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 – December 31, 2014
Item 1: Reports to Shareholders
Annual Report | December 31, 2014
Vanguard 500 Index Fund
The mission continues
On May 1, 1975, Vanguard began operations, a fledgling company based on the simple but revolutionary idea that a mutual fund company should be managed solely in the interest of its investors.
Four decades later, that revolutionary spirit continues to animate the enterprise. Vanguard remains on a mission to give investors the best chance of investment success.
As we mark our 40th anniversary, we thank you for entrusting your assets to Vanguard and giving us the opportunity to help you reach your financial goals in the decades to come.
| Contents | |
| Your Fund’s Total Returns. | 1 |
| Chairman’s Letter. | 2 |
| Fund Profile. | 8 |
| Performance Summary. | 10 |
| Financial Statements. | 12 |
| Your Fund’s After-Tax Returns. | 33 |
| About Your Fund’s Expenses. | 34 |
| Glossary. | 36 |
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: Since our founding, Vanguard has drawn inspiration from the enterprise and valor demonstrated by British naval hero Horatio Nelson and his command at the Battle of the Nile in 1798. The photograph displays a replica of a merchant ship from the same era as Nelson’s flagship, the HMS Vanguard.
| Your Fund’s Total Returns | |
| Fiscal Year Ended December 31, 2014 | |
| Total | |
| Returns | |
| Vanguard 500 Index Fund | |
| Investor Shares | 13.51% |
| Admiral™ Shares | 13.64 |
| ETF Shares | |
| Market Price | 13.64 |
| Net Asset Value | 13.63 |
| S&P 500 Index | 13.69 |
| Large-Cap Core Funds Average | 11.32 |
| 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. 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 December 31, 2014 | ||||
| Distributions Per Share | ||||
| Starting | Ending | |||
| Share | Share | Income | Capital | |
| Price | Price | Dividends | Gains | |
| Vanguard 500 Index Fund | ||||
| Investor Shares | $170.36 | $189.89 | $3.303 | $0.000 |
| Admiral Shares | 170.36 | 189.89 | 3.517 | 0.000 |
| ETF Shares | 169.07 | 188.45 | 3.490 | 0.000 |
1
Chairman’s Letter
Dear Shareholder,
For the fiscal year ended December 31, 2014, Vanguard 500 Index Fund returned almost 14%. The fund closely tracked its benchmark, the Standard & Poor’s 500 Index, and outpaced the average return of its large-capitalization core fund peers.
U.S. stocks trumped their international counterparts in 2014 thanks to better-than-expected domestic economic growth, low interest rates and inflation, and strong corporate profits. Large-capitalization companies such as those held in the 500 Index Fund were among the biggest beneficiaries of the market’s advance. Information technology, health care, and financial company stocks returned the most, but energy stocks disappointed.
Please note that your fund’s Signal Shares were converted to Admiral Shares in October 2014 as part of a year-long plan to phase out Signal Shares and streamline Vanguard’s offerings.
If you hold shares of the fund in a taxable account, you may wish to review the section on after-tax returns that appears later in this report.
U.S. stocks finished strongly for the sixth straight year
The broad U.S. stock market, which includes small-, mid-, and large-cap stocks, returned nearly 13% for the 12 months, posting gains for the sixth consecutive calendar year.
2
Although the Federal Reserve ended its bond-buying program in October, its stance that it would be “patient” in deciding when to increase short-term interest rates seemed to reassure investors. Other central banks—including the Bank of Japan, the European Central Bank, and the People’s Bank of China—announced significant stimulus measures.
International stocks returned about –3% in dollar terms. Their performance was hurt as many foreign currencies weakened against the U.S. dollar. Emerging-market stocks rose slightly, and stocks from the developed markets of Europe and the Pacific region retreated.
Defying analysts’ expectations, bond prices rose during the period
Bond prices received a boost from moves by many of the world’s central banks along with global economic, market, and geopolitical challenges that drew investors to perceived safe havens. In an unexpected rebound from 2013, the broad U.S. taxable bond market returned 5.97%.
Even as the Fed pared back its bond purchases, prices climbed and yields fell. (Bond prices and yields move in opposite directions.) The yield of the 10-year Treasury note ended December at 2.19%, down from 2.97% at the close of December 2013.
| Market Barometer | |||
| Average Annual Total Returns | |||
| Periods Ended December 31, 2014 | |||
| One | Three | Five | |
| Year | Years | Years | |
| Stocks | |||
| Russell 1000 Index (Large-caps) | 13.24% | 20.62% | 15.64% |
| Russell 2000 Index (Small-caps) | 4.89 | 19.21 | 15.55 |
| Russell 3000 Index (Broad U.S. market) | 12.56 | 20.51 | 15.63 |
| FTSE All-World ex US Index (International) | -3.31 | 9.41 | 4.75 |
| Bonds | |||
| Barclays U.S. Aggregate Bond Index (Broad taxable market) | 5.97% | 2.66% | 4.45% |
| Barclays Municipal Bond Index (Broad tax-exempt market) | 9.05 | 4.30 | 5.16 |
| Citigroup Three-Month U.S. Treasury Bill Index | 0.03 | 0.04 | 0.06 |
| CPI | |||
| Consumer Price Index | 0.76% | 1.33% | 1.69% |
3
Municipal bonds returned 9.05%, benefiting from increased demand and generally limited supply.
International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned –3.08%.
Money market fund and savings account returns remained minuscule as the Fed’s target for short-term interest rates stayed between 0% and 0.25%.
Strong returns from several sectors boosted performance
U.S. large-cap companies were the market’s top performers for the year, significantly outpacing their smaller counterparts. Vanguard 500 Index Fund, which invests in 500 of the largest U.S. companies, thrived in this environment.
Nine of the fund’s ten industry sectors posted positive results, with technology, health care, and financial stocks adding most to performance. Together, these three sectors accounted for more than nine percentage points of the fund’s total return.
Information technology, the fund’s largest sector, was the top contributor to overall results. Most segments within the sector appreciated. Computer hardware and systems software companies led the way as demand for smartphones, mobile technologies, and cloud-based computing grew in the United States and overseas.
| Expense Ratios | ||||
| Your Fund Compared With Its Peer Group | ||||
| Investor | Admiral | ETF | Peer Group | |
| Shares | Shares | Shares | Average | |
| 500 Index Fund | 0.17% | 0.05% | 0.05% | 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 fiscal year ended December 31, 2014, the fund’s expense ratios were 0.17% for Investor Shares, 0.05% for Admiral 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
The fund’s health care holdings were the next best performers. The industry generally profited as investors anticipated a rise in spending due to the aging population and the expanded number of insured under the Affordable Care Act. Pharmaceutical and biotechnology firms benefited from new product development, mergers and acquisitions, and strategic alliances.
The financial sector was also important to the fund’s strong showing. Low interest rates and the expanding economy propelled real estate investment trusts (REITs) to returns of more than 30%. The favorable environment lifted financial services companies, banks, and insurance firms as well.
Hurt by a slide in oil prices, energy was the only sector to post a negative result. As their profits have been cut, producers have scaled back on the projects that are the lifeblood of service firms, drillers, and equipment providers.
Your fund continued to deliver impressive long-term results
For the decade ended December 31, 2014, the 500 Index Fund recorded an average annual return of 7.55% for Investor Shares. This result was in line with that of the fund’s benchmark index and more than one full percentage point ahead of its peers.
The fund’s success in closely tracking its target index reflects the skill of the advisor, the Vanguard Equity Investment Group. The group relies on its proven portfolio
| Total Returns | |
| Ten Years Ended December 31, 2014 | |
| Average | |
| Annual Return | |
| 500 Index Fund Investor Shares | 7.55% |
| S&P 500 Index | 7.67 |
| Large-Cap Core Funds Average | 6.46 |
| Large-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
The figures shown represent past performance, which is not a guarantee of future results. (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.
5
management strategies to produce benchmark-tracking returns regardless of external market conditions. At the same time, the fund’s low costs help you keep more of the market’s returns.
To build for the long term, start with a solid foundation
As the leader of a major investment firm, I get asked a lot of questions on all kinds of topics, from the outlook for global markets to the best fund choices for an IRA. But a topic that almost never comes up—and one that I consider perhaps the most important—is setting investment goals.
At Vanguard, we believe that following four timeless, straightforward principles can help put you on the right track toward investment success:
• 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.
Vanguard’s outlook for investors: Expect less and stay balanced
In Vanguard’s recently published market outlook, global chief economist Joe Davis and his team discuss expected returns for various asset classes over the coming years. Although not bearish, our outlook on global stocks and bonds is the most guarded since 2006. The report cautions that, over the next decade, returns for a balanced portfolio are likely to be moderately below long-run historical averages.
Our simulations indicate that the average annualized returns of a 60% equity/40% bond portfolio for the decade ending 2024 are most likely to be centered in the 3%–5% range after inflation, below the actual average after-inflation return of 5.6% for the same portfolio since 1926.
Even so, Vanguard firmly believes that the principles for investing success—focusing on clear goals, a suitable asset allocation, low costs, and long-term discipline—remain unchanged.
For more information about our expectations and the probability of various outcomes, see Vanguard’s Economic and Investment Outlook, available at vanguard.com/research.
IMPORTANT: The projections and other information generated by the Vanguard Capital Markets Model (VCMM) regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results, and are not guarantees of future results. Distribution of return outcomes from VCMM, derived from 10,000 simulations for U.S. equity returns and fixed income returns. Simulations as of September 30, 2014. Results from the model may vary with each use and over time. For more information, please see page 7.
6
All four principles are essential, and the order in which they’re listed is intentional. Every good investment plan begins with a clearly defined goal, which sets the foundation for building your portfolio. (You can read more about our principles in Vanguard’s Principles for Investing Success, available at vanguard.com/ research.)
Setting an investment goal doesn’t have to be complicated. It can be as simple as saving for retirement or for a child’s college education. Being realistic about your goals—and how to meet them—can help you stick with your investment plan even when times get tough.
We’ve recently welcomed a new year, which for many means a new beginning. Now is a perfect time to revisit your investment plan and make any necessary adjustments to help you reach your long-term financial goals.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
January 13, 2015
IMPORTANT: The projections and other information generated by the Vanguard Capital Markets Model regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results, and are not guarantees of future results. VCMM results will vary with each use and over time.
The VCMM projections are based on a statistical analysis of historical data. Future returns may behave differently from the historical patterns captured in the VCMM. More important, the VCMM may be underestimating extreme negative scenarios unobserved in the historical period on which the model estimation is based.
The Vanguard Capital Markets Model® is a proprietary financial simulation tool developed and maintained by Vanguard’s primary investment research and advice teams. The model forecasts distributions of future returns for a wide array of broad asset classes. Those asset classes include U.S. and international equity markets, several maturities of the U.S. Treasury and corporate fixed income markets, international fixed income markets, U.S. money markets, commodities, and certain alternative investment strategies. The theoretical and empirical foundation for the Vanguard Capital Markets Model is that the returns of various asset classes reflect the compensation investors require for bearing different types of systematic risk (beta). At the core of the model are estimates of the dynamic statistical relationship between risk factors and asset returns, obtained from statistical analysis based on available monthly financial and economic data from as early as 1960. Using a system of estimated equations, the model then applies a Monte Carlo simulation method to project the estimated interrelationships among risk factors and asset classes as well as uncertainty and randomness over time. The model generates a large set of simulated outcomes for each asset class over several time horizons. Forecasts are obtained by computing measures of central tendency in these simulations. Results produced by the tool will vary with each use and over time.
7
| 500 Index Fund | |||
| Fund Profile | |||
| As of December 31, 2014 | |||
| Share-Class Characteristics | |||
| Investor | Admiral | ETF | |
| Shares | Shares | Shares | |
| Ticker Symbol | VFINX | VFIAX | VOO |
| Expense Ratio1 | 0.17% | 0.05% | 0.05% |
| 30-Day SEC Yield | 1.83% | 1.95% | 1.95% |
| Portfolio Characteristics | |||
| DJ | |||
| U.S. | |||
| Total | |||
| Market | |||
| S&P 500 | FA | ||
| Fund | Index | Index | |
| Number of Stocks | 506 | 502 | 3,776 |
| Median Market Cap | $77.2B | $77.2B | $48.1B |
| Price/Earnings Ratio | 19.3x | 19.3x | 20.6x |
| Price/Book Ratio | 2.8x | 2.8x | 2.7x |
| Return on Equity | 19.2% | 19.0% | 17.8% |
| Earnings Growth | |||
| Rate | 15.4% | 15.4% | 15.4% |
| Dividend Yield | 2.0% | 2.0% | 1.9% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | 3% | — | — |
| Short-Term Reserves | 0.1% | — | — |
| Volatility Measures | ||
| DJ | ||
| U.S. Total | ||
| S&P 500 | Market | |
| Index | FA Index | |
| R-Squared | 1.00 | 0.99 |
| Beta | 1.00 | 0.96 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
Ten Largest Holdings (% of total net assets)
| Apple Inc. | Technology | |
| Hardware, Storage & | ||
| Peripherals | 3.5% | |
| Exxon Mobil Corp. | Integrated Oil & Gas | 2.1 |
| Microsoft Corp. | Systems Software | 2.1 |
| Google Inc. | Internet Software & | |
| Services | 1.6 | |
| Johnson & Johnson | Pharmaceuticals | 1.6 |
| Berkshire Hathaway Inc. Multi-Sector Holdings | 1.5 | |
| Wells Fargo & Co. | Diversified Banks | 1.4 |
| General Electric Co. | Industrial | |
| Conglomerates | 1.4 | |
| Procter & Gamble Co. | Household Products | 1.3 |
| JPMorgan Chase & Co. | Diversified Banks | 1.3 |
| Top Ten | 17.8% | |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
1 The expense ratios shown are from the prospectus dated April 28, 2014, and represent estimated costs for the current fiscal year. For the fiscal year ended December 31, 2014, the expense ratios were 0.17% for Investor Shares, 0.05% for Admiral Shares, and 0.05% for ETF Shares.
8
500 Index Fund
Sector Diversification (% of equity exposure)
| DJ | |||
| U.S. Total | |||
| S&P 500 | Market | ||
| Fund | Index FA | Index | |
| Consumer | |||
| Discretionary | 12.1% | 12.1% | 12.9% |
| Consumer Staples | 9.8 | 9.8 | 8.5 |
| Energy | 8.4 | 8.4 | 7.6 |
| Financials | 16.7 | 16.7 | 17.9 |
| Health Care | 14.2 | 14.2 | 14.0 |
| Industrials | 10.4 | 10.4 | 11.3 |
| Information | |||
| Technology | 19.7 | 19.7 | 19.0 |
| Materials | 3.2 | 3.2 | 3.6 |
| Telecommunication | |||
| Services | 2.3 | 2.3 | 2.0 |
| Utilities | 3.2 | 3.2 | 3.2 |
9
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.
Cumulative Performance: December 31, 2004, Through December 31, 2014
Initial Investment of $10,000
| Average Annual Total Returns | |||||
| Periods Ended December 31, 2014 | |||||
| Final Value | |||||
| One | Five | Ten | of a $10,000 | ||
| Year | Years | Years | Investment | ||
| 500 Index Fund*Investor Shares | 13.51% | 15.28% | 7.55% | $20,711 | |
| •••••••• | S&P 500 Index | 13.69 | 15.45 | 7.67 | 20,947 |
| – – – – | Large-Cap Core Funds Average | 11.32 | 13.51 | 6.46 | 18,705 |
| Dow Jones U.S. Total Stock Market | |||||
| Float Adjusted Index | 12.47 | 15.72 | 8.09 | 21,779 | |
| Large-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |||||
| Final Value | |||||
| One | Five | Ten | of a $10,000 | ||
| Year | Years | Years | Investment | ||
| 500 Index Fund Admiral Shares | 13.64% | 15.42% | 7.66% | $20,928 | |
| S&P 500 Index | 13.69 | 15.45 | 7.67 | 20,947 | |
| Dow Jones U.S. Total Stock Market Float | |||||
| Adjusted Index | 12.47 | 15.72 | 8.09 | 21,779 | |
See Financial Highlights for dividend and capital gains information.
10
| 500 Index Fund | |||
| Average Annual Total Returns | |||
| Periods Ended December 31, 2014 | |||
| Since | Final Value | ||
| One | Inception | of a $10,000 | |
| Year | (9/7/2010) | Investment | |
| 500 Index Fund | |||
| ETF Shares Net Asset Value | 13.63% | 18.28% | $20,634 |
| S&P 500 Index | 13.69 | 18.32 | 20,665 |
| Dow Jones U.S. Total Stock Market Float | |||
| Adjusted Index | 12.47 | 18.38 | 20,714 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
| Cumulative Returns of ETF Shares: September 7, 2010, Through December 31, 2014 | ||
| Since | ||
| One | Inception | |
| Year | (9/7/2010) | |
| 500 Index Fund ETF Shares Market Price | 13.64% | 106.37% |
| 500 Index Fund ETF Shares Net Asset Value | 13.63 | 106.34 |
| S&P 500 Index | 13.69 | 106.65 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standard.
Fiscal-Year Total Returns (%): December 31, 2004, Through December 31, 2014
11
500 Index Fund
Financial Statements
Statement of Net Assets
As of December 31, 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 (99.6%)1 | |||
| Consumer Discretionary (12.1%) | |||
| Walt Disney Co. | 16,922,732 | 1,593,952 | |
| Comcast Corp. Class A | 26,607,596 | 1,543,507 | |
| Home Depot Inc. | 14,295,031 | 1,500,549 | |
| * | Amazon.com Inc. | 4,118,362 | 1,278,134 |
| McDonald’s Corp. | 10,556,740 | 989,167 | |
| Time Warner Inc. | 9,095,546 | 776,942 | |
| Twenty-First Century | |||
| Fox Inc. Class A | 20,114,141 | 772,484 | |
| NIKE Inc. Class B | 7,569,596 | 727,817 | |
| Lowe’s Cos. Inc. | 10,553,549 | 726,084 | |
| Starbucks Corp. | 8,117,176 | 666,014 | |
| * | Priceline Group Inc. | 567,978 | 647,614 |
| Ford Motor Co. | 41,748,420 | 647,100 | |
| Target Corp. | 6,909,460 | 524,497 | |
| TJX Cos. Inc. | 7,472,809 | 512,485 | |
| General Motors Co. | 14,639,950 | 511,081 | |
| * | DIRECTV | 5,448,054 | 472,346 |
| Time Warner Cable Inc. | 3,042,690 | 462,671 | |
| Johnson Controls Inc. | 7,226,506 | 349,329 | |
| Yum! Brands Inc. | 4,745,707 | 345,725 | |
| Viacom Inc. Class B | 4,007,268 | 301,547 | |
| CBS Corp. Class B | 5,172,247 | 286,232 | |
| VF Corp. | 3,747,831 | 280,713 | |
| Macy’s Inc. | 3,745,546 | 246,270 | |
| Delphi Automotive plc | 3,211,683 | 233,554 | |
| * | Dollar General Corp. | 3,291,383 | 232,701 |
| L Brands Inc. | 2,666,904 | 230,821 | |
| * | Chipotle Mexican Grill Inc. | ||
| Class A | 336,423 | 230,285 | |
| * | Netflix Inc. | 653,560 | 223,263 |
| Carnival Corp. | 4,885,838 | 221,475 | |
| * | AutoZone Inc. | 347,560 | 215,178 |
| Ross Stores Inc. | 2,276,160 | 214,551 | |
| * | O’Reilly Automotive Inc. | 1,100,515 | 211,981 |
| Omnicom Group Inc. | 2,692,107 | 208,558 | |
| Marriott International Inc. | |||
| Class A | 2,305,314 | 179,884 | |
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| Genuine Parts Co. | 1,658,171 | 176,711 | |
| * | Michael Kors | ||
| Holdings Ltd. | 2,233,627 | 167,745 | |
| Whirlpool Corp. | 844,801 | 163,672 | |
| Starwood Hotels & | |||
| Resorts Worldwide Inc. | 1,937,152 | 157,045 | |
| * | Dollar Tree Inc. | 2,230,793 | 157,003 |
| * | CarMax Inc. | 2,336,506 | 155,565 |
| Harley-Davidson Inc. | 2,324,272 | 153,193 | |
| * | Bed Bath & Beyond Inc. | 2,009,416 | 153,057 |
| Royal Caribbean | |||
| Cruises Ltd. | 1,811,689 | 149,338 | |
| BorgWarner Inc. | 2,466,485 | 135,533 | |
| Kohl’s Corp. | 2,191,364 | 133,761 | |
| Wynn Resorts Ltd. | 878,876 | 130,742 | |
| Tiffany & Co. | 1,220,879 | 130,463 | |
| Staples Inc. | 6,940,513 | 125,762 | |
| Best Buy Co. Inc. | 3,158,139 | 123,104 | |
| * | Under Armour Inc. | ||
| Class A | 1,808,207 | 122,777 | |
| Gap Inc. | 2,894,911 | 121,905 | |
| Ralph Lauren Corp. | |||
| Class A | 656,585 | 121,573 | |
| Nordstrom Inc. | 1,527,314 | 121,253 | |
| Tractor Supply Co. | 1,474,776 | 116,242 | |
| Wyndham Worldwide | |||
| Corp. | 1,337,278 | 114,685 | |
| PVH Corp. | 893,585 | 114,531 | |
| Mattel Inc. | 3,675,723 | 113,745 | |
| Coach Inc. | 2,989,690 | 112,293 | |
| Newell Rubbermaid Inc. | 2,941,066 | 112,025 | |
| * | Mohawk Industries Inc. | 672,038 | 104,408 |
| H&R Block Inc. | 2,985,326 | 100,546 | |
| * | Discovery | ||
| Communications Inc. | 2,964,796 | 99,973 | |
| Interpublic Group | |||
| of Cos. Inc. | 4,535,591 | 94,204 | |
| Expedia Inc. | 1,070,443 | 91,373 | |
| DR Horton Inc. | 3,598,864 | 91,015 | |
| * | TripAdvisor Inc. | 1,209,322 | 90,288 |
12
| 500 Index Fund | |||
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| PetSmart Inc. | 1,078,384 | 87,667 | |
| Lennar Corp. Class A | 1,936,936 | 86,794 | |
| Goodyear Tire | |||
| & Rubber Co. | 2,978,282 | 85,090 | |
| * | News Corp. Class A | 5,411,282 | 84,903 |
| Darden Restaurants Inc. | 1,438,809 | 84,357 | |
| Scripps Networks | |||
| Interactive Inc. Class A | 1,100,545 | 82,838 | |
| Family Dollar Stores Inc. | 1,041,655 | 82,509 | |
| Harman International | |||
| Industries Inc. | 743,057 | 79,292 | |
| Gannett Co. Inc. | 2,449,651 | 78,217 | |
| PulteGroup Inc. | 3,619,613 | 77,677 | |
| Comcast Corp. | 1,338,634 | 77,058 | |
| Garmin Ltd. | 1,306,894 | 69,043 | |
| Hasbro Inc. | 1,227,159 | 67,481 | |
| Leggett & Platt Inc. | 1,492,411 | 63,592 | |
| * | Discovery | ||
| Communications | |||
| Inc. Class A | 1,610,202 | 55,471 | |
| * | Fossil Group Inc. | 487,596 | 53,996 |
| Cablevision Systems | |||
| Corp. Class A | 2,373,903 | 48,997 | |
| * | AutoNation Inc. | 809,829 | 48,922 |
| ^ | GameStop Corp. Class A | 1,177,035 | 39,784 |
| * | Urban Outfitters Inc. | 1,085,241 | 38,124 |
| 24,011,853 | |||
| Consumer Staples (9.7%) | |||
| Procter & Gamble Co. | 29,311,094 | 2,669,948 | |
| Coca-Cola Co. | 42,761,766 | 1,805,402 | |
| PepsiCo Inc. | 16,234,418 | 1,535,127 | |
| Wal-Mart Stores Inc. | 17,132,156 | 1,471,310 | |
| Philip Morris | |||
| International Inc. | 16,853,932 | 1,372,753 | |
| CVS Health Corp. | 12,435,353 | 1,197,649 | |
| Altria Group Inc. | 21,439,631 | 1,056,331 | |
| * | Walgreens Boots | ||
| Alliance Inc. | 9,435,820 | 719,009 | |
| Costco Wholesale Corp. | 4,748,630 | 673,118 | |
| Mondelez International | |||
| Inc. Class A | 18,222,896 | 661,947 | |
| Colgate-Palmolive Co. | 9,293,261 | 643,001 | |
| Kimberly-Clark Corp. | 4,040,186 | 466,803 | |
| Kraft Foods Group Inc. | 6,387,219 | 400,223 | |
| Archer-Daniels-Midland | |||
| Co. | 6,983,507 | 363,142 | |
| General Mills Inc. | 6,549,180 | 349,268 | |
| Kroger Co. | 5,327,178 | 342,058 | |
| Sysco Corp. | 6,377,058 | 253,105 | |
| Lorillard Inc. | 3,905,391 | 245,805 | |
| Mead Johnson | |||
| Nutrition Co. | 2,191,491 | 220,333 | |
| Reynolds American Inc. | 3,342,621 | 214,830 | |
| Whole Foods Market Inc. | 3,902,344 | 196,756 | |
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| Estee Lauder Cos. Inc. | |||
| Class A | 2,429,514 | 185,129 | |
| Kellogg Co. | 2,734,382 | 178,938 | |
| * | Constellation Brands Inc. | ||
| Class A | 1,820,295 | 178,698 | |
| Keurig Green | |||
| Mountain Inc. | 1,318,098 | 174,510 | |
| * | Monster Beverage Corp. | 1,563,926 | 169,451 |
| ConAgra Foods Inc. | 4,608,392 | 167,192 | |
| Hershey Co. | 1,605,266 | 166,835 | |
| Dr Pepper Snapple | |||
| Group Inc. | 2,108,853 | 151,163 | |
| Brown-Forman Corp. | |||
| Class B | 1,697,181 | 149,080 | |
| Clorox Co. | 1,403,761 | 146,286 | |
| Molson Coors | |||
| Brewing Co. Class B | 1,728,615 | 128,816 | |
| Tyson Foods Inc. Class A | 3,178,729 | 127,435 | |
| JM Smucker Co. | 1,104,559 | 111,538 | |
| Coca-Cola Enterprises Inc. 2,412,687 | 106,689 | ||
| McCormick & Co. Inc. | 1,400,523 | 104,059 | |
| Safeway Inc. | 2,499,250 | 87,774 | |
| Campbell Soup Co. | 1,943,235 | 85,502 | |
| Hormel Foods Corp. | 1,457,021 | 75,911 | |
| Avon Products Inc. | 4,713,917 | 44,264 | |
| 19,397,188 | |||
| Energy (8.4%) | |||
| Exxon Mobil Corp. | 45,933,834 | 4,246,583 | |
| Chevron Corp. | 20,506,320 | 2,300,399 | |
| Schlumberger Ltd. | 13,958,381 | 1,192,185 | |
| ConocoPhillips | 13,352,394 | 922,116 | |
| Kinder Morgan Inc. | 18,431,167 | 779,823 | |
| Occidental Petroleum | |||
| Corp. | 8,411,414 | 678,044 | |
| EOG Resources Inc. | 5,944,529 | 547,313 | |
| Anadarko Petroleum | |||
| Corp. | 5,493,742 | 453,234 | |
| Phillips 66 | 6,004,195 | 430,501 | |
| Halliburton Co. | 9,192,900 | 361,557 | |
| Williams Cos. Inc. | 7,297,266 | 327,939 | |
| National Oilwell | |||
| Varco Inc. | 4,670,733 | 306,073 | |
| Valero Energy Corp. | 5,654,282 | 279,887 | |
| Marathon Petroleum | |||
| Corp. | 3,039,378 | 274,334 | |
| Spectra Energy Corp. | 7,278,655 | 264,215 | |
| Baker Hughes Inc. | 4,693,583 | 263,169 | |
| Apache Corp. | 4,083,884 | 255,937 | |
| Devon Energy Corp. | 4,171,492 | 255,337 | |
| Pioneer Natural | |||
| Resources Co. | 1,615,256 | 240,431 | |
| Marathon Oil Corp. | 7,320,879 | 207,108 | |
| Hess Corp. | 2,756,647 | 203,496 | |
| Noble Energy Inc. | 3,909,145 | 185,411 | |
| Cabot Oil & Gas Corp. | 4,480,362 | 132,664 | |
13
| 500 Index Fund | |||
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| EQT Corp. | 1,643,619 | 124,422 | |
| * | FMC Technologies Inc. | 2,536,790 | 118,823 |
| ONEOK Inc. | 2,258,595 | 112,455 | |
| Chesapeake Energy Corp. | 5,627,957 | 110,139 | |
| * | Cameron International | ||
| Corp. | 2,142,050 | 106,995 | |
| * | Southwestern Energy Co. | 3,830,840 | 104,544 |
| Tesoro Corp. | 1,369,054 | 101,789 | |
| Cimarex Energy Co. | 946,224 | 100,300 | |
| Range Resources Corp. | 1,830,180 | 97,823 | |
| Murphy Oil Corp. | 1,809,859 | 91,434 | |
| CONSOL Energy Inc. | 2,496,881 | 84,420 | |
| Helmerich & Payne Inc. | 1,173,993 | 79,151 | |
| Ensco plc Class A | 2,541,641 | 76,122 | |
| ^ | Transocean Ltd. | 3,693,684 | 67,705 |
| Noble Corp. plc | 2,732,302 | 45,274 | |
| Nabors Industries Ltd. | 3,139,315 | 40,748 | |
| * | Newfield Exploration Co. | 1,488,400 | 40,365 |
| QEP Resources Inc. | 1,797,901 | 36,354 | |
| Denbury Resources Inc. | 3,824,986 | 31,097 | |
| ^ | Diamond Offshore | ||
| Drilling Inc. | 729,195 | 26,769 | |
| 16,704,485 | |||
| Financials (16.6%) | |||
| Wells Fargo & Co. | 51,207,974 | 2,807,221 | |
| * | Berkshire Hathaway | ||
| Inc. Class B | 18,217,908 | 2,735,419 | |
| JPMorgan Chase & Co. | 40,549,781 | 2,537,605 | |
| Bank of America Corp. 114,076,519 | 2,040,829 | ||
| Citigroup Inc. | 32,862,193 | 1,778,173 | |
| American Express Co. | 9,652,284 | 898,049 | |
| US Bancorp | 19,410,279 | 872,492 | |
| Goldman Sachs | |||
| Group Inc. | 4,393,885 | 851,667 | |
| American International | |||
| Group Inc. | 15,185,449 | 850,537 | |
| MetLife Inc. | 12,323,204 | 666,562 | |
| Morgan Stanley | 16,561,603 | 642,590 | |
| Simon Property | |||
| Group Inc. | 3,371,169 | 613,924 | |
| PNC Financial Services | |||
| Group Inc. | 5,708,083 | 520,748 | |
| Capital One Financial | |||
| Corp. | 6,030,893 | 497,850 | |
| Bank of New York | |||
| Mellon Corp. | 12,211,154 | 495,407 | |
| BlackRock Inc. | 1,381,823 | 494,085 | |
| Prudential Financial Inc. | 4,968,183 | 449,422 | |
| American Tower | |||
| Corporation | 4,300,608 | 425,115 | |
| ACE Ltd. | 3,598,561 | 413,403 | |
| Travelers Cos. Inc. | 3,594,872 | 380,517 | |
| Charles Schwab Corp. | 12,464,602 | 376,306 | |
| State Street Corp. | 4,528,848 | 355,515 | |
| Marsh & McLennan | |||
| Cos. Inc. | 5,867,393 | 335,850 | |
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| Discover Financial | |||
| Services | 4,919,185 | 322,157 | |
| Allstate Corp. | 4,549,870 | 319,628 | |
| CME Group Inc. | 3,434,720 | 304,488 | |
| BB&T Corp. | 7,813,472 | 303,866 | |
| Aflac Inc. | 4,887,788 | 298,595 | |
| Aon plc | 3,093,075 | 293,316 | |
| Public Storage | 1,573,918 | 290,939 | |
| Crown Castle | |||
| International Corp. | 3,621,563 | 285,017 | |
| Equity Residential | 3,930,743 | 282,385 | |
| Health Care REIT Inc. | 3,554,494 | 268,969 | |
| Intercontinental | |||
| Exchange Inc. | 1,222,552 | 268,093 | |
| Ameriprise Financial Inc. | 2,001,771 | 264,734 | |
| Chubb Corp. | 2,557,956 | 264,672 | |
| McGraw Hill Financial Inc. | 2,945,098 | 262,055 | |
| T. Rowe Price Group Inc. | 2,813,719 | 241,586 | |
| SunTrust Banks Inc. | 5,656,555 | 237,010 | |
| Franklin Resources Inc. | 4,253,284 | 235,504 | |
| * | Berkshire Hathaway | ||
| Inc. Class A | 1,042 | 235,492 | |
| AvalonBay | |||
| Communities Inc. | 1,431,994 | 233,973 | |
| Prologis Inc. | 5,423,704 | 233,382 | |
| Ventas Inc. | 3,192,674 | 228,915 | |
| Vornado Realty Trust | 1,893,960 | 222,938 | |
| HCP Inc. | 4,981,916 | 219,354 | |
| Boston Properties Inc. | 1,660,829 | 213,732 | |
| Weyerhaeuser Co. | 5,688,027 | 204,143 | |
| Host Hotels | |||
| & Resorts Inc. | 8,215,024 | 195,271 | |
| Hartford Financial | |||
| Services Group Inc. | 4,680,529 | 195,131 | |
| General Growth | |||
| Properties Inc. | 6,806,937 | 191,479 | |
| Moody’s Corp. | 1,991,245 | 190,781 | |
| Invesco Ltd. | 4,673,409 | 184,693 | |
| Fifth Third Bancorp | 8,938,478 | 182,121 | |
| M&T Bank Corp. | 1,433,146 | 180,032 | |
| Lincoln National Corp. | 2,818,108 | 162,520 | |
| Northern Trust Corp. | 2,401,403 | 161,855 | |
| Regions Financial Corp. | 14,931,226 | 157,674 | |
| Progressive Corp. | 5,802,243 | 156,603 | |
| Principal Financial | |||
| Group Inc. | 2,962,556 | 153,875 | |
| Essex Property Trust Inc. | 693,662 | 143,311 | |
| Loews Corp. | 3,246,790 | 136,430 | |
| KeyCorp | 9,397,478 | 130,625 | |
| * | Affiliated Managers | ||
| Group Inc. | 602,836 | 127,946 | |
| Macerich Co. | 1,526,595 | 127,333 | |
| Kimco Realty Corp. | 4,463,293 | 112,207 | |
| * | CBRE Group Inc. Class A | 3,033,397 | 103,894 |
| XL Group plc Class A | 2,799,124 | 96,206 | |
| Navient Corp. | 4,448,621 | 96,135 |
14
| 500 Index Fund | |||
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| Unum Group | 2,732,753 | 95,318 | |
| Huntington | |||
| Bancshares Inc. | 8,832,522 | 92,918 | |
| Comerica Inc. | 1,948,666 | 91,276 | |
| Cincinnati Financial Corp. | 1,596,074 | 82,725 | |
| Plum Creek Timber | |||
| Co. Inc. | 1,907,958 | 81,642 | |
| Iron Mountain Inc. | 2,022,619 | 78,194 | |
| Leucadia National Corp. | 3,436,945 | 77,056 | |
| * | E*TRADE Financial Corp. | 3,131,824 | 75,962 |
| Torchmark Corp. | 1,394,994 | 75,567 | |
| Zions Bancorporation | 2,200,535 | 62,737 | |
| NASDAQ OMX | |||
| Group Inc. | 1,272,696 | 61,038 | |
| Apartment Investment | |||
| & Management Co. | |||
| Class A | 1,566,724 | 58,204 | |
| Legg Mason Inc. | 1,088,921 | 58,116 | |
| Hudson City Bancorp Inc. | 5,217,699 | 52,803 | |
| Assurant Inc. | 761,850 | 52,133 | |
| People’s United | |||
| Financial Inc. | 3,339,589 | 50,695 | |
| * | Genworth Financial Inc. | ||
| Class A | 5,386,235 | 45,783 | |
| 32,952,518 | |||
| Health Care (14.1%) | |||
| Johnson & Johnson | 30,363,248 | 3,175,085 | |
| Pfizer Inc. | 68,345,953 | 2,128,976 | |
| Merck & Co. Inc. | 30,924,691 | 1,756,213 | |
| * | Gilead Sciences Inc. | 16,365,229 | 1,542,587 |
| Amgen Inc. | 8,251,331 | 1,314,355 | |
| AbbVie Inc. | 17,282,878 | 1,130,992 | |
| Bristol-Myers Squibb Co. | 17,993,495 | 1,062,156 | |
| UnitedHealth Group Inc. | 10,411,318 | 1,052,480 | |
| * | Celgene Corp. | 8,663,935 | 969,148 |
| * | Biogen Idec Inc. | 2,561,689 | 869,565 |
| Medtronic Inc. | 10,677,342 | 770,904 | |
| * | Actavis plc | 2,875,196 | 740,104 |
| Abbott Laboratories | 16,334,014 | 735,357 | |
| Eli Lilly & Co. | 10,628,564 | 733,265 | |
| Allergan Inc. | 3,231,422 | 686,968 | |
| * | Express Scripts | ||
| Holding Co. | 7,961,051 | 674,062 | |
| Thermo Fisher | |||
| Scientific Inc. | 4,339,318 | 543,673 | |
| McKesson Corp. | 2,515,365 | 522,139 | |
| Covidien plc | 4,911,603 | 502,359 | |
| Baxter International Inc. | 5,879,037 | 430,875 | |
| * | Alexion | ||
| Pharmaceuticals Inc. | 2,150,850 | 397,972 | |
| * | Anthem Inc. | 2,928,211 | 367,988 |
| Aetna Inc. | 3,815,066 | 338,892 | |
| * | Regeneron | ||
| Pharmaceuticals Inc. | 805,053 | 330,273 | |
| * | Vertex | ||
| Pharmaceuticals Inc. | 2,609,036 | 309,953 | |
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| Stryker Corp. | 3,241,996 | 305,817 | |
| Cigna Corp. | 2,837,521 | 292,009 | |
| Cardinal Health Inc. | 3,590,126 | 289,831 | |
| Becton Dickinson and Co. | 2,082,506 | 289,802 | |
| Perrigo Co. plc | 1,527,014 | 255,256 | |
| Humana Inc. | 1,663,376 | 238,911 | |
| Zoetis Inc. | 5,438,136 | 234,003 | |
| * | Mylan Inc. | 4,059,957 | 228,860 |
| * | Cerner Corp. | 3,296,672 | 213,163 |
| Zimmer Holdings Inc. | 1,837,194 | 208,375 | |
| * | Intuitive Surgical Inc. | 393,233 | 207,997 |
| AmerisourceBergen | |||
| Corp. Class A | 2,253,621 | 203,186 | |
| St. Jude Medical Inc. | 3,101,432 | 201,686 | |
| * | Boston Scientific Corp. | 14,389,022 | 190,655 |
| Agilent Technologies Inc. | 3,617,807 | 148,113 | |
| * | Edwards Lifesciences | ||
| Corp. | 1,160,460 | 147,819 | |
| * | DaVita HealthCare | ||
| Partners Inc. | 1,864,992 | 141,255 | |
| CR Bard Inc. | 812,478 | 135,375 | |
| * | CareFusion Corp. | 2,212,069 | 131,264 |
| * | Mallinckrodt plc | 1,261,571 | 124,933 |
| * | Hospira Inc. | 1,835,523 | 112,426 |
| Universal Health | |||
| Services Inc. Class B | 987,472 | 109,866 | |
| Quest Diagnostics Inc. | 1,568,022 | 105,152 | |
| * | Waters Corp. | 903,174 | 101,806 |
| * | Laboratory Corp. of | ||
| America Holdings | 916,436 | 98,883 | |
| * | Varian Medical | ||
| Systems Inc. | 1,084,524 | 93,822 | |
| DENTSPLY | |||
| International Inc. | 1,535,243 | 81,782 | |
| * | Tenet Healthcare Corp. | 1,065,754 | 54,002 |
| PerkinElmer Inc. | 1,224,935 | 53,566 | |
| Patterson Cos. Inc. | 928,216 | 44,647 | |
| * | Halyard Health Inc. | 132 | 6 |
| 28,130,609 | |||
| Industrials (10.4%) | |||
| General Electric Co. 108,932,000 | 2,752,712 | ||
| Union Pacific Corp. | 9,644,474 | 1,148,946 | |
| 3M Co. | 6,951,261 | 1,142,231 | |
| United Technologies | |||
| Corp. | 9,196,990 | 1,057,654 | |
| Boeing Co. | 7,192,188 | 934,841 | |
| Honeywell | |||
| International Inc. | 8,491,542 | 848,475 | |
| United Parcel Service | |||
| Inc. Class B | 7,560,969 | 840,553 | |
| Caterpillar Inc. | 6,567,002 | 601,078 | |
| Danaher Corp. | 6,631,558 | 568,391 | |
| Lockheed Martin Corp. | 2,912,979 | 560,952 | |
| FedEx Corp. | 2,857,476 | 496,229 | |
| General Dynamics Corp. | 3,414,981 | 469,970 | |
| Emerson Electric Co. | 7,524,211 | 464,469 | |
15
| 500 Index Fund | |||
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| Delta Air Lines Inc. | 9,078,729 | 446,583 | |
| CSX Corp. | 10,797,510 | 391,194 | |
| Precision Castparts Corp. | 1,546,098 | 372,424 | |
| Illinois Tool Works Inc. | 3,901,450 | 369,467 | |
| Norfolk Southern Corp. | 3,356,707 | 367,929 | |
| Raytheon Co. | 3,345,107 | 361,840 | |
| Eaton Corp. plc | 5,148,268 | 349,876 | |
| Deere & Co. | 3,887,970 | 343,969 | |
| Northrop Grumman Corp. | 2,191,137 | 322,952 | |
| Southwest Airlines Co. | 7,362,702 | 311,590 | |
| Cummins Inc. | 1,843,090 | 265,718 | |
| PACCAR Inc. | 3,841,173 | 261,238 | |
| Waste Management Inc. | 4,619,638 | 237,080 | |
| Parker-Hannifin Corp. | 1,612,465 | 207,927 | |
| * | Tyco International plc | 4,539,365 | 199,097 |
| Ingersoll-Rand plc | 2,879,735 | 182,546 | |
| Roper Industries Inc. | 1,086,589 | 169,888 | |
| WW Grainger Inc. | 658,301 | 167,794 | |
| Rockwell Automation Inc. | 1,472,813 | 163,777 | |
| Stanley Black | |||
| & Decker Inc. | 1,699,313 | 163,270 | |
| Nielsen NV | 3,513,698 | 157,168 | |
| Kansas City Southern | 1,197,265 | 146,102 | |
| Fastenal Co. | 2,958,378 | 140,700 | |
| AMETEK Inc. | 2,667,780 | 140,405 | |
| Pentair plc | 2,026,301 | 134,587 | |
| Dover Corp. | 1,793,904 | 128,659 | |
| Textron Inc. | 2,994,512 | 126,099 | |
| Rockwell Collins Inc. | 1,442,211 | 121,838 | |
| * | Stericycle Inc. | 921,388 | 120,775 |
| CH Robinson | |||
| Worldwide Inc. | 1,587,001 | 118,850 | |
| Pall Corp. | 1,155,793 | 116,978 | |
| L-3 Communications | |||
| Holdings Inc. | 923,244 | 116,523 | |
| * | United Rentals Inc. | 1,082,806 | 110,457 |
| Republic Services Inc. | |||
| Class A | 2,738,485 | 110,224 | |
| Equifax Inc. | 1,308,356 | 105,807 | |
| Fluor Corp. | 1,694,121 | 102,715 | |
| Masco Corp. | 3,865,169 | 97,402 | |
| Expeditors International | |||
| of Washington Inc. | 2,093,412 | 93,387 | |
| Flowserve Corp. | 1,478,557 | 88,462 | |
| Snap-on Inc. | 630,374 | 86,197 | |
| Robert Half | |||
| International Inc. | 1,474,378 | 86,074 | |
| Cintas Corp. | 1,053,215 | 82,614 | |
| Xylem Inc. | 1,972,268 | 75,084 | |
| ADT Corp. | 1,892,605 | 68,569 | |
| * | Quanta Services Inc. | 2,360,547 | 67,016 |
| * | Jacobs Engineering | ||
| Group Inc. | 1,415,745 | 63,270 | |
| Allegion plc | 1,038,129 | 57,575 | |
| Ryder System Inc. | 575,250 | 53,412 | |
| Pitney Bowes Inc. | 2,179,542 | 53,115 | |
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| Joy Global Inc. | 1,064,590 | 49,525 | |
| Dun & Bradstreet Corp. | 389,365 | 47,098 | |
| 20,609,347 | |||
| Information Technology (19.6%) | |||
| Apple Inc. | 63,618,447 | 7,022,204 | |
| Microsoft Corp. | 89,413,861 | 4,153,274 | |
| Intel Corp. | 52,447,308 | 1,903,313 | |
| * | Facebook Inc. Class A | 22,680,778 | 1,769,554 |
| * | Google Inc. Class A | 3,092,063 | 1,640,834 |
| * | Google Inc. Class C | 3,089,225 | 1,626,168 |
| International Business | |||
| Machines Corp. | 9,983,870 | 1,601,812 | |
| Oracle Corp. | 35,089,928 | 1,577,994 | |
| Cisco Systems Inc. | 55,469,299 | 1,542,879 | |
| Visa Inc. Class A | 5,298,164 | 1,389,179 | |
| QUALCOMM Inc. | 18,034,972 | 1,340,539 | |
| MasterCard Inc. Class A | 10,629,756 | 915,860 | |
| Hewlett-Packard Co. | 20,244,371 | 812,407 | |
| * | eBay Inc. | 12,263,688 | 688,238 |
| EMC Corp. | 22,073,497 | 656,466 | |
| Texas Instruments Inc. | 11,458,196 | 612,612 | |
| Accenture plc Class A | 6,806,881 | 607,923 | |
| * | Yahoo! Inc. | 9,556,939 | 482,721 |
| Automatic Data | |||
| Processing Inc. | 5,229,098 | 435,950 | |
| * | Micron Technology Inc. | 11,644,281 | 407,666 |
| * | salesforce.com inc | 6,365,678 | 377,548 |
| * | Adobe Systems Inc. | 5,139,560 | 373,646 |
| * | Cognizant Technology | ||
| Solutions Corp. Class A | 6,605,237 | 347,832 | |
| Applied Materials Inc. | 13,216,550 | 329,356 | |
| Corning Inc. | 13,904,742 | 318,836 | |
| Intuit Inc. | 3,097,250 | 285,535 | |
| TE Connectivity Ltd. | 4,411,407 | 279,022 | |
| Avago Technologies Ltd. | |||
| Class A | 2,743,317 | 275,950 | |
| Western Digital Corp. | 2,367,972 | 262,135 | |
| Broadcom Corp. Class A | 5,843,781 | 253,211 | |
| Seagate Technology plc | 3,549,714 | 236,056 | |
| SanDisk Corp. | 2,393,487 | 234,514 | |
| * | Alliance Data Systems | ||
| Corp. | 693,435 | 198,357 | |
| Symantec Corp. | 7,486,315 | 192,061 | |
| Fidelity National | |||
| Information Services Inc. 3,078,005 | 191,452 | ||
| * | Fiserv Inc. | 2,646,392 | 187,814 |
| Analog Devices Inc. | 3,375,834 | 187,426 | |
| Amphenol Corp. Class A | 3,356,944 | 180,637 | |
| Paychex Inc. | 3,542,175 | 163,542 | |
| Xerox Corp. | 11,640,034 | 161,331 | |
| * | Electronic Arts Inc. | 3,372,892 | 158,577 |
| Motorola Solutions Inc. | 2,297,934 | 154,145 | |
| * | Autodesk Inc. | 2,468,084 | 148,233 |
| * | Red Hat Inc. | 2,037,432 | 140,868 |
| NetApp Inc. | 3,381,067 | 140,145 | |
| Lam Research Corp. | 1,724,488 | 136,821 | |
16
| 500 Index Fund | |||
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| KLA-Tencor Corp. | 1,784,234 | 125,467 | |
| Xilinx Inc. | 2,868,770 | 124,189 | |
| Altera Corp. | 3,306,707 | 122,150 | |
| * | Akamai Technologies Inc. | 1,930,821 | 121,565 |
| Linear Technology Corp. | 2,587,621 | 117,996 | |
| NVIDIA Corp. | 5,601,570 | 112,312 | |
| * | Citrix Systems Inc. | 1,746,253 | 111,411 |
| CA Inc. | 3,475,095 | 105,817 | |
| * | F5 Networks Inc. | 800,483 | 104,435 |
| Western Union Co. | 5,669,798 | 101,546 | |
| Microchip | |||
| Technology Inc. | 2,179,345 | 98,310 | |
| Computer Sciences Corp. | 1,523,550 | 96,060 | |
| Juniper Networks Inc. | 4,176,077 | 93,210 | |
| Harris Corp. | 1,134,563 | 81,484 | |
| * | Teradata Corp. | 1,659,186 | 72,473 |
| * | VeriSign Inc. | 1,181,783 | 67,362 |
| Total System | |||
| Services Inc. | 1,794,125 | 60,929 | |
| FLIR Systems Inc. | 1,528,331 | 49,380 | |
| * | First Solar Inc. | 815,259 | 36,356 |
| 38,905,095 | |||
| Materials (3.2%) | |||
| EI du Pont de | |||
| Nemours & Co. | 9,827,182 | 726,622 | |
| Monsanto Co. | 5,251,016 | 627,339 | |
| Dow Chemical Co. | 12,017,381 | 548,113 | |
| Praxair Inc. | 3,160,624 | 409,490 | |
| LyondellBasell | |||
| Industries NV Class A | 4,507,722 | 357,868 | |
| PPG Industries Inc. | 1,488,599 | 344,090 | |
| Ecolab Inc. | 2,930,010 | 306,245 | |
| Air Products | |||
| & Chemicals Inc. | 2,086,400 | 300,921 | |
| Freeport-McMoRan Inc. | 11,271,777 | 263,309 | |
| International Paper Co. | 4,595,161 | 246,209 | |
| Sherwin-Williams Co. | 885,116 | 232,821 | |
| Alcoa Inc. | 12,787,298 | 201,911 | |
| Sigma-Aldrich Corp. | 1,292,009 | 177,354 | |
| Nucor Corp. | 3,460,366 | 169,731 | |
| Mosaic Co. | 3,423,699 | 156,292 | |
| CF Industries | |||
| Holdings Inc. | 539,530 | 147,043 | |
| Eastman Chemical Co. | 1,611,317 | 122,235 | |
| Newmont Mining Corp. | 5,411,389 | 102,275 | |
| Ball Corp. | 1,484,805 | 101,219 | |
| Sealed Air Corp. | 2,289,909 | 97,161 | |
| Vulcan Materials Co. | 1,428,323 | 93,884 | |
| International Flavors | |||
| & Fragrances Inc. | 878,417 | 89,036 | |
| Airgas Inc. | 729,296 | 84,000 | |
| FMC Corp. | 1,445,560 | 82,440 | |
| MeadWestvaco Corp. | 1,808,398 | 80,275 | |
| Martin Marietta | |||
| Materials Inc. | 671,421 | 74,071 | |
| Avery Dennison Corp. | 987,914 | 51,253 | |
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| * | Owens-Illinois Inc. | 1,788,349 | 48,268 |
| Allegheny | |||
| Technologies Inc. | 1,179,063 | 40,996 | |
| 6,282,471 | |||
| Telecommunication Services (2.3%) | |||
| Verizon | |||
| Communications Inc. | 45,013,835 | 2,105,747 | |
| AT&T Inc. | 56,265,643 | 1,889,963 | |
| CenturyLink Inc. | 6,190,656 | 245,026 | |
| * | Level 3 | ||
| Communications Inc. | 3,024,826 | 149,366 | |
| Frontier | |||
| Communications | |||
| Corp. | 10,866,324 | 72,478 | |
| ^ | Windstream | ||
| Holdings Inc. | 6,536,243 | 53,859 | |
| 4,516,439 | |||
| Utilities (3.2%) | |||
| Duke Energy Corp. | 7,672,334 | 640,947 | |
| NextEra Energy Inc. | 4,734,787 | 503,261 | |
| Dominion Resources Inc. | 6,333,982 | 487,083 | |
| Southern Co. | 9,760,639 | 479,345 | |
| Exelon Corp. | 9,323,047 | 345,699 | |
| American Electric | |||
| Power Co. Inc. | 5,307,101 | 322,247 | |
| Sempra Energy | 2,507,302 | 279,213 | |
| PG&E Corp. | 5,153,574 | 274,376 | |
| PPL Corp. | 7,214,369 | 262,098 | |
| Edison International | 3,534,257 | 231,423 | |
| Public Service | |||
| Enterprise Group Inc. | 5,489,434 | 227,317 | |
| Consolidated Edison Inc. | 3,177,127 | 209,722 | |
| Xcel Energy Inc. | 5,485,517 | 197,040 | |
| Northeast Utilities | 3,436,463 | 183,920 | |
| FirstEnergy Corp. | 4,564,601 | 177,974 | |
| Entergy Corp. | 1,957,823 | 171,270 | |
| DTE Energy Co. | 1,920,047 | 165,834 | |
| NiSource Inc. | 3,424,592 | 145,271 | |
| Wisconsin Energy Corp. | 2,446,361 | 129,021 | |
| Ameren Corp. | 2,632,156 | 121,421 | |
| CenterPoint Energy Inc. | 4,662,598 | 109,245 | |
| CMS Energy Corp. | 2,984,047 | 103,696 | |
| NRG Energy Inc. | 3,668,242 | 98,859 | |
| AES Corp. | 7,113,976 | 97,959 | |
| SCANA Corp. | 1,546,268 | 93,395 | |
| Pinnacle West | |||
| Capital Corp. | 1,198,121 | 81,844 | |
| Pepco Holdings Inc. | 2,731,650 | 73,563 | |
| AGL Resources Inc. | 1,296,670 | 70,682 | |
| Integrys Energy | |||
| Group Inc. | 867,180 | 67,510 | |
| TECO Energy Inc. | 2,545,045 | 52,148 | |
| 6,403,383 | |||
| Total Common Stocks | |||
| (Cost $108,679,256) | 197,913,388 | ||
17
| 500 Index Fund | |||
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| Temporary Cash Investments (0.5%)1 | |||
| Money Market Fund (0.5%) | |||
| 2,3 | Vanguard Market Liquidity | ||
| Fund, 0.126% | 942,212,503 | 942,213 | |
| Face | |||
| Amount | |||
| ($000) | |||
| U.S. Government and Agency Obligations (0.0%) | |||
| 4,5 | Federal Home Loan Bank | ||
| Discount Notes, | |||
| 0.060%, 2/3/15 | 17,500 | 17,498 | |
| 4,5 | Federal Home Loan Bank | ||
| Discount Notes, | |||
| 0.100%, 2/4/15 | 5,000 | 4,999 | |
| 4,5 | Federal Home Loan Bank | ||
| Discount Notes, | |||
| 0.087%, 2/6/15 | 5,000 | 5,000 | |
| 4,5 | Federal Home Loan Bank | ||
| Discount Notes, | |||
| 0.110%, 2/20/15 | 5,500 | 5,499 | |
| 4,5 | Federal Home Loan Bank | ||
| Discount Notes, | |||
| 0.100%, 4/24/15 | 15,000 | 14,994 | |
| 47,990 | |||
| Total Temporary Cash Investments | |||
| (Cost $990,205) | 990,203 | ||
| Total Investments (100.1%) | |||
| (Cost $109,669,461) | 198,903,591 | ||
| Other Assets and Liabilities (-0.1%) | |||
| Other Assets | 471,820 | ||
| Liabilities2 | (663,239) | ||
| (191,419) | |||
| Net Assets (100%) | 198,712,172 | ||
| At December 31, 2014, net assets consisted of: | |
| Amount | |
| ($000) | |
| Paid-in Capital | 113,528,175 |
| Overdistributed Net Investment Income | (114,839) |
| Accumulated Net Realized Losses | (3,951,115) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 89,234,130 |
| Futures Contracts | 15,821 |
| Net Assets | 198,712,172 |
| Investor Shares—Net Assets | |
| Applicable to 147,664,505 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 28,039,905 |
| Net Asset Value Per Share— | |
| Investor Shares | $189.89 |
| Admiral Shares—Net Assets | |
| Applicable to 753,285,762 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 143,042,544 |
| Net Asset Value Per Share— | |
| Admiral Shares | $189.89 |
| ETF Shares—Net Assets | |
| Applicable to 146,615,446 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 27,629,723 |
| Net Asset Value Per Share— | |
| ETF Shares | $188.45 |
• 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 $40,709,000.
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 Includes $43,473,000 of collateral received for securities on loan.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the
7-day yield.
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 $46,791,000 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.
18
| 500 Index Fund | |
| Statement of Operations | |
| Year Ended | |
| December 31, 2014 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends | 3,608,408 |
| Interest1 | 1,105 |
| Securities Lending | 3,101 |
| Total Income | 3,612,614 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 7,779 |
| Management and Administrative—Investor Shares | 27,925 |
| Management and Administrative—Admiral Shares | 33,814 |
| Management and Administrative—Signal Shares | 3,053 |
| Management and Administrative—ETF Shares | 4,789 |
| Marketing and Distribution—Investor Shares | 17,161 |
| Marketing and Distribution—Admiral Shares | 13,444 |
| Marketing and Distribution—Signal Shares | 6,782 |
| Marketing and Distribution—ETF Shares | 4,125 |
| Custodian Fees | 1,336 |
| Auditing Fees | 39 |
| Shareholders’ Reports—Investor Shares | 387 |
| Shareholders’ Reports—Admiral Shares | 331 |
| Shareholders’ Reports—Signal Shares | 108 |
| Shareholders’ Reports—ETF Shares | 141 |
| Trustees’ Fees and Expenses | 130 |
| Total Expenses | 121,344 |
| Net Investment Income | 3,491,270 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 2,801,889 |
| Futures Contracts | 130,791 |
| Swap Contracts | 2,160 |
| Realized Net Gain (Loss) | 2,934,840 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | 16,600,827 |
| Futures Contracts | (8,056) |
| Change in Unrealized Appreciation (Depreciation) | 16,592,771 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 23,018,881 |
| 1 Interest income from an affiliated company of the fund was $1,065,000. | |
| See accompanying Notes, which are an integral part of the Financial Statements. | |
19
| 500 Index Fund | ||
| Statement of Changes in Net Assets | ||
| Year Ended December 31, | ||
| 2014 | 2013 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 3,491,270 | 2,878,655 |
| Realized Net Gain (Loss) | 2,934,840 | 3,840,788 |
| Change in Unrealized Appreciation (Depreciation) | 16,592,771 | 32,107,031 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 23,018,881 | 38,826,474 |
| Distributions | ||
| Net Investment Income | ||
| Investor Shares | (507,320) | (512,169) |
| Admiral Shares | (2,181,851) | (1,470,287) |
| Signal Shares | (376,834) | (665,590) |
| ETF Shares | (414,084) | (227,304) |
| Realized Capital Gain | ||
| Investor Shares | — | — |
| Admiral Shares | — | — |
| Signal Shares | — | — |
| ETF Shares | — | — |
| Total Distributions | (3,480,089) | (2,875,350) |
| Capital Share Transactions | ||
| Investor Shares | (2,739,056) | (4,012,845) |
| Admiral Shares | 48,413,004 | 4,436,942 |
| Signal Shares | (36,640,079) | (852,824) |
| ETF Shares | 10,322,174 | 5,791,555 |
| Net Increase (Decrease) from Capital Share Transactions | 19,356,043 | 5,362,828 |
| Total Increase (Decrease) | 38,894,835 | 41,313,952 |
| Net Assets | ||
| Beginning of Period | 159,817,337 | 118,503,385 |
| End of Period1 | 198,712,172 | 159,817,337 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($114,839,000) and ($128,180,000).
See accompanying Notes, which are an integral part of the Financial Statements.
20
| 500 Index Fund | |||||
| Financial Highlights | |||||
| Investor Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $170.36 | $131.37 | $115.80 | $115.82 | $102.67 |
| Investment Operations | |||||
| Net Investment Income | 3.326 | 2.956 | 2.709 | 2.246 | 2.020 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 19.507 | 38.982 | 15.560 | (.020) | 13.096 |
| Total from Investment Operations | 22.833 | 41.938 | 18.269 | 2.226 | 15.116 |
| Distributions | |||||
| Dividends from Net Investment Income | (3.303) | (2.948) | (2.699) | (2.246) | (1.966) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (3.303) | (2.948) | (2.699) | (2.246) | (1.966) |
| Net Asset Value, End of Period | $189.89 | $170.36 | $131.37 | $115.80 | $115.82 |
| Total Return1 | 13.51% | 32.18% | 15.82% | 1.97% | 14.91% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $28,040 | $27,758 | $24,821 | $25,967 | $31,904 |
| Ratio of Total Expenses to Average Net Assets | 0.17% | 0.17% | 0.17% | 0.17% | 0.17% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 1.88% | 1.95% | 2.13% | 1.92% | 1.94% |
| Portfolio Turnover Rate2 | 3% | 3% | 3% | 4% | 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.
21
| 500 Index Fund | |||||
| Financial Highlights | |||||
| Admiral Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $170.36 | $131.37 | $115.80 | $115.83 | $102.67 |
| Investment Operations | |||||
| Net Investment Income | 3.544 | 3.142 | 2.866 | 2.391 | 2.152 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 19.503 | 38.980 | 15.560 | (.031) | 13.092 |
| Total from Investment Operations | 23.047 | 42.122 | 18.426 | 2.360 | 15.244 |
| Distributions | |||||
| Dividends from Net Investment Income | (3.517) | (3.132) | (2.856) | (2.390) | (2.084) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (3.517) | (3.132) | (2.856) | (2.390) | (2.084) |
| Net Asset Value, End of Period | $189.89 | $170.36 | $131.37 | $115.80 | $115.83 |
| Total Return1 | 13.64% | 32.33% | 15.96% | 2.08% | 15.05% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $143,043 | $82,357 | $59,749 | $51,925 | $51,438 |
| Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05% | 0.05% | 0.05% | 0.06% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 2.00% | 2.07% | 2.25% | 2.04% | 2.05% |
| Portfolio Turnover Rate2 | 3% | 3% | 3% | 4% | 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.
22
| 500 Index Fund | |||||
| Financial Highlights | |||||
| Signal Shares | |||||
| Jan. 1, | |||||
| 2014, to | |||||
| For a Share Outstanding | Oct. 24, | Year Ended December 31, | |||
| Throughout Each Period | 20141 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $140.72 | $108.52 | $95.65 | $95.68 | $84.81 |
| Investment Operations | |||||
| Net Investment Income | 2.272 | 2.594 | 2.368 | 1.975 | 1.780 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 8.947 | 32.193 | 12.861 | (. 030) | 10.813 |
| Total from Investment Operations | 11.219 | 34.787 | 15.229 | 1.945 | 12.593 |
| Distributions | |||||
| Dividends from Net Investment Income | (2.049) | (2.587) | (2.359) | (1.975) | (1.723) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (2.049) | (2.587) | (2.359) | (1.975) | (1.723) |
| Net Asset Value, End of Period | $149.891 | $140.72 | $108.52 | $95.65 | $95.68 |
| Total Return | 7.99% | 32.33% | 15.97% | 2.08% | 15.05% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $— | $34,666 | $27,304 | $21,592 | $18,977 |
| Ratio of Total Expenses to Average Net Assets | 0.05%2 | 0.05% | 0.05% | 0.05% | 0.06% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 1.94%2 | 2.07% | 2.25% | 2.04% | 2.05% |
| Portfolio Turnover Rate 3 | 3% | 3% | 3% | 4% | 5% |
1 Net asset value as of October 24, 2014, on which date the Signal Shares were converted to Admiral Shares. 2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
23
| 500 Index Fund | |||||
| Financial Highlights | |||||
| ETF Shares | |||||
| Sept. 7, | |||||
| 20102, to | |||||
| Year Ended December 31, | |||||
| For a Share Outstanding | Dec. 31, | ||||
| 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 | 3.518 | 3.117 | 2.846 | 2.372 | .726 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 19.352 | 38.681 | 15.450 | (.020) | 15.138 |
| Total from Investment Operations | 22.870 | 41.798 | 18.296 | 2.352 | 15.864 |
| Distributions | |||||
| Dividends from Net Investment Income | (3.490) | (3.108) | (2.836) | (2.372) | (1.084) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (3.490) | (3.108) | (2.836) | (2.372) | (1.084) |
| Net Asset Value, End of Period | $188.45 | $169.07 | $130.38 | $114.92 | $114.94 |
| Total Return | 13.63% | 32.33% | 15.98% | 2.09% | 15.89% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $27,630 | $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 | 2.00% | 2.07% | 2.25% | 2.04% | 2.05%3 |
| Portfolio Turnover Rate 4 | 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.
24
500 Index Fund
Notes to Financial Statements
Vanguard 500 Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers three classes of shares: Investor Shares, Admiral Shares, and 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. Prior to October 24, 2014, the fund offered Signal Shares. Effective at the close of business on October 24, 2014, the Signal Shares were converted to Admiral Shares.
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.
25
500 Index Fund
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values 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 year ended December 31, 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 year ended December 31, 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 December 31, 2014.
26
500 Index Fund
4. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2011–2014), 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.
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 December 31, 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
27
500 Index Fund
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 invest up to 0.40% of its net assets in Vanguard. At December 31, 2014, the fund had contributed capital of $18,761,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 7.50% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of December 31, 2014, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 197,913,388 | — | — |
| Temporary Cash Investments | 942,213 | 47,990 | — |
| Futures Contracts—Assets1 | 1,033 | — | — |
| Futures Contracts—Liabilities1 | (13,027) | — | — |
| Total | 198,843,607 | 47,990 | — |
| 1 Represents variation margin on the last day of the reporting period. |
D. At December 31, 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 | March 2015 | 1,561 | 800,949 | 15,821 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
28
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.
During the year ended December 31, 2014, the fund realized $3,089,358,000 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 gains of $2,160,000 on swap contracts have been reclassified from accumulated net realized losses to overdistributed net investment income.
For tax purposes, at December 31, 2014, the fund had $32,053,000 of ordinary income available for distribution. At December 31, 2014, the fund had available capital losses totaling $3,931,682,000 to offset future net capital gains. Of this amount, $1,770,014,000 is subject to expiration dates; $6,044,000 may be used to offset future net capital gains through December 31, 2015, and $1,763,970,000 through December 31, 2016. Capital losses of $2,161,668,000 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. Capital loss carryforwards of $293,941,000 expired on December 31, 2014; accordingly, such losses have been reclassified from accumulated net realized losses to paid-in capital.
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 December 31, 2014, the cost of investment securities for tax purposes was $109,669,461,000. Net unrealized appreciation of investment securities for tax purposes was $89,234,130,000, consisting of unrealized gains of $92,028,215,000 on securities that had risen in value since their purchase and $2,794,085,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended December 31, 2014, the fund purchased $27,413,277,000 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 $9,324,847,000 of investment securities, other than temporary cash investments. Purchases and sales include $12,731,203,000 and $4,528,609,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
29
500 Index Fund
| G. Capital share transactions for each class of shares were: | ||||
| Year Ended December 31, | ||||
| 2014 | 2013 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| Investor Shares | ||||
| Issued | 4,071,923 | 22,874 | 4,265,742 | 27,761 |
| Issued in Lieu of Cash Distributions | 484,554 | 2,675 | 491,640 | 3,197 |
| Redeemed | (7,295,533) | (40,819) | (8,770,227) | (56,959) |
| Net Increase (Decrease)—Investor Shares | (2,739,056) | (15,270) | (4,012,845) | (26,001) |
| Admiral Shares | ||||
| Issued1 | 53,038,579 | 294,996 | 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 | 1,975,813 | 10,858 | 1,339,808 | 8,678 |
| Redeemed | (9,973,074) | (55,414) | (6,232,664) | (41,109) |
| Net Increase (Decrease) —Admiral Shares | 48,413,004 | 269,860 | 4,436,942 | 28,618 |
| Signal Shares | ||||
| Issued | 4,684,525 | 32,628 | 9,679,558 | 77,796 |
| Issued in Lieu of Cash Distributions | 327,487 | 2,226 | 594,241 | 4,673 |
| Redeemed1 | (41,652,091) | (281,192) | (11,126,623) | (87,744) |
| Net Increase (Decrease)—Signal Shares | (36,640,079) | (246,338) | (852,824) | (5,275) |
| ETF Shares2 | ||||
| Issued | 12,851,957 | 72,128 | 8,569,611 | 56,551 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (2,529,783) | (14,450) | (2,778,056) | (18,454) |
| Net Increase (Decrease) —ETF Shares | 10,322,174 | 57,678 | 5,791,555 | (38,097) |
1 Admiral Shares Issued and Signal Shares Redeemed include $26,198,274,000 from the conversion of Signal Shares to Admiral Shares during the 2014 fiscal year.
2 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 45,479,000 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.
30
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 year ended December 31, 2014, would be:
| ($000) | |
| Net Investment Income | 3,515,765 |
| Realized Net Gain (Loss) | 2,940,695 |
| Change in Unrealized Appreciation (Depreciation) | 16,640,277 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 23,096,737 |
I. Management has determined that no material events or transactions occurred subsequent to December 31, 2014, that would require recognition or disclosure in these financial statements.
31
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Vanguard Index Funds and the Shareholders of Vanguard 500 Index Fund:
In our opinion, the accompanying statement of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard 500 Index Fund (constituting a separate portfolio of Vanguard Index Funds, hereafter referred to as the “Fund”) at December 31, 2014, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2014 by correspondence with the custodian and broker, by agreement to the underlying ownership records of the transfer agent and the application of alternative auditing procedures where securities purchased had not been received, provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 10, 2015
Special 2014 tax information (unaudited) for Vanguard 500 Index Fund
This information for the fiscal year ended December 31, 2014, is included pursuant to provisions of the Internal Revenue Code.
The fund distributed $3,480,089,000 of qualified dividend income to shareholders during the fiscal year.
For corporate shareholders, 96.3% of investment income (dividend income plus short-term gains, if any) qualifies for the dividends-received deduction.
32
Your Fund’s After-Tax Returns
This table presents returns for your fund both before and after taxes. The after-tax returns are shown in two ways: (1) assuming that an investor owned the fund during the entire period and paid taxes on the fund’s distributions, and (2) assuming that an investor paid taxes on the fund’s distributions and sold all shares at the end of each period.
Calculations are based on the highest individual federal income tax and capital gains tax rates in effect at the times of the distributions and the hypothetical sales. State and local taxes were not considered. After-tax returns reflect any qualified dividend income. (In the example, returns after the sale of fund shares may be higher than those assuming no sale. This occurs when the sale would have produced a capital loss. The calculation assumes that the investor received a tax deduction for the loss.)
The table shows returns for Investor Shares only; returns for other share classes will differ. Please note that your actual after-tax returns will depend on your tax situation and may differ from those shown. Also note that if you own the fund in a tax-deferred account, such as an individual retirement account or a 401(k) plan, this information does not apply to you. Such accounts are not subject to current taxes.
Finally, keep in mind that a fund’s performance—whether before or after taxes—does not guarantee future results.
Average Annual Total Returns: 500 Index Fund Investor Shares
Periods Ended December 31, 2014
| One | Five | Ten | |
| Year | Years | Years | |
| Returns Before Taxes | 13.51% | 15.28% | 7.55% |
| Returns After Taxes on Distributions | 13.02 | 14.88 | 7.20 |
| Returns After Taxes on Distributions and Sale of Fund Shares | 8.01 | 12.32 | 6.12 |
33
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.
34
| Six Months Ended December 31, 2014 | |||
| Beginning | Ending | Expenses | |
| Account Value | Account Value | Paid During | |
| 500 Index Fund | 6/30/2014 | 12/31/2014 | Period |
| Based on Actual Fund Return | |||
| Investor Shares | $1,000.00 | $1,060.36 | $0.88 |
| Admiral Shares | 1,000.00 | 1,060.98 | 0.26 |
| ETF Shares | 1,000.00 | 1,060.88 | 0.26 |
| Based on Hypothetical 5% Yearly Return | |||
| Investor Shares | $1,000.00 | $1,024.35 | $0.87 |
| Admiral Shares | 1,000.00 | 1,024.95 | 0.26 |
| ETF Shares | 1,000.00 | 1,024.95 | 0.26 |
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.17% for Investor Shares, 0.05% for Admiral Shares, 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.
35
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.
36
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.
37
This page intentionally left blank.
This page intentionally left blank.
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 |
| F. William McNabb III |
| Born 1957. Trustee Since July 2009. Chairman of the |
| Board. Principal Occupation(s) During the Past Five |
| Years: Chairman of the Board of The Vanguard Group, |
| Inc., and of each of the investment companies served |
| by The Vanguard Group, since January 2010; Director |
| of The Vanguard Group since 2008; Chief Executive |
| Officer and President of The Vanguard Group, and of |
| each of the investment companies served by The |
| Vanguard Group, since 2008; Director of Vanguard |
| Marketing Corporation; Managing Director of The |
| Vanguard Group (1995–2008). |
| IndependentTrustees |
| Emerson U. Fullwood |
| Born 1948. Trustee Since January 2008. Principal |
| Occupation(s) During the Past Five Years: Executive |
| Chief Staff and Marketing Officer for North America |
| and Corporate Vice President (retired 2008) of Xerox |
| Corporation (document management products and |
| services); Executive in Residence and 2009–2010 |
| Distinguished Minett Professor at the Rochester |
| Institute of Technology; Director of SPX Corporation |
| (multi-industry manufacturing), the United Way of |
| Rochester, Amerigroup Corporation (managed health |
| care), the University of Rochester Medical Center, |
| Monroe Community College Foundation, and North |
| Carolina A&T University. |
| Rajiv L. Gupta |
| Born 1945. Trustee Since December 2001.2 |
| Principal Occupation(s) During the Past Five Years: |
| Chairman and Chief Executive Officer (retired 2009) |
| and President (2006–2008) of Rohm and Haas Co. |
| (chemicals); Director of Tyco International, Ltd. |
| (diversified manufacturing and services), Hewlett- |
| Packard Co. (electronic computer manufacturing), |
| and Delphi Automotive LLP (automotive components); |
| Senior Advisor at New Mountain Capital. |
| Amy Gutmann |
| Born 1949. Trustee Since June 2006. Principal |
| Occupation(s) During the Past Five Years: President of |
| the University of Pennsylvania; Christopher H. Browne |
| Distinguished Professor of Political Science, School of |
| Arts and Sciences, and Professor of Communication, |
| Annenberg School for Communication, with secondary |
| faculty appointments in the Department of Philosophy, |
| School of Arts and Sciences, and at the Graduate |
| School of Education, University of Pennsylvania; |
| Trustee of the National Constitution Center; Chair |
| of the Presidential Commission for the Study of |
| Bioethical Issues. |
| JoAnn Heffernan Heisen |
| Born 1950. Trustee Since July 1998. Principal |
| Occupation(s) During the Past Five Years: Corporate |
| Vice President and Chief Global Diversity Officer |
| (retired 2008) and Member of the Executive |
| Committee (1997–2008) of Johnson & Johnson |
| (pharmaceuticals/medical devices/consumer |
| products); Director of Skytop Lodge Corporation |
| (hotels), the University Medical Center at Princeton, |
| the Robert Wood Johnson Foundation, and the Center |
| for Talent Innovation; Member of the Advisory Board |
| of the Maxwell School of Citizenship and Public Affairs |
| at Syracuse University. |
| F. Joseph Loughrey |
| Born 1949. Trustee Since October 2009. Principal |
| Occupation(s) During the Past Five Years: President |
| and Chief Operating Officer (retired 2009) of Cummins |
| Inc. (industrial machinery); Chairman of the Board |
| of Hillenbrand, Inc. (specialized consumer services), |
| and of Oxfam America; Director of SKF AB (industrial |
| machinery), Hyster-Yale Materials Handling, Inc. |
| (forklift trucks), the Lumina Foundation for Education, |
| and the V Foundation for Cancer Research; Member |
| of the Advisory Council for the College of Arts and |
| Letters and of the Advisory Board to the Kellogg |
| Institute for International Studies, both at the |
| University of Notre Dame. |
| Mark Loughridge |
| Born 1953. Trustee Since March 2012. Principal |
| Occupation(s) During the Past Five Years: Senior Vice |
| President and Chief Financial Officer (retired 2013) |
| at IBM (information technology services); Fiduciary |
| Member of IBM’s Retirement Plan Committee (2004– |
| 2013); Member of the Council on Chicago Booth. |
| Scott C. Malpass |
| Born 1962. Trustee Since March 2012. Principal |
| Occupation(s) During the Past Five Years: Chief |
| Investment Officer and Vice President at the University |
| of Notre Dame; Assistant Professor of Finance at the |
| Mendoza College of Business at Notre Dame; Member |
| of the Notre Dame 403(b) Investment Committee; |
| Board Member of TIFF Advisory Services, Inc. |
| (investment advisor); Member of the Investment |
| Advisory Committees of the Financial Industry |
| Regulatory Authority (FINRA) and of Major League |
| Baseball. |
| André F. Perold |
| Born 1952. Trustee Since December 2004. Principal |
| Occupation(s) During the Past Five Years: George |
| Gund Professor of Finance and Banking, Emeritus |
| at the Harvard Business School (retired 2011); |
| Chief Investment Officer and Managing Partner of |
| HighVista Strategies LLC (private investment firm); |
| Director of Rand Merchant Bank; Overseer of the |
| Museum of Fine Arts Boston. |
| Alfred M. Rankin, Jr. |
| Born 1941. Trustee Since January 1993. Principal |
| Occupation(s) During the Past Five Years: Chairman, |
| President, and Chief Executive Officer of NACCO |
| Industries, Inc. (housewares/lignite), and of Hyster- |
| Yale Materials Handling, Inc. (forklift trucks); Chairman |
| of the Board of University Hospitals of Cleveland. |
| Peter F. Volanakis |
| Born 1955. Trustee Since July 2009. Principal |
| Occupation(s) During the Past Five Years: President |
| and Chief Operating Officer (retired 2010) of Corning |
| Incorporated (communications equipment); Trustee of |
| Colby-Sawyer College; Member of the Advisory Board |
| of the Norris Cotton Cancer Center and of the Advisory |
| Board of the Parthenon Group (strategy consulting). |
| Executive Officers | |
| Glenn Booraem | |
| Born 1967. Controller Since July 2010. Principal | |
| Occupation(s) During the Past Five Years: Principal | |
| of The Vanguard Group, Inc.; Controller of each of | |
| the investment companies served by The Vanguard | |
| Group; Assistant Controller of each of the investment | |
| companies served by The Vanguard Group (2001–2010). | |
| Thomas J. Higgins | |
| Born 1957. Chief Financial Officer Since September | |
| 2008. Principal Occupation(s) During the Past Five | |
| Years: Principal of The Vanguard Group, Inc.; Chief | |
| Financial Officer of each of the investment companies | |
| served by The Vanguard Group; Treasurer of each of | |
| the investment companies served by The Vanguard | |
| Group (1998–2008). | |
| Kathryn J. Hyatt | |
| Born 1955. Treasurer Since November 2008. Principal | |
| Occupation(s) During the Past Five Years: Principal of | |
| The Vanguard Group, Inc.; Treasurer of each of the | |
| investment companies served by The Vanguard | |
| Group; Assistant Treasurer of each of the investment | |
| companies served by The Vanguard Group (1988–2008). | |
| Heidi Stam | |
| Born 1956. Secretary Since July 2005. Principal | |
| Occupation(s) During the Past Five Years: Managing | |
| Director of The Vanguard Group, Inc.; General Counsel | |
| of The Vanguard Group; Secretary of The Vanguard | |
| Group and of each of the investment companies | |
| served by The Vanguard Group; Director and Senior | |
| Vice President of Vanguard Marketing Corporation. | |
| Vanguard Senior ManagementTeam | |
| Mortimer J. Buckley | Chris D. McIsaac |
| Kathleen C. Gubanich | Michael S. Miller |
| Paul A. Heller | James M. Norris |
| Martha G. King | Glenn W. Reed |
| John T. Marcante | |
| Chairman Emeritus and Senior Advisor | |
| John J. Brennan | |
| Chairman, 1996–2009 | |
| Chief Executive Officer and President, 1996–2008 | |
| Founder | |
| 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 |
| Who Are Deaf or Hard of Hearing> 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, |
| Dow Jones, S&P, nor their respective affiliates makes | |
| the fund’s current prospectus. | 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. | |
| © 2015 The Vanguard Group, Inc. | |
| All rights reserved. | |
| Vanguard Marketing Corporation, Distributor. | |
| Q400 022015 | |
Annual Report | December 31, 2014
Vanguard U.S. Stock Index Funds
Small-Capitalization Portfolios
Vanguard Small-Cap Index Fund
Vanguard Small-Cap Growth Index Fund
Vanguard Small-Cap Value Index Fund
The mission continues
On May 1, 1975, Vanguard began operations, a fledgling company based on the simple but revolutionary idea that a mutual fund company should be managed solely in the interest of its investors.
Four decades later, that revolutionary spirit continues to animate the enterprise. Vanguard remains on a mission to give investors the best chance of investment success.
As we mark our 40th anniversary, we thank you for entrusting your assets to Vanguard and giving us the opportunity to help you reach your financial goals in the decades to come.
| Contents | |
| Your Fund’s Total Returns. | 1 |
| Chairman’s Letter. | 4 |
| Small-Cap Index Fund. | 11 |
| Small-Cap Growth Index Fund. | 35 |
| Small-Cap Value Index Fund. | 54 |
| Your Fund’s After-Tax Returns. | 75 |
| About Your Fund’s Expenses. | 76 |
| 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: Since our founding, Vanguard has drawn inspiration from the enterprise and valor demonstrated by British naval hero Horatio Nelson and his command at the Battle of the Nile in 1798. The photograph displays a replica of a merchant ship from the same era as Nelson’s flagship, the HMS Vanguard.
| Your Fund’s Total Returns | |
| Fiscal Year Ended December 31, 2014 | |
| Total | |
| Returns | |
| Vanguard Small-Cap Index Fund | |
| Investor Shares | 7.37% |
| Admiral™ Shares | 7.50 |
| Institutional Shares | 7.53 |
| Institutional Plus Shares | 7.55 |
| ETF Shares | |
| Market Price | 7.52 |
| Net Asset Value | 7.51 |
| CRSP US Small Cap Index | 7.54 |
| Small-Cap Core Funds Average | 3.92 |
| Small-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
| Vanguard Small-Cap Growth Index Fund | |
| Investor Shares | 3.88% |
| Admiral Shares | 4.02 |
| Institutional Shares | 4.04 |
| ETF Shares | |
| Market Price | 4.06 |
| Net Asset Value | 4.02 |
| CRSP US Small Cap Growth Index | 3.98 |
| Small-Cap Growth Funds Average | 2.33 |
| 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. 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 | |
| Fiscal Year Ended December 31, 2014 | |
| Total | |
| Returns | |
| Vanguard Small-Cap Value Index Fund | |
| Investor Shares | 10.39% |
| Admiral Shares | 10.55 |
| Institutional Shares | 10.59 |
| ETF Shares | |
| Market Price | 10.54 |
| Net Asset Value | 10.55 |
| CRSP US Small Cap Value Index | 10.63 |
| Small-Cap Value Funds Average | 3.37 |
| 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. 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 December 31, 2014 | ||||
| Distributions Per Share | ||||
| Starting | Ending | Income | Capital | |
| Share Price | Share Price | Dividends | Gains | |
| Vanguard Small-Cap Index Fund | ||||
| Investor Shares | $52.69 | $55.86 | $0.708 | $0.000 |
| Admiral Shares | 52.72 | 55.87 | 0.800 | 0.000 |
| Institutional Shares | 52.71 | 55.87 | 0.805 | 0.000 |
| Institutional Plus Shares | 152.16 | 161.27 | 2.357 | 0.000 |
| ETF Shares | 110.02 | 116.61 | 1.673 | 0.000 |
| Vanguard Small-Cap Growth Index Fund | ||||
| Investor Shares | $34.37 | $35.40 | $0.302 | $0.000 |
| Admiral Shares | 42.98 | 44.26 | 0.446 | 0.000 |
| Institutional Shares | 34.42 | 35.45 | 0.360 | 0.000 |
| ETF Shares | 122.23 | 125.88 | 1.270 | 0.000 |
| Vanguard Small-Cap Value Index Fund | ||||
| Investor Shares | $23.33 | $25.34 | $0.410 | $0.000 |
| Admiral Shares | 41.82 | 45.42 | 0.804 | 0.000 |
| Institutional Shares | 23.37 | 25.39 | 0.451 | 0.000 |
| ETF Shares | 97.32 | 105.71 | 1.869 | 0.000 |
3
Chairman’s Letter
Dear Shareholder,
U.S. equities advanced in 2014, buoyed by a better-than-expected domestic economy, rising corporate profits, and low interest rates. Large- and mid-capitalization stocks stood out in this investment climate. Small-cap stocks didn’t keep pace with the broader market and ended with their lowest return in three years.
For much of last year, small-caps seemed to bear the brunt of investors’ concerns about lofty share valuations. Small-cap value stocks fared significantly better than their growth counterparts.
For the 12 months ended December 31, Vanguard’s three small-cap U.S. index funds posted returns ranging from 3.88% for Vanguard Small-Cap Growth Index Fund to 10.39% for Vanguard Small-Cap Value Index Fund. Vanguard Small-Cap Index Fund, which includes both value and growth stocks, returned 7.37%. (All returns cited in this letter are for the funds’ Investor Shares.)
All three funds closely tracked their target indexes and exceeded the average return of their peers.
Please note that your fund’s Signal Shares were converted to Admiral Shares in October 2014 as part of a year-long plan to streamline Vanguard’s share-class offerings. If you hold any of these funds in a taxable account, you may wish to review the discussion of after-tax returns that appears later in this report.
4
U.S. stocks finished strongly for the sixth straight year
U.S. stocks returned nearly 13% for the 12 months, posting gains for the sixth consecutive calendar year.
Although the Federal Reserve ended its stimulative bond-buying program in October, investors seemed reassured by the Fed’s promise to be “patient” as it decides when to increase short-term interest rates. Other central banks—including the Bank of Japan, the European Central Bank, and the People’s Bank of China—announced significant stimulus measures.
International stocks didn’t fare as well as their U.S. counterparts, returning about –3% in dollar terms. Their performance was hurt as many foreign currencies weakened against the U.S. dollar. Emerging-market stocks rose slightly, while stocks from the developed markets of Europe and the Pacific region retreated.
Defying analysts’ expectations, bond prices rose during the period
Bond prices received a boost from moves by many of the world’s central banks along with various global economic, market, and geopolitical challenges that drew investors to perceived safe havens. In an unexpected rebound from the previous year, the broad U.S. taxable bond market returned 5.97%.
Even with the Fed paring back its bond purchases, prices climbed and yields fell. (Bond prices and yields move in opposite directions.) The yield of the
| Market Barometer | |||
| Average Annual Total Returns | |||
| Periods Ended December 31, 2014 | |||
| One | Three | Five | |
| Year | Years | Years | |
| Stocks | |||
| Russell 1000 Index (Large-caps) | 13.24% | 20.62% | 15.64% |
| Russell 2000 Index (Small-caps) | 4.89 | 19.21 | 15.55 |
| Russell 3000 Index (Broad U.S. market) | 12.56 | 20.51 | 15.63 |
| FTSE All-World ex US Index (International) | -3.31 | 9.41 | 4.75 |
| Bonds | |||
| Barclays U.S. Aggregate Bond Index (Broad taxable market) | 5.97% | 2.66% | 4.45% |
| Barclays Municipal Bond Index (Broad tax-exempt market) | 9.05 | 4.30 | 5.16 |
| Citigroup Three-Month U.S. Treasury Bill Index | 0.03 | 0.04 | 0.06 |
| CPI | |||
| Consumer Price Index | 0.76% | 1.33% | 1.69% |
5
10-year Treasury note ended December at 2.19%, down from 2.97% at the close of December 2013.
Municipal bonds returned 9.05%, benefiting from increased demand and generally limited supply.
International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned –3.08%.
Money market fund and savings account returns remained minuscule as the Fed’s target for short-term interest rates stayed between 0% and 0.25%.
Small-caps had a challenging year as investors became cost-conscious
Following small-cap stocks’ extraordinary ascent in 2013, many investors seemed concerned in 2014 that these shares—particularly in the growth category—had become overvalued, especially given the risks inherent in the underlying companies. Small companies generally have potential for faster growth and higher returns, but they can also be more volatile than larger, more established businesses.
Still, investors continued to seek out attractively priced small-cap stocks. Price-sensitive investors gravitated toward small-cap value stocks, which tend to sell at relatively low prices in relation to their earnings or book value.
| Expense Ratios | ||||||
| Your Fund Compared With Its Peer Group | ||||||
| Peer | ||||||
| Investor | Admiral | Institutional | Institutional | ETF | Group | |
| Shares | Shares | Shares | Plus Shares | Shares | Average | |
| Small-Cap Index Fund | 0.24% | 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 fiscal year ended December 31, 2014, the funds’ expense ratios were: for the Small-Cap Index Fund, 0.23% for Investor Shares, 0.09% for Admiral 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
Of Vanguard’s three small-cap funds, the Value Index Fund turned in the best result. Eight of the fund’s ten industry sectors recorded positive returns. The financial sector, the fund’s largest, was the key to its strong showing. Low interest rates and the expanding economy propelled real estate investment trusts. This favorable environment also lifted financial services and insurance firms. Consumer services and health care were other bright spots. Consumer services stocks rose amid healthy consumer confidence that, in turn, was fed by continued improvement in the U.S. job market. Falling gas prices also made it easier for consumers to open their wallets for everything from travel to dining out. Health care stocks benefited most from equipment makers and service providers.
The Growth Index Fund posted the weakest returns. Seven of its ten sectors turned in positive results. Health care contributed about 75% of the fund’s return, with specialty pharmaceutical companies and innovative biotechnology firms among its lead performers. Financial and technology stocks also posted solid returns, but most of those were overshadowed by the sharp
| Total Returns | |
| Ten Years Ended December 31, 2014 | |
| Average | |
| Annual Return | |
| Small-Cap Index Fund Investor Shares | 9.00% |
| Spliced Small-Cap Index | 9.06 |
| Small-Cap Core Funds Average | 7.04 |
| For a benchmark description, see the Glossary. | |
| Small-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
| Small-Cap Growth Index Fund Investor Shares | 9.41% |
| Spliced Small-Cap Growth Index | 9.44 |
| Small-Cap Growth Funds Average | 7.18 |
| For a benchmark description, see the Glossary. | |
| Small-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
| Small-Cap Value Index Fund Investor Shares | 8.32% |
| Spliced Small-Cap Value Index | 8.45 |
| Small-Cap Value Funds Average | 7.09 |
| For a benchmark description, see the Glossary. | |
| Small-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
The figures shown represent past performance, which is not a guarantee of future results. (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.
7
decline in oil and gas holdings. Shares of small energy companies tumbled as oil prices fell over the last several months.
The Small-Cap Index Fund’s results fell between those of the Value and Growth Index Funds. Eight of its ten sectors showed gains. Financial, health care, and technology stocks produced the bulk of its return. Oil and gas and basic materials were the laggards.
All three funds delivered solid results for the decade
For the ten years ended December 31, 2014, the three Vanguard small-cap index funds recorded average annual returns ranging from 8.32% for the Value Index Fund to 9.41% for the Growth Index Fund. Each fund’s average annual return surpassed that of its peer group.
Vanguard’s outlook for investors: Expect less and stay balanced
In Vanguard’s recently published market outlook, global chief economist Joe Davis and his team discuss expected returns for various asset classes over the coming years. Although not bearish, our outlook on global stocks and bonds is the most guarded since 2006. The report cautions that, over the next decade, returns for a balanced portfolio are likely to be moderately below long-run historical averages.
Our simulations indicate that the average annualized returns of a 60% equity/40% bond portfolio for the decade ending 2024 are most likely to be centered in the 3%–5% range after inflation, below the actual average after-inflation return of 5.6% for the same portfolio since 1926.
Even so, Vanguard firmly believes that the principles for investing success—focusing on clear goals, a suitable asset allocation, low costs, and long-term discipline—remain unchanged.
For more information about our expectations and the probability of various outcomes, see Vanguard’s Economic and Investment Outlook, available at vanguard.com/research.
IMPORTANT: The projections and other information generated by the Vanguard Capital Markets Model (VCMM) regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results, and are not guarantees of future results. Distribution of return outcomes from VCMM, derived from 10,000 simulations for U.S. equity returns and fixed income returns. Simulations as of September 30, 2014. Results from the model may vary with each use and over time. For more information, please see page 9.
8
The decade was generally favorable for small-cap stocks compared with large-cap stocks. But as we saw over the past year, market leadership changes in unpredictable ways, and that’s one of the reasons Vanguard believes that diversification across asset classes and market segments is wise.
Each of the three small-cap funds met its objective of closely tracking its target index over the long term, thanks to the funds’ advisor, Vanguard Equity Investment Group. The advisor relies on its proven portfolio management strategies to
produce benchmark-tracking returns regardless of external market conditions. At the same time, the fund’s low costs help you keep more of the market’s returns.
To build for the long term, start with a solid foundation
As the leader of a major investment firm, I get asked a lot of questions on all kinds of topics, from the outlook for global markets to the best fund choices for an IRA. But a topic that almost never comes up—and one that I consider perhaps the most important—is setting investment goals.
IMPORTANT: The projections and other information generated by the Vanguard Capital Markets Model regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results, and are not guarantees of future results. VCMM results will vary with each use and over time.
The VCMM projections are based on a statistical analysis of historical data. Future returns may behave differently from the historical patterns captured in the VCMM. More important, the VCMM may be underestimating extreme negative scenarios unobserved in the historical period on which the model estimation is based.
The Vanguard Capital Markets Model® is a proprietary financial simulation tool developed and maintained by Vanguard’s primary investment research and advice teams. The model forecasts distributions of future returns for a wide array of broad asset classes. Those asset classes include U.S. and international equity markets, several maturities of the U.S. Treasury and corporate fixed income markets, international fixed income markets, U.S. money markets, commodities, and certain alternative investment strategies. The theoretical and empirical foundation for the Vanguard Capital Markets Model is that the returns of various asset classes reflect the compensation investors require for bearing different types of systematic risk (beta). At the core of the model are estimates of the dynamic statistical relationship between risk factors and asset returns, obtained from statistical analysis based on available monthly financial and economic data from as early as 1960. Using a system of estimated equations, the model then applies a Monte Carlo simulation method to project the estimated interrelationships among risk factors and asset classes as well as uncertainty and randomness over time. The model generates a large set of simulated outcomes for each asset class over several time horizons. Forecasts are obtained by computing measures of central tendency in these simulations. Results produced by the tool will vary with each use and over time.
9
At Vanguard, we believe that following four timeless, straightforward principles can help put you on the right track toward investment success:
• 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.
All four principles are essential, and the order in which they’re listed is intentional. Every good investment plan begins with a clearly defined goal, which sets the foundation for building your portfolio. (You can read more about our principles in Vanguard’s Principles for Investing Success, available at vanguard.com/research.)
Setting an investment goal doesn’t have to be complicated. It can be as simple as saving for retirement or for a child’s college education. Being realistic about your goals—and how to meet them—can help you stick with your investment plan even when times get tough.
We’ve recently welcomed a new year, which for many means a new beginning. Now is a perfect time to revisit your investment plan and make any necessary adjustments to help you reach your long-term financial goals.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer January 15, 2015
10
| Small-Cap Index Fund | |||||
| Fund Profile | |||||
| As of December 31, 2014 | |||||
| Share-Class Characteristics | |||||
| Investor | Admiral | Institutional | Institutional | ||
| Shares | Shares | Shares | Plus Shares | ETF Shares | |
| Ticker Symbol | NAESX | VSMAX | VSCIX | VSCPX | VB |
| Expense Ratio1 | 0.24% | 0.09% | 0.08% | 0.06% | 0.09% |
| 30-Day SEC Yield | 1.23% | 1.37% | 1.39% | 1.41% | 1.37% |
| Portfolio Characteristics | |||
| DJ | |||
| U.S. | |||
| CRSP US | Total | ||
| Small Cap | Market | ||
| Fund | Index FA Index | ||
| Number of Stocks | 1,499 | 1,482 | 3,776 |
| Median Market Cap | $3.3B | $3.3B | $48.1B |
| Price/Earnings Ratio | 26.8x | 26.8x | 20.6x |
| Price/Book Ratio | 2.4x | 2.4x | 2.7x |
| Return on Equity | 11.5% | 11.4% | 17.8% |
| Earnings Growth | |||
| Rate | 14.4% | 14.4% | 15.4% |
| Dividend Yield | 1.5% | 1.5% | 1.9% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | 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 | 4.0% | 3.9% | 2.8% |
| Consumer Goods | 7.5 | 7.5 | 9.9 |
| Consumer Services | 13.8 | 13.8 | 13.6 |
| Financials | 25.0 | 25.1 | 19.0 |
| Health Care | 10.4 | 10.4 | 13.5 |
| Industrials | 19.4 | 19.4 | 12.6 |
| Oil & Gas | 3.8 | 3.8 | 7.5 |
| Technology | 11.9 | 11.9 | 15.8 |
| Telecommunications | 0.3 | 0.3 | 2.0 |
| Utilities | 3.9 | 3.9 | 3.3 |
| Volatility Measures | ||
| DJ | ||
| Spliced | U.S. Total | |
| Small-Cap | Market | |
| Index | FA Index | |
| R-Squared | 1.00 | 0.86 |
| Beta | 1.00 | 1.18 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
Ten Largest Holdings (% of total net assets)
| Alkermes plc | Pharmaceuticals | 0.3% |
| Snap-on Inc. | Durable Household | |
| Products | 0.3 | |
| Alaska Air Group Inc. | Airlines | 0.3 |
| Goodyear Tire & Rubber | ||
| Co. | Tires | 0.3 |
| Cooper Cos. Inc. | Medical Supplies | 0.3 |
| Cubist Pharmaceuticals | ||
| Inc. | Biotechnology | 0.3 |
| Packaging Corp. of | Containers & | |
| America | Packaging | 0.3 |
| Arthur J Gallagher & Co. | Property & Casualty | |
| Insurance | 0.3 | |
| Rite Aid Corp. | Drug Retailers | 0.3 |
| Harman International | Consumer | |
| Industries Inc. | Electronics | 0.3 |
| Top Ten | 3.0% |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratios shown are from the prospectus dated April 28, 2014, and represent estimated costs for the current fiscal year. For the fiscal year ended December 31, 2014, the expense ratios were 0.23% for Investor Shares, 0.09% for Admiral Shares, 0.08% for Institutional Shares, 0.06% for Institutional Plus Shares, and 0.09% for ETF Shares.
11
Small-Cap Index Fund
Investment Focus
12
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.
Cumulative Performance: December 31, 2004, Through December 31, 2014
Initial Investment of $10,000
| Average Annual Total Returns | |||||
| Periods Ended December 31, 2014 | |||||
| Final Value | |||||
| One | Five | Ten | of a $10,000 | ||
| Year | Years | Years | Investment | ||
| Small-Cap Index Fund*Investor | |||||
| Shares | 7.37% | 16.71% | 9.00% | $23,663 | |
| •••••••• | Spliced Small-Cap Index | 7.54 | 16.83 | 9.06 | 23,810 |
| – – – – | Small-Cap Core Funds Average | 3.92 | 14.45 | 7.04 | 19,752 |
| Dow Jones U.S. Total Stock Market | |||||
| Float Adjusted Index | 12.47 | 15.72 | 8.09 | 21,779 | |
| For a benchmark description, see the Glossary. | |||||
| Small-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |||||
| Final Value | |||||
| One | Five | Ten | of a $10,000 | ||
| Year | Years | Years | Investment | ||
| Small-Cap Index Fund Admiral Shares | 7.50% | 16.87% | 9.13% | $23,963 | |
| Spliced Small-Cap Index | 7.54 | 16.83 | 9.06 | 23,810 | |
| Dow Jones U.S. Total Stock Market Float | |||||
| Adjusted Index | 12.47 | 15.72 | 8.09 | 21,779 | |
See Financial Highlights for dividend and capital gains information.
13
| Small-Cap Index Fund | ||||
| Average Annual Total Returns | ||||
| Periods Ended December 31, 2014 | ||||
| Final Value | ||||
| One | Five | Ten | of a $5,000,000 | |
| Year | Years | Years | Investment | |
| Small-Cap Index Fund Institutional Shares | 7.53% | 16.90% | 9.17% | $12,025,837 |
| Spliced Small-Cap Index | 7.54 | 16.83 | 9.06 | 11,905,199 |
| Dow Jones U.S. Total Stock Market Float | ||||
| Adjusted Index | 12.47 | 15.72 | 8.09 | 10,889,319 |
| Since | Final Value | |||
| One | Inception | of a $100,000,000 | ||
| Year | (12/17/2010) | Investment | ||
| Small-Cap Index Fund Institutional Plus Shares | 7.55% | 14.39% | $172,122,808 | |
| Spliced Small-Cap Index | 7.54 | 14.32 | 171,690,049 | |
| Dow Jones U.S. Total Stock Market Float | ||||
| Adjusted Index | 12.47 | 15.45 | 178,626,975 | |
"Since Inception" performance is calculated from the Institutional Plus Shares’ inception date for both the fund and its comparative standards.
| Final Value | ||||
| One | Five | Ten | of a $10,000 | |
| Year | Years | Years | Investment | |
| Small-Cap Index Fund | ||||
| ETF Shares Net Asset Value | 7.51% | 16.87% | 9.14% | $23,986 |
| Spliced Small-Cap Index | 7.54 | 16.83 | 9.06 | 23,810 |
| Dow Jones U.S. Total Stock Market Float | ||||
| Adjusted Index | 12.47 | 15.72 | 8.09 | 21,779 |
| Cumulative Returns of ETF Shares: December 31, 2004, Through December 31, 2014 | ||||
| One | Five | Ten | ||
| Year | Years | Years | ||
| Small-Cap Index Fund ETF Shares Market Price | 7.52% | 118.23% | 140.37% | |
| Small-Cap Index Fund ETF Shares Net Asset Value | 7.51 | 118.02 | 139.86 | |
| Spliced Small-Cap Index | 7.54 | 117.67 | 138.10 | |
14
Small-Cap Index Fund
Fiscal-Year Total Returns (%): December 31, 2004, Through December 31, 2014
Spliced Small-Cap Index
For a benchmark description, see the Glossary.
15
Small-Cap Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of December 31, 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. | 2,333,471 | 118,330 | 0.2% |
| Rockwood Holdings Inc. | 1,245,865 | 98,174 | 0.2% |
| Basic Materials—Other † | 1,771,065 | 3.5% | |
| 1,987,569 | 3.9% | ||
| Consumer Goods | |||
| Snap-on Inc. | 1,015,779 | 138,898 | 0.3% |
| Goodyear Tire & Rubber Co. | 4,799,910 | 137,133 | 0.3% |
| Harman International Industries Inc. | 1,197,751 | 127,812 | 0.2% |
| * WhiteWave Foods Co. Class A | 3,048,124 | 106,654 | 0.2% |
| Ingredion Inc. | 1,256,226 | 106,578 | 0.2% |
| * Hain Celestial Group Inc. | 1,764,267 | 102,839 | 0.2% |
| Leggett & Platt Inc. | 2,405,995 | 102,519 | 0.2% |
| * Middleby Corp. | 1,001,002 | 99,199 | 0.2% |
| Consumer Goods—Other † | 2,862,117 | 5.7% | |
| 3,783,749 | 7.5% | ||
| Consumer Services | |||
| Alaska Air Group Inc. | 2,318,675 | 138,564 | 0.3% |
| * Rite Aid Corp. | 17,157,690 | 129,026 | 0.3% |
| Gannett Co. Inc. | 3,948,008 | 126,060 | 0.3% |
| Omnicare Inc. | 1,711,193 | 124,797 | 0.2% |
| * Avis Budget Group Inc. | 1,857,359 | 123,199 | 0.2% |
| Consumer Services—Other † | 6,267,017 | 12.4% | |
| 6,908,663 | 13.7% | ||
| Financials | |||
| Arthur J Gallagher & Co. | 2,821,176 | 132,821 | 0.3% |
| * E*TRADE Financial Corp. | 5,055,197 | 122,614 | 0.3% |
| WP Carey Inc. | 1,727,454 | 121,095 | 0.2% |
| Duke Realty Corp. | 5,973,883 | 120,672 | 0.2% |
| Extra Space Storage Inc. | 1,932,030 | 113,294 | 0.2% |
| * Signature Bank | 835,586 | 105,250 | 0.2% |
16
| Small-Cap Index Fund | ||||
| Market | Percentage | |||
| Value• | of Net | |||
| Shares | ($000) | Assets | ||
| Regency Centers Corp. | 1,630,045 | 103,964 | 0.2% | |
| * | SVB Financial Group | 888,958 | 103,181 | 0.2% |
| Kilroy Realty Corp. | 1,470,091 | 101,539 | 0.2% | |
| DDR Corp. | 5,356,354 | 98,343 | 0.2% | |
| Mid-America Apartment Communities Inc. | 1,315,576 | 98,247 | 0.2% | |
| Financials—Other † | 11,417,406 | 22.6% | ||
| 12,638,426 | 25.0% | |||
| Health Care | ||||
| * | Alkermes plc | 2,556,398 | 149,703 | 0.3% |
| Cooper Cos. Inc. | 844,007 | 136,805 | 0.3% | |
| * | Cubist Pharmaceuticals Inc. | 1,333,756 | 134,243 | 0.3% |
| * | Isis Pharmaceuticals Inc. | 2,065,377 | 127,516 | 0.2% |
| * | Brookdale Senior Living Inc. | 3,206,321 | 117,576 | 0.2% |
| * | MEDNAX Inc. | 1,755,447 | 116,053 | 0.2% |
| * | Alnylam Pharmaceuticals Inc. | 1,075,880 | 104,360 | 0.2% |
| * | Community Health Systems Inc. | 1,931,990 | 104,173 | 0.2% |
| * | Covance Inc. | 989,167 | 102,715 | 0.2% |
| * | United Therapeutics Corp. | 788,943 | 102,160 | 0.2% |
| Health Care—Other † | 4,019,106 | 8.0% | ||
| 5,214,410 | 10.3% | |||
| Industrials | ||||
| Packaging Corp. of America | 1,719,896 | 134,238 | 0.3% | |
| * | Flextronics International Ltd. | 10,121,755 | 113,161 | 0.2% |
| Valspar Corp. | 1,303,685 | 112,743 | 0.2% | |
| IDEX Corp. | 1,387,993 | 108,041 | 0.2% | |
| * | Spirit AeroSystems Holdings Inc. Class A | 2,467,680 | 106,209 | 0.2% |
| Acuity Brands Inc. | 758,106 | 106,188 | 0.2% | |
| Carlisle Cos. Inc. | 1,121,706 | 101,223 | 0.2% | |
| Total System Services Inc. | 2,924,851 | 99,328 | 0.2% | |
| * | CoStar Group Inc. | 537,237 | 98,653 | 0.2% |
| * | Keysight Technologies Inc. | 2,915,185 | 98,446 | 0.2% |
| Industrials—Other † | 8,699,289 | 17.3% | ||
| 9,777,519 | 19.4% | |||
| Oil & Gas † | 1,912,497 | 3.8% | ||
| 1Other † | 21,747 | 0.0% | ||
| Technology | ||||
| CDK Global Inc. | 2,667,755 | 108,738 | 0.2% | |
| Technology—Other † | 5,893,032 | 11.7% | ||
| 6,001,770 | 11.9% | |||
| Telecommunications † | 150,374 | 0.3% | ||
| Utilities | ||||
| UGI Corp. | 3,013,598 | 114,456 | 0.3% | |
| AGL Resources Inc. | 2,090,392 | 113,947 | 0.2% | |
| ITC Holdings Corp. | 2,722,519 | 110,071 | 0.2% | |
| Utilities—Other † | 1,603,606 | 3.2% | ||
| 1,942,080 | 3.9% | |||
| Total Common Stocks (Cost $36,857,986) | 50,338,804 | 99.7%2 | ||
17
| Small-Cap Index Fund | ||||
| Market | Percentage | |||
| Value• | of Net | |||
| Coupon | Shares | ($000) | Assets | |
| Temporary Cash Investments | ||||
| Money Market Fund | ||||
| 3,4 Vanguard Market Liquidity Fund | 0.126% | 566,782,000 | 566,782 | 1.1% |
| 5U.S. Government and Agency Obligations † | 12,999 | 0.1% | ||
| Total Temporary Cash Investments (Cost $579,781) | 579,781 | 1.2%2 | ||
| 6Total Investments (Cost $37,437,767) | 50,918,585 | 100.9% | ||
| Other Assets and Liabilities | ||||
| Other Assets | 258,204 | 0.5% | ||
| Liabilities4 | (703,847) | (1.4%) | ||
| (445,643) | (0.9%) | |||
| Net Assets | 50,472,942 | 100.0% | ||
| At December 31, 2014, net assets consisted of: | ||||
| Amount | ||||
| ($000) | ||||
| Paid-in Capital | 38,961,158 | |||
| Overdistributed Net Investment Income | (20,922) | |||
| Accumulated Net Realized Losses | (1,950,239) | |||
| Unrealized Appreciation (Depreciation) | ||||
| Investment Securities | 13,480,818 | |||
| Futures Contracts | 566 | |||
| Swap Contracts | 1,561 | |||
| Net Assets | 50,472,942 | |||
| Investor Shares—Net Assets | ||||
| Applicable to 82,468,917 outstanding $.001 par value shares of | ||||
| beneficial interest (unlimited authorization) | 4,606,345 | |||
| Net Asset Value Per Share—Investor Shares | $55.86 | |||
| Admiral Shares—Net Assets | ||||
| Applicable to 358,558,762 outstanding $.001 par value shares of | ||||
| beneficial interest (unlimited authorization) | 20,034,449 | |||
| Net Asset Value Per Share—Admiral Shares | $55.87 | |||
| Institutional Shares—Net Assets | ||||
| Applicable to 178,535,780 outstanding $.001 par value shares of | ||||
| beneficial interest (unlimited authorization) | 9,975,145 | |||
| Net Asset Value Per Share—Institutional Shares | $55.87 | |||
18
| Small-Cap Index Fund | |
| Amount | |
| ($000) | |
| Institutional Plus Shares—Net Assets | |
| Applicable to 37,351,929 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 6,023,876 |
| Net Asset Value Per Share—Institutional Plus Shares | $161.27 |
| ETF Shares—Net Assets | |
| Applicable to 84,327,895 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 9,833,127 |
| Net Asset Value Per Share—ETF Shares | $116.61 |
• 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 “Other” represents securities that are not classified by the fund’s benchmark index.
2 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 0.9%, respectively, of net assets.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the
7-day yield.
4 Includes $473,881,000 of collateral received for securities on loan.
5 Securities with a value of $3,599,000 have been segregated as initial margin for open futures contracts.
6 The total value of securities on loan is $445,135,000.
See accompanying Notes, which are an integral part of the Financial Statements.
19
| Small-Cap Index Fund | |
| Statement of Operations | |
| Year Ended | |
| December 31, 2014 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends | 735,139 |
| Interest1 | 202 |
| Securities Lending | 33,449 |
| Total Income | 768,790 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 3,116 |
| Management and Administrative—Investor Shares | 9,580 |
| Management and Administrative—Admiral Shares | 9,481 |
| Management and Administrative—Signal Shares | 2,270 |
| Management and Administrative—Institutional Shares | 4,480 |
| Management and Administrative—Institutional Plus Shares | 1,758 |
| Management and Administrative—ETF Shares | 5,069 |
| Marketing and Distribution—Investor Shares | 1,092 |
| Marketing and Distribution—Admiral Shares | 1,800 |
| Marketing and Distribution—Signal Shares | 1,462 |
| Marketing and Distribution—Institutional Shares | 2,141 |
| Marketing and Distribution—Institutional Plus Shares | 951 |
| Marketing and Distribution—ETF Shares | 1,983 |
| Custodian Fees | 871 |
| Auditing Fees | 41 |
| Shareholders’ Reports—Investor Shares | 122 |
| Shareholders’ Reports—Admiral Shares | 82 |
| Shareholders’ Reports—Signal Shares | 66 |
| Shareholders’ Reports—Institutional Shares | 110 |
| Shareholders’ Reports—Institutional Plus Shares | 55 |
| Shareholders’ Reports—ETF Shares | 230 |
| Trustees’ Fees and Expenses | 34 |
| Total Expenses | 46,794 |
| Net Investment Income | 721,996 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 1,916,491 |
| Futures Contracts | 2,468 |
| Swap Contracts | 3,939 |
| Realized Net Gain (Loss) | 1,922,898 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | 855,507 |
| Futures Contracts | (9,547) |
| Swap Contracts | 1,561 |
| Change in Unrealized Appreciation (Depreciation) | 847,521 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 3,492,415 |
| 1 Interest income from an affiliated company of the fund was $185,000. | |
| See accompanying Notes, which are an integral part of the Financial Statements. | |
20
| Small-Cap Index Fund | ||
| Statement of Changes in Net Assets | ||
| Year Ended December 31, | ||
| 2014 | 2013 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 721,996 | 556,220 |
| Realized Net Gain (Loss) | 1,922,898 | 583,222 |
| Change in Unrealized Appreciation (Depreciation) | 847,521 | 10,277,416 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 3,492,415 | 11,416,858 |
| Distributions | ||
| Net Investment Income | ||
| Investor Shares | (58,444) | (59,108) |
| Admiral Shares | (282,281) | (130,303) |
| Signal Shares | (604) | (95,062) |
| Institutional Shares | (140,213) | (118,018) |
| Institutional Plus Shares | (86,737) | (56,696) |
| ETF Shares | (141,190) | (108,060) |
| Realized Capital Gain | ||
| Investor Shares | — | — |
| Admiral Shares | — | — |
| Signal Shares | — | — |
| Institutional Shares | — | — |
| Institutional Plus Shares | — | — |
| ETF Shares | — | — |
| Total Distributions | (709,469) | (567,247) |
| Capital Share Transactions | ||
| Investor Shares | (713,524) | (140,555) |
| Admiral Shares | 8,931,404 | 1,110,132 |
| Signal Shares | (7,473,215) | 1,241,430 |
| Institutional Shares | 234,336 | 948,902 |
| Institutional Plus Shares | 1,394,607 | 914,375 |
| ETF Shares | 1,073,291 | 1,555,179 |
| Net Increase (Decrease) from Capital Share Transactions | 3,446,899 | 5,629,463 |
| Total Increase (Decrease) | 6,229,845 | 16,479,074 |
| Net Assets | ||
| Beginning of Period | 44,243,097 | 27,764,023 |
| End of Period1 | 50,472,942 | 44,243,097 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($20,922,000) and ($37,787,000).
See accompanying Notes, which are an integral part of the Financial Statements.
21
| Small-Cap Index Fund | |||||
| Financial Highlights | |||||
| Investor Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $52.69 | $38.74 | $33.38 | $34.75 | $27.49 |
| Investment Operations | |||||
| Net Investment Income | .730 | .609 | .659 | .402 | .355 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 3.148 | 13.958 | 5.363 | (1.375) | 7.266 |
| Total from Investment Operations | 3.878 | 14.567 | 6.022 | (.973) | 7.621 |
| Distributions | |||||
| Dividends from Net Investment Income | (.708) | (.617) | (. 662) | (. 397) | (.361) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.708) | (.617) | (. 662) | (. 397) | (.361) |
| Net Asset Value, End of Period | $55.86 | $52.69 | $38.74 | $33.38 | $34.75 |
| Total Return1 | 7.37% | 37.62% | 18.04% | -2.80% | 27.72% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $4,606 | $5,041 | $3,813 | $3,925 | $5,270 |
| Ratio of Total Expenses to Average Net Assets | 0.23% | 0.24% | 0.24% | 0.24% | 0.26% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 1.40% | 1.39% | 1.82% | 1.15% | 1.24% |
| Portfolio Turnover Rate2 | 10% | 29% | 14% | 17% | 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.
22
| Small-Cap Index Fund | |||||
| Financial Highlights | |||||
| Admiral Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $52.72 | $38.76 | $33.39 | $34.78 | $27.50 |
| Investment Operations | |||||
| Net Investment Income | . 817 | .681 | .717 | .461 | . 384 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 3.133 | 13.968 | 5.372 | (1.395) | 7.286 |
| Total from Investment Operations | 3.950 | 14.649 | 6.089 | (.934) | 7.670 |
| Distributions | |||||
| Dividends from Net Investment Income | (.800) | (.689) | (.719) | (.456) | (.390) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.800) | (.689) | (.719) | (.456) | (.390) |
| Net Asset Value, End of Period | $55.87 | $52.72 | $38.76 | $33.39 | $34.78 |
| Total Return1 | 7.50% | 37.81% | 18.24% | -2.69% | 27.89% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $20,034 | $10,126 | $6,541 | $5,525 | $5,554 |
| Ratio of Total Expenses to Average Net Assets | 0.09% | 0.09% | 0.10% | 0.10% | 0.12% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 1.54% | 1.54% | 1.96% | 1.29% | 1.38% |
| Portfolio Turnover Rate2 | 10% | 29% | 14% | 17% | 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.
23
| Small-Cap Index Fund | |||||
| Financial Highlights | |||||
| Signal Shares | |||||
| Jan. 1, | |||||
| 2014, to | |||||
| Oct. 24, | Year Ended December 31, | ||||
| For a Share Outstanding Throughout Each Period | 20141 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $47.49 | $34.92 | $30.08 | $31.33 | $24.79 |
| Investment Operations | |||||
| Net Investment Income | .491 | .614 | .648 | .417 | .359 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | .123 | 12.577 | 4.841 | (1.254) | 6.545 |
| Total from Investment Operations | .614 | 13.191 | 5.489 | (.837) | 6.904 |
| Distributions | |||||
| Dividends from Net Investment Income | (.004) | (.621) | (.649) | (.413) | (.364) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.004) | (.621) | (.649) | (.413) | (.364) |
| Net Asset Value, End of Period | $48.101 | $47.49 | $34.92 | $30.08 | $31.33 |
| Total Return | 1.29% | 37.79% | 18.25% | -2.68% | 27.85% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $— | $7,351 | $4,329 | $3,075 | $2,300 |
| Ratio of Total Expenses to Average Net Assets | 0.09%2 | 0.09% | 0.10% | 0.10% | 0.12% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 1.26%2 | 1.54% | 1.96% | 1.29% | 1.38% |
| Portfolio Turnover Rate3 | 10% | 29% | 14% | 17% | 12% |
1 Net asset value as of October 24, 2014, on which date the Signal Shares were converted to Admiral Shares.
| 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.
24
| Small-Cap Index Fund | |||||
| Financial Highlights | |||||
| Institutional Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $52.71 | $38.76 | $33.39 | $34.77 | $27.50 |
| Investment Operations | |||||
| Net Investment Income | . 821 | .686 | .724 | . 467 | .410 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 3.144 | 13.957 | 5.372 | (1.385) | 7.276 |
| Total from Investment Operations | 3.965 | 14.643 | 6.096 | (.918) | 7.686 |
| Distributions | |||||
| Dividends from Net Investment Income | (.805) | (. 693) | (.726) | (. 462) | (. 416) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.805) | (. 693) | (.726) | (. 462) | (. 416) |
| Net Asset Value, End of Period | $55.87 | $52.71 | $38.76 | $33.39 | $34.77 |
| Total Return | 7.53% | 37.80% | 18.26% | -2.65% | 27.95% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $9,975 | $9,185 | $5,955 | $4,894 | $5,711 |
| Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 1.55% | 1.55% | 1.98% | 1.31% | 1.42% |
| Portfolio Turnover Rate1 | 10% | 29% | 14% | 17% | 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.
25
| Small-Cap Index Fund | |||||
| Financial Highlights | |||||
| Institutional Plus Shares | |||||
| Dec. 17, | |||||
| 20101 to | |||||
| Year Ended December 31, | |||||
| For a Share Outstanding | Dec. 31, | ||||
| 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 | 2.405 | 2.007 | 2.114 | 1.373 | .0642 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 9.062 | 40.311 | 15.506 | (4.023) | .767 |
| Total from Investment Operations | 11.467 | 42.318 | 17.620 | (2.650) | . 831 |
| Distributions | |||||
| Dividends from Net Investment Income | (2.357) | (2.028) | (2.120) | (1.360) | (1.181) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (2.357) | (2.028) | (2.120) | (1.360) | (1.181) |
| Net Asset Value, End of Period | $161.27 | $152.16 | $111.87 | $96.37 | $100.38 |
| Total Return | 7.55% | 37.85% | 18.29% | -2.65% | 0.82% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $6,024 | $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 | 1.57% | 1.57% | 2.00% | 1.33% | 1.44%3 |
| Portfolio Turnover Rate 4 | 10% | 29% | 14% | 17% | 12% |
| 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.
26
| Small-Cap Index Fund | |||||
| Financial Highlights | |||||
| ETF Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $110.02 | $80.89 | $69.70 | $72.58 | $57.41 |
| Investment Operations | |||||
| Net Investment Income | 1.707 | 1.424 | 1.500 | .957 | .833 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 6.556 | 29.145 | 11.194 | (2.891) | 15.183 |
| Total from Investment Operations | 8.263 | 30.569 | 12.694 | (1.934) | 16.016 |
| Distributions | |||||
| Dividends from Net Investment Income | (1.673) | (1.439) | (1.504) | (.946) | (.846) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.673) | (1.439) | (1.504) | (.946) | (.846) |
| Net Asset Value, End of Period | $116.61 | $110.02 | $80.89 | $69.70 | $72.58 |
| Total Return | 7.51% | 37.80% | 18.22% | -2.68% | 27.89% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $9,833 | $8,217 | $4,691 | $3,683 | $4,843 |
| Ratio of Total Expenses to Average Net Assets | 0.09% | 0.09% | 0.10% | 0.10% | 0.12% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 1.54% | 1.54% | 1.96% | 1.29% | 1.38% |
| Portfolio Turnover Rate1 | 10% | 29% | 14% | 17% | 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.
27
Small-Cap Index Fund
Notes to Financial Statements
Vanguard Small-Cap Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers five classes of shares: Investor Shares, Admiral Shares, 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, 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. Prior to October 24, 2014, the fund offered Signal Shares. Effective at the close of business on October 24, 2014, the Signal Shares were converted to Admiral Shares.
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 settlement values 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).
28
Small-Cap Index Fund
During the year ended December 31, 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 year ended December 31, 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, 2011–2014), 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.
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
29
Small-Cap Index Fund
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 December 31, 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 invest up to 0.40% of its net assets in Vanguard. At December 31, 2014, the fund had contributed capital of $4,729,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 1.89% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
30
Small-Cap Index Fund
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of December 31, 2014, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 50,316,852 | 19,381 | 2,571 |
| Temporary Cash Investments | 566,782 | 12,999 | — |
| Futures Contracts—Liabilities1 | (711) | — | — |
| Swap Contracts—Assets | — | 1,581 | — |
| Swap Contracts—Liabilities | — | (20) | — |
| Total | 50,882,923 | 33,941 | 2,571 |
| 1 Represents variation margin on the last day of the reporting period. |
D. At December 31, 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 | March 2015 | 600 | 72,042 | 348 |
| E-mini S&P MidCap 400 Index | March 2015 | 69 | 9,995 | 218 |
| 566 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
31
Small-Cap Index Fund
At December 31, 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) |
| Empire State Reality Trust Inc. | 2/10/15 | GSI | 6,755 | (0.512) | 198 |
| Empire State Reality Trust Inc. | 2/10/15 | GSI | 601 | (0.514) | (3) |
| Empire State Reality Trust Inc. | 2/10/15 | GSI | 302 | (0.519) | (3) |
| Empire State Reality Trust Inc. | 2/10/15 | GSI | 302 | (0.520) | (3) |
| Empire State Reality Trust Inc. | 2/10/15 | GSI | 300 | (0.515) | (2) |
| Empire State Reality Trust Inc. | 2/13/15 | GSI | 976 | (0.518) | (9) |
| SLM Corp. | 3/19/15 | GSI | 45,890 | (0.564) | 1,383 |
| 1,561 | |||||
| 1 GSI—Goldman Sachs International. |
At December 31, 2014, the counterparty had deposited in segregated accounts securities with a value of $1,663,000 in connection with amounts due to the fund for open swap contracts.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
Certain of the fund’s investments are in securities considered to be passive foreign investment companies, for which any unrealized appreciation and/or realized gains are required to be included in distributable net income for tax purposes. During the year ended December 31, 2014, the fund realized gains on the sale of passive foreign investment companies of $399,000, which have been included in current and prior periods’ taxable income; accordingly, such gains have been reclassified from accumulated net realized losses to overdistributed net investment income. Passive foreign investment companies held at December 31, 2014, had unrealized appreciation of $8,801,000, of which $6,381,000 has been distributed and is reflected in the balance of overdistributed net investment income.
During the year ended December 31, 2014, the fund realized $2,178,916,000 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 gains of $3,939,000 on swap contracts have been reclassified from accumulated net realized losses to overdistributed net investment income.
32
Small-Cap Index Fund
For tax purposes, at December 31, 2014, the fund had $21,710,000 of ordinary income available for distribution. At December 31, 2014, the fund had available capital losses totaling $1,943,841,000 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 $997,684,000 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.
At December 31, 2014, the cost of investment securities for tax purposes was $37,452,371,000. Net unrealized appreciation of investment securities for tax purposes was $13,466,214,000, consisting of unrealized gains of $15,352,056,000 on securities that had risen in value since their purchase and $1,885,842,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended December 31, 2014, the fund purchased $12,929,823,000 of investment securities and sold $9,146,593,000 of investment securities, other than temporary cash investments. Purchases and sales include $5,307,409,000 and $4,575,749,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
| G. Capital share transactions for each class of shares were: | ||||
| Year Ended December 31, | ||||
| 2014 | 2013 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| Investor Shares | ||||
| Issued | 851,229 | 15,868 | 1,042,480 | 22,850 |
| Issued in Lieu of Cash Distributions | 55,933 | 1,007 | 56,809 | 1,090 |
| Redeemed | (1,620,686) | (30,084) | (1,239,844) | (26,671) |
| Net Increase (Decrease)—Investor Shares | (713,524) | (13,209) | (140,555) | (2,731) |
| Admiral Shares | ||||
| Issued1 | 10,602,930 | 197,427 | 1,852,237 | 39,626 |
| Issued in Lieu of Cash Distributions | 257,067 | 4,627 | 117,877 | 2,260 |
| Redeemed | (1,928,593) | (35,574) | (859,982) | (18,566) |
| Net Increase (Decrease)—Admiral Shares | 8,931,404 | 166,480 | 1,110,132 | 23,320 |
| Signal Shares | ||||
| Issued | 1,290,733 | 26,829 | 2,803,375 | 67,822 |
| Issued in Lieu of Cash Distributions | 563 | 12 | 86,598 | 1,843 |
| Redeemed1 | (8,764,511) | (181,622) | (1,648,543) | (38,841) |
| Net Increase (Decrease)—Signal Shares | (7,473,215) | (154,781) | 1,241,430 | 30,824 |
| Institutional Shares | ||||
| Issued | 2,788,243 | 51,626 | 2,730,652 | 59,376 |
| Issued in Lieu of Cash Distributions | 127,690 | 2,297 | 109,774 | 2,105 |
| Redeemed | (2,681,597) | (49,632) | (1,891,524) | (40,878) |
| Net Increase (Decrease)—Institutional Shares | 234,336 | 4,291 | 948,902 | 20,603 |
33
Small-Cap Index Fund
| Year Ended December 31, | ||||
| 2014 | 2013 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| Institutional Plus Shares | ||||
| Issued | 2,060,025 | 13,223 | 1,629,864 | 12,227 |
| Issued in Lieu of Cash Distributions | 86,737 | 541 | 56,601 | 376 |
| Redeemed | (752,155) | (4,820) | (772,090) | (5,966) |
| Net Increase (Decrease) —Institutional Plus Shares | 1,394,607 | 8,944 | 914,375 | 6,637 |
| ETF Shares | ||||
| Issued | 5,781,785 | 50,837 | 4,397,170 | 44,397 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (4,708,494) | (41,200) | (2,841,991) | (27,700) |
| Net Increase (Decrease)—ETF Shares | 1,073,291 | 9,637 | 1,555,179 | 16,697 |
1 Admiral Shares Issued and Signal Shares Redeemed include $4,639,074,000 from the conversion of Signal Shares to Admiral Shares during the 2014 fiscal year.
H. Management has determined that no material events or transactions occurred subsequent to December 31, 2014, that would require recognition or disclosure in these financial statements.
34
| Small-Cap Growth Index Fund | ||||
| Fund Profile | ||||
| As of December 31, 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 | 0.70% | 0.84% | 0.86% | 0.84% |
| Portfolio Characteristics | |||
| DJ | |||
| CRSP US | U.S. | ||
| Small Cap | Total | ||
| Growth | Market | ||
| Fund | Index FA Index | ||
| Number of Stocks | 746 | 735 | 3,776 |
| Median Market Cap | $3.4B | $3.4B | $48.1B |
| Price/Earnings Ratio | 39.9x | 39.7x | 20.6x |
| Price/Book Ratio | 3.4x | 3.4x | 2.7x |
| Return on Equity | 11.8% | 11.7% | 17.8% |
| Earnings Growth | |||
| Rate | 18.0% | 18.0% | 15.4% |
| Dividend Yield | 0.9% | 0.9% | 1.9% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | 26% | — | — |
| Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure)
| CRSP US | DJ | ||
| Small Cap | U.S. Total | ||
| Growth | Market | ||
| Fund | Index | FA Index | |
| Basic Materials | 2.7% | 2.7% | 2.8% |
| Consumer Goods | 8.6 | 8.6 | 9.9 |
| Consumer Services | 14.3 | 14.3 | 13.6 |
| Financials | 19.2 | 19.2 | 19.0 |
| Health Care | 15.6 | 15.6 | 13.5 |
| Industrials | 18.3 | 18.3 | 12.6 |
| Oil & Gas | 3.9 | 3.9 | 7.5 |
| Technology | 16.7 | 16.7 | 15.8 |
| Telecommunications | 0.1 | 0.1 | 2.0 |
| 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 | 0.80 |
| 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)
| Alkermes plc | Pharmaceuticals | 0.6% |
| Cooper Cos. Inc. | Medical Supplies | 0.6 |
| Cubist Pharmaceuticals | ||
| Inc. | Biotechnology | 0.6 |
| Harman International | Consumer | |
| Industries Inc. | Electronics | 0.5 |
| Isis Pharmaceuticals Inc. Biotechnology | 0.5 | |
| WP Carey Inc. | Diversified REITs | 0.5 |
| Duke Realty Corp. | Industrial & Office | |
| REITs | 0.5 | |
| Brookdale Senior Living | Health Care | |
| Inc. | Providers | 0.5 |
| MEDNAX Inc. | Health Care | |
| Providers | 0.5 | |
| Extra Space Storage Inc. Specialty REITs | 0.5 | |
| Top Ten | 5.3% | |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratios shown are from the prospectus dated April 28, 2014, and represent estimated costs for the current fiscal year. For the fiscal year ended December 31, 2014, the expense ratios were 0.23% for Investor Shares, 0.09% for Admiral Shares, 0.08% for Institutional Shares, and 0.09% for ETF Shares.
35
Small-Cap Growth Index Fund
Investment Focus
36
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.
Cumulative Performance: December 31, 2004, Through December 31, 2014
Initial Investment of $10,000
| Average Annual Total Returns | |||||
| Periods Ended December 31, 2014 | |||||
| Final Value | |||||
| One | Five | Ten | of a $10,000 | ||
| Year | Years | Years | Investment | ||
| Small-Cap Growth Index | |||||
| Fund*Investor Shares | 3.88% | 16.72% | 9.41% | $24,584 | |
| •••••••• | Spliced Small-Cap Growth Index | 3.98 | 16.76 | 9.44 | 24,653 |
| – – – – | Small-Cap Growth Funds Average | 2.33 | 15.02 | 7.18 | 20,008 |
| Dow Jones U.S. Total Stock Market | |||||
| Float Adjusted Index | 12.47 | 15.72 | 8.09 | 21,779 | |
| For a benchmark description, see the Glossary. | |||||
| Small-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |||||
| Since | Final Value | ||||
| One | Inception | of a $10,000 | |||
| Year | (9/27/2011) | Investment | |||
| Small-Cap Growth Index Fund Admiral Shares | 4.02% | 20.29% | $18,265 | ||
| Spliced Small-Cap Growth Index | 3.98 | 20.16 | 18,199 | ||
| Dow Jones U.S. Total Stock Market Float | |||||
| Adjusted Index | 12.47 | 21.37 | 18,801 | ||
| "Since Inception" performance is calculated from the Admiral Shares’ inception date for both the fund and its comparative standards. | |||||
See Financial Highlights for dividend and capital gains information.
37
Small-Cap Growth Index Fund
| Average Annual Total Returns | ||||
| Periods Ended December 31, 2014 | ||||
| Final Value | ||||
| One | Five | Ten | of a $5,000,000 | |
| Year | Years | Years | Investment | |
| Small-Cap Growth Index Fund Institutional | ||||
| Shares | 4.04% | 16.92% | 9.59% | $12,495,392 |
| Spliced Small-Cap Growth Index | 3.98 | 16.76 | 9.44 | 12,326,611 |
| Dow Jones U.S. Total Stock Market Float | ||||
| Adjusted Index | 12.47 | 15.72 | 8.09 | 10,889,319 |
| Final Value | ||||
| One | Five | Ten | of a $10,000 | |
| Year | Years | Years | Investment | |
| Small-Cap Growth Index Fund | ||||
| ETF Shares Net Asset Value | 4.02% | 16.89% | 9.55% | $24,900 |
| Spliced Small-Cap Growth Index | 3.98 | 16.76 | 9.44 | 24,653 |
| Dow Jones U.S. Total Stock Market Float | ||||
| Adjusted Index | 12.47 | 15.72 | 8.09 | 21,779 |
| Cumulative Returns of ETF Shares: December 31, 2004, Through December 31, 2014 | |||
| One | Five | Ten | |
| Year | Years | Years | |
| Small-Cap Growth Index Fund ETF Shares Market | |||
| Price | 4.06% | 118.45% | 149.50% |
| Small-Cap Growth Index Fund ETF Shares Net | |||
| Asset Value | 4.02 | 118.20 | 149.00 |
| Spliced Small-Cap Growth Index | 3.98 | 117.02 | 146.53 |
Fiscal-Year Total Returns (%): December 31, 2004, Through December 31, 2014
38
Small-Cap Growth Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of December 31, 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 † | 415,223 | 2.7% | |
| Consumer Goods | |||
| Harman International Industries Inc. | 784,927 | 83,760 | 0.5% |
| * WhiteWave Foods Co. Class A | 1,998,785 | 69,937 | 0.5% |
| * Hain Celestial Group Inc. | 1,155,418 | 67,349 | 0.4% |
| * Middleby Corp. | 656,463 | 65,055 | 0.4% |
| * Toll Brothers Inc. | 1,835,646 | 62,908 | 0.4% |
| Gentex Corp. | 1,594,285 | 57,602 | 0.4% |
| Brunswick Corp. | 1,065,033 | 54,594 | 0.4% |
| Consumer Goods—Other † | 858,312 | 5.6% | |
| 1,319,517 | 8.6% | ||
| Consumer Services | |||
| * Spirit Airlines Inc. | 834,155 | 63,045 | 0.4% |
| Domino’s Pizza Inc. | 629,832 | 59,311 | 0.4% |
| * Madison Square Garden Co. Class A | 732,341 | 55,116 | 0.4% |
| * Sally Beauty Holdings Inc. | 1,779,044 | 54,688 | 0.4% |
| Dick’s Sporting Goods Inc. | 1,085,527 | 53,896 | 0.3% |
| Consumer Services—Other † | 1,869,246 | 12.2% | |
| 2,155,302 | 14.1% | ||
| Financials | |||
| WP Carey Inc. | 1,131,553 | 79,322 | 0.5% |
| Duke Realty Corp. | 3,914,700 | 79,077 | 0.5% |
| Extra Space Storage Inc. | 1,266,888 | 74,290 | 0.5% |
| * Signature Bank | 547,938 | 69,018 | 0.5% |
| Regency Centers Corp. | 1,068,877 | 68,173 | 0.5% |
| * SVB Financial Group | 582,226 | 67,579 | 0.4% |
| Kilroy Realty Corp. | 964,018 | 66,585 | 0.4% |
| DDR Corp. | 3,512,439 | 64,488 | 0.4% |
| CBOE Holdings Inc. | 967,506 | 61,359 | 0.4% |
39
| Small-Cap Growth Index Fund | ||||
| Market | Percentage | |||
| Value• | of Net | |||
| Shares | ($000) | Assets | ||
| Taubman Centers Inc. | 689,184 | 52,667 | 0.4% | |
| LaSalle Hotel Properties | 1,280,053 | 51,804 | 0.3% | |
| Financials—Other † | 2,252,991 | 14.7% | ||
| 2,987,353 | 19.5% | |||
| Health Care | ||||
| * | Alkermes plc | 1,675,535 | 98,119 | 0.6% |
| Cooper Cos. Inc. | 553,413 | 89,703 | 0.6% | |
| * | Cubist Pharmaceuticals Inc. | 874,111 | 87,979 | 0.6% |
| * | Isis Pharmaceuticals Inc. | 1,352,911 | 83,529 | 0.5% |
| * | Brookdale Senior Living Inc. | 2,101,184 | 77,050 | 0.5% |
| * | MEDNAX Inc. | 1,150,336 | 76,049 | 0.5% |
| * | United Therapeutics Corp. | 517,348 | 66,991 | 0.4% |
| * | Centene Corp. | 605,295 | 62,860 | 0.4% |
| * | Puma Biotechnology Inc. | 293,469 | 55,545 | 0.4% |
| * | Sirona Dental Systems Inc. | 634,398 | 55,427 | 0.4% |
| Health Care—Other † | 1,631,734 | 10.6% | ||
| 2,384,986 | 15.5% | |||
| Industrials | ||||
| Acuity Brands Inc. | 496,845 | 69,593 | 0.4% | |
| * | CoStar Group Inc. | 352,291 | 64,691 | 0.4% |
| * | Keysight Technologies Inc. | 1,911,666 | 64,557 | 0.4% |
| * | Old Dominion Freight Line Inc. | 790,164 | 61,348 | 0.4% |
| Waste Connections Inc. | 1,351,756 | 59,464 | 0.4% | |
| Jack Henry & Associates Inc. | 937,405 | 58,250 | 0.4% | |
| * | Vantiv Inc. Class A | 1,675,183 | 56,822 | 0.4% |
| * | HD Supply Holdings Inc. | 1,910,282 | 56,334 | 0.4% |
| Lincoln Electric Holdings Inc. | 800,573 | 55,312 | 0.4% | |
| Graco Inc. | 681,336 | 54,630 | 0.4% | |
| Industrials—Other † | 2,199,330 | 14.3% | ||
| 2,800,331 | 18.3% | |||
| Oil & Gas † | 604,777 | 3.9% | ||
| Technology | ||||
| CDK Global Inc. | 1,747,459 | 71,226 | 0.5% | |
| * | Cadence Design Systems Inc. | 3,355,713 | 63,658 | 0.4% |
| * | athenahealth Inc. | 436,686 | 63,625 | 0.4% |
| * | SunEdison Inc. | 2,950,908 | 57,572 | 0.4% |
| * | TriQuint Semiconductor Inc. | 2,032,442 | 55,994 | 0.4% |
| IAC/InterActiveCorp | 893,779 | 54,333 | 0.3% | |
| Technology—Other † | 2,187,342 | 14.2% | ||
| 2,553,750 | 16.6% | |||
| Telecommunications † | 18,476 | 0.1% | ||
| Utilities | ||||
| ITC Holdings Corp. | 1,785,311 | 72,180 | 0.5% | |
| Utilities—Other † | 15,098 | 0.1% | ||
| 87,278 | 0.6% | |||
| Total Common Stocks (Cost $11,511,595) | 15,326,993 | 99.9%1 | ||
40
| 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 | 0.126% | 251,397,865 | 251,398 | 1.6% |
| 4U.S. Government and Agency Obligations † | 6,998 | 0.1% | ||
| Total Temporary Cash Investments (Cost $258,396) | 258,396 | 1.7%1 | ||
| 5Total Investments (Cost $11,769,991) | 15,585,389 | 101.6% | ||
| Other Assets and Liabilities | ||||
| Other Assets | 65,270 | 0.4% | ||
| Liabilities3 | (305,961) | (2.0%) | ||
| (240,691) | (1.6%) | |||
| Net Assets | 15,344,698 | 100.0% | ||
| At December 31, 2014, net assets consisted of: | ||||
| Amount | ||||
| ($000) | ||||
| Paid-in Capital | 12,273,662 | |||
| Overdistributed Net Investment Income | (6,808) | |||
| Accumulated Net Realized Losses | (738,538) | |||
| Unrealized Appreciation (Depreciation) | ||||
| Investment Securities | 3,815,398 | |||
| Futures Contracts | 984 | |||
| Net Assets | 15,344,698 | |||
| Investor Shares—Net Assets | ||||
| Applicable to 65,691,135 outstanding $.001 par value shares of | ||||
| beneficial interest (unlimited authorization) | 2,325,748 | |||
| Net Asset Value Per Share—Investor Shares | $35.40 | |||
| Admiral Shares—Net Assets | ||||
| Applicable to 122,764,646 outstanding $.001 par value shares of | ||||
| beneficial interest (unlimited authorization) | 5,433,857 | |||
| Net Asset Value Per Share—Admiral Shares | $44.26 | |||
| Institutional Shares—Net Assets | ||||
| Applicable to 103,964,880 outstanding $.001 par value shares of | ||||
| beneficial interest (unlimited authorization) | 3,685,315 | |||
| Net Asset Value Per Share—Institutional Shares | $35.45 | |||
41
| Small-Cap Growth Index Fund | |
| Amount | |
| ($000) | |
| ETF Shares—Net Assets | |
| Applicable to 30,979,373 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 3,899,778 |
| Net Asset Value Per Share—ETF Shares | $125.88 |
• 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 $229,896,000 of collateral received for securities on loan.
4 Securities with a value of $1,499,000 have been segregated as initial margin for open futures contracts.
5 The total value of securities on loan is $215,878,000.
See accompanying Notes, which are an integral part of the Financial Statements.
42
| Small-Cap Growth Index Fund | |
| Statement of Operations | |
| Year Ended | |
| December 31, 2014 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends | 150,926 |
| Interest1 | 43 |
| Securities Lending | 17,517 |
| Total Income | 168,486 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 1,897 |
| Management and Administrative—Investor Shares | 4,791 |
| Management and Administrative—Admiral Shares | 2,907 |
| Management and Administrative—Institutional Shares | 1,563 |
| Management and Administrative—ETF Shares | 1,951 |
| Marketing and Distribution—Investor Shares | 650 |
| Marketing and Distribution—Admiral Shares | 984 |
| Marketing and Distribution—Institutional Shares | 861 |
| Marketing and Distribution—ETF Shares | 741 |
| Custodian Fees | 283 |
| Auditing Fees | 40 |
| Shareholders’ Reports—Investor Shares | 62 |
| Shareholders’ Reports—Admiral Shares | 35 |
| Shareholders’ Reports—Institutional Shares | 47 |
| Shareholders’ Reports—ETF Shares | 156 |
| Trustees’ Fees and Expenses | 12 |
| Total Expenses | 16,980 |
| Net Investment Income | 151,506 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 612,525 |
| Futures Contracts | 900 |
| Realized Net Gain (Loss) | 613,425 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | (166,245) |
| Futures Contracts | 301 |
| Change in Unrealized Appreciation (Depreciation) | (165,944) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 598,987 |
| 1 Interest income from an affiliated company of the fund was $38,000. | |
| See accompanying Notes, which are an integral part of the Financial Statements. | |
43
| Small-Cap Growth Index Fund | ||
| Statement of Changes in Net Assets | ||
| Year Ended December 31, | ||
| 2014 | 2013 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 151,506 | 93,647 |
| Realized Net Gain (Loss) | 613,425 | 913,713 |
| Change in Unrealized Appreciation (Depreciation) | (165,944) | 2,952,175 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 598,987 | 3,959,535 |
| Distributions | ||
| Net Investment Income | ||
| Investor Shares | (20,119) | (13,753) |
| Admiral Shares | (54,091) | (31,388) |
| Institutional Shares | (37,186) | (24,532) |
| ETF Shares | (39,218) | (23,474) |
| Realized Capital Gain | ||
| Investor Shares | — | — |
| Admiral Shares | — | — |
| Institutional Shares | — | — |
| ETF Shares | — | — |
| Total Distributions | (150,614) | (93,147) |
| Capital Share Transactions | ||
| Investor Shares | (601,893) | (738,905) |
| Admiral Shares | 399,387 | 1,252,154 |
| Institutional Shares | (242,092) | 609,367 |
| ETF Shares | 141,108 | 510,887 |
| Net Increase (Decrease) from Capital Share Transactions | (303,490) | 1,633,503 |
| Total Increase (Decrease) | 144,883 | 5,499,891 |
| Net Assets | ||
| Beginning of Period | 15,199,815 | 9,699,924 |
| End of Period1 | 15,344,698 | 15,199,815 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($6,808,000) and ($7,700,000).
See accompanying Notes, which are an integral part of the Financial Statements.
44
| Small-Cap Growth Index Fund | |||||
| Financial Highlights | |||||
| Investor Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $34.37 | $25.03 | $21.49 | $21.92 | $16.83 |
| Investment Operations | |||||
| Net Investment Income | . 303 | .168 | .223 | .086 | .075 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 1.029 | 9.336 | 3.541 | (.431) | 5.091 |
| Total from Investment Operations | 1.332 | 9.504 | 3.764 | (.345) | 5.166 |
| Distributions | |||||
| Dividends from Net Investment Income | (. 302) | (.164) | (. 224) | (. 085) | (.076) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (. 302) | (.164) | (. 224) | (. 085) | (.076) |
| Net Asset Value, End of Period | $35.40 | $34.37 | $25.03 | $21.49 | $21.92 |
| Total Return1 | 3.88% | 37.98% | 17.52% | -1.58% | 30.69% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $2,326 | $2,859 | $2,649 | $2,613 | $4,229 |
| Ratio of Total Expenses to Average Net Assets | 0.23% | 0.24% | 0.24% | 0.24% | 0.26% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 0.87% | 0.63% | 0.97% | 0.37% | 0.43% |
| Portfolio Turnover Rate2 | 26% | 50% | 37% | 40% | 34% |
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.
45
| Small-Cap Growth Index Fund | ||||
| Financial Highlights | ||||
| Admiral Shares | ||||
| Sept. 27, | ||||
| 20111 to | ||||
| Year Ended 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 | . 449 | . 284 | .326 | .031 |
| Net Realized and Unrealized Gain (Loss) on Investments | 1.277 | 11.676 | 4.420 | 1.962 |
| Total from Investment Operations | 1.726 | 11.960 | 4.746 | 1.993 |
| Distributions | ||||
| Dividends from Net Investment Income | (.446) | (.280) | (. 326) | (.113) |
| Distributions from Realized Capital Gains | — | — | — | — |
| Total Distributions | (.446) | (.280) | (. 326) | (.113) |
| Net Asset Value, End of Period | $44.26 | $42.98 | $31.30 | $26.88 |
| Total Return2 | 4.02% | 38.22% | 17.66% | 7.97% |
| Ratios/Supplemental Data | ||||
| Net Assets, End of Period (Millions) | $5,434 | $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 | 1.01% | 0.78% | 1.11% | 0.51%3 |
| Portfolio Turnover Rate 4 | 26% | 50% | 37% | 40% |
| 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.
46
| Small-Cap Growth Index Fund | |||||
| Financial Highlights | |||||
| Institutional Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $34.42 | $25.07 | $21.53 | $21.96 | $16.85 |
| Investment Operations | |||||
| Net Investment Income | .362 | .229 | .265 | .125 | .107 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 1.028 | 9.346 | 3.540 | (.432) | 5.111 |
| Total from Investment Operations | 1.390 | 9.575 | 3.805 | (.307) | 5.218 |
| Distributions | |||||
| Dividends from Net Investment Income | (. 360) | (. 225) | (. 265) | (.123) | (.108) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (. 360) | (. 225) | (. 265) | (.123) | (.108) |
| Net Asset Value, End of Period | $35.45 | $34.42 | $25.07 | $21.53 | $21.96 |
| Total Return | 4.04% | 38.20% | 17.68% | -1.40% | 30.96% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $3,685 | $3,823 | $2,302 | $1,622 | $1,527 |
| Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 1.02% | 0.79% | 1.13% | 0.53% | 0.61% |
| Portfolio Turnover Rate1 | 26% | 50% | 37% | 40% | 34% |
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.
47
| Small-Cap Growth Index Fund | |||||
| Financial Highlights | |||||
| ETF Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $122.23 | $89.03 | $76.45 | $77.98 | $59.86 |
| Investment Operations | |||||
| Net Investment Income | 1.277 | .802 | .925 | .424 | . 360 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 3.643 | 33.188 | 12.578 | (1.535) | 18.121 |
| Total from Investment Operations | 4.920 | 33.990 | 13.503 | (1.111) | 18.481 |
| Distributions | |||||
| Dividends from Net Investment Income | (1.270) | (.790) | (. 923) | (. 419) | (. 361) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.270) | (.790) | (. 923) | (. 419) | (. 361) |
| Net Asset Value, End of Period | $125.88 | $122.23 | $89.03 | $76.45 | $77.98 |
| Total Return | 4.02% | 38.18% | 17.67% | -1.43% | 30.87% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $3,900 | $3,637 | $2,209 | $1,857 | $1,842 |
| Ratio of Total Expenses to Average Net Assets | 0.09% | 0.09% | 0.10% | 0.10% | 0.12% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 1.01% | 0.78% | 1.11% | 0.51% | 0.57% |
| Portfolio Turnover Rate1 | 26% | 50% | 37% | 40% | 34% |
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.
48
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 settlement values 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).
49
Small-Cap Growth Index Fund
During the year ended December 31, 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, 2011–2014), 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 December 31, 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
50
Small-Cap Growth Index Fund
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 invest up to 0.40% of its net assets in Vanguard. At December 31, 2014, the fund had contributed capital of $1,453,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.58% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
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 December 31, 2014, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 15,326,993 | — | — |
| Temporary Cash Investments | 251,398 | 6,998 | — |
| Futures Contracts—Assets1 | 109 | — | — |
| Futures Contracts—Liabilities1 | (409) | — | — |
| Total | 15,578,091 | 6,998 | — |
| 1 Represents variation margin on the last day of the reporting period. |
51
Small-Cap Growth Index Fund
D. At December 31, 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 | March 2015 | 204 | 24,494 | 984 |
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 year ended December 31, 2014, the fund realized $815,621,000 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.
For tax purposes, at December 31, 2014, the fund had $2,910,000 of ordinary income available for distribution. At December 31, 2014, the fund had available capital losses totaling $735,897,000 to offset future net capital gains. Of this amount, $504,200,000 is subject to expiration dates; $243,082,000 may be used to offset future net capital gains through December 31, 2017, and $261,118,000 through December 31, 2018. Capital losses of $231,697,000 realized beginning in fiscal 2011 be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, but must be used before any expiring loss carryforwards.
At December 31, 2014, the cost of investment securities for tax purposes was $11,771,644,000. Net unrealized appreciation of investment securities for tax purposes was $3,813,745,000, consisting of unrealized gains of $4,428,047,000 on securities that had risen in value since their purchase and $614,302,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended December 31, 2014, the fund purchased $5,832,910,000 of investment securities and sold $6,119,087,000 of investment securities, other than temporary cash investments. Purchases and sales include $1,811,505,000 and $1,859,119,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
52
Small-Cap Growth Index Fund
| G. Capital share transactions for each class of shares were: | ||||
| Year Ended December 31, | ||||
| 2014 | 2013 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| Investor Shares | ||||
| Issued | 538,287 | 15,576 | 885,186 | 29,970 |
| Issued in Lieu of Cash Distributions | 18,576 | 526 | 12,789 | 375 |
| Redeemed | (1,158,756) | (33,579) | (1,636,880) | (53,015) |
| Net Increase (Decrease)—Investor Shares | (601,893) | (17,477) | (738,905) | (22,670) |
| Admiral Shares | ||||
| Issued | 1,547,647 | 35,829 | 1,872,580 | 48,848 |
| Issued in Lieu of Cash Distributions | 50,550 | 1,144 | 29,408 | 691 |
| Redeemed | (1,198,810) | (27,773) | (649,834) | (17,093) |
| Net Increase (Decrease) —Admiral Shares | 399,387 | 9,200 | 1,252,154 | 32,446 |
| Institutional Shares | ||||
| Issued | 668,519 | 19,413 | 1,119,510 | 36,742 |
| Issued in Lieu of Cash Distributions | 36,304 | 1,026 | 23,841 | 699 |
| Redeemed | (946,915) | (27,558) | (533,984) | (18,199) |
| Net Increase (Decrease)—Institutional Shares | (242,092) | (7,119) | 609,367 | 19,242 |
| ETF Shares | ||||
| Issued | 2,016,134 | 16,221 | 1,903,832 | 17,142 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (1,875,026) | (15,000) | (1,392,945) | (12,200) |
| Net Increase (Decrease) —ETF Shares | 141,108 | 1,221 | 510,887 | 4,942 |
H. Management has determined that no material events or transactions occurred subsequent to December 31, 2014, that would require recognition or disclosure in these financial statements.
53
| Small-Cap Value Index Fund | ||||
| Fund Profile | ||||
| As of December 31, 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 | 1.68% | 1.82% | 1.84% | 1.82% |
| Portfolio Characteristics | |||
| DJ | |||
| U.S. | |||
| CRSP US | Total | ||
| Small Cap | Market | ||
| Fund | Value Index | FA Index | |
| Number of Stocks | 829 | 822 | 3,776 |
| Median Market Cap | $3.2B | $3.2B | $48.1B |
| Price/Earnings Ratio | 20.9x | 20.9x | 20.6x |
| Price/Book Ratio | 1.9x | 1.9x | 2.7x |
| Return on Equity | 11.2% | 11.2% | 17.8% |
| Earnings Growth | |||
| Rate | 12.0% | 12.0% | 15.4% |
| Dividend Yield | 1.9% | 1.9% | 1.9% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | 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 | 5.0% | 5.0% | 2.8% |
| Consumer Goods | 6.6 | 6.6 | 9.9 |
| Consumer Services | 13.4 | 13.4 | 13.6 |
| Financials | 30.2 | 30.2 | 19.0 |
| Health Care | 5.8 | 5.8 | 13.5 |
| Industrials | 20.4 | 20.4 | 12.6 |
| Oil & Gas | 3.7 | 3.7 | 7.5 |
| Technology | 7.8 | 7.8 | 15.8 |
| Telecommunications | 0.4 | 0.4 | 2.0 |
| Utilities | 6.7 | 6.7 | 3.3 |
| Volatility Measures | ||
| DJ | ||
| Spliced | U.S. Total | |
| Small-Cap | Market | |
| Value Index | FA Index | |
| R-Squared | 1.00 | 0.87 |
| Beta | 1.00 | 1.17 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
Ten Largest Holdings (% of total net assets)
| Snap-on Inc. | Durable Household | |
| Products | 0.5% | |
| Alaska Air Group Inc. | Airlines | 0.5 |
| Goodyear Tire & Rubber | ||
| Co. | Tires | 0.5 |
| Arthur J Gallagher & Co. | Property & Casualty | |
| Insurance | 0.5 | |
| Rite Aid Corp. | Drug Retailers | 0.5 |
| Gannett Co. Inc. | Publishing | 0.5 |
| Omnicare Inc. | Drug Retailers | 0.5 |
| Avis Budget Group Inc. | Travel & Tourism | 0.5 |
| RPM International Inc. | Specialty Chemicals | 0.4 |
| UGI Corp. | Gas Distribution | 0.4 |
| Top Ten | 4.8% |
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 fiscal year ended December 31, 2014, the expense ratios were 0.23% for Investor Shares, 0.09% for Admiral Shares, 0.08% for Institutional Shares, and 0.09% for ETF Shares.
54
Small-Cap Value Index Fund
Investment Focus
55
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.
Cumulative Performance: December 31, 2004, Through December 31, 2014
Initial Investment of $10,000
| Average Annual Total Returns | |||||
| Periods Ended December 31, 2014 | |||||
| Final Value | |||||
| One | Five | Ten | of a $10,000 | ||
| Year | Years | Years | Investment | ||
| Small-Cap Value Index Fund*Investor | |||||
| Shares | 10.39% | 16.39% | 8.32% | $22,230 | |
| •••••••• | Spliced Small-Cap Value Index | 10.63 | 16.59 | 8.45 | 22,515 |
| – – – – | Small-Cap Value Funds Average | 3.37 | 14.38 | 7.09 | 19,831 |
| Dow Jones U.S. Total Stock Market | |||||
| Float Adjusted Index | 12.47 | 15.72 | 8.09 | 21,779 | |
| For a benchmark description, see the Glossary. | |||||
| Small-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |||||
| Since | Final Value | ||||
| One | Inception | of a $10,000 | |||
| Year | (9/27/2011) | Investment | |||
| Small-Cap Value Index Fund Admiral Shares | 10.55% | 23.18% | $19,735 | ||
| Spliced Small-Cap Value Index | 10.63 | 23.25 | 19,769 | ||
| Dow Jones U.S. Total Stock Market Float | |||||
| Adjusted Index | 12.47 | 21.37 | 18,801 | ||
| "Since Inception" performance is calculated from the Admiral Shares’ inception date for both the fund and its comparative standards. | |||||
See Financial Highlights for dividend and capital gains information.
56
Small-Cap Value Index Fund
| Average Annual Total Returns | ||||
| Periods Ended December 31, 2014 | ||||
| Final Value | ||||
| One | Five | Ten | of a $5,000,000 | |
| Year | Years | Years | Investment | |
| Small-Cap Value Index Fund Institutional | ||||
| Shares | 10.59% | 16.57% | 8.50% | $11,305,193 |
| Spliced Small-Cap Value Index | 10.63 | 16.59 | 8.45 | 11,257,402 |
| Dow Jones U.S. Total Stock Market Float | ||||
| Adjusted Index | 12.47 | 15.72 | 8.09 | 10,889,319 |
| Final Value | ||||
| One | Five | Ten | of a $10,000 | |
| Year | Years | Years | Investment | |
| Small-Cap Value Index Fund | ||||
| ETF Shares Net Asset Value | 10.55% | 16.55% | 8.46% | $22,520 |
| Spliced Small-Cap Value Index | 10.63 | 16.59 | 8.45 | 22,515 |
| Dow Jones U.S. Total Stock Market Float | ||||
| Adjusted Index | 12.47 | 15.72 | 8.09 | 21,779 |
Cumulative Returns of ETF Shares: December 31, 2004, Through December 31, 2014
| One | Five | Ten | |
| Year | Years | Years | |
| Small-Cap Value Index Fund ETF Shares Market | |||
| Price | 10.54% | 115.14% | 125.71% |
| Small-Cap Value Index Fund ETF Shares Net Asset | |||
| Value | 10.55 | 115.04 | 125.20 |
| Spliced Small-Cap Value Index | 10.63 | 115.46 | 125.15 |
Fiscal-Year Total Returns (%): December 31, 2004, Through December 31, 2014
57
Small-Cap Value Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of December 31, 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. | 1,281,492 | 64,984 | 0.4% |
| Rockwood Holdings Inc. | 684,348 | 53,927 | 0.4% |
| Basic Materials—Other † | 623,278 | 4.2% | |
| 742,189 | 5.0% | ||
| Consumer Goods | |||
| Snap-on Inc. | 557,891 | 76,286 | 0.5% |
| Goodyear Tire & Rubber Co. | 2,635,839 | 75,306 | 0.5% |
| Ingredion Inc. | 690,007 | 58,540 | 0.4% |
| Leggett & Platt Inc. | 1,321,410 | 56,305 | 0.4% |
| * Visteon Corp. | 425,438 | 45,462 | 0.3% |
| Consumer Goods—Other † | 661,168 | 4.4% | |
| 973,067 | 6.5% | ||
| Consumer Services | |||
| Alaska Air Group Inc. | 1,273,321 | 76,094 | 0.5% |
| * Rite Aid Corp. | 9,421,877 | 70,852 | 0.5% |
| Gannett Co. Inc. | 2,168,078 | 69,227 | 0.5% |
| Omnicare Inc. | 939,802 | 68,540 | 0.5% |
| * Avis Budget Group Inc. | 1,020,051 | 67,660 | 0.4% |
| KAR Auction Services Inc. | 1,352,480 | 46,863 | 0.3% |
| * Office Depot Inc. | 5,172,010 | 44,350 | 0.3% |
| Consumer Services—Other † | 1,544,995 | 10.4% | |
| 1,988,581 | 13.4% | ||
| Financials | |||
| Arthur J Gallagher & Co. | 1,549,263 | 72,939 | 0.5% |
| Liberty Property Trust | 1,426,260 | 53,670 | 0.4% |
| East West Bancorp Inc. | 1,378,321 | 53,355 | 0.4% |
| Protective Life Corp. | 761,365 | 53,029 | 0.4% |
| Apartment Investment & Management Co. Class A | 1,387,696 | 51,553 | 0.3% |
| HCC Insurance Holdings Inc. | 929,469 | 49,745 | 0.3% |
| Starwood Property Trust Inc. | 2,135,502 | 49,629 | 0.3% |
58
| Small-Cap Value Index Fund | ||||
| Market | Percentage | |||
| Value• | of Net | |||
| Shares | ($000) | Assets | ||
| National Retail Properties Inc. | 1,259,595 | 49,590 | 0.3% | |
| * | Liberty Ventures Class A | 1,290,199 | 48,666 | 0.3% |
| Hospitality Properties Trust | 1,439,349 | 44,620 | 0.3% | |
| Financials—Other † | 3,939,426 | 26.5% | ||
| 4,466,222 | 30.0% | |||
| Health Care | ||||
| * | Community Health Systems Inc. | 1,061,090 | 57,214 | 0.4% |
| * | Covance Inc. | 543,318 | 56,418 | 0.4% |
| * | Tenet Healthcare Corp. | 943,702 | 47,817 | 0.3% |
| Teleflex Inc. | 397,497 | 45,641 | 0.3% | |
| Health Care—Other † | 659,405 | 4.4% | ||
| 866,495 | 5.8% | |||
| Industrials | ||||
| * | Flextronics International Ltd. | 5,558,561 | 62,145 | 0.4% |
| Valspar Corp. | 716,037 | 61,923 | 0.4% | |
| IDEX Corp. | 762,424 | 59,347 | 0.4% | |
| * | Spirit AeroSystems Holdings Inc. Class A | 1,355,274 | 58,331 | 0.4% |
| Carlisle Cos. Inc. | 616,164 | 55,603 | 0.4% | |
| Total System Services Inc. | 1,606,466 | 54,556 | 0.4% | |
| Broadridge Financial Solutions Inc. | 1,152,410 | 53,218 | 0.4% | |
| Global Payments Inc. | 649,501 | 52,434 | 0.4% | |
| Huntington Ingalls Industries Inc. | 463,749 | 52,153 | 0.3% | |
| Allegion plc | 919,256 | 50,982 | 0.3% | |
| PerkinElmer Inc. | 1,084,747 | 47,436 | 0.3% | |
| Ryder System Inc. | 509,351 | 47,293 | 0.3% | |
| * | AECOM Technology Corp. | 1,477,155 | 44,861 | 0.3% |
| Industrials—Other † | 2,322,606 | 15.6% | ||
| 3,022,888 | 20.3% | |||
| Oil & Gas † | 543,669 | 3.7% | ||
| 1Other † | 11,655 | 0.1% | ||
| Technology | ||||
| Brocade Communications Systems Inc. | 4,147,970 | 49,112 | 0.4% | |
| Pitney Bowes Inc. | 1,929,949 | 47,033 | 0.3% | |
| * | NCR Corp. | 1,536,177 | 44,764 | 0.3% |
| Technology—Other † | 1,015,169 | 6.8% | ||
| 1,156,078 | 7.8% | |||
| Telecommunications † | 67,220 | 0.4% | ||
| Utilities | ||||
| UGI Corp. | 1,655,034 | 62,858 | 0.4% | |
| AGL Resources Inc. | 1,148,056 | 62,581 | 0.4% | |
| Atmos Energy Corp. | 963,991 | 53,733 | 0.4% | |
| Westar Energy Inc. Class A | 1,255,253 | 51,767 | 0.4% | |
| TECO Energy Inc. | 2,253,568 | 46,176 | 0.3% | |
| Aqua America Inc. | 1,696,118 | 45,286 | 0.3% | |
| Utilities—Other † | 671,231 | 4.5% | ||
| 993,632 | 6.7% | |||
| Total Common Stocks (Cost $11,533,614) | 14,831,696 | 99.7%2 | ||
59
| Small-Cap Value Index Fund | ||||
| Market | Percentage | |||
| Value• | of Net | |||
| Coupon | Shares | ($000) | Assets | |
| Temporary Cash Investments | ||||
| Money Market Fund | ||||
| 3,4 Vanguard Market Liquidity Fund | 0.126% | 135,297,663 | 135,298 | 0.9% |
| 5U.S. Government and Agency Obligations † | 7,298 | 0.1% | ||
| Total Temporary Cash Investments (Cost $142,596) | 142,596 | 1.0%2 | ||
| 6Total Investments (Cost $11,676,210) | 14,974,292 | 100.7% | ||
| Other Assets and Liabilities | ||||
| Other Assets | 44,918 | 0.3% | ||
| Liabilities4 | (151,195) | (1.0%) | ||
| (106,277) | (0.7%) | |||
| Net Assets | 14,868,015 | 100.0% | ||
| At December 31, 2014, net assets consisted of: | ||||
| Amount | ||||
| ($000) | ||||
| Paid-in Capital | 12,464,930 | |||
| Overdistributed Net Investment Income | (5,425) | |||
| Accumulated Net Realized Losses | (890,206) | |||
| Unrealized Appreciation (Depreciation) | ||||
| Investment Securities | 3,298,082 | |||
| Futures Contracts | 634 | |||
| Net Assets | 14,868,015 | |||
| Investor Shares—Net Assets | ||||
| Applicable to 90,469,870 outstanding $.001 par value shares of | ||||
| beneficial interest (unlimited authorization) | 2,292,681 | |||
| Net Asset Value Per Share—Investor Shares | $25.34 | |||
| Admiral Shares—Net Assets | ||||
| Applicable to 127,132,304 outstanding $.001 par value shares of | ||||
| beneficial interest (unlimited authorization) | 5,774,542 | |||
| Net Asset Value Per Share—Admiral Shares | $45.42 | |||
| Institutional Shares—Net Assets | ||||
| Applicable to 75,914,535 outstanding $.001 par value shares of | ||||
| beneficial interest (unlimited authorization) | 1,927,263 | |||
| Net Asset Value Per Share—Institutional Shares | $25.39 | |||
60
| Small-Cap Value Index Fund | |
| Amount | |
| ($000) | |
| ETF Shares—Net Assets | |
| Applicable to 46,103,273 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 4,873,529 |
| Net Asset Value Per Share—ETF Shares | $105.71 |
• 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 “Other” represents securities that are not classified by the fund’s benchmark index.
2 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.7%, respectively,
of net assets.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the
7-day yield.
4 Includes $89,861,000 of collateral received for securities on loan.
5 Securities with a value of $1,600,000 have been segregated as initial margin for open futures contracts.
6 The total value of securities on loan is $84,960,000.
See accompanying Notes, which are an integral part of the Financial Statements.
61
| Small-Cap Value Index Fund | |
| Statement of Operations | |
| Year Ended | |
| December 31, 2014 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends | 272,524 |
| Interest1 | 64 |
| Securities Lending | 4,741 |
| Total Income | 277,329 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 1,789 |
| Management and Administrative—Investor Shares | 4,303 |
| Management and Administrative—Admiral Shares | 2,876 |
| Management and Administrative—Institutional Shares | 726 |
| Management and Administrative—ETF Shares | 2,141 |
| Marketing and Distribution—Investor Shares | 550 |
| Marketing and Distribution—Admiral Shares | 829 |
| Marketing and Distribution—Institutional Shares | 416 |
| Marketing and Distribution—ETF Shares | 852 |
| Custodian Fees | 268 |
| Auditing Fees | 41 |
| Shareholders’ Reports—Investor Shares | 51 |
| Shareholders’ Reports—Admiral Shares | 34 |
| Shareholders’ Reports—Institutional Shares | 31 |
| Shareholders’ Reports—ETF Shares | 194 |
| Trustees’ Fees and Expenses | 11 |
| Total Expenses | 15,112 |
| Net Investment Income | 262,217 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 726,853 |
| Futures Contracts | 3,021 |
| Realized Net Gain (Loss) | 729,874 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | 389,594 |
| Futures Contracts | (367) |
| Change in Unrealized Appreciation (Depreciation) | 389,227 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 1,381,318 |
| 1 Interest income from an affiliated company of the fund was $61,000. | |
| See accompanying Notes, which are an integral part of the Financial Statements. | |
62
| Small-Cap Value Index Fund | ||
| Statement of Changes in Net Assets | ||
| Year Ended December 31, | ||
| 2014 | 2013 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 262,217 | 219,668 |
| Realized Net Gain (Loss) | 729,874 | 449,410 |
| Change in Unrealized Appreciation (Depreciation) | 389,227 | 2,458,425 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 1,381,318 | 3,127,503 |
| Distributions | ||
| Net Investment Income | ||
| Investor Shares | (36,592) | (40,303) |
| Admiral Shares | (100,009) | (79,929) |
| Institutional Shares | (33,614) | (31,614) |
| ETF Shares | (84,373) | (72,359) |
| Realized Capital Gain | ||
| Investor Shares | — | — |
| Admiral Shares | — | — |
| Institutional Shares | — | — |
| ETF Shares | — | — |
| Total Distributions | (254,588) | (224,205) |
| Capital Share Transactions | ||
| Investor Shares | (270,292) | (290,808) |
| Admiral Shares | 987,250 | 836,372 |
| Institutional Shares | 76,809 | 344,441 |
| ETF Shares | 594,219 | 736,310 |
| Net Increase (Decrease) from Capital Share Transactions | 1,387,986 | 1,626,315 |
| Total Increase (Decrease) | 2,514,716 | 4,529,613 |
| Net Assets | ||
| Beginning of Period | 12,353,299 | 7,823,686 |
| End of Period1 | 14,868,015 | 12,353,299 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($5,425,000) and ($13,207,000).
See accompanying Notes, which are an integral part of the Financial Statements.
63
| Small-Cap Value Index Fund | |||||
| Financial Highlights | |||||
| Investor Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $23.33 | $17.40 | $15.04 | $16.01 | $13.06 |
| Investment Operations | |||||
| Net Investment Income | . 425 | . 394 | . 428 | .309 | .285 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 1.995 | 5.936 | 2.364 | (.974) | 2.956 |
| Total from Investment Operations | 2.420 | 6.330 | 2.792 | (.665) | 3.241 |
| Distributions | |||||
| Dividends from Net Investment Income | (. 410) | (. 400) | (. 432) | (. 305) | (. 291) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (. 410) | (. 400) | (. 432) | (. 305) | (. 291) |
| Net Asset Value, End of Period | $25.34 | $23.33 | $17.40 | $15.04 | $16.01 |
| Total Return1 | 10.39% | 36.41% | 18.56% | -4.16% | 24.82% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $2,293 | $2,375 | $2,001 | $1,980 | $4,316 |
| Ratio of Total Expenses to Average Net Assets | 0.23% | 0.24% | 0.24% | 0.24% | 0.26% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 1.84% | 2.03% | 2.66% | 1.90% | 2.03% |
| Portfolio Turnover Rate2 | 12% | 47% | 25% | 30% | 25% |
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
64
| Small-Cap Value Index Fund | ||||
| Financial Highlights | ||||
| Admiral Shares | ||||
| Sept. 27, | ||||
| 20111 to | ||||
| Year Ended 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 | . 831 | .773 | .814 | .196 |
| Net Realized and Unrealized Gain (Loss) on Investments | 3.573 | 10.629 | 4.245 | 2.320 |
| Total from Investment Operations | 4.404 | 11.402 | 5.059 | 2.516 |
| Distributions | ||||
| Dividends from Net Investment Income | (.804) | (.782) | (. 819) | (.556) |
| Distributions from Realized Capital Gains | — | — | — | — |
| Total Distributions | (.804) | (.782) | (. 819) | (.556) |
| Net Asset Value, End of Period | $45.42 | $41.82 | $31.20 | $26.96 |
| Total Return2 | 10.55% | 36.58% | 18.77% | 10.05% |
| Ratios/Supplemental Data | ||||
| Net Assets, End of Period (Millions) | $5,775 | $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 | 1.98% | 2.18% | 2.80% | 2.04% 3 |
| Portfolio Turnover Rate 4 | 12% | 47% | 25% | 30% |
| 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.
65
| Small-Cap Value Index Fund | |||||
| Financial Highlights | |||||
| Institutional Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $23.37 | $17.44 | $15.07 | $16.04 | $13.09 |
| Investment Operations | |||||
| Net Investment Income | . 467 | .434 | .459 | . 338 | .311 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 2.004 | 5.935 | 2.371 | (.973) | 2.957 |
| Total from Investment Operations | 2.471 | 6.369 | 2.830 | (.635) | 3.268 |
| Distributions | |||||
| Dividends from Net Investment Income | (. 451) | (. 439) | (. 460) | (. 335) | (. 318) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (. 451) | (. 439) | (. 460) | (. 335) | (. 318) |
| Net Asset Value, End of Period | $25.39 | $23.37 | $17.44 | $15.07 | $16.04 |
| Total Return | 10.59% | 36.55% | 18.78% | -3.97% | 24.97% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $1,927 | $1,699 | $979 | $722 | $871 |
| Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 1.99% | 2.19% | 2.82% | 2.06% | 2.21% |
| Portfolio Turnover Rate1 | 12% | 47% | 25% | 30% | 25% |
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
66
| Small-Cap Value Index Fund | |||||
| Financial Highlights | |||||
| ETF Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $97.32 | $72.60 | $62.73 | $66.80 | $54.49 |
| Investment Operations | |||||
| Net Investment Income | 1.933 | 1.796 | 1.896 | 1.393 | 1.269 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 8.326 | 24.742 | 9.877 | (4.083) | 12.340 |
| Total from Investment Operations | 10.259 | 26.538 | 11.773 | (2.690) | 13.609 |
| Distributions | |||||
| Dividends from Net Investment Income | (1.869) | (1.818) | (1.903) | (1.380) | (1.299) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.869) | (1.818) | (1.903) | (1.380) | (1.299) |
| Net Asset Value, End of Period | $105.71 | $97.32 | $72.60 | $62.73 | $66.80 |
| Total Return | 10.55% | 36.57% | 18.78% | -4.05% | 24.97% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $4,874 | $3,908 | $2,281 | $1,755 | $1,851 |
| Ratio of Total Expenses to Average Net Assets | 0.09% | 0.09% | 0.10% | 0.10% | 0.12% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 1.98% | 2.18% | 2.80% | 2.04% | 2.17% |
| Portfolio Turnover Rate1 | 12% | 47% | 25% | 30% | 25% |
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
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 settlement values 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 year ended December 31, 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.
68
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, 2011–2014), 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 December 31, 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.
69
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 invest up to 0.40% of its net assets in Vanguard. At December 31, 2014, the fund had contributed capital of $1,373,000 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 December 31, 2014, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 14,820,022 | 10,459 | 1,215 |
| Temporary Cash Investments | 135,298 | 7,298 | — |
| Futures Contracts—Liabilities1 | (290) | — | — |
| Total | 14,955,030 | 17,757 | 1,215 |
| 1 Represents variation margin on the last day of the reporting period. |
D. At December 31, 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 | March 2015 | 233 | 27,977 | 530 |
| E-mini S&P MidCap 400 Index | March 2015 | 34 | 4,925 | 104 |
| 634 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
70
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.
Certain of the fund’s investments are in securities considered to be passive foreign investment companies, for which any unrealized appreciation and/or realized gains are required to be included in distributable net income for tax purposes. During the year ended December 31, 2014, the fund realized gains on the sale of passive foreign investment companies of $153,000, which have been included in current and prior periods’ taxable income; accordingly, such gains have been reclassified from accumulated net realized losses to overdistributed net investment income. Passive foreign investment companies held at December 31, 2014, had unrealized appreciation of $5,264,000, of which $3,884,000 has been distributed and is reflected in the balance of overdistributed net investment income.
During the year ended December 31, 2014, the fund realized $683,529,000 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.
For tax purposes, at December 31, 2014, the fund had $10,402,000 of ordinary income available for distribution. The fund used capital loss carryforwards of $42,731,000 to offset taxable capital gains realized during the year ended December 31, 2014. At December 31, 2014, the fund had available capital losses totaling $888,530,000 to offset future net capital gains. Of this amount, $876,582,000 is subject to expiration dates; $487,808,000 may be used to offset future net capital gains through December 31, 2017, and $388,774,000 through December 31, 2018. Capital losses of $11,948,000 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.
At December 31, 2014, the cost of investment securities for tax purposes was $11,681,474,000. Net unrealized appreciation of investment securities for tax purposes was $3,292,818,000, consisting of unrealized gains of $3,741,924,000 on securities that had risen in value since their purchase and $449,106,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended December 31, 2014, the fund purchased $4,522,083,000 of investment securities and sold $3,081,926,000 of investment securities, other than temporary cash investments. Purchases and sales include $1,946,424,000 and $1,425,586,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
71
Small-Cap Value Index Fund
| G. Capital share transactions for each class of shares were: | ||||
| Year Ended December 31, | ||||
| 2014 | 2013 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| Investor Shares | ||||
| Issued | 530,028 | 21,851 | 623,704 | 30,686 |
| Issued in Lieu of Cash Distributions | 33,953 | 1,353 | 37,188 | 1,613 |
| Redeemed | (834,273) | (34,552) | (951,700) | (45,442) |
| Net Increase (Decrease)—Investor Shares | (270,292) | (11,348) | (290,808) | (13,143) |
| Admiral Shares | ||||
| Issued | 1,642,479 | 37,771 | 1,221,573 | 32,856 |
| Issued in Lieu of Cash Distributions | 89,878 | 1,998 | 72,142 | 1,746 |
| Redeemed | (745,107) | (17,154) | (457,343) | (12,259) |
| Net Increase (Decrease) —Admiral Shares | 987,250 | 22,615 | 836,372 | 22,343 |
| Institutional Shares | ||||
| Issued | 510,432 | 21,007 | 589,813 | 28,421 |
| Issued in Lieu of Cash Distributions | 30,703 | 1,222 | 29,371 | 1,271 |
| Redeemed | (464,326) | (19,020) | (274,743) | (13,130) |
| Net Increase (Decrease) —Institutional Shares | 76,809 | 3,209 | 344,441 | 16,562 |
| ETF Shares | ||||
| Issued | 2,005,418 | 19,645 | 1,328,171 | 15,142 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (1,411,199) | (13,700) | (591,861) | (6,400) |
| Net Increase (Decrease)—ETF Shares | 594,219 | 5,945 | 736,310 | 8,742 |
H. Management has determined that no material events or transactions occurred subsequent to December 31, 2014, that would require recognition or disclosure in these financial statements.
72
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Vanguard Index Funds and the Shareholders of Vanguard Small-Cap Index Fund, Vanguard Small-Cap Growth Index Fund and Vanguard Small-Cap Value Index Fund: In our opinion, the accompanying statements of net assets—investments summary and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Small-Cap Index Fund, Vanguard Small-Cap Growth Index Fund and Vanguard Small-Cap Value Index Fund (constituting separate portfolios of Vanguard Index Funds, hereafter referred to as the “Funds”) at December 31, 2014, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2014 by correspondence with the custodians and brokers, by agreement to the underlying ownership records of the transfer agent and the application of alternative auditing procedures where securities purchased had not been received, provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 18, 2015
73
Special 2014 tax information (unaudited) for Vanguard U.S. Stock Index Funds (Small-Capitalization Portfolios)
This information for the fiscal year ended December 31, 2014, is included pursuant to provisions of the Internal Revenue Code.
The funds distributed qualified dividend income to shareholders during the fiscal year as follows:
| Fund | ($000) |
| Small-Cap Index Fund | 456,969 |
| Small-Cap Growth Index Fund | 76,964 |
| Small-Cap Value Index Fund | 183,660 |
For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends-received deduction is as follows:
| Fund | Percentage |
| Small-Cap Index Fund | 62.2% |
| Small-Cap Growth Index Fund | 49.9 |
| Small-Cap Value Index Fund | 69.3 |
74
Your Fund’s After-Tax Returns
This table presents returns for your fund both before and after taxes. The after-tax returns are shown in two ways: (1) assuming that an investor owned the fund during the entire period and paid taxes on the fund’s distributions, and (2) assuming that an investor paid taxes on the fund’s distributions and sold all shares at the end of each period.
Calculations are based on the highest individual federal income tax and capital gains tax rates in effect at the times of the distributions and the hypothetical sales. State and local taxes were not considered. After-tax returns reflect any qualified dividend income. (In the example, returns after the sale of fund shares may be higher than those assuming no sale. This occurs when the sale would have produced a capital loss. The calculation assumes that the investor received a tax deduction for the loss.)
The table shows returns for Investor Shares only; returns for other share classes will differ. Please note that your actual after-tax returns will depend on your tax situation and may differ from those shown. Also note that if you own the fund in a tax-deferred account, such as an individual retirement account or a 401(k) plan, this information does not apply to you. Such accounts are not subject to current taxes.
Finally, keep in mind that a fund’s performance—whether before or after taxes—does not guarantee future results.
Average Annual Total Returns: U.S. Stock Index Funds Small-Capitalization Portfolios
Periods Ended December 31, 2014
| One | Five | Ten | |
| Year | Years | Years | |
| Small-Cap Index Fund Investor Shares | |||
| Returns Before Taxes | 7.37% | 16.71% | 9.00% |
| Returns After Taxes on Distributions | 6.95 | 16.35 | 8.68 |
| Returns After Taxes on Distributions and Sale of Fund Shares | 4.34 | 13.46 | 7.29 |
| One | Five | Ten | |
| Year | Years | Years | |
| Small-Cap Growth Index Fund Investor Shares | |||
| Returns Before Taxes | 3.88% | 16.72% | 9.41% |
| Returns After Taxes on Distributions | 3.58 | 16.55 | 9.29 |
| Returns After Taxes on Distributions and Sale of Fund Shares | 2.28 | 13.53 | 7.72 |
| One | Five | Ten | |
| Year | Years | Years | |
| Small-Cap Value Index Fund Investor Shares | |||
| Returns Before Taxes | 10.39% | 16.39% | 8.32% |
| Returns After Taxes on Distributions | 9.87 | 15.86 | 7.83 |
| Returns After Taxes on Distributions and Sale of Fund Shares | 6.13 | 13.15 | 6.65 |
75
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
76
| Six Months Ended December 31, 2014 | |||
| Beginning | Ending | Expenses | |
| Account Value | Account Value | Paid During | |
| 6/30/2014 | 12/31/2014 | Period | |
| Based on Actual Fund Return | |||
| Small-Cap Index Fund | |||
| Investor Shares | $1,000.00 | $1,009.30 | $1.16 |
| Admiral Shares | 1,000.00 | 1,009.81 | 0.46 |
| Institutional Shares | 1,000.00 | 1,009.90 | 0.41 |
| Institutional Plus Shares | 1,000.00 | 1,010.05 | 0.30 |
| ETF Shares | 1,000.00 | 1,009.87 | 0.46 |
| Small-Cap Growth Index Fund | |||
| Investor Shares | $1,000.00 | $997.47 | $1.16 |
| Admiral Shares | 1,000.00 | 998.25 | 0.45 |
| Institutional Shares | 1,000.00 | 998.48 | 0.40 |
| ETF Shares | 1,000.00 | 998.36 | 0.45 |
| Small-Cap Value Index Fund | |||
| Investor Shares | $1,000.00 | $1,019.39 | $1.17 |
| Admiral Shares | 1,000.00 | 1,020.09 | 0.46 |
| Institutional Shares | 1,000.00 | 1,020.10 | 0.41 |
| ETF Shares | 1,000.00 | 1,020.04 | 0.46 |
77
| Six Months Ended December 31, 2014 | |||
| Beginning | Ending | Expenses | |
| Account Value | Account Value | Paid During | |
| 6/30/2014 | 12/31/2014 | Period | |
| Based on Hypothetical 5% Yearly Return | |||
| Small-Cap Index Fund | |||
| Investor Shares | $1,000.00 | $1,024.05 | $1.17 |
| Admiral Shares | 1,000.00 | 1,024.75 | 0.46 |
| Institutional Shares | 1,000.00 | 1,024.80 | 0.41 |
| Institutional Plus Shares | 1,000.00 | 1,024.90 | 0.31 |
| ETF Shares | 1,000.00 | 1,024.75 | 0.46 |
| Small-Cap Growth Index Fund | |||
| Investor Shares | $1,000.00 | $1,024.05 | $1.17 |
| Admiral Shares | 1,000.00 | 1,024.75 | 0.46 |
| Institutional Shares | 1,000.00 | 1,024.80 | 0.41 |
| ETF Shares | 1,000.00 | 1,024.75 | 0.46 |
| Small-Cap Value Index Fund | |||
| Investor Shares | $1,000.00 | $1,024.05 | $1.17 |
| Admiral Shares | 1,000.00 | 1,024.75 | 0.46 |
| Institutional Shares | 1,000.00 | 1,024.80 | 0.41 |
| ETF Shares | 1,000.00 | 1,024.75 | 0.46 |
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, 0.08% 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.
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 Small-Cap Growth Index: S&P SmallCap 600 Growth Index (formerly known as the S&P SmallCap 600/Barra Growth 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.
80
This page intentionally left blank.
This page intentionally left blank.
This page intentionally left blank.
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 |
| F. William McNabb III |
| Born 1957. Trustee Since July 2009. Chairman of the |
| Board. Principal Occupation(s) During the Past Five |
| Years: Chairman of the Board of The Vanguard Group, |
| Inc., and of each of the investment companies served |
| by The Vanguard Group, since January 2010; Director |
| of The Vanguard Group since 2008; Chief Executive |
| Officer and President of The Vanguard Group, and of |
| each of the investment companies served by The |
| Vanguard Group, since 2008; Director of Vanguard |
| Marketing Corporation; Managing Director of The |
| Vanguard Group (1995–2008). |
| IndependentTrustees |
| Emerson U. Fullwood |
| Born 1948. Trustee Since January 2008. Principal |
| Occupation(s) During the Past Five Years: Executive |
| Chief Staff and Marketing Officer for North America |
| and Corporate Vice President (retired 2008) of Xerox |
| Corporation (document management products and |
| services); Executive in Residence and 2009–2010 |
| Distinguished Minett Professor at the Rochester |
| Institute of Technology; Director of SPX Corporation |
| (multi-industry manufacturing), the United Way of |
| Rochester, Amerigroup Corporation (managed health |
| care), the University of Rochester Medical Center, |
| Monroe Community College Foundation, and North |
| Carolina A&T University. |
| Rajiv L. Gupta |
| Born 1945. Trustee Since December 2001.2 |
| Principal Occupation(s) During the Past Five Years: |
| Chairman and Chief Executive Officer (retired 2009) |
| and President (2006–2008) of Rohm and Haas Co. |
| (chemicals); Director of Tyco International, Ltd. |
| (diversified manufacturing and services), Hewlett- |
| Packard Co. (electronic computer manufacturing), |
| and Delphi Automotive LLP (automotive components); |
| Senior Advisor at New Mountain Capital. |
| Amy Gutmann |
| Born 1949. Trustee Since June 2006. Principal |
| Occupation(s) During the Past Five Years: President of |
| the University of Pennsylvania; Christopher H. Browne |
| Distinguished Professor of Political Science, School of |
| Arts and Sciences, and Professor of Communication, |
| Annenberg School for Communication, with secondary |
| faculty appointments in the Department of Philosophy, |
| School of Arts and Sciences, and at the Graduate |
| School of Education, University of Pennsylvania; |
| Trustee of the National Constitution Center; Chair |
| of the Presidential Commission for the Study of |
| Bioethical Issues. |
| JoAnn Heffernan Heisen |
| Born 1950. Trustee Since July 1998. Principal |
| Occupation(s) During the Past Five Years: Corporate |
| Vice President and Chief Global Diversity Officer |
| (retired 2008) and Member of the Executive |
| Committee (1997–2008) of Johnson & Johnson |
| (pharmaceuticals/medical devices/consumer |
| products); Director of Skytop Lodge Corporation |
| (hotels), the University Medical Center at Princeton, |
| the Robert Wood Johnson Foundation, and the Center |
| for Talent Innovation; Member of the Advisory Board |
| of the Maxwell School of Citizenship and Public Affairs |
| at Syracuse University. |
| F. Joseph Loughrey |
| Born 1949. Trustee Since October 2009. Principal |
| Occupation(s) During the Past Five Years: President |
| and Chief Operating Officer (retired 2009) of Cummins |
| Inc. (industrial machinery); Chairman of the Board |
| of Hillenbrand, Inc. (specialized consumer services), |
| and of Oxfam America; Director of SKF AB (industrial |
| machinery), Hyster-Yale Materials Handling, Inc. |
| (forklift trucks), the Lumina Foundation for Education, |
| and the V Foundation for Cancer Research; Member |
| of the Advisory Council for the College of Arts and |
| Letters and of the Advisory Board to the Kellogg |
| Institute for International Studies, both at the |
| University of Notre Dame. |
| Mark Loughridge |
| Born 1953. Trustee Since March 2012. Principal |
| Occupation(s) During the Past Five Years: Senior Vice |
| President and Chief Financial Officer (retired 2013) |
| at IBM (information technology services); Fiduciary |
| Member of IBM’s Retirement Plan Committee (2004– |
| 2013); Member of the Council on Chicago Booth. |
| Scott C. Malpass |
| Born 1962. Trustee Since March 2012. Principal |
| Occupation(s) During the Past Five Years: Chief |
| Investment Officer and Vice President at the University |
| of Notre Dame; Assistant Professor of Finance at the |
| Mendoza College of Business at Notre Dame; Member |
| of the Notre Dame 403(b) Investment Committee; |
| Board Member of TIFF Advisory Services, Inc. |
| (investment advisor); Member of the Investment |
| Advisory Committees of the Financial Industry |
| Regulatory Authority (FINRA) and of Major League |
| Baseball. |
| André F. Perold |
| Born 1952. Trustee Since December 2004. Principal |
| Occupation(s) During the Past Five Years: George |
| Gund Professor of Finance and Banking, Emeritus |
| at the Harvard Business School (retired 2011); |
| Chief Investment Officer and Managing Partner of |
| HighVista Strategies LLC (private investment firm); |
| Director of Rand Merchant Bank; Overseer of the |
| Museum of Fine Arts Boston. |
| Alfred M. Rankin, Jr. |
| Born 1941. Trustee Since January 1993. Principal |
| Occupation(s) During the Past Five Years: Chairman, |
| President, and Chief Executive Officer of NACCO |
| Industries, Inc. (housewares/lignite), and of Hyster- |
| Yale Materials Handling, Inc. (forklift trucks); Chairman |
| of the Board of University Hospitals of Cleveland. |
| Peter F. Volanakis |
| Born 1955. Trustee Since July 2009. Principal |
| Occupation(s) During the Past Five Years: President |
| and Chief Operating Officer (retired 2010) of Corning |
| Incorporated (communications equipment); Trustee of |
| Colby-Sawyer College; Member of the Advisory Board |
| of the Norris Cotton Cancer Center and of the Advisory |
| Board of the Parthenon Group (strategy consulting). |
| Executive Officers | |
| Glenn Booraem | |
| Born 1967. Controller Since July 2010. Principal | |
| Occupation(s) During the Past Five Years: Principal | |
| of The Vanguard Group, Inc.; Controller of each of | |
| the investment companies served by The Vanguard | |
| Group; Assistant Controller of each of the investment | |
| companies served by The Vanguard Group (2001–2010). | |
| Thomas J. Higgins | |
| Born 1957. Chief Financial Officer Since September | |
| 2008. Principal Occupation(s) During the Past Five | |
| Years: Principal of The Vanguard Group, Inc.; Chief | |
| Financial Officer of each of the investment companies | |
| served by The Vanguard Group; Treasurer of each of | |
| the investment companies served by The Vanguard | |
| Group (1998–2008). | |
| Kathryn J. Hyatt | |
| Born 1955. Treasurer Since November 2008. Principal | |
| Occupation(s) During the Past Five Years: Principal of | |
| The Vanguard Group, Inc.; Treasurer of each of the | |
| investment companies served by The Vanguard | |
| Group; Assistant Treasurer of each of the investment | |
| companies served by The Vanguard Group (1988–2008). | |
| Heidi Stam | |
| Born 1956. Secretary Since July 2005. Principal | |
| Occupation(s) During the Past Five Years: Managing | |
| Director of The Vanguard Group, Inc.; General Counsel | |
| of The Vanguard Group; Secretary of The Vanguard | |
| Group and of each of the investment companies | |
| served by The Vanguard Group; Director and Senior | |
| Vice President of Vanguard Marketing Corporation. | |
| Vanguard Senior ManagementTeam | |
| Mortimer J. Buckley | Chris D. McIsaac |
| Kathleen C. Gubanich | Michael S. Miller |
| Paul A. Heller | James M. Norris |
| Martha G. King | Glenn W. Reed |
| John T. Marcante | |
| Chairman Emeritus and Senior Advisor | |
| John J. Brennan | |
| Chairman, 1996–2009 | |
| Chief Executive Officer and President, 1996–2008 | |
| Founder | |
| 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 | |
| Who Are Deaf or Hard of Hearing> 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. | |
| © 2015 The Vanguard Group, Inc. | |
| All rights reserved. | |
| Vanguard Marketing Corporation, Distributor. | |
| Q480 022015 | |
Annual Report | December 31, 2014
Vanguard U.S. Stock Index Funds
Mid-Capitalization Portfolios
Vanguard Extended Market Index Fund
Vanguard Mid-Cap Index Fund
Vanguard Mid-Cap Growth Index Fund
Vanguard Mid-Cap Value Index Fund
The mission continues
On May 1, 1975, Vanguard began operations, a fledgling company based on the simple but revolutionary idea that a mutual fund company should be managed solely in the interest of its investors.
Four decades later, that revolutionary spirit continues to animate the enterprise. Vanguard remains on a mission to give investors the best chance of investment success.
As we mark our 40th anniversary, we thank you for entrusting your assets to Vanguard and giving us the opportunity to help you reach your financial goals in the decades to come.
| Contents | |
| Your Fund’s Total Returns. | 1 |
| Chairman’s Letter. | 4 |
| Extended Market Index Fund. | 11 |
| Mid-Cap Index Fund. | 33 |
| Mid-Cap Growth Index Fund. | 59 |
| Mid-Cap Value Index Fund. | 76 |
| Your Fund’s After-Tax Returns. | 96 |
| About Your Fund’s Expenses. | 98 |
| Glossary. | 101 |
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: Since our founding, Vanguard has drawn inspiration from the enterprise and valor demonstrated by British naval hero Horatio Nelson and his command at the Battle of the Nile in 1798. The photograph displays a replica of a merchant ship from the same era as Nelson’s flagship, the HMS Vanguard.
| Your Fund’s Total Returns | |
| Fiscal Year Ended December 31, 2014 | |
| Total | |
| Returns | |
| Vanguard Extended Market Index Fund | |
| Investor Shares | 7.42% |
| Admiral™ Shares | 7.56 |
| Institutional Shares | 7.56 |
| Institutional Plus Shares | 7.60 |
| ETF Shares | |
| Market Price | 7.55 |
| Net Asset Value | 7.55 |
| S&P Completion Index | 7.50 |
| Mid-Cap Core Funds Average | 8.13 |
| Mid-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
| Vanguard Mid-Cap Index Fund | |
| Investor Shares | 13.60% |
| Admiral Shares | 13.76 |
| Institutional Shares | 13.78 |
| Institutional Plus Shares | 13.79 |
| ETF Shares | |
| Market Price | 13.75 |
| Net Asset Value | 13.76 |
| CRSP US Mid Cap Index | 13.83 |
| Mid-Cap Core Funds Average | 8.13 |
| Mid-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. 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 | |
| Fiscal Year Ended December 31, 2014 | |
| Total | |
| Returns | |
| Vanguard Mid-Cap Growth Index Fund | |
| Investor Shares | 13.35% |
| Admiral Shares | 13.48 |
| ETF Shares | |
| Market Price | 13.46 |
| Net Asset Value | 13.49 |
| CRSP US Mid Cap Growth Index | 13.57 |
| Mid-Cap Growth Funds Average | 6.74 |
| Mid-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
| Vanguard Mid-Cap Value Index Fund | |
| Investor Shares | 13.84% |
| Admiral Shares | 13.98 |
| ETF Shares | |
| Market Price | 13.95 |
| Net Asset Value | 13.98 |
| CRSP US Mid Cap Value Index | 14.05 |
| Mid-Cap Value Funds Average | 9.49 |
| 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. 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 December 31, 2014 | ||||
| Distributions Per Share | ||||
| Starting | Ending | Income | Capital | |
| Share Price | Share Price | Dividends | Gains | |
| Vanguard Extended Market Index Fund | ||||
| Investor Shares | $62.76 | $66.63 | $0.782 | $0.000 |
| Admiral Shares | 62.75 | 66.61 | 0.880 | 0.000 |
| Institutional Shares | 62.75 | 66.60 | 0.891 | 0.000 |
| Institutional Plus Shares | 154.84 | 164.36 | 2.234 | 0.000 |
| ETF Shares | 82.71 | 87.79 | 1.159 | 0.000 |
| Vanguard Mid-Cap Index Fund | ||||
| Investor Shares | $30.02 | $33.72 | $0.384 | $0.000 |
| Admiral Shares | 136.19 | 152.97 | 1.966 | 0.000 |
| Institutional Shares | 30.08 | 33.79 | 0.436 | 0.000 |
| Institutional Plus Shares | 148.37 | 166.65 | 2.186 | 0.000 |
| ETF Shares | 109.96 | 123.50 | 1.593 | 0.000 |
| Vanguard Mid-Cap Growth Index Fund | ||||
| Investor Shares | $35.46 | $39.94 | $0.254 | $0.000 |
| Admiral Shares | 38.83 | 43.72 | 0.346 | 0.000 |
| ETF Shares | 90.20 | 101.57 | 0.805 | 0.000 |
| Vanguard Mid-Cap Value Index Fund | ||||
| Investor Shares | $31.38 | $35.19 | $0.533 | $0.000 |
| Admiral Shares | 41.30 | 46.30 | 0.774 | 0.000 |
| ETF Shares | 79.73 | 89.39 | 1.491 | 0.000 |
3
Chairman’s Letter
Dear Shareholder,
In another strong year for U.S. equities, mid-cap stocks were among the stand-out performers. Small-cap stocks, meanwhile, didn’t keep pace with the broader market, which ended 2014 at a near-record level.
In this environment, the three Vanguard Mid-Cap Index Funds delivered returns in excess of 13% for the 12 months ended December 31, 2014. Vanguard Extended Market Index Fund, which includes both small- and mid-cap holdings, finished with a return of 7.42% (all returns cited are for Investor Shares).
All four funds covered in this report closely tracked their target indexes. And all but the Extended Market Index Fund notched results that exceeded the average returns of peer funds.
If you hold any of these funds in a taxable account, you may wish to review the after-tax returns that appear later in this report.
U.S. stocks finished strongly for the sixth straight year
U.S. stocks returned nearly 13% for the 12 months, posting gains for the sixth consecutive calendar year. Rising corporate earnings, the growing U.S. economy, and generally accommodative global monetary policies lifted domestic markets. Elsewhere, Europe and China faced economic challenges, tensions flared in the Middle East and Ukraine, and concerns arose over stocks’ high valuations.
4
Although the Federal Reserve ended its bond-buying program in October, its stance that it would be “patient” in deciding when to increase short-term interest rates seemed to reassure investors. Other central banks—including the Bank of Japan, the European Central Bank, and the People’s Bank of China—announced significant stimulus measures.
International stocks didn’t fare as well as their U.S. counterparts, returning about –3% in dollar terms. Their performance was hurt as many foreign currencies weakened against the U.S. dollar. Emerging-market stocks rose slightly, but stocks from the developed markets of Europe and the Pacific region retreated.
Defying analysts’ expectations, bond prices rose during the period
Bond prices received a boost from moves by many of the world’s central banks along with global economic, market, and geopolitical challenges that drew investors to perceived safe havens. In an unexpected rebound from 2013, the broad U.S. bond market returned 5.97%.
Even as the Fed pared back its bond purchases, prices climbed and yields fell. (Bond prices and yields move in opposite directions.) The yield of the 10-year Treasury note ended December at 2.19%, down from 2.97% at the close of December 2013.
| Market Barometer | |||
| Average Annual Total Returns | |||
| Periods Ended December 31, 2014 | |||
| One | Three | Five | |
| Year | Years | Years | |
| Stocks | |||
| Russell 1000 Index (Large-caps) | 13.24% | 20.62% | 15.64% |
| Russell 2000 Index (Small-caps) | 4.89 | 19.21 | 15.55 |
| Russell 3000 Index (Broad U.S. market) | 12.56 | 20.51 | 15.63 |
| FTSE All-World ex US Index (International) | -3.31 | 9.41 | 4.75 |
| Bonds | |||
| Barclays U.S. Aggregate Bond Index (Broad taxable market) | 5.97% | 2.66% | 4.45% |
| Barclays Municipal Bond Index (Broad tax-exempt market) | 9.05 | 4.30 | 5.16 |
| Citigroup Three-Month U.S. Treasury Bill Index | 0.03 | 0.04 | 0.06 |
| CPI | |||
| Consumer Price Index | 0.76% | 1.33% | 1.69% |
5
Municipal bonds returned 9.05%, benefiting from increased demand and generally limited supply.
International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned –3.08%.
Money market fund and savings account returns remained minuscule as the Fed’s target for short-term interest rates stayed between 0% and 0.25%.
Within the mid-cap group, value stocks had a slight edge
Of the three Vanguard Mid-Cap Index Funds, the value fund recorded the highest return for the year, albeit by a slender margin. Following equities’ extraordinary advance in 2013, investors seemed more sensitive to how expensive stocks were—an environment which can favor the value category. (Value stocks tend to sell at relatively low prices in relation to their earnings or book value. Growth stocks typically have higher valuations because of the earnings and revenue potential of the underlying companies.)
The Extended Market Index Fund, like its benchmark, was weighed down by its allocation to small-cap stocks, which seemed to take the brunt of investors’ concerns about lofty share valuations. Of course, in the future, the positions of small- and mid-cap stocks are sure to reverse from time to time. Indeed, in 2013, small-caps were the star performers.
| Expense Ratios | ||||||
| Your Fund Compared With Its Peer Group | ||||||
| Peer | ||||||
| Investor | Admiral | Institutional | Institutional | ETF | Group | |
| Shares | Shares | Shares | Plus Shares | Shares | Average | |
| Extended Market Index Fund | 0.24% | 0.10% | 0.08% | 0.06% | 0.10% | 1.21% |
| Mid-Cap Index Fund | 0.24 | 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 fiscal year ended December 31, 2014, the funds’ expense ratios were: for the Extended Market Index Fund, 0.23% for Investor Shares, 0.10% for Admiral 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, 0.08% 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; for the Mid-Cap Value Index Fund, Mid-Cap Value Funds.
6
Market leadership changes in unpredictable ways; that’s one of the reasons why Vanguard believes broad diversification is the wisest choice for many investors.
In terms of the funds’ holdings, shares of retailers and other companies closely tied to discretionary consumer spending buoyed the returns of all four funds. These stocks benefited from healthy consumer confidence that, in turn, was fed by continued improvements in the U.S. job market. Falling gas prices also made it easier for consumers to open their wallets for everything from clothing to entertainment.
Conversely, all four funds experienced steep slides in their returns from energy companies. These stocks were hurt in the second half by a precipitous drop in oil prices.
| Total Returns | |
| Ten Years Ended December 31, 2014 | |
| Average | |
| Annual Return | |
| Extended Market Index Fund Investor Shares | 9.08% |
| Spliced Extended Market Index | 9.12 |
| Mid-Cap Core Funds Average | 8.07 |
| For a benchmark description, see the Glossary. | |
| Mid-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
| Mid-Cap Index Fund Investor Shares | 9.34% |
| Spliced Mid-Cap Index | 9.50 |
| Mid-Cap Core Funds Average | 8.07 |
| For a benchmark description, see the Glossary. | |
| Mid-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
| Mid-Cap Growth Index Fund Investor Shares (Returns since inception: 8/24/2006) | 9.15% |
| Spliced Mid-Cap Growth Index | 9.33 |
| Mid-Cap Growth Funds Average | 8.46 |
| For a benchmark description, see the Glossary. | |
| Mid-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
| Mid-Cap Value Index Fund Investor Shares (Returns since inception: 8/24/2006) | 9.02% |
| Spliced Mid-Cap Value Index | 9.22 |
| Mid-Cap Value Funds Average | 8.13 |
| For a benchmark description, see the Glossary. | |
| Mid-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
The figures shown represent past performance, which is not a guarantee of future results. (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.
7
Over the decade just ended, the funds outpaced their peers
For the ten years ended December 31, the Extended Market Index Fund posted an average annual return of 9.08% and the Mid-Cap Index Fund 9.34%. Since launching in 2006, the Mid-Cap Growth Index Fund has returned an annual average of 9.15% and the Mid-Cap Value Index Fund 9.02%. In each case, the results exceeded the average annual returns of peers.
All four funds have closely tracked their target indexes. This is a tribute to the expertise of the funds’ advisor, Vanguard Equity Investment Group, and its team of seasoned professionals. With its sophisticated and proven portfolio management strategies, the group has been able to produce benchmark-tracking returns over the years regardless of market conditions. The advisor is helped in this task by the funds’ low expenses.
Vanguard’s outlook for investors: Expect less and stay balanced
In Vanguard’s recently published market outlook, global chief economist Joe Davis and his team discuss expected returns for various asset classes over the coming years. Although not bearish, our outlook on global stocks and bonds is the most guarded since 2006. The report cautions that, over the next decade, returns for a balanced portfolio are likely to be moderately below long-run historical averages.
Our simulations indicate that the average annualized returns of a 60% equity/40% bond portfolio for the decade ending 2024 are most likely to be centered in the 3%–5% range after inflation, below the actual average after-inflation return of 5.6% for the same portfolio since 1926.
Even so, Vanguard firmly believes that the principles for investing success—focusing on clear goals, a suitable asset allocation, low costs, and long-term discipline—remain unchanged.
For more information about our expectations and the probability of various outcomes, see Vanguard’s Economic and Investment Outlook, available at vanguard.com/research.
IMPORTANT: The projections and other information generated by the Vanguard Capital Markets Model (VCMM) regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results, and are not guarantees of future results. Distribution of return outcomes from VCMM, derived from 10,000 simulations for U.S. equity returns and fixed income returns. Simulations as of September 30, 2014. Results from the model may vary with each use and over time. For more information, please see page 9.
8
To build for the long term, start with a solid foundation
As the leader of a major investment firm, I get asked a lot of questions on all kinds of topics, from the outlook for global markets to the best fund choices for an IRA. But a topic that almost never comes up—and one that I consider perhaps the most important—is setting investment goals.
At Vanguard, we believe that following four timeless, straightforward principles can help put you on the right track toward investment success:
• 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.
All four principles are essential, and the order in which they’re listed is intentional. Every good investment plan begins with a clearly defined goal, which sets the foundation for building your portfolio.
IMPORTANT: The projections and other information generated by the Vanguard Capital Markets Model regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results, and are not guarantees of future results. VCMM results will vary with each use and over time.
The VCMM projections are based on a statistical analysis of historical data. Future returns may behave differently from the historical patterns captured in the VCMM. More important, the VCMM may be underestimating extreme negative scenarios unobserved in the historical period on which the model estimation is based.
The Vanguard Capital Markets Model® is a proprietary financial simulation tool developed and maintained by Vanguard’s primary investment research and advice teams. The model forecasts distributions of future returns for a wide array of broad asset classes. Those asset classes include U.S. and international equity markets, several maturities of the U.S. Treasury and corporate fixed income markets, international fixed income markets, U.S. money markets, commodities, and certain alternative investment strategies. The theoretical and empirical foundation for the Vanguard Capital Markets Model is that the returns of various asset classes reflect the compensation investors require for bearing different types of systematic risk (beta). At the core of the model are estimates of the dynamic statistical relationship between risk factors and asset returns, obtained from statistical analysis based on available monthly financial and economic data from as early as 1960. Using a system of estimated equations, the model then applies a Monte Carlo simulation method to project the estimated interrelationships among risk factors and asset classes as well as uncertainty and randomness over time. The model generates a large set of simulated outcomes for each asset class over several time horizons. Forecasts are obtained by computing measures of central tendency in these simulations. Results produced by the tool will vary with each use and over time.
9
(You can read more about our principles in Vanguard’s Principles for Investing Success, available at vanguard.com/research.)
Setting an investment goal doesn’t have to be complicated. It can be as simple as saving for retirement or for a child’s college education. Being realistic about your goals—and how to meet them—can help you stick with your investment plan even when times get tough.
We’ve recently welcomed a new year, which for many means a new beginning. Now is a perfect time to revisit your investment plan and make any necessary adjustments to help you reach your long-term financial goals.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
January 14, 2015
10
Extended Market Index Fund
Fund Profile
As of December 31, 2014
| Share-Class Characteristics | |||||
| Investor | Admiral | Institutional | Institutional | ||
| Shares | Shares | Shares | Plus Shares | ETF Shares | |
| Ticker Symbol | VEXMX | VEXAX | VIEIX | VEMPX | VXF |
| Expense Ratio1 | 0.24% | 0.10% | 0.08% | 0.06% | 0.10% |
| 30-Day SEC Yield | 1.04% | 1.17% | 1.19% | 1.21% | 1.17% |
| Portfolio Characteristics | |||
| DJ | |||
| U.S. | |||
| S&P | Total | ||
| Completion | Market | ||
| Fund | Index | FA Index | |
| Number of Stocks | 3,316 | 3,417 | 3,776 |
| Median Market Cap | $4.0B | $4.0B | $48.1B |
| Price/Earnings Ratio | 29.2x | 29.3x | 20.6x |
| Price/Book Ratio | 2.5x | 2.5x | 2.7x |
| Return on Equity | 11.4% | 11.4% | 17.8% |
| Earnings Growth | |||
| Rate | 15.1% | 15.2% | 15.4% |
| Dividend Yield | 1.3% | 1.3% | 1.9% |
| Foreign Holdings | 0.0% | 0.0% | 2.8% |
| Turnover Rate | 9% | — | — |
| Short-Term Reserves | -0.1% | — | — |
| Sector Diversification (% of equity exposure) | |||
| DJ | |||
| S&P | U.S. Total | ||
| Completion | Market | ||
| Fund | Index | FA Index | |
| Consumer Discretionary | 15.9% | 15.9% | 12.9% |
| Consumer Staples | 3.1 | 3.1 | 8.5 |
| Energy | 4.2 | 4.3 | 7.6 |
| Financials | 23.3 | 23.4 | 17.9 |
| Health Care | 12.9 | 12.9 | 14.0 |
| Industrials | 15.0 | 14.9 | 11.3 |
| Information Technology | 16.3 | 16.2 | 19.0 |
| Materials | 5.1 | 5.1 | 3.6 |
| Telecommunication | |||
| Services | 0.9 | 0.9 | 2.0 |
| Utilities | 3.3 | 3.3 | 3.2 |
| Volatility Measures | ||
| DJ | ||
| S&P | U.S. Total | |
| Completion | Market | |
| Index | FA Index | |
| R-Squared | 1.00 | 0.87 |
| Beta | 1.00 | 1.18 |
| These measures show the degree and timing of the fund’s | ||
| fluctuations compared with the indexes over 36 months. | ||
| Ten Largest Holdings (% of total net assets) | ||
| Liberty Global plc | Cable & Satellite | 0.9% |
| American Airlines Group | ||
| Inc. | Airlines | 0.9 |
| Illumina Inc. | Life Sciences Tools & | |
| Services | 0.6 | |
| United Continental | ||
| Holdings Inc. | Airlines | 0.6 |
| LinkedIn Corp. | Internet Software & | |
| Services | 0.5 | |
| HCA Holdings Inc. | Health Care Facilities 0.5 | |
| Tesla Motors Inc. | Automobile | |
| Manufacturers | 0.5 | |
| Las Vegas Sands Corp. | Casinos & Gaming | 0.5 |
| Twitter Inc. | Internet Software & | |
| Services | 0.4 | |
| Cheniere Energy Inc. | Oil & Gas Storage & | |
| Transportation | 0.3 | |
| Top Ten | 5.7% | |
| 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 fiscal year ended December 31, 2014, the expense ratios were 0.23% for Investor Shares, 0.10% for Admiral Shares, 0.08% for Institutional Shares, 0.06% for Institutional Plus Shares, and 0.10% for ETF Shares.
11
Extended Market Index Fund
Investment Focus
12
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.
Cumulative Performance: December 31, 2004, Through December 31, 2014
Initial Investment of $10,000
| Average Annual Total Returns | |||||
| Periods Ended December 31, 2014 | |||||
| Final Value | |||||
| One | Five | Ten | of a $10,000 | ||
| Year | Years | Years | Investment | ||
| Extended Market Index | |||||
| Fund*Investor Shares | 7.42% | 16.58% | 9.08% | $23,842 | |
| •••••••• | Spliced Extended Market Index | 7.50 | 16.66 | 9.12 | 23,931 |
| – – – – | Mid-Cap Core Funds Average | 8.13 | 14.83 | 8.07 | 21,729 |
| Dow Jones U.S. Total Stock Market | |||||
| Float Adjusted Index | 12.47 | 15.72 | 8.09 | 21,779 | |
| For a benchmark description, see the Glossary. | |||||
| Mid-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |||||
| Final Value | |||||
| One | Five | Ten | of a $10,000 | ||
| Year | Years | Years | Investment | ||
| Extended Market Index Fund Admiral Shares | 7.56% | 16.75% | 9.24% | $24,195 | |
| Spliced Extended Market Index | 7.50 | 16.66 | 9.12 | 23,931 | |
| Dow Jones U.S. Total Stock Market Float | |||||
| Adjusted Index | 12.47 | 15.72 | 8.09 | 21,779 | |
See Financial Highlights for dividend and capital gains information.
13
| Extended Market Index Fund | ||||
| Average Annual Total Returns | ||||
| Periods Ended December 31, 2014 | ||||
| Final Value | ||||
| One | Five | Ten | of a $5,000,000 | |
| Year | Years | Years | Investment | |
| Extended Market Index Fund Institutional | ||||
| Shares | 7.56% | 16.77% | 9.27% | $12,131,040 |
| Spliced Extended Market Index | 7.50 | 16.66 | 9.12 | 11,965,697 |
| Dow Jones U.S. Total Stock Market Float | ||||
| Adjusted Index | 12.47 | 15.72 | 8.09 | 10,889,319 |
| Since | Final Value | |||
| One | Inception | of a $100,000,000 | ||
| Year | (1/14/2011) | Investment | ||
| Extended Market Index Fund Institutional Plus | ||||
| Shares | 7.60% | 13.47% | $164,986,075 | |
| S&P Completion Index | 7.50 | 13.34 | 164,202,460 | |
| Dow Jones U.S. Total Stock Market Float | ||||
| Adjusted Index | 12.47 | 14.59 | 171,493,068 | |
"Since Inception" performance is calculated from the Institutional Plus Shares’ inception date for both the fund and its comparative standards.
| Final Value | ||||
| One | Five | Ten | of a $10,000 | |
| Year | Years | Years | Investment | |
| Extended Market Index Fund | ||||
| ETF Shares Net Asset Value | 7.55% | 16.73% | 9.24% | $24,204 |
| Spliced Extended Market Index | 7.50 | 16.66 | 9.12 | 23,931 |
| Dow Jones U.S. Total Stock Market Float | ||||
| Adjusted Index | 12.47 | 15.72 | 8.09 | 21,779 |
| Cumulative Returns of ETF Shares: December 31, 2004, Through December 31, 2014 | ||||
| One | Five | Ten | ||
| Year | Years | Years | ||
| Extended Market Index Fund ETF Shares Market | ||||
| Price | 7.55% | 116.82% | 142.27% | |
| Extended Market Index Fund ETF Shares Net Asset | ||||
| Value | 7.55 | 116.77 | 142.04 | |
| Spliced Extended Market Index | 7.50 | 116.03 | 139.31 | |
14
Extended Market Index Fund
Fiscal-Year Total Returns (%): December 31, 2004, Through December 31, 2014
Extended Market Index Fund Investor Shares
Spliced Extended Market Index
For a benchmark description, see the Glossary.
15
Extended Market Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of December 31, 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 | |||
| * Liberty Global plc | 5,887,670 | 284,433 | 0.7% |
| * Tesla Motors Inc. | 886,884 | 197,252 | 0.5% |
| Las Vegas Sands Corp. | 3,389,024 | 197,106 | 0.5% |
| * DISH Network Corp. Class A | 1,947,685 | 141,967 | 0.3% |
| * Charter Communications Inc. Class A | 750,248 | 125,006 | 0.3% |
| Advance Auto Parts Inc. | 670,307 | 106,767 | 0.3% |
| * TRW Automotive Holdings Corp. | 1,016,854 | 104,583 | 0.3% |
| Hanesbrands Inc. | 917,633 | 102,426 | 0.3% |
| * Hilton Worldwide Holdings Inc. | 3,796,872 | 99,060 | 0.2% |
| Signet Jewelers Ltd. | 736,205 | 96,862 | 0.2% |
| * Liberty Global plc Class A | 1,923,336 | 96,561 | 0.2% |
| Autoliv Inc. | 832,138 | 88,306 | 0.2% |
| Polaris Industries Inc. | 561,208 | 84,877 | 0.2% |
| * Sirius XM Holdings Inc. | 23,737,093 | 83,080 | 0.2% |
| Consumer Discretionary—Other † | 4,685,722 | 11.4% | |
| 6,494,008 | 15.8% | ||
| Consumer Staples | |||
| Bunge Ltd. | 1,333,288 | 121,209 | 0.3% |
| Church & Dwight Co. Inc. | 1,231,540 | 97,058 | 0.2% |
| Consumer Staples—Other † | 1,065,205 | 2.6% | |
| 1,283,472 | 3.1% | ||
| Energy | |||
| * Cheniere Energy Inc. | 2,032,484 | 143,087 | 0.3% |
| * Concho Resources Inc. | 1,040,293 | 103,769 | 0.3% |
| * Weatherford International plc | 7,125,179 | 81,583 | 0.2% |
| Energy—Other † | 1,395,624 | 3.4% | |
| 1,724,063 | 4.2% | ||
| Financials | |||
| SL Green Realty Corp. | 886,724 | 105,538 | 0.3% |
| Realty Income Corp. | 2,050,441 | 97,827 | 0.3% |
| Annaly Capital Management Inc. | 8,700,639 | 94,054 | 0.2% |
16
| Extended Market Index Fund | |||
| Market | Percentage | ||
| Value• | of Net | ||
| Shares | ($000) | Assets | |
| TD Ameritrade Holding Corp. | 2,499,382 | 89,428 | 0.2% |
| * Markel Corp. | 128,172 | 87,521 | 0.2% |
| Federal Realty Investment Trust | 625,553 | 83,486 | 0.2% |
| Digital Realty Trust Inc. | 1,247,909 | 82,736 | 0.2% |
| Financials—Other † | 8,872,693 | 21.6% | |
| 9,513,283 | 23.2% | ||
| Health Care | |||
| * Illumina Inc. | 1,304,484 | 240,782 | 0.6% |
| * HCA Holdings Inc. | 2,786,278 | 204,485 | 0.5% |
| * BioMarin Pharmaceutical Inc. | 1,354,894 | 122,482 | 0.3% |
| * Henry Schein Inc. | 774,111 | 105,395 | 0.3% |
| * Incyte Corp. | 1,422,995 | 104,035 | 0.2% |
| * Endo International plc | 1,413,475 | 101,940 | 0.2% |
| * Jazz Pharmaceuticals plc | 555,581 | 90,965 | 0.2% |
| Health Care—Other † | 4,295,989 | 10.5% | |
| 5,266,073 | 12.8% | ||
| Industrials | |||
| American Airlines Group Inc. | 6,589,047 | 353,371 | 0.9% |
| * United Continental Holdings Inc. | 3,390,437 | 226,786 | 0.6% |
| * Hertz Global Holdings Inc. | 4,123,413 | 102,838 | 0.2% |
| TransDigm Group Inc. | 453,256 | 88,997 | 0.2% |
| * Verisk Analytics Inc. Class A | 1,364,354 | 87,387 | 0.2% |
| * Sensata Technologies Holding NV | 1,550,632 | 81,269 | 0.2% |
| Industrials—Other † | 5,178,993 | 12.6% | |
| 6,119,641 | 14.9% | ||
| Information Technology | |||
| * LinkedIn Corp. Class A | 969,617 | 222,731 | 0.5% |
| * Twitter Inc. | 4,721,350 | 169,355 | 0.4% |
| Skyworks Solutions Inc. | 1,751,476 | 127,350 | 0.3% |
| Equinix Inc. | 503,452 | 114,148 | 0.3% |
| * FleetCor Technologies Inc. | 700,848 | 104,223 | 0.3% |
| Activision Blizzard Inc. | 4,560,039 | 91,885 | 0.2% |
| Maxim Integrated Products Inc. | 2,603,881 | 82,986 | 0.2% |
| * ServiceNow Inc. | 1,211,840 | 82,223 | 0.2% |
| Information Technology—Other † | 5,652,656 | 13.8% | |
| 6,647,557 | 16.2% | ||
| Materials | |||
| Celanese Corp. Class A | 1,412,131 | 84,671 | 0.2% |
| Materials—Other † | 2,024,300 | 5.0% | |
| 2,108,971 | 5.2% | ||
| Other † | 2,847 | 0.0% | |
| Telecommunication Services | |||
| * SBA Communications Corp. Class A | 1,185,932 | 131,354 | 0.4% |
| Telecommunication Services—Other † | 252,223 | 0.6% | |
| 383,577 | 1.0% | ||
| Utilities | |||
| American Water Works Co. Inc. | 1,650,010 | 87,946 | 0.2% |
| Utilities—Other † | 1,279,939 | 3.1% | |
| 1,367,885 | 3.3% | ||
| Total Common Stocks (Cost $29,071,282) | 40,911,377 | 99.7%1 | |
17
| 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 | 0.126% | 436,998,584 | 436,999 | 1.1% |
| 4U.S. Government and Agency Obligations † | 14,696 | 0.0% | ||
| Total Temporary Cash Investments (Cost $451,694) | 451,695 | 1.1%1 | ||
| 5Total Investments (Cost $29,522,976) | 41,363,072 | 100.8% | ||
| Other Assets and Liabilities | ||||
| Other Assets | 218,992 | 0.5% | ||
| Liabilities3 | (529,856) | (1.3%) | ||
| (310,864) | (0.8%) | |||
| Net Assets | 41,052,208 | 100.0% | ||
| At December 31, 2014, net assets consisted of: | ||||
| Amount | ||||
| ($000) | ||||
| Paid-in Capital | 29,610,169 | |||
| Overdistributed Net Investment Income | (15,397) | |||
| Accumulated Net Realized Losses | (387,391) | |||
| Unrealized Appreciation (Depreciation) | ||||
| Investment Securities | 11,840,096 | |||
| Futures Contracts | 4,731 | |||
| Net Assets | 41,052,208 | |||
| Investor Shares—Net Assets | ||||
| Applicable to 35,126,416 outstanding $.001 par value shares of | ||||
| beneficial interest (unlimited authorization) | 2,340,519 | |||
| Net Asset Value Per Share—Investor Shares | $66.63 | |||
| Admiral Shares—Net Assets | ||||
| Applicable to 192,944,263 outstanding $.001 par value shares of | ||||
| beneficial interest (unlimited authorization) | 12,851,563 | |||
| Net Asset Value Per Share—Admiral Shares | $66.61 | |||
| Institutional Shares—Net Assets | ||||
| Applicable to 128,622,885 outstanding $.001 par value shares of | ||||
| beneficial interest (unlimited authorization) | 8,566,896 | |||
| Net Asset Value Per Share—Institutional Shares | $66.60 | |||
18
| Extended Market Index Fund | |
| Amount | |
| ($000) | |
| Institutional Plus Shares—Net Assets | |
| Applicable to 82,951,506 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 13,634,243 |
| Net Asset Value Per Share—Institutional Plus Shares | $164.36 |
| ETF Shares—Net Assets | |
| Applicable to 41,676,679 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 3,658,987 |
| Net Asset Value Per Share—ETF Shares | $87.79 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent
1% or less of net assets.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.8%, respectively,
of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the
7-day yield.
3 Includes $346,752,000 of collateral received for securities on loan.
4 Securities with a value of $5,699,000 have been segregated as initial margin for open futures contracts.
5 The total value of securities on loan is $314,997,000.
See accompanying Notes, which are an integral part of the Financial Statements.
19
| Extended Market Index Fund | |
| Statement of Operations | |
| Year Ended | |
| December 31, 2014 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends | 543,065 |
| Interest1 | 127 |
| Securities Lending | 37,478 |
| Total Income | 580,670 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 2,808 |
| Management and Administrative—Investor Shares | 5,055 |
| Management and Administrative—Admiral Shares | 8,028 |
| Management and Administrative—Signal Shares | 997 |
| Management and Administrative—Institutional Shares | 3,718 |
| Management and Administrative—Institutional Plus Shares | 3,660 |
| Management and Administrative—ETF Shares | 2,247 |
| Marketing and Distribution—Investor Shares | 564 |
| Marketing and Distribution—Admiral Shares | 1,363 |
| Marketing and Distribution—Signal Shares | 546 |
| Marketing and Distribution—Institutional Shares | 1,892 |
| Marketing and Distribution—Institutional Plus Shares | 2,387 |
| Marketing and Distribution—ETF Shares | 802 |
| Custodian Fees | 679 |
| Auditing Fees | 41 |
| Shareholders’ Reports—Investor Shares | 56 |
| Shareholders’ Reports—Admiral Shares | 57 |
| Shareholders’ Reports—Signal Shares | 36 |
| Shareholders’ Reports—Institutional Shares | 112 |
| Shareholders’ Reports—Institutional Plus Shares | 225 |
| Shareholders’ Reports—ETF Shares | 110 |
| Trustees’ Fees and Expenses | 29 |
| Total Expenses | 35,412 |
| Net Investment Income | 545,258 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 1,569,129 |
| Futures Contracts | 7,807 |
| Realized Net Gain (Loss) | 1,576,936 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | 719,764 |
| Futures Contracts | 1,968 |
| Change in Unrealized Appreciation (Depreciation) | 721,732 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 2,843,926 |
| 1 Interest income from an affiliated company of the fund was $122,000. | |
| See accompanying Notes, which are an integral part of the Financial Statements. | |
20
| Extended Market Index Fund | ||
| Statement of Changes in Net Assets | ||
| Year Ended December 31, | ||
| 2014 | 2013 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 545,258 | 404,160 |
| Realized Net Gain (Loss) | 1,576,936 | 995,233 |
| Change in Unrealized Appreciation (Depreciation) | 721,732 | 8,307,829 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 2,843,926 | 9,707,222 |
| Distributions | ||
| Net Investment Income | ||
| Investor Shares | (27,824) | (27,116) |
| Admiral Shares | (167,142) | (98,912) |
| Signal Shares | (648) | (30,756) |
| Institutional Shares | (111,484) | (88,223) |
| Institutional Plus Shares | (182,833) | (129,861) |
| ETF Shares | (46,904) | (34,500) |
| Realized Capital Gain | ||
| Investor Shares | — | — |
| Admiral Shares | — | — |
| Signal Shares | — | — |
| Institutional Shares | — | — |
| Institutional Plus Shares | — | — |
| ETF Shares | — | — |
| Total Distributions | (536,835) | (409,368) |
| Capital Share Transactions | ||
| Investor Shares | (559,893) | (1,059,749) |
| Admiral Shares | 3,311,312 | 615,695 |
| Signal Shares | (2,792,473) | (321,297) |
| Institutional Shares | 278,847 | 257,765 |
| Institutional Plus Shares | 1,549,959 | 3,404,789 |
| ETF Shares | 340,980 | 902,373 |
| Net Increase (Decrease) from Capital Share Transactions | 2,128,732 | 3,799,576 |
| Total Increase (Decrease) | 4,435,823 | 13,097,430 |
| Net Assets | ||
| Beginning of Period | 36,616,385 | 23,518,955 |
| End of Period1 | 41,052,208 | 36,616,385 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($15,397,000) and ($24,091,000).
See accompanying Notes, which are an integral part of the Financial Statements.
21
| Extended Market Index Fund | |||||
| Financial Highlights | |||||
| Investor Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $62.76 | $45.86 | $39.34 | $41.26 | $32.67 |
| Investment Operations | |||||
| Net Investment Income | .795 | .602 | .688 | .385 | .360 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 3.857 | 16.903 | 6.515 | (1.923) | 8.581 |
| Total from Investment Operations | 4.652 | 17.505 | 7.203 | (1.538) | 8.941 |
| Distributions | |||||
| Dividends from Net Investment Income | (.782) | (. 605) | (. 683) | (. 382) | (. 351) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.782) | (. 605) | (. 683) | (. 382) | (. 351) |
| Net Asset Value, End of Period | $66.63 | $62.76 | $45.86 | $39.34 | $41.26 |
| Total Return1 | 7.42% | 38.19% | 18.31% | -3.73% | 27.37% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $2,341 | $2,749 | $2,857 | $2,753 | $3,405 |
| Ratio of Total Expenses to Average Net Assets | 0.23% | 0.24% | 0.24% | 0.24% | 0.26% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 1.27% | 1.19% | 1.62% | 0.93% | 1.07% |
| Portfolio Turnover Rate2 | 9% | 11% | 12% | 14% | 10% |
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
| Extended Market Index Fund | |||||
| Financial Highlights | |||||
| Admiral Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $62.75 | $45.87 | $39.35 | $41.28 | $32.67 |
| Investment Operations | |||||
| Net Investment Income | . 895 | .706 | .758 | .450 | . 399 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 3.845 | 16.884 | 6.513 | (1.932) | 8.606 |
| Total from Investment Operations | 4.740 | 17.590 | 7.271 | (1.482) | 9.005 |
| Distributions | |||||
| Dividends from Net Investment Income | (.880) | (.710) | (.751) | (.448) | (.395) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.880) | (.710) | (.751) | (.448) | (.395) |
| Net Asset Value, End of Period | $66.61 | $62.75 | $45.87 | $39.35 | $41.28 |
| Total Return1 | 7.56% | 38.37% | 18.48% | -3.59% | 27.57% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $12,852 | $8,864 | $5,970 | $5,018 | $5,161 |
| Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.12% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 1.40% | 1.33% | 1.76% | 1.07% | 1.21% |
| Portfolio Turnover Rate2 | 9% | 11% | 12% | 14% | 10% |
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.
23
| Extended Market Index Fund | |||||
| Financial Highlights | |||||
| Signal Shares | |||||
| Jan. 1, | |||||
| 2014, to | |||||
| Oct. 24, | Year Ended December 31, | ||||
| For a Share Outstanding Throughout Each Period | 20141 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $53.92 | $39.41 | $33.81 | $35.46 | $28.08 |
| Investment Operations | |||||
| Net Investment Income | . 524 | . 601 | . 650 | . 384 | .355 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | .399 | 14.513 | 5.595 | (1.652) | 7.376 |
| Total from Investment Operations | .923 | 15.114 | 6.245 | (1.268) | 7.731 |
| Distributions | |||||
| Dividends from Net Investment Income | (. 013) | (. 604) | (. 645) | (. 382) | (. 351) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (. 013) | (. 604) | (. 645) | (. 382) | (. 351) |
| Net Asset Value, End of Period | $54.831 | $53.92 | $39.41 | $33.81 | $35.46 |
| Total Return | 1.71% | 38.37% | 18.48% | -3.58% | 27.53% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $— | $2,740 | $2,242 | $1,814 | $2,094 |
| Ratio of Total Expenses to Average Net Assets | 0.10%2 | 0.10% | 0.10% | 0.10% | 0.12% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 1.22%2 | 1.33% | 1.76% | 1.07% | 1.21% |
| Portfolio Turnover Rate 3 | 9% | 11% | 12% | 14% | 10% |
1 Net asset value as of October 24, 2014, on which date the Signal Shares were converted to Admiral Shares.
| 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.
24
| Extended Market Index Fund | |||||
| Financial Highlights | |||||
| Institutional Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $62.75 | $45.86 | $39.34 | $41.27 | $32.68 |
| Investment Operations | |||||
| Net Investment Income | . 908 | .715 | .764 | .460 | .429 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 3.833 | 16.895 | 6.514 | (1.933) | 8.586 |
| Total from Investment Operations | 4.741 | 17.610 | 7.278 | (1.473) | 9.015 |
| Distributions | |||||
| Dividends from Net Investment Income | (.891) | (.720) | (.758) | (.457) | (.425) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.891) | (.720) | (.758) | (.457) | (.425) |
| Net Asset Value, End of Period | $66.60 | $62.75 | $45.86 | $39.34 | $41.27 |
| Total Return | 7.56% | 38.42% | 18.50% | -3.57% | 27.59% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $8,567 | $7,812 | $5,496 | $5,810 | $5,648 |
| Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 1.42% | 1.35% | 1.78% | 1.09% | 1.25% |
| Portfolio Turnover Rate1 | 9% | 11% | 12% | 14% | 10% |
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
| Extended Market Index Fund | ||||
| Financial Highlights | ||||
| Institutional Plus Shares | ||||
| Jan. 14, | ||||
| 20111 to | ||||
| Year Ended 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 | 2.273 | 1.797 | 1.917 | 1.139 |
| Net Realized and Unrealized Gain (Loss) on Investments | 9.481 | 41.671 | 16.064 | (8.015) |
| Total from Investment Operations | 11.754 | 43.468 | 17.981 | (6.876) |
| Distributions | ||||
| Dividends from Net Investment Income | (2.234) | (1.808) | (1.901) | (1.154) |
| Distributions from Realized Capital Gains | — | — | — | — |
| Total Distributions | (2.234) | (1.808) | (1.901) | (1.154) |
| Net Asset Value, End of Period | $164.36 | $154.84 | $113.18 | $97.10 |
| Total Return | 7.60% | 38.43% | 18.52% | -6.54% |
| Ratios/Supplemental Data | ||||
| Net Assets, End of Period (Millions) | $13,634 | $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 | 1.44% | 1.37% | 1.80% | 1.11%2 |
| Portfolio Turnover Rate3 | 9% | 11% | 12% | 14% |
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.
26
| Extended Market Index Fund | |||||
| Financial Highlights | |||||
| ETF Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $82.71 | $60.46 | $51.87 | $54.42 | $43.09 |
| Investment Operations | |||||
| Net Investment Income | 1.178 | . 934 | 1.000 | .593 | .547 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 5.061 | 22.256 | 8.582 | (2.553) | 11.324 |
| Total from Investment Operations | 6.239 | 23.190 | 9.582 | (1.960) | 11.871 |
| Distributions | |||||
| Dividends from Net Investment Income | (1.159) | (. 940) | (. 992) | (. 590) | (. 541) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.159) | (. 940) | (. 992) | (. 590) | (. 541) |
| Net Asset Value, End of Period | $87.79 | $82.71 | $60.46 | $51.87 | $54.42 |
| Total Return | 7.55% | 38.37% | 18.48% | -3.61% | 27.55% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $3,659 | $3,105 | $1,477 | $1,148 | $1,113 |
| Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.12% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 1.40% | 1.33% | 1.76% | 1.07% | 1.21% |
| Portfolio Turnover Rate1 | 9% | 11% | 12% | 14% | 10% |
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.
27
Extended Market Index Fund
Notes to Financial Statements
Vanguard Extended Market Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers five classes of shares: Investor Shares, Admiral Shares, 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, 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. Prior to October 24, 2014, the fund offered Signal Shares. Effective October 24, 2014, the Signal Shares were converted to Admiral Shares.
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 settlement values 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).
28
Extended Market Index Fund
During the year ended December 31, 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, 2011–2014), 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 December 31, 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
29
Extended Market Index Fund
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 invest up to 0.40% of its net assets in Vanguard. At December 31, 2014, the fund had contributed capital of $3,859,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 1.54% 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 December 31, 2014, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 40,898,390 | 10,417 | 2,570 |
| Temporary Cash Investments | 436,999 | 14,696 | — |
| Futures Contracts—Liabilities1 | (1,256) | — | — |
| Total | 41,334,133 | 25,113 | 2,570 |
| 1 Represents variation margin on the last day of the reporting period. |
D. At December 31, 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 | March 2015 | 662 | 79,486 | 2,927 |
| E-mini S&P MidCap 400 | March 2015 | 218 | 31,579 | 1,067 |
| S&P 500 Index | March 2015 | 34 | 17,445 | 737 |
| 4,731 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
30
Extended Market Index Fund
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
Certain of the fund’s investments are in securities considered to be passive foreign investment companies, for which any unrealized appreciation and/or realized gains are required to be included in distributable net income for tax purposes. During the year ended December 31, 2014, the fund realized gains on the sale of passive foreign investment companies of $271,000, which have been included in current and prior periods’ taxable income; accordingly, such gains have been reclassified from accumulated net realized losses to overdistributed net investment income. Passive foreign investment companies held at December 31, 2014, had unrealized appreciation of $6,240,000, of which $4,955,000 has been distributed and is reflected in the balance of overdistributed net investment income.
During the year ended December 31, 2014, the fund realized $1,696,662,000 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.
For tax purposes, at December 31, 2014, the fund had $16,546,000 of ordinary income available for distribution. At December 31, 2014, the fund had available capital losses totaling $381,471,000 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 $307,309,000 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.
At December 31, 2014, the cost of investment securities for tax purposes was $29,529,216,000. Net unrealized appreciation of investment securities for tax purposes was $11,833,856,000, consisting of unrealized gains of $13,929,717,000 on securities that had risen in value since their purchase and $2,095,861,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended December 31, 2014, the fund purchased $8,518,530,000 of investment securities and sold $6,388,145,000 of investment securities, other than temporary cash investments. Purchases and sales include $3,281,695,000 and $3,036,699,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
31
Extended Market Index Fund
G. Capital share transactions for each class of shares were:
| Year Ended December 31, | ||||
| 2014 | 2013 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| Investor Shares | ||||
| Issued | 428,761 | 6,716 | 549,282 | 10,154 |
| Issued in Lieu of Cash Distributions | 27,189 | 410 | 26,565 | 431 |
| Redeemed | (1,015,843) | (15,803) | (1,635,596) | (29,081) |
| Net Increase (Decrease)—Investor Shares | (559,893) | (8,677) | (1,059,749) | (18,496) |
| Admiral Shares | ||||
| Issued1 | 4,347,600 | 67,825 | 1,261,504 | 23,061 |
| Issued in Lieu of Cash Distributions | 147,624 | 2,228 | 88,388 | 1,430 |
| Redeemed | (1,183,912) | (18,362) | (734,197) | (13,381) |
| Net Increase (Decrease)—Admiral Shares | 3,311,312 | 51,691 | 615,695 | 11,110 |
| Signal Shares | ||||
| Issued | 530,845 | 9,725 | 1,254,647 | 26,848 |
| Issued in Lieu of Cash Distributions | 568 | 10 | 27,016 | 509 |
| Redeemed1 | (3,323,886) | (60,553) | (1,602,960) | (33,432) |
| Net Increase (Decrease)—Signal Shares | (2,792,473) | (50,818) | (321,297) | (6,075) |
| Institutional Shares | ||||
| Issued | 2,742,036 | 42,446 | 2,647,825 | 48,729 |
| Issued in Lieu of Cash Distributions | 105,177 | 1,587 | 83,456 | 1,350 |
| Redeemed | (2,568,366) | (39,916) | (2,473,516) | (45,401) |
| Net Increase (Decrease) —Institutional Shares | 278,847 | 4,117 | 257,765 | 4,678 |
| Institutional Plus Shares | ||||
| Issued | 2,976,636 | 18,704 | 4,181,041 | 30,708 |
| Issued in Lieu of Cash Distributions | 180,167 | 1,102 | 128,172 | 839 |
| Redeemed | (1,606,844) | (10,133) | (904,424) | (6,656) |
| Net Increase (Decrease)—Institutional Plus Shares | 1,549,959 | 9,673 | 3,404,789 | 24,891 |
| ETF Shares | ||||
| Issued | 3,618,659 | 42,340 | 3,748,528 | 50,303 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (3,277,679) | (38,200) | (2,846,155) | (37,200) |
| Net Increase (Decrease)—ETF Shares | 340,980 | 4,140 | 902,373 | 13,103 |
1 Admiral Shares Issued and Signal Shares Redeemed include $1,738,974,000 from the conversion of Signal Shares to Admiral Shares during the 2014 fiscal year.
H. Management has determined that no material events or transactions occurred subsequent to December 31, 2014, that would require recognition or disclosure in these financial statements.
32
| Mid-Cap Index Fund | |||||
| Fund Profile | |||||
| As of December 31, 2014 | |||||
| Share-Class Characteristics | |||||
| Investor | Admiral | Institutional | Institutional | ||
| Shares | Shares | Shares | Plus Shares | ETF Shares | |
| Ticker Symbol | VIMSX | VIMAX | VMCIX | VMCPX | VO |
| Expense Ratio1 | 0.24% | 0.09% | 0.08% | 0.06% | 0.09% |
| 30-Day SEC Yield | 1.15% | 1.29% | 1.30% | 1.32% | 1.29% |
| Portfolio Characteristics | |||
| DJ | |||
| U.S. | |||
| CRSP US | Total | ||
| Mid Cap | Market | ||
| Fund | Index FA Index | ||
| Number of Stocks | 376 | 374 | 3,776 |
| Median Market Cap | $11.1B | $11.1B | $48.1B |
| Price/Earnings Ratio | 24.7x | 24.6x | 20.6x |
| Price/Book Ratio | 2.8x | 2.8x | 2.7x |
| Return on Equity | 16.4% | 16.0% | 17.8% |
| Earnings Growth | |||
| Rate | 14.8% | 14.8% | 15.4% |
| Dividend Yield | 1.4% | 1.4% | 1.9% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | 11% | — | — |
| 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 | 4.3% | 4.3% | 2.8% |
| Consumer Goods | 14.3 | 14.3 | 9.9 |
| Consumer Services | 14.5 | 14.5 | 13.6 |
| Financials | 17.6 | 17.6 | 19.0 |
| Health Care | 9.1 | 9.1 | 13.5 |
| Industrials | 16.4 | 16.4 | 12.6 |
| Oil & Gas | 5.7 | 5.7 | 7.5 |
| Technology | 11.5 | 11.5 | 15.8 |
| Telecommunications | 1.2 | 1.2 | 2.0 |
| Utilities | 5.4 | 5.4 | 3.3 |
| Volatility Measures | |||
| DJ | |||
| Spliced | U.S. Total | ||
| Mid-Cap | Market | ||
| Index | FA Index | ||
| R-Squared | 1.00 | 0.94 | |
| Beta | 1.00 | 1.08 | |
| These measures show the degree and timing of the fund’s | |||
| fluctuations compared with the indexes over 36 months. | |||
| Ten Largest Holdings (% of total net assets) | |||
| Health Care REIT Inc. | Specialty REITs | 0.8% | |
| United Continental | |||
| Holdings Inc. | Airlines | 0.7 | |
| AvalonBay Communities | |||
| Inc. | Residential REITs | 0.7 | |
| Delphi Automotive plc | Auto Parts | 0.7 | |
| L Brands Inc. | Apparel Retailers | 0.7 | |
| Sherwin-Williams Co. | Building Materials & | ||
| Fixtures | 0.7 | ||
| Chipotle Mexican Grill | |||
| Inc. | Restaurants & Bars | 0.6 | |
| Mylan Inc. | Pharmaceuticals | 0.6 | |
| Seagate Technology plc | Computer Hardware | 0.6 | |
| Moody's Corp. | Specialty Finance | 0.6 | |
| Top Ten | 6.7% | ||
| 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 fiscal year ended December 31, 2014, the expense ratios were 0.23% for Investor Shares, 0.09% for Admiral Shares, 0.08% for Institutional Shares, 0.06% for Institutional Plus Shares, and 0.09% for ETF Shares.
33
Mid-Cap Index Fund
Investment Focus
34
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.
Cumulative Performance: December 31, 2004, Through December 31, 2014
Initial Investment of $10,000
| Average Annual Total Returns | |||||
| Periods Ended December 31, 2014 | |||||
| Final Value | |||||
| One | Five | Ten | of a $10,000 | ||
| Year | Years | Years | Investment | ||
| Mid-Cap Index Fund*Investor Shares | 13.60% | 16.88% | 9.34% | $24,412 | |
| •••••••• | Spliced Mid-Cap Index | 13.83 | 17.10 | 9.50 | 24,777 |
| – – – – | Mid-Cap Core Funds Average | 8.13 | 14.83 | 8.07 | 21,729 |
| Dow Jones U.S. Total Stock Market | |||||
| Float Adjusted Index | 12.47 | 15.72 | 8.09 | 21,779 | |
| For a benchmark description, see the Glossary. | |||||
| Mid-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |||||
| Final Value | |||||
| One | Five | Ten | of a $10,000 | ||
| Year | Years | Years | Investment | ||
| Mid-Cap Index Fund Admiral Shares | 13.76% | 17.04% | 9.47% | $24,720 | |
| Spliced Mid-Cap Index | 13.83 | 17.10 | 9.50 | 24,777 | |
| Dow Jones U.S. Total Stock Market Float | |||||
| Adjusted Index | 12.47 | 15.72 | 8.09 | 21,779 | |
See Financial Highlights for dividend and capital gains information.
35
| Mid-Cap Index Fund | ||||
| Average Annual Total Returns | ||||
| Periods Ended December 31, 2014 | ||||
| Final Value | ||||
| One | Five | Ten | of a $5,000,000 | |
| Year | Years | Years | Investment | |
| Mid-Cap Index Fund Institutional Shares | 13.78% | 17.06% | 9.51% | $12,402,646 |
| Spliced Mid-Cap Index | 13.83 | 17.10 | 9.50 | 12,388,652 |
| Dow Jones U.S. Total Stock Market Float | ||||
| Adjusted Index | 12.47 | 15.72 | 8.09 | 10,889,319 |
| Since | Final Value | |||
| One | Inception | of a $100,000,000 | ||
| Year | (12/15/2010) | Investment | ||
| Mid-Cap Index Fund Institutional Plus Shares | 13.79% | 15.47% | $178,884,146 | |
| Spliced Mid-Cap Index | 13.83 | 15.48 | 178,990,628 | |
| Dow Jones U.S. Total Stock Market Float | ||||
| Adjusted Index | 12.47 | 15.67 | 180,162,310 | |
"Since Inception" performance is calculated from the Institutional Plus Shares’ inception date for both the fund and its comparative standards.
| Final Value | ||||
| One | Five | Ten | of a $10,000 | |
| Year | Years | Years | Investment | |
| Mid-Cap Index Fund | ||||
| ETF Shares Net Asset Value | 13.76% | 17.03% | 9.46% | $24,702 |
| Spliced Mid-Cap Index | 13.83 | 17.10 | 9.50 | 24,777 |
| Dow Jones U.S. Total Stock Market Float | ||||
| Adjusted Index | 12.47 | 15.72 | 8.09 | 21,779 |
| Cumulative Returns of ETF Shares: December 31, 2004, Through December 31, 2014 | ||||
| One | Five | Ten | ||
| Year | Years | Years | ||
| Mid-Cap Index Fund ETF Shares Market Price | 13.75% | 119.39% | 147.07% | |
| Mid-Cap Index Fund ETF Shares Net Asset Value | 13.76 | 119.51 | 147.02 | |
| Spliced Mid-Cap Index | 13.83 | 120.19 | 147.77 | |
36
Mid-Cap Index Fund
Fiscal-Year Total Returns (%): December 31, 2004, Through December 31, 2014
Spliced Mid-Cap Index
For a benchmark description, see the Glossary.
37
Mid-Cap Index Fund
Financial Statements
Statement of Net Assets
As of December 31, 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 (4.3%) | |||
| Alcoa Inc. | 21,041,358 | 332,243 | |
| Sigma-Aldrich Corp. | 2,125,520 | 291,770 | |
| CF Industries | |||
| Holdings Inc. | 887,734 | 241,943 | |
| Eastman Chemical Co. | 2,385,916 | 180,996 | |
| Celanese Corp. Class A | 2,742,133 | 164,418 | |
| Ashland Inc. | 1,238,079 | 148,272 | |
| International Flavors & | |||
| Fragrances Inc. | 1,445,251 | 146,491 | |
| CONSOL Energy Inc. | 4,108,444 | 138,907 | |
| Airgas Inc. | 1,199,924 | 138,207 | |
| FMC Corp. | 2,378,609 | 135,652 | |
| * | WR Grace & Co. | 1,251,687 | 119,398 |
| Huntsman Corp. | 3,704,763 | 84,395 | |
| Avery Dennison Corp. | 1,625,929 | 84,353 | |
| Newmont Mining Corp. | 4,451,336 | 84,130 | |
| Albemarle Corp. | 1,396,703 | 83,984 | |
| Reliance Steel & | |||
| Aluminum Co. | 1,323,808 | 81,110 | |
| Westlake Chemical Corp. | 714,283 | 43,636 | |
| Peabody Energy Corp. | 2,429,132 | 18,801 | |
| 2,518,706 | |||
| Consumer Goods (14.2%) | |||
| Delphi Automotive plc | 5,284,808 | 384,311 | |
| * | Monster Beverage Corp. | 2,692,958 | 291,782 |
| Keurig Green | |||
| Mountain Inc. | 2,168,819 | 287,141 | |
| * | Constellation Brands Inc. | ||
| Class A | 2,873,875 | 282,128 | |
| Genuine Parts Co. | 2,595,870 | 276,642 | |
| ConAgra Foods Inc. | 7,582,831 | 275,105 | |
| Whirlpool Corp. | 1,389,934 | 269,286 | |
| Harley-Davidson Inc. | 3,824,529 | 252,075 | |
| Dr Pepper Snapple | |||
| Group Inc. | 3,470,027 | 248,731 | |
| * | Electronic Arts Inc. | 5,272,458 | 247,885 |
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| Clorox Co. | 2,309,723 | 240,696 | |
| Bunge Ltd. | 2,462,003 | 223,821 | |
| BorgWarner Inc. | 4,058,375 | 223,008 | |
| Tyson Foods Inc. Class A | 5,455,692 | 218,719 | |
| * | Under Armour Inc. | ||
| Class A | 3,141,856 | 213,332 | |
| * | TRW Automotive | ||
| Holdings Corp. | 1,974,568 | 203,084 | |
| Ralph Lauren Corp. | |||
| Class A | 1,096,320 | 202,995 | |
| Hanesbrands Inc. | 1,782,960 | 199,014 | |
| Molson Coors Brewing | |||
| Co. Class B | 2,597,252 | 193,547 | |
| PVH Corp. | 1,470,627 | 188,490 | |
| Church & Dwight Co. Inc. | 2,387,753 | 188,179 | |
| Mattel Inc. | 6,047,729 | 187,147 | |
| Coach Inc. | 4,919,071 | 184,760 | |
| Newell Rubbermaid Inc. | 4,838,925 | 184,315 | |
| JM Smucker Co. | 1,726,458 | 174,338 | |
| * | Mohawk Industries Inc. | 1,105,967 | 171,823 |
| Coca-Cola Enterprises Inc. | 3,883,179 | 171,714 | |
| Polaris Industries Inc. | 1,066,568 | 161,308 | |
| * | Jarden Corp. | 3,261,974 | 156,183 |
| DR Horton Inc. | 5,856,690 | 148,116 | |
| McCormick & Co. Inc. | 1,985,773 | 147,543 | |
| Energizer Holdings Inc. | 1,108,290 | 142,482 | |
| Lear Corp. | 1,414,557 | 138,740 | |
| * | LKQ Corp. | 4,867,975 | 136,887 |
| Lennar Corp. Class A | 3,034,351 | 135,969 | |
| PulteGroup Inc. | 5,955,954 | 127,815 | |
| Leucadia National Corp. | 5,589,566 | 125,318 | |
| Hormel Foods Corp. | 2,351,164 | 122,496 | |
| Hasbro Inc. | 2,018,894 | 111,019 | |
| * | WABCO Holdings Inc. | 1,050,897 | 110,113 |
| * | NVR Inc. | 69,448 | 88,569 |
| * | lululemon athletica Inc. | 1,518,170 | 84,699 |
| * | Fossil Group Inc. | 729,372 | 80,771 |
| Avon Products Inc. | 7,757,869 | 72,846 | |
| *,^ | Pilgrim’s Pride Corp. | 926,819 | 30,390 |
38
| Mid-Cap Index Fund | |||
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| Coty Inc. Class A | 1,398,606 | 28,895 | |
| ^ | Herbalife Ltd. | 575,089 | 21,681 |
| * | GoPro Inc. Class A | 278,861 | 17,629 |
| Lennar Corp. Class B | 82,620 | 2,983 | |
| 8,376,520 | |||
| Consumer Services (14.5%) | |||
| * | United Continental | ||
| Holdings Inc. | 6,587,690 | 440,651 | |
| L Brands Inc. | 4,435,502 | 383,893 | |
| * | Chipotle Mexican Grill Inc. | ||
| Class A | 553,540 | 378,904 | |
| Ross Stores Inc. | 3,558,073 | 335,384 | |
| AmerisourceBergen Corp. | |||
| Class A | 3,708,349 | 334,345 | |
| * | O’Reilly Automotive Inc. | 1,720,180 | 331,341 |
| Marriott International Inc. | |||
| Class A | 3,540,462 | 276,262 | |
| * | CarMax Inc. | 3,844,654 | 255,977 |
| * | Dollar Tree Inc. | 3,487,235 | 245,432 |
| * | Charter Communications | ||
| Inc. Class A | 1,462,740 | 243,722 | |
| Nielsen NV | 5,441,472 | 243,397 | |
| Royal Caribbean | |||
| Cruises Ltd. | 2,583,372 | 212,947 | |
| Tiffany & Co. | 1,962,500 | 209,713 | |
| Advance Auto Parts Inc. | 1,302,849 | 207,518 | |
| Staples Inc. | 11,419,950 | 206,929 | |
| Best Buy Co. Inc. | 5,304,298 | 206,762 | |
| Nordstrom Inc. | 2,578,404 | 204,699 | |
| * | Dollar General Corp. | 2,707,656 | 191,431 |
| Tractor Supply Co. | 2,426,297 | 191,241 | |
| Wyndham Worldwide | |||
| Corp. | 2,200,051 | 188,676 | |
| Signet Jewelers Ltd. | 1,431,721 | 188,372 | |
| * | Hertz Global Holdings Inc. | 7,191,856 | 179,365 |
| H&R Block Inc. | 4,910,070 | 165,371 | |
| * | Discovery | ||
| Communications Inc. | 4,871,605 | 164,271 | |
| Interpublic Group of | |||
| Cos. Inc. | 7,465,017 | 155,048 | |
| * | TripAdvisor Inc. | 1,974,192 | 147,393 |
| Expedia Inc. | 1,725,646 | 147,301 | |
| Safeway Inc. | 4,114,210 | 144,491 | |
| PetSmart Inc. | 1,774,300 | 144,242 | |
| * | MGM Resorts | ||
| International | 6,574,442 | 140,562 | |
| * | Ulta Salon Cosmetics & | ||
| Fragrance Inc. | 1,091,527 | 139,541 | |
| Family Dollar Stores Inc. | 1,734,829 | 137,416 | |
| * | News Corp. Class A | 8,541,143 | 134,011 |
| * | IHS Inc. Class A | 1,155,874 | 131,631 |
| Darden Restaurants Inc. | 2,130,826 | 124,930 | |
| Williams-Sonoma Inc. | 1,498,718 | 113,423 | |
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| * | Liberty Interactive Corp. | ||
| Class A | 3,790,544 | 111,518 | |
| Scripps Networks | |||
| Interactive Inc. Class A | 1,375,996 | 103,571 | |
| FactSet Research | |||
| Systems Inc. | 707,811 | 99,624 | |
| * | Discovery | ||
| Communications Inc. | |||
| Class A | 2,650,313 | 91,303 | |
| Aramark | 2,720,073 | 84,730 | |
| * | AutoNation Inc. | 1,312,586 | 79,293 |
| Foot Locker Inc. | 1,282,489 | 72,050 | |
| * | Sprouts Farmers | ||
| Market Inc. | 1,894,379 | 64,371 | |
| * | Urban Outfitters Inc. | 1,802,434 | 63,319 |
| * | Norwegian Cruise Line | ||
| Holdings Ltd. | 1,272,945 | 59,523 | |
| * | Hyatt Hotels Corp. | ||
| Class A | 667,565 | 40,194 | |
| Extended Stay America Inc. 915,639 | 17,681 | ||
| * | zulily Inc. Class A | 418,076 | 9,783 |
| * | News Corp. Class B | 209,094 | 3,153 |
| * | Restaurant Brands | ||
| International Inc. | 3,184 | 124 | |
| * | Restaurant Brands | ||
| International LP | 7 | — | |
| 8,546,829 | |||
| Financials (17.5%) | |||
| Health Care REIT Inc. | 5,848,758 | 442,576 | |
| AvalonBay | |||
| Communities Inc. | 2,356,197 | 384,979 | |
| Moody’s Corp. | 3,723,383 | 356,737 | |
| Hartford Financial | |||
| Services Group Inc. | 7,701,634 | 321,081 | |
| Principal Financial | |||
| Group Inc. | 5,241,720 | 272,255 | |
| Lincoln National Corp. | 4,637,011 | 267,416 | |
| M&T Bank Corp. | 2,122,232 | 266,595 | |
| Regions Financial Corp. | 24,569,228 | 259,451 | |
| Essex Property Trust Inc. | 1,141,320 | 235,797 | |
| KeyCorp | 15,463,299 | 214,940 | |
| * | Affiliated Managers | ||
| Group Inc. | 991,920 | 210,525 | |
| Macerich Co. | 2,511,619 | 209,494 | |
| SL Green Realty Corp. | 1,722,734 | 205,040 | |
| Realty Income Corp. | 3,974,684 | 189,632 | |
| Annaly Capital | |||
| Management Inc. | 16,913,980 | 182,840 | |
| Kimco Realty Corp. | 6,976,351 | 175,385 | |
| Equifax Inc. | 2,152,365 | 174,062 | |
| * | CBRE Group Inc. Class A | 5,050,158 | 172,968 |
| * | Ally Financial Inc. | 7,279,650 | 171,945 |
| Western Union Co. | 9,328,454 | 167,073 | |
39
| Mid-Cap Index Fund | |||
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| Federal Realty | |||
| Investment Trust | 1,216,039 | 162,293 | |
| FNF Group | 4,694,392 | 161,722 | |
| * | Markel Corp. | 236,690 | 161,621 |
| Digital Realty Trust Inc. | 2,418,695 | 160,359 | |
| XL Group plc Class A | 4,606,009 | 158,309 | |
| Navient Corp. | 7,322,015 | 158,229 | |
| Unum Group | 4,497,760 | 156,882 | |
| CIT Group Inc. | 3,265,914 | 156,209 | |
| Huntington | |||
| Bancshares Inc. | 14,537,258 | 152,932 | |
| Comerica Inc. | 3,207,170 | 150,224 | |
| American Realty Capital | |||
| Properties Inc. | 16,507,937 | 149,397 | |
| Voya Financial Inc. | 3,516,921 | 149,047 | |
| Cincinnati Financial Corp. | 2,772,141 | 143,680 | |
| UDR Inc. | 4,555,321 | 140,395 | |
| American Capital | |||
| Agency Corp. | 6,296,880 | 137,461 | |
| Plum Creek Timber | |||
| Co. Inc. | 3,139,464 | 134,338 | |
| Raymond James | |||
| Financial Inc. | 2,273,793 | 130,266 | |
| * | Arch Capital Group Ltd. | 2,189,184 | 129,381 |
| First Republic Bank | 2,464,306 | 128,440 | |
| Willis Group Holdings plc | 2,844,786 | 127,475 | |
| Torchmark Corp. | 2,296,088 | 124,379 | |
| Iron Mountain Inc. | 3,111,573 | 120,293 | |
| New York Community | |||
| Bancorp Inc. | 7,505,677 | 120,091 | |
| Jones Lang LaSalle Inc. | 799,947 | 119,936 | |
| * | Realogy Holdings Corp. 2,610,106 116,124 |
| Lazard Ltd. Class A | 2,298,286 | 114,983 | |
| Alexandria Real Estate | |||
| Equities Inc. | 1,285,208 | 114,049 | |
| Camden Property Trust | 1,542,100 | 113,869 | |
| SEI Investments Co. | 2,686,433 | 107,565 | |
| Reinsurance Group of | |||
| America Inc. Class A | 1,226,055 | 107,427 | |
| Zions Bancorporation | 3,622,045 | 103,265 | |
| Everest Re Group Ltd. | 605,612 | 103,136 | |
| NASDAQ OMX Group Inc. 2,094,785 | 100,466 | ||
| Legg Mason Inc. | 1,832,976 | 97,826 | |
| PartnerRe Ltd. | 830,327 | 94,765 | |
| WR Berkley Corp. | 1,812,120 | 92,889 | |
| MSCI Inc. Class A | 1,899,584 | 90,116 | |
| Axis Capital Holdings Ltd. | 1,732,951 | 88,536 | |
| Hudson City Bancorp Inc. | 8,493,923 | 85,958 | |
| People’s United | |||
| Financial Inc. | 5,496,739 | 83,440 | |
| * | Genworth Financial Inc. | ||
| Class A | 8,864,488 | 75,348 | |
| LPL Financial | |||
| Holdings Inc. | 1,498,999 | 66,780 | |
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| * | Alleghany Corp. | 136,538 | 63,285 |
| Brixmor Property | |||
| Group Inc. | 2,121,944 | 52,709 | |
| Assurant Inc. | 628,421 | 43,003 | |
| Santander Consumer USA | |||
| Holdings Inc. | 1,872,880 | 36,727 | |
| Rayonier Inc. | 1,133,544 | 31,671 | |
| *,^ | LendingClub Corp. | 969,475 | 24,528 |
| 10,322,615 | |||
| Health Care (9.1%) | |||
| * | Mylan Inc. | 6,680,526 | 376,581 |
| * | Boston Scientific Corp. 23,677,096 313,722 |
| * | DaVita HealthCare |
| Partners Inc. | 3,643,989 | 275,996 | |
| * | Vertex | ||
| Pharmaceuticals Inc. | 2,146,495 | 255,004 | |
| * | Edwards Lifesciences | ||
| Corp. | 1,909,390 | 243,218 | |
| * | BioMarin | ||
| Pharmaceutical Inc. | 2,632,079 | 237,940 | |
| CR Bard Inc. | 1,336,853 | 222,746 | |
| * | CareFusion Corp. | 3,639,706 | 215,980 |
| Perrigo Co. plc | 1,248,275 | 208,662 | |
| * | Mallinckrodt plc | 2,075,416 | 205,528 |
| * | Henry Schein Inc. | 1,503,141 | 204,653 |
| * | Incyte Corp. | 2,713,864 | 198,411 |
| * | Endo International plc | 2,606,430 | 187,976 |
| * | Hospira Inc. | 3,020,129 | 184,983 |
| Universal Health Services | |||
| Inc. Class B | 1,636,407 | 182,067 | |
| Quest Diagnostics Inc. | 2,579,741 | 172,997 | |
| * | Jazz Pharmaceuticals plc | 1,025,679 | 167,934 |
| * | Laboratory Corp. of | ||
| America Holdings | 1,508,220 | 162,737 | |
| * | Waters Corp. | 1,412,078 | 159,169 |
| * | Varian Medical | ||
| Systems Inc. | 1,784,474 | 154,375 | |
| ^ | ResMed Inc. | 2,488,905 | 139,528 |
| DENTSPLY | |||
| International Inc. | 2,526,134 | 134,567 | |
| * | Pharmacyclics Inc. | 1,078,558 | 131,864 |
| * | IDEXX Laboratories Inc. | 851,026 | 126,182 |
| * | Hologic Inc. | 4,227,744 | 113,050 |
| * | Envision Healthcare | ||
| Holdings Inc. | 2,292,916 | 79,541 | |
| Patterson Cos. Inc. | 1,581,681 | 76,079 | |
| * | Quintiles Transnational | ||
| Holdings Inc. | 1,254,967 | 73,880 | |
| * | Medivation Inc. | 659,192 | 65,662 |
| * | Salix Pharmaceuticals Ltd. | 541,508 | 62,241 |
| * | Intercept | ||
| Pharmaceuticals Inc. | 114,751 | 17,901 | |
| 5,351,174 |
40
Mid-Cap Index Fund
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| Industrials (16.4%) | |||
| Sherwin-Williams Co. | 1,456,483 | 383,113 | |
| Fidelity National | |||
| Information Services Inc. | 5,064,741 | 315,027 | |
| * | Alliance Data | ||
| Systems Corp. | 1,084,337 | 310,175 | |
| * | Fiserv Inc. | 4,354,631 | 309,048 |
| Amphenol Corp. Class A | 5,523,774 | 297,234 | |
| Roper Industries Inc. | 1,787,659 | 279,500 | |
| WW Grainger Inc. | 1,095,309 | 279,183 | |
| Kansas City Southern | 1,969,824 | 240,378 | |
| AMETEK Inc. | 4,389,671 | 231,028 | |
| Fastenal Co. | 4,762,058 | 226,483 | |
| Pentair plc | 3,334,069 | 221,449 | |
| Rockwell Collins Inc. | 2,372,911 | 200,464 | |
| * | Stericycle Inc. | 1,515,789 | 198,690 |
| CH Robinson | |||
| Worldwide Inc. | 2,610,991 | 195,537 | |
| Pall Corp. | 1,906,861 | 192,993 | |
| * | FleetCor Technologies Inc. 1,271,837 | 189,135 | |
| Textron Inc. | 4,434,454 | 186,735 | |
| * | United Rentals Inc. | 1,781,405 | 181,721 |
| TransDigm Group Inc. | 889,525 | 174,658 | |
| L-3 Communications | |||
| Holdings Inc. | 1,367,578 | 172,602 | |
| * | Verisk Analytics Inc. | ||
| Class A | 2,649,295 | 169,687 | |
| Fluor Corp. | 2,788,307 | 169,055 | |
| Ball Corp. | 2,443,863 | 166,598 | |
| Masco Corp. | 6,358,850 | 160,243 | |
| * | Sensata Technologies | ||
| Holding NV | 3,012,006 | 157,859 | |
| Vulcan Materials Co. | 2,350,784 | 154,517 | |
| * | Mettler-Toledo | ||
| International Inc. | 509,536 | 154,114 | |
| Rock-Tenn Co. Class A | 2,499,748 | 152,435 | |
| Sealed Air Corp. | 3,580,507 | 151,921 | |
| Expeditors International | |||
| of Washington Inc. | 3,273,061 | 146,011 | |
| Flowserve Corp. | 2,432,940 | 145,563 | |
| Wabtec Corp. | 1,632,133 | 141,816 | |
| Towers Watson & Co. | |||
| Class A | 1,248,280 | 141,268 | |
| JB Hunt Transport | |||
| Services Inc. | 1,672,832 | 140,936 | |
| Robert Half | |||
| International Inc. | 2,305,314 | 134,584 | |
| Xerox Corp. | 9,678,403 | 134,143 | |
| MeadWestvaco Corp. | 2,975,653 | 132,089 | |
| Cintas Corp. | 1,670,334 | 131,021 | |
| * | Crown Holdings Inc. | 2,479,526 | 126,208 |
| Martin Marietta | |||
| Materials Inc. | 1,140,570 | 125,828 | |
| Xylem Inc. | 3,246,180 | 123,582 | |
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| * | Trimble Navigation Ltd. | 4,622,944 | 122,693 |
| ADT Corp. | 3,115,029 | 112,858 | |
| * | B/E Aerospace Inc. | 1,879,522 | 109,050 |
| * | Quanta Services Inc. | 3,792,145 | 107,659 |
| Allison Transmission | |||
| Holdings Inc. | 3,168,585 | 107,415 | |
| Avnet Inc. | 2,446,137 | 105,233 | |
| * | Jacobs Engineering | ||
| Group Inc. | 2,330,186 | 104,136 | |
| * | Arrow Electronics Inc. | 1,729,584 | 100,126 |
| Hubbell Inc. Class B | 925,897 | 98,914 | |
| ManpowerGroup Inc. | 1,412,516 | 96,291 | |
| Donaldson Co. Inc. | 2,469,614 | 95,401 | |
| Joy Global Inc. | 1,752,243 | 81,514 | |
| FLIR Systems Inc. | 2,514,653 | 81,248 | |
| Chicago Bridge & Iron | |||
| Co. NV | 1,932,832 | 81,140 | |
| * | Colfax Corp. | 1,545,224 | 79,687 |
| MDU Resources | |||
| Group Inc. | 3,291,237 | 77,344 | |
| Owens Corning | 1,993,660 | 71,393 | |
| Fortune Brands Home & | |||
| Security Inc. | 1,411,193 | 63,885 | |
| * | Owens-Illinois Inc. | 1,475,049 | 39,812 |
| AGCO Corp. | 699,304 | 31,609 | |
| SPX Corp. | 330,762 | 28,419 | |
| * | KLX Inc. | 471,239 | 19,439 |
| 9,659,897 | |||
| Oil & Gas (5.7%) | |||
| * | Cheniere Energy Inc. | 3,804,720 | 267,852 |
| Cabot Oil & Gas Corp. | 7,372,097 | 218,288 | |
| EQT Corp. | 2,704,229 | 204,710 | |
| * | Concho Resources Inc. | 2,017,061 | 201,202 |
| Tesoro Corp. | 2,253,341 | 167,536 | |
| Cimarex Energy Co. | 1,557,253 | 165,069 | |
| Range Resources Corp. | 2,860,552 | 152,896 | |
| Murphy Oil Corp. | 3,009,666 | 152,048 | |
| * | Weatherford | ||
| International plc | 12,430,920 | 142,334 | |
| HollyFrontier Corp. | 3,493,643 | 130,942 | |
| OGE Energy Corp. | 3,557,626 | 126,225 | |
| Ensco plc Class A | 4,181,189 | 125,227 | |
| Helmerich & Payne Inc. | 1,835,638 | 123,759 | |
| ^ | Transocean Ltd. | 6,142,311 | 112,589 |
| * | Dresser-Rand Group Inc. | 1,368,124 | 111,913 |
| Oceaneering | |||
| International Inc. | 1,874,275 | 110,226 | |
| * | Whiting Petroleum Corp. | 2,971,249 | 98,051 |
| * | FMC Technologies Inc. | 2,086,857 | 97,748 |
| Core Laboratories NV | 781,655 | 94,064 | |
| * | Cameron International | ||
| Corp. | 1,761,992 | 88,011 | |
| * | Southwestern Energy Co. | 3,151,220 | 85,997 |
| Energen Corp. | 1,306,523 | 83,304 | |
41
| Mid-Cap Index Fund | |||
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| Noble Corp. plc | 4,502,315 | 74,603 | |
| ^ | Diamond Offshore | ||
| Drilling Inc. | 1,226,737 | 45,033 | |
| * | Antero Resources Corp. | 937,653 | 38,050 |
| QEP Resources Inc. | 1,611,401 | 32,582 | |
| Nabors Industries Ltd. | 2,459,459 | 31,924 | |
| * | Cobalt International | ||
| Energy Inc. | 2,953,170 | 26,254 | |
| Denbury Resources Inc. | 3,154,825 | 25,649 | |
| SM Energy Co. | 603,232 | 23,273 | |
| 3,357,359 | |||
| Technology (11.5%) | |||
| Seagate Technology plc | 5,548,979 | 369,007 | |
| * | Cerner Corp. | 5,485,514 | 354,693 |
| Skyworks Solutions Inc. | 3,402,975 | 247,430 | |
| * | Autodesk Inc. | 4,055,321 | 243,563 |
| * | Red Hat Inc. | 3,352,468 | 231,790 |
| Avago Technologies Ltd. | |||
| Class A | 2,256,968 | 227,028 | |
| Lam Research Corp. | 2,837,314 | 225,113 | |
| Equinix Inc. | 980,475 | 222,303 | |
| Western Digital Corp. | 1,968,847 | 217,951 | |
| KLA-Tencor Corp. | 2,935,713 | 206,439 | |
| Xilinx Inc. | 4,720,302 | 204,342 | |
| Altera Corp. | 5,440,655 | 200,978 | |
| Linear Technology Corp. | 4,257,545 | 194,144 | |
| SanDisk Corp. | 1,969,181 | 192,940 | |
| * | Catamaran Corp. | 3,703,414 | 191,652 |
| * | Akamai Technologies Inc. | 3,018,165 | 190,024 |
| NVIDIA Corp. | 9,216,636 | 184,794 | |
| * | Citrix Systems Inc. | 2,873,124 | 183,305 |
| * | F5 Networks Inc. | 1,316,966 | 171,818 |
| Juniper Networks Inc. | 7,334,877 | 163,714 | |
| * | ServiceNow Inc. | 2,382,213 | 161,633 |
| Maxim Integrated | |||
| Products Inc. | 5,049,876 | 160,940 | |
| Computer Sciences Corp. | 2,507,591 | 158,104 | |
| Microchip Technology Inc. 3,407,604 | 153,717 | ||
| * | Workday Inc. Class A | 1,765,199 | 144,058 |
| * | ANSYS Inc. | 1,640,370 | 134,510 |
| Harris Corp. | 1,866,836 | 134,076 | |
| * | Gartner Inc. | 1,492,639 | 125,695 |
| * | VeriSign Inc. | 2,161,272 | 123,193 |
| * | Synopsys Inc. | 2,781,291 | 120,903 |
| * | Teradata Corp. | 2,730,847 | 119,283 |
| Garmin Ltd. | 2,047,848 | 108,188 | |
| * | Splunk Inc. | 1,819,279 | 107,247 |
| Marvell Technology | |||
| Group Ltd. | 7,345,116 | 106,504 | |
| * | Rackspace Hosting Inc. | 2,049,746 | 95,949 |
| * | Palo Alto Networks Inc. | 610,891 | 74,877 |
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| * | NetSuite Inc. | 616,306 | 67,282 |
| * | Nuance | ||
| Communications Inc. | 4,561,279 | 65,089 | |
| *,^ | FireEye Inc. | 1,749,101 | 55,237 |
| *,^ | Cree Inc. | 1,068,388 | 34,423 |
| *,^ | 3D Systems Corp. | 945,130 | 31,066 |
| * | IMS Health Holdings Inc. | 1,192,212 | 30,568 |
| * | Premier Inc. Class A | 662,860 | 22,226 |
| 6,757,796 | |||
| Telecommunications (1.2%) | |||
| * | SBA Communications | ||
| Corp. Class A | 2,304,195 | 255,213 | |
| * | Level 3 |
Communications Inc. 4,797,338 236,892 |
| Frontier Communications | |||
| Corp. | 17,886,050 | 119,300 | |
| Windstream Holdings Inc. 10,758,479 | 88,650 | ||
| 700,055 | |||
| Utilities (5.3%) | |||
| Northeast Utilities | 5,654,657 | 302,637 | |
| DTE Energy Co. | 3,159,115 | 272,853 | |
| NiSource Inc. | 5,635,026 | 239,038 | |
| Wisconsin Energy Corp. | 4,025,309 | 212,295 | |
| Ameren Corp. | 4,330,747 | 199,777 | |
| ONEOK Inc. | 3,716,151 | 185,027 | |
| CenterPoint Energy Inc. | 7,671,493 | 179,743 | |
| CMS Energy Corp. | 4,929,000 | 171,283 | |
| American Water | |||
| Works Co. Inc. | 3,200,440 | 170,583 | |
| NRG Energy Inc. | 6,034,856 | 162,639 | |
| AES Corp. | 11,454,530 | 157,729 | |
| * | Calpine Corp. | 6,953,438 | 153,879 |
| SCANA Corp. | 2,289,916 | 138,311 | |
| Pinnacle West | |||
| Capital Corp. | 1,971,425 | 134,668 | |
| Alliant Energy Corp. | 1,979,988 | 131,511 | |
| Pepco Holdings Inc. | 4,496,235 | 121,084 | |
| Integrys Energy Group Inc. | 1,427,196 | 111,107 | |
| National Fuel Gas Co. | 1,427,480 | 99,253 | |
| 3,143,417 | |||
| Total Common Stocks | |||
| (Cost $42,475,694) | 58,734,368 | ||
42
| 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, | ||
| 0.126% | 351,612,000 | 351,612 |
| Face |
| Amount |
| ($000) |
| U.S. Government and Agency Obligations (0.0%) |
| 4,5 | Fannie Mae | ||
| Discount Notes, | |||
| 0.130%, 4/27/15 | 5,000 | 4,998 | |
| 6 | Federal Home Loan | ||
| Bank Discount Notes, | |||
| 0.060%, 2/3/15 | 4,000 | 4,000 | |
| 6 | Federal Home Loan | ||
| Bank Discount Notes, | |||
| 0.105%, 3/6/15 | 3,000 | 2,999 | |
| 5,6 | Federal Home Loan | ||
| Bank Discount Notes, | |||
| 0.070%, 3/27/15 | 4,500 | 4,499 | |
| 16,496 | |||
| Total Temporary Cash Investments | |||
| (Cost $368,108) | 368,108 | ||
| Total Investments (100.3%) | |||
| (Cost $42,843,802) | 59,102,476 | ||
| Other Assets and Liabilities (-0.3%) | |||
| Other Assets | 426,976 | ||
| Liabilities3 | (601,678) | ||
| (174,702) | |||
| Net Assets (100%) | 58,927,774 | ||
At December 31, 2014, net assets consisted of:
Amount ($000)
| Paid-in Capital | 43,388,417 |
| Overdistributed Net Investment Income | (19,836) |
| Accumulated Net Realized Losses | (704,418) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 16,258,674 |
| Futures Contracts | 4,937 |
| Net Assets | 58,927,774 |
| Investor Shares—Net Assets | |
| Applicable to 136,642,531 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 4,607,037 |
| Net Asset Value Per Share— | |
| Investor Shares | $33.72 |
| Admiral Shares—Net Assets | |
| Applicable to 144,640,489 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 22,125,213 |
| Net Asset Value Per Share— | |
| Admiral Shares | $152.97 |
| Institutional Shares—Net Assets | |
| Applicable to 330,634,334 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 11,172,170 |
| Net Asset Value Per Share— | |
| Institutional Shares | $33.79 |
43
| Mid-Cap Index Fund | |
| Amount | |
| ($000) | |
| Institutional Plus Shares—Net Assets | |
| Applicable to 66,872,982 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 11,144,392 |
| Net Asset Value Per Share— | |
| Institutional Plus Shares | $166.65 |
| ETF Shares—Net Assets | |
| Applicable to 79,989,067 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 9,878,962 |
| Net Asset Value Per Share— | |
| ETF Shares | $123.50 |
• 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 $134,067,000.
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 $141,385,000 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 $6,398,000 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.
44
| Mid-Cap Index Fund | |
| Statement of Operations | |
| Year Ended | |
| December 31, 2014 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends | 789,068 |
| Interest1 | 222 |
| Securities Lending | 8,964 |
| Total Income | 798,254 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 3,247 |
| Management and Administrative—Investor Shares | 9,403 |
| Management and Administrative—Admiral Shares | 10,327 |
| Management and Administrative—Signal Shares | 2,322 |
| Management and Administrative—Institutional Shares | 5,027 |
| Management and Administrative—Institutional Plus Shares | 3,081 |
| Management and Administrative—ETF Shares | 4,843 |
| Marketing and Distribution—Investor Shares | 997 |
| Marketing and Distribution—Admiral Shares | 1,845 |
| Marketing and Distribution—Signal Shares | 1,442 |
| Marketing and Distribution—Institutional Shares | 2,221 |
| Marketing and Distribution—Institutional Plus Shares | 1,818 |
| Marketing and Distribution—ETF Shares | 1,692 |
| Custodian Fees | 427 |
| Auditing Fees | 38 |
| Shareholders’ Reports—Investor Shares | 124 |
| Shareholders’ Reports—Admiral Shares | 97 |
| Shareholders’ Reports—Signal Shares | 81 |
| Shareholders’ Reports—Institutional Shares | 129 |
| Shareholders’ Reports—Institutional Plus Shares | 110 |
| Shareholders’ Reports—ETF Shares | 249 |
| Trustees’ Fees and Expenses | 37 |
| Total Expenses | 49,557 |
| Net Investment Income | 748,697 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 1,995,143 |
| Futures Contracts | 15,924 |
| Swap Contracts | (1,395) |
| Realized Net Gain (Loss) | 2,009,672 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | 4,088,054 |
| Futures Contracts | 3,051 |
| Swap Contracts | (947) |
| Change in Unrealized Appreciation (Depreciation) | 4,090,158 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 6,848,527 |
| 1 Interest income from an affiliated company of the fund was $213,000. | |
| See accompanying Notes, which are an integral part of the Financial Statements. | |
45
| Mid-Cap Index Fund | ||
| Statement of Changes in Net Assets | ||
| Year Ended December 31, | ||
| 2014 | 2013 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 748,697 | 520,914 |
| Realized Net Gain (Loss) | 2,009,672 | 3,554,862 |
| Change in Unrealized Appreciation (Depreciation) | 4,090,158 | 7,659,851 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 6,848,527 | 11,735,627 |
| Distributions | ||
| Net Investment Income | ||
| Investor Shares | (52,495) | (49,295) |
| Admiral Shares | (277,621) | (118,331) |
| Signal Shares | (1,467) | (83,346) |
| Institutional Shares | (143,706) | (108,634) |
| Institutional Plus Shares | (140,654) | (100,095) |
| ETF Shares | (127,541) | (80,063) |
| Realized Capital Gain | ||
| Investor Shares | — | — |
| Admiral Shares | — | — |
| Signal Shares | — | — |
| Institutional Shares | — | — |
| Institutional Plus Shares | — | — |
| ETF Shares | — | — |
| Total Distributions | (743,484) | (539,764) |
| Capital Share Transactions | ||
| Investor Shares | (737,083) | (357,619) |
| Admiral Shares | 10,038,885 | 960,633 |
| Signal Shares | (7,553,705) | 532,100 |
| Institutional Shares | 610,917 | (13,444) |
| Institutional Plus Shares | 1,572,671 | 1,066,890 |
| ETF Shares | 2,167,390 | 1,311,208 |
| Net Increase (Decrease) from Capital Share Transactions | 6,099,075 | 3,499,768 |
| Total Increase (Decrease) | 12,204,118 | 14,695,631 |
| Net Assets | ||
| Beginning of Period | 46,723,656 | 32,028,025 |
| End of Period1 | 58,927,774 | 46,723,656 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($19,836,000) and ($23,654,000).
See accompanying Notes, which are an integral part of the Financial Statements.
46
| Mid-Cap Index Fund | |||||
| Financial Highlights | |||||
| Investor Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $30.02 | $22.47 | $19.65 | $20.31 | $16.36 |
| Investment Operations | |||||
| Net Investment Income | . 387 | .299 | .286 | .233 | .214 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 3.697 | 7.560 | 2.818 | (. 661) | 3.951 |
| Total from Investment Operations | 4.084 | 7.859 | 3.104 | (.428) | 4.165 |
| Distributions | |||||
| Dividends from Net Investment Income | (.384) | (. 309) | (. 284) | (. 232) | (. 215) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.384) | (. 309) | (. 284) | (. 232) | (. 215) |
| Net Asset Value, End of Period | $33.72 | $30.02 | $22.47 | $19.65 | $20.31 |
| Total Return1 | 13.60% | 35.00% | 15.80% | -2.11% | 25.46% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $4,607 | $4,797 | $3,887 | $4,168 | $5,602 |
| Ratio of Total Expenses to Average Net Assets | 0.23% | 0.24% | 0.24% | 0.24% | 0.26% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 1.30% | 1.16% | 1.36% | 1.15% | 1.25% |
| Portfolio Turnover Rate2 | 11% | 32% | 17% | 22% | 16% |
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.
47
| Mid-Cap Index Fund | |||||
| Financial Highlights | |||||
| Admiral Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $136.19 | $101.97 | $89.15 | $92.17 | $74.23 |
| Investment Operations | |||||
| Net Investment Income | 1.987 | 1.550 | 1.450 | 1.212 | 1.049 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 16.759 | 34.269 | 12.808 | (3.023) | 17.946 |
| Total from Investment Operations | 18.746 | 35.819 | 14.258 | (1.811) | 18.995 |
| Distributions | |||||
| Dividends from Net Investment Income | (1.966) | (1.599) | (1.438) | (1.209) | (1.055) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.966) | (1.599) | (1.438) | (1.209) | (1.055) |
| Net Asset Value, End of Period | $152.97 | $136.19 | $101.97 | $89.15 | $92.17 |
| Total Return1 | 13.76% | 35.15% | 15.99% | -1.97% | 25.59% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $22,125 | $10,251 | $6,895 | $5,989 | $6,036 |
| Ratio of Total Expenses to Average Net Assets | 0.09% | 0.09% | 0.10% | 0.10% | 0.12% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 1.44% | 1.31% | 1.50% | 1.29% | 1.39% |
| Portfolio Turnover Rate2 | 11% | 32% | 17% | 22% | 16% |
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.
48
| Mid-Cap Index Fund | |||||
| Financial Highlights | |||||
| Signal Shares | |||||
| Jan. 1, | |||||
| 2014, to | |||||
| Oct. 24, | Year Ended December 31, | ||||
| For a Share Outstanding Throughout Each Period | 20141 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $42.98 | $32.18 | $28.13 | $29.09 | $23.43 |
| Investment Operations | |||||
| Net Investment Income | . 433 | . 489 | .459 | .382 | .341 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 2.676 | 10.815 | 4.047 | (. 961) | 5.662 |
| Total from Investment Operations | 3.109 | 11.304 | 4.506 | (.579) | 6.003 |
| Distributions | |||||
| Dividends from Net Investment Income | (. 009) | (. 504) | (. 456) | (. 381) | (.343) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (. 009) | (. 504) | (. 456) | (. 381) | (.343) |
| Net Asset Value, End of Period | $46.081 | $42.98 | $32.18 | $28.13 | $29.09 |
| Total Return | 7.23% | 35.15% | 16.02% | -1.99% | 25.62% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $— | $7,113 | $4,834 | $3,589 | $2,831 |
| Ratio of Total Expenses to Average Net Assets | 0.09%2 | 0.09% | 0.10% | 0.10% | 0.12% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 1.26%2 | 1.31% | 1.50% | 1.29% | 1.39% |
| Portfolio Turnover Rate 3 | 11% | 32% | 17% | 22% | 16% |
1 Net asset value as of October 24, 2014, on which date the Signal Shares were converted to Admiral Shares.
| 2 | Annualized. |
| 3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
49
| Mid-Cap Index Fund | |||||
| Financial Highlights | |||||
| Institutional Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $30.08 | $22.52 | $19.69 | $20.36 | $16.40 |
| Investment Operations | |||||
| Net Investment Income | .442 | .344 | .325 | .271 | .247 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 3.704 | 7.571 | 2.827 | (. 669) | 3.962 |
| Total from Investment Operations | 4.146 | 7.915 | 3.152 | (.398) | 4.209 |
| Distributions | |||||
| Dividends from Net Investment Income | (. 436) | (. 355) | (. 322) | (. 272) | (. 249) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (. 436) | (. 355) | (. 322) | (. 272) | (. 249) |
| Net Asset Value, End of Period | $33.79 | $30.08 | $22.52 | $19.69 | $20.36 |
| Total Return | 13.78% | 35.17% | 16.01% | -1.96% | 25.67% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $11,172 | $9,368 | $7,057 | $5,611 | $7,795 |
| Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 1.45% | 1.32% | 1.52% | 1.31% | 1.43% |
| Portfolio Turnover Rate1 | 11% | 32% | 17% | 22% | 16% |
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.
50
| Mid-Cap Index Fund | |||||
| Financial Highlights | |||||
| Institutional Plus Shares | |||||
| Dec. 15, | |||||
| 20101 to | |||||
| Year Ended December 31, | |||||
| For a Share Outstanding | Dec. 31, | ||||
| 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 | 2.210 | 1.726 | 1.624 | 1.358 | .079 2 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 18.256 | 37.343 | 13.945 | (3.280) | 2.078 |
| Total from Investment Operations | 20.466 | 39.069 | 15.569 | (1.922) | 2.157 |
| Distributions | |||||
| Dividends from Net Investment Income | (2.186) | (1.779) | (1.609) | (1.358) | (1.207) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (2.186) | (1.779) | (1.609) | (1.358) | (1.207) |
| Net Asset Value, End of Period | $166.65 | $148.37 | $111.08 | $97.12 | $100.40 |
| Total Return | 13.79% | 35.20% | 16.03% | -1.91% | 2.17% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $11,144 | $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 | 1.47% | 1.34% | 1.54% | 1.33% | 1.45%3 |
| Portfolio Turnover Rate 4 | 11% | 32% | 17% | 22% | 16% |
| 1 | Inception. |
| 2 | Calculated based on average shares outstanding. |
| 3 | Annualized. |
| 4 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
51
| Mid-Cap Index Fund | |||||
| Financial Highlights | |||||
| ETF Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $109.96 | $82.33 | $71.99 | $74.42 | $59.97 |
| Investment Operations | |||||
| Net Investment Income | 1.609 | 1.255 | 1.173 | .976 | .882 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 13.524 | 27.668 | 10.329 | (2.430) | 14.454 |
| Total from Investment Operations | 15.133 | 28.923 | 11.502 | (1.454) | 15.336 |
| Distributions | |||||
| Dividends from Net Investment Income | (1.593) | (1.293) | (1.162) | (.976) | (. 886) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.593) | (1.293) | (1.162) | (.976) | (. 886) |
| Net Asset Value, End of Period | $123.50 | $109.96 | $82.33 | $71.99 | $74.42 |
| Total Return | 13.76% | 35.15% | 15.98% | -1.96% | 25.57% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $9,879 | $6,728 | $3,926 | $3,241 | $3,356 |
| Ratio of Total Expenses to Average Net Assets | 0.09% | 0.09% | 0.10% | 0.10% | 0.12% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 1.44% | 1.31% | 1.50% | 1.29% | 1.39% |
| Portfolio Turnover Rate1 | 11% | 32% | 17% | 22% | 16% |
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
52
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 five classes of shares: Investor Shares, Admiral 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, 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. Prior to October 24, 2014, the fund offered Signal Shares. Effective at the close of business on October 24, 2014, the Signal Shares were converted to Admiral Shares.
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 settlement values 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).
53
Mid-Cap Index Fund
During the year ended December 31, 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 year ended December 31, 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 December 31, 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, 2011–2014), 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.
54
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 December 31, 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.
55
Mid-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 invest up to 0.40% of its net assets in Vanguard. At December 31, 2014, the fund had contributed capital of $5,525,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 2.21% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in 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 December 31, 2014, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 58,734,368 | — | — |
| Temporary Cash Investments | 351,612 | 16,496 | — |
| Futures Contracts—Liabilities1 | (1,689) | — | — |
| Total | 59,084,291 | 16,496 | — |
| 1 Represents variation margin on the last day of the reporting period. |
D. At December 31, 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 | March 2015 | 137 | 70,295 | 2,738 |
| E-mini S&P MidCap 400 Index | March 2015 | 452 | 65,477 | 2,210 |
| E-mini S&P 500 Index | March 2015 | 585 | 60,033 | (11) |
| 4,937 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
56
Mid-Cap Index Fund
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the year ended December 31, 2014, the fund realized $2,337,883,000 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 $1,395,000 on swap contracts have been reclassified from accumulated net realized losses to overdistributed net investment income.
For tax purposes, at December 31, 2014, the fund had $12,676,000 of ordinary income available for distribution. The fund used capital loss carryforwards of $79,440,000 to offset taxable capital gains realized during the year ended December 31, 2014. At December 31, 2014, the fund had available capital losses totaling $669,387,000 to offset future net capital gains. Of this amount, $294,968,000 is subject to expiration on December 31, 2018. Capital losses of $374,419,000 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 capital loss carryforwards.
At December 31, 2014, the cost of investment securities for tax purposes was $42,872,699,000. Net unrealized appreciation of investment securities for tax purposes was $16,229,777,000, consisting of unrealized gains of $17,351,814,000 on securities that had risen in value since their purchase and $1,122,037,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended December 31, 2014, the fund purchased $16,395,241,000 of investment securities and sold $10,295,706,000 of investment securities, other than temporary cash investments. Purchases and sales include $6,665,785,000 and $4,787,273,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
57
Mid-Cap Index Fund
| G. Capital share transactions for each class of shares were: | ||||
| Year Ended December 31, | ||||
| 2014 | 2013 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| Investor Shares | ||||
| Issued | 784,652 | 24,892 | 856,554 | 32,579 |
| Issued in Lieu of Cash Distributions | 48,972 | 1,453 | 46,436 | 1,569 |
| Redeemed | (1,570,707) | (49,520) | (1,260,609) | (47,275) |
| Net Increase (Decrease)—Investor Shares | (737,083) | (23,175) | (357,619) | (13,127) |
| Admiral Shares | ||||
| Issued1 | 11,618,535 | 80,324 | 1,714,308 | 13,967 |
| Issued in Lieu of Cash Distributions | 249,866 | 1,632 | 105,835 | 788 |
| Redeemed | (1,829,516) | (12,582) | (859,510) | (7,109) |
| Net Increase (Decrease) —Admiral Shares | 10,038,885 | 69,374 | 960,633 | 7,646 |
| Signal Shares | ||||
| Issued | 1,487,330 | 33,613 | 2,556,524 | 67,255 |
| Issued in Lieu of Cash Distributions | 1,279 | 29 | 75,284 | 1,778 |
| Redeemed1 | (9,042,314) | (199,142) | (2,099,708) | (53,776) |
| Net Increase (Decrease)—Signal Shares | (7,553,705) | (165,500) | 532,100 | 15,257 |
| Institutional Shares | ||||
| Issued | 3,463,625 | 108,721 | 2,418,607 | 90,613 |
| Issued in Lieu of Cash Distributions | 134,444 | 3,977 | 100,999 | 3,406 |
| Redeemed | (2,987,152) | (93,468) | (2,533,050) | (95,955) |
| Net Increase (Decrease) —Institutional Shares | 610,917 | 19,230 | (13,444) | (1,936) |
| Institutional Plus Shares | ||||
| Issued | 2,981,121 | 18,866 | 2,708,068 | 21,003 |
| Issued in Lieu of Cash Distributions | 135,623 | 814 | 93,992 | 643 |
| Redeemed | (1,544,073) | (9,879) | (1,735,170) | (13,443) |
| Net Increase (Decrease) —Institutional Plus Shares | 1,572,671 | 9,801 | 1,066,890 | 8,203 |
| ETF Shares | ||||
| Issued | 6,971,484 | 59,710 | 4,440,057 | 43,592 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (4,804,094) | (40,900) | (3,128,849) | (30,100) |
| Net Increase (Decrease) —ETF Shares | 2,167,390 | 18,810 | 1,311,208 | 13,492 |
1 Admiral Shares Issued and Signal Shares Redeemed include $4,942,217,000 from the conversion of Signal Shares to Admiral Shares during the 2014 fiscal year.
H. Management has determined that no material events or transactions occurred subsequent to December 31, 2014, that would require recognition or disclosure in these financial statements.
58
Mid-Cap Growth Index Fund
Fund Profile
As of December 31, 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 | 0.53% | 0.67% | 0.67% | |
| Portfolio Characteristics | ||||
| CRSP US | DJ | |||
| Mid Cap U.S. Total | ||||
| Growth Market | ||||
| Fund | Index FA Index | |||
| Number of Stocks | 184 | 184 | 3,776 | |
| Median Market Cap | $11.7B | $11.7B | $48.1B | |
| Price/Earnings Ratio | 30.3x | 30.3x | 20.6x | |
| Price/Book Ratio | 4.5x | 4.5x | 2.7x | |
| Return on Equity | 19.0% | 19.0% | 17.8% | |
| Earnings Growth | ||||
| Rate | 19.7% | 19.7% | 15.4% | |
| Dividend Yield | 0.8% | 0.8% | 1.9% | |
| Foreign Holdings | 0.0% | 0.0% | 0.0% | |
| Turnover Rate | 17% | — | — | |
| Short-Term Reserves | 0.5% | — | — | |
| Sector Diversification (% of equity exposure) | ||||
| CRSP US | DJ | |||
| Mid Cap | U.S. Total | |||
| Growth | Market | |||
| Fund | Index | FA Index | ||
| Basic Materials | 1.3% | 1.3% | 2.8% | |
| Consumer Goods | 12.2 | 12.2 | 9.9 | |
| Consumer Services | 19.1 | 19.1 | 13.6 | |
| Financials | 11.1 | 11.1 | 19.0 | |
| Health Care | 10.2 | 10.2 | 13.5 | |
| Industrials | 21.5 | 21.5 | 12.6 | |
| Oil & Gas | 6.0 | 6.0 | 7.5 | |
| Technology | 16.4 | 16.4 | 15.8 | |
| Telecommunications | 1.7 | 1.7 | 2.0 | |
| Utilities | 0.5 | 0.5 | 3.3 | |
| Volatility Measures | ||
| DJ | ||
| Spliced | U.S. Total | |
| Mid-Cap | Market | |
| Growth Index | FA Index | |
| R-Squared | 1.00 | 0.86 |
| Beta | 1.00 | 1.12 |
| These measures show the degree and timing of the fund’s | ||
| fluctuations compared with the indexes over 36 months. | ||
| Ten Largest Holdings (% of total net assets) | ||
| Health Care REIT Inc. | Specialty REITs | 1.5% |
| AvalonBay Communities | ||
| Inc. | Residential REITs | 1.3 |
| L Brands Inc. | Apparel Retailers | 1.3 |
| Sherwin-Williams Co. | Building Materials & | |
| Fixtures | 1.3 | |
| Chipotle Mexican Grill | ||
| Inc. | Restaurants & Bars | 1.3 |
| Moody's Corp. | Specialty Finance | 1.2 |
| Cerner Corp. | Software | 1.2 |
| Ross Stores Inc. | Apparel Retailers | 1.2 |
| O'Reilly Automotive Inc. | Specialty Retailers | 1.1 |
| Alliance Data Systems | Financial | |
| Corp. | Administration | 1.1 |
| Top Ten | 12.5% | |
| The holdings listed exclude any temporary cash investments and | ||
| equity index products. | ||
Investment Focus
1 The expense ratios shown are from the prospectus dated April 28, 2014, and represent estimated costs for the current fiscal year. For the fiscal year ended December 31, 2014, the expense ratios were 0.23% for Investor Shares, 0.09% for Admiral Shares, and 0.09% for ETF Shares.
59
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.
Cumulative Performance: August 24, 2006, Through December 31, 2014
Initial Investment of $10,000
| Average Annual Total Returns | |||||
| Periods Ended December 31, 2014 | |||||
| Since | Final Value | ||||
| One | Five | Inception | of a $10,000 | ||
| Year | Years | (8/24/2006) | Investment | ||
| Mid-Cap Growth Index Fund*Investor | |||||
| Shares | 13.35% | 16.53% | 9.15% | $20,783 | |
| •••••••• | Spliced Mid-Cap Growth Index | 13.57 | 16.74 | 9.33 | 21,067 |
| – – – – | Mid-Cap Growth Funds Average | 6.74 | 14.62 | 8.46 | 19,700 |
| Dow Jones U.S. Total Stock Market | |||||
| Float Adjusted Index | 12.47 | 15.72 | 8.37 | 19,572 | |
For a benchmark description, see the Glossary.
Mid-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
"Since Inception" performance is calculated from the Investor Shares’ inception date for both the fund and its comparative standards.
See Financial Highlights for dividend and capital gains information.
60
| Mid-Cap Growth Index Fund | |||
| Average Annual Total Returns | |||
| Periods Ended December 31, 2014 | |||
| Since | Final Value | ||
| One | Inception | of a $10,000 | |
| Year | (9/27/2011) | Investment | |
| Mid-Cap Growth Index Fund Admiral Shares | 13.48% | 19.61% | $17,930 |
| Spliced Mid-Cap Growth Index | 13.57 | 19.64 | 17,943 |
| Dow Jones U.S. Total Stock Market Float | |||
| Adjusted Index | 12.47 | 21.37 | 18,801 |
"Since Inception" performance is calculated from the Admiral Shares’ inception date for both the fund and its comparative standards.
| Since | Final Value | |||
| One | Five | Inception | of a $10,000 | |
| Year | Years | (8/17/2006) | Investment | |
| Mid-Cap Growth Index Fund | ||||
| ETF Shares Net Asset Value | 13.49% | 16.69% | 9.09% | $20,723 |
| Spliced Mid-Cap Growth Index | 13.57 | 16.74 | 9.12 | 20,767 |
| Dow Jones U.S. Total Stock Market Float | ||||
| Adjusted Index | 12.47 | 15.72 | 8.31 | 19,510 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
| Cumulative Returns of ETF Shares: August 17, 2006, Through December 31, 2014 | |||
| Since | |||
| One | Five | Inception | |
| Year | Years | (8/17/2006) | |
| Mid-Cap Growth Index Fund ETF Shares Market | |||
| Price | 13.46% | 116.25% | 107.23% |
| Mid-Cap Growth Index Fund ETF Shares Net Asset | |||
| Value | 13.49 | 116.32 | 107.23 |
| Spliced Mid-Cap Growth Index | 13.57 | 116.80 | 107.67 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
61
Mid-Cap Growth Index Fund
Fiscal-Year Total Returns (%): August 24, 2006, Through December 31, 2014
Mid-Cap Growth Index Fund Investor Shares
Spliced Mid-Cap Growth Index
For a benchmark description, see the Glossary.
62
Mid-Cap Growth Index Fund
Financial Statements
Statement of Net Assets
As of December 31, 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 (1.3%) | |||
| Airgas Inc. | 229,453 | 26,428 | |
| FMC Corp. | 454,866 | 25,941 | |
| CONSOL Energy Inc. | 392,791 | 13,280 | |
| Westlake Chemical Corp. | 68,155 | 4,164 | |
| 69,813 | |||
| Consumer Goods (12.2%) | |||
| * | Monster Beverage Corp. | 514,973 | 55,797 |
| Keurig Green Mountain Inc. 414,680 | 54,902 | ||
| * | Constellation Brands Inc. | ||
| Class A | 549,511 | 53,946 | |
| * | Electronic Arts Inc. | 1,008,125 | 47,397 |
| BorgWarner Inc. | 776,057 | 42,644 | |
| * | Under Armour Inc. Class A | 600,734 | 40,790 |
| Ralph Lauren Corp. Class A | 209,625 | 38,814 | |
| PVH Corp. | 281,112 | 36,030 | |
| Church & Dwight Co. Inc. | 456,550 | 35,981 | |
| * | Mohawk Industries Inc. | 211,431 | 32,848 |
| Polaris Industries Inc. | 203,921 | 30,841 | |
| * | Jarden Corp. | 623,504 | 29,853 |
| McCormick & Co. Inc. | 379,565 | 28,202 | |
| * | LKQ Corp. | 930,381 | 26,162 |
| Harley-Davidson Inc. | 365,659 | 24,101 | |
| Leucadia National Corp. | 1,068,292 | 23,951 | |
| * | WABCO Holdings Inc. | 201,031 | 21,064 |
| * | NVR Inc. | 13,274 | 16,929 |
| * | lululemon athletica Inc. | 290,336 | 16,198 |
| * | Fossil Group Inc. | 139,397 | 15,437 |
| *,^ | GoPro Inc. Class A | 53,202 | 3,363 |
| Herbalife Ltd. | 54,619 | 2,059 | |
| 677,309 | |||
| Consumer Services (19.1%) | |||
| L Brands Inc. | 848,140 | 73,407 | |
| * | Chipotle Mexican Grill Inc. | ||
| Class A | 105,840 | 72,449 | |
| Ross Stores Inc. | 680,324 | 64,127 | |
| * | O’Reilly Automotive Inc. | 328,975 | 63,367 |
| Marriott International Inc. | |||
| Class A | 676,974 | 52,824 | |
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| * | CarMax Inc. | 735,103 | 48,943 |
| * | Dollar Tree Inc. | 666,807 | 46,930 |
| * | Charter Communications | ||
| Inc. Class A | 279,767 | 46,615 | |
| Tiffany & Co. | 375,308 | 40,106 | |
| Advance Auto Parts Inc. | 249,074 | 39,673 | |
| Nordstrom Inc. | 493,042 | 39,143 | |
| * | Dollar General Corp. | 517,794 | 36,608 |
| Tractor Supply Co. | 463,805 | 36,557 | |
| Wyndham Worldwide Corp. | 420,688 | 36,078 | |
| * | Discovery | ||
| Communications Inc. | 931,136 | 31,398 | |
| * | TripAdvisor Inc. | 377,498 | 28,184 |
| Expedia Inc. | 330,023 | 28,171 | |
| PetSmart Inc. | 339,347 | 27,587 | |
| * | Ulta Salon Cosmetics & | ||
| Fragrance Inc. | 208,698 | 26,680 | |
| * | IHS Inc. Class A | 221,060 | 25,174 |
| Williams-Sonoma Inc. | 286,632 | 21,692 | |
| * | Liberty Interactive Corp. | ||
| Class A | 724,857 | 21,325 | |
| Scripps Networks | |||
| Interactive Inc. Class A | 263,171 | 19,809 | |
| FactSet Research | |||
| Systems Inc. | 135,270 | 19,039 | |
| Signet Jewelers Ltd. | 136,834 | 18,003 | |
| * | Discovery Communications | ||
| Inc. Class A | 506,796 | 17,459 | |
| * | AutoNation Inc. | 251,085 | 15,168 |
| * | MGM Resorts International | 628,626 | 13,440 |
| * | Sprouts Farmers | ||
| Market Inc. | 361,059 | 12,269 | |
| * | Urban Outfitters Inc. | 343,539 | 12,069 |
| * | Norwegian Cruise Line | ||
| Holdings Ltd. | 242,874 | 11,357 | |
| * | Hyatt Hotels Corp. Class A | 127,261 | 7,662 |
| Extended Stay America Inc. | 174,384 | 3,367 | |
| *,^ | zulily Inc. Class A | 79,803 | 1,867 |
| 1,058,547 |
63
| Mid-Cap Growth Index Fund | |||
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| Financials (11.1%) | |||
| Health Care REIT Inc. | 1,118,327 | 84,624 | |
| AvalonBay | |||
| Communities Inc. | 450,525 | 73,611 | |
| Moody’s Corp. | 711,952 | 68,212 | |
| Essex Property Trust Inc. | 218,228 | 45,086 | |
| * | Affiliated Managers | ||
| Group Inc. | 189,659 | 40,253 | |
| * | CBRE Group Inc. Class A | 965,699 | 33,075 |
| Federal Realty | |||
| Investment Trust | 232,484 | 31,027 | |
| Digital Realty Trust Inc. | 462,576 | 30,669 | |
| American Realty Capital | |||
| Properties Inc. | 3,156,439 | 28,566 | |
| * | Realogy Holdings Corp. | 499,133 | 22,207 |
| Lazard Ltd. Class A | 439,555 | 21,991 | |
| Alexandria Real Estate | |||
| Equities Inc. | 245,789 | 21,811 | |
| SEI Investments Co. | 513,683 | 20,568 | |
| Macerich Co. | 240,152 | 20,031 | |
| MSCI Inc. Class A | 363,320 | 17,236 | |
| * | Ally Financial Inc. | 696,018 | 16,440 |
| Raymond James | |||
| Financial Inc. | 217,189 | 12,443 | |
| Camden Property Trust | 147,282 | 10,875 | |
| Brixmor Property Group Inc. | 404,400 | 10,045 | |
| * | LendingClub Corp. | 184,699 | 4,673 |
| 613,443 | |||
| Health Care (10.2%) | |||
| * | DaVita HealthCare | ||
| Partners Inc. | 696,757 | 52,772 | |
| * | Vertex Pharmaceuticals Inc. | 410,326 | 48,747 |
| * | Edwards Lifesciences Corp. | 365,165 | 46,515 |
| * | BioMarin | ||
| Pharmaceutical Inc. | 503,279 | 45,496 | |
| CR Bard Inc. | 255,564 | 42,582 | |
| Perrigo Co. plc | 238,645 | 39,892 | |
| * | Incyte Corp. | 518,760 | 37,926 |
| * | Jazz Pharmaceuticals plc | 196,206 | 32,125 |
| * | Waters Corp. | 270,049 | 30,440 |
| * | Varian Medical | ||
| Systems Inc. | 341,280 | 29,524 | |
| ResMed Inc. | 475,706 | 26,668 | |
| DENTSPLY | |||
| International Inc. | 483,015 | 25,730 | |
| * | Pharmacyclics Inc. | 206,217 | 25,212 |
| * | IDEXX Laboratories Inc. | 162,660 | 24,118 |
| * | Envision Healthcare | ||
| Holdings Inc. | 438,482 | 15,211 | |
| * | Quintiles Transnational | ||
| Holdings Inc. | 240,063 | 14,132 | |
| * | Medivation Inc. | 125,807 | 12,532 |
| * | Salix Pharmaceuticals Ltd. | 103,259 | 11,869 |
| * | Intercept | ||
| Pharmaceuticals Inc. | 21,886 | 3,414 | |
| 564,905 | |||
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| Industrials (21.4%) | |||
| Sherwin-Williams Co. | 278,483 | 73,252 | |
| * | Alliance Data | ||
| Systems Corp. | 207,328 | 59,306 | |
| Amphenol Corp. Class A | 1,056,154 | 56,832 | |
| Roper Industries Inc. | 341,872 | 53,452 | |
| WW Grainger Inc. | 209,426 | 53,381 | |
| Kansas City Southern | 376,685 | 45,967 | |
| AMETEK Inc. | 839,348 | 44,175 | |
| Fastenal Co. | 910,568 | 43,307 | |
| Pentair plc | 637,541 | 42,345 | |
| * | Stericycle Inc. | 289,766 | 37,982 |
| CH Robinson | |||
| Worldwide Inc. | 499,329 | 37,395 | |
| Pall Corp. | 364,518 | 36,893 | |
| * | FleetCor Technologies Inc. | 243,156 | 36,160 |
| * | United Rentals Inc. | 340,554 | 34,740 |
| TransDigm Group Inc. | 170,089 | 33,397 | |
| * | Verisk Analytics Inc. | ||
| Class A | 506,631 | 32,450 | |
| Masco Corp. | 1,215,868 | 30,640 | |
| * | Sensata Technologies | ||
| Holding NV | 575,939 | 30,185 | |
| * | Fiserv Inc. | 416,322 | 29,546 |
| Vulcan Materials Co. | 449,344 | 29,535 | |
| * | Mettler-Toledo | ||
| International Inc. | 97,390 | 29,457 | |
| Rock-Tenn Co. Class A | 477,834 | 29,138 | |
| Expeditors International | |||
| of Washington Inc. | 625,588 | 27,907 | |
| Flowserve Corp. | 465,002 | 27,821 | |
| Wabtec Corp. | 311,946 | 27,105 | |
| JB Hunt Transport | |||
| Services Inc. | 319,860 | 26,948 | |
| Robert Half | |||
| International Inc. | 440,613 | 25,723 | |
| Martin Marietta | |||
| Materials Inc. | 218,049 | 24,055 | |
| * | Trimble Navigation Ltd. | 883,615 | 23,451 |
| * | B/E Aerospace Inc. | 359,547 | 20,861 |
| * | Quanta Services Inc. | 725,140 | 20,587 |
| Donaldson Co. Inc. | 472,246 | 18,243 | |
| Chicago Bridge & Iron | |||
| Co. NV | 369,613 | 15,516 | |
| * | Colfax Corp. | 295,269 | 15,227 |
| Fortune Brands Home & | |||
| Security Inc. | 269,034 | 12,179 | |
| * | KLX Inc. | 89,831 | 3,706 |
| 1,188,864 | |||
| Oil & Gas (6.0%) | |||
| * | Cheniere Energy Inc. | 727,501 | 51,216 |
| Cabot Oil & Gas Corp. | 1,409,551 | 41,737 | |
| EQT Corp. | 517,141 | 39,148 | |
| * | Concho Resources Inc. | 385,710 | 38,475 |
| Range Resources Corp. | 546,760 | 29,224 | |
| * | Dresser-Rand Group Inc. | 261,675 | 21,405 |
64
| Mid-Cap Growth Index Fund | |||
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| Oceaneering | |||
| International Inc. | 358,468 | 21,081 | |
| * | Whiting Petroleum Corp. | 568,229 | 18,752 |
| * | FMC Technologies Inc. | 399,040 | 18,691 |
| Core Laboratories NV | 149,552 | 17,997 | |
| * | Weatherford | ||
| International plc | 1,188,546 | 13,609 | |
| * | Antero Resources Corp. | 178,734 | 7,253 |
| * | Cobalt International | ||
| Energy Inc. | 562,539 | 5,001 | |
| SM Energy Co. | 114,917 | 4,433 | |
| QEP Resources Inc. | 153,565 | 3,105 | |
| 331,127 | |||
| Technology (16.3%) | |||
| * | Cerner Corp. | 1,048,927 | 67,824 |
| Skyworks Solutions Inc. | 650,719 | 47,314 | |
| * | Autodesk Inc. | 775,462 | 46,574 |
| * | Red Hat Inc. | 641,078 | 44,324 |
| Avago Technologies Ltd. | |||
| Class A | 431,430 | 43,398 | |
| Lam Research Corp. | 542,551 | 43,046 | |
| Equinix Inc. | 187,474 | 42,506 | |
| KLA-Tencor Corp. | 561,344 | 39,474 | |
| Xilinx Inc. | 902,608 | 39,074 | |
| Linear Technology Corp. | 814,077 | 37,122 | |
| * | Catamaran Corp. | 708,123 | 36,645 |
| * | Akamai Technologies Inc. | 577,097 | 36,334 |
| * | Citrix Systems Inc. | 549,176 | 35,037 |
| * | F5 Networks Inc. | 251,768 | 32,847 |
| * | ServiceNow Inc. | 455,358 | 30,896 |
| Microchip Technology Inc. | 651,599 | 29,394 | |
| * | Workday Inc. Class A | 337,616 | 27,553 |
| * | ANSYS Inc. | 313,691 | 25,723 |
| * | Gartner Inc. | 285,429 | 24,036 |
| * | VeriSign Inc. | 413,316 | 23,559 |
| * | Teradata Corp. | 521,959 | 22,799 |
| * | Splunk Inc. | 347,909 | 20,509 |
| SanDisk Corp. | 188,329 | 18,452 | |
| * | Rackspace Hosting Inc. | 392,021 | 18,350 |
| NVIDIA Corp. | 881,222 | 17,668 | |
| * | Palo Alto Networks Inc. | 116,795 | 14,316 |
| * | NetSuite Inc. | 117,937 | 12,875 |
| *,^ | FireEye Inc. | 333,720 | 10,539 |
| *,^ | Cree Inc. | 203,668 | 6,562 |
| *,^ | 3D Systems Corp. | 180,124 | 5,921 |
| * | Premier Inc. Class A | 126,421 | 4,239 |
| 904,910 | |||
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| Telecommunications (1.7%) | |||
| * | SBA Communications Corp. | ||
| Class A | 440,636 | 48,805 | |
| * | Level 3 | ||
| Communications Inc. | 917,332 | 45,298 | |
| 94,103 | |||
| Utilities (0.5%) | |||
| * | Calpine Corp. | 1,329,603 | 29,424 |
| Total Common Stocks | |||
| (Cost $4,442,904) | 5,532,445 | ||
| Temporary Cash Investments (0.9%)1 | |||
| Money Market Fund (0.8%) | |||
| 2,3 | Vanguard Market | ||
| Liquidity Fund, | |||
| 0.126% | 43,614,375 | 43,614 | |
| Face | |||
| Amount | |||
| ($000) | |||
| U.S. Government and Agency Obligations (0.1%) | |||
| 4,5 | Fannie Mae | ||
| Discount Notes, | |||
| 0.130%, 4/27/15 | 5,000 | 4,998 | |
| 6 | Federal Home Loan | ||
| Bank Discount Notes, | |||
| 0.087%, 2/6/15 | 1,000 | 1,000 | |
| 5,998 | |||
| Total Temporary Cash Investments | |||
| (Cost $49,612) | 49,612 | ||
| Total Investments (100.7%) | |||
| (Cost $4,492,516) | 5,582,057 | ||
| Other Assets and Liabilities (-0.7%) | |||
| Other Assets | 9,108 | ||
| Liabilities3 | (49,273) | ||
| (40,165) | |||
| Net Assets (100%) | 5,541,892 | ||
65
Mid-Cap Growth Index Fund
| At December 31, 2014, net assets consisted of: | |
| Amount | |
| ($000) | |
| Paid-in Capital | 4,613,284 |
| Overdistributed Net Investment Income | (1,461) |
| Accumulated Net Realized Losses | (159,851) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 1,089,541 |
| Futures Contracts | 379 |
| Net Assets | 5,541,892 |
| Investor Shares—Net Assets | |
| Applicable to 14,067,623 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 561,797 |
| Net Asset Value Per Share— | |
| Investor Shares | $39.94 |
| Admiral Shares—Net Assets | |
| Applicable to 51,784,108 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 2,264,116 |
| Net Asset Value Per Share— | |
| Admiral Shares | $43.72 |
| ETF Shares—Net Assets | |
| Applicable to 26,741,107 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 2,715,979 |
| Net Asset Value Per Share— | |
| ETF Shares | $101.57 |
• 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 $8,783,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.7%, respectively,
of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the
7-day yield.
3 Includes $9,180,000 of collateral received for securities on loan.
4 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the
Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange
for senior preferred stock.
5 Securities with a value of $700,000 have been segregated as initial margin for open futures contracts.
6 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the
full faith and credit of the U.S. government.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
66
| Mid-Cap Growth Index Fund | |
| Statement of Operations | |
| Year Ended | |
| December 31, 2014 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends | 47,003 |
| Interest1 | 17 |
| Securities Lending | 707 |
| Total Income | 47,727 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 745 |
| Management and Administrative—Investor Shares | 1,056 |
| Management and Administrative—Admiral Shares | 967 |
| Management and Administrative—ETF Shares | 1,051 |
| Marketing and Distribution—Investor Shares | 141 |
| Marketing and Distribution—Admiral Shares | 377 |
| Marketing and Distribution—ETF Shares | 433 |
| Custodian Fees | 60 |
| Auditing Fees | 35 |
| Shareholders’ Reports—Investor Shares | 18 |
| Shareholders’ Reports—Admiral Shares | 21 |
| Shareholders’ Reports—ETF Shares | 120 |
| Trustees’ Fees and Expenses | 3 |
| Total Expenses | 5,027 |
| Net Investment Income | 42,700 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 155,576 |
| Futures Contracts | 1,470 |
| Realized Net Gain (Loss) | 157,046 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | 417,900 |
| Futures Contracts | 366 |
| Change in Unrealized Appreciation (Depreciation) | 418,266 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 618,012 |
| 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.
67
| Mid-Cap Growth Index Fund | ||
| Statement of Changes in Net Assets | ||
| Year Ended December 31, | ||
| 2014 | 2013 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 42,700 | 23,668 |
| Realized Net Gain (Loss) | 157,046 | 489,059 |
| Change in Unrealized Appreciation (Depreciation) | 418,266 | 407,621 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 618,012 | 920,348 |
| Distributions | ||
| Net Investment Income | ||
| Investor Shares | (3,540) | (2,863) |
| Admiral Shares | (17,637) | (9,414) |
| ETF Shares | (21,317) | (11,564) |
| Realized Capital Gain | ||
| Investor Shares | — | — |
| Admiral Shares | — | — |
| ETF Shares | — | — |
| Total Distributions | (42,494) | (23,841) |
| Capital Share Transactions | ||
| Investor Shares | (100,159) | (36,578) |
| Admiral Shares | 465,380 | 329,271 |
| ETF Shares | 544,372 | 272,035 |
| Net Increase (Decrease) from Capital Share Transactions | 909,593 | 564,728 |
| Total Increase (Decrease) | 1,485,111 | 1,461,235 |
| Net Assets | ||
| Beginning of Period | 4,056,781 | 2,595,546 |
| End of Period1 | 5,541,892 | 4,056,781 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($1,461,000) and ($1,667,000).
See accompanying Notes, which are an integral part of the Financial Statements.
68
| Mid-Cap Growth Index Fund | |||||
| Financial Highlights | |||||
| Investor Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $35.46 | $26.99 | $23.43 | $24.46 | $19.05 |
| Investment Operations | |||||
| Net Investment Income | . 258 | .169 | .146 | .087 | .1041 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 4.476 | 8.470 | 3.559 | (1.027) | 5.408 |
| Total from Investment Operations | 4.734 | 8.639 | 3.705 | (.940) | 5.512 |
| Distributions | |||||
| Dividends from Net Investment Income | (. 254) | (.169) | (.145) | (. 090) | (.102) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (. 254) | (.169) | (.145) | (. 090) | (.102) |
| Net Asset Value, End of Period | $39.94 | $35.46 | $26.99 | $23.43 | $24.46 |
| Total Return2 | 13.35% | 32.02% | 15.81% | -3.84% | 28.93% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $562 | $595 | $483 | $503 | $958 |
| Ratio of Total Expenses to Average Net Assets | 0.23% | 0.24% | 0.24% | 0.24% | 0.26% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 0.79% | 0.57% | 0.58% | 0.35% | 0.57%1 |
| Portfolio Turnover Rate 3 | 17% | 64% | 38% | 41% | 38% |
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.
69
| Mid-Cap Growth Index Fund | ||||
| Financial Highlights | ||||
| Admiral Shares | ||||
| Sept. 27, | ||||
| 20111 to | ||||
| Year Ended 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 | .350 | .239 | .205 | .027 |
| Net Realized and Unrealized Gain (Loss) on Investments | 4.886 | 9.279 | 3.889 | 0.736 |
| Total from Investment Operations | 5.236 | 9.518 | 4.094 | 0.763 |
| Distributions | ||||
| Dividends from Net Investment Income | (.346) | (.238) | (.204) | (.103) |
| Distributions from Realized Capital Gains | — | — | — | — |
| Total Distributions | (.346) | (.238) | (.204) | (.103) |
| Net Asset Value, End of Period | $43.72 | $38.83 | $29.55 | $25.66 |
| Total Return2 | 13.48% | 32.22% | 15.96% | 3.05% |
| Ratios/Supplemental Data | ||||
| Net Assets, End of Period (Millions) | $2,264 | $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 | 0.93% | 0.72% | 0.72% | 0.49%3 |
| Portfolio Turnover Rate4 | 17% | 64% | 38% | 41% |
| 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.
70
| Mid-Cap Growth Index Fund | |||||
| Financial Highlights | |||||
| ETF Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $90.20 | $68.64 | $59.61 | $62.23 | $48.45 |
| Investment Operations | |||||
| Net Investment Income | . 816 | .556 | .474 | .316 | .3261 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 11.359 | 21.558 | 9.029 | (2.617) | 13.776 |
| Total from Investment Operations | 12.175 | 22.114 | 9.503 | (2.301) | 14.102 |
| Distributions | |||||
| Dividends from Net Investment Income | (.805) | (. 554) | (. 473) | (.319) | (.322) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.805) | (. 554) | (. 473) | (.319) | (.322) |
| Net Asset Value, End of Period | $101.57 | $90.20 | $68.64 | $59.61 | $62.23 |
| Total Return | 13.49% | 32.23% | 15.94% | -3.70% | 29.11% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $2,716 | $1,896 | $1,200 | $1,095 | $1,030 |
| Ratio of Total Expenses to Average Net Assets | 0.09% | 0.09% | 0.10% | 0.10% | 0.12% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 0.93% | 0.72% | 0.72% | 0.49% | 0.71%1 |
| Portfolio Turnover Rate2 | 17% | 64% | 38% | 41% | 38% |
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.
71
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 settlement values 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 year ended December 31, 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.
72
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, 2011–2014), 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 December 31, 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.
73
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 invest up to 0.40% of its net assets in Vanguard. At December 31, 2014, the fund had contributed capital of $519,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.21% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in 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 December 31, 2014, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 5,532,445 | — | — |
| Temporary Cash Investments | 43,614 | 5,998 | — |
| Futures Contracts—Liabilities1 | (132) | — | — |
| Total | 5,575,927 | 5,998 | — |
| 1 Represents variation margin on the last day of the reporting period. |
D. At December 31, 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 | March 2015 | 51 | 7,388 | 249 |
| S&P 500 Index | March 2015 | 6 | 3,078 | 130 |
| 379 |
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.
74
Mid-Cap Growth Index Fund
During the year ended December 31, 2014, the fund realized $243,647,000 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.
For tax purposes, at December 31, 2014, the fund had $786,000 of ordinary income available for distribution. At December 31, 2014, the fund had available capital losses totaling $157,014,000 to offset future net capital gains. Of this amount, $73,214,000 is subject to expiration on December 31, 2018. Capital losses of $83,800,000 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.
At December 31, 2014, the cost of investment securities for tax purposes was $4,494,973,000.
Net unrealized appreciation of investment securities for tax purposes was $1,087,084,000, consisting of unrealized gains of $1,208,114,000 on securities that had risen in value since their purchase and $121,030,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended December 31, 2014, the fund purchased $2,244,835,000 of investment securities and sold $1,333,955,000 of investment securities, other than temporary cash investments. Purchases and sales include $1,039,929,000 and $514,480,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
| G. Capital share transactions for each class of shares were: | ||||
| Year Ended December 31, | ||||
| 2014 | 2013 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| Investor Shares | ||||
| Issued | 189,831 | 5,112 | 218,779 | 6,940 |
| Issued in Lieu of Cash Distributions | 3,457 | 86 | 2,662 | 76 |
| Redeemed | (293,447) | (7,905) | (258,019) | (8,134) |
| Net Increase (Decrease)—Investor Shares | (100,159) | (2,707) | (36,578) | (1,118) |
| Admiral Shares | ||||
| Issued | 901,483 | 22,083 | 627,290 | 18,048 |
| Issued in Lieu of Cash Distributions | 16,329 | 373 | 8,809 | 230 |
| Redeemed | (452,432) | (11,004) | (306,828) | (8,830) |
| Net Increase (Decrease) —Admiral Shares | 465,380 | 11,452 | 329,271 | 9,448 |
| ETF Shares | ||||
| Issued | 1,081,871 | 11,223 | 700,423 | 8,436 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (537,499) | (5,500) | (428,388) | (4,900) |
| Net Increase (Decrease)—ETF Shares | 544,372 | 5,723 | 272,035 | 3,536 |
H. Management has determined that no material events or transactions occurred subsequent to December 31, 2014, that would require recognition or disclosure in these financial statements.
75
Mid-Cap Value Index Fund
Fund Profile
As of December 31, 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 | 1.78% | 1.92% | 1.92% | |
| Portfolio Characteristics | ||||
| CRSP US | DJ | |||
| Mid Cap U.S. Total | ||||
| Value Market | ||||
| Fund | Index FA Index | |||
| Number of Stocks | 205 | 205 | 3,776 | |
| Median Market Cap | $10.2B | $10.2B | $48.1B | |
| Price/Earnings Ratio | 21.0x | 20.8x | 20.6x | |
| Price/Book Ratio | 2.0x | 2.1x | 2.7x | |
| Return on Equity | 14.1% | 13.4% | 17.8% | |
| Earnings Growth | ||||
| Rate | 9.7% | 9.7% | 15.4% | |
| Dividend Yield | 2.0% | 2.0% | 1.9% | |
| Foreign Holdings | 0.0% | 0.0% | 0.0% | |
| Turnover Rate | 14% | — | — | |
| Short-Term Reserves | 0.2% | — | — | |
| Sector Diversification (% of equity exposure) | ||||
| CRSP US | DJ | |||
| Mid Cap | U.S. Total | |||
| Value | Market | |||
| Fund | Index | FA Index | ||
| Basic Materials | 7.2% | 7.2% | 2.8% | |
| Consumer Goods | 16.2 | 16.2 | 9.9 | |
| Consumer Services | 10.1 | 10.1 | 13.6 | |
| Financials | 23.9 | 23.9 | 19.0 | |
| Health Care | 8.0 | 8.0 | 13.5 | |
| Industrials | 11.6 | 11.6 | 12.6 | |
| Oil & Gas | 5.5 | 5.5 | 7.5 | |
| Technology | 6.8 | 6.8 | 15.8 | |
| Telecommunications | 0.7 | 0.7 | 2.0 | |
| Utilities | 10.0 | 10.0 | 3.3 | |
| Volatility Measures | |||
| DJ | |||
| Spliced | U.S. Total | ||
| Mid-Cap | Market | ||
| Value Index | FA Index | ||
| R-Squared | 1.00 | 0.95 | |
| Beta | 1.00 | 1.03 | |
| 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) | |||
| United Continental | |||
| Holdings Inc. | Airlines | 1.5% | |
| Delphi Automotive plc | Auto Parts | 1.3 | |
| Mylan Inc. | Pharmaceuticals | 1.3 | |
| Seagate Technology plc | Computer Hardware | 1.2 | |
| AmerisourceBergen | |||
| Corp. | Drug Retailers | 1.1 | |
| Alcoa Inc. | Aluminum | 1.1 | |
| Hartford Financial | |||
| Services Group Inc. | Full Line Insurance | 1.1 | |
| Fidelity National | Financial | ||
| Information Services Inc. Administration | 1.1 | ||
| Boston Scientific Corp. | Medical Equipment | 1.1 | |
| Northeast Utilities | Conventional | ||
| Electricity | 1.0 | ||
| Top Ten | 11.8% | ||
| The holdings listed exclude any temporary cash investments and | |||
| equity index products. | |||
Investment Focus
1 The expense ratios shown are from the prospectus dated April 28, 2014, and represent estimated costs for the current fiscal year. For the fiscal year ended December 31, 2014, the expense ratios were 0.23% for Investor Shares, 0.09% for Admiral Shares, and 0.09% for ETF Shares.
76
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.
Cumulative Performance: August 24, 2006, Through December 31, 2014
Initial Investment of $10,000
| Average Annual Total Returns | |||||
| Periods Ended December 31, 2014 | |||||
| Since | Final Value | ||||
| One | Five | Inception | of a $10,000 | ||
| Year | Years | (8/24/2006) | Investment | ||
| Mid-Cap Value Index Fund*Investor | |||||
| Shares | 13.84% | 17.04% | 9.02% | $20,578 | |
| •••••••• | Spliced Mid-Cap Value Index | 14.05 | 17.29 | 9.22 | 20,898 |
| – – – – | Mid-Cap Value Funds Average | 9.49 | 15.15 | 8.13 | 19,213 |
| Dow Jones U.S. Total Stock Market | |||||
| Float Adjusted Index | 12.47 | 15.72 | 8.37 | 19,572 | |
For a benchmark description, see the Glossary.
Mid-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
"Since Inception" performance is calculated from the Investor Shares’ inception date for both the fund and its comparative standards.
See Financial Highlights for dividend and capital gains information.
77
| Mid-Cap Value Index Fund | |||
| Average Annual Total Returns | |||
| Periods Ended December 31, 2014 | |||
| Since | Final Value | ||
| One | Inception | of a $10,000 | |
| Year | (9/27/2011) | Investment | |
| Mid-Cap Value Index Fund Admiral Shares | 13.98% | 23.49% | $19,896 |
| Spliced Mid-Cap Value Index | 14.05 | 23.58 | 19,943 |
| Dow Jones U.S. Total Stock Market Float | |||
| Adjusted Index | 12.47 | 21.37 | 18,801 |
"Since Inception" performance is calculated from the Admiral Shares’ inception date for both the fund and its comparative standards.
| Since | Final Value | |||
| One | Five | Inception | of a $10,000 | |
| Year | Years | (8/17/2006) | Investment | |
| Mid-Cap Value Index Fund | ||||
| ETF Shares Net Asset Value | 13.98% | 17.20% | 9.08% | $20,696 |
| Spliced Mid-Cap Value Index | 14.05 | 17.29 | 9.13 | 20,784 |
| Dow Jones U.S. Total Stock Market Float | ||||
| Adjusted Index | 12.47 | 15.72 | 8.31 | 19,510 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
| Cumulative Returns of ETF Shares: August 17, 2006, Through December 31, 2014 | |||
| Since | |||
| One | Five | Inception | |
| Year | Years | (8/17/2006) | |
| Mid-Cap Value Index Fund ETF Shares Market Price | 13.95% | 120.93% | 106.96% |
| Mid-Cap Value Index Fund ETF Shares Net Asset | |||
| Value | 13.98 | 121.10 | 106.96 |
| Spliced Mid-Cap Value Index | 14.05 | 121.99 | 107.84 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
78
Mid-Cap Value Index Fund
Fiscal-Year Total Returns (%): August 24, 2006, Through December 31, 2014
Spliced Mid-Cap Value Index
For a benchmark description, see the Glossary.
79
Mid-Cap Value Index Fund
Financial Statements
Statement of Net Assets
As of December 31, 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 (7.2%) | |||
| Alcoa Inc. | 4,890,052 | 77,214 | |
| Sigma-Aldrich Corp. | 493,997 | 67,811 | |
| CF Industries Holdings Inc. | 206,321 | 56,231 | |
| Eastman Chemical Co. | 554,588 | 42,071 | |
| Celanese Corp. Class A | 637,406 | 38,219 | |
| Ashland Inc. | 287,471 | 34,428 | |
| International Flavors & | |||
| Fragrances Inc. | 335,982 | 34,055 | |
| * | WR Grace & Co. | 290,978 | 27,756 |
| Huntsman Corp. | 861,269 | 19,620 | |
| Avery Dennison Corp. | 378,086 | 19,615 | |
| Newmont Mining Corp. | 1,034,867 | 19,559 | |
| Albemarle Corp. | 324,788 | 19,529 | |
| Reliance Steel & | |||
| Aluminum Co. | 307,138 | 18,818 | |
| CONSOL Energy Inc. | 477,591 | 16,147 | |
| Westlake Chemical Corp. | 82,446 | 5,037 | |
| Peabody Energy Corp. | 563,289 | 4,360 | |
| 500,470 | |||
| Consumer Goods (16.2%) | |||
| Delphi Automotive plc | 1,228,259 | 89,319 | |
| Genuine Parts Co. | 603,374 | 64,302 | |
| ConAgra Foods Inc. | 1,762,384 | 63,939 | |
| Whirlpool Corp. | 323,115 | 62,600 | |
| Dr Pepper Snapple | |||
| Group Inc. | 806,559 | 57,814 | |
| Clorox Co. | 536,827 | 55,943 | |
| Bunge Ltd. | 572,295 | 52,027 | |
| Tyson Foods Inc. Class A | 1,267,989 | 50,834 | |
| * | TRW Automotive | ||
| Holdings Corp. | 459,026 | 47,211 | |
| Hanesbrands Inc. | 414,414 | 46,257 | |
| Molson Coors Brewing Co. | |||
| Class B | 603,740 | 44,991 | |
| Mattel Inc. | 1,405,680 | 43,499 | |
| Coach Inc. | 1,143,332 | 42,944 | |
| Newell Rubbermaid Inc. | 1,124,717 | 42,840 | |
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| JM Smucker Co. | 401,352 | 40,529 | |
| Coca-Cola Enterprises Inc. | 902,620 | 39,914 | |
| DR Horton Inc. | 1,361,387 | 34,429 | |
| Energizer Holdings Inc. | 257,667 | 33,126 | |
| Lear Corp. | 328,417 | 32,211 | |
| Lennar Corp. Class A | 684,710 | 30,682 | |
| PulteGroup Inc. | 1,384,497 | 29,711 | |
| Harley-Davidson Inc. | 444,002 | 29,264 | |
| Hormel Foods Corp. | 545,881 | 28,440 | |
| Hasbro Inc. | 469,397 | 25,812 | |
| Avon Products Inc. | 1,801,413 | 16,915 | |
| *,^ | Pilgrim’s Pride Corp. | 214,835 | 7,044 |
| Coty Inc. Class A | 323,082 | 6,675 | |
| Herbalife Ltd. | 66,146 | 2,494 | |
| Lennar Corp. Class B | 39,083 | 1,411 | |
| 1,123,177 | |||
| Consumer Services (10.1%) | |||
| * | United Continental | ||
| Holdings Inc. | 1,531,022 | 102,410 | |
| AmerisourceBergen Corp. | |||
| Class A | 861,886 | 77,708 | |
| Nielsen NV | 1,264,712 | 56,571 | |
| Royal Caribbean | |||
| Cruises Ltd. | 600,460 | 49,496 | |
| Staples Inc. | 2,654,237 | 48,095 | |
| Best Buy Co. Inc. | 1,232,830 | 48,056 | |
| * | Hertz Global Holdings Inc. | 1,671,615 | 41,690 |
| H&R Block Inc. | 1,141,282 | 38,438 | |
| Interpublic Group | |||
| of Cos. Inc. | 1,735,138 | 36,039 | |
| Safeway Inc. | 955,119 | 33,544 | |
| Family Dollar Stores Inc. | 402,811 | 31,907 | |
| Darden Restaurants Inc. | 494,695 | 29,004 | |
| * | News Corp. Class A | 1,832,445 | 28,751 |
| Signet Jewelers Ltd. | 166,470 | 21,902 | |
| Aramark | 632,461 | 19,701 | |
| Foot Locker Inc. | 297,773 | 16,729 | |
| * | MGM Resorts International | 763,345 | 16,320 |
| * | News Corp. Class B | 198,909 | 2,999 |
| 699,360 | |||
80
| Mid-Cap Value Index Fund | |||
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| Financials (23.9%) | |||
| Hartford Financial Services | |||
| Group Inc. | 1,789,920 | 74,622 | |
| Principal Financial | |||
| Group Inc. | 1,218,238 | 63,275 | |
| Lincoln National Corp. | 1,077,756 | 62,154 | |
| M&T Bank Corp. | 493,313 | 61,970 | |
| Regions Financial Corp. | 5,710,114 | 60,299 | |
| KeyCorp | 3,593,910 | 49,955 | |
| SL Green Realty Corp. | 400,439 | 47,660 | |
| Realty Income Corp. | 923,852 | 44,077 | |
| Annaly Capital | |||
| Management Inc. | 3,931,185 | 42,496 | |
| Kimco Realty Corp. | 1,621,501 | 40,764 | |
| Equifax Inc. | 500,291 | 40,458 | |
| Western Union Co. | 2,168,215 | 38,833 | |
| FNF Group | 1,091,205 | 37,592 | |
| * | Markel Corp. | 55,020 | 37,570 |
| XL Group plc Class A | 1,070,635 | 36,798 | |
| Navient Corp. | 1,701,862 | 36,777 | |
| Unum Group | 1,045,419 | 36,464 | |
| CIT Group Inc. | 759,114 | 36,308 | |
| Huntington | |||
| Bancshares Inc. | 3,378,950 | 35,547 | |
| Comerica Inc. | 745,526 | 34,920 | |
| Voya Financial Inc. | 817,505 | 34,646 | |
| Cincinnati Financial Corp. | 643,615 | 33,359 | |
| UDR Inc. | 1,057,556 | 32,594 | |
| American Capital | |||
| Agency Corp. | 1,461,817 | 31,911 | |
| Plum Creek Timber | |||
| Co. Inc. | 728,810 | 31,186 | |
| * | Arch Capital Group Ltd. | 508,240 | 30,037 |
| First Republic Bank | 572,887 | 29,859 | |
| Willis Group Holdings plc | 661,314 | 29,633 | |
| Torchmark Corp. | 533,783 | 28,915 | |
| Iron Mountain Inc. | 723,335 | 27,964 | |
| New York Community | |||
| Bancorp Inc. | 1,744,731 | 27,916 | |
| Jones Lang LaSalle Inc. | 186,031 | 27,892 | |
| Reinsurance Group | |||
| of America Inc. Class A | 285,045 | 24,976 | |
| Macerich Co. | 291,913 | 24,348 | |
| Zions Bancorporation | 842,050 | 24,007 | |
| Everest Re Group Ltd. | 140,819 | 23,981 | |
| NASDAQ OMX Group Inc. | 487,043 | 23,359 | |
| Legg Mason Inc. | 426,150 | 22,744 | |
| PartnerRe Ltd. | 193,040 | 22,032 | |
| WR Berkley Corp. | 421,254 | 21,593 | |
| Axis Capital Holdings Ltd. | 402,961 | 20,587 | |
| * | Ally Financial Inc. | 846,190 | 19,987 |
| Hudson City Bancorp Inc. | 1,974,660 | 19,984 | |
| People’s United | |||
| Financial Inc. | 1,277,861 | 19,398 | |
| * | Genworth Financial Inc. | ||
| Class A | 2,056,272 | 17,478 | |
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| LPL Financial Holdings Inc. | 347,817 | 15,495 | |
| Raymond | |||
| James Financial Inc. | 264,010 | 15,125 | |
| * | Alleghany Corp. | 31,680 | 14,684 |
| Camden Property Trust | 179,345 | 13,243 | |
| Assurant Inc. | 145,882 | 9,983 | |
| Santander Consumer USA | |||
| Holdings Inc. | 432,796 | 8,487 | |
| Rayonier Inc. | 261,903 | 7,318 | |
| 1,653,260 | |||
| Health Care (8.0%) | |||
| * | Mylan Inc. | 1,552,607 | 87,520 |
| * | Boston Scientific Corp. | 5,502,583 | 72,909 |
| * | CareFusion Corp. | 845,934 | 50,198 |
| * | Mallinckrodt plc | 482,446 | 47,777 |
| * | Henry Schein Inc. | 349,371 | 47,567 |
| * | Endo International plc | 605,813 | 43,691 |
| * | Hospira Inc. | 701,970 | 42,996 |
| Universal Health Services | |||
| Inc. Class B | 380,420 | 42,326 | |
| Quest Diagnostics Inc. | 599,613 | 40,210 | |
| * | Laboratory Corp. | ||
| of America Holdings | 350,651 | 37,835 | |
| * | Hologic Inc. | 982,816 | 26,281 |
| Patterson Cos. Inc. | 366,870 | 17,646 | |
| 556,956 | |||
| Industrials (11.5%) | |||
| Fidelity National | |||
| Information Services Inc. 1,177,145 | 73,218 | ||
| Rockwell Collins Inc. | 551,515 | 46,592 | |
| Textron Inc. | 1,030,746 | 43,405 | |
| L-3 Communications | |||
| Holdings Inc. | 317,898 | 40,122 | |
| Fluor Corp. | 648,145 | 39,297 | |
| Ball Corp. | 568,110 | 38,728 | |
| * | Fiserv Inc. | 505,512 | 35,876 |
| Sealed Air Corp. | 831,224 | 35,269 | |
| Towers Watson & Co. | |||
| Class A | 289,864 | 32,804 | |
| Xerox Corp. | 2,246,802 | 31,141 | |
| MeadWestvaco Corp. | 691,758 | 30,707 | |
| Cintas Corp. | 388,286 | 30,457 | |
| * | Crown Holdings Inc. | 575,613 | 29,299 |
| Xylem Inc. | 753,639 | 28,691 | |
| ADT Corp. | 724,200 | 26,238 | |
| Allison Transmission | |||
| Holdings Inc. | 736,573 | 24,970 | |
| Avnet Inc. | 568,630 | 24,462 | |
| * | Jacobs Engineering | ||
| Group Inc. | 541,690 | 24,208 | |
| * | Arrow Electronics Inc. | 402,086 | 23,277 |
| Hubbell Inc. Class B | 215,329 | 23,004 | |
| ManpowerGroup Inc. | 328,399 | 22,387 | |
| Joy Global Inc. | 407,402 | 18,952 | |
| FLIR Systems Inc. | 584,623 | 18,889 | |
| MDU Resources Group Inc. | 763,442 | 17,941 | |
81
| Mid-Cap Value Index Fund | |||
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| Owens Corning | 462,526 | 16,563 | |
| * | Owens-Illinois Inc. | 340,838 | 9,199 |
| AGCO Corp. | 162,314 | 7,336 | |
| SPX Corp. | 76,637 | 6,585 | |
| 799,617 | |||
| Oil & Gas (5.5%) | |||
| Tesoro Corp. | 523,752 | 38,941 | |
| Cimarex Energy Co. | 361,963 | 38,368 | |
| Murphy Oil Corp. | 698,717 | 35,299 | |
| HollyFrontier Corp. | 811,088 | 30,400 | |
| OGE Energy Corp. | 825,917 | 29,303 | |
| Ensco plc Class A | 970,711 | 29,073 | |
| Helmerich & Payne Inc. | 426,690 | 28,767 | |
| ^ | Transocean Ltd. | 1,426,006 | 26,139 |
| * | Cameron | ||
| International Corp. | 409,694 | 20,464 | |
| * | Southwestern Energy Co. | 732,653 | 19,994 |
| Energen Corp. | 303,091 | 19,325 | |
| Noble Corp. plc | 1,044,374 | 17,305 | |
| * | Weatherford | ||
| International plc | 1,445,073 | 16,546 | |
| ^ | Diamond Offshore | ||
| Drilling Inc. | 284,709 | 10,452 | |
| Nabors Industries Ltd. | 570,695 | 7,408 | |
| Denbury Resources Inc. | 731,586 | 5,948 | |
| QEP Resources Inc. | 185,445 | 3,750 | |
| 377,482 | |||
| Technology (6.8%) | |||
| Seagate Technology plc | 1,289,641 | 85,761 | |
| Western Digital Corp. | 457,613 | 50,658 | |
| Altera Corp. | 1,264,542 | 46,712 | |
| Juniper Networks Inc. | 1,704,888 | 38,053 | |
| Maxim Integrated | |||
| Products Inc. | 1,173,775 | 37,408 | |
| Computer Sciences Corp. | 582,913 | 36,753 | |
| Harris Corp. | 433,413 | 31,128 | |
| * | Synopsys Inc. | 646,559 | 28,106 |
| Garmin Ltd. | 476,096 | 25,152 | |
| Marvell Technology | |||
| Group Ltd. | 1,707,399 | 24,757 | |
| SanDisk Corp. | 228,945 | 22,432 | |
| NVIDIA Corp. | 1,071,283 | 21,479 | |
| * | Nuance | ||
| Communications Inc. | 1,058,961 | 15,112 | |
| * | IMS Health Holdings Inc. | 275,732 | 7,070 |
| 470,581 | |||
| Telecommunications (0.7%) | |||
| Frontier | |||
| Communications Corp. | 4,152,196 | 27,695 | |
| Windstream Holdings Inc. | 2,501,067 | 20,609 | |
| 48,304 | |||
| Market | ||
| Value• | ||
| Shares | ($000) | |
| Utilities (10.0%) | ||
| Northeast Utilities | 1,314,175 | 70,335 |
| DTE Energy Co. | 734,282 | 63,420 |
| NiSource Inc. | 1,309,669 | 55,556 |
| Wisconsin Energy Corp. | 935,533 | 49,340 |
| Ameren Corp. | 1,006,592 | 46,434 |
| ONEOK Inc. | 863,715 | 43,004 |
| CenterPoint Energy Inc. | 1,783,088 | 41,778 |
| CMS Energy Corp. | 1,145,638 | 39,811 |
| American Water Works | ||
| Co. Inc. | 743,939 | 39,652 |
| NRG Energy Inc. | 1,402,760 | 37,804 |
| AES Corp. | 2,662,349 | 36,661 |
| SCANA Corp. | 531,609 | 32,109 |
| Pinnacle West | ||
| Capital Corp. | 457,710 | 31,266 |
| Alliant Energy Corp. | 459,672 | 30,531 |
| Pepco Holdings Inc. | 1,043,852 | 28,111 |
| Integrys Energy Group Inc. 331,834 | 25,833 | |
| National Fuel Gas Co. | 331,924 | 23,079 |
| 694,724 | ||
| Total Common Stocks | ||
| (Cost $5,585,040) | 6,923,931 | |
| Temporary Cash Investments (0.5%)1 | ||
| Money Market Fund (0.5%) | ||
| 2,3 Vanguard Market | ||
| Liquidity Fund, | ||
| 0.126% | 31,693,000 | 31,693 |
| Face |
| Amount |
| ($000) |
| U.S. Government and Agency Obligations (0.0%) |
| 4,5 | Fannie Mae | ||
| Discount Notes, | |||
| 0.170%, 6/17/15 | 200 | 200 | |
| 4,6 | Federal Home Loan | ||
| Bank Discount Notes, | |||
| 0.110%, 2/20/15 | 500 | 500 | |
| 700 | |||
| Total Temporary Cash Investments | |||
| (Cost $32,393) | 32,393 | ||
| Total Investments (100.4%) | |||
| (Cost $5,617,433) | 6,956,324 | ||
| Other Assets and Liabilities (-0.4%) | |||
| Other Assets | 20,107 | ||
| Liabilities3 | (45,594) | ||
| (25,487) | |||
| Net Assets (100%) | 6,930,837 | ||
82
Mid-Cap Value Index Fund
| At December 31, 2014, net assets consisted of: | |
| Amount | |
| ($000) | |
| Paid-in Capital | 5,624,322 |
| Undistributed Net Investment Income | 83 |
| Accumulated Net Realized Losses | (32,544) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 1,338,891 |
| Futures Contracts | 85 |
| Net Assets | 6,930,837 |
| Investor Shares—Net Assets | |
| Applicable to 17,837,293 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 627,719 |
| Net Asset Value Per Share— | |
| Investor Shares | $35.19 |
| Admiral Shares—Net Assets | |
| Applicable to 62,545,506 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 2,896,083 |
| Net Asset Value Per Share— | |
| Admiral Shares | $46.30 |
| ETF Shares—Net Assets | |
| Applicable to 38,112,527 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 3,407,035 |
| Net Asset Value Per Share— | |
| ETF Shares | $89.39 |
• 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 $11,908,000.
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 0.4%, 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 $12,773,000 of collateral received for securities on loan.
4 Securities with a value of $400,000 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.
83
| Mid-Cap Value Index Fund | |
| Statement of Operations | |
| Year Ended | |
| December 31, 2014 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends | 118,873 |
| Interest1 | 26 |
| Securities Lending | 930 |
| Total Income | 119,829 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 901 |
| Management and Administrative—Investor Shares | 1,144 |
| Management and Administrative—Admiral Shares | 1,144 |
| Management and Administrative—ETF Shares | 1,250 |
| Marketing and Distribution—Investor Shares | 151 |
| Marketing and Distribution—Admiral Shares | 491 |
| Marketing and Distribution—ETF Shares | 607 |
| Custodian Fees | 87 |
| Auditing Fees | 36 |
| Shareholders’ Reports—Investor Shares | 20 |
| Shareholders’ Reports—Admiral Shares | 23 |
| Shareholders’ Reports—ETF Shares | 183 |
| Trustees’ Fees and Expenses | 4 |
| Total Expenses | 6,041 |
| Net Investment Income | 113,788 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 283,538 |
| Futures Contracts | 1,594 |
| Realized Net Gain (Loss) | 285,132 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | 374,284 |
| Futures Contracts | (5) |
| Change in Unrealized Appreciation (Depreciation) | 374,279 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 773,199 |
| 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.
84
| Mid-Cap Value Index Fund | ||
| Statement of Changes in Net Assets | ||
| Year Ended December 31, | ||
| 2014 | 2013 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 113,788 | 69,200 |
| Realized Net Gain (Loss) | 285,132 | 245,472 |
| Change in Unrealized Appreciation (Depreciation) | 374,279 | 788,590 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 773,199 | 1,103,262 |
| Distributions | ||
| Net Investment Income | ||
| Investor Shares | (9,388) | (8,828) |
| Admiral Shares | (47,110) | (26,210) |
| ETF Shares | (56,508) | (34,036) |
| Realized Capital Gain | ||
| Investor Shares | — | — |
| Admiral Shares | — | — |
| ETF Shares | — | — |
| Total Distributions | (113,006) | (69,074) |
| Capital Share Transactions | ||
| Investor Shares | (82,189) | (17,703) |
| Admiral Shares | 881,381 | 672,082 |
| ETF Shares | 822,050 | 602,650 |
| Net Increase (Decrease) from Capital Share Transactions | 1,621,242 | 1,257,029 |
| Total Increase (Decrease) | 2,281,435 | 2,291,217 |
| Net Assets | ||
| Beginning of Period | 4,649,402 | 2,358,185 |
| End of Period1 | 6,930,837 | 4,649,402 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $83,000 and ($699,000).
See accompanying Notes, which are an integral part of the Financial Statements.
85
| Mid-Cap Value Index Fund | |||||
| Financial Highlights | |||||
| Investor Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $31.38 | $23.16 | $20.34 | $20.85 | $17.45 |
| Investment Operations | |||||
| Net Investment Income | .539 | .441 | .423 | .417 | .371 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 3.804 | 8.218 | 2.813 | (.509) | 3.403 |
| Total from Investment Operations | 4.343 | 8.659 | 3.236 | (.092) | 3.774 |
| Distributions | |||||
| Dividends from Net Investment Income | (. 533) | (. 439) | (. 416) | (. 418) | (.374) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (. 533) | (. 439) | (. 416) | (. 418) | (.374) |
| Net Asset Value, End of Period | $35.19 | $31.38 | $23.16 | $20.34 | $20.85 |
| Total Return1 | 13.84% | 37.42% | 15.91% | -0.44% | 21.63% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $628 | $640 | $487 | $455 | $683 |
| Ratio of Total Expenses to Average Net Assets | 0.23% | 0.24% | 0.24% | 0.24% | 0.26% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 1.86% | 1.80% | 2.21% | 1.97% | 1.99% |
| Portfolio Turnover Rate2 | 14% | 46% | 33% | 41% | 37% |
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.
86
| Mid-Cap Value Index Fund | ||||
| Financial Highlights | ||||
| Admiral Shares | ||||
| Sept. 27, | ||||
| 20111 to | ||||
| Year Ended 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 | .780 | .638 | .598 | .157 |
| Net Realized and Unrealized Gain (Loss) on Investments | 4.994 | 10.826 | 3.692 | 2.165 |
| Total from Investment Operations | 5.774 | 11.464 | 4.290 | 2.322 |
| Distributions | ||||
| Dividends from Net Investment Income | (.774) | (.634) | (.590) | (.552) |
| Distributions from Realized Capital Gains | — | — | — | — |
| Total Distributions | (.774) | (.634) | (.590) | (.552) |
| Net Asset Value, End of Period | $46.30 | $41.30 | $30.47 | $26.77 |
| Total Return2 | 13.98% | 37.66% | 16.02% | 9.29% |
| Ratios/Supplemental Data | ||||
| Net Assets, End of Period (Millions) | $2,896 | $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 | 2.00% | 1.95% | 2.35% | 2.11%3 |
| Portfolio Turnover Rate4 | 14% | 46% | 33% | 41% |
| 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.
87
| Mid-Cap Value Index Fund | |||||
| Financial Highlights | |||||
| ETF Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $79.73 | $58.82 | $51.67 | $52.97 | $44.31 |
| Investment Operations | |||||
| Net Investment Income | 1.504 | 1.232 | 1.156 | 1.134 | 1.004 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 9.647 | 20.901 | 7.130 | (1.297) | 8.669 |
| Total from Investment Operations | 11.151 | 22.133 | 8.286 | (.163) | 9.673 |
| Distributions | |||||
| Dividends from Net Investment Income | (1.491) | (1.223) | (1.136) | (1.137) | (1.013) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.491) | (1.223) | (1.136) | (1.137) | (1.013) |
| Net Asset Value, End of Period | $89.39 | $79.73 | $58.82 | $51.67 | $52.97 |
| Total Return | 13.98% | 37.65% | 16.04% | -0.32% | 21.83% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $3,407 | $2,256 | $1,147 | $785 | $746 |
| Ratio of Total Expenses to Average Net Assets | 0.09% | 0.09% | 0.10% | 0.10% | 0.12% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 2.00% | 1.95% | 2.35% | 2.11% | 2.13% |
| Portfolio Turnover Rate1 | 14% | 46% | 33% | 41% | 37% |
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.
88
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 settlement values 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).
89
Mid-Cap Value Index Fund
During the year ended December 31, 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, 2011–2014), 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 December 31, 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.
90
Mid-Cap 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 invest up to 0.40% of its net assets in Vanguard. At December 31, 2014, the fund had contributed capital of $641,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.26% 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 December 31, 2014, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 6,923,931 | — | — |
| Temporary Cash Investments | 31,693 | 700 | — |
| Futures Contracts—Liabilities1 | (86) | — | — |
| Total | 6,955,538 | 700 | — |
| 1 Represents variation margin on the last day of the reporting period. |
91
Mid-Cap Value Index Fund
D. At December 31, 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 | March 2015 | 46 | 6,664 | 85 |
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 year ended December 31, 2014, the fund realized $280,526,000 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.
For tax purposes, at December 31, 2014, the fund had $2,126,000 of ordinary income available for distribution. The fund used capital loss carryforwards of $26,458,000 to offset taxable capital gains realized during the year ended December 31, 2014. At December 31, 2014, the fund had available capital losses totaling $32,459,000 to offset future net capital gains. Of this amount, $4,037,000 is subject to expiration on December 31, 2018. Capital losses of $28,422,000 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.
At December 31, 2014, the cost of investment securities for tax purposes was $5,617,433,000. Net unrealized appreciation of investment securities for tax purposes was $1,338,891,000, consisting of unrealized gains of $1,471,703,000 on securities that had risen in value since their purchase and $132,812,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended December 31, 2014, the fund purchased $3,261,788,000 of investment securities and sold $1,640,185,000 of investment securities, other than temporary cash investments. Purchases and sales include $1,659,354,000 and $825,340,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
92
Mid-Cap Value Index Fund
| G. Capital share transactions for each class of shares were: | ||||
| Year Ended December 31, | ||||
| 2014 | 2013 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| Investor Shares | ||||
| Issued | 242,958 | 7,334 | 270,155 | 9,766 |
| Issued in Lieu of Cash Distributions | 9,078 | 258 | 8,237 | 266 |
| Redeemed | (334,225) | (10,146) | (296,095) | (10,670) |
| Net Increase (Decrease)—Investor Shares | (82,189) | (2,554) | (17,703) | (638) |
| Admiral Shares | ||||
| Issued | 1,424,892 | 32,520 | 989,915 | 27,334 |
| Issued in Lieu of Cash Distributions | 41,864 | 905 | 23,713 | 583 |
| Redeemed | (585,375) | (13,334) | (341,546) | (9,240) |
| Net Increase (Decrease) —Admiral Shares | 881,381 | 20,091 | 672,082 | 18,677 |
| ETF Shares | ||||
| Issued | 1,679,901 | 19,912 | 1,012,726 | 14,405 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (857,851) | (10,100) | (410,076) | (5,600) |
| Net Increase (Decrease)—ETF Shares | 822,050 | 9,812 | 602,650 | 8,805 |
H. Management has determined that no material events or transactions occurred subsequent to December 31, 2014, that would require recognition or disclosure in these financial statements.
93
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Vanguard Index Funds and the Shareholders of Vanguard Extended Market Index Fund, Vanguard Mid-Cap Index Fund, Vanguard Mid-Cap Growth Index Fund and Vanguard Mid-Cap Value Index Fund:
In our opinion, the accompanying statement of net assets—investments summary and statements of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Extended Market Index Fund, Vanguard Mid-Cap Index Fund, Vanguard Mid-Cap Growth Index Fund and Vanguard Mid-Cap Value Index Fund (constituting separate portfolios of Vanguard Index Funds, hereafter referred to as the “Funds”) at December 31, 2014, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2014 by correspondence with the custodians and broker, by agreement to the underlying ownership records of the transfer agent and the application of alternative auditing procedures where securities purchased had not been received, provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 10, 2015
94
Special 2014 tax information (unaudited) for Vanguard U.S. Stock Index Funds (Mid-Capitalization Portfolios)
This information for the fiscal year ended December 31, 2014, is included pursuant to provisions of the Internal Revenue Code.
The funds distributed qualified dividend income to shareholders during the fiscal year as follows:
| Fund | ($000) |
| Extended Market Index Fund | 334,127 |
| Mid-Cap Index Fund | 666,906 |
| Mid-Cap Growth Index Fund | 36,571 |
| Mid-Cap Value Index Fund | 101,524 |
For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends-received deduction is as follows:
| Fund | Percentage |
| Extended Market Index Fund | 58.9% |
| Mid-Cap Index Fund | 82.4 |
| Mid-Cap Growth Index Fund | 79.3 |
| Mid-Cap Value Index Fund | 80.6 |
95
Your Fund’s After-Tax Returns
This table presents returns for your fund both before and after taxes. The after-tax returns are shown in two ways: (1) assuming that an investor owned the fund during the entire period and paid taxes on the fund’s distributions, and (2) assuming that an investor paid taxes on the fund’s distributions and sold all shares at the end of each period.
Calculations are based on the highest individual federal income tax and capital gains tax rates in effect at the times of the distributions and the hypothetical sales. State and local taxes were not considered. After-tax returns reflect any qualified dividend income. (In the example, returns after the sale of fund shares may be higher than those assuming no sale. This occurs when the sale would have produced a capital loss. The calculation assumes that the investor received a tax deduction for the loss.)
The table shows returns for Investor Shares only; returns for other share classes will differ. Please note that your actual after-tax returns will depend on your tax situation and may differ from those shown. Also note that if you own the fund in a tax-deferred account, such as an individual retirement account or a 401(k) plan, this information does not apply to you. Such accounts are not subject to current taxes.
Finally, keep in mind that a fund’s performance—whether before or after taxes—does not guarantee future results.
Average Annual Total Returns: U.S. Stock Index Funds Mid-Capitalization Portfolios
Periods Ended December 31, 2014
| One | Five | Ten | |
| Year | Years | Years | |
| Extended Market Index Fund Investor Shares | |||
| Returns Before Taxes | 7.42% | 16.58% | 9.08% |
| Returns After Taxes on Distributions | 7.03 | 16.28 | 8.81 |
| Returns After Taxes on Distributions and Sale of Fund Shares | 4.35 | 13.38 | 7.39 |
| One | Five | Ten | |
| Year | Years | Years | |
| Mid-Cap Index Fund Investor Shares | |||
| Returns Before Taxes | 13.60% | 16.88% | 9.34% |
| Returns After Taxes on Distributions | 13.27 | 16.61 | 9.08 |
| Returns After Taxes on Distributions and Sale of Fund Shares | 7.93 | 13.67 | 7.64 |
| Since | |||
| One | Five | Inception | |
| Year | Years | (8/24/2006) | |
| Mid-Cap Growth Index Fund Investor Shares | |||
| Returns Before Taxes | 13.35% | 16.53% | 9.15% |
| Returns After Taxes on Distributions | 13.16 | 16.41 | 9.06 |
| Returns After Taxes on Distributions and Sale of Fund Shares | 7.68 | 13.39 | 7.43 |
96
Average Annual Total Returns: U.S. Stock Index Funds Mid-Capitalization Portfolios
Periods Ended December 31, 2014
| Since | |||
| One | Five | Inception | |
| Year | Years | (8/24/2006) | |
| Mid-Cap Value Index Fund Investor Shares | |||
| Returns Before Taxes | 13.84% | 17.04% | 9.02% |
| Returns After Taxes on Distributions | 13.40 | 16.64 | 8.62 |
| Returns After Taxes on Distributions and Sale of Fund Shares | 8.13 | 13.78 | 7.24 |
97
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.
98
| Six Months Ended December 31, 2014 | |||
| Beginning | Ending | Expenses | |
| Account Value | Account Value | Paid During | |
| 6/30/2014 | 12/31/2014 | Period | |
| Based on Actual Fund Return | |||
| Extended Market Index Fund | |||
| Investor Shares | $1,000.00 | $1,012.66 | $1.17 |
| Admiral Shares | 1,000.00 | 1,013.35 | 0.51 |
| Institutional Shares | 1,000.00 | 1,013.38 | 0.41 |
| Institutional Plus Shares | 1,000.00 | 1,013.55 | 0.30 |
| ETF Shares | 1,000.00 | 1,013.24 | 0.51 |
| Mid-Cap Index Fund | |||
| Investor Shares | $1,000.00 | $1,053.40 | $1.19 |
| Admiral Shares | 1,000.00 | 1,054.06 | 0.47 |
| Institutional Shares | 1,000.00 | 1,054.23 | 0.41 |
| Institutional Plus Shares | 1,000.00 | 1,054.22 | 0.31 |
| ETF Shares | 1,000.00 | 1,053.95 | 0.47 |
| Mid-Cap Growth Index Fund | |||
| Investor Shares | $1,000.00 | $1,061.86 | $1.20 |
| Admiral Shares | 1,000.00 | 1,062.45 | 0.47 |
| ETF Shares | 1,000.00 | 1,062.58 | 0.47 |
| Mid-Cap Value Index Fund | |||
| Investor Shares | $1,000.00 | $1,045.03 | $1.19 |
| Admiral Shares | 1,000.00 | 1,045.64 | 0.46 |
| ETF Shares | 1,000.00 | 1,045.55 | 0.46 |
99
| Six Months Ended December 31, 2014 | |||
| Beginning | Ending | Expenses | |
| Account Value | Account Value | Paid During | |
| 6/30/2014 | 12/31/2014 | Period | |
| Based on Hypothetical 5% Yearly Return | |||
| Extended Market Index Fund | |||
| Investor Shares | $1,000.00 | $1,024.05 | $1.17 |
| Admiral Shares | 1,000.00 | 1,024.70 | 0.51 |
| Institutional Shares | 1,000.00 | 1,024.80 | 0.41 |
| Institutional Plus Shares | 1,000.00 | 1,024.90 | 0.31 |
| ETF Shares | 1,000.00 | 1,024.70 | 0.51 |
| Mid-Cap Index Fund | |||
| Investor Shares | $1,000.00 | $1,024.05 | $1.17 |
| Admiral Shares | 1,000.00 | 1,024.75 | 0.46 |
| Institutional Shares | 1,000.00 | 1,024.80 | 0.41 |
| Institutional Plus Shares | 1,000.00 | 1,024.90 | 0.31 |
| ETF Shares | 1,000.00 | 1,024.75 | 0.46 |
| Mid-Cap Growth Index Fund | |||
| Investor Shares | $1,000.00 | $1,024.05 | $1.17 |
| Admiral Shares | 1,000.00 | 1,024.75 | 0.46 |
| ETF Shares | 1,000.00 | 1,024.75 | 0.46 |
| Mid-Cap Value Index Fund | |||
| Investor Shares | $1,000.00 | $1,024.05 | $1.17 |
| Admiral Shares | 1,000.00 | 1,024.75 | 0.46 |
| ETF Shares | 1,000.00 | 1,024.75 | 0.46 |
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, 0.08% 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, 0.08% 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.
100
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.
101
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.
102
This page intentionally left blank.
This page intentionally left blank.
This page intentionally left blank.
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 | ||
| 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 |
| Who Are Deaf or Hard of Hearing> 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. | |
| © 2015 The Vanguard Group, Inc. | |
| All rights reserved. | |
| Vanguard Marketing Corporation, Distributor. | |
| Q980 022015 | |
Annual Report | December 31, 2014
Vanguard U.S. Stock Index Funds
Large-Capitalization Portfolios
Vanguard Growth Index Fund
Vanguard Value Index Fund
Vanguard Large-Cap Index Fund
The mission continues
On May 1, 1975, Vanguard began operations, a fledgling company based on the simple but revolutionary idea that a mutual fund company should be managed solely in the interest of its investors.
Four decades later, that revolutionary spirit continues to animate the enterprise. Vanguard remains on a mission to give investors the best chance of investment success.
As we mark our 40th anniversary, we thank you for entrusting your assets to Vanguard and giving us the opportunity to help you reach your financial goals in the decades to come.
| Contents | |
| Your Fund’s Total Returns. | 1 |
| Chairman’s Letter. | 4 |
| Growth Index Fund. | 11 |
| Value Index Fund. | 33 |
| Large-Cap Index Fund. | 54 |
| Your Fund’s After-Tax Returns. | 81 |
| About Your Fund’s Expenses. | 82 |
| Glossary. | 85 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: Since our founding, Vanguard has drawn inspiration from the enterprise and valor demonstrated by British naval hero Horatio Nelson and his command at the Battle of the Nile in 1798. The photograph displays a replica of a merchant ship from the same era as Nelson’s flagship, the HMS Vanguard.
| Your Fund’s Total Returns | |
| Fiscal Year Ended December 31, 2014 | |
| Total | |
| Returns | |
| Vanguard Growth Index Fund | |
| Investor Shares | 13.47% |
| Admiral™ Shares | 13.63 |
| Institutional Shares | 13.62 |
| ETF Shares | |
| Market Price | 13.64 |
| Net Asset Value | 13.62 |
| CRSP US Large Cap Growth Index | 13.69 |
| Large-Cap Growth Funds Average | 10.35 |
| Large-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
| Vanguard Value Index Fund | |
| Investor Shares | 13.05% |
| Admiral Shares | 13.18 |
| Institutional Shares | 13.19 |
| ETF Shares | |
| Market Price | 13.18 |
| Net Asset Value | 13.19 |
| CRSP US Large Cap Value Index | 13.29 |
| Large-Cap Value Funds Average | 10.74 |
| 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. 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.
1
| Your Fund’s Total Returns | |
| Fiscal Year Ended December 31, 2014 | |
| Total | |
| Returns | |
| Vanguard Large-Cap Index Fund | |
| Investor Shares | 13.24% |
| Admiral Shares | 13.38 |
| Institutional Shares | 13.41 |
| ETF Shares | |
| Market Price | 13.40 |
| Net Asset Value | 13.39 |
| CRSP US Large Cap Index | 13.47 |
| Large-Cap Core Funds Average | 11.32 |
| 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. 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 December 31, 2014 | ||||
| Distributions Per Share | ||||
| Starting | Ending | Income | Capital | |
| Share Price | Share Price | Dividends | Gains | |
| Vanguard Growth Index Fund | ||||
| Investor Shares | $47.87 | $53.71 | $0.576 | $0.000 |
| Admiral Shares | 47.87 | 53.71 | 0.649 | 0.000 |
| Institutional Shares | 47.87 | 53.70 | 0.653 | 0.000 |
| ETF Shares | 92.99 | 104.33 | 1.260 | 0.000 |
| Vanguard Value Index Fund | ||||
| Investor Shares | $29.78 | $32.95 | $0.685 | $0.000 |
| Admiral Shares | 29.78 | 32.94 | 0.731 | 0.000 |
| Institutional Shares | 29.78 | 32.94 | 0.733 | 0.000 |
| ETF Shares | 76.34 | 84.45 | 1.873 | 0.000 |
| Vanguard Large-Cap Index Fund | ||||
| Investor Shares | $34.24 | $38.12 | $0.623 | $0.000 |
| Admiral Shares | 42.81 | 47.65 | 0.845 | 0.000 |
| Institutional Shares | 176.18 | 196.14 | 3.489 | 0.000 |
| ETF Shares | 84.76 | 94.36 | 1.671 | 0.000 |
3
Chairman’s Letter
Dear Shareholder,
U.S. stocks trumped their international counterparts in 2014 thanks to better-than-expected domestic economic growth, low interest rates and inflation, and strong corporate profits. Large companies were among the biggest beneficiaries of the stock market’s advance.
For the 12 months ended December 31, 2014, Vanguard’s three large-capitalization U.S. index funds produced double-digit results for the third consecutive year. Vanguard Growth Index Fund returned 13.47% and Vanguard Value Index Fund returned 13.05%. Vanguard Large-Cap Index Fund, which holds both growth and value stocks, returned 13.24%. (All returns are for the funds’ Investor Shares.)
All three funds closely tracked their target indexes and surpassed the average return of their peers.
Please note that your fund’s Signal® Shares were converted to Admiral Shares in October 2014 as part of a year-long plan to phase out Signal Shares and streamline Vanguard’s offerings.
If you hold any of these funds in a taxable account, you may wish to review the table of after-tax returns that appears later in this report.
4
U.S. stocks finished strongly for the sixth straight year
U.S. stocks returned nearly 13% for the 12 months, posting gains for the sixth consecutive calendar year.
Although the Federal Reserve ended its bond-buying program in October, its stance that it would be “patient” in deciding when to increase short-term interest rates seemed to reassure investors. Other central banks—including the Bank of Japan, the European Central Bank, and the People’s Bank of China—announced significant stimulus measures.
International stocks didn’t fare as well as those in the United States, returning about –3% in dollar terms. Their performance suffered as many foreign currencies weakened against the U.S. dollar. Emerging-market stocks rose slightly, and stocks from the developed markets of Europe and the Pacific region retreated.
Defying analysts’ expectations, bond prices rose during the period
Bond prices received a boost from moves by many of the world’s central banks, along with global economic, market, and geopolitical challenges that drew
| Market Barometer | |||
| Average Annual Total Returns | |||
| Periods Ended December 31, 2014 | |||
| One | Three | Five | |
| Year | Years | Years | |
| Stocks | |||
| Russell 1000 Index (Large-caps) | 13.24% | 20.62% | 15.64% |
| Russell 2000 Index (Small-caps) | 4.89 | 19.21 | 15.55 |
| Russell 3000 Index (Broad U.S. market) | 12.56 | 20.51 | 15.63 |
| FTSE All-World ex US Index (International) | -3.31 | 9.41 | 4.75 |
| Bonds | |||
| Barclays U.S. Aggregate Bond Index (Broad taxable market) | 5.97% | 2.66% | 4.45% |
| Barclays Municipal Bond Index (Broad tax-exempt market) | 9.05 | 4.30 | 5.16 |
| Citigroup Three-Month U.S. Treasury Bill Index | 0.03 | 0.04 | 0.06 |
| CPI | |||
| Consumer Price Index | 0.76% | 1.33% | 1.69% |
5
investors to perceived safe havens. In an unexpected rebound from last year, the broad U.S. bond market returned 5.97%.
Even though the Fed pared back its bond purchases, prices climbed and yields fell. (Bond prices and yields move in opposite directions.) The yield of the 10-year Treasury note ended December at 2.19%, down from 2.97% at the close of December 2013.
Municipal bonds returned 9.05%, benefiting from increased demand and generally limited supply.
International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned –3.08%.
Investors in 2014 favored large-caps over small-caps
In contrast to a year ago, large-cap stocks handsomely outpaced their small-cap brethren during the 12 months. Many investors were concerned about the “frothy” valuations of some small-cap stocks. They were less willing to invest in small companies, which have the potential for faster growth and higher returns than larger firms but also tend to be riskier and more volatile.
In this environment, Vanguard’s three large-cap index funds posted strong returns in most market segments. As was the case six months ago, growth
| Expense Ratios | |||||
| Your Fund Compared With Its Peer Group | |||||
| Investor | Admiral | Institutional | ETF | Peer Group | |
| Shares | Shares | Shares | Shares | Average | |
| Growth Index Fund | 0.24% | 0.09% | 0.08% | 0.09% | 1.22% |
| Value Index Fund | 0.24 | 0.09 | 0.08 | 0.09 | 1.14 |
| Large-Cap Index Fund | 0.24 | 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 fiscal year ended December 31, 2014, the funds’ expense ratios were: for the Growth Index Fund, 0.23% for Investor Shares, 0.09% for Admiral 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, 0.08% 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, 0.08% 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
stocks performed slightly better than value, but the gap was much narrower than it was among smaller-caps.
Each of the large-cap funds delivered positive returns for nine of the ten industry sectors. Stocks of technology, health care, and financial companies contributed most to their overall performance. Energy-related holdings detracted.
Hurt by tumbling oil prices, the oil and gas sector recorded a negative result for all three funds. Still, the strong showings of the other sectors outweighed the weakness among oil and gas producers, service providers, and distributors.
The Growth Index Fund’s performance was buoyed by its outsized technology holdings. It benefited from increased corporate spending on technology and a surge in mobile device sales. Health care turned in impressive returns as well, as new product development, mergers and acquisitions, and strategic alliances boosted pharmaceutical and biotechnology companies.
| Total Returns | |
| Ten Years Ended December 31, 2014 | |
| Average | |
| Annual Return | |
| Growth Index Fund Investor Shares | 8.50% |
| Spliced Growth Index | 8.71 |
| Large-Cap Growth Funds Average | 7.08 |
| For a benchmark description, see the Glossary. | |
| Large-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
| Value Index Fund Investor Shares | 7.17% |
| Spliced Value Index | 7.33 |
| Large-Cap Value Funds Average | 6.28 |
| For a benchmark description, see the Glossary. | |
| Large-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
| Large-Cap Index Fund Investor Shares | 7.87% |
| Spliced Large Cap Index | 8.05 |
| Large-Cap Core Funds Average | 6.46 |
| For a benchmark description, see the Glossary. | |
| Large-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
The figures shown represent past performance, which is not a guarantee of future results. (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.
7
The financial sector also helped drive the fund’s success. Real estate investment trusts (REITs) thrived amid low interest rates and the expanding economy, as did banks, insurers, and other financial services firms.
The Large-Cap Index Fund’s performance mirrored that of the Growth Index Fund. Stocks in technology, health care, and financials added most to returns. Increased consumer spending gave a lift to the economy, and in particular to the consumer services and consumer goods sectors. Utilities, a small component of both the index and the fund, was a stalwart as severe winter weather boosted earnings and as low interest rates sent investors searching for higher yields.
The Value Index Fund’s heavy allocation to financial stocks was a bright spot. Health care and technology also helped significantly.
The funds all notched solid gains and met their ten-year objectives
For the decade ended December 31, 2014, the three large-cap index funds recorded average annual returns ranging from 8.50%
Vanguard’s outlook for investors: Expect less and stay balanced
In Vanguard’s recently published market outlook, global chief economist Joe Davis and his team discuss expected returns for various asset classes over the coming years. Although not bearish, our outlook on global stocks and bonds is the most guarded since 2006. The report cautions that, over the next decade, returns for a balanced portfolio are likely to be moderately below long-run historical averages.
Our simulations indicate that the average annualized returns of a 60% equity/40% bond portfolio for the decade ending 2024 are most likely to be centered in the 3%–5% range after inflation, below the actual average after-inflation return of 5.6% for the same portfolio since 1926.
Even so, Vanguard firmly believes that the principles for investing success—focusing on clear goals, a suitable asset allocation, low costs, and long-term discipline—remain unchanged.
For more information about our expectations and the probability of various outcomes, see Vanguard’s Economic and Investment Outlook, available at vanguard.com/research.
IMPORTANT: The projections and other information generated by the Vanguard Capital Markets Model (VCMM) regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results, and are not guarantees of future results. Distribution of return outcomes from VCMM, derived from 10,000 simulations for U.S. equity returns and fixed income returns. Simulations as of September 30, 2014. Results from the model may vary with each use and over time. For more information, please see page 9.
8
for the Growth Index Fund to 7.17% for the Value Index Fund. The Large-Cap Index Fund, which completed its first full decade of performance last year, posted an average annual return of 7.87%.
Over the past ten years, the funds have met their primary objective of closely tracking their target indexes. In addition, each fund’s average annual return has exceeded that of its peer group.
The funds’ success in staying close to their target indexes reflects the skill of the advisor, the Vanguard Equity Investment Group. The group relies on its proven portfolio management strategies to produce benchmark-tracking returns regardless of external market conditions. At the same time, the funds’ low costs help you keep more of the market’s returns.
To build for the long term, start with a solid foundation
As the leader of a major investment firm, I get asked a lot of questions on all kinds of topics, from the outlook for global markets to the best fund choices for an IRA. But a topic that almost never comes up—and one that I consider perhaps the most important—is setting investment goals.
IMPORTANT: The projections and other information generated by the Vanguard Capital Markets Model regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results, and are not guarantees of future results. VCMM results will vary with each use and over time.
The VCMM projections are based on a statistical analysis of historical data. Future returns may behave differently from the historical patterns captured in the VCMM. More important, the VCMM may be underestimating extreme negative scenarios unobserved in the historical period on which the model estimation is based.
The Vanguard Capital Markets Model® is a proprietary financial simulation tool developed and maintained by Vanguard’s primary investment research and advice teams. The model forecasts distributions of future returns for a wide array of broad asset classes. Those asset classes include U.S. and international equity markets, several maturities of the U.S. Treasury and corporate fixed income markets, international fixed income markets, U.S. money markets, commodities, and certain alternative investment strategies. The theoretical and empirical foundation for the Vanguard Capital Markets Model is that the returns of various asset classes reflect the compensation investors require for bearing different types of systematic risk (beta). At the core of the model are estimates of the dynamic statistical relationship between risk factors and asset returns, obtained from statistical analysis based on available monthly financial and economic data from as early as 1960. Using a system of estimated equations, the model then applies a Monte Carlo simulation method to project the estimated interrelationships among risk factors and asset classes as well as uncertainty and randomness over time. The model generates a large set of simulated outcomes for each asset class over several time horizons. Forecasts are obtained by computing measures of central tendency in these simulations. Results produced by the tool will vary with each use and over time.
9
At Vanguard, we believe that following four timeless, straightforward principles can help put you on the right track toward investment success:
• 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.
All four principles are essential, and the order in which they’re listed is intentional. Every good investment plan begins with a clearly defined goal, which sets the foundation for building your portfolio. (You can read more about our principles in Vanguard’s Principles for Investing Success, available at vanguard.com/research.)
Setting an investment goal doesn’t have to be complicated. It can be as simple as saving for retirement or for a child’s college education. Being realistic about your goals—and how to meet them—can help you stick with your investment plan even when times get tough.
We’ve recently welcomed a new year, which for many means a new beginning. Now is a perfect time to revisit your investment plan and make any necessary adjustments to help you reach your long-term financial goals.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
January 13, 2015
10
| Growth Index Fund | ||||
| Fund Profile | ||||
| As of December 31, 2014 | ||||
| Share-Class Characteristics | ||||
| Investor | Admiral | Institutional | ||
| Shares | Shares | Shares | ETF Shares | |
| Ticker Symbol | VIGRX | VIGAX | VIGIX | VUG |
| Expense Ratio1 | 0.24% | 0.09% | 0.08% | 0.09% |
| 30-Day SEC Yield | 1.10% | 1.24% | 1.26% | 1.24% |
| Portfolio Characteristics | |||
| DJ | |||
| U.S. | |||
| CRSP US | Total | ||
| Large Cap | Market | ||
| Growth | FA | ||
| Fund | Index | Index | |
| Number of Stocks | 369 | 369 | 3,776 |
| Median Market Cap | $59.1B | $59.1B | $48.1B |
| Price/Earnings Ratio | 25.2x | 25.2x | 20.6x |
| Price/Book Ratio | 4.7x | 4.7x | 2.7x |
| Return on Equity | 22.6% | 22.2% | 17.8% |
| Earnings Growth | |||
| Rate | 20.1% | 20.1% | 15.4% |
| Dividend Yield | 1.3% | 1.3% | 1.9% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | 9% | — | — |
| Short-Term Reserves | 0.2% | — | — |
| Sector Diversification (% of equity exposure) | |||
| CRSP US | DJ | ||
| Large Cap U.S. Total | |||
| Growth Market | |||
| Fund | Index FA Index | ||
| Basic Materials | 1.5% | 1.5% | 2.8% |
| Consumer Goods | 9.7 | 9.7 | 9.9 |
| Consumer Services | 20.6 | 20.6 | 13.6 |
| Financials | 13.0 | 13.0 | 19.0 |
| Health Care | 13.1 | 13.1 | 13.5 |
| Industrials | 12.1 | 12.1 | 12.6 |
| Oil & Gas | 6.0 | 6.0 | 7.5 |
| Technology | 23.6 | 23.6 | 15.8 |
| Telecommunications | 0.3 | 0.3 | 2.0 |
| Utilities | 0.1 | 0.1 | 3.3 |
| Volatility Measures | ||
| DJ | ||
| U.S. Total | ||
| Spliced | Market | |
| Growth Index | FA Index | |
| R-Squared | 1.00 | 0.92 |
| Beta | 1.00 | 1.03 |
| 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 | 7.2% |
| Google Inc. | Internet | 3.4 |
| Coca-Cola Co. | Soft Drinks | 1.9 |
| Facebook Inc. | Internet | 1.8 |
| Oracle Corp. | Software | 1.7 |
| Comcast Corp. | Broadcasting & | |
| Entertainment | 1.7 | |
| Walt Disney Co. | Broadcasting & | |
| Entertainment | 1.6 | |
| Gilead Sciences Inc. | Biotechnology | 1.6 |
| Home Depot Inc. | Home Improvement | |
| Retailers | 1.5 | |
| Visa Inc. | Consumer Finance | 1.4 |
| Top Ten | 23.8% | |
| 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 fiscal year ended December 31, 2014, the expense ratios were 0.23% for Investor Shares, 0.09% for Admiral Shares, 0.08% for Institutional Shares, and 0.09% for ETF Shares.
11
Growth Index Fund
Investment Focus
12
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.
Cumulative Performance: December 31, 2004, Through December 31, 2014
Initial Investment of $10,000
| Average Annual Total Returns | |||||
| Periods Ended December 31, 2014 | |||||
| Final Value | |||||
| One | Five | Ten | of a $10,000 | ||
| Year | Years | Years | Investment | ||
| Growth Index Fund*Investor Shares | 13.47% | 15.83% | 8.50% | $22,603 | |
| •••••••• | Spliced Growth Index | 13.69 | 16.09 | 8.71 | 23,041 |
| – – – – | Large-Cap Growth Funds Average | 10.35 | 13.83 | 7.08 | 19,816 |
| Dow Jones U.S. Total Stock Market | |||||
| Float Adjusted Index | 12.47 | 15.72 | 8.09 | 21,779 | |
| For a benchmark description, see the Glossary. | |||||
| Large-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |||||
| Final Value | |||||
| One | Five | Ten | of a $10,000 | ||
| Year | Years | Years | Investment | ||
| Growth Index Fund Admiral Shares | 13.63% | 16.00% | 8.64% | $22,906 | |
| Spliced Growth Index | 13.69 | 16.09 | 8.71 | 23,041 | |
| Dow Jones U.S. Total Stock Market Float | |||||
| Adjusted Index | 12.47 | 15.72 | 8.09 | 21,779 | |
See Financial Highlights for dividend and capital gains information.
13
| Growth Index Fund | ||||
| Average Annual Total Returns | ||||
| Periods Ended December 31, 2014 | ||||
| Final Value | ||||
| One | Five | Ten | of a $5,000,000 | |
| Year | Years | Years | Investment | |
| Growth Index Fund Institutional Shares | 13.62% | 16.02% | 8.67% | $11,484,485 |
| Spliced Growth Index | 13.69 | 16.09 | 8.71 | 11,520,724 |
| Dow Jones U.S. Total Stock Market Float | ||||
| Adjusted Index | 12.47 | 15.72 | 8.09 | 10,889,319 |
| Final Value | ||||
| One | Five | Ten | of a $10,000 | |
| Year | Years | Years | Investment | |
| Growth Index Fund | ||||
| ETF Shares Net Asset Value | 13.62% | 16.00% | 8.64% | $22,901 |
| Spliced Growth Index | 13.69 | 16.09 | 8.71 | 23,041 |
| Dow Jones U.S. Total Stock Market Float | ||||
| Adjusted Index | 12.47 | 15.72 | 8.09 | 21,779 |
| Cumulative Returns of ETF Shares: December 31, 2004, Through December 31, 2014 | ||||
| One | Five | Ten | ||
| Year | Years | Years | ||
| Growth Index Fund ETF Shares Market Price | 13.64% | 110.04% | 129.06% | |
| Growth Index Fund ETF Shares Net Asset Value | 13.62 | 109.99 | 129.01 | |
| Spliced Growth Index | 13.69 | 110.88 | 130.41 | |
Fiscal-Year Total Returns (%): December 31, 2004, Through December 31, 2014
14
Growth Index Fund
Financial Statements
Statement of Net Assets
As of December 31, 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 (1.5%) | |||
| Praxair Inc. | 1,465,157 | 189,826 | |
| Ecolab Inc. | 1,358,223 | 141,961 | |
| Sigma-Aldrich Corp. | 599,197 | 82,252 | |
| Eastman Chemical Co. | 671,903 | 50,971 | |
| Alcoa Inc. | 2,963,951 | 46,801 | |
| International Flavors & | |||
| Fragrances Inc. | 407,114 | 41,265 | |
| Airgas Inc. | 338,063 | 38,938 | |
| FMC Corp. | 670,093 | 38,215 | |
| * | WR Grace & Co. | 351,700 | 33,549 |
| CONSOL Energy Inc. | 578,218 | 19,549 | |
| Westlake Chemical Corp. | 200,693 | 12,260 | |
| 695,587 | |||
| Consumer Goods (9.7%) | |||
| Coca-Cola Co. | 19,823,678 | 836,956 | |
| Philip Morris | |||
| International Inc. | 7,813,164 | 636,382 | |
| NIKE Inc. Class B | 3,439,346 | 330,693 | |
| Colgate-Palmolive Co. | 4,583,133 | 317,107 | |
| Monsanto Co. | 2,434,182 | 290,812 | |
| VF Corp. | 1,737,391 | 130,131 | |
| Lorillard Inc. | 1,810,420 | 113,948 | |
| Mead Johnson | |||
| Nutrition Co. | 1,016,018 | 102,150 | |
| * | Tesla Motors Inc. | 441,347 | 98,160 |
| Estee Lauder Cos. Inc. | |||
| Class A | 1,163,765 | 88,679 | |
| * | Monster Beverage Corp. | 758,802 | 82,216 |
| Keurig Green | |||
| Mountain Inc. | 611,342 | 80,939 | |
| * | Constellation Brands Inc. | ||
| Class A | 810,069 | 79,524 | |
| Hershey Co. | 725,570 | 75,408 | |
| * | Michael Kors | ||
| Holdings Ltd. | 983,622 | 73,870 | |
| Harley-Davidson Inc. | 1,077,967 | 71,049 | |
| * | Electronic Arts Inc. | 1,486,056 | 69,867 |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| BorgWarner Inc. | 1,143,907 | 62,858 | |
| * | Under Armour Inc. Class A | 885,487 | 60,125 |
| Ralph Lauren Corp. Class A | 308,712 | 57,161 | |
| Hanesbrands Inc. | 502,242 | 56,060 | |
| PVH Corp. | 414,237 | 53,093 | |
| Church & Dwight Co. Inc. | 672,665 | 53,013 | |
| * | Mohawk Industries Inc. | 311,517 | 48,397 |
| Brown-Forman Corp. | |||
| Class B | 518,748 | 45,567 | |
| Polaris Industries Inc. | 300,156 | 45,396 | |
| * | Jarden Corp. | 918,995 | 44,001 |
| McCormick & Co. Inc. | 559,457 | 41,568 | |
| * | LKQ Corp. | 1,371,444 | 38,565 |
| Stanley Black & | |||
| Decker Inc. | 393,876 | 37,844 | |
| Leucadia National Corp. | 1,574,731 | 35,305 | |
| Hormel Foods Corp. | 662,392 | 34,511 | |
| * | WABCO Holdings Inc. | 295,332 | 30,945 |
| * | NVR Inc. | 19,519 | 24,893 |
| * | lululemon athletica Inc. | 426,737 | 23,808 |
| * | Fossil Group Inc. | 204,931 | 22,694 |
| DR Horton Inc. | 825,005 | 20,864 | |
| Lennar Corp. Class A | 439,308 | 19,685 | |
| Coty Inc. Class A | 392,691 | 8,113 | |
| ^ | Herbalife Ltd. | 161,334 | 6,082 |
| * | GoPro Inc. Class A | 78,008 | 4,932 |
| Lennar Corp. Class B | 180 | 6 | |
| 4,353,377 | |||
| Consumer Services (20.6%) | |||
| Walt Disney Co. | 7,674,456 | 722,857 | |
| Home Depot Inc. | 6,626,914 | 695,627 | |
| Comcast Corp. Class A 11,177,713 | 648,419 | ||
| * | Amazon.com Inc. | 1,862,663 | 578,077 |
| McDonald’s Corp. | 4,893,956 | 458,564 | |
| * | eBay Inc. | 5,622,677 | 315,545 |
| Costco Wholesale Corp. | 2,201,345 | 312,041 | |
| * | Priceline Group Inc. | 263,274 | 300,188 |
| Starbucks Corp. | 3,574,812 | 293,313 | |
| Twenty-First Century | |||
| Fox Inc. Class A | 7,081,020 | 271,947 | |
15
| Growth Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| TJX Cos. Inc. | 3,310,318 | 227,022 | |
| * | DIRECTV | 2,525,556 | 218,966 |
| Time Warner Cable Inc. | 1,410,505 | 214,481 | |
| American Airlines | |||
| Group Inc. | 3,606,912 | 193,439 | |
| Time Warner Inc. | 2,002,773 | 171,077 | |
| Lowe’s Cos. Inc. | 2,481,897 | 170,754 | |
| Yum! Brands Inc. | 2,199,929 | 160,265 | |
| Southwest Airlines Co. | 3,413,202 | 144,447 | |
| Viacom Inc. Class B | 1,855,485 | 139,625 | |
| CBS Corp. Class B | 2,330,365 | 128,962 | |
| Las Vegas Sands Corp. | 2,016,501 | 117,280 | |
| L Brands Inc. | 1,249,624 | 108,155 | |
| * | Dollar General Corp. | 1,525,631 | 107,862 |
| * | Chipotle Mexican Grill Inc. | ||
| Class A | 155,949 | 106,749 | |
| * | AutoZone Inc. | 161,121 | 99,752 |
| Comcast Corp. | 1,730,206 | 99,599 | |
| * | Netflix Inc. | 287,810 | 98,319 |
| Ross Stores Inc. | 1,002,462 | 94,492 | |
| * | O’Reilly Automotive Inc. | 484,661 | 93,355 |
| Whole Foods Market Inc. | 1,809,355 | 91,228 | |
| Marriott International Inc. | |||
| Class A | 997,795 | 77,858 | |
| * | DISH Network Corp. | ||
| Class A | 1,063,229 | 77,499 | |
| Starwood Hotels & | |||
| Resorts Worldwide Inc. | 898,463 | 72,838 | |
| * | CarMax Inc. | 1,083,533 | 72,142 |
| Twenty-First Century | |||
| Fox Inc. | 1,954,482 | 72,101 | |
| * | Dollar Tree Inc. | 982,921 | 69,178 |
| * | Charter Communications | ||
| Inc. Class A | 412,280 | 68,694 | |
| Nielsen NV | 1,533,046 | 68,573 | |
| * | Bed Bath & Beyond Inc. | 885,326 | 67,435 |
| * | Liberty Interactive Corp. | ||
| Class A | 2,136,840 | 62,866 | |
| Wynn Resorts Ltd. | 407,646 | 60,641 | |
| Tiffany & Co. | 552,888 | 59,082 | |
| Advance Auto Parts Inc. | 367,006 | 58,457 | |
| Nordstrom Inc. | 727,190 | 57,732 | |
| Tractor Supply Co. | 684,359 | 53,941 | |
| Wyndham Worldwide Corp. 620,481 | 53,212 | ||
| Signet Jewelers Ltd. | 403,366 | 53,071 | |
| * | Hilton Worldwide | ||
| Holdings Inc. | 1,982,582 | 51,726 | |
| Gap Inc. | 1,202,241 | 50,626 | |
| H&R Block Inc. | 1,383,266 | 46,588 | |
| * | Discovery | ||
| Communications Inc. | 1,374,692 | 46,355 | |
| Expedia Inc. | 487,014 | 41,571 | |
| * | TripAdvisor Inc. | 556,192 | 41,525 |
| PetSmart Inc. | 499,910 | 40,640 | |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | MGM Resorts | ||
| International | 1,852,237 | 39,601 | |
| * | Ulta Salon Cosmetics & | ||
| Fragrance Inc. | 307,533 | 39,315 | |
| Family Dollar Stores Inc. | 489,721 | 38,791 | |
| * | Sirius XM Holdings Inc. 11,051,998 | 38,682 | |
| * | IHS Inc. Class A | 325,640 | 37,084 |
| Williams-Sonoma Inc. | 421,197 | 31,876 | |
| Royal Caribbean | |||
| Cruises Ltd. | 364,513 | 30,047 | |
| Scripps Networks | |||
| Interactive Inc. Class A | 386,714 | 29,108 | |
| FactSet Research | |||
| Systems Inc. | 199,431 | 28,070 | |
| * | Discovery Communications | ||
| Inc. Class A | 748,324 | 25,780 | |
| * | Hertz Global Holdings Inc. | 1,010,687 | 25,206 |
| * | AutoNation Inc. | 368,921 | 22,286 |
| Foot Locker Inc. | 361,273 | 20,296 | |
| * | Sprouts Farmers | ||
| Market Inc. | 532,006 | 18,078 | |
| * | Urban Outfitters Inc. | 505,348 | 17,753 |
| * | Norwegian Cruise Line | ||
| Holdings Ltd. | 357,013 | 16,694 | |
| * | Hyatt Hotels Corp. Class A | 187,141 | 11,268 |
| Extended Stay America Inc. 257,105 | 4,965 | ||
| * | zulily Inc. Class A | 117,411 | 2,747 |
| Viacom Inc. Class A | 3,936 | 297 | |
| CBS Corp. Class A | 2,760 | 155 | |
| 9,284,857 | |||
| Financials (13.0%) | |||
| Visa Inc. Class A | 2,480,167 | 650,300 | |
| American Express Co. | 5,203,071 | 484,094 | |
| MasterCard Inc. Class A | 5,036,859 | 433,976 | |
| Simon Property Group Inc. 1,580,536 | 287,831 | ||
| American Tower | |||
| Corporation | 1,993,620 | 197,069 | |
| BlackRock Inc. | 540,024 | 193,091 | |
| Charles Schwab Corp. | 5,909,667 | 178,413 | |
| Marsh & McLennan | |||
| Cos. Inc. | 2,719,936 | 155,689 | |
| Public Storage | 738,287 | 136,472 | |
| Aon plc | 1,433,802 | 135,967 | |
| Crown Castle | |||
| International Corp. | 1,678,776 | 132,120 | |
| Equity Residential | 1,822,182 | 130,906 | |
| Health Care REIT Inc. | 1,648,506 | 124,742 | |
| Intercontinental | |||
| Exchange Inc. | 566,764 | 124,286 | |
| McGraw Hill Financial Inc. | 1,365,194 | 121,475 | |
| Franklin Resources Inc. | 2,034,260 | 112,637 | |
| AvalonBay | |||
| Communities Inc. | 663,809 | 108,460 | |
| Prologis Inc. | 2,514,260 | 108,189 | |
| T. Rowe Price Group Inc. | 1,239,153 | 106,394 | |
16
| Growth Index Fund | ||||
| Market | ||||
| Value | ||||
| Shares | ($000) | |||
| Ventas Inc. | 1,479,965 | 106,113 | ||
| HCP Inc. | 2,309,502 | 101,687 | ||
| Moody’s Corp. | 1,048,972 | 100,502 | ||
| Vornado Realty Trust | 849,658 | 100,013 | ||
| Boston Properties Inc. | 769,888 | 99,077 | ||
| Weyerhaeuser Co. | 2,636,798 | 94,635 | ||
| Host Hotels & | ||||
| Resorts Inc. | 3,808,279 | 90,523 | ||
| Invesco Ltd. | 2,166,782 | 85,631 | ||
| General Growth | ||||
| Properties Inc. | 2,890,268 | 81,303 | ||
| Essex Property Trust Inc. | 321,545 | 66,431 | ||
| * | Affiliated Managers | |||
| Group Inc. | 279,452 | 59,311 | ||
| Macerich Co. | 707,525 | 59,015 | ||
| SL Green Realty Corp. | 485,357 | 57,767 | ||
| Realty Income Corp. | 1,119,785 | 53,425 | ||
| Kimco Realty Corp. | 1,965,415 | 49,410 | ||
| Equifax Inc. | 606,043 | 49,011 | ||
| * | CBRE Group Inc. Class A | 1,422,713 | 48,728 | |
| Federal Realty | ||||
| Investment Trust | 342,395 | 45,696 | ||
| * | Markel Corp. | 66,679 | 45,531 | |
| Digital Realty Trust Inc. | 681,387 | 45,176 | ||
| TD Ameritrade | ||||
| Holding Corp. | 1,232,625 | 44,103 | ||
| American Realty Capital | ||||
| Properties Inc. | 4,645,921 | 42,046 | ||
| UDR Inc. | 1,282,373 | 39,523 | ||
| Plum Creek Timber Co. Inc. | 882,284 | 37,753 | ||
| Raymond James | ||||
| Financial Inc. | 640,589 | 36,699 | ||
| Iron Mountain Inc. | 876,056 | 33,868 | ||
| Jones Lang LaSalle Inc. | 225,337 | 33,785 | ||
| * | Realogy Holdings Corp. | 735,332 | 32,715 | |
| Lazard Ltd. Class A | 647,523 | 32,396 | ||
| Alexandria Real Estate | ||||
| Equities Inc. | 362,098 | 32,133 | ||
| Camden Property Trust | 433,421 | 32,004 | ||
| SEI Investments Co. | 756,855 | 30,304 | ||
| MSCI Inc. Class A | 533,879 | 25,327 | ||
| LPL Financial Holdings Inc. | 422,344 | 18,815 | ||
| Brixmor Property Group Inc. | 595,053 | 14,781 | ||
| * | LendingClub Corp. | 273,902 | 6,930 | |
| Rayonier Inc. | 159,637 | 4,460 | ||
| 5,858,738 | ||||
| Health Care (13.1%) | ||||
| * | Gilead Sciences Inc. | 7,586,583 | 715,111 | |
| Amgen Inc. | 3,825,162 | 609,310 | ||
| AbbVie Inc. | 7,612,321 | 498,150 | ||
| * | Celgene Corp. | 4,016,379 | 449,272 | |
| * | Biogen Idec Inc. | 1,187,549 | 403,113 | |
| * | Actavis plc | 1,332,909 | 343,104 | |
| Allergan Inc. | 1,498,038 | 318,468 | ||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Express Scripts | ||
| Holding Co. | 3,690,606 | 312,484 | |
| Thermo Fisher | |||
| Scientific Inc. | 2,011,564 | 252,029 | |
| * | Alexion | ||
| Pharmaceuticals Inc. | 997,071 | 184,488 | |
| * | Regeneron | ||
| Pharmaceuticals Inc. | 375,982 | 154,247 | |
| Stryker Corp. | 1,617,049 | 152,536 | |
| * | Vertex | ||
| Pharmaceuticals Inc. | 1,210,040 | 143,753 | |
| * | Illumina Inc. | 714,068 | 131,803 |
| Perrigo Co. plc | 703,338 | 117,570 | |
| Zoetis Inc. | 2,521,003 | 108,479 | |
| * | Intuitive Surgical Inc. | 182,353 | 96,454 |
| * | DaVita HealthCare | ||
| Partners Inc. | 1,026,980 | 77,783 | |
| * | Edwards | ||
| Lifesciences Corp. | 538,160 | 68,551 | |
| * | BioMarin | ||
| Pharmaceutical Inc. | 741,477 | 67,030 | |
| CR Bard Inc. | 376,607 | 62,750 | |
| * | CareFusion Corp. | 1,025,809 | 60,871 |
| * | Henry Schein Inc. | 423,743 | 57,693 |
| * | Incyte Corp. | 764,510 | 55,893 |
| * | Mylan Inc. | 941,472 | 53,071 |
| * | Jazz Pharmaceuticals plc | 289,215 | 47,353 |
| * | Laboratory Corp. of | ||
| America Holdings | 424,677 | 45,823 | |
| * | Waters Corp. | 397,619 | 44,820 |
| * | Varian Medical | ||
| Systems Inc. | 503,564 | 43,563 | |
| ResMed Inc. | 701,144 | 39,306 | |
| DENTSPLY | |||
| International Inc. | 711,703 | 37,912 | |
| * | Pharmacyclics Inc. | 304,493 | 37,227 |
| * | IDEXX Laboratories Inc. | 239,173 | 35,462 |
| * | Envision Healthcare | ||
| Holdings Inc. | 645,953 | 22,408 | |
| * | Quintiles Transnational | ||
| Holdings Inc. | 352,757 | 20,767 | |
| * | Medivation Inc. | 184,650 | 18,393 |
| * | Salix Pharmaceuticals Ltd. | 152,181 | 17,492 |
| * | Intercept | ||
| Pharmaceuticals Inc. | 32,100 | 5,008 | |
| 5,909,547 | |||
| Industrials (12.1%) | |||
| Union Pacific Corp. | 4,471,018 | 532,632 | |
| 3M Co. | 3,222,438 | 529,511 | |
| United Parcel Service | |||
| Inc. Class B | 3,531,797 | 392,630 | |
| Accenture plc Class A | 3,155,501 | 281,818 | |
| Danaher Corp. | 3,003,550 | 257,434 | |
| Boeing Co. | 1,613,278 | 209,694 | |
17
| Growth Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Automatic Data | |||
| Processing Inc. | 2,424,118 | 202,099 | |
| Precision Castparts Corp. | 716,751 | 172,651 | |
| Cummins Inc. | 872,703 | 125,818 | |
| * | LinkedIn Corp. Class A | 544,725 | 125,129 |
| PACCAR Inc. | 1,780,688 | 121,105 | |
| FedEx Corp. | 676,886 | 117,548 | |
| Sherwin-Williams Co. | 410,328 | 107,933 | |
| Fidelity National | |||
| Information Services Inc. 1,426,725 | 88,742 | ||
| * | Alliance Data | ||
| Systems Corp. | 305,529 | 87,397 | |
| * | Fiserv Inc. | 1,226,545 | 87,048 |
| Amphenol Corp. Class A | 1,556,412 | 83,750 | |
| Roper Industries Inc. | 503,894 | 78,784 | |
| WW Grainger Inc. | 308,676 | 78,678 | |
| Rockwell Automation Inc. | 683,059 | 75,956 | |
| Paychex Inc. | 1,642,661 | 75,842 | |
| Agilent Technologies Inc. | 1,677,872 | 68,692 | |
| Kansas City Southern | 554,935 | 67,719 | |
| AMETEK Inc. | 1,236,692 | 65,087 | |
| Fastenal Co. | 1,342,213 | 63,836 | |
| Pentair plc | 939,735 | 62,417 | |
| * | Stericycle Inc. | 427,000 | 55,971 |
| CH Robinson | |||
| Worldwide Inc. | 736,362 | 55,146 | |
| Pall Corp. | 537,867 | 54,437 | |
| * | FleetCor Technologies Inc. | 358,699 | 53,342 |
| Textron Inc. | 1,250,608 | 52,663 | |
| * | United Rentals Inc. | 502,464 | 51,256 |
| TransDigm Group Inc. | 250,861 | 49,257 | |
| * | Verisk Analytics Inc. | ||
| Class A | 747,585 | 47,883 | |
| Masco Corp. | 1,791,453 | 45,145 | |
| * | Sensata Technologies | ||
| Holding NV | 848,536 | 44,472 | |
| Vulcan Materials Co. | 661,778 | 43,499 | |
| * | Mettler-Toledo | ||
| International Inc. | 143,778 | 43,487 | |
| Rock-Tenn Co. Class A | 705,413 | 43,016 | |
| Sealed Air Corp. | 1,008,747 | 42,801 | |
| Expeditors International | |||
| of Washington Inc. | 923,586 | 41,201 | |
| Flowserve Corp. | 685,408 | 41,008 | |
| Wabtec Corp. | 459,825 | 39,954 | |
| Towers Watson & Co. | |||
| Class A | 351,596 | 39,790 | |
| JB Hunt Transport | |||
| Services Inc. | 471,345 | 39,711 | |
| Robert Half | |||
| International Inc. | 647,830 | 37,820 | |
| Cintas Corp. | 469,380 | 36,818 | |
| Martin Marietta | |||
| Materials Inc. | 321,565 | 35,475 | |
| * | Trimble Navigation Ltd. | 1,302,384 | 34,565 |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | B/E Aerospace Inc. | 528,574 | 30,668 |
| * | Quanta Services Inc. | 1,068,376 | 30,331 |
| Allison Transmission | |||
| Holdings Inc. | 890,446 | 30,186 | |
| Hubbell Inc. Class B | 260,853 | 27,867 | |
| Donaldson Co. Inc. | 694,043 | 26,811 | |
| FLIR Systems Inc. | 708,503 | 22,892 | |
| Chicago Bridge & | |||
| Iron Co. NV | 544,479 | 22,857 | |
| * | Colfax Corp. | 434,344 | 22,399 |
| Fortune Brands Home & | |||
| Security Inc. | 396,595 | 17,954 | |
| Owens Corning | 281,740 | 10,089 | |
| * | KLX Inc. | 132,204 | 5,453 |
| 5,436,174 | |||
| Oil & Gas (6.0%) | |||
| Schlumberger Ltd. | 6,470,876 | 552,678 | |
| Kinder Morgan Inc. | 8,522,695 | 360,595 | |
| EOG Resources Inc. | 2,755,741 | 253,721 | |
| Anadarko | |||
| Petroleum Corp. | 2,546,712 | 210,104 | |
| Halliburton Co. | 4,048,482 | 159,227 | |
| Williams Cos. Inc. | 3,382,809 | 152,023 | |
| Pioneer Natural | |||
| Resources Co. | 748,437 | 111,405 | |
| Noble Energy Inc. | 1,819,704 | 86,309 | |
| * | Cheniere Energy Inc. | 1,072,361 | 75,494 |
| National Oilwell Varco Inc. | 1,082,565 | 70,940 | |
| Cabot Oil & Gas Corp. | 2,077,909 | 61,527 | |
| EQT Corp. | 761,870 | 57,674 | |
| * | Concho Resources Inc. | 568,283 | 56,686 |
| * | FMC Technologies Inc. | 1,177,117 | 55,136 |
| * | Cameron | ||
| International Corp. | 992,415 | 49,571 | |
| * | Southwestern Energy Co. 1,775,694 | 48,459 | |
| Cimarex Energy Co. | 438,665 | 46,498 | |
| Range Resources Corp. | 805,926 | 43,077 | |
| * | Weatherford | ||
| International plc | 3,502,184 | 40,100 | |
| * | Dresser-Rand Group Inc. | 385,442 | 31,529 |
| Oceaneering | |||
| International Inc. | 526,686 | 30,974 | |
| * | Whiting Petroleum Corp. | 837,045 | 27,622 |
| Core Laboratories NV | 219,679 | 26,436 | |
| * | Continental Resources Inc. | 467,849 | 17,947 |
| Ensco plc Class A | 588,403 | 17,623 | |
| Helmerich & Payne Inc. | 258,415 | 17,422 | |
| * | Antero Resources Corp. | 264,274 | 10,724 |
| * | Cobalt International | ||
| Energy Inc. | 829,213 | 7,372 | |
| SM Energy Co. | 169,254 | 6,530 | |
| QEP Resources Inc. | 226,811 | 4,586 | |
| 2,689,989 | |||
18
| Growth Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Technology (23.6%) | |||
| Apple Inc. | 29,492,591 | 3,255,392 | |
| * | Facebook Inc. Class A | 10,624,303 | 828,908 |
| * | Google Inc. Class C | 1,450,466 | 763,525 |
| * | Google Inc. Class A | 1,432,260 | 760,043 |
| Oracle Corp. | 16,712,760 | 751,573 | |
| QUALCOMM Inc. | 8,360,664 | 621,448 | |
| EMC Corp. | 10,232,936 | 304,328 | |
| Texas Instruments Inc. | 5,311,830 | 283,997 | |
| * | Yahoo! Inc. | 4,287,509 | 216,562 |
| * | Micron Technology Inc. 5,398,032 188,985 |
| * | salesforce.com inc | 3,014,452 | 178,787 |
| * | Adobe Systems Inc. | 2,382,601 | 173,215 |
| * | Cognizant Technology | ||
| Solutions Corp. Class A | 3,062,028 | 161,246 | |
| Avago Technologies Ltd. | |||
| Class A | 1,271,667 | 127,917 | |
| Intuit Inc. | 1,364,508 | 125,794 | |
| SanDisk Corp. | 1,109,505 | 108,709 | |
| * | Cerner Corp. | 1,545,424 | 99,927 |
| * | Twitter Inc. | 2,552,517 | 91,559 |
| Analog Devices Inc. | 1,580,065 | 87,725 | |
| Applied Materials Inc. | 3,062,046 | 76,306 | |
| Skyworks Solutions Inc. | 958,857 | 69,719 | |
| * | Autodesk Inc. | 1,143,063 | 68,652 |
| * | Red Hat Inc. | 944,911 | 65,331 |
| NetApp Inc. | 1,568,107 | 64,998 | |
| Lam Research Corp. | 799,699 | 63,448 | |
| Equinix Inc. | 275,984 | 62,574 | |
| KLA-Tencor Corp. | 826,793 | 58,140 | |
| Xilinx Inc. | 1,331,243 | 57,630 | |
| Altera Corp. | 1,534,420 | 56,681 | |
| Linear Technology Corp. | 1,199,485 | 54,697 | |
| * | Catamaran Corp. | 1,043,348 | 53,993 |
| * | Akamai Technologies Inc. | 850,248 | 53,532 |
| NVIDIA Corp. | 2,596,616 | 52,062 | |
| * | Citrix Systems Inc. | 809,157 | 51,624 |
| * | F5 Networks Inc. | 371,426 | 48,458 |
| Juniper Networks Inc. | 2,069,691 | 46,196 | |
| * | ServiceNow Inc. | 672,300 | 45,616 |
| Maxim Integrated | |||
| Products Inc. | 1,422,649 | 45,340 | |
| Microchip Technology Inc. | 960,043 | 43,308 | |
| * | Workday Inc. Class A | 498,105 | 40,650 |
| * | ANSYS Inc. | 462,167 | 37,898 |
| * | Gartner Inc. | 419,479 | 35,324 |
| * | VMware Inc. Class A | 426,450 | 35,191 |
| * | VeriSign Inc. | 607,434 | 34,624 |
| * | Teradata Corp. | 767,479 | 33,524 |
| * | Splunk Inc. | 513,391 | 30,264 |
| * | Rackspace Hosting Inc. | 578,856 | 27,096 |
| * | Palo Alto Networks Inc. | 171,435 | 21,013 |
| * | NetSuite Inc. | 173,874 | 18,982 |
| *,^ | FireEye Inc. | 490,403 | 15,487 |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| *,^ | Cree Inc. | 300,011 | 9,666 |
| *,^ | 3D Systems Corp. | 265,327 | 8,721 |
| * | Premier Inc. Class A | 186,605 | 6,257 |
| 10,622,642 | |||
| Telecommunications (0.3%) | |||
| * | SBA Communications | ||
| Corp. Class A | 649,454 | 71,934 | |
| * | Level 3 | ||
| Communications Inc. | 1,351,542 | 66,739 | |
| 138,673 | |||
| Utilities (0.1%) | |||
| * | Calpine Corp. | 1,962,097 | 43,421 |
| �� | ONEOK Inc. | 523,011 | 26,041 |
| 69,462 | |||
| Total Common Stocks | |||
| (Cost $27,924,480) | 45,059,046 | ||
| Temporary Cash Investments (0.3%)1 | |||
| Money Market Fund (0.3%) | |||
| 2,3 | Vanguard Market | ||
| Liquidity Fund, | |||
| 0.126% | 115,383,255 | 115,383 | |
| Face |
| Amount |
| ($000) |
| U.S. Government and Agency Obligations (0.0%) |
| 4,5 | Federal Home Loan Bank | ||
| Discount Notes, | |||
| 0.080%, 2/20/15 | 2,000 | 2,000 | |
| 4,5 | Federal Home Loan Bank | ||
| Discount Notes, | |||
| 0.095%, 2/27/15 | 2,400 | 2,400 | |
| 6 | Freddie Mac Discount | ||
| Notes, 0.050%, 1/14/15 | 2,000 | 2,000 | |
| 6,400 | |||
| Total Temporary Cash Investments | |||
| (Cost $121,783) | 121,783 | ||
| Total Investments (100.3%) | |||
| (Cost $28,046,263) | 45,180,829 | ||
| Other Assets and Liabilities (-0.3%) | |||
| Other Assets | 144,359 | ||
| Liabilities3 | (263,250) | ||
| (118,891) | |||
| Net Assets (100%) | 45,061,938 | ||
19
Growth Index Fund
| At December 31, 2014, net assets consisted of: | |
| Amount | |
| ($000) | |
| Paid-in Capital | 28,365,190 |
| Overdistributed Net Investment Income | (25,578) |
| Accumulated Net Realized Losses | (412,191) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 17,134,566 |
| Futures Contracts | (49) |
| Net Assets | 45,061,938 |
| Investor Shares—Net Assets | |
| Applicable to 60,883,259 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 3,270,116 |
| Net Asset Value Per Share— | |
| Investor Shares | $53.71 |
| Admiral Shares—Net Assets | |
| Applicable to 277,575,412 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 14,907,189 |
| Net Asset Value Per Share— | |
| Admiral Shares | $53.71 |
| Amount | |
| ($000) | |
| Institutional Shares—Net Assets | |
| Applicable to 177,724,824 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 9,544,550 |
| Net Asset Value Per Share— | |
| Institutional Shares | $53.70 |
| ETF Shares—Net Assets | |
| Applicable to 166,203,889 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 17,340,083 |
| Net Asset Value Per Share— | |
| ETF Shares | $104.33 |
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 $10,017,000.
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 $10,408,000 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 $3,300,000 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.
See accompanying Notes, which are an integral part of the Financial Statements.
20
| Growth Index Fund | |
| Statement of Operations | |
| Year Ended | |
| December 31, 2014 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends | 561,223 |
| Interest1 | 81 |
| Securities Lending | 2,588 |
| Total Income | 563,892 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 2,839 |
| Management and Administrative—Investor Shares | 6,910 |
| Management and Administrative—Admiral Shares | 7,313 |
| Management and Administrative—Signal Shares | 1,363 |
| Management and Administrative—Institutional Shares | 4,397 |
| Management and Administrative—ETF Shares | 8,738 |
| Marketing and Distribution—Investor Shares | 668 |
| Marketing and Distribution—Admiral Shares | 1,303 |
| Marketing and Distribution—Signal Shares | 897 |
| Marketing and Distribution—Institutional Shares | 1,782 |
| Marketing and Distribution—ETF Shares | 3,066 |
| Custodian Fees | 314 |
| Auditing Fees | 34 |
| Shareholders’ Reports—Investor Shares | 93 |
| Shareholders’ Reports—Admiral Shares | 76 |
| Shareholders’ Reports—Signal Shares | 34 |
| Shareholders’ Reports—Institutional Shares | 75 |
| Shareholders’ Reports—ETF Shares | 381 |
| Trustees’ Fees and Expenses | 29 |
| Total Expenses | 40,312 |
| Net Investment Income | 523,580 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 1,026,098 |
| Futures Contracts | 13,693 |
| Realized Net Gain (Loss) | 1,039,791 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | 3,657,991 |
| Futures Contracts | (503) |
| Change in Unrealized Appreciation (Depreciation) | 3,657,488 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 5,220,859 |
| 1 Interest income from an affiliated company of the fund was $77,000. | |
| See accompanying Notes, which are an integral part of the Financial Statements. | |
21
| Growth Index Fund | ||
| Statement of Changes in Net Assets | ||
| Year Ended December 31, | ||
| 2014 | 2013 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 523,580 | 431,962 |
| Realized Net Gain (Loss) | 1,039,791 | 1,653,212 |
| Change in Unrealized Appreciation (Depreciation) | 3,657,488 | 6,933,141 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 5,220,859 | 9,018,315 |
| Distributions | ||
| Net Investment Income | ||
| Investor Shares | (38,744) | (40,362) |
| Admiral Shares | (144,943) | (91,897) |
| Signal Shares | (29,371) | (57,566) |
| Institutional Shares | (113,385) | (93,443) |
| ETF Shares | (195,683) | (149,475) |
| Realized Capital Gain | ||
| Investor Shares | — | — |
| Admiral Shares | — | — |
| Signal Shares | — | — |
| Institutional Shares | — | — |
| ETF Shares | — | — |
| Total Distributions | (522,126) | (432,743) |
| Capital Share Transactions | ||
| Investor Shares | (759,519) | (384,430) |
| Admiral Shares | 5,700,280 | 332,128 |
| Signal Shares | (4,926,987) | 6,446 |
| Institutional Shares | 518,280 | (25,279) |
| ETF Shares | 2,345,702 | 1,895,714 |
| Net Increase (Decrease) from Capital Share Transactions | 2,877,756 | 1,824,579 |
| Total Increase (Decrease) | 7,576,489 | 10,410,151 |
| Net Assets | ||
| Beginning of Period | 37,485,449 | 27,075,298 |
| End of Period1 | 45,061,938 | 37,485,449 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($25,578,000) and ($27,032,000).
See accompanying Notes, which are an integral part of the Financial Statements.
22
| Growth Index Fund | |||||
| Financial Highlights | |||||
| Investor Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $47.87 | $36.65 | $31.79 | $31.60 | $27.32 |
| Investment Operations | |||||
| Net Investment Income | . 579 | .508 | .509 | .351 | .315 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 5.837 | 11.219 | 4.853 | .183 | 4.284 |
| Total from Investment Operations | 6.416 | 11.727 | 5.362 | .534 | 4.599 |
| Distributions | |||||
| Dividends from Net Investment Income | (.576) | (.507) | (. 502) | (. 344) | (. 319) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.576) | (.507) | (. 502) | (. 344) | (. 319) |
| Net Asset Value, End of Period | $53.71 | $47.87 | $36.65 | $31.79 | $31.60 |
| Total Return1 | 13.47% | 32.16% | 16.89% | 1.71% | 16.96% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $3,270 | $3,630 | $3,105 | $2,897 | $3,843 |
| Ratio of Total Expenses to Average Net Assets | 0.23% | 0.24% | 0.24% | 0.24% | 0.26% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 1.17% | 1.22% | 1.45% | 1.10% | 1.13% |
| Portfolio Turnover Rate2 | 9% | 32% | 21% | 23% | 26% |
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.
23
| Growth Index Fund | |||||
| Financial Highlights | |||||
| Admiral Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $47.87 | $36.64 | $31.79 | $31.60 | $27.32 |
| Investment Operations | |||||
| Net Investment Income | . 653 | . 572 | .560 | .399 | .357 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 5.836 | 11.229 | 4.842 | .185 | 4.282 |
| Total from Investment Operations | 6.489 | 11.801 | 5.402 | .584 | 4.639 |
| Distributions | |||||
| Dividends from Net Investment Income | (.649) | (.571) | (. 552) | (. 394) | (. 359) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.649) | (.571) | (. 552) | (. 394) | (. 359) |
| Net Asset Value, End of Period | $53.71 | $47.87 | $36.64 | $31.79 | $31.60 |
| Total Return1 | 13.63% | 32.40% | 17.01% | 1.87% | 17.12% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $14,907 | $7,903 | $5,774 | $4,819 | $4,712 |
| Ratio of Total Expenses to Average Net Assets | 0.09% | 0.09% | 0.10% | 0.10% | 0.12% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 1.31% | 1.37% | 1.59% | 1.24% | 1.27% |
| Portfolio Turnover Rate2 | 9% | 32% | 21% | 23% | 26% |
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.
24
| Growth Index Fund | |||||
| Financial Highlights | |||||
| Signal Shares | |||||
| Jan. 1, | |||||
| 2014, to | |||||
| Oct. 24, | Year Ended December 31, | ||||
| For a Share Outstanding Throughout Each Period | 20141 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $44.32 | $33.93 | $29.44 | $29.26 | $25.30 |
| Investment Operations | |||||
| Net Investment Income | . 444 | . 530 | . 519 | . 369 | . 331 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 3.240 | 10.389 | 4.483 | .175 | 3.963 |
| Total from Investment Operations | 3.684 | 10.919 | 5.002 | .544 | 4.294 |
| Distributions | |||||
| Dividends from Net Investment Income | (. 404) | (. 529) | (. 512) | (. 364) | (. 334) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (. 404) | (. 529) | (. 512) | (. 364) | (. 334) |
| Net Asset Value, End of Period | $47.601 | $44.32 | $33.93 | $29.44 | $29.26 |
| Total Return | 8.34% | 32.37% | 17.01% | 1.88% | 17.11% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $— | $4,672 | $3,540 | $2,402 | $1,658 |
| Ratio of Total Expenses to Average Net Assets | 0.09%2 | 0.09% | 0.10% | 0.10% | 0.12% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 1.20%2 | 1.37% | 1.59% | 1.24% | 1.27% |
| Portfolio Turnover Rate 3 | 9% | 32% | 21% | 23% | 26% |
1 Net asset value as of October 24, 2014, on which date the Signal Shares were converted to Admiral Shares.
| 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.
25
| Growth Index Fund | |||||
| Financial Highlights | |||||
| Institutional Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $47.87 | $36.64 | $31.79 | $31.60 | $27.32 |
| Investment Operations | |||||
| Net Investment Income | . 657 | .576 | .567 | .405 | . 369 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 5.826 | 11.229 | 4.842 | .186 | 4.283 |
| Total from Investment Operations | 6.483 | 11.805 | 5.409 | .591 | 4.652 |
| Distributions | |||||
| Dividends from Net Investment Income | (.653) | (.575) | (. 559) | (. 401) | (. 372) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.653) | (.575) | (. 559) | (. 401) | (. 372) |
| Net Asset Value, End of Period | $53.70 | $47.87 | $36.64 | $31.79 | $31.60 |
| Total Return | 13.62% | 32.41% | 17.04% | 1.89% | 17.17% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $9,545 | $8,015 | $6,189 | $4,726 | $3,934 |
| Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 1.32% | 1.38% | 1.61% | 1.26% | 1.31% |
| Portfolio Turnover Rate1 | 9% | 32% | 21% | 23% | 26% |
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.
26
| Growth Index Fund | |||||
| Financial Highlights | |||||
| ETF Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $92.99 | $71.19 | $61.76 | $61.39 | $53.08 |
| Investment Operations | |||||
| Net Investment Income | 1.268 | 1.112 | 1.087 | .776 | .695 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 11.332 | 21.798 | 9.416 | .360 | 8.315 |
| Total from Investment Operations | 12.600 | 22.910 | 10.503 | 1.136 | 9.010 |
| Distributions | |||||
| Dividends from Net Investment Income | (1.260) | (1.110) | (1.073) | (.766) | (.700) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.260) | (1.110) | (1.073) | (.766) | (.700) |
| Net Asset Value, End of Period | $104.33 | $92.99 | $71.19 | $61.76 | $61.39 |
| Total Return | 13.62% | 32.38% | 17.03% | 1.87% | 17.11% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $17,340 | $13,265 | $8,467 | $6,046 | $5,099 |
| Ratio of Total Expenses to Average Net Assets | 0.09% | 0.09% | 0.10% | 0.10% | 0.12% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 1.31% | 1.37% | 1.59% | 1.24% | 1.27% |
| Portfolio Turnover Rate1 | 9% | 32% | 21% | 23% | 26% |
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.
27
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 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. Prior to October 24, 2014, the fund offered Signal Shares. Effective at the close of business on October 24, 2014, the Signal Shares were converted to Admiral Shares.
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 settlement values 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).
28
Growth Index Fund
During the year ended December 31, 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, 2011–2014), 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 December 31, 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.
29
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 invest up to 0.40% of its net assets in Vanguard. At December 31, 2014, the fund had contributed capital of $4,304,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 1.72% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
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 December 31, 2014, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 45,059,046 | — | — |
| Temporary Cash Investments | 115,383 | 6,400 | — |
| Futures Contracts—Assets1 | 323 | — | — |
| Futures Contracts—Liabilities1 | (1,127) | — | — |
| Total | 45,173,625 | 6,400 | — |
| 1 Represents variation margin on the last day of the reporting period. |
30
Growth Index Fund
D. At December 31, 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 | March 2015 | 40 | 4,105 | (49) |
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 year ended December 31, 2014, the fund realized $1,139,846,000 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.
For tax purposes, at December 31, 2014, the fund had $4,056,000 of ordinary income available for distribution. At December 31, 2014, the fund had available capital losses totaling $409,735,000 to offset future net capital gains. Of this amount, $300,177,000 is subject to expiration on December 31, 2017. Capital losses of $109,558,000 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.
At December 31, 2014, the cost of investment securities for tax purposes was $28,046,263,000. Net unrealized appreciation of investment securities for tax purposes was $17,134,566,000, consisting of unrealized gains of $17,391,446,000 on securities that had risen in value since their purchase and $256,880,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended December 31, 2014, the fund purchased $9,209,978,000 of investment securities and sold $6,260,926,000 of investment securities, other than temporary cash investments. Purchases and sales include $4,303,842,000 and $2,542,187,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
31
Growth Index Fund
| G. Capital share transactions for each class of shares were: | ||||
| Year Ended December 31, | ||||
| 2014 | 2013 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| Investor Shares | ||||
| Issued | 420,778 | 8,503 | 431,291 | 10,400 |
| Issued in Lieu of Cash Distributions | 36,263 | 710 | 37,960 | 887 |
| Redeemed | (1,216,560) | (24,167) | (853,681) | (20,181) |
| Net Increase (Decrease)—Investor Shares | (759,519) | (14,954) | (384,430) | (8,894) |
| Admiral Shares | ||||
| Issued1 | 6,782,733 | 133,839 | 945,498 | 22,310 |
| Issued in Lieu of Cash Distributions | 131,501 | 2,548 | 85,033 | 1,981 |
| Redeemed | (1,213,954) | (23,920) | (698,403) | (16,754) |
| Net Increase (Decrease) —Admiral Shares | 5,700,280 | 112,467 | 332,128 | 7,537 |
| Signal Shares | ||||
| Issued | 597,797 | 13,239 | 1,478,192 | 38,454 |
| Issued in Lieu of Cash Distributions | 25,487 | 555 | 49,030 | 1,236 |
| Redeemed1 | (5,550,271) | (119,196) | (1,520,776) | (38,618) |
| Net Increase (Decrease)—Signal Shares | (4,926,987) | (105,402) | 6,446 | 1,072 |
| Institutional Shares | ||||
| Issued | 2,238,828 | 44,415 | 1,695,058 | 40,508 |
| Issued in Lieu of Cash Distributions | 106,184 | 2,070 | 86,390 | 2,012 |
| Redeemed | (1,826,732) | (36,204) | (1,806,727) | (43,962) |
| Net Increase (Decrease) —Institutional Shares | 518,280 | 10,281 | (25,279) | (1,442) |
| ETF Shares | ||||
| Issued | 4,907,919 | 49,655 | 4,351,346 | 53,707 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (2,562,217) | (26,100) | (2,455,632) | (30,000) |
| Net Increase (Decrease) —ETF Shares | 2,345,702 | 23,555 | 1,895,714 | 23,707 |
1 Admiral Shares Issued and Signal Shares Redeemed include $3,661,751,000 from the conversion of Signal Shares to Admiral Shares during the 2014 fiscal year.
H. Management has determined that no material events or transactions occurred subsequent to December 31, 2014, that would require recognition or disclosure in these financial statements.
32
| Value Index Fund | ||||
| Fund Profile | ||||
| As of December 31, 2014 | ||||
| Share-Class Characteristics | ||||
| Investor | Admiral | Institutional | ||
| Shares | Shares | Shares | ETF Shares | |
| Ticker Symbol | VIVAX | VVIAX | VIVIX | VTV |
| Expense Ratio1 | 0.24% | 0.09% | 0.08% | 0.09% |
| 30-Day SEC Yield | 2.23% | 2.37% | 2.39% | 2.37% |
| Portfolio Characteristics | |||
| DJ | |||
| U.S. | |||
| Total | |||
| CRSP US | Market | ||
| Large Cap | FA | ||
| Fund Value Index | Index | ||
| Number of Stocks | 316 | 315 | 3,776 |
| Median Market Cap | $81.0B | $78.2B | $48.1B |
| Price/Earnings Ratio | 16.6x | 16.6x | 20.6x |
| Price/Book Ratio | 2.1x | 2.1x | 2.7x |
| Return on Equity | 16.1% | 16.0% | 17.8% |
| Earnings Growth | |||
| Rate | 11.8% | 11.4% | 15.4% |
| Dividend Yield | 2.5% | 2.5% | 1.9% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | 6% | — | — |
| Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure)
| DJ | |||
| CRSP US U.S. Total | |||
| Large Cap | Market | ||
| Fund Value Index | FA Index | ||
| Basic Materials | 3.5% | 3.5% | 2.8% |
| Consumer Goods | 10.8 | 10.8 | 9.9 |
| Consumer Services | 7.7 | 7.6 | 13.6 |
| Financials | 22.6 | 22.6 | 19.0 |
| Health Care | 13.8 | 13.8 | 13.5 |
| Industrials | 11.1 | 11.1 | 12.6 |
| Oil & Gas | 10.0 | 10.0 | 7.5 |
| Technology | 10.5 | 10.5 | 15.8 |
| Telecommunications | 4.0 | 4.0 | 2.0 |
| Utilities | 6.0 | 6.1 | 3.3 |
| Volatility Measures | ||
| DJ | ||
| U.S. Total | ||
| Spliced | Market | |
| Value Index | FA Index | |
| R-Squared | 1.00 | 0.91 |
| Beta | 1.00 | 0.91 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
Ten Largest Holdings (% of total net assets)
| Exxon Mobil Corp. | Integrated Oil & Gas | 3.8% |
| Microsoft Corp. | Software | 3.3 |
| Johnson & Johnson | Pharmaceuticals | 2.8 |
| Wells Fargo & Co. | Banks | 2.7 |
| Berkshire Hathaway Inc. Reinsurance | 2.7 | |
| General Electric Co. | Diversified Industrials | 2.4 |
| Procter & Gamble Co. | Nondurable | |
| Household Products | 2.4 | |
| JPMorgan Chase & Co. | Banks | 2.2 |
| Chevron Corp. | Integrated Oil & Gas | 2.0 |
| Pfizer Inc. | Pharmaceuticals | 1.9 |
| Top Ten | 26.2% | |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratios shown are from the prospectus dated April 28, 2014, and represent estimated costs for the current fiscal year. For the fiscal year ended December 31, 2014, the expense ratios were 0.23% for Investor Shares, 0.09% for Admiral Shares, 0.08% for Institutional Shares, and 0.09% for ETF Shares.
33
Value Index Fund
Investment Focus
34
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.
Cumulative Performance: December 31, 2004, Through December 31, 2014
Initial Investment of $10,000
| Average Annual Total Returns | |||||
| Periods Ended December 31, 2014 | |||||
| Final Value | |||||
| One | Five | Ten | of a $10,000 | ||
| Year | Years | Years | Investment | ||
| Value Index Fund*Investor Shares | 13.05% | 14.80% | 7.17% | $19,984 | |
| •••••••• | Spliced Value Index | 13.29 | 15.05 | 7.33 | 20,282 |
| – – – – | Large-Cap Value Funds Average | 10.74 | 13.41 | 6.28 | 18,391 |
| Dow Jones U.S. Total Stock Market | |||||
| Float Adjusted Index | 12.47 | 15.72 | 8.09 | 21,779 | |
| For a benchmark description, see the Glossary. | |||||
| Large-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |||||
| Final Value | |||||
| One | Five | Ten | of a $10,000 | ||
| Year | Years | Years | Investment | ||
| Value Index Fund Admiral Shares | 13.18% | 14.96% | 7.30% | $20,230 | |
| Spliced Value Index | 13.29 | 15.05 | 7.33 | 20,282 | |
| Dow Jones U.S. Total Stock Market Float | |||||
| Adjusted Index | 12.47 | 15.72 | 8.09 | 21,779 | |
See Financial Highlights for dividend and capital gains information.
35
| Value Index Fund | ||||
| Average Annual Total Returns | ||||
| Periods Ended December 31, 2014 | ||||
| Final Value | ||||
| One | Five | Ten | of a $5,000,000 | |
| Year | Years | Years | Investment | |
| Value Index Fund Institutional Shares | 13.19% | 14.98% | 7.33% | $10,144,581 |
| Spliced Value Index | 13.29 | 15.05 | 7.33 | 10,141,048 |
| Dow Jones U.S. Total Stock Market Float | ||||
| Adjusted Index | 12.47 | 15.72 | 8.09 | 10,889,319 |
| Final Value | ||||
| One | Five | Ten | of a $10,000 | |
| Year | Years | Years | Investment | |
| Value Index Fund | ||||
| ETF Shares Net Asset Value | 13.19% | 14.96% | 7.30% | $20,237 |
| Spliced Value Index | 13.29 | 15.05 | 7.33 | 20,282 |
| Dow Jones U.S. Total Stock Market Float | ||||
| Adjusted Index | 12.47 | 15.72 | 8.09 | 21,779 |
| Cumulative Returns of ETF Shares: December 31, 2004, Through December 31, 2014 | ||||
| One | Five | Ten | ||
| Year | Years | Years | ||
| Value Index Fund ETF Shares Market Price | 13.18% | 100.83% | 102.10% | |
| Value Index Fund ETF Shares Net Asset Value | 13.19 | 100.83 | 102.37 | |
| Spliced Value Index | 13.29 | 101.54 | 102.82 | |
Fiscal-Year Total Returns (%): December 31, 2004, Through December 31, 2014
36
Value Index Fund
Financial Statements
Statement of Net Assets
As of December 31, 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 (3.5%) | ||
| EI du Pont de Nemours | ||
| & Co. | 3,173,205 | 234,627 |
| Dow Chemical Co. | 4,125,808 | 188,178 |
| LyondellBasell Industries | ||
| NV Class A | 1,401,651 | 111,277 |
| PPG Industries Inc. | 480,529 | 111,074 |
| Air Products & | ||
| Chemicals Inc. | 673,270 | 97,106 |
| Freeport-McMoRan Inc. | 3,639,300 | 85,014 |
| International Paper Co. | 1,487,650 | 79,708 |
| Nucor Corp. | 1,115,836 | 54,732 |
| Mosaic Co. | 1,127,238 | 51,458 |
| CF Industries Holdings Inc. 173,957 | 47,410 | |
| Newmont Mining Corp. | 1,745,268 | 32,986 |
| Alcoa Inc. | 2,061,694 | 32,554 |
| Celanese Corp. Class A | 541,351 | 32,459 |
| Ashland Inc. | 242,434 | 29,034 |
| Avery Dennison Corp. | 325,729 | 16,899 |
| Huntsman Corp. | 726,682 | 16,554 |
| Albemarle Corp. | 273,033 | 16,418 |
| Reliance Steel & | ||
| Aluminum Co. | 259,865 | 15,922 |
| CONSOL Energy Inc. | 400,816 | 13,552 |
| Peabody Energy Corp. | 475,893 | 3,683 |
| 1,270,645 | ||
| Consumer Goods (10.8%) | ||
| Procter & Gamble Co. | 9,464,507 | 862,122 |
| PepsiCo Inc. | 5,242,079 | 495,691 |
| Altria Group Inc. | 6,920,813 | 340,989 |
| Ford Motor Co. | 13,225,125 | 204,989 |
| Mondelez International | ||
| Inc. Class A | 5,589,982 | 203,056 |
| General Motors Co. | 4,509,132 | 157,414 |
| Kimberly-Clark Corp. | 1,304,578 | 150,731 |
| Kraft Foods Group Inc. | 2,062,485 | 129,235 |
| Archer-Daniels-Midland Co. 2,252,920 | 117,152 | |
| Johnson Controls Inc. | 2,331,730 | 112,716 |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| General Mills Inc. | 2,112,856 | 112,679 | |
| Delphi Automotive plc | 1,036,506 | 75,375 | |
| Reynolds American Inc. | 1,115,044 | 71,664 | |
| Kellogg Co. | 870,497 | 56,965 | |
| Genuine Parts Co. | 508,758 | 54,218 | |
| ConAgra Foods Inc. | 1,485,988 | 53,912 | |
| Whirlpool Corp. | 272,580 | 52,810 | |
| Dr Pepper Snapple | |||
| Group Inc. | 679,761 | 48,725 | |
| Clorox Co. | 452,305 | 47,135 | |
| Bunge Ltd. | 483,357 | 43,942 | |
| Tyson Foods Inc. Class A | 1,068,010 | 42,817 | |
| * | TRW Automotive | ||
| Holdings Corp. | 388,103 | 39,916 | |
| Molson Coors Brewing | |||
| Co. Class B | 508,634 | 37,903 | |
| Mattel Inc. | 1,186,438 | 36,714 | |
| Newell Rubbermaid Inc. | 953,947 | 36,336 | |
| Coach Inc. | 963,991 | 36,208 | |
| Activision Blizzard Inc. | 1,760,560 | 35,475 | |
| JM Smucker Co. | 338,364 | 34,168 | |
| Coca-Cola Enterprises Inc. | 769,975 | 34,048 | |
| Campbell Soup Co. | 714,669 | 31,445 | |
| Energizer Holdings Inc. | 217,061 | 27,905 | |
| Lear Corp. | 279,213 | 27,385 | |
| Stanley Black & | |||
| Decker Inc. | 274,016 | 26,328 | |
| PulteGroup Inc. | 1,179,445 | 25,311 | |
| Hasbro Inc. | 399,551 | 21,971 | |
| DR Horton Inc. | 571,594 | 14,456 | |
| Avon Products Inc. | 1,514,076 | 14,217 | |
| Lennar Corp. Class A | 304,375 | 13,639 | |
| *,^ | Pilgrim’s Pride Corp. | 180,769 | 5,927 |
| Lennar Corp. Class B | 1,431 | 52 | |
| 3,933,741 | |||
| Consumer Services (7.7%) | |||
| Wal-Mart Stores Inc. | 5,643,657 | 484,677 | |
| CVS Health Corp. | 4,015,388 | 386,722 | |
| * | Walgreens Boots | ||
| Alliance Inc. | 2,980,584 | 227,121 | |
37
| Value Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Target Corp. | 2,229,820 | 169,266 | |
| McKesson Corp. | 811,946 | 168,544 | |
| Delta Air Lines Inc. | 2,931,538 | 144,202 | |
| Time Warner Inc. | 1,402,148 | 119,771 | |
| Lowe’s Cos. Inc. | 1,737,473 | 119,538 | |
| Kroger Co. | 1,632,634 | 104,831 | |
| Cardinal Health Inc. | 1,158,385 | 93,516 | |
| * | United Continental | ||
| Holdings Inc. | 1,292,069 | 86,426 | |
| Sysco Corp. | 2,058,596 | 81,706 | |
| Macy’s Inc. | 1,236,148 | 81,277 | |
| Omnicom Group Inc. | 869,067 | 67,327 | |
| Carnival Corp. | 1,453,145 | 65,871 | |
| AmerisourceBergen | |||
| Corp. Class A | 727,487 | 65,590 | |
| Kohl’s Corp. | 679,498 | 41,477 | |
| Staples Inc. | 2,248,007 | 40,734 | |
| Best Buy Co. Inc. | 1,038,432 | 40,478 | |
| Interpublic Group of | |||
| Cos. Inc. | 1,471,075 | 30,554 | |
| Safeway Inc. | 807,445 | 28,357 | |
| * | News Corp. Class A | 1,703,425 | 26,727 |
| * | Liberty Media Corp. | 718,514 | 25,170 |
| Darden Restaurants Inc. | 417,343 | 24,469 | |
| Royal Caribbean | |||
| Cruises Ltd. | 257,921 | 21,260 | |
| * | Hertz Global Holdings Inc. | 704,314 | 17,566 |
| Aramark | 531,742 | 16,564 | |
| * | Liberty Media Corp. | ||
| Class A | 328,309 | 11,579 | |
| * | News Corp. Class B | 12,704 | 192 |
| 2,791,512 | |||
| Financials (22.6%) | |||
| Wells Fargo & Co. | 18,170,289 | 996,095 | |
| * | Berkshire Hathaway Inc. | ||
| Class B | 6,426,048 | 964,871 | |
| JPMorgan Chase & Co. | 13,093,421 | 819,386 | |
| Bank of America Corp. | 36,835,066 | 658,979 | |
| Citigroup Inc. | 10,080,620 | 545,462 | |
| US Bancorp | 6,267,608 | 281,729 | |
| Goldman Sachs Group Inc. | 1,448,910 | 280,842 | |
| American International | |||
| Group Inc. | 4,903,435 | 274,641 | |
| Morgan Stanley | 5,140,546 | 199,453 | |
| MetLife Inc. | 3,181,450 | 172,085 | |
| PNC Financial Services | |||
| Group Inc. | 1,842,634 | 168,103 | |
| Capital One Financial Corp. 1,946,792 | 160,708 | ||
| Bank of New York | |||
| Mellon Corp. | 3,944,751 | 160,039 | |
| Prudential Financial Inc. | 1,596,452 | 144,415 | |
| ACE Ltd. | 1,103,941 | 126,821 | |
| Travelers Cos. Inc. | 1,160,776 | 122,868 | |
| State Street Corp. | 1,388,013 | 108,959 | |
| Discover Financial | |||
| Services | 1,587,003 | 103,933 | |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Allstate Corp. | 1,468,035 | 103,129 | |
| CME Group Inc. | 1,120,024 | 99,290 | |
| BB&T Corp. | 2,521,463 | 98,060 | |
| Aflac Inc. | 1,500,928 | 91,692 | |
| Chubb Corp. | 825,677 | 85,433 | |
| Ameriprise Financial Inc. | 645,974 | 85,430 | |
| SunTrust Banks Inc. | 1,825,931 | 76,507 | |
| Hartford Financial | |||
| Services Group Inc. | 1,511,350 | 63,008 | |
| Fifth Third Bancorp | 2,886,175 | 58,806 | |
| Principal Financial | |||
| Group Inc. | 1,027,681 | 53,378 | |
| Progressive Corp. | 1,960,640 | 52,918 | |
| Northern Trust Corp. | 783,230 | 52,790 | |
| Lincoln National Corp. | 909,478 | 52,450 | |
| M&T Bank Corp. | 415,943 | 52,251 | |
| Regions Financial Corp. | 4,819,911 | 50,898 | |
| Loews Corp. | 1,046,067 | 43,956 | |
| KeyCorp | 3,045,975 | 42,339 | |
| Annaly Capital | |||
| Management Inc. | 3,318,177 | 35,869 | |
| * | Ally Financial Inc. | 1,426,571 | 33,696 |
| Western Union Co. | 1,847,272 | 33,085 | |
| FNF Group | 921,255 | 31,737 | |
| Unum Group | 888,696 | 30,998 | |
| XL Group plc Class A | 901,863 | 30,997 | |
| Navient Corp. | 1,433,754 | 30,983 | |
| CIT Group Inc. | 647,763 | 30,982 | |
| Huntington | |||
| Bancshares Inc. | 2,848,345 | 29,965 | |
| Comerica Inc. | 630,983 | 29,555 | |
| Voya Financial Inc. | 688,585 | 29,182 | |
| Cincinnati Financial Corp. | 542,750 | 28,131 | |
| American Capital | |||
| Agency Corp. | 1,230,756 | 26,867 | |
| * | Arch Capital Group Ltd. | 428,706 | 25,337 |
| First Republic Bank | 482,529 | 25,149 | |
| Willis Group Holdings plc | 560,484 | 25,115 | |
| Torchmark Corp. | 454,278 | 24,608 | |
| New York Community | |||
| Bancorp Inc. | 1,472,999 | 23,568 | |
| Reinsurance Group of | |||
| America Inc. Class A | 240,479 | 21,071 | |
| Everest Re Group Ltd. | 118,997 | 20,265 | |
| Zions Bancorporation | 708,360 | 20,195 | |
| NASDAQ OMX Group Inc. | 410,934 | 19,708 | |
| Legg Mason Inc. | 363,885 | 19,421 | |
| PartnerRe Ltd. | 164,691 | 18,796 | |
| WR Berkley Corp. | 354,811 | 18,188 | |
| Axis Capital Holdings Ltd. | 339,369 | 17,338 | |
| Hudson City Bancorp Inc. | 1,657,084 | 16,770 | |
| People’s United | |||
| Financial Inc. | 1,081,935 | 16,424 | |
| * | Genworth Financial Inc. | ||
| Class A | 1,733,810 | 14,737 | |
| * | Synchrony Financial | 434,995 | 12,941 |
38
| Value Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Alleghany Corp. | 27,019 | 12,523 |
| Assurant Inc. | 123,878 | 8,477 | |
| Santander Consumer USA | |||
| Holdings Inc. | 363,259 | 7,124 | |
| * | Berkshire Hathaway Inc. | ||
| Class A | 14 | 3,164 | |
| Rayonier Inc. | 110,344 | 3,083 | |
| * | Liberty Broadband | ||
| Rights Exp. 1/09/2015 | 83 | 1 | |
| 8,227,774 | |||
| Health Care (13.7%) | |||
| Johnson & Johnson | 9,804,247 | 1,025,230 | |
| Pfizer Inc. | 22,068,754 | 687,442 | |
| Merck & Co. Inc. | 9,985,511 | 567,077 | |
| Bristol-Myers Squibb Co. | 5,808,334 | 342,866 | |
| UnitedHealth Group Inc. | 3,360,833 | 339,746 | |
| Medtronic Inc. | 3,447,711 | 248,925 | |
| Eli Lilly & Co. | 3,509,969 | 242,153 | |
| Abbott Laboratories | 5,274,257 | 237,447 | |
| Covidien plc | 1,506,623 | 154,097 | |
| Baxter International Inc. | 1,898,353 | 139,130 | |
| * | Anthem Inc. | 944,622 | 118,711 |
| Aetna Inc. | 1,230,796 | 109,332 | |
| Cigna Corp. | 915,515 | 94,216 | |
| Becton Dickinson and Co. | 672,229 | 93,547 | |
| * | HCA Holdings Inc. | 1,138,644 | 83,565 |
| Humana Inc. | 537,874 | 77,255 | |
| Zimmer Holdings Inc. | 593,245 | 67,286 | |
| St. Jude Medical Inc. | 1,001,534 | 65,130 | |
| * | Boston Scientific Corp. | 4,639,866 | 61,478 |
| * | Mallinckrodt plc | 406,420 | 40,248 |
| * | Mylan Inc. | 656,258 | 36,993 |
| * | Endo International plc | 510,420 | 36,811 |
| * | Hospira Inc. | 591,906 | 36,254 |
| Universal Health | |||
| Services Inc. Class B | 320,375 | 35,645 | |
| Quest Diagnostics Inc. | 506,034 | 33,935 | |
| * | Hologic Inc. | 828,805 | 22,162 |
| Patterson Cos. Inc. | 309,684 | 14,896 | |
| 5,011,577 | |||
| Industrials (11.1%) | |||
| General Electric Co. | 35,173,870 | 888,844 | |
| United | |||
| Technologies Corp. | 3,032,683 | 348,759 | |
| Honeywell | |||
| International Inc. | 2,604,784 | 260,270 | |
| Caterpillar Inc. | 2,119,885 | 194,033 | |
| Lockheed Martin Corp. | 940,581 | 181,128 | |
| Emerson Electric Co. | 2,429,577 | 149,978 | |
| Boeing Co. | 1,123,791 | 146,070 | |
| General Dynamics Corp. | 986,646 | 135,782 | |
| CSX Corp. | 3,499,133 | 126,774 | |
| Norfolk Southern Corp. | 1,083,079 | 118,716 | |
| Raytheon Co. | 1,079,078 | 116,724 | |
| Eaton Corp. plc | 1,661,650 | 112,926 | |
| Deere & Co. | 1,254,689 | 111,002 | |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Illinois Tool Works Inc. | 1,163,107 | 110,146 | |
| Northrop Grumman Corp. | 706,835 | 104,180 | |
| TE Connectivity Ltd. | 1,427,181 | 90,269 | |
| FedEx Corp. | 473,719 | 82,266 | |
| Waste Management Inc. | 1,523,344 | 78,178 | |
| Parker-Hannifin Corp. | 519,987 | 67,052 | |
| * | Tyco International plc | 1,465,789 | 64,290 |
| Ingersoll-Rand plc | 932,435 | 59,107 | |
| Xerox Corp. | 3,818,721 | 52,927 | |
| Dover Corp. | 580,432 | 41,629 | |
| Rockwell Collins Inc. | 464,582 | 39,248 | |
| Republic Services Inc. | |||
| Class A | 870,936 | 35,055 | |
| L-3 Communications | |||
| Holdings Inc. | 270,454 | 34,134 | |
| Fluor Corp. | 549,431 | 33,312 | |
| Ball Corp. | 482,763 | 32,910 | |
| MeadWestvaco Corp. | 586,439 | 26,032 | |
| * | Crown Holdings Inc. | 486,526 | 24,764 |
| Xylem Inc. | 637,059 | 24,253 | |
| ADT Corp. | 611,207 | 22,144 | |
| Avnet Inc. | 480,770 | 20,683 | |
| * | Jacobs Engineering | ||
| Group Inc. | 456,308 | 20,392 | |
| * | Arrow Electronics Inc. | 344,588 | 19,948 |
| ManpowerGroup Inc. | 277,321 | 18,905 | |
| Joy Global Inc. | 347,446 | 16,163 | |
| MDU Resources | |||
| Group Inc. | 641,046 | 15,065 | |
| * | Owens-Illinois Inc. | 286,183 | 7,724 |
| Owens Corning | 194,006 | 6,947 | |
| AGCO Corp. | 137,077 | 6,196 | |
| SPX Corp. | 64,830 | 5,570 | |
| 4,050,495 | |||
| Oil & Gas (10.0%) | |||
| Exxon Mobil Corp. | 14,831,914 | 1,371,210 | |
| Chevron Corp. | 6,621,462 | 742,796 | |
| ConocoPhillips | 4,310,130 | 297,658 | |
| Occidental | |||
| Petroleum Corp. | 2,716,101 | 218,945 | |
| Phillips 66 | 1,938,811 | 139,013 | |
| Valero Energy Corp. | 1,824,803 | 90,328 | |
| Marathon | |||
| Petroleum Corp. | 980,923 | 88,538 | |
| Baker Hughes Inc. | 1,515,466 | 84,972 | |
| Devon Energy Corp. | 1,359,435 | 83,211 | |
| Apache Corp. | 1,318,078 | 82,604 | |
| Hess Corp. | 942,206 | 69,554 | |
| Marathon Oil Corp. | 2,360,734 | 66,785 | |
| National Oilwell Varco Inc. | 753,293 | 49,363 | |
| Chesapeake Energy Corp. | 2,095,115 | 41,001 | |
| Tesoro Corp. | 447,609 | 33,280 | |
| Murphy Oil Corp. | 590,484 | 29,831 | |
| HollyFrontier Corp. | 693,094 | 25,977 | |
| OGE Energy Corp. | 697,447 | 24,745 | |
| ^ | Transocean Ltd. | 1,205,053 | 22,089 |
39
| Value Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Energen Corp. | 254,965 | 16,256 | |
| Noble Corp. plc | 880,136 | 14,584 | |
| Ensco plc Class A | 407,970 | 12,219 | |
| Helmerich & Payne Inc. | 178,472 | 12,033 | |
| ^ | Diamond Offshore | ||
| Drilling Inc. | 239,160 | 8,779 | |
| Nabors Industries Ltd. | 482,250 | 6,260 | |
| Denbury Resources Inc. | 618,118 | 5,025 | |
| QEP Resources Inc. | 156,864 | 3,172 | |
| 3,640,228 | |||
| Technology (10.5%) | |||
| Microsoft Corp. | 25,984,359 | 1,206,974 | |
| Intel Corp. | 16,935,140 | 614,576 | |
| International Business | |||
| Machines Corp. | 3,466,489 | 556,164 | |
| Cisco Systems Inc. | 17,910,935 | 498,193 | |
| Hewlett-Packard Co. | 6,536,883 | 262,325 | |
| Corning Inc. | 4,501,355 | 103,216 | |
| Western Digital Corp. | 774,647 | 85,753 | |
| Broadcom Corp. Class A | 1,897,903 | 82,236 | |
| Seagate Technology plc | 1,088,614 | 72,393 | |
| Symantec Corp. | 2,414,046 | 61,932 | |
| Applied Materials Inc. | 2,129,172 | 53,059 | |
| Motorola Solutions Inc. | 757,239 | 50,796 | |
| CA Inc. | 1,089,692 | 33,181 | |
| Computer Sciences Corp. | 491,005 | 30,958 | |
| Harris Corp. | 366,253 | 26,304 | |
| * | Synopsys Inc. | 543,397 | 23,621 |
| Garmin Ltd. | 403,399 | 21,312 | |
| Marvell Technology | |||
| Group Ltd. | 1,438,390 | 20,857 | |
| * | Nuance | ||
| Communications Inc. | 892,100 | 12,730 | |
| * | IMS Health Holdings Inc. | 233,012 | 5,974 |
| 3,822,554 | |||
| Telecommunications (4.0%) | |||
| Verizon | |||
| Communications Inc. | 14,534,908 | 679,943 | |
| AT&T Inc. | 18,168,104 | 610,267 | |
| CenturyLink Inc. | 1,998,431 | 79,098 | |
| * | T-Mobile US Inc. | 989,780 | 26,665 |
| Frontier | |||
| Communications Corp. | 3,509,941 | 23,411 | |
| Windstream Holdings Inc. | 2,102,006 | 17,320 | |
| * | Sprint Corp. | 2,751,749 | 11,420 |
| 1,448,124 | |||
| Utilities (6.0%) | |||
| Duke Energy Corp. | 2,477,456 | 206,967 | |
| NextEra Energy Inc. | 1,528,888 | 162,506 | |
| Dominion Resources Inc. | 2,045,228 | 157,278 | |
| Southern Co. | 3,151,724 | 154,781 | |
| Exelon Corp. | 3,008,121 | 111,541 | |
| American Electric | |||
| Power Co. Inc. | 1,712,619 | 103,990 | |
| Sempra Energy | 819,074 | 91,212 | |
| Market | ||
| Value | ||
| Shares | ($000) | |
| PG&E Corp. | 1,663,133 | 88,545 |
| Spectra Energy Corp. | 2,350,271 | 85,315 |
| PPL Corp. | 2,328,803 | 84,605 |
| Edison International | 1,139,662 | 74,625 |
| Public Service Enterprise | ||
| Group Inc. | 1,770,121 | 73,301 |
| Consolidated Edison Inc. | 1,024,572 | 67,632 |
| Xcel Energy Inc. | 1,768,869 | 63,538 |
| Northeast Utilities | 1,108,158 | 59,309 |
| FirstEnergy Corp. | 1,471,884 | 57,389 |
| Entergy Corp. | 630,913 | 55,192 |
| DTE Energy Co. | 619,121 | 53,473 |
| NiSource Inc. | 1,104,331 | 46,846 |
| Wisconsin Energy Corp. | 789,524 | 41,639 |
| Ameren Corp. | 848,716 | 39,151 |
| CenterPoint Energy Inc. | 1,503,369 | 35,224 |
| CMS Energy Corp. | 966,011 | 33,569 |
| American Water | ||
| Works Co. Inc. | 627,436 | 33,442 |
| NRG Energy Inc. | 1,183,661 | 31,900 |
| AES Corp. | 2,269,655 | 31,253 |
| SCANA Corp. | 448,765 | 27,105 |
| Pinnacle West | ||
| Capital Corp. | 386,731 | 26,418 |
| Alliant Energy Corp. | 388,460 | 25,802 |
| Pepco Holdings Inc. | 881,555 | 23,740 |
| Integrys Energy Group Inc. 280,085 | 21,805 | |
| National Fuel Gas Co. | 279,881 | 19,460 |
| ONEOK Inc. | 362,563 | 18,052 |
| 2,206,605 | ||
| Total Common Stocks | ||
| (Cost $28,739,184) | 36,403,255 | |
| Temporary Cash Investments (0.2%)1 | ||
| Money Market Fund (0.1%) | ||
| 2,3 Vanguard Market | ||
| Liquidity Fund, | ||
| 0.126% | 40,035,862 | 40,036 |
| Face |
| Amount |
| ($000) |
| U.S. Government and Agency Obligations (0.1%) |
| 4,5 | Fannie Mae Discount | ||
| Notes, 0.130%, 4/27/15 | 5,000 | 4,998 | |
| 6 | Federal Home Loan Bank | ||
| Discount Notes, 0.068%, | |||
| 1/23/15 | 3,000 | 3,000 | |
| 7,998 | |||
| Total Temporary Cash Investments | |||
| (Cost $48,034) | 48,034 | ||
| Total Investments (100.1%) | |||
| (Cost $28,787,218) | 36,451,289 | ||
40
| Value Index Fund | |
| Market | |
| Value | |
| ($000) | |
| Other Assets and Liabilities (-0.1%) | |
| Other Assets | 78,004 |
| Liabilities3 | (98,416) |
| (20,412) | |
| Net Assets (100%) | 36,430,877 |
At December 31, 2014, net assets consisted of:
| Amount | |
| ($000) | |
| Paid-in Capital | 29,134,442 |
| Overdistributed Net Investment Income | (11,209) |
| Accumulated Net Realized Losses | (357,184) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 7,664,071 |
| Futures Contracts | 757 |
| Net Assets | 36,430,877 |
| Investor Shares—Net Assets | |
| Applicable to 48,349,240 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 1,593,020 |
| Net Asset Value Per Share— | |
| Investor Shares | $32.95 |
| Admiral Shares—Net Assets | |
| Applicable to 294,486,330 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 9,701,338 |
| Net Asset Value Per Share— | |
| Admiral Shares | $32.94 |
| Amount | |
| ($000) | |
| Institutional Shares—Net Assets | |
| Applicable to 238,595,769 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 7,859,974 |
| Net Asset Value Per Share— | |
| Institutional Shares | $32.94 |
| ETF Shares—Net Assets | |
| Applicable to 204,573,250 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 17,276,545 |
| Net Asset Value Per Share— | |
| ETF Shares | $84.45 |
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 $5,901,000.
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 $6,322,000 of collateral received for securities on loan.
4 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the
Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange
for senior preferred stock.
5 Securities with a value of $2,999,000 have been segregated as initial margin for open futures contracts.
6 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the
full faith and credit of the U.S. government.
See accompanying Notes, which are an integral part of the Financial Statements.
41
| Value Index Fund | |
| Statement of Operations | |
| Year Ended | |
| December 31, 2014 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends | 790,335 |
| Interest1 | 47 |
| Securities Lending | 586 |
| Total Income | 790,968 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 2,500 |
| Management and Administrative—Investor Shares | 3,263 |
| Management and Administrative—Admiral Shares | 4,671 |
| Management and Administrative—Signal Shares | 859 |
| Management and Administrative—Institutional Shares | 3,577 |
| Management and Administrative—ETF Shares | 8,222 |
| Marketing and Distribution—Investor Shares | 335 |
| Marketing and Distribution—Admiral Shares | 840 |
| Marketing and Distribution—Signal Shares | 570 |
| Marketing and Distribution—Institutional Shares | 1,394 |
| Marketing and Distribution—ETF Shares | 3,194 |
| Custodian Fees | 282 |
| Auditing Fees | 34 |
| Shareholders’ Reports—Investor Shares | 56 |
| Shareholders’ Reports—Admiral Shares | 47 |
| Shareholders’ Reports—Signal Shares | 20 |
| Shareholders’ Reports—Institutional Shares | 76 |
| Shareholders’ Reports—ETF Shares | 323 |
| Trustees’ Fees and Expenses | 22 |
| Total Expenses | 30,285 |
| Net Investment Income | 760,683 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 760,798 |
| Futures Contracts | 14,432 |
| Realized Net Gain (Loss) | 775,230 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | 2,496,695 |
| Futures Contracts | (320) |
| Change in Unrealized Appreciation (Depreciation) | 2,496,375 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 4,032,288 |
| 1 Interest income from an affiliated company of the fund was $44,000. | |
| See accompanying Notes, which are an integral part of the Financial Statements. | |
42
| Value Index Fund | ||
| Statement of Changes in Net Assets | ||
| Year Ended December 31, | ||
| 2014 | 2013 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 760,683 | 606,445 |
| Realized Net Gain (Loss) | 775,230 | 1,534,231 |
| Change in Unrealized Appreciation (Depreciation) | 2,496,375 | 4,557,317 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 4,032,288 | 6,697,993 |
| Distributions | ||
| Net Investment Income | ||
| Investor Shares | (35,831) | (37,540) |
| Admiral Shares | (167,901) | (107,291) |
| Signal Shares | (36,929) | (62,855) |
| Institutional Shares | (168,638) | (137,123) |
| ETF Shares | (347,057) | (260,653) |
| Realized Capital Gain | ||
| Investor Shares | — | — |
| Admiral Shares | — | — |
| Signal Shares | — | — |
| Institutional Shares | — | — |
| ETF Shares | — | — |
| Total Distributions | (756,356) | (605,462) |
| Capital Share Transactions | ||
| Investor Shares | (306,591) | (177,905) |
| Admiral Shares | 3,915,243 | 416,232 |
| Signal Shares | (3,070,690) | 271,378 |
| Institutional Shares | 700,914 | 674,349 |
| ETF Shares | 3,316,990 | 2,894,352 |
| Net Increase (Decrease) from Capital Share Transactions | 4,555,866 | 4,078,406 |
| Total Increase (Decrease) | 7,831,798 | 10,170,937 |
| Net Assets | ||
| Beginning of Period | 28,599,079 | 18,428,142 |
| End of Period1 | 36,430,877 | 28,599,079 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($11,209,000) and ($15,536,000).
See accompanying Notes, which are an integral part of the Financial Statements.
43
| Value Index Fund | |||||
| Financial Highlights | |||||
| Investor Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $29.78 | $22.93 | $20.47 | $20.79 | $18.63 |
| Investment Operations | |||||
| Net Investment Income | . 691 | . 621 | . 595 | . 521 | . 459 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 3.164 | 6.847 | 2.458 | (. 325) | 2.163 |
| Total from Investment Operations | 3.855 | 7.468 | 3.053 | .196 | 2.622 |
| Distributions | |||||
| Dividends from Net Investment Income | (.685) | (.618) | (. 593) | (. 516) | (. 462) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.685) | (.618) | (. 593) | (. 516) | (. 462) |
| Net Asset Value, End of Period | $32.95 | $29.78 | $22.93 | $20.47 | $20.79 |
| Total Return1 | 13.05% | 32.85% | 15.00% | 1.00% | 14.28% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $1,593 | $1,731 | $1,482 | $1,814 | $2,317 |
| Ratio of Total Expenses to Average Net Assets | 0.23% | 0.24% | 0.24% | 0.24% | 0.26% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 2.25% | 2.35% | 2.71% | 2.52% | 2.43% |
| Portfolio Turnover Rate2 | 6% | 25% | 22% | 23% | 27% |
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.
44
| Value Index Fund | |||||
| Financial Highlights | |||||
| Admiral Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $29.78 | $22.93 | $20.47 | $20.79 | $18.63 |
| Investment Operations | |||||
| Net Investment Income | .737 | .663 | .629 | . 551 | . 488 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 3.154 | 6.845 | 2.458 | (. 325) | 2.162 |
| Total from Investment Operations | 3.891 | 7.508 | 3.087 | .226 | 2.650 |
| Distributions | |||||
| Dividends from Net Investment Income | (.731) | (.658) | (.627) | (. 546) | (. 490) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.731) | (.658) | (.627) | (. 546) | (. 490) |
| Net Asset Value, End of Period | $32.94 | $29.78 | $22.93 | $20.47 | $20.79 |
| Total Return1 | 13.18% | 33.05% | 15.18% | 1.14% | 14.45% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $9,701 | $5,054 | $3,539 | $3,116 | $3,082 |
| Ratio of Total Expenses to Average Net Assets | 0.09% | 0.09% | 0.10% | 0.10% | 0.12% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 2.39% | 2.50% | 2.85% | 2.66% | 2.57% |
| Portfolio Turnover Rate2 | 6% | 25% | 22% | 23% | 27% |
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.
45
| Value Index Fund | |||||
| Financial Highlights | |||||
| Signal Shares | |||||
| Jan. 1, | |||||
| 2014, to | |||||
| Oct. 24, | Year Ended December 31, | ||||
| For a Share Outstanding Throughout Each Period | 20141 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $30.99 | $23.86 | $21.30 | $21.63 | $19.38 |
| Investment Operations | |||||
| Net Investment Income | . 604 | . 689 | .654 | .574 | .508 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 1.676 | 7.126 | 2.558 | (. 335) | 2.252 |
| Total from Investment Operations | 2.280 | 7.815 | 3.212 | .239 | 2.760 |
| Distributions | |||||
| Dividends from Net Investment Income | (.550) | (.685) | (. 652) | (. 569) | (. 510) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.550) | (.685) | (. 652) | (. 569) | (. 510) |
| Net Asset Value, End of Period | $32.721 | $30.99 | $23.86 | $21.30 | $21.63 |
| Total Return | 7.38% | 33.06% | 15.18% | 1.16% | 14.46% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $— | $2,923 | $2,011 | $1,467 | $1,018 |
| Ratio of Total Expenses to Average Net Assets | 0.09%2 | 0.09% | 0.10% | 0.10% | 0.12% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 2.38%2 | 2.50% | 2.85% | 2.66% | 2.57% |
| Portfolio Turnover Rate 3 | 6% | 25% | 22% | 23% | 27% |
1 Net asset value as of October 24, 2014, on which date the Signal Shares were converted to Admiral Shares.
| 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.
46
| Value Index Fund | |||||
| Financial Highlights | |||||
| Institutional Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $29.78 | $22.93 | $20.47 | $20.79 | $18.63 |
| Investment Operations | |||||
| Net Investment Income | .739 | .666 | .633 | .556 | .496 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 3.154 | 6.846 | 2.458 | (. 325) | 2.162 |
| Total from Investment Operations | 3.893 | 7.512 | 3.091 | . 231 | 2.658 |
| Distributions | |||||
| Dividends from Net Investment Income | (.733) | (. 662) | (. 631) | (. 551) | (. 498) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.733) | (. 662) | (. 631) | (. 551) | (. 498) |
| Net Asset Value, End of Period | $32.94 | $29.78 | $22.93 | $20.47 | $20.79 |
| Total Return | 13.19% | 33.07% | 15.20% | 1.17% | 14.49% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $7,860 | $6,431 | $4,369 | $3,449 | $3,450 |
| Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 2.40% | 2.51% | 2.87% | 2.68% | 2.61% |
| Portfolio Turnover Rate1 | 6% | 25% | 22% | 23% | 27% |
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.
47
| Value Index Fund | |||||
| Financial Highlights | |||||
| ETF Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $76.34 | $58.79 | $52.48 | $53.29 | $47.75 |
| Investment Operations | |||||
| Net Investment Income | 1.888 | 1.700 | 1.613 | 1.414 | 1.252 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 8.095 | 17.538 | 6.305 | (. 821) | 5.545 |
| Total from Investment Operations | 9.983 | 19.238 | 7.918 | .593 | 6.797 |
| Distributions | |||||
| Dividends from Net Investment Income | (1.873) | (1.688) | (1.608) | (1.403) | (1.257) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.873) | (1.688) | (1.608) | (1.403) | (1.257) |
| Net Asset Value, End of Period | $84.45 | $76.34 | $58.79 | $52.48 | $53.29 |
| Total Return | 13.19% | 33.03% | 15.19% | 1.16% | 14.45% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $17,277 | $12,461 | $7,027 | $5,049 | $4,330 |
| Ratio of Total Expenses to Average Net Assets | 0.09% | 0.09% | 0.10% | 0.10% | 0.12% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 2.39% | 2.50% | 2.85% | 2.66% | 2.57% |
| Portfolio Turnover Rate1 | 6% | 25% | 22% | 23% | 27% |
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.
48
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 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. Prior to October 24, 2014, the fund offered Signal Shares. Effective at the close of business on October 24, 2014, the Signal Shares were converted to Admiral Shares.
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 settlement values 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).
49
Value Index Fund
During the year ended December 31, 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, 2011–2014), 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 December 31, 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.
50
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 invest up to 0.40% of its net assets in Vanguard. At December 31, 2014, the fund had contributed capital of $3,422,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 1.37% 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 December 31, 2014, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 36,403,255 | — | — |
| Temporary Cash Investments | 40,036 | 7,998 | — |
| Futures Contracts—Assets1 | 460 | — | — |
| Futures Contracts—Liabilities1 | (1,201) | — | — |
| Total | 36,442,550 | 7,998 | — |
| 1 Represents variation margin on the last day of the reporting period. |
51
Value Index Fund
D. At December 31, 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 | March 2015 | 38 | 19,498 | 824 |
| E-mini S&P 500 Index | March 2015 | 55 | 5,644 | (67) |
| 757 |
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 year ended December 31, 2014, the fund realized $784,867,000 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.
For tax purposes, at December 31, 2014, the fund had $10,063,000 of ordinary income available for distribution. The fund used capital loss carryforwards of $12,835,000 to offset taxable capital gains realized during the year ended December 31, 2014. At December 31, 2014, the fund had available capital losses totaling $356,427,000 to offset future net capital gains. Of this amount, $333,377,000 is subject to expiration on December 31, 2017. Capital losses of $23,050,000 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.
At December 31, 2014, the cost of investment securities for tax purposes was $28,787,218,000. Net unrealized appreciation of investment securities for tax purposes was $7,664,071,000, consisting of unrealized gains of $8,229,342,000 on securities that had risen in value since their purchase and $565,271,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended December 31, 2014, the fund purchased $8,333,501,000 of investment securities and sold $3,752,676,000 of investment securities, other than temporary cash investments. Purchases and sales include $4,827,753,000 and $1,999,150,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
52
Value Index Fund
| G. Capital share transactions for each class of shares were: | ||||
| Year Ended December 31, | ||||
| 2014 | 2013 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| Investor Shares | ||||
| Issued | 261,517 | 8,495 | 263,619 | 9,878 |
| Issued in Lieu of Cash Distributions | 32,630 | 1,030 | 34,188 | 1,260 |
| Redeemed | (600,738) | (19,287) | (475,712) | (17,640) |
| Net Increase (Decrease)—Investor Shares | (306,591) | (9,762) | (177,905) | (6,502) |
| Admiral Shares | ||||
| Issued1 | 4,582,857 | 146,113 | 771,134 | 28,590 |
| Issued in Lieu of Cash Distributions | 146,426 | 4,589 | 95,406 | 3,504 |
| Redeemed | (814,040) | (25,922) | (450,308) | (16,740) |
| Net Increase (Decrease) —Admiral Shares | 3,915,243 | 124,780 | 416,232 | 15,354 |
| Signal Shares | ||||
| Issued | 430,803 | 13,612 | 887,826 | 31,864 |
| Issued in Lieu of Cash Distributions | 31,496 | 975 | 52,620 | 1,857 |
| Redeemed1 | (3,532,989) | (108,917) | (669,068) | (23,672) |
| Net Increase (Decrease)—Signal Shares | (3,070,690) | (94,330) | 271,378 | 10,049 |
| Institutional Shares | ||||
| Issued | 1,577,334 | 50,613 | 1,337,495 | 50,315 |
| Issued in Lieu of Cash Distributions | 163,170 | 5,138 | 132,013 | 4,850 |
| Redeemed | (1,039,590) | (33,119) | (795,159) | (29,718) |
| Net Increase (Decrease) —Institutional Shares | 700,914 | 22,632 | 674,349 | 25,447 |
| ETF Shares | ||||
| Issued | 5,343,205 | 66,443 | 4,102,875 | 61,095 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (2,026,215) | (25,100) | (1,208,523) | (17,400) |
| Net Increase (Decrease)—ETF Shares | 3,316,990 | 41,343 | 2,894,352 | 43,695 |
1 Admiral Shares Issued and Signal Shares Redeemed include $2,591,331,000 from the conversion of Signal Shares to Admiral Shares during the 2014 fiscal year.
H. Management has determined that no material events or transactions occurred subsequent to December 31, 2014, that would require recognition or disclosure in these financial statements.
53
| Large-Cap Index Fund | ||||
| Fund Profile | ||||
| As of December 31, 2014 | ||||
| Share-Class Characteristics | ||||
| Investor | Admiral | Institutional | ||
| Shares | Shares | Shares | ETF Shares | |
| Ticker Symbol | VLACX | VLCAX | VLISX | VV |
| Expense Ratio1 | 0.24% | 0.09% | 0.08% | 0.09% |
| 30-Day SEC Yield | 1.71% | 1.85% | 1.86% | 1.85% |
| Portfolio Characteristics | |||
| DJ | |||
| U.S. | |||
| Total | |||
| CRSP US | Market | ||
| Large Cap | FA | ||
| Fund | Index | Index | |
| Number of Stocks | 663 | 663 | 3,776 |
| Median Market Cap | $68.1B | $67.9B | $48.1B |
| Price/Earnings Ratio | 19.7x | 19.7x | 20.6x |
| Price/Book Ratio | 2.8x | 2.8x | 2.7x |
| Return on Equity | 19.0% | 18.8% | 17.8% |
| Earnings Growth | |||
| Rate | 15.5% | 15.3% | 15.4% |
| Dividend Yield | 1.9% | 1.9% | 1.9% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | 3% | — | — |
| Short-Term Reserves | -0.1% | — | — |
Sector Diversification (% of equity exposure)
| DJ | |||
| CRSP US U.S. Total | |||
| Large Cap | Market | ||
| Fund | Index FA Index | ||
| Basic Materials | 2.6% | 2.6% | 2.8% |
| Consumer Goods | 10.3 | 10.3 | 9.9 |
| Consumer Services | 13.7 | 13.7 | 13.6 |
| Financials | 18.1 | 18.2 | 19.0 |
| Health Care | 13.5 | 13.5 | 13.5 |
| Industrials | 11.6 | 11.5 | 12.6 |
| Oil & Gas | 8.1 | 8.1 | 7.5 |
| Technology | 16.5 | 16.5 | 15.8 |
| Telecommunications | 2.3 | 2.3 | 2.0 |
| Utilities | 3.3 | 3.3 | 3.3 |
| Volatility Measures | |||
| DJ | |||
| Spliced | U.S. Total | ||
| Large Cap | Market | ||
| Index | FA Index | ||
| R-Squared | 1.00 | 0.99 | |
| Beta | 1.00 | 0.97 | |
| These measures show the degree and timing of the fund’s | |||
| fluctuations compared with the indexes over 36 months. | |||
| Ten Largest Holdings (% of total net assets) | |||
| Apple Inc. | Computer Hardware | 3.3% | |
| Exxon Mobil Corp. | Integrated Oil & Gas | 2.0 | |
| Microsoft Corp. | Software | 1.8 | |
| Google Inc. | Internet | 1.6 | |
| Johnson & Johnson | Pharmaceuticals | 1.5 | |
| Wells Fargo & Co. | Banks | 1.5 | |
| Berkshire Hathaway Inc. Reinsurance | 1.4 | ||
| General Electric Co. | Diversified Industrials | 1.3 | |
| Procter & Gamble Co. | Nondurable | ||
| Household Products | 1.3 | ||
| JPMorgan Chase & Co. | Banks | 1.2 | |
| Top Ten | 16.9% | ||
| 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 fiscal year ended December 31, 2014, the expense ratios were 0.23% for Investor Shares, 0.09% for Admiral Shares, 0.08% for Institutional Shares, and 0.09% for ETF Shares.
54
Large-Cap Index Fund
Investment Focus
55
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.
Cumulative Performance: December 31, 2004, Through December 31, 2014
Initial Investment of $10,000
| Average Annual Total Returns | |||||
| Periods Ended December 31, 2014 | |||||
| Final Value | |||||
| One | Five | Ten | of a $10,000 | ||
| Year | Years | Years | Investment | ||
| Large-Cap Index Fund*Investor | |||||
| Shares | 13.24% | 15.32% | 7.87% | $21,328 | |
| •••••••• | Spliced Large Cap Index | 13.47 | 15.57 | 8.05 | 21,689 |
| – – – – | Large-Cap Core Funds Average | 11.32 | 13.51 | 6.46 | 18,705 |
| Dow Jones U.S. Total Stock Market | |||||
| Float Adjusted Index | 12.47 | 15.72 | 8.09 | 21,779 | |
| For a benchmark description, see the Glossary. | |||||
| Large-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |||||
| Final Value | |||||
| One | Five | Ten | of a $10,000 | ||
| Year | Years | Years | Investment | ||
| Large-Cap Index Fund Admiral Shares | 13.38% | 15.48% | 8.00% | $21,586 | |
| Spliced Large Cap Index | 13.47 | 15.57 | 8.05 | 21,689 | |
| Dow Jones U.S. Total Stock Market Float | |||||
| Adjusted Index | 12.47 | 15.72 | 8.09 | 21,779 | |
See Financial Highlights for dividend and capital gains information.
56
| Large-Cap Index Fund | ||||
| Average Annual Total Returns | ||||
| Periods Ended December 31, 2014 | ||||
| Since | Final Value | |||
| One | Five | Inception | of a $5,000,000 | |
| Year | Years | (6/30/2005) | Investment | |
| Large-Cap Index Fund Institutional Shares | 13.41% | 15.51% | 8.47% | $10,825,483 |
| Spliced Large Cap Index | 13.47 | 15.57 | 8.49 | 10,847,800 |
| Dow Jones U.S. Total Stock Market Float | ||||
| Adjusted Index | 12.47 | 15.72 | 8.53 | 10,884,433 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.
| Final Value | ||||
| One | Five | Ten | of a $10,000 | |
| Year | Years | Years | Investment | |
| Large-Cap Index Fund | ||||
| ETF Shares Net Asset Value | 13.39% | 15.49% | 8.02% | $21,620 |
| Spliced Large Cap Index | 13.47 | 15.57 | 8.05 | 21,689 |
| Dow Jones U.S. Total Stock Market Float | ||||
| Adjusted Index | 12.47 | 15.72 | 8.09 | 21,779 |
| Cumulative Returns of ETF Shares: December 31, 2004, Through December 31, 2014 | ||||
| One | Five | Ten | ||
| Year | Years | Years | ||
| Large-Cap Index Fund ETF Shares Market Price | 13.40% | 105.42% | 115.83% | |
| Large-Cap Index Fund ETF Shares Net Asset Value | 13.39 | 105.41 | 116.20 | |
| Spliced Large Cap Index | 13.47 | 106.20 | 116.89 | |
57
Large-Cap Index Fund
Financial Statements
Statement of Net Assets
As of December 31, 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 (2.6%) | |||
| EI du Pont de Nemours | |||
| & Co. | 465,638 | 34,429 | |
| Dow Chemical Co. | 605,760 | 27,629 | |
| Praxair Inc. | 149,806 | 19,409 | |
| LyondellBasell Industries | |||
| NV Class A | 205,909 | 16,347 | |
| PPG Industries Inc. | 70,567 | 16,312 | |
| Ecolab Inc. | 138,894 | 14,517 | |
| Air Products & | |||
| Chemicals Inc. | 98,903 | 14,265 | |
| Freeport-McMoRan Inc. | 534,153 | 12,478 | |
| International Paper Co. | 217,706 | 11,665 | |
| Alcoa Inc. | 606,045 | 9,569 | |
| Sigma-Aldrich Corp. | 61,303 | 8,415 | |
| Nucor Corp. | 164,018 | 8,045 | |
| Mosaic Co. | 164,466 | 7,508 | |
| CF Industries Holdings Inc. | 25,572 | 6,969 | |
| Eastman Chemical Co. | 68,767 | 5,217 | |
| Newmont Mining Corp. | 255,697 | 4,833 | |
| Celanese Corp. Class A | 79,286 | 4,754 | |
| Ashland Inc. | 35,616 | 4,265 | |
| International Flavors & | |||
| Fragrances Inc. | 41,686 | 4,225 | |
| Airgas Inc. | 34,631 | 3,989 | |
| CONSOL Energy Inc. | 117,770 | 3,982 | |
| FMC Corp. | 68,106 | 3,884 | |
| * | WR Grace & Co. | 35,971 | 3,431 |
| Avery Dennison Corp. | 46,753 | 2,426 | |
| Huntsman Corp. | 106,473 | 2,425 | |
| Albemarle Corp. | 39,900 | 2,399 | |
| Reliance Steel & | |||
| Aluminum Co. | 37,987 | 2,327 | |
| Westlake Chemical Corp. | 20,536 | 1,255 | |
| Peabody Energy Corp. | 70,015 | 542 | |
| 257,511 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Consumer Goods (10.3%) | |||
| Procter & Gamble Co. | 1,389,025 | 126,526 | |
| Coca-Cola Co. | 2,026,466 | 85,557 | |
| PepsiCo Inc. | 769,279 | 72,743 | |
| Philip Morris | |||
| International Inc. | 798,685 | 65,053 | |
| Altria Group Inc. | 1,016,009 | 50,059 | |
| NIKE Inc. Class B | 351,505 | 33,797 | |
| Colgate-Palmolive Co. | 468,537 | 32,418 | |
| Ford Motor Co. | 1,942,005 | 30,101 | |
| Mondelez International Inc. | |||
| Class A | 820,428 | 29,802 | |
| Monsanto Co. | 248,847 | 29,730 | |
| General Motors Co. | 660,800 | 23,069 | |
| Kimberly-Clark Corp. | 191,554 | 22,132 | |
| Kraft Foods Group Inc. | 302,651 | 18,964 | |
| Archer-Daniels-Midland Co. | 331,029 | 17,213 | |
| Johnson Controls Inc. | 342,521 | 16,557 | |
| General Mills Inc. | 310,298 | 16,548 | |
| VF Corp. | 177,626 | 13,304 | |
| Lorillard Inc. | 185,139 | 11,653 | |
| Delphi Automotive plc | 152,115 | 11,062 | |
| Reynolds American Inc. | 163,930 | 10,536 | |
| Mead Johnson | |||
| Nutrition Co. | 103,912 | 10,447 | |
| * | Tesla Motors Inc. | 45,110 | 10,033 |
| Estee Lauder Cos. Inc. | |||
| Class A | 118,926 | 9,062 | |
| * | Monster Beverage Corp. | 77,577 | 8,405 |
| Kellogg Co. | 127,683 | 8,356 | |
| Keurig Green Mountain Inc. 62,429 | 8,265 | ||
| * | Constellation Brands Inc. | ||
| Class A | 82,798 | 8,128 | |
| Genuine Parts Co. | 74,819 | 7,973 | |
| ConAgra Foods Inc. | 218,422 | 7,924 | |
| Whirlpool Corp. | 40,013 | 7,752 | |
| Stanley Black & Decker Inc. 80,557 | 7,740 | ||
| Hershey Co. | 74,213 | 7,713 | |
| * | Michael Kors Holdings Ltd. | 100,584 | 7,554 |
| Harley-Davidson Inc. | 110,082 | 7,255 | |
58
| Large-Cap Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Dr Pepper Snapple | |||
| Group Inc. | 99,819 | 7,155 | |
| * | Electronic Arts Inc. | 151,984 | 7,146 |
| Clorox Co. | 66,614 | 6,942 | |
| Bunge Ltd. | 71,038 | 6,458 | |
| BorgWarner Inc. | 116,863 | 6,422 | |
| Tyson Foods Inc. Class A | 157,101 | 6,298 | |
| * | Under Armour Inc. Class A | 90,557 | 6,149 |
| Ralph Lauren Corp. Class A | 31,603 | 5,852 | |
| * | TRW Automotive | ||
| Holdings Corp. | 56,791 | 5,841 | |
| Hanesbrands Inc. | 51,429 | 5,740 | |
| Molson Coors Brewing Co. | |||
| Class B | 74,819 | 5,576 | |
| PVH Corp. | 42,428 | 5,438 | |
| Church & Dwight Co. Inc. | 68,816 | 5,423 | |
| Mattel Inc. | 174,216 | 5,391 | |
| Coach Inc. | 141,666 | 5,321 | |
| Newell Rubbermaid Inc. | 139,335 | 5,307 | |
| Activision Blizzard Inc. | 258,788 | 5,215 | |
| JM Smucker Co. | 49,584 | 5,007 | |
| * | Mohawk Industries Inc. | 31,860 | 4,950 |
| Coca-Cola Enterprises Inc. | 111,744 | 4,941 | |
| Brown-Forman Corp. Class B 53,108 | 4,665 | ||
| Polaris Industries Inc. | 30,792 | 4,657 | |
| Campbell Soup Co. | 104,683 | 4,606 | |
| * | Jarden Corp. | 93,706 | 4,487 |
| McCormick & Co. Inc. | 57,124 | 4,244 | |
| DR Horton Inc. | 167,758 | 4,243 | |
| Energizer Holdings Inc. | 31,922 | 4,104 | |
| Lear Corp. | 40,731 | 3,995 | |
| Lennar Corp. Class A | 88,837 | 3,981 | |
| * | LKQ Corp. | 140,217 | 3,943 |
| PulteGroup Inc. | 171,522 | 3,681 | |
| Leucadia National Corp. | 159,977 | 3,587 | |
| Hormel Foods Corp. | 67,545 | 3,519 | |
| Hasbro Inc. | 58,495 | 3,217 | |
| * | WABCO Holdings Inc. | 30,244 | 3,169 |
| * | NVR Inc. | 1,999 | 2,549 |
| * | lululemon athletica Inc. | 43,719 | 2,439 |
| * | Fossil Group Inc. | 20,958 | 2,321 |
| Avon Products Inc. | 221,357 | 2,079 | |
| * | Pilgrim’s Pride Corp. | 26,609 | 873 |
| Coty Inc. Class A | 40,224 | 831 | |
| Herbalife Ltd. | 16,505 | 622 | |
| * | GoPro Inc. Class A | 7,979 | 504 |
| Lennar Corp. Class B | 985 | 36 | |
| 1,022,355 | |||
| Consumer Services (13.6%) | |||
| Walt Disney Co. | 784,515 | 73,894 | |
| Wal-Mart Stores Inc. | 828,271 | 71,132 | |
| Home Depot Inc. | 677,405 | 71,107 | |
| Comcast Corp. Class A | 1,028,021 | 59,636 | |
| * | Amazon.com Inc. | 190,408 | 59,093 |
| CVS Health Corp. | 589,304 | 56,756 | |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| McDonald’s Corp. | 500,204 | 46,869 | |
| Time Warner Inc. | 409,402 | 34,971 | |
| Lowe’s Cos. Inc. | 507,373 | 34,907 | |
| Twenty-First Century Fox | |||
| Inc. Class A | 875,521 | 33,624 | |
| * | Walgreens Boots | ||
| Alliance Inc. | 437,413 | 33,331 | |
| * | eBay Inc. | 574,814 | 32,259 |
| Costco Wholesale Corp. | 225,078 | 31,905 | |
| * | Priceline Group Inc. | 26,923 | 30,698 |
| Starbucks Corp. | 365,502 | 29,989 | |
| Target Corp. | 327,482 | 24,859 | |
| McKesson Corp. | 119,204 | 24,744 | |
| TJX Cos. Inc. | 338,373 | 23,206 | |
| * | DIRECTV | 258,255 | 22,391 |
| Time Warner Cable Inc. | 144,203 | 21,928 | |
| Delta Air Lines Inc. | 430,185 | 21,161 | |
| American Airlines | |||
| Group Inc. | 368,477 | 19,761 | |
| Comcast Corp. | 291,422 | 16,776 | |
| Yum! Brands Inc. | 225,061 | 16,396 | |
| Kroger Co. | 239,887 | 15,403 | |
| Southwest Airlines Co. | 348,859 | 14,764 | |
| Viacom Inc. Class B | 189,043 | 14,226 | |
| Cardinal Health Inc. | 170,074 | 13,730 | |
| CBS Corp. Class B | 235,570 | 13,036 | |
| * | United Continental | ||
| Holdings Inc. | 189,681 | 12,688 | |
| Sysco Corp. | 302,286 | 11,998 | |
| Las Vegas Sands Corp. | 206,081 | 11,986 | |
| Macy’s Inc. | 181,533 | 11,936 | |
| L Brands Inc. | 127,776 | 11,059 | |
| * | Dollar General Corp. | 156,002 | 11,029 |
| * | Chipotle Mexican Grill Inc. | ||
| Class A | 15,942 | 10,912 | |
| * | AutoZone Inc. | 16,465 | 10,194 |
| * | Netflix Inc. | 29,426 | 10,052 |
| Omnicom Group Inc. | 127,572 | 9,883 | |
| Carnival Corp. | 213,286 | 9,668 | |
| Ross Stores Inc. | 102,381 | 9,650 | |
| AmerisourceBergen Corp. | |||
| Class A | 106,773 | 9,627 | |
| * | O’Reilly Automotive Inc. | 49,468 | 9,529 |
| Whole Foods Market Inc. | 185,081 | 9,332 | |
| Marriott International Inc. | |||
| Class A | 101,889 | 7,950 | |
| * | DISH Network Corp. | ||
| Class A | 108,689 | 7,922 | |
| Starwood Hotels & Resorts | |||
| Worldwide Inc. | 91,722 | 7,436 | |
| * | CarMax Inc. | 110,632 | 7,366 |
| * | Dollar Tree Inc. | 100,151 | 7,049 |
| * | Charter Communications | ||
| Inc. Class A | 42,189 | 7,030 | |
| Nielsen NV | 156,769 | 7,012 |
59
| Large-Cap Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Bed Bath & Beyond Inc. | 90,450 | 6,890 |
| * | Liberty Interactive Corp. | ||
| Class A | 218,301 | 6,422 | |
| Wynn Resorts Ltd. | 41,769 | 6,214 | |
| Royal Caribbean | |||
| Cruises Ltd. | 74,477 | 6,139 | |
| Kohl’s Corp. | 99,943 | 6,101 | |
| Tiffany & Co. | 56,616 | 6,050 | |
| Staples Inc. | 329,497 | 5,971 | |
| Advance Auto Parts Inc. | 37,426 | 5,961 | |
| Best Buy Co. Inc. | 152,784 | 5,956 | |
| Nordstrom Inc. | 74,256 | 5,895 | |
| Tractor Supply Co. | 69,867 | 5,507 | |
| Wyndham Worldwide Corp. | 63,286 | 5,427 | |
| Signet Jewelers Ltd. | 41,197 | 5,420 | |
| * | Hilton Worldwide | ||
| Holdings Inc. | 202,393 | 5,280 | |
| Gap Inc. | 122,945 | 5,177 | |
| * | Hertz Global Holdings Inc. | 207,140 | 5,166 |
| H&R Block Inc. | 141,474 | 4,765 | |
| * | Discovery | ||
| Communications Inc. | 140,218 | 4,728 | |
| Interpublic Group of | |||
| Cos. Inc. | 215,638 | 4,479 | |
| Expedia Inc. | 49,849 | 4,255 | |
| * | TripAdvisor Inc. | 56,616 | 4,227 |
| PetSmart Inc. | 51,141 | 4,158 | |
| Safeway Inc. | 118,004 | 4,144 | |
| * | Ulta Salon Cosmetics & | ||
| Fragrance Inc. | 31,509 | 4,028 | |
| * | MGM Resorts International | 188,211 | 4,024 |
| Family Dollar Stores Inc. | 49,971 | 3,958 | |
| * | Sirius XM Holdings Inc. 1,130,386 | 3,956 | |
| * | IHS Inc. Class A | 33,342 | 3,797 |
| * | News Corp. Class A | 239,990 | 3,765 |
| * | Liberty Media Corp. | 105,858 | 3,708 |
| Darden Restaurants Inc. | 61,388 | 3,599 | |
| Williams-Sonoma Inc. | 43,129 | 3,264 | |
| Scripps Networks | |||
| Interactive Inc. Class A | 39,555 | 2,977 | |
| FactSet Research | |||
| Systems Inc. | 20,418 | 2,874 | |
| * | Discovery Communications | ||
| Inc. Class A | 75,997 | 2,618 | |
| Aramark | 77,799 | 2,423 | |
| * | AutoNation Inc. | 37,779 | 2,282 |
| Foot Locker Inc. | 37,210 | 2,090 | |
| * | Sprouts Farmers | ||
| Market Inc. | 53,960 | 1,834 | |
| * | Urban Outfitters Inc. | 51,754 | 1,818 |
| Twenty-First Century | |||
| Fox Inc. | 48,091 | 1,774 | |
| * | Norwegian Cruise Line | ||
| Holdings Ltd. | 36,559 | 1,710 | |
| Market | ||||
| Value | ||||
| Shares | ($000) | |||
| * | Liberty Media Corp. | |||
| Class A | 48,401 | 1,707 | ||
| * | Hyatt Hotels Corp. Class A | 19,101 | 1,150 | |
| Extended Stay America Inc. | 26,368 | 509 | ||
| * | zulily Inc. Class A | 12,071 | 282 | |
| * | News Corp. Class B | 12,020 | 181 | |
| CBS Corp. Class A | 2,867 | 162 | ||
| Viacom Inc. Class A | 985 | 74 | ||
| 1,358,756 | ||||
| Financials (18.1%) | ||||
| Wells Fargo & Co. | 2,666,715 | 146,189 | ||
| * | Berkshire Hathaway Inc. |
| Class B | 937,202 | 140,721 |
| JPMorgan Chase & Co. | 1,921,530 | 120,249 |
| Bank of America Corp. | 5,405,977 | 96,713 |
| Citigroup Inc. | 1,479,446 | 80,053 |
| Visa Inc. Class A | 253,534 | 66,477 |
| American Express Co. | 531,793 | 49,478 |
| MasterCard Inc. Class A | 514,937 | 44,367 |
| US Bancorp | 919,816 | 41,346 |
| Goldman Sachs Group Inc. | 212,036 | 41,099 |
| American International | ||
| Group Inc. | 719,591 | 40,304 |
| Simon Property Group Inc. | 161,586 | 29,426 |
| Morgan Stanley | 754,685 | 29,282 |
| MetLife Inc. | 467,223 | 25,272 |
| PNC Financial Services | ||
| Group Inc. | 270,507 | 24,678 |
| Capital One Financial Corp. | 285,755 | 23,589 |
| Bank of New York | ||
| Mellon Corp. | 579,236 | 23,500 |
| Prudential Financial Inc. | 234,446 | 21,208 |
| American Tower | ||
| Corporation | 203,817 | 20,147 |
| BlackRock Inc. | 55,189 | 19,733 |
| ACE Ltd. | 161,994 | 18,610 |
| Charles Schwab Corp. | 604,032 | 18,236 |
| Travelers Cos. Inc. | 170,297 | 18,026 |
| State Street Corp. | 203,843 | 16,002 |
| Marsh & McLennan | ||
| Cos. Inc. | 278,026 | 15,914 |
| Discover Financial Services | 233,098 | 15,266 |
| Allstate Corp. | 215,623 | 15,147 |
| CME Group Inc. | 164,537 | 14,586 |
| BB&T Corp. | 370,321 | 14,402 |
| Public Storage | 75,554 | 13,966 |
| Aon plc | 146,566 | 13,899 |
| Aflac Inc. | 220,272 | 13,456 |
| Crown Castle | ||
| International Corp. | 170,924 | 13,452 |
| Equity Residential | 186,272 | 13,382 |
| Health Care REIT Inc. | 168,444 | 12,746 |
| Intercontinental | ||
| Exchange Inc. | 58,045 | 12,729 |
| Ameriprise Financial Inc. | 94,852 | 12,544 |
60
| Large-Cap Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Chubb Corp. | 121,151 | 12,535 | |
| McGraw Hill Financial Inc. | 139,606 | 12,422 | |
| Franklin Resources Inc. | 208,069 | 11,521 | |
| SunTrust Banks Inc. | 268,015 | 11,230 | |
| AvalonBay | |||
| Communities Inc. | 67,948 | 11,102 | |
| Prologis Inc. | 257,040 | 11,060 | |
| T. Rowe Price Group Inc. | 126,616 | 10,871 | |
| Ventas Inc. | 151,294 | 10,848 | |
| HCP Inc. | 236,129 | 10,397 | |
| Moody’s Corp. | 107,196 | 10,270 | |
| Vornado Realty Trust | 86,918 | 10,231 | |
| Boston Properties Inc. | 78,757 | 10,135 | |
| Weyerhaeuser Co. | 269,488 | 9,672 | |
| Host Hotels & Resorts Inc. | 389,333 | 9,254 | |
| Hartford Financial | |||
| Services Group Inc. | 221,802 | 9,247 | |
| Invesco Ltd. | 221,052 | 8,736 | |
| Fifth Third Bancorp | 423,563 | 8,630 | |
| General Growth | |||
| Properties Inc. | 295,476 | 8,312 | |
| Principal Financial | |||
| Group Inc. | 150,526 | 7,818 | |
| Progressive Corp. | 287,694 | 7,765 | |
| Northern Trust Corp. | 115,087 | 7,757 | |
| Lincoln National Corp. | 133,389 | 7,693 | |
| M&T Bank Corp. | 61,161 | 7,683 | |
| Regions Financial Corp. | 707,655 | 7,473 | |
| Essex Property Trust Inc. | 32,874 | 6,792 | |
| Loews Corp. | 153,815 | 6,463 | |
| KeyCorp | 445,280 | 6,189 | |
| * | Affiliated Managers | ||
| Group Inc. | 28,600 | 6,070 | |
| Macerich Co. | 72,401 | 6,039 | |
| SL Green Realty Corp. | 49,667 | 5,911 | |
| Realty Income Corp. | 114,171 | 5,447 | |
| Annaly Capital | |||
| Management Inc. | 485,337 | 5,246 | |
| Kimco Realty Corp. | 200,919 | 5,051 | |
| Equifax Inc. | 62,158 | 5,027 | |
| * | CBRE Group Inc. Class A | 145,461 | 4,982 |
| * | Ally Financial Inc. | 209,646 | 4,952 |
| Western Union Co. | 268,666 | 4,812 | |
| Federal Realty | |||
| Investment Trust | 35,068 | 4,680 | |
| FNF Group | 135,259 | 4,660 | |
| * | Markel Corp. | 6,817 | 4,655 |
| Digital Realty Trust Inc. | 69,729 | 4,623 | |
| XL Group plc Class A | 132,588 | 4,557 | |
| Navient Corp. | 210,791 | 4,555 | |
| Unum Group | 129,995 | 4,534 | |
| TD Ameritrade | |||
| Holding Corp. | 125,924 | 4,506 | |
| CIT Group Inc. | 93,983 | 4,495 | |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Huntington Bancshares Inc. | 417,236 | 4,389 | |
| Comerica Inc. | 92,401 | 4,328 | |
| American Realty Capital | |||
| Properties Inc. | 475,430 | 4,303 | |
| Voya Financial Inc. | 101,314 | 4,294 | |
| Cincinnati Financial Corp. | 79,926 | 4,143 | |
| UDR Inc. | 131,282 | 4,046 | |
| American Capital | |||
| Agency Corp. | 180,985 | 3,951 | |
| Plum Creek Timber Co. Inc. | 90,301 | 3,864 | |
| Raymond James | |||
| Financial Inc. | 65,496 | 3,752 | |
| * | Arch Capital Group Ltd. | 62,987 | 3,723 |
| First Republic Bank | 70,983 | 3,700 | |
| Willis Group Holdings plc | 82,233 | 3,685 | |
| Torchmark Corp. | 66,065 | 3,579 | |
| Iron Mountain Inc. | 89,668 | 3,467 | |
| Jones Lang LaSalle Inc. | 23,112 | 3,465 | |
| New York Community | |||
| Bancorp Inc. | 214,970 | 3,440 | |
| * | Realogy Holdings Corp. | 75,057 | 3,339 |
| Lazard Ltd. Class A | 66,103 | 3,307 | |
| Alexandria Real Estate | |||
| Equities Inc. | 37,049 | 3,288 | |
| Camden Property Trust | 44,407 | 3,279 | |
| SEI Investments Co. | 77,004 | 3,083 | |
| Reinsurance Group of | |||
| America Inc. Class A | 35,124 | 3,078 | |
| Everest Re Group Ltd. | 17,434 | 2,969 | |
| Zions Bancorporation | 103,656 | 2,955 | |
| NASDAQ OMX Group Inc. | 60,730 | 2,913 | |
| Legg Mason Inc. | 52,775 | 2,817 | |
| PartnerRe Ltd. | 23,864 | 2,724 | |
| WR Berkley Corp. | 52,132 | 2,672 | |
| MSCI Inc. Class A | 54,641 | 2,592 | |
| Axis Capital Holdings Ltd. | 49,936 | 2,551 | |
| Hudson City Bancorp Inc. | 242,442 | 2,453 | |
| People’s United | |||
| Financial Inc. | 159,322 | 2,418 | |
| * | Genworth Financial Inc. | ||
| Class A | 253,018 | 2,151 | |
| LPL Financial Holdings Inc. | 43,724 | 1,948 | |
| * | Synchrony Financial | 63,939 | 1,902 |
| * | Alleghany Corp. | 3,983 | 1,846 |
| Brixmor Property Group Inc. | 60,907 | 1,513 | |
| * | Berkshire Hathaway Inc. | ||
| Class A | 6 | 1,356 | |
| Assurant Inc. | 18,169 | 1,243 | |
| Santander Consumer | |||
| USA Holdings Inc. | 53,780 | 1,055 | |
| Rayonier Inc. | 32,614 | 911 | |
| * | LendingClub Corp. | 27,698 | 701 |
| 1,806,295 |
61
| Large-Cap Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Health Care (13.5%) | |||
| Johnson & Johnson | 1,438,897 | 150,465 | |
| Pfizer Inc. | 3,238,813 | 100,889 | |
| Merck & Co. Inc. | 1,465,500 | 83,226 | |
| * | Gilead Sciences Inc. | 775,618 | 73,110 |
| Amgen Inc. | 391,084 | 62,296 | |
| AbbVie Inc. | 778,194 | 50,925 | |
| Bristol-Myers Squibb Co. | 852,706 | 50,335 | |
| UnitedHealth Group Inc. | 493,311 | 49,869 | |
| * | Celgene Corp. | 410,571 | 45,926 |
| * | Biogen Idec Inc. | 121,402 | 41,210 |
| Medtronic Inc. | 505,947 | 36,529 | |
| Eli Lilly & Co. | 515,179 | 35,542 | |
| * | Actavis plc | 136,261 | 35,075 |
| Abbott Laboratories | 774,061 | 34,848 | |
| Allergan Inc. | 153,145 | 32,557 | |
| * | Express Scripts Holding Co. 377,207 | 31,938 | |
| Thermo Fisher | |||
| Scientific Inc. | 205,721 | 25,775 | |
| Covidien plc | 220,554 | 22,558 | |
| Baxter International Inc. | 278,686 | 20,425 | |
| * | Alexion | ||
| Pharmaceuticals Inc. | 101,983 | 18,870 | |
| * | Anthem Inc. | 138,716 | 17,432 |
| Aetna Inc. | 180,720 | 16,053 | |
| * | Regeneron | ||
| Pharmaceuticals Inc. | 38,436 | 15,768 | |
| Stryker Corp. | 165,295 | 15,592 | |
| * | Vertex Pharmaceuticals Inc. 123,633 | 14,688 | |
| Cigna Corp. | 134,394 | 13,830 | |
| Becton Dickinson and Co. | 98,705 | 13,736 | |
| * | Illumina Inc. | 73,023 | 13,479 |
| * | HCA Holdings Inc. | 167,227 | 12,273 |
| Perrigo Co. plc | 71,946 | 12,026 | |
| Humana Inc. | 78,749 | 11,311 | |
| Zoetis Inc. | 257,787 | 11,093 | |
| * | Mylan Inc. | 192,476 | 10,850 |
| Zimmer Holdings Inc. | 87,150 | 9,885 | |
| * | Intuitive Surgical Inc. | 18,641 | 9,860 |
| St. Jude Medical Inc. | 147,022 | 9,561 | |
| * | Boston Scientific Corp. | 681,897 | 9,035 |
| * | DaVita HealthCare | ||
| Partners Inc. | 104,947 | 7,949 | |
| * | Edwards Lifesciences Corp. 55,037 | 7,011 | |
| * | BioMarin | ||
| Pharmaceutical Inc. | 75,808 | 6,853 | |
| CR Bard Inc. | 38,516 | 6,418 | |
| * | CareFusion Corp. | 104,899 | 6,225 |
| * | Mallinckrodt plc | 59,819 | 5,924 |
| * | Henry Schein Inc. | 43,347 | 5,902 |
| * | Incyte Corp. | 78,231 | 5,719 |
| * | Endo International plc | 74,987 | 5,408 |
| * | Hospira Inc. | 87,073 | 5,333 |
| Universal Health | |||
| Services Inc. Class B | 47,020 | 5,231 | |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Quest Diagnostics Inc. | 74,343 | 4,985 | |
| * | Jazz Pharmaceuticals plc | 29,616 | 4,849 |
| * | Laboratory Corp. of | ||
| America Holdings | 43,363 | 4,679 | |
| * | Waters Corp. | 40,834 | 4,603 |
| * | Varian Medical | ||
| Systems Inc. | 51,309 | 4,439 | |
| ResMed Inc. | 71,743 | 4,022 | |
| DENTSPLY | |||
| International Inc. | 72,569 | 3,866 | |
| * | Pharmacyclics Inc. | 31,078 | 3,800 |
| * | IDEXX Laboratories Inc. | 24,475 | 3,629 |
| * | Hologic Inc. | 121,817 | 3,257 |
| * | Envision Healthcare | ||
| Holdings Inc. | 66,054 | 2,291 | |
| Patterson Cos. Inc. | 45,604 | 2,194 | |
| * | Quintiles Transnational | ||
| Holdings Inc. | 36,115 | 2,126 | |
| * | Medivation Inc. | 18,882 | 1,881 |
| * | Salix Pharmaceuticals Ltd. | 15,648 | 1,799 |
| * | Intercept | ||
| Pharmaceuticals Inc. | 3,278 | 511 | |
| 1,339,744 | |||
| Industrials (11.6%) | |||
| General Electric Co. | 5,162,139 | 130,447 | |
| Union Pacific Corp. | 456,993 | 54,442 | |
| 3M Co. | 329,340 | 54,117 | |
| United Technologies Corp. | 445,057 | 51,182 | |
| Boeing Co. | 329,788 | 42,866 | |
| United Parcel Service Inc. | |||
| Class B | 361,026 | 40,135 | |
| Honeywell International Inc. | 382,353 | 38,205 | |
| Accenture plc Class A | 322,497 | 28,802 | |
| Caterpillar Inc. | 311,230 | 28,487 | |
| Lockheed Martin Corp. | 138,050 | 26,584 | |
| Danaher Corp. | 307,091 | 26,321 | |
| FedEx Corp. | 138,409 | 24,036 | |
| Emerson Electric Co. | 356,502 | 22,007 | |
| Automatic Data | |||
| Processing Inc. | 247,883 | 20,666 | |
| General Dynamics Corp. | 144,774 | 19,924 | |
| CSX Corp. | 513,827 | 18,616 | |
| Precision Castparts Corp. | 73,266 | 17,648 | |
| Norfolk Southern Corp. | 159,114 | 17,440 | |
| Raytheon Co. | 158,446 | 17,139 | |
| Eaton Corp. plc | 243,968 | 16,580 | |
| Deere & Co. | 184,218 | 16,298 | |
| Illinois Tool Works Inc. | 170,756 | 16,171 | |
| Northrop Grumman Corp. | 103,893 | 15,313 | |
| TE Connectivity Ltd. | 209,398 | 13,244 | |
| Cummins Inc. | 89,140 | 12,851 | |
| * | LinkedIn Corp. Class A | 55,689 | 12,792 |
| PACCAR Inc. | 182,030 | 12,380 | |
| Waste Management Inc. | 223,565 | 11,473 | |
| Sherwin-Williams Co. | 41,942 | 11,032 | |
62
| Large-Cap Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Parker-Hannifin Corp. | 76,441 | 9,857 | |
| * | Tyco International plc | 215,103 | 9,434 |
| Fidelity National Information | |||
| Services Inc. | 146,220 | 9,095 | |
| * | Alliance Data Systems Corp. | 31,233 | 8,934 |
| * | Fiserv Inc. | 125,364 | 8,897 |
| Ingersoll-Rand plc | 136,373 | 8,645 | |
| Amphenol Corp. Class A | 159,053 | 8,559 | |
| Roper Industries Inc. | 51,533 | 8,057 | |
| WW Grainger Inc. | 31,548 | 8,041 | |
| Rockwell Automation Inc. | 69,775 | 7,759 | |
| Paychex Inc. | 167,532 | 7,735 | |
| Xerox Corp. | 557,408 | 7,726 | |
| Agilent Technologies Inc. | 171,516 | 7,022 | |
| Kansas City Southern | 56,796 | 6,931 | |
| AMETEK Inc. | 126,461 | 6,656 | |
| Fastenal Co. | 136,693 | 6,501 | |
| Pentair plc | 95,996 | 6,376 | |
| Dover Corp. | 85,280 | 6,116 | |
| Rockwell Collins Inc. | 68,319 | 5,772 | |
| * | Stericycle Inc. | 43,699 | 5,728 |
| CH Robinson Worldwide Inc. | 75,139 | 5,627 | |
| Pall Corp. | 54,826 | 5,549 | |
| * | FleetCor Technologies Inc. | 36,616 | 5,445 |
| Textron Inc. | 127,647 | 5,375 | |
| * | United Rentals Inc. | 51,325 | 5,236 |
| Republic Services Inc. | |||
| Class A | 127,375 | 5,127 | |
| TransDigm Group Inc. | 25,682 | 5,043 | |
| L-3 Communications | |||
| Holdings Inc. | 39,316 | 4,962 | |
| * | Verisk Analytics Inc. Class A | 76,204 | 4,881 |
| Fluor Corp. | 80,439 | 4,877 | |
| Ball Corp. | 70,365 | 4,797 | |
| Masco Corp. | 183,169 | 4,616 | |
| * | Sensata Technologies | ||
| Holding NV | 86,816 | 4,550 | |
| Vulcan Materials Co. | 67,763 | 4,454 | |
| * | Mettler-Toledo | ||
| International Inc. | 14,673 | 4,438 | |
| Rock-Tenn Co. Class A | 71,928 | 4,386 | |
| Sealed Air Corp. | 103,031 | 4,372 | |
| Expeditors International of | |||
| Washington Inc. | 94,186 | 4,202 | |
| Flowserve Corp. | 70,026 | 4,190 | |
| Wabtec Corp. | 46,878 | 4,073 | |
| JB Hunt Transport | |||
| Services Inc. | 48,207 | 4,061 | |
| Towers Watson & Co. | |||
| Class A | 35,862 | 4,058 | |
| Robert Half International Inc. | 66,651 | 3,891 | |
| MeadWestvaco Corp. | 85,903 | 3,813 | |
| Cintas Corp. | 48,053 | 3,769 | |
| Martin Marietta Materials Inc. | 32,897 | 3,629 | |
| * | Crown Holdings Inc. | 71,033 | 3,616 |
| Market | ||||
| Value | ||||
| Shares | ($000) | |||
| Xylem Inc. | 93,739 | 3,569 | ||
| * | Trimble Navigation Ltd. | 133,101 | 3,532 | |
| ADT Corp. | 89,811 | 3,254 | ||
| * | B/E Aerospace Inc. | 54,081 | 3,138 | |
| * | Quanta Services Inc. | 109,261 | 3,102 | |
| Allison Transmission | ||||
| Holdings Inc. | 91,295 | 3,095 | ||
| Avnet Inc. | 70,522 | 3,034 | ||
| * | Jacobs Engineering | |||
| Group Inc. | 67,144 | 3,001 | ||
| * | Arrow Electronics Inc. | 49,759 | 2,881 | |
| Hubbell Inc. Class B | 26,699 | 2,852 | ||
| ManpowerGroup Inc. | 40,914 | 2,789 | ||
| Donaldson Co. Inc. | 71,106 | 2,747 | ||
| Joy Global Inc. | 50,457 | 2,347 | ||
| FLIR Systems Inc. | 72,468 | 2,341 | ||
| Chicago Bridge & | ||||
| Iron Co. NV | 55,115 | 2,314 | ||
| * | Colfax Corp. | 44,536 | 2,297 | |
| MDU Resources Group Inc. | 94,453 | 2,220 | ||
| Owens Corning | 57,189 | 2,048 | ||
| Fortune Brands Home & | ||||
| Security Inc. | 40,546 | 1,835 | ||
| * | Owens-Illinois Inc. | 42,427 | 1,145 | |
| AGCO Corp. | 20,120 | 909 | ||
| SPX Corp. | 9,463 | 813 | ||
| * | KLX Inc. | 13,453 | 555 | |
| 1,149,894 | ||||
| Oil & Gas (8.1%) | ||||
| Exxon Mobil Corp. | 2,176,763 | 201,242 | ||
| Chevron Corp. | 971,718 | 109,007 | ||
| Schlumberger Ltd. | 661,415 | 56,491 | ||
| ConocoPhillips | 632,830 | 43,703 | ||
| Kinder Morgan Inc. | 871,215 | 36,861 | ||
| Occidental Petroleum Corp. | 398,684 | 32,138 | ||
| EOG Resources Inc. | 281,798 | 25,945 | ||
| Anadarko Petroleum Corp. | 260,402 | 21,483 | ||
| Phillips 66 | 284,494 | 20,398 | ||
| Halliburton Co. | 413,797 | 16,275 | ||
| Williams Cos. Inc. | 345,845 | 15,542 | ||
| National Oilwell Varco Inc. | 221,376 | 14,507 | ||
| Valero Energy Corp. | 267,883 | 13,260 | ||
| Marathon Petroleum Corp. | 143,971 | 12,995 | ||
| Baker Hughes Inc. | 222,609 | 12,482 | ||
| Devon Energy Corp. | 199,788 | 12,229 | ||
| Apache Corp. | 193,499 | 12,127 | ||
| Pioneer Natural | ||||
| Resources Co. | 76,589 | 11,400 | ||
| Hess Corp. | 138,257 | 10,206 | ||
| Marathon Oil Corp. | 346,997 | 9,817 | ||
| Noble Energy Inc. | 186,010 | 8,822 | ||
| * | Cheniere Energy Inc. | 109,537 | 7,711 | |
| Cabot Oil & Gas Corp. | 212,283 | 6,286 | ||
| Chesapeake Energy Corp. | 307,729 | 6,022 | ||
| EQT Corp. | 77,970 | 5,902 | ||
63
| Large-Cap Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Concho Resources Inc. | 58,163 | 5,802 |
| * | FMC Technologies Inc. | 120,106 | 5,626 |
| * | Cameron International Corp. 101,436 | 5,067 | |
| * | Southwestern Energy Co. | 180,720 | 4,932 |
| Tesoro Corp. | 64,850 | 4,822 | |
| Cimarex Energy Co. | 44,933 | 4,763 | |
| Range Resources Corp. | 82,388 | 4,404 | |
| Murphy Oil Corp. | 86,771 | 4,384 | |
| * | Weatherford | ||
| International plc | 355,917 | 4,075 | |
| HollyFrontier Corp. | 100,554 | 3,769 | |
| OGE Energy Corp. | 102,494 | 3,636 | |
| Ensco plc Class A | 119,798 | 3,588 | |
| Helmerich & Payne Inc. | 52,562 | 3,544 | |
| Transocean Ltd. | 176,243 | 3,231 | |
| * | Dresser-Rand Group Inc. | 39,156 | 3,203 |
| Oceaneering | |||
| International Inc. | 53,889 | 3,169 | |
| * | Whiting Petroleum Corp. | 85,269 | 2,814 |
| Core Laboratories NV | 22,697 | 2,731 | |
| Energen Corp. | 37,722 | 2,405 | |
| Noble Corp. plc | 129,592 | 2,147 | |
| * | Continental Resources Inc. | 47,513 | 1,823 |
| ^ | Diamond Offshore | ||
| Drilling Inc. | 35,168 | 1,291 | |
| * | Antero Resources Corp. | 26,894 | 1,091 |
| QEP Resources Inc. | 46,345 | 937 | |
| Nabors Industries Ltd. | 70,960 | 921 | |
| * | Cobalt International | ||
| Energy Inc. | 85,169 | 757 | |
| Denbury Resources Inc. | 90,911 | 739 | |
| SM Energy Co. | 17,384 | 671 | |
| 809,193 | |||
| Technology (16.5%) | |||
| Apple Inc. | 3,014,957 | 332,791 | |
| Microsoft Corp. | 3,813,456 | 177,135 | |
| Intel Corp. | 2,485,597 | 90,202 | |
| * | Facebook Inc. Class A | 1,085,908 | 84,723 |
| International Business | |||
| Machines Corp. | 508,740 | 81,622 | |
| * | Google Inc. Class C | 148,277 | 78,053 |
| * | Google Inc. Class A | 146,409 | 77,693 |
| Oracle Corp. | 1,708,395 | 76,826 | |
| Cisco Systems Inc. | 2,628,650 | 73,116 | |
| QUALCOMM Inc. | 854,630 | 63,525 | |
| Hewlett-Packard Co. | 959,436 | 38,502 | |
| EMC Corp. | 1,046,054 | 31,110 | |
| Texas Instruments Inc. | 542,909 | 29,027 | |
| * | Yahoo! Inc. | 438,344 | 22,141 |
| * | Micron Technology Inc. | 551,890 | 19,322 |
| * | salesforce.com Inc. | 308,200 | 18,279 |
| * | Adobe Systems Inc. | 243,639 | 17,713 |
| * | Cognizant Technology | ||
| Solutions Corp. Class A | 313,043 | 16,485 | |
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Applied Materials Inc. | 625,888 | 15,597 | |
| Corning Inc. | 658,885 | 15,108 | |
| Avago Technologies Ltd. | |||
| Class A | 130,063 | 13,083 | |
| Intuit Inc. | 139,446 | 12,855 | |
| Western Digital Corp. | 113,404 | 12,554 | |
| Broadcom Corp. Class A | 278,645 | 12,074 | |
| SanDisk Corp. | 113,378 | 11,109 | |
| Seagate Technology plc | 159,809 | 10,627 | |
| * | Cerner Corp. | 158,052 | 10,220 |
| * | Twitter Inc. | 260,930 | 9,360 |
| Symantec Corp. | 354,765 | 9,101 | |
| Analog Devices Inc. | 161,608 | 8,972 | |
| Motorola Solutions Inc. | 111,299 | 7,466 | |
| Skyworks Solutions Inc. | 98,030 | 7,128 | |
| * | Autodesk Inc. | 116,616 | 7,004 |
| * | Red Hat Inc. | 96,917 | 6,701 |
| NetApp Inc. | 160,158 | 6,639 | |
| Lam Research Corp. | 81,624 | 6,476 | |
| Equinix Inc. | 28,239 | 6,403 | |
| KLA-Tencor Corp. | 84,639 | 5,952 | |
| Xilinx Inc. | 135,862 | 5,881 | |
| Altera Corp. | 156,663 | 5,787 | |
| Linear Technology Corp. | 122,305 | 5,577 | |
| * | Catamaran Corp. | 106,728 | 5,523 |
| * | Akamai Technologies Inc. | 86,937 | 5,474 |
| NVIDIA Corp. | 265,477 | 5,323 | |
| * | Citrix Systems Inc. | 82,726 | 5,278 |
| * | F5 Networks Inc. | 37,881 | 4,942 |
| CA Inc. | 160,099 | 4,875 | |
| Juniper Networks Inc. | 211,218 | 4,714 | |
| * | ServiceNow Inc. | 68,671 | 4,659 |
| Maxim Integrated | |||
| Products Inc. | 145,273 | 4,630 | |
| Computer Sciences Corp. | 72,199 | 4,552 | |
| Microchip Technology Inc. | 98,214 | 4,430 | |
| * | Workday Inc. Class A | 50,882 | 4,152 |
| * | ANSYS Inc. | 47,050 | 3,858 |
| Harris Corp. | 53,647 | 3,853 | |
| * | Gartner Inc. | 42,901 | 3,613 |
| * | VMware Inc. Class A | 43,333 | 3,576 |
| * | VeriSign Inc. | 62,170 | 3,544 |
| * | Synopsys Inc. | 79,719 | 3,465 |
| * | Teradata Corp. | 79,038 | 3,452 |
| Garmin Ltd. | 59,118 | 3,123 | |
| * | Splunk Inc. | 52,437 | 3,091 |
| Marvell Technology | |||
| Group Ltd. | 211,582 | 3,068 | |
| * | Rackspace Hosting Inc. | 59,073 | 2,765 |
| * | Palo Alto Networks Inc. | 17,531 | 2,149 |
| * | NetSuite Inc. | 17,693 | 1,932 |
| * | Nuance | ||
| Communications Inc. | 130,010 | 1,855 | |
| * | FireEye Inc. | 50,308 | 1,589 |
64
| Large-Cap Index Fund | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Cree Inc. | 30,763 | 991 |
| *,^ | 3D Systems Corp. | 27,253 | 896 |
| * | IMS Health Holdings Inc. | 34,236 | 878 |
| * | Premier Inc. Class A | 18,969 | 636 |
| 1,646,825 | |||
| Telecommunications (2.3%) | |||
| Verizon | |||
| Communications Inc. | 2,133,185 | 99,790 | |
| AT&T Inc. | 2,666,360 | 89,563 | |
| CenturyLink Inc. | 293,420 | 11,614 | |
| * | SBA Communications | ||
| Corp. Class A | 66,438 | 7,359 | |
| * | Level 3 | ||
| Communications Inc. | 138,238 | 6,826 | |
| * | T-Mobile US Inc. | 144,583 | 3,895 |
| Frontier | |||
| Communications Corp. | 515,139 | 3,436 | |
| Windstream Holdings Inc. | 308,991 | 2,546 | |
| * | Sprint Corp. | 404,043 | 1,677 |
| 226,706 | |||
| Utilities (3.3%) | |||
| Duke Energy Corp. | 363,604 | 30,375 | |
| NextEra Energy Inc. | 224,395 | 23,851 | |
| Dominion Resources Inc. | 300,200 | 23,085 | |
| Southern Co. | 462,626 | 22,720 | |
| Exelon Corp. | 441,836 | 16,383 | |
| American Electric | |||
| Power Co. Inc. | 251,546 | 15,274 | |
| Sempra Energy | 120,327 | 13,400 | |
| PG&E Corp. | 244,236 | 13,003 | |
| Spectra Energy Corp. | 344,988 | 12,523 | |
| PPL Corp. | 341,944 | 12,423 | |
| Edison International | 167,531 | 10,970 | |
| Public Service Enterprise | |||
| Group Inc. | 260,154 | 10,773 | |
| Consolidated Edison Inc. | 150,608 | 9,942 | |
| Xcel Energy Inc. | 260,008 | 9,339 | |
| Northeast Utilities | 162,912 | 8,719 | |
| FirstEnergy Corp. | 216,305 | 8,434 | |
| Entergy Corp. | 92,871 | 8,124 | |
| DTE Energy Co. | 90,773 | 7,840 | |
| NiSource Inc. | 162,302 | 6,885 | |
| Wisconsin Energy Corp. | 115,608 | 6,097 | |
| Ameren Corp. | 124,766 | 5,755 | |
| ONEOK Inc. | 107,104 | 5,333 | |
| CenterPoint Energy Inc. | 220,147 | 5,158 | |
| CMS Energy Corp. | 141,591 | 4,920 | |
| Market | ||
| Value | ||
| Shares | ($000) | |
| American Water | ||
| Works Co. Inc. | 91,906 | 4,899 |
| NRG Energy Inc. | 173,072 | 4,664 |
| AES Corp. | 329,892 | 4,543 |
| * Calpine Corp. | 200,268 | 4,432 |
| SCANA Corp. | 65,651 | 3,965 |
| Pinnacle West | ||
| Capital Corp. | 56,781 | 3,879 |
| Alliant Energy Corp. | 56,819 | 3,774 |
| Pepco Holdings Inc. | 128,787 | 3,468 |
| Integrys Energy Group Inc. | 41,047 | 3,196 |
| National Fuel Gas Co. | 41,008 | 2,851 |
| 330,997 | ||
| Total Common Stocks | ||
| (Cost $6,458,557) | 9,948,276 | |
| Temporary Cash Investments (0.1%)1 | ||
| Money Market Fund (0.1%) | ||
| 2,3 Vanguard Market Liquidity | ||
| Fund, 0.126% | 8,974,743 | 8,975 |
| Face | ||
| Amount | ||
| ($000) | ||
| U. | S. Government and Agency Obligations (0.0%) |
| 4 | Federal Home Loan Bank |
| Discount Notes, | |||
| 0.055%, 1/16/15 | 500 | 500 | |
| 4 | Federal Home Loan Bank | ||
| Discount Notes, | |||
| 0.100%, 2/4/15 | 1,000 | 1,000 | |
| 4,5 | Federal Home Loan Bank | ||
| Discount Notes, | |||
| 0.120%, 4/6/15 | 1,000 | 1,000 | |
| 2,500 | |||
| Total Temporary Cash Investments | |||
| (Cost $11,475) | 11,475 | ||
| Total Investments (100.0%) | |||
| (Cost $6,470,032) | 9,959,751 | ||
| Other Assets and Liabilities (0.0%) | |||
| Other Assets | 17,813 | ||
| Liabilities3 | (18,712) | ||
| (899) | |||
| Net Assets (100%) | 9,958,852 | ||
65
Large-Cap Index Fund
At December 31, 2014, net assets consisted of:
Amount
($000)
| Paid-in Capital | 6,509,207 |
| Overdistributed Net Investment Income | (4,056) |
| Accumulated Net Realized Losses | (35,885) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 3,489,719 |
| Futures Contracts | (133) |
| Net Assets | 9,958,852 |
| Investor Shares—Net Assets | |
| Applicable to 10,458,949 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 398,651 |
| Net Asset Value Per Share— | |
| Investor Shares | $38.12 |
| Admiral Shares—Net Assets | |
| Applicable to 64,727,175 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 3,084,553 |
| Net Asset Value Per Share— | |
| Admiral Shares | $47.65 |
| Institutional Shares—Net Assets | |
| Applicable to 4,368,909 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 856,906 |
| Net Asset Value Per Share— | |
| Institutional Shares | $196.14 |
| ETF Shares—Net Assets | |
| Applicable to 59,546,233 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 5,618,742 |
| Net Asset Value Per Share— | |
| ETF Shares | $94.36 |
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 $1,080,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund’s effective common stock and temporary cash investment positions represent 100.1% and -0.1%, 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 $1,119,000 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 $800,000 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.
66
| Large-Cap Index Fund | |
| Statement of Operations | |
| Year Ended | |
| December 31, 2014 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends | 177,059 |
| Interest1 | 30 |
| Securities Lending | 314 |
| Total Income | 177,403 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 1,405 |
| Management and Administrative—Investor Shares | 731 |
| Management and Administrative—Admiral Shares | 1,240 |
| Management and Administrative—Signal Shares | 209 |
| Management and Administrative—Institutional Shares | 318 |
| Management and Administrative—ETF Shares | 2,837 |
| Marketing and Distribution—Investor Shares | 91 |
| Marketing and Distribution—Admiral Shares | 266 |
| Marketing and Distribution—Signal Shares | 177 |
| Marketing and Distribution—Institutional Shares | 189 |
| Marketing and Distribution—ETF Shares | 731 |
| Custodian Fees | 143 |
| Auditing Fees | 36 |
| Shareholders’ Reports—Investor Shares | 12 |
| Shareholders’ Reports—Admiral Shares | 14 |
| Shareholders’ Reports—Signal Shares | 5 |
| Shareholders’ Reports—Institutional Shares | — |
| Shareholders’ Reports—ETF Shares | 92 |
| Trustees’ Fees and Expenses | 6 |
| Total Expenses | 8,502 |
| Net Investment Income | 168,901 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 74,020 |
| Futures Contracts | 4,883 |
| Realized Net Gain (Loss) | 78,903 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | 895,765 |
| Futures Contracts | (931) |
| Change in Unrealized Appreciation (Depreciation) | 894,834 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 1,142,638 |
| 1 Interest income from an affiliated company of the fund was $28,000. | |
| See accompanying Notes, which are an integral part of the Financial Statements. | |
67
| Large-Cap Index Fund | ||
| Statement of Changes in Net Assets | ||
| Year Ended December 31, | ||
| 2014 | 2013 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 168,901 | 143,299 |
| Realized Net Gain (Loss) | 78,903 | 391,897 |
| Change in Unrealized Appreciation (Depreciation) | 894,834 | 1,502,957 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 1,142,638 | 2,038,153 |
| Distributions | ||
| Net Investment Income | ||
| Investor Shares | (6,736) | (6,224) |
| Admiral Shares | (42,273) | (23,807) |
| Signal Shares | (8,303) | (15,483) |
| Institutional Shares | (15,380) | (16,340) |
| ETF Shares | (96,408) | (81,511) |
| Realized Capital Gain | ||
| Investor Shares | — | — |
| Admiral Shares | — | — |
| Signal Shares | — | — |
| Institutional Shares | — | — |
| ETF Shares | — | — |
| Total Distributions | (169,100) | (143,365) |
| Capital Share Transactions | ||
| Investor Shares | (34,285) | 11,281 |
| Admiral Shares | 1,404,615 | 146,933 |
| Signal Shares | (975,311) | 87,247 |
| Institutional Shares | 18,594 | (222,932) |
| ETF Shares | 361,077 | 55,403 |
| Net Increase (Decrease) from Capital Share Transactions | 774,690 | 77,932 |
| Total Increase (Decrease) | 1,748,228 | 1,972,720 |
| Net Assets | ||
| Beginning of Period | 8,210,624 | 6,237,904 |
| End of Period1 | 9,958,852 | 8,210,624 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($4,056,000) and ($3,857,000).
See accompanying Notes, which are an integral part of the Financial Statements.
68
| Large-Cap Index Fund | |||||
| Financial Highlights | |||||
| Investor Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $34.24 | $26.32 | $23.16 | $23.25 | $20.47 |
| Investment Operations | |||||
| Net Investment Income | . 624 | . 556 | . 521 | . 421 | . 372 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 3.879 | 7.921 | 3.159 | (.095) | 2.791 |
| Total from Investment Operations | 4.503 | 8.477 | 3.680 | .326 | 3.163 |
| Distributions | |||||
| Dividends from Net Investment Income | (.623) | (.557) | (. 520) | (. 416) | (. 383) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.623) | (.557) | (. 520) | (. 416) | (. 383) |
| Net Asset Value, End of Period | $38.12 | $34.24 | $26.32 | $23.16 | $23.25 |
| Total Return1 | 13.24% | 32.45% | 15.94% | 1.44% | 15.63% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $399 | $391 | $290 | $293 | $307 |
| Ratio of Total Expenses to Average Net Assets | 0.23% | 0.24% | 0.24% | 0.24% | 0.26% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 1.76% | 1.82% | 2.08% | 1.81% | 1.78% |
| Portfolio Turnover Rate2 | 3% | 9% | 8% | 7% | 8% |
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.
69
| Large-Cap Index Fund | |||||
| Financial Highlights | |||||
| Admiral Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $42.81 | $32.90 | $28.96 | $29.07 | $25.59 |
| Investment Operations | |||||
| Net Investment Income | . 846 | .752 | .698 | .569 | .503 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 4.839 | 9.909 | 3.939 | (.116) | 3.495 |
| Total from Investment Operations | 5.685 | 10.661 | 4.637 | .453 | 3.998 |
| Distributions | |||||
| Dividends from Net Investment Income | (.845) | (.751) | (.697) | (. 563) | (. 518) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.845) | (.751) | (.697) | (. 563) | (. 518) |
| Net Asset Value, End of Period | $47.65 | $42.81 | $32.90 | $28.96 | $29.07 |
| Total Return1 | 13.38% | 32.66% | 16.06% | 1.60% | 15.81% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $3,085 | $1,438 | $981 | $796 | $698 |
| Ratio of Total Expenses to Average Net Assets | 0.09% | 0.09% | 0.10% | 0.10% | 0.12% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 1.90% | 1.97% | 2.22% | 1.95% | 1.92% |
| Portfolio Turnover Rate2 | 3% | 9% | 8% | 7% | 8% |
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.
70
| Large-Cap Index Fund | |||||
| Financial Highlights | |||||
| Signal Shares | |||||
| Jan. 1, | |||||
| 2014, to | |||||
| Oct. 24, | Year Ended December 31, | ||||
| For a Share Outstanding Throughout Each Period | 20141 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $37.34 | $28.70 | $25.26 | $25.36 | $22.32 |
| Investment Operations | |||||
| Net Investment Income | . 568 | .656 | .609 | .495 | .440 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 2.341 | 8.641 | 3.438 | (.105) | 3.052 |
| Total from Investment Operations | 2.909 | 9.297 | 4.047 | .390 | 3.492 |
| Distributions | |||||
| Dividends from Net Investment Income | (.519) | (.657) | (.607) | (. 490) | (. 452) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.519) | (.657) | (.607) | (. 490) | (. 452) |
| Net Asset Value, End of Period | $39.731 | $37.34 | $28.70 | $25.26 | $25.36 |
| Total Return | 7.82% | 32.65% | 16.07% | 1.58% | 15.83% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $— | $925 | $637 | $520 | $381 |
| Ratio of Total Expenses to Average Net Assets | 0.09%2 | 0.09% | 0.10% | 0.10% | 0.12% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 1.85%2 | 1.97% | 2.22% | 1.95% | 1.92% |
| Portfolio Turnover Rate 3 | 3% | 9% | 8% | 7% | 8% |
1 Net asset value as of October 24, 2014, on which date the Signal Shares were converted to Admiral Shares.
| 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.
71
| Large-Cap Index Fund | |||||
| Financial Highlights | |||||
| Institutional Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $176.18 | $135.42 | $119.18 | $119.65 | $105.33 |
| Investment Operations | |||||
| Net Investment Income | 3.492 | 3.105 | 2.903 | 2.366 | 2.111 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 19.957 | 40.761 | 16.234 | (.499) | 14.383 |
| Total from Investment Operations | 23.449 | 43.866 | 19.137 | 1.867 | 16.494 |
| Distributions | |||||
| Dividends from Net Investment Income | (3.489) | (3.106) | (2.897) | (2.337) | (2.174) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (3.489) | (3.106) | (2.897) | (2.337) | (2.174) |
| Net Asset Value, End of Period | $196.14 | $176.18 | $135.42 | $119.18 | $119.65 |
| Total Return | 13.41% | 32.65% | 16.11% | 1.60% | 15.85% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $857 | $750 | $752 | $504 | $276 |
| Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 1.91% | 1.98% | 2.24% | 1.97% | 1.96% |
| Portfolio Turnover Rate1 | 3% | 9% | 8% | 7% | 8% |
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.
72
| Large-Cap Index Fund | |||||
| Financial Highlights | |||||
| ETF Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $84.76 | $65.15 | $57.34 | $57.56 | $50.67 |
| Investment Operations | |||||
| Net Investment Income | 1.672 | 1.488 | 1.383 | 1.126 | .996 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 9.599 | 19.610 | 7.807 | (. 234) | 6.920 |
| Total from Investment Operations | 11.271 | 21.098 | 9.190 | .892 | 7.916 |
| Distributions | |||||
| Dividends from Net Investment Income | (1.671) | (1.488) | (1.380) | (1.112) | (1.026) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.671) | (1.488) | (1.380) | (1.112) | (1.026) |
| Net Asset Value, End of Period | $94.36 | $84.76 | $65.15 | $57.34 | $57.56 |
| Total Return | 13.39% | 32.65% | 16.09% | 1.58% | 15.81% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $5,619 | $4,707 | $3,577 | $3,021 | $2,858 |
| Ratio of Total Expenses to Average Net Assets | 0.09% | 0.09% | 0.10% | 0.10% | 0.12% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 1.90% | 1.97% | 2.22% | 1.95% | 1.92% |
| Portfolio Turnover Rate1 | 3% | 9% | 8% | 7% | 8% |
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.
73
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 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. Prior to October 24, 2014, the fund offered Signal Shares. Effective at the close of business on October 24, 2014, the Signal Shares were converted to Admiral Shares.
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 settlement values 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).
74
Large-Cap Index Fund
During the year ended December 31, 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, 2011–2014), 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 December 31, 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.
75
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 invest up to 0.40% of its net assets in Vanguard. At December 31, 2014, the fund had contributed capital of $944,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.38% 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 December 31, 2014, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 9,948,276 | — | — |
| Temporary Cash Investments | 8,975 | 2,500 | — |
| Futures Contracts—Liabilities1 | (186) | — | — |
| Total | 9,957,065 | 2,500 | — |
| 1 Represents variation margin on the last day of the reporting period. |
76
Large-Cap Index Fund
D. At December 31, 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 | March 2015 | 165 | 16,932 | (133) |
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 year ended December 31, 2014, the fund realized $75,019,000 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.
For tax purposes, at December 31, 2014, the fund had $1,373,000 of ordinary income available for distribution. The fund used capital loss carryforwards of $14,737,000 to offset taxable capital gains realized during the year ended December 31, 2014. At December 31, 2014, the fund had available capital losses totaling $36,018,000 to offset future net capital gains. Of this amount, $24,177,000 is subject to expiration on December 31, 2018. Capital losses of $11,841,000 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.
At December 31, 2014, the cost of investment securities for tax purposes was $6,470,032,000. Net unrealized appreciation of investment securities for tax purposes was $3,489,719,000, consisting of unrealized gains of $3,607,416,000 on securities that had risen in value since their purchase and $117,697,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended December 31, 2014, the fund purchased $1,199,698,000 of investment securities and sold $406,530,000 of investment securities, other than temporary cash investments. Purchases and sales include $439,313,000 and $132,794,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
77
Large-Cap Index Fund
| G. Capital share transactions for each class of shares were: | ||||
| Year Ended December 31, | ||||
| 2014 | 2013 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| Investor Shares | ||||
| Issued | 106,030 | 2,965 | 113,753 | 3,731 |
| Issued in Lieu of Cash Distributions | 6,503 | 178 | 5,997 | 193 |
| Redeemed | (146,818) | (4,093) | (108,469) | (3,553) |
| Net Increase (Decrease)—Investor Shares | (34,285) | (950) | 11,281 | 371 |
| Admiral Shares | ||||
| Issued1 | 1,699,952 | 37,699 | 355,538 | 9,316 |
| Issued in Lieu of Cash Distributions | 35,505 | 772 | 20,643 | 532 |
| Redeemed | (330,842) | (7,335) | (229,248) | (6,081) |
| Net Increase (Decrease)—Admiral Shares | 1,404,615 | 31,136 | 146,933 | 3,767 |
| Signal Shares | ||||
| Issued | 114,250 | 3,015 | 254,147 | 7,619 |
| Issued in Lieu of Cash Distributions | 6,333 | 163 | 11,355 | 335 |
| Redeemed1 | (1,095,894) | (27,966) | (178,255) | (5,379) |
| Net Increase (Decrease)—Signal Shares | (975,311) | (24,788) | 87,247 | 2,575 |
| Institutional Shares | ||||
| Issued | 83,405 | 454 | 111,550 | 733 |
| Issued in Lieu of Cash Distributions | 12,519 | 67 | 14,858 | 94 |
| Redeemed | (77,330) | (408) | (349,340) | (2,125) |
| Net Increase (Decrease) —Institutional Shares | 18,594 | 113 | (222,932) | (1,298) |
| ETF Shares | ||||
| Issued | 504,034 | 5,617 | 316,306 | 4,133 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (142,957) | (1,600) | (260,903) | (3,500) |
| Net Increase (Decrease)—ETF Shares | 361,077 | 4,017 | 55,403 | 633 |
1 Admiral Shares Issued and Signal Shares Redeemed include $947,676,000, from the conversion of Signal Shares to Admiral Shares during the 2014 fiscal year.
H. Management has determined that no material events or transactions occurred subsequent to December 31, 2014, that would require recognition or disclosure in these financial statements.
78
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Vanguard Index Funds and the Shareholders of Vanguard Growth Index Fund, Vanguard Value Index Fund and Vanguard Large-Cap Index Fund:
In our opinion, the accompanying statements of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Growth Index Fund, Vanguard Value Index Fund and Vanguard Large-Cap Index Fund (constituting separate portfolios of Vanguard Index Funds, hereafter referred to as the “Funds”) at December 31, 2014, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2014 by correspondence with the custodians and brokers, by agreement to the underlying ownership records of the transfer agent and the application of alternative auditing procedures where securities purchased had not been received, provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 10, 2015
79
Special 2014 tax information (unaudited) for Vanguard U.S. Stock Index Funds (Large-Capitalization Portfolios)
This information for the fiscal year ended December 31, 2014, is included pursuant to provisions of the Internal Revenue Code.
The funds distributed qualified dividend income to shareholders during the fiscal year as follows:
| Fund | ($000) |
| Growth Index Fund | 490,694 |
| Value Index Fund | 756,356 |
| Large-Cap Index Fund | 169,100 |
For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends-received deduction is as follows:
| Fund | Percentage |
| Growth Index Fund | 88.7% |
| Value Index Fund | 100.0 |
| Large-Cap Index Fund | 96.6 |
80
Your Fund’s After-Tax Returns
This table presents returns for your fund both before and after taxes. The after-tax returns are shown in two ways: (1) assuming that an investor owned the fund during the entire period and paid taxes on the fund’s distributions, and (2) assuming that an investor paid taxes on the fund’s distributions and sold all shares at the end of each period.
Calculations are based on the highest individual federal income tax and capital gains tax rates in effect at the times of the distributions and the hypothetical sales. State and local taxes were not considered. After-tax returns reflect any qualified dividend income. (In the example, returns after the sale of fund shares may be higher than those assuming no sale. This occurs when the sale would have produced a capital loss. The calculation assumes that the investor received a tax deduction for the loss.)
The table shows returns for Investor Shares only; returns for other share classes will differ. Please note that your actual after-tax returns will depend on your tax situation and may differ from those shown. Also note that if you own the fund in a tax-deferred account, such as an individual retirement account or a 401(k) plan, this information does not apply to you. Such accounts are not subject to current taxes.
Finally, keep in mind that a fund’s performance—whether before or after taxes—does not guarantee future results.
Average Annual Total Returns: U.S. Stock Index Funds Large-Capitalization Portfolios
Periods Ended December 31, 2014
| One | Five | Ten | |
| Year | Years | Years | |
| Growth Index Fund Investor Shares | |||
| Returns Before Taxes | 13.47% | 15.83% | 8.50% |
| Returns After Taxes on Distributions | 13.15 | 15.58 | 8.30 |
| Returns After Taxes on Distributions and Sale of Fund Shares | 7.83 | 12.79 | 6.94 |
| One | Five | Ten | |
| Year | Years | Years | |
| Value Index Fund Investor Shares | |||
| Returns Before Taxes | 13.05% | 14.80% | 7.17% |
| Returns After Taxes on Distributions | 12.48 | 14.30 | 6.71 |
| Returns After Taxes on Distributions and Sale of Fund Shares | 7.83 | 11.91 | 5.80 |
| One | Five | Ten | |
| Year | Years | Years | |
| Large-Cap Index Fund Investor Shares | |||
| Returns Before Taxes | 13.24% | 15.32% | 7.87% |
| Returns After Taxes on Distributions | 12.78 | 14.94 | 7.54 |
| Returns After Taxes on Distributions and Sale of Fund Shares | 7.84 | 12.36 | 6.40 |
81
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.
82
| Six Months Ended December 31, 2014 | |||
| Beginning | Ending | Expenses | |
| Account Value | Account Value | Paid During | |
| 6/30/2014 | 12/31/2014 | Period | |
| Based on Actual Fund Return | |||
| Growth Index Fund | |||
| Investor Shares | $1,000.00 | $1,061.11 | $1.19 |
| Admiral Shares | 1,000.00 | 1,062.09 | 0.47 |
| Institutional Shares | 1,000.00 | 1,061.93 | 0.42 |
| ETF Shares | 1,000.00 | 1,061.85 | 0.47 |
| Value Index Fund | |||
| Investor Shares | $1,000.00 | $1,055.03 | $1.19 |
| Admiral Shares | 1,000.00 | 1,055.49 | 0.47 |
| Institutional Shares | 1,000.00 | 1,055.86 | 0.41 |
| ETF Shares | 1,000.00 | 1,055.59 | 0.47 |
| Large-Cap Index Fund | |||
| Investor Shares | $1,000.00 | $1,057.83 | $1.19 |
| Admiral Shares | 1,000.00 | 1,058.38 | 0.47 |
| Institutional Shares | 1,000.00 | 1,058.55 | 0.42 |
| ETF Shares | 1,000.00 | 1,058.47 | 0.47 |
83
| Six Months Ended December 31, 2014 | |||
| Beginning | Ending | Expenses | |
| Account Value | Account Value | Paid During | |
| 6/30/2014 | 12/31/2014 | Period | |
| Based on Hypothetical 5% Yearly Return | |||
| Growth Index Fund | |||
| Investor Shares | $1,000.00 | $1,024.05 | $1.17 |
| Admiral Shares | 1,000.00 | 1,024.75 | 0.46 |
| Institutional Shares | 1,000.00 | 1,024.80 | 0.41 |
| ETF Shares | 1,000.00 | 1,024.75 | 0.46 |
| Value Index Fund | |||
| Investor Shares | $1,000.00 | $1,024.05 | $1.17 |
| Admiral Shares | 1,000.00 | 1,024.75 | 0.46 |
| Institutional Shares | 1,000.00 | 1,024.80 | 0.41 |
| ETF Shares | 1,000.00 | 1,024.75 | 0.46 |
| Large-Cap Index Fund | |||
| Investor Shares | $1,000.00 | $1,024.05 | $1.17 |
| Admiral Shares | 1,000.00 | 1,024.75 | 0.46 |
| Institutional Shares | 1,000.00 | 1,024.80 | 0.41 |
| ETF Shares | 1,000.00 | 1,024.75 | 0.46 |
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, 0.08% for Institutional Shares, and 0.09% for ETF Shares; for the Value Index Fund, 0.23% for Investor Shares, 0.09% for Admiral Shares, 0.08% 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, 0.08% 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.
84
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.
85
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.
86
This page intentionally left blank.
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 | ||
| 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 | |
| Who Are Deaf or Hard of Hearing> 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. | |
| © 2015 The Vanguard Group, Inc. | |
| All rights reserved. | |
| Vanguard Marketing Corporation, Distributor. | |
| Q03070 022015 | |
Annual Report | December 31, 2014
Vanguard Total Stock Market Index Fund
The mission continues
On May 1, 1975, Vanguard began operations, a fledgling company based on the simple but revolutionary idea that a mutual fund company should be managed solely in the interest of its investors.
Four decades later, that revolutionary spirit continues to animate the enterprise. Vanguard remains on a mission to give investors the best chance of investment success.
As we mark our 40th anniversary, we thank you for entrusting your assets to Vanguard and giving us the opportunity to help you reach your financial goals in the decades to come.
| Contents | |
| Your Fund’s Total Returns. | 1 |
| Chairman’s Letter. | 2 |
| Fund Profile. | 9 |
| Performance Summary. | 11 |
| Financial Statements. | 13 |
| Your Fund’s After-Tax Returns. | 32 |
| About Your Fund’s Expenses. | 33 |
| Glossary. | 35 |
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: Since our founding, Vanguard has drawn inspiration from the enterprise and valor demonstrated by British naval hero Horatio Nelson and his command at the Battle of the Nile in 1798. The photograph displays a replica of a merchant ship from the same era as Nelson’s flagship, the HMS Vanguard.
| Your Fund’s Total Returns | |
| Fiscal Year Ended December 31, 2014 | |
| Total | |
| Returns | |
| Vanguard Total Stock Market Index Fund | |
| Investor Shares | 12.43% |
| Admiral™ Shares | 12.56 |
| Institutional Shares | 12.56 |
| ETF Shares | |
| Market Price | 12.57 |
| Net Asset Value | 12.56 |
| CRSP US Total Market Index | 12.58 |
| Multi-Cap Core Funds Average | 9.58 |
| Multi-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. 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.
| Your Fund’s Performance at a Glance | ||||
| December 31, 2013, Through December 31, 2014 | ||||
| Distributions Per Share | ||||
| Starting | Ending | |||
| Share | Share | Income | Capital | |
| Price | Price | Dividends | Gains | |
| Vanguard Total Stock Market Index Fund | ||||
| Investor Shares | $46.67 | $51.58 | $0.851 | $0.000 |
| Admiral Shares | 46.69 | 51.60 | 0.910 | 0.000 |
| Institutional Shares | 46.69 | 51.60 | 0.913 | 0.000 |
| ETF Shares | 95.91 | 106.00 | 1.869 | 0.000 |
1
Chairman’s Letter
Dear Shareholder,
The broad U.S. stock market cleared several hurdles on its way to another year of strong gains. Several times during 2014, international conflicts and global economic troubles temporarily halted stocks’ momentum. Each decline, however, was followed by another surge forward, and the broad market finished the year near an all-time high.
Vanguard Total Stock Market Index Fund, whose mix of growth and value stocks across all market capitalizations provides investors with exposure to the entire U.S. equity market, returned more than 12% for the 12 months ended December 31, 2014. The fund closely tracked the return of its benchmark, the CRSP US Total Market Index, and outpaced the average return of its multi-cap core fund peers by about 3 percentage points.
Please note that the fund’s Signal Shares were converted to Admiral Shares in October 2014 as part of a year-long plan to streamline Vanguard’s share-class offerings. If you hold Vanguard Total Stock Market Index Fund in a taxable account, you may wish to review the information about after-tax returns that appears later in this report.
U.S. stocks finished strongly for the sixth straight year
U.S. stocks returned nearly 13% for the 12 months ended December 31, 2014, posting gains for the sixth consecutive
2
calendar year. Rising corporate earnings, the growing U.S. economy, and generally accommodative global monetary policies lifted domestic markets even as Europe and China faced economic challenges, tensions flared in the Middle East and Ukraine, and concerns arose over stocks’ high valuations.
Although the Federal Reserve ended its stimulative bond-buying program in October, investors seemed to be reassured by the Fed’s stance that it will be “patient” as it decides when to increase short-term interest rates. Other central banks—including the Bank of Japan, the European Central Bank, and the People’s Bank of China—also announced significant stimulus measures.
International stocks didn’t fare as well as their U.S. counterparts, returning about –3% in dollar terms. Their performance was hurt as many foreign currencies weakened against the U.S. dollar. Emerging-market stocks rose slightly, while stocks from the developed markets of Europe and the Pacific region retreated.
Defying analysts’ expectations, bond prices rose during the period
Bond prices received a boost from moves by many of the world’s central banks along with various global economic, market, and geopolitical challenges that drew investors to perceived safe havens. In an unexpected rebound from the previous year, the broad U.S. bond market returned 5.97% for the period.
| Market Barometer | |||
| Average Annual Total Returns | |||
| Periods Ended December 31, 2014 | |||
| One | Three | Five | |
| Year | Years | Years | |
| Stocks | |||
| Russell 1000 Index (Large-caps) | 13.24% | 20.62% | 15.64% |
| Russell 2000 Index (Small-caps) | 4.89 | 19.21 | 15.55 |
| Russell 3000 Index (Broad U.S. market) | 12.56 | 20.51 | 15.63 |
| FTSE All-World ex US Index (International) | -3.31 | 9.41 | 4.75 |
| Bonds | |||
| Barclays U.S. Aggregate Bond Index (Broad taxable market) | 5.97% | 2.66% | 4.45% |
| Barclays Municipal Bond Index (Broad tax-exempt market) | 9.05 | 4.30 | 5.16 |
| Citigroup Three-Month U.S. Treasury Bill Index | 0.03 | 0.04 | 0.06 |
| CPI | |||
| Consumer Price Index | 0.76% | 1.33% | 1.69% |
3
Even with the Fed’s paring back of its bond purchases, prices climbed and yields fell. (Bond prices and yields move in opposite directions.) The yield of the 10-year Treasury note ended December at 2.19%, down from 2.97% at the close of December 2013.
Municipal bonds returned 9.05%, benefiting from increased demand and generally limited supply.
International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned –3.08%.
As for money market funds and savings accounts, their returns remained minuscule, as the Fed’s target for short-term interest rates remained between 0% and 0.25%.
Returns were generally strong, with some notable exceptions
Overall the fund’s performance was positive for 2014. While growth and value stocks performed within a tight range, large- and mid-cap stocks surpassed small-caps by a wide margin. Sector returns ranged from as high as about 26% for both health care and utilities to as low as about –10% for the oil and gas sector.
| Expense Ratios | |||||
| Your Fund Compared With Its Peer Group | |||||
| Investor | Admiral | Institutional | ETF | Peer Group | |
| Shares | Shares | Shares | Shares | Average | |
| Total Stock Market Index Fund | 0.17% | 0.05% | 0.04% | 0.05% | 1.17% |
The fund expense ratios shown are from the prospectus dated April 28, 2014, and represent estimated costs for the current fiscal year. For the fiscal year ended December 31, 2014, the fund’s expense ratios were: 0.17% for Investor Shares, 0.05% for Admiral 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
Health care, one of the fund’s larger sectors, added the most to overall results. The industry generally profited as investors anticipated a rise in spending given the aging population and the expanded number of insured under the Affordable Care Act, although there are still concerns about the effects of regulation on the managed care industry.
New product development, mergers and acquisitions, and strategic alliances have boosted pharmaceutical and biotechnology companies, although the latter endured some turbulence related to high valuations earlier in the year. Innovative new products and therapies helped medical care equipment firms, and health care providers with diverse membership bases and business lines thrived.
Technology stocks also powered the fund’s return. Most segments within the sector appreciated, with hardware and semiconductor companies leading the way as demand for the smartphone, mobile technologies, and cloud-based computing grew in the United States and overseas. Results for internet companies were mixed but still positive as the race for advertising dollars and new products continued to evolve and unfold.
The financial sector, the fund’s largest, was another key to the fund’s success this year. Low interest rates and the expanding economy propelled real estate investment trusts (REITs) to returns close to 30%. This favorable environment also lifted financial services firms, banks, and insurance firms.
| Total Returns | |
| Ten Years Ended December 31, 2014 | |
| Average | |
| Annual Return | |
| Total Stock Market Index Fund Investor Shares | 7.99% |
| Spliced Total Stock Market Index | 8.11 |
| Multi-Cap Core Funds Average | 6.73 |
For a benchmark description, see the Glossary.
Multi-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
The figures shown represent past performance, which is not a guarantee of future results. (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.
5
Increased consumer spending lifted the economy as well as the consumer services and consumer goods sectors. The utilities sector, often unheralded, was a stalwart over the period as the severe winter led to increased earnings and low interest rates attracted some investors to utility stocks’ higher yields.
Oil and gas stocks were the fund’s only losing group, while industrials, basic materials, and telecommunications stocks recorded single-digit returns. The entire oil and gas sector has been hurt by the drop
in oil prices. With their profits cut, producers have scaled back on the projects that are the lifeblood of service firms, drillers, and equipment providers.
The fund’s broad diversification delivered a decade of solid returns
At Vanguard, we believe in being straightforward with our investors. That includes truth in labeling, which is why the name of your fund is so appropriate. It’s designed to reflect the performance of the entire U.S. stock market––all sectors, styles, and sizes. There will always be areas that
Vanguard’s outlook for investors: Expect less and stay balanced
In Vanguard’s recently published market outlook, global chief economist Joe Davis and his team discuss expected returns for various asset classes over the coming years. Although not bearish, our outlook on global stocks and bonds is the most guarded since 2006. The report cautions that, over the next decade, returns for a balanced portfolio are likely to be moderately below long-run historical averages.
Our simulations indicate that the average annualized returns of a 60% equity/40% bond portfolio for the decade ending 2024 are most likely to be centered in the 3%–5% range after inflation, below the actual average after-inflation return of 5.6% for the same portfolio since 1926.
Even so, Vanguard firmly believes that the principles for investing success—focusing on clear goals, a suitable asset allocation, low costs, and long-term discipline—remain unchanged.
For more information about our expectations and the probability of various outcomes, see Vanguard’s Economic and Investment Outlook, available at vanguard.com/research.
IMPORTANT: The projections and other information generated by the Vanguard Capital Markets Model (VCMM) regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results, and are not guarantees of future results. Distribution of return outcomes from VCMM, derived from 10,000 simulations for U.S. equity returns and fixed income returns. Simulations as of September 30, 2014. Results from the model may vary with each use and over time. For more information, please see page 7.
6
outperform and underperform the broad market, and your fund’s mandate is to include them all rather than engage in the challenging, and often disappointing, business of trying to predict the standouts.
The fund’s broad diversification can benefit investors when market returns are relatively balanced across market-capitalization and style segments, and also when they’re not. The likelihood of this dynamic playing out successfully increases over time as market leaders and laggards inevitably shuffle.
Over the past ten years, Investor Shares of Vanguard Total Stock Market Index Fund have produced an average annual return of about 8%, more than 1 percentage point higher than the average return of its peer group. Consistent with its objective, the fund tightly tracked its benchmark index over that period. The fund’s success in staying close to its target index is a testament to the skill of its advisor, the Equity Investment Group. The group relies on its proven portfolio management strategies to produce benchmark-tracking returns regardless of external market conditions. At the same time, of course, the fund’s low costs help you keep more of the market’s returns.
To build for the long term, start with a solid foundation
As the leader of a major investment firm, I get asked a lot of questions on all kinds of topics, from the outlook for global markets to the best fund choices for an IRA. But a
IMPORTANT: The projections and other information generated by the Vanguard Capital Markets Model regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results, and are not guarantees of future results. VCMM results will vary with each use and over time.
The VCMM projections are based on a statistical analysis of historical data. Future returns may behave differently from the historical patterns captured in the VCMM. More important, the VCMM may be underestimating extreme negative scenarios unobserved in the historical period on which the model estimation is based.
The Vanguard Capital Markets Model® is a proprietary financial simulation tool developed and maintained by Vanguard’s primary investment research and advice teams. The model forecasts distributions of future returns for a wide array of broad asset classes. Those asset classes include U.S. and international equity markets, several maturities of the U.S. Treasury and corporate fixed income markets, international fixed income markets, U.S. money markets, commodities, and certain alternative investment strategies. The theoretical and empirical foundation for the Vanguard Capital Markets Model is that the returns of various asset classes reflect the compensation investors require for bearing different types of systematic risk (beta). At the core of the model are estimates of the dynamic statistical relationship between risk factors and asset returns, obtained from statistical analysis based on available monthly financial and economic data from as early as 1960. Using a system of estimated equations, the model then applies a Monte Carlo simulation method to project the estimated interrelationships among risk factors and asset classes as well as uncertainty and randomness over time. The model generates a large set of simulated outcomes for each asset class over several time horizons. Forecasts are obtained by computing measures of central tendency in these simulations. Results produced by the tool will vary with each use and over time.
7
topic that almost never comes up—and one that I consider perhaps the most important—is setting investment goals.
At Vanguard, we believe that following four timeless, straightforward principles can help put you on the right track toward investment success:
• 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.
All four principles are essential, and the order in which they’re listed is intentional. Every good investment plan begins with a clearly defined goal, which sets the foundation for building your portfolio. (You can read more about our principles in Vanguard’s Principles for Investing Success, available at vanguard.com/ research.)
Setting an investment goal doesn’t have to be complicated. It can be as simple as saving for retirement or for a child’s college education. Being realistic about your goals—and how to meet them—can help you stick with your investment plan even when times get tough.
We’ve recently welcomed a new year, which for many means a new beginning. Now is a perfect time to revisit your investment plan and make any necessary adjustments to help you reach your long-term financial goals.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
January 15, 2015
8
| Total Stock Market Index Fund | ||||
| Fund Profile | ||||
| As of December 31, 2014 | ||||
| Share-Class Characteristics | ||||
| Investor | Admiral | Institutional | ||
| Shares | Shares | Shares | ETF Shares | |
| Ticker Symbol | VTSMX | VTSAX | VITSX | VTI |
| Expense Ratio1 | 0.17% | 0.05% | 0.04% | 0.05% |
| 30-Day SEC Yield | 1.69% | 1.80% | 1.80% | 1.80% |
| Portfolio Characteristics | ||
| CRSP US | ||
| Total Market | ||
| Fund | Index | |
| Number of Stocks | 3,796 | 3,805 |
| Median Market Cap | $48.1B | $47.9B |
| Price/Earnings Ratio | 20.5x | 20.5x |
| Price/Book Ratio | 2.7x | 2.8x |
| Return on Equity | 18.0% | 17.8% |
| Earnings Growth | ||
| Rate | 15.4% | 15.2% |
| Dividend Yield | 1.9% | 1.9% |
| Foreign Holdings | 0.0% | 0.0% |
| Turnover Rate | 3% | — |
| Short-Term Reserves | 0.0% | — |
Sector Diversification (% of equity exposure)
| CRSP US | ||
| Total Market | ||
| Fund | Index | |
| Basic Materials | 2.7% | 2.8% |
| Consumer Goods | 9.9 | 9.9 |
| Consumer Services | 13.6 | 13.6 |
| Financials | 19.2 | 19.2 |
| Health Care | 13.2 | 13.2 |
| Industrials | 12.6 | 12.6 |
| Oil & Gas | 7.5 | 7.5 |
| Technology | 15.9 | 15.8 |
| Telecommunications | 2.0 | 2.0 |
| Utilities | 3.4 | 3.4 |
| Volatility Measures | |
| Spliced Total | |
| Stock Market | |
| Index | |
| R-Squared | 1.00 |
| Beta | 1.00 |
These measures show the degree and timing of the fund’s fluctuations compared with the index over 36 months.
Ten Largest Holdings (% of total net assets)
| Apple Inc. | Computer Hardware | 2.8% |
| Exxon Mobil Corp. | Integrated Oil & Gas | 1.7 |
| Microsoft Corp. | Software | 1.5 |
| Google Inc. | Internet | 1.3 |
| Johnson & Johnson | Pharmaceuticals | 1.3 |
| Wells Fargo & Co. | Banks | 1.3 |
| Berkshire Hathaway Inc. Reinsurance | 1.2 | |
| General Electric Co. | Diversified Industrials | 1.1 |
| Procter & Gamble Co. | Nondurable | |
| Household Products | 1.1 | |
| JPMorgan Chase & Co. | Banks | 1.0 |
| Top Ten | 14.3% | |
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 fiscal year ended December 31, 2014, the expense ratios were 0.17% for Investor Shares, 0.05% for Admiral Shares, 0.04% for Institutional Shares, and 0.05% for ETF Shares.
9
Total Stock Market Index Fund
Investment Focus
10
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.
Cumulative Performance: December 31, 2004, Through December 31, 2014
Initial Investment of $10,000
| Average Annual Total Returns | |||||
| Periods Ended December 31, 2014 | |||||
| Final Value | |||||
| One | Five | Ten | of a $10,000 | ||
| Year | Years | Years | Investment | ||
| Total Stock Market Index Fund | |||||
| Investor Shares | 12.43% | 15.56% | 7.99% | $21,561 | |
| •••••••• | Spliced Total Stock Market Index | 12.58 | 15.72 | 8.11 | 21,801 |
| – – – – | Multi-Cap Core Funds Average | 9.58 | 13.35 | 6.73 | 19,173 |
| For a benchmark description, see the Glossary. | |||||
| Multi-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |||||
| Final Value | |||||
| One | Five | Ten | of a $10,000 | ||
| Year | Years | Years | Investment | ||
| Total Stock Market Index Fund Admiral | |||||
| Shares | 12.56% | 15.70% | 8.10% | $21,793 | |
| Spliced Total Stock Market Index | 12.58 | 15.72 | 8.11 | 21,801 | |
See Financial Highlights for dividend and capital gains information.
11
| Total Stock Market Index Fund | ||||
| Average Annual Total Returns | ||||
| Periods Ended December 31, 2014 | ||||
| Final Value | ||||
| One | Five | Ten | of a $5,000,000 | |
| Year | Years | Years | Investment | |
| Total Stock Market Index Fund Institutional | ||||
| Shares | 12.56% | 15.70% | 8.12% | $10,913,274 |
| Spliced Total Stock Market Index | 12.58 | 15.72 | 8.11 | 10,900,693 |
| Final Value | ||||
| One | Five | Ten | of a $10,000 | |
| Year | Years | Years | Investment | |
| Total Stock Market Index Fund | ||||
| ETF Shares Net Asset Value | 12.56% | 15.70% | 8.11% | $21,802 |
| Spliced Total Stock Market Index | 12.58 | 15.72 | 8.11 | 21,801 |
| Cumulative Returns of ETF Shares: December 31, 2004, Through December 31, 2014 | ||||
| One | Five | Ten | ||
| Year | Years | Years | ||
| Total Stock Market Index Fund ETF Shares Market | ||||
| Price | 12.57% | 107.26% | 118.17% | |
| Total Stock Market Index Fund ETF Shares Net | ||||
| Asset Value | 12.56 | 107.29 | 118.02 | |
| Spliced Total Stock Market Index | 12.58 | 107.49 | 118.01 | |
Fiscal-Year Total Returns (%): December 31, 2004, Through December 31, 2014
12
Total Stock Market Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of December 31, 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 † | 10,494,464 | 2.7% | |
| Consumer Goods | |||
| Procter & Gamble Co. | 45,564,549 | 4,150,475 | 1.1% |
| Coca-Cola Co. | 66,452,452 | 2,805,622 | 0.7% |
| PepsiCo Inc. | 25,238,328 | 2,386,536 | 0.6% |
| Philip Morris International Inc. | 26,196,500 | 2,133,705 | 0.6% |
| Altria Group Inc. | 33,336,366 | 1,642,483 | 0.4% |
| Consumer Goods—Other † | 24,407,526 | 6.4% | |
| 37,526,347 | 9.8% | ||
| Consumer Services | |||
| Walt Disney Co. | 25,726,136 | 2,423,145 | 0.6% |
| Wal-Mart Stores Inc. | 27,173,604 | 2,333,669 | 0.6% |
| Home Depot Inc. | 22,209,011 | 2,331,280 | 0.6% |
| Comcast Corp. Class A | 38,463,284 | 2,231,255 | 0.6% |
| * Amazon.com Inc. | 6,242,382 | 1,937,323 | 0.5% |
| CVS Health Corp. | 19,321,716 | 1,860,874 | 0.5% |
| McDonald’s Corp. | 16,390,489 | 1,535,789 | 0.4% |
| Consumer Services—Other † | 37,188,375 | 9.7% | |
| 51,841,710 | 13.5% | ||
| Financials | |||
| Wells Fargo & Co. | 87,444,075 | 4,793,684 | 1.2% |
| * Berkshire Hathaway Inc. Class B | 29,719,646 | 4,462,405 | 1.2% |
| JPMorgan Chase & Co. | 63,001,253 | 3,942,618 | 1.0% |
| Bank of America Corp. | 177,180,419 | 3,169,758 | 0.8% |
| Citigroup Inc. | 48,500,022 | 2,624,336 | 0.7% |
| Visa Inc. Class A | 8,312,581 | 2,179,559 | 0.6% |
| American Express Co. | 17,429,747 | 1,621,664 | 0.4% |
| MasterCard Inc. Class A | 16,884,919 | 1,454,805 | 0.4% |
| * Berkshire Hathaway Inc. Class A | 863 | 195,038 | 0.1% |
13
| Total Stock Market Index Fund | ||||
| Market | Percentage | |||
| Value• | of Net | |||
| Shares | ($000) | Assets | ||
| * | Synchrony Financial | 2,122,187 | 63,135 | 0.0% |
| Financials—Other † | 48,487,921 | 12.7% | ||
| 72,994,923 | 19.1% | |||
| Health Care | ||||
| Johnson & Johnson | 47,186,784 | 4,934,322 | 1.3% | |
| Pfizer Inc. | 106,180,361 | 3,307,518 | 0.9% | |
| Merck & Co. Inc. | 48,061,630 | 2,729,420 | 0.7% | |
| * | Gilead Sciences Inc. | 25,424,252 | 2,396,490 | 0.6% |
| Amgen Inc. | 12,821,029 | 2,042,262 | 0.5% | |
| AbbVie Inc. | 25,518,092 | 1,669,904 | 0.5% | |
| Bristol-Myers Squibb Co. | 27,958,894 | 1,650,414 | 0.4% | |
| UnitedHealth Group Inc. | 16,171,369 | 1,634,764 | 0.4% | |
| * | Celgene Corp. | 13,457,711 | 1,505,380 | 0.4% |
| Health Care—Other † | 28,481,193 | 7.5% | ||
| 50,351,667 | 13.2% | |||
| Industrials | ||||
| General Electric Co. | 169,289,675 | 4,277,950 | 1.1% | |
| Union Pacific Corp. | 14,984,370 | 1,785,088 | 0.5% | |
| 3M Co. | 10,797,021 | 1,774,166 | 0.4% | |
| United Technologies Corp. | 14,588,251 | 1,677,649 | 0.4% | |
| Boeing Co. | 10,812,724 | 1,405,438 | 0.4% | |
| Industrials—Other † | 37,127,306 | 9.7% | ||
| 48,047,597 | 12.5% | |||
| Oil & Gas | ||||
| Exxon Mobil Corp. | 71,373,124 | 6,598,445 | 1.7% | |
| Chevron Corp. | 31,861,948 | 3,574,273 | 0.9% | |
| Schlumberger Ltd. | 21,671,059 | 1,850,925 | 0.5% | |
| ConocoPhillips | 20,737,680 | 1,432,144 | 0.4% | |
| Oil & Gas—Other † | 15,083,867 | 4.0% | ||
| 28,539,654 | 7.5% | |||
| 1Other † | 22,673 | 0.0% | ||
| Technology | ||||
| Apple Inc. | 98,848,739 | 10,910,924 | 2.9% | |
| Microsoft Corp. | 125,034,776 | 5,807,865 | 1.5% | |
| Intel Corp. | 81,504,192 | 2,957,787 | 0.8% | |
| * | Facebook Inc. Class A | 35,601,695 | 2,777,644 | 0.7% |
| International Business Machines Corp. | 16,680,965 | 2,676,294 | 0.7% | |
| * | Google Inc. Class C | 4,852,399 | 2,554,303 | 0.7% |
| * | Google Inc. Class A | 4,808,012 | 2,551,420 | 0.7% |
| Oracle Corp. | 56,002,661 | 2,518,440 | 0.7% | |
| Cisco Systems Inc. | 86,155,102 | 2,396,404 | 0.6% | |
| QUALCOMM Inc. | 28,017,980 | 2,082,576 | 0.5% | |
| Technology—Other † | 23,132,203 | 6.0% | ||
| 60,365,860 | 15.8% | |||
| Telecommunications | ||||
| Verizon Communications Inc. | 69,950,457 | 3,272,282 | 0.8% | |
| AT&T Inc. | 87,417,219 | 2,936,344 | 0.8% | |
| Telecommunications—Other † | 1,459,878 | 0.4% | ||
| 7,668,504 | 2.0% | |||
14
| Total Stock Market Index Fund | ||||
| Market | Percentage | |||
| Value• | of Net | |||
| ($000) | Assets | |||
| Utilities † | 12,781,983 | 3.3% | ||
| Total Common Stocks (Cost $249,586,385) | 380,635,382 | 99.4%2 | ||
| Coupon | Shares | |||
| Temporary Cash Investments | ||||
| Money Market Fund | ||||
| 3,4 Vanguard Market Liquidity Fund | 0.126% | 3,072,893,415 | 3,072,894 | 0.8% |
| 5U.S. Government and Agency Obligations † | 132,977 | 0.0% | ||
| Total Temporary Cash Investments (Cost $3,205,870) | 3,205,871 | 0.8%2 | ||
| 6Total Investments (Cost $252,792,255) | 383,841,253 | 100.2% | ||
| Other Assets and Liabilities | ||||
| Other Assets | 2,040,910 | 0.5% | ||
| Liabilities4 | (2,879,273) | (0.7%) | ||
| (838,363) | (0.2%) | |||
| Net Assets | 383,002,890 | 100.0% | ||
| At December 31, 2014, net assets consisted of: | ||||
| Amount | ||||
| ($000) | ||||
| Paid-in Capital | 254,455,241 | |||
| Overdistributed Net Investment Income | (120,172) | |||
| Accumulated Net Realized Losses | (2,437,034) | |||
| Unrealized Appreciation (Depreciation) | ||||
| Investment Securities | 131,048,998 | |||
| Futures Contracts | 53,634 | |||
| Swap Contracts | 2,223 | |||
| Net Assets | 383,002,890 | |||
| Investor Shares—Net Assets | ||||
| Applicable to 2,287,016,198 outstanding $.001 par value shares of | ||||
| beneficial interest (unlimited authorization) | 117,966,185 | |||
| Net Asset Value Per Share—Investor Shares | $51.58 | |||
| Admiral Shares—Net Assets | ||||
| Applicable to 2,276,781,299 outstanding $.001 par value shares of | ||||
| beneficial interest (unlimited authorization) | 117,476,308 | |||
| Net Asset Value Per Share—Admiral Shares | $51.60 | |||
| Institutional Shares—Net Assets | ||||
| Applicable to 1,873,372,067 outstanding $.001 par value shares of | ||||
| beneficial interest (unlimited authorization) | 96,674,447 | |||
| Net Asset Value Per Share—Institutional Shares | $51.60 | |||
15
| Total Stock Market Index Fund | |
| Amount | |
| ($000) | |
| ETF Shares—Net Assets | |
| Applicable to 480,059,748 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 50,885,950 |
| Net Asset Value Per Share—ETF Shares | $106.00 |
• 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 “Other” represents securities that are not classified by the fund’s benchmark index.
2 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.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the
7-day yield.
4 Includes $875,010,000 of collateral received for securities on loan.
5 Securities with a value of $103,980,000 have been segregated as initial margin for open futures contracts.
6 The total value of securities on loan is $803,366,000.
See accompanying Notes, which are an integral part of the Financial Statements.
16
| Total Stock Market Index Fund | |
| Statement of Operations | |
| Year Ended | |
| December 31, 2014 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends | 6,561,984 |
| Interest1 | 1,933 |
| Securities Lending | 76,099 |
| Total Income | 6,640,016 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 13,826 |
| Management and Administrative—Investor Shares | 164,172 |
| Management and Administrative—Admiral Shares | 30,983 |
| Management and Administrative—Signal Shares | 1,129 |
| Management and Administrative—Institutional Shares | 14,995 |
| Management and Administrative—ETF Shares | 10,106 |
| Marketing and Distribution—Investor Shares | 20,554 |
| Marketing and Distribution—Admiral Shares | 13,164 |
| Marketing and Distribution—Signal Shares | 2,245 |
| Marketing and Distribution—Institutional Shares | 17,000 |
| Marketing and Distribution—ETF Shares | 9,231 |
| Custodian Fees | 3,010 |
| Auditing Fees | 39 |
| Shareholders’ Reports—Investor Shares | 149 |
| Shareholders’ Reports—Admiral Shares | 181 |
| Shareholders’ Reports—Signal Shares | 28 |
| Shareholders’ Reports—Institutional Shares | 39 |
| Shareholders’ Reports—ETF Shares | 583 |
| Trustees’ Fees and Expenses | 239 |
| Total Expenses | 301,673 |
| Net Investment Income | 6,338,343 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 5,353,281 |
| Futures Contracts | 187,290 |
| Swap Contracts | (4,133) |
| Realized Net Gain (Loss) | 5,536,438 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | 29,547,269 |
| Futures Contracts | 18,705 |
| Swap Contracts | 256 |
| Change in Unrealized Appreciation (Depreciation) | 29,566,230 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 41,441,011 |
| 1 Interest income from an affiliated company of the fund was $1,869,000. | |
| See accompanying Notes, which are an integral part of the Financial Statements. | |
17
| Total Stock Market Index Fund | ||
| Statement of Changes in Net Assets | ||
| Year Ended December 31, | ||
| 2014 | 2013 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 6,338,343 | 4,980,596 |
| Realized Net Gain (Loss) | 5,536,438 | 1,818,521 |
| Change in Unrealized Appreciation (Depreciation) | 29,566,230 | 67,277,064 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 41,441,011 | 74,076,181 |
| Distributions | ||
| Net Investment Income | ||
| Investor Shares | (1,960,851) | (1,729,931) |
| Admiral Shares | (1,880,181) | (1,453,044) |
| Signal Shares | (121,148) | (196,060) |
| Institutional Shares | (1,532,803) | (1,027,734) |
| ETF Shares | (840,367) | (639,967) |
| Realized Capital Gain | ||
| Investor Shares | — | — |
| Admiral Shares | — | — |
| Signal Shares | — | — |
| Institutional Shares | — | — |
| ETF Shares | — | — |
| Total Distributions | (6,335,350) | (5,046,736) |
| Capital Share Transactions | ||
| Investor Shares | 1,473,741 | 1,154,267 |
| Admiral Shares | 20,691,802 | 7,305,262 |
| Signal Shares | (11,447,555) | 242,207 |
| Institutional Shares | 22,615,084 | 12,750,062 |
| ETF Shares | 7,232,036 | 6,481,221 |
| Net Increase (Decrease) from Capital Share Transactions | 40,565,108 | 27,933,019 |
| Total Increase (Decrease) | 75,670,769 | 96,962,464 |
| Net Assets | ||
| Beginning of Period | 307,332,121 | 210,369,657 |
| End of Period1 | 383,002,890 | 307,332,121 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($120,172,000) and ($119,086,000).
See accompanying Notes, which are an integral part of the Financial Statements.
18
| Total Stock Market Index Fund | |||||
| Financial Highlights | |||||
| Investor Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $46.67 | $35.64 | $31.29 | $31.56 | $27.45 |
| Investment Operations | |||||
| Net Investment Income | . 854 | .757 | .720 | .565 | .523 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 4.907 | 11.038 | 4.350 | (.273) | 4.117 |
| Total from Investment Operations | 5.761 | 11.795 | 5.070 | .292 | 4.640 |
| Distributions | |||||
| Dividends from Net Investment Income | (.851) | (.765) | (.720) | (. 562) | (. 530) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.851) | (.765) | (.720) | (. 562) | (. 530) |
| Net Asset Value, End of Period | $51.58 | $46.67 | $35.64 | $31.29 | $31.56 |
| Total Return1 | 12.43% | 33.35% | 16.25% | 0.96% | 17.09% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $117,966 | $105,008 | $78,936 | $62,668 | $56,063 |
| Ratio of Total Expenses to Average Net Assets | 0.17% | 0.17% | 0.17% | 0.17% | 0.17% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 1.77% | 1.84% | 2.11% | 1.79% | 1.85% |
| Portfolio Turnover Rate2 | 3% | 4% | 3% | 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.
19
| Total Stock Market Index Fund | |||||
| Financial Highlights | |||||
| Admiral Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $46.69 | $35.65 | $31.30 | $31.57 | $27.45 |
| Investment Operations | |||||
| Net Investment Income | . 912 | . 807 | .761 | . 602 | . 554 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 4.908 | 11.047 | 4.350 | (.273) | 4.127 |
| Total from Investment Operations | 5.820 | 11.854 | 5.111 | .329 | 4.681 |
| Distributions | |||||
| Dividends from Net Investment Income | (.910) | (.814) | (.761) | (. 599) | (. 561) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.910) | (.814) | (.761) | (. 599) | (. 561) |
| Net Asset Value, End of Period | $51.60 | $46.69 | $35.65 | $31.30 | $31.57 |
| Total Return1 | 12.56% | 33.52% | 16.38% | 1.08% | 17.26% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $117,476 | $86,541 | $59,771 | $49,496 | $47,190 |
| Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05% | 0.05% | 0.05% | 0.06% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 1.89% | 1.96% | 2.23% | 1.91% | 1.96% |
| Portfolio Turnover Rate2 | 3% | 4% | 3% | 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.
20
| Total Stock Market Index Fund | |||||
| Financial Highlights | |||||
| Signal Shares | |||||
| Jan. 1, | |||||
| 2014, to | |||||
| Oct. 24, | Year Ended December 31, | ||||
| For a Share Outstanding Throughout Each Period | 20141 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $45.06 | $34.41 | $30.21 | $30.47 | $26.50 |
| Investment Operations | |||||
| Net Investment Income | . 675 | .778 | .735 | .581 | .535 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 2.389 | 10.658 | 4.200 | (. 262) | 3.977 |
| Total from Investment Operations | 3.064 | 11.436 | 4.935 | .319 | 4.512 |
| Distributions | |||||
| Dividends from Net Investment Income | (.614) | (.786) | (.735) | (.579) | (.542) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.614) | (.786) | (.735) | (.579) | (.542) |
| Net Asset Value, End of Period | $47.511 | $45.06 | $34.41 | $30.21 | $30.47 |
| Total Return | 6.82% | 33.51% | 16.39% | 1.09% | 17.23% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $— | $10,879 | $8,025 | $6,133 | $5,471 |
| Ratio of Total Expenses to Average Net Assets | 0.05%2 | 0.05% | 0.05% | 0.05% | 0.06% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 1.80%2 | 1.96% | 2.23% | 1.91% | 1.96% |
| Portfolio Turnover Rate 3 | 3% | 4% | 3% | 5% | 5% |
1 Net asset value as of October 24, 2014, on which date the Signal Shares were converted to Admiral Shares.
| 2 | Annualized. |
| 3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
21
| Total Stock Market Index Fund | |||||
| Financial Highlights | |||||
| Institutional Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $46.69 | $35.66 | $31.30 | $31.57 | $27.46 |
| Investment Operations | |||||
| Net Investment Income | . 915 | . 808 | .763 | .603 | .558 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 4.908 | 11.038 | 4.359 | (.272) | 4.117 |
| Total from Investment Operations | 5.823 | 11.846 | 5.122 | .331 | 4.675 |
| Distributions | |||||
| Dividends from Net Investment Income | (.913) | (.816) | (.762) | (. 601) | (. 565) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.913) | (.816) | (.762) | (. 601) | (. 565) |
| Net Asset Value, End of Period | $51.60 | $46.69 | $35.66 | $31.30 | $31.57 |
| Total Return | 12.56% | 33.49% | 16.42% | 1.09% | 17.23% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $96,674 | $65,738 | $39,367 | $29,467 | $23,785 |
| Ratio of Total Expenses to Average Net Assets | 0.04% | 0.04% | 0.04% | 0.04% | 0.05% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 1.90% | 1.97% | 2.24% | 1.92% | 1.97% |
| Portfolio Turnover Rate1 | 3% | 4% | 3% | 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.
22
| Total Stock Market Index Fund | |||||
| Financial Highlights | |||||
| ETF Shares | |||||
| For a Share Outstanding | Year Ended December 31, | ||||
| Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
| Net Asset Value, Beginning of Period | $95.91 | $73.24 | $64.29 | $64.86 | $56.39 |
| Investment Operations | |||||
| Net Investment Income | 1.874 | 1.657 | 1.564 | 1.238 | 1.133 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | 10.085 | 22.686 | 8.949 | (.575) | 8.485 |
| Total from Investment Operations | 11.959 | 24.343 | 10.513 | .663 | 9.618 |
| Distributions | |||||
| Dividends from Net Investment Income | (1.869) | (1.673) | (1.563) | (1.233) | (1.148) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.869) | (1.673) | (1.563) | (1.233) | (1.148) |
| Net Asset Value, End of Period | $106.00 | $95.91 | $73.24 | $64.29 | $64.86 |
| Total Return | 12.56% | 33.51% | 16.41% | 1.06% | 17.26% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $50,886 | $39,165 | $24,270 | $19,521 | $17,930 |
| Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05% | 0.05% | 0.05% | 0.06% |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 1.89% | 1.96% | 2.23% | 1.91% | 1.96% |
| Portfolio Turnover Rate1 | 3% | 4% | 3% | 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.
23
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 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. Prior to October 24, 2014, the fund offered Signal Shares. Effective at the close of business on October 24, 2014, the Signal Shares were converted to Admiral Shares.
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 settlement values 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
Total Stock Market Index Fund
During the year ended December 31, 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 year ended December 31, 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, 2011–2014), 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.
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
25
Total Stock Market Index Fund
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 December 31, 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 invest up to 0.40% of its net assets in Vanguard. At December 31, 2014, the fund had contributed capital of $36,117,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 14.44% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
26
Total Stock Market Index Fund
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of December 31, 2014, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 380,612,597 | 18,551 | 4,234 |
| Temporary Cash Investments | 3,072,894 | 132,977 | — |
| Futures Contracts—Liabilities1 | (26,965) | — | — |
| Swap Contracts—Assets | — | 2,243 | — |
| Swap Contracts—Liabilities | — | (20) | — |
| Total | 383,658,526 | 153,751 | 4,234 |
| 1 Represents variation margin on the last day of the reporting period. |
D. At December 31, 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 | March 2015 | 2,787 | 1,430,010 | 24,800 |
| E-mini S&P 500 Index | March 2015 | 7,130 | 731,681 | 21,445 |
| E-mini Russell 2000 Index | March 2015 | 957 | 114,907 | 6,215 |
| E-mini S&P MidCap Index | March 2015 | 240 | 34,766 | 1,174 |
| 53,634 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
27
Total Stock Market Index Fund
At December 31, 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) |
| Empire State Realty Trust Inc. | 2/10/15 | GSI | 6,738 | (0.512%) | 198 |
| Empire State Realty Trust Inc. | 2/10/15 | GSI | 601 | (0.514%) | (3) |
| Empire State Realty Trust Inc. | 2/10/15 | GSI | 302 | (0.520%) | (3) |
| Empire State Realty Trust Inc. | 2/10/15 | GSI | 302 | (0.519%) | (3) |
| Empire State Realty Trust Inc. | 2/10/15 | GSI | 300 | (0.515%) | (2) |
| Empire State Realty Trust Inc. | 2/13/15 | GSI | 976 | (0.518%) | (9) |
| SLM Corp. | 3/16/15 | GSI | 41,588 | (0.562%) | 2,045 |
| 2,223 | |||||
| 1 GSI—Goldman Sachs International. |
At December 31, 2014, the counterparty had deposited in segregated accounts securities with a value of $2,608,000 in connection with amounts due to the fund for open swap contracts.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
Certain of the fund’s investments are in securities considered to be passive foreign investment companies, for which any unrealized appreciation and/or realized gains are required to be included in distributable net investment income for tax purposes. During the year ended December 31, 2014, the fund realized gains on the sale of passive foreign investment companies of $54,000, which have been included in current and prior periods’ taxable income; accordingly, such gains have been reclassified from accumulated net realized losses to overdistributed net investment income. Passive foreign investment companies had unrealized appreciation of $9,477,000 at December 31, 2014, of which $7,117,000 has been distributed and is reflected in the balance of undistributed net investment income.
During the year ended December 31, 2014, the fund realized $4,323,687,000 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 $4,133,000 on swap contracts have been reclassified from accumulated net realized losses to overdistributed net investment income.
28
Total Stock Market Index Fund
For tax purposes, at December 31, 2014, the fund had $75,263,000 of ordinary income available for distribution. The fund used capital loss carryforwards of $701,289,000 to offset taxable capital gains realized during the year ended December 31, 2014. At December 31, 2014, the fund had available capital losses totaling $2,188,503,000 to offset future net capital gains. Of this amount, $2,155,179,000 is subject to expiration on December 31, 2016. Capital losses of $33,324,000 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.
At December 31, 2014, the cost of investment securities for tax purposes was $252,992,910,000. Net unrealized appreciation of investment securities for tax purposes was $130,848,343,000, consisting of unrealized gains of $138,781,679,000 on securities that had risen in value since their purchase and $7,933,336,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended December 31, 2014, the fund purchased $56,679,136,000 of investment securities and sold $16,663,026,000 of investment securities, other than temporary cash investments. Purchases and sales include $12,446,706,000 and $6,643,732,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
| G. Capital share transactions for each class of shares were: | ||||
| Year Ended December 31, | ||||
| 2014 | 2013 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| Investor Shares | ||||
| Issued | 13,269,562 | 278,821 | 12,266,763 | 300,373 |
| Issued in Lieu of Cash Distributions | 1,951,687 | 39,347 | 1,721,975 | 41,022 |
| Redeemed | (13,747,508) | (281,022) | (12,834,471) | (306,111) |
| Net Increase (Decrease)—Investor Shares | 1,473,741 | 37,146 | 1,154,267 | 35,284 |
| Admiral Shares | ||||
| Issued1 | 28,300,043 | 579,782 | 13,336,091 | 322,900 |
| Issued in Lieu of Cash Distributions | 1,654,483 | 33,282 | 1,287,181 | 30,594 |
| Redeemed | (9,262,724) | (189,917) | (7,318,010) | (176,330) |
| Net Increase (Decrease)—Admiral Shares | 20,691,802 | 423,147 | 7,305,262 | 177,164 |
| Signal Shares | ||||
| Issued | 1,941,106 | 42,389 | 3,462,726 | 87,006 |
| Issued in Lieu of Cash Distributions | 105,979 | 2,263 | 172,682 | 4,261 |
| Redeemed1 | (13,494,640) | (286,099) | (3,393,201) | (83,052) |
| Net Increase (Decrease)—Signal Shares | (11,447,555) | (241,447) | 242,207 | 8,215 |
| Institutional Shares | ||||
| Issued | 27,653,328 | 568,377 | 16,902,913 | 404,366 |
| Issued in Lieu of Cash Distributions | 1,457,656 | 29,311 | 965,838 | 22,878 |
| Redeemed | (6,495,900) | (132,169) | (5,118,689) | (123,389) |
| Net Increase (Decrease)—Institutional Shares | 22,615,084 | 465,519 | 12,750,062 | 303,855 |
29
Total Stock Market Index Fund
| Year Ended December 31, | ||||
| 2014 | 2013 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| ETF Shares | ||||
| Issued | 13,809,740 | 137,515 | 9,888,388 | 115,881 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (6,577,704) | (65,800) | (3,407,167) | (38,900) |
| Net Increase (Decrease)—ETF Shares | 7,232,036 | 71,715 | 6,481,221 | 76,981 |
1 Admiral Shares Issued and Signal Shares Redeemed include $9,780,011,000 from the conversion of Signal Shares to Admiral Shares during the 2014 fiscal year.
H. Management has determined that no material events or transactions occurred subsequent to December 31, 2014, that would require recognition or disclosure in these financial statements.
30
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Vanguard Index Funds and the Shareholders of Vanguard Total Stock Market Index Fund:
In our opinion, the accompanying statement of net assets–investments summary and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Total Stock Market Index Fund (constituting a separate portfolio of Vanguard Index Funds, hereafter referred to as the “Fund”) at December 31, 2014, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2014 by correspondence with the custodian and brokers, by agreement to the underlying ownership records of the transfer agent and the application of alternative auditing procedures where securities purchased had not been received, provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 10, 2015
Special 2014 tax information (unaudited) for Vanguard Total Stock Market Index Fund
This information for the fiscal year ended December 31, 2014, is included pursuant to provisions of the Internal Revenue Code.
The fund distributed $6,335,350,000 of qualified dividend income to shareholders during the fiscal year.
For corporate shareholders, 91.7% of investment income (dividend income plus short-term gains, if any) qualifies for the dividends-received deduction.
31
Your Fund’s After-Tax Returns
This table presents returns for your fund both before and after taxes. The after-tax returns are shown in two ways: (1) assuming that an investor owned the fund during the entire period and paid taxes on the fund’s distributions, and (2) assuming that an investor paid taxes on the fund’s distributions and sold all shares at the end of each period.
Calculations are based on the highest individual federal income tax and capital gains tax rates in effect at the times of the distributions and the hypothetical sales. State and local taxes were not considered. After-tax returns reflect any qualified dividend income. (In the example, returns after the sale of fund shares may be higher than those assuming no sale. This occurs when the sale would have produced a capital loss. The calculation assumes that the investor received a tax deduction for the loss.)
The table shows returns for Investor Shares only; returns for other share classes will differ. Please note that your actual after-tax returns will depend on your tax situation and may differ from those shown. Also note that if you own the fund in a tax-deferred account, such as an individual retirement account or a 401(k) plan, this information does not apply to you. Such accounts are not subject to current taxes.
Finally, keep in mind that a fund’s performance—whether before or after taxes—does not guarantee future results.
Average Annual Total Returns: Total Stock Market Index Fund Investor Shares
Periods Ended December 31, 2014
| One | Five | Ten | |
| Year | Years | Years | |
| Returns Before Taxes | 12.43% | 15.56% | 7.99% |
| Returns After Taxes on Distributions | 11.97 | 15.16 | 7.65 |
| Returns After Taxes on Distributions and Sale of Fund Shares | 7.38 | 12.55 | 6.49 |
32
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.
33
| Six Months Ended December 31, 2014 | |||
| Beginning | Ending | Expenses | |
| Account Value | Account Value | Paid During | |
| Total Stock Market Index Fund | 6/30/2014 | 12/31/2014 | Period |
| Based on Actual Fund Return | |||
| Investor Shares | $1,000.00 | $1,051.46 | $0.88 |
| Admiral Shares | 1,000.00 | 1,052.06 | 0.26 |
| Institutional Shares | 1,000.00 | 1,052.10 | 0.21 |
| ETF Shares | 1,000.00 | 1,052.09 | 0.26 |
| Based on Hypothetical 5% Yearly Return | |||
| Investor Shares | $1,000.00 | $1,024.35 | $0.87 |
| Admiral Shares | 1,000.00 | 1,024.95 | 0.26 |
| Institutional Shares | 1,000.00 | 1,025.00 | 0.20 |
| ETF Shares | 1,000.00 | 1,024.95 | 0.26 |
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.17% for Investor Shares, 0.05% for Admiral Shares, 0.04% 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.
34
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.
35
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.
36
This page intentionally left blank.
This page intentionally left blank.
This page intentionally left blank.
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 |
| F. William McNabb III |
| Born 1957. Trustee Since July 2009. Chairman of the |
| Board. Principal Occupation(s) During the Past Five |
| Years: Chairman of the Board of The Vanguard Group, |
| Inc., and of each of the investment companies served |
| by The Vanguard Group, since January 2010; Director |
| of The Vanguard Group since 2008; Chief Executive |
| Officer and President of The Vanguard Group, and of |
| each of the investment companies served by The |
| Vanguard Group, since 2008; Director of Vanguard |
| Marketing Corporation; Managing Director of The |
| Vanguard Group (1995–2008). |
| IndependentTrustees |
| Emerson U. Fullwood |
| Born 1948. Trustee Since January 2008. Principal |
| Occupation(s) During the Past Five Years: Executive |
| Chief Staff and Marketing Officer for North America |
| and Corporate Vice President (retired 2008) of Xerox |
| Corporation (document management products and |
| services); Executive in Residence and 2009–2010 |
| Distinguished Minett Professor at the Rochester |
| Institute of Technology; Director of SPX Corporation |
| (multi-industry manufacturing), the United Way of |
| Rochester, Amerigroup Corporation (managed health |
| care), the University of Rochester Medical Center, |
| Monroe Community College Foundation, and North |
| Carolina A&T University. |
| Rajiv L. Gupta |
| Born 1945. Trustee Since December 2001.2 |
| Principal Occupation(s) During the Past Five Years: |
| Chairman and Chief Executive Officer (retired 2009) |
| and President (2006–2008) of Rohm and Haas Co. |
| (chemicals); Director of Tyco International, Ltd. |
| (diversified manufacturing and services), Hewlett- |
| Packard Co. (electronic computer manufacturing), |
| and Delphi Automotive LLP (automotive components); |
| Senior Advisor at New Mountain Capital. |
| Amy Gutmann |
| Born 1949. Trustee Since June 2006. Principal |
| Occupation(s) During the Past Five Years: President of |
| the University of Pennsylvania; Christopher H. Browne |
| Distinguished Professor of Political Science, School of |
| Arts and Sciences, and Professor of Communication, |
| Annenberg School for Communication, with secondary |
| faculty appointments in the Department of Philosophy, |
| School of Arts and Sciences, and at the Graduate |
| School of Education, University of Pennsylvania; |
| Trustee of the National Constitution Center; Chair |
| of the Presidential Commission for the Study of |
| Bioethical Issues. |
| JoAnn Heffernan Heisen |
| Born 1950. Trustee Since July 1998. Principal |
| Occupation(s) During the Past Five Years: Corporate |
| Vice President and Chief Global Diversity Officer |
| (retired 2008) and Member of the Executive |
| Committee (1997–2008) of Johnson & Johnson |
| (pharmaceuticals/medical devices/consumer |
| products); Director of Skytop Lodge Corporation |
| (hotels), the University Medical Center at Princeton, |
| the Robert Wood Johnson Foundation, and the Center |
| for Talent Innovation; Member of the Advisory Board |
| of the Maxwell School of Citizenship and Public Affairs |
| at Syracuse University. |
| F. Joseph Loughrey |
| Born 1949. Trustee Since October 2009. Principal |
| Occupation(s) During the Past Five Years: President |
| and Chief Operating Officer (retired 2009) of Cummins |
| Inc. (industrial machinery); Chairman of the Board |
| of Hillenbrand, Inc. (specialized consumer services), |
| and of Oxfam America; Director of SKF AB (industrial |
| machinery), Hyster-Yale Materials Handling, Inc. |
| (forklift trucks), the Lumina Foundation for Education, |
| and the V Foundation for Cancer Research; Member |
| of the Advisory Council for the College of Arts and |
| Letters and of the Advisory Board to the Kellogg |
| Institute for International Studies, both at the |
| University of Notre Dame. |
| Mark Loughridge |
| Born 1953. Trustee Since March 2012. Principal |
| Occupation(s) During the Past Five Years: Senior Vice |
| President and Chief Financial Officer (retired 2013) |
| at IBM (information technology services); Fiduciary |
| Member of IBM’s Retirement Plan Committee (2004– |
| 2013); Member of the Council on Chicago Booth. |
| Scott C. Malpass |
| Born 1962. Trustee Since March 2012. Principal |
| Occupation(s) During the Past Five Years: Chief |
| Investment Officer and Vice President at the University |
| of Notre Dame; Assistant Professor of Finance at the |
| Mendoza College of Business at Notre Dame; Member |
| of the Notre Dame 403(b) Investment Committee; |
| Board Member of TIFF Advisory Services, Inc. |
| (investment advisor); Member of the Investment |
| Advisory Committees of the Financial Industry |
| Regulatory Authority (FINRA) and of Major League |
| Baseball. |
| André F. Perold |
| Born 1952. Trustee Since December 2004. Principal |
| Occupation(s) During the Past Five Years: George |
| Gund Professor of Finance and Banking, Emeritus |
| at the Harvard Business School (retired 2011); |
| Chief Investment Officer and Managing Partner of |
| HighVista Strategies LLC (private investment firm); |
| Director of Rand Merchant Bank; Overseer of the |
| Museum of Fine Arts Boston. |
| Alfred M. Rankin, Jr. |
| Born 1941. Trustee Since January 1993. Principal |
| Occupation(s) During the Past Five Years: Chairman, |
| President, and Chief Executive Officer of NACCO |
| Industries, Inc. (housewares/lignite), and of Hyster- |
| Yale Materials Handling, Inc. (forklift trucks); Chairman |
| of the Board of University Hospitals of Cleveland. |
| Peter F. Volanakis |
| Born 1955. Trustee Since July 2009. Principal |
| Occupation(s) During the Past Five Years: President |
| and Chief Operating Officer (retired 2010) of Corning |
| Incorporated (communications equipment); Trustee of |
| Colby-Sawyer College; Member of the Advisory Board |
| of the Norris Cotton Cancer Center and of the Advisory |
| Board of the Parthenon Group (strategy consulting). |
| Executive Officers | |
| Glenn Booraem | |
| Born 1967. Controller Since July 2010. Principal | |
| Occupation(s) During the Past Five Years: Principal | |
| of The Vanguard Group, Inc.; Controller of each of | |
| the investment companies served by The Vanguard | |
| Group; Assistant Controller of each of the investment | |
| companies served by The Vanguard Group (2001–2010). | |
| Thomas J. Higgins | |
| Born 1957. Chief Financial Officer Since September | |
| 2008. Principal Occupation(s) During the Past Five | |
| Years: Principal of The Vanguard Group, Inc.; Chief | |
| Financial Officer of each of the investment companies | |
| served by The Vanguard Group; Treasurer of each of | |
| the investment companies served by The Vanguard | |
| Group (1998–2008). | |
| Kathryn J. Hyatt | |
| Born 1955. Treasurer Since November 2008. Principal | |
| Occupation(s) During the Past Five Years: Principal of | |
| The Vanguard Group, Inc.; Treasurer of each of the | |
| investment companies served by The Vanguard | |
| Group; Assistant Treasurer of each of the investment | |
| companies served by The Vanguard Group (1988–2008). | |
| Heidi Stam | |
| Born 1956. Secretary Since July 2005. Principal | |
| Occupation(s) During the Past Five Years: Managing | |
| Director of The Vanguard Group, Inc.; General Counsel | |
| of The Vanguard Group; Secretary of The Vanguard | |
| Group and of each of the investment companies | |
| served by The Vanguard Group; Director and Senior | |
| Vice President of Vanguard Marketing Corporation. | |
| Vanguard Senior ManagementTeam | |
| Mortimer J. Buckley | Chris D. McIsaac |
| Kathleen C. Gubanich | Michael S. Miller |
| Paul A. Heller | James M. Norris |
| Martha G. King | Glenn W. Reed |
| John T. Marcante | |
| Chairman Emeritus and Senior Advisor | |
| John J. Brennan | |
| Chairman, 1996–2009 | |
| Chief Executive Officer and President, 1996–2008 | |
| Founder | |
| 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 | |
| Who Are Deaf or Hard of Hearing> 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. | |
| © 2015 The Vanguard Group, Inc. | |
| All rights reserved. | |
| Vanguard Marketing Corporation, Distributor. | |
| Q850 022015 | |
Item 2: Code of Ethics. The Registrant has adopted a code of ethics that applies to the Registrant’s principal
executive officer, principal financial officer, principal accounting officer or controller or persons performing similar
functions. The Code of Ethics was amended during the reporting period covered by this report to make certain
technical, non-material changes.
Item 3: Audit Committee Financial Expert. The following members of the Audit Committee have been determined by
the Registrant’s Board of Trustees to be Audit Committee Financial Experts serving on its Audit Committee, and to be
independent: Rajiv L. Gupta, Amy Gutmann, JoAnn Heffernan Heisen, F. Joseph Loughrey, Mark Loughridge, Scott
C. Malpass, and André F. Perold.
Item 4: Principal Accountant Fees and Services.
(a) Audit Fees.
Audit Fees of the Registrant
Fiscal Year Ended December 31, 2014: $454,000
Fiscal Year Ended December 31, 2013: $407,000
Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.
Fiscal Year Ended December 31, 2014: $6,605,127
Fiscal Year Ended December 31, 2013: $5,714,113
Includes fees billed in connection with audits of the Registrant, other registered investment companies in the
Vanguard complex, The Vanguard Group, Inc. and Vanguard Marketing Corporation.
(b) Audit-Related Fees.
Fiscal Year Ended December 31, 2014: $2,176,479
Fiscal Year Ended December 31, 2013: $1,552,950
Includes fees billed in connection with assurance and related services provided to the Registrant, other
registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard
Marketing Corporation.
(c) Tax Fees.
Fiscal Year Ended December 31, 2014: $316,869
Fiscal Year Ended December 31, 2013: $110,000
Includes fees billed in connection with tax compliance, planning, and advice services provided to the
Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and
Vanguard Marketing Corporation.
(d) All Other Fees.
Fiscal Year Ended December 31, 2014: $198,163
Fiscal Year Ended December 31, 2013: $132,000
Includes fees billed for services related to tax reported information provided to the Registrant, other registered
investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing
Corporation.
(e) (1) Pre-Approval Policies. The policy of the Registrant’s Audit Committee is to consider and, if appropriate, approve before the principal accountant is engaged for such services, all specific audit and non-audit services provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant. In making a determination, the Audit Committee considers whether the services are consistent with maintaining the principal accountant’s independence.
In the event of a contingency situation in which the principal accountant is needed to provide services in between scheduled Audit Committee meetings, the Chairman of the Audit Committee would be called on to consider and, if appropriate, pre-approve audit or permitted non-audit services in an amount sufficient to complete services through the next Audit Committee meeting, and to determine if such services would be consistent with maintaining the accountant’s independence. At the next scheduled Audit Committee meeting, services and fees would be presented to the Audit Committee for formal consideration, and, if appropriate, approval by the entire Audit Committee. The Audit Committee would again consider whether such services and fees are consistent with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee is informed at least annually of all audit and non-audit services provided by the principal accountant to the Vanguard complex, whether such services are provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., or other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant.
(2) No percentage of the principal accountant’s fees or services were approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) For the most recent fiscal year, over 50% of the hours worked under the principal accountant’s engagement were not performed by persons other than full-time, permanent employees of the principal accountant.
(g) Aggregate Non-Audit Fees.
Fiscal Year Ended December 31, 2014: $515,032
Fiscal Year Ended December 31, 2013: $242,000
Includes fees billed for non-audit services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(h) For the most recent fiscal year, the Audit Committee has determined that the provision of all non-audit services was consistent with maintaining the principal accountant’s independence.
Item 5: Audit Committee of Listed Registrants.
The Registrant is a listed issuer as defined in rule 10A-3 under the Securities Exchange Act of 1934 (“Exchange Act”). The Registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act. The Registrant’s audit committee members are: Emerson U. Fullwood, Rajiv L. Gupta, Amy Gutmann, JoAnn Heffernan Heisen, F. Joseph Loughrey, Mark Loughridge, Scott C. Malpass, André F. Perold, and Peter F. Volanakis.
Item 6: Investments.
| Vanguard® Small-Cap Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Common Stocks (99.7%)1 | |||
| Basic Materials (3.9%) | |||
| RPM International Inc. | 2,333,471 | 118,330 | |
| Rockwood Holdings Inc. | 1,245,865 | 98,174 | |
| Steel Dynamics Inc. | 3,992,856 | 78,819 | |
| NewMarket Corp. | 186,197 | 75,136 | |
| United States Steel Corp. | 2,543,293 | 68,008 | |
| Royal Gold Inc. | 1,076,322 | 67,485 | |
| Allegheny Technologies Inc. | 1,900,114 | 66,067 | |
| PolyOne Corp. | 1,589,049 | 60,241 | |
| Cytec Industries Inc. | 1,259,811 | 58,165 | |
| Axiall Corp. | 1,226,886 | 52,106 | |
| * | Platform Specialty Products Corp. | 2,225,829 | 51,684 |
| Compass Minerals International Inc. | 587,132 | 50,981 | |
| Sensient Technologies Corp. | 841,657 | 50,786 | |
| Domtar Corp. | 1,126,742 | 45,318 | |
| KapStone Paper and Packaging Corp. | 1,509,974 | 44,257 | |
| Cabot Corp. | 1,007,423 | 44,186 | |
| Carpenter Technology Corp. | 883,759 | 43,525 | |
| Minerals Technologies Inc. | 602,981 | 41,877 | |
| HB Fuller Co. | 878,782 | 39,132 | |
| * | Chemtura Corp. | 1,534,432 | 37,947 |
| * | Polypore International Inc. | 780,179 | 36,707 |
| Balchem Corp. | 537,142 | 35,795 | |
| Commercial Metals Co. | 2,066,533 | 33,664 | |
| Olin Corp. | 1,367,611 | 31,141 | |
| * | Stillwater Mining Co. | 2,101,942 | 30,983 |
| Worthington Industries Inc. | 898,268 | 27,029 | |
| Tronox Ltd. Class A | 1,057,301 | 25,248 | |
| US Silica Holdings Inc. | 942,989 | 24,225 | |
| Innophos Holdings Inc. | 380,271 | 22,227 | |
| * | Clearwater Paper Corp. | 324,005 | 22,211 |
| SunCoke Energy Inc. | 1,100,335 | 21,280 | |
| Kaiser Aluminum Corp. | 295,614 | 21,116 | |
| * | Century Aluminum Co. | 855,663 | 20,878 |
| * | Resolute Forest Products Inc. | 1,158,059 | 20,393 |
| Quaker Chemical Corp. | 220,506 | 20,295 | |
| * | Ferro Corp. | 1,521,378 | 19,717 |
| A Schulman Inc. | 483,999 | 19,616 | |
| * | Calgon Carbon Corp. | 930,720 | 19,340 |
| PH Glatfelter Co. | 751,112 | 19,206 | |
| Globe Specialty Metals Inc. | 1,096,352 | 18,890 | |
| Peabody Energy Corp. | 2,370,092 | 18,345 | |
| Hecla Mining Co. | 6,424,806 | 17,925 | |
| *,^ | AK Steel Holding Corp. | 2,942,011 | 17,476 |
| Innospec Inc. | 405,882 | 17,331 | |
| ^ | Cliffs Natural Resources Inc. | 2,411,638 | 17,219 |
| Rayonier Advanced Materials Inc. | 746,071 | 16,637 | |
| OM Group Inc. | 512,190 | 15,263 | |
| * | Horsehead Holding Corp. | 887,403 | 14,048 |
| *,^ | Intrepid Potash Inc. | 997,517 | 13,846 |
| * | RTI International Metals Inc. | 537,450 | 13,576 |
| Deltic Timber Corp. | 198,125 | 13,552 | |
| Stepan Co. | 330,924 | 13,263 | |
| * | Kraton Performance Polymers Inc. | 574,480 | 11,943 |
| * | LSB Industries Inc. | 336,385 | 10,576 |
| Haynes International Inc. | 216,745 | 10,512 | |
| Tredegar Corp. | 452,249 | 10,171 | |
| * | Cloud Peak Energy Inc. | 1,064,742 | 9,774 |
| * | Coeur Mining Inc. | 1,805,568 | 9,226 |
| Koppers Holdings Inc. | 339,878 | 8,830 | |
| ^ | Arch Coal Inc. | 3,706,564 | 6,598 |
| *,^ | Alpha Natural Resources Inc. | 3,865,886 | 6,456 |
1
| Vanguard® Small-Cap Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Axalta Coating Systems Ltd. | 229,774 | 5,979 |
| Kronos Worldwide Inc. | 404,244 | 5,263 | |
| American Vanguard Corp. | 431,674 | 5,016 | |
| FutureFuel Corp. | 381,330 | 4,965 | |
| * | Rentech Inc. | 3,787,209 | 4,772 |
| *,^ | FMSA Holdings Inc. | 414,989 | 2,872 |
| *,^ | Molycorp Inc. | 1,497,262 | 1,319 |
| * | NL Industries Inc. | 127,365 | 1,095 |
| ^ | Walter Energy Inc. | 594,782 | 821 |
| *,^ | Allied Nevada Gold Corp. | 821,311 | 715 |
| 1,987,569 | |||
| Consumer Goods (7.5%) | |||
| Snap-on Inc. | 1,015,779 | 138,898 | |
| Goodyear Tire & Rubber Co. | 4,799,910 | 137,133 | |
| Harman International Industries Inc. | 1,197,751 | 127,812 | |
| * | WhiteWave Foods Co. Class A | 3,048,124 | 106,654 |
| Ingredion Inc. | 1,256,226 | 106,578 | |
| * | Hain Celestial Group Inc. | 1,764,267 | 102,839 |
| Leggett & Platt Inc. | 2,405,995 | 102,519 | |
| * | Middleby Corp. | 1,001,002 | 99,199 |
| * | Toll Brothers Inc. | 2,799,237 | 95,930 |
| Gentex Corp. | 2,431,284 | 87,842 | |
| Brunswick Corp. | 1,624,944 | 83,295 | |
| * | Visteon Corp. | 774,396 | 82,752 |
| Carter's Inc. | 878,530 | 76,704 | |
| * | Kate Spade & Co. | 2,222,070 | 71,128 |
| Dana Holding Corp. | 2,961,200 | 64,377 | |
| * | TreeHouse Foods Inc. | 702,777 | 60,109 |
| Flowers Foods Inc. | 3,119,125 | 59,856 | |
| * | Tempur Sealy International Inc. | 1,064,674 | 58,461 |
| * | Tenneco Inc. | 1,014,215 | 57,415 |
| Pinnacle Foods Inc. | 1,625,897 | 57,394 | |
| * | Deckers Outdoor Corp. | 575,058 | 52,353 |
| * | Darling Ingredients Inc. | 2,878,501 | 52,274 |
| Wolverine World Wide Inc. | 1,686,431 | 49,699 | |
| Scotts Miracle-Gro Co. Class A | 797,251 | 49,685 | |
| Tupperware Brands Corp. | 748,351 | 47,146 | |
| Pool Corp. | 721,009 | 45,741 | |
| * | Boston Beer Co. Inc. Class A | 154,991 | 44,876 |
| Thor Industries Inc. | 793,061 | 44,308 | |
| ^ | Nu Skin Enterprises Inc. Class A | 932,383 | 40,745 |
| * | Skechers U.S.A. Inc. Class A | 723,977 | 40,000 |
| HNI Corp. | 775,827 | 39,614 | |
| * | Take-Two Interactive Software Inc. | 1,396,464 | 39,143 |
| * | TRI Pointe Homes Inc. | 2,537,245 | 38,693 |
| * | Post Holdings Inc. | 870,929 | 36,483 |
| Spectrum Brands Holdings Inc. | 368,095 | 35,219 | |
| * | Zynga Inc. Class A | 12,750,843 | 33,917 |
| * | G-III Apparel Group Ltd. | 332,749 | 33,611 |
| * | Steven Madden Ltd. | 1,011,010 | 32,180 |
| Cooper Tire & Rubber Co. | 913,702 | 31,660 | |
| Lancaster Colony Corp. | 334,446 | 31,318 | |
| * | Helen of Troy Ltd. | 471,466 | 30,674 |
| ^ | Sanderson Farms Inc. | 363,152 | 30,514 |
| Dean Foods Co. | 1,558,901 | 30,212 | |
| Snyder's-Lance Inc. | 983,145 | 30,035 | |
| Ryland Group Inc. | 766,203 | 29,545 | |
| Herman Miller Inc. | 987,230 | 29,054 | |
| Vector Group Ltd. | 1,335,955 | 28,469 | |
| J&J Snack Foods Corp. | 260,807 | 28,368 | |
| B&G Foods Inc. | 938,594 | 28,064 | |
| * | American Axle & Manufacturing Holdings Inc. | 1,192,468 | 26,938 |
| * | Iconix Brand Group Inc. | 797,195 | 26,937 |
| KB Home | 1,605,681 | 26,574 | |
2
| Vanguard® Small-Cap Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Fresh Del Monte Produce Inc. | 788,651 | 26,459 | |
| *,^ | Dorman Products Inc. | 530,198 | 25,593 |
| Andersons Inc. | 480,179 | 25,517 | |
| Steelcase Inc. Class A | 1,397,416 | 25,084 | |
| La-Z-Boy Inc. | 905,594 | 24,306 | |
| * | Select Comfort Corp. | 885,486 | 23,935 |
| * | Gentherm Inc. | 624,362 | 22,864 |
| * | TiVo Inc. | 1,920,195 | 22,735 |
| * | Tumi Holdings Inc. | 949,675 | 22,536 |
| * | Meritage Homes Corp. | 615,851 | 22,164 |
| Columbia Sportswear Co. | 487,463 | 21,712 | |
| * | Seaboard Corp. | 5,103 | 21,422 |
| Schweitzer-Mauduit International Inc. | 506,214 | 21,413 | |
| Herbalife Ltd. | 561,379 | 21,164 | |
| WD-40 Co. | 242,698 | 20,649 | |
| * | Drew Industries Inc. | 393,004 | 20,071 |
| * | Standard Pacific Corp. | 2,694,115 | 19,640 |
| Cal-Maine Foods Inc. | 495,455 | 19,338 | |
| Interface Inc. Class A | 1,100,651 | 18,128 | |
| MDC Holdings Inc. | 683,080 | 18,081 | |
| * | Crocs Inc. | 1,442,974 | 18,023 |
| ^ | Universal Corp. | 405,468 | 17,833 |
| * | ACCO Brands Corp. | 1,960,855 | 17,667 |
| *,^ | GoPro Inc. Class A | 272,385 | 17,220 |
| Knoll Inc. | 808,882 | 17,124 | |
| * | iRobot Corp. | 465,337 | 16,157 |
| Briggs & Stratton Corp. | 753,772 | 15,392 | |
| * | Blount International Inc. | 864,658 | 15,192 |
| Oxford Industries Inc. | 259,273 | 14,314 | |
| Ethan Allen Interiors Inc. | 455,540 | 14,108 | |
| * | Cooper-Standard Holding Inc. | 239,725 | 13,875 |
| * | Eastman Kodak Co. | 549,416 | 11,928 |
| * | Modine Manufacturing Co. | 837,902 | 11,395 |
| * | Chiquita Brands International Inc. | 783,294 | 11,326 |
| * | Boulder Brands Inc. | 1,016,332 | 11,241 |
| * | Taylor Morrison Home Corp. Class A | 577,093 | 10,901 |
| * | Diamond Foods Inc. | 384,855 | 10,864 |
| Tootsie Roll Industries Inc. | 327,750 | 10,046 | |
| * | USANA Health Sciences Inc. | 96,999 | 9,951 |
| * | DTS Inc. | 299,910 | 9,222 |
| * | RealD Inc. | 744,654 | 8,787 |
| Movado Group Inc. | 307,347 | 8,719 | |
| * | Hovnanian Enterprises Inc. Class A | 2,059,326 | 8,505 |
| * | Federal-Mogul Holdings Corp. | 523,747 | 8,427 |
| Phibro Animal Health Corp. Class A | 258,747 | 8,163 | |
| Inter Parfums Inc. | 297,073 | 8,155 | |
| Titan International Inc. | 748,756 | 7,959 | |
| Superior Industries International Inc. | 395,115 | 7,819 | |
| *,^ | Elizabeth Arden Inc. | 364,438 | 7,795 |
| * | Vince Holding Corp. | 288,449 | 7,540 |
| * | Vera Bradley Inc. | 355,160 | 7,238 |
| * | Revlon Inc. Class A | 182,687 | 6,241 |
| * | Central Garden and Pet Co. Class A | 572,623 | 5,469 |
| * | LeapFrog Enterprises Inc. | 1,147,425 | 5,416 |
| National Presto Industries Inc. | 90,452 | 5,250 | |
| * | Quiksilver Inc. | 2,090,524 | 4,620 |
| * | National Beverage Corp. | 202,122 | 4,572 |
| *,^ | Wayfair Inc. | 198,354 | 3,937 |
| * | Central Garden and Pet Co. | 182,553 | 1,603 |
| 3,783,749 | |||
| Consumer Services (13.7%) | |||
| Alaska Air Group Inc. | 2,318,675 | 138,564 | |
| * | Rite Aid Corp. | 17,157,690 | 129,026 |
| Gannett Co. Inc. | 3,948,008 | 126,060 | |
3
| Vanguard® Small-Cap Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Omnicare Inc. | 1,711,193 | 124,797 | |
| * | Avis Budget Group Inc. | 1,857,359 | 123,199 |
| * | Spirit Airlines Inc. | 1,272,035 | 96,140 |
| Domino's Pizza Inc. | 961,593 | 90,553 | |
| KAR Auction Services Inc. | 2,462,332 | 85,320 | |
| * | Madison Square Garden Co. Class A | 1,117,986 | 84,140 |
| * | Sally Beauty Holdings Inc. | 2,713,219 | 83,404 |
| Dick's Sporting Goods Inc. | 1,656,271 | 82,234 | |
| * | Office Depot Inc. | 9,416,271 | 80,745 |
| Service Corp. International | 3,448,568 | 78,282 | |
| * | Panera Bread Co. Class A | 447,123 | 78,157 |
| Dunkin' Brands Group Inc. | 1,828,256 | 77,975 | |
| Dun & Bradstreet Corp. | 627,889 | 75,949 | |
| Lamar Advertising Co. Class A | 1,412,809 | 75,783 | |
| Cablevision Systems Corp. Class A | 3,645,263 | 75,238 | |
| International Game Technology | 4,325,023 | 74,607 | |
| GNC Holdings Inc. Class A | 1,553,371 | 72,946 | |
| * | Copart Inc. | 1,987,694 | 72,531 |
| Foot Locker Inc. | 1,256,096 | 70,567 | |
| * | JetBlue Airways Corp. | 4,335,967 | 68,768 |
| * | VCA Inc. | 1,397,001 | 68,132 |
| * | Groupon Inc. Class A | 8,184,729 | 67,606 |
| ^ | GameStop Corp. Class A | 1,969,512 | 66,570 |
| Brinker International Inc. | 1,110,940 | 65,201 | |
| Graham Holdings Co. Class B | 75,444 | 65,162 | |
| Cinemark Holdings Inc. | 1,820,227 | 64,764 | |
| * | AMC Networks Inc. Class A | 1,006,694 | 64,197 |
| * | Live Nation Entertainment Inc. | 2,455,284 | 64,107 |
| * | United Natural Foods Inc. | 828,427 | 64,058 |
| * | Pandora Media Inc. | 3,455,317 | 61,608 |
| Casey's General Stores Inc. | 675,542 | 61,015 | |
| * | Buffalo Wild Wings Inc. | 330,775 | 59,665 |
| Cracker Barrel Old Country Store Inc. | 417,982 | 58,835 | |
| Vail Resorts Inc. | 634,003 | 57,777 | |
| * | Yelp Inc. Class A | 1,038,261 | 56,824 |
| * | Restoration Hardware Holdings Inc. | 586,738 | 56,333 |
| CST Brands Inc. | 1,289,643 | 56,241 | |
| Dillard's Inc. Class A | 443,770 | 55,551 | |
| * | Apollo Education Group Inc. | 1,605,297 | 54,757 |
| Jack in the Box Inc. | 675,204 | 53,989 | |
| *,^ | SolarCity Corp. | 1,006,672 | 53,837 |
| DSW Inc. Class A | 1,422,551 | 53,061 | |
| Six Flags Entertainment Corp. | 1,227,178 | 52,953 | |
| * | Murphy USA Inc. | 759,215 | 52,280 |
| Lions Gate Entertainment Corp. | 1,466,409 | 46,954 | |
| Sotheby's | 1,085,072 | 46,853 | |
| John Wiley & Sons Inc. Class A | 784,982 | 46,502 | |
| * | Cabela's Inc. | 869,636 | 45,839 |
| DeVry Education Group Inc. | 948,887 | 45,044 | |
| * | HomeAway Inc. | 1,483,320 | 44,173 |
| * | Starz | 1,486,470 | 44,148 |
| * | Bloomin' Brands Inc. | 1,756,594 | 43,493 |
| Wendy's Co. | 4,787,472 | 43,231 | |
| Time Inc. | 1,714,667 | 42,198 | |
| HSN Inc. | 549,118 | 41,733 | |
| Chico's FAS Inc. | 2,538,848 | 41,155 | |
| American Eagle Outfitters Inc. | 2,887,933 | 40,085 | |
| * | Burlington Stores Inc. | 847,222 | 40,040 |
| * | Asbury Automotive Group Inc. | 520,206 | 39,494 |
| Big Lots Inc. | 979,404 | 39,196 | |
| Cheesecake Factory Inc. | 778,436 | 39,163 | |
| Aaron's Inc. | 1,266,396 | 38,714 | |
| * | Houghton Mifflin Harcourt Co. | 1,854,168 | 38,400 |
| * | Grand Canyon Education Inc. | 816,019 | 38,075 |
4
| Vanguard® Small-Cap Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Rollins Inc. | 1,144,238 | 37,874 | |
| Texas Roadhouse Inc. Class A | 1,091,211 | 36,839 | |
| Allegiant Travel Co. Class A | 244,350 | 36,733 | |
| Dolby Laboratories Inc. Class A | 843,192 | 36,358 | |
| Hillenbrand Inc. | 1,041,739 | 35,940 | |
| Abercrombie & Fitch Co. | 1,246,908 | 35,711 | |
| * | SUPERVALU Inc. | 3,649,960 | 35,405 |
| Meredith Corp. | 649,185 | 35,264 | |
| Men's Wearhouse Inc. | 797,712 | 35,219 | |
| * | Five Below Inc. | 853,909 | 34,865 |
| * | Life Time Fitness Inc. | 615,201 | 34,833 |
| Penske Automotive Group Inc. | 709,389 | 34,810 | |
| Group 1 Automotive Inc. | 382,167 | 34,250 | |
| Choice Hotels International Inc. | 610,473 | 34,199 | |
| Lithia Motors Inc. Class A | 393,244 | 34,090 | |
| Sinclair Broadcast Group Inc. Class A | 1,215,200 | 33,248 | |
| Rent-A-Center Inc. | 878,001 | 31,889 | |
| * | Fresh Market Inc. | 761,330 | 31,367 |
| PriceSmart Inc. | 343,098 | 31,297 | |
| New York Times Co. Class A | 2,353,099 | 31,108 | |
| *,^ | JC Penney Co. Inc. | 4,798,342 | 31,093 |
| DineEquity Inc. | 298,363 | 30,922 | |
| * | Genesco Inc. | 400,312 | 30,672 |
| Monro Muffler Brake Inc. | 524,116 | 30,294 | |
| Chemed Corp. | 282,359 | 29,837 | |
| * | Lumber Liquidators Holdings Inc. | 449,084 | 29,779 |
| Marriott Vacations Worldwide Corp. | 399,278 | 29,762 | |
| Regal Entertainment Group Class A | 1,390,106 | 29,693 | |
| AMERCO | 102,879 | 29,244 | |
| * | Ascena Retail Group Inc. | 2,271,778 | 28,534 |
| * | comScore Inc. | 598,128 | 27,771 |
| * | Bright Horizons Family Solutions Inc. | 590,357 | 27,753 |
| * | La Quinta Holdings Inc. | 1,257,321 | 27,736 |
| * | ANN Inc. | 759,468 | 27,705 |
| Papa John's International Inc. | 491,083 | 27,402 | |
| * | Shutterfly Inc. | 643,862 | 26,846 |
| ^ | Buckle Inc. | 507,637 | 26,661 |
| Nexstar Broadcasting Group Inc. Class A | 512,951 | 26,566 | |
| Matthews International Corp. Class A | 545,489 | 26,549 | |
| * | Vitamin Shoppe Inc. | 540,014 | 26,234 |
| * | Acxiom Corp. | 1,279,558 | 25,937 |
| * | DreamWorks Animation SKG Inc. Class A | 1,150,349 | 25,687 |
| * | WebMD Health Corp. | 620,474 | 24,540 |
| * | Beacon Roofing Supply Inc. | 864,199 | 24,025 |
| Sonic Corp. | 881,008 | 23,990 | |
| Pier 1 Imports Inc. | 1,520,338 | 23,413 | |
| Brown Shoe Co. Inc. | 726,225 | 23,348 | |
| * | GrubHub Inc. | 641,196 | 23,288 |
| * | Popeyes Louisiana Kitchen Inc. | 408,207 | 22,970 |
| Morningstar Inc. | 350,886 | 22,706 | |
| * | Lands' End Inc. | 419,203 | 22,620 |
| SeaWorld Entertainment Inc. | 1,259,238 | 22,540 | |
| * | Krispy Kreme Doughnuts Inc. | 1,126,511 | 22,237 |
| * | Pinnacle Entertainment Inc. | 996,555 | 22,173 |
| Guess? Inc. | 1,043,357 | 21,994 | |
| Churchill Downs Inc. | 226,883 | 21,622 | |
| * | Hibbett Sports Inc. | 439,477 | 21,284 |
| Children's Place Inc. | 358,324 | 20,424 | |
| * | Constant Contact Inc. | 554,059 | 20,334 |
| Finish Line Inc. Class A | 836,436 | 20,334 | |
| Bob Evans Farms Inc. | 391,924 | 20,059 | |
| * | Caesars Acquisition Co. Class A | 1,907,726 | 19,669 |
| * | Belmond Ltd. Class A | 1,545,568 | 19,119 |
| Sabre Corp. | 927,841 | 18,807 | |
5
| Vanguard® Small-Cap Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | ServiceMaster Global Holdings Inc. | 701,034 | 18,767 |
| *,^ | TrueCar Inc. | 808,931 | 18,525 |
| * | Diamond Resorts International Inc. | 661,467 | 18,455 |
| * | Express Inc. | 1,252,975 | 18,406 |
| Cato Corp. Class A | 434,915 | 18,345 | |
| * | Mattress Firm Holding Corp. | 306,299 | 17,790 |
| Extended Stay America Inc. | 893,368 | 17,251 | |
| * | Barnes & Noble Inc. | 735,329 | 17,074 |
| * | Penn National Gaming Inc. | 1,238,919 | 17,010 |
| * | Boyd Gaming Corp. | 1,327,444 | 16,965 |
| Scholastic Corp. | 461,862 | 16,821 | |
| *,^ | Media General Inc. | 1,004,394 | 16,804 |
| * | Rush Enterprises Inc. Class A | 506,693 | 16,240 |
| *,^ | Caesars Entertainment Corp. | 1,010,420 | 15,853 |
| Sonic Automotive Inc. Class A | 582,041 | 15,738 | |
| New Media Investment Group Inc. | 655,271 | 15,484 | |
| *,^ | Sears Holdings Corp. | 465,812 | 15,362 |
| * | BJ's Restaurants Inc. | 296,629 | 14,894 |
| Capella Education Co. | 192,611 | 14,823 | |
| * | Zumiez Inc. | 383,254 | 14,805 |
| International Speedway Corp. Class A | 465,771 | 14,742 | |
| National CineMedia Inc. | 1,011,879 | 14,541 | |
| Interval Leisure Group Inc. | 649,356 | 13,565 | |
| * | Strayer Education Inc. | 181,267 | 13,465 |
| * | Michaels Cos. Inc. | 535,293 | 13,238 |
| *,^ | Coupons.com Inc. | 740,126 | 13,137 |
| * | Regis Corp. | 773,406 | 12,962 |
| * | Fiesta Restaurant Group Inc. | 210,900 | 12,823 |
| * | Bankrate Inc. | 1,005,077 | 12,493 |
| * | Francesca's Holdings Corp. | 740,143 | 12,360 |
| *,^ | Weight Watchers International Inc. | 495,899 | 12,318 |
| * | Biglari Holdings Inc. | 30,711 | 12,269 |
| * | Ascent Capital Group Inc. Class A | 222,719 | 11,789 |
| * | FTD Cos. Inc. | 332,348 | 11,572 |
| SkyWest Inc. | 848,730 | 11,271 | |
| Stage Stores Inc. | 528,693 | 10,944 | |
| Fred's Inc. Class A | 611,592 | 10,648 | |
| *,^ | Scientific Games Corp. Class A | 816,693 | 10,396 |
| * | American Public Education Inc. | 271,180 | 9,998 |
| * | Steiner Leisure Ltd. | 213,560 | 9,869 |
| AMC Entertainment Holdings Inc. | 376,389 | 9,854 | |
| *,^ | RetailMeNot Inc. | 660,516 | 9,657 |
| * | zulily Inc. Class A | 409,521 | 9,583 |
| ClubCorp Holdings Inc. | 506,164 | 9,076 | |
| * | Global Eagle Entertainment Inc. | 665,619 | 9,059 |
| Weis Markets Inc. | 187,763 | 8,979 | |
| * | Pep Boys-Manny Moe & Jack | 883,924 | 8,680 |
| *,^ | Conn's Inc. | 443,005 | 8,280 |
| Clear Channel Outdoor Holdings Inc. Class A | 745,427 | 7,894 | |
| * | Blue Nile Inc. | 206,716 | 7,444 |
| *,^ | Noodles & Co. Class A | 271,404 | 7,151 |
| Harte-Hanks Inc. | 866,369 | 6,706 | |
| * | Ruby Tuesday Inc. | 972,308 | 6,651 |
| * | K12 Inc. | 534,769 | 6,348 |
| * | Diplomat Pharmacy Inc. | 216,713 | 5,931 |
| *,^ | Clean Energy Fuels Corp. | 1,178,384 | 5,886 |
| *,^ | Container Store Group Inc. | 292,890 | 5,603 |
| * | Cumulus Media Inc. Class A | 1,316,634 | 5,569 |
| * | Angie's List Inc. | 765,637 | 4,770 |
| Speedway Motorsports Inc. | 216,226 | 4,729 | |
| *,^ | El Pollo Loco Holdings Inc. | 225,557 | 4,504 |
| * | Rush Enterprises Inc. Class B | 147,308 | 4,148 |
| * | Smart & Final Stores Inc. | 247,561 | 3,894 |
| *,^ | Tile Shop Holdings Inc. | 402,961 | 3,578 |
6
| Vanguard® Small-Cap Index Fund | ||
| Schedule of Investments | ||
| December 31, 2014 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * SFX Entertainment Inc. | 787,893 | 3,569 |
| * Liquidity Services Inc. | 417,688 | 3,413 |
| World Wrestling Entertainment Inc. Class A | 274,941 | 3,393 |
| * Potbelly Corp. | 252,665 | 3,252 |
| * Bridgepoint Education Inc. | 277,028 | 3,136 |
| * Sears Hometown and Outlet Stores Inc. | 218,134 | 2,868 |
| * Dave & Buster's Entertainment Inc. | 102,133 | 2,788 |
| * Aeropostale Inc. | 621,940 | 1,443 |
| * RealNetworks Inc. | 204,636 | 1,441 |
| * Travelzoo Inc. | 8,253 | 104 |
| 6,908,663 | ||
| Financials (25.0%) | ||
| Arthur J Gallagher & Co. | 2,821,176 | 132,821 |
| * E*TRADE Financial Corp. | 5,055,197 | 122,614 |
| WP Carey Inc. | 1,727,454 | 121,095 |
| Duke Realty Corp. | 5,973,883 | 120,672 |
| Extra Space Storage Inc. | 1,932,030 | 113,294 |
| * Signature Bank | 835,586 | 105,250 |
| Regency Centers Corp. | 1,630,045 | 103,964 |
| * SVB Financial Group | 888,958 | 103,181 |
| Kilroy Realty Corp. | 1,470,091 | 101,539 |
| DDR Corp. | 5,356,354 | 98,343 |
| Mid-America Apartment Communities Inc. | 1,315,576 | 98,247 |
| Liberty Property Trust | 2,596,871 | 97,720 |
| East West Bancorp Inc. | 2,509,537 | 97,144 |
| Protective Life Corp. | 1,386,114 | 96,543 |
| Apartment Investment & Management Co. Class A | 2,547,233 | 94,630 |
| CBOE Holdings Inc. | 1,475,420 | 93,571 |
| HCC Insurance Holdings Inc. | 1,692,253 | 90,569 |
| Starwood Property Trust Inc. | 3,888,035 | 90,358 |
| National Retail Properties Inc. | 2,293,170 | 90,282 |
| * Liberty Ventures Class A | 2,348,929 | 88,602 |
| Omega Healthcare Investors Inc. | 2,227,703 | 87,036 |
| Hospitality Properties Trust | 2,620,533 | 81,237 |
| Eaton Vance Corp. | 1,965,038 | 80,429 |
| Taubman Centers Inc. | 1,051,598 | 80,363 |
| LaSalle Hotel Properties | 1,952,158 | 79,004 |
| Senior Housing Properties Trust | 3,564,297 | 78,807 |
| Spirit Realty Capital Inc. | 6,619,453 | 78,705 |
| RLJ Lodging Trust | 2,308,019 | 77,388 |
| PacWest Bancorp | 1,692,500 | 76,941 |
| * Howard Hughes Corp. | 588,912 | 76,806 |
| American Campus Communities Inc. | 1,837,669 | 76,006 |
| NorthStar Asset Management Group Inc. | 3,297,667 | 74,428 |
| BioMed Realty Trust Inc. | 3,451,640 | 74,348 |
| Corrections Corp. of America | 2,036,176 | 73,995 |
| Assured Guaranty Ltd. | 2,831,823 | 73,599 |
| Equity LifeStyle Properties Inc. | 1,393,447 | 71,832 |
| Highwoods Properties Inc. | 1,595,486 | 70,648 |
| Brown & Brown Inc. | 2,136,225 | 70,303 |
| Cullen/Frost Bankers Inc. | 992,056 | 70,079 |
| American Financial Group Inc. | 1,152,052 | 69,953 |
| Waddell & Reed Financial Inc. Class A | 1,388,480 | 69,174 |
| Retail Properties of America Inc. | 4,136,125 | 69,032 |
| NorthStar Realty Finance Corp. | 3,900,255 | 68,566 |
| Douglas Emmett Inc. | 2,405,112 | 68,305 |
| Weingarten Realty Investors | 1,923,716 | 67,176 |
| Investors Bancorp Inc. | 5,930,776 | 66,573 |
| City National Corp. | 818,837 | 66,170 |
| Home Properties Inc. | 1,002,728 | 65,779 |
| Umpqua Holdings Corp. | 3,797,953 | 64,603 |
| * Forest City Enterprises Inc. Class A | 3,018,369 | 64,291 |
| Prosperity Bancshares Inc. | 1,158,540 | 64,137 |
| Two Harbors Investment Corp. | 6,400,096 | 64,129 |
7
| Vanguard® Small-Cap Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Commerce Bancshares Inc. | 1,430,645 | 62,219 | |
| RenaissanceRe Holdings Ltd. | 639,937 | 62,215 | |
| * | Alleghany Corp. | 133,717 | 61,978 |
| CNO Financial Group Inc. | 3,584,791 | 61,730 | |
| * | Popular Inc. | 1,808,485 | 61,579 |
| Synovus Financial Corp. | 2,267,919 | 61,438 | |
| Allied World Assurance Co. Holdings AG | 1,600,934 | 60,707 | |
| * | Outfront Media Inc. | 2,258,222 | 60,611 |
| First American Financial Corp. | 1,781,153 | 60,381 | |
| Validus Holdings Ltd. | 1,451,072 | 60,307 | |
| Old Republic International Corp. | 4,104,400 | 60,047 | |
| CubeSmart | 2,704,279 | 59,683 | |
| American Homes 4 Rent Class A | 3,501,175 | 59,625 | |
| Sunstone Hotel Investors Inc. | 3,590,358 | 59,277 | |
| Tanger Factory Outlet Centers Inc. | 1,592,428 | 58,856 | |
| * | Strategic Hotels & Resorts Inc. | 4,440,243 | 58,744 |
| Healthcare Trust of America Inc. Class A | 2,158,265 | 58,144 | |
| * | Equity Commonwealth | 2,253,011 | 57,835 |
| EPR Properties | 998,990 | 57,572 | |
| Chimera Investment Corp. | 17,961,792 | 57,118 | |
| Pebblebrook Hotel Trust | 1,248,312 | 56,960 | |
| Post Properties Inc. | 951,967 | 55,947 | |
| * | Stifel Financial Corp. | 1,096,096 | 55,923 |
| First Horizon National Corp. | 4,112,079 | 55,842 | |
| Radian Group Inc. | 3,339,522 | 55,837 | |
| Columbia Property Trust Inc. | 2,184,467 | 55,376 | |
| * | MGIC Investment Corp. | 5,917,848 | 55,154 |
| CBL & Associates Properties Inc. | 2,827,277 | 54,906 | |
| DCT Industrial Trust Inc. | 1,539,278 | 54,891 | |
| Hanover Insurance Group Inc. | 769,633 | 54,890 | |
| FirstMerit Corp. | 2,890,959 | 54,610 | |
| *,^ | Zillow Inc. Class A | 511,687 | 54,183 |
| Federated Investors Inc. Class B | 1,645,298 | 54,180 | |
| First Niagara Financial Group Inc. | 6,210,894 | 52,358 | |
| Geo Group Inc. | 1,295,931 | 52,304 | |
| MFA Financial Inc. | 6,451,071 | 51,544 | |
| * | Liberty Broadband Corp. | 1,034,498 | 51,539 |
| Sovran Self Storage Inc. | 590,059 | 51,465 | |
| StanCorp Financial Group Inc. | 734,838 | 51,336 | |
| Webster Financial Corp. | 1,577,332 | 51,311 | |
| DiamondRock Hospitality Co. | 3,420,525 | 50,863 | |
| Piedmont Office Realty Trust Inc. Class A | 2,697,250 | 50,816 | |
| * | PRA Group Inc. | 875,278 | 50,705 |
| Primerica Inc. | 928,750 | 50,394 | |
| Brandywine Realty Trust | 3,128,311 | 49,990 | |
| Associated Banc-Corp | 2,656,440 | 49,489 | |
| BankUnited Inc. | 1,687,888 | 48,898 | |
| Sun Communities Inc. | 797,157 | 48,196 | |
| Aspen Insurance Holdings Ltd. | 1,087,793 | 47,613 | |
| Bank of the Ozarks Inc. | 1,253,622 | 47,537 | |
| Healthcare Realty Trust Inc. | 1,715,824 | 46,876 | |
| Washington Prime Group Inc. | 2,711,684 | 46,695 | |
| Gaming and Leisure Properties Inc. | 1,572,143 | 46,127 | |
| Corporate Office Properties Trust | 1,616,770 | 45,868 | |
| White Mountains Insurance Group Ltd. | 72,493 | 45,679 | |
| Colony Financial Inc. | 1,916,013 | 45,639 | |
| Bank of Hawaii Corp. | 766,787 | 45,478 | |
| ProAssurance Corp. | 999,400 | 45,123 | |
| MarketAxess Holdings Inc. | 620,580 | 44,502 | |
| Endurance Specialty Holdings Ltd. | 743,122 | 44,468 | |
| Hancock Holding Co. | 1,425,401 | 43,760 | |
| * | Texas Capital Bancshares Inc. | 798,814 | 43,400 |
| PrivateBancorp Inc. | 1,292,325 | 43,164 | |
| Susquehanna Bancshares Inc. | 3,167,991 | 42,546 | |
8
| Vanguard® Small-Cap Index Fund | ||
| Schedule of Investments | ||
| December 31, 2014 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Assurant Inc. | 613,781 | 42,001 |
| Kite Realty Group Trust | 1,459,463 | 41,945 |
| Janus Capital Group Inc. | 2,600,310 | 41,943 |
| TCF Financial Corp. | 2,630,096 | 41,792 |
| Cousins Properties Inc. | 3,594,326 | 41,047 |
| MB Financial Inc. | 1,241,313 | 40,790 |
| United Bankshares Inc. | 1,088,354 | 40,759 |
| UMB Financial Corp. | 715,459 | 40,702 |
| FNB Corp. | 3,032,475 | 40,393 |
| American National Insurance Co. | 352,318 | 40,256 |
| Fulton Financial Corp. | 3,237,421 | 40,015 |
| ^ Ryman Hospitality Properties Inc. | 757,815 | 39,967 |
| Medical Properties Trust Inc. | 2,862,899 | 39,451 |
| National Health Investors Inc. | 548,209 | 38,353 |
| DuPont Fabros Technology Inc. | 1,150,772 | 38,252 |
| Wintrust Financial Corp. | 816,281 | 38,169 |
| Washington Federal Inc. | 1,715,631 | 38,001 |
| Acadia Realty Trust | 1,181,261 | 37,836 |
| First Industrial Realty Trust Inc. | 1,835,162 | 37,731 |
| Symetra Financial Corp. | 1,620,408 | 37,350 |
| Valley National Bancorp | 3,842,669 | 37,312 |
| * Harbinger Group Inc. | 2,634,318 | 37,302 |
| American Equity Investment Life Holding Co. | 1,254,851 | 36,629 |
| Erie Indemnity Co. Class A | 403,529 | 36,628 |
| * Western Alliance Bancorp | 1,308,159 | 36,367 |
| Iberiabank Corp. | 555,176 | 36,003 |
| Chesapeake Lodging Trust | 958,817 | 35,678 |
| ^ Lexington Realty Trust | 3,246,092 | 35,642 |
| American Realty Capital Healthcare Trust Inc. | 2,958,303 | 35,204 |
| Glimcher Realty Trust | 2,548,434 | 35,015 |
| * Blackhawk Network Holdings Inc. Class B | 918,537 | 34,620 |
| Glacier Bancorp Inc. | 1,245,305 | 34,582 |
| BancorpSouth Inc. | 1,512,572 | 34,048 |
| Cathay General Bancorp | 1,324,248 | 33,888 |
| EastGroup Properties Inc. | 529,980 | 33,558 |
| RLI Corp. | 676,593 | 33,424 |
| Chambers Street Properties | 4,139,509 | 33,364 |
| * Liberty TripAdvisor Holdings Inc. Class A | 1,238,202 | 33,308 |
| Invesco Mortgage Capital Inc. | 2,153,059 | 33,286 |
| Financial Engines Inc. | 907,733 | 33,178 |
| EverBank Financial Corp. | 1,721,804 | 32,818 |
| Home BancShares Inc. | 1,003,943 | 32,287 |
| Washington REIT | 1,164,670 | 32,215 |
| First Citizens BancShares Inc. Class A | 127,354 | 32,194 |
| Alexander & Baldwin Inc. | 810,082 | 31,804 |
| First Financial Bankshares Inc. | 1,063,340 | 31,773 |
| Kennedy-Wilson Holdings Inc. | 1,243,634 | 31,464 |
| Hatteras Financial Corp. | 1,691,600 | 31,176 |
| Rayonier Inc. | 1,107,570 | 30,945 |
| Old National Bancorp | 2,055,605 | 30,587 |
| * Education Realty Trust Inc. | 830,764 | 30,398 |
| Platinum Underwriters Holdings Ltd. | 412,040 | 30,252 |
| Equity One Inc. | 1,189,821 | 30,174 |
| New York REIT Inc. | 2,836,620 | 30,040 |
| New Residential Investment Corp. | 2,349,152 | 29,999 |
| Hudson Pacific Properties Inc. | 996,780 | 29,963 |
| Potlatch Corp. | 710,034 | 29,729 |
| ^ AmTrust Financial Services Inc. | 522,758 | 29,405 |
| WisdomTree Investments Inc. | 1,867,853 | 29,279 |
| * Trulia Inc. | 627,426 | 28,880 |
| Redwood Trust Inc. | 1,456,674 | 28,696 |
| Artisan Partners Asset Management Inc. Class A | 566,980 | 28,649 |
| NRG Yield Inc. Class A | 604,956 | 28,518 |
| Interactive Brokers Group Inc. | 971,381 | 28,325 |
9
| Vanguard® Small-Cap Index Fund | ||
| Schedule of Investments | ||
| December 31, 2014 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Government Properties Income Trust | 1,230,332 | 28,310 |
| Capitol Federal Financial Inc. | 2,214,048 | 28,296 |
| SLM Corp. | 2,757,867 | 28,103 |
| Blackstone Mortgage Trust Inc. Class A | 957,707 | 27,908 |
| STAG Industrial Inc. | 1,126,977 | 27,611 |
| Sabra Health Care REIT Inc. | 905,988 | 27,515 |
| Trustmark Corp. | 1,120,605 | 27,500 |
| Retail Opportunity Investments Corp. | 1,626,008 | 27,301 |
| Mercury General Corp. | 480,645 | 27,238 |
| South State Corp. | 400,745 | 26,882 |
| Pennsylvania REIT | 1,143,096 | 26,817 |
| Parkway Properties Inc. | 1,457,534 | 26,804 |
| Mack-Cali Realty Corp. | 1,401,479 | 26,712 |
| CVB Financial Corp. | 1,665,834 | 26,687 |
| BGC Partners Inc. Class A | 2,907,351 | 26,602 |
| * Hilltop Holdings Inc. | 1,332,592 | 26,585 |
| * Ocwen Financial Corp. | 1,759,482 | 26,568 |
| Evercore Partners Inc. Class A | 502,871 | 26,335 |
| Columbia Banking System Inc. | 953,005 | 26,312 |
| LTC Properties Inc. | 609,463 | 26,311 |
| International Bancshares Corp. | 990,094 | 26,277 |
| PS Business Parks Inc. | 329,579 | 26,215 |
| PennyMac Mortgage Investment Trust | 1,231,923 | 25,981 |
| American Assets Trust Inc. | 648,363 | 25,811 |
| Community Bank System Inc. | 674,609 | 25,723 |
| Virtus Investment Partners Inc. | 150,537 | 25,665 |
| Selective Insurance Group Inc. | 937,523 | 25,472 |
| Ramco-Gershenson Properties Trust | 1,356,579 | 25,422 |
| * Enstar Group Ltd. | 165,371 | 25,284 |
| * Essent Group Ltd. | 970,929 | 24,963 |
| Kemper Corp. | 690,843 | 24,946 |
| Argo Group International Holdings Ltd. | 448,602 | 24,884 |
| * First Cash Financial Services Inc. | 444,999 | 24,773 |
| CYS Investments Inc. | 2,833,620 | 24,709 |
| Horace Mann Educators Corp. | 733,087 | 24,324 |
| Home Loan Servicing Solutions Ltd. | 1,242,102 | 24,246 |
| * MBIA Inc. | 2,534,261 | 24,177 |
| * FNFV Group | 1,533,156 | 24,132 |
| Hersha Hospitality Trust Class A | 3,335,430 | 23,448 |
| Pinnacle Financial Partners Inc. | 592,530 | 23,429 |
| Montpelier Re Holdings Ltd. | 644,731 | 23,094 |
| National Penn Bancshares Inc. | 2,190,618 | 23,056 |
| ARMOUR Residential REIT Inc. | 6,248,683 | 22,995 |
| Associated Estates Realty Corp. | 957,886 | 22,233 |
| BOK Financial Corp. | 363,300 | 21,813 |
| * Springleaf Holdings Inc. | 602,596 | 21,796 |
| First Midwest Bancorp Inc. | 1,251,102 | 21,406 |
| FelCor Lodging Trust Inc. | 1,956,423 | 21,168 |
| Westamerica Bancorporation | 430,148 | 21,086 |
| * Liberty Broadband Corp. Class A | 411,132 | 20,594 |
| Capstead Mortgage Corp. | 1,675,725 | 20,578 |
| Greenhill & Co. Inc. | 467,603 | 20,387 |
| Park National Corp. | 228,970 | 20,259 |
| HFF Inc. Class A | 560,197 | 20,122 |
| Astoria Financial Corp. | 1,483,537 | 19,820 |
| TFS Financial Corp. | 1,312,752 | 19,540 |
| Franklin Street Properties Corp. | 1,577,006 | 19,350 |
| * iStar Financial Inc. | 1,415,171 | 19,317 |
| New Senior Investment Group Inc. | 1,161,353 | 19,104 |
| NBT Bancorp Inc. | 726,572 | 19,087 |
| BBCN Bancorp Inc. | 1,320,942 | 18,995 |
| * Encore Capital Group Inc. | 427,305 | 18,972 |
| First Financial Bancorp | 1,019,682 | 18,956 |
| Northwest Bancshares Inc. | 1,494,441 | 18,725 |
10
| Vanguard® Small-Cap Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Empire State Realty Trust Inc. | 1,056,082 | 18,566 | |
| Provident Financial Services Inc. | 1,027,813 | 18,562 | |
| Boston Private Financial Holdings Inc. | 1,375,378 | 18,526 | |
| Altisource Residential Corp. | 950,201 | 18,434 | |
| Chemical Financial Corp. | 573,026 | 17,558 | |
| Starwood Waypoint Residential Trust | 660,668 | 17,422 | |
| Independent Bank Corp. | 398,124 | 17,044 | |
| WesBanco Inc. | 486,637 | 16,935 | |
| Nelnet Inc. Class A | 364,949 | 16,908 | |
| * | Greenlight Capital Re Ltd. Class A | 516,558 | 16,866 |
| American Capital Mortgage Investment Corp. | 894,462 | 16,852 | |
| Select Income REIT | 681,640 | 16,639 | |
| Investors Real Estate Trust | 2,013,749 | 16,452 | |
| * | St. Joe Co. | 887,925 | 16,329 |
| Inland Real Estate Corp. | 1,488,492 | 16,299 | |
| * | Piper Jaffray Cos. | 270,666 | 15,723 |
| Aviv REIT Inc. | 454,520 | 15,672 | |
| Alexander's Inc. | 35,721 | 15,617 | |
| Ashford Hospitality Trust Inc. | 1,486,152 | 15,575 | |
| * | Ambac Financial Group Inc. | 634,201 | 15,538 |
| Safety Insurance Group Inc. | 236,301 | 15,126 | |
| ViewPoint Financial Group Inc. | 630,067 | 15,027 | |
| First Commonwealth Financial Corp. | 1,604,904 | 14,797 | |
| S&T Bancorp Inc. | 495,106 | 14,759 | |
| Infinity Property & Casualty Corp. | 191,021 | 14,758 | |
| * | Navigators Group Inc. | 199,793 | 14,653 |
| * | KCG Holdings Inc. Class A | 1,228,324 | 14,310 |
| Banner Corp. | 325,253 | 13,992 | |
| Talmer Bancorp Inc. Class A | 986,878 | 13,856 | |
| * | Green Dot Corp. Class A | 651,044 | 13,340 |
| Cohen & Steers Inc. | 313,535 | 13,194 | |
| OFG Bancorp | 781,733 | 13,016 | |
| First Potomac Realty Trust | 1,029,298 | 12,722 | |
| National Bank Holdings Corp. Class A | 646,989 | 12,558 | |
| Employers Holdings Inc. | 523,460 | 12,307 | |
| National General Holdings Corp. | 653,784 | 12,167 | |
| Northfield Bancorp Inc. | 814,308 | 12,052 | |
| * | Investment Technology Group Inc. | 578,331 | 12,041 |
| City Holding Co. | 253,000 | 11,772 | |
| Berkshire Hills Bancorp Inc. | 440,760 | 11,751 | |
| Brookline Bancorp Inc. | 1,164,242 | 11,677 | |
| FXCM Inc. Class A | 701,550 | 11,625 | |
| Saul Centers Inc. | 201,187 | 11,506 | |
| Cash America International Inc. | 505,525 | 11,435 | |
| Maiden Holdings Ltd. | 893,277 | 11,425 | |
| * | Capital Bank Financial Corp. | 420,323 | 11,265 |
| *,^ | Nationstar Mortgage Holdings Inc. | 398,106 | 11,223 |
| Rouse Properties Inc. | 604,816 | 11,201 | |
| Resource Capital Corp. | 2,195,417 | 11,065 | |
| * | First BanCorp | 1,864,241 | 10,943 |
| Tompkins Financial Corp. | 193,813 | 10,718 | |
| State Bank Financial Corp. | 535,153 | 10,692 | |
| Moelis & Co. Class A | 304,453 | 10,635 | |
| * | Ladder Capital Corp. | 539,120 | 10,572 |
| National Western Life Insurance Co. Class A | 38,971 | 10,493 | |
| Anworth Mortgage Asset Corp. | 1,977,359 | 10,381 | |
| *,^ | Walter Investment Management Corp. | 625,388 | 10,325 |
| Oritani Financial Corp. | 666,962 | 10,271 | |
| Silver Bay Realty Trust Corp. | 619,757 | 10,263 | |
| * | Enova International Inc. | 460,830 | 10,258 |
| Central Pacific Financial Corp. | 469,961 | 10,104 | |
| FBL Financial Group Inc. Class A | 171,965 | 9,979 | |
| * | Ezcorp Inc. Class A | 839,315 | 9,862 |
| Universal Health Realty Income Trust | 203,082 | 9,772 | |
11
| Vanguard® Small-Cap Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| AG Mortgage Investment Trust Inc. | 495,442 | 9,200 | |
| * | World Acceptance Corp. | 115,588 | 9,183 |
| United Fire Group Inc. | 306,051 | 9,099 | |
| * | Forestar Group Inc. | 579,695 | 8,927 |
| Urstadt Biddle Properties Inc. Class A | 396,654 | 8,679 | |
| Dime Community Bancshares Inc. | 514,603 | 8,378 | |
| Getty Realty Corp. | 437,513 | 7,967 | |
| *,^ | Altisource Portfolio Solutions SA | 230,057 | 7,774 |
| * | PICO Holdings Inc. | 397,559 | 7,494 |
| * | Tejon Ranch Co. | 252,174 | 7,429 |
| * | Credit Acceptance Corp. | 53,941 | 7,358 |
| GAMCO Investors Inc. | 79,926 | 7,109 | |
| Meadowbrook Insurance Group Inc. | 830,297 | 7,024 | |
| * | TESARO Inc. | 188,796 | 7,021 |
| * | Great Western Bancorp Inc. | 302,759 | 6,900 |
| BancFirst Corp. | 108,125 | 6,854 | |
| Ashford Hospitality Prime Inc. | 396,389 | 6,802 | |
| CareTrust REIT Inc. | 550,030 | 6,782 | |
| OneBeacon Insurance Group Ltd. Class A | 390,406 | 6,325 | |
| * | Walker & Dunlop Inc. | 345,292 | 6,056 |
| * | Paramount Group Inc. | 324,033 | 6,024 |
| * | Altisource Asset Management Corp. | 19,096 | 5,922 |
| * | PennyMac Financial Services Inc. Class A | 338,138 | 5,850 |
| * | Beneficial Mutual Bancorp Inc. | 458,938 | 5,631 |
| State Auto Financial Corp. | 250,078 | 5,557 | |
| GFI Group Inc. | 1,001,557 | 5,458 | |
| * | Flagstar Bancorp Inc. | 343,532 | 5,404 |
| * | FCB Financial Holdings Inc. Class A | 216,014 | 5,323 |
| Newcastle Investment Corp. | 1,158,453 | 5,201 | |
| Fidelity & Guaranty Life | 203,965 | 4,950 | |
| * | NewStar Financial Inc. | 374,318 | 4,791 |
| * | MoneyGram International Inc. | 517,760 | 4,706 |
| * | HealthEquity Inc. | 143,033 | 3,640 |
| * | Kearny Financial Corp. | 235,082 | 3,232 |
| * | Liberty Broadband Rights Exp. 01/09/2015 | 264,770 | 2,515 |
| STORE Capital Corp. | 89,438 | 1,933 | |
| Urstadt Biddle Properties Inc. | 60,433 | 1,121 | |
| * | Blackhawk Network Holdings Inc. | 7,399 | 287 |
| * | On Deck Capital Inc. | 10,244 | 230 |
| * | Tejon Ranch Co. Warrants Exp. 08/31/2016 | 37,571 | 66 |
| 12,638,426 | |||
| Health Care (10.3%) | |||
| * | Alkermes plc | 2,556,398 | 149,703 |
| Cooper Cos. Inc. | 844,007 | 136,805 | |
| * | Cubist Pharmaceuticals Inc. | 1,333,756 | 134,243 |
| * | Isis Pharmaceuticals Inc. | 2,065,377 | 127,516 |
| * | Brookdale Senior Living Inc. | 3,206,321 | 117,576 |
| * | MEDNAX Inc. | 1,755,447 | 116,053 |
| * | Alnylam Pharmaceuticals Inc. | 1,075,880 | 104,360 |
| * | Community Health Systems Inc. | 1,931,990 | 104,173 |
| * | Covance Inc. | 989,167 | 102,715 |
| * | United Therapeutics Corp. | 788,943 | 102,160 |
| * | Centene Corp. | 923,100 | 95,864 |
| * | Tenet Healthcare Corp. | 1,718,128 | 87,058 |
| * | Puma Biotechnology Inc. | 447,916 | 84,777 |
| * | Sirona Dental Systems Inc. | 967,930 | 84,568 |
| Teleflex Inc. | 723,900 | 83,118 | |
| * | Team Health Holdings Inc. | 1,243,088 | 71,515 |
| * | DexCom Inc. | 1,271,402 | 69,991 |
| * | Health Net Inc. | 1,293,990 | 69,267 |
| STERIS Corp. | 1,039,070 | 67,384 | |
| * | Cepheid | 1,232,033 | 66,702 |
| * | Align Technology Inc. | 1,192,936 | 66,697 |
| West Pharmaceutical Services Inc. | 1,242,256 | 66,138 | |
12
| Vanguard® Small-Cap Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Medivation Inc. | 644,537 | 64,202 |
| * | WellCare Health Plans Inc. | 767,381 | 62,971 |
| * | Salix Pharmaceuticals Ltd. | 528,957 | 60,798 |
| * | NPS Pharmaceuticals Inc. | 1,680,818 | 60,123 |
| Bio-Techne Corp. | 648,057 | 59,880 | |
| * | LifePoint Hospitals Inc. | 791,298 | 56,902 |
| HealthSouth Corp. | 1,457,174 | 56,043 | |
| * | Seattle Genetics Inc. | 1,732,426 | 55,663 |
| * | PAREXEL International Corp. | 961,567 | 53,425 |
| * | Pacira Pharmaceuticals Inc. | 598,740 | 53,084 |
| * | Alere Inc. | 1,387,359 | 52,720 |
| * | Charles River Laboratories International Inc. | 820,040 | 52,187 |
| * | Acadia Healthcare Co. Inc. | 785,346 | 48,071 |
| * | Akorn Inc. | 1,319,187 | 47,755 |
| * | Agios Pharmaceuticals Inc. | 416,518 | 46,667 |
| * | Amsurg Corp. | 841,032 | 46,030 |
| Hill-Rom Holdings Inc. | 1,005,185 | 45,857 | |
| * | Insulet Corp. | 980,073 | 45,142 |
| * | ACADIA Pharmaceuticals Inc. | 1,394,840 | 44,286 |
| *,^ | Myriad Genetics Inc. | 1,275,460 | 43,442 |
| * | Bio-Rad Laboratories Inc. Class A | 354,468 | 42,735 |
| *,^ | OPKO Health Inc. | 4,096,231 | 40,921 |
| *,^ | Exact Sciences Corp. | 1,472,125 | 40,395 |
| * | NuVasive Inc. | 821,937 | 38,763 |
| Owens & Minor Inc. | 1,102,228 | 38,699 | |
| * | Impax Laboratories Inc. | 1,182,763 | 37,470 |
| * | Halyard Health Inc. | 813,106 | 36,972 |
| Healthcare Services Group Inc. | 1,173,046 | 36,282 | |
| * | Synageva BioPharma Corp. | 377,243 | 35,004 |
| * | Nektar Therapeutics | 2,246,366 | 34,819 |
| * | Bruker Corp. | 1,766,293 | 34,655 |
| * | Haemonetics Corp. | 896,929 | 33,563 |
| * | Ironwood Pharmaceuticals Inc. Class A | 2,163,252 | 33,141 |
| * | HMS Holdings Corp. | 1,533,858 | 32,426 |
| * | Molina Healthcare Inc. | 592,453 | 31,714 |
| * | Medicines Co. | 1,144,173 | 31,659 |
| * | Prestige Brands Holdings Inc. | 911,538 | 31,649 |
| * | Thoratec Corp. | 961,972 | 31,226 |
| * | Auxilium Pharmaceuticals Inc. | 892,392 | 30,685 |
| * | Neogen Corp. | 612,805 | 30,389 |
| * | Acorda Therapeutics Inc. | 733,676 | 29,985 |
| * | Globus Medical Inc. | 1,234,598 | 29,346 |
| * | Magellan Health Inc. | 483,028 | 28,996 |
| *,^ | Celldex Therapeutics Inc. | 1,566,898 | 28,596 |
| * | Avanir Pharmaceuticals Inc. | 1,660,687 | 28,149 |
| * | Air Methods Corp. | 616,383 | 27,139 |
| * | Receptos Inc. | 216,455 | 26,518 |
| Select Medical Holdings Corp. | 1,831,714 | 26,377 | |
| Cantel Medical Corp. | 581,096 | 25,138 | |
| * | ABIOMED Inc. | 643,772 | 24,502 |
| * | Cyberonics Inc. | 437,258 | 24,347 |
| * | Wright Medical Group Inc. | 893,165 | 23,999 |
| * | Integra LifeSciences Holdings Corp. | 430,130 | 23,326 |
| *,^ | Keryx Biopharmaceuticals Inc. | 1,608,055 | 22,754 |
| *,^ | MannKind Corp. | 4,257,307 | 22,202 |
| * | Masimo Corp. | 825,124 | 21,734 |
| ^ | PDL BioPharma Inc. | 2,809,827 | 21,664 |
| * | Clovis Oncology Inc. | 386,191 | 21,627 |
| Abaxis Inc. | 374,453 | 21,280 | |
| Kindred Healthcare Inc. | 1,156,717 | 21,029 | |
| * | HeartWare International Inc. | 282,351 | 20,733 |
| *,^ | ARIAD Pharmaceuticals Inc. | 2,946,843 | 20,245 |
| ^ | Theravance Inc. | 1,412,448 | 19,986 |
| * | ICU Medical Inc. | 241,873 | 19,809 |
13
| Vanguard® Small-Cap Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| CONMED Corp. | 433,312 | 19,482 | |
| * | Achillion Pharmaceuticals Inc. | 1,577,834 | 19,328 |
| *,^ | Merrimack Pharmaceuticals Inc. | 1,666,670 | 18,833 |
| Analogic Corp. | 216,413 | 18,311 | |
| * | Catalent Inc. | 649,752 | 18,115 |
| * | NxStage Medical Inc. | 975,687 | 17,494 |
| * | Intercept Pharmaceuticals Inc. | 111,942 | 17,463 |
| * | Lannett Co. Inc. | 406,520 | 17,432 |
| * | Ophthotech Corp. | 382,474 | 17,162 |
| * | Ultragenyx Pharmaceutical Inc. | 390,477 | 17,134 |
| * | Endologix Inc. | 1,113,027 | 17,018 |
| *,^ | Intrexon Corp. | 615,351 | 16,941 |
| * | Halozyme Therapeutics Inc. | 1,755,176 | 16,937 |
| * | Portola Pharmaceuticals Inc. | 595,399 | 16,862 |
| * | Tornier NV | 641,406 | 16,356 |
| * | Volcano Corp. | 902,924 | 16,144 |
| * | Dyax Corp. | 1,131,383 | 15,907 |
| Ensign Group Inc. | 353,868 | 15,708 | |
| * | Quidel Corp. | 511,838 | 14,802 |
| * | Emergent Biosolutions Inc. | 525,694 | 14,315 |
| * | Bio-Reference Laboratories Inc. | 436,703 | 14,031 |
| * | IPC The Hospitalist Co. Inc. | 301,384 | 13,830 |
| * | Amedisys Inc. | 467,311 | 13,716 |
| * | Infinity Pharmaceuticals Inc. | 810,659 | 13,692 |
| *,^ | Arena Pharmaceuticals Inc. | 3,849,965 | 13,359 |
| * | Hanger Inc. | 586,654 | 12,848 |
| *,^ | Kite Pharma Inc. | 219,598 | 12,664 |
| * | Luminex Corp. | 674,523 | 12,654 |
| * | Merit Medical Systems Inc. | 721,506 | 12,504 |
| * | PTC Therapeutics Inc. | 235,224 | 12,178 |
| * | VWR Corp. | 459,700 | 11,892 |
| Meridian Bioscience Inc. | 691,078 | 11,375 | |
| * | HealthStream Inc. | 362,744 | 10,694 |
| * | Healthways Inc. | 526,588 | 10,469 |
| National Healthcare Corp. | 160,403 | 10,080 | |
| * | Horizon Pharma plc | 779,819 | 10,052 |
| * | Momenta Pharmaceuticals Inc. | 833,395 | 10,034 |
| * | Sagent Pharmaceuticals Inc. | 389,844 | 9,789 |
| *,^ | Accuray Inc. | 1,294,047 | 9,770 |
| * | Anacor Pharmaceuticals Inc. | 300,269 | 9,684 |
| *,^ | Sarepta Therapeutics Inc. | 649,092 | 9,392 |
| * | Aegerion Pharmaceuticals Inc. | 446,658 | 9,353 |
| * | Relypsa Inc. | 298,473 | 9,193 |
| * | Orthofix International NV | 305,718 | 9,190 |
| * | ImmunoGen Inc. | 1,503,080 | 9,169 |
| Invacare Corp. | 514,515 | 8,623 | |
| * | Gentiva Health Services Inc. | 451,874 | 8,608 |
| * | Ligand Pharmaceuticals Inc. | 157,276 | 8,369 |
| *,^ | Genomic Health Inc. | 249,181 | 7,966 |
| * | BioScrip Inc. | 1,138,363 | 7,957 |
| * | Surgical Care Affiliates Inc. | 235,581 | 7,927 |
| * | Universal American Corp. | 842,430 | 7,818 |
| *,^ | Sequenom Inc. | 2,048,870 | 7,581 |
| * | CorVel Corp. | 198,263 | 7,379 |
| * | LHC Group Inc. | 217,512 | 6,782 |
| * | Spectrum Pharmaceuticals Inc. | 975,830 | 6,762 |
| * | Acceleron Pharma Inc. | 169,193 | 6,592 |
| * | Theravance Biopharma Inc. | 421,685 | 6,292 |
| * | Epizyme Inc. | 297,791 | 5,619 |
| * | Insys Therapeutics Inc. | 121,880 | 5,138 |
| * | Nevro Corp. | 123,144 | 4,762 |
| *,^ | Synergy Pharmaceuticals Inc. | 1,517,080 | 4,627 |
| * | INC Research Holdings Inc. Class A | 178,610 | 4,588 |
| *,^ | ZS Pharma Inc. | 108,864 | 4,525 |
14
| Vanguard® Small-Cap Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| *,^ | Lexicon Pharmaceuticals Inc. | 4,925,302 | 4,482 |
| *,^ | VIVUS Inc. | 1,537,572 | 4,428 |
| * | Exelixis Inc. | 3,065,474 | 4,414 |
| * | Sage Therapeutics Inc. | 67,404 | 2,467 |
| * | Juno Therapeutics Inc. | 20,464 | 1,069 |
| 5,214,410 | |||
| Industrials (19.4%) | |||
| Packaging Corp. of America | 1,719,896 | 134,238 | |
| * | Flextronics International Ltd. | 10,121,755 | 113,161 |
| Valspar Corp. | 1,303,685 | 112,743 | |
| IDEX Corp. | 1,387,993 | 108,041 | |
| * | Spirit AeroSystems Holdings Inc. Class A | 2,467,680 | 106,209 |
| Acuity Brands Inc. | 758,106 | 106,188 | |
| Carlisle Cos. Inc. | 1,121,706 | 101,223 | |
| Total System Services Inc. | 2,924,851 | 99,328 | |
| * | CoStar Group Inc. | 537,237 | 98,653 |
| * | Keysight Technologies Inc. | 2,915,185 | 98,446 |
| Broadridge Financial Solutions Inc. | 2,098,094 | 96,890 | |
| Global Payments Inc. | 1,182,397 | 95,455 | |
| Huntington Ingalls Industries Inc. | 844,145 | 94,933 | |
| * | Old Dominion Freight Line Inc. | 1,204,997 | 93,556 |
| Allegion plc | 1,673,549 | 92,815 | |
| Waste Connections Inc. | 2,061,323 | 90,678 | |
| Jack Henry & Associates Inc. | 1,429,541 | 88,832 | |
| * | Vantiv Inc. Class A | 2,554,667 | 86,654 |
| PerkinElmer Inc. | 1,974,746 | 86,356 | |
| Ryder System Inc. | 927,198 | 86,090 | |
| * | HD Supply Holdings Inc. | 2,913,182 | 85,910 |
| Lincoln Electric Holdings Inc. | 1,222,072 | 84,433 | |
| Graco Inc. | 1,039,559 | 83,352 | |
| * | AECOM Technology Corp. | 2,689,108 | 81,668 |
| Bemis Co. Inc. | 1,746,118 | 78,942 | |
| * | Genesee & Wyoming Inc. Class A | 877,123 | 78,871 |
| * | Graphic Packaging Holding Co. | 5,717,283 | 77,869 |
| Sonoco Products Co. | 1,778,531 | 77,722 | |
| Nordson Corp. | 992,699 | 77,391 | |
| * | Kirby Corp. | 947,528 | 76,503 |
| Trinity Industries Inc. | 2,720,839 | 76,211 | |
| AO Smith Corp. | 1,335,205 | 75,319 | |
| Lennox International Inc. | 755,774 | 71,851 | |
| AptarGroup Inc. | 1,074,904 | 71,847 | |
| * | Hexcel Corp. | 1,667,702 | 69,193 |
| * | Zebra Technologies Corp. | 890,143 | 68,906 |
| MSC Industrial Direct Co. Inc. Class A | 844,437 | 68,610 | |
| Oshkosh Corp. | 1,394,949 | 67,864 | |
| * | WEX Inc. | 677,635 | 67,032 |
| Jabil Circuit Inc. | 3,042,684 | 66,422 | |
| FEI Co. | 726,278 | 65,619 | |
| * | Berry Plastics Group Inc. | 2,066,084 | 65,185 |
| Alliant Techsystems Inc. | 558,179 | 64,888 | |
| ITT Corp. | 1,601,175 | 64,784 | |
| Eagle Materials Inc. | 834,656 | 63,459 | |
| Fortune Brands Home & Security Inc. | 1,378,894 | 62,423 | |
| Toro Co. | 973,095 | 62,093 | |
| MAXIMUS Inc. | 1,093,556 | 59,971 | |
| * | Cognex Corp. | 1,445,456 | 59,741 |
| Triumph Group Inc. | 887,731 | 59,673 | |
| Timken Co. | 1,395,023 | 59,540 | |
| * | WESCO International Inc. | 777,443 | 59,249 |
| * | Teledyne Technologies Inc. | 575,012 | 59,077 |
| Belden Inc. | 748,427 | 58,984 | |
| RR Donnelley & Sons Co. | 3,492,502 | 58,691 | |
| CLARCOR Inc. | 876,063 | 58,381 | |
| Air Lease Corp. Class A | 1,700,151 | 58,332 | |
15
| Vanguard® Small-Cap Index Fund | ||
| Schedule of Investments | ||
| December 31, 2014 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * USG Corp. | 2,072,464 | 58,008 |
| Exelis Inc. | 3,264,399 | 57,225 |
| Landstar System Inc. | 782,004 | 56,719 |
| Babcock & Wilcox Co. | 1,862,431 | 56,432 |
| World Fuel Services Corp. | 1,196,582 | 56,156 |
| National Instruments Corp. | 1,784,028 | 55,465 |
| * Esterline Technologies Corp. | 502,385 | 55,102 |
| Deluxe Corp. | 868,170 | 54,044 |
| * Generac Holdings Inc. | 1,143,598 | 53,475 |
| Curtiss-Wright Corp. | 755,525 | 53,332 |
| Regal-Beloit Corp. | 703,006 | 52,866 |
| Manitowoc Co. Inc. | 2,368,768 | 52,350 |
| Woodward Inc. | 1,031,647 | 50,788 |
| Terex Corp. | 1,799,868 | 50,180 |
| Con-way Inc. | 1,012,248 | 49,782 |
| Kennametal Inc. | 1,382,582 | 49,483 |
| ^ Valmont Industries Inc. | 387,061 | 49,157 |
| EnerSys | 792,734 | 48,928 |
| Crane Co. | 824,760 | 48,413 |
| * Moog Inc. Class A | 648,112 | 47,980 |
| * Euronet Worldwide Inc. | 873,255 | 47,942 |
| Watsco Inc. | 447,213 | 47,852 |
| EMCOR Group Inc. | 1,075,127 | 47,832 |
| * Genpact Ltd. | 2,460,502 | 46,577 |
| Covanta Holding Corp. | 2,061,457 | 45,373 |
| * CoreLogic Inc. | 1,411,504 | 44,589 |
| GATX Corp. | 772,454 | 44,447 |
| * IPG Photonics Corp. | 592,791 | 44,412 |
| * XPO Logistics Inc. | 1,084,714 | 44,343 |
| * Anixter International Inc. | 487,839 | 43,154 |
| * Swift Transportation Co. | 1,506,141 | 43,121 |
| KBR Inc. | 2,535,302 | 42,973 |
| * Clean Harbors Inc. | 890,433 | 42,785 |
| Corporate Executive Board Co. | 587,894 | 42,640 |
| Silgan Holdings Inc. | 773,118 | 41,439 |
| * Louisiana-Pacific Corp. | 2,485,172 | 41,154 |
| * DigitalGlobe Inc. | 1,313,455 | 40,678 |
| * Rexnord Corp. | 1,421,617 | 40,104 |
| * Armstrong World Industries Inc. | 767,331 | 39,226 |
| * Owens-Illinois Inc. | 1,440,824 | 38,888 |
| * Cimpress NV | 510,533 | 38,208 |
| Littelfuse Inc. | 392,949 | 37,986 |
| Booz Allen Hamilton Holding Corp. | 1,430,353 | 37,947 |
| * WageWorks Inc. | 587,343 | 37,925 |
| * MWI Veterinary Supply Inc. | 214,371 | 36,424 |
| Knight Transportation Inc. | 1,063,344 | 35,792 |
| * Knowles Corp. | 1,485,855 | 34,992 |
| * Sanmina Corp. | 1,442,448 | 33,941 |
| Mueller Industries Inc. | 993,945 | 33,933 |
| Vishay Intertechnology Inc. | 2,366,766 | 33,490 |
| Heartland Payment Systems Inc. | 601,151 | 32,432 |
| UniFirst Corp. | 265,549 | 32,251 |
| Convergys Corp. | 1,579,509 | 32,175 |
| Barnes Group Inc. | 857,051 | 31,719 |
| Mobile Mini Inc. | 766,141 | 31,036 |
| AGCO Corp. | 683,301 | 30,885 |
| * Advisory Board Co. | 629,097 | 30,813 |
| * Masonite International Corp. | 495,976 | 30,483 |
| Watts Water Technologies Inc. Class A | 475,497 | 30,166 |
| * Cardtronics Inc. | 778,738 | 30,044 |
| Applied Industrial Technologies Inc. | 649,075 | 29,591 |
| TimkenSteel Corp. | 798,220 | 29,558 |
| MSA Safety Inc. | 555,954 | 29,516 |
| Tetra Tech Inc. | 1,093,777 | 29,204 |
16
| Vanguard® Small-Cap Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| United Stationers Inc. | 680,334 | 28,683 | |
| HEICO Corp. | 474,811 | 28,679 | |
| * | Navistar International Corp. | 852,963 | 28,557 |
| Actuant Corp. Class A | 1,021,530 | 27,826 | |
| SPX Corp. | 323,085 | 27,759 | |
| * | FTI Consulting Inc. | 716,670 | 27,685 |
| * | ExamWorks Group Inc. | 665,399 | 27,674 |
| * | On Assignment Inc. | 824,035 | 27,350 |
| * | Huron Consulting Group Inc. | 399,454 | 27,319 |
| Mueller Water Products Inc. Class A | 2,656,710 | 27,205 | |
| * | Orbital Sciences Corp. | 1,011,607 | 27,202 |
| Heartland Express Inc. | 997,949 | 26,955 | |
| Forward Air Corp. | 531,946 | 26,794 | |
| Harsco Corp. | 1,413,413 | 26,699 | |
| *,^ | NeuStar Inc. Class A | 959,877 | 26,685 |
| * | Coherent Inc. | 438,787 | 26,643 |
| ABM Industries Inc. | 926,207 | 26,536 | |
| Franklin Electric Co. Inc. | 706,731 | 26,524 | |
| * | EnPro Industries Inc. | 418,983 | 26,295 |
| * | Rogers Corp. | 319,411 | 26,013 |
| * | Itron Inc. | 614,854 | 26,002 |
| Matson Inc. | 752,793 | 25,986 | |
| * | Meritor Inc. | 1,711,191 | 25,925 |
| * | Proto Labs Inc. | 383,329 | 25,744 |
| TAL International Group Inc. | 588,513 | 25,641 | |
| * | Boise Cascade Co. | 689,366 | 25,610 |
| * | Korn/Ferry International | 879,704 | 25,300 |
| Simpson Manufacturing Co. Inc. | 727,728 | 25,179 | |
| RBC Bearings Inc. | 387,375 | 24,997 | |
| * | Outerwall Inc. | 330,394 | 24,852 |
| * | MasTec Inc. | 1,073,969 | 24,282 |
| * | Plexus Corp. | 588,285 | 24,243 |
| * | LifeLock Inc. | 1,309,583 | 24,240 |
| EVERTEC Inc. | 1,091,018 | 24,144 | |
| HEICO Corp. Class A | 501,272 | 23,740 | |
| *,^ | Ambarella Inc. | 467,319 | 23,702 |
| * | Benchmark Electronics Inc. | 929,166 | 23,638 |
| * | TriMas Corp. | 752,212 | 23,537 |
| Werner Enterprises Inc. | 754,184 | 23,493 | |
| G&K Services Inc. Class A | 331,172 | 23,464 | |
| Granite Construction Inc. | 616,285 | 23,431 | |
| * | Veeco Instruments Inc. | 668,281 | 23,310 |
| * | OSI Systems Inc. | 329,045 | 23,286 |
| * | Hub Group Inc. Class A | 610,637 | 23,253 |
| Tennant Co. | 321,870 | 23,229 | |
| ^ | Greenbrier Cos. Inc. | 424,289 | 22,797 |
| Aircastle Ltd. | 1,061,721 | 22,689 | |
| * | Trex Co. Inc. | 531,848 | 22,646 |
| Brady Corp. Class A | 792,706 | 21,673 | |
| * | Greatbatch Inc. | 437,177 | 21,553 |
| * | Atlas Air Worldwide Holdings Inc. | 433,874 | 21,390 |
| * | PHH Corp. | 889,369 | 21,309 |
| * | TriNet Group Inc. | 669,326 | 20,936 |
| Brink's Co. | 849,614 | 20,739 | |
| Apogee Enterprises Inc. | 481,285 | 20,392 | |
| AZZ Inc. | 426,524 | 20,012 | |
| Otter Tail Corp. | 643,769 | 19,931 | |
| MTS Systems Corp. | 263,612 | 19,779 | |
| * | Imperva Inc. | 395,223 | 19,536 |
| Kaman Corp. | 474,330 | 19,016 | |
| ArcBest Corp. | 409,826 | 19,004 | |
| Albany International Corp. | 500,227 | 19,004 | |
| * | KLX Inc. | 460,000 | 18,975 |
| * | FARO Technologies Inc. | 302,159 | 18,939 |
17
| Vanguard® Small-Cap Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | UTi Worldwide Inc. | 1,567,666 | 18,922 |
| *,^ | Universal Display Corp. | 679,014 | 18,843 |
| CIRCOR International Inc. | 309,154 | 18,636 | |
| Cubic Corp. | 352,386 | 18,550 | |
| AAR Corp. | 662,589 | 18,407 | |
| Universal Forest Products Inc. | 333,188 | 17,726 | |
| Exponent Inc. | 213,843 | 17,642 | |
| ^ | Lindsay Corp. | 202,720 | 17,381 |
| Standex International Corp. | 223,085 | 17,236 | |
| Greif Inc. Class A | 356,382 | 16,832 | |
| Raven Industries Inc. | 664,294 | 16,607 | |
| * | TrueBlue Inc. | 743,662 | 16,546 |
| * | Tutor Perini Corp. | 679,831 | 16,364 |
| ESCO Technologies Inc. | 437,245 | 16,134 | |
| * | Sykes Enterprises Inc. | 681,439 | 15,993 |
| John Bean Technologies Corp. | 483,845 | 15,899 | |
| * | ExlService Holdings Inc. | 545,820 | 15,670 |
| H&E Equipment Services Inc. | 554,674 | 15,581 | |
| Sun Hydraulics Corp. | 395,041 | 15,557 | |
| McGrath RentCorp | 431,373 | 15,469 | |
| AAON Inc. | 666,961 | 14,933 | |
| * | Wabash National Corp. | 1,206,999 | 14,918 |
| Primoris Services Corp. | 631,578 | 14,678 | |
| Badger Meter Inc. | 240,087 | 14,249 | |
| * | Wesco Aircraft Holdings Inc. | 1,017,811 | 14,229 |
| Acacia Research Corp. | 832,780 | 14,107 | |
| * | Rofin-Sinar Technologies Inc. | 489,924 | 14,095 |
| * | Team Inc. | 342,018 | 13,838 |
| * | Nortek Inc. | 169,340 | 13,772 |
| Textainer Group Holdings Ltd. | 395,080 | 13,559 | |
| Insperity Inc. | 398,994 | 13,522 | |
| * | II-VI Inc. | 963,518 | 13,152 |
| * | Navigant Consulting Inc. | 848,514 | 13,042 |
| * | Thermon Group Holdings Inc. | 533,015 | 12,894 |
| ManTech International Corp. Class A | 421,398 | 12,739 | |
| * | Newport Corp. | 662,337 | 12,657 |
| Astec Industries Inc. | 320,953 | 12,617 | |
| Altra Industrial Motion Corp. | 442,766 | 12,570 | |
| Materion Corp. | 352,757 | 12,428 | |
| Quanex Building Products Corp. | 656,750 | 12,334 | |
| Encore Wire Corp. | 326,314 | 12,181 | |
| * | Aegion Corp. Class A | 654,118 | 12,173 |
| General Cable Corp. | 809,109 | 12,056 | |
| ^ | Sturm Ruger & Co. Inc. | 339,835 | 11,768 |
| * | RPX Corp. | 849,550 | 11,707 |
| * | Roadrunner Transportation Systems Inc. | 497,775 | 11,623 |
| Methode Electronics Inc. | 317,151 | 11,579 | |
| Comfort Systems USA Inc. | 617,796 | 10,577 | |
| Resources Connection Inc. | 633,284 | 10,417 | |
| Quad/Graphics Inc. | 453,368 | 10,409 | |
| Kforce Inc. | 427,128 | 10,307 | |
| Gorman-Rupp Co. | 320,852 | 10,306 | |
| AVX Corp. | 732,923 | 10,261 | |
| * | GrafTech International Ltd. | 2,024,328 | 10,243 |
| Hyster-Yale Materials Handling Inc. | 139,463 | 10,209 | |
| Schnitzer Steel Industries Inc. | 437,679 | 9,874 | |
| Griffon Corp. | 735,310 | 9,780 | |
| Advanced Drainage Systems Inc. | 415,786 | 9,555 | |
| * | Checkpoint Systems Inc. | 692,998 | 9,515 |
| * | Aerovironment Inc. | 346,028 | 9,429 |
| * | DXP Enterprises Inc. | 177,289 | 8,958 |
| * | Smith & Wesson Holding Corp. | 932,810 | 8,834 |
| Park Electrochemical Corp. | 347,377 | 8,660 | |
| American Railcar Industries Inc. | 167,712 | 8,637 | |
18
| Vanguard® Small-Cap Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Bazaarvoice Inc. | 1,022,299 | 8,219 |
| Kelly Services Inc. Class A | 477,740 | 8,131 | |
| * | M/A-COM Technology Solutions Holdings Inc. | 248,819 | 7,783 |
| * | Air Transport Services Group Inc. | 907,006 | 7,764 |
| * | Dice Holdings Inc. | 742,329 | 7,431 |
| American Science & Engineering Inc. | 137,272 | 7,124 | |
| * | TTM Technologies Inc. | 945,927 | 7,123 |
| * | TeleTech Holdings Inc. | 297,709 | 7,050 |
| * | Paylocity Holding Corp. | 263,592 | 6,882 |
| * | Monster Worldwide Inc. | 1,471,208 | 6,797 |
| * | CAI International Inc. | 290,342 | 6,736 |
| * | Continental Building Products Inc. | 345,963 | 6,134 |
| Black Box Corp. | 256,225 | 6,124 | |
| Landauer Inc. | 166,600 | 5,688 | |
| * | InnerWorkings Inc. | 658,018 | 5,126 |
| * | Mistras Group Inc. | 274,587 | 5,033 |
| * | Ply Gem Holdings Inc. | 355,034 | 4,963 |
| Greif Inc. Class B | 91,711 | 4,518 | |
| *,^ | Nuverra Environmental Solutions Inc. | 143,124 | 794 |
| * | Overseas Shipholding Group Inc. Class B | 83,134 | 457 |
| Foster Wheeler AG | 7,450 | 205 | |
| 9,777,519 | |||
| Oil & Gas (3.8%) | |||
| Targa Resources Corp. | 662,956 | 70,306 | |
| * | Newfield Exploration Co. | 2,398,853 | 65,057 |
| * | Gulfport Energy Corp. | 1,495,036 | 62,403 |
| * | First Solar Inc. | 1,313,700 | 58,584 |
| Superior Energy Services Inc. | 2,659,809 | 53,595 | |
| SemGroup Corp. Class A | 760,101 | 51,983 | |
| Rowan Cos. plc Class A | 2,176,783 | 50,763 | |
| * | Diamondback Energy Inc. | 843,166 | 50,404 |
| * | Dril-Quip Inc. | 655,444 | 50,292 |
| Western Refining Inc. | 1,292,682 | 48,838 | |
| *,^ | NOW Inc. | 1,871,100 | 48,143 |
| * | Oil States International Inc. | 929,183 | 45,437 |
| * | WPX Energy Inc. | 3,553,791 | 41,331 |
| Patterson-UTI Energy Inc. | 2,430,577 | 40,323 | |
| PBF Energy Inc. Class A | 1,460,501 | 38,908 | |
| Bristow Group Inc. | 583,591 | 38,394 | |
| Exterran Holdings Inc. | 1,133,052 | 36,915 | |
| * | Helix Energy Solutions Group Inc. | 1,659,718 | 36,016 |
| *,^ | Ultra Petroleum Corp. | 2,545,655 | 33,501 |
| QEP Resources Inc. | 1,574,504 | 31,836 | |
| Nabors Industries Ltd. | 2,403,226 | 31,194 | |
| * | Atwood Oceanics Inc. | 1,068,186 | 30,304 |
| * | Carrizo Oil & Gas Inc. | 724,755 | 30,150 |
| * | California Resources Corp. | 5,424,864 | 29,891 |
| * | Unit Corp. | 866,031 | 29,532 |
| Tidewater Inc. | 869,773 | 28,189 | |
| * | Oasis Petroleum Inc. | 1,683,819 | 27,850 |
| * | Memorial Resource Development Corp. | 1,523,135 | 27,462 |
| Delek US Holdings Inc. | 953,348 | 26,007 | |
| * | PDC Energy Inc. | 627,523 | 25,898 |
| * | MRC Global Inc. | 1,695,840 | 25,692 |
| * | Cobalt International Energy Inc. | 2,883,835 | 25,637 |
| Denbury Resources Inc. | 3,080,642 | 25,046 | |
| * | Rice Energy Inc. | 1,191,789 | 24,992 |
| * | Rosetta Resources Inc. | 1,075,439 | 23,993 |
| *,^ | SunPower Corp. Class A | 918,821 | 23,733 |
| * | Matador Resources Co. | 1,154,801 | 23,362 |
| SM Energy Co. | 588,876 | 22,719 | |
| * | Forum Energy Technologies Inc. | 1,070,330 | 22,188 |
| * | SEACOR Holdings Inc. | 292,467 | 21,587 |
| * | Chart Industries Inc. | 533,114 | 18,233 |
19
| Vanguard® Small-Cap Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Pattern Energy Group Inc. Class A | 691,742 | 17,058 | |
| * | Parsley Energy Inc. Class A | 1,068,364 | 17,051 |
| * | Flotek Industries Inc. | 896,248 | 16,787 |
| * | Stone Energy Corp. | 933,783 | 15,762 |
| RPC Inc. | 1,147,528 | 14,964 | |
| *,^ | SandRidge Energy Inc. | 8,211,719 | 14,945 |
| *,^ | Laredo Petroleum Inc. | 1,382,713 | 14,311 |
| * | Hornbeck Offshore Services Inc. | 572,093 | 14,285 |
| * | Bonanza Creek Energy Inc. | 577,221 | 13,853 |
| ^ | CARBO Ceramics Inc. | 342,642 | 13,723 |
| * | RSP Permian Inc. | 541,026 | 13,601 |
| * | Newpark Resources Inc. | 1,396,086 | 13,319 |
| * | McDermott International Inc. | 4,158,484 | 12,101 |
| ^ | CVR Energy Inc. | 303,935 | 11,765 |
| *,^ | Magnum Hunter Resources Corp. | 3,323,970 | 10,437 |
| * | C&J Energy Services Inc. | 772,819 | 10,209 |
| Gulfmark Offshore Inc. | 413,728 | 10,103 | |
| * | Bill Barrett Corp. | 823,229 | 9,377 |
| * | TETRA Technologies Inc. | 1,320,130 | 8,818 |
| *,^ | Sanchez Energy Corp. | 920,655 | 8,553 |
| * | Penn Virginia Corp. | 1,249,252 | 8,345 |
| * | Contango Oil & Gas Co. | 270,571 | 7,912 |
| Civeo Corp. | 1,867,516 | 7,676 | |
| Tesco Corp. | 588,191 | 7,541 | |
| *,^ | Halcon Resources Corp. | 4,056,030 | 7,220 |
| * | Clayton Williams Energy Inc. | 106,177 | 6,774 |
| *,^ | EP Energy Corp. Class A | 641,006 | 6,692 |
| Green Plains Inc. | 262,653 | 6,509 | |
| * | ION Geophysical Corp. | 2,291,904 | 6,303 |
| * | Parker Drilling Co. | 2,022,482 | 6,209 |
| * | Pioneer Energy Services Corp. | 1,113,210 | 6,167 |
| * | Geospace Technologies Corp. | 217,888 | 5,774 |
| *,^ | Northern Oil and Gas Inc. | 1,010,607 | 5,710 |
| ^ | EXCO Resources Inc. | 2,628,454 | 5,704 |
| ^ | Comstock Resources Inc. | 793,281 | 5,402 |
| Alon USA Energy Inc. | 425,056 | 5,385 | |
| ^ | Energy XXI Ltd. | 1,558,519 | 5,081 |
| * | Basic Energy Services Inc. | 715,705 | 5,017 |
| * | Seventy Seven Energy Inc. | 843,119 | 4,561 |
| W&T Offshore Inc. | 593,992 | 4,360 | |
| * | Rex Energy Corp. | 849,568 | 4,333 |
| *,^ | Approach Resources Inc. | 621,111 | 3,969 |
| * | Eclipse Resources Corp. | 558,428 | 3,926 |
| * | Jones Energy Inc. | 198,604 | 2,266 |
| * | Willbros Group Inc. | 353,412 | 2,216 |
| ^ | Paragon Offshore plc | 740,512 | 2,051 |
| * | Key Energy Services Inc. | 1,139,857 | 1,904 |
| * | PetroQuest Energy Inc. | 490,339 | 1,834 |
| * | Swift Energy Co. | 364,000 | 1,474 |
| *,^ | Goodrich Petroleum Corp. | 310,551 | 1,379 |
| *,^ | Solazyme Inc. | 519,687 | 1,341 |
| *,^ | Hercules Offshore Inc. | 1,334,983 | 1,335 |
| * | Resolute Energy Corp. | 916,680 | 1,210 |
| * | Vantage Drilling Co. | 1,613,727 | 789 |
| *,^ | Midstates Petroleum Co. Inc. | 276,986 | 418 |
| 1,912,497 | |||
| Other (0.0%)2 | |||
| * | Amec Foster Wheeler plc | 1,457,799 | 19,381 |
| * | Leap Wireless International Inc. CVR | 938,827 | 2,366 |
| 21,747 | |||
| Technology (11.9%) | |||
| CDK Global Inc. | 2,667,755 | 108,738 | |
20
| Vanguard® Small-Cap Index Fund | ||
| Schedule of Investments | ||
| December 31, 2014 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Cadence Design Systems Inc. | 5,117,334 | 97,076 |
| * athenahealth Inc. | 665,941 | 97,028 |
| Brocade Communications Systems Inc. | 7,552,338 | 89,420 |
| * SunEdison Inc. | 4,500,159 | 87,798 |
| Pitney Bowes Inc. | 3,513,687 | 85,628 |
| * TriQuint Semiconductor Inc. | 3,099,477 | 85,391 |
| * RF Micro Devices Inc. | 5,082,532 | 84,319 |
| IAC/InterActiveCorp | 1,363,760 | 82,903 |
| * NCR Corp. | 2,796,735 | 81,497 |
| * ON Semiconductor Corp. | 7,620,074 | 77,191 |
| * Ingram Micro Inc. | 2,726,040 | 75,348 |
| * Fortinet Inc. | 2,449,617 | 75,105 |
| Teradyne Inc. | 3,784,579 | 74,897 |
| * Palo Alto Networks Inc. | 598,409 | 73,347 |
| SS&C Technologies Holdings Inc. | 1,243,215 | 72,716 |
| * Informatica Corp. | 1,899,731 | 72,446 |
| * PTC Inc. | 1,926,353 | 70,601 |
| * VeriFone Systems Inc. | 1,877,554 | 69,845 |
| * Ultimate Software Group Inc. | 471,031 | 69,154 |
| CDW Corp. | 1,956,841 | 68,822 |
| * ARRIS Group Inc. | 2,277,769 | 68,766 |
| * Tableau Software Inc. Class A | 780,293 | 66,138 |
| * Verint Systems Inc. | 1,058,707 | 61,701 |
| * Guidewire Software Inc. | 1,215,195 | 61,525 |
| Solera Holdings Inc. | 1,192,573 | 61,036 |
| * Tyler Technologies Inc. | 548,478 | 60,025 |
| * AOL Inc. | 1,293,402 | 59,716 |
| * Cavium Inc. | 942,532 | 58,267 |
| * Atmel Corp. | 6,930,683 | 58,183 |
| DST Systems Inc. | 598,765 | 56,374 |
| Leidos Holdings Inc. | 1,294,138 | 56,321 |
| * SolarWinds Inc. | 1,123,792 | 55,999 |
| * JDS Uniphase Corp. | 4,052,631 | 55,602 |
| * Aspen Technology Inc. | 1,581,410 | 55,381 |
| * Manhattan Associates Inc. | 1,304,421 | 53,116 |
| * Riverbed Technology Inc. | 2,575,590 | 52,568 |
| * Sapient Corp. | 2,090,916 | 52,022 |
| * Integrated Device Technology Inc. | 2,598,231 | 50,925 |
| * International Rectifier Corp. | 1,252,060 | 49,957 |
| j2 Global Inc. | 793,804 | 49,216 |
| * Qlik Technologies Inc. | 1,578,419 | 48,757 |
| * Microsemi Corp. | 1,660,978 | 47,139 |
| * Freescale Semiconductor Ltd. | 1,859,421 | 46,913 |
| * ViaSat Inc. | 738,049 | 46,519 |
| Lexmark International Inc. Class A | 1,079,933 | 44,569 |
| * Synaptics Inc. | 644,816 | 44,389 |
| * Medidata Solutions Inc. | 900,641 | 43,006 |
| * Tech Data Corp. | 668,436 | 42,265 |
| Fair Isaac Corp. | 561,071 | 40,565 |
| * ACI Worldwide Inc. | 2,008,399 | 40,509 |
| SYNNEX Corp. | 515,412 | 40,285 |
| * EchoStar Corp. Class A | 764,659 | 40,145 |
| Plantronics Inc. | 750,142 | 39,772 |
| * CommVault Systems Inc. | 759,715 | 39,270 |
| * Allscripts Healthcare Solutions Inc. | 2,992,310 | 38,212 |
| * Dealertrack Technologies Inc. | 849,824 | 37,656 |
| * Rovi Corp. | 1,660,933 | 37,520 |
| * Spansion Inc. Class A | 1,084,162 | 37,100 |
| Mentor Graphics Corp. | 1,688,334 | 37,008 |
| Cypress Semiconductor Corp. | 2,535,527 | 36,207 |
| * Ciena Corp. | 1,863,689 | 36,174 |
| * CACI International Inc. Class A | 415,723 | 35,827 |
| Diebold Inc. | 1,016,244 | 35,203 |
| * Electronics For Imaging Inc. | 821,363 | 35,179 |
21
| Vanguard® Small-Cap Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Fairchild Semiconductor International Inc. Class A | 2,075,245 | 35,030 |
| Blackbaud Inc. | 808,777 | 34,988 | |
| Science Applications International Corp. | 698,341 | 34,589 | |
| InterDigital Inc. | 649,436 | 34,355 | |
| * | EPAM Systems Inc. | 712,100 | 34,003 |
| MKS Instruments Inc. | 928,164 | 33,971 | |
| * | Finisar Corp. | 1,739,457 | 33,763 |
| * | CommScope Holding Co. Inc. | 1,477,117 | 33,723 |
| * | Cree Inc. | 1,044,027 | 33,638 |
| * | Aruba Networks Inc. | 1,817,484 | 33,042 |
| Intersil Corp. Class A | 2,275,098 | 32,921 | |
| * | Semtech Corp. | 1,178,053 | 32,479 |
| * | Infinera Corp. | 2,191,041 | 32,252 |
| * | Entegris Inc. | 2,439,887 | 32,231 |
| * | Polycom Inc. | 2,387,040 | 32,225 |
| Monolithic Power Systems Inc. | 643,744 | 32,020 | |
| * | Silicon Laboratories Inc. | 667,134 | 31,769 |
| * | Demandware Inc. | 539,812 | 31,061 |
| *,^ | 3D Systems Corp. | 923,441 | 30,353 |
| Tessera Technologies Inc. | 830,643 | 29,704 | |
| * | Cornerstone OnDemand Inc. | 843,013 | 29,674 |
| *,^ | Advanced Micro Devices Inc. | 10,848,102 | 28,964 |
| * | Proofpoint Inc. | 566,188 | 27,307 |
| * | PMC-Sierra Inc. | 2,943,990 | 26,967 |
| * | Envestnet Inc. | 540,602 | 26,565 |
| Advent Software Inc. | 858,920 | 26,317 | |
| * | OmniVision Technologies Inc. | 1,007,703 | 26,200 |
| * | Cirrus Logic Inc. | 1,104,705 | 26,038 |
| * | MicroStrategy Inc. Class A | 159,749 | 25,943 |
| Cogent Communications Holdings Inc. | 727,943 | 25,762 | |
| * | Unisys Corp. | 873,252 | 25,743 |
| Power Integrations Inc. | 490,568 | 25,382 | |
| * | Synchronoss Technologies Inc. | 594,073 | 24,868 |
| * | Veeva Systems Inc. Class A | 908,849 | 24,003 |
| * | Syntel Inc. | 511,871 | 23,024 |
| * | Progress Software Corp. | 833,990 | 22,534 |
| * | Super Micro Computer Inc. | 643,216 | 22,435 |
| * | NetScout Systems Inc. | 612,366 | 22,376 |
| * | iGATE Corp. | 565,218 | 22,315 |
| * | FleetMatics Group plc | 627,186 | 22,259 |
| * | Rambus Inc. | 1,906,669 | 21,145 |
| * | MedAssets Inc. | 1,052,949 | 20,806 |
| ADTRAN Inc. | 949,985 | 20,710 | |
| * | QLogic Corp. | 1,541,638 | 20,535 |
| *,^ | InvenSense Inc. | 1,260,059 | 20,489 |
| * | NETGEAR Inc. | 574,784 | 20,451 |
| * | ScanSource Inc. | 499,378 | 20,055 |
| * | LogMeIn Inc. | 405,196 | 19,992 |
| * | Dycom Industries Inc. | 565,902 | 19,857 |
| Monotype Imaging Holdings Inc. | 687,458 | 19,819 | |
| * | RealPage Inc. | 895,068 | 19,656 |
| * | Kulicke & Soffa Industries Inc. | 1,346,580 | 19,471 |
| * | Shutterstock Inc. | 278,966 | 19,276 |
| * | Ellie Mae Inc. | 477,610 | 19,257 |
| * | Cabot Microelectronics Corp. | 395,351 | 18,708 |
| * | Insight Enterprises Inc. | 716,637 | 18,554 |
| NIC Inc. | 1,027,899 | 18,492 | |
| * | Infoblox Inc. | 877,120 | 17,727 |
| * | Bottomline Technologies de Inc. | 697,889 | 17,643 |
| * | Diodes Inc. | 624,213 | 17,209 |
| West Corp. | 515,322 | 17,006 | |
| * | Ruckus Wireless Inc. | 1,398,601 | 16,811 |
| * | Web.com Group Inc. | 872,823 | 16,575 |
| * | Marketo Inc. | 504,593 | 16,510 |
22
| Vanguard® Small-Cap Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Sonus Networks Inc. | 4,105,665 | 16,299 |
| * | Loral Space & Communications Inc. | 205,979 | 16,213 |
| * | Advanced Energy Industries Inc. | 666,212 | 15,789 |
| *,^ | Endurance International Group Holdings Inc. | 810,945 | 14,946 |
| *,^ | Gogo Inc. | 895,197 | 14,798 |
| * | BroadSoft Inc. | 503,812 | 14,621 |
| CSG Systems International Inc. | 570,474 | 14,302 | |
| * | Lattice Semiconductor Corp. | 2,068,667 | 14,253 |
| Brooks Automation Inc. | 1,112,551 | 14,185 | |
| * | Interactive Intelligence Group Inc. | 295,201 | 14,140 |
| *,^ | Nimble Storage Inc. | 513,772 | 14,129 |
| *,^ | Zendesk Inc. | 573,538 | 13,977 |
| * | Ixia | 1,234,532 | 13,888 |
| ^ | Ubiquiti Networks Inc. | 463,638 | 13,742 |
| * | Amkor Technology Inc. | 1,868,294 | 13,265 |
| Pegasystems Inc. | 601,231 | 12,488 | |
| * | Digital River Inc. | 502,159 | 12,418 |
| Quality Systems Inc. | 790,933 | 12,331 | |
| * | LivePerson Inc. | 851,799 | 12,010 |
| * | Actua Corp. | 639,140 | 11,805 |
| * | Cray Inc. | 338,562 | 11,674 |
| Micrel Inc. | 793,249 | 11,510 | |
| Computer Programs & Systems Inc. | 186,323 | 11,319 | |
| * | RingCentral Inc. Class A | 740,331 | 11,046 |
| * | Harmonic Inc. | 1,541,289 | 10,804 |
| * | Cvent Inc. | 360,661 | 10,041 |
| * | Intralinks Holdings Inc. | 841,550 | 10,014 |
| * | Inphi Corp. | 518,117 | 9,575 |
| ^ | Ebix Inc. | 544,236 | 9,247 |
| * | Blucora Inc. | 644,036 | 8,920 |
| *,^ | Textura Corp. | 311,154 | 8,859 |
| * | Ultratech Inc. | 468,777 | 8,700 |
| Epiq Systems Inc. | 508,403 | 8,683 | |
| * | Applied Micro Circuits Corp. | 1,305,640 | 8,513 |
| Comtech Telecommunications Corp. | 268,809 | 8,473 | |
| * | FormFactor Inc. | 984,712 | 8,468 |
| * | ChannelAdvisor Corp. | 369,200 | 7,967 |
| * | Tangoe Inc. | 610,187 | 7,951 |
| * | Mercury Systems Inc. | 563,855 | 7,849 |
| * | Silicon Image Inc. | 1,355,740 | 7,484 |
| * | Calix Inc. | 713,887 | 7,153 |
| Forrester Research Inc. | 174,771 | 6,879 | |
| * | Silicon Graphics International Corp. | 603,954 | 6,873 |
| * | Emulex Corp. | 1,181,666 | 6,700 |
| * | Quantum Corp. | 3,791,354 | 6,673 |
| * | Gigamon Inc. | 369,226 | 6,546 |
| *,^ | Barracuda Networks Inc. | 181,390 | 6,501 |
| * | CEVA Inc. | 352,274 | 6,390 |
| *,^ | Rocket Fuel Inc. | 396,333 | 6,389 |
| *,^ | Castlight Health Inc. Class B | 508,693 | 5,952 |
| * | Comverse Inc. | 312,125 | 5,862 |
| * | Benefitfocus Inc. | 156,052 | 5,125 |
| *,^ | OPOWER Inc. | 347,861 | 4,950 |
| * | Jive Software Inc. | 686,930 | 4,142 |
| *,^ | HubSpot Inc. | 109,368 | 3,676 |
| * | Pendrell Corp. | 2,603,375 | 3,593 |
| * | Systemax Inc. | 224,638 | 3,033 |
| * | Vectrus Inc. | 91,300 | 2,502 |
| *,^ | VirnetX Holding Corp. | 386,095 | 2,120 |
| * | MobileIron Inc. | 197,486 | 1,967 |
| * | New Relic Inc. | 5,847 | 204 |
| * | Piksel Inc. | 241 | — |
| 6,001,770 | |||
23
| Vanguard® Small-Cap Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Telecommunications (0.3%) | |||
| Telephone & Data Systems Inc. | 1,583,866 | 39,993 | |
| Consolidated Communications Holdings Inc. | 837,904 | 23,319 | |
| *,^ | Globalstar Inc. | 5,987,540 | 16,466 |
| * | Iridium Communications Inc. | 1,312,209 | 12,794 |
| * | Cincinnati Bell Inc. | 3,661,372 | 11,680 |
| * | Vonage Holdings Corp. | 3,056,484 | 11,645 |
| Atlantic Tele-Network Inc. | 167,172 | 11,299 | |
| * | United States Cellular Corp. | 223,259 | 8,892 |
| EarthLink Holdings Corp. | 1,786,955 | 7,845 | |
| * | Intelsat SA | 371,028 | 6,441 |
| 150,374 | |||
| Utilities (3.9%) | |||
| UGI Corp. | 3,013,598 | 114,456 | |
| AGL Resources Inc. | 2,090,392 | 113,947 | |
| ITC Holdings Corp. | 2,722,519 | 110,071 | |
| Atmos Energy Corp. | 1,755,065 | 97,827 | |
| Westar Energy Inc. Class A | 2,285,515 | 94,255 | |
| TECO Energy Inc. | 4,102,886 | 84,068 | |
| Aqua America Inc. | 3,087,946 | 82,448 | |
| Questar Corp. | 3,063,880 | 77,455 | |
| Great Plains Energy Inc. | 2,694,383 | 76,547 | |
| Vectren Corp. | 1,442,771 | 66,699 | |
| * | Dynegy Inc. | 2,041,358 | 61,955 |
| Hawaiian Electric Industries Inc. | 1,792,793 | 60,023 | |
| IDACORP Inc. | 878,655 | 58,158 | |
| Cleco Corp. | 1,055,340 | 57,558 | |
| Piedmont Natural Gas Co. Inc. | 1,369,302 | 53,964 | |
| Portland General Electric Co. | 1,366,934 | 51,711 | |
| Southwest Gas Corp. | 813,037 | 50,254 | |
| WGL Holdings Inc. | 868,764 | 47,452 | |
| NorthWestern Corp. | 802,303 | 45,394 | |
| New Jersey Resources Corp. | 738,343 | 45,187 | |
| UIL Holdings Corp. | 988,214 | 43,027 | |
| ALLETE Inc. | 777,559 | 42,875 | |
| Black Hills Corp. | 780,317 | 41,388 | |
| PNM Resources Inc. | 1,391,921 | 41,243 | |
| Laclede Group Inc. | 717,378 | 38,164 | |
| ONE Gas Inc. | 909,524 | 37,491 | |
| Avista Corp. | 1,033,238 | 36,525 | |
| South Jersey Industries Inc. | 588,458 | 34,678 | |
| El Paso Electric Co. | 705,897 | 28,278 | |
| MGE Energy Inc. | 606,375 | 27,657 | |
| American States Water Co. | 671,635 | 25,294 | |
| Northwest Natural Gas Co. | 475,466 | 23,726 | |
| Empire District Electric Co. | 759,792 | 22,596 | |
| California Water Service Group | 794,380 | 19,550 | |
| TerraForm Power Inc. Class A | 402,329 | 12,424 | |
| Ormat Technologies Inc. | 317,875 | 8,640 | |
| Atlantic Power Corp. | 2,107,796 | 5,712 | |
| * | Vivint Solar Inc. | 366,876 | 3,383 |
| 1,942,080 | |||
| Total Common Stocks (Cost $36,857,986) | 50,338,804 | ||
24
| Vanguard® Small-Cap Index Fund | |||||
| Schedule of Investments | |||||
| December 31, 2014 | |||||
| Market | |||||
| Value | |||||
| Coupon | Shares | ($000) | |||
| Temporary Cash Investments (1.2%)1 | |||||
| Money Market Fund (1.1%) | |||||
| 3,4 | Vanguard Market Liquidity Fund | 0.126% | 566,782,000 | 566,782 | |
| Face | |||||
| Maturity | Amount | ||||
| Date | ($000) | ||||
| U.S. Government and Agency Obligations (0.1%) | |||||
| 5 | Federal Home Loan Bank Discount Notes | 0.068% | 1/23/15 | 6,000 | 6,000 |
| 5,6 | Federal Home Loan Bank Discount Notes | 0.090% | 2/11/15 | 5,000 | 5,000 |
| 5,6 | Federal Home Loan Bank Discount Notes | 0.105% | 3/6/15 | 2,000 | 1,999 |
| 12,999 | |||||
| Total Temporary Cash Investments (Cost $579,781) | 579,781 | ||||
| Total Investments (100.9%) (Cost $37,437,767) | 50,918,585 | ||||
| Other Assets and Liabilities—Net (-0.9%)4 | (445,643) | ||||
| Net Assets (100%) | 50,472,942 | ||||
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $445,135,000.
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 0.9%, respectively, of net assets.
2 “Other” represents securities that are not classified by the fund’s benchmark index.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day
yield.
4 Includes $473,881,000 of collateral received for securities on loan.
5 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full
faith and credit of the U.S. government.
6 Securities with a value of $3,599,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
__________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________
__________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________
__________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________
__________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________________
25
| Vanguard® Small-Cap Growth Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Common Stocks (99.9%)1 | |||
| Basic Materials (2.7%) | |||
| NewMarket Corp. | 121,964 | 49,216 | |
| Royal Gold Inc. | 705,074 | 44,208 | |
| Cytec Industries Inc. | 826,532 | 38,161 | |
| * | Platform Specialty Products Corp. | 1,457,957 | 33,854 |
| KapStone Paper and Packaging Corp. | 989,475 | 29,002 | |
| Carpenter Technology Corp. | 579,720 | 28,551 | |
| * | Polypore International Inc. | 511,746 | 24,078 |
| Balchem Corp. | 352,447 | 23,487 | |
| US Silica Holdings Inc. | 617,069 | 15,852 | |
| Minerals Technologies Inc. | 197,809 | 13,738 | |
| * | Calgon Carbon Corp. | 599,792 | 12,464 |
| Globe Specialty Metals Inc. | 719,924 | 12,404 | |
| * | Stillwater Mining Co. | 690,500 | 10,178 |
| * | Horsehead Holding Corp. | 582,473 | 9,221 |
| *,^ | Intrepid Potash Inc. | 654,748 | 9,088 |
| Deltic Timber Corp. | 130,000 | 8,892 | |
| * | RTI International Metals Inc. | 341,456 | 8,625 |
| SunCoke Energy Inc. | 361,277 | 6,987 | |
| Haynes International Inc. | 142,542 | 6,913 | |
| * | Ferro Corp. | 499,309 | 6,471 |
| * | Coeur Mining Inc. | 1,187,632 | 6,069 |
| Hecla Mining Co. | 2,060,108 | 5,748 | |
| American Vanguard Corp. | 283,917 | 3,299 | |
| * | Rentech Inc. | 2,491,362 | 3,139 |
| * | Axalta Coating Systems Ltd. | 90,329 | 2,350 |
| * | FMSA Holdings Inc. | 273,162 | 1,890 |
| *,^ | Molycorp Inc. | 985,632 | 868 |
| *,^ | Allied Nevada Gold Corp. | 540,627 | 470 |
| 415,223 | |||
| Consumer Goods (8.6%) | |||
| Harman International Industries Inc. | 784,927 | 83,760 | |
| * | WhiteWave Foods Co. Class A | 1,998,785 | 69,937 |
| * | Hain Celestial Group Inc. | 1,155,418 | 67,349 |
| * | Middleby Corp. | 656,463 | 65,055 |
| * | Toll Brothers Inc. | 1,835,646 | 62,908 |
| Gentex Corp. | 1,594,285 | 57,602 | |
| Brunswick Corp. | 1,065,033 | 54,594 | |
| Carter's Inc. | 575,835 | 50,276 | |
| * | Kate Spade & Co. | 1,456,382 | 46,619 |
| Flowers Foods Inc. | 2,044,032 | 39,225 | |
| * | Tempur Sealy International Inc. | 697,684 | 38,310 |
| * | Deckers Outdoor Corp. | 377,300 | 34,349 |
| * | Darling Ingredients Inc. | 1,888,610 | 34,297 |
| Wolverine World Wide Inc. | 1,106,484 | 32,608 | |
| Pool Corp. | 472,937 | 30,003 | |
| * | Boston Beer Co. Inc. Class A | 101,685 | 29,442 |
| * | Skechers U.S.A. Inc. Class A | 474,386 | 26,210 |
| * | TRI Pointe Homes Inc. | 1,664,164 | 25,378 |
| * | Post Holdings Inc. | 570,255 | 23,888 |
| * | Zynga Inc. Class A | 8,355,502 | 22,226 |
| * | G-III Apparel Group Ltd. | 217,726 | 21,993 |
| * | Steven Madden Ltd. | 662,812 | 21,097 |
| Ryland Group Inc. | 501,734 | 19,347 | |
| Vector Group Ltd. | 876,611 | 18,681 | |
| J&J Snack Foods Corp. | 170,945 | 18,594 | |
| B&G Foods Inc. | 614,544 | 18,375 | |
| *,^ | Dorman Products Inc. | 347,065 | 16,753 |
| * | Select Comfort Corp. | 579,520 | 15,664 |
| * | Gentherm Inc. | 408,708 | 14,967 |
| * | TiVo Inc. | 1,256,766 | 14,880 |
| * | Tumi Holdings Inc. | 621,485 | 14,748 |
26
| Vanguard® Small-Cap Growth Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Meritage Homes Corp. | 404,331 | 14,552 |
| WD-40 Co. | 159,646 | 13,583 | |
| ^ | Nu Skin Enterprises Inc. Class A | 305,611 | 13,355 |
| * | Drew Industries Inc. | 257,971 | 13,175 |
| * | Standard Pacific Corp. | 1,769,127 | 12,897 |
| * | Take-Two Interactive Software Inc. | 458,151 | 12,842 |
| Interface Inc. Class A | 722,742 | 11,904 | |
| MDC Holdings Inc. | 448,478 | 11,871 | |
| *,^ | GoPro Inc. Class A | 178,377 | 11,277 |
| * | iRobot Corp. | 305,484 | 10,606 |
| Lancaster Colony Corp. | 109,921 | 10,293 | |
| * | Blount International Inc. | 567,471 | 9,970 |
| Snyder's-Lance Inc. | 322,831 | 9,862 | |
| Oxford Industries Inc. | 170,181 | 9,396 | |
| * | Boulder Brands Inc. | 666,802 | 7,375 |
| * | Diamond Foods Inc. | 252,398 | 7,125 |
| * | USANA Health Sciences Inc. | 63,553 | 6,520 |
| * | DTS Inc. | 197,237 | 6,065 |
| * | RealD Inc. | 489,641 | 5,778 |
| Phibro Animal Health Corp. Class A | 170,188 | 5,369 | |
| * | Vince Holding Corp. | 189,714 | 4,959 |
| * | Vera Bradley Inc. | 233,540 | 4,760 |
| * | Revlon Inc. Class A | 120,170 | 4,105 |
| * | Taylor Morrison Home Corp. Class A | 189,701 | 3,583 |
| * | LeapFrog Enterprises Inc. | 754,881 | 3,563 |
| * | National Beverage Corp. | 132,899 | 3,006 |
| *,^ | Wayfair Inc. | 130,538 | 2,591 |
| 1,319,517 | |||
| Consumer Services (14.1%) | |||
| * | Spirit Airlines Inc. | 834,155 | 63,045 |
| Domino's Pizza Inc. | 629,832 | 59,311 | |
| * | Madison Square Garden Co. Class A | 732,341 | 55,116 |
| * | Sally Beauty Holdings Inc. | 1,779,044 | 54,688 |
| Dick's Sporting Goods Inc. | 1,085,527 | 53,896 | |
| * | Panera Bread Co. Class A | 293,310 | 51,271 |
| Dunkin' Brands Group Inc. | 1,198,242 | 51,105 | |
| Lamar Advertising Co. Class A | 926,013 | 49,671 | |
| GNC Holdings Inc. Class A | 1,018,144 | 47,812 | |
| * | Copart Inc. | 1,302,690 | 47,535 |
| * | Groupon Inc. Class A | 5,368,174 | 44,341 |
| * | AMC Networks Inc. Class A | 659,770 | 42,074 |
| * | Live Nation Entertainment Inc. | 1,609,180 | 42,016 |
| * | United Natural Foods Inc. | 542,899 | 41,980 |
| * | Pandora Media Inc. | 2,263,768 | 40,363 |
| * | Buffalo Wild Wings Inc. | 216,980 | 39,139 |
| Vail Resorts Inc. | 415,889 | 37,900 | |
| * | Yelp Inc. Class A | 681,145 | 37,279 |
| * | Restoration Hardware Holdings Inc. | 384,897 | 36,954 |
| Jack in the Box Inc. | 442,406 | 35,375 | |
| *,^ | SolarCity Corp. | 659,491 | 35,270 |
| DSW Inc. Class A | 933,346 | 34,814 | |
| Six Flags Entertainment Corp. | 805,164 | 34,743 | |
| Lions Gate Entertainment Corp. | 961,960 | 30,802 | |
| Sotheby's | 711,837 | 30,737 | |
| * | Cabela's Inc. | 570,518 | 30,072 |
| * | HomeAway Inc. | 972,980 | 28,975 |
| HSN Inc. | 360,144 | 27,371 | |
| Chico's FAS Inc. | 1,665,443 | 26,997 | |
| * | Burlington Stores Inc. | 555,803 | 26,267 |
| Cheesecake Factory Inc. | 510,420 | 25,679 | |
| * | Grand Canyon Education Inc. | 535,238 | 24,974 |
| Rollins Inc. | 749,909 | 24,822 | |
| Texas Roadhouse Inc. Class A | 715,603 | 24,159 | |
| Allegiant Travel Co. Class A | 160,267 | 24,093 | |
27
| Vanguard® Small-Cap Growth Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Five Below Inc. | 560,430 | 22,882 |
| * | Life Time Fitness Inc. | 403,751 | 22,860 |
| * | Fresh Market Inc. | 499,134 | 20,564 |
| PriceSmart Inc. | 224,839 | 20,510 | |
| * | Genesco Inc. | 262,165 | 20,087 |
| Monro Muffler Brake Inc. | 343,601 | 19,860 | |
| * | Lumber Liquidators Holdings Inc. | 294,383 | 19,521 |
| Marriott Vacations Worldwide Corp. | 261,318 | 19,479 | |
| * | Ascena Retail Group Inc. | 1,487,751 | 18,686 |
| * | comScore Inc. | 391,493 | 18,177 |
| * | Bright Horizons Family Solutions Inc. | 386,514 | 18,170 |
| * | La Quinta Holdings Inc. | 823,227 | 18,160 |
| * | ANN Inc. | 497,260 | 18,140 |
| Papa John's International Inc. | 321,815 | 17,957 | |
| * | Shutterfly Inc. | 421,509 | 17,575 |
| Nexstar Broadcasting Group Inc. Class A | 335,824 | 17,392 | |
| * | Vitamin Shoppe Inc. | 353,463 | 17,171 |
| * | DreamWorks Animation SKG Inc. Class A | 753,066 | 16,816 |
| * | WebMD Health Corp. | 406,073 | 16,060 |
| Sonic Corp. | 576,514 | 15,699 | |
| Pier 1 Imports Inc. | 995,074 | 15,324 | |
| * | GrubHub Inc. | 420,978 | 15,290 |
| * | Popeyes Louisiana Kitchen Inc. | 267,954 | 15,078 |
| Morningstar Inc. | 229,599 | 14,857 | |
| * | Krispy Kreme Doughnuts Inc. | 739,764 | 14,603 |
| * | Bloomin' Brands Inc. | 577,168 | 14,291 |
| Churchill Downs Inc. | 149,187 | 14,218 | |
| * | Hibbett Sports Inc. | 288,578 | 13,976 |
| * | Constant Contact Inc. | 363,802 | 13,352 |
| Finish Line Inc. Class A | 549,218 | 13,352 | |
| * | Caesars Acquisition Co. Class A | 1,253,113 | 12,920 |
| * | Belmond Ltd. Class A | 1,014,194 | 12,546 |
| * | Diamond Resorts International Inc. | 434,378 | 12,119 |
| * | Mattress Firm Holding Corp. | 201,054 | 11,677 |
| Extended Stay America Inc. | 586,546 | 11,326 | |
| *,^ | Media General Inc. | 659,465 | 11,033 |
| * | BJ's Restaurants Inc. | 194,668 | 9,774 |
| National CineMedia Inc. | 663,638 | 9,537 | |
| * | Zumiez Inc. | 244,328 | 9,438 |
| Interval Leisure Group Inc. | 426,233 | 8,904 | |
| * | Coupons.com Inc. | 485,679 | 8,621 |
| * | Michaels Cos. Inc. | 341,242 | 8,439 |
| * | Fiesta Restaurant Group Inc. | 138,187 | 8,402 |
| * | Bankrate Inc. | 659,797 | 8,201 |
| * | Francesca's Holdings Corp. | 470,451 | 7,857 |
| * | Ascent Capital Group Inc. Class A | 141,421 | 7,485 |
| * | Pinnacle Entertainment Inc. | 327,019 | 7,276 |
| * | Scientific Games Corp. Class A | 535,563 | 6,818 |
| * | American Public Education Inc. | 178,367 | 6,576 |
| AMC Entertainment Holdings Inc. | 243,401 | 6,372 | |
| * | RetailMeNot Inc. | 434,638 | 6,354 |
| * | zulily Inc. Class A | 268,397 | 6,281 |
| Sabre Corp. | 304,720 | 6,177 | |
| * | ServiceMaster Global Holdings Inc. | 230,496 | 6,170 |
| ClubCorp Holdings Inc. | 332,871 | 5,968 | |
| * | Global Eagle Entertainment Inc. | 437,916 | 5,960 |
| *,^ | Conn's Inc. | 291,266 | 5,444 |
| New Media Investment Group Inc. | 214,790 | 5,076 | |
| * | Blue Nile Inc. | 135,974 | 4,896 |
| *,^ | Noodles & Co. Class A | 178,453 | 4,702 |
| *,^ | Clean Energy Fuels Corp. | 775,246 | 3,872 |
| *,^ | Container Store Group Inc. | 192,671 | 3,686 |
| * | Cumulus Media Inc. Class A | 866,206 | 3,664 |
| * | Angie's List Inc. | 503,733 | 3,138 |
28
| Vanguard® Small-Cap Growth Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| *,^ | El Pollo Loco Holdings Inc. | 148,385 | 2,963 |
| * | Tile Shop Holdings Inc. | 265,166 | 2,355 |
| * | SFX Entertainment Inc. | 519,013 | 2,351 |
| ^ | World Wrestling Entertainment Inc. Class A | 180,830 | 2,231 |
| * | K12 Inc. | 176,166 | 2,091 |
| * | Potbelly Corp. | 156,297 | 2,012 |
| * | Diplomat Pharmacy Inc. | 70,582 | 1,932 |
| * | Dave & Buster's Entertainment Inc. | 67,213 | 1,835 |
| * | Travelzoo Inc. | 5,578 | 70 |
| 2,155,302 | |||
| Financials (19.5%) | |||
| WP Carey Inc. | 1,131,553 | 79,322 | |
| Duke Realty Corp. | 3,914,700 | 79,077 | |
| Extra Space Storage Inc. | 1,266,888 | 74,290 | |
| * | Signature Bank | 547,938 | 69,018 |
| Regency Centers Corp. | 1,068,877 | 68,173 | |
| * | SVB Financial Group | 582,226 | 67,579 |
| Kilroy Realty Corp. | 964,018 | 66,585 | |
| DDR Corp. | 3,512,439 | 64,488 | |
| CBOE Holdings Inc. | 967,506 | 61,359 | |
| Taubman Centers Inc. | 689,184 | 52,667 | |
| LaSalle Hotel Properties | 1,280,053 | 51,804 | |
| RLJ Lodging Trust | 1,512,697 | 50,721 | |
| * | Howard Hughes Corp. | 386,006 | 50,343 |
| American Campus Communities Inc. | 1,204,432 | 49,815 | |
| BioMed Realty Trust Inc. | 2,262,225 | 48,728 | |
| Equity LifeStyle Properties Inc. | 913,269 | 47,079 | |
| Waddell & Reed Financial Inc. Class A | 910,008 | 45,337 | |
| Douglas Emmett Inc. | 1,576,337 | 44,768 | |
| Weingarten Realty Investors | 1,260,813 | 44,028 | |
| Investors Bancorp Inc. | 3,886,945 | 43,631 | |
| Home Properties Inc. | 657,113 | 43,107 | |
| * | E*TRADE Financial Corp. | 1,656,317 | 40,174 |
| * | Outfront Media Inc. | 1,483,629 | 39,821 |
| CubeSmart | 1,771,797 | 39,104 | |
| Sunstone Hotel Investors Inc. | 2,353,042 | 38,849 | |
| Tanger Factory Outlet Centers Inc. | 1,043,492 | 38,567 | |
| * | Strategic Hotels & Resorts Inc. | 2,909,782 | 38,496 |
| Healthcare Trust of America Inc. Class A | 1,415,700 | 38,139 | |
| Pebblebrook Hotel Trust | 817,862 | 37,319 | |
| Post Properties Inc. | 624,553 | 36,705 | |
| * | Stifel Financial Corp. | 719,166 | 36,692 |
| DCT Industrial Trust Inc. | 1,008,420 | 35,960 | |
| *,^ | Zillow Inc. Class A | 335,641 | 35,541 |
| Sovran Self Storage Inc. | 386,941 | 33,749 | |
| * | PRA Group Inc. | 574,240 | 33,266 |
| Mid-America Apartment Communities Inc. | 430,725 | 32,166 | |
| Sun Communities Inc. | 522,888 | 31,614 | |
| Healthcare Realty Trust Inc. | 1,125,625 | 30,752 | |
| Gaming and Leisure Properties Inc. | 1,031,318 | 30,259 | |
| Colony Financial Inc. | 1,257,046 | 29,943 | |
| MarketAxess Holdings Inc. | 406,994 | 29,185 | |
| Omega Healthcare Investors Inc. | 730,342 | 28,534 | |
| * | Texas Capital Bancshares Inc. | 523,908 | 28,464 |
| Kite Realty Group Trust | 955,792 | 27,469 | |
| Cousins Properties Inc. | 2,355,319 | 26,898 | |
| ^ | Ryman Hospitality Properties Inc. | 497,010 | 26,212 |
| Medical Properties Trust Inc. | 1,877,918 | 25,878 | |
| Spirit Realty Capital Inc. | 2,170,125 | 25,803 | |
| PacWest Bancorp | 554,843 | 25,223 | |
| DuPont Fabros Technology Inc. | 754,810 | 25,090 | |
| * | Western Alliance Bancorp | 857,912 | 23,850 |
| Chesapeake Lodging Trust | 628,879 | 23,401 | |
| ^ | Lexington Realty Trust | 2,129,239 | 23,379 |
29
| Vanguard® Small-Cap Growth Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Glimcher Realty Trust | 1,669,759 | 22,942 | |
| * | Blackhawk Network Holdings Inc. Class B | 602,364 | 22,703 |
| Chambers Street Properties | 2,715,020 | 21,883 | |
| Financial Engines Inc. | 595,717 | 21,773 | |
| Home BancShares Inc. | 657,611 | 21,149 | |
| Alexander & Baldwin Inc. | 530,619 | 20,832 | |
| Kennedy-Wilson Holdings Inc. | 815,311 | 20,627 | |
| Equity One Inc. | 780,112 | 19,784 | |
| * | Education Realty Trust Inc. | 538,780 | 19,714 |
| Hudson Pacific Properties Inc. | 652,795 | 19,623 | |
| WisdomTree Investments Inc. | 1,223,302 | 19,175 | |
| * | Trulia Inc. | 411,266 | 18,931 |
| Artisan Partners Asset Management Inc. Class A | 371,081 | 18,751 | |
| NRG Yield Inc. Class A | 396,107 | 18,672 | |
| STAG Industrial Inc. | 737,769 | 18,075 | |
| Sabra Health Care REIT Inc. | 593,076 | 18,012 | |
| Retail Opportunity Investments Corp. | 1,064,536 | 17,874 | |
| * | Hilltop Holdings Inc. | 873,535 | 17,427 |
| *,^ | Ocwen Financial Corp. | 1,151,989 | 17,395 |
| Evercore Partners Inc. Class A | 329,580 | 17,260 | |
| PS Business Parks Inc. | 215,674 | 17,155 | |
| Virtus Investment Partners Inc. | 98,795 | 16,844 | |
| Ramco-Gershenson Properties Trust | 888,042 | 16,642 | |
| * | First Cash Financial Services Inc. | 291,664 | 16,237 |
| Hersha Hospitality Trust Class A | 2,183,382 | 15,349 | |
| Washington Prime Group Inc. | 888,095 | 15,293 | |
| * | Springleaf Holdings Inc. | 395,612 | 14,309 |
| FelCor Lodging Trust Inc. | 1,284,651 | 13,900 | |
| Greenhill & Co. Inc. | 307,019 | 13,386 | |
| HFF Inc. Class A | 367,753 | 13,210 | |
| TFS Financial Corp. | 861,979 | 12,831 | |
| * | Encore Capital Group Inc. | 280,611 | 12,459 |
| Investors Real Estate Trust | 1,322,344 | 10,803 | |
| * | St. Joe Co. | 583,026 | 10,722 |
| Aviv REIT Inc. | 298,401 | 10,289 | |
| Alexander's Inc. | 23,445 | 10,250 | |
| ViewPoint Financial Group Inc. | 413,474 | 9,861 | |
| Parkway Properties Inc. | 477,769 | 8,786 | |
| Cohen & Steers Inc. | 205,660 | 8,654 | |
| National Bank Holdings Corp. Class A | 424,635 | 8,242 | |
| * | Essent Group Ltd. | 318,257 | 8,182 |
| * | Capital Bank Financial Corp. | 275,777 | 7,391 |
| *,^ | Nationstar Mortgage Holdings Inc. | 252,755 | 7,125 |
| Moelis & Co. Class A | 200,391 | 7,000 | |
| * | Ladder Capital Corp. | 354,483 | 6,951 |
| Silver Bay Realty Trust Corp. | 407,674 | 6,751 | |
| *,^ | Walter Investment Management Corp. | 398,543 | 6,580 |
| Altisource Residential Corp. | 311,796 | 6,049 | |
| *,^ | Altisource Portfolio Solutions SA | 151,284 | 5,112 |
| * | PICO Holdings Inc. | 261,418 | 4,928 |
| * | Tejon Ranch Co. | 165,836 | 4,885 |
| * | Credit Acceptance Corp. | 35,395 | 4,828 |
| GAMCO Investors Inc. | 52,465 | 4,666 | |
| CareTrust REIT Inc. | 357,470 | 4,408 | |
| Employers Holdings Inc. | 171,636 | 4,035 | |
| Northfield Bancorp Inc. | 267,177 | 3,954 | |
| * | Altisource Asset Management Corp. | 12,568 | 3,898 |
| * | PennyMac Financial Services Inc. Class A | 222,468 | 3,849 |
| * | Enova International Inc. | 151,350 | 3,369 |
| Urstadt Biddle Properties Inc. Class A | 149,848 | 3,279 | |
| * | NewStar Financial Inc. | 246,217 | 3,152 |
| * | Forestar Group Inc. | 190,567 | 2,935 |
| * | HealthEquity Inc. | 94,123 | 2,395 |
| * | Paramount Group Inc. | 102,633 | 1,908 |
30
| Vanguard® Small-Cap Growth Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | FCB Financial Holdings Inc. Class A | 71,051 | 1,751 |
| STORE Capital Corp. | 60,413 | 1,305 | |
| * | Blackhawk Network Holdings Inc. | 5,350 | 208 |
| * | On Deck Capital Inc. | 7,321 | 164 |
| * | Tejon Ranch Co. Warrants Exp. 08/31/2016 | 28,628 | 50 |
| 2,987,353 | |||
| Health Care (15.5%) | |||
| * | Alkermes plc | 1,675,535 | 98,119 |
| Cooper Cos. Inc. | 553,413 | 89,703 | |
| * | Cubist Pharmaceuticals Inc. | 874,111 | 87,979 |
| * | Isis Pharmaceuticals Inc. | 1,352,911 | 83,529 |
| * | Brookdale Senior Living Inc. | 2,101,184 | 77,050 |
| * | MEDNAX Inc. | 1,150,336 | 76,049 |
| * | United Therapeutics Corp. | 517,348 | 66,991 |
| * | Centene Corp. | 605,295 | 62,860 |
| * | Puma Biotechnology Inc. | 293,469 | 55,545 |
| * | Sirona Dental Systems Inc. | 634,398 | 55,427 |
| * | Team Health Holdings Inc. | 814,241 | 46,843 |
| * | DexCom Inc. | 833,307 | 45,874 |
| * | Align Technology Inc. | 781,918 | 43,717 |
| * | Cepheid | 807,370 | 43,711 |
| West Pharmaceutical Services Inc. | 813,798 | 43,327 | |
| * | Medivation Inc. | 422,633 | 42,098 |
| * | Salix Pharmaceuticals Ltd. | 347,095 | 39,895 |
| * | NPS Pharmaceuticals Inc. | 1,101,116 | 39,387 |
| Bio-Techne Corp. | 425,203 | 39,289 | |
| * | Seattle Genetics Inc. | 1,136,734 | 36,523 |
| * | PAREXEL International Corp. | 630,833 | 35,049 |
| * | Pacira Pharmaceuticals Inc. | 392,772 | 34,823 |
| * | Alnylam Pharmaceuticals Inc. | 352,326 | 34,176 |
| * | Acadia Healthcare Co. Inc. | 515,321 | 31,543 |
| * | Akorn Inc. | 864,151 | 31,282 |
| * | Insulet Corp. | 642,918 | 29,613 |
| * | ACADIA Pharmaceuticals Inc. | 915,036 | 29,052 |
| *,^ | Myriad Genetics Inc. | 836,751 | 28,500 |
| *,^ | OPKO Health Inc. | 2,681,970 | 26,793 |
| *,^ | Exact Sciences Corp. | 965,265 | 26,487 |
| * | NuVasive Inc. | 539,155 | 25,427 |
| * | Impax Laboratories Inc. | 775,736 | 24,575 |
| Healthcare Services Group Inc. | 769,446 | 23,799 | |
| * | Synageva BioPharma Corp. | 247,303 | 22,947 |
| * | Nektar Therapeutics | 1,471,861 | 22,814 |
| * | Bruker Corp. | 1,158,429 | 22,728 |
| * | Haemonetics Corp. | 588,705 | 22,029 |
| * | Ironwood Pharmaceuticals Inc. Class A | 1,416,818 | 21,706 |
| * | HMS Holdings Corp. | 1,006,646 | 21,281 |
| * | Medicines Co. | 749,448 | 20,737 |
| * | Thoratec Corp. | 630,640 | 20,471 |
| * | Auxilium Pharmaceuticals Inc. | 584,395 | 20,094 |
| * | Neogen Corp. | 401,774 | 19,924 |
| * | Acorda Therapeutics Inc. | 480,449 | 19,636 |
| * | Globus Medical Inc. | 808,560 | 19,219 |
| * | Avanir Pharmaceuticals Inc. | 1,089,461 | 18,466 |
| * | Air Methods Corp. | 403,989 | 17,788 |
| * | Receptos Inc. | 142,062 | 17,404 |
| Cantel Medical Corp. | 380,262 | 16,450 | |
| * | ABIOMED Inc. | 421,299 | 16,035 |
| * | Cyberonics Inc. | 287,031 | 15,982 |
| * | Agios Pharmaceuticals Inc. | 136,650 | 15,310 |
| *,^ | Keryx Biopharmaceuticals Inc. | 1,055,933 | 14,941 |
| *,^ | MannKind Corp. | 2,795,698 | 14,580 |
| * | Masimo Corp. | 541,743 | 14,270 |
| Abaxis Inc. | 245,862 | 13,972 | |
| * | HeartWare International Inc. | 185,649 | 13,632 |
31
| Vanguard® Small-Cap Growth Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| *,^ | ARIAD Pharmaceuticals Inc. | 1,935,113 | 13,294 |
| ^ | Theravance Inc. | 927,504 | 13,124 |
| * | ICU Medical Inc. | 158,741 | 13,001 |
| *,^ | Merrimack Pharmaceuticals Inc. | 1,094,180 | 12,364 |
| Analogic Corp. | 142,066 | 12,020 | |
| * | Catalent Inc. | 426,655 | 11,895 |
| * | NxStage Medical Inc. | 640,650 | 11,487 |
| * | Intercept Pharmaceuticals Inc. | 73,461 | 11,460 |
| * | Lannett Co. Inc. | 266,917 | 11,445 |
| * | Endologix Inc. | 730,855 | 11,175 |
| *,^ | Intrexon Corp. | 403,999 | 11,122 |
| * | Halozyme Therapeutics Inc. | 1,118,670 | 10,795 |
| * | Tornier NV | 421,241 | 10,742 |
| * | Volcano Corp. | 592,449 | 10,593 |
| * | Dyax Corp. | 742,995 | 10,447 |
| * | Quidel Corp. | 325,747 | 9,421 |
| * | Emergent Biosolutions Inc. | 344,978 | 9,394 |
| * | IPC The Hospitalist Co. Inc. | 197,784 | 9,076 |
| * | Bio-Reference Laboratories Inc. | 277,697 | 8,922 |
| *,^ | Arena Pharmaceuticals Inc. | 2,528,076 | 8,772 |
| * | Luminex Corp. | 429,069 | 8,049 |
| * | VWR Corp. | 301,278 | 7,794 |
| Meridian Bioscience Inc. | 453,511 | 7,465 | |
| * | HealthStream Inc. | 237,908 | 7,014 |
| * | Healthways Inc. | 345,362 | 6,866 |
| * | Momenta Pharmaceuticals Inc. | 548,104 | 6,599 |
| * | Horizon Pharma plc | 511,021 | 6,587 |
| * | Accuray Inc. | 849,027 | 6,410 |
| * | Anacor Pharmaceuticals Inc. | 196,731 | 6,345 |
| * | Sagent Pharmaceuticals Inc. | 247,684 | 6,219 |
| *,^ | Sarepta Therapeutics Inc. | 426,816 | 6,176 |
| * | Aegerion Pharmaceuticals Inc. | 293,888 | 6,154 |
| *,^ | Relypsa Inc. | 196,415 | 6,050 |
| * | ImmunoGen Inc. | 986,968 | 6,021 |
| * | Ligand Pharmaceuticals Inc. | 103,401 | 5,502 |
| * | Genomic Health Inc. | 163,816 | 5,237 |
| Ensign Group Inc. | 116,068 | 5,152 | |
| *,^ | Sequenom Inc. | 1,347,296 | 4,985 |
| * | CorVel Corp. | 130,334 | 4,851 |
| * | Amedisys Inc. | 153,092 | 4,493 |
| * | Spectrum Pharmaceuticals Inc. | 641,689 | 4,447 |
| * | Acceleron Pharma Inc. | 110,982 | 4,324 |
| * | Theravance Biopharma Inc. | 277,401 | 4,139 |
| * | Merit Medical Systems Inc. | 236,638 | 4,101 |
| * | Epizyme Inc. | 195,831 | 3,695 |
| *,^ | Insys Therapeutics Inc. | 80,220 | 3,382 |
| * | INC Research Holdings Inc. Class A | 117,464 | 3,018 |
| *,^ | ZS Pharma Inc. | 71,603 | 2,977 |
| *,^ | Lexicon Pharmaceuticals Inc. | 3,240,092 | 2,948 |
| *,^ | VIVUS Inc. | 1,011,538 | 2,913 |
| *,^ | Exelixis Inc. | 2,016,434 | 2,904 |
| * | BioScrip Inc. | 374,065 | 2,615 |
| * | Wright Medical Group Inc. CVR | 165,303 | 790 |
| * | Juno Therapeutics Inc. | 14,624 | 764 |
| 2,384,986 | |||
| Industrials (18.3%) | |||
| Acuity Brands Inc. | 496,845 | 69,593 | |
| * | CoStar Group Inc. | 352,291 | 64,691 |
| * | Keysight Technologies Inc. | 1,911,666 | 64,557 |
| * | Old Dominion Freight Line Inc. | 790,164 | 61,348 |
| Waste Connections Inc. | 1,351,756 | 59,464 | |
| Jack Henry & Associates Inc. | 937,405 | 58,250 | |
| * | Vantiv Inc. Class A | 1,675,183 | 56,822 |
| * | HD Supply Holdings Inc. | 1,910,282 | 56,334 |
32
| Vanguard® Small-Cap Growth Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| �� | Value | ||
| Shares | ($000) | ||
| Lincoln Electric Holdings Inc. | 800,573 | 55,312 | |
| Graco Inc. | 681,336 | 54,630 | |
| * | Genesee & Wyoming Inc. Class A | 574,549 | 51,663 |
| Nordson Corp. | 650,167 | 50,687 | |
| * | Kirby Corp. | 620,661 | 50,112 |
| AO Smith Corp. | 875,109 | 49,365 | |
| Lennox International Inc. | 495,053 | 47,065 | |
| * | Hexcel Corp. | 1,093,079 | 45,352 |
| * | Zebra Technologies Corp. | 583,272 | 45,151 |
| MSC Industrial Direct Co. Inc. Class A | 553,450 | 44,968 | |
| Packaging Corp. of America | 563,480 | 43,980 | |
| * | WEX Inc. | 444,069 | 43,927 |
| FEI Co. | 475,998 | 43,006 | |
| Eagle Materials Inc. | 546,919 | 41,582 | |
| Fortune Brands Home & Security Inc. | 903,596 | 40,906 | |
| Toro Co. | 638,399 | 40,736 | |
| MAXIMUS Inc. | 716,877 | 39,314 | |
| * | Cognex Corp. | 947,162 | 39,146 |
| CLARCOR Inc. | 574,106 | 38,258 | |
| Air Lease Corp. Class A | 1,114,135 | 38,226 | |
| * | USG Corp. | 1,353,389 | 37,881 |
| Landstar System Inc. | 513,038 | 37,211 | |
| National Instruments Corp. | 1,170,618 | 36,395 | |
| Manitowoc Co. Inc. | 1,553,763 | 34,338 | |
| Woodward Inc. | 676,780 | 33,318 | |
| Watsco Inc. | 293,345 | 31,388 | |
| * | Genpact Ltd. | 1,614,161 | 30,556 |
| *,^ | IPG Photonics Corp. | 388,802 | 29,129 |
| * | XPO Logistics Inc. | 710,243 | 29,035 |
| * | Swift Transportation Co. | 986,887 | 28,255 |
| * | Clean Harbors Inc. | 584,196 | 28,071 |
| Corporate Executive Board Co. | 385,645 | 27,971 | |
| * | DigitalGlobe Inc. | 861,535 | 26,682 |
| * | Cimpress NV | 334,983 | 25,070 |
| * | WageWorks Inc. | 384,548 | 24,830 |
| * | MWI Veterinary Supply Inc. | 140,533 | 23,878 |
| Mueller Industries Inc. | 652,366 | 22,272 | |
| Heartland Payment Systems Inc. | 394,515 | 21,284 | |
| * | Advisory Board Co. | 412,499 | 20,204 |
| * | Cardtronics Inc. | 510,058 | 19,678 |
| HEICO Corp. Class A | 402,974 | 19,085 | |
| * | Navistar International Corp. | 559,294 | 18,725 |
| * | ExamWorks Group Inc. | 435,656 | 18,119 |
| * | On Assignment Inc. | 539,597 | 17,909 |
| * | Huron Consulting Group Inc. | 261,834 | 17,907 |
| Heartland Express Inc. | 653,323 | 17,646 | |
| Forward Air Corp. | 348,661 | 17,562 | |
| Franklin Electric Co. Inc. | 462,609 | 17,362 | |
| * | EnPro Industries Inc. | 274,622 | 17,235 |
| * | Rogers Corp. | 209,332 | 17,048 |
| * | Proto Labs Inc. | 251,245 | 16,874 |
| Simpson Manufacturing Co. Inc. | 476,280 | 16,479 | |
| RBC Bearings Inc. | 253,925 | 16,386 | |
| * | Outerwall Inc. | 217,167 | 16,335 |
| Valmont Industries Inc. | 126,896 | 16,116 | |
| * | LifeLock Inc. | 857,196 | 15,867 |
| EVERTEC Inc. | 714,116 | 15,803 | |
| *,^ | Ambarella Inc. | 305,908 | 15,516 |
| * | TriMas Corp. | 492,263 | 15,403 |
| * | Veeco Instruments Inc. | 438,737 | 15,303 |
| * | Hub Group Inc. Class A | 400,876 | 15,265 |
| * | OSI Systems Inc. | 215,632 | 15,260 |
| Tennant Co. | 211,312 | 15,250 | |
| * | Trex Co. Inc. | 349,131 | 14,866 |
33
| Vanguard® Small-Cap Growth Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| HEICO Corp. | 236,572 | 14,289 | |
| * | TriNet Group Inc. | 439,514 | 13,748 |
| * | Louisiana-Pacific Corp. | 816,575 | 13,522 |
| Apogee Enterprises Inc. | 315,931 | 13,386 | |
| AZZ Inc. | 280,029 | 13,139 | |
| * | Armstrong World Industries Inc. | 252,081 | 12,886 |
| * | Imperva Inc. | 258,878 | 12,796 |
| * | FARO Technologies Inc. | 198,375 | 12,434 |
| * | KLX Inc. | 301,203 | 12,425 |
| *,^ | Universal Display Corp. | 445,842 | 12,372 |
| Knight Transportation Inc. | 348,905 | 11,744 | |
| Exponent Inc. | 140,345 | 11,578 | |
| ^ | Lindsay Corp. | 133,093 | 11,411 |
| Raven Industries Inc. | 433,497 | 10,837 | |
| * | ExlService Holdings Inc. | 358,367 | 10,289 |
| H&E Equipment Services Inc. | 364,108 | 10,228 | |
| Sun Hydraulics Corp. | 259,296 | 10,211 | |
| Mobile Mini Inc. | 251,114 | 10,173 | |
| AAON Inc. | 437,851 | 9,803 | |
| * | Wabash National Corp. | 792,261 | 9,792 |
| Primoris Services Corp. | 414,530 | 9,634 | |
| Badger Meter Inc. | 152,815 | 9,070 | |
| Mueller Water Products Inc. Class A | 872,265 | 8,932 | |
| * | Team Inc. | 218,171 | 8,827 |
| * | NeuStar Inc. Class A | 315,584 | 8,773 |
| * | Coherent Inc. | 144,103 | 8,750 |
| * | II-VI Inc. | 632,422 | 8,633 |
| * | Thermon Group Holdings Inc. | 349,727 | 8,460 |
| Quanex Building Products Corp. | 431,026 | 8,095 | |
| * | MasTec Inc. | 353,185 | 7,986 |
| * | RPX Corp. | 557,294 | 7,679 |
| Methode Electronics Inc. | 207,846 | 7,588 | |
| Sturm Ruger & Co. Inc. | 215,428 | 7,460 | |
| * | Roadrunner Transportation Systems Inc. | 315,867 | 7,375 |
| Gorman-Rupp Co. | 210,968 | 6,776 | |
| Advanced Drainage Systems Inc. | 273,446 | 6,284 | |
| Albany International Corp. | 164,142 | 6,236 | |
| * | Aerovironment Inc. | 227,547 | 6,201 |
| * | DXP Enterprises Inc. | 116,169 | 5,870 |
| * | Smith & Wesson Holding Corp. | 613,512 | 5,810 |
| American Railcar Industries Inc. | 110,296 | 5,680 | |
| *,^ | Bazaarvoice Inc. | 672,252 | 5,405 |
| * | M/A-COM Technology Solutions Holdings Inc. | 163,637 | 5,119 |
| Acacia Research Corp. | 273,302 | 4,630 | |
| * | Nortek Inc. | 55,738 | 4,533 |
| * | Paylocity Holding Corp. | 173,302 | 4,525 |
| * | Continental Building Products Inc. | 227,616 | 4,036 |
| * | InnerWorkings Inc. | 433,191 | 3,375 |
| * | Mistras Group Inc. | 180,559 | 3,310 |
| * | Ply Gem Holdings Inc. | 233,627 | 3,266 |
| Griffon Corp. | 241,730 | 3,215 | |
| *,^ | Nuverra Environmental Solutions Inc. | 94,179 | 523 |
| 2,800,331 | |||
| Oil & Gas (3.9%) | |||
| Targa Resources Corp. | 434,486 | 46,077 | |
| * | Gulfport Energy Corp. | 979,875 | 40,900 |
| SemGroup Corp. Class A | 498,642 | 34,102 | |
| Rowan Cos. plc Class A | 1,427,962 | 33,300 | |
| * | Diamondback Energy Inc. | 553,046 | 33,061 |
| * | Dril-Quip Inc. | 429,901 | 32,986 |
| * | Carrizo Oil & Gas Inc. | 475,094 | 19,764 |
| * | Oasis Petroleum Inc. | 1,102,580 | 18,237 |
| * | Memorial Resource Development Corp. | 997,374 | 17,983 |
| * | PDC Energy Inc. | 410,664 | 16,948 |
34
| Vanguard® Small-Cap Growth Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Cobalt International Energy Inc. | 1,892,020 | 16,820 |
| * | Rice Energy Inc. | 780,155 | 16,360 |
| *,^ | NOW Inc. | 612,798 | 15,767 |
| * | Rosetta Resources Inc. | 706,133 | 15,754 |
| * | Matador Resources Co. | 758,237 | 15,339 |
| * | Forum Energy Technologies Inc. | 702,784 | 14,569 |
| Exterran Holdings Inc. | 372,200 | 12,126 | |
| * | Chart Industries Inc. | 350,020 | 11,971 |
| Pattern Energy Group Inc. Class A | 454,209 | 11,201 | |
| * | Parsley Energy Inc. Class A | 701,220 | 11,192 |
| * | Flotek Industries Inc. | 588,515 | 11,023 |
| * | Atwood Oceanics Inc. | 349,871 | 9,926 |
| RPC Inc. | 753,192 | 9,822 | |
| *,^ | SandRidge Energy Inc. | 5,390,325 | 9,810 |
| *,^ | Laredo Petroleum Inc. | 907,772 | 9,395 |
| Tidewater Inc. | 284,443 | 9,219 | |
| * | Hornbeck Offshore Services Inc. | 363,761 | 9,083 |
| * | Bonanza Creek Energy Inc. | 366,826 | 8,804 |
| * | RSP Permian Inc. | 343,409 | 8,633 |
| *,^ | SunPower Corp. Class A | 302,141 | 7,804 |
| *,^ | Magnum Hunter Resources Corp. | 2,180,329 | 6,846 |
| * | C&J Energy Services Inc. | 508,231 | 6,714 |
| *,^ | Sanchez Energy Corp. | 605,414 | 5,624 |
| * | Penn Virginia Corp. | 821,448 | 5,487 |
| *,^ | Halcon Resources Corp. | 2,667,409 | 4,748 |
| ^ | CARBO Ceramics Inc. | 112,907 | 4,522 |
| * | Pioneer Energy Services Corp. | 732,412 | 4,058 |
| * | Geospace Technologies Corp. | 143,365 | 3,799 |
| *,^ | Northern Oil and Gas Inc. | 664,876 | 3,757 |
| ^ | Comstock Resources Inc. | 507,355 | 3,455 |
| ^ | Energy XXI Ltd. | 1,025,285 | 3,342 |
| Gulfmark Offshore Inc. | 136,311 | 3,329 | |
| * | Bill Barrett Corp. | 271,281 | 3,090 |
| * | Rex Energy Corp. | 558,917 | 2,851 |
| *,^ | Approach Resources Inc. | 408,211 | 2,608 |
| * | Eclipse Resources Corp. | 367,316 | 2,582 |
| * | Clayton Williams Energy Inc. | 34,916 | 2,228 |
| * | EP Energy Corp. Class A | 210,191 | 2,194 |
| * | Jones Energy Inc. | 131,363 | 1,499 |
| * | PetroQuest Energy Inc. | 322,749 | 1,207 |
| *,^ | Goodrich Petroleum Corp. | 204,469 | 908 |
| *,^ | Solazyme Inc. | 342,068 | 883 |
| * | Resolute Energy Corp. | 602,313 | 795 |
| *,^ | Midstates Petroleum Co. Inc. | 182,311 | 275 |
| 604,777 | |||
| Technology (16.6%) | |||
| CDK Global Inc. | 1,747,459 | 71,226 | |
| * | Cadence Design Systems Inc. | 3,355,713 | 63,658 |
| * | athenahealth Inc. | 436,686 | 63,625 |
| * | SunEdison Inc. | 2,950,908 | 57,572 |
| * | TriQuint Semiconductor Inc. | 2,032,442 | 55,994 |
| IAC/InterActiveCorp | 893,779 | 54,333 | |
| * | Fortinet Inc. | 1,604,635 | 49,198 |
| * | Palo Alto Networks Inc. | 392,411 | 48,098 |
| SS&C Technologies Holdings Inc. | 814,771 | 47,656 | |
| * | Informatica Corp. | 1,245,129 | 47,483 |
| * | PTC Inc. | 1,261,918 | 46,249 |
| * | Ultimate Software Group Inc. | 308,740 | 45,328 |
| * | Tableau Software Inc. Class A | 511,328 | 43,340 |
| * | Guidewire Software Inc. | 796,060 | 40,305 |
| Solera Holdings Inc. | 781,490 | 39,997 | |
| * | Tyler Technologies Inc. | 359,342 | 39,326 |
| * | Cavium Inc. | 618,391 | 38,229 |
| * | Atmel Corp. | 4,541,652 | 38,127 |
35
| Vanguard® Small-Cap Growth Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | SolarWinds Inc. | 737,322 | 36,741 |
| * | JDS Uniphase Corp. | 2,655,624 | 36,435 |
| * | Aspen Technology Inc. | 1,036,160 | 36,286 |
| * | Manhattan Associates Inc. | 855,776 | 34,847 |
| * | Riverbed Technology Inc. | 1,689,954 | 34,492 |
| * | Sapient Corp. | 1,371,820 | 34,131 |
| * | Integrated Device Technology Inc. | 1,704,641 | 33,411 |
| * | International Rectifier Corp. | 821,427 | 32,775 |
| * | Qlik Technologies Inc. | 1,035,602 | 31,990 |
| *,^ | Freescale Semiconductor Ltd. | 1,219,830 | 30,776 |
| * | ViaSat Inc. | 484,079 | 30,511 |
| * | Medidata Solutions Inc. | 590,784 | 28,210 |
| * | RF Micro Devices Inc. | 1,666,705 | 27,651 |
| Fair Isaac Corp. | 368,031 | 26,609 | |
| * | ACI Worldwide Inc. | 1,317,545 | 26,575 |
| * | EchoStar Corp. Class A | 501,540 | 26,331 |
| Plantronics Inc. | 491,950 | 26,083 | |
| * | CommVault Systems Inc. | 498,248 | 25,754 |
| * | Allscripts Healthcare Solutions Inc. | 1,962,879 | 25,066 |
| * | Dealertrack Technologies Inc. | 557,458 | 24,701 |
| * | Ciena Corp. | 1,220,228 | 23,685 |
| * | Electronics For Imaging Inc. | 539,036 | 23,087 |
| Blackbaud Inc. | 530,777 | 22,961 | |
| InterDigital Inc. | 425,824 | 22,526 | |
| * | EPAM Systems Inc. | 466,244 | 22,263 |
| *,^ | Finisar Corp. | 1,141,594 | 22,158 |
| * | Cree Inc. | 684,761 | 22,063 |
| * | Aruba Networks Inc. | 1,191,522 | 21,662 |
| * | Entegris Inc. | 1,599,647 | 21,131 |
| * | Infinera Corp. | 1,434,675 | 21,118 |
| Monolithic Power Systems Inc. | 421,549 | 20,968 | |
| * | Silicon Laboratories Inc. | 436,944 | 20,807 |
| * | Demandware Inc. | 353,474 | 20,339 |
| * | 3D Systems Corp. | 605,716 | 19,910 |
| Tessera Technologies Inc. | 544,013 | 19,454 | |
| * | Cornerstone OnDemand Inc. | 552,039 | 19,432 |
| * | Proofpoint Inc. | 367,237 | 17,712 |
| * | Envestnet Inc. | 353,820 | 17,387 |
| Advent Software Inc. | 562,312 | 17,229 | |
| * | MicroStrategy Inc. Class A | 104,662 | 16,997 |
| Cogent Communications Holdings Inc. | 476,449 | 16,862 | |
| Power Integrations Inc. | 321,056 | 16,611 | |
| * | Synchronoss Technologies Inc. | 383,504 | 16,053 |
| * | Veeva Systems Inc. Class A | 594,877 | 15,711 |
| * | Syntel Inc. | 336,032 | 15,115 |
| * | NetScout Systems Inc. | 402,029 | 14,690 |
| * | Super Micro Computer Inc. | 420,997 | 14,684 |
| * | iGATE Corp. | 371,084 | 14,650 |
| * | FleetMatics Group plc | 411,781 | 14,614 |
| * | Synaptics Inc. | 211,829 | 14,582 |
| * | Rambus Inc. | 1,252,041 | 13,885 |
| * | MedAssets Inc. | 689,762 | 13,630 |
| *,^ | InvenSense Inc. | 827,185 | 13,450 |
| * | LogMeIn Inc. | 265,968 | 13,123 |
| Monotype Imaging Holdings Inc. | 451,441 | 13,015 | |
| * | RealPage Inc. | 587,652 | 12,905 |
| * | Shutterstock Inc. | 183,054 | 12,649 |
| * | Ellie Mae Inc. | 313,549 | 12,642 |
| * | Spansion Inc. Class A | 355,739 | 12,173 |
| Mentor Graphics Corp. | 554,863 | 12,163 | |
| NIC Inc. | 674,944 | 12,142 | |
| * | Infoblox Inc. | 575,751 | 11,636 |
| * | Bottomline Technologies de Inc. | 458,390 | 11,588 |
| * | Diodes Inc. | 409,862 | 11,300 |
36
| Vanguard® Small-Cap Growth Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Ruckus Wireless Inc. | 918,119 | 11,036 |
| * | Web.com Group Inc. | 573,063 | 10,882 |
| * | Loral Space & Communications Inc. | 135,168 | 10,639 |
| * | Semtech Corp. | 385,655 | 10,633 |
| * | Marketo Inc. | 323,367 | 10,581 |
| * | Sonus Networks Inc. | 2,636,239 | 10,466 |
| *,^ | Gogo Inc. | 587,556 | 9,712 |
| * | BroadSoft Inc. | 330,796 | 9,600 |
| *,^ | Endurance International Group Holdings Inc. | 516,889 | 9,526 |
| *,^ | Advanced Micro Devices Inc. | 3,548,769 | 9,475 |
| * | Lattice Semiconductor Corp. | 1,357,876 | 9,356 |
| * | Interactive Intelligence Group Inc. | 193,605 | 9,274 |
| *,^ | Nimble Storage Inc. | 337,201 | 9,273 |
| * | Zendesk Inc. | 376,158 | 9,167 |
| ^ | Ubiquiti Networks Inc. | 304,374 | 9,022 |
| Pegasystems Inc. | 382,402 | 7,942 | |
| * | LivePerson Inc. | 559,117 | 7,884 |
| * | Actua Corp. | 419,391 | 7,746 |
| Computer Programs & Systems Inc. | 122,191 | 7,423 | |
| * | Cray Inc. | 214,348 | 7,391 |
| * | RingCentral Inc. Class A | 485,749 | 7,247 |
| * | Cvent Inc. | 237,314 | 6,607 |
| * | Inphi Corp. | 340,801 | 6,298 |
| * | Blucora Inc. | 423,637 | 5,867 |
| *,^ | Textura Corp. | 204,598 | 5,825 |
| * | Ultratech Inc. | 308,271 | 5,722 |
| * | Applied Micro Circuits Corp. | 859,062 | 5,601 |
| * | ChannelAdvisor Corp. | 242,873 | 5,241 |
| * | Tangoe Inc. | 401,344 | 5,230 |
| * | Silicon Image Inc. | 891,463 | 4,921 |
| * | Calix Inc. | 469,415 | 4,704 |
| Forrester Research Inc. | 114,850 | 4,520 | |
| * | Silicon Graphics International Corp. | 396,994 | 4,518 |
| * | Quantum Corp. | 2,493,023 | 4,388 |
| * | Ixia | 385,699 | 4,339 |
| * | Gigamon Inc. | 242,746 | 4,304 |
| *,^ | Barracuda Networks Inc. | 119,288 | 4,275 |
| *,^ | Rocket Fuel Inc. | 260,787 | 4,204 |
| * | CEVA Inc. | 231,704 | 4,203 |
| Quality Systems Inc. | 259,413 | 4,044 | |
| * | Castlight Health Inc. Class B | 334,728 | 3,916 |
| * | Comverse Inc. | 205,461 | 3,859 |
| * | Intralinks Holdings Inc. | 276,418 | 3,289 |
| *,^ | OPOWER Inc. | 228,785 | 3,256 |
| * | Jive Software Inc. | 451,856 | 2,725 |
| * | Benefitfocus Inc. | 51,275 | 1,684 |
| *,^ | VirnetX Holding Corp. | 254,165 | 1,395 |
| * | MobileIron Inc. | 130,845 | 1,303 |
| * | HubSpot Inc. | 35,994 | 1,210 |
| * | New Relic Inc. | 4,180 | 146 |
| 2,553,750 | |||
| Telecommunications (0.1%) | |||
| *,^ | Globalstar Inc. | 3,931,938 | 10,813 |
| * | Cincinnati Bell Inc. | 2,402,364 | 7,663 |
| 18,476 | |||
| Utilities (0.6%) | |||
| ITC Holdings Corp. | 1,785,311 | 72,180 | |
| TerraForm Power Inc. Class A | 263,984 | 8,152 | |
| Ormat Technologies Inc. | 104,493 | 2,840 | |
| * | Vivint Solar Inc. | 241,566 | 2,227 |
37
| Vanguard® Small-Cap Growth Index Fund | |||||
| Schedule of Investments | |||||
| December 31, 2014 | |||||
| Market | |||||
| Value | |||||
| Shares | ($000) | ||||
| Atlantic Power Corp. | 693,102 | 1,879 | |||
| 87,278 | |||||
| Total Common Stocks (Cost $11,511,595) | 15,326,993 | ||||
| Coupon | |||||
| Temporary Cash Investments (1.7%) | |||||
| Money Market Fund (1.6%)1 | |||||
| 2,3 | Vanguard Market Liquidity Fund | 0.126% | 251,397,865 | 251,398 | |
| Face | |||||
| Maturity | Amount | ||||
| Date | ($000) | ||||
| U.S. Government and Agency Obligations (0.1%) | |||||
| 4,5 | Fannie Mae Discount Notes | 0.130% | 4/27/15 | 4,000 | 3,998 |
| 4,6 | Federal Home Loan Bank Discount Notes | 0.075% | 2/4/15 | 3,000 | 3,000 |
| 6,998 | |||||
| Total Temporary Cash Investments (Cost $258,396) | 258,396 | ||||
| Total Investments (101.6%) (Cost $11,769,991) | 15,585,389 | ||||
| Other Assets and Liabilities—Net (-1.6%)3 | (240,691) | ||||
| Net Assets (100%) | 15,344,698 | ||||
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $215,878,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund's effective common stock and temporary cash investment positions represent 100.1% and 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 $229,896,000 of collateral received for securities on loan.
4 Securities with a value of $1,499,000 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.
REIT—Real Estate Investment Trust.
38
| Vanguard® Small-Cap Value Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Common Stocks (99.7%)1 | |||
| Basic Materials (5.0%) | |||
| RPM International Inc. | 1,281,492 | 64,984 | |
| Rockwood Holdings Inc. | 684,348 | 53,927 | |
| Steel Dynamics Inc. | 2,193,210 | 43,294 | |
| United States Steel Corp. | 1,397,170 | 37,360 | |
| Allegheny Technologies Inc. | 1,044,060 | 36,302 | |
| PolyOne Corp. | 872,549 | 33,078 | |
| Axiall Corp. | 673,766 | 28,615 | |
| Compass Minerals International Inc. | 322,487 | 28,002 | |
| Sensient Technologies Corp. | 462,237 | 27,891 | |
| Domtar Corp. | 619,037 | 24,898 | |
| Cabot Corp. | 553,452 | 24,274 | |
| HB Fuller Co. | 482,932 | 21,505 | |
| * | Chemtura Corp. | 843,378 | 20,857 |
| Commercial Metals Co. | 1,135,108 | 18,491 | |
| Olin Corp. | 751,255 | 17,106 | |
| Worthington Industries Inc. | 492,898 | 14,831 | |
| Tronox Ltd. Class A | 580,173 | 13,854 | |
| * | Clearwater Paper Corp. | 178,124 | 12,210 |
| Innophos Holdings Inc. | 208,776 | 12,203 | |
| Kaiser Aluminum Corp. | 162,261 | 11,590 | |
| Minerals Technologies Inc. | 165,658 | 11,505 | |
| * | Century Aluminum Co. | 469,573 | 11,458 |
| * | Resolute Forest Products Inc. | 635,731 | 11,195 |
| Quaker Chemical Corp. | 121,057 | 11,142 | |
| A Schulman Inc. | 265,801 | 10,773 | |
| PH Glatfelter Co. | 412,351 | 10,544 | |
| Peabody Energy Corp. | 1,304,401 | 10,096 | |
| * | AK Steel Holding Corp. | 1,615,870 | 9,598 |
| Innospec Inc. | 222,923 | 9,519 | |
| ^ | Cliffs Natural Resources Inc. | 1,325,100 | 9,461 |
| Rayonier Advanced Materials Inc. | 409,534 | 9,133 | |
| * | Stillwater Mining Co. | 576,439 | 8,497 |
| OM Group Inc. | 281,288 | 8,382 | |
| Stepan Co. | 181,807 | 7,287 | |
| * | Kraton Performance Polymers Inc. | 315,636 | 6,562 |
| SunCoke Energy Inc. | 302,728 | 5,855 | |
| * | LSB Industries Inc. | 184,857 | 5,812 |
| Tredegar Corp. | 249,363 | 5,608 | |
| * | Ferro Corp. | 418,667 | 5,426 |
| * | Cloud Peak Energy Inc. | 587,164 | 5,390 |
| Hecla Mining Co. | 1,768,773 | 4,935 | |
| Koppers Holdings Inc. | 187,511 | 4,871 | |
| ^ | Arch Coal Inc. | 2,033,546 | 3,620 |
| *,^ | Alpha Natural Resources Inc. | 2,139,891 | 3,574 |
| Kronos Worldwide Inc. | 222,047 | 2,891 | |
| FutureFuel Corp. | 209,418 | 2,727 | |
| * | NL Industries Inc. | 70,308 | 605 |
| ^ | Walter Energy Inc. | 326,803 | 451 |
| 742,189 | |||
| Consumer Goods (6.5%) | |||
| Snap-on Inc. | 557,891 | 76,286 | |
| Goodyear Tire & Rubber Co. | 2,635,839 | 75,306 | |
| Ingredion Inc. | 690,007 | 58,540 | |
| Leggett & Platt Inc. | 1,321,410 | 56,305 | |
| * | Visteon Corp. | 425,438 | 45,462 |
| Dana Holding Corp. | 1,626,992 | 35,371 | |
| * | TreeHouse Foods Inc. | 385,985 | 33,013 |
| * | Tenneco Inc. | 556,925 | 31,528 |
| Pinnacle Foods Inc. | 892,774 | 31,515 | |
| Scotts Miracle-Gro Co. Class A | 437,977 | 27,295 | |
| Tupperware Brands Corp. | 411,004 | 25,893 | |
39
| Vanguard® Small-Cap Value Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Thor Industries Inc. | 435,721 | 24,344 | |
| HNI Corp. | 426,235 | 21,764 | |
| Spectrum Brands Holdings Inc. | 202,364 | 19,362 | |
| Cooper Tire & Rubber Co. | 501,800 | 17,387 | |
| * | Helen of Troy Ltd. | 259,341 | 16,873 |
| ^ | Sanderson Farms Inc. | 199,476 | 16,761 |
| Dean Foods Co. | 855,226 | 16,574 | |
| Herman Miller Inc. | 542,235 | 15,958 | |
| * | American Axle & Manufacturing Holdings Inc. | 654,335 | 14,781 |
| * | Iconix Brand Group Inc. | 437,327 | 14,777 |
| ^ | KB Home | 881,079 | 14,582 |
| Fresh Del Monte Produce Inc. | 432,732 | 14,518 | |
| Andersons Inc. | 263,498 | 14,002 | |
| Steelcase Inc. Class A | 766,768 | 13,764 | |
| La-Z-Boy Inc. | 496,920 | 13,337 | |
| Columbia Sportswear Co. | 267,601 | 11,919 | |
| * | Seaboard Corp. | 2,812 | 11,805 |
| Schweitzer-Mauduit International Inc. | 277,777 | 11,750 | |
| Herbalife Ltd. | 308,602 | 11,634 | |
| Nu Skin Enterprises Inc. Class A | 256,368 | 11,203 | |
| * | Take-Two Interactive Software Inc. | 383,650 | 10,754 |
| Cal-Maine Foods Inc. | 272,088 | 10,620 | |
| * | Crocs Inc. | 792,632 | 9,900 |
| Universal Corp. | 222,686 | 9,794 | |
| * | ACCO Brands Corp. | 1,077,210 | 9,706 |
| Knoll Inc. | 444,133 | 9,402 | |
| Lancaster Colony Corp. | 91,897 | 8,605 | |
| Briggs & Stratton Corp. | 414,145 | 8,457 | |
| Snyder's-Lance Inc. | 270,227 | 8,256 | |
| Ethan Allen Interiors Inc. | 250,286 | 7,751 | |
| * | Cooper-Standard Holding Inc. | 131,709 | 7,623 |
| * | Eastman Kodak Co. | 302,126 | 6,559 |
| * | Modine Manufacturing Co. | 460,450 | 6,262 |
| * | Chiquita Brands International Inc. | 430,672 | 6,228 |
| Tootsie Roll Industries Inc. | 180,857 | 5,543 | |
| Movado Group Inc. | 169,653 | 4,813 | |
| * | Hovnanian Enterprises Inc. Class A | 1,136,625 | 4,694 |
| * | Federal-Mogul Holdings Corp. | 289,187 | 4,653 |
| Inter Parfums Inc. | 164,000 | 4,502 | |
| Titan International Inc. | 413,541 | 4,396 | |
| Superior Industries International Inc. | 218,299 | 4,320 | |
| *,^ | Elizabeth Arden Inc. | 201,056 | 4,301 |
| * | Central Garden and Pet Co. Class A | 314,445 | 3,003 |
| * | Taylor Morrison Home Corp. Class A | 158,360 | 2,991 |
| National Presto Industries Inc. | 50,092 | 2,907 | |
| * | Quiksilver Inc. | 1,148,169 | 2,538 |
| * | Central Garden and Pet Co. | 100,255 | 880 |
| 973,067 | |||
| Consumer Services (13.4%) | |||
| Alaska Air Group Inc. | 1,273,321 | 76,094 | |
| * | Rite Aid Corp. | 9,421,877 | 70,852 |
| Gannett Co. Inc. | 2,168,078 | 69,227 | |
| Omnicare Inc. | 939,802 | 68,540 | |
| * | Avis Budget Group Inc. | 1,020,051 | 67,660 |
| KAR Auction Services Inc. | 1,352,480 | 46,863 | |
| * | Office Depot Inc. | 5,172,010 | 44,350 |
| Service Corp. International | 1,894,239 | 42,999 | |
| Dun & Bradstreet Corp. | 344,700 | 41,695 | |
| Cablevision Systems Corp. Class A | 2,002,300 | 41,327 | |
| International Game Technology | 2,375,793 | 40,982 | |
| Foot Locker Inc. | 690,110 | 38,770 | |
| * | JetBlue Airways Corp. | 2,382,015 | 37,779 |
| * | VCA Inc. | 767,602 | 37,436 |
| ^ | GameStop Corp. Class A | 1,082,083 | 36,574 |
40
| Vanguard® Small-Cap Value Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Brinker International Inc. | 610,016 | 35,802 | |
| Graham Holdings Co. Class B | 41,429 | 35,783 | |
| Cinemark Holdings Inc. | 1,000,021 | 35,581 | |
| Casey's General Stores Inc. | 371,009 | 33,510 | |
| Cracker Barrel Old Country Store Inc. | 229,552 | 32,312 | |
| CST Brands Inc. | 708,152 | 30,882 | |
| Dillard's Inc. Class A | 243,748 | 30,512 | |
| * | Apollo Education Group Inc. | 881,620 | 30,072 |
| * | Murphy USA Inc. | 417,092 | 28,721 |
| John Wiley & Sons Inc. Class A | 431,239 | 25,547 | |
| DeVry Education Group Inc. | 521,339 | 24,748 | |
| * | Starz | 816,572 | 24,252 |
| Wendy's Co. | 2,630,197 | 23,751 | |
| Time Inc. | 942,204 | 23,188 | |
| American Eagle Outfitters Inc. | 1,587,024 | 22,028 | |
| * | Asbury Automotive Group Inc. | 285,958 | 21,710 |
| Big Lots Inc. | 538,333 | 21,544 | |
| Aaron's Inc. | 696,025 | 21,277 | |
| * | Houghton Mifflin Harcourt Co. | 1,019,009 | 21,104 |
| Dolby Laboratories Inc. Class A | 463,486 | 19,986 | |
| Hillenbrand Inc. | 572,727 | 19,759 | |
| Abercrombie & Fitch Co. | 685,500 | 19,633 | |
| * | SUPERVALU Inc. | 2,006,418 | 19,462 |
| Meredith Corp. | 356,932 | 19,389 | |
| Men's Wearhouse Inc. | 438,509 | 19,360 | |
| Penske Automotive Group Inc. | 390,132 | 19,144 | |
| Group 1 Automotive Inc. | 210,116 | 18,831 | |
| Choice Hotels International Inc. | 335,417 | 18,790 | |
| Lithia Motors Inc. Class A | 216,153 | 18,738 | |
| Sinclair Broadcast Group Inc. Class A | 668,022 | 18,277 | |
| Rent-A-Center Inc. | 482,803 | 17,535 | |
| New York Times Co. Class A | 1,292,645 | 17,089 | |
| *,^ | JC Penney Co. Inc. | 2,636,154 | 17,082 |
| DineEquity Inc. | 163,698 | 16,966 | |
| Chemed Corp. | 155,087 | 16,388 | |
| Regal Entertainment Group Class A | 763,731 | 16,313 | |
| AMERCO | 56,518 | 16,066 | |
| Buckle Inc. | 278,965 | 14,651 | |
| Matthews International Corp. Class A | 299,732 | 14,588 | |
| * | Acxiom Corp. | 702,145 | 14,232 |
| * | Beacon Roofing Supply Inc. | 474,235 | 13,184 |
| Brown Shoe Co. Inc. | 398,719 | 12,819 | |
| * | Lands' End Inc. | 230,076 | 12,415 |
| SeaWorld Entertainment Inc. | 691,128 | 12,371 | |
| Guess? Inc. | 572,590 | 12,070 | |
| * | Bloomin' Brands Inc. | 482,665 | 11,951 |
| Children's Place Inc. | 196,714 | 11,213 | |
| Bob Evans Farms Inc. | 215,152 | 11,011 | |
| *,^ | TrueCar Inc. | 444,266 | 10,174 |
| * | Express Inc. | 688,268 | 10,111 |
| Cato Corp. Class A | 238,775 | 10,072 | |
| * | Barnes & Noble Inc. | 403,892 | 9,378 |
| * | Penn National Gaming Inc. | 680,744 | 9,347 |
| * | Boyd Gaming Corp. | 729,533 | 9,323 |
| Scholastic Corp. | 253,636 | 9,237 | |
| * | Rush Enterprises Inc. Class A | 286,747 | 9,190 |
| *,^ | Caesars Entertainment Corp. | 554,814 | 8,705 |
| Sonic Automotive Inc. Class A | 319,748 | 8,646 | |
| *,^ | Sears Holdings Corp. | 255,712 | 8,433 |
| Capella Education Co. | 105,785 | 8,141 | |
| International Speedway Corp. Class A | 255,834 | 8,097 | |
| * | Strayer Education Inc. | 99,611 | 7,399 |
| * | Regis Corp. | 425,094 | 7,125 |
| *,^ | Weight Watchers International Inc. | 272,500 | 6,769 |
41
| Vanguard® Small-Cap Value Index Fund | ||
| Schedule of Investments | ||
| December 31, 2014 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Biglari Holdings Inc. | 16,878 | 6,743 |
| * FTD Cos. Inc. | 182,693 | 6,361 |
| SkyWest Inc. | 468,009 | 6,215 |
| * Pinnacle Entertainment Inc. | 274,226 | 6,102 |
| Stage Stores Inc. | 290,765 | 6,019 |
| Fred's Inc. Class A | 337,322 | 5,873 |
| * Steiner Leisure Ltd. | 117,784 | 5,443 |
| Sabre Corp. | 255,626 | 5,182 |
| * ServiceMaster Global Holdings Inc. | 192,605 | 5,156 |
| Weis Markets Inc. | 103,648 | 4,956 |
| * Pep Boys-Manny Moe & Jack | 487,953 | 4,792 |
| Clear Channel Outdoor Holdings Inc. Class A | 409,622 | 4,338 |
| New Media Investment Group Inc. | 180,562 | 4,267 |
| Harte-Hanks Inc. | 479,383 | 3,710 |
| * Ruby Tuesday Inc. | 537,056 | 3,673 |
| Speedway Motorsports Inc. | 118,775 | 2,598 |
| * Smart & Final Stores Inc. | 135,964 | 2,139 |
| * Rush Enterprises Inc. Class B | 72,233 | 2,034 |
| * Liquidity Services Inc. | 230,546 | 1,884 |
| * K12 Inc. | 146,432 | 1,738 |
| * Bridgepoint Education Inc. | 153,489 | 1,737 |
| * Sears Hometown and Outlet Stores Inc. | 119,828 | 1,576 |
| * Diplomat Pharmacy Inc. | 55,871 | 1,529 |
| * Aeropostale Inc. | 341,800 | 793 |
| * RealNetworks Inc. | 112,393 | 791 |
| 1,988,581 | ||
| Financials (30.0%) | ||
| Arthur J Gallagher & Co. | 1,549,263 | 72,939 |
| Liberty Property Trust | 1,426,260 | 53,670 |
| East West Bancorp Inc. | 1,378,321 | 53,355 |
| Protective Life Corp. | 761,365 | 53,029 |
| Apartment Investment & Management Co. Class A | 1,387,696 | 51,553 |
| HCC Insurance Holdings Inc. | 929,469 | 49,745 |
| Starwood Property Trust Inc. | 2,135,502 | 49,629 |
| National Retail Properties Inc. | 1,259,595 | 49,590 |
| * Liberty Ventures Class A | 1,290,199 | 48,666 |
| Hospitality Properties Trust | 1,439,349 | 44,620 |
| Eaton Vance Corp. | 1,079,407 | 44,180 |
| Senior Housing Properties Trust | 1,957,834 | 43,288 |
| SLM Corp. | 4,063,461 | 41,407 |
| NorthStar Asset Management Group Inc. | 1,811,549 | 40,887 |
| Corrections Corp. of America | 1,118,537 | 40,648 |
| Assured Guaranty Ltd. | 1,555,561 | 40,429 |
| Highwoods Properties Inc. | 876,575 | 38,815 |
| Brown & Brown Inc. | 1,173,545 | 38,621 |
| Cullen/Frost Bankers Inc. | 545,080 | 38,504 |
| American Financial Group Inc. | 632,521 | 38,407 |
| Retail Properties of America Inc. | 2,272,126 | 37,922 |
| NorthStar Realty Finance Corp. | 2,142,681 | 37,668 |
| City National Corp. | 449,741 | 36,344 |
| Umpqua Holdings Corp. | 2,086,545 | 35,492 |
| * Forest City Enterprises Inc. Class A | 1,658,271 | 35,321 |
| Two Harbors Investment Corp. | 3,516,074 | 35,231 |
| Prosperity Bancshares Inc. | 636,150 | 35,217 |
| Commerce Bancshares Inc. | 785,535 | 34,163 |
| RenaissanceRe Holdings Ltd. | 351,311 | 34,154 |
| * Alleghany Corp. | 73,426 | 34,033 |
| CNO Financial Group Inc. | 1,969,634 | 33,917 |
| * Popular Inc. | 993,011 | 33,812 |
| Synovus Financial Corp. | 1,245,248 | 33,734 |
| * E*TRADE Financial Corp. | 1,387,670 | 33,658 |
| Allied World Assurance Co. Holdings AG | 879,035 | 33,333 |
| First American Financial Corp. | 978,009 | 33,155 |
| Validus Holdings Ltd. | 796,780 | 33,114 |
42
| Vanguard® Small-Cap Value Index Fund | ||
| Schedule of Investments | ||
| December 31, 2014 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Old Republic International Corp. | 2,255,113 | 32,992 |
| American Homes 4 Rent Class A | 1,922,325 | 32,737 |
| * Equity Commonwealth | 1,237,070 | 31,756 |
| EPR Properties | 548,553 | 31,613 |
| Chimera Investment Corp. | 9,861,736 | 31,360 |
| First Horizon National Corp. | 2,257,826 | 30,661 |
| Radian Group Inc. | 1,833,678 | 30,659 |
| Columbia Property Trust Inc. | 1,199,516 | 30,408 |
| * MGIC Investment Corp. | 3,249,447 | 30,285 |
| CBL & Associates Properties Inc. | 1,552,467 | 30,149 |
| Hanover Insurance Group Inc. | 422,671 | 30,145 |
| FirstMerit Corp. | 1,587,573 | 29,989 |
| Federated Investors Inc. Class B | 903,545 | 29,754 |
| First Niagara Financial Group Inc. | 3,410,589 | 28,751 |
| Geo Group Inc. | 711,746 | 28,726 |
| * Liberty Broadband Corp. | 570,915 | 28,443 |
| MFA Financial Inc. | 3,542,495 | 28,305 |
| StanCorp Financial Group Inc. | 403,627 | 28,197 |
| Webster Financial Corp. | 866,284 | 28,180 |
| DiamondRock Hospitality Co. | 1,878,442 | 27,932 |
| Piedmont Office Realty Trust Inc. Class A | 1,481,320 | 27,908 |
| Primerica Inc. | 510,086 | 27,677 |
| Brandywine Realty Trust | 1,718,005 | 27,454 |
| Associated Banc-Corp | 1,458,953 | 27,180 |
| Mid-America Apartment Communities Inc. | 361,307 | 26,982 |
| BankUnited Inc. | 927,073 | 26,857 |
| Aspen Insurance Holdings Ltd. | 597,431 | 26,150 |
| Bank of the Ozarks Inc. | 688,673 | 26,114 |
| Corporate Office Properties Trust | 888,105 | 25,196 |
| White Mountains Insurance Group Ltd. | 39,809 | 25,084 |
| Bank of Hawaii Corp. | 421,276 | 24,986 |
| ProAssurance Corp. | 549,039 | 24,789 |
| Endurance Specialty Holdings Ltd. | 408,254 | 24,430 |
| Hancock Holding Co. | 783,183 | 24,044 |
| Omega Healthcare Investors Inc. | 611,715 | 23,900 |
| PrivateBancorp Inc. | 710,074 | 23,716 |
| Susquehanna Bancshares Inc. | 1,740,403 | 23,374 |
| Assurant Inc. | 337,284 | 23,080 |
| Janus Capital Group Inc. | 1,428,695 | 23,045 |
| TCF Financial Corp. | 1,445,012 | 22,961 |
| MB Financial Inc. | 682,001 | 22,411 |
| United Bankshares Inc. | 598,018 | 22,396 |
| UMB Financial Corp. | 393,235 | 22,371 |
| FNB Corp. | 1,666,294 | 22,195 |
| American National Insurance Co. | 193,601 | 22,121 |
| Fulton Financial Corp. | 1,778,889 | 21,987 |
| Spirit Realty Capital Inc. | 1,817,831 | 21,614 |
| PacWest Bancorp | 464,878 | 21,133 |
| National Health Investors Inc. | 301,270 | 21,077 |
| Wintrust Financial Corp. | 448,677 | 20,980 |
| Washington Federal Inc. | 942,914 | 20,886 |
| Acadia Realty Trust | 649,161 | 20,793 |
| First Industrial Realty Trust Inc. | 1,008,489 | 20,735 |
| Symetra Financial Corp. | 890,508 | 20,526 |
| Valley National Bancorp | 2,112,011 | 20,508 |
| * Harbinger Group Inc. | 1,447,837 | 20,501 |
| American Equity Investment Life Holding Co. | 689,789 | 20,135 |
| Erie Indemnity Co. Class A | 221,777 | 20,131 |
| Iberiabank Corp. | 305,178 | 19,791 |
| American Realty Capital Healthcare Trust Inc. | 1,626,211 | 19,352 |
| Glacier Bancorp Inc. | 684,691 | 19,014 |
| BancorpSouth Inc. | 830,782 | 18,701 |
| Cathay General Bancorp | 727,341 | 18,613 |
| EastGroup Properties Inc. | 291,386 | 18,451 |
43
| Vanguard® Small-Cap Value Index Fund | ||
| Schedule of Investments | ||
| December 31, 2014 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| RLI Corp. | 372,062 | 18,380 |
| * Liberty TripAdvisor Holdings Inc. Class A | 680,253 | 18,299 |
| Invesco Mortgage Capital Inc. | 1,182,493 | 18,281 |
| EverBank Financial Corp. | 945,799 | 18,027 |
| Washington REIT | 640,360 | 17,712 |
| First Citizens BancShares Inc. Class A | 69,972 | 17,688 |
| ^ First Financial Bankshares Inc. | 584,820 | 17,474 |
| Hatteras Financial Corp. | 929,303 | 17,127 |
| Rayonier Inc. | 608,847 | 17,011 |
| Old National Bancorp | 1,129,406 | 16,806 |
| Platinum Underwriters Holdings Ltd. | 226,687 | 16,643 |
| New York REIT Inc. | 1,558,486 | 16,504 |
| New Residential Investment Corp. | 1,290,677 | 16,482 |
| Potlatch Corp. | 390,037 | 16,331 |
| ^ AmTrust Financial Services Inc. | 287,154 | 16,152 |
| Redwood Trust Inc. | 799,145 | 15,743 |
| Interactive Brokers Group Inc. | 532,921 | 15,540 |
| Government Properties Income Trust | 674,905 | 15,530 |
| Capitol Federal Financial Inc. | 1,214,652 | 15,523 |
| Blackstone Mortgage Trust Inc. Class A | 525,765 | 15,321 |
| Trustmark Corp. | 614,833 | 15,088 |
| Mercury General Corp. | 264,095 | 14,966 |
| South State Corp. | 220,054 | 14,761 |
| Pennsylvania REIT | 627,346 | 14,718 |
| Mack-Cali Realty Corp. | 769,010 | 14,657 |
| CVB Financial Corp. | 914,004 | 14,642 |
| BGC Partners Inc. Class A | 1,595,747 | 14,601 |
| Columbia Banking System Inc. | 522,946 | 14,439 |
| LTC Properties Inc. | 334,406 | 14,436 |
| International Bancshares Corp. | 543,268 | 14,418 |
| PennyMac Mortgage Investment Trust | 675,876 | 14,254 |
| American Assets Trust Inc. | 355,840 | 14,166 |
| Community Bank System Inc. | 370,237 | 14,117 |
| Selective Insurance Group Inc. | 514,585 | 13,981 |
| * Enstar Group Ltd. | 90,782 | 13,880 |
| Kemper Corp. | 379,078 | 13,689 |
| Argo Group International Holdings Ltd. | 246,534 | 13,675 |
| Empire State Realty Trust Inc. | 774,088 | 13,608 |
| CYS Investments Inc. | 1,555,249 | 13,562 |
| Horace Mann Educators Corp. | 402,251 | 13,347 |
| Home Loan Servicing Solutions Ltd. | 681,596 | 13,305 |
| * MBIA Inc. | 1,390,653 | 13,267 |
| * FNFV Group | 841,499 | 13,245 |
| Pinnacle Financial Partners Inc. | 325,261 | 12,861 |
| Washington Prime Group Inc. | 744,721 | 12,824 |
| Montpelier Re Holdings Ltd. | 353,697 | 12,669 |
| National Penn Bancshares Inc. | 1,202,266 | 12,654 |
| ARMOUR Residential REIT Inc. | 3,430,433 | 12,624 |
| Associated Estates Realty Corp. | 525,913 | 12,206 |
| BOK Financial Corp. | 199,707 | 11,990 |
| First Midwest Bancorp Inc. | 686,963 | 11,754 |
| Westamerica Bancorporation | 236,163 | 11,577 |
| * Liberty Broadband Corp. Class A | 225,578 | 11,299 |
| Capstead Mortgage Corp. | 920,004 | 11,298 |
| Park National Corp. | 125,717 | 11,123 |
| Astoria Financial Corp. | 814,801 | 10,886 |
| Franklin Street Properties Corp. | 865,797 | 10,623 |
| * iStar Financial Inc. | 777,035 | 10,607 |
| New Senior Investment Group Inc. | 637,606 | 10,489 |
| NBT Bancorp Inc. | 398,909 | 10,479 |
| BBCN Bancorp Inc. | 725,541 | 10,433 |
| First Financial Bancorp | 559,868 | 10,408 |
| Northwest Bancshares Inc. | 820,811 | 10,285 |
| Provident Financial Services Inc. | 564,545 | 10,196 |
44
| Vanguard® Small-Cap Value Index Fund | ||
| Schedule of Investments | ||
| December 31, 2014 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Boston Private Financial Holdings Inc. | 755,540 | 10,177 |
| Chemical Financial Corp. | 314,804 | 9,646 |
| Starwood Waypoint Residential Trust | 362,850 | 9,568 |
| Independent Bank Corp. | 218,593 | 9,358 |
| WesBanco Inc. | 267,321 | 9,303 |
| Nelnet Inc. Class A | 200,384 | 9,284 |
| * Greenlight Capital Re Ltd. Class A | 283,684 | 9,262 |
| American Capital Mortgage Investment Corp. | 491,235 | 9,255 |
| Select Income REIT | 374,474 | 9,141 |
| Inland Real Estate Corp. | 817,835 | 8,955 |
| * Piper Jaffray Cos. | 148,642 | 8,635 |
| Ashford Hospitality Trust Inc. | 816,680 | 8,559 |
| * Ambac Financial Group Inc. | 342,521 | 8,392 |
| Safety Insurance Group Inc. | 129,714 | 8,303 |
| First Commonwealth Financial Corp. | 881,401 | 8,127 |
| S&T Bancorp Inc. | 272,052 | 8,110 |
| Infinity Property & Casualty Corp. | 104,942 | 8,108 |
| * Navigators Group Inc. | 109,785 | 8,052 |
| * KCG Holdings Inc. Class A | 675,064 | 7,864 |
| Banner Corp. | 178,634 | 7,685 |
| Talmer Bancorp Inc. Class A | 541,700 | 7,605 |
| Parkway Properties Inc. | 400,595 | 7,367 |
| * Green Dot Corp. Class A | 357,588 | 7,327 |
| OFG Bancorp | 429,692 | 7,154 |
| First Potomac Realty Trust | 565,843 | 6,994 |
| * Essent Group Ltd. | 266,828 | 6,860 |
| National General Holdings Corp. | 359,377 | 6,688 |
| * Investment Technology Group Inc. | 317,915 | 6,619 |
| City Holding Co. | 139,086 | 6,472 |
| Berkshire Hills Bancorp Inc. | 242,258 | 6,459 |
| Brookline Bancorp Inc. | 640,049 | 6,420 |
| FXCM Inc. Class A | 385,614 | 6,390 |
| Saul Centers Inc. | 110,590 | 6,325 |
| Cash America International Inc. | 277,899 | 6,286 |
| Maiden Holdings Ltd. | 490,981 | 6,280 |
| Rouse Properties Inc. | 333,334 | 6,173 |
| Resource Capital Corp. | 1,207,044 | 6,083 |
| * First BanCorp | 1,025,118 | 6,017 |
| State Bank Financial Corp. | 295,146 | 5,897 |
| Tompkins Financial Corp. | 106,562 | 5,893 |
| National Western Life Insurance Co. Class A | 21,489 | 5,786 |
| Anworth Mortgage Asset Corp. | 1,090,304 | 5,724 |
| Oritani Financial Corp. | 366,868 | 5,650 |
| Central Pacific Financial Corp. | 259,360 | 5,576 |
| FBL Financial Group Inc. Class A | 94,862 | 5,505 |
| * Ezcorp Inc. Class A | 462,971 | 5,440 |
| Universal Health Realty Income Trust | 112,049 | 5,392 |
| AG Mortgage Investment Trust Inc. | 273,387 | 5,077 |
| Altisource Residential Corp. | 261,512 | 5,073 |
| * World Acceptance Corp. | 63,840 | 5,072 |
| United Fire Group Inc. | 168,901 | 5,021 |
| Dime Community Bancshares Inc. | 284,170 | 4,626 |
| Getty Realty Corp. | 241,605 | 4,400 |
| Meadowbrook Insurance Group Inc. | 459,822 | 3,890 |
| * TESARO Inc. | 103,682 | 3,856 |
| * Great Western Bancorp Inc. | 167,245 | 3,812 |
| BancFirst Corp. | 59,655 | 3,782 |
| Ashford Hospitality Prime Inc. | 219,115 | 3,760 |
| OneBeacon Insurance Group Ltd. Class A | 215,938 | 3,498 |
| Employers Holdings Inc. | 144,602 | 3,400 |
| * Walker & Dunlop Inc. | 191,133 | 3,352 |
| Northfield Bancorp Inc. | 222,964 | 3,300 |
| * Beneficial Mutual Bancorp Inc. | 254,062 | 3,117 |
| State Auto Financial Corp. | 137,382 | 3,053 |
45
| Vanguard® Small-Cap Value Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| GFI Group Inc. | 550,171 | 2,998 | |
| * | Flagstar Bancorp Inc. | 188,708 | 2,968 |
| Newcastle Investment Corp. | 636,246 | 2,857 | |
| * | Enova International Inc. | 126,766 | 2,822 |
| Fidelity & Guaranty Life | 113,090 | 2,745 | |
| * | MoneyGram International Inc. | 284,384 | 2,585 |
| * | Forestar Group Inc. | 160,404 | 2,470 |
| Urstadt Biddle Properties Inc. Class A | 82,741 | 1,810 | |
| * | Kearny Financial Corp. | 130,256 | 1,791 |
| *,^ | FCB Financial Holdings Inc. Class A | 59,312 | 1,461 |
| * | Liberty Broadband Rights Exp. 01/09/2015 | 142,440 | 1,353 |
| Urstadt Biddle Properties Inc. | 42,332 | 785 | |
| 4,466,222 | |||
| Health Care (5.8%) | |||
| * | Community Health Systems Inc. | 1,061,090 | 57,214 |
| * | Covance Inc. | 543,318 | 56,418 |
| * | Tenet Healthcare Corp. | 943,702 | 47,817 |
| Teleflex Inc. | 397,497 | 45,641 | |
| * | Health Net Inc. | 710,876 | 38,053 |
| STERIS Corp. | 570,519 | 36,998 | |
| * | WellCare Health Plans Inc. | 421,750 | 34,609 |
| * | LifePoint Hospitals Inc. | 434,577 | 31,250 |
| HealthSouth Corp. | 800,203 | 30,776 | |
| * | Alere Inc. | 761,926 | 28,953 |
| * | Charles River Laboratories International Inc. | 450,455 | 28,667 |
| * | Alnylam Pharmaceuticals Inc. | 295,470 | 28,661 |
| * | Amsurg Corp. | 462,077 | 25,289 |
| Hill-Rom Holdings Inc. | 552,274 | 25,195 | |
| * | Bio-Rad Laboratories Inc. Class A | 194,836 | 23,489 |
| Owens & Minor Inc. | 605,904 | 21,273 | |
| * | Halyard Health Inc. | 446,994 | 20,325 |
| * | Molina Healthcare Inc. | 325,500 | 17,424 |
| * | Prestige Brands Holdings Inc. | 501,328 | 17,406 |
| * | Magellan Health Inc. | 265,313 | 15,927 |
| *,^ | Celldex Therapeutics Inc. | 859,591 | 15,688 |
| Select Medical Holdings Corp. | 1,005,320 | 14,477 | |
| * | Wright Medical Group Inc. | 490,240 | 13,173 |
| *,^ | Agios Pharmaceuticals Inc. | 114,461 | 12,824 |
| * | Integra LifeSciences Holdings Corp. | 236,076 | 12,802 |
| ^ | PDL BioPharma Inc. | 1,542,230 | 11,891 |
| * | Clovis Oncology Inc. | 211,969 | 11,870 |
| Kindred Healthcare Inc. | 635,060 | 11,545 | |
| CONMED Corp. | 237,903 | 10,696 | |
| *,^ | Achillion Pharmaceuticals Inc. | 866,275 | 10,612 |
| * | Ophthotech Corp. | 210,122 | 9,428 |
| * | Ultragenyx Pharmaceutical Inc. | 214,418 | 9,409 |
| * | Portola Pharmaceuticals Inc. | 326,962 | 9,260 |
| * | Infinity Pharmaceuticals Inc. | 445,404 | 7,523 |
| * | Hanger Inc. | 322,434 | 7,061 |
| *,^ | Kite Pharma Inc. | 120,694 | 6,960 |
| * | PTC Therapeutics Inc. | 129,013 | 6,679 |
| National Healthcare Corp. | 88,157 | 5,540 | |
| * | Orthofix International NV | 168,674 | 5,070 |
| Invacare Corp. | 284,057 | 4,761 | |
| * | Gentiva Health Services Inc. | 249,378 | 4,751 |
| * | Surgical Care Affiliates Inc. | 130,064 | 4,377 |
| Ensign Group Inc. | 97,439 | 4,325 | |
| * | Universal American Corp. | 465,429 | 4,319 |
| * | Amedisys Inc. | 128,781 | 3,780 |
| * | LHC Group Inc. | 120,184 | 3,747 |
| * | Merit Medical Systems Inc. | 199,072 | 3,450 |
| * | Nevro Corp. | 68,228 | 2,638 |
| *,^ | Synergy Pharmaceuticals Inc. | 839,581 | 2,561 |
| * | BioScrip Inc. | 314,388 | 2,198 |
46
| Vanguard® Small-Cap Value Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| *,^ | Sage Therapeutics Inc. | 37,023 | 1,355 |
| * | Wright Medical Group Inc. CVR | 71,097 | 340 |
| 866,495 | |||
| Industrials (20.3%) | |||
| * | Flextronics International Ltd. | 5,558,561 | 62,145 |
| Valspar Corp. | 716,037 | 61,923 | |
| IDEX Corp. | 762,424 | 59,347 | |
| * | Spirit AeroSystems Holdings Inc. Class A | 1,355,274 | 58,331 |
| Carlisle Cos. Inc. | 616,164 | 55,603 | |
| Total System Services Inc. | 1,606,466 | 54,556 | |
| Broadridge Financial Solutions Inc. | 1,152,410 | 53,218 | |
| Global Payments Inc. | 649,501 | 52,434 | |
| Huntington Ingalls Industries Inc. | 463,749 | 52,153 | |
| Allegion plc | 919,256 | 50,982 | |
| PerkinElmer Inc. | 1,084,747 | 47,436 | |
| Ryder System Inc. | 509,351 | 47,293 | |
| * | AECOM Technology Corp. | 1,477,155 | 44,861 |
| Bemis Co. Inc. | 959,135 | 43,362 | |
| * | Graphic Packaging Holding Co. | 3,140,330 | 42,771 |
| Sonoco Products Co. | 977,019 | 42,696 | |
| Trinity Industries Inc. | 1,494,493 | 41,861 | |
| AptarGroup Inc. | 590,534 | 39,471 | |
| Oshkosh Corp. | 765,926 | 37,262 | |
| Packaging Corp. of America | 472,182 | 36,854 | |
| Jabil Circuit Inc. | 1,671,566 | 36,490 | |
| * | Berry Plastics Group Inc. | 1,135,179 | 35,815 |
| Alliant Techsystems Inc. | 306,595 | 35,642 | |
| ITT Corp. | 879,208 | 35,573 | |
| Triumph Group Inc. | 487,484 | 32,769 | |
| Timken Co. | 766,635 | 32,720 | |
| * | WESCO International Inc. | 426,972 | 32,540 |
| * | Teledyne Technologies Inc. | 315,856 | 32,451 |
| Belden Inc. | 410,997 | 32,391 | |
| RR Donnelley & Sons Co. | 1,917,600 | 32,225 | |
| Exelis Inc. | 1,792,446 | 31,422 | |
| Babcock & Wilcox Co. | 1,022,724 | 30,989 | |
| World Fuel Services Corp. | 657,168 | 30,841 | |
| * | Esterline Technologies Corp. | 276,014 | 30,273 |
| Deluxe Corp. | 476,731 | 29,676 | |
| * | Generac Holdings Inc. | 628,069 | 29,369 |
| Curtiss-Wright Corp. | 414,958 | 29,292 | |
| Regal-Beloit Corp. | 386,125 | 29,037 | |
| Terex Corp. | 988,442 | 27,558 | |
| Con-way Inc. | 556,093 | 27,349 | |
| Kennametal Inc. | 759,363 | 27,178 | |
| EnerSys | 435,521 | 26,880 | |
| Crane Co. | 453,022 | 26,592 | |
| * | Moog Inc. Class A | 355,976 | 26,353 |
| * | Euronet Worldwide Inc. | 479,725 | 26,337 |
| EMCOR Group Inc. | 590,527 | 26,273 | |
| Covanta Holding Corp. | 1,132,489 | 24,926 | |
| * | CoreLogic Inc. | 775,369 | 24,494 |
| GATX Corp. | 424,390 | 24,419 | |
| * | Anixter International Inc. | 268,040 | 23,711 |
| KBR Inc. | 1,392,829 | 23,608 | |
| Silgan Holdings Inc. | 424,808 | 22,770 | |
| * | Rexnord Corp. | 781,131 | 22,036 |
| * | Owens-Illinois Inc. | 791,836 | 21,372 |
| Littelfuse Inc. | 216,034 | 20,884 | |
| Booz Allen Hamilton Holding Corp. | 786,017 | 20,853 | |
| * | Knowles Corp. | 816,876 | 19,237 |
| * | Sanmina Corp. | 792,278 | 18,642 |
| Vishay Intertechnology Inc. | 1,300,005 | 18,395 | |
| UniFirst Corp. | 145,834 | 17,712 | |
47
| Vanguard® Small-Cap Value Index Fund | ||
| Schedule of Investments | ||
| December 31, 2014 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Convergys Corp. | 867,729 | 17,676 |
| Barnes Group Inc. | 470,832 | 17,425 |
| AGCO Corp. | 375,661 | 16,980 |
| * Masonite International Corp. | 272,112 | 16,724 |
| Watts Water Technologies Inc. Class A | 261,480 | 16,588 |
| Applied Industrial Technologies Inc. | 357,054 | 16,278 |
| MSA Safety Inc. | 305,801 | 16,235 |
| TimkenSteel Corp. | 437,921 | 16,216 |
| Tetra Tech Inc. | 600,756 | 16,040 |
| United Stationers Inc. | 373,243 | 15,736 |
| Actuant Corp. Class A | 561,100 | 15,284 |
| SPX Corp. | 177,615 | 15,261 |
| * FTI Consulting Inc. | 393,663 | 15,207 |
| * Orbital Sciences Corp. | 555,016 | 14,924 |
| Harsco Corp. | 775,500 | 14,649 |
| ABM Industries Inc. | 508,184 | 14,559 |
| * Itron Inc. | 337,318 | 14,265 |
| Matson Inc. | 413,168 | 14,263 |
| * Meritor Inc. | 939,066 | 14,227 |
| TAL International Group Inc. | 322,870 | 14,067 |
| * Boise Cascade Co. | 378,244 | 14,052 |
| * Korn/Ferry International | 482,728 | 13,883 |
| Valmont Industries Inc. | 106,264 | 13,496 |
| * Plexus Corp. | 322,803 | 13,303 |
| * Benchmark Electronics Inc. | 509,869 | 12,971 |
| Werner Enterprises Inc. | 413,852 | 12,891 |
| G&K Services Inc. Class A | 181,706 | 12,874 |
| Granite Construction Inc. | 338,284 | 12,862 |
| ^ Greenbrier Cos. Inc. | 232,818 | 12,509 |
| Aircastle Ltd. | 582,726 | 12,453 |
| Brady Corp. Class A | 435,190 | 11,898 |
| * Greatbatch Inc. | 240,020 | 11,833 |
| * Atlas Air Worldwide Holdings Inc. | 238,207 | 11,744 |
| * PHH Corp. | 488,126 | 11,695 |
| Greif Inc. Class A | 245,942 | 11,616 |
| Brink's Co. | 466,407 | 11,385 |
| * Louisiana-Pacific Corp. | 682,908 | 11,309 |
| Otter Tail Corp. | 353,387 | 10,941 |
| MTS Systems Corp. | 144,938 | 10,875 |
| * Armstrong World Industries Inc. | 210,834 | 10,778 |
| Kaman Corp. | 260,458 | 10,442 |
| ArcBest Corp. | 225,039 | 10,435 |
| * UTi Worldwide Inc. | 860,698 | 10,389 |
| CIRCOR International Inc. | 169,823 | 10,237 |
| Cubic Corp. | 193,530 | 10,187 |
| AAR Corp. | 363,935 | 10,110 |
| Knight Transportation Inc. | 292,228 | 9,836 |
| Universal Forest Products Inc. | 182,930 | 9,732 |
| Standex International Corp. | 122,576 | 9,470 |
| * TrueBlue Inc. | 408,416 | 9,087 |
| * Tutor Perini Corp. | 374,118 | 9,005 |
| ESCO Technologies Inc. | 240,321 | 8,868 |
| * Sykes Enterprises Inc. | 374,337 | 8,786 |
| John Bean Technologies Corp. | 265,816 | 8,735 |
| Mobile Mini Inc. | 210,437 | 8,525 |
| McGrath RentCorp | 237,024 | 8,500 |
| * Wesco Aircraft Holdings Inc. | 559,025 | 7,815 |
| * Rofin-Sinar Technologies Inc. | 269,251 | 7,746 |
| Mueller Water Products Inc. Class A | 730,403 | 7,479 |
| Textainer Group Holdings Ltd. | 217,114 | 7,451 |
| Insperity Inc. | 219,155 | 7,427 |
| * Coherent Inc. | 120,718 | 7,330 |
| * NeuStar Inc. Class A | 263,342 | 7,321 |
| * Navigant Consulting Inc. | 466,430 | 7,169 |
48
| Vanguard® Small-Cap Value Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| ManTech International Corp. Class A | 231,619 | 7,002 | |
| * | Newport Corp. | 364,090 | 6,958 |
| Astec Industries Inc. | 176,451 | 6,936 | |
| Altra Industrial Motion Corp. | 243,232 | 6,905 | |
| Materion Corp. | 193,875 | 6,830 | |
| Encore Wire Corp. | 179,328 | 6,694 | |
| * | Aegion Corp. Class A | 359,660 | 6,693 |
| * | MasTec Inc. | 294,966 | 6,669 |
| General Cable Corp. | 444,602 | 6,625 | |
| Comfort Systems USA Inc. | 340,498 | 5,829 | |
| Quad/Graphics Inc. | 250,095 | 5,742 | |
| Resources Connection Inc. | 348,328 | 5,730 | |
| Kforce Inc. | 235,556 | 5,684 | |
| AVX Corp. | 404,133 | 5,658 | |
| * | GrafTech International Ltd. | 1,116,413 | 5,649 |
| Hyster-Yale Materials Handling Inc. | 76,915 | 5,630 | |
| Schnitzer Steel Industries Inc. | 241,398 | 5,446 | |
| * | Checkpoint Systems Inc. | 382,392 | 5,250 |
| Albany International Corp. | 137,759 | 5,233 | |
| Park Electrochemical Corp. | 191,725 | 4,780 | |
| Kelly Services Inc. Class A | 263,817 | 4,490 | |
| * | Air Transport Services Group Inc. | 500,987 | 4,288 |
| * | Dice Holdings Inc. | 409,974 | 4,104 |
| American Science & Engineering Inc. | 75,852 | 3,937 | |
| * | TTM Technologies Inc. | 522,648 | 3,936 |
| * | TeleTech Holdings Inc. | 164,507 | 3,896 |
| Acacia Research Corp. | 229,527 | 3,888 | |
| * | Nortek Inc. | 46,512 | 3,783 |
| * | Monster Worldwide Inc. | 807,265 | 3,730 |
| * | CAI International Inc. | 160,451 | 3,722 |
| Black Box Corp. | 141,721 | 3,387 | |
| Landauer Inc. | 91,477 | 3,123 | |
| Griffon Corp. | 201,796 | 2,684 | |
| * | Overseas Shipholding Group Inc. Class B | 45,582 | 251 |
| Foster Wheeler AG | 696 | 19 | |
| 3,022,888 | |||
| Oil & Gas (3.7%) | |||
| * | Newfield Exploration Co. | 1,317,987 | 35,744 |
| * | First Solar Inc. | 721,362 | 32,169 |
| Superior Energy Services Inc. | 1,460,622 | 29,432 | |
| Western Refining Inc. | 709,970 | 26,823 | |
| * | Oil States International Inc. | 510,595 | 24,968 |
| * | WPX Energy Inc. | 1,952,696 | 22,710 |
| Patterson-UTI Energy Inc. | 1,335,552 | 22,157 | |
| PBF Energy Inc. Class A | 802,613 | 21,382 | |
| Bristow Group Inc. | 320,780 | 21,104 | |
| * | Helix Energy Solutions Group Inc. | 912,359 | 19,798 |
| *,^ | Ultra Petroleum Corp. | 1,398,323 | 18,402 |
| QEP Resources Inc. | 865,538 | 17,501 | |
| Nabors Industries Ltd. | 1,321,038 | 17,147 | |
| * | California Resources Corp. | 2,980,486 | 16,423 |
| * | Unit Corp. | 476,451 | 16,247 |
| Delek US Holdings Inc. | 523,204 | 14,273 | |
| * | MRC Global Inc. | 930,586 | 14,098 |
| Denbury Resources Inc. | 1,692,606 | 13,761 | |
| *,^ | NOW Inc. | 513,809 | 13,220 |
| SM Energy Co. | 323,844 | 12,494 | |
| * | SEACOR Holdings Inc. | 160,518 | 11,848 |
| Exterran Holdings Inc. | 311,351 | 10,144 | |
| * | Stone Energy Corp. | 512,696 | 8,654 |
| * | Atwood Oceanics Inc. | 293,284 | 8,320 |
| Tidewater Inc. | 238,637 | 7,734 | |
| * | Newpark Resources Inc. | 766,958 | 7,317 |
| * | McDermott International Inc. | 2,288,132 | 6,658 |
49
| Vanguard® Small-Cap Value Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| *,^ | SunPower Corp. Class A | 252,246 | 6,516 |
| CVR Energy Inc. | 167,047 | 6,466 | |
| * | TETRA Technologies Inc. | 728,163 | 4,864 |
| * | Contango Oil & Gas Co. | 149,335 | 4,367 |
| Civeo Corp. | 1,025,545 | 4,215 | |
| Tesco Corp. | 324,729 | 4,163 | |
| CARBO Ceramics Inc. | 94,533 | 3,786 | |
| Green Plains Inc. | 145,067 | 3,595 | |
| * | ION Geophysical Corp. | 1,268,789 | 3,489 |
| * | Parker Drilling Co. | 1,110,761 | 3,410 |
| ^ | EXCO Resources Inc. | 1,443,766 | 3,133 |
| Alon USA Energy Inc. | 235,550 | 2,984 | |
| Gulfmark Offshore Inc. | 114,519 | 2,797 | |
| * | Basic Energy Services Inc. | 393,081 | 2,756 |
| * | Bill Barrett Corp. | 227,697 | 2,593 |
| * | Seventy Seven Energy Inc. | 463,002 | 2,505 |
| W&T Offshore Inc. | 329,731 | 2,420 | |
| * | EP Energy Corp. Class A | 178,079 | 1,859 |
| * | Clayton Williams Energy Inc. | 29,087 | 1,856 |
| * | Willbros Group Inc. | 194,156 | 1,217 |
| Paragon Offshore plc | 406,873 | 1,127 | |
| * | Key Energy Services Inc. | 626,394 | 1,046 |
| *,^ | Swift Energy Co. | 199,986 | 810 |
| *,^ | Hercules Offshore Inc. | 734,000 | 734 |
| * | Vantage Drilling Co. | 886,726 | 433 |
| 543,669 | |||
| Other (0.1%) 2 | |||
| * | Amec Foster Wheeler plc | 786,710 | 10,459 |
| * | Leap Wireless International Inc. CVR | 474,686 | 1,196 |
| 11,655 | |||
| Technology (7.8%) | |||
| Brocade Communications Systems Inc. | 4,147,970 | 49,112 | |
| Pitney Bowes Inc. | 1,929,949 | 47,033 | |
| * | NCR Corp. | 1,536,177 | 44,764 |
| * | ON Semiconductor Corp. | 4,185,521 | 42,399 |
| * | Ingram Micro Inc. | 1,497,449 | 41,389 |
| Teradyne Inc. | 2,078,988 | 41,143 | |
| * | VeriFone Systems Inc. | 1,031,469 | 38,371 |
| CDW Corp. | 1,075,068 | 37,810 | |
| * | ARRIS Group Inc. | 1,251,414 | 37,780 |
| * | Verint Systems Inc. | 581,390 | 33,883 |
| * | AOL Inc. | 710,222 | 32,791 |
| DST Systems Inc. | 328,819 | 30,958 | |
| Leidos Holdings Inc. | 710,603 | 30,925 | |
| j2 Global Inc. | 435,982 | 27,031 | |
| * | Microsemi Corp. | 912,370 | 25,893 |
| Lexmark International Inc. Class A | 593,277 | 24,485 | |
| * | Tech Data Corp. | 367,277 | 23,223 |
| * | RF Micro Devices Inc. | 1,395,521 | 23,152 |
| SYNNEX Corp. | 283,374 | 22,149 | |
| * | Rovi Corp. | 912,820 | 20,621 |
| Cypress Semiconductor Corp. | 1,393,807 | 19,904 | |
| * | CACI International Inc. Class A | 228,536 | 19,695 |
| Diebold Inc. | 558,819 | 19,357 | |
| * | Fairchild Semiconductor International Inc. Class A | 1,140,769 | 19,256 |
| Science Applications International Corp. | 383,831 | 19,011 | |
| MKS Instruments Inc. | 509,777 | 18,658 | |
| * | CommScope Holding Co. Inc. | 811,245 | 18,521 |
| Intersil Corp. Class A | 1,249,711 | 18,083 | |
| * | Polycom Inc. | 1,311,283 | 17,702 |
| * | PMC-Sierra Inc. | 1,615,450 | 14,798 |
| * | OmniVision Technologies Inc. | 552,975 | 14,377 |
| * | Cirrus Logic Inc. | 606,179 | 14,288 |
50
| Vanguard® Small-Cap Value Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Unisys Corp. | 479,206 | 14,127 |
| * | Progress Software Corp. | 457,744 | 12,368 |
| * | Synaptics Inc. | 177,117 | 12,193 |
| ADTRAN Inc. | 521,596 | 11,371 | |
| * | QLogic Corp. | 846,363 | 11,274 |
| * | NETGEAR Inc. | 315,436 | 11,223 |
| * | ScanSource Inc. | 274,026 | 11,005 |
| * | Dycom Industries Inc. | 310,703 | 10,903 |
| * | Kulicke & Soffa Industries Inc. | 739,612 | 10,695 |
| * | Cabot Microelectronics Corp. | 217,113 | 10,274 |
| * | Spansion Inc. Class A | 298,004 | 10,198 |
| * | Insight Enterprises Inc. | 393,518 | 10,188 |
| Mentor Graphics Corp. | 464,054 | 10,172 | |
| West Corp. | 283,036 | 9,340 | |
| * | Semtech Corp. | 323,016 | 8,906 |
| * | Advanced Energy Industries Inc. | 366,112 | 8,677 |
| *,^ | Advanced Micro Devices Inc. | 2,975,556 | 7,945 |
| CSG Systems International Inc. | 313,386 | 7,857 | |
| Brooks Automation Inc. | 611,274 | 7,794 | |
| * | Amkor Technology Inc. | 1,026,492 | 7,288 |
| * | Digital River Inc. | 276,000 | 6,825 |
| Micrel Inc. | 436,190 | 6,329 | |
| * | Harmonic Inc. | 847,029 | 5,938 |
| ^ | Ebix Inc. | 300,341 | 5,103 |
| Epiq Systems Inc. | 280,650 | 4,793 | |
| * | FormFactor Inc. | 543,752 | 4,676 |
| Comtech Telecommunications Corp. | 147,811 | 4,659 | |
| * | Mercury Systems Inc. | 310,148 | 4,317 |
| * | Ixia | 338,075 | 3,803 |
| * | Emulex Corp. | 648,691 | 3,678 |
| Quality Systems Inc. | 218,163 | 3,401 | |
| * | Intralinks Holdings Inc. | 231,441 | 2,754 |
| * | Pendrell Corp. | 1,436,408 | 1,982 |
| * | Systemax Inc. | 123,380 | 1,666 |
| *,^ | Benefitfocus Inc. | 42,900 | 1,409 |
| * | Vectrus Inc. | 50,159 | 1,374 |
| *,^ | HubSpot Inc. | 30,083 | 1,011 |
| 1,156,078 | |||
| Telecommunications (0.4%) | |||
| Telephone & Data Systems Inc. | 870,398 | 21,977 | |
| Consolidated Communications Holdings Inc. | 459,863 | 12,798 | |
| * | Iridium Communications Inc. | 721,340 | 7,033 |
| * | Vonage Holdings Corp. | 1,679,833 | 6,400 |
| Atlantic Tele-Network Inc. | 91,873 | 6,210 | |
| * | United States Cellular Corp. | 123,181 | 4,906 |
| EarthLink Holdings Corp. | 986,722 | 4,332 | |
| * | Intelsat SA | 205,295 | 3,564 |
| 67,220 | |||
| Utilities (6.7%) | |||
| UGI Corp. | 1,655,034 | 62,858 | |
| AGL Resources Inc. | 1,148,056 | 62,581 | |
| Atmos Energy Corp. | 963,991 | 53,733 | |
| Westar Energy Inc. Class A | 1,255,253 | 51,767 | |
| TECO Energy Inc. | 2,253,568 | 46,176 | |
| Aqua America Inc. | 1,696,118 | 45,286 | |
| Questar Corp. | 1,682,944 | 42,545 | |
| Great Plains Energy Inc. | 1,480,024 | 42,047 | |
| Vectren Corp. | 792,718 | 36,647 | |
| * | Dynegy Inc. | 1,120,843 | 34,018 |
| Hawaiian Electric Industries Inc. | 984,405 | 32,958 | |
| IDACORP Inc. | 482,548 | 31,940 | |
| Cleco Corp. | 579,543 | 31,608 | |
| Piedmont Natural Gas Co. Inc. | 751,991 | 29,636 | |
| Portland General Electric Co. | 750,761 | 28,401 | |
51
| Vanguard® Small-Cap Value Index Fund | |||||
| Schedule of Investments | |||||
| December 31, 2014 | |||||
| Market | |||||
| Value | |||||
| Shares | ($000) | ||||
| Southwest Gas Corp. | 446,578 | 27,603 | |||
| WGL Holdings Inc. | 477,261 | 26,068 | |||
| NorthWestern Corp. | 440,818 | 24,941 | |||
| New Jersey Resources Corp. | 405,588 | 24,822 | |||
| UIL Holdings Corp. | 542,938 | 23,640 | |||
| ALLETE Inc. | 427,246 | 23,558 | |||
| Black Hills Corp. | 428,801 | 22,744 | |||
| PNM Resources Inc. | 764,717 | 22,659 | |||
| Laclede Group Inc. | 394,219 | 20,972 | |||
| ONE Gas Inc. | 499,828 | 20,603 | |||
| Avista Corp. | 567,832 | 20,073 | |||
| South Jersey Industries Inc. | 323,285 | 19,051 | |||
| El Paso Electric Co. | 387,282 | 15,514 | |||
| MGE Energy Inc. | 332,683 | 15,174 | |||
| American States Water Co. | 368,548 | 13,880 | |||
| Northwest Natural Gas Co. | 261,213 | 13,035 | |||
| Empire District Electric Co. | 417,130 | 12,405 | |||
| California Water Service Group | 436,067 | 10,732 | |||
| Ormat Technologies Inc. | 87,908 | 2,389 | |||
| Atlantic Power Corp. | 578,719 | 1,568 | |||
| 993,632 | |||||
| Total Common Stocks (Cost $11,533,614) | 14,831,696 | ||||
| Coupon | |||||
| Temporary Cash Investments (1.0%)1 | |||||
| Money Market Fund (0.9%) | |||||
| 3,4 | Vanguard Market Liquidity Fund | 0.126% | 135,297,663 | 135,298 | |
| Face | |||||
| Maturity | Amount | ||||
| Date | ($000) | ||||
| U.S. Government and Agency Obligations (0.1%) | |||||
| 5,6 | Fannie Mae Discount Notes | 0.130% | 4/27/15 | 3,000 | 2,999 |
| 7 | Federal Home Loan Bank Discount Notes | 0.060% | 2/3/15 | 1,300 | 1,300 |
| 6,7 | Federal Home Loan Bank Discount Notes | 0.105% | 3/6/15 | 3,000 | 2,999 |
| 7,298 | |||||
| Total Temporary Cash Investments (Cost $142,596) | 142,596 | ||||
| Total Investments (100.7%) (Cost $11,676,210) | 14,974,292 | ||||
| Other Assets and Liabilities—Net (-0.7%)4 | (106,277) | ||||
| Net Assets (100%) | 14,868,015 | ||||
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $84,960,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and 0.7%, respectively, of net
assets.
2 “Other” represents securities that are not classified by the fund’s benchmark index.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day
yield.
4 Includes $89,861,000 of collateral received for securities on loan.
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 Securities with a value of $1,600,000 have been segregated as initial margin for open futures contracts.
7 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.
52
This page intentionally left blank.
© 2015 The Vanguard Group, Inc. All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA480 022015
| Vanguard® Extended Market Index Fund | ||
| Schedule of Investments | ||
| December 31, 2014 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Common Stocks (99.7%)1 | ||
| Consumer Discretionary (15.8%) | ||
| * Liberty Global plc | 5,887,670 | 284,433 |
| * Tesla Motors Inc. | 886,884 | 197,252 |
| Las Vegas Sands Corp. | 3,389,024 | 197,106 |
| * DISH Network Corp. Class A | 1,947,685 | 141,967 |
| * Charter Communications Inc. Class A | 750,248 | 125,006 |
| Advance Auto Parts Inc. | 670,307 | 106,767 |
| * TRW Automotive Holdings Corp. | 1,016,854 | 104,583 |
| Hanesbrands Inc. | 917,633 | 102,426 |
| * Hilton Worldwide Holdings Inc. | 3,796,872 | 99,060 |
| Signet Jewelers Ltd. | 736,205 | 96,862 |
| * Liberty Global plc Class A | 1,923,336 | 96,561 |
| Autoliv Inc. | 832,138 | 88,306 |
| Polaris Industries Inc. | 561,208 | 84,877 |
| * Sirius XM Holdings Inc. | 23,737,093 | 83,080 |
| * Jarden Corp. | 1,647,001 | 78,858 |
| * LKQ Corp. | 2,783,991 | 78,286 |
| * Ulta Salon Cosmetics & Fragrance Inc. | 592,492 | 75,744 |
| Foot Locker Inc. | 1,306,044 | 73,374 |
| Lear Corp. | 728,495 | 71,451 |
| * MGM Resorts International | 3,299,598 | 70,545 |
| * Liberty Media Corp. | 1,832,077 | 64,178 |
| Williams-Sonoma Inc. | 787,266 | 59,580 |
| * lululemon athletica Inc. | 962,833 | 53,716 |
| * Toll Brothers Inc. | 1,491,317 | 51,107 |
| Gentex Corp. | 1,347,325 | 48,679 |
| Domino's Pizza Inc. | 508,109 | 47,849 |
| * NVR Inc. | 35,727 | 45,564 |
| Dick's Sporting Goods Inc. | 901,816 | 44,775 |
| Brunswick Corp. | 855,719 | 43,864 |
| * Visteon Corp. | 406,700 | 43,460 |
| Service Corp. International | 1,908,748 | 43,329 |
| Carter's Inc. | 489,588 | 42,746 |
| * Madison Square Garden Co. Class A | 555,212 | 41,785 |
| * Panera Bread Co. Class A | 236,866 | 41,404 |
| Dunkin' Brands Group Inc. | 965,615 | 41,183 |
| Lamar Advertising Co. Class A | 737,592 | 39,564 |
| * Norwegian Cruise Line Holdings Ltd. | 842,396 | 39,390 |
| International Game Technology | 2,277,414 | 39,285 |
| GNC Holdings Inc. Class A | 816,389 | 38,338 |
| * Office Depot Inc. | 4,458,197 | 38,229 |
| * Kate Spade & Co. | 1,169,044 | 37,421 |
| * Sally Beauty Holdings Inc. | 1,158,008 | 35,597 |
| Graham Holdings Co. Class B | 40,586 | 35,055 |
| Six Flags Entertainment Corp. | 809,013 | 34,909 |
| * Live Nation Entertainment Inc. | 1,330,668 | 34,744 |
| * AMC Networks Inc. Class A | 544,627 | 34,731 |
| Brinker International Inc. | 584,329 | 34,294 |
| Cinemark Holdings Inc. | 959,908 | 34,154 |
| Dana Holding Corp. | 1,559,984 | 33,914 |
| * Liberty Media Corp. Class A | 914,467 | 32,253 |
| * Groupon Inc. Class A | 3,885,805 | 32,097 |
| * Hyatt Hotels Corp. Class A | 530,317 | 31,930 |
| * Tenneco Inc. | 562,822 | 31,861 |
| * Restoration Hardware Holdings Inc. | 330,069 | 31,690 |
| * Buffalo Wild Wings Inc. | 174,409 | 31,460 |
| CST Brands Inc. | 713,521 | 31,117 |
| Cracker Barrel Old Country Store Inc. | 219,606 | 30,912 |
| * Tempur Sealy International Inc. | 561,230 | 30,817 |
| * Apollo Education Group Inc. | 900,142 | 30,704 |
| Vail Resorts Inc. | 333,497 | 30,392 |
| Dillard's Inc. Class A | 238,867 | 29,901 |
1
| Vanguard® Extended Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Tupperware Brands Corp. | 464,545 | 29,266 | |
| * | Deckers Outdoor Corp. | 319,230 | 29,063 |
| Jack in the Box Inc. | 359,579 | 28,752 | |
| Wolverine World Wide Inc. | 935,512 | 27,570 | |
| * | Murphy USA Inc. | 396,318 | 27,290 |
| John Wiley & Sons Inc. Class A | 432,609 | 25,628 | |
| Pool Corp. | 398,963 | 25,310 | |
| DeVry Education Group Inc. | 528,553 | 25,090 | |
| Time Inc. | 1,003,736 | 24,702 | |
| DSW Inc. Class A | 658,148 | 24,549 | |
| Sotheby's | 565,534 | 24,420 | |
| Lions Gate Entertainment Corp. | 758,085 | 24,274 | |
| Aramark | 767,947 | 23,922 | |
| Thor Industries Inc. | 426,798 | 23,845 | |
| * | Bloomin' Brands Inc. | 959,986 | 23,769 |
| * | Starz | 779,139 | 23,140 |
| * | Cabela's Inc. | 438,947 | 23,137 |
| * | Liberty Broadband Corp. | 461,500 | 22,992 |
| Wendy's Co. | 2,535,522 | 22,896 | |
| Chico's FAS Inc. | 1,408,424 | 22,831 | |
| HSN Inc. | 299,218 | 22,741 | |
| American Eagle Outfitters Inc. | 1,613,360 | 22,393 | |
| Cheesecake Factory Inc. | 424,765 | 21,370 | |
| * | Houghton Mifflin Harcourt Co. | 1,025,816 | 21,245 |
| * | Skechers U.S.A. Inc. Class A | 376,088 | 20,779 |
| * | Asbury Automotive Group Inc. | 272,854 | 20,715 |
| * | TRI Pointe Homes Inc. | 1,353,891 | 20,647 |
| * | Five Below Inc. | 499,943 | 20,413 |
| * | Grand Canyon Education Inc. | 430,214 | 20,074 |
| Big Lots Inc. | 491,482 | 19,669 | |
| Texas Roadhouse Inc. Class A | 577,092 | 19,483 | |
| Marriott Vacations Worldwide Corp. | 260,004 | 19,381 | |
| Penske Automotive Group Inc. | 391,310 | 19,202 | |
| * | Burlington Stores Inc. | 399,201 | 18,866 |
| Abercrombie & Fitch Co. | 658,123 | 18,849 | |
| * | Life Time Fitness Inc. | 331,780 | 18,785 |
| Men's Wearhouse Inc. | 420,583 | 18,569 | |
| Meredith Corp. | 336,441 | 18,275 | |
| *,^ | JC Penney Co. Inc. | 2,811,651 | 18,220 |
| Sinclair Broadcast Group Inc. Class A | 665,493 | 18,208 | |
| Lithia Motors Inc. Class A | 209,543 | 18,165 | |
| Aaron's Inc. | 593,371 | 18,139 | |
| Choice Hotels International Inc. | 323,094 | 18,100 | |
| Rent-A-Center Inc. | 487,643 | 17,711 | |
| * | G-III Apparel Group Ltd. | 175,069 | 17,684 |
| Group 1 Automotive Inc. | 196,937 | 17,649 | |
| Cooper Tire & Rubber Co. | 502,214 | 17,402 | |
| * | Liberty TripAdvisor Holdings Inc. Class A | 635,244 | 17,088 |
| * | Genesco Inc. | 222,233 | 17,027 |
| * | Steven Madden Ltd. | 529,311 | 16,848 |
| Monro Muffler Brake Inc. | 291,021 | 16,821 | |
| Ryland Group Inc. | 432,700 | 16,685 | |
| * | Lumber Liquidators Holdings Inc. | 250,203 | 16,591 |
| *,^ | GoPro Inc. Class A | 257,623 | 16,287 |
| * | Helen of Troy Ltd. | 246,088 | 16,010 |
| New York Times Co. Class A | 1,198,992 | 15,851 | |
| * | American Axle & Manufacturing Holdings Inc. | 698,870 | 15,787 |
| DineEquity Inc. | 151,675 | 15,720 | |
| Regal Entertainment Group Class A | 734,849 | 15,696 | |
| Papa John's International Inc. | 279,524 | 15,597 | |
| * | ANN Inc. | 421,907 | 15,391 |
| *,^ | Sears Holdings Corp. | 460,888 | 15,200 |
| * | Ascena Retail Group Inc. | 1,207,448 | 15,166 |
| * | Fiesta Restaurant Group Inc. | 246,596 | 14,993 |
2
| Vanguard® Extended Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Iconix Brand Group Inc. | 442,948 | 14,967 |
| * | Bright Horizons Family Solutions Inc. | 316,613 | 14,884 |
| * | Shutterfly Inc. | 356,163 | 14,850 |
| * | DreamWorks Animation SKG Inc. Class A | 663,924 | 14,825 |
| Nexstar Broadcasting Group Inc. Class A | 283,342 | 14,674 | |
| KB Home | 838,677 | 13,880 | |
| * | Dorman Products Inc. | 286,418 | 13,825 |
| * | Vitamin Shoppe Inc. | 284,545 | 13,823 |
| ^ | Buckle Inc. | 258,711 | 13,588 |
| * | La Quinta Holdings Inc. | 611,905 | 13,499 |
| * | Select Comfort Corp. | 495,664 | 13,398 |
| Pier 1 Imports Inc. | 861,927 | 13,274 | |
| Core-Mark Holding Co. Inc. | 212,894 | 13,185 | |
| * | Outerwall Inc. | 173,983 | 13,087 |
| * | Tumi Holdings Inc. | 550,893 | 13,073 |
| La-Z-Boy Inc. | 484,928 | 13,015 | |
| Sonic Corp. | 473,842 | 12,903 | |
| Brown Shoe Co. Inc. | 400,924 | 12,890 | |
| * | LifeLock Inc. | 693,589 | 12,838 |
| * | Diamond Resorts International Inc. | 459,027 | 12,807 |
| Guess? Inc. | 589,696 | 12,431 | |
| * | Meritage Homes Corp. | 342,464 | 12,325 |
| *,^ | Media General Inc. | 735,505 | 12,305 |
| * | Popeyes Louisiana Kitchen Inc. | 218,357 | 12,287 |
| * | Pinnacle Entertainment Inc. | 551,721 | 12,276 |
| Morningstar Inc. | 185,653 | 12,014 | |
| * | Gentherm Inc. | 327,158 | 11,981 |
| * | Krispy Kreme Doughnuts Inc. | 592,907 | 11,704 |
| * | Liberty Broadband Corp. Class A | 228,540 | 11,448 |
| * | Express Inc. | 777,070 | 11,415 |
| Children's Place Inc. | 199,242 | 11,357 | |
| * | Hibbett Sports Inc. | 231,973 | 11,234 |
| Columbia Sportswear Co. | 251,942 | 11,222 | |
| Bob Evans Farms Inc. | 217,675 | 11,141 | |
| SeaWorld Entertainment Inc. | 622,340 | 11,140 | |
| * | Drew Industries Inc. | 217,898 | 11,128 |
| Finish Line Inc. Class A | 440,686 | 10,713 | |
| Churchill Downs Inc. | 112,284 | 10,701 | |
| * | Standard Pacific Corp. | 1,391,899 | 10,147 |
| Cato Corp. Class A | 238,205 | 10,047 | |
| * | BJ's Restaurants Inc. | 199,731 | 10,028 |
| * | Red Robin Gourmet Burgers Inc. | 128,419 | 9,885 |
| * | Crocs Inc. | 787,925 | 9,841 |
| * | Universal Electronics Inc. | 150,528 | 9,789 |
| * | Belmond Ltd. Class A | 783,865 | 9,696 |
| Extended Stay America Inc. | 498,887 | 9,634 | |
| MDC Holdings Inc. | 359,994 | 9,529 | |
| * | iRobot Corp. | 271,732 | 9,435 |
| * | Loral Space & Communications Inc. | 119,822 | 9,431 |
| Capella Education Co. | 122,073 | 9,395 | |
| * | Boyd Gaming Corp. | 718,323 | 9,180 |
| * | ServiceMaster Global Holdings Inc. | 342,844 | 9,178 |
| * | Rentrak Corp. | 125,055 | 9,107 |
| * | Barnes & Noble Inc. | 390,905 | 9,077 |
| * | Strayer Education Inc. | 121,183 | 9,001 |
| Scholastic Corp. | 246,663 | 8,983 | |
| * | Penn National Gaming Inc. | 650,808 | 8,936 |
| * | Zumiez Inc. | 226,692 | 8,757 |
| * | Tuesday Morning Corp. | 400,137 | 8,683 |
| * | Regis Corp. | 505,079 | 8,465 |
| International Speedway Corp. Class A | 265,194 | 8,393 | |
| Ethan Allen Interiors Inc. | 268,628 | 8,319 | |
| Sonic Automotive Inc. Class A | 304,850 | 8,243 | |
| National CineMedia Inc. | 566,869 | 8,146 | |
3
| Vanguard® Extended Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Denny's Corp. | 778,821 | 8,030 |
| * | Biglari Holdings Inc. | 20,045 | 8,008 |
| * | Cooper-Standard Holding Inc. | 138,061 | 7,991 |
| Interval Leisure Group Inc. | 381,883 | 7,978 | |
| * | Mattress Firm Holding Corp. | 135,424 | 7,865 |
| * | EW Scripps Co. Class A | 340,358 | 7,607 |
| Standard Motor Products Inc. | 196,934 | 7,507 | |
| Oxford Industries Inc. | 135,373 | 7,474 | |
| * | Francesca's Holdings Corp. | 447,229 | 7,469 |
| Fred's Inc. Class A | 401,032 | 6,982 | |
| * | Lands' End Inc. | 129,319 | 6,978 |
| Stage Stores Inc. | 334,394 | 6,922 | |
| *,^ | Weight Watchers International Inc. | 271,423 | 6,742 |
| * | Libbey Inc. | 213,274 | 6,705 |
| * | American Public Education Inc. | 181,681 | 6,699 |
| * | Ascent Capital Group Inc. Class A | 124,173 | 6,572 |
| * | FTD Cos. Inc. | 187,786 | 6,539 |
| * | Global Eagle Entertainment Inc. | 475,435 | 6,471 |
| * | Steiner Leisure Ltd. | 139,609 | 6,451 |
| * | Modine Manufacturing Co. | 470,118 | 6,394 |
| *,^ | Caesars Entertainment Corp. | 403,311 | 6,328 |
| Nutrisystem Inc. | 322,733 | 6,309 | |
| Sturm Ruger & Co. Inc. | 179,796 | 6,226 | |
| Winnebago Industries Inc. | 284,884 | 6,199 | |
| * | Scientific Games Corp. Class A | 486,921 | 6,199 |
| * | Carmike Cinemas Inc. | 226,295 | 5,945 |
| New Media Investment Group Inc. | 250,590 | 5,921 | |
| * | Beazer Homes USA Inc. | 302,728 | 5,861 |
| * | Unifi Inc. | 190,953 | 5,677 |
| Ruth's Hospitality Group Inc. | 375,716 | 5,636 | |
| * | Federal-Mogul Holdings Corp. | 349,992 | 5,631 |
| * | Orbitz Worldwide Inc. | 672,494 | 5,535 |
| * | Pep Boys-Manny Moe & Jack | 541,934 | 5,322 |
| Movado Group Inc. | 184,782 | 5,242 | |
| Callaway Golf Co. | 678,920 | 5,228 | |
| * | M/I Homes Inc. | 227,018 | 5,212 |
| * | Michaels Cos. Inc. | 210,410 | 5,203 |
| * | Del Frisco's Restaurant Group Inc. | 217,694 | 5,168 |
| * | Smith & Wesson Holding Corp. | 537,833 | 5,093 |
| Arctic Cat Inc. | 139,616 | 4,956 | |
| * | RetailMeNot Inc. | 337,401 | 4,933 |
| * | Blue Nile Inc. | 136,307 | 4,908 |
| * | Journal Communications Inc. Class A | 427,313 | 4,884 |
| * | Cavco Industries Inc. | 61,223 | 4,853 |
| * | Hovnanian Enterprises Inc. Class A | 1,171,829 | 4,840 |
| * | Overstock.com Inc. | 197,587 | 4,795 |
| * | Gray Television Inc. | 424,366 | 4,753 |
| Superior Industries International Inc. | 239,609 | 4,742 | |
| * | Taylor Morrison Home Corp. Class A | 249,183 | 4,707 |
| * | Vera Bradley Inc. | 222,626 | 4,537 |
| Clear Channel Outdoor Holdings Inc. Class A | 428,434 | 4,537 | |
| * | Motorcar Parts of America Inc. | 145,561 | 4,525 |
| *,^ | Conn's Inc. | 236,737 | 4,425 |
| * | Cumulus Media Inc. Class A | 1,039,074 | 4,395 |
| Haverty Furniture Cos. Inc. | 199,483 | 4,391 | |
| Remy International Inc. | 209,142 | 4,375 | |
| * | Career Education Corp. | 621,267 | 4,324 |
| * | Ruby Tuesday Inc. | 626,847 | 4,288 |
| ClubCorp Holdings Inc. | 233,815 | 4,192 | |
| * | MarineMax Inc. | 208,725 | 4,185 |
| Strattec Security Corp. | 50,476 | 4,168 | |
| * | Nautilus Inc. | 274,144 | 4,162 |
| Entravision Communications Corp. Class A | 637,783 | 4,133 | |
| ^ | World Wrestling Entertainment Inc. Class A | 331,997 | 4,097 |
4
| Vanguard® Extended Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| *,^ | zulily Inc. Class A | 174,000 | 4,072 |
| Speedway Motorsports Inc. | 183,202 | 4,007 | |
| PetMed Express Inc. | 278,077 | 3,996 | |
| NACCO Industries Inc. Class A | 67,031 | 3,979 | |
| * | America's Car-Mart Inc. | 74,532 | 3,979 |
| Stein Mart Inc. | 267,377 | 3,909 | |
| Harte-Hanks Inc. | 500,028 | 3,870 | |
| * | Tower International Inc. | 151,231 | 3,864 |
| * | Vince Holding Corp. | 141,648 | 3,703 |
| * | Kirkland's Inc. | 155,873 | 3,685 |
| Marcus Corp. | 197,632 | 3,658 | |
| * | Citi Trends Inc. | 144,823 | 3,657 |
| * | Travelport Worldwide Ltd. | 199,685 | 3,594 |
| AMC Entertainment Holdings Inc. | 135,571 | 3,549 | |
| *,^ | Zoe's Kitchen Inc. | 117,394 | 3,511 |
| Big 5 Sporting Goods Corp. | 229,859 | 3,363 | |
| Shoe Carnival Inc. | 128,861 | 3,310 | |
| Tribune Publishing Co. | 142,693 | 3,268 | |
| * | K12 Inc. | 263,297 | 3,125 |
| * | Noodles & Co. Class A | 117,186 | 3,088 |
| * | Stoneridge Inc. | 232,192 | 2,986 |
| * | Chuy's Holdings Inc. | 149,123 | 2,933 |
| * | William Lyon Homes Class A | 141,766 | 2,874 |
| AH Belo Corp. Class A | 272,851 | 2,832 | |
| * | Morgans Hotel Group Co. | 358,594 | 2,811 |
| * | Quiksilver Inc. | 1,258,410 | 2,781 |
| * | Famous Dave's of America Inc. | 105,294 | 2,766 |
| * | Perry Ellis International Inc. | 105,173 | 2,727 |
| * | Jamba Inc. | 176,103 | 2,657 |
| Collectors Universe Inc. | 124,595 | 2,599 | |
| Carriage Services Inc. Class A | 121,277 | 2,541 | |
| * | LeapFrog Enterprises Inc. | 527,294 | 2,489 |
| Saga Communications Inc. Class A | 55,822 | 2,427 | |
| * | EVINE Live Inc. | 357,680 | 2,357 |
| * | VOXX International Corp. Class A | 268,917 | 2,356 |
| *,^ | Tile Shop Holdings Inc. | 260,847 | 2,316 |
| Marine Products Corp. | 272,188 | 2,297 | |
| Destination Maternity Corp. | 143,513 | 2,289 | |
| * | Container Store Group Inc. | 116,038 | 2,220 |
| Bassett Furniture Industries Inc. | 113,025 | 2,205 | |
| Universal Technical Institute Inc. | 216,851 | 2,134 | |
| * | Carrols Restaurant Group Inc. | 276,904 | 2,113 |
| Cherokee Inc. | 108,760 | 2,106 | |
| Spartan Motors Inc. | 395,336 | 2,079 | |
| * | Nathan's Famous Inc. | 25,975 | 2,078 |
| * | Bravo Brio Restaurant Group Inc. | 147,002 | 2,045 |
| *,^ | El Pollo Loco Holdings Inc. | 101,421 | 2,025 |
| *,^ | Central European Media Enterprises Ltd. Class A | 612,761 | 1,967 |
| * | Fuel Systems Solutions Inc. | 175,841 | 1,924 |
| Flexsteel Industries Inc. | 59,627 | 1,923 | |
| Lifetime Brands Inc. | 110,561 | 1,902 | |
| * | Christopher & Banks Corp. | 330,093 | 1,885 |
| * | Entercom Communications Corp. Class A | 154,219 | 1,875 |
| *,^ | Chegg Inc. | 269,711 | 1,864 |
| * | McClatchy Co. Class A | 559,101 | 1,856 |
| * | 1-800-Flowers.com Inc. Class A | 225,149 | 1,855 |
| Culp Inc. | 85,172 | 1,847 | |
| CSS Industries Inc. | 65,753 | 1,817 | |
| * | Aeropostale Inc. | 767,758 | 1,781 |
| * | Sizmek Inc. | 276,636 | 1,732 |
| * | ZAGG Inc. | 253,579 | 1,722 |
| * | Lee Enterprises Inc. | 467,645 | 1,721 |
| *,^ | ITT Educational Services Inc. | 178,808 | 1,718 |
| * | Coupons.com Inc. | 94,333 | 1,674 |
5
| Vanguard® Extended Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Escalade Inc. | 110,736 | 1,671 | |
| *,^ | JAKKS Pacific Inc. | 240,079 | 1,633 |
| * | Isle of Capri Casinos Inc. | 194,153 | 1,625 |
| * | Bridgepoint Education Inc. | 141,997 | 1,607 |
| * | Kona Grill Inc. | 67,857 | 1,567 |
| Tandy Leather Factory Inc. | 173,075 | 1,563 | |
| * | Sequential Brands Group Inc. | 119,217 | 1,558 |
| * | Destination XL Group Inc. | 284,142 | 1,551 |
| Weyco Group Inc. | 51,812 | 1,537 | |
| Hooker Furniture Corp. | 89,405 | 1,535 | |
| * | West Marine Inc. | 117,684 | 1,520 |
| * | Green Brick Partners Inc. | 185,085 | 1,518 |
| * | Fox Factory Holding Corp. | 92,671 | 1,504 |
| * | Malibu Boats Inc. Class A | 77,932 | 1,502 |
| Winmark Corp. | 17,186 | 1,494 | |
| * | Gaiam Inc. Class A | 201,271 | 1,435 |
| * | Black Diamond Inc. | 155,256 | 1,358 |
| * | Crown Media Holdings Inc. Class A | 383,160 | 1,356 |
| * | Build-A-Bear Workshop Inc. | 67,190 | 1,351 |
| * | Monarch Casino & Resort Inc. | 80,912 | 1,342 |
| * | Installed Building Products Inc. | 73,911 | 1,317 |
| * | Liberty Broadband Rights Exp. 01/09/2015 | 136,160 | 1,294 |
| * | Potbelly Corp. | 99,904 | 1,286 |
| * | Sears Hometown and Outlet Stores Inc. | 95,924 | 1,261 |
| Town Sports International Holdings Inc. | 207,822 | 1,237 | |
| * | Dixie Group Inc. | 133,074 | 1,220 |
| *,^ | hhgregg Inc. | 159,657 | 1,209 |
| Rocky Brands Inc. | 89,284 | 1,184 | |
| Blyth Inc. | 125,173 | 1,145 | |
| * | Systemax Inc. | 84,527 | 1,141 |
| * | Skullcandy Inc. | 124,068 | 1,140 |
| * | Martha Stewart Living Omnimedia Inc. Class A | 249,017 | 1,073 |
| Ark Restaurants Corp. | 47,000 | 1,059 | |
| * | SFX Entertainment Inc. | 231,723 | 1,050 |
| * | Insignia Systems Inc. | 291,212 | 1,043 |
| *,^ | American Apparel Inc. | 1,012,059 | 1,042 |
| * | Cinedigm Corp. Class A | 639,109 | 1,035 |
| *,^ | Wayfair Inc. | 51,287 | 1,018 |
| * | Reading International Inc. Class A | 74,528 | 988 |
| * | Dex Media Inc. | 107,532 | 965 |
| * | RCI Hospitality Holdings Inc. | 94,602 | 948 |
| * | LGI Homes Inc. | 63,064 | 941 |
| * | Shiloh Industries Inc. | 59,757 | 940 |
| Frisch's Restaurants Inc. | 32,865 | 881 | |
| * | Century Casinos Inc. | 173,878 | 878 |
| * | Eldorado Resorts Inc. | 201,414 | 816 |
| Johnson Outdoors Inc. Class A | 25,688 | 801 | |
| * | Luby's Inc. | 173,782 | 791 |
| * | Red Lion Hotels Corp. | 123,596 | 784 |
| * | Ballantyne Strong Inc. | 189,702 | 780 |
| bebe stores inc | 345,084 | 756 | |
| * | Papa Murphy's Holdings Inc. | 61,135 | 710 |
| * | Intrawest Resorts Holdings Inc. | 58,083 | 694 |
| * | Ambassadors Group Inc. | 269,686 | 674 |
| Beasley Broadcast Group Inc. Class A | 131,564 | 672 | |
| * | Tilly's Inc. Class A | 68,928 | 668 |
| * | Emmis Communications Corp. Class A | 348,385 | 651 |
| Trans World Entertainment Corp. | 195,751 | 644 | |
| Bon-Ton Stores Inc. | 86,879 | 644 | |
| Dover Motorsports Inc. | 244,223 | 637 | |
| * | Gaming Partners International Corp. | 74,766 | 637 |
| * | 2U Inc. | 32,085 | 631 |
| * | WCI Communities Inc. | 31,083 | 609 |
| Superior Uniform Group Inc. | 20,571 | 604 | |
6
| Vanguard® Extended Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Lincoln Educational Services Corp. | 198,012 | 558 | |
| * | Delta Apparel Inc. | 51,510 | 524 |
| * | New York & Co. Inc. | 177,352 | 468 |
| * | Lakes Entertainment Inc. | 69,306 | 464 |
| *,^ | Pizza Inn Holdings Inc. | 64,290 | 456 |
| *,^ | Quantum Fuel Systems Technologies Worldwide Inc. | 212,586 | 444 |
| * | Radio One Inc. | 265,812 | 444 |
| * | Summer Infant Inc. | 135,595 | 442 |
| * | Sportsman's Warehouse Holdings Inc. | 59,010 | 432 |
| * | Cosi Inc. | 256,013 | 407 |
| * | Perfumania Holdings Inc. | 64,749 | 396 |
| *,^ | RadioShack Corp. | 1,066,045 | 394 |
| * | Empire Resorts Inc. | 50,583 | 393 |
| * | Pacific Sunwear of California Inc. | 179,222 | 391 |
| * | ReachLocal Inc. | 110,914 | 382 |
| * | Charles & Colvard Ltd. | 182,786 | 336 |
| * | Geeknet Inc. | 39,690 | 329 |
| * | Full House Resorts Inc. | 227,501 | 319 |
| * | Boot Barn Holdings Inc. | 16,917 | 308 |
| * | Turtle Beach Corp. | 94,229 | 301 |
| * | UCP Inc. | 27,610 | 290 |
| *,^ | Lakeland Industries Inc. | 30,087 | 282 |
| *,^ | UQM Technologies Inc. | 349,913 | 273 |
| * | Ignite Restaurant Group Inc. | 33,499 | 264 |
| Emerson Radio Corp. | 246,030 | 258 | |
| *,^ | YOU On Demand Holdings Inc. | 112,510 | 232 |
| * | Skyline Corp. | 56,914 | 231 |
| Sypris Solutions Inc. | 86,675 | 229 | |
| * | Learning Tree International Inc. | 123,243 | 216 |
| * | Daily Journal Corp. | 800 | 210 |
| * | Stanley Furniture Co. Inc. | 76,292 | 209 |
| * | Gordmans Stores Inc. | 75,635 | 206 |
| *,^ | Clean Diesel Technologies Inc. | 114,044 | 206 |
| * | Dover Downs Gaming & Entertainment Inc. | 247,196 | 205 |
| * | Joe's Jeans Inc. | 612,767 | 203 |
| * | Forward Industries Inc. | 190,865 | 199 |
| * | Cambium Learning Group Inc. | 117,787 | 196 |
| * | Liberty Tax Inc. | 5,322 | 190 |
| * | Dave & Buster's Entertainment Inc. | 6,900 | 188 |
| * | Books-A-Million Inc. | 101,558 | 174 |
| * | Spanish Broadcasting System Inc. | 73,134 | 169 |
| * | New Home Co. Inc. | 9,602 | 139 |
| * | Century Communities Inc. | 7,738 | 134 |
| * | Jason Industries Inc. | 12,919 | 127 |
| * | NTN Buzztime Inc. | 287,989 | 127 |
| *,^ | Comstock Holding Cos. Inc. Class A | 122,728 | 126 |
| * | Nova Lifestyle Inc. | 42,885 | 121 |
| * | Premier Exhibitions Inc. | 185,197 | 113 |
| * | Good Times Restaurants Inc. | 13,560 | 94 |
| Salem Communications Corp. Class A | 11,551 | 90 | |
| * | US Auto Parts Network Inc. | 36,063 | 84 |
| * | CafePress Inc. | 33,950 | 80 |
| *,^ | Wet Seal Inc. Class A | 1,201,194 | 78 |
| * | Townsquare Media Inc. Class A | 5,800 | 77 |
| *,^ | EveryWare Global Inc. | 98,550 | 72 |
| * | Appliance Recycling Centers of America Inc. | 24,098 | 64 |
| * | Corinthian Colleges Inc. | 959,600 | 61 |
| * | Hemisphere Media Group Inc. | 3,547 | 48 |
| * | SPAR Group Inc. | 33,227 | 47 |
| * | Cache Inc. | 196,912 | 39 |
| * | Nevada Gold & Casinos Inc. | 30,913 | 38 |
| * | Diversified Restaurant Holdings Inc. | 6,700 | 35 |
| * | AG&E Holdings Inc. | 29,185 | 20 |
| * | Entertainment Gaming Asia Inc. | 22,710 | 11 |
7
| Vanguard® Extended Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Restaurant Brands International Inc. | 272 | 11 |
| AMCON Distributing Co. | 100 | 8 | |
| * | Flanigan's Enterprises Inc. | 200 | 6 |
| Empire Resorts Inc. Rights Exp. 02/02/2015 | 7,639 | 5 | |
| * | DGSE Cos. Inc. | 1,051 | 1 |
| * | Here Media Inc. | 12,670 | — |
| 6,494,008 | |||
| Consumer Staples (3.1%) | |||
| Bunge Ltd. | 1,333,288 | 121,209 | |
| Church & Dwight Co. Inc. | 1,231,540 | 97,058 | |
| Energizer Holdings Inc. | 570,251 | 73,311 | |
| * | Rite Aid Corp. | 8,395,543 | 63,134 |
| * | WhiteWave Foods Co. Class A | 1,603,744 | 56,115 |
| Ingredion Inc. | 660,541 | 56,040 | |
| * | Hain Celestial Group Inc. | 927,664 | 54,074 |
| * | Sprouts Farmers Market Inc. | 1,138,277 | 38,679 |
| * | United Natural Foods Inc. | 458,314 | 35,439 |
| * | TreeHouse Foods Inc. | 388,896 | 33,262 |
| Flowers Foods Inc. | 1,699,312 | 32,610 | |
| Casey's General Stores Inc. | 354,866 | 32,051 | |
| Pinnacle Foods Inc. | 852,709 | 30,101 | |
| * | Darling Ingredients Inc. | 1,515,590 | 27,523 |
| Nu Skin Enterprises Inc. Class A | 546,007 | 23,861 | |
| * | Boston Beer Co. Inc. Class A | 81,849 | 23,699 |
| ^ | Herbalife Ltd. | 624,875 | 23,558 |
| *,^ | Pilgrim's Pride Corp. | 571,329 | 18,734 |
| Spectrum Brands Holdings Inc. | 194,430 | 18,603 | |
| * | SUPERVALU Inc. | 1,895,611 | 18,387 |
| * | Post Holdings Inc. | 412,890 | 17,296 |
| PriceSmart Inc. | 186,497 | 17,012 | |
| Lancaster Colony Corp. | 178,969 | 16,759 | |
| Dean Foods Co. | 864,679 | 16,757 | |
| * | Fresh Market Inc. | 406,130 | 16,733 |
| ^ | Sanderson Farms Inc. | 189,384 | 15,913 |
| J&J Snack Foods Corp. | 137,586 | 14,965 | |
| B&G Foods Inc. | 494,523 | 14,786 | |
| Snyder's-Lance Inc. | 477,796 | 14,597 | |
| * | Harbinger Group Inc. | 1,027,748 | 14,553 |
| Vector Group Ltd. | 675,266 | 14,390 | |
| Coty Inc. Class A | 653,310 | 13,497 | |
| Andersons Inc. | 246,466 | 13,097 | |
| WD-40 Co. | 129,031 | 10,978 | |
| * | Seaboard Corp. | 2,573 | 10,801 |
| Cal-Maine Foods Inc. | 276,402 | 10,788 | |
| Fresh Del Monte Produce Inc. | 311,815 | 10,461 | |
| SpartanNash Co. | 361,853 | 9,459 | |
| Universal Corp. | 213,809 | 9,403 | |
| * | Pantry Inc. | 225,541 | 8,359 |
| Tootsie Roll Industries Inc. | 232,920 | 7,139 | |
| * | Diamond Foods Inc. | 235,131 | 6,638 |
| * | Chiquita Brands International Inc. | 447,381 | 6,469 |
| * | USANA Health Sciences Inc. | 61,639 | 6,324 |
| Calavo Growers Inc. | 132,161 | 6,251 | |
| * | Boulder Brands Inc. | 554,036 | 6,128 |
| Weis Markets Inc. | 124,018 | 5,931 | |
| *,^ | Elizabeth Arden Inc. | 247,701 | 5,298 |
| * | Revlon Inc. Class A | 154,202 | 5,268 |
| * | Medifast Inc. | 152,988 | 5,133 |
| * | Central Garden and Pet Co. Class A | 506,704 | 4,839 |
| Ingles Markets Inc. Class A | 127,946 | 4,746 | |
| Coca-Cola Bottling Co. Consolidated | 50,763 | 4,469 | |
| Inter Parfums Inc. | 158,429 | 4,349 | |
| John B Sanfilippo & Son Inc. | 92,666 | 4,216 | |
8
| Vanguard® Extended Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | National Beverage Corp. | 172,780 | 3,908 |
| * | Chefs' Warehouse Inc. | 162,348 | 3,741 |
| MGP Ingredients Inc. | 154,908 | 2,457 | |
| * | Farmer Bros Co. | 79,219 | 2,333 |
| * | IGI Laboratories Inc. | 243,014 | 2,139 |
| * | Natural Grocers by Vitamin Cottage Inc. | 75,898 | 2,138 |
| * | Diplomat Pharmacy Inc. | 72,679 | 1,989 |
| * | Nutraceutical International Corp. | 91,360 | 1,970 |
| * | Omega Protein Corp. | 185,082 | 1,956 |
| Limoneira Co. | 77,208 | 1,929 | |
| * | Seneca Foods Corp. Class A | 71,308 | 1,927 |
| Alico Inc. | 37,462 | 1,874 | |
| Oil-Dri Corp. of America | 54,081 | 1,765 | |
| * | Inventure Foods Inc. | 134,481 | 1,713 |
| Orchids Paper Products Co. | 58,219 | 1,695 | |
| * | Lifeway Foods Inc. | 88,065 | 1,632 |
| Rocky Mountain Chocolate Factory Inc. | 111,705 | 1,475 | |
| * | Alliance One International Inc. | 924,726 | 1,461 |
| * | Roundy's Inc. | 301,757 | 1,461 |
| Village Super Market Inc. Class A | 51,928 | 1,421 | |
| United-Guardian Inc. | 56,614 | 1,101 | |
| * | Craft Brew Alliance Inc. | 80,877 | 1,079 |
| * | Lifevantage Corp. | 813,942 | 1,058 |
| * | Smart & Final Stores Inc. | 65,363 | 1,028 |
| Nature's Sunshine Products Inc. | 62,761 | 930 | |
| Female Health Co. | 195,658 | 767 | |
| * | Synutra International Inc. | 123,300 | 750 |
| *,^ | S&W Seed Co. | 155,550 | 622 |
| * | Natural Alternatives International Inc. | 112,367 | 601 |
| Liberator Medical Holdings Inc. | 177,987 | 516 | |
| * | Castle Brands Inc. | 317,540 | 514 |
| *,^ | Fairway Group Holdings Corp. | 142,271 | 448 |
| * | Primo Water Corp. | 70,205 | 303 |
| *,^ | Rock Creek Pharmaceuticals Inc. | 1,464,153 | 266 |
| *,^ | Freshpet Inc. | 15,413 | 263 |
| *,^ | 22nd Century Group Inc. | 157,071 | 259 |
| * | Mannatech Inc. | 7,932 | 211 |
| * | Reed's Inc. | 30,778 | 182 |
| * | Coffee Holding Co. Inc. | 18,710 | 96 |
| * | RiceBran Technologies | 20,529 | 85 |
| *,^ | Vapor Corp. | 57,771 | 70 |
| * | Reliv International Inc. | 44,259 | 52 |
| * | Crystal Rock Holdings Inc. | 42,584 | 32 |
| Ocean Bio-Chem Inc. | 1,200 | 5 | |
| 1,283,472 | |||
| Energy (4.2%) | |||
| * | Cheniere Energy Inc. | 2,032,484 | 143,087 |
| * | Concho Resources Inc. | 1,040,293 | 103,769 |
| * | Weatherford International plc | 7,125,179 | 81,583 |
| HollyFrontier Corp. | 1,799,282 | 67,437 | |
| * | Dresser-Rand Group Inc. | 705,826 | 57,737 |
| Oceaneering International Inc. | 965,283 | 56,768 | |
| * | Whiting Petroleum Corp. | 1,531,956 | 50,555 |
| Core Laboratories NV | 402,556 | 48,444 | |
| Energen Corp. | 674,291 | 42,993 | |
| * | Gulfport Energy Corp. | 787,841 | 32,884 |
| World Fuel Services Corp. | 666,148 | 31,262 | |
| * | Diamondback Energy Inc. | 521,938 | 31,201 |
| * | Continental Resources Inc. | 788,494 | 30,247 |
| Targa Resources Corp. | 271,978 | 28,843 | |
| * | Dril-Quip Inc. | 368,547 | 28,279 |
| Superior Energy Services Inc. | 1,398,160 | 28,173 | |
| SemGroup Corp. Class A | 393,008 | 26,878 | |
| Rowan Cos. plc Class A | 1,147,250 | 26,754 | |
9
| Vanguard® Extended Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Western Refining Inc. | 670,992 | 25,350 | |
| * | Oil States International Inc. | 498,581 | 24,381 |
| * | Cobalt International Energy Inc. | 2,736,183 | 24,325 |
| SM Energy Co. | 620,632 | 23,944 | |
| Patterson-UTI Energy Inc. | 1,346,506 | 22,339 | |
| * | WPX Energy Inc. | 1,870,018 | 21,748 |
| Bristow Group Inc. | 327,987 | 21,578 | |
| * | Antero Resources Corp. | 507,104 | 20,578 |
| PBF Energy Inc. Class A | 766,083 | 20,408 | |
| Exterran Holdings Inc. | 625,792 | 20,388 | |
| * | Helix Energy Solutions Group Inc. | 905,047 | 19,640 |
| Peabody Energy Corp. | 2,500,647 | 19,355 | |
| *,^ | Ultra Petroleum Corp. | 1,412,020 | 18,582 |
| * | Carrizo Oil & Gas Inc. | 390,576 | 16,248 |
| * | California Resources Corp. | 2,857,841 | 15,747 |
| * | Atwood Oceanics Inc. | 548,676 | 15,566 |
| * | Oasis Petroleum Inc. | 931,856 | 15,413 |
| Tidewater Inc. | 458,784 | 14,869 | |
| * | Unit Corp. | 425,199 | 14,499 |
| * | PDC Energy Inc. | 330,549 | 13,642 |
| Delek US Holdings Inc. | 495,519 | 13,518 | |
| * | Rice Energy Inc. | 603,133 | 12,648 |
| * | Rosetta Resources Inc. | 566,552 | 12,640 |
| * | Matador Resources Co. | 622,221 | 12,588 |
| * | Forum Energy Technologies Inc. | 597,042 | 12,377 |
| * | Memorial Resource Development Corp. | 673,049 | 12,135 |
| * | SEACOR Holdings Inc. | 163,994 | 12,104 |
| * | Stone Energy Corp. | 518,213 | 8,747 |
| * | RSP Permian Inc. | 335,787 | 8,442 |
| * | Kosmos Energy Ltd. | 989,387 | 8,301 |
| *,^ | Laredo Petroleum Inc. | 768,855 | 7,958 |
| Green Plains Inc. | 315,345 | 7,814 | |
| * | Synergy Resources Corp. | 619,658 | 7,770 |
| * | Hornbeck Offshore Services Inc. | 298,580 | 7,456 |
| * | Newpark Resources Inc. | 773,878 | 7,383 |
| RPC Inc. | 565,597 | 7,375 | |
| * | Parsley Energy Inc. Class A | 456,390 | 7,284 |
| ^ | CARBO Ceramics Inc. | 181,211 | 7,257 |
| * | Bonanza Creek Energy Inc. | 296,628 | 7,119 |
| *,^ | SandRidge Energy Inc. | 3,645,666 | 6,635 |
| * | McDermott International Inc. | 2,193,349 | 6,383 |
| Gulfmark Offshore Inc. | 248,430 | 6,067 | |
| ^ | CVR Energy Inc. | 151,912 | 5,881 |
| * | C&J Energy Services Inc. | 428,651 | 5,662 |
| * | Matrix Service Co. | 252,250 | 5,630 |
| *,^ | Magnum Hunter Resources Corp. | 1,783,348 | 5,600 |
| * | Cloud Peak Energy Inc. | 578,692 | 5,312 |
| * | Bill Barrett Corp. | 462,737 | 5,271 |
| * | TETRA Technologies Inc. | 751,249 | 5,018 |
| Frank's International NV | 293,349 | 4,878 | |
| * | Westmoreland Coal Co. | 142,013 | 4,716 |
| * | Penn Virginia Corp. | 678,055 | 4,529 |
| *,^ | Sanchez Energy Corp. | 482,811 | 4,485 |
| * | Contango Oil & Gas Co. | 149,527 | 4,372 |
| * | RigNet Inc. | 105,702 | 4,337 |
| *,^ | Halcon Resources Corp. | 2,350,146 | 4,183 |
| * | Clayton Williams Energy Inc. | 64,615 | 4,122 |
| * | Parker Drilling Co. | 1,208,800 | 3,711 |
| Tesco Corp. | 284,586 | 3,648 | |
| ^ | Arch Coal Inc. | 2,043,945 | 3,638 |
| * | Era Group Inc. | 170,084 | 3,597 |
| ^ | EXCO Resources Inc. | 1,634,865 | 3,548 |
| *,^ | Alpha Natural Resources Inc. | 2,122,072 | 3,544 |
| * | EP Energy Corp. Class A | 335,611 | 3,504 |
10
| Vanguard® Extended Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | ION Geophysical Corp. | 1,239,062 | 3,407 |
| *,^ | Clean Energy Fuels Corp. | 677,853 | 3,386 |
| * | Geospace Technologies Corp. | 127,249 | 3,372 |
| * | Pioneer Energy Services Corp. | 596,849 | 3,307 |
| *,^ | Triangle Petroleum Corp. | 672,187 | 3,213 |
| * | Abraxas Petroleum Corp. | 1,084,392 | 3,188 |
| Gulf Island Fabrication Inc. | 161,634 | 3,134 | |
| * | REX American Resources Corp. | 49,705 | 3,080 |
| * | Willbros Group Inc. | 489,486 | 3,069 |
| Panhandle Oil and Gas Inc. Class A | 131,652 | 3,065 | |
| *,^ | Northern Oil and Gas Inc. | 539,390 | 3,048 |
| Alon USA Energy Inc. | 234,124 | 2,966 | |
| ^ | Comstock Resources Inc. | 421,370 | 2,870 |
| ^ | Energy XXI Ltd. | 873,433 | 2,847 |
| * | PHI Inc. | 75,566 | 2,664 |
| * | VAALCO Energy Inc. | 577,215 | 2,632 |
| W&T Offshore Inc. | 357,412 | 2,623 | |
| * | Callon Petroleum Co. | 474,973 | 2,589 |
| * | Basic Energy Services Inc. | 332,393 | 2,330 |
| * | Renewable Energy Group Inc. | 232,971 | 2,262 |
| * | Pacific Ethanol Inc. | 218,784 | 2,260 |
| * | Rex Energy Corp. | 437,281 | 2,230 |
| Paragon Offshore plc | 800,956 | 2,219 | |
| * | PetroQuest Energy Inc. | 586,761 | 2,194 |
| *,^ | Approach Resources Inc. | 341,580 | 2,183 |
| * | Natural Gas Services Group Inc. | 94,392 | 2,175 |
| * | Key Energy Services Inc. | 1,246,294 | 2,081 |
| * | Eclipse Resources Corp. | 287,550 | 2,021 |
| * | Par Petroleum Corp. | 119,300 | 1,939 |
| * | Seventy Seven Energy Inc. | 348,078 | 1,883 |
| * | Swift Energy Co. | 445,124 | 1,803 |
| *,^ | Hercules Offshore Inc. | 1,570,717 | 1,571 |
| * | Gastar Exploration Inc. | 624,417 | 1,505 |
| *,^ | Solazyme Inc. | 565,038 | 1,458 |
| *,^ | Goodrich Petroleum Corp. | 327,534 | 1,454 |
| Evolution Petroleum Corp. | 195,300 | 1,451 | |
| *,^ | Uranium Energy Corp. | 770,227 | 1,348 |
| * | Ring Energy Inc. | 122,362 | 1,285 |
| * | PHI Inc. NV | 31,690 | 1,185 |
| * | Apco Oil and Gas International Inc. | 83,060 | 1,165 |
| * | Warren Resources Inc. | 702,028 | 1,130 |
| * | Jones Energy Inc. | 98,436 | 1,123 |
| * | FMSA Holdings Inc. | 156,200 | 1,081 |
| * | Isramco Inc. | 7,245 | 1,000 |
| Dawson Geophysical Co. | 80,854 | 989 | |
| Adams Resources & Energy Inc. | 18,784 | 938 | |
| * | Resolute Energy Corp. | 696,622 | 920 |
| * | Vantage Drilling Co. | 1,876,556 | 917 |
| Hallador Energy Co. | 82,607 | 909 | |
| * | Nuverra Environmental Solutions Inc. | 154,020 | 855 |
| * | Mitcham Industries Inc. | 139,751 | 829 |
| * | Harvest Natural Resources Inc. | 451,404 | 817 |
| * | FX Energy Inc. | 509,657 | 790 |
| * | CHC Group Ltd. | 238,190 | 767 |
| *,^ | Glori Energy Inc. | 167,794 | 701 |
| *,^ | CAMAC Energy Inc. | 1,835,922 | 679 |
| *,^ | Royale Energy Inc. | 291,305 | 615 |
| *,^ | Emerald Oil Inc. | 509,624 | 612 |
| *,^ | Amyris Inc. | 287,906 | 593 |
| * | TransAtlantic Petroleum Ltd. | 108,809 | 586 |
| *,^ | Uranerz Energy Corp. | 520,358 | 583 |
| * | Midstates Petroleum Co. Inc. | 349,912 | 528 |
| *,^ | Miller Energy Resources Inc. | 411,806 | 515 |
| *,^ | Vertex Energy Inc. | 114,375 | 479 |
11
| Vanguard® Extended Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | US Energy Corp. Wyoming | 281,604 | 417 |
| * | BPZ Resources Inc. | 1,390,209 | 402 |
| * | TGC Industries Inc. | 174,011 | 376 |
| *,^ | Uranium Resources Inc. | 199,442 | 371 |
| *,^ | Hyperdynamics Corp. | 475,426 | 366 |
| * | Magellan Petroleum Corp. | 395,021 | 359 |
| ^ | ZaZa Energy Corp. | 138,805 | 350 |
| * | Synthesis Energy Systems Inc. | 359,874 | 341 |
| *,^ | Quicksilver Resources Inc. | 1,712,036 | 339 |
| * | Zion Oil & Gas Inc. | 234,790 | 322 |
| *,^ | Profire Energy Inc. | 127,063 | 290 |
| *,^ | Gevo Inc. | 737,177 | 236 |
| * | PrimeEnergy Corp. | 2,826 | 206 |
| * | Forbes Energy Services Ltd. | 143,916 | 174 |
| *,^ | Forest Oil Corp. | 692,468 | 156 |
| * | Tengasco Inc. | 558,194 | 144 |
| *,^ | GreenHunter Resources Inc. | 183,806 | 132 |
| * | Barnwell Industries Inc. | 46,909 | 126 |
| *,^ | Saratoga Resources Inc. | 501,406 | 109 |
| * | Yuma Energy Inc. | 57,243 | 105 |
| * | American Eagle Energy Corp. | 140,741 | 88 |
| * | Lilis Energy Inc. | 103,154 | 74 |
| * | Enservco Corp. | 40,793 | 66 |
| * | FieldPoint Petroleum Corp. | 35,776 | 64 |
| * | Escalera Resources Co. | 116,717 | 61 |
| * | Ceres Inc. | 216,292 | 52 |
| * | ENGlobal Corp. | 18,000 | 34 |
| * | Independence Contract Drilling Inc. | 5,900 | 31 |
| *,^ | Lucas Energy Inc. | 233,203 | 29 |
| * | Aemetis Inc. | 4,685 | 27 |
| * | Dakota Plains Holdings Inc. | 14,647 | 26 |
| * | Earthstone Energy Inc. | 900 | 21 |
| * | PEDEVCO Corp. | 40,105 | 18 |
| * | PostRock Energy Corp. | 45,606 | 17 |
| * | Superior Drilling Products Inc. | 4,028 | 17 |
| * | Aspen Aerogels Inc. | 1,026 | 8 |
| * | FieldPoint Petroleum Corp. Warrants Exp. 03/23/2017 | 33,558 | 7 |
| * | SAExploration Holdings Inc. | 678 | 3 |
| 1,724,063 | |||
| Financials (23.2%) | |||
| SL Green Realty Corp. | 886,724 | 105,538 | |
| Realty Income Corp. | 2,050,441 | 97,827 | |
| Annaly Capital Management Inc. | 8,700,639 | 94,054 | |
| TD Ameritrade Holding Corp. | 2,499,382 | 89,428 | |
| * | Markel Corp. | 128,172 | 87,521 |
| Federal Realty Investment Trust | 625,553 | 83,486 | |
| Digital Realty Trust Inc. | 1,247,909 | 82,736 | |
| CIT Group Inc. | 1,681,842 | 80,443 | |
| American Realty Capital Properties Inc. | 8,362,443 | 75,680 | |
| Voya Financial Inc. | 1,778,297 | 75,364 | |
| Willis Group Holdings plc | 1,626,095 | 72,865 | |
| UDR Inc. | 2,343,355 | 72,222 | |
| American Capital Agency Corp. | 3,249,529 | 70,937 | |
| Everest Re Group Ltd. | 415,474 | 70,755 | |
| * | Arch Capital Group Ltd. | 1,186,779 | 70,139 |
| Arthur J Gallagher & Co. | 1,481,745 | 69,761 | |
| * | Alleghany Corp. | 148,030 | 68,612 |
| Raymond James Financial Inc. | 1,158,055 | 66,345 | |
| New York Community Bancorp Inc. | 4,077,269 | 65,236 | |
| Duke Realty Corp. | 3,142,255 | 63,474 | |
| WP Carey Inc. | 888,244 | 62,266 | |
| Jones Lang LaSalle Inc. | 412,776 | 61,888 | |
| * | Realogy Holdings Corp. | 1,346,216 | 59,893 |
| Lazard Ltd. Class A | 1,195,179 | 59,795 | |
12
| Vanguard® Extended Market Index Fund | ||
| Schedule of Investments | ||
| December 31, 2014 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Extra Space Storage Inc. | 1,015,170 | 59,530 |
| Alexandria Real Estate Equities Inc. | 661,152 | 58,671 |
| Camden Property Trust | 793,759 | 58,611 |
| First Republic Bank | 1,120,501 | 58,401 |
| * Signature Bank | 463,492 | 58,381 |
| Reinsurance Group of America Inc. Class A | 631,491 | 55,331 |
| Regency Centers Corp. | 856,721 | 54,642 |
| * SVB Financial Group | 467,407 | 54,252 |
| Kilroy Realty Corp. | 771,432 | 53,283 |
| Mid-America Apartment Communities Inc. | 692,595 | 51,723 |
| PartnerRe Ltd. | 449,993 | 51,358 |
| Liberty Property Trust | 1,364,291 | 51,338 |
| East West Bancorp Inc. | 1,321,731 | 51,164 |
| Protective Life Corp. | 726,488 | 50,600 |
| DDR Corp. | 2,750,782 | 50,504 |
| CBOE Holdings Inc. | 775,493 | 49,182 |
| MSCI Inc. Class A | 1,029,858 | 48,856 |
| SEI Investments Co. | 1,205,277 | 48,259 |
| WR Berkley Corp. | 939,733 | 48,171 |
| Axis Capital Holdings Ltd. | 939,016 | 47,974 |
| National Retail Properties Inc. | 1,214,766 | 47,825 |
| Starwood Property Trust Inc. | 2,051,400 | 47,675 |
| HCC Insurance Holdings Inc. | 889,853 | 47,625 |
| Omega Healthcare Investors Inc. | 1,172,360 | 45,804 |
| Eaton Vance Corp. | 1,093,590 | 44,761 |
| Taubman Centers Inc. | 583,835 | 44,617 |
| Spirit Realty Capital Inc. | 3,673,612 | 43,679 |
| * Howard Hughes Corp. | 332,232 | 43,330 |
| Hospitality Properties Trust | 1,380,056 | 42,782 |
| LaSalle Hotel Properties | 1,029,102 | 41,648 |
| Senior Housing Properties Trust | 1,877,301 | 41,507 |
| American Financial Group Inc. | 678,574 | 41,203 |
| RLJ Lodging Trust | 1,216,521 | 40,790 |
| PacWest Bancorp | 891,675 | 40,536 |
| American Campus Communities Inc. | 967,421 | 40,013 |
| SLM Corp. | 3,898,198 | 39,723 |
| NorthStar Asset Management Group Inc. | 1,732,995 | 39,114 |
| BioMed Realty Trust Inc. | 1,814,057 | 39,075 |
| Corrections Corp. of America | 1,073,188 | 39,000 |
| Assured Guaranty Ltd. | 1,488,820 | 38,694 |
| Waddell & Reed Financial Inc. Class A | 768,224 | 38,273 |
| Equity LifeStyle Properties Inc. | 734,953 | 37,887 |
| Highwoods Properties Inc. | 837,560 | 37,087 |
| Retail Properties of America Inc. | 2,180,406 | 36,391 |
| NorthStar Realty Finance Corp. | 2,065,219 | 36,307 |
| Weingarten Realty Investors | 1,037,077 | 36,215 |
| Brown & Brown Inc. | 1,092,115 | 35,942 |
| City National Corp. | 440,987 | 35,636 |
| Cullen/Frost Bankers Inc. | 504,057 | 35,607 |
| Douglas Emmett Inc. | 1,250,310 | 35,509 |
| Investors Bancorp Inc. | 3,132,313 | 35,160 |
| Validus Holdings Ltd. | 838,542 | 34,850 |
| White Mountains Insurance Group Ltd. | 55,206 | 34,786 |
| Home Properties Inc. | 526,655 | 34,549 |
| RenaissanceRe Holdings Ltd. | 354,229 | 34,438 |
| * Synchrony Financial | 1,149,066 | 34,185 |
| Umpqua Holdings Corp. | 2,001,059 | 34,038 |
| Synovus Financial Corp. | 1,255,454 | 34,010 |
| Allied World Assurance Co. Holdings AG | 892,239 | 33,834 |
| Two Harbors Investment Corp. | 3,376,001 | 33,828 |
| First American Financial Corp. | 986,850 | 33,454 |
| * Outfront Media Inc. | 1,239,493 | 33,268 |
| Commerce Bancshares Inc. | 762,503 | 33,161 |
| CubeSmart | 1,494,274 | 32,979 |
13
| Vanguard® Extended Market Index Fund | ||
| Schedule of Investments | ||
| December 31, 2014 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Forest City Enterprises Inc. Class A | 1,546,988 | 32,951 |
| Old Republic International Corp. | 2,235,939 | 32,712 |
| Tanger Factory Outlet Centers Inc. | 883,495 | 32,654 |
| Rayonier Inc. | 1,166,400 | 32,589 |
| * Strategic Hotels & Resorts Inc. | 2,462,446 | 32,578 |
| * Popular Inc. | 953,777 | 32,476 |
| CNO Financial Group Inc. | 1,885,243 | 32,464 |
| Sunstone Hotel Investors Inc. | 1,893,227 | 31,257 |
| LPL Financial Holdings Inc. | 699,073 | 31,144 |
| Citizens Financial Group Inc. | 1,251,252 | 31,106 |
| Brixmor Property Group Inc. | 1,250,612 | 31,065 |
| * Stifel Financial Corp. | 606,484 | 30,943 |
| Prosperity Bancshares Inc. | 552,927 | 30,610 |
| CBL & Associates Properties Inc. | 1,569,948 | 30,488 |
| * Equity Commonwealth | 1,187,484 | 30,483 |
| EPR Properties | 525,092 | 30,261 |
| Chimera Investment Corp. | 9,471,157 | 30,118 |
| Pebblebrook Hotel Trust | 657,766 | 30,014 |
| First Horizon National Corp. | 2,185,358 | 29,677 |
| Healthcare Trust of America Inc. Class A | 1,100,670 | 29,652 |
| Post Properties Inc. | 501,325 | 29,463 |
| Radian Group Inc. | 1,760,052 | 29,428 |
| Columbia Property Trust Inc. | 1,151,834 | 29,199 |
| * MGIC Investment Corp. | 3,122,099 | 29,098 |
| Federated Investors Inc. Class B | 879,534 | 28,963 |
| Hanover Insurance Group Inc. | 406,007 | 28,956 |
| DCT Industrial Trust Inc. | 809,101 | 28,853 |
| FirstMerit Corp. | 1,524,500 | 28,798 |
| First Niagara Financial Group Inc. | 3,263,616 | 27,512 |
| Geo Group Inc. | 681,245 | 27,495 |
| BankUnited Inc. | 936,445 | 27,129 |
| MFA Financial Inc. | 3,391,525 | 27,098 |
| Webster Financial Corp. | 832,249 | 27,073 |
| Sovran Self Storage Inc. | 309,601 | 27,003 |
| StanCorp Financial Group Inc. | 386,514 | 27,002 |
| DiamondRock Hospitality Co. | 1,804,594 | 26,834 |
| Piedmont Office Realty Trust Inc. Class A | 1,422,063 | 26,792 |
| * PRA Group Inc. | 461,739 | 26,749 |
| Primerica Inc. | 488,510 | 26,507 |
| Brandywine Realty Trust | 1,644,267 | 26,275 |
| Associated Banc-Corp | 1,396,377 | 26,015 |
| Sun Communities Inc. | 414,681 | 25,072 |
| Aspen Insurance Holdings Ltd. | 572,150 | 25,043 |
| ^ Ryman Hospitality Properties Inc. | 470,169 | 24,797 |
| MarketAxess Holdings Inc. | 345,714 | 24,791 |
| Healthcare Realty Trust Inc. | 902,118 | 24,646 |
| Endurance Specialty Holdings Ltd. | 411,496 | 24,624 |
| Washington Prime Group Inc. | 1,429,940 | 24,624 |
| TCF Financial Corp. | 1,538,108 | 24,441 |
| Gaming and Leisure Properties Inc. | 828,452 | 24,307 |
| Bank of Hawaii Corp. | 407,906 | 24,193 |
| Corporate Office Properties Trust | 852,633 | 24,189 |
| Colony Financial Inc. | 1,009,633 | 24,049 |
| ProAssurance Corp. | 524,010 | 23,659 |
| Hancock Holding Co. | 754,603 | 23,166 |
| * Texas Capital Bancshares Inc. | 420,371 | 22,839 |
| Bank of the Ozarks Inc. | 595,050 | 22,564 |
| Susquehanna Bancshares Inc. | 1,666,585 | 22,382 |
| American Homes 4 Rent Class A | 1,301,707 | 22,168 |
| Janus Capital Group Inc. | 1,368,569 | 22,075 |
| Kite Realty Group Trust | 766,824 | 22,039 |
| Medical Properties Trust Inc. | 1,597,100 | 22,008 |
| United Bankshares Inc. | 586,462 | 21,963 |
| Cousins Properties Inc. | 1,896,060 | 21,653 |
14
| Vanguard® Extended Market Index Fund | ||
| Schedule of Investments | ||
| December 31, 2014 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| PrivateBancorp Inc. | 648,027 | 21,644 |
| Fulton Financial Corp. | 1,731,381 | 21,400 |
| FNB Corp. | 1,601,940 | 21,338 |
| National Health Investors Inc. | 302,561 | 21,167 |
| ^ Lexington Realty Trust | 1,919,519 | 21,076 |
| First Industrial Realty Trust Inc. | 1,018,282 | 20,936 |
| * Ally Financial Inc. | 885,380 | 20,913 |
| Erie Indemnity Co. Class A | 228,333 | 20,726 |
| Washington Federal Inc. | 917,602 | 20,325 |
| American Equity Investment Life Holding Co. | 693,778 | 20,251 |
| Symetra Financial Corp. | 875,977 | 20,191 |
| DuPont Fabros Technology Inc. | 605,128 | 20,114 |
| Wintrust Financial Corp. | 429,163 | 20,068 |
| Iberiabank Corp. | 307,327 | 19,930 |
| Acadia Realty Trust | 621,086 | 19,893 |
| UMB Financial Corp. | 348,080 | 19,802 |
| * Western Alliance Bancorp | 711,019 | 19,766 |
| Valley National Bancorp | 2,025,074 | 19,663 |
| MB Financial Inc. | 589,960 | 19,386 |
| Glacier Bancorp Inc. | 689,468 | 19,147 |
| Mercury General Corp. | 334,732 | 18,969 |
| Chesapeake Lodging Trust | 503,571 | 18,738 |
| EastGroup Properties Inc. | 293,428 | 18,580 |
| Glimcher Realty Trust | 1,339,692 | 18,407 |
| Santander Consumer USA Holdings Inc. | 932,317 | 18,283 |
| Kennedy-Wilson Holdings Inc. | 717,608 | 18,155 |
| Equity One Inc. | 707,240 | 17,936 |
| BancorpSouth Inc. | 788,050 | 17,739 |
| First Financial Bankshares Inc. | 590,864 | 17,655 |
| Chambers Street Properties | 2,185,586 | 17,616 |
| Invesco Mortgage Capital Inc. | 1,135,077 | 17,548 |
| Cathay General Bancorp | 682,876 | 17,475 |
| Financial Engines Inc. | 477,089 | 17,438 |
| Home BancShares Inc. | 538,647 | 17,323 |
| Evercore Partners Inc. Class A | 330,193 | 17,292 |
| Washington REIT | 615,015 | 17,011 |
| RLI Corp. | 341,198 | 16,855 |
| Platinum Underwriters Holdings Ltd. | 228,860 | 16,803 |
| Kemper Corp. | 461,271 | 16,657 |
| New Residential Investment Corp. | 1,301,428 | 16,619 |
| Alexander & Baldwin Inc. | 418,190 | 16,418 |
| Hatteras Financial Corp. | 889,812 | 16,399 |
| First Citizens BancShares Inc. Class A | 63,882 | 16,149 |
| * Education Realty Trust Inc. | 435,205 | 15,924 |
| New York REIT Inc. | 1,495,276 | 15,835 |
| WisdomTree Investments Inc. | 1,003,947 | 15,737 |
| Potlatch Corp. | 374,394 | 15,676 |
| * St. Joe Co. | 850,920 | 15,648 |
| Interactive Brokers Group Inc. | 535,390 | 15,612 |
| Capitol Federal Financial Inc. | 1,204,911 | 15,399 |
| Blackstone Mortgage Trust Inc. Class A | 528,387 | 15,397 |
| * Enstar Group Ltd. | 100,515 | 15,368 |
| ^ AmTrust Financial Services Inc. | 271,929 | 15,296 |
| Trustmark Corp. | 621,641 | 15,255 |
| Hudson Pacific Properties Inc. | 507,136 | 15,245 |
| Sabra Health Care REIT Inc. | 499,398 | 15,167 |
| EverBank Financial Corp. | 793,764 | 15,129 |
| Redwood Trust Inc. | 766,708 | 15,104 |
| * Ocwen Financial Corp. | 997,416 | 15,061 |
| South State Corp. | 222,311 | 14,913 |
| Pennsylvania REIT | 634,675 | 14,889 |
| Government Properties Income Trust | 644,299 | 14,825 |
| Old National Bancorp | 993,029 | 14,776 |
| Mack-Cali Realty Corp. | 772,513 | 14,724 |
15
| Vanguard® Extended Market Index Fund | ||
| Schedule of Investments | ||
| December 31, 2014 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * First Cash Financial Services Inc. | 262,518 | 14,614 |
| STAG Industrial Inc. | 590,960 | 14,479 |
| PennyMac Mortgage Investment Trust | 683,344 | 14,412 |
| Retail Opportunity Investments Corp. | 854,225 | 14,342 |
| Community Bank System Inc. | 375,120 | 14,303 |
| BGC Partners Inc. Class A | 1,560,780 | 14,281 |
| International Bancshares Corp. | 537,287 | 14,260 |
| CVB Financial Corp. | 887,710 | 14,221 |
| PS Business Parks Inc. | 178,546 | 14,202 |
| Parkway Properties Inc. | 772,089 | 14,199 |
| Selective Insurance Group Inc. | 519,635 | 14,118 |
| * Essent Group Ltd. | 544,980 | 14,011 |
| LTC Properties Inc. | 321,428 | 13,876 |
| Columbia Banking System Inc. | 490,534 | 13,544 |
| American Assets Trust Inc. | 339,518 | 13,516 |
| Alexander's Inc. | 30,804 | 13,467 |
| Argo Group International Holdings Ltd. | 241,530 | 13,398 |
| Ramco-Gershenson Properties Trust | 711,260 | 13,329 |
| CYS Investments Inc. | 1,495,358 | 13,040 |
| Hersha Hospitality Trust Class A | 1,844,197 | 12,965 |
| Artisan Partners Asset Management Inc. Class A | 254,773 | 12,874 |
| Home Loan Servicing Solutions Ltd. | 655,176 | 12,789 |
| Horace Mann Educators Corp. | 384,068 | 12,743 |
| * PHH Corp. | 529,641 | 12,690 |
| * Hilltop Holdings Inc. | 634,769 | 12,664 |
| * MBIA Inc. | 1,299,015 | 12,393 |
| Associated Estates Realty Corp. | 531,959 | 12,347 |
| Empire State Realty Trust Inc. | 695,882 | 12,234 |
| Montpelier Re Holdings Ltd. | 338,904 | 12,140 |
| ARMOUR Residential REIT Inc. | 3,295,102 | 12,126 |
| Pinnacle Financial Partners Inc. | 305,372 | 12,074 |
| National Penn Bancshares Inc. | 1,134,043 | 11,936 |
| First Midwest Bancorp Inc. | 694,097 | 11,876 |
| Westamerica Bancorporation | 240,896 | 11,809 |
| BOK Financial Corp. | 196,661 | 11,808 |
| Virtus Investment Partners Inc. | 65,626 | 11,189 |
| Sterling Bancorp | 768,944 | 11,057 |
| FelCor Lodging Trust Inc. | 1,019,713 | 11,033 |
| Northwest Bancshares Inc. | 876,467 | 10,982 |
| TFS Financial Corp. | 733,956 | 10,925 |
| HFF Inc. Class A | 302,469 | 10,865 |
| Capstead Mortgage Corp. | 883,402 | 10,848 |
| Astoria Financial Corp. | 806,983 | 10,781 |
| Greenhill & Co. Inc. | 245,487 | 10,703 |
| NBT Bancorp Inc. | 403,134 | 10,590 |
| BBCN Bancorp Inc. | 734,464 | 10,562 |
| * Credit Acceptance Corp. | 77,356 | 10,552 |
| First Financial Bancorp | 565,931 | 10,521 |
| Park National Corp. | 117,925 | 10,434 |
| Altisource Residential Corp. | 527,259 | 10,229 |
| Boston Private Financial Holdings Inc. | 757,973 | 10,210 |
| Franklin Street Properties Corp. | 822,055 | 10,087 |
| New Senior Investment Group Inc. | 608,569 | 10,011 |
| Gramercy Property Trust Inc. | 1,434,485 | 9,898 |
| Summit Hotel Properties Inc. | 792,150 | 9,854 |
| * iStar Financial Inc. | 715,337 | 9,764 |
| * Encore Capital Group Inc. | 219,914 | 9,764 |
| Union Bankshares Corp. | 400,762 | 9,650 |
| CNA Financial Corp. | 249,143 | 9,644 |
| Starwood Waypoint Residential Trust | 360,566 | 9,508 |
| Independent Bank Corp. | 220,699 | 9,448 |
| WesBanco Inc. | 270,230 | 9,404 |
| Infinity Property & Casualty Corp. | 120,867 | 9,338 |
| * BofI Holding Inc. | 119,536 | 9,301 |
16
| Vanguard® Extended Market Index Fund | ||
| Schedule of Investments | ||
| December 31, 2014 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| S&T Bancorp Inc. | 311,731 | 9,293 |
| Chemical Financial Corp. | 302,187 | 9,259 |
| American National Insurance Co. | 79,342 | 9,066 |
| Chatham Lodging Trust | 311,531 | 9,025 |
| * Eagle Bancorp Inc. | 253,834 | 9,016 |
| Provident Financial Services Inc. | 496,922 | 8,974 |
| American Capital Mortgage Investment Corp. | 472,785 | 8,907 |
| Inland Real Estate Corp. | 811,680 | 8,888 |
| CyrusOne Inc. | 321,096 | 8,846 |
| Nelnet Inc. Class A | 190,921 | 8,845 |
| * Greenlight Capital Re Ltd. Class A | 270,424 | 8,829 |
| Safety Insurance Group Inc. | 136,265 | 8,722 |
| * Piper Jaffray Cos. | 150,135 | 8,721 |
| CoreSite Realty Corp. | 221,293 | 8,642 |
| Investors Real Estate Trust | 1,057,081 | 8,636 |
| Renasant Corp. | 290,580 | 8,406 |
| Select Income REIT | 342,794 | 8,368 |
| * Investment Technology Group Inc. | 399,070 | 8,309 |
| Banner Corp. | 192,820 | 8,295 |
| * Capital Bank Financial Corp. | 308,455 | 8,267 |
| * KCG Holdings Inc. Class A | 708,236 | 8,251 |
| * World Acceptance Corp. | 103,018 | 8,185 |
| First Commonwealth Financial Corp. | 886,283 | 8,172 |
| AMERISAFE Inc. | 192,480 | 8,153 |
| National General Holdings Corp. | 436,737 | 8,128 |
| City Holding Co. | 174,600 | 8,124 |
| * Navigators Group Inc. | 110,367 | 8,094 |
| * Ambac Financial Group Inc. | 329,964 | 8,084 |
| Wilshire Bancorp Inc. | 791,356 | 8,016 |
| ViewPoint Financial Group Inc. | 335,026 | 7,990 |
| National Bank Holdings Corp. Class A | 411,376 | 7,985 |
| * Springleaf Holdings Inc. | 219,633 | 7,944 |
| Southside Bancshares Inc. | 273,868 | 7,918 |
| Hanmi Financial Corp. | 359,367 | 7,838 |
| First Potomac Realty Trust | 628,324 | 7,766 |
| Aviv REIT Inc. | 224,924 | 7,755 |
| OFG Bancorp | 465,175 | 7,745 |
| Cohen & Steers Inc. | 182,749 | 7,690 |
| Ameris Bancorp | 296,860 | 7,612 |
| Saul Centers Inc. | 132,797 | 7,595 |
| Excel Trust Inc. | 566,488 | 7,585 |
| Ashford Hospitality Trust Inc. | 715,179 | 7,495 |
| First Merchants Corp. | 328,798 | 7,480 |
| United Community Banks Inc. | 391,687 | 7,419 |
| Simmons First National Corp. Class A | 180,331 | 7,330 |
| Employers Holdings Inc. | 310,385 | 7,297 |
| Stewart Information Services Corp. | 194,377 | 7,200 |
| FBL Financial Group Inc. Class A | 124,063 | 7,199 |
| Brookline Bancorp Inc. | 715,807 | 7,180 |
| Maiden Holdings Ltd. | 560,840 | 7,173 |
| State Bank Financial Corp. | 355,995 | 7,113 |
| TrustCo Bank Corp. NY | 975,646 | 7,083 |
| Northfield Bancorp Inc. | 477,489 | 7,067 |
| Anworth Mortgage Asset Corp. | 1,334,116 | 7,004 |
| Universal Health Realty Income Trust | 144,224 | 6,940 |
| United Fire Group Inc. | 231,077 | 6,870 |
| Flushing Financial Corp. | 334,176 | 6,774 |
| Berkshire Hills Bancorp Inc. | 253,311 | 6,753 |
| Lakeland Financial Corp. | 154,053 | 6,697 |
| Community Trust Bancorp Inc. | 181,856 | 6,658 |
| United Financial Bancorp Inc. | 461,985 | 6,634 |
| Resource Capital Corp. | 1,295,859 | 6,531 |
| Apollo Commercial Real Estate Finance Inc. | 394,508 | 6,454 |
| Sandy Spring Bancorp Inc. | 246,277 | 6,423 |
17
| Vanguard® Extended Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Oritani Financial Corp. | 414,902 | 6,390 | |
| National Western Life Insurance Co. Class A | 23,260 | 6,263 | |
| * | Ezcorp Inc. Class A | 529,287 | 6,219 |
| Terreno Realty Corp. | 301,203 | 6,214 | |
| Central Pacific Financial Corp. | 286,100 | 6,151 | |
| * | Third Point Reinsurance Ltd. | 419,226 | 6,075 |
| Urstadt Biddle Properties Inc. Class A | 275,920 | 6,037 | |
| Cash America International Inc. | 266,659 | 6,032 | |
| ^ | New York Mortgage Trust Inc. | 777,609 | 5,995 |
| Getty Realty Corp. | 327,305 | 5,960 | |
| Tompkins Financial Corp. | 107,627 | 5,952 | |
| Talmer Bancorp Inc. Class A | 423,408 | 5,945 | |
| *,^ | Walter Investment Management Corp. | 358,274 | 5,915 |
| * | Customers Bancorp Inc. | 298,337 | 5,806 |
| *,^ | Nationstar Mortgage Holdings Inc. | 205,696 | 5,799 |
| Apollo Residential Mortgage Inc. | 365,342 | 5,761 | |
| * | Green Dot Corp. Class A | 280,262 | 5,743 |
| Rouse Properties Inc. | 308,783 | 5,719 | |
| FXCM Inc. Class A | 343,697 | 5,695 | |
| AG Mortgage Investment Trust Inc. | 304,322 | 5,651 | |
| Washington Trust Bancorp Inc. | 140,070 | 5,628 | |
| Physicians Realty Trust | 334,292 | 5,549 | |
| * | Forestar Group Inc. | 357,379 | 5,504 |
| Silver Bay Realty Trust Corp. | 329,236 | 5,452 | |
| * | Enova International Inc. | 244,002 | 5,431 |
| Universal Insurance Holdings Inc. | 265,427 | 5,428 | |
| Cardinal Financial Corp. | 273,117 | 5,416 | |
| Monmouth Real Estate Investment Corp. | 487,189 | 5,393 | |
| * | Phoenix Cos. Inc. | 77,857 | 5,362 |
| ^ | Western Asset Mortgage Capital Corp. | 362,384 | 5,327 |
| WSFS Financial Corp. | 69,242 | 5,324 | |
| * | First BanCorp | 906,470 | 5,321 |
| * | Ladenburg Thalmann Financial Services Inc. | 1,338,014 | 5,285 |
| BancFirst Corp. | 83,331 | 5,282 | |
| Trico Bancshares | 213,805 | 5,281 | |
| Great Southern Bancorp Inc. | 130,506 | 5,177 | |
| * | Safeguard Scientifics Inc. | 259,296 | 5,139 |
| *,^ | Altisource Portfolio Solutions SA | 149,019 | 5,035 |
| Dime Community Bancshares Inc. | 306,800 | 4,995 | |
| GAMCO Investors Inc. | 55,761 | 4,959 | |
| First Interstate BancSystem Inc. Class A | 177,714 | 4,944 | |
| * | Paramount Group Inc. | 263,500 | 4,898 |
| Agree Realty Corp. | 156,287 | 4,859 | |
| Campus Crest Communities Inc. | 657,634 | 4,807 | |
| RAIT Financial Trust | 611,270 | 4,688 | |
| Heritage Financial Corp. | 266,853 | 4,683 | |
| Stock Yards Bancorp Inc. | 139,276 | 4,643 | |
| * | Tree.com Inc. | 95,274 | 4,606 |
| * | Beneficial Mutual Bancorp Inc. | 375,083 | 4,602 |
| MainSource Financial Group Inc. | 219,050 | 4,583 | |
| * | Yadkin Financial Corp. | 232,991 | 4,578 |
| * | Metro Bancorp Inc. | 174,514 | 4,523 |
| * | eHealth Inc. | 181,285 | 4,518 |
| * | Tejon Ranch Co. | 152,612 | 4,496 |
| TPG Specialty Lending Inc. | 263,410 | 4,431 | |
| Southwest Bancorp Inc. | 255,089 | 4,428 | |
| First Financial Corp. | 123,872 | 4,412 | |
| Cedar Realty Trust Inc. | 599,499 | 4,400 | |
| * | PICO Holdings Inc. | 232,975 | 4,392 |
| Meadowbrook Insurance Group Inc. | 516,022 | 4,366 | |
| Rexford Industrial Realty Inc. | 277,281 | 4,356 | |
| German American Bancorp Inc. | 140,941 | 4,302 | |
| Preferred Bank | 153,745 | 4,288 | |
| * | Bancorp Inc. | 390,562 | 4,253 |
18
| Vanguard® Extended Market Index Fund | ||
| Schedule of Investments | ||
| December 31, 2014 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Towne Bank | 275,997 | 4,173 |
| * Cowen Group Inc. Class A | 863,393 | 4,144 |
| CoBiz Financial Inc. | 314,107 | 4,124 |
| Suffolk Bancorp | 181,538 | 4,123 |
| Arlington Asset Investment Corp. Class A | 152,239 | 4,051 |
| 1st Source Corp. | 116,495 | 3,997 |
| Univest Corp. of Pennsylvania | 197,403 | 3,995 |
| First Busey Corp. | 612,493 | 3,987 |
| Park Sterling Corp. | 540,237 | 3,971 |
| * American Residential Properties Inc. | 225,478 | 3,962 |
| Hudson Valley Holding Corp. | 145,824 | 3,961 |
| AmREIT Inc. | 148,993 | 3,954 |
| First Bancorp | 214,030 | 3,953 |
| Bank Mutual Corp. | 573,693 | 3,936 |
| QTS Realty Trust Inc. Class A | 115,556 | 3,910 |
| Arrow Financial Corp. | 141,128 | 3,880 |
| United Development Funding IV | 207,197 | 3,800 |
| * First NBC Bank Holding Co. | 105,054 | 3,698 |
| GFI Group Inc. | 673,383 | 3,670 |
| HCI Group Inc. | 84,236 | 3,642 |
| * Seacoast Banking Corp. of Florida | 264,462 | 3,636 |
| Bryn Mawr Bank Corp. | 113,634 | 3,557 |
| Financial Institutions Inc. | 140,692 | 3,538 |
| OneBeacon Insurance Group Ltd. Class A | 217,586 | 3,525 |
| State Auto Financial Corp. | 157,775 | 3,506 |
| National Interstate Corp. | 117,629 | 3,505 |
| Guaranty Bancorp | 242,174 | 3,497 |
| Republic Bancorp Inc. Class A | 140,524 | 3,474 |
| Mercantile Bank Corp. | 164,829 | 3,465 |
| * NewStar Financial Inc. | 270,391 | 3,461 |
| Westwood Holdings Group Inc. | 55,872 | 3,454 |
| * Kearny Financial Corp. | 251,084 | 3,452 |
| West Bancorporation Inc. | 202,542 | 3,447 |
| Centerstate Banks Inc. | 286,603 | 3,413 |
| ^ RCS Capital Corp. Class A | 278,214 | 3,405 |
| One Liberty Properties Inc. | 142,914 | 3,383 |
| * Walker & Dunlop Inc. | 192,348 | 3,374 |
| Intervest Bancshares Corp. Class A | 333,525 | 3,352 |
| * HomeTrust Bancshares Inc. | 200,027 | 3,332 |
| Federated National Holding Co. | 137,066 | 3,312 |
| RE/MAX Holdings Inc. | 96,568 | 3,307 |
| Heartland Financial USA Inc. | 121,977 | 3,306 |
| CareTrust REIT Inc. | 265,263 | 3,271 |
| Diamond Hill Investment Group Inc. | 23,395 | 3,229 |
| OceanFirst Financial Corp. | 186,459 | 3,196 |
| * Citizens Inc.Class A | 419,085 | 3,185 |
| First Connecticut Bancorp Inc. | 194,139 | 3,168 |
| Ashford Hospitality Prime Inc. | 181,833 | 3,120 |
| Fidelity Southern Corp. | 192,465 | 3,101 |
| * INTL. FCStone Inc. | 150,011 | 3,086 |
| Whitestone REIT | 202,338 | 3,057 |
| Newcastle Investment Corp. | 678,209 | 3,045 |
| Dynex Capital Inc. | 368,583 | 3,041 |
| Lakeland Bancorp Inc. | 259,460 | 3,036 |
| Federal Agricultural Mortgage Corp. | 99,819 | 3,029 |
| Heritage Commerce Corp. | 342,059 | 3,020 |
| Oppenheimer Holdings Inc. Class A | 128,672 | 2,992 |
| * Franklin Financial Corp. | 138,895 | 2,942 |
| * NewBridge Bancorp | 334,430 | 2,913 |
| ConnectOne Bancorp Inc. | 153,198 | 2,911 |
| * Global Indemnity plc | 102,206 | 2,900 |
| Moelis & Co. Class A | 82,612 | 2,886 |
| Consolidated-Tomoka Land Co. | 51,197 | 2,857 |
| Heritage Oaks Bancorp | 338,515 | 2,840 |
19
| Vanguard® Extended Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Camden National Corp. | 71,148 | 2,835 | |
| * | Sun Bancorp Inc. | 145,599 | 2,825 |
| BNC Bancorp | 163,347 | 2,811 | |
| * | Meridian Bancorp Inc. | 250,510 | 2,811 |
| First Financial Northwest Inc. | 232,516 | 2,800 | |
| Baldwin & Lyons Inc. | 108,283 | 2,792 | |
| Calamos Asset Management Inc. Class A | 207,089 | 2,758 | |
| Gladstone Commercial Corp. | 160,223 | 2,751 | |
| Ares Commercial Real Estate Corp. | 235,374 | 2,702 | |
| * | Flagstar Bancorp Inc. | 169,085 | 2,660 |
| Hannon Armstrong Sustainable Infrastructure Capital Inc. | 184,778 | 2,629 | |
| Waterstone Financial Inc. | 198,818 | 2,614 | |
| Peoples Bancorp Inc. | 100,402 | 2,603 | |
| Capital City Bank Group Inc. | 165,396 | 2,570 | |
| * | Pacific Premier Bancorp Inc. | 146,497 | 2,539 |
| United Community Financial Corp. | 472,235 | 2,536 | |
| * | CommunityOne Bancorp | 217,063 | 2,485 |
| CatchMark Timber Trust Inc. Class A | 217,123 | 2,458 | |
| United Insurance Holdings Corp. | 109,041 | 2,393 | |
| * | Bridge Capital Holdings | 106,745 | 2,389 |
| * | Orrstown Financial Services Inc. | 140,635 | 2,388 |
| Westfield Financial Inc. | 323,634 | 2,375 | |
| Macatawa Bank Corp. | 432,709 | 2,354 | |
| Crawford & Co. Class B | 227,406 | 2,338 | |
| First of Long Island Corp. | 82,398 | 2,338 | |
| Independent Bank Corp. | 176,103 | 2,298 | |
| * | Riverview Bancorp Inc. | 508,380 | 2,278 |
| Citizens & Northern Corp. | 110,158 | 2,277 | |
| BankFinancial Corp. | 191,753 | 2,274 | |
| * | BBX Capital Corp. | 137,883 | 2,268 |
| * | BSB Bancorp Inc. | 120,008 | 2,236 |
| EMC Insurance Group Inc. | 62,845 | 2,228 | |
| * | Ladder Capital Corp. | 112,536 | 2,207 |
| Territorial Bancorp Inc. | 101,443 | 2,186 | |
| * | Great Western Bancorp Inc. | 95,600 | 2,179 |
| First Community Bancshares Inc. | 131,470 | 2,165 | |
| * | Pacific Mercantile Bancorp | 303,605 | 2,137 |
| Enterprise Financial Services Corp. | 107,366 | 2,118 | |
| * | PennyMac Financial Services Inc. Class A | 122,256 | 2,115 |
| Northrim BanCorp Inc. | 79,750 | 2,093 | |
| * | Blue Hills Bancorp Inc. | 147,258 | 2,000 |
| * | MBT Financial Corp. | 400,225 | 1,997 |
| Pzena Investment Management Inc. Class A | 209,705 | 1,984 | |
| * | Hampton Roads Bankshares Inc. | 1,143,522 | 1,921 |
| Marlin Business Services Corp. | 93,198 | 1,913 | |
| Kansas City Life Insurance Co. | 39,513 | 1,898 | |
| *,^ | FBR & Co. | 76,910 | 1,891 |
| National Bankshares Inc. | 61,956 | 1,883 | |
| ESB Financial Corp. | 98,045 | 1,857 | |
| Arbor Realty Trust Inc. | 272,355 | 1,844 | |
| Unity Bancorp Inc. | 192,148 | 1,814 | |
| Simplicity Bancorp Inc. | 105,442 | 1,808 | |
| First Bancorp Inc. | 98,686 | 1,785 | |
| MutualFirst Financial Inc. | 81,209 | 1,784 | |
| CorEnergy Infrastructure Trust Inc. | 274,456 | 1,778 | |
| CNB Financial Corp. | 95,841 | 1,773 | |
| Penns Woods Bancorp Inc. | 35,642 | 1,756 | |
| MicroFinancial Inc. | 170,198 | 1,737 | |
| HomeStreet Inc. | 99,708 | 1,736 | |
| American National Bankshares Inc. | 69,627 | 1,727 | |
| Century Bancorp Inc. Class A | 42,974 | 1,722 | |
| * | SWS Group Inc. | 247,013 | 1,707 |
| ^ | JAVELIN Mortgage Investment Corp. | 164,346 | 1,704 |
| Peoples Federal Bancshares Inc. | 74,488 | 1,679 | |
20
| Vanguard® Extended Market Index Fund | ||
| Schedule of Investments | ||
| December 31, 2014 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Peoples Financial Services Corp. | 33,669 | 1,673 |
| Heritage Financial Group Inc. | 63,561 | 1,646 |
| First Defiance Financial Corp. | 47,322 | 1,612 |
| Meta Financial Group Inc. | 45,812 | 1,605 |
| Pulaski Financial Corp. | 125,963 | 1,553 |
| UMH Properties Inc. | 160,645 | 1,534 |
| Merchants Bancshares Inc. | 50,085 | 1,534 |
| First South Bancorp Inc. | 192,141 | 1,529 |
| Clifton Bancorp Inc. | 110,563 | 1,503 |
| Timberland Bancorp Inc. | 138,776 | 1,471 |
| * Cascade Bancorp | 281,091 | 1,459 |
| * Republic First Bancorp Inc. | 382,330 | 1,434 |
| * AV Homes Inc. | 97,804 | 1,425 |
| Donegal Group Inc. Class A | 89,147 | 1,425 |
| * Farmers Capital Bank Corp. | 61,084 | 1,423 |
| Cape Bancorp Inc. | 150,272 | 1,414 |
| * Security National Financial Corp. Class A | 243,823 | 1,404 |
| Banc of California Inc. | 120,543 | 1,383 |
| * Imperial Holdings Inc. | 210,713 | 1,374 |
| Donegal Group Inc. Class B | 63,194 | 1,362 |
| Gain Capital Holdings Inc. | 150,633 | 1,359 |
| * Asta Funding Inc. | 154,316 | 1,350 |
| ESSA Bancorp Inc. | 112,328 | 1,348 |
| Bank of Kentucky Financial Corp. | 27,867 | 1,345 |
| Provident Financial Holdings Inc. | 88,441 | 1,338 |
| Pacific Continental Corp. | 91,870 | 1,303 |
| Bridge Bancorp Inc. | 45,896 | 1,228 |
| Peoples Bancorp of North Carolina Inc. | 68,148 | 1,225 |
| * NMI Holdings Inc. Class A | 133,574 | 1,220 |
| Peapack Gladstone Financial Corp. | 65,450 | 1,215 |
| Bank of Marin Bancorp | 23,017 | 1,210 |
| * Nicholas Financial Inc. | 80,638 | 1,202 |
| Manning & Napier Inc. | 86,766 | 1,199 |
| Fox Chase Bancorp Inc. | 71,832 | 1,197 |
| AmeriServ Financial Inc. | 380,876 | 1,196 |
| * Southcoast Financial Corp. | 167,773 | 1,183 |
| * Regional Management Corp. | 74,054 | 1,171 |
| Bank of Commerce Holdings | 193,871 | 1,157 |
| Independent Bank Group Inc. | 29,596 | 1,156 |
| Old Line Bancshares Inc. | 72,341 | 1,144 |
| * First United Corp. | 132,833 | 1,141 |
| Stonegate Bank | 37,969 | 1,125 |
| Fidelity & Guaranty Life | 45,815 | 1,112 |
| * Consumer Portfolio Services Inc. | 145,525 | 1,071 |
| New Hampshire Thrift Bancshares Inc. | 67,166 | 1,049 |
| * Community Bankers Trust Corp. | 236,942 | 1,047 |
| * United Security Bancshares | 191,292 | 1,043 |
| Chicopee Bancorp Inc. | 61,671 | 1,033 |
| STORE Capital Corp. | 47,062 | 1,017 |
| Sierra Bancorp | 54,348 | 954 |
| Ames National Corp. | 36,205 | 939 |
| * Marcus & Millichap Inc. | 27,325 | 909 |
| * Hallmark Financial Services Inc. | 73,370 | 887 |
| Armada Hoffler Properties Inc. | 90,555 | 859 |
| Ohio Valley Banc Corp. | 34,561 | 842 |
| * Carolina Bank Holdings Inc. | 86,992 | 831 |
| Home Bancorp Inc. | 35,232 | 808 |
| Hawthorn Bancshares Inc. | 55,060 | 805 |
| * Ashford Inc. | 8,468 | 796 |
| * Summit Financial Group Inc. | 68,467 | 786 |
| Louisiana Bancorp Inc. | 34,271 | 777 |
| Independence Holding Co. | 55,494 | 774 |
| Charter Financial Corp. | 66,613 | 763 |
| Citizens Community Bancorp Inc. | 83,110 | 756 |
21
| Vanguard® Extended Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Urstadt Biddle Properties Inc. | 38,700 | 718 | |
| Ocean Shore Holding Co. | 49,411 | 712 | |
| * | TriState Capital Holdings Inc. | 67,520 | 691 |
| * | American River Bankshares | 73,281 | 690 |
| C&F Financial Corp. | 17,175 | 683 | |
| Middleburg Financial Corp. | 37,520 | 680 | |
| Oak Valley Bancorp | 66,347 | 677 | |
| BCB Bancorp Inc. | 57,260 | 672 | |
| Preferred Apartment Communities Inc. Class A | 73,077 | 665 | |
| US Global Investors Inc. Class A | 208,904 | 648 | |
| Investors Title Co. | 8,837 | 639 | |
| * | Maui Land & Pineapple Co. Inc. | 105,022 | 637 |
| * | Colony Bankcorp Inc. | 80,138 | 631 |
| * | JG Wentworth Co. Class A | 59,197 | 631 |
| * | Old Second Bancorp Inc. | 116,695 | 627 |
| * | Square 1 Financial Inc. Class A | 24,686 | 610 |
| * | ASB Bancorp Inc. | 29,456 | 606 |
| * | Shore Bancshares Inc. | 62,823 | 587 |
| Bar Harbor Bankshares | 18,271 | 585 | |
| * | HMN Financial Inc. | 46,647 | 578 |
| MidWestOne Financial Group Inc. | 18,499 | 533 | |
| Independence Realty Trust Inc. | 56,759 | 528 | |
| * | Atlantic Coast Financial Corp. | 132,263 | 526 |
| * | CU Bancorp | 23,958 | 520 |
| Sotherly Hotels Inc. | 68,821 | 516 | |
| Orchid Island Capital Inc. | 39,267 | 512 | |
| Prudential Bancorp Inc. | 40,539 | 499 | |
| Parke Bancorp Inc. | 43,170 | 496 | |
| Guaranty Federal Bancshares Inc. | 36,149 | 484 | |
| * | 1st Constitution Bancorp | 43,079 | 470 |
| Norwood Financial Corp. | 16,139 | 469 | |
| * | Eastern Virginia Bankshares Inc. | 71,522 | 463 |
| Hampden Bancorp Inc. | 21,407 | 458 | |
| *,^ | Doral Financial Corp. | 113,478 | 448 |
| * | Opus Bank | 15,797 | 448 |
| Bear State Financial Inc. | 40,348 | 444 | |
| Citizens Holding Co. | 22,634 | 440 | |
| Horizon Bancorp | 16,368 | 428 | |
| Southern National Bancorp of Virginia Inc. | 36,675 | 414 | |
| MidSouth Bancorp Inc. | 23,630 | 410 | |
| * | First Acceptance Corp. | 154,508 | 394 |
| * | Stratus Properties Inc. | 27,859 | 379 |
| Ellington Residential Mortgage REIT | 22,777 | 371 | |
| HF Financial Corp. | 26,106 | 364 | |
| Premier Financial Bancorp Inc. | 23,038 | 359 | |
| * | Stonegate Mortgage Corp. | 29,099 | 348 |
| Monarch Financial Holdings Inc. | 24,926 | 343 | |
| Central Valley Community Bancorp | 30,699 | 340 | |
| * | Atlas Financial Holdings Inc. | 20,353 | 332 |
| * | First Marblehead Corp. | 53,450 | 318 |
| * | FCB Financial Holdings Inc. Class A | 12,739 | 314 |
| NB&T Financial Group Inc. | 9,807 | 313 | |
| Cherry Hill Mortgage Investment Corp. | 16,808 | 311 | |
| Five Oaks Investment Corp. | 27,884 | 301 | |
| First Citizens Banc Corp. | 29,098 | 300 | |
| ZAIS Financial Corp. | 17,212 | 297 | |
| SB Financial Group Inc. | 31,319 | 293 | |
| Federal Agricultural Mortgage Corp. Class A | 12,788 | 291 | |
| * | BRT Realty Trust | 41,139 | 287 |
| ^ | CIM Commercial Trust Corp. | 18,634 | 280 |
| Valley Financial Corp. | 14,098 | 279 | |
| Codorus Valley Bancorp Inc. | 13,656 | 278 | |
| Farmland Partners Inc. | 25,374 | 264 | |
| * | Xenith Bankshares Inc. | 40,283 | 258 |
22
| Vanguard® Extended Market Index Fund | ||
| Schedule of Investments | ||
| December 31, 2014 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| QC Holdings Inc. | 158,879 | 257 |
| First Savings Financial Group Inc. | 9,746 | 256 |
| Cheviot Financial Corp. | 17,998 | 256 |
| First Bancshares Inc. | 16,469 | 239 |
| * Atlanticus Holdings Corp. | 91,683 | 237 |
| Two River Bancorp | 26,479 | 223 |
| Enterprise Bancorp Inc. | 8,680 | 219 |
| * Anchor Bancorp Inc. | 10,700 | 218 |
| Farmers National Banc Corp. | 25,317 | 211 |
| Resource America Inc. Class A | 23,363 | 211 |
| Union Bankshares Inc. | 8,739 | 211 |
| Georgetown Bancorp Inc. | 12,400 | 204 |
| * Health Insurance Innovations Inc. Class A | 28,010 | 201 |
| Old Point Financial Corp. | 12,862 | 193 |
| First Clover Leaf Financial Corp. | 21,799 | 191 |
| * First Security Group Inc. | 79,542 | 180 |
| * Southern First Bancshares Inc. | 10,419 | 170 |
| SI Financial Group Inc. | 15,247 | 170 |
| United Bancshares Inc. | 11,489 | 168 |
| CB Financial Services Inc. | 8,114 | 161 |
| * Select Bancorp Inc. | 21,884 | 161 |
| * Impac Mortgage Holdings Inc. | 24,416 | 151 |
| Trade Street Residential Inc. | 19,355 | 149 |
| * Central Federal Corp. | 119,516 | 146 |
| Wolverine Bancorp Inc. | 5,954 | 143 |
| Blue Capital Reinsurance Holdings Ltd. | 7,948 | 141 |
| Gladstone Land Corp. | 13,072 | 140 |
| * Royal Bancshares of Pennsylvania Inc. | 82,493 | 133 |
| IF Bancorp Inc. | 7,557 | 125 |
| Owens Realty Mortgage Inc. | 8,350 | 122 |
| * On Deck Capital Inc. | 5,390 | 121 |
| First Business Financial Services Inc. | 2,448 | 117 |
| Glen Burnie Bancorp | 9,147 | 115 |
| Bluerock Residential Growth REIT Inc. Class A | 9,094 | 113 |
| * InterGroup Corp. | 6,300 | 113 |
| Silvercrest Asset Management Group Inc. Class A | 7,083 | 111 |
| Access National Corp. | 6,234 | 106 |
| LaPorte Bancorp Inc. | 8,278 | 103 |
| Greene County Bancorp Inc. | 3,483 | 103 |
| FS Bancorp Inc. | 5,340 | 97 |
| * Hamilton Bancorp Inc. | 7,058 | 92 |
| * Magyar Bancorp Inc. | 10,365 | 87 |
| * Severn Bancorp Inc. | 19,055 | 87 |
| * Naugatuck Valley Financial Corp. | 10,037 | 86 |
| * First Financial Service Corp. | 22,276 | 85 |
| * Heritage Insurance Holdings Inc. | 4,384 | 85 |
| Sussex Bancorp | 8,387 | 85 |
| City Office REIT Inc. | 6,644 | 85 |
| United Community Bancorp | 7,174 | 84 |
| Manhattan Bridge Capital Inc. | 20,125 | 81 |
| United Bancorp Inc. | 9,360 | 77 |
| Peoples Financial Corp. | 6,186 | 77 |
| Southwest Georgia Financial Corp. | 5,535 | 75 |
| Bank of South Carolina Corp. | 4,282 | 64 |
| Kentucky First Federal Bancorp | 7,514 | 61 |
| Supertel Hospitality Inc. | 26,365 | 61 |
| First Internet Bancorp | 3,602 | 60 |
| Eagle Bancorp Montana Inc. | 5,462 | 59 |
| Northeast Community Bancorp Inc. | 8,054 | 58 |
| * 1st Century Bancshares Inc. | 8,013 | 51 |
| Oconee Federal Financial Corp. | 2,383 | 48 |
| * Tiptree Financial Inc. Class A | 5,472 | 44 |
| Madison County Financial Inc. | 2,107 | 42 |
| QCR Holdings Inc. | 2,200 | 40 |
23
| Vanguard® Extended Market Index Fund | ||
| Schedule of Investments | ||
| December 31, 2014 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Life Partners Holdings Inc. | 59,239 | 39 |
| * Malvern Bancorp Inc. | 3,103 | 38 |
| Fauquier Bankshares Inc. | 1,931 | 36 |
| Salisbury Bancorp Inc. | 1,341 | 36 |
| * First Capital Bancorp Inc. | 8,224 | 36 |
| * Jacksonville Bancorp Inc. | 2,692 | 33 |
| * 1347 Property Insurance Holdings Inc. | 4,128 | 32 |
| * Tejon Ranch Co. Warrants Exp. 08/31/2016 | 17,984 | 31 |
| Community West Bancshares | 4,500 | 30 |
| * Green Bancorp Inc. | 2,430 | 29 |
| Hingham Institution for Savings | 329 | 29 |
| Mackinac Financial Corp. | 2,200 | 27 |
| * Patriot National Bancorp Inc. | 14,790 | 24 |
| Chemung Financial Corp. | 800 | 22 |
| LNB Bancorp Inc. | 1,200 | 22 |
| Mid Penn Bancorp Inc. | 1,384 | 22 |
| LCNB Corp. | 1,404 | 21 |
| * State Investors Bancorp Inc. | 1,013 | 21 |
| ACNB Corp. | 948 | 21 |
| First West Virginia Bancorp | 916 | 19 |
| Griffin Land & Nurseries Inc. | 600 | 18 |
| * C1 Financial Inc. | 900 | 16 |
| River Valley Bancorp | 769 | 16 |
| * Porter Bancorp Inc. | 26,941 | 13 |
| * Polonia Bancorp Inc. | 1,200 | 12 |
| First Capital Inc. | 511 | 12 |
| * Colonial Financial Services Inc. | 800 | 11 |
| Elmira Savings Bank | 431 | 10 |
| * A-Mark Precious Metals Inc. | 875 | 9 |
| Ameriana Bancorp | 500 | 9 |
| Auburn National Bancorporation Inc. | 359 | 8 |
| Baylake Corp. | 655 | 8 |
| * Southern Missouri Bancorp Inc. | 200 | 8 |
| CKX Lands Inc. | 399 | 6 |
| * Entegra Financial Corp. | 400 | 6 |
| Summit State Bank | 400 | 6 |
| Northeast Bancorp | 500 | 5 |
| * Veritex Holdings Inc. | 300 | 4 |
| * Transcontinental Realty Investors Inc. | 400 | 4 |
| * Siebert Financial Corp. | 1,836 | 4 |
| * Village Bank and Trust Financial Corp. | 150 | 3 |
| Lake Shore Bancorp Inc. | 200 | 3 |
| Oneida Financial Corp. | 194 | 2 |
| * Broadway Financial Corp. | 1,800 | 2 |
| Stewardship Financial Corp. | 400 | 2 |
| * Bankwell Financial Group Inc. | 83 | 2 |
| WashingtonFirst Bankshares Inc. | 105 | 2 |
| Investar Holding Corp. | 100 | 1 |
| * Presidential Realty Corp. Class B | 46,000 | 1 |
| * American Spectrum Realty Inc. | 100 | — |
| 9,513,283 | ||
| Health Care (12.8%) | ||
| * Illumina Inc. | 1,304,484 | 240,782 |
| * HCA Holdings Inc. | 2,786,278 | 204,485 |
| * BioMarin Pharmaceutical Inc. | 1,354,894 | 122,482 |
| * Henry Schein Inc. | 774,111 | 105,395 |
| * Incyte Corp. | 1,422,995 | 104,035 |
| * Endo International plc | 1,413,475 | 101,940 |
| * Jazz Pharmaceuticals plc | 555,581 | 90,965 |
| * Alkermes plc | 1,357,004 | 79,466 |
| * Mettler-Toledo International Inc. | 262,382 | 79,360 |
| Cooper Cos. Inc. | 444,652 | 72,074 |
| ^ ResMed Inc. | 1,280,403 | 71,779 |
| * Medivation Inc. | 717,235 | 71,444 |
24
| Vanguard® Extended Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Cubist Pharmaceuticals Inc. | 700,892 | 70,545 |
| * | Pharmacyclics Inc. | 562,188 | 68,733 |
| * | Salix Pharmaceuticals Ltd. | 586,758 | 67,442 |
| * | Isis Pharmaceuticals Inc. | 1,085,325 | 67,008 |
| Omnicare Inc. | 901,291 | 65,731 | |
| * | IDEXX Laboratories Inc. | 439,179 | 65,117 |
| * | Brookdale Senior Living Inc. | 1,684,923 | 61,786 |
| * | MEDNAX Inc. | 923,416 | 61,047 |
| * | Alnylam Pharmaceuticals Inc. | 618,136 | 59,959 |
| * | Hologic Inc. | 2,225,793 | 59,518 |
| * | Community Health Systems Inc. | 1,068,279 | 57,602 |
| * | United Therapeutics Corp. | 436,544 | 56,528 |
| * | Centene Corp. | 539,682 | 56,046 |
| * | Covance Inc. | 520,773 | 54,077 |
| * | athenahealth Inc. | 349,680 | 50,948 |
| * | Sirona Dental Systems Inc. | 509,904 | 44,550 |
| Teleflex Inc. | 381,523 | 43,806 | |
| * | Envision Healthcare Holdings Inc. | 1,197,104 | 41,528 |
| * | Quintiles Transnational Holdings Inc. | 657,760 | 38,722 |
| * | Health Net Inc. | 716,267 | 38,342 |
| * | VCA Inc. | 773,382 | 37,718 |
| * | Team Health Holdings Inc. | 653,281 | 37,583 |
| * | Align Technology Inc. | 669,897 | 37,454 |
| * | DexCom Inc. | 661,312 | 36,405 |
| STERIS Corp. | 546,744 | 35,456 | |
| * | Puma Biotechnology Inc. | 187,268 | 35,444 |
| * | Cepheid | 651,750 | 35,286 |
| * | Receptos Inc. | 285,541 | 34,982 |
| West Pharmaceutical Services Inc. | 653,051 | 34,768 | |
| * | WellCare Health Plans Inc. | 404,580 | 33,200 |
| * | NPS Pharmaceuticals Inc. | 908,786 | 32,507 |
| Bio-Techne Corp. | 341,025 | 31,511 | |
| HealthSouth Corp. | 808,857 | 31,109 | |
| * | Avanir Pharmaceuticals Inc. | 1,770,941 | 30,017 |
| * | LifePoint Hospitals Inc. | 416,115 | 29,923 |
| * | Seattle Genetics Inc. | 922,109 | 29,627 |
| * | Pacira Pharmaceuticals Inc. | 330,701 | 29,320 |
| * | PAREXEL International Corp. | 505,466 | 28,084 |
| * | Alere Inc. | 721,694 | 27,424 |
| * | Charles River Laboratories International Inc. | 430,401 | 27,391 |
| * | Acadia Healthcare Co. Inc. | 418,894 | 25,641 |
| * | Akorn Inc. | 683,660 | 24,748 |
| * | Amsurg Corp. | 443,165 | 24,254 |
| Hill-Rom Holdings Inc. | 528,917 | 24,129 | |
| * | Medidata Solutions Inc. | 497,756 | 23,768 |
| * | Insulet Corp. | 514,981 | 23,720 |
| * | ACADIA Pharmaceuticals Inc. | 724,581 | 23,005 |
| *,^ | Myriad Genetics Inc. | 670,979 | 22,854 |
| * | Bio-Rad Laboratories Inc. Class A | 188,912 | 22,775 |
| *,^ | Exact Sciences Corp. | 773,873 | 21,235 |
| *,^ | OPKO Health Inc. | 2,111,112 | 21,090 |
| * | NuVasive Inc. | 433,263 | 20,433 |
| Owens & Minor Inc. | 581,643 | 20,421 | |
| * | MWI Veterinary Supply Inc. | 118,501 | 20,135 |
| * | Bruker Corp. | 1,022,759 | 20,067 |
| * | Allscripts Healthcare Solutions Inc. | 1,560,486 | 19,927 |
| * | Halyard Health Inc. | 429,792 | 19,543 |
| * | Impax Laboratories Inc. | 608,729 | 19,285 |
| * | Nektar Therapeutics | 1,180,166 | 18,293 |
| * | Synageva BioPharma Corp. | 196,320 | 18,217 |
| * | Dyax Corp. | 1,288,219 | 18,112 |
| * | Haemonetics Corp. | 473,955 | 17,735 |
| * | Intercept Pharmaceuticals Inc. | 112,087 | 17,486 |
| * | Bluebird Bio Inc. | 188,420 | 17,282 |
25
| Vanguard® Extended Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | HMS Holdings Corp. | 809,042 | 17,103 |
| * | Ironwood Pharmaceuticals Inc. Class A | 1,114,556 | 17,075 |
| * | Thoratec Corp. | 518,939 | 16,845 |
| Chemed Corp. | 159,350 | 16,839 | |
| * | Neogen Corp. | 338,878 | 16,805 |
| * | Prestige Brands Holdings Inc. | 479,577 | 16,651 |
| * | Medicines Co. | 599,805 | 16,597 |
| * | Acorda Therapeutics Inc. | 385,222 | 15,744 |
| * | Magellan Health Inc. | 261,542 | 15,700 |
| * | IMS Health Holdings Inc. | 612,095 | 15,694 |
| * | Molina Healthcare Inc. | 289,136 | 15,477 |
| * | Clovis Oncology Inc. | 272,333 | 15,251 |
| * | Celldex Therapeutics Inc. | 835,113 | 15,241 |
| * | Auxilium Pharmaceuticals Inc. | 440,715 | 15,154 |
| * | Neurocrine Biosciences Inc. | 652,205 | 14,570 |
| * | Globus Medical Inc. | 609,057 | 14,477 |
| * | Air Methods Corp. | 328,390 | 14,459 |
| Cantel Medical Corp. | 323,650 | 14,001 | |
| * | Cyberonics Inc. | 245,701 | 13,681 |
| * | Spectranetics Corp. | 385,928 | 13,345 |
| * | Anacor Pharmaceuticals Inc. | 408,640 | 13,179 |
| * | Novavax Inc. | 2,197,410 | 13,031 |
| * | Chimerix Inc. | 323,107 | 13,008 |
| * | ExamWorks Group Inc. | 312,024 | 12,977 |
| * | ABIOMED Inc. | 338,178 | 12,871 |
| Select Medical Holdings Corp. | 887,456 | 12,779 | |
| *,^ | MannKind Corp. | 2,425,035 | 12,647 |
| * | Wright Medical Group Inc. | 469,292 | 12,610 |
| * | Integra LifeSciences Holdings Corp. | 231,613 | 12,560 |
| *,^ | Keryx Biopharmaceuticals Inc. | 876,402 | 12,401 |
| *,^ | ARIAD Pharmaceuticals Inc. | 1,764,031 | 12,119 |
| * | Portola Pharmaceuticals Inc. | 419,613 | 11,883 |
| Kindred Healthcare Inc. | 641,794 | 11,668 | |
| * | Masimo Corp. | 437,060 | 11,512 |
| * | Catalent Inc. | 408,562 | 11,391 |
| CONMED Corp. | 252,728 | 11,363 | |
| * | Greatbatch Inc. | 230,095 | 11,344 |
| Abaxis Inc. | 195,516 | 11,111 | |
| * | MedAssets Inc. | 554,556 | 10,958 |
| *,^ | PTC Therapeutics Inc. | 211,516 | 10,950 |
| * | Omnicell Inc. | 330,566 | 10,948 |
| * | Agios Pharmaceuticals Inc. | 97,372 | 10,910 |
| * | HeartWare International Inc. | 148,253 | 10,886 |
| * | Natus Medical Inc. | 298,112 | 10,744 |
| * | Achillion Pharmaceuticals Inc. | 862,949 | 10,571 |
| ^ | Theravance Inc. | 741,170 | 10,488 |
| * | Lannett Co. Inc. | 243,854 | 10,456 |
| * | MiMedx Group Inc. | 884,889 | 10,203 |
| * | ICU Medical Inc. | 124,083 | 10,162 |
| *,^ | Merrimack Pharmaceuticals Inc. | 881,362 | 9,959 |
| * | Sangamo BioSciences Inc. | 648,888 | 9,870 |
| Analogic Corp. | 114,169 | 9,660 | |
| * | Ultragenyx Pharmaceutical Inc. | 217,257 | 9,533 |
| * | NxStage Medical Inc. | 531,132 | 9,523 |
| * | Halozyme Therapeutics Inc. | 983,879 | 9,494 |
| * | Endologix Inc. | 615,452 | 9,410 |
| * | Ligand Pharmaceuticals Inc. | 174,604 | 9,291 |
| * | Veeva Systems Inc. Class A | 345,068 | 9,113 |
| * | AMN Healthcare Services Inc. | 464,272 | 9,100 |
| * | Tetraphase Pharmaceuticals Inc. | 228,295 | 9,066 |
| *,^ | Intrexon Corp. | 329,095 | 9,060 |
| * | Fluidigm Corp. | 267,695 | 9,029 |
| * | Amedisys Inc. | 305,743 | 8,974 |
| * | Premier Inc. Class A | 267,124 | 8,957 |
26
| Vanguard® Extended Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Volcano Corp. | 496,759 | 8,882 |
| * | Depomed Inc. | 541,275 | 8,720 |
| * | AMAG Pharmaceuticals Inc. | 201,911 | 8,605 |
| * | Affymetrix Inc. | 851,015 | 8,400 |
| Ensign Group Inc. | 188,188 | 8,354 | |
| * | Tornier NV | 326,631 | 8,329 |
| * | Quidel Corp. | 286,789 | 8,294 |
| * | Cardiovascular Systems Inc. | 273,046 | 8,213 |
| * | Horizon Pharma plc | 631,755 | 8,143 |
| * | BioCryst Pharmaceuticals Inc. | 652,449 | 7,934 |
| * | Bio-Reference Laboratories Inc. | 243,036 | 7,809 |
| * | IPC The Hospitalist Co. Inc. | 167,380 | 7,681 |
| * | Emergent Biosolutions Inc. | 280,889 | 7,649 |
| * | Infinity Pharmaceuticals Inc. | 444,542 | 7,508 |
| *,^ | Arena Pharmaceuticals Inc. | 2,154,101 | 7,475 |
| *,^ | NewLink Genetics Corp. | 187,591 | 7,457 |
| *,^ | Omeros Corp. | 298,672 | 7,401 |
| * | Hanger Inc. | 334,083 | 7,316 |
| * | Luminex Corp. | 389,177 | 7,301 |
| * | Merit Medical Systems Inc. | 419,544 | 7,271 |
| * | TESARO Inc. | 187,851 | 6,986 |
| Computer Programs & Systems Inc. | 114,157 | 6,935 | |
| * | Capital Senior Living Corp. | 275,780 | 6,870 |
| * | Zeltiq Aesthetics Inc. | 245,478 | 6,851 |
| Quality Systems Inc. | 432,162 | 6,737 | |
| * | Healthways Inc. | 335,094 | 6,662 |
| National Healthcare Corp. | 104,898 | 6,592 | |
| Meridian Bioscience Inc. | 400,353 | 6,590 | |
| * | Raptor Pharmaceutical Corp. | 621,756 | 6,541 |
| * | Cambrex Corp. | 301,280 | 6,514 |
| * | OraSure Technologies Inc. | 631,068 | 6,399 |
| US Physical Therapy Inc. | 150,550 | 6,317 | |
| *,^ | Orexigen Therapeutics Inc. | 1,039,011 | 6,296 |
| * | Genomic Health Inc. | 192,502 | 6,154 |
| * | Repligen Corp. | 309,021 | 6,119 |
| * | HealthStream Inc. | 205,472 | 6,057 |
| * | AngioDynamics Inc. | 317,971 | 6,045 |
| * | Insmed Inc. | 387,958 | 6,002 |
| * | Orthofix International NV | 197,427 | 5,935 |
| * | PharMerica Corp. | 285,996 | 5,923 |
| * | Auspex Pharmaceuticals Inc. | 110,604 | 5,805 |
| * | Aegerion Pharmaceuticals Inc. | 277,104 | 5,803 |
| * | TG Therapeutics Inc. | 364,570 | 5,775 |
| * | Array BioPharma Inc. | 1,203,536 | 5,693 |
| * | Amicus Therapeutics Inc. | 680,614 | 5,663 |
| * | Prothena Corp. plc | 270,203 | 5,609 |
| * | Momenta Pharmaceuticals Inc. | 464,686 | 5,595 |
| * | Gentiva Health Services Inc. | 291,875 | 5,560 |
| * | Dynavax Technologies Corp. | 326,335 | 5,502 |
| *,^ | Vanda Pharmaceuticals Inc. | 380,449 | 5,448 |
| *,^ | ZIOPHARM Oncology Inc. | 1,052,299 | 5,335 |
| Invacare Corp. | 317,078 | 5,314 | |
| *,^ | Accuray Inc. | 699,736 | 5,283 |
| *,^ | Sarepta Therapeutics Inc. | 363,882 | 5,265 |
| * | LHC Group Inc. | 166,992 | 5,207 |
| *,^ | Kite Pharma Inc. | 89,240 | 5,146 |
| *,^ | BioDelivery Sciences International Inc. | 428,133 | 5,146 |
| * | Sagent Pharmaceuticals Inc. | 204,926 | 5,146 |
| * | Progenics Pharmaceuticals Inc. | 676,132 | 5,112 |
| * | ImmunoGen Inc. | 831,987 | 5,075 |
| *,^ | Inovio Pharmaceuticals Inc. | 549,920 | 5,048 |
| * | Geron Corp. | 1,542,624 | 5,014 |
| *,^ | KYTHERA Biopharmaceuticals Inc. | 143,171 | 4,965 |
| * | Enanta Pharmaceuticals Inc. | 96,089 | 4,886 |
27
| Vanguard® Extended Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Cempra Inc. | 206,466 | 4,854 |
| *,^ | Immunomedics Inc. | 1,009,124 | 4,844 |
| * | Anika Therapeutics Inc. | 117,017 | 4,767 |
| *,^ | Karyopharm Therapeutics Inc. | 126,789 | 4,746 |
| * | Cynosure Inc. Class A | 173,064 | 4,745 |
| * | CorVel Corp. | 126,645 | 4,714 |
| * | VWR Corp. | 178,750 | 4,624 |
| * | XenoPort Inc. | 526,662 | 4,619 |
| * | OvaScience Inc. | 104,357 | 4,615 |
| * | TherapeuticsMD Inc. | 1,033,368 | 4,598 |
| * | Ophthotech Corp. | 102,117 | 4,582 |
| * | GenMark Diagnostics Inc. | 335,571 | 4,567 |
| *,^ | Organovo Holdings Inc. | 629,037 | 4,561 |
| * | Triple-S Management Corp. Class B | 190,618 | 4,558 |
| * | Cerus Corp. | 726,265 | 4,532 |
| *,^ | Accelerate Diagnostics Inc. | 233,246 | 4,476 |
| * | BioScrip Inc. | 628,181 | 4,391 |
| * | Providence Service Corp. | 119,198 | 4,344 |
| Atrion Corp. | 12,581 | 4,278 | |
| * | AtriCure Inc. | 212,659 | 4,245 |
| *,^ | Sequenom Inc. | 1,133,543 | 4,194 |
| * | Aratana Therapeutics Inc. | 234,424 | 4,177 |
| * | Albany Molecular Research Inc. | 252,356 | 4,108 |
| CryoLife Inc. | 362,005 | 4,102 | |
| * | Insys Therapeutics Inc. | 94,752 | 3,995 |
| * | Spectrum Pharmaceuticals Inc. | 573,438 | 3,974 |
| * | Universal American Corp. | 425,475 | 3,948 |
| * | SciClone Pharmaceuticals Inc. | 450,599 | 3,947 |
| * | Osiris Therapeutics Inc. | 246,029 | 3,934 |
| * | ANI Pharmaceuticals Inc. | 68,014 | 3,835 |
| * | Pacific Biosciences of California Inc. | 485,166 | 3,804 |
| * | Vascular Solutions Inc. | 138,827 | 3,771 |
| *,^ | Arrowhead Research Corp. | 494,990 | 3,653 |
| * | CTI BioPharma Corp. | 1,532,460 | 3,617 |
| * | Acceleron Pharma Inc. | 92,147 | 3,590 |
| *,^ | Rockwell Medical Inc. | 345,038 | 3,547 |
| * | Sucampo Pharmaceuticals Inc. Class A | 247,118 | 3,529 |
| * | Idera Pharmaceuticals Inc. | 777,281 | 3,428 |
| * | Antares Pharma Inc. | 1,310,812 | 3,369 |
| * | Esperion Therapeutics Inc. | 83,165 | 3,363 |
| *,^ | Foundation Medicine Inc. | 150,323 | 3,340 |
| Landauer Inc. | 97,003 | 3,312 | |
| * | LDR Holding Corp. | 100,966 | 3,310 |
| * | RadNet Inc. | 373,069 | 3,186 |
| * | Theravance Biopharma Inc. | 211,641 | 3,158 |
| * | Otonomy Inc. | 94,338 | 3,144 |
| * | SurModics Inc. | 141,449 | 3,126 |
| * | Cross Country Healthcare Inc. | 246,074 | 3,071 |
| * | Relypsa Inc. | 99,574 | 3,067 |
| *,^ | Regulus Therapeutics Inc. | 190,220 | 3,051 |
| * | XOMA Corp. | 840,055 | 3,016 |
| * | STAAR Surgical Co. | 327,901 | 2,987 |
| *,^ | Neuralstem Inc. | 1,097,463 | 2,985 |
| *,^ | Navidea Biopharmaceuticals Inc. | 1,577,383 | 2,981 |
| *,^ | Unilife Corp. | 885,894 | 2,968 |
| * | MacroGenics Inc. | 83,977 | 2,945 |
| * | Cytokinetics Inc. | 363,983 | 2,916 |
| *,^ | VIVUS Inc. | 990,287 | 2,852 |
| *,^ | Lexicon Pharmaceuticals Inc. | 3,053,763 | 2,779 |
| * | Aerie Pharmaceuticals Inc. | 94,340 | 2,754 |
| *,^ | Synergy Pharmaceuticals Inc. | 876,296 | 2,673 |
| * | Epizyme Inc. | 138,982 | 2,623 |
| * | RTI Surgical Inc. | 501,565 | 2,608 |
| *,^ | Exelixis Inc. | 1,769,867 | 2,549 |
28
| Vanguard® Extended Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Rigel Pharmaceuticals Inc. | 1,103,826 | 2,506 |
| * | Avalanche Biotechnologies Inc. | 45,841 | 2,475 |
| * | Harvard Bioscience Inc. | 434,363 | 2,463 |
| * | Surgical Care Affiliates Inc. | 72,953 | 2,455 |
| * | Almost Family Inc. | 82,058 | 2,376 |
| * | BioTelemetry Inc. | 234,786 | 2,355 |
| * | Five Prime Therapeutics Inc. | 87,139 | 2,353 |
| *,^ | Peregrine Pharmaceuticals Inc. | 1,677,420 | 2,332 |
| * | Corcept Therapeutics Inc. | 773,986 | 2,322 |
| * | Radius Health Inc. | 58,754 | 2,286 |
| * | Intra-Cellular Therapies Inc. | 128,724 | 2,272 |
| * | Alliance HealthCare Services Inc. | 104,961 | 2,203 |
| * | Xencor Inc. | 136,530 | 2,190 |
| *,^ | Endocyte Inc. | 344,724 | 2,168 |
| Phibro Animal Health Corp. Class A | 68,380 | 2,157 | |
| * | POZEN Inc. | 265,280 | 2,122 |
| * | Repros Therapeutics Inc. | 210,186 | 2,096 |
| * | Merge Healthcare Inc. | 582,749 | 2,075 |
| * | Synta Pharmaceuticals Corp. | 762,956 | 2,022 |
| * | Vocera Communications Inc. | 192,132 | 2,002 |
| * | Supernus Pharmaceuticals Inc. | 241,095 | 2,001 |
| * | Agenus Inc. | 499,454 | 1,983 |
| *,^ | Catalyst Pharmaceutical Partners Inc. | 666,560 | 1,980 |
| *,^ | Northwest Biotherapeutics Inc. | 362,584 | 1,940 |
| *,^ | Ohr Pharmaceutical Inc. | 229,471 | 1,914 |
| Simulations Plus Inc. | 275,993 | 1,844 | |
| *,^ | Galena Biopharma Inc. | 1,174,462 | 1,773 |
| * | Hyperion Therapeutics Inc. | 73,409 | 1,762 |
| Psychemedics Corp. | 116,094 | 1,750 | |
| * | Threshold Pharmaceuticals Inc. | 547,950 | 1,742 |
| * | Cutera Inc. | 161,576 | 1,726 |
| *,^ | AcelRx Pharmaceuticals Inc. | 254,354 | 1,712 |
| * | Zogenix Inc. | 1,223,328 | 1,676 |
| * | Revance Therapeutics Inc. | 97,703 | 1,655 |
| * | Celladon Corp. | 84,449 | 1,649 |
| * | Heron Therapeutics Inc. | 160,614 | 1,616 |
| * | Pernix Therapeutics Holdings Inc. | 169,908 | 1,595 |
| *,^ | CytRx Corp. | 581,115 | 1,592 |
| * | Stemline Therapeutics Inc. | 92,931 | 1,585 |
| * | Verastem Inc. | 173,022 | 1,581 |
| Digirad Corp. | 362,665 | 1,581 | |
| * | Heska Corp. | 86,472 | 1,568 |
| * | Curis Inc. | 1,043,091 | 1,565 |
| * | La Jolla Pharmaceutical Co. | 84,417 | 1,557 |
| * | ZS Pharma Inc. | 36,700 | 1,526 |
| * | BioSpecifics Technologies Corp. | 39,297 | 1,518 |
| * | Five Star Quality Care Inc. | 365,225 | 1,516 |
| * | Enzo Biochem Inc. | 339,060 | 1,505 |
| * | Oncothyreon Inc. | 764,723 | 1,453 |
| * | Retrophin Inc. | 118,324 | 1,448 |
| * | BioTime Inc. | 373,356 | 1,393 |
| *,^ | OncoMed Pharmaceuticals Inc. | 62,909 | 1,369 |
| *,^ | Ampio Pharmaceuticals Inc. | 396,451 | 1,360 |
| *,^ | IsoRay Inc. | 915,779 | 1,337 |
| * | NeoGenomics Inc. | 315,527 | 1,316 |
| * | Sorrento Therapeutics Inc. | 125,364 | 1,262 |
| Utah Medical Products Inc. | 20,974 | 1,259 | |
| *,^ | Athersys Inc. | 789,744 | 1,248 |
| * | Biolase Inc. | 471,611 | 1,240 |
| * | Sunesis Pharmaceuticals Inc. | 480,107 | 1,224 |
| * | ArQule Inc. | 993,818 | 1,212 |
| *,^ | ChemoCentryx Inc. | 175,037 | 1,196 |
| * | Exactech Inc. | 50,294 | 1,185 |
| * | Derma Sciences Inc. | 126,357 | 1,176 |
29
| Vanguard® Extended Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Mirati Therapeutics Inc. | 63,286 | 1,172 |
| * | Dicerna Pharmaceuticals Inc. | 70,199 | 1,156 |
| *,^ | Castlight Health Inc. Class B | 97,971 | 1,146 |
| * | Advaxis Inc. | 142,499 | 1,141 |
| * | Alimera Sciences Inc. | 202,512 | 1,122 |
| *,^ | Rexahn Pharmaceuticals Inc. | 1,527,359 | 1,069 |
| * | Iridex Corp. | 124,615 | 1,063 |
| *,^ | PharmAthene Inc. | 587,057 | 1,063 |
| * | Targacept Inc. | 402,600 | 1,059 |
| * | Icad Inc. | 114,577 | 1,051 |
| * | Inogen Inc. | 33,425 | 1,049 |
| * | Tandem Diabetes Care Inc. | 82,437 | 1,047 |
| * | Calithera Biosciences Inc. | 51,470 | 1,040 |
| * | Alphatec Holdings Inc. | 734,919 | 1,036 |
| LeMaitre Vascular Inc. | 134,880 | 1,032 | |
| * | Synergetics USA Inc. | 235,690 | 1,025 |
| National Research Corp. Class A | 73,248 | 1,025 | |
| * | Alder Biopharmaceuticals Inc. | 34,968 | 1,017 |
| * | Durect Corp. | 1,268,069 | 1,001 |
| * | Skilled Healthcare Group Inc. | 113,225 | 970 |
| *,^ | NanoViricides Inc. | 356,657 | 970 |
| * | Pain Therapeutics Inc. | 473,991 | 962 |
| * | Concert Pharmaceuticals Inc. | 69,354 | 924 |
| * | Dermira Inc. | 50,501 | 915 |
| * | pSivida Corp. | 221,758 | 911 |
| *,^ | MEI Pharma Inc. | 212,964 | 909 |
| * | Discovery Laboratories Inc. | 777,754 | 902 |
| *,^ | NeoStem Inc. | 238,225 | 898 |
| * | Fonar Corp. | 86,267 | 897 |
| * | NanoString Technologies Inc. | 63,525 | 885 |
| * | Addus HomeCare Corp. | 34,847 | 846 |
| *,^ | TearLab Corp. | 318,231 | 843 |
| *,^ | Coronado Biosciences Inc. | 312,519 | 763 |
| *,^ | EnteroMedics Inc. | 529,055 | 751 |
| * | Achaogen Inc. | 55,119 | 719 |
| * | Bio-Path Holdings Inc. | 269,835 | 718 |
| * | Adeptus Health Inc. Class A | 18,849 | 705 |
| *,^ | Galectin Therapeutics Inc. | 201,648 | 700 |
| * | HealthEquity Inc. | 25,563 | 651 |
| *,^ | Palatin Technologies Inc. | 890,020 | 650 |
| * | Sage Therapeutics Inc. | 17,607 | 644 |
| * | Synthetic Biologics Inc. | 436,857 | 638 |
| * | Vical Inc. | 606,921 | 637 |
| * | Kindred Biosciences Inc. | 85,145 | 634 |
| * | Columbia Laboratories Inc. | 113,244 | 634 |
| * | Enzon Pharmaceuticals Inc. | 581,726 | 634 |
| * | Celsion Corp. | 271,867 | 633 |
| * | INC Research Holdings Inc. Class A | 23,100 | 593 |
| * | Medgenics Inc. | 116,526 | 590 |
| * | ImmunoCellular Therapeutics Ltd. | 795,936 | 581 |
| * | AdCare Health Systems Inc. | 140,230 | 562 |
| * | Juno Therapeutics Inc. | 10,767 | 562 |
| *,^ | Conatus Pharmaceuticals Inc. | 79,888 | 559 |
| *,^ | Cytori Therapeutics Inc. | 1,124,009 | 549 |
| *,^ | StemCells Inc. | 567,807 | 533 |
| *,^ | Tenax Therapeutics Inc. | 138,131 | 530 |
| *,^ | Trovagene Inc. | 122,285 | 526 |
| * | ERBA Diagnostics Inc. | 164,869 | 523 |
| * | Sunshine Heart Inc. | 121,357 | 515 |
| * | Mast Therapeutics Inc. | 907,900 | 508 |
| * | Cara Therapeutics Inc. | 50,940 | 508 |
| * | Paratek Pharmaceuticals Inc. | 13,153 | 507 |
| * | Tonix Pharmaceuticals Holding Corp. | 86,495 | 505 |
| * | GlycoMimetics Inc. | 70,035 | 504 |
30
| Vanguard® Extended Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Akebia Therapeutics Inc. | 42,800 | 498 |
| * | Cancer Genetics Inc. | 74,509 | 498 |
| * | Retractable Technologies Inc. | 99,455 | 497 |
| *,^ | Hemispherx Biopharma Inc. | 1,982,262 | 496 |
| * | MediciNova Inc. | 162,492 | 494 |
| * | Nevro Corp. | 12,324 | 477 |
| * | Bovie Medical Corp. | 128,896 | 468 |
| * | Bellicum Pharmaceuticals Inc. | 20,027 | 461 |
| * | Biota Pharmaceuticals Inc. | 201,044 | 450 |
| * | Cumberland Pharmaceuticals Inc. | 74,721 | 448 |
| * | Actinium Pharmaceuticals Inc. | 73,383 | 432 |
| * | Uroplasty Inc. | 204,271 | 421 |
| * | Ardelyx Inc. | 21,943 | 415 |
| * | Zafgen Inc. | 13,300 | 410 |
| * | Versartis Inc. | 17,496 | 393 |
| * | Cardica Inc. | 557,588 | 390 |
| * | Veracyte Inc. | 38,915 | 376 |
| *,^ | iBio Inc. | 541,627 | 371 |
| * | Harvard Apparatus Regenerative Technology Inc. | 114,174 | 363 |
| * | Fibrocell Science Inc. | 141,181 | 361 |
| * | AVEO Pharmaceuticals Inc. | 417,895 | 351 |
| *,^ | Apricus Biosciences Inc. | 342,416 | 342 |
| * | Sharps Compliance Corp. | 78,969 | 336 |
| * | OncoGenex Pharmaceuticals Inc. | 146,393 | 335 |
| * | Vital Therapies Inc. | 12,944 | 323 |
| * | Symmetry Surgical Inc. | 41,387 | 322 |
| *,^ | OXiGENE Inc. | 192,981 | 311 |
| * | Assembly Biosciences Inc. | 39,321 | 309 |
| * | Hansen Medical Inc. | 552,298 | 307 |
| * | BIND Therapeutics Inc. | 55,032 | 297 |
| * | Cellular Dynamics International Inc. | 44,957 | 289 |
| * | Applied Genetic Technologies Corp. | 13,555 | 285 |
| * | Nanosphere Inc. | 696,445 | 273 |
| * | Misonix Inc. | 22,028 | 272 |
| *,^ | Atossa Genetics Inc. | 187,867 | 269 |
| * | Authentidate Holding Corp. | 279,777 | 263 |
| * | Civitas Solutions Inc. | 15,389 | 262 |
| * | Coherus Biosciences Inc. | 15,405 | 251 |
| *,^ | Wright Medical Group Inc. CVR | 52,493 | 251 |
| * | KaloBios Pharmaceuticals Inc. | 144,300 | 250 |
| * | Venaxis Inc. | 137,747 | 244 |
| * | Hooper Holmes Inc. | 466,668 | 243 |
| * | Imprivata Inc. | 18,633 | 242 |
| *,^ | Cyclacel Pharmaceuticals Inc. | 339,555 | 238 |
| *,^ | CEL-SCI Corp. | 408,553 | 237 |
| * | Anthera Pharmaceuticals Inc. Class A | 145,713 | 230 |
| * | Vericel Corp. | 75,157 | 228 |
| * | Cleveland Biolabs Inc. | 778,032 | 222 |
| * | Ocera Therapeutics Inc. | 34,795 | 222 |
| * | Onconova Therapeutics Inc. | 66,244 | 218 |
| * | Stereotaxis Inc. | 146,937 | 217 |
| * | Vision Sciences Inc. | 307,620 | 215 |
| * | Immune Design Corp. | 6,699 | 206 |
| * | Flexion Therapeutics Inc. | 9,798 | 198 |
| * | Bioanalytical Systems Inc. | 91,696 | 197 |
| *,^ | NovaBay Pharmaceuticals Inc. | 306,020 | 193 |
| * | MGC Diagnostics Corp. | 29,709 | 190 |
| * | GenVec Inc. | 88,782 | 190 |
| *,^ | GTx Inc. | 258,883 | 189 |
| *,^ | Acura Pharmaceuticals Inc. | 408,034 | 184 |
| * | Opexa Therapeutics Inc. | 248,172 | 179 |
| * | Amphastar Pharmaceuticals Inc. | 15,037 | 175 |
| *,^ | PhotoMedex Inc. | 111,396 | 170 |
| * | PDI Inc. | 94,976 | 170 |
31
| Vanguard® Extended Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Alexza Pharmaceuticals Inc. | 114,088 | 170 |
| * | Genocea Biosciences Inc. | 23,944 | 168 |
| * | Bacterin International Holdings Inc. | 54,930 | 166 |
| * | CASI Pharmaceuticals Inc. | 119,606 | 159 |
| *,^ | CorMedix Inc. | 81,373 | 155 |
| * | American CareSource Holdings Inc. | 51,566 | 151 |
| * | Ocular Therapeutix Inc. | 6,230 | 147 |
| * | Dipexium Pharmaceuticals Inc. | 12,700 | 145 |
| * | Adamas Pharmaceuticals Inc. | 8,245 | 143 |
| * | Regado Biosciences Inc. | 143,740 | 131 |
| * | Trevena Inc. | 21,943 | 131 |
| * | K2M Group Holdings Inc. | 6,271 | 131 |
| * | Eagle Pharmaceuticals Inc. | 7,957 | 123 |
| * | Intersect ENT Inc. | 6,450 | 120 |
| * | Biodel Inc. | 87,761 | 117 |
| * | Neothetics Inc. | 15,400 | 115 |
| * | Trupanion Inc. | 16,367 | 113 |
| * | InspireMD Inc. | 143,573 | 112 |
| * | RXi Pharmaceuticals Corp. | 69,664 | 111 |
| * | TransEnterix Inc. | 38,217 | 111 |
| *,^ | Oculus Innovative Sciences Inc. | 76,561 | 109 |
| * | CAS Medical Systems Inc. | 66,116 | 109 |
| * | Argos Therapeutics Inc. | 10,716 | 107 |
| * | EPIRUS Biopharmaceuticals Inc. | 18,531 | 105 |
| * | ProPhase Labs Inc. | 72,896 | 104 |
| * | BSD Medical Corp. | 293,101 | 104 |
| * | Vermillion Inc. | 49,637 | 99 |
| * | Escalon Medical Corp. | 59,011 | 95 |
| * | Cymabay Therapeutics Inc. | 9,600 | 94 |
| *,^ | BG Medicine Inc. | 197,874 | 91 |
| * | AAC Holdings Inc. | 2,900 | 90 |
| * | Imprimis Pharmaceuticals Inc. | 11,791 | 88 |
| * | Echo Therapeutics Inc. | 62,574 | 84 |
| * | Vitae Pharmaceuticals Inc. | 4,900 | 82 |
| * | SunLink Health Systems Inc. | 59,900 | 81 |
| * | Egalet Corp. | 14,116 | 80 |
| * | TetraLogic Pharmaceuticals Corp. | 16,018 | 77 |
| * | Chembio Diagnostics Inc. | 19,255 | 76 |
| *,^ | CombiMatrix Corp. | 58,133 | 75 |
| * | Evoke Pharma Inc. | 12,473 | 74 |
| * | Atara Biotherapeutics Inc. | 2,730 | 73 |
| * | Eleven Biotherapeutics Inc. | 5,773 | 69 |
| * | Lpath Inc. Class A | 22,608 | 64 |
| * | InfuSystems Holdings Inc. | 20,115 | 63 |
| * | DARA BioSciences Inc. | 67,781 | 60 |
| * | Streamline Health Solutions Inc. | 13,240 | 57 |
| * | Adamis Pharmaceuticals Corp. | 9,193 | 57 |
| * | Alliqua Inc. | 10,480 | 56 |
| * | Cesca Therapeutics Inc. | 54,283 | 55 |
| * | Sientra Inc. | 3,297 | 55 |
| * | Delcath Systems Inc. | 44,629 | 54 |
| * | VirtualScopics Inc. | 16,180 | 52 |
| * | AxoGen Inc. | 14,159 | 51 |
| * | Tokai Pharmaceuticals Inc. | 3,440 | 51 |
| * | Ligand Pharmaceuticals Inc. Rights | 395,811 | 47 |
| * | Fate Therapeutics Inc. | 9,400 | 47 |
| * | Response Genetics Inc. | 145,825 | 46 |
| * | Lipocine Inc. | 8,655 | 46 |
| * | NeuroMetrix Inc. | 17,183 | 34 |
| * | Pfenex Inc. | 4,100 | 30 |
| * | ARCA biopharma Inc. | 30,828 | 29 |
| * | Aquinox Pharmaceuticals Inc. | 3,900 | 29 |
| * | TriVascular Technologies Inc. | 2,093 | 26 |
| * | Roka Bioscience Inc. | 5,700 | 25 |
32
| Vanguard® Extended Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Brainstorm Cell Therapeutics Inc. | 4,800 | 23 |
| * | Allied Healthcare Products Inc. | 10,415 | 19 |
| * | Celator Pharmaceuticals Inc. | 9,475 | 19 |
| * | Cellular Biomedicine Group Inc. | 1,411 | 18 |
| Ligand Pharmaceuticals Inc. Rights | 395,811 | 18 | |
| * | iRadimed Corp. | 1,220 | 16 |
| * | Agile Therapeutics Inc. | 2,500 | 15 |
| * | WaferGen Bio-systems Inc. | 4,500 | 14 |
| * | T2 Biosystems Inc. | 700 | 13 |
| *,^ | MELA Sciences Inc. | 10,211 | 12 |
| * | Amedica Corp. | 14,500 | 12 |
| * | Ignyta Inc. | 1,678 | 11 |
| * | Urologix Inc. | 160,918 | 11 |
| * | Recro Pharma Inc. | 3,787 | 11 |
| * | Minerva Neurosciences Inc. | 1,574 | 10 |
| * | Loxo Oncology Inc. | 800 | 9 |
| * | Galmed Pharmaceuticals Ltd. | 1,600 | 9 |
| * | Cerulean Pharma Inc. | 1,415 | 9 |
| * | Proteon Therapeutics Inc. | 800 | 8 |
| * | BioLife Solutions Inc. | 4,200 | 7 |
| * | Aradigm Corp. | 891 | 7 |
| * | Electromed Inc. | 2,500 | 7 |
| * | CareDx Inc. | 900 | 7 |
| * | Marinus Pharmaceuticals Inc. | 500 | 5 |
| * | Ligand Pharmaceuticals Inc. Rights | 395,811 | 5 |
| * | SCYNEXIS Inc. | 500 | 5 |
| * | ADMA Biologics Inc. | 400 | 4 |
| Daxor Corp. | 513 | 3 | |
| * | NephroGenex Inc. | 246 | 3 |
| * | Ligand Pharmaceuticals Inc. Rights | 395,811 | 3 |
| * | Oragenics Inc. | 2,006 | 2 |
| * | Medical Transcription Billing Corp. | 288 | 1 |
| * | Maxygen Inc. | 143 | — |
| 5,266,073 | |||
| Industrials (14.9%) | |||
| American Airlines Group Inc. | 6,589,047 | 353,371 | |
| * | United Continental Holdings Inc. | 3,390,437 | 226,786 |
| * | Hertz Global Holdings Inc. | 4,123,413 | 102,838 |
| TransDigm Group Inc. | 453,256 | 88,997 | |
| * | Verisk Analytics Inc. Class A | 1,364,354 | 87,387 |
| * | Sensata Technologies Holding NV | 1,550,632 | 81,269 |
| Wabtec Corp. | 886,998 | 77,071 | |
| Towers Watson & Co. Class A | 642,171 | 72,675 | |
| Alaska Air Group Inc. | 1,209,317 | 72,269 | |
| JB Hunt Transport Services Inc. | 849,846 | 71,600 | |
| * | IHS Inc. Class A | 627,624 | 71,474 |
| Fortune Brands Home & Security Inc. | 1,448,689 | 65,582 | |
| * | Avis Budget Group Inc. | 976,105 | 64,745 |
| IDEX Corp. | 729,447 | 56,780 | |
| * | B/E Aerospace Inc. | 969,797 | 56,268 |
| Acuity Brands Inc. | 398,099 | 55,762 | |
| Hubbell Inc. Class B | 500,533 | 53,472 | |
| Carlisle Cos. Inc. | 590,741 | 53,308 | |
| * | WABCO Holdings Inc. | 503,428 | 52,749 |
| * | Middleby Corp. | 527,779 | 52,303 |
| Allison Transmission Holdings Inc. | 1,533,071 | 51,971 | |
| * | Spirit AeroSystems Holdings Inc. Class A | 1,196,651 | 51,504 |
| * | Spirit Airlines Inc. | 671,235 | 50,732 |
| Huntington Ingalls Industries Inc. | 447,317 | 50,305 | |
| Waste Connections Inc. | 1,143,365 | 50,297 | |
| ManpowerGroup Inc. | 727,102 | 49,567 | |
| Lincoln Electric Holdings Inc. | 714,019 | 49,332 | |
| * | Old Dominion Freight Line Inc. | 626,914 | 48,674 |
| Donaldson Co. Inc. | 1,173,807 | 45,344 | |
33
| Vanguard® Extended Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Colfax Corp. | 877,228 | 45,239 |
| KAR Auction Services Inc. | 1,294,756 | 44,863 | |
| Graco Inc. | 546,360 | 43,807 | |
| * | AECOM Technology Corp. | 1,413,113 | 42,916 |
| * | Kirby Corp. | 525,520 | 42,431 |
| * | Genesee & Wyoming Inc. Class A | 470,761 | 42,331 |
| Nordson Corp. | 540,561 | 42,142 | |
| * | HD Supply Holdings Inc. | 1,402,793 | 41,368 |
| Trinity Industries Inc. | 1,437,380 | 40,261 | |
| AO Smith Corp. | 696,657 | 39,298 | |
| Owens Corning | 1,082,984 | 38,782 | |
| Lennox International Inc. | 406,075 | 38,606 | |
| * | Copart Inc. | 1,045,170 | 38,138 |
| MSC Industrial Direct Co. Inc. Class A | 464,106 | 37,709 | |
| Chicago Bridge & Iron Co. NV | 886,808 | 37,228 | |
| * | Hexcel Corp. | 876,656 | 36,372 |
| * | JetBlue Airways Corp. | 2,258,539 | 35,820 |
| Oshkosh Corp. | 735,429 | 35,779 | |
| AGCO Corp. | 769,470 | 34,780 | |
| * | Teledyne Technologies Inc. | 336,003 | 34,521 |
| Alliant Techsystems Inc. | 294,197 | 34,200 | |
| ITT Corp. | 844,551 | 34,171 | |
| Toro Co. | 512,810 | 32,722 | |
| SPX Corp. | 377,615 | 32,445 | |
| * | Esterline Technologies Corp. | 294,332 | 32,282 |
| Triumph Group Inc. | 466,597 | 31,365 | |
| Curtiss-Wright Corp. | 444,219 | 31,357 | |
| Regal-Beloit Corp. | 416,534 | 31,323 | |
| * | WESCO International Inc. | 409,802 | 31,231 |
| CLARCOR Inc. | 464,960 | 30,985 | |
| RR Donnelley & Sons Co. | 1,841,437 | 30,945 | |
| Exelis Inc. | 1,735,113 | 30,417 | |
| Air Lease Corp. Class A | 877,452 | 30,105 | |
| Babcock & Wilcox Co. | 990,658 | 30,017 | |
| Landstar System Inc. | 411,735 | 29,863 | |
| * | Generac Holdings Inc. | 634,752 | 29,681 |
| Timken Co. | 684,863 | 29,230 | |
| ^ | Valmont Industries Inc. | 226,881 | 28,814 |
| Deluxe Corp. | 459,049 | 28,576 | |
| Terex Corp. | 996,025 | 27,769 | |
| * | Moog Inc. Class A | 374,431 | 27,719 |
| Manitowoc Co. Inc. | 1,246,718 | 27,552 | |
| Watsco Inc. | 251,033 | 26,861 | |
| Crane Co. | 456,839 | 26,816 | |
| Covanta Holding Corp. | 1,206,536 | 26,556 | |
| EMCOR Group Inc. | 595,393 | 26,489 | |
| Woodward Inc. | 537,609 | 26,467 | |
| * | Rexnord Corp. | 933,568 | 26,336 |
| Con-way Inc. | 532,212 | 26,174 | |
| Kennametal Inc. | 725,304 | 25,959 | |
| EnerSys | 416,942 | 25,734 | |
| *,^ | NOW Inc. | 986,540 | 25,384 |
| HEICO Corp. | 418,897 | 25,301 | |
| *,^ | SolarCity Corp. | 467,529 | 25,003 |
| * | Clean Harbors Inc. | 508,660 | 24,441 |
| GATX Corp. | 412,580 | 23,740 | |
| KBR Inc. | 1,338,952 | 22,695 | |
| Corporate Executive Board Co. | 311,030 | 22,559 | |
| * | Swift Transportation Co. | 782,748 | 22,410 |
| * | USG Corp. | 763,263 | 21,364 |
| HNI Corp. | 416,250 | 21,254 | |
| * | Armstrong World Industries Inc. | 414,395 | 21,184 |
| * | XPO Logistics Inc. | 509,145 | 20,814 |
| * | Navistar International Corp. | 615,050 | 20,592 |
34
| Vanguard® Extended Market Index Fund | ||
| Schedule of Investments | ||
| December 31, 2014 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Healthcare Services Group Inc. | 648,821 | 20,068 |
| * DigitalGlobe Inc. | 647,844 | 20,064 |
| Hillenbrand Inc. | 579,739 | 20,001 |
| * KLX Inc. | 482,500 | 19,903 |
| Rollins Inc. | 591,297 | 19,572 |
| * Polypore International Inc. | 414,308 | 19,493 |
| * WageWorks Inc. | 301,694 | 19,480 |
| Allegiant Travel Co. Class A | 128,589 | 19,331 |
| Knight Transportation Inc. | 560,335 | 18,861 |
| Mueller Industries Inc. | 523,106 | 17,859 |
| UniFirst Corp. | 144,136 | 17,505 |
| Applied Industrial Technologies Inc. | 383,132 | 17,467 |
| Mobile Mini Inc. | 430,496 | 17,439 |
| Barnes Group Inc. | 450,259 | 16,664 |
| Watts Water Technologies Inc. Class A | 262,295 | 16,640 |
| * Advisory Board Co. | 334,743 | 16,396 |
| Actuant Corp. Class A | 599,261 | 16,324 |
| Herman Miller Inc. | 547,641 | 16,117 |
| AMERCO | 55,793 | 15,860 |
| Tetra Tech Inc. | 592,252 | 15,813 |
| MSA Safety Inc. | 289,613 | 15,376 |
| Steelcase Inc. Class A | 845,467 | 15,176 |
| United Stationers Inc. | 359,146 | 15,142 |
| Mueller Water Products Inc. Class A | 1,473,399 | 15,088 |
| * Orbital Sciences Corp. | 559,213 | 15,037 |
| * Huron Consulting Group Inc. | 217,123 | 14,849 |
| * On Assignment Inc. | 443,369 | 14,715 |
| * FTI Consulting Inc. | 377,112 | 14,568 |
| Forward Air Corp. | 284,484 | 14,329 |
| * MRC Global Inc. | 940,551 | 14,249 |
| Harsco Corp. | 745,723 | 14,087 |
| * Proto Labs Inc. | 208,717 | 14,017 |
| RBC Bearings Inc. | 216,343 | 13,961 |
| * EnPro Industries Inc. | 221,317 | 13,890 |
| * MasTec Inc. | 611,296 | 13,821 |
| Heartland Express Inc. | 509,946 | 13,774 |
| Matson Inc. | 397,172 | 13,710 |
| ABM Industries Inc. | 478,030 | 13,696 |
| Franklin Electric Co. Inc. | 364,238 | 13,670 |
| * Meritor Inc. | 902,298 | 13,670 |
| TAL International Group Inc. | 313,506 | 13,659 |
| * Korn/Ferry International | 463,716 | 13,336 |
| Simpson Manufacturing Co. Inc. | 383,848 | 13,281 |
| Matthews International Corp. Class A | 272,614 | 13,268 |
| * TriMas Corp. | 417,442 | 13,062 |
| G&K Services Inc. Class A | 183,853 | 13,026 |
| * Hawaiian Holdings Inc. | 496,667 | 12,938 |
| * TASER International Inc. | 484,511 | 12,830 |
| Werner Enterprises Inc. | 411,312 | 12,812 |
| * Beacon Roofing Supply Inc. | 455,011 | 12,649 |
| Granite Construction Inc. | 332,191 | 12,630 |
| * Saia Inc. | 227,429 | 12,590 |
| * Trex Co. Inc. | 293,046 | 12,478 |
| ^ Greenbrier Cos. Inc. | 230,553 | 12,388 |
| Aircastle Ltd. | 576,004 | 12,309 |
| Tennant Co. | 169,852 | 12,258 |
| * Hub Group Inc. Class A | 321,310 | 12,236 |
| Brady Corp. Class A | 437,738 | 11,968 |
| * Masonite International Corp. | 188,926 | 11,611 |
| * Atlas Air Worldwide Holdings Inc. | 233,168 | 11,495 |
| Apogee Enterprises Inc. | 268,551 | 11,379 |
| AZZ Inc. | 236,755 | 11,109 |
| * Dycom Industries Inc. | 313,898 | 11,015 |
| Brink's Co. | 448,311 | 10,943 |
35
| Vanguard® Extended Market Index Fund | ||
| Schedule of Investments | ||
| December 31, 2014 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Cubic Corp. | 200,030 | 10,530 |
| ArcBest Corp. | 223,478 | 10,363 |
| * Rush Enterprises Inc. Class A | 322,153 | 10,325 |
| * UTi Worldwide Inc. | 845,548 | 10,206 |
| * Amec Foster Wheeler plc | 762,295 | 10,135 |
| Interface Inc. Class A | 613,348 | 10,102 |
| Albany International Corp. | 263,976 | 10,028 |
| Kaman Corp. | 250,086 | 10,026 |
| Exponent Inc. | 120,945 | 9,978 |
| * GenCorp Inc. | 541,075 | 9,902 |
| Universal Forest Products Inc. | 185,404 | 9,864 |
| CIRCOR International Inc. | 163,113 | 9,832 |
| AAR Corp. | 347,779 | 9,661 |
| * Chart Industries Inc. | 281,142 | 9,615 |
| * Astronics Corp. | 173,779 | 9,612 |
| ^ Lindsay Corp. | 111,898 | 9,594 |
| Knoll Inc. | 449,170 | 9,509 |
| * ACCO Brands Corp. | 1,055,019 | 9,506 |
| Sun Hydraulics Corp. | 232,093 | 9,140 |
| Standex International Corp. | 118,029 | 9,119 |
| AAON Inc. | 406,635 | 9,105 |
| Federal Signal Corp. | 585,151 | 9,035 |
| ESCO Technologies Inc. | 242,824 | 8,960 |
| John Bean Technologies Corp. | 271,444 | 8,920 |
| * Blount International Inc. | 499,073 | 8,769 |
| Raven Industries Inc. | 347,645 | 8,691 |
| * TrueBlue Inc. | 389,422 | 8,665 |
| Briggs & Stratton Corp. | 423,484 | 8,648 |
| * Tutor Perini Corp. | 358,454 | 8,628 |
| * Nortek Inc. | 104,071 | 8,464 |
| Astec Industries Inc. | 213,615 | 8,397 |
| McGrath RentCorp | 233,194 | 8,362 |
| Primoris Services Corp. | 357,476 | 8,308 |
| * Wabash National Corp. | 651,825 | 8,057 |
| * Team Inc. | 198,799 | 8,043 |
| H&E Equipment Services Inc. | 284,597 | 7,994 |
| Acacia Research Corp. | 467,889 | 7,926 |
| Hyster-Yale Materials Handling Inc. | 108,189 | 7,919 |
| * ICF International Inc. | 191,437 | 7,845 |
| US Ecology Inc. | 195,117 | 7,828 |
| Insperity Inc. | 225,283 | 7,635 |
| Kforce Inc. | 314,209 | 7,582 |
| Comfort Systems USA Inc. | 440,196 | 7,536 |
| Resources Connection Inc. | 451,151 | 7,421 |
| Altra Industrial Motion Corp. | 257,983 | 7,324 |
| * Navigant Consulting Inc. | 475,023 | 7,301 |
| * Thermon Group Holdings Inc. | 301,299 | 7,288 |
| * Wesco Aircraft Holdings Inc. | 518,686 | 7,251 |
| Quanex Building Products Corp. | 381,767 | 7,170 |
| * Lydall Inc. | 211,053 | 6,927 |
| General Cable Corp. | 462,530 | 6,892 |
| SkyWest Inc. | 513,974 | 6,826 |
| * TriNet Group Inc. | 216,318 | 6,766 |
| * Aegion Corp. Class A | 361,555 | 6,729 |
| Encore Wire Corp. | 178,493 | 6,663 |
| Griffon Corp. | 500,372 | 6,655 |
| * Republic Airways Holdings Inc. | 453,403 | 6,615 |
| Multi-Color Corp. | 118,264 | 6,554 |
| Gorman-Rupp Co. | 201,632 | 6,476 |
| West Corp. | 189,633 | 6,258 |
| * Engility Holdings Inc. | 143,912 | 6,159 |
| Columbus McKinnon Corp. | 215,713 | 6,049 |
| * DXP Enterprises Inc. | 118,551 | 5,990 |
| * MYR Group Inc. | 218,572 | 5,989 |
36
| Vanguard® Extended Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Kadant Inc. | 138,172 | 5,899 | |
| Viad Corp. | 219,757 | 5,859 | |
| Marten Transport Ltd. | 266,136 | 5,818 | |
| Aceto Corp. | 268,070 | 5,817 | |
| Quad/Graphics Inc. | 251,359 | 5,771 | |
| * | GrafTech International Ltd. | 1,119,835 | 5,666 |
| Celadon Group Inc. | 249,361 | 5,658 | |
| Park-Ohio Holdings Corp. | 86,852 | 5,474 | |
| * | American Woodmark Corp. | 134,778 | 5,450 |
| ^ | Titan International Inc. | 510,502 | 5,427 |
| * | YRC Worldwide Inc. | 239,630 | 5,389 |
| * | RPX Corp. | 382,807 | 5,275 |
| * | Roadrunner Transportation Systems Inc. | 220,028 | 5,138 |
| * | Gibraltar Industries Inc. | 307,822 | 5,005 |
| * | Aerovironment Inc. | 181,487 | 4,946 |
| American Science & Engineering Inc. | 94,888 | 4,925 | |
| Heidrick & Struggles International Inc. | 213,556 | 4,922 | |
| * | NCI Building Systems Inc. | 259,963 | 4,815 |
| LB Foster Co. Class A | 98,903 | 4,804 | |
| HEICO Corp. Class A | 101,171 | 4,791 | |
| Advanced Drainage Systems Inc. | 208,203 | 4,785 | |
| Kelly Services Inc. Class A | 276,450 | 4,705 | |
| * | Great Lakes Dredge & Dock Corp. | 541,068 | 4,632 |
| * | Air Transport Services Group Inc. | 534,446 | 4,575 |
| American Railcar Industries Inc. | 88,134 | 4,539 | |
| Douglas Dynamics Inc. | 209,080 | 4,481 | |
| * | CBIZ Inc. | 519,154 | 4,444 |
| *,^ | Plug Power Inc. | 1,410,716 | 4,232 |
| * | GP Strategies Corp. | 124,310 | 4,218 |
| Powell Industries Inc. | 84,943 | 4,168 | |
| * | SP Plus Corp. | 163,043 | 4,114 |
| * | USA Truck Inc. | 143,889 | 4,086 |
| Civeo Corp. | 983,966 | 4,044 | |
| * | Echo Global Logistics Inc. | 134,225 | 3,919 |
| Alamo Group Inc. | 79,708 | 3,861 | |
| Insteel Industries Inc. | 159,275 | 3,756 | |
| * | Veritiv Corp. | 69,597 | 3,610 |
| * | Patrick Industries Inc. | 81,598 | 3,589 |
| FreightCar America Inc. | 136,183 | 3,583 | |
| * | ARC Document Solutions Inc. | 347,956 | 3,556 |
| VSE Corp. | 53,516 | 3,527 | |
| Ceco Environmental Corp. | 224,140 | 3,483 | |
| Ennis Inc. | 252,778 | 3,405 | |
| * | Northwest Pipe Co. | 112,963 | 3,402 |
| NN Inc. | 164,562 | 3,383 | |
| National Presto Industries Inc. | 57,429 | 3,333 | |
| * | Vicor Corp. | 266,049 | 3,219 |
| * | PGT Inc. | 332,626 | 3,203 |
| Argan Inc. | 94,455 | 3,177 | |
| *,^ | FuelCell Energy Inc. | 2,042,785 | 3,146 |
| * | PAM Transportation Services Inc. | 60,672 | 3,145 |
| * | Enphase Energy Inc. | 218,451 | 3,122 |
| * | CRA International Inc. | 102,750 | 3,115 |
| CDI Corp. | 170,943 | 3,027 | |
| * | Orion Marine Group Inc. | 273,892 | 3,027 |
| Allied Motion Technologies Inc. | 125,798 | 2,980 | |
| * | CAI International Inc. | 127,455 | 2,957 |
| * | Kratos Defense & Security Solutions Inc. | 585,963 | 2,942 |
| * | Builders FirstSource Inc. | 428,091 | 2,941 |
| * | Ducommun Inc. | 112,690 | 2,849 |
| * | Accuride Corp. | 627,866 | 2,725 |
| * | Mistras Group Inc. | 147,880 | 2,711 |
| Kimball International Inc. Class B | 296,157 | 2,701 | |
| *,^ | KEYW Holding Corp. | 259,023 | 2,689 |
37
| Vanguard® Extended Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | InnerWorkings Inc. | 343,580 | 2,677 |
| * | Vectrus Inc. | 96,540 | 2,645 |
| *,^ | Titan Machinery Inc. | 177,914 | 2,480 |
| * | Furmanite Corp. | 316,176 | 2,473 |
| Houston Wire & Cable Co. | 204,888 | 2,448 | |
| * | Ply Gem Holdings Inc. | 174,890 | 2,445 |
| * | Franklin Covey Co. | 125,621 | 2,432 |
| Graham Corp. | 82,479 | 2,373 | |
| *,^ | Capstone Turbine Corp. | 3,162,019 | 2,338 |
| * | Quality Distribution Inc. | 218,950 | 2,330 |
| Global Power Equipment Group Inc. | 166,506 | 2,299 | |
| * | PowerSecure International Inc. | 193,888 | 2,259 |
| * | Xerium Technologies Inc. | 141,272 | 2,229 |
| Dynamic Materials Corp. | 131,137 | 2,101 | |
| Barrett Business Services Inc. | 75,880 | 2,079 | |
| * | Magnetek Inc. | 50,600 | 2,057 |
| * | Power Solutions International Inc. | 39,456 | 2,036 |
| * | Stock Building Supply Holdings Inc. | 128,663 | 1,971 |
| * | Pendrell Corp. | 1,421,936 | 1,962 |
| *,^ | Energy Recovery Inc. | 355,003 | 1,871 |
| Miller Industries Inc. | 89,279 | 1,856 | |
| * | Lawson Products Inc. | 69,219 | 1,839 |
| * | Continental Building Products Inc. | 102,215 | 1,812 |
| * | Covenant Transportation Group Inc. Class A | 65,785 | 1,783 |
| * | Layne Christensen Co. | 186,344 | 1,778 |
| Hurco Cos. Inc. | 52,021 | 1,773 | |
| * | Commercial Vehicle Group Inc. | 261,660 | 1,743 |
| Universal Truckload Services Inc. | 60,440 | 1,723 | |
| Global Brass & Copper Holdings Inc. | 128,522 | 1,691 | |
| * | Performant Financial Corp. | 247,594 | 1,647 |
| * | Willis Lease Finance Corp. | 70,607 | 1,546 |
| *,^ | ExOne Co. | 91,800 | 1,542 |
| * | FRP Holdings Inc. | 39,195 | 1,537 |
| Twin Disc Inc. | 73,584 | 1,461 | |
| LSI Industries Inc. | 211,770 | 1,438 | |
| * | NL Industries Inc. | 164,297 | 1,413 |
| SIFCO Industries Inc. | 47,098 | 1,373 | |
| Preformed Line Products Co. | 24,920 | 1,361 | |
| Courier Corp. | 89,906 | 1,341 | |
| * | Cenveo Inc. | 623,985 | 1,310 |
| * | LMI Aerospace Inc. | 92,455 | 1,304 |
| * | Paylocity Holding Corp. | 49,036 | 1,280 |
| * | Manitex International Inc. | 99,879 | 1,269 |
| * | Sparton Corp. | 42,171 | 1,195 |
| * | Hill International Inc. | 301,783 | 1,159 |
| * | Sterling Construction Co. Inc. | 170,876 | 1,092 |
| Omega Flex Inc. | 28,118 | 1,063 | |
| * | Ameresco Inc. Class A | 151,142 | 1,058 |
| * | CPI Aerostructures Inc. | 98,215 | 1,030 |
| Supreme Industries Inc. Class A | 141,174 | 997 | |
| * | Hudson Technologies Inc. | 244,959 | 924 |
| Hardinge Inc. | 74,446 | 887 | |
| ^ | Intersections Inc. | 220,204 | 861 |
| * | TRC Cos. Inc. | 134,100 | 850 |
| International Shipholding Corp. | 56,822 | 847 | |
| * | Orion Energy Systems Inc. | 149,307 | 821 |
| LS Starrett Co. Class A | 40,500 | 807 | |
| * | Adept Technology Inc. | 91,784 | 797 |
| *,^ | Odyssey Marine Exploration Inc. | 838,885 | 780 |
| * | Rand Logistics Inc. | 193,713 | 765 |
| *,^ | Astrotech Corp. | 304,120 | 751 |
| * | PMFG Inc. | 138,512 | 724 |
| * | Casella Waste Systems Inc. Class A | 178,809 | 722 |
| ^ | Baltic Trading Ltd. | 265,268 | 666 |
38
| Vanguard® Extended Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | API Technologies Corp. | 308,861 | 658 |
| * | Active Power Inc. | 350,181 | 644 |
| * | Broadwind Energy Inc. | 114,821 | 619 |
| * | Willdan Group Inc. | 45,806 | 618 |
| Providence and Worcester Railroad Co. | 31,838 | 589 | |
| * | Fuel Tech Inc. | 153,272 | 587 |
| * | BlueLinx Holdings Inc. | 477,956 | 554 |
| Eastern Co. | 32,045 | 550 | |
| * | Heritage-Crystal Clean Inc. | 41,632 | 513 |
| * | Key Technology Inc. | 38,521 | 493 |
| * | American Superconductor Corp. | 647,975 | 480 |
| *,^ | Revolution Lighting Technologies Inc. | 349,171 | 471 |
| * | Virco Manufacturing Corp. | 188,287 | 459 |
| * | Hudson Global Inc. | 147,778 | 458 |
| *,^ | Arotech Corp. | 195,009 | 452 |
| * | CTPartners Executive Search Inc. | 29,594 | 450 |
| *,^ | ARC Group Worldwide Inc. | 43,022 | 436 |
| * | Integrated Electrical Services Inc. | 55,904 | 436 |
| * | MFRI Inc. | 61,557 | 432 |
| Ecology and Environment Inc. | 45,100 | 414 | |
| * | Gencor Industries Inc. | 43,110 | 405 |
| * | Innovative Solutions & Support Inc. | 121,774 | 387 |
| RCM Technologies Inc. | 49,161 | 344 | |
| * | Tecumseh Products Co. | 101,013 | 312 |
| * | Ultralife Corp. | 98,312 | 308 |
| * | Taylor Devices Inc. | 27,295 | 284 |
| *,^ | Lightbridge Corp. | 174,425 | 270 |
| * | Transcat Inc. | 26,809 | 270 |
| * | Swisher Hygiene Inc. | 144,205 | 270 |
| * | Perma-Fix Environmental Services | 61,835 | 269 |
| * | Mastech Holdings Inc. | 24,567 | 261 |
| * | Jewett-Cameron Trading Co. Ltd. | 23,964 | 246 |
| *,^ | Real Goods Solar Inc. Class A | 470,102 | 227 |
| * | American Electric Technologies Inc. | 38,260 | 210 |
| * | SL Industries Inc. | 5,003 | 195 |
| * | Norcraft Cos. Inc. | 8,942 | 173 |
| * | Breeze-Eastern Corp. | 15,615 | 159 |
| *,^ | MagneGas Corp. | 227,635 | 157 |
| * | Rush Enterprises Inc. Class B | 5,550 | 156 |
| * | Versar Inc. | 42,809 | 135 |
| *,^ | Spherix Inc. | 125,069 | 135 |
| * | Servotronics Inc. | 19,902 | 126 |
| *,^ | Erickson Inc. | 15,046 | 125 |
| * | Luna Innovations Inc. | 86,079 | 122 |
| * | Metalico Inc. | 332,150 | 113 |
| * | Goldfield Corp. | 45,880 | 112 |
| *,^ | Alpha Pro Tech Ltd. | 41,100 | 106 |
| *,^ | ZBB Energy Corp. | 189,624 | 97 |
| * | General Finance Corp. | 9,529 | 94 |
| * | AMREP Corp. | 21,768 | 84 |
| * | Industrial Services of America Inc. | 13,228 | 78 |
| * | Radiant Logistics Inc. | 17,200 | 73 |
| * | Marathon Patent Group Inc. | 8,148 | 69 |
| * | Corporate Resource Services Inc. | 56,150 | 67 |
| Hubbell Inc. Class A | 500 | 56 | |
| * | Air T Inc. | 1,900 | 49 |
| * | Ocean Power Technologies Inc. | 70,275 | 45 |
| * | Essex Rental Corp. | 31,345 | 41 |
| * | DLH Holdings Corp. | 19,113 | 38 |
| * | Lime Energy Co. | 12,704 | 37 |
| * | LiqTech International Inc. | 32,928 | 36 |
| * | Ideal Power Inc. | 4,400 | 32 |
| * | Volt Information Sciences Inc. | 2,600 | 28 |
| * | General Employment Enterprises Inc. | 18,000 | 22 |
39
| Vanguard® Extended Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Tel-Instrument Electronics Corp. | 3,304 | 17 |
| * | Digital Power Corp. | 11,401 | 15 |
| * | NV5 Holdings Inc. | 1,100 | 14 |
| * | Micronet Enertec Technologies Inc. | 3,100 | 11 |
| EnviroStar Inc. | 2,900 | 8 | |
| * | Blue Earth Inc. | 7,400 | 8 |
| * | Standard Register Co. | 2,200 | 7 |
| Chicago Rivet & Machine Co. | 100 | 3 | |
| Espey Manufacturing & Electronics Corp. | 100 | 2 | |
| 6,119,641 | |||
| Information Technology (16.2%) | |||
| * | LinkedIn Corp. Class A | 969,617 | 222,731 |
| * | Twitter Inc. | 4,721,350 | 169,355 |
| Skyworks Solutions Inc. | 1,751,476 | 127,350 | |
| Equinix Inc. | 503,452 | 114,148 | |
| * | FleetCor Technologies Inc. | 700,848 | 104,223 |
| Activision Blizzard Inc. | 4,560,039 | 91,885 | |
| Maxim Integrated Products Inc. | 2,603,881 | 82,986 | |
| * | ServiceNow Inc. | 1,211,840 | 82,223 |
| * | Palo Alto Networks Inc. | 613,889 | 75,244 |
| * | Workday Inc. Class A | 871,484 | 71,122 |
| * | ANSYS Inc. | 847,686 | 69,510 |
| * | Gartner Inc. | 809,177 | 68,141 |
| * | VMware Inc. Class A | 792,342 | 65,384 |
| * | Splunk Inc. | 1,101,707 | 64,946 |
| * | Trimble Navigation Ltd. | 2,378,214 | 63,118 |
| * | Synopsys Inc. | 1,435,332 | 62,394 |
| CDK Global Inc. | 1,476,541 | 60,184 | |
| Marvell Technology Group Ltd. | 3,922,466 | 56,876 | |
| * | CoStar Group Inc. | 297,474 | 54,625 |
| Avnet Inc. | 1,259,180 | 54,170 | |
| * | Keysight Technologies Inc. | 1,537,523 | 51,922 |
| * | Arrow Electronics Inc. | 890,772 | 51,567 |
| * | Rackspace Hosting Inc. | 1,093,873 | 51,204 |
| * | Cadence Design Systems Inc. | 2,689,365 | 51,017 |
| Broadridge Financial Solutions Inc. | 1,102,623 | 50,919 | |
| FactSet Research Systems Inc. | 356,691 | 50,204 | |
| Global Payments Inc. | 621,487 | 50,173 | |
| Brocade Communications Systems Inc. | 3,964,518 | 46,940 | |
| * | Vantiv Inc. Class A | 1,376,488 | 46,690 |
| Jack Henry & Associates Inc. | 751,274 | 46,684 | |
| * | SunEdison Inc. | 2,312,992 | 45,126 |
| * | NCR Corp. | 1,547,341 | 45,090 |
| * | RF Micro Devices Inc. | 2,681,575 | 44,487 |
| * | TriQuint Semiconductor Inc. | 1,610,608 | 44,372 |
| IAC/InterActiveCorp | 708,408 | 43,064 | |
| * | ON Semiconductor Corp. | 4,004,661 | 40,567 |
| * | Ingram Micro Inc. | 1,434,360 | 39,646 |
| Teradyne Inc. | 1,993,897 | 39,459 | |
| * | PTC Inc. | 1,065,240 | 39,041 |
| * | Fortinet Inc. | 1,272,256 | 39,007 |
| Jabil Circuit Inc. | 1,776,692 | 38,785 | |
| * | VeriFone Systems Inc. | 1,041,642 | 38,749 |
| CDW Corp. | 1,091,699 | 38,395 | |
| * | Ultimate Software Group Inc. | 260,492 | 38,244 |
| * | Informatica Corp. | 998,380 | 38,073 |
| * | ARRIS Group Inc. | 1,213,262 | 36,628 |
| SS&C Technologies Holdings Inc. | 621,481 | 36,350 | |
| * | Zebra Technologies Corp. | 467,723 | 36,206 |
| *,^ | Cree Inc. | 1,105,644 | 35,624 |
| * | NetSuite Inc. | 323,939 | 35,364 |
| * | WEX Inc. | 357,058 | 35,320 |
| FEI Co. | 381,810 | 34,497 | |
| * | AOL Inc. | 724,712 | 33,460 |
40
| Vanguard® Extended Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Nuance Communications Inc. | 2,331,319 | 33,268 |
| * | Tyler Technologies Inc. | 303,537 | 33,219 |
| MAXIMUS Inc. | 605,500 | 33,206 | |
| * | Cognex Corp. | 799,299 | 33,035 |
| * | Atmel Corp. | 3,857,660 | 32,385 |
| * | Verint Systems Inc. | 555,529 | 32,376 |
| Solera Holdings Inc. | 632,100 | 32,351 | |
| * | Guidewire Software Inc. | 638,775 | 32,341 |
| *,^ | 3D Systems Corp. | 958,994 | 31,522 |
| Belden Inc. | 398,651 | 31,418 | |
| * | Tableau Software Inc. Class A | 367,008 | 31,108 |
| * | Yelp Inc. Class A | 565,461 | 30,948 |
| * | Cavium Inc. | 495,485 | 30,631 |
| * | SolarWinds Inc. | 604,378 | 30,116 |
| * | Pandora Media Inc. | 1,682,340 | 29,996 |
| * | JDS Uniphase Corp. | 2,128,535 | 29,204 |
| * | Aspen Technology Inc. | 831,253 | 29,110 |
| * | Riverbed Technology Inc. | 1,425,930 | 29,103 |
| National Instruments Corp. | 926,955 | 28,819 | |
| * | Manhattan Associates Inc. | 692,423 | 28,195 |
| * | Genpact Ltd. | 1,435,921 | 27,182 |
| * | Integrated Device Technology Inc. | 1,371,825 | 26,888 |
| * | International Rectifier Corp. | 659,451 | 26,312 |
| * | CoreLogic Inc. | 824,521 | 26,047 |
| * | Sapient Corp. | 1,044,552 | 25,988 |
| j2 Global Inc. | 417,753 | 25,901 | |
| * | Qlik Technologies Inc. | 829,028 | 25,609 |
| DST Systems Inc. | 269,401 | 25,364 | |
| * | Euronet Worldwide Inc. | 459,540 | 25,229 |
| * | Zillow Inc. Class A | 237,861 | 25,187 |
| * | Microsemi Corp. | 879,451 | 24,959 |
| * | ViaSat Inc. | 395,914 | 24,954 |
| Leidos Holdings Inc. | 573,389 | 24,954 | |
| * | IPG Photonics Corp. | 326,808 | 24,484 |
| * | HomeAway Inc. | 805,488 | 23,987 |
| Lexmark International Inc. Class A | 574,104 | 23,693 | |
| * | Synaptics Inc. | 338,606 | 23,310 |
| *,^ | Freescale Semiconductor Ltd. | 923,800 | 23,307 |
| * | Tech Data Corp. | 352,404 | 22,283 |
| * | Anixter International Inc. | 250,748 | 22,181 |
| * | Take-Two Interactive Software Inc. | 773,048 | 21,669 |
| Fair Isaac Corp. | 296,367 | 21,427 | |
| * | ACI Worldwide Inc. | 1,056,180 | 21,303 |
| Booz Allen Hamilton Holding Corp. | 792,941 | 21,037 | |
| Plantronics Inc. | 395,265 | 20,957 | |
| * | EchoStar Corp. Class A | 395,731 | 20,776 |
| Diebold Inc. | 595,366 | 20,623 | |
| * | CommVault Systems Inc. | 395,338 | 20,435 |
| Littelfuse Inc. | 207,893 | 20,097 | |
| SYNNEX Corp. | 256,438 | 20,043 | |
| * | Rovi Corp. | 873,879 | 19,741 |
| Mentor Graphics Corp. | 897,622 | 19,676 | |
| * | Spansion Inc. Class A | 569,177 | 19,477 |
| Cypress Semiconductor Corp. | 1,361,180 | 19,438 | |
| * | Ciena Corp. | 982,537 | 19,071 |
| Convergys Corp. | 932,410 | 18,993 | |
| * | CACI International Inc. Class A | 218,373 | 18,819 |
| * | Fairchild Semiconductor International Inc. Class A | 1,107,519 | 18,695 |
| Science Applications International Corp. | 373,200 | 18,485 | |
| * | Electronics For Imaging Inc. | 431,429 | 18,478 |
| * | Knowles Corp. | 783,516 | 18,452 |
| Blackbaud Inc. | 426,030 | 18,430 | |
| * | Aruba Networks Inc. | 1,005,177 | 18,274 |
| InterDigital Inc. | 342,674 | 18,127 | |
41
| Vanguard® Extended Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Dealertrack Technologies Inc. | 407,284 | 18,047 |
| * | Sanmina Corp. | 762,596 | 17,944 |
| Heartland Payment Systems Inc. | 331,876 | 17,905 | |
| MKS Instruments Inc. | 489,194 | 17,905 | |
| * | Finisar Corp. | 917,965 | 17,818 |
| Vishay Intertechnology Inc. | 1,252,944 | 17,729 | |
| * | Blackhawk Network Holdings Inc. Class B | 462,165 | 17,419 |
| Dolby Laboratories Inc. Class A | 403,529 | 17,400 | |
| * | CommScope Holding Co. Inc. | 759,293 | 17,335 |
| Intersil Corp. Class A | 1,195,127 | 17,293 | |
| * | Silicon Laboratories Inc. | 361,246 | 17,203 |
| * | Semtech Corp. | 621,651 | 17,139 |
| * | Polycom Inc. | 1,262,771 | 17,047 |
| * | Entegris Inc. | 1,286,520 | 16,995 |
| * | Infinera Corp. | 1,149,613 | 16,922 |
| * | Demandware Inc. | 293,145 | 16,868 |
| * | PMC-Sierra Inc. | 1,819,686 | 16,668 |
| Monolithic Power Systems Inc. | 331,891 | 16,508 | |
| * | Zynga Inc. Class A | 6,034,721 | 16,052 |
| * | Cardtronics Inc. | 410,143 | 15,823 |
| * | Cornerstone OnDemand Inc. | 442,946 | 15,592 |
| * | Envestnet Inc. | 314,738 | 15,466 |
| Tessera Technologies Inc. | 430,957 | 15,411 | |
| *,^ | Advanced Micro Devices Inc. | 5,770,916 | 15,408 |
| * | Itron Inc. | 362,274 | 15,321 |
| * | Proofpoint Inc. | 311,009 | 15,000 |
| * | Trulia Inc. | 318,791 | 14,674 |
| * | comScore Inc. | 315,377 | 14,643 |
| * | Acxiom Corp. | 711,939 | 14,431 |
| * | NeuStar Inc. Class A | 517,362 | 14,383 |
| Power Integrations Inc. | 277,737 | 14,370 | |
| * | Coherent Inc. | 229,914 | 13,960 |
| * | Synchronoss Technologies Inc. | 330,650 | 13,841 |
| * | Unisys Corp. | 467,304 | 13,776 |
| * | Rogers Corp. | 168,481 | 13,721 |
| * | OmniVision Technologies Inc. | 527,492 | 13,715 |
| * | Cirrus Logic Inc. | 579,335 | 13,655 |
| EVERTEC Inc. | 616,458 | 13,642 | |
| * | MicroStrategy Inc. Class A | 83,460 | 13,554 |
| * | Cray Inc. | 375,393 | 12,944 |
| * | iGATE Corp. | 327,467 | 12,928 |
| * | Veeco Instruments Inc. | 370,578 | 12,926 |
| * | WebMD Health Corp. | 325,139 | 12,859 |
| Methode Electronics Inc. | 352,103 | 12,855 | |
| * | Plexus Corp. | 311,522 | 12,838 |
| * | Syntel Inc. | 285,350 | 12,835 |
| * | Benchmark Electronics Inc. | 497,064 | 12,645 |
| * | Progress Software Corp. | 467,417 | 12,630 |
| * | NetScout Systems Inc. | 344,513 | 12,589 |
| * | TiVo Inc. | 1,060,788 | 12,560 |
| Advent Software Inc. | 409,082 | 12,534 | |
| *,^ | SunPower Corp. Class A | 471,491 | 12,179 |
| * | OSI Systems Inc. | 171,792 | 12,158 |
| * | NETGEAR Inc. | 331,626 | 11,799 |
| * | Rambus Inc. | 1,054,939 | 11,699 |
| *,^ | InvenSense Inc. | 686,761 | 11,167 |
| * | Super Micro Computer Inc. | 320,123 | 11,166 |
| * | LogMeIn Inc. | 224,101 | 11,057 |
| ADTRAN Inc. | 505,290 | 11,015 | |
| * | QLogic Corp. | 811,780 | 10,813 |
| * | Constant Contact Inc. | 292,211 | 10,724 |
| * | ScanSource Inc. | 263,372 | 10,577 |
| * | RealPage Inc. | 481,073 | 10,564 |
| MTS Systems Corp. | 139,754 | 10,486 | |
42
| Vanguard® Extended Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| *,^ | Universal Display Corp. | 377,324 | 10,471 |
| Monotype Imaging Holdings Inc. | 361,832 | 10,432 | |
| * | Cabot Microelectronics Corp. | 219,723 | 10,397 |
| * | Virtusa Corp. | 246,746 | 10,282 |
| * | EPAM Systems Inc. | 214,787 | 10,256 |
| * | Kulicke & Soffa Industries Inc. | 707,395 | 10,229 |
| * | Imperva Inc. | 205,251 | 10,146 |
| * | Ellie Mae Inc. | 250,900 | 10,116 |
| NIC Inc. | 560,115 | 10,076 | |
| * | FARO Technologies Inc. | 159,245 | 9,981 |
| * | Shutterstock Inc. | 143,371 | 9,907 |
| * | Insight Enterprises Inc. | 378,276 | 9,794 |
| * | Infoblox Inc. | 468,330 | 9,465 |
| * | Diodes Inc. | 338,390 | 9,329 |
| *,^ | VASCO Data Security International Inc. | 328,014 | 9,253 |
| * | FireEye Inc. | 288,811 | 9,121 |
| * | Web.com Group Inc. | 480,273 | 9,120 |
| * | Sonus Networks Inc. | 2,277,231 | 9,041 |
| * | Digital River Inc. | 361,496 | 8,940 |
| * | Sykes Enterprises Inc. | 378,609 | 8,886 |
| * | Bottomline Technologies de Inc. | 351,246 | 8,879 |
| Badger Meter Inc. | 147,259 | 8,740 | |
| Brooks Automation Inc. | 681,607 | 8,690 | |
| * | Advanced Energy Industries Inc. | 363,521 | 8,615 |
| * | Marketo Inc. | 261,253 | 8,548 |
| * | SPS Commerce Inc. | 149,673 | 8,476 |
| * | ExlService Holdings Inc. | 293,492 | 8,426 |
| * | Rofin-Sinar Technologies Inc. | 288,046 | 8,287 |
| * | BroadSoft Inc. | 283,668 | 8,232 |
| *,^ | Gogo Inc. | 495,067 | 8,183 |
| CSG Systems International Inc. | 320,308 | 8,030 | |
| * | Stamps.com Inc. | 166,445 | 7,988 |
| * | Lattice Semiconductor Corp. | 1,112,556 | 7,666 |
| *,^ | Eastman Kodak Co. | 352,045 | 7,643 |
| Micrel Inc. | 524,278 | 7,607 | |
| * | II-VI Inc. | 552,494 | 7,542 |
| * | Newport Corp. | 394,303 | 7,535 |
| ManTech International Corp. Class A | 247,530 | 7,483 | |
| * | Amkor Technology Inc. | 1,051,542 | 7,466 |
| * | Callidus Software Inc. | 451,039 | 7,365 |
| * | Interactive Intelligence Group Inc. | 153,566 | 7,356 |
| * | Actua Corp. | 397,309 | 7,338 |
| * | Harmonic Inc. | 1,044,625 | 7,323 |
| * | LivePerson Inc. | 512,540 | 7,227 |
| ^ | Ubiquiti Networks Inc. | 243,758 | 7,225 |
| Sabre Corp. | 351,705 | 7,129 | |
| AVX Corp. | 508,375 | 7,117 | |
| Pegasystems Inc. | 342,506 | 7,114 | |
| CTS Corp. | 387,372 | 6,907 | |
| * | PROS Holdings Inc. | 244,775 | 6,726 |
| * | Bankrate Inc. | 536,456 | 6,668 |
| Epiq Systems Inc. | 374,552 | 6,397 | |
| * | Checkpoint Systems Inc. | 454,595 | 6,242 |
| * | Ixia | 551,646 | 6,206 |
| * | Endurance International Group Holdings Inc. | 327,089 | 6,028 |
| * | Ruckus Wireless Inc. | 500,960 | 6,022 |
| Comtech Telecommunications Corp. | 189,393 | 5,970 | |
| * | Perficient Inc. | 319,047 | 5,944 |
| * | DTS Inc. | 192,453 | 5,918 |
| * | CalAmp Corp. | 323,336 | 5,917 |
| * | Qualys Inc. | 152,150 | 5,744 |
| ^ | Ebix Inc. | 338,057 | 5,744 |
| * | XO Group Inc. | 314,535 | 5,728 |
| * | Exar Corp. | 561,348 | 5,726 |
43
| Vanguard® Extended Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Blucora Inc. | 413,293 | 5,724 |
| Forrester Research Inc. | 139,359 | 5,485 | |
| Park Electrochemical Corp. | 217,175 | 5,414 | |
| * | TeleTech Holdings Inc. | 224,773 | 5,323 |
| * | Emulex Corp. | 929,605 | 5,271 |
| * | Ultratech Inc. | 282,669 | 5,246 |
| * | Nimble Storage Inc. | 189,435 | 5,209 |
| * | Silicon Image Inc. | 942,120 | 5,201 |
| * | Monster Worldwide Inc. | 1,116,062 | 5,156 |
| * | RealD Inc. | 433,804 | 5,119 |
| Daktronics Inc. | 408,892 | 5,115 | |
| * | FormFactor Inc. | 582,326 | 5,008 |
| * | Dice Holdings Inc. | 494,698 | 4,952 |
| Cass Information Systems Inc. | 91,782 | 4,887 | |
| * | Applied Micro Circuits Corp. | 739,642 | 4,822 |
| * | Global Cash Access Holdings Inc. | 669,079 | 4,784 |
| *,^ | Textura Corp. | 166,110 | 4,729 |
| EarthLink Holdings Corp. | 1,062,485 | 4,664 | |
| * | Internap Corp. | 577,057 | 4,593 |
| * | GrubHub Inc. | 126,157 | 4,582 |
| * | Xcerra Corp. | 490,444 | 4,492 |
| * | CEVA Inc. | 245,961 | 4,462 |
| IXYS Corp. | 352,624 | 4,443 | |
| * | Photronics Inc. | 530,123 | 4,405 |
| * | Mercury Systems Inc. | 310,026 | 4,316 |
| Integrated Silicon Solution Inc. | 258,199 | 4,278 | |
| * | Fabrinet | 240,552 | 4,267 |
| Black Box Corp. | 175,293 | 4,190 | |
| * | Comverse Inc. | 222,452 | 4,178 |
| * | Quantum Corp. | 2,367,129 | 4,166 |
| * | Xoom Corp. | 234,541 | 4,107 |
| * | Tangoe Inc. | 313,776 | 4,089 |
| * | Cvent Inc. | 145,077 | 4,039 |
| * | TTM Technologies Inc. | 535,694 | 4,034 |
| * | Intralinks Holdings Inc. | 329,320 | 3,919 |
| * | Silicon Graphics International Corp. | 341,851 | 3,890 |
| * | Pericom Semiconductor Corp. | 286,946 | 3,885 |
| * | EnerNOC Inc. | 241,181 | 3,726 |
| * | ShoreTel Inc. | 504,865 | 3,711 |
| * | Inphi Corp. | 198,862 | 3,675 |
| * | Actuate Corp. | 556,530 | 3,673 |
| * | Rudolph Technologies Inc. | 347,054 | 3,550 |
| * | ChannelAdvisor Corp. | 159,106 | 3,434 |
| * | SciQuest Inc. | 237,145 | 3,427 |
| * | Glu Mobile Inc. | 872,040 | 3,401 |
| * | Calix Inc. | 338,910 | 3,396 |
| * | DSP Group Inc. | 307,008 | 3,337 |
| * | PDF Solutions Inc. | 222,210 | 3,302 |
| * | NVE Corp. | 45,938 | 3,252 |
| * | Bazaarvoice Inc. | 399,608 | 3,213 |
| * | Nanometrics Inc. | 187,385 | 3,152 |
| * | Agilysys Inc. | 247,967 | 3,122 |
| * | Extreme Networks Inc. | 882,259 | 3,114 |
| Cohu Inc. | 255,287 | 3,038 | |
| * | GSI Group Inc. | 197,522 | 2,908 |
| PC Connection Inc. | 117,796 | 2,892 | |
| * | Lionbridge Technologies Inc. | 502,513 | 2,889 |
| * | ServiceSource International Inc. | 577,066 | 2,701 |
| * | Kimball Electronics Inc. | 220,005 | 2,644 |
| * | M/A-COM Technology Solutions Holdings Inc. | 83,816 | 2,622 |
| * | ePlus Inc. | 34,408 | 2,604 |
| * | Maxwell Technologies Inc. | 284,279 | 2,593 |
| * | Immersion Corp. | 272,870 | 2,584 |
| * | Dot Hill Systems Corp. | 573,857 | 2,536 |
44
| Vanguard® Extended Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Electro Scientific Industries Inc. | 325,266 | 2,524 | |
| Electro Rent Corp. | 178,818 | 2,511 | |
| Reis Inc. | 94,017 | 2,460 | |
| *,^ | TrueCar Inc. | 107,323 | 2,458 |
| * | Sigma Designs Inc. | 331,915 | 2,456 |
| * | Angie's List Inc. | 391,541 | 2,439 |
| * | MoneyGram International Inc. | 266,133 | 2,419 |
| * | Kopin Corp. | 645,886 | 2,338 |
| *,^ | VirnetX Holding Corp. | 423,113 | 2,323 |
| * | Entropic Communications Inc. | 908,602 | 2,299 |
| * | Ultra Clean Holdings Inc. | 247,194 | 2,294 |
| * | Violin Memory Inc. | 478,121 | 2,290 |
| * | Datalink Corp. | 175,505 | 2,264 |
| * | Digi International Inc. | 243,062 | 2,258 |
| *,^ | Rocket Fuel Inc. | 139,282 | 2,245 |
| * | Ciber Inc. | 628,858 | 2,232 |
| American Software Inc. Class A | 242,654 | 2,211 | |
| * | ModusLink Global Solutions Inc. | 586,391 | 2,199 |
| * | Limelight Networks Inc. | 791,186 | 2,192 |
| * | Gigamon Inc. | 123,311 | 2,186 |
| * | Axcelis Technologies Inc. | 849,301 | 2,174 |
| * | Vishay Precision Group Inc. | 126,545 | 2,172 |
| * | Oclaro Inc. | 1,212,363 | 2,158 |
| *,^ | Barracuda Networks Inc. | 57,800 | 2,072 |
| * | Liquidity Services Inc. | 252,163 | 2,060 |
| Bel Fuse Inc. Class B | 75,106 | 2,053 | |
| Hackett Group Inc. | 233,554 | 2,053 | |
| * | Carbonite Inc. | 143,627 | 2,050 |
| * | PFSweb Inc. | 159,225 | 2,016 |
| * | Zix Corp. | 559,817 | 2,015 |
| * | United Online Inc. | 134,073 | 1,951 |
| * | QuinStreet Inc. | 315,600 | 1,916 |
| * | Procera Networks Inc. | 264,825 | 1,904 |
| * | PRGX Global Inc. | 332,187 | 1,900 |
| * | Intevac Inc. | 240,318 | 1,867 |
| * | Zendesk Inc. | 76,611 | 1,867 |
| * | Jive Software Inc. | 307,345 | 1,853 |
| * | Kemet Corp. | 436,908 | 1,835 |
| * | Seachange International Inc. | 278,814 | 1,779 |
| * | Brightcove Inc. | 227,483 | 1,770 |
| * | KVH Industries Inc. | 137,484 | 1,739 |
| * | Benefitfocus Inc. | 52,421 | 1,722 |
| Mesa Laboratories Inc. | 22,190 | 1,716 | |
| * | TeleCommunication Systems Inc. Class A | 544,525 | 1,699 |
| * | Mattson Technology Inc. | 490,655 | 1,668 |
| * | RealNetworks Inc. | 232,399 | 1,636 |
| QAD Inc. Class A | 71,655 | 1,621 | |
| Digimarc Corp. | 58,171 | 1,579 | |
| * | Rally Software Development Corp. | 136,727 | 1,555 |
| Alliance Fiber Optic Products Inc. | 106,089 | 1,539 | |
| * | MaxLinear Inc. | 202,258 | 1,499 |
| *,^ | QuickLogic Corp. | 471,825 | 1,482 |
| * | Multi-Fineline Electronix Inc. | 129,849 | 1,458 |
| * | Planar Systems Inc. | 172,869 | 1,447 |
| * | NAPCO Security Technologies Inc. | 305,202 | 1,434 |
| * | Rosetta Stone Inc. | 146,497 | 1,430 |
| * | Support.com Inc. | 651,741 | 1,375 |
| Computer Task Group Inc. | 144,149 | 1,374 | |
| * | E2open Inc. | 142,615 | 1,371 |
| * | Guidance Software Inc. | 188,957 | 1,370 |
| Tessco Technologies Inc. | 47,069 | 1,365 | |
| * | Telenav Inc. | 203,903 | 1,360 |
| MOCON Inc. | 75,913 | 1,354 | |
| * | Higher One Holdings Inc. | 320,088 | 1,348 |
45
| Vanguard® Extended Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Unwired Planet Inc. | 1,346,657 | 1,347 |
| * | Silver Spring Networks Inc. | 159,479 | 1,344 |
| * | Autobytel Inc. | 116,348 | 1,268 |
| Marchex Inc. Class B | 274,880 | 1,262 | |
| * | GTT Communications Inc. | 93,403 | 1,236 |
| *,^ | Neonode Inc. | 365,294 | 1,235 |
| * | PCM Inc. | 128,872 | 1,227 |
| *,^ | Research Frontiers Inc. | 237,493 | 1,216 |
| * | AXT Inc. | 431,361 | 1,208 |
| * | Key Tronic Corp. | 150,358 | 1,194 |
| * | Qumu Corp. | 86,341 | 1,180 |
| * | Paycom Software Inc. | 44,794 | 1,179 |
| * | Aviat Networks Inc. | 766,854 | 1,150 |
| * | Vitesse Semiconductor Corp. | 303,915 | 1,149 |
| * | Amtech Systems Inc. | 113,179 | 1,149 |
| * | Information Services Group Inc. | 271,734 | 1,147 |
| * | Rubicon Project Inc. | 71,009 | 1,146 |
| * | Speed Commerce Inc. | 365,344 | 1,129 |
| * | EMCORE Corp. | 210,895 | 1,118 |
| PC-Tel Inc. | 127,959 | 1,108 | |
| Richardson Electronics Ltd. | 109,640 | 1,096 | |
| Evolving Systems Inc. | 116,792 | 1,094 | |
| * | Numerex Corp. Class A | 97,868 | 1,082 |
| Astro-Med Inc. | 65,498 | 1,081 | |
| * | Cascade Microtech Inc. | 73,807 | 1,078 |
| * | Rubicon Technology Inc. | 232,460 | 1,062 |
| * | Mitek Systems Inc. | 319,044 | 1,056 |
| Aware Inc. | 231,356 | 1,050 | |
| * | iPass Inc. | 758,383 | 1,039 |
| * | Clearfield Inc. | 83,727 | 1,031 |
| *,^ | Park City Group Inc. | 114,184 | 1,030 |
| Communications Systems Inc. | 94,152 | 1,006 | |
| * | Frequency Electronics Inc. | 86,835 | 993 |
| * | Travelzoo Inc. | 75,878 | 958 |
| * | Covisint Corp. | 352,921 | 935 |
| *,^ | CVD Equipment Corp. | 61,399 | 884 |
| * | BSQUARE Corp. | 190,233 | 866 |
| *,^ | ParkerVision Inc. | 926,168 | 843 |
| * | Pixelworks Inc. | 183,217 | 835 |
| * | ID Systems Inc. | 124,524 | 833 |
| * | LRAD Corp. | 295,952 | 799 |
| * | MoSys Inc. | 420,878 | 787 |
| * | Mattersight Corp. | 122,051 | 763 |
| * | Varonis Systems Inc. | 22,294 | 732 |
| * | Hutchinson Technology Inc. | 208,017 | 728 |
| * | Applied Optoelectronics Inc. | 63,312 | 710 |
| * | Everyday Health Inc. | 48,108 | 710 |
| * | Innodata Inc. | 241,360 | 705 |
| TransAct Technologies Inc. | 130,847 | 703 | |
| * | CyberOptics Corp. | 70,691 | 679 |
| * | Millennial Media Inc. | 421,971 | 675 |
| * | eGain Corp. | 127,958 | 663 |
| * | PAR Technology Corp. | 106,779 | 657 |
| * | Mandalay Digital Group Inc. | 194,503 | 648 |
| * | FalconStor Software Inc. | 479,441 | 642 |
| * | WidePoint Corp. | 464,668 | 641 |
| * | ANADIGICS Inc. | 853,426 | 640 |
| * | Meru Networks Inc. | 169,579 | 638 |
| * | Marin Software Inc. | 75,086 | 635 |
| * | Model N Inc. | 58,736 | 624 |
| * | Radisys Corp. | 265,976 | 622 |
| *,^ | TubeMogul Inc. | 27,474 | 620 |
| * | Data I/O Corp. | 180,066 | 614 |
| * | Datawatch Corp. | 68,185 | 613 |
46
| Vanguard® Extended Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Wireless Telecom Group Inc. | 231,511 | 607 |
| * | Westell Technologies Inc. Class A | 393,529 | 590 |
| * | Mavenir Systems Inc. | 43,399 | 588 |
| * | Novatel Wireless Inc. | 182,501 | 588 |
| * | GSI Technology Inc. | 117,712 | 587 |
| * | Identiv Inc. | 41,847 | 581 |
| * | Uni-Pixel Inc. | 99,098 | 564 |
| Perceptron Inc. | 56,442 | 562 | |
| TheStreet Inc. | 234,379 | 558 | |
| * | NCI Inc. Class A | 53,678 | 548 |
| * | Onvia Inc. | 108,483 | 545 |
| * | Imation Corp. | 142,614 | 541 |
| * | Echelon Corp. | 317,164 | 539 |
| *,^ | MeetMe Inc. | 349,646 | 535 |
| * | Demand Media Inc. | 86,415 | 529 |
| * | Rightside Group Ltd. | 78,437 | 527 |
| Optical Cable Corp. | 112,873 | 511 | |
| * | HubSpot Inc. | 14,784 | 497 |
| *,^ | MicroVision Inc. | 276,121 | 480 |
| * | Alpha & Omega Semiconductor Ltd. | 53,897 | 477 |
| CSP Inc. | 63,018 | 466 | |
| * | CUI Global Inc. | 62,540 | 466 |
| * | StarTek Inc. | 46,382 | 452 |
| * | ClearSign Combustion Corp. | 61,192 | 449 |
| * | Q2 Holdings Inc. | 23,724 | 447 |
| *,^ | Crossroads Systems Inc. | 177,804 | 445 |
| * | IEC Electronics Corp. | 91,854 | 436 |
| * | Zhone Technologies Inc. | 243,450 | 431 |
| * | Edgewater Technology Inc. | 57,296 | 430 |
| * | TechTarget Inc. | 35,537 | 404 |
| * | Spark Networks Inc. | 111,451 | 400 |
| Concurrent Computer Corp. | 56,068 | 398 | |
| *,^ | Local Corp. | 381,029 | 396 |
| *,^ | Vringo Inc. | 709,257 | 390 |
| ClearOne Inc. | 39,581 | 382 | |
| * | Amber Road Inc. | 36,939 | 378 |
| * | BTU International Inc. | 113,437 | 373 |
| * | USA Technologies Inc. | 224,667 | 362 |
| * | Planet Payment Inc. | 172,122 | 358 |
| * | NeoPhotonics Corp. | 97,851 | 331 |
| * | A10 Networks Inc. | 74,973 | 327 |
| *,^ | Digital Ally Inc. | 21,121 | 324 |
| * | Tremor Video Inc. | 111,630 | 320 |
| * | GSE Systems Inc. | 200,594 | 319 |
| * | Aerohive Networks Inc. | 66,330 | 318 |
| *,^ | Wave Systems Corp. Class A | 395,991 | 317 |
| * | Care.com Inc. | 37,577 | 311 |
| * | LoJack Corp. | 117,277 | 297 |
| * | Viasystems Group Inc. | 18,153 | 296 |
| *,^ | Cyan Inc. | 115,609 | 289 |
| * | STR Holdings Inc. | 209,439 | 287 |
| QAD Inc. Class B | 14,091 | 281 | |
| * | OPOWER Inc. | 19,571 | 278 |
| * | Energous Corp. | 25,241 | 277 |
| * | Internet Patents Corp. | 100,800 | 276 |
| * | InterCloud Systems Inc. | 93,602 | 273 |
| * | Audience Inc. | 61,861 | 272 |
| * | Lantronix Inc. | 140,011 | 265 |
| * | Hortonworks Inc. | 9,267 | 250 |
| * | Borderfree Inc. | 27,256 | 244 |
| * | Inuvo Inc. | 187,710 | 244 |
| * | YuMe Inc. | 47,887 | 241 |
| * | Netlist Inc. | 329,552 | 241 |
| ^ | LiveDeal Inc. | 74,589 | 234 |
47
| Vanguard® Extended Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Sonic Foundry Inc. | 29,544 | 226 |
| * | NetSol Technologies Inc. | 53,862 | 225 |
| * | BroadVision Inc. | 37,841 | 224 |
| GlobalSCAPE Inc. | 99,732 | 221 | |
| * | LendingClub Corp. | 8,413 | 213 |
| * | Ikanos Communications Inc. | 672,929 | 209 |
| *,^ | Infosonics Corp. | 187,832 | 205 |
| * | Video Display Corp. | 71,008 | 204 |
| * | eMagin Corp. | 85,535 | 197 |
| * | Yodlee Inc. | 14,526 | 177 |
| * | LGL Group Inc. | 47,780 | 171 |
| * | Acorn Energy Inc. | 208,597 | 161 |
| *,^ | Document Security Systems Inc. | 357,332 | 161 |
| * | Asure Software Inc. | 27,280 | 150 |
| * | Envivio Inc. | 111,337 | 149 |
| * | RELM Wireless Corp. | 30,280 | 145 |
| Bel Fuse Inc. Class A | 5,719 | 139 | |
| * | Selectica Inc. | 25,943 | 134 |
| *,^ | Superconductor Technologies Inc. | 46,993 | 130 |
| * | Synacor Inc. | 63,101 | 126 |
| * | Smith Micro Software Inc. | 127,109 | 123 |
| * | World Energy Solutions Inc. | 22,234 | 122 |
| * | Five9 Inc. | 27,121 | 122 |
| * | Crexendo Inc. | 65,793 | 121 |
| *,^ | Liquid Holdings Group Inc. | 372,019 | 117 |
| * | MobileIron Inc. | 10,900 | 109 |
| * | New Relic Inc. | 3,080 | 107 |
| * | Intellicheck Mobilisa Inc. | 35,937 | 106 |
| *,^ | Remark Media Inc. | 23,604 | 106 |
| * | Intermolecular Inc. | 53,527 | 103 |
| *,^ | Net Element Inc. | 90,748 | 103 |
| * | Exa Corp. | 8,623 | 102 |
| * | Blackhawk Network Holdings Inc. | 2,465 | 96 |
| * | TSR Inc. | 27,043 | 93 |
| * | GigOptix Inc. | 77,419 | 93 |
| * | Elecsys Corp. | 5,000 | 87 |
| RF Industries Ltd. | 20,988 | 85 | |
| *,^ | Ascent Solar Technologies Inc. | 74,938 | 80 |
| * | Interphase Corp. | 35,245 | 80 |
| *,^ | Viggle Inc. | 26,759 | 71 |
| * | Image Sensing Systems Inc. | 26,300 | 70 |
| * | ATRM Holdings Inc. | 21,572 | 67 |
| * | Bridgeline Digital Inc. | 144,377 | 66 |
| * | Resonant Inc. | 5,500 | 64 |
| * | Majesco Entertainment Co. | 49,677 | 63 |
| * | Iteris Inc. | 34,860 | 60 |
| * | xG Technology Inc. | 118,049 | 60 |
| * | LightPath Technologies Inc. Class A | 63,678 | 58 |
| * | inTEST Corp. | 12,602 | 54 |
| * | Looksmart Ltd. | 69,526 | 52 |
| * | SunEdison Semiconductor Ltd. | 2,600 | 48 |
| * | Xplore Technologies Corp. | 6,900 | 47 |
| Wayside Technology Group Inc. | 2,700 | 46 | |
| * | ChyronHego Corp. | 16,298 | 46 |
| * | Advanced Photonix Inc. Class A | 99,780 | 29 |
| * | Sysorex Global Holdings Corp. | 13,096 | 27 |
| * | Giga-tronics Inc. | 18,200 | 26 |
| * | Sevcon Inc. | 3,344 | 26 |
| * | ADDvantage Technologies Group Inc. | 10,200 | 25 |
| * | Daegis Inc. | 31,670 | 22 |
| * | Sutron Corp. | 3,900 | 19 |
| *,^ | WPCS International Inc. | 55,320 | 15 |
| * | SigmaTron International Inc. | 2,200 | 15 |
| * | TigerLogic Corp. | 31,880 | 14 |
48
| Vanguard® Extended Market Index Fund | ||
| Schedule of Investments | ||
| December 31, 2014 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Qualstar Corp. | 9,220 | 12 |
| * Cover-All Technologies Inc. | 9,331 | 12 |
| * Applied DNA Sciences Inc. | 4,017 | 12 |
| * Dataram Corp. | 6,475 | 11 |
| * NXT-ID Inc. | 4,800 | 11 |
| * Inventergy Global Inc. | 14,767 | 10 |
| Vicon Industries Inc. | 5,500 | 10 |
| * RMG Networks Holding Corp. | 7,500 | 9 |
| * Aehr Test Systems | 3,200 | 8 |
| * Voltari Corp. | 8,435 | 6 |
| * IntriCon Corp. | 400 | 3 |
| * LGL Group Inc. Warrants Exp. 06/8/2018 | 238,900 | 2 |
| * Glowpoint Inc. | 1,550 | 2 |
| * MAM Software Group Inc. | 200 | 1 |
| 6,647,557 | ||
| Materials (5.2%) | ||
| Celanese Corp. Class A | 1,412,131 | 84,671 |
| Rock-Tenn Co. Class A | 1,287,356 | 78,503 |
| Packaging Corp. of America | 906,195 | 70,729 |
| Ashland Inc. | 586,662 | 70,259 |
| * Crown Holdings Inc. | 1,279,284 | 65,116 |
| * WR Grace & Co. | 678,579 | 64,730 |
| RPM International Inc. | 1,229,817 | 62,364 |
| Valspar Corp. | 702,277 | 60,733 |
| Rockwood Holdings Inc. | 656,411 | 51,725 |
| Reliance Steel & Aluminum Co. | 718,150 | 44,001 |
| Steel Dynamics Inc. | 2,210,971 | 43,645 |
| Albemarle Corp. | 720,741 | 43,338 |
| Huntsman Corp. | 1,864,575 | 42,475 |
| Bemis Co. Inc. | 918,896 | 41,543 |
| * Graphic Packaging Holding Co. | 3,014,920 | 41,063 |
| Sonoco Products Co. | 937,322 | 40,961 |
| AptarGroup Inc. | 600,731 | 40,153 |
| NewMarket Corp. | 97,849 | 39,485 |
| Royal Gold Inc. | 600,048 | 37,623 |
| United States Steel Corp. | 1,336,668 | 35,743 |
| Eagle Materials Inc. | 462,410 | 35,157 |
| * Berry Plastics Group Inc. | 1,085,952 | 34,262 |
| PolyOne Corp. | 835,270 | 31,665 |
| Cytec Industries Inc. | 661,596 | 30,546 |
| Axiall Corp. | 646,890 | 27,473 |
| Compass Minerals International Inc. | 309,490 | 26,873 |
| Sensient Technologies Corp. | 444,178 | 26,802 |
| Cabot Corp. | 595,251 | 26,108 |
| Scotts Miracle-Gro Co. Class A | 411,913 | 25,670 |
| Carpenter Technology Corp. | 490,947 | 24,179 |
| Domtar Corp. | 599,368 | 24,107 |
| Westlake Chemical Corp. | 379,548 | 23,187 |
| KapStone Paper and Packaging Corp. | 776,232 | 22,751 |
| * Platform Specialty Products Corp. | 977,349 | 22,694 |
| Minerals Technologies Inc. | 317,860 | 22,075 |
| Silgan Holdings Inc. | 403,372 | 21,621 |
| * Louisiana-Pacific Corp. | 1,304,873 | 21,609 |
| HB Fuller Co. | 463,047 | 20,619 |
| Balchem Corp. | 282,014 | 18,793 |
| * Chemtura Corp. | 717,888 | 17,753 |
| Commercial Metals Co. | 1,085,908 | 17,689 |
| Olin Corp. | 724,765 | 16,503 |
| * Stillwater Mining Co. | 1,107,483 | 16,324 |
| * Resolute Forest Products Inc. | 872,947 | 15,373 |
| Greif Inc. Class A | 312,694 | 14,769 |
| Worthington Industries Inc. | 468,643 | 14,101 |
| * Boise Cascade Co. | 363,503 | 13,504 |
| Tronox Ltd. Class A | 559,889 | 13,370 |
49
| Vanguard® Extended Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| TimkenSteel Corp. | 351,713 | 13,024 | |
| US Silica Holdings Inc. | 496,016 | 12,743 | |
| * | Clearwater Paper Corp. | 182,786 | 12,530 |
| Schweitzer-Mauduit International Inc. | 281,410 | 11,904 | |
| Innophos Holdings Inc. | 201,724 | 11,791 | |
| Kaiser Aluminum Corp. | 164,902 | 11,779 | |
| SunCoke Energy Inc. | 607,045 | 11,740 | |
| * | Century Aluminum Co. | 474,630 | 11,581 |
| Quaker Chemical Corp. | 122,237 | 11,251 | |
| A Schulman Inc. | 269,909 | 10,939 | |
| * | Ferro Corp. | 801,914 | 10,393 |
| * | Calgon Carbon Corp. | 491,221 | 10,208 |
| Globe Specialty Metals Inc. | 591,706 | 10,195 | |
| * | Headwaters Inc. | 678,159 | 10,166 |
| PH Glatfelter Co. | 395,749 | 10,119 | |
| ^ | Cliffs Natural Resources Inc. | 1,412,619 | 10,086 |
| Innospec Inc. | 225,630 | 9,634 | |
| * | AK Steel Holding Corp. | 1,620,066 | 9,623 |
| Hecla Mining Co. | 3,387,143 | 9,450 | |
| Neenah Paper Inc. | 153,249 | 9,236 | |
| OM Group Inc. | 304,298 | 9,068 | |
| Rayonier Advanced Materials Inc. | 392,766 | 8,759 | |
| * | Flotek Industries Inc. | 462,225 | 8,657 |
| Materion Corp. | 232,820 | 8,202 | |
| Deltic Timber Corp. | 110,743 | 7,575 | |
| * | RTI International Metals Inc. | 295,386 | 7,461 |
| *,^ | Intrepid Potash Inc. | 526,369 | 7,306 |
| Stepan Co. | 180,798 | 7,246 | |
| * | Horsehead Holding Corp. | 454,977 | 7,202 |
| * | Kraton Performance Polymers Inc. | 312,478 | 6,496 |
| Haynes International Inc. | 127,042 | 6,162 | |
| * | LSB Industries Inc. | 194,832 | 6,126 |
| Wausau Paper Corp. | 533,874 | 6,070 | |
| Schnitzer Steel Industries Inc. | 250,787 | 5,658 | |
| Myers Industries Inc. | 315,544 | 5,554 | |
| Tredegar Corp. | 245,399 | 5,519 | |
| Koppers Holdings Inc. | 201,092 | 5,224 | |
| * | Coeur Mining Inc. | 994,138 | 5,080 |
| * | Advanced Emissions Solutions Inc. | 217,128 | 4,948 |
| * | Mercer International Inc. | 354,629 | 4,358 |
| Hawkins Inc. | 94,475 | 4,094 | |
| Zep Inc. | 261,028 | 3,955 | |
| * | OMNOVA Solutions Inc. | 480,975 | 3,915 |
| * | Senomyx Inc. | 569,966 | 3,426 |
| * | Axalta Coating Systems Ltd. | 120,925 | 3,146 |
| * | Handy & Harman Ltd. | 67,082 | 3,088 |
| Kronos Worldwide Inc. | 235,930 | 3,072 | |
| * | McEwen Mining Inc. | 2,647,418 | 2,939 |
| * | Landec Corp. | 212,082 | 2,929 |
| * | Rentech Inc. | 2,305,435 | 2,905 |
| American Vanguard Corp. | 248,876 | 2,892 | |
| * | US Concrete Inc. | 99,184 | 2,822 |
| FutureFuel Corp. | 197,910 | 2,577 | |
| * | AEP Industries Inc. | 43,386 | 2,523 |
| Noranda Aluminum Holding Corp. | 697,600 | 2,456 | |
| Olympic Steel Inc. | 135,283 | 2,405 | |
| Ampco-Pittsburgh Corp. | 102,101 | 1,965 | |
| * | Penford Corp. | 98,904 | 1,849 |
| *,^ | Molycorp Inc. | 1,813,512 | 1,597 |
| * | Universal Stainless & Alloy Products Inc. | 61,647 | 1,550 |
| Synalloy Corp. | 79,907 | 1,407 | |
| Chase Corp. | 37,017 | 1,332 | |
| United States Lime & Minerals Inc. | 18,246 | 1,329 | |
| * | AM Castle & Co. | 158,443 | 1,264 |
50
| Vanguard® Extended Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Gold Resource Corp. | 362,701 | 1,226 | |
| *,^ | Paramount Gold and Silver Corp. | 1,164,591 | 1,188 |
| * | Trecora Resources | 80,387 | 1,182 |
| KMG Chemicals Inc. | 47,649 | 953 | |
| ^ | Walter Energy Inc. | 613,801 | 847 |
| *,^ | Allied Nevada Gold Corp. | 952,866 | 829 |
| * | Core Molding Technologies Inc. | 58,807 | 820 |
| *,^ | Midway Gold Corp. | 921,833 | 682 |
| * | Codexis Inc. | 246,886 | 622 |
| * | Verso Paper Corp. | 149,390 | 512 |
| * | TOR Minerals International Inc. | 59,129 | 436 |
| * | General Moly Inc. | 730,378 | 416 |
| * | UFP Technologies Inc. | 16,226 | 399 |
| * | Solitario Exploration & Royalty Corp. | 381,460 | 351 |
| * | Marrone Bio Innovations Inc. | 80,632 | 291 |
| * | BioAmber Inc. | 33,616 | 282 |
| * | Comstock Mining Inc. | 364,066 | 277 |
| * | Trinseo SA | 14,500 | 253 |
| * | US Antimony Corp. | 181,971 | 127 |
| * | Mines Management Inc. | 200,193 | 94 |
| *,^ | Golden Minerals Co. | 173,261 | 94 |
| * | Silver Bull Resources Inc. | 463,119 | 69 |
| * | Ryerson Holding Corp. | 2,700 | 27 |
| * | Timberline Resources Corp. | 30,567 | 18 |
| * | Metabolix Inc. | 41,212 | 16 |
| * | ForceField Energy Inc. | 2,025 | 13 |
| * | Continental Materials Corp. | 600 | 10 |
| 2,108,971 | |||
| Other (0.0%) | |||
| * | Leap Wireless International Inc CVR | 524,960 | 1,323 |
| * | Furiex Pharmaceuticals Inc. CVR | 77,743 | 760 |
| * | Adolor Corp. Rights Exp. 07/01/2019 | 596,841 | 310 |
| * | Camco Financial Corp. Warrants Expire 11/06/2017 | 45,300 | 277 |
| * | Chelsea Therapeutics International Ltd. CVR Exp. 12/31/2016 | 912,063 | 100 |
| * | Southern Community Financial Corp | 182,721 | 40 |
| * | Cubist Pharmaceuticals, Inc. CVR | 178,549 | 23 |
| * | Ambit Biosciences Corp. CVR Rights | 22,388 | 14 |
| * | Forest Laboratories Inc. Contingent Value Rights Exp. 04/14/2018 | 131,308 | — |
| * | Gerber Scientific Inc. CVR | 161,151 | — |
| 2,847 | |||
| Telecommunication Services (1.0%) | |||
| * | SBA Communications Corp. Class A | 1,185,932 | 131,354 |
| * | T-Mobile US Inc. | 2,453,311 | 66,092 |
| * | Sprint Corp. | 7,268,620 | 30,165 |
| Telephone & Data Systems Inc. | 912,539 | 23,042 | |
| Cogent Communications Holdings Inc. | 396,042 | 14,016 | |
| Consolidated Communications Holdings Inc. | 431,941 | 12,021 | |
| Shenandoah Telecommunications Co. | 233,979 | 7,312 | |
| * | 8x8 Inc. | 781,178 | 7,156 |
| Atlantic Tele-Network Inc. | 103,921 | 7,024 | |
| * | Iridium Communications Inc. | 693,677 | 6,763 |
| Inteliquent Inc. | 338,543 | 6,646 | |
| * | Cincinnati Bell Inc. | 2,079,821 | 6,635 |
| *,^ | Globalstar Inc. | 2,362,369 | 6,496 |
| * | Vonage Holdings Corp. | 1,591,598 | 6,064 |
| * | United States Cellular Corp. | 148,890 | 5,930 |
| * | General Communication Inc. Class A | 403,999 | 5,555 |
| * | Premiere Global Services Inc. | 519,215 | 5,514 |
| Spok Holdings Inc. | 276,925 | 4,807 | |
| * | inContact Inc. | 487,168 | 4,282 |
| * | FairPoint Communications Inc. | 291,562 | 4,143 |
51
| Vanguard® Extended Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| IDT Corp. Class B | 187,310 | 3,804 | |
| Lumos Networks Corp. | 189,523 | 3,188 | |
| * | Intelsat SA | 169,565 | 2,944 |
| * | ORBCOMM Inc. | 398,999 | 2,609 |
| * | RingCentral Inc. Class A | 163,568 | 2,440 |
| * | Straight Path Communications Inc. Class B | 88,422 | 1,676 |
| * | Hawaiian Telcom Holdco Inc. | 51,855 | 1,430 |
| *,^ | Towerstream Corp. | 557,794 | 1,032 |
| * | Alaska Communications Systems Group Inc. | 504,171 | 902 |
| * | Boingo Wireless Inc. | 113,997 | 874 |
| NTELOS Holdings Corp. | 148,208 | 621 | |
| *,^ | Elephant Talk Communications Corp. | 687,554 | 572 |
| * | Alteva | 66,323 | 468 |
| 383,577 | |||
| Utilities (3.3%) | |||
| American Water Works Co. Inc. | 1,650,010 | 87,946 | |
| * | Calpine Corp. | 3,294,415 | 72,905 |
| Alliant Energy Corp. | 1,022,038 | 67,884 | |
| OGE Energy Corp. | 1,835,891 | 65,137 | |
| UGI Corp. | 1,588,521 | 60,332 | |
| ITC Holdings Corp. | 1,433,268 | 57,947 | |
| National Fuel Gas Co. | 774,927 | 53,881 | |
| Atmos Energy Corp. | 924,399 | 51,526 | |
| Westar Energy Inc. Class A | 1,199,963 | 49,486 | |
| Aqua America Inc. | 1,632,287 | 43,582 | |
| MDU Resources Group Inc. | 1,786,424 | 41,981 | |
| Questar Corp. | 1,616,023 | 40,853 | |
| Great Plains Energy Inc. | 1,420,360 | 40,352 | |
| Vectren Corp. | 760,129 | 35,141 | |
| Hawaiian Electric Industries Inc. | 945,500 | 31,655 | |
| IDACORP Inc. | 463,195 | 30,659 | |
| Cleco Corp. | 556,523 | 30,353 | |
| * | Dynegy Inc. | 950,977 | 28,862 |
| Piedmont Natural Gas Co. Inc. | 722,134 | 28,459 | |
| Portland General Electric Co. | 721,016 | 27,276 | |
| Southwest Gas Corp. | 428,834 | 26,506 | |
| WGL Holdings Inc. | 456,995 | 24,961 | |
| NorthWestern Corp. | 422,862 | 23,926 | |
| New Jersey Resources Corp. | 389,342 | 23,828 | |
| UIL Holdings Corp. | 521,456 | 22,704 | |
| Black Hills Corp. | 411,684 | 21,836 | |
| PNM Resources Inc. | 734,682 | 21,769 | |
| Laclede Group Inc. | 395,998 | 21,067 | |
| ONE Gas Inc. | 479,381 | 19,760 | |
| ALLETE Inc. | 351,546 | 19,384 | |
| Avista Corp. | 526,550 | 18,614 | |
| South Jersey Industries Inc. | 308,615 | 18,187 | |
| El Paso Electric Co. | 372,211 | 14,911 | |
| NRG Yield Inc. Class A | 313,517 | 14,779 | |
| MGE Energy Inc. | 319,939 | 14,592 | |
| American States Water Co. | 357,315 | 13,457 | |
| Northwest Natural Gas Co. | 250,643 | 12,507 | |
| Empire District Electric Co. | 400,190 | 11,902 | |
| California Water Service Group | 441,138 | 10,856 | |
| Otter Tail Corp. | 338,103 | 10,468 | |
| Pattern Energy Group Inc. Class A | 366,391 | 9,035 | |
| Chesapeake Utilities Corp. | 159,999 | 7,946 | |
| Ormat Technologies Inc. | 217,452 | 5,910 | |
| TerraForm Power Inc. Class A | 163,702 | 5,055 | |
| Unitil Corp. | 135,801 | 4,980 | |
| SJW Corp. | 152,258 | 4,891 | |
| Middlesex Water Co. | 169,726 | 3,914 | |
| Connecticut Water Service Inc. | 88,496 | 3,212 | |
| York Water Co. | 111,674 | 2,592 | |
52
| Vanguard® Extended Market Index Fund | |||||
| Schedule of Investments | |||||
| December 31, 2014 | |||||
| Market | |||||
| Value | |||||
| Shares | ($000) | ||||
| Artesian Resources Corp. Class A | 80,918 | 1,828 | |||
| Delta Natural Gas Co. Inc. | 76,021 | 1,615 | |||
| *,^ | Cadiz Inc. | 110,440 | 1,237 | ||
| * | Vivint Solar Inc. | 117,514 | 1,083 | ||
| Genie Energy Ltd. Class B | 158,862 | 982 | |||
| * | Pure Cycle Corp. | 163,339 | 653 | ||
| Gas Natural Inc. | 31,436 | 346 | |||
| * | US Geothermal Inc. | 596,977 | 275 | ||
| Spark Energy Inc. Class A | 4,322 | 61 | |||
| * | American DG Energy Inc. | 65,246 | 39 | ||
| 1,367,885 | |||||
| Total Common Stocks (Cost $29,071,282) | 40,911,377 | ||||
| Coupon | |||||
| Temporary Cash Investments (1.1%)1 | |||||
| Money Market Fund (1.1%) | |||||
| 2,3 | Vanguard Market Liquidity Fund | 0.126% | 436,998,584 | 436,999 | |
| Face | |||||
| Maturity | Amount | ||||
| Date | ($000) | ||||
| U.S. Government and Agency Obligations (0.0%) | |||||
| 4 | Federal Home Loan Bank Discount Notes | 0.095% | 2/27/15 | 2,000 | 1,999 |
| 4,5 | Federal Home Loan Bank Discount Notes | 0.100% | 4/24/15 | 2,700 | 2,699 |
| 5,6 | Freddie Mac Discount Notes | 0.120% | 4/14/15 | 10,000 | 9,998 |
| 14,696 | |||||
| Total Temporary Cash Investments (Cost $451,694) | 451,695 | ||||
| Total Investments (100.8%) (Cost $29,522,976) | 41,363,072 | ||||
| Other Assets and Liabilities—Net (-0.8%)3 | (310,864) | ||||
| Net Assets (100%) | 41,052,208 | ||||
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $314,997,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and 0.8%, respectively, of net
assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day
yield.
3 Includes $346,752,000 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 $5,699,000 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.
53
© 2015 The Vanguard Group, Inc. All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA980 022015
| Vanguard® Total Stock Market Index Fund | ||
| Schedule of Investments | ||
| December 31, 2014 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Common Stocks (99.4%)1 | ||
| Basic Materials (2.7%) | ||
| EI du Pont de Nemours & Co. | 15,268,674 | 1,128,966 |
| Dow Chemical Co. | 19,868,204 | 906,189 |
| Praxair Inc. | 4,911,215 | 636,297 |
| LyondellBasell Industries NV Class A | 6,749,123 | 535,813 |
| PPG Industries Inc. | 2,309,974 | 533,950 |
| Ecolab Inc. | 4,551,106 | 475,682 |
| Air Products & Chemicals Inc. | 3,240,556 | 467,385 |
| Freeport-McMoRan Inc. | 17,501,965 | 408,846 |
| International Paper Co. | 7,146,684 | 382,919 |
| Alcoa Inc. | 19,861,064 | 313,606 |
| Sigma-Aldrich Corp. | 2,005,635 | 275,313 |
| Nucor Corp. | 5,372,750 | 263,533 |
| Mosaic Co. | 5,419,046 | 247,379 |
| CF Industries Holdings Inc. | 836,536 | 227,990 |
| Eastman Chemical Co. | 2,252,042 | 170,840 |
| Newmont Mining Corp. | 8,390,527 | 158,581 |
| Celanese Corp. Class A | 2,602,251 | 156,031 |
| Ashland Inc. | 1,180,867 | 141,421 |
| International Flavors & Fragrances Inc. | 1,361,449 | 137,996 |
| CONSOL Energy Inc. | 3,876,724 | 131,072 |
| Airgas Inc. | 1,122,371 | 129,275 |
| FMC Corp. | 2,233,080 | 127,353 |
| * WR Grace & Co. | 1,187,954 | 113,319 |
| RPM International Inc. | 2,228,176 | 112,991 |
| Rockwood Holdings Inc. | 1,203,805 | 94,860 |
| Avery Dennison Corp. | 1,565,575 | 81,222 |
| Huntsman Corp. | 3,487,205 | 79,439 |
| Albemarle Corp. | 1,309,283 | 78,727 |
| Steel Dynamics Inc. | 3,835,739 | 75,717 |
| Reliance Steel & Aluminum Co. | 1,234,313 | 75,626 |
| NewMarket Corp. | 171,797 | 69,325 |
| Allegheny Technologies Inc. | 1,898,963 | 66,027 |
| United States Steel Corp. | 2,445,500 | 65,393 |
| Royal Gold Inc. | 1,036,428 | 64,984 |
| PolyOne Corp. | 1,545,322 | 58,583 |
| Cytec Industries Inc. | 1,207,663 | 55,758 |
| * Platform Specialty Products Corp. | 2,163,053 | 50,226 |
| Axiall Corp. | 1,180,494 | 50,136 |
| Sensient Technologies Corp. | 824,558 | 49,754 |
| Compass Minerals International Inc. | 561,437 | 48,750 |
| Domtar Corp. | 1,084,745 | 43,628 |
| KapStone Paper and Packaging Corp. | 1,470,510 | 43,101 |
| Cabot Corp. | 969,147 | 42,507 |
| Carpenter Technology Corp. | 848,344 | 41,781 |
| Westlake Chemical Corp. | 672,935 | 41,110 |
| Minerals Technologies Inc. | 579,741 | 40,263 |
| HB Fuller Co. | 840,650 | 37,434 |
| * Chemtura Corp. | 1,479,056 | 36,577 |
| * Polypore International Inc. | 752,639 | 35,412 |
| ^ Peabody Energy Corp. | 4,561,590 | 35,307 |
| Balchem Corp. | 515,338 | 34,342 |
| Commercial Metals Co. | 1,958,806 | 31,909 |
| Olin Corp. | 1,314,700 | 29,936 |
| * Stillwater Mining Co. | 2,001,761 | 29,506 |
| Worthington Industries Inc. | 870,974 | 26,208 |
| Tronox Ltd. Class A | 1,008,973 | 24,094 |
| US Silica Holdings Inc. | 905,207 | 23,255 |
| * Clearwater Paper Corp. | 322,455 | 22,104 |
| Kaiser Aluminum Corp. | 302,707 | 21,622 |
| Innophos Holdings Inc. | 364,834 | 21,325 |
| SunCoke Energy Inc. | 1,098,094 | 21,237 |
1
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Century Aluminum Co. | 824,721 | 20,123 |
| * | Resolute Forest Products Inc. | 1,135,217 | 19,991 |
| Quaker Chemical Corp. | 212,098 | 19,521 | |
| * | Ferro Corp. | 1,467,915 | 19,024 |
| A Schulman Inc. | 461,371 | 18,699 | |
| * | Calgon Carbon Corp. | 886,720 | 18,426 |
| PH Glatfelter Co. | 710,984 | 18,180 | |
| Globe Specialty Metals Inc. | 1,050,288 | 18,096 | |
| ^ | Cliffs Natural Resources Inc. | 2,459,579 | 17,561 |
| Hecla Mining Co. | 6,079,398 | 16,962 | |
| Innospec Inc. | 389,667 | 16,639 | |
| *,^ | AK Steel Holding Corp. | 2,779,618 | 16,511 |
| Neenah Paper Inc. | 273,767 | 16,500 | |
| Rayonier Advanced Materials Inc. | 713,994 | 15,922 | |
| OM Group Inc. | 530,490 | 15,809 | |
| *,^ | Intrepid Potash Inc. | 954,034 | 13,242 |
| * | Horsehead Holding Corp. | 836,067 | 13,235 |
| Deltic Timber Corp. | 190,691 | 13,043 | |
| * | RTI International Metals Inc. | 512,847 | 12,954 |
| Stepan Co. | 320,595 | 12,849 | |
| * | Kraton Performance Polymers Inc. | 542,497 | 11,278 |
| * | Cambrex Corp. | 494,064 | 10,682 |
| * | LSB Industries Inc. | 323,059 | 10,157 |
| Haynes International Inc. | 206,846 | 10,032 | |
| Tredegar Corp. | 435,359 | 9,791 | |
| * | Cloud Peak Energy Inc. | 1,030,718 | 9,462 |
| * | Westmoreland Coal Co. | 274,345 | 9,111 |
| * | Coeur Mining Inc. | 1,769,696 | 9,043 |
| Aceto Corp. | 410,824 | 8,915 | |
| Wausau Paper Corp. | 759,712 | 8,638 | |
| Koppers Holdings Inc. | 326,042 | 8,471 | |
| * | Veritiv Corp. | 134,708 | 6,987 |
| ^ | Arch Coal Inc. | 3,576,659 | 6,366 |
| *,^ | Alpha Natural Resources Inc. | 3,723,776 | 6,219 |
| Hawkins Inc. | 140,577 | 6,091 | |
| * | OMNOVA Solutions Inc. | 736,372 | 5,994 |
| Kronos Worldwide Inc. | 428,213 | 5,575 | |
| * | Axalta Coating Systems Ltd. | 209,621 | 5,454 |
| Zep Inc. | 354,147 | 5,365 | |
| FutureFuel Corp. | 364,958 | 4,752 | |
| American Vanguard Corp. | 405,034 | 4,706 | |
| * | Rentech Inc. | 3,635,640 | 4,581 |
| * | Senomyx Inc. | 718,131 | 4,316 |
| Chase Corp. | 99,106 | 3,567 | |
| *,^ | FMSA Holdings Inc. | 502,348 | 3,476 |
| * | Handy & Harman Ltd. | 71,880 | 3,309 |
| * | Penford Corp. | 161,162 | 3,012 |
| * | Universal Stainless & Alloy Products Inc. | 104,499 | 2,628 |
| Gold Resource Corp. | 776,670 | 2,625 | |
| Noranda Aluminum Holding Corp. | 736,263 | 2,592 | |
| *,^ | Uranium Energy Corp. | 1,458,689 | 2,553 |
| *,^ | Molycorp Inc. | 2,864,722 | 2,523 |
| Olympic Steel Inc. | 140,347 | 2,495 | |
| KMG Chemicals Inc. | 123,460 | 2,469 | |
| Ampco-Pittsburgh Corp. | 123,647 | 2,380 | |
| * | Ryerson Holding Corp. | 219,328 | 2,178 |
| Hallador Energy Co. | 194,631 | 2,143 | |
| *,^ | Paramount Gold and Silver Corp. | 2,041,606 | 2,082 |
| Synalloy Corp. | 109,367 | 1,926 | |
| *,^ | Midway Gold Corp. | 2,217,101 | 1,641 |
| ^ | Walter Energy Inc. | 1,120,894 | 1,547 |
| *,^ | Allied Nevada Gold Corp. | 1,572,228 | 1,368 |
| *,^ | Uranerz Energy Corp. | 1,117,645 | 1,252 |
| * | Northern Technologies International Corp. | 56,004 | 1,195 |
2
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| *,^ | Uni-Pixel Inc. | 186,960 | 1,064 |
| * | Verso Paper Corp. | 296,961 | 1,019 |
| * | Codexis Inc. | 391,190 | 986 |
| * | Marrone Bio Innovations Inc. | 258,764 | 934 |
| * | Comstock Mining Inc. | 1,062,313 | 807 |
| * | NL Industries Inc. | 92,843 | 798 |
| Friedman Industries Inc. | 86,825 | 609 | |
| * | General Moly Inc. | 1,063,451 | 606 |
| * | Solitario Exploration & Royalty Corp. | 536,555 | 494 |
| *,^ | Nova Lifestyle Inc. | 165,476 | 465 |
| *,^ | Uranium Resources Inc. | 243,444 | 453 |
| United-Guardian Inc. | 21,119 | 411 | |
| Empire Resources Inc. | 78,065 | 373 | |
| *,^ | Golden Minerals Co. | 688,429 | 372 |
| * | RevettMining Co. Inc. | 367,900 | 271 |
| * | Dynasil Corp. of America | 155,873 | 226 |
| *,^ | Metabolix Inc. | 444,498 | 178 |
| * | Ikonics Corp. | 6,410 | 89 |
| * | Mines Management Inc. | 186,423 | 88 |
| ^ | Centrus Energy Corp. Class A | 8,336 | 36 |
| * | TOR Minerals International Inc. | 2,580 | 19 |
| 10,494,464 | |||
| Consumer Goods (9.8%) | |||
| Procter & Gamble Co. | 45,564,549 | 4,150,475 | |
| Coca-Cola Co. | 66,452,452 | 2,805,622 | |
| PepsiCo Inc. | 25,238,328 | 2,386,536 | |
| Philip Morris International Inc. | 26,196,500 | 2,133,705 | |
| Altria Group Inc. | 33,336,366 | 1,642,483 | |
| NIKE Inc. Class B | 11,525,227 | 1,108,151 | |
| Colgate-Palmolive Co. | 15,384,518 | 1,064,455 | |
| Ford Motor Co. | 63,657,335 | 986,689 | |
| Mondelez International Inc. Class A | 26,902,398 | 977,230 | |
| Monsanto Co. | 8,154,846 | 974,259 | |
| General Motors Co. | 21,642,063 | 755,524 | |
| Kimberly-Clark Corp. | 6,271,473 | 724,606 | |
| Kraft Foods Group Inc. | 9,939,622 | 622,817 | |
| Archer-Daniels-Midland Co. | 10,846,620 | 564,024 | |
| Johnson Controls Inc. | 11,225,759 | 542,653 | |
| General Mills Inc. | 10,168,067 | 542,263 | |
| VF Corp. | 5,823,110 | 436,151 | |
| Lorillard Inc. | 6,060,528 | 381,450 | |
| Delphi Automotive plc | 4,990,560 | 362,913 | |
| Reynolds American Inc. | 5,377,902 | 345,638 | |
| Mead Johnson Nutrition Co. | 3,405,206 | 342,359 | |
| * | Tesla Motors Inc. | 1,476,848 | 328,466 |
| Estee Lauder Cos. Inc. Class A | 3,898,146 | 297,039 | |
| Kellogg Co. | 4,215,158 | 275,840 | |
| * | Monster Beverage Corp. | 2,542,222 | 275,450 |
| Keurig Green Mountain Inc. | 2,047,108 | 271,027 | |
| * | Constellation Brands Inc. Class A | 2,699,438 | 265,004 |
| Genuine Parts Co. | 2,440,754 | 260,111 | |
| ConAgra Foods Inc. | 7,131,608 | 258,735 | |
| Whirlpool Corp. | 1,309,690 | 253,739 | |
| Hershey Co. | 2,430,998 | 252,654 | |
| Stanley Black & Decker Inc. | 2,627,306 | 252,432 | |
| * | Michael Kors Holdings Ltd. | 3,292,409 | 247,260 |
| Harley-Davidson Inc. | 3,613,107 | 238,140 | |
| * | Electronic Arts Inc. | 4,990,080 | 234,609 |
| Dr Pepper Snapple Group Inc. | 3,259,825 | 233,664 | |
| Clorox Co. | 2,170,407 | 226,178 | |
| Bunge Ltd. | 2,322,446 | 211,134 | |
| BorgWarner Inc. | 3,832,258 | 210,583 | |
| Tyson Foods Inc. Class A | 5,144,008 | 206,223 | |
| * | Under Armour Inc. Class A | 2,962,084 | 201,125 |
3
| Vanguard® Total Stock Market Index Fund | ||
| Schedule of Investments | ||
| December 31, 2014 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * TRW Automotive Holdings Corp. | 1,861,383 | 191,443 |
| Ralph Lauren Corp. Class A | 1,022,341 | 189,297 |
| Hanesbrands Inc. | 1,680,941 | 187,627 |
| Molson Coors Brewing Co. Class B | 2,449,457 | 182,534 |
| PVH Corp. | 1,381,896 | 177,118 |
| Mattel Inc. | 5,692,954 | 176,168 |
| Church & Dwight Co. Inc. | 2,232,655 | 175,956 |
| Newell Rubbermaid Inc. | 4,598,387 | 175,153 |
| Coach Inc. | 4,618,494 | 173,471 |
| Activision Blizzard Inc. | 8,466,825 | 170,607 |
| Coca-Cola Enterprises Inc. | 3,719,132 | 164,460 |
| JM Smucker Co. | 1,628,601 | 164,456 |
| * Mohawk Industries Inc. | 1,040,573 | 161,663 |
| Brown-Forman Corp. Class B | 1,742,881 | 153,095 |
| Polaris Industries Inc. | 1,004,178 | 151,872 |
| Campbell Soup Co. | 3,422,836 | 150,605 |
| * Jarden Corp. | 3,068,843 | 146,936 |
| DR Horton Inc. | 5,510,350 | 139,357 |
| McCormick & Co. Inc. | 1,868,157 | 138,804 |
| Energizer Holdings Inc. | 1,041,619 | 133,911 |
| Snap-on Inc. | 974,464 | 133,248 |
| Lear Corp. | 1,342,636 | 131,686 |
| Goodyear Tire & Rubber Co. | 4,607,119 | 131,625 |
| * LKQ Corp. | 4,602,032 | 129,409 |
| Harman International Industries Inc. | 1,161,678 | 123,963 |
| PulteGroup Inc. | 5,654,998 | 121,356 |
| Lennar Corp. Class A | 2,652,578 | 118,862 |
| Leucadia National Corp. | 5,229,106 | 117,237 |
| Hormel Foods Corp. | 2,226,264 | 115,988 |
| Hasbro Inc. | 1,923,855 | 105,793 |
| Ingredion Inc. | 1,246,140 | 105,722 |
| * WABCO Holdings Inc. | 998,979 | 104,673 |
| * WhiteWave Foods Co. Class A | 2,933,544 | 102,645 |
| * Hain Celestial Group Inc. | 1,691,024 | 98,570 |
| Leggett & Platt Inc. | 2,304,232 | 98,183 |
| * Middleby Corp. | 962,579 | 95,392 |
| * Toll Brothers Inc. | 2,681,127 | 91,882 |
| * NVR Inc. | 67,367 | 85,915 |
| Gentex Corp. | 2,337,046 | 84,437 |
| * lululemon athletica Inc. | 1,438,298 | 80,243 |
| * Visteon Corp. | 748,510 | 79,986 |
| Brunswick Corp. | 1,547,580 | 79,329 |
| * Fossil Group Inc. | 690,655 | 76,483 |
| Carter's Inc. | 844,710 | 73,752 |
| Avon Products Inc. | 7,280,424 | 68,363 |
| * Kate Spade & Co. | 2,131,749 | 68,237 |
| Dana Holding Corp. | 2,847,165 | 61,897 |
| Flowers Foods Inc. | 2,987,939 | 57,339 |
| * TreeHouse Foods Inc. | 666,706 | 57,023 |
| * Tempur Sealy International Inc. | 1,022,353 | 56,137 |
| Pinnacle Foods Inc. | 1,572,504 | 55,509 |
| * Tenneco Inc. | 977,893 | 55,358 |
| * Deckers Outdoor Corp. | 550,089 | 50,080 |
| * Darling Ingredients Inc. | 2,738,075 | 49,723 |
| Scotts Miracle-Gro Co. Class A | 778,754 | 48,532 |
| Wolverine World Wide Inc. | 1,612,506 | 47,521 |
| Tupperware Brands Corp. | 735,202 | 46,318 |
| Pool Corp. | 713,978 | 45,295 |
| Thor Industries Inc. | 766,625 | 42,831 |
| * Boston Beer Co. Inc. Class A | 147,804 | 42,795 |
| ^ Herbalife Ltd. | 1,083,092 | 40,833 |
| ^ Nu Skin Enterprises Inc. Class A | 906,984 | 39,635 |
| * Skechers U.S.A. Inc. Class A | 711,086 | 39,287 |
| HNI Corp. | 750,553 | 38,323 |
4
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Take-Two Interactive Software Inc. | 1,352,536 | 37,912 |
| * | TRI Pointe Homes Inc. | 2,424,357 | 36,971 |
| * | Post Holdings Inc. | 845,001 | 35,397 |
| Spectrum Brands Holdings Inc. | 353,464 | 33,819 | |
| *,^ | GoPro Inc. Class A | 524,691 | 33,171 |
| * | G-III Apparel Group Ltd. | 325,265 | 32,855 |
| * | Zynga Inc. Class A | 12,180,475 | 32,400 |
| * | Steven Madden Ltd. | 1,004,963 | 31,988 |
| Lancaster Colony Corp. | 340,991 | 31,930 | |
| Cooper Tire & Rubber Co. | 889,797 | 30,831 | |
| * | Helen of Troy Ltd. | 453,311 | 29,492 |
| ^ | Sanderson Farms Inc. | 346,095 | 29,081 |
| Dean Foods Co. | 1,482,451 | 28,730 | |
| Ryland Group Inc. | 742,865 | 28,645 | |
| *,^ | Pilgrim's Pride Corp. | 871,682 | 28,582 |
| Vector Group Ltd. | 1,339,411 | 28,543 | |
| Snyder's-Lance Inc. | 918,956 | 28,074 | |
| J&J Snack Foods Corp. | 255,702 | 27,813 | |
| Herman Miller Inc. | 937,034 | 27,577 | |
| Coty Inc. Class A | 1,318,504 | 27,240 | |
| B&G Foods Inc. | 887,716 | 26,543 | |
| * | Iconix Brand Group Inc. | 767,054 | 25,919 |
| * | American Axle & Manufacturing Holdings Inc. | 1,147,037 | 25,912 |
| Fresh Del Monte Produce Inc. | 754,577 | 25,316 | |
| KB Home | 1,510,573 | 25,000 | |
| *,^ | Dorman Products Inc. | 511,750 | 24,702 |
| Steelcase Inc. Class A | 1,364,268 | 24,489 | |
| Andersons Inc. | 460,017 | 24,445 | |
| La-Z-Boy Inc. | 871,541 | 23,392 | |
| * | Select Comfort Corp. | 849,603 | 22,965 |
| * | Gentherm Inc. | 623,914 | 22,848 |
| * | TiVo Inc. | 1,925,999 | 22,804 |
| Columbia Sportswear Co. | 496,722 | 22,124 | |
| * | Tumi Holdings Inc. | 898,200 | 21,314 |
| * | Seaboard Corp. | 5,044 | 21,174 |
| * | Meritage Homes Corp. | 583,527 | 21,001 |
| Schweitzer-Mauduit International Inc. | 490,512 | 20,749 | |
| WD-40 Co. | 234,525 | 19,953 | |
| * | Drew Industries Inc. | 373,976 | 19,099 |
| Cal-Maine Foods Inc. | 475,883 | 18,574 | |
| * | Standard Pacific Corp. | 2,543,117 | 18,539 |
| * | Crocs Inc. | 1,449,372 | 18,103 |
| Interface Inc. Class A | 1,057,441 | 17,416 | |
| * | ACCO Brands Corp. | 1,890,945 | 17,037 |
| MDC Holdings Inc. | 643,405 | 17,031 | |
| ^ | Universal Corp. | 379,265 | 16,680 |
| Knoll Inc. | 763,614 | 16,166 | |
| * | Universal Electronics Inc. | 247,993 | 16,127 |
| *,^ | iRobot Corp. | 446,983 | 15,519 |
| Briggs & Stratton Corp. | 715,701 | 14,615 | |
| * | Blount International Inc. | 811,341 | 14,255 |
| Oxford Industries Inc. | 250,503 | 13,830 | |
| Ethan Allen Interiors Inc. | 434,083 | 13,444 | |
| * | Cooper-Standard Holding Inc. | 229,336 | 13,274 |
| Calavo Growers Inc. | 269,448 | 12,745 | |
| Standard Motor Products Inc. | 325,908 | 12,424 | |
| * | Eastman Kodak Co. | 527,535 | 11,453 |
| * | Cavco Industries Inc. | 140,394 | 11,129 |
| * | Modine Manufacturing Co. | 801,747 | 10,904 |
| * | Libbey Inc. | 343,093 | 10,787 |
| * | Chiquita Brands International Inc. | 740,041 | 10,701 |
| * | Boulder Brands Inc. | 967,166 | 10,697 |
| Tootsie Roll Industries Inc. | 347,533 | 10,652 | |
| * | USANA Health Sciences Inc. | 103,143 | 10,581 |
5
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Taylor Morrison Home Corp. Class A | 538,090 | 10,164 |
| * | Diamond Foods Inc. | 359,448 | 10,147 |
| * | DTS Inc. | 327,606 | 10,074 |
| Callaway Golf Co. | 1,280,425 | 9,859 | |
| Lennar Corp. Class B | 270,198 | 9,757 | |
| Winnebago Industries Inc. | 448,259 | 9,754 | |
| Nutrisystem Inc. | 477,096 | 9,327 | |
| * | Elizabeth Arden Inc. | 422,701 | 9,042 |
| * | Motorcar Parts of America Inc. | 286,613 | 8,911 |
| * | M/I Homes Inc. | 385,264 | 8,846 |
| Phibro Animal Health Corp. Class A | 279,720 | 8,825 | |
| * | Beazer Homes USA Inc. | 446,602 | 8,646 |
| * | Federal-Mogul Holdings Corp. | 528,846 | 8,509 |
| Titan International Inc. | 795,454 | 8,456 | |
| * | RealD Inc. | 712,840 | 8,411 |
| Movado Group Inc. | 293,248 | 8,319 | |
| * | Tower International Inc. | 321,735 | 8,220 |
| Inter Parfums Inc. | 289,174 | 7,938 | |
| Superior Industries International Inc. | 395,922 | 7,835 | |
| * | Unifi Inc. | 263,043 | 7,820 |
| * | Hovnanian Enterprises Inc. Class A | 1,892,093 | 7,814 |
| Arctic Cat Inc. | 206,468 | 7,330 | |
| * | Nautilus Inc. | 481,544 | 7,310 |
| Coca-Cola Bottling Co. Consolidated | 81,984 | 7,217 | |
| * | Vince Holding Corp. | 275,285 | 7,196 |
| * | Revlon Inc. Class A | 204,168 | 6,974 |
| John B Sanfilippo & Son Inc. | 152,319 | 6,930 | |
| * | Vera Bradley Inc. | 337,905 | 6,886 |
| * | Medifast Inc. | 197,637 | 6,631 |
| *,^ | Glu Mobile Inc. | 1,655,025 | 6,455 |
| * | William Lyon Homes Class A | 267,491 | 5,422 |
| * | Perry Ellis International Inc. | 208,575 | 5,408 |
| * | Stoneridge Inc. | 419,204 | 5,391 |
| Remy International Inc. | 254,058 | 5,315 | |
| National Presto Industries Inc. | 90,001 | 5,224 | |
| * | LeapFrog Enterprises Inc. | 1,099,284 | 5,189 |
| * | Sequential Brands Group Inc. | 391,309 | 5,114 |
| * | Fox Factory Holding Corp. | 312,178 | 5,067 |
| * | WCI Communities Inc. | 243,271 | 4,763 |
| Strattec Security Corp. | 56,361 | 4,654 | |
| * | Quiksilver Inc. | 2,040,377 | 4,509 |
| * | National Beverage Corp. | 191,717 | 4,337 |
| * | Malibu Boats Inc. Class A | 222,999 | 4,297 |
| *,^ | LGI Homes Inc. | 283,214 | 4,226 |
| * | Central Garden and Pet Co. Class A | 440,583 | 4,208 |
| *,^ | Wayfair Inc. | 205,605 | 4,081 |
| * | Jamba Inc. | 258,071 | 3,894 |
| * | Inventure Foods Inc. | 305,219 | 3,888 |
| Limoneira Co. | 151,656 | 3,788 | |
| * | Omega Protein Corp. | 337,022 | 3,562 |
| Flexsteel Industries Inc. | 108,026 | 3,484 | |
| * | Freshpet Inc. | 197,543 | 3,370 |
| * | Black Diamond Inc. | 378,743 | 3,314 |
| Bassett Furniture Industries Inc. | 165,176 | 3,223 | |
| Orchids Paper Products Co. | 109,947 | 3,201 | |
| * | Nutraceutical International Corp. | 147,820 | 3,187 |
| Hooker Furniture Corp. | 182,208 | 3,128 | |
| Oil-Dri Corp. of America | 93,252 | 3,043 | |
| Cherokee Inc. | 155,319 | 3,007 | |
| * | Alliance One International Inc. | 1,865,326 | 2,947 |
| * | ZAGG Inc. | 430,864 | 2,926 |
| Weyco Group Inc. | 95,177 | 2,824 | |
| * | Farmer Bros Co. | 94,199 | 2,774 |
| * | Central Garden and Pet Co. | 311,399 | 2,734 |
6
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Seneca Foods Corp. Class A | 99,386 | 2,686 |
| * | Fuel Systems Solutions Inc. | 239,103 | 2,616 |
| Superior Uniform Group Inc. | 89,034 | 2,615 | |
| * | Skullcandy Inc. | 280,971 | 2,582 |
| Culp Inc. | 117,553 | 2,549 | |
| Lifetime Brands Inc. | 143,306 | 2,465 | |
| MGP Ingredients Inc. | 153,355 | 2,432 | |
| *,^ | JAKKS Pacific Inc. | 353,022 | 2,401 |
| Nature's Sunshine Products Inc. | 160,581 | 2,380 | |
| Alico Inc. | 46,638 | 2,333 | |
| * | New Home Co. Inc. | 157,021 | 2,274 |
| * | Dixie Group Inc. | 238,274 | 2,185 |
| Johnson Outdoors Inc. Class A | 69,364 | 2,164 | |
| * | Century Communities Inc. | 124,002 | 2,143 |
| Escalade Inc. | 141,344 | 2,133 | |
| *,^ | American Apparel Inc. | 1,996,100 | 2,056 |
| Rocky Brands Inc. | 149,582 | 1,983 | |
| * | Lifevantage Corp. | 1,495,199 | 1,944 |
| * | Shiloh Industries Inc. | 122,722 | 1,930 |
| * | Craft Brew Alliance Inc. | 140,908 | 1,880 |
| * | Lifeway Foods Inc. | 95,840 | 1,776 |
| * | Core Molding Technologies Inc. | 121,896 | 1,700 |
| Griffin Land & Nurseries Inc. | 56,504 | 1,698 | |
| Female Health Co. | 415,043 | 1,627 | |
| LS Starrett Co. Class A | 71,527 | 1,426 | |
| Marine Products Corp. | 166,467 | 1,405 | |
| * | A-Mark Precious Metals Inc. | 135,994 | 1,356 |
| Crown Crafts Inc. | 172,388 | 1,327 | |
| Blyth Inc. | 141,026 | 1,290 | |
| * | Primo Water Corp. | 285,315 | 1,230 |
| * | Castle Brands Inc. | 695,660 | 1,127 |
| * | Delta Apparel Inc. | 102,906 | 1,048 |
| *,^ | Lakeland Industries Inc. | 105,342 | 987 |
| *,^ | Quantum Fuel Systems Technologies Worldwide Inc. | 382,718 | 800 |
| * | Reed's Inc. | 124,919 | 738 |
| Rocky Mountain Chocolate Factory Inc. | 54,606 | 721 | |
| * | Mannatech Inc. | 26,707 | 712 |
| * | LoJack Corp. | 276,852 | 700 |
| Tandy Leather Factory Inc. | 77,119 | 696 | |
| * | Stanley Furniture Co. Inc. | 227,672 | 624 |
| * | US Auto Parts Network Inc. | 236,188 | 553 |
| *,^ | S&W Seed Co. | 136,057 | 544 |
| * | Summer Infant Inc. | 163,615 | 533 |
| Kewaunee Scientific Corp. | 28,882 | 514 | |
| *,^ | RiceBran Technologies | 114,553 | 477 |
| *,^ | Rock Creek Pharmaceuticals Inc. | 2,416,996 | 440 |
| * | Coffee Holding Co. Inc. | 85,702 | 440 |
| * | Charles & Colvard Ltd. | 233,777 | 430 |
| * | Lipocine Inc. | 77,766 | 409 |
| Acme United Corp. | 20,257 | 405 | |
| *,^ | Clean Diesel Technologies Inc. | 168,832 | 306 |
| * | Skyline Corp. | 72,891 | 295 |
| * | Joe's Jeans Inc. | 839,567 | 278 |
| * | Comstock Holding Cos. Inc. Class A | 227,285 | 234 |
| * | Tofutti Brands Inc. | 34,800 | 196 |
| Emerson Radio Corp. | 183,585 | 193 | |
| * | Reliv International Inc. | 134,178 | 157 |
| * | P&F Industries Inc. Class A | 16,709 | 134 |
| * | Cyanotech Corp. | 19,386 | 132 |
| * | Ceres Inc. | 446,757 | 107 |
| *,^ | Vapor Corp. | 87,100 | 105 |
| * | Natural Alternatives International Inc. | 17,720 | 95 |
| * | CCA Industries Inc. | 27,573 | 92 |
| * | Alpha Pro Tech Ltd. | 35,500 | 91 |
7
| Vanguard® Total Stock Market Index Fund | ||
| Schedule of Investments | ||
| December 31, 2014 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Hovnanian Enterprises Inc. Class B | 19,300 | 80 |
| Compx International Inc. | 5,846 | 69 |
| * Willamette Valley Vineyards Inc. | 10,817 | 63 |
| * Truett-Hurst Inc. | 14,500 | 57 |
| * CTI Industries Corp. | 11,946 | 47 |
| * Crystal Rock Holdings Inc. | 60,150 | 46 |
| Ocean Bio-Chem Inc. | 8,342 | 37 |
| * DS Healthcare Group Inc. | 51,862 | 37 |
| Golden Enterprises Inc. | 9,731 | 34 |
| Koss Corp. | 12,072 | 21 |
| * MYOS Corp. | 1,100 | 8 |
| 37,526,347 | ||
| Consumer Services (13.5%) | ||
| Walt Disney Co. | 25,726,136 | 2,423,145 |
| Wal-Mart Stores Inc. | 27,173,604 | 2,333,669 |
| Home Depot Inc. | 22,209,011 | 2,331,280 |
| Comcast Corp. Class A | 38,463,284 | 2,231,255 |
| * Amazon.com Inc. | 6,242,382 | 1,937,323 |
| CVS Health Corp. | 19,321,716 | 1,860,874 |
| McDonald's Corp. | 16,390,489 | 1,535,789 |
| Twenty-First Century Fox Inc. Class A | 30,065,093 | 1,154,650 |
| Time Warner Inc. | 13,425,778 | 1,146,830 |
| Lowe's Cos. Inc. | 16,624,603 | 1,143,773 |
| * Walgreens Boots Alliance Inc. | 14,328,686 | 1,091,846 |
| * eBay Inc. | 18,836,166 | 1,057,086 |
| Costco Wholesale Corp. | 7,376,455 | 1,045,612 |
| * Priceline Group Inc. | 881,789 | 1,005,425 |
| Starbucks Corp. | 11,969,445 | 982,093 |
| Target Corp. | 10,733,876 | 814,809 |
| McKesson Corp. | 3,907,923 | 811,207 |
| TJX Cos. Inc. | 11,092,260 | 760,707 |
| * DIRECTV | 8,460,459 | 733,522 |
| Time Warner Cable Inc. | 4,726,196 | 718,665 |
| Delta Air Lines Inc. | 14,104,043 | 693,778 |
| American Airlines Group Inc. | 12,084,248 | 648,078 |
| Yum! Brands Inc. | 7,370,909 | 536,971 |
| Kroger Co. | 7,830,827 | 502,817 |
| Southwest Airlines Co. | 11,445,052 | 484,355 |
| Viacom Inc. Class B | 6,233,995 | 469,108 |
| Cardinal Health Inc. | 5,596,321 | 451,791 |
| CBS Corp. Class B | 7,820,402 | 432,781 |
| * United Continental Holdings Inc. | 6,218,436 | 415,951 |
| Las Vegas Sands Corp. | 6,756,775 | 392,974 |
| Sysco Corp. | 9,893,337 | 392,667 |
| Macy's Inc. | 5,970,390 | 392,553 |
| L Brands Inc. | 4,178,148 | 361,619 |
| * Dollar General Corp. | 5,105,770 | 360,978 |
| * Chipotle Mexican Grill Inc. Class A | 521,759 | 357,149 |
| * AutoZone Inc. | 539,547 | 334,039 |
| * Netflix Inc. | 963,739 | 329,223 |
| Omnicom Group Inc. | 4,202,629 | 325,578 |
| Carnival Corp. | 7,002,915 | 317,442 |
| Ross Stores Inc. | 3,366,381 | 317,315 |
| AmerisourceBergen Corp. Class A | 3,500,457 | 315,601 |
| * O'Reilly Automotive Inc. | 1,620,761 | 312,191 |
| Whole Foods Market Inc. | 6,058,644 | 305,477 |
| Comcast Corp. | 4,795,423 | 276,049 |
| Marriott International Inc. Class A | 3,341,340 | 260,725 |
| * DISH Network Corp. Class A | 3,562,762 | 259,690 |
| Starwood Hotels & Resorts Worldwide Inc. | 3,018,985 | 244,749 |
| * CarMax Inc. | 3,636,214 | 242,099 |
| * Dollar Tree Inc. | 3,286,273 | 231,288 |
| * Charter Communications Inc. Class A | 1,379,607 | 229,870 |
| Nielsen NV | 5,120,411 | 229,036 |
8
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Bed Bath & Beyond Inc. | 2,963,810 | 225,753 |
| * | Liberty Interactive Corp. Class A | 7,188,043 | 211,472 |
| Wynn Resorts Ltd. | 1,365,159 | 203,081 | |
| Royal Caribbean Cruises Ltd. | 2,429,903 | 200,297 | |
| Kohl's Corp. | 3,266,530 | 199,389 | |
| Tiffany & Co. | 1,844,595 | 197,113 | |
| Staples Inc. | 10,798,218 | 195,664 | |
| Advance Auto Parts Inc. | 1,224,974 | 195,114 | |
| Best Buy Co. Inc. | 4,999,696 | 194,888 | |
| Nordstrom Inc. | 2,434,863 | 193,304 | |
| Tractor Supply Co. | 2,289,248 | 180,439 | |
| Wyndham Worldwide Corp. | 2,090,012 | 179,239 | |
| Signet Jewelers Ltd. | 1,348,934 | 177,479 | |
| * | Hilton Worldwide Holdings Inc. | 6,617,226 | 172,643 |
| * | Hertz Global Holdings Inc. | 6,840,107 | 170,592 |
| Gap Inc. | 4,023,134 | 169,414 | |
| * | Discovery Communications Inc. | 4,650,207 | 156,805 |
| H&R Block Inc. | 4,608,709 | 155,221 | |
| Interpublic Group of Cos. Inc. | 7,034,294 | 146,102 | |
| Expedia Inc. | 1,624,860 | 138,698 | |
| * | TripAdvisor Inc. | 1,857,083 | 138,650 |
| Safeway Inc. | 3,945,039 | 138,550 | |
| Foot Locker Inc. | 2,419,270 | 135,915 | |
| PetSmart Inc. | 1,667,161 | 135,532 | |
| Alaska Air Group Inc. | 2,234,794 | 133,551 | |
| * | MGM Resorts International | 6,181,391 | 132,158 |
| *,^ | Sirius XM Holdings Inc. | 37,607,942 | 131,628 |
| * | Ulta Salon Cosmetics & Fragrance Inc. | 1,027,692 | 131,380 |
| Family Dollar Stores Inc. | 1,643,926 | 130,215 | |
| * | IHS Inc. Class A | 1,093,958 | 124,580 |
| * | Rite Aid Corp. | 16,465,689 | 123,822 |
| * | News Corp. Class A | 7,873,446 | 123,534 |
| Gannett Co. Inc. | 3,799,176 | 121,308 | |
| Omnicare Inc. | 1,658,203 | 120,933 | |
| * | Liberty Media Corp. | 3,436,820 | 120,392 |
| Darden Restaurants Inc. | 2,018,178 | 118,326 | |
| * | Avis Budget Group Inc. | 1,783,742 | 118,316 |
| Williams-Sonoma Inc. | 1,420,581 | 107,510 | |
| Scripps Networks Interactive Inc. Class A | 1,312,300 | 98,777 | |
| FactSet Research Systems Inc. | 665,636 | 93,688 | |
| * | Spirit Airlines Inc. | 1,227,487 | 92,773 |
| Domino's Pizza Inc. | 927,175 | 87,312 | |
| * | Discovery Communications Inc. Class A | 2,449,206 | 84,375 |
| * | Sally Beauty Holdings Inc. | 2,667,499 | 81,999 |
| KAR Auction Services Inc. | 2,361,609 | 81,830 | |
| Dick's Sporting Goods Inc. | 1,632,942 | 81,076 | |
| * | Madison Square Garden Co. Class A | 1,073,799 | 80,814 |
| Aramark | 2,557,741 | 79,674 | |
| * | Office Depot Inc. | 9,075,365 | 77,821 |
| Service Corp. International | 3,401,474 | 77,213 | |
| * | Panera Bread Co. Class A | 434,458 | 75,943 |
| * | AutoNation Inc. | 1,255,521 | 75,846 |
| Dunkin' Brands Group Inc. | 1,756,444 | 74,912 | |
| Dun & Bradstreet Corp. | 612,861 | 74,132 | |
| Cablevision Systems Corp. Class A | 3,521,318 | 72,680 | |
| Lamar Advertising Co. Class A | 1,351,232 | 72,480 | |
| International Game Technology | 4,180,461 | 72,113 | |
| GNC Holdings Inc. Class A | 1,502,632 | 70,564 | |
| * | Copart Inc. | 1,916,256 | 69,924 |
| * | VCA Inc. | 1,364,190 | 66,532 |
| * | JetBlue Airways Corp. | 4,160,638 | 65,988 |
| * | Groupon Inc. Class A | 7,926,809 | 65,475 |
| ^ | GameStop Corp. Class A | 1,905,901 | 64,419 |
| Brinker International Inc. | 1,078,973 | 63,325 | |
9
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Graham Holdings Co. Class B | 72,371 | 62,508 | |
| Cinemark Holdings Inc. | 1,748,421 | 62,209 | |
| * | Live Nation Entertainment Inc. | 2,369,304 | 61,863 |
| * | AMC Networks Inc. Class A | 959,005 | 61,156 |
| * | United Natural Foods Inc. | 788,617 | 60,980 |
| * | Urban Outfitters Inc. | 1,731,814 | 60,839 |
| * | Sprouts Farmers Market Inc. | 1,775,521 | 60,332 |
| * | Pandora Media Inc. | 3,346,597 | 59,670 |
| Casey's General Stores Inc. | 650,368 | 58,741 | |
| * | Liberty Media Corp. Class A | 1,625,893 | 57,345 |
| * | Norwegian Cruise Line Holdings Ltd. | 1,219,151 | 57,007 |
| * | Buffalo Wild Wings Inc. | 315,782 | 56,961 |
| Cracker Barrel Old Country Store Inc. | 401,047 | 56,451 | |
| Vail Resorts Inc. | 605,310 | 55,162 | |
| * | Yelp Inc. Class A | 993,330 | 54,365 |
| * | Restoration Hardware Holdings Inc. | 559,589 | 53,726 |
| CST Brands Inc. | 1,230,039 | 53,642 | |
| Jack in the Box Inc. | 666,944 | 53,329 | |
| Dillard's Inc. Class A | 424,756 | 53,171 | |
| * | Apollo Education Group Inc. | 1,553,367 | 52,985 |
| *,^ | SolarCity Corp. | 977,303 | 52,266 |
| DSW Inc. Class A | 1,383,972 | 51,622 | |
| Six Flags Entertainment Corp. | 1,194,098 | 51,525 | |
| * | Murphy USA Inc. | 735,119 | 50,620 |
| Lions Gate Entertainment Corp. | 1,415,197 | 45,315 | |
| Sotheby's | 1,038,812 | 44,856 | |
| John Wiley & Sons Inc. Class A | 756,459 | 44,813 | |
| * | Cabela's Inc. | 836,156 | 44,074 |
| * | Starz | 1,467,717 | 43,591 |
| DeVry Education Group Inc. | 903,677 | 42,898 | |
| * | HomeAway Inc. | 1,435,999 | 42,764 |
| Time Inc. | 1,715,884 | 42,228 | |
| * | Bloomin' Brands Inc. | 1,679,478 | 41,584 |
| Wendy's Co. | 4,600,247 | 41,540 | |
| HSN Inc. | 530,868 | 40,346 | |
| * | Hyatt Hotels Corp. Class A | 662,809 | 39,908 |
| Chico's FAS Inc. | 2,439,249 | 39,540 | |
| Rollins Inc. | 1,168,505 | 38,677 | |
| * | Asbury Automotive Group Inc. | 506,433 | 38,448 |
| * | Burlington Stores Inc. | 813,503 | 38,446 |
| Cheesecake Factory Inc. | 763,678 | 38,421 | |
| American Eagle Outfitters Inc. | 2,763,473 | 38,357 | |
| Big Lots Inc. | 951,842 | 38,093 | |
| Aaron's Inc. | 1,210,416 | 37,002 | |
| * | Houghton Mifflin Harcourt Co. | 1,779,697 | 36,858 |
| Dolby Laboratories Inc. Class A | 848,097 | 36,570 | |
| * | Grand Canyon Education Inc. | 776,645 | 36,238 |
| Allegiant Travel Co. Class A | 235,008 | 35,329 | |
| Texas Roadhouse Inc. Class A | 1,042,338 | 35,189 | |
| Abercrombie & Fitch Co. | 1,219,746 | 34,934 | |
| Hillenbrand Inc. | 999,345 | 34,477 | |
| Extended Stay America Inc. | 1,765,060 | 34,083 | |
| * | Life Time Fitness Inc. | 595,267 | 33,704 |
| Penske Automotive Group Inc. | 685,427 | 33,634 | |
| * | SUPERVALU Inc. | 3,463,600 | 33,597 |
| Men's Wearhouse Inc. | 758,766 | 33,500 | |
| *,^ | Five Below Inc. | 820,150 | 33,487 |
| Meredith Corp. | 613,762 | 33,340 | |
| Choice Hotels International Inc. | 588,557 | 32,971 | |
| Group 1 Automotive Inc. | 365,816 | 32,784 | |
| Lithia Motors Inc. Class A | 376,460 | 32,635 | |
| Sinclair Broadcast Group Inc. Class A | 1,186,184 | 32,454 | |
| Marriott Vacations Worldwide Corp. | 409,701 | 30,539 | |
| Rent-A-Center Inc. | 839,328 | 30,484 | |
10
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| PriceSmart Inc. | 330,511 | 30,149 | |
| *,^ | JC Penney Co. Inc. | 4,613,632 | 29,896 |
| New York Times Co. Class A | 2,260,738 | 29,887 | |
| * | Fresh Market Inc. | 724,191 | 29,837 |
| * | Genesco Inc. | 381,345 | 29,219 |
| DineEquity Inc. | 281,103 | 29,133 | |
| Chemed Corp. | 275,516 | 29,114 | |
| Monro Muffler Brake Inc. | 498,999 | 28,842 | |
| AMERCO | 101,308 | 28,798 | |
| * | Lumber Liquidators Holdings Inc. | 430,368 | 28,538 |
| Regal Entertainment Group Class A | 1,324,078 | 28,282 | |
| * | Ascena Retail Group Inc. | 2,177,395 | 27,348 |
| * | comScore Inc. | 587,257 | 27,266 |
| Papa John's International Inc. | 486,558 | 27,150 | |
| * | Bright Horizons Family Solutions Inc. | 564,980 | 26,560 |
| * | ANN Inc. | 719,405 | 26,244 |
| * | La Quinta Holdings Inc. | 1,167,590 | 25,757 |
| * | Shutterfly Inc. | 614,537 | 25,623 |
| * | Acxiom Corp. | 1,253,781 | 25,414 |
| ^ | Buckle Inc. | 482,923 | 25,363 |
| Matthews International Corp. Class A | 519,439 | 25,281 | |
| Nexstar Broadcasting Group Inc. Class A | 486,180 | 25,179 | |
| * | Vitamin Shoppe Inc. | 514,430 | 24,991 |
| * | WebMD Health Corp. | 623,064 | 24,642 |
| * | DreamWorks Animation SKG Inc. Class A | 1,102,664 | 24,622 |
| * | Fiesta Restaurant Group Inc. | 400,363 | 24,342 |
| Sonic Corp. | 845,094 | 23,012 | |
| * | Beacon Roofing Supply Inc. | 823,952 | 22,906 |
| Core-Mark Holding Co. Inc. | 369,119 | 22,860 | |
| Pier 1 Imports Inc. | 1,483,185 | 22,841 | |
| Morningstar Inc. | 352,350 | 22,801 | |
| * | GrubHub Inc. | 622,625 | 22,614 |
| Brown Shoe Co. Inc. | 696,096 | 22,379 | |
| * | Popeyes Louisiana Kitchen Inc. | 389,493 | 21,917 |
| SeaWorld Entertainment Inc. | 1,211,609 | 21,688 | |
| * | Lands' End Inc. | 399,388 | 21,551 |
| Churchill Downs Inc. | 222,539 | 21,208 | |
| * | Krispy Kreme Doughnuts Inc. | 1,068,374 | 21,090 |
| Guess? Inc. | 998,097 | 21,040 | |
| * | Pinnacle Entertainment Inc. | 945,501 | 21,037 |
| * | Hibbett Sports Inc. | 429,783 | 20,814 |
| * | Rush Enterprises Inc. Class A | 633,991 | 20,319 |
| Children's Place Inc. | 346,468 | 19,749 | |
| * | Hawaiian Holdings Inc. | 757,417 | 19,731 |
| Bob Evans Farms Inc. | 385,486 | 19,729 | |
| Finish Line Inc. Class A | 795,153 | 19,330 | |
| * | Constant Contact Inc. | 526,585 | 19,326 |
| Cato Corp. Class A | 453,092 | 19,111 | |
| * | Caesars Acquisition Co. Class A | 1,843,933 | 19,011 |
| * | ServiceMaster Global Holdings Inc. | 698,378 | 18,696 |
| Sabre Corp. | 918,389 | 18,616 | |
| * | Express Inc. | 1,266,153 | 18,600 |
| *,^ | zulily Inc. Class A | 793,426 | 18,566 |
| * | Red Robin Gourmet Burgers Inc. | 241,130 | 18,561 |
| * | Belmond Ltd. Class A | 1,464,875 | 18,120 |
| *,^ | TrueCar Inc. | 790,945 | 18,113 |
| * | Diamond Resorts International Inc. | 637,320 | 17,781 |
| * | Mattress Firm Holding Corp. | 295,035 | 17,136 |
| *,^ | Media General Inc. | 978,444 | 16,369 |
| * | Barnes & Noble Inc. | 700,049 | 16,255 |
| Scholastic Corp. | 441,317 | 16,073 | |
| * | Boyd Gaming Corp. | 1,254,269 | 16,030 |
| * | Penn National Gaming Inc. | 1,166,731 | 16,019 |
| SpartanNash Co. | 601,254 | 15,717 | |
11
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Sonic Automotive Inc. Class A | 571,931 | 15,465 | |
| MDC Partners Inc. Class A | 674,990 | 15,336 | |
| *,^ | Caesars Entertainment Corp. | 969,391 | 15,210 |
| * | BJ's Restaurants Inc. | 300,767 | 15,101 |
| * | Tuesday Morning Corp. | 694,611 | 15,073 |
| *,^ | Sears Holdings Corp. | 449,331 | 14,819 |
| New Media Investment Group Inc. | 622,828 | 14,717 | |
| * | Denny's Corp. | 1,421,617 | 14,657 |
| * | Orbitz Worldwide Inc. | 1,742,475 | 14,341 |
| Capella Education Co. | 184,470 | 14,197 | |
| * | Zumiez Inc. | 362,433 | 14,001 |
| International Speedway Corp. Class A | 437,750 | 13,855 | |
| National CineMedia Inc. | 962,985 | 13,838 | |
| * | Pantry Inc. | 369,411 | 13,690 |
| * | Regis Corp. | 786,707 | 13,185 |
| * | Bankrate Inc. | 1,045,421 | 12,995 |
| Interval Leisure Group Inc. | 620,347 | 12,959 | |
| * | Strayer Education Inc. | 173,594 | 12,895 |
| * | Coupons.com Inc. | 722,756 | 12,829 |
| * | Michaels Cos. Inc. | 516,231 | 12,766 |
| * | Biglari Holdings Inc. | 30,805 | 12,307 |
| * | Republic Airways Holdings Inc. | 836,218 | 12,200 |
| *,^ | Weight Watchers International Inc. | 474,627 | 11,790 |
| * | Francesca's Holdings Corp. | 694,743 | 11,602 |
| * | Stamps.com Inc. | 241,718 | 11,600 |
| SkyWest Inc. | 837,985 | 11,128 | |
| * | Ascent Capital Group Inc. Class A | 208,644 | 11,044 |
| * | EW Scripps Co. Class A | 493,876 | 11,038 |
| * | FTD Cos. Inc. | 312,370 | 10,877 |
| * | Cumulus Media Inc. Class A | 2,527,770 | 10,692 |
| Fred's Inc. Class A | 600,645 | 10,457 | |
| Stage Stores Inc. | 498,906 | 10,327 | |
| * | Scientific Games Corp. Class A | 801,638 | 10,205 |
| * | Carmike Cinemas Inc. | 387,564 | 10,181 |
| * | Steiner Leisure Ltd. | 215,046 | 9,937 |
| * | RetailMeNot Inc. | 674,655 | 9,863 |
| Weis Markets Inc. | 205,638 | 9,834 | |
| Tribune Publishing Co. | 425,102 | 9,735 | |
| * | American Public Education Inc. | 262,106 | 9,664 |
| AMC Entertainment Holdings Inc. | 355,715 | 9,313 | |
| * | Del Frisco's Restaurant Group Inc. | 387,383 | 9,196 |
| * | Gray Television Inc. | 774,753 | 8,677 |
| * | Global Eagle Entertainment Inc. | 635,968 | 8,656 |
| ClubCorp Holdings Inc. | 479,448 | 8,596 | |
| * | Journal Communications Inc. Class A | 750,513 | 8,578 |
| * | Pep Boys-Manny Moe & Jack | 841,642 | 8,265 |
| Ruth's Hospitality Group Inc. | 550,502 | 8,258 | |
| *,^ | Zoe's Kitchen Inc. | 272,665 | 8,155 |
| Ingles Markets Inc. Class A | 215,411 | 7,990 | |
| *,^ | Conn's Inc. | 425,303 | 7,949 |
| * | MarineMax Inc. | 385,968 | 7,739 |
| Twenty-First Century Fox Inc. | 208,496 | 7,691 | |
| * | Providence Service Corp. | 210,632 | 7,675 |
| * | Blue Nile Inc. | 211,426 | 7,613 |
| Stein Mart Inc. | 491,159 | 7,181 | |
| * | Chefs' Warehouse Inc. | 311,538 | 7,178 |
| * | XO Group Inc. | 393,228 | 7,161 |
| Clear Channel Outdoor Holdings Inc. Class A | 668,902 | 7,084 | |
| * | America's Car-Mart Inc. | 131,114 | 6,999 |
| Harte-Hanks Inc. | 899,242 | 6,960 | |
| * | Career Education Corp. | 983,524 | 6,845 |
| *,^ | Noodles & Co. Class A | 257,188 | 6,777 |
| Haverty Furniture Cos. Inc. | 303,895 | 6,689 | |
| * | SP Plus Corp. | 259,403 | 6,545 |
12
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Entravision Communications Corp. Class A | 1,004,632 | 6,510 | |
| World Wrestling Entertainment Inc. Class A | 517,606 | 6,387 | |
| Carriage Services Inc. Class A | 304,499 | 6,379 | |
| * | Ruby Tuesday Inc. | 930,008 | 6,361 |
| Shoe Carnival Inc. | 241,658 | 6,208 | |
| * | Citi Trends Inc. | 245,119 | 6,189 |
| * | K12 Inc. | 514,754 | 6,110 |
| * | Diplomat Pharmacy Inc. | 217,665 | 5,957 |
| * | Overstock.com Inc. | 240,014 | 5,825 |
| *,^ | Clean Energy Fuels Corp. | 1,130,008 | 5,644 |
| * | Kirkland's Inc. | 237,717 | 5,620 |
| * | News Corp. Class B | 359,218 | 5,417 |
| *,^ | Container Store Group Inc. | 282,928 | 5,412 |
| Marcus Corp. | 292,299 | 5,410 | |
| * | Destination XL Group Inc. | 916,106 | 5,002 |
| * | Chuy's Holdings Inc. | 245,628 | 4,831 |
| Big 5 Sporting Goods Corp. | 325,896 | 4,768 | |
| PetMed Express Inc. | 330,351 | 4,747 | |
| * | EVINE Live Inc. | 711,723 | 4,690 |
| * | Smart & Final Stores Inc. | 290,360 | 4,567 |
| * | Angie's List Inc. | 722,234 | 4,499 |
| Speedway Motorsports Inc. | 203,797 | 4,457 | |
| * | Build-A-Bear Workshop Inc. | 219,295 | 4,408 |
| *,^ | El Pollo Loco Holdings Inc. | 218,918 | 4,372 |
| *,^ | Chegg Inc. | 624,285 | 4,314 |
| * | Carrols Restaurant Group Inc. | 553,294 | 4,222 |
| * | Natural Grocers by Vitamin Cottage Inc. | 149,637 | 4,215 |
| * | Entercom Communications Corp. Class A | 328,982 | 4,000 |
| * | Bravo Brio Restaurant Group Inc. | 284,773 | 3,961 |
| * | Liberty Tax Inc. | 110,732 | 3,958 |
| *,^ | Titan Machinery Inc. | 281,816 | 3,928 |
| * | 1-800-Flowers.com Inc. Class A | 472,168 | 3,891 |
| * | Daily Journal Corp. | 14,695 | 3,865 |
| Winmark Corp. | 43,602 | 3,790 | |
| *,^ | Tile Shop Holdings Inc. | 423,677 | 3,762 |
| * | Nathan's Famous Inc. | 46,911 | 3,753 |
| *,^ | ITT Educational Services Inc. | 384,143 | 3,692 |
| CSS Industries Inc. | 131,994 | 3,648 | |
| * | Intrawest Resorts Holdings Inc. | 299,289 | 3,573 |
| * | Famous Dave's of America Inc. | 133,645 | 3,511 |
| * | Reading International Inc. Class A | 257,620 | 3,416 |
| * | Liquidity Services Inc. | 416,971 | 3,407 |
| * | SFX Entertainment Inc. | 749,429 | 3,395 |
| * | West Marine Inc. | 262,221 | 3,388 |
| * | Roundy's Inc. | 692,704 | 3,353 |
| * | Bridgepoint Education Inc. | 294,656 | 3,335 |
| * | Christopher & Banks Corp. | 562,485 | 3,212 |
| Destination Maternity Corp. | 200,690 | 3,201 | |
| * | Kona Grill Inc. | 135,869 | 3,137 |
| * | TechTarget Inc. | 274,876 | 3,125 |
| * | Isle of Capri Casinos Inc. | 368,320 | 3,083 |
| * | McClatchy Co. Class A | 928,189 | 3,082 |
| AH Belo Corp. Class A | 295,621 | 3,069 | |
| Saga Communications Inc. Class A | 70,337 | 3,058 | |
| * | Lee Enterprises Inc. | 827,248 | 3,044 |
| * | Potbelly Corp. | 235,171 | 3,027 |
| * | Morgans Hotel Group Co. | 377,429 | 2,959 |
| * | Aeropostale Inc. | 1,219,550 | 2,829 |
| * | Sears Hometown and Outlet Stores Inc. | 211,545 | 2,782 |
| * | QuinStreet Inc. | 444,768 | 2,700 |
| * | Rubicon Project Inc. | 166,113 | 2,681 |
| * | Sizmek Inc. | 422,373 | 2,644 |
| * | RealNetworks Inc. | 372,913 | 2,625 |
| * | Monarch Casino & Resort Inc. | 153,321 | 2,544 |
13
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Marchex Inc. Class B | 540,815 | 2,482 | |
| Courier Corp. | 165,756 | 2,473 | |
| Town Sports International Holdings Inc. | 408,443 | 2,430 | |
| * | Sportsman's Warehouse Holdings Inc. | 318,419 | 2,331 |
| Collectors Universe Inc. | 109,201 | 2,278 | |
| Village Super Market Inc. Class A | 83,103 | 2,275 | |
| * | Everyday Health Inc. | 151,069 | 2,228 |
| * | Dex Media Inc. | 247,003 | 2,216 |
| * | Martha Stewart Living Omnimedia Inc. Class A | 510,243 | 2,199 |
| * | Speed Commerce Inc. | 696,144 | 2,151 |
| *,^ | Empire Resorts Inc. | 273,322 | 2,121 |
| * | Tilly's Inc. Class A | 216,425 | 2,097 |
| * | Autobytel Inc. | 192,349 | 2,097 |
| * | Townsquare Media Inc. Class A | 153,536 | 2,027 |
| * | Boot Barn Holdings Inc. | 111,321 | 2,026 |
| * | Gaiam Inc. Class A | 274,094 | 1,954 |
| * | Century Casinos Inc. | 363,268 | 1,834 |
| * | RCI Hospitality Holdings Inc. | 179,855 | 1,802 |
| * | Eldorado Resorts Inc. | 444,214 | 1,799 |
| *,^ | hhgregg Inc. | 229,551 | 1,738 |
| Bon-Ton Stores Inc. | 233,079 | 1,727 | |
| * | Pacific Sunwear of California Inc. | 783,939 | 1,709 |
| * | PCM Inc. | 177,713 | 1,692 |
| *,^ | TubeMogul Inc. | 73,686 | 1,662 |
| *,^ | Papa Murphy's Holdings Inc. | 140,422 | 1,632 |
| * | Dave & Buster's Entertainment Inc. | 58,100 | 1,586 |
| * | Travelzoo Inc. | 121,772 | 1,537 |
| * | Care.com Inc. | 181,196 | 1,500 |
| *,^ | Mandalay Digital Group Inc. | 447,263 | 1,489 |
| Liberator Medical Holdings Inc. | 513,040 | 1,488 | |
| * | Red Lion Hotels Corp. | 230,317 | 1,460 |
| * | Luby's Inc. | 293,131 | 1,334 |
| * | Spark Networks Inc. | 370,435 | 1,330 |
| bebe stores inc | 566,914 | 1,242 | |
| Frisch's Restaurants Inc. | 43,386 | 1,163 | |
| TheStreet Inc. | 477,535 | 1,137 | |
| * | New York & Co. Inc. | 414,760 | 1,095 |
| Salem Communications Corp. Class A | 138,314 | 1,082 | |
| *,^ | Fairway Group Holdings Corp. | 340,880 | 1,074 |
| * | YuMe Inc. | 212,988 | 1,073 |
| * | Lakes Entertainment Inc. | 150,979 | 1,012 |
| Wayside Technology Group Inc. | 58,214 | 1,002 | |
| * | Ignite Restaurant Group Inc. | 123,416 | 971 |
| * | Radio One Inc. | 538,531 | 899 |
| * | Demand Media Inc. | 144,814 | 886 |
| * | Emmis Communications Corp. Class A | 465,809 | 871 |
| * | Geeknet Inc. | 100,443 | 832 |
| *,^ | Profire Energy Inc. | 347,112 | 791 |
| * | Diversified Restaurant Holdings Inc. | 148,084 | 764 |
| Trans World Entertainment Corp. | 221,296 | 728 | |
| *,^ | YOU On Demand Holdings Inc. | 322,761 | 665 |
| * | ReachLocal Inc. | 189,721 | 653 |
| Dover Motorsports Inc. | 236,518 | 617 | |
| *,^ | RadioShack Corp. | 1,631,538 | 604 |
| *,^ | Pizza Inn Holdings Inc. | 84,905 | 603 |
| * | Cosi Inc. | 340,339 | 541 |
| *,^ | Trupanion Inc. | 75,929 | 526 |
| * | Ambassadors Group Inc. | 199,965 | 500 |
| National American University Holdings Inc. | 175,287 | 471 | |
| * | Good Times Restaurants Inc. | 60,962 | 424 |
| * | Perfumania Holdings Inc. | 64,655 | 396 |
| * | Envivio Inc. | 270,799 | 363 |
| * | Gordmans Stores Inc. | 131,760 | 360 |
| * | Gaming Partners International Corp. | 41,577 | 354 |
14
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Insignia Systems Inc. | 92,648 | 332 |
| * | Cambium Learning Group Inc. | 192,481 | 320 |
| * | PDI Inc. | 177,317 | 317 |
| Beasley Broadcast Group Inc. Class A | 59,500 | 304 | |
| * | Dover Downs Gaming & Entertainment Inc. | 339,612 | 282 |
| ^ | LiveDeal Inc. | 87,299 | 274 |
| *,^ | Viggle Inc. | 101,022 | 267 |
| *,^ | Local Corp. | 250,058 | 260 |
| *,^ | Bacterin International Holdings Inc. | 85,348 | 259 |
| * | CafePress Inc. | 105,144 | 247 |
| * | Learning Tree International Inc. | 136,659 | 239 |
| Ark Restaurants Corp. | 10,035 | 226 | |
| * | Premier Exhibitions Inc. | 363,244 | 222 |
| * | Full House Resorts Inc. | 157,784 | 221 |
| *,^ | Net Element Inc. | 174,274 | 197 |
| * | RLJ Entertainment Inc. | 92,687 | 185 |
| * | Books-A-Million Inc. | 105,377 | 180 |
| Value Line Inc. | 9,438 | 157 | |
| * | NTN Buzztime Inc. | 352,086 | 155 |
| * | Remark Media Inc. | 32,835 | 147 |
| * | Flanigan's Enterprises Inc. | 4,474 | 134 |
| * | Spanish Broadcasting System Inc. | 49,500 | 114 |
| *,^ | Wet Seal Inc. Class A | 1,379,266 | 89 |
| *,^ | DGSE Cos. Inc. | 61,321 | 77 |
| * | Dover Saddlery Inc. | 13,411 | 66 |
| * | Nevada Gold & Casinos Inc. | 41,913 | 52 |
| * | Corinthian Colleges Inc. | 691,703 | 44 |
| Educational Development Corp. | 8,522 | 41 | |
| * | Canterbury Park Holding Corp. | 4,200 | 39 |
| *,^ | EveryWare Global Inc. | 47,000 | 34 |
| Empire Resorts Inc. Rights Exp. 02/02/2015 | 48,807 | 32 | |
| Haverty Furniture Cos. Inc. Class A | 1,375 | 31 | |
| * | Restaurant Brands International Inc. | 768 | 30 |
| * | SPAR Group Inc. | 19,446 | 27 |
| * | Universal Travel Group | 42,843 | 7 |
| 51,841,710 | |||
| Financials (19.1%) | |||
| Wells Fargo & Co. | 87,444,075 | 4,793,684 | |
| * | Berkshire Hathaway Inc. Class B | 29,719,646 | 4,462,405 |
| JPMorgan Chase & Co. | 63,001,253 | 3,942,618 | |
| Bank of America Corp. | 177,180,419 | 3,169,758 | |
| Citigroup Inc. | 48,500,022 | 2,624,336 | |
| Visa Inc. Class A | 8,312,581 | 2,179,559 | |
| American Express Co. | 17,429,747 | 1,621,664 | |
| MasterCard Inc. Class A | 16,884,919 | 1,454,805 | |
| US Bancorp | 30,125,810 | 1,354,155 | |
| Goldman Sachs Group Inc. | 6,967,610 | 1,350,532 | |
| American International Group Inc. | 23,566,299 | 1,319,948 | |
| Simon Property Group Inc. | 5,295,966 | 964,448 | |
| Morgan Stanley | 24,717,478 | 959,038 | |
| MetLife Inc. | 15,306,704 | 827,940 | |
| PNC Financial Services Group Inc. | 8,858,569 | 808,167 | |
| Capital One Financial Corp. | 9,360,633 | 772,720 | |
| Bank of New York Mellon Corp. | 18,973,173 | 769,742 | |
| Prudential Financial Inc. | 7,672,566 | 694,060 | |
| American Tower Corporation | 6,684,515 | 660,764 | |
| BlackRock Inc. | 1,811,506 | 647,722 | |
| ACE Ltd. | 5,301,999 | 609,094 | |
| Charles Schwab Corp. | 19,778,993 | 597,128 | |
| Travelers Cos. Inc. | 5,556,987 | 588,207 | |
| State Street Corp. | 6,687,878 | 524,998 | |
| Marsh & McLennan Cos. Inc. | 9,111,888 | 521,564 | |
| Discover Financial Services | 7,632,038 | 499,822 | |
| Allstate Corp. | 7,031,184 | 493,941 | |
15
| Vanguard® Total Stock Market Index Fund | ||
| Schedule of Investments | ||
| December 31, 2014 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| CME Group Inc. | 5,368,758 | 475,940 |
| BB&T Corp. | 12,110,765 | 470,988 |
| Public Storage | 2,477,669 | 457,997 |
| Aon plc | 4,796,933 | 454,893 |
| Crown Castle International Corp. | 5,624,695 | 442,663 |
| Aflac Inc. | 7,223,656 | 441,293 |
| Equity Residential | 6,103,361 | 438,465 |
| Health Care REIT Inc. | 5,510,246 | 416,960 |
| Intercontinental Exchange Inc. | 1,895,637 | 415,694 |
| Ameriprise Financial Inc. | 3,121,318 | 412,794 |
| Chubb Corp. | 3,975,857 | 411,382 |
| McGraw Hill Financial Inc. | 4,568,886 | 406,539 |
| Franklin Resources Inc. | 6,833,250 | 378,357 |
| SunTrust Banks Inc. | 8,832,165 | 370,068 |
| AvalonBay Communities Inc. | 2,218,906 | 362,547 |
| Prologis Inc. | 8,389,036 | 360,980 |
| T. Rowe Price Group Inc. | 4,146,335 | 356,004 |
| Ventas Inc. | 4,943,019 | 354,414 |
| HCP Inc. | 7,733,983 | 340,527 |
| Moody's Corp. | 3,536,931 | 338,873 |
| Vornado Realty Trust | 2,837,342 | 333,984 |
| Boston Properties Inc. | 2,564,798 | 330,064 |
| Weyerhaeuser Co. | 8,845,851 | 317,478 |
| Hartford Financial Services Group Inc. | 7,310,481 | 304,774 |
| Host Hotels & Resorts Inc. | 12,750,855 | 303,088 |
| Invesco Ltd. | 7,240,911 | 286,161 |
| Fifth Third Bancorp | 13,987,939 | 285,004 |
| General Growth Properties Inc. | 9,654,094 | 271,570 |
| Principal Financial Group Inc. | 4,937,746 | 256,467 |
| Northern Trust Corp. | 3,766,769 | 253,880 |
| M&T Bank Corp. | 2,005,728 | 251,960 |
| Lincoln National Corp. | 4,363,973 | 251,670 |
| Progressive Corp. | 9,067,538 | 244,733 |
| Regions Financial Corp. | 23,142,722 | 244,387 |
| Essex Property Trust Inc. | 1,070,038 | 221,070 |
| Loews Corp. | 5,064,738 | 212,820 |
| KeyCorp | 14,681,575 | 204,074 |
| * Affiliated Managers Group Inc. | 931,727 | 197,750 |
| Macerich Co. | 2,366,222 | 197,367 |
| * Berkshire Hathaway Inc. Class A | 863 | 195,038 |
| SL Green Realty Corp. | 1,614,669 | 192,178 |
| Realty Income Corp. | 3,721,403 | 177,548 |
| Annaly Capital Management Inc. | 15,912,566 | 172,015 |
| Equifax Inc. | 2,040,213 | 164,992 |
| Kimco Realty Corp. | 6,513,135 | 163,740 |
| * CBRE Group Inc. Class A | 4,737,118 | 162,246 |
| * Ally Financial Inc. | 6,862,749 | 162,098 |
| Western Union Co. | 8,767,901 | 157,033 |
| * Markel Corp. | 224,193 | 153,088 |
| FNF Group | 4,415,018 | 152,097 |
| Federal Realty Investment Trust | 1,135,032 | 151,481 |
| Digital Realty Trust Inc. | 2,280,071 | 151,169 |
| XL Group plc Class A | 4,367,962 | 150,127 |
| Navient Corp. | 6,904,446 | 149,205 |
| Unum Group | 4,259,857 | 148,584 |
| CIT Group Inc. | 3,099,295 | 148,239 |
| TD Ameritrade Holding Corp. | 4,125,392 | 147,607 |
| Huntington Bancshares Inc. | 13,884,672 | 146,067 |
| Comerica Inc. | 3,030,059 | 141,928 |
| American Realty Capital Properties Inc. | 15,587,678 | 141,068 |
| Voya Financial Inc. | 3,286,255 | 139,271 |
| Cincinnati Financial Corp. | 2,590,508 | 134,266 |
| UDR Inc. | 4,285,777 | 132,088 |
| American Capital Agency Corp. | 5,907,719 | 128,966 |
16
| Vanguard® Total Stock Market Index Fund | ||
| Schedule of Investments | ||
| December 31, 2014 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Plum Creek Timber Co. Inc. | 2,987,536 | 127,837 |
| Arthur J Gallagher & Co. | 2,675,858 | 125,979 |
| * Arch Capital Group Ltd. | 2,113,630 | 124,916 |
| Raymond James Financial Inc. | 2,136,299 | 122,389 |
| First Republic Bank | 2,321,883 | 121,017 |
| * Alleghany Corp. | 259,974 | 120,498 |
| Willis Group Holdings plc | 2,673,285 | 119,790 |
| Torchmark Corp. | 2,195,225 | 118,915 |
| * E*TRADE Financial Corp. | 4,837,744 | 117,339 |
| WP Carey Inc. | 1,673,385 | 117,304 |
| Duke Realty Corp. | 5,720,702 | 115,558 |
| Iron Mountain Inc. | 2,959,614 | 114,419 |
| Jones Lang LaSalle Inc. | 746,102 | 111,863 |
| New York Community Bancorp Inc. | 6,903,411 | 110,455 |
| * Realogy Holdings Corp. | 2,455,240 | 109,234 |
| Lazard Ltd. Class A | 2,168,545 | 108,492 |
| Alexandria Real Estate Equities Inc. | 1,215,427 | 107,857 |
| Extra Space Storage Inc. | 1,838,851 | 107,830 |
| Camden Property Trust | 1,438,364 | 106,209 |
| SEI Investments Co. | 2,532,480 | 101,400 |
| * Signature Bank | 800,298 | 100,806 |
| Reinsurance Group of America Inc. Class A | 1,147,252 | 100,522 |
| Everest Re Group Ltd. | 586,891 | 99,948 |
| Regency Centers Corp. | 1,554,471 | 99,144 |
| * SVB Financial Group | 850,748 | 98,746 |
| Zions Bancorporation | 3,408,661 | 97,181 |
| Kilroy Realty Corp. | 1,395,451 | 96,384 |
| NASDAQ OMX Group Inc. | 1,977,211 | 94,827 |
| DDR Corp. | 5,126,778 | 94,128 |
| Mid-America Apartment Communities Inc. | 1,255,902 | 93,791 |
| East West Bancorp Inc. | 2,409,405 | 93,268 |
| Liberty Property Trust | 2,473,559 | 93,080 |
| Legg Mason Inc. | 1,736,686 | 92,687 |
| CBOE Holdings Inc. | 1,440,259 | 91,341 |
| PartnerRe Ltd. | 789,678 | 90,126 |
| Apartment Investment & Management Co. Class A | 2,408,772 | 89,486 |
| HCC Insurance Holdings Inc. | 1,666,694 | 89,201 |
| Starwood Property Trust Inc. | 3,772,464 | 87,672 |
| Protective Life Corp. | 1,256,318 | 87,503 |
| MSCI Inc. Class A | 1,840,569 | 87,317 |
| WR Berkley Corp. | 1,690,095 | 86,634 |
| National Retail Properties Inc. | 2,186,726 | 86,091 |
| * Liberty Ventures Class A | 2,256,302 | 85,108 |
| Omega Healthcare Investors Inc. | 2,137,410 | 83,509 |
| Axis Capital Holdings Ltd. | 1,595,901 | 81,535 |
| Assurant Inc. | 1,185,813 | 81,145 |
| People's United Financial Inc. | 5,271,377 | 80,019 |
| Hudson City Bancorp Inc. | 7,906,161 | 80,010 |
| Eaton Vance Corp. | 1,916,533 | 78,444 |
| Hospitality Properties Trust | 2,499,856 | 77,496 |
| Taubman Centers Inc. | 999,385 | 76,373 |
| LaSalle Hotel Properties | 1,872,785 | 75,792 |
| Senior Housing Properties Trust | 3,417,045 | 75,551 |
| Spirit Realty Capital Inc. | 6,322,208 | 75,171 |
| * Howard Hughes Corp. | 570,149 | 74,359 |
| RLJ Lodging Trust | 2,216,917 | 74,333 |
| PacWest Bancorp | 1,625,858 | 73,911 |
| Assured Guaranty Ltd. | 2,785,361 | 72,392 |
| American Campus Communities Inc. | 1,737,955 | 71,882 |
| NorthStar Asset Management Group Inc. | 3,169,019 | 71,525 |
| * Genworth Financial Inc. Class A | 8,357,408 | 71,038 |
| Corrections Corp. of America | 1,949,421 | 70,842 |
| BioMed Realty Trust Inc. | 3,250,042 | 70,006 |
| American Financial Group Inc. | 1,150,105 | 69,834 |
17
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Equity LifeStyle Properties Inc. | 1,335,517 | 68,846 | |
| Cullen/Frost Bankers Inc. | 965,797 | 68,224 | |
| Brown & Brown Inc. | 2,050,047 | 67,467 | |
| Waddell & Reed Financial Inc. Class A | 1,339,623 | 66,740 | |
| Investors Bancorp Inc. | 5,921,922 | 66,474 | |
| Highwoods Properties Inc. | 1,495,554 | 66,223 | |
| NorthStar Realty Finance Corp. | 3,753,511 | 65,987 | |
| Retail Properties of America Inc. | 3,930,158 | 65,594 | |
| Douglas Emmett Inc. | 2,265,840 | 64,350 | |
| Weingarten Realty Investors | 1,840,277 | 64,262 | |
| City National Corp. | 792,838 | 64,069 | |
| Commerce Bancshares Inc. | 1,457,619 | 63,392 | |
| LPL Financial Holdings Inc. | 1,420,803 | 63,297 | |
| * | Synchrony Financial | 2,122,187 | 63,135 |
| * | Forest City Enterprises Inc. Class A | 2,915,267 | 62,095 |
| Prosperity Bancshares Inc. | 1,121,569 | 62,090 | |
| Home Properties Inc. | 945,751 | 62,041 | |
| Umpqua Holdings Corp. | 3,644,205 | 61,988 | |
| CNO Financial Group Inc. | 3,565,818 | 61,403 | |
| Two Harbors Investment Corp. | 6,075,272 | 60,874 | |
| RenaissanceRe Holdings Ltd. | 624,974 | 60,760 | |
| Rayonier Inc. | 2,127,922 | 59,454 | |
| Synovus Financial Corp. | 2,191,469 | 59,367 | |
| Sunstone Hotel Investors Inc. | 3,583,143 | 59,158 | |
| * | Popular Inc. | 1,735,781 | 59,103 |
| Allied World Assurance Co. Holdings AG | 1,552,670 | 58,877 | |
| Validus Holdings Ltd. | 1,408,351 | 58,531 | |
| CubeSmart | 2,641,700 | 58,302 | |
| * | Outfront Media Inc. | 2,168,518 | 58,203 |
| American Homes 4 Rent Class A | 3,388,942 | 57,714 | |
| Old Republic International Corp. | 3,910,483 | 57,210 | |
| First American Financial Corp. | 1,682,773 | 57,046 | |
| Healthcare Trust of America Inc. Class A | 2,106,713 | 56,755 | |
| Pebblebrook Hotel Trust | 1,233,328 | 56,277 | |
| * | Strategic Hotels & Resorts Inc. | 4,247,292 | 56,192 |
| * | Equity Commonwealth | 2,170,704 | 55,722 |
| Brixmor Property Group Inc. | 2,242,421 | 55,702 | |
| Tanger Factory Outlet Centers Inc. | 1,499,378 | 55,417 | |
| Chimera Investment Corp. | 17,358,215 | 55,199 | |
| EPR Properties | 948,029 | 54,635 | |
| * | MGIC Investment Corp. | 5,773,464 | 53,809 |
| Radian Group Inc. | 3,186,386 | 53,276 | |
| Post Properties Inc. | 902,924 | 53,065 | |
| Columbia Property Trust Inc. | 2,092,489 | 53,045 | |
| First Horizon National Corp. | 3,904,882 | 53,028 | |
| * | Stifel Financial Corp. | 1,038,269 | 52,972 |
| DCT Industrial Trust Inc. | 1,474,662 | 52,586 | |
| FirstMerit Corp. | 2,768,182 | 52,291 | |
| *,^ | Zillow Inc. Class A | 492,182 | 52,117 |
| Hanover Insurance Group Inc. | 730,168 | 52,076 | |
| Geo Group Inc. | 1,286,305 | 51,915 | |
| Federated Investors Inc. Class B | 1,573,255 | 51,807 | |
| CBL & Associates Properties Inc. | 2,666,657 | 51,786 | |
| First Niagara Financial Group Inc. | 5,944,970 | 50,116 | |
| DiamondRock Hospitality Co. | 3,351,632 | 49,839 | |
| StanCorp Financial Group Inc. | 712,101 | 49,747 | |
| * | Liberty Broadband Corp. | 998,500 | 49,745 |
| Associated Banc-Corp | 2,636,923 | 49,126 | |
| Webster Financial Corp. | 1,509,707 | 49,111 | |
| * | PRA Group Inc. | 840,908 | 48,714 |
| MFA Financial Inc. | 6,095,121 | 48,700 | |
| Primerica Inc. | 897,183 | 48,681 | |
| Piedmont Office Realty Trust Inc. Class A | 2,574,781 | 48,509 | |
| Sun Communities Inc. | 802,171 | 48,499 | |
18
| Vanguard® Total Stock Market Index Fund | ||
| Schedule of Investments | ||
| December 31, 2014 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Sovran Self Storage Inc. | 554,742 | 48,385 |
| Brandywine Realty Trust | 3,023,059 | 48,308 |
| Aspen Insurance Holdings Ltd. | 1,089,497 | 47,687 |
| BankUnited Inc. | 1,610,711 | 46,662 |
| Bank of the Ozarks Inc. | 1,212,479 | 45,977 |
| White Mountains Insurance Group Ltd. | 71,992 | 45,363 |
| Bank of Hawaii Corp. | 756,104 | 44,845 |
| Gaming and Leisure Properties Inc. | 1,517,678 | 44,529 |
| Washington Prime Group Inc. | 2,585,468 | 44,522 |
| ProAssurance Corp. | 985,000 | 44,473 |
| Corporate Office Properties Trust | 1,546,622 | 43,878 |
| Colony Financial Inc. | 1,836,059 | 43,735 |
| Healthcare Realty Trust Inc. | 1,594,863 | 43,572 |
| Hancock Holding Co. | 1,391,863 | 42,730 |
| MarketAxess Holdings Inc. | 595,106 | 42,675 |
| Endurance Specialty Holdings Ltd. | 708,680 | 42,407 |
| * Texas Capital Bancshares Inc. | 763,996 | 41,508 |
| American National Insurance Co. | 357,861 | 40,889 |
| Janus Capital Group Inc. | 2,524,345 | 40,718 |
| PrivateBancorp Inc. | 1,218,322 | 40,692 |
| Susquehanna Bancshares Inc. | 3,028,231 | 40,669 |
| United Bankshares Inc. | 1,079,209 | 40,416 |
| MB Financial Inc. | 1,220,689 | 40,112 |
| TCF Financial Corp. | 2,517,384 | 40,001 |
| Cousins Properties Inc. | 3,472,161 | 39,652 |
| UMB Financial Corp. | 695,854 | 39,587 |
| Kite Realty Group Trust | 1,371,225 | 39,409 |
| FNB Corp. | 2,948,641 | 39,276 |
| Fulton Financial Corp. | 3,158,101 | 39,034 |
| Medical Properties Trust Inc. | 2,766,967 | 38,129 |
| Wintrust Financial Corp. | 808,771 | 37,818 |
| ^ Ryman Hospitality Properties Inc. | 715,815 | 37,752 |
| Washington Federal Inc. | 1,668,200 | 36,951 |
| * Harbinger Group Inc. | 2,609,361 | 36,949 |
| Erie Indemnity Co. Class A | 404,852 | 36,748 |
| National Health Investors Inc. | 524,976 | 36,727 |
| Valley National Bancorp | 3,751,033 | 36,423 |
| Acadia Realty Trust | 1,135,232 | 36,361 |
| DuPont Fabros Technology Inc. | 1,090,427 | 36,246 |
| Symetra Financial Corp. | 1,565,232 | 36,079 |
| First Industrial Realty Trust Inc. | 1,738,666 | 35,747 |
| Iberiabank Corp. | 544,382 | 35,303 |
| * Western Alliance Bancorp | 1,258,597 | 34,989 |
| American Equity Investment Life Holding Co. | 1,181,515 | 34,488 |
| American Realty Capital Healthcare Trust Inc. | 2,880,463 | 34,278 |
| Santander Consumer USA Holdings Inc. | 1,747,263 | 34,264 |
| Chesapeake Lodging Trust | 911,549 | 33,919 |
| Glimcher Realty Trust | 2,460,500 | 33,807 |
| Glacier Bancorp Inc. | 1,212,294 | 33,665 |
| * Blackhawk Network Holdings Inc. Class B | 889,242 | 33,516 |
| ^ Lexington Realty Trust | 3,003,203 | 32,975 |
| Invesco Mortgage Capital Inc. | 2,131,015 | 32,945 |
| BancorpSouth Inc. | 1,449,552 | 32,629 |
| * Liberty TripAdvisor Holdings Inc. Class A | 1,212,300 | 32,611 |
| RLI Corp. | 648,649 | 32,043 |
| ^ First Financial Bankshares Inc. | 1,066,938 | 31,880 |
| Financial Engines Inc. | 867,242 | 31,698 |
| Chambers Street Properties | 3,926,565 | 31,648 |
| EastGroup Properties Inc. | 496,931 | 31,466 |
| First Citizens BancShares Inc. Class A | 124,205 | 31,398 |
| Cathay General Bancorp | 1,224,794 | 31,342 |
| Home BancShares Inc. | 969,535 | 31,180 |
| EverBank Financial Corp. | 1,633,725 | 31,139 |
| Kennedy-Wilson Holdings Inc. | 1,201,909 | 30,408 |
19
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Alexander & Baldwin Inc. | 772,490 | 30,328 | |
| Washington REIT | 1,096,425 | 30,327 | |
| Hatteras Financial Corp. | 1,604,831 | 29,577 | |
| Platinum Underwriters Holdings Ltd. | 397,686 | 29,198 | |
| * | Education Realty Trust Inc. | 796,878 | 29,158 |
| STAG Industrial Inc. | 1,184,727 | 29,026 | |
| Trustmark Corp. | 1,179,322 | 28,941 | |
| New York REIT Inc. | 2,732,295 | 28,935 | |
| Capitol Federal Financial Inc. | 2,239,181 | 28,617 | |
| Hudson Pacific Properties Inc. | 945,955 | 28,435 | |
| Equity One Inc. | 1,119,299 | 28,385 | |
| ^ | AmTrust Financial Services Inc. | 503,819 | 28,340 |
| Interactive Brokers Group Inc. | 971,098 | 28,317 | |
| New Residential Investment Corp. | 2,215,217 | 28,288 | |
| Old National Bancorp | 1,901,079 | 28,288 | |
| Potlatch Corp. | 670,164 | 28,060 | |
| WisdomTree Investments Inc. | 1,788,716 | 28,038 | |
| Sabra Health Care REIT Inc. | 920,194 | 27,946 | |
| NRG Yield Inc. Class A | 592,466 | 27,929 | |
| * | Trulia Inc. | 603,364 | 27,773 |
| Redwood Trust Inc. | 1,391,458 | 27,412 | |
| SLM Corp. | 2,690,052 | 27,412 | |
| Artisan Partners Asset Management Inc. Class A | 539,464 | 27,259 | |
| Evercore Partners Inc. Class A | 509,560 | 26,686 | |
| Mercury General Corp. | 469,898 | 26,629 | |
| South State Corp. | 395,187 | 26,509 | |
| Community Bank System Inc. | 691,449 | 26,365 | |
| BGC Partners Inc. Class A | 2,858,283 | 26,153 | |
| International Bancshares Corp. | 981,993 | 26,062 | |
| Government Properties Income Trust | 1,130,816 | 26,020 | |
| CVB Financial Corp. | 1,621,300 | 25,973 | |
| *,^ | Ocwen Financial Corp. | 1,716,343 | 25,917 |
| Kemper Corp. | 716,318 | 25,866 | |
| PS Business Parks Inc. | 323,706 | 25,748 | |
| LTC Properties Inc. | 594,404 | 25,660 | |
| * | Enstar Group Ltd. | 167,539 | 25,615 |
| Blackstone Mortgage Trust Inc. Class A | 875,939 | 25,525 | |
| * | First Cash Financial Services Inc. | 457,749 | 25,483 |
| Virtus Investment Partners Inc. | 149,073 | 25,415 | |
| Mack-Cali Realty Corp. | 1,325,934 | 25,272 | |
| Pennsylvania REIT | 1,074,192 | 25,201 | |
| Retail Opportunity Investments Corp. | 1,491,492 | 25,042 | |
| PennyMac Mortgage Investment Trust | 1,187,381 | 25,042 | |
| Parkway Properties Inc. | 1,359,563 | 25,002 | |
| Columbia Banking System Inc. | 888,613 | 24,535 | |
| Argo Group International Holdings Ltd. | 438,944 | 24,348 | |
| Selective Insurance Group Inc. | 883,556 | 24,006 | |
| * | Essent Group Ltd. | 929,664 | 23,902 |
| American Assets Trust Inc. | 597,247 | 23,776 | |
| CYS Investments Inc. | 2,661,205 | 23,206 | |
| Home Loan Servicing Solutions Ltd. | 1,183,379 | 23,100 | |
| * | MBIA Inc. | 2,412,605 | 23,016 |
| Pinnacle Financial Partners Inc. | 581,723 | 23,001 | |
| Ramco-Gershenson Properties Trust | 1,225,288 | 22,962 | |
| *,^ | LendingClub Corp. | 906,886 | 22,944 |
| * | FNFV Group | 1,453,893 | 22,884 |
| Horace Mann Educators Corp. | 683,860 | 22,690 | |
| Montpelier Re Holdings Ltd. | 632,513 | 22,657 | |
| National Penn Bancshares Inc. | 2,098,832 | 22,090 | |
| FelCor Lodging Trust Inc. | 2,030,094 | 21,966 | |
| Hersha Hospitality Trust Class A | 3,119,996 | 21,934 | |
| BOK Financial Corp. | 364,685 | 21,896 | |
| ARMOUR Residential REIT Inc. | 5,942,043 | 21,867 | |
| * | Hilltop Holdings Inc. | 1,076,664 | 21,479 |
20
| Vanguard® Total Stock Market Index Fund | ||
| Schedule of Investments | ||
| December 31, 2014 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Westamerica Bancorporation | 435,305 | 21,339 |
| * Springleaf Holdings Inc. | 584,864 | 21,155 |
| First Midwest Bancorp Inc. | 1,230,588 | 21,055 |
| * iStar Financial Inc. | 1,534,321 | 20,943 |
| Associated Estates Realty Corp. | 897,786 | 20,838 |
| TFS Financial Corp. | 1,366,511 | 20,341 |
| Capstead Mortgage Corp. | 1,650,893 | 20,273 |
| * Liberty Broadband Corp. Class A | 398,565 | 19,964 |
| Independent Bank Corp. | 460,697 | 19,722 |
| Greenhill & Co. Inc. | 450,701 | 19,651 |
| Gramercy Property Trust Inc. | 2,845,615 | 19,635 |
| NBT Bancorp Inc. | 738,489 | 19,400 |
| HFF Inc. Class A | 537,704 | 19,314 |
| Franklin Street Properties Corp. | 1,524,934 | 18,711 |
| Park National Corp. | 210,524 | 18,627 |
| Sterling Bancorp | 1,293,692 | 18,603 |
| Altisource Residential Corp. | 950,701 | 18,444 |
| BBCN Bancorp Inc. | 1,273,758 | 18,317 |
| Astoria Financial Corp. | 1,369,912 | 18,302 |
| New Senior Investment Group Inc. | 1,112,504 | 18,301 |
| Northwest Bancshares Inc. | 1,451,912 | 18,192 |
| Union Bankshares Corp. | 749,957 | 18,059 |
| First Financial Bancorp | 965,833 | 17,955 |
| Empire State Realty Trust Inc. | 1,021,321 | 17,955 |
| * Encore Capital Group Inc. | 394,909 | 17,534 |
| Boston Private Financial Holdings Inc. | 1,292,853 | 17,415 |
| Summit Hotel Properties Inc. | 1,392,600 | 17,324 |
| * BofI Holding Inc. | 222,542 | 17,316 |
| Chemical Financial Corp. | 565,091 | 17,314 |
| Nelnet Inc. Class A | 370,936 | 17,185 |
| WesBanco Inc. | 489,414 | 17,032 |
| Renasant Corp. | 585,553 | 16,940 |
| CyrusOne Inc. | 608,529 | 16,765 |
| Provident Financial Services Inc. | 918,582 | 16,590 |
| American Capital Mortgage Investment Corp. | 877,829 | 16,538 |
| Chatham Lodging Trust | 563,840 | 16,334 |
| United Community Banks Inc. | 854,092 | 16,176 |
| Starwood Waypoint Residential Trust | 612,762 | 16,159 |
| Ashford Hospitality Trust Inc. | 1,531,242 | 16,047 |
| * Greenlight Capital Re Ltd. Class A | 490,997 | 16,031 |
| Aviv REIT Inc. | 464,931 | 16,031 |
| Select Income REIT | 643,340 | 15,704 |
| Alexander's Inc. | 35,919 | 15,703 |
| * St. Joe Co. | 852,051 | 15,669 |
| Inland Real Estate Corp. | 1,428,188 | 15,639 |
| Investors Real Estate Trust | 1,895,931 | 15,490 |
| First Merchants Corp. | 663,235 | 15,089 |
| Tompkins Financial Corp. | 272,191 | 15,052 |
| Physicians Realty Trust | 900,891 | 14,955 |
| Safety Insurance Group Inc. | 232,466 | 14,880 |
| * Piper Jaffray Cos. | 255,892 | 14,865 |
| * Ambac Financial Group Inc. | 604,676 | 14,815 |
| S&T Bancorp Inc. | 496,613 | 14,804 |
| ViewPoint Financial Group Inc. | 613,095 | 14,622 |
| * TESARO Inc. | 392,111 | 14,583 |
| * KCG Holdings Inc. Class A | 1,248,690 | 14,547 |
| Banner Corp. | 337,150 | 14,504 |
| First Commonwealth Financial Corp. | 1,568,581 | 14,462 |
| Terreno Realty Corp. | 695,892 | 14,356 |
| Infinity Property & Casualty Corp. | 184,529 | 14,257 |
| * Navigators Group Inc. | 192,310 | 14,104 |
| ^ New York Mortgage Trust Inc. | 1,801,290 | 13,888 |
| CoreSite Realty Corp. | 354,934 | 13,860 |
| * Eagle Bancorp Inc. | 386,379 | 13,724 |
21
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| National Bank Holdings Corp. Class A | 699,103 | 13,570 | |
| Lakeland Financial Corp. | 312,111 | 13,567 | |
| * | Synergy Resources Corp. | 1,054,723 | 13,226 |
| AMERISAFE Inc. | 311,707 | 13,204 | |
| * | Green Dot Corp. Class A | 634,818 | 13,007 |
| RAIT Financial Trust | 1,672,014 | 12,824 | |
| City Holding Co. | 273,219 | 12,713 | |
| Stewart Information Services Corp. | 342,582 | 12,689 | |
| Cohen & Steers Inc. | 301,363 | 12,681 | |
| * | Paramount Group Inc. | 671,767 | 12,488 |
| * | Capital Bank Financial Corp. | 463,679 | 12,427 |
| Apollo Commercial Real Estate Finance Inc. | 757,101 | 12,386 | |
| Wilshire Bancorp Inc. | 1,215,367 | 12,312 | |
| OFG Bancorp | 736,344 | 12,260 | |
| Excel Trust Inc. | 906,538 | 12,139 | |
| First Potomac Realty Trust | 976,695 | 12,072 | |
| Talmer Bancorp Inc. Class A | 848,818 | 11,917 | |
| United Financial Bancorp Inc. | 829,479 | 11,911 | |
| National General Holdings Corp. | 636,520 | 11,846 | |
| Saul Centers Inc. | 205,209 | 11,736 | |
| Brookline Bancorp Inc. | 1,167,478 | 11,710 | |
| Employers Holdings Inc. | 496,410 | 11,671 | |
| * | Investment Technology Group Inc. | 559,876 | 11,657 |
| Anworth Mortgage Asset Corp. | 2,213,554 | 11,621 | |
| Northfield Bancorp Inc. | 777,357 | 11,505 | |
| Hanmi Financial Corp. | 526,931 | 11,492 | |
| ^ | Rouse Properties Inc. | 607,348 | 11,248 |
| Ameris Bancorp | 438,084 | 11,232 | |
| State Bank Financial Corp. | 561,655 | 11,222 | |
| TrustCo Bank Corp. NY | 1,532,497 | 11,126 | |
| 1st Source Corp. | 321,874 | 11,043 | |
| Central Pacific Financial Corp. | 510,259 | 10,971 | |
| FXCM Inc. Class A | 657,550 | 10,896 | |
| Cash America International Inc. | 480,654 | 10,872 | |
| ^ | Western Asset Mortgage Capital Corp. | 733,635 | 10,784 |
| Cardinal Financial Corp. | 540,182 | 10,712 | |
| Maiden Holdings Ltd. | 836,107 | 10,694 | |
| Rexford Industrial Realty Inc. | 680,695 | 10,694 | |
| *,^ | Nationstar Mortgage Holdings Inc. | 378,484 | 10,669 |
| Berkshire Hills Bancorp Inc. | 398,490 | 10,624 | |
| Sandy Spring Bancorp Inc. | 405,510 | 10,576 | |
| * | First BanCorp | 1,793,577 | 10,528 |
| Resource Capital Corp. | 2,087,473 | 10,521 | |
| Simmons First National Corp. Class A | 257,866 | 10,482 | |
| Moelis & Co. Class A | 298,969 | 10,443 | |
| ^ | Southside Bancshares Inc. | 360,752 | 10,429 |
| FBL Financial Group Inc. Class A | 175,863 | 10,205 | |
| Oritani Financial Corp. | 660,899 | 10,178 | |
| WSFS Financial Corp. | 131,411 | 10,104 | |
| Universal Insurance Holdings Inc. | 489,824 | 10,017 | |
| * | Ladder Capital Corp. | 507,039 | 9,943 |
| *,^ | Walter Investment Management Corp. | 601,623 | 9,933 |
| Silver Bay Realty Trust Corp. | 598,636 | 9,913 | |
| Community Trust Bancorp Inc. | 270,690 | 9,910 | |
| Universal Health Realty Income Trust | 205,426 | 9,885 | |
| ServisFirst Bancshares Inc. | 299,309 | 9,862 | |
| * | Enova International Inc. | 441,383 | 9,825 |
| * | Meridian Bancorp Inc. | 875,312 | 9,821 |
| National Western Life Insurance Co. Class A | 36,219 | 9,752 | |
| * | Tejon Ranch Co. | 330,059 | 9,724 |
| * | Xoom Corp. | 548,602 | 9,606 |
| Flushing Financial Corp. | 471,983 | 9,567 | |
| Arlington Asset Investment Corp. Class A | 358,355 | 9,536 | |
| United Development Funding IV | 518,773 | 9,514 | |
22
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| *,^ | State National Cos. Inc. | 792,165 | 9,490 |
| * | World Acceptance Corp. | 117,751 | 9,355 |
| * | Ezcorp Inc. Class A | 794,832 | 9,339 |
| Monmouth Real Estate Investment Corp. | 841,361 | 9,314 | |
| United Fire Group Inc. | 313,058 | 9,307 | |
| * | American Residential Properties Inc. | 528,191 | 9,280 |
| Centerstate Banks Inc. | 771,611 | 9,190 | |
| First Interstate BancSystem Inc. Class A | 328,972 | 9,152 | |
| Cedar Realty Trust Inc. | 1,234,081 | 9,058 | |
| First Financial Corp. | 250,928 | 8,938 | |
| AG Mortgage Investment Trust Inc. | 476,653 | 8,851 | |
| Campus Crest Communities Inc. | 1,210,310 | 8,847 | |
| Washington Trust Bancorp Inc. | 219,553 | 8,822 | |
| * | NMI Holdings Inc. Class A | 965,506 | 8,815 |
| * | Credit Acceptance Corp. | 63,844 | 8,709 |
| Winthrop Realty Trust | 554,316 | 8,642 | |
| BNC Bancorp | 501,354 | 8,628 | |
| * | Square 1 Financial Inc. Class A | 348,606 | 8,611 |
| ConnectOne Bancorp Inc. | 452,563 | 8,599 | |
| Agree Realty Corp. | 272,793 | 8,481 | |
| Trico Bancshares | 341,668 | 8,439 | |
| Apollo Residential Mortgage Inc. | 526,967 | 8,310 | |
| * | Forestar Group Inc. | 536,490 | 8,262 |
| AmREIT Inc. | 310,558 | 8,242 | |
| Urstadt Biddle Properties Inc. Class A | 374,432 | 8,193 | |
| Heritage Financial Corp. | 466,545 | 8,188 | |
| * | First NBC Bank Holding Co. | 231,868 | 8,162 |
| * | Customers Bancorp Inc. | 415,656 | 8,089 |
| Dime Community Bancshares Inc. | 494,219 | 8,046 | |
| Getty Realty Corp. | 441,257 | 8,035 | |
| *,^ | Altisource Portfolio Solutions SA | 237,665 | 8,031 |
| CatchMark Timber Trust Inc. Class A | 698,864 | 7,911 | |
| CoBiz Financial Inc. | 588,746 | 7,730 | |
| QTS Realty Trust Inc. Class A | 227,449 | 7,697 | |
| Westwood Holdings Group Inc. | 124,392 | 7,690 | |
| BancFirst Corp. | 120,816 | 7,659 | |
| * | Heritage Insurance Holdings Inc. | 393,117 | 7,638 |
| ^ | RCS Capital Corp. Class A | 623,934 | 7,637 |
| * | Cowen Group Inc. Class A | 1,590,625 | 7,635 |
| CareTrust REIT Inc. | 609,700 | 7,518 | |
| First Busey Corp. | 1,141,714 | 7,433 | |
| * | PICO Holdings Inc. | 389,636 | 7,345 |
| * | Yadkin Financial Corp. | 370,731 | 7,285 |
| * | eHealth Inc. | 286,782 | 7,147 |
| * | Beneficial Mutual Bancorp Inc. | 579,720 | 7,113 |
| * | Safeguard Scientifics Inc. | 353,585 | 7,008 |
| Dynex Capital Inc. | 838,968 | 6,921 | |
| * | Great Western Bancorp Inc. | 302,800 | 6,901 |
| Stock Yards Bancorp Inc. | 206,377 | 6,881 | |
| GAMCO Investors Inc. | 77,314 | 6,876 | |
| Hannon Armstrong Sustainable Infrastructure Capital Inc. | 480,011 | 6,831 | |
| * | Ladenburg Thalmann Financial Services Inc. | 1,696,361 | 6,701 |
| Bank Mutual Corp. | 965,348 | 6,622 | |
| First Connecticut Bancorp Inc. | 402,998 | 6,577 | |
| Meadowbrook Insurance Group Inc. | 769,571 | 6,511 | |
| Heartland Financial USA Inc. | 239,592 | 6,493 | |
| HCI Group Inc. | 146,673 | 6,342 | |
| RE/MAX Holdings Inc. | 185,117 | 6,340 | |
| One Liberty Properties Inc. | 265,789 | 6,291 | |
| Ashford Hospitality Prime Inc. | 365,130 | 6,266 | |
| Hudson Valley Holding Corp. | 229,988 | 6,246 | |
| Towne Bank | 412,273 | 6,234 | |
| OneBeacon Insurance Group Ltd. Class A | 384,186 | 6,224 | |
| * | Phoenix Cos. Inc. | 89,871 | 6,189 |
23
| Vanguard® Total Stock Market Index Fund | ||
| Schedule of Investments | ||
| December 31, 2014 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Bancorp Inc. | 566,056 | 6,164 |
| Independent Bank Group Inc. | 157,322 | 6,145 |
| Great Southern Bancorp Inc. | 154,842 | 6,143 |
| United Insurance Holdings Corp. | 277,798 | 6,098 |
| Resource America Inc. Class A | 673,903 | 6,092 |
| Diamond Hill Investment Group Inc. | 44,013 | 6,076 |
| Peoples Financial Services Corp. | 121,669 | 6,045 |
| Waterstone Financial Inc. | 455,572 | 5,991 |
| * SWS Group Inc. | 862,789 | 5,962 |
| JAVELIN Mortgage Investment Corp. | 574,140 | 5,954 |
| Armada Hoffler Properties Inc. | 625,383 | 5,935 |
| * Tree.com Inc. | 120,646 | 5,832 |
| Lakeland Bancorp Inc. | 496,875 | 5,813 |
| Bryn Mawr Bank Corp. | 185,366 | 5,802 |
| * Walker & Dunlop Inc. | 329,639 | 5,782 |
| * Altisource Asset Management Corp. | 18,532 | 5,747 |
| Whitestone REIT | 376,532 | 5,689 |
| MainSource Financial Group Inc. | 268,476 | 5,617 |
| * FCB Financial Holdings Inc. Class A | 227,654 | 5,609 |
| * PennyMac Financial Services Inc. Class A | 319,648 | 5,530 |
| Southwest Bancorp Inc. | 316,301 | 5,491 |
| United Community Financial Corp. | 1,013,343 | 5,442 |
| * HomeTrust Bancshares Inc. | 324,281 | 5,403 |
| Financial Institutions Inc. | 213,819 | 5,378 |
| Stonegate Bank | 176,828 | 5,238 |
| German American Bancorp Inc. | 170,859 | 5,215 |
| * Flagstar Bancorp Inc. | 330,689 | 5,202 |
| Preferred Apartment Communities Inc. Class A | 571,338 | 5,199 |
| Fidelity & Guaranty Life | 213,091 | 5,172 |
| First Bancorp | 279,699 | 5,166 |
| Banc of California Inc. | 449,207 | 5,152 |
| Arrow Financial Corp. | 187,247 | 5,147 |
| * Marcus & Millichap Inc. | 153,463 | 5,103 |
| Enterprise Financial Services Corp. | 257,381 | 5,078 |
| * Seacoast Banking Corp. of Florida | 368,922 | 5,073 |
| Preferred Bank | 181,363 | 5,058 |
| Independent Bank Corp. | 387,488 | 5,057 |
| West Bancorporation Inc. | 295,741 | 5,034 |
| Federated National Holding Co. | 207,891 | 5,023 |
| Independence Realty Trust Inc. | 539,206 | 5,020 |
| Trade Street Residential Inc. | 649,633 | 4,996 |
| Newcastle Investment Corp. | 1,110,426 | 4,986 |
| Peoples Bancorp Inc. | 191,495 | 4,965 |
| * Tiptree Financial Inc. Class A | 612,958 | 4,965 |
| Gladstone Commercial Corp. | 287,375 | 4,934 |
| * INTL. FCStone Inc. | 239,682 | 4,930 |
| * Blue Hills Bancorp Inc. | 360,941 | 4,902 |
| * NewStar Financial Inc. | 380,250 | 4,867 |
| Consolidated-Tomoka Land Co. | 87,122 | 4,861 |
| State Auto Financial Corp. | 218,275 | 4,850 |
| Ares Commercial Real Estate Corp. | 420,322 | 4,825 |
| First of Long Island Corp. | 168,678 | 4,785 |
| * Metro Bancorp Inc. | 183,447 | 4,755 |
| Cherry Hill Mortgage Investment Corp. | 255,132 | 4,717 |
| Mercantile Bank Corp. | 223,978 | 4,708 |
| GFI Group Inc. | 862,247 | 4,699 |
| ^ Orchid Island Capital Inc. | 349,356 | 4,559 |
| Univest Corp. of Pennsylvania | 224,075 | 4,535 |
| Bank of Kentucky Financial Corp. | 92,910 | 4,485 |
| First Defiance Financial Corp. | 131,541 | 4,480 |
| * Citizens Inc. Class A | 585,716 | 4,451 |
| Park Sterling Corp. | 600,468 | 4,413 |
| * MoneyGram International Inc. | 484,819 | 4,407 |
| Calamos Asset Management Inc. Class A | 330,422 | 4,401 |
24
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| EMC Insurance Group Inc. | 121,496 | 4,308 | |
| * | Pacific Premier Bancorp Inc. | 248,353 | 4,304 |
| Camden National Corp. | 107,679 | 4,290 | |
| Charter Financial Corp. | 371,930 | 4,259 | |
| Fidelity Southern Corp. | 263,380 | 4,243 | |
| Meta Financial Group Inc. | 120,767 | 4,232 | |
| * | HealthEquity Inc. | 166,107 | 4,227 |
| Bridge Bancorp Inc. | 157,073 | 4,202 | |
| Bank of Marin Bancorp | 79,664 | 4,190 | |
| Baldwin & Lyons Inc. | 156,996 | 4,047 | |
| First Community Bancshares Inc. | 245,292 | 4,040 | |
| Arbor Realty Trust Inc. | 582,655 | 3,945 | |
| Federal Agricultural Mortgage Corp. | 129,190 | 3,920 | |
| * | Nicholas Financial Inc. | 253,867 | 3,783 |
| * | TriState Capital Holdings Inc. | 365,066 | 3,738 |
| * | NewBridge Bancorp | 428,990 | 3,736 |
| Suffolk Bancorp | 160,926 | 3,655 | |
| * | Performant Financial Corp. | 534,089 | 3,552 |
| ZAIS Financial Corp. | 203,567 | 3,512 | |
| CNB Financial Corp. | 189,417 | 3,504 | |
| National Interstate Corp. | 117,238 | 3,494 | |
| Republic Bancorp Inc. Class A | 141,050 | 3,487 | |
| OceanFirst Financial Corp. | 201,519 | 3,454 | |
| * | Global Indemnity plc | 121,107 | 3,436 |
| * | Jason Industries Inc. | 348,228 | 3,430 |
| Oppenheimer Holdings Inc. Class A | 147,342 | 3,426 | |
| City Office REIT Inc. | 265,650 | 3,400 | |
| Owens Realty Mortgage Inc. | 229,581 | 3,363 | |
| Pacific Continental Corp. | 237,114 | 3,362 | |
| Citizens & Northern Corp. | 161,906 | 3,347 | |
| Heritage Oaks Bancorp | 391,397 | 3,284 | |
| * | Franklin Financial Corp. | 154,802 | 3,279 |
| Silvercrest Asset Management Group Inc. Class A | 208,762 | 3,267 | |
| Intervest Bancshares Corp. Class A | 324,847 | 3,265 | |
| Manning & Napier Inc. | 235,692 | 3,257 | |
| Guaranty Bancorp | 223,224 | 3,223 | |
| *,^ | Stonegate Mortgage Corp. | 267,994 | 3,205 |
| Simplicity Bancorp Inc. | 186,300 | 3,195 | |
| Marlin Business Services Corp. | 155,534 | 3,193 | |
| ESB Financial Corp. | 168,541 | 3,192 | |
| Clifton Bancorp Inc. | 234,460 | 3,186 | |
| * | Sun Bancorp Inc. | 160,401 | 3,112 |
| HomeStreet Inc. | 177,519 | 3,091 | |
| Donegal Group Inc. Class A | 191,748 | 3,064 | |
| * | Bridge Capital Holdings | 136,907 | 3,064 |
| Heritage Commerce Corp. | 343,871 | 3,036 | |
| Reis Inc. | 116,004 | 3,036 | |
| Heritage Financial Group Inc. | 115,493 | 2,991 | |
| * | Kearny Financial Corp. | 216,985 | 2,984 |
| BankFinancial Corp. | 249,742 | 2,962 | |
| ESSA Bancorp Inc. | 244,866 | 2,938 | |
| Ames National Corp. | 112,988 | 2,931 | |
| * | JG Wentworth Co. Class A | 273,989 | 2,921 |
| * | Regional Management Corp. | 182,733 | 2,889 |
| Kansas City Life Insurance Co. | 59,723 | 2,868 | |
| Sierra Bancorp | 162,405 | 2,852 | |
| Horizon Bancorp | 108,982 | 2,849 | |
| * | Cascade Bancorp | 545,291 | 2,830 |
| Penns Woods Bancorp Inc. | 57,450 | 2,830 | |
| *,^ | FBR & Co. | 112,998 | 2,779 |
| Territorial Bancorp Inc. | 128,669 | 2,773 | |
| National Bankshares Inc. | 91,093 | 2,768 | |
| Ellington Residential Mortgage REIT | 169,040 | 2,750 | |
| Gain Capital Holdings Inc. | 302,132 | 2,725 | |
25
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | CU Bancorp | 125,068 | 2,713 |
| * | Opus Bank | 94,521 | 2,682 |
| Westfield Financial Inc. | 363,279 | 2,666 | |
| Bluerock Residential Growth REIT Inc. Class A | 214,337 | 2,664 | |
| MidWestOne Financial Group Inc. | 91,437 | 2,634 | |
| Macatawa Bank Corp. | 476,968 | 2,595 | |
| JMP Group Inc. | 337,982 | 2,575 | |
| American National Bankshares Inc. | 103,500 | 2,568 | |
| * | Farmers Capital Bank Corp. | 109,052 | 2,540 |
| * | CommunityOne Bancorp | 219,784 | 2,517 |
| First Business Financial Services Inc. | 50,333 | 2,411 | |
| First Financial Northwest Inc. | 199,551 | 2,403 | |
| Capital City Bank Group Inc. | 153,843 | 2,391 | |
| First Bancorp Inc. | 131,912 | 2,386 | |
| * | Liberty Broadband Rights Exp. 01/09/2015 | 250,207 | 2,377 |
| * | Imperial Holdings Inc. | 363,313 | 2,369 |
| Peapack Gladstone Financial Corp. | 127,122 | 2,359 | |
| *,^ | Ohr Pharmaceutical Inc. | 280,750 | 2,341 |
| Bar Harbor Bankshares | 71,964 | 2,303 | |
| Medley Management Inc. Class A | 156,644 | 2,303 | |
| * | Consumer Portfolio Services Inc. | 311,638 | 2,294 |
| * | Actinium Pharmaceuticals Inc. | 389,327 | 2,293 |
| UMH Properties Inc. | 239,570 | 2,288 | |
| * | BSB Bancorp Inc. | 120,857 | 2,252 |
| Provident Financial Holdings Inc. | 148,582 | 2,248 | |
| Fox Chase Bancorp Inc. | 133,131 | 2,219 | |
| * | Old Second Bancorp Inc. | 412,781 | 2,217 |
| * | Hallmark Financial Services Inc. | 181,402 | 2,193 |
| * | AV Homes Inc. | 149,431 | 2,177 |
| *,^ | Hemisphere Media Group Inc. | 161,214 | 2,175 |
| * | BRT Realty Trust | 310,752 | 2,169 |
| Enterprise Bancorp Inc. | 85,660 | 2,163 | |
| Northrim BanCorp Inc. | 82,417 | 2,163 | |
| Pzena Investment Management Inc. Class A | 228,584 | 2,162 | |
| Merchants Bancshares Inc. | 68,100 | 2,086 | |
| * | Triumph Bancorp Inc. | 152,772 | 2,070 |
| * | Atlas Financial Holdings Inc. | 125,053 | 2,041 |
| C&F Financial Corp. | 51,299 | 2,039 | |
| LCNB Corp. | 133,563 | 2,013 | |
| * | First Security Group Inc. | 881,994 | 1,993 |
| Home Bancorp Inc. | 86,617 | 1,987 | |
| * | Republic First Bancorp Inc. | 528,880 | 1,983 |
| Five Oaks Investment Corp. | 180,314 | 1,947 | |
| * | Orrstown Financial Services Inc. | 111,899 | 1,900 |
| Blue Capital Reinsurance Holdings Ltd. | 106,126 | 1,884 | |
| Sotherly Hotels Inc. | 250,995 | 1,882 | |
| * | Pacific Mercantile Bancorp | 264,123 | 1,859 |
| MidSouth Bancorp Inc. | 103,391 | 1,793 | |
| Farmers National Banc Corp. | 211,343 | 1,765 | |
| Century Bancorp Inc. Class A | 44,025 | 1,764 | |
| STORE Capital Corp. | 81,581 | 1,763 | |
| Central Valley Community Bancorp | 158,873 | 1,760 | |
| * | Ashford Inc. | 18,705 | 1,758 |
| MutualFirst Financial Inc. | 79,243 | 1,741 | |
| * | Entegra Financial Corp. | 120,409 | 1,733 |
| Old Line Bancshares Inc. | 105,897 | 1,675 | |
| Cape Bancorp Inc. | 176,768 | 1,663 | |
| * | BBX Capital Corp. | 100,347 | 1,651 |
| Peoples Federal Bancshares Inc. | 72,975 | 1,645 | |
| * | Hampton Roads Bankshares Inc. | 974,850 | 1,638 |
| SI Financial Group Inc. | 146,648 | 1,634 | |
| Monarch Financial Holdings Inc. | 112,672 | 1,549 | |
| Pulaski Financial Corp. | 124,530 | 1,535 | |
| Middleburg Financial Corp. | 83,787 | 1,518 | |
26
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Access National Corp. | 85,934 | 1,455 | |
| Farmland Partners Inc. | 139,301 | 1,450 | |
| Independence Holding Co. | 103,421 | 1,443 | |
| * | UCP Inc. | 135,560 | 1,423 |
| Investors Title Co. | 19,545 | 1,414 | |
| Hingham Institution for Savings | 15,958 | 1,389 | |
| * | Asta Funding Inc. | 158,546 | 1,387 |
| * | Hamilton Bancorp Inc. | 105,571 | 1,372 |
| * | Riverview Bancorp Inc. | 297,585 | 1,333 |
| Premier Financial Bancorp Inc. | 85,297 | 1,329 | |
| Chemung Financial Corp. | 47,586 | 1,318 | |
| * | Malvern Bancorp Inc. | 102,941 | 1,253 |
| HopFed Bancorp Inc. | 94,955 | 1,208 | |
| * | ASB Bancorp Inc. | 58,307 | 1,199 |
| MicroFinancial Inc. | 116,085 | 1,185 | |
| Ameriana Bancorp | 68,169 | 1,183 | |
| Urstadt Biddle Properties Inc. | 63,312 | 1,174 | |
| * | Westbury Bancorp Inc. | 69,724 | 1,143 |
| Chicopee Bancorp Inc. | 67,427 | 1,129 | |
| Cheviot Financial Corp. | 78,989 | 1,122 | |
| * | Maui Land & Pineapple Co. Inc. | 183,834 | 1,116 |
| *,^ | 22nd Century Group Inc. | 669,515 | 1,105 |
| LNB Bancorp Inc. | 58,711 | 1,059 | |
| Alliance Bancorp Inc. of Pennsylvania | 58,843 | 1,050 | |
| QCR Holdings Inc. | 57,911 | 1,045 | |
| Palmetto Bancshares Inc. | 60,800 | 1,015 | |
| Gladstone Land Corp. | 93,822 | 1,004 | |
| First Internet Bancorp | 58,551 | 980 | |
| * | American River Bankshares | 102,892 | 969 |
| * | Shore Bancshares Inc. | 102,597 | 959 |
| Northeast Bancorp | 99,071 | 955 | |
| * | First Acceptance Corp. | 371,196 | 947 |
| Bear State Financial Inc. | 85,986 | 946 | |
| * | Southern First Bancshares Inc. | 56,420 | 921 |
| * | MBT Financial Corp. | 181,117 | 904 |
| Federal Agricultural Mortgage Corp. Class A | 38,986 | 886 | |
| Bank of Commerce Holdings | 144,369 | 862 | |
| AmeriServ Financial Inc. | 260,540 | 818 | |
| *,^ | Health Insurance Innovations Inc. Class A | 112,268 | 804 |
| * | Coastway Bancorp Inc. | 69,446 | 800 |
| * | Naugatuck Valley Financial Corp. | 91,875 | 789 |
| Timberland Bancorp Inc. | 73,350 | 778 | |
| FS Bancorp Inc. | 42,202 | 770 | |
| *,^ | ForceField Energy Inc. | 118,882 | 766 |
| * | Eastern Virginia Bankshares Inc. | 117,274 | 759 |
| * | First Marblehead Corp. | 120,617 | 718 |
| US Global Investors Inc. Class A | 227,235 | 704 | |
| Hampden Bancorp Inc. | 32,765 | 701 | |
| * | Atlantic Coast Financial Corp. | 171,014 | 681 |
| Baylake Corp. | 51,267 | 640 | |
| * | 1347 Property Insurance Holdings Inc. | 80,785 | 635 |
| *,^ | Doral Financial Corp. | 160,371 | 633 |
| * | Security National Financial Corp. Class A | 107,916 | 622 |
| Guaranty Federal Bancshares Inc. | 43,358 | 581 | |
| * | First United Corp. | 66,348 | 570 |
| * | Impac Mortgage Holdings Inc. | 90,648 | 562 |
| * | World Energy Solutions Inc. | 98,000 | 539 |
| Intersections Inc. | 137,800 | 539 | |
| First Bancshares Inc. | 35,881 | 521 | |
| * | First Bank | 82,347 | 514 |
| Old Point Financial Corp. | 33,438 | 502 | |
| * | Green Bancorp Inc. | 38,733 | 466 |
| * | Polonia Bancorp Inc. | 41,525 | 431 |
| Bank of South Carolina Corp. | 28,084 | 416 | |
27
| Vanguard® Total Stock Market Index Fund | ||
| Schedule of Investments | ||
| December 31, 2014 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Kingstone Cos. Inc. | 51,041 | 415 |
| California First National Bancorp | 28,157 | 402 |
| Community West Bancshares | 59,145 | 400 |
| CIFC Corp. | 47,737 | 395 |
| River Valley Bancorp | 18,324 | 388 |
| United Bancorp Inc. | 46,010 | 380 |
| Hennessy Advisors Inc. | 16,155 | 354 |
| Wheeler REIT Inc. | 87,100 | 344 |
| * Carolina Trust Bank | 61,215 | 311 |
| SB Financial Group Inc. | 33,052 | 309 |
| Salisbury Bancorp Inc. | 10,806 | 294 |
| * Royal Bancshares of Pennsylvania Inc. | 180,190 | 290 |
| * CMS Bancorp Inc. | 21,955 | 283 |
| * Bankwell Financial Group Inc. | 13,327 | 280 |
| * HMN Financial Inc. | 22,531 | 279 |
| * Atlanticus Holdings Corp. | 105,954 | 273 |
| Eagle Bancorp Montana Inc. | 24,838 | 269 |
| United Community Bancorp | 22,954 | 267 |
| IF Bancorp Inc. | 13,547 | 225 |
| Institutional Financial Markets Inc. | 124,173 | 217 |
| * On Deck Capital Inc. | 9,333 | 209 |
| CB Financial Services Inc. | 10,159 | 202 |
| First Savings Financial Group Inc. | 7,388 | 194 |
| LaPorte Bancorp Inc. | 15,458 | 193 |
| NB&T Financial Group Inc. | 6,049 | 193 |
| Summit State Bank | 13,701 | 188 |
| First Citizens Banc Corp. | 18,139 | 187 |
| * Transcontinental Realty Investors Inc. | 16,524 | 172 |
| Citizens Community Bancorp Inc. | 17,240 | 157 |
| Life Partners Holdings Inc. | 230,077 | 153 |
| Madison County Financial Inc. | 7,441 | 149 |
| * Patriot National Bancorp Inc. | 87,095 | 142 |
| Parke Bancorp Inc. | 12,312 | 142 |
| QC Holdings Inc. | 83,632 | 135 |
| * Carolina Bank Holdings Inc. | 13,013 | 124 |
| * Carver Bancorp Inc. | 19,300 | 121 |
| * American Realty Investors Inc. | 21,174 | 116 |
| WVS Financial Corp. | 9,511 | 103 |
| * InterGroup Corp. | 5,645 | 101 |
| * First Capital Bancorp Inc. | 21,437 | 94 |
| * Jacksonville Bancorp Inc. | 7,410 | 91 |
| * Fifth Street Asset Management Inc. | 6,300 | 88 |
| Northeast Community Bancorp Inc. | 12,016 | 87 |
| * Southcoast Financial Corp. | 10,597 | 75 |
| * Income Opportunity Realty Investors Inc. | 12,450 | 74 |
| Vestin Realty Mortgage II Inc. | 18,880 | 71 |
| Athens Bancshares Corp. | 2,613 | 68 |
| * Tejon Ranch Co. Warrants Exp. 08/31/2016 | 33,339 | 58 |
| * Power REIT | 7,036 | 58 |
| Investar Holding Corp. | 3,603 | 50 |
| Atlantic American Corp. | 11,680 | 47 |
| * Citizens First Corp. | 3,499 | 42 |
| Manhattan Bridge Capital Inc. | 6,863 | 28 |
| * Internet Patents Corp. | 8,626 | 24 |
| * Cordia Bancorp Inc. | 5,680 | 23 |
| * Sunshine Bancorp Inc. | 1,800 | 22 |
| United Bancshares Inc. | 1,300 | 19 |
| Home Federal Bancorp Inc. | 780 | 15 |
| HMG/Courtland Properties Inc. | 945 | 11 |
| * Unico American Corp. | 900 | 11 |
| * JW Mays Inc. | 100 | 5 |
| * Porter Bancorp Inc. | 7,458 | 4 |
| * Valley National Bancorp Warrants Exp. 06/30/2015 | 6,511 | — |
| 72,994,923 | ||
28
| Vanguard® Total Stock Market Index Fund | ||
| Schedule of Investments | ||
| December 31, 2014 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Health Care (13.2%) | ||
| Johnson & Johnson | 47,186,784 | 4,934,322 |
| Pfizer Inc. | 106,180,361 | 3,307,518 |
| Merck & Co. Inc. | 48,061,630 | 2,729,420 |
| * Gilead Sciences Inc. | 25,424,252 | 2,396,490 |
| Amgen Inc. | 12,821,029 | 2,042,262 |
| AbbVie Inc. | 25,518,092 | 1,669,904 |
| Bristol-Myers Squibb Co. | 27,958,894 | 1,650,414 |
| UnitedHealth Group Inc. | 16,171,369 | 1,634,764 |
| * Celgene Corp. | 13,457,711 | 1,505,380 |
| * Biogen Idec Inc. | 3,978,989 | 1,350,668 |
| Medtronic Inc. | 16,596,392 | 1,198,260 |
| Eli Lilly & Co. | 16,880,861 | 1,164,611 |
| * Actavis plc | 4,466,767 | 1,149,791 |
| Abbott Laboratories | 25,377,956 | 1,142,516 |
| Allergan Inc. | 5,019,947 | 1,067,191 |
| * Express Scripts Holding Co. | 12,365,351 | 1,046,974 |
| Thermo Fisher Scientific Inc. | 6,739,567 | 844,400 |
| Covidien plc | 7,247,468 | 741,271 |
| Baxter International Inc. | 9,129,148 | 669,075 |
| * Alexion Pharmaceuticals Inc. | 3,344,695 | 618,869 |
| * Anthem Inc. | 4,564,444 | 573,614 |
| Aetna Inc. | 5,940,347 | 527,681 |
| * Regeneron Pharmaceuticals Inc. | 1,259,770 | 516,821 |
| Stryker Corp. | 5,415,831 | 510,875 |
| * Vertex Pharmaceuticals Inc. | 4,052,763 | 481,468 |
| Cigna Corp. | 4,414,749 | 454,322 |
| Becton Dickinson and Co. | 3,234,073 | 450,054 |
| * Illumina Inc. | 2,391,323 | 441,390 |
| * HCA Holdings Inc. | 5,473,393 | 401,692 |
| Perrigo Co. plc | 2,354,733 | 393,617 |
| Humana Inc. | 2,582,596 | 370,938 |
| Zoetis Inc. | 8,447,369 | 363,490 |
| * Mylan Inc. | 6,304,986 | 355,412 |
| Zimmer Holdings Inc. | 2,850,406 | 323,293 |
| * Intuitive Surgical Inc. | 610,606 | 322,974 |
| St. Jude Medical Inc. | 4,817,352 | 313,272 |
| * Boston Scientific Corp. | 22,320,788 | 295,750 |
| * DaVita HealthCare Partners Inc. | 3,436,000 | 260,243 |
| * Edwards Lifesciences Corp. | 1,802,052 | 229,545 |
| * BioMarin Pharmaceutical Inc. | 2,497,702 | 225,792 |
| CR Bard Inc. | 1,259,117 | 209,794 |
| * CareFusion Corp. | 3,429,752 | 203,521 |
| * Henry Schein Inc. | 1,423,963 | 193,873 |
| * Mallinckrodt plc | 1,955,456 | 193,649 |
| * Incyte Corp. | 2,572,347 | 188,064 |
| * Endo International plc | 2,487,681 | 179,412 |
| * Hospira Inc. | 2,849,252 | 174,517 |
| Universal Health Services Inc. Class B | 1,540,454 | 171,391 |
| Quest Diagnostics Inc. | 2,415,715 | 161,998 |
| * Jazz Pharmaceuticals plc | 970,298 | 158,867 |
| * Laboratory Corp. of America Holdings | 1,425,382 | 153,799 |
| * Waters Corp. | 1,338,721 | 150,901 |
| * Varian Medical Systems Inc. | 1,719,975 | 148,795 |
| * Alkermes plc | 2,460,428 | 144,083 |
| ^ ResMed Inc. | 2,342,840 | 131,340 |
| Cooper Cos. Inc. | 809,414 | 131,198 |
| * Cubist Pharmaceuticals Inc. | 1,285,741 | 129,410 |
| DENTSPLY International Inc. | 2,400,373 | 127,868 |
| * Pharmacyclics Inc. | 1,017,797 | 124,436 |
| * Medivation Inc. | 1,243,643 | 123,879 |
| * Isis Pharmaceuticals Inc. | 1,983,697 | 122,473 |
| * IDEXX Laboratories Inc. | 812,926 | 120,533 |
| * Salix Pharmaceuticals Ltd. | 1,017,423 | 116,943 |
29
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | MEDNAX Inc. | 1,708,173 | 112,927 |
| * | Brookdale Senior Living Inc. | 3,053,202 | 111,961 |
| * | Hologic Inc. | 3,987,152 | 106,616 |
| * | Alnylam Pharmaceuticals Inc. | 1,036,052 | 100,497 |
| * | Community Health Systems Inc. | 1,853,408 | 99,936 |
| * | Covance Inc. | 951,446 | 98,798 |
| * | United Therapeutics Corp. | 757,732 | 98,119 |
| * | Centene Corp. | 894,562 | 92,900 |
| * | Sirona Dental Systems Inc. | 960,809 | 83,946 |
| * | Tenet Healthcare Corp. | 1,648,562 | 83,533 |
| * | Puma Biotechnology Inc. | 431,506 | 81,671 |
| Teleflex Inc. | 695,093 | 79,811 | |
| * | Envision Healthcare Holdings Inc. | 2,157,641 | 74,849 |
| * | Quintiles Transnational Holdings Inc. | 1,237,586 | 72,857 |
| Patterson Cos. Inc. | 1,460,051 | 70,228 | |
| * | Team Health Holdings Inc. | 1,192,706 | 68,616 |
| * | DexCom Inc. | 1,237,918 | 68,147 |
| * | Health Net Inc. | 1,271,230 | 68,049 |
| West Pharmaceutical Services Inc. | 1,227,658 | 65,361 | |
| STERIS Corp. | 988,860 | 64,128 | |
| * | Cepheid | 1,183,129 | 64,055 |
| * | Align Technology Inc. | 1,144,510 | 63,990 |
| * | WellCare Health Plans Inc. | 732,327 | 60,095 |
| Bio-Techne Corp. | 625,960 | 57,839 | |
| * | NPS Pharmaceuticals Inc. | 1,616,804 | 57,833 |
| * | Avanir Pharmaceuticals Inc. | 3,236,498 | 54,859 |
| * | LifePoint Hospitals Inc. | 756,440 | 54,396 |
| HealthSouth Corp. | 1,401,625 | 53,907 | |
| * | Seattle Genetics Inc. | 1,664,823 | 53,491 |
| * | PAREXEL International Corp. | 921,106 | 51,177 |
| * | Pacira Pharmaceuticals Inc. | 575,670 | 51,039 |
| * | Receptos Inc. | 416,512 | 51,027 |
| * | Alere Inc. | 1,337,520 | 50,826 |
| * | Charles River Laboratories International Inc. | 794,362 | 50,553 |
| * | Akorn Inc. | 1,280,976 | 46,371 |
| * | Acadia Healthcare Co. Inc. | 755,004 | 46,214 |
| *,^ | Agios Pharmaceuticals Inc. | 400,181 | 44,836 |
| * | Amsurg Corp. | 806,949 | 44,164 |
| * | Insulet Corp. | 939,950 | 43,294 |
| Hill-Rom Holdings Inc. | 948,986 | 43,293 | |
| * | ACADIA Pharmaceuticals Inc. | 1,325,851 | 42,096 |
| *,^ | Myriad Genetics Inc. | 1,232,576 | 41,982 |
| * | Bio-Rad Laboratories Inc. Class A | 345,652 | 41,672 |
| *,^ | OPKO Health Inc. | 4,067,423 | 40,634 |
| *,^ | Exact Sciences Corp. | 1,434,166 | 39,354 |
| * | Bluebird Bio Inc. | 423,595 | 38,852 |
| * | NuVasive Inc. | 797,588 | 37,614 |
| Owens & Minor Inc. | 1,058,400 | 37,160 | |
| * | Impax Laboratories Inc. | 1,138,184 | 36,058 |
| *,^ | Halyard Health Inc. | 781,161 | 35,519 |
| Healthcare Services Group Inc. | 1,114,788 | 34,480 | |
| * | Synageva BioPharma Corp. | 361,117 | 33,508 |
| * | Nektar Therapeutics | 2,160,984 | 33,495 |
| * | Intercept Pharmaceuticals Inc. | 214,580 | 33,474 |
| * | Bruker Corp. | 1,695,421 | 33,264 |
| * | Haemonetics Corp. | 860,966 | 32,217 |
| * | Ironwood Pharmaceuticals Inc. Class A | 2,062,855 | 31,603 |
| * | HMS Holdings Corp. | 1,470,330 | 31,083 |
| * | Neogen Corp. | 617,915 | 30,642 |
| * | Dyax Corp. | 2,166,701 | 30,464 |
| * | Prestige Brands Holdings Inc. | 873,250 | 30,319 |
| * | Thoratec Corp. | 933,963 | 30,316 |
| * | Medicines Co. | 1,092,532 | 30,230 |
| * | Molina Healthcare Inc. | 563,301 | 30,154 |
30
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Auxilium Pharmaceuticals Inc. | 849,743 | 29,218 |
| * | Magellan Health Inc. | 479,099 | 28,760 |
| * | Acorda Therapeutics Inc. | 698,053 | 28,529 |
| * | Globus Medical Inc. | 1,180,250 | 28,055 |
| * | Celldex Therapeutics Inc. | 1,502,997 | 27,430 |
| * | Neurocrine Biosciences Inc. | 1,202,062 | 26,854 |
| * | Air Methods Corp. | 587,572 | 25,871 |
| Select Medical Holdings Corp. | 1,775,043 | 25,561 | |
| * | Spectranetics Corp. | 720,124 | 24,902 |
| Cantel Medical Corp. | 561,811 | 24,304 | |
| * | PTC Therapeutics Inc. | 462,149 | 23,925 |
| * | Cyberonics Inc. | 424,212 | 23,620 |
| * | ABIOMED Inc. | 612,577 | 23,315 |
| * | Wright Medical Group Inc. | 851,737 | 22,886 |
| * | Novavax Inc. | 3,762,896 | 22,314 |
| * | Integra LifeSciences Holdings Corp. | 408,829 | 22,171 |
| *,^ | Keryx Biopharmaceuticals Inc. | 1,541,855 | 21,817 |
| *,^ | MannKind Corp. | 4,091,602 | 21,338 |
| ^ | PDL BioPharma Inc. | 2,707,023 | 20,871 |
| * | Masimo Corp. | 788,336 | 20,765 |
| * | Clovis Oncology Inc. | 366,946 | 20,549 |
| Abaxis Inc. | 357,946 | 20,342 | |
| Kindred Healthcare Inc. | 1,108,308 | 20,149 | |
| * | Chimerix Inc. | 500,011 | 20,130 |
| * | HeartWare International Inc. | 269,072 | 19,758 |
| *,^ | ARIAD Pharmaceuticals Inc. | 2,795,058 | 19,202 |
| * | Horizon Pharma plc | 1,488,088 | 19,181 |
| ^ | Theravance Inc. | 1,353,257 | 19,149 |
| * | Catalent Inc. | 684,383 | 19,081 |
| * | Achillion Pharmaceuticals Inc. | 1,551,744 | 19,009 |
| * | ICU Medical Inc. | 230,663 | 18,891 |
| * | Omnicell Inc. | 565,743 | 18,737 |
| CONMED Corp. | 412,285 | 18,536 | |
| * | Natus Medical Inc. | 514,280 | 18,535 |
| * | Anacor Pharmaceuticals Inc. | 573,446 | 18,494 |
| * | Ophthotech Corp. | 401,949 | 18,035 |
| *,^ | Merrimack Pharmaceuticals Inc. | 1,571,701 | 17,760 |
| Analogic Corp. | 208,627 | 17,652 | |
| * | Ultragenyx Pharmaceutical Inc. | 394,894 | 17,328 |
| * | Lannett Co. Inc. | 390,187 | 16,731 |
| * | NxStage Medical Inc. | 930,663 | 16,687 |
| * | Sangamo BioSciences Inc. | 1,091,108 | 16,596 |
| * | MiMedx Group Inc. | 1,436,273 | 16,560 |
| * | Ligand Pharmaceuticals Inc. | 311,088 | 16,553 |
| * | Tornier NV | 641,320 | 16,354 |
| *,^ | Intrexon Corp. | 588,431 | 16,200 |
| * | Portola Pharmaceuticals Inc. | 565,244 | 16,008 |
| * | Endologix Inc. | 1,041,851 | 15,930 |
| * | Halozyme Therapeutics Inc. | 1,646,698 | 15,891 |
| * | Tetraphase Pharmaceuticals Inc. | 397,795 | 15,796 |
| * | Depomed Inc. | 974,343 | 15,697 |
| * | Fluidigm Corp. | 464,934 | 15,682 |
| * | AMAG Pharmaceuticals Inc. | 366,235 | 15,609 |
| * | Volcano Corp. | 858,113 | 15,343 |
| Ensign Group Inc. | 333,280 | 14,794 | |
| * | Quidel Corp. | 490,542 | 14,186 |
| * | Cardiovascular Systems Inc. | 471,196 | 14,174 |
| * | BioCryst Pharmaceuticals Inc. | 1,136,303 | 13,817 |
| * | Amedisys Inc. | 468,113 | 13,739 |
| * | Emergent Biosolutions Inc. | 500,390 | 13,626 |
| *,^ | Omeros Corp. | 540,853 | 13,402 |
| * | Auspex Pharmaceuticals Inc. | 255,162 | 13,391 |
| * | Bio-Reference Laboratories Inc. | 414,936 | 13,332 |
| * | Zeltiq Aesthetics Inc. | 471,468 | 13,159 |
31
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Infinity Pharmaceuticals Inc. | 775,891 | 13,105 |
| * | IPC The Hospitalist Co. Inc. | 284,583 | 13,060 |
| *,^ | NewLink Genetics Corp. | 327,254 | 13,008 |
| *,^ | Arena Pharmaceuticals Inc. | 3,678,982 | 12,766 |
| * | Amicus Therapeutics Inc. | 1,518,866 | 12,637 |
| * | Acceleron Pharma Inc. | 321,543 | 12,527 |
| * | VWR Corp. | 478,652 | 12,383 |
| * | Hanger Inc. | 555,538 | 12,166 |
| *,^ | Kite Pharma Inc. | 210,129 | 12,118 |
| * | MacroGenics Inc. | 344,683 | 12,088 |
| * | Luminex Corp. | 642,337 | 12,050 |
| * | Affymetrix Inc. | 1,202,458 | 11,868 |
| *,^ | Orexigen Therapeutics Inc. | 1,942,421 | 11,771 |
| * | Merit Medical Systems Inc. | 677,675 | 11,744 |
| Meridian Bioscience Inc. | 688,831 | 11,338 | |
| * | Capital Senior Living Corp. | 449,106 | 11,187 |
| *,^ | Raptor Pharmaceutical Corp. | 1,045,027 | 10,994 |
| * | Healthways Inc. | 543,445 | 10,804 |
| * | OvaScience Inc. | 242,172 | 10,709 |
| * | Orthofix International NV | 354,797 | 10,665 |
| * | Insmed Inc. | 687,527 | 10,636 |
| * | HealthStream Inc. | 349,895 | 10,315 |
| * | Cempra Inc. | 437,959 | 10,296 |
| * | Repligen Corp. | 518,991 | 10,276 |
| * | Array BioPharma Inc. | 2,169,778 | 10,263 |
| * | PharMerica Corp. | 485,578 | 10,056 |
| *,^ | Insys Therapeutics Inc. | 237,092 | 9,996 |
| Atrion Corp. | 29,008 | 9,863 | |
| * | Anika Therapeutics Inc. | 236,145 | 9,621 |
| * | Triple-S Management Corp. Class B | 399,337 | 9,548 |
| * | Momenta Pharmaceuticals Inc. | 783,066 | 9,428 |
| * | Sagent Pharmaceuticals Inc. | 375,007 | 9,416 |
| * | Cynosure Inc. Class A | 340,138 | 9,327 |
| *,^ | Relypsa Inc. | 301,016 | 9,271 |
| *,^ | Vanda Pharmaceuticals Inc. | 646,328 | 9,255 |
| * | Aegerion Pharmaceuticals Inc. | 437,952 | 9,171 |
| *,^ | Accuray Inc. | 1,211,347 | 9,146 |
| * | Universal American Corp. | 985,290 | 9,143 |
| *,^ | Immunomedics Inc. | 1,903,481 | 9,137 |
| * | GenMark Diagnostics Inc. | 659,523 | 8,976 |
| *,^ | Sarepta Therapeutics Inc. | 616,354 | 8,919 |
| * | Progenics Pharmaceuticals Inc. | 1,170,474 | 8,849 |
| * | OraSure Technologies Inc. | 872,068 | 8,843 |
| * | ImmunoGen Inc. | 1,443,110 | 8,803 |
| * | BioDelivery Sciences International Inc. | 726,747 | 8,736 |
| * | LDR Holding Corp. | 263,214 | 8,628 |
| National Healthcare Corp. | 136,649 | 8,587 | |
| *,^ | Geron Corp. | 2,626,942 | 8,538 |
| * | KYTHERA Biopharmaceuticals Inc. | 246,134 | 8,536 |
| *,^ | Foundation Medicine Inc. | 379,776 | 8,439 |
| *,^ | Spectrum Pharmaceuticals Inc. | 1,211,425 | 8,395 |
| * | TG Therapeutics Inc. | 529,637 | 8,389 |
| *,^ | Inovio Pharmaceuticals Inc. | 906,952 | 8,326 |
| Invacare Corp. | 490,999 | 8,229 | |
| * | Aratana Therapeutics Inc. | 461,764 | 8,229 |
| *,^ | Accelerate Diagnostics Inc. | 426,643 | 8,187 |
| *,^ | Karyopharm Therapeutics Inc. | 217,868 | 8,155 |
| * | Gentiva Health Services Inc. | 426,373 | 8,122 |
| * | XenoPort Inc. | 925,528 | 8,117 |
| * | Vascular Solutions Inc. | 295,040 | 8,013 |
| *,^ | Cerus Corp. | 1,282,710 | 8,004 |
| * | AngioDynamics Inc. | 420,367 | 7,991 |
| US Physical Therapy Inc. | 189,756 | 7,962 | |
| * | AtriCure Inc. | 392,209 | 7,828 |
32
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| *,^ | Regulus Therapeutics Inc. | 486,882 | 7,810 |
| *,^ | Genomic Health Inc. | 243,974 | 7,800 |
| * | CorVel Corp. | 209,170 | 7,785 |
| *,^ | Organovo Holdings Inc. | 1,067,075 | 7,736 |
| *,^ | Rockwell Medical Inc. | 751,084 | 7,721 |
| * | Surgical Care Affiliates Inc. | 228,978 | 7,705 |
| * | Paratek Pharmaceuticals Inc. | 199,377 | 7,686 |
| * | Vital Therapies Inc. | 305,802 | 7,624 |
| * | TherapeuticsMD Inc. | 1,687,445 | 7,509 |
| * | BioScrip Inc. | 1,066,259 | 7,453 |
| * | Dynavax Technologies Corp. | 436,541 | 7,360 |
| *,^ | Sequenom Inc. | 1,922,119 | 7,112 |
| * | LHC Group Inc. | 221,918 | 6,919 |
| * | Radius Health Inc. | 176,507 | 6,868 |
| *,^ | ZIOPHARM Oncology Inc. | 1,346,771 | 6,828 |
| * | Pacific Biosciences of California Inc. | 866,331 | 6,792 |
| *,^ | Arrowhead Research Corp. | 896,166 | 6,614 |
| * | Albany Molecular Research Inc. | 398,682 | 6,491 |
| * | ANI Pharmaceuticals Inc. | 113,165 | 6,381 |
| * | Esperion Therapeutics Inc. | 151,465 | 6,125 |
| * | SciClone Pharmaceuticals Inc. | 694,155 | 6,081 |
| * | IGI Laboratories Inc. | 688,616 | 6,060 |
| * | Theravance Biopharma Inc. | 401,700 | 5,993 |
| * | Epizyme Inc. | 314,333 | 5,931 |
| *,^ | Retrophin Inc. | 472,724 | 5,786 |
| * | INC Research Holdings Inc. Class A | 215,595 | 5,539 |
| * | Enanta Pharmaceuticals Inc. | 104,349 | 5,306 |
| *,^ | Unilife Corp. | 1,568,360 | 5,254 |
| * | Idera Pharmaceuticals Inc. | 1,180,353 | 5,205 |
| * | Aerie Pharmaceuticals Inc. | 176,352 | 5,148 |
| * | Zafgen Inc. | 166,747 | 5,142 |
| * | Five Prime Therapeutics Inc. | 190,253 | 5,137 |
| CryoLife Inc. | 451,205 | 5,112 | |
| * | Nevro Corp. | 130,746 | 5,056 |
| * | STAAR Surgical Co. | 552,592 | 5,034 |
| * | SurModics Inc. | 227,260 | 5,022 |
| * | Antares Pharma Inc. | 1,943,926 | 4,996 |
| * | Hyperion Therapeutics Inc. | 206,935 | 4,966 |
| *,^ | ZS Pharma Inc. | 117,535 | 4,886 |
| * | CTI BioPharma Corp. | 1,974,792 | 4,661 |
| * | RTI Surgical Inc. | 895,897 | 4,659 |
| * | Adeptus Health Inc. Class A | 123,939 | 4,635 |
| * | RadNet Inc. | 530,072 | 4,527 |
| * | XOMA Corp. | 1,256,594 | 4,511 |
| * | La Jolla Pharmaceutical Co. | 242,827 | 4,480 |
| * | Addus HomeCare Corp. | 182,852 | 4,438 |
| * | Cytokinetics Inc. | 548,302 | 4,392 |
| *,^ | Lexicon Pharmaceuticals Inc. | 4,782,745 | 4,352 |
| *,^ | Synergy Pharmaceuticals Inc. | 1,414,007 | 4,313 |
| * | Osiris Therapeutics Inc. | 268,549 | 4,294 |
| * | Inogen Inc. | 136,507 | 4,282 |
| * | Civitas Solutions Inc. | 245,598 | 4,183 |
| *,^ | VIVUS Inc. | 1,446,580 | 4,166 |
| * | BioTelemetry Inc. | 413,639 | 4,149 |
| *,^ | Exelixis Inc. | 2,864,801 | 4,125 |
| * | Avalanche Biotechnologies Inc. | 76,150 | 4,112 |
| *,^ | Navidea Biopharmaceuticals Inc. | 2,169,334 | 4,100 |
| * | Supernus Pharmaceuticals Inc. | 489,802 | 4,065 |
| * | K2M Group Holdings Inc. | 193,080 | 4,030 |
| * | Alder Biopharmaceuticals Inc. | 138,050 | 4,016 |
| *,^ | Peregrine Pharmaceuticals Inc. | 2,869,789 | 3,989 |
| * | Dermira Inc. | 219,093 | 3,968 |
| * | Revance Therapeutics Inc. | 232,773 | 3,943 |
| *,^ | Northwest Biotherapeutics Inc. | 734,898 | 3,932 |
33
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Otonomy Inc. | 117,790 | 3,926 |
| * | Sucampo Pharmaceuticals Inc. Class A | 274,858 | 3,925 |
| * | Almost Family Inc. | 134,223 | 3,886 |
| * | Pernix Therapeutics Holdings Inc. | 411,048 | 3,860 |
| * | Repros Therapeutics Inc. | 370,687 | 3,696 |
| * | Exactech Inc. | 156,674 | 3,693 |
| * | Agenus Inc. | 928,197 | 3,685 |
| * | Heron Therapeutics Inc. | 356,448 | 3,586 |
| * | Xencor Inc. | 221,547 | 3,554 |
| *,^ | Neuralstem Inc. | 1,298,798 | 3,533 |
| * | POZEN Inc. | 441,400 | 3,531 |
| * | Rigel Pharmaceuticals Inc. | 1,474,224 | 3,346 |
| * | OncoMed Pharmaceuticals Inc. | 152,124 | 3,310 |
| * | NeoGenomics Inc. | 792,663 | 3,305 |
| * | Derma Sciences Inc. | 352,478 | 3,282 |
| * | Concert Pharmaceuticals Inc. | 241,075 | 3,211 |
| * | Corcept Therapeutics Inc. | 1,065,416 | 3,196 |
| *,^ | Endocyte Inc. | 506,248 | 3,184 |
| * | Verastem Inc. | 345,500 | 3,158 |
| * | AAC Holdings Inc. | 101,441 | 3,137 |
| * | Atara Biotherapeutics Inc. | 117,173 | 3,134 |
| * | Targacept Inc. | 1,187,129 | 3,122 |
| *,^ | AcelRx Pharmaceuticals Inc. | 460,832 | 3,101 |
| * | Stemline Therapeutics Inc. | 179,382 | 3,060 |
| *,^ | Bio-Path Holdings Inc. | 1,149,371 | 3,057 |
| * | Sorrento Therapeutics Inc. | 302,446 | 3,046 |
| *,^ | Galena Biopharma Inc. | 2,016,609 | 3,045 |
| Utah Medical Products Inc. | 49,349 | 2,963 | |
| * | Versartis Inc. | 131,766 | 2,958 |
| *,^ | ChemoCentryx Inc. | 432,940 | 2,957 |
| *,^ | Sage Therapeutics Inc. | 80,489 | 2,946 |
| * | Alliance HealthCare Services Inc. | 140,174 | 2,942 |
| *,^ | Tenax Therapeutics Inc. | 761,068 | 2,923 |
| * | Celladon Corp. | 149,315 | 2,916 |
| * | Calithera Biosciences Inc. | 144,120 | 2,911 |
| * | Pfenex Inc. | 394,795 | 2,890 |
| * | Intersect ENT Inc. | 155,077 | 2,877 |
| * | Skilled Healthcare Group Inc. | 333,775 | 2,860 |
| *,^ | Synta Pharmaceuticals Corp. | 1,075,903 | 2,851 |
| * | Zogenix Inc. | 2,051,168 | 2,810 |
| *,^ | T2 Biosystems Inc. | 143,484 | 2,761 |
| * | Five Star Quality Care Inc. | 663,749 | 2,755 |
| * | Cutera Inc. | 256,696 | 2,742 |
| * | Cymabay Therapeutics Inc. | 276,247 | 2,716 |
| * | Threshold Pharmaceuticals Inc. | 847,950 | 2,696 |
| * | Catalyst Pharmaceutical Partners Inc. | 898,480 | 2,668 |
| * | Sientra Inc. | 158,768 | 2,666 |
| * | Harvard Bioscience Inc. | 468,415 | 2,656 |
| * | Enzo Biochem Inc. | 578,091 | 2,567 |
| * | Mirati Therapeutics Inc. | 137,870 | 2,553 |
| *,^ | Applied Genetic Technologies Corp. | 119,802 | 2,518 |
| * | Oncothyreon Inc. | 1,254,003 | 2,383 |
| * | Provectus Biopharmaceuticals Inc. Class A | 2,961,256 | 2,369 |
| *,^ | Ampio Pharmaceuticals Inc. | 679,551 | 2,331 |
| * | Tandem Diabetes Care Inc. | 182,951 | 2,323 |
| * | Sunesis Pharmaceuticals Inc. | 909,347 | 2,319 |
| * | NanoString Technologies Inc. | 166,457 | 2,319 |
| * | Curis Inc. | 1,534,909 | 2,302 |
| * | Dicerna Pharmaceuticals Inc. | 138,743 | 2,285 |
| *,^ | BioTime Inc. | 607,437 | 2,266 |
| *,^ | Alimera Sciences Inc. | 408,232 | 2,262 |
| * | Advaxis Inc. | 274,338 | 2,197 |
| * | BioSpecifics Technologies Corp. | 56,829 | 2,195 |
| * | Flexion Therapeutics Inc. | 107,040 | 2,161 |
34
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Tokai Pharmaceuticals Inc. | 145,408 | 2,143 |
| *,^ | CytRx Corp. | 766,943 | 2,101 |
| *,^ | NeoStem Inc. | 541,648 | 2,042 |
| * | Proteon Therapeutics Inc. | 188,920 | 1,965 |
| * | Vitae Pharmaceuticals Inc. | 113,758 | 1,893 |
| * | Achaogen Inc. | 144,172 | 1,881 |
| * | MEI Pharma Inc. | 438,914 | 1,874 |
| *,^ | Rexahn Pharmaceuticals Inc. | 2,671,243 | 1,870 |
| * | Ardelyx Inc. | 97,009 | 1,833 |
| *,^ | NanoViricides Inc. | 650,291 | 1,769 |
| *,^ | Athersys Inc. | 1,096,937 | 1,733 |
| *,^ | Biolase Inc. | 651,255 | 1,713 |
| * | Kindred Biosciences Inc. | 229,319 | 1,708 |
| *,^ | pSivida Corp. | 413,317 | 1,699 |
| Psychemedics Corp. | 111,707 | 1,683 | |
| Digirad Corp. | 384,321 | 1,676 | |
| * | Discovery Laboratories Inc. | 1,421,499 | 1,649 |
| *,^ | Ocera Therapeutics Inc. | 254,414 | 1,621 |
| * | Medgenics Inc. | 311,031 | 1,574 |
| * | Synergetics USA Inc. | 352,471 | 1,533 |
| * | Adamas Pharmaceuticals Inc. | 86,255 | 1,498 |
| * | Akebia Therapeutics Inc. | 127,287 | 1,482 |
| * | PharmAthene Inc. | 807,711 | 1,462 |
| * | Alphatec Holdings Inc. | 1,010,264 | 1,424 |
| LeMaitre Vascular Inc. | 184,330 | 1,410 | |
| * | Wright Medical Group Inc. CVR | 288,011 | 1,377 |
| * | Vical Inc. | 1,293,253 | 1,358 |
| * | Ocular Therapeutix Inc. | 57,222 | 1,346 |
| *,^ | Synthetic Biologics Inc. | 908,803 | 1,327 |
| * | Pain Therapeutics Inc. | 648,731 | 1,317 |
| *,^ | IsoRay Inc. | 899,651 | 1,313 |
| *,^ | Coronado Biosciences Inc. | 524,732 | 1,280 |
| * | TriVascular Technologies Inc. | 101,441 | 1,275 |
| * | Mast Therapeutics Inc. | 2,262,298 | 1,267 |
| * | Immune Design Corp. | 40,948 | 1,260 |
| * | Durect Corp. | 1,565,850 | 1,236 |
| *,^ | EnteroMedics Inc. | 869,754 | 1,235 |
| * | Heska Corp. | 67,635 | 1,226 |
| *,^ | TearLab Corp. | 457,458 | 1,212 |
| *,^ | Galectin Therapeutics Inc. | 345,606 | 1,199 |
| *,^ | Argos Therapeutics Inc. | 115,127 | 1,151 |
| * | Symmetry Surgical Inc. | 147,214 | 1,147 |
| * | ArQule Inc. | 938,558 | 1,145 |
| * | Cara Therapeutics Inc. | 111,551 | 1,112 |
| * | Trevena Inc. | 178,341 | 1,066 |
| *,^ | Trovagene Inc. | 247,726 | 1,065 |
| * | Vericel Corp. | 343,699 | 1,045 |
| * | Fonar Corp. | 99,791 | 1,038 |
| * | Amphastar Pharmaceuticals Inc. | 88,468 | 1,027 |
| * | Fibrocell Science Inc. | 392,939 | 1,006 |
| * | Veracyte Inc. | 101,153 | 977 |
| * | Juno Therapeutics Inc. | 18,684 | 976 |
| * | InfuSystems Holdings Inc. | 299,233 | 943 |
| * | Eleven Biotherapeutics Inc. | 79,313 | 942 |
| *,^ | Venaxis Inc. | 529,350 | 937 |
| * | Cumberland Pharmaceuticals Inc. | 154,970 | 930 |
| * | Sunshine Heart Inc. | 217,895 | 924 |
| * | AdCare Health Systems Inc. | 229,366 | 920 |
| *,^ | StemCells Inc. | 968,924 | 910 |
| *,^ | Conatus Pharmaceuticals Inc. | 129,965 | 910 |
| * | Iridex Corp. | 105,201 | 897 |
| * | Tonix Pharmaceuticals Holding Corp. | 152,365 | 890 |
| * | GlycoMimetics Inc. | 122,530 | 882 |
| * | Cardica Inc. | 1,191,679 | 834 |
35
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| *,^ | PhotoMedex Inc. | 542,154 | 830 |
| * | Fate Therapeutics Inc. | 162,538 | 818 |
| * | Cellular Dynamics International Inc. | 125,885 | 809 |
| * | Bellicum Pharmaceuticals Inc. | 34,714 | 800 |
| * | Cancer Genetics Inc. | 119,635 | 799 |
| * | MediciNova Inc. | 251,354 | 764 |
| * | Columbia Laboratories Inc. | 132,981 | 745 |
| * | Bovie Medical Corp. | 203,029 | 737 |
| * | Retractable Technologies Inc. | 146,954 | 735 |
| * | Alliqua Inc. | 135,173 | 716 |
| *,^ | Hemispherx Biopharma Inc. | 2,796,855 | 699 |
| * | AVEO Pharmaceuticals Inc. | 814,566 | 684 |
| * | Assembly Biosciences Inc. | 87,068 | 684 |
| * | KaloBios Pharmaceuticals Inc. | 383,692 | 664 |
| * | ImmunoCellular Therapeutics Ltd. | 904,721 | 660 |
| *,^ | CEL-SCI Corp. | 1,129,076 | 656 |
| *,^ | Apricus Biosciences Inc. | 654,162 | 654 |
| * | BIND Therapeutics Inc. | 120,615 | 651 |
| *,^ | Hansen Medical Inc. | 1,170,151 | 650 |
| * | Nanosphere Inc. | 1,647,468 | 646 |
| *,^ | Alexza Pharmaceuticals Inc. | 425,033 | 633 |
| *,^ | Onconova Therapeutics Inc. | 187,699 | 618 |
| * | OncoGenex Pharmaceuticals Inc. | 266,569 | 610 |
| * | Misonix Inc. | 49,251 | 609 |
| * | Uroplasty Inc. | 292,998 | 604 |
| * | Genocea Biosciences Inc. | 85,345 | 597 |
| * | Enzon Pharmaceuticals Inc. | 538,301 | 587 |
| *,^ | Imprimis Pharmaceuticals Inc. | 75,879 | 569 |
| * | Coherus Biosciences Inc. | 33,903 | 553 |
| * | AxoGen Inc. | 151,348 | 543 |
| * | Celsion Corp. | 214,403 | 500 |
| * | Aradigm Corp. | 65,076 | 496 |
| * | Hooper Holmes Inc. | 938,591 | 488 |
| *,^ | CorMedix Inc. | 254,104 | 485 |
| * | Chembio Diagnostics Inc. | 122,289 | 481 |
| * | Corium International Inc. | 78,000 | 476 |
| * | Celator Pharmaceuticals Inc. | 236,068 | 463 |
| Daxor Corp. | 66,868 | 451 | |
| *,^ | Cytori Therapeutics Inc. | 919,452 | 449 |
| * | Anthera Pharmaceuticals Inc. Class A | 283,343 | 448 |
| * | Cesca Therapeutics Inc. | 438,429 | 447 |
| * | Eagle Pharmaceuticals Inc. | 26,985 | 418 |
| *,^ | OXiGENE Inc. | 258,400 | 416 |
| Span-America Medical Systems Inc. | 24,343 | 414 | |
| * | Vermillion Inc. | 203,064 | 404 |
| * | Harvard Apparatus Regenerative Technology Inc. | 126,171 | 401 |
| *,^ | Palatin Technologies Inc. | 545,469 | 398 |
| *,^ | Atossa Genetics Inc. | 272,217 | 389 |
| *,^ | TetraLogic Pharmaceuticals Corp. | 80,481 | 388 |
| *,^ | Stereotaxis Inc. | 258,680 | 383 |
| *,^ | Biodel Inc. | 285,268 | 379 |
| *,^ | iBio Inc. | 507,208 | 347 |
| * | Loxo Oncology Inc. | 29,100 | 342 |
| * | Lpath Inc. Class A | 119,849 | 338 |
| * | Regado Biosciences Inc. | 362,570 | 331 |
| *,^ | NovaBay Pharmaceuticals Inc. | 524,732 | 331 |
| * | CASI Pharmaceuticals Inc. | 238,736 | 318 |
| *,^ | Adamis Pharmaceuticals Corp. | 50,765 | 313 |
| *,^ | GTx Inc. | 423,568 | 309 |
| *,^ | ARCA biopharma Inc. | 320,424 | 306 |
| * | SCYNEXIS Inc. | 30,300 | 302 |
| * | MGC Diagnostics Corp. | 46,575 | 298 |
| * | ERBA Diagnostics Inc. | 91,945 | 291 |
| * | Amedica Corp. | 358,185 | 287 |
36
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | EPIRUS Biopharmaceuticals Inc. | 48,893 | 277 |
| *,^ | Opexa Therapeutics Inc. | 383,605 | 276 |
| * | CAS Medical Systems Inc. | 165,650 | 273 |
| * | CareDx Inc. | 37,400 | 271 |
| * | Dipexium Pharmaceuticals Inc. | 22,791 | 259 |
| * | Vision Sciences Inc. | 358,120 | 251 |
| * | Akers Biosciences Inc. | 60,354 | 241 |
| * | Echo Therapeutics Inc. | 168,231 | 227 |
| *,^ | Cyclacel Pharmaceuticals Inc. | 317,682 | 222 |
| * | Evoke Pharma Inc. | 36,221 | 214 |
| * | RXi Pharmaceuticals Corp. | 132,771 | 212 |
| *,^ | Oculus Innovative Sciences Inc. | 145,980 | 209 |
| * | Oragenics Inc. | 226,675 | 202 |
| * | Neothetics Inc. | 26,680 | 200 |
| *,^ | Heat Biologics Inc. | 42,176 | 198 |
| * | iRadimed Corp. | 14,700 | 190 |
| *,^ | SIGA Technologies Inc. | 130,316 | 188 |
| * | Cerulean Pharma Inc. | 28,566 | 178 |
| Diversicare Healthcare Services Inc. | 18,197 | 172 | |
| * | Escalon Medical Corp. | 105,245 | 169 |
| *,^ | BG Medicine Inc. | 353,365 | 163 |
| * | CombiMatrix Corp. | 125,915 | 162 |
| * | Allied Healthcare Products Inc. | 87,500 | 161 |
| *,^ | Cleveland Biolabs Inc. | 563,893 | 161 |
| *,^ | Delcath Systems Inc. | 131,189 | 159 |
| * | Response Genetics Inc. | 460,766 | 146 |
| * | Bioanalytical Systems Inc. | 65,747 | 141 |
| * | Acura Pharmaceuticals Inc. | 290,832 | 131 |
| * | BSD Medical Corp. | 346,683 | 123 |
| * | Agile Therapeutics Inc. | 16,911 | 104 |
| * | NephroGenex Inc. | 7,674 | 102 |
| * | Arrhythmia Research Technology Inc. | 12,440 | 96 |
| * | ProPhase Labs Inc. | 56,433 | 81 |
| * | Biocept Inc. | 29,465 | 73 |
| * | USMD Holdings Inc. | 5,047 | 58 |
| * | Recro Pharma Inc. | 20,249 | 58 |
| * | ImmuCell Corp. | 5,733 | 28 |
| * | MGT Capital Investments Inc. | 45,300 | 28 |
| Birner Dental Management Services Inc. | 1,710 | 25 | |
| * | GenVec Inc. | 10,369 | 22 |
| * | Ruthigen Inc. | 5,874 | 21 |
| * | Marinus Pharmaceuticals Inc. | 1,800 | 19 |
| *,^ | MELA Sciences Inc. | 8,619 | 10 |
| * | BioLife Solutions Inc. | 3,786 | 6 |
| * | Aldeyra Therapeutics Inc. | 798 | 6 |
| * | Semler Scientific Inc. | 2,583 | 5 |
| * | Sophiris Bio Inc. | 3,981 | 2 |
| 50,351,667 | |||
| Industrials (12.5%) | |||
| General Electric Co. | 169,289,675 | 4,277,950 | |
| Union Pacific Corp. | 14,984,370 | 1,785,088 | |
| 3M Co. | 10,797,021 | 1,774,166 | |
| United Technologies Corp. | 14,588,251 | 1,677,649 | |
| Boeing Co. | 10,812,724 | 1,405,438 | |
| United Parcel Service Inc. Class B | 11,827,575 | 1,314,871 | |
| Honeywell International Inc. | 12,533,398 | 1,252,337 | |
| Accenture plc Class A | 10,566,540 | 943,698 | |
| Caterpillar Inc. | 10,202,373 | 933,823 | |
| Lockheed Martin Corp. | 4,526,251 | 871,620 | |
| Danaher Corp. | 10,062,577 | 862,463 | |
| FedEx Corp. | 4,529,659 | 786,621 | |
| Emerson Electric Co. | 11,688,374 | 721,523 | |
| Automatic Data Processing Inc. | 8,125,517 | 677,424 | |
| General Dynamics Corp. | 4,747,136 | 653,301 | |
37
| Vanguard® Total Stock Market Index Fund | ||
| Schedule of Investments | ||
| December 31, 2014 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| CSX Corp. | 16,842,086 | 610,189 |
| Precision Castparts Corp. | 2,399,856 | 578,077 |
| Norfolk Southern Corp. | 5,211,570 | 571,240 |
| Raytheon Co. | 5,191,063 | 561,517 |
| Eaton Corp. plc | 8,000,099 | 543,687 |
| Deere & Co. | 6,034,688 | 533,889 |
| Illinois Tool Works Inc. | 5,584,856 | 528,886 |
| Northrop Grumman Corp. | 3,396,198 | 500,566 |
| TE Connectivity Ltd. | 6,861,604 | 433,996 |
| Cummins Inc. | 2,927,946 | 422,122 |
| * LinkedIn Corp. Class A | 1,824,479 | 419,101 |
| PACCAR Inc. | 5,956,161 | 405,078 |
| Waste Management Inc. | 7,305,680 | 374,927 |
| Sherwin-Williams Co. | 1,375,017 | 361,684 |
| Parker-Hannifin Corp. | 2,499,256 | 322,279 |
| * Tyco International plc | 7,065,507 | 309,893 |
| Fidelity National Information Services Inc. | 4,786,774 | 297,737 |
| * Fiserv Inc. | 4,120,290 | 292,417 |
| * Alliance Data Systems Corp. | 1,021,994 | 292,341 |
| Ingersoll-Rand plc | 4,481,968 | 284,112 |
| Amphenol Corp. Class A | 5,228,879 | 281,366 |
| Roper Industries Inc. | 1,690,373 | 264,290 |
| WW Grainger Inc. | 1,036,423 | 264,174 |
| Rockwell Automation Inc. | 2,291,012 | 254,761 |
| Xerox Corp. | 18,334,640 | 254,118 |
| Paychex Inc. | 5,476,482 | 252,849 |
| Agilent Technologies Inc. | 5,597,890 | 229,178 |
| Kansas City Southern | 1,854,125 | 226,259 |
| AMETEK Inc. | 4,136,614 | 217,710 |
| Fastenal Co. | 4,482,461 | 213,186 |
| Pentair plc | 3,166,123 | 210,294 |
| Dover Corp. | 2,794,700 | 200,436 |
| * Stericycle Inc. | 1,440,285 | 188,793 |
| Rockwell Collins Inc. | 2,232,569 | 188,607 |
| CH Robinson Worldwide Inc. | 2,466,728 | 184,733 |
| Pall Corp. | 1,809,714 | 183,161 |
| * FleetCor Technologies Inc. | 1,203,569 | 178,983 |
| Textron Inc. | 4,212,912 | 177,406 |
| * United Rentals Inc. | 1,679,282 | 171,304 |
| Republic Services Inc. Class A | 4,207,975 | 169,371 |
| TransDigm Group Inc. | 837,846 | 164,511 |
| L-3 Communications Holdings Inc. | 1,299,188 | 163,970 |
| Fluor Corp. | 2,638,561 | 159,976 |
| * Verisk Analytics Inc. Class A | 2,493,870 | 159,732 |
| Ball Corp. | 2,316,983 | 157,949 |
| Masco Corp. | 5,997,326 | 151,133 |
| * Sensata Technologies Holding NV | 2,834,027 | 148,531 |
| * Mettler-Toledo International Inc. | 482,036 | 145,797 |
| Vulcan Materials Co. | 2,196,601 | 144,383 |
| Rock-Tenn Co. Class A | 2,363,395 | 144,120 |
| Sealed Air Corp. | 3,362,545 | 142,673 |
| Expeditors International of Washington Inc. | 3,105,895 | 138,554 |
| Flowserve Corp. | 2,289,007 | 136,951 |
| Towers Watson & Co. Class A | 1,180,566 | 133,605 |
| Wabtec Corp. | 1,534,361 | 133,321 |
| JB Hunt Transport Services Inc. | 1,578,984 | 133,029 |
| Packaging Corp. of America | 1,648,422 | 128,659 |
| Robert Half International Inc. | 2,176,314 | 127,053 |
| MeadWestvaco Corp. | 2,834,628 | 125,829 |
| Cintas Corp. | 1,599,233 | 125,444 |
| Fortune Brands Home & Security Inc. | 2,724,239 | 123,326 |
| * Crown Holdings Inc. | 2,330,068 | 118,600 |
| Martin Marietta Materials Inc. | 1,072,319 | 118,298 |
| Xylem Inc. | 3,067,324 | 116,773 |
38
| Vanguard® Total Stock Market Index Fund | ||
| Schedule of Investments | ||
| December 31, 2014 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Trimble Navigation Ltd. | 4,364,784 | 115,841 |
| * Flextronics International Ltd. | 9,838,696 | 109,997 |
| Valspar Corp. | 1,250,541 | 108,147 |
| ADT Corp. | 2,923,857 | 105,931 |
| IDEX Corp. | 1,339,420 | 104,260 |
| * B/E Aerospace Inc. | 1,770,198 | 102,707 |
| Acuity Brands Inc. | 730,271 | 102,289 |
| * Spirit AeroSystems Holdings Inc. Class A | 2,370,454 | 102,024 |
| * Quanta Services Inc. | 3,575,218 | 101,500 |
| Allison Transmission Holdings Inc. | 2,964,742 | 100,505 |
| Avnet Inc. | 2,317,611 | 99,704 |
| * Jacobs Engineering Group Inc. | 2,199,120 | 98,279 |
| Carlisle Cos. Inc. | 1,077,090 | 97,197 |
| * Arrow Electronics Inc. | 1,653,353 | 95,713 |
| Total System Services Inc. | 2,810,836 | 95,456 |
| * Keysight Technologies Inc. | 2,807,472 | 94,808 |
| * CoStar Group Inc. | 514,533 | 94,484 |
| Global Payments Inc. | 1,152,344 | 93,029 |
| Hubbell Inc. Class B | 865,570 | 92,469 |
| Broadridge Financial Solutions Inc. | 1,999,903 | 92,355 |
| Huntington Ingalls Industries Inc. | 814,888 | 91,642 |
| ManpowerGroup Inc. | 1,335,680 | 91,053 |
| Donaldson Co. Inc. | 2,343,415 | 90,526 |
| * Old Dominion Freight Line Inc. | 1,160,934 | 90,135 |
| Allegion plc | 1,617,625 | 89,713 |
| Waste Connections Inc. | 1,980,150 | 87,107 |
| Jack Henry & Associates Inc. | 1,391,346 | 86,458 |
| Lincoln Electric Holdings Inc. | 1,227,241 | 84,790 |
| * Vantiv Inc. Class A | 2,445,971 | 82,967 |
| PerkinElmer Inc. | 1,887,319 | 82,532 |
| * HD Supply Holdings Inc. | 2,796,224 | 82,461 |
| Ryder System Inc. | 881,645 | 81,861 |
| Graco Inc. | 1,009,933 | 80,976 |
| * AECOM Technology Corp. | 2,586,061 | 78,539 |
| Joy Global Inc. | 1,670,235 | 77,699 |
| FLIR Systems Inc. | 2,395,635 | 77,403 |
| * Genesee & Wyoming Inc. Class A | 858,009 | 77,152 |
| Chicago Bridge & Iron Co. NV | 1,822,488 | 76,508 |
| * Colfax Corp. | 1,459,188 | 75,250 |
| Bemis Co. Inc. | 1,656,643 | 74,897 |
| * Owens-Illinois Inc. | 2,766,609 | 74,671 |
| * Graphic Packaging Holding Co. | 5,464,030 | 74,420 |
| Sonoco Products Co. | 1,698,008 | 74,203 |
| Trinity Industries Inc. | 2,620,028 | 73,387 |
| MDU Resources Group Inc. | 3,111,172 | 73,113 |
| * Kirby Corp. | 901,697 | 72,803 |
| AO Smith Corp. | 1,290,048 | 72,772 |
| Nordson Corp. | 918,615 | 71,615 |
| AptarGroup Inc. | 1,064,402 | 71,145 |
| Lennox International Inc. | 730,021 | 69,403 |
| Owens Corning | 1,885,000 | 67,502 |
| * Hexcel Corp. | 1,622,673 | 67,325 |
| Oshkosh Corp. | 1,374,449 | 66,867 |
| * Zebra Technologies Corp. | 849,330 | 65,747 |
| MSC Industrial Direct Co. Inc. Class A | 808,370 | 65,680 |
| Jabil Circuit Inc. | 3,003,820 | 65,573 |
| * WEX Inc. | 651,225 | 64,419 |
| FEI Co. | 703,376 | 63,550 |
| Alliant Techsystems Inc. | 536,166 | 62,329 |
| * Berry Plastics Group Inc. | 1,967,343 | 62,070 |
| ITT Corp. | 1,533,260 | 62,036 |
| AGCO Corp. | 1,343,243 | 60,715 |
| Eagle Materials Inc. | 798,554 | 60,714 |
| Toro Co. | 935,325 | 59,683 |
39
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Teledyne Technologies Inc. | 569,724 | 58,533 |
| MAXIMUS Inc. | 1,063,605 | 58,328 | |
| Timken Co. | 1,363,272 | 58,184 | |
| Triumph Group Inc. | 856,288 | 57,560 | |
| * | Cognex Corp. | 1,391,406 | 57,507 |
| Belden Inc. | 723,242 | 56,999 | |
| * | WESCO International Inc. | 747,091 | 56,936 |
| CLARCOR Inc. | 848,517 | 56,545 | |
| Air Lease Corp. Class A | 1,644,127 | 56,410 | |
| RR Donnelley & Sons Co. | 3,346,423 | 56,237 | |
| * | USG Corp. | 1,995,709 | 55,860 |
| SPX Corp. | 647,614 | 55,643 | |
| Landstar System Inc. | 759,792 | 55,108 | |
| Babcock & Wilcox Co. | 1,817,851 | 55,081 | |
| Exelis Inc. | 3,138,470 | 55,017 | |
| National Instruments Corp. | 1,739,882 | 54,093 | |
| World Fuel Services Corp. | 1,151,450 | 54,038 | |
| * | Esterline Technologies Corp. | 482,312 | 52,900 |
| Regal-Beloit Corp. | 689,802 | 51,873 | |
| * | Generac Holdings Inc. | 1,105,404 | 51,689 |
| Deluxe Corp. | 826,921 | 51,476 | |
| Curtiss-Wright Corp. | 727,241 | 51,336 | |
| Manitowoc Co. Inc. | 2,264,624 | 50,048 | |
| Woodward Inc. | 993,900 | 48,930 | |
| Terex Corp. | 1,746,938 | 48,705 | |
| ^ | Valmont Industries Inc. | 380,049 | 48,266 |
| EnerSys | 778,146 | 48,027 | |
| * | Moog Inc. Class A | 648,056 | 47,976 |
| EMCOR Group Inc. | 1,076,177 | 47,879 | |
| Con-way Inc. | 967,293 | 47,571 | |
| Kennametal Inc. | 1,320,738 | 47,269 | |
| Crane Co. | 789,659 | 46,353 | |
| Watsco Inc. | 431,604 | 46,182 | |
| * | Euronet Worldwide Inc. | 841,164 | 46,180 |
| * | Genpact Ltd. | 2,396,207 | 45,360 |
| Covanta Holding Corp. | 2,012,378 | 44,292 | |
| GATX Corp. | 759,772 | 43,717 | |
| * | CoreLogic Inc. | 1,368,534 | 43,232 |
| * | XPO Logistics Inc. | 1,051,878 | 43,001 |
| *,^ | IPG Photonics Corp. | 566,394 | 42,434 |
| * | Clean Harbors Inc. | 859,877 | 41,317 |
| * | Anixter International Inc. | 466,685 | 41,283 |
| * | Swift Transportation Co. | 1,437,516 | 41,156 |
| KBR Inc. | 2,424,081 | 41,088 | |
| Corporate Executive Board Co. | 566,322 | 41,075 | |
| Silgan Holdings Inc. | 742,513 | 39,799 | |
| * | Louisiana-Pacific Corp. | 2,369,425 | 39,238 |
| * | DigitalGlobe Inc. | 1,265,151 | 39,182 |
| * | Rexnord Corp. | 1,360,444 | 38,378 |
| * | Armstrong World Industries Inc. | 739,689 | 37,813 |
| Booz Allen Hamilton Holding Corp. | 1,404,159 | 37,252 | |
| * | WageWorks Inc. | 571,411 | 36,896 |
| * | Cimpress NV | 490,740 | 36,727 |
| * | KLX Inc. | 885,057 | 36,509 |
| Littelfuse Inc. | 376,349 | 36,382 | |
| * | MWI Veterinary Supply Inc. | 203,169 | 34,520 |
| HEICO Corp. Class A | 723,763 | 34,277 | |
| Knight Transportation Inc. | 1,012,928 | 34,095 | |
| * | Knowles Corp. | 1,422,293 | 33,495 |
| * | Sanmina Corp. | 1,387,801 | 32,655 |
| Mueller Industries Inc. | 954,609 | 32,590 | |
| Vishay Intertechnology Inc. | 2,256,695 | 31,932 | |
| Heartland Payment Systems Inc. | 576,626 | 31,109 | |
| UniFirst Corp. | 255,804 | 31,067 | |
40
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Convergys Corp. | 1,511,002 | 30,779 | |
| Barnes Group Inc. | 816,193 | 30,207 | |
| Mobile Mini Inc. | 742,189 | 30,066 | |
| * | Advisory Board Co. | 609,168 | 29,837 |
| * | Masonite International Corp. | 477,214 | 29,330 |
| MSA Safety Inc. | 542,332 | 28,792 | |
| Applied Industrial Technologies Inc. | 631,152 | 28,774 | |
| * | Cardtronics Inc. | 745,587 | 28,765 |
| Watts Water Technologies Inc. Class A | 449,354 | 28,507 | |
| Tetra Tech Inc. | 1,067,233 | 28,495 | |
| TimkenSteel Corp. | 767,610 | 28,425 | |
| United Stationers Inc. | 657,132 | 27,705 | |
| * | Navistar International Corp. | 819,904 | 27,450 |
| * | On Assignment Inc. | 815,702 | 27,073 |
| Actuant Corp. Class A | 982,656 | 26,768 | |
| * | Orbital Sciences Corp. | 995,188 | 26,761 |
| * | FTI Consulting Inc. | 692,189 | 26,739 |
| * | Huron Consulting Group Inc. | 388,838 | 26,593 |
| * | ExamWorks Group Inc. | 630,556 | 26,225 |
| Forward Air Corp. | 518,805 | 26,132 | |
| Heartland Express Inc. | 963,467 | 26,023 | |
| Mueller Water Products Inc. Class A | 2,528,743 | 25,894 | |
| Franklin Electric Co. Inc. | 683,153 | 25,639 | |
| Harsco Corp. | 1,350,458 | 25,510 | |
| * | Meritor Inc. | 1,680,959 | 25,467 |
| * | Coherent Inc. | 419,276 | 25,458 |
| *,^ | NeuStar Inc. Class A | 907,362 | 25,225 |
| * | Itron Inc. | 591,952 | 25,034 |
| * | EnPro Industries Inc. | 398,277 | 24,996 |
| Matson Inc. | 721,880 | 24,919 | |
| * | Rogers Corp. | 305,278 | 24,862 |
| TAL International Group Inc. | 565,635 | 24,645 | |
| * | Proto Labs Inc. | 366,339 | 24,603 |
| RBC Bearings Inc. | 380,430 | 24,549 | |
| ABM Industries Inc. | 854,936 | 24,494 | |
| Simpson Manufacturing Co. Inc. | 707,853 | 24,492 | |
| * | Boise Cascade Co. | 655,508 | 24,352 |
| Otter Tail Corp. | 785,387 | 24,316 | |
| * | Korn/Ferry International | 833,630 | 23,975 |
| * | Outerwall Inc. | 314,137 | 23,629 |
| * | MasTec Inc. | 1,027,691 | 23,236 |
| * | Benchmark Electronics Inc. | 909,534 | 23,139 |
| EVERTEC Inc. | 1,043,892 | 23,101 | |
| Werner Enterprises Inc. | 738,395 | 23,001 | |
| * | Plexus Corp. | 557,980 | 22,994 |
| *,^ | Ambarella Inc. | 450,768 | 22,863 |
| * | LifeLock Inc. | 1,233,617 | 22,834 |
| Granite Construction Inc. | 599,897 | 22,808 | |
| * | Saia Inc. | 411,407 | 22,775 |
| * | PHH Corp. | 947,655 | 22,706 |
| * | OSI Systems Inc. | 318,505 | 22,541 |
| * | TriMas Corp. | 719,075 | 22,500 |
| * | Veeco Instruments Inc. | 644,814 | 22,491 |
| Tennant Co. | 308,548 | 22,268 | |
| * | Hub Group Inc. Class A | 584,344 | 22,252 |
| ^ | Greenbrier Cos. Inc. | 413,443 | 22,214 |
| G&K Services Inc. Class A | 312,988 | 22,175 | |
| Methode Electronics Inc. | 605,845 | 22,119 | |
| * | Trex Co. Inc. | 517,567 | 22,038 |
| *,^ | TASER International Inc. | 828,924 | 21,950 |
| Aircastle Ltd. | 1,018,832 | 21,772 | |
| * | Atlas Air Worldwide Holdings Inc. | 419,025 | 20,658 |
| Brady Corp. Class A | 754,496 | 20,628 | |
| * | Greatbatch Inc. | 418,350 | 20,625 |
41
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Greif Inc. Class A | 430,682 | 20,341 | |
| * | TriNet Group Inc. | 644,557 | 20,162 |
| Apogee Enterprises Inc. | 469,312 | 19,885 | |
| Brink's Co. | 807,966 | 19,722 | |
| * | Imperva Inc. | 395,087 | 19,529 |
| *,^ | Universal Display Corp. | 697,576 | 19,358 |
| * | Headwaters Inc. | 1,288,849 | 19,320 |
| Albany International Corp. | 504,563 | 19,168 | |
| AZZ Inc. | 408,209 | 19,153 | |
| MTS Systems Corp. | 251,373 | 18,860 | |
| Kaman Corp. | 461,929 | 18,519 | |
| Cubic Corp. | 348,845 | 18,363 | |
| ArcBest Corp. | 393,991 | 18,269 | |
| * | UTi Worldwide Inc. | 1,511,038 | 18,238 |
| * | FARO Technologies Inc. | 287,612 | 18,027 |
| CIRCOR International Inc. | 295,692 | 17,824 | |
| * | GenCorp Inc. | 968,232 | 17,719 |
| AAR Corp. | 628,663 | 17,464 | |
| ^ | Lindsay Corp. | 202,408 | 17,354 |
| Exponent Inc. | 208,845 | 17,230 | |
| Universal Forest Products Inc. | 321,653 | 17,112 | |
| Standex International Corp. | 213,827 | 16,520 | |
| ESCO Technologies Inc. | 438,804 | 16,192 | |
| * | Tutor Perini Corp. | 660,648 | 15,902 |
| * | TrueBlue Inc. | 714,153 | 15,890 |
| * | Sykes Enterprises Inc. | 659,803 | 15,486 |
| Federal Signal Corp. | 996,357 | 15,384 | |
| Raven Industries Inc. | 615,239 | 15,381 | |
| * | ExlService Holdings Inc. | 531,005 | 15,245 |
| AAON Inc. | 678,589 | 15,194 | |
| John Bean Technologies Corp. | 461,222 | 15,156 | |
| McGrath RentCorp | 420,455 | 15,077 | |
| Sun Hydraulics Corp. | 381,787 | 15,035 | |
| H&E Equipment Services Inc. | 534,644 | 15,018 | |
| * | AMN Healthcare Services Inc. | 765,744 | 15,009 |
| * | Astronics Corp. | 266,362 | 14,732 |
| Primoris Services Corp. | 607,447 | 14,117 | |
| * | Wabash National Corp. | 1,141,040 | 14,103 |
| US Ecology Inc. | 345,348 | 13,855 | |
| * | Wesco Aircraft Holdings Inc. | 988,650 | 13,821 |
| Acacia Research Corp. | 806,415 | 13,661 | |
| Badger Meter Inc. | 229,382 | 13,614 | |
| * | Rofin-Sinar Technologies Inc. | 463,923 | 13,347 |
| Textainer Group Holdings Ltd. | 388,318 | 13,327 | |
| * | Team Inc. | 328,224 | 13,280 |
| * | ICF International Inc. | 323,517 | 13,258 |
| Insperity Inc. | 386,148 | 13,087 | |
| * | Navigant Consulting Inc. | 822,709 | 12,645 |
| * | II-VI Inc. | 922,924 | 12,598 |
| * | Engility Holdings Inc. | 293,878 | 12,578 |
| * | Thermon Group Holdings Inc. | 509,699 | 12,330 |
| Astec Industries Inc. | 311,800 | 12,257 | |
| Materion Corp. | 344,447 | 12,135 | |
| Quanex Building Products Corp. | 643,487 | 12,085 | |
| ManTech International Corp. Class A | 397,672 | 12,022 | |
| * | Newport Corp. | 626,147 | 11,966 |
| * | Nortek Inc. | 146,032 | 11,877 |
| Altra Industrial Motion Corp. | 417,507 | 11,853 | |
| Multi-Color Corp. | 211,951 | 11,746 | |
| * | Aegion Corp. Class A | 623,302 | 11,600 |
| Encore Wire Corp. | 310,006 | 11,573 | |
| AVX Corp. | 824,879 | 11,548 | |
| General Cable Corp. | 761,360 | 11,344 | |
| * | RPX Corp. | 820,931 | 11,312 |
42
| Vanguard® Total Stock Market Index Fund | ||
| Schedule of Investments | ||
| December 31, 2014 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Kforce Inc. | 463,506 | 11,184 |
| * YRC Worldwide Inc. | 495,945 | 11,154 |
| ^ Sturm Ruger & Co. Inc. | 321,991 | 11,151 |
| * Rentrak Corp. | 152,919 | 11,136 |
| HEICO Corp. | 183,907 | 11,108 |
| * Roadrunner Transportation Systems Inc. | 475,106 | 11,094 |
| Comfort Systems USA Inc. | 614,508 | 10,520 |
| Resources Connection Inc. | 623,775 | 10,261 |
| Hyster-Yale Materials Handling Inc. | 137,928 | 10,096 |
| Gorman-Rupp Co. | 313,321 | 10,064 |
| Griffon Corp. | 755,494 | 10,048 |
| Cass Information Systems Inc. | 186,902 | 9,953 |
| Quad/Graphics Inc. | 430,783 | 9,891 |
| * GrafTech International Ltd. | 1,940,101 | 9,817 |
| CTS Corp. | 542,531 | 9,673 |
| * Air Transport Services Group Inc. | 1,124,504 | 9,626 |
| * NCI Building Systems Inc. | 513,788 | 9,515 |
| * Fabrinet | 531,266 | 9,425 |
| Park-Ohio Holdings Corp. | 148,367 | 9,352 |
| * MYR Group Inc. | 341,279 | 9,351 |
| Schnitzer Steel Industries Inc. | 412,632 | 9,309 |
| Advanced Drainage Systems Inc. | 404,025 | 9,284 |
| * Checkpoint Systems Inc. | 656,848 | 9,019 |
| Columbus McKinnon Corp. | 318,086 | 8,919 |
| * Lydall Inc. | 270,855 | 8,889 |
| * Aerovironment Inc. | 325,293 | 8,864 |
| Viad Corp. | 327,590 | 8,734 |
| * Echo Global Logistics Inc. | 297,030 | 8,673 |
| * American Woodmark Corp. | 214,337 | 8,668 |
| * DXP Enterprises Inc. | 169,354 | 8,557 |
| Celadon Group Inc. | 369,338 | 8,380 |
| * Smith & Wesson Holding Corp. | 884,310 | 8,374 |
| Park Electrochemical Corp. | 335,171 | 8,356 |
| Marten Transport Ltd. | 382,054 | 8,352 |
| American Railcar Industries Inc. | 160,542 | 8,268 |
| * Great Lakes Dredge & Dock Corp. | 958,771 | 8,207 |
| LB Foster Co. Class A | 167,086 | 8,115 |
| * Gibraltar Industries Inc. | 497,883 | 8,096 |
| Kelly Services Inc. Class A | 469,834 | 7,997 |
| Kadant Inc. | 183,478 | 7,833 |
| Douglas Dynamics Inc. | 361,137 | 7,739 |
| Eagle Bulk Shipping Inc. | 523,137 | 7,674 |
| * Global Cash Access Holdings Inc. | 1,070,354 | 7,653 |
| * Advanced Emissions Solutions Inc. | 334,532 | 7,624 |
| * TeleTech Holdings Inc. | 319,993 | 7,577 |
| * Bazaarvoice Inc. | 932,767 | 7,499 |
| * US Concrete Inc. | 263,433 | 7,495 |
| * M/A-COM Technology Solutions Holdings Inc. | 238,774 | 7,469 |
| * PGT Inc. | 765,757 | 7,374 |
| Powell Industries Inc. | 150,255 | 7,373 |
| * GP Strategies Corp. | 215,275 | 7,304 |
| Alamo Group Inc. | 150,598 | 7,295 |
| Daktronics Inc. | 580,804 | 7,266 |
| Myers Industries Inc. | 409,612 | 7,209 |
| * Dice Holdings Inc. | 714,299 | 7,150 |
| * GSI Group Inc. | 482,731 | 7,106 |
| * Monster Worldwide Inc. | 1,530,290 | 7,070 |
| American Science & Engineering Inc. | 131,563 | 6,828 |
| * Paylocity Holding Corp. | 260,851 | 6,811 |
| * TTM Technologies Inc. | 898,392 | 6,765 |
| * CAI International Inc. | 291,039 | 6,752 |
| Insteel Industries Inc. | 284,369 | 6,705 |
| * Era Group Inc. | 313,283 | 6,626 |
| Heidrick & Struggles International Inc. | 276,628 | 6,376 |
43
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| NN Inc. | 310,052 | 6,375 | |
| * | CBIZ Inc. | 742,977 | 6,360 |
| * | ARC Document Solutions Inc. | 621,213 | 6,349 |
| * | EnerNOC Inc. | 398,558 | 6,158 |
| Ceco Environmental Corp. | 393,665 | 6,118 | |
| * | Landec Corp. | 439,138 | 6,064 |
| * | Builders FirstSource Inc. | 881,600 | 6,057 |
| Black Box Corp. | 251,454 | 6,010 | |
| * | Continental Building Products Inc. | 337,341 | 5,981 |
| Argan Inc. | 170,167 | 5,724 | |
| Ennis Inc. | 420,689 | 5,667 | |
| * | Installed Building Products Inc. | 316,582 | 5,641 |
| * | Patrick Industries Inc. | 127,546 | 5,609 |
| * | Cross Country Healthcare Inc. | 441,231 | 5,507 |
| Landauer Inc. | 161,264 | 5,506 | |
| * | Lionbridge Technologies Inc. | 945,868 | 5,439 |
| * | NVE Corp. | 75,206 | 5,324 |
| FreightCar America Inc. | 200,783 | 5,283 | |
| * | Orion Marine Group Inc. | 476,355 | 5,264 |
| * | InnerWorkings Inc. | 661,185 | 5,151 |
| * | Ply Gem Holdings Inc. | 353,356 | 4,940 |
| * | Covenant Transportation Group Inc. Class A | 180,717 | 4,899 |
| Global Brass & Copper Holdings Inc. | 370,060 | 4,870 | |
| * | ServiceSource International Inc. | 1,036,504 | 4,851 |
| * | Northwest Pipe Co. | 160,074 | 4,821 |
| * | Mistras Group Inc. | 261,072 | 4,785 |
| * | Quality Distribution Inc. | 444,951 | 4,734 |
| * | Furmanite Corp. | 603,512 | 4,719 |
| * | CRA International Inc. | 154,317 | 4,679 |
| Graham Corp. | 162,243 | 4,668 | |
| Universal Truckload Services Inc. | 155,803 | 4,442 | |
| VSE Corp. | 67,027 | 4,417 | |
| * | Kimball Electronics Inc. | 367,119 | 4,413 |
| Kimball International Inc. Class B | 478,908 | 4,368 | |
| * | Maxwell Technologies Inc. | 477,189 | 4,352 |
| * | Ducommun Inc. | 172,147 | 4,352 |
| Electro Rent Corp. | 304,296 | 4,272 | |
| NACCO Industries Inc. Class A | 71,825 | 4,264 | |
| * | Power Solutions International Inc. | 80,993 | 4,180 |
| Bel Fuse Inc. Class B | 151,455 | 4,141 | |
| *,^ | Capstone Turbine Corp. | 5,561,108 | 4,111 |
| * | PowerSecure International Inc. | 352,080 | 4,102 |
| * | Sparton Corp. | 136,847 | 3,878 |
| * | Kratos Defense & Security Solutions Inc. | 769,132 | 3,861 |
| CDI Corp. | 215,285 | 3,813 | |
| * | AEP Industries Inc. | 65,019 | 3,781 |
| * | Stock Building Supply Holdings Inc. | 239,313 | 3,666 |
| Global Power Equipment Group Inc. | 264,847 | 3,658 | |
| * | USA Truck Inc. | 128,180 | 3,640 |
| Mesa Laboratories Inc. | 46,756 | 3,615 | |
| * | Franklin Covey Co. | 185,605 | 3,593 |
| * | FRP Holdings Inc. | 90,221 | 3,538 |
| Dynamic Materials Corp. | 220,527 | 3,533 | |
| Hurco Cos. Inc. | 103,360 | 3,524 | |
| * | Control4 Corp. | 218,509 | 3,358 |
| Twin Disc Inc. | 161,862 | 3,215 | |
| Barrett Business Services Inc. | 117,072 | 3,208 | |
| * | Vicor Corp. | 264,884 | 3,205 |
| * | Vishay Precision Group Inc. | 186,591 | 3,202 |
| * | PAM Transportation Services Inc. | 61,693 | 3,198 |
| Electro Scientific Industries Inc. | 412,108 | 3,198 | |
| Houston Wire & Cable Co. | 262,955 | 3,142 | |
| *,^ | Layne Christensen Co. | 326,919 | 3,119 |
| Miller Industries Inc. | 149,815 | 3,115 | |
44
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| *,^ | Energy Recovery Inc. | 582,254 | 3,068 |
| Universal Technical Institute Inc. | 308,505 | 3,036 | |
| * | AM Castle & Co. | 363,619 | 2,902 |
| * | Kemet Corp. | 689,487 | 2,896 |
| * | Manitex International Inc. | 221,098 | 2,810 |
| * | Xerium Technologies Inc. | 176,654 | 2,788 |
| * | Commercial Vehicle Group Inc. | 417,626 | 2,781 |
| * | Intevac Inc. | 352,939 | 2,742 |
| * | Planar Systems Inc. | 326,934 | 2,736 |
| * | Accuride Corp. | 620,313 | 2,692 |
| Richardson Electronics Ltd. | 268,171 | 2,682 | |
| * | CUI Global Inc. | 348,205 | 2,594 |
| *,^ | ExOne Co. | 153,900 | 2,585 |
| Hardinge Inc. | 208,150 | 2,481 | |
| LSI Industries Inc. | 364,005 | 2,472 | |
| Spartan Motors Inc. | 458,158 | 2,410 | |
| * | UFP Technologies Inc. | 97,393 | 2,394 |
| * | LMI Aerospace Inc. | 169,718 | 2,393 |
| * | PRGX Global Inc. | 414,807 | 2,373 |
| * | ModusLink Global Solutions Inc. | 627,988 | 2,355 |
| * | Casella Waste Systems Inc. Class A | 575,417 | 2,325 |
| * | Willis Lease Finance Corp. | 105,689 | 2,315 |
| * | Hill International Inc. | 601,774 | 2,311 |
| * | Higher One Holdings Inc. | 545,425 | 2,296 |
| Allied Motion Technologies Inc. | 95,612 | 2,265 | |
| * | Norcraft Cos. Inc. | 116,974 | 2,258 |
| Crawford & Co. Class B | 219,434 | 2,256 | |
| United States Lime & Minerals Inc. | 30,170 | 2,198 | |
| * | General Finance Corp. | 220,467 | 2,174 |
| * | Magnetek Inc. | 52,099 | 2,118 |
| * | SL Industries Inc. | 53,878 | 2,101 |
| * | Lawson Products Inc. | 78,107 | 2,075 |
| * | Ameresco Inc. Class A | 288,977 | 2,023 |
| * | Cenveo Inc. | 954,768 | 2,005 |
| * | PFSweb Inc. | 156,382 | 1,980 |
| * | Orion Energy Systems Inc. | 346,841 | 1,908 |
| *,^ | Energous Corp. | 172,051 | 1,886 |
| Crawford & Co. Class A | 217,594 | 1,865 | |
| * | Heritage-Crystal Clean Inc. | 148,396 | 1,830 |
| * | Rubicon Technology Inc. | 397,533 | 1,817 |
| * | Information Services Group Inc. | 419,236 | 1,769 |
| * | StarTek Inc. | 181,371 | 1,768 |
| * | Sterling Construction Co. Inc. | 269,082 | 1,719 |
| Omega Flex Inc. | 44,518 | 1,683 | |
| * | Multi-Fineline Electronix Inc. | 147,819 | 1,660 |
| * | Adept Technology Inc. | 186,565 | 1,619 |
| * | Hudson Technologies Inc. | 428,601 | 1,616 |
| Supreme Industries Inc. Class A | 224,607 | 1,586 | |
| *,^ | Nuverra Environmental Solutions Inc. | 280,861 | 1,559 |
| Eastern Co. | 90,619 | 1,554 | |
| National Research Corp. Class A | 109,276 | 1,529 | |
| * | TRC Cos. Inc. | 240,662 | 1,526 |
| * | Willdan Group Inc. | 112,986 | 1,524 |
| * | Hudson Global Inc. | 474,977 | 1,472 |
| * | Rand Logistics Inc. | 369,738 | 1,460 |
| * | PMFG Inc. | 272,566 | 1,425 |
| *,^ | Research Frontiers Inc. | 274,699 | 1,406 |
| International Shipholding Corp. | 92,463 | 1,378 | |
| Perceptron Inc. | 138,181 | 1,375 | |
| * | CTPartners Executive Search Inc. | 83,392 | 1,267 |
| *,^ | Odyssey Marine Exploration Inc. | 1,346,953 | 1,253 |
| * | Broadwind Energy Inc. | 218,314 | 1,177 |
| * | Mattersight Corp. | 186,080 | 1,163 |
| * | CPI Aerostructures Inc. | 110,173 | 1,156 |
45
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Sharps Compliance Corp. | 266,460 | 1,135 |
| * | API Technologies Corp. | 524,668 | 1,118 |
| *,^ | MicroVision Inc. | 636,812 | 1,108 |
| *,^ | Vertex Energy Inc. | 263,557 | 1,104 |
| * | Planet Payment Inc. | 522,096 | 1,086 |
| * | Volt Information Sciences Inc. | 98,773 | 1,060 |
| * | Viasystems Group Inc. | 64,852 | 1,056 |
| *,^ | Erickson Inc. | 123,800 | 1,032 |
| * | CyberOptics Corp. | 101,286 | 973 |
| * | Radiant Logistics Inc. | 227,361 | 962 |
| * | Fuel Tech Inc. | 249,091 | 954 |
| MOCON Inc. | 53,396 | 953 | |
| * | Frequency Electronics Inc. | 82,489 | 943 |
| Lincoln Educational Services Corp. | 330,578 | 932 | |
| * | Huttig Building Products Inc. | 269,796 | 904 |
| * | Key Technology Inc. | 67,025 | 858 |
| *,^ | Aspen Aerogels Inc. | 107,000 | 854 |
| Hubbell Inc. Class A | 7,600 | 845 | |
| * | Synthesis Energy Systems Inc. | 888,787 | 842 |
| * | Echelon Corp. | 494,283 | 840 |
| * | NAPCO Security Technologies Inc. | 175,926 | 827 |
| * | Yodlee Inc. | 65,391 | 798 |
| *,^ | ClearSign Combustion Corp. | 106,402 | 780 |
| * | Arotech Corp. | 334,820 | 777 |
| * | American Superconductor Corp. | 1,043,562 | 773 |
| * | Innovative Solutions & Support Inc. | 238,921 | 760 |
| *,^ | Revolution Lighting Technologies Inc. | 553,436 | 747 |
| * | Goldfield Corp. | 304,241 | 739 |
| Espey Manufacturing & Electronics Corp. | 30,766 | 732 | |
| * | Gencor Industries Inc. | 77,753 | 731 |
| * | Iteris Inc. | 417,053 | 721 |
| * | BlueLinx Holdings Inc. | 597,002 | 692 |
| * | Tecumseh Products Co. | 221,547 | 685 |
| ^ | National Research Corp. Class B | 18,670 | 669 |
| * | Elecsys Corp. | 37,904 | 660 |
| * | Ballantyne Strong Inc. | 158,047 | 650 |
| * | Transcat Inc. | 64,049 | 645 |
| * | Perma-Fix Environmental Services | 144,397 | 628 |
| Air Industries Group | 58,866 | 617 | |
| * | Turtle Beach Corp. | 191,477 | 611 |
| * | MFRI Inc. | 83,503 | 585 |
| SIFCO Industries Inc. | 19,738 | 575 | |
| * | Integrated Electrical Services Inc. | 70,864 | 553 |
| * | Versar Inc. | 164,937 | 521 |
| * | Wireless Telecom Group Inc. | 197,550 | 518 |
| * | Breeze-Eastern Corp. | 46,956 | 477 |
| * | Astrotech Corp. | 192,545 | 476 |
| * | eMagin Corp. | 206,764 | 476 |
| RF Industries Ltd. | 115,748 | 471 | |
| * | Active Power Inc. | 244,883 | 451 |
| * | ENGlobal Corp. | 236,848 | 450 |
| *,^ | UQM Technologies Inc. | 574,458 | 449 |
| *,^ | Spherix Inc. | 388,700 | 420 |
| * | Ultralife Corp. | 130,401 | 408 |
| * | American Electric Technologies Inc. | 72,950 | 400 |
| * | IEC Electronics Corp. | 77,291 | 367 |
| Sypris Solutions Inc. | 134,183 | 354 | |
| * | Essex Rental Corp. | 267,152 | 353 |
| * | Swisher Hygiene Inc. | 175,208 | 328 |
| *,^ | Document Security Systems Inc. | 712,106 | 320 |
| *,^ | Lightbridge Corp. | 199,745 | 310 |
| AMCON Distributing Co. | 3,767 | 301 | |
| * | Industrial Services of America Inc. | 48,929 | 289 |
| Bel Fuse Inc. Class A | 10,580 | 256 | |
46
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Pioneer Power Solutions Inc. | 26,639 | 249 |
| Chicago Rivet & Machine Co. | 7,846 | 241 | |
| *,^ | Image Sensing Systems Inc. | 87,573 | 233 |
| * | Air T Inc. | 9,102 | 233 |
| *,^ | Metalico Inc. | 651,835 | 222 |
| * | Video Display Corp. | 75,730 | 217 |
| * | Asure Software Inc. | 38,446 | 211 |
| * | Standard Register Co. | 63,708 | 208 |
| * | SigmaTron International Inc. | 29,472 | 197 |
| * | American DG Energy Inc. | 324,240 | 195 |
| * | Onvia Inc. | 37,538 | 188 |
| * | Appliance Recycling Centers of America Inc. | 68,719 | 183 |
| * | Professional Diversity Network | 36,596 | 178 |
| * | BTU International Inc. | 52,826 | 174 |
| * | Sevcon Inc. | 21,782 | 166 |
| * | AMREP Corp. | 41,386 | 159 |
| * | Marathon Patent Group Inc. | 16,800 | 141 |
| * | Cartesian Inc. | 32,994 | 140 |
| EnviroStar Inc. | 47,800 | 135 | |
| * | NV5 Holdings Inc. | 9,400 | 122 |
| * | Continental Materials Corp. | 7,139 | 113 |
| Ecology and Environment Inc. | 11,680 | 107 | |
| * | LightPath Technologies Inc. Class A | 114,699 | 104 |
| * | Nortech Systems Inc. | 17,942 | 102 |
| * | Taylor Devices Inc. | 9,815 | 102 |
| * | DLH Holdings Corp. | 47,352 | 95 |
| * | Luna Innovations Inc. | 66,307 | 94 |
| * | Quest Resource Holding Corp. | 63,750 | 92 |
| * | Coast Distribution System Inc. | 28,187 | 92 |
| * | Micronet Enertec Technologies Inc. | 19,850 | 71 |
| * | Overseas Shipholding Group Inc. Class B | 12,436 | 68 |
| Vicon Industries Inc. | 27,360 | 50 | |
| * | Advanced Photonix Inc. Class A | 164,078 | 48 |
| * | Art's-Way Manufacturing Co. Inc. | 7,269 | 38 |
| * | AeroCentury Corp. | 3,772 | 33 |
| * | LiqTech International Inc. | 29,910 | 33 |
| * | Servotronics Inc. | 4,914 | 31 |
| WSI Industries Inc. | 5,099 | 29 | |
| Foster Wheeler AG | 893 | 25 | |
| * | IntriCon Corp. | 3,215 | 22 |
| * | Sutron Corp. | 2,453 | 12 |
| * | Command Security Corp. | 5,927 | 11 |
| * | Avalon Holdings Corp. Class A | 2,726 | 7 |
| * | Electro-Sensors Inc. | 1,300 | 5 |
| * | LGL Group Inc. Warrants Exp. 06/08/2018 | 3,000 | — |
| 48,047,597 | |||
| Oil & Gas (7.5%) | |||
| Exxon Mobil Corp. | 71,373,124 | 6,598,445 | |
| Chevron Corp. | 31,861,948 | 3,574,273 | |
| Schlumberger Ltd. | 21,671,059 | 1,850,925 | |
| ConocoPhillips | 20,737,680 | 1,432,144 | |
| Kinder Morgan Inc. | 28,556,647 | 1,208,232 | |
| Occidental Petroleum Corp. | 13,062,190 | 1,052,943 | |
| EOG Resources Inc. | 9,229,697 | 849,778 | |
| Anadarko Petroleum Corp. | 8,523,659 | 703,202 | |
| Phillips 66 | 9,328,355 | 668,843 | |
| Halliburton Co. | 13,555,191 | 533,126 | |
| Williams Cos. Inc. | 11,331,409 | 509,234 | |
| National Oilwell Varco Inc. | 7,232,949 | 473,975 | |
| Valero Energy Corp. | 8,779,323 | 434,576 | |
| Marathon Petroleum Corp. | 4,720,070 | 426,034 | |
| Baker Hughes Inc. | 7,291,131 | 408,814 | |
| Devon Energy Corp. | 6,542,829 | 400,487 | |
| Apache Corp. | 6,376,214 | 399,597 | |
47
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Pioneer Natural Resources Co. | 2,506,813 | 373,139 | |
| Hess Corp. | 4,587,127 | 338,622 | |
| Marathon Oil Corp. | 11,349,082 | 321,066 | |
| Noble Energy Inc. | 6,094,240 | 289,050 | |
| * | Cheniere Energy Inc. | 3,591,139 | 252,816 |
| Cabot Oil & Gas Corp. | 6,994,862 | 207,118 | |
| Chesapeake Energy Corp. | 10,077,893 | 197,224 | |
| EQT Corp. | 2,555,379 | 193,442 | |
| * | Concho Resources Inc. | 1,899,204 | 189,446 |
| * | FMC Technologies Inc. | 3,929,326 | 184,050 |
| * | Cameron International Corp. | 3,345,227 | 167,094 |
| * | Southwestern Energy Co. | 5,949,180 | 162,353 |
| Tesoro Corp. | 2,124,872 | 157,984 | |
| Cimarex Energy Co. | 1,462,437 | 155,018 | |
| Range Resources Corp. | 2,701,530 | 144,397 | |
| Murphy Oil Corp. | 2,831,545 | 143,050 | |
| * | Weatherford International plc | 11,725,915 | 134,262 |
| HollyFrontier Corp. | 3,333,583 | 124,943 | |
| OGE Energy Corp. | 3,353,198 | 118,971 | |
| Ensco plc Class A | 3,931,082 | 117,736 | |
| Helmerich & Payne Inc. | 1,722,757 | 116,148 | |
| ^ | Transocean Ltd. | 5,809,601 | 106,490 |
| * | Dresser-Rand Group Inc. | 1,288,236 | 105,378 |
| Oceaneering International Inc. | 1,772,037 | 104,214 | |
| * | Whiting Petroleum Corp. | 2,803,239 | 92,507 |
| Core Laboratories NV | 743,732 | 89,501 | |
| Energen Corp. | 1,224,909 | 78,100 | |
| Noble Corp. plc | 4,355,453 | 72,170 | |
| Targa Resources Corp. | 636,969 | 67,551 | |
| * | Newfield Exploration Co. | 2,302,421 | 62,442 |
| QEP Resources Inc. | 3,079,765 | 62,273 | |
| Nabors Industries Ltd. | 4,754,799 | 61,717 | |
| * | Continental Resources Inc. | 1,565,959 | 60,070 |
| * | Gulfport Energy Corp. | 1,437,964 | 60,021 |
| * | First Solar Inc. | 1,263,630 | 56,352 |
| Superior Energy Services Inc. | 2,571,528 | 51,816 | |
| SemGroup Corp. Class A | 742,709 | 50,794 | |
| * | Cobalt International Energy Inc. | 5,614,956 | 49,917 |
| * | Dril-Quip Inc. | 639,838 | 49,095 |
| Denbury Resources Inc. | 5,922,544 | 48,150 | |
| * | Diamondback Energy Inc. | 803,511 | 48,034 |
| Western Refining Inc. | 1,267,715 | 47,894 | |
| Rowan Cos. plc Class A | 2,051,666 | 47,845 | |
| *,^ | NOW Inc. | 1,800,353 | 46,323 |
| * | Oil States International Inc. | 908,453 | 44,423 |
| SM Energy Co. | 1,133,762 | 43,741 | |
| ^ | Diamond Offshore Drilling Inc. | 1,145,906 | 42,066 |
| * | WPX Energy Inc. | 3,418,318 | 39,755 |
| Patterson-UTI Energy Inc. | 2,317,932 | 38,454 | |
| PBF Energy Inc. Class A | 1,403,578 | 37,391 | |
| Bristow Group Inc. | 562,605 | 37,014 | |
| * | Antero Resources Corp. | 886,990 | 35,994 |
| Exterran Holdings Inc. | 1,081,643 | 35,240 | |
| * | Helix Energy Solutions Group Inc. | 1,587,479 | 34,448 |
| *,^ | Ultra Petroleum Corp. | 2,456,666 | 32,330 |
| * | Atwood Oceanics Inc. | 1,021,053 | 28,967 |
| * | California Resources Corp. | 5,235,941 | 28,850 |
| * | Carrizo Oil & Gas Inc. | 689,785 | 28,695 |
| * | Unit Corp. | 826,336 | 28,178 |
| * | Oasis Petroleum Inc. | 1,618,387 | 26,768 |
| Tidewater Inc. | 825,052 | 26,740 | |
| * | Memorial Resource Development Corp. | 1,479,826 | 26,681 |
| Delek US Holdings Inc. | 914,207 | 24,940 | |
| * | PDC Energy Inc. | 601,090 | 24,807 |
48
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | MRC Global Inc. | 1,634,117 | 24,757 |
| * | Rice Energy Inc. | 1,148,692 | 24,088 |
| * | Rosetta Resources Inc. | 1,035,002 | 23,091 |
| *,^ | SunPower Corp. Class A | 881,930 | 22,780 |
| * | Matador Resources Co. | 1,104,485 | 22,344 |
| * | SEACOR Holdings Inc. | 295,142 | 21,784 |
| * | Forum Energy Technologies Inc. | 1,022,051 | 21,187 |
| * | Parsley Energy Inc. Class A | 1,107,232 | 17,671 |
| * | Chart Industries Inc. | 511,910 | 17,507 |
| Pattern Energy Group Inc. Class A | 655,289 | 16,159 | |
| * | Flotek Industries Inc. | 846,748 | 15,860 |
| * | Stone Energy Corp. | 892,239 | 15,061 |
| *,^ | Laredo Petroleum Inc. | 1,440,059 | 14,905 |
| *,^ | SandRidge Energy Inc. | 7,910,828 | 14,398 |
| RPC Inc. | 1,094,155 | 14,268 | |
| * | RSP Permian Inc. | 554,186 | 13,932 |
| * | Hornbeck Offshore Services Inc. | 538,099 | 13,436 |
| ^ | CARBO Ceramics Inc. | 327,855 | 13,131 |
| * | Bonanza Creek Energy Inc. | 547,002 | 13,128 |
| * | Newpark Resources Inc. | 1,319,721 | 12,590 |
| Green Plains Inc. | 499,520 | 12,378 | |
| ^ | CVR Energy Inc. | 302,956 | 11,727 |
| * | McDermott International Inc. | 3,977,574 | 11,575 |
| *,^ | Magnum Hunter Resources Corp. | 3,147,696 | 9,884 |
| * | C&J Energy Services Inc. | 736,204 | 9,725 |
| Gulfmark Offshore Inc. | 397,506 | 9,707 | |
| * | TETRA Technologies Inc. | 1,438,377 | 9,608 |
| * | Matrix Service Co. | 412,805 | 9,214 |
| * | Bill Barrett Corp. | 775,697 | 8,835 |
| *,^ | Sanchez Energy Corp. | 880,969 | 8,184 |
| * | Penn Virginia Corp. | 1,210,226 | 8,084 |
| *,^ | Plug Power Inc. | 2,609,608 | 7,829 |
| * | Contango Oil & Gas Co. | 262,258 | 7,668 |
| Civeo Corp. | 1,798,547 | 7,392 | |
| * | PHI Inc. | 195,037 | 7,294 |
| Tesco Corp. | 562,189 | 7,207 | |
| * | REX American Resources Corp. | 115,033 | 7,129 |
| *,^ | Halcon Resources Corp. | 3,927,812 | 6,992 |
| *,^ | Triangle Petroleum Corp. | 1,448,413 | 6,923 |
| *,^ | EP Energy Corp. Class A | 623,159 | 6,506 |
| * | Clayton Williams Energy Inc. | 100,342 | 6,402 |
| * | Pioneer Energy Services Corp. | 1,141,904 | 6,326 |
| * | Parker Drilling Co. | 1,909,858 | 5,863 |
| *,^ | FuelCell Energy Inc. | 3,796,758 | 5,847 |
| Gulf Island Fabrication Inc. | 294,520 | 5,711 | |
| Panhandle Oil and Gas Inc. Class A | 242,063 | 5,635 | |
| * | Enphase Energy Inc. | 391,298 | 5,592 |
| *,^ | Northern Oil and Gas Inc. | 979,715 | 5,535 |
| ^ | EXCO Resources Inc. | 2,549,634 | 5,533 |
| * | ION Geophysical Corp. | 2,003,906 | 5,511 |
| * | Geospace Technologies Corp. | 201,956 | 5,352 |
| ^ | Comstock Resources Inc. | 768,274 | 5,232 |
| * | Renewable Energy Group Inc. | 527,460 | 5,122 |
| Alon USA Energy Inc. | 398,054 | 5,043 | |
| * | Basic Energy Services Inc. | 717,729 | 5,031 |
| ^ | Energy XXI Ltd. | 1,483,593 | 4,837 |
| * | Abraxas Petroleum Corp. | 1,633,750 | 4,803 |
| * | Par Petroleum Corp. | 293,537 | 4,770 |
| * | Natural Gas Services Group Inc. | 200,919 | 4,629 |
| * | Callon Petroleum Co. | 843,988 | 4,600 |
| * | Seventy Seven Energy Inc. | 810,989 | 4,387 |
| * | Willbros Group Inc. | 662,155 | 4,152 |
| * | VAALCO Energy Inc. | 905,949 | 4,131 |
| W&T Offshore Inc. | 554,099 | 4,067 | |
49
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Rex Energy Corp. | 795,034 | 4,055 |
| * | Pacific Ethanol Inc. | 385,204 | 3,979 |
| ^ | Paragon Offshore plc | 1,431,795 | 3,966 |
| * | Trecora Resources | 269,419 | 3,960 |
| *,^ | Approach Resources Inc. | 603,724 | 3,858 |
| * | Eclipse Resources Corp. | 546,970 | 3,845 |
| * | Key Energy Services Inc. | 2,186,986 | 3,652 |
| * | Ring Energy Inc. | 340,767 | 3,578 |
| * | PetroQuest Energy Inc. | 943,068 | 3,527 |
| *,^ | Solazyme Inc. | 1,111,745 | 2,868 |
| * | Gastar Exploration Inc. | 1,186,234 | 2,859 |
| *,^ | Swift Energy Co. | 689,702 | 2,793 |
| *,^ | Goodrich Petroleum Corp. | 580,984 | 2,580 |
| * | Jones Energy Inc. | 219,081 | 2,500 |
| *,^ | Hercules Offshore Inc. | 2,497,959 | 2,498 |
| * | Dakota Plains Holdings Inc. | 1,276,479 | 2,247 |
| Dawson Geophysical Co. | 169,297 | 2,071 | |
| * | Isramco Inc. | 14,962 | 2,065 |
| * | Ignyta Inc. | 290,253 | 1,988 |
| *,^ | Glori Energy Inc. | 471,803 | 1,972 |
| Evolution Petroleum Corp. | 263,979 | 1,961 | |
| * | Warren Resources Inc. | 1,179,772 | 1,899 |
| *,^ | CAMAC Energy Inc. | 4,918,003 | 1,820 |
| * | Green Brick Partners Inc. | 205,928 | 1,689 |
| Adams Resources & Energy Inc. | 32,683 | 1,633 | |
| * | Resolute Energy Corp. | 1,198,394 | 1,582 |
| * | Aemetis Inc. | 266,839 | 1,545 |
| * | Vantage Drilling Co. | 3,119,017 | 1,525 |
| * | Independence Contract Drilling Inc. | 265,900 | 1,388 |
| * | Mitcham Industries Inc. | 217,080 | 1,287 |
| * | Harvest Natural Resources Inc. | 708,487 | 1,282 |
| * | FX Energy Inc. | 813,508 | 1,261 |
| *,^ | Emerald Oil Inc. | 856,606 | 1,028 |
| *,^ | Amyris Inc. | 471,488 | 971 |
| *,^ | Midstates Petroleum Co. Inc. | 566,999 | 856 |
| *,^ | Miller Energy Resources Inc. | 521,686 | 652 |
| * | Magellan Petroleum Corp. | 667,740 | 608 |
| * | US Energy Corp. Wyoming | 408,838 | 605 |
| * | Ideal Power Inc. | 77,301 | 561 |
| * | Enservco Corp. | 347,997 | 560 |
| * | TGC Industries Inc. | 242,186 | 523 |
| * | Zion Oil & Gas Inc. | 369,942 | 507 |
| * | BPZ Resources Inc. | 1,602,208 | 463 |
| * | Earthstone Energy Inc. | 19,639 | 462 |
| *,^ | Royale Energy Inc. | 207,408 | 438 |
| *,^ | Quicksilver Resources Inc. | 2,027,666 | 402 |
| * | American Eagle Energy Corp. | 556,864 | 347 |
| *,^ | Gevo Inc. | 1,062,915 | 340 |
| *,^ | PrimeEnergy Corp. | 4,540 | 330 |
| *,^ | Real Goods Solar Inc. Class A | 614,259 | 297 |
| *,^ | Hyperdynamics Corp. | 374,527 | 288 |
| * | Forbes Energy Services Ltd. | 233,570 | 283 |
| * | STR Holdings Inc. | 205,582 | 282 |
| * | Yuma Energy Inc. | 145,376 | 266 |
| * | SAExploration Holdings Inc. | 64,385 | 256 |
| *,^ | GreenHunter Resources Inc. | 290,400 | 209 |
| *,^ | MagneGas Corp. | 302,222 | 208 |
| * | Superior Drilling Products Inc. | 46,796 | 195 |
| *,^ | Ocean Power Technologies Inc. | 302,039 | 192 |
| * | PEDEVCO Corp. | 380,260 | 171 |
| ^ | ZaZa Energy Corp. | 53,685 | 135 |
| *,^ | Ascent Solar Technologies Inc. | 115,681 | 124 |
| * | Torchlight Energy Resources Inc. | 140,668 | 115 |
| * | Escalera Resources Co. | 215,701 | 112 |
50
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | PostRock Energy Corp. | 196,588 | 73 |
| * | Forest Oil Corp. | 253,325 | 57 |
| * | PHI Inc. | 1,600 | 56 |
| * | FieldPoint Petroleum Corp. | 26,809 | 48 |
| * | Tengasco Inc. | 174,840 | 45 |
| * | Lilis Energy Inc. | 60,933 | 44 |
| * | Mexco Energy Corp. | 6,850 | 38 |
| * | Saratoga Resources Inc. | 121,900 | 26 |
| *,^ | Lucas Energy Inc. | 51,776 | 6 |
| 28,539,654 | |||
| Other (0.0%)2 | |||
| * | Amec Foster Wheeler plc | 1,389,321 | 18,471 |
| * | Leap Wireless International Inc CVR | 872,848 | 2,200 |
| * | Furiex Pharmaceuticals Inc. CVR | 119,591 | 1,168 |
| * | Adolor Corp. Rights Exp. 07/01/2019 | 592,629 | 308 |
| * | Chelsea Therapeutics International Ltd. CVR Exp. 12/31/2016 | 1,157,305 | 127 |
| * | Ambit Biosciences Corp. CVR Rights | 201,330 | 121 |
| * | 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 |
| 22,673 | |||
| Technology (15.8%) | |||
| Apple Inc. | 98,848,739 | 10,910,924 | |
| Microsoft Corp. | 125,034,776 | 5,807,865 | |
| Intel Corp. | 81,504,192 | 2,957,787 | |
| * | Facebook Inc. Class A | 35,601,695 | 2,777,644 |
| International Business Machines Corp. | 16,680,965 | 2,676,294 | |
| * | Google Inc. Class C | 4,852,399 | 2,554,303 |
| * | Google Inc. Class A | 4,808,012 | 2,551,420 |
| Oracle Corp. | 56,002,661 | 2,518,440 | |
| Cisco Systems Inc. | 86,155,102 | 2,396,404 | |
| QUALCOMM Inc. | 28,017,980 | 2,082,576 | |
| Hewlett-Packard Co. | 31,445,946 | 1,261,926 | |
| EMC Corp. | 34,274,633 | 1,019,328 | |
| Texas Instruments Inc. | 17,826,521 | 953,095 | |
| * | Yahoo! Inc. | 14,360,126 | 725,330 |
| * | Micron Technology Inc. | 18,088,686 | 633,285 |
| * | salesforce.com inc | 10,092,974 | 598,614 |
| * | Adobe Systems Inc. | 7,977,443 | 579,960 |
| * | Cognizant Technology Solutions Corp. Class A | 10,262,568 | 540,427 |
| Applied Materials Inc. | 20,495,643 | 510,751 | |
| Corning Inc. | 21,566,649 | 494,523 | |
| Avago Technologies Ltd. Class A | 4,259,588 | 428,472 | |
| Intuit Inc. | 4,572,115 | 421,503 | |
| Western Digital Corp. | 3,710,280 | 410,728 | |
| Broadcom Corp. Class A | 9,130,769 | 395,636 | |
| SanDisk Corp. | 3,718,139 | 364,303 | |
| Seagate Technology plc | 5,231,579 | 347,900 | |
| * | Cerner Corp. | 5,170,092 | 334,298 |
| * | Twitter Inc. | 8,551,592 | 306,746 |
| Symantec Corp. | 11,614,259 | 297,964 | |
| Analog Devices Inc. | 5,286,896 | 293,528 | |
| Motorola Solutions Inc. | 3,661,038 | 245,582 | |
| Skyworks Solutions Inc. | 3,209,009 | 233,327 | |
| * | Autodesk Inc. | 3,840,186 | 230,642 |
| NetApp Inc. | 5,305,537 | 219,914 | |
| * | Red Hat Inc. | 3,165,729 | 218,878 |
| Lam Research Corp. | 2,688,843 | 213,333 | |
| Equinix Inc. | 922,841 | 209,236 | |
| KLA-Tencor Corp. | 2,769,482 | 194,750 | |
| Xilinx Inc. | 4,453,787 | 192,804 | |
| Altera Corp. | 5,183,983 | 191,496 | |
| Linear Technology Corp. | 4,020,087 | 183,316 | |
51
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Catamaran Corp. | 3,493,788 | 180,804 |
| * | Akamai Technologies Inc. | 2,839,455 | 178,772 |
| NVIDIA Corp. | 8,698,245 | 174,400 | |
| * | Citrix Systems Inc. | 2,722,018 | 173,665 |
| * | F5 Networks Inc. | 1,243,659 | 162,254 |
| CA Inc. | 5,299,269 | 161,363 | |
| Juniper Networks Inc. | 6,964,552 | 155,449 | |
| * | ServiceNow Inc. | 2,251,454 | 152,761 |
| Maxim Integrated Products Inc. | 4,758,389 | 151,650 | |
| Computer Sciences Corp. | 2,375,378 | 149,768 | |
| Microchip Technology Inc. | 3,204,080 | 144,536 | |
| * | Palo Alto Networks Inc. | 1,151,138 | 141,095 |
| * | Workday Inc. Class A | 1,663,044 | 135,721 |
| Harris Corp. | 1,787,687 | 128,392 | |
| * | ANSYS Inc. | 1,534,415 | 125,822 |
| * | Gartner Inc. | 1,414,624 | 119,125 |
| * | VMware Inc. Class A | 1,440,004 | 118,829 |
| * | VeriSign Inc. | 2,070,671 | 118,028 |
| * | Teradata Corp. | 2,599,682 | 113,554 |
| * | Synopsys Inc. | 2,603,501 | 113,174 |
| CDK Global Inc. | 2,589,014 | 105,528 | |
| Garmin Ltd. | 1,937,176 | 102,341 | |
| * | Splunk Inc. | 1,727,034 | 101,809 |
| Marvell Technology Group Ltd. | 6,917,749 | 100,307 | |
| * | Cadence Design Systems Inc. | 5,007,657 | 94,995 |
| * | athenahealth Inc. | 638,747 | 93,065 |
| * | Rackspace Hosting Inc. | 1,931,830 | 90,429 |
| Brocade Communications Systems Inc. | 7,224,973 | 85,544 | |
| * | SunEdison Inc. | 4,331,568 | 84,509 |
| * | TriQuint Semiconductor Inc. | 3,014,707 | 83,055 |
| Pitney Bowes Inc. | 3,377,315 | 82,305 | |
| * | RF Micro Devices Inc. | 4,874,331 | 80,865 |
| * | NCR Corp. | 2,731,390 | 79,593 |
| IAC/InterActiveCorp | 1,303,691 | 79,251 | |
| * | ON Semiconductor Corp. | 7,361,735 | 74,574 |
| Teradyne Inc. | 3,689,581 | 73,017 | |
| * | Ingram Micro Inc. | 2,617,397 | 72,345 |
| * | Fortinet Inc. | 2,296,527 | 70,412 |
| * | Informatica Corp. | 1,827,714 | 69,700 |
| SS&C Technologies Holdings Inc. | 1,189,095 | 69,550 | |
| * | PTC Inc. | 1,895,020 | 69,452 |
| * | Ultimate Software Group Inc. | 458,873 | 67,369 |
| * | VeriFone Systems Inc. | 1,801,973 | 67,033 |
| CDW Corp. | 1,875,932 | 65,977 | |
| * | ARRIS Group Inc. | 2,184,993 | 65,965 |
| *,^ | Cree Inc. | 2,012,566 | 64,845 |
| * | Tableau Software Inc. Class A | 753,187 | 63,840 |
| * | NetSuite Inc. | 583,510 | 63,702 |
| * | Nuance Communications Inc. | 4,358,221 | 62,192 |
| * | Guidewire Software Inc. | 1,164,651 | 58,966 |
| * | Verint Systems Inc. | 1,011,480 | 58,949 |
| Solera Holdings Inc. | 1,143,516 | 58,525 | |
| *,^ | 3D Systems Corp. | 1,775,351 | 58,356 |
| * | Tyler Technologies Inc. | 528,620 | 57,852 |
| * | AOL Inc. | 1,248,692 | 57,652 |
| * | Cavium Inc. | 902,475 | 55,791 |
| * | Atmel Corp. | 6,643,975 | 55,776 |
| Leidos Holdings Inc. | 1,251,795 | 54,478 | |
| DST Systems Inc. | 577,396 | 54,362 | |
| * | SolarWinds Inc. | 1,085,651 | 54,098 |
| * | Aspen Technology Inc. | 1,541,488 | 53,983 |
| * | JDS Uniphase Corp. | 3,876,589 | 53,187 |
| *,^ | FireEye Inc. | 1,650,736 | 52,130 |
| * | Manhattan Associates Inc. | 1,271,011 | 51,756 |
52
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Sapient Corp. | 2,027,985 | 50,456 |
| * | Riverbed Technology Inc. | 2,464,285 | 50,296 |
| * | Integrated Device Technology Inc. | 2,497,222 | 48,946 |
| * | International Rectifier Corp. | 1,201,870 | 47,955 |
| j2 Global Inc. | 759,078 | 47,063 | |
| * | Qlik Technologies Inc. | 1,514,793 | 46,792 |
| * | Microsemi Corp. | 1,602,384 | 45,476 |
| * | Freescale Semiconductor Ltd. | 1,783,183 | 44,990 |
| * | ViaSat Inc. | 710,324 | 44,772 |
| Lexmark International Inc. Class A | 1,034,388 | 42,689 | |
| * | Synaptics Inc. | 617,136 | 42,484 |
| * | Medidata Solutions Inc. | 861,930 | 41,157 |
| * | Tech Data Corp. | 639,481 | 40,434 |
| Fair Isaac Corp. | 554,650 | 40,101 | |
| SYNNEX Corp. | 507,030 | 39,629 | |
| * | EchoStar Corp. Class A | 739,766 | 38,838 |
| * | ACI Worldwide Inc. | 1,899,466 | 38,312 |
| * | CommVault Systems Inc. | 739,413 | 38,220 |
| Plantronics Inc. | 720,809 | 38,217 | |
| * | Dealertrack Technologies Inc. | 838,782 | 37,166 |
| * | Allscripts Healthcare Solutions Inc. | 2,887,855 | 36,878 |
| Mentor Graphics Corp. | 1,680,622 | 36,839 | |
| * | Rovi Corp. | 1,576,299 | 35,609 |
| * | Spansion Inc. Class A | 1,037,040 | 35,488 |
| * | Ciena Corp. | 1,806,561 | 35,065 |
| * | Fairchild Semiconductor International Inc. Class A | 2,047,782 | 34,567 |
| * | CACI International Inc. Class A | 398,322 | 34,327 |
| Cypress Semiconductor Corp. | 2,399,797 | 34,269 | |
| Diebold Inc. | 983,317 | 34,062 | |
| Science Applications International Corp. | 687,528 | 34,053 | |
| * | Electronics For Imaging Inc. | 787,276 | 33,719 |
| Blackbaud Inc. | 771,395 | 33,371 | |
| InterDigital Inc. | 627,230 | 33,180 | |
| MKS Instruments Inc. | 899,027 | 32,904 | |
| * | EPAM Systems Inc. | 686,715 | 32,791 |
| * | CommScope Holding Co. Inc. | 1,413,737 | 32,276 |
| * | Finisar Corp. | 1,659,978 | 32,220 |
| * | Aruba Networks Inc. | 1,732,933 | 31,505 |
| Intersil Corp. Class A | 2,169,648 | 31,395 | |
| * | Entegris Inc. | 2,368,764 | 31,291 |
| * | Infinera Corp. | 2,124,856 | 31,278 |
| * | Silicon Laboratories Inc. | 656,264 | 31,251 |
| * | Semtech Corp. | 1,125,567 | 31,032 |
| * | IMS Health Holdings Inc. | 1,200,619 | 30,784 |
| * | Polycom Inc. | 2,280,241 | 30,783 |
| Monolithic Power Systems Inc. | 615,470 | 30,613 | |
| * | Demandware Inc. | 516,799 | 29,737 |
| * | Cornerstone OnDemand Inc. | 839,387 | 29,546 |
| Tessera Technologies Inc. | 795,514 | 28,448 | |
| *,^ | Advanced Micro Devices Inc. | 10,370,740 | 27,690 |
| * | PMC-Sierra Inc. | 2,930,930 | 26,847 |
| Advent Software Inc. | 838,904 | 25,704 | |
| * | Proofpoint Inc. | 532,627 | 25,689 |
| * | Envestnet Inc. | 516,433 | 25,378 |
| * | MicroStrategy Inc. Class A | 156,084 | 25,348 |
| * | OmniVision Technologies Inc. | 966,434 | 25,127 |
| * | Cirrus Logic Inc. | 1,054,555 | 24,856 |
| * | Unisys Corp. | 841,009 | 24,793 |
| Power Integrations Inc. | 478,045 | 24,734 | |
| Cogent Communications Holdings Inc. | 686,426 | 24,293 | |
| * | Synchronoss Technologies Inc. | 567,331 | 23,748 |
| * | Veeva Systems Inc. Class A | 885,376 | 23,383 |
| * | Progress Software Corp. | 862,432 | 23,303 |
| * | Syntel Inc. | 509,710 | 22,927 |
53
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Cray Inc. | 647,629 | 22,330 |
| * | Super Micro Computer Inc. | 626,540 | 21,854 |
| * | NETGEAR Inc. | 612,424 | 21,790 |
| * | iGATE Corp. | 545,197 | 21,524 |
| * | NetScout Systems Inc. | 584,729 | 21,366 |
| * | FleetMatics Group plc | 601,876 | 21,361 |
| * | Premier Inc. Class A | 617,292 | 20,698 |
| * | Rambus Inc. | 1,856,172 | 20,585 |
| * | QLogic Corp. | 1,466,539 | 19,534 |
| * | MedAssets Inc. | 987,873 | 19,520 |
| *,^ | InvenSense Inc. | 1,200,414 | 19,519 |
| * | Shutterstock Inc. | 280,305 | 19,369 |
| ADTRAN Inc. | 883,822 | 19,267 | |
| * | RealPage Inc. | 874,158 | 19,197 |
| * | LogMeIn Inc. | 386,990 | 19,094 |
| * | Dycom Industries Inc. | 540,149 | 18,954 |
| * | ScanSource Inc. | 470,786 | 18,907 |
| * | Kulicke & Soffa Industries Inc. | 1,295,724 | 18,736 |
| Monotype Imaging Holdings Inc. | 642,638 | 18,527 | |
| * | Ellie Mae Inc. | 459,364 | 18,522 |
| * | Virtusa Corp. | 443,927 | 18,498 |
| * | Cabot Microelectronics Corp. | 381,613 | 18,058 |
| * | Insight Enterprises Inc. | 693,922 | 17,966 |
| NIC Inc. | 987,180 | 17,759 | |
| * | Marketo Inc. | 521,870 | 17,076 |
| * | Infoblox Inc. | 836,071 | 16,897 |
| * | Diodes Inc. | 610,052 | 16,819 |
| * | Bottomline Technologies de Inc. | 657,607 | 16,624 |
| West Corp. | 497,625 | 16,422 | |
| * | Ruckus Wireless Inc. | 1,316,249 | 15,821 |
| * | Loral Space & Communications Inc. | 200,279 | 15,764 |
| * | Web.com Group Inc. | 823,661 | 15,641 |
| * | SPS Commerce Inc. | 270,988 | 15,346 |
| * | Sonus Networks Inc. | 3,772,313 | 14,976 |
| * | Advanced Energy Industries Inc. | 630,501 | 14,943 |
| *,^ | Endurance International Group Holdings Inc. | 775,552 | 14,293 |
| * | BroadSoft Inc. | 490,840 | 14,244 |
| *,^ | VASCO Data Security International Inc. | 497,865 | 14,045 |
| *,^ | Nimble Storage Inc. | 509,660 | 14,016 |
| *,^ | Gogo Inc. | 843,320 | 13,940 |
| * | Lattice Semiconductor Corp. | 1,993,235 | 13,733 |
| CSG Systems International Inc. | 543,527 | 13,626 | |
| *,^ | Zendesk Inc. | 558,849 | 13,619 |
| Brooks Automation Inc. | 1,068,058 | 13,618 | |
| * | Interactive Intelligence Group Inc. | 283,143 | 13,563 |
| ^ | Ubiquiti Networks Inc. | 453,420 | 13,439 |
| * | Qualys Inc. | 343,724 | 12,976 |
| * | Amkor Technology Inc. | 1,790,023 | 12,709 |
| * | Callidus Software Inc. | 768,263 | 12,546 |
| * | Ixia | 1,096,760 | 12,339 |
| * | Digital River Inc. | 496,473 | 12,278 |
| Quality Systems Inc. | 768,037 | 11,974 | |
| Pegasystems Inc. | 574,978 | 11,942 | |
| * | LivePerson Inc. | 815,070 | 11,492 |
| * | RigNet Inc. | 278,095 | 11,410 |
| * | Actua Corp. | 617,135 | 11,398 |
| * | PROS Holdings Inc. | 409,702 | 11,259 |
| * | Harmonic Inc. | 1,599,675 | 11,214 |
| Micrel Inc. | 761,728 | 11,053 | |
| Computer Programs & Systems Inc. | 173,246 | 10,525 | |
| * | RingCentral Inc. Class A | 688,811 | 10,277 |
| Inteliquent Inc. | 522,100 | 10,249 | |
| * | Perficient Inc. | 549,032 | 10,228 |
| * | Mitel Networks Corp. | 952,266 | 10,180 |
54
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Inphi Corp. | 543,041 | 10,035 |
| * | Intralinks Holdings Inc. | 840,058 | 9,997 |
| * | CalAmp Corp. | 532,091 | 9,737 |
| ^ | Ebix Inc. | 538,456 | 9,148 |
| * | Cvent Inc. | 326,936 | 9,102 |
| * | Blucora Inc. | 647,756 | 8,971 |
| * | Photronics Inc. | 1,063,213 | 8,835 |
| Integrated Silicon Solution Inc. | 512,015 | 8,484 | |
| *,^ | Textura Corp. | 296,438 | 8,440 |
| * | Applied Micro Circuits Corp. | 1,292,497 | 8,427 |
| * | Ultratech Inc. | 448,344 | 8,321 |
| Epiq Systems Inc. | 485,023 | 8,284 | |
| Forrester Research Inc. | 206,322 | 8,121 | |
| * | FormFactor Inc. | 942,582 | 8,106 |
| Comtech Telecommunications Corp. | 255,720 | 8,060 | |
| * | Exar Corp. | 787,835 | 8,036 |
| * | Tangoe Inc. | 611,218 | 7,964 |
| * | ShoreTel Inc. | 1,055,756 | 7,760 |
| * | Xcerra Corp. | 836,890 | 7,666 |
| * | Premiere Global Services Inc. | 716,797 | 7,612 |
| * | ChannelAdvisor Corp. | 347,291 | 7,495 |
| * | Mercury Systems Inc. | 534,665 | 7,443 |
| * | ePlus Inc. | 96,244 | 7,285 |
| * | Emulex Corp. | 1,276,706 | 7,239 |
| * | Silicon Image Inc. | 1,302,348 | 7,189 |
| PC Connection Inc. | 288,730 | 7,088 | |
| * | Calix Inc. | 688,294 | 6,897 |
| * | Internap Corp. | 859,500 | 6,842 |
| *,^ | Barracuda Networks Inc. | 187,779 | 6,730 |
| * | Nanometrics Inc. | 394,567 | 6,637 |
| * | Comverse Inc. | 353,186 | 6,633 |
| *,^ | Rocket Fuel Inc. | 410,397 | 6,616 |
| * | CEVA Inc. | 358,151 | 6,497 |
| * | Silicon Graphics International Corp. | 570,200 | 6,489 |
| * | SciQuest Inc. | 438,702 | 6,339 |
| * | Quantum Corp. | 3,586,234 | 6,312 |
| * | Gigamon Inc. | 350,385 | 6,212 |
| * | 2U Inc. | 313,754 | 6,168 |
| *,^ | Castlight Health Inc. Class B | 524,483 | 6,136 |
| * | PDF Solutions Inc. | 407,673 | 6,058 |
| *,^ | Violin Memory Inc. | 1,245,784 | 5,967 |
| *,^ | OPOWER Inc. | 399,259 | 5,681 |
| *,^ | Benefitfocus Inc. | 167,713 | 5,508 |
| * | Varonis Systems Inc. | 165,737 | 5,441 |
| * | Rudolph Technologies Inc. | 525,273 | 5,374 |
| IXYS Corp. | 422,962 | 5,329 | |
| * | Extreme Networks Inc. | 1,439,820 | 5,083 |
| *,^ | KEYW Holding Corp. | 472,609 | 4,906 |
| * | Vectrus Inc. | 176,698 | 4,842 |
| Cohu Inc. | 392,856 | 4,675 | |
| * | Actuate Corp. | 707,214 | 4,668 |
| * | Axcelis Technologies Inc. | 1,805,028 | 4,621 |
| * | Dot Hill Systems Corp. | 1,013,366 | 4,479 |
| *,^ | HubSpot Inc. | 130,692 | 4,393 |
| * | Pericom Semiconductor Corp. | 323,819 | 4,385 |
| * | Datalink Corp. | 328,080 | 4,232 |
| * | Intra-Cellular Therapies Inc. | 239,588 | 4,229 |
| * | Immersion Corp. | 441,994 | 4,186 |
| * | Sigma Designs Inc. | 563,627 | 4,171 |
| * | Ciber Inc. | 1,138,523 | 4,042 |
| * | Mattson Technology Inc. | 1,168,588 | 3,973 |
| *,^ | VirnetX Holding Corp. | 723,500 | 3,972 |
| * | Brightcove Inc. | 504,819 | 3,927 |
| * | Q2 Holdings Inc. | 205,155 | 3,865 |
55
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Entropic Communications Inc. | 1,526,509 | 3,862 |
| * | Ultra Clean Holdings Inc. | 413,409 | 3,836 |
| * | Jive Software Inc. | 635,429 | 3,832 |
| * | Vitesse Semiconductor Corp. | 1,006,194 | 3,803 |
| * | Merge Healthcare Inc. | 1,053,559 | 3,751 |
| * | E2open Inc. | 389,236 | 3,741 |
| * | Carbonite Inc. | 258,109 | 3,683 |
| * | Agilysys Inc. | 292,386 | 3,681 |
| * | Vocera Communications Inc. | 353,199 | 3,680 |
| * | United Online Inc. | 251,212 | 3,655 |
| * | DSP Group Inc. | 333,599 | 3,626 |
| * | Zix Corp. | 1,006,691 | 3,624 |
| * | Digi International Inc. | 380,442 | 3,534 |
| * | A10 Networks Inc. | 791,080 | 3,449 |
| * | MaxLinear Inc. | 464,500 | 3,442 |
| * | Boingo Wireless Inc. | 439,798 | 3,373 |
| Alliance Fiber Optic Products Inc. | 230,111 | 3,339 | |
| * | Seachange International Inc. | 520,058 | 3,318 |
| Hackett Group Inc. | 376,940 | 3,313 | |
| * | Kopin Corp. | 901,309 | 3,263 |
| American Software Inc. Class A | 349,984 | 3,188 | |
| *,^ | Silver Spring Networks Inc. | 366,264 | 3,088 |
| Digimarc Corp. | 113,394 | 3,079 | |
| * | Pendrell Corp. | 2,228,562 | 3,075 |
| * | KVH Industries Inc. | 238,592 | 3,018 |
| * | Rosetta Stone Inc. | 299,205 | 2,920 |
| * | VOXX International Corp. Class A | 331,912 | 2,908 |
| * | Rally Software Development Corp. | 254,341 | 2,892 |
| * | Mavenir Systems Inc. | 208,069 | 2,821 |
| *,^ | QuickLogic Corp. | 888,462 | 2,790 |
| * | Telenav Inc. | 409,661 | 2,732 |
| * | TeleCommunication Systems Inc. Class A | 875,672 | 2,732 |
| * | Alpha & Omega Semiconductor Ltd. | 307,662 | 2,723 |
| * | Marin Software Inc. | 321,513 | 2,720 |
| * | Procera Networks Inc. | 367,028 | 2,639 |
| * | Oclaro Inc. | 1,477,080 | 2,629 |
| * | Systemax Inc. | 193,430 | 2,611 |
| * | SunEdison Semiconductor Ltd. | 138,993 | 2,581 |
| * | Model N Inc. | 238,938 | 2,538 |
| PC-Tel Inc. | 288,676 | 2,500 | |
| Tessco Technologies Inc. | 85,591 | 2,482 | |
| * | Cascade Microtech Inc. | 167,008 | 2,440 |
| * | Limelight Networks Inc. | 869,610 | 2,409 |
| * | EMCORE Corp. | 449,964 | 2,385 |
| Preformed Line Products Co. | 43,037 | 2,351 | |
| * | Applied Optoelectronics Inc. | 201,306 | 2,259 |
| * | MobileIron Inc. | 223,978 | 2,231 |
| Computer Task Group Inc. | 228,312 | 2,176 | |
| * | Imation Corp. | 565,276 | 2,142 |
| * | Clearfield Inc. | 171,948 | 2,117 |
| * | Qumu Corp. | 152,829 | 2,089 |
| * | Support.com Inc. | 954,299 | 2,014 |
| * | Identiv Inc. | 142,939 | 1,985 |
| * | Guidance Software Inc. | 258,965 | 1,877 |
| * | Numerex Corp. Class A | 169,515 | 1,875 |
| * | Exa Corp. | 154,587 | 1,821 |
| * | Icad Inc. | 196,547 | 1,802 |
| *,^ | Millennial Media Inc. | 1,106,722 | 1,771 |
| * | Cinedigm Corp. Class A | 1,079,299 | 1,748 |
| *,^ | Mitek Systems Inc. | 514,640 | 1,703 |
| * | MRV Communications Inc. | 171,205 | 1,700 |
| *,^ | Neonode Inc. | 501,245 | 1,694 |
| QAD Inc. Class A | 72,664 | 1,644 | |
| Concurrent Computer Corp. | 231,686 | 1,643 | |
56
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Evolving Systems Inc. | 174,834 | 1,638 | |
| * | Covisint Corp. | 600,659 | 1,592 |
| * | Hutchinson Technology Inc. | 452,595 | 1,584 |
| * | Unwired Planet Inc. | 1,582,591 | 1,583 |
| *,^ | Pixelworks Inc. | 332,170 | 1,515 |
| *,^ | Park City Group Inc. | 167,033 | 1,507 |
| * | Amber Road Inc. | 147,172 | 1,504 |
| * | Aviat Networks Inc. | 980,603 | 1,471 |
| Aware Inc. | 322,917 | 1,466 | |
| * | GSI Technology Inc. | 293,541 | 1,465 |
| * | Novatel Wireless Inc. | 453,032 | 1,459 |
| * | AXT Inc. | 513,147 | 1,437 |
| * | WidePoint Corp. | 1,030,954 | 1,423 |
| * | Amtech Systems Inc. | 136,346 | 1,384 |
| *,^ | ParkerVision Inc. | 1,487,598 | 1,354 |
| * | ID Systems Inc. | 199,990 | 1,338 |
| * | Radisys Corp. | 537,754 | 1,258 |
| * | Borderfree Inc. | 139,939 | 1,254 |
| * | TransEnterix Inc. | 422,459 | 1,229 |
| * | MoSys Inc. | 651,363 | 1,218 |
| * | Rightside Group Ltd. | 179,340 | 1,205 |
| * | LRAD Corp. | 445,100 | 1,202 |
| * | Key Tronic Corp. | 149,950 | 1,191 |
| * | Edgewater Technology Inc. | 156,976 | 1,178 |
| * | eGain Corp. | 227,199 | 1,177 |
| * | Audience Inc. | 258,141 | 1,136 |
| * | Datawatch Corp. | 126,185 | 1,134 |
| * | iPass Inc. | 801,831 | 1,098 |
| * | Tremor Video Inc. | 379,879 | 1,090 |
| * | Meru Networks Inc. | 282,328 | 1,062 |
| * | BSQUARE Corp. | 230,553 | 1,049 |
| * | NCI Inc. Class A | 102,689 | 1,048 |
| * | PAR Technology Corp. | 170,216 | 1,047 |
| * | Westell Technologies Inc. Class A | 696,943 | 1,045 |
| * | CVD Equipment Corp. | 70,968 | 1,021 |
| TransAct Technologies Inc. | 187,361 | 1,006 | |
| * | NeoPhotonics Corp. | 297,490 | 1,006 |
| * | ANADIGICS Inc. | 1,326,249 | 995 |
| * | Innodata Inc. | 306,390 | 895 |
| * | Five9 Inc. | 194,124 | 870 |
| *,^ | MeetMe Inc. | 559,473 | 856 |
| * | Streamline Health Solutions Inc. | 188,037 | 814 |
| ClearOne Inc. | 82,813 | 800 | |
| Communications Systems Inc. | 74,029 | 791 | |
| *,^ | Cyan Inc. | 305,977 | 765 |
| *,^ | Vringo Inc. | 1,356,700 | 746 |
| * | USA Technologies Inc. | 457,637 | 737 |
| * | Zhone Technologies Inc. | 414,475 | 734 |
| * | Imprivata Inc. | 55,169 | 717 |
| *,^ | ARC Group Worldwide Inc. | 69,383 | 704 |
| * | Aerohive Networks Inc. | 137,063 | 658 |
| * | ChyronHego Corp. | 220,117 | 616 |
| * | FalconStor Software Inc. | 454,255 | 609 |
| *,^ | Superconductor Technologies Inc. | 212,929 | 590 |
| RCM Technologies Inc. | 78,870 | 552 | |
| * | Intermolecular Inc. | 280,009 | 540 |
| *,^ | Wave Systems Corp. Class A | 658,072 | 526 |
| Astro-Med Inc. | 31,867 | 526 | |
| * | RELM Wireless Corp. | 109,363 | 525 |
| *,^ | InterCloud Systems Inc. | 168,688 | 493 |
| * | Authentidate Holding Corp. | 489,909 | 461 |
| * | GigOptix Inc. | 383,477 | 460 |
| * | NetSol Technologies Inc. | 110,207 | 460 |
| * | GSE Systems Inc. | 274,729 | 437 |
57
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Hortonworks Inc. | 16,016 | 432 |
| * | Smith Micro Software Inc. | 444,196 | 431 |
| * | ARI Network Services Inc. | 113,614 | 431 |
| *,^ | Crossroads Systems Inc. | 153,994 | 385 |
| * | Xplore Technologies Corp. | 56,250 | 380 |
| * | Netlist Inc. | 515,378 | 376 |
| * | Synacor Inc. | 184,607 | 369 |
| * | Inuvo Inc. | 283,917 | 369 |
| * | Ikanos Communications Inc. | 1,072,149 | 333 |
| QAD Inc. Class B | 16,580 | 330 | |
| GlobalSCAPE Inc. | 140,597 | 312 | |
| * | inTEST Corp. | 72,425 | 309 |
| * | Lantronix Inc. | 138,633 | 262 |
| * | Data I/O Corp. | 76,343 | 260 |
| * | Selectica Inc. | 49,569 | 257 |
| Simulations Plus Inc. | 37,811 | 253 | |
| *,^ | Arista Networks Inc. | 3,991 | 242 |
| * | Acorn Energy Inc. | 308,078 | 238 |
| * | Aehr Test Systems | 89,112 | 227 |
| * | BroadVision Inc. | 38,059 | 225 |
| * | New Relic Inc. | 5,333 | 186 |
| SMTP Inc. | 29,445 | 179 | |
| * | Mastech Holdings Inc. | 15,394 | 163 |
| * | Resonant Inc. | 12,900 | 150 |
| * | Sysorex Global Holdings Corp. | 68,739 | 140 |
| * | Intellicheck Mobilisa Inc. | 46,745 | 138 |
| *,^ | Infosonics Corp. | 121,927 | 133 |
| * | Sonic Foundry Inc. | 17,228 | 132 |
| Optical Cable Corp. | 26,926 | 122 | |
| * | xG Technology Inc. | 234,549 | 120 |
| * | Cover-All Technologies Inc. | 90,520 | 115 |
| * | Interphase Corp. | 45,695 | 104 |
| * | ADDvantage Technologies Group Inc. | 29,219 | 71 |
| CSP Inc. | 9,302 | 69 | |
| * | Bridgeline Digital Inc. | 145,903 | 67 |
| * | Trio Tech International | 20,120 | 59 |
| * | Qualstar Corp. | 34,975 | 47 |
| * | Daegis Inc. | 62,544 | 44 |
| * | Upland Software Inc. | 4,400 | 42 |
| * | Glowpoint Inc. | 12,365 | 13 |
| 60,365,860 | |||
| Telecommunications (2.0%) | |||
| Verizon Communications Inc. | 69,950,457 | 3,272,282 | |
| AT&T Inc. | 87,417,219 | 2,936,344 | |
| CenturyLink Inc. | 9,643,372 | 381,685 | |
| * | SBA Communications Corp. Class A | 2,177,902 | 241,224 |
| * | Level 3 Communications Inc. | 4,553,895 | 224,871 |
| * | T-Mobile US Inc. | 4,755,883 | 128,124 |
| Frontier Communications Corp. | 16,854,265 | 112,418 | |
| Windstream Holdings Inc. | 10,151,952 | 83,652 | |
| * | Sprint Corp. | 13,354,997 | 55,423 |
| Telephone & Data Systems Inc. | 1,509,807 | 38,123 | |
| Consolidated Communications Holdings Inc. | 817,691 | 22,756 | |
| *,^ | Globalstar Inc. | 6,029,994 | 16,583 |
| * | 8x8 Inc. | 1,395,580 | 12,784 |
| * | Iridium Communications Inc. | 1,240,595 | 12,096 |
| Shenandoah Telecommunications Co. | 382,868 | 11,965 | |
| * | Vonage Holdings Corp. | 2,947,532 | 11,230 |
| Atlantic Tele-Network Inc. | 165,559 | 11,190 | |
| * | Cincinnati Bell Inc. | 3,464,992 | 11,053 |
| * | United States Cellular Corp. | 218,709 | 8,711 |
| * | inContact Inc. | 949,258 | 8,344 |
| EarthLink Holdings Corp. | 1,695,452 | 7,443 | |
| * | Intelsat SA | 388,749 | 6,749 |
58
| Vanguard® Total Stock Market Index Fund | |||
| Schedule of Investments | |||
| December 31, 2014 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | ORBCOMM Inc. | 963,362 | 6,300 |
| IDT Corp. Class B | 303,739 | 6,169 | |
| Spok Holdings Inc. | 343,128 | 5,957 | |
| * | FairPoint Communications Inc. | 390,136 | 5,544 |
| * | General Communication Inc. Class A | 389,967 | 5,362 |
| Lumos Networks Corp. | 317,818 | 5,346 | |
| * | GTT Communications Inc. | 385,548 | 5,101 |
| * | Hawaiian Telcom Holdco Inc. | 162,907 | 4,491 |
| * | Straight Path Communications Inc. Class B | 170,511 | 3,231 |
| *,^ | Towerstream Corp. | 1,007,316 | 1,864 |
| * | Alaska Communications Systems Group Inc. | 773,451 | 1,384 |
| NTELOS Holdings Corp. | 281,446 | 1,179 | |
| *,^ | Elephant Talk Communications Corp. | 1,048,093 | 872 |
| * | Alteva | 91,123 | 642 |
| * | Otelco Inc. Class A | 2,454 | 12 |
| 7,668,504 | |||
| Utilities (3.3%) | |||
| Duke Energy Corp. | 11,920,516 | 995,840 | |
| NextEra Energy Inc. | 7,355,253 | 781,790 | |
| Dominion Resources Inc. | 9,837,025 | 756,467 | |
| Southern Co. | 15,146,306 | 743,835 | |
| Exelon Corp. | 14,479,437 | 536,898 | |
| American Electric Power Co. Inc. | 8,223,283 | 499,318 | |
| Sempra Energy | 3,944,366 | 439,245 | |
| PG&E Corp. | 8,000,749 | 425,960 | |
| Spectra Energy Corp. | 11,296,001 | 410,045 | |
| PPL Corp. | 11,183,152 | 406,284 | |
| Edison International | 5,470,941 | 358,237 | |
| Public Service Enterprise Group Inc. | 8,528,734 | 353,175 | |
| Consolidated Edison Inc. | 4,920,715 | 324,816 | |
| Xcel Energy Inc. | 8,460,984 | 303,919 | |
| Northeast Utilities | 5,304,550 | 283,900 | |
| FirstEnergy Corp. | 7,079,019 | 276,011 | |
| Entergy Corp. | 3,027,743 | 264,867 | |
| DTE Energy Co. | 2,962,364 | 255,859 | |
| NiSource Inc. | 5,318,951 | 225,630 | |
| Wisconsin Energy Corp. | 3,766,011 | 198,619 | |
| Ameren Corp. | 4,057,380 | 187,167 | |
| ONEOK Inc. | 3,497,884 | 174,160 | |
| CenterPoint Energy Inc. | 7,225,997 | 169,305 | |
| American Water Works Co. Inc. | 3,007,456 | 160,297 | |
| CMS Energy Corp. | 4,555,174 | 158,292 | |
| NRG Energy Inc. | 5,685,498 | 153,224 | |
| AES Corp. | 10,896,050 | 150,039 | |
| * | Calpine Corp. | 6,547,920 | 144,905 |
| SCANA Corp. | 2,154,565 | 130,136 | |
| Pinnacle West Capital Corp. | 1,847,884 | 126,229 | |
| Alliant Energy Corp. | 1,848,145 | 122,754 | |
| Pepco Holdings Inc. | 4,261,399 | 114,759 | |
| AGL Resources Inc. | 2,015,270 | 109,852 | |
| UGI Corp. | 2,883,274 | 109,507 | |
| ITC Holdings Corp. | 2,610,013 | 105,523 | |
| Integrys Energy Group Inc. | 1,342,074 | 104,480 | |
| Atmos Energy Corp. | 1,679,950 | 93,640 | |
| National Fuel Gas Co. | 1,343,036 | 93,381 | |
| Westar Energy Inc. Class A | 2,159,062 | 89,040 | |
| TECO Energy Inc. | 3,923,273 | 80,388 | |
| Aqua America Inc. | 2,974,431 | 79,417 | |
| Questar Corp. | 2,932,592 | 74,136 | |
| Great Plains Energy Inc. | 2,536,406 | 72,059 | |
| Vectren Corp. | 1,456,800 | 67,348 | |
| * | Dynegy Inc. | 1,958,697 | 59,446 |
| Hawaiian Electric Industries Inc. | 1,754,148 | 58,729 | |
| IDACORP Inc. | 848,079 | 56,134 | |
59
| Vanguard® Total Stock Market Index Fund | |||||
| Schedule of Investments | |||||
| December 31, 2014 | |||||
| Market | |||||
| Value | |||||
| Shares | ($000) | ||||
| Cleco Corp. | 1,016,057 | 55,416 | |||
| Piedmont Natural Gas Co. Inc. | 1,297,626 | 51,139 | |||
| WGL Holdings Inc. | 890,649 | 48,647 | |||
| Portland General Electric Co. | 1,284,289 | 48,585 | |||
| Southwest Gas Corp. | 776,935 | 48,022 | |||
| Black Hills Corp. | 858,529 | 45,536 | |||
| NorthWestern Corp. | 767,975 | 43,452 | |||
| New Jersey Resources Corp. | 703,838 | 43,075 | |||
| UIL Holdings Corp. | 988,191 | 43,026 | |||
| ALLETE Inc. | 736,503 | 40,611 | |||
| PNM Resources Inc. | 1,320,018 | 39,112 | |||
| Avista Corp. | 1,034,994 | 36,587 | |||
| ONE Gas Inc. | 862,695 | 35,560 | |||
| Laclede Group Inc. | 666,813 | 35,474 | |||
| South Jersey Industries Inc. | 547,609 | 32,271 | |||
| El Paso Electric Co. | 760,292 | 30,457 | |||
| MGE Energy Inc. | 595,827 | 27,176 | |||
| Empire District Electric Co. | 872,484 | 25,948 | |||
| American States Water Co. | 656,104 | 24,709 | |||
| Northwest Natural Gas Co. | 480,843 | 23,994 | |||
| California Water Service Group | 787,182 | 19,373 | |||
| TerraForm Power Inc. Class A | 417,190 | 12,883 | |||
| Chesapeake Utilities Corp. | 237,948 | 11,817 | |||
| Unitil Corp. | 314,513 | 11,533 | |||
| SJW Corp. | 281,868 | 9,054 | |||
| Ormat Technologies Inc. | 307,753 | 8,365 | |||
| Connecticut Water Service Inc. | 168,549 | 6,117 | |||
| Atlantic Power Corp. | 2,208,448 | 5,985 | |||
| York Water Co. | 247,440 | 5,743 | |||
| Middlesex Water Co. | 236,947 | 5,464 | |||
| Delta Natural Gas Co. Inc. | 191,073 | 4,060 | |||
| * | Vivint Solar Inc. | 414,879 | 3,825 | ||
| *,^ | Cadiz Inc. | 250,866 | 2,810 | ||
| Genie Energy Ltd. Class B | 440,146 | 2,720 | |||
| Gas Natural Inc. | 226,532 | 2,496 | |||
| Artesian Resources Corp. Class A | 102,984 | 2,326 | |||
| ^ | Spark Energy Inc. Class A | 142,799 | 2,012 | ||
| * | Pure Cycle Corp. | 228,140 | 913 | ||
| * | US Geothermal Inc. | 1,364,416 | 628 | ||
| 12,781,983 | |||||
| Total Common Stocks (Cost $249,586,385) | 380,635,382 | ||||
| Coupon | |||||
| Temporary Cash Investments (0.8%)1 | |||||
| Money Market Fund (0.8%) | |||||
| 3,4 | Vanguard Market Liquidity Fund | 0.126% | 3,072,893,415 | 3,072,894 | |
| Face | |||||
| Maturity | Amount | ||||
| Date | ($000) | ||||
| U.S. Government and Agency Obligations (0.0%) | |||||
| 5,6 | Fannie Mae Discount Notes | 0.130% | 4/27/15 | 30,000 | 29,987 |
| 7 | Federal Home Loan Bank Discount Notes | 0.055% | 1/16/15 | 5,000 | 5,000 |
| 7 | Federal Home Loan Bank Discount Notes | 0.068% | 1/23/15 | 10,000 | 10,000 |
| 7 | Federal Home Loan Bank Discount Notes | 0.060% | 2/3/15 | 4,500 | 4,499 |
| 6,7 | Federal Home Loan Bank Discount Notes | 0.100% | 2/4/15 | 23,500 | 23,498 |
| 6,7 | Federal Home Loan Bank Discount Notes | 0.087% | 2/6/15 | 20,000 | 19,998 |
| 6,7 | Federal Home Loan Bank Discount Notes | 0.092% | 2/11/15 | 5,000 | 5,000 |
60
| Vanguard® Total Stock Market Index Fund | ||||
| Schedule of Investments | ||||
| December 31, 2014 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| 6,7 Federal Home Loan Bank Discount Notes | 0.080%-0.110%. | 2/20/15 | 35,000 | 34,995 |
| 132,977 | ||||
| Total Temporary Cash Investments (Cost $3,205,870) | 3,205,871 | |||
| Total Investments (100.2%) (Cost $252,792,255) | 383,841,253 | |||
| Other Assets and Liabilities—Net (-0.2%)3 | (838,363) | |||
| Net Assets (100%) | 383,002,890 | |||
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $803,366,000.
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 “Other” represents securities that are not classified by the fund’s benchmark index.
3 Includes $875,010,000 of collateral received for securities on loan.
4 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day
yield.
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 Securities with a value of $103,980,000 have been segregated as initial margin for open futures contracts.
7 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.
61
© 2015 The Vanguard Group, Inc. All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA850 022015
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Vanguard Index Funds and the Shareholders of Vanguard Small-Cap Index Fund, Vanguard Small-Cap Growth Index Fund and Vanguard Small-Cap Value Index Fund:
In our opinion, the accompanying statements of net assets – investments summary and the related statements of operations and of changes in net assets and the financial highlights (included in Item 1 of this Form N-CSR) and the schedules of investments (included in Item 6 of this Form N-CSR) present fairly, in all material respects, the financial position of Vanguard Small-Cap Index Fund, Vanguard Small-Cap Growth Index Fund and Vanguard Small-Cap Value Index Fund (the "Funds") at December 31, 2014, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements, financial highlights, and schedules of investments (hereafter referred to as "financial statements") are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2014 by correspondence with the custodians and broker, by agreement to the underlying ownership records of the transfer agent and the application of alternative auditing procedures where securities purchased had not been received, provide a reasonable basis for our opinion.
February 18, 2015
PricewaterhouseCoopers LLP, Two Commerce Square, 2001 Market Street, Suite 1700, Philadelphia, PA 19103-7042 T: (267) 330-3000, F: (267) 330-3300, www.pwc.com/us
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Vanguard Index Funds and the Shareholders of Vanguard Extended Market Index Fund:
In our opinion, the accompanying statement of net assets – investments summary and the related statements of operations and of changes in net assets and the financial highlights (included in Item 1 of this Form N-CSR) and the schedule of investments (included in Item 6 of this Form N-CSR) present fairly, in all material respects, the financial position of Vanguard Extended Market Index Fund (the "Fund") at December 31, 2014, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements, financial highlights, and schedule of investments (hereafter referred to as "financial statements") are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2014 by correspondence with the custodian and broker, by agreement to the underlying ownership records of the transfer agent and the application of alternative auditing procedures where securities purchased had not been received, provide a reasonable basis for our opinion.
February 10, 2015
PricewaterhouseCoopers LLP, Two Commerce Square, 2001 Market Street, Suite 1700, Philadelphia, PA 19103-7042 T: (267) 330-3000, F: (267) 330-3300, www.pwc.com/us
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Vanguard Index Funds and the Shareholders of Vanguard Total Stock Market Index Fund:
In our opinion, the accompanying statement of net assets – investments summary and the related statements of operations and of changes in net assets and the financial highlights (included in Item 1 of this Form N-CSR) and the schedule of investments (included in Item 6 of this Form N-CSR) present fairly, in all material respects, the financial position of Vanguard Total Stock Market Index Fund (the "Fund") at December 31, 2014, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements, financial highlights, and schedule of investments (hereafter referred to as "financial statements") are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2014 by correspondence with the custodian and brokers, by agreement to the underlying ownership records of the transfer agent and the application of alternative auditing procedures where securities purchased had not been received, provide a reasonable basis for our opinion.
February 10, 2015
PricewaterhouseCoopers LLP, Two Commerce Square, 2001 Market Street, Suite 1700, Philadelphia, PA 19103-7042 T: (267) 330-3000, F: (267) 330-3300, www.pwc.com/us
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) Code of Ethics.
(b) Certifications.
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of
1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly
authorized.
| VANGUARD INDEX FUNDS | |
| By: | /s/ F. WILLIAM MCNABB III* |
| F. WILLIAM MCNABB III | |
| CHIEF EXECUTIVE OFFICER | |
| Date: February 18, 2015 | |
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: February 18, 2015 | |
| VANGUARD INDEX FUNDS | |
| By: | /s/ THOMAS J. HIGGINS* |
| THOMAS J. HIGGINS | |
| CHIEF FINANCIAL OFFICER | |
| Date: February 18, 2015 | |
* 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.