Telecommunication Services—Other † | 340,292 | 0.9% | |
540,403 | 1.4% | ||
Utilities | |||
American Water Works Co. Inc. | 1,642,195 | 81,207 | 0.2% |
Utilities—Other † | 1,256,251 | 3.2% | |
1,337,458 | 3.4% | ||
Total Common Stocks (Cost $27,095,520) | 39,666,552 | 99.8%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 | 0.111% | 456,969,572 | 456,970 | 1.2% |
4U.S. Government and Agency Obligations † | 7,099 | 0.0% | ||
Total Temporary Cash Investments (Cost $464,069) | 464,069 | 1.2%1 | ||
Total Investments (Cost $27,559,589) | 40,130,621 | 101.0% | ||
Other Assets and Liabilities | ||||
Other Assets | 187,366 | 0.5% | ||
Liabilities3 | (590,258) | (1.5%) | ||
(402,892) | (1.0%) | |||
Net Assets | 39,727,729 | 100.0% |
At June 30, 2014, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 27,271,475 |
Undistributed Net Investment Income | 203,609 |
Accumulated Net Realized Losses | (319,788) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 12,571,032 |
Futures Contracts | 1,401 |
Net Assets | 39,727,729 |
Investor Shares—Net Assets | |
Applicable to 40,947,812 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 2,725,456 |
Net Asset Value Per Share—Investor Shares | $66.56 |
Admiral Shares—Net Assets | |
Applicable to 156,980,762 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 10,452,956 |
Net Asset Value Per Share—Admiral Shares | $66.59 |
Signal Shares—Net Assets | |
Applicable to 37,458,552 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 2,143,311 |
Net Asset Value Per Share—Signal Shares | $57.22 |
Institutional Shares—Net Assets | |
Applicable to 123,053,356 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 8,194,107 |
Net Asset Value Per Share—Institutional Shares | $66.59 |
14
Extended Market Index Fund
Amount | |
($000) | |
Institutional Plus Shares—Net Assets | |
Applicable to 76,533,225 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 12,577,714 |
Net Asset Value Per Share—Institutional Plus Shares | $164.34 |
ETF Shares—Net Assets | |
Applicable to 41,406,293 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 3,634,185 |
Net Asset Value Per Share—ETF Shares | $87.77 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $402,198,000.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent
1% or less of net assets.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 1.0%, respectively, of
net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the
7-day yield.
3 Includes $431,827,000 of collateral received for securities on loan.
4 Securities with a value of $3,099,000 have been segregated as initial margin for open futures contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
15
Extended Market Index Fund
Statement of Operations
Six Months Ended | |
June 30, 2014 | |
($000) | |
Investment Income | |
Income | |
Dividends | 237,703 |
Interest1 | 61 |
Securities Lending | 15,930 |
Total Income | 253,694 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,262 |
Management and Administrative—Investor Shares | 2,657 |
Management and Administrative—Admiral Shares | 3,533 |
Management and Administrative—Signal Shares | 794 |
Management and Administrative—Institutional Shares | 1,753 |
Management and Administrative—Institutional Plus Shares | 1,505 |
Management and Administrative—ETF Shares | 1,093 |
Marketing and Distribution—Investor Shares | 312 |
Marketing and Distribution—Admiral Shares | 657 |
Marketing and Distribution—Signal Shares | 353 |
Marketing and Distribution—Institutional Shares | 997 |
Marketing and Distribution—Institutional Plus Shares | 1,317 |
Marketing and Distribution—ETF Shares | 413 |
Custodian Fees | 321 |
Shareholders’ Reports—Investor Shares | 46 |
Shareholders’ Reports—Admiral Shares | 49 |
Shareholders’ Reports—Signal Shares | 23 |
Shareholders’ Reports—Institutional Shares | 67 |
Shareholders’ Reports—Institutional Plus Shares | 160 |
Shareholders’ Reports—ETF Shares | 29 |
Trustees’ Fees and Expenses | 13 |
Total Expenses | 17,354 |
Net Investment Income | 236,340 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 595,888 |
Futures Contracts | 3,582 |
Realized Net Gain (Loss) | 599,470 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 1,450,700 |
Futures Contracts | (1,362) |
Change in Unrealized Appreciation (Depreciation) | 1,449,338 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,285,148 |
1 Interest income from an affiliated company of the fund was $57,000.
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, | |
2014 | 2013 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 236,340 | 404,160 |
Realized Net Gain (Loss) | 599,470 | 995,233 |
Change in Unrealized Appreciation (Depreciation) | 1,449,338 | 8,307,829 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,285,148 | 9,707,222 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (571) | (27,116) |
Admiral Shares | (2,175) | (98,912) |
Signal Shares | (648) | (30,756) |
Institutional Shares | (1,768) | (88,223) |
Institutional Plus Shares | (2,737) | (129,861) |
ETF Shares | (741) | (34,500) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Signal Shares | — | — |
Institutional Shares | — | — |
Institutional Plus Shares | — | — |
ETF Shares | — | — |
Total Distributions | (8,640) | (409,368) |
Capital Share Transactions | ||
Investor Shares | (183,547) | (1,059,749) |
Admiral Shares | 1,002,094 | 615,695 |
Signal Shares | (732,530) | (321,297) |
Institutional Shares | (88,182) | 257,765 |
Institutional Plus Shares | 516,898 | 3,404,789 |
ETF Shares | 320,103 | 902,373 |
Net Increase (Decrease) from Capital Share Transactions | 834,836 | 3,799,576 |
Total Increase (Decrease) | 3,111,344 | 13,097,430 |
Net Assets | ||
Beginning of Period | 36,616,385 | 23,518,955 |
End of Period1 | 39,727,729 | 36,616,385 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $203,609,000 and ($24,091,000).
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 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $62.76 | $45.86 | $39.34 | $41.26 | $32.67 | $24.01 |
Investment Operations | ||||||
Net Investment Income | .351 | .602 | .688 | .385 | .360 | .316 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 3.462 | 16.903 | 6.515 | (1.923) | 8.581 | 8.670 |
Total from Investment Operations | 3.813 | 17.505 | 7.203 | (1.538) | 8.941 | 8.986 |
Distributions | ||||||
Dividends from Net Investment Income | (.013) | (.605) | (.683) | (.382) | (.351) | (.326) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.013) | (.605) | (.683) | (.382) | (.351) | (.326) |
Net Asset Value, End of Period | $66.56 | $62.76 | $45.86 | $39.34 | $41.26 | $32.67 |
Total Return1 | 6.08% | 38.19% | 18.31% | -3.73% | 27.37% | 37.43% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,725 | $2,749 | $2,857 | $2,753 | $3,405 | $4,309 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.23% | 0.24% | 0.24% | 0.24% | 0.26% | 0.30% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.24% | 1.19% | 1.62% | 0.93% | 1.07% | 1.16% |
Portfolio Turnover Rate2 | 10% | 11% | 12% | 14% | 10% | 17% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about
any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
18
Extended Market Index Fund
Financial Highlights
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $62.75 | $45.87 | $39.35 | $41.28 | $32.67 | $24.01 |
Investment Operations | ||||||
Net Investment Income | .396 | .706 | .758 | .450 | .399 | .362 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 3.459 | 16.884 | 6.513 | (1.932) | 8.606 | 8.673 |
Total from Investment Operations | 3.855 | 17.590 | 7.271 | (1.482) | 9.005 | 9.035 |
Distributions | ||||||
Dividends from Net Investment Income | (.015) | (.710) | (.751) | (.448) | (.395) | (.375) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.015) | (.710) | (.751) | (.448) | (.395) | (.375) |
Net Asset Value, End of Period | $66.59 | $62.75 | $45.87 | $39.35 | $41.28 | $32.67 |
Total Return1 | 6.14% | 38.37% | 18.48% | -3.59% | 27.57% | 37.65% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $10,453 | $8,864 | $5,970 | $5,018 | $5,161 | $2,300 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.12% | 0.13% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.37% | 1.33% | 1.76% | 1.07% | 1.21% | 1.33% |
Portfolio Turnover Rate 2 | 10% | 11% | 12% | 14% | 10% | 17% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about
any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
19
Extended Market Index Fund
Financial Highlights
Signal Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $53.92 | $39.41 | $33.81 | $35.46 | $28.08 | $20.64 |
Investment Operations | ||||||
Net Investment Income | .335 | .601 | .650 | .384 | .355 | .310 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.978 | 14.513 | 5.595 | (1.652) | 7.376 | 7.451 |
Total from Investment Operations | 3.313 | 15.114 | 6.245 | (1.268) | 7.731 | 7.761 |
Distributions | ||||||
Dividends from Net Investment Income | (.013) | (.604) | (.645) | (.382) | (.351) | (.321) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.013) | (.604) | (.645) | (.382) | (.351) | (.321) |
Net Asset Value, End of Period | $57.22 | $53.92 | $39.41 | $33.81 | $35.46 | $28.08 |
Total Return | 6.15% | 38.37% | 18.48% | -3.58% | 27.53% | 37.62% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,143 | $2,740 | $2,242 | $1,814 | $2,094 | $1,661 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.12% | 0.13% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.37% | 1.33% | 1.76% | 1.07% | 1.21% | 1.33% |
Portfolio Turnover Rate1 | 10% | 11% | 12% | 14% | 10% | 17% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
20
Extended Market Index Fund
Financial Highlights
Institutional Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $62.75 | $45.86 | $39.34 | $41.27 | $32.68 | $24.02 |
Investment Operations | ||||||
Net Investment Income | .401 | .715 | .764 | .460 | .429 | .374 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 3.453 | 16.895 | 6.514 | (1.933) | 8.586 | 8.674 |
Total from Investment Operations | 3.854 | 17.610 | 7.278 | (1.473) | 9.015 | 9.048 |
Distributions | ||||||
Dividends from Net Investment Income | (.014) | (.720) | (.758) | (.457) | (.425) | (.388) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.014) | (.720) | (.758) | (.457) | (.425) | (.388) |
Net Asset Value, End of Period | $66.59 | $62.75 | $45.86 | $39.34 | $41.27 | $32.68 |
Total Return | 6.14% | 38.42% | 18.50% | -3.57% | 27.59% | 37.69% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $8,194 | $7,812 | $5,496 | $5,810 | $5,648 | $3,494 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.39% | 1.35% | 1.78% | 1.09% | 1.25% | 1.38% |
Portfolio Turnover Rate1 | 10% | 11% | 12% | 14% | 10% | 17% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
21
Extended Market Index Fund
Financial Highlights
Institutional Plus Shares | ||||
Six Months | Jan. 14, | |||
Ended | Year Ended | 20111 to | ||
June 30, | December 31, | Dec. 31, | ||
For a Share Outstanding Throughout Each Period | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $154.84 | $113.18 | $97.10 | $105.13 |
Investment Operations | ||||
Net Investment Income | 1.006 | 1.797 | 1.917 | 1.139 |
Net Realized and Unrealized Gain (Loss) on Investments | 8.531 | 41.671 | 16.064 | (8.015) |
Total from Investment Operations | 9.537 | 43.468 | 17.981 | (6.876) |
Distributions | ||||
Dividends from Net Investment Income | (.037) | (1.808) | (1.901) | (1.154) |
Distributions from Realized Capital Gains | — | — | — | — |
Total Distributions | (.037) | (1.808) | (1.901) | (1.154) |
Net Asset Value, End of Period | $164.34 | $154.84 | $113.18 | $97.10 |
Total Return | 6.16% | 38.43% | 18.52% | -6.54% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $12,578 | $11,347 | $5,477 | $1,307 |
Ratio of Total Expenses to Average Net Assets | 0.06% | 0.06% | 0.06% | 0.06%2 |
Ratio of Net Investment Income to Average Net Assets | 1.41% | 1.37% | 1.80% | 1.11%2 |
Portfolio Turnover Rate 3 | 10% | 11% | 12% | 14% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
22
Extended Market Index Fund
Financial Highlights
ETF Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $82.71 | $60.46 | $51.87 | $54.42 | $43.09 | $31.67 |
Investment Operations | ||||||
Net Investment Income | .520 | .934 | 1.000 | .593 | .547 | .476 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 4.558 | 22.256 | 8.582 | (2.553) | 11.324 | 11.438 |
Total from Investment Operations | 5.078 | 23.190 | 9.582 | (1.960) | 11.871 | 11.914 |
Distributions | ||||||
Dividends from Net Investment Income | (.018) | (.940) | (.992) | (.590) | (.541) | (.494) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.018) | (.940) | (.992) | (.590) | (.541) | (.494) |
Net Asset Value, End of Period | $87.77 | $82.71 | $60.46 | $51.87 | $54.42 | $43.09 |
Total Return | 6.14% | 38.37% | 18.48% | -3.61% | 27.55% | 37.63% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,634 | $3,105 | $1,477 | $1,148 | $1,113 | $781 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.12% | 0.13% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.37% | 1.33% | 1.76% | 1.07% | 1.21% | 1.33% |
Portfolio Turnover Rate1 | 10% | 11% | 12% | 14% | 10% | 17% |
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
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. investment companies. 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. 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.
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).
24
Extended Market Index Fund
During the six months ended June 30, 2014, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.
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, 2010–2013), and for the period ended June 30, 2014, 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 lends 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 prequalified 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; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the absence of a default the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets 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. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $2.89 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at June 30, 2014, or at any time during the period then ended.
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. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. 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.
25
Extended Market Index Fund
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 based on 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, 2014, the fund had contributed capital of $3,905,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 1.56% 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, 2014, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 39,664,004 | 378 | 2,170 |
Temporary Cash Investments | 456,970 | 7,099 | — |
Futures Contracts—Assets1 | 359 | — | — |
Total | 40,121,333 | 7,477 | 2,170 |
1 Represents variation margin on the last day of the reporting period. |
D. At June 30, 2014, 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 2014 | 292 | 34,757 | 866 |
E-mini S&P MidCap 400 Index | September 2014 | 174 | 24,870 | 535 |
1,401 |
26
Extended Market Index Fund
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, 2014, the fund realized $651,864,000 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, 2013, the fund had available capital losses totaling $258,366,000 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 $184,204,000 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, 2014; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2014, the cost of investment securities for tax purposes was $27,566,245,000. Net unrealized appreciation of investment securities for tax purposes was $12,564,376,000, consisting of unrealized gains of $13,870,406,000 on securities that had risen in value since their purchase and $1,306,030,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2014, the fund purchased $4,152,749,000 of investment securities and sold $3,012,897,000 of investment securities, other than temporary cash investments. Purchases and sales include $1,512,161,000 and $1,199,896,000, 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, 2014 | December 31, 2013 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 220,841 | 3,473 | 549,282 | 10,154 |
Issued in Lieu of Cash Distributions | 559 | 9 | 26,565 | 431 |
Redeemed | (404,947) | (6,337) | (1,635,596) | (29,081) |
Net Increase (Decrease)—Investor Shares | (183,547) | (2,855) | (1,059,749) | (18,496) |
Admiral Shares | ||||
Issued | 1,500,592 | 23,584 | 1,261,504 | 23,061 |
Issued in Lieu of Cash Distributions | 1,945 | 30 | 88,388 | 1,430 |
Redeemed | (500,443) | (7,887) | (734,197) | (13,381) |
Net Increase (Decrease)—Admiral Shares | 1,002,094 | 15,727 | 615,695 | 11,110 |
Signal Shares | ||||
Issued | 419,483 | 7,707 | 1,254,647 | 26,848 |
Issued in Lieu of Cash Distributions | 568 | 10 | 27,016 | 509 |
Redeemed | (1,152,581) | (21,077) | (1,602,960) | (33,432) |
Net Increase (Decrease)—Signal Shares | (732,530) | (13,360) | (321,297) | (6,075) |
Institutional Shares | ||||
Issued | 1,191,322 | 18,752 | 2,647,825 | 48,729 |
Issued in Lieu of Cash Distributions | 1,671 | 26 | 83,456 | 1,350 |
Redeemed | (1,281,175) | (20,231) | (2,473,516) | (45,401) |
Net Increase (Decrease)—Institutional Shares | (88,182) | (1,453) | 257,765 | 4,678 |
Institutional Plus Shares | ||||
Issued | 1,219,263 | 7,765 | 4,181,041 | 30,708 |
Issued in Lieu of Cash Distributions | 2,699 | 17 | 128,172 | 839 |
Redeemed | (705,064) | (4,528) | (904,424) | (6,656) |
Net Increase (Decrease)—Institutional Plus Shares | 516,898 | 3,254 | 3,404,789 | 24,891 |
ETF Shares | ||||
Issued | 1,625,885 | 19,270 | 3,748,528 | 50,303 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (1,305,782) | (15,400) | (2,846,155) | (37,200) |
Net Increase (Decrease)—ETF Shares | 320,103 | 3,870 | 902,373 | 13,103 |
H. Management has determined that no material events or transactions occurred subsequent to June 30, 2014, that would require recognition or disclosure in these financial statements.
28
Mid-Cap Index Fund
Fund Profile
As of June 30, 2014
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% | 0.09% | 0.09% | 0.08% | 0.06% | 0.09% |
30-Day SEC Yield | 0.98% | 1.12% | 1.12% | 1.13% | 1.15% | 1.12% |
Portfolio Characteristics | |||
DJ | |||
U.S. | |||
CRSP US | Total | ||
Mid Cap | Market | ||
Fund | Index | FA Index | |
Number of Stocks | 380 | 372 | 3,730 |
Median Market Cap | $10.4B | $10.4B | $45.5B |
Price/Earnings Ratio | 24.6x | 24.6x | 20.7x |
Price/Book Ratio | 2.8x | 2.8x | 2.7x |
Return on Equity | 15.4% | 15.1% | 17.4% |
Earnings Growth | |||
Rate | 15.7% | 15.7% | 14.4% |
Dividend Yield | 1.4% | 1.4% | 1.8% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 12% | — | — |
Short-Term Reserves | 0.1% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
CRSP US U.S. Total | |||
Mid Cap | Market | ||
Fund | Index | FA Index | |
Basic Materials | 4.6% | 4.6% | 3.1% |
Consumer Goods | 13.5 | 13.5 | 9.9 |
Consumer Services | 13.9 | 13.9 | 13.2 |
Financials | 17.2 | 17.2 | 18.2 |
Health Care | 8.4 | 8.4 | 12.2 |
Industrials | 17.2 | 17.1 | 12.9 |
Oil & Gas | 7.2 | 7.2 | 9.9 |
Technology | 11.5 | 11.5 | 15.1 |
Telecommunications | 1.0 | 1.1 | 2.2 |
Utilities | 5.5 | 5.5 | 3.3 |
Volatility Measures | ||
DJ | ||
Spliced | U.S. Total | |
Mid-Cap | Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.96 |
Beta | 1.00 | 1.13 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months. | ||
Ten Largest Holdings (% of total net assets) | ||
Vertex Pharmaceuticals | ||
Inc. | Biotechnology | 0.7% |
Delphi Automotive plc | Auto Parts | 0.7 |
Western Digital Corp. | Computer Hardware | 0.7 |
Mylan Inc. | Pharmaceuticals | 0.6 |
Health Care REIT Inc. | Specialty REITs | 0.6 |
Moody's Corp. | Specialty Finance | 0.6 |
Southwest Airlines Co. | Airlines | 0.6 |
AvalonBay Communities | ||
Inc. | Residential REITs | 0.6 |
Chipotle Mexican Grill | ||
Inc. | Restaurants & Bars | 0.6 |
Seagate Technology plc | Computer Hardware | 0.6 |
Top Ten | 6.3% | |
The holdings listed exclude any temporary cash investments and equity index products. | ||
1 The expense ratios shown are from the prospectus dated April 28, 2014, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2014, the annualized expense ratios were 0.23% 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
![](https://capedge.com/proxy/N-CSRS/0000932471-14-006700/midcapportfolios_q98x32x1.jpg)
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, 2003, Through June 30, 2014
![](https://capedge.com/proxy/N-CSRS/0000932471-14-006700/midcapportfolios_q98x33x1.jpg)
Note: For 2014, performance data reflect the six months ended June 30, 2014.
| ||||
Average Annual Total Returns: Periods Ended June 30, 2014 | ||||
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 5/21/1998 | 26.04% | 21.80% | 10.18% |
Admiral Shares | 11/12/2001 | 26.23 | 21.97 | 10.32 |
Signal Shares | 3/30/2007 | 26.23 | 21.97 | 7.841 |
Institutional Shares | 5/21/1998 | 26.24 | 22.01 | 10.36 |
Institutional Plus Shares | 12/15/2010 | 26.26 | — | 16.111 |
ETF Shares | 1/26/2004 | |||
Market Price | 26.22 | 21.97 | 10.32 | |
Net Asset Value | 26.23 | 21.96 | 10.31 | |
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 of June 30, 2014
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 (4.6%) | |||
Alcoa Inc. | 19,484,835 | 290,129 | |
CF Industries | |||
Holdings Inc. | 865,585 | 208,199 | |
Sigma-Aldrich Corp. | 1,975,485 | 200,472 | |
Eastman Chemical Co. | 2,261,282 | 197,523 | |
CONSOL Energy Inc. | 3,819,107 | 175,946 | |
Celanese Corp. Class A | 2,590,337 | 166,507 | |
FMC Corp. | 2,212,108 | 157,480 | |
International Flavors & | |||
Fragrances Inc. | 1,350,449 | 140,825 | |
Ashland Inc. | 1,294,745 | 140,791 | |
Airgas Inc. | 1,110,942 | 120,993 | |
* | WR Grace & Co. | 1,204,245 | 113,837 |
Huntsman Corp. | 3,430,258 | 96,390 | |
Albemarle Corp. | 1,322,239 | 94,540 | |
Reliance Steel & | |||
Aluminum Co. | 1,227,282 | 90,463 | |
Avery Dennison Corp. | 1,582,690 | 81,113 | |
Peabody Energy Corp. | 4,512,077 | 73,773 | |
Westlake Chemical Corp. | 665,828 | 55,770 | |
2,404,751 | |||
Consumer Goods (13.4%) | |||
Delphi Automotive plc | 5,047,138 | 346,940 | |
Harley-Davidson Inc. | 3,629,638 | 253,530 | |
Keurig Green | |||
Mountain Inc. | 2,028,775 | 252,806 | |
BorgWarner Inc. | 3,800,127 | 247,730 | |
* | Constellation Brands Inc. | ||
Class A | 2,658,870 | 234,326 | |
Mattel Inc. | 5,639,134 | 219,757 | |
Genuine Parts Co. | 2,425,628 | 212,970 | |
ConAgra Foods Inc. | 7,000,645 | 207,779 | |
Clorox Co. | 2,137,507 | 195,368 | |
Dr Pepper Snapple | |||
Group Inc. | 3,264,438 | 191,231 | |
Whirlpool Corp. | 1,291,445 | 179,795 | |
Coca-Cola Enterprises Inc. | 3,758,934 | 179,602 | |
* | Electronic Arts Inc. | 4,963,690 | 178,048 |
Market | |||
Value | |||
Shares | ($000) | ||
Molson Coors Brewing | |||
Co. Class B | 2,398,235 | 177,853 | |
* | Monster Beverage Corp. | 2,497,876 | 177,424 |
Bunge Ltd. | 2,321,966 | 175,633 | |
JM Smucker Co. | 1,636,292 | 174,380 | |
Tyson Foods Inc. Class A | 4,624,787 | 173,614 | |
* | Under Armour Inc. | ||
Class A | 2,889,779 | 171,913 | |
Ralph Lauren Corp. | |||
Class A | 1,027,471 | 165,104 | |
* | TRW Automotive | ||
Holdings Corp. | 1,840,033 | 164,720 | |
PVH Corp. | 1,366,801 | 159,369 | |
Church & Dwight Co. Inc. | 2,257,783 | 157,932 | |
Polaris Industries Inc. | 1,094,610 | 142,562 | |
Newell Rubbermaid Inc. | 4,596,734 | 142,453 | |
* | Mohawk Industries Inc. | 1,028,474 | 142,279 |
Leucadia National Corp. | 5,208,228 | 136,560 | |
McCormick & Co. Inc. | 1,867,341 | 133,683 | |
Energizer Holdings Inc. | 1,024,627 | 125,035 | |
* | Jarden Corp. | 2,036,322 | 120,856 |
Lear Corp. | 1,350,848 | 120,658 | |
* | LKQ Corp. | 4,512,855 | 120,448 |
DR Horton Inc. | 4,865,580 | 119,596 | |
Lennar Corp. Class A | 2,805,945 | 117,794 | |
PulteGroup Inc. | 5,664,106 | 114,188 | |
Hormel Foods Corp. | 2,193,920 | 108,270 | |
* | WABCO Holdings Inc. | 1,009,512 | 107,836 |
Avon Products Inc. | 7,220,951 | 105,498 | |
Hasbro Inc. | 1,941,890 | 103,017 | |
Hanesbrands Inc. | 827,748 | 81,483 | |
* | NVR Inc. | 69,834 | 80,351 |
^ | Herbalife Ltd. | 1,223,266 | 78,950 |
Coach Inc. | 2,278,903 | 77,916 | |
* | Fossil Group Inc. | 712,028 | 74,421 |
* | Lululemon Athletica Inc. | 1,728,876 | 69,985 |
Nu Skin Enterprises Inc. | |||
Class A | 415,603 | 30,738 | |
Coty Inc. Class A | 1,224,217 | 20,971 | |
Lennar Corp. Class B | 82,374 | 2,927 | |
7,076,299 |
32
Mid-Cap Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Consumer Services (13.9%) | |||
Southwest Airlines Co. | 11,499,188 | 308,868 | |
* | Chipotle Mexican Grill | ||
Inc. Class A | 516,641 | 306,115 | |
AmerisourceBergen Corp. | |||
Class A | 3,566,155 | 259,117 | |
* | United Continental | ||
Holdings Inc. | 6,208,333 | 254,976 | |
* | O’Reilly Automotive Inc. | 1,675,059 | 252,264 |
Nielsen NV | 5,038,626 | 243,920 | |
L Brands Inc. | 4,124,787 | 241,960 | |
Ross Stores Inc. | 3,354,253 | 221,817 | |
* | Charter Communications | ||
Inc. Class A | 1,348,711 | 213,609 | |
* | Hertz Global Holdings Inc. | 7,441,818 | 208,594 |
Marriott International Inc. | |||
Class A | 3,163,294 | 202,767 | |
* | TripAdvisor Inc. | 1,834,731 | 199,362 |
* | CarMax Inc. | 3,661,941 | 190,458 |
Tiffany & Co. | 1,822,107 | 182,666 | |
* | Discovery | ||
Communications Inc. | |||
Class A | 2,451,996 | 182,134 | |
* | Dollar Tree Inc. | 3,263,792 | 177,746 |
Macy’s Inc. | 3,005,050 | 174,353 | |
Advance Auto Parts Inc. | 1,212,025 | 163,526 | |
* | MGM Resorts | ||
International | 6,112,608 | 161,373 | |
Nordstrom Inc. | 2,366,875 | 160,782 | |
Wyndham | |||
Worldwide Corp. | 2,114,852 | 160,137 | |
H&R Block Inc. | 4,555,364 | 152,696 | |
Signet Jewelers Ltd. | 1,332,400 | 147,350 | |
* | IHS Inc. Class A | 1,074,032 | 145,714 |
* | Dollar General Corp. | 2,519,342 | 144,509 |
Best Buy Co. Inc. | 4,630,619 | 143,595 | |
* | News Corp. Class A | 7,920,401 | 142,092 |
Tractor Supply Co. | 2,300,695 | 138,962 | |
Interpublic Group of | |||
Cos. Inc. | 7,038,136 | 137,314 | |
Safeway Inc. | 3,826,061 | 131,387 | |
Expedia Inc. | 1,652,684 | 130,165 | |
Royal Caribbean | |||
Cruises Ltd. | 2,214,223 | 123,111 | |
Staples Inc. | 10,746,863 | 116,496 | |
Scripps Networks | |||
Interactive Inc. Class A | 1,353,841 | 109,851 | |
Williams-Sonoma Inc. | 1,486,336 | 106,689 | |
Family Dollar Stores Inc. | 1,608,065 | 106,357 | |
Darden Restaurants Inc. | 2,198,871 | 101,742 | |
PetSmart Inc. | 1,649,143 | 98,619 | |
* | Ulta Salon Cosmetics & | ||
Fragrance Inc. | 1,015,604 | 92,836 | |
* | Discovery | ||
Communications Inc. | 1,190,239 | 86,399 |
Market | |||
Value | |||
Shares | ($000) | ||
FactSet Research | |||
Systems Inc. | 668,738 | 80,436 | |
* | AutoNation Inc. | 1,191,414 | 71,104 |
* | Urban Outfitters Inc. | 1,717,192 | 58,144 |
* | Norwegian Cruise Line | ||
Holdings Ltd. | 1,536,518 | 48,708 | |
Burger King | |||
Worldwide Inc. | 1,756,513 | 47,812 | |
* | Sprouts Farmers | ||
Market Inc. | 1,370,066 | 44,829 | |
* | Hyatt Hotels Corp. | ||
Class A | 667,712 | 40,717 | |
Extended Stay | |||
America Inc. | 1,528,243 | 35,394 | |
Aramark | 958,761 | 24,813 | |
*,^ | Sears Holdings Corp. | 445,419 | 17,799 |
* | zulily Inc. Class A | 307,045 | 12,573 |
* | News Corp. Class B | 206,229 | 3,599 |
Dun & Bradstreet Corp. | 71 | 8 | |
International Game | |||
Technology | 464 | 7 | |
* | Groupon Inc. Class A | 897 | 6 |
7,308,377 | |||
Financials (17.2%) | |||
Health Care REIT Inc. | 5,077,030 | 318,177 | |
Moody’s Corp. | 3,551,993 | 311,368 | |
AvalonBay | |||
Communities Inc. | 2,154,308 | 306,321 | |
Hartford Financial | |||
Services Group Inc. | 7,474,631 | 267,667 | |
Principal Financial | |||
Group Inc. | 4,890,657 | 246,880 | |
M&T Bank Corp. | 1,967,028 | 244,010 | |
Regions Financial Corp. | 22,921,614 | 243,428 | |
Lincoln National Corp. | 4,384,059 | 225,516 | |
KeyCorp | 14,682,543 | 210,401 | |
Essex Property Trust Inc. | 1,038,499 | 192,029 | |
* | Affiliated Managers | ||
Group Inc. | 918,932 | 188,749 | |
American Realty Capital | |||
Properties Inc. | 14,794,360 | 185,373 | |
Annaly Capital | |||
Management Inc. | 15,739,200 | 179,899 | |
SL Green Realty Corp. | 1,585,371 | 173,455 | |
^ | Realty Income Corp. | 3,678,603 | 163,404 |
Macerich Co. | 2,337,253 | 156,012 | |
Western Union Co. | 8,952,794 | 155,241 | |
Comerica Inc. | 3,018,034 | 151,385 | |
* | CBRE Group Inc. Class A | 4,688,546 | 150,221 |
Kimco Realty Corp. | 6,479,858 | 148,907 | |
Unum Group | 4,276,211 | 148,641 | |
XL Group plc Class A | 4,510,216 | 147,619 | |
CIT Group Inc. | 3,213,545 | 147,052 | |
Equifax Inc. | 2,024,429 | 146,852 | |
* | Markel Corp. | 220,453 | 144,538 |
33
Mid-Cap Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Genworth Financial Inc. | |||
Class A | 8,244,489 | 143,454 | |
Fidelity National Financial | |||
Inc. Class A | 4,369,259 | 143,137 | |
American Capital | |||
Agency Corp. | 5,860,838 | 137,202 | |
Federal Realty | |||
Investment Trust | 1,117,650 | 135,146 | |
Plum Creek Timber | |||
Co. Inc. | 2,942,128 | 132,690 | |
Huntington | |||
Bancshares Inc. | 13,751,786 | 131,192 | |
Digital Realty Trust Inc. | 2,248,506 | 131,133 | |
Navient Corp. | 7,023,296 | 124,383 | |
Cincinnati Financial Corp. | 2,580,861 | 123,985 | |
Arch Capital Group Ltd. | 2,116,528 | 121,573 | |
First Republic Bank | 2,192,100 | 120,544 | |
UDR Inc. | 4,178,872 | 119,641 | |
Torchmark Corp. | 1,458,898 | 119,513 | |
Willis Group Holdings plc | 2,675,292 | 115,840 | |
New York Community | |||
Bancorp Inc. | 6,989,400 | 111,691 | |
Lazard Ltd. Class A | 2,138,659 | 110,269 | |
Raymond James | |||
Financial Inc. | 2,110,393 | 107,060 | |
Ally Financial Inc. | 4,384,175 | 104,826 | |
Everest Re Group Ltd. | 613,142 | 98,403 | |
Camden Property Trust | 1,351,216 | 96,139 | |
Jones Lang LaSalle Inc. | 740,859 | 93,637 | |
Alexandria Real Estate | |||
Equities Inc. | 1,191,065 | 92,474 | |
Realogy Holdings Corp. | 2,429,030 | 91,599 | |
Reinsurance Group of | |||
America Inc. Class A | 1,148,293 | 90,600 | |
Zions Bancorporation | 3,073,375 | 90,572 | |
Legg Mason Inc. | 1,747,444 | 89,661 | |
MSCI Inc. Class A | 1,940,037 | 88,951 | |
PartnerRe Ltd. | 797,840 | 87,132 | |
Voya Financial Inc. | 2,327,709 | 84,589 | |
SEI Investments Co. | 2,530,816 | 82,935 | |
WR Berkley Corp. | 1,697,918 | 78,631 | |
People’s United | |||
Financial Inc. | 5,156,168 | 78,219 | |
Hudson City Bancorp Inc. | 7,910,659 | 77,762 | |
NASDAQ OMX Group Inc. | 1,986,743 | 76,728 | |
Rayonier Inc. | 2,102,723 | 74,752 | |
Axis Capital Holdings Ltd. | 1,613,120 | 71,429 | |
Ocwen Financial Corp. | 1,906,718 | 70,739 | |
LPL Financial | |||
Holdings Inc. | 1,421,541 | 70,707 | |
Alleghany Corp. | 130,081 | 56,991 | |
Assurant Inc. | 594,176 | 38,948 | |
Santander Consumer | |||
USA Holdings Inc. | 1,446,396 | 28,118 |
Market | |||
Value | |||
Shares | ($000) | ||
Brixmor Property | |||
Group Inc. | 1,207,618 | 27,715 | |
* | Rayonier Advanced | ||
Materials Inc. | 350,407 | 13,578 | |
SLM Corp. | 693,354 | 5,762 | |
9,043,195 | |||
Health Care (8.4%) | |||
* | Vertex | ||
Pharmaceuticals Inc. | 3,925,750 | 371,690 | |
* | Mylan Inc. | 6,211,788 | 320,280 |
* | Boston Scientific Corp. | 21,984,706 | 280,745 |
* | DaVita HealthCare | ||
Partners Inc. | 3,382,406 | 244,616 | |
* | Illumina Inc. | 1,066,524 | 190,417 |
CR Bard Inc. | 1,266,769 | 181,161 | |
* | Henry Schein Inc. | 1,418,094 | 168,285 |
* | Endo International plc | 2,402,961 | 168,255 |
Perrigo Co. plc | 1,055,863 | 153,903 | |
* | CareFusion Corp. | 3,443,910 | 152,737 |
* | BioMarin | ||
Pharmaceutical Inc. | 2,424,170 | 150,808 | |
* | Edwards | ||
Lifesciences Corp. | 1,752,532 | 150,437 | |
Universal Health Services | |||
Inc. Class B | 1,520,028 | 145,558 | |
* | Laboratory Corp. of | ||
America Holdings | 1,408,770 | 144,258 | |
* | Varian Medical | ||
Systems Inc. | 1,726,968 | 143,580 | |
* | Hospira Inc. | 2,776,698 | 142,639 |
* | Incyte Corp. Ltd. | 2,506,287 | 141,455 |
Quest Diagnostics Inc. | 2,400,340 | 140,876 | |
* | Waters Corp. | 1,338,137 | 139,755 |
* | Jazz Pharmaceuticals plc | 937,955 | 137,889 |
^ | ResMed Inc. | 2,331,451 | 118,041 |
* | IDEXX Laboratories Inc. | 852,792 | 113,907 |
DENTSPLY | |||
International Inc. | 2,356,747 | 111,592 | |
* | Hologic Inc. | 3,903,921 | 98,964 |
* | Pharmacyclics Inc. | 997,860 | 89,518 |
* | Quintiles Transnational | ||
Holdings Inc. | 1,082,433 | 57,683 | |
Patterson Cos. Inc. | 1,382,980 | 54,642 | |
* | Envision Healthcare | ||
Holdings Inc. | 1,350,415 | 48,493 | |
* | Intercept | ||
Pharmaceuticals Inc. | 192,941 | 45,656 | |
* | Forest Laboratories Inc. | 459 | 45 |
4,407,885 | |||
Industrials (17.1%) | |||
Sherwin-Williams Co. | 1,407,886 | 291,306 | |
WW Grainger Inc. | 1,023,682 | 260,292 | |
Amphenol Corp. Class A | 2,611,985 | 251,639 | |
* | Fiserv Inc. | 4,142,648 | 249,884 |
Roper Industries Inc. | 1,658,713 | 242,189 |
34
Mid-Cap Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
* | Alliance Data | ||
Systems Corp. | 855,983 | 240,745 | |
Fidelity National | |||
Information Services Inc. | 4,305,387 | 235,677 | |
* | Pentair plc | 3,217,616 | 232,054 |
Fastenal Co. | 4,439,735 | 219,722 | |
AMETEK Inc. | 4,077,533 | 213,173 | |
Kansas City Southern | 1,833,482 | 197,118 | |
Rockwell Collins Inc. | 2,250,868 | 175,883 | |
Flowserve Corp. | 2,281,313 | 169,616 | |
* | United Rentals Inc. | 1,615,858 | 169,229 |
* | Stericycle Inc. | 1,406,937 | 166,609 |
* | FleetCor Technologies Inc. | 1,239,912 | 163,420 |
* | B/E Aerospace Inc. | 1,748,462 | 161,715 |
* | Trimble Navigation Ltd. | 4,333,650 | 160,128 |
Textron Inc. | 4,173,304 | 159,796 | |
CH Robinson | |||
Worldwide Inc. | 2,465,710 | 157,288 | |
L-3 Communications | |||
Holdings Inc. | 1,289,264 | 155,679 | |
Pall Corp. | 1,822,087 | 155,588 | |
* | Verisk Analytics Inc. | ||
Class A | 2,487,806 | 149,318 | |
Ball Corp. | 2,316,073 | 145,171 | |
Vulcan Materials Co. | 2,173,054 | 138,532 | |
Expeditors International | |||
of Washington Inc. | 3,115,016 | 137,559 | |
TransDigm Group Inc. | 791,336 | 132,359 | |
Masco Corp. | 5,923,361 | 131,499 | |
Rock-Tenn Co. Class A | 1,192,379 | 125,903 | |
Wabtec Corp. | 1,522,263 | 125,724 | |
MeadWestvaco Corp. | 2,788,912 | 123,437 | |
* | Mettler-Toledo | ||
International Inc. | 485,455 | 122,907 | |
* | Quanta Services Inc. | 3,546,389 | 122,634 |
Sealed Air Corp. | 3,587,329 | 122,579 | |
Chicago Bridge & Iron | |||
Co. NV | 1,796,105 | 122,494 | |
Towers Watson & Co. | |||
Class A | 1,167,972 | 121,738 | |
Xylem Inc. | 3,053,269 | 119,322 | |
* | Sensata Technologies | ||
Holding NV | 2,516,988 | 117,745 | |
JB Hunt Transport | |||
Services Inc. | 1,559,169 | 115,035 | |
Xerox Corp. | 9,215,720 | 114,644 | |
* | Crown Holdings Inc. | 2,303,632 | 114,629 |
Manpowergroup Inc. | 1,323,419 | 112,292 | |
* | Jacobs Engineering | ||
Group Inc. | 2,088,427 | 111,271 | |
Cintas Corp. | 1,698,109 | 107,898 | |
Hubbell Inc. Class B | 864,522 | 106,466 | |
MDU Resources | |||
Group Inc. | 3,025,496 | 106,195 | |
Robert Half | |||
International Inc. | 2,170,917 | 103,640 |
Market | |||
Value | |||
Shares | ($000) | ||
Joy Global Inc. | 1,660,708 | 102,266 | |
Avnet Inc. | 2,300,451 | 101,933 | |
Iron Mountain Inc. | 2,871,811 | 101,806 | |
Fluor Corp. | 1,322,638 | 101,711 | |
Martin Marietta | |||
Materials Inc. | 768,593 | 101,493 | |
ADT Corp. | 2,896,309 | 101,197 | |
Donaldson Co. Inc. | 2,376,185 | 100,560 | |
* | Arrow Electronics Inc. | 1,656,111 | 100,046 |
* | Colfax Corp. | 1,335,023 | 99,513 |
Timken Co. | 1,365,178 | 92,614 | |
Allison Transmission | |||
Holdings Inc. | 2,781,381 | 86,501 | |
FLIR Systems Inc. | 2,354,245 | 81,763 | |
AGCO Corp. | 1,405,248 | 79,003 | |
Owens Corning | 1,860,379 | 71,959 | |
SPX Corp. | 655,831 | 70,967 | |
Fortune Brands Home | |||
& Security Inc. | 1,381,164 | 55,150 | |
* | Owens-Illinois Inc. | 1,373,204 | 47,568 |
KBR Inc. | 1,221,116 | 29,124 | |
Jabil Circuit Inc. | 349 | 7 | |
National Instruments Corp. | 190 | 6 | |
9,004,928 | |||
Oil & Gas (7.2%) | |||
* | Concho Resources Inc. | 1,857,173 | 268,361 |
EQT Corp. | 2,396,274 | 256,162 | |
* | Cheniere Energy Inc. | 3,558,917 | 255,174 |
Cabot Oil & Gas Corp. | 6,936,193 | 236,802 | |
Range Resources Corp. | 2,587,897 | 225,018 | |
Cimarex Energy Co. | 1,446,714 | 207,546 | |
Helmerich & Payne Inc. | 1,707,810 | 198,294 | |
Murphy Oil Corp. | 2,831,857 | 188,262 | |
* | Whiting Petroleum Corp. | 1,976,219 | 158,592 |
HollyFrontier Corp. | 3,300,450 | 144,197 | |
Noble Corp. plc | 4,223,437 | 141,738 | |
Oceaneering | |||
International Inc. | 1,794,289 | 140,188 | |
Nabors Industries Ltd. | 4,694,440 | 137,876 | |
* | Weatherford | ||
International plc | 5,776,144 | 132,851 | |
OGE Energy Corp. | 3,308,396 | 129,292 | |
Tesoro Corp. | 2,148,552 | 126,056 | |
Core Laboratories NV | 745,571 | 124,555 | |
Denbury Resources Inc. | 5,845,343 | 107,905 | |
Energen Corp. | 1,209,704 | 107,518 | |
* | Cobalt International | ||
Energy Inc. | 5,142,143 | 94,358 | |
SM Energy Co. | 1,114,748 | 93,750 | |
QEP Resources Inc. | 2,693,891 | 92,939 | |
* | Dresser-Rand Group Inc. | 1,271,343 | 81,023 |
* | Antero Resources Corp. | 871,832 | 57,218 |
^ | Diamond Offshore | ||
Drilling Inc. | 1,140,603 | 56,608 | |
Rowan Cos. plc Class A | 1,031,751 | 32,944 | |
3,795,227 |
35
Mid-Cap Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Technology (11.4%) | |||
Western Digital Corp. | 3,711,704 | 342,590 | |
Seagate Technology plc | 5,156,511 | 292,993 | |
Avago Technologies Ltd. | |||
Class A | 3,737,347 | 269,351 | |
* | Cerner Corp. | 5,136,642 | 264,948 |
* | Autodesk Inc. | 3,787,679 | 213,549 |
Xilinx Inc. | 4,459,822 | 210,994 | |
KLA-Tencor Corp. | 2,756,497 | 200,232 | |
SanDisk Corp. | 1,880,150 | 196,344 | |
Linear Technology Corp. | 3,929,490 | 184,961 | |
Lam Research Corp. | 2,693,237 | 182,009 | |
* | Red Hat Inc. | 3,145,297 | 173,841 |
* | Equinix Inc. | 827,219 | 173,790 |
* | Akamai Technologies Inc. | 2,808,999 | 171,517 |
NVIDIA Corp. | 8,805,310 | 163,250 | |
Maxim Integrated | |||
Products Inc. | 4,696,424 | 158,786 | |
Microchip Technology Inc. | 3,160,944 | 154,286 | |
Computer Sciences Corp. | 2,406,662 | 152,101 | |
* | Catamaran Corp. | 3,436,346 | 151,749 |
Skyworks Solutions Inc. | 3,149,557 | 147,903 | |
* | Workday Inc. Class A | 1,575,360 | 141,562 |
* | F5 Networks Inc. | 1,258,036 | 140,195 |
Harris Corp. | 1,769,335 | 134,027 | |
* | ServiceNow Inc. | 2,035,187 | 126,100 |
Garmin Ltd. | 1,942,457 | 118,296 | |
* | ANSYS Inc. | 1,540,139 | 116,773 |
* | VeriSign Inc. | 2,184,811 | 106,641 |
* | Teradata Corp. | 2,621,135 | 105,370 |
*,^ | 3D Systems Corp. | 1,728,558 | 103,368 |
* | Cree Inc. | 2,026,878 | 101,243 |
* | Gartner Inc. | 1,424,685 | 100,469 |
* | Synopsys Inc. | 2,571,951 | 99,843 |
Marvell Technology | |||
Group Ltd. | 6,757,684 | 96,838 | |
* | Splunk Inc. | 1,670,896 | 92,451 |
* | Juniper Networks Inc. | 3,740,678 | 91,796 |
Altera Corp. | 2,603,539 | 90,499 | |
* | Citrix Systems Inc. | 1,361,943 | 85,190 |
* | Nuance | ||
Communications Inc. | 4,217,833 | 79,169 | |
* | Rackspace Hosting Inc. | 1,890,375 | 63,630 |
* | NetSuite Inc. | 567,498 | 49,304 |
*,^ | FireEye Inc. | 1,207,014 | 48,944 |
* | MICROS Systems Inc. | 620,557 | 42,136 |
* | IMS Health Holdings Inc. | 1,376,532 | 35,349 |
* | Informatica Corp. | 910,595 | 32,463 |
* | Premier Inc. Class A | 542,945 | 15,745 |
* | TIBCO Software Inc. | 289 | 6 |
6,022,601 |
Market | |||
Value | |||
Shares | ($000) | ||
Telecommunications (1.0%) | |||
* | SBA Communications | ||
Corp. Class A | 2,141,125 | 219,037 | |
* | Level 3 | ||
Communications Inc. | 2,957,575 | 129,867 | |
Windstream | |||
Holdings Inc. | 10,017,040 | 99,770 | |
Frontier | |||
Communications Corp. | 16,659,792 | 97,293 | |
545,967 | |||
Utilities (5.5%) | |||
Northeast Utilities | 5,252,299 | 248,276 | |
ONEOK Inc. | 3,455,195 | 235,230 | |
DTE Energy Co. | 2,942,456 | 229,129 | |
NRG Energy Inc. | 5,605,851 | 208,538 | |
NiSource Inc. | 5,234,123 | 205,910 | |
CenterPoint Energy Inc. | 7,138,660 | 182,321 | |
Wisconsin Energy Corp. | 3,746,194 | 175,771 | |
AES Corp. | 10,844,172 | 168,627 | |
Ameren Corp. | 4,030,625 | 164,772 | |
* | Calpine Corp. | 6,681,458 | 159,085 |
American Water Works | |||
Co. Inc. | 2,974,017 | 147,065 | |
CMS Energy Corp. | 4,476,968 | 139,458 | |
Pepco Holdings Inc. | 4,172,193 | 114,652 | |
SCANA Corp. | 2,117,984 | 113,969 | |
Alliant Energy Corp. | 1,843,908 | 112,220 | |
Pinnacle West | |||
Capital Corp. | 1,834,274 | 106,094 | |
National Fuel Gas Co. | 1,326,514 | 103,866 | |
Integrys Energy | |||
Group Inc. | 1,329,294 | 94,553 | |
TECO Energy Inc. | 410 | 8 | |
2,909,544 | |||
Total Common Stocks | |||
(Cost $37,997,370) | 52,518,774 |
36
Mid-Cap Index Fund
Market | ||
Value | ||
Shares | ($000) | |
Temporary Cash Investments (0.6%)1 | ||
Money Market Fund (0.6%) | ||
2,3 Vanguard Market | ||
Liquidity Fund, | ||
0.111% | 300,022,873 | 300,023 |
Face | |||
Amount | |||
($000) | |||
U.S. Government and Agency Obligations (0.0%) | |||
4,5 | Federal Home Loan | ||
Bank Discount Notes, | |||
0.080%, 7/7/14 | 1,000 | 1,000 | |
4,5 | Federal Home Loan | ||
Bank Discount Notes, | |||
0.060%, 7/9/14 | 4,500 | 4,500 | |
4,5 | Federal Home Loan | ||
Bank Discount Notes, | |||
0.075%, 8/6/14 | 1,000 | 1,000 | |
4,5 | Federal Home Loan | ||
Bank Discount Notes, | |||
0.081%, 9/12/14 | 1,500 | 1,499 | |
7,999 | |||
Total Temporary Cash Investments | |||
(Cost $308,022) | 308,022 | ||
Total Investments (100.3%) | |||
(Cost $38,305,392) | 52,826,796 | ||
Other Assets and Liabilities (-0.3%) | |||
Other Assets | 125,195 | ||
Liabilities3 | (263,703) | ||
(138,508) | |||
Net Assets (100%) | 52,688,288 |
At June 30, 2014, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 38,248,367 |
Undistributed Net Investment Income | 281,710 |
Accumulated Net Realized Losses | (364,834) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 14,521,404 |
Futures Contracts | 1,672 |
Swap Contracts | (31) |
Net Assets | 52,688,288 |
Investor Shares—Net Assets | |
Applicable to 152,898,249 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 4,949,096 |
Net Asset Value Per Share— | |
Investor Shares | $32.37 |
Admiral Shares—Net Assets | |
Applicable to 98,267,312 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 14,441,101 |
Net Asset Value Per Share— | |
Admiral Shares | $146.96 |
Signal Shares—Net Assets | |
Applicable to 119,173,416 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 5,526,464 |
Net Asset Value Per Share— | |
Signal Shares | $46.37 |
Institutional Shares—Net Assets | |
Applicable to 310,406,583 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 10,076,947 |
Net Asset Value Per Share— | |
Institutional Shares | $32.46 |
37
Mid-Cap Index Fund
Amount | |
($000) | |
Institutional Plus Shares—Net Assets | |
Applicable to 59,354,798 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 9,503,896 |
Net Asset Value Per Share— | |
Institutional Plus Shares | $160.12 |
ETF Shares—Net Assets | |
Applicable to 69,029,756 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 8,190,784 |
Net Asset Value Per Share— | |
ETF Shares | $118.66 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $135,656,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts and equity swap contracts. After
giving effect to futures and swap investments, the fund’s effective common stock and temporary cash investment positions represent
100.0% and 0.3%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the
7-day yield.
3 Includes $138,207,000 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 $6,600,000 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.
38
Mid-Cap Index Fund
Statement of Operations
Six Months Ended | |
June 30, 2014 | |
($000) | |
Investment Income | |
Income | |
Dividends | 338,350 |
Interest1 | 106 |
Securities Lending | 3,278 |
Total Income | 341,734 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,451 |
Management and Administrative—Investor Shares | 4,695 |
Management and Administrative—Admiral Shares | 3,910 |
Management and Administrative—Signal Shares | 1,844 |
Management and Administrative—Institutional Shares | 2,275 |
Management and Administrative—Institutional Plus Shares | 1,327 |
Management and Administrative—ETF Shares | 2,196 |
Marketing and Distribution—Investor Shares | 536 |
Marketing and Distribution—Admiral Shares | 794 |
Marketing and Distribution—Signal Shares | 919 |
Marketing and Distribution—Institutional Shares | 1,133 |
Marketing and Distribution—Institutional Plus Shares | 959 |
Marketing and Distribution—ETF Shares | 808 |
Custodian Fees | 218 |
Shareholders’ Reports—Investor Shares | 90 |
Shareholders’ Reports—Admiral Shares | 66 |
Shareholders’ Reports—Signal Shares | 49 |
Shareholders’ Reports—Institutional Shares | 79 |
Shareholders’ Reports—Institutional Plus Shares | 60 |
Shareholders’ Reports—ETF Shares | 65 |
Trustees’ Fees and Expenses | 16 |
Total Expenses | 23,490 |
Net Investment Income | 318,244 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 1,152,282 |
Futures Contracts | 7,239 |
Swap Contracts | (3,472) |
Realized Net Gain (Loss) | 1,156,049 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 2,350,784 |
Futures Contracts | (214) |
Swap Contracts | (978) |
Change in Unrealized Appreciation (Depreciation) | 2,349,592 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 3,823,885 |
1 Interest income from an affiliated company of the fund was $102,000.
See accompanying Notes, which are an integral part of the Financial Statements.
39
Mid-Cap Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2014 | 2013 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 318,244 | 520,914 |
Realized Net Gain (Loss) | 1,156,049 | 3,554,862 |
Change in Unrealized Appreciation (Depreciation) | 2,349,592 | 7,659,851 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 3,823,885 | 11,735,627 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (781) | (49,295) |
Admiral Shares | (2,209) | (118,331) |
Signal Shares | (1,467) | (83,346) |
Institutional Shares | (1,560) | (108,634) |
Institutional Plus Shares | (1,819) | (100,095) |
ETF Shares | (1,572) | (80,063) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Signal Shares | — | — |
Institutional Shares | — | — |
Institutional Plus Shares | — | — |
ETF Shares | — | — |
Total Distributions | (9,408) | (539,764) |
Capital Share Transactions | ||
Investor Shares | (212,851) | (357,619) |
Admiral Shares | 3,247,460 | 960,633 |
Signal Shares | (2,082,423) | 532,100 |
Institutional Shares | (38,389) | (13,444) |
Institutional Plus Shares | 349,928 | 1,066,890 |
ETF Shares | 886,430 | 1,311,208 |
Net Increase (Decrease) from Capital Share Transactions | 2,150,155 | 3,499,768 |
Total Increase (Decrease) | 5,964,632 | 14,695,631 |
Net Assets | ||
Beginning of Period | 46,723,656 | 32,028,025 |
End of Period1 | 52,688,288 | 46,723,656 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $281,710,000 and ($23,654,000). |
See accompanying Notes, which are an integral part of the Financial Statements.
40
Mid-Cap Index Fund
Financial Highlights
Investor Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $30.02 | $22.47 | $19.65 | $20.31 | $16.36 | $11.80 |
Investment Operations | ||||||
Net Investment Income | .175 | .299 | .286 | .233 | .214 | .171 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.180 | 7.560 | 2.818 | (.661) | 3.951 | 4.571 |
Total from Investment Operations | 2.355 | 7.859 | 3.104 | (.428) | 4.165 | 4.742 |
Distributions | ||||||
Dividends from Net Investment Income | (.005) | (.309) | (.284) | (.232) | (.215) | (.182) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.005) | (.309) | (.284) | (.232) | (.215) | (.182) |
Net Asset Value, End of Period | $32.37 | $30.02 | $22.47 | $19.65 | $20.31 | $16.36 |
Total Return1 | 7.85% | 35.00% | 15.80% | -2.11% | 25.46% | 40.22% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $4,949 | $4,797 | $3,887 | $4,168 | $5,602 | $6,789 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.23% | 0.24% | 0.24% | 0.24% | 0.26% | 0.27% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.24% | 1.16% | 1.36% | 1.15% | 1.25% | 1.32% |
Portfolio Turnover Rate2 | 12% | 32% | 17% | 22% | 16% | 21% |
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
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $136.19 | $101.97 | $89.15 | $92.17 | $74.23 | $53.49 |
Investment Operations | ||||||
Net Investment Income | .901 | 1.550 | 1.450 | 1.212 | 1.049 | .855 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 9.897 | 34.269 | 12.808 | (3.023) | 17.946 | 20.782 |
Total from Investment Operations | 10.798 | 35.819 | 14.258 | (1.811) | 18.995 | 21.637 |
Distributions | ||||||
Dividends from Net Investment Income | (.028) | (1.599) | (1.438) | (1.209) | (1.055) | (.897) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.028) | (1.599) | (1.438) | (1.209) | (1.055) | (.897) |
Net Asset Value, End of Period | $146.96 | $136.19 | $101.97 | $89.15 | $92.17 | $74.23 |
Total Return1 | 7.93% | 35.15% | 15.99% | -1.97% | 25.59% | 40.48% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $14,441 | $10,251 | $6,895 | $5,989 | $6,036 | $2,184 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.09% | 0.10% | 0.10% | 0.12% | 0.14% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.38% | 1.31% | 1.50% | 1.29% | 1.39% | 1.45% |
Portfolio Turnover Rate2 | 12% | 32% | 17% | 22% | 16% | 21% |
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.
42
Mid-Cap Index Fund
Financial Highlights
Signal Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $42.98 | $32.18 | $28.13 | $29.09 | $23.43 | $16.89 |
Investment Operations | ||||||
Net Investment Income | .278 | .489 | .459 | .382 | .341 | .271 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 3.121 | 10.815 | 4.047 | (.961) | 5.662 | 6.552 |
Total from Investment Operations | 3.399 | 11.304 | 4.506 | (.579) | 6.003 | 6.823 |
Distributions | ||||||
Dividends from Net Investment Income | (.009) | (.504) | (.456) | (.381) | (.343) | (.283) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.009) | (.504) | (.456) | (.381) | (.343) | (.283) |
Net Asset Value, End of Period | $46.37 | $42.98 | $32.18 | $28.13 | $29.09 | $23.43 |
Total Return | 7.91% | 35.15% | 16.02% | -1.99% | 25.62% | 40.43% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $5,526 | $7,113 | $4,834 | $3,589 | $2,831 | $2,346 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.09% | 0.10% | 0.10% | 0.12% | 0.14% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.38% | 1.31% | 1.50% | 1.29% | 1.39% | 1.45% |
Portfolio Turnover Rate1 | 12% | 32% | 17% | 22% | 16% | 21% |
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 Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $30.08 | $22.52 | $19.69 | $20.36 | $16.40 | $11.82 |
Investment Operations | ||||||
Net Investment Income | .199 | .344 | .325 | .271 | .247 | .197 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.186 | 7.571 | 2.827 | (.669) | 3.962 | 4.588 |
Total from Investment Operations | 2.385 | 7.915 | 3.152 | (.398) | 4.209 | 4.785 |
Distributions | ||||||
Dividends from Net Investment Income | (.005) | (.355) | (.322) | (.272) | (.249) | (.205) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.005) | (.355) | (.322) | (.272) | (.249) | (.205) |
Net Asset Value, End of Period | $32.46 | $30.08 | $22.52 | $19.69 | $20.36 | $16.40 |
Total Return | 7.93% | 35.17% | 16.01% | -1.96% | 25.67% | 40.51% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $10,077 | $9,368 | $7,057 | $5,611 | $7,795 | $5,960 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.39% | 1.32% | 1.52% | 1.31% | 1.43% | 1.51% |
Portfolio Turnover Rate1 | 12% | 32% | 17% | 22% | 16% | 21% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
44
Mid-Cap Index Fund
Financial Highlights
Institutional Plus Shares | |||||
Six Months | Dec. 15, | ||||
Ended | 20101 to | ||||
June 30, | Year Ended December 31, | Dec. 31, | |||
For a Share Outstanding Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $148.37 | $111.08 | $97.12 | $100.40 | $99.45 |
Investment Operations | |||||
Net Investment Income | .998 | 1.726 | 1.624 | 1.358 | .0792 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | 10.783 | 37.343 | 13.945 | (3.280) | 2.078 |
Total from Investment Operations | 11.781 | 39.069 | 15.569 | (1.922) | 2.157 |
Distributions | |||||
Dividends from Net Investment Income | (.031) | (1.779) | (1.609) | (1.358) | (1.207) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.031) | (1.779) | (1.609) | (1.358) | (1.207) |
Net Asset Value, End of Period | $160.12 | $148.37 | $111.08 | $97.12 | $100.40 |
Total Return | 7.94% | 35.20% | 16.03% | -1.91% | 2.17% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $9,504 | $8,468 | $5,428 | $3,393 | $440 |
Ratio of Total Expenses to Average Net Assets | 0.06% | 0.06% | 0.06% | 0.06% | 0.06%3 |
Ratio of Net Investment Income to | |||||
Average Net Assets | 1.41% | 1.34% | 1.54% | 1.33% | 1.45%3 |
Portfolio Turnover Rate 4 | 12% | 32% | 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.
45
Mid-Cap Index Fund
Financial Highlights
ETF Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $109.96 | $82.33 | $71.99 | $74.42 | $59.97 | $43.21 |
Investment Operations | ||||||
Net Investment Income | .724 | 1.255 | 1.173 | .976 | .882 | .696 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 8.000 | 27.668 | 10.329 | (2.430) | 14.454 | 16.794 |
Total from Investment Operations | 8.724 | 28.923 | 11.502 | (1.454) | 15.336 | 17.490 |
Distributions | ||||||
Dividends from Net Investment Income | (.024) | (1.293) | (1.162) | (.976) | (.886) | (.730) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.024) | (1.293) | (1.162) | (.976) | (.886) | (.730) |
Net Asset Value, End of Period | $118.66 | $109.96 | $82.33 | $71.99 | $74.42 | $59.97 |
Total Return | 7.93% | 35.15% | 15.98% | -1.96% | 25.57% | 40.49% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $8,191 | $6,728 | $3,926 | $3,241 | $3,356 | $2,207 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.09% | 0.10% | 0.10% | 0.12% | 0.14% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.38% | 1.31% | 1.50% | 1.29% | 1.39% | 1.45% |
Portfolio Turnover Rate1 | 12% | 32% | 17% | 22% | 16% | 21% |
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.
46
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.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. 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. 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.
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).
47
Mid-Cap Index Fund
During the six months ended June 30, 2014, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.
3. Swap Contracts: The fund has entered into equity swap contracts to earn the total return on selected reference stocks in the fund’s target index. Under the terms of the swaps, 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 in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until termination of the swap, at which time realized gain (loss) is recorded. A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the 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, 2014, the fund’s average amounts of total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
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, 2010–2013), and for the period ended June 30, 2014, 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.
48
Mid-Cap Index Fund
6. Securities Lending: To earn additional income, the fund lends 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 prequalified 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; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the absence of a default the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets 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. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $2.89 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at June 30, 2014, or at any time during the period then ended.
8. 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. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. 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 based on 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, 2014, the fund had contributed capital
49
Mid-Cap Index Fund
of $5,236,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 2.09% 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, 2014, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 52,518,774 | — | — |
Temporary Cash Investments | 300,023 | 7,999 | — |
Futures Contracts—Assets1 | 241 | — | — |
Swap Contracts—Liabilities | — | (31) | — |
Total | 52,819,038 | 7,968 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At June 30, 2014, 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 2014 | 557 | 54,374 | 179 |
E-mini S&P MidCap 400 Index | September 2014 | 332 | 47,453 | 1,017 |
S&P 500 Index | September 2014 | 79 | 38,560 | 476 |
1,672 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
50
Mid-Cap Index Fund
At June 30, 2014, 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. | 7/9/14 | GSI | 23,414 | (0.552%) | (31) |
1 GSI—Goldman Sachs International. |
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, 2014, the fund realized $1,146,753,000 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 certain of the fund’s swap contracts are treated as ordinary income (loss) for tax purposes. Realized losses of $3,472,000 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, 2013, the fund had available capital losses totaling $374,408,000 to offset future net capital gains through December 31, 2018. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2014; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2014, the cost of investment securities for tax purposes was $38,305,392,000. Net unrealized appreciation of investment securities for tax purposes was $14,521,404,000, consisting of unrealized gains of $15,223,006,000 on securities that had risen in value since their purchase and $701,602,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2014, the fund purchased $8,059,049,000 of investment securities and sold $5,610,617,000 of investment securities, other than temporary cash investments. Purchases and sales include $3,500,869,000 and $2,575,043,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
Mid-Cap Index Fund
G. Capital share transactions for each class of shares were:
Six Months Ended June 30, 2014 | Year Ended December 31, 2013 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 405,470 | 13,231 | 856,554 | 32,579 |
Issued in Lieu of Cash Distributions | 741 | 24 | 46,436 | 1,569 |
Redeemed | (619,062) | (20,174) | (1,260,609) | (47,275) |
Net Increase (Decrease)—Investor Shares | (212,851) | (6,919) | (357,619) | (13,127) |
Admiral Shares | ||||
Issued | 3,818,849 | 27,106 | 1,714,308 | 13,967 |
Issued in Lieu of Cash Distributions | 1,992 | 14 | 105,835 | 788 |
Redeemed | (573,381) | (4,119) | (859,510) | (7,109) |
Net Increase (Decrease)—Admiral Shares | 3,247,460 | 23,001 | 960,633 | 7,646 |
Signal Shares | ||||
Issued | 1,156,728 | 26,408 | 2,556,524 | 67,255 |
Issued in Lieu of Cash Distributions | 1,279 | 29 | 75,284 | 1,778 |
Redeemed | (3,240,430) | (72,763) | (2,099,708) | (53,776) |
Net Increase (Decrease)—Signal Shares | (2,082,423) | (46,326) | 532,100 | 15,257 |
Institutional Shares | ||||
Issued | 1,402,124 | 45,573 | 2,418,607 | 90,613 |
Issued in Lieu of Cash Distributions | 1,469 | 48 | 100,999 | 3,406 |
Redeemed | (1,441,982) | (46,618) | (2,533,050) | (95,955) |
Net Increase (Decrease)—Institutional Shares | (38,389) | (997) | (13,444) | (1,936) |
Institutional Plus Shares | ||||
Issued | 1,126,160 | 7,376 | 2,708,068 | 21,003 |
Issued in Lieu of Cash Distributions | 1,725 | 11 | 93,992 | 643 |
Redeemed | (777,957) | (5,104) | (1,735,170) | (13,443) |
Net Increase (Decrease)—Institutional Plus Shares | 349,928 | 2,283 | 1,066,890 | 8,203 |
ETF Shares | ||||
Issued | 3,523,583 | 31,050 | 4,440,057 | 43,592 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (2,637,153) | (23,200) | (3,128,849) | (30,100) |
Net Increase (Decrease)—ETF Shares | 886,430 | 7,850 | 1,311,208 | 13,492 |
H. Management has determined that no material events or transactions occurred subsequent to June 30, 2014, that would require recognition or disclosure in these financial statements.
52
Mid-Cap Growth Index Fund
Fund Profile
As of June 30, 2014
Share-Class Characteristics | |||
Investor | Admiral | ETF | |
Shares | Shares | Shares | |
Ticker Symbol | VMGIX | VMGMX | VOT |
Expense Ratio1 | 0.24% | 0.09% | 0.09% |
30-Day SEC Yield | 0.63% | 0.77% | 0.77% |
Portfolio Characteristics | |||
CRSP US | DJ | ||
Mid Cap | U.S. Total | ||
Growth | Market | ||
Fund | Index | FA Index | |
Number of Stocks | 184 | 184 | 3,730 |
Median Market Cap | $11.0B | $11.0B | $45.5B |
Price/Earnings Ratio | 31.4x | 31.4x | 20.7x |
Price/Book Ratio | 4.4x | 4.4x | 2.7x |
Return on Equity | 17.6% | 17.6% | 17.4% |
Earnings Growth | |||
Rate | 20.1% | 20.1% | 14.4% |
Dividend Yield | 0.8% | 0.8% | 1.8% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 21% | — | — |
Short-Term Reserves | 0.1% | — | — |
Sector Diversification (% of equity exposure) | |||
CRSP US | DJ | ||
Mid Cap | U.S. Total | ||
Growth | Market | ||
Fund | Index | FA Index | |
Basic Materials | 2.6% | 2.7% | 3.1% |
Consumer Goods | 11.9 | 11.9 | 9.9 |
Consumer Services | 16.8 | 16.8 | 13.2 |
Financials | 10.9 | 10.9 | 18.2 |
Health Care | 9.6 | 9.6 | 12.2 |
Industrials | 21.4 | 21.3 | 12.9 |
Oil & Gas | 8.4 | 8.4 | 9.9 |
Technology | 16.5 | 16.5 | 15.1 |
Telecommunications | 1.3 | 1.3 | 2.2 |
Utilities | 0.6 | 0.6 | 3.3 |
Volatility Measures | ||
DJ | ||
Spliced | U.S. Total | |
Mid-Cap | Market | |
Growth Index | FA Index | |
R-Squared | 1.00 | 0.92 |
Beta | 1.00 | 1.19 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months. | ||
Ten Largest Holdings (% of total net assets) | ||
Vertex Pharmaceuticals | ||
Inc. | Biotechnology | 1.4% |
Health Care REIT Inc. | Specialty REITs | 1.2 |
Moody's Corp. | Specialty Finance | 1.2 |
Southwest Airlines Co. | Airlines | 1.2 |
AvalonBay Communities | ||
Inc. | Residential REITs | 1.2 |
Chipotle Mexican Grill | ||
Inc. | Restaurants & Bars | 1.2 |
Sherwin-Williams Co. | Building Materials & | |
Fixtures | 1.1 | |
Avago Technologies Ltd. Semiconductors | 1.0 | |
Concho Resources Inc. | Exploration & | |
Production | 1.0 | |
Discovery | Broadcasting & | |
Communications Inc. | Entertainment | 1.0 |
Top Ten | 11.5% | |
The holdings listed exclude any temporary cash investments and equity index products. | ||
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-14-006700/midcapportfolios_q98x55x1.jpg)
1 The expense ratios shown are from the prospectus dated April 28, 2014, and represent estimated costs for the current fiscal year. For the six
months ended June 30, 2014, the annualized expense ratios were 0.23% for Investor Shares, 0.09% for Admiral Shares, and 0.09% for ETF Shares.
53
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, 2014
![](https://capedge.com/proxy/N-CSRS/0000932471-14-006700/midcapportfolios_q98x56x1.jpg)
Note: For 2014, performance data reflect the six months ended June 30, 2014.
| ||||
Average Annual Total Returns: Periods Ended June 30, 2014 | ||||
Inception | One | Five | Since | |
Date | Year | Years | Inception | |
Investor Shares | 8/24/2006 | 23.80% | 20.70% | 8.93% |
Admiral Shares | 9/27/2011 | 24.00 | — | 20.91 |
ETF Shares | 8/17/2006 | |||
Market Price | 24.04 | 20.86 | 8.86 | |
Net Asset Value | 23.97 | 20.86 | 8.86 |
See Financial Highlights for dividend and capital gains information.
54
Mid-Cap Growth Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2014
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 (2.6%) | |||
Eastman Chemical Co. | 408,870 | 35,715 | |
CONSOL Energy Inc. | 691,672 | 31,865 | |
FMC Corp. | 399,502 | 28,441 | |
Airgas Inc. | 201,280 | 21,921 | |
Westlake Chemical Corp. | 60,020 | 5,027 | |
122,969 | |||
Consumer Goods (11.9%) | |||
Keurig Green Mountain Inc. | 366,940 | 45,724 | |
BorgWarner Inc. | 687,077 | 44,791 | |
* | Constellation Brands Inc. | ||
Class A | 480,794 | 42,372 | |
* | Electronic Arts Inc. | 896,598 | 32,161 |
* | Monster Beverage Corp. | 451,163 | 32,046 |
* | Under Armour Inc. Class A | 521,921 | 31,049 |
Ralph Lauren Corp. Class A | 185,541 | 29,815 | |
PVH Corp. | 246,837 | 28,781 | |
Church & Dwight Co. Inc. | 407,733 | 28,521 | |
Polaris Industries Inc. | 198,424 | 25,843 | |
* | Mohawk Industries Inc. | 186,329 | 25,777 |
Leucadia National Corp. | 942,677 | 24,717 | |
McCormick & Co. Inc. | 338,273 | 24,217 | |
Harley-Davidson Inc. | 328,643 | 22,956 | |
* | Jarden Corp. | 368,189 | 21,852 |
* | LKQ Corp. | 816,046 | 21,780 |
* | WABCO Holdings Inc. | 182,190 | 19,461 |
* | NVR Inc. | 12,599 | 14,496 |
^ | Herbalife Ltd. | 220,608 | 14,238 |
* | Fossil Group Inc. | 128,350 | 13,415 |
* | Lululemon Athletica Inc. | 311,727 | 12,619 |
Nu Skin Enterprises Inc. | |||
Class A | 75,050 | 5,551 | |
562,182 | |||
Consumer Services (16.8%) | |||
Southwest Airlines Co. | 2,079,226 | 55,848 | |
* | Chipotle Mexican Grill Inc. | ||
Class A | 93,420 | 55,352 | |
* | O’Reilly Automotive Inc. | 302,827 | 45,606 |
Market | |||
Value | |||
Shares | ($000) | ||
L Brands Inc. | 745,832 | 43,751 | |
Ross Stores Inc. | 606,468 | 40,106 | |
* | Charter Communications | ||
Inc. Class A | 243,419 | 38,553 | |
Marriott International Inc. | |||
Class A | 572,030 | 36,667 | |
* | TripAdvisor Inc. | 331,798 | 36,053 |
* | CarMax Inc. | 662,553 | 34,459 |
Tiffany & Co. | 329,134 | 32,996 | |
* | Discovery Communications | ||
Inc. Class A | 442,935 | 32,901 | |
* | Dollar Tree Inc. | 591,059 | 32,189 |
Nordstrom Inc. | 428,705 | 29,122 | |
Wyndham Worldwide Corp. | 383,057 | 29,005 | |
* | IHS Inc. Class A | 194,589 | 26,400 |
* | Dollar General Corp. | 456,261 | 26,171 |
Tractor Supply Co. | 416,743 | 25,171 | |
Scripps Networks | |||
Interactive Inc. Class A | 244,283 | 19,821 | |
Williams-Sonoma Inc. | 268,156 | 19,248 | |
PetSmart Inc. | 298,041 | 17,823 | |
* | Ulta Salon Cosmetics | ||
& Fragrance Inc. | 183,563 | 16,780 | |
* | Discovery | ||
Communications Inc. | 214,675 | 15,583 | |
Advance Auto Parts Inc. | 109,606 | 14,788 | |
FactSet Research | |||
Systems Inc. | 120,827 | 14,533 | |
* | AutoNation Inc. | 214,749 | 12,816 |
* | Urban Outfitters Inc. | 309,555 | 10,482 |
* | Norwegian Cruise Line | ||
Holdings Ltd. | 276,930 | 8,779 | |
* | Sprouts Farmers | ||
Market Inc. | 246,919 | 8,079 | |
* | Hyatt Hotels Corp. Class A | 120,678 | 7,359 |
Extended Stay America Inc. | 276,395 | 6,401 | |
* | zulily Inc. Class A | 55,368 | 2,267 |
795,109 |
55
Mid-Cap Growth Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Financials (10.9%) | |||
Health Care REIT Inc. | 918,091 | 57,537 | |
Moody’s Corp. | 642,335 | 56,307 | |
AvalonBay | |||
Communities Inc. | 389,600 | 55,397 | |
Essex Property Trust Inc. | 187,566 | 34,683 | |
* | Affiliated Managers | ||
Group Inc. | 166,284 | 34,155 | |
American Realty Capital | |||
Properties Inc. | 2,675,629 | 33,526 | |
* | CBRE Group Inc. Class A | 849,082 | 27,205 |
Federal Realty | |||
Investment Trust | 201,807 | 24,402 | |
^ | Digital Realty Trust Inc. | 407,339 | 23,756 |
Lazard Ltd. Class A | 386,332 | 19,919 | |
* | Ally Financial Inc. | 791,331 | 18,921 |
Alexandria Real Estate | |||
Equities Inc. | 215,287 | 16,715 | |
* | Realogy Holdings Corp. | 438,193 | 16,524 |
* | MSCI Inc. Class A | 349,940 | 16,045 |
SEI Investments Co. | 456,470 | 14,958 | |
Macerich Co. | 210,917 | 14,079 | |
Rayonier Inc. | 379,870 | 13,504 | |
* | Ocwen Financial Corp. | 343,771 | 12,754 |
Raymond James | |||
Financial Inc. | 190,308 | 9,654 | |
Camden Property Trust | 121,797 | 8,666 | |
Brixmor Property Group Inc. | 218,123 | 5,006 | |
* | Rayonier Advanced | ||
Materials Inc. | 63,223 | 2,450 | |
516,163 | |||
Health Care (9.6%) | |||
* | Vertex Pharmaceuticals Inc. | 709,859 | 67,209 |
* | DaVita HealthCare | ||
Partners Inc. | 611,641 | 44,234 | |
* | Illumina Inc. | 192,604 | 34,388 |
Perrigo Co. plc | 191,293 | 27,883 | |
* | BioMarin | ||
Pharmaceutical Inc. | 439,110 | 27,317 | |
* | Edwards | ||
Lifesciences Corp. | 317,584 | 27,261 | |
* | Varian Medical | ||
Systems Inc. | 311,865 | 25,928 | |
* | Incyte Corp. Ltd. | 453,901 | 25,618 |
* | Waters Corp. | 241,603 | 25,233 |
* | Jazz Pharmaceuticals plc | 169,381 | 24,901 |
^ | ResMed Inc. | 421,533 | 21,342 |
* | IDEXX Laboratories Inc. | 154,512 | 20,638 |
DENTSPLY | |||
International Inc. | 425,892 | 20,166 | |
CR Bard Inc. | 114,312 | 16,348 | |
* | Pharmacyclics Inc. | 180,314 | 16,176 |
* | Quintiles Transnational | ||
Holdings Inc. | 195,056 | 10,395 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Envision Healthcare | ||
Holdings Inc. | 243,456 | 8,743 | |
* | Intercept | ||
Pharmaceuticals Inc. | 34,772 | 8,228 | |
452,008 | |||
Industrials (21.3%) | |||
Sherwin-Williams Co. | 254,562 | 52,671 | |
WW Grainger Inc. | 185,098 | 47,065 | |
Amphenol Corp. Class A | 472,309 | 45,502 | |
Roper Industries Inc. | 300,002 | 43,803 | |
* | Alliance Data | ||
Systems Corp. | 154,772 | 43,530 | |
* | Pentair plc | 581,842 | 41,962 |
Fastenal Co. | 802,718 | 39,726 | |
AMETEK Inc. | 737,406 | 38,552 | |
Kansas City Southern | 331,631 | 35,654 | |
Flowserve Corp. | 413,156 | 30,718 | |
* | United Rentals Inc. | 291,821 | 30,562 |
* | Stericycle Inc. | 254,851 | 30,179 |
* | FleetCor Technologies Inc. | 223,923 | 29,513 |
* | B/E Aerospace Inc. | 315,832 | 29,211 |
* | Trimble Navigation Ltd. | 784,970 | 29,005 |
CH Robinson | |||
Worldwide Inc. | 445,347 | 28,409 | |
Pall Corp. | 330,125 | 28,189 | |
* | Verisk Analytics Inc. | ||
Class A | 449,336 | 26,969 | |
Vulcan Materials Co. | 393,566 | 25,090 | |
Expeditors International | |||
of Washington Inc. | 564,238 | 24,917 | |
TransDigm Group Inc. | 142,925 | 23,906 | |
Masco Corp. | 1,072,805 | 23,816 | |
Rock-Tenn Co. Class A | 216,071 | 22,815 | |
Wabtec Corp. | 275,298 | 22,737 | |
* | Fiserv Inc. | 375,158 | 22,630 |
* | Mettler-Toledo | ||
International Inc. | 87,769 | 22,221 | |
Chicago Bridge | |||
& Iron Co. NV | 325,404 | 22,193 | |
* | Quanta Services Inc. | 641,210 | 22,173 |
* | Sensata Technologies | ||
Holding NV | 454,436 | 21,259 | |
JB Hunt Transport | |||
Services Inc. | 282,368 | 20,833 | |
Robert Half | |||
International Inc. | 391,666 | 18,698 | |
Martin Marietta | |||
Materials Inc. | 138,674 | 18,312 | |
Donaldson Co. Inc. | 428,679 | 18,142 | |
* | Colfax Corp. | 240,898 | 17,957 |
Fortune Brands Home | |||
& Security Inc. | 248,921 | 9,939 | |
1,008,858 |
56
Mid-Cap Growth Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Oil & Gas (8.3%) | |||
* | Concho Resources Inc. | 335,858 | 48,531 |
EQT Corp. | 433,380 | 46,328 | |
* | Cheniere Energy Inc. | 643,560 | 46,143 |
Cabot Oil & Gas Corp. | 1,254,134 | 42,816 | |
Range Resources Corp. | 467,937 | 40,687 | |
* | Whiting Petroleum Corp. | 357,899 | 28,721 |
Oceaneering | |||
International Inc. | 324,060 | 25,319 | |
Core Laboratories NV | 134,572 | 22,482 | |
* | Cobalt International | ||
Energy Inc. | 927,660 | 17,023 | |
SM Energy Co. | 201,071 | 16,910 | |
QEP Resources Inc. | 485,993 | 16,767 | |
* | Dresser-Rand Group Inc. | 229,298 | 14,613 |
* | Weatherford | ||
International plc | 521,332 | 11,991 | |
* | Antero Resources Corp. | 157,108 | 10,311 |
Rowan Cos. plc Class A | 186,425 | 5,953 | |
394,595 | |||
Technology (16.5%) | |||
Avago Technologies Ltd. | |||
Class A | 675,844 | 48,708 | |
* | Cerner Corp. | 928,829 | 47,909 |
* | Autodesk Inc. | 684,969 | 38,619 |
Xilinx Inc. | 806,342 | 38,148 | |
KLA-Tencor Corp. | 497,537 | 36,141 | |
Linear Technology Corp. | 709,777 | 33,409 | |
Lam Research Corp. | 487,840 | 32,968 | |
* | Equinix Inc. | 149,806 | 31,473 |
* | Red Hat Inc. | 568,097 | 31,399 |
* | Akamai Technologies Inc. | 507,388 | 30,981 |
Maxim Integrated | |||
Products Inc. | 850,614 | 28,759 | |
Microchip Technology Inc. | 572,477 | 27,943 | |
* | Catamaran Corp. | 622,353 | 27,483 |
Skyworks Solutions Inc. | 570,560 | 26,793 | |
* | Workday Inc. Class A | 284,393 | 25,556 |
* | F5 Networks Inc. | 227,209 | 25,320 |
* | ServiceNow Inc. | 367,637 | 22,779 |
* | ANSYS Inc. | 278,928 | 21,148 |
* | VeriSign Inc. | 394,880 | 19,274 |
* | Teradata Corp. | 473,656 | 19,041 |
*,^ | 3D Systems Corp. | 311,808 | 18,646 |
* | Cree Inc. | 365,653 | 18,264 |
* | Gartner Inc. | 257,024 | 18,125 |
SanDisk Corp. | 169,913 | 17,744 | |
* | Splunk Inc. | 301,662 | 16,691 |
* | Citrix Systems Inc. | 245,702 | 15,369 |
NVIDIA Corp. | 794,757 | 14,735 | |
* | Rackspace Hosting Inc. | 340,817 | 11,472 |
* | NetSuite Inc. | 102,277 | 8,886 |
*,^ | FireEye Inc. | 217,857 | 8,834 |
Market | |||
Value | |||
Shares | ($000) | ||
* | MICROS Systems Inc. | 112,100 | 7,612 |
* | Informatica Corp. | 164,552 | 5,866 |
* | Premier Inc. Class A | 97,004 | 2,813 |
778,908 | |||
Telecommunications (1.3%) | |||
* | SBA Communications | ||
Corp. Class A | 387,045 | 39,595 | |
* | Level 3 | ||
Communications Inc. | 534,768 | 23,481 | |
63,076 | |||
Utilities (0.6%) | |||
* | Calpine Corp. | 1,210,099 | 28,813 |
Total Common Stocks | |||
(Cost $3,847,621) | 4,722,681 | ||
Temporary Cash Investments (0.7%)1 | |||
Money Market Fund (0.6%) | |||
2,3 | Vanguard Market | ||
Liquidity Fund, | |||
0.111% | 29,212,000 | 29,212 |
Face | ||
Amount | ||
($000) | ||
U.S. Government and Agency Obligations (0.1%) | ||
4,5 Federal Home Loan | ||
Bank Discount Notes, | ||
0.090%, 8/6/14 | 1,700 | 1,700 |
Total Temporary Cash Investments | ||
(Cost $30,912) | 30,912 | |
Total Investments (100.5%) | ||
(Cost $3,878,533) | 4,753,593 | |
Other Assets and Liabilities (-0.5%) | ||
Other Assets | 7,789 | |
Liabilities3 | (29,376) | |
(21,587) | ||
Net Assets (100%) | 4,732,006 |
57
Mid-Cap Growth Index Fund
At June 30, 2014, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 3,937,466 |
Undistributed Net Investment Income | 13,438 |
Accumulated Net Realized Losses | (94,117) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 875,060 |
Futures Contracts | 159 |
Net Assets | 4,732,006 |
Investor Shares—Net Assets | |
Applicable to 15,547,076 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 588,438 |
Net Asset Value Per Share— | |
Investor Shares | $37.85 |
Admiral Shares—Net Assets | |
Applicable to 46,179,394 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 1,915,037 |
Net Asset Value Per Share— | |
Admiral Shares | $41.47 |
ETF Shares—Net Assets | |
Applicable to 23,133,270 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 2,228,531 |
Net Asset Value Per Share— | |
ETF Shares | $96.33 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $14,984,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.5%, respectively, of
net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the
7-day yield.
3 Includes $15,472,000 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 $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.
58
Mid-Cap Growth Index Fund
Statement of Operations
Six Months Ended | |
June 30, 2014 | |
($000) | |
Investment Income | |
Income | |
Dividends | 17,756 |
Interest1 | 4 |
Securities Lending | 204 |
Total Income | 17,964 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 509 |
Management and Administrative—Investor Shares | 511 |
Management and Administrative—Admiral Shares | 369 |
Management and Administrative—ETF Shares | 413 |
Marketing and Distribution—Investor Shares | 77 |
Marketing and Distribution—Admiral Shares | 183 |
Marketing and Distribution—ETF Shares | 215 |
Custodian Fees | 33 |
Shareholders’ Reports—Investor Shares | 12 |
Shareholders’ Reports—Admiral Shares | 12 |
Shareholders’ Reports—ETF Shares | 29 |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 2,364 |
Net Investment Income | 15,600 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 78,699 |
Futures Contracts | 115 |
Realized Net Gain (Loss) | 78,814 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 203,419 |
Futures Contracts | 146 |
Change in Unrealized Appreciation (Depreciation) | 203,565 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 297,979 |
1 Interest income from an affiliated company of the fund was $3,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
59
Mid-Cap Growth Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2014 | 2013 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 15,600 | 23,668 |
Realized Net Gain (Loss) | 78,814 | 489,059 |
Change in Unrealized Appreciation (Depreciation) | 203,565 | 407,621 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 297,979 | 920,348 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (33) | (2,863) |
Admiral Shares | (219) | (9,414) |
ETF Shares | (243) | (11,564) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
ETF Shares | — | — |
Total Distributions | (495) | (23,841) |
Capital Share Transactions | ||
Investor Shares | (44,652) | (36,578) |
Admiral Shares | 229,812 | 329,271 |
ETF Shares | 192,581 | 272,035 |
Net Increase (Decrease) from Capital Share Transactions | 377,741 | 564,728 |
Total Increase (Decrease) | 675,225 | 1,461,235 |
Net Assets | ||
Beginning of Period | 4,056,781 | 2,595,546 |
End of Period1 | 4,732,006 | 4,056,781 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $13,438,000 and ($1,667,000). |
See accompanying Notes, which are an integral part of the Financial Statements.
60
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 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $35.46 | $26.99 | $23.43 | $24.46 | $19.05 | $13.43 |
Investment Operations | ||||||
Net Investment Income | .102 | .169 | .146 | .087 | .1041 | .084 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.290 | 8.470 | 3.559 | (1.027) | 5.408 | 5.629 |
Total from Investment Operations | 2.392 | 8.639 | 3.705 | (.940) | 5.512 | 5.713 |
Distributions | ||||||
Dividends from Net Investment Income | (.002) | (.169) | (.145) | (.090) | (.102) | (.093) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.002) | (.169) | (.145) | (.090) | (.102) | (.093) |
Net Asset Value, End of Period | $37.85 | $35.46 | $26.99 | $23.43 | $24.46 | $19.05 |
Total Return2 | 6.75% | 32.02% | 15.81% | -3.84% | 28.93% | 42.54% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $588 | $595 | $483 | $503 | $958 | $546 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.23% | 0.24% | 0.24% | 0.24% | 0.26% | 0.30% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 0.66% | 0.57% | 0.58% | 0.35% | 0.57%1 | 0.55% |
Portfolio Turnover Rate 3 | 21% | 64% | 38% | 41% | 38% | 43% |
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.
61
Mid-Cap Growth Index Fund
Financial Highlights
Admiral Shares | ||||
Six Months | Sept. 27, | |||
Ended | Year Ended | 20111 to | ||
June 30, | December 31, | Dec. 31, | ||
For a Share Outstanding Throughout Each Period | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $38.83 | $29.55 | $25.66 | $25.00 |
Investment Operations | ||||
Net Investment Income | .142 | .239 | .205 | .027 |
Net Realized and Unrealized Gain (Loss) on Investments | 2.503 | 9.279 | 3.889 | 0.736 |
Total from Investment Operations | 2.645 | 9.518 | 4.094 | 0.763 |
Distributions | ||||
Dividends from Net Investment Income | (.005) | (.238) | (.204) | (.103) |
Distributions from Realized Capital Gains | — | — | — | — |
Total Distributions | (.005) | (.238) | (.204) | (.103) |
Net Asset Value, End of Period | $41.47 | $38.83 | $29.55 | $25.66 |
Total Return2 | 6.81% | 32.22% | 15.96% | 3.05% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $1,915 | $1,566 | $913 | $525 |
Ratio of Total Expenses to Average Net Assets | 0.09% | 0.09% | 0.10% | 0.10%3 |
Ratio of Net Investment Income to Average Net Assets | 0.80% | 0.72% | 0.72% | 0.49%3 |
Portfolio Turnover Rate 4 | 21% | 64% | 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.
62
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 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $90.20 | $68.64 | $59.61 | $62.23 | $48.45 | $34.12 |
Investment Operations | ||||||
Net Investment Income | .330 | .556 | .474 | .316 | .3261 | .267 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 5.811 | 21.558 | 9.029 | (2.617) | 13.776 | 14.353 |
Total from Investment Operations | 6.141 | 22.114 | 9.503 | (2.301) | 14.102 | 14.620 |
Distributions | ||||||
Dividends from Net Investment Income | (.011) | (.554) | (.473) | (.319) | (.322) | (.290) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.011) | (.554) | (.473) | (.319) | (.322) | (.290) |
Net Asset Value, End of Period | $96.33 | $90.20 | $68.64 | $59.61 | $62.23 | $48.45 |
Total Return | 6.81% | 32.23% | 15.94% | -3.70% | 29.11% | 42.85% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,229 | $1,896 | $1,200 | $1,095 | $1,030 | $646 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.09% | 0.10% | 0.10% | 0.12% | 0.14% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 0.80% | 0.72% | 0.72% | 0.49% | 0.71%1 | 0.71% |
Portfolio Turnover Rate2 | 21% | 64% | 38% | 41% | 38% | 43% |
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.
63
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.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. 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. 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.
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).
During the six months ended June 30, 2014, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.
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Mid-Cap Growth Index Fund
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, 2010–2013), and for the period ended June 30, 2014, 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 lends 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 prequalified 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; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the absence of a default the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets 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. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $2.89 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at June 30, 2014, or at any time during the period then ended.
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. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. 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.
65
Mid-Cap Growth Index Fund
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund based on 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, 2014, the fund had contributed capital of $468,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.19% 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, 2014, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 4,722,681 | — | — |
Temporary Cash Investments | 29,212 | 1,700 | — |
Futures Contracts—Assets1 | 18 | — | — |
Total | 4,751,911 | 1,700 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At June 30, 2014, 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 2014 | 40 | 3,905 | 55 |
E-mini S&P MidCap 400 Index | September 2014 | 24 | 3,430 | 62 |
S&P 500 Index | September 2014 | 7 | 3,417 | 42 |
159 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
66
Mid-Cap Growth 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, 2014, the fund realized $99,681,000 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, 2013, the fund had available capital losses totaling $73,214,000 to offset future net capital gains through December 31, 2018. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2014; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2014, the cost of investment securities for tax purposes was $3,878,533,000. Net unrealized appreciation of investment securities for tax purposes was $875,060,000, consisting of unrealized gains of $971,004,000 on securities that had risen in value since their purchase and $95,944,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2014, the fund purchased $1,072,830,000 of investment securities and sold $682,912,000 of investment securities, other than temporary cash investments. Purchases and sales include $426,610,000 and $220,069,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
67
Mid-Cap Growth Index Fund
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2014 | December 31, 2013 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 98,050 | 2,723 | 218,779 | 6,940 |
Issued in Lieu of Cash Distributions | 31 | 1 | 2,662 | 76 |
Redeemed | (142,733) | (3,952) | (258,019) | (8,134) |
Net Increase (Decrease)—Investor Shares | (44,652) | (1,228) | (36,578) | (1,118) |
Admiral Shares | ||||
Issued | 410,871 | 10,424 | 627,290 | 18,048 |
Issued in Lieu of Cash Distributions | 207 | 5 | 8,809 | 230 |
Redeemed | (181,266) | (4,582) | (306,828) | (8,830) |
Net Increase (Decrease)—Admiral Shares | 229,812 | 5,847 | 329,271 | 9,448 |
ETF Shares | ||||
Issued | 428,090 | 4,615 | 700,423 | 8,436 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (235,509) | (2,500) | (428,388) | (4,900) |
Net Increase (Decrease)—ETF Shares | 192,581 | 2,115 | 272,035 | 3,536 |
H. Management has determined that no material events or transactions occurred subsequent to June 30, 2014, that would require recognition or disclosure in these financial statements.
68
Mid-Cap Value Index Fund
Fund Profile
As of June 30, 2014
Share-Class Characteristics | |||
Investor | Admiral | ETF | |
Shares | Shares | Shares | |
Ticker Symbol | VMVIX | VMVAX | VOE |
Expense Ratio1 | 0.24% | 0.09% | 0.09% |
30-Day SEC Yield | 1.65% | 1.79% | 1.79% |
Portfolio Characteristics | |||
CRSP US | DJ | ||
Mid Cap | U.S. Total | ||
Value | Market | ||
Fund | Index | FA Index | |
Number of Stocks | 205 | 199 | 3,730 |
Median Market Cap | $9.8B | $9.8B | $45.5B |
Price/Earnings Ratio | 20.2x | 20.2x | 20.7x |
Price/Book Ratio | 2.0x | 2.0x | 2.7x |
Return on Equity | 13.4% | 12.9% | 17.4% |
Earnings Growth | |||
Rate | 10.9% | 10.9% | 14.4% |
Dividend Yield | 1.9% | 1.9% | 1.8% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 12% | — | — |
Short-Term Reserves | -0.1% | — | — |
Sector Diversification (% of equity exposure) | |||
CRSP US | DJ | ||
Mid Cap | U.S. Total | ||
Value | Market | ||
Fund | Index | FA Index | |
Basic Materials | 6.5% | 6.5% | 3.1% |
Consumer Goods | 15.0 | 15.0 | 9.9 |
Consumer Services | 11.0 | 11.0 | 13.2 |
Financials | 23.5 | 23.5 | 18.2 |
Health Care | 7.2 | 7.2 | 12.2 |
Industrials | 13.0 | 13.0 | 12.9 |
Oil & Gas | 6.1 | 6.1 | 9.9 |
Technology | 6.5 | 6.5 | 15.1 |
Telecommunications | 0.8 | 0.8 | 2.2 |
Utilities | 10.4 | 10.4 | 3.3 |
Volatility Measures | ||
DJ | ||
Spliced | U.S. Total | |
Mid-Cap | Market | |
Value Index | FA Index | |
R-Squared | 1.00 | 0.97 |
Beta | 1.00 | 1.06 |
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) | ||
Delphi Automotive plc | Auto Parts | 1.3% |
Western Digital Corp. | Computer Hardware | 1.3 |
Mylan Inc. | Pharmaceuticals | 1.2 |
Seagate Technology plc | Computer Hardware | 1.1 |
Alcoa Inc. | Aluminum | 1.1 |
Boston Scientific Corp. | Medical Equipment | 1.1 |
Hartford Financial | ||
Services Group Inc. | Full Line Insurance | 1.0 |
AmerisourceBergen | ||
Corp. | Drug Retailers | 1.0 |
United Continental | ||
Holdings Inc. | Airlines | 1.0 |
Northeast Utilities | Conventional | |
Electricity | 0.9 | |
Top Ten | 11.0% | |
The holdings listed exclude any temporary cash investments and equity index products. | ||
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-14-006700/midcapportfolios_q98x71x1.jpg)
1 The expense ratios shown are from the prospectus dated April 28, 2014, and represent estimated costs for the current fiscal year. For the six
months ended June 30, 2014, the annualized expense ratios were 0.23% for Investor Shares, 0.09% for Admiral Shares, and 0.09% for ETF Shares.
69
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, 2014
![](https://capedge.com/proxy/N-CSRS/0000932471-14-006700/midcapportfolios_q98x72x1.jpg)
For a benchmark description, see the Glossary.
Note: For 2014, performance data reflect the six months ended June 30, 2014.
Average Annual Total Returns: Periods Ended June 30, 2014 | ||||
Inception | One | Five | Since | |
Date | Year | Years | Inception | |
Investor Shares | 8/24/2006 | 28.19% | 22.68% | 9.02% |
Admiral Shares | 9/27/2011 | 28.36 | — | 26.29 |
ETF Shares | 8/17/2006 | |||
Market Price | 28.39 | 22.87 | 9.07 | |
Net Asset Value | 28.37 | 22.87 | 9.07 |
See Financial Highlights for dividend and capital gains information.
70
Mid-Cap Value Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2014
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 (99.3%)1 | |||
Basic Materials (6.5%) | |||
Alcoa Inc. | 4,405,680 | 65,601 | |
CF Industries | |||
Holdings Inc. | 195,712 | 47,075 | |
Sigma-Aldrich Corp. | 446,736 | 45,335 | |
Celanese Corp. Class A | 586,111 | 37,675 | |
International Flavors | |||
& Fragrances Inc. | 305,332 | 31,840 | |
Ashland Inc. | 292,727 | 31,831 | |
* | WR Grace & Co. | 272,256 | 25,736 |
Huntsman Corp. | 774,820 | 21,772 | |
Albemarle Corp. | 298,706 | 21,358 | |
Reliance Steel | |||
& Aluminum Co. | 277,315 | 20,441 | |
Avery Dennison Corp. | 357,491 | 18,321 | |
Peabody Energy Corp. | 1,018,669 | 16,655 | |
Westlake Chemical Corp. | 75,309 | 6,308 | |
389,948 | |||
Consumer Goods (14.9%) | |||
Delphi Automotive plc | 1,141,236 | 78,449 | |
Mattel Inc. | 1,275,075 | 49,690 | |
Genuine Parts Co. | 548,454 | 48,154 | |
ConAgra Foods Inc. | 1,582,857 | 46,979 | |
Clorox Co. | 483,309 | 44,175 | |
Dr Pepper Snapple | |||
Group Inc. | 738,068 | 43,236 | |
Whirlpool Corp. | 292,280 | 40,691 | |
Coca-Cola Enterprises Inc. | 850,529 | 40,638 | |
Molson Coors Brewing Co. | |||
Class B | 542,609 | 40,240 | |
Bunge Ltd. | 525,411 | 39,742 | |
JM Smucker Co. | 370,304 | 39,463 | |
Tyson Foods Inc. Class A | 1,046,430 | 39,283 | |
* | TRW Automotive | ||
Holdings Corp. | 416,321 | 37,269 | |
Newell Rubbermaid Inc. | 1,040,023 | 32,230 | |
Harley-Davidson Inc. | 410,453 | 28,670 | |
Energizer Holdings Inc. | 231,677 | 28,272 |
Market | |||
Value | |||
Shares | ($000) | ||
Lear Corp. | 305,450 | 27,283 | |
DR Horton Inc. | 1,099,448 | 27,024 | |
Lennar Corp. Class A | 617,692 | 25,931 | |
PulteGroup Inc. | 1,279,866 | 25,802 | |
Hormel Foods Corp. | 495,796 | 24,468 | |
Avon Products Inc. | 1,631,709 | 23,839 | |
Hasbro Inc. | 438,816 | 23,279 | |
Hanesbrands Inc. | 187,005 | 18,409 | |
Coach Inc. | 514,744 | 17,599 | |
Coty Inc. Class A | 276,488 | 4,736 | |
Lennar Corp. Class B | 35,383 | 1,257 | |
896,808 | |||
Consumer Services (10.9%) | |||
AmerisourceBergen Corp. | |||
Class A | 806,370 | 58,591 | |
* | United Continental | ||
Holdings Inc. | 1,403,774 | 57,653 | |
Nielsen NV | 1,139,259 | 55,151 | |
* | Hertz Global Holdings Inc. | 1,682,639 | 47,164 |
Macy’s Inc. | 679,977 | 39,452 | |
* | MGM Resorts | ||
International | 1,382,984 | 36,511 | |
H&R Block Inc. | 1,030,691 | 34,549 | |
Signet Jewelers Ltd. | 301,518 | 33,345 | |
Best Buy Co. Inc. | 1,047,665 | 32,488 | |
Interpublic Group of | |||
Cos. Inc. | 1,592,326 | 31,066 | |
Safeway Inc. | 865,687 | 29,728 | |
Expedia Inc. | 373,587 | 29,424 | |
* | News Corp. Class A | 1,639,757 | 29,417 |
Royal Caribbean | |||
Cruises Ltd. | 500,932 | 27,852 | |
Staples Inc. | 2,430,504 | 26,347 | |
Family Dollar Stores Inc. | 363,741 | 24,058 | |
Darden Restaurants Inc. | 496,864 | 22,990 | |
Advance Auto Parts Inc. | 136,952 | 18,478 | |
Burger King Worldwide Inc. | 396,563 | 10,794 | |
Aramark | 217,281 | 5,623 | |
*,^ | Sears Holdings Corp. | 100,511 | 4,016 |
71
Mid-Cap Value Index Fund
Market | ||
Value | ||
Shares | ($000) | |
News Corp. Class B | 198,909 | 3,471 |
Dun & Bradstreet Corp. | 103 | 11 |
International Game | ||
Technology | 673 | 11 |
658,190 | ||
Financials (23.4%) | ||
Hartford Financial | ||
Services Group Inc. | 1,690,090 | 60,522 |
Principal Financial | ||
Group Inc. | 1,105,791 | 55,820 |
M&T Bank Corp. | 444,762 | 55,173 |
Regions Financial Corp. | 5,182,677 | 55,040 |
Lincoln National Corp. | 991,293 | 50,992 |
KeyCorp | 3,319,745 | 47,572 |
Annaly Capital | ||
Management Inc. | 3,561,135 | 40,704 |
SL Green Realty Corp. | 358,722 | 39,248 |
Realty Income Corp. | 832,307 | 36,971 |
Western Union Co. | 2,025,535 | 35,123 |
Comerica Inc. | 682,854 | 34,252 |
Kimco Realty Corp. | 1,466,076 | 33,690 |
Unum Group | 967,549 | 33,632 |
XL Group plc Class A | 1,020,457 | 33,400 |
CIT Group Inc. | 727,084 | 33,271 |
Equifax Inc. | 458,079 | 33,229 |
Markel Corp. | 49,878 | 32,702 |
Genworth Financial Inc. | ||
Class A | 1,865,299 | 32,456 |
Fidelity National Financial | ||
Inc. Class A | 988,556 | 32,385 |
American Capital | ||
Agency Corp. | 1,326,046 | 31,043 |
Plum Creek Timber | ||
Co. Inc. | 665,729 | 30,024 |
Huntington | ||
Bancshares Inc. | 3,111,329 | 29,682 |
Navient Corp. | 1,588,922 | 28,140 |
Cincinnati Financial Corp. | 583,966 | 28,054 |
Arch Capital Group Ltd. | 478,455 | 27,483 |
First Republic Bank | 495,796 | 27,264 |
UDR Inc. | 945,139 | 27,059 |
Torchmark Corp. | 329,876 | 27,023 |
Willis Group Holdings plc | 605,038 | 26,198 |
New York Community | ||
Bancorp Inc. | 1,579,390 | 25,239 |
Everest Re Group Ltd. | 138,541 | 22,234 |
Jones Lang LaSalle Inc. | 167,476 | 21,167 |
Reinsurance Group of | ||
America Inc. Class A | 259,479 | 20,473 |
Zions Bancorporation | 694,214 | 20,459 |
Legg Mason Inc. | 394,749 | 20,255 |
PartnerRe Ltd. | 180,261 | 19,686 |
Voya Financial Inc. | 525,773 | 19,107 |
WR Berkley Corp. | 383,468 | 17,758 |
Market | ||||
Value | ||||
Shares | ($000) | |||
People’s United | ||||
Financial Inc. | 1,164,495 | 17,665 | ||
Macerich Co. | 264,182 | 17,634 | ||
Hudson City Bancorp Inc. | 1,786,613 | 17,562 | ||
NASDAQ OMX Group Inc. | 448,541 | 17,323 | ||
Axis Capital Holdings Ltd. | 364,232 | 16,128 | ||
LPL Financial Holdings Inc. | 320,968 | 15,965 | ||
* | Alleghany Corp. | 29,365 | 12,865 | |
Raymond James | ||||
Financial Inc. | 238,469 | 12,098 | ||
Camden Property Trust | 152,644 | 10,861 | ||
Assurant Inc. | 134,569 | 8,821 | ||
SLM Corp. | 792,038 | 6,582 | ||
Santander Consumer USA | ||||
Holdings Inc. | 327,718 | 6,371 | ||
Brixmor Property Group Inc. | 125 | 3 | ||
1,404,408 | ||||
Health Care (7.2%) | ||||
* | Mylan Inc. | 1,404,608 | 72,422 | |
* | Boston Scientific Corp. | 4,970,883 | 63,478 | |
* | Henry Schein Inc. | 320,836 | 38,074 | |
* | Endo International plc | 543,663 | 38,067 | |
* | CareFusion Corp. | 779,203 | 34,558 | |
Universal Health Services | ||||
Inc. Class B | 343,980 | 32,940 | ||
* | Laboratory Corp. of | |||
America Holdings | 318,490 | 32,613 | ||
* | Hospira Inc. | 628,255 | 32,273 | |
Quest Diagnostics Inc. | 543,109 | 31,875 | ||
* | Hologic Inc. | 882,107 | 22,361 | |
CR Bard Inc. | 143,273 | 20,489 | ||
Patterson Cos. Inc. | 312,194 | 12,335 | ||
431,485 | ||||
Industrials (12.9%) | ||||
Fidelity National | ||||
Information Services Inc. | 973,546 | 53,292 | ||
Rockwell Collins Inc. | 509,356 | 39,801 | ||
Textron Inc. | 944,264 | 36,156 | ||
L-3 Communications | ||||
Holdings Inc. | 291,765 | 35,231 | ||
Ball Corp. | 523,981 | 32,843 | ||
* | Fiserv Inc. | 468,397 | 28,254 | |
MeadWestvaco Corp. | 630,502 | 27,906 | ||
Sealed Air Corp. | 811,676 | 27,735 | ||
Towers Watson & Co. | ||||
Class A | 264,276 | 27,545 | ||
Xylem Inc. | 690,251 | 26,975 | ||
Xerox Corp. | 2,082,412 | 25,905 | ||
* | Crown Holdings Inc. | 520,590 | 25,905 | |
Manpowergroup Inc. | 299,106 | 25,379 | ||
* | Jacobs Engineering | |||
Group Inc. | 471,906 | 25,143 | ||
Cintas Corp. | 383,734 | 24,382 | ||
Hubbell Inc. Class B | 195,350 | 24,057 |
72
Mid-Cap Value Index Fund
Market | ||
Value | ||
Shares | ($000) | |
MDU Resources Group Inc. | 684,237 | 24,017 |
Joy Global Inc. | 375,309 | 23,111 |
Avnet Inc. | 519,860 | 23,035 |
Iron Mountain Inc. | 648,657 | 22,995 |
Fluor Corp. | 298,859 | 22,982 |
ADT Corp. | 654,997 | 22,886 |
Arrow Electronics Inc. | 374,257 | 22,609 |
Timken Co. | 308,704 | 20,942 |
Allison Transmission | ||
Holdings Inc. | 628,257 | 19,539 |
FLIR Systems Inc. | 531,728 | 18,467 |
AGCO Corp. | 317,429 | 17,846 |
Owens Corning | 420,040 | 16,247 |
SPX Corp. | 148,114 | 16,027 |
Owens-Illinois Inc. | 310,029 | 10,739 |
KBR Inc. | 276,880 | 6,604 |
Vulcan Materials Co. | 356 | 23 |
Jabil Circuit Inc. | 506 | 11 |
774,589 | ||
Oil & Gas (6.1%) | ||
Cimarex Energy Co. | 327,123 | 46,929 |
Helmerich & Payne Inc. | 386,158 | 44,837 |
Murphy Oil Corp. | 640,773 | 42,599 |
HollyFrontier Corp. | 746,746 | 32,625 |
Noble Corp. plc | 955,581 | 32,069 |
Nabors Industries Ltd. | 1,062,154 | 31,195 |
OGE Energy Corp. | 747,940 | 29,230 |
Tesoro Corp. | 486,139 | 28,522 |
Denbury Resources Inc. | 1,320,843 | 24,383 |
Energen Corp. | 273,419 | 24,302 |
Weatherford | ||
International plc | 653,055 | 15,020 |
Diamond Offshore | ||
Drilling Inc. | 257,534 | 12,781 |
364,492 | ||
Technology (6.4%) | ||
Western Digital Corp. | 839,286 | 77,466 |
Seagate Technology plc | 1,165,910 | 66,247 |
Computer Sciences Corp. | 544,553 | 34,416 |
Harris Corp. | 400,366 | 30,328 |
Garmin Ltd. | 439,337 | 26,756 |
Synopsys Inc. | 581,232 | 22,563 |
SanDisk Corp. | 212,329 | 22,173 |
Marvell Technology | ||
Group Ltd. | 1,526,973 | 21,881 |
Juniper Networks Inc. | 845,220 | 20,742 |
Altera Corp. | 588,716 | 20,464 |
NVIDIA Corp. | 995,017 | 18,448 |
Nuance | ||
Communications Inc. | 952,644 | 17,881 |
IMS Health Holdings Inc. | 311,886 | 8,009 |
387,374 |
Market | |||
Value | |||
Shares | ($000) | ||
Telecommunications (0.7%) | |||
^ Windstream Holdings Inc. | 2,265,305 | 22,563 | |
Frontier | |||
Communications Corp. | 3,767,485 | 22,002 | |
44,565 | |||
Utilities (10.3%) | |||
Northeast Utilities | 1,187,587 | 56,137 | |
ONEOK Inc. | 781,288 | 53,190 | |
DTE Energy Co. | 665,318 | 51,808 | |
NRG Energy Inc. | 1,267,521 | 47,152 | |
NiSource Inc. | 1,183,501 | 46,559 | |
CenterPoint Energy Inc. | 1,615,211 | 41,252 | |
Wisconsin Energy Corp. | 847,650 | 39,772 | |
AES Corp. | 2,453,501 | 38,152 | |
Ameren Corp. | 912,023 | 37,283 | |
American Water Works | |||
Co. Inc. | 672,922 | 33,276 | |
CMS Energy Corp. | 1,012,967 | 31,554 | |
Pepco Holdings Inc. | 942,744 | 25,907 | |
SCANA Corp. | 478,578 | 25,752 | |
Alliant Energy Corp. | 416,686 | 25,360 | |
Pinnacle West Capital Corp. | 414,516 | 23,976 | |
National Fuel Gas Co. | 299,765 | 23,472 | |
Integrys Energy Group Inc. | 300,241 | 21,356 | |
TECO Energy Inc. | 595 | 11 | |
621,969 | |||
Total Common Stocks | |||
(Cost $4,752,699) | 5,973,828 | ||
Temporary Cash Investments (1.0%)1 | |||
Money Market Fund (0.9%) | |||
2,3 Vanguard Market | |||
Liquidity Fund, | |||
0.111% | 54,170,808 | 54,171 |
Face | ||
Amount | ||
($000) | ||
U.S. Government and Agency Obligations (0.1%) | ||
4,5 Federal Home Loan | ||
Bank Discount Notes, | ||
0.080%, 10/3/14 | 2,000 | 2,000 |
Total Temporary Cash Investments | ||
(Cost $56,171) | 56,171 | |
Total Investments (100.3%) | ||
(Cost $4,808,870) | 6,029,999 | |
Other Assets and Liabilities (-0.3%) | ||
Other Assets | 24,989 | |
Liabilities3 | (40,487) | |
(15,498) | ||
Net Assets (100%) | 6,014,501 |
73
Mid-Cap Value Index Fund
At June 30, 2014, net assets consisted of:
Amount | |
($000) | |
Paid-in Capital | 4,759,891 |
Undistributed Net Investment Income | 47,521 |
Accumulated Net Realized Losses | (14,492) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 1,221,129 |
Futures Contracts | 452 |
Net Assets | 6,014,501 |
Investor Shares—Net Assets | |
Applicable to 18,838,069 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 643,959 |
Net Asset Value Per Share— | |
Investor Shares | $34.18 |
Admiral Shares—Net Assets | |
Applicable to 53,473,530 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 2,406,915 |
Net Asset Value Per Share— | |
Admiral Shares | $45.01 |
ETF Shares—Net Assets | |
Applicable to 34,105,308 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 2,963,627 |
Net Asset Value Per Share— | |
ETF Shares | $86.90 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $19,699,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.3%, respectively, of
net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the
7-day yield.
3 Includes $20,403,000 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 $1,900,000 have been segregated as initial margin for open futures contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
74
Mid-Cap Value Index Fund
Statement of Operations
Six Months Ended | |
June 30, 2014 | |
($000) | |
Investment Income | |
Income | |
Dividends | 51,733 |
Interest1 | 9 |
Securities Lending | 334 |
Total Income | 52,076 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 560 |
Management and Administrative—Investor Shares | 540 |
Management and Administrative—Admiral Shares | 439 |
Management and Administrative—ETF Shares | 503 |
Marketing and Distribution—Investor Shares | 81 |
Marketing and Distribution—Admiral Shares | 231 |
Marketing and Distribution—ETF Shares | 288 |
Custodian Fees | 44 |
Shareholders’ Reports—Investor Shares | 13 |
Shareholders’ Reports—Admiral Shares | 11 |
Shareholders’ Reports—ETF Shares | 42 |
Trustees’ Fees and Expenses | 2 |
Total Expenses | 2,754 |
Net Investment Income | 49,322 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 165,851 |
Futures Contracts | 830 |
Realized Net Gain (Loss) | 166,681 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 256,522 |
Futures Contracts | 362 |
Change in Unrealized Appreciation (Depreciation) | 256,884 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 472,887 |
1 Interest income from an affiliated company of the fund was $9,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
75
Mid-Cap Value Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2014 | 2013 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 49,322 | 69,200 |
Realized Net Gain (Loss) | 166,681 | 245,472 |
Change in Unrealized Appreciation (Depreciation) | 256,884 | 788,590 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 472,887 | 1,103,262 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (78) | (8,828) |
Admiral Shares | (471) | (26,210) |
ETF Shares | (553) | (34,036) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
ETF Shares | — | — |
Total Distributions | (1,102) | (69,074) |
Capital Share Transactions | ||
Investor Shares | (49,422) | (17,703) |
Admiral Shares | 466,752 | 672,082 |
ETF Shares | 475,984 | 602,650 |
Net Increase (Decrease) from Capital Share Transactions | 893,314 | 1,257,029 |
Total Increase (Decrease) | 1,365,099 | 2,291,217 |
Net Assets | ||
Beginning of Period | 4,649,402 | 2,358,185 |
End of Period1 | 6,014,501 | 4,649,402 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $47,521,000 and ($699,000). |
See accompanying Notes, which are an integral part of the Financial Statements.
76
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 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $31.38 | $23.16 | $20.34 | $20.85 | $17.45 | $12.92 |
Investment Operations | ||||||
Net Investment Income | .260 | .441 | .423 | .417 | .371 | .300 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.544 | 8.218 | 2.813 | (.509) | 3.403 | 4.551 |
Total from Investment Operations | 2.804 | 8.659 | 3.236 | (.092) | 3.774 | 4.851 |
Distributions | ||||||
Dividends from Net Investment Income | (.004) | (.439) | (.416) | (.418) | (.374) | (.321) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.004) | (.439) | (.416) | (.418) | (.374) | (.321) |
Net Asset Value, End of Period | $34.18 | $31.38 | $23.16 | $20.34 | $20.85 | $17.45 |
Total Return1 | 8.94% | 37.42% | 15.91% | -0.44% | 21.63% | 37.61% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $644 | $640 | $487 | $455 | $683 | $459 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.23% | 0.24% | 0.24% | 0.24% | 0.26% | 0.30% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.85% | 1.80% | 2.21% | 1.97% | 1.99% | 2.14% |
Portfolio Turnover Rate2 | 12% | 46% | 33% | 41% | 37% | 47% |
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.
77
Mid-Cap Value Index Fund
Financial Highlights
Admiral Shares | ||||
Six Months | Sept. 27, | |||
Ended | Year Ended | 20111 to | ||
June 30, | December 31, | Dec. 31, | ||
For a Share Outstanding Throughout Each Period | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $41.30 | $30.47 | $26.77 | $25.00 |
Investment Operations | ||||
Net Investment Income | .375 | .638 | .598 | .157 |
Net Realized and Unrealized Gain (Loss) on Investments | 3.345 | 10.826 | 3.692 | 2.165 |
Total from Investment Operations | 3.720 | 11.464 | 4.290 | 2.322 |
Distributions | ||||
Dividends from Net Investment Income | (.010) | (.634) | (.590) | (.552) |
Distributions from Realized Capital Gains | — | — | — | — |
Total Distributions | (.010) | (.634) | (.590) | (.552) |
Net Asset Value, End of Period | $45.01 | $41.30 | $30.47 | $26.77 |
Total Return2 | 9.01% | 37.66% | 16.02% | 9.29% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $2,407 | $1,753 | $724 | $268 |
Ratio of Total Expenses to Average Net Assets | 0.09% | 0.09% | 0.10% | 0.10%3 |
Ratio of Net Investment Income to Average Net Assets | 1.99% | 1.95% | 2.35% | 2.11%3 |
Portfolio Turnover Rate 4 | 12% | 46% | 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.
78
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 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $79.73 | $58.82 | $51.67 | $52.97 | $44.31 | $32.80 |
Investment Operations | ||||||
Net Investment Income | .723 | 1.232 | 1.156 | 1.134 | 1.004 | .812 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 6.466 | 20.901 | 7.130 | (1.297) | 8.669 | 11.562 |
Total from Investment Operations | 7.189 | 22.133 | 8.286 | (.163) | 9.673 | 12.374 |
Distributions | ||||||
Dividends from Net Investment Income | (.019) | (1.223) | (1.136) | (1.137) | (1.013) | (.864) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.019) | (1.223) | (1.136) | (1.137) | (1.013) | (.864) |
Net Asset Value, End of Period | $86.90 | $79.73 | $58.82 | $51.67 | $52.97 | $44.31 |
Total Return | 9.02% | 37.65% | 16.04% | -0.32% | 21.83% | 37.75% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,964 | $2,256 | $1,147 | $785 | $746 | $583 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.09% | 0.10% | 0.10% | 0.12% | 0.14% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.99% | 1.95% | 2.35% | 2.11% | 2.13% | 2.30% |
Portfolio Turnover Rate1 | 12% | 46% | 33% | 41% | 37% | 47% |
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.
79
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.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. 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. 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.
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).
During the six months ended June 30, 2014, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.
80
Mid-Cap Value Index Fund
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, 2010–2013), and for the period ended June 30, 2014, 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 lends 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 prequalified 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; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the absence of a default the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets 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. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $2.89 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at June 30, 2014, or at any time during the period then ended.
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. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. 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.
81
Mid-Cap Value Index Fund
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund based on 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, 2014, the fund had contributed capital of $585,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.23% 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, 2014, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 5,973,828 | — | — |
Temporary Cash Investments | 54,171 | 2,000 | — |
Futures Contracts—Assets1 | 77 | — | — |
Total | 6,028,076 | 2,000 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At June 30, 2014, 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 2014 | 107 | 15,294 | 263 |
S&P 500 Index | September 2014 | 25 | 12,202 | 151 |
E-mini S&P 500 Index | September 2014 | 118 | 11,519 | 38 |
452 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
82
Mid-Cap 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, 2014, the fund realized $144,023,000 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, 2013, the fund had available capital losses totaling $30,495,000 to offset future net capital gains through December 31, 2018. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2014; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2014, the cost of investment securities for tax purposes was $4,808,870,000. Net unrealized appreciation of investment securities for tax purposes was $1,221,129,000, consisting of unrealized gains of $1,263,910,000 on securities that had risen in value since their purchase and $42,781,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2014, the fund purchased $1,656,965,000 of investment securities and sold $750,469,000 of investment securities, other than temporary cash investments. Purchases and sales include $927,884,000 and $438,223,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
83
Mid-Cap Value Index Fund
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2014 | December 31, 2013 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 125,821 | 3,913 | 270,155 | 9,766 |
Issued in Lieu of Cash Distributions | 73 | 2 | 8,237 | 266 |
Redeemed | (175,316) | (5,468) | (296,095) | (10,670) |
Net Increase (Decrease)—Investor Shares | (49,422) | (1,553) | (17,703) | (638) |
Admiral Shares | ||||
Issued | 664,028 | 15,669 | 989,915 | 27,334 |
Issued in Lieu of Cash Distributions | 427 | 10 | 23,713 | 583 |
Redeemed | (197,703) | (4,660) | (341,546) | (9,240) |
Net Increase (Decrease)—Admiral Shares | 466,752 | 11,019 | 672,082 | 18,677 |
ETF Shares | ||||
Issued | 929,591 | 11,305 | 1,012,726 | 14,405 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (453,607) | (5,500) | (410,076) | (5,600) |
Net Increase (Decrease)—ETF Shares | 475,984 | 5,805 | 602,650 | 8,805 |
H. Management has determined that no material events or transactions occurred subsequent to June 30, 2014, that would require recognition or disclosure in these financial statements.
84
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, 2014 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
12/31/2013 | 6/30/2014 | Period | |
Based on Actual Fund Return | |||
Extended Market Index Fund | |||
Investor Shares | $1,000.00 | $1,060.76 | $1.18 |
Admiral Shares | 1,000.00 | 1,061.44 | 0.51 |
Signal Shares | 1,000.00 | 1,061.45 | 0.51 |
Institutional Shares | 1,000.00 | 1,061.43 | 0.41 |
Institutional Plus Shares | 1,000.00 | 1,061.60 | 0.31 |
ETF Shares | 1,000.00 | 1,061.40 | 0.51 |
Mid-Cap Index Fund | |||
Investor Shares | $1,000.00 | $1,078.46 | $1.19 |
Admiral Shares | 1,000.00 | 1,079.30 | 0.46 |
Signal Shares | 1,000.00 | 1,079.09 | 0.46 |
Institutional Shares | 1,000.00 | 1,079.30 | 0.41 |
Institutional Plus Shares | 1,000.00 | 1,079.41 | 0.31 |
ETF Shares | 1,000.00 | 1,079.35 | 0.46 |
Mid-Cap Growth Index Fund | |||
Investor Shares | $1,000.00 | $1,067.46 | $1.18 |
Admiral Shares | 1,000.00 | 1,068.12 | 0.46 |
ETF Shares | 1,000.00 | 1,068.09 | 0.46 |
Mid-Cap Value Index Fund | |||
Investor Shares | $1,000.00 | $1,089.36 | $1.19 |
Admiral Shares | 1,000.00 | 1,090.09 | 0.47 |
ETF Shares | 1,000.00 | 1,090.18 | 0.47 |
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Six Months Ended June 30, 2014 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
12/31/2013 | 6/30/2014 | Period | |
Based on Hypothetical 5% Yearly Return | |||
Extended Market Index Fund | |||
Investor Shares | $1,000.00 | $1,023.65 | $1.15 |
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 | $1,023.65 | $1.15 |
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 | $1,023.65 | $1.15 |
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 | $1,023.65 | $1.15 |
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, 0.23% 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, 0.23% 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, 0.23% for Investor Shares, 0.09% for Admiral Shares, and 0.09% for ETF Shares; and for the Mid-Cap Value Index Fund, 0.23% 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 Arrangements
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 each fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard). Vanguard’s Equity Investment Group—through its Equity Index Group—serves as the investment advisor for each fund. The board determined that continuing the funds’ internalized management structure was in the best interests of each 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 arrangements. 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 each 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 Index 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 each advisory arrangement.
Investment performance
The board considered the short- and long-term performance of each 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 each 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 each fund’s advisory fee rate was also well below its peer-group average. 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 each fund’s 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 arrangements 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.
89
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 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.
Spliced Mid-Cap Value Index: MSCI US Mid Cap Value Index through April 16, 2013; CRSP US Mid 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 177 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. | |
F. William McNabb III | |
Born 1957. Trustee Since July 2009. Chairman of the | Amy Gutmann |
Board. Principal Occupation(s) During the Past Five | Born 1949. Trustee Since June 2006. Principal |
Years: Chairman of the Board of The Vanguard Group, | Occupation(s) During the Past Five Years: President of |
Inc., and of each of the investment companies served | the University of Pennsylvania; Christopher H. Browne |
by The Vanguard Group, since January 2010; Director | Distinguished Professor of Political Science, School of |
of The Vanguard Group since 2008; Chief Executive | Arts and Sciences, and Professor of Communication, |
Officer and President of The Vanguard Group, and of | Annenberg School for Communication, with secondary |
each of the investment companies served by The | faculty appointments in the Department of Philosophy, |
Vanguard Group, since 2008; Director of Vanguard | School of Arts and Sciences, and at the Graduate |
Marketing Corporation; Managing Director of The | School of Education, University of Pennsylvania; |
Vanguard Group (1995–2008). | Trustee of the National Constitution Center; Chair |
of the Presidential Commission for the Study of | |
IndependentTrustees | Bioethical Issues. |
Emerson U. Fullwood | JoAnn Heffernan Heisen |
Born 1948. Trustee Since January 2008. Principal | Born 1950. Trustee Since July 1998. Principal |
Occupation(s) During the Past Five Years: Executive | Occupation(s) During the Past Five Years: Corporate |
Chief Staff and Marketing Officer for North America | Vice President and Chief Global Diversity Officer |
and Corporate Vice President (retired 2008) of Xerox | (retired 2008) and Member of the Executive |
Corporation (document management products and | Committee (1997–2008) of Johnson & Johnson |
services); Executive in Residence and 2009–2010 | (pharmaceuticals/medical devices/consumer |
Distinguished Minett Professor at the Rochester | products); Director of Skytop Lodge Corporation |
Institute of Technology; Director of SPX Corporation | (hotels), the University Medical Center at Princeton, |
(multi-industry manufacturing), the United Way of | the Robert Wood Johnson Foundation, and the Center |
Rochester, Amerigroup Corporation (managed health | for Talent Innovation; Member of the Advisory Board |
care), the University of Rochester Medical Center, | of the Maxwell School of Citizenship and Public Affairs |
Monroe Community College Foundation, and North | at Syracuse University. |
Carolina A&T University. | |
F. Joseph Loughrey | |
Rajiv L. Gupta | Born 1949. Trustee Since October 2009. Principal |
Born 1945. Trustee Since December 2001.2 | Occupation(s) During the Past Five Years: President |
Principal Occupation(s) During the Past Five Years: | and Chief Operating Officer (retired 2009) of Cummins |
Chairman and Chief Executive Officer (retired 2009) | Inc. (industrial machinery); Chairman of the Board |
and President (2006–2008) of Rohm and Haas Co. | of Hillenbrand, Inc. (specialized consumer services), |
(chemicals); Director of Tyco International, Ltd. | and of Oxfam America; Director of SKF AB (industrial |
(diversified manufacturing and services), Hewlett- | machinery), Hyster-Yale Materials Handling, Inc. |
Packard Co. (electronic computer manufacturing), | (forklift trucks), the Lumina Foundation for Education, |
and the V Foundation for Cancer Research; Member | Executive Officers | |
of the Advisory Council for the College of Arts and | ||
Letters and of the Advisory Board to the Kellogg | Glenn Booraem | |
Institute for International Studies, both at the | Born 1967. Controller Since July 2010. Principal | |
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 (retired 2013) | ||
at IBM (information technology services); Fiduciary | Thomas J. Higgins | |
Member of IBM’s Retirement Plan Committee (2004– | Born 1957. Chief Financial Officer Since September | |
2013); Member of the Council on Chicago Booth. | 2008. Principal Occupation(s) During the Past Five | |
Years: Principal of The Vanguard Group, Inc.; Chief | ||
Scott C. Malpass | Financial Officer of each of the investment companies | |
Born 1962. Trustee Since March 2012. Principal | served by The Vanguard Group; Treasurer of each of | |
Occupation(s) During the Past Five Years: Chief | the investment companies served by The Vanguard | |
Investment Officer and Vice President at the University | Group (1998–2008). | |
of Notre Dame; Assistant Professor of Finance at the | ||
Mendoza College of Business at Notre Dame; Member | Kathryn J. Hyatt | |
of the Notre Dame 403(b) Investment Committee; | Born 1955. Treasurer Since November 2008. Principal | |
Board Member of TIFF Advisory Services, Inc. | Occupation(s) During the Past Five Years: Principal of | |
(investment advisor); Member of the Investment | The Vanguard Group, Inc.; Treasurer of each of the | |
Advisory Committees of the Financial Industry | investment companies served by The Vanguard | |
Regulatory Authority (FINRA) and of Major League | Group; Assistant Treasurer of each of the investment | |
Baseball. | companies served by The Vanguard Group (1988–2008). | |
André F. Perold | Heidi Stam | |
Born 1952. Trustee Since December 2004. Principal | Born 1956. Secretary Since July 2005. Principal | |
Occupation(s) During the Past Five Years: George | Occupation(s) During the Past Five Years: Managing | |
Gund Professor of Finance and Banking, Emeritus | Director of The Vanguard Group, Inc.; General Counsel | |
at the Harvard Business School (retired 2011); | of The Vanguard Group; Secretary of The Vanguard | |
Chief Investment Officer and Managing Partner of | Group and of each of the investment companies | |
HighVista Strategies LLC (private investment firm); | served by The Vanguard Group; Director and Senior | |
Director of Rand Merchant Bank; Overseer of the | Vice President of Vanguard Marketing Corporation. | |
Museum of Fine Arts Boston. | ||
Vanguard Senior ManagementTeam | ||
Alfred M. Rankin, Jr. | ||
Born 1941. Trustee Since January 1993. Principal | Mortimer J. Buckley | Chris D. McIsaac |
Occupation(s) During the Past Five Years: Chairman, | Kathleen C. Gubanich | Michael S. Miller |
President, and Chief Executive Officer of NACCO | Paul A. Heller | James M. Norris |
Industries, Inc. (housewares/lignite), and of Hyster- | Martha G. King | Glenn W. Reed |
Yale Materials Handling, Inc. (forklift trucks); Chairman | John T. Marcante | |
of the Board of University Hospitals of Cleveland. | ||
Peter F. Volanakis | Chairman Emeritus and Senior Advisor | |
Born 1955. Trustee Since July 2009. Principal | ||
Occupation(s) During the Past Five Years: President | John J. Brennan | |
and Chief Operating Officer (retired 2010) of Corning | Chairman, 1996–2009 | |
Incorporated (communications equipment); Trustee of | Chief Executive Officer and President, 1996–2008 | |
Colby-Sawyer College; Member of the Advisory Board | ||
of the Norris Cotton Cancer Center and of the Advisory | Founder | |
Board of the Parthenon Group (strategy consulting). | ||
John C. Bogle | ||
Chairman and Chief Executive Officer, 1974–1996 |
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the
Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
| |
P.O. Box 2600 | |
Valley Forge, PA 19482-2600 | |
Connect with Vanguard® > vanguard.com | |
Fund Information > 800-662-7447 | 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 |
have been licensed for use by S&P Dow Jones Indices | |
Institutional Investor Services > 800-523-1036 | LLC and its affiliates and sublicensed for certain |
Text Telephone for People | purposes by Vanguard. The S&P Index is a product of |
With Hearing Impairment > 800-749-7273 | S&P Dow Jones Indices LLC and has been licensed for |
use by Vanguard. The Vanguard funds are not | |
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, a | investing in such products. |
Thomson Reuters Company, 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. | |
© 2014 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q982 082014 |
Semiannual Report | June 30, 2014 |
Vanguard U.S. Stock Index Funds
Large-Capitalization Portfolios
![](https://capedge.com/proxy/N-CSRS/0000932471-14-006700/largecapfunds_q307x1x2.jpg)
Vanguard’s Principles for Investing Success
We want to give you the best chance of investment success. These principles,
grounded in Vanguard’s research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds.
Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 4 |
Growth Index Fund. | 10 |
Value Index Fund. | 31 |
Large-Cap Index Fund. | 51 |
About Your Fund’s Expenses. | 75 |
Trustees Approve Advisory Arrangements. | 78 |
Glossary. | 79 |
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: The ship’s wheel represents leadership and guidance, essential qualities in navigating difficult seas.
This one is a replica based on an 18th-century British vessel. The HMSVanguard, another ship of that era, served as the
flagship for British Admiral Horatio Nelson when he defeated a French fleet at the Battle of the Nile.
Your Fund’s Total Returns | |
Six Months Ended June 30, 2014 | |
Total | |
Returns | |
Vanguard Growth Index Fund | |
Investor Shares | 6.93% |
Admiral™ Shares | 6.99 |
Signal® Shares | 7.01 |
Institutional Shares | 6.99 |
ETF Shares | |
Market Price | 6.99 |
Net Asset Value | 7.00 |
CRSP US Large Cap Growth Index | 7.04 |
Large-Cap Growth Funds Average | 4.31 |
Large-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
Vanguard Value Index Fund | |
Investor Shares | 7.16% |
Admiral Shares | 7.23 |
Signal Shares | 7.22 |
Institutional Shares | 7.20 |
ETF Shares | |
Market Price | 7.18 |
Net Asset Value | 7.23 |
CRSP US Large Cap Value Index | 7.27 |
Large-Cap Value Funds Average | 6.76 |
Large-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
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. Nos. 6,879,964; 7,337,138; 7,720,749; 7,925,573;
8,090,646; and 8,417,623.
Your Fund’s Total Returns | |
Six Months Ended June 30, 2014 | |
Total | |
Returns | |
Vanguard Large-Cap Index Fund | |
Investor Shares | 7.05% |
Admiral Shares | 7.13 |
Signal Shares | 7.11 |
Institutional Shares | 7.14 |
ETF Shares | |
Market Price | 7.11 |
Net Asset Value | 7.13 |
CRSP US Large Cap Index | 7.17 |
Large-Cap Core Funds Average | 6.36 |
Large-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
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. Nos. 6,879,964; 7,337,138; 7,720,749; 7,925,573; 8,090,646; and 8,417,623.
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, 2013, Through June 30, 2014 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Growth Index Fund | ||||
Investor Shares | $47.87 | $50.93 | $0.249 | $0.000 |
Admiral Shares | 47.87 | 50.92 | 0.284 | 0.000 |
Signal Shares | 44.32 | 47.16 | 0.260 | 0.000 |
Institutional Shares | 47.87 | 50.92 | 0.286 | 0.000 |
ETF Shares | 92.99 | 98.93 | 0.550 | 0.000 |
Vanguard Value Index Fund | ||||
Investor Shares | $29.78 | $31.58 | $0.323 | $0.000 |
Admiral Shares | 29.78 | 31.58 | 0.345 | 0.000 |
Signal Shares | 30.99 | 32.86 | 0.357 | 0.000 |
Institutional Shares | 29.78 | 31.57 | 0.346 | 0.000 |
ETF Shares | 76.34 | 80.95 | 0.884 | 0.000 |
Vanguard Large-Cap Index Fund | ||||
Investor Shares | $34.24 | $36.36 | $0.286 | $0.000 |
Admiral Shares | 42.81 | 45.46 | 0.389 | 0.000 |
Signal Shares | 37.34 | 39.65 | 0.335 | 0.000 |
Institutional Shares | 176.18 | 187.10 | 1.607 | 0.000 |
ETF Shares | 84.76 | 90.01 | 0.769 | 0.000 |
![](https://capedge.com/proxy/N-CSRS/0000932471-14-006700/largecapfunds_q307x6x1.jpg)
Chairman’s Letter
Dear Shareholder,
U.S. stocks began the year with a decline but quickly regained momentum to end the first half near record highs. Investors looked beyond obvious challenges—such as the U.S. economy’s first-quarter contraction, rising oil prices, and the World Bank’s reduced estimate for 2014 global growth. Instead, they focused on positives, including lower U.S. unemployment and strong corporate earnings.
In the six months ended June 30, investors generally favored large-cap stocks over small-caps. But mid-cap stocks surpassed both their large- and small-cap rivals.
Vanguard Value Index Fund returned 7.16%, and Vanguard Growth Index Fund returned 6.93%. Vanguard Large-Cap Index Fund, which includes both growth and value stocks, fell in between the two, returning 7.05%. (All returns are for the funds’ Investor Shares.)
The three funds closely tracked their target indexes and exceeded the average returns of their respective peers.
After a slow start to the year, stocks began an upward climb
For the half year, the broad U.S. stock market returned about 7% as the global economy continued to recover, albeit unevenly, and corporate earnings remained solid. Equities were notably resilient, surging ahead after dips caused by turmoil in Iraq and conflict in Ukraine.
4
Citing the U.S. economy’s progress, the Federal Reserve has steadily trimmed its stimulative monthly bond-buying. At the same time, investors have been reassured by the Fed’s decision to keep interest rates low for an extended period.
International stocks overall returned about 6%. Emerging markets, which have rebounded sharply in recent months, were the top performers, followed by developed markets in Europe and then those in the Pacific region.
The period was strong for bonds as yields dropped and prices rose
Bond prices spent most of the six months regaining the ground they lost in 2013. Over the period, the broad U.S. taxable bond market returned 3.93%. The yield of the benchmark 10-year Treasury note ended June at 2.54%, down from almost 3% on December 31. (Bond prices and yields move in opposite directions.)
Municipal bonds returned 6.00% amid support from the broad bond market rally, investors’ greater appetite for tax-exempt income, and a decline in the pool of new issues.
Market Barometer | |||
Total Returns Periods Ended June 30, 2014 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 7.27% | 25.35% | 19.25% |
Russell 2000 Index (Small-caps) | 3.19 | 23.64 | 20.21 |
Russell 3000 Index (Broad U.S. market) | 6.94 | 25.22 | 19.33 |
FTSE All-World ex US Index (International) | 5.75 | 21.93 | 11.40 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | 3.93% | 4.37% | 4.85% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 6.00 | 6.14 | 5.81 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.00 | 0.04 | 0.07 |
CPI | |||
Consumer Price Index | 2.27% | 2.07% | 2.02% |
5
International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned 5.59%.
In June, the European Central Bank made the unprecedented move of lowering a key interest rate below zero, to –0.10%. The drop was intended to avert deflation and induce banks to lend and thus fuel economic growth.
Although the period was strong worldwide for bonds, it’s worth remembering that the current low yields imply lower future returns. As yields drop, the scope for further declines—and increases in prices—diminishes.
Returns remained tiny for money market funds and savings accounts because of the Fed’s target of 0%–0.25% for short-term interest rates.
Health care, technology, and energy fueled the large-cap funds’ results
During the half year, large- and mid-cap stocks stole the show from small-caps, the darlings of last year’s bull market, amid concerns about small-caps’ rising valuations. In general, larger companies generate steadier earnings and higher yields, and their stocks tend to be less volatile. In the most recent period, investors were not as willing to pay higher prices for potentially increased risk. (See the text box on page 7 for more about the performance of small- and large-cap stocks.)
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% | 0.09% | 0.09% | 0.08% | 0.09% | 1.22% |
Value Index Fund | 0.24 | 0.09 | 0.09 | 0.08 | 0.09 | 1.14 |
Large-Cap Index Fund | 0.24 | 0.09 | 0.09 | 0.08 | 0.09 | 1.15 |
The fund expense ratios shown are from the prospectus dated April 28, 2014, and represent estimated costs for the current fiscal year. For the
six months ended June 30, 2014, the funds’ annualized expense ratios were: for the Growth Index Fund, 0.23% 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, 0.23% 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, 0.23% 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, a Thomson Reuters Company, and capture
information through year-end 2013.
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
As a whole, value stocks surpassed growth stocks, a difference most pronounced among small-caps. The value fund notched the strongest performance among the trio of large-cap index funds, but not by a huge margin. Each fund in this report benefited
greatly from its allocation to three top-performing sectors: health care, technology, and oil & gas.
Health care had the biggest impact on the value fund’s performance. The sector was also a significant contributor to the
Small-cap stocks versus large-caps: A case for diversification |
At times, particularly over the past dozen years, small-capitalization stocks have outpaced their |
large-cap counterparts. This performance edge may appear compelling, but before making any |
drastic decisions to heavily tilt your portfolio toward small-caps, consider two points. |
First, there’s no guarantee that small caps’ performance advantage will persist. As shown in |
the chart below, these stocks had an extended period of underperformance in the 1990s, and |
that could happen again. |
Second, investing in small companies’ stocks involves additional risks. These firms generally |
have less business diversification, fewer financial resources, and less management depth than |
larger enterprises. As a result, their stocks can be highly volatile. |
Investors with a heavy allocation to only one segment of the market can end up with greater |
volatility and less diversification. A better alternative can be a market cap-weighted equity |
portfolio of stocks of all capitalizations that offers more diversification over the long term. |
Small-cap performance relative to large-caps |
![](https://capedge.com/proxy/N-CSRS/0000932471-14-006700/largecapfunds_q307x9x1.jpg)
Chart compares the annual returns of the Russell 2000 Index, a small-cap benchmark, with those of the Russell 1000 Index, a large-cap benchmark. |
Source: Vanguard. |
large-cap and growth funds. Although there were concerns about certain bio-technology firms being overvalued earlier in the period, the subsector ultimately held up. Biotech and pharmaceutical giants were aided by productive pipelines for new medicines and fewer projections of patent losses. Health care equipment and service providers also did well.
Technology, the growth fund’s largest sector holding, was also a key contributor to the results of the large-cap and value funds. Some of the nation’s largest hardware, software, and internet companies thrived. Global demand for smartphones and internet-related products and services has translated to revenue and profits for companies with the resources and business plans to execute both at home and abroad.
Oil & gas was another source of strength for all three funds. Producers benefited from higher oil prices resulting from geopolitical tensions in Iraq, demand for natural gas during the harsh U.S. winter, and growing reliance on oil in the developing world. Rising natural gas prices also boosted the small utilities sector, which generated some of the funds’ highest returns.
Over the period, some sector heavyweights turned in rather lackluster, albeit positive, returns. For example, financials, the largest sector for both the value and large-cap funds, contributed modestly to their results. The banking and financial services subsectors were the biggest laggards, with several banks posting negative returns. A
combination of factors contributed to the sector’s weakness. Some banks had to pay huge settlements to the U.S. government for their role in the credit crisis of 2008–2009. In addition, lending activity during the traditionally brisk spring home-buying season was weaker than expected, and trading activity lessened as the markets generally were less volatile.
Another prominent sector that turned in muted results was consumer services, the second-largest sector in the growth fund. Some food, drug, and general retailers experienced double-digit declines because of a sharp drop in foot traffic. Despite improvements in the U.S. employment outlook, even discount retailers felt the pinch. Increased competition and consumers’ preferences for shopping online and comparing prices contributed to the slump.
Don’t let complacency set your portfolio adrift
At Vanguard, we often warn against letting emotions become entangled with investing. When the financial markets are in turmoil, for example, we’ll caution investors not to let fear lead to rash decisions. But complacency can also stand in the way of achieving financial goals. And lately, conditions may have been leading investors to feel a little too comfortable.
Volatility, a hallmark of stock investing, seems to have vanished for the moment, and returns have been robust. In the more than five years since its March 2009 bottom, the broad U.S. stock market, as
8
measured by the Russell 3000 Index, has produced average annual returns of about 26%. That’s more than double its historical average. In recent weeks, several indexes have reached all-time highs.
The investment winds don’t always blow so favorably, of course. While the smooth sailing lasts, however, it creates risks of its own. In such a calm climate, it can be easy to lose sight of fundamentals, especially the importance of rebalancing. It’s crucial to periodically adjust your asset allocation so that it stays in line with your goals and risk tolerance. Otherwise, you can end up with a portfolio that’s very different from, and potentially riskier than, the one you intended to have.
Whether the market’s moving up, down, or sideways, we always encourage our clients to stay focused on four keys to Vanguard’s timeless principles for
investment success: goals, balance, cost, and discipline. (You can read more about our principles in Vanguard’s Principles for Investment Success, available at vanguard.com/research.)
As always, thank you for your confidence in Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
July 11, 2014
9
Growth Index Fund
Fund Profile
As of June 30, 2014
Share-Class Characteristics | |||||
Investor | Admiral | Signal | Institutional | ||
Shares | Shares | Shares | Shares | ETF Shares | |
Ticker Symbol | VIGRX | VIGAX | VIGSX | VIGIX | VUG |
Expense Ratio1 | 0.24% | 0.09% | 0.09% | 0.08% | 0.09% |
30-Day SEC Yield | 1.08% | 1.22% | 1.22% | 1.23% | 1.22% |
Portfolio Characteristics | |||
DJ | |||
U.S. | |||
CRSP US | Total | ||
Large Cap | Market | ||
Growth | FA | ||
Fund | Index | Index | |
Number of Stocks | 370 | 370 | 3,730 |
Median Market Cap | $53.5B | $53.5B | $45.5B |
Price/Earnings Ratio | 26.0x | 26.0x | 20.7x |
Price/Book Ratio | 4.7x | 4.7x | 2.7x |
Return on Equity | 21.8% | 21.5% | 17.4% |
Earnings Growth | |||
Rate | 19.0% | 19.0% | 14.4% |
Dividend Yield | 1.3% | 1.3% | 1.8% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 10% | — | — |
Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure) | |||
CRSP US | DJ | ||
Large Cap | U.S. Total | ||
Growth | Market | ||
Fund | Index | FA Index | |
Basic Materials | 1.7% | 1.7% | 3.1% |
Consumer Goods | 10.2 | 10.2 | 9.9 |
Consumer Services | 19.6 | 19.7 | 13.2 |
Financials | 12.5 | 12.4 | 18.2 |
Health Care | 11.6 | 11.6 | 12.2 |
Industrials | 12.0 | 12.0 | 12.9 |
Oil & Gas | 8.5 | 8.5 | 9.9 |
Technology | 23.3 | 23.3 | 15.1 |
Telecommunications | 0.2 | 0.2 | 2.2 |
Utilities | 0.4 | 0.4 | 3.3 |
Volatility Measures | ||
DJ | ||
U.S. Total | ||
Spliced | Market | |
Growth Index | FA Index | |
R-Squared | 1.00 | 0.95 |
Beta | 1.00 | 1.00 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months. | ||
Ten Largest Holdings (% of total net assets) | ||
Apple Inc. | Computer Hardware | 6.7% |
Google Inc. | Internet | 3.9 |
Coca-Cola Co. | Soft Drinks | 2.0 |
Schlumberger Ltd. | Oil Equipment, | |
Services & | ||
Distribution | 1.8 | |
Comcast Corp. | Broadcasting & | |
Entertainment | 1.7 | |
Oracle Corp. | Software | 1.6 |
Facebook Inc. | Internet | 1.6 |
QUALCOMM Inc. | Semiconductors | 1.6 |
Walt Disney Co. | Broadcasting & | |
Entertainment | 1.6 | |
Gilead Sciences Inc. | Biotechnology | 1.5 |
Top Ten | 24.0% | |
The holdings listed exclude any temporary cash investments and equity index products. | ||
1 The expense ratios shown are from the prospectus dated April 28, 2014, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2014, the annualized expense ratios were 0.23% for Investor Shares, 0.09% for Admiral Shares, 0.09% for Signal Shares, 0.08% for Institutional Shares, and 0.09% for ETF Shares.
10
Growth Index Fund
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-14-006700/largecapfunds_q307x13x1.jpg)
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, 2003, Through June 30, 2014
![](https://capedge.com/proxy/N-CSRS/0000932471-14-006700/largecapfunds_q307x14x1.jpg)
Note: For 2014, performance data reflect the six months ended June 30, 2014.
Average Annual Total Returns: Periods Ended June 30, 2014
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 11/2/1992 | 27.88% | 19.33% | 8.29% |
Admiral Shares | 11/13/2000 | 28.04 | 19.50 | 8.43 |
Signal Shares | 6/4/2007 | 28.08 | 19.50 | 7.861 |
Institutional Shares | 5/14/1998 | 28.08 | 19.53 | 8.46 |
ETF Shares | 1/26/2004 | |||
Market Price | 28.07 | 19.51 | 8.42 | |
Net Asset Value | 28.07 | 19.50 | 8.43 | |
1 Return since inception. |
See Financial Highlights for dividend and capital gains information.
12
Growth Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2014
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%)1 | |||
Basic Materials (1.7%) | |||
Praxair Inc. | 1,411,158 | 187,458 | |
Ecolab Inc. | 1,302,259 | 144,994 | |
Sigma-Aldrich Corp. | 572,798 | 58,128 | |
Eastman Chemical Co. | 655,647 | 57,271 | |
CONSOL Energy Inc. | 1,108,299 | 51,059 | |
FMC Corp. | 642,104 | 45,711 | |
Airgas Inc. | 322,295 | 35,101 | |
* | WR Grace & Co. | 349,333 | 33,022 |
Albemarle Corp. | 383,383 | 27,412 | |
International Flavors & | |||
Fragrances Inc. | 195,536 | 20,391 | |
Westlake Chemical Corp. | 192,801 | 16,149 | |
676,696 | |||
Consumer Goods (10.2%) | |||
Coca-Cola Co. | 19,062,107 | 807,471 | |
Philip Morris | |||
International Inc. | 7,200,598 | 607,082 | |
Monsanto Co. | 2,525,727 | 315,059 | |
Colgate-Palmolive Co. | 4,410,782 | 300,727 | |
NIKE Inc. Class B | 3,375,550 | 261,774 | |
Lorillard Inc. | 1,747,462 | 106,543 | |
VF Corp. | 1,659,421 | 104,543 | |
* | Tesla Motors Inc. | 388,830 | 93,343 |
Mead Johnson | |||
Nutrition Co. | 974,083 | 90,755 | |
Estee Lauder Cos. Inc. | |||
Class A | 1,128,214 | 83,781 | |
* | Michael Kors | ||
Holdings Ltd. | 886,215 | 78,563 | |
Harley-Davidson Inc. | 1,052,533 | 73,519 | |
Keurig Green | |||
Mountain Inc. | 588,224 | 73,299 | |
BorgWarner Inc. | 1,100,819 | 71,762 | |
Hershey Co. | 703,075 | 68,458 | |
* | Constellation Brands Inc. | ||
Class A | 770,591 | 67,912 | |
Mattel Inc. | 1,635,182 | 63,723 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Electronic Arts Inc. | 1,437,727 | 51,571 |
* | Monster Beverage Corp. | 725,057 | 51,501 |
* | Under Armour Inc. Class A | 838,419 | 49,878 |
Ralph Lauren Corp. Class A | 298,156 | 47,911 | |
Brown-Forman Corp. | |||
Class B | 496,896 | 46,793 | |
PVH Corp. | 396,395 | 46,220 | |
Church & Dwight Co. Inc. | 655,083 | 45,823 | |
Polaris Industries Inc. | 317,611 | 41,366 | |
* | Mohawk Industries Inc. | 298,490 | 41,293 |
Leucadia National Corp. | 1,506,774 | 39,508 | |
McCormick & Co. Inc. | 541,900 | 38,795 | |
* | Jarden Corp. | 590,786 | 35,063 |
* | LKQ Corp. | 1,309,603 | 34,953 |
Stanley Black & | |||
Decker Inc. | 375,593 | 32,985 | |
Hormel Foods Corp. | 636,504 | 31,411 | |
* | WABCO Holdings Inc. | 292,686 | 31,265 |
Hanesbrands Inc. | 239,522 | 23,579 | |
* | NVR Inc. | 20,249 | 23,298 |
^ | Herbalife Ltd. | 354,572 | 22,884 |
Coach Inc. | 659,024 | 22,532 | |
* | Fossil Group Inc. | 206,438 | 21,577 |
* | Lululemon Athletica Inc. | 501,055 | 20,283 |
Lennar Corp. Class A | 418,727 | 17,578 | |
DR Horton Inc. | 705,344 | 17,337 | |
PulteGroup Inc. | 821,361 | 16,559 | |
Nu Skin Enterprises Inc. | |||
Class A | 120,701 | 8,927 | |
Coty Inc. Class A | 343,159 | 5,878 | |
Lennar Corp. Class B | 180 | 6 | |
4,135,088 | |||
Consumer Services (19.7%) | |||
Walt Disney Co. | 7,511,058 | 643,998 | |
Comcast Corp. Class A | 10,752,500 | 577,194 | |
* | Amazon.com Inc. | 1,774,002 | 576,160 |
Home Depot Inc. | 6,590,457 | 533,563 | |
McDonald’s Corp. | 4,763,118 | 479,837 | |
* | Priceline Group Inc. | 252,631 | 303,915 |
* | eBay Inc. | 5,495,999 | 275,130 |
13
Growth Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Starbucks Corp. | 3,445,845 | 266,640 | |
Twenty-First Century | |||
Fox Inc. Class A | 7,042,242 | 247,535 | |
Costco Wholesale Corp. | 2,111,753 | 243,189 | |
Time Warner Cable Inc. | 1,342,876 | 197,806 | |
* | DIRECTV | 2,298,578 | 195,402 |
Yum! Brands Inc. | 2,126,170 | 172,645 | |
TJX Cos. Inc. | 3,205,023 | 170,347 | |
Viacom Inc. Class B | 1,870,187 | 162,201 | |
^ | CBS Corp. Class B | 2,583,995 | 160,569 |
* | American Airlines | ||
Group Inc. | 3,468,633 | 149,012 | |
Las Vegas Sands Corp. | 1,947,031 | 148,403 | |
* | Netflix Inc. | 274,507 | 120,948 |
Comcast Corp. | 1,730,206 | 92,272 | |
* | Chipotle Mexican Grill Inc. | ||
Class A | 149,820 | 88,770 | |
* | AutoZone Inc. | 157,205 | 84,300 |
* | Dollar General Corp. | 1,462,113 | 83,867 |
Wynn Resorts Ltd. | 390,385 | 81,028 | |
Starwood Hotels & | |||
Resorts Worldwide Inc. | 925,405 | 74,791 | |
* | O’Reilly Automotive Inc. | 485,702 | 73,147 |
Nielsen NV | 1,461,076 | 70,731 | |
L Brands Inc. | 1,196,247 | 70,172 | |
Whole Foods Market Inc. | 1,771,778 | 68,444 | |
Twenty-First Century | |||
Fox Inc. | 1,954,482 | 66,902 | |
* | DISH Network Corp. | ||
Class A | 1,010,378 | 65,755 | |
* | Liberty Interactive Corp. | ||
Class A | 2,226,668 | 65,375 | |
Ross Stores Inc. | 972,612 | 64,319 | |
* | Charter Communications | ||
Inc. Class A | 390,177 | 61,796 | |
Marriott International Inc. | |||
Class A | 917,220 | 58,794 | |
* | TripAdvisor Inc. | 532,215 | 57,831 |
* | CarMax Inc. | 1,062,494 | 55,260 |
* | Bed Bath & Beyond Inc. | 927,848 | 53,240 |
Tiffany & Co. | 528,570 | 52,989 | |
* | Dollar Tree Inc. | 947,003 | 51,574 |
Gap Inc. | 1,184,926 | 49,257 | |
* | Discovery | ||
Communications Inc. | |||
Class A | 643,245 | 47,780 | |
Advance Auto Parts Inc. | 351,767 | 47,460 | |
* | MGM Resorts | ||
International | 1,774,315 | 46,842 | |
Nordstrom Inc. | 686,678 | 46,646 | |
Wyndham | |||
Worldwide Corp. | 613,633 | 46,464 | |
*,^ | Sirius XM Holdings Inc. | 13,087,916 | 45,284 |
H&R Block Inc. | 1,320,547 | 44,265 | |
Signet Jewelers Ltd. | 386,696 | 42,765 |
Market | |||
Value | |||
Shares | ($000) | ||
* | IHS Inc. Class A | 311,720 | 42,291 |
Tractor Supply Co. | 667,800 | 40,335 | |
Expedia Inc. | 479,495 | 37,765 | |
Scripps Networks | |||
Interactive Inc. Class A | 392,582 | 31,854 | |
Williams-Sonoma Inc. | 431,094 | 30,944 | |
Family Dollar Stores Inc. | 466,485 | 30,853 | |
* | Hertz Global Holdings Inc. | 1,079,360 | 30,254 |
* | Discovery | ||
Communications Inc. | 413,416 | 30,010 | |
PetSmart Inc. | 478,186 | 28,596 | |
* | Hilton Worldwide | ||
Holdings Inc. | 1,186,897 | 27,655 | |
* | Ulta Salon Cosmetics & | ||
Fragrance Inc. | 294,492 | 26,920 | |
FactSet Research | |||
Systems Inc. | 193,939 | 23,327 | |
* | AutoNation Inc. | 345,310 | 20,608 |
* | Urban Outfitters Inc. | 497,614 | 16,849 |
* | Norwegian Cruise Line | ||
Holdings Ltd. | 445,022 | 14,107 | |
Burger King Worldwide Inc. | 508,889 | 13,852 | |
* | Sprouts Farmers | ||
Market Inc. | 396,889 | 12,986 | |
* | Hyatt Hotels Corp. Class A | 193,976 | 11,829 |
Extended Stay America Inc. | 443,605 | 10,274 | |
* | zulily Inc. Class A | 84,752 | 3,471 |
Viacom Inc. Class A | 3,936 | 341 | |
CBS Corp. Class A | 3,238 | 201 | |
7,967,936 | |||
Financials (12.4%) | |||
Visa Inc. Class A | 2,406,549 | 507,084 | |
American Express Co. | 5,101,294 | 483,960 | |
MasterCard Inc. Class A | 4,873,483 | 358,055 | |
Simon Property | |||
Group Inc. | 1,496,639 | 248,861 | |
American Tower | |||
Corporation | 1,907,505 | 171,637 | |
BlackRock Inc. | 522,336 | 166,939 | |
Charles Schwab Corp. | 5,330,933 | 143,562 | |
Marsh & McLennan | |||
Cos. Inc. | 2,649,071 | 137,275 | |
Public Storage | 706,885 | 121,125 | |
Crown Castle | |||
International Corp. | 1,608,864 | 119,474 | |
Franklin Resources Inc. | 1,966,588 | 113,747 | |
Equity Residential | 1,740,734 | 109,666 | |
McGraw Hill Financial Inc. | 1,311,170 | 108,866 | |
Intercontinental | |||
Exchange Inc. | 554,991 | 104,838 | |
T. Rowe Price Group Inc. | 1,203,076 | 101,552 | |
Prologis Inc. | 2,408,544 | 98,967 | |
^ | Weyerhaeuser Co. | 2,821,005 | 93,347 |
Health Care REIT Inc. | 1,472,275 | 92,268 | |
HCP Inc. | 2,208,583 | 91,391 |
14
Growth Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Ventas Inc. | 1,418,775 | 90,944 | |
Moody’s Corp. | 1,030,004 | 90,290 | |
AvalonBay | |||
Communities Inc. | 624,694 | 88,825 | |
Boston Properties Inc. | 737,585 | 87,168 | |
Vornado Realty Trust | 812,973 | 86,769 | |
Host Hotels & | |||
Resorts Inc. | 3,648,486 | 80,303 | |
Invesco Ltd. | 2,085,583 | 78,731 | |
General Growth | |||
Properties Inc. | 2,768,458 | 65,225 | |
Aon plc | 713,186 | 64,251 | |
Essex Property Trust Inc. | 300,921 | 55,643 | |
* | Affiliated Managers | ||
Group Inc. | 266,445 | 54,728 | |
American Realty Capital | |||
Properties Inc. | 4,291,550 | 53,773 | |
SL Green Realty Corp. | 459,992 | 50,328 | |
^ | Realty Income Corp. | 1,067,006 | 47,396 |
Macerich Co. | 678,344 | 45,280 | |
* | CBRE Group Inc. Class A | 1,360,843 | 43,601 |
Kimco Realty Corp. | 1,880,343 | 43,210 | |
Equifax Inc. | 587,623 | 42,626 | |
Federal Realty | |||
Investment Trust | 324,109 | 39,191 | |
Plum Creek Timber | |||
Co. Inc. | 853,911 | 38,511 | |
^ | Digital Realty Trust Inc. | 652,406 | 38,048 |
TD Ameritrade | |||
Holding Corp. | 1,196,836 | 37,521 | |
UDR Inc. | 1,212,397 | 34,711 | |
Lazard Ltd. Class A | 620,708 | 32,004 | |
Raymond James | |||
Financial Inc. | 612,033 | 31,048 | |
Camden Property Trust | 391,788 | 27,876 | |
Jones Lang LaSalle Inc. | 214,759 | 27,143 | |
Alexandria Real Estate | |||
Equities Inc. | 345,374 | 26,815 | |
* | Realogy Holdings Corp. | 704,399 | 26,563 |
* | MSCI Inc. Class A | 562,596 | 25,795 |
SEI Investments Co. | 733,905 | 24,050 | |
Rayonier Inc. | 609,736 | 21,676 | |
* | Markel Corp. | 31,921 | 20,929 |
* | Ocwen Financial Corp. | 552,666 | 20,504 |
LPL Financial Holdings Inc. | 412,026 | 20,494 | |
Brixmor Property | |||
Group Inc. | 350,482 | 8,044 | |
* | Rayonier Advanced | ||
Materials Inc. | 100,546 | 3,896 | |
5,046,524 | |||
Health Care (11.6%) | |||
* | Gilead Sciences Inc. | 7,400,354 | 613,563 |
AbbVie Inc. | 7,662,427 | 432,467 | |
Amgen Inc. | 3,647,954 | 431,808 | |
* | Biogen Idec Inc. | 1,143,008 | 360,402 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Celgene Corp. | 3,859,040 | 331,414 |
* | Express Scripts | ||
Holding Co. | 3,736,609 | 259,059 | |
Allergan Inc. | 1,433,634 | 242,600 | |
Thermo Fisher | |||
Scientific Inc. | 1,922,176 | 226,817 | |
* | Actavis plc | 820,452 | 183,002 |
* | Alexion | ||
Pharmaceuticals Inc. | 953,354 | 148,962 | |
* | Forest Laboratories Inc. | 1,182,639 | 117,081 |
Stryker Corp. | 1,370,396 | 115,552 | |
* | Illumina Inc. | 618,752 | 110,472 |
* | Vertex | ||
Pharmaceuticals Inc. | 1,138,403 | 107,784 | |
* | Regeneron | ||
Pharmaceuticals Inc. | 357,495 | 100,982 | |
Perrigo Co. plc | 612,667 | 89,302 | |
Zoetis Inc. | 2,412,678 | 77,857 | |
* | Intuitive Surgical Inc. | 185,126 | 76,235 |
* | DaVita HealthCare | ||
Partners Inc. | 979,825 | 70,861 | |
CR Bard Inc. | 367,575 | 52,567 | |
* | Henry Schein Inc. | 411,558 | 48,840 |
* | BioMarin | ||
Pharmaceutical Inc. | 703,467 | 43,763 | |
* | Edwards Lifesciences Corp. | 508,491 | 43,649 |
* | Laboratory Corp. of | ||
America Holdings | 408,834 | 41,865 | |
* | Varian Medical | ||
Systems Inc. | 501,075 | 41,659 | |
* | Incyte Corp. Ltd. | 726,411 | 40,999 |
* | Waters Corp. | 388,371 | 40,561 |
* | Jazz Pharmaceuticals plc | 271,875 | 39,968 |
^ | ResMed Inc. | 676,381 | 34,245 |
* | IDEXX Laboratories Inc. | 247,297 | 33,031 |
DENTSPLY | |||
International Inc. | 683,693 | 32,373 | |
* | Pharmacyclics Inc. | 289,283 | 25,952 |
* | Endo International plc | 346,151 | 24,237 |
* | Quintiles Transnational | ||
Holdings Inc. | 313,513 | 16,707 | |
* | Envision Healthcare | ||
Holdings Inc. | 391,276 | 14,051 | |
* | Intercept | ||
Pharmaceuticals Inc. | 55,897 | 13,227 | |
4,683,914 | |||
Industrials (12.0%) | |||
3M Co. | 3,152,923 | 451,625 | |
Union Pacific Corp. | 4,368,195 | 435,727 | |
United Parcel Service | |||
Inc. Class B | 3,402,970 | 349,349 | |
Accenture plc Class A | 3,050,155 | 246,575 | |
Danaher Corp. | 2,864,718 | 225,539 | |
Boeing Co. | 1,581,139 | 201,168 |
15
Growth Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Automatic Data | |||
Processing Inc. | 2,323,681 | 184,221 | |
Precision Castparts Corp. | 697,380 | 176,019 | |
Cummins Inc. | 886,389 | 136,761 | |
PACCAR Inc. | 1,709,636 | 107,416 | |
Agilent Technologies Inc. | 1,606,328 | 92,267 | |
* | LinkedIn Corp. Class A | 506,731 | 86,889 |
Sherwin-Williams Co. | 408,293 | 84,480 | |
Rockwell Automation Inc. | 667,305 | 83,520 | |
WW Grainger Inc. | 296,865 | 75,484 | |
Amphenol Corp. Class A | 757,372 | 72,965 | |
* | Fiserv Inc. | 1,201,300 | 72,462 |
Roper Industries Inc. | 481,094 | 70,245 | |
* | Alliance Data | ||
Systems Corp. | 247,479 | 69,603 | |
Fidelity National | |||
Information Services Inc. | 1,248,493 | 68,342 | |
* | Pentair plc | 933,100 | 67,295 |
Paychex Inc. | 1,577,959 | 65,580 | |
Fastenal Co. | 1,287,873 | 63,737 | |
AMETEK Inc. | 1,182,784 | 61,836 | |
Kansas City Southern | 531,897 | 57,184 | |
Flowserve Corp. | 662,154 | 49,231 | |
* | United Rentals Inc. | 468,432 | 49,059 |
* | Stericycle Inc. | 408,149 | 48,333 |
* | FleetCor Technologies Inc. | 359,794 | 47,421 |
* | B/E Aerospace Inc. | 507,511 | 46,940 |
* | Trimble Navigation Ltd. | 1,257,964 | 46,482 |
Textron Inc. | 1,211,381 | 46,384 | |
CH Robinson | |||
Worldwide Inc. | 715,716 | 45,655 | |
Pall Corp. | 528,877 | 45,161 | |
* | Verisk Analytics Inc. | ||
Class A | 722,070 | 43,339 | |
Vulcan Materials Co. | 629,896 | 40,156 | |
Expeditors International | |||
of Washington Inc. | 903,912 | 39,917 | |
TransDigm Group Inc. | 229,587 | 38,401 | |
Masco Corp. | 1,719,216 | 38,167 | |
Rock-Tenn Co. Class A | 345,896 | 36,523 | |
Wabtec Corp. | 441,303 | 36,447 | |
* | Mettler-Toledo | ||
International Inc. | 140,891 | 35,671 | |
* | Quanta Services Inc. | 1,029,304 | 35,593 |
Sealed Air Corp. | 1,040,666 | 35,560 | |
Chicago Bridge & Iron | |||
Co. NV | 520,910 | 35,526 | |
Towers Watson & Co. | |||
Class A | 338,974 | 35,331 | |
* | Sensata Technologies | ||
Holding NV | 730,027 | 34,151 | |
JB Hunt Transport | |||
Services Inc. | 452,293 | 33,370 | |
Cintas Corp. | 492,428 | 31,289 | |
Hubbell Inc. Class B | 250,764 | 30,882 |
Market | |||
Value | |||
Shares | ($000) | ||
Robert Half | |||
International Inc. | 629,756 | 30,065 | |
Iron Mountain Inc. | 832,736 | 29,520 | |
Martin Marietta | |||
Materials Inc. | 222,890 | 29,433 | |
Donaldson Co. Inc. | 689,049 | 29,161 | |
* | Colfax Corp. | 386,842 | 28,835 |
Allison Transmission | |||
Holdings Inc. | 806,562 | 25,084 | |
FLIR Systems Inc. | 682,605 | 23,707 | |
Fortune Brands Home & | |||
Security Inc. | 400,011 | 15,972 | |
ADT Corp. | 420,829 | 14,704 | |
Owens Corning | 265,934 | 10,286 | |
4,848,045 | |||
Oil & Gas (8.5%) | |||
Schlumberger Ltd. | 6,267,162 | 739,212 | |
EOG Resources Inc. | 2,633,298 | 307,727 | |
Halliburton Co. | 3,865,656 | 274,500 | |
Anadarko Petroleum Corp. | 2,433,421 | 266,387 | |
Williams Cos. Inc. | 3,204,352 | 186,525 | |
National Oilwell | |||
Varco Inc. | 2,066,758 | 170,198 | |
Pioneer Natural | |||
Resources Co. | 689,505 | 158,455 | |
Noble Energy Inc. | 1,738,749 | 134,683 | |
Kinder Morgan Inc. | 3,220,539 | 116,777 | |
* | Concho Resources Inc. | 538,504 | 77,814 |
* | Southwestern Energy Co. | 1,701,847 | 77,417 |
* | Weatherford | ||
International plc | 3,348,532 | 77,016 | |
EQT Corp. | 694,860 | 74,281 | |
* | Cheniere Energy Inc. | 1,031,978 | 73,993 |
* | FMC Technologies Inc. | 1,133,602 | 69,229 |
Cabot Oil & Gas Corp. | 2,011,385 | 68,669 | |
* | Cameron | ||
International Corp. | 984,270 | 66,645 | |
Range Resources Corp. | 749,511 | 65,170 | |
Ensco plc Class A | 1,126,695 | 62,610 | |
Cimarex Energy Co. | 419,137 | 60,129 | |
* | Whiting Petroleum Corp. | 573,578 | 46,030 |
Oceaneering | |||
International Inc. | 520,782 | 40,689 | |
Core Laboratories NV | 216,259 | 36,128 | |
* | Continental Resources Inc. | 224,239 | 35,439 |
Helmerich & Payne Inc. | 247,115 | 28,693 | |
* | Cobalt International | ||
Energy Inc. | 1,491,301 | 27,365 | |
SM Energy Co. | 323,256 | 27,186 | |
QEP Resources Inc. | 781,226 | 26,952 | |
* | Dresser-Rand Group Inc. | 368,574 | 23,489 |
Noble Corp. plc | 612,698 | 20,562 | |
* | Antero Resources Corp. | 252,498 | 16,571 |
Rowan Cos. plc Class A | 300,259 | 9,587 | |
3,466,128 |
16
Growth Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Technology (23.3%) | |||
Apple Inc. | 29,056,554 | 2,700,226 | |
* | Google Inc. Class C | 1,381,386 | 794,684 |
* | Google Inc. Class A | 1,357,334 | 793,592 |
Oracle Corp. | 16,115,324 | 653,154 | |
* | Facebook Inc. Class A | 9,607,606 | 646,496 |
QUALCOMM Inc. | 8,133,683 | 644,188 | |
EMC Corp. | 9,865,816 | 259,866 | |
Texas Instruments Inc. | 5,200,579 | 248,536 | |
* | Micron Technology Inc. | 5,156,816 | 169,917 |
* | Adobe Systems Inc. | 2,279,118 | 164,917 |
* | salesforce.com inc | 2,811,482 | 163,291 |
* | Yahoo! Inc. | 4,367,633 | 153,435 |
* | Cognizant Technology | ||
Solutions Corp. Class A | 2,932,782 | 143,442 | |
SanDisk Corp. | 1,090,334 | 113,864 | |
Intuit Inc. | 1,299,854 | 104,677 | |
* | Twitter Inc. | 2,129,751 | 87,256 |
Analog Devices Inc. | 1,512,862 | 81,800 | |
Avago Technologies Ltd. | |||
Class A | 1,083,727 | 78,104 | |
* | Cerner Corp. | 1,489,507 | 76,829 |
Applied Materials Inc. | 2,934,314 | 66,169 | |
* | Autodesk Inc. | 1,098,424 | 61,929 |
Xilinx Inc. | 1,293,713 | 61,206 | |
NetApp Inc. | 1,597,404 | 58,337 | |
KLA-Tencor Corp. | 799,267 | 58,059 | |
Linear Technology Corp. | 1,140,672 | 53,691 | |
* | Juniper Networks Inc. | 2,169,613 | 53,242 |
Lam Research Corp. | 781,748 | 52,831 | |
Altera Corp. | 1,509,941 | 52,486 | |
* | Red Hat Inc. | 912,992 | 50,461 |
* | Equinix Inc. | 239,971 | 50,415 |
* | Akamai Technologies Inc. | 815,333 | 49,784 |
* | Citrix Systems Inc. | 789,955 | 49,412 |
NVIDIA Corp. | 2,554,389 | 47,358 | |
Maxim Integrated | |||
Products Inc. | 1,363,227 | 46,091 | |
Microchip Technology Inc. | 917,231 | 44,770 | |
* | Catamaran Corp. | 997,173 | 44,035 |
Skyworks Solutions Inc. | 913,961 | 42,920 | |
* | Workday Inc. Class A | 456,821 | 41,050 |
* | F5 Networks Inc. | 365,000 | 40,676 |
* | VMware Inc. Class A | 409,032 | 39,598 |
* | ServiceNow Inc. | 588,541 | 36,466 |
* | ANSYS Inc. | 446,753 | 33,873 |
* | VeriSign Inc. | 633,582 | 30,925 |
* | Teradata Corp. | 760,141 | 30,558 |
*,^ | 3D Systems Corp. | 501,291 | 29,977 |
* | Cree Inc. | 587,809 | 29,361 |
* | Gartner Inc. | 413,101 | 29,132 |
* | Splunk Inc. | 484,437 | 26,804 |
* | Rackspace Hosting Inc. | 547,816 | 18,439 |
* | NetSuite Inc. | 164,324 | 14,276 |
*,^ | FireEye Inc. | 321,457 | 13,035 |
* | MICROS Systems Inc. | 180,242 | 12,238 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Informatica Corp. | 263,431 | 9,391 |
* | Premier Inc. Class A | 154,254 | 4,473 |
9,461,742 | |||
Telecommunications (0.2%) | |||
* | SBA Communications | ||
Corp. Class A | 621,069 | 63,536 | |
* | Level 3 | ||
Communications Inc. | 857,301 | 37,644 | |
101,180 | |||
Utilities (0.4%) | |||
ONEOK Inc. | 1,000,802 | 68,135 | |
* | Calpine Corp. | 1,939,442 | 46,178 |
NRG Energy Inc. | 812,809 | 30,236 | |
144,549 | |||
Total Common Stocks | |||
(Cost $25,198,648) | 40,531,802 | ||
Temporary Cash Investments (0.2%)1 | |||
Money Market Fund (0.2%) | |||
2,3 | Vanguard Market Liquidity | ||
Fund, 0.111% | 88,710,254 | 88,710 |
Face | |||
Amount | |||
($000) | |||
U.S. Government and Agency Obligations (0.0%) | |||
4,5 | Fannie Mae Discount Notes, | ||
0.060%, 8/27/14 | 1,000 | 1,000 | |
6 | Federal Home Loan | ||
Bank Discount Notes, | |||
0.090%–0.110%, 7/16/14 | 900 | 900 | |
6 | Federal Home Loan | ||
Bank Discount Notes, | |||
0.090%, 8/6/14 | 600 | 600 | |
5,6 | Federal Home Loan | ||
Bank Discount Notes, | |||
0.065%, 8/29/14 | 500 | 500 | |
5,6 | Federal Home Loan | ||
Bank Discount Notes, | |||
0.081%, 9/19/14 | 2,000 | 1,999 | |
4,5 | Freddie Mac Discount Notes, | ||
0.077%, 10/20/14 | 1,000 | 1,000 | |
5,999 | |||
Total Temporary Cash Investments | |||
(Cost $94,710) | 94,709 | ||
Total Investments (100.2%) | |||
(Cost $25,293,358) | 40,626,511 | ||
Other Assets and Liabilities (-0.2%) | |||
Other Assets | 98,517 | ||
Liabilities3 | (176,223) | ||
(77,706) | |||
Net Assets (100%) | 40,548,805 |
17
Growth Index Fund
At June 30, 2014, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 25,597,895 |
Overdistributed Net Investment Income | (16,127) |
Accumulated Net Realized Losses | (366,468) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 15,333,153 |
Futures Contracts | 352 |
Net Assets | 40,548,805 |
Investor Shares—Net Assets | |
Applicable to 71,453,290 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 3,639,067 |
Net Asset Value Per Share— | |
Investor Shares | $50.93 |
Admiral Shares—Net Assets | |
Applicable to 205,899,747 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 10,485,279 |
Net Asset Value Per Share— | |
Admiral Shares | $50.92 |
Amount | |
($000) | |
Signal Shares—Net Assets | |
Applicable to 66,160,478 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 3,119,948 |
Net Asset Value Per Share— | |
Signal Shares | $47.16 |
Institutional Shares—Net Assets | |
Applicable to 166,859,770 outstanding | |
$.001 par value shares of beneficial | �� |
interest (unlimited authorization) | 8,496,946 |
Net Asset Value Per Share— | |
Institutional Shares | $50.92 |
ETF Shares—Net Assets | |
Applicable to 149,678,970 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 14,807,565 |
Net Asset Value Per Share— | |
ETF Shares | $98.93 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $65,277,000.
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 $67,924,000 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 $1,510,000 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.
18
Growth Index Fund
Statement of Operations
Six Months Ended | |
June 30, 2014 | |
($000) | |
Investment Income | |
Income | |
Dividends | 251,761 |
Interest1 | 36 |
Securities Lending | 958 |
Total Income | 252,755 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,278 |
Management and Administrative—Investor Shares | 3,532 |
Management and Administrative—Admiral Shares | 2,869 |
Management and Administrative—Signal Shares | 1,094 |
Management and Administrative—Institutional Shares | 1,943 |
Management and Administrative—ETF Shares | 3,945 |
Marketing and Distribution—Investor Shares | 367 |
Marketing and Distribution—Admiral Shares | 587 |
Marketing and Distribution—Signal Shares | 586 |
Marketing and Distribution—Institutional Shares | 940 |
Marketing and Distribution—ETF Shares | 1,568 |
Custodian Fees | 151 |
Shareholders’ Reports—Investor Shares | 73 |
Shareholders’ Reports—Admiral Shares | 57 |
Shareholders’ Reports—Signal Shares | 19 |
Shareholders’ Reports—Institutional Shares | 36 |
Shareholders’ Reports—ETF Shares | 116 |
Trustees’ Fees and Expenses | 12 |
Total Expenses | 19,173 |
Net Investment Income | 233,582 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 542,459 |
Futures Contracts | 4,301 |
Realized Net Gain (Loss) | 546,760 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 1,856,578 |
Futures Contracts | (102) |
Change in Unrealized Appreciation (Depreciation) | 1,856,476 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,636,818 |
1 Interest income from an affiliated company of the fund was $33,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
19
Growth Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2014 | 2013 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 233,582 | 431,962 |
Realized Net Gain (Loss) | 546,760 | 1,653,212 |
Change in Unrealized Appreciation (Depreciation) | 1,856,476 | 6,933,141 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,636,818 | 9,018,315 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (18,325) | (40,362) |
Admiral Shares | (53,116) | (91,897) |
Signal Shares | (21,853) | (57,566) |
Institutional Shares | (48,052) | (93,443) |
ETF Shares | (81,331) | (149,475) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Signal Shares | — | — |
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (222,677) | (432,743) |
Capital Share Transactions | ||
Investor Shares | (215,065) | (384,430) |
Admiral Shares | 2,009,656 | 332,128 |
Signal Shares | (1,786,697) | 6,446 |
Institutional Shares | (29,497) | (25,279) |
ETF Shares | 670,818 | 1,895,714 |
Net Increase (Decrease) from Capital Share Transactions | 649,215 | 1,824,579 |
Total Increase (Decrease) | 3,063,356 | 10,410,151 |
Net Assets | ||
Beginning of Period | 37,485,449 | 27,075,298 |
End of Period1 | 40,548,805 | 37,485,449 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($16,127,000) and ($27,032,000). |
See accompanying Notes, which are an integral part of the Financial Statements.
20
Growth Index Fund
Financial Highlights
Investor Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $47.87 | $36.65 | $31.79 | $31.60 | $27.32 | $20.29 |
Investment Operations | ||||||
Net Investment Income | .263 | .508 | .509 | .351 | .315 | .276 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 3.046 | 11.219 | 4.853 | .183 | 4.284 | 7.035 |
Total from Investment Operations | 3.309 | 11.727 | 5.362 | .534 | 4.599 | 7.311 |
Distributions | ||||||
Dividends from Net Investment Income | (.249) | (.507) | (.502) | (.344) | (.319) | (.281) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.249) | (.507) | (.502) | (.344) | (.319) | (.281) |
Net Asset Value, End of Period | $50.93 | $47.87 | $36.65 | $31.79 | $31.60 | $27.32 |
Total Return1 | 6.93% | 32.16% | 16.89% | 1.71% | 16.96% | 36.29% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,639 | $3,630 | $3,105 | $2,897 | $3,843 | $5,770 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.23% | 0.24% | 0.24% | 0.24% | 0.26% | 0.28% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.14% | 1.22% | 1.45% | 1.10% | 1.13% | 1.20% |
Portfolio Turnover Rate2 | 10% | 32% | 21% | 23% | 26% | 29% |
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
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $47.87 | $36.64 | $31.79 | $31.60 | $27.32 | $20.30 |
Investment Operations | ||||||
Net Investment Income | .298 | .572 | .560 | .399 | .357 | .308 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 3.036 | 11.229 | 4.842 | .185 | 4.282 | 7.027 |
Total from Investment Operations | 3.334 | 11.801 | 5.402 | .584 | 4.639 | 7.335 |
Distributions | ||||||
Dividends from Net Investment Income | (.284) | (.571) | (.552) | (.394) | (.359) | (.315) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.284) | (.571) | (.552) | (.394) | (.359) | (.315) |
Net Asset Value, End of Period | $50.92 | $47.87 | $36.64 | $31.79 | $31.60 | $27.32 |
Total Return1 | 6.99% | 32.40% | 17.01% | 1.87% | 17.12% | 36.42% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $10,485 | $7,903 | $5,774 | $4,819 | $4,712 | $1,641 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.09% | 0.10% | 0.10% | 0.12% | 0.14% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.28% | 1.37% | 1.59% | 1.24% | 1.27% | 1.34% |
Portfolio Turnover Rate2 | 10% | 32% | 21% | 23% | 26% | 29% |
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.
22
Growth Index Fund
Financial Highlights
Signal Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $44.32 | $33.93 | $29.44 | $29.26 | $25.30 | $18.80 |
Investment Operations | ||||||
Net Investment Income | .274 | .530 | .519 | .369 | .331 | .286 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.826 | 10.389 | 4.483 | .175 | 3.963 | 6.507 |
Total from Investment Operations | 3.100 | 10.919 | 5.002 | .544 | 4.294 | 6.793 |
Distributions | ||||||
Dividends from Net Investment Income | (.260) | (.529) | (.512) | (.364) | (.334) | (.293) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.260) | (.529) | (.512) | (.364) | (.334) | (.293) |
Net Asset Value, End of Period | $47.16 | $44.32 | $33.93 | $29.44 | $29.26 | $25.30 |
Total Return | 7.01% | 32.37% | 17.01% | 1.88% | 17.11% | 36.42% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,120 | $4,672 | $3,540 | $2,402 | $1,658 | $1,428 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.09% | 0.10% | 0.10% | 0.12% | 0.14% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.28% | 1.37% | 1.59% | 1.24% | 1.27% | 1.34% |
Portfolio Turnover Rate1 | 10% | 32% | 21% | 23% | 26% | 29% |
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
Institutional Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $47.87 | $36.64 | $31.79 | $31.60 | $27.32 | $20.30 |
Investment Operations | ||||||
Net Investment Income | .300 | .576 | .567 | .405 | .369 | .322 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 3.036 | 11.229 | 4.842 | .186 | 4.283 | 7.027 |
Total from Investment Operations | 3.336 | 11.805 | 5.409 | .591 | 4.652 | 7.349 |
Distributions | ||||||
Dividends from Net Investment Income | (.286) | (.575) | (.559) | (.401) | (.372) | (.329) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.286) | (.575) | (.559) | (.401) | (.372) | (.329) |
Net Asset Value, End of Period | $50.92 | $47.87 | $36.64 | $31.79 | $31.60 | $27.32 |
Total Return | 6.99% | 32.41% | 17.04% | 1.89% | 17.17% | 36.50% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $8,497 | $8,015 | $6,189 | $4,726 | $3,934 | $2,913 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.29% | 1.38% | 1.61% | 1.26% | 1.31% | 1.40% |
Portfolio Turnover Rate1 | 10% | 32% | 21% | 23% | 26% | 29% |
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
Financial Highlights
ETF Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $92.99 | $71.19 | $61.76 | $61.39 | $53.08 | $39.43 |
Investment Operations | ||||||
Net Investment Income | .578 | 1.112 | 1.087 | .776 | .695 | .598 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 5.912 | 21.798 | 9.416 | .360 | 8.315 | 13.666 |
Total from Investment Operations | 6.490 | 22.910 | 10.503 | 1.136 | 9.010 | 14.264 |
Distributions | ||||||
Dividends from Net Investment Income | (.550) | (1.110) | (1.073) | (.766) | (.700) | (.614) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.550) | (1.110) | (1.073) | (.766) | (.700) | (.614) |
Net Asset Value, End of Period | $98.93 | $92.99 | $71.19 | $61.76 | $61.39 | $53.08 |
Total Return | 7.00% | 32.38% | 17.03% | 1.87% | 17.11% | 36.46% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $14,808 | $13,265 | $8,467 | $6,046 | $5,099 | $3,917 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.09% | 0.10% | 0.10% | 0.12% | 0.14% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.28% | 1.37% | 1.59% | 1.24% | 1.27% | 1.34% |
Portfolio Turnover Rate1 | 10% | 32% | 21% | 23% | 26% | 29% |
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.
25
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.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. 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. 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 performance and requires daily settlement of variation margin representing changes in the market value of each contract.
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).
26
Growth Index Fund
During the six months ended June 30, 2014, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.
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, 2010–2013), and for the period ended June 30, 2014, 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 lends 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 prequalified 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; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the absence of a default the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets 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. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $2.89 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at June 30, 2014, or at any time during the period then ended.
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. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. 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.
27
Growth Index Fund
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 based on 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, 2014, the fund had contributed capital of $4,064,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 1.63% 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, 2014, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 40,531,802 | — | — |
Temporary Cash Investments | 88,710 | 5,999 | — |
Futures Contracts—Assets1 | 7 | — | — |
Total | 40,620,519 | 5,999 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At June 30, 2014, 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 2014 | 58 | 28,310 | 350 |
E-mini S&P 500 Index | September 2014 | 55 | 5,369 | 2 |
352 |
28
Growth Index Fund
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, 2014, the fund realized $601,092,000 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, 2013, the fund had available capital losses totaling $300,177,000 to offset future net capital gains through December 31, 2017. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2014; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2014, the cost of investment securities for tax purposes was $25,293,358,000. Net unrealized appreciation of investment securities for tax purposes was $15,333,153,000, consisting of unrealized gains of $15,536,962,000 on securities that had risen in value since their purchase and $203,809,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2014, the fund purchased $4,328,505,000 of investment securities and sold $3,621,838,000 of investment securities, other than temporary cash investments. Purchases and sales include $2,262,921,000 and $1,637,556,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
29
Growth Index Fund
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2014 | December 31, 2013 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 210,996 | 4,362 | 431,291 | 10,400 |
Issued in Lieu of Cash Distributions | 17,243 | 350 | 37,960 | 887 |
Redeemed | (443,304) | (9,096) | (853,681) | (20,181) |
Net Increase (Decrease)—Investor Shares | (215,065) | (4,384) | (384,430) | (8,894) |
Admiral Shares | ||||
Issued | 2,406,099 | 48,986 | 945,498 | 22,310 |
Issued in Lieu of Cash Distributions | 48,482 | 981 | 85,033 | 1,981 |
Redeemed | (444,925) | (9,176) | (698,403) | (16,754) |
Net Increase (Decrease)—Admiral Shares | 2,009,656 | 40,791 | 332,128 | 7,537 |
Signal Shares | ||||
Issued | 456,679 | 10,251 | 1,478,192 | 38,454 |
Issued in Lieu of Cash Distributions | 19,025 | 419 | 49,030 | 1,236 |
Redeemed | (2,262,401) | (49,911) | (1,520,776) | (38,618) |
Net Increase (Decrease)—Signal Shares | (1,786,697) | (39,241) | 6,446 | 1,072 |
Institutional Shares | ||||
Issued | 839,143 | 17,349 | 1,695,058 | 40,508 |
Issued in Lieu of Cash Distributions | 44,770 | 908 | 86,390 | 2,012 |
Redeemed | (913,410) | (18,841) | (1,806,727) | (43,962) |
Net Increase (Decrease)—Institutional Shares | (29,497) | (584) | (25,279) | (1,442) |
ETF Shares | ||||
Issued | 2,321,097 | 24,330 | 4,351,346 | 53,707 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (1,650,279) | (17,300) | (2,455,632) | (30,000) |
Net Increase (Decrease)—ETF Shares | 670,818 | 7,030 | 1,895,714 | 23,707 |
H. Management has determined that no material events or transactions occurred subsequent to June 30, 2014, that would require recognition or disclosure in these financial statements.
30
Value Index Fund
Fund Profile
As of June 30, 2014
Share-Class Characteristics | |||||
Investor | Admiral | Signal | Institutional | ||
Shares | Shares | Shares | Shares | ETF Shares | |
Ticker Symbol | VIVAX | VVIAX | VVISX | VIVIX | VTV |
Expense Ratio1 | 0.24% | 0.09% | 0.09% | 0.08% | 0.09% |
30-Day SEC Yield | 2.18% | 2.32% | 2.32% | 2.33% | 2.32% |
Portfolio Characteristics | |||
DJ | |||
U.S. | |||
Total | |||
CRSP US | Market | ||
Large Cap | FA | ||
Fund Value Index | Index | ||
Number of Stocks | 311 | 311 | 3,730 |
Median Market Cap | $74.9B | $72.8B | $45.5B |
Price/Earnings Ratio | 16.4x | 16.6x | 20.7x |
Price/Book Ratio | 2.1x | 2.1x | 2.7x |
Return on Equity | 16.3% | 16.2% | 17.4% |
Earnings Growth | |||
Rate | 11.1% | 10.7% | 14.4% |
Dividend Yield | 2.4% | 2.4% | 1.8% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 8% | — | — |
Short-Term Reserves | -0.1% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
CRSP US U.S. Total | |||
Large Cap | Market | ||
Fund Value Index | FA Index | ||
Basic Materials | 3.9% | 3.9% | 3.1% |
Consumer Goods | 10.2 | 10.2 | 9.9 |
Consumer Services | 7.4 | 7.4 | 13.2 |
Financials | 21.5 | 21.6 | 18.2 |
Health Care | 13.3 | 13.3 | 12.2 |
Industrials | 11.7 | 11.7 | 12.9 |
Oil & Gas | 11.9 | 11.9 | 9.9 |
Technology | 10.1 | 10.0 | 15.1 |
Telecommunications | 4.3 | 4.3 | 2.2 |
Utilities | 5.7 | 5.7 | 3.3 |
Volatility Measures | ||
DJ | ||
U.S. Total | ||
Spliced | Market | |
Value Index | FA Index | |
R-Squared | 1.00 | 0.95 |
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 | 4.2% |
Microsoft Corp. | Software | 3.0 |
Johnson & Johnson | Pharmaceuticals | 2.9 |
Wells Fargo & Co. | Banks | 2.7 |
General Electric Co. | Diversified Industrials | 2.6 |
Chevron Corp. | Integrated Oil & Gas | 2.4 |
Berkshire Hathaway Inc. Reinsurance | 2.3 | |
JPMorgan Chase & Co. | Banks | 2.1 |
Procter & Gamble Co. | Nondurable | |
Household Products | 2.1 | |
Verizon Communications | Fixed Line | |
Inc. | Telecommunications | 2.0 |
Top Ten | 26.3% | |
The holdings listed exclude any temporary cash investments and equity index products. | ||
1 The expense ratios shown are from the prospectus dated April 28, 2014, and represent estimated costs for the current fiscal year. For the six
months ended June 30, 2014, the annualized expense ratios were 0.23% for Investor Shares, 0.09% for Admiral Shares, 0.09% for Signal Shares,
0.08% for Institutional Shares, and 0.09% for ETF Shares.
31
Value Index Fund
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-14-006700/largecapfunds_q307x34x1.jpg)
32
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, 2003, Through June 30, 2014
![](https://capedge.com/proxy/N-CSRS/0000932471-14-006700/largecapfunds_q307x35x1.jpg)
Note: For 2014, performance data reflect the six months ended June 30, 2014.
Average Annual Total Returns: Periods Ended June 30, 2014
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 11/2/1992 | 22.19% | 18.29% | 7.73% |
Admiral Shares | 11/13/2000 | 22.37 | 18.46 | 7.86 |
Signal Shares | 6/4/2007 | 22.37 | 18.47 | 4.151 |
Institutional Shares | 7/2/1998 | 22.39 | 18.48 | 7.89 |
ETF Shares | 1/26/2004 | |||
Market Price | 22.34 | 18.46 | 7.86 | |
Net Asset Value | 22.40 | 18.46 | 7.86 | |
1 Return since inception. |
See Financial Highlights for dividend and capital gains information.
33
Value Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2014
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.9%)1 | |||
Basic Materials (3.9%) | |||
Dow Chemical Co. | 3,823,594 | 196,762 | |
EI du Pont de Nemours | |||
& Co. | 2,916,392 | 190,849 | |
LyondellBasell Industries | |||
NV Class A | 1,422,649 | 138,922 | |
Freeport-McMoRan | |||
Copper & Gold Inc. | 3,296,736 | 120,331 | |
PPG Industries Inc. | 438,773 | 92,208 | |
Air Products & | |||
Chemicals Inc. | 673,948 | 86,683 | |
International Paper Co. | 1,374,872 | 69,390 | |
Alcoa Inc. | 3,720,027 | 55,391 | |
Mosaic Co. | 1,025,515 | 50,712 | |
Nucor Corp. | 1,011,023 | 49,793 | |
Newmont Mining Corp. | 1,583,119 | 40,275 | |
CF Industries Holdings Inc. | 165,290 | 39,757 | |
Celanese Corp. Class A | 494,996 | 31,818 | |
Ashland Inc. | 247,342 | 26,896 | |
Huntsman Corp. | 654,909 | 18,403 | |
Reliance Steel & | |||
Aluminum Co. | 235,599 | 17,366 | |
Avery Dennison Corp. | 302,123 | 15,484 | |
Peabody Energy Corp. | 870,735 | 14,236 | |
International Flavors | |||
& Fragrances Inc. | 128,914 | 13,443 | |
1,268,719 | |||
Consumer Goods (10.2%) | |||
Procter & Gamble Co. | 8,592,048 | 675,249 | |
PepsiCo Inc. | 4,814,082 | 430,090 | |
Altria Group Inc. | 6,307,483 | 264,536 | |
Ford Motor Co. | 12,331,546 | 212,596 | |
Mondelez International | |||
Inc. Class A | 5,102,893 | 191,920 | |
General Motors Co. | 4,073,046 | 147,852 | |
Kimberly-Clark Corp. | 1,195,859 | 133,003 | |
Kraft Foods Group Inc. | 1,889,444 | 113,272 | |
Johnson Controls Inc. | 2,107,975 | 105,251 | |
General Mills Inc. | 1,950,360 | 102,472 |
Market | |||
Value | |||
Shares | ($000) | ||
Archer-Daniels- | |||
Midland Co. | 2,077,248 | 91,627 | |
Delphi Automotive plc | 963,802 | 66,252 | |
Reynolds American Inc. | 1,020,750 | 61,602 | |
Kellogg Co. | 911,978 | 59,917 | |
Genuine Parts Co. | 463,236 | 40,672 | |
ConAgra Foods Inc. | 1,336,845 | 39,678 | |
Clorox Co. | 408,118 | 37,302 | |
Dr Pepper Snapple | |||
Group Inc. | 623,467 | 36,523 | |
Activision Blizzard Inc. | 1,588,768 | 35,430 | |
Whirlpool Corp. | 246,928 | 34,377 | |
Coca-Cola Enterprises Inc. | 718,425 | 34,326 | |
Molson Coors Brewing Co. | |||
Class B | 459,710 | 34,092 | |
Bunge Ltd. | 443,696 | 33,561 | |
JM Smucker Co. | 312,318 | 33,284 | |
Tyson Foods Inc. Class A | 883,654 | 33,172 | |
* | TRW Automotive | ||
Holdings Corp. | 351,575 | 31,473 | |
Campbell Soup Co. | 597,809 | 27,386 | |
Newell Rubbermaid Inc. | 878,415 | 27,222 | |
Energizer Holdings Inc. | 195,787 | 23,892 | |
Lear Corp. | 258,882 | 23,123 | |
Stanley Black & | |||
Decker Inc. | 247,037 | 21,695 | |
Avon Products Inc. | 1,379,008 | 20,147 | |
Hasbro Inc. | 370,851 | 19,674 | |
Coach Inc. | 434,003 | 14,839 | |
Lennar Corp. Class A | 277,045 | 11,630 | |
DR Horton Inc. | 464,363 | 11,414 | |
PulteGroup Inc. | 540,731 | 10,901 | |
Lennar Corp. Class B | 1,431 | 51 | |
3,291,503 | |||
Consumer Services (7.4%) | |||
Wal-Mart Stores Inc. | 5,123,881 | 384,650 | |
CVS Caremark Corp. | 3,712,580 | 279,817 | |
Walgreen Co. | 2,727,428 | 202,184 | |
Time Warner Inc. | 2,661,137 | 186,945 | |
Lowe’s Cos. Inc. | 3,165,648 | 151,920 |
34
Value Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
McKesson Corp. | 732,331 | 136,367 | |
Target Corp. | 2,011,285 | 116,554 | |
Delta Air Lines Inc. | 2,691,201 | 104,203 | |
Kroger Co. | 1,536,916 | 75,970 | |
Cardinal Health Inc. | 1,079,702 | 74,024 | |
Sysco Corp. | 1,855,310 | 69,481 | |
Macy’s Inc. | 1,148,319 | 66,626 | |
Southwest Airlines Co. | 2,195,917 | 58,982 | |
Omnicom Group Inc. | 820,464 | 58,433 | |
Carnival Corp. | 1,411,111 | 53,128 | |
AmerisourceBergen Corp. | |||
Class A | 681,052 | 49,485 | |
* | United Continental | ||
Holdings Inc. | 1,189,204 | 48,841 | |
* | Liberty Media Corp. | ||
Class A | 298,353 | 40,779 | |
Kohl’s Corp. | 592,132 | 31,194 | |
* | News Corp. Class A | 1,540,106 | 27,630 |
Best Buy Co. Inc. | 884,841 | 27,439 | |
Interpublic Group of | |||
Cos. Inc. | 1,344,919 | 26,239 | |
Safeway Inc. | 731,007 | 25,103 | |
Royal Caribbean | |||
Cruises Ltd. | 424,497 | 23,602 | |
Staples Inc. | 2,052,787 | 22,252 | |
* | Hertz Global Holdings Inc. | 710,477 | 19,915 |
Darden Restaurants Inc. | 419,580 | 19,414 | |
Aramark | 184,588 | 4,777 | |
*,^ | Sears Holdings Corp. | 86,337 | 3,450 |
* | News Corp. Class B | 12,704 | 222 |
2,389,626 | |||
Financials (21.5%) | |||
Wells Fargo & Co. | 16,724,008 | 879,014 | |
* | Berkshire Hathaway Inc. | ||
Class B | 5,782,610 | 731,847 | |
JPMorgan Chase & Co. | 12,017,295 | 692,437 | |
Bank of America Corp. | 33,390,213 | 513,208 | |
Citigroup Inc. | 9,163,842 | 431,617 | |
American International | |||
Group Inc. | 4,593,559 | 250,716 | |
US Bancorp | 5,763,542 | 249,677 | |
Goldman Sachs | |||
Group Inc. | 1,277,983 | 213,985 | |
MetLife Inc. | 2,859,793 | 158,890 | |
Morgan Stanley | 4,695,070 | 151,792 | |
PNC Financial Services | |||
Group Inc. | 1,696,397 | 151,064 | |
Capital One | |||
Financial Corp. | 1,814,105 | 149,845 | |
Bank of New York | |||
Mellon Corp. | 3,619,361 | 135,654 | |
Prudential Financial Inc. | 1,460,009 | 129,605 | |
Travelers Cos. Inc. | 1,102,834 | 103,744 | |
ACE Ltd. | 964,586 | 100,028 | |
Discover Financial | |||
Services | 1,479,890 | 91,724 |
Market | |||
Value | |||
Shares | ($000) | ||
BB&T Corp. | 2,279,721 | 89,889 | |
Aflac Inc. | 1,441,420 | 89,728 | |
State Street Corp. | 1,298,816 | 87,358 | |
Allstate Corp. | 1,377,543 | 80,889 | |
Ameriprise Financial Inc. | 602,612 | 72,313 | |
CME Group Inc. | 1,012,459 | 71,834 | |
Chubb Corp. | 775,956 | 71,520 | |
SunTrust Banks Inc. | 1,691,123 | 67,746 | |
Fifth Third Bancorp | 2,700,335 | 57,652 | |
Hartford Financial | |||
Services Group Inc. | 1,429,802 | 51,201 | |
Principal Financial | |||
Group Inc. | 933,782 | 47,137 | |
M&T Bank Corp. | 375,660 | 46,601 | |
Regions Financial Corp. | 4,377,116 | 46,485 | |
Northern Trust Corp. | 713,044 | 45,785 | |
Loews Corp. | 981,684 | 43,204 | |
Lincoln National Corp. | 837,330 | 43,072 | |
Progressive Corp. | 1,691,029 | 42,884 | |
Aon plc | 471,691 | 42,495 | |
KeyCorp | 2,803,569 | 40,175 | |
Annaly Capital | |||
Management Inc. | 3,007,663 | 34,378 | |
Western Union Co. | 1,710,565 | 29,661 | |
Comerica Inc. | 576,722 | 28,928 | |
Unum Group | 817,230 | 28,407 | |
XL Group plc Class A | 861,665 | 28,202 | |
CIT Group Inc. | 614,049 | 28,099 | |
* | Genworth Financial Inc. | ||
Class A | 1,575,288 | 27,410 | |
Fidelity National Financial | |||
Inc. Class A | 834,852 | 27,350 | |
American Capital | |||
Agency Corp. | 1,119,974 | 26,219 | |
Huntington | |||
Bancshares Inc. | 2,627,307 | 25,064 | |
Navient Corp. | 1,342,039 | 23,768 | |
Cincinnati Financial Corp. | 493,086 | 23,688 | |
* | Arch Capital Group Ltd. | 406,321 | 23,339 |
First Republic Bank | 418,607 | 23,019 | |
Torchmark Corp. | 278,764 | 22,836 | |
Willis Group Holdings plc | 510,908 | 22,122 | |
New York Community | |||
Bancorp Inc. | 1,344,045 | 21,478 | |
* | Ally Financial Inc. | 836,213 | 19,994 |
Everest Re Group Ltd. | 117,020 | 18,781 | |
Zions Bancorporation | 590,946 | 17,415 | |
Reinsurance Group of | |||
America Inc. Class A | 219,204 | 17,295 | |
Legg Mason Inc. | 333,649 | 17,120 | |
PartnerRe Ltd. | 152,309 | 16,634 | |
Voya Financial Inc. | 444,421 | 16,150 | |
People’s United | |||
Financial Inc. | 993,746 | 15,075 | |
WR Berkley Corp. | 324,151 | 15,011 | |
Hudson City Bancorp Inc. | 1,522,096 | 14,962 |
35
Value Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
NASDAQ OMX Group Inc. | 378,547 | 14,619 | |
* | Markel Corp. | 21,080 | 13,821 |
Axis Capital Holdings Ltd. | 307,870 | 13,632 | |
* | Alleghany Corp. | 24,809 | 10,869 |
Assurant Inc. | 113,968 | 7,471 | |
SLM Corp. | 672,631 | 5,590 | |
Santander Consumer | |||
USA Holdings Inc. | 278,491 | 5,414 | |
* | Berkshire Hathaway Inc. | ||
Class A | 14 | 2,659 | |
6,959,295 | |||
Health Care (13.3%) | |||
Johnson & Johnson | 8,983,033 | 939,805 | |
Pfizer Inc. | 20,229,248 | 600,404 | |
Merck & Co. Inc. | 9,279,332 | 536,809 | |
Bristol-Myers Squibb Co. | 5,261,975 | 255,258 | |
UnitedHealth Group Inc. | 3,111,311 | 254,350 | |
Medtronic Inc. | 3,172,294 | 202,266 | |
Eli Lilly & Co. | 3,199,332 | 198,903 | |
Abbott Laboratories | 4,767,356 | 194,985 | |
Covidien plc | 1,430,952 | 129,043 | |
Baxter International Inc. | 1,716,835 | 124,127 | |
WellPoint Inc. | 887,639 | 95,519 | |
Aetna Inc. | 1,134,323 | 91,971 | |
Cigna Corp. | 852,649 | 78,418 | |
Becton Dickinson and Co. | 613,136 | 72,534 | |
Humana Inc. | 491,363 | 62,757 | |
St. Jude Medical Inc. | 902,406 | 62,492 | |
* | Mylan Inc. | 1,186,391 | 61,170 |
* | HCA Holdings Inc. | 1,022,674 | 57,658 |
Zimmer Holdings Inc. | 532,608 | 55,317 | |
* | Boston Scientific Corp. | 4,199,458 | 53,627 |
* | CareFusion Corp. | 658,183 | 29,190 |
Universal Health | |||
Services Inc. Class B | 290,344 | 27,803 | |
* | Hospira Inc. | 533,481 | 27,405 |
Quest Diagnostics Inc. | 458,544 | 26,912 | |
* | Hologic Inc. | 745,986 | 18,911 |
* | Endo International plc | 229,763 | 16,088 |
Patterson Cos. Inc. | 266,244 | 10,519 | |
4,284,241 | |||
Industrials (11.7%) | |||
General Electric Co. | 31,840,153 | 836,759 | |
United | |||
Technologies Corp. | 2,764,704 | 319,185 | |
Honeywell | |||
International Inc. | 2,362,358 | 219,581 | |
Caterpillar Inc. | 1,982,304 | 215,417 | |
Emerson Electric Co. | 2,227,222 | 147,798 | |
Lockheed Martin Corp. | 861,284 | 138,434 | |
FedEx Corp. | 891,161 | 134,904 | |
Boeing Co. | 1,041,652 | 132,529 | |
Eaton Corp. plc | 1,512,979 | 116,772 | |
Illinois Tool Works Inc. | 1,244,093 | 108,933 | |
General Dynamics Corp. | 924,931 | 107,801 |
Market | |||
Value | |||
Shares | ($000) | ||
Deere & Co. | 1,154,614 | 104,550 | |
Norfolk Southern Corp. | 982,777 | 101,256 | |
CSX Corp. | 3,187,703 | 98,213 | |
Raytheon Co. | 992,957 | 91,600 | |
TE Connectivity Ltd. | 1,297,234 | 80,221 | |
Northrop Grumman Corp. | 611,637 | 73,170 | |
Tyco International Ltd. | 1,464,490 | 66,781 | |
Waste Management Inc. | 1,403,046 | 62,758 | |
Parker Hannifin Corp. | 472,614 | 59,422 | |
Ingersoll-Rand plc | 813,875 | 50,875 | |
Dover Corp. | 528,378 | 48,056 | |
Xerox Corp. | 3,519,836 | 43,787 | |
Fluor Corp. | 505,069 | 38,840 | |
Rockwell Collins Inc. | 430,093 | 33,608 | |
Republic Services Inc. | |||
Class A | 848,280 | 32,209 | |
L-3 Communications | |||
Holdings Inc. | 247,520 | 29,888 | |
Ball Corp. | 442,597 | 27,742 | |
MeadWestvaco Corp. | 532,849 | 23,584 | |
Xylem Inc. | 583,367 | 22,798 | |
* | Crown Holdings Inc. | 442,217 | 22,005 |
Manpowergroup Inc. | 252,680 | 21,440 | |
* | Jacobs Engineering | ||
Group Inc. | 400,510 | 21,339 | |
MDU Resources | |||
Group Inc. | 577,074 | 20,255 | |
Joy Global Inc. | 317,041 | 19,523 | |
Avnet Inc. | 439,214 | 19,462 | |
* | Arrow Electronics Inc. | 316,234 | 19,104 |
Timken Co. | 260,649 | 17,682 | |
AGCO Corp. | 270,543 | 15,210 | |
SPX Corp. | 125,155 | 13,543 | |
ADT Corp. | 275,823 | 9,637 | |
* | Owens-Illinois Inc. | 264,501 | 9,162 |
Owens Corning | 177,756 | 6,876 | |
KBR Inc. | 234,112 | 5,584 | |
3,788,293 | |||
Oil & Gas (11.8%) | |||
Exxon Mobil Corp. | 13,635,508 | 1,372,823 | |
Chevron Corp. | 6,044,521 | 789,112 | |
ConocoPhillips | 3,897,516 | 334,134 | |
Occidental | |||
Petroleum Corp. | 2,494,531 | 256,014 | |
Phillips 66 | 1,796,113 | 144,461 | |
Apache Corp. | 1,224,260 | 123,185 | |
Baker Hughes Inc. | 1,383,704 | 103,017 | |
Devon Energy Corp. | 1,229,861 | 97,651 | |
Hess Corp. | 897,525 | 88,756 | |
Marathon Oil Corp. | 2,145,917 | 85,665 | |
Valero Energy Corp. | 1,693,608 | 84,850 | |
Marathon Petroleum Corp. | 824,508 | 64,369 | |
Chesapeake Energy Corp. | 1,903,324 | 59,155 | |
Murphy Oil Corp. | 541,088 | 35,972 | |
HollyFrontier Corp. | 630,729 | 27,557 |
36
Value Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Nabors Industries Ltd. | 900,584 | 26,450 | |
OGE Energy Corp. | 634,908 | 24,812 | |
Tesoro Corp. | 410,434 | 24,080 | |
Denbury Resources Inc. | 1,116,424 | 20,609 | |
Energen Corp. | 230,970 | 20,529 | |
Helmerich & Payne Inc. | 163,247 | 18,955 | |
Noble Corp. plc | 407,069 | 13,661 | |
^ | Diamond Offshore | ||
Drilling Inc. | 217,585 | 10,799 | |
3,826,616 | |||
Technology (10.1%) | |||
Microsoft Corp. | 23,605,632 | 984,355 | |
International Business | |||
Machines Corp. | 3,213,897 | 582,583 | |
Intel Corp. | 15,806,713 | 488,427 | |
Cisco Systems Inc. | 16,266,864 | 404,232 | |
Hewlett-Packard Co. | 6,017,981 | 202,686 | |
Corning Inc. | 4,153,637 | 91,172 | |
Western Digital Corp. | 708,705 | 65,414 | |
Broadcom Corp. Class A | 1,699,166 | 63,073 | |
Seagate Technology plc | 984,636 | 55,947 | |
Symantec Corp. | 2,196,009 | 50,289 | |
Motorola Solutions Inc. | 726,827 | 48,385 | |
Applied Materials Inc. | 1,937,310 | 43,686 | |
Computer Sciences Corp. | 459,851 | 29,063 | |
CA Inc. | 984,113 | 28,283 | |
Harris Corp. | 338,049 | 25,607 | |
Garmin Ltd. | 370,928 | 22,590 | |
* | Synopsys Inc. | 494,491 | 19,196 |
Marvell Technology | |||
Group Ltd. | 1,291,587 | 18,508 | |
* | Nuance | ||
Communications Inc. | 811,681 | 15,235 | |
* | IMS Health Holdings Inc. | 263,330 | 6,762 |
3,245,493 | |||
Telecommunications (4.3%) | |||
Verizon | |||
Communications Inc. | 13,149,033 | 643,382 | |
AT&T Inc. | 16,480,933 | 582,766 | |
CenturyLink Inc. | 1,817,846 | 65,806 | |
* | T-Mobile US Inc. | 890,861 | 29,951 |
* | Sprint Corp. | 2,515,855 | 21,460 |
^ | Windstream Holdings Inc. | 1,913,894 | 19,062 |
Frontier | |||
Communications Corp. | 3,190,862 | 18,635 | |
1,381,062 | |||
Utilities (5.7%) | |||
Duke Energy Corp. | 2,246,072 | 166,636 | |
NextEra Energy Inc. | 1,384,148 | 141,848 | |
Dominion Resources Inc. | 1,845,957 | 132,023 | |
Southern Co. | 2,827,268 | 128,301 | |
Exelon Corp. | 2,725,509 | 99,427 | |
Spectra Energy Corp. | 2,128,683 | 90,426 | |
American Electric Power | |||
Co. Inc. | 1,549,044 | 86,390 |
Market | |||
Value | |||
Shares | ($000) | ||
Sempra Energy | 740,011 | 77,487 | |
PPL Corp. | 2,005,737 | 71,264 | |
PG&E Corp. | 1,476,349 | 70,894 | |
Public Service Enterprise | |||
Group Inc. | 1,606,323 | 65,522 | |
Edison International | 1,034,440 | 60,111 | |
Consolidated Edison Inc. | 929,910 | 53,693 | |
Xcel Energy Inc. | 1,596,440 | 51,453 | |
Northeast Utilities | 1,003,218 | 47,422 | |
Entergy Corp. | 571,216 | 46,891 | |
FirstEnergy Corp. | 1,333,089 | 46,285 | |
DTE Energy Co. | 561,975 | 43,761 | |
NiSource Inc. | 999,502 | 39,320 | |
CenterPoint Energy Inc. | 1,364,173 | 34,841 | |
Wisconsin Energy Corp. | 715,955 | 33,593 | |
AES Corp. | 2,072,176 | 32,222 | |
Ameren Corp. | 770,175 | 31,485 | |
American Water Works | |||
Co. Inc. | 568,229 | 28,099 | |
CMS Energy Corp. | 856,425 | 26,678 | |
Pepco Holdings Inc. | 796,803 | 21,896 | |
SCANA Corp. | 406,532 | 21,875 | |
Alliant Energy Corp. | 352,046 | 21,426 | |
Pinnacle West Capital Corp. | 350,232 | 20,257 | |
NRG Energy Inc. | 535,176 | 19,909 | |
National Fuel Gas Co. | 254,192 | 19,903 | |
Integrys Energy Group Inc. | 255,996 | 18,209 | |
1,849,547 | |||
Total Common Stocks | |||
(Cost $25,565,731) | 32,284,395 | ||
Temporary Cash Investments (0.1%)1 | |||
Money Market Fund (0.1%) | |||
2,3 Vanguard Market Liquidity | |||
Fund, 0.111% | 20,484,179 | 20,484 |
Face | |||
Amount | |||
($000) | |||
U.S. Government and Agency Obligations (0.0%) | |||
4,5 | Fannie Mae Discount Notes, | ||
0.060%, 9/3/14 | 700 | 700 | |
6 | Federal Home Loan Bank | ||
Discount Notes, | |||
0.090%–0.110%, 7/16/14 | 900 | 900 | |
6 | Federal Home Loan Bank | ||
Discount Notes, | |||
0.093%, 7/18/14 | 600 | 600 | |
6 | Federal Home Loan Bank | ||
Discount Notes, | |||
0.060%, 8/1/14 | 500 | 500 | |
6 | Federal Home Loan Bank | ||
Discount Notes, | |||
0.081%, 9/19/14 | 1,000 | 1,000 |
37
Value Index Fund
Face | Market | |
Amount | Value | |
($000) | ($000) | |
4,6 Federal Home Loan Bank | ||
Discount Notes, | ||
0.080%, 10/3/14 | 3,000 | 2,999 |
6,699 | ||
Total Temporary Cash Investments | ||
(Cost $27,183) | 27,183 | |
Total Investments (100.0%) | ||
(Cost $25,592,914) | 32,311,578 | |
Other Assets and Liabilities (0.0%) | ||
Other Assets | 69,010 | |
Liabilities3 | (57,199) | |
11,811 | ||
Net Assets (100%) | 32,323,389 |
At June 30, 2014, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 26,061,729 |
Overdistributed Net Investment Income | (7,061) |
Accumulated Net Realized Losses | (449,959) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 6,718,664 |
Futures Contracts | 16 |
Net Assets | 32,323,389 |
Investor Shares—Net Assets | |
Applicable to 55,374,849 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 1,748,733 |
Net Asset Value Per Share— | |
Investor Shares | $31.58 |
Amount | |
($000) | |
Admiral Shares—Net Assets | |
Applicable to 212,621,279 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 6,713,771 |
Net Asset Value Per Share— | |
Admiral Shares | $31.58 |
Signal Shares—Net Assets | |
Applicable to 63,085,965 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 2,072,883 |
Net Asset Value Per Share— | |
Signal Shares | $32.86 |
Institutional Shares—Net Assets | |
Applicable to 229,746,061 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 7,254,225 |
Net Asset Value Per Share— | |
Institutional Shares | $31.57 |
ETF Shares—Net Assets | |
Applicable to 179,547,744 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 14,533,777 |
Net Asset Value Per Share— | |
ETF Shares | $80.95 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $8,105,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.0%, respectively, of
net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the
7-day yield.
3 Includes $8,308,000 of collateral received for securities on loan.
4 Securities with a value of $1,680,000 have been segregated as initial margin for open futures contracts.
5 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.
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.
38
Value Index Fund
Statement of Operations
Six Months Ended | |
June 30, 2014 | |
($000) | |
Investment Income | |
Income | |
Dividends | 364,452 |
Interest1 | 25 |
Securities Lending | 306 |
Total Income | 364,783 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,120 |
Management and Administrative—Investor Shares | 1,657 |
Management and Administrative—Admiral Shares | 1,830 |
Management and Administrative—Signal Shares | 689 |
Management and Administrative—Institutional Shares | 1,615 |
Management and Administrative—ETF Shares | 3,624 |
Marketing and Distribution—Investor Shares | 181 |
Marketing and Distribution—Admiral Shares | 374 |
Marketing and Distribution—Signal Shares | 369 |
Marketing and Distribution—Institutional Shares | 706 |
Marketing and Distribution—ETF Shares | 1,588 |
Custodian Fees | 131 |
Shareholders’ Reports—Investor Shares | 35 |
Shareholders’ Reports—Admiral Shares | 35 |
Shareholders’ Reports—Signal Shares | 12 |
Shareholders’ Reports—Institutional Shares | 45 |
Shareholders’ Reports—ETF Shares | 102 |
Trustees’ Fees and Expenses | 9 |
Total Expenses | 14,122 |
Net Investment Income | 350,661 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 223,565 |
Futures Contracts | 6,312 |
Realized Net Gain (Loss) | 229,877 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 1,551,288 |
Futures Contracts | (1,061) |
Change in Unrealized Appreciation (Depreciation) | 1,550,227 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,130,765 |
1 Interest income from an affiliated company of the fund was $24,000. | |
See accompanying Notes, which are an integral part of the Financial Statements. |
39
Value Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2014 | 2013 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 350,661 | 606,445 |
Realized Net Gain (Loss) | 229,877 | 1,534,231 |
Change in Unrealized Appreciation (Depreciation) | 1,550,227 | 4,557,317 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,130,765 | 6,697,993 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (18,078) | (37,540) |
Admiral Shares | (66,524) | (107,291) |
Signal Shares | (27,550) | (62,855) |
Institutional Shares | (77,353) | (137,123) |
ETF Shares | (152,681) | (260,653) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Signal Shares | — | — |
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (342,186) | (605,462) |
Capital Share Transactions | ||
Investor Shares | (82,311) | (177,905) |
Admiral Shares | 1,322,490 | 416,232 |
Signal Shares | (1,002,768) | 271,378 |
Institutional Shares | 420,542 | 674,349 |
ETF Shares | 1,277,778 | 2,894,352 |
Net Increase (Decrease) from Capital Share Transactions | 1,935,731 | 4,078,406 |
Total Increase (Decrease) | 3,724,310 | 10,170,937 |
Net Assets | ||
Beginning of Period | 28,599,079 | 18,428,142 |
End of Period1 | 32,323,389 | 28,599,079 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($7,061,000) and ($15,536,000).
See accompanying Notes, which are an integral part of the Financial Statements.
40
Value Index Fund
Financial Highlights
Investor Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $29.78 | $22.93 | $20.47 | $20.79 | $18.63 | $16.08 |
Investment Operations | ||||||
Net Investment Income | .333 | .621 | .595 | .521 | .459 | .498 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.790 | 6.847 | 2.458 | (.325) | 2.163 | 2.561 |
Total from Investment Operations | 2.123 | 7.468 | 3.053 | .196 | 2.622 | 3.059 |
Distributions | ||||||
Dividends from Net Investment Income | (.323) | (.618) | (.593) | (.516) | (.462) | (.509) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.323) | (.618) | (.593) | (.516) | (.462) | (.509) |
Net Asset Value, End of Period | $31.58 | $29.78 | $22.93 | $20.47 | $20.79 | $18.63 |
Total Return1 | 7.16% | 32.85% | 15.00% | 1.00% | 14.28% | 19.58% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,749 | $1,731 | $1,482 | $1,814 | $2,317 | $3,357 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.23% | 0.24% | 0.24% | 0.24% | 0.26% | 0.26% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.26% | 2.35% | 2.71% | 2.52% | 2.43% | 3.09% |
Portfolio Turnover Rate2 | 8% | 25% | 22% | 23% | 27% | 31% |
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
Value Index Fund
Financial Highlights
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $29.78 | $22.93 | $20.47 | $20.79 | $18.63 | $16.08 |
Investment Operations | ||||||
Net Investment Income | .354 | .663 | .629 | .551 | .488 | .517 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.791 | 6.845 | 2.458 | (.325) | 2.162 | 2.562 |
Total from Investment Operations | 2.145 | 7.508 | 3.087 | .226 | 2.650 | 3.079 |
Distributions | ||||||
Dividends from Net Investment Income | (.345) | (.658) | (.627) | (.546) | (.490) | (.529) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.345) | (.658) | (.627) | (.546) | (.490) | (.529) |
Net Asset Value, End of Period | $31.58 | $29.78 | $22.93 | $20.47 | $20.79 | $18.63 |
Total Return1 | 7.23% | 33.05% | 15.18% | 1.14% | 14.45% | 19.72% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $6,714 | $5,054 | $3,539 | $3,116 | $3,082 | $1,421 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.09% | 0.10% | 0.10% | 0.12% | 0.14% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.40% | 2.50% | 2.85% | 2.66% | 2.57% | 3.21% |
Portfolio Turnover Rate2 | 8% | 25% | 22% | 23% | 27% | 31% |
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.
42
Value Index Fund
Financial Highlights
Signal Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $30.99 | $23.86 | $21.30 | $21.63 | $19.38 | $16.73 |
Investment Operations | ||||||
Net Investment Income | .367 | .689 | .654 | .574 | .508 | .538 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.860 | 7.126 | 2.558 | (.335) | 2.252 | 2.663 |
Total from Investment Operations | 2.227 | 7.815 | 3.212 | .239 | 2.760 | 3.201 |
Distributions | ||||||
Dividends from Net Investment Income | (.357) | (.685) | (.652) | (.569) | (.510) | (.551) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.357) | (.685) | (.652) | (.569) | (.510) | (.551) |
Net Asset Value, End of Period | $32.86 | $30.99 | $23.86 | $21.30 | $21.63 | $19.38 |
Total Return | 7.22% | 33.06% | 15.18% | 1.16% | 14.46% | 19.70% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,073 | $2,923 | $2,011 | $1,467 | $1,018 | $907 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.09% | 0.10% | 0.10% | 0.12% | 0.14% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.40% | 2.50% | 2.85% | 2.66% | 2.57% | 3.21% |
Portfolio Turnover Rate1 | 8% | 25% | 22% | 23% | 27% | 31% |
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
Financial Highlights
Institutional Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $29.78 | $22.93 | $20.47 | $20.79 | $18.63 | $16.08 |
Investment Operations | ||||||
Net Investment Income | .355 | .666 | .633 | .556 | .496 | .527 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.781 | 6.846 | 2.458 | (.325) | 2.162 | 2.562 |
Total from Investment Operations | 2.136 | 7.512 | 3.091 | .231 | 2.658 | 3.089 |
Distributions | ||||||
Dividends from Net Investment Income | (.346) | (.662) | (.631) | (.551) | (.498) | (.539) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.346) | (.662) | (.631) | (.551) | (.498) | (.539) |
Net Asset Value, End of Period | $31.57 | $29.78 | $22.93 | $20.47 | $20.79 | $18.63 |
Total Return | 7.20% | 33.07% | 15.20% | 1.17% | 14.49% | 19.79% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $7,254 | $6,431 | $4,369 | $3,449 | $3,450 | $2,812 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.41% | 2.51% | 2.87% | 2.68% | 2.61% | 3.27% |
Portfolio Turnover Rate1 | 8% | 25% | 22% | 23% | 27% | 31% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
44
Value Index Fund
Financial Highlights
ETF Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $76.34 | $58.79 | $52.48 | $53.29 | $47.75 | $41.21 |
Investment Operations | ||||||
Net Investment Income | .907 | 1.700 | 1.613 | 1.414 | 1.252 | 1.324 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 4.587 | 17.538 | 6.305 | (.821) | 5.545 | 6.573 |
Total from Investment Operations | 5.494 | 19.238 | 7.918 | .593 | 6.797 | 7.897 |
Distributions | ||||||
Dividends from Net Investment Income | (.884) | (1.688) | (1.608) | (1.403) | (1.257) | (1.357) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.884) | (1.688) | (1.608) | (1.403) | (1.257) | (1.357) |
Net Asset Value, End of Period | $80.95 | $76.34 | $58.79 | $52.48 | $53.29 | $47.75 |
Total Return | 7.23% | 33.03% | 15.19% | 1.16% | 14.45% | 19.72% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $14,534 | $12,461 | $7,027 | $5,049 | $4,330 | $3,145 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.09% | 0.10% | 0.10% | 0.12% | 0.14% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.40% | 2.50% | 2.85% | 2.66% | 2.57% | 3.21% |
Portfolio Turnover Rate1 | 8% | 25% | 22% | 23% | 27% | 31% |
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
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.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. 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. 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 performance and requires daily settlement of variation margin representing changes in the market value of each contract.
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).
46
Value Index Fund
During the six months ended June 30, 2014, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.
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, 2010–2013), and for the period ended June 30, 2014, 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 lends 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 prequalified 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; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the absence of a default the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets 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. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $2.89 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at June 30, 2014, or at any time during the period then ended.
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. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. 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.
47
Value Index Fund
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 based on 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, 2014, the fund had contributed capital of $3,248,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 1.30% 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, 2014, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 32,284,395 | — | — |
Temporary Cash Investments | 20,484 | 6,699 | — |
Futures Contracts—Assets1 | 8 | — | — |
Total | 32,304,887 | 6,699 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At June 30, 2014, 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 2014 | 375 | 36,608 | 16 |
48
Value Index Fund
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, 2014, the fund realized $332,289,000 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, 2013, the fund had available capital losses totaling $346,212,000 to offset future net capital gains through December 31, 2017. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2014; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2014, the cost of investment securities for tax purposes was $25,592,914,000. Net unrealized appreciation of investment securities for tax purposes was $6,718,664,000, consisting of unrealized gains of $7,152,308,000 on securities that had risen in value since their purchase and $433,644,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2014, the fund purchased $4,128,491,000 of investment securities and sold $2,186,311,000 of investment securities, other than temporary cash investments. Purchases and sales include $1,996,441,000 and $957,394,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
49
Value Index Fund
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2014 | December 31, 2013 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 129,883 | 4,293 | 263,619 | 9,878 |
Issued in Lieu of Cash Distributions | 16,527 | 535 | 34,188 | 1,260 |
Redeemed | (228,721) | (7,564) | (475,712) | (17,640) |
Net Increase (Decrease)—Investor Shares | (82,311) | (2,736) | (177,905) | (6,502) |
Admiral Shares | ||||
Issued | 1,571,817 | 51,193 | 771,134 | 28,590 |
Issued in Lieu of Cash Distributions | 58,364 | 1,885 | 95,406 | 3,504 |
Redeemed | (307,691) | (10,163) | (450,308) | (16,740) |
Net Increase (Decrease)—Admiral Shares | 1,322,490 | 42,915 | 416,232 | 15,354 |
Signal Shares | ||||
Issued | 319,788 | 10,242 | 887,826 | 31,864 |
Issued in Lieu of Cash Distributions | 23,401 | 731 | 52,620 | 1,857 |
Redeemed | (1,345,957) | (42,217) | (669,068) | (23,672) |
Net Increase (Decrease)—Signal Shares | (1,002,768) | (31,244) | 271,378 | 10,049 |
Institutional Shares | ||||
Issued | 777,441 | 25,638 | 1,337,495 | 50,315 |
Issued in Lieu of Cash Distributions | 74,743 | 2,417 | 132,013 | 4,850 |
Redeemed | (431,642) | (14,273) | (795,159) | (29,718) |
Net Increase (Decrease)—Institutional Shares | 420,542 | 13,782 | 674,349 | 25,447 |
ETF Shares | ||||
Issued | 2,247,496 | 28,818 | 4,102,875 | 61,095 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (969,718) | (12,500) | (1,208,523) | (17,400) |
Net Increase (Decrease)—ETF Shares | 1,277,778 | 16,318 | 2,894,352 | 43,695 |
H. Management has determined that no material events or transactions occurred subsequent to June 30, 2014, that would require recognition or disclosure in these financial statements.
50
Large-Cap Index Fund
Fund Profile
As of June 30, 2014
Share-Class Characteristics | |||||
Investor | Admiral | Signal | Institutional | ||
Shares | Shares | Shares | Shares | ETF Shares | |
Ticker Symbol | VLACX | VLCAX | VLCSX | VLISX | VV |
Expense Ratio1 | 0.24% | 0.09% | 0.09% | 0.08% | 0.09% |
30-Day SEC Yield | 1.72% | 1.86% | 1.86% | 1.87% | 1.86% |
Portfolio Characteristics | |||
DJ | |||
U.S. | |||
Total | |||
CRSP US | Market | ||
Large Cap | FA | ||
Fund | Index | Index | |
Number of Stocks | 663 | 663 | 3,730 |
Median Market Cap | $63.6B | $63.4B | $45.5B |
Price/Earnings Ratio | 19.7x | 19.8x | 20.7x |
Price/Book Ratio | 2.8x | 2.8x | 2.7x |
Return on Equity | 18.7% | 18.5% | 17.4% |
Earnings Growth | |||
Rate | 14.6% | 14.4% | 14.4% |
Dividend Yield | 1.9% | 1.9% | 1.8% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 4% | — | — |
Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
CRSP US | U.S. Total | ||
Large Cap | Market | ||
Fund | Index | FA Index | |
Basic Materials | 2.9% | 2.9% | 3.1% |
Consumer Goods | 10.2 | 10.2 | 9.9 |
Consumer Services | 13.0 | 12.9 | 13.2 |
Financials | 17.4 | 17.4 | 18.2 |
Health Care | 12.5 | 12.5 | 12.2 |
Industrials | 11.8 | 11.8 | 12.9 |
Oil & Gas | 10.4 | 10.4 | 9.9 |
Technology | 16.1 | 16.1 | 15.1 |
Telecommunications | 2.4 | 2.5 | 2.2 |
Utilities | 3.3 | 3.3 | 3.3 |
Volatility Measures | ||
DJ | ||
Spliced | U.S. 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) | ||
Apple Inc. | Computer Hardware | 3.0% |
Exxon Mobil Corp. | Integrated Oil & Gas | 2.3 |
Google Inc. | Internet | 1.8 |
Microsoft Corp. | Software | 1.7 |
Johnson & Johnson | Pharmaceuticals | 1.6 |
Wells Fargo & Co. | Banks | 1.5 |
General Electric Co. | Diversified Industrials | 1.4 |
Chevron Corp. | Integrated Oil & Gas | 1.3 |
Berkshire Hathaway Inc. Reinsurance | 1.2 | |
JPMorgan Chase & Co. | Banks | 1.2 |
Top Ten | 17.0% | |
The holdings listed exclude any temporary cash investments and equity index products. |
1 The expense ratios shown are from the prospectus dated April 28, 2014, and represent estimated costs for the current fiscal year. For the six
months ended June 30, 2014, the annualized expense ratios were 0.23% for Investor Shares, 0.09% for Admiral Shares, 0.09% for Signal Shares,
0.08% for Institutional Shares, and 0.09% for ETF Shares.
51
Large-Cap Index Fund
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-14-006700/largecapfunds_q307x54x1.jpg)
52
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, 2014
![](https://capedge.com/proxy/N-CSRS/0000932471-14-006700/largecapfunds_q307x55x1.jpg)
Note: For 2014, performance data reflect the six months ended June 30, 2014.
Average Annual Total Returns: Periods Ended June 30, 2014 | ||||
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 1/30/2004 | 24.70% | 18.82% | 8.05% |
Admiral Shares | 2/2/2004 | 24.90 | 18.99 | 8.18 |
Signal Shares | 8/30/2007 | 24.88 | 18.98 | 7.031 |
Institutional Shares | 6/30/2005 | 24.91 | 19.01 | 8.281 |
ETF Shares | 1/27/2004 | |||
Market Price | 24.94 | 18.99 | 8.19 | |
Net Asset Value | 24.89 | 18.99 | 8.20 | |
1 Return since inception. |
See Financial Highlights for dividend and capital gains information.
53
Large-Cap Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2014
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%)1 | |||
Basic Materials (2.9%) | |||
Dow Chemical Co. | 583,116 | 30,007 | |
EI du Pont de Nemours | |||
& Co. | 444,761 | 29,105 | |
LyondellBasell Industries | |||
NV Class A | 216,992 | 21,189 | |
Praxair Inc. | 142,297 | 18,903 | |
Freeport-McMoRan | |||
Copper & Gold Inc. | 502,726 | 18,349 | |
Ecolab Inc. | 131,150 | 14,602 | |
PPG Industries Inc. | 66,969 | 14,074 | |
Air Products | |||
& Chemicals Inc. | 102,496 | 13,183 | |
International Paper Co. | 209,705 | 10,584 | |
Alcoa Inc. | 567,827 | 8,455 | |
Mosaic Co. | 156,504 | 7,739 | |
Nucor Corp. | 154,103 | 7,590 | |
Newmont Mining Corp. | 241,572 | 6,146 | |
CF Industries Holdings Inc. | 25,220 | 6,066 | |
Sigma-Aldrich Corp. | 57,811 | 5,867 | |
Eastman Chemical Co. | 66,501 | 5,809 | |
CONSOL Energy Inc. | 110,584 | 5,095 | |
Celanese Corp. Class A | 75,867 | 4,877 | |
FMC Corp. | 64,146 | 4,567 | |
Ashland Inc. | 37,769 | 4,107 | |
International Flavors | |||
& Fragrances Inc. | 39,242 | 4,092 | |
Airgas Inc. | 32,242 | 3,511 | |
* | WR Grace & Co. | 35,334 | 3,340 |
Huntsman Corp. | 99,955 | 2,809 | |
Albemarle Corp. | 38,482 | 2,751 | |
Reliance Steel | |||
& Aluminum Co. | 35,523 | 2,618 | |
Avery Dennison Corp. | 46,255 | 2,371 | |
Peabody Energy Corp. | 131,145 | 2,144 | |
Westlake Chemical Corp. | 19,378 | 1,623 | |
261,573 |
Market | |||
Value | |||
Shares | ($000) | ||
Consumer Goods (10.2%) | |||
Procter & Gamble Co. | 1,311,033 | 103,034 | |
Coca-Cola Co. | 1,915,170 | 81,127 | |
PepsiCo Inc. | 734,281 | 65,601 | |
Philip Morris | |||
International Inc. | 723,663 | 61,012 | |
Altria Group Inc. | 961,760 | 40,336 | |
Ford Motor Co. | 1,881,476 | 32,437 | |
Monsanto Co. | 254,083 | 31,694 | |
Colgate-Palmolive Co. | 444,474 | 30,304 | |
Mondelez International Inc. | |||
Class A | 778,126 | 29,265 | |
NIKE Inc. Class B | 339,322 | 26,314 | |
General Motors Co. | 621,414 | 22,557 | |
Kimberly-Clark Corp. | 182,391 | 20,286 | |
Kraft Foods Group Inc. | 288,524 | 17,297 | |
Johnson Controls Inc. | 321,252 | 16,040 | |
General Mills Inc. | 297,572 | 15,634 | |
Archer-Daniels-Midland Co. | 318,775 | 14,061 | |
Lorillard Inc. | 175,437 | 10,696 | |
VF Corp. | 166,700 | 10,502 | |
Delphi Automotive plc | 148,207 | 10,188 | |
Reynolds American Inc. | 156,107 | 9,421 | |
* | Tesla Motors Inc. | 39,085 | 9,383 |
Kellogg Co. | 138,836 | 9,122 | |
Mead Johnson Nutrition Co. | 97,564 | 9,090 | |
Estee Lauder Cos. Inc. | |||
Class A | 113,295 | 8,413 | |
* | Michael Kors Holdings Ltd. | 88,734 | 7,866 |
Harley-Davidson Inc. | 106,444 | 7,435 | |
Keurig Green Mountain Inc. | 59,213 | 7,379 | |
BorgWarner Inc. | 110,299 | 7,190 | |
Hershey Co. | 71,012 | 6,914 | |
* | Constellation Brands Inc. | ||
Class A | 77,526 | 6,832 | |
Stanley Black & Decker Inc. | 75,233 | 6,607 | |
Mattel Inc. | 164,971 | 6,429 | |
Genuine Parts Co. | 70,715 | 6,209 | |
ConAgra Foods Inc. | 203,270 | 6,033 | |
Clorox Co. | 62,805 | 5,740 |
54
Large-Cap Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Dr Pepper Snapple | |||
Group Inc. | 95,738 | 5,608 | |
Activision Blizzard Inc. | 241,631 | 5,388 | |
Coca-Cola Enterprises Inc. | 110,249 | 5,268 | |
Whirlpool Corp. | 37,501 | 5,221 | |
* | Electronic Arts Inc. | 144,817 | 5,195 |
Molson Coors Brewing Co. | |||
Class B | 69,735 | 5,172 | |
* | Monster Beverage Corp. | 72,682 | 5,163 |
Bunge Ltd. | 67,722 | 5,123 | |
JM Smucker Co. | 47,550 | 5,067 | |
Tyson Foods Inc. Class A | 134,921 | 5,065 | |
* | Under Armour Inc. Class A | 84,316 | 5,016 |
Ralph Lauren Corp. Class A | 29,983 | 4,818 | |
* | TRW Automotive | ||
Holdings Corp. | 53,595 | 4,798 | |
Brown-Forman Corp. | |||
Class B | 50,008 | 4,709 | |
Church & Dwight Co. Inc. | 66,250 | 4,634 | |
PVH Corp. | 39,468 | 4,602 | |
Coach Inc. | 134,257 | 4,590 | |
Newell Rubbermaid Inc. | 134,840 | 4,179 | |
Campbell Soup Co. | 90,951 | 4,166 | |
Polaris Industries Inc. | 31,878 | 4,152 | |
* | Mohawk Industries Inc. | 29,940 | 4,142 |
Leucadia National Corp. | 151,823 | 3,981 | |
McCormick & Co. Inc. | 54,627 | 3,911 | |
Energizer Holdings Inc. | 30,202 | 3,686 | |
* | Jarden Corp. | 59,246 | 3,516 |
Lear Corp. | 39,191 | 3,501 | |
Lennar Corp. Class A | 83,200 | 3,493 | |
* | LKQ Corp. | 130,833 | 3,492 |
DR Horton Inc. | 140,828 | 3,462 | |
PulteGroup Inc. | 166,165 | 3,350 | |
* | WABCO Holdings Inc. | 29,643 | 3,166 |
Hormel Foods Corp. | 64,009 | 3,159 | |
Avon Products Inc. | 209,885 | 3,066 | |
Hasbro Inc. | 57,148 | 3,032 | |
^ | Herbalife Ltd. | 36,876 | 2,380 |
Hanesbrands Inc. | 24,115 | 2,374 | |
* | NVR Inc. | 2,041 | 2,348 |
* | Fossil Group Inc. | 20,957 | 2,190 |
* | Lululemon Athletica Inc. | 50,327 | 2,037 |
Nu Skin Enterprises Inc. | |||
Class A | 12,814 | 948 | |
Coty Inc. Class A | 33,454 | 573 | |
Lennar Corp. Class B | 985 | 35 | |
918,224 | |||
Consumer Services (12.9%) | |||
Walt Disney Co. | 754,862 | 64,722 | |
Wal-Mart Stores Inc. | 781,155 | 58,641 | |
* | Amazon.com Inc. | 178,305 | 57,910 |
Home Depot Inc. | 662,372 | 53,626 | |
Comcast Corp. Class A | 963,703 | 51,732 | |
McDonald’s Corp. | 479,037 | 48,258 |
Market | |||
Value | |||
Shares | ($000) | ||
CVS Caremark Corp. | 566,273 | 42,680 | |
Walgreen Co. | 416,085 | 30,844 | |
* | Priceline Group Inc. | 25,396 | 30,551 |
Twenty-First Century | |||
Fox Inc. Class A | 856,191 | 30,095 | |
Time Warner Inc. | 405,570 | 28,491 | |
* | eBay Inc. | 552,403 | 27,653 |
Starbucks Corp. | 347,472 | 26,887 | |
Costco Wholesale Corp. | 212,864 | 24,513 | |
Lowe’s Cos. Inc. | 482,948 | 23,177 | |
McKesson Corp. | 111,428 | 20,749 | |
Time Warner Cable Inc. | 135,041 | 19,892 | |
* | DIRECTV | 231,066 | 19,643 |
Target Corp. | 306,182 | 17,743 | |
Yum! Brands Inc. | 214,325 | 17,403 | |
TJX Cos. Inc. | 322,216 | 17,126 | |
Viacom Inc. Class B | 187,379 | 16,251 | |
CBS Corp. Class B | 256,727 | 15,953 | |
Delta Air Lines Inc. | 411,237 | 15,923 | |
Comcast Corp. | 291,422 | 15,542 | |
Las Vegas Sands Corp. | 196,779 | 14,999 | |
* | American Airlines | ||
Group Inc. | 348,875 | 14,988 | |
* | Netflix Inc. | 27,504 | 12,118 |
Kroger Co. | 234,608 | 11,597 | |
Cardinal Health Inc. | 165,940 | 11,377 | |
Sysco Corp. | 283,146 | 10,604 | |
Macy’s Inc. | 176,736 | 10,254 | |
Southwest Airlines Co. | 334,852 | 8,994 | |
* | Chipotle Mexican Grill Inc. | ||
Class A | 15,032 | 8,907 | |
Omnicom Group Inc. | 124,927 | 8,897 | |
* | AutoZone Inc. | 15,791 | 8,468 |
* | Dollar General Corp. | 146,857 | 8,424 |
Wynn Resorts Ltd. | 39,143 | 8,125 | |
Carnival Corp. | 214,742 | 8,085 | |
AmerisourceBergen Corp. | |||
Class A | 103,886 | 7,548 | |
Starwood Hotels & Resorts | |||
Worldwide Inc. | 92,708 | 7,493 | |
* | United Continental | ||
Holdings Inc. | 180,422 | 7,410 | |
* | O’Reilly Automotive Inc. | 48,913 | 7,366 |
Nielsen NV | 146,420 | 7,088 | |
L Brands Inc. | 119,373 | 7,002 | |
Whole Foods Market Inc. | 179,843 | 6,947 | |
* | Liberty Interactive Corp. | ||
Class A | 226,931 | 6,663 | |
* | DISH Network Corp. | ||
Class A | 101,323 | 6,594 | |
Ross Stores Inc. | 98,732 | 6,529 | |
* | Charter Communications | ||
Inc. Class A | 39,335 | 6,230 | |
* | Liberty Media Corp. Class A | 45,397 | 6,205 |
* | Hertz Global Holdings Inc. | 217,177 | 6,087 |
55
Large-Cap Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Marriott International Inc. | |||
Class A | 92,858 | 5,952 | |
* | TripAdvisor Inc. | 53,220 | 5,783 |
* | CarMax Inc. | 108,270 | 5,631 |
* | Bed Bath & Beyond Inc. | 93,139 | 5,344 |
* | Discovery Communications | ||
Inc. Class A | 71,269 | 5,294 | |
Tiffany & Co. | 52,638 | 5,277 | |
* | Dollar Tree Inc. | 95,468 | 5,199 |
Gap Inc. | 118,509 | 4,926 | |
Kohl’s Corp. | 90,349 | 4,760 | |
Advance Auto Parts Inc. | 35,271 | 4,759 | |
Nordstrom Inc. | 69,297 | 4,707 | |
* | MGM Resorts International | 177,719 | 4,692 |
Wyndham Worldwide Corp. | 61,919 | 4,689 | |
* | Sirius XM Holdings Inc. | 1,323,835 | 4,580 |
H&R Block Inc. | 132,464 | 4,440 | |
Signet Jewelers Ltd. | 38,761 | 4,287 | |
* | IHS Inc. Class A | 31,391 | 4,259 |
Best Buy Co. Inc. | 133,996 | 4,155 | |
Tractor Supply Co. | 67,162 | 4,057 | |
* | News Corp. Class A | 223,980 | 4,018 |
Interpublic Group of | |||
Cos. Inc. | 205,220 | 4,004 | |
Safeway Inc. | 111,316 | 3,823 | |
Expedia Inc. | 48,015 | 3,782 | |
Royal Caribbean | |||
Cruises Ltd. | 64,299 | 3,575 | |
Staples Inc. | 315,776 | 3,423 | |
Scripps Networks | |||
Interactive Inc. Class A | 39,518 | 3,206 | |
Williams-Sonoma Inc. | 43,432 | 3,118 | |
Family Dollar Stores Inc. | 46,843 | 3,098 | |
Darden Restaurants Inc. | 63,674 | 2,946 | |
PetSmart Inc. | 47,989 | 2,870 | |
* | Hilton Worldwide | ||
Holdings Inc. | 119,246 | 2,778 | |
* | Ulta Salon Cosmetics | ||
& Fragrance Inc. | 29,589 | 2,705 | |
* | Discovery | ||
Communications Inc. | 34,644 | 2,515 | |
FactSet Research | |||
Systems Inc. | 19,756 | 2,376 | |
* | AutoNation Inc. | 34,701 | 2,071 |
* | Urban Outfitters Inc. | 49,957 | 1,692 |
Twenty-First Century | |||
Fox Inc. | 48,091 | 1,646 | |
* | Norwegian Cruise Line | ||
Holdings Ltd. | 44,319 | 1,405 | |
Burger King Worldwide Inc. | 51,356 | 1,398 | |
* | Sprouts Farmers Market Inc. | 42,663 | 1,396 |
* | Hyatt Hotels Corp. Class A | 19,742 | 1,204 |
Extended Stay America Inc. | 44,703 | 1,035 | |
Aramark | 27,917 | 723 | |
*,^ | Sears Holdings Corp. | 12,762 | 510 |
56
Market | |||
Value | |||
Shares | ($000) | ||
* | zulily Inc. Class A | 8,949 | 366 |
* | News Corp. Class B | 12,020 | 210 |
CBS Corp. Class A | 3,364 | 209 | |
Viacom Inc. Class A | 985 | 85 | |
1,165,982 | |||
Financials (17.4%) | |||
Wells Fargo & Co. | 2,551,184 | 134,090 | |
* | Berkshire Hathaway Inc. | ||
Class B | 876,366 | 110,913 | |
JPMorgan Chase & Co. | 1,833,591 | 105,652 | |
Bank of America Corp. | 5,093,219 | 78,283 | |
Citigroup Inc. | 1,398,214 | 65,856 | |
Visa Inc. Class A | 241,872 | 50,965 | |
American Express Co. | 512,561 | 48,627 | |
American International | |||
Group Inc. | 700,619 | 38,240 | |
US Bancorp | 880,759 | 38,154 | |
MasterCard Inc. Class A | 489,805 | 35,986 | |
Goldman Sachs Group Inc. | 194,910 | 32,636 | |
Simon Property Group Inc. | 150,260 | 24,985 | |
MetLife Inc. | 436,305 | 24,241 | |
Morgan Stanley | 716,189 | 23,154 | |
PNC Financial Services | |||
Group Inc. | 258,541 | 23,023 | |
Capital One Financial Corp. | 277,084 | 22,887 | |
Bank of New York | |||
Mellon Corp. | 552,507 | 20,708 | |
Prudential Financial Inc. | 223,094 | 19,804 | |
American Tower | |||
Corporation | 191,790 | 17,257 | |
BlackRock Inc. | 52,650 | 16,827 | |
Travelers Cos. Inc. | 168,227 | 15,825 | |
ACE Ltd. | 146,723 | 15,215 | |
Charles Schwab Corp. | 534,204 | 14,386 | |
Discover Financial Services | 225,700 | 13,989 | |
Marsh & McLennan | |||
Cos. Inc. | 265,262 | 13,746 | |
Aflac Inc. | 220,581 | 13,731 | |
BB&T Corp. | 348,123 | 13,727 | |
State Street Corp. | 198,532 | 13,353 | |
Aon plc | 143,570 | 12,934 | |
Allstate Corp. | 210,182 | 12,342 | |
Public Storage | 70,851 | 12,140 | |
Crown Castle | |||
International Corp. | 161,829 | 12,017 | |
Franklin Resources Inc. | 198,220 | 11,465 | |
Ameriprise Financial Inc. | 92,265 | 11,072 | |
Equity Residential | 174,548 | 10,997 | |
CME Group Inc. | 154,512 | 10,963 | |
Chubb Corp. | 118,837 | 10,953 | |
McGraw Hill Financial Inc. | 131,238 | 10,897 | |
Intercontinental | |||
Exchange Inc. | 55,629 | 10,508 | |
SunTrust Banks Inc. | 258,428 | 10,353 | |
T. Rowe Price Group Inc. | 120,502 | 10,172 |
Large-Cap Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Prologis Inc. | 241,504 | 9,923 | |
^ | Weyerhaeuser Co. | 282,527 | 9,349 |
Health Care REIT Inc. | 147,994 | 9,275 | |
HCP Inc. | 221,073 | 9,148 | |
Ventas Inc. | 142,266 | 9,119 | |
Moody’s Corp. | 103,421 | 9,066 | |
AvalonBay Communities Inc. | 62,818 | 8,932 | |
Fifth Third Bancorp | 411,396 | 8,783 | |
Boston Properties Inc. | 73,973 | 8,742 | |
Vornado Realty Trust | 81,650 | 8,715 | |
Host Hotels & Resorts Inc. | 366,397 | 8,064 | |
Invesco Ltd. | 209,414 | 7,905 | |
Hartford Financial Services | |||
Group Inc. | 217,891 | 7,803 | |
Principal Financial | |||
Group Inc. | 143,294 | 7,233 | |
Regions Financial Corp. | 667,857 | 7,093 | |
M&T Bank Corp. | 57,072 | 7,080 | |
Northern Trust Corp. | 108,871 | 6,991 | |
Loews Corp. | 149,855 | 6,595 | |
Progressive Corp. | 258,742 | 6,562 | |
General Growth | |||
Properties Inc. | 278,268 | 6,556 | |
Lincoln National Corp. | 127,335 | 6,550 | |
KeyCorp | 429,664 | 6,157 | |
Essex Property Trust Inc. | 30,306 | 5,604 | |
* | Affiliated Managers | ||
Group Inc. | 26,782 | 5,501 | |
American Realty Capital | |||
Properties Inc. | 429,558 | 5,382 | |
Annaly Capital | |||
Management Inc. | 457,873 | 5,234 | |
SL Green Realty Corp. | 46,047 | 5,038 | |
Realty Income Corp. | 106,181 | 4,717 | |
Western Union Co. | 265,160 | 4,598 | |
Macerich Co. | 67,863 | 4,530 | |
Comerica Inc. | 87,889 | 4,409 | |
* | CBRE Group Inc. Class A | 136,468 | 4,372 |
XL Group plc Class A | 133,386 | 4,366 | |
Unum Group | 125,416 | 4,359 | |
CIT Group Inc. | 94,406 | 4,320 | |
Kimco Realty Corp. | 187,862 | 4,317 | |
Equifax Inc. | 59,142 | 4,290 | |
* | Markel Corp. | 6,423 | 4,211 |
* | Genworth Financial Inc. | ||
Class A | 239,418 | 4,166 | |
Fidelity National Financial | |||
Inc. Class A | 126,887 | 4,157 | |
American Capital | |||
Agency Corp. | 172,162 | 4,030 | |
Federal Realty | |||
Investment Trust | 32,476 | 3,927 | |
Huntington Bancshares Inc. | 405,174 | 3,865 | |
Plum Creek Timber Co. Inc. | 85,437 | 3,853 | |
^ | Digital Realty Trust Inc. | 65,645 | 3,828 |
Market | ||||
Value | ||||
Shares | ($000) | |||
TD Ameritrade | ||||
Holding Corp. | 119,642 | 3,751 | ||
Navient Corp. | 207,502 | 3,675 | ||
Cincinnati Financial Corp. | 75,305 | 3,618 | ||
* | Arch Capital Group Ltd. | 61,703 | 3,544 | |
First Republic Bank | 63,908 | 3,514 | ||
Torchmark Corp. | 42,823 | 3,508 | ||
UDR Inc. | 121,743 | 3,486 | ||
Willis Group Holdings plc | 77,661 | 3,363 | ||
New York Community | ||||
Bancorp Inc. | 203,457 | 3,251 | ||
Lazard Ltd. Class A | 62,392 | 3,217 | ||
Raymond James | ||||
Financial Inc. | 61,308 | 3,110 | ||
* | Ally Financial Inc. | 127,832 | 3,056 | |
Everest Re Group Ltd. | 18,320 | 2,940 | ||
Camden Property Trust | 39,344 | 2,799 | ||
Jones Lang LaSalle Inc. | 21,584 | 2,728 | ||
Reinsurance Group of | ||||
America Inc. Class A | 34,328 | 2,708 | ||
Alexandria Real Estate | ||||
Equities Inc. | 34,709 | 2,695 | ||
Legg Mason Inc. | 52,054 | 2,671 | ||
* | Realogy Holdings Corp. | 70,653 | 2,664 | |
Zions Bancorporation | 89,293 | 2,631 | ||
PartnerRe Ltd. | 23,812 | 2,601 | ||
* | MSCI Inc. Class A | 56,488 | 2,590 | |
Voya Financial Inc. | 68,042 | 2,473 | ||
SEI Investments Co. | 73,842 | 2,420 | ||
WR Berkley Corp. | 49,835 | 2,308 | ||
People’s United | ||||
Financial Inc. | 150,402 | 2,282 | ||
Hudson City Bancorp Inc. | 228,981 | 2,251 | ||
NASDAQ OMX Group Inc. | 57,053 | 2,203 | ||
Rayonier Inc. | 61,024 | 2,169 | ||
Axis Capital Holdings Ltd. | 48,823 | 2,162 | ||
* | Ocwen Financial Corp. | 55,838 | 2,072 | |
LPL Financial Holdings Inc. | 41,522 | 2,065 | ||
* | Alleghany Corp. | 3,827 | 1,677 | |
* | Berkshire Hathaway Inc. | |||
Class A | 6 | 1,139 | ||
Assurant Inc. | 17,361 | 1,138 | ||
SLM Corp. | 102,302 | 850 | ||
Santander Consumer USA | ||||
Holdings Inc. | 41,901 | 815 | ||
Brixmor Property Group Inc. | 35,263 | 809 | ||
* | Rayonier Advanced | |||
Materials Inc. | 10,141 | 393 | ||
1,569,134 | ||||
Health Care (12.5%) | ||||
Johnson & Johnson | 1,370,683 | 143,401 | ||
Pfizer Inc. | 3,086,663 | 91,612 | ||
Merck & Co. Inc. | 1,415,368 | 81,879 | ||
* | Gilead Sciences Inc. | 744,207 | 61,702 | |
AbbVie Inc. | 770,408 | 43,482 |
57
Large-Cap Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Amgen Inc. | 366,719 | 43,409 | |
Bristol-Myers Squibb Co. | 802,650 | 38,937 | |
UnitedHealth Group Inc. | 474,562 | 38,795 | |
* | Biogen Idec Inc. | 114,922 | 36,236 |
* | Celgene Corp. | 387,736 | 33,299 |
Medtronic Inc. | 484,227 | 30,874 | |
Eli Lilly & Co. | 487,444 | 30,304 | |
Abbott Laboratories | 727,405 | 29,751 | |
* | Express Scripts Holding Co. | 375,532 | 26,036 |
Allergan Inc. | 144,501 | 24,452 | |
Thermo Fisher Scientific Inc. | 193,262 | 22,805 | |
Covidien plc | 217,964 | 19,656 | |
Baxter International Inc. | 262,759 | 18,998 | |
* | Actavis plc | 82,723 | 18,451 |
* | Alexion Pharmaceuticals Inc. | 95,676 | 14,949 |
WellPoint Inc. | 135,405 | 14,571 | |
Aetna Inc. | 173,072 | 14,033 | |
Cigna Corp. | 130,107 | 11,966 | |
* | Forest Laboratories Inc. | 118,110 | 11,693 |
Stryker Corp. | 137,789 | 11,618 | |
* | Illumina Inc. | 62,024 | 11,074 |
Becton Dickinson and Co. | 93,468 | 11,057 | |
* | Vertex Pharmaceuticals Inc. | 114,052 | 10,798 |
* | Regeneron | ||
Pharmaceuticals Inc. | 35,912 | 10,144 | |
Humana Inc. | 75,049 | 9,585 | |
St. Jude Medical Inc. | 137,495 | 9,522 | |
* | Mylan Inc. | 181,109 | 9,338 |
Perrigo Co. plc | 61,486 | 8,962 | |
* | HCA Holdings Inc. | 156,142 | 8,803 |
Zimmer Holdings Inc. | 81,880 | 8,504 | |
* | Boston Scientific Corp. | 641,532 | 8,192 |
Zoetis Inc. | 241,534 | 7,794 | |
* | Intuitive Surgical Inc. | 18,484 | 7,612 |
* | DaVita HealthCare | ||
Partners Inc. | 97,974 | 7,086 | |
CR Bard Inc. | 37,545 | 5,369 | |
* | Endo International plc | 70,129 | 4,910 |
* | Henry Schein Inc. | 41,260 | 4,896 |
* | CareFusion Corp. | 100,711 | 4,467 |
* | Edwards Lifesciences Corp. | 51,795 | 4,446 |
* | BioMarin Pharmaceutical Inc. | 70,286 | 4,373 |
Universal Health Services | |||
Inc. Class B | 44,245 | 4,237 | |
* | Laboratory Corp. of | ||
America Holdings | 41,179 | 4,217 | |
* | Varian Medical Systems Inc. | 50,108 | 4,166 |
* | Hospira Inc. | 80,411 | 4,131 |
* | Incyte Corp. Ltd. | 73,161 | 4,129 |
* | Waters Corp. | 39,298 | 4,104 |
Quest Diagnostics Inc. | 69,763 | 4,094 | |
* | Jazz Pharmaceuticals plc | 27,350 | 4,021 |
^ | ResMed Inc. | 68,411 | 3,464 |
* | IDEXX Laboratories Inc. | 25,000 | 3,339 |
DENTSPLY International Inc. | 68,613 | 3,249 |
Market | ||||
Value | ||||
Shares | ($000) | |||
* | Hologic Inc. | 113,063 | 2,866 | |
* | Pharmacyclics Inc. | 29,082 | 2,609 | |
* | Quintiles Transnational | |||
Holdings Inc. | 31,287 | 1,667 | ||
Patterson Cos. Inc. | 39,935 | 1,578 | ||
* | Envision Healthcare | |||
Holdings Inc. | 39,342 | 1,413 | ||
* | Intercept | |||
Pharmaceuticals Inc. | 5,813 | 1,376 | ||
1,124,501 | ||||
Industrials (11.8%) | ||||
General Electric Co. | 4,857,012 | 127,642 | ||
United Technologies Corp. | 422,015 | 48,722 | ||
3M Co. | 316,870 | 45,388 | ||
Union Pacific Corp. | 438,802 | 43,771 | ||
Boeing Co. | 318,399 | 40,510 | ||
United Parcel Service Inc. | ||||
Class B | 341,988 | 35,109 | ||
Honeywell International Inc. | 360,573 | 33,515 | ||
Caterpillar Inc. | 302,246 | 32,845 | ||
Accenture plc Class A | 306,525 | 24,779 | ||
Danaher Corp. | 288,139 | 22,685 | ||
Emerson Electric Co. | 340,145 | 22,572 | ||
Lockheed Martin Corp. | 131,704 | 21,169 | ||
FedEx Corp. | 135,938 | 20,578 | ||
Automatic Data | ||||
Processing Inc. | 233,566 | 18,517 | ||
Eaton Corp. plc | 231,007 | 17,829 | ||
Precision Castparts Corp. | 70,289 | 17,741 | ||
Illinois Tool Works Inc. | 189,812 | 16,620 | ||
General Dynamics Corp. | 140,846 | 16,416 | ||
Deere & Co. | 176,178 | 15,953 | ||
Norfolk Southern Corp. | 149,995 | 15,454 | ||
CSX Corp. | 487,547 | 15,021 | ||
Raytheon Co. | 152,222 | 14,042 | ||
Cummins Inc. | 88,976 | 13,728 | ||
TE Connectivity Ltd. | 198,430 | 12,271 | ||
Northrop Grumman Corp. | 93,272 | 11,158 | ||
PACCAR Inc. | 171,285 | 10,762 | ||
Tyco International Ltd. | 222,907 | 10,165 | ||
Waste Management Inc. | 213,802 | 9,563 | ||
Agilent Technologies Inc. | 161,229 | 9,261 | ||
Parker Hannifin Corp. | 72,117 | 9,067 | ||
* | LinkedIn Corp. Class A | 51,074 | 8,758 | |
Sherwin-Williams Co. | 41,130 | 8,510 | ||
Rockwell Automation Inc. | 67,070 | 8,394 | ||
Ingersoll-Rand plc | 124,187 | 7,763 | ||
WW Grainger Inc. | 29,948 | 7,615 | ||
Amphenol Corp. Class A | 76,449 | 7,365 | ||
Dover Corp. | 80,536 | 7,325 | ||
* | Fiserv Inc. | 120,670 | 7,279 | |
Roper Industries Inc. | 48,260 | 7,046 | ||
* | Alliance Data Systems Corp. | 24,953 | 7,018 | |
Fidelity National Information | ||||
Services Inc. | 126,678 | 6,934 |
58
Large-Cap Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Xerox Corp. | 544,594 | 6,775 | |
* | Pentair plc | 93,649 | 6,754 |
Paychex Inc. | 158,516 | 6,588 | |
Fastenal Co. | 129,473 | 6,408 | |
AMETEK Inc. | 118,589 | 6,200 | |
Fluor Corp. | 77,794 | 5,982 | |
Kansas City Southern | 53,302 | 5,731 | |
Rockwell Collins Inc. | 65,438 | 5,113 | |
Republic Services Inc. | |||
Class A | 130,917 | 4,971 | |
* | United Rentals Inc. | 47,191 | 4,942 |
Flowserve Corp. | 66,422 | 4,938 | |
* | Stericycle Inc. | 41,115 | 4,869 |
* | FleetCor Technologies Inc. | 36,155 | 4,765 |
* | B/E Aerospace Inc. | 50,957 | 4,713 |
Textron Inc. | 121,226 | 4,642 | |
* | Trimble Navigation Ltd. | 125,568 | 4,640 |
CH Robinson | |||
Worldwide Inc. | 71,714 | 4,575 | |
Pall Corp. | 53,060 | 4,531 | |
L-3 Communications | |||
Holdings Inc. | 37,307 | 4,505 | |
* | Verisk Analytics Inc. Class A | 72,655 | 4,361 |
Ball Corp. | 67,954 | 4,259 | |
Vulcan Materials Co. | 63,328 | 4,037 | |
Expeditors International of | |||
Washington Inc. | 90,723 | 4,006 | |
Masco Corp. | 173,010 | 3,841 | |
TransDigm Group Inc. | 22,912 | 3,832 | |
Wabtec Corp. | 44,401 | 3,667 | |
Rock-Tenn Co. Class A | 34,577 | 3,651 | |
* | Mettler-Toledo | ||
International Inc. | 14,237 | 3,605 | |
MeadWestvaco Corp. | 81,239 | 3,596 | |
Sealed Air Corp. | 104,637 | 3,575 | |
* | Quanta Services Inc. | 103,386 | 3,575 |
Towers Watson & Co. | |||
Class A | 34,146 | 3,559 | |
Chicago Bridge & Iron | |||
Co. NV | 51,944 | 3,543 | |
Xylem Inc. | 89,403 | 3,494 | |
* | Sensata Technologies | ||
Holding NV | 73,089 | 3,419 | |
JB Hunt Transport | |||
Services Inc. | 45,420 | 3,351 | |
* | Crown Holdings Inc. | 67,007 | 3,334 |
Manpowergroup Inc. | 38,378 | 3,256 | |
* | Jacobs Engineering | ||
Group Inc. | 60,763 | 3,237 | |
Cintas Corp. | 49,495 | 3,145 | |
Hubbell Inc. Class B | 25,199 | 3,103 | |
MDU Resources Group Inc. | 86,804 | 3,047 | |
Robert Half International Inc. | 62,941 | 3,005 | |
Joy Global Inc. | 48,585 | 2,992 | |
Martin Marietta | |||
Materials Inc. | 22,465 | 2,967 |
Market | ||||
Value | ||||
Shares | ($000) | |||
Avnet Inc. | 66,914 | 2,965 | ||
Donaldson Co. Inc. | 69,940 | 2,960 | ||
Iron Mountain Inc. | 83,351 | 2,955 | ||
ADT Corp. | 84,273 | 2,945 | ||
* | Arrow Electronics Inc. | 48,410 | 2,924 | |
* | Colfax Corp. | 38,991 | 2,906 | |
Timken Co. | 40,408 | 2,741 | ||
Allison Transmission | ||||
Holdings Inc. | 80,818 | 2,513 | ||
FLIR Systems Inc. | 68,312 | 2,372 | ||
AGCO Corp. | 40,902 | 2,300 | ||
SPX Corp. | 19,537 | 2,114 | ||
Owens Corning | 54,293 | 2,100 | ||
Fortune Brands Home | ||||
& Security Inc. | 39,807 | 1,590 | ||
* | Owens-Illinois Inc. | 39,567 | 1,371 | |
KBR Inc. | 35,588 | 849 | ||
1,065,564 | ||||
Oil & Gas (10.4%) | ||||
Exxon Mobil Corp. | 2,080,532 | 209,468 | ||
Chevron Corp. | 921,948 | 120,360 | ||
Schlumberger Ltd. | 629,877 | 74,294 | ||
ConocoPhillips | 594,882 | 50,999 | ||
Occidental Petroleum Corp. | 380,483 | 39,049 | ||
EOG Resources Inc. | 264,311 | 30,887 | ||
Halliburton Co. | 388,585 | 27,593 | ||
Anadarko Petroleum Corp. | 244,701 | 26,787 | ||
Phillips 66 | 274,059 | 22,043 | ||
Apache Corp. | 186,738 | 18,790 | ||
Williams Cos. Inc. | 322,117 | 18,750 | ||
National Oilwell Varco Inc. | 207,658 | 17,101 | ||
Pioneer Natural | ||||
Resources Co. | 69,153 | 15,892 | ||
Baker Hughes Inc. | 211,028 | 15,711 | ||
Devon Energy Corp. | 187,160 | 14,861 | ||
Hess Corp. | 136,916 | 13,540 | ||
Noble Energy Inc. | 174,291 | 13,501 | ||
Marathon Oil Corp. | 327,417 | 13,071 | ||
Valero Energy Corp. | 257,714 | 12,911 | ||
Kinder Morgan Inc. | 324,483 | 11,766 | ||
Marathon Petroleum Corp. | 125,734 | 9,816 | ||
Chesapeake Energy Corp. | 288,927 | 8,980 | ||
* | Concho Resources Inc. | 54,149 | 7,825 | |
* | Southwestern Energy Co. | 170,694 | 7,765 | |
* | Weatherford | |||
International plc | 336,099 | 7,730 | ||
EQT Corp. | 69,718 | 7,453 | ||
* | Cheniere Energy Inc. | 103,841 | 7,445 | |
* | FMC Technologies Inc. | 114,274 | 6,979 | |
Cabot Oil & Gas Corp. | 204,121 | 6,969 | ||
* | Cameron International Corp. | 98,869 | 6,694 | |
Range Resources Corp. | 75,330 | 6,550 | ||
Ensco plc Class A | 113,064 | 6,283 | ||
Cimarex Energy Co. | 42,022 | 6,028 | ||
Helmerich & Payne Inc. | 49,562 | 5,755 |
59
Large-Cap Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Murphy Oil Corp. | 83,097 | 5,524 | |
* | Whiting Petroleum Corp. | 57,493 | 4,614 |
HollyFrontier Corp. | 96,333 | 4,209 | |
Noble Corp. plc | 123,176 | 4,134 | |
Oceaneering | |||
International Inc. | 52,326 | 4,088 | |
Nabors Industries Ltd. | 136,654 | 4,014 | |
OGE Energy Corp. | 96,366 | 3,766 | |
Tesoro Corp. | 63,660 | 3,735 | |
Core Laboratories NV | 21,772 | 3,637 | |
* | Continental Resources Inc. | 22,514 | 3,558 |
Denbury Resources Inc. | 172,559 | 3,185 | |
Energen Corp. | 35,164 | 3,125 | |
* | Cobalt International | ||
Energy Inc. | 149,465 | 2,743 | |
SM Energy Co. | 32,443 | 2,728 | |
QEP Resources Inc. | 78,254 | 2,700 | |
* | Dresser-Rand Group Inc. | 37,068 | 2,362 |
^ | Diamond Offshore | ||
Drilling Inc. | 33,709 | 1,673 | |
* | Antero Resources Corp. | 25,286 | 1,660 |
Rowan Cos. plc Class A | 30,101 | 961 | |
932,062 | |||
Technology (16.1%) | |||
Apple Inc. | 2,921,201 | 271,467 | |
Microsoft Corp. | 3,600,728 | 150,150 | |
International Business | |||
Machines Corp. | 490,166 | 88,852 | |
* | Google Inc. Class C | 138,850 | 79,878 |
* | Google Inc. Class A | 136,430 | 79,767 |
Intel Corp. | 2,411,089 | 74,503 | |
Oracle Corp. | 1,619,709 | 65,647 | |
* | Facebook Inc. Class A | 965,104 | 64,942 |
QUALCOMM Inc. | 818,152 | 64,798 | |
Cisco Systems Inc. | 2,481,063 | 61,654 | |
Hewlett-Packard Co. | 917,528 | 30,902 | |
EMC Corp. | 991,610 | 26,119 | |
Texas Instruments Inc. | 523,732 | 25,029 | |
* | Micron Technology Inc. | 518,485 | 17,084 |
* | Adobe Systems Inc. | 229,620 | 16,615 |
* | salesforce.com inc | 282,637 | 16,416 |
* | Yahoo! Inc. | 439,826 | 15,451 |
* | Cognizant Technology | ||
Solutions Corp. Class A | 294,141 | 14,386 | |
Corning Inc. | 633,676 | 13,909 | |
Applied Materials Inc. | 589,881 | 13,302 | |
SanDisk Corp. | 109,259 | 11,410 | |
Intuit Inc. | 130,402 | 10,501 | |
Western Digital Corp. | 108,610 | 10,025 | |
Broadcom Corp. Class A | 259,248 | 9,623 | |
* | Twitter Inc. | 214,360 | 8,782 |
�� | Seagate Technology plc | 151,087 | 8,585 |
Analog Devices Inc. | 152,237 | 8,231 | |
Avago Technologies Ltd. | |||
Class A | 108,856 | 7,845 |
60
Market | |||
Value | |||
Shares | ($000) | ||
* | Cerner Corp. | 149,565 | 7,715 |
Symantec Corp. | 334,806 | 7,667 | |
Motorola Solutions Inc. | 110,465 | 7,354 | |
* | Autodesk Inc. | 109,654 | 6,182 |
Xilinx Inc. | 129,129 | 6,109 | |
NetApp Inc. | 160,564 | 5,864 | |
KLA-Tencor Corp. | 80,710 | 5,863 | |
Linear Technology Corp. | 113,927 | 5,363 | |
Altera Corp. | 153,952 | 5,351 | |
* | Juniper Networks Inc. | 217,972 | 5,349 |
Lam Research Corp. | 78,634 | 5,314 | |
* | Equinix Inc. | 24,131 | 5,070 |
* | Red Hat Inc. | 91,709 | 5,069 |
* | Akamai Technologies Inc. | 81,873 | 4,999 |
* | Citrix Systems Inc. | 79,314 | 4,961 |
NVIDIA Corp. | 260,920 | 4,837 | |
Maxim Integrated | |||
Products Inc. | 136,469 | 4,614 | |
Microchip Technology Inc. | 91,785 | 4,480 | |
Computer Sciences Corp. | 70,410 | 4,450 | |
* | Catamaran Corp. | 99,808 | 4,408 |
CA Inc. | 151,360 | 4,350 | |
Skyworks Solutions Inc. | 91,419 | 4,293 | |
* | Workday Inc. Class A | 45,602 | 4,098 |
* | F5 Networks Inc. | 36,511 | 4,069 |
* | VMware Inc. Class A | 41,149 | 3,984 |
Harris Corp. | 51,617 | 3,910 | |
* | ServiceNow Inc. | 59,419 | 3,682 |
Garmin Ltd. | 56,768 | 3,457 | |
* | ANSYS Inc. | 44,770 | 3,394 |
* | VeriSign Inc. | 64,794 | 3,163 |
* | Teradata Corp. | 77,226 | 3,104 |
*,^ | 3D Systems Corp. | 50,205 | 3,002 |
* | Gartner Inc. | 42,211 | 2,977 |
* | Cree Inc. | 58,956 | 2,945 |
* | Synopsys Inc. | 74,401 | 2,888 |
Marvell Technology | |||
Group Ltd. | 197,123 | 2,825 | |
* | Splunk Inc. | 48,058 | 2,659 |
* | Nuance | ||
Communications Inc. | 122,136 | 2,292 | |
* | Rackspace Hosting Inc. | 54,735 | 1,842 |
*,^ | FireEye Inc. | 35,205 | 1,428 |
* | NetSuite Inc. | 16,385 | 1,424 |
* | MICROS Systems Inc. | 18,332 | 1,245 |
* | IMS Health Holdings Inc. | 40,200 | 1,032 |
* | Informatica Corp. | 26,605 | 948 |
* | Premier Inc. Class A | 15,267 | 443 |
1,446,346 | |||
Telecommunications (2.5%) | |||
Verizon | |||
Communications Inc. | 2,006,302 | 98,169 | |
AT&T Inc. | 2,513,908 | 88,892 | |
CenturyLink Inc. | 279,758 | 10,127 |
Large-Cap Index Fund
Market | ||
Value | ||
Shares | ($000) | |
SBA Communications | ||
Corp. Class A | 62,127 | 6,356 |
T-Mobile US Inc. | 135,789 | 4,565 |
Level 3 | ||
Communications Inc. | 86,272 | 3,788 |
Sprint Corp. | 381,130 | 3,251 |
Windstream Holdings Inc. | 287,455 | 2,863 |
Frontier | ||
Communications Corp. | 482,740 | 2,819 |
220,830 | ||
Utilities (3.3%) | ||
Duke Energy Corp. | 342,744 | 25,428 |
NextEra Energy Inc. | 210,804 | 21,603 |
Dominion Resources Inc. | 281,398 | 20,126 |
Southern Co. | 431,680 | 19,590 |
Exelon Corp. | 415,006 | 15,139 |
Spectra Energy Corp. | 323,957 | 13,762 |
American Electric Power | ||
Co. Inc. | 236,240 | 13,175 |
Sempra Energy | 112,797 | 11,811 |
PPL Corp. | 304,985 | 10,836 |
PG&E Corp. | 225,148 | 10,812 |
Public Service Enterprise | ||
Group Inc. | 245,252 | 10,004 |
Edison International | 157,723 | 9,165 |
Consolidated Edison Inc. | 141,889 | 8,193 |
Xcel Energy Inc. | 243,221 | 7,839 |
Northeast Utilities | 152,518 | 7,210 |
Entergy Corp. | 86,380 | 7,091 |
FirstEnergy Corp. | 202,997 | 7,048 |
ONEOK Inc. | 100,680 | 6,854 |
DTE Energy Co. | 85,809 | 6,682 |
NRG Energy Inc. | 163,431 | 6,080 |
NiSource Inc. | 151,724 | 5,969 |
CenterPoint Energy Inc. | 207,137 | 5,290 |
Wisconsin Energy Corp. | 109,169 | 5,122 |
AES Corp. | 314,800 | 4,895 |
Ameren Corp. | 117,734 | 4,813 |
Calpine Corp. | 194,185 | 4,624 |
American Water Works | ||
Co. Inc. | 86,518 | 4,278 |
CMS Energy Corp. | 129,294 | 4,027 |
Pepco Holdings Inc. | 120,854 | 3,321 |
SCANA Corp. | 61,360 | 3,302 |
Alliant Energy Corp. | 53,623 | 3,263 |
Pinnacle West Capital Corp. | 53,185 | 3,076 |
National Fuel Gas Co. | 38,472 | 3,012 |
Integrys Energy Group Inc. | 38,911 | 2,768 |
296,208 | ||
Total Common Stocks | ||
(Cost $5,920,624) | 9,000,424 |
Market | |||
Value | |||
Shares | ($000) | ||
Temporary Cash Investments (0.1%)1 | |||
Money Market Fund (0.1%) | |||
2,3 | Vanguard Market Liquidity | ||
Fund, 0.111% | 9,573,000 | 9,573 | |
Face | |||
Amount | |||
($000) | |||
U.S. Government and Agency Obligations (0.0%) | |||
4,5 | Fannie Mae Discount Notes, | ||
0.075%, 10/15/14 | 200 | 200 | |
6 | Federal Home Loan Bank | ||
Discount Notes, | |||
0.060%, 8/13/14 | 1,000 | 1,000 | |
5,6 | Federal Home Loan Bank | ||
Discount Notes, | |||
0.080%, 9/5/14 | 200 | 200 | |
1,400 | |||
Total Temporary Cash Investments | |||
(Cost $10,973) | 10,973 | ||
Total Investments (100.1%) | |||
(Cost $5,931,597) | 9,011,397 | ||
Other Assets and Liabilities (-0.1%) | |||
Other Assets | 32,699 | ||
Liabilities3 | (39,202) | ||
(6,503) | |||
Net Assets (100%) | 9,004,894 |
61
Large-Cap Index Fund
At June 30, 2014, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 5,965,502 |
Overdistributed Net Investment Income | (1,712) |
Accumulated Net Realized Losses | (38,701) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 3,079,800 |
Futures Contracts | 5 |
Net Assets | 9,004,894 |
Investor Shares—Net Assets | |
Applicable to 11,090,204 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 403,222 |
Net Asset Value Per Share— | |
Investor Shares | $36.36 |
Admiral Shares—Net Assets | |
Applicable to 47,071,666 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 2,139,826 |
Net Asset Value Per Share— | |
Admiral Shares | $45.46 |
Amount | |
($000) | |
Signal Shares—Net Assets | |
Applicable to 12,902,860 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 511,629 |
Net Asset Value Per Share— | |
Signal Shares | $39.65 |
Institutional Shares—Net Assets | |
Applicable to 4,408,149 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 824,744 |
Net Asset Value Per Share— | |
Institutional Shares | $187.10 |
ETF Shares—Net Assets | |
Applicable to 56,942,984 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 5,125,473 |
Net Asset Value Per Share— | |
ETF Shares | $90.01 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $6,500,000.
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 0.1%, 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 $6,713,000 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 $400,000 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.
62
Large-Cap Index Fund
Statement of Operations
Six Months Ended | |
June 30, 2014 | |
($000) | |
Investment Income | |
Income | |
Dividends | 82,098 |
Interest1 | 15 |
Securities Lending | 108 |
Total Income | 82,221 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 701 |
Management and Administrative—Investor Shares | 356 |
Management and Administrative—Admiral Shares | 459 |
Management and Administrative—Signal Shares | 176 |
Management and Administrative—Institutional Shares | 133 |
Management and Administrative—ETF Shares | 1,301 |
Marketing and Distribution—Investor Shares | 47 |
Marketing and Distribution—Admiral Shares | 116 |
Marketing and Distribution—Signal Shares | 116 |
Marketing and Distribution—Institutional Shares | 99 |
Marketing and Distribution—ETF Shares | 378 |
Custodian Fees | 73 |
Shareholders’ Reports—Investor Shares | 7 |
Shareholders’ Reports—Admiral Shares | 9 |
Shareholders’ Reports—Signal Shares | 4 |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—ETF Shares | 40 |
Trustees’ Fees and Expenses | 3 |
Total Expenses | 4,018 |
Net Investment Income | 78,203 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 32,870 |
Futures Contracts | 2,697 |
Realized Net Gain (Loss) | 35,567 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 485,846 |
Futures Contracts | (793) |
Change in Unrealized Appreciation (Depreciation) | 485,053 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 598,823 |
1 Interest income from an affiliated company of the fund was $14,000. | |
See accompanying Notes, which are an integral part of the Financial Statements. |
63
Large-Cap Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2014 | 2013 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 78,203 | 143,299 |
Realized Net Gain (Loss) | 35,567 | 391,897 |
Change in Unrealized Appreciation (Depreciation) | 485,053 | 1,502,957 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 598,823 | 2,038,153 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (3,190) | (6,224) |
Admiral Shares | (16,100) | (23,807) |
Signal Shares | (6,135) | (15,483) |
Institutional Shares | (7,036) | (16,340) |
ETF Shares | (43,597) | (81,511) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Signal Shares | — | — |
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (76,058) | (143,365) |
Capital Share Transactions | ||
Investor Shares | (10,606) | 11,281 |
Admiral Shares | 596,920 | 146,933 |
Signal Shares | (462,331) | 87,247 |
Institutional Shares | 26,904 | (222,932) |
ETF Shares | 120,618 | 55,403 |
Net Increase (Decrease) from Capital Share Transactions | 271,505 | 77,932 |
Total Increase (Decrease) | 794,270 | 1,972,720 |
Net Assets | ||
Beginning of Period | 8,210,624 | 6,237,904 |
End of Period1 | 9,004,894 | 8,210,624 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($1,712,000) and ($3,857,000).
See accompanying Notes, which are an integral part of the Financial Statements.
64
Large-Cap Index Fund
Financial Highlights
Investor Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $34.24 | $26.32 | $23.16 | $23.25 | $20.47 | $16.41 |
Investment Operations | ||||||
Net Investment Income | .295 | .556 | .521 | .421 | .372 | .387 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.111 | 7.921 | 3.159 | (.095) | 2.791 | 4.075 |
Total from Investment Operations | 2.406 | 8.477 | 3.680 | .326 | 3.163 | 4.462 |
Distributions | ||||||
Dividends from Net Investment Income | (.286) | (.557) | (.520) | (.416) | (.383) | (.402) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.286) | (.557) | (.520) | (.416) | (.383) | (.402) |
Net Asset Value, End of Period | $36.36 | $34.24 | $26.32 | $23.16 | $23.25 | $20.47 |
Total Return1 | 7.05% | 32.45% | 15.94% | 1.44% | 15.63% | 27.60% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $403 | $391 | $290 | $293 | $307 | $448 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.23% | 0.24% | 0.24% | 0.24% | 0.26% | 0.26% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.75% | 1.82% | 2.08% | 1.81% | 1.78% | 2.24% |
Portfolio Turnover Rate2 | 4% | 9% | 8% | 7% | 8% | 8% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about
any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
65
Large-Cap Index Fund
Financial Highlights
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $42.81 | $32.90 | $28.96 | $29.07 | $25.59 | $20.51 |
Investment Operations | ||||||
Net Investment Income | .401 | .752 | .698 | .569 | .503 | .516 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.638 | 9.909 | 3.939 | (.116) | 3.495 | 5.097 |
Total from Investment Operations | 3.039 | 10.661 | 4.637 | .453 | 3.998 | 5.613 |
Distributions | ||||||
Dividends from Net Investment Income | (.389) | (.751) | (.697) | (.563) | (.518) | (.533) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.389) | (.751) | (.697) | (.563) | (.518) | (.533) |
Net Asset Value, End of Period | $45.46 | $42.81 | $32.90 | $28.96 | $29.07 | $25.59 |
Total Return1 | 7.13% | 32.66% | 16.06% | 1.60% | 15.81% | 27.80% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,140 | $1,438 | $981 | $796 | $698 | $328 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.09% | 0.10% | 0.10% | 0.12% | 0.12% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.89% | 1.97% | 2.22% | 1.95% | 1.92% | 2.38% |
Portfolio Turnover Rate2 | 4% | 9% | 8% | 7% | 8% | 8% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about
any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
66
Large-Cap Index Fund
Financial Highlights
Signal Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $37.34 | $28.70 | $25.26 | $25.36 | $22.32 | $17.89 |
Investment Operations | ||||||
Net Investment Income | .345 | .656 | .609 | .495 | .440 | .451 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.300 | 8.641 | 3.438 | (.105) | 3.052 | 4.446 |
Total from Investment Operations | 2.645 | 9.297 | 4.047 | .390 | 3.492 | 4.897 |
Distributions | ||||||
Dividends from Net Investment Income | (.335) | (.657) | (.607) | (.490) | (.452) | (.467) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.335) | (.657) | (.607) | (.490) | (.452) | (.467) |
Net Asset Value, End of Period | $39.65 | $37.34 | $28.70 | $25.26 | $25.36 | $22.32 |
Total Return | 7.11% | 32.65% | 16.07% | 1.58% | 15.83% | 27.81% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $512 | $925 | $637 | $520 | $381 | $247 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.09% | 0.10% | 0.10% | 0.12% | 0.12% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.89% | 1.97% | 2.22% | 1.95% | 1.92% | 2.38% |
Portfolio Turnover Rate1 | 4% | 9% | 8% | 7% | 8% | 8% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
67
Large-Cap Index Fund
Financial Highlights
Institutional Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $176.18 | $135.42 | $119.18 | $119.65 | $105.33 | $84.43 |
Investment Operations | ||||||
Net Investment Income | 1.654 | 3.105 | 2.903 | 2.366 | 2.111 | 2.160 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 10.873 | 40.761 | 16.234 | (.499) | 14.383 | 20.973 |
Total from Investment Operations | 12.527 | 43.866 | 19.137 | 1.867 | 16.494 | 23.133 |
Distributions | ||||||
Dividends from Net Investment Income | (1.607) | (3.106) | (2.897) | (2.337) | (2.174) | (2.233) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (1.607) | (3.106) | (2.897) | (2.337) | (2.174) | (2.233) |
Net Asset Value, End of Period | $187.10 | $176.18 | $135.42 | $119.18 | $119.65 | $105.33 |
Total Return | 7.14% | 32.65% | 16.11% | 1.60% | 15.85% | 27.84% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $825 | $750 | $752 | $504 | $276 | $306 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.90% | 1.98% | 2.24% | 1.97% | 1.96% | 2.42% |
Portfolio Turnover Rate1 | 4% | 9% | 8% | 7% | 8% | 8% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
68
Large-Cap Index Fund
Financial Highlights
ETF Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $84.76 | $65.15 | $57.34 | $57.56 | $50.67 | $40.61 |
Investment Operations | ||||||
Net Investment Income | .791 | 1.488 | 1.383 | 1.126 | .996 | 1.022 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 5.228 | 19.610 | 7.807 | (.234) | 6.920 | 10.095 |
Total from Investment Operations | 6.019 | 21.098 | 9.190 | .892 | 7.916 | 11.117 |
Distributions | ||||||
Dividends from Net Investment Income | (.769) | (1.488) | (1.380) | (1.112) | (1.026) | (1.057) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.769) | (1.488) | (1.380) | (1.112) | (1.026) | (1.057) |
Net Asset Value, End of Period | $90.01 | $84.76 | $65.15 | $57.34 | $57.56 | $50.67 |
Total Return | 7.13% | 32.65% | 16.09% | 1.58% | 15.81% | 27.80% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $5,125 | $4,707 | $3,577 | $3,021 | $2,858 | $2,489 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.09% | 0.10% | 0.10% | 0.12% | 0.12% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.89% | 1.97% | 2.22% | 1.95% | 1.92% | 2.38% |
Portfolio Turnover Rate1 | 4% | 9% | 8% | 7% | 8% | 8% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
69
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.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. 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. 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 performance and requires daily settlement of variation margin representing changes in the market value of each contract.
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).
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Large-Cap Index Fund
During the six months ended June 30, 2014, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.
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, 2010–2013), and for the period ended June 30, 2014, 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 lends 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 prequalified 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; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the absence of a default the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets 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. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $2.89 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at June 30, 2014, or at any time during the period then ended.
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. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. 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.
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Large-Cap Index Fund
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 based on 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, 2014, the fund had contributed capital of $908,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.36% 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, 2014, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 9,000,424 | — | — |
Temporary Cash Investments | 9,573 | 1,400 | — |
Futures Contracts—Assets1 | 1 | — | — |
Total | 9,009,998 | 1,400 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At June 30, 2014, 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 2014 | 67 | 6,541 | 5 |
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Large-Cap Index Fund
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, 2014, the fund realized $34,499,000 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, 2013, the fund had available capital losses totaling $38,914,000 to offset future net capital gains of $5,147,000 through December 31, 2017 and $33,767,000 through December 31, 2018. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2014; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2014, the cost of investment securities for tax purposes was $5,931,597,000. Net unrealized appreciation of investment securities for tax purposes was $3,079,800,000, consisting of unrealized gains of $3,177,963,000 on securities that had risen in value since their purchase and $98,163,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2014, the fund purchased $512,030,000 of investment securities and sold $216,393,000 of investment securities, other than temporary cash investments. Purchases and sales include $162,830,000 and $62,188,000, 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, 2014 | December 31, 2013 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 52,033 | 1,500 | 113,753 | 3,731 |
Issued in Lieu of Cash Distributions | 3,073 | 87 | 5,997 | 193 |
Redeemed | (65,712) | (1,906) | (108,469) | (3,553) |
Net Increase (Decrease)—Investor Shares | (10,606) | (319) | 11,281 | 371 |
Admiral Shares | ||||
Issued | 711,113 | 16,124 | 355,538 | 9,316 |
Issued in Lieu of Cash Distributions | 13,624 | 307 | 20,643 | 532 |
Redeemed | (127,817) | (2,951) | (229,248) | (6,081) |
Net Increase (Decrease)—Admiral Shares | 596,920 | 13,480 | 146,933 | 3,767 |
Signal Shares | ||||
Issued | 88,891 | 2,371 | 254,147 | 7,619 |
Issued in Lieu of Cash Distributions | 4,668 | 122 | 11,355 | 335 |
Redeemed | (555,890) | (14,378) | (178,255) | (5,379) |
Net Increase (Decrease)—Signal Shares | (462,331) | (11,885) | 87,247 | 2,575 |
Institutional Shares | ||||
Issued | 41,052 | 231 | 111,550 | 733 |
Issued in Lieu of Cash Distributions | 6,189 | 34 | 14,858 | 94 |
Redeemed | (20,337) | (113) | (349,340) | (2,125) |
Net Increase (Decrease)—Institutional Shares | 26,904 | 152 | (222,932) | (1,298) |
ETF Shares | ||||
Issued | 189,961 | 2,213 | 316,306 | 4,133 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (69,343) | (800) | (260,903) | (3,500) |
Net Increase (Decrease)—ETF Shares | 120,618 | 1,413 | 55,403 | 633 |
H. Management has determined that no material events or transactions occurred subsequent to June 30, 2014, that would require recognition or disclosure in these financial statements.
74
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.
75
Six Months Ended June 30, 2014 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
12/31/2013 | 6/30/2014 | Period | |
Based on Actual Fund Return | |||
Growth Index Fund | |||
Investor Shares | $1,000.00 | $1,069.30 | $1.18 |
Admiral Shares | 1,000.00 | 1,069.85 | 0.46 |
Signal Shares | 1,000.00 | 1,070.15 | 0.46 |
Institutional Shares | 1,000.00 | 1,069.89 | 0.41 |
ETF Shares | 1,000.00 | 1,070.01 | 0.46 |
Value Index Fund | |||
Investor Shares | $1,000.00 | $1,071.56 | $1.18 |
Admiral Shares | 1,000.00 | 1,072.32 | 0.46 |
Signal Shares | 1,000.00 | 1,072.15 | 0.46 |
Institutional Shares | 1,000.00 | 1,072.01 | 0.41 |
ETF Shares | 1,000.00 | 1,072.27 | 0.46 |
Large-Cap Index Fund | |||
Investor Shares | $1,000.00 | $1,070.51 | $1.18 |
Admiral Shares | 1,000.00 | 1,071.25 | 0.46 |
Signal Shares | 1,000.00 | 1,071.09 | 0.46 |
Institutional Shares | 1,000.00 | 1,071.37 | 0.41 |
ETF Shares | 1,000.00 | 1,071.29 | 0.46 |
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Six Months Ended June 30, 2014 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
12/31/2013 | 6/30/2014 | Period | |
Based on Hypothetical 5% Yearly Return | |||
Growth Index Fund | |||
Investor Shares | $1,000.00 | $1,023.65 | $1.15 |
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 | $1,023.65 | $1.15 |
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 | $1,023.65 | $1.15 |
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, 0.23% 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, 0.23% 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, 0.23% 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.
77
Trustees Approve Advisory Arrangements
The board of trustees of Vanguard Growth Index Fund, Value Index Fund, and Large-Cap Index Fund has renewed each fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard). Vanguard—through its Equity Investment Group—serves as the investment advisor for each fund. The board determined that continuing each fund’s internalized management structure was in the best interests of each 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 arrangements. 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 each 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 each advisory arrangement.
Investment performance
The board considered the short- and long-term performance of each 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 each 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 each fund’s advisory fee rate was also well below its peer-group average. 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 each fund’s 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 arrangements again after a one-year period.
78
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.
79
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 177 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. | |
F. William McNabb III | |
Born 1957. Trustee Since July 2009. Chairman of the | Amy Gutmann |
Board. Principal Occupation(s) During the Past Five | Born 1949. Trustee Since June 2006. Principal |
Years: Chairman of the Board of The Vanguard Group, | Occupation(s) During the Past Five Years: President of |
Inc., and of each of the investment companies served | the University of Pennsylvania; Christopher H. Browne |
by The Vanguard Group, since January 2010; Director | Distinguished Professor of Political Science, School of |
of The Vanguard Group since 2008; Chief Executive | Arts and Sciences, and Professor of Communication, |
Officer and President of The Vanguard Group, and of | Annenberg School for Communication, with secondary |
each of the investment companies served by The | faculty appointments in the Department of Philosophy, |
Vanguard Group, since 2008; Director of Vanguard | School of Arts and Sciences, and at the Graduate |
Marketing Corporation; Managing Director of The | School of Education, University of Pennsylvania; |
Vanguard Group (1995–2008). | Trustee of the National Constitution Center; Chair |
of the Presidential Commission for the Study of | |
Bioethical Issues. | |
IndependentTrustees | |
JoAnn Heffernan Heisen | |
Emerson U. Fullwood | Born 1950. Trustee Since July 1998. Principal |
Born 1948. Trustee Since January 2008. Principal | Occupation(s) During the Past Five Years: Corporate |
Occupation(s) During the Past Five Years: Executive | Vice President and Chief Global Diversity Officer |
Chief Staff and Marketing Officer for North America | (retired 2008) and Member of the Executive |
and Corporate Vice President (retired 2008) of Xerox | Committee (1997–2008) of Johnson & Johnson |
Corporation (document management products and | (pharmaceuticals/medical devices/consumer |
services); Executive in Residence and 2009–2010 | products); Director of Skytop Lodge Corporation |
Distinguished Minett Professor at the Rochester | (hotels), the University Medical Center at Princeton, |
Institute of Technology; Director of SPX Corporation | the Robert Wood Johnson Foundation, and the Center |
(multi-industry manufacturing), the United Way of | for Talent Innovation; Member of the Advisory Board |
Rochester, Amerigroup Corporation (managed health | of the Maxwell School of Citizenship and Public Affairs |
care), the University of Rochester Medical Center, | at Syracuse University. |
Monroe Community College Foundation, and North | |
Carolina A&T University. | F. Joseph Loughrey |
Born 1949. Trustee Since October 2009. Principal | |
Rajiv L. Gupta | Occupation(s) During the Past Five Years: President |
Born 1945. Trustee Since December 2001.2 | and Chief Operating Officer (retired 2009) of Cummins |
Principal Occupation(s) During the Past Five Years: | Inc. (industrial machinery); Chairman of the Board |
Chairman and Chief Executive Officer (retired 2009) | of Hillenbrand, Inc. (specialized consumer services), |
and President (2006–2008) of Rohm and Haas Co. | and of Oxfam America; Director of SKF AB (industrial |
(chemicals); Director of Tyco International, Ltd. | machinery), Hyster-Yale Materials Handling, Inc. |
(diversified manufacturing and services), Hewlett- | (forklift trucks), the Lumina Foundation for Education, |
Packard Co. (electronic computer manufacturing), |
and the V Foundation for Cancer Research; Member | Executive Officers | |
of the Advisory Council for the College of Arts and | ||
Letters and of the Advisory Board to the Kellogg | Glenn Booraem | |
Institute for International Studies, both at the | Born 1967. Controller Since July 2010. Principal | |
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 (retired 2013) | ||
at IBM (information technology services); Fiduciary | Thomas J. Higgins | |
Member of IBM’s Retirement Plan Committee (2004– | Born 1957. Chief Financial Officer Since September | |
2013); Member of the Council on Chicago Booth. | 2008. Principal Occupation(s) During the Past Five | |
Years: Principal of The Vanguard Group, Inc.; Chief | ||
Scott C. Malpass | Financial Officer of each of the investment companies | |
Born 1962. Trustee Since March 2012. Principal | served by The Vanguard Group; Treasurer of each of | |
Occupation(s) During the Past Five Years: Chief | the investment companies served by The Vanguard | |
Investment Officer and Vice President at the University | Group (1998–2008). | |
of Notre Dame; Assistant Professor of Finance at the | ||
Mendoza College of Business at Notre Dame; Member | Kathryn J. Hyatt | |
of the Notre Dame 403(b) Investment Committee; | Born 1955. Treasurer Since November 2008. Principal | |
Board Member of TIFF Advisory Services, Inc. | Occupation(s) During the Past Five Years: Principal of | |
(investment advisor); Member of the Investment | The Vanguard Group, Inc.; Treasurer of each of the | |
Advisory Committees of the Financial Industry | investment companies served by The Vanguard | |
Regulatory Authority (FINRA) and of Major League | Group; Assistant Treasurer of each of the investment | |
Baseball. | companies served by The Vanguard Group (1988–2008). | |
André F. Perold | Heidi Stam | |
Born 1952. Trustee Since December 2004. Principal | Born 1956. Secretary Since July 2005. Principal | |
Occupation(s) During the Past Five Years: George | Occupation(s) During the Past Five Years: Managing | |
Gund Professor of Finance and Banking, Emeritus | Director of The Vanguard Group, Inc.; General Counsel | |
at the Harvard Business School (retired 2011); | of The Vanguard Group; Secretary of The Vanguard | |
Chief Investment Officer and Managing Partner of | Group and of each of the investment companies | |
HighVista Strategies LLC (private investment firm); | served by The Vanguard Group; Director and Senior | |
Director of Rand Merchant Bank; Overseer of the | Vice President of Vanguard Marketing Corporation. | |
Museum of Fine Arts Boston. | ||
Vanguard Senior ManagementTeam | ||
Alfred M. Rankin, Jr. | ||
Born 1941. Trustee Since January 1993. Principal | Mortimer J. Buckley | Chris D. McIsaac |
Occupation(s) During the Past Five Years: Chairman, | Kathleen C. Gubanich | Michael S. Miller |
President, and Chief Executive Officer of NACCO | Paul A. Heller | James M. Norris |
Industries, Inc. (housewares/lignite), and of Hyster- | Martha G. King | Glenn W. Reed |
Yale Materials Handling, Inc. (forklift trucks); Chairman | John T. Marcante | |
of the Board of University Hospitals of Cleveland. | ||
Peter F. Volanakis | Chairman Emeritus and Senior Advisor | |
Born 1955. Trustee Since July 2009. Principal | ||
Occupation(s) During the Past Five Years: President | John J. Brennan | |
and Chief Operating Officer (retired 2010) of Corning | Chairman, 1996–2009 | |
Incorporated (communications equipment); Trustee of | Chief Executive Officer and President, 1996–2008 | |
Colby-Sawyer College; Member of the Advisory Board | ||
of the Norris Cotton Cancer Center and of the Advisory | Founder | |
Board of the Parthenon Group (strategy consulting). | ||
John C. Bogle | ||
Chairman and Chief Executive Officer, 1974–1996 |
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the
Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
![]() | |
P.O. Box 2600 | |
Valley Forge, PA 19482-2600 | |
Connect with Vanguard® > vanguard.com | |
Fund Information > 800-662-7447 | |
Direct Investor Account Services > 800-662-2739 | |
Institutional Investor Services > 800-523-1036 | |
Text Telephone for People | |
With Hearing Impairment > 800-749-7273 | |
This material may be used in conjunction | |
with the offering of shares of any Vanguard | |
fund only if preceded or accompanied by | |
the fund’s current prospectus. | |
All comparative mutual fund data are from Lipper, a | |
Thomson Reuters Company, 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. | |
© 2014 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q03072 082014 |
Semiannual Report | June 30, 2014
Vanguard Total Stock Market Index Fund
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Vanguard’s Principles for Investing Success
We want to give you the best chance of investment success. These principles,
grounded in Vanguard’s research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds.
Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
Fund Profile. | 8 |
Performance Summary. | 10 |
Financial Statements. | 11 |
About Your Fund’s Expenses. | 28 |
Trustees Approve Advisory Arrangement. | 30 |
Glossary. | 31 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice.
Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the
risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: The ship’s wheel represents leadership and guidance, essential qualities in navigating difficult seas.
This one is a replica based on an 18th-century British vessel. The HMSVanguard, another ship of that era, served as the
flagship for British Admiral Horatio Nelson when he defeated a French fleet at the Battle of the Nile.
Your Fund’s Total Returns
Six Months Ended June 30, 2014 | |
Total | |
Returns | |
Vanguard Total Stock Market Index Fund | |
Investor Shares | 6.93% |
Admiral™ Shares | 6.99 |
Signal® Shares | 6.98 |
Institutional Shares | 6.99 |
ETF Shares | |
Market Price | 7.00 |
Net Asset Value | 6.98 |
CRSP US Total Market Index | 7.00 |
Multi-Cap Core Funds Average | 6.21 |
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. Nos. 6,879,964; 7,337,138; 7,720,749; 7,925,573;
8,090,646; and 8,417,623.
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.
1
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Chairman’s Letter
Dear Shareholder,
U.S. stocks overcame a rough start to finish the half year near all-time highs as investors anticipated that the U.S. economy’s slow growth would still support a rise in corporate profits. Investors have also been encouraged by stimulus efforts in Europe and Asia and the low-interest rate environment in the United States even as the Federal Reserve has slowly withdrawn its monthly stimulus over the six-month period.
Vanguard Total Stock Market Index Fund returned about 7% for the six months ended June 30, 2014, closely tracking its target benchmark, the CRSP US Total Market Index. Its return was higher than the average return of its multi-cap core fund peers.
Stocks of all sizes and styles shared in the market’s gains. Value stocks outpaced growth stocks, a difference most notable in the small-capitalization arena, and mid-cap stocks surpassed both large-and small-caps. All ten industry sectors registered positive results.
After starting the half year slowly, stocks pushed higher
Although U.S. stocks began the period with a decline in January, they went on to advance in each of the next five months. Stocks were notably resilient, surging ahead after dips caused by turmoil in Iraq and conflict in Ukraine.
2
Citing the U.S. economy’s progress, the Fed has steadily trimmed its stimulative monthly bond-buying since January.
At the same time, investors have been reassured by the Fed’s decision to keep interest rates low for an extended period.
International stocks overall returned nearly 6%. Emerging markets stocks, which have rebounded sharply in recent months, were the top performers, followed by stocks of developed markets in Europe and then those in the Pacific region.
The period was strong for bonds as yields dropped and prices rose
Bond prices spent most of the six months regaining the ground they lost in 2013. Over the period, the broad U.S. taxable bond market returned 3.93%. The yieldof the benchmark 10-year Treasury note ended June at 2.54%, down from almost 3% on December 31. (Bond prices and yields move in opposite directions.)
Municipal bonds returned 6.00% amid support from the broad bond market rally, investors’ greater appetite for tax-exempt income, and a decline in the pool of new issues.
International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned 5.59%. In June, the European Central Bank made the unprecedented move of lowering a key interest rate below zero, to –0.10%, in an effort to avert deflation and induce banks to lend and thus fuel economic growth.
Market Barometer | |||
Total Returns | |||
Periods Ended June 30, 2014 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 7.27% | 25.35% | 19.25% |
Russell 2000 Index (Small-caps) | 3.19 | 23.64 | 20.21 |
Russell 3000 Index (Broad U.S. market) | 6.94 | 25.22 | 19.33 |
FTSE All-World ex US Index (International) | 5.75 | 21.93 | 11.40 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | 3.93% | 4.37% | 4.85% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 6.00 | 6.14 | 5.81 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.00 | 0.04 | 0.07 |
CPI | |||
Consumer Price Index | 2.27% | 2.07% | 2.02% |
3
Although the period was strong worldwide for bonds, it’s worth remembering that the current low yields imply lower future returns: As yields drop, the scope for further declines—and increases in prices—diminishes.
Returns remained tiny for money market funds and savings accounts because of the Fed’s target of 0%–0.25% for short-term interest rates.
All capitalizations, categories played parts in the fund’s result
Vanguard Total Stock Market Index Fund invests across all market-capitalization and style segments. Your fund benefited from this broad diversification and the market’s mostly balanced strength over the period.
As I mentioned earlier, mid-cap stocks surpassed their large- and small-cap counterparts, and value stocks trumped growth. But all joined in the market’s solid showing, and the Total Stock Market Index Fund was well poised to participate with its wide exposure to the different capitalizations and categories.
Your fund’s diversification among sectors also served it well. Some sectors performed better than others––as is always the case––but no sector subtracted from results.
The technology sector, the fund’s second-largest, contributed the most to the return. Some of the nation’s largest hardware, software, semiconductor, and internet companies thrived over the period. Global demand for the internet and smartphones
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% | 1.17% |
six months ended June 30, 2014, 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, a Thomson Reuters Company, and captures information through year-end 2013.
Peer group: Multi-Cap Core Funds.
4
has translated to revenues and profits for companies with the resources and business plans to succeed both at home and abroad. The growth of cloud-based computing has also boosted the sector, and the expected increase of electronic content in cars and industrial products has supported the volatile semiconductor group.
Health care stocks also excelled during the six months. Although there were concerns about certain biotechnology firms being overvalued earlier in the period, the subsector ultimately held up. Productive pipelines for new medicines and the projection of few patent losses have helped biotechnology and pharmaceutical giants. Despite unease about the effects of regulation on the managed care industry, health care providers also did well.
The oil and gas sector was also a strong one for the fund. Energy producers were boosted by several factors: geopolitical tensions in Eastern Europe and the Middle East, demand for natural gas during the severe U.S. winter, and growing reliance on oil in the developing world. Rising natural gas prices also contributed to the performance of the smallish utilities sector, which had the fund’s highest return at about 18%.
Financials, the fund’s largest sector, returned about 5%. Real estate investment trusts (REITs) and a few banks offset some weakness among consumer finance and investment services firms. Consumer goods, consumer services, industrials, and basic materials also recorded single-digit returns.
Don’t let complacencyset your portfolio adrift
At Vanguard, we often warn investors against letting their emotions become entangled with their investments. When the financial markets are in turmoil, for example, we’ll caution investors not to let fear lead to rash decisions. But complacency can also stand in the way of achieving your financial goals. And lately, conditions may have been leading investors to feel a little too comfortable.
Volatility, a hallmark of stock investing, seems to have vanished for the moment, and returns have been robust. In the more than five years since its March 2009 bottom, the broad U.S. stock market, as measured by the Russell 3000 Index, has produced average annual returns of about 26%. That’s more than double the market’s historical average annual return. And in recent weeks, several indexes have reached all-time highs.
The investment winds don’t always blow so favorably, of course. While the smooth sailing lasts, however, it creates risks of its own: In such a calm climate, it can be easy to lose sight of fundamentals, especially the importance of rebalancing. Without rebalancing—periodically adjusting your asset allocation so that it stays in line with your goals and risk tolerance—you can end up with a portfolio that’s very different from, and potentially riskier than, the one you intended to have.
5
Whether the market’s moving up, down, or sideways, we always encourage our clients to stay focused on the four keys to Vanguard’s timeless principles for investment success: goals, balance, cost, and discipline. (You can read more about our principles in Vanguard’s Principles for Investment Success, available at vanguard.com/research.)
As always, thank you for investing with Vanguard.
Sincerely,
![](https://capedge.com/proxy/N-CSRS/0000932471-14-006700/totalstockindex_q85x8x1.jpg)
F. William McNabb III
Chairman and Chief Executive Officer
July 11, 2014
6
Your Fund’s Performance at a Glance
December 31, 2013, Through June 30, 2014
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Total Stock Market Index Fund | ||||
Investor Shares | $46.67 | $49.51 | $0.382 | $0.000 |
Admiral Shares | 46.69 | 49.53 | 0.411 | 0.000 |
Signal Shares | 45.06 | 47.80 | 0.396 | 0.000 |
Institutional Shares | 46.69 | 49.53 | 0.412 | 0.000 |
ETF Shares | 95.91 | 101.74 | 0.843 | 0.000 |
7
Total Stock Market Index Fund
Fund Profile
As of June 30, 2014
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 | 1.70% | 1.82% | 1.82% | 1.82% | 1.82% |
Portfolio Characteristics | ||
CRSP US | ||
Total Market | ||
Fund | Index | |
Number of Stocks | 3,740 | 3,720 |
Median Market Cap | $45.5B | $44.7B |
Price/Earnings Ratio | 20.8x | 20.9x |
Price/Book Ratio | 2.7x | 2.7x |
Return on Equity | 17.7% | 17.5% |
Earnings Growth | ||
Rate | 14.4% | 14.2% |
Dividend Yield | 1.8% | 1.8% |
Foreign Holdings | 0.0% | 0.0% |
Turnover Rate | ||
(Annualized) | 4% | — |
Short-Term Reserves | 0.0% | — |
Sector Diversification (% of equity exposure) | ||
CRSP US | ||
Total Market | ||
Fund | Index | |
Basic Materials | 3.1% | 3.1% |
Consumer Goods | 9.8 | 9.8 |
Consumer Services | 13.0 | 12.9 |
Financials | 18.4 | 18.4 |
Health Care | 12.2 | 12.2 |
Industrials | 12.9 | 12.9 |
Oil & Gas | 9.7 | 9.8 |
Technology | 15.4 | 15.4 |
Telecommunications | 2.2 | 2.2 |
Utilities | 3.3 | 3.3 |
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) | ||
Apple Inc. | Computer Hardware | 2.6% |
Exxon Mobil Corp. | Integrated Oil & Gas | 2.0 |
Google Inc. | Internet | 1.5 |
Microsoft Corp. | Software | 1.4 |
Johnson & Johnson | Pharmaceuticals | 1.4 |
Wells Fargo & Co. | Banks | 1.3 |
General Electric Co. | Diversified Industrials | 1.2 |
Chevron Corp. | Integrated Oil & Gas | 1.1 |
Berkshire Hathaway Inc. | Reinsurance | 1.1 |
JPMorgan Chase & Co. | Banks | 1.0 |
Top Ten | 14.6% | |
The holdings listed exclude any temporary cash investments and equity index products. | ||
1 The expense ratios shown are from the prospectus dated April 28, 2014, and represent estimated costs for the current fiscal year. For the six
months ended June 30, 2014, 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.
8
Total Stock Market Index Fund
![](https://capedge.com/proxy/N-CSRS/0000932471-14-006700/totalstockindex_q85x11x1.jpg)
9
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, 2003, Through June 30, 2014
![](https://capedge.com/proxy/N-CSRS/0000932471-14-006700/totalstockindex_q85x12x1.jpg)
Average Annual Total Returns: Periods Ended June 30, 2014 | ||||
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 4/27/1992 | 25.04% | 19.29% | 8.31% |
Admiral Shares | 11/13/2000 | 25.18 | 19.44 | 8.42 |
Signal Shares | 9/1/2006 | 25.18 | 19.43 | 8.101 |
Institutional Shares | 7/7/1997 | 25.18 | 19.43 | 8.43 |
ETF Shares | 5/24/2001 | |||
Market Price | 25.24 | 19.44 | 8.42 | |
Net Asset Value | 25.18 | 19.43 | 8.42 | |
1 Return since inception. |
See Financial Highlights for dividend and capital gains information.
10
Total Stock Market Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of June 30, 2014
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 † | 10,689,174 | 3.1% | |
Consumer Goods | |||
Procter & Gamble Co. | 43,014,993 | 3,380,548 | 1.0% |
Coca-Cola Co. | 62,925,256 | 2,665,514 | 0.7% |
PepsiCo Inc. | 24,123,983 | 2,155,237 | 0.6% |
Philip Morris International Inc. | 23,773,512 | 2,004,345 | 0.6% |
Altria Group Inc. | 31,591,849 | 1,324,962 | 0.4% |
Consumer Goods—Other † | 22,393,479 | 6.4% | |
33,924,085 | 9.7% | ||
Consumer Services | |||
Walt Disney Co. | 24,792,686 | 2,125,725 | 0.6% |
Comcast Corp. Class A | 36,416,231 | 1,954,823 | 0.6% |
Wal-Mart Stores Inc. | 25,668,597 | 1,926,942 | 0.5% |
* Amazon.com Inc. | 5,859,436 | 1,903,028 | 0.5% |
Home Depot Inc. | 21,753,757 | 1,761,184 | 0.5% |
McDonald’s Corp. | 15,713,611 | 1,582,989 | 0.5% |
CVS Caremark Corp. | 18,607,271 | 1,402,430 | 0.4% |
Consumer Services—Other † | 32,169,342 | 9.3% | |
44,826,463 | 12.9% | ||
Financials | |||
Wells Fargo & Co. | 83,796,641 | 4,404,351 | 1.3% |
* Berkshire Hathaway Inc. Class B | 27,774,077 | 3,515,087 | 1.0% |
JPMorgan Chase & Co. | 60,217,228 | 3,469,717 | 1.0% |
Bank of America Corp. | 167,338,634 | 2,571,995 | 0.7% |
Citigroup Inc. | 45,916,428 | 2,162,664 | 0.6% |
Visa Inc. Class A | 7,946,930 | 1,674,498 | 0.5% |
American Express Co. | 16,846,163 | 1,598,195 | 0.5% |
American International Group Inc. | 23,003,859 | 1,255,551 | 0.4% |
* Berkshire Hathaway Inc. Class A | 863 | 163,884 | 0.0% |
Financials—Other † | 42,719,567 | 12.3% | |
63,535,509 | 18.3% |
11
Total Stock Market Index Fund
Market | Percentage | |||
Value | of Net | |||
Shares | ($000) | Assets | ||
Health Care | ||||
Johnson & Johnson | 45,019,345 | 4,709,924 | 1.3% | |
Pfizer Inc. | 101,392,111 | 3,009,318 | 0.9% | |
Merck & Co. Inc. | 46,514,192 | 2,690,846 | 0.8% | |
* | Gilead Sciences Inc. | 24,448,935 | 2,027,061 | 0.6% |
AbbVie Inc. | 25,313,601 | 1,428,700 | 0.4% | |
Amgen Inc. | 12,065,849 | 1,428,235 | 0.4% | |
Bristol-Myers Squibb Co. | 26,379,159 | 1,279,653 | 0.4% | |
UnitedHealth Group Inc. | 15,590,947 | 1,274,560 | 0.4% | |
Health Care—Other † | 24,512,824 | 7.0% | ||
42,361,121 | 12.2% | |||
Industrials | ||||
General Electric Co. | 159,516,602 | 4,192,096 | 1.2% | |
United Technologies Corp. | 13,852,509 | 1,599,272 | 0.5% | |
3M Co. | 10,401,996 | 1,489,982 | 0.4% | |
Union Pacific Corp. | 14,419,719 | 1,438,367 | 0.4% | |
Boeing Co. | 10,441,441 | 1,328,465 | 0.4% | |
Industrials—Other † | 34,649,635 | 10.0% | ||
44,697,817 | 12.9% | |||
Oil & Gas | ||||
Exxon Mobil Corp. | 68,317,679 | 6,878,224 | 2.0% | |
Chevron Corp. | 30,281,320 | 3,953,226 | 1.1% | |
Schlumberger Ltd. | 20,688,912 | 2,440,257 | 0.7% | |
ConocoPhillips | 19,525,891 | 1,673,955 | 0.5% | |
Occidental Petroleum Corp. | 12,498,490 | 1,282,720 | 0.4% | |
Oil & Gas—Other † | 17,512,659 | 5.0% | ||
33,741,041 | 9.7% | |||
Other † | 2,913 | 0.0% | ||
Technology | ||||
Apple Inc. | 95,942,967 | 8,915,980 | 2.6% | |
Microsoft Corp. | 118,295,378 | 4,932,917 | 1.4% | |
International Business Machines Corp. | 16,103,134 | 2,919,015 | 0.8% | |
* | Google Inc. Class A | 4,496,043 | 2,628,701 | 0.8% |
* | Google Inc. Class C | 4,547,977 | 2,616,360 | 0.7% |
Intel Corp. | 79,204,462 | 2,447,418 | 0.7% | |
Oracle Corp. | 53,214,959 | 2,156,802 | 0.6% | |
* | Facebook Inc. Class A | 31,727,330 | 2,134,932 | 0.6% |
QUALCOMM Inc. | 26,846,485 | 2,126,242 | 0.6% | |
Cisco Systems Inc. | 81,507,324 | 2,025,457 | 0.6% | |
Technology—Other † | 20,364,794 | 5.9% | ||
53,268,618 | 15.3% | |||
Telecommunications | ||||
Verizon Communications Inc. | 65,893,556 | 3,224,172 | 0.9% | |
AT&T Inc. | 82,582,310 | 2,920,111 | 0.9% | |
Telecommunications—Other † | 1,423,419 | 0.4% | ||
7,567,702 | 2.2% | |||
Utilities † | 11,466,885 | 3.3% | ||
Total Common Stocks (Cost $227,635,354) | 346,081,328 | 99.6%1 |
12
Total Stock Market Index Fund
Market | Percentage | |||
Value | of Net | |||
Coupon | Shares | ($000) | Assets | |
Temporary Cash Investments | ||||
Money Market Fund | ||||
2,3 Vanguard Market Liquidity Fund | 0.111% | 1,975,798,863 | 1,975,799 | 0.6% |
4U.S. Government and Agency Obligations † | 79,592 | 0.0% | ||
Total Temporary Cash Investments (Cost $2,055,393) | 2,055,391 | 0.6%1 | ||
5Total Investments (Cost $229,690,747) | 348,136,719 | 100.2% | ||
Other Assets and Liabilities | ||||
Other Assets | 870,978 | 0.3% | ||
Liabilities3 | (1,629,191) | (0.5%) | ||
(758,213) | (0.2%) | |||
Net Assets | 347,378,506 | 100.0% |
At June 30, 2014, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 232,030,882 |
Overdistributed Net Investment Income | (25,947) |
Accumulated Net Realized Losses | (3,091,429) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 118,445,972 |
Futures Contracts | 19,095 |
Swap Contracts | (67) |
Net Assets | 347,378,506 |
Investor Shares—Net Assets | |
Applicable to 2,312,980,111 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 114,516,479 |
Net Asset Value Per Share—Investor Shares | $49.51 |
Admiral Shares—Net Assets | |
Applicable to 2,002,180,588 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 99,159,024 |
Net Asset Value Per Share—Admiral Shares | $49.53 |
Signal Shares—Net Assets | |
Applicable to 192,191,639 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 9,186,336 |
Net Asset Value Per Share—Signal Shares | $47.80 |
Institutional Shares—Net Assets | |
Applicable to 1,612,845,806 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 79,888,905 |
Net Asset Value Per Share—Institutional Shares | $49.53 |
13
Total Stock Market Index Fund
Amount | |
($000) | |
ETF Shares—Net Assets | |
Applicable to 438,631,189 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 44,627,762 |
Net Asset Value Per Share—ETF Shares | $101.74 |
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 and equity swap contracts. After
giving effect to futures and swap 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 $809,422,000 of collateral received for securities on loan.
4 Securities with a value of $60,293,000 have been segregated as initial margin for open futures contracts.
5 The total value of securities on loan is $759,226,000.
See accompanying Notes, which are an integral part of the Financial Statements.
14
Total Stock Market Index Fund
Statement of Operations
Six Months Ended | |
June 30, 2014 | |
($000) | |
Investment Income | |
Income | |
Dividends | 2,981,769 |
Interest1 | 928 |
Securities Lending | 31,253 |
Total Income | 3,013,950 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 6,055 |
Management and Administrative—Investor Shares | 77,556 |
Management and Administrative—Admiral Shares | 13,508 |
Management and Administrative—Signal Shares | 1,008 |
Management and Administrative—Institutional Shares | 6,294 |
Management and Administrative—ETF Shares | 4,464 |
Marketing and Distribution—Investor Shares | 10,668 |
Marketing and Distribution—Admiral Shares | 6,563 |
Marketing and Distribution—Signal Shares | 1,368 |
Marketing and Distribution—Institutional Shares | 8,224 |
Marketing and Distribution—ETF Shares | 4,668 |
Custodian Fees | 1,505 |
Shareholders’ Reports—Investor Shares | 104 |
Shareholders’ Reports—Admiral Shares | 136 |
Shareholders’ Reports—Signal Shares | 19 |
Shareholders’ Reports—Institutional Shares | 21 |
Shareholders’ Reports—ETF Shares | 166 |
Trustees’ Fees and Expenses | 102 |
Total Expenses | 142,429 |
Net Investment Income | 2,871,521 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 2,668,602 |
Futures Contracts | 87,579 |
Swap Contracts | (11,524) |
Realized Net Gain (Loss) | 2,744,657 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 16,944,243 |
Futures Contracts | (15,834) |
Swap Contracts | (2,034) |
Change in Unrealized Appreciation (Depreciation) | 16,926,375 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 22,542,553 |
See accompanying Notes, which are an integral part of the Financial Statements.
15
Total Stock Market Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2014 | 2013 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 2,871,521 | 4,980,596 |
Realized Net Gain (Loss) | 2,744,657 | 1,818,521 |
Change in Unrealized Appreciation (Depreciation) | 16,926,375 | 67,277,064 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 22,542,553 | 74,076,181 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (875,786) | (1,729,931) |
Admiral Shares | (796,843) | (1,453,044) |
Signal Shares | (87,210) | (196,060) |
Institutional Shares | (641,745) | (1,027,734) |
ETF Shares | (365,274) | (639,967) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Signal Shares | — | — |
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (2,766,858) | (5,046,736) |
Capital Share Transactions | ||
Investor Shares | 2,932,539 | 1,154,267 |
Admiral Shares | 7,096,188 | 7,305,262 |
Signal Shares | (2,317,416) | 242,207 |
Institutional Shares | 9,610,434 | 12,750,062 |
ETF Shares | 2,948,945 | 6,481,221 |
Net Increase (Decrease) from Capital Share Transactions | 20,270,690 | 27,933,019 |
Total Increase (Decrease) | 40,046,385 | 96,962,464 |
Net Assets | ||
Beginning of Period | 307,332,121 | 210,369,657 |
End of Period1 | 347,378,506 | 307,332,121 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($25,947,000) and ($119,086,000). |
See accompanying Notes, which are an integral part of the Financial Statements.
16
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 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $46.67 | $35.64 | $31.29 | $31.56 | $27.45 | $21.80 |
Investment Operations | ||||||
Net Investment Income | .399 | .757 | .720 | .565 | .523 | .514 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.823 | 11.038 | 4.350 | (.273) | 4.117 | 5.651 |
Total from Investment Operations | 3.222 | 11.795 | 5.070 | .292 | 4.640 | 6.165 |
Distributions | ||||||
Dividends from Net Investment Income | (.382) | (.765) | (.720) | (.562) | (.530) | (.515) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.382) | (.765) | (.720) | (.562) | (.530) | (.515) |
Net Asset Value, End of Period | $49.51 | $46.67 | $35.64 | $31.29 | $31.56 | $27.45 |
Total Return1 | 6.93% | 33.35% | 16.25% | 0.96% | 17.09% | 28.70% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $114,516 | $105,008 | $78,936 | $62,668 | $56,063 | $58,004 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.17% | 0.17% | 0.17% | 0.17% | 0.17% | 0.18% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.76% | 1.84% | 2.11% | 1.79% | 1.85% | 2.22% |
Portfolio Turnover Rate 2 | 4% | 4% | 3% | 5% | 5% | 5% |
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
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $46.69 | $35.65 | $31.30 | $31.57 | $27.45 | $21.80 |
Investment Operations | ||||||
Net Investment Income | .426 | .807 | .761 | .602 | .554 | .539 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.825 | 11.047 | 4.350 | (.273) | 4.127 | 5.650 |
Total from Investment Operations | 3.251 | 11.854 | 5.111 | .329 | 4.681 | 6.189 |
Distributions | ||||||
Dividends from Net Investment Income | (.411) | (.814) | (.761) | (.599) | (.561) | (.539) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.411) | (.814) | (.761) | (.599) | (.561) | (.539) |
Net Asset Value, End of Period | $49.53 | $46.69 | $35.65 | $31.30 | $31.57 | $27.45 |
Total Return1 | 6.99% | 33.52% | 16.38% | 1.08% | 17.26% | 28.83% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $99,159 | $86,541 | $59,771 | $49,496 | $47,190 | $27,762 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.05% | 0.05% | 0.05% | 0.05% | 0.06% | 0.07% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.88% | 1.96% | 2.23% | 1.91% | 1.96% | 2.33% |
Portfolio Turnover Rate2 | 4% | 4% | 3% | 5% | 5% | 5% |
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
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 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $45.06 | $34.41 | $30.21 | $30.47 | $26.50 | $21.04 |
Investment Operations | ||||||
Net Investment Income | .412 | .778 | .735 | .581 | .535 | .520 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.724 | 10.658 | 4.200 | (.262) | 3.977 | 5.459 |
Total from Investment Operations | 3.136 | 11.436 | 4.935 | .319 | 4.512 | 5.979 |
Distributions | ||||||
Dividends from Net Investment Income | (.396) | (.786) | (.735) | (.579) | (.542) | (.519) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.396) | (.786) | (.735) | (.579) | (.542) | (.519) |
Net Asset Value, End of Period | $47.80 | $45.06 | $34.41 | $30.21 | $30.47 | $26.50 |
Total Return | 6.98% | 33.51% | 16.39% | 1.09% | 17.23% | 28.85% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $9,186 | $10,879 | $8,025 | $6,133 | $5,471 | $4,757 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.05% | 0.05% | 0.05% | 0.05% | 0.06% | 0.07% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.88% | 1.96% | 2.23% | 1.91% | 1.96% | 2.33% |
Portfolio Turnover Rate1 | 4% | 4% | 3% | 5% | 5% | 5% |
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
Institutional Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $46.69 | $35.66 | $31.30 | $31.57 | $27.46 | $21.81 |
Investment Operations | ||||||
Net Investment Income | .428 | .808 | .763 | .603 | .558 | .541 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.824 | 11.038 | 4.359 | (.272) | 4.117 | 5.650 |
Total from Investment Operations | 3.252 | 11.846 | 5.122 | .331 | 4.675 | 6.191 |
Distributions | ||||||
Dividends from Net Investment Income | (.412) | (.816) | (.762) | (.601) | (.565) | (.541) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.412) | (.816) | (.762) | (.601) | (.565) | (.541) |
Net Asset Value, End of Period | $49.53 | $46.69 | $35.66 | $31.30 | $31.57 | $27.46 |
Total Return | 6.99% | 33.49% | 16.42% | 1.09% | 17.23% | 28.83% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $79,889 | $65,738 | $39,367 | $29,467 | $23,785 | $16,047 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.04% | 0.04% | 0.04% | 0.04% | 0.05% | 0.06% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.89% | 1.97% | 2.24% | 1.92% | 1.97% | 2.34% |
Portfolio Turnover Rate1 | 4% | 4% | 3% | 5% | 5% | 5% |
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
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 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 |
Net Asset Value, Beginning of Period | $95.91 | $73.24 | $64.29 | $64.86 | $56.39 | $44.78 |
Investment Operations | ||||||
Net Investment Income | .876 | 1.657 | 1.564 | 1.238 | 1.133 | 1.106 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 5.797 | 22.686 | 8.949 | (.575) | 8.485 | 11.611 |
Total from Investment Operations | 6.673 | 24.343 | 10.513 | .663 | 9.618 | 12.717 |
Distributions | ||||||
Dividends from Net Investment Income | (.843) | (1.673) | (1.563) | (1.233) | (1.148) | (1.107) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.843) | (1.673) | (1.563) | (1.233) | (1.148) | (1.107) |
Net Asset Value, End of Period | $101.74 | $95.91 | $73.24 | $64.29 | $64.86 | $56.39 |
Total Return | 6.98% | 33.51% | 16.41% | 1.06% | 17.26% | 28.82% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $44,628 | $39,165 | $24,270 | $19,521 | $17,930 | $13,443 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.05% | 0.05% | 0.05% | 0.05% | 0.06% | 0.07% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.88% | 1.96% | 2.23% | 1.91% | 1.96% | 2.33% |
Portfolio Turnover Rate1 | 4% | 4% | 3% | 5% | 5% | 5% |
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
21
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.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. 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. 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.
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).
22
Total Stock Market Index Fund
During the six months ended June 30, 2014, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.
3. Swap Contracts: The fund has entered into equity swap contracts to earn the total return on selected reference stocks in the fund’s target index. Under the terms of the swaps, 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 in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until termination of the swap, at which time realized gain (loss) is recorded.
A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the 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, 2014, the fund’s average amounts of total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
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, 2010–2013), and for the period ended June 30, 2014, 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.
23
Total Stock Market Index Fund
6. Securities Lending: To earn additional income, the fund lends 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 prequalified counter-parties, 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; however, such actions may be subject to legal proceedings. While collateral mitigates counter-party risk, in the absence of a default the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets 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. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $2.89 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at June 30, 2014, or at any time during the period then ended.
8. 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. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. 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.
24
Total Stock Market 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 based on 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, 2014, the fund had contributed capital of $34,866,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 13.94% 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, 2014, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 346,077,090 | 99 | 4,139 |
Temporary Cash Investments | 1,975,799 | 79,592 | — |
Futures Contracts—Assets1 | 1,193 | — | — |
Swap Contracts—Liabilities | — | (67) | — |
Total | 348,054,082 | 79,624 | 4,139 |
1 Represents variation margin on the last day of the reporting period. |
D. At June 30, 2014, 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 2014 | 2,348 | 1,146,059 | 15,286 |
E-mini Russell 2000 Index | September 2014 | 957 | 113,912 | 3,014 |
E-mini S&P MidCap 400 Index | September 2014 | 240 | 34,303 | 735 |
E-mini S&P 500 Index | September 2014 | 130 | 12,690 | 60 |
19,095 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
25
Total Stock Market Index Fund
At June 30, 2014, 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 | 7/9/14 | GSI | 50,825 | (.552%) | (67) |
1 GSI—Goldman Sachs International. |
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, 2014, the fund realized $2,193,746,000 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.
Realized and unrealized gains (losses) on certain of the fund’s swap contracts are treated as ordinary income (loss) for tax purposes. Realized losses of $11,524,000 on swap contracts have been reclassified from accumulated net realized losses to overdistributed 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, 2013, the fund had available capital losses totaling $2,889,792,000 to offset future net capital gains. Of this amount, $2,283,002,000 is subject to expiration dates; $19,516,000 may be used to offset future net capital gains through December 31, 2015, and $2,263,486,000 through December 31, 2016. Capital losses of $606,790,000 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, 2014; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2014, the cost of investment securities for tax purposes was $229,700,662,000. Net unrealized appreciation of investment securities for tax purposes was $118,436,057,000, consisting of unrealized gains of $124,274,842,000 on securities that had risen in value since their purchase and $5,838,785,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2014, the fund purchased $29,802,077,000 of investment securities and sold $9,067,001,000 of investment securities, other than temporary cash investments. Purchases and sales include $5,111,654,000 and $3,344,979,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
26
Total Stock Market Index Fund
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2014 | December 31, 2013 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 7,692,685 | 164,695 | 12,266,763 | 300,373 |
Issued in Lieu of Cash Distributions | 871,713 | 18,063 | 1,721,975 | 41,022 |
Redeemed | (5,631,859) | (119,648) | (12,834,471) | (306,111) |
Net Increase (Decrease)—Investor Shares | 2,932,539 | 63,110 | 1,154,267 | 35,284 |
Admiral Shares | ||||
Issued | 10,564,683 | 222,381 | 13,336,091 | 322,900 |
Issued in Lieu of Cash Distributions | 702,204 | 14,539 | 1,287,181 | 30,594 |
Redeemed | (4,170,699) | (88,373) | (7,318,010) | (176,330) |
Net Increase (Decrease)—Admiral Shares | 7,096,188 | 148,547 | 7,305,262 | 177,164 |
Signal Shares | ||||
Issued | 1,496,132 | 33,024 | 3,462,726 | 87,006 |
Issued in Lieu of Cash Distributions | 76,898 | 1,656 | 172,682 | 4,261 |
Redeemed | (3,890,446) | (83,935) | (3,393,201) | (83,052) |
Net Increase (Decrease)—Signal Shares | (2,317,416) | (49,255) | 242,207 | 8,215 |
Institutional Shares | ||||
Issued | 11,805,563 | 251,314 | 16,902,913 | 404,366 |
Issued in Lieu of Cash Distributions | 609,814 | 12,623 | 965,838 | 22,878 |
Redeemed | (2,804,943) | (58,944) | (5,118,689) | (123,389) |
Net Increase (Decrease)—Institutional Shares | 9,610,434 | 204,993 | 12,750,062 | 303,855 |
ETF Shares | ||||
Issued | 6,149,269 | 63,386 | 9,888,388 | 115,881 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (3,200,324) | (33,100) | (3,407,167) | (38,900) |
Net Increase (Decrease)—ETF Shares | 2,948,945 | 30,286 | 6,481,221 | 76,981 |
H. Management has determined that no material events or transactions occurred subsequent to June 30, 2014, that would require recognition or disclosure in these financial statements.
27
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
28
Six Months Ended June 30, 2014 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
Total Stock Market Index Fund | 12/31/2013 | 6/30/2014 | Period |
Based on Actual Fund Return | |||
Investor Shares | $1,000.00 | $1,069.27 | $0.87 |
Admiral Shares | 1,000.00 | 1,069.88 | 0.26 |
Signal Shares | 1,000.00 | 1,069.85 | 0.26 |
Institutional Shares | 1,000.00 | 1,069.90 | 0.21 |
ETF Shares | 1,000.00 | 1,069.84 | 0.26 |
Based on Hypothetical 5% Yearly Return | |||
Investor Shares | $1,000.00 | $1,023.95 | $0.85 |
Admiral Shares | 1,000.00 | 1,024.55 | 0.25 |
Signal Shares | 1,000.00 | 1,024.55 | 0.25 |
Institutional Shares | 1,000.00 | 1,024.60 | 0.20 |
ETF Shares | 1,000.00 | 1,024.55 | 0.25 |
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.
29
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’s Equity Investment Group—through its Equity Index 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.
30
Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
Dividend Yield. Dividend income earned by stocks, expressed as a percentage of the aggregate market value (or of net asset value, for a fund). The yield is determined by dividing the amount of the annual dividends by the aggregate value (or net asset value) at the end of the period. For a fund, the dividend yield is based solely on stock holdings and does not include any income produced by other investments.
Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund.
Equity Exposure. A measure that reflects a fund’s investments in stocks and stock futures. Any holdings in short-term reserves are excluded.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Foreign Holdings. The percentage of a fund represented by securities or depositary receipts of companies based outside the United States.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it.
Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds.
31
Price/Earnings Ratio. The ratio of a stock’s current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company’s future growth.
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
Return on Equity. The annual average rate of return generated by a company during the past five years for each dollar of shareholder’s equity (net income divided by shareholder’s equity). For a fund, the weighted average return on equity for the companies whose stocks it holds.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Turnover Rate. An indication of the fund’s trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors). The turnover rate excludes in-kind transactions, which have minimal impact on costs.
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.
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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 177 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. | |
F. William McNabb III | |
Born 1957. Trustee Since July 2009. Chairman of the | Amy Gutmann |
Board. Principal Occupation(s) During the Past Five | Born 1949. Trustee Since June 2006. Principal |
Years: Chairman of the Board of The Vanguard Group, | Occupation(s) During the Past Five Years: President of |
Inc., and of each of the investment companies served | the University of Pennsylvania; Christopher H. Browne |
by The Vanguard Group, since January 2010; Director | Distinguished Professor of Political Science, School of |
of The Vanguard Group since 2008; Chief Executive | Arts and Sciences, and Professor of Communication, |
Officer and President of The Vanguard Group, and of | Annenberg School for Communication, with secondary |
each of the investment companies served by The | faculty appointments in the Department of Philosophy, |
Vanguard Group, since 2008; Director of Vanguard | School of Arts and Sciences, and at the Graduate |
Marketing Corporation; Managing Director of The | School of Education, University of Pennsylvania; |
Vanguard Group (1995–2008). | Trustee of the National Constitution Center; Chair |
of the Presidential Commission for the Study of | |
Bioethical Issues. | |
IndependentTrustees | |
JoAnn Heffernan Heisen | |
Emerson U. Fullwood | Born 1950. Trustee Since July 1998. Principal |
Born 1948. Trustee Since January 2008. Principal | Occupation(s) During the Past Five Years: Corporate |
Occupation(s) During the Past Five Years: Executive | Vice President and Chief Global Diversity Officer |
Chief Staff and Marketing Officer for North America | (retired 2008) and Member of the Executive |
and Corporate Vice President (retired 2008) of Xerox | Committee (1997–2008) of Johnson & Johnson |
Corporation (document management products and | (pharmaceuticals/medical devices/consumer |
services); Executive in Residence and 2009–2010 | products); Director of Skytop Lodge Corporation |
Distinguished Minett Professor at the Rochester | (hotels), the University Medical Center at Princeton, |
Institute of Technology; Director of SPX Corporation | the Robert Wood Johnson Foundation, and the Center |
(multi-industry manufacturing), the United Way of | for Talent Innovation; Member of the Advisory Board |
Rochester, Amerigroup Corporation (managed health | of the Maxwell School of Citizenship and Public Affairs |
care), the University of Rochester Medical Center, | at Syracuse University. |
Monroe Community College Foundation, and North | |
Carolina A&T University. | F. Joseph Loughrey |
Born 1949. Trustee Since October 2009. Principal | |
Rajiv L. Gupta | Occupation(s) During the Past Five Years: President |
Born 1945. Trustee Since December 2001.2 | and Chief Operating Officer (retired 2009) of Cummins |
Principal Occupation(s) During the Past Five Years: | Inc. (industrial machinery); Chairman of the Board |
Chairman and Chief Executive Officer (retired 2009) | of Hillenbrand, Inc. (specialized consumer services), |
and President (2006–2008) of Rohm and Haas Co. | and of Oxfam America; Director of SKF AB (industrial |
(chemicals); Director of Tyco International, Ltd. | machinery), Hyster-Yale Materials Handling, Inc. |
(diversified manufacturing and services), Hewlett- | (forklift trucks), the Lumina Foundation for Education, |
Packard Co. (electronic computer manufacturing), |
and the V Foundation for Cancer Research; Member | Executive Officers | |
of the Advisory Council for the College of Arts and | ||
Letters and of the Advisory Board to the Kellogg | Glenn Booraem | |
Institute for International Studies, both at the | Born 1967. Controller Since July 2010. Principal | |
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 (retired 2013) | ||
at IBM (information technology services); Fiduciary | Thomas J. Higgins | |
Member of IBM’s Retirement Plan Committee (2004– | Born 1957. Chief Financial Officer Since September | |
2013); Member of the Council on Chicago Booth. | 2008. Principal Occupation(s) During the Past Five | |
Years: Principal of The Vanguard Group, Inc.; Chief | ||
Scott C. Malpass | Financial Officer of each of the investment companies | |
Born 1962. Trustee Since March 2012. Principal | served by The Vanguard Group; Treasurer of each of | |
Occupation(s) During the Past Five Years: Chief | the investment companies served by The Vanguard | |
Investment Officer and Vice President at the University | Group (1998–2008). | |
of Notre Dame; Assistant Professor of Finance at the | ||
Mendoza College of Business at Notre Dame; Member | Kathryn J. Hyatt | |
of the Notre Dame 403(b) Investment Committee; | Born 1955. Treasurer Since November 2008. Principal | |
Board Member of TIFF Advisory Services, Inc. | Occupation(s) During the Past Five Years: Principal of | |
(investment advisor); Member of the Investment | The Vanguard Group, Inc.; Treasurer of each of the | |
Advisory Committees of the Financial Industry | investment companies served by The Vanguard | |
Regulatory Authority (FINRA) and of Major League | Group; Assistant Treasurer of each of the investment | |
Baseball. | companies served by The Vanguard Group (1988–2008). | |
André F. Perold | Heidi Stam | |
Born 1952. Trustee Since December 2004. Principal | Born 1956. Secretary Since July 2005. Principal | |
Occupation(s) During the Past Five Years: George | Occupation(s) During the Past Five Years: Managing | |
Gund Professor of Finance and Banking, Emeritus | Director of The Vanguard Group, Inc.; General Counsel | |
at the Harvard Business School (retired 2011); | of The Vanguard Group; Secretary of The Vanguard | |
Chief Investment Officer and Managing Partner of | Group and of each of the investment companies | |
HighVista Strategies LLC (private investment firm); | served by The Vanguard Group; Director and Senior | |
Director of Rand Merchant Bank; Overseer of the | Vice President of Vanguard Marketing Corporation. | |
Museum of Fine Arts Boston. | ||
Vanguard Senior ManagementTeam | ||
Alfred M. Rankin, Jr. | ||
Born 1941. Trustee Since January 1993. Principal | Mortimer J. Buckley | Chris D. McIsaac |
Occupation(s) During the Past Five Years: Chairman, | Kathleen C. Gubanich | Michael S. Miller |
President, and Chief Executive Officer of NACCO | Paul A. Heller | James M. Norris |
Industries, Inc. (housewares/lignite), and of Hyster- | Martha G. King | Glenn W. Reed |
Yale Materials Handling, Inc. (forklift trucks); Chairman | John T. Marcante | |
of the Board of University Hospitals of Cleveland. | ||
Peter F. Volanakis | Chairman Emeritus and Senior Advisor | |
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); Trustee of | ||
Colby-Sawyer College; Member of the Advisory Board | Founder | |
of the Norris Cotton Cancer Center and of the Advisory | John C. Bogle | |
Board of the Parthenon Group (strategy consulting). | Chairman and Chief Executive Officer, 1974–1996 | |
Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
![]() | |
P.O. Box 2600 | |
Valley Forge, PA 19482-2600 | |
Connect with Vanguard® > vanguard.com | |
Fund Information > 800-662-7447 | |
Direct Investor Account Services > 800-662-2739 | |
Institutional Investor Services > 800-523-1036 | |
Text Telephone for People | |
With Hearing Impairment > 800-749-7273 | |
This material may be used in conjunction | |
with the offering of shares of any Vanguard | |
fund only if preceded or accompanied by | |
the fund’s current prospectus. | |
All comparative mutual fund data are from Lipper, a | |
Thomson Reuters Company, 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. | |
© 2014 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q852 082014 |
Item 2: Code of Ethics.
Not Applicable.
Item 3:
Not Applicable.
Item 4: Principal Accountant Fees and Services.
Not. Applicable.
Item 5: Audit Committee of Listed Registrants.
Not Applicable.
Item 6: Investments.
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.9%)1 | |||
Basic Materials (4.3%) | |||
RPM International Inc. | 2,302,119 | 106,312 | |
Rockwood Holdings Inc. | 1,253,524 | 95,255 | |
Royal Gold Inc. | 1,062,543 | 80,881 | |
Allegheny Technologies Inc. | 1,782,015 | 80,369 | |
NewMarket Corp. | 177,837 | 69,732 | |
PolyOne Corp. | 1,626,181 | 68,527 | |
Steel Dynamics Inc. | 3,666,348 | 65,811 | |
Cytec Industries Inc. | 619,428 | 65,300 | |
^ | United States Steel Corp. | 2,500,020 | 65,100 |
* | Platform Specialty Products Corp. | 2,253,201 | 63,157 |
Cabot Corp. | 1,002,764 | 58,150 | |
Axiall Corp. | 1,207,994 | 57,102 | |
Compass Minerals International Inc. | 579,379 | 55,470 | |
Carpenter Technology Corp. | 871,386 | 55,115 | |
US Silica Holdings Inc. | 928,755 | 51,490 | |
Sensient Technologies Corp. | 854,482 | 47,612 | |
Domtar Corp. | 1,108,388 | 47,494 | |
* | KapStone Paper and Packaging Corp. | 1,407,884 | 46,643 |
* | Chemtura Corp. | 1,659,665 | 43,367 |
HB Fuller Co. | 865,518 | 41,631 | |
^ | Cliffs Natural Resources Inc. | 2,646,218 | 39,826 |
Minerals Technologies Inc. | 595,596 | 39,059 | |
Worthington Industries Inc. | 899,200 | 38,702 | |
^,* | Polypore International Inc. | 778,749 | 37,170 |
Olin Corp. | 1,364,782 | 36,740 | |
* | Stillwater Mining Co. | 2,069,708 | 36,323 |
Commercial Metals Co. | 2,034,180 | 35,212 | |
Balchem Corp. | 525,362 | 28,138 | |
Tronox Ltd. Class A | 1,026,665 | 27,617 | |
* | SunCoke Energy Inc. | 1,145,139 | 24,620 |
Globe Specialty Metals Inc. | 1,083,877 | 22,523 | |
Innophos Holdings Inc. | 378,865 | 21,811 | |
Kaiser Aluminum Corp. | 295,839 | 21,558 | |
* | Clearwater Paper Corp. | 335,346 | 20,698 |
* | Calgon Carbon Corp. | 920,911 | 20,564 |
Hecla Mining Co. | 5,926,195 | 20,445 | |
PH Glatfelter Co. | 743,922 | 19,736 | |
* | Cloud Peak Energy Inc. | 1,052,344 | 19,384 |
* | Resolute Forest Products Inc. | 1,143,365 | 19,186 |
* | Ferro Corp. | 1,501,150 | 18,854 |
A Schulman Inc. | 479,037 | 18,539 | |
OM Group Inc. | 554,386 | 17,979 | |
^,* | AK Steel Holding Corp. | 2,242,279 | 17,849 |
Stepan Co. | 328,165 | 17,347 | |
Innospec Inc. | 399,918 | 17,264 | |
Quaker Chemical Corp. | 216,875 | 16,654 | |
^,* | Intrepid Potash Inc. | 985,223 | 16,512 |
* | Coeur Mining Inc. | 1,786,881 | 16,404 |
* | Horsehead Holding Corp. | 875,391 | 15,985 |
^,* | Alpha Natural Resources Inc. | 3,820,444 | 14,174 |
* | RTI International Metals Inc. | 529,828 | 14,088 |
* | LSB Industries Inc. | 330,505 | 13,772 |
^ | Arch Coal Inc. | 3,663,419 | 13,371 |
* | Century Aluminum Co. | 842,723 | 13,214 |
Koppers Holdings Inc. | 335,178 | 12,821 | |
* | Kraton Performance Polymers Inc. | 565,748 | 12,667 |
Haynes International Inc. | 214,533 | 12,140 | |
Deltic Timber Corp. | 197,880 | 11,956 | |
Tredegar Corp. | 448,091 | 10,490 | |
* | Rentech Inc. | 3,742,836 | 9,694 |
^,* | Molycorp Inc. | 2,957,402 | 7,601 |
1
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Kronos Worldwide Inc. | 400,871 | 6,282 | |
FutureFuel Corp. | 374,990 | 6,221 | |
^ | Walter Energy Inc. | 1,139,003 | 6,208 |
^,* | Allied Nevada Gold Corp. | 1,622,976 | 6,102 |
American Vanguard Corp. | 422,737 | 5,589 | |
^ | Gold Resource Corp. | 490,412 | 2,481 |
NL Industries Inc. | 127,354 | 1,183 | |
2,147,271 | |||
Consumer Goods (7.6%) | |||
Hillshire Brands Co. | 2,119,660 | 132,055 | |
Harman International Industries Inc. | 1,176,526 | 126,394 | |
Snap-on Inc. | 1,006,191 | 119,254 | |
Goodyear Tire & Rubber Co. | 4,292,572 | 119,248 | |
* | Toll Brothers Inc. | 2,764,266 | 102,001 |
* | WhiteWave Foods Co. Class A | 3,004,149 | 97,244 |
Ingredion Inc. | 1,288,570 | 96,694 | |
Hanesbrands Inc. | 860,206 | 84,679 | |
* | Kate Spade & Co. | 2,186,387 | 83,389 |
Leggett & Platt Inc. | 2,395,688 | 82,124 | |
* | Middleby Corp. | 989,412 | 81,844 |
* | Visteon Corp. | 836,497 | 81,149 |
* | Hain Celestial Group Inc. | 822,534 | 72,992 |
Gentex Corp. | 2,394,871 | 69,667 | |
* | Tenneco Inc. | 1,051,798 | 69,103 |
Brunswick Corp. | 1,601,969 | 67,491 | |
Dana Holding Corp. | 2,708,219 | 66,135 | |
Tupperware Brands Corp. | 784,488 | 65,662 | |
Flowers Foods Inc. | 3,072,867 | 64,776 | |
* | Tempur Sealy International Inc. | 1,050,345 | 62,706 |
Carter's Inc. | 881,250 | 60,745 | |
* | Darling Ingredients Inc. | 2,843,402 | 59,427 |
* | Deckers Outdoor Corp. | 568,200 | 49,053 |
* | TreeHouse Foods Inc. | 603,566 | 48,328 |
Scotts Miracle-Gro Co. Class A | 794,081 | 45,151 | |
Thor Industries Inc. | 782,759 | 44,515 | |
Wolverine World Wide Inc. | 1,664,548 | 43,378 | |
Pool Corp. | 740,477 | 41,881 | |
* | Zynga Inc. Class A | 12,161,173 | 39,037 |
* | Post Holdings Inc. | 721,435 | 36,728 |
* | Take-Two Interactive Software Inc. | 1,624,252 | 36,123 |
* | Steven Madden Ltd. | 1,029,818 | 35,323 |
Sanderson Farms Inc. | 358,645 | 34,860 | |
* | Boston Beer Co. Inc. Class A | 151,172 | 33,790 |
Lancaster Colony Corp. | 354,190 | 33,705 | |
* | Iconix Brand Group Inc. | 751,743 | 32,280 |
Nu Skin Enterprises Inc. Class A | 432,810 | 32,011 | |
* | Skechers U.S.A. Inc. Class A | 690,285 | 31,546 |
Spectrum Brands Holdings Inc. | 364,345 | 31,345 | |
Cooper Tire & Rubber Co. | 1,041,785 | 31,254 | |
HNI Corp. | 779,088 | 30,470 | |
Ryland Group Inc. | 770,009 | 30,369 | |
Pinnacle Foods Inc. | 911,851 | 30,000 | |
B&G Foods Inc. | 901,429 | 29,468 | |
Herman Miller Inc. | 972,230 | 29,400 | |
KB Home | 1,566,668 | 29,265 | |
* | Helen of Troy Ltd. | 469,236 | 28,450 |
Dean Foods Co. | 1,534,009 | 26,983 | |
* | G-III Apparel Group Ltd. | 324,099 | 26,466 |
* | Dorman Products Inc. | 535,869 | 26,429 |
* | Meritage Homes Corp. | 608,065 | 25,666 |
Vector Group Ltd. | 1,206,443 | 24,949 | |
* | Pilgrim's Pride Corp. | 894,987 | 24,487 |
* | TiVo Inc. | 1,884,871 | 24,334 |
J&J Snack Foods Corp. | 258,406 | 24,321 |
2
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Snyder's-Lance Inc. | 908,232 | 24,032 | |
Andersons Inc. | 462,745 | 23,868 | |
* | Standard Pacific Corp. | 2,651,044 | 22,799 |
* | Crocs Inc. | 1,512,197 | 22,728 |
* | American Axle & Manufacturing Holdings Inc. | 1,176,676 | 22,227 |
Universal Corp. | 401,090 | 22,200 | |
Schweitzer-Mauduit International Inc. | 499,788 | 21,821 | |
Steelcase Inc. Class A | 1,410,505 | 21,341 | |
La-Z-Boy Inc. | 904,137 | 20,949 | |
Fresh Del Monte Produce Inc. | 673,008 | 20,628 | |
Interface Inc. Class A | 1,090,619 | 20,547 | |
MDC Holdings Inc. | 674,525 | 20,431 | |
Columbia Sportswear Co. | 240,876 | 19,908 | |
Drew Industries Inc. | 387,442 | 19,376 | |
^,* | iRobot Corp. | 458,352 | 18,770 |
WD-40 Co. | 245,653 | 18,478 | |
* | Select Comfort Corp. | 890,368 | 18,395 |
Cal-Maine Foods Inc. | 244,423 | 18,166 | |
Oxford Industries Inc. | 255,596 | 17,041 | |
* | Tumi Holdings Inc. | 820,239 | 16,511 |
Briggs & Stratton Corp. | 766,232 | 15,677 | |
* | Cooper-Standard Holding Inc. | 234,035 | 15,484 |
^,* | Seaboard Corp. | 5,117 | 15,455 |
* | Boulder Brands Inc. | 998,594 | 14,160 |
Knoll Inc. | 794,099 | 13,762 | |
Titan International Inc. | 785,997 | 13,220 | |
^,* | Eastman Kodak Co. | 539,576 | 13,203 |
* | Modine Manufacturing Co. | 822,268 | 12,942 |
* | Gentherm Inc. | 289,876 | 12,885 |
Movado Group Inc. | 306,713 | 12,781 | |
* | Taylor Morrison Home Corp. Class A | 566,794 | 12,708 |
* | ACCO Brands Corp. | 1,968,580 | 12,619 |
* | Blount International Inc. | 855,806 | 12,075 |
Ethan Allen Interiors Inc. | 450,358 | 11,142 | |
* | Diamond Foods Inc. | 378,867 | 10,684 |
* | Hovnanian Enterprises Inc. Class A | 2,039,781 | 10,505 |
* | Federal-Mogul Holdings Corp. | 519,106 | 10,501 |
* | Vince Holding Corp. | 285,593 | 10,458 |
* | Annie's Inc. | 294,751 | 9,968 |
Tootsie Roll Industries Inc. | 327,446 | 9,640 | |
* | USANA Health Sciences Inc. | 120,382 | 9,407 |
* | Elizabeth Arden Inc. | 436,813 | 9,357 |
* | RealD Inc. | 728,321 | 9,293 |
Inter Parfums Inc. | 294,256 | 8,695 | |
Superior Industries International Inc. | 399,067 | 8,229 | |
* | Quiksilver Inc. | 2,217,778 | 7,940 |
* | Chiquita Brands International Inc. | 730,525 | 7,926 |
* | Vera Bradley Inc. | 351,892 | 7,696 |
* | LeapFrog Enterprises Inc. | 1,016,801 | 7,473 |
National Presto Industries Inc. | 89,546 | 6,523 | |
* | Phibro Animal Health Corp. Class A | 256,465 | 5,629 |
* | Revlon Inc. Class A | 181,077 | 5,523 |
* | DTS Inc. | 293,579 | 5,405 |
* | Central Garden and Pet Co. Class A | 568,237 | 5,228 |
* | National Beverage Corp. | 200,340 | 3,790 |
* | Central Garden and Pet Co. | 149,126 | 1,357 |
3,725,700 | |||
Consumer Services (13.2%) | |||
Foot Locker Inc. | 2,519,363 | 127,782 | |
Gannett Co. Inc. | 3,918,401 | 122,685 | |
* | Rite Aid Corp. | 16,852,982 | 120,836 |
Omnicare Inc. | 1,710,852 | 113,891 | |
Alaska Air Group Inc. | 1,187,203 | 112,844 | |
* | Avis Budget Group Inc. | 1,820,927 | 108,691 |
3
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Pandora Media Inc. | 3,194,661 | 94,243 |
Dunkin' Brands Group Inc. | 1,837,307 | 84,167 | |
GameStop Corp. Class A | 1,979,796 | 80,122 | |
* | Spirit Airlines Inc. | 1,256,741 | 79,476 |
Dick's Sporting Goods Inc. | 1,688,751 | 78,628 | |
KAR Auction Services Inc. | 2,415,328 | 76,977 | |
* | Yelp Inc. Class A | 1,002,154 | 76,845 |
Lamar Advertising Co. Class A | 1,391,281 | 73,738 | |
Service Corp. International | 3,504,821 | 72,620 | |
Dun & Bradstreet Corp. | 639,531 | 70,476 | |
* | Copart Inc. | 1,957,422 | 70,389 |
Domino's Pizza Inc. | 961,092 | 70,246 | |
* | Sally Beauty Holdings Inc. | 2,797,105 | 70,151 |
International Game Technology | 4,267,453 | 67,895 | |
* | Panera Bread Co. Class A | 450,725 | 67,532 |
* | Madison Square Garden Co. Class A | 1,043,625 | 65,174 |
Cinemark Holdings Inc. | 1,794,162 | 63,442 | |
Cablevision Systems Corp. Class A | 3,552,866 | 62,708 | |
* | AMC Networks Inc. Class A | 994,518 | 61,153 |
* | Live Nation Entertainment Inc. | 2,424,115 | 59,851 |
^,* | SolarCity Corp. | 795,579 | 56,168 |
Brinker International Inc. | 1,122,146 | 54,592 | |
* | Groupon Inc. Class A | 8,220,924 | 54,423 |
Abercrombie & Fitch Co. | 1,257,300 | 54,378 | |
Graham Holdings Co. Class B | 75,422 | 54,161 | |
* | Buffalo Wild Wings Inc. | 326,527 | 54,109 |
* | Restoration Hardware Holdings Inc. | 578,191 | 53,801 |
GNC Holdings Inc. Class A | 1,572,792 | 53,632 | |
* | United Natural Foods Inc. | 814,459 | 53,021 |
Six Flags Entertainment Corp. | 1,232,761 | 52,454 | |
* | Apollo Education Group Inc. | 1,627,372 | 50,855 |
* | Cabela's Inc. | 797,522 | 49,765 |
Vail Resorts Inc. | 624,969 | 48,235 | |
* | VCA Inc. | 1,372,916 | 48,176 |
Dillard's Inc. Class A | 406,284 | 47,377 | |
* | Office Depot Inc. | 8,314,351 | 47,309 |
* | JetBlue Airways Corp. | 4,358,246 | 47,287 |
John Wiley & Sons Inc. Class A | 774,153 | 46,906 | |
Casey's General Stores Inc. | 664,778 | 46,727 | |
* | Starz | 1,543,600 | 45,984 |
* | Big Lots Inc. | 1,004,663 | 45,913 |
Sotheby's | 1,071,909 | 45,009 | |
* | Bally Technologies Inc. | 678,502 | 44,591 |
Men's Wearhouse Inc. | 787,173 | 43,924 | |
* | Time Inc. | 1,809,547 | 43,827 |
^,* | JC Penney Co. Inc. | 4,738,848 | 42,887 |
Sinclair Broadcast Group Inc. Class A | 1,232,879 | 42,843 | |
CST Brands Inc. | 1,241,088 | 42,818 | |
Chico's FAS Inc. | 2,515,024 | 42,655 | |
Aaron's Inc. | 1,185,425 | 42,249 | |
* | HomeAway Inc. | 1,211,218 | 42,175 |
Lions Gate Entertainment Corp. | 1,464,995 | 41,870 | |
Jack in the Box Inc. | 691,713 | 41,392 | |
Cracker Barrel Old Country Store Inc. | 411,490 | 40,972 | |
Wendy's Co. | 4,752,868 | 40,542 | |
DSW Inc. Class A | 1,432,670 | 40,029 | |
* | Ascena Retail Group Inc. | 2,234,271 | 38,206 |
* | OpenTable Inc. | 365,619 | 37,878 |
* | Murphy USA Inc. | 767,410 | 37,519 |
DeVry Education Group Inc. | 877,509 | 37,154 | |
* | Dolby Laboratories Inc. Class A | 857,868 | 37,060 |
* | Grand Canyon Education Inc. | 805,707 | 37,038 |
* | Asbury Automotive Group Inc. | 529,535 | 36,400 |
Lithia Motors Inc. Class A | 386,565 | 36,364 |
4
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Cheesecake Factory Inc. | 776,530 | 36,047 | |
New York Times Co. Class A | 2,323,681 | 35,343 | |
Penske Automotive Group Inc. | 704,001 | 34,848 | |
* | Lumber Liquidators Holdings Inc. | 450,021 | 34,179 |
Rollins Inc. | 1,135,161 | 34,055 | |
* | Five Below Inc. | 843,770 | 33,675 |
Hillenbrand Inc. | 1,030,741 | 33,623 | |
SeaWorld Entertainment Inc. | 1,166,158 | 33,037 | |
HSN Inc. | 551,421 | 32,666 | |
* | Genesco Inc. | 393,576 | 32,324 |
American Eagle Outfitters Inc. | 2,854,852 | 32,031 | |
Group 1 Automotive Inc. | 376,314 | 31,727 | |
* | Houghton Mifflin Harcourt Co. | 1,654,850 | 31,707 |
* | Bloomin' Brands Inc. | 1,410,908 | 31,647 |
* | Life Time Fitness Inc. | 635,416 | 30,970 |
Meredith Corp. | 637,090 | 30,810 | |
* | WebMD Health Corp. | 635,755 | 30,707 |
* | ANN Inc. | 728,051 | 29,952 |
* | SUPERVALU Inc. | 3,599,329 | 29,587 |
AMERCO | 101,604 | 29,542 | |
Regal Entertainment Group Class A | 1,373,101 | 28,972 | |
* | Acxiom Corp. | 1,329,476 | 28,836 |
* | Beacon Roofing Supply Inc. | 851,879 | 28,214 |
Texas Roadhouse Inc. Class A | 1,083,862 | 28,180 | |
* | Conversant Inc. | 1,099,537 | 27,928 |
Guess? Inc. | 1,030,965 | 27,836 | |
Monro Muffler Brake Inc. | 517,314 | 27,516 | |
Allegiant Travel Co. Class A | 231,947 | 27,316 | |
PriceSmart Inc. | 313,063 | 27,249 | |
* | Shutterfly Inc. | 632,208 | 27,223 |
^ | Chemed Corp. | 287,816 | 26,974 |
* | DreamWorks Animation SKG Inc. Class A | 1,128,099 | 26,240 |
* | Marriott Vacations Worldwide Corp. | 446,136 | 26,157 |
Morningstar Inc. | 347,656 | 24,965 | |
Rent-A-Center Inc. | 866,448 | 24,850 | |
Finish Line Inc. Class A | 833,609 | 24,792 | |
* | Pinnacle Entertainment Inc. | 978,068 | 24,628 |
* | Hibbett Sports Inc. | 447,728 | 24,253 |
* | Susser Holdings Corp. | 299,138 | 24,146 |
Choice Hotels International Inc. | 504,488 | 23,766 | |
* | Express Inc. | 1,382,724 | 23,548 |
* | Caesars Acquisition Co. Class A | 1,876,480 | 23,212 |
* | Vitamin Shoppe Inc. | 531,698 | 22,874 |
Papa John's International Inc. | 534,482 | 22,657 | |
Pier 1 Imports Inc. | 1,469,834 | 22,650 | |
^,* | Fresh Market Inc. | 668,977 | 22,391 |
DineEquity Inc. | 281,022 | 22,338 | |
^ | Buckle Inc. | 501,336 | 22,239 |
* | Orient-Express Hotels Ltd. Class A | 1,522,890 | 22,143 |
* | Bright Horizons Family Solutions Inc. | 510,102 | 21,904 |
^,* | Conn's Inc. | 436,979 | 21,582 |
Churchill Downs Inc. | 231,280 | 20,841 | |
Brown Shoe Co. Inc. | 716,390 | 20,496 | |
Bob Evans Farms Inc. | 404,935 | 20,267 | |
^,* | Media General Inc. | 984,942 | 20,221 |
* | comScore Inc. | 568,685 | 20,177 |
* | Sonic Corp. | 891,809 | 19,691 |
* | Bankrate Inc. | 1,085,328 | 19,037 |
Matthews International Corp. Class A | 448,466 | 18,643 | |
* | Popeyes Louisiana Kitchen Inc. | 412,078 | 18,012 |
^,* | Caesars Entertainment Corp. | 995,817 | 18,004 |
* | Krispy Kreme Doughnuts Inc. | 1,125,055 | 17,978 |
Children's Place Inc. | 358,231 | 17,779 | |
National CineMedia Inc. | 997,958 | 17,474 |
5
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Constant Contact Inc. | 541,960 | 17,402 |
* | Rush Enterprises Inc. Class A | 494,261 | 17,136 |
* | Barnes & Noble Inc. | 723,707 | 16,493 |
* | Burlington Stores Inc. | 509,181 | 16,223 |
* | Boyd Gaming Corp. | 1,309,569 | 15,885 |
Sonic Automotive Inc. Class A | 594,763 | 15,868 | |
Scholastic Corp. | 448,098 | 15,276 | |
International Speedway Corp. Class A | 458,088 | 15,245 | |
* | La Quinta Holdings Inc. | 783,312 | 14,993 |
* | Penn National Gaming Inc. | 1,221,063 | 14,824 |
* | RetailMeNot Inc. | 556,465 | 14,808 |
* | Ascent Capital Group Inc. Class A | 221,152 | 14,598 |
* | BJ's Restaurants Inc. | 417,283 | 14,567 |
Interval Leisure Group Inc. | 647,589 | 14,208 | |
^,* | Lands' End Inc. | 414,481 | 13,918 |
* | Sabre Corp. | 684,649 | 13,727 |
* | Diamond Resorts International Inc. | 586,048 | 13,637 |
^,* | Clean Energy Fuels Corp. | 1,162,997 | 13,630 |
Cato Corp. Class A | 431,944 | 13,347 | |
* | K12 Inc. | 546,001 | 13,142 |
Nexstar Broadcasting Group Inc. Class A | 251,617 | 12,986 | |
* | Mattress Firm Holding Corp. | 264,633 | 12,636 |
Regis Corp. | 784,416 | 11,045 | |
* | Francesca's Holdings Corp. | 730,307 | 10,765 |
* | Biglari Holdings Inc. | 25,291 | 10,697 |
* | Zumiez Inc. | 376,799 | 10,396 |
* | FTD Cos. Inc. | 327,006 | 10,396 |
Capella Education Co. | 190,811 | 10,378 | |
SkyWest Inc. | 839,879 | 10,263 | |
^ | CBS Outdoor Americas Inc. | 311,396 | 10,176 |
* | Pep Boys-Manny Moe & Jack | 875,042 | 10,028 |
* | Steiner Leisure Ltd. | 228,881 | 9,908 |
^ | Weight Watchers International Inc. | 490,108 | 9,886 |
* | Scientific Games Corp. Class A | 874,829 | 9,728 |
Stage Stores Inc. | 519,970 | 9,718 | |
* | Strayer Education Inc. | 178,183 | 9,356 |
* | American Public Education Inc. | 272,095 | 9,355 |
ClubCorp Holdings Inc. | 501,544 | 9,299 | |
Fred's Inc. Class A | 605,749 | 9,262 | |
^,* | Noodles & Co. Class A | 268,029 | 9,218 |
* | Angie's List Inc. | 759,256 | 9,066 |
AMC Entertainment Holdings Inc. | 354,366 | 8,813 | |
Weis Markets Inc. | 186,077 | 8,509 | |
^,* | Container Store Group Inc. | 290,382 | 8,067 |
* | Cumulus Media Inc. Class A | 1,220,623 | 8,044 |
* | New Media Investment Group Inc. | 519,386 | 7,329 |
* | Ruby Tuesday Inc. | 956,707 | 7,261 |
^,* | Coupons.com Inc. | 268,236 | 7,057 |
* | Liquidity Services Inc. | 443,892 | 6,996 |
^,* | Tile Shop Holdings Inc. | 443,202 | 6,777 |
* | ITT Educational Services Inc. | 404,317 | 6,748 |
Harte-Hanks Inc. | 923,307 | 6,639 | |
Clear Channel Outdoor Holdings Inc. Class A | 728,475 | 5,959 | |
* | Blue Nile Inc. | 209,499 | 5,866 |
^,* | SFX Entertainment Inc. | 694,805 | 5,628 |
* | Rush Enterprises Inc. Class B | 147,211 | 4,630 |
^,* | Aeropostale Inc. | 1,224,531 | 4,274 |
* | Sears Hometown and Outlet Stores Inc. | 196,723 | 4,224 |
Speedway Motorsports Inc. | 214,987 | 3,924 | |
* | Demand Media Inc. | 786,076 | 3,789 |
* | Potbelly Corp. | 227,758 | 3,635 |
* | Bridgepoint Education Inc. | 273,066 | 3,626 |
^ | World Wrestling Entertainment Inc. Class A | 270,127 | 3,223 |
* | RealNetworks Inc. | 403,507 | 3,079 |
6
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Travelzoo Inc. | 114,773 | 2,221 |
^,* | Fairway Group Holdings Corp. | 328,902 | 2,187 |
^,* | hhgregg Inc. | 196,939 | 2,003 |
* | QuinStreet Inc. | 246,331 | 1,357 |
^,* | RadioShack Corp. | 952,034 | 943 |
* | ReachLocal Inc. | 87,468 | 615 |
^,* | Education Management Corp. | 178,123 | 301 |
* | Avid Technology Inc. | 130 | 1 |
6,485,127 | |||
Financials (23.6%) | |||
Arthur J Gallagher & Co. | 2,714,177 | 126,481 | |
NorthStar Realty Finance Corp. | 6,265,465 | 108,894 | |
* | E*TRADE Financial Corp. | 4,985,105 | 105,983 |
Duke Realty Corp. | 5,692,693 | 103,379 | |
Extra Space Storage Inc. | 1,902,999 | 101,335 | |
* | SVB Financial Group | 862,722 | 100,611 |
WP Carey Inc. | 1,544,821 | 99,486 | |
Liberty Property Trust | 2,551,770 | 96,789 | |
* | Signature Bank | 757,750 | 95,613 |
Mid-America Apartment Communities Inc. | 1,295,880 | 94,664 | |
Protective Life Corp. | 1,362,375 | 94,453 | |
DDR Corp. | 5,277,033 | 93,034 | |
* | Howard Hughes Corp. | 581,951 | 91,849 |
Starwood Property Trust Inc. | 3,824,981 | 90,920 | |
Regency Centers Corp. | 1,595,344 | 88,829 | |
Kilroy Realty Corp. | 1,424,583 | 88,723 | |
Waddell & Reed Financial Inc. Class A | 1,398,811 | 87,552 | |
East West Bancorp Inc. | 2,477,097 | 86,674 | |
* | Liberty Ventures Class A | 1,162,050 | 85,759 |
Senior Housing Properties Trust | 3,519,728 | 85,494 | |
HCC Insurance Holdings Inc. | 1,725,985 | 84,470 | |
Apartment Investment & Management Co. Class A | 2,524,210 | 81,456 | |
Omega Healthcare Investors Inc. | 2,177,581 | 80,266 | |
National Retail Properties Inc. | 2,128,389 | 79,155 | |
Taubman Centers Inc. | 1,038,350 | 78,717 | |
Hospitality Properties Trust | 2,587,061 | 78,647 | |
Cullen/Frost Bankers Inc. | 947,074 | 75,217 | |
Eaton Vance Corp. | 1,974,888 | 74,631 | |
Spirit Realty Capital Inc. | 6,488,396 | 73,708 | |
CBOE Holdings Inc. | 1,485,239 | 73,089 | |
BioMed Realty Trust Inc. | 3,325,990 | 72,606 | |
PacWest Bancorp | 1,673,338 | 72,238 | |
Prosperity Bancshares Inc. | 1,144,534 | 71,648 | |
RenaissanceRe Holdings Ltd. | 665,523 | 71,211 | |
^,* | Zillow Inc. Class A | 492,751 | 70,429 |
American Campus Communities Inc. | 1,812,458 | 69,308 | |
American Financial Group Inc. | 1,160,200 | 69,102 | |
Assured Guaranty Ltd. | 2,793,566 | 68,442 | |
* | Investors Bancorp Inc. | 6,188,765 | 68,386 |
Umpqua Holdings Corp. | 3,747,928 | 67,163 | |
Old Republic International Corp. | 4,051,378 | 67,010 | |
CNO Financial Group Inc. | 3,764,028 | 67,000 | |
Douglas Emmett Inc. | 2,358,251 | 66,550 | |
Two Harbors Investment Corp. | 6,324,427 | 66,280 | |
Corrections Corp. of America | 2,010,487 | 66,044 | |
Brown & Brown Inc. | 2,129,011 | 65,382 | |
Highwoods Properties Inc. | 1,557,049 | 65,318 | |
Commerce Bancshares Inc. | 1,397,808 | 64,998 | |
LaSalle Hotel Properties | 1,797,876 | 63,447 | |
Home Properties Inc. | 987,045 | 63,131 | |
Retail Properties of America Inc. | 4,087,140 | 62,860 | |
Weingarten Realty Investors | 1,899,533 | 62,381 | |
RLJ Lodging Trust | 2,148,539 | 62,071 | |
Allied World Assurance Co. Holdings AG | 1,617,541 | 61,499 |
7
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
City National Corp. | 807,133 | 61,148 | |
Equity Lifestyle Properties Inc. | 1,367,648 | 60,395 | |
* | Alleghany Corp. | 135,104 | 59,192 |
* | Forest City Enterprises Inc. Class A | 2,966,900 | 58,952 |
* | Popular Inc. | 1,698,361 | 58,050 |
Validus Holdings Ltd. | 1,490,047 | 56,979 | |
Chimera Investment Corp. | 17,751,766 | 56,628 | |
FirstMerit Corp. | 2,856,623 | 56,418 | |
Columbia Property Trust Inc. | 2,159,025 | 56,156 | |
BankUnited Inc. | 1,668,313 | 55,855 | |
Synovus Financial Corp. | 2,281,062 | 55,612 | |
Tanger Factory Outlet Centers Inc. | 1,573,009 | 55,008 | |
* | MGIC Investment Corp. | 5,848,316 | 54,038 |
American Homes 4 Rent Class A | 3,034,101 | 53,886 | |
CommonWealth REIT | 2,046,204 | 53,856 | |
First Niagara Financial Group Inc. | 6,141,056 | 53,673 | |
CBL & Associates Properties Inc. | 2,794,492 | 53,095 | |
Gaming and Leisure Properties Inc. | 1,549,703 | 52,643 | |
MFA Financial Inc. | 6,334,138 | 52,003 | |
Sunstone Hotel Investors Inc. | 3,478,428 | 51,933 | |
EPR Properties | 923,696 | 51,607 | |
* | Portfolio Recovery Associates Inc. | 864,852 | 51,485 |
Aspen Insurance Holdings Ltd. | 1,130,311 | 51,339 | |
* | Stifel Financial Corp. | 1,074,629 | 50,884 |
Federated Investors Inc. Class B | 1,633,998 | 50,523 | |
Piedmont Office Realty Trust Inc. Class A | 2,665,175 | 50,478 | |
* | Washington Prime Group Inc. | 2,683,493 | 50,289 |
Hancock Holding Co. | 1,421,628 | 50,212 | |
Post Properties Inc. | 938,791 | 50,188 | |
Associated Banc-Corp | 2,754,725 | 49,805 | |
Healthcare Trust of America Inc. Class A | 4,099,641 | 49,360 | |
Webster Financial Corp. | 1,560,304 | 49,212 | |
First American Financial Corp. | 1,754,120 | 48,747 | |
First Horizon National Corp. | 4,087,269 | 48,475 | |
StanCorp Financial Group Inc. | 755,560 | 48,356 | |
Radian Group Inc. | 3,259,347 | 48,271 | |
Hanover Insurance Group Inc. | 761,185 | 48,069 | |
DCT Industrial Trust Inc. | 5,662,039 | 46,485 | |
* | Strategic Hotels & Resorts Inc. | 3,969,308 | 46,481 |
ProAssurance Corp. | 1,025,683 | 45,540 | |
Primerica Inc. | 943,657 | 45,154 | |
Bank of Hawaii Corp. | 767,617 | 45,051 | |
Geo Group Inc. | 1,254,008 | 44,806 | |
UMB Financial Corp. | 706,528 | 44,787 | |
Sovran Self Storage Inc. | 569,741 | 44,012 | |
CubeSmart | 2,368,309 | 43,387 | |
DiamondRock Hospitality Co. | 3,380,646 | 43,340 | |
TCF Financial Corp. | 2,590,800 | 42,411 | |
Brandywine Realty Trust | 2,712,919 | 42,322 | |
White Mountains Insurance Group Ltd. | 69,328 | 42,182 | |
Healthcare Realty Trust Inc. | 1,658,982 | 42,171 | |
Corporate Office Properties Trust | 1,513,425 | 42,088 | |
Pebblebrook Hotel Trust | 1,103,847 | 40,798 | |
Assurant Inc. | 618,788 | 40,562 | |
Cousins Properties Inc. | 3,256,639 | 40,545 | |
Fulton Financial Corp. | 3,264,711 | 40,450 | |
Financial Engines Inc. | 888,805 | 40,245 | |
* | Texas Capital Bancshares Inc. | 743,946 | 40,136 |
American National Insurance Co. | 349,139 | 39,872 | |
Washington Federal Inc. | 1,750,551 | 39,265 | |
Bank of the Ozarks Inc. | 1,169,582 | 39,123 | |
Endurance Specialty Holdings Ltd. | 733,027 | 37,817 | |
Medical Properties Trust Inc. | 2,830,098 | 37,470 | |
PrivateBancorp Inc. | 1,280,888 | 37,223 |
8
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Colony Financial Inc. | 1,595,600 | 37,050 | |
Wintrust Financial Corp. | 804,052 | 36,986 | |
Invesco Mortgage Capital Inc. | 2,126,489 | 36,916 | |
Iberiabank Corp. | 533,305 | 36,899 | |
FNB Corp. | 2,875,213 | 36,860 | |
BancorpSouth Inc. | 1,493,123 | 36,686 | |
Symetra Financial Corp. | 1,601,892 | 36,427 | |
^ | Ryman Hospitality Properties Inc. | 745,956 | 35,918 |
^ | Lexington Realty Trust | 3,183,359 | 35,049 |
United Bankshares Inc. | 1,073,857 | 34,718 | |
Glacier Bancorp Inc. | 1,222,146 | 34,684 | |
Susquehanna Bancshares Inc. | 3,241,444 | 34,230 | |
EverBank Financial Corp. | 1,697,335 | 34,218 | |
* | Harbinger Group Inc. | 2,689,755 | 34,160 |
First Industrial Realty Trust Inc. | 1,807,471 | 34,053 | |
Sun Communities Inc. | 673,276 | 33,556 | |
MarketAxess Holdings Inc. | 619,001 | 33,463 | |
Alexander & Baldwin Inc. | 799,730 | 33,149 | |
Hatteras Financial Corp. | 1,667,319 | 33,030 | |
EastGroup Properties Inc. | 513,633 | 32,991 | |
First Financial Bankshares Inc. | 1,050,988 | 32,969 | |
Chambers Street Properties | 4,096,315 | 32,934 | |
Janus Capital Group Inc. | 2,626,816 | 32,783 | |
Valley National Bancorp | 3,290,252 | 32,606 | |
* | American Realty Capital Healthcare Trust Inc. | 2,925,581 | 31,860 |
Kennedy-Wilson Holdings Inc. | 1,187,901 | 31,860 | |
* | Virtus Investment Partners Inc. | 150,321 | 31,830 |
Cathay General Bancorp | 1,237,978 | 31,643 | |
Home BancShares Inc. | 956,603 | 31,396 | |
^,* | New York REIT Inc. | 2,802,394 | 30,994 |
* | Altisource Portfolio Solutions SA | 268,958 | 30,817 |
DuPont Fabros Technology Inc. | 1,137,120 | 30,657 | |
* | Western Alliance Bancorp | 1,287,065 | 30,632 |
RLI Corp. | 668,420 | 30,600 | |
National Health Investors Inc. | 485,228 | 30,356 | |
SLM Corp. | 3,652,488 | 30,352 | |
Erie Indemnity Co. Class A | 401,538 | 30,220 | |
Platinum Underwriters Holdings Ltd. | 465,179 | 30,167 | |
American Equity Investment Life Holding Co. | 1,219,945 | 30,011 | |
Washington REIT | 1,151,043 | 29,904 | |
Mack-Cali Realty Corp. | 1,378,412 | 29,608 | |
New Residential Investment Corp. | 4,627,715 | 29,155 | |
Newcastle Investment Corp. | 6,071,785 | 29,084 | |
Potlatch Corp. | 701,281 | 29,033 | |
Artisan Partners Asset Management Inc. Class A | 508,217 | 28,806 | |
* | MBIA Inc. | 2,529,329 | 27,924 |
Redwood Trust Inc. | 1,433,364 | 27,908 | |
Home Loan Servicing Solutions Ltd. | 1,226,892 | 27,887 | |
Acadia Realty Trust | 991,259 | 27,844 | |
Evercore Partners Inc. Class A | 481,560 | 27,757 | |
* | First Cash Financial Services Inc. | 475,303 | 27,373 |
Trustmark Corp. | 1,106,839 | 27,328 | |
^,* | Trulia Inc. | 574,129 | 27,202 |
PS Business Parks Inc. | 325,177 | 27,149 | |
Glimcher Realty Trust | 2,505,705 | 27,137 | |
Capitol Federal Financial Inc. | 2,225,337 | 27,060 | |
Equity One Inc. | 1,135,607 | 26,789 | |
ARMOUR Residential REIT Inc. | 6,169,567 | 26,714 | |
* | Enstar Group Ltd. | 177,024 | 26,683 |
PennyMac Mortgage Investment Trust | 1,214,268 | 26,641 | |
International Bancshares Corp. | 983,312 | 26,549 | |
Kemper Corp. | 717,002 | 26,429 | |
CVB Financial Corp. | 1,646,550 | 26,394 | |
Chesapeake Lodging Trust | 864,367 | 26,130 |
9
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Old National Bancorp | 1,828,140 | 26,106 | |
Education Realty Trust Inc. | 2,354,954 | 25,292 | |
CYS Investments Inc. | 2,799,326 | 25,250 | |
Hudson Pacific Properties Inc. | 984,307 | 24,942 | |
* | Hilltop Holdings Inc. | 1,168,427 | 24,841 |
Parkway Properties Inc. | 1,198,119 | 24,741 | |
MB Financial Inc. | 904,918 | 24,478 | |
Altisource Residential Corp. | 932,302 | 24,268 | |
Empire State Realty Trust Inc. | 1,470,143 | 24,257 | |
* | Blackhawk Network Holdings Inc. Class B | 901,493 | 24,205 |
Community Bank System Inc. | 667,577 | 24,166 | |
* | South State Corp. | 395,838 | 24,146 |
Retail Opportunity Investments Corp. | 1,526,759 | 24,016 | |
Government Properties Income Trust | 945,531 | 24,007 | |
Columbia Banking System Inc. | 908,730 | 23,909 | |
BOK Financial Corp. | 358,196 | 23,856 | |
LTC Properties Inc. | 601,371 | 23,478 | |
Argo Group International Holdings Ltd. | 452,017 | 23,103 | |
Pinnacle Financial Partners Inc. | 583,534 | 23,038 | |
Sabra Health Care REIT Inc. | 798,384 | 22,922 | |
Greenhill & Co. Inc. | 463,835 | 22,844 | |
Selective Insurance Group Inc. | 922,671 | 22,808 | |
* | WisdomTree Investments Inc. | 1,841,717 | 22,764 |
Westamerica Bancorporation | 431,651 | 22,567 | |
BGC Partners Inc. Class A | 3,021,824 | 22,482 | |
Mercury General Corp. | 474,733 | 22,331 | |
* | St. Joe Co. | 876,907 | 22,300 |
STAG Industrial Inc. | 928,285 | 22,288 | |
Hersha Hospitality Trust Class A | 3,292,442 | 22,092 | |
Horace Mann Educators Corp. | 703,520 | 21,999 | |
First Citizens BancShares Inc. Class A | 89,016 | 21,809 | |
^ | AmTrust Financial Services Inc. | 521,123 | 21,788 |
Montpelier Re Holdings Ltd. | 681,595 | 21,777 | |
Capstead Mortgage Corp. | 1,654,350 | 21,755 | |
National Penn Bancshares Inc. | 2,044,375 | 21,629 | |
Cash America International Inc. | 485,752 | 21,582 | |
American Assets Trust Inc. | 615,765 | 21,275 | |
Pennsylvania REIT | 1,127,821 | 21,226 | |
* | Ambac Financial Group Inc. | 776,621 | 21,210 |
First Midwest Bancorp Inc. | 1,235,203 | 21,036 | |
Interactive Brokers Group Inc. | 897,129 | 20,894 | |
* | iStar Financial Inc. | 1,392,447 | 20,859 |
BBCN Bancorp Inc. | 1,304,466 | 20,806 | |
HFF Inc. Class A | 553,040 | 20,568 | |
FelCor Lodging Trust Inc. | 1,931,277 | 20,298 | |
^ | NRG Yield Inc. Class A | 388,715 | 20,233 |
Northwest Bancshares Inc. | 1,471,205 | 19,964 | |
* | Altisource Asset Management Corp. | 27,278 | 19,724 |
Astoria Financial Corp. | 1,459,537 | 19,631 | |
Ramco-Gershenson Properties Trust | 1,180,800 | 19,625 | |
Franklin Street Properties Corp. | 1,557,420 | 19,592 | |
* | Encore Capital Group Inc. | 421,687 | 19,153 |
* | TFS Financial Corp. | 1,320,574 | 18,831 |
* | Walter Investment Management Corp. | 617,513 | 18,390 |
Select Income REIT | 609,880 | 18,077 | |
American Capital Mortgage Investment Corp. | 883,168 | 17,681 | |
Boston Private Financial Holdings Inc. | 1,312,423 | 17,639 | |
NBT Bancorp Inc. | 716,712 | 17,215 | |
Investors Real Estate Trust | 1,852,037 | 17,057 | |
Associated Estates Realty Corp. | 944,147 | 17,014 | |
* | Starwood Waypoint Residential Trust | 641,620 | 16,817 |
Ashford Hospitality Trust Inc. | 1,450,986 | 16,744 | |
* | Greenlight Capital Re Ltd. Class A | 508,230 | 16,741 |
ViewPoint Financial Group Inc. | 620,836 | 16,707 |
10
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
First Financial Bancorp | 946,143 | 16,283 | |
Nelnet Inc. Class A | 392,898 | 16,278 | |
Chemical Financial Corp. | 559,169 | 15,701 | |
Inland Real Estate Corp. | 1,464,210 | 15,565 | |
* | Springleaf Holdings Inc. | 595,565 | 15,455 |
* | KCG Holdings Inc. Class A | 1,296,369 | 15,401 |
Park National Corp. | 199,194 | 15,378 | |
Provident Financial Services Inc. | 884,546 | 15,320 | |
Independent Bank Corp. | 391,825 | 15,038 | |
First Commonwealth Financial Corp. | 1,623,709 | 14,971 | |
WesBanco Inc. | 479,468 | 14,883 | |
OFG Bancorp | 776,968 | 14,304 | |
^,* | Nationstar Mortgage Holdings Inc. | 391,606 | 14,215 |
* | Piper Jaffray Cos. | 267,290 | 13,838 |
^ | Cohen & Steers Inc. | 309,774 | 13,438 |
National Bank Holdings Corp. Class A | 672,780 | 13,415 | |
* | Navigators Group Inc. | 197,234 | 13,225 |
Alexander's Inc. | 35,229 | 13,016 | |
Banner Corp. | 321,679 | 12,748 | |
Infinity Property & Casualty Corp. | 189,136 | 12,716 | |
First Potomac Realty Trust | 963,097 | 12,636 | |
Safety Insurance Group Inc. | 240,807 | 12,373 | |
Aviv REIT Inc. | 435,998 | 12,282 | |
S&T Bancorp Inc. | 488,163 | 12,131 | |
Resource Capital Corp. | 2,123,619 | 11,956 | |
* | Rayonier Advanced Materials Inc. | 305,403 | 11,834 |
City Holding Co. | 257,983 | 11,640 | |
Blackstone Mortgage Trust Inc. Class A | 398,312 | 11,551 | |
Anworth Mortgage Asset Corp. | 2,213,559 | 11,422 | |
National General Holdings Corp. | 645,408 | 11,230 | |
Rouse Properties Inc. | 649,341 | 11,110 | |
* | Forestar Group Inc. | 573,858 | 10,955 |
Employers Holdings Inc. | 515,695 | 10,922 | |
Brookline Bancorp Inc. | 1,160,568 | 10,875 | |
Maiden Holdings Ltd. | 882,305 | 10,667 | |
* | Capital Bank Financial Corp. | 442,559 | 10,449 |
Oritani Financial Corp. | 672,856 | 10,355 | |
Silver Bay Realty Trust Corp. | 632,126 | 10,316 | |
FXCM Inc. Class A | 674,221 | 10,086 | |
* | Investment Technology Group Inc. | 591,654 | 9,987 |
* | First BanCorp | 1,804,819 | 9,818 |
* | Green Dot Corp. Class A | 515,087 | 9,776 |
* | Ezcorp Inc. Class A | 845,021 | 9,760 |
United Fire Group Inc. | 329,667 | 9,666 | |
National Western Life Insurance Co. Class A | 38,617 | 9,631 | |
* | Credit Acceptance Corp. | 77,865 | 9,585 |
Berkshire Hills Bancorp Inc. | 412,689 | 9,583 | |
Saul Centers Inc. | 196,031 | 9,527 | |
* | Ladder Capital Corp. Class A | 525,269 | 9,492 |
* | World Acceptance Corp. | 124,753 | 9,476 |
* | PICO Holdings Inc. | 393,493 | 9,349 |
AG Mortgage Investment Trust Inc. | 491,000 | 9,295 | |
Tompkins Financial Corp. | 192,704 | 9,284 | |
State Bank Financial Corp. | 527,984 | 8,928 | |
Universal Health Realty Income Trust | 201,083 | 8,743 | |
Central Pacific Financial Corp. | 435,250 | 8,640 | |
Getty Realty Corp. | 433,318 | 8,268 | |
Dime Community Bancshares Inc. | 510,132 | 8,055 | |
* | Tejon Ranch Co. | 249,221 | 8,022 |
FBL Financial Group Inc. Class A | 170,550 | 7,845 | |
* | MoneyGram International Inc. | 519,406 | 7,651 |
* | CareTrust REIT Inc. | 345,904 | 6,849 |
Urstadt Biddle Properties Inc. Class A | 327,548 | 6,839 | |
GAMCO Investors Inc. | 79,968 | 6,641 |
11
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
BancFirst Corp. | 106,370 | 6,584 | |
Ashford Hospitality Prime Inc. | 373,193 | 6,404 | |
* | Beneficial Mutual Bancorp Inc. | 461,579 | 6,259 |
* | Flagstar Bancorp Inc. | 340,378 | 6,161 |
OneBeacon Insurance Group Ltd. Class A | 386,855 | 6,012 | |
Meadowbrook Insurance Group Inc. | 823,274 | 5,919 | |
State Auto Financial Corp. | 247,375 | 5,796 | |
* | NewStar Financial Inc. | 381,639 | 5,366 |
* | TESARO Inc. | 171,177 | 5,325 |
* | PennyMac Financial Services Inc. Class A | 329,983 | 5,012 |
Fidelity & Guaranty Life | 202,134 | 4,839 | |
* | Moelis & Co. | 131,121 | 4,407 |
* | Walker & Dunlop Inc. | 310,331 | 4,379 |
GFI Group Inc. | 1,309,098 | 4,346 | |
* | Talmer Bancorp Inc. Class A | 302,744 | 4,175 |
Northfield Bancorp Inc. | 277,043 | 3,632 | |
* | Kearny Financial Corp. | 229,049 | 3,468 |
Urstadt Biddle Properties Inc. | 60,433 | 1,083 | |
* | Blackhawk Network Holdings Inc. | 7,236 | 204 |
* | Tejon Ranch Co. Warrants Exp. 08/31/2016 | 37,571 | 110 |
Fidelity National Financial Inc. Class A | 2 | — | |
11,584,155 | |||
Health Care (9.6%) | |||
* | Salix Pharmaceuticals Ltd. | 1,040,761 | 128,378 |
* | Alkermes plc | 2,496,796 | 125,664 |
Cooper Cos. Inc. | 828,234 | 112,251 | |
* | MEDNAX Inc. | 1,717,148 | 99,852 |
* | Medivation Inc. | 1,255,975 | 96,811 |
Questcor Pharmaceuticals Inc. | 1,000,796 | 92,564 | |
* | Cubist Pharmaceuticals Inc. | 1,300,988 | 90,835 |
* | Community Health Systems Inc. | 1,891,918 | 85,836 |
* | Covance Inc. | 991,890 | 84,886 |
* | Sirona Dental Systems Inc. | 995,995 | 82,130 |
^,* | Mallinckrodt plc | 1,010,297 | 80,844 |
* | Tenet Healthcare Corp. | 1,687,114 | 79,193 |
Teleflex Inc. | 714,646 | 75,467 | |
* | InterMune Inc. | 1,708,403 | 75,426 |
* | Centene Corp. | 946,711 | 71,581 |
* | Isis Pharmaceuticals Inc. | 2,031,376 | 69,981 |
* | Brookdale Senior Living Inc. | 2,048,629 | 68,301 |
* | Align Technology Inc. | 1,198,864 | 67,184 |
* | United Therapeutics Corp. | 745,957 | 66,010 |
* | Seattle Genetics Inc. | 1,702,088 | 65,105 |
* | Alnylam Pharmaceuticals Inc. | 978,938 | 61,839 |
* | Team Health Holdings Inc. | 1,213,402 | 60,597 |
Techne Corp. | 639,169 | 59,168 | |
* | Cepheid | 1,204,536 | 57,745 |
* | WellCare Health Plans Inc. | 757,921 | 56,586 |
* | Health Net Inc. | 1,316,310 | 54,679 |
* | NPS Pharmaceuticals Inc. | 1,653,208 | 54,638 |
STERIS Corp. | 1,020,791 | 54,592 | |
* | Pacira Pharmaceuticals Inc. | 585,228 | 53,759 |
* | PAREXEL International Corp. | 982,551 | 51,918 |
HealthSouth Corp. | 1,445,874 | 51,863 | |
* | Alere Inc. | 1,355,545 | 50,724 |
^,* | Myriad Genetics Inc. | 1,292,605 | 50,308 |
* | Idenix Pharmaceuticals Inc. | 2,084,836 | 50,245 |
West Pharmaceutical Services Inc. | 1,159,856 | 48,923 | |
* | DexCom Inc. | 1,229,545 | 48,764 |
* | LifePoint Hospitals Inc. | 729,968 | 45,331 |
* | Charles River Laboratories International Inc. | 835,597 | 44,721 |
^,* | MannKind Corp. | 4,027,171 | 44,259 |
* | Bruker Corp. | 1,739,996 | 42,230 |
* | Akorn Inc. | 1,256,713 | 41,786 |
12
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Bio-Rad Laboratories Inc. Class A | 348,397 | 41,707 |
Hill-Rom Holdings Inc. | 988,542 | 41,034 | |
^,* | Theravance Inc. | 1,362,101 | 40,563 |
* | Synageva BioPharma Corp. | 370,640 | 38,843 |
* | Insulet Corp. | 957,378 | 37,979 |
Owens & Minor Inc. | 1,089,916 | 37,035 | |
* | Acadia Healthcare Co. Inc. | 758,763 | 34,524 |
* | Impax Laboratories Inc. | 1,149,807 | 34,483 |
* | Thoratec Corp. | 982,755 | 34,259 |
Healthcare Services Group Inc. | 1,153,245 | 33,952 | |
* | Medicines Co. | 1,123,232 | 32,641 |
* | Amsurg Corp. | 709,171 | 32,317 |
* | Haemonetics Corp. | 899,262 | 31,726 |
* | Ironwood Pharmaceuticals Inc. Class A | 2,064,531 | 31,649 |
^,* | OPKO Health Inc. | 3,572,348 | 31,580 |
* | Air Methods Corp. | 608,587 | 31,433 |
* | HMS Holdings Corp. | 1,514,470 | 30,910 |
* | ACADIA Pharmaceuticals Inc. | 1,367,888 | 30,901 |
* | Prestige Brands Holdings Inc. | 895,185 | 30,338 |
* | Magellan Health Inc. | 476,017 | 29,627 |
* | Puma Biotechnology Inc. | 442,232 | 29,187 |
* | NuVasive Inc. | 805,085 | 28,637 |
* | Nektar Therapeutics | 2,193,720 | 28,123 |
* | Globus Medical Inc. | 1,160,767 | 27,766 |
* | Cyberonics Inc. | 440,343 | 27,504 |
* | Wright Medical Group Inc. | 862,113 | 27,070 |
^ | PDL BioPharma Inc. | 2,774,451 | 26,857 |
* | Celldex Therapeutics Inc. | 1,543,681 | 25,193 |
Select Medical Holdings Corp. | 1,582,271 | 24,683 | |
* | HeartWare International Inc. | 278,669 | 24,662 |
^,* | Exact Sciences Corp. | 1,429,988 | 24,353 |
* | Neogen Corp. | 601,711 | 24,351 |
* | Acorda Therapeutics Inc. | 719,508 | 24,255 |
Kindred Healthcare Inc. | 1,046,895 | 24,183 | |
* | Molina Healthcare Inc. | 519,445 | 23,183 |
* | Emeritus Corp. | 719,853 | 22,783 |
^,* | Arena Pharmaceuticals Inc. | 3,794,664 | 22,237 |
Cantel Medical Corp. | 571,308 | 20,921 | |
* | Masimo Corp. | 882,069 | 20,817 |
* | Integra LifeSciences Holdings Corp. | 421,769 | 19,848 |
* | Lannett Co. Inc. | 399,195 | 19,808 |
* | Sarepta Therapeutics Inc. | 632,426 | 18,840 |
CONMED Corp. | 423,143 | 18,682 | |
^,* | ARIAD Pharmaceuticals Inc. | 2,903,563 | 18,496 |
* | Hanger Inc. | 577,728 | 18,170 |
* | ImmunoGen Inc. | 1,482,167 | 17,564 |
^,* | Auxilium Pharmaceuticals Inc. | 867,925 | 17,411 |
* | Halozyme Therapeutics Inc. | 1,720,130 | 16,995 |
Analogic Corp. | 213,605 | 16,712 | |
Abaxis Inc. | 368,240 | 16,317 | |
* | Endologix Inc. | 1,050,891 | 15,984 |
* | Clovis Oncology Inc. | 380,566 | 15,759 |
^,* | ABIOMED Inc. | 620,344 | 15,595 |
* | Volcano Corp. | 884,567 | 15,577 |
^,* | Intrexon Corp. | 597,841 | 15,024 |
Meridian Bioscience Inc. | 717,357 | 14,806 | |
* | Aegerion Pharmaceuticals Inc. | 458,044 | 14,699 |
* | ICU Medical Inc. | 236,770 | 14,398 |
* | Tornier NV | 586,558 | 13,714 |
* | NxStage Medical Inc. | 953,804 | 13,706 |
* | Portola Pharmaceuticals Inc. | 461,092 | 13,455 |
^,* | Agios Pharmaceuticals Inc. | 292,953 | 13,423 |
* | IPC The Hospitalist Co. Inc. | 296,334 | 13,104 |
* | Bio-Reference Labs Inc. | 431,533 | 13,041 |
13
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
^,* | Theravance Biopharma Inc. | 389,171 | 12,407 |
* | Ophthotech Corp. | 288,202 | 12,194 |
^,* | Keryx Biopharmaceuticals Inc. | 788,905 | 12,133 |
* | Ligand Pharmaceuticals Inc. | 193,518 | 12,054 |
^,* | Merrimack Pharmaceuticals Inc. | 1,605,852 | 11,707 |
* | Emergent Biosolutions Inc. | 516,391 | 11,598 |
* | Luminex Corp. | 662,140 | 11,356 |
* | Quidel Corp. | 503,195 | 11,126 |
^,* | Accuray Inc. | 1,261,758 | 11,103 |
* | Orthofix International NV | 302,539 | 10,967 |
* | Achillion Pharmaceuticals Inc. | 1,421,505 | 10,761 |
Ensign Group Inc. | 345,887 | 10,750 | |
* | Merit Medical Systems Inc. | 706,280 | 10,665 |
^,* | Exelixis Inc. | 3,031,771 | 10,278 |
* | Healthways Inc. | 579,725 | 10,168 |
* | Infinity Pharmaceuticals Inc. | 797,889 | 10,165 |
* | Momenta Pharmaceuticals Inc. | 819,167 | 9,896 |
Invacare Corp. | 510,662 | 9,381 | |
* | BioScrip Inc. | 1,124,705 | 9,380 |
* | Sagent Pharmaceuticals Inc. | 358,328 | 9,266 |
* | CorVel Corp. | 199,021 | 8,992 |
* | HealthStream Inc. | 357,641 | 8,691 |
National Healthcare Corp. | 147,570 | 8,307 | |
* | Gentiva Health Services Inc. | 540,715 | 8,143 |
^,* | VIVUS Inc. | 1,519,397 | 8,083 |
* | Spectrum Pharmaceuticals Inc. | 964,553 | 7,842 |
* | Sequenom Inc. | 2,013,821 | 7,793 |
* | Amedisys Inc. | 454,190 | 7,603 |
Universal American Corp. | 898,370 | 7,483 | |
* | Surgical Care Affiliates Inc. | 231,862 | 6,743 |
* | Genomic Health Inc. | 242,909 | 6,656 |
* | Lexicon Pharmaceuticals Inc. | 4,009,376 | 6,455 |
* | Epizyme Inc. | 200,397 | 6,236 |
^,* | Dendreon Corp. | 2,629,350 | 6,047 |
^,* | Synergy Pharmaceuticals Inc. | 1,459,103 | 5,939 |
^,* | Acceleron Pharma Inc. | 149,740 | 5,087 |
* | Relypsa Inc. | 204,990 | 4,985 |
* | LHC Group Inc. | 215,315 | 4,601 |
* | Ultragenyx Pharmaceutical Inc. | 77,971 | 3,500 |
^,* | Insys Therapeutics Inc. | 88,122 | 2,752 |
* | Rigel Pharmaceuticals Inc. | 757,161 | 2,748 |
* | Cubist Pharmaceuticals Inc. Rights Exp. 12/31/2015 | 159,961 | 19 |
4,720,428 | |||
Industrials (19.5%) | |||
Packaging Corp. of America | 1,698,647 | 121,436 | |
Trinity Industries Inc. | 2,676,475 | 117,015 | |
IDEX Corp. | 1,392,804 | 112,455 | |
* | Flextronics International Ltd. | 10,115,233 | 111,976 |
* | Kirby Corp. | 886,042 | 103,791 |
Acuity Brands Inc. | 746,535 | 103,208 | |
Valspar Corp. | 1,298,430 | 98,927 | |
Waste Connections Inc. | 2,034,414 | 98,771 | |
Lincoln Electric Holdings Inc. | 1,389,514 | 97,099 | |
Carlisle Cos. Inc. | 1,107,243 | 95,909 | |
Allegion plc | 1,667,778 | 94,530 | |
* | Genesee & Wyoming Inc. Class A | 899,803 | 94,479 |
Total System Services Inc. | 2,934,796 | 92,182 | |
PerkinElmer Inc. | 1,956,143 | 91,626 | |
Global Payments Inc. | 1,240,758 | 90,389 | |
Jack Henry & Associates Inc. | 1,460,874 | 86,820 | |
Broadridge Financial Solutions Inc. | 2,084,842 | 86,813 | |
* | Vantiv Inc. Class A | 2,523,460 | 84,839 |
* | CoStar Group Inc. | 521,196 | 82,438 |
Graco Inc. | 1,047,211 | 81,766 |
14
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Oshkosh Corp. | 1,467,455 | 81,488 | |
Ryder System Inc. | 918,876 | 80,944 | |
MSC Industrial Direct Co. Inc. Class A | 839,765 | 80,315 | |
Huntington Ingalls Industries Inc. | 848,370 | 80,247 | |
Sonoco Products Co. | 1,763,180 | 77,457 | |
Manitowoc Co. Inc. | 2,335,488 | 76,744 | |
* | Spirit AeroSystems Holdings Inc. Class A | 2,274,972 | 76,667 |
ITT Corp. | 1,584,298 | 76,205 | |
* | Old Dominion Freight Line Inc. | 1,190,908 | 75,837 |
AptarGroup Inc. | 1,130,816 | 75,776 | |
Nordson Corp. | 934,908 | 74,970 | |
Terex Corp. | 1,810,606 | 74,416 | |
Alliant Techsystems Inc. | 550,412 | 73,711 | |
* | Zebra Technologies Corp. | 872,402 | 71,816 |
Bemis Co. Inc. | 1,742,446 | 70,848 | |
* | WEX Inc. | 669,569 | 70,285 |
Eagle Materials Inc. | 734,959 | 69,292 | |
* | Hexcel Corp. | 1,689,695 | 69,109 |
Lennox International Inc. | 764,144 | 68,444 | |
Valmont Industries Inc. | 441,179 | 67,037 | |
AO Smith Corp. | 1,337,891 | 66,333 | |
* | WESCO International Inc. | 767,906 | 66,332 |
FEI Co. | 729,947 | 66,228 | |
* | Graphic Packaging Holding Co. | 5,648,675 | 66,090 |
Jabil Circuit Inc. | 3,160,712 | 66,059 | |
* | USG Corp. | 2,143,541 | 64,585 |
Air Lease Corp. Class A | 1,672,821 | 64,537 | |
Triumph Group Inc. | 901,130 | 62,917 | |
Kennametal Inc. | 1,357,313 | 62,816 | |
Babcock & Wilcox Co. | 1,905,408 | 61,850 | |
Toro Co. | 961,816 | 61,172 | |
Crane Co. | 813,307 | 60,478 | |
Belden Inc. | 753,289 | 58,877 | |
Foster Wheeler AG | 1,722,663 | 58,691 | |
RR Donnelley & Sons Co. | 3,448,358 | 58,484 | |
Regal-Beloit Corp. | 740,662 | 58,186 | |
World Fuel Services Corp. | 1,181,355 | 58,158 | |
* | Generac Holdings Inc. | 1,189,096 | 57,957 |
* | Clean Harbors Inc. | 892,345 | 57,333 |
Fortune Brands Home & Security Inc. | 1,434,420 | 57,276 | |
* | Esterline Technologies Corp. | 496,960 | 57,210 |
* | Teledyne Technologies Inc. | 583,468 | 56,696 |
National Instruments Corp. | 1,743,308 | 56,466 | |
EnerSys | 810,626 | 55,763 | |
Exelis Inc. | 3,274,897 | 55,608 | |
* | Cognex Corp. | 1,425,207 | 54,728 |
URS Corp. | 1,191,483 | 54,629 | |
CLARCOR Inc. | 871,067 | 53,875 | |
GATX Corp. | 795,400 | 53,244 | |
* | AECOM Technology Corp. | 1,628,956 | 52,452 |
Woodward Inc. | 1,030,862 | 51,729 | |
* | Moog Inc. Class A | 705,004 | 51,388 |
Deluxe Corp. | 864,753 | 50,657 | |
Landstar System Inc. | 776,659 | 49,706 | |
Con-way Inc. | 985,619 | 49,685 | |
* | Owens-Illinois Inc. | 1,425,890 | 49,393 |
EMCOR Group Inc. | 1,104,242 | 49,172 | |
Curtiss-Wright Corp. | 749,314 | 49,125 | |
Anixter International Inc. | 479,670 | 48,001 | |
MAXIMUS Inc. | 1,111,028 | 47,796 | |
* | HD Supply Holdings Inc. | 1,683,317 | 47,789 |
Watsco Inc. | 441,880 | 45,408 | |
* | Knowles Corp. | 1,468,909 | 45,154 |
* | Berry Plastics Group Inc. | 1,720,977 | 44,401 |
15
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Armstrong World Industries Inc. | 757,451 | 43,500 |
* | CoreLogic Inc. | 1,427,885 | 43,351 |
* | Genpact Ltd. | 2,426,487 | 42,536 |
* | Euronet Worldwide Inc. | 836,337 | 40,345 |
Actuant Corp. Class A | 1,165,515 | 40,292 | |
* | IPG Photonics Corp. | 584,394 | 40,206 |
Corporate Executive Board Co. | 583,856 | 39,831 | |
Covanta Holding Corp. | 1,921,922 | 39,611 | |
Silgan Holdings Inc. | 768,512 | 39,056 | |
Harsco Corp. | 1,394,876 | 37,146 | |
* | Swift Transportation Co. | 1,456,690 | 36,752 |
Mobile Mini Inc. | 766,668 | 36,716 | |
* | Louisiana-Pacific Corp. | 2,438,199 | 36,622 |
* | DigitalGlobe Inc. | 1,303,311 | 36,232 |
Vishay Intertechnology Inc. | 2,337,762 | 36,212 | |
Littelfuse Inc. | 388,782 | 36,137 | |
* | Texas Industries Inc. | 373,822 | 34,526 |
* | Navistar International Corp. | 913,282 | 34,230 |
Convergys Corp. | 1,577,693 | 33,826 | |
Applied Industrial Technologies Inc. | 649,433 | 32,946 | |
* | Advisory Board Co. | 632,216 | 32,749 |
Barnes Group Inc. | 842,804 | 32,482 | |
MSA Safety Inc. | 548,333 | 31,518 | |
* | MasTec Inc. | 1,004,947 | 30,972 |
* | Orbital Sciences Corp. | 1,046,355 | 30,920 |
Tetra Tech Inc. | 1,122,209 | 30,861 | |
* | Proto Labs Inc. | 375,975 | 30,800 |
* | Sanmina Corp. | 1,351,018 | 30,776 |
* | Hub Group Inc. Class A | 603,531 | 30,418 |
KBR Inc. | 1,271,568 | 30,327 | |
* | On Assignment Inc. | 844,738 | 30,047 |
* | MWI Veterinary Supply Inc. | 210,953 | 29,953 |
* | Rexnord Corp. | 1,049,115 | 29,533 |
Watts Water Technologies Inc. Class A | 470,679 | 29,055 | |
* | Huron Consulting Group Inc. | 406,804 | 28,810 |
Mueller Industries Inc. | 979,305 | 28,801 | |
* | EnPro Industries Inc. | 392,415 | 28,709 |
* | Coherent Inc. | 430,718 | 28,501 |
* | Masonite International Corp. | 505,954 | 28,465 |
* | TriMas Corp. | 742,225 | 28,301 |
Franklin Electric Co. Inc. | 700,857 | 28,266 | |
United Stationers Inc. | 680,395 | 28,216 | |
UniFirst Corp. | 262,670 | 27,843 | |
^,* | NeuStar Inc. Class A | 1,040,644 | 27,078 |
* | FTI Consulting Inc. | 705,749 | 26,691 |
Booz Allen Hamilton Holding Corp. Class A | 1,239,068 | 26,318 | |
* | WageWorks Inc. | 545,787 | 26,312 |
EVERTEC Inc. | 1,082,679 | 26,244 | |
* | Cardtronics Inc. | 768,481 | 26,190 |
Simpson Manufacturing Co. Inc. | 718,698 | 26,132 | |
TAL International Group Inc. | 587,228 | 26,049 | |
Forward Air Corp. | 539,050 | 25,794 | |
RBC Bearings Inc. | 401,557 | 25,720 | |
* | Plexus Corp. | 585,901 | 25,364 |
* | Korn/Ferry International | 859,143 | 25,233 |
HEICO Corp. | 479,754 | 24,918 | |
Knight Transportation Inc. | 1,047,177 | 24,891 | |
* | Itron Inc. | 611,287 | 24,788 |
* | Greenbrier Cos. Inc. | 428,834 | 24,701 |
* | Veeco Instruments Inc. | 657,133 | 24,485 |
Tennant Co. | 318,135 | 24,280 | |
Heartland Payment Systems Inc. | 588,108 | 24,236 | |
* | Benchmark Electronics Inc. | 931,365 | 23,731 |
Brink's Co. | 836,790 | 23,614 |
16
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
CIRCOR International Inc. | 305,030 | 23,527 | |
ABM Industries Inc. | 870,735 | 23,492 | |
Brady Corp. Class A | 781,907 | 23,356 | |
^,* | Universal Display Corp. | 722,847 | 23,203 |
* | PHH Corp. | 991,385 | 22,782 |
Mueller Water Products Inc. Class A | 2,613,505 | 22,581 | |
* | Measurement Specialties Inc. | 261,465 | 22,504 |
Granite Construction Inc. | 607,789 | 21,868 | |
* | OSI Systems Inc. | 327,113 | 21,835 |
* | Tutor Perini Corp. | 670,578 | 21,284 |
* | Greatbatch Inc. | 429,639 | 21,078 |
* | Meritor Inc. | 1,606,165 | 20,944 |
* | Vistaprint NV | 517,423 | 20,935 |
^,* | Outerwall Inc. | 352,070 | 20,895 |
Raven Industries Inc. | 629,292 | 20,855 | |
* | GrafTech International Ltd. | 1,992,506 | 20,842 |
* | Rogers Corp. | 312,916 | 20,762 |
General Cable Corp. | 798,263 | 20,483 | |
Kaman Corp. | 472,962 | 20,210 | |
* | ExamWorks Group Inc. | 632,318 | 20,063 |
* | Wesco Aircraft Holdings Inc. | 1,004,725 | 20,054 |
Matson Inc. | 742,006 | 19,915 | |
* | H&E Equipment Services Inc. | 547,266 | 19,888 |
Werner Enterprises Inc. | 748,255 | 19,836 | |
^ | Sturm Ruger & Co. Inc. | 335,018 | 19,769 |
* | TrueBlue Inc. | 714,028 | 19,686 |
HEICO Corp. Class A | 484,638 | 19,676 | |
* | Boise Cascade Co. | 680,781 | 19,498 |
Heartland Express Inc. | 908,845 | 19,395 | |
AZZ Inc. | 419,591 | 19,335 | |
Otter Tail Corp. | 629,849 | 19,078 | |
Greif Inc. Class A | 349,669 | 19,078 | |
Albany International Corp. | 493,799 | 18,745 | |
Aircastle Ltd. | 1,049,250 | 18,645 | |
ArcBest Corp. | 426,357 | 18,551 | |
Primoris Services Corp. | 624,471 | 18,010 | |
AAR Corp. | 649,177 | 17,891 | |
Lindsay Corp. | 211,210 | 17,841 | |
* | LifeLock Inc. | 1,277,830 | 17,839 |
MTS Systems Corp. | 261,306 | 17,706 | |
G&K Services Inc. Class A | 327,130 | 17,034 | |
* | Wabash National Corp. | 1,189,962 | 16,957 |
Apogee Enterprises Inc. | 477,306 | 16,639 | |
Standex International Corp. | 220,517 | 16,424 | |
* | ExlService Holdings Inc. | 550,458 | 16,211 |
Altra Industrial Motion Corp. | 443,858 | 16,152 | |
* | Atlas Air Worldwide Holdings Inc. | 435,565 | 16,051 |
* | UTi Worldwide Inc. | 1,546,432 | 15,990 |
Exponent Inc. | 214,903 | 15,926 | |
* | Trex Co. Inc. | 551,063 | 15,882 |
Universal Forest Products Inc. | 328,660 | 15,864 | |
Encore Wire Corp. | 321,841 | 15,783 | |
Sun Hydraulics Corp. | 387,975 | 15,752 | |
McGrath RentCorp | 424,185 | 15,589 | |
Cubic Corp. | 346,791 | 15,436 | |
* | Aegion Corp. Class A | 655,554 | 15,255 |
^ | Textainer Group Holdings Ltd. | 391,064 | 15,103 |
ESCO Technologies Inc. | 435,417 | 15,083 | |
AAON Inc. | 442,431 | 14,830 | |
* | Sykes Enterprises Inc. | 682,239 | 14,825 |
John Bean Technologies Corp. | 477,766 | 14,806 | |
* | Navigant Consulting Inc. | 848,303 | 14,803 |
* | RPX Corp. | 823,575 | 14,618 |
* | FARO Technologies Inc. | 297,377 | 14,607 |
17
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
^ | Acacia Research Corp. | 820,886 | 14,571 |
* | II-VI Inc. | 962,102 | 13,912 |
Astec Industries Inc. | 317,033 | 13,911 | |
^,* | Smith & Wesson Holding Corp. | 948,584 | 13,792 |
* | Thermon Group Holdings Inc. | 523,574 | 13,780 |
* | Roadrunner Transportation Systems Inc. | 489,935 | 13,767 |
* | Team Inc. | 335,102 | 13,746 |
Materion Corp. | 360,884 | 13,349 | |
* | DXP Enterprises Inc. | 176,030 | 13,297 |
* | Nortek Inc. | 147,971 | 13,282 |
Insperity Inc. | 397,553 | 13,119 | |
* | XPO Logistics Inc. | 453,020 | 12,965 |
Hyster-Yale Materials Handling Inc. | 144,369 | 12,782 | |
Badger Meter Inc. | 237,275 | 12,493 | |
ManTech International Corp. Class A | 415,667 | 12,270 | |
* | Newport Corp. | 654,209 | 12,103 |
* | Taminco Corp. | 515,535 | 11,991 |
* | Rofin-Sinar Technologies Inc. | 485,008 | 11,660 |
Quanex Building Products Corp. | 649,053 | 11,599 | |
Schnitzer Steel Industries Inc. | 432,658 | 11,279 | |
American Railcar Industries Inc. | 166,234 | 11,266 | |
Gorman-Rupp Co. | 317,871 | 11,243 | |
Kforce Inc. | 495,625 | 10,730 | |
Quad/Graphics Inc. | 449,134 | 10,047 | |
* | Aerovironment Inc. | 315,083 | 10,020 |
* | Monster Worldwide Inc. | 1,496,021 | 9,784 |
Comfort Systems USA Inc. | 618,887 | 9,778 | |
Park Electrochemical Corp. | 343,147 | 9,680 | |
AVX Corp. | 727,614 | 9,663 | |
* | Checkpoint Systems Inc. | 684,941 | 9,582 |
* | Imperva Inc. | 364,046 | 9,531 |
American Science & Engineering Inc. | 136,359 | 9,489 | |
Griffon Corp. | 754,496 | 9,356 | |
* | TeleTech Holdings Inc. | 299,310 | 8,677 |
Resources Connection Inc. | 636,927 | 8,350 | |
Kelly Services Inc. Class A | 470,183 | 8,073 | |
* | TTM Technologies Inc. | 937,242 | 7,685 |
* | Air Transport Services Group Inc. | 898,971 | 7,524 |
^,* | Bazaarvoice Inc. | 931,244 | 7,348 |
* | TriNet Group Inc. | 298,637 | 7,188 |
Landauer Inc. | 165,256 | 6,941 | |
* | CAI International Inc. | 307,804 | 6,775 |
* | Mistras Group Inc. | 270,587 | 6,635 |
Black Box Corp. | 269,125 | 6,308 | |
Greif Inc. Class B | 91,711 | 5,493 | |
^,* | Nuverra Environmental Solutions Inc. | 271,960 | 5,469 |
* | Dice Holdings Inc. | 657,829 | 5,006 |
* | InnerWorkings Inc. | 577,991 | 4,913 |
* | M/A-COM Technology Solutions Holdings Inc. | 204,422 | 4,595 |
* | Layne Christensen Co. | 325,920 | 4,335 |
* | Aeroflex Holding Corp. | 368,602 | 3,870 |
* | Ply Gem Holdings Inc. | 351,245 | 3,548 |
* | Continental Building Products Inc. | 228,706 | 3,522 |
* | Paylocity Holding Corp. | 128,647 | 2,783 |
Electro Scientific Industries Inc. | 231,999 | 1,580 | |
* | Higher One Holdings Inc. | 288,052 | 1,097 |
* | Multi-Fineline Electronix Inc. | 72,996 | 806 |
* | Viasystems Group Inc. | 44,275 | 482 |
9,590,071 | |||
Oil & Gas (6.4%) | |||
* | Newfield Exploration Co. | 2,355,567 | 104,116 |
Superior Energy Services Inc. | 2,705,544 | 97,778 | |
* | Gulfport Energy Corp. | 1,475,902 | 92,687 |
* | First Solar Inc. | 1,297,410 | 92,194 |
18
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Targa Resources Corp. | 658,197 | 91,865 | |
* | WPX Energy Inc. | 3,492,645 | 83,509 |
* | Oasis Petroleum Inc. | 1,485,747 | 83,038 |
Patterson-UTI Energy Inc. | 2,371,676 | 82,866 | |
* | Ultra Petroleum Corp. | 2,513,558 | 74,628 |
* | Dril-Quip Inc. | 670,175 | 73,210 |
* | NOW Inc. | 1,853,220 | 67,105 |
* | Kodiak Oil & Gas Corp. | 4,604,713 | 66,999 |
* | Diamondback Energy Inc. | 701,929 | 62,331 |
* | Unit Corp. | 856,473 | 58,951 |
* | Oil States International Inc. | 916,690 | 58,751 |
* | Rosetta Resources Inc. | 1,061,361 | 58,216 |
SemGroup Corp. Class A | 736,231 | 58,052 | |
^,* | SandRidge Energy Inc. | 8,113,782 | 58,014 |
* | Atwood Oceanics Inc. | 1,055,074 | 55,370 |
CARBO Ceramics Inc. | 339,189 | 52,276 | |
* | Carrizo Oil & Gas Inc. | 707,272 | 48,986 |
Tidewater Inc. | 859,179 | 48,243 | |
* | MRC Global Inc. | 1,673,154 | 47,333 |
Bristow Group Inc. | 584,011 | 47,083 | |
Exterran Holdings Inc. | 1,036,504 | 46,632 | |
* | Civeo Corp. | 1,833,094 | 45,882 |
* | Athlon Energy Inc. | 922,870 | 44,021 |
* | Chart Industries Inc. | 526,294 | 43,546 |
* | Helix Energy Solutions Group Inc. | 1,640,908 | 43,172 |
* | Stone Energy Corp. | 909,354 | 42,549 |
* | Laredo Petroleum Inc. | 1,365,247 | 42,295 |
^,* | GT Advanced Technologies Inc. | 2,238,376 | 41,634 |
PBF Energy Inc. Class A | 1,514,474 | 40,361 | |
* | PDC Energy Inc. | 618,278 | 39,044 |
* | Forum Energy Technologies Inc. | 1,046,241 | 38,115 |
^,* | SunPower Corp. Class A | 903,002 | 37,005 |
Energy XXI Bermuda Ltd. | 1,530,265 | 36,160 | |
Rowan Cos. plc Class A | 1,074,425 | 34,306 | |
* | Sanchez Energy Corp. | 903,717 | 33,971 |
Western Refining Inc. | 896,002 | 33,645 | |
^,* | McDermott International Inc. | 4,103,852 | 33,200 |
* | Matador Resources Co. | 1,076,498 | 31,520 |
* | Bonanza Creek Energy Inc. | 523,123 | 29,917 |
^,* | Halcon Resources Corp. | 3,995,296 | 29,126 |
* | Flotek Industries Inc. | 882,709 | 28,388 |
* | SEACOR Holdings Inc. | 338,367 | 27,831 |
* | Rice Energy Inc. | 886,005 | 26,979 |
* | Magnum Hunter Resources Corp. | 3,262,003 | 26,748 |
RPC Inc. | 1,134,173 | 26,642 | |
* | Hornbeck Offshore Services Inc. | 563,581 | 26,443 |
Delek US Holdings Inc. | 922,821 | 26,051 | |
* | C&J Energy Services Inc. | 765,824 | 25,870 |
* | Basic Energy Services Inc. | 806,904 | 23,578 |
Pattern Energy Group Inc. Class A | 683,027 | 22,615 | |
* | Bill Barrett Corp. | 815,631 | 21,843 |
Comstock Resources Inc. | 743,639 | 21,447 | |
* | Key Energy Services Inc. | 2,253,536 | 20,597 |
^ | EXCO Resources Inc. | 3,297,607 | 19,423 |
* | Penn Virginia Corp. | 1,132,653 | 19,198 |
* | Pioneer Energy Services Corp. | 1,083,559 | 19,006 |
Gulfmark Offshore Inc. | 418,667 | 18,915 | |
* | Newpark Resources Inc. | 1,392,886 | 17,355 |
^,* | Goodrich Petroleum Corp. | 611,639 | 16,881 |
* | Northern Oil and Gas Inc. | 1,002,472 | 16,330 |
* | TETRA Technologies Inc. | 1,294,428 | 15,248 |
* | Rex Energy Corp. | 840,545 | 14,886 |
* | EP Energy Corp. Class A | 634,278 | 14,620 |
^ | CVR Energy Inc. | 300,665 | 14,489 |
19
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Clayton Williams Energy Inc. | 105,169 | 14,447 |
^,* | Approach Resources Inc. | 611,416 | 13,897 |
* | Parker Drilling Co. | 1,986,291 | 12,951 |
* | RSP Permian Inc. | 376,269 | 12,206 |
* | Geospace Technologies Corp. | 215,891 | 11,891 |
Tesco Corp. | 555,098 | 11,846 | |
* | Contango Oil & Gas Co. | 268,022 | 11,340 |
^,* | Solazyme Inc. | 920,198 | 10,840 |
* | Hercules Offshore Inc. | 2,633,820 | 10,588 |
* | Resolute Energy Corp. | 1,212,984 | 10,480 |
W&T Offshore Inc. | 588,876 | 9,640 | |
* | ION Geophysical Corp. | 2,270,804 | 9,583 |
^,* | Swift Energy Co. | 720,076 | 9,347 |
* | Willbros Group Inc. | 692,981 | 8,558 |
* | PetroQuest Energy Inc. | 970,364 | 7,297 |
* | Vantage Drilling Co. | 3,177,137 | 6,100 |
^,* | Quicksilver Resources Inc. | 2,147,804 | 5,735 |
Alon USA Energy Inc. | 417,636 | 5,195 | |
^,* | Midstates Petroleum Co. Inc. | 608,009 | 4,396 |
* | Eclipse Resources Corp. | 165,062 | 4,148 |
* | Jones Energy Inc. | 194,972 | 3,997 |
* | Forest Oil Corp. | 1,026,326 | 2,340 |
3,137,907 | |||
Other (0.0%) | |||
* | Leap Wireless International Inc CVR | 938,827 | 2,366 |
Technology (11.5%) | |||
* | NCR Corp. | 2,900,832 | 101,790 |
Pitney Bowes Inc. | 3,501,112 | 96,701 | |
* | SunEdison Inc. | 4,159,587 | 94,007 |
IAC/InterActiveCorp | 1,334,620 | 92,396 | |
* | Palo Alto Networks Inc. | 1,065,329 | 89,328 |
* | Cadence Design Systems Inc. | 5,001,979 | 87,485 |
* | athenahealth Inc. | 653,778 | 81,807 |
Solera Holdings Inc. | 1,188,895 | 79,834 | |
* | PTC Inc. | 2,049,439 | 79,518 |
* | Ingram Micro Inc. | 2,681,352 | 78,322 |
* | Aspen Technology Inc. | 1,590,951 | 73,820 |
* | Concur Technologies Inc. | 786,151 | 73,379 |
* | ARRIS Group Inc. | 2,235,216 | 72,712 |
* | VeriFone Systems Inc. | 1,930,241 | 70,936 |
* | ON Semiconductor Corp. | 7,619,125 | 69,639 |
Brocade Communications Systems Inc. | 7,398,370 | 68,065 | |
Teradyne Inc. | 3,356,162 | 65,781 | |
* | Atmel Corp. | 6,910,017 | 64,747 |
* | Ultimate Software Group Inc. | 465,211 | 64,278 |
DST Systems Inc. | 618,522 | 57,009 | |
* | Fortinet Inc. | 2,253,774 | 56,637 |
* | Synaptics Inc. | 622,332 | 56,408 |
* | Riverbed Technology Inc. | 2,634,843 | 54,357 |
* | SS&C Technologies Holdings Inc. | 1,217,558 | 53,840 |
* | AOL Inc. | 1,311,966 | 52,203 |
Lexmark International Inc. Class A | 1,075,725 | 51,807 | |
CDW Corp. | 1,615,435 | 51,500 | |
* | TIBCO Software Inc. | 2,530,128 | 51,033 |
* | JDS Uniphase Corp. | 4,054,868 | 50,564 |
* | Verint Systems Inc. | 1,020,314 | 50,046 |
* | Tableau Software Inc. Class A | 694,579 | 49,544 |
Leidos Holdings Inc. | 1,291,698 | 49,524 | |
* | Tyler Technologies Inc. | 541,759 | 49,414 |
* | RF Micro Devices Inc. | 4,943,483 | 47,408 |
* | Allscripts Healthcare Solutions Inc. | 2,945,657 | 47,278 |
20
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | TriQuint Semiconductor Inc. | 2,959,789 | 46,794 |
* | Guidewire Software Inc. | 1,125,177 | 45,750 |
* | Cavium Inc. | 912,722 | 45,326 |
* | Manhattan Associates Inc. | 1,309,293 | 45,079 |
^,* | Advanced Micro Devices Inc. | 10,532,089 | 44,129 |
* | Microsemi Corp. | 1,640,455 | 43,899 |
* | MICROS Systems Inc. | 646,221 | 43,878 |
* | Freescale Semiconductor Ltd. | 1,828,891 | 42,979 |
* | SolarWinds Inc. | 1,107,121 | 42,801 |
Hittite Microwave Corp. | 541,917 | 42,242 | |
* | ViaSat Inc. | 721,172 | 41,799 |
* | Tech Data Corp. | 660,627 | 41,302 |
Diebold Inc. | 1,004,379 | 40,346 | |
* | Dealertrack Technologies Inc. | 879,294 | 39,867 |
j2 Global Inc. | 780,413 | 39,692 | |
* | EchoStar Corp. Class A | 747,094 | 39,551 |
* | Rovi Corp. | 1,636,515 | 39,211 |
* | CommVault Systems Inc. | 774,414 | 38,078 |
* | Medidata Solutions Inc. | 887,793 | 38,006 |
* | Integrated Device Technology Inc. | 2,450,279 | 37,881 |
Fair Isaac Corp. | 591,957 | 37,743 | |
* | Ciena Corp. | 1,732,688 | 37,530 |
* | ACI Worldwide Inc. | 655,116 | 36,575 |
* | Demandware Inc. | 526,915 | 36,552 |
* | Electronics For Imaging Inc. | 804,760 | 36,375 |
Mentor Graphics Corp. | 1,673,084 | 36,088 | |
Compuware Corp. | 3,605,467 | 36,019 | |
Plantronics Inc. | 735,100 | 35,322 | |
* | Qlik Technologies Inc. | 1,548,579 | 35,029 |
* | SYNNEX Corp. | 472,817 | 34,445 |
* | International Rectifier Corp. | 1,231,284 | 34,353 |
* | Informatica Corp. | 948,338 | 33,808 |
* | Cornerstone OnDemand Inc. | 734,482 | 33,801 |
* | Fairchild Semiconductor International Inc. Class A | 2,158,275 | 33,669 |
* | CommScope Holding Co. Inc. | 1,447,816 | 33,488 |
InterDigital Inc. | 698,848 | 33,405 | |
* | Silicon Laboratories Inc. | 675,566 | 33,272 |
Intersil Corp. Class A | 2,224,694 | 33,259 | |
* | Entegris Inc. | 2,404,227 | 33,046 |
* | Finisar Corp. | 1,671,699 | 33,016 |
* | Sapient Corp. | 1,959,291 | 31,839 |
Science Applications International Corp. | 709,321 | 31,324 | |
* | Aruba Networks Inc. | 1,784,553 | 31,265 |
* | Semtech Corp. | 1,162,277 | 30,394 |
* | Polycom Inc. | 2,386,646 | 29,905 |
MKS Instruments Inc. | 924,845 | 28,892 | |
Power Integrations Inc. | 499,170 | 28,722 | |
Blackbaud Inc. | 797,442 | 28,501 | |
* | CACI International Inc. Class A | 405,877 | 28,497 |
^,* | InvenSense Inc. | 1,218,751 | 27,653 |
Monolithic Power Systems Inc. | 633,599 | 26,833 | |
Cypress Semiconductor Corp. | 2,452,385 | 26,756 | |
* | NetScout Systems Inc. | 602,870 | 26,731 |
* | Rambus Inc. | 1,866,755 | 26,695 |
* | EPAM Systems Inc. | 608,714 | 26,631 |
* | Envestnet Inc. | 529,384 | 25,897 |
Cogent Communications Holdings Inc. | 726,081 | 25,086 | |
* | Web.com Group Inc. | 849,807 | 24,534 |
* | Cirrus Logic Inc. | 1,072,136 | 24,380 |
^,* | Ubiquiti Networks Inc. | 532,577 | 24,067 |
Advent Software Inc. | 711,295 | 23,167 | |
* | MedAssets Inc. | 1,000,892 | 22,860 |
* | MicroStrategy Inc. Class A | 156,605 | 22,022 |
* | Spansion Inc. Class A | 1,042,916 | 21,974 |
21
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | NETGEAR Inc. | 630,659 | 21,928 |
* | Unisys Corp. | 882,907 | 21,843 |
* | PMC-Sierra Inc. | 2,861,884 | 21,779 |
* | Insight Enterprises Inc. | 707,003 | 21,733 |
* | Syntel Inc. | 252,348 | 21,692 |
* | Progress Software Corp. | 887,366 | 21,332 |
* | OmniVision Technologies Inc. | 968,824 | 21,295 |
ADTRAN Inc. | 925,838 | 20,887 | |
* | Amkor Technology Inc. | 1,839,207 | 20,562 |
* | Bottomline Technologies de Inc. | 680,167 | 20,351 |
* | iGATE Corp. | 558,644 | 20,329 |
* | Shutterstock Inc. | 243,028 | 20,166 |
* | FleetMatics Group plc | 612,716 | 19,815 |
* | Kulicke & Soffa Industries Inc. | 1,322,779 | 18,863 |
* | ScanSource Inc. | 492,387 | 18,750 |
* | Synchronoss Technologies Inc. | 533,182 | 18,640 |
* | LogMeIn Inc. | 398,203 | 18,564 |
* | Infinera Corp. | 2,009,784 | 18,490 |
Tessera Technologies Inc. | 831,002 | 18,349 | |
* | RealPage Inc. | 816,184 | 18,348 |
Monotype Imaging Holdings Inc. | 648,346 | 18,264 | |
* | Fusion-io Inc. | 1,585,352 | 17,915 |
* | Cabot Microelectronics Corp. | 395,571 | 17,662 |
* | Diodes Inc. | 606,625 | 17,568 |
* | Dycom Industries Inc. | 556,817 | 17,434 |
^,* | Gogo Inc. | 881,017 | 17,233 |
^,* | Veeva Systems Inc. Class A | 671,049 | 17,078 |
* | Lattice Semiconductor Corp. | 2,032,092 | 16,765 |
* | Interactive Intelligence Group Inc. | 287,523 | 16,139 |
NIC Inc. | 1,013,351 | 16,062 | |
* | QLogic Corp. | 1,505,464 | 15,190 |
* | Loral Space & Communications Inc. | 203,265 | 14,775 |
* | Super Micro Computer Inc. | 581,717 | 14,700 |
CSG Systems International Inc. | 559,043 | 14,597 | |
* | Applied Micro Circuits Corp. | 1,346,192 | 14,552 |
* | Ellie Mae Inc. | 461,808 | 14,376 |
* | Sonus Networks Inc. | 3,848,917 | 13,818 |
West Corp. | 507,024 | 13,588 | |
* | Ruckus Wireless Inc. | 1,132,817 | 13,492 |
* | ICG Group Inc. | 639,309 | 13,349 |
* | BroadSoft Inc. | 494,540 | 13,051 |
* | Advanced Energy Industries Inc. | 673,878 | 12,972 |
* | Ixia | 1,117,193 | 12,770 |
* | Blucora Inc. | 675,353 | 12,744 |
^,* | VirnetX Holding Corp. | 713,036 | 12,557 |
Quality Systems Inc. | 779,385 | 12,509 | |
Pegasystems Inc. | 591,957 | 12,502 | |
^,* | Marketo Inc. | 420,019 | 12,214 |
* | Harmonic Inc. | 1,628,029 | 12,145 |
Brooks Automation Inc. | 1,098,026 | 11,826 | |
Computer Programs & Systems Inc. | 183,489 | 11,670 | |
* | Infoblox Inc. | 848,572 | 11,159 |
* | Ultratech Inc. | 461,442 | 10,235 |
* | Proofpoint Inc. | 272,028 | 10,190 |
Comtech Telecommunications Corp. | 263,624 | 9,841 | |
* | Comverse Inc. | 368,330 | 9,827 |
* | Tangoe Inc. | 635,828 | 9,576 |
* | ChannelAdvisor Corp. | 361,162 | 9,520 |
* | Cray Inc. | 334,370 | 8,894 |
Micrel Inc. | 781,663 | 8,817 | |
* | LivePerson Inc. | 843,926 | 8,566 |
^,* | Endurance International Group Holdings Inc. | 558,360 | 8,537 |
^,* | Rocket Fuel Inc. | 273,575 | 8,505 |
* | Cvent Inc. | 284,974 | 8,290 |
22
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
^ | Ebix Inc. | 564,460 | 8,077 |
* | FormFactor Inc. | 961,064 | 7,996 |
* | Digital River Inc. | 508,450 | 7,845 |
* | Emulex Corp. | 1,303,251 | 7,429 |
* | RingCentral Inc. Class A | 489,471 | 7,406 |
Forrester Research Inc. | 195,340 | 7,400 | |
* | Intralinks Holdings Inc. | 828,408 | 7,365 |
^,* | Textura Corp. | 301,301 | 7,123 |
Epiq Systems Inc. | 493,925 | 6,940 | |
* | Gigamon Inc. | 358,834 | 6,868 |
* | Silicon Image Inc. | 1,355,351 | 6,831 |
* | Mercury Systems Inc. | 546,494 | 6,197 |
* | Inphi Corp. | 405,833 | 5,958 |
* | Silicon Graphics International Corp. | 595,133 | 5,725 |
* | Jive Software Inc. | 669,603 | 5,698 |
* | CEVA Inc. | 363,047 | 5,362 |
* | Calix Inc. | 653,087 | 5,342 |
* | Entropic Communications Inc. | 1,534,816 | 5,111 |
^,* | Millennial Media Inc. | 1,018,170 | 5,081 |
^,* | Benefitfocus Inc. | 108,620 | 5,020 |
* | Vocera Communications Inc. | 369,990 | 4,884 |
* | Pendrell Corp. | 2,571,046 | 4,525 |
* | Quantum Corp. | 3,685,973 | 4,497 |
* | Barracuda Networks Inc. | 105,101 | 3,260 |
* | Systemax Inc. | 222,485 | 3,197 |
* | Castlight Health Inc. Class B | 209,680 | 3,187 |
* | OPOWER Inc. | 127,528 | 2,404 |
* | Piksel Inc. | 241 | — |
5,647,065 | |||
Telecommunications (0.5%) | |||
* | tw telecom inc Class A | 2,382,987 | 96,058 |
Telephone & Data Systems Inc. | 1,579,214 | 41,233 | |
^,* | Globalstar Inc. | 6,890,863 | 29,286 |
* | Cincinnati Bell Inc. | 3,607,917 | 14,179 |
Consolidated Communications Holdings Inc. | 625,746 | 13,917 | |
* | Vonage Holdings Corp. | 3,112,537 | 11,672 |
^,* | Iridium Communications Inc. | 1,272,199 | 10,763 |
Atlantic Tele-Network Inc. | 165,080 | 9,575 | |
* | United States Cellular Corp. | 221,272 | 9,028 |
* | Intelsat SA | 367,769 | 6,929 |
EarthLink Holdings Corp. | 1,771,022 | 6,588 | |
* | NII Holdings Inc. | 340 | — |
249,228 | |||
Utilities (3.7%) | |||
AGL Resources Inc. | 2,060,403 | 113,384 | |
UGI Corp. | 1,988,217 | 100,405 | |
ITC Holdings Corp. | 2,723,420 | 99,350 | |
Atmos Energy Corp. | 1,730,934 | 92,432 | |
Westar Energy Inc. Class A | 2,226,999 | 85,049 | |
Aqua America Inc. | 3,059,114 | 80,210 | |
Questar Corp. | 3,026,070 | 75,046 | |
Great Plains Energy Inc. | 2,661,235 | 71,507 | |
TECO Energy Inc. | 3,763,079 | 69,542 | |
Cleco Corp. | 1,042,857 | 61,476 | |
Vectren Corp. | 1,424,752 | 60,552 | |
* | Dynegy Inc. Class A | 1,646,841 | 57,310 |
Piedmont Natural Gas Co. Inc. | 1,350,135 | 50,509 | |
IDACORP Inc. | 869,109 | 50,261 | |
Black Hills Corp. | 770,998 | 47,332 | |
Portland General Electric Co. | 1,350,653 | 46,827 | |
^ | Hawaiian Electric Industries Inc. | 1,753,111 | 44,389 |
Southwest Gas Corp. | 803,348 | 42,409 | |
New Jersey Resources Corp. | 727,924 | 41,608 | |
UNS Energy Corp. | 684,383 | 41,344 |
23
Vanguard® Small-Cap Index Fund | |||||
Schedule of Investments | |||||
June 30, 2014 | |||||
Market | |||||
Value | |||||
Shares | ($000) | ||||
PNM Resources Inc. | 1,376,111 | 40,361 | |||
WGL Holdings Inc. | 896,691 | 38,647 | |||
UIL Holdings Corp. | 976,705 | 37,808 | |||
ALLETE Inc. | 731,840 | 37,580 | |||
NorthWestern Corp. | 670,571 | 34,997 | |||
South Jersey Industries Inc. | 569,691 | 34,415 | |||
ONE Gas Inc. | 897,895 | 33,896 | |||
Laclede Group Inc. | 685,773 | 33,294 | |||
Avista Corp. | 987,468 | 33,100 | |||
El Paso Electric Co. | 696,407 | 28,002 | |||
MGE Energy Inc. | 598,809 | 23,659 | |||
American States Water Co. | 669,847 | 22,259 | |||
Northwest Natural Gas Co. | 468,666 | 22,098 | |||
Empire District Electric Co. | 746,133 | 19,161 | |||
California Water Service Group | 784,284 | 18,980 | |||
Ormat Technologies Inc. | 314,672 | 9,072 | |||
Atlantic Power Corp. | 2,088,088 | 8,561 | |||
1,806,832 | |||||
Total Common Stocks (Cost $34,751,230) | 49,096,150 | ||||
Coupon | |||||
Temporary Cash Investments (1.0%)1 | |||||
Money Market Fund (0.9%) | |||||
2,3 | Vanguard Market Liquidity Fund | 0.111% | 464,883,033 | 464,883 | |
Face | |||||
Maturity | Amount | ||||
Date | ($000) | ||||
U.S. Government and Agency Obligations (0.1%) | |||||
4 | Fannie Mae Discount Notes | 0.085% | 7/14/14 | 1,000 | 1,000 |
5,6 | Federal Home Loan Bank Discount Notes | 0.090% | 7/16/14 | 3,800 | 3,800 |
5 | Federal Home Loan Bank Discount Notes | 0.080% | 7/18/14 | 1,000 | 1,000 |
5,6 | Federal Home Loan Bank Discount Notes | 0.090% | 8/6/14 | 19,000 | 18,997 |
24,797 | |||||
Total Temporary Cash Investments (Cost $489,681) | 489,680 | ||||
Total Investments (100.9%) (Cost $35,240,911) | 49,585,830 | ||||
Other Assets and Liabilities—Net (-0.9%)3 | (435,120) | ||||
Net Assets (100%) | 49,150,710 |
* 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 0.9%, respectively, of net
assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day
yield.
3 Includes $458,615,000 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 $4,100,000 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, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.9%)1 | |||
Basic Materials (3.0%) | |||
Royal Gold Inc. | 744,466 | 56,669 | |
NewMarket Corp. | 124,585 | 48,851 | |
* | Platform Specialty Products Corp. | 1,579,679 | 44,278 |
Carpenter Technology Corp. | 610,512 | 38,615 | |
US Silica Holdings Inc. | 650,638 | 36,071 | |
* | KapStone Paper and Packaging Corp. | 986,673 | 32,688 |
*,^ | Polypore International Inc. | 545,648 | 26,044 |
* | Stillwater Mining Co. | 1,450,120 | 25,450 |
Cytec Industries Inc. | 217,193 | 22,897 | |
Balchem Corp. | 368,163 | 19,719 | |
Globe Specialty Metals Inc. | 761,911 | 15,833 | |
* | Calgon Carbon Corp. | 645,651 | 14,417 |
* | Coeur Mining Inc. | 1,253,084 | 11,503 |
* | Horsehead Holding Corp. | 613,764 | 11,207 |
* | RTI International Metals Inc. | 371,517 | 9,879 |
Haynes International Inc. | 150,095 | 8,494 | |
Deltic Timber Corp. | 138,454 | 8,365 | |
Hecla Mining Co. | 2,077,799 | 7,168 | |
* | Rentech Inc. | 2,687,668 | 6,961 |
* | Ferro Corp. | 526,278 | 6,610 |
*,^ | Intrepid Potash Inc. | 345,621 | 5,793 |
*,^ | Molycorp Inc. | 2,122,546 | 5,455 |
*,^ | Allied Nevada Gold Corp. | 1,170,149 | 4,400 |
American Vanguard Corp. | 306,208 | 4,048 | |
^ | Gold Resource Corp. | 347,814 | 1,760 |
473,175 | |||
Consumer Goods (8.1%) | |||
Harman International Industries Inc. | 825,040 | 88,634 | |
* | Toll Brothers Inc. | 1,938,239 | 71,521 |
* | WhiteWave Foods Co. Class A | 2,106,412 | 68,185 |
* | Kate Spade & Co. | 1,531,805 | 58,423 |
* | Middleby Corp. | 693,207 | 57,342 |
* | Hain Celestial Group Inc. | 576,261 | 51,137 |
Gentex Corp. | 1,677,821 | 48,808 | |
Brunswick Corp. | 1,122,357 | 47,285 | |
Flowers Foods Inc. | 2,152,918 | 45,383 | |
* | Tempur Sealy International Inc. | 735,876 | 43,932 |
Carter's Inc. | 617,421 | 42,559 | |
* | Darling Ingredients Inc. | 1,992,146 | 41,636 |
* | Deckers Outdoor Corp. | 398,126 | 34,370 |
Wolverine World Wide Inc. | 1,166,225 | 30,392 | |
Pool Corp. | 518,697 | 29,337 | |
* | Zynga Inc. Class A | 8,520,969 | 27,352 |
* | Post Holdings Inc. | 505,758 | 25,748 |
* | Steven Madden Ltd. | 721,546 | 24,749 |
* | Boston Beer Co. Inc. Class A | 105,896 | 23,670 |
Lancaster Colony Corp. | 248,114 | 23,611 | |
Nu Skin Enterprises Inc. Class A | 303,225 | 22,426 | |
Ryland Group Inc. | 539,467 | 21,277 | |
B&G Foods Inc. | 637,764 | 20,848 | |
* | G-III Apparel Group Ltd. | 227,155 | 18,549 |
* | Dorman Products Inc. | 375,528 | 18,521 |
* | Meritage Homes Corp. | 426,047 | 17,983 |
^ | Vector Group Ltd. | 845,273 | 17,480 |
* | TiVo Inc. | 1,320,589 | 17,049 |
J&J Snack Foods Corp. | 181,064 | 17,042 | |
Snyder's-Lance Inc. | 636,354 | 16,838 | |
* | Standard Pacific Corp. | 1,857,505 | 15,975 |
Interface Inc. Class A | 764,368 | 14,401 | |
MDC Holdings Inc. | 472,735 | 14,319 | |
Drew Industries Inc. | 271,658 | 13,586 |
25
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | iRobot Corp. | 321,069 | 13,148 |
WD-40 Co. | 172,215 | 12,954 | |
* | Select Comfort Corp. | 624,090 | 12,894 |
Oxford Industries Inc. | 179,191 | 11,947 | |
* | Tumi Holdings Inc. | 574,985 | 11,574 |
* | Boulder Brands Inc. | 700,244 | 9,929 |
* | Gentherm Inc. | 202,983 | 9,023 |
* | Blount International Inc. | 598,652 | 8,447 |
* | Diamond Foods Inc. | 266,082 | 7,503 |
* | Vince Holding Corp. | 200,131 | 7,329 |
* | Annie's Inc. | 206,285 | 6,977 |
* | USANA Health Sciences Inc. | 85,382 | 6,672 |
* | RealD Inc. | 519,219 | 6,625 |
* | Vera Bradley Inc. | 251,650 | 5,504 |
* | LeapFrog Enterprises Inc. | 734,554 | 5,399 |
* | Taylor Morrison Home Corp. Class A | 207,353 | 4,649 |
* | Phibro Animal Health Corp. Class A | 179,613 | 3,942 |
* | DTS Inc. | 205,352 | 3,781 |
* | National Beverage Corp. | 146,029 | 2,763 |
* | Revlon Inc. Class A | 63,421 | 1,934 |
1,283,362 | |||
Consumer Services (13.3%) | |||
* | Pandora Media Inc. | 2,238,465 | 66,035 |
Dunkin' Brands Group Inc. | 1,287,227 | 58,968 | |
* | Spirit Airlines Inc. | 880,453 | 55,680 |
Dick's Sporting Goods Inc. | 1,183,079 | 55,084 | |
* | Yelp Inc. Class A | 702,083 | 53,836 |
Lamar Advertising Co. Class A | 974,777 | 51,663 | |
* | Copart Inc. | 1,371,198 | 49,308 |
Domino's Pizza Inc. | 673,303 | 49,212 | |
* | Sally Beauty Holdings Inc. | 1,959,685 | 49,149 |
* | Panera Bread Co. Class A | 315,732 | 47,306 |
* | Madison Square Garden Co. Class A | 731,171 | 45,662 |
* | AMC Networks Inc. Class A | 696,737 | 42,842 |
* | Live Nation Entertainment Inc. | 1,698,405 | 41,934 |
*,^ | SolarCity Corp. | 557,597 | 39,366 |
* | Groupon Inc. Class A | 5,762,478 | 38,148 |
* | Buffalo Wild Wings Inc. | 228,694 | 37,897 |
* | Restoration Hardware Holdings Inc. | 405,082 | 37,693 |
GNC Holdings Inc. Class A | 1,101,898 | 37,575 | |
* | United Natural Foods Inc. | 570,616 | 37,147 |
Six Flags Entertainment Corp. | 863,746 | 36,752 | |
* | Cabela's Inc. | 558,786 | 34,868 |
Vail Resorts Inc. | 437,905 | 33,798 | |
Sotheby's | 750,894 | 31,530 | |
* | Bally Technologies Inc. | 475,330 | 31,239 |
Chico's FAS Inc. | 1,762,093 | 29,885 | |
* | HomeAway Inc. | 849,474 | 29,579 |
Lions Gate Entertainment Corp. | 1,026,809 | 29,346 | |
DSW Inc. Class A | 1,003,802 | 28,046 | |
* | Ascena Retail Group Inc. | 1,565,438 | 26,769 |
* | OpenTable Inc. | 256,194 | 26,542 |
* | Grand Canyon Education Inc. | 564,435 | 25,947 |
Cheesecake Factory Inc. | 544,030 | 25,254 | |
* | Lumber Liquidators Holdings Inc. | 315,331 | 23,949 |
Rollins Inc. | 795,399 | 23,862 | |
* | Five Below Inc. | 591,099 | 23,591 |
HSN Inc. | 386,459 | 22,894 | |
* | Genesco Inc. | 275,792 | 22,651 |
* | Bloomin' Brands Inc. | 988,563 | 22,173 |
* | Life Time Fitness Inc. | 445,157 | 21,697 |
* | WebMD Health Corp. | 445,452 | 21,515 |
* | ANN Inc. | 510,073 | 20,984 |
Texas Roadhouse Inc. Class A | 759,336 | 19,743 |
26
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Monro Muffler Brake Inc. | 362,662 | 19,290 | |
Allegiant Travel Co. Class A | 162,455 | 19,132 | |
PriceSmart Inc. | 219,279 | 19,086 | |
* | Shutterfly Inc. | 442,930 | 19,073 |
* | DreamWorks Animation SKG Inc. Class A | 790,841 | 18,395 |
* | Marriott Vacations Worldwide Corp. | 312,603 | 18,328 |
Morningstar Inc. | 243,646 | 17,496 | |
Finish Line Inc. Class A | 584,028 | 17,369 | |
* | Hibbett Sports Inc. | 313,634 | 16,990 |
* | Caesars Acquisition Co. Class A | 1,314,495 | 16,260 |
* | Vitamin Shoppe Inc. | 372,556 | 16,027 |
Papa John's International Inc. | 374,610 | 15,880 | |
Pier 1 Imports Inc. | 1,029,722 | 15,868 | |
*,^ | Fresh Market Inc. | 468,713 | 15,688 |
* | Orient-Express Hotels Ltd. Class A | 1,067,210 | 15,517 |
* | Bright Horizons Family Solutions Inc. | 357,547 | 15,353 |
*,^ | Conn's Inc. | 306,257 | 15,126 |
Churchill Downs Inc. | 162,050 | 14,602 | |
* | comScore Inc. | 398,469 | 14,138 |
* | Bankrate Inc. | 760,842 | 13,345 |
* | Popeyes Louisiana Kitchen Inc. | 288,799 | 12,623 |
* | Krispy Kreme Doughnuts Inc. | 788,548 | 12,601 |
* | Constant Contact Inc. | 379,889 | 12,198 |
* | Burlington Stores Inc. | 356,945 | 11,372 |
* | RetailMeNot Inc. | 390,308 | 10,386 |
* | Ascent Capital Group Inc. Class A | 155,118 | 10,239 |
* | BJ's Restaurants Inc. | 292,735 | 10,219 |
Interval Leisure Group Inc. | 454,087 | 9,963 | |
* | Diamond Resorts International Inc. | 411,077 | 9,566 |
*,^ | Clean Energy Fuels Corp. | 815,779 | 9,561 |
* | K12 Inc. | 382,933 | 9,217 |
Nexstar Broadcasting Group Inc. Class A | 176,055 | 9,086 | |
* | Mattress Firm Holding Corp. | 185,800 | 8,872 |
* | Pinnacle Entertainment Inc. | 342,611 | 8,627 |
* | Francesca's Holdings Corp. | 510,929 | 7,531 |
* | Zumiez Inc. | 263,640 | 7,274 |
^ | CBS Outdoor Americas Inc. | 218,066 | 7,126 |
*,^ | Media General Inc. | 345,187 | 7,087 |
* | Sonic Corp. | 312,742 | 6,905 |
* | Scientific Games Corp. Class A | 611,957 | 6,805 |
* | American Public Education Inc. | 190,338 | 6,544 |
*,^ | Noodles & Co. Class A | 187,457 | 6,447 |
AMC Entertainment Holdings Inc. | 257,599 | 6,407 | |
* | Angie's List Inc. | 531,739 | 6,349 |
*,^ | Container Store Group Inc. | 203,184 | 5,644 |
* | Cumulus Media Inc. Class A | 854,187 | 5,629 |
* | La Quinta Holdings Inc. | 274,995 | 5,263 |
*,^ | Coupons.com Inc. | 187,839 | 4,942 |
* | Tile Shop Holdings Inc. | 322,174 | 4,926 |
* | Sabre Corp. | 240,430 | 4,821 |
* | Blue Nile Inc. | 146,617 | 4,105 |
*,^ | SFX Entertainment Inc. | 486,334 | 3,939 |
ClubCorp Holdings Inc. | 180,699 | 3,350 | |
* | Potbelly Corp. | 159,414 | 2,544 |
* | Liquidity Services Inc. | 155,171 | 2,446 |
World Wrestling Entertainment Inc. Class A | 187,374 | 2,235 | |
* | Travelzoo Inc. | 85,944 | 1,663 |
*,^ | Fairway Group Holdings Corp. | 237,090 | 1,577 |
* | Demand Media Inc. | 274,582 | 1,324 |
*,^ | ReachLocal Inc. | 61,095 | 430 |
2,107,925 | |||
Financials (18.3%) | |||
Duke Realty Corp. | 3,991,371 | 72,483 | |
Extra Space Storage Inc. | 1,334,959 | 71,087 |
27
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | SVB Financial Group | 604,933 | 70,547 |
WP Carey Inc. | 1,083,164 | 69,756 | |
* | Signature Bank | 531,415 | 67,054 |
DDR Corp. | 3,697,376 | 65,185 | |
* | Howard Hughes Corp. | 407,734 | 64,353 |
Regency Centers Corp. | 1,117,724 | 62,235 | |
Kilroy Realty Corp. | 998,074 | 62,160 | |
Waddell & Reed Financial Inc. Class A | 980,001 | 61,338 | |
Taubman Centers Inc. | 727,419 | 55,146 | |
CBOE Holdings Inc. | 1,041,279 | 51,241 | |
BioMed Realty Trust Inc. | 2,330,234 | 50,869 | |
*,^ | Zillow Inc. Class A | 345,408 | 49,369 |
American Campus Communities Inc. | 1,269,798 | 48,557 | |
* | Investors Bancorp Inc. | 4,337,366 | 47,928 |
Douglas Emmett Inc. | 1,652,218 | 46,626 | |
LaSalle Hotel Properties | 1,259,582 | 44,451 | |
Home Properties Inc. | 692,957 | 44,322 | |
Weingarten Realty Investors | 1,330,857 | 43,705 | |
RLJ Lodging Trust | 1,505,226 | 43,486 | |
Equity Lifestyle Properties Inc. | 958,168 | 42,313 | |
Tanger Factory Outlet Centers Inc. | 1,102,075 | 38,540 | |
* | E*TRADE Financial Corp. | 1,746,216 | 37,125 |
Gaming and Leisure Properties Inc. | 1,086,361 | 36,904 | |
Sunstone Hotel Investors Inc. | 2,438,815 | 36,411 | |
* | Portfolio Recovery Associates Inc. | 605,893 | 36,069 |
* | Stifel Financial Corp. | 752,862 | 35,648 |
* | Washington Prime Group Inc. | 1,880,163 | 35,234 |
Post Properties Inc. | 657,733 | 35,162 | |
Healthcare Trust of America Inc. Class A | 2,872,440 | 34,584 | |
DCT Industrial Trust Inc. | 3,968,857 | 32,584 | |
* | Strategic Hotels & Resorts Inc. | 2,781,197 | 32,568 |
Sovran Self Storage Inc. | 399,296 | 30,846 | |
CubeSmart | 1,659,456 | 30,401 | |
* | Liberty Ventures Class A | 407,419 | 30,067 |
Healthcare Realty Trust Inc. | 1,164,757 | 29,608 | |
Pebblebrook Hotel Trust | 773,413 | 28,585 | |
Financial Engines Inc. | 622,761 | 28,199 | |
* | Texas Capital Bancshares Inc. | 521,149 | 28,116 |
Medical Properties Trust Inc. | 1,982,899 | 26,254 | |
Colony Financial Inc. | 1,117,947 | 25,959 | |
Spirit Realty Capital Inc. | 2,272,855 | 25,820 | |
PacWest Bancorp | 586,668 | 25,326 | |
^ | Ryman Hospitality Properties Inc. | 522,648 | 25,165 |
^ | Lexington Realty Trust | 2,230,438 | 24,557 |
Sun Communities Inc. | 471,646 | 23,507 | |
MarketAxess Holdings Inc. | 433,678 | 23,445 | |
Alexander & Baldwin Inc. | 560,263 | 23,223 | |
Chambers Street Properties | 2,872,354 | 23,094 | |
Kennedy-Wilson Holdings Inc. | 832,299 | 22,322 | |
* | Virtus Investment Partners Inc. | 105,291 | 22,295 |
Home BancShares Inc. | 670,154 | 21,994 | |
* | Altisource Portfolio Solutions SA | 188,540 | 21,603 |
DuPont Fabros Technology Inc. | 796,759 | 21,481 | |
* | Western Alliance Bancorp | 901,731 | 21,461 |
Artisan Partners Asset Management Inc. Class A | 356,056 | 20,181 | |
Chimera Investment Corp. | 6,218,812 | 19,838 | |
Evercore Partners Inc. Class A | 337,361 | 19,445 | |
* | First Cash Financial Services Inc. | 333,207 | 19,189 |
*,^ | Trulia Inc. | 402,495 | 19,070 |
Glimcher Realty Trust | 1,760,585 | 19,067 | |
PS Business Parks Inc. | 227,835 | 19,022 | |
Equity One Inc. | 796,206 | 18,782 | |
Chesapeake Lodging Trust | 605,600 | 18,307 | |
Education Realty Trust Inc. | 1,651,080 | 17,733 |
28
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Hudson Pacific Properties Inc. | 689,619 | 17,475 | |
* | Hilltop Holdings Inc. | 818,620 | 17,404 |
Altisource Residential Corp. | 653,539 | 17,012 | |
* | Blackhawk Network Holdings Inc. Class B | 630,767 | 16,936 |
Radian Group Inc. | 1,141,812 | 16,910 | |
Retail Opportunity Investments Corp. | 1,069,742 | 16,827 | |
Sabra Health Care REIT Inc. | 559,394 | 16,060 | |
Greenhill & Co. Inc. | 325,045 | 16,008 | |
* | WisdomTree Investments Inc. | 1,290,416 | 15,950 |
* | St. Joe Co. | 614,788 | 15,634 |
STAG Industrial Inc. | 650,487 | 15,618 | |
Hersha Hospitality Trust Class A | 2,306,997 | 15,480 | |
HFF Inc. Class A | 387,531 | 14,412 | |
FelCor Lodging Trust Inc. | 1,354,211 | 14,233 | |
NRG Yield Inc. Class A | 272,402 | 14,179 | |
* | Altisource Asset Management Corp. | 19,124 | 13,828 |
Ramco-Gershenson Properties Trust | 827,509 | 13,753 | |
* | Encore Capital Group Inc. | 295,619 | 13,427 |
* | TFS Financial Corp. | 925,512 | 13,198 |
* | Walter Investment Management Corp. | 432,843 | 12,890 |
Investors Real Estate Trust | 1,298,303 | 11,957 | |
ViewPoint Financial Group Inc. | 435,138 | 11,710 | |
* | Springleaf Holdings Inc. | 415,923 | 10,793 |
Washington REIT | 402,890 | 10,467 | |
*,^ | Nationstar Mortgage Holdings Inc. | 274,639 | 9,969 |
^ | Cohen & Steers Inc. | 222,276 | 9,642 |
National Bank Holdings Corp. Class A | 472,258 | 9,417 | |
Alexander's Inc. | 24,710 | 9,130 | |
Aviv REIT Inc. | 305,846 | 8,616 | |
* | Rayonier Advanced Materials Inc. | 214,045 | 8,294 |
* | Capital Bank Financial Corp. | 309,563 | 7,309 |
Silver Bay Realty Trust Corp. | 442,219 | 7,217 | |
* | Credit Acceptance Corp. | 55,857 | 6,876 |
* | Ladder Capital Corp. Class A | 367,374 | 6,638 |
* | PICO Holdings Inc. | 276,432 | 6,568 |
Universal Health Realty Income Trust | 140,723 | 6,119 | |
* | Tejon Ranch Co. | 174,336 | 5,612 |
* | CareTrust REIT Inc. | 252,342 | 4,996 |
GAMCO Investors Inc. | 57,576 | 4,782 | |
* | Forestar Group Inc. | 206,455 | 3,941 |
* | NewStar Financial Inc. | 275,444 | 3,873 |
Employers Holdings Inc. | 180,385 | 3,821 | |
* | PennyMac Financial Services Inc. Class A | 230,901 | 3,507 |
* | Moelis & Co. | 91,830 | 3,086 |
Urstadt Biddle Properties Inc. Class A | 141,539 | 2,955 | |
* | Talmer Bancorp Inc. Class A | 212,038 | 2,924 |
* | MoneyGram International Inc. | 181,504 | 2,674 |
Northfield Bancorp Inc. | 195,800 | 2,567 | |
* | Blackhawk Network Holdings Inc. | 5,350 | 151 |
* | Tejon Ranch Co. Warrants Exp. 08/31/2016 | 28,628 | 84 |
2,891,931 | |||
Health Care (14.2%) | |||
* | Salix Pharmaceuticals Ltd. | 729,759 | 90,016 |
* | Alkermes plc | 1,750,665 | 88,111 |
Cooper Cos. Inc. | 580,804 | 78,716 | |
* | MEDNAX Inc. | 1,204,022 | 70,014 |
* | Medivation Inc. | 880,649 | 67,880 |
Questcor Pharmaceuticals Inc. | 701,829 | 64,912 | |
* | Cubist Pharmaceuticals Inc. | 911,526 | 63,643 |
* | Sirona Dental Systems Inc. | 698,501 | 57,598 |
* | Centene Corp. | 663,243 | 50,148 |
* | Isis Pharmaceuticals Inc. | 1,423,208 | 49,029 |
* | Brookdale Senior Living Inc. | 1,435,303 | 47,853 |
* | Align Technology Inc. | 839,866 | 47,066 |
29
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | United Therapeutics Corp. | 522,520 | 46,238 |
* | Seattle Genetics Inc. | 1,192,492 | 45,613 |
Techne Corp. | 447,734 | 41,447 | |
* | Cepheid | 843,915 | 40,457 |
* | NPS Pharmaceuticals Inc. | 1,158,340 | 38,283 |
* | Pacira Pharmaceuticals Inc. | 410,046 | 37,667 |
* | PAREXEL International Corp. | 688,379 | 36,374 |
*,^ | Myriad Genetics Inc. | 905,667 | 35,249 |
* | Idenix Pharmaceuticals Inc. | 1,460,707 | 35,203 |
West Pharmaceutical Services Inc. | 812,607 | 34,276 | |
* | DexCom Inc. | 861,481 | 34,166 |
*,^ | MannKind Corp. | 2,822,438 | 31,019 |
* | Bruker Corp. | 1,219,115 | 29,588 |
* | Akorn Inc. | 880,508 | 29,277 |
*,^ | Theravance Inc. | 954,288 | 28,419 |
* | Insulet Corp. | 670,718 | 26,607 |
* | InterMune Inc. | 598,964 | 26,444 |
* | Acadia Healthcare Co. Inc. | 531,600 | 24,188 |
* | Impax Laboratories Inc. | 805,558 | 24,159 |
* | Thoratec Corp. | 688,498 | 24,001 |
Healthcare Services Group Inc. | 808,028 | 23,788 | |
* | Medicines Co. | 787,039 | 22,871 |
* | Haemonetics Corp. | 630,059 | 22,228 |
*,^ | OPKO Health Inc. | 2,508,778 | 22,178 |
* | Ironwood Pharmaceuticals Inc. Class A | 1,446,529 | 22,175 |
* | Air Methods Corp. | 426,502 | 22,029 |
* | HMS Holdings Corp. | 1,061,146 | 21,658 |
* | ACADIA Pharmaceuticals Inc. | 958,367 | 21,649 |
* | Puma Biotechnology Inc. | 309,849 | 20,450 |
* | NuVasive Inc. | 564,072 | 20,064 |
* | Nektar Therapeutics | 1,536,998 | 19,704 |
* | Globus Medical Inc. | 813,433 | 19,457 |
* | Cyberonics Inc. | 308,518 | 19,270 |
* | HeartWare International Inc. | 195,277 | 17,282 |
*,^ | Exact Sciences Corp. | 1,001,976 | 17,064 |
* | Neogen Corp. | 421,634 | 17,064 |
* | Acorda Therapeutics Inc. | 504,077 | 16,992 |
* | Emeritus Corp. | 504,339 | 15,962 |
* | Arena Pharmaceuticals Inc. | 2,658,781 | 15,580 |
Cantel Medical Corp. | 400,363 | 14,661 | |
* | Masimo Corp. | 618,075 | 14,587 |
* | Lannett Co. Inc. | 279,992 | 13,893 |
* | Sarepta Therapeutics Inc. | 443,057 | 13,199 |
*,^ | ARIAD Pharmaceuticals Inc. | 2,035,003 | 12,963 |
* | ImmunoGen Inc. | 1,038,700 | 12,309 |
*,^ | Auxilium Pharmaceuticals Inc. | 608,288 | 12,202 |
* | Synageva BioPharma Corp. | 114,523 | 12,002 |
* | Halozyme Therapeutics Inc. | 1,205,626 | 11,912 |
Analogic Corp. | 149,777 | 11,719 | |
Abaxis Inc. | 258,239 | 11,443 | |
* | Endologix Inc. | 737,976 | 11,225 |
*,^ | ABIOMED Inc. | 434,897 | 10,933 |
* | Volcano Corp. | 620,066 | 10,919 |
*,^ | Intrexon Corp. | 420,956 | 10,579 |
Meridian Bioscience Inc. | 503,566 | 10,394 | |
* | Aegerion Pharmaceuticals Inc. | 321,090 | 10,304 |
* | ICU Medical Inc. | 165,675 | 10,075 |
* | Tornier NV | 411,440 | 9,619 |
* | NxStage Medical Inc. | 668,990 | 9,613 |
* | IPC The Hospitalist Co. Inc. | 207,347 | 9,169 |
* | Bio-Reference Labs Inc. | 301,938 | 9,125 |
*,^ | Theravance Biopharma Inc. | 272,590 | 8,690 |
*,^ | Keryx Biopharmaceuticals Inc. | 562,828 | 8,656 |
* | Ligand Pharmaceuticals Inc. | 135,794 | 8,459 |
30
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Emergent Biosolutions Inc. | 369,528 | 8,300 |
*,^ | Merrimack Pharmaceuticals Inc. | 1,127,592 | 8,220 |
* | Luminex Corp. | 471,615 | 8,088 |
* | Quidel Corp. | 352,029 | 7,783 |
* | Accuray Inc. | 882,651 | 7,767 |
Ensign Group Inc. | 242,042 | 7,523 | |
* | Merit Medical Systems Inc. | 494,365 | 7,465 |
*,^ | Exelixis Inc. | 2,120,967 | 7,190 |
* | Healthways Inc. | 407,743 | 7,152 |
* | Momenta Pharmaceuticals Inc. | 576,810 | 6,968 |
* | Sagent Pharmaceuticals Inc. | 250,802 | 6,486 |
* | CorVel Corp. | 139,350 | 6,296 |
* | HealthStream Inc. | 254,257 | 6,178 |
*,^ | VIVUS Inc. | 1,104,698 | 5,877 |
* | Sequenom Inc. | 1,459,074 | 5,647 |
* | Spectrum Pharmaceuticals Inc. | 684,709 | 5,567 |
* | Genomic Health Inc. | 173,469 | 4,753 |
* | Epizyme Inc. | 144,655 | 4,502 |
*,^ | Dendreon Corp. | 1,907,233 | 4,387 |
* | Acceleron Pharma Inc. | 104,748 | 3,558 |
* | Relypsa Inc. | 143,435 | 3,488 |
* | BioScrip Inc. | 409,089 | 3,412 |
* | Lexicon Pharmaceuticals Inc. | 1,404,505 | 2,261 |
*,^ | Insys Therapeutics Inc. | 63,019 | 1,968 |
* | Wright Medical Group Inc. CVR | 165,303 | 246 |
* | Cubist Pharmaceuticals Inc. Rights Exp. 12/31/2015 | 123,009 | 14 |
2,240,872 | |||
Industrials (17.8%) | |||
* | Kirby Corp. | 621,290 | 72,778 |
Acuity Brands Inc. | 523,445 | 72,366 | |
Waste Connections Inc. | 1,426,487 | 69,256 | |
Lincoln Electric Holdings Inc. | 973,503 | 68,028 | |
* | Genesee & Wyoming Inc. Class A | 630,429 | 66,195 |
Jack Henry & Associates Inc. | 1,023,417 | 60,822 | |
* | Vantiv Inc. Class A | 1,768,124 | 59,444 |
* | CoStar Group Inc. | 365,984 | 57,888 |
Graco Inc. | 733,722 | 57,289 | |
MSC Industrial Direct Co. Inc. Class A | 588,359 | 56,271 | |
Manitowoc Co. Inc. | 1,636,830 | 53,786 | |
* | Old Dominion Freight Line Inc. | 834,299 | 53,128 |
Nordson Corp. | 655,020 | 52,526 | |
* | Zebra Technologies Corp. | 611,141 | 50,309 |
* | WEX Inc. | 469,036 | 49,235 |
Eagle Materials Inc. | 514,870 | 48,542 | |
* | Hexcel Corp. | 1,183,666 | 48,412 |
Valmont Industries Inc. | 309,048 | 46,960 | |
AO Smith Corp. | 937,332 | 46,473 | |
FEI Co. | 512,020 | 46,456 | |
* | USG Corp. | 1,502,510 | 45,271 |
Air Lease Corp. Class A | 1,171,975 | 45,215 | |
Toro Co. | 673,776 | 42,852 | |
Packaging Corp. of America | 594,984 | 42,535 | |
* | Clean Harbors Inc. | 625,205 | 40,169 |
Fortune Brands Home & Security Inc. | 1,004,922 | 40,127 | |
National Instruments Corp. | 1,222,026 | 39,581 | |
* | Cognex Corp. | 998,526 | 38,343 |
CLARCOR Inc. | 610,225 | 37,742 | |
Woodward Inc. | 722,255 | 36,243 | |
Landstar System Inc. | 544,060 | 34,820 | |
MAXIMUS Inc. | 778,375 | 33,486 | |
* | HD Supply Holdings Inc. | 1,179,445 | 33,484 |
Watsco Inc. | 309,614 | 31,816 | |
* | Genpact Ltd. | 1,699,873 | 29,799 |
* | IPG Photonics Corp. | 409,537 | 28,176 |
31
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Corporate Executive Board Co. | 409,067 | 27,907 | |
* | DigitalGlobe Inc. | 913,169 | 25,386 |
Lennox International Inc. | 267,918 | 23,997 | |
* | Navistar International Corp. | 639,798 | 23,980 |
* | Advisory Board Co. | 443,035 | 22,949 |
* | MasTec Inc. | 710,849 | 21,908 |
* | Proto Labs Inc. | 263,589 | 21,593 |
* | Hub Group Inc. Class A | 422,875 | 21,313 |
* | On Assignment Inc. | 591,840 | 21,052 |
* | MWI Veterinary Supply Inc. | 147,796 | 20,986 |
Mueller Industries Inc. | 686,571 | 20,192 | |
* | Huron Consulting Group Inc. | 285,018 | 20,185 |
* | EnPro Industries Inc. | 275,145 | 20,130 |
* | TriMas Corp. | 520,042 | 19,829 |
Franklin Electric Co. Inc. | 491,410 | 19,819 | |
*,^ | NeuStar Inc. Class A | 729,051 | 18,970 |
* | WageWorks Inc. | 382,426 | 18,437 |
EVERTEC Inc. | 760,556 | 18,436 | |
* | Cardtronics Inc. | 538,421 | 18,349 |
Simpson Manufacturing Co. Inc. | 503,437 | 18,305 | |
Forward Air Corp. | 377,619 | 18,069 | |
RBC Bearings Inc. | 281,400 | 18,024 | |
* | Veeco Instruments Inc. | 460,406 | 17,155 |
Tennant Co. | 222,945 | 17,015 | |
Heartland Payment Systems Inc. | 412,096 | 16,983 | |
*,^ | Universal Display Corp. | 506,591 | 16,262 |
* | Knowles Corp. | 514,554 | 15,817 |
* | Measurement Specialties Inc. | 183,255 | 15,773 |
HEICO Corp. Class A | 388,379 | 15,768 | |
* | OSI Systems Inc. | 229,307 | 15,306 |
* | Armstrong World Industries Inc. | 265,592 | 15,253 |
HEICO Corp. | 287,262 | 14,920 | |
* | Vistaprint NV | 362,522 | 14,668 |
*,^ | Outerwall Inc. | 246,590 | 14,635 |
Raven Industries Inc. | 440,937 | 14,613 | |
* | Rogers Corp. | 219,313 | 14,551 |
* | ExamWorks Group Inc. | 443,062 | 14,058 |
^ | Sturm Ruger & Co. Inc. | 234,727 | 13,851 |
AZZ Inc. | 294,076 | 13,551 | |
* | Swift Transportation Co. | 510,757 | 12,886 |
* | Louisiana-Pacific Corp. | 854,094 | 12,829 |
Primoris Services Corp. | 437,633 | 12,621 | |
^ | Lindsay Corp. | 147,765 | 12,482 |
* | LifeLock Inc. | 892,153 | 12,454 |
* | Wabash National Corp. | 834,124 | 11,886 |
* | ExlService Holdings Inc. | 389,756 | 11,478 |
Exponent Inc. | 150,796 | 11,176 | |
* | Trex Co. Inc. | 386,272 | 11,132 |
Sun Hydraulics Corp. | 271,997 | 11,043 | |
AAON Inc. | 310,246 | 10,399 | |
* | RPX Corp. | 577,512 | 10,251 |
* | FARO Technologies Inc. | 208,545 | 10,244 |
* | Coherent Inc. | 150,725 | 9,974 |
* | II-VI Inc. | 674,710 | 9,756 |
*,^ | Smith & Wesson Holding Corp. | 665,114 | 9,671 |
* | Thermon Group Holdings Inc. | 367,115 | 9,663 |
* | Roadrunner Transportation Systems Inc. | 343,642 | 9,656 |
* | Team Inc. | 235,051 | 9,642 |
* | DXP Enterprises Inc. | 123,428 | 9,324 |
* | XPO Logistics Inc. | 317,791 | 9,095 |
Badger Meter Inc. | 166,038 | 8,742 | |
Quanex Building Products Corp. | 454,074 | 8,114 | |
Mueller Water Products Inc. Class A | 918,556 | 7,936 | |
American Railcar Industries Inc. | 116,269 | 7,880 |
32
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Gorman-Rupp Co. | 222,437 | 7,868 | |
* | GrafTech International Ltd. | 698,023 | 7,301 |
* | Aerovironment Inc. | 220,400 | 7,009 |
* | H&E Equipment Services Inc. | 191,946 | 6,975 |
Heartland Express Inc. | 318,751 | 6,802 | |
* | Imperva Inc. | 254,660 | 6,667 |
Albany International Corp. | 173,241 | 6,576 | |
Apogee Enterprises Inc. | 172,297 | 6,006 | |
Acacia Research Corp. | 301,810 | 5,357 | |
* | Bazaarvoice Inc. | 651,867 | 5,143 |
Landauer Inc. | 120,343 | 5,054 | |
* | TriNet Group Inc. | 209,168 | 5,035 |
* | Mistras Group Inc. | 196,518 | 4,819 |
* | Nortek Inc. | 51,815 | 4,651 |
*,^ | Nuverra Environmental Solutions Inc. | 195,896 | 3,940 |
* | InnerWorkings Inc. | 404,274 | 3,436 |
* | M/A-COM Technology Solutions Holdings Inc. | 146,925 | 3,303 |
Griffon Corp. | 263,611 | 3,269 | |
* | Ply Gem Holdings Inc. | 126,576 | 1,278 |
* | Higher One Holdings Inc. | 201,277 | 767 |
Electro Scientific Industries Inc. | 82,145 | 559 | |
2,817,967 | |||
Oil & Gas (7.9%) | |||
* | Gulfport Energy Corp. | 1,034,056 | 64,939 |
Targa Resources Corp. | 461,379 | 64,395 | |
* | Oasis Petroleum Inc. | 1,040,885 | 58,175 |
* | Dril-Quip Inc. | 469,488 | 51,287 |
* | Kodiak Oil & Gas Corp. | 3,226,055 | 46,939 |
* | Diamondback Energy Inc. | 492,200 | 43,707 |
* | Rosetta Resources Inc. | 743,618 | 40,787 |
SemGroup Corp. Class A | 515,778 | 40,669 | |
*,^ | SandRidge Energy Inc. | 5,684,911 | 40,647 |
* | Atwood Oceanics Inc. | 739,148 | 38,790 |
CARBO Ceramics Inc. | 237,663 | 36,629 | |
* | Carrizo Oil & Gas Inc. | 495,550 | 34,322 |
Tidewater Inc. | 601,933 | 33,799 | |
* | Athlon Energy Inc. | 646,703 | 30,848 |
* | Chart Industries Inc. | 368,790 | 30,514 |
* | Laredo Petroleum Inc. | 956,574 | 29,635 |
* | PDC Energy Inc. | 433,193 | 27,356 |
* | Forum Energy Technologies Inc. | 733,029 | 26,704 |
*,^ | SunPower Corp. Class A | 632,952 | 25,938 |
Energy XXI Bermuda Ltd. | 1,072,261 | 25,337 | |
Rowan Cos. plc Class A | 753,306 | 24,053 | |
* | Sanchez Energy Corp. | 633,188 | 23,802 |
* | NOW Inc. | 648,568 | 23,485 |
* | Matador Resources Co. | 754,185 | 22,083 |
* | Bonanza Creek Energy Inc. | 366,623 | 20,967 |
*,^ | Halcon Resources Corp. | 2,799,360 | 20,407 |
* | Flotek Industries Inc. | 621,772 | 19,996 |
* | Rice Energy Inc. | 620,744 | 18,902 |
* | Magnum Hunter Resources Corp. | 2,286,046 | 18,746 |
RPC Inc. | 794,611 | 18,665 | |
* | Hornbeck Offshore Services Inc. | 394,875 | 18,527 |
* | C&J Energy Services Inc. | 536,521 | 18,124 |
Pattern Energy Group Inc. Class A | 478,673 | 15,849 | |
* | Bill Barrett Corp. | 571,438 | 15,303 |
Comstock Resources Inc. | 521,096 | 15,028 | |
* | GT Advanced Technologies Inc. | 784,865 | 14,598 |
* | Penn Virginia Corp. | 793,931 | 13,457 |
Gulfmark Offshore Inc. | 293,473 | 13,259 | |
* | Goodrich Petroleum Corp. | 428,745 | 11,833 |
* | Northern Oil and Gas Inc. | 703,518 | 11,460 |
* | Rex Energy Corp. | 589,368 | 10,438 |
33
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Approach Resources Inc. | 428,847 | 9,748 |
* | RSP Permian Inc. | 263,211 | 8,539 |
* | Geospace Technologies Corp. | 151,029 | 8,319 |
*,^ | Solazyme Inc. | 654,565 | 7,711 |
* | Resolute Energy Corp. | 870,956 | 7,525 |
* | Pioneer Energy Services Corp. | 380,088 | 6,667 |
* | EP Energy Corp. Class A | 229,769 | 5,296 |
* | PetroQuest Energy Inc. | 700,732 | 5,269 |
* | Clayton Williams Energy Inc. | 36,841 | 5,061 |
*,^ | Quicksilver Resources Inc. | 1,566,187 | 4,182 |
* | ION Geophysical Corp. | 793,569 | 3,349 |
*,^ | Midstates Petroleum Co. Inc. | 422,619 | 3,055 |
* | Jones Energy Inc. | 140,666 | 2,884 |
* | Vantage Drilling Co. | 1,154,821 | 2,217 |
* | Eclipse Resources Corp. | 67,250 | 1,690 |
* | Parsley Energy Inc. Class A | 27,564 | 663 |
1,242,574 | |||
Technology (16.1%) | |||
* | SunEdison Inc. | 2,914,095 | 65,859 |
IAC/InterActiveCorp | 935,026 | 64,732 | |
* | Palo Alto Networks Inc. | 746,497 | 62,594 |
* | Cadence Design Systems Inc. | 3,504,375 | 61,291 |
* | athenahealth Inc. | 458,047 | 57,315 |
Solera Holdings Inc. | 832,758 | 55,920 | |
* | PTC Inc. | 1,435,834 | 55,710 |
* | Aspen Technology Inc. | 1,114,436 | 51,710 |
* | Concur Technologies Inc. | 550,730 | 51,405 |
* | Atmel Corp. | 4,840,745 | 45,358 |
* | Ultimate Software Group Inc. | 325,984 | 45,041 |
* | Fortinet Inc. | 1,579,039 | 39,681 |
* | Riverbed Technology Inc. | 1,846,099 | 38,085 |
* | SS&C Technologies Holdings Inc. | 853,024 | 37,721 |
* | TIBCO Software Inc. | 1,773,574 | 35,773 |
* | JDS Uniphase Corp. | 2,841,098 | 35,428 |
* | Tableau Software Inc. Class A | 487,001 | 34,738 |
* | Tyler Technologies Inc. | 379,513 | 34,615 |
* | Allscripts Healthcare Solutions Inc. | 2,063,915 | 33,126 |
* | TriQuint Semiconductor Inc. | 2,075,599 | 32,815 |
* | Guidewire Software Inc. | 788,282 | 32,052 |
* | Cavium Inc. | 639,672 | 31,766 |
* | Manhattan Associates Inc. | 917,313 | 31,583 |
*,^ | Advanced Micro Devices Inc. | 7,382,487 | 30,933 |
* | MICROS Systems Inc. | 452,802 | 30,745 |
* | Freescale Semiconductor Ltd. | 1,281,875 | 30,124 |
* | SolarWinds Inc. | 775,648 | 29,987 |
Hittite Microwave Corp. | 379,703 | 29,598 | |
* | ViaSat Inc. | 505,249 | 29,284 |
* | Dealertrack Technologies Inc. | 616,228 | 27,940 |
* | EchoStar Corp. Class A | 523,692 | 27,724 |
* | CommVault Systems Inc. | 542,594 | 26,679 |
* | Medidata Solutions Inc. | 621,978 | 26,627 |
* | Integrated Device Technology Inc. | 1,716,640 | 26,539 |
Fair Isaac Corp. | 414,800 | 26,448 | |
* | Ciena Corp. | 1,214,093 | 26,297 |
* | ACI Worldwide Inc. | 458,997 | 25,626 |
* | Demandware Inc. | 369,168 | 25,609 |
* | Electronics For Imaging Inc. | 563,870 | 25,487 |
Plantronics Inc. | 514,958 | 24,744 | |
* | Qlik Technologies Inc. | 1,085,127 | 24,546 |
* | International Rectifier Corp. | 862,710 | 24,070 |
* | Informatica Corp. | 664,438 | 23,687 |
* | Cornerstone OnDemand Inc. | 514,576 | 23,681 |
InterDigital Inc. | 489,657 | 23,406 | |
* | Silicon Laboratories Inc. | 473,310 | 23,310 |
34
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Entegris Inc. | 1,684,545 | 23,154 |
* | Finisar Corp. | 1,171,338 | 23,134 |
* | Sapient Corp. | 1,372,696 | 22,306 |
* | Aruba Networks Inc. | 1,250,375 | 21,907 |
* | Semtech Corp. | 814,322 | 21,295 |
Power Integrations Inc. | 349,737 | 20,124 | |
Blackbaud Inc. | 558,731 | 19,969 | |
*,^ | InvenSense Inc. | 853,956 | 19,376 |
Monolithic Power Systems Inc. | 444,022 | 18,804 | |
* | NetScout Systems Inc. | 422,430 | 18,731 |
* | Rambus Inc. | 1,307,949 | 18,704 |
* | EPAM Systems Inc. | 426,492 | 18,659 |
* | Envestnet Inc. | 371,124 | 18,155 |
Cogent Communications Holdings Inc. | 508,717 | 17,576 | |
* | Web.com Group Inc. | 595,333 | 17,187 |
*,^ | Ubiquiti Networks Inc. | 373,189 | 16,864 |
Advent Software Inc. | 498,312 | 16,230 | |
* | MedAssets Inc. | 701,223 | 16,016 |
* | MicroStrategy Inc. Class A | 109,742 | 15,432 |
* | Syntel Inc. | 176,882 | 15,205 |
* | Bottomline Technologies de Inc. | 477,049 | 14,273 |
* | iGATE Corp. | 391,446 | 14,245 |
* | Shutterstock Inc. | 170,366 | 14,137 |
* | FleetMatics Group plc | 429,392 | 13,887 |
* | Synchronoss Technologies Inc. | 373,686 | 13,064 |
* | LogMeIn Inc. | 279,163 | 13,015 |
* | Infinera Corp. | 1,408,503 | 12,958 |
* | RealPage Inc. | 572,104 | 12,861 |
Tessera Technologies Inc. | 582,362 | 12,859 | |
Monotype Imaging Holdings Inc. | 454,441 | 12,802 | |
Mentor Graphics Corp. | 585,317 | 12,625 | |
* | Fusion-io Inc. | 1,111,078 | 12,555 |
* | Diodes Inc. | 425,722 | 12,329 |
*,^ | Gogo Inc. | 617,600 | 12,080 |
* | Veeva Systems Inc. Class A | 470,561 | 11,976 |
* | Lattice Semiconductor Corp. | 1,424,546 | 11,752 |
* | Interactive Intelligence Group Inc. | 203,706 | 11,434 |
NIC Inc. | 710,471 | 11,261 | |
* | Super Micro Computer Inc. | 414,233 | 10,468 |
* | Applied Micro Circuits Corp. | 944,705 | 10,212 |
MKS Instruments Inc. | 323,648 | 10,111 | |
* | Ellie Mae Inc. | 323,422 | 10,068 |
* | Sonus Networks Inc. | 2,699,165 | 9,690 |
* | ICG Group Inc. | 453,720 | 9,474 |
* | Ruckus Wireless Inc. | 794,698 | 9,465 |
* | BroadSoft Inc. | 345,942 | 9,129 |
* | Ixia | 783,516 | 8,956 |
* | Blucora Inc. | 472,469 | 8,915 |
*,^ | VirnetX Holding Corp. | 498,802 | 8,784 |
Pegasystems Inc. | 415,245 | 8,770 | |
* | Marketo Inc. | 294,265 | 8,557 |
Computer Programs & Systems Inc. | 128,360 | 8,164 | |
* | Infoblox Inc. | 593,992 | 7,811 |
* | Ultratech Inc. | 322,818 | 7,160 |
* | Proofpoint Inc. | 190,366 | 7,131 |
* | Comverse Inc. | 257,645 | 6,874 |
* | Tangoe Inc. | 445,280 | 6,706 |
* | ChannelAdvisor Corp. | 253,017 | 6,670 |
* | Cray Inc. | 241,811 | 6,432 |
* | LivePerson Inc. | 590,699 | 5,996 |
* | Cvent Inc. | 205,360 | 5,974 |
*,^ | Rocket Fuel Inc. | 191,541 | 5,955 |
* | RingCentral Inc. Class A | 342,954 | 5,189 |
* | Loral Space & Communications Inc. | 71,332 | 5,185 |
35
Vanguard® Small-Cap Growth Index Fund | |||||
Schedule of Investments | |||||
June 30, 2014 | |||||
Market | |||||
Value | |||||
Shares | ($000) | ||||
Forrester Research Inc. | 136,594 | 5,174 | |||
*,^ | Textura Corp. | 217,418 | 5,140 | ||
* | Silicon Image Inc. | 978,273 | 4,930 | ||
*,^ | Gigamon Inc. | 253,161 | 4,845 | ||
* | Advanced Energy Industries Inc. | 236,110 | 4,545 | ||
Quality Systems Inc. | 273,113 | 4,383 | |||
* | Inphi Corp. | 291,528 | 4,280 | ||
* | Silicon Graphics International Corp. | 430,614 | 4,142 | ||
Brooks Automation Inc. | 383,704 | 4,132 | |||
* | Jive Software Inc. | 468,695 | 3,989 | ||
* | CEVA Inc. | 253,970 | 3,751 | ||
* | Entropic Communications Inc. | 1,084,568 | 3,612 | ||
*,^ | Millennial Media Inc. | 712,201 | 3,554 | ||
* | Vocera Communications Inc. | 264,400 | 3,490 | ||
* | Quantum Corp. | 2,637,884 | 3,218 | ||
*,^ | Endurance International Group Holdings Inc. | 195,472 | 2,989 | ||
^ | Ebix Inc. | 203,458 | 2,911 | ||
*,^ | Barracuda Networks Inc. | 84,630 | 2,625 | ||
* | Castlight Health Inc. Class B | 147,040 | 2,235 | ||
* | Calix Inc. | 233,609 | 1,911 | ||
* | OPOWER Inc. | 89,280 | 1,683 | ||
2,541,735 | |||||
Telecommunications (0.6%) | |||||
* | tw telecom inc Class A | 1,669,503 | 67,298 | ||
*,^ | Globalstar Inc. | 4,831,209 | 20,533 | ||
* | Cincinnati Bell Inc. | 2,530,617 | 9,945 | ||
* | Intelsat SA | 133,446 | 2,514 | ||
100,290 | |||||
Utilities (0.6%) | |||||
ITC Holdings Corp. | 1,909,597 | 69,662 | |||
* | Dynegy Inc. Class A | 577,028 | 20,081 | ||
Ormat Technologies Inc. | 113,827 | 3,282 | |||
^ | Atlantic Power Corp. | 755,941 | 3,099 | ||
96,124 | |||||
Total Common Stocks (Cost $11,587,974) | 15,795,955 | ||||
Coupon | |||||
Temporary Cash Investments (1.7%)1 | |||||
Money Market Fund (1.6%) | |||||
2,3 | Vanguard Market Liquidity Fund | 0.111% | 259,731,887 | 259,732 | |
Face | |||||
Maturity | Amount | ||||
Date | ($000) | ||||
U.S. Government and Agency Obligations (0.1%) | |||||
4 | Fannie Mae Discount Notes | 0.060% | 9/3/14 | 3,000 | 2,999 |
4,5 | Fannie Mae Discount Notes | 0.080% | 10/6/14 | 5,000 | 4,998 |
4,5 | Fannie Mae Discount Notes | 0.075% | 10/15/14 | 400 | 400 |
5,6 | Federal Home Loan Bank Discount Notes | 0.065% | 8/29/14 | 1,500 | 1,500 |
9,897 | |||||
Total Temporary Cash Investments (Cost $269,630) | 269,629 | ||||
Total Investments (101.6%) (Cost $11,857,604) | 16,065,584 | ||||
Other Assets and Liabilities—Net (-1.6%)3 | (246,586) | ||||
Net Assets (100%) | 15,818,998 |
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $221,147,000.
36
Vanguard® Small-Cap Growth Index Fund
Schedule of Investments
June 30, 2014
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund's effective common stock and temporary cash investment positions represent 100.1% and 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 $232,466,000 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 $1,500,000 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.
37
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.7%)1 | |||
Basic Materials (5.5%) | |||
RPM International Inc. | 1,209,364 | 55,848 | |
Rockwood Holdings Inc. | 658,508 | 50,040 | |
Allegheny Technologies Inc. | 936,183 | 42,222 | |
PolyOne Corp. | 854,155 | 35,994 | |
Steel Dynamics Inc. | 1,925,978 | 34,571 | |
^ | United States Steel Corp. | 1,313,281 | 34,198 |
Cabot Corp. | 526,765 | 30,547 | |
Axiall Corp. | 634,636 | 29,999 | |
Compass Minerals International Inc. | 304,348 | 29,138 | |
Sensient Technologies Corp. | 448,916 | 25,014 | |
Domtar Corp. | 582,302 | 24,952 | |
* | Chemtura Corp. | 871,976 | 22,785 |
HB Fuller Co. | 454,589 | 21,866 | |
^ | Cliffs Natural Resources Inc. | 1,390,366 | 20,925 |
Minerals Technologies Inc. | 313,024 | 20,528 | |
Worthington Industries Inc. | 472,399 | 20,332 | |
Olin Corp. | 717,072 | 19,304 | |
Commercial Metals Co. | 1,068,680 | 18,499 | |
Cytec Industries Inc. | 162,593 | 17,141 | |
Tronox Ltd. Class A | 539,583 | 14,515 | |
* | SunCoke Energy Inc. | 601,947 | 12,942 |
Innophos Holdings Inc. | 199,276 | 11,472 | |
Kaiser Aluminum Corp. | 155,596 | 11,338 | |
* | Clearwater Paper Corp. | 175,930 | 10,858 |
PH Glatfelter Co. | 391,327 | 10,382 | |
* | Cloud Peak Energy Inc. | 553,430 | 10,194 |
* | Resolute Forest Products Inc. | 601,601 | 10,095 |
A Schulman Inc. | 252,076 | 9,755 | |
OM Group Inc. | 291,796 | 9,463 | |
^,* | AK Steel Holding Corp. | 1,180,361 | 9,396 |
Stepan Co. | 172,777 | 9,133 | |
Innospec Inc. | 210,553 | 9,090 | |
Quaker Chemical Corp. | 113,866 | 8,744 | |
* | Alpha Natural Resources Inc. | 2,012,599 | 7,467 |
* | LSB Industries Inc. | 174,207 | 7,259 |
Arch Coal Inc. | 1,923,939 | 7,022 | |
* | Century Aluminum Co. | 444,113 | 6,964 |
Koppers Holdings Inc. | 176,100 | 6,736 | |
* | Kraton Performance Polymers Inc. | 298,059 | 6,674 |
Tredegar Corp. | 234,648 | 5,493 | |
Hecla Mining Co. | 1,554,850 | 5,364 | |
* | Ferro Corp. | 393,862 | 4,947 |
* | Intrepid Potash Inc. | 258,676 | 4,335 |
Kronos Worldwide Inc. | 209,987 | 3,291 | |
FutureFuel Corp. | 196,389 | 3,258 | |
^ | Walter Energy Inc. | 596,582 | 3,251 |
NL Industries Inc. | 65,921 | 612 | |
* | Platform Specialty Products Corp. | 230 | 6 |
773,959 | |||
Consumer Goods (7.1%) | |||
Hillshire Brands Co. | 1,113,493 | 69,371 | |
Snap-on Inc. | 528,604 | 62,650 | |
Goodyear Tire & Rubber Co. | 2,255,051 | 62,645 | |
Ingredion Inc. | 676,922 | 50,796 | |
Hanesbrands Inc. | 451,886 | 44,484 | |
Leggett & Platt Inc. | 1,258,523 | 43,142 | |
* | Visteon Corp. | 439,433 | 42,629 |
* | Tenneco Inc. | 552,547 | 36,302 |
Dana Holding Corp. | 1,422,772 | 34,744 | |
Tupperware Brands Corp. | 412,102 | 34,493 | |
* | TreeHouse Foods Inc. | 317,132 | 25,393 |
38
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Scotts Miracle-Gro Co. Class A | 417,090 | 23,716 | |
Thor Industries Inc. | 411,301 | 23,391 | |
* | Take-Two Interactive Software Inc. | 853,399 | 18,980 |
Sanderson Farms Inc. | 188,451 | 18,317 | |
* | Iconix Brand Group Inc. | 394,915 | 16,958 |
* | Skechers U.S.A. Inc. Class A | 362,671 | 16,574 |
Spectrum Brands Holdings Inc. | 191,534 | 16,478 | |
Cooper Tire & Rubber Co. | 547,429 | 16,423 | |
HNI Corp. | 409,426 | 16,013 | |
Pinnacle Foods Inc. | 479,095 | 15,762 | |
Herman Miller Inc. | 510,844 | 15,448 | |
KB Home | 823,347 | 15,380 | |
* | Helen of Troy Ltd. | 246,715 | 14,958 |
Dean Foods Co. | 806,291 | 14,183 | |
* | Pilgrim's Pride Corp. | 470,503 | 12,873 |
Andersons Inc. | 243,255 | 12,547 | |
* | Crocs Inc. | 794,751 | 11,945 |
* | American Axle & Manufacturing Holdings Inc. | 618,644 | 11,686 |
Universal Corp. | 210,981 | 11,678 | |
Schweitzer-Mauduit International Inc. | 262,845 | 11,476 | |
Steelcase Inc. Class A | 741,410 | 11,218 | |
La-Z-Boy Inc. | 475,445 | 11,016 | |
Fresh Del Monte Produce Inc. | 353,963 | 10,849 | |
Columbia Sportswear Co. | 126,730 | 10,474 | |
Cal-Maine Foods Inc. | 128,304 | 9,536 | |
Briggs & Stratton Corp. | 402,293 | 8,231 | |
* | Cooper-Standard Holding Inc. | 123,293 | 8,157 |
^,* | Seaboard Corp. | 2,688 | 8,118 |
Knoll Inc. | 416,928 | 7,225 | |
* | Eastman Kodak Co. | 284,257 | 6,956 |
Titan International Inc. | 412,828 | 6,944 | |
* | Modine Manufacturing Co. | 431,862 | 6,797 |
Movado Group Inc. | 161,254 | 6,719 | |
* | ACCO Brands Corp. | 1,034,046 | 6,628 |
Ethan Allen Interiors Inc. | 235,886 | 5,836 | |
* | Hovnanian Enterprises Inc. Class A | 1,068,435 | 5,502 |
* | Federal-Mogul Holdings Corp. | 271,901 | 5,501 |
Tootsie Roll Industries Inc. | 171,563 | 5,051 | |
* | Elizabeth Arden Inc. | 229,683 | 4,920 |
Inter Parfums Inc. | 154,132 | 4,555 | |
Superior Industries International Inc. | 209,018 | 4,310 | |
* | Quiksilver Inc. | 1,161,706 | 4,159 |
* | Chiquita Brands International Inc. | 382,627 | 4,151 |
National Presto Industries Inc. | 46,860 | 3,413 | |
* | Taylor Morrison Home Corp. Class A | 148,827 | 3,337 |
* | Central Garden and Pet Co. Class A | 297,648 | 2,738 |
* | Revlon Inc. Class A | 47,411 | 1,446 |
* | Central Garden and Pet Co. | 77,441 | 705 |
* | Post Holdings Inc. | 142 | 7 |
* | Diamond Foods Inc. | 73 | 2 |
* | Vince Holding Corp. | 38 | 1 |
995,937 | |||
Consumer Services (13.1%) | |||
Foot Locker Inc. | 1,323,455 | 67,126 | |
Gannett Co. Inc. | 2,058,489 | 64,451 | |
* | Rite Aid Corp. | 8,853,620 | 63,480 |
Omnicare Inc. | 898,751 | 59,830 | |
Alaska Air Group Inc. | 623,658 | 59,279 | |
* | Avis Budget Group Inc. | 956,590 | 57,099 |
GameStop Corp. Class A | 1,040,101 | 42,093 | |
KAR Auction Services Inc. | 1,268,845 | 40,438 | |
Service Corp. International | 1,841,141 | 38,148 | |
Dun & Bradstreet Corp. | 335,920 | 37,018 | |
International Game Technology | 2,241,781 | 35,667 |
39
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Cinemark Holdings Inc. | 942,506 | 33,327 | |
Cablevision Systems Corp. Class A | 1,866,397 | 32,942 | |
Brinker International Inc. | 589,533 | 28,681 | |
Abercrombie & Fitch Co. | 660,515 | 28,567 | |
Graham Holdings Co. Class B | 39,616 | 28,449 | |
* | Apollo Education Group Inc. | 854,920 | 26,716 |
* | VCA Inc. | 721,243 | 25,308 |
Dillard's Inc. Class A | 213,438 | 24,889 | |
* | Office Depot Inc. | 4,368,029 | 24,854 |
* | JetBlue Airways Corp. | 2,289,655 | 24,843 |
John Wiley & Sons Inc. Class A | 406,700 | 24,642 | |
Casey's General Stores Inc. | 349,256 | 24,549 | |
* | Starz | 811,033 | 24,161 |
* | Big Lots Inc. | 527,808 | 24,121 |
Men's Wearhouse Inc. | 413,635 | 23,081 | |
* | Time Inc. | 950,691 | 23,026 |
^,* | JC Penney Co. Inc. | 2,489,672 | 22,532 |
^ | Sinclair Broadcast Group Inc. Class A | 647,697 | 22,507 |
CST Brands Inc. | 652,002 | 22,494 | |
Aaron's Inc. | 622,871 | 22,199 | |
Jack in the Box Inc. | 363,456 | 21,749 | |
Cracker Barrel Old Country Store Inc. | 216,278 | 21,535 | |
Wendy's Co. | 2,496,848 | 21,298 | |
* | Murphy USA Inc. | 403,128 | 19,709 |
DeVry Education Group Inc. | 461,054 | 19,521 | |
* | Dolby Laboratories Inc. Class A | 450,753 | 19,473 |
* | Asbury Automotive Group Inc. | 278,310 | 19,131 |
Lithia Motors Inc. Class A | 203,152 | 19,110 | |
New York Times Co. Class A | 1,220,635 | 18,566 | |
Penske Automotive Group Inc. | 369,900 | 18,310 | |
Hillenbrand Inc. | 541,558 | 17,666 | |
SeaWorld Entertainment Inc. | 612,673 | 17,357 | |
American Eagle Outfitters Inc. | 1,499,804 | 16,828 | |
Group 1 Automotive Inc. | 197,848 | 16,681 | |
* | Houghton Mifflin Harcourt Co. | 870,019 | 16,670 |
Meredith Corp. | 334,810 | 16,191 | |
* | SUPERVALU Inc. | 1,891,393 | 15,547 |
AMERCO | 53,394 | 15,525 | |
Regal Entertainment Group Class A | 721,530 | 15,224 | |
* | Acxiom Corp. | 698,619 | 15,153 |
* | Beacon Roofing Supply Inc. | 447,683 | 14,827 |
* | Conversant Inc. | 577,938 | 14,680 |
Guess? Inc. | 541,810 | 14,629 | |
^ | Chemed Corp. | 151,243 | 14,174 |
Rent-A-Center Inc. | 455,435 | 13,062 | |
* | Susser Holdings Corp. | 157,272 | 12,695 |
Choice Hotels International Inc. | 265,295 | 12,498 | |
* | Express Inc. | 726,996 | 12,381 |
DineEquity Inc. | 147,868 | 11,754 | |
^ | Buckle Inc. | 263,651 | 11,696 |
Brown Shoe Co. Inc. | 376,801 | 10,780 | |
Bob Evans Farms Inc. | 213,040 | 10,663 | |
Matthews International Corp. Class A | 236,095 | 9,814 | |
^,* | Caesars Entertainment Corp. | 524,122 | 9,476 |
Children's Place Inc. | 188,440 | 9,352 | |
* | Rush Enterprises Inc. Class A | 267,279 | 9,267 |
National CineMedia Inc. | 525,275 | 9,198 | |
* | Barnes & Noble Inc. | 380,172 | 8,664 |
* | Boyd Gaming Corp. | 689,398 | 8,362 |
Sonic Automotive Inc. Class A | 313,244 | 8,357 | |
International Speedway Corp. Class A | 241,225 | 8,028 | |
Scholastic Corp. | 235,250 | 8,020 | |
* | Penn National Gaming Inc. | 643,084 | 7,807 |
* | Lands' End Inc. | 217,605 | 7,307 |
40
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Cato Corp. Class A | 226,216 | 6,990 | |
* | Pinnacle Entertainment Inc. | 256,514 | 6,459 |
Regis Corp. | 410,855 | 5,785 | |
* | Biglari Holdings Inc. | 13,244 | 5,602 |
Capella Education Co. | 100,336 | 5,457 | |
* | FTD Cos. Inc. | 171,558 | 5,454 |
SkyWest Inc. | 439,923 | 5,376 | |
^,* | Media General Inc. | 258,462 | 5,306 |
* | Pep Boys-Manny Moe & Jack | 458,346 | 5,253 |
* | Steiner Leisure Ltd. | 119,861 | 5,189 |
^ | Weight Watchers International Inc. | 256,716 | 5,178 |
* | Sonic Corp. | 234,100 | 5,169 |
Stage Stores Inc. | 273,694 | 5,115 | |
* | Strayer Education Inc. | 93,295 | 4,899 |
Fred's Inc. Class A | 317,304 | 4,852 | |
Weis Markets Inc. | 97,473 | 4,457 | |
* | La Quinta Holdings Inc. | 205,607 | 3,935 |
* | New Media Investment Group Inc. | 272,079 | 3,839 |
* | Ruby Tuesday Inc. | 501,114 | 3,803 |
* | Sabre Corp. | 179,753 | 3,604 |
^,* | ITT Educational Services Inc. | 211,708 | 3,533 |
Harte-Hanks Inc. | 483,593 | 3,477 | |
Clear Channel Outdoor Holdings Inc. Class A | 381,591 | 3,121 | |
ClubCorp Holdings Inc. | 131,358 | 2,435 | |
^,* | Aeropostale Inc. | 641,416 | 2,239 |
* | Sears Hometown and Outlet Stores Inc. | 103,095 | 2,213 |
* | Rush Enterprises Inc. Class B | 69,531 | 2,187 |
Speedway Motorsports Inc. | 112,478 | 2,053 | |
* | Bridgepoint Education Inc. | 143,952 | 1,912 |
* | Liquidity Services Inc. | 116,195 | 1,831 |
* | RealNetworks Inc. | 211,331 | 1,612 |
^,* | hhgregg Inc. | 103,103 | 1,049 |
* | Demand Media Inc. | 209,473 | 1,010 |
* | QuinStreet Inc. | 129,044 | 711 |
^,* | RadioShack Corp. | 443,986 | 440 |
^,* | Education Management Corp. | 80,389 | 136 |
1,826,933 | |||
Financials (28.0%) | |||
Arthur J Gallagher & Co. | 1,425,894 | 66,447 | |
NorthStar Realty Finance Corp. | 3,291,478 | 57,206 | |
Liberty Property Trust | 1,340,550 | 50,847 | |
Mid-America Apartment Communities Inc. | 680,740 | 49,728 | |
Protective Life Corp. | 715,694 | 49,619 | |
Starwood Property Trust Inc. | 2,009,259 | 47,760 | |
East West Bancorp Inc. | 1,301,463 | 45,538 | |
Senior Housing Properties Trust | 1,848,982 | 44,912 | |
HCC Insurance Holdings Inc. | 906,683 | 44,373 | |
Apartment Investment & Management Co. Class A | 1,326,016 | 42,791 | |
Omega Healthcare Investors Inc. | 1,143,930 | 42,165 | |
National Retail Properties Inc. | 1,118,125 | 41,583 | |
Hospitality Properties Trust | 1,359,044 | 41,315 | |
Cullen/Frost Bankers Inc. | 497,519 | 39,513 | |
Eaton Vance Corp. | 1,037,498 | 39,207 | |
Prosperity Bancshares Inc. | 601,196 | 37,635 | |
RenaissanceRe Holdings Ltd. | 349,617 | 37,409 | |
American Financial Group Inc. | 609,187 | 36,283 | |
Assured Guaranty Ltd. | 1,467,326 | 35,949 | |
Umpqua Holdings Corp. | 1,969,028 | 35,285 | |
Old Republic International Corp. | 2,128,148 | 35,200 | |
CNO Financial Group Inc. | 1,977,305 | 35,196 | |
Two Harbors Investment Corp. | 3,322,235 | 34,817 | |
Corrections Corp. of America | 1,056,164 | 34,695 | |
Brown & Brown Inc. | 1,118,404 | 34,346 | |
Highwoods Properties Inc. | 817,907 | 34,311 |
41
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Commerce Bancshares Inc. | 734,351 | 34,147 | |
Retail Properties of America Inc. | 2,146,998 | 33,021 | |
Allied World Assurance Co. Holdings AG | 849,731 | 32,307 | |
City National Corp. | 423,954 | 32,119 | |
* | Alleghany Corp. | 70,972 | 31,094 |
* | Forest City Enterprises Inc. Class A | 1,558,534 | 30,968 |
* | Popular Inc. | 892,176 | 30,495 |
Validus Holdings Ltd. | 782,827 | 29,935 | |
FirstMerit Corp. | 1,500,764 | 29,640 | |
Columbia Property Trust Inc. | 1,134,069 | 29,497 | |
BankUnited Inc. | 876,452 | 29,344 | |
Synovus Financial Corp. | 1,198,363 | 29,216 | |
* | MGIC Investment Corp. | 3,072,234 | 28,387 |
American Homes 4 Rent Class A | 1,593,986 | 28,309 | |
CommonWealth REIT | 1,074,914 | 28,292 | |
First Niagara Financial Group Inc. | 3,226,186 | 28,197 | |
CBL & Associates Properties Inc. | 1,468,063 | 27,893 | |
* | E*TRADE Financial Corp. | 1,309,352 | 27,837 |
MFA Financial Inc. | 3,327,553 | 27,319 | |
EPR Properties | 484,888 | 27,091 | |
Aspen Insurance Holdings Ltd. | 593,876 | 26,974 | |
Federated Investors Inc. Class B | 858,489 | 26,544 | |
Piedmont Office Realty Trust Inc. Class A | 1,400,194 | 26,520 | |
Hancock Holding Co. | 746,812 | 26,377 | |
Associated Banc-Corp | 1,447,177 | 26,165 | |
Webster Financial Corp. | 819,755 | 25,855 | |
First American Financial Corp. | 921,613 | 25,612 | |
First Horizon National Corp. | 2,147,209 | 25,466 | |
StanCorp Financial Group Inc. | 396,888 | 25,401 | |
Hanover Insurance Group Inc. | 399,957 | 25,257 | |
ProAssurance Corp. | 538,859 | 23,925 | |
Primerica Inc. | 495,818 | 23,725 | |
Bank of Hawaii Corp. | 403,262 | 23,667 | |
Geo Group Inc. | 658,867 | 23,541 | |
UMB Financial Corp. | 371,161 | 23,528 | |
DiamondRock Hospitality Co. | 1,775,946 | 22,768 | |
* | Liberty Ventures Class A | 305,388 | 22,538 |
TCF Financial Corp. | 1,361,095 | 22,281 | |
Brandywine Realty Trust | 1,425,297 | 22,235 | |
White Mountains Insurance Group Ltd. | 36,428 | 22,164 | |
Corporate Office Properties Trust | 795,072 | 22,111 | |
Assurant Inc. | 325,154 | 21,314 | |
Cousins Properties Inc. | 1,710,798 | 21,299 | |
Fulton Financial Corp. | 1,715,086 | 21,250 | |
American National Insurance Co. | 183,213 | 20,923 | |
Washington Federal Inc. | 919,673 | 20,628 | |
Bank of the Ozarks Inc. | 614,603 | 20,558 | |
Endurance Specialty Holdings Ltd. | 385,161 | 19,870 | |
PrivateBancorp Inc. | 673,056 | 19,559 | |
Wintrust Financial Corp. | 422,493 | 19,435 | |
Invesco Mortgage Capital Inc. | 1,117,176 | 19,394 | |
Iberiabank Corp. | 280,293 | 19,393 | |
FNB Corp. | 1,510,500 | 19,365 | |
Spirit Realty Capital Inc. | 1,704,194 | 19,360 | |
BancorpSouth Inc. | 784,465 | 19,274 | |
Symetra Financial Corp. | 841,594 | 19,138 | |
PacWest Bancorp | 439,775 | 18,985 | |
United Bankshares Inc. | 564,252 | 18,242 | |
Glacier Bancorp Inc. | 642,106 | 18,223 | |
Susquehanna Bancshares Inc. | 1,702,853 | 17,982 | |
EverBank Financial Corp. | 891,937 | 17,981 | |
* | Harbinger Group Inc. | 1,413,240 | 17,948 |
First Industrial Realty Trust Inc. | 949,590 | 17,890 | |
Hatteras Financial Corp. | 876,006 | 17,354 |
42
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
EastGroup Properties Inc. | 269,927 | 17,337 | |
First Financial Bankshares Inc. | 552,226 | 17,323 | |
Janus Capital Group Inc. | 1,380,145 | 17,224 | |
Valley National Bancorp | 1,728,520 | 17,130 | |
* | American Realty Capital Healthcare Trust Inc. | 1,536,702 | 16,735 |
Cathay General Bancorp | 650,380 | 16,624 | |
^,* | New York REIT Inc. | 1,472,002 | 16,280 |
RLI Corp. | 351,241 | 16,080 | |
National Health Investors Inc. | 255,056 | 15,956 | |
SLM Corp. | 1,918,543 | 15,943 | |
Platinum Underwriters Holdings Ltd. | 244,516 | 15,857 | |
Erie Indemnity Co. Class A | 210,358 | 15,832 | |
American Equity Investment Life Holding Co. | 641,134 | 15,772 | |
Mack-Cali Realty Corp. | 724,299 | 15,558 | |
New Residential Investment Corp. | 2,431,631 | 15,319 | |
Newcastle Investment Corp. | 3,190,673 | 15,283 | |
Potlatch Corp. | 368,552 | 15,258 | |
Chimera Investment Corp. | 4,663,828 | 14,878 | |
* | MBIA Inc. | 1,328,837 | 14,670 |
Redwood Trust Inc. | 753,239 | 14,666 | |
Home Loan Servicing Solutions Ltd. | 644,778 | 14,656 | |
Acadia Realty Trust | 520,927 | 14,633 | |
Trustmark Corp. | 581,702 | 14,362 | |
Capitol Federal Financial Inc. | 1,169,499 | 14,221 | |
ARMOUR Residential REIT Inc. | 3,242,472 | 14,040 | |
* | Enstar Group Ltd. | 92,951 | 14,011 |
PennyMac Mortgage Investment Trust | 638,247 | 14,003 | |
International Bancshares Corp. | 516,873 | 13,956 | |
Kemper Corp. | 376,788 | 13,888 | |
CVB Financial Corp. | 865,358 | 13,872 | |
Old National Bancorp | 960,867 | 13,721 | |
CYS Investments Inc. | 1,471,454 | 13,273 | |
Parkway Properties Inc. | 629,714 | 13,004 | |
MB Financial Inc. | 475,725 | 12,868 | |
Empire State Realty Trust Inc. | 772,488 | 12,746 | |
Community Bank System Inc. | 350,952 | 12,704 | |
* | South State Corp. | 208,147 | 12,697 |
Radian Group Inc. | 856,625 | 12,687 | |
Government Properties Income Trust | 496,981 | 12,618 | |
Columbia Banking System Inc. | 477,769 | 12,570 | |
BOK Financial Corp. | 188,305 | 12,541 | |
LTC Properties Inc. | 316,194 | 12,344 | |
Argo Group International Holdings Ltd. | 237,620 | 12,145 | |
Pinnacle Financial Partners Inc. | 306,860 | 12,115 | |
Selective Insurance Group Inc. | 485,035 | 11,990 | |
Westamerica Bancorporation | 226,982 | 11,867 | |
BGC Partners Inc. Class A | 1,588,631 | 11,819 | |
Mercury General Corp. | 249,730 | 11,747 | |
Horace Mann Educators Corp. | 369,862 | 11,566 | |
First Citizens BancShares Inc. Class A | 46,779 | 11,461 | |
^ | AmTrust Financial Services Inc. | 274,044 | 11,458 |
Montpelier Re Holdings Ltd. | 358,216 | 11,445 | |
Capstead Mortgage Corp. | 869,849 | 11,439 | |
National Penn Bancshares Inc. | 1,074,958 | 11,373 | |
Cash America International Inc. | 255,504 | 11,352 | |
American Assets Trust Inc. | 323,930 | 11,192 | |
Pennsylvania REIT | 593,175 | 11,164 | |
* | Ambac Financial Group Inc. | 408,521 | 11,157 |
First Midwest Bancorp Inc. | 649,554 | 11,062 | |
Interactive Brokers Group Inc. | 471,693 | 10,986 | |
* | iStar Financial Inc. | 732,446 | 10,972 |
BBCN Bancorp Inc. | 686,008 | 10,942 | |
Northwest Bancshares Inc. | 773,856 | 10,501 | |
Astoria Financial Corp. | 767,712 | 10,326 |
43
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Franklin Street Properties Corp. | 819,140 | 10,305 | |
Select Income REIT | 321,027 | 9,515 | |
American Capital Mortgage Investment Corp. | 464,784 | 9,305 | |
Boston Private Financial Holdings Inc. | 690,761 | 9,284 | |
NBT Bancorp Inc. | 377,174 | 9,060 | |
Associated Estates Realty Corp. | 497,114 | 8,958 | |
* | Starwood Waypoint Residential Trust | 337,726 | 8,852 |
Ashford Hospitality Trust Inc. | 764,030 | 8,817 | |
* | Greenlight Capital Re Ltd. Class A | 267,535 | 8,813 |
First Financial Bancorp | 497,585 | 8,563 | |
Nelnet Inc. Class A | 206,283 | 8,546 | |
Chemical Financial Corp. | 294,259 | 8,263 | |
Inland Real Estate Corp. | 771,024 | 8,196 | |
* | KCG Holdings Inc. Class A | 682,681 | 8,110 |
Park National Corp. | 104,955 | 8,103 | |
Provident Financial Services Inc. | 464,347 | 8,043 | |
Independent Bank Corp. | 206,391 | 7,921 | |
Washington REIT | 302,716 | 7,865 | |
First Commonwealth Financial Corp. | 852,482 | 7,860 | |
WesBanco Inc. | 251,462 | 7,805 | |
OFG Bancorp | 409,263 | 7,535 | |
* | Piper Jaffray Cos. | 140,526 | 7,275 |
* | Navigators Group Inc. | 103,704 | 6,953 |
Infinity Property & Casualty Corp. | 99,451 | 6,686 | |
Banner Corp. | 168,509 | 6,678 | |
First Potomac Realty Trust | 505,837 | 6,637 | |
Safety Insurance Group Inc. | 126,570 | 6,503 | |
S&T Bancorp Inc. | 255,800 | 6,357 | |
Resource Capital Corp. | 1,112,346 | 6,263 | |
City Holding Co. | 135,182 | 6,099 | |
Blackstone Mortgage Trust Inc. Class A | 209,434 | 6,074 | |
Anworth Mortgage Asset Corp. | 1,159,526 | 5,983 | |
National General Holdings Corp. | 339,164 | 5,901 | |
Rouse Properties Inc. | 340,151 | 5,820 | |
Brookline Bancorp Inc. | 607,880 | 5,696 | |
Maiden Holdings Ltd. | 462,116 | 5,587 | |
Oritani Financial Corp. | 352,415 | 5,424 | |
FXCM Inc. Class A | 353,138 | 5,283 | |
* | Investment Technology Group Inc. | 309,861 | 5,230 |
* | First BanCorp | 948,786 | 5,161 |
* | Green Dot Corp. Class A | 269,790 | 5,121 |
* | Ezcorp Inc. Class A | 442,652 | 5,113 |
United Fire Group Inc. | 172,647 | 5,062 | |
National Western Life Insurance Co. Class A | 20,221 | 5,043 | |
Berkshire Hills Bancorp Inc. | 216,081 | 5,017 | |
Saul Centers Inc. | 102,668 | 4,990 | |
* | World Acceptance Corp. | 65,347 | 4,964 |
AG Mortgage Investment Trust Inc. | 257,172 | 4,868 | |
Tompkins Financial Corp. | 100,946 | 4,864 | |
State Bank Financial Corp. | 276,512 | 4,676 | |
Central Pacific Financial Corp. | 228,029 | 4,526 | |
Getty Realty Corp. | 226,998 | 4,331 | |
Dime Community Bancshares Inc. | 267,190 | 4,219 | |
FBL Financial Group Inc. Class A | 89,309 | 4,108 | |
BancFirst Corp. | 55,629 | 3,443 | |
Ashford Hospitality Prime Inc. | 195,507 | 3,355 | |
* | Beneficial Mutual Bancorp Inc. | 241,801 | 3,279 |
* | Flagstar Bancorp Inc. | 178,239 | 3,226 |
OneBeacon Insurance Group Ltd. Class A | 202,638 | 3,149 | |
Meadowbrook Insurance Group Inc. | 431,239 | 3,101 | |
State Auto Financial Corp. | 129,546 | 3,035 | |
* | Forestar Group Inc. | 150,297 | 2,869 |
Employers Holdings Inc. | 135,003 | 2,859 | |
* | TESARO Inc. | 89,675 | 2,790 |
44
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Fidelity & Guaranty Life | 105,840 | 2,534 | |
* | Walker & Dunlop Inc. | 163,683 | 2,310 |
GFI Group Inc. | 686,735 | 2,280 | |
* | MoneyGram International Inc. | 135,938 | 2,002 |
* | Kearny Financial Corp. | 119,384 | 1,807 |
Urstadt Biddle Properties Inc. Class A | 59,259 | 1,237 | |
Urstadt Biddle Properties Inc. | 42,332 | 758 | |
Gaming and Leisure Properties Inc. | 302 | 10 | |
DCT Industrial Trust Inc. | 1,106 | 9 | |
* | St. Joe Co. | 173 | 4 |
* | Altisource Asset Management Corp. | 6 | 4 |
3,918,768 | |||
Health Care (5.7%) | |||
* | Community Health Systems Inc. | 993,832 | 45,090 |
* | Covance Inc. | 521,069 | 44,593 |
^,* | Mallinckrodt plc | 530,726 | 42,469 |
* | Tenet Healthcare Corp. | 886,313 | 41,604 |
Teleflex Inc. | 375,437 | 39,646 | |
* | Alnylam Pharmaceuticals Inc. | 514,253 | 32,485 |
* | Team Health Holdings Inc. | 637,394 | 31,831 |
* | WellCare Health Plans Inc. | 398,195 | 29,729 |
* | Health Net Inc. | 691,538 | 28,727 |
STERIS Corp. | 536,315 | 28,682 | |
HealthSouth Corp. | 759,545 | 27,245 | |
* | Alere Inc. | 712,156 | 26,649 |
* | LifePoint Hospitals Inc. | 383,575 | 23,820 |
* | Charles River Laboratories International Inc. | 438,917 | 23,491 |
* | Bio-Rad Laboratories Inc. Class A | 183,078 | 21,916 |
Hill-Rom Holdings Inc. | 519,414 | 21,561 | |
* | InterMune Inc. | 448,979 | 19,822 |
Owens & Minor Inc. | 572,669 | 19,459 | |
* | Amsurg Corp. | 372,661 | 16,982 |
* | Prestige Brands Holdings Inc. | 470,322 | 15,939 |
* | Magellan Health Inc. | 250,152 | 15,569 |
* | Wright Medical Group Inc. | 453,045 | 14,226 |
^ | PDL BioPharma Inc. | 1,458,094 | 14,114 |
* | Celldex Therapeutics Inc. | 811,281 | 13,240 |
Select Medical Holdings Corp. | 831,662 | 12,974 | |
Kindred Healthcare Inc. | 550,269 | 12,711 | |
* | Molina Healthcare Inc. | 273,101 | 12,189 |
* | Integra LifeSciences Holdings Corp. | 221,933 | 10,444 |
* | Synageva BioPharma Corp. | 97,290 | 10,196 |
CONMED Corp. | 222,305 | 9,815 | |
* | Hanger Inc. | 303,950 | 9,559 |
* | Clovis Oncology Inc. | 200,384 | 8,298 |
* | Portola Pharmaceuticals Inc. | 243,091 | 7,093 |
* | Agios Pharmaceuticals Inc. | 154,418 | 7,075 |
* | Ophthotech Corp. | 151,506 | 6,410 |
* | Orthofix International NV | 158,718 | 5,754 |
^,* | Achillion Pharmaceuticals Inc. | 746,748 | 5,653 |
* | Infinity Pharmaceuticals Inc. | 417,877 | 5,324 |
Invacare Corp. | 267,477 | 4,914 | |
National Healthcare Corp. | 77,277 | 4,350 | |
* | Gentiva Health Services Inc. | 283,742 | 4,273 |
* | Amedisys Inc. | 237,874 | 3,982 |
Universal American Corp. | 470,517 | 3,919 | |
* | Surgical Care Affiliates Inc. | 121,450 | 3,532 |
^,* | Synergy Pharmaceuticals Inc. | 764,215 | 3,110 |
* | BioScrip Inc. | 294,550 | 2,457 |
* | LHC Group Inc. | 113,375 | 2,423 |
* | Ultragenyx Pharmaceutical Inc. | 40,785 | 1,831 |
* | Lexicon Pharmaceuticals Inc. | 1,050,862 | 1,692 |
* | Rigel Pharmaceuticals Inc. | 394,359 | 1,432 |
45
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Wright Medical Group Inc. CVR | 71,097 | 106 |
800,405 | |||
Industrials (20.9%) | |||
Trinity Industries Inc. | 1,406,047 | 61,472 | |
IDEX Corp. | 731,745 | 59,081 | |
* | Flextronics International Ltd. | 5,313,973 | 58,826 |
Valspar Corp. | 682,146 | 51,973 | |
Carlisle Cos. Inc. | 581,614 | 50,379 | |
Allegion plc | 876,132 | 49,659 | |
Total System Services Inc. | 1,541,725 | 48,426 | |
PerkinElmer Inc. | 1,027,565 | 48,131 | |
Global Payments Inc. | 651,821 | 47,485 | |
Broadridge Financial Solutions Inc. | 1,095,199 | 45,604 | |
Oshkosh Corp. | 770,912 | 42,809 | |
Ryder System Inc. | 482,714 | 42,522 | |
Huntington Ingalls Industries Inc. | 445,645 | 42,154 | |
Sonoco Products Co. | 926,272 | 40,691 | |
* | Spirit AeroSystems Holdings Inc. Class A | 1,195,096 | 40,275 |
ITT Corp. | 832,242 | 40,031 | |
AptarGroup Inc. | 594,036 | 39,806 | |
Terex Corp. | 951,009 | 39,086 | |
Alliant Techsystems Inc. | 289,077 | 38,713 | |
Bemis Co. Inc. | 915,333 | 37,217 | |
* | WESCO International Inc. | 403,367 | 34,843 |
* | Graphic Packaging Holding Co. | 2,967,277 | 34,717 |
Jabil Circuit Inc. | 1,660,414 | 34,703 | |
Triumph Group Inc. | 473,299 | 33,046 | |
Kennametal Inc. | 713,028 | 32,999 | |
Babcock & Wilcox Co. | 1,000,998 | 32,492 | |
Packaging Corp. of America | 446,128 | 31,894 | |
Crane Co. | 427,216 | 31,768 | |
Belden Inc. | 395,660 | 30,925 | |
Foster Wheeler AG | 904,986 | 30,833 | |
RR Donnelley & Sons Co. | 1,811,584 | 30,724 | |
Regal-Beloit Corp. | 389,036 | 30,563 | |
World Fuel Services Corp. | 620,649 | 30,555 | |
* | Generac Holdings Inc. | 624,665 | 30,446 |
* | Esterline Technologies Corp. | 261,269 | 30,077 |
* | Teledyne Technologies Inc. | 306,462 | 29,779 |
EnerSys | 425,831 | 29,293 | |
Exelis Inc. | 1,720,448 | 29,213 | |
URS Corp. | 625,957 | 28,700 | |
GATX Corp. | 417,872 | 27,972 | |
* | AECOM Technology Corp. | 855,722 | 27,554 |
* | Moog Inc. Class A | 370,468 | 27,003 |
Deluxe Corp. | 454,253 | 26,610 | |
Con-way Inc. | 517,841 | 26,104 | |
* | Owens-Illinois Inc. | 749,085 | 25,948 |
EMCOR Group Inc. | 580,092 | 25,832 | |
Curtiss-Wright Corp. | 393,621 | 25,806 | |
Anixter International Inc. | 251,960 | 25,214 | |
* | Berry Plastics Group Inc. | 904,146 | 23,327 |
* | CoreLogic Inc. | 750,220 | 22,777 |
* | Euronet Worldwide Inc. | 439,459 | 21,200 |
Actuant Corp. Class A | 612,336 | 21,168 | |
Covanta Holding Corp. | 1,009,705 | 20,810 | |
Silgan Holdings Inc. | 403,809 | 20,522 | |
Harsco Corp. | 732,893 | 19,517 | |
Mobile Mini Inc. | 402,867 | 19,293 | |
Vishay Intertechnology Inc. | 1,228,230 | 19,025 | |
Littelfuse Inc. | 204,364 | 18,996 | |
* | Texas Industries Inc. | 196,513 | 18,150 |
Lennox International Inc. | 200,834 | 17,989 | |
Convergys Corp. | 828,916 | 17,772 |
46
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Applied Industrial Technologies Inc. | 341,279 | 17,313 | |
Barnes Group Inc. | 442,772 | 17,064 | |
MSA Safety Inc. | 288,160 | 16,563 | |
* | Orbital Sciences Corp. | 549,831 | 16,248 |
Tetra Tech Inc. | 589,634 | 16,215 | |
* | Sanmina Corp. | 709,917 | 16,172 |
KBR Inc. | 668,010 | 15,932 | |
* | Rexnord Corp. | 551,344 | 15,520 |
Watts Water Technologies Inc. Class A | 247,383 | 15,271 | |
* | Masonite International Corp. | 265,409 | 14,932 |
United Stationers Inc. | 357,644 | 14,832 | |
UniFirst Corp. | 137,885 | 14,616 | |
* | FTI Consulting Inc. | 370,914 | 14,028 |
Booz Allen Hamilton Holding Corp. Class A | 651,222 | 13,832 | |
TAL International Group Inc. | 308,697 | 13,694 | |
* | Plexus Corp. | 308,024 | 13,334 |
* | Korn/Ferry International | 451,568 | 13,263 |
Knight Transportation Inc. | 550,412 | 13,083 | |
* | Itron Inc. | 321,393 | 13,032 |
* | Greenbrier Cos. Inc. | 225,497 | 12,989 |
Greif Inc. Class A | 232,013 | 12,659 | |
* | Benchmark Electronics Inc. | 489,518 | 12,473 |
Brink's Co. | 439,857 | 12,413 | |
CIRCOR International Inc. | 160,372 | 12,370 | |
ABM Industries Inc. | 457,741 | 12,350 | |
Brady Corp. Class A | 411,090 | 12,279 | |
* | PHH Corp. | 521,110 | 11,975 |
* | Knowles Corp. | 386,104 | 11,869 |
Granite Construction Inc. | 319,560 | 11,498 | |
* | Armstrong World Industries Inc. | 198,806 | 11,417 |
* | Tutor Perini Corp. | 352,708 | 11,195 |
* | Greatbatch Inc. | 226,005 | 11,088 |
* | Meritor Inc. | 844,416 | 11,011 |
General Cable Corp. | 419,836 | 10,773 | |
Kaman Corp. | 248,344 | 10,612 | |
* | Wesco Aircraft Holdings Inc. | 528,356 | 10,546 |
Matson Inc. | 390,451 | 10,480 | |
Werner Enterprises Inc. | 393,586 | 10,434 | |
* | TrueBlue Inc. | 375,478 | 10,352 |
* | Boise Cascade Co. | 357,698 | 10,244 |
Otter Tail Corp. | 331,441 | 10,039 | |
Aircastle Ltd. | 552,102 | 9,811 | |
ArcBest Corp. | 224,346 | 9,761 | |
* | Swift Transportation Co. | 382,305 | 9,646 |
* | Louisiana-Pacific Corp. | 641,281 | 9,632 |
AAR Corp. | 341,642 | 9,416 | |
MTS Systems Corp. | 137,600 | 9,324 | |
G&K Services Inc. Class A | 172,194 | 8,966 | |
Standex International Corp. | 115,781 | 8,623 | |
Altra Industrial Motion Corp. | 233,728 | 8,505 | |
* | Atlas Air Worldwide Holdings Inc. | 229,321 | 8,450 |
* | UTi Worldwide Inc. | 814,290 | 8,420 |
Universal Forest Products Inc. | 173,133 | 8,357 | |
Encore Wire Corp. | 169,389 | 8,307 | |
McGrath RentCorp | 223,375 | 8,209 | |
Cubic Corp. | 182,603 | 8,128 | |
* | Aegion Corp. Class A | 345,254 | 8,034 |
^ | Textainer Group Holdings Ltd. | 205,370 | 7,931 |
ESCO Technologies Inc. | 228,589 | 7,918 | |
* | Navigant Consulting Inc. | 446,911 | 7,799 |
* | Sykes Enterprises Inc. | 358,279 | 7,785 |
John Bean Technologies Corp. | 250,834 | 7,773 | |
* | Coherent Inc. | 113,308 | 7,498 |
Astec Industries Inc. | 166,089 | 7,288 |
47
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Materion Corp. | 189,572 | 7,012 | |
Insperity Inc. | 209,015 | 6,898 | |
Hyster-Yale Materials Handling Inc. | 75,910 | 6,721 | |
ManTech International Corp. Class A | 217,716 | 6,427 | |
* | Newport Corp. | 343,740 | 6,359 |
* | Taminco Corp. | 270,847 | 6,300 |
* | Rofin-Sinar Technologies Inc. | 254,043 | 6,107 |
Mueller Water Products Inc. Class A | 686,810 | 5,934 | |
Schnitzer Steel Industries Inc. | 226,615 | 5,908 | |
Kforce Inc. | 259,687 | 5,622 | |
* | GrafTech International Ltd. | 522,579 | 5,466 |
Quad/Graphics Inc. | 235,548 | 5,269 | |
* | H&E Equipment Services Inc. | 143,625 | 5,219 |
* | Monster Worldwide Inc. | 783,607 | 5,125 |
Comfort Systems USA Inc. | 324,134 | 5,121 | |
Heartland Express Inc. | 238,585 | 5,091 | |
Park Electrochemical Corp. | 179,757 | 5,071 | |
AVX Corp. | 381,079 | 5,061 | |
* | Checkpoint Systems Inc. | 358,799 | 5,020 |
American Science & Engineering Inc. | 71,391 | 4,968 | |
Albany International Corp. | 129,635 | 4,921 | |
* | TeleTech Holdings Inc. | 156,706 | 4,543 |
Resources Connection Inc. | 333,669 | 4,374 | |
Apogee Enterprises Inc. | 125,254 | 4,366 | |
Kelly Services Inc. Class A | 246,283 | 4,229 | |
* | TTM Technologies Inc. | 490,981 | 4,026 |
* | Air Transport Services Group Inc. | 470,872 | 3,941 |
Acacia Research Corp. | 215,485 | 3,825 | |
* | CAI International Inc. | 161,231 | 3,549 |
* | Nortek Inc. | 38,789 | 3,482 |
Black Box Corp. | 140,987 | 3,305 | |
* | Dice Holdings Inc. | 344,590 | 2,622 |
Griffon Corp. | 197,468 | 2,449 | |
* | Layne Christensen Co. | 170,735 | 2,271 |
* | Aeroflex Holding Corp. | 193,048 | 2,027 |
* | Continental Building Products Inc. | 119,721 | 1,844 |
* | Paylocity Holding Corp. | 67,326 | 1,456 |
* | Ply Gem Holdings Inc. | 92,981 | 939 |
* | Multi-Fineline Electronix Inc. | 38,217 | 422 |
Electro Scientific Industries Inc. | 57,794 | 394 | |
* | Viasystems Group Inc. | 23,075 | 251 |
* | United Rentals Inc. | 318 | 33 |
Manitowoc Co. Inc. | 458 | 15 | |
* | USG Corp. | 422 | 13 |
* | EnPro Industries Inc. | 72 | 5 |
2,926,091 | |||
Oil & Gas (5.1%) | |||
* | Newfield Exploration Co. | 1,237,430 | 54,694 |
Superior Energy Services Inc. | 1,421,360 | 51,368 | |
* | First Solar Inc. | 681,511 | 48,428 |
* | WPX Energy Inc. | 1,834,746 | 43,869 |
Patterson-UTI Energy Inc. | 1,245,874 | 43,531 | |
* | Ultra Petroleum Corp. | 1,320,374 | 39,202 |
* | Unit Corp. | 449,953 | 30,970 |
* | Oil States International Inc. | 481,527 | 30,861 |
* | MRC Global Inc. | 879,055 | 24,868 |
Bristow Group Inc. | 306,821 | 24,736 | |
Exterran Holdings Inc. | 544,554 | 24,499 | |
* | Civeo Corp. | 963,068 | 24,106 |
* | Helix Energy Solutions Group Inc. | 862,077 | 22,681 |
* | Stone Energy Corp. | 477,722 | 22,353 |
PBF Energy Inc. Class A | 795,684 | 21,205 | |
Western Refining Inc. | 470,748 | 17,677 | |
* | NOW Inc. | 486,807 | 17,627 |
48
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
^,* | McDermott International Inc. | 2,155,974 | 17,442 |
* | SEACOR Holdings Inc. | 177,843 | 14,628 |
Delek US Holdings Inc. | 484,873 | 13,688 | |
* | Basic Energy Services Inc. | 424,328 | 12,399 |
^,* | GT Advanced Technologies Inc. | 587,589 | 10,929 |
* | Key Energy Services Inc. | 1,185,251 | 10,833 |
^ | EXCO Resources Inc. | 1,734,544 | 10,216 |
* | Newpark Resources Inc. | 731,107 | 9,110 |
* | TETRA Technologies Inc. | 681,666 | 8,030 |
^ | CVR Energy Inc. | 157,990 | 7,614 |
* | Parker Drilling Co. | 1,046,666 | 6,824 |
Tesco Corp. | 290,770 | 6,205 | |
* | Contango Oil & Gas Co. | 140,401 | 5,940 |
* | Hercules Offshore Inc. | 1,383,142 | 5,560 |
W&T Offshore Inc. | 308,415 | 5,049 | |
* | Pioneer Energy Services Corp. | 284,498 | 4,990 |
^,* | Swift Energy Co. | 377,170 | 4,896 |
* | Willbros Group Inc. | 362,924 | 4,482 |
* | EP Energy Corp. Class A | 166,501 | 3,838 |
* | Clayton Williams Energy Inc. | 27,547 | 3,784 |
Alon USA Energy Inc. | 218,730 | 2,721 | |
* | ION Geophysical Corp. | 594,293 | 2,508 |
* | Vantage Drilling Co. | 839,883 | 1,613 |
* | Forest Oil Corp. | 539,315 | 1,230 |
Targa Resources Corp. | 130 | 18 | |
717,222 | |||
Other (0.0%) | |||
* | Leap Wireless International Inc CVR | 474,686 | 1,196 |
Technology (7.6%) | |||
* | NCR Corp. | 1,523,883 | 53,473 |
Pitney Bowes Inc. | 1,839,117 | 50,796 | |
* | Ingram Micro Inc. | 1,408,520 | 41,143 |
* | ARRIS Group Inc. | 1,174,233 | 38,198 |
* | VeriFone Systems Inc. | 1,013,981 | 37,264 |
* | ON Semiconductor Corp. | 4,002,699 | 36,585 |
Brocade Communications Systems Inc. | 3,886,356 | 35,754 | |
Teradyne Inc. | 1,762,993 | 34,555 | |
DST Systems Inc. | 324,925 | 29,948 | |
* | Synaptics Inc. | 326,892 | 29,630 |
* | AOL Inc. | 689,260 | 27,426 |
Lexmark International Inc. Class A | 565,110 | 27,216 | |
CDW Corp. | 848,739 | 27,058 | |
* | Verint Systems Inc. | 535,995 | 26,291 |
Leidos Holdings Inc. | 678,565 | 26,016 | |
* | RF Micro Devices Inc. | 2,597,030 | 24,906 |
* | Microsemi Corp. | 861,897 | 23,064 |
* | Tech Data Corp. | 347,127 | 21,702 |
Diebold Inc. | 527,654 | 21,196 | |
j2 Global Inc. | 410,093 | 20,857 | |
* | Rovi Corp. | 859,830 | 20,602 |
Compuware Corp. | 1,894,132 | 18,922 | |
* | SYNNEX Corp. | 248,441 | 18,099 |
* | Fairchild Semiconductor International Inc. Class A | 1,133,863 | 17,688 |
* | CommScope Holding Co. Inc. | 760,664 | 17,594 |
Intersil Corp. Class A | 1,168,802 | 17,474 | |
Science Applications International Corp. | 372,704 | 16,459 | |
* | Polycom Inc. | 1,254,144 | 15,714 |
* | CACI International Inc. Class A | 213,266 | 14,973 |
Cypress Semiconductor Corp. | 1,288,879 | 14,062 | |
* | Cirrus Logic Inc. | 563,370 | 12,811 |
* | Spansion Inc. Class A | 548,412 | 11,555 |
* | NETGEAR Inc. | 331,680 | 11,533 |
49
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Unisys Corp. | 464,202 | 11,484 |
* | PMC-Sierra Inc. | 1,504,734 | 11,451 |
* | Insight Enterprises Inc. | 371,819 | 11,430 |
* | Progress Software Corp. | 466,787 | 11,222 |
* | OmniVision Technologies Inc. | 509,272 | 11,194 |
ADTRAN Inc. | 486,935 | 10,985 | |
* | Amkor Technology Inc. | 967,229 | 10,814 |
* | Kulicke & Soffa Industries Inc. | 695,808 | 9,922 |
* | ScanSource Inc. | 259,130 | 9,868 |
Mentor Graphics Corp. | 439,659 | 9,483 | |
* | Cabot Microelectronics Corp. | 208,219 | 9,297 |
* | Dycom Industries Inc. | 293,156 | 9,179 |
* | QLogic Corp. | 792,870 | 8,000 |
CSG Systems International Inc. | 294,501 | 7,689 | |
MKS Instruments Inc. | 243,315 | 7,601 | |
West Corp. | 266,210 | 7,134 | |
* | Harmonic Inc. | 855,241 | 6,380 |
Comtech Telecommunications Corp. | 138,124 | 5,156 | |
Micrel Inc. | 409,435 | 4,618 | |
* | FormFactor Inc. | 503,393 | 4,188 |
* | Digital River Inc. | 266,290 | 4,109 |
* | Emulex Corp. | 686,476 | 3,913 |
* | Loral Space & Communications Inc. | 53,393 | 3,881 |
* | Intralinks Holdings Inc. | 433,897 | 3,857 |
Epiq Systems Inc. | 258,655 | 3,634 | |
* | Advanced Energy Industries Inc. | 176,837 | 3,404 |
Quality Systems Inc. | 204,531 | 3,283 | |
* | Mercury Systems Inc. | 286,231 | 3,246 |
Brooks Automation Inc. | 287,380 | 3,095 | |
^,* | Benefitfocus Inc. | 57,007 | 2,635 |
* | Pendrell Corp. | 1,346,697 | 2,370 |
^,* | Endurance International Group Holdings Inc. | 146,377 | 2,238 |
^ | Ebix Inc. | 147,772 | 2,115 |
* | Systemax Inc. | 116,014 | 1,667 |
* | Calix Inc. | 170,410 | 1,394 |
* | Advanced Micro Devices Inc. | 2,105 | 9 |
* | EchoStar Corp. Class A | 146 | 8 |
1,062,517 | |||
Telecommunications (0.4%) | |||
Telephone & Data Systems Inc. | 829,655 | 21,662 | |
Consolidated Communications Holdings Inc. | 329,748 | 7,334 | |
* | Vonage Holdings Corp. | 1,630,349 | 6,114 |
* | Iridium Communications Inc. | 666,381 | 5,638 |
Atlantic Tele-Network Inc. | 86,510 | 5,017 | |
* | United States Cellular Corp. | 115,861 | 4,727 |
EarthLink Holdings Corp. | 927,620 | 3,451 | |
* | Intelsat SA | 96,087 | 1,810 |
* | NII Holdings Inc. | 558 | — |
55,753 | |||
Utilities (6.3%) | |||
AGL Resources Inc. | 1,082,384 | 59,564 | |
UGI Corp. | 1,044,530 | 52,749 | |
Atmos Energy Corp. | 909,323 | 48,558 | |
Westar Energy Inc. Class A | 1,169,920 | 44,679 | |
Aqua America Inc. | 1,607,052 | 42,137 | |
Questar Corp. | 1,589,599 | 39,422 | |
Great Plains Energy Inc. | 1,398,032 | 37,565 | |
TECO Energy Inc. | 1,976,777 | 36,531 | |
Cleco Corp. | 547,856 | 32,296 | |
Vectren Corp. | 748,399 | 31,807 | |
Piedmont Natural Gas Co. Inc. | 709,356 | 26,537 | |
IDACORP Inc. | 456,514 | 26,400 | |
Black Hills Corp. | 405,023 | 24,864 | |
Portland General Electric Co. | 709,532 | 24,599 |
50
Vanguard® Small-Cap Value Index Fund | |||||
Schedule of Investments | |||||
June 30, 2014 | |||||
Market | |||||
Value | |||||
Shares | ($000) | ||||
^ | Hawaiian Electric Industries Inc. | 920,952 | 23,319 | ||
Southwest Gas Corp. | 422,051 | 22,280 | |||
New Jersey Resources Corp. | 382,467 | 21,862 | |||
UNS Energy Corp. | 359,573 | 21,722 | |||
PNM Resources Inc. | 722,988 | 21,205 | |||
WGL Holdings Inc. | 471,089 | 20,304 | |||
UIL Holdings Corp. | 513,132 | 19,863 | |||
ALLETE Inc. | 384,500 | 19,744 | |||
NorthWestern Corp. | 352,282 | 18,386 | |||
South Jersey Industries Inc. | 299,319 | 18,082 | |||
ONE Gas Inc. | 471,790 | 17,810 | |||
Laclede Group Inc. | 360,278 | 17,491 | |||
Avista Corp. | 518,801 | 17,390 | |||
* | Dynegy Inc. Class A | 432,752 | 15,060 | ||
El Paso Electric Co. | 365,960 | 14,715 | |||
MGE Energy Inc. | 314,871 | 12,441 | |||
American States Water Co. | 352,216 | 11,704 | |||
Northwest Natural Gas Co. | 246,531 | 11,624 | |||
Empire District Electric Co. | 392,515 | 10,080 | |||
California Water Service Group | 412,689 | 9,987 | |||
Ormat Technologies Inc. | 82,414 | 2,376 | |||
Atlantic Power Corp. | 546,797 | 2,242 | |||
877,395 | |||||
Total Common Stocks (Cost $10,468,340) | 13,956,176 | ||||
Coupon | |||||
Temporary Cash Investments (0.8%)1 | |||||
Money Market Fund (0.8%) | |||||
2,3 | Vanguard Market Liquidity Fund | 0.111% | 107,284,288 | 107,284 | |
Face | |||||
Maturity | Amount | ||||
Date | ($000) | ||||
U.S. Government and Agency Obligations (0.0%) | |||||
4,5 | Freddie Mac Discount Notes | 0.077% | 10/20/14 | 3,000 | 2,999 |
Total Temporary Cash Investments (Cost $110,284) | 110,283 | ||||
Total Investments (100.5%) (Cost $10,578,624) | 14,066,459 | ||||
Other Assets and Liabilities—Net (-0.5%)3 | (65,923) | ||||
Net Assets (100%) | 14,000,536 |
* 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 0.5%, 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 $77,075,000 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 $1,799,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
51
© 2014 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA482 082014
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.6%)1 | |||
Basic Materials (3.1%) | |||
Dow Chemical Co. | 19,162,296 | 986,092 | |
EI du Pont de Nemours & Co. | 14,603,358 | 955,644 | |
LyondellBasell Industries NV Class A | 7,128,453 | 696,093 | |
Praxair Inc. | 4,665,629 | 619,782 | |
Freeport-McMoRan Copper & Gold Inc. | 16,530,937 | 603,379 | |
Ecolab Inc. | 4,304,491 | 479,262 | |
PPG Industries Inc. | 2,178,854 | 457,886 | |
Air Products & Chemicals Inc. | 3,370,550 | 433,520 | |
International Paper Co. | 6,842,125 | 345,322 | |
Alcoa Inc. | 18,642,629 | 277,589 | |
Mosaic Co. | 5,135,254 | 253,938 | |
Nucor Corp. | 5,077,958 | 250,089 | |
Newmont Mining Corp. | 7,945,344 | 202,130 | |
CF Industries Holdings Inc. | 829,605 | 199,545 | |
Sigma-Aldrich Corp. | 1,893,790 | 192,182 | |
Eastman Chemical Co. | 2,170,717 | 189,612 | |
CONSOL Energy Inc. | 3,643,619 | 167,862 | |
Celanese Corp. Class A | 2,489,097 | 159,999 | |
FMC Corp. | 2,112,484 | 150,388 | |
International Flavors & Fragrances Inc. | 1,294,135 | 134,952 | |
Ashland Inc. | 1,236,185 | 134,423 | |
Airgas Inc. | 1,056,755 | 115,091 | |
* | WR Grace & Co. | 1,160,305 | 109,684 |
RPM International Inc. | 2,116,749 | 97,751 | |
Huntsman Corp. | 3,267,306 | 91,811 | |
Albemarle Corp. | 1,261,520 | 90,199 | |
Rockwood Holdings Inc. | 1,165,126 | 88,538 | |
Reliance Steel & Aluminum Co. | 1,169,961 | 86,238 | |
Avery Dennison Corp. | 1,521,461 | 77,975 | |
Royal Gold Inc. | 980,223 | 74,615 | |
Allegheny Technologies Inc. | 1,630,857 | 73,552 | |
Peabody Energy Corp. | 4,322,796 | 70,678 | |
NewMarket Corp. | 165,725 | 64,982 | |
PolyOne Corp. | 1,513,066 | 63,761 | |
Steel Dynamics Inc. | 3,372,230 | 60,532 | |
Cytec Industries Inc. | 573,370 | 60,445 | |
^ | United States Steel Corp. | 2,319,477 | 60,399 |
* | Platform Specialty Products Corp. | 1,967,521 | 55,150 |
Cabot Corp. | 940,997 | 54,568 | |
Westlake Chemical Corp. | 638,411 | 53,473 | |
Axiall Corp. | 1,112,089 | 52,568 | |
Carpenter Technology Corp. | 807,241 | 51,058 | |
Compass Minerals International Inc. | 532,778 | 51,008 | |
US Silica Holdings Inc. | 846,234 | 46,915 | |
Sensient Technologies Corp. | 810,878 | 45,182 | |
Domtar Corp. | 1,015,556 | 43,517 | |
* | KapStone Paper and Packaging Corp. | 1,296,632 | 42,957 |
* | Chemtura Corp. | 1,536,258 | 40,142 |
HB Fuller Co. | 802,519 | 38,601 | |
^ | Cliffs Natural Resources Inc. | 2,447,309 | 36,832 |
Worthington Industries Inc. | 839,381 | 36,127 | |
Minerals Technologies Inc. | 550,642 | 36,111 | |
Olin Corp. | 1,267,493 | 34,121 | |
* | Polypore International Inc. | 713,494 | 34,055 |
* | Stillwater Mining Co. | 1,899,149 | 33,330 |
Commercial Metals Co. | 1,870,379 | 32,376 | |
Balchem Corp. | 485,436 | 26,000 | |
Tronox Ltd. Class A | 942,452 | 25,352 | |
* | SunCoke Energy Inc. | 1,049,230 | 22,558 |
Kaiser Aluminum Corp. | 302,707 | 22,058 | |
Globe Specialty Metals Inc. | 1,005,463 | 20,893 |
1
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Innophos Holdings Inc. | 355,777 | 20,482 | |
* | Clearwater Paper Corp. | 322,455 | 19,902 |
* | Calgon Carbon Corp. | 849,804 | 18,976 |
Hecla Mining Co. | 5,458,479 | 18,832 | |
PH Glatfelter Co. | 702,554 | 18,639 | |
* | Resolute Forest Products Inc. | 1,092,117 | 18,326 |
* | Cloud Peak Energy Inc. | 967,668 | 17,824 |
A Schulman Inc. | 442,270 | 17,116 | |
* | Ferro Corp. | 1,352,759 | 16,991 |
OM Group Inc. | 507,593 | 16,461 | |
*,^ | AK Steel Holding Corp. | 2,040,272 | 16,241 |
Stepan Co. | 306,226 | 16,187 | |
Innospec Inc. | 370,127 | 15,978 | |
Quaker Chemical Corp. | 200,359 | 15,386 | |
* | Coeur Mining Inc. | 1,659,043 | 15,230 |
*,^ | Intrepid Potash Inc. | 906,973 | 15,201 |
* | Horsehead Holding Corp. | 797,531 | 14,563 |
Neenah Paper Inc. | 265,605 | 14,117 | |
*,^ | Alpha Natural Resources Inc. | 3,538,461 | 13,128 |
* | RTI International Metals Inc. | 490,138 | 13,033 |
* | LSB Industries Inc. | 303,322 | 12,639 |
^ | Arch Coal Inc. | 3,417,102 | 12,472 |
* | Century Aluminum Co. | 779,963 | 12,230 |
Koppers Holdings Inc. | 308,808 | 11,812 | |
* | Kraton Performance Polymers Inc. | 521,272 | 11,671 |
Haynes International Inc. | 199,717 | 11,302 | |
Deltic Timber Corp. | 181,933 | 10,992 | |
Tredegar Corp. | 418,704 | 9,802 | |
* | Cambrex Corp. | 458,178 | 9,484 |
* | Rentech Inc. | 3,436,117 | 8,900 |
Wausau Paper Corp. | 759,712 | 8,220 | |
* | Westmoreland Coal Co. | 218,794 | 7,938 |
Aceto Corp. | 388,015 | 7,039 | |
*,^ | Molycorp Inc. | 2,705,317 | 6,953 |
Kronos Worldwide Inc. | 408,113 | 6,395 | |
* | OMNOVA Solutions Inc. | 695,482 | 6,322 |
Zep Inc. | 339,174 | 5,990 | |
*,^ | Allied Nevada Gold Corp. | 1,545,716 | 5,812 |
* | Senomyx Inc. | 668,531 | 5,783 |
^ | Walter Energy Inc. | 1,054,664 | 5,748 |
FutureFuel Corp. | 344,533 | 5,716 | |
American Vanguard Corp. | 386,012 | 5,103 | |
Hawkins Inc. | 136,297 | 5,062 | |
^ | Gold Resource Corp. | 745,470 | 3,772 |
Olympic Steel Inc. | 140,347 | 3,474 | |
* | Universal Stainless & Alloy Products Inc. | 104,499 | 3,394 |
Chase Corp. | 99,106 | 3,383 | |
Ampco-Pittsburgh Corp. | 123,647 | 2,836 | |
*,^ | Marrone Bio Innovations Inc. | 235,244 | 2,734 |
Noranda Aluminum Holding Corp. | 721,663 | 2,547 | |
* | Uranium Energy Corp. | 1,458,689 | 2,276 |
KMG Chemicals Inc. | 121,060 | 2,177 | |
* | Handy & Harman Ltd. | 71,880 | 1,924 |
*,^ | Paramount Gold and Silver Corp. | 1,898,491 | 1,823 |
* | Penford Corp. | 139,711 | 1,792 |
* | Comstock Mining Inc. | 1,012,832 | 1,691 |
Hallador Energy Co. | 176,913 | 1,679 | |
Synalloy Corp. | 99,477 | 1,633 | |
*,^ | Uranerz Energy Corp. | 1,036,648 | 1,534 |
*,^ | Midway Gold Corp. | 1,661,576 | 1,495 |
*,^ | Uni-Pixel Inc. | 174,963 | 1,407 |
* | General Moly Inc. | 1,030,187 | 1,185 |
* | Northern Technologies International Corp. | 55,404 | 1,167 |
NL Industries Inc. | 92,843 | 862 |
2
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | Golden Minerals Co. | 688,429 | 792 |
*,^ | Nova Lifestyle Inc. | 165,176 | 771 |
* | Solitario Exploration & Royalty Corp. | 536,555 | 708 |
* | US Antimony Corp. | 460,739 | 654 |
Friedman Industries Inc. | 75,387 | 637 | |
*,^ | Verso Paper Corp. | 296,961 | 624 |
* | Uranium Resources Inc. | 199,935 | 516 |
* | Codexis Inc. | 324,305 | 473 |
United-Guardian Inc. | 13,904 | 398 | |
*,^ | Metabolix Inc. | 444,498 | 387 |
* | RevettMining Co. Inc. | 367,900 | 381 |
Empire Resources Inc. | 78,065 | 323 | |
* | Dynasil Corp. of America | 155,873 | 274 |
* | Mines Management Inc. | 180,173 | 202 |
^ | USEC Inc. | 60,652 | 184 |
* | Ikonics Corp. | 5,910 | 149 |
* | TOR Minerals International Inc. | 2,580 | 26 |
10,689,174 | |||
Consumer Goods (9.7%) | |||
Procter & Gamble Co. | 43,014,993 | 3,380,548 | |
Coca-Cola Co. | 62,925,256 | 2,665,514 | |
PepsiCo Inc. | 24,123,983 | 2,155,237 | |
Philip Morris International Inc. | 23,773,512 | 2,004,345 | |
Altria Group Inc. | 31,591,849 | 1,324,962 | |
Ford Motor Co. | 61,730,388 | 1,064,232 | |
Monsanto Co. | 8,342,081 | 1,040,591 | |
Colgate-Palmolive Co. | 14,559,543 | 992,670 | |
Mondelez International Inc. Class A | 25,559,589 | 961,296 | |
NIKE Inc. Class B | 11,147,671 | 864,502 | |
General Motors Co. | 20,417,238 | 741,146 | |
Kimberly-Clark Corp. | 6,001,043 | 667,436 | |
Kraft Foods Group Inc. | 9,449,135 | 566,476 | |
Johnson Controls Inc. | 10,574,828 | 528,001 | |
General Mills Inc. | 9,761,484 | 512,868 | |
Archer-Daniels-Midland Co. | 10,418,090 | 459,542 | |
Lorillard Inc. | 5,773,614 | 352,017 | |
VF Corp. | 5,479,048 | 345,180 | |
Delphi Automotive plc | 4,823,993 | 331,601 | |
Reynolds American Inc. | 5,129,277 | 309,552 | |
*,^ | Tesla Motors Inc. | 1,284,317 | 308,313 |
Kellogg Co. | 4,570,430 | 300,277 | |
Mead Johnson Nutrition Co. | 3,208,869 | 298,970 | |
Estee Lauder Cos. Inc. Class A | 3,725,772 | 276,676 | |
* | Michael Kors Holdings Ltd. | 2,922,514 | 259,081 |
Harley-Davidson Inc. | 3,482,017 | 243,219 | |
Keurig Green Mountain Inc. | 1,943,084 | 242,128 | |
BorgWarner Inc. | 3,629,658 | 236,617 | |
Hershey Co. | 2,318,298 | 225,733 | |
* | Constellation Brands Inc. Class A | 2,543,353 | 224,146 |
Stanley Black & Decker Inc. | 2,476,284 | 217,467 | |
Mattel Inc. | 5,405,490 | 210,652 | |
Genuine Parts Co. | 2,323,299 | 203,986 | |
ConAgra Foods Inc. | 6,698,216 | 198,803 | |
Clorox Co. | 2,042,479 | 186,683 | |
Dr Pepper Snapple Group Inc. | 3,136,160 | 183,716 | |
Activision Blizzard Inc. | 7,972,433 | 177,785 | |
Coca-Cola Enterprises Inc. | 3,611,142 | 172,540 | |
Whirlpool Corp. | 1,235,279 | 171,976 | |
* | Electronic Arts Inc. | 4,755,740 | 170,588 |
* | Monster Beverage Corp. | 2,389,169 | 169,703 |
Molson Coors Brewing Co. Class B | 2,288,033 | 169,681 | |
Bunge Ltd. | 2,231,185 | 168,767 | |
JM Smucker Co. | 1,565,315 | 166,816 | |
Tyson Foods Inc. Class A | 4,426,200 | 166,160 |
3
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Under Armour Inc. Class A | 2,769,790 | 164,775 |
* | TRW Automotive Holdings Corp. | 1,766,813 | 158,165 |
Hanesbrands Inc. | 1,581,146 | 155,648 | |
Ralph Lauren Corp. Class A | 966,112 | 155,245 | |
Brown-Forman Corp. Class B | 1,644,371 | 154,850 | |
Church & Dwight Co. Inc. | 2,183,325 | 152,724 | |
PVH Corp. | 1,302,808 | 151,907 | |
Coach Inc. | 4,365,070 | 149,242 | |
Campbell Soup Co. | 2,996,605 | 137,274 | |
Newell Rubbermaid Inc. | 4,421,278 | 137,015 | |
* | Mohawk Industries Inc. | 984,279 | 136,165 |
Polaris Industries Inc. | 1,045,311 | 136,141 | |
Leucadia National Corp. | 5,013,863 | 131,463 | |
McCormick & Co. Inc. | 1,795,344 | 128,529 | |
Hillshire Brands Co. | 1,947,769 | 121,346 | |
Energizer Holdings Inc. | 979,844 | 119,570 | |
* | Jarden Corp. | 1,956,162 | 116,098 |
Harman International Industries Inc. | 1,078,740 | 115,889 | |
* | LKQ Corp. | 4,324,307 | 115,416 |
Lear Corp. | 1,284,074 | 114,693 | |
DR Horton Inc. | 4,622,220 | 113,614 | |
Goodyear Tire & Rubber Co. | 3,942,886 | 109,533 | |
Snap-on Inc. | 923,969 | 109,509 | |
PulteGroup Inc. | 5,431,362 | 109,496 | |
Lennar Corp. Class A | 2,493,697 | 104,685 | |
Hormel Foods Corp. | 2,104,990 | 103,881 | |
* | WABCO Holdings Inc. | 971,072 | 103,730 |
Avon Products Inc. | 6,903,449 | 100,859 | |
Hasbro Inc. | 1,867,263 | 99,058 | |
* | Toll Brothers Inc. | 2,535,395 | 93,556 |
* | WhiteWave Foods Co. Class A | 2,755,297 | 89,189 |
Ingredion Inc. | 1,185,699 | 88,975 | |
* | Kate Spade & Co. | 2,022,686 | 77,145 |
* | NVR Inc. | 66,135 | 76,095 |
^ | Herbalife Ltd. | 1,172,051 | 75,644 |
* | Middleby Corp. | 912,255 | 75,462 |
Leggett & Platt Inc. | 2,199,319 | 75,393 | |
* | Visteon Corp. | 768,321 | 74,535 |
* | Fossil Group Inc. | 683,480 | 71,437 |
* | Hain Celestial Group Inc. | 752,247 | 66,754 |
*,^ | Lululemon Athletica Inc. | 1,648,951 | 66,750 |
Gentex Corp. | 2,206,843 | 64,197 | |
* | Tenneco Inc. | 976,434 | 64,152 |
Brunswick Corp. | 1,478,843 | 62,304 | |
Flowers Foods Inc. | 2,875,680 | 60,619 | |
Tupperware Brands Corp. | 721,069 | 60,353 | |
Dana Holding Corp. | 2,467,033 | 60,245 | |
Nu Skin Enterprises Inc. Class A | 799,027 | 59,096 | |
* | Tempur Sealy International Inc. | 964,552 | 57,584 |
Carter's Inc. | 820,936 | 56,587 | |
* | Darling Ingredients Inc. | 2,631,545 | 54,999 |
* | Deckers Outdoor Corp. | 524,324 | 45,265 |
* | TreeHouse Foods Inc. | 555,384 | 44,470 |
Scotts Miracle-Gro Co. Class A | 760,527 | 43,244 | |
Thor Industries Inc. | 722,898 | 41,111 | |
Wolverine World Wide Inc. | 1,531,457 | 39,910 | |
Pool Corp. | 691,803 | 39,128 | |
* | Zynga Inc. Class A | 11,133,036 | 35,737 |
* | Post Holdings Inc. | 663,313 | 33,769 |
* | Steven Madden Ltd. | 969,150 | 33,242 |
* | Take-Two Interactive Software Inc. | 1,480,973 | 32,937 |
Sanderson Farms Inc. | 330,487 | 32,123 | |
Lancaster Colony Corp. | 328,369 | 31,248 | |
* | Boston Beer Co. Inc. Class A | 139,632 | 31,211 |
4
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Iconix Brand Group Inc. | 726,839 | 31,210 |
Spectrum Brands Holdings Inc. | 342,388 | 29,456 | |
Cooper Tire & Rubber Co. | 976,561 | 29,297 | |
Ryland Group Inc. | 732,680 | 28,897 | |
* | Skechers U.S.A. Inc. Class A | 631,278 | 28,849 |
Pinnacle Foods Inc. | 853,431 | 28,078 | |
KB Home | 1,472,836 | 27,513 | |
HNI Corp. | 696,187 | 27,228 | |
Herman Miller Inc. | 894,844 | 27,060 | |
B&G Foods Inc. | 817,547 | 26,726 | |
* | Helen of Troy Ltd. | 439,982 | 26,676 |
Dean Foods Co. | 1,427,529 | 25,110 | |
* | Dorman Products Inc. | 498,355 | 24,579 |
* | G-III Apparel Group Ltd. | 298,600 | 24,384 |
* | Meritage Homes Corp. | 563,947 | 23,804 |
* | Gentherm Inc. | 527,358 | 23,441 |
* | TiVo Inc. | 1,795,448 | 23,179 |
Vector Group Ltd. | 1,099,623 | 22,740 | |
J&J Snack Foods Corp. | 239,441 | 22,536 | |
* | Pilgrim's Pride Corp. | 823,616 | 22,534 |
Snyder's-Lance Inc. | 840,646 | 22,243 | |
Andersons Inc. | 424,422 | 21,892 | |
* | Crocs Inc. | 1,415,172 | 21,270 |
Schweitzer-Mauduit International Inc. | 483,237 | 21,098 | |
* | Standard Pacific Corp. | 2,438,661 | 20,972 |
Universal Corp. | 371,429 | 20,559 | |
* | American Axle & Manufacturing Holdings Inc. | 1,058,507 | 19,995 |
Coty Inc. Class A | 1,150,838 | 19,714 | |
Steelcase Inc. Class A | 1,298,533 | 19,647 | |
Fresh Del Monte Produce Inc. | 632,472 | 19,385 | |
MDC Holdings Inc. | 633,705 | 19,195 | |
La-Z-Boy Inc. | 823,365 | 19,077 | |
Interface Inc. Class A | 1,000,773 | 18,855 | |
Columbia Sportswear Co. | 225,304 | 18,621 | |
Drew Industries Inc. | 359,459 | 17,977 | |
WD-40 Co. | 231,625 | 17,423 | |
* | Select Comfort Corp. | 818,176 | 16,904 |
*,^ | iRobot Corp. | 410,208 | 16,798 |
Cal-Maine Foods Inc. | 222,932 | 16,568 | |
Oxford Industries Inc. | 234,556 | 15,638 | |
* | Tumi Holdings Inc. | 756,845 | 15,235 |
*,^ | Seaboard Corp. | 5,044 | 15,234 |
Briggs & Stratton Corp. | 698,818 | 14,298 | |
* | Cooper-Standard Holding Inc. | 216,025 | 14,292 |
Standard Motor Products Inc. | 312,938 | 13,979 | |
Titan International Inc. | 795,454 | 13,380 | |
* | Boulder Brands Inc. | 917,508 | 13,010 |
Knoll Inc. | 730,651 | 12,662 | |
*,^ | Eastman Kodak Co. | 498,310 | 12,194 |
* | Modine Manufacturing Co. | 764,413 | 12,032 |
Movado Group Inc. | 280,940 | 11,707 | |
* | Universal Electronics Inc. | 239,325 | 11,698 |
* | ACCO Brands Corp. | 1,798,181 | 11,526 |
* | Taylor Morrison Home Corp. Class A | 512,612 | 11,493 |
* | Cavco Industries Inc. | 134,354 | 11,460 |
* | Tower International Inc. | 305,279 | 11,246 |
* | Winnebago Industries Inc. | 440,094 | 11,082 |
* | Blount International Inc. | 780,279 | 11,010 |
* | Federal-Mogul Holdings Corp. | 511,100 | 10,340 |
Ethan Allen Interiors Inc. | 414,845 | 10,263 | |
Callaway Golf Co. | 1,205,950 | 10,034 | |
* | Vince Holding Corp. | 263,143 | 9,636 |
Lennar Corp. Class B | 270,198 | 9,600 | |
* | Diamond Foods Inc. | 339,040 | 9,561 |
5
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | M/I Homes Inc. | 385,264 | 9,350 |
Tootsie Roll Industries Inc. | 316,395 | 9,315 | |
* | Annie's Inc. | 268,407 | 9,078 |
* | RealD Inc. | 698,579 | 8,914 |
* | Hovnanian Enterprises Inc. Class A | 1,721,499 | 8,866 |
* | USANA Health Sciences Inc. | 112,825 | 8,816 |
* | Libbey Inc. | 323,514 | 8,618 |
* | Elizabeth Arden Inc. | 402,170 | 8,614 |
Inter Parfums Inc. | 284,634 | 8,411 | |
* | Beazer Homes USA Inc. | 395,003 | 8,287 |
Superior Industries International Inc. | 395,922 | 8,164 | |
Arctic Cat Inc. | 204,301 | 8,054 | |
* | William Lyon Homes Class A | 260,502 | 7,930 |
* | Chiquita Brands International Inc. | 696,741 | 7,560 |
Nutrisystem Inc. | 429,224 | 7,344 | |
Calavo Growers Inc. | 213,699 | 7,229 | |
* | Vera Bradley Inc. | 328,941 | 7,194 |
* | Unifi Inc. | 259,673 | 7,149 |
* | Glu Mobile Inc. | 1,399,344 | 6,997 |
* | Quiksilver Inc. | 1,901,713 | 6,808 |
* | LeapFrog Enterprises Inc. | 911,706 | 6,701 |
National Presto Industries Inc. | 85,181 | 6,205 | |
* | DTS Inc. | 333,606 | 6,142 |
* | Phibro Animal Health Corp. Class A | 279,720 | 6,140 |
* | Revlon Inc. Class A | 200,468 | 6,114 |
* | Medifast Inc. | 197,637 | 6,010 |
Remy International Inc. | 254,058 | 5,932 | |
Coca-Cola Bottling Co. Consolidated | 79,768 | 5,877 | |
* | Motorcar Parts of America Inc. | 227,866 | 5,549 |
* | LGI Homes Inc. | 283,214 | 5,169 |
* | Nautilus Inc. | 443,126 | 4,914 |
* | WCI Communities Inc. | 240,311 | 4,640 |
* | Omega Protein Corp. | 315,597 | 4,317 |
* | Stoneridge Inc. | 402,731 | 4,317 |
* | Sequential Brands Group Inc. | 297,968 | 4,115 |
* | Black Diamond Inc. | 365,663 | 4,103 |
* | Central Garden and Pet Co. Class A | 440,583 | 4,053 |
John B Sanfilippo & Son Inc. | 149,908 | 3,968 | |
*,^ | TRI Pointe Homes Inc. | 249,145 | 3,917 |
* | Fox Factory Holding Corp. | 215,238 | 3,786 |
* | Perry Ellis International Inc. | 208,575 | 3,638 |
* | Nutraceutical International Corp. | 147,820 | 3,527 |
Orchids Paper Products Co. | 104,347 | 3,343 | |
Strattec Security Corp. | 51,730 | 3,336 | |
* | National Beverage Corp. | 175,617 | 3,323 |
* | GoPro Inc. Class A | 81,085 | 3,288 |
Limoneira Co. | 145,411 | 3,195 | |
* | Inventure Foods Inc. | 272,619 | 3,072 |
* | Seneca Foods Corp. Class A | 99,386 | 3,041 |
Flexsteel Industries Inc. | 91,057 | 3,037 | |
* | Alliance One International Inc. | 1,201,901 | 3,005 |
* | Jamba Inc. | 247,238 | 2,992 |
Hooker Furniture Corp. | 182,208 | 2,941 | |
Oil-Dri Corp. of America | 93,252 | 2,851 | |
Nature's Sunshine Products Inc. | 160,581 | 2,725 | |
Weyco Group Inc. | 95,177 | 2,609 | |
* | Dixie Group Inc. | 238,274 | 2,523 |
RG Barry Corp. | 128,598 | 2,437 | |
* | Fuel Systems Solutions Inc. | 208,187 | 2,319 |
*,^ | JAKKS Pacific Inc. | 297,222 | 2,301 |
Lifetime Brands Inc. | 143,306 | 2,253 | |
Cherokee Inc. | 147,628 | 2,242 | |
* | New Home Co. Inc. | 157,021 | 2,219 |
Escalade Inc. | 137,114 | 2,213 |
6
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | ZAGG Inc. | 402,914 | 2,188 |
* | Shiloh Industries Inc. | 116,112 | 2,143 |
Female Health Co. | 385,737 | 2,125 | |
* | Central Garden and Pet Co. | 225,766 | 2,054 |
Culp Inc. | 117,553 | 2,047 | |
* | Farmer Bros Co. | 94,199 | 2,036 |
Bassett Furniture Industries Inc. | 153,169 | 2,016 | |
*,^ | Quantum Fuel Systems Technologies Worldwide Inc. | 333,498 | 1,928 |
* | Malibu Boats Inc. Class A | 95,163 | 1,913 |
*,^ | Lifevantage Corp. | 1,313,578 | 1,892 |
Johnson Outdoors Inc. Class A | 69,364 | 1,790 | |
* | Skullcandy Inc. | 245,181 | 1,778 |
Alico Inc. | 46,638 | 1,748 | |
*,^ | American Apparel Inc. | 1,850,025 | 1,665 |
Griffin Land & Nurseries Inc. | 53,560 | 1,580 | |
* | Craft Brew Alliance Inc. | 140,908 | 1,558 |
* | LoJack Corp. | 276,852 | 1,503 |
*,^ | Rock Creek Pharmaceuticals Inc. | 2,416,996 | 1,426 |
Superior Uniform Group Inc. | 85,934 | 1,393 | |
Marine Products Corp. | 166,467 | 1,382 | |
Rocky Brands Inc. | 95,177 | 1,354 | |
* | Lifeway Foods Inc. | 95,840 | 1,340 |
* | Delta Apparel Inc. | 93,171 | 1,334 |
* | Core Molding Technologies Inc. | 94,928 | 1,234 |
^ | Blyth Inc. | 141,026 | 1,097 |
* | Primo Water Corp. | 228,031 | 1,088 |
LS Starrett Co. Class A | 67,388 | 1,036 | |
MGP Ingredients Inc. | 121,375 | 966 | |
* | Joe's Jeans Inc. | 832,167 | 882 |
* | US Auto Parts Network Inc. | 209,995 | 758 |
Crown Crafts Inc. | 93,679 | 730 | |
* | S&W Seed Co. | 107,757 | 699 |
Rocky Mountain Chocolate Factory Inc. | 50,079 | 661 | |
* | Reed's Inc. | 120,519 | 630 |
* | Stanley Furniture Co. Inc. | 227,672 | 610 |
* | RiceBran Technologies | 107,401 | 567 |
* | Tandy Leather Factory Inc. | 61,866 | 563 |
*,^ | Coffee Holding Co. Inc. | 77,752 | 549 |
* | Charles & Colvard Ltd. | 232,527 | 512 |
* | Summer Infant Inc. | 163,615 | 471 |
* | Castle Brands Inc. | 508,060 | 452 |
* | Emerson Radio Corp. | 183,285 | 326 |
* | Mannatech Inc. | 26,707 | 323 |
* | Skyline Corp. | 72,591 | 298 |
* | Ceres Inc. | 446,757 | 298 |
*,^ | Clean Diesel Technologies Inc. | 103,665 | 281 |
*,^ | Comstock Holding Cos. Inc. Class A | 227,285 | 270 |
Kewaunee Scientific Corp. | 13,832 | 243 | |
Acme United Corp. | 13,123 | 220 | |
Reliv International Inc. | 134,178 | 215 | |
* | Lakeland Industries Inc. | 26,834 | 192 |
* | Tofutti Brands Inc. | 34,800 | 161 |
* | P&F Industries Inc. Class A | 16,709 | 131 |
* | Majesco Entertainment Co. | 54,353 | 123 |
* | Hovnanian Enterprises Inc. Class B | 19,300 | 99 |
CCA Industries Inc. | 26,873 | 93 | |
* | DS Healthcare Group Inc. | 51,862 | 90 |
* | Cyanotech Corp. | 19,386 | 90 |
* | A-Mark Precious Metals Inc. | 6,338 | 71 |
* | Willamette Valley Vineyards Inc. | 10,817 | 63 |
Compx International Inc. | 5,846 | 61 | |
* | Truett-Hurst Inc. | 11,900 | 61 |
* | CTI Industries Corp. | 11,946 | 56 |
* | Natural Alternatives International Inc. | 9,550 | 51 |
7
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Forward Industries Inc. | 41,313 | 50 |
* | Crystal Rock Holdings Inc. | 60,150 | 49 |
Golden Enterprises Inc. | 9,731 | 42 | |
Koss Corp. | 12,072 | 38 | |
Ocean Bio-Chem Inc. | 3,442 | 10 | |
33,924,085 | |||
Consumer Services (12.9%) | |||
Walt Disney Co. | 24,792,686 | 2,125,725 | |
Comcast Corp. Class A | 36,416,231 | 1,954,823 | |
Wal-Mart Stores Inc. | 25,668,597 | 1,926,942 | |
* | Amazon.com Inc. | 5,859,436 | 1,903,028 |
Home Depot Inc. | 21,753,757 | 1,761,184 | |
McDonald's Corp. | 15,713,611 | 1,582,989 | |
CVS Caremark Corp. | 18,607,271 | 1,402,430 | |
Twenty-First Century Fox Inc. Class A | 29,689,615 | 1,043,590 | |
Walgreen Co. | 13,672,257 | 1,013,524 | |
* | Priceline Group Inc. | 834,431 | 1,003,821 |
Time Warner Inc. | 13,332,747 | 936,625 | |
* | eBay Inc. | 18,158,794 | 909,029 |
Starbucks Corp. | 11,384,613 | 880,941 | |
Costco Wholesale Corp. | 6,976,502 | 803,414 | |
Lowe's Cos. Inc. | 15,870,872 | 761,643 | |
McKesson Corp. | 3,668,390 | 683,091 | |
Time Warner Cable Inc. | 4,430,447 | 652,605 | |
* | DIRECTV | 7,596,611 | 645,788 |
Target Corp. | 10,086,558 | 584,516 | |
Yum! Brands Inc. | 7,022,851 | 570,256 | |
TJX Cos. Inc. | 10,586,896 | 562,694 | |
Viacom Inc. Class B | 6,190,530 | 536,905 | |
CBS Corp. Class B | 8,550,395 | 531,322 | |
Delta Air Lines Inc. | 13,510,008 | 523,108 | |
* | American Airlines Group Inc. | 11,448,181 | 491,814 |
Las Vegas Sands Corp. | 6,435,677 | 490,527 | |
* | Netflix Inc. | 905,448 | 398,940 |
Kroger Co. | 7,694,472 | 380,338 | |
Cardinal Health Inc. | 5,418,611 | 371,500 | |
Sysco Corp. | 9,314,586 | 348,831 | |
Macy's Inc. | 5,757,327 | 334,040 | |
Southwest Airlines Co. | 11,002,581 | 295,529 | |
* | Chipotle Mexican Grill Inc. Class A | 494,100 | 292,759 |
Omnicom Group Inc. | 4,109,962 | 292,712 | |
* | AutoZone Inc. | 520,420 | 279,070 |
* | Dollar General Corp. | 4,829,172 | 277,001 |
Wynn Resorts Ltd. | 1,289,698 | 267,690 | |
Carnival Corp. | 7,074,261 | 266,346 | |
Comcast Corp. | 4,795,423 | 255,740 | |
AmerisourceBergen Corp. Class A | 3,411,734 | 247,897 | |
Starwood Hotels & Resorts Worldwide Inc. | 3,049,782 | 246,483 | |
* | United Continental Holdings Inc. | 5,921,543 | 243,198 |
* | O'Reilly Automotive Inc. | 1,602,889 | 241,395 |
Nielsen NV | 4,825,707 | 233,612 | |
L Brands Inc. | 3,931,450 | 230,619 | |
Whole Foods Market Inc. | 5,854,102 | 226,144 | |
* | Liberty Interactive Corp. Class A | 7,378,822 | 216,642 |
* | DISH Network Corp. Class A | 3,326,543 | 216,491 |
Ross Stores Inc. | 3,200,104 | 211,623 | |
* | Charter Communications Inc. Class A | 1,293,364 | 204,843 |
* | Liberty Media Corp. Class A | 1,493,949 | 204,193 |
* | Hertz Global Holdings Inc. | 7,130,605 | 199,871 |
Marriott International Inc. Class A | 3,034,990 | 194,543 | |
* | TripAdvisor Inc. | 1,750,490 | 190,208 |
* | CarMax Inc. | 3,505,720 | 182,333 |
* | Bed Bath & Beyond Inc. | 3,058,865 | 175,518 |
Tiffany & Co. | 1,734,366 | 173,870 |
8
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Discovery Communications Inc. Class A | 2,336,969 | 173,590 |
* | Dollar Tree Inc. | 3,141,055 | 171,062 |
Gap Inc. | 3,903,949 | 162,287 | |
Kohl's Corp. | 2,984,169 | 157,206 | |
Advance Auto Parts Inc. | 1,158,819 | 156,348 | |
* | MGM Resorts International | 5,851,239 | 154,473 |
Wyndham Worldwide Corp. | 2,029,783 | 153,695 | |
Nordstrom Inc. | 2,259,658 | 153,499 | |
*,^ | Sirius XM Holdings Inc. | 43,355,539 | 150,010 |
H&R Block Inc. | 4,362,762 | 146,240 | |
Signet Jewelers Ltd. | 1,277,036 | 141,227 | |
* | IHS Inc. Class A | 1,031,225 | 139,906 |
Best Buy Co. Inc. | 4,425,493 | 137,235 | |
* | News Corp. Class A | 7,458,063 | 133,798 |
Tractor Supply Co. | 2,206,903 | 133,297 | |
Interpublic Group of Cos. Inc. | 6,737,903 | 131,456 | |
Safeway Inc. | 3,631,579 | 124,708 | |
Expedia Inc. | 1,573,915 | 123,962 | |
Foot Locker Inc. | 2,325,435 | 117,946 | |
Royal Caribbean Cruises Ltd. | 2,110,641 | 117,352 | |
Gannett Co. Inc. | 3,612,822 | 113,117 | |
Staples Inc. | 10,308,050 | 111,739 | |
* | Rite Aid Corp. | 15,562,734 | 111,585 |
Omnicare Inc. | 1,576,111 | 104,922 | |
Scripps Networks Interactive Inc. Class A | 1,289,059 | 104,594 | |
Alaska Air Group Inc. | 1,093,964 | 103,981 | |
Williams-Sonoma Inc. | 1,422,745 | 102,125 | |
Family Dollar Stores Inc. | 1,536,015 | 101,592 | |
* | Avis Budget Group Inc. | 1,684,126 | 100,525 |
Darden Restaurants Inc. | 2,087,096 | 96,570 | |
PetSmart Inc. | 1,581,691 | 94,585 | |
* | Hilton Worldwide Holdings Inc. | 3,920,055 | 91,337 |
* | Ulta Salon Cosmetics & Fragrance Inc. | 971,602 | 88,814 |
* | Pandora Media Inc. | 2,957,565 | 87,248 |
* | Discovery Communications Inc. | 1,156,057 | 83,918 |
FactSet Research Systems Inc. | 645,926 | 77,692 | |
Dunkin' Brands Group Inc. | 1,686,473 | 77,257 | |
GameStop Corp. Class A | 1,831,233 | 74,110 | |
* | Spirit Airlines Inc. | 1,156,749 | 73,153 |
Dick's Sporting Goods Inc. | 1,556,037 | 72,449 | |
* | Yelp Inc. Class A | 926,692 | 71,059 |
KAR Auction Services Inc. | 2,210,588 | 70,451 | |
Lamar Advertising Co. Class A | 1,286,594 | 68,189 | |
* | AutoNation Inc. | 1,131,087 | 67,503 |
Service Corp. International | 3,227,787 | 66,880 | |
Dun & Bradstreet Corp. | 596,552 | 65,740 | |
* | Copart Inc. | 1,808,072 | 65,018 |
* | Sally Beauty Holdings Inc. | 2,585,095 | 64,834 |
Domino's Pizza Inc. | 883,242 | 64,556 | |
* | Panera Bread Co. Class A | 417,543 | 62,560 |
International Game Technology | 3,913,256 | 62,260 | |
* | Madison Square Garden Co. Class A | 962,544 | 60,111 |
Cinemark Holdings Inc. | 1,663,484 | 58,821 | |
Cablevision Systems Corp. Class A | 3,236,505 | 57,124 | |
* | AMC Networks Inc. Class A | 917,714 | 56,430 |
* | Urban Outfitters Inc. | 1,654,819 | 56,032 |
* | Live Nation Entertainment Inc. | 2,223,701 | 54,903 |
*,^ | SolarCity Corp. | 737,931 | 52,098 |
Abercrombie & Fitch Co. | 1,165,051 | 50,388 | |
Brinker International Inc. | 1,034,699 | 50,338 | |
* | Groupon Inc. Class A | 7,569,072 | 50,107 |
Graham Holdings Co. Class B | 69,526 | 49,927 | |
* | Buffalo Wild Wings Inc. | 298,931 | 49,536 |
GNC Holdings Inc. Class A | 1,439,785 | 49,097 |
9
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Restoration Hardware Holdings Inc. | 527,629 | 49,096 |
Six Flags Entertainment Corp. | 1,149,220 | 48,899 | |
* | United Natural Foods Inc. | 749,134 | 48,769 |
* | Apollo Education Group Inc. | 1,515,705 | 47,366 |
* | Norwegian Cruise Line Holdings Ltd. | 1,462,732 | 46,369 |
Burger King Worldwide Inc. | 1,696,111 | 46,168 | |
* | Cabela's Inc. | 730,240 | 45,567 |
Vail Resorts Inc. | 578,384 | 44,640 | |
* | VCA Inc. | 1,262,999 | 44,319 |
Dillard's Inc. Class A | 377,905 | 44,068 | |
* | JetBlue Airways Corp. | 4,034,784 | 43,777 |
* | Office Depot Inc. | 7,629,047 | 43,409 |
* | Sprouts Farmers Market Inc. | 1,326,503 | 43,403 |
Casey's General Stores Inc. | 615,292 | 43,249 | |
John Wiley & Sons Inc. Class A | 704,897 | 42,710 | |
* | Starz | 1,423,270 | 42,399 |
* | Big Lots Inc. | 927,741 | 42,398 |
Sotheby's | 1,004,084 | 42,161 | |
* | Bally Technologies Inc. | 624,388 | 41,035 |
* | Time Inc. | 1,685,717 | 40,828 |
Men's Wearhouse Inc. | 717,074 | 40,013 | |
Jack in the Box Inc. | 665,221 | 39,807 | |
Sinclair Broadcast Group Inc. Class A | 1,144,577 | 39,774 | |
Aaron's Inc. | 1,109,571 | 39,545 | |
*,^ | JC Penney Co. Inc. | 4,368,735 | 39,537 |
* | Hyatt Hotels Corp. Class A | 645,243 | 39,347 |
CST Brands Inc. | 1,140,426 | 39,345 | |
Lions Gate Entertainment Corp. | 1,360,012 | 38,869 | |
Chico's FAS Inc. | 2,282,181 | 38,706 | |
* | HomeAway Inc. | 1,103,082 | 38,409 |
Cracker Barrel Old Country Store Inc. | 381,099 | 37,946 | |
Wendy's Co. | 4,381,827 | 37,377 | |
DSW Inc. Class A | 1,323,606 | 36,982 | |
* | Ascena Retail Group Inc. | 2,067,252 | 35,350 |
* | Murphy USA Inc. | 706,732 | 34,552 |
Extended Stay America Inc. | 1,490,669 | 34,524 | |
* | OpenTable Inc. | 332,493 | 34,446 |
Cheesecake Factory Inc. | 736,568 | 34,191 | |
DeVry Education Group Inc. | 804,902 | 34,080 | |
* | Dolby Laboratories Inc. Class A | 781,696 | 33,769 |
* | Asbury Automotive Group Inc. | 488,458 | 33,577 |
* | Grand Canyon Education Inc. | 725,569 | 33,354 |
Penske Automotive Group Inc. | 667,400 | 33,036 | |
Lithia Motors Inc. Class A | 349,731 | 32,899 | |
Rollins Inc. | 1,091,776 | 32,753 | |
New York Times Co. Class A | 2,125,245 | 32,325 | |
* | Lumber Liquidators Holdings Inc. | 413,938 | 31,439 |
* | Five Below Inc. | 775,217 | 30,939 |
SeaWorld Entertainment Inc. | 1,091,346 | 30,918 | |
Hillenbrand Inc. | 941,434 | 30,710 | |
HSN Inc. | 514,665 | 30,489 | |
American Eagle Outfitters Inc. | 2,661,517 | 29,862 | |
* | Genesco Inc. | 363,025 | 29,815 |
* | WebMD Health Corp. | 614,819 | 29,696 |
Group 1 Automotive Inc. | 346,351 | 29,201 | |
* | Bloomin' Brands Inc. | 1,288,153 | 28,893 |
* | Life Time Fitness Inc. | 591,568 | 28,833 |
* | Houghton Mifflin Harcourt Co. | 1,465,054 | 28,070 |
Meredith Corp. | 579,389 | 28,019 | |
* | ANN Inc. | 681,070 | 28,019 |
AMERCO | 93,837 | 27,284 | |
Regal Entertainment Group Class A | 1,291,158 | 27,243 | |
* | SUPERVALU Inc. | 3,273,545 | 26,909 |
* | Acxiom Corp. | 1,209,186 | 26,227 |
10
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Conversant Inc. | 1,017,677 | 25,849 |
Texas Roadhouse Inc. Class A | 990,982 | 25,766 | |
* | Beacon Roofing Supply Inc. | 776,913 | 25,731 |
Allegiant Travel Co. Class A | 218,386 | 25,719 | |
* | Marriott Vacations Worldwide Corp. | 437,636 | 25,659 |
Guess? Inc. | 945,269 | 25,522 | |
PriceSmart Inc. | 290,808 | 25,312 | |
^ | Chemed Corp. | 268,765 | 25,189 |
Monro Muffler Brake Inc. | 472,898 | 25,153 | |
* | Shutterfly Inc. | 577,394 | 24,863 |
Morningstar Inc. | 335,279 | 24,076 | |
* | DreamWorks Animation SKG Inc. Class A | 1,033,347 | 24,036 |
Nexstar Broadcasting Group Inc. Class A | 463,623 | 23,928 | |
Aramark | 916,454 | 23,718 | |
Rent-A-Center Inc. | 803,817 | 23,053 | |
Finish Line Inc. Class A | 770,307 | 22,909 | |
Choice Hotels International Inc. | 480,111 | 22,618 | |
Papa John's International Inc. | 529,582 | 22,449 | |
* | Hibbett Sports Inc. | 410,847 | 22,256 |
* | Pinnacle Entertainment Inc. | 881,133 | 22,187 |
* | Caesars Acquisition Co. Class A | 1,783,593 | 22,063 |
* | Susser Holdings Corp. | 271,795 | 21,939 |
* | Express Inc. | 1,261,563 | 21,484 |
Pier 1 Imports Inc. | 1,350,386 | 20,809 | |
* | Vitamin Shoppe Inc. | 482,410 | 20,753 |
Orient-Express Hotels Ltd. Class A | 1,419,600 | 20,641 | |
^ | Buckle Inc. | 464,635 | 20,611 |
*,^ | Fresh Market Inc. | 611,104 | 20,454 |
DineEquity Inc. | 256,498 | 20,389 | |
* | Rush Enterprises Inc. Class A | 584,298 | 20,258 |
*,^ | Media General Inc. | 978,444 | 20,087 |
* | Bright Horizons Family Solutions Inc. | 462,945 | 19,879 |
* | Conn's Inc. | 399,372 | 19,725 |
Churchill Downs Inc. | 216,913 | 19,546 | |
Brown Shoe Co. Inc. | 664,000 | 18,997 | |
* | comScore Inc. | 520,779 | 18,477 |
* | Sonic Corp. | 835,284 | 18,443 |
Bob Evans Farms Inc. | 366,573 | 18,347 | |
* | Bankrate Inc. | 1,032,521 | 18,110 |
* | Fiesta Restaurant Group Inc. | 377,574 | 17,523 |
Children's Place Inc. | 340,648 | 16,906 | |
*,^ | Sears Holdings Corp. | 419,458 | 16,762 |
Matthews International Corp. Class A | 402,493 | 16,732 | |
*,^ | Caesars Entertainment Corp. | 919,921 | 16,632 |
* | Krispy Kreme Doughnuts Inc. | 1,039,136 | 16,605 |
National CineMedia Inc. | 936,385 | 16,396 | |
* | Popeyes Louisiana Kitchen Inc. | 373,376 | 16,320 |
Core-Mark Holding Co. Inc. | 347,000 | 15,834 | |
* | Constant Contact Inc. | 492,814 | 15,824 |
* | Barnes & Noble Inc. | 676,042 | 15,407 |
* | Cumulus Media Inc. Class A | 2,309,945 | 15,223 |
* | Burlington Stores Inc. | 466,382 | 14,859 |
Sonic Automotive Inc. Class A | 553,072 | 14,756 | |
* | Red Robin Gourmet Burgers Inc. | 203,522 | 14,491 |
* | Boyd Gaming Corp. | 1,181,710 | 14,334 |
* | RetailMeNot Inc. | 525,728 | 13,990 |
* | La Quinta Holdings Inc. | 728,588 | 13,945 |
International Speedway Corp. Class A | 418,713 | 13,935 | |
Scholastic Corp. | 408,282 | 13,918 | |
MDC Partners Inc. Class A | 642,770 | 13,813 | |
Cato Corp. Class A | 438,542 | 13,551 | |
* | Penn National Gaming Inc. | 1,106,130 | 13,428 |
* | Sabre Corp. | 666,550 | 13,364 |
* | Ascent Capital Group Inc. Class A | 201,722 | 13,316 |
11
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | BJ's Restaurants Inc. | 379,400 | 13,245 |
* | Multimedia Games Holding Co. Inc. | 444,035 | 13,161 |
* | Lands' End Inc. | 390,793 | 13,123 |
Interval Leisure Group Inc. | 590,566 | 12,957 | |
* | K12 Inc. | 514,754 | 12,390 |
*,^ | Clean Energy Fuels Corp. | 1,055,074 | 12,365 |
* | Diamond Resorts International Inc. | 529,147 | 12,313 |
* | Carmike Cinemas Inc. | 346,048 | 12,157 |
* | zulily Inc. Class A | 288,660 | 11,821 |
SpartanNash Co. | 560,071 | 11,767 | |
* | Tuesday Morning Corp. | 653,702 | 11,649 |
*,^ | Mattress Firm Holding Corp. | 235,417 | 11,241 |
Regis Corp. | 768,762 | 10,824 | |
* | Hawaiian Holdings Inc. | 775,229 | 10,628 |
* | EW Scripps Co. Class A | 493,876 | 10,450 |
* | Biglari Holdings Inc. | 24,608 | 10,408 |
* | Zumiez Inc. | 359,633 | 9,922 |
* | Francesca's Holdings Corp. | 663,681 | 9,783 |
* | Del Frisco's Restaurant Group Inc. | 353,401 | 9,740 |
* | Gray Television Inc. | 740,489 | 9,723 |
Capella Education Co. | 176,245 | 9,586 | |
^ | CBS Outdoor Americas Inc. | 292,575 | 9,561 |
SkyWest Inc. | 773,778 | 9,456 | |
* | FTD Cos. Inc. | 296,562 | 9,428 |
* | Denny's Corp. | 1,409,095 | 9,187 |
* | Pep Boys-Manny Moe & Jack | 800,879 | 9,178 |
^ | Weight Watchers International Inc. | 447,282 | 9,022 |
* | Steiner Leisure Ltd. | 207,038 | 8,963 |
Weis Markets Inc. | 195,076 | 8,921 | |
* | Scientific Games Corp. Class A | 796,522 | 8,857 |
*,^ | Noodles & Co. Class A | 257,188 | 8,845 |
Stage Stores Inc. | 471,664 | 8,815 | |
* | American Public Education Inc. | 253,916 | 8,730 |
Fred's Inc. Class A | 567,682 | 8,680 | |
ClubCorp Holdings Inc. | 460,983 | 8,547 | |
* | Republic Airways Holdings Inc. | 786,176 | 8,522 |
* | Orbitz Worldwide Inc. | 951,811 | 8,471 |
* | Strayer Education Inc. | 160,868 | 8,447 |
* | Chuy's Holdings Inc. | 227,885 | 8,272 |
* | Angie's List Inc. | 687,362 | 8,207 |
AMC Entertainment Holdings Inc. | 322,285 | 8,015 | |
*,^ | Container Store Group Inc. | 282,928 | 7,860 |
* | Stamps.com Inc. | 231,834 | 7,810 |
Haverty Furniture Cos. Inc. | 293,144 | 7,367 | |
*,^ | Coupons.com Inc. | 255,196 | 6,714 |
* | Ruby Tuesday Inc. | 882,600 | 6,699 |
* | Providence Service Corp. | 181,112 | 6,627 |
Ruth's Hospitality Group Inc. | 525,808 | 6,494 | |
Stein Mart Inc. | 465,359 | 6,464 | |
* | Liquidity Services Inc. | 404,992 | 6,383 |
* | Journal Communications Inc. Class A | 712,283 | 6,318 |
Marchex Inc. Class B | 521,115 | 6,264 | |
*,^ | Tile Shop Holdings Inc. | 405,734 | 6,204 |
Harte-Hanks Inc. | 862,749 | 6,203 | |
* | MarineMax Inc. | 366,154 | 6,129 |
*,^ | ITT Educational Services Inc. | 366,933 | 6,124 |
Entravision Communications Corp. Class A | 954,700 | 5,938 | |
* | Chefs' Warehouse Inc. | 300,357 | 5,938 |
* | Pantry Inc. | 359,219 | 5,819 |
^ | World Wrestling Entertainment Inc. Class A | 478,837 | 5,713 |
* | Blue Nile Inc. | 202,840 | 5,680 |
* | News Corp. Class B | 322,102 | 5,621 |
Ingles Markets Inc. Class A | 213,151 | 5,617 | |
* | SFX Entertainment Inc. | 690,651 | 5,594 |
12
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | New Media Investment Group Inc. | 394,797 | 5,571 |
Clear Channel Outdoor Holdings Inc. Class A | 660,359 | 5,402 | |
* | SP Plus Corp. | 251,677 | 5,383 |
Carriage Services Inc. Class A | 304,499 | 5,216 | |
Marcus Corp. | 282,668 | 5,159 | |
* | America's Car-Mart Inc. | 126,449 | 5,001 |
* | Citi Trends Inc. | 232,608 | 4,992 |
* | McClatchy Co. Class A | 882,080 | 4,896 |
* | Christopher & Banks Corp. | 552,263 | 4,838 |
Shoe Carnival Inc. | 232,697 | 4,805 | |
* | XO Group Inc. | 389,321 | 4,758 |
*,^ | Titan Machinery Inc. | 275,558 | 4,536 |
Destination Maternity Corp. | 197,133 | 4,489 | |
* | Bravo Brio Restaurant Group Inc. | 284,773 | 4,445 |
* | Career Education Corp. | 946,900 | 4,432 |
* | Sears Hometown and Outlet Stores Inc. | 196,545 | 4,220 |
^ | PetMed Express Inc. | 309,844 | 4,177 |
*,^ | Aeropostale Inc. | 1,189,480 | 4,151 |
* | Kirkland's Inc. | 223,189 | 4,140 |
* | Zoe's Kitchen Inc. | 118,065 | 4,059 |
* | Sizmek Inc. | 414,473 | 3,950 |
* | Bridgepoint Education Inc. | 291,956 | 3,877 |
* | Famous Dave's of America Inc. | 133,645 | 3,836 |
Big 5 Sporting Goods Corp. | 309,761 | 3,801 | |
* | Potbelly Corp. | 235,171 | 3,753 |
* | Demand Media Inc. | 761,298 | 3,669 |
* | Carrols Restaurant Group Inc. | 509,585 | 3,628 |
Speedway Motorsports Inc. | 195,066 | 3,560 | |
* | Destination XL Group Inc. | 643,786 | 3,547 |
* | Entercom Communications Corp. Class A | 328,982 | 3,530 |
* | Overstock.com Inc. | 222,850 | 3,514 |
AH Belo Corp. Class A | 295,621 | 3,503 | |
Roundy's Inc. | 635,407 | 3,501 | |
CSS Industries Inc. | 131,994 | 3,481 | |
* | Chegg Inc. | 489,773 | 3,448 |
* | Lee Enterprises Inc. | 760,908 | 3,386 |
* | Intrawest Resorts Holdings Inc. | 294,079 | 3,370 |
* | ValueVision Media Inc. Class A | 653,923 | 3,263 |
* | Natural Grocers by Vitamin Cottage Inc. | 145,537 | 3,116 |
* | Daily Journal Corp. | 14,695 | 3,037 |
Saga Communications Inc. Class A | 70,337 | 3,005 | |
* | Morgans Hotel Group Co. | 377,429 | 2,993 |
Einstein Noah Restaurant Group Inc. | 172,695 | 2,773 | |
* | Build-A-Bear Workshop Inc. | 204,595 | 2,733 |
* | West Marine Inc. | 262,221 | 2,690 |
Schawk Inc. Class A | 132,045 | 2,688 | |
* | Radio One Inc. | 538,531 | 2,655 |
* | Everyday Health Inc. | 142,969 | 2,642 |
* | Speed Commerce Inc. | 696,144 | 2,604 |
Winmark Corp. | 36,999 | 2,576 | |
* | Sportsman's Warehouse Holdings Inc. | 318,419 | 2,547 |
* | Isle of Capri Casinos Inc. | 297,452 | 2,546 |
*,^ | Dex Media Inc. | 223,903 | 2,494 |
* | Kona Grill Inc. | 126,769 | 2,461 |
* | RealNetworks Inc. | 320,582 | 2,446 |
* | Travelzoo Inc. | 121,772 | 2,356 |
^ | Bon-Ton Stores Inc. | 228,279 | 2,354 |
Town Sports International Holdings Inc. | 351,323 | 2,336 | |
*,^ | hhgregg Inc. | 229,551 | 2,335 |
* | Monarch Casino & Resort Inc. | 153,221 | 2,320 |
* | JTH Holding Inc. Class A | 69,036 | 2,300 |
* | Care.com Inc. | 181,196 | 2,294 |
* | Nathan's Famous Inc. | 42,147 | 2,284 |
* | QuinStreet Inc. | 411,568 | 2,268 |
13
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Courier Corp. | 151,484 | 2,260 | |
* | 1-800-Flowers.com Inc. Class A | 385,356 | 2,235 |
* | Martha Stewart Living Omnimedia Inc. Class A | 466,586 | 2,193 |
* | Rubicon Project Inc. | 166,113 | 2,133 |
* | Autobytel Inc. | 158,130 | 2,073 |
* | Reading International Inc. Class A | 237,170 | 2,023 |
^ | Collectors Universe Inc. | 102,501 | 2,008 |
*,^ | Spark Networks Inc. | 351,457 | 1,993 |
* | Vitacost.com Inc. | 316,113 | 1,979 |
Village Super Market Inc. Class A | 83,103 | 1,964 | |
* | TechTarget Inc. | 220,166 | 1,942 |
* | Gaiam Inc. Class A | 252,728 | 1,941 |
*,^ | Fairway Group Holdings Corp. | 290,975 | 1,935 |
Liberator Medical Holdings Inc. | 513,040 | 1,924 | |
* | PCM Inc. | 177,713 | 1,894 |
* | Century Casinos Inc. | 280,304 | 1,623 |
bebe stores inc | 529,414 | 1,615 | |
* | Pacific Sunwear of California Inc. | 670,903 | 1,597 |
* | Luby's Inc. | 269,231 | 1,583 |
* | Ignite Restaurant Group Inc. | 108,138 | 1,574 |
* | MTR Gaming Group Inc. | 290,044 | 1,552 |
* | Empire Resorts Inc. | 215,867 | 1,546 |
* | Mandalay Digital Group Inc. | 391,281 | 1,546 |
* | New York & Co. Inc. | 414,760 | 1,530 |
*,^ | RadioShack Corp. | 1,520,085 | 1,506 |
*,^ | Profire Energy Inc. | 300,512 | 1,355 |
* | Tilly's Inc. Class A | 165,482 | 1,330 |
* | Lakes Entertainment Inc. | 274,587 | 1,293 |
* | Emmis Communications Corp. Class A | 429,217 | 1,283 |
Salem Communications Corp. Class A | 133,714 | 1,265 | |
*,^ | Wet Seal Inc. Class A | 1,379,266 | 1,255 |
* | Geeknet Inc. | 100,443 | 1,253 |
* | Red Lion Hotels Corp. | 228,513 | 1,252 |
*,^ | YuMe Inc. | 195,441 | 1,153 |
* | Rick's Cabaret International Inc. | 108,871 | 1,112 |
*,^ | ReachLocal Inc. | 156,541 | 1,100 |
Frisch's Restaurants Inc. | 41,790 | 986 | |
TheStreet Inc. | 395,735 | 954 | |
* | Ambassadors Group Inc. | 199,965 | 922 |
Trans World Entertainment Corp. | 219,546 | 834 | |
* | PDI Inc. | 177,317 | 777 |
Twenty-First Century Fox Inc. | 22,470 | 769 | |
*,^ | dELiA*s Inc. | 951,199 | 733 |
Wayside Technology Group Inc. | 46,894 | 720 | |
* | Diversified Restaurant Holdings Inc. | 147,300 | 703 |
Dover Motorsports Inc. | 236,518 | 684 | |
* | Envivio Inc. | 270,799 | 650 |
National American University Holdings Inc. | 175,287 | 540 | |
Gordmans Stores Inc. | 116,460 | 501 | |
* | Digital Cinema Destinations Corp. Class A | 82,900 | 498 |
*,^ | Education Management Corp. | 292,160 | 494 |
* | Local Corp. | 228,858 | 475 |
* | Dover Downs Gaming & Entertainment Inc. | 339,612 | 465 |
* | CafePress Inc. | 88,151 | 456 |
* | Perfumania Holdings Inc. | 64,655 | 439 |
*,^ | You On Demand Holdings Inc. | 162,581 | 437 |
* | Cambium Learning Group Inc. | 192,481 | 420 |
*,^ | Cache Inc. | 249,330 | 401 |
*,^ | Corinthian Colleges Inc. | 1,324,375 | 392 |
Beasley Broadcasting Group Inc. Class A | 59,000 | 375 | |
* | RLJ Entertainment Inc. | 92,687 | 354 |
* | Learning Tree International Inc. | 136,659 | 350 |
* | Gaming Partners International Corp. | 41,577 | 339 |
*,^ | Pizza Inn Holdings Inc. | 51,905 | 323 |
14
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Hastings Entertainment Inc. | 105,219 | 310 |
* | Premier Exhibitions Inc. | 363,244 | 294 |
* | Insignia Systems Inc. | 87,037 | 284 |
* | Bacterin International Holdings Inc. | 410,401 | 277 |
* | Spanish Broadcasting System Inc. | 48,500 | 274 |
* | ALCO Stores Inc. | 33,827 | 258 |
^ | LiveDeal Inc. | 57,400 | 251 |
* | Books-A-Million Inc. | 105,377 | 230 |
* | Full House Resorts Inc. | 147,684 | 208 |
* | Cosi Inc. | 179,823 | 205 |
*,^ | Body Central Corp. | 209,867 | 186 |
* | NTN Buzztime Inc. | 335,586 | 178 |
* | Remark Media Inc. | 18,931 | 168 |
Ark Restaurants Corp. | 7,542 | 168 | |
* | Good Times Restaurants Inc. | 42,965 | 162 |
Value Line Inc. | 9,438 | 159 | |
* | DGSE Cos. Inc. | 61,321 | 89 |
* | Dover Saddlery Inc. | 13,411 | 73 |
Educational Development Corp. | 15,277 | 60 | |
* | Flanigan's Enterprises Inc. | 4,012 | 59 |
* | Sport Chalet Inc. Class A | 67,872 | 57 |
* | PokerTek Inc. | 33,219 | 44 |
* | Nevada Gold & Casinos Inc. | 41,913 | 42 |
* | SPAR Group Inc. | 19,446 | 29 |
*,^ | Net Element Inc. | 4,905 | 9 |
Haverty Furniture Cos. Inc. Class A | 300 | 8 | |
* | Universal Travel Group | 42,843 | 7 |
* | Sport Chalet Inc. Class B | 2,690 | 3 |
44,826,463 | |||
Financials (18.3%) | |||
Wells Fargo & Co. | 83,796,641 | 4,404,351 | |
* | Berkshire Hathaway Inc. Class B | 27,774,077 | 3,515,087 |
JPMorgan Chase & Co. | 60,217,228 | 3,469,717 | |
Bank of America Corp. | 167,338,634 | 2,571,995 | |
Citigroup Inc. | 45,916,428 | 2,162,664 | |
Visa Inc. Class A | 7,946,930 | 1,674,498 | |
American Express Co. | 16,846,163 | 1,598,195 | |
American International Group Inc. | 23,003,859 | 1,255,551 | |
US Bancorp | 28,870,732 | 1,250,680 | |
MasterCard Inc. Class A | 16,096,437 | 1,182,605 | |
Goldman Sachs Group Inc. | 6,400,372 | 1,071,678 | |
Simon Property Group Inc. | 4,935,955 | 820,751 | |
MetLife Inc. | 14,319,818 | 795,609 | |
Morgan Stanley | 23,489,951 | 759,430 | |
PNC Financial Services Group Inc. | 8,504,464 | 757,323 | |
Capital One Financial Corp. | 9,090,010 | 750,835 | |
Bank of New York Mellon Corp. | 18,109,295 | 678,736 | |
Prudential Financial Inc. | 7,320,647 | 649,854 | |
American Tower Corporation | 6,294,239 | 566,356 | |
BlackRock Inc. | 1,726,331 | 551,735 | |
Travelers Cos. Inc. | 5,497,803 | 517,178 | |
ACE Ltd. | 4,822,305 | 500,073 | |
Charles Schwab Corp. | 17,573,644 | 473,258 | |
Discover Financial Services | 7,422,401 | 460,040 | |
Marsh & McLennan Cos. Inc. | 8,727,124 | 452,240 | |
Aflac Inc. | 7,227,272 | 449,898 | |
BB&T Corp. | 11,390,092 | 449,111 | |
State Street Corp. | 6,518,106 | 438,408 | |
Aon plc | 4,707,793 | 424,125 | |
Allstate Corp. | 6,869,357 | 403,369 | |
Public Storage | 2,334,715 | 400,053 | |
Crown Castle International Corp. | 5,312,632 | 394,516 | |
Franklin Resources Inc. | 6,496,426 | 375,753 | |
Ameriprise Financial Inc. | 3,027,045 | 363,245 |
15
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Equity Residential | 5,755,080 | 362,570 | |
CME Group Inc. | 5,079,665 | 360,402 | |
McGraw Hill Financial Inc. | 4,334,319 | 359,879 | |
Chubb Corp. | 3,869,923 | 356,691 | |
Intercontinental Exchange Inc. | 1,832,445 | 346,149 | |
SunTrust Banks Inc. | 8,502,055 | 340,592 | |
T. Rowe Price Group Inc. | 3,967,262 | 334,877 | |
Prologis Inc. | 7,954,539 | 326,852 | |
^ | Weyerhaeuser Co. | 9,302,597 | 307,823 |
Health Care REIT Inc. | 4,846,663 | 303,740 | |
HCP Inc. | 7,290,605 | 301,685 | |
Ventas Inc. | 4,692,298 | 300,776 | |
Moody's Corp. | 3,405,485 | 298,525 | |
AvalonBay Communities Inc. | 2,045,478 | 290,847 | |
Fifth Third Bancorp | 13,546,940 | 289,227 | |
Boston Properties Inc. | 2,434,819 | 287,747 | |
Vornado Realty Trust | 2,684,801 | 286,549 | |
Host Hotels & Resorts Inc. | 12,047,338 | 265,162 | |
Invesco Ltd. | 6,892,693 | 260,199 | |
Hartford Financial Services Group Inc. | 7,104,802 | 254,423 | |
Principal Financial Group Inc. | 4,703,121 | 237,414 | |
M&T Bank Corp. | 1,883,080 | 233,596 | |
Regions Financial Corp. | 21,964,516 | 233,263 | |
Northern Trust Corp. | 3,559,890 | 228,581 | |
Loews Corp. | 4,913,812 | 216,257 | |
Lincoln National Corp. | 4,198,721 | 215,982 | |
Progressive Corp. | 8,477,996 | 215,002 | |
General Growth Properties Inc. | 9,074,099 | 213,786 | |
KeyCorp | 14,132,923 | 202,525 | |
Essex Property Trust Inc. | 991,245 | 183,291 | |
* | Affiliated Managers Group Inc. | 878,496 | 180,443 |
American Realty Capital Properties Inc. | 14,172,010 | 177,575 | |
Annaly Capital Management Inc. | 15,105,527 | 172,656 | |
SL Green Realty Corp. | 1,510,658 | 165,281 | |
* | Berkshire Hathaway Inc. Class A | 863 | 163,884 |
Realty Income Corp. | 3,498,300 | 155,395 | |
Macerich Co. | 2,234,848 | 149,176 | |
Western Union Co. | 8,591,111 | 148,970 | |
Comerica Inc. | 2,896,135 | 145,270 | |
* | CBRE Group Inc. Class A | 4,480,291 | 143,549 |
Unum Group | 4,122,817 | 143,309 | |
Kimco Realty Corp. | 6,195,417 | 142,371 | |
CIT Group Inc. | 3,089,434 | 141,373 | |
Equifax Inc. | 1,938,830 | 140,643 | |
XL Group plc Class A | 4,296,817 | 140,635 | |
* | Markel Corp. | 211,613 | 138,742 |
* | Genworth Financial Inc. Class A | 7,880,428 | 137,119 |
Fidelity National Financial Inc. Class A | 4,175,134 | 136,777 | |
American Capital Agency Corp. | 5,621,381 | 131,597 | |
Federal Realty Investment Trust | 1,062,119 | 128,431 | |
Plum Creek Timber Co. Inc. | 2,815,179 | 126,965 | |
Huntington Bancshares Inc. | 13,307,586 | 126,954 | |
^ | Digital Realty Trust Inc. | 2,155,366 | 125,701 |
TD Ameritrade Holding Corp. | 3,940,274 | 123,528 | |
Navient Corp. | 6,759,151 | 119,705 | |
Cincinnati Financial Corp. | 2,477,111 | 119,000 | |
* | Arch Capital Group Ltd. | 2,027,343 | 116,451 |
First Republic Bank | 2,091,987 | 115,038 | |
Torchmark Corp. | 1,399,096 | 114,614 | |
Arthur J Gallagher & Co. | 2,458,554 | 114,569 | |
UDR Inc. | 3,995,614 | 114,394 | |
* | Alleghany Corp. | 252,737 | 110,729 |
Willis Group Holdings plc | 2,556,727 | 110,706 | |
New York Community Bancorp Inc. | 6,672,081 | 106,620 |
16
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Lazard Ltd. Class A | 2,050,581 | 105,728 | |
Raymond James Financial Inc. | 2,012,283 | 102,083 | |
NorthStar Realty Finance Corp. | 5,757,717 | 100,069 | |
* | Ally Financial Inc. | 4,174,968 | 99,824 |
* | E*TRADE Financial Corp. | 4,585,888 | 97,496 |
WP Carey Inc. | 1,482,415 | 95,468 | |
Duke Realty Corp. | 5,196,381 | 94,366 | |
Everest Re Group Ltd. | 583,570 | 93,657 | |
Extra Space Storage Inc. | 1,744,084 | 92,872 | |
* | SVB Financial Group | 792,880 | 92,466 |
Camden Property Trust | 1,291,924 | 91,920 | |
Jones Lang LaSalle Inc. | 704,546 | 89,048 | |
Liberty Property Trust | 2,340,614 | 88,780 | |
Alexandria Real Estate Equities Inc. | 1,137,582 | 88,322 | |
* | Signature Bank | 697,424 | 88,001 |
* | Realogy Holdings Corp. | 2,323,654 | 87,625 |
Protective Life Corp. | 1,252,883 | 86,862 | |
Mid-America Apartment Communities Inc. | 1,188,683 | 86,833 | |
Reinsurance Group of America Inc. Class A | 1,099,208 | 86,728 | |
Legg Mason Inc. | 1,685,931 | 86,505 | |
Zions Bancorporation | 2,934,325 | 86,475 | |
* | MSCI Inc. Class A | 1,858,727 | 85,223 |
DDR Corp. | 4,814,373 | 84,877 | |
* | Howard Hughes Corp. | 535,306 | 84,487 |
PartnerRe Ltd. | 762,182 | 83,238 | |
Starwood Property Trust Inc. | 3,470,179 | 82,486 | |
Regency Centers Corp. | 1,467,801 | 81,727 | |
Voya Financial Inc. | 2,229,077 | 81,005 | |
Kilroy Realty Corp. | 1,299,422 | 80,928 | |
Waddell & Reed Financial Inc. Class A | 1,283,891 | 80,359 | |
East West Bancorp Inc. | 2,287,900 | 80,054 | |
SEI Investments Co. | 2,428,753 | 79,590 | |
* | Liberty Ventures Class A | 1,063,135 | 78,459 |
Senior Housing Properties Trust | 3,198,538 | 77,693 | |
HCC Insurance Holdings Inc. | 1,587,268 | 77,681 | |
WR Berkley Corp. | 1,625,758 | 75,289 | |
People's United Financial Inc. | 4,912,367 | 74,521 | |
Assurant Inc. | 1,136,416 | 74,492 | |
Apartment Investment & Management Co. Class A | 2,308,210 | 74,486 | |
Hudson City Bancorp Inc. | 7,561,498 | 74,330 | |
NASDAQ OMX Group Inc. | 1,891,342 | 73,044 | |
Omega Healthcare Investors Inc. | 1,974,752 | 72,789 | |
Hospitality Properties Trust | 2,393,318 | 72,757 | |
Taubman Centers Inc. | 951,014 | 72,096 | |
National Retail Properties Inc. | 1,931,227 | 71,822 | |
Rayonier Inc. | 2,010,507 | 71,474 | |
Eaton Vance Corp. | 1,840,021 | 69,534 | |
Cullen/Frost Bankers Inc. | 873,395 | 69,365 | |
Axis Capital Holdings Ltd. | 1,553,989 | 68,811 | |
BioMed Realty Trust Inc. | 3,141,395 | 68,577 | |
* | Ocwen Financial Corp. | 1,824,313 | 67,682 |
CBOE Holdings Inc. | 1,373,452 | 67,588 | |
Spirit Realty Capital Inc. | 5,945,727 | 67,543 | |
American Financial Group Inc. | 1,133,523 | 67,513 | |
LPL Financial Holdings Inc. | 1,347,605 | 67,030 | |
PacWest Bancorp | 1,534,503 | 66,245 | |
RenaissanceRe Holdings Ltd. | 612,034 | 65,488 | |
* | Zillow Inc. Class A | 455,755 | 65,141 |
American Campus Communities Inc. | 1,683,685 | 64,384 | |
Prosperity Bancshares Inc. | 1,021,300 | 63,933 | |
Assured Guaranty Ltd. | 2,587,556 | 63,395 | |
CNO Financial Group Inc. | 3,510,503 | 62,487 | |
Commerce Bancshares Inc. | 1,341,865 | 62,397 | |
Douglas Emmett Inc. | 2,200,832 | 62,107 |
17
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Two Harbors Investment Corp. | 5,883,154 | 61,655 | |
Umpqua Holdings Corp. | 3,415,694 | 61,209 | |
Old Republic International Corp. | 3,700,100 | 61,200 | |
Corrections Corp. of America | 1,855,829 | 60,964 | |
Highwoods Properties Inc. | 1,445,339 | 60,632 | |
Brown & Brown Inc. | 1,949,023 | 59,855 | |
Weingarten Realty Investors | 1,814,410 | 59,585 | |
Home Properties Inc. | 918,730 | 58,762 | |
LaSalle Hotel Properties | 1,649,146 | 58,198 | |
Retail Properties of America Inc. | 3,772,047 | 58,014 | |
* | Investors Bancorp Inc. | 5,237,703 | 57,877 |
Allied World Assurance Co. Holdings AG | 1,508,947 | 57,370 | |
RLJ Lodging Trust | 1,975,044 | 57,059 | |
City National Corp. | 750,831 | 56,883 | |
* | Forest City Enterprises Inc. Class A | 2,850,519 | 56,640 |
Equity Lifestyle Properties Inc. | 1,281,592 | 56,595 | |
* | Popular Inc. | 1,563,507 | 53,441 |
Validus Holdings Ltd. | 1,385,968 | 52,999 | |
Chimera Investment Corp. | 16,511,591 | 52,672 | |
Columbia Property Trust Inc. | 1,999,980 | 52,019 | |
BankUnited Inc. | 1,552,099 | 51,964 | |
FirstMerit Corp. | 2,630,560 | 51,954 | |
Synovus Financial Corp. | 2,129,456 | 51,916 | |
Tanger Factory Outlet Centers Inc. | 1,477,917 | 51,683 | |
American Homes 4 Rent Class A | 2,803,890 | 49,797 | |
CommonWealth REIT | 1,885,677 | 49,631 | |
* | MGIC Investment Corp. | 5,350,781 | 49,441 |
First Niagara Financial Group Inc. | 5,638,513 | 49,281 | |
CBL & Associates Properties Inc. | 2,570,923 | 48,848 | |
MFA Financial Inc. | 5,878,572 | 48,263 | |
Hancock Holding Co. | 1,363,372 | 48,154 | |
Gaming and Leisure Properties Inc. | 1,410,827 | 47,926 | |
Sunstone Hotel Investors Inc. | 3,206,344 | 47,871 | |
EPR Properties | 853,887 | 47,707 | |
Piedmont Office Realty Trust Inc. Class A | 2,511,620 | 47,570 | |
* | Stifel Financial Corp. | 1,002,981 | 47,491 |
* | Portfolio Recovery Associates Inc. | 797,486 | 47,474 |
Aspen Insurance Holdings Ltd. | 1,042,152 | 47,335 | |
Federated Investors Inc. Class B | 1,524,006 | 47,122 | |
Associated Banc-Corp | 2,595,036 | 46,918 | |
Post Properties Inc. | 871,626 | 46,597 | |
* | Washington Prime Group Inc. | 2,474,562 | 46,373 |
Healthcare Trust of America Inc. Class A | 3,835,970 | 46,185 | |
Webster Financial Corp. | 1,447,897 | 45,667 | |
First American Financial Corp. | 1,614,908 | 44,878 | |
First Horizon National Corp. | 3,774,264 | 44,763 | |
Radian Group Inc. | 3,010,403 | 44,584 | |
StanCorp Financial Group Inc. | 696,606 | 44,583 | |
Hanover Insurance Group Inc. | 694,578 | 43,863 | |
* | Strategic Hotels & Resorts Inc. | 3,652,936 | 42,776 |
Bank of Hawaii Corp. | 725,736 | 42,593 | |
DCT Industrial Trust Inc. | 5,152,627 | 42,303 | |
Primerica Inc. | 875,923 | 41,913 | |
Sovran Self Storage Inc. | 542,532 | 41,911 | |
ProAssurance Corp. | 942,523 | 41,848 | |
UMB Financial Corp. | 649,804 | 41,191 | |
Geo Group Inc. | 1,146,305 | 40,957 | |
White Mountains Insurance Group Ltd. | 66,208 | 40,284 | |
DiamondRock Hospitality Co. | 3,080,741 | 39,495 | |
Healthcare Realty Trust Inc. | 1,547,654 | 39,341 | |
TCF Financial Corp. | 2,396,099 | 39,224 | |
Brandywine Realty Trust | 2,488,088 | 38,814 | |
CubeSmart | 2,111,153 | 38,676 | |
Corporate Office Properties Trust | 1,388,156 | 38,605 |
18
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Fulton Financial Corp. | 3,068,875 | 38,023 | |
Pebblebrook Hotel Trust | 1,014,843 | 37,509 | |
Cousins Properties Inc. | 2,998,586 | 37,332 | |
Financial Engines Inc. | 819,587 | 37,111 | |
American National Insurance Co. | 322,162 | 36,791 | |
Washington Federal Inc. | 1,639,786 | 36,780 | |
* | Texas Capital Bancshares Inc. | 679,334 | 36,650 |
Invesco Mortgage Capital Inc. | 2,091,730 | 36,312 | |
Medical Properties Trust Inc. | 2,717,012 | 35,973 | |
Bank of the Ozarks Inc. | 1,073,908 | 35,922 | |
Endurance Specialty Holdings Ltd. | 684,015 | 35,288 | |
PrivateBancorp Inc. | 1,196,808 | 34,779 | |
Symetra Financial Corp. | 1,518,073 | 34,521 | |
Wintrust Financial Corp. | 749,148 | 34,461 | |
Colony Financial Inc. | 1,477,555 | 34,309 | |
BancorpSouth Inc. | 1,389,620 | 34,143 | |
FNB Corp. | 2,657,031 | 34,063 | |
Iberiabank Corp. | 490,917 | 33,967 | |
United Bankshares Inc. | 1,018,475 | 32,927 | |
^ | Ryman Hospitality Properties Inc. | 679,402 | 32,713 |
* | Harbinger Group Inc. | 2,573,471 | 32,683 |
Glacier Bancorp Inc. | 1,136,807 | 32,263 | |
^ | Lexington Realty Trust | 2,929,175 | 32,250 |
Susquehanna Bancshares Inc. | 2,965,926 | 31,320 | |
MarketAxess Holdings Inc. | 576,949 | 31,190 | |
First Financial Bankshares Inc. | 986,798 | 30,956 | |
* | Virtus Investment Partners Inc. | 146,187 | 30,955 |
First Industrial Realty Trust Inc. | 1,642,380 | 30,942 | |
EverBank Financial Corp. | 1,530,274 | 30,850 | |
Sun Communities Inc. | 618,496 | 30,826 | |
Alexander & Baldwin Inc. | 734,564 | 30,448 | |
Hatteras Financial Corp. | 1,536,331 | 30,435 | |
Janus Capital Group Inc. | 2,436,015 | 30,401 | |
Chambers Street Properties | 3,751,007 | 30,158 | |
Cathay General Bancorp | 1,178,177 | 30,114 | |
Valley National Bancorp | 3,006,627 | 29,796 | |
EastGroup Properties Inc. | 461,150 | 29,620 | |
Home BancShares Inc. | 902,284 | 29,613 | |
* | American Realty Capital Healthcare Trust Inc. | 2,693,726 | 29,335 |
Erie Indemnity Co. Class A | 389,119 | 29,285 | |
Kennedy-Wilson Holdings Inc. | 1,087,806 | 29,175 | |
* | Western Alliance Bancorp | 1,225,792 | 29,174 |
* | Altisource Portfolio Solutions SA | 250,595 | 28,713 |
*,^ | New York REIT Inc. | 2,594,561 | 28,696 |
Platinum Underwriters Holdings Ltd. | 438,646 | 28,446 | |
RLI Corp. | 617,009 | 28,247 | |
National Health Investors Inc. | 450,439 | 28,179 | |
DuPont Fabros Technology Inc. | 1,044,268 | 28,153 | |
Washington REIT | 1,063,522 | 27,630 | |
New Residential Investment Corp. | 4,367,428 | 27,515 | |
Mack-Cali Realty Corp. | 1,261,956 | 27,107 | |
Santander Consumer USA Holdings Inc. | 1,391,396 | 27,049 | |
Potlatch Corp. | 648,738 | 26,858 | |
Capitol Federal Financial Inc. | 2,201,836 | 26,774 | |
Brixmor Property Group Inc. | 1,164,479 | 26,725 | |
Evercore Partners Inc. Class A | 460,605 | 26,549 | |
Artisan Partners Asset Management Inc. Class A | 467,824 | 26,516 | |
American Equity Investment Life Holding Co. | 1,075,344 | 26,453 | |
Newcastle Investment Corp. | 5,518,022 | 26,431 | |
* | Rayonier Advanced Materials Inc. | 670,146 | 25,968 |
Kemper Corp. | 702,738 | 25,903 | |
Home Loan Servicing Solutions Ltd. | 1,136,569 | 25,834 | |
PS Business Parks Inc. | 307,146 | 25,644 | |
Redwood Trust Inc. | 1,310,815 | 25,522 |
19
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Trustmark Corp. | 1,031,317 | 25,463 | |
* | First Cash Financial Services Inc. | 439,044 | 25,285 |
* | MBIA Inc. | 2,283,192 | 25,206 |
PennyMac Mortgage Investment Trust | 1,147,036 | 25,166 | |
Equity One Inc. | 1,065,837 | 25,143 | |
ARMOUR Residential REIT Inc. | 5,771,568 | 24,991 | |
Acadia Realty Trust | 884,547 | 24,847 | |
* | Trulia Inc. | 521,705 | 24,718 |
Glimcher Realty Trust | 2,277,407 | 24,664 | |
BOK Financial Corp. | 366,476 | 24,407 | |
CVB Financial Corp. | 1,521,288 | 24,386 | |
Chesapeake Lodging Trust | 789,115 | 23,855 | |
* | Enstar Group Ltd. | 156,786 | 23,632 |
MB Financial Inc. | 872,891 | 23,612 | |
Empire State Realty Trust Inc. | 1,426,692 | 23,540 | |
Old National Bancorp | 1,644,648 | 23,486 | |
International Bancshares Corp. | 863,537 | 23,316 | |
CYS Investments Inc. | 2,584,745 | 23,314 | |
Education Realty Trust Inc. | 2,170,438 | 23,311 | |
Parkway Properties Inc. | 1,115,482 | 23,035 | |
* | Hilltop Holdings Inc. | 1,074,208 | 22,838 |
Hudson Pacific Properties Inc. | 900,230 | 22,812 | |
* | South State Corp. | 373,952 | 22,811 |
Community Bank System Inc. | 625,885 | 22,657 | |
Altisource Residential Corp. | 851,786 | 22,172 | |
Retail Opportunity Investments Corp. | 1,405,253 | 22,105 | |
Government Properties Income Trust | 868,200 | 22,044 | |
LTC Properties Inc. | 561,206 | 21,909 | |
Columbia Banking System Inc. | 829,076 | 21,813 | |
Argo Group International Holdings Ltd. | 424,899 | 21,717 | |
Mercury General Corp. | 458,548 | 21,570 | |
First Citizens BancShares Inc. Class A | 87,550 | 21,450 | |
STAG Industrial Inc. | 893,003 | 21,441 | |
Montpelier Re Holdings Ltd. | 667,810 | 21,337 | |
Westamerica Bancorporation | 408,083 | 21,335 | |
Pinnacle Financial Partners Inc. | 538,055 | 21,242 | |
Greenhill & Co. Inc. | 428,233 | 21,090 | |
* | WisdomTree Investments Inc. | 1,697,296 | 20,979 |
Selective Insurance Group Inc. | 847,892 | 20,960 | |
* | Blackhawk Network Holdings Inc. Class B | 779,285 | 20,924 |
Sabra Health Care REIT Inc. | 728,106 | 20,904 | |
* | St. Joe Co. | 819,136 | 20,831 |
* | iStar Financial Inc. | 1,390,515 | 20,830 |
National Penn Bancshares Inc. | 1,960,242 | 20,739 | |
BGC Partners Inc. Class A | 2,782,200 | 20,700 | |
Capstead Mortgage Corp. | 1,567,018 | 20,606 | |
Horace Mann Educators Corp. | 649,160 | 20,299 | |
Hersha Hospitality Trust Class A | 2,994,375 | 20,092 | |
First Midwest Bancorp Inc. | 1,173,266 | 19,981 | |
^ | AmTrust Financial Services Inc. | 476,012 | 19,902 |
Cash America International Inc. | 447,780 | 19,895 | |
HFF Inc. Class A | 528,294 | 19,647 | |
Blackstone Mortgage Trust Inc. Class A | 676,904 | 19,630 | |
* | Ambac Financial Group Inc. | 714,676 | 19,518 |
BBCN Bancorp Inc. | 1,205,273 | 19,224 | |
Interactive Brokers Group Inc. | 819,248 | 19,080 | |
Pennsylvania REIT | 1,012,431 | 19,054 | |
American Assets Trust Inc. | 550,999 | 19,037 | |
^ | NRG Yield Inc. Class A | 364,078 | 18,950 |
Union Bankshares Corp. | 736,150 | 18,882 | |
Northwest Bancshares Inc. | 1,382,908 | 18,766 | |
* | TFS Financial Corp. | 1,314,632 | 18,747 |
Franklin Street Properties Corp. | 1,473,951 | 18,542 | |
FelCor Lodging Trust Inc. | 1,741,164 | 18,300 |
20
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Select Income REIT | 613,897 | 18,196 | |
Astoria Financial Corp. | 1,334,022 | 17,943 | |
* | Encore Capital Group Inc. | 385,308 | 17,501 |
American Capital Mortgage Investment Corp. | 864,734 | 17,312 | |
Ramco-Gershenson Properties Trust | 1,034,135 | 17,187 | |
* | Altisource Asset Management Corp. | 23,557 | 17,033 |
* | Walter Investment Management Corp. | 563,505 | 16,781 |
Boston Private Financial Holdings Inc. | 1,197,198 | 16,090 | |
* | Starwood Waypoint Residential Trust | 612,762 | 16,061 |
NBT Bancorp Inc. | 664,172 | 15,953 | |
Investors Real Estate Trust | 1,706,887 | 15,720 | |
ViewPoint Financial Group Inc. | 583,420 | 15,700 | |
First Financial Bancorp | 910,811 | 15,675 | |
Associated Estates Realty Corp. | 868,232 | 15,646 | |
* | Greenlight Capital Re Ltd. Class A | 466,539 | 15,368 |
Provident Financial Services Inc. | 879,082 | 15,226 | |
Ashford Hospitality Trust Inc. | 1,316,166 | 15,189 | |
Nelnet Inc. Class A | 361,146 | 14,962 | |
Park National Corp. | 192,969 | 14,897 | |
* | KCG Holdings Inc. Class A | 1,248,690 | 14,834 |
* | Springleaf Holdings Inc. | 571,115 | 14,820 |
Sterling Bancorp | 1,230,177 | 14,762 | |
Inland Real Estate Corp. | 1,367,240 | 14,534 | |
Chemical Financial Corp. | 515,071 | 14,463 | |
First Commonwealth Financial Corp. | 1,560,681 | 14,389 | |
Summit Hotel Properties Inc. | 1,346,300 | 14,271 | |
Independent Bank Corp. | 368,977 | 14,161 | |
Renasant Corp. | 485,517 | 14,114 | |
* | BofI Holding Inc. | 189,831 | 13,947 |
WesBanco Inc. | 447,577 | 13,893 | |
United Community Banks Inc. | 826,852 | 13,536 | |
OFG Bancorp | 730,204 | 13,443 | |
Aviv REIT Inc. | 474,506 | 13,367 | |
National Bank Holdings Corp. Class A | 660,452 | 13,169 | |
CyrusOne Inc. | 523,994 | 13,047 | |
*,^ | Nationstar Mortgage Holdings Inc. | 357,956 | 12,994 |
* | Synergy Resources Corp. | 977,447 | 12,951 |
Kite Realty Group Trust | 2,074,822 | 12,739 | |
^ | Cohen & Steers Inc. | 293,094 | 12,714 |
* | Piper Jaffray Cos. | 242,432 | 12,551 |
Alexander's Inc. | 33,686 | 12,446 | |
First Merchants Corp. | 587,953 | 12,429 | |
Banner Corp. | 311,948 | 12,363 | |
* | Arrowhead Research Corp. | 844,977 | 12,092 |
* | Eagle Bancorp Inc. | 358,075 | 12,085 |
* | Navigators Group Inc. | 179,725 | 12,051 |
AMERISAFE Inc. | 295,172 | 12,005 | |
First Potomac Realty Trust | 914,544 | 11,999 | |
Apollo Commercial Real Estate Finance Inc. | 724,117 | 11,941 | |
Infinity Property & Casualty Corp. | 174,448 | 11,728 | |
Anworth Mortgage Asset Corp. | 2,213,554 | 11,422 | |
Safety Insurance Group Inc. | 221,827 | 11,397 | |
Excel Trust Inc. | 851,695 | 11,353 | |
S&T Bancorp Inc. | 452,832 | 11,253 | |
CoreSite Realty Corp. | 335,934 | 11,109 | |
New York Mortgage Trust Inc. | 1,417,439 | 11,070 | |
Wilshire Bancorp Inc. | 1,075,165 | 11,042 | |
* | Capital Bank Financial Corp. | 463,679 | 10,947 |
City Holding Co. | 241,800 | 10,910 | |
Brookline Bancorp Inc. | 1,139,903 | 10,681 | |
* | Tejon Ranch Co. | 330,059 | 10,625 |
* | eHealth Inc. | 277,916 | 10,552 |
United Financial Bancorp Inc. | 777,802 | 10,539 | |
Employers Holdings Inc. | 496,410 | 10,514 |
21
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Resource Capital Corp. | 1,860,998 | 10,477 | |
Stewart Information Services Corp. | 337,782 | 10,475 | |
* | Xoom Corp. | 394,514 | 10,399 |
RAIT Financial Trust | 1,243,384 | 10,283 | |
Hanmi Financial Corp. | 482,069 | 10,162 | |
RCS Capital Corp. Class A | 476,949 | 10,126 | |
National General Holdings Corp. | 581,182 | 10,113 | |
Rouse Properties Inc. | 590,537 | 10,104 | |
Central Pacific Financial Corp. | 499,166 | 9,908 | |
Oritani Financial Corp. | 639,465 | 9,841 | |
* | NMI Holdings Inc. Class A | 936,576 | 9,834 |
* | Forestar Group Inc. | 514,936 | 9,830 |
Maiden Holdings Ltd. | 806,093 | 9,746 | |
* | TESARO Inc. | 313,152 | 9,742 |
* | Credit Acceptance Corp. | 79,056 | 9,732 |
FBL Financial Group Inc. Class A | 211,213 | 9,716 | |
Lakeland Financial Corp. | 253,229 | 9,663 | |
Sandy Spring Bancorp Inc. | 387,657 | 9,657 | |
TrustCo Bank Corp. NY | 1,437,880 | 9,605 | |
^ | Gramercy Property Trust Inc. | 1,586,190 | 9,596 |
* | American Residential Properties Inc. | 510,356 | 9,569 |
WSFS Financial Corp. | 128,126 | 9,439 | |
Silver Bay Realty Trust Corp. | 577,005 | 9,417 | |
Simmons First National Corp. Class A | 237,146 | 9,341 | |
Terreno Realty Corp. | 481,980 | 9,317 | |
* | Investment Technology Group Inc. | 551,118 | 9,303 |
Flushing Financial Corp. | 447,371 | 9,193 | |
* | Marcus & Millichap Inc. | 356,460 | 9,093 |
United Fire Group Inc. | 306,481 | 8,986 | |
Saul Centers Inc. | 184,548 | 8,969 | |
* | First BanCorp | 1,648,270 | 8,967 |
* | Ezcorp Inc. Class A | 773,456 | 8,933 |
FXCM Inc. Class A | 596,477 | 8,923 | |
Berkshire Hills Bancorp Inc. | 381,950 | 8,869 | |
Cardinal Financial Corp. | 480,254 | 8,866 | |
Campus Crest Communities Inc. | 1,018,028 | 8,816 | |
* | PICO Holdings Inc. | 369,424 | 8,778 |
* | Move Inc. | 591,200 | 8,744 |
Chatham Lodging Trust | 395,306 | 8,657 | |
Tompkins Financial Corp. | 177,168 | 8,536 | |
* | Green Dot Corp. Class A | 448,517 | 8,513 |
National Western Life Insurance Co. Class A | 34,077 | 8,499 | |
* | Ladder Capital Corp. Class A | 469,704 | 8,488 |
State Bank Financial Corp. | 498,426 | 8,428 | |
Rexford Industrial Realty Inc. | 591,597 | 8,424 | |
AG Mortgage Investment Trust Inc. | 443,588 | 8,397 | |
Apollo Residential Mortgage Inc. | 501,475 | 8,385 | |
Western Asset Mortgage Capital Corp. | 587,249 | 8,321 | |
Community Trust Bancorp Inc. | 242,016 | 8,282 | |
First Interstate BancSystem Inc. | 303,853 | 8,259 | |
Centerstate Banks Inc. | 732,741 | 8,207 | |
Arlington Asset Investment Corp. Class A | 297,611 | 8,134 | |
*,^ | World Acceptance Corp. | 106,533 | 8,092 |
* | Ameris Bancorp | 373,392 | 8,050 |
Universal Health Realty Income Trust | 184,713 | 8,031 | |
Getty Realty Corp. | 417,160 | 7,959 | |
* | Customers Bancorp Inc. | 396,232 | 7,929 |
Washington Trust Bancorp Inc. | 215,251 | 7,915 | |
Winthrop Realty Trust | 513,175 | 7,877 | |
^ | Southside Bancshares Inc. | 270,909 | 7,846 |
Monmouth Real Estate Investment Corp. Class A | 777,841 | 7,810 | |
* | Beneficial Mutual Bancorp Inc. | 572,056 | 7,757 |
* | First NBC Bank Holding Co. | 222,549 | 7,458 |
Dime Community Bancshares Inc. | 463,634 | 7,321 |
22
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Physicians Realty Trust | 499,745 | 7,191 | |
Cedar Realty Trust Inc. | 1,146,535 | 7,166 | |
* | Safeguard Scientifics Inc. | 343,471 | 7,141 |
* | MoneyGram International Inc. | 478,019 | 7,041 |
Heritage Financial Corp. | 434,972 | 6,999 | |
Independent Bank Group Inc. | 125,359 | 6,979 | |
Agree Realty Corp. | 230,461 | 6,967 | |
Dynex Capital Inc. | 781,496 | 6,916 | |
Westwood Holdings Group Inc. | 114,919 | 6,900 | |
* | Cowen Group Inc. Class A | 1,590,625 | 6,712 |
Urstadt Biddle Properties Inc. Class A | 320,917 | 6,701 | |
First Busey Corp. | 1,110,169 | 6,450 | |
* | Bancorp Inc. | 541,120 | 6,445 |
BancFirst Corp. | 103,329 | 6,396 | |
1st Source Corp. | 207,302 | 6,348 | |
* | CareTrust REIT Inc. | 320,045 | 6,337 |
TowneBank | 399,270 | 6,273 | |
Ashford Hospitality Prime Inc. | 365,130 | 6,266 | |
^ | Peoples Financial Services Corp. | 120,969 | 6,217 |
BNC Bancorp | 363,485 | 6,205 | |
GAMCO Investors Inc. | 74,130 | 6,157 | |
CoBiz Financial Inc. | 570,275 | 6,142 | |
Universal Insurance Holdings Inc. | 468,780 | 6,080 | |
Stock Yards Bancorp Inc. | 197,826 | 5,915 | |
HCI Group Inc. | 143,948 | 5,844 | |
Heartland Financial USA Inc. | 233,018 | 5,763 | |
* | Flagstar Bancorp Inc. | 316,835 | 5,735 |
^ | QTS Realty Trust Inc. Class A | 195,228 | 5,589 |
Meadowbrook Insurance Group Inc. | 756,933 | 5,442 | |
Diamond Hill Investment Group Inc. | 42,415 | 5,417 | |
OneBeacon Insurance Group Ltd. Class A | 346,057 | 5,378 | |
Lakeland Bancorp Inc. | 496,875 | 5,366 | |
AmREIT Inc. | 293,073 | 5,363 | |
* | NewStar Financial Inc. | 376,921 | 5,300 |
Bryn Mawr Bank Corp. | 177,214 | 5,160 | |
Ares Commercial Real Estate Corp. | 414,500 | 5,144 | |
First Bancorp | 279,699 | 5,132 | |
SLM Corp. | 617,249 | 5,129 | |
State Auto Financial Corp. | 218,275 | 5,114 | |
* | Performant Financial Corp. | 504,164 | 5,092 |
Mercantile Bank Corp. | 221,158 | 5,060 | |
Whitestone REIT | 338,076 | 5,041 | |
Financial Institutions Inc. | 213,819 | 5,008 | |
Gladstone Commercial Corp. | 280,175 | 5,007 | |
First Financial Corp. | 154,033 | 4,958 | |
* | Taylor Capital Group Inc. | 231,287 | 4,945 |
* | FBR & Co. | 182,240 | 4,944 |
* | Ladenburg Thalmann Financial Services Inc. | 1,554,854 | 4,898 |
Southwest Bancorp Inc. | 286,845 | 4,894 | |
Northfield Bancorp Inc. | 372,006 | 4,877 | |
Trico Bancshares | 209,006 | 4,836 | |
* | PennyMac Financial Services Inc. Class A | 317,148 | 4,817 |
* | INTL. FCStone Inc. | 239,682 | 4,774 |
Arrow Financial Corp. | 183,576 | 4,762 | |
* | HomeTrust Bancshares Inc. | 299,578 | 4,724 |
Great Southern Bancorp Inc. | 146,647 | 4,700 | |
Fidelity & Guaranty Life | 196,258 | 4,698 | |
Hannon Armstrong Sustainable Infrastructure Capital Inc. | 327,111 | 4,691 | |
* | Tristate Capital Holdings Inc. | 329,469 | 4,655 |
Enterprise Financial Services Corp. | 257,381 | 4,648 | |
Univest Corp. of Pennsylvania | 224,075 | 4,638 | |
MainSource Financial Group Inc. | 268,476 | 4,631 | |
German American Bancorp Inc. | 170,859 | 4,627 | |
RE/MAX Holdings Inc. | 154,331 | 4,567 |
23
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
United Insurance Holdings Corp. | 257,401 | 4,443 | |
Federated National Holding Co. | 173,806 | 4,432 | |
Calamos Asset Management Inc. Class A | 330,422 | 4,424 | |
West Bancorporation Inc. | 288,703 | 4,397 | |
First of Long Island Corp. | 112,452 | 4,395 | |
* | Talmer Bancorp Inc. Class A | 317,152 | 4,374 |
* | Citizens Inc. Class A | 585,716 | 4,334 |
1st United Bancorp Inc. | 502,035 | 4,328 | |
* | Tree.com Inc. | 148,135 | 4,317 |
* | Phoenix Cos. Inc. | 89,071 | 4,310 |
Independent Bank Corp. | 333,827 | 4,296 | |
* | Preferred Bank | 181,363 | 4,287 |
* | Moelis & Co. | 127,300 | 4,279 |
* | Metro Bancorp Inc. | 183,447 | 4,241 |
* | Walker & Dunlop Inc. | 296,639 | 4,186 |
Camden National Corp. | 107,679 | 4,174 | |
ConnectOnc Bancorp Inc. | 215,680 | 4,148 | |
GFI Group Inc. | 1,234,034 | 4,097 | |
Baldwin & Lyons Inc. | 156,996 | 4,072 | |
Federal Agricultural Mortgage Corp. | 129,190 | 4,015 | |
Arbor Realty Trust Inc. | 576,545 | 4,007 | |
Armada Hoffler Properties Inc. | 407,736 | 3,947 | |
Park Sterling Corp. | 594,168 | 3,916 | |
Hudson Valley Holding Corp. | 216,107 | 3,901 | |
Banc of California Inc. | 355,815 | 3,878 | |
Peoples Bancorp Inc. | 146,243 | 3,868 | |
First Connecticut Bancorp Inc. | 240,249 | 3,856 | |
Charter Financial Corp. | 344,249 | 3,821 | |
Consolidated-Tomoka Land Co. | 82,665 | 3,794 | |
OmniAmerican Bancorp Inc. | 151,721 | 3,793 | |
First Defiance Financial Corp. | 131,541 | 3,775 | |
Manning & Napier Inc. | 218,614 | 3,773 | |
Bridge Bancorp Inc. | 157,073 | 3,768 | |
* | Meridian Interstate Bancorp Inc. | 146,504 | 3,762 |
* | Yadkin Financial Corp. | 198,668 | 3,743 |
*,^ | Stonegate Mortgage Corp. | 267,994 | 3,739 |
Seacoast Banking Corp. of Florida | 340,760 | 3,704 | |
Bank Mutual Corp. | 625,218 | 3,626 | |
* | Suffolk Bancorp | 160,926 | 3,590 |
One Liberty Properties Inc. | 165,775 | 3,538 | |
Oppenheimer Holdings Inc. Class A | 147,342 | 3,535 | |
First Community Bancshares Inc. | 245,292 | 3,515 | |
* | Pacific Premier Bancorp Inc. | 248,353 | 3,499 |
Bank of Marin Bancorp | 76,407 | 3,483 | |
CatchMark Timber Trust Inc. Class A | 252,080 | 3,446 | |
* | NewBridge Bancorp | 423,665 | 3,415 |
* | SWS Group Inc. | 468,422 | 3,410 |
* | Franklin Financial Corp. | 154,802 | 3,359 |
* | Bridge Capital Holdings | 136,907 | 3,315 |
OceanFirst Financial Corp. | 198,894 | 3,294 | |
* | Kearny Financial Corp. | 216,985 | 3,285 |
Republic Bancorp Inc. Class A | 138,450 | 3,284 | |
Pacific Continental Corp. | 237,114 | 3,256 | |
HomeStreet Inc. | 175,409 | 3,222 | |
Fidelity Southern Corp. | 247,380 | 3,213 | |
* | ConnectOne Bancorp Inc. | 64,291 | 3,207 |
CNB Financial Corp. | 189,417 | 3,182 | |
* | Sun Bancorp Inc. | 787,007 | 3,156 |
Citizens & Northern Corp. | 161,906 | 3,156 | |
* | Global Indemnity plc | 121,107 | 3,148 |
National Interstate Corp. | 110,738 | 3,103 | |
Guaranty Bancorp | 223,224 | 3,103 | |
Donegal Group Inc. Class A | 191,748 | 2,934 | |
* | Cascade Bancorp | 545,291 | 2,841 |
24
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Marlin Business Services Corp. | 155,534 | 2,829 | |
National Bankshares Inc. | 91,093 | 2,814 | |
* | Actinium Pharmaceuticals Inc. | 389,327 | 2,811 |
Heritage Commerce Corp. | 343,871 | 2,809 | |
BankFinancial Corp. | 249,742 | 2,787 | |
^ | JAVELIN Mortgage Investment Corp. | 197,337 | 2,782 |
* | Regional Management Corp. | 177,317 | 2,743 |
Simplicity Bancorp Inc. | 156,666 | 2,734 | |
Kansas City Life Insurance Co. | 59,723 | 2,716 | |
Penns Woods Bancorp Inc. | 57,450 | 2,706 | |
Territorial Bancorp Inc. | 128,669 | 2,687 | |
*,^ | Ohr Pharmaceutical Inc. | 280,750 | 2,670 |
* | Republic First Bancorp Inc. | 528,880 | 2,666 |
Peapack Gladstone Financial Corp. | 124,922 | 2,650 | |
EMC Insurance Group Inc. | 85,344 | 2,627 | |
Ames National Corp. | 112,988 | 2,615 | |
Bank of Kentucky Financial Corp. | 75,015 | 2,610 | |
Sierra Bancorp | 162,405 | 2,566 | |
Meta Financial Group Inc. | 64,077 | 2,563 | |
Reis Inc. | 116,004 | 2,445 | |
Macatawa Bank Corp. | 476,968 | 2,418 | |
ESSA Bancorp Inc. | 216,456 | 2,409 | |
Owens Realty Mortgage Inc. | 123,646 | 2,405 | |
* | United Community Financial Corp. | 582,302 | 2,405 |
UMH Properties Inc. | 239,570 | 2,403 | |
* | AV Homes Inc. | 146,389 | 2,393 |
* | CU Bancorp | 125,068 | 2,385 |
Horizon Bancorp | 108,982 | 2,380 | |
Westfield Financial Inc. | 317,429 | 2,368 | |
* | Farmers Capital Bank Corp. | 104,232 | 2,355 |
First Bancorp Inc. | 131,912 | 2,303 | |
Preferred Apartment Communities Inc. Class A | 257,999 | 2,288 | |
First Business Financial Services Inc. | 48,098 | 2,262 | |
Heritage Financial Group Inc. | 113,493 | 2,251 | |
American National Bankshares Inc. | 103,500 | 2,249 | |
Fox Chase Bancorp Inc. | 133,131 | 2,245 | |
Capital City Bank Group Inc. | 153,843 | 2,235 | |
Trade Street Residential Inc. | 297,492 | 2,228 | |
* | Heritage Oaks Bancorp | 288,131 | 2,198 |
* | JGWPT Holdings Inc. Class A | 195,154 | 2,197 |
MidWestOne Financial Group Inc. | 91,437 | 2,194 | |
Merchants Bancshares Inc. | 68,100 | 2,178 | |
First Financial Northwest Inc. | 199,551 | 2,169 | |
Resource America Inc. Class A | 230,302 | 2,153 | |
Waterstone Financial Inc. | 188,448 | 2,150 | |
^ | LCNB Corp. | 132,763 | 2,145 |
ESB Financial Corp. | 165,041 | 2,136 | |
* | CommunityOne Bancorp | 219,784 | 2,132 |
* | Consumer Portfolio Services Inc. | 278,927 | 2,125 |
Northrim BanCorp Inc. | 82,417 | 2,107 | |
* | BSB Bancorp Inc. | 119,733 | 2,055 |
Intervest Bancshares Corp. Class A | 265,354 | 2,054 | |
*,^ | 22nd Century Group Inc. | 668,315 | 2,052 |
* | North Valley Bancorp | 93,546 | 2,038 |
* | Old Second Bancorp Inc. | 407,179 | 2,024 |
Clifton Bancorp Inc. | 157,962 | 2,001 | |
* | Imperial Holdings Inc. | 293,443 | 2,001 |
MidSouth Bancorp Inc. | 100,373 | 1,996 | |
* | Hallmark Financial Services Inc. | 181,402 | 1,950 |
Bar Harbor Bankshares | 69,408 | 1,935 | |
* | Hemisphere Media Group Inc. | 153,914 | 1,933 |
* | VantageSouth Bancshares Inc. | 324,618 | 1,931 |
Five Oaks Investment Corp. | 169,365 | 1,912 | |
* | Sorrento Therapeutics Inc. | 279,264 | 1,885 |
25
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Pzena Investment Management Inc. Class A | 164,487 | 1,836 | |
* | Orrstown Financial Services Inc. | 110,799 | 1,833 |
* | First Security Group Inc. | 842,399 | 1,828 |
Blue Capital Reinsurance Holdings Ltd. | 91,927 | 1,811 | |
Enterprise Bancorp Inc. | 85,660 | 1,767 | |
* | BBX Capital Corp. | 97,992 | 1,764 |
Ellington Residential Mortgage REIT | 103,550 | 1,763 | |
* | Pacific Mercantile Bancorp | 264,123 | 1,759 |
Cherry Hill Mortgage Investment Corp. | 87,365 | 1,752 | |
Tower Group International Ltd. | 944,199 | 1,700 | |
* | Home Bancorp Inc. | 76,564 | 1,686 |
* | Hampton Roads Bankshares Inc. | 969,550 | 1,677 |
SI Financial Group Inc. | 142,048 | 1,635 | |
* | Atlas Financial Holdings Inc. | 107,402 | 1,628 |
JMP Group Inc. | 214,446 | 1,623 | |
Provident Financial Holdings Inc. | 107,579 | 1,564 | |
Orchid Island Capital Inc. | 119,745 | 1,564 | |
Independence Realty Trust Inc. | 165,240 | 1,563 | |
^ | C&F Financial Corp. | 43,329 | 1,559 |
* | UCP Inc. | 112,780 | 1,542 |
Silvercrest Asset Management Group Inc. Class A | 88,476 | 1,523 | |
Century Bancorp Inc. Class A | 42,768 | 1,511 | |
Gain Capital Holdings Inc. | 189,015 | 1,488 | |
MutualFirst Financial Inc. | 77,565 | 1,480 | |
Independence Holding Co. | 103,421 | 1,461 | |
Fifth Street Senior Floating Rate Corp. | 102,572 | 1,439 | |
Farmers National Banc Corp. | 183,175 | 1,427 | |
Old Line Bancshares Inc. | 89,587 | 1,412 | |
^ | Chemung Financial Corp. | 47,432 | 1,401 |
ZAIS Financial Corp. | 83,472 | 1,387 | |
* | Hamilton Bancorp Inc. | 105,571 | 1,368 |
Middleburg Financial Corp. | 67,282 | 1,346 | |
Cape Bancorp Inc. | 124,087 | 1,331 | |
Monarch Financial Holdings Inc. | 109,315 | 1,281 | |
* | Maui Land & Pineapple Co. Inc. | 183,834 | 1,261 |
Investors Title Co. | 18,455 | 1,244 | |
Pulaski Financial Corp. | 108,562 | 1,238 | |
Access National Corp. | 80,349 | 1,218 | |
^ | Hingham Institution for Savings | 15,243 | 1,210 |
First Internet Bancorp | 57,539 | 1,185 | |
Urstadt Biddle Properties Inc. | 63,312 | 1,134 | |
Premier Financial Bancorp Inc. | 69,692 | 1,121 | |
* | Asta Funding Inc. | 129,928 | 1,072 |
* | Westbury Bancorp Inc. | 68,678 | 1,038 |
NASB Financial Inc. | 43,751 | 1,035 | |
Ameriana Bancorp | 68,169 | 1,006 | |
Cheviot Financial Corp. | 78,989 | 984 | |
Federal Agricultural Mortgage Corp. Class A | 38,986 | 973 | |
* | Riverview Bancorp Inc. | 249,239 | 967 |
HopFed Bancorp Inc. | 82,791 | 962 | |
Northeast Bancorp | 99,071 | 948 | |
Alliance Bancorp Inc. of Pennsylvania | 58,843 | 930 | |
QCR Holdings Inc. | 53,494 | 923 | |
Bank of Commerce Holdings | 144,269 | 913 | |
* | Shore Bancshares Inc. | 100,997 | 910 |
* | First Acceptance Corp. | 371,196 | 909 |
AmeriServ Financial Inc. | 260,540 | 907 | |
* | Opus Bank | 30,200 | 878 |
* | MBT Financial Corp. | 160,417 | 877 |
* | Palmetto Bancshares Inc. | 60,800 | 875 |
* | American River Bankshares | 97,757 | 854 |
Peoples Federal Bancshares Inc. | 45,951 | 848 | |
* | OBA Financial Services Inc. | 36,402 | 814 |
MicroFinancial Inc. | 104,293 | 806 |
26
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
US Global Investors Inc. Class A | 227,235 | 800 | |
* | Naugatuck Valley Financial Corp. | 91,875 | 789 |
*,^ | Health Insurance Innovations Inc. Class A | 63,754 | 785 |
Timberland Bancorp Inc. | 73,350 | 773 | |
* | Coastway Bancorp Inc. | 68,646 | 751 |
* | Eastern Virginia Bankshares Inc. | 116,674 | 747 |
*,^ | Doral Financial Corp. | 170,120 | 735 |
* | Gleacher & Co. Inc. | 67,072 | 705 |
FS Bancorp Inc. | 40,502 | 698 | |
* | Atlantic Coast Financial Corp. | 171,014 | 694 |
* | Fortegra Financial Corp. | 91,069 | 694 |
Intersections Inc. | 135,760 | 668 | |
LSB Financial Corp. | 15,863 | 664 | |
* | ASB Bancorp Inc. | 32,588 | 657 |
First Marblehead Corp. | 120,617 | 633 | |
Gladstone Land Corp. | 48,047 | 624 | |
* | ZipRealty Inc. | 205,665 | 623 |
* | Malvern Bancorp Inc. | 58,990 | 621 |
LNB Bancorp Inc. | 50,543 | 616 | |
Baylake Corp. | 48,407 | 607 | |
Life Partners Holdings Inc. | 230,077 | 573 | |
* | First United Corp. | 65,286 | 573 |
* | Tiptree Financial Inc. Class A | 64,774 | 564 |
Bancorp of New Jersey Inc. | 43,231 | 553 | |
Sotherly Hotels Inc. | 70,645 | 553 | |
Hampden Bancorp Inc. | 32,165 | 542 | |
First Bancshares Inc. | 35,881 | 510 | |
Old Point Financial Corp. | 33,438 | 508 | |
* | Square 1 Financial Inc. Class A | 26,257 | 499 |
* | First Bank | 82,347 | 494 |
* | Guaranty Federal Bancshares Inc. | 36,956 | 462 |
* | 1347 Property Insurance Holdings Inc. | 50,000 | 446 |
CIFC Corp. | 47,737 | 430 | |
Bank of South Carolina Corp. | 28,084 | 422 | |
* | Polonia Bancorp Inc. | 41,525 | 416 |
Wheeler REIT Inc. | 87,100 | 415 | |
* | Impac Mortgage Holdings Inc. | 84,948 | 408 |
California First National Bancorp | 27,285 | 401 | |
* | World Energy Solutions Inc. | 98,000 | 393 |
* | Community West Bancshares | 58,245 | 387 |
* | Investors Capital Holdings Ltd. | 52,527 | 377 |
United Bancorp Inc. | 46,010 | 375 | |
FedFirst Financial Corp. | 16,332 | 363 | |
* | Bear State Financial Inc. | 37,185 | 330 |
* | Security National Financial Corp. Class A | 77,316 | 330 |
Salisbury Bancorp Inc. | 10,806 | 325 | |
* | Carolina Trust Bank | 61,215 | 306 |
* | Atlanticus Holdings Corp. | 105,954 | 297 |
SB Financial Group Inc. | 33,052 | 277 | |
United Community Bancorp | 22,954 | 270 | |
Eagle Bancorp Montana Inc. | 24,838 | 261 | |
Institutional Financial Markets Inc. | 124,173 | 250 | |
* | HMN Financial Inc. | 22,131 | 243 |
* | Transcontinental Realty Investors Inc. | 16,524 | 235 |
* | CMS Bancorp Inc. | 20,755 | 227 |
QC Holdings Inc. | 83,632 | 224 | |
IF Bancorp Inc. | 13,247 | 219 | |
*,^ | ForceField Energy Inc. | 36,188 | 192 |
*,^ | Carver Bancorp Inc. | 19,300 | 190 |
* | SP Bancorp Inc. | 6,399 | 185 |
Kingstone Cos. Inc. | 26,745 | 178 | |
Sound Financial Bancorp Inc. | 10,290 | 178 | |
First Savings Financial Group Inc. | 7,188 | 174 | |
LaPorte Bancorp Inc. | 15,458 | 170 |
27
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Southern First Bancshares Inc. | 11,875 | 160 |
Summit State Bank | 12,101 | 160 | |
* | American Realty Investors Inc. | 21,174 | 143 |
Madison County Financial Inc. | 7,441 | 135 | |
Bluerock Residential Growth REIT Inc. | 10,028 | 132 | |
* | Carolina Bank Holdings Inc. | 13,013 | 128 |
* | Parke Bancorp Inc. | 10,812 | 127 |
* | Patriot National Bancorp Inc. | 87,095 | 124 |
* | Royal Bancshares of Pennsylvania Inc. | 69,609 | 122 |
Community Financial Corp. | 4,932 | 111 | |
Citizens Community Bancorp Inc. | 12,166 | 103 | |
WVS Financial Corp. | 9,511 | 103 | |
* | Tejon Ranch Co. Warrants Exp. 08/31/2016 | 33,339 | 98 |
* | First Capital Bancorp Inc. | 21,437 | 96 |
NB&T Financial Group Inc. | 4,849 | 95 | |
Northeast Community Bancorp Inc. | 11,916 | 84 | |
* | City Office REIT Inc. | 6,600 | 84 |
* | Income Opportunity Realty Investors Inc. | 12,450 | 81 |
Vestin Realty Mortgage II Inc. | 18,880 | 79 | |
* | Jacksonville Bancorp Inc. | 7,410 | 78 |
^ | Farmland Partners Inc. | 5,400 | 71 |
* | Southcoast Financial Corp. | 7,197 | 52 |
Athens Bancshares Corp. | 2,213 | 49 | |
Atlantic American Corp. | 11,680 | 45 | |
* | Citizens First Corp. | 3,399 | 37 |
CIM Commercial Trust Corp. | 1,721 | 37 | |
* | Power REIT | 3,836 | 35 |
* | Porter Bancorp Inc. | 29,819 | 31 |
* | Internet Patents Corp. | 8,626 | 27 |
* | Cordia Bancorp Inc. | 5,680 | 24 |
Home Federal Bancorp Inc. | 780 | 15 | |
River Valley Bancorp | 629 | 14 | |
HMG Courtland Properties | 945 | 14 | |
* | InterGroup Corp. | 301 | 6 |
* | Valley National Bancorp Warrants Exp. 06/30/2015 | 6,511 | 1 |
63,535,509 | |||
Health Care (12.2%) | |||
Johnson & Johnson | 45,019,345 | 4,709,924 | |
Pfizer Inc. | 101,392,111 | 3,009,318 | |
Merck & Co. Inc. | 46,514,192 | 2,690,846 | |
* | Gilead Sciences Inc. | 24,448,935 | 2,027,061 |
AbbVie Inc. | 25,313,601 | 1,428,700 | |
Amgen Inc. | 12,065,849 | 1,428,235 | |
Bristol-Myers Squibb Co. | 26,379,159 | 1,279,653 | |
UnitedHealth Group Inc. | 15,590,947 | 1,274,560 | |
* | Biogen Idec Inc. | 3,782,087 | 1,192,530 |
* | Celgene Corp. | 12,766,412 | 1,096,379 |
Medtronic Inc. | 15,894,485 | 1,013,432 | |
Eli Lilly & Co. | 16,042,488 | 997,361 | |
Abbott Laboratories | 23,901,245 | 977,561 | |
* | Express Scripts Holding Co. | 12,338,777 | 855,447 |
Allergan Inc. | 4,736,164 | 801,454 | |
Thermo Fisher Scientific Inc. | 6,350,526 | 749,362 | |
Covidien plc | 7,173,815 | 646,935 | |
Baxter International Inc. | 8,603,569 | 622,038 | |
* | Actavis plc | 2,711,797 | 604,866 |
* | Alexion Pharmaceuticals Inc. | 3,150,743 | 492,304 |
WellPoint Inc. | 4,451,755 | 479,053 | |
Aetna Inc. | 5,691,551 | 461,471 | |
Cigna Corp. | 4,276,172 | 393,280 | |
* | Forest Laboratories Inc. | 3,906,027 | 386,697 |
Stryker Corp. | 4,513,571 | 380,584 | |
* | Illumina Inc. | 2,041,010 | 364,402 |
Becton Dickinson and Co. | 3,077,718 | 364,094 |
28
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Vertex Pharmaceuticals Inc. | 3,754,433 | 355,470 |
* | Regeneron Pharmaceuticals Inc. | 1,185,184 | 334,779 |
Humana Inc. | 2,462,866 | 314,557 | |
St. Jude Medical Inc. | 4,517,585 | 312,843 | |
* | Mylan Inc. | 5,957,230 | 307,155 |
Perrigo Co. plc | 2,022,954 | 294,866 | |
* | HCA Holdings Inc. | 5,125,148 | 288,956 |
Zimmer Holdings Inc. | 2,673,922 | 277,714 | |
* | Boston Scientific Corp. | 21,085,217 | 269,258 |
Zoetis Inc. | 7,960,037 | 256,870 | |
* | Intuitive Surgical Inc. | 611,749 | 251,918 |
* | DaVita HealthCare Partners Inc. | 3,224,935 | 233,227 |
CR Bard Inc. | 1,215,141 | 173,777 | |
* | Endo International plc | 2,309,102 | 161,683 |
* | Henry Schein Inc. | 1,356,356 | 160,959 |
* | CareFusion Corp. | 3,308,307 | 146,723 |
* | Edwards Lifesciences Corp. | 1,682,738 | 144,446 |
* | BioMarin Pharmaceutical Inc. | 2,309,453 | 143,671 |
Universal Health Services Inc. Class B | 1,448,861 | 138,743 | |
* | Laboratory Corp. of America Holdings | 1,346,852 | 137,918 |
* | Varian Medical Systems Inc. | 1,651,158 | 137,277 |
* | Incyte Corp. Ltd. | 2,419,982 | 136,584 |
* | Hospira Inc. | 2,652,708 | 136,270 |
Quest Diagnostics Inc. | 2,291,105 | 134,465 | |
* | Waters Corp. | 1,286,771 | 134,390 |
* | Jazz Pharmaceuticals plc | 899,941 | 132,300 |
* | Salix Pharmaceuticals Ltd. | 955,525 | 117,864 |
* | Alkermes plc | 2,296,425 | 115,579 |
^ | ResMed Inc. | 2,248,612 | 113,847 |
* | IDEXX Laboratories Inc. | 822,325 | 109,838 |
DENTSPLY International Inc. | 2,247,259 | 106,408 | |
Cooper Cos. Inc. | 762,801 | 103,382 | |
* | Hologic Inc. | 3,713,451 | 94,136 |
* | MEDNAX Inc. | 1,577,303 | 91,720 |
* | Medivation Inc. | 1,169,196 | 90,122 |
* | Pharmacyclics Inc. | 952,890 | 85,484 |
Questcor Pharmaceuticals Inc. | 919,792 | 85,072 | |
* | Cubist Pharmaceuticals Inc. | 1,189,967 | 83,084 |
* | Community Health Systems Inc. | 1,751,839 | 79,481 |
* | Covance Inc. | 901,527 | 77,153 |
* | Sirona Dental Systems Inc. | 919,716 | 75,840 |
*,^ | Mallinckrodt plc | 928,324 | 74,284 |
* | Tenet Healthcare Corp. | 1,543,411 | 72,448 |
* | InterMune Inc. | 1,582,938 | 69,887 |
Teleflex Inc. | 658,016 | 69,486 | |
* | Centene Corp. | 872,317 | 65,956 |
* | Isis Pharmaceuticals Inc. | 1,862,318 | 64,157 |
* | Brookdale Senior Living Inc. | 1,898,192 | 63,286 |
* | Align Technology Inc. | 1,102,045 | 61,759 |
* | United Therapeutics Corp. | 697,126 | 61,689 |
* | Seattle Genetics Inc. | 1,600,654 | 61,225 |
* | Alnylam Pharmaceuticals Inc. | 913,698 | 57,718 |
* | Team Health Holdings Inc. | 1,119,889 | 55,927 |
Techne Corp. | 594,021 | 54,989 | |
* | Quintiles Transnational Holdings Inc. | 1,031,209 | 54,953 |
* | Cepheid | 1,106,256 | 53,034 |
Patterson Cos. Inc. | 1,332,044 | 52,629 | |
* | WellCare Health Plans Inc. | 696,704 | 52,016 |
* | NPS Pharmaceuticals Inc. | 1,538,871 | 50,860 |
* | Health Net Inc. | 1,220,010 | 50,679 |
STERIS Corp. | 946,221 | 50,604 | |
* | Pacira Pharmaceuticals Inc. | 544,271 | 49,997 |
HealthSouth Corp. | 1,340,552 | 48,086 | |
* | PAREXEL International Corp. | 905,892 | 47,867 |
29
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Alere Inc. | 1,252,062 | 46,852 |
*,^ | Myriad Genetics Inc. | 1,201,896 | 46,778 |
*,^ | Idenix Pharmaceuticals Inc. | 1,933,042 | 46,586 |
* | Envision Healthcare Holdings Inc. | 1,296,617 | 46,562 |
* | DexCom Inc. | 1,150,706 | 45,637 |
West Pharmaceutical Services Inc. | 1,072,292 | 45,229 | |
* | Intercept Pharmaceuticals Inc. | 184,775 | 43,723 |
* | LifePoint Hospitals Inc. | 679,572 | 42,201 |
*,^ | MannKind Corp. | 3,737,819 | 41,079 |
* | Charles River Laboratories International Inc. | 766,788 | 41,038 |
* | Bio-Rad Laboratories Inc. Class A | 335,643 | 40,180 |
* | Bruker Corp. | 1,642,955 | 39,875 |
Hill-Rom Holdings Inc. | 925,655 | 38,424 | |
* | Akorn Inc. | 1,155,540 | 38,422 |
*,^ | Theravance Inc. | 1,263,947 | 37,640 |
* | Synageva BioPharma Corp. | 340,939 | 35,730 |
* | Insulet Corp. | 876,911 | 34,787 |
Owens & Minor Inc. | 995,439 | 33,825 | |
* | Acadia Healthcare Co. Inc. | 699,756 | 31,839 |
* | Thoratec Corp. | 912,021 | 31,793 |
* | Impax Laboratories Inc. | 1,051,669 | 31,540 |
Healthcare Services Group Inc. | 1,065,041 | 31,355 | |
* | Medicines Co. | 1,032,194 | 29,996 |
* | Amsurg Corp. | 653,395 | 29,775 |
* | Haemonetics Corp. | 827,144 | 29,182 |
* | Air Methods Corp. | 563,515 | 29,106 |
*,^ | OPKO Health Inc. | 3,291,335 | 29,095 |
* | Ironwood Pharmaceuticals Inc. Class A | 1,878,427 | 28,796 |
* | HMS Holdings Corp. | 1,387,261 | 28,314 |
* | ACADIA Pharmaceuticals Inc. | 1,247,441 | 28,180 |
* | Prestige Brands Holdings Inc. | 824,234 | 27,933 |
* | Magellan Health Inc. | 445,376 | 27,720 |
* | Puma Biotechnology Inc. | 406,798 | 26,849 |
* | NuVasive Inc. | 731,027 | 26,003 |
* | Globus Medical Inc. | 1,085,910 | 25,975 |
* | Nektar Therapeutics | 2,014,955 | 25,832 |
* | Cyberonics Inc. | 408,318 | 25,504 |
^ | PDL BioPharma Inc. | 2,557,228 | 24,754 |
* | Wright Medical Group Inc. | 782,565 | 24,573 |
* | Celldex Therapeutics Inc. | 1,443,418 | 23,557 |
* | HeartWare International Inc. | 256,220 | 22,675 |
Select Medical Holdings Corp. | 1,443,723 | 22,522 | |
* | Neogen Corp. | 556,113 | 22,506 |
Kindred Healthcare Inc. | 964,552 | 22,281 | |
* | Acorda Therapeutics Inc. | 655,781 | 22,106 |
*,^ | Keryx Biopharmaceuticals Inc. | 1,437,008 | 22,101 |
*,^ | Exact Sciences Corp. | 1,287,054 | 21,919 |
* | Molina Healthcare Inc. | 475,967 | 21,242 |
* | Emeritus Corp. | 655,003 | 20,731 |
*,^ | Arena Pharmaceuticals Inc. | 3,495,238 | 20,482 |
* | Dyax Corp. | 2,022,262 | 19,414 |
Cantel Medical Corp. | 530,111 | 19,413 | |
* | Masimo Corp. | 813,819 | 19,206 |
* | Integra LifeSciences Holdings Corp. | 391,966 | 18,446 |
* | Ligand Pharmaceuticals Inc. | 286,786 | 17,864 |
* | Lannett Co. Inc. | 357,609 | 17,745 |
*,^ | ARIAD Pharmaceuticals Inc. | 2,719,826 | 17,325 |
* | Sarepta Therapeutics Inc. | 575,993 | 17,159 |
CONMED Corp. | 388,355 | 17,146 | |
* | Neurocrine Biosciences Inc. | 1,143,577 | 16,971 |
* | Hanger Inc. | 519,864 | 16,350 |
*,^ | Novavax Inc. | 3,538,613 | 16,348 |
* | ImmunoGen Inc. | 1,357,888 | 16,091 |
*,^ | Auxilium Pharmaceuticals Inc. | 782,567 | 15,698 |
30
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Sangamo BioSciences Inc. | 1,015,533 | 15,507 |
Analogic Corp. | 197,956 | 15,488 | |
* | Omnicell Inc. | 537,746 | 15,439 |
* | Halozyme Therapeutics Inc. | 1,561,981 | 15,432 |
Abaxis Inc. | 336,867 | 14,927 | |
* | Volcano Corp. | 846,569 | 14,908 |
* | Endologix Inc. | 961,054 | 14,618 |
* | Clovis Oncology Inc. | 350,999 | 14,535 |
* | Spectranetics Corp. | 620,679 | 14,201 |
* | ABIOMED Inc. | 564,378 | 14,188 |
*,^ | Intrexon Corp. | 545,789 | 13,716 |
*,^ | Horizon Pharma Inc. | 858,419 | 13,580 |
* | Aegerion Pharmaceuticals Inc. | 420,310 | 13,488 |
* | ICU Medical Inc. | 220,965 | 13,437 |
* | Cardiovascular Systems Inc. | 426,485 | 13,289 |
Meridian Bioscience Inc. | 637,344 | 13,155 | |
* | Fluidigm Corp. | 438,508 | 12,892 |
* | NxStage Medical Inc. | 890,699 | 12,799 |
* | Depomed Inc. | 918,179 | 12,763 |
* | BioCryst Pharmaceuticals Inc. | 1,000,322 | 12,754 |
* | PharMerica Corp. | 445,441 | 12,735 |
* | Tornier NV | 542,975 | 12,695 |
* | Furiex Pharmaceuticals Inc. | 118,631 | 12,596 |
* | Portola Pharmaceuticals Inc. | 425,189 | 12,407 |
*,^ | Agios Pharmaceuticals Inc. | 266,400 | 12,206 |
* | AVANIR Pharmaceuticals Inc. | 2,118,156 | 11,946 |
* | Bio-Reference Labs Inc. | 394,951 | 11,935 |
* | IPC The Hospitalist Co. Inc. | 268,410 | 11,869 |
* | Receptos Inc. | 275,199 | 11,723 |
*,^ | Ophthotech Corp. | 275,376 | 11,651 |
* | Natus Medical Inc. | 459,759 | 11,558 |
*,^ | Theravance Biopharma Inc. | 361,300 | 11,518 |
*,^ | Raptor Pharmaceutical Corp. | 980,189 | 11,321 |
* | Repligen Corp. | 477,716 | 10,887 |
* | Anika Therapeutics Inc. | 228,531 | 10,588 |
* | Emergent Biosolutions Inc. | 470,379 | 10,565 |
* | Insmed Inc. | 528,491 | 10,559 |
* | Orthofix International NV | 291,243 | 10,558 |
*,^ | Merrimack Pharmaceuticals Inc. | 1,435,509 | 10,465 |
* | Bluebird Bio Inc. | 266,815 | 10,291 |
* | Capital Senior Living Corp. | 430,130 | 10,254 |
* | Luminex Corp. | 597,265 | 10,243 |
* | Achillion Pharmaceuticals Inc. | 1,350,468 | 10,223 |
*,^ | Accuray Inc. | 1,159,809 | 10,206 |
* | Quidel Corp. | 461,289 | 10,199 |
*,^ | MiMedx Group Inc. | 1,436,273 | 10,183 |
* | Affymetrix Inc. | 1,141,324 | 10,169 |
Ensign Group Inc. | 320,045 | 9,947 | |
* | Merit Medical Systems Inc. | 649,542 | 9,808 |
*,^ | Acceleron Pharma Inc. | 287,166 | 9,755 |
* | Healthways Inc. | 536,910 | 9,417 |
*,^ | Exelixis Inc. | 2,776,097 | 9,411 |
* | CorVel Corp. | 207,000 | 9,352 |
* | Infinity Pharmaceuticals Inc. | 724,843 | 9,235 |
* | STAAR Surgical Co. | 545,592 | 9,166 |
*,^ | Orexigen Therapeutics Inc. | 1,468,205 | 9,074 |
*,^ | Inovio Pharmaceuticals Inc. | 839,338 | 9,073 |
* | Momenta Pharmaceuticals Inc. | 745,043 | 9,000 |
* | Array BioPharma Inc. | 1,965,336 | 8,962 |
* | Chimerix Inc. | 406,884 | 8,927 |
*,^ | Omeros Corp. | 507,039 | 8,822 |
* | Sagent Pharmaceuticals Inc. | 331,497 | 8,573 |
* | Vanda Pharmaceuticals Inc. | 529,270 | 8,564 |
Invacare Corp. | 465,875 | 8,558 |
31
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | BioScrip Inc. | 1,018,792 | 8,497 |
* | GenMark Diagnostics Inc. | 625,214 | 8,459 |
*,^ | Karyopharm Therapeutics Inc. | 179,592 | 8,360 |
Atrion Corp. | 25,272 | 8,239 | |
* | KYTHERA Biopharmaceuticals Inc. | 214,521 | 8,231 |
*,^ | Organovo Holdings Inc. | 978,389 | 8,170 |
Universal American Corp. | 979,598 | 8,160 | |
* | Amedisys Inc. | 482,533 | 8,078 |
*,^ | NewLink Genetics Corp. | 302,212 | 8,024 |
* | Anacor Pharmaceuticals Inc. | 450,239 | 7,983 |
* | HealthStream Inc. | 327,531 | 7,959 |
*,^ | Geron Corp. | 2,424,944 | 7,784 |
* | Albany Molecular Research Inc. | 384,881 | 7,744 |
* | BioDelivery Sciences International Inc. | 634,157 | 7,654 |
*,^ | Accelerate Diagnostics Inc. | 289,519 | 7,528 |
* | PTC Therapeutics Inc. | 285,807 | 7,471 |
*,^ | VIVUS Inc. | 1,399,254 | 7,444 |
* | Gentiva Health Services Inc. | 490,143 | 7,382 |
National Healthcare Corp. | 129,758 | 7,304 | |
* | Spectrum Pharmaceuticals Inc. | 896,461 | 7,288 |
*,^ | TherapeuticsMD Inc. | 1,613,575 | 7,132 |
* | AMAG Pharmaceuticals Inc. | 342,211 | 7,091 |
* | OraSure Technologies Inc. | 820,044 | 7,061 |
*,^ | Sequenom Inc. | 1,809,775 | 7,004 |
* | Zeltiq Aesthetics Inc. | 454,365 | 6,902 |
* | Triple-S Management Corp. Class B | 382,191 | 6,853 |
*,^ | Rockwell Medical Inc. | 571,330 | 6,850 |
* | AtriCure Inc. | 362,553 | 6,664 |
* | Dynavax Technologies Corp. | 4,164,619 | 6,663 |
* | Cynosure Inc. Class A | 313,367 | 6,659 |
* | LDR Holding Corp. | 263,402 | 6,588 |
* | AngioDynamics Inc. | 399,708 | 6,527 |
US Physical Therapy Inc. | 184,969 | 6,324 | |
*,^ | Genomic Health Inc. | 224,216 | 6,144 |
* | Chindex International Inc. | 255,068 | 6,043 |
* | Lexicon Pharmaceuticals Inc. | 3,718,410 | 5,987 |
* | Repros Therapeutics Inc. | 343,762 | 5,947 |
*,^ | Foundation Medicine Inc. | 213,366 | 5,752 |
*,^ | Epizyme Inc. | 181,689 | 5,654 |
* | Revance Therapeutics Inc. | 163,879 | 5,572 |
* | Surgical Care Affiliates Inc. | 191,422 | 5,567 |
*,^ | Dendreon Corp. | 2,419,451 | 5,565 |
*,^ | Galena Biopharma Inc. | 1,804,021 | 5,520 |
*,^ | Ampio Pharmaceuticals Inc. | 656,265 | 5,480 |
* | Vascular Solutions Inc. | 244,866 | 5,434 |
* | Relypsa Inc. | 221,488 | 5,387 |
* | XOMA Corp. | 1,170,250 | 5,371 |
*,^ | Synergy Pharmaceuticals Inc. | 1,318,814 | 5,368 |
* | Pacific Biosciences of California Inc. | 860,631 | 5,319 |
* | Sunesis Pharmaceuticals Inc. | 813,334 | 5,303 |
* | Rigel Pharmaceuticals Inc. | 1,447,589 | 5,255 |
* | MacroGenics Inc. | 237,560 | 5,162 |
* | Hyperion Therapeutics Inc. | 197,695 | 5,160 |
*,^ | Neuralstem Inc. | 1,218,833 | 5,143 |
*,^ | ZIOPHARM Oncology Inc. | 1,259,053 | 5,074 |
* | Symmetry Medical Inc. | 572,479 | 5,072 |
*,^ | Immunomedics Inc. | 1,377,877 | 5,029 |
*,^ | Insys Therapeutics Inc. | 160,757 | 5,020 |
* | CTI BioPharma Corp. | 1,774,074 | 4,985 |
*,^ | Peregrine Pharmaceuticals Inc. | 2,641,275 | 4,966 |
* | Antares Pharma Inc. | 1,846,726 | 4,931 |
* | Supernus Pharmaceuticals Inc. | 440,027 | 4,818 |
*,^ | Cerus Corp. | 1,134,297 | 4,707 |
* | Aratana Therapeutics Inc. | 299,391 | 4,673 |
32
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | SurModics Inc. | 216,998 | 4,648 |
* | LHC Group Inc. | 213,823 | 4,569 |
*,^ | AcelRx Pharmaceuticals Inc. | 432,762 | 4,436 |
* | Progenics Pharmaceuticals Inc. | 1,020,017 | 4,396 |
*,^ | Unilife Corp. | 1,479,746 | 4,380 |
* | XenoPort Inc. | 893,056 | 4,313 |
* | Tetraphase Pharmaceuticals Inc. | 312,295 | 4,213 |
* | Heron Therapeutics Inc. | 339,209 | 4,179 |
*,^ | Northwest Biotherapeutics Inc. | 613,538 | 4,117 |
CryoLife Inc. | 451,205 | 4,038 | |
*,^ | Galectin Therapeutics Inc. | 290,374 | 4,010 |
* | Derma Sciences Inc. | 343,723 | 3,973 |
* | ANI Pharmaceuticals Inc. | 115,261 | 3,970 |
* | RTI Surgical Inc. | 887,197 | 3,859 |
* | Osiris Therapeutics Inc. | 246,856 | 3,856 |
* | Alliance HealthCare Services Inc. | 140,174 | 3,785 |
* | Zogenix Inc. | 1,865,868 | 3,750 |
* | Enanta Pharmaceuticals Inc. | 84,948 | 3,659 |
* | SciClone Pharmaceuticals Inc. | 694,155 | 3,651 |
Pozen Inc. | 432,200 | 3,600 | |
*,^ | Versartis Inc. | 127,266 | 3,569 |
* | Pain Therapeutics Inc. | 617,807 | 3,552 |
* | Cempra Inc. | 326,839 | 3,507 |
* | Ultragenyx Pharmaceutical Inc. | 77,267 | 3,469 |
*,^ | Bio-Path Holdings Inc. | 1,117,914 | 3,410 |
* | Oncothyreon Inc. | 1,046,413 | 3,390 |
* | Exactech Inc. | 133,219 | 3,361 |
* | Akebia Therapeutics Inc. | 119,087 | 3,309 |
* | RadNet Inc. | 496,391 | 3,291 |
*,^ | TG Therapeutics Inc. | 348,681 | 3,274 |
* | Five Star Quality Care Inc. | 651,249 | 3,263 |
*,^ | Endocyte Inc. | 491,506 | 3,239 |
*,^ | CytRx Corp. | 766,943 | 3,206 |
* | K2M Group Holdings Inc. | 211,433 | 3,146 |
* | Idera Pharmaceuticals Inc. | 1,084,754 | 3,146 |
* | Kindred Biosciences Inc. | 166,897 | 3,111 |
*,^ | Synta Pharmaceuticals Corp. | 757,645 | 3,099 |
* | Threshold Pharmaceuticals Inc. | 778,817 | 3,084 |
* | Aerie Pharmaceuticals Inc. | 122,996 | 3,047 |
* | Enzo Biochem Inc. | 578,091 | 3,035 |
* | Corcept Therapeutics Inc. | 1,065,416 | 2,983 |
* | Retrophin Inc. | 252,941 | 2,970 |
* | Verastem Inc. | 325,077 | 2,945 |
* | Almost Family Inc. | 132,823 | 2,933 |
* | BioTelemetry Inc. | 406,569 | 2,915 |
*,^ | Navidea Biopharmaceuticals Inc. | 1,963,379 | 2,906 |
* | Durata Therapeutics Inc. | 169,925 | 2,894 |
* | Medical Action Industries Inc. | 208,424 | 2,862 |
* | Durect Corp. | 1,550,620 | 2,822 |
* | Agenus Inc. | 873,879 | 2,814 |
* | Mirati Therapeutics Inc. | 137,870 | 2,757 |
* | Pernix Therapeutics Holdings Inc. | 302,717 | 2,718 |
*,^ | PhotoMedex Inc. | 217,194 | 2,661 |
* | Curis Inc. | 1,409,216 | 2,621 |
*,^ | IsoRay Inc. | 836,651 | 2,610 |
*,^ | NeoStem Inc. | 392,701 | 2,560 |
Utah Medical Products Inc. | 49,349 | 2,539 | |
* | Xencor Inc. | 216,547 | 2,516 |
* | Auspex Pharmaceuticals Inc. | 112,944 | 2,515 |
* | Stemline Therapeutics Inc. | 167,219 | 2,453 |
* | Targacept Inc. | 541,121 | 2,440 |
*,^ | NanoViricides Inc. | 566,344 | 2,396 |
* | NanoString Technologies Inc. | 159,357 | 2,382 |
* | Amicus Therapeutics Inc. | 712,105 | 2,378 |
33
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Tandem Diabetes Care Inc. | 145,874 | 2,372 |
*,^ | ChemoCentryx Inc. | 401,600 | 2,349 |
* | Regado Biosciences Inc. | 343,528 | 2,333 |
* | Regulus Therapeutics Inc. | 287,819 | 2,314 |
* | Cytokinetics Inc. | 481,221 | 2,300 |
* | Cutera Inc. | 218,364 | 2,269 |
* | Discovery Laboratories Inc. | 1,261,399 | 2,245 |
*,^ | TearLab Corp. | 451,458 | 2,199 |
*,^ | Cytori Therapeutics Inc. | 913,252 | 2,183 |
*,^ | OncoMed Pharmaceuticals Inc. | 93,625 | 2,181 |
* | Five Prime Therapeutics Inc. | 139,420 | 2,168 |
* | Catalyst Pharmaceutical Partners Inc. | 835,820 | 2,115 |
* | Addus HomeCare Corp. | 93,904 | 2,111 |
* | Achaogen Inc. | 144,172 | 2,013 |
*,^ | Rexahn Pharmaceuticals Inc. | 2,312,059 | 2,011 |
* | IGI Laboratories Inc. | 371,039 | 1,970 |
* | Tonix Pharmaceuticals Holding Corp. | 133,765 | 1,920 |
*,^ | Medgenics Inc. | 242,522 | 1,884 |
*,^ | OvaScience Inc. | 204,494 | 1,875 |
* | Skilled Healthcare Group Inc. | 293,613 | 1,847 |
*,^ | Athersys Inc. | 1,012,015 | 1,812 |
* | NeoGenomics Inc. | 538,587 | 1,788 |
* | Cellular Dynamics International Inc. | 118,985 | 1,734 |
*,^ | Alimera Sciences Inc. | 289,599 | 1,732 |
* | Sucampo Pharmaceuticals Inc. Class A | 250,330 | 1,727 |
* | Harvard Bioscience Inc. | 371,991 | 1,693 |
* | Alphatec Holdings Inc. | 1,010,264 | 1,647 |
*,^ | MEI Pharma Inc. | 259,082 | 1,643 |
* | pSivida Corp. | 377,824 | 1,640 |
Psychemedics Corp. | 111,607 | 1,580 | |
*,^ | Fibrocell Science Inc. | 392,939 | 1,568 |
*,^ | SIGA Technologies Inc. | 554,400 | 1,563 |
* | Genocea Biosciences Inc. | 81,793 | 1,534 |
*,^ | BioTime Inc. | 499,272 | 1,523 |
*,^ | Nanosphere Inc. | 954,499 | 1,508 |
* | Cara Therapeutics Inc. | 87,751 | 1,494 |
* | Vical Inc. | 1,209,256 | 1,475 |
*,^ | Apricus Biosciences Inc. | 654,162 | 1,472 |
* | BioSpecifics Technologies Corp. | 54,107 | 1,459 |
LeMaitre Vascular Inc. | 176,020 | 1,456 | |
* | ArQule Inc. | 934,758 | 1,449 |
* | Celladon Corp. | 90,315 | 1,447 |
*,^ | StemCells Inc. | 710,024 | 1,441 |
*,^ | Ocera Therapeutics Inc. | 179,414 | 1,371 |
* | Cancer Genetics Inc. | 118,705 | 1,341 |
* | Alder Biopharmaceuticals Inc. | 66,194 | 1,329 |
* | AVEO Pharmaceuticals Inc. | 723,269 | 1,324 |
* | Harvard Apparatus Regenerative Technology Inc. | 126,171 | 1,318 |
*,^ | Hansen Medical Inc. | 995,506 | 1,304 |
*,^ | Synthetic Biologics Inc. | 755,229 | 1,299 |
Digirad Corp. | 362,321 | 1,290 | |
*,^ | EnteroMedics Inc. | 812,316 | 1,267 |
*,^ | Dicerna Pharmaceuticals Inc. | 55,964 | 1,263 |
* | Ambit Biosciences Corp. | 182,730 | 1,263 |
* | Veracyte Inc. | 73,486 | 1,258 |
*,^ | Cel-Sci Corp. | 1,005,111 | 1,246 |
*,^ | Esperion Therapeutics Inc. | 77,685 | 1,231 |
*,^ | Sunshine Heart Inc. | 217,895 | 1,220 |
* | Fonar Corp. | 97,573 | 1,190 |
*,^ | Biolase Inc. | 525,611 | 1,156 |
* | Applied Genetic Technologies Corp. | 50,013 | 1,155 |
*,^ | BIND Therapeutics Inc. | 84,165 | 1,109 |
* | Alexza Pharmaceuticals Inc. | 230,382 | 1,053 |
* | Eleven Biotherapeutics Inc. | 79,313 | 1,045 |
34
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Mast Therapeutics Inc. | 1,644,974 | 1,035 |
*,^ | Onconova Therapeutics Inc. | 187,299 | 1,017 |
*,^ | ImmunoCellular Therapeutics Ltd. | 899,521 | 1,007 |
* | Venaxis Inc. | 450,800 | 1,005 |
*,^ | Vital Therapies Inc. | 35,989 | 980 |
* | Cardica Inc. | 834,571 | 951 |
* | GlycoMimetics Inc. | 112,004 | 944 |
* | PharmAthene Inc. | 667,294 | 941 |
*,^ | Cyclacel Pharmaceuticals Inc. | 304,155 | 934 |
* | Stereotaxis Inc. | 258,680 | 918 |
* | Synergetics USA Inc. | 289,440 | 897 |
*,^ | Conatus Pharmaceuticals Inc. | 98,140 | 894 |
* | Fate Therapeutics Inc. | 139,506 | 880 |
* | OncoGenex Pharmaceutical Inc. | 230,644 | 860 |
* | KaloBios Pharmaceuticals Inc. | 376,992 | 860 |
*,^ | TrovaGene Inc. | 244,586 | 856 |
* | Argos Therapeutics Inc. | 105,431 | 847 |
* | Inogen Inc. | 37,370 | 843 |
* | Anthera Pharmaceuticals Inc. Class A | 247,403 | 839 |
*,^ | Coronado Biosciences Inc. | 479,232 | 824 |
*,^ | Hemispherx Biopharma Inc. | 2,605,655 | 808 |
* | Iridex Corp. | 96,700 | 804 |
* | Advaxis Inc. | 251,120 | 791 |
* | Uroplasty Inc. | 292,998 | 785 |
Columbia Laboratories Inc. | 113,777 | 779 | |
*,^ | Celsion Corp. | 210,850 | 732 |
* | Bovie Medical Corp. | 198,901 | 722 |
* | Hooper Holmes Inc. | 936,391 | 700 |
* | Trevena Inc. | 123,741 | 699 |
* | Cumberland Pharmaceuticals Inc. | 154,970 | 697 |
*,^ | Alliqua Inc. | 122,634 | 674 |
* | TriVascular Technologies Inc. | 43,000 | 670 |
* | Heska Corp. | 60,777 | 653 |
*,^ | Opexa Therapeutics Inc. | 383,605 | 637 |
* | Celator Pharmaceuticals Inc. | 214,967 | 636 |
* | Biodel Inc. | 285,268 | 616 |
* | InfuSystems Holdings Inc. | 229,594 | 608 |
*,^ | GTx Inc. | 423,568 | 585 |
*,^ | Cesca Therapeutics Inc. | 395,957 | 550 |
Enzon Pharmaceuticals Inc. | 517,601 | 538 | |
*,^ | Imprimis Pharmaceuticals Inc. | 75,879 | 527 |
*,^ | Palatin Technologies Inc. | 527,548 | 522 |
* | AdCare Health Systems Inc. | 121,964 | 522 |
* | Vermillion Inc. | 191,149 | 493 |
*,^ | ARCA Biopharma Inc. | 320,124 | 467 |
* | Kite Pharma Inc. | 16,049 | 464 |
* | OXiGENE Inc. | 176,745 | 458 |
*,^ | Atossa Genetics Inc. | 271,917 | 457 |
* | Lpath Inc. Class A | 114,840 | 456 |
* | Zalicus Inc. | 370,464 | 452 |
*,^ | Oculus Innovative Sciences Inc. | 145,980 | 451 |
*,^ | Cormedix Inc. | 249,094 | 451 |
* | Oragenics Inc. | 226,675 | 442 |
* | MediciNova Inc. | 216,325 | 439 |
* | Wright Medical Group Inc. CVR | 288,011 | 429 |
* | Ardelyx Inc. | 26,729 | 427 |
*,^ | Response Genetics Inc. | 460,766 | 424 |
* | Ventrus Biosciences Inc. | 321,097 | 421 |
* | CASI Pharmaceuticals Inc. | 230,336 | 415 |
* | Chembio Diagnostics Inc. | 120,789 | 414 |
* | LipoScience Inc. | 120,633 | 413 |
* | Vision Sciences Inc. | 358,120 | 412 |
*,^ | Novabay Pharmaceuticals Inc. | 517,342 | 409 |
* | Adeptus Health Inc. Class A | 16,060 | 407 |
35
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | Echo Therapeutics Inc. | 168,231 | 380 |
* | AxoGen Inc. | 135,648 | 377 |
*,^ | BG Medicine Inc. | 353,365 | 371 |
Span-America Medical Systems Inc. | 17,095 | 363 | |
* | Retractable Technologies Inc. | 145,054 | 363 |
Transcept Pharmaceuticals Inc. | 175,540 | 349 | |
* | Delcath Systems Inc. | 131,189 | 344 |
*,^ | BSD Medical Corp. | 340,383 | 337 |
*,^ | Aastrom Biosciences Inc. | 81,465 | 334 |
* | CAS Medical Systems Inc. | 164,150 | 330 |
*,^ | Acura Pharmaceuticals Inc. | 290,832 | 317 |
* | Misonix Inc. | 46,818 | 316 |
* | Evoke Pharma Inc. | 36,221 | 283 |
*,^ | Cleveland Biolabs Inc. | 559,793 | 269 |
Daxor Corp. | 37,740 | 260 | |
*,^ | Akers Biosciences Inc. | 60,354 | 254 |
* | MGC Diagnostics Corp. | 29,375 | 246 |
* | SCYNEXIS Inc. | 30,300 | 243 |
*,^ | Heat Biologics Inc. | 42,176 | 234 |
* | CombiMatrix Corp. | 105,590 | 226 |
* | Adamas Pharmaceuticals Inc. | 11,700 | 214 |
*,^ | Baxano Surgical Inc. | 327,989 | 187 |
* | Flexion Therapeutics Inc. | 13,500 | 182 |
* | ERBA Diagnostics Inc. | 91,945 | 181 |
* | Escalon Medical Corp. | 105,245 | 180 |
* | Biocept Inc. | 29,465 | 177 |
* | Eagle Pharmaceuticals Inc. | 12,252 | 176 |
* | Corium International Inc. | 22,300 | 173 |
* | iBio Inc. | 395,844 | 166 |
*,^ | MELA Sciences Inc. | 517,162 | 166 |
* | Bioanalytical Systems Inc. | 65,447 | 166 |
*,^ | RXi Pharmaceuticals Corp. | 48,581 | 147 |
* | Concert Pharmaceuticals Inc. | 13,050 | 132 |
* | MGT Capital Investments Inc. | 113,426 | 119 |
* | ProPhase Labs Inc. | 55,933 | 95 |
* | Amedica Corp. | 19,100 | 86 |
* | Kips Bay Medical Inc. | 166,570 | 77 |
*,^ | USMD Holdings Inc. | 5,047 | 60 |
* | Dipexium Pharmaceuticals Inc. | 4,100 | 40 |
Birner Dental Management Services Inc. | 1,710 | 30 | |
* | Ruthigen Inc. | 4,274 | 26 |
Diversicare Healthcare Services Inc. | 3,350 | 25 | |
* | ImmuCell Corp. | 5,733 | 25 |
* | Cubist Pharmaceuticals Inc. Rights Exp. 12/31/2015 | 141,389 | 16 |
* | Semler Scientific Inc. | 2,583 | 11 |
* | NephroGenex Inc. | 1,070 | 6 |
* | Aldeyra Therapeutics Inc. | 798 | 5 |
* | Cerulean Pharma Inc. | 700 | 4 |
* | Recro Pharma Inc. | 200 | 2 |
42,361,121 | |||
Industrials (12.9%) | |||
General Electric Co. | 159,516,602 | 4,192,096 | |
United Technologies Corp. | 13,852,509 | 1,599,272 | |
3M Co. | 10,401,996 | 1,489,982 | |
Union Pacific Corp. | 14,419,719 | 1,438,367 | |
Boeing Co. | 10,441,441 | 1,328,465 | |
United Parcel Service Inc. Class B | 11,225,162 | 1,152,375 | |
Honeywell International Inc. | 11,833,470 | 1,099,921 | |
Caterpillar Inc. | 9,931,790 | 1,079,288 | |
Accenture plc Class A | 10,072,520 | 814,263 | |
Danaher Corp. | 9,458,546 | 744,671 | |
Emerson Electric Co. | 11,168,353 | 741,132 | |
Lockheed Martin Corp. | 4,317,918 | 694,019 | |
FedEx Corp. | 4,469,909 | 676,655 |
36
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Automatic Data Processing Inc. | 7,609,964 | 603,318 | |
Eaton Corp. plc | 7,573,998 | 584,561 | |
Precision Castparts Corp. | 2,306,227 | 582,092 | |
Illinois Tool Works Inc. | 6,214,966 | 544,182 | |
General Dynamics Corp. | 4,635,973 | 540,323 | |
Deere & Co. | 5,769,321 | 522,412 | |
Norfolk Southern Corp. | 4,928,897 | 507,824 | |
CSX Corp. | 15,983,996 | 492,467 | |
Raytheon Co. | 4,984,718 | 459,840 | |
Cummins Inc. | 2,928,013 | 451,763 | |
TE Connectivity Ltd. | 6,512,735 | 402,748 | |
Northrop Grumman Corp. | 3,074,297 | 367,778 | |
PACCAR Inc. | 5,642,475 | 354,517 | |
Tyco International Ltd. | 7,328,314 | 334,171 | |
Waste Management Inc. | 7,032,743 | 314,575 | |
Agilent Technologies Inc. | 5,306,865 | 304,826 | |
Parker Hannifin Corp. | 2,369,657 | 297,937 | |
* | LinkedIn Corp. Class A | 1,678,131 | 287,749 |
Sherwin-Williams Co. | 1,348,436 | 279,005 | |
Rockwell Automation Inc. | 2,207,559 | 276,298 | |
Ingersoll-Rand plc | 4,090,489 | 255,696 | |
WW Grainger Inc. | 981,765 | 249,633 | |
Amphenol Corp. Class A | 2,525,967 | 243,352 | |
Dover Corp. | 2,650,901 | 241,099 | |
* | Fiserv Inc. | 3,982,799 | 240,242 |
Roper Industries Inc. | 1,586,495 | 231,644 | |
* | Alliance Data Systems Corp. | 817,932 | 230,043 |
Fidelity National Information Services Inc. | 4,139,432 | 226,593 | |
* | Pentair plc | 3,090,202 | 222,865 |
Xerox Corp. | 17,701,565 | 220,207 | |
Paychex Inc. | 5,213,092 | 216,656 | |
Fastenal Co. | 4,256,790 | 210,669 | |
AMETEK Inc. | 3,906,837 | 204,249 | |
Fluor Corp. | 2,545,519 | 195,750 | |
Kansas City Southern | 1,754,180 | 188,592 | |
Rockwell Collins Inc. | 2,150,984 | 168,078 | |
Republic Services Inc. Class A | 4,303,665 | 163,410 | |
Flowserve Corp. | 2,190,958 | 162,898 | |
* | United Rentals Inc. | 1,532,411 | 160,489 |
* | Stericycle Inc. | 1,352,513 | 160,165 |
* | FleetCor Technologies Inc. | 1,185,587 | 156,260 |
* | B/E Aerospace Inc. | 1,672,967 | 154,733 |
* | Trimble Navigation Ltd. | 4,139,102 | 152,940 |
Textron Inc. | 3,989,905 | 152,773 | |
CH Robinson Worldwide Inc. | 2,362,803 | 150,723 | |
Pall Corp. | 1,745,360 | 149,036 | |
L-3 Communications Holdings Inc. | 1,228,804 | 148,378 | |
* | Verisk Analytics Inc. Class A | 2,390,294 | 143,465 |
Ball Corp. | 2,216,335 | 138,920 | |
Vulcan Materials Co. | 2,077,910 | 132,467 | |
Expeditors International of Washington Inc. | 2,999,088 | 132,440 | |
TransDigm Group Inc. | 753,725 | 126,068 | |
Masco Corp. | 5,668,293 | 125,836 | |
Rock-Tenn Co. Class A | 1,135,946 | 119,945 | |
Wabtec Corp. | 1,446,737 | 119,486 | |
MeadWestvaco Corp. | 2,672,909 | 118,303 | |
* | Mettler-Toledo International Inc. | 466,377 | 118,077 |
* | Quanta Services Inc. | 3,392,644 | 117,318 |
Towers Watson & Co. Class A | 1,119,803 | 116,717 | |
Chicago Bridge & Iron Co. NV | 1,706,950 | 116,414 | |
Sealed Air Corp. | 3,399,580 | 116,164 | |
Xylem Inc. | 2,941,052 | 114,936 | |
* | Sensata Technologies Holding NV | 2,405,565 | 112,532 |
Packaging Corp. of America | 1,556,677 | 111,287 |
37
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
JB Hunt Transport Services Inc. | 1,496,318 | 110,398 | |
* | Crown Holdings Inc. | 2,200,326 | 109,488 |
Trinity Industries Inc. | 2,461,890 | 107,634 | |
Manpowergroup Inc. | 1,264,910 | 107,328 | |
* | Jacobs Engineering Group Inc. | 1,994,699 | 106,278 |
Fortune Brands Home & Security Inc. | 2,635,609 | 105,240 | |
IDEX Corp. | 1,284,948 | 103,747 | |
* | Flextronics International Ltd. | 9,369,810 | 103,724 |
Cintas Corp. | 1,618,621 | 102,847 | |
Hubbell Inc. Class B | 821,038 | 101,111 | |
MDU Resources Group Inc. | 2,875,354 | 100,925 | |
Robert Half International Inc. | 2,070,016 | 98,823 | |
Joy Global Inc. | 1,592,681 | 98,077 | |
Avnet Inc. | 2,200,211 | 97,491 | |
ADT Corp. | 2,782,890 | 97,234 | |
Iron Mountain Inc. | 2,738,044 | 97,064 | |
Martin Marietta Materials Inc. | 733,452 | 96,852 | |
Donaldson Co. Inc. | 2,278,347 | 96,420 | |
* | Arrow Electronics Inc. | 1,585,536 | 95,782 |
* | Kirby Corp. | 813,823 | 95,331 |
* | Colfax Corp. | 1,268,630 | 94,564 |
Acuity Brands Inc. | 683,942 | 94,555 | |
Valspar Corp. | 1,204,183 | 91,747 | |
Waste Connections Inc. | 1,866,856 | 90,636 | |
* | Owens-Illinois Inc. | 2,610,382 | 90,424 |
Lincoln Electric Holdings Inc. | 1,290,462 | 90,177 | |
Timken Co. | 1,317,272 | 89,364 | |
Carlisle Cos. Inc. | 1,015,721 | 87,982 | |
* | Genesee & Wyoming Inc. Class A | 825,465 | 86,674 |
Allegion plc | 1,524,334 | 86,399 | |
Total System Services Inc. | 2,675,639 | 84,042 | |
PerkinElmer Inc. | 1,792,555 | 83,963 | |
Global Payments Inc. | 1,142,096 | 83,202 | |
Allison Transmission Holdings Inc. | 2,662,338 | 82,799 | |
Jack Henry & Associates Inc. | 1,359,707 | 80,807 | |
Broadridge Financial Solutions Inc. | 1,893,399 | 78,841 | |
* | Vantiv Inc. Class A | 2,321,084 | 78,035 |
FLIR Systems Inc. | 2,243,598 | 77,920 | |
* | CoStar Group Inc. | 480,544 | 76,008 |
AGCO Corp. | 1,346,017 | 75,673 | |
Graco Inc. | 965,637 | 75,397 | |
Ryder System Inc. | 845,599 | 74,489 | |
Oshkosh Corp. | 1,338,725 | 74,339 | |
MSC Industrial Direct Co. Inc. Class A | 767,756 | 73,428 | |
Huntington Ingalls Industries Inc. | 773,609 | 73,176 | |
Sonoco Products Co. | 1,630,734 | 71,638 | |
AptarGroup Inc. | 1,058,140 | 70,906 | |
ITT Corp. | 1,466,322 | 70,530 | |
* | Spirit AeroSystems Holdings Inc. Class A | 2,092,147 | 70,505 |
Manitowoc Co. Inc. | 2,135,228 | 70,164 | |
Nordson Corp. | 870,956 | 69,842 | |
* | Old Dominion Freight Line Inc. | 1,095,473 | 69,760 |
SPX Corp. | 638,342 | 69,075 | |
Terex Corp. | 1,669,612 | 68,621 | |
Owens Corning | 1,773,336 | 68,593 | |
Alliant Techsystems Inc. | 507,461 | 67,959 | |
* | Zebra Technologies Corp. | 802,008 | 66,021 |
* | WEX Inc. | 623,761 | 65,476 |
* | Hexcel Corp. | 1,594,416 | 65,212 |
Bemis Co. Inc. | 1,601,545 | 65,119 | |
Eagle Materials Inc. | 680,336 | 64,142 | |
Lennox International Inc. | 702,217 | 62,898 | |
Valmont Industries Inc. | 407,048 | 61,851 | |
Jabil Circuit Inc. | 2,941,465 | 61,477 |
38
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
AO Smith Corp. | 1,236,786 | 61,320 | |
* | WESCO International Inc. | 709,653 | 61,300 |
FEI Co. | 670,861 | 60,867 | |
* | Graphic Packaging Holding Co. | 5,100,063 | 59,671 |
Air Lease Corp. Class A | 1,542,327 | 59,503 | |
* | USG Corp. | 1,960,434 | 59,068 |
Triumph Group Inc. | 835,300 | 58,321 | |
Kennametal Inc. | 1,254,954 | 58,079 | |
Babcock & Wilcox Co. | 1,761,914 | 57,192 | |
Toro Co. | 891,537 | 56,702 | |
KBR Inc. | 2,355,290 | 56,174 | |
Crane Co. | 741,102 | 55,108 | |
* | Teledyne Technologies Inc. | 561,964 | 54,606 |
World Fuel Services Corp. | 1,101,636 | 54,234 | |
Foster Wheeler AG | 1,587,267 | 54,078 | |
Belden Inc. | 690,065 | 53,935 | |
Regal-Beloit Corp. | 685,410 | 53,846 | |
* | Generac Holdings Inc. | 1,096,112 | 53,425 |
RR Donnelley & Sons Co. | 3,133,707 | 53,148 | |
* | Esterline Technologies Corp. | 460,723 | 53,038 |
* | Clean Harbors Inc. | 822,926 | 52,873 |
National Instruments Corp. | 1,613,880 | 52,274 | |
EnerSys | 748,434 | 51,485 | |
Exelis Inc. | 3,026,305 | 51,387 | |
URS Corp. | 1,106,375 | 50,727 | |
* | Cognex Corp. | 1,310,847 | 50,337 |
CLARCOR Inc. | 809,857 | 50,090 | |
GATX Corp. | 731,738 | 48,983 | |
* | Moog Inc. Class A | 665,589 | 48,515 |
* | AECOM Technology Corp. | 1,502,241 | 48,372 |
Woodward Inc. | 960,666 | 48,206 | |
Landstar System Inc. | 734,635 | 47,017 | |
Deluxe Corp. | 798,491 | 46,776 | |
Con-way Inc. | 907,071 | 45,725 | |
EMCOR Group Inc. | 1,018,068 | 45,335 | |
Curtiss-Wright Corp. | 688,287 | 45,124 | |
MAXIMUS Inc. | 1,034,272 | 44,494 | |
Anixter International Inc. | 441,781 | 44,209 | |
* | HD Supply Holdings Inc. | 1,546,822 | 43,914 |
Watsco Inc. | 406,638 | 41,786 | |
* | Knowles Corp. | 1,353,503 | 41,607 |
* | Berry Plastics Group Inc. | 1,586,211 | 40,924 |
* | Genpact Ltd. | 2,286,817 | 40,088 |
* | CoreLogic Inc. | 1,318,570 | 40,032 |
* | Armstrong World Industries Inc. | 692,957 | 39,797 |
Actuant Corp. Class A | 1,097,511 | 37,941 | |
Silgan Holdings Inc. | 729,202 | 37,058 | |
* | Euronet Worldwide Inc. | 766,589 | 36,980 |
* | IPG Photonics Corp. | 537,152 | 36,956 |
Corporate Executive Board Co. | 533,470 | 36,393 | |
Covanta Holding Corp. | 1,759,686 | 36,267 | |
Mobile Mini Inc. | 716,538 | 34,315 | |
* | Louisiana-Pacific Corp. | 2,278,549 | 34,224 |
Harsco Corp. | 1,284,810 | 34,214 | |
* | DigitalGlobe Inc. | 1,201,576 | 33,404 |
* | Swift Transportation Co. | 1,322,399 | 33,364 |
Littelfuse Inc. | 358,735 | 33,344 | |
Vishay Intertechnology Inc. | 2,136,308 | 33,091 | |
* | Texas Industries Inc. | 342,724 | 31,654 |
Convergys Corp. | 1,473,672 | 31,596 | |
* | Navistar International Corp. | 840,016 | 31,484 |
Applied Industrial Technologies Inc. | 602,072 | 30,543 | |
Barnes Group Inc. | 786,028 | 30,294 | |
* | Advisory Board Co. | 576,552 | 29,865 |
39
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Sanmina Corp. | 1,279,317 | 29,143 |
MSA Safety Inc. | 504,208 | 28,982 | |
* | Proto Labs Inc. | 352,605 | 28,885 |
* | MasTec Inc. | 930,666 | 28,683 |
* | Orbital Sciences Corp. | 960,960 | 28,396 |
Tetra Tech Inc. | 1,028,793 | 28,292 | |
HEICO Corp. Class A | 695,583 | 28,241 | |
* | Hub Group Inc. Class A | 552,525 | 27,847 |
* | MWI Veterinary Supply Inc. | 195,250 | 27,724 |
* | Rexnord Corp. | 971,090 | 27,336 |
* | On Assignment Inc. | 766,563 | 27,267 |
UniFirst Corp. | 254,748 | 27,003 | |
Watts Water Technologies Inc. Class A | 432,673 | 26,709 | |
Franklin Electric Co. Inc. | 661,359 | 26,673 | |
* | EnPro Industries Inc. | 363,487 | 26,593 |
* | Huron Consulting Group Inc. | 371,600 | 26,317 |
* | Masonite International Corp. | 463,576 | 26,081 |
* | Coherent Inc. | 393,958 | 26,068 |
United Stationers Inc. | 625,547 | 25,941 | |
* | TriMas Corp. | 677,369 | 25,828 |
Mueller Industries Inc. | 861,205 | 25,328 | |
*,^ | NeuStar Inc. Class A | 970,165 | 25,244 |
Simpson Manufacturing Co. Inc. | 673,418 | 24,485 | |
EVERTEC Inc. | 1,007,500 | 24,422 | |
* | WageWorks Inc. | 503,434 | 24,271 |
* | FTI Consulting Inc. | 640,053 | 24,207 |
Booz Allen Hamilton Holding Corp. Class A | 1,137,122 | 24,152 | |
* | Cardtronics Inc. | 703,761 | 23,984 |
TAL International Group Inc. | 538,137 | 23,872 | |
RBC Bearings Inc. | 369,966 | 23,696 | |
Forward Air Corp. | 493,862 | 23,631 | |
* | XPO Logistics Inc. | 822,750 | 23,547 |
* | Plexus Corp. | 539,917 | 23,373 |
* | Itron Inc. | 570,635 | 23,139 |
* | Korn/Ferry International | 785,666 | 23,075 |
* | Greenbrier Cos. Inc. | 398,195 | 22,936 |
Heartland Payment Systems Inc. | 555,408 | 22,888 | |
Knight Transportation Inc. | 961,552 | 22,856 | |
Greif Inc. Class A | 417,070 | 22,755 | |
Tennant Co. | 296,317 | 22,615 | |
* | Veeco Instruments Inc. | 601,565 | 22,414 |
ABM Industries Inc. | 821,088 | 22,153 | |
Brady Corp. Class A | 736,976 | 22,013 | |
Methode Electronics Inc. | 571,570 | 21,840 | |
*,^ | Universal Display Corp. | 678,441 | 21,778 |
* | Benchmark Electronics Inc. | 853,360 | 21,744 |
Brink's Co. | 765,218 | 21,594 | |
CIRCOR International Inc. | 279,579 | 21,564 | |
* | PHH Corp. | 914,928 | 21,025 |
Mueller Water Products Inc. Class A | 2,429,435 | 20,990 | |
* | Measurement Specialties Inc. | 241,777 | 20,810 |
* | OSI Systems Inc. | 300,712 | 20,073 |
Granite Construction Inc. | 551,428 | 19,840 | |
* | Tutor Perini Corp. | 617,377 | 19,596 |
*,^ | Outerwall Inc. | 327,847 | 19,458 |
Raven Industries Inc. | 584,516 | 19,371 | |
* | Meritor Inc. | 1,485,229 | 19,367 |
* | Greatbatch Inc. | 392,786 | 19,270 |
* | Vistaprint NV | 474,221 | 19,187 |
* | GrafTech International Ltd. | 1,827,645 | 19,117 |
General Cable Corp. | 738,385 | 18,947 | |
* | Rogers Corp. | 285,045 | 18,913 |
Werner Enterprises Inc. | 709,070 | 18,797 | |
* | ExamWorks Group Inc. | 584,855 | 18,557 |
40
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Matson Inc. | 691,351 | 18,556 | |
Kaman Corp. | 431,914 | 18,456 | |
* | H&E Equipment Services Inc. | 498,688 | 18,122 |
^ | Sturm Ruger & Co. Inc. | 306,182 | 18,068 |
AZZ Inc. | 388,076 | 17,883 | |
* | TrueBlue Inc. | 646,205 | 17,816 |
Heartland Express Inc. | 834,765 | 17,814 | |
Otter Tail Corp. | 585,196 | 17,726 | |
* | Wesco Aircraft Holdings Inc. | 886,911 | 17,703 |
Aircastle Ltd. | 991,796 | 17,624 | |
Albany International Corp. | 457,523 | 17,368 | |
* | Saia Inc. | 389,125 | 17,094 |
* | LifeLock Inc. | 1,213,036 | 16,934 |
ArcBest Corp. | 386,305 | 16,808 | |
Primoris Services Corp. | 571,889 | 16,493 | |
^ | Lindsay Corp. | 194,605 | 16,438 |
AAR Corp. | 596,020 | 16,426 | |
MTS Systems Corp. | 242,367 | 16,423 | |
US Ecology Inc. | 327,696 | 16,041 | |
G&K Services Inc. Class A | 303,271 | 15,791 | |
* | Boise Cascade Co. | 551,083 | 15,783 |
*,^ | GenCorp Inc. | 802,918 | 15,336 |
* | Headwaters Inc. | 1,102,429 | 15,313 |
* | Wabash National Corp. | 1,072,086 | 15,277 |
* | UTi Worldwide Inc. | 1,470,783 | 15,208 |
AAON Inc. | 452,393 | 15,164 | |
Apogee Enterprises Inc. | 434,003 | 15,129 | |
Standex International Corp. | 202,605 | 15,090 | |
Exponent Inc. | 200,311 | 14,845 | |
Altra Industrial Motion Corp. | 403,628 | 14,688 | |
* | Atlas Air Worldwide Holdings Inc. | 397,338 | 14,642 |
Universal Forest Products Inc. | 303,241 | 14,637 | |
* | Trex Co. Inc. | 507,638 | 14,630 |
Encore Wire Corp. | 298,025 | 14,615 | |
Sun Hydraulics Corp. | 358,760 | 14,566 | |
Cubic Corp. | 325,999 | 14,510 | |
McGrath RentCorp | 394,216 | 14,487 | |
* | ExlService Holdings Inc. | 491,379 | 14,471 |
^ | Textainer Group Holdings Ltd. | 365,936 | 14,132 |
* | Aegion Corp. Class A | 602,775 | 14,027 |
ESCO Technologies Inc. | 403,679 | 13,983 | |
* | Sykes Enterprises Inc. | 639,457 | 13,895 |
Federal Signal Corp. | 935,479 | 13,705 | |
* | Navigant Consulting Inc. | 780,663 | 13,623 |
John Bean Technologies Corp. | 438,916 | 13,602 | |
Acacia Research Corp. | 761,853 | 13,523 | |
* | RPX Corp. | 758,447 | 13,462 |
* | FARO Technologies Inc. | 269,169 | 13,222 |
* | II-VI Inc. | 904,043 | 13,072 |
* | Thermon Group Holdings Inc. | 492,023 | 12,950 |
Astec Industries Inc. | 291,191 | 12,777 | |
* | Team Inc. | 309,151 | 12,681 |
* | DXP Enterprises Inc. | 165,401 | 12,494 |
* | Roadrunner Transportation Systems Inc. | 444,247 | 12,483 |
* | Nortek Inc. | 138,988 | 12,476 |
Materion Corp. | 336,545 | 12,449 | |
* | Smith & Wesson Holding Corp. | 834,874 | 12,139 |
*,^ | YRC Worldwide Inc. | 430,176 | 12,092 |
Insperity Inc. | 364,810 | 12,039 | |
Hyster-Yale Materials Handling Inc. | 134,313 | 11,892 | |
* | Astronics Corp. | 206,260 | 11,643 |
Badger Meter Inc. | 219,930 | 11,579 | |
ManTech International Corp. Class A | 374,531 | 11,056 | |
* | Newport Corp. | 591,676 | 10,946 |
41
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Rofin-Sinar Technologies Inc. | 455,077 | 10,940 |
* | Taser International Inc. | 802,517 | 10,673 |
Gorman-Rupp Co. | 300,921 | 10,644 | |
* | ICF International Inc. | 300,152 | 10,613 |
Quanex Building Products Corp. | 592,532 | 10,589 | |
* | Engility Holdings Inc. | 275,260 | 10,531 |
^ | American Railcar Industries Inc. | 154,363 | 10,461 |
Schnitzer Steel Industries Inc. | 400,441 | 10,440 | |
* | Fabrinet | 505,481 | 10,413 |
* | Monster Worldwide Inc. | 1,559,268 | 10,198 |
AVX Corp. | 764,101 | 10,147 | |
* | Taminco Corp. | 429,839 | 9,998 |
CTS Corp. | 514,310 | 9,618 | |
Powell Industries Inc. | 144,881 | 9,472 | |
Kforce Inc. | 432,470 | 9,363 | |
* | Global Cash Access Holdings Inc. | 1,030,892 | 9,175 |
* | NCI Building Systems Inc. | 471,824 | 9,168 |
* | Checkpoint Systems Inc. | 652,548 | 9,129 |
* | Aerovironment Inc. | 286,412 | 9,108 |
Griffon Corp. | 734,052 | 9,102 | |
Comfort Systems USA Inc. | 573,773 | 9,066 | |
* | Imperva Inc. | 346,180 | 9,063 |
Park Electrochemical Corp. | 319,581 | 9,015 | |
* | AMN Healthcare Services Inc. | 730,708 | 8,988 |
Quad/Graphics Inc. | 401,140 | 8,974 | |
* | Era Group Inc. | 310,963 | 8,918 |
* | Rentrak Corp. | 169,889 | 8,911 |
American Science & Engineering Inc. | 127,548 | 8,876 | |
Cass Information Systems Inc. | 175,218 | 8,670 | |
* | TeleTech Holdings Inc. | 297,223 | 8,617 |
LB Foster Co. Class A | 159,164 | 8,614 | |
* | MYR Group Inc. | 336,415 | 8,521 |
Marten Transport Ltd. | 372,890 | 8,334 | |
* | GP Strategies Corp. | 318,895 | 8,253 |
Myers Industries Inc. | 409,612 | 8,229 | |
Columbus McKinnon Corp. | 302,756 | 8,190 | |
Park-Ohio Holdings Corp. | 140,842 | 8,184 | |
Resources Connection Inc. | 619,475 | 8,121 | |
Multi-Color Corp. | 201,963 | 8,081 | |
Kelly Services Inc. Class A | 464,434 | 7,974 | |
NN Inc. | 310,052 | 7,931 | |
*,^ | Capstone Turbine Corp. | 5,161,931 | 7,795 |
Kimball International Inc. Class B | 461,822 | 7,722 | |
Celadon Group Inc. | 357,186 | 7,615 | |
HEICO Corp. | 144,487 | 7,505 | |
* | Advanced Emissions Solutions Inc. | 324,662 | 7,445 |
Viad Corp. | 311,080 | 7,416 | |
* | Gibraltar Industries Inc. | 473,545 | 7,345 |
* | EnerNOC Inc. | 383,826 | 7,274 |
* | Great Lakes Dredge & Dock Corp. | 897,716 | 7,173 |
* | TriNet Group Inc. | 293,457 | 7,064 |
* | Lydall Inc. | 256,747 | 7,027 |
* | TTM Technologies Inc. | 853,351 | 6,997 |
* | Air Transport Services Group Inc. | 818,888 | 6,854 |
* | Bazaarvoice Inc. | 864,111 | 6,818 |
*,^ | ExOne Co. | 169,132 | 6,701 |
Daktronics Inc. | 561,804 | 6,697 | |
* | Maxwell Technologies Inc. | 437,029 | 6,612 |
* | Furmanite Corp. | 566,175 | 6,590 |
Kadant Inc. | 170,948 | 6,573 | |
* | Builders FirstSource Inc. | 862,500 | 6,452 |
Landauer Inc. | 152,794 | 6,417 | |
* | American Woodmark Corp. | 200,423 | 6,387 |
Alamo Group Inc. | 116,813 | 6,318 |
42
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | PGT Inc. | 744,369 | 6,305 |
* | CAI International Inc. | 285,565 | 6,285 |
Douglas Dynamics Inc. | 356,522 | 6,282 | |
* | Mistras Group Inc. | 254,761 | 6,247 |
* | Quality Distribution Inc. | 409,198 | 6,081 |
Ennis Inc. | 397,198 | 6,061 | |
* | GSI Group Inc. | 470,081 | 5,984 |
Argan Inc. | 159,517 | 5,948 | |
* | CBIZ Inc. | 658,275 | 5,944 |
* | Northwest Pipe Co. | 145,113 | 5,852 |
Black Box Corp. | 247,075 | 5,791 | |
* | InnerWorkings Inc. | 661,185 | 5,620 |
* | ServiceSource International Inc. | 965,805 | 5,602 |
* | Kratos Defense & Security Solutions Inc. | 716,800 | 5,591 |
* | Lionbridge Technologies Inc. | 933,668 | 5,546 |
* | Patrick Industries Inc. | 118,862 | 5,538 |
Insteel Industries Inc. | 276,269 | 5,429 | |
Global Brass & Copper Holdings Inc. | 319,022 | 5,391 | |
Barrett Business Services Inc. | 112,026 | 5,265 | |
* | Landec Corp. | 413,773 | 5,168 |
* | Echo Global Logistics Inc. | 266,459 | 5,108 |
Electro Rent Corp. | 304,296 | 5,091 | |
Twin Disc Inc. | 153,504 | 5,073 | |
* | US Concrete Inc. | 203,054 | 5,026 |
Graham Corp. | 143,318 | 4,989 | |
Ceco Environmental Corp. | 319,401 | 4,979 | |
*,^ | Nuverra Environmental Solutions Inc. | 246,327 | 4,954 |
* | Dice Holdings Inc. | 647,439 | 4,927 |
* | Power Solutions International Inc. | 67,701 | 4,872 |
Dynamic Materials Corp. | 217,127 | 4,805 | |
FreightCar America Inc. | 191,431 | 4,793 | |
* | Orion Marine Group Inc. | 440,667 | 4,772 |
Heidrick & Struggles International Inc. | 256,765 | 4,750 | |
* | Stock Building Supply Holdings Inc. | 232,713 | 4,591 |
VSE Corp. | 64,433 | 4,531 | |
* | M/A-COM Technology Solutions Holdings Inc. | 193,851 | 4,358 |
* | Ducommun Inc. | 162,081 | 4,235 |
* | Pike Corp. | 465,820 | 4,174 |
* | AM Castle & Co. | 363,619 | 4,014 |
* | Layne Christensen Co. | 300,016 | 3,990 |
* | Commercial Vehicle Group Inc. | 395,716 | 3,973 |
Global Power Equipment Group Inc. | 243,906 | 3,942 | |
Bel Fuse Inc. Class B | 149,855 | 3,847 | |
* | NVE Corp. | 68,785 | 3,824 |
Universal Truckload Services Inc. | 150,141 | 3,808 | |
* | Kemet Corp. | 653,180 | 3,756 |
Mesa Laboratories Inc. | 44,727 | 3,755 | |
Universal Technical Institute Inc. | 308,505 | 3,745 | |
* | Franklin Covey Co. | 185,605 | 3,736 |
* | Sparton Corp. | 131,272 | 3,641 |
NACCO Industries Inc. Class A | 71,825 | 3,634 | |
* | ARC Document Solutions Inc. | 590,682 | 3,461 |
* | PowerSecure International Inc. | 346,780 | 3,378 |
* | Ply Gem Holdings Inc. | 330,846 | 3,342 |
* | Cenveo Inc. | 890,175 | 3,303 |
* | Continental Building Products Inc. | 214,086 | 3,297 |
* | CRA International Inc. | 143,014 | 3,296 |
Houston Wire & Cable Co. | 262,955 | 3,263 | |
*,^ | Control4 Corp. | 165,602 | 3,239 |
* | Manitex International Inc. | 197,636 | 3,210 |
* | Rubicon Technology Inc. | 364,833 | 3,192 |
* | Patriot Transportation Holding Inc. | 90,221 | 3,155 |
* | Paylocity Holding Corp. | 145,414 | 3,145 |
CDI Corp. | 215,285 | 3,102 |
43
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Miller Industries Inc. | 149,815 | 3,083 | |
* | Vishay Precision Group Inc. | 186,591 | 3,071 |
* | Aeroflex Holding Corp. | 291,012 | 3,056 |
* | Accuride Corp. | 620,313 | 3,033 |
*,^ | Energy Recovery Inc. | 582,254 | 2,865 |
Electro Scientific Industries Inc. | 412,108 | 2,806 | |
* | Heritage-Crystal Clean Inc. | 142,796 | 2,803 |
* | Casella Waste Systems Inc. Class A | 544,417 | 2,728 |
* | Cross Country Healthcare Inc. | 412,005 | 2,686 |
* | Hill International Inc. | 428,574 | 2,670 |
* | PRGX Global Inc. | 414,807 | 2,651 |
* | Intevac Inc. | 326,226 | 2,613 |
* | CUI Global Inc. | 309,465 | 2,600 |
* | Willis Lease Finance Corp. | 105,689 | 2,591 |
LSI Industries Inc. | 321,598 | 2,566 | |
* | Xerium Technologies Inc. | 176,654 | 2,466 |
* | Sterling Construction Co. Inc. | 256,782 | 2,409 |
* | USA Truck Inc. | 128,180 | 2,383 |
* | Covenant Transportation Group Inc. Class A | 183,964 | 2,369 |
Hurco Cos. Inc. | 83,745 | 2,362 | |
*,^ | ModusLink Global Solutions Inc. | 627,988 | 2,349 |
* | Installed Building Products Inc. | 190,740 | 2,337 |
* | AEP Industries Inc. | 65,019 | 2,267 |
*,^ | Odyssey Marine Exploration Inc. | 1,346,953 | 2,263 |
* | LMI Aerospace Inc. | 169,718 | 2,220 |
Crawford & Co. Class B | 219,434 | 2,212 | |
* | General Finance Corp. | 220,467 | 2,094 |
* | Vicor Corp. | 245,084 | 2,054 |
* | Ameresco Inc. Class A | 288,977 | 2,032 |
Richardson Electronics Ltd. | 193,571 | 2,027 | |
*,^ | Erickson Inc. | 123,800 | 2,012 |
* | Vertex Energy Inc. | 204,469 | 1,985 |
International Shipholding Corp. | 85,811 | 1,967 | |
United States Lime & Minerals Inc. | 30,170 | 1,955 | |
Spartan Motors Inc. | 426,457 | 1,936 | |
Hardinge Inc. | 152,003 | 1,923 | |
* | Broadwind Energy Inc. | 218,314 | 1,915 |
* | UFP Technologies Inc. | 79,239 | 1,909 |
* | Hudson Global Inc. | 474,677 | 1,865 |
* | Higher One Holdings Inc. | 488,907 | 1,863 |
* | Information Services Group Inc. | 374,711 | 1,802 |
* | Adept Technology Inc. | 170,982 | 1,794 |
* | Innovative Solutions & Support Inc. | 238,921 | 1,778 |
* | Turtle Beach Corp. | 191,477 | 1,769 |
Crawford & Co. Class A | 214,622 | 1,738 | |
* | PAM Transportation Services Inc. | 61,693 | 1,725 |
Perceptron Inc. | 131,500 | 1,677 | |
* | Synthesis Energy Systems Inc. | 888,787 | 1,671 |
* | Multi-Fineline Electronix Inc. | 147,819 | 1,632 |
*,^ | Research Frontiers Inc. | 267,894 | 1,623 |
* | Norcraft Cos. Inc. | 112,574 | 1,611 |
* | National Research Corp. Class A | 109,276 | 1,529 |
* | TRC Cos. Inc. | 238,677 | 1,485 |
* | Arotech Corp. | 330,640 | 1,475 |
* | American Superconductor Corp. | 884,247 | 1,441 |
* | API Technologies Corp. | 523,268 | 1,434 |
* | Orion Energy Systems Inc. | 346,841 | 1,412 |
* | Planet Payment Inc. | 495,390 | 1,407 |
* | Fuel Tech Inc. | 249,091 | 1,405 |
* | CPI Aerostructures Inc. | 109,472 | 1,387 |
* | StarTek Inc. | 174,800 | 1,349 |
*,^ | PMFG Inc. | 255,932 | 1,349 |
*,^ | UQM Technologies Inc. | 571,958 | 1,298 |
Lincoln Educational Services Corp. | 287,925 | 1,293 |
44
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | MicroVision Inc. | 626,825 | 1,260 |
* | Huttig Building Products Inc. | 265,996 | 1,256 |
* | PFSweb Inc. | 146,332 | 1,215 |
* | Rand Logistics Inc. | 200,207 | 1,201 |
*,^ | Revolution Lighting Technologies Inc. | 522,267 | 1,201 |
* | Echelon Corp. | 494,283 | 1,201 |
* | Supreme Industries Inc. Class A | 184,123 | 1,197 |
* | Aspen Aerogels Inc. | 107,000 | 1,182 |
* | Magnetek Inc. | 49,099 | 1,171 |
* | Lawson Products Inc. | 71,807 | 1,170 |
* | Tecumseh Products Co. | 218,170 | 1,110 |
* | SL Industries Inc. | 36,728 | 1,083 |
* | Newtek Business Services Inc. | 391,173 | 1,072 |
Eastern Co. | 67,410 | 1,041 | |
* | Frequency Electronics Inc. | 79,528 | 979 |
*,^ | Document Security Systems Inc. | 708,006 | 970 |
*,^ | ClearSign Combustion Corp. | 105,492 | 968 |
Hubbell Inc. Class A | 7,600 | 955 | |
* | NAPCO Security Technologies Inc. | 172,926 | 939 |
* | Hudson Technologies Inc. | 324,741 | 939 |
* | MFRI Inc. | 78,341 | 894 |
Omega Flex Inc. | 44,518 | 873 | |
* | BlueLinx Holdings Inc. | 597,002 | 836 |
* | Key Technology Inc. | 67,025 | 826 |
* | Metalico Inc. | 651,835 | 808 |
* | CyberOptics Corp. | 100,886 | 806 |
*,^ | Eagle Bulk Shipping Inc. | 256,863 | 794 |
* | Mattersight Corp. | 147,353 | 782 |
MOCON Inc. | 48,551 | 768 | |
* | Sharps Compliance Corp. | 170,825 | 752 |
Allied Motion Technologies Inc. | 49,824 | 721 | |
* | Swisher Hygiene Inc. | 167,708 | 721 |
Sypris Solutions Inc. | 127,911 | 714 | |
* | Iteris Inc. | 416,553 | 708 |
RF Industries Ltd. | 115,248 | 690 | |
* | Active Power Inc. | 244,883 | 676 |
* | Viasystems Group Inc. | 61,452 | 669 |
* | Perma-Fix Environmental Services | 144,397 | 664 |
*,^ | National Research Corp. Class B | 16,870 | 659 |
* | Essex Rental Corp. | 267,152 | 649 |
* | Radiant Logistics Inc. | 209,074 | 646 |
* | Ballantyne Strong Inc. | 154,532 | 646 |
* | ENGlobal Corp. | 206,071 | 643 |
* | Astrotech Corp. | 192,545 | 612 |
Espey Manufacturing & Electronics Corp. | 24,066 | 605 | |
* | Planar Systems Inc. | 242,072 | 593 |
SIFCO Industries Inc. | 18,813 | 587 | |
Air Industries Group | 54,516 | 583 | |
*,^ | Lightbridge Corp. | 199,245 | 552 |
* | American DG Energy Inc. | 306,165 | 551 |
* | CTPartners Executive Search Inc. | 58,402 | 546 |
* | Goldfield Corp. | 304,041 | 523 |
* | Wireless Telecom Group Inc. | 191,450 | 511 |
* | Ultralife Corp. | 130,401 | 501 |
* | American Electric Technologies Inc. | 72,650 | 494 |
* | Transcat Inc. | 47,294 | 485 |
* | Breeze-Eastern Corp. | 37,716 | 481 |
* | Elecsys Corp. | 37,904 | 458 |
* | Gencor Industries Inc. | 40,245 | 443 |
* | eMagin Corp. | 178,864 | 399 |
* | Willdan Group Inc. | 43,817 | 380 |
* | Standard Register Co. | 63,708 | 359 |
* | Integrated Electrical Services Inc. | 54,291 | 355 |
* | IEC Electronics Corp. | 77,291 | 336 |
45
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | LiqTech International Inc. | 167,745 | 332 |
*,^ | Spherix Inc. | 164,202 | 294 |
Chicago Rivet & Machine Co. | 7,646 | 283 | |
* | Appliance Recycling Centers of America Inc. | 68,659 | 274 |
* | Sigmatron International Inc. | 22,072 | 266 |
Bel Fuse Inc. Class A | 10,580 | 260 | |
* | AMREP Corp. | 41,386 | 254 |
* | Video Display Corp. | 75,730 | 251 |
* | Industrial Services of America Inc. | 48,129 | 241 |
* | Pioneer Power Solutions Inc. | 26,639 | 230 |
* | Asure Software Inc. | 37,646 | 227 |
* | Altair Nanotechnologies Inc. | 62,718 | 215 |
* | Onvia Inc. | 37,538 | 173 |
* | BTU International Inc. | 51,015 | 167 |
* | Lightpath Technologies Inc. Class A | 114,699 | 156 |
* | Sevcon Inc. | 18,133 | 149 |
*,^ | Professional Diversity Network | 36,596 | 145 |
* | Cartesian Inc. | 32,194 | 139 |
* | Versar Inc. | 42,623 | 139 |
AMCON Distributing Co. | 1,617 | 131 | |
* | Pulse Electronics Corp. | 52,172 | 130 |
Ecology and Environment Inc. | 11,580 | 121 | |
EnviroStar Inc. | 47,600 | 119 | |
* | Coast Distribution System Inc. | 38,332 | 119 |
* | Continental Materials Corp. | 7,139 | 115 |
* | Image Sensing Systems Inc. | 30,341 | 100 |
* | Advanced Photonix Inc. Class A | 162,688 | 99 |
* | Luna Innovations Inc. | 65,907 | 90 |
* | Air T Inc. | 6,902 | 90 |
* | DLH Holdings Corp. | 47,352 | 90 |
* | Nortech Systems Inc. | 17,942 | 88 |
* | Taylor Devices Inc. | 9,515 | 85 |
* | Micronet Enertec Technologies Inc. | 19,850 | 84 |
* | Vicon Industries Inc. | 27,360 | 69 |
* | AeroCentury Corp. | 3,772 | 60 |
Art's-Way Manufacturing Co. Inc. | 7,269 | 42 | |
* | Servotronics Inc. | 4,914 | 35 |
WSI Industries Inc. | 4,099 | 35 | |
* | LGL Group Inc. | 7,118 | 34 |
* | Lime Energy Co. | 11,689 | 30 |
* | Wells-Gardner Electronics Corp. | 21,000 | 29 |
* | Sutron Corp. | 2,453 | 13 |
* | Avalon Holdings Corp. Class A | 2,726 | 12 |
* | Command Security Corp. | 5,927 | 11 |
* | Digital Ally Inc. | 2,200 | 7 |
* | Methes Energies International Ltd. | 3,315 | 6 |
* | Electro-Sensors Inc. | 1,300 | 6 |
* | Orbit International Corp. | 1,600 | 5 |
* | LGL Group Inc. Warrants Exp. 06/08/2018 | 3,000 | — |
44,697,817 | |||
Oil & Gas (9.7%) | |||
Exxon Mobil Corp. | 68,317,679 | 6,878,224 | |
Chevron Corp. | 30,281,320 | 3,953,226 | |
Schlumberger Ltd. | 20,688,912 | 2,440,257 | |
ConocoPhillips | 19,525,891 | 1,673,955 | |
Occidental Petroleum Corp. | 12,498,490 | 1,282,720 | |
EOG Resources Inc. | 8,700,267 | 1,016,713 | |
Halliburton Co. | 12,761,428 | 906,189 | |
Anadarko Petroleum Corp. | 8,037,660 | 879,883 | |
Phillips 66 | 9,005,159 | 724,285 | |
Apache Corp. | 6,135,589 | 617,363 | |
Williams Cos. Inc. | 10,582,586 | 616,012 | |
National Oilwell Varco Inc. | 6,825,556 | 562,085 | |
Pioneer Natural Resources Co. | 2,277,454 | 523,382 |
46
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Baker Hughes Inc. | 6,937,639 | 516,507 | |
Devon Energy Corp. | 6,166,244 | 489,600 | |
Hess Corp. | 4,493,634 | 444,375 | |
Noble Energy Inc. | 5,731,031 | 443,926 | |
Marathon Oil Corp. | 10,757,174 | 429,426 | |
Valero Energy Corp. | 8,485,206 | 425,109 | |
Kinder Morgan Inc. | 10,635,688 | 385,650 | |
Marathon Petroleum Corp. | 4,134,541 | 322,784 | |
Chesapeake Energy Corp. | 9,522,311 | 295,953 | |
* | Concho Resources Inc. | 1,778,268 | 256,960 |
* | Southwestern Energy Co. | 5,618,242 | 255,574 |
* | Weatherford International plc | 11,049,617 | 254,141 |
EQT Corp. | 2,296,546 | 245,501 | |
* | Cheniere Energy Inc. | 3,409,973 | 244,495 |
* | FMC Technologies Inc. | 3,742,970 | 228,583 |
Cabot Oil & Gas Corp. | 6,648,869 | 226,992 | |
* | Cameron International Corp. | 3,247,489 | 219,887 |
Range Resources Corp. | 2,475,472 | 215,242 | |
Ensco plc Class A | 3,712,206 | 206,287 | |
Cimarex Energy Co. | 1,384,657 | 198,643 | |
Helmerich & Payne Inc. | 1,623,127 | 188,461 | |
Murphy Oil Corp. | 2,721,284 | 180,911 | |
* | Whiting Petroleum Corp. | 1,890,426 | 151,707 |
HollyFrontier Corp. | 3,166,690 | 138,353 | |
Noble Corp. plc | 4,035,554 | 135,433 | |
Oceaneering International Inc. | 1,716,779 | 134,132 | |
Nabors Industries Ltd. | 4,479,516 | 131,563 | |
OGE Energy Corp. | 3,163,576 | 123,633 | |
Tesoro Corp. | 2,060,529 | 120,891 | |
Core Laboratories NV | 714,669 | 119,393 | |
* | Continental Resources Inc. | 742,439 | 117,335 |
Denbury Resources Inc. | 5,641,913 | 104,150 | |
Energen Corp. | 1,152,837 | 102,464 | |
* | Newfield Exploration Co. | 2,165,303 | 95,706 |
Superior Energy Services Inc. | 2,509,523 | 90,694 | |
* | Cobalt International Energy Inc. | 4,905,977 | 90,025 |
SM Energy Co. | 1,065,717 | 89,627 | |
QEP Resources Inc. | 2,566,715 | 88,552 | |
* | Gulfport Energy Corp. | 1,355,762 | 85,142 |
* | First Solar Inc. | 1,188,550 | 84,458 |
Targa Resources Corp. | 604,085 | 84,312 | |
* | Dresser-Rand Group Inc. | 1,210,041 | 77,116 |
* | WPX Energy Inc. | 3,208,190 | 76,708 |
* | Oasis Petroleum Inc. | 1,363,883 | 76,227 |
Patterson-UTI Energy Inc. | 2,176,081 | 76,032 | |
* | Ultra Petroleum Corp. | 2,314,103 | 68,706 |
* | Dril-Quip Inc. | 616,707 | 67,369 |
Rowan Cos. plc Class A | 1,985,455 | 63,396 | |
* | NOW Inc. | 1,710,947 | 61,953 |
* | Kodiak Oil & Gas Corp. | 4,242,849 | 61,733 |
* | Diamondback Energy Inc. | 647,074 | 57,460 |
* | Antero Resources Corp. | 835,052 | 54,804 |
^ | Diamond Offshore Drilling Inc. | 1,101,574 | 54,671 |
* | Unit Corp. | 788,524 | 54,274 |
* | Oil States International Inc. | 844,008 | 54,092 |
SemGroup Corp. Class A | 681,655 | 53,748 | |
* | Rosetta Resources Inc. | 974,604 | 53,457 |
*,^ | SandRidge Energy Inc. | 7,467,538 | 53,393 |
* | Atwood Oceanics Inc. | 978,861 | 51,371 |
CARBO Ceramics Inc. | 313,334 | 48,291 | |
* | Carrizo Oil & Gas Inc. | 648,731 | 44,931 |
Tidewater Inc. | 796,912 | 44,747 | |
Bristow Group Inc. | 541,715 | 43,673 | |
* | MRC Global Inc. | 1,543,686 | 43,671 |
47
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Exterran Holdings Inc. | 946,871 | 42,600 | |
* | Civeo Corp. | 1,688,507 | 42,263 |
* | Athlon Energy Inc. | 860,133 | 41,028 |
* | Helix Energy Solutions Group Inc. | 1,538,120 | 40,468 |
* | Chart Industries Inc. | 482,868 | 39,952 |
* | Laredo Petroleum Inc. | 1,265,394 | 39,202 |
* | Stone Energy Corp. | 835,147 | 39,077 |
*,^ | GT Advanced Technologies Inc. | 2,042,829 | 37,997 |
PBF Energy Inc. Class A | 1,397,414 | 37,241 | |
* | PDC Energy Inc. | 567,045 | 35,809 |
* | Forum Energy Technologies Inc. | 972,215 | 35,418 |
*,^ | SunPower Corp. Class A | 834,095 | 34,181 |
Energy XXI Bermuda Ltd. | 1,409,789 | 33,313 | |
* | Sanchez Energy Corp. | 833,284 | 31,323 |
Western Refining Inc. | 829,426 | 31,145 | |
*,^ | McDermott International Inc. | 3,774,859 | 30,539 |
* | Matador Resources Co. | 986,574 | 28,887 |
* | Bonanza Creek Energy Inc. | 476,651 | 27,260 |
*,^ | Halcon Resources Corp. | 3,697,780 | 26,957 |
* | Flotek Industries Inc. | 795,569 | 25,586 |
* | SEACOR Holdings Inc. | 310,847 | 25,567 |
RPC Inc. | 1,070,696 | 25,151 | |
* | Magnum Hunter Resources Corp. | 3,050,889 | 25,017 |
* | Rice Energy Inc. | 808,066 | 24,606 |
* | Hornbeck Offshore Services Inc. | 515,177 | 24,172 |
Delek US Holdings Inc. | 843,235 | 23,805 | |
* | C&J Energy Services Inc. | 700,177 | 23,652 |
* | Basic Energy Services Inc. | 742,681 | 21,701 |
Pattern Energy Group Inc. Class A | 655,289 | 21,697 | |
* | Bill Barrett Corp. | 734,392 | 19,667 |
Comstock Resources Inc. | 676,392 | 19,507 | |
* | Key Energy Services Inc. | 2,062,336 | 18,850 |
^ | EXCO Resources Inc. | 3,133,389 | 18,456 |
* | Penn Virginia Corp. | 1,039,484 | 17,619 |
Gulfmark Offshore Inc. | 382,357 | 17,275 | |
* | Pioneer Energy Services Corp. | 978,470 | 17,162 |
* | Newpark Resources Inc. | 1,304,529 | 16,254 |
Green Plains Inc. | 487,675 | 16,030 | |
*,^ | Goodrich Petroleum Corp. | 561,782 | 15,505 |
* | Northern Oil and Gas Inc. | 932,132 | 15,184 |
* | Triangle Petroleum Corp. | 1,221,017 | 14,347 |
* | EP Energy Corp. Class A | 609,888 | 14,058 |
* | TETRA Technologies Inc. | 1,179,435 | 13,894 |
* | Rex Energy Corp. | 772,858 | 13,687 |
* | Clayton Williams Energy Inc. | 98,854 | 13,580 |
^ | CVR Energy Inc. | 281,157 | 13,549 |
* | Matrix Service Co. | 397,917 | 13,048 |
* | Approach Resources Inc. | 565,179 | 12,847 |
* | Parker Drilling Co. | 1,830,096 | 11,932 |
* | RSP Permian Inc. | 349,411 | 11,335 |
*,^ | Plug Power Inc. | 2,369,081 | 11,087 |
Tesco Corp. | 513,048 | 10,948 | |
* | Geospace Technologies Corp. | 195,621 | 10,775 |
* | Contango Oil & Gas Co. | 250,631 | 10,604 |
* | Abraxas Petroleum Corp. | 1,569,545 | 9,825 |
*,^ | Solazyme Inc. | 825,209 | 9,721 |
* | Hercules Offshore Inc. | 2,385,978 | 9,592 |
* | Resolute Energy Corp. | 1,085,397 | 9,378 |
*,^ | CAMAC Energy Inc. | 13,173,658 | 9,222 |
W&T Offshore Inc. | 541,347 | 8,862 | |
* | ION Geophysical Corp. | 2,064,380 | 8,712 |
*,^ | Swift Energy Co. | 644,113 | 8,361 |
* | PHI Inc. | 186,728 | 8,322 |
*,^ | FuelCell Energy Inc. | 3,434,107 | 8,242 |
48
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Gastar Exploration Inc. | 913,594 | 7,957 |
* | Willbros Group Inc. | 626,202 | 7,734 |
* | REX American Resources Corp. | 100,036 | 7,334 |
* | Warren Resources Inc. | 1,179,772 | 7,315 |
* | Callon Petroleum Co. | 625,288 | 7,285 |
* | PetroQuest Energy Inc. | 875,749 | 6,586 |
*,^ | Emerald Oil Inc. | 832,546 | 6,369 |
* | VAALCO Energy Inc. | 863,828 | 6,245 |
* | Natural Gas Services Group Inc. | 188,122 | 6,219 |
Panhandle Oil and Gas Inc. Class A | 109,024 | 6,109 | |
* | Vantage Drilling Co. | 2,854,299 | 5,480 |
*,^ | Quicksilver Resources Inc. | 2,027,666 | 5,414 |
* | Ring Energy Inc. | 305,400 | 5,329 |
* | Renewable Energy Group Inc. | 452,028 | 5,185 |
*,^ | BPZ Resources Inc. | 1,578,148 | 4,861 |
Alon USA Energy Inc. | 382,434 | 4,757 | |
*,^ | Pacific Ethanol Inc. | 298,301 | 4,561 |
* | Forest Oil Corp. | 1,852,114 | 4,223 |
Gulf Island Fabrication Inc. | 190,669 | 4,103 | |
* | Jones Energy Inc. | 189,861 | 3,892 |
Equal Energy Ltd. | 685,651 | 3,716 | |
* | Eclipse Resources Corp. | 147,594 | 3,709 |
*,^ | Midstates Petroleum Co. Inc. | 500,048 | 3,615 |
Dawson Geophysical Co. | 123,861 | 3,549 | |
* | American Eagle Energy Corp. | 556,864 | 3,336 |
*,^ | Miller Energy Resources Inc. | 518,686 | 3,320 |
* | Harvest Natural Resources Inc. | 663,569 | 3,311 |
* | Trecora Resources | 265,619 | 3,145 |
Bolt Technology Corp. | 161,907 | 2,971 | |
* | FX Energy Inc. | 799,906 | 2,888 |
Evolution Petroleum Corp. | 250,874 | 2,747 | |
* | Ignyta Inc. | 290,253 | 2,638 |
Adams Resources & Energy Inc. | 32,683 | 2,554 | |
* | Mitcham Industries Inc. | 171,736 | 2,401 |
*,^ | Enphase Energy Inc. | 269,648 | 2,305 |
* | Memorial Resource Development Corp. | 85,875 | 2,092 |
*,^ | Cal Dive International Inc. | 1,513,953 | 1,998 |
*,^ | Amyris Inc. | 471,488 | 1,759 |
* | US Energy Corp. Wyoming | 397,927 | 1,723 |
* | Isramco Inc. | 13,155 | 1,672 |
*,^ | Real Goods Solar Inc. Class A | 485,238 | 1,446 |
* | Magellan Petroleum Corp. | 634,533 | 1,396 |
*,^ | Hyperdynamics Corp. | 374,527 | 1,217 |
* | TGC Industries Inc. | 211,525 | 1,153 |
*,^ | Endeavour International Corp. | 739,615 | 1,013 |
* | Forbes Energy Services Ltd. | 187,390 | 856 |
*,^ | PEDEVCO Corp. | 380,260 | 772 |
* | Zion Oil & Gas Inc. | 363,936 | 753 |
*,^ | Gevo Inc. | 728,825 | 627 |
* | Escalera Resources Co. | 215,701 | 568 |
* | SAExploration Holdings Inc. | 63,685 | 539 |
*,^ | Royale Energy Inc. | 153,535 | 536 |
*,^ | Torchlight Energy Resources Inc. | 124,868 | 514 |
* | Ideal Power Inc. | 53,618 | 495 |
* | Saratoga Resources Inc. | 279,423 | 492 |
*,^ | ZaZa Energy Corp. | 496,916 | 437 |
*,^ | Ocean Power Technologies Inc. | 258,739 | 424 |
* | Syntroleum Corp. | 125,828 | 422 |
* | BioFuel Energy Corp. | 57,770 | 397 |
* | GreenHunter Resources Inc. | 156,169 | 309 |
* | PostRock Energy Corp. | 196,388 | 295 |
* | PrimeEnergy Corp. | 4,540 | 291 |
* | Earthstone Energy Inc. | 8,239 | 278 |
* | STR Holdings Inc. | 204,482 | 276 |
49
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | MagneGas Corp. | 132,000 | 197 |
* | Ascent Solar Technologies Inc. | 463,367 | 195 |
* | Houston American Energy Corp. | 411,523 | 189 |
*,^ | KiOR Inc. | 408,208 | 147 |
* | FieldPoint Petroleum Corp. | 26,309 | 145 |
* | Enservco Corp. | 48,335 | 125 |
* | Lilis Energy Inc. | 47,957 | 84 |
* | Lucas Energy Inc. | 143,718 | 83 |
* | Tengasco Inc. | 170,940 | 75 |
* | Mexco Energy Corp. | 6,750 | 56 |
* | PHI Inc. | 1,400 | 56 |
* | Pyramid Oil Co. | 5,300 | 31 |
33,741,041 | |||
Other (0.0%) | |||
* | Leap Wireless International Inc CVR | 872,848 | 2,200 |
* | Adolor Corp. Rights Exp. 07/01/2019 | 592,629 | 308 |
* | Chelsea Therapeutics International Ltd. CVR | 1,157,305 | 127 |
* | NuPathe Inc. CVR | 158,681 | 95 |
* | Omthera Pharmaceuticals Inc. CVR | 121,311 | 73 |
*,^ | Cubist Pharmaceuticals, Inc. CVR | 511,822 | 67 |
* | Southern Community Financial Corp | 197,337 | 43 |
2,913 | |||
Technology (15.3%) | |||
Apple Inc. | 95,942,967 | 8,915,980 | |
Microsoft Corp. | 118,295,378 | 4,932,917 | |
International Business Machines Corp. | 16,103,134 | 2,919,015 | |
* | Google Inc. Class A | 4,496,043 | 2,628,701 |
* | Google Inc. Class C | 4,547,977 | 2,616,360 |
Intel Corp. | 79,204,462 | 2,447,418 | |
Oracle Corp. | 53,214,959 | 2,156,802 | |
* | Facebook Inc. Class A | 31,727,330 | 2,134,932 |
QUALCOMM Inc. | 26,846,485 | 2,126,242 | |
Cisco Systems Inc. | 81,507,324 | 2,025,457 | |
Hewlett-Packard Co. | 30,168,414 | 1,016,072 | |
EMC Corp. | 32,545,951 | 857,260 | |
Texas Instruments Inc. | 17,190,697 | 821,543 | |
* | Micron Technology Inc. | 17,032,134 | 561,209 |
* | Adobe Systems Inc. | 7,530,129 | 544,880 |
* | salesforce.com inc | 9,291,028 | 539,623 |
* | Yahoo! Inc. | 14,415,777 | 506,426 |
* | Cognizant Technology Solutions Corp. Class A | 9,675,993 | 473,253 |
Corning Inc. | 20,810,237 | 456,785 | |
Applied Materials Inc. | 19,382,025 | 437,065 | |
SanDisk Corp. | 3,592,915 | 375,208 | |
Intuit Inc. | 4,283,828 | 344,977 | |
Western Digital Corp. | 3,560,856 | 328,667 | |
Broadcom Corp. Class A | 8,506,585 | 315,764 | |
* | Twitter Inc. | 7,042,297 | 288,523 |
Seagate Technology plc | 4,935,791 | 280,452 | |
Analog Devices Inc. | 4,982,512 | 269,404 | |
Avago Technologies Ltd. Class A | 3,578,598 | 257,910 | |
* | Cerner Corp. | 4,929,916 | 254,285 |
Symantec Corp. | 11,008,664 | 252,098 | |
Motorola Solutions Inc. | 3,638,014 | 242,183 | |
* | Autodesk Inc. | 3,607,005 | 203,363 |
Xilinx Inc. | 4,254,968 | 201,303 | |
NetApp Inc. | 5,272,022 | 192,534 | |
KLA-Tencor Corp. | 2,650,252 | 192,514 | |
Linear Technology Corp. | 3,752,652 | 176,637 | |
* | Juniper Networks Inc. | 7,171,992 | 176,001 |
Lam Research Corp. | 2,580,792 | 174,410 | |
Altera Corp. | 4,994,916 | 173,623 | |
* | Red Hat Inc. | 3,016,213 | 166,706 |
* | Equinix Inc. | 785,908 | 165,111 |
50
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Akamai Technologies Inc. | 2,696,631 | 164,656 |
* | Citrix Systems Inc. | 2,611,080 | 163,323 |
NVIDIA Corp. | 8,457,286 | 156,798 | |
Maxim Integrated Products Inc. | 4,485,130 | 151,642 | |
Microchip Technology Inc. | 3,012,024 | 147,017 | |
Computer Sciences Corp. | 2,308,930 | 145,924 | |
* | Catamaran Corp. | 3,290,983 | 145,330 |
CA Inc. | 4,969,262 | 142,817 | |
Skyworks Solutions Inc. | 3,004,868 | 141,109 | |
* | Workday Inc. Class A | 1,501,801 | 134,952 |
* | F5 Networks Inc. | 1,200,841 | 133,822 |
* | VMware Inc. Class A | 1,352,496 | 130,935 |
Harris Corp. | 1,695,685 | 128,448 | |
* | ServiceNow Inc. | 1,958,405 | 121,343 |
^ | Garmin Ltd. | 1,863,263 | 113,473 |
* | ANSYS Inc. | 1,474,786 | 111,818 |
* | VeriSign Inc. | 2,109,633 | 102,971 |
* | Teradata Corp. | 2,517,550 | 101,205 |
*,^ | 3D Systems Corp. | 1,653,991 | 98,909 |
* | Gartner Inc. | 1,387,353 | 97,836 |
* | Cree Inc. | 1,937,342 | 96,770 |
* | Synopsys Inc. | 2,451,536 | 95,169 |
* | NCR Corp. | 2,656,719 | 93,224 |
Marvell Technology Group Ltd. | 6,454,309 | 92,490 | |
Pitney Bowes Inc. | 3,216,013 | 88,826 | |
* | Splunk Inc. | 1,588,909 | 87,914 |
* | SunEdison Inc. | 3,842,437 | 86,839 |
IAC/InterActiveCorp | 1,216,261 | 84,202 | |
* | Palo Alto Networks Inc. | 985,364 | 82,623 |
* | MICROS Systems Inc. | 1,188,426 | 80,694 |
* | Cadence Design Systems Inc. | 4,572,651 | 79,976 |
* | athenahealth Inc. | 605,120 | 75,719 |
* | Nuance Communications Inc. | 4,027,017 | 75,587 |
Solera Holdings Inc. | 1,100,804 | 73,919 | |
* | PTC Inc. | 1,890,486 | 73,351 |
* | Ingram Micro Inc. | 2,456,113 | 71,743 |
* | Aspen Technology Inc. | 1,472,617 | 68,329 |
* | ARRIS Group Inc. | 2,062,292 | 67,086 |
* | Concur Technologies Inc. | 717,423 | 66,964 |
* | VeriFone Systems Inc. | 1,766,304 | 64,912 |
* | ON Semiconductor Corp. | 7,025,709 | 64,215 |
Brocade Communications Systems Inc. | 6,886,408 | 63,355 | |
* | Informatica Corp. | 1,737,298 | 61,935 |
Teradyne Inc. | 3,109,171 | 60,940 | |
* | Rackspace Hosting Inc. | 1,803,716 | 60,713 |
* | Atmel Corp. | 6,426,005 | 60,212 |
* | Ultimate Software Group Inc. | 426,066 | 58,870 |
* | Fortinet Inc. | 2,067,565 | 51,958 |
* | Synaptics Inc. | 569,174 | 51,590 |
DST Systems Inc. | 554,698 | 51,127 | |
* | Riverbed Technology Inc. | 2,443,666 | 50,413 |
* | SS&C Technologies Holdings Inc. | 1,118,948 | 49,480 |
* | AOL Inc. | 1,205,740 | 47,976 |
Lexmark International Inc. Class A | 986,233 | 47,497 | |
* | TIBCO Software Inc. | 2,351,743 | 47,435 |
CDW Corp. | 1,468,402 | 46,813 | |
* | NetSuite Inc. | 535,888 | 46,558 |
* | Verint Systems Inc. | 940,643 | 46,139 |
*,^ | FireEye Inc. | 1,137,268 | 46,116 |
* | JDS Uniphase Corp. | 3,683,126 | 45,929 |
Leidos Holdings Inc. | 1,197,145 | 45,899 | |
* | Tableau Software Inc. Class A | 638,916 | 45,574 |
* | Tyler Technologies Inc. | 497,838 | 45,408 |
* | RF Micro Devices Inc. | 4,562,189 | 43,751 |
51
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Allscripts Healthcare Solutions Inc. | 2,709,307 | 43,484 |
* | TriQuint Semiconductor Inc. | 2,734,578 | 43,234 |
* | Cavium Inc. | 850,276 | 42,225 |
* | Manhattan Associates Inc. | 1,212,776 | 41,756 |
* | Guidewire Software Inc. | 1,018,054 | 41,394 |
*,^ | Advanced Micro Devices Inc. | 9,767,588 | 40,926 |
* | Microsemi Corp. | 1,511,994 | 40,461 |
* | Freescale Semiconductor Ltd. | 1,701,860 | 39,994 |
* | SolarWinds Inc. | 1,011,747 | 39,114 |
Hittite Microwave Corp. | 499,659 | 38,948 | |
* | ViaSat Inc. | 662,821 | 38,417 |
* | Dealertrack Technologies Inc. | 823,262 | 37,327 |
Diebold Inc. | 921,941 | 37,034 | |
* | Tech Data Corp. | 588,088 | 36,767 |
* | EchoStar Corp. Class A | 689,688 | 36,512 |
j2 Global Inc. | 712,091 | 36,217 | |
* | Rovi Corp. | 1,499,675 | 35,932 |
Mentor Graphics Corp. | 1,656,857 | 35,738 | |
Fair Isaac Corp. | 553,904 | 35,317 | |
* | CommVault Systems Inc. | 717,314 | 35,270 |
* | Medidata Solutions Inc. | 813,255 | 34,815 |
* | Integrated Device Technology Inc. | 2,244,087 | 34,694 |
* | Ciena Corp. | 1,593,859 | 34,523 |
* | IMS Health Holdings Inc. | 1,339,416 | 34,396 |
* | ACI Worldwide Inc. | 609,728 | 34,041 |
* | Electronics For Imaging Inc. | 747,088 | 33,768 |
Compuware Corp. | 3,353,816 | 33,505 | |
* | Qlik Technologies Inc. | 1,467,468 | 33,194 |
* | Demandware Inc. | 477,506 | 33,125 |
Plantronics Inc. | 687,320 | 33,026 | |
* | International Rectifier Corp. | 1,142,150 | 31,866 |
* | SYNNEX Corp. | 436,200 | 31,777 |
* | Fairchild Semiconductor International Inc. Class A | 1,983,816 | 30,948 |
* | Sapient Corp. | 1,904,194 | 30,943 |
* | CommScope Holding Co. Inc. | 1,334,895 | 30,876 |
* | Cornerstone OnDemand Inc. | 669,984 | 30,833 |
InterDigital Inc. | 643,062 | 30,738 | |
* | Entegris Inc. | 2,228,106 | 30,625 |
* | Silicon Laboratories Inc. | 619,749 | 30,523 |
* | Finisar Corp. | 1,535,730 | 30,331 |
Intersil Corp. Class A | 2,023,676 | 30,254 | |
Science Applications International Corp. | 676,373 | 29,869 | |
* | Semtech Corp. | 1,093,713 | 28,601 |
* | Aruba Networks Inc. | 1,623,904 | 28,451 |
* | Polycom Inc. | 2,184,513 | 27,372 |
MKS Instruments Inc. | 867,649 | 27,105 | |
* | CACI International Inc. Class A | 377,171 | 26,481 |
Blackbaud Inc. | 740,353 | 26,460 | |
Power Integrations Inc. | 454,483 | 26,151 | |
Monolithic Power Systems Inc. | 598,054 | 25,328 | |
*,^ | InvenSense Inc. | 1,112,491 | 25,242 |
* | Envestnet Inc. | 503,876 | 24,650 |
* | NetScout Systems Inc. | 555,738 | 24,641 |
* | EPAM Systems Inc. | 560,775 | 24,534 |
* | Rambus Inc. | 1,715,549 | 24,532 |
Cypress Semiconductor Corp. | 2,200,094 | 24,003 | |
Cogent Communications Holdings Inc. | 676,726 | 23,381 | |
* | Cirrus Logic Inc. | 992,466 | 22,569 |
Advent Software Inc. | 683,264 | 22,254 | |
* | Web.com Group Inc. | 770,344 | 22,240 |
*,^ | Ubiquiti Networks Inc. | 485,199 | 21,926 |
* | PMC-Sierra Inc. | 2,879,035 | 21,909 |
* | MedAssets Inc. | 925,389 | 21,136 |
* | Syntel Inc. | 243,708 | 20,949 |
52
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | NETGEAR Inc. | 597,874 | 20,788 |
* | Unisys Corp. | 837,931 | 20,730 |
* | Spansion Inc. Class A | 983,038 | 20,713 |
* | Insight Enterprises Inc. | 673,552 | 20,705 |
* | MicroStrategy Inc. Class A | 143,465 | 20,174 |
* | OmniVision Technologies Inc. | 889,750 | 19,557 |
ADTRAN Inc. | 860,183 | 19,406 | |
* | Amkor Technology Inc. | 1,724,687 | 19,282 |
* | Proofpoint Inc. | 513,899 | 19,251 |
* | Progress Software Corp. | 785,362 | 18,880 |
* | Shutterstock Inc. | 226,874 | 18,826 |
* | iGATE Corp. | 514,268 | 18,714 |
* | Bottomline Technologies de Inc. | 621,872 | 18,606 |
* | FleetMatics Group plc | 560,493 | 18,126 |
* | RealPage Inc. | 804,696 | 18,090 |
* | Kulicke & Soffa Industries Inc. | 1,214,224 | 17,315 |
Monotype Imaging Holdings Inc. | 614,541 | 17,312 | |
* | ScanSource Inc. | 453,231 | 17,259 |
* | LogMeIn Inc. | 362,692 | 16,909 |
* | Infinera Corp. | 1,835,371 | 16,885 |
* | Synchronoss Technologies Inc. | 482,725 | 16,876 |
Tessera Technologies Inc. | 763,688 | 16,862 | |
* | Cabot Microelectronics Corp. | 368,751 | 16,465 |
* | Fusion-io Inc. | 1,453,749 | 16,427 |
* | Cray Inc. | 609,296 | 16,207 |
* | Diodes Inc. | 559,628 | 16,207 |
* | SPS Commerce Inc. | 256,085 | 16,182 |
*,^ | Veeva Systems Inc. Class A | 630,156 | 16,037 |
* | Dycom Industries Inc. | 509,490 | 15,952 |
*,^ | Gogo Inc. | 798,395 | 15,617 |
* | Lattice Semiconductor Corp. | 1,854,591 | 15,300 |
* | Premier Inc. Class A | 526,652 | 15,273 |
* | Virtusa Corp. | 419,665 | 15,024 |
NIC Inc. | 935,311 | 14,825 | |
* | Interactive Intelligence Group Inc. | 259,487 | 14,565 |
* | Loral Space & Communications Inc. | 200,279 | 14,558 |
* | RigNet Inc. | 263,799 | 14,198 |
* | QLogic Corp. | 1,378,979 | 13,914 |
CSG Systems International Inc. | 515,592 | 13,462 | |
* | Super Micro Computer Inc. | 531,489 | 13,431 |
* | Sonus Networks Inc. | 3,711,713 | 13,325 |
* | Ruckus Wireless Inc. | 1,094,019 | 13,030 |
* | Ellie Mae Inc. | 418,534 | 13,029 |
* | Applied Micro Circuits Corp. | 1,203,971 | 13,015 |
West Corp. | 480,794 | 12,885 | |
* | ICG Group Inc. | 598,635 | 12,499 |
Pegasystems Inc. | 573,778 | 12,118 | |
* | Harmonic Inc. | 1,599,675 | 11,934 |
* | Blucora Inc. | 631,736 | 11,921 |
* | Advanced Energy Industries Inc. | 616,693 | 11,871 |
* | Ixia | 1,035,500 | 11,836 |
* | BroadSoft Inc. | 444,038 | 11,718 |
Quality Systems Inc. | 722,175 | 11,591 | |
*,^ | VirnetX Holding Corp. | 649,328 | 11,435 |
* | Marketo Inc. | 387,135 | 11,258 |
Brooks Automation Inc. | 1,029,949 | 11,093 | |
* | CalAmp Corp. | 500,089 | 10,832 |
Computer Programs & Systems Inc. | 166,634 | 10,598 | |
* | PROS Holdings Inc. | 396,165 | 10,475 |
* | Infoblox Inc. | 771,528 | 10,146 |
* | Perficient Inc. | 519,426 | 10,113 |
Comtech Telecommunications Corp. | 255,720 | 9,546 | |
* | Comverse Inc. | 352,586 | 9,407 |
* | Ultratech Inc. | 421,675 | 9,353 |
53
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Premiere Global Services Inc. | 699,405 | 9,337 |
* | ChannelAdvisor Corp. | 333,131 | 8,781 |
* | Exar Corp. | 770,558 | 8,707 |
* | Photronics Inc. | 1,004,410 | 8,638 |
Micrel Inc. | 756,828 | 8,537 | |
* | Tangoe Inc. | 546,254 | 8,227 |
*,^ | Rocket Fuel Inc. | 257,929 | 8,019 |
* | Mitel Networks Corp. | 750,151 | 7,907 |
* | LivePerson Inc. | 769,388 | 7,809 |
* | Callidus Software Inc. | 651,932 | 7,784 |
*,^ | Endurance International Group Holdings Inc. | 507,755 | 7,764 |
* | PDF Solutions Inc. | 363,789 | 7,720 |
Forrester Research Inc. | 203,731 | 7,717 | |
* | Digital River Inc. | 496,473 | 7,661 |
* | Cvent Inc. | 262,390 | 7,633 |
* | RingCentral Inc. Class A | 502,130 | 7,597 |
*,^ | E2open Inc. | 366,138 | 7,568 |
^ | Ebix Inc. | 528,548 | 7,564 |
* | FormFactor Inc. | 903,082 | 7,514 |
* | Intralinks Holdings Inc. | 819,847 | 7,288 |
* | Emulex Corp. | 1,276,706 | 7,277 |
* | Qualys Inc. | 282,851 | 7,261 |
* | SciQuest Inc. | 408,273 | 7,222 |
* | Integrated Silicon Solution Inc. | 480,485 | 7,097 |
Inteliquent Inc. | 488,858 | 6,780 | |
* | Xcerra Corp. | 732,667 | 6,667 |
Epiq Systems Inc. | 470,149 | 6,606 | |
*,^ | Textura Corp. | 279,145 | 6,599 |
* | Nanometrics Inc. | 360,577 | 6,581 |
* | Gigamon Inc. | 328,555 | 6,289 |
* | Silicon Image Inc. | 1,234,557 | 6,222 |
* | ShoreTel Inc. | 951,697 | 6,205 |
* | Extreme Networks Inc. | 1,354,260 | 6,013 |
* | Mercury Systems Inc. | 518,445 | 5,879 |
* | Internap Network Services Corp. | 833,687 | 5,877 |
PC Connection Inc. | 274,638 | 5,679 | |
* | VASCO Data Security International Inc. | 478,141 | 5,546 |
* | ePlus Inc. | 95,051 | 5,532 |
*,^ | Millennial Media Inc. | 1,106,722 | 5,523 |
* | Inphi Corp. | 369,731 | 5,428 |
* | Immersion Corp. | 422,897 | 5,379 |
* | CEVA Inc. | 358,151 | 5,290 |
* | Silicon Graphics International Corp. | 547,755 | 5,269 |
*,^ | KEYW Holding Corp. | 415,008 | 5,217 |
* | CIBER Inc. | 1,038,401 | 5,130 |
IXYS Corp. | 411,662 | 5,072 | |
* | Entropic Communications Inc. | 1,490,404 | 4,963 |
* | Calix Inc. | 606,442 | 4,961 |
* | Oplink Communications Inc. | 290,794 | 4,935 |
* | Rudolph Technologies Inc. | 498,697 | 4,927 |
* | Jive Software Inc. | 555,757 | 4,729 |
* | Violin Memory Inc. | 1,058,389 | 4,689 |
* | Dot Hill Systems Corp. | 991,166 | 4,658 |
* | Brightcove Inc. | 434,218 | 4,577 |
*,^ | Benefitfocus Inc. | 98,314 | 4,544 |
* | MaxLinear Inc. | 451,164 | 4,543 |
* | Vocera Communications Inc. | 338,826 | 4,472 |
*,^ | QuickLogic Corp. | 854,381 | 4,417 |
* | Applied Optoelectronics Inc. | 186,117 | 4,318 |
* | PLX Technology Inc. | 664,056 | 4,296 |
* | Quantum Corp. | 3,470,560 | 4,234 |
* | Agilysys Inc. | 290,966 | 4,097 |
*,^ | Vringo Inc. | 1,194,879 | 4,086 |
* | Seachange International Inc. | 497,340 | 3,984 |
54
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Pendrell Corp. | 2,228,562 | 3,922 |
Cohu Inc. | 354,561 | 3,794 | |
Computer Task Group Inc. | 223,712 | 3,682 | |
Alliance Fiber Optic Products Inc. | 202,793 | 3,671 | |
*,^ | Marin Software Inc. | 309,643 | 3,644 |
* | Axcelis Technologies Inc. | 1,805,028 | 3,610 |
* | Digi International Inc. | 380,442 | 3,584 |
* | Ultra Clean Holdings Inc. | 395,229 | 3,577 |
Digimarc Corp. | 109,390 | 3,566 | |
* | Unwired Planet Inc. | 1,582,591 | 3,529 |
* | Intra-Cellular Therapies Inc. | 208,838 | 3,521 |
American Software Inc. Class A | 349,984 | 3,458 | |
* | Vitesse Semiconductor Corp. | 999,714 | 3,449 |
* | Actuate Corp. | 695,714 | 3,319 |
* | Datalink Corp. | 328,080 | 3,281 |
* | Barracuda Networks Inc. | 105,579 | 3,275 |
* | Procera Networks Inc. | 320,522 | 3,234 |
* | OPOWER Inc. | 170,332 | 3,211 |
* | Zix Corp. | 917,018 | 3,136 |
* | KVH Industries Inc. | 238,592 | 3,109 |
* | Oclaro Inc. | 1,404,690 | 3,090 |
* | Kopin Corp. | 901,309 | 2,938 |
* | Q2 Holdings Inc. | 205,155 | 2,925 |
* | VOXX International Corp. Class A | 307,606 | 2,895 |
* | Carbonite Inc. | 237,606 | 2,844 |
*,^ | Castlight Health Inc. Class B | 186,589 | 2,836 |
* | Systemax Inc. | 193,430 | 2,780 |
* | Rosetta Stone Inc. | 284,248 | 2,763 |
* | Pericom Semiconductor Corp. | 303,719 | 2,746 |
* | DSP Group Inc. | 322,199 | 2,735 |
Tessco Technologies Inc. | 85,591 | 2,716 | |
* | Clearfield Inc. | 161,548 | 2,712 |
* | Alpha & Omega Semiconductor Ltd. | 287,272 | 2,663 |
* | Limelight Networks Inc. | 869,610 | 2,661 |
* | A10 Networks Inc. | 198,616 | 2,642 |
* | Audience Inc. | 220,809 | 2,641 |
* | Model N Inc. | 233,238 | 2,577 |
* | TeleCommunication Systems Inc. Class A | 772,992 | 2,543 |
* | Rally Software Development Corp. | 233,286 | 2,540 |
* | Boingo Wireless Inc. | 371,337 | 2,536 |
* | Support.com Inc. | 931,901 | 2,525 |
* | Mattson Technology Inc. | 1,133,848 | 2,483 |
* | Cinedigm Corp. Class A | 994,149 | 2,475 |
* | Peregrine Semiconductor Corp. | 351,417 | 2,411 |
* | MRV Communications Inc. | 171,205 | 2,380 |
* | Guidance Software Inc. | 258,965 | 2,362 |
* | 2U Inc. | 139,896 | 2,352 |
Preformed Line Products Co. | 43,037 | 2,317 | |
* | Amber Road Inc. | 141,072 | 2,275 |
* | Sigma Designs Inc. | 492,027 | 2,253 |
* | Borderfree Inc. | 134,839 | 2,234 |
Hackett Group Inc. | 371,640 | 2,219 | |
* | Merge Healthcare Inc. | 966,577 | 2,194 |
United Online Inc. | 208,024 | 2,163 | |
* | Pixelworks Inc. | 284,977 | 2,157 |
* | Qumu Corp. | 152,829 | 2,138 |
* | TransEnterix Inc. | 422,459 | 2,129 |
PC-Tel Inc. | 259,434 | 2,099 | |
*,^ | ParkerVision Inc. | 1,405,972 | 2,081 |
* | Varonis Systems Inc. | 70,972 | 2,059 |
* | MoSys Inc. | 620,319 | 1,948 |
* | Numerex Corp. Class A | 169,515 | 1,948 |
Transact Technologies Inc. | 187,361 | 1,941 | |
* | Datawatch Corp. | 124,185 | 1,858 |
55
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Radisys Corp. | 528,918 | 1,846 |
* | Imation Corp. | 533,546 | 1,835 |
* | Telenav Inc. | 318,282 | 1,811 |
* | Tremor Video Inc. | 374,099 | 1,766 |
Concurrent Computer Corp. | 231,686 | 1,728 | |
* | WidePoint Corp. | 969,014 | 1,705 |
*,^ | Park City Group Inc. | 151,399 | 1,649 |
* | Exa Corp. | 145,798 | 1,642 |
* | Westell Technologies Inc. Class A | 668,143 | 1,637 |
* | Emcore Corp. | 392,314 | 1,616 |
* | Cascade Microtech Inc. | 115,448 | 1,577 |
QAD Inc. Class A | 72,664 | 1,549 | |
* | eGain Corp. | 227,199 | 1,538 |
* | Amtech Systems Inc. | 122,531 | 1,499 |
* | Key Tronic Corp. | 142,810 | 1,497 |
* | GSI Technology Inc. | 248,745 | 1,483 |
* | Aware Inc. | 224,568 | 1,473 |
* | Mavenir Systems Inc. | 93,769 | 1,421 |
*,^ | Mitek Systems Inc. | 410,688 | 1,368 |
*,^ | Neonode Inc. | 418,846 | 1,311 |
* | MeetMe Inc. | 472,974 | 1,286 |
*,^ | Cyan Inc. | 305,977 | 1,233 |
* | Zhone Technologies Inc. | 397,721 | 1,233 |
* | Edgewater Technology Inc. | 156,976 | 1,168 |
* | Aviat Networks Inc. | 909,202 | 1,164 |
* | NeoPhotonics Corp. | 263,780 | 1,097 |
Evolving Systems Inc. | 127,521 | 1,092 | |
* | ID Systems Inc. | 199,990 | 1,088 |
* | Icad Inc. | 164,930 | 1,057 |
* | ANADIGICS Inc. | 1,259,049 | 1,019 |
* | Meru Networks Inc. | 265,902 | 979 |
* | Innodata Inc. | 301,490 | 971 |
* | iPass Inc. | 799,631 | 960 |
* | Hutchinson Technology Inc. | 375,914 | 940 |
* | AXT Inc. | 429,847 | 920 |
* | NCI Inc. Class A | 102,689 | 912 |
* | Identiv Inc. | 82,309 | 911 |
Communications Systems Inc. | 69,204 | 860 | |
*,^ | CVD Equipment Corp. | 69,465 | 841 |
* | Streamline Health Solutions Inc. | 175,220 | 841 |
* | LRAD Corp. | 407,923 | 840 |
* | Novatel Wireless Inc. | 421,432 | 805 |
* | ClearOne Inc. | 81,313 | 799 |
*,^ | FAB Universal Corp. | 259,532 | 797 |
* | USA Technologies Inc. | 368,387 | 777 |
* | FalconStor Software Inc. | 454,255 | 772 |
*,^ | Wave Systems Corp. Class A | 534,454 | 754 |
* | BSQUARE Corp. | 230,553 | 738 |
*,^ | InterCloud Systems Inc. | 110,888 | 731 |
* | PAR Technology Corp. | 170,216 | 715 |
* | Acorn Energy Inc. | 283,797 | 670 |
* | Five9 Inc. | 89,235 | 642 |
* | Netlist Inc. | 491,666 | 634 |
* | Intermolecular Inc. | 268,309 | 625 |
*,^ | Superconductor Technologies Inc. | 212,929 | 615 |
*,^ | Covisint Corp. | 120,499 | 586 |
* | Nimble Storage Inc. | 18,138 | 557 |
* | Aerohive Networks Inc. | 65,692 | 540 |
* | GigOptix Inc. | 381,777 | 523 |
* | Crexendo Inc. | 151,996 | 486 |
* | Smith Micro Software Inc. | 442,123 | 460 |
* | GSE Systems Inc. | 274,729 | 456 |
* | Ikanos Communications Inc. | 1,072,149 | 456 |
*,^ | xG Technology Inc. | 225,377 | 453 |
56
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | Crossroads Systems Inc. | 132,594 | 444 |
* | Synacor Inc. | 173,121 | 443 |
* | Imprivata Inc. | 26,767 | 438 |
* | NetSol Technologies Inc. | 109,807 | 426 |
Astro-Med Inc. | 30,068 | 409 | |
* | ChyronHego Corp. | 194,721 | 399 |
* | RELM Wireless Corp. | 101,122 | 390 |
*,^ | MobileIron Inc. | 40,150 | 382 |
* | BroadVision Inc. | 38,059 | 365 |
* | RCM Technologies Inc. | 55,318 | 352 |
Globalscape Inc. | 135,777 | 333 | |
* | Xplore Technologies Corp. | 55,750 | 322 |
* | Authentidate Holding Corp. | 482,709 | 319 |
* | ARI Network Services Inc. | 103,014 | 312 |
QAD Inc. Class B | 16,312 | 296 | |
* | Lantronix Inc. | 138,633 | 273 |
*,^ | Intellicheck Mobilisa Inc. | 373,963 | 273 |
* | Inuvo Inc. | 283,917 | 253 |
* | Arista Networks Inc. | 3,985 | 249 |
* | XRS Corp. | 95,432 | 245 |
* | Sysorex Global Holdings Corp. | 60,639 | 235 |
*,^ | Overland Storage Inc. | 39,250 | 190 |
* | Aehr Test Systems | 87,712 | 189 |
* | Interphase Corp. | 42,595 | 184 |
* | Sonic Foundry Inc. | 17,026 | 183 |
* | inTEST Corp. | 46,109 | 179 |
SMTP Inc. | 29,145 | 176 | |
Mastech Holdings Inc. | 10,990 | 170 | |
* | Data I/O Corp. | 48,432 | 146 |
* | Selectica Inc. | 21,169 | 134 |
* | Bridgeline Digital Inc. | 144,903 | 128 |
* | Cover-All Technologies Inc. | 90,520 | 110 |
Optical Cable Corp. | 26,826 | 107 | |
Simulations Plus Inc. | 17,660 | 99 | |
* | Cobra Electronics Corp. | 24,303 | 90 |
* | Daegis Inc. | 62,544 | 74 |
* | ADDvantage Technologies Group Inc. | 24,819 | 68 |
* | Trio Tech International | 20,120 | 67 |
CSP Inc. | 8,002 | 55 | |
* | Qualstar Corp. | 34,975 | 46 |
*,^ | Voltari Corp. | 22,783 | 45 |
* | UniTek Global Services Inc. | 93,385 | 38 |
Helios & Matheson Analytics Inc. | 8,654 | 33 | |
* | Glowpoint Inc. | 10,565 | 16 |
* | Looksmart Ltd. | 5,428 | 10 |
53,268,618 | |||
Telecommunications (2.2%) | |||
Verizon Communications Inc. | 65,893,556 | 3,224,172 | |
AT&T Inc. | 82,582,310 | 2,920,111 | |
CenturyLink Inc. | 9,132,055 | 330,580 | |
* | SBA Communications Corp. Class A | 2,045,072 | 209,211 |
* | T-Mobile US Inc. | 4,467,977 | 150,213 |
* | Level 3 Communications Inc. | 2,826,205 | 124,099 |
* | Sprint Corp. | 12,556,956 | 107,111 |
Windstream Holdings Inc. | 9,499,622 | 94,616 | |
Frontier Communications Corp. | 15,919,210 | 92,968 | |
* | tw telecom inc Class A | 2,184,835 | 88,071 |
Telephone & Data Systems Inc. | 1,461,483 | 38,159 | |
*,^ | Globalstar Inc. | 6,307,076 | 26,805 |
Consolidated Communications Holdings Inc. | 606,126 | 13,480 | |
* | Cincinnati Bell Inc. | 3,345,386 | 13,147 |
Shenandoah Telecommunications Co. | 366,390 | 11,160 | |
* | 8x8 Inc. | 1,339,813 | 10,826 |
* | Vonage Holdings Corp. | 2,843,980 | 10,665 |
57
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Iridium Communications Inc. | 1,136,161 | 9,612 |
Atlantic Tele-Network Inc. | 156,039 | 9,050 | |
* | United States Cellular Corp. | 216,151 | 8,819 |
* | inContact Inc. | 845,043 | 7,766 |
* | Intelsat SA | 353,259 | 6,655 |
EarthLink Holdings Corp. | 1,615,197 | 6,009 | |
*,^ | FairPoint Communications Inc. | 377,303 | 5,271 |
USA Mobility Inc. | 326,060 | 5,021 | |
IDT Corp. Class B | 281,297 | 4,900 | |
* | Cbeyond Inc. | 457,357 | 4,551 |
Enventis Corp. | 285,822 | 4,527 | |
* | ORBCOMM Inc. | 668,866 | 4,408 |
Lumos Networks Corp. | 301,702 | 4,366 | |
* | General Communication Inc. Class A | 389,967 | 4,321 |
NTELOS Holdings Corp. | 268,686 | 3,348 | |
* | Hawaiian Telcom Holdco Inc. | 105,906 | 3,030 |
* | GTT Communications Inc. | 275,130 | 2,809 |
*,^ | Towerstream Corp. | 1,007,316 | 1,954 |
*,^ | NII Holdings Inc. | 2,684,746 | 1,477 |
* | Straight Path Communications Inc. Class B | 139,844 | 1,426 |
* | Alaska Communications Systems Group Inc. | 759,631 | 1,367 |
*,^ | Elephant Talk Communications Corp. | 1,031,093 | 980 |
* | Alteva | 91,123 | 629 |
* | Otelco Inc. Class A | 2,454 | 12 |
7,567,702 | |||
Utilities (3.3%) | |||
Duke Energy Corp. | 11,257,751 | 835,213 | |
NextEra Energy Inc. | 6,938,620 | 711,070 | |
Dominion Resources Inc. | 9,255,430 | 661,948 | |
Southern Co. | 14,168,751 | 642,978 | |
Exelon Corp. | 13,661,830 | 498,384 | |
Spectra Energy Corp. | 10,669,215 | 453,228 | |
American Electric Power Co. Inc. | 7,766,557 | 433,141 | |
Sempra Energy | 3,702,743 | 387,714 | |
PPL Corp. | 10,040,528 | 356,740 | |
PG&E Corp. | 7,396,131 | 355,162 | |
Public Service Enterprise Group Inc. | 8,060,743 | 328,798 | |
Edison International | 5,186,463 | 301,385 | |
Consolidated Edison Inc. | 4,655,625 | 268,816 | |
Xcel Energy Inc. | 7,938,797 | 255,867 | |
Northeast Utilities | 5,040,271 | 238,254 | |
Entergy Corp. | 2,838,506 | 233,013 | |
FirstEnergy Corp. | 6,668,180 | 231,519 | |
ONEOK Inc. | 3,306,217 | 225,087 | |
DTE Energy Co. | 2,824,171 | 219,918 | |
NRG Energy Inc. | 5,339,464 | 198,628 | |
NiSource Inc. | 4,992,188 | 196,393 | |
CenterPoint Energy Inc. | 6,814,578 | 174,044 | |
Wisconsin Energy Corp. | 3,597,744 | 168,806 | |
AES Corp. | 10,351,593 | 160,967 | |
Ameren Corp. | 3,859,197 | 157,764 | |
* | Calpine Corp. | 6,392,791 | 152,212 |
American Water Works Co. Inc. | 2,854,477 | 141,154 | |
CMS Energy Corp. | 4,164,704 | 129,731 | |
Pepco Holdings Inc. | 3,988,470 | 109,603 | |
SCANA Corp. | 2,015,805 | 108,470 | |
Alliant Energy Corp. | 1,758,179 | 107,003 | |
AGL Resources Inc. | 1,890,263 | 104,021 | |
Pinnacle West Capital Corp. | 1,745,530 | 100,961 | |
National Fuel Gas Co. | 1,267,927 | 99,279 | |
ITC Holdings Corp. | 2,508,462 | 91,509 | |
UGI Corp. | 1,805,954 | 91,201 | |
Integrys Energy Group Inc. | 1,265,852 | 90,040 | |
Atmos Energy Corp. | 1,581,596 | 84,457 |
58
Vanguard® Total Stock Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2014 | |||||
Market | |||||
Value | |||||
Shares | ($000) | ||||
Westar Energy Inc. Class A | 2,043,169 | 78,029 | |||
Aqua America Inc. | 2,860,409 | 75,000 | |||
Questar Corp. | 2,800,991 | 69,465 | |||
Great Plains Energy Inc. | 2,493,894 | 67,011 | |||
TECO Energy Inc. | 3,533,134 | 65,292 | |||
Cleco Corp. | 1,002,477 | 59,096 | |||
Vectren Corp. | 1,360,768 | 57,833 | |||
* | Dynegy Inc. Class A | 1,523,338 | 53,012 | ||
IDACORP Inc. | 811,954 | 46,955 | |||
Piedmont Natural Gas Co. Inc. | 1,250,660 | 46,787 | |||
Black Hills Corp. | 727,662 | 44,671 | |||
Portland General Electric Co. | 1,258,584 | 43,635 | |||
^ | Hawaiian Electric Industries Inc. | 1,644,543 | 41,640 | ||
Southwest Gas Corp. | 752,316 | 39,715 | |||
New Jersey Resources Corp. | 672,151 | 38,420 | |||
UNS Energy Corp. | 629,025 | 37,999 | |||
PNM Resources Inc. | 1,267,827 | 37,185 | |||
ALLETE Inc. | 719,708 | 36,957 | |||
WGL Holdings Inc. | 828,529 | 35,710 | |||
UIL Holdings Corp. | 896,145 | 34,690 | |||
NorthWestern Corp. | 626,618 | 32,703 | |||
Avista Corp. | 954,683 | 32,001 | |||
South Jersey Industries Inc. | 526,948 | 31,833 | |||
ONE Gas Inc. | 826,603 | 31,204 | |||
Laclede Group Inc. | 625,315 | 30,359 | |||
El Paso Electric Co. | 657,844 | 26,452 | |||
MGE Energy Inc. | 563,017 | 22,245 | |||
American States Water Co. | 626,362 | 20,814 | |||
Northwest Natural Gas Co. | 439,550 | 20,725 | |||
Empire District Electric Co. | 719,535 | 18,478 | |||
California Water Service Group | 744,911 | 18,027 | |||
Chesapeake Utilities Corp. | 146,950 | 10,482 | |||
Ormat Technologies Inc. | 290,664 | 8,380 | |||
Atlantic Power Corp. | 1,978,070 | 8,110 | |||
SJW Corp. | 261,257 | 7,106 | |||
Unitil Corp. | 203,223 | 6,875 | |||
Connecticut Water Service Inc. | 168,549 | 5,709 | |||
Middlesex Water Co. | 236,947 | 5,019 | |||
York Water Co. | 179,777 | 3,743 | |||
Delta Natural Gas Co. Inc. | 132,421 | 2,908 | |||
Artesian Resources Corp. Class A | 102,984 | 2,315 | |||
Gas Natural Inc. | 191,177 | 2,015 | |||
* | Genie Energy Ltd. Class B | 240,589 | 1,893 | ||
*,^ | Cadiz Inc. | 206,235 | 1,718 | ||
*,^ | Pure Cycle Corp. | 204,594 | 1,385 | ||
* | US Geothermal Inc. | 1,342,566 | 806 | ||
11,466,885 | |||||
Total Common Stocks (Cost $227,635,354) | 346,081,328 | ||||
Coupon | |||||
Temporary Cash Investments (0.6%) 1 | |||||
Money Market Fund (0.6%) | |||||
2,3 | Vanguard Market Liquidity Fund | 0.111% | 1,975,798,863 | 1,975,799 | |
Face | |||||
Maturity | Amount | ||||
Date | ($000) | ||||
U.S. Government and Agency Obligations (0.0%) | |||||
4 | Fannie Mae Discount Notes | 0.060% | 7/2/14 | 1,500 | 1,500 |
59
Vanguard® Total Stock Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4,5 | Fannie Mae Discount Notes | 0.060% | 9/3/14 | 1,000 | 1,000 |
6 | Federal Home Loan Bank Discount Notes | 0.068% | 7/2/14 | 3,000 | 3,000 |
5,6 | Federal Home Loan Bank Discount Notes | 0.060% | 7/7/14 | 6,500 | 6,500 |
5,6 | Federal Home Loan Bank Discount Notes | 0.060% | 7/9/14 | 6,500 | 6,500 |
5,6 | Federal Home Loan Bank Discount Notes | 0.080% | 7/11/14 | 4,800 | 4,800 |
5,6 | Federal Home Loan Bank Discount Notes | 0.075%-0.090% | 8/6/14 | 5,600 | 5,599 |
5,6 | Federal Home Loan Bank Discount Notes | 0.060% | 8/13/14 | 24,600 | 24,598 |
5,6 | Federal Home Loan Bank Discount Notes | 0.065% | 8/29/14 | 17,500 | 17,498 |
5,6 | Federal Home Loan Bank Discount Notes | 0.080% | 9/5/14 | 3,100 | 3,099 |
5,6 | Federal Home Loan Bank Discount Notes | 0.081% | 9/12/14 | 4,000 | 3,999 |
4,5 | Freddie Mac Discount Notes | 0.077% | 10/20/14 | 1,500 | 1,499 |
79,592 | |||||
Total Temporary Cash Investments (Cost $2,055,393) | 2,055,391 | ||||
Total Investments (100.2%) (Cost $229,690,747) | 348,136,719 | ||||
Other Assets and Liabilities—Net (-0.2%)3 | (758,213) | ||||
Net Assets (100%) | 347,378,506 |
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $759,226,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts and equity swap contracts. After
giving effect to futures and swap 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 $809,422,000 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 $60,293,000 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.
60
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61
© 2014 The Vanguard Group, Inc. |
All rights reserved. |
Vanguard Marketing Corporation, Distributor. |
SNA852 082014 |
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.8%)1 | |||
Consumer Discretionary (15.0%) | |||
Las Vegas Sands Corp. | 3,482,672 | 265,449 | |
* | Liberty Global plc | 5,030,323 | 212,833 |
*,^ | Tesla Motors Inc. | 762,558 | 183,060 |
* | Liberty Media Corp. Class A | 922,187 | 126,045 |
* | DISH Network Corp. Class A | 1,932,610 | 125,774 |
* | Charter Communications Inc. Class A | 645,074 | 102,167 |
*,^ | Sirius XM Holdings Inc. | 27,117,467 | 93,826 |
Autoliv Inc. | 859,499 | 91,605 | |
* | TRW Automotive Holdings Corp. | 1,015,174 | 90,878 |
Advance Auto Parts Inc. | 669,223 | 90,292 | |
Hanesbrands Inc. | 913,540 | 89,929 | |
Royal Caribbean Cruises Ltd. | 1,507,770 | 83,832 | |
* | Liberty Global plc Class A | 1,875,632 | 82,940 |
Signet Jewelers Ltd. | 735,701 | 81,361 | |
* | MGM Resorts International | 3,060,513 | 80,798 |
Polaris Industries Inc. | 604,512 | 78,732 | |
* | LKQ Corp. | 2,769,397 | 73,915 |
Foot Locker Inc. | 1,337,526 | 67,839 | |
Lear Corp. | 747,581 | 66,774 | |
* | Jarden Corp. | 1,100,799 | 65,332 |
Williams-Sonoma Inc. | 802,954 | 57,636 | |
* | Toll Brothers Inc. | 1,467,763 | 54,160 |
* | Ulta Salon Cosmetics & Fragrance Inc. | 590,160 | 53,947 |
Dunkin' Brands Group Inc. | 975,730 | 44,698 | |
* | Kate Spade & Co. | 1,160,936 | 44,278 |
* | Visteon Corp. | 444,272 | 43,099 |
* | NVR Inc. | 37,303 | 42,921 |
Dick's Sporting Goods Inc. | 907,156 | 42,237 | |
Service Corp. International | 1,967,656 | 40,770 | |
* | Lululemon Athletica Inc. | 985,940 | 39,911 |
Gentex Corp. | 1,337,333 | 38,903 | |
Tupperware Brands Corp. | 462,417 | 38,704 | |
Domino's Pizza Inc. | 507,915 | 37,124 | |
Six Flags Entertainment Corp. | 872,059 | 37,106 | |
* | Tenneco Inc. | 555,816 | 36,517 |
Brunswick Corp. | 849,873 | 35,805 | |
International Game Technology | 2,246,773 | 35,746 | |
* | Panera Bread Co. Class A | 238,325 | 35,708 |
* | Madison Square Garden Co. Class A | 564,085 | 35,227 |
Dana Holding Corp. | 1,431,023 | 34,946 | |
* | Hilton Worldwide Holdings Inc. | 1,475,794 | 34,386 |
Cinemark Holdings Inc. | 962,336 | 34,028 | |
Carter's Inc. | 492,104 | 33,921 | |
* | Tempur Sealy International Inc. | 561,950 | 33,548 |
* | AMC Networks Inc. Class A | 539,611 | 33,181 |
* | Live Nation Entertainment Inc. | 1,314,842 | 32,463 |
* | Hyatt Hotels Corp. Class A | 530,959 | 32,378 |
Lamar Advertising Co. Class A | 606,522 | 32,146 | |
* | Sally Beauty Holdings Inc. | 1,256,549 | 31,514 |
GNC Holdings Inc. Class A | 879,511 | 29,991 | |
Brinker International Inc. | 595,495 | 28,971 | |
Abercrombie & Fitch Co. | 667,421 | 28,866 | |
* | Buffalo Wild Wings Inc. | 174,111 | 28,852 |
* | Apollo Education Group Inc. | 908,880 | 28,403 |
* | Deckers Outdoor Corp. | 320,628 | 27,680 |
* | Norwegian Cruise Line Holdings Ltd. | 853,230 | 27,047 |
* | Cabela's Inc. | 431,663 | 26,936 |
Sotheby's | 631,873 | 26,532 | |
John Wiley & Sons Inc. Class A | 431,361 | 26,136 | |
Vail Resorts Inc. | 334,445 | 25,812 | |
Dillard's Inc. Class A | 220,602 | 25,724 |
1
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Starz | 858,433 | 25,573 |
*,^ | JC Penney Co. Inc. | 2,821,825 | 25,538 |
* | Office Depot Inc. | 4,486,235 | 25,527 |
* | Time Inc. | 1,032,588 | 25,009 |
Wolverine World Wide Inc. | 933,640 | 24,331 | |
CST Brands Inc. | 700,249 | 24,159 | |
* | Bally Technologies Inc. | 362,007 | 23,791 |
Chico's FAS Inc. | 1,399,960 | 23,743 | |
Aaron's Inc. | 666,077 | 23,739 | |
Thor Industries Inc. | 414,630 | 23,580 | |
Pool Corp. | 416,799 | 23,574 | |
^ | Sinclair Broadcast Group Inc. Class A | 678,111 | 23,564 |
* | Restoration Hardware Holdings Inc. | 252,759 | 23,519 |
Men's Wearhouse Inc. | 417,789 | 23,313 | |
* | Big Lots Inc. | 508,848 | 23,254 |
* | Groupon Inc. Class A | 3,489,224 | 23,099 |
DeVry Education Group Inc. | 527,927 | 22,352 | |
Jack in the Box Inc. | 367,377 | 21,984 | |
Cracker Barrel Old Country Store Inc. | 220,690 | 21,974 | |
Wendy's Co. | 2,444,622 | 20,853 | |
* | HomeAway Inc. | 589,501 | 20,526 |
* | Ascena Retail Group Inc. | 1,194,965 | 20,434 |
* | Murphy USA Inc. | 412,063 | 20,146 |
Lithia Motors Inc. Class A | 209,075 | 19,668 | |
* | Grand Canyon Education Inc. | 427,262 | 19,641 |
Cheesecake Factory Inc. | 419,795 | 19,487 | |
Penske Automotive Group Inc. | 393,354 | 19,471 | |
* | Iconix Brand Group Inc. | 450,690 | 19,353 |
* | Lumber Liquidators Holdings Inc. | 254,427 | 19,324 |
* | Asbury Automotive Group Inc. | 280,946 | 19,312 |
DSW Inc. Class A | 678,674 | 18,962 | |
HSN Inc. | 310,762 | 18,410 | |
* | Genesco Inc. | 221,269 | 18,173 |
* | Steven Madden Ltd. | 528,179 | 18,117 |
New York Times Co. Class A | 1,168,326 | 17,770 | |
SeaWorld Entertainment Inc. | 624,172 | 17,683 | |
American Eagle Outfitters Inc. | 1,574,242 | 17,663 | |
* | ANN Inc. | 425,853 | 17,520 |
* | Five Below Inc. | 436,900 | 17,437 |
Ryland Group Inc. | 431,878 | 17,033 | |
* | Skechers U.S.A. Inc. Class A | 367,564 | 16,798 |
* | Life Time Fitness Inc. | 343,434 | 16,739 |
Meredith Corp. | 344,287 | 16,650 | |
Group 1 Automotive Inc. | 195,506 | 16,483 | |
Cooper Tire & Rubber Co. | 539,338 | 16,180 | |
*,^ | Sears Holdings Corp. | 404,038 | 16,145 |
Aramark | 616,153 | 15,946 | |
* | Marriott Vacations Worldwide Corp. | 271,480 | 15,917 |
^ | Regal Entertainment Group Class A | 737,502 | 15,561 |
* | DreamWorks Animation SKG Inc. Class A | 666,950 | 15,513 |
* | Bloomin' Brands Inc. | 690,906 | 15,497 |
KB Home | 826,217 | 15,434 | |
Choice Hotels International Inc. | 326,075 | 15,361 | |
* | Shutterfly Inc. | 354,955 | 15,284 |
Burger King Worldwide Inc. | 555,324 | 15,116 | |
* | Helen of Troy Ltd. | 247,154 | 14,985 |
Guess? Inc. | 551,762 | 14,898 | |
Monro Muffler Brake Inc. | 277,459 | 14,758 | |
* | Meritage Homes Corp. | 340,316 | 14,365 |
Texas Roadhouse Inc. Class A | 551,974 | 14,351 | |
* | Gentherm Inc. | 321,258 | 14,280 |
Rent-A-Center Inc. | 489,315 | 14,034 | |
* | Dorman Products Inc. | 281,466 | 13,882 |
Nexstar Broadcasting Group Inc. Class A | 267,786 | 13,820 |
2
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Pinnacle Entertainment Inc. | 548,465 | 13,810 |
Pier 1 Imports Inc. | 878,353 | 13,535 | |
Morningstar Inc. | 188,089 | 13,507 | |
* | G-III Apparel Group Ltd. | 163,803 | 13,376 |
* | Express Inc. | 779,062 | 13,267 |
Finish Line Inc. Class A | 442,292 | 13,154 | |
* | Hibbett Sports Inc. | 239,695 | 12,984 |
* | Crocs Inc. | 823,755 | 12,381 |
* | Vitamin Shoppe Inc. | 283,047 | 12,177 |
* | Belmond Ltd. Class A | 825,015 | 11,996 |
* | Standard Pacific Corp. | 1,392,471 | 11,975 |
* | American Axle & Manufacturing Holdings Inc. | 631,968 | 11,938 |
DineEquity Inc. | 150,099 | 11,931 | |
Papa John's International Inc. | 279,862 | 11,863 | |
^ | Buckle Inc. | 260,771 | 11,568 |
Bob Evans Farms Inc. | 229,331 | 11,478 | |
* | Bright Horizons Family Solutions Inc. | 265,355 | 11,394 |
* | Conn's Inc. | 230,667 | 11,393 |
La-Z-Boy Inc. | 486,831 | 11,280 | |
*,^ | Outerwall Inc. | 186,404 | 11,063 |
*,^ | iRobot Corp. | 268,814 | 11,008 |
MDC Holdings Inc. | 362,418 | 10,978 | |
Brown Shoe Co. Inc. | 380,946 | 10,899 | |
* | Fiesta Restaurant Group Inc. | 229,178 | 10,636 |
^ | Sturm Ruger & Co. Inc. | 179,482 | 10,591 |
Matthews International Corp. Class A | 253,953 | 10,557 | |
Churchill Downs Inc. | 116,636 | 10,510 | |
* | Select Comfort Corp. | 508,464 | 10,505 |
Drew Industries Inc. | 205,398 | 10,272 | |
* | Sonic Corp. | 462,092 | 10,203 |
National CineMedia Inc. | 569,543 | 9,973 | |
Children's Place Inc. | 200,172 | 9,935 | |
Columbia Sportswear Co. | 118,815 | 9,820 | |
* | Krispy Kreme Doughnuts Inc. | 612,471 | 9,787 |
Core-Mark Holding Co. Inc. | 213,564 | 9,745 | |
* | Popeyes Louisiana Kitchen Inc. | 222,035 | 9,705 |
* | Tumi Holdings Inc. | 446,791 | 8,994 |
Oxford Industries Inc. | 134,487 | 8,966 | |
* | Loral Space & Communications Inc. | 123,236 | 8,958 |
* | LifeLock Inc. | 638,149 | 8,909 |
* | Cooper-Standard Holding Inc. | 132,925 | 8,794 |
* | Barnes & Noble Inc. | 380,233 | 8,666 |
* | Red Robin Gourmet Burgers Inc. | 121,633 | 8,660 |
International Speedway Corp. Class A | 259,796 | 8,646 | |
* | BJ's Restaurants Inc. | 246,461 | 8,604 |
Standard Motor Products Inc. | 192,120 | 8,582 | |
* | Boyd Gaming Corp. | 698,835 | 8,477 |
Sonic Automotive Inc. Class A | 316,472 | 8,443 | |
Scholastic Corp. | 246,113 | 8,390 | |
* | Burlington Stores Inc. | 262,441 | 8,361 |
Cato Corp. Class A | 265,914 | 8,217 | |
* | Multimedia Games Holding Co. Inc. | 275,641 | 8,170 |
Interval Leisure Group Inc. | 371,327 | 8,147 | |
* | Ascent Capital Group Inc. Class A | 120,635 | 7,963 |
* | Penn National Gaming Inc. | 628,962 | 7,636 |
*,^ | Smith & Wesson Holding Corp. | 520,433 | 7,567 |
Movado Group Inc. | 179,620 | 7,485 | |
* | Universal Electronics Inc. | 151,662 | 7,413 |
* | Modine Manufacturing Co. | 457,242 | 7,197 |
Regis Corp. | 509,257 | 7,170 | |
* | Biglari Holdings Inc. | 16,836 | 7,121 |
*,^ | Caesars Entertainment Corp. | 386,493 | 6,988 |
* | EW Scripps Co. Class A | 329,280 | 6,968 |
* | Winnebago Industries Inc. | 275,894 | 6,947 |
3
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Federal-Mogul Holdings Corp. | 341,524 | 6,909 |
Capella Education Co. | 126,971 | 6,906 | |
* | Rentrak Corp. | 126,232 | 6,621 |
Ethan Allen Interiors Inc. | 261,320 | 6,465 | |
* | Francesca's Holdings Corp. | 435,513 | 6,419 |
* | Carmike Cinemas Inc. | 182,273 | 6,403 |
* | Denny's Corp. | 972,393 | 6,340 |
* | Strayer Education Inc. | 118,109 | 6,202 |
* | Beazer Homes USA Inc. | 295,130 | 6,192 |
* | K12 Inc. | 256,221 | 6,167 |
* | Zumiez Inc. | 220,892 | 6,094 |
* | American Public Education Inc. | 176,867 | 6,081 |
Stage Stores Inc. | 325,172 | 6,077 | |
* | Pep Boys-Manny Moe & Jack | 528,014 | 6,051 |
Fred's Inc. Class A | 390,650 | 5,973 | |
* | Steiner Leisure Ltd. | 135,955 | 5,885 |
* | Tuesday Morning Corp. | 327,140 | 5,830 |
* | FTD Cos. Inc. | 182,972 | 5,817 |
*,^ | Mattress Firm Holding Corp. | 119,964 | 5,728 |
* | Taylor Morrison Home Corp. Class A | 249,183 | 5,587 |
* | Libbey Inc. | 208,232 | 5,547 |
Nutrisystem Inc. | 315,019 | 5,390 | |
* | La Quinta Holdings Inc. | 280,325 | 5,365 |
Arctic Cat Inc. | 136,020 | 5,362 | |
^ | Weight Watchers International Inc. | 264,579 | 5,337 |
* | Scientific Games Corp. Class A | 475,553 | 5,288 |
* | Unifi Inc. | 189,640 | 5,221 |
* | M/I Homes Inc. | 215,099 | 5,220 |
* | Cumulus Media Inc. Class A | 791,379 | 5,215 |
* | Gray Television Inc. | 394,091 | 5,174 |
* | Del Frisco's Restaurant Group Inc. | 186,438 | 5,138 |
Callaway Golf Co. | 604,195 | 5,027 | |
Haverty Furniture Cos. Inc. | 196,177 | 4,930 | |
Superior Industries International Inc. | 232,881 | 4,802 | |
* | Cavco Industries Inc. | 56,134 | 4,788 |
* | Vera Bradley Inc. | 217,116 | 4,748 |
* | Hovnanian Enterprises Inc. Class A | 912,657 | 4,700 |
Ruth's Hospitality Group Inc. | 375,716 | 4,640 | |
* | Ruby Tuesday Inc. | 610,781 | 4,636 |
^ | CBS Outdoor Americas Inc. | 138,057 | 4,512 |
* | Tower International Inc. | 120,471 | 4,438 |
* | Quiksilver Inc. | 1,226,278 | 4,390 |
Extended Stay America Inc. | 186,990 | 4,331 | |
* | Lands' End Inc. | 124,099 | 4,167 |
* | Chuy's Holdings Inc. | 114,328 | 4,150 |
*,^ | Tile Shop Holdings Inc. | 253,655 | 3,878 |
^ | World Wrestling Entertainment Inc. Class A | 324,225 | 3,868 |
*,^ | Media General Inc. | 183,136 | 3,760 |
* | Blue Nile Inc. | 132,653 | 3,714 |
^ | PetMed Express Inc. | 271,639 | 3,662 |
* | Journal Communications Inc. Class A | 410,321 | 3,640 |
Stein Mart Inc. | 261,693 | 3,635 | |
Entravision Communications Corp. Class A | 581,230 | 3,615 | |
Marcus Corp. | 194,268 | 3,545 | |
Harte-Hanks Inc. | 489,066 | 3,516 | |
Clear Channel Outdoor Holdings Inc. Class A | 415,906 | 3,402 | |
* | MarineMax Inc. | 202,834 | 3,395 |
Speedway Motorsports Inc. | 182,222 | 3,326 | |
NACCO Industries Inc. Class A | 65,349 | 3,307 | |
Strattec Security Corp. | 50,676 | 3,268 | |
AH Belo Corp. Class A | 272,851 | 3,233 | |
Destination Maternity Corp. | 141,777 | 3,228 | |
* | RetailMeNot Inc. | 118,842 | 3,162 |
* | LeapFrog Enterprises Inc. | 428,000 | 3,146 |
4
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Overstock.com Inc. | 199,131 | 3,140 |
* | William Lyon Homes Class A | 100,200 | 3,050 |
* | McClatchy Co. Class A | 544,895 | 3,024 |
* | Citi Trends Inc. | 140,821 | 3,022 |
* | Famous Dave's of America Inc. | 105,294 | 3,022 |
* | Nautilus Inc. | 262,423 | 2,910 |
ClubCorp Holdings Inc. | 156,436 | 2,900 | |
* | Kirkland's Inc. | 155,873 | 2,891 |
* | America's Car-Mart Inc. | 72,750 | 2,877 |
*,^ | Noodles & Co. Class A | 83,550 | 2,873 |
* | Career Education Corp. | 601,663 | 2,816 |
* | Motorcar Parts of America Inc. | 114,571 | 2,790 |
Big 5 Sporting Goods Corp. | 224,697 | 2,757 | |
*,^ | Container Store Group Inc. | 98,938 | 2,749 |
* | Christopher & Banks Corp. | 309,051 | 2,707 |
* | Morgans Hotel Group Co. | 339,872 | 2,695 |
AMC Entertainment Holdings Inc. | 107,000 | 2,661 | |
* | ITT Educational Services Inc. | 156,878 | 2,618 |
*,^ | Aeropostale Inc. | 747,284 | 2,608 |
* | Sizmek Inc. | 269,154 | 2,565 |
Universal Technical Institute Inc. | 211,109 | 2,563 | |
* | Stoneridge Inc. | 231,241 | 2,479 |
Shoe Carnival Inc. | 119,753 | 2,473 | |
* | VOXX International Corp. Class A | 259,811 | 2,445 |
Collectors Universe Inc. | 124,595 | 2,441 | |
Saga Communications Inc. Class A | 55,722 | 2,380 | |
* | Orbitz Worldwide Inc. | 265,455 | 2,363 |
* | Diamond Resorts International Inc. | 99,153 | 2,307 |
Marine Products Corp. | 259,660 | 2,155 | |
* | New Media Investment Group Inc. | 151,873 | 2,143 |
* | Jamba Inc. | 176,103 | 2,131 |
Flexsteel Industries Inc. | 59,627 | 1,989 | |
* | Sears Hometown and Outlet Stores Inc. | 91,123 | 1,956 |
* | Fuel Systems Solutions Inc. | 172,303 | 1,919 |
Carriage Services Inc. Class A | 112,028 | 1,919 | |
* | GoPro Inc. Class A | 46,657 | 1,892 |
* | Bridgepoint Education Inc. | 141,997 | 1,886 |
*,^ | JAKKS Pacific Inc. | 233,119 | 1,804 |
* | Vince Holding Corp. | 49,098 | 1,798 |
* | Houghton Mifflin Harcourt Co. | 93,100 | 1,784 |
Escalade Inc. | 110,334 | 1,781 | |
Spartan Motors Inc. | 383,002 | 1,739 | |
* | Bravo Brio Restaurant Group Inc. | 111,142 | 1,735 |
Lifetime Brands Inc. | 108,496 | 1,706 | |
Cherokee Inc. | 108,760 | 1,652 | |
CSS Industries Inc. | 61,983 | 1,634 | |
Remy International Inc. | 69,936 | 1,633 | |
* | hhgregg Inc. | 159,657 | 1,624 |
* | ValueVision Media Inc. Class A | 324,464 | 1,619 |
* | Tandy Leather Factory Inc. | 173,075 | 1,575 |
* | Perry Ellis International Inc. | 88,222 | 1,539 |
* | Isle of Capri Casinos Inc. | 179,195 | 1,534 |
* | Gaiam Inc. Class A | 198,738 | 1,526 |
* | Lee Enterprises Inc. | 340,043 | 1,513 |
*,^ | TRI Pointe Homes Inc. | 95,665 | 1,504 |
* | Destination XL Group Inc. | 269,687 | 1,486 |
Culp Inc. | 84,945 | 1,479 | |
* | Entercom Communications Corp. Class A | 135,021 | 1,449 |
*,^ | Central European Media Enterprises Ltd. Class A | 512,307 | 1,445 |
RG Barry Corp. | 76,093 | 1,442 | |
* | MTR Gaming Group Inc. | 266,954 | 1,428 |
Bassett Furniture Industries Inc. | 107,354 | 1,413 | |
* | Black Diamond Inc. | 124,661 | 1,399 |
* | Dixie Group Inc. | 132,074 | 1,399 |
5
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | SFX Entertainment Inc. | 172,502 | 1,397 |
Weyco Group Inc. | 50,898 | 1,395 | |
Hooker Furniture Corp. | 84,650 | 1,366 | |
* | Crown Media Holdings Inc. Class A | 374,835 | 1,361 |
* | Nathan's Famous Inc. | 24,865 | 1,347 |
* | 1-800-Flowers.com Inc. Class A | 225,149 | 1,306 |
Rocky Brands Inc. | 89,284 | 1,271 | |
* | Ambassadors Group Inc. | 269,686 | 1,243 |
* | ZAGG Inc. | 227,679 | 1,236 |
Town Sports International Holdings Inc. | 177,178 | 1,178 | |
* | Carrols Restaurant Group Inc. | 164,097 | 1,168 |
* | Systemax Inc. | 80,871 | 1,162 |
* | Monarch Casino & Resort Inc. | 75,503 | 1,143 |
* | West Marine Inc. | 110,584 | 1,135 |
* | Radio One Inc. | 225,471 | 1,112 |
* | Shiloh Industries Inc. | 59,757 | 1,103 |
* | Kona Grill Inc. | 56,567 | 1,098 |
*,^ | Coupons.com Inc. | 41,367 | 1,088 |
Winmark Corp. | 15,018 | 1,046 | |
* | Emmis Communications Corp. Class A | 348,385 | 1,042 |
Ark Restaurants Corp. | 46,300 | 1,030 | |
bebe stores inc | 332,034 | 1,013 | |
* | Martha Stewart Living Omnimedia Inc. Class A | 213,803 | 1,005 |
* | Luby's Inc. | 169,682 | 998 |
* | Rick's Cabaret International Inc. | 93,202 | 952 |
* | Insignia Systems Inc. | 291,212 | 949 |
^ | Blyth Inc. | 121,809 | 948 |
* | Century Casinos Inc. | 158,058 | 915 |
*,^ | RadioShack Corp. | 922,324 | 914 |
*,^ | Wet Seal Inc. Class A | 998,556 | 909 |
Einstein Noah Restaurant Group Inc. | 55,326 | 889 | |
^ | Bon-Ton Stores Inc. | 85,107 | 877 |
Lincoln Educational Services Corp. | 186,818 | 839 | |
Beasley Broadcasting Group Inc. Class A | 131,564 | 835 | |
*,^ | Dex Media Inc. | 71,574 | 797 |
*,^ | UQM Technologies Inc. | 349,913 | 794 |
* | Ballantyne Strong Inc. | 188,977 | 790 |
Frisch's Restaurants Inc. | 32,865 | 776 | |
*,^ | Quantum Fuel Systems Technologies Worldwide Inc. | 129,056 | 746 |
Trans World Entertainment Corp. | 195,751 | 744 | |
* | Delta Apparel Inc. | 50,959 | 730 |
* | Potbelly Corp. | 44,581 | 712 |
Dover Motorsports Inc. | 244,223 | 706 | |
* | Red Lion Hotels Corp. | 123,596 | 677 |
* | Lakes Entertainment Inc. | 138,612 | 653 |
* | Joe's Jeans Inc. | 612,767 | 650 |
* | Gaming Partners International Corp. | 74,766 | 610 |
Johnson Outdoors Inc. Class A | 22,680 | 585 | |
* | Vitacost.com Inc. | 88,649 | 555 |
* | Tilly's Inc. Class A | 68,928 | 554 |
* | Reading International Inc. Class A | 60,697 | 518 |
* | Turtle Beach Corp. | 53,974 | 499 |
* | Geeknet Inc. | 39,271 | 490 |
* | Skullcandy Inc. | 67,534 | 490 |
* | New York & Co. Inc. | 121,354 | 448 |
Sypris Solutions Inc. | 79,234 | 442 | |
* | Perfumania Holdings Inc. | 64,749 | 440 |
* | Emerson Radio Corp. | 246,030 | 438 |
* | Installed Building Products Inc. | 33,900 | 415 |
* | Spanish Broadcasting System Inc. | 73,134 | 412 |
* | Intrawest Resorts Holdings Inc. | 35,500 | 407 |
* | Charles & Colvard Ltd. | 182,786 | 402 |
* | Summer Infant Inc. | 135,595 | 391 |
* | Pacific Sunwear of California Inc. | 162,419 | 387 |
6
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | ReachLocal Inc. | 51,783 | 364 |
*,^ | Pizza Inn Holdings Inc. | 57,776 | 360 |
* | Dover Downs Gaming & Entertainment Inc. | 247,196 | 339 |
*,^ | Education Management Corp. | 193,883 | 328 |
*,^ | dELiA*s Inc. | 423,285 | 326 |
* | Malibu Boats Inc. Class A | 16,175 | 325 |
*,^ | Zoe's Kitchen Inc. | 9,411 | 324 |
* | Full House Resorts Inc. | 227,501 | 321 |
Superior Uniform Group Inc. | 18,311 | 297 | |
* | Learning Tree International Inc. | 113,615 | 291 |
Gordmans Stores Inc. | 66,947 | 288 | |
* | 2U Inc. | 15,685 | 264 |
* | Cambium Learning Group Inc. | 117,787 | 257 |
*,^ | Corinthian Colleges Inc. | 857,672 | 254 |
*,^ | American Apparel Inc. | 277,753 | 250 |
*,^ | Cache Inc. | 155,257 | 250 |
* | Skyline Corp. | 56,914 | 234 |
* | Forward Industries Inc. | 190,865 | 233 |
* | Cobra Electronics Corp. | 62,713 | 232 |
* | Ignite Restaurant Group Inc. | 15,498 | 226 |
* | Books-A-Million Inc. | 101,558 | 221 |
* | Build-A-Bear Workshop Inc. | 15,500 | 207 |
* | Stanley Furniture Co. Inc. | 76,292 | 204 |
* | WCI Communities Inc. | 10,500 | 203 |
* | Sequential Brands Group Inc. | 13,854 | 191 |
* | Fox Factory Holding Corp. | 10,180 | 179 |
* | CafePress Inc. | 33,950 | 176 |
*,^ | You On Demand Holdings Inc. | 65,243 | 176 |
* | NTN Buzztime Inc. | 287,989 | 153 |
* | Premier Exhibitions Inc. | 185,197 | 150 |
*,^ | Comstock Holding Cos. Inc. Class A | 122,728 | 146 |
* | UCP Inc. | 9,825 | 134 |
* | Empire Resorts Inc. | 18,180 | 130 |
* | Lakeland Industries Inc. | 17,187 | 123 |
* | US Auto Parts Network Inc. | 30,115 | 109 |
* | Daily Journal Corp. | 500 | 103 |
* | Chegg Inc. | 13,900 | 98 |
* | Appliance Recycling Centers of America Inc. | 24,098 | 96 |
* | Cosi Inc. | 48,560 | 55 |
* | SPAR Group Inc. | 33,227 | 50 |
Salem Communications Corp. Class A | 5,200 | 49 | |
* | Wells-Gardner Electronics Corp. | 29,185 | 40 |
* | Hemisphere Media Group Inc. | 3,097 | 39 |
* | LGI Homes Inc. | 2,000 | 37 |
* | JTH Holding Inc. Class A | 1,000 | 33 |
* | Diversified Restaurant Holdings Inc. | 6,700 | 32 |
* | Nevada Gold & Casinos Inc. | 30,913 | 31 |
* | Sport Chalet Inc. Class A | 27,740 | 23 |
*,^ | Body Central Corp. | 26,200 | 23 |
* | Entertainment Gaming Asia Inc. | 22,710 | 17 |
*,^ | EveryWare Global Inc. | 8,408 | 11 |
* | Nova Lifestyle Inc. | 1,600 | 7 |
* | Digital Cinema Destinations Corp. Class A | 400 | 2 |
* | Good Times Restaurants Inc. | 600 | 2 |
* | Hastings Entertainment Inc. | 603 | 2 |
* | Here Media Inc. | 12,670 | — |
5,978,437 | |||
Consumer Staples (3.1%) | |||
Bunge Ltd. | 1,349,560 | 102,081 | |
Church & Dwight Co. Inc. | 1,246,881 | 87,219 | |
Hillshire Brands Co. | 1,125,389 | 70,112 | |
Energizer Holdings Inc. | 565,663 | 69,028 | |
* | Rite Aid Corp. | 8,231,931 | 59,023 |
* | WhiteWave Foods Co. Class A | 1,595,337 | 51,641 |
7
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Ingredion Inc. | 684,255 | 51,347 | |
^ | Herbalife Ltd. | 737,872 | 47,622 |
* | Hain Celestial Group Inc. | 461,868 | 40,986 |
Nu Skin Enterprises Inc. Class A | 540,949 | 40,009 | |
Flowers Foods Inc. | 1,623,669 | 34,227 | |
* | Darling Ingredients Inc. | 1,523,043 | 31,832 |
* | United Natural Foods Inc. | 454,774 | 29,606 |
* | Sprouts Farmers Market Inc. | 834,230 | 27,296 |
* | TreeHouse Foods Inc. | 338,285 | 27,086 |
Casey's General Stores Inc. | 356,348 | 25,048 | |
* | Post Holdings Inc. | 400,112 | 20,370 |
* | Boston Beer Co. Inc. Class A | 82,187 | 18,370 |
Sanderson Farms Inc. | 188,555 | 18,328 | |
Spectrum Brands Holdings Inc. | 200,734 | 17,269 | |
Lancaster Colony Corp. | 179,897 | 17,119 | |
Pinnacle Foods Inc. | 500,208 | 16,457 | |
B&G Foods Inc. | 497,803 | 16,273 | |
* | Pilgrim's Pride Corp. | 553,347 | 15,140 |
Dean Foods Co. | 856,723 | 15,070 | |
* | SUPERVALU Inc. | 1,833,057 | 15,068 |
PriceSmart Inc. | 159,299 | 13,865 | |
*,^ | Susser Holdings Corp. | 167,231 | 13,499 |
J&J Snack Foods Corp. | 135,595 | 12,762 | |
Andersons Inc. | 246,066 | 12,692 | |
*,^ | Fresh Market Inc. | 372,764 | 12,476 |
Vector Group Ltd. | 591,895 | 12,240 | |
Snyder's-Lance Inc. | 453,716 | 12,005 | |
Universal Corp. | 215,047 | 11,903 | |
Fresh Del Monte Produce Inc. | 338,955 | 10,389 | |
Cal-Maine Foods Inc. | 138,359 | 10,283 | |
WD-40 Co. | 131,245 | 9,872 | |
Coty Inc. Class A | 534,088 | 9,149 | |
*,^ | Seaboard Corp. | 2,912 | 8,795 |
* | Boulder Brands Inc. | 536,736 | 7,611 |
SpartanNash Co. | 350,659 | 7,367 | |
Tootsie Roll Industries Inc. | 225,438 | 6,637 | |
* | Diamond Foods Inc. | 225,237 | 6,352 |
Weis Markets Inc. | 119,761 | 5,477 | |
* | Annie's Inc. | 160,360 | 5,423 |
* | Elizabeth Arden Inc. | 241,147 | 5,165 |
* | Medifast Inc. | 155,886 | 4,740 |
* | USANA Health Sciences Inc. | 60,421 | 4,721 |
* | Chiquita Brands International Inc. | 434,447 | 4,714 |
* | Revlon Inc. Class A | 151,462 | 4,620 |
* | Central Garden and Pet Co. Class A | 493,828 | 4,543 |
Inter Parfums Inc. | 148,476 | 4,387 | |
Calavo Growers Inc. | 126,231 | 4,270 | |
Coca-Cola Bottling Co. Consolidated | 48,459 | 3,570 | |
* | National Beverage Corp. | 186,972 | 3,538 |
* | Pantry Inc. | 218,109 | 3,533 |
Ingles Markets Inc. Class A | 125,510 | 3,307 | |
* | Harbinger Group Inc. | 238,311 | 3,027 |
* | Chefs' Warehouse Inc. | 152,339 | 3,012 |
* | Omega Protein Corp. | 180,582 | 2,470 |
John B Sanfilippo & Son Inc. | 92,466 | 2,448 | |
* | Alliance One International Inc. | 897,930 | 2,245 |
* | Nutraceutical International Corp. | 91,360 | 2,180 |
* | Seneca Foods Corp. Class A | 68,986 | 2,111 |
* | Farmer Bros Co. | 79,219 | 1,712 |
Oil-Dri Corp. of America | 52,994 | 1,620 | |
United-Guardian Inc. | 56,614 | 1,619 | |
Limoneira Co. | 71,646 | 1,574 | |
* | Natural Grocers by Vitamin Cottage Inc. | 71,281 | 1,526 |
Rocky Mountain Chocolate Factory Inc. | 111,705 | 1,473 |
8
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Roundy's Inc. | 264,172 | 1,456 | |
Orchids Paper Products Co. | 44,735 | 1,433 | |
Alico Inc. | 37,251 | 1,397 | |
MGP Ingredients Inc. | 153,808 | 1,224 | |
* | Lifeway Foods Inc. | 86,865 | 1,214 |
Village Super Market Inc. Class A | 48,908 | 1,156 | |
* | Inventure Foods Inc. | 95,837 | 1,080 |
* | Lifevantage Corp. | 738,611 | 1,064 |
Female Health Co. | 186,653 | 1,028 | |
* | S&W Seed Co. | 155,550 | 1,010 |
Nature's Sunshine Products Inc. | 53,862 | 914 | |
* | IGI Laboratories Inc. | 155,348 | 825 |
* | Craft Brew Alliance Inc. | 74,177 | 820 |
* | Synutra International Inc. | 120,640 | 810 |
*,^ | Rock Creek Pharmaceuticals Inc. | 1,359,647 | 802 |
* | Fairway Group Holdings Corp. | 97,327 | 647 |
* | Natural Alternatives International Inc. | 112,367 | 606 |
^ | Liberator Medical Holdings Inc. | 146,531 | 549 |
* | Primo Water Corp. | 60,142 | 287 |
* | Reed's Inc. | 23,806 | 125 |
* | Castle Brands Inc. | 132,889 | 118 |
* | Mannatech Inc. | 7,432 | 90 |
Reliv International Inc. | 44,259 | 71 | |
* | Coffee Holding Co. Inc. | 8,800 | 62 |
* | Crystal Rock Holdings Inc. | 42,584 | 34 |
1,249,371 | |||
Energy (6.6%) | |||
* | Weatherford International plc | 7,057,676 | 162,327 |
* | Concho Resources Inc. | 1,024,766 | 148,079 |
* | Cheniere Energy Inc. | 2,007,722 | 143,954 |
* | Whiting Petroleum Corp. | 1,091,179 | 87,567 |
HollyFrontier Corp. | 1,822,340 | 79,618 | |
Oceaneering International Inc. | 990,635 | 77,398 | |
Core Laboratories NV | 411,684 | 68,776 | |
* | Continental Resources Inc. | 392,753 | 62,071 |
Energen Corp. | 667,785 | 59,353 | |
Superior Energy Services Inc. | 1,436,843 | 51,928 | |
SM Energy Co. | 615,276 | 51,745 | |
* | Cobalt International Energy Inc. | 2,724,261 | 49,990 |
* | Oasis Petroleum Inc. | 885,440 | 49,487 |
* | Gulfport Energy Corp. | 783,803 | 49,223 |
Patterson-UTI Energy Inc. | 1,325,444 | 46,311 | |
* | Dresser-Rand Group Inc. | 701,688 | 44,719 |
* | WPX Energy Inc. | 1,854,036 | 44,330 |
* | Ultra Petroleum Corp. | 1,405,308 | 41,724 |
* | Dril-Quip Inc. | 373,287 | 40,778 |
Targa Resources Corp. | 261,714 | 36,527 | |
* | Kodiak Oil & Gas Corp. | 2,464,955 | 35,865 |
World Fuel Services Corp. | 666,290 | 32,801 | |
* | Rosetta Resources Inc. | 567,922 | 31,151 |
* | Oil States International Inc. | 484,529 | 31,053 |
SemGroup Corp. Class A | 393,820 | 31,053 | |
* | Diamondback Energy Inc. | 333,757 | 29,638 |
CARBO Ceramics Inc. | 183,881 | 28,340 | |
* | Atwood Oceanics Inc. | 535,118 | 28,083 |
* | Unit Corp. | 405,805 | 27,932 |
* | Carrizo Oil & Gas Inc. | 383,520 | 26,563 |
Bristow Group Inc. | 325,381 | 26,232 | |
Tidewater Inc. | 458,224 | 25,729 | |
Exterran Holdings Inc. | 542,874 | 24,424 | |
* | Helix Energy Solutions Group Inc. | 911,407 | 23,979 |
*,^ | SandRidge Energy Inc. | 3,345,898 | 23,923 |
* | Stone Energy Corp. | 506,463 | 23,697 |
* | Antero Resources Corp. | 339,832 | 22,303 |
9
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Athlon Energy Inc. | 463,270 | 22,098 |
* | Forum Energy Technologies Inc. | 591,339 | 21,542 |
PBF Energy Inc. Class A | 800,153 | 21,324 | |
* | PDC Energy Inc. | 330,643 | 20,880 |
Energy XXI Bermuda Ltd. | 861,161 | 20,349 | |
Western Refining Inc. | 495,036 | 18,589 | |
* | Matador Resources Co. | 625,484 | 18,314 |
*,^ | McDermott International Inc. | 2,196,281 | 17,768 |
* | Sanchez Energy Corp. | 466,802 | 17,547 |
*,^ | Halcon Resources Corp. | 2,345,694 | 17,100 |
* | Laredo Petroleum Inc. | 543,010 | 16,822 |
* | Bonanza Creek Energy Inc. | 265,752 | 15,198 |
* | SEACOR Holdings Inc. | 175,626 | 14,445 |
* | C&J Energy Services Inc. | 426,531 | 14,408 |
* | Hornbeck Offshore Services Inc. | 301,806 | 14,161 |
Delek US Holdings Inc. | 484,049 | 13,665 | |
RPC Inc. | 549,545 | 12,909 | |
* | Magnum Hunter Resources Corp. | 1,546,742 | 12,683 |
* | Rice Energy Inc. | 413,369 | 12,587 |
* | Bill Barrett Corp. | 456,639 | 12,229 |
Comstock Resources Inc. | 411,972 | 11,881 | |
* | Key Energy Services Inc. | 1,208,478 | 11,045 |
* | Kosmos Energy Ltd. | 938,055 | 10,534 |
* | Cloud Peak Energy Inc. | 565,014 | 10,408 |
Gulfmark Offshore Inc. | 228,608 | 10,329 | |
* | Pioneer Energy Services Corp. | 582,701 | 10,221 |
* | Newpark Resources Inc. | 801,648 | 9,989 |
Green Plains Inc. | 291,707 | 9,588 | |
* | Basic Energy Services Inc. | 318,783 | 9,315 |
^ | EXCO Resources Inc. | 1,566,179 | 9,225 |
*,^ | Goodrich Petroleum Corp. | 316,566 | 8,737 |
* | Northern Oil and Gas Inc. | 532,292 | 8,671 |
* | Clayton Williams Energy Inc. | 62,933 | 8,645 |
* | TETRA Technologies Inc. | 733,769 | 8,644 |
* | Penn Virginia Corp. | 488,591 | 8,282 |
* | Matrix Service Co. | 244,236 | 8,009 |
* | Parker Drilling Co. | 1,177,712 | 7,679 |
*,^ | Clean Energy Fuels Corp. | 654,743 | 7,674 |
* | Alpha Natural Resources Inc. | 2,066,856 | 7,668 |
* | Approach Resources Inc. | 333,228 | 7,574 |
Arch Coal Inc. | 1,988,903 | 7,259 | |
* | Rex Energy Corp. | 405,377 | 7,179 |
CVR Energy Inc. | 147,794 | 7,122 | |
* | Geospace Technologies Corp. | 123,769 | 6,817 |
* | Synergy Resources Corp. | 513,995 | 6,810 |
* | Abraxas Petroleum Corp. | 1,067,978 | 6,686 |
* | Triangle Petroleum Corp. | 562,130 | 6,605 |
Frank's International NV | 256,371 | 6,307 | |
Seventy Seven Energy Inc. | 264,700 | 6,234 | |
* | Contango Oil & Gas Co. | 146,047 | 6,179 |
* | Hercules Offshore Inc. | 1,528,493 | 6,145 |
* | Willbros Group Inc. | 475,624 | 5,874 |
W&T Offshore Inc. | 348,190 | 5,700 | |
*,^ | Swift Energy Co. | 432,886 | 5,619 |
* | EP Energy Corp. Class A | 241,365 | 5,563 |
Tesco Corp. | 242,682 | 5,179 | |
* | ION Geophysical Corp. | 1,205,828 | 5,089 |
*,^ | Solazyme Inc. | 428,755 | 5,051 |
* | Era Group Inc. | 168,484 | 4,832 |
*,^ | Quicksilver Resources Inc. | 1,675,728 | 4,474 |
* | RSP Permian Inc. | 134,800 | 4,373 |
* | Westmoreland Coal Co. | 119,899 | 4,350 |
* | Warren Resources Inc. | 689,176 | 4,273 |
* | PetroQuest Energy Inc. | 559,975 | 4,211 |
10
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | BPZ Resources Inc. | 1,356,743 | 4,179 |
* | Gastar Exploration Inc. | 472,601 | 4,116 |
* | VAALCO Energy Inc. | 562,715 | 4,068 |
* | Resolute Energy Corp. | 452,753 | 3,912 |
* | RigNet Inc. | 71,293 | 3,837 |
* | Callon Petroleum Co. | 328,473 | 3,827 |
* | REX American Resources Corp. | 49,305 | 3,615 |
Gulf Island Fabrication Inc. | 158,038 | 3,401 | |
* | Vantage Drilling Co. | 1,751,261 | 3,362 |
*,^ | Emerald Oil Inc. | 425,141 | 3,252 |
* | PHI Inc. | 75,566 | 3,021 |
* | Natural Gas Services Group Inc. | 88,583 | 2,929 |
*,^ | Nuverra Environmental Solutions Inc. | 138,548 | 2,786 |
* | Forest Oil Corp. | 1,179,447 | 2,689 |
Panhandle Oil and Gas Inc. Class A | 47,137 | 2,641 | |
*,^ | Miller Energy Resources Inc. | 407,403 | 2,607 |
Alon USA Energy Inc. | 190,624 | 2,371 | |
Dawson Geophysical Co. | 77,633 | 2,224 | |
* | Eclipse Resources Corp. | 84,250 | 2,117 |
* | Harvest Natural Resources Inc. | 405,308 | 2,022 |
Evolution Petroleum Corp. | 176,465 | 1,932 | |
* | Mitcham Industries Inc. | 137,895 | 1,928 |
* | Renewable Energy Group Inc. | 161,207 | 1,849 |
Bolt Technology Corp. | 93,804 | 1,721 | |
*,^ | Glori Energy Inc. | 157,500 | 1,710 |
* | FX Energy Inc. | 469,419 | 1,695 |
* | Pacific Ethanol Inc. | 108,592 | 1,660 |
* | Midstates Petroleum Co. Inc. | 215,281 | 1,556 |
* | Ring Energy Inc. | 87,800 | 1,532 |
* | Jones Energy Inc. | 73,871 | 1,514 |
*,^ | Cal Dive International Inc. | 1,099,177 | 1,451 |
*,^ | Hyperdynamics Corp. | 418,125 | 1,359 |
Adams Resources & Energy Inc. | 17,253 | 1,348 | |
* | PHI Inc. NV | 28,350 | 1,264 |
*,^ | CAMAC Energy Inc. | 1,747,361 | 1,223 |
* | US Energy Corp. Wyoming | 269,858 | 1,168 |
* | Apco Oil and Gas International Inc. | 80,609 | 1,163 |
*,^ | Uranium Energy Corp. | 728,904 | 1,137 |
*,^ | ZaZa Energy Corp. | 1,264,013 | 1,112 |
*,^ | Royale Energy Inc. | 291,305 | 1,017 |
*,^ | Amyris Inc. | 240,484 | 897 |
* | Isramco Inc. | 7,045 | 896 |
* | Saratoga Resources Inc. | 501,406 | 882 |
* | CHC Group Ltd. | 91,300 | 771 |
* | Magellan Petroleum Corp. | 344,949 | 759 |
*,^ | Endeavour International Corp. | 533,144 | 730 |
* | TransAtlantic Petroleum Ltd. | 62,000 | 706 |
Hallador Energy Co. | 69,852 | 663 | |
* | Forbes Energy Services Ltd. | 130,816 | 598 |
*,^ | Uranerz Energy Corp. | 386,967 | 573 |
* | Synthesis Energy Systems Inc. | 280,760 | 528 |
* | TGC Industries Inc. | 95,718 | 522 |
*,^ | Zion Oil & Gas Inc. | 234,790 | 486 |
* | Uranium Resources Inc. | 183,701 | 474 |
* | Syntroleum Corp. | 111,323 | 373 |
* | BioFuel Energy Corp. | 51,681 | 355 |
*,^ | Gevo Inc. | 402,933 | 347 |
* | American Eagle Energy Corp. | 56,877 | 341 |
* | Pyramid Oil Co. | 56,343 | 327 |
* | Escalera Resources Co. | 116,717 | 308 |
*,^ | GreenHunter Resources Inc. | 142,231 | 282 |
* | Tengasco Inc. | 558,194 | 246 |
* | FieldPoint Petroleum Corp. | 35,776 | 197 |
* | PrimeEnergy Corp. | 2,726 | 175 |
11
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Barnwell Industries Inc. | 46,909 | 151 |
* | Lucas Energy Inc. | 233,203 | 135 |
*,^ | Ceres Inc. | 161,449 | 108 |
* | Lilis Energy Inc. | 44,772 | 78 |
* | PostRock Energy Corp. | 45,606 | 68 |
* | Vertex Energy Inc. | 6,600 | 64 |
* | FieldPoint Petroleum Corp. Warrants Exp 03/23/2017 | 33,558 | 54 |
* | PEDEVCO Corp. | 16,800 | 34 |
*,^ | KiOR Inc. | 64,371 | 23 |
* | SAExploration Holdings Inc. | 100 | 1 |
* | James River Coal Co. | 253 | — |
2,630,805 | |||
Financials (22.1%) | |||
American Realty Capital Properties Inc. | 8,271,848 | 103,646 | |
Annaly Capital Management Inc. | 8,691,438 | 99,343 | |
SL Green Realty Corp. | 875,626 | 95,802 | |
Realty Income Corp. | 2,031,303 | 90,230 | |
* | Markel Corp. | 128,153 | 84,022 |
CIT Group Inc. | 1,811,034 | 82,873 | |
American Capital Agency Corp. | 3,236,009 | 75,755 | |
Federal Realty Investment Trust | 617,064 | 74,615 | |
^ | Digital Realty Trust Inc. | 1,241,429 | 72,400 |
Willis Group Holdings plc | 1,640,787 | 71,046 | |
TD Ameritrade Holding Corp. | 2,175,408 | 68,199 | |
Everest Re Group Ltd. | 422,918 | 67,874 | |
Arthur J Gallagher & Co. | 1,441,054 | 67,153 | |
* | Alleghany Corp. | 151,034 | 66,171 |
UDR Inc. | 2,306,441 | 66,033 | |
New York Community Bancorp Inc. | 4,060,068 | 64,880 | |
First Republic Bank | 1,137,273 | 62,539 | |
* | Arch Capital Group Ltd. | 1,082,565 | 62,183 |
Lazard Ltd. Class A | 1,190,151 | 61,364 | |
* | Signature Bank | 458,573 | 57,863 |
NorthStar Realty Finance Corp. | 3,325,561 | 57,798 | |
Raymond James Financial Inc. | 1,139,050 | 57,784 | |
Camden Property Trust | 785,060 | 55,857 | |
Duke Realty Corp. | 3,027,347 | 54,977 | |
Extra Space Storage Inc. | 1,010,958 | 53,834 | |
* | SVB Financial Group | 457,045 | 53,301 |
Jones Lang LaSalle Inc. | 408,974 | 51,690 | |
Liberty Property Trust | 1,357,011 | 51,471 | |
Alexandria Real Estate Equities Inc. | 657,324 | 51,035 | |
* | Realogy Holdings Corp. | 1,340,600 | 50,554 |
Mid-America Apartment Communities Inc. | 688,213 | 50,274 | |
Protective Life Corp. | 723,364 | 50,151 | |
Reinsurance Group of America Inc. Class A | 633,838 | 50,010 | |
Waddell & Reed Financial Inc. Class A | 785,332 | 49,154 | |
* | MSCI Inc. Class A | 1,070,918 | 49,102 |
Starwood Property Trust Inc. | 2,029,782 | 48,248 | |
Regency Centers Corp. | 847,280 | 47,177 | |
DDR Corp. | 2,670,732 | 47,085 | |
Kilroy Realty Corp. | 754,348 | 46,981 | |
East West Bancorp Inc. | 1,315,785 | 46,039 | |
* | Howard Hughes Corp. | 287,190 | 45,327 |
Senior Housing Properties Trust | 1,865,504 | 45,313 | |
Voya Financial Inc. | 1,237,989 | 44,989 | |
HCC Insurance Holdings Inc. | 916,697 | 44,863 | |
PartnerRe Ltd. | 407,767 | 44,532 | |
Taubman Centers Inc. | 580,513 | 44,009 | |
WR Berkley Corp. | 948,661 | 43,933 | |
SEI Investments Co. | 1,303,968 | 42,731 | |
Omega Healthcare Investors Inc. | 1,151,404 | 42,441 | |
National Retail Properties Inc. | 1,129,438 | 42,004 | |
Eaton Vance Corp. | 1,107,619 | 41,857 |
12
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Hospitality Properties Trust | 1,373,826 | 41,764 | |
Rayonier Inc. | 1,154,472 | 41,041 | |
Axis Capital Holdings Ltd. | 919,745 | 40,726 | |
RenaissanceRe Holdings Ltd. | 371,644 | 39,766 | |
* | Ocwen Financial Corp. | 1,059,278 | 39,299 |
Spirit Realty Capital Inc. | 3,428,075 | 38,943 | |
American Financial Group Inc. | 653,842 | 38,943 | |
CBOE Holdings Inc. | 785,213 | 38,640 | |
Cullen/Frost Bankers Inc. | 485,691 | 38,574 | |
BioMed Realty Trust Inc. | 1,757,697 | 38,371 | |
PacWest Bancorp | 884,039 | 38,164 | |
American Campus Communities Inc. | 961,525 | 36,769 | |
Old Republic International Corp. | 2,212,389 | 36,593 | |
Assured Guaranty Ltd. | 1,459,276 | 35,752 | |
Two Harbors Investment Corp. | 3,381,820 | 35,441 | |
CNO Financial Group Inc. | 1,989,627 | 35,415 | |
Corrections Corp. of America | 1,074,828 | 35,308 | |
Highwoods Properties Inc. | 833,462 | 34,964 | |
LPL Financial Holdings Inc. | 700,477 | 34,842 | |
WP Carey Inc. | 540,941 | 34,837 | |
RLJ Lodging Trust | 1,195,223 | 34,530 | |
* | Investors Bancorp Inc. | 3,121,015 | 34,487 |
Prosperity Bancshares Inc. | 549,632 | 34,407 | |
Commerce Bancshares Inc. | 738,786 | 34,354 | |
Allied World Assurance Co. Holdings AG | 900,066 | 34,221 | |
Douglas Emmett Inc. | 1,203,105 | 33,952 | |
Weingarten Realty Investors | 1,030,115 | 33,829 | |
LaSalle Hotel Properties | 953,736 | 33,657 | |
Home Properties Inc. | 523,561 | 33,487 | |
City National Corp. | 440,911 | 33,403 | |
Brown & Brown Inc. | 1,085,399 | 33,333 | |
* | Popular Inc. | 948,400 | 32,416 |
SLM Corp. | 3,859,776 | 32,075 | |
Equity Lifestyle Properties Inc. | 725,576 | 32,041 | |
Validus Holdings Ltd. | 828,844 | 31,695 | |
BankUnited Inc. | 934,333 | 31,281 | |
Synovus Financial Corp. | 1,273,862 | 31,057 | |
White Mountains Insurance Group Ltd. | 50,932 | 30,989 | |
Tanger Factory Outlet Centers Inc. | 884,457 | 30,929 | |
Chimera Investment Corp. | 9,516,370 | 30,357 | |
FirstMerit Corp. | 1,530,483 | 30,227 | |
Columbia Property Trust Inc. | 1,154,574 | 30,030 | |
CBL & Associates Properties Inc. | 1,576,241 | 29,949 | |
* | Forest City Enterprises Inc. Class A | 1,463,022 | 29,070 |
* | MGIC Investment Corp. | 3,131,295 | 28,933 |
First Niagara Financial Group Inc. | 3,277,235 | 28,643 | |
Umpqua Holdings Corp. | 1,580,607 | 28,324 | |
Gaming and Leisure Properties Inc. | 821,996 | 27,923 | |
MFA Financial Inc. | 3,397,445 | 27,893 | |
* | Portfolio Recovery Associates Inc. | 462,165 | 27,513 |
EPR Properties | 490,142 | 27,384 | |
Aspen Insurance Holdings Ltd. | 602,736 | 27,376 | |
First American Financial Corp. | 983,802 | 27,340 | |
CommonWealth REIT | 1,030,701 | 27,128 | |
Piedmont Office Realty Trust Inc. Class A | 1,429,481 | 27,074 | |
Federated Investors Inc. Class B | 873,160 | 26,998 | |
Hancock Holding Co. | 761,635 | 26,901 | |
Post Properties Inc. | 502,995 | 26,890 | |
Retail Properties of America Inc. | 1,728,709 | 26,588 | |
* | Stifel Financial Corp. | 561,415 | 26,583 |
* | Washington Prime Group Inc. | 1,418,046 | 26,574 |
Webster Financial Corp. | 836,571 | 26,385 | |
Sunstone Hotel Investors Inc. | 1,764,971 | 26,351 | |
Associated Banc-Corp | 1,456,578 | 26,335 |
13
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Strategic Hotels & Resorts Inc. | 2,235,484 | 26,178 |
First Horizon National Corp. | 2,189,432 | 25,967 | |
StanCorp Financial Group Inc. | 404,846 | 25,910 | |
Radian Group Inc. | 1,745,521 | 25,851 | |
Hanover Insurance Group Inc. | 406,387 | 25,663 | |
TCF Financial Corp. | 1,532,164 | 25,082 | |
DCT Industrial Trust Inc. | 3,006,895 | 24,687 | |
Bank of Hawaii Corp. | 412,574 | 24,214 | |
ProAssurance Corp. | 542,364 | 24,081 | |
Geo Group Inc. | 667,379 | 23,845 | |
Primerica Inc. | 497,010 | 23,782 | |
Sovran Self Storage Inc. | 301,181 | 23,266 | |
DiamondRock Hospitality Co. | 1,810,236 | 23,207 | |
Brandywine Realty Trust | 1,451,109 | 22,637 | |
Healthcare Realty Trust Inc. | 888,857 | 22,595 | |
Ryman Hospitality Properties Inc. | 468,907 | 22,578 | |
CubeSmart | 1,231,140 | 22,555 | |
Corporate Office Properties Trust | 809,206 | 22,504 | |
UMB Financial Corp. | 348,384 | 22,084 | |
Pebblebrook Hotel Trust | 591,064 | 21,846 | |
* | St. Joe Co. | 855,478 | 21,755 |
Financial Engines Inc. | 472,603 | 21,399 | |
Fulton Financial Corp. | 1,725,647 | 21,381 | |
* | Texas Capital Bancshares Inc. | 395,783 | 21,353 |
Endurance Specialty Holdings Ltd. | 411,092 | 21,208 | |
Cousins Properties Inc. | 1,689,822 | 21,038 | |
* | Ally Financial Inc. | 878,584 | 21,007 |
Medical Properties Trust Inc. | 1,576,056 | 20,867 | |
^ | Lexington Realty Trust | 1,892,175 | 20,833 |
Washington Federal Inc. | 925,366 | 20,756 | |
Iberiabank Corp. | 298,011 | 20,619 | |
Bank of the Ozarks Inc. | 598,158 | 20,008 | |
Healthcare Trust of America Inc. Class A | 1,649,859 | 19,864 | |
Invesco Mortgage Capital Inc. | 1,139,961 | 19,790 | |
Symetra Financial Corp. | 868,369 | 19,747 | |
FNB Corp. | 1,538,001 | 19,717 | |
Wintrust Financial Corp. | 428,627 | 19,717 | |
Glacier Bancorp Inc. | 690,886 | 19,607 | |
Colony Financial Inc. | 839,007 | 19,482 | |
BancorpSouth Inc. | 780,565 | 19,179 | |
MarketAxess Holdings Inc. | 350,676 | 18,958 | |
United Bankshares Inc. | 580,503 | 18,768 | |
Evercore Partners Inc. Class A | 321,737 | 18,545 | |
Valley National Bancorp | 1,859,244 | 18,425 | |
Susquehanna Bancshares Inc. | 1,740,188 | 18,376 | |
EastGroup Properties Inc. | 286,046 | 18,373 | |
PrivateBancorp Inc. | 614,053 | 17,844 | |
Hatteras Financial Corp. | 895,624 | 17,742 | |
First Financial Bankshares Inc. | 564,708 | 17,715 | |
Mack-Cali Realty Corp. | 821,067 | 17,637 | |
Chambers Street Properties | 2,190,951 | 17,615 | |
Cathay General Bancorp | 687,042 | 17,561 | |
First Industrial Realty Trust Inc. | 929,763 | 17,517 | |
Kemper Corp. | 473,979 | 17,471 | |
Janus Capital Group Inc. | 1,399,497 | 17,466 | |
Sun Communities Inc. | 347,546 | 17,322 | |
Erie Indemnity Co. Class A | 229,841 | 17,298 | |
* | Altisource Portfolio Solutions SA | 150,385 | 17,231 |
Artisan Partners Asset Management Inc. Class A | 301,241 | 17,074 | |
Kennedy-Wilson Holdings Inc. | 630,274 | 16,904 | |
National Health Investors Inc. | 270,075 | 16,896 | |
American Equity Investment Life Holding Co. | 681,746 | 16,771 | |
* | Western Alliance Bancorp | 704,178 | 16,759 |
Alexander & Baldwin Inc. | 397,771 | 16,488 |
14
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | New York REIT Inc. | 1,479,772 | 16,366 |
DuPont Fabros Technology Inc. | 604,798 | 16,305 | |
New Residential Investment Corp. | 2,580,444 | 16,257 | |
Washington REIT | 616,227 | 16,010 | |
Platinum Underwriters Holdings Ltd. | 246,000 | 15,953 | |
EverBank Financial Corp. | 786,022 | 15,846 | |
Mercury General Corp. | 336,715 | 15,839 | |
Newcastle Investment Corp. | 3,255,344 | 15,593 | |
PS Business Parks Inc. | 186,756 | 15,592 | |
Potlatch Corp. | 376,093 | 15,570 | |
First Citizens BancShares Inc. Class A | 63,453 | 15,546 | |
Trustmark Corp. | 625,647 | 15,447 | |
* | First Cash Financial Services Inc. | 268,004 | 15,434 |
* | Enstar Group Ltd. | 100,894 | 15,208 |
PennyMac Mortgage Investment Trust | 686,576 | 15,063 | |
Redwood Trust Inc. | 766,290 | 14,920 | |
Acadia Realty Trust | 526,525 | 14,790 | |
Capitol Federal Financial Inc. | 1,202,685 | 14,625 | |
RLI Corp. | 318,682 | 14,589 | |
* | MBIA Inc. | 1,321,069 | 14,585 |
Glimcher Realty Trust | 1,344,552 | 14,562 | |
Home BancShares Inc. | 441,238 | 14,481 | |
International Bancshares Corp. | 530,937 | 14,335 | |
ARMOUR Residential REIT Inc. | 3,262,610 | 14,127 | |
Chesapeake Lodging Trust | 463,821 | 14,021 | |
CVB Financial Corp. | 872,868 | 13,992 | |
Old National Bancorp | 978,029 | 13,966 | |
Equity One Inc. | 586,665 | 13,839 | |
Parkway Properties Inc. | 669,732 | 13,830 | |
MB Financial Inc. | 510,427 | 13,807 | |
* | Virtus Investment Partners Inc. | 65,112 | 13,787 |
Santander Consumer USA Holdings Inc. | 707,928 | 13,762 | |
Altisource Residential Corp. | 524,880 | 13,663 | |
Home Loan Servicing Solutions Ltd. | 600,460 | 13,648 | |
* | South State Corp. | 223,622 | 13,641 |
Community Bank System Inc. | 376,180 | 13,618 | |
CYS Investments Inc. | 1,498,686 | 13,518 | |
Education Realty Trust Inc. | 1,248,975 | 13,414 | |
* | Hilltop Holdings Inc. | 629,023 | 13,373 |
Hudson Pacific Properties Inc. | 509,510 | 12,911 | |
Government Properties Income Trust | 507,993 | 12,898 | |
Selective Insurance Group Inc. | 521,320 | 12,887 | |
Westamerica Bancorporation | 244,688 | 12,792 | |
BOK Financial Corp. | 191,315 | 12,742 | |
Columbia Banking System Inc. | 482,678 | 12,699 | |
Blackstone Mortgage Trust Inc. Class A | 437,637 | 12,691 | |
LTC Properties Inc. | 323,373 | 12,625 | |
Retail Opportunity Investments Corp. | 800,841 | 12,597 | |
Sabra Health Care REIT Inc. | 433,476 | 12,445 | |
Argo Group International Holdings Ltd. | 239,781 | 12,255 | |
Pinnacle Financial Partners Inc. | 308,414 | 12,176 | |
Greenhill & Co. Inc. | 246,583 | 12,144 | |
Hersha Hospitality Trust Class A | 1,787,023 | 11,991 | |
Pennsylvania REIT | 635,367 | 11,958 | |
STAG Industrial Inc. | 497,316 | 11,941 | |
First Midwest Bancorp Inc. | 699,003 | 11,904 | |
Northwest Bancshares Inc. | 877,163 | 11,903 | |
^ | AmTrust Financial Services Inc. | 284,297 | 11,886 |
Montpelier Re Holdings Ltd. | 370,290 | 11,831 | |
* | WisdomTree Investments Inc. | 955,177 | 11,806 |
Horace Mann Educators Corp. | 377,233 | 11,796 | |
BBCN Bancorp Inc. | 736,956 | 11,754 | |
Capstead Mortgage Corp. | 890,102 | 11,705 | |
BGC Partners Inc. Class A | 1,569,711 | 11,679 |
15
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Cash America International Inc. | 260,693 | 11,583 | |
* | PHH Corp. | 499,047 | 11,468 |
Empire State Realty Trust Inc. | 693,544 | 11,443 | |
HFF Inc. Class A | 307,489 | 11,436 | |
* | Ambac Financial Group Inc. | 414,964 | 11,333 |
American Assets Trust Inc. | 327,070 | 11,300 | |
Union Bankshares Corp. | 430,831 | 11,051 | |
National Penn Bancshares Inc. | 1,034,140 | 10,941 | |
* | iStar Financial Inc. | 729,738 | 10,931 |
* | Credit Acceptance Corp. | 87,824 | 10,811 |
FelCor Lodging Trust Inc. | 1,027,754 | 10,802 | |
Brixmor Property Group Inc. | 464,177 | 10,653 | |
* | TFS Financial Corp. | 746,545 | 10,646 |
Astoria Financial Corp. | 780,317 | 10,495 | |
Interactive Brokers Group Inc. | 446,622 | 10,402 | |
* | Capital Bank Financial Corp. | 439,939 | 10,387 |
Ramco-Gershenson Properties Trust | 619,776 | 10,301 | |
*,^ | Walter Investment Management Corp. | 343,866 | 10,240 |
Franklin Street Properties Corp. | 808,264 | 10,168 | |
CNA Financial Corp. | 250,671 | 10,132 | |
Boston Private Financial Holdings Inc. | 743,635 | 9,994 | |
* | Encore Capital Group Inc. | 217,713 | 9,889 |
* | KCG Holdings Inc. Class A | 828,482 | 9,842 |
Select Income REIT | 331,652 | 9,830 | |
NBT Bancorp Inc. | 406,989 | 9,776 | |
Associated Estates Realty Corp. | 534,088 | 9,624 | |
* | Starwood Waypoint Residential Trust | 362,270 | 9,495 |
American Capital Mortgage Investment Corp. | 468,795 | 9,385 | |
Park National Corp. | 120,173 | 9,277 | |
First Financial Bancorp | 534,077 | 9,191 | |
Investors Real Estate Trust | 993,752 | 9,152 | |
National General Holdings Corp. | 518,502 | 9,022 | |
ViewPoint Financial Group Inc. | 334,166 | 8,992 | |
* | Greenlight Capital Re Ltd. Class A | 272,898 | 8,989 |
First Commonwealth Financial Corp. | 963,209 | 8,881 | |
Sterling Bancorp | 729,950 | 8,759 | |
Alexander's Inc. | 23,328 | 8,619 | |
Provident Financial Services Inc. | 497,302 | 8,613 | |
* | Eagle Bancorp Inc. | 252,938 | 8,537 |
Independent Bank Corp. | 222,063 | 8,523 | |
WesBanco Inc. | 272,267 | 8,451 | |
Renasant Corp. | 290,566 | 8,447 | |
Nelnet Inc. Class A | 203,686 | 8,439 | |
* | Piper Jaffray Cos. | 162,100 | 8,392 |
* | BofI Holding Inc. | 113,940 | 8,371 |
American Homes 4 Rent Class A | 471,337 | 8,371 | |
National Bank Holdings Corp. Class A | 419,094 | 8,357 | |
OFG Bancorp | 453,401 | 8,347 | |
Chemical Financial Corp. | 296,968 | 8,339 | |
Inland Real Estate Corp. | 780,813 | 8,300 | |
Summit Hotel Properties Inc. | 770,006 | 8,162 | |
* | ICG Group Inc. | 390,871 | 8,161 |
First Potomac Realty Trust | 611,226 | 8,019 | |
*,^ | World Acceptance Corp. | 105,192 | 7,990 |
Infinity Property & Casualty Corp. | 117,561 | 7,904 | |
Wilshire Bancorp Inc. | 765,082 | 7,857 | |
Ashford Hospitality Trust Inc. | 674,121 | 7,779 | |
City Holding Co. | 172,240 | 7,771 | |
Cohen & Steers Inc. | 177,877 | 7,716 | |
AMERISAFE Inc. | 187,028 | 7,606 | |
S&T Bancorp Inc. | 302,588 | 7,519 | |
Hanmi Financial Corp. | 354,785 | 7,479 | |
Banner Corp. | 186,788 | 7,402 | |
Anworth Mortgage Asset Corp. | 1,419,242 | 7,323 |
16
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Kite Realty Group Trust | 1,180,788 | 7,250 | |
*,^ | Nationstar Mortgage Holdings Inc. | 199,258 | 7,233 |
* | Navigators Group Inc. | 107,177 | 7,186 |
Resource Capital Corp. | 1,260,885 | 7,099 | |
CoreSite Realty Corp. | 214,129 | 7,081 | |
Saul Centers Inc. | 143,340 | 6,966 | |
Simmons First National Corp. Class A | 175,575 | 6,916 | |
Safety Insurance Group Inc. | 131,915 | 6,778 | |
* | Investment Technology Group Inc. | 399,460 | 6,743 |
* | eHealth Inc. | 176,355 | 6,696 |
Flushing Financial Corp. | 325,186 | 6,683 | |
* | Forestar Group Inc. | 347,867 | 6,641 |
Maiden Holdings Ltd. | 548,022 | 6,626 | |
United Fire Group Inc. | 224,349 | 6,578 | |
Brookline Bancorp Inc. | 697,305 | 6,534 | |
First Merchants Corp. | 306,599 | 6,482 | |
Employers Holdings Inc. | 301,047 | 6,376 | |
American National Insurance Co. | 55,515 | 6,340 | |
TrustCo Bank Corp. NY | 948,386 | 6,335 | |
Excel Trust Inc. | 474,231 | 6,322 | |
United Community Banks Inc. | 384,089 | 6,288 | |
* | Ameris Bancorp | 288,798 | 6,227 |
Oritani Financial Corp. | 401,794 | 6,184 | |
United Financial Bancorp Inc. | 455,513 | 6,172 | |
^ | Southside Bancshares Inc. | 211,911 | 6,137 |
Northfield Bancorp Inc. | 466,629 | 6,118 | |
Community Trust Bancorp Inc. | 176,694 | 6,046 | |
Apollo Residential Mortgage Inc. | 359,194 | 6,006 | |
CyrusOne Inc. | 240,286 | 5,983 | |
FBL Financial Group Inc. Class A | 129,783 | 5,970 | |
* | Customers Bancorp Inc. | 298,337 | 5,970 |
* | Ezcorp Inc. Class A | 515,251 | 5,951 |
Getty Realty Corp. | 310,958 | 5,933 | |
Stewart Information Services Corp. | 189,099 | 5,864 | |
Sandy Spring Bancorp Inc. | 235,072 | 5,856 | |
Universal Health Realty Income Trust | 134,137 | 5,832 | |
State Bank Financial Corp. | 343,126 | 5,802 | |
Lakeland Financial Corp. | 150,485 | 5,743 | |
Berkshire Hills Bancorp Inc. | 247,163 | 5,739 | |
AG Mortgage Investment Trust Inc. | 297,710 | 5,636 | |
National Western Life Insurance Co. Class A | 22,564 | 5,628 | |
Urstadt Biddle Properties Inc. Class A | 269,241 | 5,622 | |
Central Pacific Financial Corp. | 280,648 | 5,571 | |
Campus Crest Communities Inc. | 640,466 | 5,546 | |
Apollo Commercial Real Estate Finance Inc. | 334,374 | 5,514 | |
* | PICO Holdings Inc. | 226,827 | 5,389 |
* | Safeguard Scientifics Inc. | 254,772 | 5,297 |
Silver Bay Realty Trust Corp. | 317,036 | 5,174 | |
BancFirst Corp. | 82,061 | 5,080 | |
Aviv REIT Inc. | 178,310 | 5,023 | |
Tompkins Financial Corp. | 103,376 | 4,981 | |
Winthrop Realty Trust | 321,989 | 4,943 | |
Washington Trust Bancorp Inc. | 134,391 | 4,942 | |
* | Beneficial Mutual Bancorp Inc. | 363,360 | 4,927 |
New York Mortgage Trust Inc. | 630,736 | 4,926 | |
RAIT Financial Trust | 590,570 | 4,884 | |
WSFS Financial Corp. | 66,032 | 4,865 | |
Cardinal Financial Corp. | 261,547 | 4,828 | |
Rouse Properties Inc. | 277,413 | 4,747 | |
Dime Community Bancshares Inc. | 300,362 | 4,743 | |
* | Bancorp Inc. | 385,400 | 4,590 |
* | Tejon Ranch Co. | 141,962 | 4,570 |
* | Springleaf Holdings Inc. | 175,605 | 4,557 |
* | First BanCorp | 830,734 | 4,519 |
17
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Agree Realty Corp. | 148,014 | 4,474 | |
Southwest Bancorp Inc. | 261,036 | 4,453 | |
GAMCO Investors Inc. | 53,557 | 4,448 | |
Great Southern Bancorp Inc. | 138,629 | 4,443 | |
First Interstate BancSystem Inc. | 162,407 | 4,414 | |
FXCM Inc. Class A | 292,517 | 4,376 | |
National Interstate Corp. | 155,630 | 4,361 | |
Terreno Realty Corp. | 221,443 | 4,281 | |
* | Ladenburg Thalmann Financial Services Inc. | 1,345,232 | 4,238 |
Chatham Lodging Trust | 193,061 | 4,228 | |
Monmouth Real Estate Investment Corp. Class A | 420,292 | 4,220 | |
Heritage Financial Corp. | 258,734 | 4,163 | |
^ | Gramercy Property Trust Inc. | 687,337 | 4,158 |
* | Green Dot Corp. Class A | 216,854 | 4,116 |
* | Taylor Capital Group Inc. | 189,794 | 4,058 |
Stock Yards Bancorp Inc. | 134,059 | 4,008 | |
* | Metro Bancorp Inc. | 173,314 | 4,007 |
TowneBank | 252,409 | 3,965 | |
* | Phoenix Cos. Inc. | 81,521 | 3,945 |
* | Suffolk Bancorp | 176,166 | 3,930 |
Univest Corp. of Pennsylvania | 188,943 | 3,911 | |
Western Asset Mortgage Capital Corp. | 271,922 | 3,853 | |
First Financial Corp. | 119,308 | 3,841 | |
Mercantile Bank Corp. | 163,529 | 3,742 | |
First Bancorp | 203,059 | 3,726 | |
MainSource Financial Group Inc. | 213,095 | 3,676 | |
German American Bancorp Inc. | 135,634 | 3,673 | |
* | NewStar Financial Inc. | 260,473 | 3,662 |
* | CareTrust REIT Inc. | 183,084 | 3,625 |
Meadowbrook Insurance Group Inc. | 503,900 | 3,623 | |
* | Yadkin Financial Corp. | 192,016 | 3,618 |
* | Kearny Financial Corp. | 238,931 | 3,617 |
* | Preferred Bank | 152,545 | 3,606 |
Arlington Asset Investment Corp. Class A | 131,939 | 3,606 | |
OmniAmerican Bancorp Inc. | 143,439 | 3,586 | |
Park Sterling Corp. | 537,437 | 3,542 | |
State Auto Financial Corp. | 150,977 | 3,537 | |
Federated National Holding Co. | 137,066 | 3,495 | |
Arrow Financial Corp. | 134,709 | 3,494 | |
* | Essent Group Ltd. | 168,552 | 3,386 |
HCI Group Inc. | 82,536 | 3,351 | |
Guaranty Bancorp | 239,815 | 3,333 | |
1st Source Corp. | 108,289 | 3,316 | |
Cedar Realty Trust Inc. | 528,994 | 3,306 | |
First Busey Corp. | 568,010 | 3,300 | |
OneBeacon Insurance Group Ltd. Class A | 211,496 | 3,287 | |
1st United Bancorp Inc. | 377,442 | 3,254 | |
* | Cowen Group Inc. Class A | 765,117 | 3,229 |
Bank Mutual Corp. | 551,015 | 3,196 | |
Republic Bancorp Inc. Class A | 133,430 | 3,165 | |
Bryn Mawr Bank Corp. | 107,822 | 3,140 | |
CoBiz Financial Inc. | 291,032 | 3,134 | |
Financial Institutions Inc. | 133,223 | 3,120 | |
Westwood Holdings Group Inc. | 51,913 | 3,117 | |
* | HomeTrust Bancshares Inc. | 194,819 | 3,072 |
West Bancorporation Inc. | 200,212 | 3,049 | |
Federal Agricultural Mortgage Corp. | 97,853 | 3,041 | |
First Connecticut Bancorp Inc. | 189,216 | 3,037 | |
OceanFirst Financial Corp. | 182,679 | 3,025 | |
* | Franklin Financial Corp. | 138,895 | 3,014 |
Oppenheimer Holdings Inc. Class A | 123,568 | 2,964 | |
* | Citizens Inc. Class A | 400,349 | 2,963 |
* | Flagstar Bancorp Inc. | 162,781 | 2,946 |
Diamond Hill Investment Group Inc. | 22,864 | 2,920 |
18
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Sun Bancorp Inc. | 723,995 | 2,903 |
* | INTL. FCStone Inc. | 145,197 | 2,892 |
Heartland Financial USA Inc. | 116,199 | 2,874 | |
One Liberty Properties Inc. | 133,010 | 2,838 | |
* | Tree.com Inc. | 95,674 | 2,788 |
Gladstone Commercial Corp. | 155,801 | 2,784 | |
Heritage Commerce Corp. | 338,959 | 2,769 | |
Seacoast Banking Corp. of Florida | 253,048 | 2,751 | |
Ares Commercial Real Estate Corp. | 220,774 | 2,740 | |
Baldwin & Lyons Inc. | 105,093 | 2,726 | |
* | Walker & Dunlop Inc. | 192,348 | 2,714 |
Calamos Asset Management Inc. Class A | 202,391 | 2,710 | |
Whitestone REIT | 180,948 | 2,698 | |
Physicians Realty Trust | 187,362 | 2,696 | |
Universal Insurance Holdings Inc. | 207,595 | 2,693 | |
Dynex Capital Inc. | 303,200 | 2,683 | |
Camden National Corp. | 68,642 | 2,661 | |
First Financial Northwest Inc. | 241,916 | 2,630 | |
* | Meridian Interstate Bancorp Inc. | 102,316 | 2,627 |
* | NewBridge Bancorp | 325,587 | 2,624 |
BNC Bancorp | 153,507 | 2,620 | |
Ashford Hospitality Prime Inc. | 152,692 | 2,620 | |
Intervest Bancshares Corp. Class A | 337,825 | 2,615 | |
* | Global Indemnity plc | 100,176 | 2,604 |
* | Third Point Reinsurance Ltd. | 170,513 | 2,602 |
Lakeland Bancorp Inc. | 239,169 | 2,583 | |
QTS Realty Trust Inc. Class A | 89,740 | 2,569 | |
* | Heritage Oaks Bancorp | 332,215 | 2,535 |
Peoples Bancorp Inc. | 95,829 | 2,535 | |
* | Bridge Capital Holdings | 104,337 | 2,526 |
Fidelity Southern Corp. | 192,465 | 2,500 | |
* | BBX Capital Corp. | 137,883 | 2,482 |
* | North Valley Bancorp | 113,058 | 2,464 |
ConnectOnc Bancorp Inc. | 126,957 | 2,441 | |
Hudson Valley Holding Corp. | 135,223 | 2,441 | |
Hannon Armstrong Sustainable Infrastructure Capital Inc. | 166,831 | 2,392 | |
RCS Capital Corp. Class A | 112,400 | 2,386 | |
Pzena Investment Management Inc. Class A | 209,705 | 2,340 | |
Westfield Financial Inc. | 313,310 | 2,337 | |
* | Orrstown Financial Services Inc. | 140,635 | 2,326 |
Capital City Bank Group Inc. | 159,936 | 2,324 | |
^ | JAVELIN Mortgage Investment Corp. | 164,346 | 2,317 |
RE/MAX Holdings Inc. | 77,533 | 2,294 | |
Consolidated-Tomoka Land Co. | 49,601 | 2,277 | |
Crawford & Co. Class B | 225,436 | 2,272 | |
Centerstate Banks Inc. | 198,028 | 2,218 | |
* | MBT Financial Corp. | 400,225 | 2,189 |
Macatawa Bank Corp. | 430,909 | 2,185 | |
Trico Bancshares | 93,268 | 2,158 | |
GFI Group Inc. | 637,577 | 2,117 | |
* | CommunityOne Bancorp | 217,063 | 2,106 |
* | FBR & Co. | 76,910 | 2,087 |
BankFinancial Corp. | 186,209 | 2,078 | |
Territorial Bancorp Inc. | 99,477 | 2,077 | |
* | BSB Bancorp Inc. | 119,629 | 2,053 |
Citizens & Northern Corp. | 105,013 | 2,047 | |
First of Long Island Corp. | 52,217 | 2,041 | |
* | Pacific Mercantile Bancorp | 303,388 | 2,021 |
* | Pacific Premier Bancorp Inc. | 141,697 | 1,997 |
Waterstone Financial Inc. | 174,099 | 1,986 | |
* | Hampton Roads Bankshares Inc. | 1,143,522 | 1,978 |
* | Riverview Bancorp Inc. | 508,380 | 1,973 |
Northrim BanCorp Inc. | 76,641 | 1,960 | |
EMC Insurance Group Inc. | 62,845 | 1,934 |
19
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | United Community Financial Corp. | 466,935 | 1,928 |
* | Republic First Bancorp Inc. | 380,930 | 1,920 |
* | American Residential Properties Inc. | 100,688 | 1,888 |
Independent Bank Corp. | 144,903 | 1,865 | |
CorEnergy Infrastructure Trust Inc. | 250,349 | 1,855 | |
National Bankshares Inc. | 59,487 | 1,838 | |
Enterprise Financial Services Corp. | 99,782 | 1,802 | |
Simplicity Bancorp Inc. | 103,002 | 1,797 | |
Kansas City Life Insurance Co. | 39,413 | 1,793 | |
Meta Financial Group Inc. | 44,385 | 1,775 | |
First Community Bancshares Inc. | 122,926 | 1,762 | |
HomeStreet Inc. | 94,657 | 1,739 | |
AmREIT Inc. | 94,648 | 1,732 | |
* | PennyMac Financial Services Inc. Class A | 112,968 | 1,716 |
Arbor Realty Trust Inc. | 244,944 | 1,702 | |
First Bancorp Inc. | 96,706 | 1,689 | |
* | SWS Group Inc. | 229,783 | 1,673 |
Marlin Business Services Corp. | 90,968 | 1,655 | |
Unity Bancorp Inc. | 174,680 | 1,621 | |
Cape Bancorp Inc. | 150,272 | 1,612 | |
Penns Woods Bancorp Inc. | 34,122 | 1,607 | |
Merchants Bancshares Inc. | 48,577 | 1,554 | |
MutualFirst Financial Inc. | 80,909 | 1,544 | |
CNB Financial Corp. | 91,654 | 1,540 | |
First South Bancorp Inc. | 192,141 | 1,535 | |
Century Bancorp Inc. Class A | 42,768 | 1,511 | |
* | AV Homes Inc. | 90,226 | 1,475 |
American National Bankshares Inc. | 67,853 | 1,474 | |
Timberland Bancorp Inc. | 138,776 | 1,463 | |
Pulaski Financial Corp. | 125,562 | 1,431 | |
JMP Group Inc. | 188,890 | 1,430 | |
UMH Properties Inc. | 141,711 | 1,421 | |
Manning & Napier Inc. | 82,108 | 1,417 | |
* | Imperial Holdings Inc. | 207,013 | 1,412 |
Peoples Federal Bancshares Inc. | 74,276 | 1,371 | |
* | Farmers Capital Bank Corp. | 60,183 | 1,360 |
TF Financial Corp. | 31,291 | 1,329 | |
Donegal Group Inc. Class B | 63,194 | 1,329 | |
AmeriServ Financial Inc. | 380,876 | 1,325 | |
* | Cascade Bancorp | 253,953 | 1,323 |
Peapack Gladstone Financial Corp. | 62,254 | 1,320 | |
MicroFinancial Inc. | 168,498 | 1,303 | |
Donegal Group Inc. Class A | 83,869 | 1,283 | |
Clifton Bancorp Inc. | 101,187 | 1,282 | |
* | Asta Funding Inc. | 154,316 | 1,273 |
ESB Financial Corp. | 97,162 | 1,257 | |
Heritage Financial Group Inc. | 63,161 | 1,253 | |
First Defiance Financial Corp. | 43,432 | 1,247 | |
ESSA Bancorp Inc. | 111,835 | 1,245 | |
Bank of Commerce Holdings | 193,871 | 1,227 | |
Provident Financial Holdings Inc. | 84,241 | 1,225 | |
* | Southcoast Financial Corp. | 167,773 | 1,220 |
Gain Capital Holdings Inc. | 150,633 | 1,186 | |
* | First United Corp. | 132,833 | 1,165 |
Fox Chase Bancorp Inc. | 67,211 | 1,133 | |
Pacific Continental Corp. | 81,617 | 1,121 | |
Peoples Bancorp of North Carolina Inc. | 68,148 | 1,105 | |
Nicholas Financial Inc. | 76,810 | 1,103 | |
United Insurance Holdings Corp. | 63,653 | 1,099 | |
Old Line Bancshares Inc. | 67,157 | 1,058 | |
* | United Security Bancshares | 187,524 | 1,043 |
Chicopee Bancorp Inc. | 61,671 | 1,042 | |
* | Security National Financial Corp. Class A | 243,823 | 1,041 |
* | Community Bankers Trust Corp. | 236,942 | 1,038 |
20
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Bridge Bancorp Inc. | 42,746 | 1,025 | |
New Hampshire Thrift Bancshares Inc. | 67,166 | 1,022 | |
Independent Bank Group Inc. | 18,253 | 1,016 | |
Bank of Marin Bancorp | 21,619 | 986 | |
* | Regional Management Corp. | 62,457 | 966 |
Rexford Industrial Realty Inc. | 67,412 | 960 | |
* | Consumer Portfolio Services Inc. | 117,078 | 892 |
* | ZipRealty Inc. | 293,133 | 888 |
* | Carolina Bank Holdings Inc. | 86,992 | 856 |
Stonegate Bank | 33,100 | 834 | |
NASB Financial Inc. | 34,883 | 825 | |
* | Ladder Capital Corp. Class A | 45,600 | 824 |
Ames National Corp. | 34,463 | 797 | |
Sierra Bancorp | 50,320 | 795 | |
Ohio Valley Banc Corp. | 34,561 | 791 | |
Independence Holding Co. | 55,494 | 784 | |
BCB Bancorp Inc. | 57,260 | 774 | |
* | VantageSouth Bancshares Inc. | 129,099 | 768 |
Banc of California Inc. | 68,883 | 751 | |
Middleburg Financial Corp. | 37,197 | 744 | |
* | Home Bancorp Inc. | 33,732 | 743 |
US Global Investors Inc. Class A | 208,904 | 735 | |
* | Summit Financial Group Inc. | 68,467 | 729 |
Ocean Shore Holding Co. | 49,411 | 724 | |
* | Hallmark Financial Services Inc. | 67,286 | 723 |
* | Maui Land & Pineapple Co. Inc. | 105,022 | 720 |
Bank of Kentucky Financial Corp. | 20,344 | 708 | |
Citizens Community Bancorp Inc. | 83,110 | 706 | |
Tower Group International Ltd. | 391,728 | 705 | |
Urstadt Biddle Properties Inc. | 38,700 | 693 | |
Hawthorn Bancshares Inc. | 55,060 | 689 | |
Fidelity & Guaranty Life | 28,600 | 685 | |
Louisiana Bancorp Inc. | 34,271 | 681 | |
Oak Valley Bancorp | 66,347 | 659 | |
* | American River Bankshares | 73,281 | 640 |
Armada Hoffler Properties Inc. | 64,992 | 629 | |
* | ASB Bancorp Inc. | 29,456 | 594 |
C&F Financial Corp. | 16,060 | 578 | |
* | Old Second Bancorp Inc. | 114,695 | 570 |
* | Shore Bancshares Inc. | 62,823 | 566 |
Preferred Apartment Communities Inc. Class A | 61,877 | 549 | |
Investors Title Co. | 8,027 | 541 | |
* | OBA Financial Services Inc. | 23,817 | 533 |
Sotherly Hotels Inc. | 67,221 | 526 | |
* | HMN Financial Inc. | 46,647 | 513 |
* | Parke Bancorp Inc. | 43,170 | 508 |
* | Colony Bankcorp Inc. | 80,138 | 506 |
*,^ | Doral Financial Corp. | 111,274 | 481 |
* | Moelis & Co. | 14,200 | 477 |
Bar Harbor Bankshares | 16,957 | 473 | |
Prudential Bancorp Inc. | 40,539 | 467 | |
Norwood Financial Corp. | 16,139 | 460 | |
* | Eastern Virginia Bankshares Inc. | 71,522 | 458 |
* | Guaranty Federal Bancshares Inc. | 36,149 | 452 |
* | Stratus Properties Inc. | 27,859 | 447 |
* | 1st Constitution Bancorp | 43,079 | 437 |
Citizens Holding Co. | 22,634 | 431 | |
QC Holdings Inc. | 158,879 | 426 | |
* | Talmer Bancorp Inc. Class A | 30,200 | 416 |
Southern National Bancorp of Virginia Inc. | 36,675 | 409 | |
MidWestOne Financial Group Inc. | 16,328 | 392 | |
Central Valley Community Bancorp | 29,772 | 390 | |
* | CU Bancorp | 20,330 | 388 |
* | First Acceptance Corp. | 154,508 | 379 |
21
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | First NBC Bank Holding Co. | 11,289 | 378 |
HF Financial Corp. | 26,106 | 362 | |
Hampden Bancorp Inc. | 21,407 | 361 | |
CIM Commercial Trust Corp. | 16,234 | 352 | |
FedFirst Financial Corp. | 15,441 | 343 | |
Premier Financial Bancorp Inc. | 20,938 | 337 | |
* | Investors Capital Holdings Ltd. | 46,740 | 336 |
* | Marcus & Millichap Inc. | 13,019 | 332 |
* | Bear State Financial Inc. | 36,314 | 322 |
* | Tristate Capital Holdings Inc. | 22,700 | 321 |
Federal Agricultural Mortgage Corp. Class A | 12,788 | 319 | |
* | Square 1 Financial Inc. Class A | 15,686 | 298 |
* | BRT Realty Trust | 39,982 | 295 |
Monarch Financial Holdings Inc. | 24,717 | 290 | |
CIFC Corp. | 32,062 | 289 | |
Codorus Valley Bancorp Inc. | 13,006 | 275 | |
Horizon Bancorp | 12,471 | 272 | |
First Marblehead Corp. | 51,064 | 268 | |
First Citizens Banc Corp. | 29,098 | 262 | |
SB Financial Group Inc. | 31,319 | 262 | |
MidSouth Bancorp Inc. | 13,005 | 259 | |
* | Atlanticus Holdings Corp. | 91,683 | 257 |
* | Xenith Bankshares Inc. | 40,283 | 255 |
Ellington Residential Mortgage REIT | 14,621 | 249 | |
First Savings Financial Group Inc. | 9,746 | 236 | |
First Bancshares Inc. | 16,469 | 234 | |
Cheviot Financial Corp. | 17,998 | 224 | |
Two River Bancorp | 26,479 | 224 | |
Union Bankshares Inc. | 8,739 | 217 | |
First Clover Leaf Financial Corp. | 21,799 | 216 | |
Georgetown Bancorp Inc. | 12,400 | 205 | |
Five Oaks Investment Corp. | 18,020 | 203 | |
* | Anchor Bancorp Inc. | 10,700 | 203 |
Farmers National Banc Corp. | 25,317 | 197 | |
Old Point Financial Corp. | 12,862 | 196 | |
* | Stonegate Mortgage Corp. | 13,783 | 192 |
NB&T Financial Group Inc. | 9,807 | 192 | |
Valley Financial Corp. | 13,798 | 179 | |
SI Financial Group Inc. | 15,247 | 176 | |
* | Gleacher & Co. Inc. | 16,187 | 170 |
* | First Security Group Inc. | 77,638 | 168 |
Enterprise Bancorp Inc. | 7,746 | 160 | |
United Bancshares Inc. | 11,489 | 154 | |
Life Partners Holdings Inc. | 59,239 | 148 | |
* | New Century Bancorp Inc. | 21,884 | 145 |
* | Southern First Bancshares Inc. | 10,419 | 140 |
* | JGWPT Holdings Inc. Class A | 12,403 | 140 |
Resource America Inc. Class A | 14,811 | 139 | |
Wolverine Bancorp Inc. | 5,954 | 135 | |
IF Bancorp Inc. | 7,557 | 125 | |
Charter Financial Corp. | 11,000 | 122 | |
* | InterGroup Corp. | 6,300 | 120 |
* | Impac Mortgage Holdings Inc. | 24,416 | 117 |
ZAIS Financial Corp. | 7,047 | 117 | |
Glen Burnie Bancorp | 9,147 | 113 | |
Cherry Hill Mortgage Investment Corp. | 4,800 | 96 | |
Orchid Island Capital Inc. | 7,300 | 95 | |
* | Health Insurance Innovations Inc. Class A | 7,600 | 94 |
Greene County Bancorp Inc. | 3,483 | 92 | |
* | Atlantic Coast Financial Corp. | 22,663 | 92 |
FS Bancorp Inc. | 5,340 | 92 | |
LaPorte Bancorp Inc. | 8,278 | 91 | |
* | Severn Bancorp Inc. | 19,055 | 88 |
* | Hamilton Bancorp Inc. | 6,700 | 87 |
22
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Naugatuck Valley Financial Corp. | 10,037 | 86 |
United Community Bancorp | 7,174 | 84 | |
Peoples Financial Corp. | 6,186 | 84 | |
Independence Realty Trust Inc. | 8,634 | 82 | |
* | First Financial Service Corp. | 22,276 | 82 |
* | Magyar Bancorp Inc. | 10,365 | 81 |
CatchMark Timber Trust Inc. Class A | 5,700 | 78 | |
Sussex Bancorp | 8,387 | 77 | |
Southwest Georgia Financial Corp. | 5,535 | 77 | |
United Bancorp Inc. | 9,360 | 76 | |
Access National Corp. | 4,896 | 74 | |
* | Atlas Financial Holdings Inc. | 4,700 | 71 |
* | Royal Bancshares of Pennsylvania Inc. | 40,173 | 70 |
Kentucky First Federal Bancorp | 7,514 | 66 | |
Bank of South Carolina Corp. | 4,282 | 64 | |
Owens Realty Mortgage Inc. | 3,200 | 62 | |
* | 1st Century Bancshares Inc. | 8,013 | 61 |
* | ConnectOne Bancorp Inc. | 1,200 | 60 |
Eagle Bancorp Montana Inc. | 5,462 | 57 | |
Northeast Community Bancorp Inc. | 8,054 | 57 | |
* | Tejon Ranch Co. Warrants Exp. 08/31/2016 | 17,984 | 53 |
First Business Financial Services Inc. | 1,032 | 49 | |
Oconee Federal Financial Corp. | 2,383 | 43 | |
Supertel Hospitality Inc. | 26,365 | 41 | |
* | Fortegra Financial Corp. | 5,379 | 41 |
Salisbury Bancorp Inc. | 1,341 | 40 | |
Madison County Financial Inc. | 2,107 | 38 | |
QCR Holdings Inc. | 2,200 | 38 | |
* | First Capital Bancorp Inc. | 8,224 | 37 |
* | Malvern Bancorp Inc. | 3,103 | 33 |
First Internet Bancorp | 1,543 | 32 | |
Fauquier Bankshares Inc. | 1,931 | 31 | |
* | Community West Bancshares | 4,500 | 30 |
* | Porter Bancorp Inc. | 26,941 | 28 |
* | Jacksonville Bancorp Inc. | 2,692 | 28 |
Mackinac Financial Corp. | 2,200 | 27 | |
Gladstone Land Corp. | 2,100 | 27 | |
Chemung Financial Corp. | 800 | 24 | |
LCNB Corp. | 1,404 | 23 | |
Mid Penn Bancorp Inc. | 1,384 | 21 | |
Silvercrest Asset Management Group Inc. Class A | 1,200 | 21 | |
Trade Street Residential Inc. | 2,557 | 19 | |
ACNB Corp. | 948 | 18 | |
First West Virginia Bancorp | 916 | 18 | |
Blue Capital Reinsurance Holdings Ltd. | 900 | 18 | |
* | State Investors Bancorp Inc. | 1,013 | 17 |
River Valley Bancorp | 669 | 15 | |
* | Polonia Bancorp Inc. | 1,200 | 12 |
First Capital Inc. | 511 | 11 | |
Elmira Savings Bank | 431 | 11 | |
* | Presidential Realty Corp. Class B | 46,000 | 10 |
* | Central Federal Corp. | 6,416 | 10 |
Griffin Land & Nurseries Inc. | 300 | 9 | |
* | SP Bancorp Inc. | 300 | 9 |
Auburn National Bancorporation Inc. | 359 | 9 | |
Baylake Corp. | 655 | 8 | |
Hingham Institution for Savings | 100 | 8 | |
CKX Lands Inc. | 399 | 7 | |
* | Transcontinental Realty Investors Inc. | 400 | 6 |
Summit State Bank | 400 | 5 | |
* | Siebert Financial Corp. | 1,836 | 5 |
* | Patriot National Bancorp Inc. | 3,120 | 4 |
* | Village Bank and Trust Financial Corp. | 2,400 | 3 |
LNB Bancorp Inc. | 200 | 2 |
23
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Oneida Financial Corp. | 194 | 2 | |
Stewardship Financial Corp. | 400 | 2 | |
WashingtonFirst Bankshares Inc. | 100 | 2 | |
* | American Spectrum Realty Inc. | 100 | — |
8,769,662 | |||
Health Care (11.6%) | |||
* | Illumina Inc. | 1,177,733 | 210,272 |
* | HCA Holdings Inc. | 2,875,716 | 162,133 |
* | Henry Schein Inc. | 782,955 | 92,913 |
* | Endo International plc | 1,284,990 | 89,975 |
* | BioMarin Pharmaceutical Inc. | 1,338,608 | 83,275 |
Universal Health Services Inc. Class B | 824,677 | 78,971 | |
* | Incyte Corp. Ltd. | 1,383,885 | 78,106 |
* | Jazz Pharmaceuticals plc | 496,125 | 72,935 |
* | Salix Pharmaceuticals Ltd. | 581,594 | 71,740 |
* | Mettler-Toledo International Inc. | 268,000 | 67,852 |
* | Alkermes plc | 1,325,774 | 66,726 |
^ | ResMed Inc. | 1,287,419 | 65,182 |
* | Hologic Inc. | 2,540,197 | 64,394 |
* | IDEXX Laboratories Inc. | 470,798 | 62,884 |
Omnicare Inc. | 909,078 | 60,517 | |
Cooper Cos. Inc. | 439,742 | 59,598 | |
* | Pharmacyclics Inc. | 626,424 | 56,196 |
* | Medivation Inc. | 702,121 | 54,119 |
* | MEDNAX Inc. | 911,866 | 53,025 |
* | Cubist Pharmaceuticals Inc. | 693,080 | 48,391 |
* | Community Health Systems Inc. | 1,057,522 | 47,980 |
Questcor Pharmaceuticals Inc. | 515,766 | 47,703 | |
* | Covance Inc. | 524,693 | 44,903 |
* | athenahealth Inc. | 346,232 | 43,324 |
*,^ | Mallinckrodt plc | 538,750 | 43,111 |
* | Sirona Dental Systems Inc. | 507,804 | 41,874 |
Teleflex Inc. | 381,965 | 40,335 | |
* | InterMune Inc. | 906,844 | 40,037 |
* | Centene Corp. | 527,486 | 39,883 |
* | Seattle Genetics Inc. | 1,032,918 | 39,509 |
* | Brookdale Senior Living Inc. | 1,149,407 | 38,321 |
* | Isis Pharmaceuticals Inc. | 1,075,527 | 37,052 |
* | Align Technology Inc. | 658,473 | 36,901 |
* | Alnylam Pharmaceuticals Inc. | 581,782 | 36,751 |
* | United Therapeutics Corp. | 402,791 | 35,643 |
* | Team Health Holdings Inc. | 648,503 | 32,386 |
* | Health Net Inc. | 741,301 | 30,794 |
* | Cepheid | 639,721 | 30,668 |
* | Pacira Pharmaceuticals Inc. | 330,107 | 30,324 |
* | WellCare Health Plans Inc. | 405,674 | 30,288 |
* | NPS Pharmaceuticals Inc. | 892,870 | 29,509 |
HealthSouth Corp. | 814,301 | 29,209 | |
STERIS Corp. | 546,070 | 29,204 | |
* | VCA Inc. | 817,147 | 28,674 |
Techne Corp. | 307,573 | 28,472 | |
* | PAREXEL International Corp. | 524,570 | 27,718 |
West Pharmaceutical Services Inc. | 652,009 | 27,502 | |
*,^ | Myriad Genetics Inc. | 686,350 | 26,713 |
* | Alere Inc. | 712,444 | 26,660 |
* | Intercept Pharmaceuticals Inc. | 109,645 | 25,945 |
* | Quintiles Transnational Holdings Inc. | 480,343 | 25,597 |
* | LifePoint Hospitals Inc. | 411,992 | 25,585 |
* | DexCom Inc. | 639,352 | 25,357 |
* | Idenix Pharmaceuticals Inc. | 1,037,715 | 25,009 |
* | Bruker Corp. | 1,009,878 | 24,510 |
* | Allscripts Healthcare Solutions Inc. | 1,476,390 | 23,696 |
* | Charles River Laboratories International Inc. | 441,506 | 23,629 |
* | Envision Healthcare Holdings Inc. | 637,059 | 22,877 |
24
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | MannKind Corp. | 2,051,777 | 22,549 |
* | Bio-Rad Laboratories Inc. Class A | 186,340 | 22,307 |
* | Akorn Inc. | 663,822 | 22,072 |
Hill-Rom Holdings Inc. | 524,466 | 21,771 | |
*,^ | Theravance Inc. | 717,486 | 21,367 |
* | Medidata Solutions Inc. | 471,938 | 20,204 |
* | Insulet Corp. | 505,876 | 20,068 |
Owens & Minor Inc. | 584,496 | 19,861 | |
* | Synageva BioPharma Corp. | 188,302 | 19,734 |
* | Acadia Healthcare Co. Inc. | 405,924 | 18,470 |
* | Thoratec Corp. | 526,997 | 18,371 |
* | Impax Laboratories Inc. | 601,841 | 18,049 |
*,^ | OPKO Health Inc. | 2,002,528 | 17,702 |
* | Medicines Co. | 599,297 | 17,416 |
* | ACADIA Pharmaceuticals Inc. | 766,443 | 17,314 |
* | Amsurg Corp. | 376,345 | 17,150 |
* | Haemonetics Corp. | 481,479 | 16,987 |
* | MWI Veterinary Supply Inc. | 119,292 | 16,938 |
* | Air Methods Corp. | 326,236 | 16,850 |
* | Ironwood Pharmaceuticals Inc. Class A | 1,096,689 | 16,812 |
* | HMS Holdings Corp. | 811,869 | 16,570 |
* | Prestige Brands Holdings Inc. | 480,797 | 16,294 |
* | Magellan Health Inc. | 255,150 | 15,881 |
* | IMS Health Holdings Inc. | 605,600 | 15,552 |
* | NuVasive Inc. | 425,689 | 15,142 |
^ | Chemed Corp. | 160,737 | 15,064 |
* | Nektar Therapeutics | 1,158,692 | 14,854 |
* | Wright Medical Group Inc. | 459,780 | 14,437 |
* | Cyberonics Inc. | 224,015 | 13,992 |
* | Neogen Corp. | 338,973 | 13,718 |
Kindred Healthcare Inc. | 585,024 | 13,514 | |
*,^ | Celldex Therapeutics Inc. | 826,747 | 13,492 |
*,^ | Exact Sciences Corp. | 759,515 | 12,935 |
* | Acorda Therapeutics Inc. | 383,344 | 12,923 |
* | Lannett Co. Inc. | 257,836 | 12,794 |
* | MedAssets Inc. | 558,934 | 12,766 |
*,^ | Keryx Biopharmaceuticals Inc. | 828,166 | 12,737 |
* | HeartWare International Inc. | 141,352 | 12,510 |
* | Globus Medical Inc. | 511,423 | 12,233 |
* | Puma Biotechnology Inc. | 183,608 | 12,118 |
* | Emeritus Corp. | 378,644 | 11,984 |
* | Ligand Pharmaceuticals Inc. | 191,512 | 11,929 |
* | Dyax Corp. | 1,237,636 | 11,881 |
*,^ | Arena Pharmaceuticals Inc. | 2,025,953 | 11,872 |
* | Molina Healthcare Inc. | 264,542 | 11,806 |
Cantel Medical Corp. | 310,967 | 11,388 | |
* | Masimo Corp. | 479,194 | 11,309 |
* | Greatbatch Inc. | 228,967 | 11,233 |
CONMED Corp. | 252,114 | 11,131 | |
* | Clovis Oncology Inc. | 266,915 | 11,053 |
*,^ | ARIAD Pharmaceuticals Inc. | 1,723,031 | 10,976 |
* | Sarepta Therapeutics Inc. | 347,076 | 10,339 |
* | Integra LifeSciences Holdings Corp. | 219,543 | 10,332 |
* | Hanger Inc. | 322,319 | 10,137 |
* | ExamWorks Group Inc. | 306,015 | 9,710 |
* | Novavax Inc. | 2,097,102 | 9,689 |
* | Neurocrine Biosciences Inc. | 650,053 | 9,647 |
* | Omnicell Inc. | 331,518 | 9,518 |
* | Sangamo BioSciences Inc. | 621,592 | 9,492 |
*,^ | ImmunoGen Inc. | 794,011 | 9,409 |
* | Halozyme Therapeutics Inc. | 925,121 | 9,140 |
Analogic Corp. | 115,147 | 9,009 | |
* | Endologix Inc. | 588,928 | 8,958 |
* | Depomed Inc. | 641,418 | 8,916 |
25
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Spectranetics Corp. | 381,174 | 8,721 |
* | Auxilium Pharmaceuticals Inc. | 432,399 | 8,674 |
Abaxis Inc. | 194,042 | 8,598 | |
* | Volcano Corp. | 482,433 | 8,496 |
*,^ | Horizon Pharma Inc. | 535,379 | 8,470 |
* | ABIOMED Inc. | 334,130 | 8,400 |
* | BioCryst Pharmaceuticals Inc. | 654,745 | 8,348 |
* | Cardiovascular Systems Inc. | 265,796 | 8,282 |
* | Furiex Pharmaceuticals Inc. | 77,743 | 8,255 |
* | AVANIR Pharmaceuticals Inc. | 1,459,489 | 8,232 |
Meridian Bioscience Inc. | 389,217 | 8,033 | |
* | Natus Medical Inc. | 317,214 | 7,975 |
* | PharMerica Corp. | 278,166 | 7,953 |
* | Premier Inc. Class A | 270,088 | 7,833 |
Select Medical Holdings Corp. | 500,914 | 7,814 | |
* | ICU Medical Inc. | 127,504 | 7,754 |
* | Fluidigm Corp. | 261,083 | 7,676 |
* | NxStage Medical Inc. | 526,447 | 7,565 |
* | Affymetrix Inc. | 841,845 | 7,501 |
* | Aegerion Pharmaceuticals Inc. | 230,892 | 7,409 |
* | IPC The Hospitalist Co. Inc. | 162,624 | 7,191 |
* | Bio-Reference Labs Inc. | 236,192 | 7,138 |
Computer Programs & Systems Inc. | 111,199 | 7,072 | |
* | Orthofix International NV | 192,381 | 6,974 |
*,^ | Raptor Pharmaceutical Corp. | 590,158 | 6,816 |
Quality Systems Inc. | 419,170 | 6,728 | |
* | Repligen Corp. | 293,921 | 6,698 |
*,^ | Theravance Biopharma Inc. | 205,899 | 6,564 |
* | Luminex Corp. | 378,795 | 6,496 |
* | Capital Senior Living Corp. | 268,182 | 6,393 |
* | Quidel Corp. | 283,705 | 6,273 |
* | Insmed Inc. | 312,894 | 6,252 |
* | CorVel Corp. | 137,135 | 6,196 |
* | Merit Medical Systems Inc. | 407,074 | 6,147 |
*,^ | Accuray Inc. | 687,846 | 6,053 |
* | Cambrex Corp. | 288,636 | 5,975 |
*,^ | Orexigen Therapeutics Inc. | 965,611 | 5,967 |
* | Tornier NV | 254,890 | 5,959 |
* | Vanda Pharmaceuticals Inc. | 366,297 | 5,927 |
* | Achillion Pharmaceuticals Inc. | 765,341 | 5,794 |
* | Receptos Inc. | 135,747 | 5,783 |
* | Emergent Biosolutions Inc. | 255,198 | 5,732 |
National Healthcare Corp. | 101,824 | 5,732 | |
* | Healthways Inc. | 324,480 | 5,691 |
Ensign Group Inc. | 183,084 | 5,690 | |
Invacare Corp. | 308,958 | 5,676 | |
*,^ | Exelixis Inc. | 1,662,107 | 5,635 |
*,^ | Merrimack Pharmaceuticals Inc. | 765,047 | 5,577 |
* | AMN Healthcare Services Inc. | 452,498 | 5,566 |
*,^ | Inovio Pharmaceuticals Inc. | 512,070 | 5,535 |
* | Infinity Pharmaceuticals Inc. | 432,420 | 5,509 |
* | STAAR Surgical Co. | 327,901 | 5,509 |
* | Momenta Pharmaceuticals Inc. | 452,332 | 5,464 |
US Physical Therapy Inc. | 157,636 | 5,390 | |
* | AngioDynamics Inc. | 328,655 | 5,367 |
* | Array BioPharma Inc. | 1,174,536 | 5,356 |
* | OraSure Technologies Inc. | 614,538 | 5,291 |
* | Dynavax Technologies Corp. | 3,219,277 | 5,151 |
*,^ | VIVUS Inc. | 965,231 | 5,135 |
* | Genomic Health Inc. | 187,224 | 5,130 |
* | BioScrip Inc. | 610,839 | 5,094 |
* | Anika Therapeutics Inc. | 109,617 | 5,079 |
* | Albany Molecular Research Inc. | 252,356 | 5,077 |
* | Anacor Pharmaceuticals Inc. | 285,742 | 5,066 |
26
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | MiMedx Group Inc. | 697,649 | 4,946 |
* | TESARO Inc. | 157,283 | 4,893 |
*,^ | Accelerate Diagnostics Inc. | 187,642 | 4,879 |
* | Arrowhead Research Corp. | 340,791 | 4,877 |
* | Amedisys Inc. | 290,431 | 4,862 |
* | HealthStream Inc. | 199,556 | 4,849 |
*,^ | Geron Corp. | 1,507,882 | 4,840 |
*,^ | Omeros Corp. | 278,137 | 4,840 |
* | Lexicon Pharmaceuticals Inc. | 2,886,600 | 4,647 |
*,^ | Neuralstem Inc. | 1,075,363 | 4,538 |
* | KYTHERA Biopharmaceuticals Inc. | 116,555 | 4,472 |
* | Chimerix Inc. | 202,187 | 4,436 |
* | AMAG Pharmaceuticals Inc. | 212,887 | 4,411 |
* | Veeva Systems Inc. Class A | 173,192 | 4,408 |
*,^ | Organovo Holdings Inc. | 527,743 | 4,407 |
* | Providence Service Corp. | 119,198 | 4,361 |
* | Prothena Corp. plc | 192,566 | 4,342 |
* | PTC Therapeutics Inc. | 164,915 | 4,311 |
* | Gentiva Health Services Inc. | 284,277 | 4,281 |
* | Sequenom Inc. | 1,106,167 | 4,281 |
* | Spectrum Pharmaceuticals Inc. | 516,945 | 4,203 |
* | BioDelivery Sciences International Inc. | 344,033 | 4,152 |
* | Sagent Pharmaceuticals Inc. | 159,825 | 4,133 |
* | Ophthotech Corp. | 95,859 | 4,056 |
*,^ | ZIOPHARM Oncology Inc. | 1,002,253 | 4,039 |
* | GenMark Diagnostics Inc. | 293,931 | 3,977 |
Landauer Inc. | 94,252 | 3,959 | |
* | Rigel Pharmaceuticals Inc. | 1,079,408 | 3,918 |
* | Osiris Therapeutics Inc. | 243,543 | 3,804 |
Atrion Corp. | 11,655 | 3,800 | |
* | XOMA Corp. | 814,071 | 3,737 |
* | Immunomedics Inc. | 979,254 | 3,574 |
*,^ | Dendreon Corp. | 1,547,333 | 3,559 |
* | LHC Group Inc. | 166,162 | 3,551 |
*,^ | CTI BioPharma Corp. | 1,250,457 | 3,514 |
*,^ | NewLink Genetics Corp. | 130,755 | 3,472 |
*,^ | Rockwell Medical Inc. | 288,646 | 3,461 |
*,^ | TG Therapeutics Inc. | 364,570 | 3,423 |
*,^ | Antares Pharma Inc. | 1,278,216 | 3,413 |
Universal American Corp. | 405,609 | 3,379 | |
*,^ | TherapeuticsMD Inc. | 745,746 | 3,296 |
* | Symmetry Medical Inc. | 361,402 | 3,202 |
* | Repros Therapeutics Inc. | 184,509 | 3,192 |
* | Triple-S Management Corp. Class B | 176,541 | 3,165 |
* | AtriCure Inc. | 171,828 | 3,158 |
CryoLife Inc. | 347,099 | 3,107 | |
* | Peregrine Pharmaceuticals Inc. | 1,640,793 | 3,085 |
*,^ | Karyopharm Therapeutics Inc. | 65,669 | 3,057 |
* | Cynosure Inc. Class A | 143,145 | 3,042 |
* | Cerus Corp. | 726,265 | 3,014 |
*,^ | Ampio Pharmaceuticals Inc. | 353,851 | 2,955 |
*,^ | Galena Biopharma Inc. | 965,419 | 2,954 |
* | SurModics Inc. | 136,983 | 2,934 |
* | Zeltiq Aesthetics Inc. | 192,516 | 2,924 |
* | Epizyme Inc. | 93,562 | 2,912 |
* | Vascular Solutions Inc. | 128,899 | 2,860 |
* | Alliance HealthCare Services Inc. | 102,661 | 2,772 |
*,^ | Synergy Pharmaceuticals Inc. | 668,524 | 2,721 |
* | Progenics Pharmaceuticals Inc. | 625,978 | 2,698 |
* | Chindex International Inc. | 112,790 | 2,672 |
* | Aratana Therapeutics Inc. | 168,874 | 2,636 |
* | Pacific Biosciences of California Inc. | 424,239 | 2,622 |
*,^ | Agios Pharmaceuticals Inc. | 57,093 | 2,616 |
* | Pain Therapeutics Inc. | 442,624 | 2,545 |
27
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | Cytori Therapeutics Inc. | 1,061,609 | 2,537 |
* | Acceleron Pharma Inc. | 74,347 | 2,526 |
*,^ | Unilife Corp. | 849,471 | 2,514 |
* | RadNet Inc. | 373,069 | 2,473 |
* | Ultragenyx Pharmaceutical Inc. | 53,414 | 2,398 |
* | Zogenix Inc. | 1,156,328 | 2,324 |
* | SciClone Pharmaceuticals Inc. | 439,919 | 2,314 |
*,^ | Synta Pharmaceuticals Corp. | 560,441 | 2,292 |
*,^ | Navidea Biopharmaceuticals Inc. | 1,544,497 | 2,286 |
* | XenoPort Inc. | 471,398 | 2,277 |
*,^ | Endocyte Inc. | 340,142 | 2,242 |
* | Sunesis Pharmaceuticals Inc. | 342,049 | 2,230 |
*,^ | Intrexon Corp. | 87,857 | 2,208 |
* | Durect Corp. | 1,205,810 | 2,195 |
* | Sucampo Pharmaceuticals Inc. Class A | 316,781 | 2,186 |
* | Galectin Therapeutics Inc. | 157,824 | 2,180 |
*,^ | IsoRay Inc. | 684,009 | 2,134 |
* | Corcept Therapeutics Inc. | 752,584 | 2,107 |
* | Portola Pharmaceuticals Inc. | 70,085 | 2,045 |
* | RTI Surgical Inc. | 468,383 | 2,037 |
* | Intra-Cellular Therapies Inc. | 119,605 | 2,017 |
* | Oncothyreon Inc. | 618,850 | 2,005 |
*,^ | AcelRx Pharmaceuticals Inc. | 189,754 | 1,945 |
* | Amicus Therapeutics Inc. | 580,796 | 1,940 |
* | Cempra Inc. | 178,916 | 1,920 |
* | Harvard Bioscience Inc. | 419,921 | 1,911 |
* | Curis Inc. | 985,157 | 1,832 |
* | Durata Therapeutics Inc. | 107,120 | 1,824 |
*,^ | Idera Pharmaceuticals Inc. | 626,023 | 1,815 |
* | Five Star Quality Care Inc. | 362,338 | 1,815 |
* | Almost Family Inc. | 82,058 | 1,812 |
*,^ | Northwest Biotherapeutics Inc. | 269,127 | 1,806 |
* | Surgical Care Affiliates Inc. | 62,076 | 1,805 |
* | Vocera Communications Inc. | 135,061 | 1,783 |
* | Threshold Pharmaceuticals Inc. | 447,947 | 1,774 |
Pozen Inc. | 212,534 | 1,770 | |
* | Cytokinetics Inc. | 360,121 | 1,721 |
* | Tetraphase Pharmaceuticals Inc. | 127,475 | 1,720 |
* | Targacept Inc. | 374,550 | 1,689 |
* | Cutera Inc. | 160,876 | 1,671 |
*,^ | Insys Therapeutics Inc. | 53,292 | 1,664 |
Psychemedics Corp. | 116,094 | 1,644 | |
* | Enzo Biochem Inc. | 312,437 | 1,640 |
*,^ | Ohr Pharmaceutical Inc. | 170,334 | 1,620 |
* | Revance Therapeutics Inc. | 46,900 | 1,595 |
* | Enanta Pharmaceuticals Inc. | 36,627 | 1,578 |
* | Catalyst Pharmaceutical Partners Inc. | 622,013 | 1,574 |
*,^ | CytRx Corp. | 374,868 | 1,567 |
* | BioTelemetry Inc. | 218,186 | 1,564 |
Simulations Plus Inc. | 275,993 | 1,551 | |
* | Bluebird Bio Inc. | 39,788 | 1,535 |
*,^ | TearLab Corp. | 312,204 | 1,520 |
* | MacroGenics Inc. | 69,391 | 1,508 |
* | Supernus Pharmaceuticals Inc. | 136,309 | 1,493 |
* | ANI Pharmaceuticals Inc. | 43,193 | 1,488 |
* | LDR Holding Corp. | 59,003 | 1,476 |
* | ArQule Inc. | 931,466 | 1,444 |
* | Xencor Inc. | 123,538 | 1,435 |
* | Cross Country Healthcare Inc. | 212,092 | 1,383 |
* | Foundation Medicine Inc. | 51,104 | 1,378 |
* | Hyperion Therapeutics Inc. | 52,107 | 1,360 |
* | Medical Action Industries Inc. | 96,383 | 1,323 |
* | Heron Therapeutics Inc. | 106,236 | 1,309 |
Digirad Corp. | 362,665 | 1,291 |
28
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | MEI Pharma Inc. | 194,664 | 1,234 |
* | Relypsa Inc. | 50,300 | 1,223 |
* | Discovery Laboratories Inc. | 676,232 | 1,204 |
*,^ | NeoStem Inc. | 181,788 | 1,185 |
* | Alphatec Holdings Inc. | 726,219 | 1,184 |
*,^ | NanoViricides Inc. | 279,538 | 1,182 |
* | Agenus Inc. | 367,000 | 1,182 |
*,^ | Esperion Therapeutics Inc. | 73,609 | 1,166 |
* | Five Prime Therapeutics Inc. | 74,939 | 1,165 |
* | Merge Healthcare Inc. | 511,980 | 1,162 |
* | Exactech Inc. | 45,953 | 1,159 |
* | Mirati Therapeutics Inc. | 57,680 | 1,154 |
*,^ | SIGA Technologies Inc. | 406,287 | 1,146 |
* | Derma Sciences Inc. | 97,615 | 1,128 |
LeMaitre Vascular Inc. | 133,480 | 1,104 | |
* | Harvard Apparatus Regenerative Technology Inc. | 104,942 | 1,097 |
*,^ | Athersys Inc. | 611,185 | 1,094 |
* | Pernix Therapeutics Holdings Inc. | 118,747 | 1,066 |
* | Stemline Therapeutics Inc. | 71,550 | 1,050 |
* | Iridex Corp. | 124,615 | 1,036 |
* | Fonar Corp. | 84,467 | 1,030 |
*,^ | Biolase Inc. | 466,211 | 1,026 |
* | National Research Corp. Class A | 71,848 | 1,005 |
*,^ | PhotoMedex Inc. | 81,196 | 995 |
Utah Medical Products Inc. | 19,174 | 986 | |
*,^ | BioTime Inc. | 321,572 | 981 |
*,^ | Rexahn Pharmaceuticals Inc. | 1,122,221 | 976 |
* | BioSpecifics Technologies Corp. | 36,098 | 973 |
*,^ | Cyclacel Pharmaceuticals Inc. | 311,112 | 955 |
*,^ | Celsion Corp. | 269,349 | 935 |
* | Phibro Animal Health Corp. Class A | 42,300 | 928 |
*,^ | Dicerna Pharmaceuticals Inc. | 41,128 | 928 |
*,^ | OncoMed Pharmaceuticals Inc. | 39,478 | 920 |
* | pSivida Corp. | 208,743 | 906 |
* | Heska Corp. | 83,086 | 893 |
* | Aerie Pharmaceuticals Inc. | 35,813 | 887 |
*,^ | Palatin Technologies Inc. | 890,020 | 881 |
* | Nanosphere Inc. | 555,902 | 878 |
* | Tonix Pharmaceuticals Holding Corp. | 60,848 | 873 |
* | Verastem Inc. | 93,291 | 845 |
* | Medgenics Inc. | 107,863 | 838 |
* | Regulus Therapeutics Inc. | 102,446 | 824 |
*,^ | ImmunoCellular Therapeutics Ltd. | 704,322 | 789 |
* | PharmAthene Inc. | 556,683 | 785 |
* | Kindred Biosciences Inc. | 42,031 | 783 |
* | Regado Biosciences Inc. | 113,356 | 770 |
*,^ | ChemoCentryx Inc. | 129,787 | 759 |
Columbia Laboratories Inc. | 106,824 | 732 | |
*,^ | Synthetic Biologics Inc. | 414,507 | 713 |
* | Apricus Biosciences Inc. | 314,675 | 708 |
* | Icad Inc. | 110,160 | 706 |
* | Synergetics USA Inc. | 223,590 | 693 |
* | Addus HomeCare Corp. | 30,520 | 686 |
* | Alimera Sciences Inc. | 109,937 | 657 |
* | Vical Inc. | 518,951 | 633 |
* | Cancer Genetics Inc. | 55,907 | 632 |
*,^ | Hansen Medical Inc. | 476,361 | 624 |
* | Sunshine Heart Inc. | 108,853 | 610 |
* | Cardica Inc. | 530,862 | 605 |
* | Bio-Path Holdings Inc. | 197,097 | 601 |
* | Sorrento Therapeutics Inc. | 89,037 | 601 |
* | NanoString Technologies Inc. | 39,158 | 585 |
Enzon Pharmaceuticals Inc. | 560,380 | 583 | |
* | AdCare Health Systems Inc. | 135,530 | 580 |
29
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Hemispherx Biopharma Inc. | 1,831,769 | 568 |
*,^ | BIND Therapeutics Inc. | 42,989 | 567 |
*,^ | Cellular Dynamics International Inc. | 38,800 | 565 |
* | NeoGenomics Inc. | 168,437 | 559 |
*,^ | EnteroMedics Inc. | 357,925 | 558 |
* | Inogen Inc. | 24,180 | 545 |
* | Fibrocell Science Inc. | 131,566 | 525 |
*,^ | StemCells Inc. | 256,788 | 521 |
* | Skilled Healthcare Group Inc. | 81,967 | 516 |
* | Biota Pharmaceuticals Inc. | 173,040 | 493 |
* | Uroplasty Inc. | 178,852 | 479 |
* | Mast Therapeutics Inc. | 761,878 | 479 |
*,^ | Cel-Sci Corp. | 385,953 | 479 |
* | Bovie Medical Corp. | 128,896 | 468 |
*,^ | Coronado Biosciences Inc. | 271,409 | 467 |
*,^ | Acura Pharmaceuticals Inc. | 408,034 | 445 |
* | Achaogen Inc. | 31,667 | 442 |
* | Stereotaxis Inc. | 122,126 | 434 |
* | Tandem Diabetes Care Inc. | 26,215 | 426 |
* | AVEO Pharmaceuticals Inc. | 230,301 | 421 |
* | PDI Inc. | 94,976 | 416 |
* | Veracyte Inc. | 23,818 | 408 |
*,^ | Oxygen Biotherapeutics Inc. | 98,943 | 404 |
*,^ | Opexa Therapeutics Inc. | 240,435 | 399 |
*,^ | TrovaGene Inc. | 108,585 | 380 |
* | Anthera Pharmaceuticals Inc. Class A | 111,589 | 378 |
* | OncoGenex Pharmaceutical Inc. | 98,953 | 369 |
* | Cleveland Biolabs Inc. | 760,155 | 365 |
* | Alexza Pharmaceuticals Inc. | 78,012 | 356 |
* | Vision Sciences Inc. | 307,620 | 354 |
* | Cara Therapeutics Inc. | 20,551 | 350 |
* | Hooper Holmes Inc. | 466,668 | 349 |
* | Sharps Compliance Corp. | 78,969 | 347 |
* | OvaScience Inc. | 37,608 | 345 |
*,^ | Bacterin International Holdings Inc. | 506,800 | 342 |
* | Cumberland Pharmaceuticals Inc. | 74,721 | 336 |
* | LipoScience Inc. | 96,600 | 330 |
* | Celladon Corp. | 20,253 | 324 |
* | MediciNova Inc. | 156,717 | 318 |
* | ERBA Diagnostics Inc. | 158,772 | 313 |
* | Actinium Pharmaceuticals Inc. | 40,400 | 292 |
* | BSD Medical Corp. | 293,101 | 290 |
* | Retrophin Inc. | 24,200 | 284 |
* | Kite Pharma Inc. | 9,267 | 268 |
* | Ambit Biosciences Corp. | 38,487 | 266 |
Transcept Pharmaceuticals Inc. | 133,039 | 265 | |
* | Akebia Therapeutics Inc. | 9,460 | 263 |
*,^ | GTx Inc. | 189,766 | 262 |
*,^ | Onconova Therapeutics Inc. | 47,789 | 259 |
* | Imprivata Inc. | 15,433 | 253 |
* | MGC Diagnostics Corp. | 29,709 | 249 |
* | Ardelyx Inc. | 15,421 | 246 |
* | Retractable Technologies Inc. | 97,255 | 243 |
*,^ | Conatus Pharmaceuticals Inc. | 26,664 | 243 |
*,^ | Oculus Innovative Sciences Inc. | 76,561 | 237 |
* | Adeptus Health Inc. Class A | 9,260 | 235 |
* | Bioanalytical Systems Inc. | 91,696 | 232 |
* | Advaxis Inc. | 72,451 | 228 |
* | GenVec Inc. | 88,782 | 228 |
* | Versartis Inc. | 8,058 | 226 |
* | GlycoMimetics Inc. | 25,831 | 218 |
* | CASI Pharmaceuticals Inc. | 119,606 | 215 |
*,^ | BG Medicine Inc. | 197,874 | 208 |
* | Novabay Pharmaceuticals Inc. | 261,141 | 206 |
30
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | Castlight Health Inc. Class B | 13,472 | 205 |
* | Venaxis Inc. | 90,198 | 201 |
* | iBio Inc. | 463,895 | 195 |
* | Ventrus Biosciences Inc. | 145,631 | 191 |
* | KaloBios Pharmaceuticals Inc. | 82,998 | 189 |
* | Zalicus Inc. | 154,319 | 188 |
* | Authentidate Holding Corp. | 279,777 | 185 |
* | InspireMD Inc. | 62,230 | 184 |
* | American CareSource Holdings Inc. | 51,566 | 174 |
*,^ | Ocera Therapeutics Inc. | 20,370 | 156 |
* | Biodel Inc. | 69,206 | 149 |
*,^ | Cormedix Inc. | 74,903 | 136 |
*,^ | Response Genetics Inc. | 145,825 | 134 |
* | CAS Medical Systems Inc. | 66,116 | 133 |
*,^ | Baxano Surgical Inc. | 218,727 | 125 |
* | ProPhase Labs Inc. | 72,896 | 123 |
*,^ | Atossa Genetics Inc. | 72,107 | 121 |
* | Vermillion Inc. | 43,524 | 112 |
* | Delcath Systems Inc. | 41,806 | 110 |
* | Misonix Inc. | 15,828 | 107 |
*,^ | Aastrom Biosciences Inc. | 25,905 | 106 |
* | Escalon Medical Corp. | 59,011 | 101 |
* | Evoke Pharma Inc. | 12,173 | 95 |
*,^ | Echo Therapeutics Inc. | 40,774 | 92 |
* | Lpath Inc. Class A | 21,008 | 83 |
* | Concert Pharmaceuticals Inc. | 7,950 | 80 |
*,^ | Wright Medical Group Inc. CVR Exp. 12/31/2049 | 52,493 | 78 |
* | SunLink Health Systems Inc. | 59,900 | 73 |
* | VirtualScopics Inc. | 16,180 | 73 |
*,^ | Imprimis Pharmaceuticals Inc. | 10,494 | 73 |
* | Chembio Diagnostics Inc. | 19,255 | 66 |
* | Cesca Therapeutics Inc. | 47,483 | 66 |
* | Egalet Corp. | 4,845 | 64 |
* | OXiGENE Inc. | 23,791 | 62 |
* | Streamline Health Solutions Inc. | 12,340 | 59 |
* | Fate Therapeutics Inc. | 9,100 | 57 |
* | Ligand Pharmaceuticals Inc. Rights | 395,811 | 46 |
* | DARA Biosciences Inc. | 31,070 | 38 |
* | Auspex Pharmaceuticals Inc. | 1,583 | 35 |
* | InfuSystems Holdings Inc. | 12,615 | 33 |
* | MELA Sciences Inc. | 102,112 | 33 |
* | TetraLogic Pharmaceuticals Corp. | 5,418 | 32 |
* | Ligand Pharmaceuticals Inc. Rights | 395,811 | 32 |
* | Celator Pharmaceuticals Inc. | 9,400 | 28 |
* | AxoGen Inc. | 10,000 | 28 |
*,^ | CombiMatrix Corp. | 12,624 | 27 |
* | NeuroMetrix Inc. | 13,183 | 26 |
* | Urologix Inc. | 160,918 | 25 |
* | Allied Healthcare Products Inc. | 10,415 | 25 |
* | Telik Inc. | 14,700 | 22 |
* | ARCA Biopharma Inc. | 10,322 | 15 |
* | RXi Pharmaceuticals Corp. | 3,900 | 12 |
* | Cubist Pharmaceuticals Inc. Rights | 95,486 | 11 |
* | Kips Bay Medical Inc. | 14,900 | 7 |
* | Ligand Pharmaceuticals Inc. Rights | 395,811 | 6 |
* | Ligand Pharmaceuticals Inc. Rights | 395,811 | 6 |
* | Oragenics Inc. | 2,006 | 4 |
* | Electromed Inc. | 2,500 | 4 |
* | Alliqua Inc. | 600 | 3 |
* | Trevena Inc. | 100 | 1 |
Maxygen Inc. | 143 | — | |
4,617,354 | |||
Industrials (15.7%) | |||
* | American Airlines Group Inc. | 6,606,009 | 283,794 |
31
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | United Continental Holdings Inc. | 3,425,951 | 140,704 |
* | Hertz Global Holdings Inc. | 4,211,305 | 118,043 |
* | United Rentals Inc. | 892,256 | 93,446 |
* | B/E Aerospace Inc. | 907,569 | 83,941 |
* | Verisk Analytics Inc. Class A | 1,358,460 | 81,535 |
* | IHS Inc. Class A | 574,453 | 77,936 |
TransDigm Group Inc. | 456,445 | 76,345 | |
Wabtec Corp. | 884,940 | 73,087 | |
Chicago Bridge & Iron Co. NV | 991,876 | 67,646 | |
* | Sensata Technologies Holding NV | 1,437,666 | 67,254 |
* | Colfax Corp. | 872,850 | 65,062 |
Trinity Industries Inc. | 1,421,342 | 62,141 | |
Manpowergroup Inc. | 730,530 | 61,985 | |
JB Hunt Transport Services Inc. | 839,012 | 61,902 | |
* | Kirby Corp. | 522,879 | 61,250 |
Towers Watson & Co. Class A | 586,880 | 61,171 | |
Fortune Brands Home & Security Inc. | 1,523,219 | 60,822 | |
Hubbell Inc. Class B | 493,572 | 60,783 | |
Alaska Air Group Inc. | 630,540 | 59,933 | |
IDEX Corp. | 739,648 | 59,719 | |
* | WABCO Holdings Inc. | 557,072 | 59,506 |
* | Avis Budget Group Inc. | 966,028 | 57,662 |
Waste Connections Inc. | 1,137,232 | 55,213 | |
Acuity Brands Inc. | 396,449 | 54,809 | |
Lincoln Electric Holdings Inc. | 737,934 | 51,567 | |
Carlisle Cos. Inc. | 589,713 | 51,081 | |
Donaldson Co. Inc. | 1,206,286 | 51,050 | |
* | Genesee & Wyoming Inc. Class A | 468,024 | 49,143 |
Timken Co. | 703,054 | 47,695 | |
Allison Transmission Holdings Inc. | 1,511,664 | 47,013 | |
AGCO Corp. | 800,580 | 45,009 | |
Nordson Corp. | 549,041 | 44,028 | |
SPX Corp. | 402,113 | 43,513 | |
* | Middleby Corp. | 525,522 | 43,471 |
Graco Inc. | 556,256 | 43,432 | |
Oshkosh Corp. | 778,405 | 43,225 | |
Huntington Ingalls Industries Inc. | 451,448 | 42,702 | |
* | Spirit Airlines Inc. | 667,318 | 42,201 |
Terex Corp. | 1,011,955 | 41,591 | |
MSC Industrial Direct Co. Inc. Class A | 434,116 | 41,519 | |
KAR Auction Services Inc. | 1,286,656 | 41,006 | |
Manitowoc Co. Inc. | 1,242,200 | 40,819 | |
* | Old Dominion Freight Line Inc. | 640,329 | 40,776 |
ITT Corp. | 846,863 | 40,734 | |
Alliant Techsystems Inc. | 292,325 | 39,148 | |
Owens Corning | 999,836 | 38,674 | |
Valmont Industries Inc. | 248,358 | 37,738 | |
Lennox International Inc. | 417,213 | 37,370 | |
* | Copart Inc. | 1,028,180 | 36,973 |
* | Hexcel Corp. | 892,615 | 36,508 |
* | NOW Inc. | 983,336 | 35,607 |
* | WESCO International Inc. | 407,332 | 35,185 |
AO Smith Corp. | 694,937 | 34,455 | |
* | Esterline Technologies Corp. | 294,524 | 33,906 |
* | Spirit AeroSystems Holdings Inc. Class A | 1,001,456 | 33,749 |
Crane Co. | 453,669 | 33,735 | |
* | Teledyne Technologies Inc. | 342,689 | 33,299 |
Triumph Group Inc. | 476,207 | 33,249 | |
Kennametal Inc. | 717,290 | 33,196 | |
Regal-Beloit Corp. | 417,298 | 32,783 | |
Babcock & Wilcox Co. | 1,007,184 | 32,693 | |
* | Clean Harbors Inc. | 506,830 | 32,564 |
Toro Co. | 508,267 | 32,326 | |
KBR Inc. | 1,343,986 | 32,054 |
32
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Air Lease Corp. Class A | 820,438 | 31,652 | |
*,^ | SolarCity Corp. | 446,293 | 31,508 |
Foster Wheeler AG | 912,223 | 31,079 | |
RR Donnelley & Sons Co. | 1,832,277 | 31,075 | |
* | Generac Holdings Inc. | 635,320 | 30,965 |
* | Moog Inc. Class A | 406,241 | 29,611 |
* | AECOM Technology Corp. | 917,980 | 29,559 |
EnerSys | 428,922 | 29,506 | |
Exelis Inc. | 1,737,485 | 29,502 | |
Curtiss-Wright Corp. | 444,545 | 29,144 | |
CLARCOR Inc. | 466,888 | 28,877 | |
URS Corp. | 629,523 | 28,864 | |
GATX Corp. | 425,981 | 28,515 | |
EMCOR Group Inc. | 620,521 | 27,632 | |
Woodward Inc. | 538,757 | 27,035 | |
Deluxe Corp. | 457,548 | 26,803 | |
* | MRC Global Inc. | 943,867 | 26,702 |
Con-way Inc. | 527,128 | 26,573 | |
Landstar System Inc. | 410,455 | 26,269 | |
* | USG Corp. | 863,744 | 26,025 |
Watsco Inc. | 251,422 | 25,836 | |
* | Swift Transportation Co. | 1,016,098 | 25,636 |
* | HD Supply Holdings Inc. | 895,667 | 25,428 |
Covanta Holding Corp. | 1,208,848 | 24,914 | |
* | Civeo Corp. | 968,678 | 24,246 |
* | Armstrong World Industries Inc. | 415,203 | 23,845 |
* | Navistar International Corp. | 631,950 | 23,685 |
* | Chart Industries Inc. | 281,402 | 23,283 |
* | JetBlue Airways Corp. | 2,106,649 | 22,857 |
Actuant Corp. Class A | 648,657 | 22,424 | |
HEICO Corp. | 421,421 | 21,889 | |
Corporate Executive Board Co. | 311,662 | 21,262 | |
Harsco Corp. | 748,720 | 19,938 | |
* | Polypore International Inc. | 416,746 | 19,891 |
Applied Industrial Technologies Inc. | 382,802 | 19,420 | |
Healthcare Services Group Inc. | 649,079 | 19,109 | |
Hillenbrand Inc. | 585,235 | 19,090 | |
* | Rexnord Corp. | 663,634 | 18,681 |
Mobile Mini Inc. | 380,045 | 18,200 | |
Rollins Inc. | 595,330 | 17,860 | |
* | DigitalGlobe Inc. | 633,828 | 17,620 |
* | Advisory Board Co. | 335,131 | 17,360 |
* | MasTec Inc. | 558,714 | 17,220 |
Barnes Group Inc. | 437,937 | 16,878 | |
MSA Safety Inc. | 292,893 | 16,835 | |
* | Orbital Sciences Corp. | 562,111 | 16,610 |
Tetra Tech Inc. | 602,948 | 16,581 | |
Herman Miller Inc. | 548,297 | 16,580 | |
Watts Water Technologies Inc. Class A | 265,586 | 16,395 | |
HNI Corp. | 417,508 | 16,329 | |
* | Hub Group Inc. Class A | 323,733 | 16,316 |
AMERCO | 54,543 | 15,859 | |
* | Proto Labs Inc. | 189,198 | 15,499 |
Mueller Industries Inc. | 525,702 | 15,461 | |
* | EnPro Industries Inc. | 210,731 | 15,417 |
* | On Assignment Inc. | 431,247 | 15,339 |
* | Huron Consulting Group Inc. | 216,117 | 15,305 |
United Stationers Inc. | 367,738 | 15,250 | |
Allegiant Travel Co. Class A | 129,203 | 15,216 | |
* | Beacon Roofing Supply Inc. | 457,209 | 15,143 |
* | TriMas Corp. | 392,932 | 14,982 |
UniFirst Corp. | 141,292 | 14,977 | |
Franklin Electric Co. Inc. | 363,370 | 14,655 | |
* | FTI Consulting Inc. | 376,858 | 14,253 |
33
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
TAL International Group Inc. | 313,871 | 13,923 | |
Simpson Manufacturing Co. Inc. | 381,738 | 13,880 | |
RBC Bearings Inc. | 214,885 | 13,763 | |
* | XPO Logistics Inc. | 478,704 | 13,701 |
Forward Air Corp. | 284,370 | 13,607 | |
* | Korn/Ferry International | 460,317 | 13,520 |
* | WageWorks Inc. | 277,838 | 13,395 |
Knight Transportation Inc. | 561,431 | 13,345 | |
Tennant Co. | 171,798 | 13,112 | |
ABM Industries Inc. | 482,404 | 13,015 | |
* | Nortek Inc. | 143,125 | 12,847 |
Mueller Water Products Inc. Class A | 1,473,503 | 12,731 | |
Brink's Co. | 447,661 | 12,633 | |
Brady Corp. Class A | 422,200 | 12,611 | |
CIRCOR International Inc. | 163,141 | 12,583 | |
* | Greenbrier Cos. Inc. | 218,413 | 12,581 |
Granite Construction Inc. | 335,647 | 12,077 | |
* | Meritor Inc. | 907,128 | 11,829 |
General Cable Corp. | 456,428 | 11,712 | |
* | GrafTech International Ltd. | 1,091,241 | 11,414 |
Werner Enterprises Inc. | 425,238 | 11,273 | |
* | Tutor Perini Corp. | 355,146 | 11,272 |
Raven Industries Inc. | 337,643 | 11,189 | |
* | Rush Enterprises Inc. Class A | 322,526 | 11,182 |
AZZ Inc. | 237,279 | 10,934 | |
Matson Inc. | 398,772 | 10,703 | |
Kaman Corp. | 249,710 | 10,670 | |
Aircastle Ltd. | 599,942 | 10,661 | |
* | TrueBlue Inc. | 381,744 | 10,525 |
*,^ | GenCorp Inc. | 542,421 | 10,360 |
Interface Inc. Class A | 545,718 | 10,281 | |
* | Wesco Aircraft Holdings Inc. | 512,804 | 10,236 |
AAR Corp. | 367,701 | 10,134 | |
Lindsay Corp. | 119,860 | 10,125 | |
* | H&E Equipment Services Inc. | 277,829 | 10,096 |
* | Saia Inc. | 226,522 | 9,951 |
Albany International Corp. | 261,842 | 9,940 | |
Heartland Express Inc. | 464,954 | 9,922 | |
ArcBest Corp. | 225,790 | 9,824 | |
* | Dycom Industries Inc. | 313,702 | 9,822 |
G&K Services Inc. Class A | 185,785 | 9,674 | |
Sun Hydraulics Corp. | 232,344 | 9,433 | |
Hyster-Yale Materials Handling Inc. | 106,125 | 9,396 | |
Primoris Services Corp. | 325,339 | 9,383 | |
Apogee Enterprises Inc. | 268,540 | 9,361 | |
US Ecology Inc. | 187,916 | 9,198 | |
Astec Industries Inc. | 208,599 | 9,153 | |
Altra Industrial Motion Corp. | 250,662 | 9,122 | |
* | Wabash National Corp. | 634,889 | 9,047 |
Exponent Inc. | 121,764 | 9,024 | |
Briggs & Stratton Corp. | 437,090 | 8,943 | |
Universal Forest Products Inc. | 185,100 | 8,935 | |
Standex International Corp. | 118,901 | 8,856 | |
* | UTi Worldwide Inc. | 844,874 | 8,736 |
Steelcase Inc. Class A | 574,902 | 8,698 | |
AAON Inc. | 259,173 | 8,687 | |
McGrath RentCorp | 236,103 | 8,677 | |
* | Masonite International Corp. | 153,532 | 8,638 |
Cubic Corp. | 193,924 | 8,632 | |
Acacia Research Corp. | 485,663 | 8,621 | |
* | Atlas Air Worldwide Holdings Inc. | 232,460 | 8,566 |
Federal Signal Corp. | 581,569 | 8,520 | |
ESCO Technologies Inc. | 245,553 | 8,506 | |
Encore Wire Corp. | 172,983 | 8,483 |
34
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
^ | Titan International Inc. | 496,640 | 8,353 |
John Bean Technologies Corp. | 269,002 | 8,336 | |
* | Aegion Corp. Class A | 353,103 | 8,217 |
* | Navigant Consulting Inc. | 460,175 | 8,030 |
* | Trex Co. Inc. | 278,226 | 8,018 |
* | Astronics Corp. | 141,088 | 7,964 |
* | Team Inc. | 193,231 | 7,926 |
Knoll Inc. | 448,455 | 7,772 | |
* | Thermon Group Holdings Inc. | 288,263 | 7,587 |
* | DXP Enterprises Inc. | 98,935 | 7,474 |
* | ACCO Brands Corp. | 1,130,343 | 7,245 |
Insperity Inc. | 218,787 | 7,220 | |
Gorman-Rupp Co. | 195,948 | 6,931 | |
* | Blount International Inc. | 486,661 | 6,867 |
Comfort Systems USA Inc. | 428,596 | 6,772 | |
Kforce Inc. | 309,359 | 6,698 | |
Quanex Building Products Corp. | 371,385 | 6,637 | |
* | ICF International Inc. | 185,347 | 6,554 |
*,^ | Plug Power Inc. | 1,397,516 | 6,540 |
* | Taser International Inc. | 485,743 | 6,460 |
American Science & Engineering Inc. | 92,452 | 6,434 | |
* | Hawaiian Holdings Inc. | 465,739 | 6,385 |
Resources Connection Inc. | 470,733 | 6,171 | |
SkyWest Inc. | 499,532 | 6,104 | |
Griffon Corp. | 487,206 | 6,041 | |
American Railcar Industries Inc. | 86,626 | 5,871 | |
* | Lydall Inc. | 212,335 | 5,812 |
Marten Transport Ltd. | 259,524 | 5,800 | |
Columbus McKinnon Corp. | 209,913 | 5,678 | |
Quad/Graphics Inc. | 244,747 | 5,475 | |
* | Aerovironment Inc. | 170,565 | 5,424 |
* | MYR Group Inc. | 212,888 | 5,392 |
Kadant Inc. | 139,554 | 5,366 | |
Powell Industries Inc. | 81,513 | 5,329 | |
* | Roadrunner Transportation Systems Inc. | 186,906 | 5,252 |
Celadon Group Inc. | 245,591 | 5,236 | |
LB Foster Co. Class A | 95,009 | 5,142 | |
Viad Corp. | 214,595 | 5,116 | |
Park-Ohio Holdings Corp. | 86,852 | 5,047 | |
* | Engility Holdings Inc. | 128,757 | 4,926 |
*,^ | YRC Worldwide Inc. | 175,233 | 4,926 |
* | RPX Corp. | 277,351 | 4,923 |
Aceto Corp. | 264,648 | 4,801 | |
Kimball International Inc. Class B | 286,133 | 4,784 | |
Multi-Color Corp. | 116,482 | 4,660 | |
* | Gibraltar Industries Inc. | 299,528 | 4,646 |
Kelly Services Inc. Class A | 268,620 | 4,612 | |
* | CBIZ Inc. | 506,510 | 4,574 |
*,^ | Capstone Turbine Corp. | 3,006,089 | 4,539 |
* | NCI Building Systems Inc. | 232,911 | 4,525 |
West Corp. | 167,414 | 4,487 | |
* | Kratos Defense & Security Solutions Inc. | 573,145 | 4,471 |
* | Northwest Pipe Co. | 110,063 | 4,439 |
* | Republic Airways Holdings Inc. | 408,801 | 4,431 |
* | Air Transport Services Group Inc. | 519,076 | 4,345 |
* | Great Lakes Dredge & Dock Corp. | 533,180 | 4,260 |
Alamo Group Inc. | 78,664 | 4,255 | |
NN Inc. | 164,562 | 4,209 | |
* | American Woodmark Corp. | 129,964 | 4,142 |
HEICO Corp. Class A | 101,171 | 4,108 | |
National Presto Industries Inc. | 55,979 | 4,078 | |
Heidrick & Struggles International Inc. | 208,278 | 3,853 | |
VSE Corp. | 53,516 | 3,763 | |
Ennis Inc. | 245,498 | 3,746 |
35
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Barrett Business Services Inc. | 75,880 | 3,566 | |
* | GP Strategies Corp. | 136,892 | 3,543 |
*,^ | FuelCell Energy Inc. | 1,471,776 | 3,532 |
Douglas Dynamics Inc. | 198,522 | 3,498 | |
Ceco Environmental Corp. | 224,140 | 3,494 | |
* | Mistras Group Inc. | 140,870 | 3,454 |
* | SP Plus Corp. | 158,574 | 3,392 |
* | Furmanite Corp. | 287,605 | 3,348 |
FreightCar America Inc. | 133,399 | 3,340 | |
* | Patrick Industries Inc. | 70,462 | 3,283 |
*,^ | ExOne Co. | 82,300 | 3,261 |
Argan Inc. | 82,358 | 3,071 | |
* | Accuride Corp. | 610,814 | 2,987 |
* | Ducommun Inc. | 112,690 | 2,945 |
Insteel Industries Inc. | 149,567 | 2,939 | |
* | Orion Marine Group Inc. | 266,932 | 2,891 |
* | USA Truck Inc. | 153,269 | 2,849 |
Graham Corp. | 81,273 | 2,829 | |
*,^ | Titan Machinery Inc. | 171,552 | 2,824 |
Dynamic Materials Corp. | 126,828 | 2,807 | |
* | Builders FirstSource Inc. | 371,894 | 2,782 |
Global Power Equipment Group Inc. | 163,954 | 2,649 | |
* | InnerWorkings Inc. | 310,649 | 2,641 |
* | Quality Distribution Inc. | 177,625 | 2,640 |
*,^ | KEYW Holding Corp. | 209,190 | 2,630 |
* | PAM Transportation Services Inc. | 91,527 | 2,559 |
* | Commercial Vehicle Group Inc. | 251,858 | 2,529 |
Houston Wire & Cable Co. | 202,278 | 2,510 | |
* | Franklin Covey Co. | 123,097 | 2,478 |
CDI Corp. | 167,521 | 2,414 | |
Schawk Inc. Class A | 117,322 | 2,389 | |
* | Pendrell Corp. | 1,357,120 | 2,389 |
* | Layne Christensen Co. | 179,292 | 2,385 |
Twin Disc Inc. | 71,064 | 2,349 | |
* | CAI International Inc. | 106,177 | 2,337 |
* | Echo Global Logistics Inc. | 120,100 | 2,302 |
* | CRA International Inc. | 99,792 | 2,300 |
* | Cenveo Inc. | 597,393 | 2,216 |
* | Power Solutions International Inc. | 30,368 | 2,186 |
* | Vicor Corp. | 256,827 | 2,152 |
* | Performant Financial Corp. | 203,666 | 2,057 |
* | Xerium Technologies Inc. | 141,272 | 1,972 |
* | PGT Inc. | 227,981 | 1,931 |
* | ARC Document Solutions Inc. | 327,392 | 1,919 |
Global Brass & Copper Holdings Inc. | 112,048 | 1,894 | |
* | TriNet Group Inc. | 78,383 | 1,887 |
Allied Motion Technologies Inc. | 128,498 | 1,861 | |
Miller Industries Inc. | 88,278 | 1,817 | |
*,^ | Energy Recovery Inc. | 352,703 | 1,735 |
* | Willis Lease Finance Corp. | 70,607 | 1,731 |
* | Pike Corp. | 190,166 | 1,704 |
LSI Industries Inc. | 203,470 | 1,624 | |
* | Sterling Construction Co. Inc. | 160,062 | 1,501 |
SIFCO Industries Inc. | 46,892 | 1,463 | |
Universal Truckload Services Inc. | 57,602 | 1,461 | |
* | PowerSecure International Inc. | 147,788 | 1,439 |
NL Industries Inc. | 154,242 | 1,433 | |
*,^ | Odyssey Marine Exploration Inc. | 796,040 | 1,337 |
* | Patriot Transportation Holding Inc. | 38,020 | 1,330 |
*,^ | Real Goods Solar Inc. Class A | 438,860 | 1,308 |
International Shipholding Corp. | 56,822 | 1,302 | |
Preformed Line Products Co. | 23,921 | 1,288 | |
Courier Corp. | 84,908 | 1,267 | |
Baltic Trading Ltd. | 210,827 | 1,261 |
36
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | CPI Aerostructures Inc. | 98,215 | 1,244 |
* | Ply Gem Holdings Inc. | 122,163 | 1,234 |
* | Magnetek Inc. | 50,100 | 1,195 |
Hurco Cos. Inc. | 42,218 | 1,191 | |
* | Hill International Inc. | 190,468 | 1,187 |
* | LMI Aerospace Inc. | 89,595 | 1,172 |
* | Stock Building Supply Holdings Inc. | 59,362 | 1,171 |
* | Rand Logistics Inc. | 193,713 | 1,162 |
* | Lawson Products Inc. | 68,997 | 1,124 |
Intersections Inc. | 220,204 | 1,083 | |
*,^ | Astrotech Corp. | 304,120 | 967 |
* | Sparton Corp. | 34,719 | 963 |
* | Active Power Inc. | 347,411 | 959 |
* | Manitex International Inc. | 58,246 | 946 |
* | Adept Technology Inc. | 89,284 | 937 |
* | Supreme Industries Inc. Class A | 141,174 | 918 |
* | Ameresco Inc. Class A | 130,322 | 916 |
Hardinge Inc. | 70,464 | 891 | |
* | Innovative Solutions & Support Inc. | 117,174 | 872 |
* | Broadwind Energy Inc. | 96,837 | 849 |
* | API Technologies Corp. | 305,127 | 836 |
* | TRC Cos. Inc. | 133,600 | 831 |
* | American Superconductor Corp. | 497,421 | 811 |
*,^ | Arotech Corp. | 169,743 | 757 |
* | MFRI Inc. | 61,557 | 702 |
* | Fuel Tech Inc. | 118,950 | 671 |
* | Hudson Technologies Inc. | 229,082 | 662 |
* | BlueLinx Holdings Inc. | 460,825 | 645 |
*,^ | PMFG Inc. | 119,547 | 630 |
*,^ | Revolution Lighting Technologies Inc. | 269,128 | 619 |
* | Casella Waste Systems Inc. Class A | 122,523 | 614 |
LS Starrett Co. Class A | 39,695 | 611 | |
* | Heritage-Crystal Clean Inc. | 31,089 | 610 |
*,^ | Swisher Hygiene Inc. | 141,813 | 610 |
Providence and Worcester Railroad Co. | 31,838 | 581 | |
* | Hudson Global Inc. | 147,778 | 581 |
*,^ | Enphase Energy Inc. | 66,643 | 570 |
Omega Flex Inc. | 28,118 | 552 | |
* | Covenant Transportation Group Inc. Class A | 41,944 | 540 |
*,^ | ARC Group Worldwide Inc. | 33,535 | 510 |
Eastern Co. | 31,545 | 487 | |
*,^ | Lightbridge Corp. | 174,425 | 483 |
* | Orion Energy Systems Inc. | 118,295 | 481 |
* | Gencor Industries Inc. | 43,110 | 475 |
* | Key Technology Inc. | 38,521 | 475 |
Ecology and Environment Inc. | 45,100 | 472 | |
* | Virco Manufacturing Corp. | 188,287 | 437 |
* | Tecumseh Products Co. | 85,613 | 436 |
* | Eagle Bulk Shipping Inc. | 134,748 | 416 |
Mastech Holdings Inc. | 24,567 | 381 | |
* | Ultralife Corp. | 98,312 | 378 |
* | RCM Technologies Inc. | 47,961 | 305 |
* | Integrated Electrical Services Inc. | 45,122 | 295 |
* | Perma-Fix Environmental Services | 61,835 | 284 |
* | Metalico Inc. | 217,133 | 269 |
* | Transcat Inc. | 25,670 | 263 |
* | American Electric Technologies Inc. | 38,260 | 260 |
* | Taylor Devices Inc. | 27,295 | 243 |
* | Jewett-Cameron Trading Co. Ltd. | 23,964 | 241 |
* | Breeze-Eastern Corp. | 15,615 | 199 |
* | Rush Enterprises Inc. Class B | 5,550 | 175 |
*,^ | MagneGas Corp. | 95,555 | 142 |
* | Servotronics Inc. | 19,902 | 142 |
* | Versar Inc. | 42,809 | 139 |
37
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Paylocity Holding Corp. | 6,330 | 137 |
* | AMREP Corp. | 21,768 | 133 |
*,^ | ZBB Energy Corp. | 77,856 | 126 |
*,^ | Erickson Inc. | 7,625 | 124 |
* | Luna Innovations Inc. | 86,079 | 118 |
* | Continental Building Products Inc. | 6,500 | 100 |
*,^ | Corporate Resource Services Inc. | 25,634 | 76 |
* | Essex Rental Corp. | 30,245 | 73 |
* | Industrial Services of America Inc. | 13,228 | 66 |
Hubbell Inc. Class A | 500 | 63 | |
* | Altair Nanotechnologies Inc. | 14,262 | 49 |
* | Goldfield Corp. | 24,541 | 42 |
* | UniTek Global Services Inc. | 94,665 | 39 |
* | DLH Holdings Corp. | 19,113 | 36 |
*,^ | Lime Energy Co. | 12,704 | 33 |
* | CTPartners Executive Search Inc. | 3,173 | 30 |
* | Willdan Group Inc. | 3,100 | 27 |
* | Ocean Power Technologies Inc. | 16,031 | 26 |
* | Radiant Logistics Inc. | 6,300 | 19 |
* | Tel-Instrument Electronics Corp. | 3,304 | 17 |
* | General Finance Corp. | 1,811 | 17 |
* | Norcraft Cos. Inc. | 600 | 9 |
EnviroStar Inc. | 2,900 | 7 | |
*,^ | Spherix Inc. | 3,156 | 6 |
* | Standard Register Co. | 900 | 5 |
Chicago Rivet & Machine Co. | 100 | 4 | |
Espey Manufacturing & Electronics Corp. | 100 | 3 | |
* | Micronet Enertec Technologies Inc. | 400 | 2 |
* | Innovaro Inc. | 36,380 | 1 |
6,230,195 | |||
Information Technology (15.4%) | |||
* | LinkedIn Corp. Class A | 904,716 | 155,132 |
Activision Blizzard Inc. | 4,528,923 | 100,995 | |
* | Equinix Inc. | 457,180 | 96,049 |
* | FleetCor Technologies Inc. | 676,985 | 89,227 |
* | Trimble Navigation Ltd. | 2,393,369 | 88,435 |
Maxim Integrated Products Inc. | 2,593,419 | 87,683 | |
Skyworks Solutions Inc. | 1,739,409 | 81,683 | |
* | VMware Inc. Class A | 789,584 | 76,440 |
* | ANSYS Inc. | 850,197 | 64,462 |
* | ServiceNow Inc. | 964,792 | 59,779 |
* | Gartner Inc. | 827,545 | 58,358 |
Avnet Inc. | 1,269,394 | 56,247 | |
*,^ | 3D Systems Corp. | 939,107 | 56,159 |
* | Cree Inc. | 1,118,820 | 55,885 |
Marvell Technology Group Ltd. | 3,865,900 | 55,398 | |
* | Arrow Electronics Inc. | 914,221 | 55,228 |
* | Synopsys Inc. | 1,419,600 | 55,109 |
* | NCR Corp. | 1,543,170 | 54,150 |
* | SunEdison Inc. | 2,258,186 | 51,035 |
IAC/InterActiveCorp | 703,074 | 48,674 | |
Global Payments Inc. | 658,738 | 47,989 | |
* | Pandora Media Inc. | 1,582,831 | 46,694 |
* | MICROS Systems Inc. | 686,562 | 46,618 |
* | Cadence Design Systems Inc. | 2,656,153 | 46,456 |
Jack Henry & Associates Inc. | 775,823 | 46,107 | |
Broadridge Financial Solutions Inc. | 1,106,671 | 46,082 | |
* | Splunk Inc. | 832,836 | 46,081 |
* | CoStar Group Inc. | 291,304 | 46,076 |
* | Nuance Communications Inc. | 2,415,045 | 45,330 |
* | Vantiv Inc. Class A | 1,299,112 | 43,676 |
FactSet Research Systems Inc. | 361,379 | 43,467 | |
Solera Holdings Inc. | 631,264 | 42,389 | |
* | PTC Inc. | 1,088,110 | 42,219 |
38
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Ingram Micro Inc. | 1,431,054 | 41,801 |
* | Yelp Inc. Class A | 539,219 | 41,347 |
* | Concur Technologies Inc. | 440,643 | 41,130 |
* | Aspen Technology Inc. | 840,397 | 38,994 |
* | Zebra Technologies Corp. | 466,604 | 38,411 |
* | VeriFone Systems Inc. | 1,029,408 | 37,831 |
* | WEX Inc. | 353,804 | 37,139 |
* | ON Semiconductor Corp. | 4,029,939 | 36,834 |
Brocade Communications Systems Inc. | 3,976,235 | 36,581 | |
* | Informatica Corp. | 1,012,010 | 36,078 |
* | Atmel Corp. | 3,842,383 | 36,003 |
* | Ultimate Software Group Inc. | 260,110 | 35,939 |
* | Rackspace Hosting Inc. | 1,063,627 | 35,802 |
* | Palo Alto Networks Inc. | 426,079 | 35,727 |
* | ARRIS Group Inc. | 1,095,310 | 35,630 |
FEI Co. | 387,244 | 35,135 | |
Teradyne Inc. | 1,780,400 | 34,896 | |
* | Fortinet Inc. | 1,268,118 | 31,868 |
Belden Inc. | 402,779 | 31,481 | |
* | Zillow Inc. Class A | 218,121 | 31,176 |
* | Riverbed Technology Inc. | 1,482,982 | 30,594 |
* | Synaptics Inc. | 329,180 | 29,837 |
DST Systems Inc. | 320,308 | 29,523 | |
National Instruments Corp. | 909,943 | 29,473 | |
* | AOL Inc. | 735,490 | 29,265 |
* | Cognex Corp. | 756,194 | 29,038 |
* | Twitter Inc. | 707,827 | 29,000 |
* | TIBCO Software Inc. | 1,412,760 | 28,495 |
* | Workday Inc. Class A | 306,516 | 27,544 |
Lexmark International Inc. Class A | 570,222 | 27,462 | |
* | JDS Uniphase Corp. | 2,161,861 | 26,958 |
MAXIMUS Inc. | 620,474 | 26,693 | |
* | Verint Systems Inc. | 541,526 | 26,562 |
CDW Corp. | 806,732 | 25,719 | |
* | CoreLogic Inc. | 845,315 | 25,664 |
* | SS&C Technologies Holdings Inc. | 578,757 | 25,593 |
* | Genpact Ltd. | 1,445,254 | 25,335 |
* | Guidewire Software Inc. | 620,155 | 25,215 |
* | RF Micro Devices Inc. | 2,614,775 | 25,076 |
*,^ | Advanced Micro Devices Inc. | 5,914,226 | 24,781 |
Anixter International Inc. | 247,230 | 24,740 | |
* | TriQuint Semiconductor Inc. | 1,563,547 | 24,720 |
* | NetSuite Inc. | 283,583 | 24,638 |
* | Tyler Technologies Inc. | 268,561 | 24,495 |
* | Knowles Corp. | 787,584 | 24,210 |
* | Cavium Inc. | 486,897 | 24,179 |
Diebold Inc. | 595,090 | 23,905 | |
* | Manhattan Associates Inc. | 692,129 | 23,830 |
* | Microsemi Corp. | 877,187 | 23,474 |
* | SolarWinds Inc. | 605,244 | 23,399 |
*,^ | GT Advanced Technologies Inc. | 1,252,545 | 23,297 |
* | ViaSat Inc. | 392,306 | 22,738 |
* | Tableau Software Inc. Class A | 317,817 | 22,670 |
Hittite Microwave Corp. | 290,444 | 22,640 | |
* | OpenTable Inc. | 217,397 | 22,522 |
Leidos Holdings Inc. | 580,580 | 22,259 | |
* | IPG Photonics Corp. | 322,066 | 22,158 |
* | Tech Data Corp. | 352,991 | 22,069 |
* | Freescale Semiconductor Ltd. | 916,008 | 21,526 |
* | Euronet Worldwide Inc. | 438,086 | 21,133 |
* | Ciena Corp. | 972,311 | 21,060 |
j2 Global Inc. | 412,049 | 20,957 | |
* | Rovi Corp. | 864,675 | 20,718 |
* | Zynga Inc. Class A | 6,340,768 | 20,354 |
39
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Compuware Corp. | 2,020,485 | 20,185 | |
Convergys Corp. | 933,910 | 20,023 | |
* | EchoStar Corp. Class A | 377,719 | 19,996 |
* | CommVault Systems Inc. | 406,550 | 19,990 |
Fair Isaac Corp. | 313,019 | 19,958 | |
* | Dolby Laboratories Inc. Class A | 452,922 | 19,566 |
* | Integrated Device Technology Inc. | 1,263,722 | 19,537 |
Vishay Intertechnology Inc. | 1,259,644 | 19,512 | |
Littelfuse Inc. | 208,493 | 19,379 | |
* | Cornerstone OnDemand Inc. | 420,230 | 19,339 |
* | ACI Worldwide Inc. | 346,374 | 19,338 |
* | Electronics For Imaging Inc. | 426,944 | 19,298 |
* | Take-Two Interactive Software Inc. | 864,068 | 19,217 |
Mentor Graphics Corp. | 887,452 | 19,142 | |
Plantronics Inc. | 390,004 | 18,740 | |
* | Qlik Technologies Inc. | 823,970 | 18,638 |
* | International Rectifier Corp. | 661,203 | 18,448 |
* | SYNNEX Corp. | 251,209 | 18,301 |
* | Dealertrack Technologies Inc. | 401,948 | 18,224 |
* | Fairchild Semiconductor International Inc. Class A | 1,156,869 | 18,047 |
* | Silicon Laboratories Inc. | 365,780 | 18,015 |
InterDigital Inc. | 375,046 | 17,927 | |
* | Demandware Inc. | 257,021 | 17,830 |
Intersil Corp. Class A | 1,186,473 | 17,738 | |
* | Entegris Inc. | 1,287,894 | 17,702 |
* | Finisar Corp. | 890,341 | 17,584 |
* | CommScope Holding Co. Inc. | 747,796 | 17,297 |
* | Sanmina Corp. | 754,458 | 17,187 |
* | Aruba Networks Inc. | 975,195 | 17,085 |
* | Sapient Corp. | 1,028,079 | 16,706 |
Science Applications International Corp. | 372,324 | 16,442 | |
*,^ | SunPower Corp. Class A | 399,776 | 16,383 |
* | WebMD Health Corp. | 336,237 | 16,240 |
Power Integrations Inc. | 280,713 | 16,152 | |
* | Semtech Corp. | 614,467 | 16,068 |
* | Polycom Inc. | 1,269,369 | 15,905 |
MKS Instruments Inc. | 494,516 | 15,449 | |
* | Acxiom Corp. | 708,689 | 15,371 |
* | CACI International Inc. Class A | 217,911 | 15,300 |
Blackbaud Inc. | 427,362 | 15,274 | |
* | NetScout Systems Inc. | 344,344 | 15,268 |
* | Coherent Inc. | 230,382 | 15,244 |
* | Rambus Inc. | 1,051,853 | 15,041 |
* | Conversant Inc. | 587,311 | 14,918 |
* | Itron Inc. | 363,714 | 14,749 |
EVERTEC Inc. | 602,870 | 14,614 | |
Booz Allen Hamilton Holding Corp. Class A | 682,524 | 14,497 | |
*,^ | Trulia Inc. | 303,756 | 14,392 |
Cypress Semiconductor Corp. | 1,317,768 | 14,377 | |
*,^ | NeuStar Inc. Class A | 552,144 | 14,367 |
* | Cardtronics Inc. | 412,336 | 14,052 |
* | Amkor Technology Inc. | 1,249,500 | 13,969 |
Monolithic Power Systems Inc. | 326,759 | 13,838 | |
* | Veeco Instruments Inc. | 369,759 | 13,777 |
* | Plexus Corp. | 314,464 | 13,613 |
* | TiVo Inc. | 1,049,472 | 13,549 |
* | PMC-Sierra Inc. | 1,779,233 | 13,540 |
Heartland Payment Systems Inc. | 327,478 | 13,495 | |
* | Cirrus Logic Inc. | 578,752 | 13,161 |
* | Envestnet Inc. | 267,086 | 13,066 |
* | Benchmark Electronics Inc. | 499,211 | 12,720 |
Methode Electronics Inc. | 330,011 | 12,610 | |
* | Blackhawk Network Holdings Inc. Class B | 462,133 | 12,408 |
* | Syntel Inc. | 143,733 | 12,355 |
40
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Universal Display Corp. | 381,716 | 12,253 |
Advent Software Inc. | 375,739 | 12,238 | |
* | Measurement Specialties Inc. | 141,035 | 12,139 |
* | Web.com Group Inc. | 417,877 | 12,064 |
ADTRAN Inc. | 525,550 | 11,856 | |
* | Insight Enterprises Inc. | 385,492 | 11,850 |
* | MicroStrategy Inc. Class A | 83,966 | 11,807 |
* | NETGEAR Inc. | 338,498 | 11,770 |
* | Unisys Corp. | 473,874 | 11,724 |
* | OSI Systems Inc. | 173,849 | 11,604 |
* | Progress Software Corp. | 478,541 | 11,504 |
* | OmniVision Technologies Inc. | 519,608 | 11,421 |
*,^ | FireEye Inc. | 279,419 | 11,330 |
*,^ | InvenSense Inc. | 489,988 | 11,118 |
* | Rogers Corp. | 166,029 | 11,016 |
* | comScore Inc. | 298,629 | 10,595 |
* | RealPage Inc. | 466,631 | 10,490 |
* | Infinera Corp. | 1,136,881 | 10,459 |
* | Bottomline Technologies de Inc. | 345,364 | 10,333 |
Monotype Imaging Holdings Inc. | 363,386 | 10,237 | |
* | Fusion-io Inc. | 905,651 | 10,234 |
* | Cabot Microelectronics Corp. | 226,937 | 10,133 |
* | Kulicke & Soffa Industries Inc. | 709,385 | 10,116 |
* | ScanSource Inc. | 263,884 | 10,049 |
* | Cray Inc. | 374,911 | 9,973 |
* | iGATE Corp. | 273,213 | 9,942 |
* | Spansion Inc. Class A | 469,035 | 9,883 |
* | LogMeIn Inc. | 211,869 | 9,877 |
* | Synchronoss Technologies Inc. | 282,358 | 9,871 |
* | EPAM Systems Inc. | 225,143 | 9,850 |
* | Diodes Inc. | 338,688 | 9,808 |
Tessera Technologies Inc. | 443,347 | 9,789 | |
MTS Systems Corp. | 141,996 | 9,622 | |
* | SPS Commerce Inc. | 150,087 | 9,484 |
* | Constant Contact Inc. | 284,165 | 9,125 |
* | Bankrate Inc. | 508,116 | 8,912 |
* | Lattice Semiconductor Corp. | 1,080,002 | 8,910 |
NIC Inc. | 555,209 | 8,800 | |
* | Virtusa Corp. | 241,554 | 8,648 |
* | Sykes Enterprises Inc. | 387,575 | 8,422 |
* | ExlService Holdings Inc. | 284,908 | 8,391 |
*,^ | Eastman Kodak Co. | 342,833 | 8,389 |
* | Sonus Networks Inc. | 2,316,697 | 8,317 |
CSG Systems International Inc. | 317,990 | 8,303 | |
* | Interactive Intelligence Group Inc. | 147,548 | 8,282 |
* | QLogic Corp. | 808,265 | 8,155 |
* | FARO Technologies Inc. | 163,436 | 8,028 |
* | Shutterstock Inc. | 95,869 | 7,955 |
* | Proofpoint Inc. | 209,015 | 7,830 |
* | Applied Micro Circuits Corp. | 720,850 | 7,792 |
* | II-VI Inc. | 537,762 | 7,776 |
* | Harmonic Inc. | 1,017,111 | 7,588 |
* | Blucora Inc. | 401,867 | 7,583 |
Badger Meter Inc. | 143,373 | 7,549 | |
* | BroadSoft Inc. | 276,534 | 7,298 |
*,^ | VirnetX Holding Corp. | 412,673 | 7,267 |
Brooks Automation Inc. | 663,801 | 7,149 | |
* | Newport Corp. | 383,747 | 7,099 |
ManTech International Corp. Class A | 240,396 | 7,096 | |
* | Monster Worldwide Inc. | 1,085,030 | 7,096 |
CTS Corp. | 377,918 | 7,067 | |
Pegasystems Inc. | 333,342 | 7,040 | |
Comtech Telecommunications Corp. | 186,699 | 6,969 | |
* | Super Micro Computer Inc. | 275,616 | 6,965 |
41
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Move Inc. | 465,705 | 6,888 |
* | CalAmp Corp. | 315,274 | 6,829 |
* | Advanced Energy Industries Inc. | 353,661 | 6,808 |
* | Rofin-Sinar Technologies Inc. | 280,564 | 6,745 |
* | Ellie Mae Inc. | 213,303 | 6,640 |
* | TeleTech Holdings Inc. | 228,795 | 6,633 |
AVX Corp. | 494,861 | 6,572 | |
* | PROS Holdings Inc. | 236,551 | 6,254 |
* | Checkpoint Systems Inc. | 444,039 | 6,212 |
* | Exar Corp. | 546,906 | 6,180 |
* | Ixia | 537,030 | 6,138 |
Micrel Inc. | 541,990 | 6,114 | |
* | Ultratech Inc. | 275,187 | 6,104 |
* | Perficient Inc. | 312,725 | 6,089 |
* | Global Eagle Entertainment Inc. | 483,917 | 6,001 |
Park Electrochemical Corp. | 211,201 | 5,958 | |
* | Ubiquiti Networks Inc. | 129,340 | 5,845 |
* | Ruckus Wireless Inc. | 488,780 | 5,821 |
* | Infoblox Inc. | 442,314 | 5,816 |
* | Stamps.com Inc. | 172,085 | 5,798 |
* | Comverse Inc. | 216,942 | 5,788 |
* | Global Cash Access Holdings Inc. | 649,243 | 5,778 |
* | Sabre Corp. | 279,700 | 5,608 |
* | Digital River Inc. | 351,520 | 5,424 |
* | Callidus Software Inc. | 451,039 | 5,385 |
* | RealD Inc. | 421,334 | 5,376 |
Forrester Research Inc. | 136,267 | 5,162 | |
* | Emulex Corp. | 904,259 | 5,154 |
Epiq Systems Inc. | 364,634 | 5,123 | |
* | Imperva Inc. | 195,261 | 5,112 |
* | LivePerson Inc. | 499,606 | 5,071 |
Daktronics Inc. | 399,612 | 4,763 | |
* | FormFactor Inc. | 569,218 | 4,736 |
^ | Ebix Inc. | 329,473 | 4,715 |
* | Silicon Image Inc. | 919,442 | 4,634 |
* | Marketo Inc. | 157,104 | 4,569 |
* | Angie's List Inc. | 381,913 | 4,560 |
Cass Information Systems Inc. | 90,332 | 4,470 | |
* | Tangoe Inc. | 292,993 | 4,412 |
* | Photronics Inc. | 508,163 | 4,370 |
* | Xcerra Corp. | 477,568 | 4,346 |
* | EnerNOC Inc. | 228,421 | 4,329 |
IXYS Corp. | 350,146 | 4,314 | |
* | TTM Technologies Inc. | 521,020 | 4,272 |
* | Dice Holdings Inc. | 552,878 | 4,207 |
* | Maxwell Technologies Inc. | 275,869 | 4,174 |
* | Fabrinet | 199,511 | 4,110 |
* | PDF Solutions Inc. | 192,615 | 4,087 |
* | XO Group Inc. | 333,931 | 4,081 |
Black Box Corp. | 170,479 | 3,996 | |
* | VASCO Data Security International Inc. | 343,028 | 3,979 |
* | Internap Network Services Corp. | 561,969 | 3,962 |
* | Liquidity Services Inc. | 245,435 | 3,868 |
EarthLink Holdings Corp. | 1,035,805 | 3,853 | |
*,^ | Textura Corp. | 156,910 | 3,709 |
* | CEVA Inc. | 239,639 | 3,539 |
* | Integrated Silicon Solution Inc. | 239,583 | 3,539 |
* | SciQuest Inc. | 198,935 | 3,519 |
* | Glu Mobile Inc. | 698,340 | 3,492 |
* | Extreme Networks Inc. | 782,501 | 3,474 |
* | DTS Inc. | 187,987 | 3,461 |
* | Oplink Communications Inc. | 198,802 | 3,374 |
* | Agilysys Inc. | 239,209 | 3,368 |
* | Immersion Corp. | 261,908 | 3,331 |
42
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Rudolph Technologies Inc. | 336,730 | 3,327 |
* | Mercury Systems Inc. | 292,882 | 3,321 |
* | Nanometrics Inc. | 181,542 | 3,313 |
* | Silicon Graphics International Corp. | 332,513 | 3,199 |
* | Xoom Corp. | 120,718 | 3,182 |
* | MoneyGram International Inc. | 216,016 | 3,182 |
* | CIBER Inc. | 610,490 | 3,016 |
* | ShoreTel Inc. | 458,433 | 2,989 |
* | Qualys Inc. | 115,524 | 2,965 |
* | Unwired Planet Inc. | 1,326,879 | 2,959 |
* | Lionbridge Technologies Inc. | 497,644 | 2,956 |
* | Entropic Communications Inc. | 884,416 | 2,945 |
Electro Rent Corp. | 175,418 | 2,935 | |
* | Quantum Corp. | 2,276,100 | 2,777 |
* | Bazaarvoice Inc. | 348,263 | 2,748 |
Marchex Inc. Class B | 225,315 | 2,708 | |
Cohu Inc. | 249,951 | 2,674 | |
* | ServiceSource International Inc. | 460,657 | 2,672 |
* | Oclaro Inc. | 1,212,363 | 2,667 |
* | Procera Networks Inc. | 260,069 | 2,624 |
* | Dot Hill Systems Corp. | 552,939 | 2,599 |
* | Actuate Corp. | 535,418 | 2,554 |
* | DSP Group Inc. | 300,512 | 2,551 |
*,^ | Endurance International Group Holdings Inc. | 165,944 | 2,537 |
* | Calix Inc. | 309,226 | 2,529 |
* | NVE Corp. | 45,142 | 2,509 |
* | Pericom Semiconductor Corp. | 275,578 | 2,491 |
* | Kemet Corp. | 426,584 | 2,453 |
* | ChannelAdvisor Corp. | 92,300 | 2,433 |
* | Limelight Networks Inc. | 791,186 | 2,421 |
* | Aeroflex Holding Corp. | 226,293 | 2,376 |
* | PLX Technology Inc. | 367,064 | 2,375 |
* | GSI Group Inc. | 184,883 | 2,354 |
Computer Task Group Inc. | 142,649 | 2,348 | |
PC Connection Inc. | 112,452 | 2,325 | |
* | Intralinks Holdings Inc. | 259,996 | 2,311 |
* | Cvent Inc. | 79,063 | 2,300 |
American Software Inc. Class A | 228,096 | 2,254 | |
* | Digi International Inc. | 238,132 | 2,243 |
*,^ | Rocket Fuel Inc. | 71,841 | 2,234 |
* | Inphi Corp. | 151,553 | 2,225 |
* | E2open Inc. | 106,516 | 2,202 |
* | Seachange International Inc. | 271,274 | 2,173 |
Electro Scientific Industries Inc. | 316,914 | 2,158 | |
*,^ | QuickLogic Corp. | 416,432 | 2,153 |
*,^ | ModusLink Global Solutions Inc. | 574,095 | 2,147 |
* | Vishay Precision Group Inc. | 124,225 | 2,045 |
* | PRGX Global Inc. | 319,949 | 2,044 |
* | Ultra Clean Holdings Inc. | 225,330 | 2,039 |
* | Kopin Corp. | 623,388 | 2,032 |
* | Jive Software Inc. | 234,201 | 1,993 |
* | Brightcove Inc. | 184,083 | 1,940 |
Reis Inc. | 91,517 | 1,929 | |
* | Gigamon Inc. | 100,432 | 1,922 |
* | Zix Corp. | 559,817 | 1,915 |
* | Rubicon Technology Inc. | 218,558 | 1,912 |
*,^ | Benefitfocus Inc. | 40,527 | 1,873 |
* | Intevac Inc. | 230,818 | 1,849 |
Mesa Laboratories Inc. | 21,970 | 1,845 | |
Bel Fuse Inc. Class B | 70,931 | 1,821 | |
*,^ | Vringo Inc. | 516,381 | 1,766 |
* | KVH Industries Inc. | 135,373 | 1,764 |
* | Datalink Corp. | 175,505 | 1,755 |
* | Demand Media Inc. | 357,188 | 1,722 |
43
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | TeleCommunication Systems Inc. Class A | 520,861 | 1,714 |
* | RealNetworks Inc. | 223,844 | 1,708 |
* | Guidance Software Inc. | 186,492 | 1,701 |
* | Support.com Inc. | 625,666 | 1,696 |
*,^ | Gogo Inc. | 86,117 | 1,684 |
* | ePlus Inc. | 28,596 | 1,664 |
* | NAPCO Security Technologies Inc. | 305,202 | 1,657 |
* | Carbonite Inc. | 137,527 | 1,646 |
* | QuinStreet Inc. | 297,722 | 1,640 |
* | Axcelis Technologies Inc. | 812,818 | 1,626 |
* | Key Tronic Corp. | 150,358 | 1,576 |
* | MaxLinear Inc. | 156,479 | 1,576 |
Digimarc Corp. | 47,205 | 1,539 | |
* | Autobytel Inc. | 116,348 | 1,525 |
* | Aware Inc. | 231,356 | 1,518 |
QAD Inc. Class A | 69,592 | 1,484 | |
* | Sigma Designs Inc. | 322,809 | 1,478 |
Tessco Technologies Inc. | 46,556 | 1,477 | |
* | Travelzoo Inc. | 75,878 | 1,468 |
*,^ | Research Frontiers Inc. | 237,493 | 1,439 |
* | Cinedigm Corp. Class A | 562,220 | 1,400 |
* | Amtech Systems Inc. | 113,179 | 1,384 |
* | Multi-Fineline Electronix Inc. | 124,513 | 1,375 |
* | PCM Inc. | 128,872 | 1,374 |
United Online Inc. | 130,651 | 1,359 | |
Transact Technologies Inc. | 130,847 | 1,356 | |
* | PFSweb Inc. | 159,225 | 1,322 |
Alliance Fiber Optic Products Inc. | 71,132 | 1,287 | |
Hackett Group Inc. | 212,250 | 1,267 | |
*,^ | ParkerVision Inc. | 854,549 | 1,265 |
*,^ | MoSys Inc. | 398,283 | 1,251 |
* | M/A-COM Technology Solutions Holdings Inc. | 54,348 | 1,222 |
* | Nimble Storage Inc. | 39,673 | 1,219 |
MOCON Inc. | 75,913 | 1,200 | |
* | Higher One Holdings Inc. | 312,722 | 1,191 |
* | Qumu Corp. | 84,335 | 1,180 |
* | Speed Commerce Inc. | 314,929 | 1,178 |
Communications Systems Inc. | 94,152 | 1,170 | |
* | Information Services Group Inc. | 242,329 | 1,166 |
* | Clearfield Inc. | 69,196 | 1,162 |
* | Rally Software Development Corp. | 106,332 | 1,158 |
* | Peregrine Semiconductor Corp. | 167,540 | 1,149 |
Richardson Electronics Ltd. | 109,640 | 1,148 | |
*,^ | Neonode Inc. | 365,294 | 1,143 |
* | Pixelworks Inc. | 148,862 | 1,127 |
* | Millennial Media Inc. | 224,015 | 1,118 |
*,^ | Park City Group Inc. | 98,638 | 1,074 |
* | Numerex Corp. Class A | 93,082 | 1,069 |
*,^ | Mitek Systems Inc. | 319,044 | 1,062 |
* | Frequency Electronics Inc. | 86,235 | 1,062 |
* | Rosetta Stone Inc. | 108,116 | 1,051 |
Evolving Systems Inc. | 115,992 | 993 | |
* | Aviat Networks Inc. | 748,642 | 958 |
PC-Tel Inc. | 117,953 | 954 | |
* | Westell Technologies Inc. Class A | 385,541 | 945 |
* | Mattson Technology Inc. | 423,367 | 927 |
* | Radisys Corp. | 261,976 | 914 |
* | iPass Inc. | 758,383 | 910 |
* | Telenav Inc. | 158,677 | 903 |
* | Datawatch Corp. | 60,329 | 903 |
* | AXT Inc. | 416,049 | 890 |
Astro-Med Inc. | 65,498 | 890 | |
* | FalconStor Software Inc. | 479,441 | 815 |
* | Local Corp. | 378,331 | 785 |
44
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Innodata Inc. | 241,360 | 777 |
*,^ | MeetMe Inc. | 281,417 | 765 |
* | Echelon Corp. | 311,964 | 758 |
*,^ | CVD Equipment Corp. | 61,399 | 744 |
* | eGain Corp. | 109,310 | 740 |
* | Cascade Microtech Inc. | 52,902 | 723 |
* | Zhone Technologies Inc. | 232,450 | 721 |
*,^ | Uni-Pixel Inc. | 89,398 | 719 |
* | Emcore Corp. | 170,640 | 703 |
* | ANADIGICS Inc. | 842,326 | 682 |
* | Vitesse Semiconductor Corp. | 196,577 | 678 |
* | WidePoint Corp. | 383,604 | 675 |
* | ID Systems Inc. | 121,224 | 659 |
Perceptron Inc. | 51,154 | 652 | |
* | Marin Software Inc. | 55,357 | 652 |
* | LoJack Corp. | 117,277 | 637 |
* | Meru Networks Inc. | 167,979 | 618 |
* | Wireless Telecom Group Inc. | 231,511 | 618 |
* | Mattersight Corp. | 116,238 | 617 |
* | BSQUARE Corp. | 190,233 | 609 |
* | GSI Technology Inc. | 100,859 | 601 |
* | LRAD Corp. | 290,661 | 599 |
* | Violin Memory Inc. | 129,881 | 575 |
TheStreet Inc. | 234,379 | 565 | |
* | CyberOptics Corp. | 70,691 | 565 |
*,^ | Crossroads Systems Inc. | 165,788 | 555 |
* | Data I/O Corp. | 180,066 | 542 |
* | Onvia Inc. | 108,483 | 501 |
*,^ | ClearSign Combustion Corp. | 53,627 | 492 |
* | Model N Inc. | 44,488 | 492 |
* | NCI Inc. Class A | 53,078 | 471 |
*,^ | Document Security Systems Inc. | 331,632 | 454 |
Optical Cable Corp. | 112,873 | 451 | |
* | PAR Technology Corp. | 106,779 | 448 |
*,^ | Spark Networks Inc. | 78,731 | 446 |
*,^ | Infosonics Corp. | 187,832 | 445 |
CSP Inc. | 63,018 | 436 | |
* | Tremor Video Inc. | 91,790 | 433 |
* | Netlist Inc. | 329,552 | 425 |
* | A10 Networks Inc. | 31,680 | 421 |
* | Silver Spring Networks Inc. | 31,074 | 414 |
*,^ | Wave Systems Corp. Class A | 293,136 | 413 |
Concurrent Computer Corp. | 55,268 | 412 | |
* | Newtek Business Services Inc. | 147,777 | 405 |
* | Planet Payment Inc. | 142,025 | 403 |
* | IEC Electronics Corp. | 91,854 | 400 |
* | Edgewater Technology Inc. | 53,596 | 399 |
* | ClearOne Inc. | 39,581 | 389 |
* | USA Technologies Inc. | 184,289 | 389 |
* | Acorn Energy Inc. | 161,560 | 381 |
* | BTU International Inc. | 113,437 | 371 |
* | BroadVision Inc. | 37,841 | 363 |
* | Imation Corp. | 105,514 | 363 |
* | StarTek Inc. | 46,382 | 358 |
* | Hutchinson Technology Inc. | 137,976 | 345 |
* | Audience Inc. | 28,161 | 337 |
* | GSE Systems Inc. | 200,594 | 333 |
* | Applied Optoelectronics Inc. | 14,207 | 330 |
*,^ | Cyan Inc. | 81,495 | 328 |
* | Aerohive Networks Inc. | 39,178 | 322 |
* | Sonic Foundry Inc. | 29,544 | 317 |
* | Internet Patents Corp. | 100,800 | 312 |
* | Novatel Wireless Inc. | 161,366 | 308 |
*,^ | MicroVision Inc. | 150,409 | 302 |
45
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Mandalay Digital Group Inc. | 73,780 | 291 |
* | Everyday Health Inc. | 15,667 | 290 |
* | Ikanos Communications Inc. | 672,829 | 286 |
* | Lantronix Inc. | 140,011 | 276 |
* | STR Holdings Inc. | 199,017 | 269 |
* | CUI Global Inc. | 31,502 | 265 |
QAD Inc. Class B | 14,091 | 256 | |
* | NeoPhotonics Corp. | 60,156 | 250 |
* | Planar Systems Inc. | 99,747 | 244 |
Globalscape Inc. | 99,732 | 244 | |
* | GTT Communications Inc. | 23,913 | 244 |
* | Envivio Inc. | 101,037 | 242 |
* | Video Display Corp. | 71,008 | 235 |
* | LGL Group Inc. | 47,780 | 231 |
* | Varonis Systems Inc. | 7,884 | 229 |
^ | LiveDeal Inc. | 49,683 | 217 |
* | Crexendo Inc. | 65,793 | 211 |
* | Amber Road Inc. | 12,700 | 205 |
* | Identiv Inc. | 18,334 | 203 |
* | Remark Media Inc. | 22,453 | 200 |
* | eMagin Corp. | 85,535 | 191 |
* | Intellicheck Mobilisa Inc. | 258,695 | 189 |
* | Q2 Holdings Inc. | 12,676 | 181 |
* | NetSol Technologies Inc. | 45,112 | 175 |
* | InterCloud Systems Inc. | 26,038 | 172 |
* | Covisint Corp. | 35,284 | 171 |
*,^ | Ascent Solar Technologies Inc. | 398,486 | 167 |
* | Asure Software Inc. | 27,280 | 165 |
* | Selectica Inc. | 25,943 | 164 |
* | Viasystems Group Inc. | 14,776 | 161 |
* | Inuvo Inc. | 169,475 | 151 |
* | Interphase Corp. | 34,145 | 148 |
* | Synacor Inc. | 57,301 | 147 |
Bel Fuse Inc. Class A | 5,719 | 141 | |
* | TechTarget Inc. | 14,519 | 128 |
* | Bridgeline Digital Inc. | 144,377 | 127 |
RF Industries Ltd. | 20,988 | 126 | |
* | Looksmart Ltd. | 69,526 | 125 |
* | Care.com Inc. | 9,865 | 125 |
* | Intermolecular Inc. | 52,499 | 122 |
*,^ | Overland Storage Inc. | 25,049 | 121 |
* | Aetrium Inc. | 21,572 | 117 |
*,^ | Superconductor Technologies Inc. | 38,507 | 111 |
* | GigOptix Inc. | 77,419 | 106 |
*,^ | xG Technology Inc. | 52,552 | 106 |
* | RELM Wireless Corp. | 27,322 | 105 |
* | Alpha & Omega Semiconductor Ltd. | 11,340 | 105 |
* | YuMe Inc. | 17,794 | 105 |
* | Smith Micro Software Inc. | 96,461 | 100 |
* | Majesco Entertainment Co. | 43,648 | 99 |
* | OPOWER Inc. | 4,689 | 88 |
* | Lightpath Technologies Inc. Class A | 63,678 | 87 |
* | TSR Inc. | 27,043 | 81 |
* | World Energy Solutions Inc. | 19,534 | 78 |
* | Exa Corp. | 6,923 | 78 |
* | Blackhawk Network Holdings Inc. | 2,465 | 70 |
*,^ | Digital Ally Inc. | 21,121 | 66 |
* | Advanced Photonix Inc. Class A | 99,780 | 61 |
* | Borderfree Inc. | 3,167 | 52 |
* | Iteris Inc. | 28,038 | 48 |
* | TigerLogic Corp. | 31,880 | 43 |
* | Ambient Corp. | 43,817 | 40 |
* | Xplore Technologies Corp. | 6,900 | 40 |
* | Elecsys Corp. | 3,200 | 39 |
46
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Daegis Inc. | 31,670 | 37 |
* | ADDvantage Technologies Group Inc. | 10,200 | 28 |
* | Sevcon Inc. | 3,344 | 28 |
Wayside Technology Group Inc. | 1,600 | 25 | |
* | Sigmatron International Inc. | 2,000 | 24 |
*,^ | Net Element Inc. | 12,508 | 24 |
* | Sutron Corp. | 3,900 | 20 |
* | Voltari Corp. | 8,435 | 17 |
* | Dataram Corp. | 4,800 | 14 |
* | Qualstar Corp. | 9,220 | 12 |
* | LGL GROUP Inc. Warrants Exp. 06/8/2018 | 238,900 | 12 |
* | WPCS International Inc. | 22,640 | 12 |
* | Cover-All Technologies Inc. | 9,331 | 11 |
* | RMG Networks Holding Corp. | 2,700 | 6 |
* | Liquid Holdings Group Inc. | 2,100 | 4 |
* | IntriCon Corp. | 400 | 3 |
* | Mavenir Systems Inc. | 100 | 2 |
*,^ | Inventergy Global Inc. | 467 | 1 |
* | Avid Technology Inc. | 149 | 1 |
* | MAM Software Group Inc. | 200 | 1 |
* | Saba Software Inc. | 74 | 1 |
6,111,288 | |||
Materials (5.5%) | |||
Celanese Corp. Class A | 1,430,241 | 91,936 | |
Ashland Inc. | 664,892 | 72,300 | |
Rock-Tenn Co. Class A | 658,373 | 69,518 | |
* | WR Grace & Co. | 699,836 | 66,155 |
Packaging Corp. of America | 902,019 | 64,485 | |
* | Crown Holdings Inc. | 1,271,689 | 63,279 |
RPM International Inc. | 1,222,499 | 56,455 | |
Martin Marietta Materials Inc. | 424,122 | 56,005 | |
Valspar Corp. | 712,512 | 54,286 | |
Reliance Steel & Aluminum Co. | 713,115 | 52,564 | |
Albemarle Corp. | 729,749 | 52,177 | |
Huntsman Corp. | 1,812,931 | 50,943 | |
Rockwood Holdings Inc. | 665,599 | 50,579 | |
Royal Gold Inc. | 596,166 | 45,380 | |
Eagle Materials Inc. | 459,078 | 43,282 | |
Sonoco Products Co. | 936,354 | 41,134 | |
AptarGroup Inc. | 597,661 | 40,049 | |
NewMarket Corp. | 101,003 | 39,604 | |
Steel Dynamics Inc. | 2,047,425 | 36,751 | |
PolyOne Corp. | 859,490 | 36,219 | |
* | Graphic Packaging Holding Co. | 2,996,480 | 35,059 |
Cytec Industries Inc. | 330,532 | 34,845 | |
Cabot Corp. | 554,903 | 32,179 | |
Carpenter Technology Corp. | 491,391 | 31,080 | |
Westlake Chemical Corp. | 366,856 | 30,728 | |
Axiall Corp. | 646,964 | 30,582 | |
Compass Minerals International Inc. | 310,080 | 29,687 | |
US Silica Holdings Inc. | 495,682 | 27,481 | |
Domtar Corp. | 602,202 | 25,804 | |
Sensient Technologies Corp. | 451,753 | 25,172 | |
* | KapStone Paper and Packaging Corp. | 744,448 | 24,664 |
* | Berry Plastics Group Inc. | 924,057 | 23,841 |
* | Chemtura Corp. | 880,498 | 23,007 |
Scotts Miracle-Gro Co. Class A | 397,283 | 22,589 | |
HB Fuller Co. | 463,468 | 22,293 | |
^ | Cliffs Natural Resources Inc. | 1,416,411 | 21,317 |
Minerals Technologies Inc. | 319,300 | 20,940 | |
Silgan Holdings Inc. | 406,120 | 20,639 | |
Worthington Industries Inc. | 475,345 | 20,459 | |
* | Louisiana-Pacific Corp. | 1,309,549 | 19,669 |
* | Platform Specialty Products Corp. | 699,227 | 19,599 |
47
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Olin Corp. | 724,137 | 19,494 | |
* | Stillwater Mining Co. | 1,110,281 | 19,485 |
Commercial Metals Co. | 1,086,291 | 18,804 | |
* | Texas Industries Inc. | 199,261 | 18,404 |
Greif Inc. Class A | 282,642 | 15,421 | |
Tronox Ltd. Class A | 569,437 | 15,318 | |
Balchem Corp. | 281,652 | 15,085 | |
* | Rayonier Advanced Materials Inc. | 384,823 | 14,912 |
* | Resolute Forest Products Inc. | 879,173 | 14,753 |
* | Flotek Industries Inc. | 434,403 | 13,970 |
* | SunCoke Energy Inc. | 647,611 | 13,924 |
Globe Specialty Metals Inc. | 593,608 | 12,335 | |
Schweitzer-Mauduit International Inc. | 282,455 | 12,332 | |
Kaiser Aluminum Corp. | 167,039 | 12,172 | |
* | Clearwater Paper Corp. | 190,758 | 11,774 |
Innophos Holdings Inc. | 201,066 | 11,575 | |
* | Calgon Carbon Corp. | 499,145 | 11,146 |
Hecla Mining Co. | 3,172,361 | 10,945 | |
PH Glatfelter Co. | 400,943 | 10,637 | |
A Schulman Inc. | 271,047 | 10,489 | |
* | Ferro Corp. | 805,776 | 10,121 |
*,^ | AK Steel Holding Corp. | 1,269,772 | 10,107 |
Innospec Inc. | 225,976 | 9,755 | |
OM Group Inc. | 296,410 | 9,613 | |
* | Headwaters Inc. | 679,461 | 9,438 |
Quaker Chemical Corp. | 122,679 | 9,421 | |
Stepan Co. | 176,446 | 9,327 | |
Neenah Paper Inc. | 170,370 | 9,055 | |
* | Coeur Mining Inc. | 968,560 | 8,891 |
*,^ | Intrepid Potash Inc. | 512,855 | 8,595 |
* | Boise Cascade Co. | 297,802 | 8,529 |
* | Century Aluminum Co. | 538,267 | 8,440 |
Materion Corp. | 227,410 | 8,412 | |
* | LSB Industries Inc. | 189,496 | 7,896 |
* | RTI International Metals Inc. | 288,851 | 7,681 |
Koppers Holdings Inc. | 195,524 | 7,479 | |
* | McEwen Mining Inc. | 2,579,326 | 7,428 |
* | Horsehead Holding Corp. | 405,587 | 7,406 |
Haynes International Inc. | 123,620 | 6,996 | |
* | Kraton Performance Polymers Inc. | 304,184 | 6,811 |
Deltic Timber Corp. | 108,017 | 6,526 | |
Myers Industries Inc. | 317,086 | 6,370 | |
Schnitzer Steel Industries Inc. | 244,059 | 6,363 | |
* | Rentech Inc. | 2,240,823 | 5,804 |
Wausau Paper Corp. | 517,286 | 5,597 | |
Tredegar Corp. | 237,507 | 5,560 | |
* | Advanced Emissions Solutions Inc. | 214,344 | 4,915 |
* | Senomyx Inc. | 549,840 | 4,756 |
*,^ | Molycorp Inc. | 1,758,238 | 4,519 |
Zep Inc. | 255,402 | 4,510 | |
* | OMNOVA Solutions Inc. | 472,392 | 4,294 |
* | Taminco Corp. | 181,313 | 4,217 |
Kronos Worldwide Inc. | 230,536 | 3,612 | |
*,^ | Allied Nevada Gold Corp. | 929,260 | 3,494 |
Hawkins Inc. | 92,106 | 3,421 | |
Olympic Steel Inc. | 133,195 | 3,297 | |
^ | Walter Energy Inc. | 597,793 | 3,258 |
American Vanguard Corp. | 242,032 | 3,200 | |
* | Mercer International Inc. | 283,820 | 2,980 |
FutureFuel Corp. | 163,368 | 2,710 | |
* | Landec Corp. | 194,312 | 2,427 |
Noranda Aluminum Holding Corp. | 678,982 | 2,397 | |
Ampco-Pittsburgh Corp. | 100,187 | 2,298 | |
* | US Concrete Inc. | 82,300 | 2,037 |
48
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Universal Stainless & Alloy Products Inc. | 59,961 | 1,948 |
* | Handy & Harman Ltd. | 67,082 | 1,796 |
* | AM Castle & Co. | 154,963 | 1,711 |
* | AEP Industries Inc. | 43,386 | 1,513 |
Synalloy Corp. | 79,907 | 1,312 | |
^ | Gold Resource Corp. | 256,782 | 1,299 |
* | Penford Corp. | 92,919 | 1,192 |
Chase Corp. | 34,898 | 1,191 | |
United States Lime & Minerals Inc. | 18,100 | 1,173 | |
*,^ | Paramount Gold and Silver Corp. | 1,038,370 | 997 |
KMG Chemicals Inc. | 45,873 | 825 | |
*,^ | General Moly Inc. | 710,136 | 817 |
* | Core Molding Technologies Inc. | 58,763 | 764 |
* | Trecora Resources | 62,697 | 742 |
* | Comstock Mining Inc. | 351,346 | 587 |
*,^ | Midway Gold Corp. | 642,817 | 579 |
* | TOR Minerals International Inc. | 56,356 | 563 |
* | Solitario Exploration & Royalty Corp. | 381,460 | 504 |
* | UFP Technologies Inc. | 15,357 | 370 |
* | Codexis Inc. | 230,405 | 336 |
*,^ | Verso Paper Corp. | 127,089 | 267 |
* | US Antimony Corp. | 181,971 | 258 |
* | Mines Management Inc. | 200,193 | 224 |
* | Marrone Bio Innovations Inc. | 15,671 | 182 |
*,^ | Clean Diesel Technologies Inc. | 54,375 | 147 |
*,^ | Silver Bull Resources Inc. | 463,119 | 141 |
*,^ | Golden Minerals Co. | 102,533 | 118 |
* | BioAmber Inc. | 8,800 | 88 |
* | Timberline Resources Corp. | 366,815 | 49 |
* | Metabolix Inc. | 32,461 | 28 |
* | Continental Materials Corp. | 600 | 10 |
2,199,404 | |||
Other (0.0%) | |||
* | Leap Wireless International Inc CVR | 524,960 | 1,323 |
* | Adolor Corp. Rights Exp. 07/01/2019 | 596,841 | 311 |
* | Camco Financial Corp. Warrants Expi. 11/06/2017 | 32,905 | 219 |
* | Unity Bancorp Inc. Rights Exp. 08/08/2014 | 174,680 | 159 |
* | Chelsea Therapeutics International Ltd. CVR | 912,063 | 100 |
* | Southern Community Financial Corp | 182,721 | 40 |
* | Cubist Pharmaceuticals, Inc. CVR | 178,549 | 23 |
* | Forest Laboratories Inc. Contingent Value Rights Exp. 04/14/2018 | 131,308 | — |
* | Gerber Scientific Inc. CVR | 161,151 | — |
* | Trubion Pharmaceuticals Inc. CVR | 49,686 | — |
2,175 | |||
Telecommunication Services (1.4%) | |||
* | SBA Communications Corp. Class A | 1,181,456 | 120,863 |
* | T-Mobile US Inc. | 2,357,177 | 79,248 |
* | Level 3 Communications Inc. | 1,567,050 | 68,809 |
* | Sprint Corp. | 7,959,369 | 67,893 |
* | tw telecom inc Class A | 1,265,140 | 50,998 |
Telephone & Data Systems Inc. | 916,409 | 23,927 | |
Cogent Communications Holdings Inc. | 393,795 | 13,606 | |
*,^ | Globalstar Inc. | 2,092,007 | 8,891 |
Consolidated Communications Holdings Inc. | 371,205 | 8,256 | |
* | Cincinnati Bell Inc. | 2,024,373 | 7,956 |
* | Premiere Global Services Inc. | 521,023 | 6,956 |
Shenandoah Telecommunications Co. | 227,831 | 6,940 | |
* | 8x8 Inc. | 761,980 | 6,157 |
* | United States Cellular Corp. | 144,830 | 5,909 |
Atlantic Tele-Network Inc. | 101,021 | 5,859 | |
* | Vonage Holdings Corp. | 1,549,316 | 5,810 |
* | Iridium Communications Inc. | 584,298 | 4,943 |
Inteliquent Inc. | 329,495 | 4,570 | |
* | General Communication Inc. Class A | 405,345 | 4,491 |
49
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | FairPoint Communications Inc. | 296,162 | 4,137 |
USA Mobility Inc. | 268,515 | 4,135 | |
* | inContact Inc. | 423,751 | 3,894 |
IDT Corp. Class B | 184,062 | 3,206 | |
* | Cbeyond Inc. | 316,734 | 3,152 |
* | Intelsat SA | 163,101 | 3,073 |
Lumos Networks Corp. | 185,289 | 2,681 | |
* | ORBCOMM Inc. | 398,999 | 2,629 |
Enventis Corp. | 138,857 | 2,199 | |
NTELOS Holdings Corp. | 143,974 | 1,794 | |
* | Hawaiian Telcom Holdco Inc. | 50,084 | 1,433 |
*,^ | Towerstream Corp. | 538,096 | 1,044 |
*,^ | NII Holdings Inc. | 1,699,244 | 935 |
* | Straight Path Communications Inc. Class B | 88,206 | 900 |
* | Alaska Communications Systems Group Inc. | 489,323 | 881 |
* | RingCentral Inc. Class A | 46,749 | 707 |
*,^ | Elephant Talk Communications Corp. | 615,563 | 585 |
* | Boingo Wireless Inc. | 69,949 | 478 |
* | Alteva | 66,323 | 458 |
540,403 | |||
Utilities (3.4%) | |||
American Water Works Co. Inc. | 1,642,195 | 81,207 | |
* | Calpine Corp. | 3,104,555 | 73,920 |
OGE Energy Corp. | 1,826,751 | 71,389 | |
Alliant Energy Corp. | 1,017,849 | 61,946 | |
MDU Resources Group Inc. | 1,752,094 | 61,499 | |
National Fuel Gas Co. | 770,717 | 60,347 | |
UGI Corp. | 1,055,706 | 53,313 | |
ITC Holdings Corp. | 1,446,166 | 52,756 | |
Atmos Energy Corp. | 919,193 | 49,085 | |
Westar Energy Inc. Class A | 1,182,465 | 45,158 | |
Aqua America Inc. | 1,624,565 | 42,596 | |
Questar Corp. | 1,599,233 | 39,661 | |
Great Plains Energy Inc. | 1,403,946 | 37,724 | |
Cleco Corp. | 553,186 | 32,610 | |
Vectren Corp. | 763,262 | 32,439 | |
* | Dynegy Inc. Class A | 900,698 | 31,344 |
Piedmont Natural Gas Co. Inc. | 722,711 | 27,037 | |
IDACORP Inc. | 465,012 | 26,892 | |
Black Hills Corp. | 411,906 | 25,287 | |
Portland General Electric Co. | 723,118 | 25,071 | |
^ | Hawaiian Electric Industries Inc. | 938,682 | 23,767 |
UNS Energy Corp. | 385,500 | 23,288 | |
Southwest Gas Corp. | 430,572 | 22,730 | |
New Jersey Resources Corp. | 390,438 | 22,317 | |
PNM Resources Inc. | 738,398 | 21,657 | |
WGL Holdings Inc. | 481,397 | 20,748 | |
UIL Holdings Corp. | 523,128 | 20,250 | |
NorthWestern Corp. | 359,639 | 18,770 | |
Laclede Group Inc. | 386,528 | 18,766 | |
Avista Corp. | 556,960 | 18,669 | |
South Jersey Industries Inc. | 303,795 | 18,352 | |
ONE Gas Inc. | 481,814 | 18,189 | |
ALLETE Inc. | 352,461 | 18,099 | |
El Paso Electric Co. | 374,087 | 15,042 | |
MGE Energy Inc. | 322,013 | 12,723 | |
American States Water Co. | 360,498 | 11,979 | |
Northwest Natural Gas Co. | 251,430 | 11,855 | |
Pattern Energy Group Inc. Class A | 338,053 | 11,193 | |
California Water Service Group | 442,311 | 10,704 | |
Empire District Electric Co. | 399,932 | 10,270 | |
Otter Tail Corp. | 336,694 | 10,199 | |
NRG Yield Inc. Class A | 178,527 | 9,292 | |
Chesapeake Utilities Corp. | 104,626 | 7,463 |
50
Vanguard® Extended Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2014 | |||||
Market | |||||
Value | |||||
Shares | ($000) | ||||
Ormat Technologies Inc. | 212,290 | 6,120 | |||
Unitil Corp. | 126,669 | 4,285 | |||
SJW Corp. | 142,788 | 3,884 | |||
Middlesex Water Co. | 165,897 | 3,514 | |||
Connecticut Water Service Inc. | 82,841 | 2,806 | |||
York Water Co. | 106,592 | 2,219 | |||
Artesian Resources Corp. Class A | 79,449 | 1,786 | |||
^ | Delta Natural Gas Co. Inc. | 74,412 | 1,634 | ||
* | Genie Energy Ltd. Class B | 150,487 | 1,184 | ||
*,^ | Pure Cycle Corp. | 158,736 | 1,075 | ||
* | Cadiz Inc. | 97,558 | 813 | ||
* | US Geothermal Inc. | 523,384 | 314 | ||
Gas Natural Inc. | 12,529 | 132 | |||
* | American DG Energy Inc. | 49,512 | 89 | ||
1,337,458 | |||||
Total Common Stocks (Cost $27,095,520) | 39,666,552 | ||||
Coupon | |||||
Temporary Cash Investments (1.2%)1 | |||||
Money Market Fund (1.2%) | |||||
2,3 | Vanguard Market Liquidity Fund | 0.111% | 456,969,572 | 456,970 | |
Face | |||||
Maturity | Amount | ||||
Date | ($000) | ||||
U.S. Government and Agency Obligations (0.0%) | |||||
4 | Federal Home Loan Bank Discount Notes | 0.068% | 7/2/14 | 4,000 | 4,000 |
4,5 | Federal Home Loan Bank Discount Notes | 0.081% | 9/12/14 | 1,500 | 1,500 |
5,6 | Freddie Mac Discount Notes | 0.077% | 10/20/14 | 1,600 | 1,599 |
7,099 | |||||
Total Temporary Cash Investments (Cost $464,069) | 464,069 | ||||
Total Investments (101.0%) (Cost $27,559,589) | 40,130,621 | ||||
Other Assets and Liabilities—Net (-1.0%)3 | (402,892) | ||||
Net Assets (100%) | 39,727,729 |
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $402,198,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and 1.0%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Includes $431,827,000 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 $3,099,000 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.
REIT—Real Estate Investment Trust.
© 2014 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA982 082014
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, 2014 |
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, 2014
| |
VANGUARD INDEX FUNDS
| |
By: | /s/ THOMAS J. HIGGINS* |
THOMAS J. HIGGINS | |
CHIEF FINANCIAL OFFICER | |
Date: August 20, 2014 |
* By: /s/ Heidi Stam
Heidi Stam, pursuant to a Power of Attorney filed on April 22, 2014 see file Number 2-17620, Incorporated
by Reference.