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 31, 2016 – June 30, 2016
Item 1: Reports to Shareholders
![](https://capedge.com/proxy/N-CSRS/0000932471-16-014112/indexfund_500x1x1.jpg)
Semiannual Report | June 30, 2016
Vanguard 500 Index Fund
Vanguard’s Principles for Investing Success
We want to give you the best chance of investment success. These principles, grounded in Vanguard’s research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds. Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
Fund Profile. | 7 |
Performance Summary. | 9 |
Financial Statements. | 10 |
About Your Fund’s Expenses. | 29 |
Trustees Approve Advisory Arrangement. | 31 |
Glossary. | 32 |
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: Pictured is a sailing block on the Brilliant, a 1932 schooner docked in Mystic, Connecticut. A type of pulley, the sailing block helps coordinate the setting of the sails. At Vanguard, the intricate coordination of technology and people allows us to help millions of clients around the world reach their financial goals.
Your Fund’s Total Returns | |
Six Months Ended June 30, 2016 | |
Total | |
Returns | |
Vanguard 500 Index Fund | |
Investor Shares | 3.76% |
ETF Shares | |
Market Price | 3.84 |
Net Asset Value | 3.81 |
Admiral™ Shares | 3.82 |
Institutional Select Shares (Inception: 6/24/2016) | 3.05 |
S&P 500 Index | 3.84 |
Large-Cap Core Funds Average | 2.21 |
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.
Your Fund’s Performance at a Glance | ||||
December 31, 2015, Through June 30, 2016 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard 500 Index Fund | ||||
Investor Shares | $188.48 | $193.67 | $1.870 | $0.000 |
ETF Shares | 187.05 | 192.19 | 1.959 | 0.000 |
Admiral Shares | 188.48 | 193.66 | 1.974 | 0.000 |
Institutional Select Shares (Inception: 6/24/2016) | 99.57 | 102.61 | 0.000 | 0.000 |
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![](https://capedge.com/proxy/N-CSRS/0000932471-16-014112/indexfund_500x4x1.jpg)
Chairman’s Letter
Dear Shareholder,
Despite significant volatility during the period, the broad U.S. stock market managed to finish the first half of 2016 with solid gains. With the exception of its newest share class, Vanguard 500 Index Fund returned almost 4% for the six months ended June 30, 2016. The fund tightly tracked the performance of its target index, the Standard & Poor’s 500 Index, and exceeded the average return of its large-capitalization core fund peers by more than 1.5 percentage points.
Eight of the ten industry sectors represented in the index advanced, with consumer staples and energy stocks adding most to returns. Financial stocks detracted most from performance.
On a separate note, your fund—the world’s first index mutual fund—marks its 40th anniversary this summer. Known then as First Index Investment Trust, the fund was met with a rather frosty reception when it launched on August 31, 1976, raising a disappointing $11.4 million in assets at its public offering. Critics at the time referred to it as “Bogle’s Folly,” referring to John C. Bogle, Vanguard’s founder, who was then chairman.
Fast forward 40 years. Today the 500 Index Fund has more than $230 billion in assets under management. Investors at Vanguard and elsewhere have entrusted more than one-third of all equity fund
2
assets to indexing. This 40-year milestone represents more than just the decades since the launch date of a mutual fund. It represents a revolution in investing that has helped investors capture their fair share of stock market returns, through low costs and broad diversification.
In keeping with the tradition of low-cost investing, the 500 Index Fund’s Institutional Select Shares were launched on June 24. (The shares returned about 3% for the few days they were available before the end of the period.) With an expense ratio of 0.01%, the new share class is part of our ongoing efforts to reduce the cost of investing.
Stocks waxed and waned through periods of turbulence
Toward the end of the half year, global stock markets dropped sharply and then rose after the momentous decision by United Kingdom voters to leave the European Union. The markets already were jittery before the June 23 “Brexit” vote. Volatility spiked afterward, however, as investors digested the significant global economic implications and the likelihood of extended uncertainty while the separation is carried out.
The broad U.S. stock market returned roughly 4% for the six months. U.S. stocks plunged on news of the referendum’s outcome but quickly reversed. Worries
Market Barometer | |||
Total Returns | |||
Periods Ended June 30, 2016 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 3.74% | 2.93% | 11.88% |
Russell 2000 Index (Small-caps) | 2.22 | -6.73 | 8.35 |
Russell 3000 Index (Broad U.S. market) | 3.62 | 2.14 | 11.60 |
FTSE All-World ex US Index (International) | -0.92 | -9.75 | 0.49 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | 5.31% | 6.00% | 3.76% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 4.33 | 7.65 | 5.33 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.11 | 0.14 | 0.05 |
CPI | |||
Consumer Price Index | 1.91% | 1.01% | 1.32% |
3
about Brexit’s effect on trade and global economic growth seemed to diminish as expectations increased that major central banks would be responsive to any fallout.
International stocks had a rougher time, returning about –1%. European stocks in particular suffered as the lead-up to the Brexit referendum and subsequent uncertainty hit closer to home. Developed Pacific markets also retreated. Emerging-market stocks were a bright spot, returning nearly 8%.
Bonds rolled to strong returns as investors weighed options
The broad U.S. bond market returned 5.31% as investors sought safe-haven assets amid questionable global economic growth, low inflation, and stock market
volatility. Exceptionally low or negative yields abroad attracted foreign investors to U.S. Treasury debt. The yield of the 10-year Treasury note closed at 1.47% at the end of June, down from 2.30% at the end of December. (Bond prices and yields move in opposite directions.)
The Federal Reserve has held its target for short-term interest rates steady since raising it by a quarter of a percentage point in December. During the period, the 0.25%–0.5% rate remained historically low and continued to curb returns for money market funds and savings accounts.
International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned 11.94%. Counter to recent trends, a number of foreign currencies
Expense Ratios | |||||
Your Fund Compared With Its Peer Group | |||||
Investor | ETF | Admiral | Institutional | Peer Group | |
Shares | Shares | Shares | Select Shares | Average | |
500 Index Fund | 0.16% | 0.05% | 0.05% | 0.01% | 1.11% |
The fund expense ratios shown are from the prospectus dated April 27, 2016, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2016, the fund’s annualized expense ratios were 0.15% for Investor Shares, 0.05% for ETF Shares, 0.05% for Admiral Shares, and 0.01% for Institutional Select Shares (since inception). The peer-group expense ratio is derived from data provided by Lipper, a Thomson Reuters Company, and captures information through year-end 2015.
Peer group: Large-Cap Core Funds.
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strengthened against the dollar, but returns were solid even without this currency benefit.
Consumer staples and energy stocks helped the fund’s performance most
Vanguard 500 Index Fund invests in 500 of the largest U.S. companies, which span many different industries and account for about three-fourths of the U.S. stock market’s value.
As I mentioned, eight of the index’s ten market sectors closed out the most recent six months with gains. Four of them—consumer staples, energy, telecommunication services, and utilities—posted double-digit returns.
Consumer staples and energy contributed most to the fund’s performance, each adding more than 1 percentage point to returns. Within consumer staples (+10%), leaders included tobacco, food, and household product companies. As oil and commodity prices have bounced back a bit over the past few months, so has the energy sector (+16%), through integrated oil and gas companies and exploration and production firms.
Two of the fund’s most lightly held sectors, telecommunications (+25%) and utilities (+23%), also provided a significant boost. Firms in both industries deliver stable and steady dividend yields, which tend to be attractive to investors seeking income in a climate where bond yields are historically low and stock volatility is high.
Industrials, which returned more than 6%, also contributed notably to returns. Gains were evident across most of the sector, with conglomerates, machinery, and aerospace and defense firms making solid contributions.
The financial sector (–3%) detracted the most from the index’s return. Lower long-term interest rates have hurt banks, asset managers, consumer finance companies, and investment firms. The information technology sector was down slightly for the period, as stocks of some internet and technology hardware firms experienced declines.
A dose of discipline is crucial when markets become volatile
The heightened volatility in capital markets that surrounded the Brexit vote reminds us that nobody can control the direction of the markets or reliably predict where they’ll go in the short term. However, investors can control how they react to unstable and turbulent markets.
During periods of market adversity, it’s more important than ever to keep sight of one of Vanguard’s key principles: Maintain perspective and long-term discipline. Whether you’re investing for yourself or on behalf of clients, your success is affected greatly by how you respond—or don’t respond—during turbulent markets. (You can read
Vanguard’s Principles for Investing Success at vanguard.com/research.)
5
As I’ve written in the past, the best course for long-term investors is generally to ignore daily market moves and not make decisions based on emotion. This is also a good time to evaluate your portfolio and make sure your asset allocation is aligned with your time horizon, goals, and risk tolerance.
The markets are unpredictable and often confounding. Keeping your long-term plans clearly in focus can help you weather these periodic storms.
As always, thank you for investing with Vanguard.
Sincerely,
![](https://capedge.com/proxy/N-CSRS/0000932471-16-014112/indexfund_500x8x1.jpg)
F. William McNabb III
Chairman and Chief Executive Officer
July 18, 2016
6
500 Index Fund | ||||
Fund Profile | ||||
As of June 30, 2016 | ||||
Share-Class Characteristics | ||||
Investor | Admiral | Institutional | ||
Shares | ETF Shares | Shares | Select Shares | |
Ticker Symbol | VFINX | VOO | VFIAX | VFFSX |
Expense Ratio1 | 0.16% | 0.05% | 0.05% | 0.01% |
30-Day SEC Yield | 2.03% | 2.11% | 2.11% | — |
Portfolio Characteristics | |||
DJ | |||
U.S. | |||
Total | |||
Market | |||
S&P 500 | FA | ||
Fund | Index | Index | |
Number of Stocks | 507 | 505 | 3,863 |
Median Market Cap | $77.0B | $78.7B | $53.0B |
Price/Earnings Ratio | 20.7x | 20.7x | 22.0x |
Price/Book Ratio | 2.8x | 2.8x | 2.7x |
Return on Equity | 17.6% | 17.3% | 16.5% |
Earnings Growth | |||
Rate | 6.9% | 7.0% | 7.3% |
Dividend Yield | 2.2% | 2.2% | 2.1% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 5% | — | — |
Short-Term | |||
Reserves | 0.1% | — | — |
| |||
Sector Diversification (% of equity exposure) | DJ | ||
U.S. Total | |||
S&P 500 | Market | ||
Fund | Index | FA Index | |
Consumer Discretionary | 12.3% | 12.3% | 12.9% |
Consumer Staples | 10.5 | 10.6 | 9.3 |
Energy | 7.4 | 7.4 | 6.7 |
Financials | 15.7 | 15.7 | 17.5 |
Health Care | 14.7 | 14.7 | 14.2 |
Industrials | 10.2 | 10.2 | 10.6 |
Information Technology | 19.7 | 19.8 | 19.2 |
Materials | 2.9 | 2.8 | 3.3 |
Telecommunication | |||
Services | 2.9 | 2.9 | 2.6 |
Utilities | 3.7 | 3.6 | 3.7 |
Volatility Measures | ||
DJ | ||
U.S. Total | ||
S&P 500 | 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. | Technology | |
Hardware, Storage & | ||
Peripherals | 2.9% | |
Alphabet Inc. | Internet Software & | |
Services | 2.3 | |
Microsoft Corp. | Systems Software | 2.2 |
Exxon Mobil Corp. | Integrated Oil & Gas | 2.1 |
Johnson & Johnson | Pharmaceuticals | 1.8 |
General Electric Co. | Industrial | |
Conglomerates | 1.6 | |
Amazon.com Inc. | Internet Retail | 1.5 |
Berkshire Hathaway Inc. | Multi-Sector Holdings | 1.5 |
AT&T Inc. | Integrated | |
Telecommunication | ||
Services | 1.5 | |
Facebook Inc. | Internet Software & | |
Services | 1.4 | |
Top Ten | 18.8% | |
The holdings listed exclude any temporary cash investments and equity index products. |
1 The expense ratios shown are from the prospectus dated April 27, 2016, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2016, the fund’s annualized expense ratios were 0.15% for Investor Shares, 0.05% for ETF Shares, 0.05% for Admiral Shares, and 0.01% for Institutional Select Shares (since inception).
Note: The Institutional Select Shares’ 30-day SEC yield is not reported until 30 days after the share class inception.
7
500 Index Fund
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-16-014112/indexfund_500x10x1.jpg)
8
500 Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): December 31, 2005, Through June 30, 2016
![](https://capedge.com/proxy/N-CSRS/0000932471-16-014112/indexfund_500x11x1.jpg)
Average Annual Total Returns: Periods Ended June 30, 2016 | ||||
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 8/31/1976 | 3.84% | 11.93% | 7.30% |
ETF Shares | 9/7/2010 | |||
Market Price | 3.93 | 12.06 | 14.271 | |
Net Asset Value | 3.94 | 12.06 | 14.271 | |
Admiral Shares | 11/13/2000 | 3.95 | 12.06 | 7.42 |
Institutional Select Shares | 6/24/2016 | — | — | 3.051 |
1 Return since inception. |
9
500 Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2016
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | |||
Value• | |||
Shares | ($000) | ||
Common Stocks (99.7%)1 | |||
Consumer Discretionary (12.2%) | |||
* | Amazon.com Inc. | 5,075,360 | 3,632,029 |
Home Depot Inc. | 16,319,784 | 2,083,873 | |
Comcast Corp. Class A | 31,717,892 | 2,067,689 | |
Walt Disney Co. | 19,581,802 | 1,915,492 | |
McDonald’s Corp. | 11,513,560 | 1,385,542 | |
Starbucks Corp. | 19,213,882 | 1,097,497 | |
NIKE Inc. Class B | 17,464,363 | 964,033 | |
Lowe’s Cos. Inc. | 11,622,700 | 920,169 | |
* | Priceline Group Inc. | 651,119 | 812,864 |
Time Warner Inc. | 10,318,631 | 758,832 | |
TJX Cos. Inc. | 8,672,136 | 669,749 | |
Ford Motor Co. | 51,186,346 | 643,412 | |
Target Corp. | 7,730,670 | 539,755 | |
Twenty-First Century | |||
Fox Inc. Class A | 19,237,183 | 520,366 | |
General Motors Co. | 18,383,140 | 520,243 | |
* | Netflix Inc. | 5,619,097 | 514,035 |
Yum! Brands Inc. | 5,345,809 | 443,275 | |
Johnson Controls Inc. | 8,510,256 | 376,664 | |
Dollar General Corp. | 3,724,938 | 350,144 | |
* | O’Reilly Automotive Inc. | 1,264,672 | 342,853 |
* | AutoZone Inc. | 391,563 | 310,838 |
Ross Stores Inc. | 5,269,164 | 298,709 | |
CBS Corp. Class B | 5,446,422 | 296,503 | |
* | Dollar Tree Inc. | 3,089,148 | 291,121 |
Newell Brands Inc. | 5,988,977 | 290,885 | |
VF Corp. | 4,375,144 | 269,028 | |
Carnival Corp. | 5,750,385 | 254,167 | |
Omnicom Group Inc. | 3,118,241 | 254,106 | |
Delphi Automotive plc | 3,580,576 | 224,144 | |
L Brands Inc. | 3,318,616 | 222,779 | |
* | Ulta Salon Cosmetics | ||
& Fragrance Inc. | 819,276 | 199,608 | |
Genuine Parts Co. | 1,963,062 | 198,760 | |
Viacom Inc. Class B | 4,547,436 | 188,582 | |
^ | Marriott International Inc. | ||
Class A | 2,504,112 | 166,423 |
Market | |||
Value• | |||
Shares | ($000) | ||
Whirlpool Corp. | 997,699 | 166,257 | |
Expedia Inc. | 1,539,501 | 163,649 | |
Starwood Hotels & | |||
Resorts Worldwide | |||
Inc. | 2,208,753 | 163,337 | |
Tractor Supply Co. | 1,748,433 | 159,422 | |
* | Mohawk Industries Inc. | 836,875 | 158,805 |
Advance Auto Parts Inc. | 966,078 | 156,147 | |
* | Chipotle Mexican | ||
Grill Inc. Class A | 383,519 | 154,466 | |
Coach Inc. | 3,652,979 | 148,822 | |
Royal Caribbean Cruises | |||
Ltd. | 2,204,980 | 148,064 | |
Mattel Inc. | 4,473,466 | 139,975 | |
DR Horton Inc. | 4,337,969 | 136,559 | |
Macy’s Inc. | 4,052,452 | 136,203 | |
* | LKQ Corp. | 4,012,089 | 127,183 |
Hanesbrands Inc. | 4,960,939 | 124,668 | |
*,^ | CarMax Inc. | 2,535,683 | 124,325 |
Hasbro Inc. | 1,468,361 | 123,328 | |
Interpublic Group of | |||
Cos. Inc. | 5,264,287 | 121,605 | |
* | Michael Kors Holdings | ||
Ltd. | 2,308,616 | 114,230 | |
Best Buy Co. Inc. | 3,688,492 | 112,868 | |
Lennar Corp. Class A | 2,399,345 | 110,610 | |
Harley-Davidson Inc. | 2,369,089 | 107,320 | |
Wyndham Worldwide | |||
Corp. | 1,463,997 | 104,281 | |
PVH Corp. | 1,060,099 | 99,893 | |
Foot Locker Inc. | 1,780,359 | 97,671 | |
*,^ | Under Armour Inc. | ||
Class A | 2,410,939 | 96,751 | |
Wynn Resorts Ltd. | 1,065,400 | 96,568 | |
* | TripAdvisor Inc. | 1,495,350 | 96,151 |
Darden Restaurants Inc. | 1,492,072 | 94,508 | |
Kohl’s Corp. | 2,403,370 | 91,136 | |
Leggett & Platt Inc. | 1,757,197 | 89,810 | |
Goodyear Tire | |||
& Rubber Co. | 3,476,730 | 89,213 |
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500 Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
Bed Bath & Beyond Inc. | 2,019,529 | 87,284 | |
* | Under Armour Inc. | 2,392,203 | 87,076 |
Tiffany & Co. | 1,434,202 | 86,970 | |
Signet Jewelers Ltd. | 1,020,468 | 84,097 | |
BorgWarner Inc. | 2,845,100 | 83,987 | |
PulteGroup Inc. | 4,119,403 | 80,287 | |
Scripps Networks | |||
Interactive Inc. Class A | 1,243,127 | 77,410 | |
* | Discovery | ||
Communications Inc. | 3,123,459 | 74,495 | |
Staples Inc. | 8,483,562 | 73,128 | |
News Corp. Class A | 6,410,835 | 72,763 | |
H&R Block Inc. | 2,935,802 | 67,524 | |
Ralph Lauren Corp. | |||
Class A | 745,859 | 66,844 | |
Harman International | |||
Industries Inc. | 923,048 | 66,293 | |
TEGNA Inc. | 2,846,422 | 65,952 | |
Garmin Ltd. | 1,537,532 | 65,222 | |
^ | Nordstrom Inc. | 1,676,042 | 63,773 |
Gap Inc. | 2,960,055 | 62,812 | |
* | Discovery | ||
Communications Inc. | |||
Class A | 1,964,450 | 49,563 | |
* | AutoNation Inc. | 930,695 | 43,724 |
* | Urban Outfitters Inc. | 1,143,176 | 31,437 |
Twenty-First Century | |||
Fox Inc. | 803,114 | 21,885 | |
29,290,520 | |||
Consumer Staples (10.5%) | |||
Procter & Gamble Co. | 34,918,872 | 2,956,581 | |
Coca-Cola Co. | 51,078,157 | 2,315,373 | |
Philip Morris | |||
International Inc. | 20,350,653 | 2,070,068 | |
PepsiCo Inc. | 18,949,023 | 2,007,459 | |
Altria Group Inc. | 25,658,515 | 1,769,411 | |
Wal-Mart Stores Inc. | 20,029,140 | 1,462,528 | |
CVS Health Corp. | 14,086,371 | 1,348,629 | |
Walgreens Boots | |||
Alliance Inc. | 11,335,323 | 943,892 | |
Mondelez International | |||
Inc. Class A | 20,358,096 | 926,497 | |
Costco Wholesale Corp. | 5,745,982 | 902,349 | |
Colgate-Palmolive Co. | 11,713,687 | 857,442 | |
Kraft Heinz Co. | 7,815,807 | 691,543 | |
Kimberly-Clark Corp. | 4,724,261 | 649,491 | |
Reynolds American Inc. | 10,860,375 | 585,700 | |
General Mills Inc. | 7,798,065 | 556,158 | |
Kroger Co. | 12,513,446 | 460,370 | |
Constellation Brands Inc. | |||
Class A | 2,315,546 | 382,991 | |
Sysco Corp. | 6,879,064 | 349,044 | |
Archer-Daniels-Midland | |||
Co. | 7,713,169 | 330,818 | |
*,^ | Monster Beverage Corp. | 1,846,190 | 296,701 |
Market | ||
Value• | ||
Shares | ($000) | |
ConAgra Foods Inc. | 5,723,322 | 273,632 |
Kellogg Co. | 3,305,502 | 269,894 |
Estee Lauder Cos. Inc. | ||
Class A | 2,919,195 | 265,705 |
Tyson Foods Inc. | ||
Class A | 3,941,634 | 263,262 |
Molson Coors Brewing | ||
Co. Class B | 2,415,108 | 244,240 |
JM Smucker Co. | 1,569,832 | 239,258 |
Dr Pepper Snapple | ||
Group Inc. | 2,437,232 | 235,510 |
Clorox Co. | 1,696,533 | 234,783 |
Mead Johnson Nutrition | ||
Co. | 2,448,542 | 222,205 |
Hershey Co. | 1,843,794 | 209,252 |
Church & Dwight Co. Inc. | 1,685,199 | 173,390 |
McCormick & Co. Inc. | 1,510,608 | 161,137 |
Campbell Soup Co. | 2,346,865 | 156,137 |
Whole Foods Market Inc. | 4,218,412 | 135,074 |
Brown-Forman Corp. | ||
Class B | 1,314,878 | 131,172 |
Hormel Foods Corp. | 3,551,327 | 129,979 |
25,207,675 | ||
Energy (7.4%) | ||
Exxon Mobil Corp. | 54,394,550 | 5,098,945 |
Chevron Corp. | 24,724,325 | 2,591,851 |
Schlumberger Ltd. | 18,224,145 | 1,441,165 |
Occidental Petroleum | ||
Corp. | 10,018,305 | 756,983 |
ConocoPhillips | 16,249,710 | 708,487 |
EOG Resources Inc. | 7,218,857 | 602,197 |
Halliburton Co. | 11,273,202 | 510,563 |
Phillips 66 | 6,132,239 | 486,532 |
Kinder Morgan Inc. | 24,008,677 | 449,442 |
Anadarko Petroleum | ||
Corp. | 6,699,971 | 356,774 |
Spectra Energy Corp. | 8,972,120 | 328,649 |
Pioneer Natural | ||
Resources Co. | 2,147,047 | 324,655 |
Valero Energy Corp. | 6,167,034 | 314,519 |
Apache Corp. | 4,964,232 | 276,359 |
Marathon Petroleum | ||
Corp. | 6,949,117 | 263,789 |
Baker Hughes Inc. | 5,743,269 | 259,194 |
Devon Energy Corp. | 6,872,504 | 249,128 |
Hess Corp. | 3,452,110 | 207,472 |
* Concho Resources Inc. | 1,709,834 | 203,932 |
Noble Energy Inc. | 5,622,189 | 201,668 |
Williams Cos. Inc. | 8,960,526 | 193,816 |
EQT Corp. | 2,266,486 | 175,494 |
Marathon Oil Corp. | 11,132,139 | 167,093 |
National Oilwell Varco | ||
Inc. | 4,951,778 | 166,627 |
Cabot Oil & Gas Corp. | 6,107,142 | 157,198 |
Cimarex Energy Co. | 1,242,842 | 148,296 |
11
500 Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
Columbia Pipeline Group | |||
Inc. | 5,253,943 | 133,923 | |
ONEOK Inc. | 2,761,107 | 131,015 | |
Tesoro Corp. | 1,569,704 | 117,602 | |
* | Newfield Exploration Co. | 2,577,677 | 113,882 |
Range Resources Corp. | 2,220,732 | 95,802 | |
^ | Helmerich & Payne Inc. | 1,413,504 | 94,889 |
* | FMC Technologies Inc. | 2,956,672 | 78,854 |
* | Southwestern Energy | ||
Co. | 6,206,142 | 78,073 | |
Murphy Oil Corp. | 2,126,399 | 67,513 | |
^ | Transocean Ltd. | 4,480,818 | 53,277 |
* | Chesapeake Energy | ||
Corp. | 7,650,157 | 32,743 | |
^ | Diamond Offshore | ||
Drilling Inc. | 842,163 | 20,490 | |
17,658,891 | |||
Financials (15.7%) | |||
* | Berkshire Hathaway Inc. | ||
Class B | 23,018,318 | 3,332,822 | |
JPMorgan Chase & Co. | 47,969,112 | 2,980,801 | |
Wells Fargo & Co. | 60,608,061 | 2,868,580 | |
Bank of America Corp. | 134,716,812 | 1,787,692 | |
Citigroup Inc. | 38,492,376 | 1,631,692 | |
Simon Property Group | |||
Inc. | 4,058,467 | 880,282 | |
US Bancorp | 21,286,339 | 858,478 | |
Chubb Ltd. | 6,092,697 | 796,376 | |
American International | |||
Group Inc. | 14,683,245 | 776,597 | |
Goldman Sachs Group | |||
Inc. | 5,069,069 | 753,162 | |
American Express Co. | 10,604,498 | 644,329 | |
American Tower | |||
Corporation | 5,569,480 | 632,749 | |
MetLife Inc. | 14,413,382 | 574,085 | |
BlackRock Inc. | 1,650,255 | 565,262 | |
Bank of New York | |||
Mellon Corp. | 14,130,490 | 548,970 | |
PNC Financial Services | |||
Group Inc. | 6,550,748 | 533,165 | |
Morgan Stanley | 19,822,175 | 514,980 | |
Public Storage | 1,933,448 | 494,170 | |
Marsh & McLennan | |||
Cos. Inc. | 6,838,704 | 468,178 | |
Travelers Cos. Inc. | 3,836,337 | 456,678 | |
Crown Castle | |||
International Corp. | 4,420,169 | 448,338 | |
CME Group Inc. | 4,443,133 | 432,761 | |
Capital One Financial | |||
Corp. | 6,719,251 | 426,740 | |
Prudential Financial Inc. | 5,799,535 | 413,739 | |
Intercontinental | |||
Exchange Inc. | 1,561,999 | 399,809 | |
Charles Schwab Corp. | 15,781,285 | 399,424 |
Market | |||
Value• | |||
Shares | ($000) | ||
Aflac Inc. | 5,432,142 | 391,983 | |
BB&T Corp. | 10,774,244 | 383,671 | |
Aon plc | 3,477,250 | 379,820 | |
S&P Global Inc. | 3,473,172 | 372,532 | |
Welltower Inc. | 4,685,858 | 356,922 | |
Equinix Inc. | 911,315 | 353,344 | |
Allstate Corp. | 4,914,123 | 343,743 | |
Prologis Inc. | 6,896,209 | 338,190 | |
Equity Residential | 4,792,905 | 330,135 | |
AvalonBay Communities | |||
Inc. | 1,798,588 | 324,447 | |
Ventas Inc. | 4,433,948 | 322,880 | |
Weyerhaeuser Co. | 9,797,346 | 291,667 | |
Discover Financial | |||
Services | 5,410,154 | 289,930 | |
State Street Corp. | 5,192,371 | 279,973 | |
* | Synchrony Financial | 10,935,902 | 276,460 |
SunTrust Banks Inc. | 6,572,040 | 269,979 | |
Boston Properties Inc. | 2,014,738 | 265,744 | |
Progressive Corp. | 7,654,561 | 256,428 | |
M&T Bank Corp. | 2,085,479 | 246,566 | |
T. Rowe Price Group Inc. | 3,255,587 | 237,560 | |
Realty Income Corp. | 3,379,282 | 234,387 | |
Vornado Realty Trust | 2,327,489 | 233,028 | |
Hartford Financial | |||
Services Group Inc. | 5,160,034 | 229,002 | |
General Growth | |||
Properties Inc. | 7,646,091 | 228,006 | |
* | Berkshire Hathaway Inc. | ||
Class A | 1,042 | 226,088 | |
Willis Towers Watson plc | 1,816,046 | 225,753 | |
HCP Inc. | 6,127,098 | 216,777 | |
Digital Realty Trust Inc. | 1,926,139 | 209,930 | |
Moody’s Corp. | 2,217,500 | 207,802 | |
Essex Property Trust Inc. | 858,368 | 195,785 | |
Ameriprise Financial Inc. | 2,175,318 | 195,452 | |
Northern Trust Corp. | 2,813,916 | 186,450 | |
Fifth Third Bancorp | 10,072,736 | 177,179 | |
Kimco Realty Corp. | 5,510,621 | 172,923 | |
Franklin Resources Inc. | 4,839,704 | 161,501 | |
Host Hotels | |||
& Resorts Inc. | 9,815,079 | 159,102 | |
Federal Realty | |||
Investment Trust | 931,249 | 154,168 | |
Extra Space Storage Inc. | 1,644,423 | 152,175 | |
Principal Financial Group | |||
Inc. | 3,541,829 | 145,605 | |
Cincinnati Financial Corp. | 1,938,871 | 145,202 | |
Loews Corp. | 3,510,443 | 144,244 | |
Regions Financial Corp. | 16,643,803 | 141,639 | |
Macerich Co. | 1,656,699 | 141,466 | |
SL Green Realty Corp. | 1,317,127 | 140,235 | |
Invesco Ltd. | 5,483,072 | 140,038 | |
Citizens Financial Group | |||
Inc. | 6,749,665 | 134,858 |
12
500 Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
UDR Inc. | 3,510,558 | 129,610 | |
Iron Mountain Inc. | 3,135,998 | 124,907 | |
XL Group plc Class A | 3,724,121 | 124,050 | |
KeyCorp | 11,020,045 | 121,772 | |
Lincoln National Corp. | 3,133,147 | 121,472 | |
Arthur J Gallagher & Co. | 2,322,840 | 110,567 | |
* | CBRE Group Inc. | ||
Class A | 3,817,746 | 101,094 | |
* | Affiliated Managers | ||
Group Inc. | 705,658 | 99,336 | |
Unum Group | 3,109,932 | 98,865 | |
Nasdaq Inc. | 1,506,525 | 97,427 | |
Comerica Inc. | 2,291,176 | 94,236 | |
Huntington Bancshares | |||
Inc. | 10,450,910 | 93,431 | |
Torchmark Corp. | 1,472,815 | 91,049 | |
Apartment Investment | |||
& Management Co. | 2,048,814 | 90,476 | |
* | E*TRADE Financial Corp. | 3,646,460 | 85,655 |
Leucadia National Corp. | 4,375,586 | 75,829 | |
Assurant Inc. | 810,235 | 69,931 | |
Zions Bancorporation | 2,671,966 | 67,147 | |
People’s United | |||
Financial Inc. | 4,058,146 | 59,492 | |
Navient Corp. | 4,323,927 | 51,671 | |
Legg Mason Inc. | 1,378,845 | 40,662 | |
37,579,307 | |||
Health Care (14.6%) | |||
Johnson & Johnson | 36,082,811 | 4,376,845 | |
Pfizer Inc. | 79,560,668 | 2,801,331 | |
Merck & Co. Inc. | 36,312,917 | 2,091,987 | |
UnitedHealth Group Inc. | 12,469,848 | 1,760,743 | |
Bristol-Myers Squibb Co. | 21,893,273 | 1,610,250 | |
Medtronic plc | 18,442,041 | 1,600,216 | |
Amgen Inc. | 9,852,465 | 1,499,053 | |
Gilead Sciences Inc. | 17,467,424 | 1,457,133 | |
AbbVie Inc. | 21,212,765 | 1,313,282 | |
* | Allergan plc | 5,188,082 | 1,198,914 |
Eli Lilly & Co. | 12,740,965 | 1,003,351 | |
* | Celgene Corp. | 10,160,023 | 1,002,083 |
Thermo Fisher Scientific | |||
Inc. | 5,161,873 | 762,718 | |
Abbott Laboratories | 19,277,389 | 757,794 | |
* | Biogen Inc. | 2,873,492 | 694,868 |
* | Express Scripts Holding | ||
Co. | 8,301,253 | 629,235 | |
Aetna Inc. | 4,599,524 | 561,740 | |
McKesson Corp. | 2,952,138 | 551,017 | |
Stryker Corp. | 4,121,486 | 493,878 | |
Becton Dickinson | |||
and Co. | 2,784,110 | 472,157 | |
Anthem Inc. | 3,449,998 | 453,123 | |
Cigna Corp. | 3,365,660 | 430,771 | |
* | Boston Scientific Corp. | 17,803,236 | 416,062 |
Market | |||
Value• | |||
Shares | ($000) | ||
* | Regeneron | ||
Pharmaceuticals Inc. | 1,023,802 | 357,542 | |
Humana Inc. | 1,956,269 | 351,894 | |
* | Alexion Pharmaceuticals | ||
Inc. | 2,940,594 | 343,344 | |
Cardinal Health Inc. | 4,276,879 | 333,639 | |
* | Intuitive Surgical Inc. | 499,600 | 330,440 |
Baxter International Inc. | 7,249,555 | 327,825 | |
Zimmer Biomet | |||
Holdings Inc. | 2,612,740 | 314,522 | |
* | HCA Holdings Inc. | 3,948,604 | 304,082 |
St. Jude Medical Inc. | 3,728,006 | 290,784 | |
Zoetis Inc. | 5,986,733 | 284,130 | |
* | Vertex Pharmaceuticals | ||
Inc. | 3,243,901 | 279,040 | |
* | Edwards Lifesciences | ||
Corp. | 2,777,218 | 276,972 | |
* | Illumina Inc. | 1,930,521 | 271,007 |
* | Mylan NV | 5,600,768 | 242,177 |
* | Cerner Corp. | 3,949,905 | 231,464 |
CR Bard Inc. | 962,444 | 226,328 | |
AmerisourceBergen | |||
Corp. Class A | 2,407,165 | 190,936 | |
Agilent Technologies Inc. | 4,300,106 | 190,753 | |
DENTSPLY SIRONA Inc. | 3,073,015 | 190,650 | |
* | Henry Schein Inc. | 1,076,806 | 190,379 |
* | Laboratory Corp. of | ||
America Holdings | 1,344,667 | 175,170 | |
Perrigo Co. plc | 1,880,796 | 170,532 | |
* | DaVita HealthCare | ||
Partners Inc. | 2,142,314 | 165,644 | |
* | Centene Corp. | 2,238,849 | 159,787 |
Universal Health | |||
Services Inc. Class B | 1,178,839 | 158,082 | |
Quest Diagnostics Inc. | 1,857,933 | 151,254 | |
* | Waters Corp. | 1,060,357 | 149,139 |
* | Hologic Inc. | 3,173,521 | 109,804 |
* | Varian Medical Systems | ||
Inc. | 1,248,731 | 102,683 | |
* | Mallinckrodt plc | 1,430,226 | 86,929 |
PerkinElmer Inc. | 1,431,409 | 75,034 | |
Patterson Cos. Inc. | 1,093,119 | 52,349 | |
* | Endo International plc | 2,677,208 | 41,738 |
35,064,604 | |||
Industrials (10.1%) | |||
General Electric Co. | 120,629,162 | 3,797,406 | |
3M Co. | 7,954,755 | 1,393,037 | |
Honeywell International | |||
Inc. | 9,995,896 | 1,162,723 | |
United Technologies | |||
Corp. | 10,208,226 | 1,046,854 | |
Boeing Co. | 7,853,974 | 1,019,996 | |
United Parcel Service | |||
Inc. Class B | 9,056,294 | 975,544 |
13
500 Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
Union Pacific Corp. | 11,031,503 | 962,499 | |
Lockheed Martin Corp. | 3,434,384 | 852,311 | |
Danaher Corp. | 7,859,325 | 793,792 | |
Caterpillar Inc. | 7,659,600 | 580,674 | |
Raytheon Co. | 3,896,078 | 529,672 | |
Northrop Grumman Corp. | 2,367,388 | 526,223 | |
General Dynamics Corp. | 3,769,321 | 524,840 | |
FedEx Corp. | 3,275,102 | 497,095 | |
Illinois Tool Works Inc. | 4,243,590 | 442,012 | |
Emerson Electric Co. | 8,441,096 | 440,288 | |
Delta Air Lines Inc. | 10,127,879 | 368,959 | |
Waste Management Inc. | 5,421,489 | 359,282 | |
Eaton Corp. plc | 6,011,842 | 359,087 | |
Norfolk Southern Corp. | 3,882,114 | 330,484 | |
Southwest Airlines Co. | 8,383,973 | 328,736 | |
CSX Corp. | 12,547,581 | 327,241 | |
Deere & Co. | 3,917,759 | 317,495 | |
Nielsen Holdings plc | 4,737,309 | 246,198 | |
PACCAR Inc. | 4,601,803 | 238,695 | |
Tyco International plc | 5,580,880 | 237,745 | |
Cummins Inc. | 2,078,199 | 233,673 | |
Roper Technologies Inc. | 1,327,513 | 226,421 | |
Stanley Black | |||
& Decker Inc. | 1,969,297 | 219,025 | |
Ingersoll-Rand plc | 3,377,296 | 215,066 | |
American Airlines Group | |||
Inc. | 7,584,458 | 214,716 | |
Equifax Inc. | 1,561,303 | 200,471 | |
Rockwell Automation | |||
Inc. | 1,708,805 | 196,205 | |
Parker-Hannifin Corp. | 1,767,012 | 190,926 | |
* | TransDigm Group Inc. | 695,086 | 183,287 |
* | United Continental | ||
Holdings Inc. | 4,409,457 | 180,964 | |
Fastenal Co. | 3,793,561 | 168,396 | |
WW Grainger Inc. | 740,855 | 168,359 | |
* | Verisk Analytics Inc. | ||
Class A | 2,031,852 | 164,743 | |
Republic Services Inc. | |||
Class A | 3,116,262 | 159,895 | |
L-3 Communications | |||
Holdings Inc. | 1,010,773 | 148,270 | |
Rockwell Collins Inc. | 1,705,070 | 145,170 | |
Acuity Brands Inc. | 575,892 | 142,798 | |
AMETEK Inc. | 3,066,965 | 141,786 | |
Dover Corp. | 2,038,692 | 141,322 | |
CH Robinson Worldwide | |||
Inc. | 1,875,881 | 139,284 | |
Pentair plc | 2,374,663 | 138,419 | |
Masco Corp. | 4,356,813 | 134,800 | |
Textron Inc. | 3,516,880 | 128,577 | |
Kansas City Southern | 1,417,722 | 127,723 | |
Snap-on Inc. | 760,625 | 120,042 | |
Fortune Brands Home | |||
& Security Inc. | 2,016,080 | 116,872 |
Market | ||
Value• | ||
Shares | ($000) | |
Expeditors International | ||
of Washington Inc. | 2,381,708 | 116,799 |
Stericycle Inc. | 1,110,815 | 115,658 |
Cintas Corp. | 1,133,831 | 111,263 |
Xylem Inc. | 2,340,408 | 104,499 |
JB Hunt Transport | ||
Services Inc. | 1,164,409 | 94,236 |
Alaska Air Group Inc. | 1,612,463 | 93,990 |
Fluor Corp. | 1,821,471 | 89,762 |
Allegion plc | 1,259,261 | 87,430 |
Jacobs Engineering | ||
Group Inc. | 1,598,137 | 79,603 |
United Rentals Inc. | 1,157,708 | 77,682 |
Flowserve Corp. | 1,705,445 | 77,035 |
Robert Half International | ||
Inc. | 1,724,451 | 65,805 |
Dun & Bradstreet Corp. | 473,133 | 57,647 |
Quanta Services Inc. | 1,986,450 | 45,927 |
Pitney Bowes Inc. | 2,480,705 | 44,157 |
Ryder System Inc. | 702,526 | 42,952 |
24,310,543 | ||
Information Technology (19.7%) | ||
Apple Inc. | 71,851,023 | 6,868,958 |
Microsoft Corp. | 103,112,104 | 5,276,246 |
Facebook Inc. Class A | 30,327,308 | 3,465,805 |
Alphabet Inc. Class A | 3,852,550 | 2,710,384 |
Alphabet Inc. Class C | 3,874,612 | 2,681,619 |
Intel Corp. | 61,946,920 | 2,031,859 |
Cisco Systems Inc. | 65,964,235 | 1,892,514 |
Visa Inc. Class A | 24,984,152 | 1,853,075 |
International Business | ||
Machines Corp. | 11,582,816 | 1,758,040 |
Oracle Corp. | 40,819,565 | 1,670,745 |
MasterCard Inc. Class A | 12,732,905 | 1,121,260 |
QUALCOMM Inc. | 19,266,709 | 1,032,118 |
Accenture plc Class A | 8,182,056 | 926,945 |
Texas Instruments Inc. | 13,172,590 | 825,263 |
Broadcom Ltd. | 4,867,101 | 756,347 |
EMC Corp. | 25,629,028 | 696,341 |
salesforce.com Inc. | 8,354,208 | 663,408 |
Adobe Systems Inc. | 6,561,931 | 628,567 |
Automatic Data | ||
Processing Inc. | 5,976,225 | 549,036 |
PayPal Holdings Inc. | 14,469,865 | 528,295 |
Cognizant Technology | ||
Solutions Corp. Class A | 7,949,010 | 455,001 |
Yahoo! Inc. | 11,466,468 | 430,680 |
Hewlett Packard | ||
Enterprise Co. | 21,803,681 | 398,353 |
Intuit Inc. | 3,357,502 | 374,731 |
Applied Materials Inc. | 14,296,694 | 342,692 |
eBay Inc. | 13,874,874 | 324,811 |
Fiserv Inc. | 2,917,729 | 317,245 |
NVIDIA Corp. | 6,652,292 | 312,724 |
Electronic Arts Inc. | 3,955,334 | 299,656 |
14
500 Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
Corning Inc. | 14,102,250 | 288,814 | |
HP Inc. | 22,433,194 | 281,537 | |
Fidelity National | |||
Information Services | |||
Inc. | 3,639,134 | 268,131 | |
TE Connectivity Ltd. | 4,689,872 | 267,839 | |
Activision Blizzard Inc. | 6,680,756 | 264,758 | |
Paychex Inc. | 4,203,963 | 250,136 | |
Amphenol Corp. Class A | 4,038,852 | 231,547 | |
Analog Devices Inc. | 4,031,445 | 228,341 | |
* | Micron Technology Inc. | 13,605,950 | 187,218 |
Lam Research Corp. | 2,090,699 | 175,744 | |
Western Digital Corp. | 3,692,480 | 174,507 | |
* | Red Hat Inc. | 2,380,603 | 172,832 |
Symantec Corp. | 8,040,555 | 165,153 | |
* | Citrix Systems Inc. | 2,036,861 | 163,132 |
* | Autodesk Inc. | 2,950,473 | 159,739 |
Skyworks Solutions Inc. | 2,498,572 | 158,110 | |
Xilinx Inc. | 3,332,396 | 153,723 | |
* | Alliance Data Systems | ||
Corp. | 774,221 | 151,685 | |
KLA-Tencor Corp. | 2,045,038 | 149,799 | |
Linear Technology Corp. | 3,133,532 | 145,803 | |
Global Payments Inc. | 2,023,380 | 144,429 | |
Microchip Technology | |||
Inc. | 2,822,613 | 143,276 | |
Motorola Solutions Inc. | 2,087,797 | 137,732 | |
Harris Corp. | 1,639,014 | 136,759 | |
* | Akamai Technologies | ||
Inc. | 2,300,063 | 128,642 | |
CA Inc. | 3,871,170 | 127,090 | |
Western Union Co. | 6,425,295 | 123,237 | |
Xerox Corp. | 12,457,186 | 118,219 | |
Total System Services | |||
Inc. | 2,209,970 | 117,371 | |
*,^ | VeriSign Inc. | 1,248,679 | 107,961 |
Juniper Networks Inc. | 4,621,044 | 103,927 | |
* | F5 Networks Inc. | 876,210 | 99,748 |
Seagate Technology plc | 3,904,804 | 95,121 | |
NetApp Inc. | 3,781,804 | 92,995 | |
* | Qorvo Inc. | 1,668,345 | 92,193 |
FLIR Systems Inc. | 1,799,304 | 55,688 | |
* | First Solar Inc. | 1,003,223 | 48,636 |
* | Teradata Corp. | 1,700,608 | 42,634 |
CSRA Inc. | 1,794,478 | 42,045 | |
47,188,969 | |||
Materials (2.9%) | |||
EI du Pont de Nemours | |||
& Co. | 11,461,726 | 742,720 | |
Dow Chemical Co. | 14,728,552 | 732,156 | |
Monsanto Co. | 5,730,712 | 592,613 | |
Praxair Inc. | 3,742,929 | 420,668 | |
Ecolab Inc. | 3,463,614 | 410,785 | |
PPG Industries Inc. | 3,492,388 | 363,732 |
Market | |||
Value• | |||
Shares | ($000) | ||
Air Products | |||
& Chemicals Inc. | 2,552,693 | 362,584 | |
LyondellBasell Industries | |||
NV Class A | 4,481,200 | 333,491 | |
Sherwin-Williams Co. | 1,031,037 | 302,785 | |
Newmont Mining Corp. | 6,957,874 | 272,192 | |
International Paper Co. | 5,393,343 | 228,570 | |
Vulcan Materials Co. | 1,747,152 | 210,287 | |
Nucor Corp. | 4,170,691 | 206,074 | |
Freeport-McMoRan Inc. | 16,428,756 | 183,016 | |
Ball Corp. | 2,280,579 | 164,863 | |
Martin Marietta | |||
Materials Inc. | 834,342 | 160,194 | |
Alcoa Inc. | 17,270,300 | 160,096 | |
Eastman Chemical Co. | 1,953,445 | 132,639 | |
International Flavors | |||
& Fragrances Inc. | 1,042,922 | 131,481 | |
WestRock Co. | 3,319,752 | 129,039 | |
Mosaic Co. | 4,587,129 | 120,091 | |
Sealed Air Corp. | 2,579,097 | 118,561 | |
Albemarle Corp. | 1,471,524 | 116,706 | |
Avery Dennison Corp. | 1,171,802 | 87,592 | |
FMC Corp. | 1,749,725 | 81,030 | |
CF Industries Holdings | |||
Inc. | 3,049,518 | 73,493 | |
* | Owens-Illinois Inc. | 2,118,317 | 38,151 |
6,875,609 | |||
Telecommunication Services (2.9%) | |||
AT&T Inc. | 80,755,088 | 3,489,427 | |
Verizon Communications | |||
Inc. | 53,473,779 | 2,985,976 | |
CenturyLink Inc. | 7,163,228 | 207,805 | |
* | Level 3 Communications | ||
Inc. | 3,803,671 | 195,851 | |
Frontier Communications | |||
Corp. | 15,346,503 | 75,812 | |
6,954,871 | |||
Utilities (3.7%) | |||
NextEra Energy Inc. | 6,052,918 | 789,300 | |
Duke Energy Corp. | 9,036,539 | 775,245 | |
Southern Co. | 12,311,904 | 660,287 | |
Dominion Resources Inc. | 8,083,673 | 629,961 | |
American Electric Power | |||
Co. Inc. | 6,446,071 | 451,805 | |
Exelon Corp. | 12,094,404 | 439,753 | |
PG&E Corp. | 6,508,321 | 416,012 | |
Sempra Energy | 3,111,234 | 354,743 | |
PPL Corp. | 8,886,007 | 335,447 | |
Edison International | 4,272,294 | 331,829 | |
Consolidated Edison Inc. | 3,988,403 | 320,827 | |
Public Service Enterprise | |||
Group Inc. | 6,634,578 | 309,238 | |
Xcel Energy Inc. | 6,661,137 | 298,286 | |
WEC Energy Group Inc. | 4,139,579 | 270,314 |
15
500 Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
Eversource Energy | 4,160,472 | 249,212 | |
DTE Energy Co. | 2,353,608 | 233,290 | |
American Water Works | |||
Co. Inc. | 2,328,463 | 196,778 | |
FirstEnergy Corp. | 5,572,068 | 194,521 | |
Entergy Corp. | 2,345,061 | 190,771 | |
Ameren Corp. | 3,186,119 | 170,712 | |
CMS Energy Corp. | 3,665,778 | 168,113 | |
SCANA Corp. | 1,877,835 | 142,077 | |
CenterPoint Energy Inc. | 5,658,386 | 135,801 | |
Pinnacle West Capital | |||
Corp. | 1,453,948 | 117,857 | |
NiSource Inc. | 4,206,522 | 111,557 | |
AES Corp. | 8,621,184 | 107,592 | |
AGL Resources Inc. | 1,575,805 | 103,956 | |
Alliant Energy Corp. | 2,495,273 | 99,062 | |
TECO Energy Inc. | 3,075,607 | 85,010 | |
NRG Energy Inc. | 4,119,748 | 61,755 | |
8,751,111 | |||
Total Common Stocks | |||
(Cost $154,641,059) | 238,882,100 | ||
Temporary Cash Investments (0.5%)1 | |||
Money Market Fund (0.5%) | |||
2,3 | Vanguard Market | ||
Liquidity Fund, | |||
0.538% | 1,198,502,777 | 1,198,503 | |
Face | |||
Amount | |||
($000) | |||
U.S. Government and Agency Obligations (0.0%) | |||
4,5 | Federal Home Loan | ||
Bank Discount Notes, | |||
0.352%, 7/6/16 | 4,100 | 4,100 | |
4,5 | Federal Home Loan | ||
Bank Discount Notes, | |||
0.350%, 7/8/16 | 14,800 | 14,799 | |
4,5 | Federal Home Loan | ||
Bank Discount Notes, | |||
0.471%, 8/10/16 | 15,000 | 14,995 | |
4,5 | Federal Home Loan | ||
Bank Discount Notes, | |||
0.511%, 10/12/16 | 2,000 | 1,998 | |
4,5 | Federal Home Loan | ||
Bank Discount Notes, | |||
0.465%, 10/28/16 | 5,000 | 4,995 | |
40,887 | |||
Total Temporary Cash Investments | |||
(Cost $1,239,383) | 1,239,390 | ||
Total Investments (100.2%) | |||
(Cost $155,880,442) | 240,121,490 |
Amount | |
($000) | |
Other Assets and Liabilities (-0.2%) | |
Other Assets | |
Investment in Vanguard | 19,141 |
Receivables for Investment | |
Securities Sold | 567 |
Receivables for Accrued Income | 266,581 |
Receivables for Capital Shares Issued | 149,480 |
Other Assets | 30,833 |
Total Other Assets | 466,602 |
Liabilities | |
Payables for Investment | |
Securities Purchased | (508,967) |
Collateral for Securities on Loan | (172,643) |
Payables for Capital Shares Redeemed | (216,638) |
Payables to Vanguard | (138,669) |
Other Liabilities | (1,120) |
Total Liabilities | (1,038,037) |
Net Assets (100%) | 239,550,055 |
At June 30, 2016, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 158,130,364 |
Overdistributed Net Investment Income | (45,222) |
Accumulated Net Realized Losses | (2,781,927) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 84,241,048 |
Futures Contracts | 5,792 |
Net Assets | 239,550,055 |
Investor Shares—Net Assets | |
Applicable to 135,085,706 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 26,161,626 |
Net Asset Value Per Share— | |
Investor Shares | $193.67 |
ETF Shares—Net Assets | |
Applicable to 242,373,822 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 46,581,406 |
Net Asset Value Per Share— | |
ETF Shares | $192.19 |
16
500 Index Fund | |
Amount | |
($000) | |
Admiral Shares—Net Assets | |
Applicable to 844,031,511 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 163,456,368 |
Net Asset Value Per Share— | |
Admiral Shares | $193.66 |
Institutional Select Shares—Net Assets | |
Applicable to 32,654,046 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 3,350,655 |
Net Asset Value Per Share— | |
Institutional Select Shares | $102.61 |
• 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 $170,762,000.
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 $172,643,000 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 $38,987,000 have been segregated as initial margin for open futures contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
17
500 Index Fund | |
Statement of Operations | |
Six Months Ended | |
June 30, 2016 | |
($000) | |
Investment Income | |
Income | |
Dividends | 2,469,811 |
Interest1 | 2,289 |
Securities Lending | 3,311 |
Total Income | 2,475,411 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 5,327 |
Management and Administrative—Investor Shares | 16,233 |
Management and Administrative—ETF Shares | 7,622 |
Management and Administrative—Admiral Shares | 27,316 |
Management and Administrative—Institutional Select Shares | 3 |
Marketing and Distribution—Investor Shares | 2,538 |
Marketing and Distribution—ETF Shares | 1,649 |
Marketing and Distribution—Admiral Shares | 6,286 |
Marketing and Distribution—Institutional Select Shares | — |
Custodian Fees | 846 |
Shareholders’ Reports—Investor Shares | 256 |
Shareholders’ Reports—ETF Shares | 101 |
Shareholders’ Reports—Admiral Shares | 345 |
Shareholders’ Reports—Institutional Select Shares | — |
Trustees’ Fees and Expenses | 71 |
Total Expenses | 68,593 |
Net Investment Income | 2,406,818 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 4,190,797 |
Futures Contracts | 57,499 |
Realized Net Gain (Loss) | 4,248,296 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 2,369,691 |
Futures Contracts | (6,076) |
Change in Unrealized Appreciation (Depreciation) | 2,363,615 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 9,018,729 |
1 Interest income from an affiliated company of the fund was $2,198,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
18
500 Index Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2016 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 2,406,818 | 4,412,491 |
Realized Net Gain (Loss) | 4,248,296 | 5,863,778 |
Change in Unrealized Appreciation (Depreciation) | 2,363,615 | (7,366,726) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 9,018,729 | 2,909,543 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (255,777) | (534,841) |
ETF Shares | (461,526) | (728,706) |
Admiral Shares | (1,640,856) | (3,127,986) |
Institutional Select Shares | — | — |
Realized Capital Gain | ||
Investor Shares | — | — |
ETF Shares | — | — |
Admiral Shares | — | — |
Institutional Select Shares | — | — |
Total Distributions | (2,358,159) | (4,391,533) |
Capital Share Transactions | ||
Investor Shares | (650,026) | (1,787,828) |
ETF Shares | 4,791,151 | 13,021,182 |
Admiral Shares | 6,247,149 | 10,808,168 |
Institutional Select Shares | 3,229,507 | — |
Net Increase (Decrease) from Capital Share Transactions | 13,617,781 | 22,041,522 |
Total Increase (Decrease) | 20,278,351 | 20,559,532 |
Net Assets | ||
Beginning of Period | 219,271,704 | 198,712,172 |
End of Period1 | 239,550,055 | 219,271,704 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($45,222,000) and ($93,881,000).
See accompanying Notes, which are an integral part of the Financial Statements.
19
500 Index Fund | ||||||
Financial Highlights | ||||||
Investor Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $188.48 | $189.89 | $170.36 | $131.37 | $115.80 | $115.82 |
Investment Operations | ||||||
Net Investment Income | 1.919 | 3.775 | 3.326 | 2.956 | 2.709 | 2.246 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 5.141 | (1.438) | 19.507 | 38.982 | 15.560 | (.020) |
Total from Investment Operations | 7.060 | 2.337 | 22.833 | 41.938 | 18.269 | 2.226 |
Distributions | ||||||
Dividends from Net Investment Income | (1.870) | (3.747) | (3.303) | (2.948) | (2.699) | (2.246) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.870) | (3.747) | (3.303) | (2.948) | (2.699) | (2.246) |
Net Asset Value, End of Period | $193.67 | $188.48 | $189.89 | $170.36 | $131.37 | $115.80 |
Total Return1 | 3.76% | 1.25% | 13.51% | 32.18% | 15.82% | 1.97% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $26,162 | $26,092 | $28,040 | $27,758 | $24,821 | $25,967 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.15% | 0.16% | 0.17% | 0.17% | 0.17% | 0.17% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.07% | 2.00% | 1.88% | 1.95% | 2.13% | 1.92% |
Portfolio Turnover Rate 2 | 5% | 3% | 3% | 3% | 3% | 4% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
20
500 Index Fund | ||||||
Financial Highlights | ||||||
ETF Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 20131 | 20121 | 20111 |
Net Asset Value, Beginning of Period | $187.05 | $188.45 | $169.07 | $130.38 | $114.92 | $114.94 |
Investment Operations | ||||||
Net Investment Income | 2.003 | 3.958 | 3.518 | 3.117 | 2.846 | 2.372 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 5.096 | (1.427) | 19.352 | 38.681 | 15.450 | (.020) |
Total from Investment Operations | 7.099 | 2.531 | 22.870 | 41.798 | 18.296 | 2.352 |
Distributions | ||||||
Dividends from Net Investment Income | (1.959) | (3.931) | (3.490) | (3.108) | (2.836) | (2.372) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.959) | (3.931) | (3.490) | (3.108) | (2.836) | (2.372) |
Net Asset Value, End of Period | $192.19 | $187.05 | $188.45 | $169.07 | $130.38 | $114.92 |
Total Return | 3.81% | 1.35% | 13.63% | 32.33% | 15.98% | 2.09% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $46,581 | $40,440 | $27,630 | $15,037 | $6,628 | $2,366 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.05% | 0.05% | 0.05% | 0.05% | 0.05% | 0.05% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.17% | 2.11% | 2.00% | 2.07% | 2.25% | 2.04% |
Portfolio Turnover Rate 2 | 5% | 3% | 3% | 3% | 3% | 4% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Adjusted to reflect a 1-for-2 reverse share split as of the close of business on October 24, 2013.
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 | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $188.48 | $189.89 | $170.36 | $131.37 | $115.80 | $115.83 |
Investment Operations | ||||||
Net Investment Income | 2.017 | 3.990 | 3.544 | 3.142 | 2.866 | 2.391 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 5.137 | (1.439) | 19.503 | 38.980 | 15.560 | (.031) |
Total from Investment Operations | 7.154 | 2.551 | 23.047 | 42.122 | 18.426 | 2.360 |
Distributions | ||||||
Dividends from Net Investment Income | (1.974) | (3.961) | (3.517) | (3.132) | (2.856) | (2.390) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.974) | (3.961) | (3.517) | (3.132) | (2.856) | (2.390) |
Net Asset Value, End of Period | $193.66 | $188.48 | $189.89 | $170.36 | $131.37 | $115.80 |
Total Return1 | 3.82% | 1.36% | 13.64% | 32.33% | 15.96% | 2.08% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) $163,456 | $152,740 | $143,043 | $82,357 | $59,749 | $51,925 | |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.05% | 0.05% | 0.05% | 0.05% | 0.05% | 0.05% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.17% | 2.11% | 2.00% | 2.07% | 2.25% | 2.04% |
Portfolio Turnover Rate2 | 5% | 3% | 3% | 3% | 3% | 4% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
22
500 Index Fund | |
Financial Highlights | |
Institutional Select Shares | |
June 24, 20161 to | |
For a Share Outstanding Throughout the Period | June 30, 2016 |
Net Asset Value, Beginning of Period | $99.57 |
Investment Operations | |
Net Investment Income | . 036 |
Net Realized and Unrealized Gain (Loss) on Investments | 3.004 |
Total from Investment Operations | 3.040 |
Distributions | |
Dividends from Net Investment Income | — |
Distributions from Realized Capital Gains | — |
Total Distributions | — |
Net Asset Value, End of Period | $102.61 |
Total Return | 3.05% |
Ratios/Supplemental Data | |
Net Assets, End of Period (Millions) | $3,351 |
Ratio of Total Expenses to Average Net Assets | 0.01% |
Ratio of Net Investment Income to Average Net Assets | 2.21% |
Portfolio Turnover Rate 2 | 5%3 |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 | Inception. |
2 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
3 | Reflects the fund’s portfolio turnover for the six months ended June 30, 2016. |
See accompanying Notes, which are an integral part of the Financial Statements.
23
500 Index Fund
Notes to Financial Statements
Vanguard 500 Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers four classes of shares: Investor Shares, ETF Shares, Admiral Shares, and Institutional Select Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. Admiral Shares and Institutional Select Shares are designed for investors who meet certain administrative, service, and account-size criteria. Institutional Select Shares were issued on June 24, 2016.
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
500 Index Fund
During the six months ended June 30, 2016, 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, 2012–2015), and for the period ended June 30, 2016, 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 subject to termination by the fund at any time, and 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 (“Vanguard”) participate in a $3.1 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 0.10% 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 based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at June 30, 2016, or at any time during the period then ended.
25
500 Index Fund
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.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At June 30, 2016, the fund had contributed to Vanguard capital in the amount of $19,141,000, representing 0.01% of the fund’s net assets and 7.66% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of June 30, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 238,882,100 | — | — |
Temporary Cash Investments | 1,198,503 | 40,887 | — |
Futures Contracts—Assets1 | 11,802 | — | — |
Futures Contracts—Liabilities1 | (1,112) | — | — |
Total | 240,091,293 | 40,887 | — |
1 Represents variation margin on the last day of the reporting period. |
26
500 Index Fund
D. At June 30, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
E-mini S&P 500 Index | September 2016 | 8,235 | 860,640 | 5,792 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended June 30, 2016, the fund realized $3,822,629,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2015, the fund had available capital losses totaling $3,192,114,000 to offset future net capital gains. Of this amount, $1,763,970,000 is subject to expiration on December 31, 2016. Capital losses of $1,428,144,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, but must be used before any expiring loss carryforwards. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2016; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2016, the cost of investment securities for tax purposes was $155,880,442,000. Net unrealized appreciation of investment securities for tax purposes was $84,241,048,000, consisting of unrealized gains of $90,542,146,000 on securities that had risen in value since their purchase and $6,301,098,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2016, the fund purchased $24,680,368,000 of investment securities and sold $10,855,474,000 of investment securities, other than temporary cash investments. Purchases and sales include $12,700,640,000 and $5,734,319,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
27
500 Index Fund
G. Capital share transactions for each class of shares were: | ||||
Six Months Ended | Year Ended | |||
June 30, 2016 | December 31, 2015 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 2,160,211 | 11,680 | 4,224,397 | 22,264 |
Issued in Lieu of Cash Distributions | 242,752 | 1,274 | 508,696 | 2,701 |
Redeemed | (3,052,989) | (16,301) | (6,520,921) | (34,197) |
Net Increase (Decrease)—Investor Shares | (650,026) | (3,347) | (1,787,828) | (9,232) |
ETF Shares | ||||
Issued | 10,685,819 | 58,397 | 20,357,295 | 109,061 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (5,894,668) | (32,225) | (7,336,113) | (39,475) |
Net Increase (Decrease)—ETF Shares | 4,791,151 | 26,172 | 13,021,182 | 69,586 |
Admiral Shares | ||||
Issued | 13,937,500 | 75,245 | 25,665,048 | 135,111 |
Issued in Lieu of Cash Distributions | 1,455,694 | 7,641 | 2,791,940 | 14,841 |
Redeemed | (9,146,045) | (49,226) | (17,648,820) | (92,866) |
Net Increase (Decrease) —Admiral Shares | 6,247,149 | 33,660 | 10,808,168 | 57,086 |
Institutional Select Shares1 | ||||
Issued | 3,232,212 | 32,681 | — | — |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (2,705) | (27) | — | — |
Net Increase (Decrease)—Institutional Select Shares | 3,229,507 | 32,654 | — | — |
1 Inception was June 24, 2016, for Institutional Select Shares. |
H. Management has determined that no material events or transactions occurred subsequent to June 30, 2016, that would require recognition or disclosure in these financial statements.
28
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.
29
Six Months Ended June 30, 2016 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
500 Index Fund | 12/31/2015 | 6/30/2016 | Period |
Based on Actual Fund Return | |||
Investor Shares | $1,000.00 | $1,037.65 | $0.76 |
ETF Shares | 1,000.00 | 1,038.13 | 0.25 |
Admiral Shares | 1,000.00 | 1,038.16 | 0.25 |
Institutional Select Shares | 1,000.00 | 1,030.53 | 0.00 |
Based on Hypothetical 5% Yearly Return | |||
Investor Shares | $1,000.00 | $1,024.12 | $0.75 |
ETF Shares | 1,000.00 | 1,024.61 | 0.25 |
Admiral Shares | 1,000.00 | 1,024.61 | 0.25 |
Institutional Select Shares | 1,000.00 | 1,000.95 | 0.00 |
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 0.15% for Investor Shares, 0.05% for ETF Shares, 0.05% for Admiral Shares, and 0.01% for Institutional Select Shares (since inception). 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 (182/366 for Investor, ETF, and Admiral Shares and 7/366 for Institutional Select Shares).
30
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard 500 Index Fund has renewed the fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard)—through its Equity Index Group. The board determined that continuing the fund’s internalized management structure was in the best interests of the fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board reviewed the quality of the fund’s investment management services over both the short and long term, and took into account the organizational depth and stability of the advisor. The board considered that Vanguard has been managing investments for more than three decades. The Equity Index Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement.
Investment performance
The board considered the short- and long-term performance of the fund, including any periods of outperformance or underperformance relative to a target index and peer group. The board concluded that the performance was such that the advisory arrangement should continue. Information about the fund’s most recent performance can be found in the Performance Summary section of this report.
Cost
The board concluded that the fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that the fund’s advisory fee rate was also well below its peer-group average. Information about the fund’s expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements section.
The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the fund’s at-cost arrangement with Vanguard ensures that the fund will realize economies of scale as it grows, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangement again after a one-year period.
31
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.
32
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.
33
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 198 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
Interested Trustee1 |
F. William McNabb III |
Born 1957. Trustee Since July 2009. Chairman of |
the Board. Principal Occupation(s) During the Past |
Five Years and Other Experience: 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 and Other |
Experience: Executive Chief Staff and Marketing |
Officer for North America and Corporate Vice President |
(retired 2008) of Xerox Corporation (document manage- |
ment products and services); Executive in Residence |
and 2009–2010 Distinguished Minett Professor at |
the Rochester Institute of Technology; Lead Director |
of SPX FLOW, Inc. (multi-industry manufacturing); |
Director of the United Way of Rochester, the University |
of Rochester Medical Center, Monroe Community |
College Foundation, North Carolina A&T University, |
and Roberts Wesleyan College. |
Rajiv L. Gupta |
Born 1945. Trustee Since December 2001.2 Principal |
Occupation(s) During the Past Five Years and Other |
Experience: Chairman and Chief Executive Officer |
(retired 2009) and President (2006–2008) of |
Rohm and Haas Co. (chemicals); Director of Tyco |
International plc (diversified manufacturing and |
services), HP Inc. (printer and personal computer |
manufacturing), and Delphi Automotive plc |
(automotive components); Senior Advisor at |
New Mountain Capital. |
Amy Gutmann |
Born 1949. Trustee Since June 2006. Principal |
Occupation(s) During the Past Five Years and |
Other Experience: 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 and |
Other Experience: 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) and the Robert Wood |
Johnson Foundation; Member of the Advisory |
Board of the Institute for Women’s Leadership |
at Rutgers University. |
F. Joseph Loughrey |
Born 1949. Trustee Since October 2009. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: 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 and Other |
Experience: Senior Vice President and Chief Financial |
Officer (retired 2013) at IBM (information technology |
services); Fiduciary Member of IBM’s Retirement Plan |
Committee (2004–2013); Director of the Dow Chemical |
Company; Member of the Council on Chicago Booth. |
Scott C. Malpass |
Born 1962. Trustee Since March 2012. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: 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, the Board of Advisors |
for Spruceview Capital Partners, and the Investment |
Advisory Committee of Major League Baseball; Board |
Member of TIFF Advisory Services, Inc., and Catholic |
Investment Services, Inc. (investment advisors). |
André F. Perold |
Born 1952. Trustee Since December 2004. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: 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. |
Peter F. Volanakis |
Born 1955. Trustee Since July 2009. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: President and Chief Operating Officer |
(retired 2010) of Corning Incorporated (communications |
equipment); Trustee of Colby-Sawyer College and |
Chairman of its Finance and Enrollment Committee; |
Member of the Advisory Board of the Norris Cotton |
Cancer Center. |
Executive Officers | |
Glenn Booraem | |
Born 1967. Treasurer Since May 2015. Principal | |
Occupation(s) During the Past Five Years and | |
Other Experience: Principal of The Vanguard Group, | |
Inc.; Treasurer of each of the investment companies | |
served by The Vanguard Group; Controller of each of | |
the investment companies served by The Vanguard | |
Group (2010–2015); 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 and Other Experience: 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). | |
Peter Mahoney | |
Born 1974. Controller Since May 2015. Principal | |
Occupation(s) During the Past Five Years and | |
Other Experience: Head of Global Fund Accounting | |
at The Vanguard Group, Inc.; Controller of each of the | |
investment companies served by The Vanguard Group; | |
Head of International Fund Services at The Vanguard | |
Group (2008–2014). | |
Heidi Stam | |
Born 1956. Secretary Since July 2005. Principal | |
Occupation(s) During the Past Five Years and Other | |
Experience: 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 | James M. Norris |
Kathleen C. Gubanich | Thomas M. Rampulla |
Martha G. King | Glenn W. Reed |
John T. Marcante | Karin A. Risi |
Chris D. McIsaac | Michael Rollings |
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 | The index is a product of S&P Dow Jones Indices LLC |
Direct Investor Account Services > 800-662-2739 | (“SPDJI”), and has been licensed for use by Vanguard. |
Standard & Poor’s® and S&P® are registered | |
Institutional Investor Services > 800-523-1036 | trademarks of Standard & Poor’s Financial Services LLC |
Text Telephone for People | (“S&P”); Dow Jones® is a registered trademark of Dow |
Who Are Deaf or Hard of Hearing> 800-749-7273 | Jones Trademark Holdings LLC (“Dow Jones”); S&P® |
and S&P 500® are trademarks of S&P; and these | |
This material may be used in conjunction | trademarks have been licensed for use by SPDJI and |
with the offering of shares of any Vanguard | sublicensed for certain purposes by Vanguard. |
fund only if preceded or accompanied by | Vanguard product(s) are not sponsored, endorsed, sold |
or promoted by SPDJI, Dow Jones, S&P, or their | |
the fund’s current prospectus. | respective affiliates and none of such parties make any |
All comparative mutual fund data are from Lipper, a | representation regarding the advisability of investing in |
Thomson Reuters Company, or Morningstar, Inc., unless | such product(s) nor do they have any liability for any |
otherwise noted. | errors, omissions, or interruptions of the index. |
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 email addressed to | |
publicinfo@sec.gov or via regular mail addressed to the | |
Public Reference Section, Securities and Exchange | |
Commission, Washington, DC 20549-1520. | |
© 2016 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q402 082016 |
![](https://capedge.com/proxy/N-CSRS/0000932471-16-014112/usstockindexfundssmall-cx1x1.jpg)
Semiannual Report | June 30, 2016
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
Vanguard’s Principles for Investing Success
We want to give you the best chance of investment success. These principles, grounded in Vanguard’s research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds. Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 4 |
Small-Cap Index Fund. | 8 |
Small-Cap Growth Index Fund. | 28 |
Small-Cap Value Index Fund. | 46 |
About Your Fund’s Expenses. | 65 |
Trustees Approve Advisory Arrangements. | 68 |
Glossary. | 69 |
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: Pictured is a sailing block on the Brilliant, a 1932 schooner docked in Mystic, Connecticut. A type of pulley, the sailing block helps coordinate the setting of the sails. At Vanguard, the intricate coordination of technology and people allows us to help millions of clients around the world reach their financial goals.
Your Fund’s Total Returns | |
Six Months Ended June 30, 2016 | |
Total | |
Returns | |
Vanguard Small-Cap Index Fund | |
Investor Shares | 4.96% |
ETF Shares | |
Market Price | 5.05 |
Net Asset Value | 5.03 |
Admiral™ Shares | 5.02 |
Institutional Shares | 5.02 |
Institutional Plus Shares | 5.05 |
CRSP US Small Cap Index | 5.01 |
Small-Cap Core Funds Average | 3.06 |
Small-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
Vanguard Small-Cap Growth Index Fund | |
Investor Shares | 2.30% |
ETF Shares | |
Market Price | 2.41 |
Net Asset Value | 2.36 |
Admiral Shares | 2.37 |
Institutional Shares | 2.36 |
CRSP US Small Cap Growth Index | 2.32 |
Small-Cap Growth Funds Average | -1.14 |
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 | |
Six Months Ended June 30, 2016 | |
Total | |
Returns | |
Vanguard Small-Cap Value Index Fund | |
Investor Shares | 7.21% |
ETF Shares | |
Market Price | 7.28 |
Net Asset Value | 7.29 |
Admiral Shares | 7.27 |
Institutional Shares | 7.30 |
CRSP US Small Cap Value Index | 7.29 |
Small-Cap Value Funds Average | 4.90 |
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, 2015, Through June 30, 2016 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Small-Cap Index Fund | ||||
Investor Shares | $53.03 | $55.39 | $0.261 | $0.000 |
ETF Shares | 110.71 | 115.64 | 0.609 | 0.000 |
Admiral Shares | 53.05 | 55.41 | 0.291 | 0.000 |
Institutional Shares | 53.05 | 55.41 | 0.294 | 0.000 |
Institutional Plus Shares | 153.11 | 159.94 | 0.862 | 0.000 |
Vanguard Small-Cap Growth Index Fund | ||||
Investor Shares | $34.18 | $34.84 | $0.124 | $0.000 |
ETF Shares | 121.53 | 123.87 | 0.509 | 0.000 |
Admiral Shares | 42.73 | 43.56 | 0.178 | 0.000 |
Institutional Shares | 34.22 | 34.88 | 0.144 | 0.000 |
Vanguard Small-Cap Value Index Fund | ||||
Investor Shares | $23.69 | $25.24 | $0.151 | $0.000 |
ETF Shares | 98.81 | 105.29 | 0.687 | 0.000 |
Admiral Shares | 42.46 | 45.24 | 0.295 | 0.000 |
Institutional Shares | 23.73 | 25.29 | 0.165 | 0.000 |
3
![](https://capedge.com/proxy/N-CSRS/0000932471-16-014112/usstockindexfundssmall-cx6x1.jpg)
Chairman’s Letter
Dear Shareholder,
After recording negative returns and trailing their large- and mid-capitalization counterparts in 2015, small-cap stocks fared much better over the first half of 2016. They were among the top performers as the broad U.S. stock market was by turns tepid and turbulent. In addition, value stocks performed better than growth stocks.
For the six months ended June 30, Vanguard’s three small-cap U.S. index funds registered returns ranging from 7.21% (Vanguard Small-Cap Value Index Fund) to 2.30% (Vanguard Small-Cap Growth Index Fund). Vanguard Small-Cap Index Fund, which includes both value and growth stocks, returned 4.96%. (All returns are for the funds’ Investor Shares.) Each fund closely tracked its target index and exceeded the average return of its peers.
Stocks waxed and waned through periods of turbulence
Toward the end of the period, global stock markets dropped sharply then rose after the momentous decision by United Kingdom voters to leave the European Union. The markets already were jittery before the June 23 “Brexit” vote. But volatility spiked afterward, as investors digested the significant global economic implications and the likelihood of extended uncertainty while the separation is carried out.
The broad U.S. stock market returned roughly 4% for the six months. U.S. stocks plunged on news of the referendum’s outcome but quickly
4
reversed. Worries about Brexit’s effect on trade and global economic growth seemed to diminish as expectations increased that major central banks would be responsive to any fallout.
International stocks had a rougher time, returning about –1%. European stocks in particular suffered as the lead-up to the Brexit referendum and subsequent uncertainty hit closer to home. Developed Pacific markets also retreated. Emerging-market stocks were a bright spot, returning nearly 8%.
Bonds rolled to strong returns as investors weighed their options
The broad U.S. bond market returned 5.31% as investors sought safe-haven assets amid questionable global economic
growth, low inflation, and stock market volatility. Exceptionally low or negative yields abroad attracted foreign investors to U.S. Treasury debt. The yield of the 10-year Treasury note closed at 1.47% at the end of June, down from 2.30% at the end of December. (Bond prices and yields move in opposite directions.)
The Federal Reserve has held its target for short-term interest rates steady since raising it by a quarter of a percentage point in December. During the period, the 0.25%–0.5% rate remained historically low and continued to curb returns for money market funds and savings accounts.
International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned 11.94%. Counter to
Market Barometer | |||
Total Returns | |||
Periods Ended June 30, 2016 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 3.74% | 2.93% | 11.88% |
Russell 2000 Index (Small-caps) | 2.22 | -6.73 | 8.35 |
Russell 3000 Index (Broad U.S. market) | 3.62 | 2.14 | 11.60 |
FTSE All-World ex US Index (International) | -0.92 | -9.75 | 0.49 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | 5.31% | 6.00% | 3.76% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 4.33 | 7.65 | 5.33 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.11 | 0.14 | 0.05 |
CPI | |||
Consumer Price Index | 1.91% | 1.01% | 1.32% |
5
recent trends, a number of foreign currencies strengthened against the dollar, but returns were solid even without this currency benefit.
Small-cap stocks rebounded, led by industrials and financials
Small-cap issuers, which make up about 10% of the broad U.S. market, are often younger and nimbler companies with the potential for superior earnings and rapid price appreciation. On the downside, smaller companies may have lower cash reserves, less established business models, and less experienced management.
Small-cap stocks, which tend to be risker and more volatile than large-caps, often decline more sharply when the broader market is falling and advance to a greater degree when the broader market is climbing. Six months, of course, is too brief a period to discern any clear trends—and it’s always impossible to know which stock size, style, and sector will be the next market leader.
Industrials, the second-largest sector in all three Vanguard Small-Cap Index Funds, was a strong contributor, returning about 8% for each fund. Building materials, transportation, machinery, and containers and packaging companies led the way, but almost every segment of this sector helped out.
Strength was also notable in the financial sector, the largest sector for all three Small-Cap Funds, with returns over 6% across the board. Double-digit returns
Expense Ratios | ||||||
Your Fund Compared With Its Peer Group | ||||||
Investor | ETF | Admiral | Institutional | Institutional | Peer Group | |
Shares | Shares | Shares | Shares | Plus Shares | Average | |
Small-Cap Index Fund | 0.20% | 0.08% | 0.08% | 0.07% | 0.05% | 1.25% |
Small-Cap Growth Index Fund | 0.20 | 0.08 | 0.08 | 0.07 | — | 1.36 |
Small-Cap Value Index Fund | 0.20 | 0.08 | 0.08 | 0.07 | — | 1.33 |
The fund expense ratios shown are from the prospectus dated April 27, 2016, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2016, the funds’ annualized expense ratios were: for the Small-Cap Index Fund, 0.19% for Investor Shares, 0.07% for ETF Shares, 0.07% for Admiral Shares, 0.06% for Institutional Shares, and 0.05% for Institutional Plus Shares; for the Small-Cap Growth Index Fund, 0.20% for Investor Shares, 0.08% for ETF Shares, 0.08% for Admiral Shares, and 0.07% for Institutional Shares; and for the Small-Cap Value Index Fund, 0.20% for Investor Shares, 0.08% for ETF Shares, 0.08% for Admiral Shares, and 0.07% for Institutional Shares. The peer-group expense ratios are derived from data provided by Lipper, a Thomson Reuters Company, and capture information through year-end 2015.
Peer groups: For the Small-Cap Index Fund, Small-Cap Core Funds; for the Small-Cap Growth Index Fund, Small-Cap Growth Funds; and for the Small-Cap Value Index Fund, Small-Cap Value Funds.
6
from REITs (real estate investment trusts), which represent a significant portion of the funds’ holdings, offset the toll that lower longer-term interest rates have taken on banks, asset managers, consumer finance companies, and investment firms.
While basic materials and utilities are two of the funds’ smallest sectors, they produced double-digit results for all three funds. Basic materials returned more than 20% for each fund, and utilities did the same for the Small-Cap Index and Small-Cap Value Index Funds. Utilities deliver stable and steady dividend yields, which tend to be attractive to investors seeking income in a climate where bond yields are historically low and stock volatility is high. Materials stocks, which had been battered by falling commodity prices, rebounded with the recent rise in prices, especially in the mining and metals groups.
Health care was the weakest sector for all three funds, with returns that ranged from about –8% for the Small-Cap Value Index Fund to about –11% for the Small-Cap Growth Index Fund. Biotechnology stocks and pharmaceuticals declined amid a slowdown in merger and acquisition activity and concerns that future profitability might be affected by increased regulatory pressures. High valuations also hurt biotechnology stocks.
A dose of discipline is crucial when markets become volatile
The heightened volatility in capital markets that surrounded the Brexit vote reminds us that nobody can control the direction of the markets or reliably predict where they’ll go
in the short term. However, investors can control how they react to unstable and turbulent markets.
During periods of market adversity, it’s more important than ever to keep sight of one of Vanguard’s key principles: Maintain perspective and long-term discipline. Whether you’re investing for yourself or on behalf of clients, your success is affected greatly by how you respond—or don’t respond—during turbulent markets. (You can read Vanguard’s Principles for Investing Success at vanguard.com/research.)
As I’ve written in the past, the best course for long-term investors is generally to ignore daily market moves and not make decisions based on emotion. This is also a good time to evaluate your portfolio and make sure your asset allocation is aligned with your time horizon, goals, and risk tolerance.
The markets are unpredictable and often confounding. Keeping your long-term plans clearly in focus can help you weather these periodic storms.
As always, thank you for investing with Vanguard.
![](https://capedge.com/proxy/N-CSRS/0000932471-16-014112/usstockindexfundssmall-cx9x1.jpg)
F. William McNabb III
Chairman and Chief Executive Officer
July 20, 2016
7
Small-Cap Index Fund | |||||
Fund Profile | |||||
As of June 30, 2016 | |||||
Share-Class Characteristics | |||||
Investor | ETF | Admiral | Institutional | Institutional | |
Shares | Shares | Shares | Shares | Plus Shares | |
Ticker Symbol | NAESX | VB | VSMAX | VSCIX | VSCPX |
Expense Ratio1 | 0.20% | 0.08% | 0.08% | 0.07% | 0.05% |
30-Day SEC Yield | 1.49% | 1.61% | 1.61% | 1.62% | 1.62% |
Portfolio Characteristics | |||
DJ | |||
U.S. | |||
CRSP US | Total | ||
Small Cap | Market | ||
Fund | Index | FA Index | |
Number of Stocks | 1,470 | 1,454 | 3,863 |
Median Market Cap | $3.2B | $3.2B | $53.0B |
Price/Earnings Ratio | 29.8x | 29.0x | 22.0x |
Price/Book Ratio | 2.3x | 2.3x | 2.7x |
Return on Equity | 11.1% | 11.2% | 16.5% |
Earnings Growth | |||
Rate | 9.8% | 9.8% | 7.3% |
Dividend Yield | 1.7% | 1.7% | 2.1% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 14% | — | — |
Short-Term | |||
Reserves | 0.1% | — | — |
Sector Diversification (% of equity exposure)
DJ | |||
CRSP US | U.S. Total | ||
Small Cap | Market | ||
Fund | Index | FA Index | |
Basic Materials | 3.6% | 3.6% | 2.4% |
Consumer Goods | 7.6 | 7.6 | 10.7 |
Consumer Services | 12.4 | 12.4 | 13.6 |
Financials | 27.0 | 27.1 | 18.6 |
Health Care | 9.3 | 9.3 | 13.4 |
Industrials | 18.9 | 18.9 | 12.6 |
Oil & Gas | 4.6 | 4.5 | 6.7 |
Technology | 11.1 | 11.1 | 15.7 |
Telecommunications | 0.4 | 0.4 | 2.6 |
Utilities | 5.1 | 5.1 | 3.7 |
Volatility Measures | ||
DJ | ||
CRSP US | U.S. Total | |
Small Cap | Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.85 |
Beta | 1.00 | 1.10 |
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)
Ingredion Inc. | Food Products | 0.3% |
Duke Realty Corp. | Industrial & Office | |
REITs | 0.3 | |
Newfield Exploration Co. Exploration & | ||
Production | 0.3 | |
Arthur J Gallagher & Co. | Property & Casualty | |
Insurance | 0.3 | |
Atmos Energy Corp. | Gas Distribution | 0.3 |
Regency Centers Corp. | Retail REITs | 0.3 |
Mid-America Apartment | ||
Communities Inc. | Residential REITs | 0.3 |
Westar Energy Inc. | Conventional | |
Electricity | 0.3 | |
AGL Resources Inc. | Gas Distribution | 0.3 |
Huntington Ingalls | ||
Industries Inc. | Defense | 0.3 |
Top Ten | 3.0% |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratios shown are from the prospectus dated April 27, 2016, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2016, the annualized expense ratios were 0.19% for Investor Shares, 0.07% for ETF Shares, 0.07% for Admiral Shares, 0.06% for Institutional Shares, and 0.05% for Institutional Plus Shares.
8
Small-Cap Index Fund
![](https://capedge.com/proxy/N-CSRS/0000932471-16-014112/usstockindexfundssmall-x11x1.jpg)
9
Small-Cap Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): December 31, 2005, Through June 30, 2016
![](https://capedge.com/proxy/N-CSRS/0000932471-16-014112/usstockindexfundssmall-x12x1.jpg)
Average Annual Total Returns: Periods Ended June 30, 2016 | ||||
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 10/3/1960 | -3.01% | 9.75% | 7.61% |
ETF Shares | 1/26/2004 | |||
Market Price | -2.90 | 9.91 | 7.79 | |
Net Asset Value | -2.89 | 9.90 | 7.75 | |
Admiral Shares | 11/13/2000 | -2.90 | 9.90 | 7.75 |
Institutional Shares | 7/7/1997 | -2.88 | 9.91 | 7.78 |
Institutional Plus Shares | 12/17/2010 | -2.86 | 9.94 | 10.551 |
1 Return since inception. |
See Financial Highlights for dividend and capital gains information.
10
Small-Cap Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of June 30, 2016
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. | 2,765,022 | 138,113 | 0.2% |
Basic Materials—Other † | 1,978,882 | 3.4% | |
2,116,995 | 3.6% | ||
Consumer Goods | |||
Ingredion Inc. | 1,498,335 | 193,900 | 0.3% |
Leggett & Platt Inc. | 2,795,839 | 142,895 | 0.3% |
* Middleby Corp. | 1,197,657 | 138,030 | 0.2% |
Consumer Goods—Other † | 3,953,820 | 6.8% | |
4,428,645 | 7.6% | ||
Consumer Services | |||
Domino’s Pizza Inc. | 1,043,923 | 137,151 | 0.2% |
Consumer Services—Other † | 7,090,488 | 12.2% | |
7,227,639 | 12.4% | ||
Financials | |||
Duke Realty Corp. | 7,200,242 | 191,958 | 0.3% |
Arthur J Gallagher & Co. | 3,686,704 | 175,487 | 0.3% |
Regency Centers Corp. | 2,031,682 | 170,113 | 0.3% |
Mid-America Apartment Communities Inc. | 1,571,603 | 167,219 | 0.3% |
National Retail Properties Inc. | 2,997,705 | 155,041 | 0.3% |
WP Carey Inc. | 2,134,422 | 148,172 | 0.3% |
Apartment Investment & Management Co. | 3,259,449 | 143,937 | 0.3% |
American Campus Communities Inc. | 2,715,014 | 143,543 | 0.2% |
Gaming and Leisure Properties Inc. | 3,962,518 | 136,628 | 0.2% |
Omega Healthcare Investors Inc. | 3,916,502 | 132,965 | 0.2% |
* Signature Bank | 1,049,991 | 131,165 | 0.2% |
Spirit Realty Capital Inc. | 9,983,199 | 127,485 | 0.2% |
Kilroy Realty Corp. | 1,919,798 | 127,263 | 0.2% |
Equity LifeStyle Properties Inc. | 1,584,748 | 126,859 | 0.2% |
Liberty Property Trust | 3,051,725 | 121,215 | 0.2% |
Financials—Other † | 13,572,814 | 23.3% | |
15,771,864 | 27.0% |
11
Small-Cap Index Fund | ||||
Market | Percentage | |||
Value• | of Net | |||
Shares | ($000) | Assets | ||
Health Care | ||||
Teleflex Inc. | 907,449 | 160,900 | 0.3% | |
* | MEDNAX Inc. | 1,936,204 | 140,239 | 0.2% |
* | DexCom Inc. | 1,647,585 | 130,703 | 0.2% |
STERIS plc | 1,787,838 | 122,914 | 0.2% | |
Health Care—Other † | 4,876,084 | 8.4% | ||
5,430,840 | 9.3% | |||
Industrials | ||||
Huntington Ingalls Industries Inc. | 978,681 | 164,448 | 0.3% | |
Broadridge Financial Solutions Inc. | 2,460,480 | 160,423 | 0.3% | |
Valspar Corp. | 1,484,885 | 160,412 | 0.3% | |
* | CoStar Group Inc. | 677,493 | 148,141 | 0.3% |
* | HD Supply Holdings Inc. | 4,175,374 | 145,386 | 0.3% |
Jack Henry & Associates Inc. | 1,641,866 | 143,286 | 0.3% | |
Carlisle Cos. Inc. | 1,336,065 | 141,195 | 0.2% | |
Allegion plc | 1,992,610 | 138,347 | 0.2% | |
AO Smith Corp. | 1,549,175 | 136,498 | 0.2% | |
* | Waste Connections Inc. | 1,824,919 | 131,485 | 0.2% |
Packaging Corp. of America | 1,958,755 | 131,099 | 0.2% | |
IDEX Corp. | 1,579,815 | 129,703 | 0.2% | |
Lennox International Inc. | 862,224 | 122,953 | 0.2% | |
Industrials—Other † | 9,212,794 | 15.8% | ||
11,066,170 | 19.0% | |||
Oil & Gas | ||||
* | Newfield Exploration Co. | 4,131,157 | 182,515 | 0.3% |
* | Diamondback Energy Inc. | 1,492,392 | 136,121 | 0.3% |
Targa Resources Corp. | 3,175,477 | 133,815 | 0.2% | |
*,^ | Southwestern Energy Co. | 9,962,570 | 125,329 | 0.2% |
Oil & Gas—Other † | 2,086,169 | 3.6% | ||
2,663,949 | 4.6% | |||
1Other † | 5,630 | 0.0% | ||
Technology | ||||
* | Cadence Design Systems Inc. | 6,261,932 | 152,165 | 0.3% |
CDW Corp. | 3,274,518 | 131,243 | 0.2% | |
Technology—Other † | 6,199,659 | 10.6% | ||
6,483,067 | 11.1% | |||
Telecommunications † | 230,191 | 0.4% | ||
Utilities | ||||
Atmos Energy Corp. | 2,127,862 | 173,038 | 0.3% | |
Westar Energy Inc. Class A | 2,948,821 | 165,399 | 0.3% | |
AGL Resources Inc. | 2,498,478 | 164,825 | 0.3% | |
UGI Corp. | 3,594,080 | 162,632 | 0.3% | |
ITC Holdings Corp. | 3,182,396 | 149,000 | 0.3% | |
TECO Energy Inc. | 4,879,583 | 134,872 | 0.2% | |
Aqua America Inc. | 3,689,683 | 131,574 | 0.2% | |
Utilities—Other † | 1,879,262 | 3.2% | ||
2,960,602 | 5.1% | |||
Total Common Stocks (Cost $48,402,509) | 58,385,592 | 100.1%2 |
12
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 | 0.538% | 941,814,083 | 941,814 | 1.6% |
5,6U.S. Government and Agency Obligations † | 13,593 | 0.1% | ||
Total Temporary Cash Investments (Cost $955,405) | 955,407 | 1.7%2 | ||
Total Investments (Cost $49,357,914) | 59,340,999 | 101.8% | ||
Amount | ||||
($000) | ||||
Other Assets and Liabilities | ||||
Other Assets | ||||
Investment in Vanguard | 4,735 | |||
Receivables for Investment Securities Sold | 58,361 | |||
Receivables for Accrued Income | 82,232 | |||
Receivables for Capital Shares Issued | 55,924 | |||
Other Assets | 3,819 | |||
Total Other Assets | 205,071 | 0.3% | ||
Liabilities | ||||
Payables for Investment Securities Purchased | (373,372) | |||
Collateral for Securities on Loan | (703,062) | |||
Payables for Capital Shares Redeemed | (105,787) | |||
Payables to Vanguard | (31,026) | |||
Other Liabilities | (13,062) | |||
Total Liabilities | (1,226,309) | (2.1%) | ||
Net Assets | 58,319,761 | 100.0% | ||
At June 30, 2016, net assets consisted of: | ||||
Amount | ||||
($000) | ||||
Paid-in Capital | 51,032,566 | |||
Undistributed Net Investment Income | 55,918 | |||
Accumulated Net Realized Losses | (2,752,080) | |||
Unrealized Appreciation (Depreciation) | ||||
Investment Securities | 9,983,085 | |||
Futures Contracts | 584 | |||
Swap Contracts | (312) | |||
Net Assets | 58,319,761 | |||
Investor Shares—Net Assets | ||||
Applicable to 73,884,957 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 4,092,777 | |||
Net Asset Value Per Share—Investor Shares | $55.39 | |||
ETF Shares—Net Assets | ||||
Applicable to 110,504,554 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 12,778,487 | |||
Net Asset Value Per Share—ETF Shares | $115.64 |
13
Small-Cap Index Fund | |
Amount | |
($000) | |
Admiral Shares—Net Assets | |
Applicable to 422,950,622 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 23,436,347 |
Net Asset Value Per Share—Admiral Shares | $55.41 |
Institutional Shares—Net Assets | |
Applicable to 196,745,400 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 10,901,529 |
Net Asset Value Per Share—Institutional Shares | $55.41 |
Institutional Plus Shares—Net Assets | |
Applicable to 44,459,215 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 7,110,621 |
Net Asset Value Per Share—Institutional Plus Shares | $159.94 |
• 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 $671,325,000.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent
1% or less of net assets.
1 “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 swap contracts. After giving
effect to futures and swap investments, the fund’s effective common stock and temporary cash investment positions represent 100.6% and
1.2%, 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 $703,062,000 of collateral received for securities on loan.
5 Securities with a value of $8,996,000 have been segregated as initial margin for open futures contracts.
6 Securities with a value of $3,741,000 have been segregated as collateral for open over-the-counter swap contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
14
Small-Cap Index Fund | |
Statement of Operations | |
Six Months Ended | |
June 30, 2016 | |
($000) | |
Investment Income | |
Income | |
Dividends | 373,305 |
Interest1 | 673 |
Securities Lending | 32,533 |
Total Income | 406,511 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,978 |
Management and Administrative—Investor Shares | 3,094 |
Management and Administrative—ETF Shares | 3,194 |
Management and Administrative—Admiral Shares | 5,608 |
Management and Administrative—Institutional Shares | 2,511 |
Management and Administrative—Institutional Plus Shares | 1,168 |
Marketing and Distribution—Investor Shares | 419 |
Marketing and Distribution—ETF Shares | 360 |
Marketing and Distribution—Admiral Shares | 1,171 |
Marketing and Distribution—Institutional Shares | 121 |
Marketing and Distribution—Institutional Plus Shares | 60 |
Custodian Fees | 696 |
Shareholders’ Reports—Investor Shares | 95 |
Shareholders’ Reports—ETF Shares | 151 |
Shareholders’ Reports—Admiral Shares | 152 |
Shareholders’ Reports—Institutional Shares | 83 |
Shareholders’ Reports—Institutional Plus Shares | 44 |
Trustees’ Fees and Expenses | 17 |
Total Expenses | 20,922 |
Net Investment Income | 385,589 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 245,850 |
Futures Contracts | 9,094 |
Swap Contracts | 2,413 |
Realized Net Gain (Loss) | 257,357 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 2,159,362 |
Futures Contracts | (1,547) |
Swap Contracts | (1,620) |
Change in Unrealized Appreciation (Depreciation) | 2,156,195 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,799,141 |
1 Interest income from an affiliated company of the fund was $637,000. | |
See accompanying Notes, which are an integral part of the Financial Statements. |
15
Small-Cap Index Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2016 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 385,589 | 790,370 |
Realized Net Gain (Loss) | 257,357 | 2,704,498 |
Change in Unrealized Appreciation (Depreciation) | 2,156,195 | (5,655,783) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,799,141 | (2,160,915) |
Distributions | ||
Net Investment Income | ||
Investor Shares | (19,588) | (55,298) |
ETF Shares | (67,169) | (164,546) |
Admiral Shares | (121,301) | (309,236) |
Institutional Shares | (56,725) | (148,089) |
Institutional Plus Shares | (38,429) | (101,667) |
Realized Capital Gain | ||
Investor Shares | — | — |
ETF Shares | — | — |
Admiral Shares | — | — |
Institutional Shares | — | — |
Institutional Plus Shares | — | — |
Total Distributions | (303,212) | (778,836) |
Capital Share Transactions | ||
Investor Shares | (139,905) | (344,117) |
ETF Shares | 754,151 | 2,265,366 |
Admiral Shares | 972,939 | 2,571,958 |
Institutional Shares | 403,276 | 605,267 |
Institutional Plus Shares | (103,770) | 1,305,476 |
Net Increase (Decrease) from Capital Share Transactions | 1,886,691 | 6,403,950 |
Total Increase (Decrease) | 4,382,620 | 3,464,199 |
Net Assets | ||
Beginning of Period | 53,937,141 | 50,472,942 |
End of Period1 | 58,319,761 | 53,937,141 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $55,918,000 and ($28,872,000).
See accompanying Notes, which are an integral part of the Financial Statements.
16
Small-Cap Index Fund | ||||||
Financial Highlights | ||||||
Investor Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $53.03 | $55.86 | $52.69 | $38.74 | $33.38 | $34.75 |
Investment Operations | ||||||
Net Investment Income | . 339 | .727 | .730 | . 609 | . 659 | . 402 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.282 | (2.840) | 3.148 | 13.958 | 5.363 | (1.375) |
Total from Investment Operations | 2.621 | (2.113) | 3.878 | 14.567 | 6.022 | (.973) |
Distributions | ||||||
Dividends from Net Investment Income | (. 261) | (.717) | (.708) | (. 617) | (. 662) | (. 397) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (. 261) | (.717) | (.708) | (. 617) | (. 662) | (. 397) |
Net Asset Value, End of Period | $55.39 | $53.03 | $55.86 | $52.69 | $38.74 | $33.38 |
Total Return1 | 4.96% | -3.78% | 7.37% | 37.62% | 18.04% | -2.80% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $4,093 | $4,058 | $4,606 | $5,041 | $3,813 | $3,925 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.19% | 0.20% | 0.23% | 0.24% | 0.24% | 0.24% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.53% | 1.33% | 1.40% | 1.39% | 1.82% | 1.15% |
Portfolio Turnover Rate2 | 14% | 11% | 10% | 29% | 14% | 17% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
17
Small-Cap Index Fund | ||||||
Financial Highlights | ||||||
ETF Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $110.71 | $116.61 | $110.02 | $80.89 | $69.70 | $72.58 |
Investment Operations | ||||||
Net Investment Income | .774 | 1.668 | 1.707 | 1.424 | 1.500 | .957 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 4.765 | (5.931) | 6.556 | 29.145 | 11.194 | (2.891) |
Total from Investment Operations | 5.539 | (4.263) | 8.263 | 30.569 | 12.694 | (1.934) |
Distributions | ||||||
Dividends from Net Investment Income | (.609) | (1.637) | (1.673) | (1.439) | (1.504) | (.946) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.609) | (1.637) | (1.673) | (1.439) | (1.504) | (.946) |
Net Asset Value, End of Period | $115.64 | $110.71 | $116.61 | $110.02 | $80.89 | $69.70 |
Total Return | 5.03% | -3.65% | 7.51% | 37.80% | 18.22% | -2.68% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $12,778 | $11,478 | $9,833 | $8,217 | $4,691 | $3,683 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.07% | 0.08% | 0.09% | 0.09% | 0.10% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.65% | 1.45% | 1.54% | 1.54% | 1.96% | 1.29% |
Portfolio Turnover Rate1 | 14% | 11% | 10% | 29% | 14% | 17% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
18
Small-Cap Index Fund | ||||||
Financial Highlights | ||||||
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $53.05 | $55.87 | $52.72 | $38.76 | $33.39 | $34.78 |
Investment Operations | ||||||
Net Investment Income | . 371 | .797 | . 817 | . 681 | .717 | . 461 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.280 | (2.833) | 3.133 | 13.968 | 5.372 | (1.395) |
Total from Investment Operations | 2.651 | (2.036) | 3.950 | 14.649 | 6.089 | (.934) |
Distributions | ||||||
Dividends from Net Investment Income | (. 291) | (.784) | (. 800) | (. 689) | (.719) | (. 456) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (. 291) | (.784) | (. 800) | (. 689) | (.719) | (. 456) |
Net Asset Value, End of Period | $55.41 | $53.05 | $55.87 | $52.72 | $38.76 | $33.39 |
Total Return1 | 5.02% | -3.64% | 7.50% | 37.81% | 18.24% | -2.69% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $23,436 | $21,441 | $20,034 | $10,126 | $6,541 | $5,525 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.07% | 0.08% | 0.09% | 0.09% | 0.10% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.65% | 1.45% | 1.54% | 1.54% | 1.96% | 1.29% |
Portfolio Turnover Rate2 | 14% | 11% | 10% | 29% | 14% | 17% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
19
Small-Cap Index Fund | ||||||
Financial Highlights | ||||||
Institutional Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $53.05 | $55.87 | $52.71 | $38.76 | $33.39 | $34.77 |
Investment Operations | ||||||
Net Investment Income | . 373 | . 803 | . 821 | . 686 | .724 | . 467 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.281 | (2.834) | 3.144 | 13.957 | 5.372 | (1.385) |
Total from Investment Operations | 2.654 | (2.031) | 3.965 | 14.643 | 6.096 | (.918) |
Distributions | ||||||
Dividends from Net Investment Income | (. 294) | (.789) | (. 805) | (. 693) | (.726) | (. 462) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (. 294) | (.789) | (. 805) | (. 693) | (.726) | (. 462) |
Net Asset Value, End of Period | $55.41 | $53.05 | $55.87 | $52.71 | $38.76 | $33.39 |
Total Return | 5.02% | -3.63% | 7.53% | 37.80% | 18.26% | -2.65% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $10,902 | $10,036 | $9,975 | $9,185 | $5,955 | $4,894 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.06% | 0.07% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.66% | 1.46% | 1.55% | 1.55% | 1.98% | 1.31% |
Portfolio Turnover Rate1 | 14% | 11% | 10% | 29% | 14% | 17% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
20
Small-Cap Index Fund | ||||||
Financial Highlights | ||||||
Institutional Plus Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $153.11 | $161.27 | $152.16 | $111.87 | $96.37 | $100.38 |
Investment Operations | ||||||
Net Investment Income | 1.090 | 2.353 | 2.405 | 2.007 | 2.114 | 1.373 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 6.602 | (8.203) | 9.062 | 40.311 | 15.506 | (4.023) |
Total from Investment Operations | 7.692 | (5.850) | 11.467 | 42.318 | 17.620 | (2.650) |
Distributions | ||||||
Dividends from Net Investment Income | (.862) | (2.310) | (2.357) | (2.028) | (2.120) | (1.360) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.862) | (2.310) | (2.357) | (2.028) | (2.120) | (1.360) |
Net Asset Value, End of Period | $159.94 | $153.11 | $161.27 | $152.16 | $111.87 | $96.37 |
Total Return | 5.05% | -3.62% | 7.55% | 37.85% | 18.29% | -2.65% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $7,111 | $6,925 | $6,024 | $4,323 | $2,435 | $1,840 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.05% | 0.05% | 0.06% | 0.06% | 0.06% | 0.06% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.67% | 1.48% | 1.57% | 1.57% | 2.00% | 1.33% |
Portfolio Turnover Rate1 | 14% | 11% | 10% | 29% | 14% | 17% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
21
Small-Cap Index Fund
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, ETF Shares, Admiral Shares, Institutional Shares, and Institutional Plus Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. Admiral Shares, Institutional Shares, and Institutional Plus Shares are designed for investors who meet certain administrative, service, and account-size criteria.
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 six months ended June 30, 2016, 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.
22
Small-Cap Index Fund
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 prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
During the six months ended June 30, 2016, the fund’s average amounts of investments in 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, 2012–2015), and for the period ended June 30, 2016, 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 subject to termination by the fund at any time, and 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
23
Small-Cap Index Fund
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 (“Vanguard”) participate in a $3.1 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 0.10% 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 based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at June 30, 2016, 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. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
24
Small-Cap Index Fund
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At June 30, 2016, the fund had contributed to Vanguard capital in the amount of $4,735,000, 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 employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of June 30, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 58,379,962 | — | 5,630 |
Temporary Cash Investments | 941,814 | 13,593 | — |
Futures Contracts—Assets1 | 3,579 | — | — |
Futures Contracts—Liabilities1 | (81) | — | — |
Swap Contracts—Assets | — | 232 | — |
Swap Contracts—Liabilities | — | (544) | — |
Total | 59,325,274 | 13,281 | 5,630 |
1 Represents variation margin on the last day of the reporting period. |
D. At June 30, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
E-mini Russell 2000 Index | September 2016 | 855 | 98,103 | 33 |
E-mini S&P Mid-Cap 400 Index | September 2016 | 650 | 97,045 | 551 |
584 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
25
Small-Cap Index Fund
At June 30, 2016, the fund had the following open total return swap contracts:
Floating | Unrealized | ||||
Notional | Interest Rate | Appreciation | |||
Termination | Amount | Received | (Depreciation) | ||
Reference Entity | Date | Counterparty | ($000) | (Paid) | ($000) |
Ambac Financial Group Inc. | 7/6/16 | GSCM | 5,182 | (0.448%) | 232 |
Empire State Realty Trust Inc. | 8/11/16 | GSCM | 21,344 | (0.442%) | (80) |
SLM Corp. | 8/18/16 | GSI | 22,274 | (0.448%) | (464) |
(312) | |||||
GSCM—Goldman Sachs Capital Markets. | |||||
GSI—Goldman Sachs International. |
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended June 30, 2016, the fund realized $576,716,000 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 $2,413,000 on swap contracts have been reclassified from accumulated net realized losses to undistributed net investment income.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2015, the fund had available capital losses totaling $2,428,148,000 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 $1,481,991,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, but must be used before any expiring loss carryforwards. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2016; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2016, the cost of investment securities for tax purposes was $49,365,698,000. Net unrealized appreciation of investment securities for tax purposes was $9,975,301,000, consisting of unrealized gains of $14,307,943,000 on securities that had risen in value since their purchase and $4,332,642,000 in unrealized losses on securities that had fallen in value since their purchase.
26
Small-Cap Index Fund
F. During the six months ended June 30, 2016, the fund purchased $7,562,065,000 of investment securities and sold $5,107,445,000 of investment securities, other than temporary cash investments. Purchases and sales include $1,983,006,000 and $1,232,460,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
G. Capital share transactions for each class of shares were: | ||||
Six Months Ended | Year Ended | |||
June 30, 2016 | December 31, 2015 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 295,760 | 5,736 | 789,795 | 13,998 |
Issued in Lieu of Cash Distributions | 18,709 | 351 | 52,866 | 995 |
Redeemed | (454,374) | (8,713) | (1,186,778) | (20,951) |
Net Increase (Decrease)—Investor Shares | (139,905) | (2,626) | (344,117) | (5,958) |
ETF Shares | ||||
Issued | 2,051,501 | 18,573 | 8,612,974 | 73,729 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (1,297,350) | (11,750) | (6,347,608) | (54,375) |
Net Increase (Decrease)—ETF Shares | 754,151 | 6,823 | 2,265,366 | 19,354 |
Admiral Shares | ||||
Issued | 2,580,426 | 49,862 | 5,433,397 | 96,234 |
Issued in Lieu of Cash Distributions | 109,745 | 2,055 | 280,050 | 5,270 |
Redeemed | (1,717,232) | (33,154) | (3,141,489) | (55,875) |
Net Increase (Decrease)—Admiral Shares | 972,939 | 18,763 | 2,571,958 | 45,629 |
Institutional Shares | ||||
Issued | 1,089,291 | 20,832 | 2,887,916 | 51,179 |
Issued in Lieu of Cash Distributions | 53,570 | 1,003 | 139,432 | 2,624 |
Redeemed | (739,585) | (14,285) | (2,422,081) | (43,144) |
Net Increase (Decrease)—Institutional Shares | 403,276 | 7,550 | 605,267 | 10,659 |
Institutional Plus Shares | ||||
Issued | 282,014 | 1,873 | 2,240,610 | 13,600 |
Issued in Lieu of Cash Distributions | 37,383 | 243 | 97,241 | 634 |
Redeemed | (423,167) | (2,882) | (1,032,375) | (6,361) |
Net Increase (Decrease)—Institutional Plus Shares | (103,770) | (766) | 1,305,476 | 7,873 |
H. Management has determined that no material events or transactions occurred subsequent to June 30, 2016, that would require recognition or disclosure in these financial statements.
27
Small-Cap Growth Index Fund | ||||
Fund Profile | ||||
As of June 30, 2016 | ||||
Share-Class Characteristics | ||||
Investor | Admiral | Institutional | ||
Shares | ETF Shares | Shares | Shares | |
Ticker Symbol | VISGX | VBK | VSGAX | VSGIX |
Expense Ratio1 | 0.20% | 0.08% | 0.08% | 0.07% |
30-Day SEC Yield | 0.89% | 1.01% | 1.01% | 1.02% |
Portfolio Characteristics | |||
DJ | |||
CRSP US | U.S. | ||
Small Cap | Total | ||
Growth | Market | ||
Fund | Index FA Index | ||
Number of Stocks | 705 | 689 | 3,863 |
Median Market Cap | $3.4B | $3.4B | $53.0B |
Price/Earnings Ratio | 41.0x | 40.4x | 22.0x |
Price/Book Ratio | 3.3x | 3.3x | 2.7x |
Return on Equity | 12.5% | 12.6% | 16.5% |
Earnings Growth | |||
Rate | 14.8% | 14.8% | 7.3% |
Dividend Yield | 1.1% | 1.1% | 2.1% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 24% | — | — |
Short-Term | |||
Reserves | -0.1% | — | — |
Sector Diversification (% of equity exposure)
CRSP US | DJ | ||
Small Cap U.S. Total | |||
Growth | Market | ||
Fund | Index | FA Index | |
Basic Materials | 2.0% | 2.0% | 2.4% |
Consumer Goods | 8.5 | 8.5 | 10.7 |
Consumer Services | 14.6 | 14.6 | 13.6 |
Financials | 22.9 | 22.9 | 18.6 |
Health Care | 14.2 | 14.2 | 13.4 |
Industrials | 17.7 | 17.7 | 12.6 |
Oil & Gas | 3.3 | 3.3 | 6.7 |
Technology | 15.6 | 15.6 | 15.7 |
Telecommunications | 0.2 | 0.2 | 2.6 |
Utilities | 1.0 | 1.0 | 3.7 |
Volatility Measures | ||
DJ | ||
CRSP US | U.S. Total | |
Small Cap | Market | |
Growth Index | FA Index | |
R-Squared | 1.00 | 0.78 |
Beta | 1.00 | 1.09 |
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)
Regency Centers Corp. | Retail REITs | 0.7% |
Cadence Design | ||
Systems Inc. | Software | 0.6 |
ITC Holdings Corp. | Conventional | |
Electricity | 0.6 | |
WP Carey Inc. | Diversified REITs | 0.6 |
CoStar Group Inc. | Business Support | |
Services | 0.6 | |
HD Supply Holdings Inc. | Industrial Suppliers | 0.6 |
American Campus | ||
Communities Inc. | Residential REITs | 0.6 |
Jack Henry & Associates Financial | ||
Inc. | Administration | 0.6 |
MEDNAX Inc. | Health Care | |
Providers | 0.5 | |
Gaming and Leisure | ||
Properties Inc. | Specialty REITs | 0.5 |
Top Ten | 5.9% |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratios shown are from the prospectus dated April 27, 2016, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2016, the annualized expense ratios were 0.20% for Investor Shares, 0.08% for ETF Shares, 0.08% for Admiral Shares, and 0.07% for Institutional Shares.
28
Small-Cap Growth Index Fund
![](https://capedge.com/proxy/N-CSRS/0000932471-16-014112/usstockindexfundssmall-x31x1.jpg)
29
Small-Cap Growth Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): December 31, 2005, Through June 30, 2016
![](https://capedge.com/proxy/N-CSRS/0000932471-16-014112/usstockindexfundssmall-x32x1.jpg)
Small-Cap Growth Index Fund Investor Shares | ||||
Spliced Small-Cap Growth Index | ||||
For a benchmark description, see the Glossary. | ||||
Note: For 2016, performance data reflect the six months ended June 30, 2016. | ||||
Average Annual Total Returns: Periods Ended June 30, 2016 | ||||
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 5/21/1998 | -6.54% | 8.45% | 7.87% |
ETF Shares | 1/26/2004 | |||
Market Price | -6.43 | 8.60 | 8.06 | |
Net Asset Value | -6.40 | 8.59 | 8.01 | |
Admiral Shares | 9/27/2011 | -6.40 | — | 13.451 |
Institutional Shares | 5/24/2000 | -6.39 | 8.61 | 8.04 |
1 Return since inception. |
See Financial Highlights for dividend and capital gains information.
30
Small-Cap Growth Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of June 30, 2016
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | Percentage | ||
Value• | of Net | ||
Shares | ($000) | Assets | |
Common Stocks | |||
Basic Materials | |||
Royal Gold Inc. | 796,504 | 57,364 | 0.4% |
Basic Materials—Other † | 241,398 | 1.6% | |
298,762 | 2.0% | ||
Consumer Goods | |||
* Middleby Corp. | 701,653 | 80,866 | 0.5% |
Carter’s Inc. | 587,831 | 62,586 | 0.4% |
* Post Holdings Inc. | 745,620 | 61,655 | 0.4% |
* Hain Celestial Group Inc. | 1,199,633 | 59,682 | 0.4% |
Consumer Goods—Other † | 1,032,202 | 6.8% | |
1,296,991 | 8.5% | ||
Consumer Services | |||
Domino’s Pizza Inc. | 611,523 | 80,342 | 0.5% |
Sabre Corp. | 2,364,325 | 63,340 | 0.4% |
* VCA Inc. | 935,701 | 63,263 | 0.4% |
Vail Resorts Inc. | 442,523 | 61,170 | 0.4% |
* Copart Inc. | 1,230,459 | 60,305 | 0.4% |
* Panera Bread Co. Class A | 274,763 | 58,233 | 0.4% |
* Burlington Stores Inc. | 870,039 | 58,040 | 0.4% |
Consumer Services—Other † | 1,777,783 | 11.7% | |
2,222,476 | 14.6% | ||
Financials | |||
Regency Centers Corp. | 1,190,413 | 99,673 | 0.7% |
WP Carey Inc. | 1,250,795 | 86,830 | 0.6% |
American Campus Communities Inc. | 1,590,800 | 84,106 | 0.6% |
Gaming and Leisure Properties Inc. | 2,345,530 | 80,874 | 0.5% |
* Signature Bank | 615,098 | 76,838 | 0.5% |
Kilroy Realty Corp. | 1,124,714 | 74,557 | 0.5% |
Equity LifeStyle Properties Inc. | 928,393 | 74,318 | 0.5% |
DDR Corp. | 3,786,683 | 68,690 | 0.4% |
CubeSmart | 2,164,091 | 66,827 | 0.4% |
31
Small-Cap Growth Index Fund | ||||
Market | Percentage | |||
Value• | of Net | |||
Shares | ($000) | Assets | ||
Lamar Advertising Co. Class A | 1,004,714 | 66,613 | 0.4% | |
CBOE Holdings Inc. | 992,127 | 66,096 | 0.4% | |
Forest City Realty Trust Inc. Class A | 2,945,176 | 65,707 | 0.4% | |
MarketAxess Holdings Inc. | 434,809 | 63,221 | 0.4% | |
* | Liberty Ventures Class A | 1,648,719 | 61,118 | 0.4% |
Douglas Emmett Inc. | 1,713,882 | 60,877 | 0.4% | |
* | SVB Financial Group | 631,774 | 60,120 | 0.4% |
Sovran Self Storage Inc. | 554,714 | 58,201 | 0.4% | |
Duke Realty Corp. | 2,108,171 | 56,204 | 0.4% | |
Financials—Other † | 2,199,646 | 14.5% | ||
3,470,516 | 22.8% | |||
Health Care | ||||
* | MEDNAX Inc. | 1,134,400 | 82,165 | 0.5% |
* | DexCom Inc. | 966,472 | 76,670 | 0.5% |
* | Align Technology Inc. | 879,920 | 70,878 | 0.5% |
West Pharmaceutical Services Inc. | 889,595 | 67,502 | 0.4% | |
* | United Therapeutics Corp. | 543,780 | 57,597 | 0.4% |
Health Care—Other † | 1,794,146 | 11.8% | ||
2,148,958 | 14.1% | |||
Industrials | ||||
* | CoStar Group Inc. | 396,992 | 86,806 | 0.6% |
* | HD Supply Holdings Inc. | 2,446,546 | 85,189 | 0.6% |
Jack Henry & Associates Inc. | 961,995 | 83,953 | 0.5% | |
AO Smith Corp. | 907,655 | 79,973 | 0.5% | |
* | Waste Connections Inc. | 1,069,150 | 77,032 | 0.5% |
Lennox International Inc. | 504,988 | 72,011 | 0.5% | |
Toro Co. | 631,307 | 55,681 | 0.4% | |
Industrials—Other † | 2,149,737 | 14.1% | ||
2,690,382 | 17.7% | |||
Oil & Gas | ||||
* | Diamondback Energy Inc. | 874,319 | 79,747 | 0.5% |
Oil & Gas—Other † | 418,082 | 2.8% | ||
497,829 | 3.3% | |||
1Other † | 1,996 | 0.0% | ||
Technology | ||||
* | Cadence Design Systems Inc. | 3,669,308 | 89,164 | 0.6% |
* | Ultimate Software Group Inc. | 334,343 | 70,309 | 0.5% |
* | athenahealth Inc. | 478,559 | 66,046 | 0.4% |
* | Tyler Technologies Inc. | 396,136 | 66,040 | 0.4% |
SS&C Technologies Holdings Inc. | 2,056,510 | 57,747 | 0.4% | |
* | Manhattan Associates Inc. | 880,346 | 56,457 | 0.4% |
Technology—Other † | 1,963,685 | 12.9% | ||
2,369,448 | 15.6% | |||
Telecommunications † | 36,886 | 0.3% | ||
Utilities | ||||
ITC Holdings Corp. | 1,864,735 | 87,307 | 0.6% | |
Utilities—Other † | 59,499 | 0.4% | ||
146,806 | 1.0% | |||
Total Common Stocks (Cost $12,731,992) | 15,181,050 | 99.9%2 |
32
Small-Cap Growth Index Fund | ||||
Market | Percentage | |||
Value• | of Net | |||
Coupon | Shares | ($000) | Assets | |
Temporary Cash Investments | ||||
Money Market Fund | ||||
3,4 Vanguard Market Liquidity Fund | 0.538% | 293,959,208 | 293,959 | 1.9% |
5U.S. Government and Agency Obligations † | 1,999 | 0.0% | ||
Total Temporary Cash Investments (Cost $295,957) | 295,958 | 1.9%2 | ||
6Total Investments (Cost $13,027,949) | 15,477,008 | 101.8% | ||
Amount | ||||
($000) | ||||
Other Assets and Liabilities | ||||
Other Assets | ||||
Investment in Vanguard | 1,244 | |||
Receivables for Investment Securities Sold | 21,745 | |||
Receivables for Accrued Income | 16,346 | |||
Receivables for Capital Shares Issued | 5,657 | |||
Other Assets | 1,057 | |||
Total Other Assets | 46,049 | 0.3% | ||
Liabilities | ||||
Payables for Investment Securities Purchased | (19,320) | |||
Collateral for Securities on Loan | (282,886) | |||
Payables for Capital Shares Redeemed | (14,233) | |||
Payables to Vanguard | (9,530) | |||
Total Liabilities | (325,969) | (2.1%) | ||
Net Assets | 15,197,088 | 100.0% | ||
At June 30, 2016, net assets consisted of: | ||||
Amount | ||||
($000) | ||||
Paid-in Capital | 14,169,195 | |||
Undistributed Net Investment Income | 1,516 | |||
Accumulated Net Realized Losses | (1,422,602) | |||
Unrealized Appreciation (Depreciation) | ||||
Investment Securities | 2,449,059 | |||
Futures Contracts | (80) | |||
Net Assets | 15,197,088 | |||
Investor Shares—Net Assets | ||||
Applicable to 52,349,028 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 1,824,023 | |||
Net Asset Value Per Share—Investor Shares | $34.84 | |||
ETF Shares—Net Assets | ||||
Applicable to 35,656,305 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 4,416,776 | |||
Net Asset Value Per Share—ETF Shares | $123.87 |
33
Small-Cap Growth Index Fund | |
Amount | |
($000) | |
Admiral Shares—Net Assets | |
Applicable to 139,027,126 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 6,055,638 |
Net Asset Value Per Share—Admiral Shares | $43.56 |
Institutional Shares—Net Assets | |
Applicable to 83,152,865 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 2,900,651 |
Net Asset Value Per Share—Institutional Shares | $34.88 |
• 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 “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 1.8%, 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 $282,886,000 of collateral received for securities on loan.
5 Securities with a value of $699,000 have been segregated as initial margin for open futures contracts.
6 The total value of securities on loan is $269,914,000.
See accompanying Notes, which are an integral part of the Financial Statements.
34
Small-Cap Growth Index Fund | |
Statement of Operations | |
Six Months Ended | |
June 30, 2016 | |
($000) | |
Investment Income | |
Income | |
Dividends | 61,927 |
Interest1 | 58 |
Securities Lending | 12,821 |
Total Income | 74,806 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,178 |
Management and Administrative—Investor Shares | 1,367 |
Management and Administrative—ETF Shares | 1,015 |
Management and Administrative—Admiral Shares | 1,315 |
Management and Administrative—Institutional Shares | 606 |
Marketing and Distribution—Investor Shares | 206 |
Marketing and Distribution—ETF Shares | 121 |
Marketing and Distribution—Admiral Shares | 308 |
Marketing and Distribution—Institutional Shares | 32 |
Custodian Fees | 178 |
Shareholders’ Reports—Investor Shares | 43 |
Shareholders’ Reports—ETF Shares | 70 |
Shareholders’ Reports—Admiral Shares | 52 |
Shareholders’ Reports—Institutional Shares | 29 |
Trustees’ Fees and Expenses | 5 |
Total Expenses | 6,525 |
Net Investment Income | 68,281 |
Realized Net Gain (Loss) | |
Investment Securities Sold | (29,166) |
Futures Contracts | (50) |
Realized Net Gain (Loss) | (29,216) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 286,050 |
Futures Contracts | (756) |
Change in Unrealized Appreciation (Depreciation) | 285,294 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 324,359 |
1 Interest income from an affiliated company of the fund was $51,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
35
Small-Cap Growth Index Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2016 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 68,281 | 151,158 |
Realized Net Gain (Loss) | (29,216) | 1,020,447 |
Change in Unrealized Appreciation (Depreciation) | 285,294 | (1,652,697) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 324,359 | (481,092) |
Distributions | ||
Net Investment Income | ||
Investor Shares | (6,725) | (17,081) |
ETF Shares | (18,624) | (42,821) |
Admiral Shares | (24,749) | (56,786) |
Institutional Shares | (11,877) | (31,997) |
Realized Capital Gain | ||
Investor Shares | — | — |
ETF Shares | — | — |
Admiral Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (61,975) | (148,685) |
Capital Share Transactions | ||
Investor Shares | (189,220) | (276,043) |
ETF Shares | (66,670) | 689,690 |
Admiral Shares | 9,624 | 738,083 |
Institutional Shares | 46,656 | (732,337) |
Net Increase (Decrease) from Capital Share Transactions | (199,610) | 419,393 |
Total Increase (Decrease) | 62,774 | (210,384) |
Net Assets | ||
Beginning of Period | 15,134,314 | 15,344,698 |
End of Period1 | 15,197,088 | 15,134,314 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $1,516,000 and ($4,790,000).
See accompanying Notes, which are an integral part of the Financial Statements.
36
Small-Cap Growth Index Fund | ||||||
Financial Highlights | ||||||
Investor Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $34.18 | $35.40 | $34.37 | $25.03 | $21.49 | $21.92 |
Investment Operations | ||||||
Net Investment Income | .137 | .292 | .303 | .168 | .223 | .086 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | .647 | (1.225) | 1.029 | 9.336 | 3.541 | (.431) |
Total from Investment Operations | .784 | (.933) | 1.332 | 9.504 | 3.764 | (.345) |
Distributions | ||||||
Dividends from Net Investment Income | (.124) | (. 287) | (. 302) | (.164) | (. 224) | (. 085) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.124) | (. 287) | (. 302) | (.164) | (. 224) | (. 085) |
Net Asset Value, End of Period | $34.84 | $34.18 | $35.40 | $34.37 | $25.03 | $21.49 |
Total Return1 | 2.30% | -2.64% | 3.88% | 37.98% | 17.52% | -1.58% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,824 | $1,986 | $2,326 | $2,859 | $2,649 | $2,613 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.20% | 0.20% | 0.23% | 0.24% | 0.24% | 0.24% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 0.97% | 0.82% | 0.87% | 0.63% | 0.97% | 0.37% |
Portfolio Turnover Rate2 | 24% | 23% | 26% | 50% | 37% | 40% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
37
Small-Cap Growth Index Fund | ||||||
Financial Highlights | ||||||
ETF Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $121.53 | $125.88 | $122.23 | $89.03 | $76.45 | $77.98 |
Investment Operations | ||||||
Net Investment Income | .559 | 1.202 | 1.277 | .802 | .925 | .424 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.290 | (4.362) | 3.643 | 33.188 | 12.578 | (1.535) |
Total from Investment Operations | 2.849 | (3.160) | 4.920 | 33.990 | 13.503 | (1.111) |
Distributions | ||||||
Dividends from Net Investment Income | (.509) | (1.190) | (1.270) | (.790) | (.923) | (.419) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.509) | (1.190) | (1.270) | (.790) | (.923) | (.419) |
Net Asset Value, End of Period | $123.87 | $121.53 | $125.88 | $122.23 | $89.03 | $76.45 |
Total Return | 2.36% | -2.51% | 4.02% | 38.18% | 17.67% | -1.43% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $4,417 | $4,422 | $3,900 | $3,637 | $2,209 | $1,857 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.09% | 0.09% | 0.10% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.09% | 0.94% | 1.01% | 0.78% | 1.11% | 0.51% |
Portfolio Turnover Rate1 | 24% | 23% | 26% | 50% | 37% | 40% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
38
Small-Cap Growth Index Fund | |||||||
Financial Highlights | |||||||
Admiral Shares | |||||||
Six Months | Sept. 27, | ||||||
Ended | 20111 to | ||||||
Year Ended December 31, | |||||||
For a Share Outstanding | June 30, | Dec. 31, | |||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | |
Net Asset Value, Beginning of Period | $42.73 | $44.26 | $42.98 | $31.30 | $26.88 | $25.00 | |
Investment Operations | |||||||
Net Investment Income | .196 | . 421 | . 449 | . 284 | . 326 | . 031 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | .812 | (1.534) | 1.277 | 11.676 | 4.420 | 1.962 | |
Total from Investment Operations | 1.008 | (1.113) | 1.726 | 11.960 | 4.746 | 1.993 | |
Distributions | |||||||
Dividends from Net Investment Income | (.178) | (. 417) | (. 446) | (. 280) | (. 326) | (.113) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (.178) | (. 417) | (. 446) | (. 280) | (. 326) | (.113) | |
Net Asset Value, End of Period | $43.56 | $42.73 | $44.26 | $42.98 | $31.30 | $26.88 | |
Total Return2 | 2.37% | -2.52% | 4.02% | 38.22% | 17.66% | 7.97% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $6,056 | $5,933 | $5,434 | $4,881 | $2,539 | $1,781 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.08% | 0.08% | 0.09% | 0.09% | 0.10% | 0.10%3 | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 1.09% | 0.94% | 1.01% | 0.78% | 1.11% | 0.51%3 | |
Portfolio Turnover Rate 4 | 24% | 23% | 26% | 50% | 37% | 40% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about
any applicable account service fees.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
39
Small-Cap Growth Index Fund | ||||||
Financial Highlights | ||||||
Institutional Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $34.22 | $35.45 | $34.42 | $25.07 | $21.53 | $21.96 |
Investment Operations | ||||||
Net Investment Income | .158 | .341 | .362 | .229 | .265 | .125 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | .646 | (1.234) | 1.028 | 9.346 | 3.540 | (.432) |
Total from Investment Operations | .804 | (.893) | 1.390 | 9.575 | 3.805 | (.307) |
Distributions | ||||||
Dividends from Net Investment Income | (.144) | (. 337) | (. 360) | (. 225) | (. 265) | (.123) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.144) | (. 337) | (. 360) | (. 225) | (. 265) | (.123) |
Net Asset Value, End of Period | $34.88 | $34.22 | $35.45 | $34.42 | $25.07 | $21.53 |
Total Return | 2.36% | -2.52% | 4.04% | 38.20% | 17.68% | -1.40% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,901 | $2,793 | $3,685 | $3,823 | $2,302 | $1,622 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.07% | 0.07% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.10% | 0.95% | 1.02% | 0.79% | 1.13% | 0.53% |
Portfolio Turnover Rate1 | 24% | 23% | 26% | 50% | 37% | 40% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
40
Small-Cap Growth Index Fund
Notes to Financial Statements
Vanguard Small-Cap Growth Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers four classes of shares: Investor Shares, ETF Shares, Admiral Shares, and Institutional Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. Admiral Shares and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
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 six months ended June 30, 2016, 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.
41
Small-Cap Growth Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2012–2015), and for the period ended June 30, 2016, 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 subject to termination by the fund at any time, and 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 (“Vanguard”) participate in a $3.1 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 0.10% 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 based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at June 30, 2016, 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
42
Small-Cap Growth 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. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At June 30, 2016, the fund had contributed to Vanguard capital in the amount of $1,244,000, representing 0.01% of the fund’s net assets and 0.50% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of June 30, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 15,179,054 | — | 1,996 |
Temporary Cash Investments | 293,959 | 1,999 | — |
Futures Contracts—Assets1 | 211 | — | — |
Total | 15,473,224 | 1,999 | 1,996 |
1 Represents variation margin on the last day of the reporting period. |
D. At June 30, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
E-mini Russell 2000 Index | September 2016 | 205 | 23,522 | (80) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
43
Small-Cap Growth Index Fund
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended June 30, 2016, the fund realized $213,287,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2015, the fund had available capital losses totaling $1,179,420,000 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 $675,220,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, but must be used before any expiring loss carryforwards. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2016; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2016, the cost of investment securities for tax purposes was $13,027,949,000. Net unrealized appreciation of investment securities for tax purposes was $2,449,059,000, consisting of unrealized gains of $3,592,370,000 on securities that had risen in value since their purchase and $1,143,311,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2016, the fund purchased $2,309,556,000 of investment securities and sold $2,466,437,000 of investment securities, other than temporary cash investments. Purchases and sales include $535,007,000 and $607,682,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
44
Small-Cap Growth Index Fund
G. Capital share transactions for each class of shares were: | ||||
Six Months Ended | Year Ended | |||
June 30, 2016 | December 31, 2015 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 138,512 | 4,280 | 445,273 | 12,230 |
Issued in Lieu of Cash Distributions | 6,268 | 185 | 16,016 | 467 |
Redeemed | (334,000) | (10,213) | (737,332) | (20,291) |
Net Increase (Decrease)—Investor Shares | (189,220) | (5,748) | (276,043) | (7,594) |
ETF Shares | ||||
Issued | 581,161 | 4,816 | 3,792,432 | 29,561 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (647,831) | (5,550) | (3,102,742) | (24,150) |
Net Increase (Decrease)—ETF Shares | (66,670) | (734) | 689,690 | 5,411 |
Admiral Shares | ||||
Issued | 612,747 | 15,107 | 1,619,752 | 35,551 |
Issued in Lieu of Cash Distributions | 22,977 | 543 | 52,365 | 1,221 |
Redeemed | (626,100) | (15,470) | (934,034) | (20,690) |
Net Increase (Decrease)—Admiral Shares | 9,624 | 180 | 738,083 | 16,082 |
Institutional Shares | ||||
Issued | 335,287 | 10,252 | 617,232 | 16,815 |
Issued in Lieu of Cash Distributions | 11,365 | 335 | 30,844 | 897 |
Redeemed | (299,996) | (9,043) | (1,380,413) | (40,068) |
Net Increase (Decrease)—Institutional Shares | 46,656 | 1,544 | (732,337) | (22,356) |
H. Management has determined that no material events or transactions occurred subsequent to June 30, 2016, that would require recognition or disclosure in these financial statements.
45
Small-Cap Value Index Fund | ||||
Fund Profile | ||||
As of June 30, 2016 | ||||
Share-Class Characteristics | ||||
Investor | Admiral | Institutional | ||
Shares | ETF Shares | Shares | Shares | |
Ticker Symbol | VISVX | VBR | VSIAX | VSIIX |
Expense Ratio1 | 0.20% | 0.08% | 0.08% | 0.07% |
30-Day SEC Yield | 1.93% | 2.05% | 2.05% | 2.06% |
Portfolio Characteristics | |||
DJ | |||
U.S. | |||
CRSP US | Total | ||
Small Cap | Market | ||
Fund | Value Index | FA Index | |
Number of Stocks | 858 | 846 | 3,863 |
Median Market Cap | $3.1B | $3.1B | $53.0B |
Price/Earnings Ratio | 24.4x | 23.6x | 22.0x |
Price/Book Ratio | 1.8x | 1.8x | 2.7x |
Return on Equity | 10.2% | 10.2% | 16.5% |
Earnings Growth | |||
Rate | 6.6% | 6.6% | 7.3% |
Dividend Yield | 2.2% | 2.2% | 2.1% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 18% | — | — |
Short-Term | |||
Reserves | 0.2% | — | — |
Sector Diversification (% of equity exposure)
DJ | |||
CRSP US | U.S. Total | ||
Small Cap | Market | ||
Fund | Value Index | FA Index | |
Basic Materials | 5.0% | 4.9% | 2.4% |
Consumer Goods | 6.8 | 6.8 | 10.7 |
Consumer Services | 10.6 | 10.6 | 13.6 |
Financials | 30.4 | 30.5 | 18.6 |
Health Care | 5.4 | 5.4 | 13.4 |
Industrials | 19.9 | 19.9 | 12.6 |
Oil & Gas | 5.6 | 5.6 | 6.7 |
Technology | 7.5 | 7.5 | 15.7 |
Telecommunications | 0.5 | 0.5 | 2.6 |
Utilities | 8.3 | 8.3 | 3.7 |
Volatility Measures | ||
DJ | ||
CRSP US | U.S. Total | |
Small Cap | Market | |
Value Index | FA Index | |
R-Squared | 1.00 | 0.86 |
Beta | 1.00 | 1.11 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
Ten Largest Holdings (% of total net assets)
Ingredion Inc. | Food Products | 0.6% |
Newfield Exploration Co. Exploration & | ||
Production | 0.6 | |
Arthur J Gallagher & Co. | Property & Casualty | |
Insurance | 0.5 | |
Atmos Energy Corp. | Gas Distribution | 0.5 |
Westar Energy Inc. | Conventional | |
Electricity | 0.5 | |
AGL Resources Inc. | Gas Distribution | 0.5 |
Huntington Ingalls | ||
Industries Inc. | Defense | 0.5 |
UGI Corp. | Gas Distribution | 0.5 |
Teleflex Inc. | Medical Supplies | 0.5 |
Broadridge Financial | Financial | |
Solutions Inc. | Administration | 0.5 |
Top Ten | 5.2% |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratios shown are from the prospectus dated April 27, 2016, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2016, the annualized expense ratios were 0.20% for Investor Shares, 0.08% for ETF Shares, 0.08% for Admiral Shares, and 0.07% for Institutional Shares.
46
Small-Cap Value Index Fund
![](https://capedge.com/proxy/N-CSRS/0000932471-16-014112/usstockindexfundssmall-x49x1.jpg)
47
Small-Cap Value Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): December 31, 2005, Through June 30, 2016
![](https://capedge.com/proxy/N-CSRS/0000932471-16-014112/usstockindexfundssmall-x50x1.jpg)
Small-Cap Value Index Fund Investor Shares | ||||
Spliced Small-Cap Value Index | ||||
For a benchmark description, see the Glossary. | ||||
Note: For 2016, performance data reflect the six months ended June 30, 2016. | ||||
Average Annual Total Returns: Periods Ended June 30, 2016 | ||||
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 5/21/1998 | 0.05% | 10.74% | 7.07% |
ETF Shares | 1/26/2004 | |||
Market Price | 0.15 | 10.90 | 7.23 | |
Net Asset Value | 0.17 | 10.89 | 7.21 | |
Admiral Shares | 9/27/2011 | 0.18 | — | 15.911 |
Institutional Shares | 12/7/1999 | 0.17 | 10.91 | 7.24 |
1 Return since inception. |
See Financial Highlights for dividend and capital gains information.
48
Small-Cap Value Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of June 30, 2016
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. | 1,658,766 | 82,855 | 0.4% |
Steel Dynamics Inc. | 2,889,451 | 70,792 | 0.4% |
Basic Materials—Other † | 810,630 | 4.2% | |
964,277 | 5.0% | ||
Consumer Goods | |||
Ingredion Inc. | 898,796 | 116,313 | 0.6% |
Leggett & Platt Inc. | 1,677,178 | 85,721 | 0.4% |
Pinnacle Foods Inc. | 1,458,337 | 67,506 | 0.4% |
Consumer Goods—Other † | 1,059,557 | 5.5% | |
1,329,097 | 6.9% | ||
Consumer Services | |||
KAR Auction Services Inc. | 1,714,318 | 71,556 | 0.4% |
* JetBlue Airways Corp. | 4,021,325 | 66,593 | 0.3% |
TEGNA Inc. | 2,716,229 | 62,935 | 0.3% |
Service Corp. International | 2,297,235 | 62,117 | 0.3% |
Consumer Services—Other † | 1,797,941 | 9.3% | |
2,061,142 | 10.6% | ||
Financials | |||
Arthur J Gallagher & Co. | 2,211,484 | 105,267 | 0.6% |
National Retail Properties Inc. | 1,798,254 | 93,006 | 0.5% |
Apartment Investment & Management Co. | 1,955,321 | 86,347 | 0.5% |
Liberty Property Trust | 1,830,969 | 72,726 | 0.4% |
Highwoods Properties Inc. | 1,216,049 | 64,207 | 0.3% |
EPR Properties | 794,087 | 64,067 | 0.3% |
American Financial Group Inc. | 865,918 | 64,017 | 0.3% |
Senior Housing Properties Trust | 2,964,847 | 61,758 | 0.3% |
East West Bancorp Inc. | 1,798,715 | 61,480 | 0.3% |
RenaissanceRe Holdings Ltd. | 510,992 | 60,011 | 0.3% |
Old Republic International Corp. | 3,109,636 | 59,985 | 0.3% |
Financials—Other † | 5,129,793 | 26.5% | |
5,922,664 | 30.6% |
49
Small-Cap Value Index Fund | ||||
Market | Percentage | |||
Value• | of Net | |||
Shares | ($000) | Assets | ||
Health Care | ||||
Teleflex Inc. | 544,402 | 96,528 | 0.5% | |
* | WellCare Health Plans Inc. | 552,530 | 59,275 | 0.3% |
Health Care—Other † | 902,524 | 4.7% | ||
1,058,327 | 5.5% | |||
Industrials | ||||
Huntington Ingalls Industries Inc. | 587,101 | 98,651 | 0.5% | |
Broadridge Financial Solutions Inc. | 1,475,961 | 96,233 | 0.5% | |
Valspar Corp. | 890,734 | 96,226 | 0.5% | |
Carlisle Cos. Inc. | 801,538 | 84,707 | 0.5% | |
Allegion plc | 1,195,364 | 82,994 | 0.4% | |
IDEX Corp. | 947,751 | 77,810 | 0.4% | |
PerkinElmer Inc. | 1,361,494 | 71,370 | 0.4% | |
* | Spirit AeroSystems Holdings Inc. Class A | 1,653,021 | 71,080 | 0.4% |
Sonoco Products Co. | 1,257,999 | 62,472 | 0.3% | |
AptarGroup Inc. | 788,586 | 62,401 | 0.3% | |
Orbital ATK Inc. | 730,958 | 62,234 | 0.3% | |
Bemis Co. Inc. | 1,182,226 | 60,873 | 0.3% | |
* | AECOM | 1,914,161 | 60,813 | 0.3% |
* | Berry Plastics Group Inc. | 1,509,448 | 58,642 | 0.3% |
MDU Resources Group Inc. | 2,438,432 | 58,522 | 0.3% | |
Industrials—Other † | 2,775,852 | 14.3% | ||
3,880,880 | 20.0% | |||
Oil & Gas | ||||
* | Newfield Exploration Co. | 2,478,149 | 109,485 | 0.6% |
Targa Resources Corp. | 1,904,446 | 80,253 | 0.4% | |
Oil & Gas—Other † | 898,733 | 4.6% | ||
1,088,471 | 5.6% | |||
1Other † | 1,196 | 0.0% | ||
Technology | ||||
CDW Corp. | 1,964,431 | 78,734 | 0.4% | |
Ingram Micro Inc. | 1,853,598 | 64,468 | 0.4% | |
Technology—Other † | 1,320,241 | 6.8% | ||
1,463,443 | 7.6% | |||
Telecommunications † | 100,225 | 0.5% | ||
Utilities | ||||
Atmos Energy Corp. | 1,276,382 | 103,795 | 0.6% | |
Westar Energy Inc. Class A | 1,768,939 | 99,220 | 0.5% | |
AGL Resources Inc. | 1,495,603 | 98,665 | 0.5% | |
UGI Corp. | 2,155,917 | 97,555 | 0.5% | |
TECO Energy Inc. | 2,919,728 | 80,701 | 0.4% | |
Aqua America Inc. | 2,213,434 | 78,931 | 0.4% | |
Piedmont Natural Gas Co. Inc. | 1,012,181 | 60,852 | 0.3% | |
NRG Energy Inc. | 3,931,664 | 58,936 | 0.3% | |
Great Plains Energy Inc. | 1,931,673 | 58,723 | 0.3% | |
Utilities—Other † | 887,787 | 4.6% | ||
1,625,165 | 8.4% | |||
Total Common Stocks (Cost $16,876,100) | 19,494,887 | 100.7%2 |
50
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 | 0.538% | 189,069,551 | 189,070 | 1.0% |
5,6U.S. Government and Agency Obligations † | 4,997 | 0.0% | ||
Total Temporary Cash Investments (Cost $194,066) | 194,067 | 1.0%2 | ||
7Total Investments (Cost $17,070,166) | 19,688,954 | 101.7% | ||
Amount | ||||
($000) | ||||
Other Assets and Liabilities | ||||
Other Assets | ||||
Investment in Vanguard | 1,533 | |||
Receivables for Investment Securities Sold | 1,182 | |||
Receivables for Accrued Income | 32,295 | |||
Receivables for Capital Shares Issued | 10,878 | |||
Other Assets | 623 | |||
Total Other Assets | 46,511 | 0.2% | ||
Liabilities | ||||
Payables for Investment Securities Purchased | (167,182) | |||
Collateral for Securities on Loan | (127,982) | |||
Payables for Capital Shares Redeemed | (62,265) | |||
Payables to Vanguard | (11,112) | |||
Other Liabilities | (1,794) | |||
Total Liabilities | (370,335) | (1.9%) | ||
Net Assets | 19,365,130 | 100.0% | ||
At June 30, 2016, net assets consisted of: | ||||
Amount | ||||
($000) | ||||
Paid-in Capital | 18,140,344 | |||
Undistributed Net Investment Income | 20,867 | |||
Accumulated Net Realized Losses | (1,414,894) | |||
Unrealized Appreciation (Depreciation) | ||||
Investment Securities | 2,618,788 | |||
Futures Contracts | 329 | |||
Swap Contracts | (304) | |||
Net Assets | 19,365,130 | |||
Investor Shares—Net Assets | ||||
Applicable to 77,174,910 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 1,948,187 | |||
Net Asset Value Per Share—Investor Shares | $25.24 | |||
ETF Shares—Net Assets | ||||
Applicable to 70,331,375 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 7,405,016 | |||
Net Asset Value Per Share—ETF Shares | $105.29 |
51
Small-Cap Value Index Fund | |
Amount | |
($000) | |
Admiral Shares—Net Assets | |
Applicable to 163,939,397 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 7,416,819 |
Net Asset Value Per Share—Admiral Shares | $45.24 |
Institutional Shares—Net Assets | |
Applicable to 102,623,512 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 2,595,108 |
Net Asset Value Per Share—Institutional Shares | $25.29 |
• 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 swap contracts. After giving
effect to futures and swap investments, the fund’s effective common stock and temporary cash investment positions represent 100.9% and
0.8%, 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 $127,982,000 of collateral received for securities on loan.
5 Securities with a value of $1,699,000 have been segregated as initial margin for open futures contracts.
6 Securities with a value of $1,853,000 have been segregated as collateral for open over-the-counter swap contracts.
7 The total value of securities on loan is $123,697,000.
See accompanying Notes, which are an integral part of the Financial Statements.
52
Small-Cap Value Index Fund | |
Statement of Operations | |
Six Months Ended | |
June 30, 2016 | |
($000) | |
Investment Income | |
Income | |
Dividends | 155,355 |
Interest1 | 137 |
Securities Lending | 6,584 |
Total Income | 162,076 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,251 |
Management and Administrative—Investor Shares | 1,424 |
Management and Administrative—ETF Shares | 1,543 |
Management and Administrative—Admiral Shares | 1,588 |
Management and Administrative—Institutional Shares | 540 |
Marketing and Distribution—Investor Shares | 227 |
Marketing and Distribution—ETF Shares | 189 |
Marketing and Distribution—Admiral Shares | 367 |
Marketing and Distribution—Institutional Shares | 34 |
Custodian Fees | 281 |
Shareholders’ Reports—Investor Shares | 46 |
Shareholders’ Reports—ETF Shares | 91 |
Shareholders’ Reports—Admiral Shares | 59 |
Shareholders’ Reports—Institutional Shares | 32 |
Trustees’ Fees and Expenses | 6 |
Total Expenses | 7,678 |
Net Investment Income | 154,398 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 58,795 |
Futures Contracts | 815 |
Swap Contracts | 611 |
Realized Net Gain (Loss) | 60,221 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 1,067,399 |
Futures Contracts | 440 |
Swap Contracts | (289) |
Change in Unrealized Appreciation (Depreciation) | 1,067,550 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,282,169 |
1 Interest income from an affiliated company of the fund was $127,000. | |
See accompanying Notes, which are an integral part of the Financial Statements. |
53
Small-Cap Value Index Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2016 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 154,398 | 310,189 |
Realized Net Gain (Loss) | 60,221 | 603,681 |
Change in Unrealized Appreciation (Depreciation) | 1,067,550 | (1,747,453) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,282,169 | (833,583) |
Distributions | ||
Net Investment Income | ||
Investor Shares | (12,018) | (37,107) |
ETF Shares | (45,206) | (109,974) |
Admiral Shares | (47,169) | (122,857) |
Institutional Shares | (16,990) | (46,306) |
Realized Capital Gain | ||
Investor Shares | — | — |
ETF Shares | — | — |
Admiral Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (121,383) | (316,244) |
Capital Share Transactions | ||
Investor Shares | (143,096) | (185,953) |
ETF Shares | 1,312,189 | 1,201,693 |
Admiral Shares | 490,869 | 1,133,431 |
Institutional Shares | 91,912 | 585,111 |
Net Increase (Decrease) from Capital Share Transactions | 1,751,874 | 2,734,282 |
Total Increase (Decrease) | 2,912,660 | 1,584,455 |
Net Assets | ||
Beginning of Period | 16,452,470 | 14,868,015 |
End of Period1 | 19,365,130 | 16,452,470 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $20,867,000 and ($12,759,000).
See accompanying Notes, which are an integral part of the Financial Statements.
54
Small-Cap Value Index Fund | ||||||
Financial Highlights | ||||||
Investor Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $23.69 | $25.34 | $23.33 | $17.40 | $15.04 | $16.01 |
Investment Operations | ||||||
Net Investment Income | .195 | .431 | .425 | . 394 | .428 | . 309 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.506 | (1.643) | 1.995 | 5.936 | 2.364 | (.974) |
Total from Investment Operations | 1.701 | (1.212) | 2.420 | 6.330 | 2.792 | (.665) |
Distributions | ||||||
Dividends from Net Investment Income | (.151) | (. 438) | (. 410) | (. 400) | (. 432) | (. 305) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.151) | (. 438) | (. 410) | (. 400) | (. 432) | (. 305) |
Net Asset Value, End of Period | $25.24 | $23.69 | $25.34 | $23.33 | $17.40 | $15.04 |
Total Return1 | 7.21% | -4.78% | 10.39% | 36.41% | 18.56% | -4.16% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,948 | $1,972 | $2,293 | $2,375 | $2,001 | $1,980 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.20% | 0.20% | 0.23% | 0.24% | 0.24% | 0.24% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.92% | 1.78% | 1.84% | 2.03% | 2.66% | 1.90% |
Portfolio Turnover Rate2 | 18% | 16% | 12% | 47% | 25% | 30% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
55
Small-Cap Value Index Fund | ||||||
Financial Highlights | ||||||
ETF Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $98.81 | $105.71 | $97.32 | $72.60 | $62.73 | $66.80 |
Investment Operations | ||||||
Net Investment Income | .874 | 1.933 | 1.933 | 1.796 | 1.896 | 1.393 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 6.293 | (6.870) | 8.326 | 24.742 | 9.877 | (4.083) |
Total from Investment Operations | 7.167 | (4.937) | 10.259 | 26.538 | 11.773 | (2.690) |
Distributions | ||||||
Dividends from Net Investment Income | (.687) | (1.963) | (1.869) | (1.818) | (1.903) | (1.380) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.687) | (1.963) | (1.869) | (1.818) | (1.903) | (1.380) |
Net Asset Value, End of Period | $105.29 | $98.81 | $105.71 | $97.32 | $72.60 | $62.73 |
Total Return | 7.29% | -4.67% | 10.55% | 36.57% | 18.78% | -4.05% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $7,405 | $5,679 | $4,874 | $3,908 | $2,281 | $1,755 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.09% | 0.09% | 0.10% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.04% | 1.90% | 1.98% | 2.18% | 2.80% | 2.04% |
Portfolio Turnover Rate1 | 18% | 16% | 12% | 47% | 25% | 30% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
56
Small-Cap Value Index Fund | |||||||
Financial Highlights | |||||||
Admiral Shares | |||||||
Six Months | Sept. 27, | ||||||
Ended | 20111 to | ||||||
Year Ended December 31, | |||||||
For a Share Outstanding | June 30, | Dec. 31, | |||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | |
Net Asset Value, Beginning of Period | $42.46 | $45.42 | $41.82 | $31.20 | $26.96 | $25.00 | |
Investment Operations | |||||||
Net Investment Income | . 376 | .830 | .831 | .773 | .814 | .196 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | 2.699 | (2.947) | 3.573 | 10.629 | 4.245 | 2.320 | |
Total from Investment Operations | 3.075 | (2.117) | 4.404 | 11.402 | 5.059 | 2.516 | |
Distributions | |||||||
Dividends from Net Investment Income | (. 295) | (. 843) | (. 804) | (.782) | (. 819) | (. 556) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (. 295) | (. 843) | (. 804) | (.782) | (. 819) | (. 556) | |
Net Asset Value, End of Period | $45.24 | $42.46 | $45.42 | $41.82 | $31.20 | $26.96 | |
Total Return2 | 7.27% | -4.65% | 10.55% | 36.58% | 18.77% | 10.05% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $7,417 | $6,467 | $5,775 | $4,371 | $2,563 | $1,941 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.08% | 0.08% | 0.09% | 0.09% | 0.10% | 0.10%3 | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 2.04% | 1.90% | 1.98% | 2.18% | 2.80% | 2.04%3 | |
Portfolio Turnover Rate 4 | 18% | 16% | 12% | 47% | 25% | 30% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about
any applicable account service fees.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
57
Small-Cap Value Index Fund | ||||||
Financial Highlights | ||||||
Institutional Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $23.73 | $25.39 | $23.37 | $17.44 | $15.07 | $16.04 |
Investment Operations | ||||||
Net Investment Income | . 211 | .465 | .467 | .434 | .459 | . 338 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.514 | (1.652) | 2.004 | 5.935 | 2.371 | (.973) |
Total from Investment Operations | 1.725 | (1.187) | 2.471 | 6.369 | 2.830 | (.635) |
Distributions | ||||||
Dividends from Net Investment Income | (.165) | (. 473) | (. 451) | (. 439) | (. 460) | (. 335) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.165) | (. 473) | (. 451) | (. 439) | (. 460) | (. 335) |
Net Asset Value, End of Period | $25.29 | $23.73 | $25.39 | $23.37 | $17.44 | $15.07 |
Total Return | 7.30% | -4.67% | 10.59% | 36.55% | 18.78% | -3.97% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,595 | $2,334 | $1,927 | $1,699 | $979 | $722 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.07% | 0.07% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.05% | 1.91% | 1.99% | 2.19% | 2.82% | 2.06% |
Portfolio Turnover Rate1 | 18% | 16% | 12% | 47% | 25% | 30% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
58
Small-Cap Value Index Fund
Notes to Financial Statements
Vanguard Small-Cap Value Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers four classes of shares: Investor Shares, ETF Shares, Admiral Shares, and Institutional Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. Admiral Shares and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
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 six months ended June 30, 2016, 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.
59
Small-Cap Value Index Fund
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 prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
During the six months ended June 30, 2016, the fund’s average amounts of investments in 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, 2012–2015), and for the period ended June 30, 2016, 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 subject to termination by the fund at any time, and 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
60
Small-Cap Value Index Fund
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 (“Vanguard”) participate in a $3.1 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 0.10% 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 based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at June 30, 2016, 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. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
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Small-Cap Value Index Fund
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At June 30, 2016, the fund had contributed to Vanguard capital in the amount of $1,533,000, representing 0.01% of the fund’s net assets and 0.61% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of June 30, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 19,493,691 | — | 1,196 |
Temporary Cash Investments | 189,070 | 4,997 | — |
Futures Contracts—Assets1 | 623 | — | — |
Swap Contracts—Liabilities | — | (304) | — |
Total | 19,683,384 | 4,693 | 1,196 |
1 Represents variation margin on the last day of the reporting period. |
D. At June 30, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
E-mini Russell 2000 Index | September 2016 | 158 | 18,129 | 155 |
E-mini S&P Mid-Cap 400 Index | September 2016 | 117 | 17,468 | 174 |
329 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
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Small-Cap Value Index Fund
At June 30, 2016, the fund had the following open total return swap contracts:
Floating | Unrealized | ||||
Notional | Interest Rate | Appreciation | |||
Termination | Amount | Received | (Depreciation) | ||
Reference Entity | Date | Counterparty | ($000) | (Paid) | ($000) |
Ambac Financial Group Inc. | 7/6/16 | GSCM | 3,195 | (0.446%) | (36) |
SLM Corp. | 8/18/16 | GSCM | 12,860 | (0.448%) | (268) |
(304) | |||||
GSCM—Goldman Sachs Capital Markets. |
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended June 30, 2016, the fund realized $244,290,000 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 $611,000 on swap contracts have been reclassified from accumulated net realized losses to undistributed net investment income.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2015, the fund had available capital losses totaling $1,229,284,000 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 $352,702,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, but must be used before any expiring loss carryforwards. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2016; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2016, the cost of investment securities for tax purposes was $17,074,777,000. Net unrealized appreciation of investment securities for tax purposes was $2,614,177,000, consisting of unrealized gains of $3,827,289,000 on securities that had risen in value since their purchase and $1,213,112,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2016, the fund purchased $4,184,342,000 of investment securities and sold $2,168,556,000 of investment securities, other than temporary cash investments. Purchases and sales include $1,920,539,000 and $622,228,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
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Small-Cap Value Index Fund
G. Capital share transactions for each class of shares were: | ||||
Six Months Ended | Year Ended | |||
June 30, 2016 | December 31, 2015 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 198,868 | 8,378 | 553,081 | 21,859 |
Issued in Lieu of Cash Distributions | 11,164 | 459 | 34,543 | 1,457 |
Redeemed | (353,128) | (14,898) | (773,577) | (30,550) |
Net Increase (Decrease)—Investor Shares | (143,096) | (6,061) | (185,953) | (7,234) |
ETF Shares | ||||
Issued | 1,942,532 | 19,001 | 3,498,833 | 33,427 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (630,343) | (6,150) | (2,297,140) | (22,050) |
Net Increase (Decrease)—ETF Shares | 1,312,189 | 12,851 | 1,201,693 | 11,377 |
Admiral Shares | ||||
Issued | 1,023,932 | 24,276 | 1,945,006 | 43,019 |
Issued in Lieu of Cash Distributions | 42,432 | 973 | 110,002 | 2,591 |
Redeemed | (575,495) | (13,632) | (921,577) | (20,420) |
Net Increase (Decrease)—Admiral Shares | 490,869 | 11,617 | 1,133,431 | 25,190 |
Institutional Shares | ||||
Issued | 405,265 | 17,247 | 1,034,933 | 40,325 |
Issued in Lieu of Cash Distributions | 15,611 | 641 | 42,411 | 1,788 |
Redeemed | (328,964) | (13,630) | (492,233) | (19,662) |
Net Increase (Decrease) —Institutional Shares | 91,912 | 4,258 | 585,111 | 22,451 |
H. Management has determined that no material events or transactions occurred subsequent to June 30, 2016, that would require recognition or disclosure in these financial statements.
64
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
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Six Months Ended June 30, 2016 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
12/31/2015 | 6/30/2016 | Period | |
Based on Actual Fund Return | |||
Small-Cap Index Fund | |||
Investor Shares | $1,000.00 | $1,049.62 | $0.97 |
ETF Shares | 1,000.00 | 1,050.29 | 0.36 |
Admiral Shares | 1,000.00 | 1,050.19 | 0.36 |
Institutional Shares | 1,000.00 | 1,050.25 | 0.31 |
Institutional Plus Shares | 1,000.00 | 1,050.46 | 0.25 |
Small-Cap Growth Index Fund | |||
Investor Shares | $1,000.00 | $1,023.04 | $1.01 |
ETF Shares | 1,000.00 | 1,023.59 | 0.40 |
Admiral Shares | 1,000.00 | 1,023.71 | 0.40 |
Institutional Shares | 1,000.00 | 1,023.62 | 0.35 |
Small-Cap Value Index Fund | |||
Investor Shares | $1,000.00 | $1,072.06 | $1.03 |
ETF Shares | 1,000.00 | 1,072.86 | 0.41 |
Admiral Shares | 1,000.00 | 1,072.70 | 0.41 |
Institutional Shares | 1,000.00 | 1,072.97 | 0.36 |
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Six Months Ended June 30, 2016 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
12/31/2015 | 6/30/2016 | Period | |
Based on Hypothetical 5% Yearly Return | |||
Small-Cap Index Fund | |||
Investor Shares | $1,000.00 | $1,023.92 | $0.96 |
ETF Shares | 1,000.00 | 1,024.52 | 0.35 |
Admiral Shares | 1,000.00 | 1,024.52 | 0.35 |
Institutional Shares | 1,000.00 | 1,024.57 | 0.30 |
Institutional Plus Shares | 1,000.00 | 1,024.61 | 0.25 |
Small-Cap Growth Index Fund | |||
Investor Shares | $1,000.00 | $1,023.87 | $1.01 |
ETF Shares | 1,000.00 | 1,024.47 | 0.40 |
Admiral Shares | 1,000.00 | 1,024.47 | 0.40 |
Institutional Shares | 1,000.00 | 1,024.52 | 0.35 |
Small-Cap Value Index Fund | |||
Investor Shares | $1,000.00 | $1,023.87 | $1.01 |
ETF Shares | 1,000.00 | 1,024.47 | 0.40 |
Admiral Shares | 1,000.00 | 1,024.47 | 0.40 |
Institutional Shares | 1,000.00 | 1,024.52 | 0.35 |
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, 0.19% for Investor Shares, 0.07% for ETF Shares, 0.07% for Admiral Shares, 0.06% for Institutional Shares, and 0.05% for Institutional Plus Shares; for the Small-Cap Growth Index Fund, 0.20% for Investor Shares, 0.08% for ETF Shares, 0.08% for Admiral Shares, and 0.07% for Institutional Shares; and for the Small-Cap Value Index Fund, 0.20% for Investor Shares, 0.08% for ETF Shares, 0.08% for Admiral Shares, and 0.07% for Institutional 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 (182/366).
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Trustees Approve Advisory Arrangements
The board of trustees of Vanguard Small-Cap Index Fund, Small-Cap Growth Index Fund, and Small-Cap Value Index Fund has renewed each fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard)—through its Equity Index Group. The board determined that continuing the funds’ internalized management structure was in the best interests of each fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangements. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board reviewed the quality of each fund’s investment management services over both the short and long term, and took into account the organizational depth and stability of the advisor. The board considered that Vanguard has been managing investments for more than three decades. The Equity Index Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of each advisory arrangement.
Investment performance
The board considered the short- and long-term performance of each fund, including any periods of outperformance or underperformance relative to a target index and peer group. The board concluded that the performance was such that each advisory arrangement should continue. Information about the funds’ most recent performance can be found on the Performance Summary pages of this report.
Cost
The board concluded that each fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that each fund’s advisory fee rate was also well below its peer-group average. Information about the funds’ expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements sections.
The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that each fund’s at-cost arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangements again after a one-year period.
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Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
Dividend Yield. Dividend income earned by stocks, expressed as a percentage of the aggregate market value (or of net asset value, for a fund). The yield is determined by dividing the amount of the annual dividends by the aggregate value (or net asset value) at the end of the period. For a fund, the dividend yield is based solely on stock holdings and does not include any income produced by other investments.
Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund.
Equity Exposure. A measure that reflects a fund’s investments in stocks and stock futures. Any holdings in short-term reserves are excluded.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Foreign Holdings. The percentage of a fund represented by securities or depositary receipts of companies based outside the United States.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it.
Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds.
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Price/Earnings Ratio. The ratio of a stock’s current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company’s future growth.
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
Return on Equity. The annual average rate of return generated by a company during the past five years for each dollar of shareholder’s equity (net income divided by shareholder’s equity). For a fund, the weighted average return on equity for the companies whose stocks it holds.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Turnover Rate. An indication of the fund’s trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors). The turnover rate excludes in-kind transactions, which have minimal impact on costs.
Benchmark Information
Spliced 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.
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 198 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 and Other Experience: 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 and Other |
Experience: Executive Chief Staff and Marketing |
Officer for North America and Corporate Vice President |
(retired 2008) of Xerox Corporation (document manage- |
ment products and services); Executive in Residence |
and 2009–2010 Distinguished Minett Professor at |
the Rochester Institute of Technology; Lead Director |
of SPX FLOW, Inc. (multi-industry manufacturing); |
Director of the United Way of Rochester, the University |
of Rochester Medical Center, Monroe Community |
College Foundation, North Carolina A&T University, |
and Roberts Wesleyan College. |
Rajiv L. Gupta |
Born 1945. Trustee Since December 2001.2 Principal |
Occupation(s) During the Past Five Years and Other |
Experience: Chairman and Chief Executive Officer |
(retired 2009) and President (2006–2008) of |
Rohm and Haas Co. (chemicals); Director of Tyco |
International plc (diversified manufacturing and |
services), HP Inc. (printer and personal computer |
manufacturing), and Delphi Automotive plc |
(automotive components); Senior Advisor at |
New Mountain Capital. |
Amy Gutmann |
Born 1949. Trustee Since June 2006. Principal |
Occupation(s) During the Past Five Years and |
Other Experience: 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 and |
Other Experience: 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) and the Robert Wood |
Johnson Foundation; Member of the Advisory |
Board of the Institute for Women’s Leadership |
at Rutgers University. |
F. Joseph Loughrey |
Born 1949. Trustee Since October 2009. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: 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 and Other |
Experience: Senior Vice President and Chief Financial |
Officer (retired 2013) at IBM (information technology |
services); Fiduciary Member of IBM’s Retirement Plan |
Committee (2004–2013); Director of the Dow Chemical |
Company; Member of the Council on Chicago Booth. |
Scott C. Malpass |
Born 1962. Trustee Since March 2012. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: 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, the Board of Advisors |
for Spruceview Capital Partners, and the Investment |
Advisory Committee of Major League Baseball; Board |
Member of TIFF Advisory Services, Inc., and Catholic |
Investment Services, Inc. (investment advisors). |
André F. Perold |
Born 1952. Trustee Since December 2004. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: 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. |
Peter F. Volanakis |
Born 1955. Trustee Since July 2009. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: President and Chief Operating Officer |
(retired 2010) of Corning Incorporated (communications |
equipment); Trustee of Colby-Sawyer College and |
Chairman of its Finance and Enrollment Committee; |
Member of the Advisory Board of the Norris Cotton |
Cancer Center. |
Executive Officers | |
Glenn Booraem | |
Born 1967. Treasurer Since May 2015. Principal | |
Occupation(s) During the Past Five Years and | |
Other Experience: Principal of The Vanguard Group, | |
Inc.; Treasurer of each of the investment companies | |
served by The Vanguard Group; Controller of each of | |
the investment companies served by The Vanguard | |
Group (2010–2015); 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 and Other Experience: 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). | |
Peter Mahoney | |
Born 1974. Controller Since May 2015. Principal | |
Occupation(s) During the Past Five Years and | |
Other Experience: Head of Global Fund Accounting | |
at The Vanguard Group, Inc.; Controller of each of the | |
investment companies served by The Vanguard Group; | |
Head of International Fund Services at The Vanguard | |
Group (2008–2014). | |
Heidi Stam | |
Born 1956. Secretary Since July 2005. Principal | |
Occupation(s) During the Past Five Years and Other | |
Experience: 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 | James M. Norris |
Kathleen C. Gubanich | Thomas M. Rampulla |
Martha G. King | Glenn W. Reed |
John T. Marcante | Karin A. Risi |
Chris D. McIsaac | Michael Rollings |
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 email addressed to | |
publicinfo@sec.gov or via regular mail addressed to the | |
Public Reference Section, Securities and Exchange | |
Commission, Washington, DC 20549-1520. | |
© 2016 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q482 082016 |
![](https://capedge.com/proxy/N-CSRS/0000932471-16-014112/usstockindexfundsmid-capx1x1.jpg)
Semiannual Report | June 30, 2016
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
Vanguard’s Principles for Investing Success
We want to give you the best chance of investment success. These principles, grounded in Vanguard’s research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds. Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 4 |
Extended Market Index Fund. | 9 |
Mid-Cap Index Fund. | 30 |
Mid-Cap Growth Index Fund. | 51 |
Mid-Cap Value Index Fund. | 67 |
About Your Fund’s Expenses. | 83 |
Trustees Approve Advisory Arrangements. | 86 |
Glossary. | 87 |
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: Pictured is a sailing block on the Brilliant, a 1932 schooner docked in Mystic, Connecticut. A type of pulley, the sailing block helps coordinate the setting of the sails. At Vanguard, the intricate coordination of technology and people allows us to help millions of clients around the world reach their financial goals.
Your Fund’s Total Returns | |
Six Months Ended June 30, 2016 | |
Total | |
Returns | |
Vanguard Extended Market Index Fund | |
Investor Shares | 2.45% |
ETF Shares | |
Market Price | 2.57 |
Net Asset Value | 2.52 |
Admiral™ Shares | 2.52 |
Institutional Shares | 2.53 |
Institutional Plus Shares | 2.54 |
Institutional Select Shares (Inception: 6/27/2016) | 5.73 |
S&P Completion Index | 2.44 |
Mid-Cap Core Funds Average | 3.65 |
Mid-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
Vanguard Mid-Cap Index Fund | |
Investor Shares | 3.45% |
ETF Shares | |
Market Price | 3.53 |
Net Asset Value | 3.53 |
Admiral Shares | 3.52 |
Institutional Shares | 3.53 |
Institutional Plus Shares | 3.53 |
CRSP US Mid Cap Index | 3.52 |
Mid-Cap Core Funds Average | 3.65 |
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, Institutional Plus Shares, and Institutional Select Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the NYSE Arca exchange and are available only through brokers. The table provides ETF returns based on both the NYSE Arca market price and the net asset value for a share. U.S. Pat. Nos. 6,879,964; 7,337,138; 7,720,749; 7,925,573; 8,090,646; and 8,417,623.
1
Your Fund’s Total Returns | |
Six Months Ended June 30, 2016 | |
Total | |
Returns | |
Vanguard Mid-Cap Growth Index Fund | |
Investor Shares | 2.46% |
ETF Shares | |
Market Price | 2.50 |
Net Asset Value | 2.50 |
Admiral Shares | 2.49 |
CRSP US Mid Cap Growth Index | 2.51 |
Mid-Cap Growth Funds Average | 0.13 |
Mid-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
Vanguard Mid-Cap Value Index Fund | |
Investor Shares | 4.38% |
ETF Shares | |
Market Price | 4.46 |
Net Asset Value | 4.46 |
Admiral Shares | 4.47 |
CRSP US Mid Cap Value Index | 4.44 |
Mid-Cap Value Funds Average | 5.03 |
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, Institutional Plus Shares, and Institutional Select 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, 2015, Through June 30, 2016 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Extended Market Index Fund | ||||
Investor Shares | $63.61 | $64.80 | $0.357 | $0.000 |
ETF Shares | 83.80 | 85.37 | 0.525 | 0.000 |
Admiral Shares | 63.58 | 64.77 | 0.399 | 0.000 |
Institutional Shares | 63.58 | 64.77 | 0.405 | 0.000 |
Institutional Plus Shares | 156.89 | 159.83 | 1.017 | 0.000 |
Institutional Select Shares (Inception: | ||||
6/27/2016) | 98.43 | 104.07 | 0.000 | 0.000 |
Vanguard Mid-Cap Index Fund | ||||
Investor Shares | $32.79 | $33.73 | $0.186 | $0.000 |
ETF Shares | 120.07 | 123.54 | 0.751 | 0.000 |
Admiral Shares | 148.72 | 153.01 | 0.929 | 0.000 |
Institutional Shares | 32.85 | 33.80 | 0.206 | 0.000 |
Institutional Plus Shares | 162.03 | 166.70 | 1.032 | 0.000 |
Vanguard Mid-Cap Growth Index Fund | ||||
Investor Shares | $39.22 | $40.08 | $0.100 | $0.000 |
ETF Shares | 99.75 | 101.92 | 0.314 | 0.000 |
Admiral Shares | 42.94 | 43.87 | 0.134 | 0.000 |
Vanguard Mid-Cap Value Index Fund | ||||
Investor Shares | $33.86 | $35.06 | $0.278 | $0.000 |
ETF Shares | 85.99 | 89.05 | 0.755 | 0.000 |
Admiral Shares | 44.54 | 46.13 | 0.390 | 0.000 |
3
![](https://capedge.com/proxy/N-CSRS/0000932471-16-014112/usstockindexfundsmid-capx6x1.jpg)
Chairman’s Letter
Dear Shareholder,
Despite periods of extreme volatility, U.S. stocks produced solid returns for the first half of 2016. In general, mid-capitalization value stocks exceeded their growth counterparts.
For the six months ended June 30, 2016, the three Vanguard Mid-Cap Index Funds delivered returns ranging from 2.46% for Vanguard Mid-Cap Growth Index Fund to 4.38% for Vanguard Mid-Cap Value Index Fund. Vanguard Extended Market Index Fund, which includes both small- and mid-cap holdings, returned 2.45%. (All returns cited are for Investor Shares.)
Each of the four funds covered in this report closely tracked its target benchmark. All but the Mid-Cap Growth Index Fund trailed the average return of their peers.
On a separate note, the Extended Market Index Fund’s Institutional Select share class was launched on June 27. With an expense ratio of 0.01%, the new share class is part of our ongoing efforts to reduce the cost of indexing.
Stocks waxed and waned through periods of turbulence
The broad U.S. stock market fell sharply early in 2016 as concerns about China’s slower growth, weak inflation, and falling commodity prices rattled investors’ confidence. Markets rebounded in
4
March as oil prices stabilized and investors cheered the Federal Reserve’s decision to scale back its plan for interest rate hikes this year.
United Kingdom voters approved leaving the European Union toward the end of the half year. In reaction, global stock markets plunged then rose. The markets already were jittery before the June 23 “Brexit” vote. But volatility spiked afterward, as investors digested the significant global economic implications and the likelihood of extended uncertainty while the separation is carried out.
The broad U.S. stock market returned roughly 4% for the six months. U.S. stocks slid on news of the referendum’s outcome but quickly reversed. Worries about Brexit’s effect on trade and global economic growth seemed to diminish as expectations increased that major central banks would be responsive to any fallout.
International stocks had a rougher time, returning about –1%. European stocks in particular suffered as the lead-up to the referendum and subsequent uncertainty hit closer to home. Developed Pacific markets also retreated. Emerging-market stocks were a bright spot, returning nearly 8%.
Market Barometer | |||
Total Returns | |||
Periods Ended June 30, 2016 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 3.74% | 2.93% | 11.88% |
Russell 2000 Index (Small-caps) | 2.22 | -6.73 | 8.35 |
Russell 3000 Index (Broad U.S. market) | 3.62 | 2.14 | 11.60 |
FTSE All-World ex US Index (International) | -0.92 | -9.75 | 0.49 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | 5.31% | 6.00% | 3.76% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 4.33 | 7.65 | 5.33 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.11 | 0.14 | 0.05 |
CPI | |||
Consumer Price Index | 1.91% | 1.01% | 1.32% |
5
Bonds rolled to strong returns as investors weighed options
The broad U.S. bond market returned 5.31% as investors sought safe-haven assets amid questionable global economic growth, low inflation, and stock market volatility. Exceptionally low or negative yields abroad attracted foreign investors to U.S. Treasury debt. The yield of the 10-year Treasury note closed at 1.47% at the end of June, down from 2.30% at the end of December. (Bond prices and yields move in opposite directions.)
The Fed has held its target for short-term interest rates steady since raising it by a quarter of a percentage point in December. During the period, the 0.25%–0.5% rate remained historically low and continued to curb returns for money market funds and savings accounts.
International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned 11.94%. Counter to recent trends, a number of foreign currencies strengthened against the dollar, but returns were solid even without this currency benefit.
Expense Ratios | |||||||
Your Fund Compared With Its Peer Group | |||||||
Peer | |||||||
Investor | ETF | Admiral | Institutional | Institutional | Institutional | Group | |
Shares | Shares | Shares | Shares | Plus Shares | Select Shares | Average | |
Extended Market Index | |||||||
Fund | 0.22% | 0.09% | 0.09% | 0.07% | 0.05% | 0.02% | 1.18% |
Mid-Cap Index Fund | 0.20 | 0.08 | 0.08 | 0.07 | 0.05 | — | 1.18 |
Mid-Cap Growth Index | |||||||
Fund | 0.20 | 0.08 | 0.08 | — | — | — | 1.31 |
Mid-Cap Value Index Fund | 0.20 | 0.08 | 0.08 | — | — | — | 1.25 |
The fund expense ratios shown are from the prospectus dated April 27, 2016, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2016, the funds’ annualized expense ratios were: for the Extended Market Index Fund, 0.22% for Investor Shares, 0.09% for ETF Shares, 0.09% for Admiral Shares, 0.07% for Institutional Shares, 0.05% for Institutional Plus Shares, and 0.01% for Institutional Select Shares (since inception); for the Mid-Cap Index Fund, 0.19% for Investor Shares, 0.07% for ETF Shares, 0.07% for Admiral Shares, 0.06% for Institutional Shares, and 0.05% for Institutional Plus Shares; for the Mid-Cap Growth Index Fund, 0.20% for Investor Shares, 0.08% for ETF Shares, and 0.08% for Admiral Shares; and for the Mid-Cap Value Index Fund, 0.20% for Investor Shares, 0.08% for ETF Shares, and 0.08% for Admiral Shares. The peer-group expense ratios are derived from data provided by Lipper, a Thomson Reuters Company, and capture information through year-end 2015.
Peer groups: For the Extended Market and Mid-Cap Index Funds, Mid-Cap Core Funds; for the Mid-Cap Growth Index Fund, Mid-Cap Growth Funds; and for the Mid-Cap Value Index Fund, Mid-Cap Value Funds.
6
In the mid-cap arena, value stocks prevailed
An uncertain stock market environment combined with lackluster economic growth and interest rates near record lows led anxious investors to gravitate toward value stocks. These stocks are often attractively priced and tend to offer relatively strong dividends.
This is a reversal from a year ago, when growth stocks trumped value. As you probably know, these two categories periodically swap leadership positions. That’s why we encourage investors to hold a broadly diversified portfolio, with exposure to all segments of the market—including both growth and value stocks, regardless of which category is in favor.
Robust returns for utilities stocks helped give value shares the edge in the half year. Considered less volatile than the broad market and often paying good dividends, utilities were the period’s best performers. The Mid-Cap Value Index Fund and Mid-Cap Index Fund, which had the heaviest weighting in the sector, benefited most.
Consumer goods and basic materials stocks also contributed to the Mid-Cap Value Index Fund’s lead. Food producers and household product makers boosted consumer goods stocks. Basic materials stocks, which had been battered by falling commodity prices earlier in the period, rebounded with the recent rise in prices, especially in mining and metals.
Industrials and financials were among the top contributors to the Mid-Cap Growth Index Fund and the Extended Market Index Fund. Industrial stocks stood out as companies benefited from improvements in oil prices, U.S. manufacturing, and the continued strength of U.S. residential construction. Although financials were among the worst performers in the broad U.S. stock market, the two funds benefited from this sector because of their heavy allocation to real estate investment trusts (REITs). Falling interest rates have helped make REITs more attractive.
Health care, technology, and consumer services-related stocks detracted from the performance of most of the funds. In health care, biotechnology and pharmaceuticals slid amid concerns that future profitability might be affected by increased regulatory pressures. In technology, internet and software and computer services firms experienced weakness in a slow growth environment. Retailers and travel and leisure providers were hit hardest in consumer services.
7
A dose of discipline is crucial when markets become volatile
The heightened volatility in capital markets that surrounded the Brexit vote reminds us that nobody can control the direction of the markets or reliably predict where they’ll go in the short term. However, investors can control how they react to unstable and turbulent markets.
During periods of market adversity, it’s more important than ever to keep sight of one of Vanguard’s key principles: Maintain perspective and long-term discipline. Whether you’re investing for yourself or on behalf of clients, your success is affected greatly by how you respond—or don’t respond—during turbulent markets. (You can read Vanguard’s Principles for Investing Success at vanguard.com/research.)
As I’ve written in the past, the best course for long-term investors is generally to ignore daily market moves and not make decisions based on emotion. This is also a good time to evaluate your portfolio and make sure your asset allocation is aligned with your time horizon, goals, and risk tolerance.
The markets are unpredictable and often confounding. Keeping your long-term plans clearly in focus can help you weather these periodic storms.
As always, thank you for investing with Vanguard.
Sincerely,
![](https://capedge.com/proxy/N-CSRS/0000932471-16-014112/usstockindexfundsmid-cax10x1.jpg)
F. William McNabb III
Chairman and Chief Executive Officer
July 18, 2016
8
Extended Market Index Fund | ||||||
Fund Profile | ||||||
As of June 30, 2016 | ||||||
Share-Class Characteristics | ||||||
Institutional | ||||||
Investor | ETF | Admiral | Institutional | Institutional | Select | |
Shares | Shares | Shares | Shares | Plus Shares | Shares | |
Ticker Symbol | VEXMX | VXF | VEXAX | VIEIX | VEMPX | VSEMX |
Expense Ratio1 | 0.22% | 0.09% | 0.09% | 0.07% | 0.05% | 0.02% |
30-Day SEC Yield | 1.29% | 1.42% | 1.42% | 1.44% | 1.45% | — |
Portfolio Characteristics | |||
DJ | |||
U.S. | |||
S&P | Total | ||
Completion | Market | ||
Fund | Index FA Index | ||
Number of Stocks | 3,275 | 3,332 | 3,863 |
Median Market Cap | $3.5B | $3.6B | $53.0B |
Price/Earnings Ratio | 34.0x | 33.9x | 22.0x |
Price/Book Ratio | 2.3x | 2.3x | 2.7x |
Return on Equity | 11.6% | 11.6% | 16.5% |
Earnings Growth | |||
Rate | 9.9% | 9.8% | 7.3% |
Dividend Yield | 1.5% | 1.5% | 2.1% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 14% | — | — |
Short-Term | |||
Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure)
DJ | |||
S&P | U.S.Total | ||
Completion | Market | ||
Fund | Index | FA Index | |
Consumer Discretionary 15.3% | 15.2% | 12.9% | |
Consumer Staples | 3.6 | 3.6 | 9.3 |
Energy | 3.8 | 3.8 | 6.7 |
Financials | 25.8 | 25.7 | 17.5 |
Health Care | 11.9 | 11.9 | 14.2 |
Industrials | 12.6 | 12.5 | 10.6 |
Information Technology | 16.7 | 16.6 | 19.2 |
Materials | 5.1 | 5.3 | 3.3 |
Telecommunication | |||
Services | 1.3 | 1.3 | 2.6 |
Utilities | 3.9 | 4.1 | 3.7 |
Volatility Measures | ||
DJ | ||
S&P | U.S. Total | |
Completion | Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.86 |
Beta | 1.00 | 1.11 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
Ten Largest Holdings (% of total net assets)
Charter Communications | ||
Inc. | Cable & Satellite | 1.3% |
Liberty Global plc | Cable & Satellite | 0.7 |
Tesla Motors Inc. | Automobile | |
Manufacturers | 0.6 | |
LinkedIn Corp. | Internet Software & | |
Services | 0.6 | |
Las Vegas Sands Corp. | Casinos & Gaming | 0.4 |
Incyte Corp. | Biotechnology | 0.4 |
SBA Communications | Integrated | |
Corp. | Telecommunication | |
Services | 0.3 | |
Markel Corp. | Property & Casualty | |
Insurance | 0.3 | |
BioMarin Pharmaceutical | ||
Inc. | Biotechnology | 0.3 |
T-Mobile US Inc. | Wireless | |
Telecommunication | ||
Services | 0.3 | |
Top Ten | 5.2% |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratios shown are from the prospectus dated April 27, 2016, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2016, the annualized expense ratios were 0.22% for Investor Shares, 0.09% for ETF Shares, 0.09% for Admiral Shares, 0.07% for Institutional Shares, 0.05% for Institutional Plus Shares, and 0.01% for Institutional Select Shares (since inception).
Note: The Institutional Select Shares’ 30-day SEC yield is not reported until 30 days after the share class inception.
9
Extended Market Index Fund
![](https://capedge.com/proxy/N-CSRS/0000932471-16-014112/usstockindexfundsmid-cax12x1.jpg)
10
Extended Market Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
![](https://capedge.com/proxy/N-CSRS/0000932471-16-014112/usstockindexfundsmid-cax13x1.jpg)
Extended Market Index Fund Investor Shares |
S&P Completion Index |
Note: For 2016, performance data reflect the six months ended June 30, 2016. |
Average Annual Total Returns: Periods Ended June 30, 2016 | ||||
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 12/21/1987 | -5.53% | 9.27% | 7.33% |
ETF Shares | 12/27/2001 | |||
Market Price | -5.36 | 9.43 | 7.51 | |
Net Asset Value | -5.40 | 9.42 | 7.48 | |
Admiral Shares | 11/13/2000 | -5.41 | 9.42 | 7.48 |
Institutional Shares | 7/7/1997 | -5.38 | 9.44 | 7.51 |
Institutional Plus Shares | 1/14/2011 | -5.37 | 9.46 | 9.451 |
Institutional Select Shares | 6/27/2016 | — | — | 5.731 |
1 Return since inception. |
See Financial Highlights for dividend and capital gains information.
11
Extended Market Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of June 30, 2016
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 | ||||
* | Charter Communications Inc. Class A | 2,452,236 | 560,679 | 1.3% |
*,^ | Tesla Motors Inc. | 1,273,409 | 270,319 | 0.6% |
* | Liberty Global plc | 8,589,990 | 246,103 | 0.6% |
Las Vegas Sands Corp. | 4,145,733 | 180,298 | 0.4% | |
* | DISH Network Corp. Class A | 2,552,004 | 133,725 | 0.3% |
Hilton Worldwide Holdings Inc. | 5,908,464 | 133,118 | 0.3% | |
* | MGM Resorts International | 5,348,204 | 121,030 | 0.3% |
Autoliv Inc. | 998,672 | 107,307 | 0.2% | |
* | lululemon athletica Inc. | 1,239,749 | 91,568 | 0.2% |
*,^ | Sirius XM Holdings Inc. | 23,102,176 | 91,254 | 0.2% |
Consumer Discretionary—Other † | 4,813,687 | 10.9% | ||
6,749,088 | 15.3% | |||
Consumer Staples | ||||
Ingredion Inc. | 812,058 | 105,088 | 0.2% | |
Bunge Ltd. | 1,582,487 | 93,604 | 0.2% | |
* | WhiteWave Foods Co. Class A | 1,991,561 | 93,484 | 0.2% |
Consumer Staples—Other † | 1,311,033 | 3.0% | ||
1,603,209 | 3.6% | |||
Energy | ||||
* | Cheniere Energy Inc. | 2,677,709 | 100,548 | 0.2% |
Energy—Other † | 1,582,710 | 3.6% | ||
1,683,258 | 3.8% | |||
Financials | ||||
* | Markel Corp. | 157,727 | 150,279 | 0.3% |
Annaly Capital Management Inc. | 10,311,604 | 114,149 | 0.3% | |
First Republic Bank | 1,608,667 | 112,591 | 0.3% | |
Duke Realty Corp. | 3,887,580 | 103,643 | 0.2% | |
VEREIT Inc. | 10,165,532 | 103,079 | 0.2% | |
* | Arch Capital Group Ltd. | 1,387,018 | 99,865 | 0.2% |
* | Alleghany Corp. | 173,128 | 95,148 | 0.2% |
12
Extended Market Index Fund | |||
Market | Percentage | ||
Value• | of Net | ||
Shares | ($000) | Assets | |
Regency Centers Corp. | 1,105,488 | 92,563 | 0.2% |
Mid-America Apartment Communities Inc. | 853,006 | 90,760 | 0.2% |
Financials—Other † | 10,421,758 | 23.6% | |
11,383,835 | 25.7% | ||
Health Care | |||
* Incyte Corp. | 1,936,669 | 154,895 | 0.4% |
* BioMarin Pharmaceutical Inc. | 1,833,117 | 142,617 | 0.3% |
* Medivation Inc. | 1,863,559 | 112,373 | 0.3% |
* Mettler-Toledo International Inc. | 301,639 | 110,074 | 0.3% |
ResMed Inc. | 1,591,463 | 100,628 | 0.2% |
* Jazz Pharmaceuticals plc | 683,909 | 96,643 | 0.2% |
Cooper Cos. Inc. | 548,828 | 94,162 | 0.2% |
* IDEXX Laboratories Inc. | 1,009,558 | 93,748 | 0.2% |
Health Care—Other † | 4,356,488 | 9.8% | |
5,261,628 | 11.9% | ||
Industrials | |||
Huntington Ingalls Industries Inc. | 529,853 | 89,031 | 0.2% |
Industrials—Other † | 5,451,738 | 12.3% | |
5,540,769 | 12.5% | ||
Information Technology | |||
* LinkedIn Corp. Class A | 1,338,080 | 253,232 | 0.6% |
* FleetCor Technologies Inc. | 878,642 | 125,760 | 0.3% |
* Twitter Inc. | 6,935,867 | 117,286 | 0.3% |
* ServiceNow Inc. | 1,739,755 | 115,520 | 0.3% |
Maxim Integrated Products Inc. | 3,211,640 | 114,623 | 0.3% |
* Palo Alto Networks Inc. | 863,955 | 105,955 | 0.2% |
* Vantiv Inc. Class A | 1,781,410 | 100,828 | 0.2% |
* Workday Inc. Class A | 1,335,947 | 99,755 | 0.2% |
CDK Global Inc. | 1,762,566 | 97,805 | 0.2% |
* Synopsys Inc. | 1,715,782 | 92,789 | 0.2% |
* Gartner Inc. | 934,334 | 91,013 | 0.2% |
* ANSYS Inc. | 997,114 | 90,488 | 0.2% |
Information Technology—Other † | 5,930,729 | 13.4% | |
7,335,783 | 16.6% | ||
Materials | |||
Celanese Corp. Class A | 1,653,848 | 108,244 | 0.2% |
Valspar Corp. | 823,717 | 88,986 | 0.2% |
Materials—Other † | 2,059,952 | 4.7% | |
2,257,182 | 5.1% | ||
1Other † | 3,697 | 0.0% | |
Telecommunication Services | |||
* SBA Communications Corp. Class A | 1,421,987 | 153,489 | 0.4% |
* T-Mobile US Inc. | 3,165,291 | 136,962 | 0.3% |
Telecommunication Services—Other † | 270,471 | 0.6% | |
560,922 | 1.3% | ||
Utilities | |||
Atmos Energy Corp. | 1,144,131 | 93,041 | 0.2% |
Westar Energy Inc. Class A | 1,610,896 | 90,355 | 0.2% |
Utilities—Other † | 1,526,651 | 3.5% | |
1,710,047 | 3.9% | ||
Total Common Stocks (Cost $37,899,085) | 44,089,418 | 99.7%2 |
13
Extended Market Index Fund | ||||
Market | Percentage | |||
Value• | of Net | |||
Coupon | Shares | ($000) | Assets | |
Temporary Cash Investments | ||||
Money Market Fund | ||||
3,4 Vanguard Market Liquidity Fund | 0.538% | 800,896,751 | 800,897 | 1.8% |
5U.S. Government and Agency Obligations † | 6,996 | 0.0% | ||
Total Temporary Cash Investments (Cost $807,891) | 807,893 | 1.8%2 | ||
Total Investments (Cost $38,706,976) | 44,897,311 | 101.5% | ||
Amount | ||||
($000) | ||||
Other Assets and Liabilities | ||||
Other Assets | ||||
Investment in Vanguard | 3,637 | |||
Receivables for Investment Securities Sold | 2,649 | |||
Receivables for Accrued Income | 56,649 | |||
Receivables for Capital Shares Issued | 245,152 | |||
Other Assets | 8,158 | |||
Total Other Assets | 316,245 | 0.7% | ||
Liabilities | ||||
Payables for Investment Securities Purchased | (36,435) | |||
Collateral for Securities on Loan | (661,231) | |||
Payables for Capital Shares Redeemed | (253,386) | |||
Payables to Vanguard | (25,955) | |||
Other Liabilities | (272) | |||
Total Liabilities | (977,279) | (2.2%) | ||
Net Assets | 44,236,277 | 100.0% | ||
At June 30, 2016, net assets consisted of: | ||||
Amount | ||||
($000) | ||||
Paid-in Capital | 38,775,638 | |||
Undistributed Net Investment Income | 19,124 | |||
Accumulated Net Realized Losses | (749,348) | |||
Unrealized Appreciation (Depreciation) | ||||
Investment Securities | 6,190,335 | |||
Futures Contracts | 562 | |||
Swap Contracts | (34) | |||
Net Assets | 44,236,277 | |||
Investor Shares—Net Assets | ||||
Applicable to 29,865,402 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 1,935,305 | |||
Net Asset Value Per Share—Investor Shares | $64.80 | |||
ETF Shares—Net Assets | ||||
Applicable to 44,441,497 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 3,794,176 | |||
Net Asset Value Per Share—ETF Shares | $85.37 |
14
Extended Market Index Fund | |
Amount | |
($000) | |
Admiral Shares—Net Assets | |
Applicable to 211,682,075 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 13,710,610 |
Net Asset Value Per Share—Admiral Shares | $64.77 |
Institutional Shares—Net Assets | |
Applicable to 137,817,242 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 8,926,041 |
Net Asset Value Per Share—Institutional Shares | $64.77 |
Institutional Plus Shares—Net Assets | |
Applicable to 92,421,241 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 14,771,521 |
Net Asset Value Per Share—Institutional Plus Shares | $159.83 |
Institutional Select Shares—Net Assets | |
Applicable to 10,556,833 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 1,098,624 |
Net Asset Value Per Share—Institutional Select Shares | $104.07 |
• 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 $623,315,000.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent
1% or less of net assets.
1 “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 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
1.5%, 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 $661,231,000 of collateral received for securities on loan.
5 Securities with a value of $6,347,000 have been segregated as initial margin for open futures contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
15
Extended Market Index Fund | |
Statement of Operations | |
Six Months Ended | |
June 30, 2016 | |
($000) | |
Investment Income | |
Income | |
Dividends | 274,112 |
Interest1 | 297 |
Securities Lending | 29,524 |
Total Income | 303,933 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,733 |
Management and Administrative—Investor Shares | 1,693 |
Management and Administrative—ETF Shares | 1,232 |
Management and Administrative—Admiral Shares | 4,226 |
Management and Administrative—Institutional Shares | 2,177 |
Management and Administrative—Institutional Plus Shares | 2,561 |
Management and Administrative—Institutional Select Shares | 2 |
Marketing and Distribution—Investor Shares | 199 |
Marketing and Distribution—ETF Shares | 138 |
Marketing and Distribution—Admiral Shares | 600 |
Marketing and Distribution—Institutional Shares | 106 |
Marketing and Distribution—Institutional Plus Shares | 134 |
Marketing and Distribution—Institutional Select Shares | — |
Custodian Fees | 578 |
Shareholders’ Reports—Investor Shares | 72 |
Shareholders’ Reports—ETF Shares | 51 |
Shareholders’ Reports—Admiral Shares | 95 |
Shareholders’ Reports—Institutional Shares | 86 |
Shareholders’ Reports—Institutional Plus Shares | 136 |
Shareholders’ Reports—Institutional Select Shares | — |
Trustees’ Fees and Expenses | 14 |
Total Expenses | 15,833 |
Net Investment Income | 288,100 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 1,558,120 |
Futures Contracts | 9,523 |
Swap Contracts | 504 |
Realized Net Gain (Loss) | 1,568,147 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (724,912) |
Futures Contracts | (347) |
Swap Contracts | (20) |
Change in Unrealized Appreciation (Depreciation) | (725,279) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,130,968 |
1 Interest income from an affiliated company of the fund was $268,000. | |
See accompanying Notes, which are an integral part of the Financial Statements. |
16
Extended Market Index Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2016 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 288,100 | 592,380 |
Realized Net Gain (Loss) | 1,568,147 | 2,797,448 |
Change in Unrealized Appreciation (Depreciation) | (725,279) | (4,928,685) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,130,968 | (1,538,857) |
Distributions | ||
Net Investment Income | ||
Investor Shares | (11,009) | (25,453) |
ETF Shares | (23,634) | (54,815) |
Admiral Shares | (83,791) | (173,450) |
Institutional Shares | (55,358) | (115,520) |
Institutional Plus Shares | (98,447) | (203,574) |
Institutional Select Shares | — | — |
Realized Capital Gain | ||
Investor Shares | — | — |
ETF Shares | — | — |
Admiral Shares | — | — |
Institutional Shares | — | — |
Institutional Plus Shares | — | — |
Institutional Select Shares | — | — |
Total Distributions | (272,239) | (572,812) |
Capital Share Transactions | ||
Investor Shares | (139,603) | (203,394) |
ETF Shares | (538,217) | 822,145 |
Admiral Shares | 304,861 | 929,458 |
Institutional Shares | 145,022 | 467,816 |
Institutional Plus Shares | (44,940) | 1,646,756 |
Institutional Select Shares | 1,047,105 | — |
Net Increase (Decrease) from Capital Share Transactions | 774,228 | 3,662,781 |
Total Increase (Decrease) | 1,632,957 | 1,551,112 |
Net Assets | ||
Beginning of Period | 42,603,320 | 41,052,208 |
End of Period1 | 44,236,277 | 42,603,320 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $19,124,000 and $2,759,000.
See accompanying Notes, which are an integral part of the Financial Statements.
17
Extended Market Index Fund | ||||||
Financial Highlights | ||||||
Investor Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $63.61 | $66.63 | $62.76 | $45.86 | $39.34 | $41.26 |
Investment Operations | ||||||
Net Investment Income | . 382 | .795 | .795 | . 602 | . 688 | . 385 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.165 | (3.050) | 3.857 | 16.903 | 6.515 | (1.923) |
Total from Investment Operations | 1.547 | (2.255) | 4.652 | 17.505 | 7.203 | (1.538) |
Distributions | ||||||
Dividends from Net Investment Income | (. 357) | (.765) | (.782) | (. 605) | (. 683) | (. 382) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (. 357) | (.765) | (.782) | (. 605) | (. 683) | (. 382) |
Net Asset Value, End of Period | $64.80 | $63.61 | $66.63 | $62.76 | $45.86 | $39.34 |
Total Return1 | 2.45% | -3.39% | 7.42% | 38.19% | 18.31% | -3.73% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,935 | $2,040 | $2,341 | $2,749 | $2,857 | $2,753 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.22% | 0.22% | 0.23% | 0.24% | 0.24% | 0.24% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.35% | 1.20% | 1.27% | 1.19% | 1.62% | 0.93% |
Portfolio Turnover Rate2 | 14% | 6% | 9% | 11% | 12% | 14% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
18
Extended Market Index Fund | ||||||
Financial Highlights | ||||||
ETF Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $83.80 | $87.79 | $82.71 | $60.46 | $51.87 | $54.42 |
Investment Operations | ||||||
Net Investment Income | .556 | 1.171 | 1.178 | .934 | 1.000 | .593 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.539 | (4.033) | 5.061 | 22.256 | 8.582 | (2.553) |
Total from Investment Operations | 2.095 | (2.862) | 6.239 | 23.190 | 9.582 | (1.960) |
Distributions | ||||||
Dividends from Net Investment Income | (.525) | (1.128) | (1.159) | (.940) | (.992) | (.590) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.525) | (1.128) | (1.159) | (.940) | (.992) | (.590) |
Net Asset Value, End of Period | $85.37 | $83.80 | $87.79 | $82.71 | $60.46 | $51.87 |
Total Return | 2.52% | -3.26% | 7.55% | 38.37% | 18.48% | -3.61% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,794 | $4,272 | $3,659 | $3,105 | $1,477 | $1,148 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.09% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.48% | 1.33% | 1.40% | 1.33% | 1.76% | 1.07% |
Portfolio Turnover Rate1 | 14% | 6% | 9% | 11% | 12% | 14% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
19
Extended Market Index Fund | ||||||
Financial Highlights | ||||||
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $63.58 | $66.61 | $62.75 | $45.87 | $39.35 | $41.28 |
Investment Operations | ||||||
Net Investment Income | . 422 | . 887 | . 895 | .706 | .758 | . 450 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.167 | (3.061) | 3.845 | 16.884 | 6.513 | (1.932) |
Total from Investment Operations | 1.589 | (2.174) | 4.740 | 17.590 | 7.271 | (1.482) |
Distributions | ||||||
Dividends from Net Investment Income | (. 399) | (. 856) | (. 880) | (.710) | (.751) | (. 448) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (. 399) | (. 856) | (. 880) | (.710) | (.751) | (. 448) |
Net Asset Value, End of Period | $64.77 | $63.58 | $66.61 | $62.75 | $45.87 | $39.35 |
Total Return1 | 2.52% | -3.27% | 7.56% | 38.37% | 18.48% | -3.59% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $13,711 | $13,143 | $12,852 | $8,864 | $5,970 | $5,018 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.09% | 0.10% | 0.10% | 0.10% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.48% | 1.33% | 1.40% | 1.33% | 1.76% | 1.07% |
Portfolio Turnover Rate2 | 14% | 6% | 9% | 11% | 12% | 14% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
20
Extended Market Index Fund | ||||||
Financial Highlights | ||||||
Institutional Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $63.58 | $66.60 | $62.75 | $45.86 | $39.34 | $41.27 |
Investment Operations | ||||||
Net Investment Income | . 429 | . 899 | . 908 | .715 | .764 | . 460 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.166 | (3.050) | 3.833 | 16.895 | 6.514 | (1.933) |
Total from Investment Operations | 1.595 | (2.151) | 4.741 | 17.610 | 7.278 | (1.473) |
Distributions | ||||||
Dividends from Net Investment Income | (. 405) | (. 869) | (. 891) | (.720) | (.758) | (. 457) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (. 405) | (. 869) | (. 891) | (.720) | (.758) | (. 457) |
Net Asset Value, End of Period | $64.77 | $63.58 | $66.60 | $62.75 | $45.86 | $39.34 |
Total Return | 2.53% | -3.24% | 7.56% | 38.42% | 18.50% | -3.57% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $8,926 | $8,621 | $8,567 | $7,812 | $5,496 | $5,810 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.07% | 0.07% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.50% | 1.35% | 1.42% | 1.35% | 1.78% | 1.09% |
Portfolio Turnover Rate1 | 14% | 6% | 9% | 11% | 12% | 14% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
21
Extended Market Index Fund | ||||||
Financial Highlights | ||||||
Institutional Plus Shares | ||||||
Six Months | Jan. 14, | |||||
Ended | 20111 to | |||||
Year Ended December 31, | ||||||
For a Share Outstanding | June 30, | Dec. 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $156.89 | $164.36 | $154.84 | $113.18 | $97.10 | $105.13 |
Investment Operations | ||||||
Net Investment Income | 1.070 | 2.254 | 2.273 | 1.797 | 1.917 | 1.139 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.887 | (7.549) | 9.481 | 41.671 | 16.064 | (8.015) |
Total from Investment Operations | 3.957 | (5.295) | 11.754 | 43.468 | 17.981 | (6.876) |
Distributions | ||||||
Dividends from Net Investment Income | (1.017) | (2.175) | (2.234) | (1.808) | (1.901) | (1.154) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (1.017) | (2.175) | (2.234) | (1.808) | (1.901) | (1.154) |
Net Asset Value, End of Period | $159.83 | $156.89 | $164.36 | $154.84 | $113.18 | $97.10 |
Total Return | 2.54% | -3.23% | 7.60% | 38.43% | 18.52% | -6.54% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $14,772 | $14,526 | $13,634 | $11,347 | $5,477 | $1,307 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.05% | 0.05% | 0.06% | 0.06% | 0.06% | 0.06%2 |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.52% | 1.37% | 1.44% | 1.37% | 1.80% | 1.11%2 |
Portfolio Turnover Rate 3 | 14% | 6% | 9% | 11% | 12% | 14%4 |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
4 Reflects the fund’s portfolio turnover for the fiscal year ended December 31, 2011.
See accompanying Notes, which are an integral part of the Financial Statements.
22
Extended Market Index Fund | |
Financial Highlights | |
Institutional Select Shares | |
June 271 to | |
For a Share Outstanding Throughout the Period | June 30, 2016 |
Net Asset Value, Beginning of Period | $98.43 |
Investment Operations | |
Net Investment Income | .085 |
Net Realized and Unrealized Gain (Loss) on Investments | 5.555 |
Total from Investment Operations | 5.640 |
Distributions | |
Dividends from Net Investment Income | — |
Distributions from Realized Capital Gains | — |
Total Distributions | — |
Net Asset Value, End of Period | $104.07 |
Total Return | 5.73% |
Ratios/Supplemental Data | |
Net Assets, End of Period (Millions) | $1,099 |
Ratio of Total Expenses to Average Net Assets | 0.01%2 |
Ratio of Net Investment Income to Average Net Assets | 1.56%2 |
Portfolio Turnover Rate 3 | 14%4 |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
4 Reflects the fund’s portfolio turnover for the six months ended June 30, 2016.
See accompanying Notes, which are an integral part of the Financial Statements.
23
Extended Market Index Fund
Notes to Financial Statements
Vanguard Extended Market Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers six classes of shares: Investor Shares, ETF Shares, Admiral Shares, Institutional Shares, Institutional Plus Shares, and Institutional Select Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. Admiral Shares, Institutional Shares, Institutional Plus Shares, and Institutional Select Shares are designed for investors who meet certain administrative, service, and account-size criteria. Institutional Select Shares were issued on June 27, 2016.
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
Extended Market Index Fund
During the six months ended June 30, 2016, 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 prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
During the six months ended June 30, 2016, the fund’s average amounts of investments in 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, 2012–2015), and for the period ended June 30, 2016, 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 subject to termination by the fund at any time, and 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
25
Extended Market Index Fund
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 (“Vanguard”) participate in a $3.1 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 0.10% 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 based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at June 30, 2016, 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. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
26
Extended Market Index Fund
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At June 30, 2016, the fund had contributed to Vanguard capital in the amount of $3,637,000, representing 0.01% of the fund’s net assets and 1.45% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of June 30, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 44,084,612 | 225 | 4,581 |
Temporary Cash Investments | 800,897 | 6,996 | — |
Futures Contracts—Assets1 | 2,329 | — | — |
Swap Contracts—Liabilities | — | (34) | — |
Total | 44,887,838 | 7,187 | 4,581 |
1 Represents variation margin on the last day of the reporting period. |
D. At June 30, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
E-mini Russell 2000 Index | September 2016 | 755 | 86,629 | 400 |
E-mini S&P Mid-Cap 400 Index | September 2016 | 320 | 47,776 | 117 |
E-mini S&P 500 Index | September 2016 | 30 | 3,135 | 45 |
562 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
27
Extended Market Index Fund
At June 30, 2016, the fund had the following open total return swap contracts:
Floating | Unrealized | ||||
Notional | Interest Rate | Appreciation | |||
Termination | Amount | Received | (Depreciation) | ||
Reference Entity | Date | Counterparty | ($000) | (Paid) | ($000) |
Ambac Financial Group Inc. | 7/6/16 | GSCM | 3,028 | (0.446) | (34) |
GSCM—Goldman Sachs Capital Markets. |
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended June 30, 2016, the fund realized $1,790,609,000 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 $504,000 on swap contracts have been reclassified from accumulated net realized losses to undistributed net investment income.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2015, the fund had available capital losses totaling $524,285,000 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 $450,123,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, but must be used before any expiring loss carryforwards. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2016; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2016, the cost of investment securities for tax purposes was $38,711,862,000. Net unrealized appreciation of investment securities for tax purposes was $6,185,449,000, consisting of unrealized gains of $10,651,125,000 on securities that had risen in value since their purchase and $4,465,676,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2016, the fund purchased $6,656,284,000 of investment securities and sold $5,842,341,000 of investment securities, other than temporary cash investments. Purchases and sales include $2,912,589,000 and $2,949,275,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
28
Extended Market Index Fund
G. Capital share transactions for each class of shares were: | ||||
Six Months Ended | Year Ended | |||
June 30, 2016 | December 31, 2015 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 112,734 | 1,840 | 349,644 | 5,171 |
Issued in Lieu of Cash Distributions | 10,737 | 170 | 24,858 | 386 |
Redeemed | (263,074) | (4,220) | (577,896) | (8,608) |
Net Increase (Decrease)—Investor Shares | (139,603) | (2,210) | (203,394) | (3,051) |
ETF Shares | ||||
Issued | 3,243,222 | 39,462 | 6,474,730 | 72,703 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (3,781,439) | (46,000) | (5,652,585) | (63,400) |
Net Increase (Decrease)—ETF Shares | (538,217) | (6,538) | 822,145 | 9,303 |
Admiral Shares | ||||
Issued | 1,144,254 | 18,753 | 2,647,376 | 39,234 |
Issued in Lieu of Cash Distributions | 73,272 | 1,159 | 151,949 | 2,362 |
Redeemed | (912,665) | (14,960) | (1,869,867) | (27,811) |
Net Increase (Decrease)—Admiral Shares | 304,861 | 4,952 | 929,458 | 13,785 |
Institutional Shares | ||||
Issued | 850,342 | 13,833 | 2,581,127 | 38,366 |
Issued in Lieu of Cash Distributions | 51,933 | 822 | 108,833 | 1,692 |
Redeemed | (757,253) | (12,444) | (2,222,144) | (33,075) |
Net Increase (Decrease)—Institutional Shares | 145,022 | 2,211 | 467,816 | 6,983 |
Institutional Plus Shares | ||||
Issued | 1,819,175 | 12,121 | 3,613,868 | 21,550 |
Issued in Lieu of Cash Distributions | 97,045 | 622 | 203,574 | 1,283 |
Redeemed | (1,961,160) | (12,911) | (2,170,686) | (13,196) |
Net Increase (Decrease)—Institutional Plus Shares | (44,940) | (168) | 1,646,756 | 9,637 |
Institutional Select Shares1 | ||||
Issued | 1,049,579 | 10,581 | — | — |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (2,474) | (24) | — | — |
Net Increase (Decrease)—Institutional Select Shares | 1,047,105 | 10,557 | — | — |
1 Inception was June 27, 2016, for Institutional Select Shares. |
H. Management has determined that no material events or transactions occurred subsequent to June 30, 2016, that would require recognition or disclosure in these financial statements.
29
Mid-Cap Index Fund | |||||
Fund Profile | |||||
As of June 30, 2016 | |||||
Share-Class Characteristics | |||||
Investor | ETF | Admiral | Institutional | Institutional | |
Shares | Shares | Shares | Shares | Plus Shares | |
Ticker Symbol | VIMSX | VO | VIMAX | VMCIX | VMCPX |
Expense Ratio1 | 0.20% | 0.08% | 0.08% | 0.07% | 0.05% |
30-Day SEC Yield | 1.39% | 1.51% | 1.51% | 1.52% | 1.52% |
Portfolio Characteristics | |||
DJ | |||
U.S. | |||
CRSP US | Total | ||
Mid Cap | Market | ||
Fund | Index | FA Index | |
Number of Stocks | 344 | 343 | 3,863 |
Median Market Cap | $11.1B | $11.1B | $53.0B |
Price/Earnings Ratio | 26.5x | 25.8x | 22.0x |
Price/Book Ratio | 2.6x | 2.6x | 2.7x |
Return on Equity | 15.6% | 15.2% | 16.5% |
Earnings Growth | |||
Rate | 10.4% | 10.4% | 7.3% |
Dividend Yield | 1.6% | 1.6% | 2.1% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 18% | — | — |
Short-Term | |||
Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure)
DJ | |||
CRSP US U.S. Total | |||
Mid Cap | Market | ||
Fund | Index | FA Index | |
Basic Materials | 4.4% | 4.4% | 2.4% |
Consumer Goods | 14.2 | 14.2 | 10.7 |
Consumer Services | 12.5 | 12.5 | 13.6 |
Financials | 19.4 | 19.4 | 18.6 |
Health Care | 8.4 | 8.4 | 13.4 |
Industrials | 17.0 | 17.1 | 12.6 |
Oil & Gas | 5.4 | 5.4 | 6.7 |
Technology | 11.7 | 11.6 | 15.7 |
Telecommunications | 1.2 | 1.2 | 2.6 |
Utilities | 5.8 | 5.8 | 3.7 |
Volatility Measures | ||
DJ | ||
Spliced | U.S. Total | |
Mid-Cap | Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.94 |
Beta | 1.00 | 1.02 |
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)
Equinix Inc. | Specialty REITs | 0.9% |
Fiserv Inc. | Financial | |
Administration | 0.8 | |
Fidelity National | Financial | |
Information Services Inc. Administration | 0.8 | |
NVIDIA Corp. | Semiconductors | 0.8 |
Newell Brands Inc. | Durable Household | |
Products | 0.8 | |
Ross Stores Inc. | Apparel Retailers | 0.7 |
Electronic Arts Inc. | Toys | 0.7 |
Edwards Lifesciences | ||
Corp. | Medical Supplies | 0.7 |
Dollar Tree Inc. | Specialty Retailers | 0.7 |
ConAgra Foods Inc. | Food Products | 0.7 |
Top Ten | 7.6% |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratios shown are from the prospectus dated April 27, 2016, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2016, the annualized expense ratios were 0.19% for Investor Shares, 0.07% for ETF Shares, 0.07% for Admiral Shares, 0.06% for Institutional Shares, and 0.05% for Institutional Plus Shares.
30
Mid-Cap Index Fund
![](https://capedge.com/proxy/N-CSRS/0000932471-16-014112/usstockindexfundsmid-cax33x1.jpg)
31
Mid-Cap Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): December 31, 2005, Through June 30, 2016
![](https://capedge.com/proxy/N-CSRS/0000932471-16-014112/usstockindexfundsmid-cax34x1.jpg)
Mid-Cap Index Fund Investor Shares
Spliced Mid-Cap Index
For a benchmark description, see the Glossary.
Note: For 2016, performance data reflect the six months ended June 30, 2016.
Average Annual Total Returns: Periods Ended June 30, 2016 | ||||
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 5/21/1998 | -1.01% | 10.41% | 7.66% |
ETF Shares | 1/26/2004 | |||
Market Price | -0.93 | 10.57 | 7.79 | |
Net Asset Value | -0.88 | 10.56 | 7.79 | |
Admiral Shares | 11/12/2001 | -0.89 | 10.56 | 7.80 |
Institutional Shares | 5/21/1998 | -0.89 | 10.57 | 7.83 |
Institutional Plus Shares | 12/15/2010 | -0.86 | 10.60 | 11.501 |
1 Return since inception. |
See Financial Highlights for dividend and capital gains information.
32
Mid-Cap Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2016
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 (100.1%)1 | |||
Basic Materials (4.4%) | |||
Newmont Mining Corp. | 11,848,064 | 463,496 | |
Freeport-McMoRan Inc. | 25,169,477 | 280,388 | |
Alcoa Inc. | 29,372,484 | 272,283 | |
International Flavors & | |||
Fragrances Inc. | 1,780,532 | 224,472 | |
Celanese Corp. Class A | 3,293,368 | 215,551 | |
Eastman Chemical Co. | 3,137,035 | 213,005 | |
Mosaic Co. | 7,813,718 | 204,563 | |
Albemarle Corp. | 2,502,166 | 198,447 | |
Ashland Inc. | 1,386,402 | 159,117 | |
Avery Dennison Corp. | 1,992,189 | 148,916 | |
FMC Corp. | 2,988,064 | 138,377 | |
CF Industries Holdings | |||
Inc. | 5,194,433 | 125,186 | |
Reliance Steel & | |||
Aluminum Co. | 1,532,705 | 117,865 | |
WR Grace & Co. | 1,572,378 | 115,114 | |
* | Axalta Coating Systems | ||
Ltd. | 3,728,182 | 98,908 | |
Westlake Chemical Corp. | 875,506 | 37,577 | |
3,013,265 | |||
Consumer Goods (14.2%) | |||
Newell Brands Inc. | 10,673,643 | 518,419 | |
* | Electronic Arts Inc. | 6,562,196 | 497,152 |
ConAgra Foods Inc. | 9,746,169 | 465,964 | |
Tyson Foods Inc. Class A | 6,711,756 | 448,278 | |
Dr Pepper Snapple Group | |||
Inc. | 4,149,803 | 400,996 | |
Clorox Co. | 2,888,586 | 399,751 | |
Molson Coors Brewing | |||
Co. Class B | 3,895,505 | 393,952 | |
JM Smucker Co. | 2,539,353 | 387,023 | |
Genuine Parts Co. | 3,174,597 | 321,428 | |
Church & Dwight Co. Inc. | 2,866,206 | 294,904 | |
Whirlpool Corp. | 1,696,742 | 282,745 | |
McCormick & Co. Inc. | 2,574,655 | 274,638 | |
* | Mohawk Industries Inc. | 1,406,621 | 266,920 |
Market | |||
Value• | |||
Shares | ($000) | ||
Coach Inc. | 6,209,896 | 252,991 | |
DR Horton Inc. | 7,870,466 | 247,762 | |
Mattel Inc. | 7,604,052 | 237,931 | |
Hormel Foods Corp. | 5,918,265 | 216,609 | |
Hanesbrands Inc. | 8,432,144 | 211,900 | |
Hasbro Inc. | 2,506,916 | 210,556 | |
Snap-on Inc. | 1,298,852 | 204,985 | |
* | LKQ Corp. | 6,165,278 | 195,439 |
Lennar Corp. Class A | 4,223,830 | 194,719 | |
Delphi Automotive plc | 3,048,826 | 190,857 | |
* | Michael Kors Holdings | ||
Ltd. | 3,807,597 | 188,400 | |
Bunge Ltd. | 3,113,359 | 184,155 | |
Harley-Davidson Inc. | 4,045,095 | 183,243 | |
PVH Corp. | 1,810,291 | 170,584 | |
Lear Corp. | 1,648,051 | 167,706 | |
*,^ | Under Armour Inc. | ||
Class A | 4,091,110 | 164,176 | |
*,^ | lululemon athletica Inc. | 2,136,527 | 157,804 |
* | Under Armour Inc. | 4,160,656 | 151,448 |
* | NVR Inc. | 82,510 | 146,896 |
BorgWarner Inc. | 4,861,575 | 143,514 | |
PulteGroup Inc. | 6,945,064 | 135,359 | |
Leucadia National Corp. | 7,272,529 | 126,033 | |
Ralph Lauren Corp. | |||
Class A | 1,271,739 | 113,973 | |
Harman International | |||
Industries Inc. | 1,573,619 | 113,017 | |
Polaris Industries Inc. | 1,369,330 | 111,956 | |
* | Edgewell Personal Care | ||
Co. | 1,323,969 | 111,756 | |
* | WABCO Holdings Inc. | 1,191,919 | 109,144 |
* | WhiteWave Foods Co. | ||
Class A | 1,973,214 | 92,623 | |
Goodyear Tire & Rubber | |||
Co. | 2,966,485 | 76,120 | |
^ | Pilgrim’s Pride Corp. | 1,421,108 | 36,210 |
^ | Coty Inc. Class A | 1,113,098 | 28,929 |
Lennar Corp. Class B | 82,620 | 3,078 | |
9,832,043 |
33
Mid-Cap Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
Consumer Services (12.5%) | |||
Ross Stores Inc. | 8,973,127 | 508,687 | |
* | Dollar Tree Inc. | 4,997,656 | 470,979 |
Nielsen Holdings plc | 7,654,963 | 397,828 | |
* | Ulta Salon Cosmetics & | ||
Fragrance Inc. | 1,328,878 | 323,768 | |
Expedia Inc. | 2,587,730 | 275,076 | |
Tractor Supply Co. | 2,980,081 | 271,724 | |
* | Chipotle Mexican Grill Inc. | ||
Class A | 652,198 | 262,679 | |
Royal Caribbean Cruises | |||
Ltd. | 3,845,926 | 258,254 | |
Advance Auto Parts Inc. | 1,560,384 | 252,205 | |
* | MGM Resorts | ||
International | 10,729,402 | 242,806 | |
Whole Foods Market Inc. | 7,170,424 | 229,597 | |
^ | Marriott International Inc. | ||
Class A | 3,407,155 | 226,440 | |
*,^ | CarMax Inc. | 4,321,693 | 211,893 |
Interpublic Group of Cos. | |||
Inc. | 8,988,299 | 207,630 | |
Best Buy Co. Inc. | 6,153,147 | 188,286 | |
Aramark | 5,424,135 | 181,275 | |
Wyndham Worldwide | |||
Corp. | 2,500,833 | 178,134 | |
Darden Restaurants Inc. | 2,689,201 | 170,334 | |
Foot Locker Inc. | 3,040,081 | 166,779 | |
* | IHS Inc. Class A | 1,430,883 | 165,424 |
Wynn Resorts Ltd. | 1,819,073 | 164,881 | |
AmerisourceBergen Corp. | |||
Class A | 2,049,378 | 162,557 | |
* | TripAdvisor Inc. | 2,523,622 | 162,269 |
Alaska Air Group Inc. | 2,753,331 | 160,492 | |
Kohl’s Corp. | 4,136,446 | 156,854 | |
Tiffany & Co. | 2,392,980 | 145,110 | |
Signet Jewelers Ltd. | 1,752,217 | 144,400 | |
Bed Bath & Beyond Inc. | 3,307,166 | 142,936 | |
* | Norwegian Cruise Line | ||
Holdings Ltd. | 3,549,927 | 141,429 | |
Starwood Hotels & | |||
Resorts Worldwide Inc. | 1,893,785 | 140,045 | |
FactSet Research | |||
Systems Inc. | 865,557 | 139,718 | |
* | United Continental | ||
Holdings Inc. | 3,374,865 | 138,504 | |
* | Liberty SiriusXM Group | ||
Class C | 4,470,309 | 137,998 | |
* | Discovery | ||
Communications Inc. | 5,269,570 | 125,679 | |
Staples Inc. | 14,413,146 | 124,241 | |
News Corp. Class A | 10,944,518 | 124,220 | |
* | Liberty Interactive Corp. | ||
QVC Group Class A | 4,783,444 | 121,356 | |
Macy’s Inc. | 3,439,057 | 115,587 | |
H&R Block Inc. | 5,004,787 | 115,110 |
Market | |||
Value• | |||
Shares | ($000) | ||
Scripps Networks | |||
Interactive Inc. Class A | 1,803,010 | 112,273 | |
Gap Inc. | 4,880,815 | 103,571 | |
Nordstrom Inc. | 2,699,783 | 102,727 | |
Williams-Sonoma Inc. | 1,791,705 | 93,402 | |
* | Rite Aid Corp. | 11,695,315 | 87,598 |
* | Discovery | ||
Communications Inc. | |||
Class A | 3,356,866 | 84,694 | |
* | AutoNation Inc. | 1,610,092 | 75,642 |
* | Liberty SiriusXM Group | ||
Class A | 2,168,124 | 67,992 | |
* | Hertz Global Holdings Inc. | 4,030,404 | 44,617 |
* | Hyatt Hotels Corp. | ||
Class A | 522,571 | 25,679 | |
News Corp. Class B | 209,094 | 2,440 | |
8,653,819 | |||
Financials (19.5%) | |||
Equinix Inc. | 1,550,455 | 601,158 | |
Realty Income Corp. | 5,752,820 | 399,016 | |
Hartford Financial | |||
Services Group Inc. | 8,785,525 | 389,902 | |
Digital Realty Trust Inc. | 3,558,287 | 387,818 | |
M&T Bank Corp. | 3,195,933 | 377,855 | |
Willis Towers Watson plc | 2,937,332 | 365,140 | |
Moody’s Corp. | 3,688,538 | 345,653 | |
Equifax Inc. | 2,658,070 | 341,296 | |
Essex Property Trust Inc. | 1,461,282 | 333,304 | |
Macerich Co. | 3,316,516 | 283,197 | |
* | Markel Corp. | 296,382 | 282,387 |
Kimco Realty Corp. | 8,904,086 | 279,410 | |
AvalonBay Communities | |||
Inc. | 1,531,766 | 276,315 | |
Host Hotels & Resorts | |||
Inc. | 16,691,054 | 270,562 | |
Principal Financial | |||
Group Inc. | 6,473,901 | 266,142 | |
Federal Realty | |||
Investment Trust | 1,583,700 | 262,181 | |
Cincinnati Financial Corp. | 3,489,993 | 261,366 | |
Extra Space Storage Inc. | 2,656,719 | 245,853 | |
Regions Financial Corp. | 28,292,477 | 240,769 | |
SL Green Realty Corp. | 2,238,903 | 238,376 | |
First Republic Bank | 3,319,303 | 232,318 | |
Citizens Financial Group | |||
Inc. | 11,479,035 | 229,351 | |
Annaly Capital | |||
Management Inc. | 20,657,454 | 228,678 | |
FNF Group | 5,888,707 | 220,826 | |
UDR Inc. | 5,966,817 | 220,295 | |
XL Group plc Class A | 6,329,448 | 210,834 | |
Western Union Co. | 10,970,218 | 210,409 | |
KeyCorp | 18,815,586 | 207,912 | |
Lincoln National Corp. | 5,338,586 | 206,977 | |
VEREIT Inc. | 20,211,070 | 204,940 | |
* | Arch Capital Group Ltd. | 2,590,960 | 186,549 |
34
Mid-Cap Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
* | CBRE Group Inc. Class A | 6,743,565 | 178,570 |
* | Ally Financial Inc. | 10,265,714 | 175,236 |
Everest Re Group Ltd. | 945,836 | 172,776 | |
Camden Property Trust | 1,943,425 | 171,838 | |
Alexandria Real Estate | |||
Equities Inc. | 1,650,205 | 170,829 | |
Iron Mountain Inc. | 4,261,177 | 169,723 | |
* | Affiliated Managers | ||
Group Inc. | 1,202,117 | 169,222 | |
Unum Group | 5,311,181 | 168,842 | |
Nasdaq Inc. | 2,572,566 | 166,368 | |
Comerica Inc. | 3,912,309 | 160,913 | |
Huntington Bancshares | |||
Inc. | 17,845,941 | 159,543 | |
Torchmark Corp. | 2,560,493 | 158,290 | |
MSCI Inc. Class A | 2,047,979 | 157,940 | |
SEI Investments Co. | 3,256,941 | 156,691 | |
New York Community | |||
Bancorp Inc. | 10,335,437 | 154,928 | |
American Capital | |||
Agency Corp. | 7,394,381 | 146,557 | |
* | E*TRADE Financial | ||
Corp. | 6,226,768 | 146,267 | |
CIT Group Inc. | 4,506,083 | 143,789 | |
Raymond James | |||
Financial Inc. | 2,845,667 | 140,291 | |
Reinsurance Group of | |||
America Inc. Class A | 1,431,362 | 138,828 | |
Brixmor Property Group | |||
Inc. | 4,789,534 | 126,731 | |
WR Berkley Corp. | 2,050,752 | 122,881 | |
Invesco Ltd. | 4,648,775 | 118,730 | |
Zions Bancorporation | 4,563,676 | 114,685 | |
Axis Capital Holdings Ltd. | 2,072,477 | 113,986 | |
Voya Financial Inc. | 4,548,825 | 112,629 | |
People’s United | |||
Financial Inc. | 6,933,467 | 101,645 | |
Jones Lang LaSalle Inc. | 1,006,281 | 98,062 | |
* | Liberty Broadband Corp. | 1,620,246 | 97,215 |
* | Realogy Holdings Corp. | 3,278,926 | 95,154 |
* | Alleghany Corp. | 163,575 | 89,897 |
Lazard Ltd. Class A | 2,894,815 | 86,208 | |
Assurant Inc. | 691,057 | 59,645 | |
Navient Corp. | 3,692,230 | 44,122 | |
* | Liberty Broadband Corp. | ||
Class A | 276,857 | 16,445 | |
* | Santander Consumer | ||
USA Holdings Inc. | 1,189,902 | 12,292 | |
13,424,557 | |||
Health Care (8.3%) | |||
* | Edwards Lifesciences | ||
Corp. | 4,729,237 | 471,647 | |
CR Bard Inc. | 1,637,443 | 385,061 | |
DENTSPLY SIRONA Inc. | 5,231,301 | 324,550 | |
* | Henry Schein Inc. | 1,832,862 | 324,050 |
Market | |||
Value• | |||
Shares | ($000) | ||
* | Laboratory Corp. of | ||
America Holdings | 2,287,077 | 297,937 | |
* | DaVita HealthCare | ||
Partners Inc. | 3,689,649 | 285,284 | |
* | Incyte Corp. | 3,561,811 | 284,874 |
Universal Health | |||
Services Inc. Class B | 2,004,904 | 268,858 | |
* | BioMarin | ||
Pharmaceutical Inc. | 3,444,174 | 267,957 | |
* | Centene Corp. | 3,617,151 | 258,156 |
Quest Diagnostics Inc. | 3,159,501 | 257,215 | |
* | Waters Corp. | 1,717,538 | 241,572 |
* | Medivation Inc. | 3,677,029 | 221,725 |
* | Hologic Inc. | 6,228,049 | 215,490 |
ResMed Inc. | 3,136,312 | 198,309 | |
* | IDEXX Laboratories Inc. | 1,999,928 | 185,713 |
Cooper Cos. Inc. | 1,080,943 | 185,457 | |
* | Jazz Pharmaceuticals plc | 1,282,250 | 181,195 |
* | Varian Medical | ||
Systems Inc. | 2,126,908 | 174,896 | |
* | Mallinckrodt plc | 2,442,280 | 148,442 |
* | Alkermes plc | 3,376,925 | 145,951 |
* | Quintiles Transnational | ||
Holdings Inc. | 1,868,177 | 122,029 | |
* | Envision Healthcare | ||
Holdings Inc. | 4,173,494 | 105,881 | |
* | Alnylam Pharmaceuticals | ||
Inc. | 1,622,282 | 90,020 | |
Patterson Cos. Inc. | 1,878,801 | 89,976 | |
* | Endo International plc | 2,239,663 | 34,916 |
5,767,161 | |||
Industrials (17.1%) | |||
* | Fiserv Inc. | 4,965,064 | 539,851 |
Fidelity National | |||
Information Services Inc. | 7,290,384 | 537,156 | |
Amphenol Corp. Class A | 6,876,905 | 394,253 | |
Roper Technologies Inc. | 2,260,210 | 385,501 | |
Vulcan Materials Co. | 2,974,572 | 358,020 | |
* | TransDigm Group Inc. | 1,124,089 | 296,411 |
Fastenal Co. | 6,452,111 | 286,409 | |
* | FleetCor Technologies | ||
Inc. | 1,963,729 | 281,069 | |
WW Grainger Inc. | 1,232,656 | 280,121 | |
* | Verisk Analytics Inc. | ||
Class A | 3,380,368 | 274,080 | |
Martin Marietta | |||
Materials Inc. | 1,418,946 | 272,438 | |
Rockwell Collins Inc. | 2,908,008 | 247,588 | |
Global Payments Inc. | 3,439,649 | 245,522 | |
* | Alliance Data Systems | ||
Corp. | 1,250,632 | 245,024 | |
Acuity Brands Inc. | 978,868 | 242,720 | |
AMETEK Inc. | 5,213,389 | 241,015 | |
Dover Corp. | 3,465,366 | 240,219 | |
CH Robinson Worldwide | |||
Inc. | 3,188,793 | 236,768 |
35
Mid-Cap Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
Masco Corp. | 7,432,159 | 229,951 | |
Ball Corp. | 3,167,115 | 228,951 | |
L-3 Communications | |||
Holdings Inc. | 1,546,958 | 226,923 | |
WestRock Co. | 5,642,402 | 219,320 | |
* | Mettler-Toledo | ||
International Inc. | 597,690 | 218,109 | |
Kansas City Southern | 2,412,041 | 217,301 | |
Pentair plc | 3,632,905 | 211,762 | |
Xerox Corp. | 21,495,775 | 203,995 | |
Sealed Air Corp. | 4,403,516 | 202,430 | |
Expeditors International | |||
of Washington Inc. | 4,066,643 | 199,428 | |
Fortune Brands Home & | |||
Security Inc. | 3,426,009 | 198,606 | |
* | Vantiv Inc. Class A | 3,492,069 | 197,651 |
Textron Inc. | 5,404,434 | 197,586 | |
* | Stericycle Inc. | 1,896,761 | 197,491 |
Total System Services | |||
Inc. | 3,691,289 | 196,044 | |
Cintas Corp. | 1,912,202 | 187,644 | |
Xylem Inc. | 3,996,206 | 178,431 | |
JB Hunt Transport | |||
Services Inc. | 2,013,225 | 162,930 | |
* | Crown Holdings Inc. | 3,115,811 | 157,878 |
Fluor Corp. | 3,110,316 | 153,276 | |
* | Waste Connections Inc. | 1,955,192 | 140,872 |
* | Trimble Navigation Ltd. | 5,609,026 | 136,636 |
* | Jacobs Engineering | ||
Group Inc. | 2,723,872 | 135,676 | |
Wabtec Corp. | 1,912,418 | 134,309 | |
* | Sensata Technologies | ||
Holding NV | 3,801,098 | 132,620 | |
* | United Rentals Inc. | 1,972,342 | 132,344 |
Flowserve Corp. | 2,912,577 | 131,561 | |
Hubbell Inc. Class B | 1,224,535 | 129,152 | |
* | Arrow Electronics Inc. | 2,042,206 | 126,413 |
Owens Corning | 2,446,928 | 126,066 | |
Macquarie Infrastructure | |||
Corp. | 1,612,570 | 119,411 | |
Avnet Inc. | 2,866,231 | 116,111 | |
Robert Half International | |||
Inc. | 2,782,503 | 106,180 | |
B/E Aerospace Inc. | 2,279,615 | 105,261 | |
ManpowerGroup Inc. | 1,594,610 | 102,597 | |
FLIR Systems Inc. | 3,069,971 | 95,016 | |
Allison Transmission | |||
Holdings Inc. | 3,217,870 | 90,840 | |
* | First Data Corp. Class A | 7,181,341 | 79,497 |
AGCO Corp. | 783,635 | 36,933 | |
11,767,367 | |||
Oil & Gas (5.4%) | |||
* | Concho Resources Inc. | 2,937,959 | 350,410 |
EQT Corp. | 3,857,932 | 298,720 | |
Marathon Oil Corp. | 18,931,599 | 284,163 |
Market | |||
Value• | |||
Shares | ($000) | ||
National Oilwell Varco | |||
Inc. | 8,421,466 | 283,382 | |
Cabot Oil & Gas Corp. | 10,385,646 | 267,327 | |
Cimarex Energy Co. | 2,117,773 | 252,693 | |
Columbia Pipeline Group | |||
Inc. | 8,921,299 | 227,404 | |
Devon Energy Corp. | 5,559,544 | 201,534 | |
Tesoro Corp. | 2,679,902 | 200,778 | |
* | Cheniere Energy Inc. | 4,471,690 | 167,912 |
Range Resources Corp. | 3,602,355 | 155,406 | |
Helmerich & Payne Inc. | 2,292,834 | 153,918 | |
OGE Energy Corp. | 4,461,351 | 146,109 | |
* | FMC Technologies Inc. | 5,052,560 | 134,752 |
Core Laboratories NV | 978,516 | 121,228 | |
* | Antero Resources Corp. | 4,409,108 | 114,549 |
* | Weatherford | ||
International plc | 19,976,291 | 110,868 | |
HollyFrontier Corp. | 3,937,358 | 93,591 | |
Murphy Oil Corp. | 1,828,041 | 58,040 | |
Energen Corp. | 1,084,948 | 52,305 | |
* | Continental Resources | ||
Inc. | 1,043,204 | 47,226 | |
Oceaneering | |||
International Inc. | 707 | 21 | |
3,722,336 | |||
Technology (11.7%) | |||
NVIDIA Corp. | 11,328,975 | 532,575 | |
* | Cerner Corp. | 6,795,375 | 398,209 |
Lam Research Corp. | 3,564,549 | 299,636 | |
* | Red Hat Inc. | 4,052,230 | 294,192 |
Western Digital Corp. | 5,971,539 | 282,215 | |
Symantec Corp. | 13,675,276 | 280,890 | |
Skyworks Solutions Inc. | 4,248,983 | 268,876 | |
* | Citrix Systems Inc. | 3,290,971 | 263,574 |
Xilinx Inc. | 5,707,476 | 263,286 | |
* | Autodesk Inc. | 4,765,405 | 257,999 |
KLA-Tencor Corp. | 3,477,769 | 254,747 | |
Linear Technology Corp. | 5,340,358 | 248,487 | |
Harris Corp. | 2,785,837 | 232,450 | |
Microchip Technology | |||
Inc. | 4,558,166 | 231,373 | |
* | Palo Alto Networks Inc. | 1,875,174 | 229,971 |
* | ServiceNow Inc. | 3,457,455 | 229,575 |
Maxim Integrated | |||
Products Inc. | 6,350,284 | 226,642 | |
* | Akamai Technologies Inc. | 3,725,984 | 208,394 |
CDK Global Inc. | 3,469,782 | 192,538 | |
* | Workday Inc. Class A | 2,505,222 | 187,065 |
* | Synopsys Inc. | 3,391,496 | 183,412 |
Juniper Networks Inc. | 8,147,586 | 183,239 | |
* | ANSYS Inc. | 1,966,677 | 178,476 |
*,^ | VeriSign Inc. | 2,059,668 | 178,079 |
* | Gartner Inc. | 1,750,825 | 170,548 |
* | F5 Networks Inc. | 1,496,280 | 170,337 |
* | Qorvo Inc. | 3,062,692 | 169,244 |
^ | Seagate Technology plc | 6,667,705 | 162,425 |
36
Mid-Cap Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
* | Splunk Inc. | 2,960,630 | 160,407 |
* | Micron Technology Inc. | 11,583,297 | 159,386 |
NetApp Inc. | 6,457,723 | 158,795 | |
Motorola Solutions Inc. | 1,849,661 | 122,022 | |
Garmin Ltd. | 2,529,974 | 107,321 | |
* | Twitter Inc. | 6,262,026 | 105,891 |
* | Nuance Communications | ||
Inc. | 6,227,937 | 97,343 | |
Marvell Technology | |||
Group Ltd. | 9,236,559 | 88,024 | |
Computer Sciences Corp. | 1,540,118 | 76,467 | |
* | IMS Health Holdings Inc. | 2,576,193 | 65,332 |
* | NetSuite Inc. | 897,195 | 65,316 |
CSRA Inc. | 1,810,947 | 42,430 | |
* | Premier Inc. Class A | 1,013,290 | 33,135 |
8,060,323 | |||
Telecommunications (1.2%) | |||
* | Level 3 Communications | ||
Inc. | 6,395,148 | 329,286 | |
* | SBA Communications | ||
Corp. Class A | 2,803,535 | 302,614 | |
Frontier Communications | |||
Corp. | 26,142,458 | 129,144 | |
* | Zayo Group Holdings Inc. | 2,702,048 | 75,468 |
836,512 | |||
Utilities (5.8%) | |||
WEC Energy Group Inc. | 7,049,182 | 460,312 | |
Eversource Energy | 7,084,071 | 424,336 | |
DTE Energy Co. | 4,007,369 | 397,210 | |
American Water Works | |||
Co. Inc. | 3,969,059 | 335,425 | |
Ameren Corp. | 5,419,132 | 290,357 | |
CMS Energy Corp. | 6,252,795 | 286,753 | |
ONEOK Inc. | 4,692,890 | 222,678 | |
CenterPoint Energy Inc. | 9,137,415 | 219,298 | |
SCANA Corp. | 2,872,991 | 217,370 | |
Pinnacle West Capital | |||
Corp. | 2,482,530 | 201,234 | |
Alliant Energy Corp. | 5,060,820 | 200,914 | |
NiSource Inc. | 7,182,386 | 190,477 | |
AES Corp. | 14,720,464 | 183,711 | |
Entergy Corp. | 1,996,459 | 162,412 | |
* | Calpine Corp. | 8,007,233 | 118,107 |
Avangrid Inc. | 1,379,367 | 63,534 | |
3,974,128 | |||
Total Common Stocks | |||
(Cost $56,096,529) | 69,051,511 | ||
Temporary Cash Investments (0.5%)1 | |||
Money Market Fund (0.5%) | |||
2,3 | Vanguard Market | ||
Liquidity Fund, | |||
0.538% | 315,694,283 | 315,694 |
Face | Market | ||
Amount | Value• | ||
($000) | ($000) | ||
U.S. Government and Agency Obligations (0.0%) | |||
4,5 | Federal Home Loan Bank | ||
Discount Notes, 0.328%, | |||
8/3/16 | 4,000 | 3,999 | |
4,5 | Federal Home Loan Bank | ||
Discount Notes, 0.486%, | |||
8/24/16 | 3,000 | 2,999 | |
6,998 | |||
Time Deposits (0.1%) | |||
United States Dollar | |||
Time Deposits, 0.130%, | |||
7/1/16 | 58,976 | 58,976 | |
Total Temporary Cash Investments | |||
(Cost $381,667) | 381,668 | ||
Total Investments (100.7%) | |||
(Cost $56,478,196) | 69,433,179 | ||
Amount | |||
($000) | |||
Other Assets and Liabilities (-0.7%) | |||
Other Assets | |||
Investment in Vanguard | 5,641 | ||
Receivables for Investment Securities Sold 34,531 | |||
Receivables for Accrued Income | 70,202 | ||
Receivables for Capital Shares Issued | 191,240 | ||
Other Assets | 1,944 | ||
Total Other Assets | 303,558 | ||
Liabilities | |||
Payables for Investment Securities | |||
Purchased | (209,805) | ||
Collateral for Securities on Loan | (242,733) | ||
Payables for Capital Shares Redeemed | (280,611) | ||
Payables to Vanguard | (33,442) | ||
Other Liabilities | (2,629) | ||
Total Liabilities | (769,220) | ||
Net Assets (100%) | 68,967,517 |
37
Mid-Cap Index Fund
At June 30, 2016, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 58,597,250 |
Undistributed Net Investment Income | 39,447 |
Accumulated Net Realized Losses | (2,624,917) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 12,954,983 |
Futures Contracts | 754 |
Net Assets | 68,967,517 |
Investor Shares—Net Assets | |
Applicable to 119,448,032 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 4,029,156 |
Net Asset Value Per Share— | |
Investor Shares | $33.73 |
ETF Shares—Net Assets | |
Applicable to 113,044,245 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 13,965,041 |
Net Asset Value Per Share— | |
ETF Shares | $123.54 |
Amount | |
($000) | |
Admiral Shares—Net Assets | |
Applicable to 175,485,566 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 26,851,687 |
Net Asset Value Per Share— | |
Admiral Shares | $153.01 |
Institutional Shares—Net Assets | |
Applicable to 382,761,898 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 12,937,771 |
Net Asset Value Per Share— | |
Institutional Shares | $33.80 |
Institutional Plus Shares—Net Assets | |
Applicable to 67,088,719 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 11,183,862 |
Net Asset Value Per Share— | |
Institutional Plus Shares | $166.70 |
• 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 $240,685,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts and swap contracts. After giving
effect to futures and swap investments, the fund’s effective common stock and temporary cash investment positions represent 100.3% 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 $242,733,000 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 $5,398,000 have been segregated as initial margin for open futures contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
38
Mid-Cap Index Fund | |
Statement of Operations | |
Six Months Ended | |
June 30, 2016 | |
($000) | |
Investment Income | |
Income | |
Dividends | 484,197 |
Interest1 | 368 |
Securities Lending | 6,922 |
Total Income | 491,487 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 2,198 |
Management and Administrative—Investor Shares | 3,154 |
Management and Administrative—ETF Shares | 3,726 |
Management and Administrative—Admiral Shares | 6,795 |
Management and Administrative—Institutional Shares | 3,241 |
Management and Administrative—Institutional Plus Shares | 2,027 |
Marketing and Distribution—Investor Shares | 425 |
Marketing and Distribution—ETF Shares | 446 |
Marketing and Distribution—Admiral Shares | 1,360 |
Marketing and Distribution—Institutional Shares | 155 |
Marketing and Distribution—Institutional Plus Shares | 89 |
Custodian Fees | 281 |
Shareholders’ Reports—Investor Shares | 111 |
Shareholders’ Reports—ETF Shares | 143 |
Shareholders’ Reports—Admiral Shares | 211 |
Shareholders’ Reports—Institutional Shares | 88 |
Shareholders’ Reports—Institutional Plus Shares | 70 |
Trustees’ Fees and Expenses | 20 |
Total Expenses | 24,540 |
Net Investment Income | 466,947 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 253,140 |
Futures Contracts | 11,610 |
Realized Net Gain (Loss) | 264,750 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 1,617,427 |
Futures Contracts | (793) |
Change in Unrealized Appreciation (Depreciation) | 1,616,634 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,348,331 |
1 Interest income from an affiliated company of the fund was $346,000. | |
See accompanying Notes, which are an integral part of the Financial Statements. |
39
Mid-Cap Index Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2016 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 466,947 | 953,963 |
Realized Net Gain (Loss) | 264,750 | 2,973,439 |
Change in Unrealized Appreciation (Depreciation) | 1,616,634 | (4,924,508) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,348,331 | (997,106) |
Distributions | ||
Net Investment Income | ||
Investor Shares | (22,638) | (55,549) |
ETF Shares | (87,769) | (185,676) |
Admiral Shares | (161,106) | (357,030) |
Institutional Shares | (78,543) | (177,330) |
Institutional Plus Shares | (69,850) | (166,136) |
Realized Capital Gain | ||
Investor Shares | — | — |
ETF Shares | — | — |
Admiral Shares | — | — |
Institutional Shares | — | — |
Institutional Plus Shares | — | — |
Total Distributions | (419,906) | (941,721) |
Capital Share Transactions | ||
Investor Shares | (221,694) | (363,862) |
ETF Shares | 618,651 | 3,479,124 |
Admiral Shares | 1,018,068 | 3,709,404 |
Institutional Shares | 283,047 | 1,484,151 |
Institutional Plus Shares | (382,798) | 426,054 |
Net Increase (Decrease) from Capital Share Transactions | 1,315,274 | 8,734,871 |
Total Increase (Decrease) | 3,243,699 | 6,796,044 |
Net Assets | ||
Beginning of Period | 65,723,818 | 58,927,774 |
End of Period1 | 68,967,517 | 65,723,818 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $39,447,000 and ($7,594,000).
See accompanying Notes, which are an integral part of the Financial Statements.
40
Mid-Cap Index Fund | ||||||
Financial Highlights | ||||||
Investor Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $32.79 | $33.72 | $30.02 | $22.47 | $19.65 | $20.31 |
Investment Operations | ||||||
Net Investment Income | .208 | .444 | .387 | .299 | .286 | .233 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | .918 | (.939) | 3.697 | 7.560 | 2.818 | (.661) |
Total from Investment Operations | 1.126 | (.495) | 4.084 | 7.859 | 3.104 | (.428) |
Distributions | ||||||
Dividends from Net Investment Income | (.186) | (. 435) | (. 384) | (. 309) | (. 284) | (. 232) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.186) | (. 435) | (. 384) | (. 309) | (. 284) | (. 232) |
Net Asset Value, End of Period | $33.73 | $32.79 | $33.72 | $30.02 | $22.47 | $19.65 |
Total Return1 | 3.45% | -1.46% | 13.60% | 35.00% | 15.80% | -2.11% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $4,029 | $4,140 | $4,607 | $4,797 | $3,887 | $4,168 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.19% | 0.20% | 0.23% | 0.24% | 0.24% | 0.24% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.39% | 1.35% | 1.30% | 1.16% | 1.36% | 1.15% |
Portfolio Turnover Rate2 | 18% | 15% | 11% | 32% | 17% | 22% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
41
Mid-Cap Index Fund | ||||||
Financial Highlights | ||||||
ETF Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period $120.07 | $123.50 | $109.96 | $82.33 | $71.99 | $74.42 | |
Investment Operations | ||||||
Net Investment Income | .836 | 1.793 | 1.609 | 1.255 | 1.173 | .976 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 3.385 | (3.457) | 13.524 | 27.668 | 10.329 | (2.430) |
Total from Investment Operations | 4.221 | (1.664) | 15.133 | 28.923 | 11.502 | (1.454) |
Distributions | ||||||
Dividends from Net Investment Income | (.751) | (1.766) | (1.593) | (1.293) | (1.162) | (.976) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.751) | (1.766) | (1.593) | (1.293) | (1.162) | (.976) |
Net Asset Value, End of Period | $123.54 | $120.07 | $123.50 | $109.96 | $82.33 | $71.99 |
Total Return | 3.53% | -1.34% | 13.76% | 35.15% | 15.98% | -1.96% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $13,965 | $12,984 | $9,879 | $6,728 | $3,926 | $3,241 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.07% | 0.08% | 0.09% | 0.09% | 0.10% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.51% | 1.47% | 1.44% | 1.31% | 1.50% | 1.29% |
Portfolio Turnover Rate1 | 18% | 15% | 11% | 32% | 17% | 22% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
42
Mid-Cap Index Fund | ||||||
Financial Highlights | ||||||
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period $148.72 | $152.97 | $136.19 | $101.97 | $89.15 | $92.17 | |
Investment Operations | ||||||
Net Investment Income | 1.034 | 2.214 | 1.987 | 1.550 | 1.450 | 1.212 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 4.185 | (4.284) | 16.759 | 34.269 | 12.808 | (3.023) |
Total from Investment Operations | 5.219 | (2.070) | 18.746 | 35.819 | 14.258 | (1.811) |
Distributions | ||||||
Dividends from Net Investment Income | (.929) | (2.180) | (1.966) | (1.599) | (1.438) | (1.209) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.929) | (2.180) | (1.966) | (1.599) | (1.438) | (1.209) |
Net Asset Value, End of Period | $153.01 | $148.72 | $152.97 | $136.19 | $101.97 | $89.15 |
Total Return1 | 3.52% | -1.34% | 13.76% | 35.15% | 15.99% | -1.97% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $26,852 | $25,061 | $22,125 | $10,251 | $6,895 | $5,989 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.07% | 0.08% | 0.09% | 0.09% | 0.10% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.51% | 1.47% | 1.44% | 1.31% | 1.50% | 1.29% |
Portfolio Turnover Rate 2 | 18% | 15% | 11% | 32% | 17% | 22% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
43
Mid-Cap Index Fund | ||||||
Financial Highlights | ||||||
Institutional Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $32.85 | $33.79 | $30.08 | $22.52 | $19.69 | $20.36 |
Investment Operations | ||||||
Net Investment Income | .230 | .492 | .442 | .344 | .325 | .271 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | .926 | (.947) | 3.704 | 7.571 | 2.827 | (.669) |
Total from Investment Operations | 1.156 | (.455) | 4.146 | 7.915 | 3.152 | (.398) |
Distributions | ||||||
Dividends from Net Investment Income | (. 206) | (. 485) | (. 436) | (. 355) | (. 322) | (. 272) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (. 206) | (. 485) | (. 436) | (. 355) | (. 322) | (. 272) |
Net Asset Value, End of Period | $33.80 | $32.85 | $33.79 | $30.08 | $22.52 | $19.69 |
Total Return | 3.53% | -1.33% | 13.78% | 35.17% | 16.01% | -1.96% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $12,938 | $12,278 | $11,172 | $9,368 | $7,057 | $5,611 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.06% | 0.07% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.52% | 1.48% | 1.45% | 1.32% | 1.52% | 1.31% |
Portfolio Turnover Rate1 | 18% | 15% | 11% | 32% | 17% | 22% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
44
Mid-Cap Index Fund | ||||||
Financial Highlights | ||||||
Institutional Plus Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period $162.03 | $166.65 | $148.37 | $111.08 | $97.12 | $100.40 | |
Investment Operations | ||||||
Net Investment Income | 1.145 | 2.461 | 2.210 | 1.726 | 1.624 | 1.358 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 4.557 | (4.657) | 18.256 | 37.343 | 13.945 | (3.280) |
Total from Investment Operations | 5.702 | (2.196) | 20.466 | 39.069 | 15.569 | (1.922) |
Distributions | ||||||
Dividends from Net Investment Income | (1.032) | (2.424) | (2.186) | (1.779) | (1.609) | (1.358) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (1.032) | (2.424) | (2.186) | (1.779) | (1.609) | (1.358) |
Net Asset Value, End of Period | $166.70 | $162.03 | $166.65 | $148.37 | $111.08 | $97.12 |
Total Return | 3.53% | -1.30% | 13.79% | 35.20% | 16.03% | -1.91% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $11,184 | $11,260 | $11,144 | $8,468 | $5,428 | $3,393 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.05% | 0.05% | 0.06% | 0.06% | 0.06% | 0.06% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.53% | 1.50% | 1.47% | 1.34% | 1.54% | 1.33% |
Portfolio Turnover Rate1 | 18% | 15% | 11% | 32% | 17% | 22% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
45
Mid-Cap Index Fund
Notes to Financial Statements
Vanguard Mid-Cap Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers five classes of shares: Investor Shares, ETF Shares, Admiral Shares, Institutional Shares, and Institutional Plus Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. Admiral Shares, Institutional Shares, and Institutional Plus Shares are designed for investors who meet certain administrative, service, and account-size criteria.
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).
46
Mid-Cap Index Fund
During the six months ended June 30, 2016, 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, 2012–2015), and for the period ended June 30, 2016, 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 subject to termination by the fund at any time, and 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 (“Vanguard”) participate in a $3.1 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 0.10% 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 based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at June 30, 2016, or at any time during the period then ended.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
47
Mid-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. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At June 30, 2016, the fund had contributed to Vanguard capital in the amount of $5,641,000, representing 0.01% of the fund’s net assets and 2.26% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of June 30, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 69,051,511 | — | — |
Temporary Cash Investments | 315,694 | 65,974 | — |
Futures Contracts—Assets1 | 1,941 | — | — |
Total | 69,369,146 | 65,974 | — |
1 Represents variation margin on the last day of the reporting period. |
48
Mid-Cap Index Fund
D. At June 30, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
E-mini S&P 500 Index | September 2016 | 660 | 68,977 | 694 |
E-mini S&P Mid-Cap 400 Index | September 2016 | 410 | 61,213 | 60 |
754 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended June 30, 2016, the fund realized $937,586,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2015, the fund had available capital losses totaling $1,949,337,000 to offset future net capital gains. Of this amount, $294,968,000 is subject to expiration on December 31, 2018. Capital losses of $1,654,369,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, but must be used before any expiring loss carryforwards. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2016; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2016, the cost of investment securities for tax purposes was $56,478,196,000. Net unrealized appreciation of investment securities for tax purposes was $12,954,983,000, consisting of unrealized gains of $15,820,697,000 on securities that had risen in value since their purchase and $2,865,714,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2016, the fund purchased $9,992,973,000 of investment securities and sold $8,328,856,000 of investment securities, other than temporary cash investments. Purchases and sales include $3,059,467,000 and $2,547,012,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
49
Mid-Cap Index Fund
G. Capital share transactions for each class of shares were: | ||||
Six Months Ended | Year Ended | |||
June 30, 2016 | December 31, 2015 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 297,666 | 9,306 | 860,039 | 25,140 |
Issued in Lieu of Cash Distributions | 21,585 | 654 | 52,328 | 1,606 |
Redeemed | (540,945) | (16,785) | (1,276,229) | (37,116) |
Net Increase (Decrease)—Investor Shares | (221,694) | (6,825) | (363,862) | (10,370) |
ETF Shares | ||||
Issued | 3,185,002 | 26,508 | 12,613,214 | 100,772 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (2,566,351) | (21,600) | (9,134,090) | (72,625) |
Net Increase (Decrease)—ETF Shares | 618,651 | 4,908 | 3,479,124 | 28,147 |
Admiral Shares | ||||
Issued | 3,002,387 | 20,651 | 7,061,299 | 45,458 |
Issued in Lieu of Cash Distributions | 144,139 | 962 | 319,756 | 2,164 |
Redeemed | (2,128,458) | (14,633) | (3,671,651) | (23,756) |
Net Increase (Decrease)—Admiral Shares | 1,018,068 | 6,980 | 3,709,404 | 23,866 |
Institutional Shares | ||||
Issued | 1,352,068 | 41,949 | 3,536,524 | 102,942 |
Issued in Lieu of Cash Distributions | 72,902 | 2,203 | 165,251 | 5,063 |
Redeemed | (1,141,923) | (35,132) | (2,217,624) | (64,898) |
Net Increase (Decrease)—Institutional Shares | 283,047 | 9,020 | 1,484,151 | 43,107 |
Institutional Plus Shares | ||||
Issued | 474,615 | 2,971 | 1,723,360 | 10,254 |
Issued in Lieu of Cash Distributions | 66,532 | 408 | 158,363 | 984 |
Redeemed | (923,945) | (5,785) | (1,455,669) | (8,616) |
Net Increase (Decrease)—Institutional Plus Shares | (382,798) | (2,406) | 426,054 | 2,622 |
H. Management has determined that no material events or transactions occurred subsequent to June 30, 2016, that would require recognition or disclosure in these financial statements.
50
Mid-Cap Growth Index Fund
Fund Profile
As of June 30, 2016
Share-Class Characteristics | |||
Investor | ETF | Admiral | |
Shares | Shares | Shares | |
Ticker Symbol | VMGIX | VOT | VMGMX |
Expense Ratio1 | 0.20% | 0.08% | 0.08% |
30-Day SEC Yield | 0.72% | 0.84% | 0.84% |
Portfolio Characteristics | |||
CRSP US | DJ | ||
Mid Cap | U.S. Total | ||
Growth | Market | ||
Fund | Index | FA Index | |
Number of Stocks | 155 | 155 | 3,863 |
Median Market Cap | $12.0B | $12.0B | $53.0B |
Price/Earnings Ratio | 32.1x | 32.1x | 22.0x |
Price/Book Ratio | 4.6x | 4.6x | 2.7x |
Return on Equity | 18.8% | 18.1% | 16.5% |
Earnings Growth | |||
Rate | 15.3% | 15.3% | 7.3% |
Dividend Yield | 0.9% | 0.9% | 2.1% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 25% | — | — |
Short-Term | |||
Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure)
CRSP US | DJ | ||
Mid Cap | U.S. Total | ||
Growth | Market | ||
Fund | Index | FA Index | |
Basic Materials | 0.3% | 0.3% | 2.4% |
Consumer Goods | 10.5 | 10.5 | 10.7 |
Consumer Services | 14.7 | 14.7 | 13.6 |
Financials | 14.9 | 14.9 | 18.6 |
Health Care | 12.8 | 12.8 | 13.4 |
Industrials | 23.7 | 23.7 | 12.6 |
Oil & Gas | 5.0 | 5.0 | 6.7 |
Technology | 15.7 | 15.7 | 15.7 |
Telecommunications | 2.2 | 2.2 | 2.6 |
Utilities | 0.2 | 0.2 | 3.7 |
Volatility Measures | ||
DJ | ||
Spliced | U.S. Total | |
Mid-Cap | Market | |
Growth Index | FA Index | |
R-Squared | 1.00 | 0.89 |
Beta | 1.00 | 1.04 |
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)
Equinix Inc. | Specialty REITs | 1.9% |
Fiserv Inc. | Financial | |
Administration | 1.7 | |
Ross Stores Inc. | Apparel Retailers | 1.6 |
Electronic Arts Inc. | Toys | 1.5 |
Edwards Lifesciences | ||
Corp. | Medical Supplies | 1.5 |
Dollar Tree Inc. | Specialty Retailers | 1.5 |
Realty Income Corp. | Retail REITs | 1.2 |
Cerner Corp. | Software | 1.2 |
Amphenol Corp. | Electrical | |
Components & | ||
Equipment | 1.2 | |
Digital Realty Trust Inc. | Industrial & Office | |
REITs | 1.2 | |
Top Ten | 14.5% |
The holdings listed exclude any temporary cash investments and equity index products.
![](https://capedge.com/proxy/N-CSRS/0000932471-16-014112/usstockindexfundsmid-cax53x1.jpg)
1 The expense ratios shown are from the prospectus dated April 27, 2016, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2016, the annualized expense ratios were 0.20% for Investor Shares, 0.08% for ETF Shares, and 0.08% for Admiral Shares.
51
Mid-Cap Growth Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): August 24, 2006, Through June 30, 2016
![](https://capedge.com/proxy/N-CSRS/0000932471-16-014112/usstockindexfundsmid-cax54x1.jpg)
Mid-Cap Growth Index Fund Investor Shares |
Spliced Mid-Cap Growth Index |
For a benchmark description, see the Glossary. |
Note: For 2016, performance data reflect the six months ended June 30, 2016. |
Average Annual Total Returns: Periods Ended June 30, 2016 | ||||
Inception | One | Five | Since | |
Date | Year | Years | Inception | |
Investor Shares | 8/24/2006 | -3.33% | 9.11% | 7.85% |
ETF Shares | 8/17/2006 | |||
Market Price | -3.33 | 9.24 | 7.82 | |
Net Asset Value | -3.23 | 9.25 | 7.82 | |
Admiral Shares | 9/27/2011 | -3.25 | — | 13.41 |
See Financial Highlights for dividend and capital gains information.
52
Mid-Cap Growth Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2016
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 (0.3%) | |||
* | Axalta Coating Systems | ||
Ltd. | 841,811 | 22,333 | |
Consumer Goods (10.5%) | |||
* | Electronic Arts Inc. | 1,481,681 | 112,252 |
Church & Dwight Co. Inc. | 647,086 | 66,579 | |
McCormick & Co. Inc. | 581,322 | 62,010 | |
* | Mohawk Industries Inc. | 317,636 | 60,275 |
Hormel Foods Corp. | 1,337,235 | 48,943 | |
Hanesbrands Inc. | 1,903,591 | 47,837 | |
Snap-on Inc. | 293,257 | 46,282 | |
* | LKQ Corp. | 1,391,804 | 44,120 |
* | Michael Kors Holdings | ||
Ltd. | 859,505 | 42,528 | |
*,^ | Under Armour Inc. | ||
Class A | 922,357 | 37,014 | |
* | lululemon athletica Inc. | 481,721 | 35,580 |
* | Under Armour Inc. | 938,032 | 34,144 |
* | NVR Inc. | 18,641 | 33,187 |
Harman International | |||
Industries Inc. | 355,772 | 25,551 | |
Polaris Industries Inc. | 309,597 | 25,313 | |
* | WABCO Holdings Inc. | 269,316 | 24,661 |
* | WhiteWave Foods Co. | ||
Class A | 446,649 | 20,966 | |
767,242 | |||
Consumer Services (14.7%) | |||
Ross Stores Inc. | 2,025,994 | 114,854 | |
* | Dollar Tree Inc. | 1,128,443 | 106,345 |
* | Ulta Salon Cosmetics & | ||
Fragrance Inc. | 300,017 | 73,096 |
Market | |||
Value• | |||
Shares | ($000) | ||
Expedia Inc. | 584,251 | 62,106 | |
Tractor Supply Co. | 672,781 | 61,344 | |
* | Chipotle Mexican Grill Inc. | ||
Class A | 147,244 | 59,304 | |
Advance Auto Parts Inc. | 352,282 | 56,939 | |
* | MGM Resorts | ||
International | 2,422,193 | 54,814 | |
^ | Marriott International Inc. | ||
Class A | 769,200 | 51,121 | |
* | CarMax Inc. | 975,637 | 47,836 |
Wyndham Worldwide Corp. | 565,337 | 40,269 | |
* | IHS Inc. Class A | 322,579 | 37,293 |
* | TripAdvisor Inc. | 568,972 | 36,585 |
Alaska Air Group Inc. | 620,790 | 36,186 | |
Signet Jewelers Ltd. | 395,062 | 32,557 | |
* | Norwegian Cruise Line | ||
Holdings Ltd. | 800,299 | 31,884 | |
FactSet Research | |||
Systems Inc. | 195,896 | 31,622 | |
* | Liberty Interactive Corp. | ||
QVC Group Class A | 1,081,097 | 27,427 | |
Scripps Networks | |||
Interactive Inc. Class A | 407,165 | 25,354 | |
Williams-Sonoma Inc. | 405,363 | 21,132 | |
* | AutoNation Inc. | 364,544 | 17,126 |
Tiffany & Co. | 270,172 | 16,383 | |
* | Discovery Communications | ||
Inc. | 597,644 | 14,254 | |
* | Discovery Communications | ||
Inc. Class A | 380,802 | 9,608 | |
* | Hyatt Hotels Corp. Class A | 117,997 | 5,798 |
1,071,237 |
53
Mid-Cap Growth Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
Financials (14.9%) | |||
Equinix Inc. | 350,077 | 135,735 | |
Realty Income Corp. | 1,298,835 | 90,087 | |
Digital Realty Trust Inc. | 803,375 | 87,560 | |
Moody’s Corp. | 832,794 | 78,041 | |
Essex Property Trust Inc. | 329,917 | 75,251 | |
AvalonBay Communities | |||
Inc. | 345,885 | 62,394 | |
Federal Realty Investment | |||
Trust | 357,610 | 59,202 | |
Extra Space Storage Inc. | 599,852 | 55,510 | |
VEREIT Inc. | 4,566,844 | 46,308 | |
* | CBRE Group Inc. Class A | 1,522,264 | 40,310 |
Alexandria Real Estate | |||
Equities Inc. | 372,111 | 38,521 | |
Equifax Inc. | 299,757 | 38,489 | |
* | Affiliated Managers | ||
Group Inc. | 271,391 | 38,204 | |
MSCI Inc. Class A | 461,746 | 35,610 | |
SEI Investments Co. | 734,306 | 35,327 | |
* | E*TRADE Financial Corp. | 1,403,744 | 32,974 |
Macerich Co. | 373,901 | 31,927 | |
Brixmor Property Group | |||
Inc. | 1,082,341 | 28,639 | |
* | Liberty Broadband Corp. | 365,888 | 21,953 |
* | Realogy Holdings Corp. | 740,316 | 21,484 |
Camden Property Trust | 219,133 | 19,376 | |
Lazard Ltd. Class A | 328,661 | 9,787 | |
* | Liberty Broadband Corp. | ||
Class A | 62,585 | 3,718 | |
1,086,407 | |||
Health Care (12.8%) | |||
* | Edwards Lifesciences | ||
Corp. | 1,067,786 | 106,490 | |
CR Bard Inc. | 369,697 | 86,938 | |
DENTSPLY SIRONA Inc. | 1,181,044 | 73,272 | |
* | DaVita HealthCare | ||
Partners Inc. | 833,028 | 64,410 | |
* | Incyte Corp. | 804,127 | 64,314 |
* | BioMarin Pharmaceutical | ||
Inc. | 777,546 | 60,493 | |
* | Centene Corp. | 816,646 | 58,284 |
* | Waters Corp. | 387,799 | 54,544 |
* | Medivation Inc. | 830,098 | 50,055 |
ResMed Inc. | 708,048 | 44,770 | |
* | IDEXX Laboratories Inc. | 451,974 | 41,970 |
Market | |||
Value• | |||
Shares | ($000) | ||
Cooper Cos. Inc. | 244,067 | 41,875 | |
* | Jazz Pharmaceuticals plc | 289,108 | 40,854 |
* | Varian Medical Systems | ||
Inc. | 480,819 | 39,538 | |
* | Alkermes plc | 761,324 | 32,904 |
* | Quintiles Transnational | ||
Holdings Inc. | 422,445 | 27,594 | |
* | Envision Healthcare | ||
Holdings Inc. | 942,507 | 23,911 | |
* | Alnylam Pharmaceuticals | ||
Inc. | 367,213 | 20,377 | |
932,593 | |||
Industrials (23.6%) | |||
* | Fiserv Inc. | 1,121,073 | 121,894 |
Amphenol Corp. Class A | 1,552,644 | 89,013 | |
Roper Technologies Inc. | 510,325 | 87,041 | |
Vulcan Materials Co. | 671,573 | 80,831 | |
* | TransDigm Group Inc. | 253,784 | 66,920 |
Fastenal Co. | 1,456,614 | 64,659 | |
* | FleetCor Technologies Inc. | 443,420 | 63,467 |
WW Grainger Inc. | 278,284 | 63,240 | |
* | Verisk Analytics Inc. | ||
Class A | 763,218 | 61,882 | |
Martin Marietta | |||
Materials Inc. | 320,328 | 61,503 | |
Global Payments Inc. | 776,549 | 55,430 | |
* | Alliance Data Systems | ||
Corp. | 282,376 | 55,323 | |
Acuity Brands Inc. | 220,984 | 54,795 | |
AMETEK Inc. | 1,176,987 | 54,412 | |
CH Robinson Worldwide | |||
Inc. | 719,929 | 53,455 | |
Masco Corp. | 1,677,879 | 51,914 | |
* | Mettler-Toledo | ||
International Inc. | 134,929 | 49,238 | |
Kansas City Southern | 544,549 | 49,058 | |
Pentair plc | 820,128 | 47,805 | |
Expeditors International | |||
of Washington Inc. | 918,976 | 45,067 | |
Fortune Brands Home & | |||
Security Inc. | 774,229 | 44,882 | |
* | Vantiv Inc. Class A | 789,278 | 44,673 |
* | Stericycle Inc. | 428,153 | 44,579 |
Total System Services Inc. | 834,214 | 44,305 | |
JB Hunt Transport | |||
Services Inc. | 453,877 | 36,732 |
54
Mid-Cap Growth Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
* | Waste Connections Inc. | 441,719 | 31,826 |
* | Trimble Navigation Ltd. | 1,264,413 | 30,801 |
Wabtec Corp. | 431,205 | 30,284 | |
* | Sensata Technologies | ||
Holding NV | 859,005 | 29,971 | |
Macquarie Infrastructure | |||
Corp. | 364,174 | 26,967 | |
Robert Half International | |||
Inc. | 629,645 | 24,027 | |
B/E Aerospace Inc. | 515,494 | 23,803 | |
* | First Data Corp. Class A | 1,626,833 | 18,009 |
* | United Rentals Inc. | 223,262 | 14,981 |
1,722,787 | |||
Oil & Gas (4.9%) | |||
* | Concho Resources Inc. | 663,377 | 79,121 |
EQT Corp. | 871,018 | 67,443 | |
Cabot Oil & Gas Corp. | 2,344,671 | 60,352 | |
* | Cheniere Energy Inc. | 1,008,301 | 37,862 |
Range Resources Corp. | 812,087 | 35,033 | |
Cimarex Energy Co. | 238,839 | 28,498 | |
Core Laboratories NV | 221,299 | 27,417 | |
* | Antero Resources Corp. | 995,633 | 25,867 |
361,593 | |||
Technology (15.6%) | |||
* | Cerner Corp. | 1,534,297 | 89,910 |
Lam Research Corp. | 804,815 | 67,653 | |
* | Red Hat Inc. | 914,920 | 66,423 |
Skyworks Solutions Inc. | 959,260 | 60,702 | |
NVIDIA Corp. | 1,279,012 | 60,126 | |
* | Citrix Systems Inc. | 742,995 | 59,506 |
* | Autodesk Inc. | 1,075,837 | 58,246 |
Linear Technology Corp. | 1,205,663 | 56,100 | |
Microchip Technology Inc. | 1,029,062 | 52,235 | |
* | Palo Alto Networks Inc. | 423,401 | 51,926 |
* | ServiceNow Inc. | 780,560 | 51,829 |
* | Akamai Technologies Inc. | 841,156 | 47,046 |
CDK Global Inc. | 783,334 | 43,467 | |
* | Workday Inc. Class A | 565,534 | 42,228 |
* | VeriSign Inc. | 465,564 | 40,253 |
* | ANSYS Inc. | 443,420 | 40,240 |
* | Gartner Inc. | 395,217 | 38,498 |
* | F5 Networks Inc. | 337,348 | 38,404 |
* | Qorvo Inc. | 692,350 | 38,259 |
Market | |||
Value• | |||
Shares | ($000) | ||
* | Splunk Inc. | 667,510 | 36,166 |
Xilinx Inc. | 643,448 | 29,682 | |
KLA-Tencor Corp. | 392,077 | 28,720 | |
* | Twitter Inc. | 1,413,984 | 23,910 |
* | NetSuite Inc. | 202,789 | 14,763 |
* | Premier Inc. Class A | 230,352 | 7,533 |
1,143,825 | |||
Telecommunications (2.2%) | |||
* | Level 3 Communications | ||
Inc. | 1,443,887 | 74,346 | |
* | SBA Communications | ||
Corp. Class A | 632,949 | 68,320 | |
* | Zayo Group Holdings Inc. | 612,049 | 17,095 |
159,761 | |||
Utilities (0.2%) | |||
* | Calpine Corp. | 906,792 | 13,375 |
Total Common Stocks | |||
(Cost $6,532,458) | 7,281,153 | ||
Temporary Cash Investments (0.4%)1 | |||
Money Market Fund (0.4%) | |||
2,3 | Vanguard Market | ||
Liquidity Fund, | |||
0.538% | 27,970,609 | 27,971 | |
Face | |||
Amount | |||
($000) | |||
U.S. Government and Agency Obligations (0.0%) | |||
4,5 | Federal Home Loan Bank | ||
Discount Notes, 0.390%, | |||
9/7/16 | 400 | 399 | |
4,5 | Federal Home Loan Bank | ||
Discount Notes, | |||
0.400%-0.450%, 9/16/16 | 300 | 300 | |
699 | |||
Total Temporary Cash Investments | |||
(Cost $28,670) | 28,670 | ||
Total Investments (100.1%) | |||
(Cost $6,561,128) | 7,309,823 |
55
Mid-Cap Growth Index Fund | |
Amount | |
($000) | |
Other Assets and Liabilities (-0.1%) | |
Other Assets | |
Investment in Vanguard | 602 |
Receivables for Accrued Income | 3,563 |
Receivables for Capital Shares Issued | 24,740 |
Other Assets | 312 |
Total Other Assets | 29,217 |
Liabilities | |
Payables for Investment Securities | |
Purchased | (18,560) |
Collateral for Securities on Loan | (9,890) |
Payables for Capital Shares Redeemed | (7,654) |
Payables to Vanguard | (2,773) |
Other Liabilities | (1,049) |
Total Liabilities | (39,926) |
Net Assets (100%) | 7,299,114 |
At June 30, 2016, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 6,986,900 |
Undistributed Net Investment Income | 2,109 |
Accumulated Net Realized Losses | (438,632) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 748,695 |
Futures Contracts | 42 |
Net Assets | 7,299,114 |
Amount | |
($000) | |
Investor Shares—Net Assets | |
Applicable to 11,960,350 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 479,328 |
Net Asset Value Per Share— | |
Investor Shares | $40.08 |
ETF Shares—Net Assets | |
Applicable to 32,029,266 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 3,264,332 |
Net Asset Value Per Share— | |
ETF Shares | $101.92 |
Admiral Shares—Net Assets | |
Applicable to 81,040,751 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 3,555,454 |
Net Asset Value Per Share— | |
Admiral Shares | $43.87 |
• 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 $9,737,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund’s effective common stock and temporary cash investment positions represent 99.9% and 0.2%, respectively, of net
assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the
7-day yield.
3 Includes $9,890,000 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 $600,000 and cash of $100,000 have been segregated as initial margin for open futures contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
56
Mid-Cap Growth Index Fund | |
Statement of Operations | |
Six Months Ended | |
June 30, 2016 | |
($000) | |
Investment Income | |
Income | |
Dividends | 28,718 |
Interest1 | 46 |
Securities Lending | 938 |
Total Income | 29,702 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 677 |
Management and Administrative—Investor Shares | 352 |
Management and Administrative—ETF Shares | 740 |
Management and Administrative—Admiral Shares | 741 |
Marketing and Distribution—Investor Shares | 66 |
Marketing and Distribution—ETF Shares | 105 |
Marketing and Distribution—Admiral Shares | 181 |
Custodian Fees | 27 |
Shareholders’ Reports—Investor Shares | 18 |
Shareholders’ Reports—ETF Shares | 67 |
Shareholders’ Reports—Admiral Shares | 38 |
Trustees’ Fees and Expenses | 2 |
Total Expenses | 3,014 |
Net Investment Income | 26,688 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 20,409 |
Futures Contracts | 1,246 |
Realized Net Gain (Loss) | 21,655 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 134,277 |
Futures Contracts | 7 |
Change in Unrealized Appreciation (Depreciation) | 134,284 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 182,627 |
1 Interest income from an affiliated company of the fund was $43,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
57
Mid-Cap Growth Index Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2016 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 26,688 | 56,067 |
Realized Net Gain (Loss) | 21,655 | 269,315 |
Change in Unrealized Appreciation (Depreciation) | 134,284 | (475,467) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 182,627 | (150,085) |
Distributions | ||
Net Investment Income | ||
Investor Shares | (1,263) | (3,858) |
ETF Shares | (10,282) | (27,055) |
Admiral Shares | (10,758) | (25,969) |
Realized Capital Gain | ||
Investor Shares | — | — |
ETF Shares | — | — |
Admiral Shares | — | — |
Total Distributions | (22,303) | (56,882) |
Capital Share Transactions | ||
Investor Shares | (70,600) | (8,440) |
ETF Shares | (102,180) | 683,080 |
Admiral Shares | 148,737 | 1,153,268 |
Net Increase (Decrease) from Capital Share Transactions | (24,043) | 1,827,908 |
Total Increase (Decrease) | 136,281 | 1,620,941 |
Net Assets | ||
Beginning of Period | 7,162,833 | 5,541,892 |
End of Period1 | 7,299,114 | 7,162,833 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $2,109,000 and ($2,276,000).
See accompanying Notes, which are an integral part of the Financial Statements.
58
Mid-Cap Growth Index Fund | ||||||
Financial Highlights | ||||||
Investor Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $39.22 | $39.94 | $35.46 | $26.99 | $23.43 | $24.46 |
Investment Operations | ||||||
Net Investment Income | .123 | .268 | .258 | .169 | .146 | .087 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | .837 | (.719) | 4.476 | 8.470 | 3.559 | (1.027) |
Total from Investment Operations | .960 | (.451) | 4.734 | 8.639 | 3.705 | (.940) |
Distributions | ||||||
Dividends from Net Investment Income | (.100) | (. 269) | (. 254) | (.169) | (.145) | (. 090) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.100) | (. 269) | (. 254) | (.169) | (.145) | (. 090) |
Net Asset Value, End of Period | $40.08 | $39.22 | $39.94 | $35.46 | $26.99 | $23.43 |
Total Return1 | 2.46% | -1.13% | 13.35% | 32.02% | 15.81% | -3.84% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $479 | $542 | $562 | $595 | $483 | $503 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.20% | 0.20% | 0.23% | 0.24% | 0.24% | 0.24% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 0.72% | 0.70% | 0.79% | 0.57% | 0.58% | 0.35% |
Portfolio Turnover Rate2 | 25% | 23% | 17% | 64% | 38% | 41% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
59
Mid-Cap Growth Index Fund | ||||||
Financial Highlights | ||||||
ETF Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $99.75 | $101.57 | $90.20 | $68.64 | $59.61 | $62.23 |
Investment Operations | ||||||
Net Investment Income | . 375 | . 805 | . 816 | . 556 | . 474 | . 316 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.109 | (1.815) | 11.359 | 21.558 | 9.029 | (2.617) |
Total from Investment Operations | 2.484 | (1.010) | 12.175 | 22.114 | 9.503 | (2.301) |
Distributions | ||||||
Dividends from Net Investment Income | (. 314) | (. 810) | (. 805) | (. 554) | (. 473) | (. 319) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (. 314) | (. 810) | (. 805) | (. 554) | (. 473) | (. 319) |
Net Asset Value, End of Period | $101.92 | $99.75 | $101.57 | $90.20 | $68.64 | $59.61 |
Total Return | 2.50% | -1.00% | 13.49% | 32.23% | 15.94% | -3.70% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,264 | $3,302 | $2,716 | $1,896 | $1,200 | $1,095 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.09% | 0.09% | 0.10% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 0.84% | 0.82% | 0.93% | 0.72% | 0.72% | 0.49% |
Portfolio Turnover Rate1 | 25% | 23% | 17% | 64% | 38% | 41% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
60
Mid-Cap Growth Index Fund | |||||||
Financial Highlights | |||||||
Admiral Shares | |||||||
Six Months | Sept. 27, | ||||||
Ended | 20111 to | ||||||
Year Ended December 31, | |||||||
For a Share Outstanding | June 30, | Dec. 31, | |||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | |
Net Asset Value, Beginning of Period | $42.94 | $43.72 | $38.83 | $29.55 | $25.66 | $25.00 | |
Investment Operations | |||||||
Net Investment Income | .161 | .349 | .350 | .239 | .205 | .027 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | .903 | (.777) | 4.886 | 9.279 | 3.889 | .736 | |
Total from Investment Operations | 1.064 | (.428) | 5.236 | 9.518 | 4.094 | .763 | |
Distributions | |||||||
Dividends from Net Investment Income | (.134) | (. 352) | (. 346) | (. 238) | (. 204) | (.103) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (.134) | (. 352) | (. 346) | (. 238) | (. 204) | (.103) | |
Net Asset Value, End of Period | $43.87 | $42.94 | $43.72 | $38.83 | $29.55 | $25.66 | |
Total Return2 | 2.49% | -0.98% | 13.48% | 32.22% | 15.96% | 3.05% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $3,555 | $3,319 | $2,264 | $1,566 | $913 | $525 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.08% | 0.08% | 0.09% | 0.09% | 0.10% | 0.10%3 | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 0.84% | 0.82% | 0.93% | 0.72% | 0.72% | 0.49%3 | |
Portfolio Turnover Rate 4 | 25% | 23% | 17% | 64% | 38% | 41% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about
any applicable account service fees.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
61
Mid-Cap Growth Index Fund
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, ETF Shares, and Admiral Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. Admiral Shares are designed for investors who meet certain administrative, service, and account-size criteria.
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).
62
Mid-Cap Growth Index Fund
During the six months ended June 30, 2016, 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, 2012–2015), and for the period ended June 30, 2016, 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 subject to termination by the fund at any time, and 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 (“Vanguard”) participate in a $3.1 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 0.10% 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 based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at June 30, 2016, or at any time during the period then ended.
63
Mid-Cap Growth Index Fund
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.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At June 30, 2016, the fund had contributed to Vanguard capital in the amount of $602,000, representing 0.01% of the fund’s net assets and 0.24% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of June 30, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 7,281,153 | — | — |
Temporary Cash Investments | 27,971 | 699 | — |
Futures Contracts—Assets1 | 214 | — | — |
Total | 7,309,338 | 699 | — |
1 Represents variation margin on the last day of the reporting period. |
64
Mid-Cap Growth Index Fund
D. At June 30, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
E-mini S&P 500 Index | September 2016 | 100 | 10,451 | 50 |
E-mini S&P Mid-Cap 400 Index | September 2016 | 34 | 5,076 | (8) |
42 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended June 30, 2016, the fund realized $100,335,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2015, the fund had available capital losses totaling $359,917,000 to offset future net capital gains. Of this amount, $73,214,000 is subject to expiration on December 31, 2018. Capital losses of $286,703,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, but must be used before any expiring loss carryforwards. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2016; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2016, the cost of investment securities for tax purposes was $6,561,128,000. Net unrealized appreciation of investment securities for tax purposes was $748,695,000, consisting of unrealized gains of $1,099,308,000 on securities that had risen in value since their purchase and $350,613,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2016, the fund purchased $1,178,941,000 of investment securities and sold $1,187,637,000 of investment securities, other than temporary cash investments. Purchases and sales include $200,129,000 and $311,577,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
65
Mid-Cap Growth Index Fund
G. Capital share transactions for each class of shares were: | ||||
Six Months Ended | Year Ended | |||
June 30, 2016 | December 31, 2015 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 55,170 | 1,452 | 238,852 | 5,803 |
Issued in Lieu of Cash Distributions | 1,228 | 32 | 3,761 | 96 |
Redeemed | (126,998) | (3,340) | (251,053) | (6,150) |
Net Increase (Decrease)—Investor Shares | (70,600) | (1,856) | (8,440) | (251) |
ETF Shares | ||||
Issued | 213,157 | 2,177 | 2,076,252 | 19,811 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (315,337) | (3,250) | (1,393,172) | (13,450) |
Net Increase (Decrease)—ETF Shares | (102,180) | (1,073) | 683,080 | 6,361 |
Admiral Shares | ||||
Issued | 626,192 | 15,127 | 1,742,625 | 38,699 |
Issued in Lieu of Cash Distributions | 9,912 | 232 | 23,858 | 555 |
Redeemed | (487,367) | (11,618) | (613,215) | (13,738) |
Net Increase (Decrease)—Admiral Shares | 148,737 | 3,741 | 1,153,268 | 25,516 |
H. Management has determined that no material events or transactions occurred subsequent to June 30, 2016, that would require recognition or disclosure in these financial statements.
66
Mid-Cap Value Index Fund
Fund Profile
As of June 30, 2016
Share-Class Characteristics | |||
Investor | ETF | Admiral | |
Shares | Shares | Shares | |
Ticker Symbol | VMVIX | VOE | VMVAX |
Expense Ratio1 | 0.20% | 0.08% | 0.08% |
30-Day SEC Yield | 1.94% | 2.06% | 2.06% |
Portfolio Characteristics | |||
CRSP US | DJ | ||
Mid Cap | U.S. Total | ||
Value | Market | ||
Fund | Index | FA Index | |
Number of Stocks | 206 | 201 | 3,863 |
Median Market Cap | $10.5B | $10.5B | $53.0B |
Price/Earnings Ratio | 22.8x | 22.0x | 22.0x |
Price/Book Ratio | 1.9x | 1.9x | 2.7x |
Return on Equity | 13.1% | 12.9% | 16.5% |
Earnings Growth | |||
Rate | 6.3% | 6.3% | 7.3% |
Dividend Yield | 2.2% | 2.2% | 2.1% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 24% | — | — |
Short-Term | |||
Reserves | -0.1% | — | — |
Sector Diversification (% of equity exposure)
CRSP US | DJ | ||
Mid Cap | U.S. Total | ||
Value | Market | ||
Fund | Index | FA Index | |
Basic Materials | 7.9% | 7.9% | 2.4% |
Consumer Goods | 17.6 | 17.5 | 10.7 |
Consumer Services | 10.7 | 10.6 | 13.6 |
Financials | 23.5 | 23.4 | 18.6 |
Health Care | 4.5 | 4.5 | 13.4 |
Industrials | 11.3 | 11.2 | 12.6 |
Oil & Gas | 5.3 | 5.8 | 6.7 |
Technology | 8.2 | 8.1 | 15.7 |
Telecommunications | 0.3 | 0.4 | 2.6 |
Utilities | 10.7 | 10.6 | 3.7 |
Volatility Measures | ||
DJ | ||
Spliced | U.S. Total | |
Mid-Cap | Market | |
Value Index | FA Index | |
R-Squared | 1.00 | 0.96 |
Beta | 1.00 | 0.99 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
Ten Largest Holdings (% of total net assets)
Fidelity National | Financial | |
Information Services Inc. Administration | 1.5% | |
Newell Brands Inc. | Durable Household | |
Products | 1.4 | |
ConAgra Foods Inc. | Food Products | 1.3 |
Newmont Mining Corp. | Gold Mining | 1.3 |
WEC Energy Group Inc. | Multiutilities | 1.3 |
Tyson Foods Inc. | Food Products | 1.2 |
Eversource Energy | Conventional | |
Electricity | 1.2 | |
Dr Pepper Snapple | ||
Group Inc. | Soft Drinks | 1.1 |
Clorox Co. | Nondurable | |
Household Products | 1.1 | |
Nielsen Holdings plc | Media Agencies | 1.1 |
Top Ten | 12.5% |
The holdings listed exclude any temporary cash investments and equity index products.
![](https://capedge.com/proxy/N-CSRS/0000932471-16-014112/usstockindexfundsmid-cax69x1.jpg)
1 The expense ratios shown are from the prospectus dated April 27, 2016, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2016, the annualized expense ratios were 0.20% for Investor Shares, 0.08% for ETF Shares, and 0.08% for Admiral Shares.
67
Mid-Cap Value Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): August 24, 2006, Through June 30, 2016
![](https://capedge.com/proxy/N-CSRS/0000932471-16-014112/usstockindexfundsmid-cax70x1.jpg)
Spliced Mid-Cap Value Index
For a benchmark description, see the Glossary.
Note: For 2016, performance data reflect the six months ended June 30, 2016.
Average Annual Total Returns: Periods Ended June 30, 2016 | ||||
Inception | One | Five | Since | |
Date | Year | Years | Inception | |
Investor Shares | 8/24/2006 | 1.13% | 11.59% | 7.86% |
ETF Shares | 8/17/2006 | |||
Market Price | 1.22 | 11.74 | 7.93 | |
Net Asset Value | 1.26 | 11.74 | 7.93 | |
Admiral Shares | 9/27/2011 | 1.27 | — | 16.18 |
See Financial Highlights for dividend and capital gains information.
68
Mid-Cap Value Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2016
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 (7.9%) | ||
Newmont Mining Corp. | 3,403,487 | 133,144 |
Freeport-McMoRan Inc. | 7,190,878 | 80,106 |
Alcoa Inc. | 8,390,919 | 77,784 |
International Flavors & | ||
Fragrances Inc. | 508,338 | 64,086 |
Celanese Corp. Class A | 940,305 | 61,543 |
Eastman Chemical Co. | 895,673 | 60,816 |
Mosaic Co. | 2,231,317 | 58,416 |
Albemarle Corp. | 716,499 | 56,826 |
Ashland Inc. | 396,329 | 45,487 |
Avery Dennison Corp. | 568,198 | 42,473 |
FMC Corp. | 852,174 | 39,464 |
CF Industries Holdings | ||
Inc. | 1,485,388 | 35,798 |
Reliance Steel & | ||
Aluminum Co. | 438,062 | 33,687 |
WR Grace & Co. | 449,529 | 32,910 |
Westlake Chemical Corp. | 251,034 | 10,774 |
833,314 | ||
Consumer Goods (17.6%) | ||
Newell Brands Inc. | 3,066,151 | 148,923 |
ConAgra Foods Inc. | 2,799,714 | 133,854 |
Tyson Foods Inc. Class A | 1,927,992 | 128,771 |
Dr Pepper Snapple Group | ||
Inc. | 1,192,010 | 115,184 |
Clorox Co. | 829,758 | 114,830 |
Molson Coors Brewing | ||
Co. Class B | 1,118,976 | 113,162 |
JM Smucker Co. | 729,439 | 111,174 |
Genuine Parts Co. | 906,709 | 91,804 |
Whirlpool Corp. | 484,136 | 80,676 |
Coach Inc. | 1,772,479 | 72,211 |
DR Horton Inc. | 2,246,504 | 70,720 |
Mattel Inc. | 2,170,649 | 67,920 |
Hasbro Inc. | 715,858 | 60,125 |
Delphi Automotive plc | 870,663 | 54,503 |
Lennar Corp. Class A | 1,170,890 | 53,978 |
Market | |||
Value• | |||
Shares | ($000) | ||
Bunge Ltd. | 889,369 | 52,606 | |
Harley-Davidson Inc. | 1,155,590 | 52,348 | |
PVH Corp. | 517,261 | 48,742 | |
Lear Corp. | 470,874 | 47,916 | |
BorgWarner Inc. | 1,386,275 | 40,923 | |
PulteGroup Inc. | 1,984,885 | 38,685 | |
Leucadia National Corp. | 2,078,927 | 36,028 | |
Ralph Lauren Corp. | |||
Class A | 363,434 | 32,571 | |
* | Edgewell Personal | ||
Care Co. | 378,523 | 31,951 | |
Goodyear Tire & Rubber | |||
Co. | 849,132 | 21,789 | |
Pilgrim’s Pride Corp. | 408,558 | 10,410 | |
^ | Coty Inc. Class A | 318,374 | 8,275 |
Lennar Corp. Class B | 59,277 | 2,208 | |
1,842,287 | |||
Consumer Services (10.7%) | |||
Nielsen Holdings plc | 2,198,946 | 114,279 | |
Royal Caribbean Cruises | |||
Ltd. | 1,097,323 | 73,685 | |
Whole Foods Market Inc. | 2,046,901 | 65,542 | |
Interpublic Group of Cos. | |||
Inc. | 2,566,303 | 59,282 | |
Best Buy Co. Inc. | 1,757,695 | 53,785 | |
Aramark | 1,549,731 | 51,792 | |
Darden Restaurants Inc. | 768,422 | 48,672 | |
Foot Locker Inc. | 868,869 | 47,666 | |
Wynn Resorts Ltd. | 519,726 | 47,108 | |
AmerisourceBergen Corp. | |||
Class A | 585,699 | 46,458 | |
Kohl’s Corp. | 1,179,747 | 44,736 | |
Bed Bath & Beyond Inc. | 943,261 | 40,768 | |
Starwood Hotels & | |||
Resorts Worldwide Inc. | 540,187 | 39,947 | |
* | United Continental | ||
Holdings Inc. | 962,267 | 39,491 | |
* | Liberty SiriusXM Group | ||
Class C | 1,278,365 | 39,463 | |
Staples Inc. | 4,119,343 | 35,509 |
69
Mid-Cap Value Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
News Corp. Class A | 2,988,968 | 33,925 | |
Macy’s Inc. | 984,184 | 33,078 | |
H&R Block Inc. | 1,430,766 | 32,908 | |
Gap Inc. | 1,395,885 | 29,621 | |
Nordstrom Inc. | 772,402 | 29,390 | |
* | Rite Aid Corp. | 3,345,700 | 25,059 |
Tiffany & Co. | 342,522 | 20,771 | |
* | Liberty SiriusXM Group | 621,428 | 19,488 |
* | Discovery | ||
Communications Inc. | 755,247 | 18,013 | |
* | Hertz Global Holdings Inc. | 1,156,583 | 12,803 |
* | Discovery | ||
Communications Inc. | |||
Class A | 482,496 | 12,173 | |
News Corp. Class B | 198,909 | 2,321 | |
Interval Leisure Group Inc. | 1 | — | |
1,117,733 | |||
Financials (23.4%) | |||
Hartford Financial | |||
Services Group Inc. | 2,523,694 | 112,001 | |
M&T Bank Corp. | 918,068 | 108,543 | |
Willis Towers Watson plc | 843,771 | 104,889 | |
* | Markel Corp. | 84,667 | 80,669 |
Kimco Realty Corp. | 2,541,485 | 79,752 | |
Host Hotels & Resorts | |||
Inc. | 4,765,336 | 77,246 | |
Principal Financial Group | |||
Inc. | 1,847,202 | 75,938 | |
Cincinnati Financial Corp. | 996,121 | 74,599 | |
Regions Financial Corp. | 8,075,099 | 68,719 | |
SL Green Realty Corp. | 639,192 | 68,055 | |
First Republic Bank | 947,621 | 66,324 | |
Annaly Capital | |||
Management Inc. | 5,897,073 | 65,281 | |
FNF Group | 1,681,606 | 63,060 | |
UDR Inc. | 1,703,724 | 62,901 | |
Citizens Financial Group | |||
Inc. | 3,104,484 | 62,027 | |
XL Group plc Class A | 1,807,422 | 60,205 | |
Western Union Co. | 3,132,513 | 60,082 | |
KeyCorp | 5,372,820 | 59,370 | |
Lincoln National Corp. | 1,524,465 | 59,103 | |
* | Arch Capital Group Ltd. | 740,191 | 53,294 |
* | Ally Financial Inc. | 2,934,190 | 50,087 |
Everest Re Group Ltd. | 270,267 | 49,370 | |
Equifax Inc. | 379,623 | 48,744 | |
Iron Mountain Inc. | 1,217,869 | 48,508 | |
Unum Group | 1,517,485 | 48,241 | |
Nasdaq Inc. | 735,220 | 47,547 | |
Comerica Inc. | 1,118,350 | 45,998 | |
Huntington Bancshares | |||
Inc. | 5,101,035 | 45,603 | |
Torchmark Corp. | 730,221 | 45,142 | |
New York Community | |||
Bancorp Inc. | 2,947,478 | 44,183 |
Market | |||
Value• | |||
Shares | ($000) | ||
American Capital Agency | |||
Corp. | 2,108,997 | 41,800 | |
CIT Group Inc. | 1,285,357 | 41,016 | |
Macerich Co. | 473,634 | 40,444 | |
Raymond James | |||
Financial Inc. | 811,504 | 40,007 | |
Reinsurance Group of | |||
America Inc. Class A | 408,279 | 39,599 | |
WR Berkley Corp. | 586,225 | 35,127 | |
Invesco Ltd. | 1,329,551 | 33,957 | |
Zions Bancorporation | 1,304,628 | 32,785 | |
Axis Capital Holdings Ltd. | 593,143 | 32,623 | |
Voya Financial Inc. | 1,300,115 | 32,191 | |
People’s United Financial | |||
Inc. | 1,982,514 | 29,064 | |
Jones Lang LaSalle Inc. | 287,599 | 28,026 | |
* | Alleghany Corp. | 46,798 | 25,719 |
Camden Property Trust | 277,668 | 24,551 | |
Assurant Inc. | 198,055 | 17,094 | |
Navient Corp. | 1,059,485 | 12,661 | |
Lazard Ltd. Class A | 412,757 | 12,292 | |
* | Santander Consumer | ||
USA Holdings Inc. | 347,492 | 3,590 | |
Legg Mason Inc. | 222 | 6 | |
2,458,033 | |||
Health Care (4.5%) | |||
* | Henry Schein Inc. | 525,484 | 92,906 |
* | Laboratory Corp. of | ||
America Holdings | 653,247 | 85,099 | |
Universal Health Services | |||
Inc. Class B | 572,106 | 76,719 | |
Quest Diagnostics Inc. | 901,826 | 73,418 | |
* | Hologic Inc. | 1,778,590 | 61,539 |
* | Mallinckrodt plc | 696,659 | 42,343 |
Patterson Cos. Inc. | 537,507 | 25,741 | |
* | Endo International plc | 642,933 | 10,023 |
467,788 | |||
Industrials (11.3%) | |||
Fidelity National | |||
Information Services Inc. | 2,094,299 | 154,308 | |
Rockwell Collins Inc. | 830,026 | 70,668 | |
Dover Corp. | 989,241 | 68,574 | |
Ball Corp. | 904,136 | 65,360 | |
L-3 Communications | |||
Holdings Inc. | 441,659 | 64,787 | |
WestRock Co. | 1,610,848 | 62,614 | |
Xerox Corp. | 6,138,318 | 58,253 | |
Sealed Air Corp. | 1,257,568 | 57,810 | |
Textron Inc. | 1,543,515 | 56,431 | |
Cintas Corp. | 546,210 | 53,600 | |
Xylem Inc. | 1,141,681 | 50,976 | |
* | Crown Holdings Inc. | 890,539 | 45,124 |
Fluor Corp. | 889,119 | 43,816 | |
* | Jacobs Engineering | ||
Group Inc. | 776,949 | 38,700 |
70
Mid-Cap Value Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
Flowserve Corp. | 830,701 | 37,523 | |
Hubbell Inc. Class B | 350,016 | 36,916 | |
* | Arrow Electronics Inc. | 584,002 | 36,150 |
Owens Corning | 699,347 | 36,030 | |
Avnet Inc. | 819,322 | 33,191 | |
ManpowerGroup Inc. | 455,717 | 29,321 | |
FLIR Systems Inc. | 878,140 | 27,178 | |
Allison Transmission | |||
Holdings Inc. | 920,591 | 25,988 | |
* | United Rentals Inc. | 283,205 | 19,003 |
AGCO Corp. | 224,962 | 10,602 | |
1,182,923 | |||
Oil & Gas (5.3%) | |||
Marathon Oil Corp. | 5,437,799 | 81,621 | |
National Oilwell Varco Inc. | 2,403,933 | 80,892 | |
Devon Energy Corp. | 1,587,938 | 57,563 | |
Tesoro Corp. | 765,306 | 57,337 | |
Helmerich & Payne Inc. | 653,849 | 43,893 | |
OGE Energy Corp. | 1,272,600 | 41,678 | |
* | FMC Technologies Inc. | 1,442,444 | 38,470 |
Cimarex Energy Co. | 302,125 | 36,049 | |
* | Weatherford International | ||
plc | 5,710,266 | 31,692 | |
HollyFrontier Corp. | 1,126,108 | 26,768 | |
Murphy Oil Corp. | 523,110 | 16,609 | |
Energen Corp. | 310,644 | 14,976 | |
* | Continental Resources Inc. | 299,823 | 13,573 |
Columbia Pipeline Group | |||
Inc. | 529,990 | 13,509 | |
Oceaneering International | |||
Inc. | 134 | 4 | |
554,634 | |||
Other (0.0%)2 | |||
* | Safeway Inc CVR | ||
(Casa Ley) Exp. 01/30/2018 1,233 | — | ||
* | Safeway Inc CVR (PDC) | ||
Exp. 01/30/2017 | 1,233 | — | |
— | |||
Technology (8.2%) | |||
Western Digital Corp. | 1,705,983 | 80,625 | |
Symantec Corp. | 3,908,325 | 80,277 | |
NVIDIA Corp. | 1,618,146 | 76,069 | |
Harris Corp. | 795,212 | 66,353 | |
Maxim Integrated | |||
Products Inc. | 1,812,732 | 64,696 | |
* | Synopsys Inc. | 968,842 | 52,395 |
Juniper Networks Inc. | 2,327,617 | 52,348 | |
Seagate Technology plc | 1,901,414 | 46,319 | |
* | Micron Technology Inc. | 3,303,665 | 45,458 |
NetApp Inc. | 1,845,768 | 45,387 | |
Xilinx Inc. | 814,267 | 37,562 | |
KLA-Tencor Corp. | 496,228 | 36,349 | |
Motorola Solutions Inc. | 529,317 | 34,919 | |
Garmin Ltd. | 723,480 | 30,690 |
Market | |||
Value• | |||
Shares | ($000) | ||
* | Nuance Communications | ||
Inc. | 1,781,591 | 27,846 | |
Marvell Technology Group | |||
Ltd. | 2,642,104 | 25,179 | |
Computer Sciences Corp. | 440,820 | 21,887 | |
* | IMS Health Holdings Inc. | 737,887 | 18,713 |
CSRA Inc. | 520,093 | 12,186 | |
855,258 | |||
Telecommunications (0.3%) | |||
Frontier Communications | |||
Corp. | 7,476,856 | 36,936 | |
Utilities (10.7%) | |||
WEC Energy Group Inc. | 2,024,979 | 132,231 | |
Eversource Energy | 2,034,966 | 121,894 | |
DTE Energy Co. | 1,151,172 | 114,104 | |
American Water Works | |||
Co. Inc. | 1,140,075 | 96,348 | |
Ameren Corp. | 1,548,189 | 82,952 | |
CMS Energy Corp. | 1,786,299 | 81,920 | |
ONEOK Inc. | 1,339,898 | 63,578 | |
CenterPoint Energy Inc. | 2,609,038 | 62,617 | |
SCANA Corp. | 820,360 | 62,068 | |
Alliant Energy Corp. | 1,448,814 | 57,518 | |
Pinnacle West Capital | |||
Corp. | 708,967 | 57,469 | |
NiSource Inc. | 2,051,765 | 54,413 | |
AES Corp. | 4,205,887 | 52,490 | |
Entergy Corp. | 570,565 | 46,415 | |
Avangrid Inc. | 395,214 | 18,204 | |
* | Calpine Corp. | 1,149,505 | 16,955 |
1,121,176 | |||
Total Common Stocks | |||
(Cost $9,494,591) | 10,470,082 | ||
Temporary Cash Investments (0.2%)1 | |||
Money Market Fund (0.2%) | |||
3,4 | Vanguard Market | ||
Liquidity Fund, | |||
0.538% | 19,385,770 | 19,386 | |
Face | |||
Amount | |||
($000) | |||
U.S. Government and Agency Obligations (0.0%) | |||
5,6 | Federal Home Loan Bank | ||
Discount Notes, 0.335%, | |||
7/22/16 | 2,800 | 2,799 | |
Total Temporary Cash Investments | |||
(Cost $22,185) | 22,185 | ||
Total Investments (100.1%) | |||
(Cost $9,516,776) | 10,492,267 |
71
Mid-Cap Value Index Fund | ||
Amount | ||
($000) | ||
Other Assets and Liabilities (-0.1%) | ||
Other Assets | ||
Investment in Vanguard | 838 | |
Receivables for Investment Securities Sold | 15 | |
Receivables for Accrued Income | 15,394 | |
Receivables for Capital Shares Issued | 8,326 | |
Other Assets | 13,603 | |
Total Other Assets | 38,176 | |
Liabilities | ||
Payables for Investment Securities | ||
Purchased | (34,830) | |
Collateral for Securities on Loan | (2,514) | |
Payables for Capital Shares Redeemed | (6,587) | |
Payables to Vanguard | (2,896) | |
Total Liabilities | (46,827) | |
Net Assets (100%) | 10,483,616 | |
At June 30, 2016, net assets consisted of: | ||
Amount | ||
($000) | ||
Paid-in Capital | 9,918,185 | |
Undistributed Net Investment Income | 11,766 | |
Accumulated Net Realized Losses | (422,083) | |
Unrealized Appreciation (Depreciation) | ||
Investment Securities | 975,491 | |
Futures Contracts | 257 | |
Net Assets | 10,483,616 |
Amount | |
($000) | |
Investor Shares—Net Assets | |
Applicable to 17,070,591 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 598,514 |
Net Asset Value Per Share— | |
Investor Shares | $35.06 |
ETF Shares—Net Assets | |
Applicable to 56,082,098 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 4,994,372 |
Net Asset Value Per Share— | |
ETF Shares | $89.05 |
Admiral Shares—Net Assets | |
Applicable to 106,019,445 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 4,890,730 |
Net Asset Value Per Share— | |
Admiral Shares | $46.13 |
• 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 $2,420,000.
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 0.0%, 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 $2,514,000 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 $1,100,000 have been segregated as initial margin for open futures contracts.
CVR—Contingent Value Rights.
See accompanying Notes, which are an integral part of the Financial Statements.
72
Mid-Cap Value Index Fund | |
Statement of Operations | |
Six Months Ended | |
June 30, 2016 | |
($000) | |
Investment Income | |
Income | |
Dividends | 97,885 |
Interest1 | 84 |
Securities Lending | 676 |
Total Income | 98,645 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 922 |
Management and Administrative—Investor Shares | 411 |
Management and Administrative—ETF Shares | 1,020 |
Management and Administrative—Admiral Shares | 919 |
Marketing and Distribution—Investor Shares | 78 |
Marketing and Distribution—ETF Shares | 154 |
Marketing and Distribution—Admiral Shares | 233 |
Custodian Fees | 51 |
Shareholders’ Reports—Investor Shares | 17 |
Shareholders’ Reports—ETF Shares | 101 |
Shareholders’ Reports—Admiral Shares | 40 |
Trustees’ Fees and Expenses | 3 |
Total Expenses | 3,949 |
Net Investment Income | 94,696 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 78,347 |
Futures Contracts | 2,036 |
Realized Net Gain (Loss) | 80,383 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 264,960 |
Futures Contracts | 68 |
Change in Unrealized Appreciation (Depreciation) | 265,028 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 440,107 |
1 Interest income from an affiliated company of the fund was $80,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
73
Mid-Cap Value Index Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2016 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 94,696 | 171,890 |
Realized Net Gain (Loss) | 80,383 | 289,945 |
Change in Unrealized Appreciation (Depreciation) | 265,028 | (628,256) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 440,107 | (166,421) |
Distributions | ||
Net Investment Income | ||
Investor Shares | (4,735) | (11,384) |
ETF Shares | (42,431) | (84,188) |
Admiral Shares | (38,719) | (73,446) |
Realized Capital Gain | ||
Investor Shares | — | — |
ETF Shares | — | — |
Admiral Shares | — | — |
Total Distributions | (85,885) | (169,018) |
Capital Share Transactions | ||
Investor Shares | (9,177) | (17,234) |
ETF Shares | 479,257 | 1,106,022 |
Admiral Shares | 836,536 | 1,138,592 |
Net Increase (Decrease) from Capital Share Transactions | 1,306,616 | 2,227,380 |
Total Increase (Decrease) | 1,660,838 | 1,891,941 |
Net Assets | ||
Beginning of Period | 8,822,778 | 6,930,837 |
End of Period1 | 10,483,616 | 8,822,778 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $11,766,000 and $2,955,000.
See accompanying Notes, which are an integral part of the Financial Statements.
74
Mid-Cap Value Index Fund | ||||||
Financial Highlights | ||||||
Investor Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $33.86 | $35.19 | $31.38 | $23.16 | $20.34 | $20.85 |
Investment Operations | ||||||
Net Investment Income | . 305 | .658 | .539 | .441 | .423 | .417 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.173 | (1.341) | 3.804 | 8.218 | 2.813 | (.509) |
Total from Investment Operations | 1.478 | (.683) | 4.343 | 8.659 | 3.236 | (.092) |
Distributions | ||||||
Dividends from Net Investment Income | (. 278) | (. 647) | (. 533) | (. 439) | (. 416) | (. 418) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (. 278) | (. 647) | (. 533) | (. 439) | (. 416) | (. 418) |
Net Asset Value, End of Period | $35.06 | $33.86 | $35.19 | $31.38 | $23.16 | $20.34 |
Total Return1 | 4.38% | -1.91% | 13.84% | 37.42% | 15.91% | -0.44% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $599 | $588 | $628 | $640 | $487 | $455 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.20% | 0.20% | 0.23% | 0.24% | 0.24% | 0.24% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.99% | 2.01% | 1.86% | 1.80% | 2.21% | 1.97% |
Portfolio Turnover Rate2 | 24% | 20% | 14% | 46% | 33% | 41% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
75
Mid-Cap Value Index Fund | ||||||
Financial Highlights | ||||||
ETF Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $85.99 | $89.39 | $79.73 | $58.82 | $51.67 | $52.97 |
Investment Operations | ||||||
Net Investment Income | .826 | 1.785 | 1.504 | 1.232 | 1.156 | 1.134 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.989 | (3.427) | 9.647 | 20.901 | 7.130 | (1.297) |
Total from Investment Operations | 3.815 | (1.642) | 11.151 | 22.133 | 8.286 | (.163) |
Distributions | ||||||
Dividends from Net Investment Income | (.755) | (1.758) | (1.491) | (1.223) | (1.136) | (1.137) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.755) | (1.758) | (1.491) | (1.223) | (1.136) | (1.137) |
Net Asset Value, End of Period | $89.05 | $85.99 | $89.39 | $79.73 | $58.82 | $51.67 |
Total Return | 4.46% | -1.80% | 13.98% | 37.65% | 16.04% | -0.32% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $4,994 | $4,351 | $3,407 | $2,256 | $1,147 | $785 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.09% | 0.09% | 0.10% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.11% | 2.13% | 2.00% | 1.95% | 2.35% | 2.11% |
Portfolio Turnover Rate1 | 24% | 20% | 14% | 46% | 33% | 41% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
76
Mid-Cap Value Index Fund | |||||||
Financial Highlights | |||||||
Admiral Shares | |||||||
Six Months | Sept. 27, | ||||||
Ended | 20111 to | ||||||
Year Ended December 31, | |||||||
For a Share Outstanding | June 30, | Dec. 31, | |||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | |
Net Asset Value, Beginning of Period | $44.54 | $46.30 | $41.30 | $30.47 | $26.77 | $25.00 | |
Investment Operations | |||||||
Net Investment Income | . 427 | . 924 | .780 | . 638 | . 598 | .157 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | 1.553 | (1.775) | 4.994 | 10.826 | 3.692 | 2.165 | |
Total from Investment Operations | 1.980 | (.851) | 5.774 | 11.464 | 4.290 | 2.322 | |
Distributions | |||||||
Dividends from Net Investment Income | (. 390) | (. 909) | (.774) | (. 634) | (. 590) | (. 552) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (. 390) | (. 909) | (.774) | (. 634) | (. 590) | (. 552) | |
Net Asset Value, End of Period | $46.13 | $44.54 | $46.30 | $41.30 | $30.47 | $26.77 | |
Total Return2 | 4.47% | -1.80% | 13.98% | 37.66% | 16.02% | 9.29% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $4,891 | $3,884 | $2,896 | $1,753 | $724 | $268 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.08% | 0.08% | 0.09% | 0.09% | 0.10% | 0.10%3 | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 2.11% | 2.13% | 2.00% | 1.95% | 2.35% | 2.11%3 | |
Portfolio Turnover Rate 4 | 24% | 20% | 14% | 46% | 33% | 41% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about
any applicable account service fees.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
77
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, ETF Shares, and Admiral Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. Admiral Shares are designed for investors who meet certain administrative, service, and account-size criteria.
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).
78
Mid-Cap Value Index Fund
During the six months ended June 30, 2016, 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, 2012–2015), and for the period ended June 30, 2016, 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 subject to termination by the fund at any time, and 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 (“Vanguard”) participate in a $3.1 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 0.10% 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 based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at June 30, 2016, or at any time during the period then ended.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
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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. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At June 30, 2016, the fund had contributed to Vanguard capital in the amount of $838,000, representing 0.01% of the fund’s net assets and 0.34% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of June 30, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 10,470,082 | — | — |
Temporary Cash Investments | 19,386 | 2,799 | — |
Futures Contracts—Assets1 | 367 | — | — |
Total | 10,489,835 | 2,799 | — |
1 Represents variation margin on the last day of the reporting period. |
80
Mid-Cap Value Index Fund
D. At June 30, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
E-mini S&P 500 Index | September 2016 | 165 | 17,244 | 248 |
E-mini S&P MidCap 400 Index | September 2016 | 61 | 9,107 | 9 |
257 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended June 30, 2016, the fund realized $236,367,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2015, the fund had available capital losses totaling $265,910,000 to offset future net capital gains. Of this amount, $4,037,000 is subject to expiration on December 31, 2018. Capital losses of $261,873,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, but must be used before any expiring loss carryforwards. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2016; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2016, the cost of investment securities for tax purposes was $9,516,776,000. Net unrealized appreciation of investment securities for tax purposes was $975,491,000, consisting of unrealized gains of $1,500,404,000 on securities that had risen in value since their purchase and $524,913,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2016, the fund purchased $3,140,023,000 of investment securities and sold $1,803,185,000 of investment securities, other than temporary cash investments. Purchases and sales include $1,068,878,000 and $665,554,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
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Mid-Cap Value Index Fund
G. Capital share transactions for each class of shares were: | ||||
Six Months Ended | Year Ended | |||
June 30, 2016 | December 31, 2015 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 124,456 | 3,733 | 252,836 | 7,160 |
Issued in Lieu of Cash Distributions | 4,593 | 134 | 11,039 | 331 |
Redeemed | (138,226) | (4,174) | (281,109) | (7,951) |
Net Increase (Decrease)—Investor Shares | (9,177) | (307) | (17,234) | (460) |
ETF Shares | ||||
Issued | 1,156,070 | 13,238 | 2,585,412 | 28,956 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (676,813) | (7,750) | (1,479,390) | (16,475) |
Net Increase (Decrease)—ETF Shares | 479,257 | 5,488 | 1,106,022 | 12,481 |
Admiral Shares | ||||
Issued | 1,252,123 | 28,363 | 1,833,183 | 39,490 |
Issued in Lieu of Cash Distributions | 34,813 | 770 | 65,747 | 1,498 |
Redeemed | (450,400) | (10,300) | (760,338) | (16,347) |
Net Increase (Decrease)—Admiral Shares | 836,536 | 18,833 | 1,138,592 | 24,641 |
H. Management has determined that no material events or transactions occurred subsequent to June 30, 2016, that would require recognition or disclosure in these financial statements.
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About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
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Six Months Ended June 30, 2016 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
12/31/2015 | 6/30/2016 | Period | |
Based on Actual Fund Return | |||
Extended Market Index Fund | |||
Investor Shares | $1,000.00 | $1,024.47 | $1.11 |
ETF Shares | 1,000.00 | 1,025.17 | 0.45 |
Admiral Shares | 1,000.00 | 1,025.16 | 0.45 |
Institutional Shares | 1,000.00 | 1,025.25 | 0.35 |
Institutional Plus Shares | 1,000.00 | 1,025.39 | 0.25 |
Institutional Select Shares (Since Inception: 6/27/2016) | 1,000.00 | 1,050.70 | 0.05 |
Mid-Cap Index Fund | |||
Investor Shares | $1,000.00 | $1,034.47 | $0.96 |
ETF Shares | 1,000.00 | 1,035.33 | 0.35 |
Admiral Shares | 1,000.00 | 1,035.24 | 0.35 |
Institutional Shares | 1,000.00 | 1,035.33 | 0.30 |
Institutional Plus Shares | 1,000.00 | 1,035.34 | 0.25 |
Mid-Cap Growth Index Fund | |||
Investor Shares | $1,000.00 | $1,024.55 | $1.01 |
ETF Shares | 1,000.00 | 1,025.01 | 0.40 |
Admiral Shares | 1,000.00 | 1,024.87 | 0.40 |
Mid-Cap Value Index Fund | |||
Investor Shares | $1,000.00 | $1,043.85 | $1.02 |
ETF Shares | 1,000.00 | 1,044.63 | 0.41 |
Admiral Shares | 1,000.00 | 1,044.67 | 0.41 |
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Six Months Ended June 30, 2016 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
12/31/2015 | 6/30/2016 | Period | |
Based on Hypothetical 5% Yearly Return | |||
Extended Market Index Fund | |||
Investor Shares | $1,000.00 | $1,023.77 | $1.11 |
ETF Shares | 1,000.00 | 1,024.42 | 0.45 |
Admiral Shares | 1,000.00 | 1,024.42 | 0.45 |
Institutional Shares | 1,000.00 | 1,024.52 | 0.35 |
Institutional Plus Shares | 1,000.00 | 1,024.61 | 0.25 |
Institutional Select Shares (Since Inception: 6/27/2016) | 1,000.00 | 1,000.36 | 0.05 |
Mid-Cap Index Fund | |||
Investor Shares | $1,000.00 | $1,023.92 | $0.96 |
ETF Shares | 1,000.00 | 1,024.52 | 0.35 |
Admiral Shares | 1,000.00 | 1,024.52 | 0.35 |
Institutional Shares | 1,000.00 | 1,024.57 | 0.30 |
Institutional Plus Shares | 1,000.00 | 1,024.61 | 0.25 |
Mid-Cap Growth Index Fund | |||
Investor Shares | $1,000.00 | $1,023.87 | $1.01 |
ETF Shares | 1,000.00 | 1,024.47 | 0.40 |
Admiral Shares | 1,000.00 | 1,024.47 | 0.40 |
Mid-Cap Value Index Fund | |||
Investor Shares | $1,000.00 | $1,023.87 | $1.01 |
ETF Shares | 1,000.00 | 1,024.47 | 0.40 |
Admiral Shares | 1,000.00 | 1,024.47 | 0.40 |
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, 0.22% for Investor Shares, 0.09% for ETF Shares, 0.09% for Admiral Shares, 0.07% for Institutional Shares, 0.05% for Institutional Plus Shares, and 0.01% for Institutional Select Shares (since inception); for the Mid-Cap Index Fund, 0.19% for Investor Shares, 0.07% for ETF Shares, 0.07% for Admiral Shares, 0.06% for Institutional Shares, and 0.05% for Institutional Plus Shares; for the Mid-Cap Growth Index Fund, 0.20% for Investor Shares, 0.08% for ETF Shares, and 0.08% for Admiral Shares; and for the Mid-Cap Value Index Fund, 0.20% for Investor Shares, 0.08% for ETF Shares, and 0.08% for Admiral 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 (182/366 for Investor, ETF, Admiral, Institutional, and Institutional Plus Shares, and 4/366 for Institutional Select Shares).
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Trustees Approve Advisory Arrangements
The board of trustees of Vanguard Extended Market Index Fund, Mid-Cap Index Fund, Mid-Cap Growth Index Fund, and Mid-Cap Value Index Fund has renewed each fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard)—through its Equity Index Group. The board determined that continuing the funds’ internalized management structure was in the best interests of each fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangements. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board reviewed the quality of each fund’s investment management services over both the short and long term, and took into account the organizational depth and stability of the advisor. The board considered that Vanguard has been managing investments for more than three decades. The Equity Index Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of each advisory arrangement.
Investment performance
The board considered the short- and long-term performance of each fund, including any periods of outperformance or underperformance relative to a target index and peer group. The board concluded that the performance was such that each advisory arrangement should continue. Information about the funds’ most recent performance can be found on the Performance Summary pages of this report.
Cost
The board concluded that each fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that each fund’s advisory fee rate was also well below its peer-group average. Information about the funds’ expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements sections.
The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that each fund’s at-cost arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangements again after a one-year period.
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Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
Dividend Yield. Dividend income earned by stocks, expressed as a percentage of the aggregate market value (or of net asset value, for a fund). The yield is determined by dividing the amount of the annual dividends by the aggregate value (or net asset value) at the end of the period. For a fund, the dividend yield is based solely on stock holdings and does not include any income produced by other investments.
Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund.
Equity Exposure. A measure that reflects a fund’s investments in stocks and stock futures. Any holdings in short-term reserves are excluded.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Foreign Holdings. The percentage of a fund represented by securities or depositary receipts of companies based outside the United States.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it.
Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds.
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Price/Earnings Ratio. The ratio of a stock’s current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company’s future growth.
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
Return on Equity. The annual average rate of return generated by a company during the past five years for each dollar of shareholder’s equity (net income divided by shareholder’s equity). For a fund, the weighted average return on equity for the companies whose stocks it holds.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Turnover Rate. An indication of the fund’s trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors). The turnover rate excludes in-kind transactions, which have minimal impact on costs.
Benchmark Information
Spliced Mid-Cap Growth Index: MSCI US Mid Cap Growth Index through April 16, 2013; CRSP US Mid Cap Growth Index thereafter.
Spliced Mid-Cap Index: S&P MidCap 400 Index through May 16, 2003; MSCI US Mid Cap 450 Index through January 30, 2013; CRSP US Mid Cap Index thereafter.
Spliced Mid-Cap Value Index: MSCI US Mid Cap Value Index through April 16, 2013; CRSP US Mid Cap Value Index thereafter.
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 198 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 and Other Experience: 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 and Other |
Experience: Executive Chief Staff and Marketing |
Officer for North America and Corporate Vice President |
(retired 2008) of Xerox Corporation (document manage- |
ment products and services); Executive in Residence |
and 2009–2010 Distinguished Minett Professor at |
the Rochester Institute of Technology; Lead Director |
of SPX FLOW, Inc. (multi-industry manufacturing); |
Director of the United Way of Rochester, the University |
of Rochester Medical Center, Monroe Community |
College Foundation, North Carolina A&T University, |
and Roberts Wesleyan College. |
Rajiv L. Gupta |
Born 1945. Trustee Since December 2001.2 Principal |
Occupation(s) During the Past Five Years and Other |
Experience: Chairman and Chief Executive Officer |
(retired 2009) and President (2006–2008) of |
Rohm and Haas Co. (chemicals); Director of Tyco |
International plc (diversified manufacturing and |
services), HP Inc. (printer and personal computer |
manufacturing), and Delphi Automotive plc |
(automotive components); Senior Advisor at |
New Mountain Capital. |
Amy Gutmann |
Born 1949. Trustee Since June 2006. Principal |
Occupation(s) During the Past Five Years and |
Other Experience: 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 and |
Other Experience: 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) and the Robert Wood |
Johnson Foundation; Member of the Advisory |
Board of the Institute for Women’s Leadership |
at Rutgers University. |
F. Joseph Loughrey |
Born 1949. Trustee Since October 2009. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: 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 and Other |
Experience: Senior Vice President and Chief Financial |
Officer (retired 2013) at IBM (information technology |
services); Fiduciary Member of IBM’s Retirement Plan |
Committee (2004–2013); Director of the Dow Chemical |
Company; Member of the Council on Chicago Booth. |
Scott C. Malpass |
Born 1962. Trustee Since March 2012. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: 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, the Board of Advisors |
for Spruceview Capital Partners, and the Investment |
Advisory Committee of Major League Baseball; Board |
Member of TIFF Advisory Services, Inc., and Catholic |
Investment Services, Inc. (investment advisors). |
André F. Perold |
Born 1952. Trustee Since December 2004. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: 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. |
Peter F. Volanakis |
Born 1955. Trustee Since July 2009. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: President and Chief Operating Officer |
(retired 2010) of Corning Incorporated (communications |
equipment); Trustee of Colby-Sawyer College and |
Chairman of its Finance and Enrollment Committee; |
Member of the Advisory Board of the Norris Cotton |
Cancer Center. |
Executive Officers | |
Glenn Booraem | |
Born 1967. Treasurer Since May 2015. Principal | |
Occupation(s) During the Past Five Years and | |
Other Experience: Principal of The Vanguard Group, | |
Inc.; Treasurer of each of the investment companies | |
served by The Vanguard Group; Controller of each of | |
the investment companies served by The Vanguard | |
Group (2010–2015); 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 and Other Experience: 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). | |
Peter Mahoney | |
Born 1974. Controller Since May 2015. Principal | |
Occupation(s) During the Past Five Years and | |
Other Experience: Head of Global Fund Accounting | |
at The Vanguard Group, Inc.; Controller of each of the | |
investment companies served by The Vanguard Group; | |
Head of International Fund Services at The Vanguard | |
Group (2008–2014). | |
Heidi Stam | |
Born 1956. Secretary Since July 2005. Principal | |
Occupation(s) During the Past Five Years and Other | |
Experience: 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 | James M. Norris |
Kathleen C. Gubanich | Thomas M. Rampulla |
Martha G. King | Glenn W. Reed |
John T. Marcante | Karin A. Risi |
Chris D. McIsaac | Michael Rollings |
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.
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You can obtain a free copy of Vanguard’s proxy voting | |
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calling Vanguard at 800-662-2739. The guidelines are | |
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© 2016 The Vanguard Group, Inc. | |
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Vanguard Marketing Corporation, Distributor. | |
Q982 082016 |
![](https://capedge.com/proxy/N-CSRS/0000932471-16-014112/usstockindexfundslarge-cx1x1.jpg)
Semiannual Report | June 30, 2016
Vanguard U.S. Stock Index Funds
Large-Capitalization Portfolios
Vanguard Growth Index Fund
Vanguard Value Index Fund
Vanguard Large-Cap Index Fund
Vanguard’s Principles for Investing Success
We want to give you the best chance of investment success. These principles, grounded in Vanguard’s research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds. Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 4 |
Growth Index Fund. | 9 |
Value Index Fund. | 29 |
Large-Cap Index Fund. | 49 |
About Your Fund’s Expenses. | 72 |
Trustees Approve Advisory Arrangements. | 75 |
Glossary. | 76 |
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: Pictured is a sailing block on the Brilliant, a 1932 schooner docked in Mystic, Connecticut. A type of pulley, the sailing block helps coordinate the setting of the sails. At Vanguard, the intricate coordination of technology and people allows us to help millions of clients around the world reach their financial goals.
Your Fund’s Total Returns | |
Six Months Ended June 30, 2016 | |
Total | |
Returns | |
Vanguard Growth Index Fund | |
Investor Shares | 1.29% |
ETF Shares | |
Market Price | 1.33 |
Net Asset Value | 1.36 |
Admiral™ Shares | 1.36 |
Institutional Shares | 1.37 |
CRSP US Large Cap Growth Index | 1.39 |
Large-Cap Growth Funds Average | -2.38 |
Large-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
Vanguard Value Index Fund | |
Investor Shares | 5.43% |
ETF Shares | |
Market Price | 5.50 |
Net Asset Value | 5.49 |
Admiral Shares | 5.50 |
Institutional Shares | 5.47 |
CRSP US Large Cap Value Index | 5.53 |
Large-Cap Value Funds Average | 2.87 |
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 | |
Six Months Ended June 30, 2016 | |
Total | |
Returns | |
Vanguard Large-Cap Index Fund | |
Investor Shares | 3.40% |
ETF Shares | |
Market Price | 3.46 |
Net Asset Value | 3.48 |
Admiral Shares | 3.47 |
Institutional Shares | 3.48 |
CRSP US Large Cap Index | 3.56 |
Large-Cap Core Funds Average | 2.21 |
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, 2015, Through June 30, 2016 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Growth Index Fund | ||||
Investor Shares | $54.78 | $55.19 | $0.295 | $0.000 |
ETF Shares | 106.40 | 107.20 | 0.643 | 0.000 |
Admiral Shares | 54.77 | 55.18 | 0.331 | 0.000 |
Institutional Shares | 54.77 | 55.18 | 0.335 | 0.000 |
Vanguard Value Index Fund | ||||
Investor Shares | $31.82 | $33.16 | $0.376 | $0.000 |
ETF Shares | 81.56 | 84.99 | 1.020 | 0.000 |
Admiral Shares | 31.82 | 33.16 | 0.398 | 0.000 |
Institutional Shares | 31.82 | 33.15 | 0.399 | 0.000 |
Vanguard Large-Cap Index Fund | ||||
Investor Shares | $37.78 | $38.72 | $0.334 | $0.000 |
ETF Shares | 93.52 | 95.87 | 0.881 | 0.000 |
Admiral Shares | 47.23 | 48.41 | 0.445 | 0.000 |
Institutional Shares | 194.40 | 199.27 | 1.839 | 0.000 |
3
Chairman’s Letter
Dear Shareholder,
Despite significant volatility, the broad U.S. stock market managed to finish the first half of 2016 with solid gains. In general, large-capitalization value stocks exceeded their growth counterparts.
For the six months ended June 30, Vanguard Growth Index Fund returned 1.29% and Vanguard Value Index Fund returned 5.43%. Vanguard Large-Cap Index Fund, which includes both growth and value stocks, returned 3.40%. (All returns are for the funds’ Investor Shares.)
Each fund closely tracked its target index and surpassed the average return of its peers.
Stocks waxed and waned through periods of turbulence
The broad U.S. stock market fell sharply early in 2016 as concerns about China’s slower growth, weak inflation, and falling commodity prices rattled investors’ confidence. Markets rebounded in March as oil prices stabilized and investors cheered the Federal Reserve’s decision to scale back its plan for interest rate hikes this year.
Toward the end of the half year, global stock markets fell but then rose after the momentous decision by United Kingdom voters to leave the European Union.
The markets already were jittery before the June 23 “Brexit” vote. But volatility spiked afterward, as investors digested
4
the significant global economic implications and the likelihood of extended uncertainty while the separation is carried out.
The broad U.S. stock market returned roughly 4% for the six months. U.S. stocks plunged on news of the referendum’s outcome but quickly reversed. Worries about Brexit’s effect on trade and global economic growth seemed to diminish as expectations increased that major central banks would be responsive to any fallout.
International stocks had a rougher time, returning about –1%. European stocks in particular suffered as the lead-up to the Brexit referendum and subsequent uncertainty hit closer to home. Developed
Pacific markets also retreated. Emerging-market stocks were a bright spot, returning nearly 8%.
Bonds rolled to strong returns as investors weighed options
The broad U.S. bond market returned 5.31% as investors sought safe-haven assets amid questionable global economic growth, low inflation, and stock market volatility. Exceptionally low or negative yields abroad attracted foreign investors to U.S. Treasury debt. The yield of the 10-year Treasury note closed at 1.47% at the end of June, down from 2.30% at the end of December. (Bond prices and yields move in opposite directions.)
Market Barometer | |||
Total Returns | |||
Periods Ended June 30, 2016 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 3.74% | 2.93% | 11.88% |
Russell 2000 Index (Small-caps) | 2.22 | -6.73 | 8.35 |
Russell 3000 Index (Broad U.S. market) | 3.62 | 2.14 | 11.60 |
FTSE All-World ex US Index (International) | -0.92 | -9.75 | 0.49 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | 5.31% | 6.00% | 3.76% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 4.33 | 7.65 | 5.33 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.11 | 0.14 | 0.05 |
CPI | |||
Consumer Price Index | 1.91% | 1.01% | 1.32% |
5
The Federal Reserve has held its target for short-term interest rates steady since raising it by a quarter of a percentage point in December. During the period, the 0.25%–0.5% rate remained historically low and continued to curb returns for money market funds and savings accounts.
International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned 11.94%. Counter to recent trends, a number of foreign currencies strengthened against the dollar, but returns were solid even without this currency benefit.
Large-cap value stocks delivered strong results
An uncertain stock market environment combined with lackluster economic growth and near record-low interest rates led anxious investors to gravitate toward value stocks. These stocks are often attractively priced and tend to offer relatively strong dividends.
This was a reversal from a year ago, when growth stocks trumped value. As you know, growth and value stocks periodically swap market leadership. The timing of these changes is all but impossible to predict. That’s why we encourage investors to hold a broadly
Expense Ratios | |||||
Your Fund Compared With Its Peer Group | |||||
Investor | ETF | Admiral | Institutional | Peer Group | |
Shares | Shares | Shares | Shares | Average | |
Growth Index Fund | 0.22% | 0.08% | 0.08% | 0.07% | 1.17% |
Value Index Fund | 0.22 | 0.08 | 0.08 | 0.07 | 1.10 |
Large-Cap Index Fund | 0.20 | 0.08 | 0.08 | 0.07 | 1.11 |
The fund expense ratios shown are from the prospectus dated April 27, 2016, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2016, the funds’ annualized expense ratios were: for the Growth Index Fund, 0.21% for Investor Shares, 0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.06% for Institutional Shares; for the Value Index Fund, 0.21% for Investor Shares, 0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.06% for Institutional Shares; and for the Large-Cap Index Fund, 0.19% for Investor Shares, 0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.06% for Institutional Shares. The peer-group expense ratios are derived from data provided by Lipper, a Thomson Reuters Company, and capture information through year-end 2015.
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
diversified portfolio. This provides exposure to all segments of the market—including both growth and value stocks—regardless of which category is in favor at a given time.
For the half year, the Value Index Fund exceeded the Growth Index and Large-Cap Index Funds by a wide margin. The Value Index Fund benefited from its larger allocations to utilities and telecommunications. Considered less volatile than the broad market and often paying good dividends, stocks in these sectors were the period’s best performers.
The oil and gas, consumer goods, and industrial sectors significantly boosted the performance of all three funds. As oil and commodity prices have bounced back over the past few months, so have the stocks of oil and gas producers and those providing equipment, services, and distribution. Consumer goods stocks stood out as tobacco companies and food producers turned in double-digit returns. In industrials, conglomerates selling construction materials and industrial engineering products posted solid gains.
Health care and technology stocks detracted from the Growth Index and Large-Cap Index Funds’ returns. In health care, biotechnology and pharmaceuticals slid amid concerns that future profitability might be affected by increased regulatory pressures. Technology stocks suffered as internet and some software and computer services firms experienced declines.
Financials were a drag on the performance of the Value Index and Large-Cap Index Funds. The sector was among the poorest performers over the past six months as lower long-term interest rates hurt banks and financial services companies. Real estate investment trusts (REITs) were a notable exception. REITs were back in favor as investors’ concerns about rising interest rates took a back seat.
Consumer services slightly detracted from the Growth Index Fund. Stocks of travel and leisure companies and drug retailers had the weakest returns. The basic materials sector produced solid results, although it constituted a small holding in each fund. Materials stocks, which had been battered by falling commodity prices in the previous period, rebounded with the subsequent rise in prices, especially in the mining and metals groups.
A dose of discipline is crucial when markets become volatile
The heightened volatility in capital markets that surrounded the Brexit vote reminds us that nobody can control the direction of the markets or reliably predict where they’ll go in the short term. However, investors can control how they react to unstable and turbulent markets.
During periods of market adversity, it’s more important than ever to keep sight of one of Vanguard’s key principles: Maintain perspective and long-term
7
discipline. Whether you’re investing for yourself or on behalf of clients, your success is affected greatly by how you respond—or don’t respond—during turbulent markets. (You can read
Vanguard’s Principles for Investing Success at vanguard.com/research.)
As I’ve written in the past, the best course for long-term investors is generally to ignore daily market moves and not make decisions based on emotion. This is also a good time to evaluate your portfolio and make sure your asset allocation is aligned with your time horizon, goals, and risk tolerance.
The markets are unpredictable and often confounding. Keeping your long-term plans clearly in focus can help you weather these periodic storms.
As always, thank you for investing with Vanguard.
Sincerely,
![](https://capedge.com/proxy/N-CSRS/0000932471-16-014112/usstockindexfundslarge-x10x1.jpg)
F. William McNabb III
Chairman and Chief Executive Officer
July 13, 2016
8
Growth Index Fund | ||||
Fund Profile | ||||
As of June 30, 2016 | ||||
Share-Class Characteristics | ||||
Investor | ETF | Admiral | Institutional | |
Shares | Shares | Shares | Shares | |
Ticker Symbol | VIGRX | VUG | VIGAX | VIGIX |
Expense Ratio1 | 0.22% | 0.08% | 0.08% | 0.07% |
30-Day SEC Yield | 1.32% | 1.43% | 1.43% | 1.44% |
Portfolio Characteristics | |||
DJ | |||
U.S. | |||
CRSP US | Total | ||
Large Cap | Market | ||
Growth | FA | ||
Fund | Index | Index | |
Number of Stocks | 330 | 330 | 3,863 |
Median Market Cap | $69.6B | $69.6B | $53.0B |
Price/Earnings Ratio | 27.3x | 27.3x | 22.0x |
Price/Book Ratio | 4.8x | 4.8x | 2.7x |
Return on Equity | 20.6% | 20.1% | 16.5% |
Earnings Growth | |||
Rate | 12.1% | 12.1% | 7.3% |
Dividend Yield | 1.5% | 1.5% | 2.1% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 14% | — | — |
Short-Term | |||
Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure)
CRSP US | DJ | ||
Large Cap | U.S. Total | ||
Growth | Market | ||
Fund | Index FA Index | ||
Basic Materials | 0.9% | 0.9% | 2.4% |
Consumer Goods | 11.9 | 11.9 | 10.7 |
Consumer Services | 21.7 | 21.7 | 13.6 |
Financials | 12.4 | 12.4 | 18.6 |
Health Care | 15.0 | 15.0 | 13.4 |
Industrials | 11.6 | 11.6 | 12.6 |
Oil & Gas | 3.1 | 3.1 | 6.7 |
Technology | 23.0 | 23.0 | 15.7 |
Telecommunications | 0.4 | 0.4 | 2.6 |
Utilities | 0.0 | 0.0 | 3.7 |
Volatility Measures | ||
DJ | ||
CRSP US | U.S. Total | |
Large Cap | Market | |
Growth Index | FA Index | |
R-Squared | 1.00 | 0.95 |
Beta | 1.00 | 1.05 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
Ten Largest Holdings (% of total net assets)
Apple Inc. | Computer Hardware | 5.6% |
Alphabet Inc. | Internet | 4.6 |
Amazon.com Inc. | Broadline Retailers | 3.2 |
Facebook Inc. | Internet | 2.8 |
Coca-Cola Co. | Soft Drinks | 2.0 |
Home Depot Inc. | Home Improvement | |
Retailers | 1.8 | |
Philip Morris | ||
International Inc. | Tobacco | 1.8 |
Comcast Corp. | Broadcasting & | |
Entertainment | 1.8 | |
Walt Disney Co. | Broadcasting & | |
Entertainment | 1.6 | |
Visa Inc. | Consumer Finance | 1.6 |
Top Ten | 26.8% |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratios shown are from the prospectus dated April 27, 2016, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2016, the annualized expense ratios were 0.21% for Investor Shares, 0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.06% for Institutional Shares.
9
Growth Index Fund
![](https://capedge.com/proxy/N-CSRS/0000932471-16-014112/usstockindexfundslarge-x12x1.jpg)
10
Growth Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
![](https://capedge.com/proxy/N-CSRS/0000932471-16-014112/usstockindexfundslarge-x13x1.jpg)
Growth Index Fund Investor Shares |
Spliced Growth Index |
For a benchmark description, see the Glossary. |
Note: For 2016, performance data reflect the six months ended June 30, 2016. |
Average Annual Total Returns: Periods Ended June 30, 2016 | ||||
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 11/2/1992 | 1.32% | 11.96% | 8.52% |
ETF Shares | 1/26/2004 | |||
Market Price | 1.41 | 12.12 | 8.64 | |
Net Asset Value | 1.47 | 12.12 | 8.67 | |
Admiral Shares | 11/13/2000 | 1.46 | 12.12 | 8.67 |
Institutional Shares | 5/14/1998 | 1.47 | 12.14 | 8.70 |
See Financial Highlights for dividend and capital gains information.
11
Growth Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2016
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 (1.0%) | |||
Praxair Inc. | 1,606,099 | 180,509 | |
Ecolab Inc. | 1,486,220 | 176,266 | |
International Flavors & | |||
Fragrances Inc. | 448,084 | 56,490 | |
WR Grace & Co. | 396,613 | 29,036 | |
* | Axalta Coating Systems | ||
Ltd. | 940,321 | 24,947 | |
467,248 | |||
Consumer Goods (11.9%) | |||
Coca-Cola Co. | 21,905,704 | 992,986 | |
Philip Morris International | |||
Inc. | 8,727,521 | 887,763 | |
NIKE Inc. Class B | 7,491,005 | 413,503 | |
Altria Group Inc. | 5,503,548 | 379,525 | |
Colgate-Palmolive Co. | 5,024,134 | 367,767 | |
Kraft Heinz Co. | 3,420,557 | 302,651 | |
Reynolds American Inc. | 4,821,619 | 260,030 | |
Monsanto Co. | 2,457,696 | 254,150 | |
Constellation Brands Inc. | |||
Class A | 943,638 | 156,078 | |
* | Monster Beverage Corp. | 857,364 | 137,787 |
*,^ | Tesla Motors Inc. | 616,363 | 130,842 |
* | Electronic Arts Inc. | 1,652,038 | 125,158 |
Activision Blizzard Inc. | 3,118,381 | 123,581 | |
Estee Lauder Cos. Inc. | |||
Class A | 1,251,337 | 113,897 | |
Mead Johnson Nutrition | |||
Co. | 1,049,471 | 95,239 | |
VF Corp. | 1,523,432 | 93,676 | |
Hershey Co. | 772,865 | 87,712 | |
Church & Dwight Co. Inc. | 721,461 | 74,231 | |
McCormick & Co. Inc. | 647,986 | 69,121 | |
* | Mohawk Industries Inc. | 354,005 | 67,176 |
Newell Brands Inc. | 1,345,533 | 65,353 | |
Brown-Forman Corp. | |||
Class B | 552,152 | 55,083 | |
Hormel Foods Corp. | 1,490,665 | 54,558 |
Market | |||
Value• | |||
Shares | ($000) | ||
Hanesbrands Inc. | 2,122,337 | 53,334 | |
Snap-on Inc. | 326,861 | 51,585 | |
* | LKQ Corp. | 1,552,844 | 49,225 |
* | Michael Kors Holdings | ||
Ltd. | 958,370 | 47,420 | |
Stanley Black & Decker | |||
Inc. | 421,935 | 46,928 | |
*,^ | Under Armour Inc. | ||
Class A | 1,030,342 | 41,348 | |
*,^ | lululemon athletica Inc. | 538,038 | 39,739 |
* | Under Armour Inc. | 1,047,801 | 38,140 |
* | NVR Inc. | 20,820 | 37,067 |
BorgWarner Inc. | 1,223,413 | 36,115 | |
DR Horton Inc. | 996,152 | 31,359 | |
Harman International | |||
Industries Inc. | 396,697 | 28,491 | |
Polaris Industries Inc. | 345,344 | 28,235 | |
* | WABCO Holdings Inc. | 300,396 | 27,507 |
Lennar Corp. Class A | 542,567 | 25,012 | |
* | WhiteWave Foods Co. | ||
Class A | 500,344 | 23,486 | |
Harley-Davidson Inc. | 508,292 | 23,026 | |
^ | Coty Inc. Class A | 281,642 | 7,320 |
Lennar Corp. Class B | 180 | 7 | |
5,943,211 | |||
Consumer Services (21.7%) | |||
* | Amazon.com Inc. | 2,256,382 | 1,614,712 |
Home Depot Inc. | 6,998,933 | 893,694 | |
Comcast Corp. Class A | 13,602,577 | 886,752 | |
Walt Disney Co. | 8,215,178 | 803,609 | |
McDonald’s Corp. | 4,938,926 | 594,350 | |
Starbucks Corp. | 7,829,605 | 447,227 | |
Walgreens Boots | |||
Alliance Inc. | 4,862,001 | 404,859 | |
Lowe’s Cos. Inc. | 5,049,070 | 399,735 | |
Costco Wholesale Corp. | 2,470,034 | 387,894 | |
* | Priceline Group Inc. | 279,273 | 348,647 |
TJX Cos. Inc. | 3,540,050 | 273,398 | |
* | Charter Communications | ||
Inc. Class A | 1,124,352 | 257,072 |
12
Growth Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
* | Netflix Inc. | 2,290,831 | 209,565 |
Yum! Brands Inc. | 2,179,271 | 180,705 | |
Twenty-First Century Fox | |||
Inc. Class A | 6,169,039 | 166,873 | |
Time Warner Inc. | 2,103,104 | 154,662 | |
Southwest Airlines Co. | 3,595,914 | 140,996 | |
* | O’Reilly Automotive Inc. | 515,878 | 139,855 |
Dollar General Corp. | 1,452,628 | 136,547 | |
* | AutoZone Inc. | 167,874 | 133,265 |
Ross Stores Inc. | 2,258,984 | 128,062 | |
CBS Corp. Class B | 2,257,872 | 122,919 | |
* | Dollar Tree Inc. | 1,258,239 | 118,576 |
Nielsen Holdings plc | 1,927,105 | 100,152 | |
L Brands Inc. | 1,371,465 | 92,066 | |
* | Ulta Salon Cosmetics & | ||
Fragrance Inc. | 334,606 | 81,523 | |
Starwood Hotels & | |||
Resorts Worldwide Inc. | 953,155 | 70,486 | |
Expedia Inc. | 651,333 | 69,237 | |
Hilton Worldwide | |||
Holdings Inc. | 3,060,602 | 68,955 | |
Tractor Supply Co. | 750,140 | 68,398 | |
* | Chipotle Mexican Grill Inc. | ||
Class A | 164,159 | 66,117 | |
Royal Caribbean Cruises | |||
Ltd. | 968,060 | 65,005 | |
Advance Auto Parts Inc. | 392,968 | 63,515 | |
* | DISH Network Corp. | ||
Class A | 1,208,558 | 63,328 | |
* | Liberty Interactive Corp. | ||
QVC Group Class A | 2,411,637 | 61,183 | |
Twenty-First Century Fox | |||
Inc. | 2,244,416 | 61,160 | |
* | MGM Resorts | ||
International | 2,701,121 | 61,126 | |
Whole Foods Market Inc. | 1,804,839 | 57,791 | |
^ | Marriott International Inc. | ||
Class A | 857,515 | 56,990 | |
*,^ | CarMax Inc. | 1,087,811 | 53,335 |
Carnival Corp. | 1,106,113 | 48,890 | |
Las Vegas Sands Corp. | 1,115,432 | 48,510 | |
American Airlines Group | |||
Inc. | 1,622,877 | 45,944 | |
Wyndham Worldwide | |||
Corp. | 629,412 | 44,833 | |
Foot Locker Inc. | 765,116 | 41,974 | |
* | IHS Inc. Class A | 360,116 | 41,633 |
Wynn Resorts Ltd. | 458,227 | 41,534 | |
* | TripAdvisor Inc. | 635,582 | 40,868 |
Alaska Air Group Inc. | 692,869 | 40,387 | |
* | Sirius XM Holdings Inc. | 9,763,207 | 38,565 |
Signet Jewelers Ltd. | 440,943 | 36,338 | |
* | Norwegian Cruise Line | ||
Holdings Ltd. | 893,342 | 35,591 |
Market | |||
Value• | |||
Shares | ($000) | ||
FactSet Research | |||
Systems Inc. | 218,272 | 35,234 | |
* | Discovery | ||
Communications Inc. | 1,328,415 | 31,683 | |
H&R Block Inc. | 1,261,528 | 29,015 | |
Scripps Networks | |||
Interactive Inc. Class A | 456,104 | 28,402 | |
Williams-Sonoma Inc. | 451,912 | 23,558 | |
* | Discovery | ||
Communications Inc. | |||
Class A | 852,263 | 21,503 | |
* | AutoNation Inc. | 405,686 | 19,059 |
Tiffany & Co. | 300,604 | 18,229 | |
* | Liberty SiriusXM Group | ||
Class C | 563,861 | 17,406 | |
^ | Nordstrom Inc. | 339,707 | 12,926 |
* | Liberty SiriusXM Group | 272,912 | 8,559 |
* | Hyatt Hotels Corp. | ||
Class A | 132,228 | 6,498 | |
* | Hertz Global Holdings Inc. | 507,347 | 5,616 |
CBS Corp. Class A | 2,760 | 159 | |
10,867,255 | |||
Financials (12.4%) | |||
Visa Inc. Class A | 10,716,509 | 794,843 | |
MasterCard Inc. Class A | 5,459,980 | 480,806 | |
Simon Property Group | |||
Inc. | 1,740,761 | 377,571 | |
American Tower | |||
Corporation | 2,388,941 | 271,408 | |
Public Storage | 829,757 | 212,078 | |
BlackRock Inc. | 597,851 | 204,782 | |
Marsh & McLennan Cos. | |||
Inc. | 2,934,584 | 200,902 | |
Crown Castle | |||
International Corp. | 1,900,511 | 192,769 | |
Charles Schwab Corp. | 6,697,190 | 169,506 | |
Intercontinental | |||
Exchange Inc. | 636,728 | 162,977 | |
Aon plc | 1,491,554 | 162,922 | |
S&P Global Inc. | 1,489,734 | 159,789 | |
Welltower Inc. | 2,009,919 | 153,095 | |
Equinix Inc. | 390,410 | 151,374 | |
Prologis Inc. | 2,956,342 | 144,979 | |
AvalonBay Communities | |||
Inc. | 772,299 | 139,315 | |
Ventas Inc. | 1,903,704 | 138,628 | |
Weyerhaeuser Co. | 4,206,124 | 125,216 | |
Boston Properties Inc. | 863,666 | 113,917 | |
Realty Income Corp. | 1,448,336 | 100,457 | |
Digital Realty Trust Inc. | 895,911 | 97,645 | |
T. Rowe Price Group Inc. | 1,325,622 | 96,731 | |
General Growth | |||
Properties Inc. | 3,228,076 | 96,261 | |
Vornado Realty Trust | 955,140 | 95,629 | |
Moody’s Corp. | 928,456 | 87,006 |
13
Growth Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
Equifax Inc. | 669,111 | 85,914 | |
Essex Property Trust Inc. | 367,841 | 83,901 | |
Macerich Co. | 834,816 | 71,285 | |
* | Markel Corp. | 74,605 | 71,082 |
Equity Residential | 1,028,975 | 70,876 | |
Federal Realty Investment | |||
Trust | 398,628 | 65,993 | |
Extra Space Storage Inc. | 669,675 | 61,972 | |
SL Green Realty Corp. | 563,864 | 60,035 | |
UDR Inc. | 1,502,667 | 55,478 | |
VEREIT Inc. | 5,090,719 | 51,620 | |
HCP Inc. | 1,313,901 | 46,486 | |
* | CBRE Group Inc. Class A | 1,697,534 | 44,951 |
Camden Property Trust | 489,375 | 43,270 | |
Alexandria Real Estate | |||
Equities Inc. | 417,330 | 43,202 | |
Iron Mountain Inc. | 1,073,198 | 42,745 | |
* | Affiliated Managers | ||
Group Inc. | 302,564 | 42,592 | |
MSCI Inc. Class A | 515,333 | 39,742 | |
SEI Investments Co. | 819,633 | 39,432 | |
TD Ameritrade Holding | |||
Corp. | 1,337,978 | 38,099 | |
* | E*TRADE Financial Corp. | 1,566,994 | 36,809 |
Kimco Realty Corp. | 1,122,265 | 35,217 | |
Brixmor Property Group | |||
Inc. | 1,209,665 | 32,008 | |
Jones Lang LaSalle Inc. | 253,831 | 24,736 | |
* | Liberty Broadband Corp. | 408,991 | 24,539 |
* | Realogy Holdings Corp. | 831,435 | 24,128 |
Raymond James Financial | |||
Inc. | 361,553 | 17,824 | |
Lazard Ltd. Class A | 364,221 | 10,846 | |
* | Liberty Broadband Corp. | ||
Class A | 70,031 | 4,160 | |
6,199,548 | |||
Health Care (15.0%) | |||
Bristol-Myers Squibb Co. | 9,391,641 | 690,755 | |
Medtronic plc | 7,882,442 | 683,960 | |
Amgen Inc. | 4,226,432 | 643,052 | |
Gilead Sciences Inc. | 7,492,923 | 625,060 | |
AbbVie Inc. | 9,099,407 | 563,344 | |
* | Allergan plc | 2,225,442 | 514,277 |
* | Celgene Corp. | 4,357,975 | 429,827 |
Thermo Fisher Scientific | |||
Inc. | 2,213,949 | 327,133 | |
* | Biogen Inc. | 1,232,403 | 298,020 |
Becton Dickinson and Co. | 1,194,737 | 202,615 | |
Stryker Corp. | 1,684,522 | 201,856 | |
* | Regeneron | ||
Pharmaceuticals Inc. | 435,642 | 152,139 | |
* | Intuitive Surgical Inc. | 214,315 | 141,750 |
* | Alexion Pharmaceuticals | ||
Inc. | 1,198,231 | 139,905 | |
Zoetis Inc. | 2,790,180 | 132,422 |
Market | |||
Value• | |||
Shares | ($000) | ||
* | Vertex Pharmaceuticals | ||
Inc. | 1,390,619 | 119,621 | |
* | Edwards Lifesciences | ||
Corp. | 1,190,642 | 118,743 | |
* | Illumina Inc. | 827,612 | 116,180 |
* | Mylan NV | 2,429,640 | 105,058 |
CR Bard Inc. | 412,232 | 96,940 | |
* | Boston Scientific Corp. | 3,819,747 | 89,268 |
DENTSPLY SIRONA Inc. | 1,316,841 | 81,697 | |
* | Henry Schein Inc. | 461,299 | 81,558 |
* | Laboratory Corp. of | ||
America Holdings | 575,571 | 74,980 | |
* | DaVita HealthCare | ||
Partners Inc. | 928,744 | 71,810 | |
* | Incyte Corp. | 896,603 | 71,710 |
Perrigo Co. plc | 764,880 | 69,352 | |
* | BioMarin Pharmaceutical | ||
Inc. | 867,500 | 67,492 | |
* | Centene Corp. | 910,437 | 64,978 |
* | Waters Corp. | 432,276 | 60,800 |
* | Medivation Inc. | 926,189 | 55,849 |
ResMed Inc. | 789,921 | 49,947 | |
* | IDEXX Laboratories Inc. | 503,354 | 46,741 |
Cooper Cos. Inc. | 272,032 | 46,673 | |
* | Jazz Pharmaceuticals plc | 322,666 | 45,596 |
* | Varian Medical Systems | ||
Inc. | 535,266 | 44,015 | |
* | Mallinckrodt plc | 614,550 | 37,352 |
* | Alkermes plc | 850,483 | 36,758 |
Universal Health Services | |||
Inc. Class B | 252,263 | 33,828 | |
* | Quintiles Transnational | ||
Holdings Inc. | 471,122 | 30,774 | |
* | Envision Healthcare | ||
Holdings Inc. | 1,052,785 | 26,709 | |
* | Alnylam Pharmaceuticals | ||
Inc. | 411,535 | 22,836 | |
7,513,380 | |||
Industrials (11.5%) | |||
3M Co. | 3,412,323 | 597,566 | |
United Parcel Service Inc. | |||
Class B | 3,884,516 | 418,440 | |
Union Pacific Corp. | 4,731,723 | 412,843 | |
Accenture plc Class A | 3,509,512 | 397,593 | |
Danaher Corp. | 3,487,167 | 352,204 | |
* | PayPal Holdings Inc. | 6,482,597 | 236,680 |
Automatic Data | |||
Processing Inc. | 2,436,549 | 223,846 | |
Boeing Co. | 1,703,598 | 221,246 | |
* | Fiserv Inc. | 1,251,756 | 136,103 |
Fidelity National | |||
Information Services Inc. | 1,835,867 | 135,267 | |
Sherwin-Williams Co. | 442,628 | 129,987 | |
* | LinkedIn Corp. Class A | 664,246 | 125,708 |
Paychex Inc. | 1,822,222 | 108,422 |
14
Growth Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
FedEx Corp. | 680,087 | 103,224 | |
Amphenol Corp. Class A | 1,731,164 | 99,248 | |
Roper Technologies Inc. | 568,967 | 97,043 | |
Vulcan Materials Co. | 748,781 | 90,123 | |
Rockwell Automation Inc. | 732,380 | 84,092 | |
Agilent Technologies Inc. | 1,842,809 | 81,747 | |
* | TransDigm Group Inc. | 282,983 | 74,620 |
^ | Fastenal Co. | 1,624,398 | 72,107 |
* | FleetCor Technologies Inc. | 494,296 | 70,749 |
WW Grainger Inc. | 310,261 | 70,507 | |
* | Verisk Analytics Inc. | ||
Class A | 850,817 | 68,984 | |
Martin Marietta Materials | |||
Inc. | 357,174 | 68,577 | |
Global Payments Inc. | 865,793 | 61,800 | |
* | Alliance Data Systems | ||
Corp. | 314,795 | 61,675 | |
Acuity Brands Inc. | 246,415 | 61,101 | |
AMETEK Inc. | 1,312,275 | 60,666 | |
CH Robinson Worldwide | |||
Inc. | 802,667 | 59,598 | |
Masco Corp. | 1,870,755 | 57,881 | |
* | Mettler-Toledo | ||
International Inc. | 150,446 | 54,901 | |
Kansas City Southern | 607,090 | 54,693 | |
Pentair plc | 914,314 | 53,295 | |
Sealed Air Corp. | 1,109,058 | 50,983 | |
Expeditors International | |||
of Washington Inc. | 1,023,531 | 50,194 | |
Fortune Brands Home & | |||
Security Inc. | 862,291 | 49,987 | |
* | Vantiv Inc. Class A | 879,473 | 49,778 |
* | Stericycle Inc. | 477,739 | 49,742 |
Textron Inc. | 1,360,264 | 49,731 | |
Total System Services Inc. | 929,646 | 49,373 | |
Cintas Corp. | 481,182 | 47,218 | |
JB Hunt Transport | |||
Services Inc. | 506,707 | 41,008 | |
* | Waste Connections Inc. | 493,235 | 35,538 |
* | Trimble Navigation Ltd. | 1,412,547 | 34,410 |
Wabtec Corp. | 481,189 | 33,794 | |
* | Sensata Technologies | ||
Holding NV | 959,599 | 33,480 | |
Hubbell Inc. Class B | 308,880 | 32,578 | |
Macquarie Infrastructure | |||
Corp. | 408,853 | 30,276 | |
Robert Half International | |||
Inc. | 706,402 | 26,956 | |
B/E Aerospace Inc. | 574,513 | 26,528 | |
FLIR Systems Inc. | 773,783 | 23,949 | |
* | First Data Corp. Class A | 1,811,016 | 20,048 |
* | United Rentals Inc. | 248,426 | 16,669 |
Owens Corning | 308,583 | 15,898 | |
5,770,674 |
Market | |||
Value• | |||
Shares | ($000) | ||
Oil & Gas (3.1%) | |||
Schlumberger Ltd. | 3,913,617 | 309,489 | |
EOG Resources Inc. | 3,098,093 | 258,443 | |
Anadarko Petroleum | |||
Corp. | 2,873,799 | 153,030 | |
Pioneer Natural | |||
Resources Co. | 920,854 | 139,242 | |
Kinder Morgan Inc. | 5,332,228 | 99,819 | |
* | Concho Resources Inc. | 739,940 | 88,253 |
Noble Energy Inc. | 2,415,347 | 86,639 | |
EQT Corp. | 972,439 | 75,296 | |
Cabot Oil & Gas Corp. | 2,618,078 | 67,389 | |
Cimarex Energy Co. | 533,032 | 63,601 | |
* | Cheniere Energy Inc. | 1,125,596 | 42,266 |
Williams Cos. Inc. | 1,919,275 | 41,514 | |
Range Resources Corp. | 906,492 | 39,106 | |
Core Laboratories NV | 246,745 | 30,569 | |
* | Antero Resources Corp. | 1,112,302 | 28,898 |
* | Continental Resources | ||
Inc. | 529,852 | 23,986 | |
1,547,540 | |||
Technology (22.9%) | |||
Apple Inc. | 29,275,805 | 2,798,767 | |
* | Facebook Inc. Class A | 12,356,466 | 1,412,097 |
* | Alphabet Inc. Class A | 1,652,252 | 1,162,409 |
* | Alphabet Inc. Class C | 1,642,402 | 1,136,706 |
Oracle Corp. | 17,510,707 | 716,713 | |
QUALCOMM Inc. | 8,264,313 | 442,719 | |
Texas Instruments Inc. | 5,649,832 | 353,962 | |
Broadcom Ltd. | 2,197,632 | 341,512 | |
* | salesforce.com Inc. | 3,621,069 | 287,549 |
* | Adobe Systems Inc. | 2,814,197 | 269,572 |
* | Cognizant Technology | ||
Solutions Corp. Class A | 3,411,133 | 195,253 | |
* | Yahoo! Inc. | 4,813,295 | 180,787 |
Intuit Inc. | 1,368,596 | 152,749 | |
Applied Materials Inc. | 6,361,829 | 152,493 | |
EMC Corp. | 5,498,375 | 149,391 | |
NVIDIA Corp. | 2,856,186 | 134,269 | |
* | Cerner Corp. | 1,710,643 | 100,244 |
Analog Devices Inc. | 1,727,952 | 97,871 | |
* | Micron Technology Inc. | 5,830,634 | 80,230 |
Lam Research Corp. | 897,309 | 75,428 | |
* | Red Hat Inc. | 1,020,019 | 74,053 |
Skyworks Solutions Inc. | 1,069,550 | 67,681 | |
* | Citrix Systems Inc. | 828,932 | 66,389 |
Xilinx Inc. | 1,436,655 | 66,273 | |
* | Autodesk Inc. | 1,199,439 | 64,938 |
KLA-Tencor Corp. | 875,390 | 64,122 | |
Linear Technology Corp. | 1,344,295 | 62,550 | |
Microchip Technology | |||
Inc. | 1,148,095 | 58,277 | |
* | Palo Alto Networks Inc. | 472,123 | 57,901 |
* | ServiceNow Inc. | 870,336 | 57,790 |
15
Growth Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
Maxim Integrated | |||
Products Inc. | 1,598,434 | 57,048 | |
* | Twitter Inc. | 3,157,213 | 53,389 |
* | Akamai Technologies Inc. | 937,796 | 52,451 |
CDK Global Inc. | 874,060 | 48,502 | |
* | Workday Inc. Class A | 630,691 | 47,094 |
* | ANSYS Inc. | 494,909 | 44,913 |
* | VeriSign Inc. | 518,360 | 44,817 |
* | Gartner Inc. | 440,953 | 42,953 |
* | F5 Networks Inc. | 376,562 | 42,868 |
* | Qorvo Inc. | 770,825 | 42,596 |
* | Splunk Inc. | 745,490 | 40,391 |
*,^ | VMware Inc. Class A | 456,108 | 26,099 |
Juniper Networks Inc. | 1,031,647 | 23,202 | |
* | NetSuite Inc. | 227,378 | 16,553 |
* | Premier Inc. Class A | 255,416 | 8,352 |
CSRA Inc. | 227,697 | 5,335 | |
11,477,258 | |||
Telecommunications (0.4%) | |||
* | Level 3 Communications | ||
Inc. | 1,609,969 | 82,897 | |
* | SBA Communications | ||
Corp. Class A | 705,642 | 76,167 | |
* | T-Mobile US Inc. | 810,108 | 35,053 |
* | Zayo Group Holdings Inc. | 681,109 | 19,024 |
213,141 | |||
Utilities (0.0%) | |||
* | Calpine Corp. | 1,007,796 | 14,865 |
Total Common Stocks | |||
(Cost $33,823,748) | 50,014,120 | ||
Temporary Cash Investments (0.3%)1 | |||
Money Market Fund (0.3%) | |||
2,3 | Vanguard Market | ||
Liquidity Fund, | |||
0.538% | 173,158,067 | 173,158 | |
Face | |||
Amount | |||
($000) | |||
U.S. Government and Agency Obligations (0.0%) | |||
4,5 | Federal Home Loan | ||
Bank Discount Notes, | |||
0.390%, 9/7/16 | 1,100 | 1,099 | |
4,5 | Federal Home Loan | ||
Bank Discount Notes, | |||
0.411%, 9/21/16 | 1,400 | 1,399 | |
2,498 | |||
Total Temporary Cash Investments | |||
(Cost $175,656) | 175,656 | ||
Total Investments (100.2%) | |||
(Cost $33,999,404) | 50,189,776 |
Amount | |
($000) | |
Other Assets and Liabilities (-0.2%) | |
Other Assets | |
Investment in Vanguard | 4,137 |
Receivables for Accrued Income | 43,676 |
Receivables for Capital Shares Issued | 17,143 |
Other Assets | 685 |
Total Other Assets | 65,641 |
Liabilities | |
Payables for Investment | |
Securities Purchased | (857) |
Collateral for Securities on Loan | (121,240) |
Payables for Capital Shares Redeemed | (21,269) |
Payables to Vanguard | (29,697) |
Other Liabilities | (5,022) |
Total Liabilities | (178,085) |
Net Assets (100%) | 50,077,332 |
At June 30, 2016, net assets consisted of:
Amount | |
($000) | |
Paid-in Capital | 35,137,704 |
Undistributed Net Investment Income | 15,721 |
Accumulated Net Realized Losses | (1,267,534) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 16,190,372 |
Futures Contracts | 1,069 |
Net Assets | 50,077,332 |
Investor Shares—Net Assets | |
Applicable to 52,964,178 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 2,922,911 |
Net Asset Value Per Share— | |
Investor Shares | $55.19 |
ETF Shares—Net Assets | |
Applicable to 190,731,363 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 20,445,547 |
Net Asset Value Per Share— | |
ETF Shares | $107.20 |
16
Growth Index Fund | |
Amount | |
($000) | |
Admiral Shares—Net Assets | |
Applicable to 313,396,037 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 17,293,028 |
Net Asset Value Per Share— | |
Admiral Shares | $55.18 |
Institutional Shares—Net Assets | |
Applicable to 170,643,516 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 9,415,846 |
Net Asset Value Per Share— | |
Institutional Shares | $55.18 |
• 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 $119,750,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.2%, respectively,
of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the
7-day yield.
3 Includes $121,240,000 of collateral received for securities on loan.
4 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the
full faith and credit of the U.S. government.
5 Securities with a value of $2,498,000 have been segregated as initial margin for open futures contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
17
Growth Index Fund | |
Statement of Operations | |
Six Months Ended | |
June 30, 2016 | |
($000) | |
Investment Income | |
Income | |
Dividends | 347,658 |
Interest1 | 121 |
Securities Lending | 2,182 |
Total Income | 349,961 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,862 |
Management and Administrative—Investor Shares | 2,559 |
Management and Administrative—ETF Shares | 5,854 |
Management and Administrative—Admiral Shares | 4,520 |
Management and Administrative—Institutional Shares | 2,409 |
Marketing and Distribution—Investor Shares | 288 |
Marketing and Distribution—ETF Shares | 540 |
Marketing and Distribution—Admiral Shares | 822 |
Marketing and Distribution—Institutional Shares | 103 |
Custodian Fees | 218 |
Shareholders’ Reports—Investor Shares | 73 |
Shareholders’ Reports—ETF Shares | 218 |
Shareholders’ Reports—Admiral Shares | 111 |
Shareholders’ Reports—Institutional Shares | 46 |
Trustees’ Fees and Expenses | 15 |
Total Expenses | 19,638 |
Net Investment Income | 330,323 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 796,489 |
Futures Contracts | 1,022 |
Realized Net Gain (Loss) | 797,511 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (456,250) |
Futures Contracts | 1,215 |
Change in Unrealized Appreciation (Depreciation) | (455,035) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 672,799 |
1 Interest income from an affiliated company of the fund was $105,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
18
Growth Index Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2016 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 330,323 | 644,078 |
Realized Net Gain (Loss) | 797,511 | 1,321,416 |
Change in Unrealized Appreciation (Depreciation) | (455,035) | (488,041) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 672,799 | 1,477,453 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (15,952) | (36,400) |
ETF Shares | (125,962) | (254,190) |
Admiral Shares | (103,022) | (210,975) |
Institutional Shares | (57,107) | (129,494) |
Realized Capital Gain | ||
Investor Shares | — | — |
ETF Shares | — | — |
Admiral Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (302,043) | (631,059) |
Capital Share Transactions | ||
Investor Shares | (135,598) | (300,941) |
ETF Shares | (402,570) | 3,020,841 |
Admiral Shares | 375,603 | 1,591,285 |
Institutional Shares | (31,600) | (318,776) |
Net Increase (Decrease) from Capital Share Transactions | (194,165) | 3,992,409 |
Total Increase (Decrease) | 176,591 | 4,838,803 |
Net Assets | ||
Beginning of Period | 49,900,741 | 45,061,938 |
End of Period1 | 50,077,332 | 49,900,741 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $15,721,000 and ($12,559,000).
See accompanying Notes, which are an integral part of the Financial Statements.
19
Growth Index Fund | ||||||
Financial Highlights | ||||||
Investor Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $54.78 | $53.71 | $47.87 | $36.65 | $31.79 | $31.60 |
Investment Operations | ||||||
Net Investment Income | . 326 | .652 | .579 | .508 | .509 | . 351 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | .379 | 1.054 | 5.837 | 11.219 | 4.853 | .183 |
Total from Investment Operations | .705 | 1.706 | 6.416 | 11.727 | 5.362 | .534 |
Distributions | ||||||
Dividends from Net Investment Income | (. 295) | (. 636) | (. 576) | (. 507) | (. 502) | (. 344) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (. 295) | (. 636) | (. 576) | (. 507) | (. 502) | (. 344) |
Net Asset Value, End of Period | $55.19 | $54.78 | $53.71 | $47.87 | $36.65 | $31.79 |
Total Return1 | 1.29% | 3.17% | 13.47% | 32.16% | 16.89% | 1.71% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,923 | $3,038 | $3,270 | $3,630 | $3,105 | $2,897 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.21% | 0.22% | 0.23% | 0.24% | 0.24% | 0.24% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.26% | 1.20% | 1.17% | 1.22% | 1.45% | 1.10% |
Portfolio Turnover Rate 2 | 14% | 9% | 9% | 32% | 21% | 23% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
20
Growth Index Fund | ||||||
Financial Highlights | ||||||
ETF Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period $106.40 | $104.33 | $92.99 | $71.19 | $61.76 | $61.39 | |
Investment Operations | ||||||
Net Investment Income | .704 | 1.420 | 1.268 | 1.112 | 1.087 | .776 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | .739 | 2.038 | 11.332 | 21.798 | 9.416 | .360 |
Total from Investment Operations | 1.443 | 3.458 | 12.600 | 22.910 | 10.503 | 1.136 |
Distributions | ||||||
Dividends from Net Investment Income | (.643) | (1.388) | (1.260) | (1.110) | (1.073) | (.766) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.643) | (1.388) | (1.260) | (1.110) | (1.073) | (.766) |
Net Asset Value, End of Period | $107.20 | $106.40 | $104.33 | $92.99 | $71.19 | $61.76 |
Total Return | 1.36% | 3.32% | 13.62% | 32.38% | 17.03% | 1.87% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $20,446 | $20,706 | $17,340 | $13,265 | $8,467 | $6,046 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.07% | 0.08% | 0.09% | 0.09% | 0.10% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.40% | 1.34% | 1.31% | 1.37% | 1.59% | 1.24% |
Portfolio Turnover Rate1 | 14% | 9% | 9% | 32% | 21% | 23% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
21
Growth Index Fund | ||||||
Financial Highlights | ||||||
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $54.77 | $53.71 | $47.87 | $36.64 | $31.79 | $31.60 |
Investment Operations | ||||||
Net Investment Income | . 363 | .731 | . 653 | . 572 | . 560 | . 399 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | .378 | 1.044 | 5.836 | 11.229 | 4.842 | .185 |
Total from Investment Operations | .741 | 1.775 | 6.489 | 11.801 | 5.402 | .584 |
Distributions | ||||||
Dividends from Net Investment Income | (. 331) | (.715) | (. 649) | (. 571) | (. 552) | (. 394) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (. 331) | (.715) | (. 649) | (. 571) | (. 552) | (. 394) |
Net Asset Value, End of Period | $55.18 | $54.77 | $53.71 | $47.87 | $36.64 | $31.79 |
Total Return1 | 1.36% | 3.30% | 13.63% | 32.40% | 17.01% | 1.87% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $17,293 | $16,777 | $14,907 | $7,903 | $5,774 | $4,819 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.07% | 0.08% | 0.09% | 0.09% | 0.10% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.40% | 1.34% | 1.31% | 1.37% | 1.59% | 1.24% |
Portfolio Turnover Rate2 | 14% | 9% | 9% | 32% | 21% | 23% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
22
Growth Index Fund | ||||||
Financial Highlights | ||||||
Institutional Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $54.77 | $53.70 | $47.87 | $36.64 | $31.79 | $31.60 |
Investment Operations | ||||||
Net Investment Income | . 365 | .737 | . 657 | . 576 | . 567 | . 405 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | .380 | 1.053 | 5.826 | 11.229 | 4.842 | .186 |
Total from Investment Operations | .745 | 1.790 | 6.483 | 11.805 | 5.409 | .591 |
Distributions | ||||||
Dividends from Net Investment Income | (. 335) | (.720) | (. 653) | (. 575) | (. 559) | (. 401) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (. 335) | (.720) | (. 653) | (. 575) | (. 559) | (. 401) |
Net Asset Value, End of Period | $55.18 | $54.77 | $53.70 | $47.87 | $36.64 | $31.79 |
Total Return | 1.37% | 3.33% | 13.62% | 32.41% | 17.04% | 1.89% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $9,416 | $9,380 | $9,545 | $8,015 | $6,189 | $4,726 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.06% | 0.07% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.41% | 1.35% | 1.32% | 1.38% | 1.61% | 1.26% |
Portfolio Turnover Rate1 | 14% | 9% | 9% | 32% | 21% | 23% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
23
Growth Index Fund
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, ETF Shares, Admiral Shares, and Institutional Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. Admiral Shares and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
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 six months ended June 30, 2016, 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.
24
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, 2012–2015), and for the period ended June 30, 2016, 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 subject to termination by the fund at any time, and 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 (“Vanguard”) participate in a $3.1 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 0.10% 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 based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at June 30, 2016, or at any time during the period then ended.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
25
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. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At June 30, 2016, the fund had contributed to Vanguard capital in the amount of $4,137,000, representing 0.01% of the fund’s net assets and 1.65% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of June 30, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 50,014,120 | — | — |
Temporary Cash Investments | 173,158 | 2,498 | — |
Futures Contracts—Assets1 | 685 | — | — |
Futures Contracts—Liabilities1 | (2) | — | — |
Total | 50,187,961 | 2,498 | — |
1 Represents variation margin on the last day of the reporting period. |
26
Growth Index Fund
D. At June 30, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
E-mini S&P 500 Index | September 2016 | 636 | 66,468 | 1,069 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended June 30, 2016, the fund realized $1,026,415,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2015, the fund had available capital losses totaling $1,036,271,000 to offset future net capital gains. Of this amount, $300,177,000 is subject to expiration on December 31, 2017. Capital losses of $736,094,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, but must be used before any expiring loss carryforwards. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2016; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2016, the cost of investment securities for tax purposes was $33,999,404,000. Net unrealized appreciation of investment securities for tax purposes was $16,190,372,000, consisting of unrealized gains of $17,029,119,000 on securities that had risen in value since their purchase and $838,747,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2016, the fund purchased $5,357,784,000 of investment securities and sold $5,524,184,000 of investment securities, other than temporary cash investments. Purchases and sales include $1,564,067,000 and $2,091,052,000 respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
27
Growth Index Fund
G. Capital share transactions for each class of shares were: | ||||
Six Months Ended | Year Ended | |||
June 30, 2016 | December 31, 2015 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 195,306 | 3,683 | 480,677 | 8,715 |
Issued in Lieu of Cash Distributions | 14,932 | 274 | 34,042 | 615 |
Redeemed | (345,836) | (6,458) | (815,660) | (14,748) |
Net Increase (Decrease)—Investor Shares | (135,598) | (2,501) | (300,941) | (5,418) |
ETF Shares | ||||
Issued | 1,707,348 | 16,423 | 6,718,956 | 62,729 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (2,109,918) | (20,300) | (3,698,115) | (34,325) |
Net Increase (Decrease)—ETF Shares | (402,570) | (3,877) | 3,020,841 | 28,404 |
Admiral Shares | ||||
Issued | 1,658,677 | 31,190 | 3,735,301 | 67,661 |
Issued in Lieu of Cash Distributions | 91,862 | 1,684 | 188,346 | 3,407 |
Redeemed | (1,374,936) | (25,797) | (2,332,362) | (42,325) |
Net Increase (Decrease)—Admiral Shares | 375,603 | 7,077 | 1,591,285 | 28,743 |
Institutional Shares | ||||
Issued | 771,425 | 14,532 | 1,835,127 | 33,331 |
Issued in Lieu of Cash Distributions | 53,177 | 975 | 120,650 | 2,183 |
Redeemed | (856,202) | (16,130) | (2,274,553) | (41,972) |
Net Increase (Decrease)—Institutional Shares | (31,600) | (623) | (318,776) | (6,458) |
H. Management has determined that no material events or transactions occurred subsequent to June 30, 2016, that would require recognition or disclosure in these financial statements.
28
Value Index Fund | ||||
Fund Profile | ||||
As of June 30, 2016 | ||||
Share-Class Characteristics | ||||
Investor | ETF | Admiral | Institutional | |
Shares | Shares | Shares | Shares | |
Ticker Symbol | VIVAX | VTV | VVIAX | VIVIX |
Expense Ratio1 | 0.22% | 0.08% | 0.08% | 0.07% |
30-Day SEC Yield | 2.53% | 2.64% | 2.64% | 2.65% |
Portfolio Characteristics | |||
DJ | |||
U.S. | |||
Total | |||
CRSP US | Market | ||
Large Cap | FA | ||
Fund Value Index | Index | ||
Number of Stocks | 320 | 317 | 3,863 |
Median Market Cap | $82.7B | $70.6B | $53.0B |
Price/Earnings Ratio | 17.7x | 17.6x | 22.0x |
Price/Book Ratio | 2.1x | 2.1x | 2.7x |
Return on Equity | 15.0% | 14.9% | 16.5% |
Earnings Growth | |||
Rate | 2.7% | 2.5% | 7.3% |
Dividend Yield | 2.7% | 2.7% | 2.1% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 8% | — | — |
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 | 3.4% | 3.4% | 2.4% |
Consumer Goods | 10.6 | 10.6 | 10.7 |
Consumer Services | 6.4 | 6.4 | 13.6 |
Financials | 21.6 | 21.6 | 18.6 |
Health Care | 13.1 | 13.1 | 13.4 |
Industrials | 11.9 | 11.9 | 12.6 |
Oil & Gas | 10.8 | 10.8 | 6.7 |
Technology | 10.2 | 10.2 | 15.7 |
Telecommunications | 5.3 | 5.3 | 2.6 |
Utilities | 6.7 | 6.7 | 3.7 |
Volatility Measures | ||
DJ | ||
CRSP US | U.S. Total | |
Large Cap | Market | |
Value Index | FA Index | |
R-Squared | 1.00 | 0.94 |
Beta | 1.00 | 0.92 |
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 | 3.9% |
Microsoft Corp. | Software | 3.8 |
Johnson & Johnson | Pharmaceuticals | 3.4 |
General Electric Co. | Diversified Industrials | 2.9 |
Berkshire Hathaway Inc. Reinsurance | 2.8 | |
AT&T Inc. | Fixed Line | |
Telecommunications | 2.7 | |
Verizon Communications Fixed Line | ||
Inc. | Telecommunications | 2.3 |
JPMorgan Chase & Co. | Banks | 2.3 |
Procter & Gamble Co. | Nondurable | |
Household Products | 2.3 | |
Wells Fargo & Co. | Banks | 2.2 |
Top Ten | 28.6% |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratios shown are from the prospectus dated April 27, 2016, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2016, the annualized expense ratios were 0.21% for Investor Shares, 0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.06% for Institutional Shares.
29
Value Index Fund
![](https://capedge.com/proxy/N-CSRS/0000932471-16-014112/usstockindexfundslarge-x32x1.jpg)
30
Value Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): December 31, 2005, Through June 30, 2016
![](https://capedge.com/proxy/N-CSRS/0000932471-16-014112/usstockindexfundslarge-x33x1.jpg)
Spliced Value Index
For a benchmark description, see the Glossary.
Note: For 2016, performance data reflect the six months ended June 30, 2016.
Average Annual Total Returns: Periods Ended June 30, 2016 | ||||
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 11/2/1992 | 4.51% | 11.35% | 6.24% |
ETF Shares | 1/26/2004 | |||
Market Price | 4.60 | 11.51 | 6.37 | |
Net Asset Value | 4.63 | 11.51 | 6.38 | |
Admiral Shares | 11/13/2000 | 4.66 | 11.51 | 6.38 |
Institutional Shares | 7/2/1998 | 4.63 | 11.52 | 6.41 |
See Financial Highlights for dividend and capital gains information.
31
Value Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2016
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 (3.4%) | ||
EI du Pont de Nemours | ||
& Co. | 3,715,604 | 240,771 |
Dow Chemical Co. | 4,776,156 | 237,423 |
Air Products & Chemicals | ||
Inc. | 873,193 | 124,028 |
PPG Industries Inc. | 1,131,796 | 117,877 |
LyondellBasell Industries | ||
NV Class A | 1,450,254 | 107,928 |
Newmont Mining Corp. | 2,258,325 | 88,346 |
International Paper Co. | 1,749,024 | 74,124 |
Nucor Corp. | 1,352,403 | 66,822 |
Freeport-McMoRan Inc. | 4,779,996 | 53,249 |
Alcoa Inc. | 5,578,421 | 51,712 |
Celanese Corp. Class A | 627,533 | 41,072 |
Eastman Chemical Co. | 599,118 | 40,680 |
Mosaic Co. | 1,483,822 | 38,846 |
Albemarle Corp. | 478,736 | 37,969 |
Ashland Inc. | 263,183 | 30,205 |
Avery Dennison Corp. | 381,970 | 28,552 |
FMC Corp. | 571,731 | 26,477 |
CF Industries Holdings Inc. | 995,191 | 23,984 |
Reliance Steel & | ||
Aluminum Co. | 290,491 | 22,339 |
Westlake Chemical Corp. | 166,031 | 7,126 |
1,459,530 | ||
Consumer Goods (10.6%) | ||
Procter & Gamble Co. | 11,322,605 | 958,685 |
PepsiCo Inc. | 6,144,078 | 650,904 |
Altria Group Inc. | 4,161,001 | 286,943 |
Mondelez International | ||
Inc. Class A | 6,271,800 | 285,430 |
Kimberly-Clark Corp. | 1,531,940 | 210,611 |
Ford Motor Co. | 16,597,593 | 208,632 |
General Mills Inc. | 2,528,449 | 180,329 |
General Motors Co. | 5,894,944 | 166,827 |
Johnson Controls Inc. | 2,758,023 | 122,070 |
Market | |||
Value• | |||
Shares | ($000) | ||
Archer-Daniels-Midland | |||
Co. | 2,496,264 | 107,065 | |
ConAgra Foods Inc. | 1,856,372 | 88,753 | |
Tyson Foods Inc. Class A | 1,278,434 | 85,387 | |
Kellogg Co. | 1,042,311 | 85,105 | |
Dr Pepper Snapple Group | |||
Inc. | 790,435 | 76,380 | |
Clorox Co. | 550,208 | 76,143 | |
Molson Coors Brewing Co. | |||
Class B | 743,086 | 75,148 | |
JM Smucker Co. | 483,663 | 73,715 | |
Delphi Automotive plc | 1,161,201 | 72,691 | |
Genuine Parts Co. | 604,660 | 61,222 | |
Campbell Soup Co. | 854,836 | 56,872 | |
Whirlpool Corp. | 323,142 | 53,848 | |
Newell Brands Inc. | 1,016,607 | 49,377 | |
Coach Inc. | 1,183,733 | 48,225 | |
Mattel Inc. | 1,452,905 | 45,461 | |
Hasbro Inc. | 479,818 | 40,300 | |
Stanley Black & Decker | |||
Inc. | 318,310 | 35,402 | |
Bunge Ltd. | 591,190 | 34,969 | |
PVH Corp. | 343,723 | 32,389 | |
Lear Corp. | 312,846 | 31,835 | |
PulteGroup Inc. | 1,321,017 | 25,747 | |
Leucadia National Corp. | 1,394,186 | 24,161 | |
DR Horton Inc. | 748,347 | 23,558 | |
Ralph Lauren Corp. | |||
Class A | 242,293 | 21,714 | |
* | Edgewell Personal Care | ||
Co. | 253,599 | 21,406 | |
Lennar Corp. Class A | 407,680 | 18,794 | |
Harley-Davidson Inc. | 384,628 | 17,424 | |
Goodyear Tire & Rubber | |||
Co. | 568,241 | 14,581 | |
^ | Pilgrim’s Pride Corp. | 274,937 | 7,005 |
Lennar Corp. Class B | 1,431 | 53 | |
4,475,161 |
32
Value Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
Consumer Services (6.3%) | |||
Wal-Mart Stores Inc. | 6,008,114 | 438,712 | |
CVS Health Corp. | 4,568,515 | 437,390 | |
McKesson Corp. | 957,186 | 178,659 | |
Target Corp. | 2,506,568 | 175,008 | |
Kroger Co. | 4,057,056 | 149,259 | |
Delta Air Lines Inc. | 3,282,080 | 119,566 | |
Time Warner Inc. | 1,588,891 | 116,847 | |
Sysco Corp. | 2,157,360 | 109,464 | |
* | eBay Inc. | 4,642,811 | 108,688 |
Cardinal Health Inc. | 1,384,055 | 107,970 | |
Omnicom Group Inc. | 1,011,335 | 82,414 | |
Viacom Inc. Class B | 1,516,415 | 62,886 | |
AmerisourceBergen Corp. | |||
Class A | 780,479 | 61,908 | |
* | United Continental | ||
Holdings Inc. | 1,285,183 | 52,744 | |
Macy’s Inc. | 1,308,107 | 43,965 | |
Interpublic Group of Cos. | |||
Inc. | 1,717,277 | 39,669 | |
Carnival Corp. | 834,493 | 36,885 | |
Las Vegas Sands Corp. | 843,980 | 36,705 | |
Best Buy Co. Inc. | 1,168,379 | 35,752 | |
American Airlines Group | |||
Inc. | 1,228,048 | 34,766 | |
Aramark | 1,030,159 | 34,428 | |
Darden Restaurants Inc. | 510,794 | 32,354 | |
Kohl’s Corp. | 785,355 | 29,781 | |
Bed Bath & Beyond Inc. | 629,074 | 27,188 | |
News Corp. Class A | 2,125,190 | 24,121 | |
Staples Inc. | 2,752,737 | 23,729 | |
Gap Inc. | 947,648 | 20,109 | |
* | Rite Aid Corp. | 2,234,994 | 16,740 |
Tiffany & Co. | 227,500 | 13,796 | |
* | Liberty SiriusXM Group | 425,801 | 13,144 |
^ | Nordstrom Inc. | 257,101 | 9,783 |
* | Liberty SiriusXM Group | ||
Class A | 206,461 | 6,475 | |
* | Hertz Global Holdings Inc. | 398,980 | 4,417 |
News Corp. Class B | 12,704 | 148 | |
2,685,470 | |||
Financials (21.6%) | |||
* | Berkshire Hathaway Inc. | ||
Class B | 8,140,987 | 1,178,734 | |
JPMorgan Chase & Co. | 15,554,108 | 966,532 | |
Wells Fargo & Co. | 19,436,344 | 919,922 | |
Bank of America Corp. | 43,692,978 | 579,806 | |
Citigroup Inc. | 12,484,095 | 529,201 | |
US Bancorp | 6,976,400 | 281,358 | |
Chubb Ltd. | 1,876,995 | 245,342 | |
American International | |||
Group Inc. | 4,521,982 | 239,168 | |
Goldman Sachs Group | |||
Inc. | 1,590,256 | 236,280 | |
American Express Co. | 3,438,588 | 208,929 |
Market | |||
Value• | |||
Shares | ($000) | ||
PNC Financial Services | |||
Group Inc. | 2,123,984 | 172,871 | |
Bank of New York | |||
Mellon Corp. | 4,352,489 | 169,094 | |
Morgan Stanley | 6,179,540 | 160,544 | |
MetLife Inc. | 3,738,715 | 148,913 | |
Travelers Cos. Inc. | 1,243,794 | 148,061 | |
Capital One Financial | |||
Corp. | 2,178,335 | 138,346 | |
Prudential Financial Inc. | 1,880,158 | 134,131 | |
CME Group Inc. | 1,368,522 | 133,294 | |
Aflac Inc. | 1,760,978 | 127,072 | |
BB&T Corp. | 3,454,236 | 123,005 | |
Allstate Corp. | 1,590,276 | 111,240 | |
Discover Financial | |||
Services | 1,753,530 | 93,972 | |
* | Synchrony Financial | 3,547,257 | 89,675 |
SunTrust Banks Inc. | 2,131,681 | 87,569 | |
State Street Corp. | 1,599,992 | 86,272 | |
Progressive Corp. | 2,355,953 | 78,924 | |
Hartford Financial | |||
Services Group Inc. | 1,673,394 | 74,265 | |
M&T Bank Corp. | 608,713 | 71,968 | |
Willis Towers Watson plc | 559,728 | 69,580 | |
Ameriprise Financial Inc. | 705,368 | 63,377 | |
Northern Trust Corp. | 922,025 | 61,093 | |
Fifth Third Bancorp | 3,265,648 | 57,443 | |
Equity Residential | 776,328 | 53,474 | |
Host Hotels & Resorts | |||
Inc. | 3,169,892 | 51,384 | |
Loews Corp. | 1,231,972 | 50,622 | |
Principal Financial Group | |||
Inc. | 1,229,429 | 50,542 | |
Cincinnati Financial Corp. | 664,117 | 49,736 | |
Franklin Resources Inc. | 1,488,634 | 49,676 | |
Regions Financial Corp. | 5,372,985 | 45,724 | |
Invesco Ltd. | 1,771,332 | 45,240 | |
First Republic Bank | 630,480 | 44,127 | |
Annaly Capital | |||
Management Inc. | 3,922,948 | 43,427 | |
Citizens Financial Group | |||
Inc. | 2,145,147 | 42,860 | |
FNF Group | 1,126,797 | 42,255 | |
XL Group plc Class A | 1,201,875 | 40,034 | |
Western Union Co. | 2,083,171 | 39,955 | |
KeyCorp | 3,583,218 | 39,595 | |
Lincoln National Corp. | 1,013,734 | 39,303 | |
* | Arch Capital Group Ltd. | 496,698 | 35,762 |
HCP Inc. | 992,975 | 35,131 | |
* | Ally Financial Inc. | 1,949,635 | 33,280 |
Everest Re Group Ltd. | 179,519 | 32,793 | |
Unum Group | 1,018,670 | 32,384 | |
Nasdaq Inc. | 490,846 | 31,743 | |
Comerica Inc. | 742,825 | 30,552 |
33
Value Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
Huntington Bancshares | |||
Inc. | 3,400,796 | 30,403 | |
Torchmark Corp. | 486,112 | 30,051 | |
New York Community | |||
Bancorp Inc. | 1,967,629 | 29,495 | |
American Capital Agency | |||
Corp. | 1,403,971 | 27,827 | |
CIT Group Inc. | 859,182 | 27,417 | |
Kimco Realty Corp. | 846,742 | 26,571 | |
Reinsurance Group of | |||
America Inc. Class A | 271,732 | 26,355 | |
WR Berkley Corp. | 393,778 | 23,595 | |
Zions Bancorporation | 870,479 | 21,875 | |
Axis Capital Holdings Ltd. | 394,187 | 21,680 | |
Voya Financial Inc. | 865,109 | 21,420 | |
People’s United Financial | |||
Inc. | 1,322,808 | 19,392 | |
* | Alleghany Corp. | 31,408 | 17,261 |
Raymond James Financial | |||
Inc. | 272,248 | 13,422 | |
Assurant Inc. | 131,296 | 11,332 | |
Navient Corp. | 700,899 | 8,376 | |
Lazard Ltd. Class A | 275,628 | 8,208 | |
* | Berkshire Hathaway Inc. | ||
Class A | 14 | 3,038 | |
* | Santander Consumer USA | ||
Holdings Inc. | 226,537 | 2,340 | |
Legg Mason Inc. | 275 | 8 | |
9,115,646 | |||
Health Care (13.1%) | |||
Johnson & Johnson | 11,700,293 | 1,419,245 | |
Pfizer Inc. | 25,797,636 | 908,335 | |
Merck & Co. Inc. | 11,774,146 | 678,309 | |
UnitedHealth Group Inc. | 4,044,385 | 571,067 | |
Eli Lilly & Co. | 4,225,874 | 332,788 | |
Abbott Laboratories | 6,249,275 | 245,659 | |
* | Express Scripts Holding | ||
Co. | 2,690,642 | 203,951 | |
Aetna Inc. | 1,491,404 | 182,145 | |
Anthem Inc. | 1,118,591 | 146,916 | |
Cigna Corp. | 1,091,173 | 139,659 | |
Humana Inc. | 633,689 | 113,988 | |
* | HCA Holdings Inc. | 1,413,953 | 108,888 |
Baxter International Inc. | 2,349,180 | 106,230 | |
Zimmer Biomet Holdings | |||
Inc. | 847,533 | 102,026 | |
St. Jude Medical Inc. | 1,149,815 | 89,686 | |
* | Boston Scientific Corp. | 2,881,866 | 67,349 |
Quest Diagnostics Inc. | 599,961 | 48,843 | |
* | Hologic Inc. | 1,182,936 | 40,930 |
Universal Health Services | |||
Inc. Class B | 192,860 | 25,862 | |
Patterson Cos. Inc. | 361,429 | 17,309 | |
* | Endo International plc | 424,146 | 6,612 |
5,555,797 |
Market | |||
Value• | |||
Shares | ($000) | ||
Industrials (11.9%) | |||
General Electric Co. | 39,114,977 | 1,231,339 | |
Honeywell International | |||
Inc. | 3,241,794 | 377,086 | |
United Technologies | |||
Corp. | 3,381,820 | 346,806 | |
Lockheed Martin Corp. | 1,100,778 | 273,180 | |
Caterpillar Inc. | 2,483,707 | 188,290 | |
Raytheon Co. | 1,263,331 | 171,750 | |
Northrop Grumman Corp. | 767,582 | 170,618 | |
Boeing Co. | 1,287,106 | 167,156 | |
General Dynamics Corp. | 1,105,184 | 153,886 | |
Emerson Electric Co. | 2,736,586 | 142,740 | |
Illinois Tool Works Inc. | 1,299,379 | 135,343 | |
Waste Management Inc. | 1,889,725 | 125,232 | |
Eaton Corp. plc | 1,948,222 | 116,367 | |
Norfolk Southern Corp. | 1,256,367 | 106,955 | |
CSX Corp. | 4,060,799 | 105,906 | |
Deere & Co. | 1,207,170 | 97,829 | |
TE Connectivity Ltd. | 1,521,169 | 86,874 | |
Cummins Inc. | 724,655 | 81,480 | |
FedEx Corp. | 513,885 | 77,997 | |
PACCAR Inc. | 1,490,747 | 77,325 | |
Tyco International plc | 1,809,968 | 77,105 | |
Ingersoll-Rand plc | 1,097,800 | 69,908 | |
Parker-Hannifin Corp. | 572,980 | 61,911 | |
Republic Services Inc. | |||
Class A | 1,021,307 | 52,403 | |
Rockwell Collins Inc. | 552,170 | 47,012 | |
Dover Corp. | 661,543 | 45,858 | |
Ball Corp. | 603,445 | 43,623 | |
L-3 Communications | |||
Holdings Inc. | 293,756 | 43,091 | |
WestRock Co. | 1,071,441 | 41,647 | |
Xerox Corp. | 4,107,805 | 38,983 | |
Xylem Inc. | 765,094 | 34,161 | |
* | Crown Holdings Inc. | 595,226 | 30,160 |
Fluor Corp. | 593,005 | 29,223 | |
* | Jacobs Engineering | ||
Group Inc. | 524,343 | 26,118 | |
Flowserve Corp. | 554,351 | 25,040 | |
* | Arrow Electronics Inc. | 389,220 | 24,093 |
Avnet Inc. | 545,070 | 22,081 | |
ManpowerGroup Inc. | 303,255 | 19,511 | |
Allison Transmission | |||
Holdings Inc. | 611,800 | 17,271 | |
* | United Rentals Inc. | 187,968 | 12,613 |
Owens Corning | 235,384 | 12,127 | |
AGCO Corp. | 156,094 | 7,357 | |
5,015,455 | |||
Oil & Gas (10.8%) | |||
Exxon Mobil Corp. | 17,638,235 | 1,653,408 | |
Chevron Corp. | 8,016,907 | 840,412 | |
Occidental Petroleum | |||
Corp. | 3,248,754 | 245,476 |
34
Value Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
Schlumberger Ltd. | 2,958,946 | 233,993 | |
ConocoPhillips | 5,267,651 | 229,670 | |
Halliburton Co. | 3,472,264 | 157,259 | |
Phillips 66 | 1,900,305 | 150,770 | |
Spectra Energy Corp. | 2,981,507 | 109,213 | |
Valero Energy Corp. | 1,995,727 | 101,782 | |
Apache Corp. | 1,613,038 | 89,798 | |
Marathon Petroleum | |||
Corp. | 2,253,793 | 85,554 | |
Baker Hughes Inc. | 1,862,769 | 84,067 | |
Devon Energy Corp. | 2,117,484 | 76,759 | |
Kinder Morgan Inc. | 4,034,202 | 75,520 | |
Hess Corp. | 1,212,528 | 72,873 | |
Marathon Oil Corp. | 3,605,842 | 54,124 | |
National Oilwell Varco Inc. | 1,605,509 | 54,025 | |
Columbia Pipeline Group | |||
Inc. | 1,705,682 | 43,478 | |
Tesoro Corp. | 508,905 | 38,127 | |
Williams Cos. Inc. | 1,439,307 | 31,132 | |
^ | Helmerich & Payne Inc. | 438,001 | 29,403 |
OGE Energy Corp. | 852,378 | 27,915 | |
* | FMC Technologies Inc. | 969,306 | 25,851 |
* | Weatherford International | ||
plc | 3,802,137 | 21,102 | |
HollyFrontier Corp. | 751,843 | 17,871 | |
Murphy Oil Corp. | 350,129 | 11,117 | |
Energen Corp. | 208,374 | 10,046 | |
Oceaneering International | |||
Inc. | 50 | 2 | |
4,570,747 | |||
Other (0.0%)2 | |||
* | Safeway Inc. CVR | ||
(Casa Ley) Exp. | |||
01/30/2018 | 376 | — | |
* | Safeway Inc. CVR (PDC) | ||
Exp. 01/30/2017 | 376 | — | |
— | |||
Technology (10.2%) | |||
Microsoft Corp. | 31,763,772 | 1,625,352 | |
Intel Corp. | 20,085,633 | 658,809 | |
Cisco Systems Inc. | 21,394,535 | 613,809 | |
International Business | |||
Machines Corp. | 3,675,004 | 557,792 | |
Hewlett Packard | |||
Enterprise Co. | 7,301,696 | 133,402 | |
EMC Corp. | 4,154,213 | 112,870 | |
Corning Inc. | 4,574,233 | 93,680 | |
HP Inc. | 7,344,609 | 92,175 | |
Western Digital Corp. | 1,137,327 | 53,750 | |
Symantec Corp. | 2,604,485 | 53,496 | |
Motorola Solutions Inc. | 703,678 | 46,422 | |
Harris Corp. | 532,553 | 44,436 | |
CA Inc. | 1,335,070 | 43,830 | |
* | Synopsys Inc. | 646,588 | 34,968 |
Market | |||
Value• | |||
Shares | ($000) | ||
Seagate Technology plc | 1,267,352 | 30,873 | |
NetApp Inc. | 1,226,212 | 30,153 | |
Garmin Ltd. | 487,444 | 20,677 | |
* | Nuance Communications | ||
Inc. | 1,184,676 | 18,517 | |
Juniper Networks Inc. | 776,264 | 17,458 | |
Marvell Technology | |||
Group Ltd. | 1,756,320 | 16,738 | |
Computer Sciences Corp. | 295,553 | 14,674 | |
* | IMS Health Holdings Inc. | 492,829 | 12,498 |
CSRA Inc. | 171,972 | 4,029 | |
4,330,408 | |||
Telecommunications (5.3%) | |||
AT&T Inc. | 26,185,370 | 1,131,470 | |
Verizon Communications | |||
Inc. | 17,339,055 | 968,213 | |
CenturyLink Inc. | 2,322,689 | 67,381 | |
* | T-Mobile US Inc. | 609,432 | 26,370 |
Frontier Communications | |||
Corp. | 4,996,451 | 24,682 | |
*,^ | Sprint Corp. | 2,529,521 | 11,459 |
2,229,575 | |||
Utilities (6.7%) | |||
NextEra Energy Inc. | 1,962,898 | 255,962 | |
Duke Energy Corp. | 2,929,923 | 251,358 | |
Southern Co. | 3,986,410 | 213,791 | |
Dominion Resources Inc. | 2,621,260 | 204,275 | |
American Electric Power | |||
Co. Inc. | 2,089,899 | 146,481 | |
Exelon Corp. | 3,920,624 | 142,554 | |
PG&E Corp. | 2,109,988 | 134,870 | |
Sempra Energy | 1,007,242 | 114,846 | |
PPL Corp. | 2,874,166 | 108,500 | |
Edison International | 1,384,027 | 107,497 | |
Consolidated Edison Inc. | 1,293,873 | 104,079 | |
Public Service Enterprise | |||
Group Inc. | 2,152,077 | 100,308 | |
Xcel Energy Inc. | 2,160,738 | 96,758 | |
WEC Energy Group Inc. | 1,342,693 | 87,678 | |
Eversource Energy | 1,349,311 | 80,824 | |
DTE Energy Co. | 763,343 | 75,663 | |
American Water Works | |||
Co. Inc. | 755,936 | 63,884 | |
FirstEnergy Corp. | 1,809,327 | 63,164 | |
Entergy Corp. | 762,551 | 62,033 | |
Ameren Corp. | 1,036,084 | 55,513 | |
CMS Energy Corp. | 1,190,915 | 54,615 | |
ONEOK Inc. | 895,810 | 42,506 | |
CenterPoint Energy Inc. | 1,747,206 | 41,933 | |
SCANA Corp. | 549,626 | 41,585 | |
Alliant Energy Corp. | 966,915 | 38,387 | |
Pinnacle West Capital | |||
Corp. | 473,443 | 38,377 | |
NiSource Inc. | 1,363,923 | 36,171 |
35
Value Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
AES Corp. | 2,814,803 | 35,129 | |
Avangrid Inc. | 264,409 | 12,179 | |
* | Calpine Corp. | 762,566 | 11,248 |
2,822,168 | |||
Total Common Stocks | |||
(Cost $35,934,165) | 42,259,957 | ||
Temporary Cash Investments (0.2%)1 | |||
Money Market Fund (0.2%) | |||
3,4 | Vanguard Market | ||
Liquidity Fund, | |||
0.538% | 76,640,432 | 76,640 | |
Face | |||
Amount | |||
($000) | |||
U.S. Government and Agency Obligations (0.0%) | |||
5,6 | Federal Home Loan | ||
Bank Discount Notes, | |||
0.352%, 7/6/16 | 2,000 | 2,000 | |
5,6 | Federal Home Loan | ||
Bank Discount Notes, | |||
0.471%, 8/10/16 | 1,000 | 1,000 | |
5,6 | Federal Home Loan | ||
Bank Discount Notes, | |||
0.441%, 9/30/16 | 900 | 899 | |
3,899 | |||
Total Temporary Cash Investments | |||
(Cost $80,539) | 80,539 | ||
Total Investments (100.1%) | |||
(Cost $36,014,704) | 42,340,496 |
Amount | |
($000) | |
Other Assets and Liabilities (-0.1%) | |
Other Assets | |
Investment in Vanguard | 3,406 |
Receivables for Accrued Income | 57,304 |
Receivables for Investment Securities Sold 5,031 | |
Receivables for Capital Shares Issued | 10,749 |
Other Assets | 817 |
Total Other Assets | 77,307 |
Liabilities | |
Payables for Investment | |
Securities Purchased | (82,023) |
Collateral for Securities on Loan | (15,371) |
Payables for Capital Shares Redeemed | (7,934) |
Payables to Vanguard | (20,512) |
Other Liabilities | (4,715) |
Total Liabilities | (130,555) |
Net Assets (100%) | 42,287,248 |
At June 30, 2016, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 36,644,004 |
Undistributed Net Investment Income | 27,526 |
Accumulated Net Realized Losses | (711,307) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 6,325,792 |
Futures Contracts | 1,233 |
Net Assets | 42,287,248 |
Investor Shares—Net Assets | |
Applicable to 42,141,993 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 1,397,486 |
Net Asset Value Per Share— | |
Investor Shares | $33.16 |
ETF Shares—Net Assets | |
Applicable to 256,123,448 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 21,769,117 |
Net Asset Value Per Share— | |
ETF Shares | $84.99 |
36
Value Index Fund | |
Amount | |
($000) | |
Admiral Shares—Net Assets | |
Applicable to 345,233,490 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 11,446,395 |
Net Asset Value Per Share— | |
Admiral Shares | $33.16 |
Institutional Shares—Net Assets | |
Applicable to 231,466,132 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 7,674,250 |
Net Asset Value Per Share— | |
Institutional Shares | $33.15 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $14,576,000.
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 0.0%, 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 $15,371,000 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 $2,999,000 have been segregated as initial margin for open futures contracts.
CVR—Contingent Value Rights.
See accompanying Notes, which are an integral part of the Financial Statements.
37
Value Index Fund | |
Statement of Operations | |
Six Months Ended | |
June 30, 2016 | |
($000) | |
Investment Income | |
Income | |
Dividends | 551,800 |
Interest1 | 77 |
Securities Lending | 784 |
Total Income | 552,661 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,682 |
Management and Administrative—Investor Shares | 1,162 |
Management and Administrative—ETF Shares | 5,544 |
Management and Administrative—Admiral Shares | 2,797 |
Management and Administrative—Institutional Shares | 1,834 |
Marketing and Distribution—Investor Shares | 146 |
Marketing and Distribution—ETF Shares | 584 |
Marketing and Distribution—Admiral Shares | 541 |
Marketing and Distribution—Institutional Shares | 82 |
Custodian Fees | 226 |
Shareholders’ Reports—Investor Shares | 57 |
Shareholders’ Reports—ETF Shares | 177 |
Shareholders’ Reports—Admiral Shares | 66 |
Shareholders’ Reports—Institutional Shares | 56 |
Trustees’ Fees and Expenses | 12 |
Total Expenses | 14,966 |
Net Investment Income | 537,695 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 700,322 |
Futures Contracts | 5,075 |
Realized Net Gain (Loss) | 705,397 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 995,156 |
Futures Contracts | 1,304 |
Change in Unrealized Appreciation (Depreciation) | 996,460 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,239,552 |
1 Interest income from an affiliated company of the fund was $67,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
38
Value Index Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2016 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 537,695 | 963,281 |
Realized Net Gain (Loss) | 705,397 | 1,001,536 |
Change in Unrealized Appreciation (Depreciation) | 996,460 | (2,334,263) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,239,552 | (369,446) |
Distributions | ||
Net Investment Income | ||
Investor Shares | (16,130) | (35,713) |
ETF Shares | (257,363) | (471,450) |
Admiral Shares | (133,975) | (258,590) |
Institutional Shares | (90,983) | (198,037) |
Realized Capital Gain | ||
Investor Shares | — | — |
ETF Shares | — | — |
Admiral Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (498,451) | (963,790) |
Capital Share Transactions | ||
Investor Shares | (56,812) | (143,297) |
ETF Shares | 2,207,998 | 1,990,497 |
Admiral Shares | 577,871 | 1,048,344 |
Institutional Shares | 188,130 | (364,225) |
Net Increase (Decrease) from Capital Share Transactions | 2,917,187 | 2,531,319 |
Total Increase (Decrease) | 4,658,288 | 1,198,083 |
Net Assets | ||
Beginning of Period | 37,628,960 | 36,430,877 |
End of Period1 | 42,287,248 | 37,628,960 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $27,526,000 and ($11,718,000).
See accompanying Notes, which are an integral part of the Financial Statements.
39
Value Index Fund | ||||||
Financial Highlights | ||||||
Investor Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $31.82 | $32.95 | $29.78 | $22.93 | $20.47 | $20.79 |
Investment Operations | ||||||
Net Investment Income | . 407 | .782 | . 691 | . 621 | . 595 | . 521 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.309 | (1.130) | 3.164 | 6.847 | 2.458 | (.325) |
Total from Investment Operations | 1.716 | (.348) | 3.855 | 7.468 | 3.053 | .196 |
Distributions | ||||||
Dividends from Net Investment Income | (. 376) | (.782) | (. 685) | (. 618) | (. 593) | (. 516) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (. 376) | (.782) | (. 685) | (. 618) | (. 593) | (. 516) |
Net Asset Value, End of Period | $33.16 | $31.82 | $32.95 | $29.78 | $22.93 | $20.47 |
Total Return1 | 5.43% | -1.03% | 13.05% | 32.85% | 15.00% | 1.00% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,397 | $1,397 | $1,593 | $1,731 | $1,482 | $1,814 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.21% | 0.22% | 0.23% | 0.24% | 0.24% | 0.24% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.64% | 2.44% | 2.25% | 2.35% | 2.71% | 2.52% |
Portfolio Turnover Rate2 | 8% | 8% | 6% | 25% | 22% | 23% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
40
Value Index Fund | ||||||
Financial Highlights | ||||||
ETF Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $81.56 | $84.45 | $76.34 | $58.79 | $52.48 | $53.29 |
Investment Operations | ||||||
Net Investment Income | 1.101 | 2.123 | 1.888 | 1.700 | 1.613 | 1.414 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 3.349 | (2.890) | 8.095 | 17.538 | 6.305 | (.821) |
Total from Investment Operations | 4.450 | (.767) | 9.983 | 19.238 | 7.918 | .593 |
Distributions | ||||||
Dividends from Net Investment Income | (1.020) | (2.123) | (1.873) | (1.688) | (1.608) | (1.403) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (1.020) | (2.123) | (1.873) | (1.688) | (1.608) | (1.403) |
Net Asset Value, End of Period | $84.99 | $81.56 | $84.45 | $76.34 | $58.79 | $52.48 |
Total Return | 5.49% | -0.89% | 13.19% | 33.03% | 15.19% | 1.16% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $21,769 | $18,648 | $17,277 | $12,461 | $7,027 | $5,049 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.07% | 0.08% | 0.09% | 0.09% | 0.10% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.78% | 2.58% | 2.39% | 2.50% | 2.85% | 2.66% |
Portfolio Turnover Rate1 | 8% | 8% | 6% | 25% | 22% | 23% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
41
Value Index Fund | ||||||
Financial Highlights | ||||||
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $31.82 | $32.94 | $29.78 | $22.93 | $20.47 | $20.79 |
Investment Operations | ||||||
Net Investment Income | .429 | .829 | .737 | .663 | .629 | .551 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.309 | (1.121) | 3.154 | 6.845 | 2.458 | (.325) |
Total from Investment Operations | 1.738 | (.292) | 3.891 | 7.508 | 3.087 | .226 |
Distributions | ||||||
Dividends from Net Investment Income | (. 398) | (. 828) | (.731) | (. 658) | (. 627) | (. 546) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (. 398) | (. 828) | (.731) | (. 658) | (. 627) | (. 546) |
Net Asset Value, End of Period | $33.16 | $31.82 | $32.94 | $29.78 | $22.93 | $20.47 |
Total Return1 | 5.50% | -0.86% | 13.18% | 33.05% | 15.18% | 1.14% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $11,446 | $10,408 | $9,701 | $5,054 | $3,539 | $3,116 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.07% | 0.08% | 0.09% | 0.09% | 0.10% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.78% | 2.58% | 2.39% | 2.50% | 2.85% | 2.66% |
Portfolio Turnover Rate2 | 8% | 8% | 6% | 25% | 22% | 23% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
42
Value Index Fund | ||||||
Financial Highlights | ||||||
Institutional Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $31.82 | $32.94 | $29.78 | $22.93 | $20.47 | $20.79 |
Investment Operations | ||||||
Net Investment Income | . 431 | . 831 | .739 | . 666 | . 633 | . 556 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.298 | (1.120) | 3.154 | 6.846 | 2.458 | (.325) |
Total from Investment Operations | 1.729 | (.289) | 3.893 | 7.512 | 3.091 | .231 |
Distributions | ||||||
Dividends from Net Investment Income | (. 399) | (. 831) | (.733) | (. 662) | (. 631) | (. 551) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (. 399) | (. 831) | (.733) | (. 662) | (. 631) | (. 551) |
Net Asset Value, End of Period | $33.15 | $31.82 | $32.94 | $29.78 | $22.93 | $20.47 |
Total Return | 5.47% | -0.85% | 13.19% | 33.07% | 15.20% | 1.17% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $7,674 | $7,176 | $7,860 | $6,431 | $4,369 | $3,449 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.06% | 0.07% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.79% | 2.59% | 2.40% | 2.51% | 2.87% | 2.68% |
Portfolio Turnover Rate1 | 8% | 8% | 6% | 25% | 22% | 23% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
43
Value Index Fund
Notes to Financial Statements
Vanguard Value Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers four classes of shares: Investor Shares, ETF Shares, Admiral Shares and Institutional Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. Admiral Shares and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
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 six months ended June 30, 2016, 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.
44
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, 2012–2015), and for the period ended June 30, 2016, 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 subject to termination by the fund at any time, and 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 (“Vanguard”) participate in a $3.1 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 0.10% 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 based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at June 30, 2016, 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.
45
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. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At June 30, 2016, the fund had contributed to Vanguard capital in the amount of $3,406,000, representing 0.01% of the fund’s net assets and 1.36% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of June 30, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 42,259,957 | — | — |
Temporary Cash Investments | 76,640 | 3,899 | — |
Futures Contracts—Assets1 | 817 | — | — |
Total | 42,337,414 | 3,899 | — |
1 Represents variation margin on the last day of the reporting period. |
46
Value Index Fund
D. At June 30, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
E-mini S&P 500 Index | September 2016 | 698 | 72,948 | 1,233 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended June 30, 2016, the fund realized $811,360,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2015, the fund had available capital losses totaling $605,415,000 to offset future net capital gains. Of this amount, $333,377,000 is subject to expiration on December 31, 2017. Capital losses of $272,038,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, but must be used before any expiring loss carryforwards. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2016; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2016, the cost of investment securities for tax purposes was $36,014,704,000. Net unrealized appreciation of investment securities for tax purposes was $6,325,792,000, consisting of unrealized gains of $7,829,144,000 on securities that had risen in value since their purchase and $1,503,352,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2016, the fund purchased $6,679,195,000 of investment securities and sold $3,713,247,000 of investment securities, other than temporary cash investments. Purchases and sales include $4,189,317,000 and $2,148,838,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
47
Value Index Fund
G. Capital share transactions for each class of shares were: | ||||
Six Months Ended | Year Ended | |||
June 30, 2016 | December 31, 2015 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 123,923 | 3,939 | 275,870 | 8,479 |
Issued in Lieu of Cash Distributions | 14,619 | 452 | 32,444 | 1,019 |
Redeemed | (195,354) | (6,154) | (451,611) | (13,942) |
Net Increase (Decrease)—Investor Shares | (56,812) | (1,763) | (143,297) | (4,444) |
ETF Shares | ||||
Issued | 4,396,848 | 54,084 | 5,278,259 | 64,091 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (2,188,850) | (26,600) | (3,287,762) | (40,025) |
Net Increase (Decrease)—ETF Shares | 2,207,998 | 27,484 | 1,990,497 | 24,066 |
Admiral Shares | ||||
Issued | 1,318,915 | 41,851 | 2,416,764 | 74,734 |
Issued in Lieu of Cash Distributions | 115,713 | 3,574 | 224,383 | 7,061 |
Redeemed | (856,757) | (27,300) | (1,592,803) | (49,173) |
Net Increase (Decrease)—Admiral Shares | 577,871 | 18,125 | 1,048,344 | 32,622 |
Institutional Shares | ||||
Issued | 767,210 | 24,545 | 1,341,949 | 41,541 |
Issued in Lieu of Cash Distributions | 86,237 | 2,664 | 187,885 | 5,907 |
Redeemed | (665,317) | (21,287) | (1,894,059) | (60,499) |
Net Increase (Decrease)—Institutional Shares | 188,130 | 5,922 | (364,225) | (13,051) |
H. Management has determined that no material events or transactions occurred subsequent to June 30, 2016, that would require recognition or disclosure in these financial statements.
48
Large-Cap Index Fund | ||||
Fund Profile | ||||
As of June 30, 2016 | ||||
Share-Class Characteristics | ||||
Investor | ETF | Admiral | Institutional | |
Shares | Shares | Shares | Shares | |
Ticker Symbol | VLACX | VV | VLCAX | VLISX |
Expense Ratio1 | 0.20% | 0.08% | 0.08% | 0.07% |
30-Day SEC Yield | 1.95% | 2.07% | 2.07% | 2.08% |
Portfolio Characteristics | |||
DJ | |||
U.S. | |||
Total | |||
CRSP US | Market | ||
Large Cap | FA | ||
Fund | Index | Index | |
Number of Stocks | 612 | 612 | 3,863 |
Median Market Cap | $70.8B | $70.6B | $53.0B |
Price/Earnings Ratio | 21.3x | 21.2x | 22.0x |
Price/Book Ratio | 2.8x | 2.8x | 2.7x |
Return on Equity | 17.5% | 17.2% | 16.5% |
Earnings Growth | |||
Rate | 7.0% | 6.9% | 7.3% |
Dividend Yield | 2.1% | 2.1% | 2.1% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 6% | — | — |
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 | 2.3% | 2.3% | 2.4% |
Consumer Goods | 11.2 | 11.2 | 10.7 |
Consumer Services | 13.6 | 13.6 | 13.6 |
Financials | 17.2 | 17.2 | 18.6 |
Health Care | 14.0 | 14.0 | 13.4 |
Industrials | 11.7 | 11.8 | 12.6 |
Oil & Gas | 7.2 | 7.2 | 6.7 |
Technology | 16.3 | 16.2 | 15.7 |
Telecommunications | 3.0 | 3.0 | 2.6 |
Utilities | 3.5 | 3.5 | 3.7 |
Volatility Measures | ||
DJ | ||
CRSP US | U.S. Total | |
Large Cap | Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.99 |
Beta | 1.00 | 0.98 |
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 | 2.6% |
Alphabet Inc. | Internet | 2.2 |
Exxon Mobil Corp. | Integrated Oil & Gas | 2.1 |
Microsoft Corp. | Software | 2.0 |
Johnson & Johnson | Pharmaceuticals | 1.8 |
General Electric Co. | Diversified Industrials | 1.5 |
Amazon.com Inc. | Broadline Retailers | 1.5 |
Berkshire Hathaway Inc. Reinsurance | 1.5 | |
AT&T Inc. | Fixed Line | |
Telecommunications | 1.4 | |
Facebook Inc. | Internet | 1.3 |
Top Ten | 17.9% |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratios shown are from the prospectus dated April 27, 2016, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2016, the annualized expense ratios were 0.19% for Investor Shares, 0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.06% for Institutional Shares.
49
Large-Cap Index Fund
![](https://capedge.com/proxy/N-CSRS/0000932471-16-014112/usstockindexfundslarge-x52x1.jpg)
50
Large-Cap Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
![](https://capedge.com/proxy/N-CSRS/0000932471-16-014112/usstockindexfundslarge-x53x1.jpg)
Large-Cap Index Fund Investor Shares |
Spliced Large Cap Index |
For a benchmark description, see the Glossary. |
Note: For 2016, performance data reflect the six months ended June 30, 2016. |
Average Annual Total Returns: Periods Ended June 30, 2016 | ||||
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 1/30/2004 | 2.95% | 11.65% | 7.40% |
ETF Shares | 1/27/2004 | |||
Market Price | 3.04 | 11.80 | 7.53 | |
Net Asset Value | 3.09 | 11.80 | 7.55 | |
Admiral Shares | 2/2/2004 | 3.06 | 11.80 | 7.54 |
Institutional Shares | 6/30/2005 | 3.09 | 11.81 | 7.56 |
See Financial Highlights for dividend and capital gains information.
51
Large-Cap Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2016
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 (2.3%) | ||
EI du Pont de Nemours & | ||
Co. | 579,273 | 37,537 |
Dow Chemical Co. | 744,611 | 37,015 |
Praxair Inc. | 189,235 | 21,268 |
Ecolab Inc. | 175,294 | 20,790 |
Air Products & Chemicals | ||
Inc. | 135,862 | 19,298 |
PPG Industries Inc. | 176,429 | 18,375 |
LyondellBasell Industries | ||
NV Class A | 226,454 | 16,853 |
Newmont Mining Corp. | 350,971 | 13,730 |
International Paper Co. | 272,710 | 11,557 |
Nucor Corp. | 211,004 | 10,426 |
Freeport-McMoRan Inc. | 745,181 | 8,301 |
Alcoa Inc. | 872,329 | 8,086 |
International Flavors & | ||
Fragrances Inc. | 53,021 | 6,684 |
Celanese Corp. Class A | 97,279 | 6,367 |
Eastman Chemical Co. | 93,144 | 6,324 |
Mosaic Co. | 233,193 | 6,105 |
Albemarle Corp. | 74,330 | 5,895 |
Ashland Inc. | 41,563 | 4,770 |
Avery Dennison Corp. | 59,315 | 4,434 |
FMC Corp. | 88,489 | 4,098 |
CF Industries Holdings Inc. | 153,810 | 3,707 |
Reliance Steel & Aluminum | ||
Co. | 45,110 | 3,469 |
WR Grace & Co. | 46,648 | 3,415 |
* Axalta Coating Systems | ||
Ltd. | 109,631 | 2,909 |
Westlake Chemical Corp. | 25,996 | 1,116 |
282,529 | ||
Consumer Goods (11.2%) | ||
Procter & Gamble Co. | 1,765,081 | 149,449 |
Coca-Cola Co. | 2,581,718 | 117,029 |
Philip Morris International | ||
Inc. | 1,028,623 | 104,632 |
Market | |||
Value• | |||
Shares | ($000) | ||
PepsiCo Inc. | 957,849 | 101,475 | |
Altria Group Inc. | 1,297,319 | 89,463 | |
NIKE Inc. Class B | 882,962 | 48,739 | |
Mondelez International | |||
Inc. Class A | 977,722 | 44,496 | |
Colgate-Palmolive Co. | 592,181 | 43,348 | |
Kraft Heinz Co. | 403,185 | 35,674 | |
Kimberly-Clark Corp. | 238,806 | 32,831 | |
Ford Motor Co. | 2,587,453 | 32,524 | |
Reynolds American Inc. | 567,953 | 30,630 | |
Monsanto Co. | 289,715 | 29,959 | |
General Mills Inc. | 394,194 | 28,114 | |
General Motors Co. | 918,975 | 26,007 | |
Johnson Controls Inc. | 429,943 | 19,029 | |
Constellation Brands Inc. | |||
Class A | 111,164 | 18,387 | |
Archer-Daniels-Midland Co. | 389,666 | 16,713 | |
* | Monster Beverage Corp. | 101,047 | 16,239 |
*,^ | Tesla Motors Inc. | 72,601 | 15,412 |
Newell Brands Inc. | 316,189 | 15,357 | |
* | Electronic Arts Inc. | 194,868 | 14,763 |
Activision Blizzard Inc. | 366,251 | 14,515 | |
ConAgra Foods Inc. | 288,727 | 13,804 | |
Estee Lauder Cos. Inc. | |||
Class A | 147,279 | 13,405 | |
Tyson Foods Inc. Class A | 198,796 | 13,278 | |
Kellogg Co. | 162,523 | 13,270 | |
Dr Pepper Snapple Group | |||
Inc. | 123,550 | 11,939 | |
Clorox Co. | 85,578 | 11,843 | |
Molson Coors Brewing | |||
Co. Class B | 115,669 | 11,698 | |
JM Smucker Co. | 75,475 | 11,503 | |
Delphi Automotive plc | 180,521 | 11,301 | |
Mead Johnson Nutrition | |||
Co. | 123,803 | 11,235 | |
VF Corp. | 179,849 | 11,059 | |
Stanley Black & Decker | |||
Inc. | 99,186 | 11,031 | |
Hershey Co. | 90,852 | 10,311 |
52
Large-Cap Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
Genuine Parts Co. | 94,683 | 9,587 | |
Campbell Soup Co. | 132,956 | 8,846 | |
Church & Dwight Co. Inc. | 85,715 | 8,819 | |
Whirlpool Corp. | 50,226 | 8,370 | |
McCormick & Co. Inc. | 76,300 | 8,139 | |
* | Mohawk Industries Inc. | 41,813 | 7,934 |
Coach Inc. | 184,464 | 7,515 | |
DR Horton Inc. | 233,728 | 7,358 | |
Mattel Inc. | 225,847 | 7,067 | |
Brown-Forman Corp. | |||
Class B | 64,961 | 6,480 | |
Hormel Foods Corp. | 174,825 | 6,399 | |
Hanesbrands Inc. | 249,592 | 6,272 | |
Hasbro Inc. | 74,082 | 6,222 | |
Snap-on Inc. | 38,384 | 6,058 | |
Lennar Corp. Class A | 126,463 | 5,830 | |
* | LKQ Corp. | 183,091 | 5,804 |
* | Michael Kors Holdings Ltd. | 112,269 | 5,555 |
Harley-Davidson Inc. | 121,592 | 5,508 | |
Bunge Ltd. | 92,940 | 5,497 | |
PVH Corp. | 54,191 | 5,106 | |
Lear Corp. | 48,995 | 4,986 | |
*,^ | Under Armour Inc. Class A | 120,570 | 4,838 |
* | lululemon athletica Inc. | 63,559 | 4,694 |
* | Under Armour Inc. | 122,598 | 4,463 |
* | NVR Inc. | 2,445 | 4,353 |
BorgWarner Inc. | 143,988 | 4,251 | |
PulteGroup Inc. | 207,895 | 4,052 | |
Leucadia National Corp. | 215,113 | 3,728 | |
Ralph Lauren Corp. Class A | 38,390 | 3,440 | |
Harman International | |||
Industries Inc. | 47,058 | 3,380 | |
Polaris Industries Inc. | 40,860 | 3,341 | |
* | Edgewell Personal Care Co. | 39,293 | 3,317 |
* | WABCO Holdings Inc. | 35,446 | 3,246 |
* | WhiteWave Foods Co. | ||
Class A | 58,401 | 2,741 | |
Goodyear Tire & Rubber Co. | 87,386 | 2,242 | |
Pilgrim’s Pride Corp. | 41,901 | 1,068 | |
^ | Coty Inc. Class A | 33,146 | 861 |
Lennar Corp. Class B | 1,161 | 43 | |
1,397,872 | |||
Consumer Services (13.6%) | |||
* | Amazon.com Inc. | 265,930 | 190,305 |
Home Depot Inc. | 824,928 | 105,335 | |
Comcast Corp. Class A | 1,603,210 | 104,513 | |
Walt Disney Co. | 968,261 | 94,715 | |
McDonald’s Corp. | 582,122 | 70,053 | |
Wal-Mart Stores Inc. | 936,607 | 68,391 | |
CVS Health Corp. | 712,198 | 68,186 | |
Starbucks Corp. | 922,783 | 52,709 | |
Walgreens Boots Alliance | |||
Inc. | 573,045 | 47,717 | |
Lowe’s Cos. Inc. | 595,088 | 47,113 | |
Costco Wholesale Corp. | 291,203 | 45,731 |
Market | |||
Value• | |||
Shares | ($000) | ||
* | Priceline Group Inc. | 32,923 | 41,101 |
Time Warner Inc. | 494,908 | 36,396 | |
TJX Cos. Inc. | 417,295 | 32,228 | |
* | Charter Communications | ||
Inc. Class A | 132,518 | 30,299 | |
McKesson Corp. | 149,284 | 27,864 | |
Target Corp. | 390,771 | 27,284 | |
* | Netflix Inc. | 269,842 | 24,685 |
Kroger Co. | 632,513 | 23,270 | |
Yum! Brands Inc. | 256,717 | 21,287 | |
Twenty-First Century Fox | |||
Inc. Class A | 726,585 | 19,654 | |
Delta Air Lines Inc. | 513,251 | 18,698 | |
Sysco Corp. | 336,376 | 17,068 | |
* | eBay Inc. | 723,782 | 16,944 |
Cardinal Health Inc. | 216,098 | 16,858 | |
Southwest Airlines Co. | 423,652 | 16,611 | |
* | O’Reilly Automotive Inc. | 60,771 | 16,475 |
Dollar General Corp. | 171,137 | 16,087 | |
* | AutoZone Inc. | 19,805 | 15,722 |
Ross Stores Inc. | 267,071 | 15,140 | |
CBS Corp. Class B | 263,857 | 14,364 | |
* | Dollar Tree Inc. | 148,075 | 13,955 |
Omnicom Group Inc. | 158,219 | 12,893 | |
Nielsen Holdings plc | 226,732 | 11,783 | |
Carnival Corp. | 260,177 | 11,500 | |
Las Vegas Sands Corp. | 263,606 | 11,464 | |
L Brands Inc. | 162,418 | 10,903 | |
American Airlines Group | |||
Inc. | 382,317 | 10,823 | |
Viacom Inc. Class B | 234,858 | 9,740 | |
AmerisourceBergen Corp. | |||
Class A | 121,252 | 9,618 | |
* | Ulta Salon Cosmetics & | ||
Fragrance Inc. | 39,343 | 9,586 | |
Starwood Hotels & Resorts | |||
Worldwide Inc. | 112,216 | 8,298 | |
* | United Continental Holdings | ||
Inc. | 199,685 | 8,195 | |
Hilton Worldwide Holdings | |||
Inc. | 361,106 | 8,136 | |
Expedia Inc. | 76,511 | 8,133 | |
Tractor Supply Co. | 88,422 | 8,062 | |
* | Chipotle Mexican Grill Inc. | ||
Class A | 19,304 | 7,775 | |
Royal Caribbean Cruises | |||
Ltd. | 114,475 | 7,687 | |
Advance Auto Parts Inc. | 46,411 | 7,501 | |
* | DISH Network Corp. | ||
Class A | 141,953 | 7,438 | |
* | Liberty Interactive Corp. | ||
QVC Group Class A | 283,648 | 7,196 | |
* | MGM Resorts International | 317,852 | 7,193 |
Twenty-First Century Fox | |||
Inc. | 263,889 | 7,191 |
53
Large-Cap Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
Macy’s Inc. | 207,527 | 6,975 | |
Whole Foods Market Inc. | 212,195 | 6,795 | |
^ | Marriott International Inc. | ||
Class A | 100,840 | 6,702 | |
* | CarMax Inc. | 129,188 | 6,334 |
Interpublic Group of Cos. | |||
Inc. | 266,950 | 6,167 | |
Best Buy Co. Inc. | 182,073 | 5,571 | |
Aramark | 160,645 | 5,369 | |
Wyndham Worldwide Corp. | 74,519 | 5,308 | |
Darden Restaurants Inc. | 79,680 | 5,047 | |
Foot Locker Inc. | 90,692 | 4,975 | |
Wynn Resorts Ltd. | 54,019 | 4,896 | |
* | IHS Inc. Class A | 42,292 | 4,889 |
* | TripAdvisor Inc. | 74,959 | 4,820 |
Alaska Air Group Inc. | 82,213 | 4,792 | |
Kohl’s Corp. | 124,748 | 4,730 | |
* | Sirius XM Holdings Inc. | 1,147,064 | 4,531 |
Tiffany & Co. | 72,050 | 4,369 | |
Signet Jewelers Ltd. | 52,808 | 4,352 | |
Bed Bath & Beyond Inc. | 97,797 | 4,227 | |
* | Norwegian Cruise Line | ||
Holdings Ltd. | 105,568 | 4,206 | |
FactSet Research Systems | |||
Inc. | 25,755 | 4,157 | |
* | Liberty SiriusXM Group | ||
Class C | 132,700 | 4,096 | |
* | Discovery Communications | ||
Inc. | 158,211 | 3,773 | |
Staples Inc. | 424,443 | 3,659 | |
News Corp. Class A | 316,794 | 3,596 | |
H&R Block Inc. | 148,329 | 3,412 | |
Scripps Networks | |||
Interactive Inc. Class A | 53,134 | 3,309 | |
Gap Inc. | 145,566 | 3,089 | |
Nordstrom Inc. | 80,027 | 3,045 | |
Williams-Sonoma Inc. | 53,227 | 2,775 | |
* | Rite Aid Corp. | 348,120 | 2,607 |
* | Discovery Communications | ||
Inc. Class A | 99,506 | 2,511 | |
* | AutoNation Inc. | 47,677 | 2,240 |
* | Liberty SiriusXM Group | 64,337 | 2,018 |
* | Hertz Global Holdings Inc. | 122,689 | 1,358 |
* | Hyatt Hotels Corp. Class A | 15,958 | 784 |
News Corp. Class B | 14,516 | 169 | |
CBS Corp. Class A | 2,867 | 165 | |
Viacom Inc. Class A | 985 | 46 | |
1,699,737 | |||
Financials (17.2%) | |||
* | Berkshire Hathaway Inc. | ||
Class B | 1,263,387 | 182,926 | |
JPMorgan Chase & Co. | 2,424,657 | 150,668 | |
Wells Fargo & Co. | 3,029,872 | 143,404 | |
Visa Inc. Class A | 1,263,085 | 93,683 | |
Bank of America Corp. | 6,811,109 | 90,383 |
Market | |||
Value• | |||
Shares | ($000) | ||
Citigroup Inc. | 1,946,172 | 82,498 | |
MasterCard Inc. Class A | 643,526 | 56,669 | |
Simon Property Group Inc. | 205,163 | 44,500 | |
US Bancorp | 1,087,547 | 43,861 | |
Chubb Ltd. | 292,641 | 38,251 | |
American International | |||
Group Inc. | 704,984 | 37,287 | |
Goldman Sachs Group Inc. | 247,944 | 36,840 | |
American Express Co. | 536,114 | 32,574 | |
American Tower | |||
Corporation | 281,568 | 31,989 | |
PNC Financial Services | |||
Group Inc. | 331,178 | 26,955 | |
Bank of New York Mellon | |||
Corp. | 678,595 | 26,363 | |
Morgan Stanley | 963,344 | 25,028 | |
Public Storage | 97,729 | 24,979 | |
BlackRock Inc. | 70,436 | 24,126 | |
Marsh & McLennan Cos. | |||
Inc. | 345,668 | 23,664 | |
MetLife Inc. | 582,910 | 23,217 | |
Travelers Cos. Inc. | 193,970 | 23,090 | |
Crown Castle International | |||
Corp. | 223,845 | 22,705 | |
Capital One Financial Corp. | 339,652 | 21,571 | |
Prudential Financial Inc. | 293,179 | 20,915 | |
CME Group Inc. | 213,326 | 20,778 | |
Charles Schwab Corp. | 788,848 | 19,966 | |
Aflac Inc. | 274,621 | 19,817 | |
Intercontinental Exchange | |||
Inc. | 75,000 | 19,197 | |
Aon plc | 175,724 | 19,194 | |
BB&T Corp. | 538,505 | 19,176 | |
S&P Global Inc. | 175,511 | 18,825 | |
Welltower Inc. | 236,809 | 18,038 | |
Equinix Inc. | 45,939 | 17,812 | |
Allstate Corp. | 249,384 | 17,444 | |
Prologis Inc. | 348,373 | 17,084 | |
Equity Residential | 242,401 | 16,697 | |
AvalonBay Communities | |||
Inc. | 90,784 | 16,377 | |
Ventas Inc. | 223,708 | 16,290 | |
Weyerhaeuser Co. | 495,545 | 14,752 | |
Discover Financial Services | 273,166 | 14,639 | |
* | Synchrony Financial | 553,006 | 13,980 |
SunTrust Banks Inc. | 332,976 | 13,679 | |
State Street Corp. | 250,530 | 13,509 | |
Boston Properties Inc. | 101,912 | 13,442 | |
Progressive Corp. | 366,606 | 12,281 | |
Realty Income Corp. | 170,442 | 11,822 | |
Hartford Financial Services | |||
Group Inc. | 260,093 | 11,543 | |
Digital Realty Trust Inc. | 105,387 | 11,486 | |
T. Rowe Price Group Inc. | 156,460 | 11,417 |
54
Large-Cap Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
General Growth Properties | |||
Inc. | 379,753 | 11,324 | |
Vornado Realty Trust | 112,717 | 11,285 | |
M&T Bank Corp. | 94,946 | 11,225 | |
HCP Inc. | 309,832 | 10,962 | |
Willis Towers Watson plc | 87,227 | 10,843 | |
Moody’s Corp. | 109,247 | 10,238 | |
Equifax Inc. | 78,935 | 10,135 | |
Essex Property Trust Inc. | 43,585 | 9,941 | |
Ameriprise Financial Inc. | 109,771 | 9,863 | |
Northern Trust Corp. | 143,299 | 9,495 | |
Fifth Third Bancorp | 507,634 | 8,929 | |
Macerich Co. | 98,397 | 8,402 | |
* | Markel Corp. | 8,805 | 8,389 |
Kimco Realty Corp. | 263,730 | 8,276 | |
Host Hotels & Resorts Inc. | 495,016 | 8,024 | |
Principal Financial Group Inc. | 192,803 | 7,926 | |
Loews Corp. | 191,284 | 7,860 | |
Franklin Resources Inc. | 233,973 | 7,808 | |
Federal Realty Investment | |||
Trust | 47,105 | 7,798 | |
Cincinnati Financial Corp. | 103,686 | 7,765 | |
Extra Space Storage Inc. | 78,781 | 7,290 | |
Regions Financial Corp. | 849,073 | 7,226 | |
SL Green Realty Corp. | 66,553 | 7,086 | |
Invesco Ltd. | 276,783 | 7,069 | |
First Republic Bank | 98,369 | 6,885 | |
Annaly Capital Management | |||
Inc. | 611,584 | 6,770 | |
FNF Group | 174,400 | 6,540 | |
UDR Inc. | 176,721 | 6,525 | |
Citizens Financial Group Inc. | 321,593 | 6,425 | |
XL Group plc Class A | 187,320 | 6,240 | |
Western Union Co. | 324,741 | 6,229 | |
KeyCorp | 558,741 | 6,174 | |
Lincoln National Corp. | 158,952 | 6,163 | |
VEREIT Inc. | 600,148 | 6,085 | |
* | Arch Capital Group Ltd. | 77,135 | 5,554 |
* | CBRE Group Inc. Class A | 199,745 | 5,289 |
* | Ally Financial Inc. | 304,078 | 5,191 |
Everest Re Group Ltd. | 28,296 | 5,169 | |
Camden Property Trust | 57,828 | 5,113 | |
Alexandria Real Estate | |||
Equities Inc. | 49,064 | 5,079 | |
Iron Mountain Inc. | 126,525 | 5,039 | |
* | Affiliated Managers Group | ||
Inc. | 35,517 | 5,000 | |
Unum Group | 156,999 | 4,991 | |
Nasdaq Inc. | 76,473 | 4,945 | |
Comerica Inc. | 116,341 | 4,785 | |
Torchmark Corp. | 76,998 | 4,760 | |
Huntington Bancshares Inc. | 529,872 | 4,737 | |
MSCI Inc. Class A | 60,876 | 4,695 | |
SEI Investments Co. | 97,469 | 4,689 |
Market | |||
Value• | |||
Shares | ($000) | ||
New York Community | |||
Bancorp Inc. | 306,891 | 4,600 | |
TD Ameritrade Holding | |||
Corp. | 159,007 | 4,528 | |
American Capital Agency | |||
Corp. | 222,237 | 4,405 | |
* | E*TRADE Financial Corp. | 185,829 | 4,365 |
CIT Group Inc. | 133,949 | 4,274 | |
Reinsurance Group of | |||
America Inc. Class A | 43,356 | 4,205 | |
Raymond James Financial | |||
Inc. | 84,163 | 4,149 | |
Brixmor Property Group Inc. | 142,208 | 3,763 | |
WR Berkley Corp. | 61,008 | 3,656 | |
Zions Bancorporation | 135,201 | 3,398 | |
Voya Financial Inc. | 136,977 | 3,392 | |
Axis Capital Holdings Ltd. | 61,581 | 3,387 | |
People’s United Financial | |||
Inc. | 205,932 | 3,019 | |
Jones Lang LaSalle Inc. | 29,786 | 2,903 | |
* | Liberty Broadband Corp. | 48,263 | 2,896 |
* | Realogy Holdings Corp. | 97,684 | 2,835 |
* | Alleghany Corp. | 4,838 | 2,659 |
Lazard Ltd. Class A | 85,865 | 2,557 | |
Assurant Inc. | 21,497 | 1,855 | |
Navient Corp. | 111,493 | 1,332 | |
* | Berkshire Hathaway Inc. | ||
Class A | 6 | 1,302 | |
* | Liberty Broadband Corp. | ||
Class A | 8,260 | 491 | |
* | Santander Consumer USA | ||
Holdings Inc. | 34,859 | 360 | |
2,151,953 | |||
Health Care (14.0%) | |||
Johnson & Johnson | 1,823,950 | 221,245 | |
Pfizer Inc. | 4,021,434 | 141,595 | |
Merck & Co. Inc. | 1,835,485 | 105,742 | |
UnitedHealth Group Inc. | 630,529 | 89,031 | |
Bristol-Myers Squibb Co. | 1,106,955 | 81,416 | |
Medtronic plc | 929,002 | 80,609 | |
Amgen Inc. | 498,194 | 75,800 | |
Gilead Sciences Inc. | 883,113 | 73,669 | |
AbbVie Inc. | 1,072,484 | 66,397 | |
* | Allergan plc | 262,283 | 60,611 |
Eli Lilly & Co. | 658,801 | 51,881 | |
* | Celgene Corp. | 513,639 | 50,660 |
Thermo Fisher Scientific | |||
Inc. | 260,963 | 38,560 | |
Abbott Laboratories | 974,251 | 38,298 | |
* | Biogen Inc. | 145,253 | 35,125 |
* | Express Scripts Holding | ||
Co. | 419,476 | 31,796 | |
Aetna Inc. | 232,574 | 28,404 | |
Becton Dickinson and Co. | 140,720 | 23,865 | |
Stryker Corp. | 198,395 | 23,774 |
55
Large-Cap Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
Anthem Inc. | 174,401 | 22,906 | |
Cigna Corp. | 170,179 | 21,781 | |
* | Boston Scientific Corp. | 899,771 | 21,028 |
* | Regeneron Pharmaceuticals | ||
Inc. | 51,315 | 17,921 | |
Humana Inc. | 98,892 | 17,789 | |
* | HCA Holdings Inc. | 220,452 | 16,977 |
* | Intuitive Surgical Inc. | 25,180 | 16,654 |
Baxter International Inc. | 365,341 | 16,521 | |
* | Alexion Pharmaceuticals | ||
Inc. | 141,177 | 16,484 | |
Zimmer Biomet Holdings | |||
Inc. | 132,205 | 15,915 | |
Zoetis Inc. | 328,267 | 15,580 | |
* | Vertex Pharmaceuticals Inc. | 163,653 | 14,077 |
* | Edwards Lifesciences Corp. | 140,507 | 14,013 |
St. Jude Medical Inc. | 178,638 | 13,934 | |
* | Illumina Inc. | 97,401 | 13,673 |
* | Mylan NV | 285,843 | 12,360 |
CR Bard Inc. | 48,682 | 11,448 | |
* | Henry Schein Inc. | 54,445 | 9,626 |
DENTSPLY SIRONA Inc. | 154,856 | 9,607 | |
* | Laboratory Corp. of | ||
America Holdings | 67,789 | 8,831 | |
* | Incyte Corp. | 105,853 | 8,466 |
* | DaVita HealthCare Partners | ||
Inc. | 109,161 | 8,440 | |
Perrigo Co. plc | 89,960 | 8,157 | |
Universal Health Services | |||
Inc. Class B | 59,761 | 8,014 | |
* | BioMarin Pharmaceutical | ||
Inc. | 102,033 | 7,938 | |
Quest Diagnostics Inc. | 94,590 | 7,701 | |
* | Centene Corp. | 107,497 | 7,672 |
* | Waters Corp. | 51,036 | 7,178 |
* | Medivation Inc. | 109,201 | 6,585 |
* | Hologic Inc. | 184,477 | 6,383 |
ResMed Inc. | 93,125 | 5,888 | |
* | IDEXX Laboratories Inc. | 59,122 | 5,490 |
Cooper Cos. Inc. | 31,892 | 5,472 | |
* | Jazz Pharmaceuticals plc | 38,290 | 5,411 |
* | Varian Medical Systems Inc. | 62,897 | 5,172 |
* | Mallinckrodt plc | 73,490 | 4,467 |
* | Alkermes plc | 100,305 | 4,335 |
* | Quintiles Transnational | ||
Holdings Inc. | 55,425 | 3,620 | |
* | Envision Healthcare | ||
Holdings Inc. | 124,249 | 3,152 | |
Patterson Cos. Inc. | 56,101 | 2,687 | |
* | Alnylam Pharmaceuticals | ||
Inc. | 47,736 | 2,649 | |
* | Endo International plc | 65,973 | 1,028 |
1,751,508 |
Market | |||
Value• | |||
Shares | ($000) | ||
Industrials (11.7%) | |||
General Electric Co. | 6,097,409 | 191,946 | |
3M Co. | 402,170 | 70,428 | |
Honeywell International | |||
Inc. | 505,379 | 58,786 | |
United Technologies Corp. | 527,240 | 54,068 | |
Boeing Co. | 401,293 | 52,116 | |
United Parcel Service Inc. | |||
Class B | 457,855 | 49,320 | |
Union Pacific Corp. | 557,677 | 48,657 | |
Accenture plc Class A | 413,662 | 46,864 | |
Lockheed Martin Corp. | 171,601 | 42,586 | |
Danaher Corp. | 411,078 | 41,519 | |
Caterpillar Inc. | 387,208 | 29,354 | |
* | PayPal Holdings Inc. | 763,516 | 27,876 |
Raytheon Co. | 197,190 | 26,808 | |
Northrop Grumman Corp. | 119,658 | 26,598 | |
Automatic Data Processing | |||
Inc. | 286,554 | 26,326 | |
FedEx Corp. | 160,270 | 24,326 | |
General Dynamics Corp. | 172,323 | 23,994 | |
Emerson Electric Co. | 426,691 | 22,256 | |
Illinois Tool Works Inc. | 202,606 | 21,103 | |
Waste Management Inc. | 294,694 | 19,529 | |
Eaton Corp. plc | 303,761 | 18,144 | |
Norfolk Southern Corp. | 196,671 | 16,743 | |
CSX Corp. | 635,050 | 16,562 | |
* | Fiserv Inc. | 147,473 | 16,035 |
Fidelity National | |||
Information Services Inc. | 215,994 | 15,914 | |
Sherwin-Williams Co. | 52,013 | 15,275 | |
Deere & Co. | 188,204 | 15,252 | |
* | LinkedIn Corp. Class A | 78,041 | 14,769 |
TE Connectivity Ltd. | 236,479 | 13,505 | |
Paychex Inc. | 214,575 | 12,767 | |
Cummins Inc. | 113,073 | 12,714 | |
Tyco International plc | 282,215 | 12,022 | |
PACCAR Inc. | 231,669 | 12,017 | |
Amphenol Corp. Class A | 204,275 | 11,711 | |
Roper Technologies Inc. | 67,113 | 11,447 | |
Ingersoll-Rand plc | 170,819 | 10,878 | |
Vulcan Materials Co. | 88,389 | 10,639 | |
Rockwell Automation Inc. | 86,867 | 9,974 | |
Parker-Hannifin Corp. | 89,218 | 9,640 | |
Agilent Technologies Inc. | 216,472 | 9,603 | |
* | TransDigm Group Inc. | 33,421 | 8,813 |
Fastenal Co. | 191,120 | 8,484 | |
* | FleetCor Technologies Inc. | 58,400 | 8,359 |
WW Grainger Inc. | 36,499 | 8,294 | |
Republic Services Inc. | |||
Class A | 159,324 | 8,175 | |
Martin Marietta Materials | |||
Inc. | 42,418 | 8,144 | |
* | Verisk Analytics Inc. | ||
Class A | 100,428 | 8,143 |
56
Large-Cap Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
Rockwell Collins Inc. | 86,324 | 7,350 | |
* | Alliance Data Systems Corp. | 37,245 | 7,297 |
Global Payments Inc. | 101,734 | 7,262 | |
AMETEK Inc. | 155,871 | 7,206 | |
Acuity Brands Inc. | 28,919 | 7,171 | |
Dover Corp. | 102,489 | 7,105 | |
CH Robinson Worldwide | |||
Inc. | 94,934 | 7,049 | |
Masco Corp. | 220,440 | 6,820 | |
Ball Corp. | 94,057 | 6,799 | |
L-3 Communications | |||
Holdings Inc. | 45,708 | 6,705 | |
WestRock Co. | 167,498 | 6,511 | |
* | Mettler-Toledo International | ||
Inc. | 17,794 | 6,493 | |
Kansas City Southern | 71,737 | 6,463 | |
Pentair plc | 107,443 | 6,263 | |
Xerox Corp. | 636,172 | 6,037 | |
Sealed Air Corp. | 130,762 | 6,011 | |
Expeditors International of | |||
Washington Inc. | 120,499 | 5,909 | |
Fortune Brands Home & | |||
Security Inc. | 101,423 | 5,879 | |
* | Vantiv Inc. Class A | 103,714 | 5,870 |
Textron Inc. | 160,495 | 5,868 | |
* | Stericycle Inc. | 56,333 | 5,865 |
Total System Services Inc. | 109,690 | 5,826 | |
Cintas Corp. | 56,885 | 5,582 | |
Xylem Inc. | 118,289 | 5,282 | |
JB Hunt Transport Services | |||
Inc. | 59,402 | 4,807 | |
* | Crown Holdings Inc. | 91,794 | 4,651 |
Fluor Corp. | 92,053 | 4,536 | |
* | Waste Connections Inc. | 57,731 | 4,160 |
* | Jacobs Engineering Group | ||
Inc. | 81,285 | 4,049 | |
* | United Rentals Inc. | 60,118 | 4,034 |
Wabtec Corp. | 57,386 | 4,030 | |
* | Trimble Navigation Ltd. | 165,318 | 4,027 |
* | Sensata Technologies | ||
Holding NV | 112,286 | 3,918 | |
Flowserve Corp. | 86,515 | 3,908 | |
Hubbell Inc. Class B | 36,211 | 3,819 | |
* | Arrow Electronics Inc. | 60,849 | 3,767 |
Owens Corning | 72,456 | 3,733 | |
Macquarie Infrastructure | |||
Corp. | 48,103 | 3,562 | |
Avnet Inc. | 86,333 | 3,497 | |
B/E Aerospace Inc. | 69,202 | 3,195 | |
Robert Half International Inc. | 82,524 | 3,149 | |
ManpowerGroup Inc. | 47,891 | 3,081 | |
FLIR Systems Inc. | 92,910 | 2,876 | |
Allison Transmission | |||
Holdings Inc. | 95,309 | 2,691 |
Market | |||
Value• | |||
Shares | ($000) | ||
* | First Data Corp. Class A | 213,160 | 2,360 |
AGCO Corp. | 24,220 | 1,141 | |
1,462,097 | |||
Oil & Gas (7.2%) | |||
Exxon Mobil Corp. | 2,749,484 | 257,737 | |
Chevron Corp. | 1,249,726 | 131,009 | |
Schlumberger Ltd. | 922,573 | 72,957 | |
Occidental Petroleum | |||
Corp. | 506,453 | 38,268 | |
ConocoPhillips | 821,235 | 35,806 | |
EOG Resources Inc. | 364,956 | 30,445 | |
Halliburton Co. | 541,360 | 24,518 | |
Kinder Morgan Inc. | 1,257,838 | 23,547 | |
Phillips 66 | 296,302 | 23,509 | |
Anadarko Petroleum Corp. | 338,578 | 18,029 | |
Spectra Energy Corp. | 464,926 | 17,030 | |
Pioneer Natural Resources | |||
Co. | 108,273 | 16,372 | |
Valero Energy Corp. | 311,633 | 15,893 | |
Apache Corp. | 251,048 | 13,976 | |
Marathon Petroleum Corp. | 351,618 | 13,347 | |
Baker Hughes Inc. | 290,414 | 13,106 | |
Devon Energy Corp. | 329,340 | 11,939 | |
Hess Corp. | 188,594 | 11,335 | |
* | Concho Resources Inc. | 87,086 | 10,387 |
Noble Energy Inc. | 284,925 | 10,220 | |
Williams Cos. Inc. | 448,236 | 9,695 | |
EQT Corp. | 114,291 | 8,850 | |
National Oilwell Varco Inc. | 250,149 | 8,418 | |
Marathon Oil Corp. | 560,647 | 8,415 | |
Cabot Oil & Gas Corp. | 307,595 | 7,917 | |
Cimarex Energy Co. | 62,575 | 7,466 | |
Columbia Pipeline Group | |||
Inc. | 264,070 | 6,731 | |
Tesoro Corp. | 79,402 | 5,949 | |
* | Cheniere Energy Inc. | 132,478 | 4,975 |
Range Resources Corp. | 106,604 | 4,599 | |
Helmerich & Payne Inc. | 67,801 | 4,551 | |
OGE Energy Corp. | 131,765 | 4,315 | |
* | FMC Technologies Inc. | 149,544 | 3,988 |
Core Laboratories NV | 29,102 | 3,605 | |
* | Antero Resources Corp. | 130,412 | 3,388 |
* | Weatherford International | ||
plc | 592,634 | 3,289 | |
* | Continental Resources Inc. | 61,842 | 2,800 |
HollyFrontier Corp. | 116,490 | 2,769 | |
Murphy Oil Corp. | 54,376 | 1,726 | |
Energen Corp. | 31,561 | 1,522 | |
894,398 | |||
Technology (16.2%) | |||
Apple Inc. | 3,450,395 | 329,858 | |
Microsoft Corp. | 4,951,429 | 253,365 | |
* | Facebook Inc. Class A | 1,456,366 | 166,434 |
* | Alphabet Inc. Class A | 194,735 | 137,002 |
57
Large-Cap Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
* | Alphabet Inc. Class C | 193,567 | 133,968 |
Intel Corp. | 3,131,081 | 102,699 | |
Cisco Systems Inc. | 3,335,129 | 95,685 | |
International Business | |||
Machines Corp. | 572,874 | 86,951 | |
Oracle Corp. | 2,063,765 | 84,470 | |
QUALCOMM Inc. | 974,007 | 52,178 | |
Texas Instruments Inc. | 665,897 | 41,718 | |
Broadcom Ltd. | 259,031 | 40,253 | |
EMC Corp. | 1,295,223 | 35,191 | |
* | salesforce.com Inc. | 426,797 | 33,892 |
* | Adobe Systems Inc. | 331,779 | 31,781 |
* | Cognizant Technology | ||
Solutions Corp. Class A | 401,793 | 22,999 | |
* | Yahoo! Inc. | 566,926 | 21,294 |
Hewlett Packard | |||
Enterprise Co. | 1,138,318 | 20,797 | |
Applied Materials Inc. | 749,856 | 17,974 | |
Intuit Inc. | 160,911 | 17,959 | |
NVIDIA Corp. | 337,030 | 15,844 | |
Corning Inc. | 713,353 | 14,609 | |
HP Inc. | 1,145,027 | 14,370 | |
* | Cerner Corp. | 201,972 | 11,836 |
Analog Devices Inc. | 204,435 | 11,579 | |
* | Micron Technology Inc. | 687,775 | 9,464 |
Lam Research Corp. | 105,920 | 8,904 | |
* | Red Hat Inc. | 120,444 | 8,744 |
Western Digital Corp. | 177,327 | 8,380 | |
Symantec Corp. | 404,849 | 8,316 | |
Skyworks Solutions Inc. | 126,601 | 8,011 | |
Xilinx Inc. | 169,494 | 7,819 | |
* | Citrix Systems Inc. | 97,496 | 7,808 |
* | Autodesk Inc. | 141,053 | 7,637 |
KLA-Tencor Corp. | 103,298 | 7,567 | |
Linear Technology Corp. | 157,855 | 7,345 | |
Motorola Solutions Inc. | 109,723 | 7,238 | |
Harris Corp. | 82,369 | 6,873 | |
Microchip Technology Inc. | 135,339 | 6,870 | |
* | Palo Alto Networks Inc. | 55,622 | 6,821 |
* | ServiceNow Inc. | 102,457 | 6,803 |
CA Inc. | 206,434 | 6,777 | |
Maxim Integrated | |||
Products Inc. | 189,268 | 6,755 | |
* | Twitter Inc. | 371,406 | 6,280 |
* | Akamai Technologies Inc. | 111,626 | 6,243 |
CDK Global Inc. | 102,965 | 5,714 | |
* | Workday Inc. Class A | 74,266 | 5,545 |
* | Synopsys Inc. | 100,749 | 5,449 |
Juniper Networks Inc. | 240,790 | 5,415 | |
* | VeriSign Inc. | 61,569 | 5,323 |
* | ANSYS Inc. | 58,014 | 5,265 |
* | Gartner Inc. | 51,781 | 5,044 |
* | F5 Networks Inc. | 44,217 | 5,034 |
* | Qorvo Inc. | 91,090 | 5,034 |
Seagate Technology plc | 198,037 | 4,824 |
Market | |||
Value• | |||
Shares | ($000) | ||
* | Splunk Inc. | 87,759 | 4,755 |
NetApp Inc. | 192,344 | 4,730 | |
Garmin Ltd. | 75,507 | 3,203 | |
* | VMware Inc. Class A | 53,148 | 3,041 |
* | Nuance Communications | ||
Inc. | 184,744 | 2,888 | |
Marvell Technology | |||
Group Ltd. | 273,803 | 2,609 | |
Computer Sciences Corp. | 45,824 | 2,275 | |
* | IMS Health Holdings Inc. | 76,936 | 1,951 |
* | NetSuite Inc. | 26,655 | 1,940 |
CSRA Inc. | 53,404 | 1,251 | |
* | Premier Inc. Class A | 30,436 | 995 |
2,027,646 | |||
Telecommunications (3.0%) | |||
AT&T Inc. | 4,081,907 | 176,379 | |
Verizon Communications | |||
Inc. | 2,702,884 | 150,929 | |
CenturyLink Inc. | 361,265 | 10,480 | |
* | Level 3 Communications | ||
Inc. | 189,961 | 9,781 | |
* | SBA Communications | ||
Corp. Class A | 83,222 | 8,983 | |
* | T-Mobile US Inc. | 190,863 | 8,259 |
Frontier Communications | |||
Corp. | 770,506 | 3,806 | |
* | Zayo Group Holdings Inc. | 80,139 | 2,238 |
* | Sprint Corp. | 391,914 | 1,776 |
372,631 | |||
Utilities (3.5%) | |||
NextEra Energy Inc. | 305,984 | 39,900 | |
Duke Energy Corp. | 456,769 | 39,186 | |
Southern Co. | 621,442 | 33,328 | |
Dominion Resources Inc. | 408,671 | 31,848 | |
American Electric Power | |||
Co. Inc. | 325,859 | 22,839 | |
Exelon Corp. | 611,263 | 22,226 | |
PG&E Corp. | 328,995 | 21,029 | |
Sempra Energy | 157,304 | 17,936 | |
PPL Corp. | 448,331 | 16,925 | |
Edison International | 216,058 | 16,781 | |
Consolidated Edison Inc. | 201,202 | 16,185 | |
Public Service Enterprise | |||
Group Inc. | 335,534 | 15,639 | |
Xcel Energy Inc. | 336,848 | 15,084 | |
WEC Energy Group Inc. | 209,330 | 13,669 | |
Eversource Energy | 210,425 | 12,605 | |
DTE Energy Co. | 119,068 | 11,802 | |
American Water Works | |||
Co. Inc. | 117,534 | 9,933 | |
FirstEnergy Corp. | 281,660 | 9,833 | |
Entergy Corp. | 118,630 | 9,651 | |
Ameren Corp. | 161,001 | 8,626 | |
CMS Energy Corp. | 185,255 | 8,496 |
58
Large-Cap Index Fund | ||
Market | ||
Value• | ||
Shares | ($000) | |
ONEOK Inc. | 138,934 | 6,592 |
CenterPoint Energy Inc. | 271,345 | 6,512 |
SCANA Corp. | 85,123 | 6,440 |
Pinnacle West Capital Corp. | 73,425 | 5,952 |
Alliant Energy Corp. | 149,916 | 5,952 |
NiSource Inc. | 213,280 | 5,656 |
AES Corp. | 437,308 | 5,458 |
* Calpine Corp. | 235,622 | 3,475 |
Avangrid Inc. | 40,515 | 1,866 |
441,424 | ||
Total Common Stocks | ||
(Cost $9,029,606) | 12,481,795 | |
Temporary Cash Investments (0.4%)1 | ||
Money Market Fund (0.4%) | ||
2,3 Vanguard Market | ||
Liquidity Fund, | ||
0.538% | 49,888,679 | 49,889 |
Face | ||
Amount | ||
($000) | ||
U.S. Government and Agency Obligations (0.0%) | ||
4,5 Federal Home Loan Bank | ||
Discount Notes, | ||
0.328%, 8/3/16 | 3,000 | 2,999 |
Total Temporary Cash Investments | ||
(Cost $52,888) | 52,888 | |
Total Investments (100.3%) | ||
(Cost $9,082,494) | 12,534,683 |
Amount | |
($000) | |
Other Assets and Liabilities (-0.3%) | |
Other Assets | |
Investment in Vanguard | 1,006 |
Receivables for Accrued Income | 13,999 |
Receivables for Capital Shares Issued | 3,145 |
Other Assets | 3,469 |
Total Other Assets | 21,619 |
Liabilities | |
Payables for Investment | |
Securities Purchased | (31,478) |
Collateral for Securities on Loan | (13,339) |
Payables for Capital Shares Redeemed | (6,503) |
Payables to Vanguard | (5,380) |
Other Liabilities | (258) |
Total Liabilities | (56,958) |
Net Assets (100%) | 12,499,344 |
At June 30, 2016, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 9,156,776 |
Undistributed Net Investment Income | 7,528 |
Accumulated Net Realized Losses | (118,016) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 3,452,189 |
Futures Contracts | 867 |
Net Assets | 12,499,344 |
Investor Shares—Net Assets | |
Applicable to 9,660,905 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 374,113 |
Net Asset Value Per Share— | |
Investor Shares | $38.72 |
ETF Shares—Net Assets | |
Applicable to 78,687,105 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 7,543,468 |
Net Asset Value Per Share— | |
ETF Shares | $95.87 |
59
Large-Cap Index Fund | |
Amount | |
($000) | |
Admiral Shares—Net Assets | |
Applicable to 77,640,554 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 3,758,928 |
Net Asset Value Per Share— | |
Admiral Shares | $48.41 |
Institutional Shares—Net Assets | |
Applicable to 4,129,172 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 822,835 |
Net Asset Value Per Share— | |
Institutional Shares | $199.27 |
• 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 $13,185,000.
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 0.2%, respectively,
of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the
7-day yield.
3 Includes $13,339,000 of collateral received for securities on loan.
4 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the
full faith and credit of the U.S. government.
5 Securities with a value of $2,149,000 have been segregated as initial margin for open futures contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
60
Large-Cap Index Fund | |
Statement of Operations | |
Six Months Ended | |
June 30, 2016 | |
($000) | |
Investment Income | |
Income | |
Dividends | 123,879 |
Interest1 | 49 |
Securities Lending | 349 |
Total Income | 124,277 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,051 |
Management and Administrative—Investor Shares | 266 |
Management and Administrative—ETF Shares | 1,556 |
Management and Administrative—Admiral Shares | 729 |
Management and Administrative—Institutional Shares | 164 |
Marketing and Distribution—Investor Shares | 43 |
Marketing and Distribution—ETF Shares | 162 |
Marketing and Distribution—Admiral Shares | 190 |
Marketing and Distribution—Institutional Shares | 7 |
Custodian Fees | 142 |
Shareholders’ Reports—Investor Shares | 9 |
Shareholders’ Reports—ETF Shares | 34 |
Shareholders’ Reports—Admiral Shares | 21 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | 3 |
Total Expenses | 4,377 |
Net Investment Income | 119,900 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 64,415 |
Futures Contracts | 989 |
Realized Net Gain (Loss) | 65,404 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 229,060 |
Futures Contracts | 492 |
Change in Unrealized Appreciation (Depreciation) | 229,552 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 414,856 |
1 Interest income from an affiliated company of the fund was $45,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
61
Large-Cap Index Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2016 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 119,900 | 209,879 |
Realized Net Gain (Loss) | 65,404 | 177,762 |
Change in Unrealized Appreciation (Depreciation) | 229,552 | (266,082) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 414,856 | 121,559 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (3,265) | (7,047) |
ETF Shares | (65,381) | (118,790) |
Admiral Shares | (33,935) | (65,966) |
Institutional Shares | (7,545) | (16,266) |
Realized Capital Gain | ||
Investor Shares | — | — |
ETF Shares | — | — |
Admiral Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (110,126) | (208,069) |
Capital Share Transactions | ||
Investor Shares | (9,558) | (21,473) |
ETF Shares | 891,133 | 897,520 |
Admiral Shares | 139,959 | 472,088 |
Institutional Shares | 8,664 | (56,061) |
Net Increase (Decrease) from Capital Share Transactions | 1,030,198 | 1,292,074 |
Total Increase (Decrease) | 1,334,928 | 1,205,564 |
Net Assets | ||
Beginning of Period | 11,164,416 | 9,958,852 |
End of Period1 | 12,499,344 | 11,164,416 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $7,528,000 and ($2,246,000).
See accompanying Notes, which are an integral part of the Financial Statements.
62
Large-Cap Index Fund | ||||||
Financial Highlights | ||||||
Investor Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $37.78 | $38.12 | $34.24 | $26.32 | $23.16 | $23.25 |
Investment Operations | ||||||
Net Investment Income | . 364 | .702 | . 624 | . 556 | . 521 | . 421 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | .910 | (.348) | 3.879 | 7.921 | 3.159 | (.095) |
Total from Investment Operations | 1.274 | .354 | 4.503 | 8.477 | 3.680 | .326 |
Distributions | ||||||
Dividends from Net Investment Income | (. 334) | (. 694) | (. 623) | (. 557) | (. 520) | (. 416) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (. 334) | (. 694) | (. 623) | (. 557) | (. 520) | (. 416) |
Net Asset Value, End of Period | $38.72 | $37.78 | $38.12 | $34.24 | $26.32 | $23.16 |
Total Return1 | 3.40% | 0.93% | 13.24% | 32.45% | 15.94% | 1.44% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $374 | $375 | $399 | $391 | $290 | $293 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.19% | 0.20% | 0.23% | 0.24% | 0.24% | 0.24% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.02% | 1.86% | 1.76% | 1.82% | 2.08% | 1.81% |
Portfolio Turnover Rate2 | 6% | 4% | 3% | 9% | 8% | 7% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
63
Large-Cap Index Fund | ||||||
Financial Highlights | ||||||
ETF Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $93.52 | $94.36 | $84.76 | $65.15 | $57.34 | $57.56 |
Investment Operations | ||||||
Net Investment Income | .958 | 1.850 | 1.672 | 1.488 | 1.383 | 1.126 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.273 | (.859) | 9.599 | 19.610 | 7.807 | (.234) |
Total from Investment Operations | 3.231 | .991 | 11.271 | 21.098 | 9.190 | .892 |
Distributions | ||||||
Dividends from Net Investment Income | (.881) | (1.831) | (1.671) | (1.488) | (1.380) | (1.112) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.881) | (1.831) | (1.671) | (1.488) | (1.380) | (1.112) |
Net Asset Value, End of Period | $95.87 | $93.52 | $94.36 | $84.76 | $65.15 | $57.34 |
Total Return | 3.48% | 1.07% | 13.39% | 32.65% | 16.09% | 1.58% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $7,543 | $6,469 | $5,619 | $4,707 | $3,577 | $3,021 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.07% | 0.08% | 0.09% | 0.09% | 0.10% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.14% | 1.98% | 1.90% | 1.97% | 2.22% | 1.95% |
Portfolio Turnover Rate1 | 6% | 4% | 3% | 9% | 8% | 7% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
64
Large-Cap Index Fund | ||||||
Financial Highlights | ||||||
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $47.23 | $47.65 | $42.81 | $32.90 | $28.96 | $29.07 |
Investment Operations | ||||||
Net Investment Income | . 483 | . 936 | . 846 | .752 | . 698 | . 569 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.142 | (.430) | 4.839 | 9.909 | 3.939 | (.116) |
Total from Investment Operations | 1.625 | .506 | 5.685 | 10.661 | 4.637 | .453 |
Distributions | ||||||
Dividends from Net Investment Income | (. 445) | (. 926) | (. 845) | (.751) | (. 697) | (. 563) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (. 445) | (. 926) | (. 845) | (.751) | (. 697) | (. 563) |
Net Asset Value, End of Period | $48.41 | $47.23 | $47.65 | $42.81 | $32.90 | $28.96 |
Total Return1 | 3.47% | 1.07% | 13.38% | 32.66% | 16.06% | 1.60% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,759 | $3,527 | $3,085 | $1,438 | $981 | $796 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.07% | 0.08% | 0.09% | 0.09% | 0.10% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.14% | 1.98% | 1.90% | 1.97% | 2.22% | 1.95% |
Portfolio Turnover Rate2 | 6% | 4% | 3% | 9% | 8% | 7% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
65
Large-Cap Index Fund | ||||||
Financial Highlights | ||||||
Institutional Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period $194.40 | $196.14 | $176.18 | $135.42 | $119.18 | $119.65 | |
Investment Operations | ||||||
Net Investment Income | 1.999 | 3.865 | 3.492 | 3.105 | 2.903 | 2.366 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 4.710 | (1.781) | 19.957 | 40.761 | 16.234 | (.499) |
Total from Investment Operations | 6.709 | 2.084 | 23.449 | 43.866 | 19.137 | 1.867 |
Distributions | ||||||
Dividends from Net Investment Income | (1.839) | (3.824) | (3.489) | (3.106) | (2.897) | (2.337) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (1.839) | (3.824) | (3.489) | (3.106) | (2.897) | (2.337) |
Net Asset Value, End of Period | $199.27 | $194.40 | $196.14 | $176.18 | $135.42 | $119.18 |
Total Return | 3.48% | 1.07% | 13.41% | 32.65% | 16.11% | 1.60% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $823 | $794 | $857 | $750 | $752 | $504 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.06% | 0.07% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.15% | 1.99% | 1.91% | 1.98% | 2.24% | 1.97% |
Portfolio Turnover Rate1 | 6% | 4% | 3% | 9% | 8% | 7% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
66
Large-Cap Index Fund
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, ETF Shares, Admiral Shares, and Institutional Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. Admiral Shares and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
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 six months ended June 30, 2016, 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.
67
Large-Cap Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2012–2015), and for the period ended June 30, 2016, 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 subject to termination by the fund at any time, and 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 (“Vanguard”) participate in a $3.1 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 0.10% 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 based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at June 30, 2016, or at any time during the period then ended.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
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Large-Cap Index Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At June 30, 2016, the fund had contributed to Vanguard capital in the amount of $1,006,000, representing 0.01% of the fund’s net assets and 0.40% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of June 30, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 12,481,795 | — | — |
Temporary Cash Investments | 49,889 | 2,999 | — |
Futures Contracts—Assets1 | 808 | — | — |
Futures Contracts—Liabilities1 | (257) | — | — |
Total | 12,532,235 | 2,999 | — |
1 Represents variation margin on the last day of the reporting period. |
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Large-Cap Index Fund
D. At June 30, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
�� | Long (Short) | Value | Appreciation | |
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
E-mini S&P 500 Index | September 2016 | 268 | 28,009 | 867 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended June 30, 2016, the fund realized $105,349,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2015, the fund had available capital losses totaling $77,696,000 to offset future net capital gains. Of this amount, $24,177,000 is subject to expiration on December 31, 2018. Capital losses of $53,519,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, but must be used before any expiring loss carryforwards. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2016; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2016, the cost of investment securities for tax purposes was $9,082,494,000. Net unrealized appreciation of investment securities for tax purposes was $3,452,189,000, consisting of unrealized gains of $3,733,744,000 on securities that had risen in value since their purchase and $281,555,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2016, the fund purchased $1,601,025,000 of investment securities and sold $537,924,000 of investment securities, other than temporary cash investments. Purchases and sales include $1,034,606,000 and $203,117,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
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Large-Cap Index Fund
G. Capital share transactions for each class of shares were: | ||||
Six Months Ended | Year Ended | |||
June 30, 2016 | December 31, 2015 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 53,137 | 1,437 | 98,843 | 2,587 |
Issued in Lieu of Cash Distributions | 3,159 | 84 | 6,789 | 179 |
Redeemed | (65,854) | (1,775) | (127,105) | (3,310) |
Net Increase (Decrease)—Investor Shares | (9,558) | (254) | (21,473) | (544) |
ETF Shares | ||||
Issued | 1,101,456 | 11,863 | 1,322,830 | 14,153 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (210,323) | (2,350) | (425,310) | (4,525) |
Net Increase (Decrease)—ETF Shares | 891,133 | 9,513 | 897,520 | 9,628 |
Admiral Shares | ||||
Issued | 500,900 | 10,843 | 972,187 | 20,442 |
Issued in Lieu of Cash Distributions | 28,352 | 601 | 54,837 | 1,157 |
Redeemed | (389,293) | (8,475) | (554,936) | (11,655) |
Net Increase (Decrease)—Admiral Shares | 139,959 | 2,969 | 472,088 | 9,944 |
Institutional Shares | ||||
Issued | 43,625 | 227 | 82,055 | 414 |
Issued in Lieu of Cash Distributions | 5,413 | 28 | 10,669 | 55 |
Redeemed | (40,374) | (209) | (148,785) | (755) |
Net Increase (Decrease)—Institutional Shares | 8,664 | 46 | (56,061) | (286) |
H. Management has determined that no material events or transactions occurred subsequent to June 30, 2016, that would require recognition or disclosure in these financial statements.
71
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
72
Six Months Ended June 30, 2016 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
12/31/2015 | 6/30/2016 | Period | |
Based on Actual Fund Return | |||
Growth Index Fund | |||
Investor Shares | $1,000.00 | $1,012.94 | $1.05 |
ETF Shares | 1,000.00 | 1,013.64 | 0.35 |
Admiral Shares | 1,000.00 | 1,013.61 | 0.35 |
Institutional Shares | 1,000.00 | 1,013.68 | 0.30 |
Value Index Fund | |||
Investor Shares | $1,000.00 | $1,054.25 | $1.07 |
ETF Shares | 1,000.00 | 1,054.92 | 0.36 |
Admiral Shares | 1,000.00 | 1,054.96 | 0.36 |
Institutional Shares | 1,000.00 | 1,054.68 | 0.31 |
Large-Cap Index Fund | |||
Investor Shares | $1,000.00 | $1,033.97 | $0.96 |
ETF Shares | 1,000.00 | 1,034.84 | 0.35 |
Admiral Shares | 1,000.00 | 1,034.67 | 0.35 |
Institutional Shares | 1,000.00 | 1,034.78 | 0.30 |
73
Six Months Ended June 30, 2016 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
12/31/2015 | 6/30/2016 | Period | |
Based on Hypothetical 5% Yearly Return | |||
Growth Index Fund | |||
Investor Shares | $1,000.00 | $1,023.82 | $1.06 |
ETF Shares | 1,000.00 | 1,024.52 | 0.35 |
Admiral Shares | 1,000.00 | 1,024.52 | 0.35 |
Institutional Shares | 1,000.00 | 1,024.57 | 0.30 |
Value Index Fund | |||
Investor Shares | $1,000.00 | $1,023.82 | $1.06 |
ETF Shares | 1,000.00 | 1,024.52 | 0.35 |
Admiral Shares | 1,000.00 | 1,024.52 | 0.35 |
Institutional Shares | 1,000.00 | 1,024.57 | 0.30 |
Large-Cap Index Fund | |||
Investor Shares | $1,000.00 | $1,023.92 | $0.96 |
ETF Shares | 1,000.00 | 1,024.52 | 0.35 |
Admiral Shares | 1,000.00 | 1,024.52 | 0.35 |
Institutional Shares | 1,000.00 | 1,024.57 | 0.30 |
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, 0.21% for Investor Shares, 0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.06% for Institutional Shares; for the Value Index Fund, 0.21% for Investor Shares, 0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.06% for Institutional Shares; and for the Large-Cap Index Fund, 0.19% for Investor Shares, 0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.06% for Institutional 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 (182/366).
74
Trustees Approve Advisory Arrangements
The board of trustees of Vanguard Growth Index Fund, Value Index Fund, and Large-Cap Index Fund has renewed each fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard)—through its Equity Index Group. The board determined that continuing each fund’s internalized management structure was in the best interests of each fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangements. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board reviewed the quality of each fund’s investment management services over both the short and long term and took into account the organizational depth and stability of the advisor. The board considered that Vanguard has been managing investments for more than three decades. The Equity Index Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of each advisory arrangement.
Investment performance
The board considered the short- and long-term performance of each fund, including any periods of outperformance or underperformance relative to a target index and peer group. The board concluded that the performance was such that each advisory arrangement should continue. Information about the funds’ most recent performance can be found on the Performance Summary pages of this report.
Cost
The board concluded that each fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that each fund’s advisory fee rate was also well below its peer-group average. Information about the funds’ expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements sections.
The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that each fund’s at-cost arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangements again after a one-year period.
75
Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (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.
76
Price/Earnings Ratio. The ratio of a stock’s current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company’s future growth.
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
Return on Equity. The annual average rate of return generated by a company during the past five years for each dollar of shareholder’s equity (net income divided by shareholder’s equity). For a fund, the weighted average return on equity for the companies whose stocks it holds.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Turnover Rate. An indication of the fund’s trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors). The turnover rate excludes in-kind transactions, which have minimal impact on costs.
Benchmark Information
Spliced Growth Index: S&P 500 Growth Index (formerly known as the S&P 500/Barra Growth Index) through May 16, 2003; MSCI US Prime Market Growth Index through April 16, 2013; CRSP US Large Cap Growth Index thereafter.
Spliced Large Cap Index: MSCI US Prime Market 750 Index through January 30, 2013; CRSP US Large Cap Index thereafter.
Spliced Value Index: S&P 500 Value Index (formerly known as the S&P 500/Barra Value Index) through May 16, 2003; MSCI US Prime Market Value Index through April 16, 2013; CRSP US Large Cap Value Index thereafter.
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 198 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 and Other Experience: 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 and Other |
Experience: Executive Chief Staff and Marketing |
Officer for North America and Corporate Vice President |
(retired 2008) of Xerox Corporation (document manage- |
ment products and services); Executive in Residence |
and 2009–2010 Distinguished Minett Professor at |
the Rochester Institute of Technology; Lead Director |
of SPX FLOW, Inc. (multi-industry manufacturing); |
Director of the United Way of Rochester, the University |
of Rochester Medical Center, Monroe Community |
College Foundation, North Carolina A&T University, |
and Roberts Wesleyan College. |
Rajiv L. Gupta |
Born 1945. Trustee Since December 2001.2 Principal |
Occupation(s) During the Past Five Years and Other |
Experience: Chairman and Chief Executive Officer |
(retired 2009) and President (2006–2008) of |
Rohm and Haas Co. (chemicals); Director of Tyco |
International plc (diversified manufacturing and |
services), HP Inc. (printer and personal computer |
manufacturing), and Delphi Automotive plc |
(automotive components); Senior Advisor at |
New Mountain Capital. |
Amy Gutmann |
Born 1949. Trustee Since June 2006. Principal |
Occupation(s) During the Past Five Years and |
Other Experience: 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 and |
Other Experience: 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) and the Robert Wood |
Johnson Foundation; Member of the Advisory |
Board of the Institute for Women’s Leadership |
at Rutgers University. |
F. Joseph Loughrey |
Born 1949. Trustee Since October 2009. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: 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 and Other |
Experience: Senior Vice President and Chief Financial |
Officer (retired 2013) at IBM (information technology |
services); Fiduciary Member of IBM’s Retirement Plan |
Committee (2004–2013); Director of the Dow Chemical |
Company; Member of the Council on Chicago Booth. |
Scott C. Malpass |
Born 1962. Trustee Since March 2012. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: 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, the Board of Advisors |
for Spruceview Capital Partners, and the Investment |
Advisory Committee of Major League Baseball; Board |
Member of TIFF Advisory Services, Inc., and Catholic |
Investment Services, Inc. (investment advisors). |
André F. Perold |
Born 1952. Trustee Since December 2004. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: 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. |
Peter F. Volanakis |
Born 1955. Trustee Since July 2009. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: President and Chief Operating Officer |
(retired 2010) of Corning Incorporated (communications |
equipment); Trustee of Colby-Sawyer College and |
Chairman of its Finance and Enrollment Committee; |
Member of the Advisory Board of the Norris Cotton |
Cancer Center. |
Executive Officers | |
Glenn Booraem | |
Born 1967. Treasurer Since May 2015. Principal | |
Occupation(s) During the Past Five Years and | |
Other Experience: Principal of The Vanguard Group, | |
Inc.; Treasurer of each of the investment companies | |
served by The Vanguard Group; Controller of each of | |
the investment companies served by The Vanguard | |
Group (2010–2015); 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 and Other Experience: 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). | |
Peter Mahoney | |
Born 1974. Controller Since May 2015. Principal | |
Occupation(s) During the Past Five Years and | |
Other Experience: Head of Global Fund Accounting | |
at The Vanguard Group, Inc.; Controller of each of the | |
investment companies served by The Vanguard Group; | |
Head of International Fund Services at The Vanguard | |
Group (2008–2014). | |
Heidi Stam | |
Born 1956. Secretary Since July 2005. Principal | |
Occupation(s) During the Past Five Years and Other | |
Experience: 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 | James M. Norris |
Kathleen C. Gubanich | Thomas M. Rampulla |
Martha G. King | Glenn W. Reed |
John T. Marcante | Karin A. Risi |
Chris D. McIsaac | Michael Rollings |
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 email addressed to | |
publicinfo@sec.gov or via regular mail addressed to the | |
Public Reference Section, Securities and Exchange | |
Commission, Washington, DC 20549-1520. | |
© 2016 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q03072 082016 |
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Semiannual Report | June 30, 2016
Vanguard Total Stock Market Index Fund
Vanguard’s Principles for Investing Success
We want to give you the best chance of investment success. These principles, grounded in Vanguard’s research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds. Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
Fund Profile. | 8 |
Performance Summary. | 10 |
Financial Statements. | 11 |
About Your Fund’s Expenses. | 30 |
Trustees Approve Advisory Arrangement. | 32 |
Glossary. | 33 |
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: Pictured is a sailing block on the Brilliant, a 1932 schooner docked in Mystic, Connecticut. A type of pulley, the sailing block helps coordinate the setting of the sails. At Vanguard, the intricate coordination of technology and people allows us to help millions of clients around the world reach their financial goals.
Your Fund’s Total Returns | |
Six Months Ended June 30, 2016 | |
Total | |
Returns | |
Vanguard Total Stock Market Index Fund | |
Investor Shares | 3.59% |
ETF Shares | |
Market Price | 3.67 |
Net Asset Value | 3.64 |
Admiral™ Shares | 3.65 |
Institutional Shares | 3.64 |
Institutional Plus Shares | 3.66 |
Institutional Select Shares (Inception: 6/27/2016) | 5.09 |
CRSP US Total Market Index | 3.66 |
Multi-Cap Core Funds Average | 1.64 |
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, Institutional Plus Shares, and Institutional Select Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the NYSE Arca exchange and are available only through brokers. The table provides ETF returns based on both the NYSE Arca market price and the net asset value for a share. U.S. Pat. Nos. 6,879,964; 7,337,138; 7,720,749; 7,925,573; 8,090,646; and 8,417,623.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
1
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Chairman’s Letter
Dear Shareholder,
U.S. stocks overcame several hurdles en route to gains over the half year. Vanguard Total Stock Market Index Fund returned almost 4% for the six months ended June 30, 2016. The fund tightly tracked its target benchmark, the CRSP US Total Market Index, and exceeded the average return of its multi-capitalization core fund peers by about 2 percentage points.
In a reversal from the previous reporting period, value stocks outperformed growth. Small-capitalization stocks held up better against mid-caps and large-caps than they had over the previous period. The utilities and telecommunications sectors were the top performers. Financials, health care, and technology recorded slightly negative returns.
On a separate note, the Total Stock Market Index Fund’s Institutional Select Shares launched on June 27. With an expense ratio of 0.01%, the new share class is part of our ongoing efforts to reduce the cost of investing.
Stocks waxed and waned through periods of turbulence
Toward the end of the half year, global stock markets dropped sharply and then rose after U.K. voters made the momentous decision to leave the European Union. The markets already were jittery before the June 23 “Brexit” vote. But volatility spiked afterward as investors digested the global economic implications and the likelihood of extended uncertainty while the separation is carried out.
2
The broad U.S. stock market returned roughly 4% for the six months. U.S. stocks plunged on news of the referendum’s outcome but quickly reversed. Worries about Brexit’s effect on trade and global economic growth seemed to diminish as expectations increased that major central banks would respond to any fallout.
International stocks had a rougher time, returning about –1%. European stocks in particular suffered as the lead-up to the Brexit referendum and subsequent uncertainty hit closer to home. Developed Pacific markets also retreated. Emerging-market stocks were a bright spot, returning nearly 8%.
Bonds rolled to strong returns as investors weighed options
The broad U.S. bond market returned 5.31% as investors sought safe-haven assets amid questionable global economic growth, low inflation, and stock market volatility. Exceptionally low or negative yields abroad attracted foreign investors to U.S. Treasury debt. The yield of the 10-year Treasury note closed at 1.47% at the end of June, down from 2.30% at the end of December. (Bond prices and yields move in opposite directions.)
The Federal Reserve has held its target for short-term interest rates steady since raising it by a quarter of a percentage point in December. During the period,
Market Barometer | |||
Total Returns | |||
Periods Ended June 30, 2016 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 3.74% | 2.93% | 11.88% |
Russell 2000 Index (Small-caps) | 2.22 | -6.73 | 8.35 |
Russell 3000 Index (Broad U.S. market) | 3.62 | 2.14 | 11.60 |
FTSE All-World ex US Index (International) | -0.92 | -9.75 | 0.49 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | 5.31% | 6.00% | 3.76% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 4.33 | 7.65 | 5.33 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.11 | 0.14 | 0.05 |
CPI | |||
Consumer Price Index | 1.91% | 1.01% | 1.32% |
3
the 0.25%–0.5% rate remained historically low and continued to curb returns for money market funds and savings accounts.
International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned 11.94%. Counter to recent trends, a number of foreign currencies strengthened against the dollar, but returns were solid even without this currency benefit.
Utilities, telecommunications produced impressive results
In the first month of the reporting period, the broad U.S. stock market dropped as investors worried about the widespread impact of China’s slow economic growth and falling commodity and oil prices. Stocks generally rebounded over the next few months as concerns about China eased, commodity and oil prices started to recover, and the Fed scaled back its plan for raising short-term interest rates.
Brexit was the next major challenge for the markets. As I mentioned earlier, stocks’ two-day retreat after the vote was followed by a surge in the period’s final week. Of course, the long-term effects of Brexit may take years to play out. We can be sure only that financial markets will continue to move in both directions in the short term, and stocks of different capitalizations, styles, and sectors will alternately triumph and trail.
Expense Ratios | |||||||
Your Fund Compared With Its Peer Group | |||||||
Peer | |||||||
Investor | ETF | Admiral | Institutional | Institutional | Institutional | Group | |
Shares | Shares | Shares | Shares | Plus Shares | Select Shares | Average | |
Total Stock Market Index Fund | 0.16% | 0.05% | 0.05% | 0.04% | 0.02% | 0.01% | 1.17% |
The fund expense ratios shown are from the prospectus dated April 27, 2016, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2016, the fund’s annualized expense ratios were 0.15% for Investor Shares, 0.05% for ETF Shares, 0.05% for Admiral Shares, 0.04% for Institutional Shares, 0.02% for Institutional Plus Shares, and 0.01% for Institutional Select Shares (since inception). The peer-group expense ratio is derived from data provided by Lipper, a Thomson Reuters Company, and captures information through year-end 2015.
Peer group: Multi-Cap Core Funds.
4
Along with its low costs and notable record of closely tracking its benchmark, one of the hallmarks of Vanguard Total Stock Market Index Fund is its diversification. The fund reflects the returns of the broad U.S. equity market and offers wide exposure to growth and value stocks; large-, mid-, and small-capitalization stocks; and all ten industry sectors.
Utilities and telecommunications, two of the fund’s smallest-weighted sectors, topped the field with returns of about 24% apiece. Firms in both industries deliver stable and steady dividend yields, which tend to be attractive to investors seeking income in a climate where bond yields are historically low and stock volatility is high.
Industrial, oil and gas, and consumer goods stocks also significantly boosted the fund’s returns. Gains were evident across most of the industrial sector, with conglomerates, building materials, transportation, machinery, and defense firms making solid contributions. As oil and commodity prices have bounced back a bit over the past few months, so has the energy sector, via integrated oil and gas companies and exploration and production firms. Food, household product, and tobacco companies were among the leaders in consumer goods.
The four largest sector weightings were also the fund’s weakest. Consumer services was essentially flat, while technology, health care, and financials each declined about 1%. Airlines lagged in consumer services, while internet and software companies detracted in technology. Lower long-term interest rates have hurt banks, asset managers, consumer finance companies, and investment firms within the financial sector. Biotechnology companies dragged down the health care sector.
A dose of discipline is crucial when markets become volatile
The heightened volatility in capital markets that surrounded the Brexit vote reminds us that nobody can control the direction of the markets or reliably predict where they’ll go in the short term. However, investors can control how they react to unstable and turbulent markets.
During periods of market adversity, it’s more important than ever to keep sight of one of Vanguard’s key principles: Maintain perspective and long-term discipline. Whether you’re investing for yourself or on behalf of clients, your success is affected greatly by how you respond—or don’t respond—during turbulent markets. (You can read Vanguard’s Principles for Investing Success at vanguard.com/research.)
5
As I’ve written in the past, the best course for long-term investors is generally to ignore daily market moves and not make decisions based on emotion. This is also a good time to evaluate your portfolio and make sure your asset allocation is aligned with your time horizon, goals, and risk tolerance.
The markets are unpredictable and often confounding. Keeping your long-term plans clearly in focus can help you weather these periodic storms.
As always, thank you for investing with Vanguard.
Sincerely,
![](https://capedge.com/proxy/N-CSRS/0000932471-16-014112/totalstockmarketindexfunx8x1.jpg)
F. William McNabb III
Chairman and Chief Executive Officer
July 13, 2016
6
Your Fund’s Performance at a Glance | ||||
December 31, 2015, Through June 30, 2016 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Total Stock Market Index Fund | ||||
Investor Shares | $50.78 | $52.15 | $0.438 | $0.000 |
ETF Shares | 104.34 | 107.16 | 0.949 | 0.000 |
Admiral Shares | 50.79 | 52.17 | 0.462 | 0.000 |
Institutional Shares | 50.80 | 52.17 | 0.465 | 0.000 |
Institutional Plus Shares | 95.26 | 97.84 | 0.880 | 0.000 |
Institutional Select Shares (Inception: 6/27/2016) | 97.70 | 102.67 | 0.000 | 0.000 |
7
Total Stock Market Index Fund | ||||||
Fund Profile | ||||||
As of June 30, 2016 | ||||||
Share-Class Characteristics | ||||||
Institutional | ||||||
Investor | Admiral | Institutional | Institutional | Select | ||
Shares | ETF Shares | Shares | Shares | Plus Shares | Shares | |
Ticker Symbol | VTSMX | VTI | VTSAX | VITSX | VSMPX | VSTSX |
Expense Ratio1 | 0.16% | 0.05% | 0.05% | 0.04% | 0.02% | 0.01% |
30-Day SEC Yield | 1.91% | 1.99% | 1.99% | 2.00% | 2.02% | — |
Portfolio Characteristics | ||
CRSP US | ||
Total Market | ||
Fund | Index | |
Number of Stocks | 3,650 | 3,624 |
Median Market Cap | $53.0B | $51.1B |
Price/Earnings Ratio | 22.2x | 22.1x |
Price/Book Ratio | 2.7x | 2.7x |
Return on Equity | 16.6% | 16.4% |
Earnings Growth | ||
Rate | 7.3% | 7.2% |
Dividend Yield | 2.1% | 2.1% |
Foreign Holdings | 0.0% | 0.0% |
Turnover Rate | ||
(Annualized) | 4% | — |
Short-Term | ||
Reserves | 0.0% | — |
Sector Diversification (% of equity exposure)
CRSP US | ||
Total Market | ||
Fund | Index | |
Basic Materials | 2.4% | 2.4% |
Consumer Goods | 10.7 | 10.7 |
Consumer Services | 13.4 | 13.4 |
Financials | 18.7 | 18.6 |
Health Care | 13.6 | 13.5 |
Industrials | 12.7 | 12.8 |
Oil & Gas | 6.7 | 6.8 |
Technology | 15.5 | 15.5 |
Telecommunications | 2.7 | 2.6 |
Utilities | 3.6 | 3.7 |
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 | 2.3% |
Alphabet Inc. | Internet | 1.9 |
Exxon Mobil Corp. | Integrated Oil & Gas | 1.8 |
Microsoft Corp. | Software | 1.7 |
Johnson & Johnson | Pharmaceuticals | 1.5 |
General Electric Co. | Diversified Industrials | 1.3 |
Amazon.com Inc. | Broadline Retailers | 1.3 |
Berkshire Hathaway Inc. Reinsurance | 1.3 | |
AT&T Inc. | Fixed Line | |
Telecommunications | 1.2 | |
Facebook Inc. | Internet | 1.1 |
Top Ten | 15.4% |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratios shown are from the prospectus dated April 27, 2016, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2016, the annualized expense ratios were 0.15% for Investor Shares, 0.05% for ETF Shares, 0.05% for Admiral Shares, 0.04% for Institutional Shares, 0.02% for Institutional Plus Shares, and 0.01% for Institutional Select Shares (since inception).
Note: The Institutional Select Shares’ 30-day SEC yield is not reported until 30 days after the share class inception.
8
Total Stock Market Index Fund
![](https://capedge.com/proxy/N-CSRS/0000932471-16-014112/totalstockmarketindexfux11x1.jpg)
9
Total Stock Market Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): December 31, 2005, Through June 30, 2016
![](https://capedge.com/proxy/N-CSRS/0000932471-16-014112/totalstockmarketindexfux12x1.jpg)
Total Stock Market Index Fund Investor Shares
Spliced Total Stock Market Index
For a benchmark description, see the Glossary.
Note: For 2016, performance data reflect the six months ended June 30, 2016.
Average Annual Total Returns: Periods Ended June 30, 2016
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 4/27/1992 | 2.01% | 11.45% | 7.43% |
ETF Shares | 5/24/2001 | |||
Market Price | 2.12 | 11.59 | 7.55 | |
Net Asset Value | 2.12 | 11.58 | 7.54 | |
Admiral Shares | 11/13/2000 | 2.14 | 11.59 | 7.54 |
Institutional Shares | 7/7/1997 | 2.13 | 11.59 | 7.55 |
Institutional Plus Shares | 4/28/2015 | 2.15 | — | 0.231 |
Institutional Select Shares | 6/27/2016 | — | — | 5.091 |
1 Return since inception. |
10
Total Stock Market Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of June 30, 2016
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 † | 10,642,665 | 2.4% | |
Consumer Goods | |||
Procter & Gamble Co. | 52,944,257 | 4,482,790 | 1.0% |
Coca-Cola Co. | 77,508,481 | 3,513,459 | 0.8% |
Philip Morris International Inc. | 30,830,272 | 3,136,055 | 0.7% |
PepsiCo Inc. | 28,707,633 | 3,041,287 | 0.7% |
Altria Group Inc. | 38,917,522 | 2,683,752 | 0.6% |
Consumer Goods—Other † | 29,759,677 | 6.8% | |
46,617,020 | 10.6% | ||
Consumer Services | |||
* Amazon.com Inc. | 8,004,634 | 5,728,276 | 1.3% |
Home Depot Inc. | 24,769,292 | 3,162,791 | 0.7% |
Comcast Corp. Class A | 48,088,860 | 3,134,913 | 0.7% |
Walt Disney Co. | 29,015,682 | 2,838,314 | 0.6% |
McDonald’s Corp. | 17,513,487 | 2,107,573 | 0.5% |
Wal-Mart Stores Inc. | 28,195,092 | 2,058,806 | 0.5% |
CVS Health Corp. | 21,341,786 | 2,043,263 | 0.5% |
Starbucks Corp. | 27,787,247 | 1,587,208 | 0.3% |
Consumer Services—Other † | 35,899,552 | 8.2% | |
58,560,696 | 13.3% | ||
Financials | |||
* Berkshire Hathaway Inc. Class B | 36,924,127 | 5,346,244 | 1.2% |
JPMorgan Chase & Co. | 73,063,574 | 4,540,170 | 1.0% |
Wells Fargo & Co. | 91,215,174 | 4,317,214 | 1.0% |
Visa Inc. Class A | 38,147,829 | 2,829,424 | 0.7% |
Bank of America Corp. | 205,280,841 | 2,724,077 | 0.6% |
Citigroup Inc. | 58,627,484 | 2,485,219 | 0.6% |
MasterCard Inc. Class A | 19,366,492 | 1,705,413 | 0.4% |
* Berkshire Hathaway Inc. Class A | 864 | 187,466 | 0.0% |
Financials—Other † | 57,516,604 | 13.1% | |
81,651,831 | 18.6% |
11
Total Stock Market Index Fund | ||||
Market | Percentage | |||
Value• | of Net | |||
Shares | ($000) | Assets | ||
Health Care | ||||
Johnson & Johnson | 54,772,218 | 6,643,870 | 1.5% | |
Pfizer Inc. | 120,689,469 | 4,249,476 | 1.0% | |
Merck & Co. Inc. | 55,061,925 | 3,172,118 | 0.7% | |
UnitedHealth Group Inc. | 18,929,906 | 2,672,903 | 0.6% | |
Bristol-Myers Squibb Co. | 33,228,244 | 2,443,937 | 0.6% | |
Medtronic plc | 27,943,526 | 2,424,660 | 0.5% | |
Amgen Inc. | 14,951,056 | 2,274,803 | 0.5% | |
Gilead Sciences Inc. | 26,530,771 | 2,213,197 | 0.5% | |
AbbVie Inc. | 32,218,933 | 1,994,674 | 0.5% | |
* | Allergan plc | 7,890,044 | 1,823,310 | 0.4% |
Health Care—Other † | 29,215,544 | 6.7% | ||
59,128,492 | 13.5% | |||
Industrials | ||||
General Electric Co. | 182,865,746 | 5,756,614 | 1.3% | |
3M Co. | 12,043,389 | 2,109,038 | 0.5% | |
Honeywell International Inc. | 15,183,736 | 1,766,172 | 0.4% | |
United Technologies Corp. | 15,787,904 | 1,619,050 | 0.4% | |
Boeing Co. | 12,075,209 | 1,568,207 | 0.3% | |
Industrials—Other † | 42,509,759 | 9.7% | ||
55,328,840 | 12.6% | |||
Oil & Gas | ||||
Exxon Mobil Corp. | 82,406,965 | 7,724,829 | 1.8% | |
Chevron Corp. | 37,452,961 | 3,926,194 | 0.9% | |
Schlumberger Ltd. | 27,629,233 | 2,184,920 | 0.5% | |
Oil & Gas—Other † | 15,543,912 | 3.5% | ||
29,379,855 | 6.7% | |||
1Other | ||||
* | Leap Wireless International Inc CVR | 872,848 | 2,200 | 0.0% |
Other—Other † | 3,788 | 0.0% | ||
5,988 | 0.0% | |||
Technology | ||||
Apple Inc. | 103,752,723 | 9,918,760 | 2.3% | |
Microsoft Corp. | 149,022,544 | 7,625,484 | 1.7% | |
* | Facebook Inc. Class A | 43,803,673 | 5,005,884 | 1.1% |
* | Alphabet Inc. Class A | 5,854,100 | 4,118,535 | 0.9% |
* | Alphabet Inc. Class C | 5,827,913 | 4,033,499 | 0.9% |
Intel Corp. | 94,273,767 | 3,092,180 | 0.7% | |
Cisco Systems Inc. | 100,384,266 | 2,880,025 | 0.7% | |
International Business Machines Corp. | 17,238,549 | 2,616,467 | 0.6% | |
Oracle Corp. | 62,098,332 | 2,541,685 | 0.6% | |
QUALCOMM Inc. | 29,268,210 | 1,567,898 | 0.4% | |
Technology—Other † | 24,431,497 | 5.6% | ||
67,831,914 | 15.5% | |||
Telecommunications | ||||
AT&T Inc. | 122,335,204 | 5,286,104 | 1.2% | |
Verizon Communications Inc. | 81,195,606 | 4,533,963 | 1.0% | |
Telecommunications—Other † | 1,718,231 | 0.4% | ||
11,538,298 | 2.6% | |||
Utilities † | 15,876,643 | 3.6% | ||
Total Common Stocks (Cost $315,646,922) | 436,562,242 | 99.4%2 |
12
Total Stock Market Index Fund | ||||
Market | Percentage | |||
Value• | of Net | |||
Coupon | Shares | ($000) | Assets | |
Temporary Cash Investments | ||||
Money Market Fund | ||||
3,4 Vanguard Market Liquidity Fund | 0.538% | 3,826,053,595 | 3,826,054 | 0.9% |
5,6U.S. Government and Agency Obligations † | 107,936 | 0.0% | ||
Total Temporary Cash Investments (Cost $3,933,976) | 3,933,990 | 0.9%2 | ||
7Total Investments (Cost $319,580,898) | 440,496,232 | 100.3% | ||
Amount | ||||
($000) | ||||
Other Assets and Liabilities | ||||
Other Assets | ||||
Investment in Vanguard | 35,505 | |||
Receivables for Investment Securities Sold | 3,979 | |||
Receivables for Accrued Income | 507,239 | |||
Receivables for Capital Shares Issued | 1,553,761 | |||
Other Assets | 49,077 | |||
Total Other Assets | 2,149,561 | 0.5% | ||
Liabilities | ||||
Payables for Investment Securities Purchased | (1,216,721) | |||
Collateral for Securities on Loan | (1,573,074) | |||
Payables for Capital Shares Redeemed | (677,636) | |||
Payables to Vanguard | (193,602) | |||
Other Liabilities | (518) | |||
Total Liabilities | (3,661,551) | (0.8%) | ||
Net Assets | 438,984,242 | 100.0% | ||
At June 30, 2016, net assets consisted of: | ||||
Amount | ||||
($000) | ||||
Paid-in Capital | 317,763,433 | |||
Undistributed Net Investment Income | 297,921 | |||
Accumulated Net Realized Losses | (12,174) | |||
Unrealized Appreciation (Depreciation) | ||||
Investment Securities | 120,915,334 | |||
Futures Contracts | 20,028 | |||
Swap Contracts | (300) | |||
Net Assets | 438,984,242 | |||
Investor Shares—Net Assets | ||||
Applicable to 1,895,891,666 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 98,869,380 | |||
Net Asset Value Per Share—Investor Shares | $52.15 |
13
Total Stock Market Index Fund | |
Amount | |
($000) | |
ETF Shares—Net Assets | |
Applicable to 564,825,940 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 60,528,916 |
Net Asset Value Per Share—ETF Shares | $107.16 |
Admiral Shares—Net Assets | |
Applicable to 2,609,607,968 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 136,131,768 |
Net Asset Value Per Share—Admiral Shares | $52.17 |
Institutional Shares—Net Assets | |
Applicable to 1,295,989,535 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 67,616,404 |
Net Asset Value Per Share—Institutional Shares | $52.17 |
Institutional Plus Shares—Net Assets | |
Applicable to 768,226,253 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 75,165,384 |
Net Asset Value Per Share—Institutional Plus Shares | $97.84 |
Institutional Select Shares—Net Assets | |
Applicable to 6,549,334 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 672,390 |
Net Asset Value Per Share—Institutional Select Shares | $102.67 |
• 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 swap contracts. After giving
effect to futures and swap investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and
0.3%, respectively, of net assets.
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 $1,573,074,000 of collateral received for securities on loan.
5 Securities with a value of $101,641,000 have been segregated as initial margin for open futures contracts.
6 Securities with a value of $3,562,000 have been segregated as collateral for open over-the-counter swap contracts.
7 The total value of securities on loan is $1,493,268,000.
CVR—Contingent Value Rights.
See accompanying Notes, which are an integral part of the Financial Statements.
14
Total Stock Market Index Fund | |
Statement of Operations | |
Six Months Ended | |
June 30, 2016 | |
($000) | |
Investment Income | |
Income | |
Dividends | 4,221,204 |
Interest1 | 5,576 |
Securities Lending | 58,164 |
Total Income | 4,284,944 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 9,048 |
Management and Administrative—Investor Shares | 58,169 |
Management and Administrative—ETF Shares | 10,682 |
Management and Administrative—Admiral Shares | 23,360 |
Management and Administrative—Institutional Shares | 9,378 |
Management and Administrative—Institutional Plus Shares | 4,301 |
Management and Administrative—Institutional Select Shares | 1 |
Marketing and Distribution—Investor Shares | 8,672 |
Marketing and Distribution—ETF Shares | 1,707 |
Marketing and Distribution—Admiral Shares | 4,616 |
Marketing and Distribution—Institutional Shares | 1,026 |
Marketing and Distribution—Institutional Plus Shares | 574 |
Marketing and Distribution—Institutional Select Shares | — |
Custodian Fees | 1,761 |
Shareholders’ Reports—Investor Shares | 979 |
Shareholders’ Reports—ETF Shares | 299 |
Shareholders’ Reports—Admiral Shares | 280 |
Shareholders’ Reports—Institutional Shares | 114 |
Shareholders’ Reports—Institutional Plus Shares | 1 |
Shareholders’ Reports—Institutional Select Shares | — |
Trustees’ Fees and Expenses | 124 |
Total Expenses | 135,092 |
Net Investment Income | 4,149,852 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 3,689,863 |
Futures Contracts | 47,560 |
Swap Contracts | 182 |
Realized Net Gain (Loss) | 3,737,605 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 8,256,212 |
Futures Contracts | (6,197) |
Swap Contracts | 331 |
Change in Unrealized Appreciation (Depreciation) | 8,250,346 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 16,137,803 |
1 Interest income from an affiliated company of the fund was $5,256,000. | |
See accompanying Notes, which are an integral part of the Financial Statements. |
15
Total Stock Market Index Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2016 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 4,149,852 | 7,704,558 |
Realized Net Gain (Loss) | 3,737,605 | 12,814,317 |
Change in Unrealized Appreciation (Depreciation) | 8,250,346 | (18,420,139) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 16,137,803 | 2,098,736 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (834,454) | (2,011,483) |
ETF Shares | (532,611) | (1,092,307) |
Admiral Shares | (1,184,484) | (2,411,516) |
Institutional Shares | (580,092) | (1,465,290) |
Institutional Plus Shares | (637,335) | (670,898) |
Institutional Select Shares | — | — |
Realized Capital Gain | ||
Investor Shares | — | — |
ETF Shares | — | — |
Admiral Shares | — | — |
Institutional Shares | — | — |
Institutional Plus Shares | — | — |
Institutional Select Shares | — | — |
Total Distributions | (3,768,976) | (7,651,494) |
Capital Share Transactions | ||
Investor Shares | (268,686) | (20,386,722) |
ETF Shares | 1,464,681 | 7,518,595 |
Admiral Shares | 6,028,310 | 10,860,724 |
Institutional Shares | 8,164,992 | (40,464,087) |
Institutional Plus Shares | 9,935,177 | 65,672,415 |
Institutional Select Shares | 639,884 | — |
Net Increase (Decrease) from Capital Share Transactions | 25,964,358 | 23,200,925 |
Total Increase (Decrease) | 38,333,185 | 17,648,167 |
Net Assets | ||
Beginning of Period | 400,651,057 | 383,002,890 |
End of Period1 | 438,984,242 | 400,651,057 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $297,921,000 and ($83,137,000).
See accompanying Notes, which are an integral part of the Financial Statements.
16
Total Stock Market Index Fund | ||||||
Financial Highlights | ||||||
Investor Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $50.78 | $51.58 | $46.67 | $35.64 | $31.29 | $31.56 |
Investment Operations | ||||||
Net Investment Income | . 484 | . 954 | . 854 | .757 | .720 | . 565 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.324 | (.807) | 4.907 | 11.038 | 4.350 | (.273) |
Total from Investment Operations | 1.808 | .147 | 5.761 | 11.795 | 5.070 | .292 |
Distributions | ||||||
Dividends from Net Investment Income | (. 438) | (. 947) | (. 851) | (.765) | (.720) | (. 562) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (. 438) | (. 947) | (. 851) | (.765) | (.720) | (. 562) |
Net Asset Value, End of Period | $52.15 | $50.78 | $51.58 | $46.67 | $35.64 | $31.29 |
Total Return1 | 3.59% | 0.29% | 12.43% | 33.35% | 16.25% | 0.96% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $98,869 | $96,323 | $117,966 | $105,008 | $78,936 | $62,668 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.15% | 0.16% | 0.17% | 0.17% | 0.17% | 0.17% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.98% | 1.85% | 1.77% | 1.84% | 2.11% | 1.79% |
Portfolio Turnover Rate2 | 4% | 3% | 3% | 4% | 3% | 5% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
17
Total Stock Market Index Fund | ||||||
Financial Highlights | ||||||
ETF Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period $104.34 | $106.00 | $95.91 | $73.24 | $64.29 | $64.86 | |
Investment Operations | ||||||
Net Investment Income | 1.044 | 2.082 | 1.874 | 1.657 | 1.564 | 1.238 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.725 | (1.675) | 10.085 | 22.686 | 8.949 | (.575) |
Total from Investment Operations | 3.769 | .407 | 11.959 | 24.343 | 10.513 | .663 |
Distributions | ||||||
Dividends from Net Investment Income | (.949) | (2.067) | (1.869) | (1.673) | (1.563) | (1.233) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (.949) | (2.067) | (1.869) | (1.673) | (1.563) | (1.233) |
Net Asset Value, End of Period | $107.16 | $104.34 | $106.00 | $95.91 | $73.24 | $64.29 |
Total Return | 3.64% | 0.40% | 12.56% | 33.51% | 16.41% | 1.06% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $60,529 | $57,434 | $50,886 | $39,165 | $24,270 | $19,521 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.05% | 0.05% | 0.05% | 0.05% | 0.05% | 0.05% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.08% | 1.96% | 1.89% | 1.96% | 2.23% | 1.91% |
Portfolio Turnover Rate1 | 4% | 3% | 3% | 4% | 3% | 5% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
18
Total Stock Market Index Fund | ||||||
Financial Highlights | ||||||
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $50.79 | $51.60 | $46.69 | $35.65 | $31.30 | $31.57 |
Investment Operations | ||||||
Net Investment Income | .508 | 1.013 | .912 | .807 | .761 | .602 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.334 | (.818) | 4.908 | 11.047 | 4.350 | (.273) |
Total from Investment Operations | 1.842 | .195 | 5.820 | 11.854 | 5.111 | .329 |
Distributions | ||||||
Dividends from Net Investment Income | (. 462) | (1.005) | (. 910) | (. 814) | (.761) | (. 599) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (. 462) | (1.005) | (. 910) | (. 814) | (.761) | (. 599) |
Net Asset Value, End of Period | $52.17 | $50.79 | $51.60 | $46.69 | $35.65 | $31.30 |
Total Return1 | 3.65% | 0.39% | 12.56% | 33.52% | 16.38% | 1.08% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $136,132 | $126,363 | $117,476 | $86,541 | $59,771 | $49,496 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.05% | 0.05% | 0.05% | 0.05% | 0.05% | 0.05% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.08% | 1.96% | 1.89% | 1.96% | 2.23% | 1.91% |
Portfolio Turnover Rate 2 | 4% | 3% | 3% | 4% | 3% | 5% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
19
Total Stock Market Index Fund | ||||||
Financial Highlights | ||||||
Institutional Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $50.80 | $51.60 | $46.69 | $35.66 | $31.30 | $31.57 |
Investment Operations | ||||||
Net Investment Income | .511 | 1.017 | .915 | .808 | .763 | .603 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.324 | (.808) | 4.908 | 11.038 | 4.359 | (.272) |
Total from Investment Operations | 1.835 | .209 | 5.823 | 11.846 | 5.122 | .331 |
Distributions | ||||||
Dividends from Net Investment Income | (. 465) | (1.009) | (. 913) | (. 816) | (.762) | (. 601) |
Distributions from Realized Capital Gains — | — | — | — | — | — | |
Total Distributions | (. 465) | (1.009) | (. 913) | (. 816) | (.762) | (. 601) |
Net Asset Value, End of Period | $52.17 | $50.80 | $51.60 | $46.69 | $35.66 | $31.30 |
Total Return | 3.64% | 0.42% | 12.56% | 33.49% | 16.42% | 1.09% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $67,616 | $57,438 | $96,674 | $65,738 | $39,367 | $29,467 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.04% | 0.04% | 0.04% | 0.04% | 0.04% | 0.04% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.09% | 1.97% | 1.90% | 1.97% | 2.24% | 1.92% |
Portfolio Turnover Rate1 | 4% | 3% | 3% | 4% | 3% | 5% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
20
Total Stock Market Index Fund | ||
Financial Highlights | ||
Institutional Plus Shares | ||
Six Months | April 28, | |
Ended | 20151 to | |
June 30, | Dec. 31, | |
For a Share Outstanding Throughout Each Period | 2016 | 2015 |
Net Asset Value, Beginning of Period | $95.26 | $100.00 |
Investment Operations | ||
Net Investment Income | . 966 | 1.335 |
Net Realized and Unrealized Gain (Loss) on Investments | 2.494 | (4.631) |
Total from Investment Operations | 3.460 | (3.296) |
Distributions | ||
Dividends from Net Investment Income | (.880) | (1.444) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (.880) | (1.444) |
Net Asset Value, End of Period | $97.84 | $95.26 |
Total Return | 3.66% | -3.28% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $75,165 | $63,093 |
Ratio of Total Expenses to Average Net Assets | 0.02% | 0.02%2 |
Ratio of Net Investment Income to Average Net Assets | 2.11% | 1.99%2 |
Portfolio Turnover Rate 3 | 4% | 3%4 |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
4 Reflects the fund’s portfolio turnover for the fiscal year ended December 31, 2015.
See accompanying Notes, which are an integral part of the Financial Statements.
21
Total Stock Market Index Fund | |
Financial Highlights | |
Institutional Select Shares | |
June 27, 20161 to | |
For a Share Outstanding Throughout the Period | June 30, 2016 |
Net Asset Value, Beginning of Period | $97.70 |
Investment Operations | |
Net Investment Income | . 045 |
Net Realized and Unrealized Gain (Loss) on Investments | 4.925 |
Total from Investment Operations | 4.970 |
Distributions | |
Dividends from Net Investment Income | — |
Distributions from Realized Capital Gains | — |
Total Distributions | — |
Net Asset Value, End of Period | $102.67 |
Total Return | 5.09% |
Ratios/Supplemental Data | |
Net Assets, End of Period (Millions) | $672 |
Ratio of Total Expenses to Average Net Assets | 0.01%2 |
Ratio of Net Investment Income to Average Net Assets | 2.12%2 |
Portfolio Turnover Rate 3 | 4%4 |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
4 Reflects the fund’s portfolio turnover for the six months ended June 30, 2016.
See accompanying Notes, which are an integral part of the Financial Statements.
22
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 six classes of shares: Investor Shares, ETF Shares, Admiral Shares, Institutional Shares, Institutional Plus Shares, and Institutional Select Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. Admiral Shares, Institutional Shares, Institutional Plus Shares, and Institutional Select Shares are designed for investors who meet certain administrative, service, and account-size criteria. Institutional Select Shares were issued on June 27, 2016.
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.
23
Total Stock Market 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 six months ended June 30, 2016, 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 prequalified 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.
24
Total Stock Market Index Fund
During the six months ended June 30, 2016, the fund’s average amounts of investments in 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, 2012–2015), and for the period ended June 30, 2016, 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 subject to termination by the fund at any time, and 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 (“Vanguard”) participate in a $3.1 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 0.10% 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 based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at June 30, 2016, or at any time during the period then ended.
25
Total Stock Market Index Fund
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. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At June 30, 2016, the fund had contributed to Vanguard capital in the amount of $35,505,000, representing 0.01% of the fund’s net assets and 14.20% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, 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).
26
Total Stock Market Index Fund
The following table summarizes the market value of the fund’s investments as of June 30, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 436,554,213 | 32 | 7,997 |
Temporary Cash Investments | 3,826,054 | 107,936 | — |
Futures Contracts—Assets1 | 27,923 | — | — |
Swap Contracts—Assets | — | 218 | — |
Swap Contracts—Liabilities | — | (518) | — |
Total | 440,408,190 | 107,668 | 7,997 |
1 Represents variation margin on the last day of the reporting period. |
D. At June 30, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
E-mini S&P 500 Index | September 2016 | 21,784 | 2,276,646 | 21,070 |
E-mini Russell 2000 Index | September 2016 | 957 | 109,806 | (1,129) |
E-mini S&P Mid-Cap 400 Index | September 2016 | 240 | 35,832 | 87 |
20,028 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
At June 30, 2016, the fund had the following open total return swap contracts: | |||||
Floating | Unrealized | ||||
Notional | Interest Rate | Appreciation | |||
Termination | Amount | Received | (Depreciation) | ||
Reference Entity | Date | Counterparty | ($000) | (Paid) | ($000) |
Ambac Financial Group Inc. | 7/6/16 | GSCM | 4,867 | (0.848%) | 218 |
Empire State Realty Trust Inc. | 8/11/16 | GSCM | 20,463 | (0.842%) | (77) |
SLM Corp. | 8/18/16 | GSI | 21,170 | (0.848%) | (441) |
(300) | |||||
GSCM—Goldman Sachs Capital Management. | |||||
GSI—Goldman Sachs International. |
27
Total Stock Market Index Fund
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended June 30, 2016, the fund realized $2,448,918,000 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 $182,000 on swap contracts have been reclassified from accumulated net realized losses to undistributed net investment income.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2015, the fund had available capital losses totaling $1,270,736,000 to offset future net capital gains. Of this amount, $1,003,435,000 is subject to expiration on December 31, 2016. Capital losses of $267,301,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, but must be used before any expiring loss carryforwards. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2016; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2016, the cost of investment securities for tax purposes was $319,589,820,000. Net unrealized appreciation of investment securities for tax purposes was $120,906,412,000, consisting of unrealized gains of $138,493,232,000 on securities that had risen in value since their purchase and $17,586,820,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2016, the fund purchased $38,671,577,000 of investment securities and sold $11,881,516,000 of investment securities, other than temporary cash investments. Purchases and sales include $6,779,445,000 and $4,488,728,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
28
Total Stock Market Index Fund
G. Capital share transactions for each class of shares were: | ||||
Six Months Ended | Year Ended | |||
June 30, 2016 | December 31, 2015 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 6,703,264 | 137,739 | 9,615,095 | 187,612 |
Issued in Lieu of Cash Distributions | 829,581 | 16,344 | 2,000,863 | 39,195 |
Redeemed | (7,801,531) | (155,183) | (32,002,680) | (616,831) |
Net Increase (Decrease)—Investor Shares | (268,686) | (1,100) | (20,386,722) | (390,024) |
ETF Shares | ||||
Issued | 6,039,080 | 58,780 | 25,815,534 | 241,287 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (4,574,399) | (44,400) | (18,296,939) | (170,900) |
Net Increase (Decrease)—ETF Shares | 1,464,681 | 14,380 | 7,518,595 | 70,387 |
Admiral Shares | ||||
Issued | 11,560,183 | 233,139 | 22,278,360 | 430,686 |
Issued in Lieu of Cash Distributions | 1,026,219 | 20,207 | 2,101,249 | 41,298 |
Redeemed | (6,558,092) | (131,629) | (13,518,885) | (260,874) |
Net Increase (Decrease)—Admiral Shares | 6,028,310 | 121,717 | 10,860,724 | 211,110 |
Institutional Shares | ||||
Issued | 12,432,040 | 250,240 | 34,182,938 | 666,236 |
Issued in Lieu of Cash Distributions | 533,102 | 10,492 | 1,369,736 | 26,567 |
Redeemed | (4,800,150) | (95,419) | (76,016,761) | (1,435,499) |
Net Increase (Decrease)—Institutional Shares | 8,164,992 | 165,313 | (40,464,087) | (742,696) |
Institutional Plus Shares1 | ||||
Issued | 11,164,121 | 119,173 | 70,375,821 | 710,136 |
Issued in Lieu of Cash Distributions | 634,389 | 6,657 | 668,273 | 7,223 |
Redeemed | (1,863,333) | (19,902) | (5,371,679) | (55,060) |
Net Increase (Decrease)—Institutional Plus Shares | 9,935,177 | 105,928 | 65,672,415 | 662,299 |
Institutional Select Shares 2 | ||||
Issued | 640,213 | 6,552 | — | — |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (329) | (3) | — | — |
Net Increase (Decrease)—Institutional Select Shares | 639,884 | 6,549 | — | — |
1 Inception was April 28, 2015, for Institutional Plus Shares. | ||||
2 Inception was June 27, 2016, for Institutional Select Shares. |
H. Management has determined that no material events or transactions occurred subsequent to June 30, 2016, that would require recognition or disclosure in these financial statements.
29
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
30
Six Months Ended June 30, 2016 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
Total Stock Market Index Fund | 12/31/2015 | 6/30/2016 | Period |
Based on Actual Fund Return | |||
Investor Shares | $1,000.00 | $1,035.86 | $0.76 |
ETF Shares | 1,000.00 | 1,036.42 | 0.25 |
Admiral Shares | 1,000.00 | 1,036.54 | 0.25 |
Institutional Shares | 1,000.00 | 1,036.39 | 0.20 |
Institutional Plus Shares | 1,000.00 | 1,036.60 | 0.10 |
Institutional Select Shares | 1,000.00 | 1,050.87 | 0.00 |
Based on Hypothetical 5% Yearly Return | |||
Investor Shares | $1,000.00 | $1,024.12 | $0.75 |
ETF Shares | 1,000.00 | 1,024.61 | 0.25 |
Admiral Shares | 1,000.00 | 1,024.61 | 0.25 |
Institutional Shares | 1,000.00 | 1,024.66 | 0.20 |
Institutional Plus Shares | 1,000.00 | 1,024.76 | 0.10 |
Institutional Select Shares | 1,000.00 | 1,000.55 | 0.00 |
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 0.15% for Investor Shares, 0.05% for ETF Shares, 0.05% for Admiral Shares, 0.04% for Institutional Shares, 0.02% for Institutional Plus Shares, and 0.01% for Institutional Select Shares (since inception). 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 (182/366 for Investor, ETF, Admiral, Institutional, and Institutional Plus Shares and 4/366 for Institutional Select Shares).
31
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard Total Stock Market Index Fund has renewed the fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard)—through its Equity Index Group. The board determined that continuing the fund’s internalized management structure was in the best interests of the fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board reviewed the quality of the fund’s investment management services over both the short and long term, and took into account the organizational depth and stability of the advisor. The board considered that Vanguard has been managing investments for more than three decades. The Equity Index Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement.
Investment performance
The board considered the short- and long-term performance of the fund, including any periods of outperformance or underperformance relative to a target index and peer group. The board concluded that the performance was such that the advisory arrangement should continue. Information about the fund’s most recent performance can be found in the Performance Summary section of this report.
Cost
The board concluded that the fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that the fund’s advisory fee rate was also well below its peer-group average. Information about the fund’s expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements section.
The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the fund’s at-cost arrangement with Vanguard ensures that the fund will realize economies of scale as it grows, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangement again after a one-year period.
32
Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
Dividend Yield. Dividend income earned by stocks, expressed as a percentage of the aggregate market value (or of net asset value, for a fund). The yield is determined by dividing the amount of the annual dividends by the aggregate value (or net asset value) at the end of the period. For a fund, the dividend yield is based solely on stock holdings and does not include any income produced by other investments.
Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund.
Equity Exposure. A measure that reflects a fund’s investments in stocks and stock futures. Any holdings in short-term reserves are excluded.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Foreign Holdings. The percentage of a fund represented by securities or depositary receipts of companies based outside the United States.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it.
Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds.
33
Price/Earnings Ratio. The ratio of a stock’s current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company’s future growth.
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
Return on Equity. The annual average rate of return generated by a company during the past five years for each dollar of shareholder’s equity (net income divided by shareholder’s equity). For a fund, the weighted average return on equity for the companies whose stocks it holds.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Turnover Rate. An indication of the fund’s trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors). The turnover rate excludes in-kind transactions, which have minimal impact on costs.
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.
34
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 198 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 and Other Experience: 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 and Other |
Experience: Executive Chief Staff and Marketing |
Officer for North America and Corporate Vice President |
(retired 2008) of Xerox Corporation (document manage- |
ment products and services); Executive in Residence |
and 2009–2010 Distinguished Minett Professor at |
the Rochester Institute of Technology; Lead Director |
of SPX FLOW, Inc. (multi-industry manufacturing); |
Director of the United Way of Rochester, the University |
of Rochester Medical Center, Monroe Community |
College Foundation, North Carolina A&T University, |
and Roberts Wesleyan College. |
Rajiv L. Gupta |
Born 1945. Trustee Since December 2001.2 Principal |
Occupation(s) During the Past Five Years and Other |
Experience: Chairman and Chief Executive Officer |
(retired 2009) and President (2006–2008) of |
Rohm and Haas Co. (chemicals); Director of Tyco |
International plc (diversified manufacturing and |
services), HP Inc. (printer and personal computer |
manufacturing), and Delphi Automotive plc |
(automotive components); Senior Advisor at |
New Mountain Capital. |
Amy Gutmann |
Born 1949. Trustee Since June 2006. Principal |
Occupation(s) During the Past Five Years and |
Other Experience: 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 and |
Other Experience: 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) and the Robert Wood |
Johnson Foundation; Member of the Advisory |
Board of the Institute for Women’s Leadership |
at Rutgers University. |
F. Joseph Loughrey |
Born 1949. Trustee Since October 2009. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: 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 and Other |
Experience: Senior Vice President and Chief Financial |
Officer (retired 2013) at IBM (information technology |
services); Fiduciary Member of IBM’s Retirement Plan |
Committee (2004–2013); Director of the Dow Chemical |
Company; Member of the Council on Chicago Booth. |
�� |
Scott C. Malpass |
Born 1962. Trustee Since March 2012. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: 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, the Board of Advisors |
for Spruceview Capital Partners, and the Investment |
Advisory Committee of Major League Baseball; Board |
Member of TIFF Advisory Services, Inc., and Catholic |
Investment Services, Inc. (investment advisors). |
André F. Perold |
Born 1952. Trustee Since December 2004. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: 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. |
Peter F. Volanakis |
Born 1955. Trustee Since July 2009. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: President and Chief Operating Officer |
(retired 2010) of Corning Incorporated (communications |
equipment); Trustee of Colby-Sawyer College and |
Chairman of its Finance and Enrollment Committee; |
Member of the Advisory Board of the Norris Cotton |
Cancer Center. |
Executive Officers | |
Glenn Booraem | |
Born 1967. Treasurer Since May 2015. Principal | |
Occupation(s) During the Past Five Years and | |
Other Experience: Principal of The Vanguard Group, | |
Inc.; Treasurer of each of the investment companies | |
served by The Vanguard Group; Controller of each of | |
the investment companies served by The Vanguard | |
Group (2010–2015); 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 and Other Experience: 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). | |
Peter Mahoney | |
Born 1974. Controller Since May 2015. Principal | |
Occupation(s) During the Past Five Years and | |
Other Experience: Head of Global Fund Accounting | |
at The Vanguard Group, Inc.; Controller of each of the | |
investment companies served by The Vanguard Group; | |
Head of International Fund Services at The Vanguard | |
Group (2008–2014). | |
Heidi Stam | |
Born 1956. Secretary Since July 2005. Principal | |
Occupation(s) During the Past Five Years and Other | |
Experience: 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 | James M. Norris |
Kathleen C. Gubanich | Thomas M. Rampulla |
Martha G. King | Glenn W. Reed |
John T. Marcante | Karin A. Risi |
Chris D. McIsaac | Michael Rollings |
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 email addressed to | |
publicinfo@sec.gov or via regular mail addressed to the | |
Public Reference Section, Securities and Exchange | |
Commission, Washington, DC 20549-1520. | |
© 2016 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q852 082016 |
Item 2: Code of Ethics.
Not Applicable.
Item 3: Audit Committee Financial Expert.
Not Applicable.
Item 4: Principal Accountant Fees and Services.
(a) Audit Fees.
Not Applicable.
Item 5: Audit Committee of Listed Registrants.
Not Applicable.
Item 6: Investments.
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (100.1%)1 | |||
Basic Materials (3.6%) | |||
RPM International Inc. | 2,765,022 | 138,113 | |
Steel Dynamics Inc. | 4,816,036 | 117,993 | |
Royal Gold Inc. | 1,358,486 | 97,838 | |
Olin Corp. | 3,437,370 | 85,384 | |
NewMarket Corp. | 197,288 | 81,752 | |
Scotts Miracle-Gro Co. Class A | 955,810 | 66,821 | |
Sensient Technologies Corp. | 933,070 | 66,285 | |
CONSOL Energy Inc. | 4,057,751 | 65,289 | |
PolyOne Corp. | 1,748,561 | 61,619 | |
Huntsman Corp. | 4,213,528 | 56,672 | |
Cabot Corp. | 1,168,475 | 53,353 | |
Compass Minerals International Inc. | 703,166 | 52,168 | |
United States Steel Corp. | 3,047,572 | 51,382 | |
Axiall Corp. | 1,469,161 | 47,909 | |
HB Fuller Co. | 1,040,605 | 45,776 | |
Domtar Corp. | 1,302,676 | 45,607 | |
US Silica Holdings Inc. | 1,321,695 | 45,559 | |
Minerals Technologies Inc. | 724,801 | 41,169 | |
Hecla Mining Co. | 7,992,536 | 40,762 | |
Commercial Metals Co. | 2,384,101 | 40,291 | |
Balchem Corp. | 657,048 | 39,193 | |
* | GCP Applied Technologies Inc. | 1,472,284 | 38,338 |
Worthington Industries Inc. | 906,020 | 38,325 | |
* | Chemtura Corp. | 1,331,400 | 35,122 |
* | Cambrex Corp. | 666,763 | 34,492 |
* | Coeur Mining Inc. | 3,193,743 | 34,045 |
Kaiser Aluminum Corp. | 356,286 | 32,212 | |
Carpenter Technology Corp. | 971,280 | 31,984 | |
Chemours Co. | 3,782,551 | 31,168 | |
* | Ingevity Corp. | 873,959 | 29,750 |
* | Stillwater Mining Co. | 2,501,527 | 29,668 |
^ | Allegheny Technologies Inc. | 2,259,404 | 28,807 |
*,^ | Platform Specialty Products Corp. | 3,097,865 | 27,509 |
Stepan Co. | 418,178 | 24,894 | |
KapStone Paper and Packaging Corp. | 1,807,828 | 23,520 | |
Quaker Chemical Corp. | 261,572 | 23,332 | |
* | Clearwater Paper Corp. | 356,062 | 23,276 |
* | Ferro Corp. | 1,731,342 | 23,165 |
* | AK Steel Holding Corp. | 4,794,169 | 22,341 |
Innospec Inc. | 473,993 | 21,799 | |
*,^ | Cliffs Natural Resources Inc. | 3,381,990 | 19,176 |
* | Kraton Performance Polymers Inc. | 640,443 | 17,888 |
PH Glatfelter Co. | 908,916 | 17,778 | |
* | Univar Inc. | 862,767 | 16,315 |
Innophos Holdings Inc. | 382,103 | 16,129 | |
Deltic Timber Corp. | 226,837 | 15,228 | |
A Schulman Inc. | 580,499 | 14,176 | |
Calgon Carbon Corp. | 1,056,414 | 13,892 | |
* | Koppers Holdings Inc. | 409,381 | 12,580 |
Rayonier Advanced Materials Inc. | 897,934 | 12,203 | |
* | Fairmount Santrol Holdings Inc. | 1,451,363 | 11,190 |
Tredegar Corp. | 575,562 | 9,278 | |
American Vanguard Corp. | 573,486 | 8,665 | |
Haynes International Inc. | 258,364 | 8,288 | |
* | Resolute Forest Products Inc. | 1,213,957 | 6,422 |
* | Century Aluminum Co. | 1,003,653 | 6,353 |
Tronox Ltd. Class A | 1,270,682 | 5,604 | |
FutureFuel Corp. | 496,582 | 5,403 | |
SunCoke Energy Inc. | 665,467 | 3,873 | |
Kronos Worldwide Inc. | 356,612 | 1,872 | |
2,116,995 |
1
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Consumer Goods (7.6%) | |||
Ingredion Inc. | 1,498,335 | 193,900 | |
Leggett & Platt Inc. | 2,795,839 | 142,895 | |
* | Middleby Corp. | 1,197,657 | 138,030 |
* | TreeHouse Foods Inc. | 1,174,570 | 120,570 |
Pinnacle Foods Inc. | 2,431,592 | 112,558 | |
Carter's Inc. | 1,003,928 | 106,888 | |
* | Post Holdings Inc. | 1,271,673 | 105,155 |
* | Hain Celestial Group Inc. | 2,045,493 | 101,763 |
Gentex Corp. | 6,011,542 | 92,878 | |
* | WhiteWave Foods Co. Class A | 1,841,181 | 86,425 |
Brunswick Corp. | 1,886,367 | 85,490 | |
* | Toll Brothers Inc. | 3,156,863 | 84,951 |
*,^ | Herbalife Ltd. | 1,448,669 | 84,791 |
* | Skechers U.S.A. Inc. Class A | 2,766,211 | 82,212 |
Pool Corp. | 831,814 | 78,215 | |
Flowers Foods Inc. | 3,874,434 | 72,646 | |
Goodyear Tire & Rubber Co. | 2,767,642 | 71,018 | |
Energizer Holdings Inc. | 1,286,969 | 66,266 | |
Thor Industries Inc. | 983,115 | 63,647 | |
* | Take-Two Interactive Software Inc. | 1,677,427 | 63,608 |
B&G Foods Inc. | 1,303,818 | 62,844 | |
* | Vista Outdoor Inc. | 1,272,046 | 60,715 |
* | Tempur Sealy International Inc. | 1,077,845 | 59,626 |
* | Helen of Troy Ltd. | 577,616 | 59,402 |
Spectrum Brands Holdings Inc. | 494,547 | 59,004 | |
CalAtlantic Group Inc. | 1,601,340 | 58,785 | |
* | Kate Spade & Co. | 2,663,661 | 54,898 |
Snyder's-Lance Inc. | 1,595,702 | 54,078 | |
* | Tenneco Inc. | 1,132,717 | 52,796 |
Nu Skin Enterprises Inc. Class A | 1,106,734 | 51,120 | |
* | Darling Ingredients Inc. | 3,425,239 | 51,036 |
Lancaster Colony Corp. | 399,432 | 50,972 | |
Tupperware Brands Corp. | 893,533 | 50,288 | |
* | Manitowoc Foodservice Inc. | 2,851,810 | 50,249 |
Visteon Corp. | 707,937 | 46,589 | |
HNI Corp. | 943,916 | 43,883 | |
Vector Group Ltd. | 1,932,377 | 43,324 | |
Drew Industries Inc. | 484,627 | 41,116 | |
Wolverine World Wide Inc. | 1,968,476 | 39,999 | |
* | Steven Madden Ltd. | 1,158,311 | 39,591 |
* | Dorman Products Inc. | 686,998 | 39,296 |
* | Deckers Outdoor Corp. | 674,759 | 38,812 |
*,^ | Blue Buffalo Pet Products Inc. | 1,635,056 | 38,162 |
Fresh Del Monte Produce Inc. | 687,670 | 37,430 | |
Herman Miller Inc. | 1,246,793 | 37,267 | |
J&J Snack Foods Corp. | 310,024 | 36,977 | |
* | G-III Apparel Group Ltd. | 807,004 | 36,896 |
* | Zynga Inc. Class A | 14,625,792 | 36,418 |
* | TRI Pointe Group Inc. | 3,038,328 | 35,913 |
Sanderson Farms Inc. | 400,215 | 34,675 | |
Dean Foods Co. | 1,913,163 | 34,609 | |
Avon Products Inc. | 9,083,534 | 34,336 | |
Cooper Tire & Rubber Co. | 1,149,381 | 34,275 | |
*,^ | Fitbit Inc. Class A | 2,749,556 | 33,600 |
Columbia Sportswear Co. | 580,894 | 33,425 | |
WD-40 Co. | 283,634 | 33,313 | |
Dana Holding Corp. | 3,078,851 | 32,513 | |
* | Tumi Holdings Inc. | 1,193,789 | 31,922 |
* | Boston Beer Co. Inc. Class A | 184,125 | 31,491 |
* | Meritage Homes Corp. | 791,030 | 29,695 |
La-Z-Boy Inc. | 1,038,480 | 28,890 | |
^ | Cal-Maine Foods Inc. | 591,767 | 26,227 |
* | Gentherm Inc. | 758,272 | 25,971 |
2
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Universal Corp. | 449,222 | 25,938 | |
* | Cooper-Standard Holding Inc. | 322,335 | 25,461 |
*,^ | Wayfair Inc. | 639,807 | 24,952 |
* | Fossil Group Inc. | 851,216 | 24,285 |
KB Home | 1,575,838 | 23,968 | |
Knoll Inc. | 970,100 | 23,554 | |
* | ACCO Brands Corp. | 2,226,993 | 23,005 |
Schweitzer-Mauduit International Inc. | 635,917 | 22,435 | |
Steelcase Inc. Class A | 1,649,004 | 22,377 | |
* | American Axle & Manufacturing Holdings Inc. | 1,512,590 | 21,902 |
Interface Inc. Class A | 1,362,710 | 20,781 | |
MDC Holdings Inc. | 816,069 | 19,863 | |
* | Select Comfort Corp. | 923,190 | 19,738 |
* | TiVo Inc. | 1,936,029 | 19,167 |
* | iRobot Corp. | 543,344 | 19,060 |
Andersons Inc. | 529,345 | 18,813 | |
*,^ | GoPro Inc. Class A | 1,697,761 | 18,353 |
Briggs & Stratton Corp. | 853,282 | 18,072 | |
Oxford Industries Inc. | 312,576 | 17,698 | |
Ethan Allen Interiors Inc. | 520,564 | 17,199 | |
* | Crocs Inc. | 1,452,974 | 16,390 |
^ | Tootsie Roll Industries Inc. | 399,582 | 15,396 |
* | National Beverage Corp. | 242,577 | 15,236 |
* | Central Garden & Pet Co. Class A | 689,275 | 14,964 |
Coca-Cola Bottling Co. Consolidated | 96,926 | 14,294 | |
* | Seaboard Corp. | 4,883 | 14,017 |
Superior Industries International Inc. | 477,705 | 12,793 | |
* | USANA Health Sciences Inc. | 112,586 | 12,545 |
National Presto Industries Inc. | 107,890 | 10,179 | |
Inter Parfums Inc. | 355,004 | 10,142 | |
* | Taylor Morrison Home Corp. Class A | 625,637 | 9,284 |
*,^ | Amplify Snack Brands Inc. | 623,162 | 9,192 |
* | DTS Inc. | 342,903 | 9,070 |
* | Modine Manufacturing Co. | 997,841 | 8,781 |
*,^ | Eastman Kodak Co. | 486,572 | 7,824 |
Phibro Animal Health Corp. Class A | 382,458 | 7,137 | |
* | Revlon Inc. Class A | 217,272 | 6,992 |
Movado Group Inc. | 322,152 | 6,984 | |
*,^ | Iconix Brand Group Inc. | 965,700 | 6,528 |
* | Vera Bradley Inc. | 427,220 | 6,054 |
* | Federal-Mogul Holdings Corp. | 698,141 | 5,802 |
* | Central Garden & Pet Co. | 173,263 | 3,956 |
Metaldyne Performance Group Inc. | 279,706 | 3,846 | |
*,^ | Elizabeth Arden Inc. | 215,163 | 2,961 |
Titan International Inc. | 449,449 | 2,787 | |
* | US Foods Holding Corp. | 59,480 | 1,442 |
* | Vince Holding Corp. | 199,552 | 1,094 |
4,428,645 | |||
Consumer Services (12.4%) | |||
Domino's Pizza Inc. | 1,043,923 | 137,151 | |
KAR Auction Services Inc. | 2,858,497 | 119,314 | |
* | ServiceMaster Global Holdings Inc. | 2,825,266 | 112,446 |
* | JetBlue Airways Corp. | 6,705,131 | 111,037 |
Sabre Corp. | 4,036,913 | 108,149 | |
* | VCA Inc. | 1,598,159 | 108,052 |
Casey's General Stores Inc. | 812,872 | 106,901 | |
TEGNA Inc. | 4,528,778 | 104,932 | |
Vail Resorts Inc. | 754,588 | 104,307 | |
Service Corp. International | 3,830,287 | 103,571 | |
* | Copart Inc. | 2,098,043 | 102,825 |
* | Panera Bread Co. Class A | 468,506 | 99,295 |
* | Burlington Stores Inc. | 1,483,681 | 98,976 |
Dun & Bradstreet Corp. | 754,660 | 91,948 | |
Six Flags Entertainment Corp. | 1,553,160 | 90,006 |
3
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Sally Beauty Holdings Inc. | 3,045,300 | 89,562 |
^ | Cracker Barrel Old Country Store Inc. | 498,322 | 85,447 |
Dunkin' Brands Group Inc. | 1,907,399 | 83,201 | |
* | Rite Aid Corp. | 10,912,855 | 81,737 |
Dick's Sporting Goods Inc. | 1,763,103 | 79,445 | |
Cinemark Holdings Inc. | 2,176,168 | 79,343 | |
* | AMC Networks Inc. Class A | 1,266,247 | 76,507 |
* | Madison Square Garden Co. Class A | 415,027 | 71,596 |
* | Sprouts Farmers Market Inc. | 2,980,564 | 68,255 |
CST Brands Inc. | 1,574,808 | 67,843 | |
* | Spirit Airlines Inc. | 1,482,083 | 66,501 |
* | Live Nation Entertainment Inc. | 2,745,301 | 64,515 |
Tribune Media Co. Class A | 1,627,631 | 63,771 | |
* | Bright Horizons Family Solutions Inc. | 931,514 | 61,769 |
* | DreamWorks Animation SKG Inc. Class A | 1,474,182 | 60,250 |
Texas Roadhouse Inc. Class A | 1,317,304 | 60,069 | |
Rollins Inc. | 2,048,376 | 59,956 | |
Jack in the Box Inc. | 677,305 | 58,194 | |
* | Murphy USA Inc. | 778,986 | 57,770 |
GameStop Corp. Class A | 2,163,628 | 57,509 | |
* | Avis Budget Group Inc. | 1,771,759 | 57,104 |
* | Beacon Roofing Supply Inc. | 1,240,026 | 56,384 |
* | Pandora Media Inc. | 4,523,568 | 56,318 |
* | Michaels Cos. Inc. | 1,943,896 | 55,284 |
* | Buffalo Wild Wings Inc. | 391,924 | 54,458 |
American Eagle Outfitters Inc. | 3,388,580 | 53,980 | |
*,^ | JC Penney Co. Inc. | 6,067,960 | 53,884 |
* | Five Below Inc. | 1,138,266 | 52,827 |
Brinker International Inc. | 1,159,598 | 52,797 | |
John Wiley & Sons Inc. Class A | 1,004,232 | 52,401 | |
*,^ | GrubHub Inc. | 1,675,160 | 52,047 |
* | Starz | 1,738,132 | 52,005 |
Big Lots Inc. | 1,034,116 | 51,820 | |
Dolby Laboratories Inc. Class A | 1,059,343 | 50,690 | |
* | Cabela's Inc. | 994,625 | 49,791 |
Cable One Inc. | 95,598 | 48,890 | |
* | Urban Outfitters Inc. | 1,710,462 | 47,038 |
* | United Natural Foods Inc. | 995,232 | 46,577 |
Cheesecake Factory Inc. | 959,068 | 46,170 | |
AMERCO | 122,430 | 45,856 | |
Graham Holdings Co. Class B | 91,979 | 45,027 | |
Chemed Corp. | 327,429 | 44,632 | |
* | WebMD Health Corp. | 764,625 | 44,432 |
* | Yelp Inc. Class A | 1,415,849 | 42,985 |
Sinclair Broadcast Group Inc. Class A | 1,438,303 | 42,948 | |
Core-Mark Holding Co. Inc. | 914,593 | 42,858 | |
Bloomin' Brands Inc. | 2,396,717 | 42,829 | |
Wendy's Co. | 4,437,951 | 42,693 | |
Allegiant Travel Co. Class A | 275,134 | 41,683 | |
* | Hertz Global Holdings Inc. | 3,755,755 | 41,579 |
Meredith Corp. | 783,019 | 40,647 | |
Monro Muffler Brake Inc. | 637,671 | 40,530 | |
Lions Gate Entertainment Corp. | 1,991,828 | 40,295 | |
* | Hawaiian Holdings Inc. | 1,059,893 | 40,234 |
* | Houghton Mifflin Harcourt Co. | 2,563,938 | 40,074 |
* | Grand Canyon Education Inc. | 975,935 | 38,959 |
PriceSmart Inc. | 411,212 | 38,477 | |
* | Office Depot Inc. | 11,455,738 | 37,919 |
Papa John's International Inc. | 542,649 | 36,900 | |
Interval Leisure Group Inc. | 2,309,052 | 36,714 | |
^ | Regal Entertainment Group Class A | 1,663,962 | 36,674 |
* | Dave & Buster's Entertainment Inc. | 781,814 | 36,581 |
Matthews International Corp. Class A | 652,685 | 36,315 | |
Hillenbrand Inc. | 1,180,402 | 35,459 |
4
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Media General Inc. | 2,048,685 | 35,217 |
Churchill Downs Inc. | 278,073 | 35,137 | |
GNC Holdings Inc. Class A | 1,424,079 | 34,591 | |
* | Acxiom Corp. | 1,539,216 | 33,847 |
Choice Hotels International Inc. | 706,641 | 33,650 | |
Gannett Co. Inc. | 2,428,844 | 33,542 | |
Lithia Motors Inc. Class A | 471,822 | 33,532 | |
Aaron's Inc. | 1,516,627 | 33,199 | |
New York Times Co. Class A | 2,670,829 | 32,317 | |
HSN Inc. | 651,190 | 31,863 | |
*,^ | SolarCity Corp. | 1,331,469 | 31,862 |
* | Shutterfly Inc. | 682,736 | 31,822 |
Time Inc. | 1,909,681 | 31,433 | |
*,^ | Diplomat Pharmacy Inc. | 890,250 | 31,159 |
* | Liberty TripAdvisor Holdings Inc. Class A | 1,418,866 | 31,045 |
DineEquity Inc. | 363,194 | 30,792 | |
* | Boyd Gaming Corp. | 1,633,017 | 30,048 |
Children's Place Inc. | 372,296 | 29,851 | |
Morningstar Inc. | 356,366 | 29,144 | |
^ | Sotheby's | 1,054,103 | 28,882 |
Nexstar Broadcasting Group Inc. Class A | 605,167 | 28,794 | |
* | Stamps.com Inc. | 326,033 | 28,502 |
Chico's FAS Inc. | 2,637,043 | 28,243 | |
DSW Inc. Class A | 1,305,450 | 27,649 | |
* | Groupon Inc. Class A | 8,396,026 | 27,287 |
* | Krispy Kreme Doughnuts Inc. | 1,291,469 | 27,069 |
SkyWest Inc. | 1,016,185 | 26,888 | |
* | Genesco Inc. | 412,469 | 26,526 |
*,^ | Diamond Resorts International Inc. | 870,715 | 26,087 |
* | SUPERVALU Inc. | 5,524,532 | 26,076 |
Sonic Corp. | 957,636 | 25,904 | |
* | Caesars Acquisition Co. Class A | 2,281,536 | 25,599 |
* | Ascena Retail Group Inc. | 3,634,019 | 25,402 |
Penske Automotive Group Inc. | 796,986 | 25,073 | |
Abercrombie & Fitch Co. | 1,406,822 | 25,056 | |
* | Popeyes Louisiana Kitchen Inc. | 455,684 | 24,899 |
Marriott Vacations Worldwide Corp. | 352,398 | 24,136 | |
Dillard's Inc. Class A | 394,750 | 23,922 | |
*,^ | Restoration Hardware Holdings Inc. | 801,690 | 22,992 |
* | Express Inc. | 1,555,780 | 22,574 |
* | comScore Inc. | 941,215 | 22,476 |
Extended Stay America Inc. | 1,472,922 | 22,020 | |
* | Asbury Automotive Group Inc. | 415,038 | 21,889 |
*,^ | Ollie's Bargain Outlet Holdings Inc. | 874,274 | 21,761 |
Group 1 Automotive Inc. | 436,952 | 21,568 | |
* | Penn National Gaming Inc. | 1,530,251 | 21,347 |
DeVry Education Group Inc. | 1,175,634 | 20,973 | |
Caleres Inc. | 863,326 | 20,901 | |
* | Virgin America Inc. | 368,555 | 20,716 |
* | Performance Food Group Co. | 747,566 | 20,117 |
National CineMedia Inc. | 1,298,337 | 20,098 | |
* | La Quinta Holdings Inc. | 1,747,783 | 19,925 |
SeaWorld Entertainment Inc. | 1,383,970 | 19,832 | |
* | Liberty Media Group | 1,043,315 | 19,792 |
Cato Corp. Class A | 513,736 | 19,378 | |
* | EW Scripps Co. Class A | 1,198,077 | 18,978 |
* | BJ's Restaurants Inc. | 427,158 | 18,722 |
Scholastic Corp. | 471,355 | 18,670 | |
* | MSG Networks Inc. | 1,212,766 | 18,604 |
Guess? Inc. | 1,225,075 | 18,437 | |
International Speedway Corp. Class A | 550,627 | 18,418 | |
* | Etsy Inc. | 1,884,663 | 18,074 |
Finish Line Inc. Class A | 879,606 | 17,759 | |
* | Belmond Ltd. Class A | 1,784,944 | 17,671 |
5
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Apollo Education Group Inc. | 1,916,321 | 17,477 |
*,^ | Quotient Technology Inc. | 1,295,634 | 17,374 |
ClubCorp Holdings Inc. | 1,291,528 | 16,790 | |
*,^ | Hibbett Sports Inc. | 474,986 | 16,525 |
New Media Investment Group Inc. | 887,242 | 16,032 | |
^ | Buckle Inc. | 605,212 | 15,729 |
* | Vitamin Shoppe Inc. | 506,157 | 15,473 |
Bob Evans Farms Inc. | 372,016 | 14,118 | |
* | Rush Enterprises Inc. Class A | 653,412 | 14,081 |
Weis Markets Inc. | 278,288 | 14,067 | |
* | Tile Shop Holdings Inc. | 699,059 | 13,897 |
* | Pinnacle Entertainment Inc. | 1,206,851 | 13,372 |
Barnes & Noble Inc. | 1,170,574 | 13,286 | |
Rent-A-Center Inc. | 1,051,309 | 12,910 | |
Capella Education Co. | 244,252 | 12,857 | |
Tailored Brands Inc. | 1,008,706 | 12,770 | |
* | Red Rock Resorts Inc. Class A | 570,883 | 12,548 |
AMC Entertainment Holdings Inc. | 450,774 | 12,446 | |
* | Fiesta Restaurant Group Inc. | 558,587 | 12,183 |
*,^ | Shake Shack Inc. Class A | 326,915 | 11,910 |
Fred's Inc. Class A | 737,221 | 11,877 | |
^ | World Wrestling Entertainment Inc. Class A | 644,635 | 11,868 |
*,^ | Mattress Firm Holding Corp. | 349,496 | 11,726 |
* | Strayer Education Inc. | 208,526 | 10,245 |
*,^ | Planet Fitness Inc. Class A | 530,091 | 10,008 |
* | Scientific Games Corp. Class A | 1,083,907 | 9,961 |
* | Liberty Media Group Class A | 507,376 | 9,711 |
* | Francesca's Holdings Corp. | 826,609 | 9,134 |
* | Smart & Final Stores Inc. | 609,527 | 9,076 |
* | American Public Education Inc. | 319,782 | 8,986 |
Sonic Automotive Inc. Class A | 523,366 | 8,955 | |
* | Regis Corp. | 718,563 | 8,946 |
* | Wingstop Inc. | 325,329 | 8,865 |
* | Biglari Holdings Inc. | 21,418 | 8,639 |
* | K12 Inc. | 689,538 | 8,612 |
* | FTD Cos. Inc. | 343,424 | 8,572 |
Pier 1 Imports Inc. | 1,664,453 | 8,555 | |
*,^ | Lumber Liquidators Holdings Inc. | 530,886 | 8,186 |
*,^ | TrueCar Inc. | 1,038,075 | 8,149 |
*,^ | Caesars Entertainment Corp. | 1,052,852 | 8,096 |
* | Barnes & Noble Education Inc. | 736,400 | 7,474 |
* | Bankrate Inc. | 933,129 | 6,980 |
*,^ | Weight Watchers International Inc. | 592,728 | 6,893 |
* | Party City Holdco Inc. | 491,323 | 6,834 |
* | Potbelly Corp. | 536,682 | 6,730 |
* | Global Eagle Entertainment Inc. | 975,491 | 6,477 |
Blue Nile Inc. | 230,950 | 6,323 | |
*,^ | Sears Holdings Corp. | 440,200 | 5,991 |
* | RetailMeNot Inc. | 766,970 | 5,913 |
*,^ | El Pollo Loco Holdings Inc. | 434,922 | 5,654 |
* | Clean Energy Fuels Corp. | 1,626,714 | 5,645 |
* | Zumiez Inc. | 370,098 | 5,296 |
* | Angie's List Inc. | 787,134 | 5,124 |
*,^ | Lands' End Inc. | 296,800 | 4,873 |
*,^ | Habit Restaurants Inc. Class A | 294,699 | 4,827 |
Speedway Motorsports Inc. | 255,712 | 4,539 | |
Clear Channel Outdoor Holdings Inc. Class A | 721,496 | 4,488 | |
* | Bojangles' Inc. | 184,396 | 3,126 |
*,^ | Conn's Inc. | 411,521 | 3,095 |
* | Rush Enterprises Inc. Class B | 146,991 | 3,056 |
* | Bridgepoint Education Inc. | 379,168 | 2,745 |
*,^ | Noodles & Co. Class A | 265,461 | 2,596 |
* | Ruby Tuesday Inc. | 669,418 | 2,417 |
*,^ | Container Store Group Inc. | 123,704 | 662 |
6
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Stage Stores Inc. | 33,943 | 166 | |
* | Herc Holdings Inc. | 1,496 | 51 |
7,227,639 | |||
Financials (27.0%) | |||
Duke Realty Corp. | 7,200,242 | 191,958 | |
Arthur J Gallagher & Co. | 3,686,704 | 175,487 | |
Regency Centers Corp. | 2,031,682 | 170,113 | |
Mid-America Apartment Communities Inc. | 1,571,603 | 167,219 | |
National Retail Properties Inc. | 2,997,705 | 155,041 | |
WP Carey Inc. | 2,134,422 | 148,172 | |
Apartment Investment & Management Co. | 3,259,449 | 143,937 | |
American Campus Communities Inc. | 2,715,014 | 143,543 | |
Gaming and Leisure Properties Inc. | 3,962,518 | 136,628 | |
Omega Healthcare Investors Inc. | 3,916,502 | 132,965 | |
* | Signature Bank | 1,049,991 | 131,165 |
Spirit Realty Capital Inc. | 9,983,199 | 127,485 | |
Kilroy Realty Corp. | 1,919,798 | 127,263 | |
Equity LifeStyle Properties Inc. | 1,584,748 | 126,859 | |
Liberty Property Trust | 3,051,725 | 121,215 | |
DDR Corp. | 6,464,718 | 117,270 | |
CubeSmart | 3,693,581 | 114,058 | |
Lamar Advertising Co. Class A | 1,715,719 | 113,752 | |
CBOE Holdings Inc. | 1,694,134 | 112,863 | |
Forest City Realty Trust Inc. Class A | 5,028,585 | 112,188 | |
MarketAxess Holdings Inc. | 742,822 | 108,006 | |
Highwoods Properties Inc. | 2,027,460 | 107,050 | |
EPR Properties | 1,323,725 | 106,798 | |
American Financial Group Inc. | 1,443,760 | 106,737 | |
* | Liberty Ventures Class A | 2,811,157 | 104,210 |
Douglas Emmett Inc. | 2,922,491 | 103,807 | |
Senior Housing Properties Trust | 4,942,594 | 102,954 | |
* | SVB Financial Group | 1,078,271 | 102,608 |
East West Bancorp Inc. | 2,999,084 | 102,509 | |
RenaissanceRe Holdings Ltd. | 852,023 | 100,062 | |
Old Republic International Corp. | 5,183,896 | 99,997 | |
Sovran Self Storage Inc. | 945,891 | 99,243 | |
Starwood Property Trust Inc. | 4,699,200 | 97,367 | |
Weingarten Realty Investors | 2,350,554 | 95,950 | |
PacWest Bancorp | 2,376,693 | 94,545 | |
Sun Communities Inc. | 1,214,604 | 93,087 | |
STORE Capital Corp. | 3,155,934 | 92,942 | |
Healthcare Trust of America Inc. Class A | 2,843,623 | 91,963 | |
First American Financial Corp. | 2,280,694 | 91,729 | |
Communications Sales & Leasing Inc. | 3,143,632 | 90,851 | |
Hospitality Properties Trust | 3,154,198 | 90,841 | |
* | Liberty Broadband Corp. | 1,511,841 | 90,710 |
DCT Industrial Trust Inc. | 1,871,257 | 89,895 | |
Endurance Specialty Holdings Ltd. | 1,331,746 | 89,440 | |
Taubman Centers Inc. | 1,193,173 | 88,533 | |
CyrusOne Inc. | 1,573,745 | 87,595 | |
Brown & Brown Inc. | 2,331,537 | 87,363 | |
Corrections Corp. of America | 2,445,148 | 85,629 | |
* | Howard Hughes Corp. | 745,934 | 85,275 |
* | Alleghany Corp. | 152,621 | 83,877 |
Healthcare Realty Trust Inc. | 2,386,262 | 83,495 | |
Retail Properties of America Inc. | 4,939,912 | 83,485 | |
Commerce Bancshares Inc. | 1,708,139 | 81,820 | |
Gramercy Property Trust | 8,775,529 | 80,910 | |
Tanger Factory Outlet Centers Inc. | 2,000,778 | 80,391 | |
Eaton Vance Corp. | 2,268,374 | 80,164 | |
Validus Holdings Ltd. | 1,612,310 | 78,342 | |
*,^ | Zillow Group Inc. | 2,112,340 | 76,636 |
* | Equity Commonwealth | 2,612,122 | 76,091 |
7
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Hanover Insurance Group Inc. | 894,086 | 75,658 | |
Medical Properties Trust Inc. | 4,950,930 | 75,304 | |
Cullen/Frost Bankers Inc. | 1,161,262 | 74,007 | |
DuPont Fabros Technology Inc. | 1,548,379 | 73,610 | |
Investors Bancorp Inc. | 6,641,296 | 73,586 | |
First Niagara Financial Group Inc. | 7,386,336 | 71,943 | |
Synovus Financial Corp. | 2,481,505 | 71,939 | |
Umpqua Holdings Corp. | 4,588,050 | 70,977 | |
Assured Guaranty Ltd. | 2,796,475 | 70,947 | |
American Homes 4 Rent Class A | 3,462,341 | 70,909 | |
FirstMerit Corp. | 3,464,848 | 70,232 | |
Prosperity Bancshares Inc. | 1,375,145 | 70,119 | |
Outfront Media Inc. | 2,870,501 | 69,380 | |
PrivateBancorp Inc. | 1,569,657 | 69,112 | |
Post Properties Inc. | 1,113,272 | 67,965 | |
First Industrial Realty Trust Inc. | 2,431,989 | 67,658 | |
Rayonier Inc. | 2,556,383 | 67,079 | |
First Horizon National Corp. | 4,840,078 | 66,696 | |
BankUnited Inc. | 2,167,435 | 66,584 | |
New Residential Investment Corp. | 4,796,885 | 66,389 | |
Piedmont Office Realty Trust Inc. Class A | 3,020,382 | 65,059 | |
CNO Financial Group Inc. | 3,725,367 | 65,045 | |
Apple Hospitality REIT Inc. | 3,453,615 | 64,962 | |
Webster Financial Corp. | 1,907,840 | 64,771 | |
Bank of the Ozarks Inc. | 1,699,500 | 63,765 | |
Education Realty Trust Inc. | 1,374,459 | 63,418 | |
* | Western Alliance Bancorp | 1,938,939 | 63,306 |
Popular Inc. | 2,158,254 | 63,237 | |
Allied World Assurance Co. Holdings AG | 1,772,806 | 62,296 | |
White Mountains Insurance Group Ltd. | 73,782 | 62,124 | |
Two Harbors Investment Corp. | 7,234,034 | 61,923 | |
Equity One Inc. | 1,922,280 | 61,859 | |
Urban Edge Properties | 2,068,421 | 61,763 | |
Bank of Hawaii Corp. | 895,889 | 61,637 | |
Brandywine Realty Trust | 3,642,650 | 61,197 | |
RLI Corp. | 863,523 | 59,393 | |
ProAssurance Corp. | 1,107,181 | 59,290 | |
Physicians Realty Trust | 2,795,765 | 58,739 | |
Aspen Insurance Holdings Ltd. | 1,263,922 | 58,621 | |
Chimera Investment Corp. | 3,711,921 | 58,277 | |
Corporate Office Properties Trust | 1,970,059 | 58,255 | |
Legg Mason Inc. | 1,974,422 | 58,226 | |
National Health Investors Inc. | 759,859 | 57,058 | |
Paramount Group Inc. | 3,546,777 | 56,536 | |
MFA Financial Inc. | 7,723,233 | 56,148 | |
Federated Investors Inc. Class B | 1,947,651 | 56,053 | |
Primerica Inc. | 979,200 | 56,049 | |
Assurant Inc. | 644,638 | 55,639 | |
LaSalle Hotel Properties | 2,353,120 | 55,487 | |
Columbia Property Trust Inc. | 2,569,774 | 54,993 | |
Wintrust Financial Corp. | 1,074,040 | 54,776 | |
FNB Corp. | 4,366,767 | 54,759 | |
Sunstone Hotel Investors Inc. | 4,507,847 | 54,410 | |
CoreSite Realty Corp. | 611,338 | 54,220 | |
Associated Banc-Corp | 3,124,823 | 53,591 | |
Acadia Realty Trust | 1,490,424 | 52,940 | |
RLJ Lodging Trust | 2,467,811 | 52,935 | |
MB Financial Inc. | 1,456,145 | 52,829 | |
United Bankshares Inc. | 1,378,117 | 51,693 | |
Hudson Pacific Properties Inc. | 1,771,369 | 51,689 | |
Blackstone Mortgage Trust Inc. Class A | 1,856,917 | 51,381 | |
IBERIABANK Corp. | 858,166 | 51,258 | |
GEO Group Inc. | 1,482,348 | 50,667 | |
Home BancShares Inc. | 2,483,488 | 49,148 |
8
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
AmTrust Financial Services Inc. | 1,990,310 | 48,763 | |
Fulton Financial Corp. | 3,610,402 | 48,740 | |
Kite Realty Group Trust | 1,735,845 | 48,656 | |
Washington REIT | 1,518,391 | 47,769 | |
Erie Indemnity Co. Class A | 480,053 | 47,688 | |
UMB Financial Corp. | 875,445 | 46,582 | |
Radian Group Inc. | 4,457,079 | 46,443 | |
QTS Realty Trust Inc. Class A | 827,753 | 46,338 | |
Washington Federal Inc. | 1,895,059 | 45,974 | |
Valley National Bancorp | 5,029,811 | 45,872 | |
Care Capital Properties Inc. | 1,747,144 | 45,793 | |
Ryman Hospitality Properties Inc. | 901,401 | 45,656 | |
Cousins Properties Inc. | 4,373,024 | 45,479 | |
Retail Opportunity Investments Corp. | 2,094,225 | 45,382 | |
Mack-Cali Realty Corp. | 1,679,125 | 45,336 | |
Interactive Brokers Group Inc. | 1,265,317 | 44,792 | |
* | Texas Capital Bancshares Inc. | 955,476 | 44,678 |
EastGroup Properties Inc. | 641,275 | 44,197 | |
Cathay General Bancorp | 1,558,925 | 43,962 | |
Selective Insurance Group Inc. | 1,139,758 | 43,550 | |
WP Glimcher Inc. | 3,856,997 | 43,160 | |
NorthStar Realty Finance Corp. | 3,757,091 | 42,944 | |
^ | First Financial Bankshares Inc. | 1,306,149 | 42,829 |
Janus Capital Group Inc. | 3,074,204 | 42,793 | |
* | MGIC Investment Corp. | 7,092,543 | 42,201 |
Glacier Bancorp Inc. | 1,584,853 | 42,125 | |
Hancock Holding Co. | 1,613,356 | 42,125 | |
PS Business Parks Inc. | 394,575 | 41,857 | |
First Citizens BancShares Inc. Class A | 160,209 | 41,480 | |
* | Stifel Financial Corp. | 1,314,369 | 41,337 |
Navient Corp. | 3,439,523 | 41,102 | |
LTC Properties Inc. | 789,174 | 40,824 | |
Pinnacle Financial Partners Inc. | 831,439 | 40,616 | |
Sterling Bancorp | 2,581,874 | 40,535 | |
TCF Financial Corp. | 3,204,137 | 40,532 | |
BancorpSouth Inc. | 1,768,999 | 40,139 | |
Lexington Realty Trust | 3,913,287 | 39,563 | |
Pebblebrook Hotel Trust | 1,499,784 | 39,369 | |
* | Blackhawk Network Holdings Inc. | 1,168,467 | 39,132 |
*,^ | Zillow Group Inc. Class A | 1,059,040 | 38,814 |
Great Western Bancorp Inc. | 1,217,156 | 38,389 | |
NorthStar Asset Management Group Inc. | 3,738,224 | 38,167 | |
DiamondRock Hospitality Co. | 4,180,279 | 37,748 | |
Xenia Hotels & Resorts Inc. | 2,246,996 | 37,705 | |
American National Insurance Co. | 328,152 | 37,130 | |
BGC Partners Inc. Class A | 4,238,689 | 36,919 | |
Kennedy-Wilson Holdings Inc. | 1,894,092 | 35,912 | |
Community Bank System Inc. | 872,131 | 35,836 | |
Capitol Federal Financial Inc. | 2,568,566 | 35,831 | |
Monogram Residential Trust Inc. | 3,474,945 | 35,479 | |
Alexander & Baldwin Inc. | 969,814 | 35,049 | |
CVB Financial Corp. | 2,133,187 | 34,963 | |
Colony Capital Inc. Class A | 2,238,463 | 34,360 | |
Government Properties Income Trust | 1,483,074 | 34,200 | |
American Assets Trust Inc. | 803,312 | 34,093 | |
Select Income REIT | 1,304,494 | 33,904 | |
Columbia Banking System Inc. | 1,207,748 | 33,889 | |
STAG Industrial Inc. | 1,421,811 | 33,853 | |
LPL Financial Holdings Inc. | 1,483,379 | 33,421 | |
Trustmark Corp. | 1,339,296 | 33,281 | |
CBL & Associates Properties Inc. | 3,559,411 | 33,138 | |
* | SLM Corp. | 5,297,256 | 32,737 |
South State Corp. | 477,803 | 32,514 | |
Hatteras Financial Corp. | 1,971,223 | 32,328 |
9
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Hilltop Holdings Inc. | 1,539,930 | 32,323 |
Ramco-Gershenson Properties Trust | 1,645,044 | 32,259 | |
Colony Starwood Homes | 1,058,071 | 32,187 | |
Invesco Mortgage Capital Inc. | 2,326,502 | 31,850 | |
New York REIT Inc. | 3,434,921 | 31,773 | |
* | HRG Group Inc. | 2,291,256 | 31,459 |
*,^ | Credit Acceptance Corp. | 169,304 | 31,335 |
Evercore Partners Inc. Class A | 703,031 | 31,067 | |
Argo Group International Holdings Ltd. | 596,314 | 30,949 | |
Mercury General Corp. | 575,019 | 30,568 | |
International Bancshares Corp. | 1,168,951 | 30,498 | |
* | Eagle Bancorp Inc. | 627,565 | 30,192 |
* | Enstar Group Ltd. | 185,088 | 29,982 |
Northwest Bancshares Inc. | 2,013,971 | 29,867 | |
Old National Bancorp | 2,373,311 | 29,738 | |
First Midwest Bancorp Inc. | 1,688,307 | 29,647 | |
Chemical Financial Corp. | 794,151 | 29,614 | |
* | Essent Group Ltd. | 1,352,957 | 29,508 |
Pennsylvania REIT | 1,373,685 | 29,466 | |
Parkway Properties Inc. | 1,743,991 | 29,177 | |
Astoria Financial Corp. | 1,900,213 | 29,130 | |
*,^ | LendingClub Corp. | 6,764,993 | 29,089 |
Chesapeake Lodging Trust | 1,250,630 | 29,077 | |
EverBank Financial Corp. | 1,954,617 | 29,046 | |
Potlatch Corp. | 846,792 | 28,876 | |
Financial Engines Inc. | 1,110,924 | 28,740 | |
Horace Mann Educators Corp. | 833,221 | 28,155 | |
Global Net Lease Inc. | 3,516,197 | 27,954 | |
Waddell & Reed Financial Inc. Class A | 1,606,802 | 27,669 | |
First Cash Financial Services Inc. | 528,996 | 27,153 | |
Empire State Realty Trust Inc. | 1,408,480 | 26,747 | |
* | Genworth Financial Inc. Class A | 10,343,704 | 26,687 |
Sabra Health Care REIT Inc. | 1,288,215 | 26,582 | |
CYS Investments Inc. | 3,154,441 | 26,403 | |
Banner Corp. | 616,652 | 26,232 | |
^ | BOK Financial Corp. | 412,254 | 25,848 |
* | HealthEquity Inc. | 844,243 | 25,652 |
* | OneMain Holdings Inc. Class A | 1,121,877 | 25,601 |
NBT Bancorp Inc. | 892,233 | 25,545 | |
Talmer Bancorp Inc. Class A | 1,326,790 | 25,435 | |
* | FCB Financial Holdings Inc. Class A | 733,243 | 24,930 |
Park National Corp. | 270,614 | 24,837 | |
^ | Westamerica Bancorporation | 503,758 | 24,815 |
Kemper Corp. | 798,177 | 24,728 | |
Provident Financial Services Inc. | 1,237,033 | 24,295 | |
Franklin Street Properties Corp. | 1,977,008 | 24,258 | |
^ | Seritage Growth Properties Class A | 484,523 | 24,149 |
First Financial Bancorp | 1,218,997 | 23,709 | |
Independent Bank Corp. | 518,620 | 23,701 | |
^ | WisdomTree Investments Inc. | 2,414,619 | 23,639 |
Navigators Group Inc. | 256,374 | 23,579 | |
WesBanco Inc. | 757,825 | 23,530 | |
BBCN Bancorp Inc. | 1,573,409 | 23,475 | |
American Equity Investment Life Holding Co. | 1,630,887 | 23,240 | |
LegacyTexas Financial Group Inc. | 842,973 | 22,684 | |
Artisan Partners Asset Management Inc. Class A | 816,865 | 22,611 | |
Redwood Trust Inc. | 1,601,880 | 22,122 | |
* | PRA Group Inc. | 916,040 | 22,113 |
Kearny Financial Corp. | 1,751,963 | 22,040 | |
PennyMac Mortgage Investment Trust | 1,356,210 | 22,011 | |
National General Holdings Corp. | 989,735 | 21,200 | |
HFF Inc. Class A | 713,094 | 20,594 | |
TFS Financial Corp. | 1,194,233 | 20,565 | |
NRG Yield Inc. | 1,310,051 | 20,424 |
10
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Cash America International Inc. | 474,628 | 20,229 | |
* | Green Dot Corp. Class A | 850,252 | 19,547 |
Capstead Mortgage Corp. | 1,994,405 | 19,346 | |
Boston Private Financial Holdings Inc. | 1,633,387 | 19,241 | |
Tompkins Financial Corp. | 295,960 | 19,237 | |
* | St. Joe Co. | 1,083,045 | 19,192 |
* | Black Knight Financial Services Inc. Class A | 503,679 | 18,938 |
Employers Holdings Inc. | 641,402 | 18,613 | |
* | MBIA Inc. | 2,715,600 | 18,548 |
Safety Insurance Group Inc. | 299,163 | 18,422 | |
New Senior Investment Group Inc. | 1,709,025 | 18,252 | |
* | Beneficial Bancorp Inc. | 1,413,813 | 17,984 |
Infinity Property & Casualty Corp. | 219,230 | 17,683 | |
Cohen & Steers Inc. | 429,746 | 17,379 | |
Alexander's Inc. | 42,367 | 17,338 | |
FelCor Lodging Trust Inc. | 2,751,572 | 17,142 | |
First Commonwealth Financial Corp. | 1,849,001 | 17,011 | |
S&T Bancorp Inc. | 688,523 | 16,834 | |
CareTrust REIT Inc. | 1,207,328 | 16,637 | |
Berkshire Hills Bancorp Inc. | 614,845 | 16,552 | |
Investors Real Estate Trust | 2,511,758 | 16,251 | |
* | KCG Holdings Inc. Class A | 1,186,152 | 15,776 |
Nelnet Inc. Class A | 451,694 | 15,696 | |
United Fire Group Inc. | 369,754 | 15,689 | |
* | FNFV Group | 1,361,315 | 15,614 |
* | Liberty Broadband Corp. Class A | 259,602 | 15,420 |
Brookline Bancorp Inc. | 1,390,600 | 15,338 | |
^ | ARMOUR Residential REIT Inc. | 764,869 | 15,297 |
Maiden Holdings Ltd. | 1,234,196 | 15,107 | |
American Capital Mortgage Investment Corp. | 954,760 | 15,076 | |
Hersha Hospitality Trust Class A | 873,244 | 14,976 | |
Saul Centers Inc. | 241,664 | 14,913 | |
State Bank Financial Corp. | 725,975 | 14,774 | |
* | iStar Inc. | 1,507,017 | 14,452 |
Central Pacific Financial Corp. | 611,852 | 14,440 | |
Rouse Properties Inc. | 785,584 | 14,337 | |
Universal Health Realty Income Trust | 250,255 | 14,310 | |
City Holding Co. | 301,942 | 13,729 | |
Capital Bank Financial Corp. | 472,878 | 13,619 | |
Simmons First National Corp. Class A | 285,304 | 13,177 | |
* | Walker & Dunlop Inc. | 574,896 | 13,096 |
* | Third Point Reinsurance Ltd. | 1,103,285 | 12,930 |
Oritani Financial Corp. | 799,270 | 12,780 | |
Northfield Bancorp Inc. | 855,243 | 12,683 | |
FBL Financial Group Inc. Class A | 207,111 | 12,565 | |
* | Greenlight Capital Re Ltd. Class A | 611,780 | 12,333 |
United Community Banks Inc. | 658,234 | 12,039 | |
* | Piper Jaffray Cos. | 318,860 | 12,021 |
National Bank Holdings Corp. Class A | 574,749 | 11,702 | |
Virtus Investment Partners Inc. | 164,320 | 11,696 | |
* | Santander Consumer USA Holdings Inc. | 1,120,809 | 11,578 |
Urstadt Biddle Properties Inc. Class A | 463,214 | 11,478 | |
Silver Bay Realty Trust Corp. | 668,147 | 11,379 | |
Getty Realty Corp. | 524,380 | 11,248 | |
InfraREIT Inc. | 638,748 | 11,204 | |
* | Encore Capital Group Inc. | 475,434 | 11,187 |
First Potomac Realty Trust | 1,199,950 | 11,040 | |
NRG Yield Inc. Class A | 721,590 | 10,983 | |
Investment Technology Group Inc. | 651,785 | 10,898 | |
* | First BanCorp | 2,689,929 | 10,679 |
Dime Community Bancshares Inc. | 626,583 | 10,658 | |
* | Ambac Financial Group Inc. | 610,464 | 10,048 |
* | Flagstar Bancorp Inc. | 408,777 | 9,978 |
*,^ | BofI Holding Inc. | 561,393 | 9,942 |
11
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
BancFirst Corp. | 160,608 | 9,688 | |
Ladder Capital Corp. | 789,276 | 9,629 | |
Moelis & Co. Class A | 422,693 | 9,511 | |
Anworth Mortgage Asset Corp. | 1,992,165 | 9,363 | |
Altisource Residential Corp. | 1,016,644 | 9,343 | |
Virtu Financial Inc. Class A | 513,358 | 9,240 | |
National Western Life Group Inc. Class A | 46,495 | 9,079 | |
Ashford Hospitality Trust Inc. | 1,679,783 | 9,020 | |
AG Mortgage Investment Trust Inc. | 588,432 | 8,497 | |
Greenhill & Co. Inc. | 523,774 | 8,433 | |
*,^ | Nationstar Mortgage Holdings Inc. | 743,646 | 8,373 |
* | Marcus & Millichap Inc. | 314,543 | 7,993 |
* | Forestar Group Inc. | 669,358 | 7,959 |
Resource Capital Corp. | 613,968 | 7,896 | |
OFG Bancorp | 921,974 | 7,652 | |
Ashford Hospitality Prime Inc. | 528,928 | 7,479 | |
* | Tejon Ranch Co. | 299,408 | 7,078 |
State Auto Financial Corp. | 299,801 | 6,569 | |
OneBeacon Insurance Group Ltd. Class A | 449,989 | 6,210 | |
* | Altisource Portfolio Solutions SA | 209,828 | 5,842 |
Fidelity & Guaranty Life | 242,890 | 5,630 | |
Houlihan Lokey Inc. | 249,749 | 5,587 | |
* | World Acceptance Corp. | 120,436 | 5,492 |
Newcastle Investment Corp. | 1,168,026 | 5,361 | |
* | PennyMac Financial Services Inc. Class A | 409,330 | 5,113 |
*,^ | On Deck Capital Inc. | 795,399 | 4,096 |
RMR Group Inc. Class A | 123,916 | 3,838 | |
* | EZCORP Inc. Class A | 501,569 | 3,792 |
* | MoneyGram International Inc. | 551,706 | 3,779 |
* | Ocwen Financial Corp. | 1,941,209 | 3,319 |
* | NewStar Financial Inc. | 387,514 | 3,263 |
GAMCO Investors Inc. Class A | 88,155 | 2,889 | |
Associated Capital Group Inc. Class A | 90,576 | 2,598 | |
Urstadt Biddle Properties Inc. | 60,433 | 1,322 | |
*,^ | Walter Investment Management Corp. | 276,660 | 764 |
* | Tejon Ranch Co. Warrants Exp. 08/31/2016 | 37,571 | — |
15,771,864 | |||
Health Care (9.3%) | |||
Teleflex Inc. | 907,449 | 160,900 | |
* | MEDNAX Inc. | 1,936,204 | 140,239 |
* | DexCom Inc. | 1,647,585 | 130,703 |
STERIS plc | 1,787,838 | 122,914 | |
* | Align Technology Inc. | 1,502,072 | 120,992 |
West Pharmaceutical Services Inc. | 1,520,998 | 115,413 | |
* | WellCare Health Plans Inc. | 921,025 | 98,808 |
* | United Therapeutics Corp. | 927,256 | 98,215 |
* | Amsurg Corp. | 1,140,527 | 88,436 |
Bio-Techne Corp. | 774,567 | 87,348 | |
* | ABIOMED Inc. | 795,026 | 86,888 |
* | Seattle Genetics Inc. | 2,042,147 | 82,523 |
* | Neurocrine Biosciences Inc. | 1,803,670 | 81,977 |
* | Charles River Laboratories International Inc. | 981,989 | 80,955 |
* | Acadia Healthcare Co. Inc. | 1,455,784 | 80,650 |
* | Alere Inc. | 1,801,092 | 75,070 |
* | PAREXEL International Corp. | 1,100,809 | 69,219 |
HealthSouth Corp. | 1,779,811 | 69,092 | |
*,^ | OPKO Health Inc. | 6,836,435 | 63,852 |
*,^ | Juno Therapeutics Inc. | 1,647,473 | 63,329 |
* | NuVasive Inc. | 1,037,199 | 61,942 |
Hill-Rom Holdings Inc. | 1,224,720 | 61,787 | |
* | Bio-Rad Laboratories Inc. Class A | 429,068 | 61,365 |
*,^ | ACADIA Pharmaceuticals Inc. | 1,884,275 | 61,164 |
* | Prestige Brands Holdings Inc. | 1,098,064 | 60,833 |
* | Brookdale Senior Living Inc. | 3,867,301 | 59,711 |
12
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Healthcare Services Group Inc. | 1,430,618 | 59,199 | |
* | LifePoint Health Inc. | 903,554 | 59,065 |
* | Ionis Pharmaceuticals Inc. | 2,513,880 | 58,548 |
* | Team Health Holdings Inc. | 1,385,284 | 56,339 |
* | TESARO Inc. | 620,213 | 52,129 |
* | Catalent Inc. | 2,205,439 | 50,703 |
Bruker Corp. | 2,184,342 | 49,672 | |
* | Akorn Inc. | 1,739,976 | 49,563 |
* | Horizon Pharma plc | 3,003,847 | 49,473 |
* | Integra LifeSciences Holdings Corp. | 619,772 | 49,445 |
Owens & Minor Inc. | 1,306,984 | 48,855 | |
* | Masimo Corp. | 917,588 | 48,187 |
Cantel Medical Corp. | 694,357 | 47,723 | |
*,^ | Intercept Pharmaceuticals Inc. | 332,832 | 47,488 |
* | VWR Corp. | 1,641,910 | 47,451 |
* | Cepheid | 1,517,063 | 46,650 |
* | Medicines Co. | 1,385,515 | 46,595 |
* | Ligand Pharmaceuticals Inc. | 390,048 | 46,521 |
* | Tenet Healthcare Corp. | 1,653,536 | 45,704 |
* | Myriad Genetics Inc. | 1,463,196 | 44,774 |
* | Molina Healthcare Inc. | 883,301 | 44,077 |
* | Impax Laboratories Inc. | 1,459,567 | 42,065 |
* | Neogen Corp. | 742,247 | 41,751 |
*,^ | Novavax Inc. | 5,635,858 | 40,973 |
*,^ | Kite Pharma Inc. | 818,106 | 40,905 |
* | Nektar Therapeutics | 2,836,130 | 40,358 |
*,^ | Exelixis Inc. | 4,764,567 | 37,211 |
* | Wright Medical Group NV | 2,137,860 | 37,135 |
* | Insulet Corp. | 1,191,197 | 36,022 |
* | Ultragenyx Pharmaceutical Inc. | 731,588 | 35,782 |
* | Ironwood Pharmaceuticals Inc. Class A | 2,674,093 | 34,964 |
* | ICU Medical Inc. | 301,318 | 33,974 |
* | Magellan Health Inc. | 516,059 | 33,941 |
* | Globus Medical Inc. | 1,418,329 | 33,799 |
* | Bluebird Bio Inc. | 770,298 | 33,346 |
*,^ | Nevro Corp. | 442,164 | 32,614 |
* | Endo International plc | 2,085,498 | 32,513 |
* | INC Research Holdings Inc. Class A | 844,422 | 32,198 |
* | Ophthotech Corp. | 626,621 | 31,976 |
* | Halyard Health Inc. | 973,443 | 31,656 |
* | HMS Holdings Corp. | 1,755,047 | 30,906 |
* | Haemonetics Corp. | 1,055,522 | 30,600 |
* | Penumbra Inc. | 511,276 | 30,421 |
* | Amedisys Inc. | 589,632 | 29,765 |
* | NxStage Medical Inc. | 1,340,096 | 29,053 |
* | Radius Health Inc. | 759,738 | 27,920 |
* | Surgical Care Affiliates Inc. | 581,725 | 27,731 |
*,^ | Intrexon Corp. | 1,106,803 | 27,238 |
* | Community Health Systems Inc. | 2,243,511 | 27,034 |
* | ARIAD Pharmaceuticals Inc. | 3,582,178 | 26,472 |
*,^ | Agios Pharmaceuticals Inc. | 629,748 | 26,383 |
* | PRA Health Sciences Inc. | 630,278 | 26,320 |
* | Intra-Cellular Therapies Inc. Class A | 674,933 | 26,201 |
* | Air Methods Corp. | 718,766 | 25,753 |
CONMED Corp. | 519,855 | 24,813 | |
* | Pacira Pharmaceuticals Inc. | 734,955 | 24,790 |
*,^ | Exact Sciences Corp. | 2,019,968 | 24,745 |
* | Acorda Therapeutics Inc. | 958,862 | 24,456 |
* | Select Medical Holdings Corp. | 2,186,115 | 23,763 |
* | Portola Pharmaceuticals Inc. | 999,064 | 23,578 |
*,^ | Spark Therapeutics Inc. | 436,958 | 22,342 |
* | Alder Biopharmaceuticals Inc. | 884,091 | 22,076 |
Abaxis Inc. | 447,726 | 21,146 | |
* | HeartWare International Inc. | 365,407 | 21,102 |
13
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Ensign Group Inc. | 991,624 | 20,834 | |
Analogic Corp. | 258,539 | 20,538 | |
*,^ | Endologix Inc. | 1,614,882 | 20,121 |
* | Emergent BioSolutions Inc. | 708,772 | 19,931 |
Kindred Healthcare Inc. | 1,684,112 | 19,014 | |
* | Achillion Pharmaceuticals Inc. | 2,418,204 | 18,862 |
* | Halozyme Therapeutics Inc. | 2,144,511 | 18,507 |
* | Merit Medical Systems Inc. | 875,084 | 17,353 |
* | AMAG Pharmaceuticals Inc. | 720,721 | 17,240 |
*,^ | Sarepta Therapeutics Inc. | 898,640 | 17,137 |
* | Puma Biotechnology Inc. | 573,970 | 17,099 |
* | FibroGen Inc. | 1,036,233 | 17,005 |
* | Luminex Corp. | 809,517 | 16,377 |
Meridian Bioscience Inc. | 832,535 | 16,234 | |
*,^ | Innoviva Inc. | 1,532,698 | 16,139 |
* | Sage Therapeutics Inc. | 533,330 | 16,069 |
*,^ | Theravance Biopharma Inc. | 693,539 | 15,736 |
*,^ | Adeptus Health Inc. Class A | 302,416 | 15,623 |
* | Orthofix International NV | 361,226 | 15,316 |
* | Momenta Pharmaceuticals Inc. | 1,320,954 | 14,266 |
* | HealthStream Inc. | 527,165 | 13,980 |
* | TherapeuticsMD Inc. | 1,639,598 | 13,937 |
* | Merrimack Pharmaceuticals Inc. | 2,533,132 | 13,654 |
* | Synergy Pharmaceuticals Inc. | 3,568,452 | 13,560 |
*,^ | Cempra Inc. | 805,598 | 13,284 |
* | LHC Group Inc. | 300,724 | 13,015 |
*,^ | Relypsa Inc. | 701,632 | 12,980 |
*,^ | Lexicon Pharmaceuticals Inc. | 867,900 | 12,454 |
* | Depomed Inc. | 633,311 | 12,426 |
* | Natus Medical Inc. | 328,479 | 12,417 |
National HealthCare Corp. | 191,016 | 12,366 | |
*,^ | Lannett Co. Inc. | 499,814 | 11,891 |
*,^ | Keryx Biopharmaceuticals Inc. | 1,655,070 | 10,957 |
PDL BioPharma Inc. | 3,437,510 | 10,794 | |
*,^ | Seres Therapeutics Inc. | 367,415 | 10,673 |
* | Acceleron Pharma Inc. | 288,397 | 9,800 |
* | Genomic Health Inc. | 376,024 | 9,737 |
* | Quidel Corp. | 534,257 | 9,542 |
*,^ | Clovis Oncology Inc. | 682,630 | 9,366 |
*,^ | Novocure Ltd. | 800,859 | 9,346 |
*,^ | Celldex Therapeutics Inc. | 2,039,565 | 8,954 |
* | CorVel Corp. | 202,027 | 8,724 |
* | Arena Pharmaceuticals Inc. | 5,017,502 | 8,580 |
* | Epizyme Inc. | 835,343 | 8,554 |
* | Spectrum Pharmaceuticals Inc. | 1,287,028 | 8,456 |
* | Accuray Inc. | 1,584,328 | 8,223 |
* | Glaukos Corp. | 269,777 | 7,867 |
Universal American Corp. | 1,023,831 | 7,761 | |
*,^ | Insys Therapeutics Inc. | 591,251 | 7,651 |
Invacare Corp. | 630,537 | 7,648 | |
* | Sagent Pharmaceuticals Inc. | 507,989 | 7,610 |
*,^ | MannKind Corp. | 6,413,476 | 7,440 |
* | Healthways Inc. | 634,191 | 7,325 |
* | Surgery Partners Inc. | 400,778 | 7,174 |
* | Amicus Therapeutics Inc. | 1,312,160 | 7,164 |
*,^ | Teladoc Inc. | 439,823 | 7,046 |
*,^ | Global Blood Therapeutics Inc. | 420,522 | 6,976 |
*,^ | ZIOPHARM Oncology Inc. | 1,223,116 | 6,715 |
*,^ | Natera Inc. | 538,159 | 6,493 |
* | Insmed Inc. | 640,382 | 6,314 |
* | Quorum Health Corp. | 576,568 | 6,175 |
*,^ | Aduro Biotech Inc. | 542,380 | 6,134 |
*,^ | ImmunoGen Inc. | 1,815,928 | 5,593 |
* | American Renal Associates Holdings Inc. | 191,236 | 5,540 |
14
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | PTC Therapeutics Inc. | 672,414 | 4,720 |
* | Aimmune Therapeutics Inc. | 392,774 | 4,250 |
*,^ | ConforMIS Inc. | 604,373 | 4,243 |
*,^ | Editas Medicine Inc. | 151,046 | 3,686 |
*,^ | Intellia Therapeutics Inc. | 148,772 | 3,176 |
*,^ | NantKwest Inc. | 499,897 | 3,109 |
*,^ | Avexis Inc. | 71,314 | 2,711 |
* | Esperion Therapeutics Inc. | 163,426 | 1,615 |
* | Infinity Pharmaceuticals Inc. | 1,019,211 | 1,356 |
5,430,840 | |||
Industrials (19.0%) | |||
Huntington Ingalls Industries Inc. | 978,681 | 164,448 | |
Broadridge Financial Solutions Inc. | 2,460,480 | 160,423 | |
Valspar Corp. | 1,484,885 | 160,412 | |
* | CoStar Group Inc. | 677,493 | 148,141 |
* | HD Supply Holdings Inc. | 4,175,374 | 145,386 |
Jack Henry & Associates Inc. | 1,641,866 | 143,286 | |
Carlisle Cos. Inc. | 1,336,065 | 141,195 | |
Allegion plc | 1,992,610 | 138,347 | |
AO Smith Corp. | 1,549,175 | 136,498 | |
* | Waste Connections Inc. | 1,824,919 | 131,485 |
Packaging Corp. of America | 1,958,755 | 131,099 | |
IDEX Corp. | 1,579,815 | 129,703 | |
Lennox International Inc. | 862,224 | 122,953 | |
PerkinElmer Inc. | 2,269,336 | 118,959 | |
* | Spirit AeroSystems Holdings Inc. Class A | 2,755,207 | 118,474 |
Sonoco Products Co. | 2,097,094 | 104,142 | |
AptarGroup Inc. | 1,314,499 | 104,016 | |
Orbital ATK Inc. | 1,218,815 | 103,770 | |
* | Keysight Technologies Inc. | 3,565,591 | 103,723 |
Bemis Co. Inc. | 1,970,804 | 101,477 | |
* | AECOM | 3,191,661 | 101,399 |
* | Berry Plastics Group Inc. | 2,516,329 | 97,759 |
MDU Resources Group Inc. | 4,064,905 | 97,558 | |
Donaldson Co. Inc. | 2,767,013 | 95,075 | |
Toro Co. | 1,076,687 | 94,964 | |
Graco Inc. | 1,157,553 | 91,435 | |
FEI Co. | 850,432 | 90,894 | |
Nordson Corp. | 1,008,275 | 84,302 | |
Graphic Packaging Holding Co. | 6,702,174 | 84,045 | |
* | Old Dominion Freight Line Inc. | 1,389,342 | 83,791 |
* | Genpact Ltd. | 3,067,160 | 82,323 |
Hexcel Corp. | 1,933,805 | 80,524 | |
Booz Allen Hamilton Holding Corp. Class A | 2,618,332 | 77,607 | |
Lincoln Electric Holdings Inc. | 1,288,893 | 76,148 | |
Chicago Bridge & Iron Co. NV | 2,191,180 | 75,881 | |
Watsco Inc. | 536,868 | 75,532 | |
MAXIMUS Inc. | 1,350,805 | 74,794 | |
RR Donnelley & Sons Co. | 4,357,847 | 73,735 | |
Eagle Materials Inc. | 954,696 | 73,655 | |
Oshkosh Corp. | 1,527,078 | 72,857 | |
Cognex Corp. | 1,681,777 | 72,485 | |
* | WEX Inc. | 805,485 | 71,422 |
* | Euronet Worldwide Inc. | 1,029,169 | 71,208 |
* | CoreLogic Inc. | 1,848,508 | 71,131 |
MSC Industrial Direct Co. Inc. Class A | 1,000,648 | 70,606 | |
Curtiss-Wright Corp. | 833,936 | 70,259 | |
* | Genesee & Wyoming Inc. Class A | 1,189,608 | 70,127 |
World Fuel Services Corp. | 1,473,512 | 69,977 | |
BWX Technologies Inc. | 1,944,609 | 69,559 | |
* | Quanta Services Inc. | 3,000,472 | 69,371 |
Ryder System Inc. | 1,117,764 | 68,340 | |
Deluxe Corp. | 1,018,119 | 67,573 | |
* | Kirby Corp. | 1,065,091 | 66,451 |
15
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Woodward Inc. | 1,144,640 | 65,977 | |
National Instruments Corp. | 2,391,189 | 65,519 | |
* | Teledyne Technologies Inc. | 646,137 | 64,000 |
Jabil Circuit Inc. | 3,382,353 | 62,472 | |
EMCOR Group Inc. | 1,263,440 | 62,237 | |
CLARCOR Inc. | 1,009,426 | 61,403 | |
* | Owens-Illinois Inc. | 3,370,137 | 60,696 |
Valmont Industries Inc. | 448,594 | 60,681 | |
Landstar System Inc. | 880,963 | 60,487 | |
ITT Inc. | 1,875,515 | 59,979 | |
* | Universal Display Corp. | 877,605 | 59,502 |
Crane Co. | 1,031,131 | 58,486 | |
Trinity Industries Inc. | 3,138,787 | 58,287 | |
* | IPG Photonics Corp. | 718,095 | 57,448 |
* | Clean Harbors Inc. | 1,077,610 | 56,154 |
Littelfuse Inc. | 466,695 | 55,159 | |
Air Lease Corp. Class A | 2,033,196 | 54,449 | |
*,^ | XPO Logistics Inc. | 2,060,726 | 54,115 |
EnerSys | 904,082 | 53,766 | |
Belden Inc. | 875,477 | 52,853 | |
* | Louisiana-Pacific Corp. | 2,991,876 | 51,909 |
* | Zebra Technologies Corp. | 1,032,933 | 51,750 |
Regal Beloit Corp. | 931,051 | 51,254 | |
* | USG Corp. | 1,821,403 | 49,105 |
* | Generac Holdings Inc. | 1,384,989 | 48,419 |
* | Colfax Corp. | 1,786,779 | 47,278 |
* | Coherent Inc. | 505,608 | 46,405 |
Timken Co. | 1,484,011 | 45,500 | |
*,^ | Cimpress NV | 491,286 | 45,434 |
* | WESCO International Inc. | 878,393 | 45,228 |
Convergys Corp. | 1,807,336 | 45,183 | |
* | WageWorks Inc. | 754,154 | 45,106 |
* | TransUnion | 1,329,253 | 44,450 |
Terex Corp. | 2,159,175 | 43,853 | |
Joy Global Inc. | 2,038,337 | 43,090 | |
Silgan Holdings Inc. | 817,782 | 42,083 | |
CEB Inc. | 670,396 | 41,350 | |
* | Sanmina Corp. | 1,532,616 | 41,089 |
ABM Industries Inc. | 1,109,200 | 40,464 | |
Covanta Holding Corp. | 2,446,640 | 40,247 | |
* | Masonite International Corp. | 599,236 | 39,633 |
KBR Inc. | 2,964,355 | 39,248 | |
Universal Forest Products Inc. | 422,777 | 39,187 | |
Mueller Industries Inc. | 1,188,890 | 37,902 | |
* | Esterline Technologies Corp. | 610,838 | 37,896 |
Granite Construction Inc. | 824,189 | 37,542 | |
* | Cardtronics Inc. | 941,827 | 37,494 |
GATX Corp. | 851,332 | 37,433 | |
* | Rexnord Corp. | 1,904,978 | 37,395 |
Tetra Tech Inc. | 1,206,389 | 37,090 | |
* | AMN Healthcare Services Inc. | 924,564 | 36,955 |
* | On Assignment Inc. | 999,918 | 36,947 |
* | Moog Inc. Class A | 683,692 | 36,865 |
Kennametal Inc. | 1,658,685 | 36,674 | |
Mueller Water Products Inc. Class A | 3,196,945 | 36,509 | |
Triumph Group Inc. | 1,026,692 | 36,448 | |
HEICO Corp. | 536,519 | 35,845 | |
John Bean Technologies Corp. | 577,821 | 35,374 | |
Barnes Group Inc. | 1,062,622 | 35,194 | |
* | FTI Consulting Inc. | 863,705 | 35,135 |
UniFirst Corp. | 302,470 | 35,002 | |
Vishay Intertechnology Inc. | 2,824,834 | 35,000 | |
Applied Industrial Technologies Inc. | 772,389 | 34,866 | |
MSA Safety Inc. | 663,211 | 34,838 |
16
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | ExlService Holdings Inc. | 661,878 | 34,689 |
* | RBC Bearings Inc. | 477,846 | 34,644 |
AGCO Corp. | 729,631 | 34,387 | |
Simpson Manufacturing Co. Inc. | 856,194 | 34,222 | |
* | KLX Inc. | 1,099,989 | 34,100 |
* | Itron Inc. | 789,936 | 34,046 |
* | Armstrong World Industries Inc. | 867,481 | 33,962 |
HEICO Corp. Class A | 632,525 | 33,935 | |
Watts Water Technologies Inc. Class A | 580,462 | 33,818 | |
Knight Transportation Inc. | 1,254,084 | 33,334 | |
*,^ | Ambarella Inc. | 650,327 | 33,043 |
AZZ Inc. | 540,575 | 32,424 | |
Mobile Mini Inc. | 926,705 | 32,101 | |
* | Anixter International Inc. | 585,627 | 31,202 |
* | Smith & Wesson Holding Corp. | 1,147,044 | 31,177 |
* | MasTec Inc. | 1,372,498 | 30,634 |
* | Advisory Board Co. | 850,791 | 30,109 |
Exponent Inc. | 514,107 | 30,029 | |
* | Plexus Corp. | 692,299 | 29,907 |
G&K Services Inc. Class A | 390,151 | 29,874 | |
Brady Corp. Class A | 971,787 | 29,698 | |
Matson Inc. | 897,848 | 28,991 | |
* | TopBuild Corp. | 800,504 | 28,978 |
* | ExamWorks Group Inc. | 821,657 | 28,635 |
* | Proto Labs Inc. | 493,842 | 28,426 |
Forward Air Corp. | 632,133 | 28,149 | |
* | DigitalGlobe Inc. | 1,307,384 | 27,965 |
* | LifeLock Inc. | 1,762,293 | 27,862 |
* | Trex Co. Inc. | 610,492 | 27,423 |
* | Huron Consulting Group Inc. | 453,382 | 27,393 |
* | Summit Materials Inc. Class A | 1,303,439 | 26,668 |
*,^ | NeuStar Inc. Class A | 1,132,105 | 26,616 |
Otter Tail Corp. | 793,365 | 26,570 | |
Apogee Enterprises Inc. | 569,288 | 26,386 | |
Brink's Co. | 924,063 | 26,327 | |
Actuant Corp. Class A | 1,161,578 | 26,263 | |
* | Imperva Inc. | 604,339 | 25,993 |
* | Hub Group Inc. Class A | 675,150 | 25,905 |
Insperity Inc. | 333,893 | 25,787 | |
* | Swift Transportation Co. | 1,662,946 | 25,626 |
Franklin Electric Co. Inc. | 768,676 | 25,405 | |
Comfort Systems USA Inc. | 779,341 | 25,383 | |
Sturm Ruger & Co. Inc. | 394,712 | 25,265 | |
*,^ | Knowles Corp. | 1,843,097 | 25,214 |
*,^ | Inovalon Holdings Inc. Class A | 1,392,509 | 25,079 |
Methode Electronics Inc. | 729,928 | 24,985 | |
Kaman Corp. | 564,437 | 24,000 | |
Albany International Corp. | 598,198 | 23,886 | |
Essendant Inc. | 772,664 | 23,613 | |
* | Sykes Enterprises Inc. | 798,274 | 23,118 |
* | Rogers Corp. | 374,776 | 22,899 |
AAON Inc. | 827,644 | 22,768 | |
Aircastle Ltd. | 1,147,853 | 22,452 | |
Korn/Ferry International | 1,064,988 | 22,045 | |
Standex International Corp. | 266,430 | 22,015 | |
* | MACOM Technology Solutions Holdings Inc. | 666,728 | 21,989 |
* | OSI Systems Inc. | 373,627 | 21,719 |
* | Benchmark Electronics Inc. | 1,026,312 | 21,706 |
Astec Industries Inc. | 383,525 | 21,535 | |
* | SPX FLOW Inc. | 824,229 | 21,488 |
* | Atlas Air Worldwide Holdings Inc. | 516,457 | 21,392 |
Badger Meter Inc. | 286,832 | 20,947 | |
EVERTEC Inc. | 1,346,466 | 20,924 | |
Werner Enterprises Inc. | 899,724 | 20,667 |
17
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Paylocity Holding Corp. | 477,794 | 20,641 |
* | II-VI Inc. | 1,090,662 | 20,461 |
Cubic Corp. | 505,226 | 20,290 | |
ESCO Technologies Inc. | 507,950 | 20,287 | |
Advanced Drainage Systems Inc. | 735,421 | 20,128 | |
EnPro Industries Inc. | 452,176 | 20,072 | |
* | Greatbatch Inc. | 641,211 | 19,833 |
Tennant Co. | 367,503 | 19,797 | |
CIRCOR International Inc. | 341,404 | 19,457 | |
ManTech International Corp. Class A | 510,541 | 19,309 | |
* | Tutor Perini Corp. | 817,716 | 19,257 |
* | Continental Building Products Inc. | 848,590 | 18,864 |
* | TriNet Group Inc. | 885,231 | 18,404 |
* | Boise Cascade Co. | 800,590 | 18,374 |
Greif Inc. Class A | 481,179 | 17,934 | |
* | Press Ganey Holdings Inc. | 440,550 | 17,336 |
* | Wabash National Corp. | 1,351,183 | 17,160 |
* | Rofin-Sinar Technologies Inc. | 531,557 | 16,978 |
* | TrueBlue Inc. | 884,615 | 16,737 |
Primoris Services Corp. | 860,209 | 16,284 | |
^ | Greenbrier Cos. Inc. | 556,542 | 16,212 |
* | TriMas Corp. | 900,190 | 16,203 |
* | Navigant Consulting Inc. | 993,257 | 16,041 |
AAR Corp. | 687,110 | 16,037 | |
* | Babcock & Wilcox Enterprises Inc. | 1,056,869 | 15,525 |
Encore Wire Corp. | 410,109 | 15,289 | |
Heartland Express Inc. | 868,575 | 15,104 | |
^ | Outerwall Inc. | 359,187 | 15,086 |
* | Wesco Aircraft Holdings Inc. | 1,123,081 | 15,072 |
MTS Systems Corp. | 342,358 | 15,009 | |
* | PHH Corp. | 1,116,535 | 14,872 |
* | Team Inc. | 585,315 | 14,533 |
^ | Lindsay Corp. | 213,501 | 14,488 |
Raven Industries Inc. | 754,787 | 14,296 | |
Sun Hydraulics Corp. | 473,563 | 14,060 | |
Manitowoc Co. Inc. | 2,568,290 | 13,997 | |
Altra Industrial Motion Corp. | 515,261 | 13,902 | |
Quad/Graphics Inc. | 595,591 | 13,871 | |
* | Veeco Instruments Inc. | 831,357 | 13,767 |
* | Meritor Inc. | 1,909,605 | 13,749 |
* | Air Transport Services Group Inc. | 1,059,785 | 13,735 |
McGrath RentCorp | 445,237 | 13,620 | |
* | Aegion Corp. Class A | 695,960 | 13,578 |
* | TASER International Inc. | 544,249 | 13,541 |
Quanex Building Products Corp. | 715,128 | 13,294 | |
* | Headwaters Inc. | 733,509 | 13,159 |
* | Thermon Group Holdings Inc. | 667,786 | 12,828 |
H&E Equipment Services Inc. | 667,446 | 12,701 | |
General Cable Corp. | 969,985 | 12,328 | |
Griffon Corp. | 730,950 | 12,324 | |
* | Aerovironment Inc. | 439,952 | 12,231 |
* | Nortek Inc. | 204,723 | 12,142 |
*,^ | Navistar International Corp. | 1,021,221 | 11,938 |
AVX Corp. | 871,892 | 11,840 | |
* | FARO Technologies Inc. | 347,753 | 11,764 |
Kelly Services Inc. Class A | 611,438 | 11,599 | |
* | SPX Corp. | 778,059 | 11,554 |
* | TTM Technologies Inc. | 1,459,876 | 10,993 |
Harsco Corp. | 1,654,925 | 10,989 | |
Resources Connection Inc. | 725,194 | 10,718 | |
Overseas Shipholding Group Inc. Class A | 971,154 | 10,673 | |
Materion Corp. | 419,363 | 10,383 | |
* | Builders FirstSource Inc. | 859,858 | 9,673 |
Gorman-Rupp Co. | 350,071 | 9,595 |
18
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
TeleTech Holdings Inc. | 351,710 | 9,542 | |
TAL International Group Inc. | 696,809 | 9,344 | |
* | RPX Corp. | 1,007,824 | 9,242 |
Schnitzer Steel Industries Inc. | 519,152 | 9,137 | |
Kforce Inc. | 516,233 | 8,719 | |
* | Mistras Group Inc. | 363,130 | 8,668 |
* | Multi Packaging Solutions International Ltd. | 646,151 | 8,626 |
Hyster-Yale Materials Handling Inc. | 143,283 | 8,524 | |
* | Armstrong Flooring Inc. | 487,152 | 8,257 |
Landauer Inc. | 197,054 | 8,111 | |
^ | Greif Inc. Class B | 143,704 | 7,868 |
ArcBest Corp. | 478,395 | 7,774 | |
* | InnerWorkings Inc. | 841,819 | 6,962 |
TimkenSteel Corp. | 685,088 | 6,591 | |
* | Bazaarvoice Inc. | 1,635,514 | 6,558 |
^ | American Railcar Industries Inc. | 161,630 | 6,380 |
* | DHI Group Inc. | 1,017,495 | 6,339 |
* | Ply Gem Holdings Inc. | 421,902 | 6,147 |
* | Evolent Health Inc. Class A | 312,804 | 6,006 |
* | Astronics Corp. | 175,295 | 5,830 |
Park Electrochemical Corp. | 397,430 | 5,775 | |
^ | Textainer Group Holdings Ltd. | 470,898 | 5,246 |
* | Milacron Holdings Corp. | 347,596 | 5,044 |
* | Roadrunner Transportation Systems Inc. | 634,079 | 4,730 |
* | Monster Worldwide Inc. | 872,045 | 2,084 |
* | Cotiviti Holdings Inc. | 44,610 | 943 |
* | Astronics Corp. Class B | 25,198 | 835 |
* | Nuvectra Corp. | 100,649 | 745 |
Acacia Research Corp. | 84,515 | 372 | |
11,066,170 | |||
Oil & Gas (4.6%) | |||
* | Newfield Exploration Co. | 4,131,157 | 182,515 |
* | Diamondback Energy Inc. | 1,492,392 | 136,121 |
Targa Resources Corp. | 3,175,477 | 133,815 | |
*,^ | Southwestern Energy Co. | 9,962,570 | 125,329 |
QEP Resources Inc. | 4,927,499 | 86,872 | |
^ | Transocean Ltd. | 7,220,966 | 85,857 |
* | Parsley Energy Inc. Class A | 3,106,983 | 84,075 |
* | Gulfport Energy Corp. | 2,608,795 | 81,551 |
* | First Solar Inc. | 1,596,098 | 77,379 |
* | WPX Energy Inc. | 6,788,081 | 63,197 |
Patterson-UTI Energy Inc. | 2,913,928 | 62,125 | |
Oceaneering International Inc. | 2,041,022 | 60,945 | |
Ensco plc Class A | 6,268,626 | 60,868 | |
Superior Energy Services Inc. | 3,151,362 | 58,017 | |
Nabors Industries Ltd. | 5,574,097 | 56,020 | |
* | PDC Energy Inc. | 964,072 | 55,540 |
* | Chesapeake Energy Corp. | 12,823,213 | 54,883 |
Murphy Oil Corp. | 1,702,413 | 54,052 | |
* | Rice Energy Inc. | 2,279,762 | 50,246 |
Energen Corp. | 1,010,180 | 48,701 | |
* | Whiting Petroleum Corp. | 5,238,174 | 48,505 |
PBF Energy Inc. Class A | 2,035,954 | 48,415 | |
* | RSP Permian Inc. | 1,375,107 | 47,977 |
* | Dril-Quip Inc. | 790,046 | 46,162 |
Rowan Cos. plc Class A | 2,611,409 | 46,117 | |
Noble Corp. plc | 5,062,140 | 41,712 | |
* | Carrizo Oil & Gas Inc. | 1,162,199 | 41,665 |
* | NOW Inc. | 2,125,201 | 38,551 |
SM Energy Co. | 1,416,945 | 38,257 | |
* | Oil States International Inc. | 1,070,119 | 35,185 |
SemGroup Corp. Class A | 1,075,274 | 35,011 | |
* | Memorial Resource Development Corp. | 2,150,114 | 34,144 |
* | Oasis Petroleum Inc. | 3,569,739 | 33,341 |
19
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Matador Resources Co. | 1,651,985 | 32,709 |
^ | Diamond Offshore Drilling Inc. | 1,287,383 | 31,322 |
Western Refining Inc. | 1,421,518 | 29,326 | |
*,^ | Laredo Petroleum Inc. | 2,789,510 | 29,234 |
* | MRC Global Inc. | 1,945,432 | 27,645 |
Pattern Energy Group Inc. Class A | 1,169,746 | 26,869 | |
Denbury Resources Inc. | 7,312,857 | 26,253 | |
* | McDermott International Inc. | 5,002,649 | 24,713 |
* | Forum Energy Technologies Inc. | 1,234,158 | 21,363 |
* | SEACOR Holdings Inc. | 324,501 | 18,805 |
*,^ | SunPower Corp. Class A | 1,147,312 | 17,772 |
*,^ | RPC Inc. | 1,130,244 | 17,553 |
^ | Atwood Oceanics Inc. | 1,283,930 | 16,075 |
* | Unit Corp. | 1,018,265 | 15,844 |
* | Chart Industries Inc. | 636,956 | 15,370 |
Delek US Holdings Inc. | 1,096,841 | 14,489 | |
*,^ | Flotek Industries Inc. | 1,067,037 | 14,085 |
* | Helix Energy Solutions Group Inc. | 2,016,605 | 13,632 |
Archrock Inc. | 1,379,746 | 12,997 | |
* | TETRA Technologies Inc. | 1,778,214 | 11,327 |
* | Cobalt International Energy Inc. | 7,336,653 | 9,831 |
* | Newpark Resources Inc. | 1,650,871 | 9,559 |
* | Exterran Corp. | 653,173 | 8,393 |
Bristow Group Inc. | 656,493 | 7,491 | |
Green Plains Inc. | 357,593 | 7,052 | |
Tesco Corp. | 917,888 | 6,141 | |
CVR Energy Inc. | 359,522 | 5,573 | |
* | Hornbeck Offshore Services Inc. | 646,991 | 5,396 |
^ | CARBO Ceramics Inc. | 384,552 | 5,038 |
Alon USA Energy Inc. | 658,593 | 4,268 | |
*,^ | EP Energy Corp. Class A | 793,980 | 4,113 |
* | Sanchez Energy Corp. | 573,690 | 4,050 |
* | Bill Barrett Corp. | 493,719 | 3,155 |
* | Parker Drilling Co. | 1,201,366 | 2,751 |
*,^ | Eclipse Resources Corp. | 809,549 | 2,704 |
*,^ | EXCO Resources Inc. | 1,712,538 | 2,226 |
Tidewater Inc. | 484,777 | 2,138 | |
*,^ | Northern Oil and Gas Inc. | 461,684 | 2,133 |
*,^ | Clayton Williams Energy Inc. | 50,215 | 1,379 |
* | Jones Energy Inc. Class A | 6,034 | 25 |
2,663,949 | |||
Other (0.0%)2 | |||
* | Dyax Corp CVR Exp. 12/31/2019 | 2,940,655 | 3,264 |
* | Leap Wireless International Inc. CVR | 938,827 | 2,366 |
* | Clinical Data Contingent Value Rights | 297,875 | — |
5,630 | |||
Technology (11.1%) | |||
* | Cadence Design Systems Inc. | 6,261,932 | 152,165 |
CDW Corp. | 3,274,518 | 131,243 | |
* | Ultimate Software Group Inc. | 570,956 | 120,066 |
* | Tyler Technologies Inc. | 676,633 | 112,801 |
* | athenahealth Inc. | 817,195 | 112,781 |
Ingram Micro Inc. | 3,090,820 | 107,499 | |
SS&C Technologies Holdings Inc. | 3,506,720 | 98,469 | |
* | Manhattan Associates Inc. | 1,501,486 | 96,290 |
* | CommScope Holding Co. Inc. | 2,995,352 | 92,946 |
* | Guidewire Software Inc. | 1,499,713 | 92,622 |
* | PTC Inc. | 2,385,736 | 89,656 |
Brocade Communications Systems Inc. | 9,751,794 | 89,521 | |
IAC/InterActiveCorp | 1,527,861 | 86,019 | |
* | Fortinet Inc. | 2,679,779 | 84,654 |
Teradyne Inc. | 4,228,523 | 83,260 | |
* | ARRIS International plc | 3,953,013 | 82,855 |
DST Systems Inc. | 690,701 | 80,418 |
20
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Microsemi Corp. | 2,354,075 | 76,931 |
* | ON Semiconductor Corp. | 8,633,085 | 76,144 |
Fair Isaac Corp. | 648,956 | 73,339 | |
Leidos Holdings Inc. | 1,499,863 | 71,798 | |
* | NCR Corp. | 2,578,641 | 71,609 |
Computer Sciences Corp. | 1,436,868 | 71,341 | |
Pitney Bowes Inc. | 3,925,777 | 69,879 | |
* | Aspen Technology Inc. | 1,703,915 | 68,566 |
* | Advanced Micro Devices Inc. | 13,212,582 | 67,913 |
* | Teradata Corp. | 2,705,774 | 67,834 |
Blackbaud Inc. | 988,437 | 67,115 | |
* | ViaSat Inc. | 915,529 | 65,369 |
Cypress Semiconductor Corp. | 6,128,775 | 64,659 | |
* | EPAM Systems Inc. | 1,001,927 | 64,434 |
* | Veeva Systems Inc. Class A | 1,805,362 | 61,599 |
j2 Global Inc. | 962,817 | 60,821 | |
SYNNEX Corp. | 619,765 | 58,766 | |
* | Dycom Industries Inc. | 650,425 | 58,382 |
* | Qlik Technologies Inc. | 1,955,746 | 57,851 |
* | Tableau Software Inc. Class A | 1,145,737 | 56,049 |
* | Arista Networks Inc. | 856,807 | 55,161 |
* | Ellie Mae Inc. | 593,062 | 54,354 |
* | Demandware Inc. | 712,286 | 53,350 |
* | Integrated Device Technology Inc. | 2,642,384 | 53,191 |
* | Medidata Solutions Inc. | 1,132,925 | 53,100 |
* | Tech Data Corp. | 731,029 | 52,524 |
* | Proofpoint Inc. | 820,540 | 51,768 |
Monolithic Power Systems Inc. | 754,823 | 51,570 | |
*,^ | FireEye Inc. | 3,114,881 | 51,302 |
* | Cree Inc. | 2,090,307 | 51,087 |
* | Ciena Corp. | 2,719,734 | 50,995 |
* | Cirrus Logic Inc. | 1,295,273 | 50,244 |
* | Allscripts Healthcare Solutions Inc. | 3,893,620 | 49,449 |
MKS Instruments Inc. | 1,110,965 | 47,838 | |
* | Fairchild Semiconductor International Inc. Class A | 2,386,112 | 47,364 |
* | ACI Worldwide Inc. | 2,426,361 | 47,338 |
Mentor Graphics Corp. | 2,225,737 | 47,319 | |
Lexmark International Inc. Class A | 1,238,685 | 46,760 | |
Science Applications International Corp. | 799,886 | 46,673 | |
* | Rackspace Hosting Inc. | 2,224,477 | 46,403 |
* | CACI International Inc. Class A | 506,249 | 45,770 |
* | NetScout Systems Inc. | 2,051,578 | 45,648 |
* | Cavium Inc. | 1,133,657 | 43,759 |
* | Verint Systems Inc. | 1,294,632 | 42,891 |
* | Zendesk Inc. | 1,623,070 | 42,817 |
* | Entegris Inc. | 2,930,811 | 42,409 |
* | Electronics For Imaging Inc. | 980,469 | 42,199 |
* | Synaptics Inc. | 766,830 | 41,217 |
* | VeriFone Systems Inc. | 2,178,958 | 40,398 |
* | Silicon Laboratories Inc. | 825,571 | 40,238 |
InterDigital Inc. | 719,610 | 40,068 | |
CSRA Inc. | 1,689,029 | 39,574 | |
* | Cornerstone OnDemand Inc. | 1,031,793 | 39,270 |
* | Finisar Corp. | 2,238,377 | 39,194 |
* | EchoStar Corp. Class A | 959,641 | 38,098 |
Intersil Corp. Class A | 2,808,914 | 38,033 | |
* | Paycom Software Inc. | 873,188 | 37,730 |
* | CommVault Systems Inc. | 828,436 | 35,780 |
* | Fleetmatics Group plc | 811,620 | 35,167 |
* | MicroStrategy Inc. Class A | 195,795 | 34,268 |
Cogent Communications Holdings Inc. | 848,692 | 33,999 | |
* | Infinera Corp. | 2,948,077 | 33,254 |
* | Semtech Corp. | 1,359,683 | 32,442 |
* | Viavi Solutions Inc. | 4,848,092 | 32,143 |
21
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Polycom Inc. | 2,827,409 | 31,808 |
* | Syntel Inc. | 697,137 | 31,552 |
* | LogMeIn Inc. | 495,180 | 31,409 |
* | Advanced Energy Industries Inc. | 825,459 | 31,334 |
Tessera Technologies Inc. | 1,021,993 | 31,314 | |
* | NETGEAR Inc. | 642,225 | 30,531 |
Plantronics Inc. | 689,623 | 30,343 | |
Diebold Inc. | 1,217,117 | 30,221 | |
*,^ | 3D Systems Corp. | 2,199,894 | 30,117 |
* | Marketo Inc. | 832,106 | 28,974 |
* | GoDaddy Inc. Class A | 927,600 | 28,932 |
NIC Inc. | 1,303,269 | 28,594 | |
Power Integrations Inc. | 569,525 | 28,516 | |
* | Envestnet Inc. | 844,186 | 28,120 |
* | Rambus Inc. | 2,284,161 | 27,593 |
* | Progress Software Corp. | 987,354 | 27,113 |
* | Synchronoss Technologies Inc. | 837,980 | 26,698 |
CSG Systems International Inc. | 640,990 | 25,838 | |
* | Rovi Corp. | 1,647,035 | 25,760 |
* | QLogic Corp. | 1,724,190 | 25,415 |
* | Cray Inc. | 848,427 | 25,385 |
* | Lumentum Holdings Inc. | 1,048,775 | 25,380 |
* | HubSpot Inc. | 580,522 | 25,206 |
* | BroadSoft Inc. | 610,245 | 25,038 |
* | RealPage Inc. | 1,083,471 | 24,194 |
* | Inphi Corp. | 750,739 | 24,046 |
* | RingCentral Inc. Class A | 1,103,025 | 21,752 |
* | Gigamon Inc. | 581,509 | 21,743 |
^ | Ebix Inc. | 443,294 | 21,234 |
Monotype Imaging Holdings Inc. | 846,131 | 20,840 | |
* | Infoblox Inc. | 1,083,742 | 20,331 |
West Corp. | 1,030,740 | 20,264 | |
Cabot Microelectronics Corp. | 475,284 | 20,124 | |
*,^ | Ubiquiti Networks Inc. | 517,933 | 20,023 |
* | Super Micro Computer Inc. | 802,367 | 19,939 |
* | Insight Enterprises Inc. | 764,057 | 19,865 |
* | ScanSource Inc. | 533,977 | 19,816 |
* | Mercury Systems Inc. | 791,686 | 19,681 |
Pegasystems Inc. | 715,002 | 19,269 | |
ADTRAN Inc. | 1,020,139 | 19,026 | |
* | Web.com Group Inc. | 1,005,733 | 18,284 |
*,^ | Shutterstock Inc. | 397,606 | 18,210 |
* | Bottomline Technologies de Inc. | 806,236 | 17,358 |
* | New Relic Inc. | 568,070 | 16,690 |
Brooks Automation Inc. | 1,357,717 | 15,234 | |
* | Ixia | 1,534,828 | 15,072 |
* | Interactive Intelligence Group Inc. | 366,018 | 15,003 |
* | Diodes Inc. | 753,667 | 14,161 |
* | Cvent Inc. | 396,201 | 14,152 |
* | Endurance International Group Holdings Inc. | 1,463,847 | 13,160 |
Quality Systems Inc. | 1,079,584 | 12,858 | |
* | FormFactor Inc. | 1,374,584 | 12,358 |
*,^ | Match Group Inc. | 815,281 | 12,290 |
* | Ultratech Inc. | 529,085 | 12,153 |
* | Lattice Semiconductor Corp. | 2,243,345 | 12,002 |
* | CEVA Inc. | 424,521 | 11,534 |
* | Xura Inc. | 471,341 | 11,515 |
*,^ | 2U Inc. | 383,807 | 11,288 |
* | InvenSense Inc. | 1,735,576 | 10,639 |
* | Benefitfocus Inc. | 275,869 | 10,516 |
*,^ | Pure Storage Inc. Class A | 959,102 | 10,454 |
* | Applied Micro Circuits Corp. | 1,577,392 | 10,127 |
* | Amkor Technology Inc. | 1,716,412 | 9,869 |
*,^ | Gogo Inc. | 1,166,466 | 9,787 |
22
Vanguard® Small-Cap Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Nimble Storage Inc. | 1,216,059 | 9,680 |
* | Loral Space & Communications Inc. | 266,475 | 9,399 |
^ | Computer Programs & Systems Inc. | 224,602 | 8,966 |
Epiq Systems Inc. | 586,795 | 8,567 | |
* | Sonus Networks Inc. | 984,871 | 8,559 |
*,^ | Hortonworks Inc. | 775,362 | 8,289 |
* | Virtusa Corp. | 277,160 | 8,004 |
* | Blucora Inc. | 768,757 | 7,964 |
*,^ | Square Inc. | 850,568 | 7,698 |
* | Unisys Corp. | 1,034,194 | 7,529 |
Forrester Research Inc. | 203,410 | 7,498 | |
*,^ | Box Inc. | 698,274 | 7,220 |
* | Actua Corp. | 751,339 | 6,785 |
* | LivePerson Inc. | 1,069,653 | 6,782 |
* | Intralinks Holdings Inc. | 1,020,218 | 6,631 |
* | Barracuda Networks Inc. | 430,912 | 6,524 |
* | Calix Inc. | 876,630 | 6,058 |
Comtech Telecommunications Corp. | 458,449 | 5,886 | |
* | Tangoe Inc. | 692,353 | 5,345 |
*,^ | Rapid7 Inc. | 346,513 | 4,359 |
* | Jive Software Inc. | 1,021,433 | 3,841 |
* | ChannelAdvisor Corp. | 237,177 | 3,437 |
* | MobileIron Inc. | 772,817 | 2,357 |
* | SecureWorks Corp. Class A | 165,444 | 2,333 |
* | Castlight Health Inc. Class B | 584,146 | 2,313 |
* | Harmonic Inc. | 798,070 | 2,275 |
* | Systemax Inc. | 266,607 | 2,274 |
* | Acacia Communications Inc. | 14,867 | 594 |
* | SunEdison Inc. | 198,121 | 28 |
* | Piksel Inc. | 241 | — |
6,483,067 | |||
Telecommunications (0.4%) | |||
Telephone & Data Systems Inc. | 1,907,351 | 56,572 | |
Consolidated Communications Holdings Inc. | 1,000,915 | 27,265 | |
* | Vonage Holdings Corp. | 3,998,965 | 24,394 |
* | Cincinnati Bell Inc. | 4,376,782 | 20,002 |
^ | Windstream Holdings Inc. | 2,005,527 | 18,591 |
ATN International Inc. | 217,923 | 16,957 | |
Shenandoah Telecommunications Co. | 402,337 | 15,715 | |
*,^ | Iridium Communications Inc. | 1,688,214 | 14,991 |
EarthLink Holdings Corp. | 2,195,831 | 14,053 | |
* | United States Cellular Corp. | 268,513 | 10,544 |
*,^ | Globalstar Inc. | 8,468,187 | 10,247 |
* | Intelsat SA | 333,399 | 860 |
230,191 | |||
Utilities (5.1%) | |||
Atmos Energy Corp. | 2,127,862 | 173,038 | |
Westar Energy Inc. Class A | 2,948,821 | 165,399 | |
AGL Resources Inc. | 2,498,478 | 164,825 | |
UGI Corp. | 3,594,080 | 162,632 | |
ITC Holdings Corp. | 3,182,396 | 149,000 | |
TECO Energy Inc. | 4,879,583 | 134,872 | |
Aqua America Inc. | 3,689,683 | 131,574 | |
Piedmont Natural Gas Co. Inc. | 1,687,496 | 101,452 | |
NRG Energy Inc. | 6,554,276 | 98,249 | |
Great Plains Energy Inc. | 3,220,186 | 97,894 | |
National Fuel Gas Co. | 1,678,385 | 95,466 | |
Questar Corp. | 3,650,633 | 92,617 | |
Vectren Corp. | 1,723,535 | 90,779 | |
IDACORP Inc. | 1,049,331 | 85,363 | |
Portland General Electric Co. | 1,850,380 | 81,639 | |
WGL Holdings Inc. | 1,047,249 | 74,135 | |
Southwest Gas Corp. | 938,670 | 73,883 | |
Hawaiian Electric Industries Inc. | 2,244,872 | 73,609 |
23
Vanguard® Small-Cap Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Market | |||||
Value | |||||
Shares | ($000) | ||||
ONE Gas Inc. | 1,085,640 | 72,293 | |||
New Jersey Resources Corp. | 1,791,037 | 69,044 | |||
Black Hills Corp. | 1,073,741 | 67,689 | |||
ALLETE Inc. | 1,025,242 | 66,261 | |||
Spire Inc. | 896,314 | 63,495 | |||
NorthWestern Corp. | 1,005,436 | 63,413 | |||
Avista Corp. | 1,315,700 | 58,943 | |||
PNM Resources Inc. | 1,657,854 | 58,754 | |||
South Jersey Industries Inc. | 1,653,879 | 52,296 | |||
* | Dynegy Inc. | 2,441,021 | 42,083 | ||
MGE Energy Inc. | 721,494 | 40,775 | |||
El Paso Electric Co. | 842,502 | 39,825 | |||
Northwest Natural Gas Co. | 572,745 | 37,125 | |||
California Water Service Group | 1,000,000 | 34,930 | |||
American States Water Co. | 762,375 | 33,407 | |||
Ormat Technologies Inc. | 720,231 | 31,517 | |||
Empire District Electric Co. | 908,664 | 30,867 | |||
* | Talen Energy Corp. | 1,738,794 | 23,561 | ||
TerraForm Power Inc. Class A | 1,747,091 | 19,043 | |||
*,^ | Sunrun Inc. | 1,263,732 | 7,494 | ||
*,^ | Vivint Solar Inc. | 443,256 | 1,361 | ||
2,960,602 | |||||
Total Common Stocks (Cost $48,402,509) | 58,385,592 | ||||
Coupon | |||||
�� | |||||
Temporary Cash Investments (1.7%)1 | |||||
Money Market Fund (1.6%) | |||||
3,4 | Vanguard Market Liquidity Fund | 0.538% | 941,814,083 | 941,814 | |
Face | |||||
Maturity | Amount | ||||
Date | ($000) | ||||
U.S. Government and Agency Obligations (0.1%) | |||||
5,6,7 | Federal Home Loan Bank Discount Notes | 0.567% | 7/6/16 | 2,500 | 2,500 |
5,6 | Federal Home Loan Bank Discount Notes | 0.400% | 9/16/16 | 4,900 | 4,896 |
5,7 | Federal Home Loan Bank Discount Notes | 0.390% | 9/21/16 | 3,000 | 2,998 |
5,7 | Federal Home Loan Bank Discount Notes | 0.415% | 9/23/16 | 800 | 799 |
6 | United States Treasury Bill | 0.391% | 8/4/16 | 2,400 | 2,400 |
13,593 | |||||
Total Temporary Cash Investments (Cost $955,405) | 955,407 | ||||
Total Investments (101.8%) (Cost $49,357,914) | 59,340,999 | ||||
Other Assets and Liabilities—Net (-1.8%)4 | (1,021,238) | ||||
Net Assets (100%) | 58,319,761 |
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $671,325,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts and swap contracts. After giving
effect to futures and swap investments, the fund's effective common stock and temporary cash investment positions represent 100.6% and
1.2%, 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 $703,062,000 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 $8,996,000 have been segregated as initial margin for open futures contracts.
24
Vanguard® Small-Cap Index Fund
Schedule of Investments
June 30, 2016
7 Securities with a value of $3,741,000 have been segregated as collateral for open over-the-counter swap contracts.
CVR—Contingent Value Rights.
REIT—Real Estate Investment Trust.
25
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.9%)1 | |||
Basic Materials (2.0%) | |||
Royal Gold Inc. | 796,504 | 57,364 | |
NewMarket Corp. | 115,640 | 47,919 | |
US Silica Holdings Inc. | 773,911 | 26,677 | |
Balchem Corp. | 384,320 | 22,925 | |
* | Cambrex Corp. | 391,019 | 20,227 |
* | Coeur Mining Inc. | 1,872,902 | 19,965 |
* | Stillwater Mining Co. | 1,480,965 | 17,564 |
* | Platform Specialty Products Corp. | 1,813,021 | 16,100 |
KapStone Paper and Packaging Corp. | 1,062,467 | 13,823 | |
Minerals Technologies Inc. | 213,220 | 12,111 | |
Deltic Timber Corp. | 133,039 | 8,931 | |
* | Ingevity Corp. | 256,387 | 8,727 |
Calgon Carbon Corp. | 616,102 | 8,102 | |
* | Ferro Corp. | 503,775 | 6,740 |
* | Fairmount Santrol Holdings Inc. | 844,596 | 6,512 |
American Vanguard Corp. | 335,859 | 5,075 | |
298,762 | |||
Consumer Goods (8.5%) | |||
* | Middleby Corp. | 701,653 | 80,866 |
Carter's Inc. | 587,831 | 62,586 | |
* | Post Holdings Inc. | 745,620 | 61,655 |
* | Hain Celestial Group Inc. | 1,199,633 | 59,682 |
Gentex Corp. | 3,520,250 | 54,388 | |
* | WhiteWave Foods Co. Class A | 1,079,924 | 50,692 |
Brunswick Corp. | 1,105,906 | 50,120 | |
* | Toll Brothers Inc. | 1,851,735 | 49,830 |
* | Skechers U.S.A. Inc. Class A | 1,621,423 | 48,189 |
Pool Corp. | 487,434 | 45,833 | |
Flowers Foods Inc. | 2,270,480 | 42,571 | |
B&G Foods Inc. | 763,702 | 36,810 | |
* | TreeHouse Foods Inc. | 343,926 | 35,304 |
* | Tempur Sealy International Inc. | 631,393 | 34,929 |
CalAtlantic Group Inc. | 937,816 | 34,427 | |
* | Kate Spade & Co. | 1,559,718 | 32,146 |
Vector Group Ltd. | 1,130,542 | 25,347 | |
Drew Industries Inc. | 283,376 | 24,042 | |
* | Steven Madden Ltd. | 677,368 | 23,152 |
* | Dorman Products Inc. | 401,724 | 22,979 |
* | Deckers Outdoor Corp. | 394,664 | 22,701 |
*,^ | Blue Buffalo Pet Products Inc. | 959,072 | 22,385 |
* | G-III Apparel Group Ltd. | 473,531 | 21,650 |
J&J Snack Foods Corp. | 181,230 | 21,615 | |
* | Zynga Inc. Class A | 8,592,586 | 21,396 |
* | TRI Pointe Group Inc. | 1,783,264 | 21,078 |
*,^ | Fitbit Inc. Class A | 1,613,093 | 19,712 |
WD-40 Co. | 166,371 | 19,540 | |
* | Tumi Holdings Inc. | 703,128 | 18,802 |
* | Take-Two Interactive Software Inc. | 492,735 | 18,685 |
* | Boston Beer Co. Inc. Class A | 108,486 | 18,554 |
* | Meritage Homes Corp. | 464,737 | 17,446 |
* | Gentherm Inc. | 445,525 | 15,259 |
Lancaster Colony Corp. | 117,311 | 14,970 | |
*,^ | Wayfair Inc. | 376,109 | 14,668 |
Interface Inc. Class A | 795,303 | 12,128 | |
MDC Holdings Inc. | 477,479 | 11,622 | |
* | Select Comfort Corp. | 540,140 | 11,548 |
* | TiVo Inc. | 1,132,305 | 11,210 |
* | iRobot Corp. | 317,771 | 11,147 |
*,^ | GoPro Inc. Class A | 992,974 | 10,734 |
Oxford Industries Inc. | 183,198 | 10,373 | |
Columbia Sportswear Co. | 170,802 | 9,828 |
26
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | National Beverage Corp. | 141,466 | 8,885 |
Coca-Cola Bottling Co. Consolidated | 56,824 | 8,380 | |
* | USANA Health Sciences Inc. | 65,565 | 7,306 |
* | DTS Inc. | 204,025 | 5,396 |
*,^ | Amplify Snack Brands Inc. | 364,379 | 5,375 |
* | Revlon Inc. Class A | 127,899 | 4,116 |
Metaldyne Performance Group Inc. | 161,694 | 2,223 | |
Phibro Animal Health Corp. Class A | 112,756 | 2,104 | |
* | US Foods Holding Corp. | 25,040 | 607 |
1,296,991 | |||
Consumer Services (14.6%) | |||
Domino's Pizza Inc. | 611,523 | 80,342 | |
Sabre Corp. | 2,364,325 | 63,340 | |
* | VCA Inc. | 935,701 | 63,263 |
Vail Resorts Inc. | 442,523 | 61,170 | |
* | Copart Inc. | 1,230,459 | 60,305 |
* | Panera Bread Co. Class A | 274,763 | 58,233 |
* | Burlington Stores Inc. | 870,039 | 58,040 |
Six Flags Entertainment Corp. | 910,605 | 52,770 | |
* | Sally Beauty Holdings Inc. | 1,782,897 | 52,435 |
Dunkin' Brands Group Inc. | 1,118,828 | 48,803 | |
Dick's Sporting Goods Inc. | 1,033,247 | 46,558 | |
* | AMC Networks Inc. Class A | 746,340 | 45,094 |
* | Madison Square Garden Co. Class A | 243,385 | 41,986 |
* | Sprouts Farmers Market Inc. | 1,746,374 | 39,992 |
* | Spirit Airlines Inc. | 868,274 | 38,959 |
* | Live Nation Entertainment Inc. | 1,608,423 | 37,798 |
* | Bright Horizons Family Solutions Inc. | 545,799 | 36,192 |
* | DreamWorks Animation SKG Inc. Class A | 863,535 | 35,293 |
Texas Roadhouse Inc. Class A | 771,542 | 35,182 | |
Rollins Inc. | 1,199,625 | 35,113 | |
Jack in the Box Inc. | 396,702 | 34,085 | |
* | Pandora Media Inc. | 2,649,116 | 32,982 |
* | ServiceMaster Global Holdings Inc. | 827,138 | 32,920 |
* | Michaels Cos. Inc. | 1,138,265 | 32,372 |
* | Buffalo Wild Wings Inc. | 229,382 | 31,873 |
Casey's General Stores Inc. | 237,899 | 31,286 | |
* | Five Below Inc. | 666,737 | 30,943 |
*,^ | GrubHub Inc. | 980,559 | 30,466 |
* | Cabela's Inc. | 582,152 | 29,143 |
* | Urban Outfitters Inc. | 1,000,973 | 27,527 |
Cheesecake Factory Inc. | 561,239 | 27,018 | |
* | WebMD Health Corp. | 447,712 | 26,017 |
* | Yelp Inc. Class A | 828,190 | 25,144 |
Allegiant Travel Co. Class A | 160,938 | 24,382 | |
Monro Muffler Brake Inc. | 373,020 | 23,709 | |
Lions Gate Entertainment Corp. | 1,165,136 | 23,571 | |
* | Hawaiian Holdings Inc. | 619,823 | 23,529 |
* | Grand Canyon Education Inc. | 570,573 | 22,777 |
PriceSmart Inc. | 240,178 | 22,473 | |
Papa John's International Inc. | 317,191 | 21,569 | |
* | Dave & Buster's Entertainment Inc. | 457,018 | 21,384 |
* | Media General Inc. | 1,202,504 | 20,671 |
Churchill Downs Inc. | 162,504 | 20,534 | |
Choice Hotels International Inc. | 412,156 | 19,627 | |
HSN Inc. | 383,609 | 18,770 | |
* | Shutterfly Inc. | 400,321 | 18,659 |
*,^ | SolarCity Corp. | 777,260 | 18,600 |
*,^ | Diplomat Pharmacy Inc. | 523,342 | 18,317 |
* | Liberty TripAdvisor Holdings Inc. Class A | 835,834 | 18,288 |
Morningstar Inc. | 209,943 | 17,169 | |
^ | Sotheby's | 621,744 | 17,036 |
^ | Nexstar Broadcasting Group Inc. Class A | 356,390 | 16,957 |
* | Stamps.com Inc. | 190,931 | 16,691 |
27
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Groupon Inc. Class A | 4,945,838 | 16,074 |
* | Krispy Kreme Doughnuts Inc. | 760,642 | 15,943 |
*,^ | Diamond Resorts International Inc. | 509,488 | 15,264 |
Sonic Corp. | 564,101 | 15,259 | |
* | Caesars Acquisition Co. Class A | 1,342,598 | 15,064 |
* | Ascena Retail Group Inc. | 2,136,527 | 14,934 |
* | Popeyes Louisiana Kitchen Inc. | 267,963 | 14,642 |
Marriott Vacations Worldwide Corp. | 207,222 | 14,193 | |
*,^ | Restoration Hardware Holdings Inc. | 469,919 | 13,477 |
* | comScore Inc. | 554,353 | 13,238 |
*,^ | Ollie's Bargain Outlet Holdings Inc. | 511,499 | 12,731 |
Bloomin' Brands Inc. | 701,250 | 12,531 | |
* | Penn National Gaming Inc. | 894,842 | 12,483 |
National CineMedia Inc. | 759,979 | 11,764 | |
* | BJ's Restaurants Inc. | 249,798 | 10,949 |
Interval Leisure Group Inc. | 675,324 | 10,738 | |
* | Etsy Inc. | 1,101,802 | 10,566 |
* | Belmond Ltd. Class A | 1,047,898 | 10,374 |
*,^ | Quotient Technology Inc. | 757,422 | 10,157 |
ClubCorp Holdings Inc. | 761,867 | 9,904 | |
*,^ | Hibbett Sports Inc. | 277,981 | 9,671 |
* | Tile Shop Holdings Inc. | 407,740 | 8,106 |
* | Pinnacle Entertainment Inc. | 706,607 | 7,829 |
* | Red Rock Resorts Inc. Class A | 332,325 | 7,305 |
AMC Entertainment Holdings Inc. | 263,128 | 7,265 | |
* | Fiesta Restaurant Group Inc. | 327,784 | 7,149 |
*,^ | Shake Shack Inc. Class A | 190,293 | 6,932 |
^ | World Wrestling Entertainment Inc. Class A | 374,187 | 6,889 |
*,^ | Mattress Firm Holding Corp. | 203,422 | 6,825 |
Extended Stay America Inc. | 430,871 | 6,442 | |
* | Virgin America Inc. | 107,135 | 6,022 |
*,^ | Planet Fitness Inc. Class A | 312,636 | 5,903 |
* | Scientific Games Corp. Class A | 640,109 | 5,883 |
* | Liberty Media Group | 305,243 | 5,790 |
* | EW Scripps Co. Class A | 351,169 | 5,563 |
* | Francesca's Holdings Corp. | 487,457 | 5,386 |
* | Wingstop Inc. | 191,863 | 5,228 |
*,^ | Lumber Liquidators Holdings Inc. | 313,436 | 4,833 |
*,^ | TrueCar Inc. | 612,157 | 4,805 |
New Media Investment Group Inc. | 257,240 | 4,648 | |
* | Vitamin Shoppe Inc. | 147,776 | 4,518 |
* | Party City Holdco Inc. | 289,370 | 4,025 |
* | Potbelly Corp. | 316,447 | 3,968 |
* | Global Eagle Entertainment Inc. | 567,501 | 3,768 |
Blue Nile Inc. | 133,237 | 3,648 | |
*,^ | El Pollo Loco Holdings Inc. | 260,649 | 3,388 |
* | Clean Energy Fuels Corp. | 964,599 | 3,347 |
* | Angie's List Inc. | 464,180 | 3,022 |
* | Habit Restaurants Inc. Class A | 173,787 | 2,847 |
* | Liberty Media Group Class A | 148,665 | 2,845 |
* | Biglari Holdings Inc. | 6,226 | 2,511 |
*,^ | Caesars Entertainment Corp. | 310,385 | 2,387 |
* | Bojangles' Inc. | 111,968 | 1,898 |
* | RetailMeNot Inc. | 222,533 | 1,716 |
*,^ | Noodles & Co. Class A | 159,438 | 1,559 |
* | Conn's Inc. | 121,339 | 912 |
* | MSG Networks Inc. | 48 | 1 |
* | United Natural Foods Inc. | 3 | — |
2,222,476 | |||
Financials (22.8%) | |||
Regency Centers Corp. | 1,190,413 | 99,673 | |
WP Carey Inc. | 1,250,795 | 86,830 | |
American Campus Communities Inc. | 1,590,800 | 84,106 | |
Gaming and Leisure Properties Inc. | 2,345,530 | 80,874 |
28
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Signature Bank | 615,098 | 76,838 |
Kilroy Realty Corp. | 1,124,714 | 74,557 | |
Equity LifeStyle Properties Inc. | 928,393 | 74,318 | |
DDR Corp. | 3,786,683 | 68,690 | |
CubeSmart | 2,164,091 | 66,827 | |
Lamar Advertising Co. Class A | 1,004,714 | 66,613 | |
CBOE Holdings Inc. | 992,127 | 66,096 | |
Forest City Realty Trust Inc. Class A | 2,945,176 | 65,707 | |
MarketAxess Holdings Inc. | 434,809 | 63,221 | |
* | Liberty Ventures Class A | 1,648,719 | 61,118 |
Douglas Emmett Inc. | 1,713,882 | 60,877 | |
* | SVB Financial Group | 631,774 | 60,120 |
Sovran Self Storage Inc. | 554,714 | 58,201 | |
Duke Realty Corp. | 2,108,171 | 56,204 | |
Sun Communities Inc. | 711,149 | 54,502 | |
Healthcare Trust of America Inc. Class A | 1,665,180 | 53,852 | |
Communications Sales & Leasing Inc. | 1,838,368 | 53,129 | |
DCT Industrial Trust Inc. | 1,097,733 | 52,735 | |
CyrusOne Inc. | 920,130 | 51,214 | |
* | Howard Hughes Corp. | 437,587 | 50,025 |
Mid-America Apartment Communities Inc. | 460,911 | 49,041 | |
Healthcare Realty Trust Inc. | 1,396,964 | 48,880 | |
Gramercy Property Trust | 5,144,156 | 47,429 | |
Tanger Factory Outlet Centers Inc. | 1,172,648 | 47,117 | |
*,^ | Zillow Group Inc. | 1,238,074 | 44,917 |
Medical Properties Trust Inc. | 2,901,796 | 44,136 | |
Investors Bancorp Inc. | 3,892,667 | 43,131 | |
American Homes 4 Rent Class A | 2,028,736 | 41,549 | |
Post Properties Inc. | 652,220 | 39,818 | |
Omega Healthcare Investors Inc. | 1,147,327 | 38,952 | |
Bank of the Ozarks Inc. | 995,591 | 37,355 | |
Spirit Realty Capital Inc. | 2,924,187 | 37,342 | |
Education Realty Trust Inc. | 805,543 | 37,168 | |
* | Western Alliance Bancorp | 1,135,727 | 37,081 |
Equity One Inc. | 1,126,069 | 36,237 | |
Urban Edge Properties | 1,211,663 | 36,180 | |
Physicians Realty Trust | 1,637,562 | 34,405 | |
Paramount Group Inc. | 2,077,366 | 33,113 | |
CoreSite Realty Corp. | 357,967 | 31,748 | |
Acadia Realty Trust | 872,568 | 30,994 | |
Hudson Pacific Properties Inc. | 1,037,020 | 30,260 | |
Home BancShares Inc. | 1,453,665 | 28,768 | |
Kite Realty Group Trust | 1,017,062 | 28,508 | |
PacWest Bancorp | 695,359 | 27,661 | |
QTS Realty Trust Inc. Class A | 484,396 | 27,117 | |
Ryman Hospitality Properties Inc. | 527,429 | 26,714 | |
Cousins Properties Inc. | 2,559,099 | 26,615 | |
Retail Opportunity Investments Corp. | 1,225,613 | 26,559 | |
* | Texas Capital Bancshares Inc. | 558,874 | 26,133 |
PS Business Parks Inc. | 230,798 | 24,483 | |
Pebblebrook Hotel Trust | 876,995 | 23,021 | |
* | Blackhawk Network Holdings Inc. | 684,088 | 22,910 |
*,^ | Zillow Group Inc. Class A | 618,753 | 22,677 |
NorthStar Asset Management Group Inc. | 2,186,101 | 22,320 | |
Kennedy-Wilson Holdings Inc. | 1,112,100 | 21,085 | |
Alexander & Baldwin Inc. | 568,983 | 20,563 | |
Outfront Media Inc. | 843,181 | 20,380 | |
Colony Capital Inc. Class A | 1,308,544 | 20,086 | |
STAG Industrial Inc. | 833,772 | 19,852 | |
Ramco-Gershenson Properties Trust | 968,829 | 18,999 | |
* | Hilltop Holdings Inc. | 903,298 | 18,960 |
^ | Colony Starwood Homes | 620,437 | 18,874 |
*,^ | Credit Acceptance Corp. | 98,876 | 18,300 |
Evercore Partners Inc. Class A | 412,449 | 18,226 |
29
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Eagle Bancorp Inc. | 369,666 | 17,785 |
* | Essent Group Ltd. | 796,946 | 17,381 |
Parkway Properties Inc. | 1,024,734 | 17,144 | |
Chesapeake Lodging Trust | 734,771 | 17,083 | |
*,^ | LendingClub Corp. | 3,966,326 | 17,055 |
Financial Engines Inc. | 654,374 | 16,929 | |
Sunstone Hotel Investors Inc. | 1,324,664 | 15,989 | |
First Cash Financial Services Inc. | 310,955 | 15,961 | |
Sabra Health Care REIT Inc. | 758,718 | 15,656 | |
RLJ Lodging Trust | 725,317 | 15,558 | |
* | OneMain Holdings Inc. Class A | 659,331 | 15,046 |
* | HealthEquity Inc. | 493,027 | 14,981 |
* | FCB Financial Holdings Inc. Class A | 429,815 | 14,614 |
^ | WisdomTree Investments Inc. | 1,419,534 | 13,897 |
Care Capital Properties Inc. | 511,119 | 13,396 | |
LegacyTexas Financial Group Inc. | 495,819 | 13,343 | |
Kearny Financial Corp. | 1,025,303 | 12,898 | |
HFF Inc. Class A | 419,315 | 12,110 | |
TFS Financial Corp. | 698,736 | 12,032 | |
NRG Yield Inc. | 767,520 | 11,966 | |
* | St. Joe Co. | 633,767 | 11,230 |
*,^ | Black Knight Financial Services Inc. Class A | 294,589 | 11,077 |
New Senior Investment Group Inc. | 1,000,098 | 10,681 | |
Monogram Residential Trust Inc. | 1,017,994 | 10,394 | |
Cohen & Steers Inc. | 253,029 | 10,233 | |
Alexander's Inc. | 24,837 | 10,164 | |
FelCor Lodging Trust Inc. | 1,608,378 | 10,020 | |
American Assets Trust Inc. | 235,557 | 9,997 | |
CareTrust REIT Inc. | 705,371 | 9,720 | |
Hersha Hospitality Trust Class A | 509,460 | 8,737 | |
Capital Bank Financial Corp. | 275,714 | 7,941 | |
Simmons First National Corp. Class A | 167,031 | 7,714 | |
* | Third Point Reinsurance Ltd. | 645,411 | 7,564 |
^ | Seritage Growth Properties Class A | 142,075 | 7,081 |
Silver Bay Realty Trust Corp. | 388,618 | 6,618 | |
*,^ | Encore Capital Group Inc. | 281,207 | 6,617 |
InfraREIT Inc. | 371,437 | 6,515 | |
* | PRA Group Inc. | 267,996 | 6,469 |
NRG Yield Inc. Class A | 419,758 | 6,389 | |
*,^ | BofI Holding Inc. | 325,709 | 5,768 |
Moelis & Co. Class A | 249,236 | 5,608 | |
Greenhill & Co. Inc. | 308,892 | 4,973 | |
*,^ | Nationstar Mortgage Holdings Inc. | 438,509 | 4,938 |
* | Marcus & Millichap Inc. | 185,254 | 4,707 |
* | Tejon Ranch Co. | 178,364 | 4,217 |
Urstadt Biddle Properties Inc. Class A | 152,248 | 3,773 | |
Northfield Bancorp Inc. | 250,993 | 3,722 | |
*,^ | Altisource Portfolio Solutions SA | 123,728 | 3,445 |
National Bank Holdings Corp. Class A | 166,699 | 3,394 | |
* | PennyMac Financial Services Inc. Class A | 245,667 | 3,068 |
Altisource Residential Corp. | 299,779 | 2,755 | |
*,^ | On Deck Capital Inc. | 474,900 | 2,446 |
* | Forestar Group Inc. | 192,063 | 2,284 |
* | NewStar Financial Inc. | 230,211 | 1,938 |
* | Ocwen Financial Corp. | 1,108,325 | 1,895 |
Houlihan Lokey Inc. | 74,629 | 1,669 | |
RMR Group Inc. Class A | 37,386 | 1,158 | |
Associated Capital Group Inc. Class A | 27,230 | 781 | |
* | Stifel Financial Corp. | 33 | 1 |
Employers Holdings Inc. | 13 | — | |
* | Tejon Ranch Co. Warrants Exp. 8/31/2016 | 28,628 | — |
3,470,516 | |||
Health Care (14.1%) | |||
* | MEDNAX Inc. | 1,134,400 | 82,165 |
30
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | DexCom Inc. | 966,472 | 76,670 |
* | Align Technology Inc. | 879,920 | 70,878 |
West Pharmaceutical Services Inc. | 889,595 | 67,502 | |
* | United Therapeutics Corp. | 543,780 | 57,597 |
* | Amsurg Corp. | 667,827 | 51,783 |
Bio-Techne Corp. | 454,188 | 51,219 | |
* | ABIOMED Inc. | 466,058 | 50,935 |
* | Seattle Genetics Inc. | 1,196,995 | 48,371 |
* | Neurocrine Biosciences Inc. | 1,057,815 | 48,078 |
* | Acadia Healthcare Co. Inc. | 852,983 | 47,255 |
* | PAREXEL International Corp. | 644,947 | 40,554 |
*,^ | OPKO Health Inc. | 4,005,545 | 37,412 |
* | NuVasive Inc. | 607,542 | 36,282 |
STERIS plc | 523,559 | 35,995 | |
* | ACADIA Pharmaceuticals Inc. | 1,103,722 | 35,827 |
Healthcare Services Group Inc. | 837,998 | 34,676 | |
* | Ionis Pharmaceuticals Inc. | 1,472,366 | 34,291 |
* | Team Health Holdings Inc. | 811,266 | 32,994 |
* | Catalent Inc. | 1,291,038 | 29,681 |
Bruker Corp. | 1,278,623 | 29,076 | |
* | Akorn Inc. | 1,018,596 | 29,015 |
* | Horizon Pharma plc | 1,758,243 | 28,958 |
* | Masimo Corp. | 537,073 | 28,204 |
Cantel Medical Corp. | 406,425 | 27,934 | |
*,^ | Intercept Pharmaceuticals Inc. | 194,790 | 27,793 |
* | Cepheid | 887,732 | 27,298 |
* | Medicines Co. | 811,093 | 27,277 |
* | Ligand Pharmaceuticals Inc. | 228,295 | 27,229 |
* | Myriad Genetics Inc. | 856,169 | 26,199 |
* | Impax Laboratories Inc. | 855,054 | 24,643 |
* | Neogen Corp. | 433,996 | 24,412 |
*,^ | Novavax Inc. | 3,296,605 | 23,966 |
* | Nektar Therapeutics | 1,660,873 | 23,634 |
* | Wright Medical Group NV | 1,255,884 | 21,815 |
*,^ | Exelixis Inc. | 2,784,005 | 21,743 |
* | Insulet Corp. | 698,900 | 21,135 |
* | Ironwood Pharmaceuticals Inc. Class A | 1,570,945 | 20,540 |
* | ICU Medical Inc. | 176,011 | 19,845 |
* | Globus Medical Inc. | 831,983 | 19,826 |
* | Bluebird Bio Inc. | 451,795 | 19,558 |
* | Nevro Corp. | 259,770 | 19,161 |
* | INC Research Holdings Inc. Class A | 495,269 | 18,885 |
*,^ | Juno Therapeutics Inc. | 483,922 | 18,602 |
* | HMS Holdings Corp. | 1,028,997 | 18,121 |
*,^ | Penumbra Inc. | 298,567 | 17,765 |
* | Amedisys Inc. | 347,350 | 17,534 |
* | NxStage Medical Inc. | 782,946 | 16,974 |
* | Radius Health Inc. | 444,670 | 16,342 |
*,^ | Intrexon Corp. | 650,422 | 16,007 |
* | ARIAD Pharmaceuticals Inc. | 2,106,372 | 15,566 |
*,^ | Agios Pharmaceuticals Inc. | 371,019 | 15,544 |
* | PRA Health Sciences Inc. | 370,358 | 15,466 |
* | Air Methods Corp. | 422,542 | 15,140 |
*,^ | Exact Sciences Corp. | 1,191,423 | 14,595 |
* | Pacira Pharmaceuticals Inc. | 429,442 | 14,485 |
* | Acorda Therapeutics Inc. | 559,908 | 14,280 |
*,^ | Alder Biopharmaceuticals Inc. | 517,388 | 12,919 |
Abaxis Inc. | 261,893 | 12,369 | |
* | HeartWare International Inc. | 213,304 | 12,318 |
Analogic Corp. | 151,241 | 12,015 | |
* | Endologix Inc. | 946,391 | 11,792 |
* | Emergent BioSolutions Inc. | 415,557 | 11,685 |
* | Achillion Pharmaceuticals Inc. | 1,414,591 | 11,034 |
* | Halozyme Therapeutics Inc. | 1,258,653 | 10,862 |
31
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | AMAG Pharmaceuticals Inc. | 421,134 | 10,074 |
* | Puma Biotechnology Inc. | 336,364 | 10,020 |
*,^ | Sarepta Therapeutics Inc. | 525,049 | 10,013 |
* | FibroGen Inc. | 609,579 | 10,003 |
* | Luminex Corp. | 475,592 | 9,621 |
Meridian Bioscience Inc. | 487,662 | 9,509 | |
*,^ | Innoviva Inc. | 895,036 | 9,425 |
*,^ | Theravance Biopharma Inc. | 405,631 | 9,204 |
*,^ | Adeptus Health Inc. Class A | 176,586 | 9,122 |
* | Haemonetics Corp. | 309,568 | 8,974 |
* | Orthofix International NV | 210,912 | 8,943 |
* | Momenta Pharmaceuticals Inc. | 778,953 | 8,413 |
* | HealthStream Inc. | 309,711 | 8,214 |
* | TherapeuticsMD Inc. | 956,155 | 8,127 |
* | Merrimack Pharmaceuticals Inc. | 1,477,941 | 7,966 |
*,^ | Relypsa Inc. | 408,758 | 7,562 |
* | Depomed Inc. | 375,075 | 7,359 |
*,^ | Lexicon Pharmaceuticals Inc. | 509,242 | 7,308 |
* | Natus Medical Inc. | 190,628 | 7,206 |
* | Lannett Co. Inc. | 289,786 | 6,894 |
*,^ | Spark Therapeutics Inc. | 127,955 | 6,542 |
*,^ | Keryx Biopharmaceuticals Inc. | 962,201 | 6,370 |
*,^ | Seres Therapeutics Inc. | 216,651 | 6,294 |
Ensign Group Inc. | 291,296 | 6,120 | |
* | Acceleron Pharma Inc. | 170,056 | 5,778 |
* | Genomic Health Inc. | 222,142 | 5,752 |
* | Quidel Corp. | 314,098 | 5,610 |
*,^ | Novocure Ltd. | 471,962 | 5,508 |
* | CorVel Corp. | 119,204 | 5,147 |
* | Merit Medical Systems Inc. | 258,722 | 5,130 |
* | Arena Pharmaceuticals Inc. | 2,984,790 | 5,104 |
* | Spectrum Pharmaceuticals Inc. | 762,244 | 5,008 |
* | Epizyme Inc. | 488,951 | 5,007 |
* | Accuray Inc. | 933,112 | 4,843 |
*,^ | Insys Therapeutics Inc. | 345,481 | 4,471 |
* | Sagent Pharmaceuticals Inc. | 298,325 | 4,469 |
*,^ | MannKind Corp. | 3,781,681 | 4,387 |
* | Surgery Partners Inc. | 236,300 | 4,230 |
*,^ | ZIOPHARM Oncology Inc. | 727,956 | 3,996 |
*,^ | Natera Inc. | 313,255 | 3,779 |
* | Insmed Inc. | 377,682 | 3,724 |
*,^ | ImmunoGen Inc. | 1,075,305 | 3,312 |
* | American Renal Associates Holdings Inc. | 112,699 | 3,265 |
*,^ | ConforMIS Inc. | 356,312 | 2,501 |
*,^ | Editas Medicine Inc. | 89,155 | 2,175 |
* | Intellia Therapeutics Inc. | 87,681 | 1,872 |
* | Aduro Biotech Inc. | 157,388 | 1,780 |
* | Avexis Inc. | 42,030 | 1,598 |
* | Infinity Pharmaceuticals Inc. | 617,576 | 821 |
* | Esperion Therapeutics Inc. | 48,047 | 475 |
* | Wright Medical Group Inc. CVR | 165,303 | 207 |
2,148,958 | |||
Industrials (17.7%) | |||
* | CoStar Group Inc. | 396,992 | 86,806 |
* | HD Supply Holdings Inc. | 2,446,546 | 85,189 |
Jack Henry & Associates Inc. | 961,995 | 83,953 | |
AO Smith Corp. | 907,655 | 79,973 | |
* | Waste Connections Inc. | 1,069,150 | 77,032 |
Lennox International Inc. | 504,988 | 72,011 | |
Toro Co. | 631,307 | 55,681 | |
Graco Inc. | 677,618 | 53,525 | |
FEI Co. | 497,904 | 53,216 | |
Nordson Corp. | 591,323 | 49,441 | |
* | Old Dominion Freight Line Inc. | 814,987 | 49,152 |
32
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Genpact Ltd. | 1,798,987 | 48,285 |
Hexcel Corp. | 1,134,182 | 47,227 | |
Watsco Inc. | 314,557 | 44,255 | |
MAXIMUS Inc. | 791,695 | 43,836 | |
Eagle Materials Inc. | 559,430 | 43,160 | |
Cognex Corp. | 985,486 | 42,474 | |
* | WEX Inc. | 471,965 | 41,849 |
* | Euronet Worldwide Inc. | 602,979 | 41,720 |
* | Genesee & Wyoming Inc. Class A | 696,960 | 41,086 |
Woodward Inc. | 670,630 | 38,655 | |
Packaging Corp. of America | 573,767 | 38,402 | |
National Instruments Corp. | 1,400,999 | 38,387 | |
Landstar System Inc. | 516,060 | 35,433 | |
* | Universal Display Corp. | 513,960 | 34,846 |
* | IPG Photonics Corp. | 420,560 | 33,645 |
* | Clean Harbors Inc. | 631,386 | 32,902 |
Air Lease Corp. Class A | 1,190,465 | 31,881 | |
*,^ | XPO Logistics Inc. | 1,206,345 | 31,679 |
* | Keysight Technologies Inc. | 1,043,815 | 30,365 |
* | Zebra Technologies Corp. | 604,792 | 30,300 |
* | USG Corp. | 1,066,113 | 28,742 |
*,^ | Cimpress NV | 287,437 | 26,582 |
* | WageWorks Inc. | 441,288 | 26,393 |
* | TransUnion | 777,677 | 26,006 |
HEICO Corp. Class A | 475,952 | 25,535 | |
CEB Inc. | 392,012 | 24,179 | |
Covanta Holding Corp. | 1,430,947 | 23,539 | |
* | Masonite International Corp. | 350,413 | 23,176 |
Mueller Industries Inc. | 695,185 | 22,162 | |
* | Cardtronics Inc. | 550,220 | 21,904 |
* | On Assignment Inc. | 586,324 | 21,665 |
* | AMN Healthcare Services Inc. | 540,550 | 21,606 |
Mueller Water Products Inc. Class A | 1,876,568 | 21,430 | |
John Bean Technologies Corp. | 337,613 | 20,669 | |
* | ExlService Holdings Inc. | 388,792 | 20,377 |
* | RBC Bearings Inc. | 278,817 | 20,214 |
Simpson Manufacturing Co. Inc. | 502,233 | 20,074 | |
* | Itron Inc. | 463,426 | 19,974 |
Knight Transportation Inc. | 735,575 | 19,552 | |
* | Ambarella Inc. | 380,757 | 19,346 |
AZZ Inc. | 316,972 | 19,012 | |
* | Smith & Wesson Holding Corp. | 670,342 | 18,220 |
CLARCOR Inc. | 296,540 | 18,039 | |
* | Advisory Board Co. | 501,269 | 17,740 |
Exponent Inc. | 300,993 | 17,581 | |
* | TopBuild Corp. | 470,281 | 17,024 |
* | ExamWorks Group Inc. | 483,982 | 16,867 |
* | Proto Labs Inc. | 290,085 | 16,697 |
Forward Air Corp. | 372,357 | 16,581 | |
* | LifeLock Inc. | 1,033,243 | 16,336 |
* | Trex Co. Inc. | 358,841 | 16,119 |
Littelfuse Inc. | 136,285 | 16,108 | |
* | Summit Materials Inc. Class A | 766,168 | 15,676 |
Apogee Enterprises Inc. | 334,649 | 15,511 | |
* | Imperva Inc. | 355,229 | 15,278 |
* | Hub Group Inc. Class A | 397,694 | 15,260 |
* | Louisiana-Pacific Corp. | 879,419 | 15,258 |
Franklin Electric Co. Inc. | 451,821 | 14,933 | |
Sturm Ruger & Co. Inc. | 232,081 | 14,855 | |
*,^ | Inovalon Holdings Inc. Class A | 813,210 | 14,646 |
Methode Electronics Inc. | 426,163 | 14,588 | |
HEICO Corp. | 209,697 | 14,010 | |
* | Rogers Corp. | 220,310 | 13,461 |
AAON Inc. | 486,954 | 13,396 |
33
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | MACOM Technology Solutions Holdings Inc. | 390,153 | 12,867 |
* | OSI Systems Inc. | 218,567 | 12,705 |
Badger Meter Inc. | 168,160 | 12,281 | |
* | Paylocity Holding Corp. | 279,491 | 12,074 |
* | II-VI Inc. | 638,200 | 11,973 |
Advanced Drainage Systems Inc. | 431,626 | 11,814 | |
Tennant Co. | 215,063 | 11,585 | |
* | Continental Building Products Inc. | 496,084 | 11,028 |
* | TriNet Group Inc. | 519,652 | 10,804 |
* | Press Ganey Holdings Inc. | 257,614 | 10,137 |
* | Armstrong World Industries Inc. | 252,738 | 9,895 |
Primoris Services Corp. | 505,146 | 9,562 | |
Mobile Mini Inc. | 270,688 | 9,377 | |
Heartland Express Inc. | 506,791 | 8,813 | |
* | Team Inc. | 341,374 | 8,476 |
^ | Lindsay Corp. | 124,605 | 8,456 |
Raven Industries Inc. | 441,980 | 8,371 | |
Sun Hydraulics Corp. | 278,745 | 8,276 | |
* | DigitalGlobe Inc. | 383,397 | 8,201 |
* | Veeco Instruments Inc. | 486,424 | 8,055 |
* | Huron Consulting Group Inc. | 132,387 | 7,999 |
* | TASER International Inc. | 321,388 | 7,996 |
Quanex Building Products Corp. | 416,768 | 7,748 | |
* | Headwaters Inc. | 426,749 | 7,656 |
* | Thermon Group Holdings Inc. | 393,292 | 7,555 |
* | Swift Transportation Co. | 486,517 | 7,497 |
Comfort Systems USA Inc. | 227,136 | 7,398 | |
* | Aerovironment Inc. | 256,072 | 7,119 |
Albany International Corp. | 175,036 | 6,989 | |
* | FARO Technologies Inc. | 202,735 | 6,859 |
EnPro Industries Inc. | 132,255 | 5,871 | |
Gorman-Rupp Co. | 206,467 | 5,659 | |
* | Builders FirstSource Inc. | 500,202 | 5,627 |
* | Mistras Group Inc. | 210,930 | 5,035 |
* | Multi Packaging Solutions International Ltd. | 375,372 | 5,011 |
* | InnerWorkings Inc. | 496,371 | 4,105 |
* | Bazaarvoice Inc. | 961,479 | 3,856 |
* | Ply Gem Holdings Inc. | 246,819 | 3,596 |
Griffon Corp. | 212,723 | 3,586 | |
* | Evolent Health Inc. Class A | 180,697 | 3,469 |
* | Astronics Corp. | 102,085 | 3,395 |
* | Roadrunner Transportation Systems Inc. | 367,090 | 2,738 |
* | RPX Corp. | 297,178 | 2,725 |
* | Armstrong Flooring Inc. | 143,656 | 2,435 |
* | Astronics Corp. Class B | 15,426 | 511 |
* | Cotiviti Holdings Inc. | 18,780 | 397 |
Acacia Research Corp. | 25,657 | 113 | |
2,690,382 | |||
Oil & Gas (3.3%) | |||
* | Diamondback Energy Inc. | 874,319 | 79,747 |
* | Parsley Energy Inc. Class A | 1,820,573 | 49,265 |
* | Gulfport Energy Corp. | 1,530,103 | 47,831 |
* | Southwestern Energy Co. | 2,921,641 | 36,754 |
Patterson-UTI Energy Inc. | 1,706,726 | 36,387 | |
* | PDC Energy Inc. | 564,351 | 32,512 |
* | Rice Energy Inc. | 1,334,832 | 29,420 |
* | RSP Permian Inc. | 804,901 | 28,083 |
* | Carrizo Oil & Gas Inc. | 679,872 | 24,373 |
* | Memorial Resource Development Corp. | 1,261,596 | 20,034 |
* | Matador Resources Co. | 969,498 | 19,196 |
Pattern Energy Group Inc. Class A | 687,503 | 15,792 | |
* | Dril-Quip Inc. | 232,344 | 13,576 |
SM Energy Co. | 414,516 | 11,192 | |
*,^ | RPC Inc. | 662,751 | 10,293 |
34
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Laredo Petroleum Inc. | 814,729 | 8,538 |
*,^ | Flotek Industries Inc. | 621,645 | 8,206 |
* | Cobalt International Energy Inc. | 4,330,027 | 5,802 |
* | SEACOR Holdings Inc. | 94,860 | 5,497 |
*,^ | SunPower Corp. Class A | 336,245 | 5,208 |
* | Newpark Resources Inc. | 486,607 | 2,817 |
* | Sanchez Energy Corp. | 340,462 | 2,404 |
* | Bill Barrett Corp. | 291,169 | 1,861 |
* | Eclipse Resources Corp. | 477,166 | 1,594 |
*,^ | Clayton Williams Energy Inc. | 29,575 | 812 |
*,^ | Northern Oil and Gas Inc. | 135,716 | 627 |
* | Jones Energy Inc. Class A | 1,829 | 8 |
497,829 | |||
Other (0.0%)2 | |||
* | Dyax Corp CVR Exp. 12/31/2019 | 1,798,309 | 1,996 |
* | Clinical Data Contingent Value Rights Exp. 4/14/2018 | 132,154 | — |
1,996 | |||
Technology (15.6%) | |||
* | Cadence Design Systems Inc. | 3,669,308 | 89,164 |
* | Ultimate Software Group Inc. | 334,343 | 70,309 |
* | athenahealth Inc. | 478,559 | 66,046 |
* | Tyler Technologies Inc. | 396,136 | 66,040 |
SS&C Technologies Holdings Inc. | 2,056,510 | 57,747 | |
* | Manhattan Associates Inc. | 880,346 | 56,457 |
* | Guidewire Software Inc. | 878,001 | 54,225 |
* | PTC Inc. | 1,399,454 | 52,592 |
IAC/InterActiveCorp | 896,167 | 50,454 | |
* | Fortinet Inc. | 1,571,923 | 49,657 |
Fair Isaac Corp. | 380,245 | 42,972 | |
* | Aspen Technology Inc. | 998,439 | 40,177 |
Blackbaud Inc. | 579,197 | 39,328 | |
* | ViaSat Inc. | 536,319 | 38,293 |
* | EPAM Systems Inc. | 586,956 | 37,747 |
* | Veeva Systems Inc. Class A | 1,057,903 | 36,096 |
j2 Global Inc. | 563,881 | 35,620 | |
* | Dycom Industries Inc. | 380,982 | 34,197 |
* | Qlik Technologies Inc. | 1,145,401 | 33,881 |
* | Tableau Software Inc. Class A | 671,293 | 32,840 |
*,^ | Arista Networks Inc. | 501,847 | 32,309 |
* | Ellie Mae Inc. | 347,215 | 31,822 |
* | Demandware Inc. | 417,027 | 31,235 |
* | Integrated Device Technology Inc. | 1,547,191 | 31,145 |
* | Medidata Solutions Inc. | 663,317 | 31,090 |
* | Proofpoint Inc. | 480,232 | 30,298 |
Monolithic Power Systems Inc. | 441,775 | 30,182 | |
* | FireEye Inc. | 1,823,955 | 30,041 |
* | Cree Inc. | 1,223,700 | 29,907 |
* | Ciena Corp. | 1,592,222 | 29,854 |
* | Allscripts Healthcare Solutions Inc. | 2,278,950 | 28,943 |
* | ACI Worldwide Inc. | 1,420,513 | 27,714 |
* | Rackspace Hosting Inc. | 1,302,058 | 27,161 |
* | NetScout Systems Inc. | 1,200,623 | 26,714 |
* | Cavium Inc. | 663,321 | 25,604 |
* | Zendesk Inc. | 949,417 | 25,046 |
* | Entegris Inc. | 1,714,695 | 24,812 |
* | Electronics For Imaging Inc. | 573,488 | 24,683 |
* | Synaptics Inc. | 448,499 | 24,107 |
* | Silicon Laboratories Inc. | 482,814 | 23,532 |
InterDigital Inc. | 420,892 | 23,435 | |
* | Cornerstone OnDemand Inc. | 603,333 | 22,963 |
* | Finisar Corp. | 1,308,856 | 22,918 |
* | Paycom Software Inc. | 510,490 | 22,058 |
* | CommVault Systems Inc. | 484,283 | 20,916 |
* | Fleetmatics Group plc | 476,830 | 20,661 |
35
Vanguard® Small-Cap Growth Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | MicroStrategy Inc. Class A | 114,250 | 19,996 |
Cogent Communications Holdings Inc. | 497,746 | 19,940 | |
* | Infinera Corp. | 1,729,786 | 19,512 |
* | Syntel Inc. | 410,655 | 18,586 |
* | LogMeIn Inc. | 290,380 | 18,419 |
* | Advanced Energy Industries Inc. | 483,859 | 18,367 |
Tessera Technologies Inc. | 599,310 | 18,363 | |
Plantronics Inc. | 406,314 | 17,878 | |
*,^ | 3D Systems Corp. | 1,301,521 | 17,818 |
* | Marketo Inc. | 490,120 | 17,066 |
* | GoDaddy Inc. Class A | 546,438 | 17,043 |
NIC Inc. | 765,973 | 16,805 | |
Power Integrations Inc. | 334,588 | 16,753 | |
* | Envestnet Inc. | 495,370 | 16,501 |
* | Rambus Inc. | 1,346,428 | 16,265 |
* | Synchronoss Technologies Inc. | 492,498 | 15,691 |
* | Cray Inc. | 498,884 | 14,927 |
* | Lumentum Holdings Inc. | 616,547 | 14,920 |
* | HubSpot Inc. | 339,764 | 14,753 |
* | BroadSoft Inc. | 357,678 | 14,676 |
* | Inphi Corp. | 443,583 | 14,208 |
* | RealPage Inc. | 635,475 | 14,190 |
* | RingCentral Inc. Class A | 645,444 | 12,728 |
* | Gigamon Inc. | 340,359 | 12,726 |
Monotype Imaging Holdings Inc. | 496,365 | 12,225 | |
* | Infoblox Inc. | 634,092 | 11,896 |
* | Super Micro Computer Inc. | 472,807 | 11,749 |
*,^ | Ubiquiti Networks Inc. | 302,950 | 11,712 |
Pegasystems Inc. | 418,209 | 11,271 | |
ADTRAN Inc. | 596,458 | 11,124 | |
*,^ | Shutterstock Inc. | 234,514 | 10,741 |
* | Bottomline Technologies de Inc. | 472,232 | 10,167 |
* | New Relic Inc. | 331,940 | 9,752 |
* | Interactive Intelligence Group Inc. | 215,183 | 8,820 |
* | Diodes Inc. | 441,384 | 8,294 |
* | Cvent Inc. | 231,186 | 8,258 |
* | Endurance International Group Holdings Inc. | 855,296 | 7,689 |
* | Ultratech Inc. | 307,371 | 7,060 |
* | Lattice Semiconductor Corp. | 1,306,396 | 6,989 |
* | CEVA Inc. | 251,113 | 6,823 |
* | Xura Inc. | 272,942 | 6,668 |
* | 2U Inc. | 226,306 | 6,656 |
* | InvenSense Inc. | 1,026,089 | 6,290 |
*,^ | Pure Storage Inc. Class A | 565,381 | 6,163 |
* | Benefitfocus Inc. | 160,312 | 6,111 |
* | Applied Micro Circuits Corp. | 933,872 | 5,995 |
* | Mercury Systems Inc. | 233,076 | 5,794 |
* | Nimble Storage Inc. | 717,032 | 5,708 |
*,^ | Gogo Inc. | 677,550 | 5,685 |
* | Loral Space & Communications Inc. | 156,548 | 5,521 |
* | Web.com Group Inc. | 294,239 | 5,349 |
Computer Programs & Systems Inc. | 133,305 | 5,322 | |
* | Sonus Networks Inc. | 568,939 | 4,944 |
*,^ | Hortonworks Inc. | 457,186 | 4,887 |
* | Virtusa Corp. | 162,875 | 4,704 |
*,^ | Square Inc. | 501,550 | 4,539 |
Forrester Research Inc. | 119,926 | 4,420 | |
* | Ixia | 448,088 | 4,400 |
*,^ | Box Inc. | 411,745 | 4,257 |
* | LivePerson Inc. | 624,782 | 3,961 |
* | Actua Corp. | 432,446 | 3,905 |
* | Intralinks Holdings Inc. | 600,337 | 3,902 |
* | Barracuda Networks Inc. | 254,061 | 3,847 |
* | Calix Inc. | 496,135 | 3,428 |
36
Vanguard® Small-Cap Growth Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Market | |||||
Value | |||||
Shares | ($000) | ||||
* | Rapid7 Inc. | 204,319 | 2,570 | ||
* | Jive Software Inc. | 612,827 | 2,304 | ||
* | ChannelAdvisor Corp. | 140,212 | 2,032 | ||
* | MobileIron Inc. | 459,637 | 1,402 | ||
* | Castlight Health Inc. Class B | 344,427 | 1,364 | ||
* | SecureWorks Corp. Class A | 48,816 | 688 | ||
* | Harmonic Inc. | 235,368 | 671 | ||
* | Acacia Communications Inc. | 6,267 | 250 | ||
* | SunEdison Inc. | 119,641 | 17 | ||
CDK Global Inc. | 17 | 1 | |||
2,369,448 | |||||
Telecommunications (0.3%) | |||||
* | Cincinnati Bell Inc. | 2,561,114 | 11,704 | ||
ATN International Inc. | 127,762 | 9,941 | |||
Shenandoah Telecommunications Co. | 234,651 | 9,166 | |||
*,^ | Globalstar Inc. | 5,020,351 | 6,075 | ||
36,886 | |||||
Utilities (1.0%) | |||||
ITC Holdings Corp. | 1,864,735 | 87,307 | |||
* | Dynegy Inc. | 1,427,750 | 24,614 | ||
Ormat Technologies Inc. | 422,761 | 18,500 | |||
TerraForm Power Inc. Class A | 1,023,091 | 11,152 | |||
*,^ | Sunrun Inc. | 745,162 | 4,419 | ||
*,^ | Vivint Solar Inc. | 265,316 | 814 | ||
146,806 | |||||
Total Common Stocks (Cost $12,731,992) | 15,181,050 | ||||
Coupon | |||||
Temporary Cash Investments (1.9%)1 | |||||
Money Market Fund (1.9%) | |||||
3,4 | Vanguard Market Liquidity Fund | 0.538% | 293,959,208 | 293,959 | |
Maturity | |||||
Date | |||||
U.S. Government and Agency Obligations (0.0%) | |||||
5 | Federal Home Loan Bank Discount Notes | 0.516% | 8/31/16 | 1,000 | 1,000 |
5,6 | Federal Home Loan Bank Discount Notes | 0.491% | 9/16/16 | 1,000 | 999 |
1,999 | |||||
Total Temporary Cash Investments (Cost $295,957) | 295,958 | ||||
Total Investments (101.8%) (Cost $13,027,949) | 15,477,008 | ||||
Other Assets and Liabilities—Net (-1.8%) | (279,920) | ||||
Net Assets (100%) | 15,197,088 |
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $269,914,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and 1.8%, 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 $282,886,000 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 $699,000 have been segregated as initial margin for open futures contracts.
CVR—Contingent Value Rights.
37
Vanguard® Small-Cap Growth Index Fund
Schedule of Investments
June 30, 2016
REIT—Real Estate Investment Trust.
38
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (100.7%)1 | |||
Basic Materials (5.0%) | |||
RPM International Inc. | 1,658,766 | 82,855 | |
Steel Dynamics Inc. | 2,889,451 | 70,792 | |
Olin Corp. | 2,062,243 | 51,226 | |
Scotts Miracle-Gro Co. Class A | 573,136 | 40,068 | |
Sensient Technologies Corp. | 559,539 | 39,750 | |
^ | CONSOL Energy Inc. | 2,433,262 | 39,151 |
PolyOne Corp. | 1,048,334 | 36,943 | |
Huntsman Corp. | 2,526,550 | 33,982 | |
Cabot Corp. | 700,743 | 31,996 | |
Compass Minerals International Inc. | 421,694 | 31,286 | |
United States Steel Corp. | 1,827,930 | 30,819 | |
Axiall Corp. | 881,248 | 28,738 | |
HB Fuller Co. | 624,208 | 27,459 | |
Domtar Corp. | 781,412 | 27,357 | |
Hecla Mining Co. | 4,796,760 | 24,463 | |
Commercial Metals Co. | 1,430,372 | 24,173 | |
* | GCP Applied Technologies Inc. | 882,853 | 22,990 |
Worthington Industries Inc. | 542,510 | 22,948 | |
* | Chemtura Corp. | 798,865 | 21,074 |
Kaiser Aluminum Corp. | 213,449 | 19,298 | |
Carpenter Technology Corp. | 581,984 | 19,165 | |
Chemours Co. | 2,266,671 | 18,677 | |
^ | Allegheny Technologies Inc. | 1,360,465 | 17,346 |
Stepan Co. | 250,560 | 14,916 | |
Quaker Chemical Corp. | 157,100 | 14,013 | |
* | Clearwater Paper Corp. | 213,357 | 13,947 |
* | AK Steel Holding Corp. | 2,872,546 | 13,386 |
Innospec Inc. | 284,007 | 13,062 | |
Minerals Technologies Inc. | 217,081 | 12,330 | |
^,* | Cliffs Natural Resources Inc. | 2,021,651 | 11,463 |
* | Kraton Performance Polymers Inc. | 384,663 | 10,744 |
PH Glatfelter Co. | 543,927 | 10,639 | |
* | Univar Inc. | 515,905 | 9,756 |
Innophos Holdings Inc. | 229,877 | 9,703 | |
* | Ingevity Corp. | 262,461 | 8,934 |
A Schulman Inc. | 349,971 | 8,546 | |
* | Koppers Holdings Inc. | 244,345 | 7,509 |
Rayonier Advanced Materials Inc. | 542,075 | 7,367 | |
* | Ferro Corp. | 523,703 | 7,007 |
Tredegar Corp. | 348,526 | 5,618 | |
Haynes International Inc. | 155,551 | 4,990 | |
* | Resolute Forest Products Inc. | 731,711 | 3,871 |
* | Century Aluminum Co. | 596,894 | 3,778 |
Tronox Ltd. Class A | 775,560 | 3,420 | |
FutureFuel Corp. | 300,571 | 3,270 | |
SunCoke Energy Inc. | 398,874 | 2,321 | |
Kronos Worldwide Inc. | 215,345 | 1,131 | |
964,277 | |||
Consumer Goods (6.9%) | |||
Ingredion Inc. | 898,796 | 116,313 | |
Leggett & Platt Inc. | 1,677,178 | 85,721 | |
Pinnacle Foods Inc. | 1,458,337 | 67,506 | |
^,* | Herbalife Ltd. | 869,088 | 50,868 |
Goodyear Tire & Rubber Co. | 1,660,669 | 42,613 | |
Energizer Holdings Inc. | 771,717 | 39,736 | |
Thor Industries Inc. | 589,532 | 38,166 | |
* | Vista Outdoor Inc. | 762,813 | 36,409 |
* | TreeHouse Foods Inc. | 352,165 | 36,150 |
* | Helen of Troy Ltd. | 346,437 | 35,628 |
Spectrum Brands Holdings Inc. | 296,632 | 35,391 | |
Snyder's-Lance Inc. | 957,097 | 32,436 |
39
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Tenneco Inc. | 679,338 | 31,664 |
Nu Skin Enterprises Inc. Class A | 663,786 | 30,660 | |
* | Darling Ingredients Inc. | 2,054,424 | 30,611 |
Tupperware Brands Corp. | 535,917 | 30,161 | |
* | Manitowoc Foodservice Inc. | 1,710,610 | 30,141 |
Visteon Corp. | 424,586 | 27,942 | |
HNI Corp. | 566,100 | 26,318 | |
Wolverine World Wide Inc. | 1,181,234 | 24,003 | |
Fresh Del Monte Produce Inc. | 412,582 | 22,457 | |
Herman Miller Inc. | 748,061 | 22,359 | |
Sanderson Farms Inc. | 239,682 | 20,766 | |
Dean Foods Co. | 1,146,135 | 20,734 | |
Avon Products Inc. | 5,447,922 | 20,593 | |
Cooper Tire & Rubber Co. | 689,020 | 20,547 | |
Dana Holding Corp. | 1,847,165 | 19,506 | |
* | Take-Two Interactive Software Inc. | 503,448 | 19,091 |
La-Z-Boy Inc. | 623,316 | 17,341 | |
^ | Cal-Maine Foods Inc. | 355,275 | 15,746 |
Universal Corp. | 269,701 | 15,572 | |
Lancaster Colony Corp. | 119,877 | 15,297 | |
* | Cooper-Standard Holding Inc. | 193,110 | 15,254 |
* | Fossil Group Inc. | 510,013 | 14,551 |
KB Home | 944,134 | 14,360 | |
Knoll Inc. | 581,289 | 14,114 | |
* | ACCO Brands Corp. | 1,336,113 | 13,802 |
Schweitzer-Mauduit International Inc. | 380,992 | 13,441 | |
Steelcase Inc. Class A | 988,070 | 13,408 | |
* | American Axle & Manufacturing Holdings Inc. | 906,147 | 13,121 |
Andersons Inc. | 316,985 | 11,266 | |
Briggs & Stratton Corp. | 514,478 | 10,897 | |
Ethan Allen Interiors Inc. | 311,370 | 10,288 | |
Columbia Sportswear Co. | 174,079 | 10,016 | |
* | Crocs Inc. | 868,722 | 9,799 |
^ | Tootsie Roll Industries Inc. | 240,137 | 9,252 |
* | Central Garden & Pet Co. Class A | 415,976 | 9,031 |
* | Seaboard Corp. | 2,922 | 8,388 |
Superior Industries International Inc. | 285,066 | 7,634 | |
Inter Parfums Inc. | 215,085 | 6,145 | |
National Presto Industries Inc. | 64,923 | 6,125 | |
* | Taylor Morrison Home Corp. Class A | 378,764 | 5,621 |
* | Modine Manufacturing Co. | 600,662 | 5,286 |
* | Eastman Kodak Co. | 293,536 | 4,720 |
Movado Group Inc. | 193,909 | 4,204 | |
^,* | Iconix Brand Group Inc. | 573,663 | 3,878 |
* | Vera Bradley Inc. | 255,404 | 3,619 |
* | Federal-Mogul Holdings Corp. | 419,491 | 3,486 |
* | Central Garden & Pet Co. | 103,793 | 2,370 |
Phibro Animal Health Corp. Class A | 114,477 | 2,136 | |
* | Elizabeth Arden Inc. | 130,181 | 1,791 |
Titan International Inc. | 269,098 | 1,668 | |
* | Vince Holding Corp. | 133,747 | 733 |
* | US Foods Holding Corp. | 10,200 | 247 |
1,329,097 | |||
Consumer Services (10.6%) | |||
KAR Auction Services Inc. | 1,714,318 | 71,556 | |
* | JetBlue Airways Corp. | 4,021,325 | 66,593 |
TEGNA Inc. | 2,716,229 | 62,935 | |
Service Corp. International | 2,297,235 | 62,117 | |
Dun & Bradstreet Corp. | 452,713 | 55,159 | |
^ | Cracker Barrel Old Country Store Inc. | 298,904 | 51,253 |
* | Rite Aid Corp. | 6,546,666 | 49,034 |
Cinemark Holdings Inc. | 1,305,675 | 47,605 | |
CST Brands Inc. | 944,717 | 40,698 | |
Tribune Media Co. Class A | 976,039 | 38,241 |
40
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Murphy USA Inc. | 467,186 | 34,646 |
GameStop Corp. Class A | 1,297,564 | 34,489 | |
* | Avis Budget Group Inc. | 1,062,563 | 34,246 |
* | Beacon Roofing Supply Inc. | 743,693 | 33,816 |
* | ServiceMaster Global Holdings Inc. | 847,236 | 33,720 |
American Eagle Outfitters Inc. | 2,032,267 | 32,374 | |
* | JC Penney Co. Inc. | 3,639,305 | 32,317 |
Casey's General Stores Inc. | 243,762 | 32,057 | |
Brinker International Inc. | 695,468 | 31,665 | |
John Wiley & Sons Inc. Class A | 602,337 | 31,430 | |
* | Starz | 1,039,241 | 31,094 |
Big Lots Inc. | 620,262 | 31,081 | |
Dolby Laboratories Inc. Class A | 635,443 | 30,406 | |
Cable One Inc. | 57,352 | 29,330 | |
* | United Natural Foods Inc. | 597,171 | 27,948 |
AMERCO | 73,439 | 27,507 | |
Graham Holdings Co. Class B | 55,150 | 26,998 | |
Chemed Corp. | 196,429 | 26,775 | |
Sinclair Broadcast Group Inc. Class A | 862,822 | 25,764 | |
Core-Mark Holding Co. Inc. | 548,470 | 25,701 | |
Wendy's Co. | 2,662,239 | 25,611 | |
* | Hertz Global Holdings Inc. | 2,252,292 | 24,933 |
Meredith Corp. | 469,724 | 24,383 | |
* | Houghton Mifflin Harcourt Co. | 1,538,197 | 24,042 |
* | Office Depot Inc. | 6,869,221 | 22,737 |
^ | Regal Entertainment Group Class A | 997,330 | 21,981 |
Matthews International Corp. Class A | 391,620 | 21,790 | |
Hillenbrand Inc. | 708,392 | 21,280 | |
GNC Holdings Inc. Class A | 853,805 | 20,739 | |
* | Acxiom Corp. | 922,257 | 20,280 |
Gannett Co. Inc. | 1,455,408 | 20,099 | |
Lithia Motors Inc. Class A | 282,744 | 20,095 | |
Aaron's Inc. | 908,720 | 19,892 | |
New York Times Co. Class A | 1,600,044 | 19,360 | |
Time Inc. | 1,144,146 | 18,833 | |
DineEquity Inc. | 218,579 | 18,531 | |
* | Boyd Gaming Corp. | 980,190 | 18,035 |
Children's Place Inc. | 224,068 | 17,966 | |
Chico's FAS Inc. | 1,586,905 | 16,996 | |
DSW Inc. Class A | 785,511 | 16,637 | |
SkyWest Inc. | 609,574 | 16,129 | |
* | Genesco Inc. | 248,244 | 15,965 |
* | SUPERVALU Inc. | 3,309,217 | 15,619 |
Penske Automotive Group Inc. | 479,746 | 15,093 | |
Abercrombie & Fitch Co. | 842,935 | 15,013 | |
Dillard's Inc. Class A | 236,514 | 14,333 | |
* | Express Inc. | 932,153 | 13,526 |
* | Asbury Automotive Group Inc. | 248,649 | 13,114 |
Group 1 Automotive Inc. | 261,769 | 12,921 | |
Bloomin' Brands Inc. | 718,039 | 12,831 | |
DeVry Education Group Inc. | 704,342 | 12,565 | |
Caleres Inc. | 517,297 | 12,524 | |
* | Performance Food Group Co. | 447,931 | 12,054 |
* | La Quinta Holdings Inc. | 1,047,362 | 11,940 |
SeaWorld Entertainment Inc. | 829,228 | 11,883 | |
Cato Corp. Class A | 307,754 | 11,608 | |
Scholastic Corp. | 283,589 | 11,233 | |
* | MSG Networks Inc. | 726,314 | 11,142 |
International Speedway Corp. Class A | 330,659 | 11,061 | |
Guess? Inc. | 733,464 | 11,039 | |
Interval Leisure Group Inc. | 691,243 | 10,991 | |
Finish Line Inc. Class A | 526,567 | 10,631 | |
* | Apollo Education Group Inc. | 1,146,607 | 10,457 |
^ | Buckle Inc. | 365,097 | 9,489 |
41
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Weis Markets Inc. | 167,670 | 8,476 | |
Bob Evans Farms Inc. | 222,280 | 8,435 | |
* | Rush Enterprises Inc. Class A | 387,915 | 8,360 |
Barnes & Noble Inc. | 698,587 | 7,929 | |
Rent-A-Center Inc. | 633,194 | 7,776 | |
Tailored Brands Inc. | 608,322 | 7,701 | |
Capella Education Co. | 145,687 | 7,669 | |
Fred's Inc. Class A | 440,456 | 7,096 | |
Extended Stay America Inc. | 441,642 | 6,603 | |
* | Virgin America Inc. | 110,538 | 6,213 |
* | Strayer Education Inc. | 125,337 | 6,158 |
* | Liberty Media Group | 313,198 | 5,941 |
* | EW Scripps Co. Class A | 360,796 | 5,715 |
* | Smart & Final Stores Inc. | 371,914 | 5,538 |
* | Regis Corp. | 435,915 | 5,427 |
Sonic Automotive Inc. Class A | 316,898 | 5,422 | |
* | American Public Education Inc. | 190,652 | 5,357 |
* | FTD Cos. Inc. | 208,081 | 5,194 |
Pier 1 Imports Inc. | 1,007,888 | 5,181 | |
* | K12 Inc. | 413,991 | 5,171 |
New Media Investment Group Inc. | 265,048 | 4,789 | |
* | Vitamin Shoppe Inc. | 151,978 | 4,646 |
* | Barnes & Noble Education Inc. | 451,386 | 4,582 |
^,* | Weight Watchers International Inc. | 362,391 | 4,215 |
* | Bankrate Inc. | 557,663 | 4,171 |
^,* | Sears Holdings Corp. | 266,323 | 3,625 |
^,* | Zumiez Inc. | 221,081 | 3,164 |
^,* | Lands' End Inc. | 179,369 | 2,945 |
* | Liberty Media Group Class A | 148,911 | 2,850 |
Speedway Motorsports Inc. | 153,703 | 2,728 | |
Clear Channel Outdoor Holdings Inc. Class A | 435,024 | 2,706 | |
* | Biglari Holdings Inc. | 6,499 | 2,621 |
^,* | Caesars Entertainment Corp. | 314,657 | 2,420 |
* | Rush Enterprises Inc. Class B | 94,530 | 1,965 |
* | RetailMeNot Inc. | 225,864 | 1,741 |
* | Bridgepoint Education Inc. | 228,263 | 1,653 |
* | Ruby Tuesday Inc. | 399,780 | 1,443 |
^,* | Conn's Inc. | 123,157 | 926 |
^,* | Container Store Group Inc. | 103,685 | 555 |
Stage Stores Inc. | 20,252 | 99 | |
2,061,142 | |||
Financials (30.6%) | |||
Arthur J Gallagher & Co. | 2,211,484 | 105,267 | |
National Retail Properties Inc. | 1,798,254 | 93,006 | |
Apartment Investment & Management Co. | 1,955,321 | 86,347 | |
Liberty Property Trust | 1,830,969 | 72,726 | |
Highwoods Properties Inc. | 1,216,049 | 64,207 | |
EPR Properties | 794,087 | 64,067 | |
American Financial Group Inc. | 865,918 | 64,017 | |
Senior Housing Properties Trust | 2,964,847 | 61,758 | |
East West Bancorp Inc. | 1,798,715 | 61,480 | |
RenaissanceRe Holdings Ltd. | 510,992 | 60,011 | |
Old Republic International Corp. | 3,109,636 | 59,985 | |
Starwood Property Trust Inc. | 2,818,844 | 58,406 | |
Duke Realty Corp. | 2,159,604 | 57,575 | |
Weingarten Realty Investors | 1,410,020 | 57,557 | |
STORE Capital Corp. | 1,893,188 | 55,754 | |
First American Financial Corp. | 1,368,140 | 55,027 | |
Hospitality Properties Trust | 1,892,275 | 54,498 | |
* | Liberty Broadband Corp. | 906,958 | 54,417 |
Endurance Specialty Holdings Ltd. | 798,928 | 53,656 | |
Taubman Centers Inc. | 715,813 | 53,113 | |
Brown & Brown Inc. | 1,398,702 | 52,409 | |
Corrections Corp. of America | 1,466,829 | 51,368 |
42
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Alleghany Corp. | 91,560 | 50,320 |
Mid-America Apartment Communities Inc. | 471,500 | 50,168 | |
Retail Properties of America Inc. | 2,963,641 | 50,086 | |
Commerce Bancshares Inc. | 1,024,772 | 49,087 | |
Eaton Vance Corp. | 1,360,966 | 48,097 | |
Validus Holdings Ltd. | 967,371 | 47,005 | |
* | Equity Commonwealth | 1,567,268 | 45,655 |
Hanover Insurance Group Inc. | 536,448 | 45,394 | |
Cullen/Frost Bankers Inc. | 696,815 | 44,408 | |
DuPont Fabros Technology Inc. | 929,091 | 44,169 | |
First Niagara Financial Group Inc. | 4,432,041 | 43,168 | |
Synovus Financial Corp. | 1,488,966 | 43,165 | |
Umpqua Holdings Corp. | 2,750,945 | 42,557 | |
Assured Guaranty Ltd. | 1,676,768 | 42,540 | |
FirstMerit Corp. | 2,077,422 | 42,109 | |
Prosperity Bancshares Inc. | 824,442 | 42,038 | |
PrivateBancorp Inc. | 941,298 | 41,445 | |
First Industrial Realty Trust Inc. | 1,458,349 | 40,571 | |
Rayonier Inc. | 1,532,871 | 40,223 | |
First Horizon National Corp. | 2,902,265 | 39,993 | |
BankUnited Inc. | 1,299,699 | 39,927 | |
Omega Healthcare Investors Inc. | 1,174,298 | 39,867 | |
New Residential Investment Corp. | 2,876,441 | 39,810 | |
Piedmont Office Realty Trust Inc. Class A | 1,811,260 | 39,015 | |
CNO Financial Group Inc. | 2,233,225 | 38,992 | |
^ | Apple Hospitality REIT Inc. | 2,070,967 | 38,955 |
Webster Financial Corp. | 1,143,963 | 38,838 | |
Spirit Realty Capital Inc. | 2,993,364 | 38,225 | |
Popular Inc. | 1,294,209 | 37,920 | |
Allied World Assurance Co. Holdings AG | 1,063,149 | 37,359 | |
White Mountains Insurance Group Ltd. | 44,253 | 37,261 | |
Two Harbors Investment Corp. | 4,337,931 | 37,133 | |
Bank of Hawaii Corp. | 537,219 | 36,961 | |
Brandywine Realty Trust | 2,184,469 | 36,699 | |
RLI Corp. | 517,810 | 35,615 | |
ProAssurance Corp. | 664,040 | 35,559 | |
Aspen Insurance Holdings Ltd. | 757,937 | 35,153 | |
Chimera Investment Corp. | 2,226,072 | 34,949 | |
Corporate Office Properties Trust | 1,181,453 | 34,936 | |
Legg Mason Inc. | 1,184,195 | 34,922 | |
National Health Investors Inc. | 455,739 | 34,221 | |
MFA Financial Inc. | 4,631,958 | 33,674 | |
Federated Investors Inc. Class B | 1,168,102 | 33,618 | |
Primerica Inc. | 587,259 | 33,615 | |
Assurant Inc. | 386,563 | 33,364 | |
LaSalle Hotel Properties | 1,411,275 | 33,278 | |
Columbia Property Trust Inc. | 1,541,187 | 32,981 | |
Wintrust Financial Corp. | 644,201 | 32,854 | |
FNB Corp. | 2,619,021 | 32,843 | |
Associated Banc-Corp | 1,874,170 | 32,142 | |
MB Financial Inc. | 873,258 | 31,682 | |
United Bankshares Inc. | 826,463 | 31,001 | |
Blackstone Mortgage Trust Inc. Class A | 1,113,738 | 30,817 | |
IBERIABANK Corp. | 514,741 | 30,745 | |
GEO Group Inc. | 888,889 | 30,382 | |
AmTrust Financial Services Inc. | 1,193,878 | 29,250 | |
Fulton Financial Corp. | 2,165,522 | 29,235 | |
Empire State Realty Trust Inc. | 1,512,930 | 28,731 | |
Washington REIT | 910,781 | 28,653 | |
Erie Indemnity Co. Class A | 288,384 | 28,648 | |
PacWest Bancorp | 712,867 | 28,358 | |
UMB Financial Corp. | 525,096 | 27,940 | |
Radian Group Inc. | 2,675,220 | 27,876 | |
Washington Federal Inc. | 1,136,632 | 27,575 |
43
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Valley National Bancorp | 3,017,283 | 27,518 | |
Mack-Cali Realty Corp. | 1,007,221 | 27,195 | |
Interactive Brokers Group Inc. | 758,932 | 26,866 | |
EastGroup Properties Inc. | 384,673 | 26,512 | |
Cathay General Bancorp | 935,090 | 26,370 | |
Selective Insurance Group Inc. | 683,665 | 26,123 | |
WP Glimcher Inc. | 2,313,797 | 25,891 | |
NorthStar Realty Finance Corp. | 2,253,732 | 25,760 | |
^ | First Financial Bankshares Inc. | 783,583 | 25,694 |
Janus Capital Group Inc. | 1,844,196 | 25,671 | |
Hancock Holding Co. | 967,889 | 25,272 | |
* | MGIC Investment Corp. | 4,246,827 | 25,269 |
Glacier Bancorp Inc. | 950,659 | 25,268 | |
First Citizens BancShares Inc. Class A | 96,206 | 24,909 | |
* | Stifel Financial Corp. | 788,617 | 24,802 |
Navient Corp. | 2,063,474 | 24,658 | |
LTC Properties Inc. | 473,490 | 24,494 | |
Pinnacle Financial Partners Inc. | 498,829 | 24,368 | |
TCF Financial Corp. | 1,922,312 | 24,317 | |
Sterling Bancorp | 1,548,848 | 24,317 | |
BancorpSouth Inc. | 1,061,375 | 24,083 | |
Lexington Realty Trust | 2,347,837 | 23,737 | |
Great Western Bancorp Inc. | 730,296 | 23,034 | |
DiamondRock Hospitality Co. | 2,508,082 | 22,648 | |
American National Insurance Co. | 199,999 | 22,630 | |
Xenia Hotels & Resorts Inc. | 1,348,192 | 22,623 | |
BGC Partners Inc. Class A | 2,542,062 | 22,141 | |
Capitol Federal Financial Inc. | 1,541,389 | 21,502 | |
Community Bank System Inc. | 523,127 | 21,495 | |
CVB Financial Corp. | 1,278,837 | 20,960 | |
Outfront Media Inc. | 861,366 | 20,819 | |
Government Properties Income Trust | 888,516 | 20,489 | |
* | SLM Corp. | 3,289,781 | 20,331 |
Columbia Banking System Inc. | 723,900 | 20,313 | |
Select Income REIT | 781,417 | 20,309 | |
LPL Financial Holdings Inc. | 889,352 | 20,037 | |
Trustmark Corp. | 802,414 | 19,940 | |
CBL & Associates Properties Inc. | 2,133,270 | 19,861 | |
South State Corp. | 286,730 | 19,512 | |
Hatteras Financial Corp. | 1,180,739 | 19,364 | |
Invesco Mortgage Capital Inc. | 1,393,771 | 19,081 | |
New York REIT Inc. | 2,059,501 | 19,050 | |
* | HRG Group Inc. | 1,378,952 | 18,933 |
Argo Group International Holdings Ltd. | 358,903 | 18,627 | |
Mercury General Corp. | 345,172 | 18,349 | |
International Bancshares Corp. | 700,286 | 18,270 | |
* | Enstar Group Ltd. | 111,437 | 18,052 |
Northwest Bancshares Inc. | 1,208,891 | 17,928 | |
Old National Bancorp | 1,428,671 | 17,901 | |
First Midwest Bancorp Inc. | 1,016,192 | 17,844 | |
^ | Chemical Financial Corp. | 477,911 | 17,821 |
Pennsylvania REIT | 824,524 | 17,686 | |
Astoria Financial Corp. | 1,138,811 | 17,458 | |
EverBank Financial Corp. | 1,173,396 | 17,437 | |
Potlatch Corp. | 508,330 | 17,334 | |
Horace Mann Educators Corp. | 501,387 | 16,942 | |
Global Net Lease Inc. | 2,110,829 | 16,781 | |
Waddell & Reed Financial Inc. Class A | 967,306 | 16,657 | |
Sunstone Hotel Investors Inc. | 1,350,914 | 16,306 | |
* | Genworth Financial Inc. Class A | 6,228,107 | 16,068 |
RLJ Lodging Trust | 739,572 | 15,864 | |
CYS Investments Inc. | 1,890,056 | 15,820 | |
Banner Corp. | 369,451 | 15,716 | |
BOK Financial Corp. | 247,496 | 15,518 |
44
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
NBT Bancorp Inc. | 535,238 | 15,324 | |
Talmer Bancorp Inc. Class A | 794,727 | 15,235 | |
Park National Corp. | 162,561 | 14,920 | |
Westamerica Bancorporation | 301,716 | 14,863 | |
Kemper Corp. | 478,273 | 14,817 | |
Provident Financial Services Inc. | 741,760 | 14,568 | |
Franklin Street Properties Corp. | 1,186,728 | 14,561 | |
First Financial Bancorp | 732,480 | 14,247 | |
Independent Bank Corp. | 311,421 | 14,232 | |
Navigators Group Inc. | 154,058 | 14,169 | |
WesBanco Inc. | 453,892 | 14,093 | |
BBCN Bancorp Inc. | 942,564 | 14,063 | |
American Equity Investment Life Holding Co. | 976,809 | 13,920 | |
Care Capital Properties Inc. | 523,619 | 13,724 | |
Artisan Partners Asset Management Inc. Class A | 489,024 | 13,536 | |
Redwood Trust Inc. | 959,838 | 13,255 | |
PennyMac Mortgage Investment Trust | 812,578 | 13,188 | |
National General Holdings Corp. | 592,922 | 12,700 | |
Cash America International Inc. | 284,350 | 12,119 | |
* | Green Dot Corp. Class A | 509,420 | 11,712 |
Tompkins Financial Corp. | 178,733 | 11,618 | |
Capstead Mortgage Corp. | 1,196,557 | 11,607 | |
Boston Private Financial Holdings Inc. | 982,677 | 11,576 | |
Employers Holdings Inc. | 384,382 | 11,155 | |
* | MBIA Inc. | 1,626,362 | 11,108 |
Safety Insurance Group Inc. | 179,714 | 11,067 | |
* | Beneficial Bancorp Inc. | 846,552 | 10,768 |
Monogram Residential Trust Inc. | 1,039,789 | 10,616 | |
Infinity Property & Casualty Corp. | 131,000 | 10,566 | |
American Assets Trust Inc. | 240,714 | 10,216 | |
First Commonwealth Financial Corp. | 1,106,754 | 10,182 | |
S&T Bancorp Inc. | 413,500 | 10,110 | |
Berkshire Hills Bancorp Inc. | 368,671 | 9,925 | |
Investors Real Estate Trust | 1,502,165 | 9,719 | |
* | KCG Holdings Inc. Class A | 709,358 | 9,434 |
Nelnet Inc. Class A | 270,197 | 9,389 | |
United Fire Group Inc. | 220,874 | 9,372 | |
* | FNFV Group | 813,796 | 9,334 |
Brookline Bancorp Inc. | 836,895 | 9,231 | |
* | Liberty Broadband Corp. Class A | 155,121 | 9,214 |
^ | ARMOUR Residential REIT Inc. | 457,580 | 9,152 |
Maiden Holdings Ltd. | 737,665 | 9,029 | |
American Capital Mortgage Investment Corp. | 570,708 | 9,011 | |
Saul Centers Inc. | 144,774 | 8,934 | |
State Bank Financial Corp. | 436,645 | 8,886 | |
Central Pacific Financial Corp. | 368,123 | 8,688 | |
* | iStar Inc. | 900,710 | 8,638 |
Rouse Properties Inc. | 469,213 | 8,563 | |
Universal Health Realty Income Trust | 149,623 | 8,555 | |
City Holding Co. | 181,131 | 8,236 | |
* | Walker & Dunlop Inc. | 347,409 | 7,914 |
Oritani Financial Corp. | 476,119 | 7,613 | |
FBL Financial Group Inc. Class A | 124,405 | 7,548 | |
* | Greenlight Capital Re Ltd. Class A | 368,130 | 7,421 |
United Community Banks Inc. | 396,264 | 7,248 | |
^ | Seritage Growth Properties Class A | 145,374 | 7,245 |
* | Piper Jaffray Cos. | 190,277 | 7,173 |
^ | Virtus Investment Partners Inc. | 97,868 | 6,966 |
* | Santander Consumer USA Holdings Inc. | 669,973 | 6,921 |
Getty Realty Corp. | 313,725 | 6,729 | |
First Potomac Realty Trust | 725,016 | 6,670 | |
* | PRA Group Inc. | 274,882 | 6,636 |
Investment Technology Group Inc. | 393,742 | 6,583 | |
* | First BanCorp | 1,625,324 | 6,453 |
45
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Dime Community Bancshares Inc. | 377,787 | 6,426 | |
* | Flagstar Bancorp Inc. | 250,297 | 6,110 |
* | Ambac Financial Group Inc. | 369,809 | 6,087 |
BancFirst Corp. | 97,177 | 5,862 | |
Ladder Capital Corp. | 472,132 | 5,760 | |
Anworth Mortgage Asset Corp. | 1,205,908 | 5,668 | |
Virtu Financial Inc. Class A | 310,810 | 5,595 | |
Ashford Hospitality Trust Inc. | 1,017,285 | 5,463 | |
National Western Life Group Inc. Class A | 27,961 | 5,460 | |
AG Mortgage Investment Trust Inc. | 354,371 | 5,117 | |
Resource Capital Corp. | 375,884 | 4,834 | |
OFG Bancorp | 546,635 | 4,537 | |
Ashford Hospitality Prime Inc. | 316,052 | 4,469 | |
State Auto Financial Corp. | 180,847 | 3,962 | |
Northfield Bancorp Inc. | 253,903 | 3,765 | |
OneBeacon Insurance Group Ltd. Class A | 264,898 | 3,656 | |
National Bank Holdings Corp. Class A | 169,662 | 3,454 | |
Fidelity & Guaranty Life | 147,120 | 3,410 | |
* | World Acceptance Corp. | 72,392 | 3,301 |
Newcastle Investment Corp. | 704,646 | 3,234 | |
Urstadt Biddle Properties Inc. Class A | 113,537 | 2,813 | |
Altisource Residential Corp. | 303,460 | 2,789 | |
* | Forestar Group Inc. | 199,028 | 2,366 |
* | EZCORP Inc. Class A | 305,959 | 2,313 |
* | MoneyGram International Inc. | 328,591 | 2,251 |
GAMCO Investors Inc. Class A | 52,695 | 1,727 | |
Houlihan Lokey Inc. | 75,106 | 1,680 | |
RMR Group Inc. Class A | 37,201 | 1,152 | |
Urstadt Biddle Properties Inc. | 42,332 | 926 | |
Associated Capital Group Inc. Class A | 27,304 | 783 | |
^,* | Walter Investment Management Corp. | 165,327 | 456 |
5,922,664 | |||
Health Care (5.5%) | |||
Teleflex Inc. | 544,402 | 96,528 | |
* | WellCare Health Plans Inc. | 552,530 | 59,275 |
* | Charles River Laboratories International Inc. | 589,157 | 48,570 |
* | Alere Inc. | 1,080,620 | 45,040 |
HealthSouth Corp. | 1,067,230 | 41,430 | |
Hill-Rom Holdings Inc. | 734,410 | 37,051 | |
STERIS plc | 536,074 | 36,855 | |
* | Bio-Rad Laboratories Inc. Class A | 257,144 | 36,777 |
* | Prestige Brands Holdings Inc. | 658,491 | 36,480 |
* | Brookdale Senior Living Inc. | 2,319,553 | 35,814 |
* | LifePoint Health Inc. | 541,820 | 35,419 |
* | TESARO Inc. | 372,248 | 31,287 |
* | Integra LifeSciences Holdings Corp. | 371,746 | 29,658 |
Owens & Minor Inc. | 783,955 | 29,304 | |
* | VWR Corp. | 984,827 | 28,462 |
* | Tenet Healthcare Corp. | 991,836 | 27,414 |
* | Molina Healthcare Inc. | 529,827 | 26,438 |
^,* | Kite Pharma Inc. | 490,797 | 24,540 |
* | Ultragenyx Pharmaceutical Inc. | 438,579 | 21,451 |
* | Magellan Health Inc. | 309,307 | 20,343 |
* | Endo International plc | 1,249,953 | 19,487 |
* | Ophthotech Corp. | 375,610 | 19,167 |
^,* | Juno Therapeutics Inc. | 494,426 | 19,006 |
* | Halyard Health Inc. | 583,075 | 18,962 |
* | Surgical Care Affiliates Inc. | 350,159 | 16,692 |
* | Community Health Systems Inc. | 1,350,214 | 16,270 |
* | Intra-Cellular Therapies Inc. Class A | 404,471 | 15,702 |
CONMED Corp. | 311,523 | 14,869 | |
* | Select Medical Holdings Corp. | 1,309,901 | 14,239 |
* | Portola Pharmaceuticals Inc. | 598,598 | 14,127 |
Kindred Healthcare Inc. | 1,008,882 | 11,390 |
46
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Sage Therapeutics Inc. | 321,188 | 9,677 |
* | Haemonetics Corp. | 317,217 | 9,196 |
* | Synergy Pharmaceuticals Inc. | 2,130,182 | 8,095 |
^,* | Cempra Inc. | 480,944 | 7,931 |
* | LHC Group Inc. | 181,348 | 7,849 |
National HealthCare Corp. | 114,259 | 7,397 | |
^,* | Spark Therapeutics Inc. | 131,175 | 6,707 |
PDL BioPharma Inc. | 2,075,493 | 6,517 | |
Ensign Group Inc. | 297,126 | 6,243 | |
^,* | Clovis Oncology Inc. | 411,797 | 5,650 |
^,* | Celldex Therapeutics Inc. | 1,231,549 | 5,406 |
* | Merit Medical Systems Inc. | 262,108 | 5,198 |
* | Glaukos Corp. | 163,484 | 4,767 |
Universal American Corp. | 612,595 | 4,643 | |
Invacare Corp. | 373,164 | 4,526 | |
* | Healthways Inc. | 388,569 | 4,488 |
* | Amicus Therapeutics Inc. | 784,395 | 4,283 |
^,* | Teladoc Inc. | 262,995 | 4,213 |
^,* | Global Blood Therapeutics Inc. | 250,844 | 4,162 |
* | Quorum Health Corp. | 346,077 | 3,706 |
^,* | PTC Therapeutics Inc. | 401,951 | 2,822 |
* | Aimmune Therapeutics Inc. | 235,843 | 2,552 |
^,* | NantKwest Inc. | 302,311 | 1,880 |
^,* | Aduro Biotech Inc. | 159,324 | 1,802 |
* | Esperion Therapeutics Inc. | 48,675 | 481 |
* | Wright Medical Group Inc. CVR | 71,097 | 89 |
1,058,327 | |||
Industrials (20.0%) | |||
Huntington Ingalls Industries Inc. | 587,101 | 98,651 | |
Broadridge Financial Solutions Inc. | 1,475,961 | 96,233 | |
Valspar Corp. | 890,734 | 96,226 | |
Carlisle Cos. Inc. | 801,538 | 84,707 | |
Allegion plc | 1,195,364 | 82,994 | |
IDEX Corp. | 947,751 | 77,810 | |
PerkinElmer Inc. | 1,361,494 | 71,370 | |
* | Spirit AeroSystems Holdings Inc. Class A | 1,653,021 | 71,080 |
Sonoco Products Co. | 1,257,999 | 62,472 | |
AptarGroup Inc. | 788,586 | 62,401 | |
Orbital ATK Inc. | 730,958 | 62,234 | |
Bemis Co. Inc. | 1,182,226 | 60,873 | |
* | AECOM | 1,914,161 | 60,813 |
* | Berry Plastics Group Inc. | 1,509,448 | 58,642 |
MDU Resources Group Inc. | 2,438,432 | 58,522 | |
Donaldson Co. Inc. | 1,659,823 | 57,032 | |
Graphic Packaging Holding Co. | 4,020,642 | 50,419 | |
Booz Allen Hamilton Holding Corp. Class A | 1,571,044 | 46,566 | |
Lincoln Electric Holdings Inc. | 773,302 | 45,687 | |
Chicago Bridge & Iron Co. NV | 1,313,978 | 45,503 | |
RR Donnelley & Sons Co. | 2,614,892 | 44,244 | |
Oshkosh Corp. | 916,322 | 43,718 | |
* | CoreLogic Inc. | 1,108,124 | 42,641 |
MSC Industrial Direct Co. Inc. Class A | 600,483 | 42,370 | |
Curtiss-Wright Corp. | 500,035 | 42,128 | |
World Fuel Services Corp. | 883,369 | 41,951 | |
BWX Technologies Inc. | 1,166,064 | 41,710 | |
* | Quanta Services Inc. | 1,799,099 | 41,595 |
Ryder System Inc. | 670,205 | 40,976 | |
Deluxe Corp. | 610,501 | 40,519 | |
* | Kirby Corp. | 639,092 | 39,873 |
Packaging Corp. of America | 587,258 | 39,305 | |
* | Teledyne Technologies Inc. | 387,393 | 38,371 |
Jabil Circuit Inc. | 2,028,279 | 37,462 | |
EMCOR Group Inc. | 757,640 | 37,321 | |
* | Owens-Illinois Inc. | 2,020,833 | 36,395 |
47
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Valmont Industries Inc. | 269,016 | 36,390 | |
ITT Inc. | 1,129,454 | 36,120 | |
Crane Co. | 618,242 | 35,067 | |
Trinity Industries Inc. | 1,882,287 | 34,954 | |
EnerSys | 542,166 | 32,243 | |
Belden Inc. | 524,995 | 31,694 | |
* | Keysight Technologies Inc. | 1,069,255 | 31,105 |
Regal Beloit Corp. | 558,342 | 30,737 | |
* | Generac Holdings Inc. | 830,722 | 29,042 |
* | Colfax Corp. | 1,071,752 | 28,359 |
* | Coherent Inc. | 303,343 | 27,841 |
Timken Co. | 890,189 | 27,293 | |
* | WESCO International Inc. | 526,864 | 27,128 |
Convergys Corp. | 1,084,150 | 27,104 | |
Terex Corp. | 1,295,197 | 26,305 | |
Joy Global Inc. | 1,222,734 | 25,849 | |
Silgan Holdings Inc. | 490,536 | 25,243 | |
* | Sanmina Corp. | 919,425 | 24,650 |
ABM Industries Inc. | 665,388 | 24,273 | |
KBR Inc. | 1,778,437 | 23,547 | |
Universal Forest Products Inc. | 253,546 | 23,501 | |
* | Esterline Technologies Corp. | 366,440 | 22,734 |
Granite Construction Inc. | 494,263 | 22,514 | |
GATX Corp. | 510,800 | 22,460 | |
* | Rexnord Corp. | 1,142,993 | 22,437 |
Tetra Tech Inc. | 723,385 | 22,240 | |
* | Moog Inc. Class A | 410,266 | 22,122 |
Kennametal Inc. | 995,170 | 22,003 | |
Triumph Group Inc. | 616,033 | 21,869 | |
Barnes Group Inc. | 637,070 | 21,100 | |
* | FTI Consulting Inc. | 517,655 | 21,058 |
UniFirst Corp. | 181,438 | 20,996 | |
Vishay Intertechnology Inc. | 1,693,156 | 20,978 | |
Applied Industrial Technologies Inc. | 462,974 | 20,899 | |
MSA Safety Inc. | 397,491 | 20,880 | |
AGCO Corp. | 437,794 | 20,633 | |
* | KLX Inc. | 659,307 | 20,439 |
Watts Water Technologies Inc. Class A | 348,001 | 20,275 | |
* | Anixter International Inc. | 350,883 | 18,695 |
CLARCOR Inc. | 302,923 | 18,427 | |
* | MasTec Inc. | 822,141 | 18,350 |
* | Plexus Corp. | 416,622 | 17,998 |
G&K Services Inc. Class A | 234,950 | 17,990 | |
Brady Corp. Class A | 583,381 | 17,828 | |
Matson Inc. | 540,407 | 17,450 | |
Littelfuse Inc. | 140,116 | 16,560 | |
Otter Tail Corp. | 476,198 | 15,948 | |
* | NeuStar Inc. Class A | 678,186 | 15,944 |
Brink's Co. | 554,913 | 15,809 | |
Actuant Corp. Class A | 697,634 | 15,774 | |
* | Louisiana-Pacific Corp. | 896,338 | 15,551 |
Insperity Inc. | 200,073 | 15,452 | |
^,* | Knowles Corp. | 1,104,200 | 15,105 |
Kaman Corp. | 337,418 | 14,347 | |
Essendant Inc. | 462,884 | 14,146 | |
* | Sykes Enterprises Inc. | 478,306 | 13,852 |
Aircastle Ltd. | 687,668 | 13,451 | |
Standex International Corp. | 159,665 | 13,193 | |
Korn/Ferry International | 636,635 | 13,178 | |
* | Benchmark Electronics Inc. | 614,977 | 13,007 |
Astec Industries Inc. | 229,735 | 12,900 | |
* | SPX FLOW Inc. | 493,849 | 12,875 |
Greif Inc. Class A | 345,031 | 12,859 | |
* | Atlas Air Worldwide Holdings Inc. | 309,055 | 12,801 |
48
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
EVERTEC Inc. | 806,818 | 12,538 | |
Werner Enterprises Inc. | 539,126 | 12,384 | |
ESCO Technologies Inc. | 304,993 | 12,181 | |
Cubic Corp. | 302,675 | 12,155 | |
* | Greatbatch Inc. | 384,073 | 11,879 |
CIRCOR International Inc. | 204,774 | 11,670 | |
ManTech International Corp.Class A | 306,479 | 11,591 | |
* | Tutor Perini Corp. | 489,591 | 11,530 |
* | Boise Cascade Co. | 478,356 | 10,978 |
* | Wabash National Corp. | 808,537 | 10,268 |
* | Armstrong World Industries Inc. | 259,499 | 10,159 |
* | Rofin-Sinar Technologies Inc. | 318,031 | 10,158 |
* | TrueBlue Inc. | 530,867 | 10,044 |
Greenbrier Cos. Inc. | 332,884 | 9,697 | |
* | TriMas Corp. | 538,409 | 9,691 |
* | Navigant Consulting Inc. | 596,132 | 9,628 |
AAR Corp. | 411,430 | 9,603 | |
Mobile Mini Inc. | 277,001 | 9,595 | |
* | Babcock & Wilcox Enterprises Inc. | 631,934 | 9,283 |
Encore Wire Corp. | 245,211 | 9,141 | |
* | Wesco Aircraft Holdings Inc. | 676,995 | 9,085 |
^ | Outerwall Inc. | 214,750 | 9,019 |
MTS Systems Corp. | 204,596 | 8,969 | |
* | PHH Corp. | 667,415 | 8,890 |
* | DigitalGlobe Inc. | 392,587 | 8,397 |
Manitowoc Co. Inc. | 1,537,887 | 8,381 | |
Altra Industrial Motion Corp. | 307,493 | 8,296 | |
Quad/Graphics Inc. | 355,458 | 8,279 | |
* | Air Transport Services Group Inc. | 636,082 | 8,244 |
* | Meritor Inc. | 1,140,756 | 8,213 |
McGrath RentCorp | 268,168 | 8,203 | |
* | Huron Consulting Group Inc. | 135,629 | 8,195 |
* | Aegion Corp. Class A | 415,484 | 8,106 |
* | Swift Transportation Co. | 498,347 | 7,680 |
Comfort Systems USA Inc. | 235,088 | 7,657 | |
H&E Equipment Services Inc. | 398,035 | 7,575 | |
General Cable Corp. | 585,399 | 7,440 | |
Albany International Corp. | 181,168 | 7,234 | |
* | Nortek Inc. | 121,809 | 7,224 |
^,* | Navistar International Corp. | 615,203 | 7,192 |
AVX Corp. | 527,352 | 7,161 | |
Kelly Services Inc. Class A | 370,237 | 7,023 | |
* | SPX Corp. | 468,489 | 6,957 |
Harsco Corp. | 999,759 | 6,638 | |
* | TTM Technologies Inc. | 880,084 | 6,627 |
Overseas Shipholding Group Inc. Class A | 584,836 | 6,427 | |
Resources Connection Inc. | 433,753 | 6,411 | |
Materion Corp. | 250,297 | 6,197 | |
EnPro Industries Inc. | 135,811 | 6,029 | |
TeleTech Holdings Inc. | 211,266 | 5,732 | |
TAL International Group Inc. | 419,968 | 5,632 | |
Schnitzer Steel Industries Inc. | 313,231 | 5,513 | |
Kforce Inc. | 312,557 | 5,279 | |
Hyster-Yale Materials Handling Inc. | 86,289 | 5,133 | |
Landauer Inc. | 119,184 | 4,906 | |
ArcBest Corp. | 285,902 | 4,646 | |
TimkenSteel Corp. | 409,530 | 3,940 | |
^ | American Railcar Industries Inc. | 96,665 | 3,815 |
* | DHI Group Inc. | 608,061 | 3,788 |
Griffon Corp. | 215,636 | 3,636 | |
Park Electrochemical Corp. | 239,248 | 3,476 | |
^ | Textainer Group Holdings Ltd. | 284,189 | 3,166 |
* | Milacron Holdings Corp. | 208,994 | 3,033 |
* | RPX Corp. | 301,193 | 2,762 |
49
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Armstrong Flooring Inc. | 145,677 | 2,469 |
Greif Inc. Class B | 30,731 | 1,683 | |
* | Monster Worldwide Inc. | 521,003 | 1,245 |
* | Nuvectra Corp. | 60,109 | 445 |
* | Cotiviti Holdings Inc. | 7,650 | 162 |
Acacia Research Corp. | 25,208 | 111 | |
3,880,880 | |||
Oil & Gas (5.6%) | |||
* | Newfield Exploration Co. | 2,478,149 | 109,485 |
Targa Resources Corp. | 1,904,446 | 80,253 | |
QEP Resources Inc. | 2,955,241 | 52,101 | |
^ | Transocean Ltd. | 4,330,152 | 51,485 |
* | First Solar Inc. | 957,666 | 46,428 |
* | WPX Energy Inc. | 4,070,534 | 37,897 |
* | Southwestern Energy Co. | 2,987,593 | 37,584 |
Oceaneering International Inc. | 1,224,126 | 36,552 | |
Ensco plc Class A | 3,760,611 | 36,516 | |
Superior Energy Services Inc. | 1,889,849 | 34,792 | |
Nabors Industries Ltd. | 3,342,899 | 33,596 | |
* | Chesapeake Energy Corp. | 7,690,579 | 32,916 |
Murphy Oil Corp. | 1,021,013 | 32,417 | |
Energen Corp. | 605,955 | 29,213 | |
* | Whiting Petroleum Corp. | 3,141,316 | 29,089 |
PBF Energy Inc. Class A | 1,221,221 | 29,041 | |
Rowan Cos. plc Class A | 1,566,469 | 27,664 | |
Noble Corp. plc | 3,036,597 | 25,022 | |
* | NOW Inc. | 1,274,416 | 23,118 |
* | Oil States International Inc. | 641,564 | 21,095 |
SemGroup Corp. Class A | 644,458 | 20,984 | |
* | Oasis Petroleum Inc. | 2,141,303 | 20,000 |
^ | Diamond Offshore Drilling Inc. | 771,077 | 18,760 |
Western Refining Inc. | 855,479 | 17,648 | |
* | MRC Global Inc. | 1,171,099 | 16,641 |
^ | Denbury Resources Inc. | 4,380,125 | 15,725 |
* | McDermott International Inc. | 2,997,672 | 14,808 |
* | Dril-Quip Inc. | 236,785 | 13,835 |
* | Forum Energy Technologies Inc. | 742,708 | 12,856 |
SM Energy Co. | 424,468 | 11,461 | |
Atwood Oceanics Inc. | 767,725 | 9,612 | |
* | Unit Corp. | 609,228 | 9,480 |
* | Chart Industries Inc. | 381,512 | 9,206 |
* | Laredo Petroleum Inc. | 838,512 | 8,788 |
Delek US Holdings Inc. | 655,187 | 8,655 | |
* | Helix Energy Solutions Group Inc. | 1,202,882 | 8,131 |
Archrock Inc. | 834,069 | 7,857 | |
* | TETRA Technologies Inc. | 1,073,293 | 6,837 |
* | SEACOR Holdings Inc. | 97,224 | 5,634 |
^,* | SunPower Corp. Class A | 345,862 | 5,357 |
* | Exterran Corp. | 396,097 | 5,090 |
Bristow Group Inc. | 395,250 | 4,510 | |
Green Plains Inc. | 219,688 | 4,332 | |
Tesco Corp. | 552,042 | 3,693 | |
CVR Energy Inc. | 216,318 | 3,353 | |
* | Hornbeck Offshore Services Inc. | 378,234 | 3,154 |
^ | CARBO Ceramics Inc. | 233,001 | 3,052 |
* | Newpark Resources Inc. | 492,708 | 2,853 |
Alon USA Energy Inc. | 398,559 | 2,583 | |
^,* | EP Energy Corp. Class A | 463,755 | 2,402 |
* | Parker Drilling Co. | 725,981 | 1,662 |
* | EXCO Resources Inc. | 1,032,267 | 1,342 |
^ | Tidewater Inc. | 289,623 | 1,277 |
^,* | Northern Oil and Gas Inc. | 134,591 | 622 |
50
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Jones Energy Inc. Class A | 1,805 | 7 |
1,088,471 | |||
Other (0.0%)2 | |||
* | Leap Wireless International Inc. CVR | 474,686 | 1,196 |
* | Clinical Data Contingent Value Rights | 62,138 | — |
1,196 | |||
Technology (7.6%) | |||
CDW Corp. | 1,964,431 | 78,734 | |
Ingram Micro Inc. | 1,853,598 | 64,468 | |
* | CommScope Holding Co. Inc. | 1,796,782 | 55,754 |
Brocade Communications Systems Inc. | 5,850,034 | 53,703 | |
Teradyne Inc. | 2,536,865 | 49,951 | |
* | ARRIS International plc | 2,371,315 | 49,703 |
DST Systems Inc. | 414,431 | 48,252 | |
* | Microsemi Corp. | 1,412,456 | 46,159 |
* | ON Semiconductor Corp. | 5,179,569 | 45,684 |
Leidos Holdings Inc. | 900,001 | 43,083 | |
* | NCR Corp. | 1,547,286 | 42,968 |
Computer Sciences Corp. | 862,145 | 42,806 | |
Pitney Bowes Inc. | 2,353,949 | 41,900 | |
* | Advanced Micro Devices Inc. | 7,922,650 | 40,722 |
* | Teradata Corp. | 1,623,530 | 40,702 |
Cypress Semiconductor Corp. | 3,666,164 | 38,678 | |
SYNNEX Corp. | 371,673 | 35,242 | |
* | Tech Data Corp. | 438,444 | 31,502 |
* | Cirrus Logic Inc. | 776,859 | 30,134 |
MKS Instruments Inc. | 666,370 | 28,694 | |
* | Fairchild Semiconductor International Inc. Class A | 1,431,238 | 28,410 |
Mentor Graphics Corp. | 1,334,997 | 28,382 | |
Lexmark International Inc. Class A | 742,764 | 28,039 | |
Science Applications International Corp. | 479,816 | 27,997 | |
* | CACI International Inc. Class A | 303,643 | 27,452 |
* | Verint Systems Inc. | 776,594 | 25,729 |
* | VeriFone Systems Inc. | 1,307,259 | 24,237 |
CSRA Inc. | 1,013,282 | 23,741 | |
* | EchoStar Corp. Class A | 575,389 | 22,843 |
Intersil Corp. Class A | 1,683,700 | 22,797 | |
* | Semtech Corp. | 814,954 | 19,445 |
* | Viavi Solutions Inc. | 2,904,389 | 19,256 |
* | Polycom Inc. | 1,691,734 | 19,032 |
* | NETGEAR Inc. | 386,519 | 18,375 |
Diebold Inc. | 732,509 | 18,188 | |
* | Progress Software Corp. | 590,108 | 16,204 |
CSG Systems International Inc. | 384,903 | 15,516 | |
* | Rovi Corp. | 986,861 | 15,435 |
* | QLogic Corp. | 1,033,155 | 15,229 |
^ | Ebix Inc. | 265,569 | 12,721 |
West Corp. | 617,486 | 12,140 | |
Cabot Microelectronics Corp. | 284,786 | 12,058 | |
* | Insight Enterprises Inc. | 457,791 | 11,903 |
* | ScanSource Inc. | 319,814 | 11,868 |
Brooks Automation Inc. | 812,960 | 9,121 | |
Quality Systems Inc. | 651,150 | 7,755 | |
* | FormFactor Inc. | 828,503 | 7,448 |
^,* | Match Group Inc. | 486,140 | 7,329 |
* | Amkor Technology Inc. | 1,038,035 | 5,969 |
* | Mercury Systems Inc. | 236,046 | 5,868 |
* | Web.com Group Inc. | 302,543 | 5,500 |
Epiq Systems Inc. | 355,174 | 5,186 | |
* | Blucora Inc. | 466,365 | 4,832 |
* | Unisys Corp. | 622,963 | 4,535 |
* | Ixia | 454,256 | 4,461 |
Comtech Telecommunications Corp. | 273,702 | 3,514 | |
* | Tangoe Inc. | 416,011 | 3,212 |
51
Vanguard® Small-Cap Value Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Systemax Inc. | 163,298 | 1,393 |
* | SecureWorks Corp. Class A | 49,519 | 698 |
* | Harmonic Inc. | 238,429 | 680 |
* | Acacia Communications Inc. | 2,550 | 102 |
* | Advanced Energy Industries Inc. | 63 | 2 |
ADTRAN Inc. | 87 | 2 | |
1,463,443 | |||
Telecommunications (0.5%) | |||
Telephone & Data Systems Inc. | 1,143,914 | 33,928 | |
Consolidated Communications Holdings Inc. | 599,592 | 16,333 | |
* | Vonage Holdings Corp. | 2,396,140 | 14,616 |
^ | Windstream Holdings Inc. | 1,201,147 | 11,135 |
^,* | Iridium Communications Inc. | 1,017,454 | 9,035 |
EarthLink Holdings Corp. | 1,308,085 | 8,372 | |
* | United States Cellular Corp. | 160,522 | 6,304 |
^,* | Intelsat SA | 194,731 | 502 |
100,225 | |||
Utilities (8.4%) | |||
Atmos Energy Corp. | 1,276,382 | 103,795 | |
Westar Energy Inc. Class A | 1,768,939 | 99,220 | |
AGL Resources Inc. | 1,495,603 | 98,665 | |
UGI Corp. | 2,155,917 | 97,555 | |
TECO Energy Inc. | 2,919,728 | 80,701 | |
Aqua America Inc. | 2,213,434 | 78,931 | |
Piedmont Natural Gas Co. Inc. | 1,012,181 | 60,852 | |
NRG Energy Inc. | 3,931,664 | 58,936 | |
Great Plains Energy Inc. | 1,931,673 | 58,723 | |
National Fuel Gas Co. | 1,006,680 | 57,260 | |
Questar Corp. | 2,189,831 | 55,556 | |
Vectren Corp. | 1,033,862 | 54,454 | |
IDACORP Inc. | 629,564 | 51,215 | |
Portland General Electric Co. | 1,110,130 | 48,979 | |
WGL Holdings Inc. | 628,318 | 44,479 | |
Southwest Gas Corp. | 562,842 | 44,301 | |
Hawaiian Electric Industries Inc. | 1,346,816 | 44,162 | |
ONE Gas Inc. | 651,005 | 43,350 | |
New Jersey Resources Corp. | 1,074,003 | 41,403 | |
Black Hills Corp. | 643,859 | 40,589 | |
ALLETE Inc. | 614,794 | 39,734 | |
Spire Inc. | 537,790 | 38,097 | |
NorthWestern Corp. | 602,934 | 38,027 | |
Avista Corp. | 789,036 | 35,349 | |
PNM Resources Inc. | 994,222 | 35,235 | |
South Jersey Industries Inc. | 992,033 | 31,368 | |
MGE Energy Inc. | 432,754 | 24,457 | |
El Paso Electric Co. | 505,432 | 23,892 | |
Northwest Natural Gas Co. | 343,409 | 22,260 | |
California Water Service Group | 599,025 | 20,924 | |
American States Water Co. | 456,606 | 20,008 | |
Empire District Electric Co. | 546,682 | 18,571 | |
* | Talen Energy Corp. | 1,041,812 | 14,117 |
1,625,165 | |||
Total Common Stocks (Cost $16,876,100) | 19,494,887 |
52
Vanguard® Small-Cap Value Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Market | |||||
Value | |||||
Coupon | Shares | ($000) | |||
Temporary Cash Investments (1.0%)1 | |||||
Money Market Fund (1.0%) | |||||
3,4 | Vanguard Market Liquidity Fund | 0.538% | 189,069,551 | 189,070 | |
Face | |||||
Maturity | Amount | ||||
Date | ($000) | ||||
U.S. Government and Agency Obligations (0.0%) | |||||
5,6 | Federal Home Loan Bank Discount Notes | 0.466% | 8/12/16 | 3,000 | 2,999 |
7 | Federal Home Loan Bank Discount Notes | 0.390% | 9/21/16 | 2,000 | 1,998 |
4,997 | |||||
Total Temporary Cash Investments (Cost $194,066) | 194,067 | ||||
Total Investments (101.7%) (Cost $17,070,166) | 19,688,954 | ||||
Other Assets and Liabilities—Net (-1.7%),4 | (323,824) | ||||
Net Assets (100%) | 19,365,130 |
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $123,697,000.
* Non-income-producing security.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts and swap contracts. After giving
effect to futures and swap investments, the fund's effective common stock and temporary cash investment positions represent 100.9% and
0.8%, 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 $127,982,000 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 $1,699,000 have been segregated as initial margin for open futures contracts.
7 Securities with a value of $1,853,000 have been segregated as collateral for open over-the-counter swap contracts.
CVR—Contingent Value Rights.
REIT—Real Estate Investment Trust.
53
© 2016 The Vanguard Group, Inc. All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA482 082016
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.7%)1 | |||
Consumer Discretionary (15.3%) | |||
* | Charter Communications Inc. Class A | 2,452,236 | 560,679 |
*,^ | Tesla Motors Inc. | 1,273,409 | 270,319 |
* | Liberty Global plc | 8,589,990 | 246,103 |
Las Vegas Sands Corp. | 4,145,733 | 180,298 | |
* | DISH Network Corp. Class A | 2,552,004 | 133,725 |
Hilton Worldwide Holdings Inc. | 5,908,464 | 133,118 | |
* | MGM Resorts International | 5,348,204 | 121,030 |
Autoliv Inc. | 998,672 | 107,307 | |
* | lululemon athletica Inc. | 1,239,749 | 91,568 |
*,^ | Sirius XM Holdings Inc. | 23,102,176 | 91,254 |
Aramark | 2,592,260 | 86,633 | |
Lear Corp. | 844,236 | 85,909 | |
Domino's Pizza Inc. | 563,366 | 74,015 | |
* | NVR Inc. | 41,440 | 73,777 |
* | Norwegian Cruise Line Holdings Ltd. | 1,780,433 | 70,932 |
* | ServiceMaster Global Holdings Inc. | 1,527,488 | 60,794 |
Carter's Inc. | 564,632 | 60,116 | |
* | Liberty Global plc Class A | 2,057,608 | 59,794 |
Service Corp. International | 2,210,036 | 59,759 | |
Six Flags Entertainment Corp. | 991,088 | 57,434 | |
Vail Resorts Inc. | 415,196 | 57,393 | |
Polaris Industries Inc. | 682,288 | 55,784 | |
* | Panera Bread Co. Class A | 258,091 | 54,700 |
* | Burlington Stores Inc. | 808,559 | 53,939 |
Gentex Corp. | 3,228,846 | 49,886 | |
* | Sally Beauty Holdings Inc. | 1,653,072 | 48,617 |
Williams-Sonoma Inc. | 932,211 | 48,596 | |
* | Toll Brothers Inc. | 1,739,048 | 46,798 |
^ | Cracker Barrel Old Country Store Inc. | 271,725 | 46,593 |
Brunswick Corp. | 1,025,526 | 46,477 | |
Dick's Sporting Goods Inc. | 1,016,670 | 45,811 | |
* | Skechers U.S.A. Inc. Class A | 1,526,620 | 45,371 |
* | Liberty Broadband Corp. | 751,971 | 45,118 |
Dunkin' Brands Group Inc. | 1,031,038 | 44,974 | |
Pool Corp. | 468,381 | 44,042 | |
Cinemark Holdings Inc. | 1,206,798 | 44,000 | |
* | AMC Networks Inc. Class A | 695,359 | 42,014 |
* | Live Nation Entertainment Inc. | 1,660,323 | 39,018 |
* | Tempur Sealy International Inc. | 704,583 | 38,978 |
* | Madison Square Garden Co. Class A | 224,558 | 38,739 |
CST Brands Inc. | 859,176 | 37,013 | |
Tribune Media Co. Class A | 909,177 | 35,622 | |
* | Liberty Global PLC LiLAC | 1,062,468 | 34,520 |
* | Vista Outdoor Inc. | 694,571 | 33,152 |
* | DreamWorks Animation SKG Inc. Class A | 809,618 | 33,089 |
Thor Industries Inc. | 510,467 | 33,048 | |
Texas Roadhouse Inc. Class A | 712,671 | 32,498 | |
Tupperware Brands Corp. | 573,184 | 32,259 | |
* | Bright Horizons Family Solutions Inc. | 486,324 | 32,248 |
* | Helen of Troy Ltd. | 309,233 | 31,802 |
Jack in the Box Inc. | 368,698 | 31,679 | |
CalAtlantic Group Inc. | 859,506 | 31,552 | |
GameStop Corp. Class A | 1,179,431 | 31,349 | |
* | Murphy USA Inc. | 422,521 | 31,334 |
*,^ | JC Penney Co. Inc. | 3,459,809 | 30,723 |
* | Tenneco Inc. | 656,430 | 30,596 |
* | Michaels Cos. Inc. | 1,066,290 | 30,325 |
American Eagle Outfitters Inc. | 1,873,825 | 29,850 | |
* | Kate Spade & Co. | 1,433,949 | 29,554 |
* | Buffalo Wild Wings Inc. | 212,250 | 29,492 |
Brinker International Inc. | 645,512 | 29,390 |
1
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
John Wiley & Sons Inc. Class A | 562,118 | 29,331 | |
* | Five Below Inc. | 622,153 | 28,874 |
* | Cabela's Inc. | 545,502 | 27,308 |
* | Starz | 879,133 | 26,304 |
Cable One Inc. | 50,604 | 25,879 | |
Visteon Corp. | 378,787 | 24,928 | |
Core-Mark Holding Co. Inc. | 531,056 | 24,885 | |
Big Lots Inc. | 488,698 | 24,489 | |
Cheesecake Factory Inc. | 505,598 | 24,339 | |
Graham Holdings Co. Class B | 49,457 | 24,211 | |
Wendy's Co. | 2,487,619 | 23,931 | |
Drew Industries Inc. | 277,665 | 23,557 | |
Monro Muffler Brake Inc. | 368,505 | 23,422 | |
Wolverine World Wide Inc. | 1,143,139 | 23,229 | |
Sinclair Broadcast Group Inc. Class A | 773,729 | 23,104 | |
Bloomin' Brands Inc. | 1,285,267 | 22,968 | |
Meredith Corp. | 430,811 | 22,363 | |
Lions Gate Entertainment Corp. | 1,096,939 | 22,191 | |
Papa John's International Inc. | 321,454 | 21,859 | |
* | Steven Madden Ltd. | 637,847 | 21,802 |
* | Grand Canyon Education Inc. | 537,269 | 21,448 |
* | Deckers Outdoor Corp. | 365,068 | 20,999 |
* | G-III Apparel Group Ltd. | 453,851 | 20,750 |
Interval Leisure Group Inc. | 1,248,149 | 19,846 | |
* | Dorman Products Inc. | 346,458 | 19,817 |
Marriott Vacations Worldwide Corp. | 285,073 | 19,525 | |
* | TRI Pointe Group Inc. | 1,649,721 | 19,500 |
Choice Hotels International Inc. | 405,125 | 19,292 | |
* | Media General Inc. | 1,100,187 | 18,912 |
GNC Holdings Inc. Class A | 774,403 | 18,810 | |
Columbia Sportswear Co. | 326,383 | 18,780 | |
Lithia Motors Inc. Class A | 262,739 | 18,673 | |
* | Office Depot Inc. | 5,625,514 | 18,620 |
Gannett Co. Inc. | 1,340,807 | 18,517 | |
*,^ | Diamond Resorts International Inc. | 617,804 | 18,509 |
Time Inc. | 1,119,795 | 18,432 | |
* | Shutterfly Inc. | 394,800 | 18,402 |
* | Houghton Mifflin Harcourt Co. | 1,172,845 | 18,332 |
Dana Holding Corp. | 1,704,804 | 18,003 | |
Cooper Tire & Rubber Co. | 596,861 | 17,798 | |
HSN Inc. | 359,454 | 17,588 | |
New York Times Co. Class A | 1,444,471 | 17,478 | |
Churchill Downs Inc. | 138,071 | 17,447 | |
^ | Regal Entertainment Group Class A | 783,569 | 17,270 |
Children's Place Inc. | 214,494 | 17,198 | |
DSW Inc. Class A | 811,920 | 17,196 | |
* | Smith & Wesson Holding Corp. | 621,732 | 16,899 |
* | Tumi Holdings Inc. | 630,924 | 16,871 |
* | Liberty TripAdvisor Holdings Inc. Class A | 764,643 | 16,730 |
* | Boyd Gaming Corp. | 901,757 | 16,592 |
Nexstar Broadcasting Group Inc. Class A | 347,861 | 16,551 | |
Chico's FAS Inc. | 1,526,689 | 16,351 | |
* | Liberty Broadband Corp. Class A | 274,825 | 16,325 |
Aaron's Inc. | 744,276 | 16,292 | |
Sotheby's | 589,081 | 16,141 | |
DineEquity Inc. | 190,347 | 16,138 | |
La-Z-Boy Inc. | 577,953 | 16,079 | |
* | TopBuild Corp. | 435,810 | 15,776 |
* | Cooper-Standard Holding Inc. | 199,055 | 15,723 |
* | Meritage Homes Corp. | 417,928 | 15,689 |
* | LifeLock Inc. | 989,277 | 15,640 |
* | Genesco Inc. | 237,977 | 15,304 |
* | Groupon Inc. Class A | 4,703,445 | 15,286 |
Dillard's Inc. Class A | 249,822 | 15,139 |
2
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Sonic Corp. | 555,992 | 15,040 | |
* | Krispy Kreme Doughnuts Inc. | 708,847 | 14,857 |
Penske Automotive Group Inc. | 457,364 | 14,389 | |
* | Popeyes Louisiana Kitchen Inc. | 260,535 | 14,236 |
* | Gentherm Inc. | 415,616 | 14,235 |
^ | KB Home | 934,804 | 14,218 |
Sturm Ruger & Co. Inc. | 216,886 | 13,883 | |
* | Hyatt Hotels Corp. Class A | 280,100 | 13,764 |
* | Ascena Retail Group Inc. | 1,939,677 | 13,558 |
* | Dave & Buster's Entertainment Inc. | 286,966 | 13,427 |
* | Fossil Group Inc. | 467,139 | 13,327 |
Abercrombie & Fitch Co. | 747,185 | 13,307 | |
* | Asbury Automotive Group Inc. | 252,113 | 13,296 |
* | American Axle & Manufacturing Holdings Inc. | 866,586 | 12,548 |
Scholastic Corp. | 312,828 | 12,391 | |
* | Universal Electronics Inc. | 169,825 | 12,275 |
Caleres Inc. | 497,943 | 12,055 | |
* | Restoration Hardware Holdings Inc. | 420,322 | 12,055 |
Group 1 Automotive Inc. | 239,667 | 11,830 | |
Extended Stay America Inc. | 790,279 | 11,815 | |
* | Select Comfort Corp. | 551,956 | 11,801 |
* | Express Inc. | 807,347 | 11,715 |
* | Penn National Gaming Inc. | 834,389 | 11,640 |
DeVry Education Group Inc. | 644,546 | 11,499 | |
Cato Corp. Class A | 302,375 | 11,406 | |
*,^ | Wayfair Inc. | 291,150 | 11,355 |
National CineMedia Inc. | 732,525 | 11,339 | |
Callaway Golf Co. | 1,089,612 | 11,125 | |
* | iRobot Corp. | 313,950 | 11,013 |
Guess? Inc. | 727,326 | 10,946 | |
SeaWorld Entertainment Inc. | 762,903 | 10,932 | |
* | MSG Networks Inc. | 707,670 | 10,856 |
* | La Quinta Holdings Inc. | 947,557 | 10,802 |
MDC Holdings Inc. | 439,199 | 10,690 | |
* | Apollo Education Group Inc. | 1,169,957 | 10,670 |
International Speedway Corp. Class A | 309,578 | 10,355 | |
Finish Line Inc. Class A | 507,771 | 10,252 | |
* | BJ's Restaurants Inc. | 231,367 | 10,141 |
* | Belmond Ltd. Class A | 1,016,061 | 10,059 |
Ethan Allen Interiors Inc. | 299,090 | 9,882 | |
* | EW Scripps Co. Class A | 616,436 | 9,764 |
ClubCorp Holdings Inc. | 745,821 | 9,696 | |
*,^ | GoPro Inc. Class A | 887,213 | 9,591 |
* | Crocs Inc. | 842,963 | 9,509 |
Oxford Industries Inc. | 165,337 | 9,361 | |
Standard Motor Products Inc. | 234,415 | 9,325 | |
* | Hibbett Sports Inc. | 262,376 | 9,128 |
* | Denny's Corp. | 832,369 | 8,931 |
Bob Evans Farms Inc. | 234,579 | 8,902 | |
* | Cavco Industries Inc. | 94,879 | 8,890 |
Nutrisystem Inc. | 338,342 | 8,580 | |
* | Vitamin Shoppe Inc. | 280,348 | 8,570 |
New Media Investment Group Inc. | 471,202 | 8,515 | |
^ | Buckle Inc. | 325,290 | 8,454 |
* | Carmike Cinemas Inc. | 279,153 | 8,408 |
* | Gray Television Inc. | 769,007 | 8,344 |
*,^ | Mattress Firm Holding Corp. | 247,967 | 8,319 |
* | Liberty Global PLC LiLAC Class A | 256,725 | 8,282 |
*,^ | Sears Holdings Corp. | 591,298 | 8,048 |
*,^ | Zoe's Kitchen Inc. | 221,267 | 8,025 |
^ | Outerwall Inc. | 189,058 | 7,940 |
Barnes & Noble Inc. | 697,303 | 7,914 | |
* | Pinnacle Entertainment Inc. | 690,374 | 7,649 |
* | Ollie's Bargain Outlet Holdings Inc. | 305,435 | 7,602 |
3
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Superior Industries International Inc. | 281,556 | 7,540 | |
Rent-A-Center Inc. | 612,918 | 7,527 | |
Winnebago Industries Inc. | 324,948 | 7,448 | |
* | Red Robin Gourmet Burgers Inc. | 155,178 | 7,360 |
Fred's Inc. Class A | 443,028 | 7,137 | |
^ | World Wrestling Entertainment Inc. Class A | 386,328 | 7,112 |
Tailored Brands Inc. | 553,041 | 7,002 | |
* | Installed Building Products Inc. | 189,678 | 6,883 |
* | Red Rock Resorts Inc. Class A | 312,878 | 6,877 |
Capella Education Co. | 130,356 | 6,862 | |
* | Fiesta Restaurant Group Inc. | 310,743 | 6,777 |
Ruth's Hospitality Group Inc. | 415,202 | 6,622 | |
* | Tile Shop Holdings Inc. | 331,336 | 6,587 |
AMC Entertainment Holdings Inc. | 237,630 | 6,561 | |
* | Strayer Education Inc. | 133,365 | 6,552 |
* | Chuy's Holdings Inc. | 188,578 | 6,527 |
* | Nautilus Inc. | 331,671 | 5,917 |
* | Regis Corp. | 461,719 | 5,748 |
* | Motorcar Parts of America Inc. | 208,319 | 5,662 |
* | Loral Space & Communications Inc. | 160,330 | 5,655 |
* | Biglari Holdings Inc. | 13,854 | 5,588 |
Sonic Automotive Inc. Class A | 322,666 | 5,521 | |
* | FTD Cos. Inc. | 219,998 | 5,491 |
* | Taylor Morrison Home Corp. Class A | 362,951 | 5,386 |
* | American Public Education Inc. | 191,236 | 5,374 |
* | M/I Homes Inc. | 284,866 | 5,364 |
* | Scientific Games Corp. Class A | 576,781 | 5,301 |
* | Francesca's Holdings Corp. | 476,797 | 5,269 |
Marcus Corp. | 248,948 | 5,253 | |
*,^ | LGI Homes Inc. | 163,593 | 5,225 |
Pier 1 Imports Inc. | 1,000,221 | 5,141 | |
* | Isle of Capri Casinos Inc. | 271,934 | 4,982 |
PetMed Express Inc. | 264,731 | 4,966 | |
Tower International Inc. | 241,200 | 4,964 | |
* | MarineMax Inc. | 285,053 | 4,837 |
* | Carrols Restaurant Group Inc. | 397,317 | 4,728 |
*,^ | Lumber Liquidators Holdings Inc. | 306,114 | 4,720 |
* | Career Education Corp. | 793,278 | 4,720 |
* | K12 Inc. | 370,064 | 4,622 |
* | Barnes & Noble Education Inc. | 454,907 | 4,617 |
* | Modine Manufacturing Co. | 523,212 | 4,604 |
* | Stoneridge Inc. | 306,091 | 4,573 |
Entravision Communications Corp. Class A | 664,781 | 4,467 | |
Movado Group Inc. | 202,699 | 4,395 | |
Haverty Furniture Cos. Inc. | 240,458 | 4,335 | |
Shoe Carnival Inc. | 170,821 | 4,281 | |
* | Unifi Inc. | 154,972 | 4,220 |
Libbey Inc. | 259,634 | 4,126 | |
NACCO Industries Inc. Class A | 71,589 | 4,009 | |
* | Fox Factory Holding Corp. | 228,872 | 3,976 |
Carriage Services Inc. Class A | 167,213 | 3,960 | |
* | Eldorado Resorts Inc. | 260,256 | 3,955 |
* | Wingstop Inc. | 143,735 | 3,917 |
Blue Nile Inc. | 142,191 | 3,893 | |
* | WCI Communities Inc. | 224,106 | 3,787 |
* | Global Eagle Entertainment Inc. | 569,103 | 3,779 |
* | Del Frisco's Restaurant Group Inc. | 263,229 | 3,769 |
Speedway Motorsports Inc. | 210,967 | 3,745 | |
*,^ | Caesars Entertainment Corp. | 483,590 | 3,719 |
* | Iconix Brand Group Inc. | 548,951 | 3,711 |
* | Party City Holdco Inc. | 261,872 | 3,643 |
*,^ | Weight Watchers International Inc. | 310,548 | 3,612 |
Entercom Communications Corp. Class A | 263,382 | 3,574 | |
* | Tuesday Morning Corp. | 506,239 | 3,554 |
4
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Zumiez Inc. | 247,358 | 3,540 |
* | Vera Bradley Inc. | 246,968 | 3,500 |
* | Planet Fitness Inc. Class A | 177,106 | 3,344 |
* | tronc Inc. | 241,899 | 3,338 |
* | Overstock.com Inc. | 207,067 | 3,336 |
*,^ | William Lyon Homes Class A | 202,815 | 3,269 |
* | Potbelly Corp. | 258,932 | 3,247 |
Clear Channel Outdoor Holdings Inc. Class A | 517,644 | 3,220 | |
* | Federal-Mogul Holdings Corp. | 385,491 | 3,203 |
*,^ | Lands' End Inc. | 191,837 | 3,150 |
* | 1-800-Flowers.com Inc. Class A | 335,206 | 3,024 |
*,^ | El Pollo Loco Holdings Inc. | 232,049 | 3,017 |
Culp Inc. | 106,048 | 2,930 | |
* | Del Taco Restaurants Inc. | 320,544 | 2,917 |
Spartan Motors Inc. | 456,137 | 2,855 | |
Bassett Furniture Industries Inc. | 118,177 | 2,829 | |
*,^ | Chegg Inc. | 561,461 | 2,807 |
Citi Trends Inc. | 179,488 | 2,787 | |
Stein Mart Inc. | 355,935 | 2,748 | |
Flexsteel Industries Inc. | 69,053 | 2,736 | |
*,^ | Sequential Brands Group Inc. | 342,811 | 2,736 |
* | America's Car-Mart Inc. | 96,128 | 2,715 |
* | Perry Ellis International Inc. | 134,697 | 2,710 |
Hooker Furniture Corp. | 125,734 | 2,702 | |
* | Ruby Tuesday Inc. | 748,015 | 2,700 |
* | Kirkland's Inc. | 180,996 | 2,657 |
Arctic Cat Inc. | 155,454 | 2,643 | |
* | Monarch Casino & Resort Inc. | 119,574 | 2,627 |
*,^ | Intrawest Resorts Holdings Inc. | 200,096 | 2,597 |
Marine Products Corp. | 301,589 | 2,551 | |
*,^ | Noodles & Co. Class A | 246,958 | 2,415 |
* | Horizon Global Corp. | 211,791 | 2,404 |
Collectors Universe Inc. | 118,807 | 2,346 | |
* | Sportsman's Warehouse Holdings Inc. | 290,593 | 2,342 |
* | Beazer Homes USA Inc. | 300,592 | 2,330 |
*,^ | Hovnanian Enterprises Inc. Class A | 1,378,885 | 2,317 |
CSS Industries Inc. | 85,669 | 2,297 | |
Saga Communications Inc. Class A | 57,728 | 2,283 | |
* | Daily Journal Corp. | 9,598 | 2,275 |
*,^ | Conn's Inc. | 300,023 | 2,256 |
* | Malibu Boats Inc. Class A | 185,528 | 2,241 |
* | Build-A-Bear Workshop Inc. | 164,803 | 2,212 |
Big 5 Sporting Goods Corp. | 238,005 | 2,206 | |
* | Lindblad Expeditions Holdings Inc. | 227,490 | 2,191 |
* | Green Brick Partners Inc. | 298,120 | 2,167 |
* | Duluth Holdings Inc. | 88,083 | 2,155 |
* | Ascent Capital Group Inc. Class A | 138,849 | 2,137 |
* | Habit Restaurants Inc. Class A | 127,888 | 2,095 |
Strattec Security Corp. | 50,791 | 2,071 | |
* | Century Communities Inc. | 116,894 | 2,027 |
*,^ | Shake Shack Inc. Class A | 55,370 | 2,017 |
Winmark Corp. | 20,029 | 1,996 | |
Lifetime Brands Inc. | 132,096 | 1,927 | |
* | Destination XL Group Inc. | 418,238 | 1,911 |
*,^ | JAKKS Pacific Inc. | 238,748 | 1,889 |
*,^ | Jamba Inc. | 183,228 | 1,885 |
*,^ | Central European Media Enterprises Ltd. Class A | 874,153 | 1,844 |
* | Reading International Inc. Class A | 146,761 | 1,833 |
Metaldyne Performance Group Inc. | 127,276 | 1,750 | |
*,^ | Gaiam Inc. Class A | 216,758 | 1,678 |
* | Nathan's Famous Inc. | 36,716 | 1,634 |
* | ZAGG Inc. | 310,961 | 1,633 |
* | Etsy Inc. | 170,033 | 1,631 |
* | Bojangles' Inc. | 95,555 | 1,620 |
5
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Century Casinos Inc. | 255,587 | 1,592 |
Weyco Group Inc. | 56,633 | 1,573 | |
Stage Stores Inc. | 313,286 | 1,529 | |
* | West Marine Inc. | 175,838 | 1,475 |
* | Bridgepoint Education Inc. | 196,120 | 1,420 |
* | Bravo Brio Restaurant Group Inc. | 172,692 | 1,414 |
A H Belo Corp. Class A | 278,764 | 1,394 | |
Superior Uniform Group Inc. | 71,684 | 1,368 | |
* | Delta Apparel Inc. | 59,450 | 1,341 |
*,^ | Boot Barn Holdings Inc. | 153,653 | 1,324 |
* | Skullcandy Inc. | 213,765 | 1,313 |
RCI Hospitality Holdings Inc. | 120,107 | 1,224 | |
* | Kona Grill Inc. | 114,055 | 1,223 |
* | Cherokee Inc. | 109,465 | 1,216 |
Escalade Inc. | 118,618 | 1,215 | |
* | Black Diamond Inc. | 289,603 | 1,199 |
* | Red Lion Hotels Corp. | 156,956 | 1,140 |
* | Lee Enterprises Inc. | 592,730 | 1,132 |
* | J Alexander's Holdings Inc. | 112,651 | 1,119 |
* | Container Store Group Inc. | 200,858 | 1,075 |
Ark Restaurants Corp. | 47,616 | 1,063 | |
Rocky Brands Inc. | 91,454 | 1,044 | |
* | Vince Holding Corp. | 187,997 | 1,030 |
* | Ballantyne Strong Inc. | 193,171 | 1,010 |
McClatchy Co. Class A | 68,806 | 1,006 | |
* | Luby's Inc. | 192,966 | 969 |
* | Sears Hometown and Outlet Stores Inc. | 143,055 | 964 |
Golden Entertainment Inc. | 81,598 | 954 | |
Destination Maternity Corp. | 160,875 | 946 | |
* | VOXX International Corp. Class A | 336,928 | 940 |
Johnson Outdoors Inc. Class A | 36,240 | 931 | |
* | Christopher & Banks Corp. | 424,718 | 930 |
* | Radio One Inc. | 289,364 | 923 |
Harte-Hanks Inc. | 569,174 | 905 | |
* | Morgans Hotel Group Co. | 416,292 | 891 |
* | New Home Co. Inc. | 86,284 | 823 |
* | Sizmek Inc. | 356,431 | 816 |
*,^ | Papa Murphy's Holdings Inc. | 119,739 | 794 |
* | EVINE Live Inc. | 477,209 | 787 |
* | Tilly's Inc. Class A | 134,427 | 778 |
* | Trans World Entertainment Corp. | 197,775 | 742 |
*,^ | Vuzix Corp. | 96,859 | 731 |
* | Cambium Learning Group Inc. | 157,305 | 709 |
Liberty Tax Inc. | 50,437 | 672 | |
* | Town Sports International Holdings Inc. | 245,271 | 667 |
* | Fogo De Chao Inc. | 49,681 | 649 |
* | ReachLocal Inc. | 141,529 | 644 |
* | Insignia Systems Inc. | 292,858 | 638 |
*,^ | Hemisphere Media Group Inc. Class A | 53,918 | 636 |
* | Lakeland Industries Inc. | 71,271 | 618 |
*,^ | Workhorse Group Inc. | 89,581 | 614 |
* | Skyline Corp. | 64,634 | 608 |
Universal Technical Institute Inc. | 267,298 | 604 | |
* | Tandy Leather Factory Inc. | 80,953 | 576 |
MCBC Holdings Inc. | 50,271 | 555 | |
*,^ | Empire Resorts Inc. | 34,789 | 550 |
Beasley Broadcast Group Inc. Class A | 130,514 | 549 | |
* | Shiloh Industries Inc. | 74,988 | 547 |
* | Cumulus Media Inc. Class A | 1,746,050 | 541 |
Dover Motorsports Inc. | 247,503 | 537 | |
* | Famous Dave's of America Inc. | 105,884 | 533 |
* | Dixie Group Inc. | 147,733 | 526 |
* | Full House Resorts Inc. | 227,501 | 460 |
* | New York & Co. Inc. | 293,259 | 437 |
6
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | ITT Educational Services Inc. | 224,474 | 431 |
*,^ | Rave Restaurant Group Inc. | 105,122 | 420 |
* | Lincoln Educational Services Corp. | 279,769 | 420 |
Salem Media Group Inc. Class A | 55,622 | 402 | |
* | UCP Inc. | 45,484 | 365 |
* | Townsquare Media Inc. Class A | 43,676 | 345 |
*,^ | hhgregg Inc. | 179,105 | 317 |
* | Dover Downs Gaming & Entertainment Inc. | 250,438 | 265 |
* | Stanley Furniture Co. Inc. | 106,535 | 261 |
* | Spanish Broadcasting System Inc. | 73,034 | 260 |
* | Gaming Partners International Corp. | 27,841 | 259 |
* | Emmis Communications Corp. Class A | 353,643 | 257 |
*,^ | Good Times Restaurants Inc. | 72,036 | 251 |
Crown Crafts Inc. | 26,165 | 248 | |
* | Summer Infant Inc. | 135,595 | 225 |
* | UQM Technologies Inc. | 353,941 | 223 |
*,^ | bebe stores inc | 425,432 | 214 |
*,^ | Forward Industries Inc. | 168,527 | 201 |
* | US Auto Parts Network Inc. | 49,700 | 196 |
* | Fenix Parts Inc. | 49,724 | 195 |
*,^ | Live Ventures Inc. | 128,344 | 193 |
^ | Bon-Ton Stores Inc. | 134,140 | 189 |
* | Charles & Colvard Ltd. | 184,730 | 188 |
* | Cosi Inc. | 359,826 | 180 |
Educational Development Corp. | 14,410 | 167 | |
Peak Resorts Inc. | 35,795 | 163 | |
* | Liberty Braves Group | 11,093 | 163 |
* | Perfumania Holdings Inc. | 66,167 | 160 |
* | Gordmans Stores Inc. | 112,537 | 145 |
* | Emerson Radio Corp. | 249,112 | 143 |
*,^ | Turtle Beach Corp. | 140,759 | 137 |
* | CafePress Inc. | 40,283 | 125 |
* | Ignite Restaurant Group Inc. | 75,700 | 118 |
*,^ | Cinedigm Corp. Class A | 74,057 | 90 |
*,^ | Chanticleer Holdings Inc. | 198,489 | 85 |
* | NTN Buzztime Inc. | 9,187 | 79 |
* | Sypris Solutions Inc. | 88,213 | 75 |
* | Nevada Gold & Casinos Inc. | 33,200 | 64 |
* | Differential Brands Group Inc. | 21,226 | 63 |
* | JRjr33 Inc. | 50,630 | 46 |
*,^ | Clean Diesel Technologies Inc. | 130,761 | 43 |
* | SPAR Group Inc. | 33,227 | 35 |
* | Nova Lifestyle Inc. | 80,959 | 34 |
* | Comstock Holding Cos. Inc. Class A | 17,945 | 32 |
Flanigan's Enterprises Inc. | 1,352 | 28 | |
* | Appliance Recycling Centers of America Inc. | 24,098 | 28 |
* | Diversified Restaurant Holdings Inc. | 10,100 | 15 |
AMCON Distributing Co. | 172 | 15 | |
* | Entertainment Gaming Asia Inc. | 5,940 | 11 |
AG&E Holdings Inc. | 32,460 | 9 | |
* | Koss Corp. | 3,992 | 8 |
P&F Industries Inc. Class A | 574 | 5 | |
Unique Fabricating Inc. | 196 | 3 | |
Canterbury Park Holding Corp. | 209 | 2 | |
* | Here Media Inc. | 12,670 | — |
6,749,088 | |||
Consumer Staples (3.6%) | |||
Ingredion Inc. | 812,058 | 105,088 | |
Bunge Ltd. | 1,582,487 | 93,604 | |
* | WhiteWave Foods Co. Class A | 1,991,561 | 93,484 |
* | Rite Aid Corp. | 11,737,493 | 87,914 |
* | TreeHouse Foods Inc. | 636,268 | 65,313 |
* | Post Holdings Inc. | 724,762 | 59,931 |
7
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Casey's General Stores Inc. | 445,051 | 58,529 | |
* | Hain Celestial Group Inc. | 1,168,290 | 58,122 |
Pinnacle Foods Inc. | 1,231,470 | 57,005 | |
* | Edgewell Personal Care Co. | 669,763 | 56,535 |
*,^ | Herbalife Ltd. | 733,557 | 42,935 |
Flowers Foods Inc. | 2,043,498 | 38,316 | |
* | Sprouts Farmers Market Inc. | 1,602,021 | 36,686 |
Spectrum Brands Holdings Inc. | 303,861 | 36,254 | |
Energizer Holdings Inc. | 703,503 | 36,223 | |
B&G Foods Inc. | 704,534 | 33,959 | |
Snyder's-Lance Inc. | 906,514 | 30,722 | |
Nu Skin Enterprises Inc. Class A | 652,076 | 30,119 | |
Lancaster Colony Corp. | 223,624 | 28,537 | |
* | Darling Ingredients Inc. | 1,866,189 | 27,806 |
* | United Natural Foods Inc. | 574,811 | 26,901 |
Vector Group Ltd. | 1,014,135 | 22,737 | |
PriceSmart Inc. | 229,016 | 21,429 | |
J&J Snack Foods Corp. | 169,971 | 20,272 | |
^ | Coty Inc. Class A | 774,990 | 20,142 |
Sanderson Farms Inc. | 227,052 | 19,672 | |
Fresh Del Monte Produce Inc. | 359,090 | 19,545 | |
* | HRG Group Inc. | 1,397,718 | 19,191 |
Dean Foods Co. | 1,041,975 | 18,849 | |
Avon Products Inc. | 4,928,720 | 18,631 | |
WD-40 Co. | 157,905 | 18,546 | |
^ | Pilgrim's Pride Corp. | 726,743 | 18,517 |
* | Boston Beer Co. Inc. Class A | 108,200 | 18,506 |
^ | Cal-Maine Foods Inc. | 353,471 | 15,666 |
Universal Corp. | 258,137 | 14,905 | |
* | SUPERVALU Inc. | 3,037,164 | 14,335 |
*,^ | Blue Buffalo Pet Products Inc. | 574,500 | 13,409 |
SpartanNash Co. | 429,525 | 13,135 | |
Calavo Growers Inc. | 172,005 | 11,524 | |
* | Performance Food Group Co. | 401,297 | 10,799 |
Andersons Inc. | 301,990 | 10,733 | |
* | Central Garden & Pet Co. Class A | 494,326 | 10,732 |
^ | Tootsie Roll Industries Inc. | 250,231 | 9,641 |
* | Seaboard Corp. | 3,162 | 9,077 |
* | National Beverage Corp. | 139,370 | 8,754 |
Coca-Cola Bottling Co. Consolidated | 53,062 | 7,825 | |
Weis Markets Inc. | 154,019 | 7,786 | |
* | USANA Health Sciences Inc. | 60,720 | 6,766 |
MGP Ingredients Inc. | 149,428 | 5,713 | |
Inter Parfums Inc. | 198,555 | 5,673 | |
Ingles Markets Inc. Class A | 148,288 | 5,531 | |
* | Omega Protein Corp. | 245,856 | 4,915 |
* | Smart & Final Stores Inc. | 327,704 | 4,880 |
* | Revlon Inc. Class A | 150,024 | 4,828 |
* | Amplify Snack Brands Inc. | 294,232 | 4,340 |
Medifast Inc. | 127,164 | 4,231 | |
John B Sanfilippo & Son Inc. | 97,273 | 4,147 | |
* | Elizabeth Arden Inc. | 281,870 | 3,879 |
Orchids Paper Products Co. | 107,540 | 3,825 | |
* | Chefs' Warehouse Inc. | 213,773 | 3,420 |
* | Landec Corp. | 308,172 | 3,316 |
* | Primo Water Corp. | 266,390 | 3,146 |
* | Seneca Foods Corp. Class A | 86,827 | 3,144 |
* | Farmer Brothers Co. | 82,157 | 2,634 |
* | Nutraceutical International Corp. | 103,011 | 2,385 |
* | Lifevantage Corp. | 156,606 | 2,130 |
^ | Natural Health Trends Corp. | 73,507 | 2,072 |
Oil-Dri Corp. of America | 58,714 | 2,027 | |
Village Super Market Inc. Class A | 69,922 | 2,020 | |
^ | Limoneira Co. | 103,429 | 1,822 |
8
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Freshpet Inc. | 193,917 | 1,809 |
* | Inventure Foods Inc. | 223,346 | 1,744 |
* | Alliance One International Inc. | 111,124 | 1,711 |
*,^ | Natural Grocers by Vitamin Cottage Inc. | 113,822 | 1,485 |
Alico Inc. | 41,644 | 1,260 | |
* | Craft Brew Alliance Inc. | 107,474 | 1,238 |
Rocky Mountain Chocolate Factory Inc. | 112,209 | 1,139 | |
United-Guardian Inc. | 57,249 | 920 | |
* | Lifeway Foods Inc. | 91,516 | 885 |
* | S&W Seed Co. | 184,812 | 806 |
* | US Foods Holding Corp. | 32,400 | 785 |
* | Natural Alternatives International Inc. | 66,808 | 738 |
Nature's Sunshine Products Inc. | 75,386 | 718 | |
* | Synutra International Inc. | 171,603 | 654 |
*,^ | 22nd Century Group Inc. | 584,975 | 475 |
* | Castle Brands Inc. | 518,754 | 380 |
* | Female Health Co. | 274,559 | 346 |
* | Central Garden & Pet Co. | 11,261 | 257 |
* | Mannatech Inc. | 11,471 | 232 |
* | Coffee Holding Co. Inc. | 22,521 | 127 |
*,^ | Reed's Inc. | 47,108 | 116 |
*,^ | DS Healthcare Group Inc. | 104,494 | 69 |
* | RiceBran Technologies | 20,529 | 34 |
* | Crystal Rock Holdings Inc. | 42,584 | 29 |
* | Reliv International Inc. | 45,472 | 28 |
* | Arcadia Biosciences Inc. | 6,213 | 16 |
Golden Enterprises Inc. | 1,541 | 11 | |
* | Tofutti Brands Inc. | 3,498 | 7 |
Ocean Bio-Chem Inc. | 1,200 | 3 | |
* | MYOS RENS Technology Inc. | 1,200 | 2 |
1,603,209 | |||
Energy (3.8%) | |||
* | Cheniere Energy Inc. | 2,677,709 | 100,548 |
Targa Resources Corp. | 1,810,984 | 76,315 | |
* | Diamondback Energy Inc. | 810,628 | 73,937 |
Core Laboratories NV | 494,022 | 61,204 | |
* | Weatherford International plc | 10,201,307 | 56,617 |
Energen Corp. | 1,102,914 | 53,172 | |
HollyFrontier Corp. | 2,006,841 | 47,703 | |
QEP Resources Inc. | 2,683,920 | 47,318 | |
* | Gulfport Energy Corp. | 1,406,523 | 43,968 |
* | Parsley Energy Inc. Class A | 1,617,557 | 43,771 |
* | Continental Resources Inc. | 930,080 | 42,105 |
^ | CONSOL Energy Inc. | 2,601,264 | 41,854 |
* | Antero Resources Corp. | 1,516,017 | 39,386 |
World Fuel Services Corp. | 806,253 | 38,289 | |
Patterson-UTI Energy Inc. | 1,650,947 | 35,198 | |
Ensco plc Class A | 3,453,035 | 33,529 | |
Oceaneering International Inc. | 1,117,450 | 33,367 | |
Nabors Industries Ltd. | 3,165,991 | 31,818 | |
Superior Energy Services Inc. | 1,713,569 | 31,547 | |
* | PDC Energy Inc. | 519,635 | 29,936 |
* | Rice Energy Inc. | 1,354,917 | 29,862 |
* | WPX Energy Inc. | 3,138,643 | 29,221 |
* | RSP Permian Inc. | 795,650 | 27,760 |
PBF Energy Inc. Class A | 1,115,361 | 26,523 | |
* | Dril-Quip Inc. | 437,515 | 25,564 |
Rowan Cos. plc Class A | 1,408,025 | 24,866 | |
^ | US Silica Holdings Inc. | 704,958 | 24,300 |
Noble Corp. plc | 2,752,466 | 22,680 | |
* | Carrizo Oil & Gas Inc. | 617,011 | 22,120 |
* | Whiting Petroleum Corp. | 2,316,855 | 21,454 |
SM Energy Co. | 774,520 | 20,912 | |
* | Matador Resources Co. | 978,220 | 19,369 |
9
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Oil States International Inc. | 588,950 | 19,365 |
SemGroup Corp. Class A | 591,167 | 19,248 | |
Western Refining Inc. | 912,776 | 18,831 | |
* | Oasis Petroleum Inc. | 2,007,973 | 18,754 |
* | Memorial Resource Development Corp. | 1,055,068 | 16,755 |
* | Callon Petroleum Co. | 1,486,840 | 16,697 |
*,^ | Laredo Petroleum Inc. | 1,470,623 | 15,412 |
* | Synergy Resources Corp. | 2,189,994 | 14,585 |
Denbury Resources Inc. | 3,988,412 | 14,318 | |
* | McDermott International Inc. | 2,699,808 | 13,337 |
* | Forum Energy Technologies Inc. | 742,658 | 12,855 |
* | SEACOR Holdings Inc. | 188,959 | 10,950 |
*,^ | RPC Inc. | 700,877 | 10,885 |
* | Unit Corp. | 580,015 | 9,025 |
* | Kosmos Energy Ltd. | 1,651,707 | 9,002 |
Delek US Holdings Inc. | 631,778 | 8,346 | |
Atwood Oceanics Inc. | 660,058 | 8,264 | |
Green Plains Inc. | 411,185 | 8,109 | |
* | Helix Energy Solutions Group Inc. | 1,139,818 | 7,705 |
Archrock Inc. | 803,329 | 7,567 | |
*,^ | Fairmount Santrol Holdings Inc. | 800,376 | 6,171 |
Frank's International NV | 408,672 | 5,971 | |
* | TETRA Technologies Inc. | 934,311 | 5,952 |
* | Newpark Resources Inc. | 1,011,912 | 5,859 |
*,^ | California Resources Corp. | 462,260 | 5,640 |
* | Exterran Corp. | 414,612 | 5,328 |
* | Cobalt International Energy Inc. | 3,844,462 | 5,152 |
* | Matrix Service Co. | 311,879 | 5,143 |
* | Par Pacific Holdings Inc. | 327,586 | 5,025 |
*,^ | Sanchez Energy Corp. | 651,222 | 4,598 |
Bristow Group Inc. | 393,872 | 4,494 | |
* | REX American Resources Corp. | 66,053 | 3,952 |
* | Ring Energy Inc. | 444,301 | 3,919 |
* | Bill Barrett Corp. | 588,164 | 3,758 |
* | Renewable Energy Group Inc. | 406,722 | 3,591 |
* | Pioneer Energy Services Corp. | 757,919 | 3,486 |
* | Parker Drilling Co. | 1,506,546 | 3,450 |
* | Natural Gas Services Group Inc. | 137,020 | 3,138 |
* | Hornbeck Offshore Services Inc. | 367,287 | 3,063 |
Tesco Corp. | 456,872 | 3,056 | |
CARBO Ceramics Inc. | 229,392 | 3,005 | |
* | Clean Energy Fuels Corp. | 861,397 | 2,989 |
Panhandle Oil and Gas Inc. Class A | 178,406 | 2,974 | |
CVR Energy Inc. | 188,869 | 2,927 | |
* | Northern Oil and Gas Inc. | 632,937 | 2,924 |
*,^ | EXCO Resources Inc. | 2,059,093 | 2,677 |
* | Contango Oil & Gas Co. | 215,200 | 2,634 |
* | Geospace Technologies Corp. | 160,367 | 2,625 |
^ | Tidewater Inc. | 547,986 | 2,417 |
Alon USA Energy Inc. | 362,685 | 2,350 | |
*,^ | EP Energy Corp. Class A | 453,490 | 2,349 |
* | Era Group Inc. | 221,236 | 2,080 |
* | Westmoreland Coal Co. | 213,332 | 2,031 |
*,^ | Clayton Williams Energy Inc. | 72,280 | 1,985 |
*,^ | Eclipse Resources Corp. | 574,242 | 1,918 |
* | RigNet Inc. | 141,953 | 1,901 |
* | Independence Contract Drilling Inc. | 348,707 | 1,893 |
* | Dawson Geophysical Co. | 230,073 | 1,875 |
Evolution Petroleum Corp. | 287,694 | 1,574 | |
*,^ | Cloud Peak Energy Inc. | 747,532 | 1,540 |
* | Pacific Ethanol Inc. | 256,630 | 1,399 |
* | Jones Energy Inc. Class A | 338,647 | 1,395 |
* | Abraxas Petroleum Corp. | 1,230,610 | 1,391 |
* | Willbros Group Inc. | 542,017 | 1,371 |
10
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Gulf Island Fabrication Inc. | 189,855 | 1,318 | |
*,^ | PHI Inc. | 75,566 | 1,251 |
* | Gener8 Maritime Inc. | 179,518 | 1,149 |
*,^ | Uranium Energy Corp. | 1,304,727 | 1,145 |
*,^ | W&T Offshore Inc. | 465,514 | 1,080 |
*,^ | Gastar Exploration Inc. | 880,235 | 968 |
*,^ | Gulfmark Offshore Inc. | 302,690 | 947 |
*,^ | Bonanza Creek Energy Inc. | 460,856 | 926 |
* | Approach Resources Inc. | 429,645 | 902 |
^ | Hallador Energy Co. | 185,119 | 855 |
Adams Resources & Energy Inc. | 22,174 | 854 | |
* | PHI Inc. NV | 45,659 | 816 |
*,^ | Stone Energy Corp. | 65,563 | 791 |
* | VAALCO Energy Inc. | 703,174 | 745 |
*,^ | Basic Energy Services Inc. | 438,497 | 737 |
*,^ | Synthesis Energy Systems Inc. | 625,752 | 657 |
* | PetroQuest Energy Inc. | 187,393 | 624 |
* | ION Geophysical Corp. | 97,515 | 608 |
* | Isramco Inc. | 7,288 | 599 |
* | Mitcham Industries Inc. | 148,174 | 556 |
*,^ | Erin Energy Corp. | 222,069 | 535 |
*,^ | Comstock Resources Inc. | 570,330 | 479 |
*,^ | Gevo Inc. | 805,324 | 475 |
* | Resolute Energy Corp. | 155,302 | 461 |
*,^ | Rex Energy Corp. | 671,870 | 444 |
* | Harvest Natural Resources Inc. | 486,103 | 406 |
*,^ | Key Energy Services Inc. | 1,603,382 | 372 |
* | Zion Oil & Gas Inc. | 240,958 | 335 |
* | Aspen Aerogels Inc. | 64,983 | 323 |
*,^ | C&J Energy Services Ltd. | 511,602 | 308 |
* | Centrus Energy Corp. Class A | 70,985 | 233 |
*,^ | Triangle Petroleum Corp. | 808,206 | 232 |
*,^ | Amyris Inc. | 503,577 | 227 |
* | PrimeEnergy Corp. | 3,726 | 225 |
* | Profire Energy Inc. | 187,943 | 209 |
*,^ | Vertex Energy Inc. | 151,434 | 201 |
*,^ | Halcon Resources Corp. | 326,312 | 151 |
* | Earthstone Energy Inc. | 13,128 | 142 |
* | TransAtlantic Petroleum Ltd. | 151,166 | 124 |
US Energy Corp. Wyoming | 49,019 | 83 | |
* | Barnwell Industries Inc. | 48,034 | 74 |
*,^ | Lucas Energy Inc. | 17,562 | 67 |
*,^ | Glori Energy Inc. | 263,686 | 59 |
* | Magellan Petroleum Corp. | 49,825 | 59 |
* | Tengasco Inc. | 55,819 | 42 |
* | Uranium Resources Inc. | 26,132 | 42 |
* | Aemetis Inc. | 17,273 | 39 |
* | Enservco Corp. | 47,023 | 29 |
* | Forbes Energy Services Ltd. | 143,916 | 27 |
* | ENGlobal Corp. | 21,344 | 26 |
* | FieldPoint Petroleum Corp. | 35,776 | 23 |
* | Yuma Energy Inc. | 57,924 | 17 |
* | Superior Drilling Products Inc. | 6,778 | 15 |
* | Seventy Seven Energy Inc. | 156,505 | 14 |
* | PEDEVCO Corp. | 40,105 | 11 |
* | Dakota Plains Holdings Inc. | 73,177 | 8 |
* | Torchlight Energy Resources Inc. | 14,471 | 8 |
* | Energy XXI Ltd. | 163,609 | 7 |
* | Eco-Stim Energy Solutions Inc. | 1,481 | 4 |
* | FieldPoint Petroleum Corp. Warrants Exp. 03/23/2017 | 33,558 | 1 |
1,683,258 | |||
Financials (25.7%) | |||
* | Markel Corp. | 157,727 | 150,279 |
Annaly Capital Management Inc. | 10,311,604 | 114,149 |
11
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
First Republic Bank | 1,608,667 | 112,591 | |
Duke Realty Corp. | 3,887,580 | 103,643 | |
VEREIT Inc. | 10,165,532 | 103,079 | |
* | Arch Capital Group Ltd. | 1,387,018 | 99,865 |
* | Alleghany Corp. | 173,128 | 95,148 |
Regency Centers Corp. | 1,105,488 | 92,563 | |
Mid-America Apartment Communities Inc. | 853,006 | 90,760 | |
Camden Property Trust | 992,101 | 87,722 | |
Everest Re Group Ltd. | 477,200 | 87,170 | |
Alexandria Real Estate Equities Inc. | 835,568 | 86,498 | |
TD Ameritrade Holding Corp. | 3,015,074 | 85,854 | |
* | Ally Financial Inc. | 4,955,272 | 84,587 |
National Retail Properties Inc. | 1,629,755 | 84,291 | |
New York Community Bancorp Inc. | 5,457,255 | 81,804 | |
American Campus Communities Inc. | 1,475,999 | 78,036 | |
WP Carey Inc. | 1,119,308 | 77,702 | |
* | Signature Bank | 610,740 | 76,294 |
FactSet Research Systems Inc. | 468,484 | 75,623 | |
SEI Investments Co. | 1,555,443 | 74,832 | |
MSCI Inc. Class A | 953,448 | 73,530 | |
American Capital Agency Corp. | 3,697,831 | 73,291 | |
Equity LifeStyle Properties Inc. | 913,902 | 73,158 | |
Gaming and Leisure Properties Inc. | 2,061,995 | 71,098 | |
Reinsurance Group of America Inc. Class A | 728,144 | 70,623 | |
Spirit Realty Capital Inc. | 5,486,360 | 70,061 | |
Raymond James Financial Inc. | 1,418,591 | 69,937 | |
Kilroy Realty Corp. | 1,038,220 | 68,824 | |
WR Berkley Corp. | 1,092,344 | 65,453 | |
Liberty Property Trust | 1,645,674 | 65,366 | |
DDR Corp. | 3,525,186 | 63,947 | |
Brixmor Property Group Inc. | 2,401,490 | 63,543 | |
Omega Healthcare Investors Inc. | 1,866,611 | 63,371 | |
CubeSmart | 2,020,361 | 62,389 | |
CBOE Holdings Inc. | 933,155 | 62,167 | |
MarketAxess Holdings Inc. | 424,694 | 61,751 | |
CIT Group Inc. | 1,925,932 | 61,457 | |
Lamar Advertising Co. Class A | 925,533 | 61,363 | |
American Financial Group Inc. | 800,891 | 59,210 | |
Voya Financial Inc. | 2,340,372 | 57,948 | |
EPR Properties | 716,837 | 57,834 | |
Highwoods Properties Inc. | 1,080,984 | 57,076 | |
RenaissanceRe Holdings Ltd. | 483,499 | 56,782 | |
Senior Housing Properties Trust | 2,687,527 | 55,981 | |
Douglas Emmett Inc. | 1,569,130 | 55,736 | |
Sun Communities Inc. | 725,043 | 55,567 | |
East West Bancorp Inc. | 1,625,197 | 55,549 | |
Starwood Property Trust Inc. | 2,679,172 | 55,512 | |
Forest City Realty Trust Inc. Class A | 2,487,213 | 55,490 | |
Sovran Self Storage Inc. | 527,398 | 55,335 | |
* | SVB Financial Group | 580,338 | 55,225 |
Axis Capital Holdings Ltd. | 989,090 | 54,400 | |
Weingarten Realty Investors | 1,309,524 | 53,455 | |
Old Republic International Corp. | 2,725,382 | 52,573 | |
Taubman Centers Inc. | 686,233 | 50,919 | |
PacWest Bancorp | 1,273,572 | 50,663 | |
Healthcare Trust of America Inc. Class A | 1,552,756 | 50,216 | |
STORE Capital Corp. | 1,695,352 | 49,928 | |
Jones Lang LaSalle Inc. | 510,384 | 49,737 | |
First American Financial Corp. | 1,235,960 | 49,710 | |
Hospitality Properties Trust | 1,709,040 | 49,220 | |
White Mountains Insurance Group Ltd. | 57,838 | 48,700 | |
Brown & Brown Inc. | 1,295,372 | 48,538 | |
* | Realogy Holdings Corp. | 1,651,111 | 47,915 |
Corrections Corp. of America | 1,348,451 | 47,223 |
12
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
DCT Industrial Trust Inc. | 982,171 | 47,184 | |
* | Howard Hughes Corp. | 406,625 | 46,485 |
Retail Properties of America Inc. | 2,735,899 | 46,237 | |
Endurance Specialty Holdings Ltd. | 687,481 | 46,171 | |
Eaton Vance Corp. | 1,285,702 | 45,437 | |
Healthcare Realty Trust Inc. | 1,279,736 | 44,778 | |
Commerce Bancshares Inc. | 933,865 | 44,732 | |
Communications Sales & Leasing Inc. | 1,547,615 | 44,726 | |
Validus Holdings Ltd. | 918,818 | 44,645 | |
Investors Bancorp Inc. | 4,024,793 | 44,595 | |
Gramercy Property Trust | 4,811,650 | 44,363 | |
Lazard Ltd. Class A | 1,466,533 | 43,673 | |
CyrusOne Inc. | 780,195 | 43,426 | |
Tanger Factory Outlet Centers Inc. | 1,063,575 | 42,734 | |
* | Equity Commonwealth | 1,434,127 | 41,776 |
Medical Properties Trust Inc. | 2,673,394 | 40,662 | |
American Homes 4 Rent Class A | 1,980,643 | 40,564 | |
Hanover Insurance Group Inc. | 479,355 | 40,563 | |
Synovus Financial Corp. | 1,393,100 | 40,386 | |
DuPont Fabros Technology Inc. | 834,221 | 39,659 | |
PrivateBancorp Inc. | 893,053 | 39,321 | |
Cullen/Frost Bankers Inc. | 614,585 | 39,168 | |
First Niagara Financial Group Inc. | 3,992,042 | 38,883 | |
Outfront Media Inc. | 1,583,880 | 38,282 | |
Umpqua Holdings Corp. | 2,473,204 | 38,260 | |
FirstMerit Corp. | 1,873,742 | 37,981 | |
Prosperity Bancshares Inc. | 739,417 | 37,703 | |
Assured Guaranty Ltd. | 1,482,313 | 37,606 | |
Post Properties Inc. | 605,464 | 36,964 | |
Rayonier Inc. | 1,395,433 | 36,616 | |
First Industrial Realty Trust Inc. | 1,315,570 | 36,599 | |
Allied World Assurance Co. Holdings AG | 1,033,244 | 36,308 | |
New Residential Investment Corp. | 2,609,333 | 36,113 | |
First Horizon National Corp. | 2,618,894 | 36,088 | |
Piedmont Office Realty Trust Inc. Class A | 1,667,073 | 35,909 | |
BankUnited Inc. | 1,161,396 | 35,678 | |
Webster Financial Corp. | 1,029,655 | 34,957 | |
CNO Financial Group Inc. | 1,995,769 | 34,846 | |
Education Realty Trust Inc. | 752,302 | 34,711 | |
Popular Inc. | 1,172,765 | 34,362 | |
Bank of the Ozarks Inc. | 906,758 | 34,022 | |
Two Harbors Investment Corp. | 3,929,106 | 33,633 | |
Bank of Hawaii Corp. | 487,860 | 33,565 | |
Apple Hospitality REIT Inc. | 1,784,394 | 33,564 | |
Equity One Inc. | 1,041,397 | 33,512 | |
* | Western Alliance Bancorp | 1,017,835 | 33,232 |
Chimera Investment Corp. | 2,103,900 | 33,031 | |
Brandywine Realty Trust | 1,959,127 | 32,913 | |
ProAssurance Corp. | 614,622 | 32,913 | |
Corporate Office Properties Trust | 1,087,318 | 32,152 | |
Urban Edge Properties | 1,069,443 | 31,934 | |
Aspen Insurance Holdings Ltd. | 687,033 | 31,865 | |
Physicians Realty Trust | 1,502,241 | 31,562 | |
Primerica Inc. | 547,463 | 31,337 | |
MFA Financial Inc. | 4,222,901 | 30,701 | |
Paramount Group Inc. | 1,922,161 | 30,639 | |
RLJ Lodging Trust | 1,422,656 | 30,516 | |
FNB Corp. | 2,422,965 | 30,384 | |
CoreSite Realty Corp. | 342,274 | 30,356 | |
Federated Investors Inc. Class B | 1,053,067 | 30,307 | |
RLI Corp. | 437,646 | 30,101 | |
LaSalle Hotel Properties | 1,274,437 | 30,051 | |
* | SLM Corp. | 4,861,945 | 30,047 |
Ryman Hospitality Properties Inc. | 590,094 | 29,888 |
13
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Wintrust Financial Corp. | 584,620 | 29,816 | |
Columbia Property Trust Inc. | 1,390,980 | 29,767 | |
QTS Realty Trust Inc. Class A | 531,549 | 29,756 | |
National Health Investors Inc. | 394,561 | 29,628 | |
Sunstone Hotel Investors Inc. | 2,433,261 | 29,369 | |
Blackstone Mortgage Trust Inc. Class A | 1,055,843 | 29,215 | |
Associated Banc-Corp | 1,701,759 | 29,185 | |
Hudson Pacific Properties Inc. | 994,044 | 29,006 | |
MB Financial Inc. | 794,869 | 28,838 | |
Acadia Realty Trust | 811,800 | 28,835 | |
GEO Group Inc. | 842,253 | 28,788 | |
United Bankshares Inc. | 754,867 | 28,315 | |
Erie Indemnity Co. Class A | 282,624 | 28,076 | |
Home BancShares Inc. | 1,412,192 | 27,947 | |
Kite Realty Group Trust | 980,610 | 27,487 | |
Mack-Cali Realty Corp. | 1,013,735 | 27,371 | |
First Citizens BancShares Inc. Class A | 104,916 | 27,164 | |
Fulton Financial Corp. | 1,980,614 | 26,738 | |
Radian Group Inc. | 2,483,764 | 25,881 | |
Empire State Realty Trust Inc. | 1,350,915 | 25,654 | |
Washington REIT | 814,692 | 25,630 | |
Retail Opportunity Investments Corp. | 1,181,819 | 25,610 | |
EastGroup Properties Inc. | 370,816 | 25,557 | |
Selective Insurance Group Inc. | 667,446 | 25,503 | |
UMB Financial Corp. | 479,106 | 25,493 | |
First Financial Bankshares Inc. | 774,778 | 25,405 | |
Care Capital Properties Inc. | 966,244 | 25,325 | |
Washington Federal Inc. | 1,035,080 | 25,111 | |
Lexington Realty Trust | 2,418,567 | 24,452 | |
PS Business Parks Inc. | 229,733 | 24,370 | |
* | Texas Capital Bancshares Inc. | 519,026 | 24,270 |
TCF Financial Corp. | 1,907,738 | 24,133 | |
Cathay General Bancorp | 851,207 | 24,004 | |
WP Glimcher Inc. | 2,129,826 | 23,833 | |
Glacier Bancorp Inc. | 878,196 | 23,342 | |
* | Stifel Financial Corp. | 741,698 | 23,326 |
NorthStar Realty Finance Corp. | 2,031,140 | 23,216 | |
Valley National Bancorp | 2,539,427 | 23,160 | |
Interactive Brokers Group Inc. | 649,204 | 22,982 | |
Hancock Holding Co. | 876,842 | 22,894 | |
Cousins Properties Inc. | 2,196,252 | 22,841 | |
IBERIABANK Corp. | 381,651 | 22,796 | |
Mercury General Corp. | 427,934 | 22,749 | |
AmTrust Financial Services Inc. | 927,919 | 22,734 | |
Janus Capital Group Inc. | 1,629,637 | 22,685 | |
LTC Properties Inc. | 437,797 | 22,647 | |
* | MGIC Investment Corp. | 3,777,036 | 22,473 |
NorthStar Asset Management Group Inc. | 2,199,507 | 22,457 | |
* | Enstar Group Ltd. | 137,493 | 22,273 |
BancorpSouth Inc. | 958,034 | 21,738 | |
Pebblebrook Hotel Trust | 815,900 | 21,417 | |
Sterling Bancorp | 1,358,816 | 21,333 | |
Pinnacle Financial Partners Inc. | 434,735 | 21,237 | |
*,^ | Credit Acceptance Corp. | 114,319 | 21,158 |
Community Bank System Inc. | 514,581 | 21,144 | |
DiamondRock Hospitality Co. | 2,291,289 | 20,690 | |
Great Western Bancorp Inc. | 646,060 | 20,377 | |
Capitol Federal Financial Inc. | 1,448,098 | 20,201 | |
Xenia Hotels & Resorts Inc. | 1,200,467 | 20,144 | |
Kennedy-Wilson Holdings Inc. | 1,059,719 | 20,092 | |
Colony Capital Inc. Class A | 1,279,973 | 19,648 | |
Evercore Partners Inc. Class A | 443,924 | 19,617 | |
Monogram Residential Trust Inc. | 1,904,874 | 19,449 | |
^ | LPL Financial Holdings Inc. | 863,019 | 19,444 |
14
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
South State Corp. | 285,242 | 19,411 | |
American Assets Trust Inc. | 454,660 | 19,296 | |
Select Income REIT | 741,620 | 19,275 | |
Alexander & Baldwin Inc. | 531,889 | 19,222 | |
Trustmark Corp. | 770,437 | 19,145 | |
* | Hilltop Holdings Inc. | 908,853 | 19,077 |
CVB Financial Corp. | 1,162,465 | 19,053 | |
Columbia Banking System Inc. | 678,473 | 19,038 | |
Old National Bancorp | 1,487,160 | 18,634 | |
Government Properties Income Trust | 802,395 | 18,503 | |
Ramco-Gershenson Properties Trust | 939,951 | 18,432 | |
Argo Group International Holdings Ltd. | 354,326 | 18,390 | |
STAG Industrial Inc. | 765,821 | 18,234 | |
Hatteras Financial Corp. | 1,085,053 | 17,795 | |
Invesco Mortgage Capital Inc. | 1,296,579 | 17,750 | |
Alexander's Inc. | 43,372 | 17,749 | |
BGC Partners Inc. Class A | 2,032,419 | 17,702 | |
New York REIT Inc. | 1,899,550 | 17,571 | |
Northwest Bancshares Inc. | 1,160,644 | 17,212 | |
Kemper Corp. | 551,912 | 17,098 | |
First Cash Financial Services Inc. | 329,875 | 16,932 | |
Pennsylvania REIT | 780,956 | 16,752 | |
* | Eagle Bancorp Inc. | 346,495 | 16,670 |
* | Essent Group Ltd. | 764,023 | 16,663 |
Chemical Financial Corp. | 444,971 | 16,593 | |
First Midwest Bancorp Inc. | 943,040 | 16,560 | |
Morningstar Inc. | 201,744 | 16,499 | |
Chesapeake Lodging Trust | 705,187 | 16,396 | |
CBL & Associates Properties Inc. | 1,736,048 | 16,163 | |
Potlatch Corp. | 470,415 | 16,041 | |
International Bancshares Corp. | 609,744 | 15,908 | |
Waddell & Reed Financial Inc. Class A | 921,682 | 15,871 | |
Horace Mann Educators Corp. | 468,447 | 15,829 | |
Astoria Financial Corp. | 1,030,355 | 15,795 | |
Global Net Lease Inc. | 1,984,919 | 15,780 | |
Rexford Industrial Realty Inc. | 745,268 | 15,718 | |
Simmons First National Corp. Class A | 339,135 | 15,663 | |
* | St. Joe Co. | 882,775 | 15,643 |
Sabra Health Care REIT Inc. | 754,903 | 15,577 | |
NBT Bancorp Inc. | 541,255 | 15,496 | |
Towne Bank | 715,177 | 15,484 | |
Parkway Properties Inc. | 917,110 | 15,343 | |
Financial Engines Inc. | 590,885 | 15,286 | |
National General Holdings Corp. | 705,527 | 15,112 | |
BOK Financial Corp. | 240,694 | 15,092 | |
CYS Investments Inc. | 1,768,013 | 14,798 | |
Renasant Corp. | 457,270 | 14,784 | |
Westamerica Bancorporation | 298,891 | 14,723 | |
Independent Bank Corp. | 318,491 | 14,555 | |
* | Genworth Financial Inc. Class A | 5,639,078 | 14,549 |
First Financial Bancorp | 743,560 | 14,462 | |
Talmer Bancorp Inc. Class A | 740,513 | 14,196 | |
United Community Banks Inc. | 774,416 | 14,164 | |
Park National Corp. | 154,318 | 14,163 | |
Colony Starwood Homes | 457,641 | 13,921 | |
BBCN Bancorp Inc. | 928,269 | 13,850 | |
EverBank Financial Corp. | 926,661 | 13,770 | |
AMERISAFE Inc. | 223,643 | 13,691 | |
Terreno Realty Corp. | 526,435 | 13,619 | |
Provident Financial Services Inc. | 688,805 | 13,528 | |
LegacyTexas Financial Group Inc. | 502,303 | 13,517 | |
American Equity Investment Life Holding Co. | 929,228 | 13,242 | |
Summit Hotel Properties Inc. | 999,163 | 13,229 | |
Union Bankshares Corp. | 531,680 | 13,138 |
15
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
�� | |||
Market | |||
Value | |||
Shares | ($000) | ||
Agree Realty Corp. | 271,332 | 13,089 | |
Yadkin Financial Corp. | 516,956 | 12,970 | |
PennyMac Mortgage Investment Trust | 784,150 | 12,727 | |
* | PRA Group Inc. | 527,026 | 12,722 |
* | Santander Consumer USA Holdings Inc. | 1,231,499 | 12,721 |
Four Corners Property Trust Inc. | 617,228 | 12,709 | |
TFS Financial Corp. | 735,647 | 12,668 | |
^ | WisdomTree Investments Inc. | 1,275,407 | 12,486 |
Redwood Trust Inc. | 900,109 | 12,431 | |
First Merchants Corp. | 498,442 | 12,426 | |
Franklin Street Properties Corp. | 1,006,811 | 12,354 | |
ServisFirst Bancshares Inc. | 249,345 | 12,315 | |
Navigators Group Inc. | 130,563 | 12,008 | |
Cash America International Inc. | 280,325 | 11,947 | |
* | Green Dot Corp. Class A | 518,622 | 11,923 |
* | OneMain Holdings Inc. Class A | 517,847 | 11,817 |
American National Insurance Co. | 104,424 | 11,816 | |
WesBanco Inc. | 377,906 | 11,734 | |
Artisan Partners Asset Management Inc. Class A | 421,945 | 11,679 | |
Boston Private Financial Holdings Inc. | 978,423 | 11,526 | |
*,^ | BofI Holding Inc. | 650,731 | 11,524 |
HFF Inc. Class A | 392,916 | 11,347 | |
* | Beneficial Bancorp Inc. | 869,706 | 11,063 |
United Fire Group Inc. | 257,385 | 10,921 | |
Infinity Property & Casualty Corp. | 134,922 | 10,883 | |
Monmouth Real Estate Investment Corp. | 819,893 | 10,872 | |
Employers Holdings Inc. | 371,801 | 10,790 | |
Capstead Mortgage Corp. | 1,098,929 | 10,660 | |
Banner Corp. | 250,175 | 10,642 | |
Stewart Information Services Corp. | 256,586 | 10,625 | |
Berkshire Hills Bancorp Inc. | 393,802 | 10,601 | |
Apollo Commercial Real Estate Finance Inc. | 656,189 | 10,545 | |
BNC Bancorp | 457,132 | 10,381 | |
Safety Insurance Group Inc. | 168,445 | 10,373 | |
WSFS Financial Corp. | 321,227 | 10,340 | |
S&T Bancorp Inc. | 422,280 | 10,325 | |
Banc of California Inc. | 560,326 | 10,142 | |
* | MBIA Inc. | 1,481,608 | 10,119 |
*,^ | LendingClub Corp. | 2,351,418 | 10,111 |
Tompkins Financial Corp. | 151,628 | 9,856 | |
Chatham Lodging Trust | 447,106 | 9,827 | |
Brookline Bancorp Inc. | 883,240 | 9,742 | |
Investors Real Estate Trust | 1,489,197 | 9,635 | |
New Senior Investment Group Inc. | 900,517 | 9,618 | |
Ameris Bancorp | 320,958 | 9,532 | |
FelCor Lodging Trust Inc. | 1,523,794 | 9,493 | |
Hannon Armstrong Sustainable Infrastructure Capital Inc. | 438,176 | 9,465 | |
State Bank Financial Corp. | 464,416 | 9,451 | |
Hanmi Financial Corp. | 402,318 | 9,450 | |
Cohen & Steers Inc. | 232,254 | 9,392 | |
Lakeland Financial Corp. | 195,199 | 9,176 | |
CNA Financial Corp. | 291,799 | 9,168 | |
Hersha Hospitality Trust Class A | 528,037 | 9,056 | |
CenterState Banks Inc. | 573,245 | 9,029 | |
Meridian Bancorp Inc. | 609,694 | 9,011 | |
American Capital Mortgage Investment Corp. | 570,677 | 9,011 | |
First Commonwealth Financial Corp. | 978,809 | 9,005 | |
CareTrust REIT Inc. | 647,292 | 8,920 | |
Central Pacific Financial Corp. | 372,584 | 8,793 | |
Sandy Spring Bancorp Inc. | 298,540 | 8,676 | |
Tier REIT Inc. | 564,908 | 8,660 | |
Saul Centers Inc. | 139,656 | 8,618 | |
Universal Health Realty Income Trust | 150,597 | 8,611 | |
Southside Bancshares Inc. | 278,477 | 8,611 |
16
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Cardinal Financial Corp. | 389,908 | 8,555 | |
First Busey Corp. | 398,453 | 8,523 | |
* | iStar Inc. | 887,010 | 8,506 |
Urstadt Biddle Properties Inc. Class A | 341,264 | 8,457 | |
* | Bats Global Markets Inc. | 327,046 | 8,402 |
^ | Seritage Growth Properties Class A | 165,051 | 8,226 |
ARMOUR Residential REIT Inc. | 411,122 | 8,222 | |
Maiden Holdings Ltd. | 664,392 | 8,132 | |
RE/MAX Holdings Inc. Class A | 201,763 | 8,123 | |
United Financial Bancorp Inc. | 619,046 | 8,035 | |
Wilshire Bancorp Inc. | 770,255 | 8,026 | |
* | Third Point Reinsurance Ltd. | 676,326 | 7,927 |
TrustCo Bank Corp. NY | 1,234,614 | 7,914 | |
* | Customers Bancorp Inc. | 314,781 | 7,910 |
City Holding Co. | 172,651 | 7,850 | |
Rouse Properties Inc. | 429,688 | 7,842 | |
* | KCG Holdings Inc. Class A | 583,597 | 7,762 |
FBL Financial Group Inc. Class A | 126,726 | 7,688 | |
Community Trust Bancorp Inc. | 219,643 | 7,613 | |
^ | New York Mortgage Trust Inc. | 1,244,955 | 7,594 |
* | Greenlight Capital Re Ltd. Class A | 361,909 | 7,296 |
Cedar Realty Trust Inc. | 978,663 | 7,271 | |
Capital Bank Financial Corp. | 249,040 | 7,172 | |
Oritani Financial Corp. | 448,110 | 7,165 | |
* | Walker & Dunlop Inc. | 313,644 | 7,145 |
Getty Realty Corp. | 332,305 | 7,128 | |
Silver Bay Realty Trust Corp. | 417,171 | 7,104 | |
Washington Trust Bancorp Inc. | 186,972 | 7,090 | |
Heritage Financial Corp. | 400,872 | 7,047 | |
Opus Bank | 208,198 | 7,037 | |
Flushing Financial Corp. | 353,822 | 7,034 | |
Stock Yards Bancorp Inc. | 247,433 | 6,985 | |
Heartland Financial USA Inc. | 196,863 | 6,947 | |
1st Source Corp. | 213,411 | 6,912 | |
*,^ | LendingTree Inc. | 77,572 | 6,852 |
Ladder Capital Corp. | 557,292 | 6,799 | |
Universal Insurance Holdings Inc. | 364,729 | 6,777 | |
Northfield Bancorp Inc. | 456,616 | 6,772 | |
* | PHH Corp. | 502,033 | 6,687 |
NorthStar Realty Europe Corp. | 718,257 | 6,644 | |
Dime Community Bancshares Inc. | 384,472 | 6,540 | |
Investment Technology Group Inc. | 389,951 | 6,520 | |
First Interstate BancSystem Inc. Class A | 230,188 | 6,468 | |
*,^ | Encore Capital Group Inc. | 270,466 | 6,364 |
TriCo Bancshares | 229,829 | 6,343 | |
MainSource Financial Group Inc. | 287,056 | 6,330 | |
Nelnet Inc. Class A | 179,300 | 6,231 | |
National Bank Holdings Corp. Class A | 304,690 | 6,204 | |
* | Pacific Premier Bancorp Inc. | 257,647 | 6,184 |
* | Piper Jaffray Cos. | 163,565 | 6,166 |
Diamond Hill Investment Group Inc. | 32,248 | 6,076 | |
* | Flagstar Bancorp Inc. | 244,275 | 5,963 |
Altisource Residential Corp. | 648,567 | 5,960 | |
Enterprise Financial Services Corp. | 213,381 | 5,951 | |
German American Bancorp Inc. | 186,002 | 5,946 | |
Suffolk Bancorp | 186,767 | 5,848 | |
First Potomac Realty Trust | 616,177 | 5,669 | |
Bryn Mawr Bank Corp. | 193,935 | 5,663 | |
National Western Life Group Inc. Class A | 28,767 | 5,617 | |
James River Group Holdings Ltd. | 165,301 | 5,614 | |
* | Ambac Financial Group Inc. | 336,778 | 5,543 |
BancFirst Corp. | 91,342 | 5,510 | |
Great Southern Bancorp Inc. | 147,746 | 5,462 | |
Bank Mutual Corp. | 707,751 | 5,436 |
17
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
National Storage Affiliates Trust | 259,323 | 5,399 | |
* | Seacoast Banking Corp. of Florida | 332,233 | 5,395 |
CoBiz Financial Inc. | 459,148 | 5,372 | |
Anworth Mortgage Asset Corp. | 1,136,246 | 5,340 | |
Arrow Financial Corp. | 175,949 | 5,330 | |
Virtus Investment Partners Inc. | 74,639 | 5,313 | |
* | First BanCorp | 1,318,910 | 5,236 |
Ashford Hospitality Trust Inc. | 969,062 | 5,204 | |
Southwest Bancorp Inc. | 303,848 | 5,144 | |
AG Mortgage Investment Trust Inc. | 353,850 | 5,110 | |
* | INTL. FCStone Inc. | 187,181 | 5,108 |
Financial Institutions Inc. | 194,096 | 5,060 | |
Apollo Residential Mortgage Inc. | 377,565 | 5,059 | |
Greenhill & Co. Inc. | 308,376 | 4,965 | |
* | HomeStreet Inc. | 247,763 | 4,935 |
Resource Capital Corp. | 380,204 | 4,889 | |
Mercantile Bank Corp. | 204,412 | 4,877 | |
Waterstone Financial Inc. | 318,031 | 4,875 | |
* | Forestar Group Inc. | 409,892 | 4,874 |
CatchMark Timber Trust Inc. Class A | 398,148 | 4,865 | |
*,^ | Nationstar Mortgage Holdings Inc. | 431,143 | 4,855 |
First Financial Corp. | 131,956 | 4,832 | |
* | Tejon Ranch Co. | 203,030 | 4,800 |
InfraREIT Inc. | 271,569 | 4,763 | |
Preferred Bank | 164,447 | 4,748 | |
* | EZCORP Inc. Class A | 624,118 | 4,718 |
Republic Bancorp Inc.Class A | 170,535 | 4,712 | |
Armada Hoffler Properties Inc. | 341,301 | 4,689 | |
Whitestone REIT | 307,944 | 4,644 | |
Independent Bank Group Inc. | 108,218 | 4,644 | |
* | World Acceptance Corp. | 100,394 | 4,578 |
Park Sterling Corp. | 643,090 | 4,560 | |
NexPoint Residential Trust Inc. | 249,293 | 4,537 | |
Peoples Bancorp Inc. | 207,988 | 4,532 | |
Moelis & Co. Class A | 200,645 | 4,515 | |
First Bancorp | 253,726 | 4,461 | |
Blue Hills Bancorp Inc. | 301,524 | 4,451 | |
Lakeland Bancorp Inc. | 389,954 | 4,438 | |
Western Asset Mortgage Capital Corp. | 471,211 | 4,425 | |
ConnectOne Bancorp Inc. | 280,091 | 4,395 | |
State Auto Financial Corp. | 200,340 | 4,389 | |
One Liberty Properties Inc. | 183,647 | 4,380 | |
Virtu Financial Inc. Class A | 242,789 | 4,370 | |
OFG Bancorp | 523,644 | 4,346 | |
* | HomeTrust Bancshares Inc. | 234,351 | 4,336 |
Independent Bank Corp. | 297,994 | 4,324 | |
Gladstone Commercial Corp. | 253,958 | 4,289 | |
Ashford Hospitality Prime Inc. | 302,110 | 4,272 | |
Ares Commercial Real Estate Corp. | 344,418 | 4,233 | |
PJT Partners Inc. | 183,583 | 4,222 | |
First Community Bancshares Inc. | 187,470 | 4,207 | |
State National Cos. Inc. | 397,458 | 4,185 | |
Easterly Government Properties Inc. | 210,057 | 4,144 | |
*,^ | Citizens Inc.Class A | 544,020 | 4,135 |
West Bancorporation Inc. | 222,074 | 4,128 | |
First of Long Island Corp. | 143,061 | 4,102 | |
Westwood Holdings Group Inc. | 79,108 | 4,098 | |
Dynex Capital Inc. | 590,163 | 4,096 | |
CIM Commercial Trust Corp. | 252,162 | 4,095 | |
Meta Financial Group Inc. | 78,981 | 4,025 | |
OceanFirst Financial Corp. | 219,427 | 3,987 | |
QCR Holdings Inc. | 146,481 | 3,983 | |
CorEnergy Infrastructure Trust Inc. | 137,720 | 3,973 | |
OneBeacon Insurance Group Ltd. Class A | 286,301 | 3,951 |
18
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Marcus & Millichap Inc. | 154,189 | 3,918 |
Guaranty Bancorp | 232,739 | 3,887 | |
Preferred Apartment Communities Inc. Class A | 263,408 | 3,877 | |
Camden National Corp. | 92,142 | 3,870 | |
Univest Corp. of Pennsylvania | 181,700 | 3,819 | |
Federal Agricultural Mortgage Corp. | 109,474 | 3,812 | |
Fidelity Southern Corp. | 241,412 | 3,783 | |
Newcastle Investment Corp. | 813,115 | 3,732 | |
* | Safeguard Scientifics Inc. | 293,974 | 3,672 |
* | FCB Financial Holdings Inc. Class A | 105,531 | 3,588 |
Heritage Commerce Corp. | 339,692 | 3,577 | |
* | Altisource Portfolio Solutions SA | 127,390 | 3,547 |
Baldwin & Lyons Inc. | 143,613 | 3,542 | |
* | Ladenburg Thalmann Financial Services Inc. | 1,499,110 | 3,538 |
United Community Financial Corp. | 581,035 | 3,533 | |
Heritage Insurance Holdings Inc. | 294,602 | 3,526 | |
Territorial Bancorp Inc. | 131,523 | 3,481 | |
*,^ | Cowen Group Inc. Class A | 1,175,171 | 3,479 |
Kearny Financial Corp. | 273,605 | 3,442 | |
National Interstate Corp. | 113,103 | 3,421 | |
First Defiance Financial Corp. | 86,905 | 3,376 | |
* | Global Indemnity plc | 121,149 | 3,335 |
Clifton Bancorp Inc. | 219,950 | 3,315 | |
First Connecticut Bancorp Inc. | 199,648 | 3,306 | |
United Insurance Holdings Corp. | 199,950 | 3,275 | |
Community Healthcare Trust Inc. | 153,267 | 3,240 | |
Citizens & Northern Corp. | 160,012 | 3,235 | |
* | NMI Holdings Inc. Class A | 588,368 | 3,224 |
* | Sun Bancorp Inc. | 155,556 | 3,214 |
Stonegate Bank | 98,765 | 3,187 | |
Arlington Asset Investment Corp. Class A | 244,971 | 3,187 | |
Fidelity & Guaranty Life | 136,131 | 3,156 | |
Arbor Realty Trust Inc. | 437,588 | 3,146 | |
* | First NBC Bank Holding Co. | 186,019 | 3,123 |
* | CU Bancorp | 136,029 | 3,092 |
* | eHealth Inc. | 209,187 | 2,933 |
Consolidated-Tomoka Land Co. | 60,860 | 2,889 | |
* | BSB Bancorp Inc. | 127,019 | 2,877 |
EMC Insurance Group Inc. | 103,441 | 2,867 | |
* | TriState Capital Holdings Inc. | 208,461 | 2,862 |
* | Bancorp Inc. | 475,176 | 2,861 |
Pacific Continental Corp. | 181,319 | 2,849 | |
Federated National Holding Co. | 149,048 | 2,838 | |
BankFinancial Corp. | 234,601 | 2,813 | |
MBT Financial Corp. | 349,458 | 2,796 | |
Macatawa Bank Corp. | 375,790 | 2,788 | |
RAIT Financial Trust | 888,800 | 2,782 | |
Houlihan Lokey Inc. | 123,585 | 2,765 | |
* | CommunityOne Bancorp | 218,705 | 2,764 |
Capital City Bank Group Inc. | 197,642 | 2,751 | |
UMH Properties Inc. | 243,437 | 2,739 | |
First Financial Northwest Inc. | 205,873 | 2,734 | |
HCI Group Inc. | 99,695 | 2,720 | |
Westfield Financial Inc. | 351,438 | 2,706 | |
Independence Realty Trust Inc. | 329,377 | 2,694 | |
* | PICO Holdings Inc. | 281,456 | 2,663 |
SI Financial Group Inc. | 199,037 | 2,635 | |
Bridge Bancorp Inc. | 90,690 | 2,576 | |
* | First Foundation Inc. | 119,787 | 2,575 |
* | NewStar Financial Inc. | 300,903 | 2,534 |
Bluerock Residential Growth REIT Inc. Class A | 193,307 | 2,513 | |
RMR Group Inc. Class A | 81,136 | 2,513 | |
^ | Orchid Island Capital Inc. | 243,439 | 2,505 |
Peapack Gladstone Financial Corp. | 134,837 | 2,496 |
19
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Oppenheimer Holdings Inc. Class A | 159,034 | 2,459 | |
National Bankshares Inc. | 70,003 | 2,445 | |
First Bancorp Inc. | 113,453 | 2,444 | |
* | PennyMac Financial Services Inc. Class A | 193,804 | 2,421 |
* | Enova International Inc. | 328,528 | 2,418 |
Riverview Bancorp Inc. | 507,256 | 2,399 | |
Heritage Oaks Bancorp | 296,208 | 2,352 | |
MutualFirst Financial Inc. | 85,208 | 2,330 | |
City Office REIT Inc. | 179,471 | 2,330 | |
Northrim BanCorp Inc. | 87,807 | 2,308 | |
Carolina Financial Corp. | 122,806 | 2,294 | |
ACNB Corp. | 90,443 | 2,271 | |
GAMCO Investors Inc. Class A | 67,694 | 2,218 | |
*,^ | On Deck Capital Inc. | 427,198 | 2,200 |
Ames National Corp. | 81,132 | 2,176 | |
Orrstown Financial Services Inc. | 117,944 | 2,129 | |
Crawford & Co. Class B | 247,556 | 2,102 | |
Great Ajax Corp. | 151,039 | 2,095 | |
Peoples Financial Services Corp. | 52,909 | 2,071 | |
* | Ocwen Financial Corp. | 1,210,560 | 2,070 |
Associated Capital Group Inc. Class A | 71,988 | 2,065 | |
Bank of Marin Bancorp | 42,568 | 2,059 | |
CNB Financial Corp. | 115,101 | 2,049 | |
* | WMIH Corp. | 922,571 | 2,048 |
* | Cascade Bancorp | 359,645 | 1,992 |
Marlin Business Services Corp. | 119,549 | 1,949 | |
American National Bankshares Inc. | 77,199 | 1,944 | |
Your Community Bankshares Inc. | 52,265 | 1,942 | |
Farmers Capital Bank Corp. | 70,353 | 1,924 | |
^ | Fox Chase Bancorp Inc. | 94,151 | 1,915 |
Farmers National Banc Corp. | 216,896 | 1,909 | |
Century Bancorp Inc. Class A | 44,110 | 1,867 | |
Calamos Asset Management Inc. Class A | 253,151 | 1,851 | |
* | Hampton Roads Bankshares Inc. | 1,032,757 | 1,849 |
Provident Financial Holdings Inc. | 100,963 | 1,848 | |
Donegal Group Inc. Class A | 111,557 | 1,840 | |
Southern Missouri Bancorp Inc. | 78,087 | 1,837 | |
WashingtonFirst Bankshares Inc. | 84,846 | 1,834 | |
* | C1 Financial Inc. | 78,401 | 1,829 |
GAIN Capital Holdings Inc. | 285,510 | 1,804 | |
* | Regional Management Corp. | 122,658 | 1,798 |
* | Pacific Mercantile Bancorp | 250,075 | 1,776 |
Resource America Inc. Class A | 182,202 | 1,771 | |
Penns Woods Bancorp Inc. | 41,948 | 1,761 | |
*,^ | Republic First Bancorp Inc. | 407,505 | 1,756 |
*,^ | Trupanion Inc. | 129,486 | 1,716 |
Merchants Bancshares Inc. | 55,945 | 1,705 | |
First South Bancorp Inc. | 178,412 | 1,666 | |
Southern National Bancorp of Virginia Inc. | 134,622 | 1,636 | |
Pzena Investment Management Inc. Class A | 213,302 | 1,623 | |
* | FRP Holdings Inc. | 46,735 | 1,612 |
* | Nicolet Bankshares Inc. | 41,849 | 1,594 |
* | Asta Funding Inc. | 150,605 | 1,592 |
ESSA Bancorp Inc. | 117,532 | 1,575 | |
* | AV Homes Inc. | 127,757 | 1,561 |
Charter Financial Corp. | 117,504 | 1,560 | |
Manning & Napier Inc. | 160,150 | 1,521 | |
* | Carolina Bank Holdings Inc. | 86,992 | 1,521 |
Old Line Bancshares Inc. | 84,137 | 1,514 | |
Owens Realty Mortgage Inc. | 90,809 | 1,511 | |
* | Atlas Financial Holdings Inc. | 86,172 | 1,484 |
* | Triumph Bancorp Inc. | 92,589 | 1,481 |
Bankwell Financial Group Inc. | 66,012 | 1,456 | |
County Bancorp Inc. | 69,644 | 1,436 |
20
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Sierra Bancorp | 84,861 | 1,416 | |
* | Stratus Properties Inc. | 75,595 | 1,416 |
LCNB Corp. | 88,980 | 1,406 | |
*,^ | Impac Mortgage Holdings Inc. | 86,574 | 1,357 |
Tiptree Financial Inc. Class A | 247,067 | 1,354 | |
^ | Summit Financial Group Inc. | 76,994 | 1,347 |
Peoples Bancorp of North Carolina Inc. | 68,581 | 1,345 | |
Old Second Bancorp Inc. | 192,695 | 1,316 | |
Bank of Commerce Holdings | 199,115 | 1,314 | |
* | First United Corp. | 133,225 | 1,311 |
* | United Security Bancshares | 203,057 | 1,304 |
* | Hallmark Financial Services Inc. | 111,571 | 1,293 |
Horizon Bancorp | 51,394 | 1,292 | |
Codorus Valley Bancorp Inc. | 61,123 | 1,245 | |
* | Community Bankers Trust Corp. | 239,842 | 1,242 |
Lake Sunapee Bank Group | 71,995 | 1,232 | |
FBR & Co. | 82,272 | 1,228 | |
* | Security National Financial Corp. Class A | 250,494 | 1,225 |
*,^ | Walter Investment Management Corp. | 433,230 | 1,196 |
AmeriServ Financial Inc. | 386,789 | 1,168 | |
Chicopee Bancorp Inc. | 61,831 | 1,129 | |
First Community Corp. | 80,047 | 1,120 | |
Independence Holding Co. | 61,496 | 1,105 | |
Middleburg Financial Corp. | 39,974 | 1,087 | |
* | Franklin Financial Network Inc. | 34,124 | 1,070 |
^ | Live Oak Bancshares Inc. | 75,762 | 1,069 |
Home Bancorp Inc. | 38,155 | 1,048 | |
^ | United Development Funding IV | 324,899 | 1,040 |
* | Emergent Capital Inc. | 309,300 | 1,039 |
Enterprise Bancorp Inc. | 42,716 | 1,025 | |
First Internet Bancorp | 42,864 | 1,021 | |
Shore Bancshares Inc. | 84,081 | 988 | |
Bar Harbor Bankshares | 28,106 | 987 | |
MidWestOne Financial Group Inc. | 33,860 | 967 | |
Donegal Group Inc. Class B | 63,194 | 963 | |
* | Nicholas Financial Inc. | 90,977 | 935 |
Northeast Bancorp | 81,058 | 912 | |
C&F Financial Corp. | 20,209 | 905 | |
Investors Title Co. | 9,467 | 902 | |
^ | Farmland Partners Inc. | 79,380 | 899 |
* | Atlantic Coast Financial Corp. | 146,729 | 877 |
*,^ | Patriot National Inc. | 106,447 | 871 |
Ocean Shore Holding Co. | 51,011 | 865 | |
Citizens Community Bancorp Inc. | 83,110 | 861 | |
Urstadt Biddle Properties Inc. | 38,700 | 847 | |
Hawthorn Bancshares Inc. | 59,552 | 821 | |
* | First Northwest Bancorp | 63,649 | 811 |
First Business Financial Services Inc. | 34,350 | 806 | |
* | Consumer Portfolio Services Inc. | 211,482 | 797 |
Ellington Residential Mortgage REIT | 59,660 | 779 | |
* | Colony Bankcorp Inc. | 80,138 | 762 |
* | Maui Land & Pineapple Co. Inc. | 105,022 | 758 |
Ohio Valley Banc Corp. | 34,686 | 758 | |
Chemung Financial Corp. | 25,453 | 747 | |
* | American River Bankshares | 73,581 | 747 |
* | Green Bancorp Inc. | 84,510 | 737 |
* | ASB Bancorp Inc. | 29,456 | 723 |
Access National Corp. | 36,620 | 714 | |
Cherry Hill Mortgage Investment Corp. | 45,021 | 701 | |
MidSouth Bancorp Inc. | 65,640 | 659 | |
Unity Bancorp Inc. | 51,541 | 655 | |
* | HMN Financial Inc. | 47,639 | 647 |
Oak Valley Bancorp | 66,347 | 647 | |
* | BBX Capital Corp. | 41,129 | 632 |
21
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
ZAIS Financial Corp. | 45,921 | 630 | |
^ | Jernigan Capital Inc. | 44,136 | 615 |
Five Oaks Investment Corp. | 111,977 | 614 | |
Parke Bancorp Inc. | 47,487 | 614 | |
BCB Bancorp Inc. | 59,678 | 611 | |
Timberland Bancorp Inc. | 40,154 | 602 | |
Prudential Bancorp Inc. | 42,215 | 595 | |
Guaranty Federal Bancshares Inc. | 36,149 | 577 | |
* | 1st Constitution Bancorp | 47,593 | 572 |
* | Ashford Inc. | 11,347 | 567 |
* | Veritex Holdings Inc. | 34,469 | 552 |
Central Valley Community Bancorp | 38,708 | 542 | |
Eastern Virginia Bankshares Inc. | 71,622 | 541 | |
Bear State Financial Inc. | 57,169 | 539 | |
* | Atlantic Capital Bancshares Inc. | 36,032 | 521 |
Sotherly Hotels Inc. | 90,373 | 510 | |
* | Provident Bancorp Inc. | 32,975 | 508 |
* | Southern First Bancshares Inc. | 20,871 | 503 |
Premier Financial Bancorp Inc. | 29,831 | 503 | |
Citizens Holding Co. | 22,634 | 496 | |
Gladstone Land Corp. | 44,350 | 491 | |
Hingham Institution for Savings | 3,956 | 486 | |
* | Entegra Financial Corp. | 27,680 | 484 |
^ | FXCM Inc. Class A | 55,800 | 483 |
Federal Agricultural Mortgage Corp. Class A | 12,787 | 472 | |
Norwood Financial Corp. | 16,771 | 470 | |
Blue Capital Reinsurance Holdings Ltd. | 22,260 | 412 | |
^ | Union Bankshares Inc. | 11,206 | 407 |
* | Xenith Bankshares Inc. | 50,705 | 403 |
^ | Civista Bancshares Inc. | 29,098 | 381 |
*,^ | Stonegate Mortgage Corp. | 109,868 | 369 |
US Global Investors Inc. Class A | 210,856 | 358 | |
Investar Holding Corp. | 22,983 | 353 | |
* | First Marblehead Corp. | 72,565 | 353 |
LaPorte Bancorp Inc. | 21,551 | 352 | |
SB Financial Group Inc. | 31,319 | 340 | |
Silvercrest Asset Management Group Inc. Class A | 27,768 | 340 | |
* | 1st Century Bancshares Inc. | 30,165 | 338 |
First Savings Financial Group Inc. | 9,746 | 337 | |
* | BRT Realty Trust | 44,049 | 315 |
First Bancshares Inc. | 17,269 | 298 | |
A-Mark Precious Metals Inc. | 17,877 | 289 | |
Two River Bancorp | 26,479 | 288 | |
TheStreet Inc. | 248,073 | 280 | |
* | Atlanticus Holdings Corp. | 92,614 | 270 |
* | Anchor Bancorp Inc. | 11,400 | 269 |
* | Allegiance Bancshares Inc. | 10,502 | 261 |
First Clover Leaf Financial Corp. | 21,799 | 259 | |
Georgetown Bancorp Inc. | 12,400 | 252 | |
Old Point Financial Corp. | 12,862 | 247 | |
* | Avenue Financial Holdings Inc. | 12,063 | 237 |
* | Health Insurance Innovations Inc. Class A | 55,404 | 218 |
* | First Acceptance Corp. | 155,452 | 218 |
* | National Commerce Corp. | 8,936 | 208 |
United Bancshares Inc. | 11,489 | 205 | |
* | Royal Bancshares of Pennsylvania Inc. | 88,717 | 201 |
* | Select Bancorp Inc. | 23,684 | 191 |
CB Financial Services Inc. | 8,114 | 173 | |
Fifth Street Asset Management Inc. | 41,906 | 169 | |
People's Utah Bancorp | 9,807 | 163 | |
* | Central Federal Corp. | 119,516 | 163 |
Griffin Industrial Realty Inc. | 5,266 | 161 | |
* | InterGroup Corp. | 6,400 | 160 |
^ | American Farmland Co. | 25,570 | 154 |
22
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
FS Bancorp Inc. | 6,051 | 153 | |
Wolverine Bancorp Inc. | 5,954 | 152 | |
IF Bancorp Inc. | 7,557 | 139 | |
SmartFinancial Inc. | 8,758 | 135 | |
* | Malvern Bancorp Inc. | 8,558 | 134 |
Manhattan Bridge Capital Inc. | 24,275 | 129 | |
Greene County Bancorp Inc. | 7,840 | 128 | |
* | Severn Bancorp Inc. | 19,055 | 114 |
Sussex Bancorp | 8,387 | 112 | |
Wheeler REIT Inc. | 70,626 | 109 | |
* | Magyar Bancorp Inc. | 10,365 | 102 |
Southwest Georgia Financial Corp. | 6,935 | 101 | |
United Community Bancorp | 7,174 | 101 | |
* | Hamilton Bancorp Inc. | 7,058 | 98 |
Glen Burnie Bancorp | 9,147 | 98 | |
United Bancorp Inc. | 9,360 | 91 | |
Bank of South Carolina Corp. | 5,642 | 89 | |
* | Equity Bancshares Inc. Class A | 3,921 | 87 |
MSB Financial Corp. | 6,176 | 85 | |
*,^ | ZAIS Group Holdings Inc. | 29,300 | 82 |
Community Financial Corp. | 3,383 | 75 | |
Eagle Bancorp Montana Inc. | 5,462 | 69 | |
Medley Management Inc. Class A | 11,223 | 66 | |
* | Peoples Financial Corp. | 6,186 | 64 |
Kentucky First Federal Bancorp | 7,514 | 62 | |
* | Porter Bancorp Inc. | 36,051 | 55 |
First Capital Inc. | 1,612 | 53 | |
* | Condor Hospitality Trust Inc. | 31,965 | 49 |
Oconee Federal Financial Corp. | 2,383 | 47 | |
PB Bancorp Inc. | 5,101 | 43 | |
Salisbury Bancorp Inc. | 1,341 | 40 | |
Kingstone Cos. Inc. | 4,109 | 36 | |
Mackinac Financial Corp. | 3,236 | 36 | |
* | 1347 Property Insurance Holdings Inc. | 5,528 | 35 |
* | Conifer Holdings Inc. | 5,088 | 35 |
Community West Bancshares | 4,500 | 33 | |
Willis Towers Watson plc | 240 | 30 | |
Fauquier Bankshares Inc. | 1,931 | 28 | |
Global Self Storage Inc. | 4,745 | 26 | |
Mid Penn Bancorp Inc. | 1,384 | 22 | |
* | Patriot National Bancorp Inc. | 1,479 | 19 |
* | Village Bank and Trust Financial Corp. | 600 | 14 |
* | Howard Bancorp Inc. | 820 | 11 |
Landmark Bancorp Inc. | 420 | 11 | |
California First National Bancorp | 703 | 10 | |
Auburn National Bancorporation Inc. | 359 | 10 | |
Value Line Inc. | 586 | 10 | |
Elmira Savings Bank | 431 | 8 | |
Wellesley Bank | 300 | 6 | |
Summit State Bank | 400 | 5 | |
* | CKX Lands Inc. | 399 | 5 |
Atlantic American Corp. | 1,084 | 4 | |
* | Transcontinental Realty Investors Inc. | 400 | 4 |
Bancorp of New Jersey Inc. | 300 | 4 | |
* | Broadway Financial Corp. | 1,800 | 3 |
Lake Shore Bancorp Inc. | 200 | 3 | |
Stewardship Financial Corp. | 400 | 3 | |
* | Siebert Financial Corp. | 1,836 | 2 |
United Security Bancshares Inc. | 192 | 2 | |
Evans Bancorp Inc. | 57 | 1 | |
* | Power REIT | 200 | 1 |
Institutional Financial Markets Inc. | 649 | 1 | |
* | Tejon Ranch Co. Warrants Exp. 08/31/2016 | 17,984 | — |
11,383,835 |
23
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Health Care (11.9%) | |||
* | Incyte Corp. | 1,936,669 | 154,895 |
* | BioMarin Pharmaceutical Inc. | 1,833,117 | 142,617 |
* | Medivation Inc. | 1,863,559 | 112,373 |
* | Mettler-Toledo International Inc. | 301,639 | 110,074 |
ResMed Inc. | 1,591,463 | 100,628 | |
* | Jazz Pharmaceuticals plc | 683,909 | 96,643 |
Cooper Cos. Inc. | 548,828 | 94,162 | |
* | IDEXX Laboratories Inc. | 1,009,558 | 93,748 |
Teleflex Inc. | 495,215 | 87,807 | |
* | MEDNAX Inc. | 1,061,885 | 76,912 |
* | DexCom Inc. | 954,168 | 75,694 |
* | Alkermes plc | 1,713,182 | 74,044 |
* | Quintiles Transnational Holdings Inc. | 1,054,154 | 68,857 |
STERIS plc | 968,108 | 66,557 | |
* | Align Technology Inc. | 819,422 | 66,004 |
West Pharmaceutical Services Inc. | 822,437 | 62,407 | |
* | VCA Inc. | 909,345 | 61,481 |
* | athenahealth Inc. | 439,779 | 60,694 |
* | WellCare Health Plans Inc. | 500,477 | 53,691 |
* | Envision Healthcare Holdings Inc. | 2,115,029 | 53,658 |
* | United Therapeutics Corp. | 501,371 | 53,105 |
* | Seattle Genetics Inc. | 1,225,913 | 49,539 |
* | ABIOMED Inc. | 441,072 | 48,205 |
Bio-Techne Corp. | 424,531 | 47,874 | |
* | Amsurg Corp. | 604,364 | 46,862 |
* | Alnylam Pharmaceuticals Inc. | 842,794 | 46,767 |
* | Acadia Healthcare Co. Inc. | 841,444 | 46,616 |
* | Charles River Laboratories International Inc. | 529,539 | 43,655 |
* | IMS Health Holdings Inc. | 1,674,643 | 42,469 |
* | Neurocrine Biosciences Inc. | 906,410 | 41,196 |
* | Alere Inc. | 979,424 | 40,822 |
HealthSouth Corp. | 1,039,938 | 40,370 | |
* | PAREXEL International Corp. | 610,835 | 38,409 |
* | Veeva Systems Inc. Class A | 1,087,784 | 37,115 |
*,^ | OPKO Health Inc. | 3,657,642 | 34,162 |
* | Team Health Holdings Inc. | 825,220 | 33,562 |
* | Bio-Rad Laboratories Inc. Class A | 234,662 | 33,561 |
* | NuVasive Inc. | 559,487 | 33,413 |
* | Prestige Brands Holdings Inc. | 601,954 | 33,348 |
Hill-Rom Holdings Inc. | 645,554 | 32,568 | |
* | ACADIA Pharmaceuticals Inc. | 1,002,117 | 32,529 |
*,^ | Juno Therapeutics Inc. | 841,722 | 32,356 |
* | Brookdale Senior Living Inc. | 2,093,539 | 32,324 |
* | LifePoint Health Inc. | 491,242 | 32,112 |
* | TESARO Inc. | 381,512 | 32,066 |
* | Ionis Pharmaceuticals Inc. | 1,367,330 | 31,845 |
* | Tenet Healthcare Corp. | 1,116,687 | 30,865 |
* | Medidata Solutions Inc. | 642,273 | 30,103 |
* | Catalent Inc. | 1,236,765 | 28,433 |
Cantel Medical Corp. | 412,035 | 28,319 | |
Bruker Corp. | 1,242,985 | 28,265 | |
*,^ | Intercept Pharmaceuticals Inc. | 196,645 | 28,057 |
* | Akorn Inc. | 964,741 | 27,481 |
* | Allscripts Healthcare Solutions Inc. | 2,150,904 | 27,316 |
* | Horizon Pharma plc | 1,654,135 | 27,244 |
* | Ligand Pharmaceuticals Inc. | 224,900 | 26,824 |
* | Masimo Corp. | 509,978 | 26,781 |
* | Medicines Co. | 793,652 | 26,691 |
Owens & Minor Inc. | 707,196 | 26,435 | |
Chemed Corp. | 193,015 | 26,310 | |
* | Integra LifeSciences Holdings Corp. | 329,757 | 26,308 |
* | VWR Corp. | 880,932 | 25,459 |
* | Cepheid | 826,797 | 25,424 |
24
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Myriad Genetics Inc. | 811,074 | 24,819 |
* | LivaNova plc | 484,031 | 24,313 |
* | Neogen Corp. | 432,082 | 24,305 |
*,^ | Kite Pharma Inc. | 484,703 | 24,235 |
* | Molina Healthcare Inc. | 458,990 | 22,904 |
* | Impax Laboratories Inc. | 786,761 | 22,674 |
*,^ | Novavax Inc. | 3,108,741 | 22,601 |
* | Nektar Therapeutics | 1,567,456 | 22,305 |
* | AMN Healthcare Services Inc. | 534,598 | 21,368 |
* | Wright Medical Group NV | 1,166,993 | 20,271 |
* | Ultragenyx Pharmaceutical Inc. | 404,471 | 19,783 |
* | Insulet Corp. | 646,796 | 19,559 |
* | Globus Medical Inc. | 806,489 | 19,219 |
* | Ironwood Pharmaceuticals Inc. Class A | 1,466,750 | 19,178 |
* | Cambrex Corp. | 364,165 | 18,838 |
* | ICU Medical Inc. | 166,824 | 18,809 |
* | Exelixis Inc. | 2,388,636 | 18,655 |
* | Magellan Health Inc. | 279,508 | 18,383 |
* | Bluebird Bio Inc. | 421,396 | 18,242 |
* | Halyard Health Inc. | 532,728 | 17,324 |
* | INC Research Holdings Inc. Class A | 449,040 | 17,122 |
* | Premier Inc. Class A | 519,944 | 17,002 |
* | Haemonetics Corp. | 582,613 | 16,890 |
* | HMS Holdings Corp. | 957,584 | 16,863 |
* | Ophthotech Corp. | 321,603 | 16,411 |
* | Amedisys Inc. | 322,474 | 16,278 |
* | ARIAD Pharmaceuticals Inc. | 2,158,906 | 15,954 |
* | Community Health Systems Inc. | 1,273,914 | 15,351 |
* | ExamWorks Group Inc. | 438,297 | 15,275 |
* | Portola Pharmaceuticals Inc. | 643,923 | 15,197 |
* | Surgical Care Affiliates Inc. | 310,454 | 14,799 |
* | NxStage Medical Inc. | 682,435 | 14,795 |
* | TherapeuticsMD Inc. | 1,733,878 | 14,738 |
* | PRA Health Sciences Inc. | 350,875 | 14,653 |
* | Natus Medical Inc. | 381,874 | 14,435 |
*,^ | Radius Health Inc. | 389,891 | 14,328 |
* | Pacira Pharmaceuticals Inc. | 424,024 | 14,302 |
CONMED Corp. | 298,698 | 14,257 | |
* | Omnicell Inc. | 415,261 | 14,214 |
* | Air Methods Corp. | 394,906 | 14,149 |
* | Diplomat Pharmacy Inc. | 402,836 | 14,099 |
*,^ | Intrexon Corp. | 569,756 | 14,022 |
* | Prothena Corp. plc | 393,684 | 13,763 |
* | Depomed Inc. | 700,627 | 13,746 |
*,^ | Inovalon Holdings Inc. Class A | 761,908 | 13,722 |
* | Exact Sciences Corp. | 1,119,820 | 13,718 |
* | Acorda Therapeutics Inc. | 525,898 | 13,413 |
* | Intra-Cellular Therapies Inc. Class A | 343,636 | 13,340 |
* | Acceleron Pharma Inc. | 380,152 | 12,918 |
* | Select Medical Holdings Corp. | 1,188,157 | 12,915 |
* | Cynosure Inc. Class A | 261,424 | 12,717 |
*,^ | Agios Pharmaceuticals Inc. | 302,082 | 12,656 |
*,^ | Spark Therapeutics Inc. | 244,544 | 12,504 |
* | HealthEquity Inc. | 404,897 | 12,303 |
* | Alder Biopharmaceuticals Inc. | 491,439 | 12,271 |
* | Five Prime Therapeutics Inc. | 289,795 | 11,983 |
Abaxis Inc. | 248,309 | 11,728 | |
Analogic Corp. | 147,569 | 11,723 | |
Ensign Group Inc. | 547,665 | 11,506 | |
* | HeartWare International Inc. | 198,926 | 11,488 |
* | Nevro Corp. | 151,914 | 11,205 |
* | Celator Pharmaceuticals Inc. | 366,383 | 11,057 |
Kindred Healthcare Inc. | 961,980 | 10,861 | |
* | Halozyme Therapeutics Inc. | 1,248,728 | 10,777 |
25
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Achillion Pharmaceuticals Inc. | 1,345,687 | 10,496 |
* | Repligen Corp. | 380,921 | 10,422 |
* | Merit Medical Systems Inc. | 517,348 | 10,259 |
* | LDR Holding Corp. | 277,466 | 10,252 |
* | Endologix Inc. | 822,330 | 10,246 |
* | Zeltiq Aesthetics Inc. | 365,706 | 9,995 |
*,^ | Innoviva Inc. | 946,256 | 9,964 |
* | Emergent BioSolutions Inc. | 353,452 | 9,939 |
Meridian Bioscience Inc. | 497,104 | 9,694 | |
* | FibroGen Inc. | 580,805 | 9,531 |
* | AMAG Pharmaceuticals Inc. | 396,017 | 9,473 |
* | Spectranetics Corp. | 496,240 | 9,285 |
* | MacroGenics Inc. | 343,156 | 9,262 |
*,^ | MiMedx Group Inc. | 1,141,890 | 9,112 |
*,^ | Sarepta Therapeutics Inc. | 475,813 | 9,074 |
US Physical Therapy Inc. | 150,348 | 9,052 | |
* | Greatbatch Inc. | 289,316 | 8,949 |
* | Anika Therapeutics Inc. | 166,311 | 8,923 |
* | Luminex Corp. | 435,128 | 8,803 |
* | Theravance Biopharma Inc. | 387,033 | 8,782 |
National HealthCare Corp. | 134,680 | 8,719 | |
* | PharMerica Corp. | 347,127 | 8,560 |
* | Orthofix International NV | 200,346 | 8,495 |
*,^ | Adeptus Health Inc. Class A | 163,354 | 8,439 |
* | Vascular Solutions Inc. | 200,799 | 8,365 |
*,^ | ZIOPHARM Oncology Inc. | 1,501,501 | 8,243 |
* | Inogen Inc. | 164,262 | 8,231 |
* | Synergy Pharmaceuticals Inc. | 2,150,215 | 8,171 |
* | Supernus Pharmaceuticals Inc. | 393,480 | 8,015 |
* | Momenta Pharmaceuticals Inc. | 739,443 | 7,986 |
*,^ | Keryx Biopharmaceuticals Inc. | 1,200,496 | 7,947 |
*,^ | Cempra Inc. | 470,463 | 7,758 |
* | Amicus Therapeutics Inc. | 1,420,248 | 7,755 |
* | HealthStream Inc. | 288,024 | 7,638 |
*,^ | Lannett Co. Inc. | 320,483 | 7,624 |
*,^ | Lexicon Pharmaceuticals Inc. | 528,587 | 7,585 |
* | Puma Biotechnology Inc. | 251,819 | 7,502 |
* | Dermira Inc. | 256,151 | 7,492 |
* | Xencor Inc. | 392,713 | 7,458 |
* | SciClone Pharmaceuticals Inc. | 568,194 | 7,421 |
Aceto Corp. | 337,456 | 7,387 | |
Atrion Corp. | 17,114 | 7,322 | |
* | Cerus Corp. | 1,173,169 | 7,321 |
* | Merrimack Pharmaceuticals Inc. | 1,354,954 | 7,303 |
* | LHC Group Inc. | 168,470 | 7,291 |
*,^ | Inovio Pharmaceuticals Inc. | 775,023 | 7,161 |
* | Insmed Inc. | 719,349 | 7,093 |
* | Amphastar Pharmaceuticals Inc. | 410,610 | 6,619 |
* | Cardiovascular Systems Inc. | 352,951 | 6,485 |
* | Triple-S Management Corp. Class B | 265,200 | 6,479 |
* | Dynavax Technologies Corp. | 438,688 | 6,396 |
*,^ | Relypsa Inc. | 345,049 | 6,383 |
*,^ | Heron Therapeutics Inc. | 353,380 | 6,379 |
* | Providence Service Corp. | 141,178 | 6,336 |
* | Retrophin Inc. | 354,012 | 6,305 |
* | Quidel Corp. | 350,219 | 6,255 |
Quality Systems Inc. | 519,215 | 6,184 | |
* | Capital Senior Living Corp. | 333,163 | 5,887 |
* | Sage Therapeutics Inc. | 192,594 | 5,803 |
* | Vanda Pharmaceuticals Inc. | 514,150 | 5,753 |
* | Genomic Health Inc. | 219,087 | 5,673 |
* | Pacific Biosciences of California Inc. | 789,710 | 5,556 |
* | Array BioPharma Inc. | 1,549,443 | 5,516 |
*,^ | Aerie Pharmaceuticals Inc. | 313,025 | 5,509 |
26
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | Coherus Biosciences Inc. | 322,832 | 5,453 |
* | Raptor Pharmaceutical Corp. | 1,006,157 | 5,403 |
* | Clovis Oncology Inc. | 386,364 | 5,301 |
* | CorVel Corp. | 121,906 | 5,264 |
* | BioTelemetry Inc. | 318,692 | 5,195 |
* | Cross Country Healthcare Inc. | 365,084 | 5,082 |
Computer Programs & Systems Inc. | 126,368 | 5,045 | |
* | Celldex Therapeutics Inc. | 1,148,711 | 5,043 |
* | Corcept Therapeutics Inc. | 918,517 | 5,015 |
* | Accuray Inc. | 961,336 | 4,989 |
* | ANI Pharmaceuticals Inc. | 88,442 | 4,937 |
* | Arena Pharmaceuticals Inc. | 2,853,512 | 4,880 |
*,^ | Albany Molecular Research Inc. | 359,922 | 4,837 |
*,^ | Geron Corp. | 1,799,942 | 4,824 |
* | XenoPort Inc. | 683,617 | 4,813 |
* | Healthways Inc. | 412,235 | 4,761 |
* | Sangamo BioSciences Inc. | 816,585 | 4,728 |
Landauer Inc. | 114,737 | 4,723 | |
* | NeoGenomics Inc. | 587,186 | 4,721 |
Universal American Corp. | 618,224 | 4,686 | |
* | GenMark Diagnostics Inc. | 533,235 | 4,639 |
* | Spectrum Pharmaceuticals Inc. | 701,751 | 4,611 |
* | AtriCure Inc. | 322,152 | 4,552 |
*,^ | Accelerate Diagnostics Inc. | 311,094 | 4,477 |
*,^ | Omeros Corp. | 420,286 | 4,421 |
* | Atara Biotherapeutics Inc. | 196,331 | 4,419 |
* | Lion Biotechnologies Inc. | 544,061 | 4,407 |
* | K2M Group Holdings Inc. | 281,887 | 4,375 |
* | Almost Family Inc. | 102,631 | 4,373 |
Invacare Corp. | 359,542 | 4,361 | |
* | Epizyme Inc. | 424,469 | 4,347 |
*,^ | Cytokinetics Inc. | 453,699 | 4,306 |
* | Civitas Solutions Inc. | 204,816 | 4,266 |
* | Sagent Pharmaceuticals Inc. | 276,085 | 4,136 |
* | Otonomy Inc. | 258,327 | 4,102 |
* | OraSure Technologies Inc. | 692,201 | 4,091 |
* | SurModics Inc. | 173,697 | 4,078 |
*,^ | Eagle Pharmaceuticals Inc. | 105,051 | 4,075 |
* | Press Ganey Holdings Inc. | 102,445 | 4,031 |
*,^ | MannKind Corp. | 3,427,379 | 3,976 |
Phibro Animal Health Corp. Class A | 212,295 | 3,961 | |
*,^ | Rockwell Medical Inc. | 520,797 | 3,942 |
CryoLife Inc. | 330,398 | 3,902 | |
* | AngioDynamics Inc. | 267,481 | 3,844 |
*,^ | Arrowhead Pharmaceuticals Inc. | 707,625 | 3,765 |
* | Vocera Communications Inc. | 280,616 | 3,606 |
*,^ | Organovo Holdings Inc. | 959,099 | 3,568 |
*,^ | Insys Therapeutics Inc. | 274,661 | 3,554 |
*,^ | Teligent Inc. | 487,494 | 3,481 |
* | Progenics Pharmaceuticals Inc. | 822,819 | 3,472 |
* | Agenus Inc. | 838,828 | 3,397 |
* | Quorum Health Corp. | 316,081 | 3,385 |
* | Enanta Pharmaceuticals Inc. | 149,701 | 3,301 |
* | Heska Corp. | 86,581 | 3,218 |
*,^ | ImmunoGen Inc. | 1,006,762 | 3,101 |
* | Revance Therapeutics Inc. | 226,827 | 3,085 |
* | Fluidigm Corp. | 337,163 | 3,045 |
* | Surgery Partners Inc. | 168,441 | 3,015 |
* | Exactech Inc. | 112,582 | 3,010 |
* | Enzo Biochem Inc. | 490,403 | 2,928 |
* | Rigel Pharmaceuticals Inc. | 1,300,114 | 2,899 |
* | Loxo Oncology Inc. | 125,015 | 2,898 |
* | American Renal Associates Holdings Inc. | 99,006 | 2,868 |
* | Sucampo Pharmaceuticals Inc. Class A | 260,970 | 2,863 |
27
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Intersect ENT Inc. | 221,100 | 2,859 |
*,^ | Foundation Medicine Inc. | 147,394 | 2,750 |
* | NewLink Genetics Corp. | 242,433 | 2,730 |
*,^ | TG Therapeutics Inc. | 450,294 | 2,729 |
* | Evolent Health Inc. Class A | 141,217 | 2,711 |
* | Akebia Therapeutics Inc. | 361,023 | 2,700 |
* | Penumbra Inc. | 45,055 | 2,681 |
* | Adamas Pharmaceuticals Inc. | 173,137 | 2,621 |
*,^ | Advaxis Inc. | 318,203 | 2,574 |
* | PTC Therapeutics Inc. | 364,988 | 2,562 |
* | Seres Therapeutics Inc. | 87,238 | 2,534 |
* | RTI Surgical Inc. | 704,512 | 2,529 |
* | Versartis Inc. | 226,651 | 2,507 |
* | BioCryst Pharmaceuticals Inc. | 873,055 | 2,479 |
* | La Jolla Pharmaceutical Co. | 153,564 | 2,457 |
*,^ | MediciNova Inc. | 324,057 | 2,447 |
*,^ | Immunomedics Inc. | 1,051,443 | 2,439 |
* | Imprivata Inc. | 171,939 | 2,407 |
* | Trevena Inc. | 369,958 | 2,331 |
*,^ | Anavex Life Sciences Corp. | 376,396 | 2,300 |
LeMaitre Vascular Inc. | 161,117 | 2,299 | |
* | BioScrip Inc. | 897,078 | 2,288 |
*,^ | Avexis Inc. | 59,393 | 2,258 |
* | BioSpecifics Technologies Corp. | 55,219 | 2,205 |
*,^ | Athersys Inc. | 1,004,234 | 2,179 |
* | Curis Inc. | 1,385,629 | 2,162 |
* | Glaukos Corp. | 73,609 | 2,146 |
*,^ | Aratana Therapeutics Inc. | 338,857 | 2,142 |
* | Blueprint Medicines Corp. | 103,015 | 2,086 |
* | RadNet Inc. | 381,606 | 2,038 |
*,^ | AAC Holdings Inc. | 88,691 | 2,024 |
* | Cutera Inc. | 178,511 | 2,001 |
* | Zogenix Inc. | 248,153 | 1,998 |
* | STAAR Surgical Co. | 356,289 | 1,963 |
*,^ | WaVe Life Sciences Ltd. | 94,577 | 1,957 |
* | Chimerix Inc. | 496,947 | 1,953 |
*,^ | InVivo Therapeutics Holdings Corp. | 335,255 | 1,938 |
* | Concert Pharmaceuticals Inc. | 170,692 | 1,917 |
* | Tetraphase Pharmaceuticals Inc. | 442,735 | 1,904 |
* | Vitae Pharmaceuticals Inc. | 175,396 | 1,893 |
* | OncoMed Pharmaceuticals Inc. | 151,804 | 1,869 |
* | FONAR Corp. | 91,223 | 1,857 |
* | Medgenics Inc. | 333,743 | 1,852 |
Digirad Corp. | 357,829 | 1,843 | |
* | IRIDEX Corp. | 124,319 | 1,839 |
*,^ | Editas Medicine Inc. | 75,340 | 1,838 |
* | Antares Pharma Inc. | 1,737,246 | 1,824 |
Utah Medical Products Inc. | 28,929 | 1,823 | |
* | Castlight Health Inc. Class B | 457,198 | 1,811 |
* | Applied Genetic Technologies Corp. | 127,457 | 1,801 |
* | Aclaris Therapeutics Inc. | 94,863 | 1,752 |
* | Tandem Diabetes Care Inc. | 231,738 | 1,747 |
*,^ | Idera Pharmaceuticals Inc. | 1,134,422 | 1,736 |
* | Karyopharm Therapeutics Inc. | 257,171 | 1,726 |
* | Flexion Therapeutics Inc. | 115,289 | 1,725 |
*,^ | BioTime Inc. | 651,965 | 1,702 |
* | Ardelyx Inc. | 193,819 | 1,692 |
*,^ | NanoString Technologies Inc. | 132,257 | 1,666 |
Simulations Plus Inc. | 220,216 | 1,665 | |
* | Durect Corp. | 1,358,418 | 1,657 |
*,^ | PharmAthene Inc. | 672,003 | 1,640 |
* | Global Blood Therapeutics Inc. | 98,623 | 1,636 |
*,^ | Sorrento Therapeutics Inc. | 290,100 | 1,625 |
*,^ | Vital Therapies Inc. | 261,556 | 1,622 |
28
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Ignyta Inc. | 295,477 | 1,601 |
* | Esperion Therapeutics Inc. | 161,372 | 1,594 |
* | Endocyte Inc. | 493,423 | 1,584 |
* | Natera Inc. | 129,471 | 1,562 |
*,^ | Synthetic Biologics Inc. | 860,727 | 1,549 |
* | Teladoc Inc. | 96,046 | 1,539 |
* | OvaScience Inc. | 291,529 | 1,519 |
* | Harvard Bioscience Inc. | 515,037 | 1,473 |
*,^ | Trovagene Inc. | 323,383 | 1,465 |
*,^ | ChromaDex Corp. | 352,534 | 1,459 |
*,^ | CytRx Corp. | 649,287 | 1,448 |
*,^ | Collegium Pharmaceutical Inc. | 121,351 | 1,438 |
* | Pfenex Inc. | 171,086 | 1,432 |
* | Pain Therapeutics Inc. | 653,413 | 1,431 |
* | Zafgen Inc. | 233,560 | 1,399 |
*,^ | VIVUS Inc. | 1,215,043 | 1,361 |
^ | Osiris Therapeutics Inc. | 260,064 | 1,324 |
* | Aimmune Therapeutics Inc. | 120,359 | 1,302 |
* | Addus HomeCare Corp. | 74,128 | 1,292 |
* | Stemline Therapeutics Inc. | 190,161 | 1,287 |
* | Entellus Medical Inc. | 69,444 | 1,269 |
*,^ | BioDelivery Sciences International Inc. | 532,396 | 1,256 |
* | Anthera Pharmaceuticals Inc. | 406,474 | 1,256 |
*,^ | Sequenom Inc. | 1,373,123 | 1,255 |
* | SeaSpine Holdings Corp. | 119,114 | 1,248 |
* | Inotek Pharmaceuticals Corp. | 165,474 | 1,231 |
* | Minerva Neurosciences Inc. | 119,130 | 1,216 |
Psychemedics Corp. | 84,492 | 1,161 | |
* | iRadimed Corp. | 53,157 | 1,157 |
* | Five Star Quality Care Inc. | 492,108 | 1,152 |
* | Derma Sciences Inc. | 289,434 | 1,140 |
*,^ | XBiotech Inc. | 54,398 | 1,138 |
* | Flex Pharma Inc. | 110,680 | 1,130 |
* | Bio-Path Holdings Inc. | 562,620 | 1,120 |
National Research Corp. Class A | 81,641 | 1,118 | |
* | Bellicum Pharmaceuticals Inc. | 84,824 | 1,099 |
* | ChemoCentryx Inc. | 242,504 | 1,089 |
*,^ | Fortress Biotech Inc. | 399,008 | 1,073 |
* | AxoGen Inc. | 155,537 | 1,070 |
* | T2 Biosystems Inc. | 132,140 | 1,043 |
* | Aduro Biotech Inc. | 91,409 | 1,034 |
* | Cascadian Therapeutics Inc. | 1,093,944 | 1,032 |
* | AcelRx Pharmaceuticals Inc. | 376,181 | 1,012 |
* | Mirati Therapeutics Inc. | 180,979 | 988 |
* | Juniper Pharmaceuticals Inc. | 140,913 | 988 |
*,^ | Proteostasis Therapeutics Inc. | 80,750 | 980 |
* | Regulus Therapeutics Inc. | 333,576 | 964 |
*,^ | Navidea Biopharmaceuticals Inc. | 1,809,410 | 960 |
*,^ | Mast Therapeutics Inc. | 2,040,683 | 959 |
*,^ | Galena Biopharma Inc. | 2,051,980 | 956 |
* | Symmetry Surgical Inc. | 72,466 | 951 |
*,^ | Genocea Biosciences Inc. | 230,205 | 944 |
*,^ | Ohr Pharmaceutical Inc. | 339,890 | 931 |
* | Cara Therapeutics Inc. | 191,986 | 923 |
*,^ | TransEnterix Inc. | 711,421 | 868 |
* | Peregrine Pharmaceuticals Inc. | 2,332,486 | 849 |
*,^ | CytoSorbents Corp. | 184,558 | 840 |
*,^ | Titan Pharmaceuticals Inc. | 153,341 | 839 |
*,^ | Cellular Biomedicine Group Inc. | 69,766 | 836 |
* | pSivida Corp. | 295,559 | 836 |
*,^ | Corindus Vascular Robotics Inc. | 584,889 | 836 |
* | Edge Therapeutics Inc. | 81,635 | 825 |
* | Veracyte Inc. | 160,650 | 808 |
* | Icad Inc. | 151,494 | 791 |
29
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | CorMedix Inc. | 396,521 | 789 |
*,^ | Sientra Inc. | 119,073 | 784 |
* | IsoRay Inc. | 899,206 | 782 |
*,^ | CTI BioPharma Corp. | 2,267,823 | 771 |
*,^ | Actinium Pharmaceuticals Inc. | 419,431 | 742 |
* | ConforMIS Inc. | 105,299 | 739 |
* | Infinity Pharmaceuticals Inc. | 554,180 | 737 |
* | Paratek Pharmaceuticals Inc. | 52,868 | 735 |
*,^ | Calithera Biosciences Inc. | 197,336 | 732 |
* | NanoViricides Inc. | 457,015 | 731 |
*,^ | Ampio Pharmaceuticals Inc. | 562,132 | 725 |
*,^ | Avinger Inc. | 60,628 | 723 |
* | Alliance HealthCare Services Inc. | 115,180 | 719 |
* | Immune Design Corp. | 87,960 | 718 |
* | Nuvectra Corp. | 95,491 | 707 |
*,^ | Aquinox Pharmaceuticals Inc. | 104,129 | 689 |
*,^ | XOMA Corp. | 1,243,996 | 686 |
* | AVEO Pharmaceuticals Inc. | 695,779 | 669 |
*,^ | Invitae Corp. | 87,701 | 648 |
* | Egalet Corp. | 127,099 | 630 |
* | Assembly Biosciences Inc. | 113,542 | 630 |
* | NantKwest Inc. | 99,952 | 622 |
*,^ | Argos Therapeutics Inc. | 101,173 | 620 |
*,^ | GlycoMimetics Inc. | 84,705 | 616 |
*,^ | Orexigen Therapeutics Inc. | 1,387,470 | 597 |
*,^ | Biolase Inc. | 495,670 | 580 |
*,^ | MEI Pharma Inc. | 425,361 | 578 |
* | Neos Therapeutics Inc. | 62,300 | 578 |
* | Catalyst Pharmaceuticals Inc. | 807,654 | 573 |
* | Adverum Biotechnologies Inc. | 180,523 | 570 |
* | Vericel Corp. | 252,008 | 567 |
*,^ | iBio Inc. | 778,558 | 561 |
* | Tobira Therapeutics Inc. | 43,776 | 550 |
*,^ | Lipocine Inc. | 178,856 | 544 |
*,^ | Second Sight Medical Products Inc. | 151,356 | 542 |
* | ArQule Inc. | 284,815 | 541 |
* | Sharps Compliance Corp. | 123,176 | 541 |
*,^ | Unilife Corp. | 161,837 | 532 |
* | Agile Therapeutics Inc. | 69,322 | 528 |
* | Aegerion Pharmaceuticals Inc. | 350,486 | 522 |
*,^ | Brainstorm Cell Therapeutics Inc. | 214,458 | 517 |
* | Selecta Biosciences Inc. | 36,880 | 516 |
* | Cotiviti Holdings Inc. | 24,300 | 513 |
* | Genesis Healthcare Inc. | 288,945 | 511 |
* | Verastem Inc. | 387,466 | 504 |
* | Dicerna Pharmaceuticals Inc. | 167,033 | 501 |
* | CEL-SCI Corp. | 1,088,791 | 501 |
* | Kindred Biosciences Inc. | 141,016 | 499 |
*,^ | Threshold Pharmaceuticals Inc. | 775,237 | 493 |
* | Rexahn Pharmaceuticals Inc. | 1,933,925 | 486 |
* | Corbus Pharmaceuticals Holdings Inc. | 160,949 | 481 |
* | Repros Therapeutics Inc. | 298,827 | 481 |
* | vTv Therapeutics Inc. Class A | 79,140 | 459 |
* | Sunesis Pharmaceuticals Inc. | 834,174 | 457 |
* | Ocular Therapeutix Inc. | 91,701 | 454 |
*,^ | Tokai Pharmaceuticals Inc. | 81,496 | 449 |
* | Achaogen Inc. | 116,703 | 442 |
* | Vical Inc. | 94,922 | 430 |
* | Conatus Pharmaceuticals Inc. | 205,773 | 424 |
* | Tonix Pharmaceuticals Holding Corp. | 212,235 | 422 |
* | Corium International Inc. | 120,039 | 417 |
*,^ | Alimera Sciences Inc. | 334,274 | 411 |
*,^ | Tenax Therapeutics Inc. | 158,300 | 405 |
* | Palatin Technologies Inc. | 915,420 | 404 |
30
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Celsion Corp. | 317,144 | 403 |
* | Nivalis Therapeutics Inc. | 87,222 | 401 |
* | EndoChoice Holdings Inc. | 81,535 | 400 |
* | Cymabay Therapeutics Inc. | 227,730 | 396 |
* | CytomX Therapeutics Inc. | 37,412 | 382 |
* | Cumberland Pharmaceuticals Inc. | 83,070 | 374 |
*,^ | Fibrocell Science Inc. | 323,296 | 372 |
* | Asterias Biotherapeutics Inc. | 154,267 | 370 |
* | Fate Therapeutics Inc. | 210,567 | 358 |
* | Aviragen Therapeutics Inc. | 254,062 | 356 |
*,^ | Galectin Therapeutics Inc. | 238,262 | 350 |
* | Synta Pharmaceuticals Corp. | 1,329,697 | 346 |
* | Dipexium Pharmaceuticals Inc. | 34,868 | 346 |
* | REGENXBIO Inc. | 43,095 | 345 |
* | Neuralstem Inc. | 1,160,119 | 338 |
* | Cerulean Pharma Inc. | 154,439 | 327 |
* | MyoKardia Inc. | 26,273 | 326 |
*,^ | Northwest Biotherapeutics Inc. | 546,665 | 318 |
*,^ | ContraVir Pharmaceuticals Inc. | 299,728 | 312 |
* | OncoGenex Pharmaceuticals Inc. | 309,190 | 309 |
*,^ | Eiger BioPharmaceuticals Inc. | 15,052 | 298 |
* | Recro Pharma Inc. | 37,150 | 295 |
* | Cytori Therapeutics Inc. | 137,064 | 286 |
AdCare Health Systems Inc. | 154,765 | 285 | |
*,^ | Abeona Therapeutics Inc. | 118,898 | 281 |
* | Caladrius Biosciences Inc. | 473,721 | 280 |
* | Hemispherx Biopharma Inc. | 2,409,402 | 278 |
* | Opexa Therapeutics Inc. | 65,359 | 270 |
* | Alphatec Holdings Inc. | 750,358 | 263 |
* | Hansen Medical Inc. | 65,783 | 261 |
*,^ | Zynerba Pharmaceuticals Inc. | 38,103 | 261 |
* | Ocera Therapeutics Inc. | 136,846 | 260 |
* | Bovie Medical Corp. | 157,978 | 259 |
* | Retractable Technologies Inc. | 101,655 | 256 |
* | Invuity Inc. | 26,656 | 254 |
*,^ | Cancer Genetics Inc. | 127,650 | 254 |
*,^ | Adamis Pharmaceuticals Corp. | 90,612 | 254 |
* | KemPharm Inc. | 61,458 | 245 |
*,^ | Mateon Therapeutics Inc. | 348,782 | 244 |
* | Biodel Inc. | 749,250 | 233 |
*,^ | Chiasma Inc. | 77,680 | 225 |
* | ImmunoCellular Therapeutics Ltd. | 961,553 | 221 |
* | Cidara Therapeutics Inc. | 21,340 | 220 |
*,^ | TearLab Corp. Class A | 341,643 | 219 |
*,^ | Reata Pharmaceuticals Inc. Class A | 10,807 | 213 |
* | Apricus Biosciences Inc. | 521,892 | 209 |
*,^ | Pernix Therapeutics Holdings Inc. | 461,099 | 207 |
* | Cogentix Medical Inc. | 213,016 | 205 |
*,^ | Amedica Corp. | 155,177 | 205 |
*,^ | GTx Inc. | 365,136 | 201 |
* | MGC Diagnostics Corp. | 30,659 | 200 |
* | Nanosphere Inc. | 112,774 | 191 |
* | Lantheus Holdings Inc. | 51,715 | 190 |
* | Electromed Inc. | 48,264 | 186 |
* | Tracon Pharmaceuticals Inc. | 41,815 | 183 |
* | aTyr Pharma Inc. | 65,590 | 182 |
* | Chembio Diagnostics Inc. | 22,135 | 181 |
*,^ | Sunshine Heart Inc. | 376,718 | 174 |
*,^ | Stereotaxis Inc. | 178,126 | 167 |
* | Catabasis Pharmaceuticals Inc. | 45,129 | 167 |
* | Cyclacel Pharmaceuticals Inc. | 33,218 | 167 |
* | Provectus Biopharmaceuticals Inc. Class A | 449,359 | 166 |
* | Dimension Therapeutics Inc. | 27,655 | 166 |
* | Acura Pharmaceuticals Inc. | 89,117 | 165 |
31
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Venaxis Inc. | 46,580 | 164 |
* | Biostage Inc. | 141,248 | 161 |
* | CAS Medical Systems Inc. | 86,382 | 159 |
* | Voyager Therapeutics Inc. | 14,237 | 156 |
*,^ | Oculus Innovative Sciences Inc. | 38,397 | 154 |
* | CoLucid Pharmaceuticals Inc. | 17,914 | 146 |
* | Connecture Inc. | 63,388 | 143 |
* | Proteon Therapeutics Inc. | 17,517 | 141 |
* | CASI Pharmaceuticals Inc. | 119,606 | 140 |
* | Misonix Inc. | 27,669 | 139 |
* | Evoke Pharma Inc. | 20,310 | 139 |
*,^ | Windtree Therapeutics Inc. | 71,088 | 137 |
* | Imprimis Pharmaceuticals Inc. | 36,209 | 136 |
* | Dextera Surgical Inc. | 73,902 | 133 |
* | ERBA Diagnostics Inc. | 164,869 | 132 |
* | Cleveland BioLabs Inc. | 45,001 | 127 |
*,^ | RXi Pharmaceuticals Corp. | 52,573 | 126 |
*,^ | Eleven Biotherapeutics Inc. | 72,856 | 122 |
* | Aethlon Medical Inc. | 20,710 | 118 |
Catalyst Biosciences Inc. | 71,358 | 108 | |
* | Bioanalytical Systems Inc. | 91,696 | 107 |
*,^ | Marinus Pharmaceuticals Inc. | 82,442 | 105 |
* | Oncocyte Corp. | 29,009 | 103 |
*,^ | Biocept Inc. | 144,418 | 96 |
* | ProPhase Labs Inc. | 72,896 | 95 |
* | Alliqua BioMedical Inc. | 84,563 | 95 |
* | Echo Therapeutics Inc. | 70,606 | 92 |
* | Onconova Therapeutics Inc. | 15,457 | 89 |
* | ARCA biopharma Inc. | 28,967 | 84 |
*,^ | Cellectar Biosciences Inc. | 23,402 | 81 |
* | Atossa Genetics Inc. | 270,794 | 76 |
*,^ | Capnia Inc. | 60,966 | 71 |
* | EPIRUS Biopharmaceuticals Inc. | 156,090 | 71 |
* | Presbia plc | 15,400 | 70 |
Daxor Corp. | 8,705 | 69 | |
* | OncoSec Medical Inc. | 42,072 | 69 |
* | InfuSystem Holdings Inc. | 26,041 | 68 |
*,^ | EyeGate Pharmaceuticals Inc. | 26,070 | 68 |
*,^ | Wright Medical Group Inc. CVR | 52,493 | 66 |
* | GenVec Inc. | 111,394 | 64 |
*,^ | Great Basin Scientific Inc. | 34,176 | 60 |
Hooper Holmes Inc. | 49,463 | 60 | |
* | Heat Biologics Inc. | 81,727 | 58 |
*,^ | Neothetics Inc. | 58,467 | 57 |
* | Carbylan Therapeutics Inc. | 84,490 | 56 |
* | Syndax Pharmaceuticals Inc. | 5,596 | 55 |
* | Vermillion Inc. | 49,637 | 55 |
*,^ | StemCells Inc. | 120,425 | 48 |
* | Axsome Therapeutics Inc. | 6,371 | 48 |
* | PhotoMedex Inc. | 189,675 | 48 |
* | Senseonics Holdings Inc. | 12,003 | 47 |
* | Corvus Pharmaceuticals Inc. | 3,145 | 45 |
*,^ | GlobeImmune Inc. | 22,701 | 44 |
* | NeuroMetrix Inc. | 26,521 | 44 |
* | TetraLogic Pharmaceuticals Corp. | 141,249 | 43 |
* | Aldeyra Therapeutics Inc. | 7,534 | 43 |
* | Oragenics Inc. | 82,900 | 42 |
*,^ | Signal Genetics Inc. | 97,775 | 42 |
*,^ | NovaBay Pharmaceuticals Inc. | 16,403 | 41 |
* | Escalon Medical Corp. | 59,011 | 40 |
* | CareDx Inc. | 8,500 | 37 |
* | Strata Skin Sciences Inc. | 54,307 | 33 |
* | Interpace Diagnostics Group Inc. | 99,850 | 33 |
* | BioLife Solutions Inc. | 19,755 | 32 |
32
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Jaguar Animal Health Inc. | 16,900 | 31 |
* | SunLink Health Systems Inc. | 60,871 | 30 |
* | Transgenomic Inc. | 51,199 | 28 |
*,^ | Immune Pharmaceuticals Inc. | 69,649 | 28 |
* | Streamline Health Solutions Inc. | 21,760 | 26 |
*,^ | Skyline Medical Inc. | 157,708 | 24 |
* | Mirna Therapeutics Inc. | 5,500 | 23 |
* | SCYNEXIS Inc. | 9,918 | 22 |
* | Akers Biosciences Inc. | 6,490 | 21 |
* | HTG Molecular Diagnostics Inc. | 7,700 | 20 |
* | Aeglea BioTherapeutics Inc. | 3,853 | 19 |
* | USMD Holdings Inc. | 991 | 19 |
*,^ | EnteroMedics Inc. | 62,427 | 18 |
* | WaferGen Bio-systems Inc. | 21,088 | 17 |
* | Ceres Inc. | 43,655 | 17 |
*,^ | Delcath Systems Inc. | 66,129 | 17 |
* | ViewRay Inc. | 3,708 | 15 |
* | Ligand Pharmaceuticals Inc. Rights | 395,811 | 15 |
* | InspireMD Inc. | 43,009 | 14 |
Span-America Medical Systems Inc. | 705 | 13 | |
* | CombiMatrix Corp. | 4,389 | 13 |
* | Capricor Therapeutics Inc. | 3,104 | 12 |
* | Pro-Dex Inc. | 2,205 | 12 |
* | Medovex Corp. | 9,195 | 12 |
* | OpGen Inc. | 7,330 | 11 |
* | Xtant Medical Holdings Inc. | 5,700 | 11 |
Ligand Pharmaceuticals Inc. Rights | 395,811 | 10 | |
* | Kura Oncology Inc. | 3,666 | 10 |
*,^ | Lpath Inc. Class A | 4,384 | 10 |
* | AmpliPhi Biosciences Corp. | 5,543 | 9 |
Ligand Pharmaceuticals Inc. Rights | 395,811 | 9 | |
*,^ | Viking Therapeutics Inc. | 6,600 | 8 |
* | Cesca Therapeutics Inc. | 2,714 | 8 |
* | Ritter Pharmaceuticals Inc. | 5,099 | 8 |
Diversicare Healthcare Services Inc. | 953 | 8 | |
* | Galmed Pharmaceuticals Ltd. | 1,674 | 8 |
* | ADMA Biologics Inc. | 1,200 | 7 |
* | Allied Healthcare Products Inc. | 11,721 | 7 |
* | VolitionRX Ltd. | 2,051 | 6 |
*,^ | Asterias Biotherapeutics Inc. Warrants Exp. 09/30/2016 | 28,992 | 6 |
* | Arrhythmia Research Technology Inc. | 1,175 | 5 |
* | Roka Bioscience Inc. | 8,872 | 5 |
* | Pulmatrix Inc. | 2,106 | 4 |
Kewaunee Scientific Corp. | 214 | 4 | |
* | Aradigm Corp. | 891 | 4 |
* | Ligand Pharmaceuticals Inc. Rights | 395,811 | 2 |
* | Rennova Health Inc. | 2,430 | 2 |
* | BioPharmX Corp. | 2,303 | 2 |
* | Zosano Pharma Corp. | 747 | 1 |
* | American Shared Hospital Services | 276 | 1 |
AbbVie Inc. | 2 | — | |
5,261,628 | |||
Industrials (12.5%) | |||
Huntington Ingalls Industries Inc. | 529,853 | 89,031 | |
* | IHS Inc. Class A | 769,546 | 88,967 |
Carlisle Cos. Inc. | 718,048 | 75,883 | |
* | Middleby Corp. | 646,113 | 74,465 |
AO Smith Corp. | 831,762 | 73,287 | |
* | HD Supply Holdings Inc. | 2,076,595 | 72,307 |
Wabtec Corp. | 1,007,585 | 70,763 | |
IDEX Corp. | 850,149 | 69,797 | |
Owens Corning | 1,314,879 | 67,743 | |
* | Sensata Technologies Holding NV | 1,922,833 | 67,088 |
KAR Auction Services Inc. | 1,544,926 | 64,485 |
33
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Lennox International Inc. | 437,433 | 62,378 | |
Macquarie Infrastructure Corp. | 838,087 | 62,060 | |
Hubbell Inc. Class B | 570,622 | 60,184 | |
* | JetBlue Airways Corp. | 3,632,714 | 60,158 |
* | Spirit AeroSystems Holdings Inc. Class A | 1,348,757 | 57,997 |
Orbital ATK Inc. | 667,614 | 56,841 | |
Toro Co. | 629,663 | 55,536 | |
* | WABCO Holdings Inc. | 595,970 | 54,573 |
* | AECOM | 1,717,103 | 54,552 |
* | Copart Inc. | 1,107,287 | 54,268 |
Allison Transmission Holdings Inc. | 1,907,274 | 53,842 | |
B/E Aerospace Inc. | 1,149,501 | 53,078 | |
ManpowerGroup Inc. | 807,833 | 51,976 | |
Nordson Corp. | 605,289 | 50,608 | |
Graco Inc. | 622,879 | 49,201 | |
Donaldson Co. Inc. | 1,402,502 | 48,190 | |
* | Hertz Global Holdings Inc. | 4,229,194 | 46,817 |
* | Old Dominion Freight Line Inc. | 764,537 | 46,109 |
Hexcel Corp. | 1,072,553 | 44,661 | |
BWX Technologies Inc. | 1,198,346 | 42,865 | |
Curtiss-Wright Corp. | 508,252 | 42,820 | |
Watsco Inc. | 292,357 | 41,132 | |
Lincoln Electric Holdings Inc. | 691,031 | 40,826 | |
RR Donnelley & Sons Co. | 2,334,309 | 39,497 | |
* | Teledyne Technologies Inc. | 398,596 | 39,481 |
Oshkosh Corp. | 827,015 | 39,457 | |
MSC Industrial Direct Co. Inc. Class A | 546,266 | 38,545 | |
* | Kirby Corp. | 606,703 | 37,852 |
* | Genesee & Wyoming Inc. Class A | 639,195 | 37,681 |
AGCO Corp. | 797,369 | 37,580 | |
Chicago Bridge & Iron Co. NV | 1,070,043 | 37,056 | |
* | Spirit Airlines Inc. | 814,124 | 36,530 |
Deluxe Corp. | 548,380 | 36,396 | |
Woodward Inc. | 625,063 | 36,029 | |
* | Avis Budget Group Inc. | 1,096,351 | 35,335 |
Valmont Industries Inc. | 259,537 | 35,108 | |
EMCOR Group Inc. | 704,301 | 34,694 | |
Healthcare Services Group Inc. | 831,614 | 34,412 | |
CLARCOR Inc. | 554,451 | 33,727 | |
Landstar System Inc. | 477,020 | 32,752 | |
Crane Co. | 568,904 | 32,268 | |
Trinity Industries Inc. | 1,733,240 | 32,186 | |
ITT Inc. | 1,005,422 | 32,153 | |
* | Dycom Industries Inc. | 351,008 | 31,506 |
Rollins Inc. | 1,074,907 | 31,463 | |
* | Clean Harbors Inc. | 594,433 | 30,976 |
* | Beacon Roofing Supply Inc. | 664,883 | 30,232 |
* | Colfax Corp. | 1,136,605 | 30,075 |
EnerSys | 502,515 | 29,885 | |
Air Lease Corp. Class A | 1,057,867 | 28,330 | |
Regal Beloit Corp. | 506,382 | 27,876 | |
* | USG Corp. | 1,022,725 | 27,573 |
* | Manitowoc Foodservice Inc. | 1,557,328 | 27,440 |
* | Generac Holdings Inc. | 764,315 | 26,720 |
*,^ | XPO Logistics Inc. | 1,006,461 | 26,430 |
* | TransUnion | 787,809 | 26,344 |
AMERCO | 68,899 | 25,806 | |
Terex Corp. | 1,231,567 | 25,013 | |
Covanta Holding Corp. | 1,515,651 | 24,932 | |
* | WageWorks Inc. | 409,798 | 24,510 |
* | WESCO International Inc. | 468,312 | 24,113 |
Timken Co. | 778,234 | 23,861 | |
ABM Industries Inc. | 650,318 | 23,724 | |
HNI Corp. | 509,757 | 23,699 |
34
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Joy Global Inc. | 1,104,395 | 23,347 | |
CEB Inc. | 370,472 | 22,851 | |
Allegiant Travel Co. Class A | 150,661 | 22,825 | |
* | Rexnord Corp. | 1,159,462 | 22,760 |
* | NOW Inc. | 1,224,001 | 22,203 |
Hillenbrand Inc. | 737,394 | 22,151 | |
Universal Forest Products Inc. | 233,056 | 21,602 | |
KBR Inc. | 1,630,779 | 21,592 | |
* | Armstrong World Industries Inc. | 546,659 | 21,402 |
* | Masonite International Corp. | 323,058 | 21,367 |
HEICO Corp. Class A | 397,538 | 21,328 | |
GATX Corp. | 481,231 | 21,160 | |
Mueller Water Products Inc. Class A | 1,839,082 | 21,002 | |
* | Esterline Technologies Corp. | 337,963 | 20,967 |
* | Moog Inc. Class A | 383,560 | 20,682 |
John Bean Technologies Corp. | 335,080 | 20,514 | |
Granite Construction Inc. | 449,347 | 20,468 | |
Tetra Tech Inc. | 662,745 | 20,376 | |
* | Hawaiian Holdings Inc. | 534,673 | 20,296 |
UniFirst Corp. | 175,386 | 20,296 | |
Herman Miller Inc. | 676,286 | 20,214 | |
Mueller Industries Inc. | 633,519 | 20,197 | |
* | On Assignment Inc. | 542,665 | 20,051 |
Matthews International Corp. Class A | 359,848 | 20,022 | |
Triumph Group Inc. | 562,710 | 19,976 | |
Kennametal Inc. | 903,200 | 19,970 | |
Barnes Group Inc. | 586,786 | 19,434 | |
MSA Safety Inc. | 365,350 | 19,192 | |
* | FTI Consulting Inc. | 468,967 | 19,078 |
Watts Water Technologies Inc. Class A | 327,128 | 19,058 | |
Applied Industrial Technologies Inc. | 420,163 | 18,966 | |
* | KLX Inc. | 600,464 | 18,614 |
Knight Transportation Inc. | 691,207 | 18,372 | |
Simpson Manufacturing Co. Inc. | 456,490 | 18,246 | |
AZZ Inc. | 299,021 | 17,935 | |
* | RBC Bearings Inc. | 243,535 | 17,656 |
G&K Services Inc. Class A | 229,523 | 17,575 | |
Mobile Mini Inc. | 506,739 | 17,553 | |
Exponent Inc. | 297,664 | 17,387 | |
* | Advisory Board Co. | 478,200 | 16,924 |
* | MRC Global Inc. | 1,160,243 | 16,487 |
Brady Corp. Class A | 534,106 | 16,322 | |
* | MasTec Inc. | 729,197 | 16,276 |
*,^ | SolarCity Corp. | 677,492 | 16,212 |
Matson Inc. | 496,055 | 16,018 | |
Brink's Co. | 557,778 | 15,891 | |
Forward Air Corp. | 355,362 | 15,824 | |
* | Hub Group Inc. Class A | 407,489 | 15,635 |
HEICO Corp. | 233,216 | 15,581 | |
* | Proto Labs Inc. | 266,166 | 15,321 |
SkyWest Inc. | 578,785 | 15,315 | |
* | TASER International Inc. | 612,630 | 15,242 |
Actuant Corp. Class A | 671,990 | 15,194 | |
Apogee Enterprises Inc. | 327,148 | 15,163 | |
* | Huron Consulting Group Inc. | 249,975 | 15,103 |
* | Swift Transportation Co. | 976,721 | 15,051 |
* | Trex Co. Inc. | 332,109 | 14,918 |
Franklin Electric Co. Inc. | 448,106 | 14,810 | |
* | DigitalGlobe Inc. | 684,670 | 14,645 |
Comfort Systems USA Inc. | 436,875 | 14,229 | |
Insperity Inc. | 183,761 | 14,192 | |
Aircastle Ltd. | 724,247 | 14,166 | |
Steelcase Inc. Class A | 1,025,525 | 13,916 | |
Knoll Inc. | 570,075 | 13,841 |
35
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Aerojet Rocketdyne Holdings Inc. | 751,987 | 13,746 |
Kaman Corp. | 320,622 | 13,633 | |
Albany International Corp. | 336,303 | 13,429 | |
Korn/Ferry International | 644,688 | 13,345 | |
Essendant Inc. | 436,153 | 13,329 | |
AAON Inc. | 469,445 | 12,914 | |
* | ACCO Brands Corp. | 1,234,080 | 12,748 |
* | SPX FLOW Inc. | 476,475 | 12,422 |
Standex International Corp. | 150,228 | 12,413 | |
ESCO Technologies Inc. | 307,013 | 12,262 | |
Astec Industries Inc. | 217,090 | 12,190 | |
Heartland Express Inc. | 688,573 | 11,974 | |
Werner Enterprises Inc. | 512,156 | 11,764 | |
* | Virgin America Inc. | 209,190 | 11,759 |
* | Atlas Air Worldwide Holdings Inc. | 282,535 | 11,703 |
US Ecology Inc. | 251,514 | 11,557 | |
West Corp. | 586,673 | 11,534 | |
* | Mercury Systems Inc. | 459,822 | 11,431 |
Interface Inc. Class A | 747,395 | 11,398 | |
Tennant Co. | 211,041 | 11,369 | |
EnPro Industries Inc. | 252,474 | 11,207 | |
Advanced Drainage Systems Inc. | 395,031 | 10,812 | |
* | Gibraltar Industries Inc. | 342,456 | 10,811 |
* | Builders FirstSource Inc. | 958,071 | 10,778 |
CIRCOR International Inc. | 187,272 | 10,673 | |
Briggs & Stratton Corp. | 497,575 | 10,539 | |
* | Continental Building Products Inc. | 472,850 | 10,511 |
* | American Woodmark Corp. | 156,113 | 10,363 |
* | Tutor Perini Corp. | 436,333 | 10,276 |
Cubic Corp. | 252,279 | 10,132 | |
* | Patrick Industries Inc. | 166,477 | 10,037 |
* | TriMas Corp. | 538,574 | 9,694 |
* | TriNet Group Inc. | 461,483 | 9,594 |
* | Wabash National Corp. | 752,868 | 9,561 |
* | Navigant Consulting Inc. | 582,472 | 9,407 |
* | BMC Stock Holdings Inc. | 527,233 | 9,395 |
* | ICF International Inc. | 229,628 | 9,392 |
Multi-Color Corp. | 147,584 | 9,357 | |
Federal Signal Corp. | 725,189 | 9,340 | |
* | TrueBlue Inc. | 478,269 | 9,049 |
Encore Wire Corp. | 241,822 | 9,015 | |
AAR Corp. | 384,707 | 8,979 | |
* | Wesco Aircraft Holdings Inc. | 665,433 | 8,930 |
Sun Hydraulics Corp. | 300,375 | 8,918 | |
^ | Lindsay Corp. | 130,095 | 8,828 |
*,^ | Navistar International Corp. | 751,956 | 8,790 |
Greenbrier Cos. Inc. | 296,878 | 8,648 | |
Altra Industrial Motion Corp. | 319,870 | 8,630 | |
Primoris Services Corp. | 452,197 | 8,560 | |
* | Aegion Corp. Class A | 436,933 | 8,525 |
* | Team Inc. | 342,846 | 8,513 |
* | Babcock & Wilcox Enterprises Inc. | 578,041 | 8,491 |
* | Chart Industries Inc. | 349,681 | 8,438 |
Manitowoc Co. Inc. | 1,522,100 | 8,295 | |
Raven Industries Inc. | 433,932 | 8,219 | |
* | Rush Enterprises Inc. Class A | 380,544 | 8,201 |
* | Air Transport Services Group Inc. | 608,189 | 7,882 |
* | Meritor Inc. | 1,092,467 | 7,866 |
* | Lydall Inc. | 203,203 | 7,836 |
* | Thermon Group Holdings Inc. | 400,865 | 7,701 |
Quanex Building Products Corp. | 409,752 | 7,617 | |
* | Univar Inc. | 399,300 | 7,551 |
* | Saia Inc. | 292,163 | 7,345 |
Alamo Group Inc. | 110,102 | 7,263 |
36
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | SPX Corp. | 481,898 | 7,156 |
General Cable Corp. | 559,309 | 7,109 | |
* | Nortek Inc. | 118,366 | 7,020 |
McGrath RentCorp | 226,642 | 6,933 | |
H&E Equipment Services Inc. | 363,531 | 6,918 | |
Griffon Corp. | 401,797 | 6,774 | |
Global Brass & Copper Holdings Inc. | 248,133 | 6,772 | |
Kelly Services Inc. Class A | 352,775 | 6,692 | |
Gorman-Rupp Co. | 243,591 | 6,677 | |
* | Astronics Corp. | 198,021 | 6,586 |
Douglas Dynamics Inc. | 255,437 | 6,572 | |
* | Aerovironment Inc. | 236,269 | 6,568 |
Viad Corp. | 210,314 | 6,520 | |
Hyster-Yale Materials Handling Inc. | 108,549 | 6,458 | |
* | Echo Global Logistics Inc. | 287,361 | 6,443 |
* | CBIZ Inc. | 611,636 | 6,367 |
Quad/Graphics Inc. | 270,575 | 6,302 | |
Kadant Inc. | 121,667 | 6,267 | |
Harsco Corp. | 922,343 | 6,124 | |
National Presto Industries Inc. | 64,343 | 6,071 | |
Ennis Inc. | 314,598 | 6,034 | |
Argan Inc. | 141,534 | 5,905 | |
* | PGT Inc. | 556,034 | 5,727 |
Resources Connection Inc. | 380,515 | 5,624 | |
Insteel Industries Inc. | 195,507 | 5,590 | |
* | NCI Building Systems Inc. | 347,197 | 5,552 |
* | RPX Corp. | 598,343 | 5,487 |
* | MYR Group Inc. | 225,242 | 5,424 |
TAL International Group Inc. | 386,467 | 5,183 | |
Kforce Inc. | 306,055 | 5,169 | |
* | Armstrong Flooring Inc. | 293,332 | 4,972 |
Marten Transport Ltd. | 238,584 | 4,724 | |
* | SP Plus Corp. | 208,031 | 4,697 |
* | KEYW Holding Corp. | 472,097 | 4,693 |
* | CSW Industrials Inc. | 142,128 | 4,635 |
* | Mistras Group Inc. | 193,343 | 4,615 |
ArcBest Corp. | 276,128 | 4,487 | |
Kimball International Inc. Class B | 388,014 | 4,416 | |
NN Inc. | 307,040 | 4,295 | |
* | GP Strategies Corp. | 197,171 | 4,277 |
Powell Industries Inc. | 108,223 | 4,257 | |
* | Engility Holdings Inc. | 199,691 | 4,217 |
* | InnerWorkings Inc. | 487,106 | 4,028 |
^ | American Railcar Industries Inc. | 99,940 | 3,945 |
* | Ply Gem Holdings Inc. | 270,004 | 3,934 |
American Science & Engineering Inc. | 101,177 | 3,785 | |
* | Vectrus Inc. | 131,831 | 3,756 |
*,^ | Plug Power Inc. | 1,997,448 | 3,715 |
Columbus McKinnon Corp. | 257,763 | 3,647 | |
Heidrick & Struggles International Inc. | 214,259 | 3,617 | |
VSE Corp. | 53,937 | 3,603 | |
* | Veritiv Corp. | 94,707 | 3,559 |
Barrett Business Services Inc. | 83,863 | 3,465 | |
* | Energy Recovery Inc. | 378,923 | 3,369 |
* | YRC Worldwide Inc. | 362,642 | 3,191 |
Titan International Inc. | 510,208 | 3,163 | |
* | CRA International Inc. | 122,999 | 3,102 |
LSI Industries Inc. | 277,235 | 3,069 | |
* | Great Lakes Dredge & Dock Corp. | 687,250 | 2,996 |
* | Casella Waste Systems Inc. Class A | 374,030 | 2,936 |
Park-Ohio Holdings Corp. | 102,356 | 2,895 | |
Acacia Research Corp. | 595,739 | 2,621 | |
Celadon Group Inc. | 318,670 | 2,604 | |
* | Roadrunner Transportation Systems Inc. | 343,723 | 2,564 |
37
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Vicor Corp. | 252,362 | 2,541 |
CECO Environmental Corp. | 288,031 | 2,517 | |
* | Titan Machinery Inc. | 224,069 | 2,498 |
* | Kratos Defense & Security Solutions Inc. | 604,101 | 2,477 |
* | Covenant Transportation Group Inc. Class A | 136,965 | 2,475 |
*,^ | Milacron Holdings Corp. | 168,852 | 2,450 |
Miller Industries Inc. | 116,567 | 2,400 | |
* | NV5 Global Inc. | 84,175 | 2,394 |
* | Franklin Covey Co. | 155,580 | 2,385 |
* | Ducommun Inc. | 117,236 | 2,319 |
Allied Motion Technologies Inc. | 97,508 | 2,268 | |
* | DXP Enterprises Inc. | 147,734 | 2,206 |
FreightCar America Inc. | 156,784 | 2,203 | |
Graham Corp. | 118,033 | 2,174 | |
* | Sparton Corp. | 97,959 | 2,133 |
* | USA Truck Inc. | 120,436 | 2,109 |
* | Layne Christensen Co. | 243,717 | 1,974 |
Supreme Industries Inc. Class A | 141,596 | 1,940 | |
* | Orion Group Holdings Inc. | 358,175 | 1,902 |
* | ARC Document Solutions Inc. | 478,811 | 1,863 |
*,^ | Energous Corp. | 143,642 | 1,860 |
* | Commercial Vehicle Group Inc. | 350,256 | 1,821 |
* | Hill International Inc. | 443,617 | 1,806 |
*,^ | FuelCell Energy Inc. | 282,901 | 1,760 |
Dynamic Materials Corp. | 162,985 | 1,752 | |
* | Willis Lease Finance Corp. | 74,239 | 1,650 |
Hurco Cos. Inc. | 59,117 | 1,645 | |
* | Heritage-Crystal Clean Inc. | 126,962 | 1,550 |
* | Lawson Products Inc. | 74,408 | 1,478 |
* | Northwest Pipe Co. | 134,189 | 1,447 |
Omega Flex Inc. | 36,553 | 1,390 | |
LB Foster Co. Class A | 125,518 | 1,367 | |
* | CAI International Inc. | 180,305 | 1,352 |
* | TRC Cos. Inc. | 197,594 | 1,249 |
*,^ | Sunrun Inc. | 205,651 | 1,220 |
CDI Corp. | 199,837 | 1,219 | |
*,^ | ExOne Co. | 114,742 | 1,213 |
Houston Wire & Cable Co. | 227,859 | 1,196 | |
*,^ | American Superconductor Corp. | 141,379 | 1,193 |
* | IES Holdings Inc. | 93,491 | 1,161 |
Preformed Line Products Co. | 27,126 | 1,096 | |
Universal Logistics Holdings Inc. | 84,034 | 1,084 | |
* | Sterling Construction Co. Inc. | 219,032 | 1,075 |
Twin Disc Inc. | 98,713 | 1,060 | |
*,^ | Manitex International Inc. | 149,707 | 1,037 |
* | Hudson Technologies Inc. | 282,320 | 1,016 |
* | Power Solutions International Inc. | 56,016 | 1,000 |
* | Astronics Corp. Class B | 29,866 | 989 |
Hardinge Inc. | 95,552 | 961 | |
* | Xerium Technologies Inc. | 147,967 | 944 |
* | Ameresco Inc. Class A | 215,244 | 941 |
* | Pendrell Corp. | 1,794,004 | 905 |
* | PAM Transportation Services Inc. | 56,172 | 893 |
* | LMI Aerospace Inc. | 110,374 | 887 |
* | Gencor Industries Inc. | 56,524 | 877 |
* | Accuride Corp. | 706,218 | 876 |
* | Neff Corp. Class A | 72,236 | 790 |
* | Arotech Corp. | 280,563 | 788 |
* | Willdan Group Inc. | 69,523 | 738 |
* | HC2 Holdings Inc. | 169,906 | 731 |
* | Westport Fuel Systems Inc. | 427,193 | 713 |
* | Rush Enterprises Inc. Class B | 31,865 | 662 |
* | Radiant Logistics Inc. | 214,404 | 643 |
* | CPI Aerostructures Inc. | 100,619 | 619 |
38
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Eastern Co. | 36,857 | 611 | |
* | Cenveo Inc. | 746,261 | 609 |
LS Starrett Co. Class A | 49,944 | 595 | |
*,^ | Enphase Energy Inc. | 296,164 | 589 |
*,^ | Energy Focus Inc. | 92,673 | 578 |
* | Huttig Building Products Inc. | 106,093 | 557 |
* | Ultralife Corp. | 108,865 | 545 |
* | Performant Financial Corp. | 333,836 | 541 |
* | Broadwind Energy Inc. | 128,056 | 540 |
Providence and Worcester Railroad Co. | 31,838 | 519 | |
* | Astrotech Corp. | 304,120 | 514 |
*,^ | Intersections Inc. | 230,073 | 492 |
* | Taylor Devices Inc. | 27,595 | 491 |
* | SIFCO Industries Inc. | 47,767 | 471 |
* | MFRI Inc. | 62,526 | 466 |
Ecology and Environment Inc. | 42,341 | 433 | |
* | Goldfield Corp. | 125,769 | 413 |
* | NL Industries Inc. | 155,064 | 399 |
* | Revolution Lighting Technologies Inc. | 60,774 | 376 |
* | Innovative Solutions & Support Inc. | 128,429 | 362 |
*,^ | Blue Bird Corp. | 30,273 | 360 |
* | Key Technology Inc. | 39,089 | 360 |
BlueLinx Holdings Inc. | 48,194 | 340 | |
* | Volt Information Sciences Inc. | 56,103 | 332 |
* | Perma-Fix Environmental Services | 64,750 | 330 |
*,^ | Capstone Turbine Corp. | 234,680 | 324 |
* | Alpha Pro Tech Ltd. | 137,409 | 312 |
Hudson Global Inc. | 150,031 | 296 | |
RCM Technologies Inc. | 54,236 | 283 | |
* | Patriot Transportation Holding Inc. | 13,987 | 272 |
* | Transcat Inc. | 26,809 | 269 |
* | Jewett-Cameron Trading Co. Ltd. | 23,964 | 258 |
* | Fuel Tech Inc. | 154,534 | 229 |
* | Orion Energy Systems Inc. | 190,348 | 221 |
*,^ | MagneGas Corp. | 340,937 | 201 |
* | Rand Logistics Inc. | 195,018 | 201 |
* | Marathon Patent Group Inc. | 72,034 | 197 |
Servotronics Inc. | 19,902 | 194 | |
*,^ | Aqua Metals Inc. | 16,367 | 193 |
* | Mastech Holdings Inc. | 25,867 | 172 |
*,^ | Odyssey Marine Exploration Inc. | 77,953 | 157 |
* | General Finance Corp. | 35,346 | 150 |
* | Cemtrex Inc. | 39,158 | 145 |
* | Jason Industries Inc. | 39,669 | 143 |
* | Active Power Inc. | 351,001 | 139 |
* | Air T Inc. | 6,332 | 136 |
* | ARC Group Worldwide Inc. | 47,642 | 109 |
* | AMREP Corp. | 22,243 | 108 |
* | DLH Holdings Corp. | 19,425 | 98 |
* | American Electric Technologies Inc. | 38,260 | 96 |
* | Genco Shipping & Trading Ltd. | 153,997 | 88 |
*,^ | Lightbridge Corp. | 190,041 | 87 |
* | EnSync Inc. | 234,876 | 87 |
* | Versar Inc. | 52,941 | 57 |
*,^ | Spherix Inc. | 20,271 | 48 |
* | Ideal Power Inc. | 9,203 | 45 |
^ | General Employment Enterprises Inc. | 6,780 | 29 |
* | Ocean Power Technologies Inc. | 11,227 | 29 |
*,^ | Lime Energy Co. | 12,704 | 28 |
Chicago Rivet & Machine Co. | 951 | 26 | |
* | Industrial Services of America Inc. | 13,535 | 24 |
* | LiqTech International Inc. | 32,928 | 20 |
* | Art's-Way Manufacturing Co. Inc. | 5,943 | 18 |
* | Erickson Inc. | 27,688 | 17 |
39
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Espey Manufacturing & Electronics Corp. | 566 | 15 | |
*,^ | Real Goods Solar Inc. Class A | 3,564 | 15 |
* | Continental Materials Corp. | 900 | 14 |
* | Tel-Instrument Electronics Corp. | 3,304 | 14 |
EnviroStar Inc. | 2,900 | 11 | |
CompX International Inc. | 679 | 8 | |
Acme United Corp. | 409 | 7 | |
* | Micronet Enertec Technologies Inc. | 3,100 | 7 |
* | Digital Power Corp. | 11,401 | 5 |
WSI Industries Inc. | 805 | 2 | |
* | Quest Resource Holding Corp. | 7,825 | 2 |
* | CTPartners Executive Search Inc. | 83,162 | — |
5,540,769 | |||
Information Technology (16.6%) | |||
* | LinkedIn Corp. Class A | 1,338,080 | 253,232 |
* | FleetCor Technologies Inc. | 878,642 | 125,760 |
* | Twitter Inc. | 6,935,867 | 117,286 |
* | ServiceNow Inc. | 1,739,755 | 115,520 |
Maxim Integrated Products Inc. | 3,211,640 | 114,623 | |
* | Palo Alto Networks Inc. | 863,955 | 105,955 |
* | Vantiv Inc. Class A | 1,781,410 | 100,828 |
* | Workday Inc. Class A | 1,335,947 | 99,755 |
CDK Global Inc. | 1,762,566 | 97,805 | |
* | Synopsys Inc. | 1,715,782 | 92,789 |
* | Gartner Inc. | 934,334 | 91,013 |
* | ANSYS Inc. | 997,114 | 90,488 |
Broadridge Financial Solutions Inc. | 1,323,697 | 86,305 | |
* | Cadence Design Systems Inc. | 3,445,520 | 83,726 |
* | Splunk Inc. | 1,505,120 | 81,547 |
* | CoStar Group Inc. | 368,500 | 80,576 |
Computer Sciences Corp. | 1,559,718 | 77,440 | |
Jack Henry & Associates Inc. | 883,182 | 77,075 | |
* | Trimble Navigation Ltd. | 2,842,146 | 69,235 |
* | Ultimate Software Group Inc. | 325,563 | 68,463 |
CDW Corp. | 1,689,279 | 67,706 | |
* | Arrow Electronics Inc. | 1,040,205 | 64,389 |
* | Tyler Technologies Inc. | 373,269 | 62,228 |
Sabre Corp. | 2,295,337 | 61,492 | |
Avnet Inc. | 1,444,150 | 58,503 | |
Ingram Micro Inc. | 1,670,880 | 58,113 | |
* | Keysight Technologies Inc. | 1,939,285 | 56,414 |
* | Manhattan Associates Inc. | 825,507 | 52,940 |
* | Fortinet Inc. | 1,646,159 | 52,002 |
* | CommScope Holding Co. Inc. | 1,663,658 | 51,623 |
*,^ | VMware Inc. Class A | 900,348 | 51,518 |
SS&C Technologies Holdings Inc. | 1,818,328 | 51,059 | |
Marvell Technology Group Ltd. | 5,325,404 | 50,751 | |
* | Guidewire Software Inc. | 810,948 | 50,084 |
FEI Co. | 462,652 | 49,448 | |
IAC/InterActiveCorp | 876,526 | 49,348 | |
* | PTC Inc. | 1,302,819 | 48,960 |
Brocade Communications Systems Inc. | 5,311,767 | 48,762 | |
* | Genpact Ltd. | 1,762,858 | 47,315 |
Teradyne Inc. | 2,281,506 | 44,923 | |
Booz Allen Hamilton Holding Corp. Class A | 1,450,277 | 42,986 | |
DST Systems Inc. | 356,753 | 41,537 | |
* | Microsemi Corp. | 1,268,127 | 41,442 |
Cognex Corp. | 960,755 | 41,409 | |
* | ARRIS International plc | 1,972,527 | 41,344 |
*,^ | Zillow Group Inc. | 1,139,318 | 41,334 |
MAXIMUS Inc. | 738,802 | 40,907 | |
* | ON Semiconductor Corp. | 4,621,412 | 40,761 |
Fair Isaac Corp. | 356,863 | 40,329 | |
* | Nuance Communications Inc. | 2,559,997 | 40,013 |
40
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Jabil Circuit Inc. | 2,155,054 | 39,804 | |
* | Euronet Worldwide Inc. | 567,153 | 39,241 |
* | NCR Corp. | 1,405,967 | 39,044 |
* | CoreLogic Inc. | 1,006,315 | 38,723 |
* | WEX Inc. | 433,753 | 38,461 |
* | Aspen Technology Inc. | 946,064 | 38,070 |
* | Advanced Micro Devices Inc. | 7,262,989 | 37,332 |
Cypress Semiconductor Corp. | 3,520,635 | 37,143 | |
Blackbaud Inc. | 537,763 | 36,514 | |
* | Take-Two Interactive Software Inc. | 959,169 | 36,372 |
* | ViaSat Inc. | 506,247 | 36,146 |
Leidos Holdings Inc. | 729,013 | 34,898 | |
j2 Global Inc. | 524,841 | 33,154 | |
* | IPG Photonics Corp. | 412,186 | 32,975 |
* | Universal Display Corp. | 482,483 | 32,712 |
National Instruments Corp. | 1,161,834 | 31,834 | |
* | EPAM Systems Inc. | 491,969 | 31,639 |
SYNNEX Corp. | 329,710 | 31,263 | |
* | Qlik Technologies Inc. | 1,052,764 | 31,141 |
* | Integrated Device Technology Inc. | 1,533,262 | 30,865 |
* | Ellie Mae Inc. | 336,572 | 30,847 |
* | NetSuite Inc. | 421,795 | 30,707 |
* | Tableau Software Inc. Class A | 627,691 | 30,707 |
* | Pandora Media Inc. | 2,429,908 | 30,252 |
Littelfuse Inc. | 252,556 | 29,850 | |
* | Zebra Technologies Corp. | 588,410 | 29,479 |
* | Proofpoint Inc. | 466,554 | 29,435 |
Belden Inc. | 474,964 | 28,674 | |
Monolithic Power Systems Inc. | 416,984 | 28,488 | |
* | Demandware Inc. | 379,345 | 28,413 |
* | Tech Data Corp. | 394,540 | 28,348 |
Dolby Laboratories Inc. Class A | 589,803 | 28,222 | |
* | FireEye Inc. | 1,710,863 | 28,178 |
* | Cree Inc. | 1,142,049 | 27,912 |
Science Applications International Corp. | 476,563 | 27,807 | |
* | Cirrus Logic Inc. | 714,426 | 27,713 |
*,^ | GrubHub Inc. | 885,550 | 27,514 |
Convergys Corp. | 1,098,170 | 27,454 | |
* | Ciena Corp. | 1,460,790 | 27,390 |
Lexmark International Inc. Class A | 696,190 | 26,281 | |
MKS Instruments Inc. | 608,544 | 26,204 | |
* | WebMD Health Corp. | 443,700 | 25,783 |
*,^ | Arista Networks Inc. | 398,303 | 25,643 |
* | Fairchild Semiconductor International Inc. Class A | 1,290,413 | 25,615 |
* | ACI Worldwide Inc. | 1,299,540 | 25,354 |
* | Coherent Inc. | 273,989 | 25,147 |
* | CACI International Inc. Class A | 275,919 | 24,946 |
* | Rackspace Hosting Inc. | 1,193,303 | 24,892 |
* | Cavium Inc. | 644,840 | 24,891 |
Mentor Graphics Corp. | 1,138,792 | 24,211 | |
* | Verint Systems Inc. | 712,537 | 23,606 |
* | Entegris Inc. | 1,620,169 | 23,444 |
* | NetScout Systems Inc. | 1,053,314 | 23,436 |
* | Electronics For Imaging Inc. | 533,443 | 22,959 |
* | VeriFone Systems Inc. | 1,227,714 | 22,762 |
* | First Data Corp. Class A | 2,033,602 | 22,512 |
* | Synaptics Inc. | 415,612 | 22,339 |
* | Sanmina Corp. | 821,566 | 22,026 |
InterDigital Inc. | 392,134 | 21,834 | |
* | Silicon Laboratories Inc. | 441,405 | 21,514 |
* | Finisar Corp. | 1,216,902 | 21,308 |
* | Cornerstone OnDemand Inc. | 557,492 | 21,218 |
* | Blackhawk Network Holdings Inc. | 624,419 | 20,912 |
* | Zynga Inc. Class A | 8,301,751 | 20,671 |
41
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Cardtronics Inc. | 518,751 | 20,651 |
* | CommVault Systems Inc. | 477,608 | 20,628 |
* | EchoStar Corp. Class A | 519,354 | 20,618 |
Intersil Corp. Class A | 1,500,325 | 20,314 | |
*,^ | Zillow Group Inc. Class A | 553,828 | 20,298 |
* | ExlService Holdings Inc. | 381,445 | 19,992 |
* | Acxiom Corp. | 888,670 | 19,542 |
* | Yelp Inc. Class A | 620,305 | 18,832 |
Vishay Intertechnology Inc. | 1,517,504 | 18,802 | |
* | Itron Inc. | 431,734 | 18,608 |
* | MicroStrategy Inc. Class A | 105,680 | 18,496 |
Diebold Inc. | 740,522 | 18,387 | |
* | Infinera Corp. | 1,595,820 | 18,001 |
* | Paycom Software Inc. | 414,133 | 17,895 |
* | LogMeIn Inc. | 281,524 | 17,857 |
* | NETGEAR Inc. | 372,358 | 17,702 |
* | Semtech Corp. | 740,357 | 17,665 |
* | Viavi Solutions Inc. | 2,635,631 | 17,474 |
* | Advanced Energy Industries Inc. | 457,763 | 17,377 |
* | Anixter International Inc. | 320,464 | 17,074 |
* | Polycom Inc. | 1,517,267 | 17,069 |
Plantronics Inc. | 384,502 | 16,918 | |
* | Syntel Inc. | 372,035 | 16,838 |
Travelport Worldwide Ltd. | 1,291,526 | 16,648 | |
* | Plexus Corp. | 383,992 | 16,588 |
Tessera Technologies Inc. | 540,769 | 16,569 | |
*,^ | 3D Systems Corp. | 1,204,214 | 16,486 |
* | Zendesk Inc. | 623,172 | 16,439 |
Power Integrations Inc. | 328,094 | 16,428 | |
* | Progress Software Corp. | 595,743 | 16,359 |
NIC Inc. | 711,356 | 15,607 | |
CSG Systems International Inc. | 376,554 | 15,179 | |
* | Rambus Inc. | 1,251,899 | 15,123 |
* | Stamps.com Inc. | 170,200 | 14,879 |
Methode Electronics Inc. | 431,565 | 14,772 | |
* | Rovi Corp. | 939,354 | 14,691 |
* | Marketo Inc. | 421,897 | 14,690 |
* | GoDaddy Inc. Class A | 468,141 | 14,601 |
* | Synchronoss Technologies Inc. | 455,969 | 14,527 |
* | NeuStar Inc. Class A | 608,440 | 14,304 |
* | Envestnet Inc. | 429,294 | 14,300 |
^ | Ebix Inc. | 292,938 | 14,032 |
* | QLogic Corp. | 947,691 | 13,969 |
* | Cray Inc. | 459,767 | 13,756 |
*,^ | Knowles Corp. | 1,003,680 | 13,730 |
* | RealPage Inc. | 612,271 | 13,672 |
* | BroadSoft Inc. | 329,363 | 13,514 |
* | Callidus Software Inc. | 673,774 | 13,462 |
* | Imperva Inc. | 307,199 | 13,213 |
* | Sykes Enterprises Inc. | 454,896 | 13,174 |
* | Lumentum Holdings Inc. | 544,154 | 13,169 |
* | Fabrinet | 349,560 | 12,976 |
* | RingCentral Inc. Class A | 650,610 | 12,830 |
* | comScore Inc. | 535,953 | 12,799 |
* | Inphi Corp. | 398,599 | 12,767 |
* | Rogers Corp. | 206,885 | 12,641 |
Badger Meter Inc. | 169,212 | 12,358 | |
* | Benchmark Electronics Inc. | 577,956 | 12,224 |
* | OSI Systems Inc. | 209,485 | 12,177 |
Cabot Microelectronics Corp. | 281,934 | 11,937 | |
* | Gigamon Inc. | 317,007 | 11,853 |
* | Infoblox Inc. | 626,837 | 11,759 |
* | SPS Commerce Inc. | 193,569 | 11,730 |
EVERTEC Inc. | 749,946 | 11,654 |
42
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Monotype Imaging Holdings Inc. | 471,027 | 11,601 | |
Pegasystems Inc. | 430,451 | 11,601 | |
* | II-VI Inc. | 609,126 | 11,427 |
* | ScanSource Inc. | 302,158 | 11,213 |
* | Insight Enterprises Inc. | 428,457 | 11,140 |
* | TiVo Inc. | 1,116,034 | 11,049 |
ManTech International Corp. Class A | 290,913 | 11,002 | |
ADTRAN Inc. | 588,164 | 10,969 | |
*,^ | Ubiquiti Networks Inc. | 282,209 | 10,910 |
* | 2U Inc. | 370,929 | 10,909 |
* | MaxLinear Inc. | 594,763 | 10,694 |
* | Web.com Group Inc. | 584,186 | 10,620 |
* | Super Micro Computer Inc. | 416,631 | 10,353 |
*,^ | Shutterstock Inc. | 225,565 | 10,331 |
* | Rofin-Sinar Technologies Inc. | 322,796 | 10,310 |
* | Kulicke & Soffa Industries Inc. | 830,168 | 10,103 |
* | Paylocity Holding Corp. | 231,690 | 10,009 |
* | inContact Inc. | 689,885 | 9,555 |
*,^ | SunPower Corp. Class A | 609,335 | 9,439 |
* | Bottomline Technologies de Inc. | 437,044 | 9,410 |
* | Cvent Inc. | 262,570 | 9,379 |
*,^ | Quotient Technology Inc. | 684,765 | 9,183 |
Brooks Automation Inc. | 811,516 | 9,105 | |
* | Virtusa Corp. | 312,876 | 9,036 |
* | Diodes Inc. | 451,775 | 8,489 |
* | Perficient Inc. | 417,507 | 8,480 |
* | Interactive Intelligence Group Inc. | 204,057 | 8,364 |
*,^ | Fitbit Inc. Class A | 676,861 | 8,271 |
* | Qualys Inc. | 276,262 | 8,235 |
* | Black Knight Financial Services Inc. Class A | 209,765 | 7,887 |
EarthLink Holdings Corp. | 1,198,550 | 7,671 | |
*,^ | Pure Storage Inc. Class A | 702,585 | 7,658 |
* | Veeco Instruments Inc. | 461,513 | 7,643 |
* | Ultratech Inc. | 327,755 | 7,529 |
MTS Systems Corp. | 171,698 | 7,527 | |
CTS Corp. | 417,105 | 7,475 | |
* | Q2 Holdings Inc. | 265,736 | 7,446 |
* | MACOM Technology Solutions Holdings Inc. | 222,219 | 7,329 |
* | Lattice Semiconductor Corp. | 1,346,112 | 7,202 |
* | Eastman Kodak Co. | 445,169 | 7,158 |
AVX Corp. | 519,961 | 7,061 | |
* | Ixia | 715,794 | 7,029 |
* | FormFactor Inc. | 778,400 | 6,998 |
* | Xura Inc. | 284,850 | 6,959 |
* | Photronics Inc. | 776,639 | 6,920 |
* | New Relic Inc. | 229,905 | 6,755 |
* | CEVA Inc. | 243,263 | 6,609 |
*,^ | Match Group Inc. | 438,154 | 6,605 |
*,^ | Endurance International Group Holdings Inc. | 728,271 | 6,547 |
* | Amkor Technology Inc. | 1,115,013 | 6,411 |
* | FARO Technologies Inc. | 189,132 | 6,398 |
* | Applied Micro Circuits Corp. | 962,249 | 6,178 |
* | Nanometrics Inc. | 294,971 | 6,132 |
* | CalAmp Corp. | 413,576 | 6,125 |
* | Rudolph Technologies Inc. | 384,056 | 5,964 |
* | SciQuest Inc. | 336,489 | 5,942 |
* | DTS Inc. | 219,152 | 5,797 |
* | VASCO Data Security International Inc. | 352,656 | 5,780 |
TeleTech Holdings Inc. | 208,856 | 5,666 | |
* | Novanta Inc. | 372,824 | 5,648 |
Cass Information Systems Inc. | 108,266 | 5,597 | |
*,^ | InvenSense Inc. | 908,696 | 5,570 |
* | TTM Technologies Inc. | 738,354 | 5,560 |
* | XO Group Inc. | 318,525 | 5,552 |
43
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Benefitfocus Inc. | 145,216 | 5,536 |
Forrester Research Inc. | 149,241 | 5,501 | |
* | ePlus Inc. | 66,215 | 5,416 |
*,^ | Oclaro Inc. | 1,101,082 | 5,373 |
* | ShoreTel Inc. | 799,125 | 5,346 |
* | GTT Communications Inc. | 287,613 | 5,315 |
*,^ | TrueCar Inc. | 668,210 | 5,245 |
* | Silver Spring Networks Inc. | 427,725 | 5,197 |
* | PROS Holdings Inc. | 296,697 | 5,171 |
* | Blucora Inc. | 488,405 | 5,060 |
* | Sonus Networks Inc. | 579,550 | 5,036 |
PC Connection Inc. | 209,246 | 4,980 | |
* | Nimble Storage Inc. | 621,532 | 4,947 |
* | HubSpot Inc. | 111,163 | 4,827 |
Epiq Systems Inc. | 329,818 | 4,815 | |
*,^ | Gogo Inc. | 552,197 | 4,633 |
*,^ | Box Inc. | 436,794 | 4,516 |
* | Bankrate Inc. | 599,673 | 4,486 |
* | Exar Corp. | 555,121 | 4,469 |
* | PDF Solutions Inc. | 311,257 | 4,354 |
* | Varonis Systems Inc. | 179,889 | 4,321 |
* | Unisys Corp. | 582,268 | 4,239 |
* | Actua Corp. | 468,089 | 4,227 |
Mesa Laboratories Inc. | 34,270 | 4,215 | |
* | ChannelAdvisor Corp. | 289,402 | 4,193 |
*,^ | Hortonworks Inc. | 383,474 | 4,099 |
* | Extreme Networks Inc. | 1,205,801 | 4,088 |
Hackett Group Inc. | 286,129 | 3,969 | |
Park Electrochemical Corp. | 266,147 | 3,867 | |
* | LivePerson Inc. | 607,048 | 3,849 |
* | Barracuda Networks Inc. | 252,572 | 3,824 |
* | Xcerra Corp. | 653,179 | 3,756 |
IXYS Corp. | 355,970 | 3,649 | |
* | Calix Inc. | 519,965 | 3,593 |
* | DHI Group Inc. | 569,046 | 3,545 |
* | DSP Group Inc. | 332,918 | 3,532 |
* | Rubicon Project Inc. | 256,326 | 3,499 |
*,^ | Digimarc Corp. | 107,956 | 3,450 |
* | Five9 Inc. | 287,785 | 3,425 |
Electro Rent Corp. | 221,405 | 3,412 | |
* | Axcelis Technologies Inc. | 1,262,640 | 3,397 |
* | Digi International Inc. | 313,033 | 3,359 |
* | RetailMeNot Inc. | 433,685 | 3,344 |
* | Tangoe Inc. | 430,381 | 3,323 |
* | Angie's List Inc. | 510,252 | 3,322 |
Cohu Inc. | 301,665 | 3,273 | |
* | Kimball Electronics Inc. | 261,840 | 3,260 |
* | Brightcove Inc. | 365,270 | 3,214 |
NVE Corp. | 53,960 | 3,165 | |
* | ServiceSource International Inc. | 780,785 | 3,147 |
* | Intralinks Holdings Inc. | 480,169 | 3,121 |
*,^ | Square Inc. | 344,841 | 3,121 |
* | Agilysys Inc. | 293,283 | 3,071 |
American Software Inc. Class A | 289,236 | 3,031 | |
* | SunEdison Semiconductor Ltd. | 506,991 | 3,006 |
Daktronics Inc. | 477,269 | 2,983 | |
*,^ | Glu Mobile Inc. | 1,337,223 | 2,942 |
* | NeoPhotonics Corp. | 304,931 | 2,906 |
* | Bazaarvoice Inc. | 712,555 | 2,857 |
Comtech Telecommunications Corp. | 221,272 | 2,841 | |
* | Alpha & Omega Semiconductor Ltd. | 203,897 | 2,840 |
* | A10 Networks Inc. | 432,963 | 2,801 |
* | Sigma Designs Inc. | 423,600 | 2,724 |
* | Immersion Corp. | 365,125 | 2,680 |
44
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Lionbridge Technologies Inc. | 674,149 | 2,663 |
Reis Inc. | 105,918 | 2,637 | |
* | Workiva Inc. | 191,261 | 2,613 |
* | Multi-Fineline Electronix Inc. | 112,361 | 2,607 |
* | Monster Worldwide Inc. | 1,078,005 | 2,576 |
* | Model N Inc. | 192,397 | 2,568 |
* | Harmonic Inc. | 898,165 | 2,560 |
Black Box Corp. | 190,117 | 2,487 | |
* | Zix Corp. | 661,640 | 2,481 |
* | MeetMe Inc. | 461,108 | 2,458 |
* | Higher One Holdings Inc. | 473,654 | 2,420 |
* | Liquidity Services Inc. | 302,731 | 2,373 |
* | Mitek Systems Inc. | 329,444 | 2,342 |
* | MoneyGram International Inc. | 338,903 | 2,321 |
* | Clearfield Inc. | 128,868 | 2,305 |
* | Electro Scientific Industries Inc. | 392,726 | 2,294 |
* | Carbonite Inc. | 226,974 | 2,208 |
* | Silicon Graphics International Corp. | 431,025 | 2,168 |
*,^ | VirnetX Holding Corp. | 537,365 | 2,149 |
*,^ | Alarm.com Holdings Inc. | 83,438 | 2,139 |
*,^ | TubeMogul Inc. | 179,612 | 2,137 |
* | PRGX Global Inc. | 409,199 | 2,136 |
* | Ultra Clean Holdings Inc. | 370,287 | 2,107 |
* | EnerNOC Inc. | 332,254 | 2,100 |
QAD Inc. Class A | 108,726 | 2,095 | |
* | Avid Technology Inc. | 360,338 | 2,094 |
* | Vishay Precision Group Inc. | 155,746 | 2,090 |
* | Jive Software Inc. | 546,170 | 2,054 |
* | United Online Inc. | 182,018 | 2,002 |
* | Maxwell Technologies Inc. | 377,982 | 1,996 |
* | Napco Security Technologies Inc. | 303,769 | 1,932 |
* | Everyday Health Inc. | 240,728 | 1,897 |
Bel Fuse Inc. Class B | 104,408 | 1,856 | |
*,^ | Applied Optoelectronics Inc. | 165,340 | 1,844 |
* | Planet Payment Inc. | 409,535 | 1,839 |
* | Telenav Inc. | 358,215 | 1,827 |
* | MINDBODY Inc. Class A | 109,827 | 1,773 |
* | Kopin Corp. | 797,412 | 1,770 |
* | QuinStreet Inc. | 490,756 | 1,742 |
* | Rosetta Stone Inc. | 222,759 | 1,726 |
* | USA Technologies Inc. | 403,387 | 1,722 |
* | Datalink Corp. | 226,315 | 1,697 |
* | Radisys Corp. | 375,090 | 1,680 |
* | SecureWorks Corp. Class A | 117,921 | 1,663 |
* | AXT Inc. | 515,422 | 1,644 |
* | Aerohive Networks Inc. | 248,284 | 1,644 |
* | EMCORE Corp. | 269,013 | 1,598 |
* | TechTarget Inc. | 194,851 | 1,578 |
* | PFSweb Inc. | 165,875 | 1,576 |
* | Exa Corp. | 108,904 | 1,574 |
* | Care.com Inc. | 133,015 | 1,554 |
* | Control4 Corp. | 187,906 | 1,533 |
*,^ | SolarEdge Technologies Inc. | 76,666 | 1,503 |
* | Seachange International Inc. | 470,913 | 1,502 |
* | Kemet Corp. | 509,456 | 1,493 |
* | RealNetworks Inc. | 346,028 | 1,491 |
* | Autobytel Inc. | 107,323 | 1,489 |
* | Intevac Inc. | 256,661 | 1,458 |
* | PCM Inc. | 130,104 | 1,449 |
* | Instructure Inc. | 74,848 | 1,422 |
* | Guidance Software Inc. | 225,738 | 1,397 |
* | Rightside Group Ltd. | 130,644 | 1,390 |
* | Internap Corp. | 653,679 | 1,347 |
* | Ciber Inc. | 875,153 | 1,313 |
45
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Hutchinson Technology Inc. | 382,416 | 1,296 |
* | KVH Industries Inc. | 165,667 | 1,276 |
* | Quantum Corp. | 3,011,147 | 1,265 |
* | Limelight Networks Inc. | 832,075 | 1,240 |
* | Amber Road Inc. | 160,659 | 1,239 |
*,^ | Park City Group Inc. | 135,806 | 1,218 |
* | Covisint Corp. | 552,843 | 1,205 |
* | Information Services Group Inc. | 317,752 | 1,192 |
* | Marchex Inc. Class B | 368,347 | 1,171 |
* | Key Tronic Corp. | 151,757 | 1,143 |
*,^ | Appfolio Inc. | 75,823 | 1,096 |
MOCON Inc. | 76,909 | 1,089 | |
* | CyberOptics Corp. | 72,416 | 1,085 |
NCI Inc. Class A | 76,978 | 1,082 | |
TransAct Technologies Inc. | 131,907 | 1,058 | |
* | BSQUARE Corp. | 188,386 | 1,051 |
* | Rapid7 Inc. | 81,391 | 1,024 |
* | MobileIron Inc. | 334,362 | 1,020 |
* | Aware Inc. | 233,234 | 1,012 |
AstroNova Inc. | 66,474 | 1,012 | |
* | CUI Global Inc. | 198,140 | 1,001 |
^ | CPI Card Group Inc. | 196,320 | 984 |
*,^ | MicroVision Inc. | 569,991 | 958 |
* | iPass Inc. | 772,207 | 958 |
* | Everi Holdings Inc. | 815,359 | 938 |
* | GigPeak Inc. | 469,680 | 921 |
* | Xactly Corp. | 71,338 | 914 |
* | Amtech Systems Inc. | 151,776 | 906 |
*,^ | Research Frontiers Inc. | 243,678 | 889 |
*,^ | Violin Memory Inc. | 963,955 | 887 |
Computer Task Group Inc. | 176,917 | 879 | |
* | ModusLink Global Solutions Inc. | 700,811 | 862 |
TESSCO Technologies Inc. | 61,013 | 847 | |
* | Frequency Electronics Inc. | 90,444 | 841 |
* | Numerex Corp. Class A | 111,462 | 835 |
* | Apigee Corp. | 67,515 | 825 |
Great Elm Capital Group Inc. | 124,413 | 820 | |
* | Travelzoo Inc. | 101,502 | 814 |
* | Systemax Inc. | 93,011 | 793 |
* | Support.com Inc. | 896,019 | 754 |
*,^ | Rocket Fuel Inc. | 333,674 | 741 |
PC-Tel Inc. | 157,081 | 740 | |
* | YuMe Inc. | 195,782 | 720 |
* | Demand Media Inc. | 134,116 | 693 |
* | Mattersight Corp. | 176,923 | 685 |
Communications Systems Inc. | 95,107 | 663 | |
* | ID Systems Inc. | 137,003 | 659 |
Evolving Systems Inc. | 127,033 | 657 | |
*,^ | Neonode Inc. | 449,201 | 656 |
* | QuickLogic Corp. | 627,651 | 609 |
Richardson Electronics Ltd. | 115,483 | 609 | |
*,^ | Novatel Wireless Inc. | 398,998 | 606 |
* | Innodata Inc. | 244,930 | 600 |
*,^ | Applied DNA Sciences Inc. | 185,537 | 599 |
* | Aviat Networks Inc. | 73,690 | 573 |
* | Datawatch Corp. | 102,418 | 567 |
* | GSI Technology Inc. | 134,225 | 560 |
*,^ | CVD Equipment Corp. | 64,075 | 550 |
* | Marin Software Inc. | 233,624 | 549 |
*,^ | Netlist Inc. | 468,240 | 548 |
LRAD Corp. | 298,088 | 534 | |
* | PAR Technology Corp. | 111,171 | 533 |
*,^ | Digital Turbine Inc. | 492,315 | 527 |
CSP Inc. | 63,690 | 517 |
46
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | FalconStor Software Inc. | 492,052 | 517 |
* | Edgewater Technology Inc. | 59,265 | 512 |
*,^ | ClearSign Combustion Corp. | 100,245 | 502 |
ClearOne Inc. | 42,405 | 475 | |
* | Pixelworks Inc. | 247,477 | 455 |
* | GSE Systems Inc. | 200,594 | 447 |
* | WidePoint Corp. | 750,111 | 443 |
* | Imation Corp. | 348,571 | 436 |
* | Tremor Video Inc. | 226,702 | 417 |
* | Synacor Inc. | 135,020 | 416 |
* | ALJ Regional Holdings Inc. | 81,783 | 409 |
* | NetSol Technologies Inc. | 69,547 | 406 |
* | Data I/O Corp. | 170,565 | 401 |
* | eGain Corp. | 141,680 | 400 |
* | IEC Electronics Corp. | 95,374 | 396 |
GlobalSCAPE Inc. | 105,926 | 391 | |
* | Qumu Corp. | 87,661 | 389 |
* | Onvia Inc. | 108,561 | 386 |
* | Inuvo Inc. | 273,710 | 383 |
Concurrent Computer Corp. | 70,723 | 369 | |
*,^ | Uni-Pixel Inc. | 244,089 | 359 |
* | Zhone Technologies Inc. | 284,409 | 338 |
*,^ | Twilio Inc. | 9,228 | 337 |
* | Zedge Inc. Class B | 72,205 | 331 |
*,^ | ParkerVision Inc. | 105,541 | 331 |
* | Perceptron Inc. | 69,801 | 327 |
* | Acacia Communications Inc. | 8,100 | 324 |
* | Wireless Telecom Group Inc. | 233,098 | 312 |
*,^ | FORM Holdings Corp. | 148,017 | 280 |
* | Westell Technologies Inc. Class A | 398,465 | 279 |
*,^ | Sunworks Inc. | 112,894 | 263 |
* | BroadVision Inc. | 37,841 | 251 |
Optical Cable Corp. | 112,873 | 251 | |
QAD Inc. Class B | 14,091 | 244 | |
* | Spark Networks Inc. | 146,920 | 232 |
*,^ | LightPath Technologies Inc. Class A | 129,113 | 225 |
* | StarTek Inc. | 48,825 | 213 |
* | MaxPoint Interactive Inc. | 19,715 | 213 |
* | MoSys Inc. | 495,337 | 201 |
*,^ | Digital Ally Inc. | 51,469 | 200 |
* | Sonic Foundry Inc. | 29,857 | 185 |
* | Rubicon Technology Inc. | 268,319 | 182 |
* | eMagin Corp. | 93,501 | 180 |
* | Identiv Inc. | 96,311 | 172 |
RELM Wireless Corp. | 33,447 | 170 | |
*,^ | Voltari Corp. | 46,902 | 170 |
*,^ | Resonant Inc. | 38,050 | 167 |
* | Intermolecular Inc. | 109,827 | 163 |
*,^ | InterCloud Systems Inc. | 228,042 | 160 |
* | LGL Group Inc. | 48,029 | 158 |
* | Echelon Corp. | 32,507 | 155 |
* | Infosonics Corp. | 188,332 | 154 |
* | Luna Innovations Inc. | 117,791 | 146 |
*,^ | Net Element Inc. | 74,209 | 137 |
* | Lantronix Inc. | 140,583 | 136 |
* | Asure Software Inc. | 27,280 | 128 |
* | Smith Micro Software Inc. | 206,890 | 122 |
* | Iteris Inc. | 40,217 | 115 |
* | MRV Communications Inc. | 10,116 | 114 |
* | Remark Media Inc. | 24,304 | 103 |
* | TSR Inc. | 27,043 | 101 |
Bel Fuse Inc. Class A | 5,719 | 86 | |
* | Image Sensing Systems Inc. | 37,600 | 84 |
* | Document Security Systems Inc. | 357,332 | 72 |
47
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | xG Technology Inc. | 59,426 | 65 |
^ | Inventergy Global Inc. | 41,031 | 61 |
Wayside Technology Group Inc. | 3,272 | 59 | |
*,^ | NXT-ID Inc. | 151,699 | 53 |
* | Intellicheck Mobilisa Inc. | 35,937 | 50 |
* | inTEST Corp. | 12,602 | 48 |
* | FunctionX Inc. | 162,598 | 46 |
RF Industries Ltd. | 20,988 | 46 | |
Majesco Entertainment Co. | 59,583 | 42 | |
* | Determine Inc. | 26,243 | 40 |
* | Network-1 Technologies Inc. | 14,338 | 38 |
* | Upland Software Inc. | 4,979 | 38 |
* | Crossroads Systems Inc. | 8,940 | 36 |
* | RMG Networks Holding Corp. | 34,785 | 34 |
* | Finjan Holdings Inc. | 18,418 | 34 |
* | Bridgeline Digital Inc. | 28,875 | 31 |
* | Sevcon Inc. | 3,344 | 30 |
*,^ | Giga-tronics Inc. | 25,845 | 28 |
* | Prism Technologies Group Inc. | 101,239 | 27 |
* | Xplore Technologies Corp. | 8,900 | 21 |
* | Copsync Inc. | 15,467 | 20 |
* | Aehr Test Systems | 12,287 | 20 |
* | Majesco | 3,574 | 19 |
* | ADDvantage Technologies Group Inc. | 10,200 | 18 |
* | SigmaTron International Inc. | 2,686 | 16 |
* | SunEdison Inc. | 111,766 | 16 |
* | Sysorex Global | 29,496 | 16 |
* | Adesto Technologies Corp. | 4,696 | 15 |
* | LookSmart Group Inc. | 84,826 | 11 |
* | Superconductor Technologies Inc. | 49,119 | 9 |
* | Dataram Corp. | 14,239 | 9 |
* | Vicon Industries Inc. | 12,700 | 6 |
* | ARI Network Services Inc. | 1,500 | 6 |
* | IntriCon Corp. | 1,104 | 6 |
Qualstar Corp. | 1,536 | 5 | |
* | WPCS International Inc. | 2,914 | 5 |
* | SITO Mobile Ltd. | 800 | 3 |
* | Technical Communications Corp. | 958 | 2 |
* | Professional Diversity Network Inc. | 3,750 | 1 |
* | Cartesian Inc. | 1,281 | 1 |
* | MAM Software Group Inc. | 200 | 1 |
* | Glowpoint Inc. | 1,550 | — |
* | LGL Group Inc. Warrants Exp. 06/18/2018 | 238,900 | — |
7,335,783 | |||
Materials (5.1%) | |||
Celanese Corp. Class A | 1,653,848 | 108,244 | |
Valspar Corp. | 823,717 | 88,986 | |
* | Crown Holdings Inc. | 1,568,420 | 79,472 |
Ashland Inc. | 686,127 | 78,747 | |
RPM International Inc. | 1,500,315 | 74,941 | |
Packaging Corp. of America | 1,066,186 | 71,360 | |
Steel Dynamics Inc. | 2,744,712 | 67,245 | |
Reliance Steel & Aluminum Co. | 807,477 | 62,095 | |
WR Grace & Co. | 801,682 | 58,691 | |
Sonoco Products Co. | 1,143,275 | 56,775 | |
AptarGroup Inc. | 710,407 | 56,215 | |
Bemis Co. Inc. | 1,065,474 | 54,861 | |
Royal Gold Inc. | 741,827 | 53,426 | |
* | Berry Plastics Group Inc. | 1,363,870 | 52,986 |
* | Axalta Coating Systems Ltd. | 1,918,239 | 50,891 |
NewMarket Corp. | 114,688 | 47,524 | |
Graphic Packaging Holding Co. | 3,701,466 | 46,416 | |
Olin Corp. | 1,867,664 | 46,393 | |
Eagle Materials Inc. | 547,302 | 42,224 |
48
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Scotts Miracle-Gro Co. Class A | 519,235 | 36,300 | |
Sensient Technologies Corp. | 498,380 | 35,405 | |
PolyOne Corp. | 974,542 | 34,343 | |
Cabot Corp. | 712,506 | 32,533 | |
Huntsman Corp. | 2,197,006 | 29,550 | |
Compass Minerals International Inc. | 384,566 | 28,531 | |
United States Steel Corp. | 1,657,073 | 27,938 | |
* | Louisiana-Pacific Corp. | 1,607,379 | 27,888 |
Axiall Corp. | 800,863 | 26,116 | |
HB Fuller Co. | 580,369 | 25,530 | |
Domtar Corp. | 699,455 | 24,488 | |
Silgan Holdings Inc. | 467,291 | 24,047 | |
Minerals Technologies Inc. | 399,217 | 22,676 | |
Commercial Metals Co. | 1,324,373 | 22,382 | |
Worthington Industries Inc. | 526,630 | 22,276 | |
Hecla Mining Co. | 4,305,367 | 21,957 | |
Balchem Corp. | 365,665 | 21,812 | |
* | GCP Applied Technologies Inc. | 815,460 | 21,235 |
* | Chemtura Corp. | 721,862 | 19,043 |
Westlake Chemical Corp. | 442,508 | 18,992 | |
Kaiser Aluminum Corp. | 206,563 | 18,675 | |
Carpenter Technology Corp. | 536,124 | 17,655 | |
Chemours Co. | 2,063,642 | 17,004 | |
* | Coeur Mining Inc. | 1,563,363 | 16,665 |
* | Stillwater Mining Co. | 1,374,549 | 16,302 |
* | Ingevity Corp. | 464,854 | 15,824 |
^ | Allegheny Technologies Inc. | 1,225,460 | 15,625 |
* | Platform Specialty Products Corp. | 1,721,445 | 15,286 |
* | Headwaters Inc. | 831,445 | 14,916 |
Greif Inc. Class A | 392,200 | 14,617 | |
Quaker Chemical Corp. | 158,002 | 14,094 | |
Neenah Paper Inc. | 193,449 | 14,000 | |
* | Summit Materials Inc. Class A | 671,982 | 13,749 |
* | Trinseo SA | 319,630 | 13,722 |
* | Ferro Corp. | 999,153 | 13,369 |
* | Clearwater Paper Corp. | 201,682 | 13,184 |
Innospec Inc. | 280,459 | 12,898 | |
Stepan Co. | 214,178 | 12,750 | |
KapStone Paper and Packaging Corp. | 978,594 | 12,732 | |
Schweitzer-Mauduit International Inc. | 359,332 | 12,677 | |
* | AK Steel Holding Corp. | 2,619,889 | 12,209 |
*,^ | Cliffs Natural Resources Inc. | 1,889,473 | 10,713 |
* | Boise Cascade Co. | 447,517 | 10,271 |
^ | McEwen Mining Inc. | 2,645,166 | 10,184 |
* | Kraton Performance Polymers Inc. | 353,886 | 9,884 |
PH Glatfelter Co. | 502,720 | 9,833 | |
Innophos Holdings Inc. | 227,406 | 9,599 | |
* | US Concrete Inc. | 155,902 | 9,496 |
Deltic Timber Corp. | 132,992 | 8,928 | |
A Schulman Inc. | 340,872 | 8,324 | |
* | Flotek Industries Inc. | 613,657 | 8,100 |
Calgon Carbon Corp. | 604,718 | 7,952 | |
* | Koppers Holdings Inc. | 247,375 | 7,602 |
Rayonier Advanced Materials Inc. | 490,778 | 6,670 | |
Materion Corp. | 257,174 | 6,368 | |
* | Resolute Forest Products Inc. | 1,063,419 | 5,625 |
Schnitzer Steel Industries Inc. | 300,733 | 5,293 | |
Hawkins Inc. | 114,966 | 4,991 | |
Haynes International Inc. | 152,090 | 4,879 | |
Tredegar Corp. | 302,666 | 4,879 | |
Chase Corp. | 80,852 | 4,776 | |
American Vanguard Corp. | 295,692 | 4,468 | |
SunCoke Energy Inc. | 739,103 | 4,302 | |
TimkenSteel Corp. | 439,709 | 4,230 |
49
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | OMNOVA Solutions Inc. | 564,995 | 4,096 |
Mercer International Inc. | 500,303 | 3,992 | |
AEP Industries Inc. | 47,352 | 3,810 | |
Myers Industries Inc. | 264,475 | 3,808 | |
* | Century Aluminum Co. | 558,502 | 3,535 |
Olympic Steel Inc. | 121,886 | 3,329 | |
Tronox Ltd. Class A | 738,588 | 3,257 | |
FutureFuel Corp. | 278,631 | 3,031 | |
* | LSB Industries Inc. | 229,203 | 2,769 |
Gold Resource Corp. | 630,871 | 2,265 | |
*,^ | TerraVia Holdings Inc. | 781,867 | 2,048 |
KMG Chemicals Inc. | 75,720 | 1,968 | |
* | Real Industry Inc. | 252,435 | 1,961 |
* | Ryerson Holding Corp. | 111,075 | 1,944 |
*,^ | Senomyx Inc. | 695,066 | 1,911 |
* | Handy & Harman Ltd. | 66,035 | 1,729 |
* | Trecora Resources | 145,405 | 1,517 |
Kronos Worldwide Inc. | 281,313 | 1,477 | |
Ampco-Pittsburgh Corp. | 122,176 | 1,382 | |
United States Lime & Minerals Inc. | 23,132 | 1,365 | |
* | Codexis Inc. | 328,761 | 1,325 |
* | Core Molding Technologies Inc. | 85,285 | 1,164 |
* | UFP Technologies Inc. | 46,968 | 1,059 |
*,^ | AgroFresh Solutions Inc. | 185,049 | 983 |
* | Intrepid Potash Inc. | 638,855 | 920 |
* | Universal Stainless & Alloy Products Inc. | 83,022 | 905 |
Rentech Inc. | 270,166 | 648 | |
Synalloy Corp. | 83,194 | 637 | |
* | A. M. Castle & Co. | 209,034 | 343 |
* | General Moly Inc. | 828,766 | 286 |
*,^ | BioAmber Inc. | 93,565 | 279 |
*,^ | Pershing Gold Corp. | 64,937 | 279 |
* | Mines Management Inc. | 201,878 | 214 |
* | Solitario Exploration & Royalty Corp. | 381,460 | 199 |
* | TOR Minerals International Inc. | 42,930 | 195 |
*,^ | Golden Minerals Co. | 249,541 | 162 |
* | Comstock Mining Inc. | 381,170 | 133 |
* | Tecnoglass Inc. | 10,044 | 114 |
* | Paramount Gold Nevada Corp. | 61,524 | 102 |
* | Marrone Bio Innovations Inc. | 111,158 | 91 |
Albemarle Corp. | 497 | 39 | |
* | US Antimony Corp. | 181,971 | 38 |
* | Northern Technologies International Corp. | 700 | 8 |
* | Metabolix Inc. | 8,216 | 7 |
Friedman Industries Inc. | 763 | 4 | |
2,257,182 | |||
Other (0.0%)2 | |||
* | Dyax Corp CVR Exp. 12/31/2019 | 1,549,121 | 1,720 |
* | Leap Wireless International Inc. CVR | 524,960 | 1,323 |
* | Adolor Corp. Rights Exp. 07/01/2019 | 596,841 | 310 |
* | Camco Financial Corp. Warrants Exp. 11/06/2017 | 45,300 | 225 |
* | Chelsea Therapeutics International Ltd. CVR Exp. 12/31/2016 | 912,063 | 100 |
* | Ambit Biosciences Corp. CVR Rights | 22,388 | 13 |
* | Alexza Pharmaceuticals Inc. CVR | 128,704 | 5 |
* | Dara Biosciences Inc. CVR Exp. 12/31/2018 | 15,573 | 1 |
* | Clinical Data Contingent Value Rights | 131,308 | — |
* | Gerber Scientific Inc. CVR | 161,151 | — |
* | Trubion Pharmaceuticals Inc. CVR | 49,686 | — |
* | Cubist Pharmaceuticals, Inc. CVR | 178,549 | — |
*,^ | Biosante Pharmaceutical Inc. CVR | 44,795 | — |
* | CIL&D LLC | 36,800 | — |
* | American Medical Alert Corp. | 17,992 | — |
50
Vanguard® Extended Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | EnSite Power Inc. | 15,743 | — |
3,697 | |||
Telecommunication Services (1.3%) | |||
* | SBA Communications Corp. Class A | 1,421,987 | 153,489 |
* | T-Mobile US Inc. | 3,165,291 | 136,962 |
*,^ | Sprint Corp. | 9,021,091 | 40,866 |
Telephone & Data Systems Inc. | 1,063,601 | 31,546 | |
Shenandoah Telecommunications Co. | 526,753 | 20,575 | |
Cogent Communications Holdings Inc. | 470,952 | 18,866 | |
Consolidated Communications Holdings Inc. | 571,468 | 15,567 | |
* | 8x8 Inc. | 1,017,642 | 14,868 |
* | Zayo Group Holdings Inc. | 468,089 | 13,074 |
* | Vonage Holdings Corp. | 2,112,744 | 12,888 |
* | Cincinnati Bell Inc. | 2,485,807 | 11,360 |
^ | Windstream Holdings Inc. | 1,102,420 | 10,219 |
ATN International Inc. | 127,869 | 9,950 | |
*,^ | Iridium Communications Inc. | 917,293 | 8,146 |
Inteliquent Inc. | 404,744 | 8,050 | |
* | ORBCOMM Inc. | 726,871 | 7,232 |
* | United States Cellular Corp. | 167,480 | 6,577 |
* | General Communication Inc. Class A | 380,789 | 6,017 |
Spok Holdings Inc. | 226,530 | 4,341 | |
* | FairPoint Communications Inc. | 267,800 | 3,931 |
*,^ | Globalstar Inc. | 3,095,875 | 3,746 |
* | NII Holdings Inc. | 1,135,968 | 3,612 |
* | Boingo Wireless Inc. | 367,468 | 3,278 |
* | Lumos Networks Corp. | 261,457 | 3,164 |
*,^ | Straight Path Communications Inc. Class B | 113,583 | 3,143 |
IDT Corp. Class B | 217,623 | 3,088 | |
*,^ | pdvWireless Inc. | 121,477 | 2,598 |
* | Hawaiian Telcom Holdco Inc. | 98,268 | 2,082 |
* | Alaska Communications Systems Group Inc. | 653,207 | 1,111 |
* | Ooma Inc. | 35,821 | 293 |
* | Elephant Talk Communications Corp. | 687,554 | 122 |
*,^ | Towerstream Corp. | 588,198 | 99 |
*,^ | One Horizon Group Inc. | 74,818 | 57 |
* | Fusion Telecommunications International Inc. | 2,852 | 5 |
560,922 | |||
Utilities (3.9%) | |||
Atmos Energy Corp. | 1,144,131 | 93,041 | |
Westar Energy Inc. Class A | 1,610,896 | 90,355 | |
UGI Corp. | 1,930,992 | 87,377 | |
ITC Holdings Corp. | 1,731,207 | 81,055 | |
OGE Energy Corp. | 2,251,935 | 73,751 | |
Aqua America Inc. | 2,003,449 | 71,443 | |
National Fuel Gas Co. | 973,059 | 55,348 | |
Piedmont Natural Gas Co. Inc. | 917,629 | 55,168 | |
* | Calpine Corp. | 3,717,580 | 54,834 |
MDU Resources Group Inc. | 2,199,154 | 52,780 | |
Great Plains Energy Inc. | 1,711,760 | 52,038 | |
Questar Corp. | 1,980,271 | 50,239 | |
Vectren Corp. | 940,173 | 49,519 | |
IDACORP Inc. | 577,187 | 46,954 | |
Portland General Electric Co. | 1,017,252 | 44,881 | |
Southwest Gas Corp. | 535,256 | 42,130 | |
WGL Holdings Inc. | 575,523 | 40,741 | |
ONE Gas Inc. | 599,701 | 39,934 | |
Hawaiian Electric Industries Inc. | 1,214,503 | 39,824 | |
New Jersey Resources Corp. | 990,971 | 38,202 | |
Spire Inc. | 518,695 | 36,744 | |
Black Hills Corp. | 578,127 | 36,445 | |
ALLETE Inc. | 535,397 | 34,603 | |
NorthWestern Corp. | 536,552 | 33,840 | |
Avista Corp. | 723,430 | 32,410 |
51
Vanguard® Extended Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Market | |||||
Value | |||||
Shares | ($000) | ||||
PNM Resources Inc. | 913,913 | 32,389 | |||
Avangrid Inc. | 638,797 | 29,423 | |||
South Jersey Industries Inc. | 873,048 | 27,606 | |||
El Paso Electric Co. | 479,483 | 22,665 | |||
MGE Energy Inc. | 391,975 | 22,152 | |||
* | Dynegy Inc. | 1,262,425 | 21,764 | ||
Northwest Natural Gas Co. | 327,240 | 21,212 | |||
California Water Service Group | 569,318 | 19,886 | |||
American States Water Co. | 420,710 | 18,436 | |||
Ormat Technologies Inc. | 406,174 | 17,774 | |||
Empire District Electric Co. | 501,628 | 17,040 | |||
Pattern Energy Group Inc. Class A | 644,419 | 14,802 | |||
Otter Tail Corp. | 424,065 | 14,202 | |||
Chesapeake Utilities Corp. | 188,020 | 12,443 | |||
NRG Yield Inc. | 732,480 | 11,419 | |||
* | Talen Energy Corp. | 745,221 | 10,098 | ||
TerraForm Power Inc. Class A | 842,347 | 9,182 | |||
Middlesex Water Co. | 184,413 | 8,000 | |||
SJW Corp. | 200,586 | 7,899 | |||
Connecticut Water Service Inc. | 121,629 | 6,836 | |||
Unitil Corp. | 148,239 | 6,325 | |||
NRG Yield Inc. Class A | 367,997 | 5,601 | |||
York Water Co. | 145,426 | 4,659 | |||
Artesian Resources Corp. Class A | 94,546 | 3,207 | |||
Spark Energy Inc. Class A | 62,880 | 2,078 | |||
Delta Natural Gas Co. Inc. | 76,795 | 2,069 | |||
TerraForm Global Inc. Class A | 553,222 | 1,803 | |||
Genie Energy Ltd. Class B | 196,406 | 1,330 | |||
*,^ | Cadiz Inc. | 184,251 | 1,082 | ||
* | Pure Cycle Corp. | 183,843 | 866 | ||
*,^ | Vivint Solar Inc. | 237,967 | 731 | ||
* | US Geothermal Inc. | 663,033 | 543 | ||
RGC Resources Inc. | 17,135 | 416 | |||
Gas Natural Inc. | 45,709 | 320 | |||
Alliant Energy Corp. | 2,980 | 118 | |||
* | American DG Energy Inc. | 65,246 | 15 | ||
1,710,047 | |||||
Total Common Stocks (Cost $37,899,085) | 44,089,418 | ||||
Coupon | |||||
Temporary Cash Investments (1.8%)1 | |||||
Money Market Fund (1.8%) | |||||
3,4 | Vanguard Market Liquidity Fund | 0.538% | 800,896,751 | 800,897 | |
Face | |||||
Maturity | Amount | ||||
Date | ($000) | ||||
U.S. Government and Agency Obligations (0.0%) | |||||
5,6 | Federal Home Loan Bank Discount Notes | 0.350% | 7/8/16 | 600 | 600 |
5,6 | Federal Home Loan Bank Discount Notes | 0.516% | 8/31/16 | 5,000 | 4,997 |
5,6 | Federal Home Loan Bank Discount Notes | 0.420% | 9/9/16 | 1,400 | 1,399 |
6,996 | |||||
Total Temporary Cash Investments (Cost $807,891) | 807,893 | ||||
Total Investments (101.5%) (Cost $38,706,976) | 44,897,311 | ||||
Other Assets and Liabilities—Net (-1.5%)4 | (661,034) | ||||
Net Assets (100%) | 44,236,277 |
52
Vanguard® Extended Market Index Fund
Schedule of Investments
June 30, 2016
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $623,315,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts and 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
1.5%, 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 $661,231,000 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 $6,347,000 have been segregated as initial margin for open futures contracts.
CVR—Contingent Value Rights.
REIT—Real Estate Investment Trust.
53
© 2016 The Vanguard Group, Inc. All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA982 082016
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.4%)1 | |||
Basic Materials (2.4%) | |||
EI du Pont de Nemours & Co. | 17,404,443 | 1,127,808 | |
Dow Chemical Co. | 22,304,787 | 1,108,771 | |
Praxair Inc. | 5,664,496 | 636,633 | |
Ecolab Inc. | 5,256,108 | 623,374 | |
Air Products & Chemicals Inc. | 4,077,049 | 579,104 | |
PPG Industries Inc. | 5,279,785 | 549,890 | |
LyondellBasell Industries NV Class A | 6,808,859 | 506,715 | |
Newmont Mining Corp. | 10,619,725 | 415,444 | |
International Paper Co. | 8,152,466 | 345,502 | |
Nucor Corp. | 6,317,409 | 312,143 | |
Freeport-McMoRan Inc. | 22,498,375 | 250,632 | |
Alcoa Inc. | 26,144,169 | 242,356 | |
International Flavors & Fragrances Inc. | 1,584,468 | 199,754 | |
Celanese Corp. Class A | 2,909,093 | 190,400 | |
Eastman Chemical Co. | 2,776,070 | 188,495 | |
Mosaic Co. | 6,964,590 | 182,333 | |
Albemarle Corp. | 2,224,412 | 176,418 | |
Ashland Inc. | 1,256,463 | 144,204 | |
Avery Dennison Corp. | 1,766,747 | 132,064 | |
RPM International Inc. | 2,632,834 | 131,510 | |
FMC Corp. | 2,644,980 | 122,489 | |
Steel Dynamics Inc. | 4,570,782 | 111,984 | |
CF Industries Holdings Inc. | 4,614,541 | 111,210 | |
Reliance Steel & Aluminum Co. | 1,355,210 | 104,216 | |
WR Grace & Co. | 1,398,670 | 102,397 | |
Royal Gold Inc. | 1,301,086 | 93,704 | |
* | Axalta Coating Systems Ltd. | 3,299,600 | 87,538 |
NewMarket Corp. | 200,412 | 83,047 | |
Olin Corp. | 3,262,788 | 81,048 | |
^ | CONSOL Energy Inc. | 3,950,855 | 63,569 |
Scotts Miracle-Gro Co. Class A | 909,156 | 63,559 | |
Sensient Technologies Corp. | 879,082 | 62,450 | |
PolyOne Corp. | 1,682,461 | 59,290 | |
Huntsman Corp. | 4,101,214 | 55,161 | |
Cabot Corp. | 1,105,085 | 50,458 | |
Compass Minerals International Inc. | 669,589 | 49,677 | |
United States Steel Corp. | 2,895,478 | 48,818 | |
Axiall Corp. | 1,397,020 | 45,557 | |
US Silica Holdings Inc. | 1,292,105 | 44,539 | |
Domtar Corp. | 1,248,041 | 43,694 | |
HB Fuller Co. | 991,097 | 43,598 | |
Hecla Mining Co. | 7,722,520 | 39,385 | |
Minerals Technologies Inc. | 689,881 | 39,185 | |
Commercial Metals Co. | 2,272,864 | 38,411 | |
Worthington Industries Inc. | 876,102 | 37,059 | |
Balchem Corp. | 616,776 | 36,791 | |
* | GCP Applied Technologies Inc. | 1,396,900 | 36,375 |
* | Chemtura Corp. | 1,304,716 | 34,418 |
* | Cambrex Corp. | 642,009 | 33,211 |
Westlake Chemical Corp. | 772,197 | 33,143 | |
* | Coeur Mining Inc. | 3,108,861 | 33,140 |
Carpenter Technology Corp. | 949,795 | 31,277 | |
Kaiser Aluminum Corp. | 338,154 | 30,572 | |
Chemours Co. | 3,584,863 | 29,539 | |
* | Stillwater Mining Co. | 2,458,499 | 29,158 |
* | Ingevity Corp. | 831,720 | 28,312 |
^ | Allegheny Technologies Inc. | 2,166,648 | 27,625 |
* | Platform Specialty Products Corp. | 3,036,480 | 26,964 |
Neenah Paper Inc. | 328,723 | 23,790 | |
* | Clearwater Paper Corp. | 351,137 | 22,954 |
Stepan Co. | 380,284 | 22,638 |
1
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
KapStone Paper and Packaging Corp. | 1,720,130 | 22,379 | |
* | Ferro Corp. | 1,651,208 | 22,093 |
Quaker Chemical Corp. | 242,738 | 21,652 | |
* | AK Steel Holding Corp. | 4,521,892 | 21,072 |
Innospec Inc. | 442,203 | 20,337 | |
*,^ | Cliffs Natural Resources Inc. | 3,257,182 | 18,468 |
* | Kraton Performance Polymers Inc. | 610,816 | 17,060 |
PH Glatfelter Co. | 863,936 | 16,899 | |
* | Univar Inc. | 831,737 | 15,728 |
Innophos Holdings Inc. | 359,563 | 15,177 | |
Deltic Timber Corp. | 220,677 | 14,814 | |
A Schulman Inc. | 549,507 | 13,419 | |
Calgon Carbon Corp. | 1,019,035 | 13,400 | |
Aceto Corp. | 549,967 | 12,039 | |
* | Koppers Holdings Inc. | 381,171 | 11,713 |
Rayonier Advanced Materials Inc. | 856,133 | 11,635 | |
*,^ | Fairmount Santrol Holdings Inc. | 1,411,237 | 10,881 |
* | CSW Industrials Inc. | 306,115 | 9,982 |
Chase Corp. | 144,350 | 8,527 | |
American Vanguard Corp. | 556,720 | 8,412 | |
Tredegar Corp. | 504,359 | 8,130 | |
Haynes International Inc. | 245,859 | 7,887 | |
SunCoke Energy Inc. | 1,264,372 | 7,359 | |
Hawkins Inc. | 169,394 | 7,353 | |
* | Resolute Forest Products Inc. | 1,233,028 | 6,523 |
* | Century Aluminum Co. | 1,010,894 | 6,399 |
* | Veritiv Corp. | 155,790 | 5,855 |
* | OMNOVA Solutions Inc. | 758,640 | 5,500 |
Tronox Ltd. Class A | 1,205,697 | 5,317 | |
FutureFuel Corp. | 473,500 | 5,152 | |
Olympic Steel Inc. | 181,601 | 4,960 | |
* | LSB Industries Inc. | 375,481 | 4,536 |
KMG Chemicals Inc. | 164,843 | 4,284 | |
* | Ryerson Holding Corp. | 238,032 | 4,166 |
Gold Resource Corp. | 1,112,007 | 3,992 | |
* | Real Industry Inc. | 512,805 | 3,984 |
*,^ | Cloud Peak Energy Inc. | 1,698,486 | 3,499 |
* | Westmoreland Coal Co. | 349,140 | 3,324 |
*,^ | AgroFresh Solutions Inc. | 598,300 | 3,177 |
Kronos Worldwide Inc. | 483,204 | 2,537 | |
Ampco-Pittsburgh Corp. | 208,972 | 2,363 | |
*,^ | Ur-Energy Inc. | 3,804,358 | 2,256 |
*,^ | Senomyx Inc. | 814,946 | 2,241 |
*,^ | ChromaDex Corp. | 475,100 | 1,967 |
*,^ | Uranium Energy Corp. | 2,134,511 | 1,874 |
* | Intrepid Potash Inc. | 1,179,222 | 1,698 |
* | Codexis Inc. | 415,606 | 1,675 |
*,^ | VBI Vaccines Inc. | 358,275 | 1,415 |
* | Universal Stainless & Alloy Products Inc. | 129,650 | 1,413 |
Synalloy Corp. | 177,545 | 1,360 | |
Rentech Inc. | 506,989 | 1,217 | |
Hallador Energy Co. | 206,831 | 956 | |
*,^ | Uni-Pixel Inc. | 615,729 | 905 |
*,^ | Pershing Gold Corp. | 197,121 | 846 |
* | Northern Technologies International Corp. | 62,556 | 691 |
* | Comstock Mining Inc. | 1,753,166 | 612 |
* | Handy & Harman Ltd. | 20,280 | 531 |
*,^ | Golden Minerals Co. | 799,190 | 520 |
Friedman Industries Inc. | 86,825 | 506 | |
United-Guardian Inc. | 25,819 | 415 | |
* | General Moly Inc. | 1,063,551 | 367 |
*,^ | Centrus Energy Corp. Class A | 94,943 | 311 |
Empire Resources Inc. | 78,065 | 280 | |
* | Solitario Exploration & Royalty Corp. | 537,224 | 280 |
2
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | NL Industries Inc. | 92,843 | 239 |
*,^ | Marrone Bio Innovations Inc. | 288,282 | 236 |
* | Dynasil Corp. of America | 158,073 | 209 |
*,^ | Metabolix Inc. | 93,474 | 78 |
* | Ikonics Corp. | 6,410 | 71 |
* | TOR Minerals International Inc. | 2,580 | 12 |
10,642,665 | |||
Consumer Goods (10.6%) | |||
Procter & Gamble Co. | 52,944,257 | 4,482,790 | |
Coca-Cola Co. | 77,508,481 | 3,513,459 | |
Philip Morris International Inc. | 30,830,272 | 3,136,055 | |
PepsiCo Inc. | 28,707,633 | 3,041,287 | |
Altria Group Inc. | 38,917,522 | 2,683,752 | |
NIKE Inc. Class B | 26,503,367 | 1,462,986 | |
Mondelez International Inc. Class A | 29,370,162 | 1,336,636 | |
Colgate-Palmolive Co. | 17,739,376 | 1,298,522 | |
Kraft Heinz Co. | 12,114,795 | 1,071,917 | |
Kimberly-Clark Corp. | 7,153,941 | 983,524 | |
Ford Motor Co. | 78,012,117 | 980,612 | |
Reynolds American Inc. | 17,021,569 | 917,973 | |
Monsanto Co. | 8,709,451 | 900,644 | |
General Mills Inc. | 11,783,338 | 840,388 | |
General Motors Co. | 27,658,726 | 782,742 | |
Johnson Controls Inc. | 12,878,254 | 569,992 | |
Constellation Brands Inc. Class A | 3,326,183 | 550,151 | |
Archer-Daniels-Midland Co. | 11,739,738 | 503,517 | |
*,^ | Monster Beverage Corp. | 3,029,555 | 486,880 |
*,^ | Tesla Motors Inc. | 2,185,270 | 463,889 |
Newell Brands Inc. | 9,478,150 | 460,354 | |
* | Electronic Arts Inc. | 5,848,666 | 443,095 |
Activision Blizzard Inc. | 11,132,903 | 441,197 | |
ConAgra Foods Inc. | 8,628,208 | 412,515 | |
Estee Lauder Cos. Inc. Class A | 4,421,539 | 402,448 | |
Tyson Foods Inc. Class A | 5,967,179 | 398,548 | |
Kellogg Co. | 4,853,240 | 396,267 | |
Dr Pepper Snapple Group Inc. | 3,697,427 | 357,282 | |
Clorox Co. | 2,565,981 | 355,106 | |
Molson Coors Brewing Co. Class B | 3,447,818 | 348,678 | |
JM Smucker Co. | 2,251,973 | 343,223 | |
Delphi Automotive plc | 5,464,109 | 342,053 | |
Mead Johnson Nutrition Co. | 3,703,113 | 336,057 | |
Stanley Black & Decker Inc. | 3,007,152 | 334,455 | |
VF Corp. | 5,433,407 | 334,100 | |
Hershey Co. | 2,776,679 | 315,125 | |
Genuine Parts Co. | 2,829,956 | 286,533 | |
Campbell Soup Co. | 3,985,324 | 265,144 | |
Church & Dwight Co. Inc. | 2,556,139 | 263,001 | |
Whirlpool Corp. | 1,523,142 | 253,816 | |
McCormick & Co. Inc. | 2,276,999 | 242,887 | |
* | Mohawk Industries Inc. | 1,244,299 | 236,118 |
Coach Inc. | 5,562,165 | 226,603 | |
DR Horton Inc. | 7,058,796 | 222,211 | |
Mattel Inc. | 6,827,888 | 213,645 | |
Brown-Forman Corp. Class B | 1,932,005 | 192,737 | |
Hormel Foods Corp. | 5,256,669 | 192,394 | |
Hanesbrands Inc. | 7,512,649 | 188,793 | |
Hasbro Inc. | 2,229,520 | 187,257 | |
Ingredion Inc. | 1,422,424 | 184,076 | |
Snap-on Inc. | 1,149,264 | 181,377 | |
* | LKQ Corp. | 5,480,912 | 173,745 |
* | Michael Kors Holdings Ltd. | 3,398,691 | 168,167 |
Bunge Ltd. | 2,785,072 | 164,737 | |
Harley-Davidson Inc. | 3,630,679 | 164,470 | |
* | WhiteWave Foods Co. Class A | 3,494,901 | 164,051 |
3
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Lennar Corp. Class A | 3,488,189 | 160,806 | |
PVH Corp. | 1,615,990 | 152,275 | |
Lear Corp. | 1,468,482 | 149,433 | |
*,^ | Under Armour Inc. Class A | 3,609,585 | 144,853 |
*,^ | lululemon athletica Inc. | 1,890,584 | 139,639 |
* | Under Armour Inc. | 3,741,682 | 136,197 |
Leggett & Platt Inc. | 2,647,720 | 135,325 | |
Goodyear Tire & Rubber Co. | 5,263,020 | 135,049 | |
* | Middleby Corp. | 1,135,138 | 130,825 |
* | NVR Inc. | 73,294 | 130,488 |
BorgWarner Inc. | 4,373,468 | 129,105 | |
PulteGroup Inc. | 6,162,889 | 120,115 | |
* | TreeHouse Foods Inc. | 1,111,474 | 114,093 |
Leucadia National Corp. | 6,428,575 | 111,407 | |
Pinnacle Foods Inc. | 2,295,015 | 106,236 | |
Carter's Inc. | 970,946 | 103,377 | |
Ralph Lauren Corp. Class A | 1,145,952 | 102,700 | |
Harman International Industries Inc. | 1,402,299 | 100,713 | |
Polaris Industries Inc. | 1,225,993 | 100,237 | |
* | Post Holdings Inc. | 1,206,099 | 99,732 |
* | Edgewell Personal Care Co. | 1,177,524 | 99,395 |
* | WABCO Holdings Inc. | 1,065,486 | 97,567 |
* | Hain Celestial Group Inc. | 1,940,410 | 96,535 |
Gentex Corp. | 5,701,267 | 88,085 | |
Brunswick Corp. | 1,813,033 | 82,167 | |
* | Toll Brothers Inc. | 3,040,322 | 81,815 |
*,^ | Herbalife Ltd. | 1,390,342 | 81,377 |
* | Skechers U.S.A. Inc. Class A | 2,640,432 | 78,474 |
Pool Corp. | 808,455 | 76,019 | |
Flowers Foods Inc. | 3,686,877 | 69,129 | |
Energizer Holdings Inc. | 1,237,786 | 63,734 | |
Thor Industries Inc. | 929,471 | 60,174 | |
* | Take-Two Interactive Software Inc. | 1,577,273 | 59,810 |
B&G Foods Inc. | 1,239,043 | 59,722 | |
* | Tempur Sealy International Inc. | 1,057,330 | 58,491 |
* | Vista Outdoor Inc. | 1,209,646 | 57,736 |
* | Helen of Troy Ltd. | 556,634 | 57,244 |
CalAtlantic Group Inc. | 1,558,640 | 57,218 | |
Spectrum Brands Holdings Inc. | 467,374 | 55,762 | |
* | Kate Spade & Co. | 2,508,095 | 51,692 |
Snyder's-Lance Inc. | 1,509,418 | 51,154 | |
Nu Skin Enterprises Inc. Class A | 1,105,725 | 51,073 | |
* | Tenneco Inc. | 1,079,833 | 50,331 |
Lancaster Colony Corp. | 383,267 | 48,909 | |
* | Darling Ingredients Inc. | 3,247,526 | 48,388 |
* | Manitowoc Foodservice Inc. | 2,713,852 | 47,818 |
Tupperware Brands Corp. | 842,989 | 47,443 | |
Visteon Corp. | 688,744 | 45,326 | |
HNI Corp. | 886,886 | 41,231 | |
Vector Group Ltd. | 1,794,080 | 40,223 | |
Wolverine World Wide Inc. | 1,935,738 | 39,334 | |
Drew Industries Inc. | 463,482 | 39,322 | |
* | Steven Madden Ltd. | 1,115,338 | 38,122 |
* | Dorman Products Inc. | 660,690 | 37,791 |
Fresh Del Monte Produce Inc. | 678,331 | 36,922 | |
*,^ | Blue Buffalo Pet Products Inc. | 1,560,555 | 36,423 |
* | Zynga Inc. Class A | 14,454,580 | 35,992 |
* | G-III Apparel Group Ltd. | 786,428 | 35,955 |
J&J Snack Foods Corp. | 300,332 | 35,821 | |
* | Deckers Outdoor Corp. | 615,347 | 35,395 |
Herman Miller Inc. | 1,172,523 | 35,047 | |
* | TRI Pointe Group Inc. | 2,815,791 | 33,283 |
Avon Products Inc. | 8,768,218 | 33,144 | |
Cooper Tire & Rubber Co. | 1,096,211 | 32,689 |
4
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Sanderson Farms Inc. | 376,278 | 32,601 | |
Dean Foods Co. | 1,798,033 | 32,526 | |
*,^ | Fitbit Inc. Class A | 2,625,210 | 32,080 |
^ | Pilgrim's Pride Corp. | 1,255,790 | 31,998 |
Columbia Sportswear Co. | 551,484 | 31,732 | |
Dana Holding Corp. | 2,977,201 | 31,439 | |
WD-40 Co. | 267,447 | 31,412 | |
* | Tumi Holdings Inc. | 1,141,920 | 30,535 |
* | Boston Beer Co. Inc. Class A | 176,306 | 30,154 |
* | Meritage Homes Corp. | 762,338 | 28,618 |
La-Z-Boy Inc. | 987,565 | 27,474 | |
KB Home | 1,679,140 | 25,540 | |
^ | Coty Inc. Class A | 978,501 | 25,431 |
* | Cooper-Standard Holding Inc. | 321,744 | 25,415 |
* | Gentherm Inc. | 730,860 | 25,032 |
^ | Cal-Maine Foods Inc. | 557,829 | 24,723 |
Universal Corp. | 418,842 | 24,184 | |
*,^ | Wayfair Inc. | 614,421 | 23,962 |
* | Fossil Group Inc. | 804,154 | 22,943 |
Knoll Inc. | 909,087 | 22,073 | |
Steelcase Inc. Class A | 1,597,201 | 21,674 | |
Schweitzer-Mauduit International Inc. | 613,153 | 21,632 | |
* | ACCO Brands Corp. | 2,090,138 | 21,591 |
* | American Axle & Manufacturing Holdings Inc. | 1,441,699 | 20,876 |
* | Universal Electronics Inc. | 271,380 | 19,615 |
Calavo Growers Inc. | 292,281 | 19,583 | |
* | Select Comfort Corp. | 902,789 | 19,302 |
Interface Inc. Class A | 1,256,059 | 19,155 | |
* | iRobot Corp. | 542,215 | 19,021 |
Andersons Inc. | 523,321 | 18,599 | |
Callaway Golf Co. | 1,801,249 | 18,391 | |
* | TiVo Inc. | 1,818,815 | 18,006 |
MDC Holdings Inc. | 728,177 | 17,724 | |
*,^ | GoPro Inc. Class A | 1,637,255 | 17,699 |
Briggs & Stratton Corp. | 807,780 | 17,109 | |
Oxford Industries Inc. | 293,331 | 16,608 | |
Ethan Allen Interiors Inc. | 495,058 | 16,357 | |
* | Crocs Inc. | 1,393,655 | 15,720 |
* | Seaboard Corp. | 5,381 | 15,447 |
* | National Beverage Corp. | 244,345 | 15,347 |
* | Cavco Industries Inc. | 162,693 | 15,244 |
^ | Tootsie Roll Industries Inc. | 391,465 | 15,083 |
Standard Motor Products Inc. | 378,410 | 15,053 | |
Nutrisystem Inc. | 571,899 | 14,503 | |
Coca-Cola Bottling Co. Consolidated | 93,205 | 13,745 | |
Superior Industries International Inc. | 478,367 | 12,811 | |
* | USANA Health Sciences Inc. | 113,338 | 12,629 |
Winnebago Industries Inc. | 525,619 | 12,047 | |
* | Nautilus Inc. | 631,757 | 11,271 |
*,^ | LGI Homes Inc. | 336,382 | 10,744 |
* | Central Garden & Pet Co. Class A | 490,163 | 10,641 |
Lennar Corp. Class B | 270,603 | 10,080 | |
Inter Parfums Inc. | 352,729 | 10,077 | |
National Presto Industries Inc. | 103,769 | 9,791 | |
* | Motorcar Parts of America Inc. | 359,026 | 9,758 |
* | Taylor Morrison Home Corp. Class A | 612,893 | 9,095 |
Orchids Paper Products Co. | 253,675 | 9,023 | |
MGP Ingredients Inc. | 234,915 | 8,981 | |
*,^ | Amplify Snack Brands Inc. | 600,698 | 8,860 |
* | DTS Inc. | 328,294 | 8,683 |
* | Modine Manufacturing Co. | 941,943 | 8,289 |
* | M/I Homes Inc. | 439,403 | 8,274 |
Tower International Inc. | 391,870 | 8,065 | |
* | Unifi Inc. | 292,694 | 7,970 |
5
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Stoneridge Inc. | 524,814 | 7,841 |
* | Central Garden & Pet Co. | 338,743 | 7,733 |
* | Omega Protein Corp. | 384,448 | 7,685 |
* | Eastman Kodak Co. | 473,245 | 7,610 |
*,^ | William Lyon Homes Class A | 461,414 | 7,438 |
* | Revlon Inc. Class A | 224,482 | 7,224 |
* | WCI Communities Inc. | 424,199 | 7,169 |
Medifast Inc. | 208,294 | 6,930 | |
* | Fox Factory Holding Corp. | 391,143 | 6,794 |
John B Sanfilippo & Son Inc. | 159,080 | 6,782 | |
Phibro Animal Health Corp. Class A | 363,049 | 6,774 | |
Movado Group Inc. | 311,612 | 6,756 | |
* | Primo Water Corp. | 565,387 | 6,677 |
Libbey Inc. | 400,976 | 6,372 | |
*,^ | Iconix Brand Group Inc. | 903,174 | 6,105 |
Kimball International Inc. Class B | 534,575 | 6,083 | |
* | Elizabeth Arden Inc. | 431,401 | 5,936 |
* | Century Communities Inc. | 339,655 | 5,890 |
*,^ | Sequential Brands Group Inc. | 727,728 | 5,807 |
* | Federal-Mogul Holdings Corp. | 691,040 | 5,743 |
* | Beazer Homes USA Inc. | 713,885 | 5,533 |
Titan International Inc. | 888,849 | 5,511 | |
* | Vera Bradley Inc. | 373,763 | 5,296 |
Culp Inc. | 186,129 | 5,143 | |
Flexsteel Industries Inc. | 125,954 | 4,990 | |
Bassett Furniture Industries Inc. | 206,247 | 4,938 | |
Hooker Furniture Corp. | 215,734 | 4,636 | |
* | Perry Ellis International Inc. | 225,917 | 4,545 |
*,^ | Glu Mobile Inc. | 2,063,602 | 4,540 |
Arctic Cat Inc. | 260,036 | 4,421 | |
* | Malibu Boats Inc. Class A | 359,040 | 4,337 |
*,^ | Hovnanian Enterprises Inc. Class A | 2,461,308 | 4,135 |
* | Seneca Foods Corp. Class A | 112,211 | 4,063 |
* | Freshpet Inc. | 430,093 | 4,013 |
Metaldyne Performance Group Inc. | 277,778 | 3,819 | |
* | Inventure Foods Inc. | 476,425 | 3,721 |
* | Lifevantage Corp. | 260,365 | 3,541 |
* | Nutraceutical International Corp. | 151,045 | 3,497 |
Superior Uniform Group Inc. | 178,068 | 3,399 | |
* | Skullcandy Inc. | 542,649 | 3,332 |
* | Farmer Brothers Co. | 103,802 | 3,328 |
Oil-Dri Corp. of America | 95,357 | 3,293 | |
^ | Limoneira Co. | 180,588 | 3,182 |
*,^ | JAKKS Pacific Inc. | 401,411 | 3,175 |
Weyco Group Inc. | 112,378 | 3,122 | |
*,^ | Jamba Inc. | 302,290 | 3,111 |
* | Craft Brew Alliance Inc. | 269,268 | 3,102 |
* | ZAGG Inc. | 575,436 | 3,021 |
* | Core Molding Technologies Inc. | 198,934 | 2,715 |
Strattec Security Corp. | 60,661 | 2,473 | |
* | Delta Apparel Inc. | 107,968 | 2,435 |
*,^ | Vuzix Corp. | 317,197 | 2,395 |
* | Alliance One International Inc. | 150,529 | 2,318 |
*,^ | Fenix Parts Inc. | 586,404 | 2,305 |
A-Mark Precious Metals Inc. | 141,350 | 2,287 | |
Lifetime Brands Inc. | 156,084 | 2,277 | |
* | Vince Holding Corp. | 403,464 | 2,211 |
* | New Home Co. Inc. | 228,243 | 2,177 |
* | Cherokee Inc. | 181,002 | 2,011 |
Crown Crafts Inc. | 207,921 | 1,967 | |
* | Black Diamond Inc. | 465,414 | 1,927 |
MCBC Holdings Inc. | 166,865 | 1,844 | |
Rocky Brands Inc. | 157,891 | 1,803 | |
Johnson Outdoors Inc. Class A | 69,864 | 1,795 |
6
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | Castle Brands Inc. | 2,108,960 | 1,545 |
Nature's Sunshine Products Inc. | 160,581 | 1,530 | |
*,^ | Skyline Corp. | 159,497 | 1,499 |
Escalade Inc. | 143,864 | 1,473 | |
Alico Inc. | 47,911 | 1,449 | |
Marine Products Corp. | 166,467 | 1,408 | |
* | US Foods Holding Corp. | 56,400 | 1,367 |
* | Lakeland Industries Inc. | 154,531 | 1,340 |
LS Starrett Co. Class A | 104,172 | 1,241 | |
* | Shiloh Industries Inc. | 157,208 | 1,146 |
* | Dixie Group Inc. | 312,289 | 1,112 |
* | US Auto Parts Network Inc. | 280,005 | 1,106 |
Acme United Corp. | 59,133 | 1,082 | |
Unique Fabricating Inc. | 77,699 | 1,040 | |
* | S&W Seed Co. | 238,448 | 1,040 |
* | Virco Manufacturing Corp. | 213,290 | 928 |
* | Lifeway Foods Inc. | 95,840 | 927 |
*,^ | Lipocine Inc. | 300,426 | 913 |
Rocky Mountain Chocolate Factory Inc. | 85,274 | 866 | |
* | Mannatech Inc. | 39,456 | 799 |
* | Natural Alternatives International Inc. | 66,931 | 739 |
Kewaunee Scientific Corp. | 38,665 | 730 | |
* | Tandy Leather Factory Inc. | 93,919 | 668 |
*,^ | 22nd Century Group Inc. | 757,516 | 615 |
* | Coffee Holding Co. Inc. | 108,152 | 611 |
* | Stanley Furniture Co. Inc. | 231,674 | 568 |
* | Female Health Co. | 440,343 | 555 |
* | Zedge Inc. Class B | 112,961 | 518 |
* | Willamette Valley Vineyards Inc. | 54,333 | 456 |
* | Reed's Inc. | 164,631 | 407 |
* | Alpha Pro Tech Ltd. | 170,806 | 388 |
* | Summer Infant Inc. | 163,915 | 272 |
* | Charles & Colvard Ltd. | 233,777 | 238 |
* | RiceBran Technologies | 114,553 | 189 |
P&F Industries Inc. Class A | 18,458 | 173 | |
*,^ | DS Healthcare Group Inc. | 231,016 | 152 |
* | Cyanotech Corp. | 23,466 | 125 |
* | Emerson Radio Corp. | 183,685 | 106 |
* | CTI Industries Corp. | 13,546 | 91 |
* | CCA Industries Inc. | 27,573 | 90 |
* | Differential Brands Group Inc. | 27,985 | 84 |
Golden Enterprises Inc. | 11,210 | 81 | |
* | Tofutti Brands Inc. | 34,800 | 73 |
* | JRjr33 Inc. | 80,833 | 73 |
* | Nova Lifestyle Inc. | 171,576 | 72 |
CompX International Inc. | 5,846 | 67 | |
* | Crystal Rock Holdings Inc. | 60,050 | 41 |
* | Hovnanian Enterprises Inc. Class B | 19,300 | 32 |
* | Koss Corp. | 12,072 | 25 |
Ocean Bio-Chem Inc. | 9,942 | 23 | |
* | Bridgford Foods Corp. | 57 | 1 |
46,617,020 | |||
Consumer Services (13.3%) | |||
* | Amazon.com Inc. | 8,004,634 | 5,728,276 |
Home Depot Inc. | 24,769,292 | 3,162,791 | |
Comcast Corp. Class A | 48,088,860 | 3,134,913 | |
Walt Disney Co. | 29,015,682 | 2,838,314 | |
McDonald's Corp. | 17,513,487 | 2,107,573 | |
Wal-Mart Stores Inc. | 28,195,092 | 2,058,806 | |
CVS Health Corp. | 21,341,786 | 2,043,263 | |
Starbucks Corp. | 27,787,247 | 1,587,208 | |
Walgreens Boots Alliance Inc. | 17,216,117 | 1,433,586 | |
Lowe's Cos. Inc. | 17,846,832 | 1,412,934 | |
Costco Wholesale Corp. | 8,722,790 | 1,369,827 |
7
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Priceline Group Inc. | 988,976 | 1,234,648 |
Time Warner Inc. | 14,845,364 | 1,091,728 | |
TJX Cos. Inc. | 12,520,921 | 966,991 | |
* | Charter Communications Inc. Class A | 3,984,729 | 911,068 |
McKesson Corp. | 4,493,325 | 838,679 | |
Target Corp. | 11,744,430 | 819,996 | |
* | Netflix Inc. | 8,120,881 | 742,898 |
Twenty-First Century Fox Inc. Class A | 26,857,730 | 726,502 | |
Kroger Co. | 18,952,181 | 697,251 | |
Yum! Brands Inc. | 7,700,017 | 638,485 | |
Delta Air Lines Inc. | 15,420,342 | 561,763 | |
* | eBay Inc. | 21,855,142 | 511,629 |
Sysco Corp. | 10,074,951 | 511,203 | |
Cardinal Health Inc. | 6,505,736 | 507,512 | |
Southwest Airlines Co. | 12,788,755 | 501,447 | |
* | O'Reilly Automotive Inc. | 1,817,653 | 492,766 |
Dollar General Corp. | 5,162,079 | 485,235 | |
* | AutoZone Inc. | 596,530 | 473,549 |
Ross Stores Inc. | 8,025,084 | 454,942 | |
CBS Corp. Class B | 8,061,139 | 438,848 | |
* | Dollar Tree Inc. | 4,477,235 | 421,935 |
Omnicom Group Inc. | 4,735,524 | 385,898 | |
Nielsen Holdings plc | 6,799,801 | 353,386 | |
Carnival Corp. | 7,884,286 | 348,485 | |
Las Vegas Sands Corp. | 7,992,514 | 347,594 | |
L Brands Inc. | 4,876,772 | 327,378 | |
American Airlines Group Inc. | 11,488,268 | 325,233 | |
Viacom Inc. Class B | 7,118,867 | 295,219 | |
AmerisourceBergen Corp. Class A | 3,698,174 | 293,339 | |
* | Ulta Salon Cosmetics & Fragrance Inc. | 1,186,371 | 289,047 |
Starwood Hotels & Resorts Worldwide Inc. | 3,358,846 | 248,387 | |
* | United Continental Holdings Inc. | 6,046,318 | 248,141 |
Expedia Inc. | 2,328,712 | 247,542 | |
Hilton Worldwide Holdings Inc. | 10,925,583 | 246,153 | |
Tractor Supply Co. | 2,644,196 | 241,098 | |
* | Chipotle Mexican Grill Inc. Class A | 580,929 | 233,975 |
Royal Caribbean Cruises Ltd. | 3,455,797 | 232,057 | |
* | DISH Network Corp. Class A | 4,262,405 | 223,350 |
Advance Auto Parts Inc. | 1,377,645 | 222,669 | |
* | Liberty Interactive Corp. QVC Group Class A | 8,767,029 | 222,420 |
* | MGM Resorts International | 9,650,617 | 218,393 |
^ | Marriott International Inc. Class A | 3,119,165 | 207,300 |
Whole Foods Market Inc. | 6,467,878 | 207,101 | |
Macy's Inc. | 6,109,063 | 205,326 | |
*,^ | CarMax Inc. | 3,825,806 | 187,579 |
Interpublic Group of Cos. Inc. | 7,992,013 | 184,616 | |
Best Buy Co. Inc. | 5,481,293 | 167,728 | |
Wyndham Worldwide Corp. | 2,217,494 | 157,952 | |
Aramark | 4,703,924 | 157,205 | |
* | Rite Aid Corp. | 20,688,581 | 154,957 |
* | IHS Inc. Class A | 1,314,019 | 151,914 |
Darden Restaurants Inc. | 2,373,118 | 150,313 | |
Foot Locker Inc. | 2,707,143 | 148,514 | |
Wynn Resorts Ltd. | 1,620,175 | 146,853 | |
* | TripAdvisor Inc. | 2,239,009 | 143,968 |
Alaska Air Group Inc. | 2,462,162 | 143,519 | |
Kohl's Corp. | 3,710,867 | 140,716 | |
* | Sirius XM Holdings Inc. | 34,995,268 | 138,231 |
Domino's Pizza Inc. | 995,581 | 130,799 | |
Tiffany & Co. | 2,115,554 | 128,287 | |
Signet Jewelers Ltd. | 1,552,704 | 127,958 | |
Bed Bath & Beyond Inc. | 2,953,453 | 127,648 | |
* | Norwegian Cruise Line Holdings Ltd. | 3,151,139 | 125,541 |
FactSet Research Systems Inc. | 772,404 | 124,681 |
8
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Discovery Communications Inc. | 4,909,564 | 117,093 |
* | Liberty SiriusXM Group Class C | 3,701,006 | 114,250 |
KAR Auction Services Inc. | 2,719,360 | 113,506 | |
Staples Inc. | 12,763,910 | 110,025 | |
News Corp. Class A | 9,552,605 | 108,422 | |
Sabre Corp. | 4,005,803 | 107,315 | |
* | ServiceMaster Global Holdings Inc. | 2,683,255 | 106,794 |
* | JetBlue Airways Corp. | 6,379,259 | 105,641 |
H&R Block Inc. | 4,543,278 | 104,495 | |
* | VCA Inc. | 1,511,813 | 102,214 |
TEGNA Inc. | 4,375,018 | 101,369 | |
Casey's General Stores Inc. | 770,427 | 101,319 | |
Scripps Networks Interactive Inc. Class A | 1,597,165 | 99,455 | |
Service Corp. International | 3,656,827 | 98,881 | |
Vail Resorts Inc. | 714,764 | 98,802 | |
* | Copart Inc. | 1,993,527 | 97,703 |
* | Burlington Stores Inc. | 1,450,692 | 96,776 |
* | Panera Bread Co. Class A | 451,403 | 95,670 |
Gap Inc. | 4,366,786 | 92,663 | |
Nordstrom Inc. | 2,398,605 | 91,267 | |
Dun & Bradstreet Corp. | 712,559 | 86,818 | |
Six Flags Entertainment Corp. | 1,467,808 | 85,059 | |
* | Sally Beauty Holdings Inc. | 2,888,321 | 84,946 |
Williams-Sonoma Inc. | 1,592,370 | 83,010 | |
^ | Cracker Barrel Old Country Store Inc. | 470,226 | 80,630 |
* | Hertz Global Holdings Inc. | 7,255,521 | 80,319 |
Twenty-First Century Fox Inc. | 2,923,006 | 79,652 | |
Dunkin' Brands Group Inc. | 1,801,865 | 78,597 | |
Dick's Sporting Goods Inc. | 1,712,462 | 77,164 | |
Cinemark Holdings Inc. | 2,069,956 | 75,471 | |
* | AMC Networks Inc. Class A | 1,209,330 | 73,068 |
* | Discovery Communications Inc. Class A | 2,798,070 | 70,595 |
* | Madison Square Garden Co. Class A | 397,887 | 68,639 |
* | AutoNation Inc. | 1,438,027 | 67,559 |
* | Sprouts Farmers Market Inc. | 2,815,716 | 64,480 |
* | Spirit Airlines Inc. | 1,435,146 | 64,395 |
CST Brands Inc. | 1,489,807 | 64,181 | |
* | Live Nation Entertainment Inc. | 2,687,180 | 63,149 |
Tribune Media Co. Class A | 1,581,778 | 61,974 | |
* | Liberty SiriusXM Group | 1,962,268 | 61,537 |
* | Bright Horizons Family Solutions Inc. | 868,439 | 57,586 |
* | DreamWorks Animation SKG Inc. Class A | 1,406,152 | 57,469 |
Jack in the Box Inc. | 662,535 | 56,925 | |
Texas Roadhouse Inc. Class A | 1,248,294 | 56,922 | |
Rollins Inc. | 1,942,244 | 56,849 | |
* | Murphy USA Inc. | 755,307 | 56,014 |
* | Avis Budget Group Inc. | 1,720,405 | 55,449 |
* | Pandora Media Inc. | 4,397,623 | 54,750 |
GameStop Corp. Class A | 2,054,828 | 54,617 | |
* | Beacon Roofing Supply Inc. | 1,160,770 | 52,780 |
* | Michaels Cos. Inc. | 1,845,235 | 52,478 |
*,^ | JC Penney Co. Inc. | 5,892,594 | 52,326 |
Brinker International Inc. | 1,144,635 | 52,115 | |
American Eagle Outfitters Inc. | 3,261,876 | 51,962 | |
* | Buffalo Wild Wings Inc. | 369,081 | 51,284 |
* | Five Below Inc. | 1,102,509 | 51,167 |
*,^ | GrubHub Inc. | 1,645,628 | 51,130 |
* | Starz | 1,703,770 | 50,977 |
John Wiley & Sons Inc. Class A | 967,407 | 50,479 | |
Big Lots Inc. | 975,129 | 48,864 | |
Dolby Laboratories Inc. Class A | 998,651 | 47,785 | |
Cable One Inc. | 92,901 | 47,511 | |
* | Cabela's Inc. | 936,807 | 46,897 |
* | Urban Outfitters Inc. | 1,649,886 | 45,372 |
9
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
AMERCO | 119,773 | 44,861 | |
Graham Holdings Co. Class B | 91,470 | 44,778 | |
* | United Natural Foods Inc. | 942,341 | 44,102 |
Chemed Corp. | 317,075 | 43,220 | |
Cheesecake Factory Inc. | 874,746 | 42,110 | |
* | WebMD Health Corp. | 723,458 | 42,040 |
Bloomin' Brands Inc. | 2,348,938 | 41,976 | |
Wendy's Co. | 4,309,394 | 41,456 | |
Core-Mark Holding Co. Inc. | 873,862 | 40,949 | |
* | Yelp Inc. Class A | 1,327,952 | 40,317 |
Allegiant Travel Co. Class A | 265,129 | 40,167 | |
Sinclair Broadcast Group Inc. Class A | 1,344,358 | 40,143 | |
Lions Gate Entertainment Corp. | 1,977,957 | 40,014 | |
* | Hawaiian Holdings Inc. | 1,029,015 | 39,061 |
Meredith Corp. | 746,512 | 38,751 | |
* | Houghton Mifflin Harcourt Co. | 2,472,328 | 38,642 |
Monro Muffler Brake Inc. | 604,292 | 38,409 | |
PriceSmart Inc. | 393,333 | 36,804 | |
* | Grand Canyon Education Inc. | 917,990 | 36,646 |
* | Office Depot Inc. | 10,874,891 | 35,996 |
Papa John's International Inc. | 526,831 | 35,825 | |
Interval Leisure Group Inc. | 2,252,582 | 35,816 | |
* | Dave & Buster's Entertainment Inc. | 755,926 | 35,370 |
^ | Regal Entertainment Group Class A | 1,580,170 | 34,827 |
Matthews International Corp. Class A | 609,928 | 33,936 | |
Churchill Downs Inc. | 268,283 | 33,900 | |
GNC Holdings Inc. Class A | 1,384,301 | 33,625 | |
Hillenbrand Inc. | 1,102,391 | 33,116 | |
* | Acxiom Corp. | 1,482,495 | 32,600 |
* | Media General Inc. | 1,865,471 | 32,067 |
Gannett Co. Inc. | 2,305,759 | 31,843 | |
Lithia Motors Inc. Class A | 443,654 | 31,530 | |
Aaron's Inc. | 1,437,360 | 31,464 | |
Children's Place Inc. | 391,608 | 31,399 | |
Morningstar Inc. | 380,818 | 31,143 | |
Time Inc. | 1,882,391 | 30,984 | |
*,^ | SolarCity Corp. | 1,284,052 | 30,727 |
*,^ | Diplomat Pharmacy Inc. | 873,911 | 30,587 |
Choice Hotels International Inc. | 638,943 | 30,426 | |
HSN Inc. | 615,975 | 30,140 | |
New York Times Co. Class A | 2,484,454 | 30,062 | |
^ | Sotheby's | 1,085,981 | 29,756 |
* | Liberty TripAdvisor Holdings Inc. Class A | 1,345,841 | 29,447 |
* | Shutterfly Inc. | 616,779 | 28,748 |
DineEquity Inc. | 335,525 | 28,446 | |
* | Boyd Gaming Corp. | 1,536,529 | 28,272 |
DSW Inc. Class A | 1,323,819 | 28,038 | |
* | Genesco Inc. | 434,054 | 27,914 |
Chico's FAS Inc. | 2,604,623 | 27,896 | |
* | Stamps.com Inc. | 315,782 | 27,606 |
^ | Nexstar Broadcasting Group Inc. Class A | 569,506 | 27,097 |
*,^ | Groupon Inc. Class A | 8,088,205 | 26,287 |
* | Krispy Kreme Doughnuts Inc. | 1,229,022 | 25,760 |
*,^ | Diamond Resorts International Inc. | 857,337 | 25,686 |
SkyWest Inc. | 969,856 | 25,662 | |
* | Hyatt Hotels Corp. Class A | 514,810 | 25,298 |
* | SUPERVALU Inc. | 5,344,931 | 25,228 |
Penske Automotive Group Inc. | 794,544 | 24,996 | |
Sonic Corp. | 910,401 | 24,626 | |
* | Caesars Acquisition Co. Class A | 2,167,776 | 24,322 |
* | Ascena Retail Group Inc. | 3,472,846 | 24,275 |
Marriott Vacations Worldwide Corp. | 351,310 | 24,061 | |
* | Popeyes Louisiana Kitchen Inc. | 439,240 | 24,000 |
Abercrombie & Fitch Co. | 1,311,307 | 23,354 |
10
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Dillard's Inc. Class A | 376,993 | 22,846 | |
* | Ollie's Bargain Outlet Holdings Inc. | 895,998 | 22,301 |
* | Express Inc. | 1,531,118 | 22,217 |
* | comScore Inc. | 911,924 | 21,777 |
Extended Stay America Inc. | 1,449,823 | 21,675 | |
*,^ | Restoration Hardware Holdings Inc. | 753,021 | 21,597 |
* | Asbury Automotive Group Inc. | 409,059 | 21,574 |
SpartanNash Co. | 700,345 | 21,417 | |
Group 1 Automotive Inc. | 412,564 | 20,364 | |
DeVry Education Group Inc. | 1,115,722 | 19,904 | |
* | Performance Food Group Co. | 738,752 | 19,880 |
* | Virgin America Inc. | 351,606 | 19,764 |
Caleres Inc. | 815,469 | 19,743 | |
* | La Quinta Holdings Inc. | 1,725,406 | 19,670 |
* | Penn National Gaming Inc. | 1,401,812 | 19,555 |
SeaWorld Entertainment Inc. | 1,316,777 | 18,869 | |
Cato Corp. Class A | 492,308 | 18,570 | |
Scholastic Corp. | 462,497 | 18,320 | |
* | Liberty Media Group | 958,845 | 18,189 |
* | EW Scripps Co. Class A | 1,143,635 | 18,115 |
*,^ | Quotient Technology Inc. | 1,343,077 | 18,011 |
MDC Partners Inc. Class A | 981,363 | 17,949 | |
National CineMedia Inc. | 1,149,576 | 17,795 | |
* | MSG Networks Inc. | 1,149,971 | 17,641 |
Finish Line Inc. Class A | 866,044 | 17,485 | |
Guess? Inc. | 1,148,010 | 17,278 | |
International Speedway Corp. Class A | 512,177 | 17,132 | |
* | Etsy Inc. | 1,781,302 | 17,083 |
* | Belmond Ltd. Class A | 1,703,095 | 16,861 |
* | BJ's Restaurants Inc. | 383,956 | 16,829 |
* | Denny's Corp. | 1,544,056 | 16,568 |
* | Apollo Education Group Inc. | 1,813,592 | 16,540 |
* | Rush Enterprises Inc. Class A | 748,377 | 16,128 |
*,^ | Hibbett Sports Inc. | 457,291 | 15,909 |
ClubCorp Holdings Inc. | 1,205,002 | 15,665 | |
Bob Evans Farms Inc. | 408,009 | 15,484 | |
* | Vitamin Shoppe Inc. | 504,338 | 15,418 |
New Media Investment Group Inc. | 835,580 | 15,099 | |
^ | Buckle Inc. | 574,131 | 14,922 |
* | Carmike Cinemas Inc. | 463,420 | 13,958 |
* | Tile Shop Holdings Inc. | 671,574 | 13,351 |
* | Gray Television Inc. | 1,226,436 | 13,307 |
Barnes & Noble Inc. | 1,155,951 | 13,120 | |
*,^ | Zoe's Kitchen Inc. | 359,009 | 13,021 |
* | Pinnacle Entertainment Inc. | 1,138,864 | 12,619 |
* | Red Robin Gourmet Burgers Inc. | 265,397 | 12,588 |
Rent-A-Center Inc. | 1,020,822 | 12,536 | |
Weis Markets Inc. | 243,066 | 12,287 | |
Tailored Brands Inc. | 950,691 | 12,036 | |
AMC Entertainment Holdings Inc. | 432,096 | 11,930 | |
*,^ | Mattress Firm Holding Corp. | 353,087 | 11,846 |
Capella Education Co. | 219,659 | 11,563 | |
Fred's Inc. Class A | 713,406 | 11,493 | |
* | Providence Service Corp. | 255,750 | 11,478 |
* | Fiesta Restaurant Group Inc. | 523,183 | 11,411 |
* | Red Rock Resorts Inc. Class A | 511,769 | 11,249 |
* | Chuy's Holdings Inc. | 319,157 | 11,046 |
^ | World Wrestling Entertainment Inc. Class A | 595,578 | 10,965 |
*,^ | Shake Shack Inc. Class A | 295,748 | 10,774 |
Ruth's Hospitality Group Inc. | 644,623 | 10,282 | |
* | Rubicon Project Inc. | 746,189 | 10,185 |
Ingles Markets Inc. Class A | 272,714 | 10,172 | |
* | Liberty Braves Group | 678,352 | 9,945 |
* | Planet Fitness Inc. Class A | 518,005 | 9,780 |
11
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | Scientific Games Corp. Class A | 1,063,147 | 9,770 |
* | Strayer Education Inc. | 197,104 | 9,684 |
Sonic Automotive Inc. Class A | 555,672 | 9,508 | |
* | SP Plus Corp. | 398,223 | 8,992 |
* | Isle of Capri Casinos Inc. | 490,151 | 8,980 |
* | FTD Cos. Inc. | 358,894 | 8,958 |
* | Francesca's Holdings Corp. | 810,520 | 8,956 |
* | Liberty Media Group Class A | 463,519 | 8,872 |
*,^ | Caesars Entertainment Corp. | 1,145,628 | 8,810 |
* | Regis Corp. | 705,827 | 8,788 |
* | Biglari Holdings Inc. | 21,729 | 8,764 |
* | Smart & Final Stores Inc. | 584,381 | 8,701 |
*,^ | TrueCar Inc. | 1,107,601 | 8,695 |
* | MarineMax Inc. | 502,135 | 8,521 |
* | American Public Education Inc. | 293,861 | 8,257 |
* | Eldorado Resorts Inc. | 534,439 | 8,121 |
Pier 1 Imports Inc. | 1,576,123 | 8,101 | |
* | XO Group Inc. | 458,324 | 7,989 |
* | Bankrate Inc. | 1,056,762 | 7,905 |
* | Carrols Restaurant Group Inc. | 662,972 | 7,889 |
Entravision Communications Corp. Class A | 1,167,284 | 7,844 | |
* | K12 Inc. | 624,425 | 7,799 |
*,^ | Lumber Liquidators Holdings Inc. | 498,183 | 7,682 |
* | Career Education Corp. | 1,285,035 | 7,646 |
* | Wingstop Inc. | 279,080 | 7,605 |
* | Barnes & Noble Education Inc. | 729,243 | 7,402 |
Shoe Carnival Inc. | 289,094 | 7,245 | |
* | tronc Inc. | 523,109 | 7,219 |
Marcus Corp. | 336,034 | 7,090 | |
PetMed Express Inc. | 371,851 | 6,976 | |
* | Party City Holdco Inc. | 489,724 | 6,812 |
*,^ | Sears Holdings Corp. | 489,174 | 6,658 |
* | Chefs' Warehouse Inc. | 410,907 | 6,575 |
* | RetailMeNot Inc. | 850,483 | 6,557 |
* | Del Frisco's Restaurant Group Inc. | 456,865 | 6,542 |
*,^ | Weight Watchers International Inc. | 557,180 | 6,480 |
Haverty Furniture Cos. Inc. | 349,016 | 6,293 | |
* | Tuesday Morning Corp. | 871,762 | 6,120 |
*,^ | Chegg Inc. | 1,200,723 | 6,004 |
* | Global Eagle Entertainment Inc. | 902,780 | 5,994 |
* | Potbelly Corp. | 477,168 | 5,984 |
* | Clean Energy Fuels Corp. | 1,724,306 | 5,983 |
* | Care.com Inc. | 505,197 | 5,901 |
*,^ | Lands' End Inc. | 355,443 | 5,836 |
Blue Nile Inc. | 212,080 | 5,807 | |
* | Del Taco Restaurants Inc. | 625,400 | 5,691 |
Entercom Communications Corp. Class A | 419,336 | 5,690 | |
* | Zumiez Inc. | 392,083 | 5,611 |
* | 1-800-Flowers.com Inc. Class A | 621,876 | 5,609 |
*,^ | El Pollo Loco Holdings Inc. | 429,497 | 5,583 |
* | Angie's List Inc. | 852,141 | 5,547 |
Carriage Services Inc. Class A | 232,657 | 5,509 | |
* | Overstock.com Inc. | 331,512 | 5,341 |
* | Sportsman's Warehouse Holdings Inc. | 619,529 | 4,993 |
Village Super Market Inc. Class A | 169,481 | 4,896 | |
* | Lindblad Expeditions Holdings Inc. | 499,400 | 4,809 |
^ | Natural Health Trends Corp. | 169,994 | 4,792 |
*,^ | Trupanion Inc. | 347,853 | 4,609 |
* | Daily Journal Corp. | 19,399 | 4,597 |
News Corp. Class B | 391,510 | 4,569 | |
* | Monarch Casino & Resort Inc. | 206,665 | 4,540 |
* | Kirkland's Inc. | 305,224 | 4,481 |
Winmark Corp. | 44,738 | 4,459 | |
Citi Trends Inc. | 287,018 | 4,457 |
12
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Stein Mart Inc. | 575,895 | 4,446 | |
*,^ | Intrawest Resorts Holdings Inc. | 341,050 | 4,427 |
* | America's Car-Mart Inc. | 154,707 | 4,369 |
Clear Channel Outdoor Holdings Inc. Class A | 700,990 | 4,360 | |
* | J Alexander's Holdings Inc. | 438,421 | 4,354 |
* | Avid Technology Inc. | 738,015 | 4,288 |
*,^ | TubeMogul Inc. | 350,840 | 4,175 |
* | Duluth Holdings Inc. | 167,815 | 4,105 |
* | Ruby Tuesday Inc. | 1,120,219 | 4,044 |
* | Gaiam Inc. Class A | 515,381 | 3,989 |
CSS Industries Inc. | 148,767 | 3,988 | |
Speedway Motorsports Inc. | 222,021 | 3,941 | |
* | Build-A-Bear Workshop Inc. | 276,967 | 3,717 |
* | Liquidity Services Inc. | 468,771 | 3,675 |
* | Titan Machinery Inc. | 326,965 | 3,646 |
*,^ | Habit Restaurants Inc. Class A | 222,181 | 3,639 |
* | Ascent Capital Group Inc. Class A | 223,581 | 3,441 |
Big 5 Sporting Goods Corp. | 365,032 | 3,384 | |
*,^ | Conn's Inc. | 440,696 | 3,314 |
* | Reading International Inc. Class A | 261,820 | 3,270 |
* | Destination XL Group Inc. | 687,306 | 3,141 |
* | Bravo Brio Restaurant Group Inc. | 383,080 | 3,137 |
* | Everyday Health Inc. | 393,382 | 3,100 |
* | Bojangles' Inc. | 165,810 | 2,810 |
Stage Stores Inc. | 574,678 | 2,804 | |
Saga Communications Inc. Class A | 70,337 | 2,781 | |
RCI Hospitality Holdings Inc. | 271,803 | 2,770 | |
* | Nathan's Famous Inc. | 60,499 | 2,692 |
* | Autobytel Inc. | 193,247 | 2,680 |
* | Liberty Braves Group Class A | 177,970 | 2,677 |
* | EVINE Live Inc. | 1,553,676 | 2,564 |
* | Boot Barn Holdings Inc. | 285,652 | 2,462 |
* | Natural Grocers by Vitamin Cottage Inc. | 188,639 | 2,462 |
*,^ | Noodles & Co. Class A | 250,688 | 2,452 |
* | TechTarget Inc. | 297,676 | 2,411 |
* | Bridgepoint Education Inc. | 320,642 | 2,321 |
* | Townsquare Media Inc. Class A | 291,821 | 2,302 |
* | Century Casinos Inc. | 368,214 | 2,294 |
*,^ | Hemisphere Media Group Inc. Class A | 193,265 | 2,281 |
Collectors Universe Inc. | 113,601 | 2,244 | |
* | West Marine Inc. | 262,221 | 2,200 |
* | PCM Inc. | 182,713 | 2,035 |
* | Red Lion Hotels Corp. | 277,046 | 2,011 |
* | Container Store Group Inc. | 364,212 | 1,949 |
* | QuinStreet Inc. | 543,218 | 1,928 |
McClatchy Co. Class A | 129,170 | 1,888 | |
Golden Entertainment Inc. | 158,464 | 1,852 | |
* | Kona Grill Inc. | 172,125 | 1,845 |
Harte-Hanks Inc. | 1,121,456 | 1,783 | |
* | Lee Enterprises Inc. | 930,958 | 1,778 |
* | Marchex Inc. Class B | 555,770 | 1,767 |
A H Belo Corp. Class A | 349,364 | 1,747 | |
*,^ | Radio One Inc. | 538,531 | 1,718 |
*,^ | Papa Murphy's Holdings Inc. | 252,984 | 1,679 |
* | RealNetworks Inc. | 378,313 | 1,631 |
Liberty Tax Inc. | 121,848 | 1,623 | |
* | Christopher & Banks Corp. | 738,585 | 1,618 |
* | Luby's Inc. | 312,777 | 1,570 |
* | Tilly's Inc. Class A | 269,506 | 1,560 |
Destination Maternity Corp. | 263,948 | 1,552 | |
* | Sears Hometown and Outlet Stores Inc. | 224,008 | 1,510 |
*,^ | Fogo De Chao Inc. | 113,216 | 1,479 |
* | Travelzoo Inc. | 175,921 | 1,411 |
*,^ | ITT Educational Services Inc. | 718,618 | 1,380 |
13
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Salem Media Group Inc. Class A | 183,751 | 1,327 | |
* | Morgans Hotel Group Co. | 567,836 | 1,215 |
Wayside Technology Group Inc. | 66,044 | 1,193 | |
* | Town Sports International Holdings Inc. | 423,943 | 1,153 |
* | Cambium Learning Group Inc. | 244,281 | 1,102 |
* | Demand Media Inc. | 213,082 | 1,102 |
* | YuMe Inc. | 286,038 | 1,053 |
* | Sizmek Inc. | 454,208 | 1,040 |
Educational Development Corp. | 82,487 | 958 | |
*,^ | Remark Media Inc. | 219,230 | 930 |
*,^ | Cumulus Media Inc. Class A | 2,922,289 | 906 |
* | ReachLocal Inc. | 193,721 | 881 |
*,^ | Digital Turbine Inc. | 735,661 | 787 |
* | New York & Co. Inc. | 521,560 | 777 |
Peak Resorts Inc. | 146,920 | 670 | |
*,^ | Gordmans Stores Inc. | 477,553 | 616 |
*,^ | Rave Restaurant Group Inc. | 152,899 | 612 |
* | Nevada Gold & Casinos Inc. | 312,048 | 602 |
* | Spark Networks Inc. | 374,872 | 592 |
*,^ | Good Times Restaurants Inc. | 160,052 | 559 |
* | Famous Dave's of America Inc. | 108,292 | 545 |
TheStreet Inc. | 477,535 | 540 | |
*,^ | YOU On Demand Holdings Inc. | 325,761 | 531 |
*,^ | hhgregg Inc. | 276,991 | 490 |
*,^ | MaxPoint Interactive Inc. | 43,434 | 469 |
* | CafePress Inc. | 139,975 | 434 |
* | Profire Energy Inc. | 365,619 | 406 |
* | Gaming Partners International Corp. | 42,577 | 396 |
*,^ | IDI Inc. | 82,538 | 390 |
^ | Bon-Ton Stores Inc. | 260,323 | 367 |
* | Dover Downs Gaming & Entertainment Inc. | 339,612 | 360 |
* | Emmis Communications Corp. Class A | 479,209 | 349 |
National American University Holdings Inc. | 175,287 | 347 | |
*,^ | Live Ventures Inc. | 223,508 | 335 |
Ark Restaurants Corp. | 14,910 | 333 | |
* | Full House Resorts Inc. | 160,784 | 325 |
*,^ | bebe stores inc | 570,514 | 287 |
* | Cosi Inc. | 545,709 | 273 |
* | Diversified Restaurant Holdings Inc. | 169,604 | 258 |
* | Ignite Restaurant Group Inc. | 132,916 | 207 |
* | Insignia Systems Inc. | 95,048 | 207 |
* | Spanish Broadcasting System Inc. | 51,140 | 182 |
*,^ | Net Element Inc. | 97,546 | 179 |
Value Line Inc. | 9,438 | 154 | |
Flanigan's Enterprises Inc. | 5,074 | 105 | |
* | NTN Buzztime Inc. | 7,087 | 61 |
*,^ | FunctionX Inc. | 203,922 | 58 |
* | Interpace Diagnostics Group Inc. | 124,872 | 41 |
Haverty Furniture Cos. Inc. Class A | 1,375 | 25 | |
* | SPAR Group Inc. | 19,446 | 20 |
Viacom Inc. Class A | 300 | 14 | |
Beasley Broadcast Group Inc. Class A | 3,072 | 13 | |
* | ONE Group Hospitality Inc. | 2,677 | 7 |
* | Universal Travel Group | 42,843 | 7 |
58,560,696 | |||
Financials (18.6%) | |||
* | Berkshire Hathaway Inc. Class B | 36,924,127 | 5,346,244 |
JPMorgan Chase & Co. | 73,063,574 | 4,540,170 | |
Wells Fargo & Co. | 91,215,174 | 4,317,214 | |
Visa Inc. Class A | 38,147,829 | 2,829,424 | |
Bank of America Corp. | 205,280,841 | 2,724,077 | |
Citigroup Inc. | 58,627,484 | 2,485,219 | |
MasterCard Inc. Class A | 19,366,492 | 1,705,413 | |
Simon Property Group Inc. | 6,146,540 | 1,333,185 |
14
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
US Bancorp | 32,756,285 | 1,321,061 | |
Chubb Ltd. | 8,804,607 | 1,150,850 | |
American International Group Inc. | 21,173,184 | 1,119,850 | |
Goldman Sachs Group Inc. | 7,455,351 | 1,107,716 | |
American Express Co. | 16,161,990 | 982,003 | |
American Tower Corporation | 8,432,661 | 958,035 | |
PNC Financial Services Group Inc. | 10,061,009 | 818,866 | |
Bank of New York Mellon Corp. | 20,642,180 | 801,949 | |
Morgan Stanley | 29,066,962 | 755,160 | |
Public Storage | 2,942,870 | 752,168 | |
BlackRock Inc. | 2,156,081 | 738,522 | |
Marsh & McLennan Cos. Inc. | 10,320,512 | 706,542 | |
MetLife Inc. | 17,443,709 | 694,783 | |
Travelers Cos. Inc. | 5,828,996 | 693,884 | |
Crown Castle International Corp. | 6,698,946 | 679,474 | |
Capital One Financial Corp. | 10,283,257 | 653,090 | |
Prudential Financial Inc. | 8,827,594 | 629,761 | |
CME Group Inc. | 6,386,982 | 622,092 | |
Charles Schwab Corp. | 23,856,173 | 603,800 | |
Aon plc | 5,341,003 | 583,398 | |
Aflac Inc. | 8,021,194 | 578,809 | |
Intercontinental Exchange Inc. | 2,259,757 | 578,407 | |
BB&T Corp. | 16,135,214 | 574,575 | |
S&P Global Inc. | 5,248,767 | 562,983 | |
Welltower Inc. | 7,089,026 | 539,971 | |
Equinix Inc. | 1,377,523 | 534,107 | |
Allstate Corp. | 7,481,858 | 523,356 | |
Prologis Inc. | 10,392,430 | 509,645 | |
Equity Residential | 7,252,617 | 499,560 | |
AvalonBay Communities Inc. | 2,720,871 | 490,818 | |
Ventas Inc. | 6,710,347 | 488,647 | |
Weyerhaeuser Co. | 15,063,330 | 448,435 | |
Discover Financial Services | 8,259,507 | 442,627 | |
* | Synchrony Financial | 16,633,323 | 420,490 |
SunTrust Banks Inc. | 10,012,653 | 411,320 | |
State Street Corp. | 7,512,269 | 405,062 | |
Boston Properties Inc. | 3,041,309 | 401,149 | |
Progressive Corp. | 10,966,087 | 367,364 | |
Hartford Financial Services Group Inc. | 8,083,833 | 358,760 | |
Realty Income Corp. | 5,109,627 | 354,404 | |
Digital Realty Trust Inc. | 3,158,920 | 344,291 | |
T. Rowe Price Group Inc. | 4,681,214 | 341,588 | |
General Growth Properties Inc. | 11,376,998 | 339,262 | |
Vornado Realty Trust | 3,360,972 | 336,501 | |
M&T Bank Corp. | 2,843,711 | 336,212 | |
HCP Inc. | 9,272,386 | 328,057 | |
Willis Towers Watson plc | 2,594,883 | 322,570 | |
Moody's Corp. | 3,274,373 | 306,841 | |
Equifax Inc. | 2,355,315 | 302,422 | |
Essex Property Trust Inc. | 1,305,417 | 297,753 | |
Ameriprise Financial Inc. | 3,282,692 | 294,950 | |
Northern Trust Corp. | 4,353,358 | 288,453 | |
Fifth Third Bancorp | 15,660,421 | 275,467 | |
Macerich Co. | 3,038,357 | 259,445 | |
* | Markel Corp. | 261,308 | 248,969 |
Kimco Realty Corp. | 7,848,704 | 246,292 | |
Host Hotels & Resorts Inc. | 14,854,982 | 240,799 | |
Loews Corp. | 5,783,250 | 237,634 | |
Principal Financial Group Inc. | 5,764,291 | 236,970 | |
Franklin Resources Inc. | 7,091,884 | 236,656 | |
Federal Realty Investment Trust | 1,402,484 | 232,181 | |
Cincinnati Financial Corp. | 3,084,392 | 230,990 | |
Extra Space Storage Inc. | 2,356,452 | 218,066 | |
Regions Financial Corp. | 25,383,083 | 216,010 |
15
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
SL Green Realty Corp. | 1,980,701 | 210,885 | |
Invesco Ltd. | 8,222,816 | 210,011 | |
First Republic Bank | 2,949,668 | 206,447 | |
Annaly Capital Management Inc. | 18,643,830 | 206,387 | |
Citizens Financial Group Inc. | 10,142,039 | 202,638 | |
FNF Group | 5,213,603 | 195,510 | |
UDR Inc. | 5,281,918 | 195,008 | |
XL Group plc Class A | 5,742,671 | 191,288 | |
Western Union Co. | 9,896,676 | 189,818 | |
* | Berkshire Hathaway Inc. Class A | 864 | 187,466 |
Lincoln National Corp. | 4,752,326 | 184,248 | |
KeyCorp | 16,497,874 | 182,301 | |
VEREIT Inc. | 17,818,318 | 180,678 | |
Duke Realty Corp. | 6,772,409 | 180,552 | |
Arthur J Gallagher & Co. | 3,486,609 | 165,963 | |
* | Arch Capital Group Ltd. | 2,264,167 | 163,020 |
Regency Centers Corp. | 1,932,211 | 161,784 | |
Mid-America Apartment Communities Inc. | 1,491,700 | 158,717 | |
* | Alleghany Corp. | 285,635 | 156,979 |
* | CBRE Group Inc. Class A | 5,922,784 | 156,835 |
* | Ally Financial Inc. | 9,170,786 | 156,545 |
Everest Re Group Ltd. | 851,185 | 155,486 | |
Camden Property Trust | 1,711,855 | 151,362 | |
* | Affiliated Managers Group Inc. | 1,067,857 | 150,322 |
Alexandria Real Estate Equities Inc. | 1,449,752 | 150,078 | |
Iron Mountain Inc. | 3,761,258 | 149,811 | |
Unum Group | 4,704,033 | 149,541 | |
National Retail Properties Inc. | 2,850,877 | 147,447 | |
Nasdaq Inc. | 2,274,459 | 147,089 | |
Comerica Inc. | 3,486,118 | 143,384 | |
* | Liberty Broadband Corp. | 2,381,287 | 142,877 |
Torchmark Corp. | 2,306,299 | 142,575 | |
SEI Investments Co. | 2,958,747 | 142,345 | |
TD Ameritrade Holding Corp. | 4,976,459 | 141,705 | |
Huntington Bancshares Inc. | 15,759,884 | 140,893 | |
MSCI Inc. Class A | 1,819,859 | 140,348 | |
WP Carey Inc. | 1,994,958 | 138,490 | |
New York Community Bancorp Inc. | 9,107,063 | 136,515 | |
Apartment Investment & Management Co. | 3,086,268 | 136,290 | |
American Campus Communities Inc. | 2,571,206 | 135,940 | |
* | E*TRADE Financial Corp. | 5,645,884 | 132,622 |
American Capital Agency Corp. | 6,677,174 | 132,342 | |
Raymond James Financial Inc. | 2,591,203 | 127,746 | |
CIT Group Inc. | 3,972,948 | 126,777 | |
Omega Healthcare Investors Inc. | 3,713,477 | 126,073 | |
* | Signature Bank | 997,652 | 124,627 |
Reinsurance Group of America Inc. Class A | 1,275,615 | 123,722 | |
Gaming and Leisure Properties Inc. | 3,584,985 | 123,610 | |
Equity LifeStyle Properties Inc. | 1,516,884 | 121,427 | |
Kilroy Realty Corp. | 1,825,340 | 121,002 | |
Spirit Realty Capital Inc. | 9,456,499 | 120,759 | |
Liberty Property Trust | 2,907,245 | 115,476 | |
Brixmor Property Group Inc. | 4,255,141 | 112,591 | |
DDR Corp. | 6,114,114 | 110,910 | |
Assurant Inc. | 1,278,168 | 110,319 | |
WR Berkley Corp. | 1,827,813 | 109,523 | |
CBOE Holdings Inc. | 1,621,344 | 108,014 | |
Lamar Advertising Co. Class A | 1,624,097 | 107,678 | |
CubeSmart | 3,486,161 | 107,653 | |
Forest City Realty Trust Inc. Class A | 4,773,654 | 106,500 | |
Zions Bancorporation | 4,143,645 | 104,130 | |
MarketAxess Holdings Inc. | 704,843 | 102,484 | |
Voya Financial Inc. | 4,115,684 | 101,904 | |
American Financial Group Inc. | 1,366,797 | 101,047 |
16
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
EPR Properties | 1,245,835 | 100,514 | |
East West Bancorp Inc. | 2,925,295 | 99,987 | |
* | SVB Financial Group | 1,049,153 | 99,837 |
Highwoods Properties Inc. | 1,885,353 | 99,547 | |
RenaissanceRe Holdings Ltd. | 846,272 | 99,386 | |
* | Liberty Ventures Class A | 2,657,812 | 98,525 |
Axis Capital Holdings Ltd. | 1,783,993 | 98,120 | |
Douglas Emmett Inc. | 2,748,282 | 97,619 | |
Senior Housing Properties Trust | 4,671,526 | 97,308 | |
Sovran Self Storage Inc. | 895,389 | 93,944 | |
PacWest Bancorp | 2,337,010 | 92,966 | |
Starwood Property Trust Inc. | 4,423,619 | 91,657 | |
Old Republic International Corp. | 4,643,180 | 89,567 | |
Weingarten Realty Investors | 2,178,328 | 88,919 | |
People's United Financial Inc. | 6,062,621 | 88,878 | |
STORE Capital Corp. | 2,980,260 | 87,769 | |
Sun Communities Inc. | 1,136,750 | 87,121 | |
Healthcare Trust of America Inc. Class A | 2,686,534 | 86,883 | |
First American Financial Corp. | 2,159,253 | 86,845 | |
Jones Lang LaSalle Inc. | 888,651 | 86,599 | |
Communications Sales & Leasing Inc. | 2,992,164 | 86,474 | |
Hospitality Properties Trust | 2,995,549 | 86,272 | |
DCT Industrial Trust Inc. | 1,746,733 | 83,913 | |
Taubman Centers Inc. | 1,130,751 | 83,902 | |
Brown & Brown Inc. | 2,239,128 | 83,900 | |
CyrusOne Inc. | 1,506,299 | 83,841 | |
Endurance Specialty Holdings Ltd. | 1,246,843 | 83,738 | |
* | Realogy Holdings Corp. | 2,882,218 | 83,642 |
American Homes 4 Rent Class A | 4,018,669 | 82,302 | |
Corrections Corp. of America | 2,325,841 | 81,451 | |
Navient Corp. | 6,767,263 | 80,869 | |
* | Howard Hughes Corp. | 706,092 | 80,720 |
Healthcare Realty Trust Inc. | 2,277,833 | 79,701 | |
Commerce Bancshares Inc. | 1,659,558 | 79,493 | |
Retail Properties of America Inc. | 4,675,817 | 79,021 | |
Lazard Ltd. Class A | 2,612,631 | 77,804 | |
Gramercy Property Trust | 8,294,720 | 76,477 | |
Eaton Vance Corp. | 2,156,373 | 76,206 | |
Tanger Factory Outlet Centers Inc. | 1,874,045 | 75,299 | |
Validus Holdings Ltd. | 1,547,152 | 75,176 | |
*,^ | Zillow Group Inc. | 2,016,113 | 73,145 |
* | Equity Commonwealth | 2,482,558 | 72,317 |
Cullen/Frost Bankers Inc. | 1,129,527 | 71,985 | |
Investors Bancorp Inc. | 6,495,431 | 71,969 | |
Synovus Financial Corp. | 2,438,853 | 70,702 | |
Medical Properties Trust Inc. | 4,644,523 | 70,643 | |
DuPont Fabros Technology Inc. | 1,485,826 | 70,636 | |
Assured Guaranty Ltd. | 2,783,438 | 70,616 | |
Hanover Insurance Group Inc. | 831,813 | 70,388 | |
Prosperity Bancshares Inc. | 1,358,453 | 69,268 | |
Umpqua Holdings Corp. | 4,430,967 | 68,547 | |
First Niagara Financial Group Inc. | 6,906,575 | 67,270 | |
White Mountains Insurance Group Ltd. | 79,658 | 67,072 | |
FirstMerit Corp. | 3,292,886 | 66,747 | |
Outfront Media Inc. | 2,724,443 | 65,850 | |
PrivateBancorp Inc. | 1,494,717 | 65,812 | |
Post Properties Inc. | 1,059,848 | 64,704 | |
First Horizon National Corp. | 4,684,281 | 64,549 | |
Rayonier Inc. | 2,439,863 | 64,022 | |
First Industrial Realty Trust Inc. | 2,268,539 | 63,111 | |
New Residential Investment Corp. | 4,528,938 | 62,680 | |
BankUnited Inc. | 2,023,887 | 62,174 | |
CNO Financial Group Inc. | 3,551,709 | 62,013 | |
^ | Apple Hospitality REIT Inc. | 3,293,307 | 61,947 |
17
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Bank of the Ozarks Inc. | 1,636,288 | 61,394 | |
Webster Financial Corp. | 1,797,028 | 61,009 | |
Popular Inc. | 2,078,813 | 60,909 | |
* | Western Alliance Bancorp | 1,862,620 | 60,815 |
Two Harbors Investment Corp. | 7,099,220 | 60,769 | |
Allied World Assurance Co. Holdings AG | 1,700,243 | 59,747 | |
Education Realty Trust Inc. | 1,283,211 | 59,207 | |
Piedmont Office Realty Trust Inc. Class A | 2,747,535 | 59,182 | |
Legg Mason Inc. | 1,985,213 | 58,544 | |
Urban Edge Properties | 1,959,044 | 58,497 | |
Equity One Inc. | 1,814,556 | 58,392 | |
Bank of Hawaii Corp. | 846,779 | 58,258 | |
Chimera Investment Corp. | 3,700,222 | 58,093 | |
Brandywine Realty Trust | 3,409,380 | 57,278 | |
ProAssurance Corp. | 1,054,941 | 56,492 | |
Aspen Insurance Holdings Ltd. | 1,207,005 | 55,981 | |
Physicians Realty Trust | 2,657,868 | 55,842 | |
RLI Corp. | 804,154 | 55,310 | |
Corporate Office Properties Trust | 1,861,449 | 55,043 | |
National Health Investors Inc. | 718,902 | 53,982 | |
Primerica Inc. | 942,300 | 53,937 | |
Paramount Group Inc. | 3,381,624 | 53,903 | |
CoreSite Realty Corp. | 607,508 | 53,880 | |
Federated Investors Inc. Class B | 1,831,539 | 52,712 | |
Columbia Property Trust Inc. | 2,459,820 | 52,640 | |
LaSalle Hotel Properties | 2,229,911 | 52,581 | |
MFA Financial Inc. | 7,185,684 | 52,240 | |
Wintrust Financial Corp. | 1,019,965 | 52,018 | |
Sunstone Hotel Investors Inc. | 4,251,046 | 51,310 | |
MB Financial Inc. | 1,400,619 | 50,814 | |
RLJ Lodging Trust | 2,363,345 | 50,694 | |
GEO Group Inc. | 1,454,549 | 49,716 | |
IBERIABANK Corp. | 829,277 | 49,533 | |
Associated Banc-Corp | 2,875,826 | 49,320 | |
FNB Corp. | 3,895,227 | 48,846 | |
Hudson Pacific Properties Inc. | 1,669,377 | 48,712 | |
Acadia Realty Trust | 1,364,893 | 48,481 | |
United Bankshares Inc. | 1,291,349 | 48,438 | |
QTS Realty Trust Inc. Class A | 860,603 | 48,177 | |
Blackstone Mortgage Trust Inc. Class A | 1,732,664 | 47,943 | |
Home BancShares Inc. | 2,364,366 | 46,791 | |
Erie Indemnity Co. Class A | 464,918 | 46,185 | |
Fulton Financial Corp. | 3,392,799 | 45,803 | |
Kite Realty Group Trust | 1,606,988 | 45,044 | |
Radian Group Inc. | 4,300,079 | 44,807 | |
Washington REIT | 1,423,042 | 44,769 | |
UMB Financial Corp. | 837,938 | 44,587 | |
AmTrust Financial Services Inc. | 1,812,115 | 44,397 | |
Mack-Cali Realty Corp. | 1,628,648 | 43,973 | |
Ryman Hospitality Properties Inc. | 865,295 | 43,827 | |
Care Capital Properties Inc. | 1,655,503 | 43,391 | |
Washington Federal Inc. | 1,780,921 | 43,205 | |
Retail Opportunity Investments Corp. | 1,982,247 | 42,955 | |
* | Texas Capital Bancshares Inc. | 911,368 | 42,616 |
Cousins Properties Inc. | 4,091,557 | 42,552 | |
Cathay General Bancorp | 1,492,767 | 42,096 | |
Interactive Brokers Group Inc. | 1,184,767 | 41,941 | |
NorthStar Realty Finance Corp. | 3,665,998 | 41,902 | |
^ | First Financial Bankshares Inc. | 1,272,610 | 41,729 |
* | MGIC Investment Corp. | 6,926,309 | 41,212 |
Valley National Bancorp | 4,497,092 | 41,013 | |
* | Stifel Financial Corp. | 1,303,835 | 41,006 |
PS Business Parks Inc. | 386,325 | 40,981 | |
Janus Capital Group Inc. | 2,926,162 | 40,732 |
18
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
WP Glimcher Inc. | 3,637,880 | 40,708 | |
Selective Insurance Group Inc. | 1,063,859 | 40,650 | |
EastGroup Properties Inc. | 588,575 | 40,565 | |
Hancock Holding Co. | 1,540,716 | 40,228 | |
*,^ | Zillow Group Inc. Class A | 1,084,521 | 39,748 |
BancorpSouth Inc. | 1,722,566 | 39,085 | |
LTC Properties Inc. | 754,284 | 39,019 | |
TCF Financial Corp. | 3,077,053 | 38,925 | |
Glacier Bancorp Inc. | 1,431,328 | 38,045 | |
First Citizens BancShares Inc. Class A | 146,894 | 38,032 | |
Pinnacle Financial Partners Inc. | 778,008 | 38,006 | |
Pebblebrook Hotel Trust | 1,425,641 | 37,423 | |
Sterling Bancorp | 2,370,996 | 37,225 | |
Xenia Hotels & Resorts Inc. | 2,213,745 | 37,147 | |
NorthStar Asset Management Group Inc. | 3,637,541 | 37,139 | |
Great Western Bancorp Inc. | 1,173,160 | 37,001 | |
* | Blackhawk Network Holdings Inc. | 1,096,805 | 36,732 |
DiamondRock Hospitality Co. | 4,020,754 | 36,307 | |
Lexington Realty Trust | 3,586,252 | 36,257 | |
American National Insurance Co. | 306,847 | 34,720 | |
Community Bank System Inc. | 836,943 | 34,390 | |
Monogram Residential Trust Inc. | 3,313,601 | 33,832 | |
American Assets Trust Inc. | 794,134 | 33,703 | |
Kennedy-Wilson Holdings Inc. | 1,775,862 | 33,670 | |
Capitol Federal Financial Inc. | 2,412,267 | 33,651 | |
Columbia Banking System Inc. | 1,193,315 | 33,484 | |
LPL Financial Holdings Inc. | 1,472,541 | 33,176 | |
* | Enstar Group Ltd. | 200,825 | 32,532 |
* | Hilltop Holdings Inc. | 1,549,256 | 32,519 |
Government Properties Income Trust | 1,405,101 | 32,402 | |
Colony Capital Inc. Class A | 2,065,400 | 31,704 | |
Alexander & Baldwin Inc. | 874,700 | 31,612 | |
CVB Financial Corp. | 1,927,535 | 31,592 | |
STAG Industrial Inc. | 1,320,302 | 31,436 | |
Colony Starwood Homes | 1,033,084 | 31,426 | |
South State Corp. | 461,073 | 31,376 | |
*,^ | Credit Acceptance Corp. | 169,257 | 31,326 |
Old National Bancorp | 2,490,972 | 31,212 | |
CBL & Associates Properties Inc. | 3,351,785 | 31,205 | |
Select Income REIT | 1,192,228 | 30,986 | |
BGC Partners Inc. Class A | 3,542,204 | 30,853 | |
Invesco Mortgage Capital Inc. | 2,240,211 | 30,668 | |
Rexford Industrial Realty Inc. | 1,442,699 | 30,427 | |
Trustmark Corp. | 1,223,728 | 30,410 | |
Argo Group International Holdings Ltd. | 578,505 | 30,024 | |
Hatteras Financial Corp. | 1,828,840 | 29,993 | |
* | SLM Corp. | 4,831,177 | 29,857 |
Ramco-Gershenson Properties Trust | 1,517,819 | 29,764 | |
Evercore Partners Inc. Class A | 673,358 | 29,756 | |
* | HRG Group Inc. | 2,166,617 | 29,748 |
New York REIT Inc. | 3,186,581 | 29,476 | |
International Bancshares Corp. | 1,128,284 | 29,437 | |
* | Eagle Bancorp Inc. | 610,411 | 29,367 |
* | Liberty Broadband Corp. Class A | 491,103 | 29,172 |
*,^ | LendingClub Corp. | 6,748,490 | 29,018 |
Mercury General Corp. | 543,524 | 28,894 | |
EverBank Financial Corp. | 1,925,932 | 28,619 | |
Chemical Financial Corp. | 763,155 | 28,458 | |
First Cash Financial Services Inc. | 545,833 | 28,018 | |
Potlatch Corp. | 806,707 | 27,509 | |
Parkway Properties Inc. | 1,639,018 | 27,421 | |
Pennsylvania REIT | 1,278,301 | 27,420 | |
Northwest Bancshares Inc. | 1,831,430 | 27,160 | |
Chesapeake Lodging Trust | 1,167,974 | 27,155 |
19
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
First Midwest Bancorp Inc. | 1,541,117 | 27,062 | |
Astoria Financial Corp. | 1,750,838 | 26,840 | |
* | Essent Group Ltd. | 1,228,456 | 26,793 |
Waddell & Reed Financial Inc. Class A | 1,554,506 | 26,769 | |
Sabra Health Care REIT Inc. | 1,285,267 | 26,521 | |
BOK Financial Corp. | 419,951 | 26,331 | |
Horace Mann Educators Corp. | 779,050 | 26,324 | |
Four Corners Property Trust Inc. | 1,275,352 | 26,259 | |
Banner Corp. | 613,099 | 26,081 | |
Global Net Lease Inc. | 3,279,835 | 26,075 | |
* | OneMain Holdings Inc. Class A | 1,120,791 | 25,576 |
Financial Engines Inc. | 984,536 | 25,470 | |
* | Genworth Financial Inc. Class A | 9,819,053 | 25,333 |
* | HealthEquity Inc. | 819,184 | 24,891 |
Renasant Corp. | 761,745 | 24,627 | |
CYS Investments Inc. | 2,938,666 | 24,597 | |
Westamerica Bancorporation | 497,848 | 24,524 | |
Simmons First National Corp. Class A | 527,150 | 24,346 | |
Talmer Bancorp Inc. Class A | 1,257,333 | 24,103 | |
Empire State Realty Trust Inc. | 1,265,373 | 24,029 | |
NBT Bancorp Inc. | 831,102 | 23,794 | |
^ | WisdomTree Investments Inc. | 2,423,750 | 23,729 |
Kemper Corp. | 765,610 | 23,719 | |
Park National Corp. | 258,265 | 23,704 | |
Agree Realty Corp. | 490,372 | 23,656 | |
Towne Bank | 1,091,607 | 23,633 | |
* | Santander Consumer USA Holdings Inc. | 2,261,522 | 23,362 |
Independent Bank Corp. | 505,595 | 23,106 | |
* | FCB Financial Holdings Inc. Class A | 670,712 | 22,804 |
LegacyTexas Financial Group Inc. | 839,876 | 22,601 | |
United Community Banks Inc. | 1,230,677 | 22,509 | |
First Financial Bancorp | 1,154,766 | 22,460 | |
^ | Seritage Growth Properties Class A | 449,100 | 22,383 |
Franklin Street Properties Corp. | 1,820,690 | 22,340 | |
Redwood Trust Inc. | 1,610,186 | 22,237 | |
National General Holdings Corp. | 1,037,261 | 22,218 | |
American Equity Investment Life Holding Co. | 1,555,222 | 22,162 | |
PennyMac Mortgage Investment Trust | 1,363,520 | 22,130 | |
WesBanco Inc. | 709,829 | 22,040 | |
BBCN Bancorp Inc. | 1,468,786 | 21,914 | |
AMERISAFE Inc. | 357,517 | 21,887 | |
^ | ServisFirst Bancshares Inc. | 440,653 | 21,764 |
Provident Financial Services Inc. | 1,105,428 | 21,711 | |
* | PRA Group Inc. | 897,833 | 21,674 |
Cash America International Inc. | 507,441 | 21,627 | |
Yadkin Financial Corp. | 856,950 | 21,501 | |
Union Bankshares Corp. | 869,104 | 21,476 | |
Summit Hotel Properties Inc. | 1,614,237 | 21,372 | |
Terreno Realty Corp. | 815,618 | 21,100 | |
Artisan Partners Asset Management Inc. Class A | 756,613 | 20,943 | |
Navigators Group Inc. | 226,648 | 20,845 | |
* | St. Joe Co. | 1,162,512 | 20,600 |
TFS Financial Corp. | 1,192,522 | 20,535 | |
First Merchants Corp. | 810,045 | 20,194 | |
* | Green Dot Corp. Class A | 875,076 | 20,118 |
* | Beneficial Bancorp Inc. | 1,554,916 | 19,779 |
HFF Inc. Class A | 674,814 | 19,489 | |
Ameris Bancorp | 637,476 | 18,933 | |
NRG Yield Inc. | 1,209,635 | 18,858 | |
S&T Bancorp Inc. | 765,112 | 18,707 | |
*,^ | BofI Holding Inc. | 1,052,289 | 18,636 |
Monmouth Real Estate Investment Corp. | 1,391,914 | 18,457 | |
Boston Private Financial Holdings Inc. | 1,561,313 | 18,392 | |
Banc of California Inc. | 1,002,029 | 18,137 |
20
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Tompkins Financial Corp. | 277,543 | 18,040 | |
* | MBIA Inc. | 2,622,334 | 17,911 |
Capstead Mortgage Corp. | 1,842,534 | 17,873 | |
Saul Centers Inc. | 286,849 | 17,701 | |
* | Black Knight Financial Services Inc. Class A | 469,775 | 17,664 |
Apollo Commercial Real Estate Finance Inc. | 1,095,408 | 17,603 | |
New Senior Investment Group Inc. | 1,636,635 | 17,479 | |
Employers Holdings Inc. | 601,305 | 17,450 | |
Hannon Armstrong Sustainable Infrastructure Capital Inc. | 806,354 | 17,417 | |
FelCor Lodging Trust Inc. | 2,721,819 | 16,957 | |
Cohen & Steers Inc. | 419,042 | 16,946 | |
Kearny Financial Corp. | 1,345,973 | 16,932 | |
WSFS Financial Corp. | 525,364 | 16,911 | |
Safety Insurance Group Inc. | 272,062 | 16,754 | |
Alexander's Inc. | 40,814 | 16,702 | |
Infinity Property & Casualty Corp. | 205,891 | 16,607 | |
CareTrust REIT Inc. | 1,204,821 | 16,602 | |
Stewart Information Services Corp. | 400,072 | 16,567 | |
* | KCG Holdings Inc. Class A | 1,231,486 | 16,379 |
* | FNFV Group | 1,425,467 | 16,350 |
BNC Bancorp | 718,357 | 16,314 | |
First Commonwealth Financial Corp. | 1,736,831 | 15,979 | |
^ | ARMOUR Residential REIT Inc. | 796,855 | 15,937 |
Nelnet Inc. Class A | 457,834 | 15,910 | |
Chatham Lodging Trust | 716,559 | 15,750 | |
Lakeland Financial Corp. | 334,644 | 15,732 | |
Investors Real Estate Trust | 2,386,825 | 15,443 | |
Berkshire Hills Bancorp Inc. | 567,036 | 15,265 | |
* | iStar Inc. | 1,571,279 | 15,069 |
Getty Realty Corp. | 696,794 | 14,946 | |
United Fire Group Inc. | 348,858 | 14,802 | |
Tier REIT Inc. | 964,914 | 14,792 | |
State Bank Financial Corp. | 723,195 | 14,717 | |
Southside Bancshares Inc. | 473,690 | 14,646 | |
* | Third Point Reinsurance Ltd. | 1,241,722 | 14,553 |
Wilshire Bancorp Inc. | 1,385,854 | 14,441 | |
Hanmi Financial Corp. | 613,688 | 14,416 | |
Meridian Bancorp Inc. | 974,457 | 14,402 | |
Universal Health Realty Income Trust | 249,777 | 14,282 | |
American Capital Mortgage Investment Corp. | 903,467 | 14,266 | |
Brookline Bancorp Inc. | 1,290,138 | 14,230 | |
Hersha Hospitality Trust Class A | 819,597 | 14,056 | |
Central Pacific Financial Corp. | 594,152 | 14,022 | |
* | Pacific Premier Bancorp Inc. | 582,578 | 13,982 |
National Storage Affiliates Trust | 670,453 | 13,959 | |
Sandy Spring Bancorp Inc. | 480,178 | 13,954 | |
Heartland Financial USA Inc. | 393,975 | 13,903 | |
Capital Bank Financial Corp. | 479,314 | 13,804 | |
First Busey Corp. | 641,106 | 13,713 | |
CenterState Banks Inc. | 869,423 | 13,693 | |
City Holding Co. | 300,560 | 13,666 | |
Maiden Holdings Ltd. | 1,112,096 | 13,612 | |
Rouse Properties Inc. | 743,612 | 13,571 | |
Northfield Bancorp Inc. | 888,086 | 13,170 | |
Cardinal Financial Corp. | 599,744 | 13,158 | |
*,^ | LendingTree Inc. | 147,471 | 13,026 |
RE/MAX Holdings Inc. Class A | 321,713 | 12,952 | |
^ | New York Mortgage Trust Inc. | 2,121,508 | 12,941 |
Armada Hoffler Properties Inc. | 940,027 | 12,916 | |
Urstadt Biddle Properties Inc. Class A | 517,227 | 12,817 | |
National Bank Holdings Corp. Class A | 609,462 | 12,409 | |
Easterly Government Properties Inc. | 619,378 | 12,220 | |
* | Walker & Dunlop Inc. | 535,169 | 12,191 |
FBL Financial Group Inc. Class A | 200,684 | 12,175 |
21
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
United Financial Bancorp Inc. | 921,716 | 11,964 | |
* | Customers Bancorp Inc. | 466,264 | 11,717 |
InfraREIT Inc. | 666,366 | 11,688 | |
Universal Insurance Holdings Inc. | 622,513 | 11,566 | |
Oritani Financial Corp. | 717,951 | 11,480 | |
* | Greenlight Capital Re Ltd. Class A | 564,020 | 11,371 |
First Interstate BancSystem Inc. Class A | 403,404 | 11,336 | |
Cedar Realty Trust Inc. | 1,522,969 | 11,316 | |
TrustCo Bank Corp. NY | 1,745,021 | 11,186 | |
Virtus Investment Partners Inc. | 157,123 | 11,184 | |
Diamond Hill Investment Group Inc. | 59,354 | 11,183 | |
MainSource Financial Group Inc. | 505,866 | 11,154 | |
TriCo Bancshares | 398,359 | 10,995 | |
*,^ | Encore Capital Group Inc. | 464,432 | 10,928 |
Investment Technology Group Inc. | 647,502 | 10,826 | |
Silver Bay Realty Trust Corp. | 632,207 | 10,766 | |
* | Piper Jaffray Cos. | 283,819 | 10,700 |
Community Trust Bancorp Inc. | 306,290 | 10,616 | |
Opus Bank | 313,640 | 10,601 | |
Flushing Financial Corp. | 524,705 | 10,431 | |
Anworth Mortgage Asset Corp. | 2,217,986 | 10,425 | |
Stock Yards Bancorp Inc. | 366,528 | 10,347 | |
Washington Trust Bancorp Inc. | 262,903 | 9,969 | |
First Potomac Realty Trust | 1,069,291 | 9,837 | |
Enterprise Financial Services Corp. | 349,290 | 9,742 | |
NRG Yield Inc. Class A | 639,600 | 9,735 | |
* | First BanCorp | 2,419,989 | 9,607 |
Altisource Residential Corp. | 1,043,800 | 9,593 | |
CoBiz Financial Inc. | 817,852 | 9,569 | |
* | Ambac Financial Group Inc. | 580,606 | 9,557 |
Heritage Commerce Corp. | 899,335 | 9,470 | |
Heritage Financial Corp. | 537,170 | 9,443 | |
Whitestone REIT | 620,016 | 9,350 | |
Ashford Hospitality Trust Inc. | 1,727,697 | 9,278 | |
Independent Bank Group Inc. | 215,747 | 9,258 | |
Bridge Bancorp Inc. | 325,763 | 9,252 | |
Dime Community Bancshares Inc. | 543,146 | 9,239 | |
Virtu Financial Inc. Class A | 510,749 | 9,193 | |
*,^ | Nationstar Mortgage Holdings Inc. | 814,784 | 9,174 |
CatchMark Timber Trust Inc. Class A | 739,391 | 9,035 | |
James River Group Holdings Ltd. | 264,036 | 8,967 | |
* | Flagstar Bancorp Inc. | 365,891 | 8,931 |
Bryn Mawr Bank Corp. | 303,213 | 8,854 | |
National Western Life Group Inc. Class A | 44,256 | 8,642 | |
BancFirst Corp. | 143,078 | 8,630 | |
Preferred Apartment Communities Inc. Class A | 571,569 | 8,413 | |
Ladder Capital Corp. | 686,617 | 8,377 | |
ConnectOne Bancorp Inc. | 528,836 | 8,297 | |
Moelis & Co. Class A | 364,831 | 8,209 | |
* | Seacoast Banking Corp. of Florida | 503,410 | 8,175 |
Camden National Corp. | 192,328 | 8,078 | |
Apollo Residential Mortgage Inc. | 600,816 | 8,051 | |
* | HomeStreet Inc. | 398,815 | 7,944 |
Greenhill & Co. Inc. | 492,626 | 7,931 | |
First of Long Island Corp. | 276,613 | 7,930 | |
First Financial Corp. | 215,772 | 7,902 | |
* | Tejon Ranch Co. | 332,459 | 7,859 |
Great Southern Bancorp Inc. | 211,545 | 7,821 | |
*,^ | WMIH Corp. | 3,493,821 | 7,756 |
* | INTL. FCStone Inc. | 282,269 | 7,703 |
Meta Financial Group Inc. | 150,271 | 7,658 | |
*,^ | Altisource Portfolio Solutions SA | 273,925 | 7,626 |
NexPoint Residential Trust Inc. | 418,055 | 7,609 | |
* | Marcus & Millichap Inc. | 294,414 | 7,481 |
22
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
AG Mortgage Investment Trust Inc. | 518,026 | 7,480 | |
Gladstone Commercial Corp. | 442,076 | 7,467 | |
* | Forestar Group Inc. | 627,017 | 7,455 |
Suffolk Bancorp | 238,041 | 7,453 | |
Bank Mutual Corp. | 967,193 | 7,428 | |
* | EZCORP Inc. Class A | 982,529 | 7,428 |
^ | Western Asset Mortgage Capital Corp. | 787,846 | 7,398 |
State National Cos. Inc. | 702,191 | 7,394 | |
Resource Capital Corp. | 568,690 | 7,313 | |
Westwood Holdings Group Inc. | 140,530 | 7,279 | |
Ashford Hospitality Prime Inc. | 512,987 | 7,254 | |
PJT Partners Inc. | 314,055 | 7,223 | |
Waterstone Financial Inc. | 471,058 | 7,221 | |
OFG Bancorp | 869,391 | 7,216 | |
Peoples Bancorp Inc. | 330,816 | 7,208 | |
German American Bancorp Inc. | 222,844 | 7,124 | |
OceanFirst Financial Corp. | 385,668 | 7,008 | |
CorEnergy Infrastructure Trust Inc. | 241,424 | 6,965 | |
UMH Properties Inc. | 604,920 | 6,805 | |
Stonegate Bank | 206,461 | 6,662 | |
City Office REIT Inc. | 509,485 | 6,613 | |
Independence Realty Trust Inc. | 806,075 | 6,594 | |
Financial Institutions Inc. | 252,465 | 6,582 | |
Preferred Bank | 227,767 | 6,577 | |
QCR Holdings Inc. | 241,763 | 6,574 | |
Park Sterling Corp. | 924,877 | 6,557 | |
Fidelity & Guaranty Life | 281,678 | 6,529 | |
Blue Hills Bancorp Inc. | 442,302 | 6,528 | |
One Liberty Properties Inc. | 269,301 | 6,423 | |
Arbor Realty Trust Inc. | 888,966 | 6,392 | |
* | CU Bancorp | 280,578 | 6,378 |
EMC Insurance Group Inc. | 229,910 | 6,373 | |
Southwest Bancorp Inc. | 373,430 | 6,322 | |
First Defiance Financial Corp. | 160,333 | 6,229 | |
Dynex Capital Inc. | 892,775 | 6,196 | |
* | First Foundation Inc. | 287,780 | 6,187 |
Pacific Continental Corp. | 392,234 | 6,162 | |
United Community Financial Corp. | 1,013,343 | 6,161 | |
* | Triumph Bancorp Inc. | 385,052 | 6,161 |
*,^ | Atlantic Capital Bancshares Inc. | 424,061 | 6,132 |
Lakeland Bancorp Inc. | 537,430 | 6,116 | |
* | HomeTrust Bancshares Inc. | 328,097 | 6,070 |
Independent Bank Corp. Michigan | 415,310 | 6,026 | |
Arrow Financial Corp. | 197,609 | 5,986 | |
Univest Corp. of Pennsylvania | 280,262 | 5,891 | |
*,^ | Citizens Inc. Class A | 772,752 | 5,873 |
* | Franklin Financial Network Inc. | 186,497 | 5,849 |
Heritage Insurance Holdings Inc. | 488,070 | 5,842 | |
* | NMI Holdings Inc. Class A | 1,047,681 | 5,741 |
Winthrop Realty Trust | 649,816 | 5,712 | |
* | World Acceptance Corp. | 125,080 | 5,704 |
Ares Commercial Real Estate Corp. | 462,148 | 5,680 | |
First Community Bancshares Inc. | 249,700 | 5,603 | |
OneBeacon Insurance Group Ltd. Class A | 404,327 | 5,580 | |
* | TriState Capital Holdings Inc. | 405,845 | 5,572 |
Fidelity Southern Corp. | 355,536 | 5,571 | |
Arlington Asset Investment Corp. Class A | 427,168 | 5,557 | |
Mercantile Bank Corp. | 232,130 | 5,539 | |
United Insurance Holdings Corp. | 335,753 | 5,500 | |
West Bancorporation Inc. | 295,741 | 5,498 | |
State Auto Financial Corp. | 250,533 | 5,489 | |
*,^ | Cowen Group Inc. Class A | 1,842,536 | 5,454 |
RAIT Financial Trust | 1,741,945 | 5,452 | |
Cherry Hill Mortgage Investment Corp. | 345,287 | 5,376 |
23
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
First Bancorp (NASDAQ Shares) | 305,302 | 5,367 | |
Newcastle Investment Corp. | 1,159,643 | 5,323 | |
Community Healthcare Trust Inc. | 241,947 | 5,115 | |
* | First NBC Bank Holding Co. | 302,889 | 5,085 |
Clifton Bancorp Inc. | 334,811 | 5,046 | |
Prudential Bancorp Inc. | 354,021 | 4,992 | |
* | Nicolet Bankshares Inc. | 130,118 | 4,955 |
Horizon Bancorp | 196,275 | 4,934 | |
1st Source Corp. | 151,545 | 4,909 | |
Charter Financial Corp. | 368,630 | 4,895 | |
Houlihan Lokey Inc. | 218,679 | 4,892 | |
* | Safeguard Scientifics Inc. | 390,295 | 4,875 |
RMR Group Inc. Class A | 157,093 | 4,865 | |
^ | Wheeler REIT Inc. | 3,109,982 | 4,789 |
^ | Peoples Financial Services Corp. | 122,169 | 4,782 |
American National Bankshares Inc. | 189,589 | 4,774 | |
* | FRP Holdings Inc. | 138,078 | 4,764 |
HCI Group Inc. | 172,968 | 4,719 | |
First Connecticut Bancorp Inc. | 283,698 | 4,698 | |
Federal Agricultural Mortgage Corp. | 134,787 | 4,693 | |
Federated National Holding Co. | 245,699 | 4,678 | |
^ | National Bankshares Inc. | 128,302 | 4,480 |
Reis Inc. | 177,658 | 4,424 | |
* | eHealth Inc. | 315,366 | 4,421 |
People's Utah Bancorp | 265,238 | 4,403 | |
* | PennyMac Financial Services Inc. Class A | 349,642 | 4,367 |
* | Green Bancorp Inc. | 496,893 | 4,333 |
Consolidated-Tomoka Land Co. | 90,494 | 4,296 | |
Manning & Napier Inc. | 451,736 | 4,291 | |
Peapack Gladstone Financial Corp. | 227,470 | 4,210 | |
* | Ladenburg Thalmann Financial Services Inc. | 1,773,604 | 4,186 |
Bluerock Residential Growth REIT Inc. Class A | 319,549 | 4,154 | |
GAIN Capital Holdings Inc. | 653,103 | 4,128 | |
* | Bancorp Inc. | 684,599 | 4,121 |
National Interstate Corp. | 136,110 | 4,117 | |
ZAIS Financial Corp. | 299,095 | 4,101 | |
*,^ | On Deck Capital Inc. | 788,039 | 4,058 |
* | National Commerce Corp. | 173,792 | 4,053 |
Great Ajax Corp. | 291,892 | 4,049 | |
* | PICO Holdings Inc. | 422,979 | 4,001 |
Baldwin & Lyons Inc. Class B | 161,521 | 3,983 | |
* | Allegiance Bancshares Inc. | 159,899 | 3,978 |
Bank of Marin Bancorp | 82,162 | 3,974 | |
Carolina Financial Corp. | 212,611 | 3,972 | |
Ellington Residential Mortgage REIT | 301,460 | 3,937 | |
Republic Bancorp Inc. Class A | 141,426 | 3,908 | |
Owens Realty Mortgage Inc. | 231,509 | 3,852 | |
^ | Orchid Island Capital Inc. | 374,028 | 3,849 |
Guaranty Bancorp | 230,124 | 3,843 | |
Old Second Bancorp Inc. | 559,606 | 3,822 | |
* | First Northwest Bancorp | 299,846 | 3,820 |
Ames National Corp. | 140,970 | 3,781 | |
* | MoneyGram International Inc. | 547,471 | 3,750 |
Citizens & Northern Corp. | 184,137 | 3,723 | |
MidWestOne Financial Group Inc. | 128,802 | 3,679 | |
* | Enova International Inc. | 491,004 | 3,614 |
Heritage Oaks Bancorp | 454,038 | 3,605 | |
^ | Bear State Financial Inc. | 380,886 | 3,592 |
Territorial Bancorp Inc. | 135,276 | 3,581 | |
Shore Bancshares Inc. | 301,263 | 3,540 | |
Macatawa Bank Corp. | 476,968 | 3,539 | |
Hingham Institution for Savings | 28,760 | 3,535 | |
* | C1 Financial Inc. | 148,846 | 3,473 |
Tiptree Financial Inc. Class A | 622,227 | 3,410 |
24
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
CNB Financial Corp. | 191,517 | 3,409 | |
* | Global Indemnity plc | 123,813 | 3,409 |
* | Sun Bancorp Inc. | 164,339 | 3,395 |
* | Avenue Financial Holdings Inc. | 171,479 | 3,370 |
ESSA Bancorp Inc. | 251,458 | 3,370 | |
* | Southern First Bancshares Inc. | 136,999 | 3,302 |
* | NewStar Financial Inc. | 380,250 | 3,202 |
Westfield Financial Inc. | 415,733 | 3,201 | |
BankFinancial Corp. | 266,603 | 3,197 | |
Donegal Group Inc. Class A | 192,422 | 3,173 | |
Farmers Capital Bank Corp. | 115,952 | 3,171 | |
* | Regional Management Corp. | 215,324 | 3,157 |
* | Ocwen Financial Corp. | 1,841,173 | 3,148 |
Southern National Bancorp of Virginia Inc. | 258,700 | 3,143 | |
Your Community Bankshares Inc. | 84,112 | 3,126 | |
Investar Holding Corp. | 202,821 | 3,119 | |
* | Xenith Bankshares Inc. | 383,699 | 3,050 |
* | Cascade Bancorp | 545,291 | 3,021 |
MidSouth Bancorp Inc. | 299,101 | 3,003 | |
^ | Fox Chase Bancorp Inc. | 147,131 | 2,993 |
First Bancorp Inc. | 137,418 | 2,960 | |
Bank of Commerce Holdings | 442,890 | 2,923 | |
Timberland Bancorp Inc. | 191,130 | 2,867 | |
Pzena Investment Management Inc. Class A | 374,190 | 2,848 | |
* | CommunityOne Bancorp | 225,141 | 2,846 |
Resource America Inc. Class A | 290,324 | 2,822 | |
Jernigan Capital Inc. | 202,133 | 2,818 | |
GAMCO Investors Inc. Class A | 85,479 | 2,801 | |
^ | American Farmland Co. | 458,666 | 2,770 |
* | BSB Bancorp Inc. | 121,357 | 2,749 |
Provident Financial Holdings Inc. | 149,165 | 2,730 | |
Sierra Bancorp | 163,336 | 2,726 | |
^ | Farmland Partners Inc. | 239,672 | 2,713 |
Enterprise Bancorp Inc. | 112,004 | 2,687 | |
Five Oaks Investment Corp. | 486,638 | 2,667 | |
* | Atlas Financial Holdings Inc. | 154,236 | 2,656 |
First Financial Northwest Inc. | 199,551 | 2,650 | |
Bar Harbor Bankshares | 74,462 | 2,614 | |
First Business Financial Services Inc. | 110,487 | 2,593 | |
Marlin Business Services Corp. | 155,534 | 2,535 | |
* | Entegra Financial Corp. | 144,122 | 2,521 |
C&F Financial Corp. | 54,712 | 2,449 | |
Penns Woods Bancorp Inc. | 58,250 | 2,446 | |
Northrim BanCorp Inc. | 92,755 | 2,439 | |
Calamos Asset Management Inc. Class A | 331,838 | 2,426 | |
Home Bancorp Inc. | 86,917 | 2,388 | |
Oppenheimer Holdings Inc. Class A | 151,744 | 2,346 | |
FBR & Co. | 155,520 | 2,322 | |
* | Carolina Bank Holdings Inc. | 132,646 | 2,319 |
*,^ | Republic First Bancorp Inc. | 534,080 | 2,302 |
Unity Bancorp Inc. | 180,812 | 2,298 | |
Middleburg Financial Corp. | 83,887 | 2,282 | |
Lake Sunapee Bank Group | 132,780 | 2,272 | |
Associated Capital Group Inc. Class A | 78,746 | 2,258 | |
Central Valley Community Bancorp | 158,873 | 2,224 | |
Silvercrest Asset Management Group Inc. Class A | 178,696 | 2,187 | |
* | Hallmark Financial Services Inc. | 188,402 | 2,184 |
MutualFirst Financial Inc. | 79,243 | 2,167 | |
Independence Holding Co. | 119,927 | 2,155 | |
Capital City Bank Group Inc. | 153,843 | 2,141 | |
SmartFinancial Inc. | 139,194 | 2,138 | |
Sotherly Hotels Inc. | 377,679 | 2,130 | |
Merchants Bancshares Inc. | 69,588 | 2,121 | |
* | Equity Bancshares Inc. Class A | 95,079 | 2,105 |
25
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | UCP Inc. | 250,332 | 2,008 |
Blue Capital Reinsurance Holdings Ltd. | 107,626 | 1,992 | |
Investors Title Co. | 20,745 | 1,976 | |
SI Financial Group Inc. | 147,248 | 1,950 | |
Gladstone Land Corp. | 175,334 | 1,939 | |
^ | Global Self Storage Inc. | 357,723 | 1,928 |
Old Line Bancshares Inc. | 105,897 | 1,906 | |
Century Bancorp Inc. Class A | 44,025 | 1,864 | |
*,^ | Walter Investment Management Corp. | 674,835 | 1,863 |
^ | United Development Funding IV | 578,058 | 1,850 |
* | AV Homes Inc. | 150,347 | 1,837 |
HopFed Bancorp Inc. | 158,465 | 1,837 | |
* | Malvern Bancorp Inc. | 116,088 | 1,811 |
* | 1st Century Bancshares Inc. | 160,498 | 1,801 |
MSB Financial Corp. | 128,927 | 1,778 | |
Access National Corp. | 89,442 | 1,745 | |
* | Hampton Roads Bankshares Inc. | 974,850 | 1,745 |
^ | CPI Card Group Inc. | 344,697 | 1,727 |
*,^ | Impac Mortgage Holdings Inc. | 108,621 | 1,703 |
* | Stratus Properties Inc. | 90,559 | 1,696 |
* | Commerce Union Bancshares Inc. | 109,466 | 1,693 |
*,^ | Centrue Financial Corp. | 96,309 | 1,676 |
First Internet Bancorp | 69,844 | 1,664 | |
*,^ | Veritex Holdings Inc. | 101,430 | 1,625 |
* | Emergent Capital Inc. | 478,440 | 1,608 |
* | Consumer Portfolio Services Inc. | 419,304 | 1,581 |
Kingstone Cos. Inc. | 168,659 | 1,493 | |
* | Westbury Bancorp Inc. | 75,164 | 1,466 |
Premier Financial Bancorp Inc. | 85,897 | 1,447 | |
* | Ashford Inc. | 28,887 | 1,444 |
Federal Agricultural Mortgage Corp. Class A | 38,986 | 1,441 | |
Urstadt Biddle Properties Inc. | 63,312 | 1,385 | |
* | Jason Industries Inc. | 381,213 | 1,376 |
* | 1st Constitution Bancorp | 112,487 | 1,352 |
Summit State Bank | 99,634 | 1,333 | |
FS Bancorp Inc. | 52,583 | 1,333 | |
* | Maui Land & Pineapple Co. Inc. | 184,180 | 1,330 |
United Bancorp Inc. | 133,151 | 1,301 | |
* | Nicholas Financial Inc. | 120,764 | 1,241 |
Ocean Shore Holding Co. | 70,728 | 1,200 | |
Northeast Bancorp | 102,171 | 1,149 | |
* | American River Bankshares | 110,821 | 1,125 |
* | Atlantic Coast Financial Corp. | 187,824 | 1,123 |
CB Financial Services Inc. | 50,036 | 1,066 | |
First Bancshares Inc. | 60,115 | 1,038 | |
* | Health Insurance Innovations Inc. Class A | 259,314 | 1,019 |
* | Asta Funding Inc. | 94,181 | 995 |
* | Performant Financial Corp. | 611,136 | 990 |
IF Bancorp Inc. | 53,436 | 980 | |
*,^ | IZEA Inc. | 124,933 | 952 |
Eastern Virginia Bankshares Inc. | 125,874 | 950 | |
^ | FXCM Inc. Class A | 109,782 | 950 |
*,^ | Stonegate Mortgage Corp. | 280,184 | 941 |
Medley Management Inc. Class A | 159,760 | 939 | |
^ | Poage Bankshares Inc. | 53,931 | 927 |
Bankwell Financial Group Inc. | 39,661 | 875 | |
* | Coastway Bancorp Inc. | 69,446 | 865 |
United Security Bancshares Inc. | 93,109 | 829 | |
Fifth Street Asset Management Inc. | 199,952 | 808 | |
AmeriServ Financial Inc. | 261,840 | 791 | |
DNB Financial Corp. | 33,490 | 790 | |
Landmark Bancorp Inc. | 31,061 | 787 | |
Hennessy Advisors Inc. | 22,997 | 770 | |
* | Conifer Holdings Inc. | 103,497 | 718 |
26
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Sunshine Bancorp Inc. | 49,692 | 704 |
* | Security National Financial Corp. Class A | 143,485 | 702 |
Parke Bancorp Inc. | 52,971 | 684 | |
PB Bancorp Inc. | 79,300 | 668 | |
* | First United Corp. | 66,610 | 655 |
*,^ | Provident Bancorp Inc. | 40,760 | 629 |
Mackinac Financial Corp. | 56,323 | 620 | |
* | First Marblehead Corp. | 120,617 | 586 |
* | 1347 Property Insurance Holdings Inc. | 91,546 | 585 |
Home Federal Bancorp Inc. | 26,980 | 579 | |
* | Connecture Inc. | 252,020 | 570 |
Salisbury Bancorp Inc. | 18,898 | 563 | |
* | First Acceptance Corp. | 371,196 | 520 |
*,^ | Altisource Asset Management Corp. | 29,491 | 430 |
California First National Bancorp | 28,965 | 428 | |
Manhattan Bridge Capital Inc. | 76,344 | 406 | |
US Global Investors Inc. Class A | 231,835 | 394 | |
* | Anchor Bancorp Inc. | 14,890 | 352 |
Bancorp of New Jersey Inc. | 30,150 | 352 | |
United Community Bancorp | 24,599 | 346 | |
Eagle Bancorp Montana Inc. | 25,338 | 322 | |
* | Melrose Bancorp Inc. | 19,964 | 295 |
* | Intersections Inc. | 137,700 | 295 |
First Savings Financial Group Inc. | 7,936 | 274 | |
United Bancshares Inc. | 12,480 | 222 | |
Sussex Bancorp | 14,768 | 197 | |
Pathfinder Bancorp Inc. | 15,172 | 171 | |
* | National Holdings Corp. | 56,055 | 168 |
* | InterGroup Corp. | 6,301 | 157 |
WVS Financial Corp. | 11,313 | 126 | |
* | Bay Bancorp Inc. | 21,167 | 107 |
Institutional Financial Markets Inc. | 124,173 | 101 | |
*,^ | Income Opportunity Realty Investors Inc. | 12,550 | 93 |
* | JW Mays Inc. | 1,536 | 76 |
* | ZAIS Group Holdings Inc. | 23,486 | 66 |
* | RMG Networks Holding Corp. | 51,892 | 50 |
Citizens First Corp. | 3,499 | 50 | |
Atlantic American Corp. | 11,780 | 44 | |
* | Cordia Bancorp Inc. | 5,680 | 29 |
* | Vestin Realty Mortgage II Inc. | 12,010 | 28 |
* | Unico American Corp. | 1,600 | 18 |
* | ITUS Corp. | 3,799 | 12 |
National Security Group Inc. | 600 | 11 | |
Lake Shore Bancorp Inc. | 700 | 9 | |
Baldwin & Lyons Inc. Class A | 125 | 3 | |
* | Porter Bancorp Inc. | 200 | — |
NorthStar Realty Europe Corp. | 22 | — | |
* | Tejon Ranch Co. Warrants Exp. 08/31/2016 | 33,339 | — |
81,651,831 | |||
Health Care (13.5%) | |||
Johnson & Johnson | 54,772,218 | 6,643,870 | |
Pfizer Inc. | 120,689,469 | 4,249,476 | |
Merck & Co. Inc. | 55,061,925 | 3,172,118 | |
UnitedHealth Group Inc. | 18,929,906 | 2,672,903 | |
Bristol-Myers Squibb Co. | 33,228,244 | 2,443,937 | |
Medtronic plc | 27,943,526 | 2,424,660 | |
Amgen Inc. | 14,951,056 | 2,274,803 | |
Gilead Sciences Inc. | 26,530,771 | 2,213,197 | |
AbbVie Inc. | 32,218,933 | 1,994,674 | |
* | Allergan plc | 7,890,044 | 1,823,310 |
Eli Lilly & Co. | 19,752,732 | 1,555,528 | |
* | Celgene Corp. | 15,455,081 | 1,524,335 |
Thermo Fisher Scientific Inc. | 7,836,968 | 1,157,990 | |
Abbott Laboratories | 29,216,946 | 1,148,518 |
27
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Biogen Inc. | 4,361,935 | 1,054,803 |
* | Express Scripts Holding Co. | 12,592,847 | 954,538 |
Aetna Inc. | 6,964,123 | 850,528 | |
Becton Dickinson and Co. | 4,214,317 | 714,706 | |
Stryker Corp. | 5,945,106 | 712,402 | |
Anthem Inc. | 5,219,655 | 685,549 | |
Cigna Corp. | 5,098,238 | 652,523 | |
* | Boston Scientific Corp. | 26,945,476 | 629,716 |
* | Regeneron Pharmaceuticals Inc. | 1,546,110 | 539,948 |
Humana Inc. | 2,955,862 | 531,700 | |
* | HCA Holdings Inc. | 6,677,971 | 514,271 |
* | Intuitive Surgical Inc. | 755,592 | 499,756 |
* | Alexion Pharmaceuticals Inc. | 4,249,455 | 496,166 |
Baxter International Inc. | 10,947,940 | 495,066 | |
Zimmer Biomet Holdings Inc. | 3,948,396 | 475,308 | |
Zoetis Inc. | 9,842,552 | 467,128 | |
* | Vertex Pharmaceuticals Inc. | 4,955,069 | 426,235 |
* | Edwards Lifesciences Corp. | 4,222,009 | 421,061 |
St. Jude Medical Inc. | 5,364,100 | 418,400 | |
* | Illumina Inc. | 2,936,463 | 412,221 |
* | Mylan NV | 8,619,194 | 372,694 |
CR Bard Inc. | 1,459,950 | 343,322 | |
DENTSPLY SIRONA Inc. | 4,778,807 | 296,477 | |
* | Henry Schein Inc. | 1,625,197 | 287,335 |
* | Laboratory Corp. of America Holdings | 2,011,752 | 262,071 |
* | DaVita HealthCare Partners Inc. | 3,333,836 | 257,772 |
* | Incyte Corp. | 3,204,490 | 256,295 |
Perrigo Co. plc | 2,716,684 | 246,322 | |
* | BioMarin Pharmaceutical Inc. | 3,102,450 | 241,371 |
Universal Health Services Inc. Class B | 1,780,724 | 238,795 | |
* | Centene Corp. | 3,215,471 | 229,488 |
Quest Diagnostics Inc. | 2,817,969 | 229,411 | |
* | Waters Corp. | 1,530,865 | 215,316 |
* | Medivation Inc. | 3,273,821 | 197,411 |
* | Hologic Inc. | 5,517,927 | 190,920 |
ResMed Inc. | 2,782,666 | 175,948 | |
* | IDEXX Laboratories Inc. | 1,776,578 | 164,973 |
Cooper Cos. Inc. | 956,965 | 164,186 | |
* | Jazz Pharmaceuticals plc | 1,145,023 | 161,803 |
* | Varian Medical Systems Inc. | 1,893,025 | 155,663 |
Teleflex Inc. | 861,777 | 152,802 | |
* | MEDNAX Inc. | 1,854,001 | 134,285 |
* | Mallinckrodt plc | 2,188,929 | 133,043 |
* | Alkermes plc | 3,036,161 | 131,223 |
* | DexCom Inc. | 1,583,439 | 125,614 |
STERIS plc | 1,695,510 | 116,566 | |
* | Align Technology Inc. | 1,429,165 | 115,119 |
West Pharmaceutical Services Inc. | 1,414,518 | 107,334 | |
* | Quintiles Transnational Holdings Inc. | 1,641,405 | 107,217 |
* | Envision Healthcare Holdings Inc. | 3,697,761 | 93,812 |
* | WellCare Health Plans Inc. | 873,570 | 93,717 |
* | United Therapeutics Corp. | 880,072 | 93,217 |
* | Amsurg Corp. | 1,077,520 | 83,551 |
* | ABIOMED Inc. | 758,208 | 82,865 |
Bio-Techne Corp. | 734,463 | 82,825 | |
* | Alnylam Pharmaceuticals Inc. | 1,474,241 | 81,806 |
Patterson Cos. Inc. | 1,685,871 | 80,736 | |
* | Seattle Genetics Inc. | 1,993,072 | 80,540 |
* | Neurocrine Biosciences Inc. | 1,761,614 | 80,065 |
* | Charles River Laboratories International Inc. | 925,063 | 76,262 |
* | Acadia Healthcare Co. Inc. | 1,372,082 | 76,013 |
* | Alere Inc. | 1,715,698 | 71,510 |
* | PAREXEL International Corp. | 1,056,460 | 66,430 |
HealthSouth Corp. | 1,685,830 | 65,444 |
28
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Endo International plc | 4,040,701 | 62,995 |
*,^ | Juno Therapeutics Inc. | 1,586,630 | 60,990 |
*,^ | OPKO Health Inc. | 6,510,831 | 60,811 |
*,^ | ACADIA Pharmaceuticals Inc. | 1,807,667 | 58,677 |
Hill-Rom Holdings Inc. | 1,160,251 | 58,535 | |
* | NuVasive Inc. | 976,503 | 58,317 |
* | Bio-Rad Laboratories Inc. Class A | 407,487 | 58,279 |
* | Prestige Brands Holdings Inc. | 1,041,058 | 57,675 |
* | Ionis Pharmaceuticals Inc. | 2,451,807 | 57,103 |
Healthcare Services Group Inc. | 1,366,881 | 56,562 | |
* | Brookdale Senior Living Inc. | 3,648,096 | 56,327 |
* | LifePoint Health Inc. | 850,557 | 55,601 |
* | Team Health Holdings Inc. | 1,358,038 | 55,231 |
*,^ | TESARO Inc. | 601,474 | 50,554 |
Bruker Corp. | 2,212,667 | 50,316 | |
* | Catalent Inc. | 2,094,303 | 48,148 |
* | Horizon Pharma plc | 2,898,490 | 47,738 |
* | Akorn Inc. | 1,655,894 | 47,168 |
* | Integra LifeSciences Holdings Corp. | 582,426 | 46,466 |
Cantel Medical Corp. | 675,882 | 46,453 | |
* | Masimo Corp. | 883,743 | 46,410 |
Owens & Minor Inc. | 1,233,059 | 46,092 | |
*,^ | Intercept Pharmaceuticals Inc. | 320,001 | 45,658 |
* | VWR Corp. | 1,553,730 | 44,903 |
* | Cepheid | 1,444,603 | 44,422 |
* | Medicines Co. | 1,307,231 | 43,962 |
* | Ligand Pharmaceuticals Inc. | 366,515 | 43,714 |
* | Tenet Healthcare Corp. | 1,581,339 | 43,708 |
* | Myriad Genetics Inc. | 1,402,633 | 42,921 |
* | Molina Healthcare Inc. | 830,643 | 41,449 |
*,^ | Novavax Inc. | 5,600,825 | 40,718 |
*,^ | Kite Pharma Inc. | 804,365 | 40,218 |
* | Neogen Corp. | 713,482 | 40,133 |
* | Impax Laboratories Inc. | 1,377,519 | 39,700 |
* | Nektar Therapeutics | 2,731,247 | 38,866 |
*,^ | Exelixis Inc. | 4,696,476 | 36,679 |
* | Wright Medical Group NV | 2,025,222 | 35,178 |
* | Insulet Corp. | 1,160,168 | 35,083 |
* | Ultragenyx Pharmaceutical Inc. | 714,663 | 34,954 |
* | Ironwood Pharmaceuticals Inc. Class A | 2,579,429 | 33,726 |
* | Magellan Health Inc. | 502,050 | 33,020 |
* | Bluebird Bio Inc. | 757,371 | 32,787 |
* | Ophthotech Corp. | 639,492 | 32,633 |
* | ICU Medical Inc. | 284,649 | 32,094 |
* | Globus Medical Inc. | 1,328,259 | 31,652 |
* | Nevro Corp. | 428,963 | 31,640 |
* | Halyard Health Inc. | 947,473 | 30,812 |
* | INC Research Holdings Inc. Class A | 793,409 | 30,253 |
* | HMS Holdings Corp. | 1,680,074 | 29,586 |
* | Penumbra Inc. | 491,282 | 29,231 |
* | Haemonetics Corp. | 1,005,304 | 29,144 |
* | Amedisys Inc. | 562,716 | 28,406 |
* | NxStage Medical Inc. | 1,280,209 | 27,755 |
* | Radius Health Inc. | 748,017 | 27,490 |
*,^ | Intrexon Corp. | 1,087,093 | 26,753 |
*,^ | TherapeuticsMD Inc. | 3,104,216 | 26,386 |
*,^ | Agios Pharmaceuticals Inc. | 624,395 | 26,159 |
* | Surgical Care Affiliates Inc. | 547,328 | 26,091 |
CONMED Corp. | 546,034 | 26,062 | |
* | Community Health Systems Inc. | 2,118,479 | 25,528 |
* | Intra-Cellular Therapies Inc. Class A | 649,181 | 25,201 |
* | Air Methods Corp. | 694,077 | 24,869 |
* | PRA Health Sciences Inc. | 593,525 | 24,786 |
* | ARIAD Pharmaceuticals Inc. | 3,345,340 | 24,722 |
29
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Natus Medical Inc. | 645,878 | 24,414 |
*,^ | Exact Sciences Corp. | 1,929,050 | 23,631 |
* | Acorda Therapeutics Inc. | 926,382 | 23,627 |
* | Depomed Inc. | 1,196,465 | 23,475 |
* | Pacira Pharmaceuticals Inc. | 692,455 | 23,357 |
* | Cynosure Inc. Class A | 477,074 | 23,207 |
* | Omnicell Inc. | 663,803 | 22,722 |
* | Portola Pharmaceuticals Inc. | 958,559 | 22,622 |
* | Select Medical Holdings Corp. | 2,051,369 | 22,298 |
*,^ | Spark Therapeutics Inc. | 422,531 | 21,604 |
* | Alder Biopharmaceuticals Inc. | 860,900 | 21,497 |
Abaxis Inc. | 427,414 | 20,187 | |
*,^ | Endologix Inc. | 1,608,945 | 20,047 |
* | Acceleron Pharma Inc. | 588,445 | 19,995 |
Analogic Corp. | 251,599 | 19,987 | |
* | HeartWare International Inc. | 344,413 | 19,890 |
* | Five Prime Therapeutics Inc. | 476,777 | 19,715 |
Ensign Group Inc. | 931,838 | 19,578 | |
* | Inogen Inc. | 390,417 | 19,564 |
* | Celator Pharmaceuticals Inc. | 639,297 | 19,294 |
* | LDR Holding Corp. | 517,346 | 19,116 |
* | Zeltiq Aesthetics Inc. | 698,515 | 19,090 |
* | Supernus Pharmaceuticals Inc. | 929,798 | 18,940 |
Kindred Healthcare Inc. | 1,643,530 | 18,555 | |
* | Emergent BioSolutions Inc. | 656,279 | 18,455 |
* | MacroGenics Inc. | 682,085 | 18,409 |
* | Halozyme Therapeutics Inc. | 2,055,596 | 17,740 |
* | Repligen Corp. | 647,988 | 17,729 |
* | Achillion Pharmaceuticals Inc. | 2,206,147 | 17,208 |
* | Merit Medical Systems Inc. | 831,055 | 16,480 |
* | Puma Biotechnology Inc. | 549,946 | 16,383 |
* | FibroGen Inc. | 995,564 | 16,337 |
*,^ | Sarepta Therapeutics Inc. | 851,364 | 16,236 |
* | AMAG Pharmaceuticals Inc. | 676,910 | 16,192 |
* | Spectranetics Corp. | 857,838 | 16,050 |
Meridian Bioscience Inc. | 805,661 | 15,710 | |
*,^ | MiMedx Group Inc. | 1,952,604 | 15,582 |
*,^ | Innoviva Inc. | 1,469,831 | 15,477 |
* | Luminex Corp. | 760,489 | 15,385 |
* | Orthofix International NV | 362,824 | 15,384 |
* | Dermira Inc. | 524,589 | 15,344 |
* | Sage Therapeutics Inc. | 507,188 | 15,282 |
*,^ | Theravance Biopharma Inc. | 667,509 | 15,146 |
*,^ | Adeptus Health Inc. Class A | 285,976 | 14,774 |
* | Anika Therapeutics Inc. | 275,061 | 14,757 |
US Physical Therapy Inc. | 234,420 | 14,114 | |
* | PharMerica Corp. | 564,597 | 13,923 |
* | Xencor Inc. | 724,978 | 13,767 |
* | Amicus Therapeutics Inc. | 2,485,252 | 13,569 |
* | Synergy Pharmaceuticals Inc. | 3,565,695 | 13,550 |
* | Momenta Pharmaceuticals Inc. | 1,254,034 | 13,544 |
* | Vascular Solutions Inc. | 323,418 | 13,474 |
* | HealthStream Inc. | 500,818 | 13,282 |
* | Merrimack Pharmaceuticals Inc. | 2,421,993 | 13,055 |
*,^ | Inovio Pharmaceuticals Inc. | 1,395,017 | 12,890 |
*,^ | Relypsa Inc. | 692,784 | 12,817 |
*,^ | ZIOPHARM Oncology Inc. | 2,328,272 | 12,782 |
* | Cerus Corp. | 2,047,105 | 12,774 |
* | LHC Group Inc. | 292,222 | 12,647 |
*,^ | Cempra Inc. | 756,925 | 12,482 |
*,^ | Lannett Co. Inc. | 518,958 | 12,346 |
*,^ | Lexicon Pharmaceuticals Inc. | 858,355 | 12,317 |
* | Retrophin Inc. | 677,913 | 12,074 |
Atrion Corp. | 28,134 | 12,037 |
30
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Insmed Inc. | 1,218,593 | 12,015 |
National HealthCare Corp. | 184,804 | 11,964 | |
* | Cardiovascular Systems Inc. | 637,035 | 11,706 |
* | Amphastar Pharmaceuticals Inc. | 719,162 | 11,593 |
*,^ | Seres Therapeutics Inc. | 395,947 | 11,502 |
* | SciClone Pharmaceuticals Inc. | 872,174 | 11,391 |
*,^ | Heron Therapeutics Inc. | 630,741 | 11,385 |
*,^ | Pacific Biosciences of California Inc. | 1,594,222 | 11,215 |
* | Dynavax Technologies Corp. | 760,156 | 11,083 |
* | Triple-S Management Corp. Class B | 445,585 | 10,886 |
*,^ | Keryx Biopharmaceuticals Inc. | 1,601,671 | 10,603 |
PDL BioPharma Inc. | 3,223,281 | 10,121 | |
* | Array BioPharma Inc. | 2,842,012 | 10,118 |
* | NeoGenomics Inc. | 1,251,511 | 10,062 |
* | Quidel Corp. | 547,454 | 9,778 |
* | Capital Senior Living Corp. | 551,824 | 9,751 |
* | Genomic Health Inc. | 370,062 | 9,583 |
*,^ | Novocure Ltd. | 815,483 | 9,517 |
* | Celldex Therapeutics Inc. | 2,110,109 | 9,263 |
* | Vanda Pharmaceuticals Inc. | 814,622 | 9,116 |
*,^ | Clovis Oncology Inc. | 663,038 | 9,097 |
* | Aerie Pharmaceuticals Inc. | 512,237 | 9,015 |
*,^ | ANI Pharmaceuticals Inc. | 160,900 | 8,981 |
* | Cytokinetics Inc. | 930,846 | 8,834 |
* | Raptor Pharmaceutical Corp. | 1,627,710 | 8,741 |
* | AtriCure Inc. | 604,723 | 8,545 |
* | BioTelemetry Inc. | 524,186 | 8,544 |
* | Arena Pharmaceuticals Inc. | 4,991,854 | 8,536 |
* | K2M Group Holdings Inc. | 543,390 | 8,433 |
*,^ | Corcept Therapeutics Inc. | 1,541,374 | 8,416 |
*,^ | Geron Corp. | 3,108,590 | 8,331 |
*,^ | Accelerate Diagnostics Inc. | 573,829 | 8,257 |
* | Coherus Biosciences Inc. | 478,628 | 8,084 |
* | Atara Biotherapeutics Inc. | 354,668 | 7,984 |
* | Glaukos Corp. | 273,022 | 7,961 |
* | Epizyme Inc. | 777,451 | 7,961 |
*,^ | Insys Therapeutics Inc. | 610,781 | 7,904 |
* | CorVel Corp. | 182,241 | 7,869 |
*,^ | Sangamo BioSciences Inc. | 1,357,458 | 7,860 |
* | Accuray Inc. | 1,509,087 | 7,832 |
* | XenoPort Inc. | 1,109,229 | 7,809 |
* | Spectrum Pharmaceuticals Inc. | 1,187,212 | 7,800 |
*,^ | Omeros Corp. | 727,797 | 7,656 |
* | Flexion Therapeutics Inc. | 500,386 | 7,488 |
Universal American Corp. | 978,330 | 7,416 | |
*,^ | Eagle Pharmaceuticals Inc. | 189,234 | 7,340 |
* | Sagent Pharmaceuticals Inc. | 489,027 | 7,326 |
* | AngioDynamics Inc. | 506,893 | 7,284 |
*,^ | Rockwell Medical Inc. | 960,690 | 7,272 |
* | Healthways Inc. | 623,588 | 7,202 |
*,^ | MannKind Corp. | 6,200,615 | 7,193 |
Invacare Corp. | 592,714 | 7,190 | |
* | Blueprint Medicines Corp. | 352,934 | 7,147 |
* | Almost Family Inc. | 167,432 | 7,134 |
*,^ | XBiotech Inc. | 338,520 | 7,082 |
* | Otonomy Inc. | 438,411 | 6,962 |
* | Surgery Partners Inc. | 388,762 | 6,959 |
* | GenMark Diagnostics Inc. | 799,344 | 6,954 |
*,^ | Teladoc Inc. | 432,506 | 6,929 |
* | Loxo Oncology Inc. | 298,317 | 6,915 |
*,^ | Global Blood Therapeutics Inc. | 409,375 | 6,792 |
* | Lion Biotechnologies Inc. | 830,724 | 6,729 |
* | OraSure Technologies Inc. | 1,081,125 | 6,389 |
*,^ | Aduro Biotech Inc. | 561,771 | 6,354 |
31
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Intersect ENT Inc. | 487,439 | 6,303 |
* | Civitas Solutions Inc. | 301,189 | 6,274 |
*,^ | Natera Inc. | 518,757 | 6,259 |
*,^ | Organovo Holdings Inc. | 1,681,010 | 6,253 |
* | Enanta Pharmaceuticals Inc. | 279,759 | 6,169 |
CryoLife Inc. | 520,275 | 6,144 | |
* | Agenus Inc. | 1,514,809 | 6,135 |
*,^ | Teligent Inc. | 858,873 | 6,132 |
*,^ | Albany Molecular Research Inc. | 455,694 | 6,125 |
* | Quorum Health Corp. | 570,493 | 6,110 |
* | SurModics Inc. | 258,596 | 6,072 |
*,^ | Bellicum Pharmaceuticals Inc. | 465,584 | 6,034 |
*,^ | Arrowhead Pharmaceuticals Inc. | 1,127,834 | 6,000 |
* | Progenics Pharmaceuticals Inc. | 1,375,887 | 5,806 |
*,^ | Revance Therapeutics Inc. | 420,669 | 5,721 |
* | Sucampo Pharmaceuticals Inc. Class A | 493,729 | 5,416 |
*,^ | Advaxis Inc. | 657,204 | 5,317 |
* | Exactech Inc. | 196,135 | 5,245 |
* | NewLink Genetics Corp. | 460,879 | 5,189 |
*,^ | ImmunoGen Inc. | 1,676,410 | 5,163 |
* | Vitae Pharmaceuticals Inc. | 473,793 | 5,112 |
* | Fluidigm Corp. | 557,596 | 5,035 |
* | American Renal Associates Holdings Inc. | 171,044 | 4,955 |
* | BioScrip Inc. | 1,920,622 | 4,898 |
* | Aclaris Therapeutics Inc. | 264,547 | 4,886 |
*,^ | MediciNova Inc. | 645,540 | 4,874 |
* | Trevena Inc. | 763,223 | 4,808 |
*,^ | Foundation Medicine Inc. | 254,677 | 4,752 |
*,^ | PTC Therapeutics Inc. | 673,594 | 4,729 |
Utah Medical Products Inc. | 74,659 | 4,704 | |
*,^ | OncoMed Pharmaceuticals Inc. | 381,877 | 4,701 |
* | Adamas Pharmaceuticals Inc. | 303,591 | 4,596 |
* | Paratek Pharmaceuticals Inc. | 326,330 | 4,539 |
*,^ | TG Therapeutics Inc. | 744,042 | 4,509 |
*,^ | Immunomedics Inc. | 1,913,046 | 4,438 |
*,^ | AAC Holdings Inc. | 193,667 | 4,419 |
* | Enzo Biochem Inc. | 739,968 | 4,418 |
* | Minerva Neurosciences Inc. | 425,977 | 4,349 |
*,^ | Aratana Therapeutics Inc. | 685,970 | 4,335 |
* | La Jolla Pharmaceutical Co. | 270,886 | 4,334 |
* | Aralez Pharmaceuticals Inc. | 1,308,792 | 4,319 |
* | Aimmune Therapeutics Inc. | 398,161 | 4,308 |
* | BioCryst Pharmaceuticals Inc. | 1,498,971 | 4,257 |
* | Heska Corp. | 112,779 | 4,192 |
*,^ | Editas Medicine Inc. | 169,998 | 4,148 |
* | Akebia Therapeutics Inc. | 546,215 | 4,086 |
*,^ | ConforMIS Inc. | 574,138 | 4,030 |
*,^ | Anavex Life Sciences Corp. | 659,016 | 4,027 |
* | ArQule Inc. | 2,067,971 | 3,929 |
* | Versartis Inc. | 347,412 | 3,842 |
* | Rigel Pharmaceuticals Inc. | 1,716,382 | 3,828 |
* | Concert Pharmaceuticals Inc. | 339,554 | 3,813 |
* | BioSpecifics Technologies Corp. | 93,761 | 3,745 |
LeMaitre Vascular Inc. | 255,176 | 3,641 | |
* | STAAR Surgical Co. | 654,148 | 3,604 |
* | Symmetry Surgical Inc. | 272,270 | 3,575 |
* | Zogenix Inc. | 441,550 | 3,554 |
*,^ | NantKwest Inc. | 569,512 | 3,542 |
* | REGENXBIO Inc. | 442,466 | 3,540 |
* | AxoGen Inc. | 513,988 | 3,536 |
*,^ | Invitae Corp. | 478,321 | 3,535 |
* | RTI Surgical Inc. | 976,317 | 3,505 |
* | Edge Therapeutics Inc. | 339,179 | 3,429 |
* | OvaScience Inc. | 655,076 | 3,413 |
32
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Intellia Therapeutics Inc. | 156,417 | 3,340 |
Digirad Corp. | 646,736 | 3,331 | |
*,^ | BioTime Inc. | 1,275,712 | 3,330 |
*,^ | InVivo Therapeutics Holdings Corp. | 575,841 | 3,328 |
* | Tobira Therapeutics Inc. | 263,795 | 3,313 |
* | Ardelyx Inc. | 378,274 | 3,302 |
* | Chimerix Inc. | 820,001 | 3,223 |
* | RadNet Inc. | 599,908 | 3,204 |
*,^ | Athersys Inc. | 1,447,833 | 3,142 |
* | Curis Inc. | 2,011,002 | 3,137 |
* | Collegium Pharmaceutical Inc. | 263,386 | 3,121 |
* | Applied Genetic Technologies Corp. | 215,957 | 3,051 |
* | Ignyta Inc. | 559,732 | 3,034 |
*,^ | NanoString Technologies Inc. | 238,499 | 3,005 |
*,^ | Avexis Inc. | 78,964 | 3,002 |
* | Medgenics Inc. | 540,124 | 2,998 |
* | Tandem Diabetes Care Inc. | 396,621 | 2,991 |
*,^ | Esperion Therapeutics Inc. | 300,467 | 2,969 |
* | FONAR Corp. | 144,305 | 2,938 |
*,^ | Idera Pharmaceuticals Inc. | 1,909,698 | 2,922 |
* | Cutera Inc. | 257,894 | 2,891 |
* | IRIDEX Corp. | 195,451 | 2,891 |
* | MyoKardia Inc. | 230,956 | 2,864 |
*,^ | Sorrento Therapeutics Inc. | 508,115 | 2,845 |
*,^ | Synthetic Biologics Inc. | 1,576,243 | 2,837 |
*,^ | Antares Pharma Inc. | 2,687,317 | 2,822 |
* | Voyager Therapeutics Inc. | 254,663 | 2,799 |
* | ChemoCentryx Inc. | 619,629 | 2,782 |
* | Pfenex Inc. | 322,886 | 2,703 |
*,^ | CytRx Corp. | 1,211,770 | 2,702 |
* | Inotek Pharmaceuticals Corp. | 363,133 | 2,702 |
* | Tetraphase Pharmaceuticals Inc. | 627,763 | 2,699 |
* | Karyopharm Therapeutics Inc. | 401,080 | 2,691 |
* | Zafgen Inc. | 449,089 | 2,690 |
*,^ | Bio-Path Holdings Inc. | 1,349,037 | 2,685 |
*,^ | Vital Therapies Inc. | 431,124 | 2,673 |
*,^ | Avinger Inc. | 220,290 | 2,628 |
*,^ | T2 Biosystems Inc. | 329,500 | 2,600 |
* | Durect Corp. | 2,011,878 | 2,454 |
*,^ | Trovagene Inc. | 540,283 | 2,447 |
* | CytomX Therapeutics Inc. | 236,743 | 2,418 |
*,^ | PharmAthene Inc. | 957,039 | 2,335 |
*,^ | BioDelivery Sciences International Inc. | 978,399 | 2,309 |
* | Harvard Bioscience Inc. | 803,001 | 2,297 |
*,^ | iRadimed Corp. | 104,676 | 2,278 |
* | Corvus Pharmaceuticals Inc. | 157,500 | 2,246 |
*,^ | XOMA Corp. | 4,013,259 | 2,213 |
* | Dimension Therapeutics Inc. | 367,403 | 2,204 |
* | Anthera Pharmaceuticals Inc. | 711,827 | 2,200 |
*,^ | Nobilis Health Corp. | 966,224 | 2,155 |
* | Regulus Therapeutics Inc. | 740,039 | 2,139 |
*,^ | Sientra Inc. | 323,353 | 2,128 |
* | Addus HomeCare Corp. | 121,404 | 2,116 |
*,^ | Sequenom Inc. | 2,294,984 | 2,097 |
* | Entellus Medical Inc. | 113,682 | 2,077 |
*,^ | VIVUS Inc. | 1,828,568 | 2,048 |
* | Senseonics Holdings Inc. | 520,900 | 2,047 |
*,^ | Mirati Therapeutics Inc. | 365,588 | 1,996 |
*,^ | Endocyte Inc. | 621,392 | 1,995 |
* | Flex Pharma Inc. | 193,812 | 1,979 |
* | Agile Therapeutics Inc. | 259,723 | 1,976 |
* | GlycoMimetics Inc. | 270,870 | 1,969 |
*,^ | Tenax Therapeutics Inc. | 761,768 | 1,950 |
*,^ | Titan Pharmaceuticals Inc. | 355,842 | 1,946 |
33
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Stemline Therapeutics Inc. | 285,459 | 1,933 |
* | Cascadian Therapeutics Inc. | 2,042,753 | 1,927 |
*,^ | AcelRx Pharmaceuticals Inc. | 702,531 | 1,890 |
*,^ | Eiger BioPharmaceuticals Inc. | 94,934 | 1,882 |
*,^ | Actinium Pharmaceuticals Inc. | 1,034,775 | 1,832 |
* | Derma Sciences Inc. | 460,614 | 1,815 |
* | Cara Therapeutics Inc. | 373,712 | 1,798 |
* | SeaSpine Holdings Corp. | 170,394 | 1,786 |
*,^ | Neos Therapeutics Inc. | 191,624 | 1,778 |
*,^ | Mast Therapeutics Inc. | 3,736,707 | 1,756 |
* | pSivida Corp. | 611,986 | 1,732 |
*,^ | Galena Biopharma Inc. | 3,656,594 | 1,704 |
*,^ | Genocea Biosciences Inc. | 412,485 | 1,691 |
* | Assembly Biosciences Inc. | 300,412 | 1,667 |
* | Juniper Pharmaceuticals Inc. | 236,637 | 1,659 |
Psychemedics Corp. | 119,907 | 1,648 | |
*,^ | Corindus Vascular Robotics Inc. | 1,143,490 | 1,635 |
* | Five Star Quality Care Inc. | 696,654 | 1,630 |
*,^ | Veracyte Inc. | 315,290 | 1,586 |
*,^ | Axsome Therapeutics Inc. | 207,300 | 1,563 |
^ | Osiris Therapeutics Inc. | 304,647 | 1,551 |
* | Peregrine Pharmaceuticals Inc. | 4,210,614 | 1,533 |
*,^ | Syndax Pharmaceuticals Inc. | 154,100 | 1,518 |
*,^ | Ohr Pharmaceutical Inc. | 553,726 | 1,517 |
* | Immune Design Corp. | 185,675 | 1,515 |
*,^ | CytoSorbents Corp. | 330,549 | 1,504 |
* | Ocular Therapeutix Inc. | 303,686 | 1,503 |
*,^ | ViewRay Inc. | 363,982 | 1,489 |
*,^ | CTI BioPharma Corp. | 4,352,360 | 1,480 |
* | Pain Therapeutics Inc. | 670,968 | 1,469 |
*,^ | Argos Therapeutics Inc. | 235,319 | 1,443 |
*,^ | Fortress Biotech Inc. | 526,032 | 1,415 |
* | Egalet Corp. | 284,664 | 1,412 |
*,^ | Corbus Pharmaceuticals Holdings Inc. | 470,732 | 1,407 |
* | Vericel Corp. | 622,509 | 1,401 |
*,^ | Proteostasis Therapeutics Inc. | 111,981 | 1,358 |
*,^ | CorMedix Inc. | 663,153 | 1,320 |
* | Cidara Therapeutics Inc. | 126,588 | 1,305 |
* | CareDx Inc. | 294,778 | 1,273 |
* | Infinity Pharmaceuticals Inc. | 942,539 | 1,254 |
*,^ | Navidea Biopharmaceuticals Inc. | 2,351,470 | 1,247 |
*,^ | NanoViricides Inc. | 765,867 | 1,225 |
* | Catalyst Pharmaceuticals Inc. | 1,715,282 | 1,218 |
*,^ | Threshold Pharmaceuticals Inc. | 1,862,715 | 1,184 |
* | Adverum Biotechnologies Inc. | 372,247 | 1,176 |
* | Dipexium Pharmaceuticals Inc. | 118,529 | 1,175 |
* | Alliance HealthCare Services Inc. | 183,307 | 1,144 |
*,^ | Orexigen Therapeutics Inc. | 2,642,000 | 1,136 |
*,^ | Zynerba Pharmaceuticals Inc. | 164,012 | 1,123 |
*,^ | Ampio Pharmaceuticals Inc. | 870,577 | 1,123 |
*,^ | Provectus Biopharmaceuticals Inc. Class A | 3,026,519 | 1,120 |
* | Repros Therapeutics Inc. | 690,697 | 1,112 |
*,^ | Fibrocell Science Inc. | 943,611 | 1,085 |
* | Aviragen Therapeutics Inc. | 765,307 | 1,071 |
* | Chembio Diagnostics Inc. | 128,058 | 1,049 |
* | aTyr Pharma Inc. | 369,242 | 1,026 |
* | Lantheus Holdings Inc. | 278,247 | 1,021 |
* | vTv Therapeutics Inc. Class A | 174,907 | 1,014 |
* | KemPharm Inc. | 252,952 | 1,007 |
* | Kindred Biosciences Inc. | 283,866 | 1,005 |
* | AVEO Pharmaceuticals Inc. | 1,029,399 | 989 |
*,^ | Second Sight Medical Products Inc. | 273,120 | 978 |
* | Verastem Inc. | 746,062 | 970 |
*,^ | Chiasma Inc. | 332,626 | 961 |
34
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Tonix Pharmaceuticals Holding Corp. | 477,730 | 951 |
*,^ | ContraFect Corp. | 319,501 | 927 |
*,^ | Hansen Medical Inc. | 233,024 | 925 |
* | EndoChoice Holdings Inc. | 185,145 | 907 |
* | Selecta Biosciences Inc. | 64,400 | 901 |
* | Proteon Therapeutics Inc. | 112,124 | 900 |
*,^ | Biolase Inc. | 763,675 | 894 |
* | Dicerna Pharmaceuticals Inc. | 296,405 | 889 |
* | Sunesis Pharmaceuticals Inc. | 1,617,155 | 886 |
*,^ | Abeona Therapeutics Inc. | 365,639 | 863 |
*,^ | Aegerion Pharmaceuticals Inc. | 565,608 | 843 |
* | IsoRay Inc. | 958,560 | 834 |
Span-America Medical Systems Inc. | 46,312 | 829 | |
*,^ | Alimera Sciences Inc. | 667,756 | 821 |
*,^ | CEL-SCI Corp. | 1,776,486 | 817 |
* | Invuity Inc. | 84,488 | 805 |
* | InfuSystem Holdings Inc. | 309,333 | 804 |
*,^ | Tokai Pharmaceuticals Inc. | 145,408 | 801 |
* | Genesis Healthcare Inc. | 452,026 | 800 |
* | Cerulean Pharma Inc. | 370,392 | 785 |
*,^ | Unilife Corp. | 236,763 | 779 |
*,^ | Kura Oncology Inc. | 287,100 | 778 |
* | Corium International Inc. | 221,335 | 768 |
* | Achaogen Inc. | 202,076 | 766 |
* | Cumberland Pharmaceuticals Inc. | 169,695 | 764 |
*,^ | Calithera Biosciences Inc. | 205,192 | 761 |
* | CAS Medical Systems Inc. | 406,350 | 748 |
* | Nivalis Therapeutics Inc. | 161,630 | 744 |
* | Fate Therapeutics Inc. | 436,806 | 743 |
* | Rexahn Pharmaceuticals Inc. | 2,862,969 | 719 |
*,^ | MEI Pharma Inc. | 528,729 | 719 |
*,^ | Sophiris Bio Inc. | 331,000 | 712 |
* | ADMA Biologics Inc. | 112,643 | 670 |
*,^ | Brainstorm Cell Therapeutics Inc. | 267,009 | 643 |
*,^ | Adamis Pharmaceuticals Corp. | 229,797 | 643 |
* | Synta Pharmaceuticals Corp. | 2,453,522 | 638 |
*,^ | Tracon Pharmaceuticals Inc. | 145,185 | 636 |
*,^ | Asterias Biotherapeutics Inc. | 260,180 | 624 |
*,^ | Cymabay Therapeutics Inc. | 357,962 | 623 |
*,^ | ContraVir Pharmaceuticals Inc. | 595,741 | 620 |
*,^ | OncoSec Medical Inc. | 373,359 | 612 |
*,^ | Neuralstem Inc. | 2,069,335 | 602 |
* | Vical Inc. | 129,965 | 589 |
*,^ | Vermillion Inc. | 526,448 | 584 |
* | Aldeyra Therapeutics Inc. | 102,570 | 584 |
*,^ | Northwest Biotherapeutics Inc. | 968,768 | 563 |
AdCare Health Systems Inc. | 298,748 | 550 | |
* | Recro Pharma Inc. | 67,502 | 537 |
Daxor Corp. | 66,468 | 530 | |
*,^ | Pernix Therapeutics Holdings Inc. | 1,175,001 | 526 |
*,^ | OncoGenex Pharmaceuticals Inc. | 516,526 | 517 |
*,^ | Galectin Therapeutics Inc. | 346,474 | 509 |
* | Ocera Therapeutics Inc. | 264,414 | 502 |
* | iBio Inc. | 695,887 | 501 |
* | Alphatec Holdings Inc. | 1,416,564 | 496 |
* | Conatus Pharmaceuticals Inc. | 235,565 | 485 |
* | Imprimis Pharmaceuticals Inc. | 127,579 | 480 |
*,^ | Caladrius Biosciences Inc. | 803,356 | 474 |
* | Alliqua BioMedical Inc. | 406,663 | 455 |
* | Retractable Technologies Inc. | 177,584 | 448 |
* | CoLucid Pharmaceuticals Inc. | 53,068 | 434 |
* | Bovie Medical Corp. | 255,648 | 419 |
*,^ | Cytori Therapeutics Inc. | 182,192 | 381 |
*,^ | Mirna Therapeutics Inc. | 89,371 | 381 |
35
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | Cancer Genetics Inc. | 191,316 | 381 |
* | Opexa Therapeutics Inc. | 91,633 | 378 |
*,^ | Reata Pharmaceuticals Inc. Class A | 18,872 | 373 |
* | Wright Medical Group Inc. CVR Exp. 12/31/2049 | 288,011 | 360 |
* | ImmunoCellular Therapeutics Ltd. | 1,547,621 | 356 |
Diversicare Healthcare Services Inc. | 42,483 | 342 | |
* | Celsion Corp. | 264,211 | 336 |
* | Hemispherx Biopharma Inc. | 2,869,587 | 331 |
* | SCYNEXIS Inc. | 152,100 | 330 |
* | Misonix Inc. | 63,438 | 320 |
* | MGC Diagnostics Corp. | 46,649 | 304 |
* | TearLab Corp. Class A | 460,841 | 295 |
* | Apricus Biosciences Inc. | 733,806 | 293 |
* | CASI Pharmaceuticals Inc. | 241,436 | 282 |
* | Cogentix Medical Inc. | 289,122 | 278 |
* | Catabasis Pharmaceuticals Inc. | 74,792 | 277 |
* | Evoke Pharma Inc. | 40,271 | 276 |
*,^ | Palatin Technologies Inc. | 613,885 | 271 |
*,^ | Amedica Corp. | 201,879 | 266 |
* | Aethlon Medical Inc. | 44,792 | 255 |
Catalyst Biosciences Inc. | 166,056 | 252 | |
*,^ | Viking Therapeutics Inc. | 198,975 | 251 |
*,^ | Stereotaxis Inc. | 265,420 | 250 |
* | Dextera Surgical Inc. | 135,832 | 244 |
* | Marinus Pharmaceuticals Inc. | 192,438 | 244 |
* | Mateon Therapeutics Inc. | 343,666 | 241 |
* | Carbylan Therapeutics Inc. | 359,441 | 238 |
*,^ | GTx Inc. | 430,878 | 237 |
* | Windtree Therapeutics Inc. | 119,695 | 231 |
* | Biodel Inc. | 736,255 | 229 |
*,^ | Oculus Innovative Sciences Inc. | 56,483 | 226 |
* | Biostage Inc. | 197,422 | 225 |
* | Echo Therapeutics Inc. | 171,231 | 223 |
*,^ | Cyclacel Pharmaceuticals Inc. | 38,769 | 195 |
* | HTG Molecular Diagnostics Inc. | 65,650 | 171 |
* | ARCA biopharma Inc. | 56,421 | 164 |
* | Bellerophon Therapeutics Inc. | 87,474 | 151 |
* | Oncocyte Corp. | 41,953 | 149 |
*,^ | Biocept Inc. | 220,315 | 147 |
* | Presbia plc | 29,000 | 131 |
* | EPIRUS Biopharmaceuticals Inc. | 285,390 | 129 |
* | Acura Pharmaceuticals Inc. | 67,640 | 125 |
*,^ | Joint Corp. | 59,975 | 122 |
* | ImmuCell Corp. | 17,533 | 121 |
*,^ | Sunshine Heart Inc. | 258,495 | 119 |
* | Electromed Inc. | 30,565 | 118 |
* | Zosano Pharma Corp. | 88,338 | 117 |
*,^ | Oragenics Inc. | 227,875 | 116 |
*,^ | Cleveland BioLabs Inc. | 41,040 | 116 |
*,^ | Onconova Therapeutics Inc. | 19,129 | 111 |
* | RXi Pharmaceuticals Corp. | 42,430 | 102 |
*,^ | EyeGate Pharmaceuticals Inc. | 37,937 | 98 |
*,^ | Arcadia Biosciences Inc. | 37,553 | 97 |
*,^ | AmpliPhi Biosciences Corp. | 62,700 | 97 |
*,^ | USMD Holdings Inc. | 5,047 | 95 |
* | BioPharmX Corp. | 142,870 | 93 |
* | Atossa Genetics Inc. | 330,172 | 92 |
* | Capricor Therapeutics Inc. | 22,371 | 88 |
* | Ritter Pharmaceuticals Inc. | 55,031 | 84 |
* | ERBA Diagnostics Inc. | 94,045 | 75 |
* | BioLife Solutions Inc. | 44,586 | 71 |
* | Arrhythmia Research Technology Inc. | 12,440 | 55 |
*,^ | Immune Pharmaceuticals Inc. | 124,751 | 50 |
* | Pulmatrix Inc. | 17,594 | 34 |
36
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Milestone Scientific Inc. | 10,745 | 30 |
* | Jaguar Animal Health Inc. | 15,901 | 29 |
* | Transgenomic Inc. | 53,000 | 29 |
* | Allied Healthcare Products Inc. | 24,764 | 15 |
*,^ | ASTERIAS BIOTHERAPEUTICS INC WARRANTS EXP 9/30/16 | 52,036 | 10 |
* | Roka Bioscience Inc. | 13,614 | 8 |
* | Medovex Corp. | 5,693 | 7 |
* | Histogenics Corp. | 3,670 | 6 |
* | OpGen Inc. | 1,500 | 2 |
* | Xtant Medical Holdings Inc. | 900 | 2 |
* | Cerecor Inc. | 500 | 1 |
59,128,492 | |||
Industrials (12.6%) | |||
General Electric Co. | 182,865,746 | 5,756,614 | |
3M Co. | 12,043,389 | 2,109,038 | |
Honeywell International Inc. | 15,183,736 | 1,766,172 | |
United Technologies Corp. | 15,787,904 | 1,619,050 | |
Boeing Co. | 12,075,209 | 1,568,207 | |
United Parcel Service Inc. Class B | 13,731,586 | 1,479,166 | |
Union Pacific Corp. | 16,733,102 | 1,459,963 | |
Accenture plc Class A | 12,428,770 | 1,408,055 | |
Lockheed Martin Corp. | 5,141,642 | 1,276,001 | |
Danaher Corp. | 12,193,452 | 1,231,539 | |
Caterpillar Inc. | 11,559,797 | 876,348 | |
* | PayPal Holdings Inc. | 22,945,629 | 837,745 |
Raytheon Co. | 5,924,051 | 805,375 | |
Northrop Grumman Corp. | 3,594,215 | 798,922 | |
Automatic Data Processing Inc. | 8,599,188 | 790,007 | |
FedEx Corp. | 4,805,430 | 729,368 | |
General Dynamics Corp. | 5,228,853 | 728,065 | |
Emerson Electric Co. | 12,766,501 | 665,901 | |
Illinois Tool Works Inc. | 6,112,906 | 636,720 | |
Waste Management Inc. | 8,864,229 | 587,432 | |
Eaton Corp. plc | 9,091,063 | 543,009 | |
Norfolk Southern Corp. | 5,883,171 | 500,834 | |
CSX Corp. | 18,947,521 | 494,151 | |
* | Fiserv Inc. | 4,416,094 | 480,162 |
Fidelity National Information Services Inc. | 6,492,151 | 478,342 | |
Sherwin-Williams Co. | 1,562,947 | 458,991 | |
Deere & Co. | 5,624,784 | 455,832 | |
* | LinkedIn Corp. Class A | 2,349,274 | 444,600 |
TE Connectivity Ltd. | 7,256,782 | 414,435 | |
Cummins Inc. | 3,442,192 | 387,040 | |
Paychex Inc. | 6,426,332 | 382,367 | |
PACCAR Inc. | 6,941,391 | 360,050 | |
Tyco International plc | 8,450,896 | 360,008 | |
Amphenol Corp. Class A | 6,087,695 | 349,008 | |
Roper Technologies Inc. | 2,002,001 | 341,461 | |
Ingersoll-Rand plc | 5,077,535 | 323,337 | |
Vulcan Materials Co. | 2,640,002 | 317,751 | |
Rockwell Automation Inc. | 2,598,237 | 298,330 | |
Parker-Hannifin Corp. | 2,663,634 | 287,806 | |
Agilent Technologies Inc. | 6,457,412 | 286,451 | |
* | TransDigm Group Inc. | 1,001,987 | 264,214 |
WW Grainger Inc. | 1,116,316 | 253,683 | |
Fastenal Co. | 5,698,638 | 252,963 | |
* | Waste Connections Inc. | 3,484,997 | 251,094 |
* | FleetCor Technologies Inc. | 1,737,930 | 248,750 |
Republic Services Inc. Class A | 4,800,768 | 246,327 | |
Martin Marietta Materials Inc. | 1,268,264 | 243,507 | |
* | Verisk Analytics Inc. Class A | 3,002,878 | 243,473 |
Rockwell Collins Inc. | 2,592,559 | 220,730 | |
Global Payments Inc. | 3,079,151 | 219,790 | |
* | Alliance Data Systems Corp. | 1,112,023 | 217,868 |
37
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Acuity Brands Inc. | 873,831 | 216,675 | |
AMETEK Inc. | 4,661,383 | 215,496 | |
Dover Corp. | 3,056,091 | 211,848 | |
CH Robinson Worldwide Inc. | 2,838,016 | 210,723 | |
L-3 Communications Holdings Inc. | 1,391,483 | 204,117 | |
Masco Corp. | 6,576,271 | 203,470 | |
Ball Corp. | 2,805,301 | 202,795 | |
Pentair plc | 3,404,640 | 198,456 | |
WestRock Co. | 5,044,116 | 196,065 | |
* | Mettler-Toledo International Inc. | 533,206 | 194,578 |
Kansas City Southern | 2,137,455 | 192,563 | |
Xerox Corp. | 19,315,567 | 183,305 | |
Fortune Brands Home & Security Inc. | 3,110,412 | 180,311 | |
Sealed Air Corp. | 3,915,989 | 180,018 | |
Expeditors International of Washington Inc. | 3,598,444 | 176,468 | |
Textron Inc. | 4,823,982 | 176,365 | |
* | Stericycle Inc. | 1,685,309 | 175,474 |
* | Vantiv Inc. Class A | 3,093,871 | 175,113 |
Total System Services Inc. | 3,276,426 | 174,011 | |
Cintas Corp. | 1,700,054 | 166,826 | |
Huntington Ingalls Industries Inc. | 937,867 | 157,590 | |
Xylem Inc. | 3,522,458 | 157,278 | |
Valspar Corp. | 1,430,236 | 154,508 | |
Broadridge Financial Solutions Inc. | 2,334,903 | 152,236 | |
JB Hunt Transport Services Inc. | 1,778,261 | 143,915 | |
* | CoStar Group Inc. | 649,574 | 142,036 |
* | Crown Holdings Inc. | 2,758,784 | 139,788 |
* | HD Supply Holdings Inc. | 3,943,714 | 137,320 |
Jack Henry & Associates Inc. | 1,560,989 | 136,228 | |
Fluor Corp. | 2,743,848 | 135,217 | |
Carlisle Cos. Inc. | 1,262,495 | 133,420 | |
Allegion plc | 1,893,594 | 131,472 | |
AO Smith Corp. | 1,464,961 | 129,078 | |
Packaging Corp. of America | 1,928,165 | 129,052 | |
IDEX Corp. | 1,494,414 | 122,691 | |
Wabtec Corp. | 1,723,694 | 121,055 | |
* | Trimble Navigation Ltd. | 4,962,351 | 120,883 |
* | Jacobs Engineering Group Inc. | 2,420,896 | 120,585 |
* | United Rentals Inc. | 1,793,044 | 120,313 |
Lennox International Inc. | 838,249 | 119,534 | |
* | Sensata Technologies Holding NV | 3,369,610 | 117,566 |
Flowserve Corp. | 2,563,025 | 115,772 | |
PerkinElmer Inc. | 2,205,540 | 115,614 | |
Hubbell Inc. Class B | 1,093,903 | 115,374 | |
* | Spirit AeroSystems Holdings Inc. Class A | 2,674,838 | 115,018 |
* | Arrow Electronics Inc. | 1,809,132 | 111,985 |
Owens Corning | 2,164,676 | 111,524 | |
Macquarie Infrastructure Corp. | 1,427,493 | 105,706 | |
Avnet Inc. | 2,569,913 | 104,107 | |
AptarGroup Inc. | 1,257,533 | 99,509 | |
Sonoco Products Co. | 2,000,303 | 99,335 | |
Orbital ATK Inc. | 1,162,415 | 98,968 | |
* | Keysight Technologies Inc. | 3,389,595 | 98,603 |
Bemis Co. Inc. | 1,874,007 | 96,493 | |
* | AECOM | 3,017,077 | 95,853 |
B/E Aerospace Inc. | 2,059,879 | 95,115 | |
Robert Half International Inc. | 2,465,987 | 94,102 | |
MDU Resources Group Inc. | 3,911,052 | 93,865 | |
* | Berry Plastics Group Inc. | 2,394,019 | 93,008 |
ManpowerGroup Inc. | 1,422,344 | 91,514 | |
Toro Co. | 1,027,629 | 90,637 | |
Donaldson Co. Inc. | 2,624,829 | 90,189 | |
FEI Co. | 806,283 | 86,176 | |
Graco Inc. | 1,087,737 | 85,920 |
38
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
FLIR Systems Inc. | 2,774,246 | 85,863 | |
Allison Transmission Holdings Inc. | 3,023,562 | 85,355 | |
* | Old Dominion Freight Line Inc. | 1,369,010 | 82,565 |
Nordson Corp. | 987,123 | 82,533 | |
Graphic Packaging Holding Co. | 6,353,049 | 79,667 | |
* | Genpact Ltd. | 2,961,023 | 79,474 |
Hexcel Corp. | 1,851,128 | 77,081 | |
Lincoln Electric Holdings Inc. | 1,259,152 | 74,391 | |
Booz Allen Hamilton Holding Corp. Class A | 2,484,164 | 73,631 | |
MAXIMUS Inc. | 1,308,404 | 72,446 | |
Eagle Materials Inc. | 935,445 | 72,170 | |
Watsco Inc. | 509,828 | 71,728 | |
Chicago Bridge & Iron Co. NV | 2,068,837 | 71,644 | |
* | First Data Corp. Class A | 6,374,929 | 70,570 |
RR Donnelley & Sons Co. | 4,104,913 | 69,455 | |
Cognex Corp. | 1,606,474 | 69,239 | |
Oshkosh Corp. | 1,446,303 | 69,003 | |
* | Quanta Services Inc. | 2,983,466 | 68,978 |
* | Euronet Worldwide Inc. | 989,566 | 68,468 |
* | WEX Inc. | 761,538 | 67,526 |
AGCO Corp. | 1,430,615 | 67,425 | |
MSC Industrial Direct Co. Inc. Class A | 953,928 | 67,309 | |
* | CoreLogic Inc. | 1,744,384 | 67,124 |
World Fuel Services Corp. | 1,402,355 | 66,598 | |
Curtiss-Wright Corp. | 790,042 | 66,561 | |
* | Genesee & Wyoming Inc. Class A | 1,126,745 | 66,422 |
BWX Technologies Inc. | 1,852,512 | 66,264 | |
Ryder System Inc. | 1,044,302 | 63,849 | |
Deluxe Corp. | 961,781 | 63,833 | |
Woodward Inc. | 1,102,693 | 63,559 | |
* | Kirby Corp. | 1,017,579 | 63,487 |
* | Teledyne Technologies Inc. | 631,956 | 62,595 |
National Instruments Corp. | 2,263,327 | 62,015 | |
Jabil Circuit Inc. | 3,259,865 | 60,210 | |
CLARCOR Inc. | 962,063 | 58,522 | |
Valmont Industries Inc. | 428,578 | 57,974 | |
* | Universal Display Corp. | 851,645 | 57,742 |
EMCOR Group Inc. | 1,164,346 | 57,356 | |
* | Owens-Illinois Inc. | 3,183,351 | 57,332 |
ITT Inc. | 1,785,321 | 57,095 | |
Landstar System Inc. | 830,761 | 57,040 | |
Trinity Industries Inc. | 3,008,799 | 55,873 | |
* | IPG Photonics Corp. | 678,750 | 54,300 |
Crane Co. | 924,686 | 52,448 | |
Littelfuse Inc. | 439,778 | 51,977 | |
*,^ | XPO Logistics Inc. | 1,969,325 | 51,714 |
EnerSys | 867,345 | 51,581 | |
* | Clean Harbors Inc. | 988,463 | 51,509 |
Air Lease Corp. Class A | 1,906,800 | 51,064 | |
Belden Inc. | 833,068 | 50,292 | |
* | Louisiana-Pacific Corp. | 2,831,164 | 49,121 |
* | Zebra Technologies Corp. | 976,873 | 48,941 |
Regal Beloit Corp. | 880,382 | 48,465 | |
HEICO Corp. Class A | 876,837 | 47,042 | |
* | USG Corp. | 1,724,065 | 46,481 |
* | Generac Holdings Inc. | 1,324,895 | 46,318 |
* | Colfax Corp. | 1,730,299 | 45,784 |
* | TransUnion | 1,338,834 | 44,771 |
Timken Co. | 1,433,877 | 43,963 | |
* | Coherent Inc. | 477,594 | 43,834 |
*,^ | Cimpress NV | 467,555 | 43,239 |
* | WageWorks Inc. | 722,063 | 43,187 |
Convergys Corp. | 1,712,082 | 42,802 | |
* | WESCO International Inc. | 822,442 | 42,348 |
39
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Silgan Holdings Inc. | 812,431 | 41,808 | |
Terex Corp. | 2,048,474 | 41,604 | |
Joy Global Inc. | 1,941,173 | 41,036 | |
* | Sanmina Corp. | 1,517,852 | 40,694 |
CEB Inc. | 651,915 | 40,210 | |
Covanta Holding Corp. | 2,358,630 | 38,799 | |
* | AMN Healthcare Services Inc. | 965,770 | 38,602 |
ABM Industries Inc. | 1,048,516 | 38,250 | |
KBR Inc. | 2,853,979 | 37,787 | |
Universal Forest Products Inc. | 407,606 | 37,781 | |
* | Masonite International Corp. | 567,764 | 37,552 |
* | Esterline Technologies Corp. | 584,235 | 36,246 |
GATX Corp. | 823,399 | 36,205 | |
Mueller Industries Inc. | 1,124,454 | 35,848 | |
* | Moog Inc. Class A | 661,055 | 35,644 |
* | On Assignment Inc. | 963,731 | 35,610 |
* | Cardtronics Inc. | 890,818 | 35,463 |
Granite Construction Inc. | 772,556 | 35,190 | |
John Bean Technologies Corp. | 573,756 | 35,125 | |
Kennametal Inc. | 1,568,176 | 34,672 | |
Triumph Group Inc. | 973,965 | 34,576 | |
* | Rexnord Corp. | 1,759,812 | 34,545 |
UniFirst Corp. | 292,493 | 33,847 | |
Tetra Tech Inc. | 1,099,907 | 33,817 | |
Applied Industrial Technologies Inc. | 737,720 | 33,301 | |
* | ExlService Holdings Inc. | 633,273 | 33,190 |
* | FTI Consulting Inc. | 814,424 | 33,131 |
Mueller Water Products Inc. Class A | 2,871,736 | 32,795 | |
Simpson Manufacturing Co. Inc. | 819,775 | 32,766 | |
Vishay Intertechnology Inc. | 2,642,704 | 32,743 | |
Barnes Group Inc. | 982,660 | 32,546 | |
MSA Safety Inc. | 618,289 | 32,479 | |
* | RBC Bearings Inc. | 446,842 | 32,396 |
* | KLX Inc. | 1,042,069 | 32,304 |
Watts Water Technologies Inc. Class A | 549,092 | 31,990 | |
* | Armstrong World Industries Inc. | 812,953 | 31,827 |
*,^ | Ambarella Inc. | 619,627 | 31,483 |
Knight Transportation Inc. | 1,180,108 | 31,367 | |
* | Itron Inc. | 727,379 | 31,350 |
* | Smith & Wesson Holding Corp. | 1,148,883 | 31,227 |
Mobile Mini Inc. | 876,522 | 30,363 | |
Otter Tail Corp. | 897,140 | 30,045 | |
* | Advisory Board Co. | 837,344 | 29,634 |
* | Anixter International Inc. | 551,313 | 29,374 |
* | DigitalGlobe Inc. | 1,342,494 | 28,716 |
AZZ Inc. | 474,623 | 28,468 | |
* | Plexus Corp. | 658,343 | 28,440 |
Exponent Inc. | 485,983 | 28,386 | |
* | MasTec Inc. | 1,271,283 | 28,375 |
Brady Corp. Class A | 920,894 | 28,143 | |
Matson Inc. | 855,535 | 27,625 | |
* | ExamWorks Group Inc. | 777,232 | 27,087 |
Brink's Co. | 941,892 | 26,834 | |
Forward Air Corp. | 601,082 | 26,766 | |
* | TopBuild Corp. | 737,265 | 26,689 |
* | Proto Labs Inc. | 462,465 | 26,619 |
* | Huron Consulting Group Inc. | 436,658 | 26,383 |
Apogee Enterprises Inc. | 568,570 | 26,353 | |
* | Trex Co. Inc. | 586,012 | 26,324 |
* | Fabrinet | 706,863 | 26,239 |
*,^ | LifeLock Inc. | 1,649,850 | 26,084 |
* | Hub Group Inc. Class A | 669,164 | 25,676 |
* | TASER International Inc. | 1,023,918 | 25,475 |
Franklin Electric Co. Inc. | 766,588 | 25,336 |
40
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Insperity Inc. | 326,620 | 25,225 | |
Methode Electronics Inc. | 730,531 | 25,006 | |
* | Headwaters Inc. | 1,384,023 | 24,829 |
* | Imperva Inc. | 574,984 | 24,730 |
* | NeuStar Inc. Class A | 1,051,843 | 24,729 |
* | Swift Transportation Co. | 1,596,184 | 24,597 |
* | Summit Materials Inc. Class A | 1,186,385 | 24,273 |
*,^ | Inovalon Holdings Inc. Class A | 1,341,750 | 24,165 |
*,^ | Knowles Corp. | 1,764,455 | 24,138 |
Sturm Ruger & Co. Inc. | 375,098 | 24,010 | |
Comfort Systems USA Inc. | 734,526 | 23,924 | |
Greif Inc. Class A | 634,073 | 23,632 | |
Actuant Corp. Class A | 1,044,356 | 23,613 | |
Albany International Corp. | 572,460 | 22,858 | |
Kaman Corp. | 533,095 | 22,667 | |
Essendant Inc. | 736,130 | 22,496 | |
Aircastle Ltd. | 1,146,892 | 22,433 | |
* | Rogers Corp. | 354,736 | 21,674 |
AAON Inc. | 786,939 | 21,649 | |
* | Sykes Enterprises Inc. | 745,286 | 21,583 |
* | MACOM Technology Solutions Holdings Inc. | 652,486 | 21,519 |
G&K Services Inc. Class A | 280,883 | 21,507 | |
* | OSI Systems Inc. | 369,421 | 21,474 |
* | Benchmark Electronics Inc. | 992,376 | 20,989 |
Korn/Ferry International | 1,003,299 | 20,768 | |
* | BMC Stock Holdings Inc. | 1,164,189 | 20,746 |
Standex International Corp. | 247,542 | 20,454 | |
* | SPX FLOW Inc. | 784,331 | 20,448 |
Astec Industries Inc. | 363,504 | 20,411 | |
* | Paylocity Holding Corp. | 468,354 | 20,233 |
* | Atlas Air Worldwide Holdings Inc. | 483,048 | 20,008 |
Badger Meter Inc. | 273,747 | 19,992 | |
* | Aerojet Rocketdyne Holdings Inc. | 1,083,327 | 19,803 |
Advanced Drainage Systems Inc. | 717,891 | 19,649 | |
* | II-VI Inc. | 1,045,793 | 19,619 |
US Ecology Inc. | 424,095 | 19,487 | |
Werner Enterprises Inc. | 845,521 | 19,422 | |
EnPro Industries Inc. | 435,142 | 19,316 | |
ESCO Technologies Inc. | 479,836 | 19,165 | |
* | Greatbatch Inc. | 606,934 | 18,772 |
Tennant Co. | 345,771 | 18,627 | |
CIRCOR International Inc. | 326,249 | 18,593 | |
* | Gibraltar Industries Inc. | 584,083 | 18,439 |
EVERTEC Inc. | 1,178,295 | 18,311 | |
* | Builders FirstSource Inc. | 1,619,940 | 18,224 |
* | Tutor Perini Corp. | 770,006 | 18,134 |
Cubic Corp. | 451,375 | 18,127 | |
* | Boise Cascade Co. | 789,460 | 18,118 |
* | TriNet Group Inc. | 869,645 | 18,080 |
ManTech International Corp. Class A | 477,808 | 18,071 | |
* | American Woodmark Corp. | 270,512 | 17,957 |
* | Continental Building Products Inc. | 806,082 | 17,919 |
* | Press Ganey Holdings Inc. | 430,111 | 16,925 |
* | US Concrete Inc. | 276,901 | 16,866 |
Heartland Express Inc. | 964,747 | 16,777 | |
* | Patrick Industries Inc. | 271,056 | 16,342 |
* | Wabash National Corp. | 1,280,461 | 16,262 |
* | Rofin-Sinar Technologies Inc. | 508,089 | 16,228 |
* | TriMas Corp. | 882,420 | 15,884 |
Federal Signal Corp. | 1,231,899 | 15,867 | |
* | PHH Corp. | 1,186,084 | 15,799 |
* | TrueBlue Inc. | 831,890 | 15,739 |
Multi-Color Corp. | 246,788 | 15,646 | |
Greenbrier Cos. Inc. | 536,240 | 15,621 |
41
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Navigant Consulting Inc. | 950,109 | 15,344 |
* | Babcock & Wilcox Enterprises Inc. | 1,038,051 | 15,249 |
Primoris Services Corp. | 805,166 | 15,242 | |
AAR Corp. | 650,997 | 15,194 | |
* | Installed Building Products Inc. | 408,811 | 14,836 |
* | ICF International Inc. | 360,129 | 14,729 |
^ | Outerwall Inc. | 338,768 | 14,228 |
MTS Systems Corp. | 323,917 | 14,201 | |
^ | Lindsay Corp. | 208,668 | 14,160 |
McGrath RentCorp | 459,267 | 14,049 | |
* | Wesco Aircraft Holdings Inc. | 1,037,345 | 13,921 |
Encore Wire Corp. | 370,513 | 13,813 | |
* | Team Inc. | 555,167 | 13,785 |
Raven Industries Inc. | 721,022 | 13,656 | |
* | Veeco Instruments Inc. | 808,510 | 13,389 |
Sun Hydraulics Corp. | 449,680 | 13,351 | |
Quad/Graphics Inc. | 568,711 | 13,245 | |
* | Air Transport Services Group Inc. | 1,014,998 | 13,154 |
* | Aegion Corp. Class A | 672,178 | 13,114 |
Manitowoc Co. Inc. | 2,394,112 | 13,048 | |
Altra Industrial Motion Corp. | 480,884 | 12,974 | |
* | Meritor Inc. | 1,780,343 | 12,818 |
Griffon Corp. | 756,282 | 12,751 | |
Quanex Building Products Corp. | 672,144 | 12,495 | |
* | Echo Global Logistics Inc. | 556,209 | 12,470 |
AVX Corp. | 914,745 | 12,422 | |
* | Saia Inc. | 494,058 | 12,421 |
HEICO Corp. | 185,840 | 12,416 | |
* | Lydall Inc. | 316,332 | 12,198 |
* | Thermon Group Holdings Inc. | 632,152 | 12,144 |
* | Navistar International Corp. | 1,020,427 | 11,929 |
H&E Equipment Services Inc. | 622,546 | 11,847 | |
Alamo Group Inc. | 178,046 | 11,746 | |
General Cable Corp. | 922,540 | 11,725 | |
Global Brass & Copper Holdings Inc. | 427,923 | 11,678 | |
* | Nortek Inc. | 194,190 | 11,517 |
* | FARO Technologies Inc. | 339,717 | 11,493 |
* | Astronics Corp. | 337,370 | 11,221 |
Kelly Services Inc. Class A | 590,437 | 11,201 | |
CTS Corp. | 622,109 | 11,148 | |
* | Aerovironment Inc. | 395,568 | 10,997 |
Argan Inc. | 263,253 | 10,983 | |
* | SPX Corp. | 725,198 | 10,769 |
Harsco Corp. | 1,608,813 | 10,683 | |
Kadant Inc. | 206,798 | 10,652 | |
Viad Corp. | 338,820 | 10,503 | |
Douglas Dynamics Inc. | 404,559 | 10,409 | |
* | TTM Technologies Inc. | 1,376,178 | 10,363 |
Overseas Shipholding Group Inc. Class A | 921,003 | 10,122 | |
Resources Connection Inc. | 684,656 | 10,119 | |
Materion Corp. | 404,021 | 10,004 | |
Cass Information Systems Inc. | 191,578 | 9,905 | |
Insteel Industries Inc. | 341,516 | 9,764 | |
TeleTech Holdings Inc. | 353,575 | 9,592 | |
* | CBIZ Inc. | 911,748 | 9,491 |
* | NCI Building Systems Inc. | 592,647 | 9,476 |
* | MYR Group Inc. | 393,355 | 9,472 |
Gorman-Rupp Co. | 344,663 | 9,447 | |
Ennis Inc. | 491,560 | 9,428 | |
* | PGT Inc. | 904,179 | 9,313 |
* | RPX Corp. | 1,011,011 | 9,271 |
TAL International Group Inc. | 678,833 | 9,103 | |
Marten Transport Ltd. | 452,729 | 8,964 | |
* | Novanta Inc. | 586,905 | 8,892 |
42
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Schnitzer Steel Industries Inc. | 502,176 | 8,838 | |
Hyster-Yale Materials Handling Inc. | 146,599 | 8,721 | |
* | Cross Country Healthcare Inc. | 623,998 | 8,686 |
Kforce Inc. | 509,229 | 8,601 | |
* | Multi Packaging Solutions International Ltd. | 632,672 | 8,446 |
* | Mistras Group Inc. | 348,679 | 8,323 |
ArcBest Corp. | 482,961 | 7,848 | |
* | Armstrong Flooring Inc. | 460,280 | 7,802 |
* | Engility Holdings Inc. | 368,828 | 7,790 |
Landauer Inc. | 188,093 | 7,742 | |
Myers Industries Inc. | 530,770 | 7,643 | |
Mesa Laboratories Inc. | 57,507 | 7,073 | |
NN Inc. | 497,737 | 6,963 | |
* | Kimball Electronics Inc. | 557,228 | 6,937 |
^ | American Railcar Industries Inc. | 169,773 | 6,701 |
Powell Industries Inc. | 169,650 | 6,674 | |
TimkenSteel Corp. | 684,772 | 6,587 | |
* | Energy Recovery Inc. | 712,150 | 6,331 |
* | InnerWorkings Inc. | 745,065 | 6,162 |
* | Ply Gem Holdings Inc. | 414,187 | 6,035 |
NVE Corp. | 101,861 | 5,974 | |
Heidrick & Struggles International Inc. | 349,880 | 5,906 | |
AEP Industries Inc. | 73,180 | 5,888 | |
* | DHI Group Inc. | 929,584 | 5,791 |
* | Bazaarvoice Inc. | 1,435,722 | 5,757 |
* | Evolent Health Inc. Class A | 297,259 | 5,707 |
Barrett Business Services Inc. | 137,590 | 5,685 | |
* | GP Strategies Corp. | 258,397 | 5,605 |
* | YRC Worldwide Inc. | 620,103 | 5,457 |
* | Landec Corp. | 495,923 | 5,336 |
American Science & Engineering Inc. | 140,464 | 5,255 | |
Park Electrochemical Corp. | 356,939 | 5,186 | |
LSI Industries Inc. | 462,418 | 5,119 | |
^ | Textainer Group Holdings Ltd. | 458,365 | 5,106 |
Columbus McKinnon Corp. | 358,393 | 5,071 | |
* | Casella Waste Systems Inc. Class A | 625,341 | 4,909 |
Spartan Motors Inc. | 780,296 | 4,885 | |
Park-Ohio Holdings Corp. | 172,491 | 4,878 | |
* | Milacron Holdings Corp. | 334,920 | 4,860 |
VSE Corp. | 72,692 | 4,856 | |
Electro Rent Corp. | 304,296 | 4,689 | |
* | Great Lakes Dredge & Dock Corp. | 1,059,685 | 4,620 |
* | Multi-Fineline Electronix Inc. | 196,191 | 4,552 |
CECO Environmental Corp. | 520,775 | 4,552 | |
* | NV5 Global Inc. | 157,405 | 4,477 |
* | Roadrunner Transportation Systems Inc. | 594,350 | 4,434 |
Crawford & Co. Class B | 516,934 | 4,389 | |
Daktronics Inc. | 696,241 | 4,351 | |
Acacia Research Corp. | 987,316 | 4,344 | |
* | ServiceSource International Inc. | 1,063,709 | 4,287 |
* | CRA International Inc. | 168,632 | 4,253 |
* | DXP Enterprises Inc. | 282,162 | 4,213 |
Celadon Group Inc. | 511,865 | 4,182 | |
* | Covenant Transportation Group Inc. Class A | 229,295 | 4,143 |
* | Lionbridge Technologies Inc. | 1,024,940 | 4,049 |
NACCO Industries Inc. Class A | 71,825 | 4,022 | |
* | MINDBODY Inc. Class A | 245,012 | 3,954 |
* | Monster Worldwide Inc. | 1,652,357 | 3,949 |
Black Box Corp. | 301,494 | 3,944 | |
*,^ | Energous Corp. | 302,119 | 3,912 |
* | PRGX Global Inc. | 740,513 | 3,865 |
Supreme Industries Inc. Class A | 281,609 | 3,858 | |
* | Horizon Global Corp. | 338,693 | 3,844 |
* | Ducommun Inc. | 188,301 | 3,725 |
43
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Sparton Corp. | 168,779 | 3,674 |
* | Commercial Vehicle Group Inc. | 686,726 | 3,571 |
* | Intevac Inc. | 628,616 | 3,571 |
* | Era Group Inc. | 370,180 | 3,480 |
* | BG Staffing Inc. | 182,283 | 3,449 |
* | Kratos Defense & Security Solutions Inc. | 839,652 | 3,443 |
FreightCar America Inc. | 243,841 | 3,426 | |
* | Layne Christensen Co. | 412,151 | 3,338 |
* | Control4 Corp. | 405,489 | 3,309 |
National Research Corp. Class A | 238,289 | 3,265 | |
Graham Corp. | 177,011 | 3,261 | |
Miller Industries Inc. | 156,448 | 3,221 | |
* | EnerNOC Inc. | 506,808 | 3,203 |
* | Maxwell Technologies Inc. | 600,604 | 3,171 |
* | Franklin Covey Co. | 206,426 | 3,165 |
* | Higher One Holdings Inc. | 618,084 | 3,158 |
Dynamic Materials Corp. | 288,236 | 3,099 | |
* | Planet Payment Inc. | 677,732 | 3,043 |
Bel Fuse Inc. Class B | 169,743 | 3,018 | |
Hardinge Inc. | 288,250 | 2,900 | |
Hurco Cos. Inc. | 103,360 | 2,877 | |
* | USA Truck Inc. | 162,895 | 2,852 |
* | Heritage-Crystal Clean Inc. | 232,668 | 2,841 |
Allied Motion Technologies Inc. | 120,462 | 2,802 | |
* | Vicor Corp. | 276,659 | 2,786 |
* | ARC Document Solutions Inc. | 707,271 | 2,751 |
* | Willis Lease Finance Corp. | 122,489 | 2,723 |
* | UFP Technologies Inc. | 120,128 | 2,708 |
* | Electro Scientific Industries Inc. | 463,580 | 2,707 |
* | CAI International Inc. | 357,703 | 2,683 |
* | Orion Group Holdings Inc. | 491,153 | 2,608 |
Houston Wire & Cable Co. | 493,772 | 2,592 | |
* | Hill International Inc. | 636,556 | 2,591 |
* | Vishay Precision Group Inc. | 192,170 | 2,579 |
* | Neff Corp. Class A | 229,948 | 2,513 |
* | Kemet Corp. | 856,350 | 2,509 |
* | PFSweb Inc. | 262,799 | 2,497 |
Eastern Co. | 147,610 | 2,447 | |
LB Foster Co. Class A | 219,290 | 2,388 | |
Twin Disc Inc. | 220,721 | 2,371 | |
* | Aspen Aerogels Inc. | 471,100 | 2,341 |
*,^ | Energy Focus Inc. | 344,879 | 2,152 |
* | Northwest Pipe Co. | 193,999 | 2,091 |
CDI Corp. | 341,060 | 2,080 | |
* | CUI Global Inc. | 406,931 | 2,055 |
*,^ | American Superconductor Corp. | 242,013 | 2,043 |
* | Manitex International Inc. | 294,087 | 2,038 |
Universal Logistics Holdings Inc. | 155,946 | 2,012 | |
* | CyberOptics Corp. | 133,614 | 2,002 |
*,^ | Blue Bird Corp. | 161,939 | 1,927 |
* | Lawson Products Inc. | 94,237 | 1,872 |
* | Sterling Construction Co. Inc. | 380,450 | 1,868 |
* | TRC Cos. Inc. | 291,232 | 1,841 |
United States Lime & Minerals Inc. | 31,038 | 1,831 | |
*,^ | Patriot National Inc. | 222,224 | 1,818 |
*,^ | ExOne Co. | 169,964 | 1,797 |
* | Mattersight Corp. | 461,488 | 1,786 |
Richardson Electronics Ltd. | 332,507 | 1,752 | |
*,^ | Power Solutions International Inc. | 96,839 | 1,729 |
* | Nuvectra Corp. | 230,706 | 1,707 |
Omega Flex Inc. | 44,518 | 1,693 | |
* | Napco Security Technologies Inc. | 265,213 | 1,687 |
Crawford & Co. Class A | 217,594 | 1,660 | |
* | Information Services Group Inc. | 435,033 | 1,631 |
44
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Willdan Group Inc. | 153,333 | 1,628 |
* | Hudson Technologies Inc. | 447,127 | 1,610 |
* | Gencor Industries Inc. | 103,241 | 1,602 |
*,^ | MicroVision Inc. | 950,100 | 1,596 |
* | Sharps Compliance Corp. | 358,366 | 1,573 |
* | LMI Aerospace Inc. | 191,045 | 1,536 |
* | Astronics Corp. Class B | 46,196 | 1,530 |
* | Arotech Corp. | 543,970 | 1,529 |
* | Goldfield Corp. | 463,160 | 1,519 |
* | Everi Holdings Inc. | 1,245,000 | 1,432 |
*,^ | Research Frontiers Inc. | 376,897 | 1,376 |
* | Iteris Inc. | 460,448 | 1,317 |
*,^ | Applied DNA Sciences Inc. | 402,687 | 1,301 |
*,^ | ModusLink Global Solutions Inc. | 1,034,639 | 1,273 |
* | Ameresco Inc. Class A | 289,783 | 1,266 |
*,^ | Synthesis Energy Systems Inc. | 1,202,400 | 1,263 |
* | IES Holdings Inc. | 97,233 | 1,208 |
* | Xerium Technologies Inc. | 187,337 | 1,195 |
* | Westport Fuel Systems Inc. | 699,058 | 1,167 |
* | Accuride Corp. | 916,972 | 1,137 |
* | Perceptron Inc. | 229,932 | 1,076 |
* | Broadwind Energy Inc. | 252,482 | 1,065 |
* | Perma-Fix Environmental Services | 202,613 | 1,031 |
* | Radiant Logistics Inc. | 329,453 | 988 |
* | PAM Transportation Services Inc. | 61,693 | 980 |
* | MFRI Inc. | 130,863 | 976 |
Hudson Global Inc. | 479,777 | 945 | |
* | General Finance Corp. | 220,958 | 939 |
*,^ | Revolution Lighting Technologies Inc. | 148,014 | 915 |
* | Ballantyne Strong Inc. | 172,411 | 902 |
National Research Corp. Class B | 26,971 | 895 | |
* | Cotiviti Holdings Inc. | 42,300 | 894 |
*,^ | ClearSign Combustion Corp. | 178,108 | 892 |
* | Ultralife Corp. | 177,312 | 888 |
MOCON Inc. | 62,635 | 887 | |
*,^ | Aqua Metals Inc. | 74,683 | 879 |
* | Cenveo Inc. | 1,062,268 | 867 |
* | Frequency Electronics Inc. | 92,289 | 858 |
*,^ | Workhorse Group Inc. | 121,953 | 835 |
Universal Technical Institute Inc. | 367,637 | 831 | |
* | StarTek Inc. | 181,975 | 795 |
* | CPI Aerostructures Inc. | 120,875 | 743 |
* | Key Technology Inc. | 74,625 | 687 |
* | Patriot Transportation Holding Inc. | 35,273 | 686 |
*,^ | Capstone Turbine Corp. | 492,719 | 680 |
* | Innovative Solutions & Support Inc. | 238,921 | 674 |
* | Volt Information Sciences Inc. | 109,764 | 649 |
*,^ | A. M. Castle & Co. | 373,919 | 613 |
* | IEC Electronics Corp. | 127,222 | 528 |
* | Orion Energy Systems Inc. | 454,541 | 527 |
* | Lincoln Educational Services Corp. | 336,260 | 504 |
* | eMagin Corp. | 229,715 | 441 |
*,^ | Vertex Energy Inc. | 327,581 | 436 |
BlueLinx Holdings Inc. | 59,700 | 421 | |
* | Air T Inc. | 19,270 | 414 |
AMCON Distributing Co. | 4,565 | 404 | |
* | Rand Logistics Inc. | 383,812 | 395 |
*,^ | Astrotech Corp. | 219,860 | 372 |
* | UQM Technologies Inc. | 587,658 | 370 |
* | Fuel Tech Inc. | 248,991 | 368 |
*,^ | Turtle Beach Corp. | 355,367 | 345 |
* | Marathon Patent Group Inc. | 125,481 | 344 |
* | LightPath Technologies Inc. Class A | 188,165 | 327 |
*,^ | Eagle Bulk Shipping Inc. | 743,589 | 326 |
45
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Rubicon Technology Inc. | 456,333 | 310 |
Chicago Rivet & Machine Co. | 11,186 | 304 | |
* | SIFCO Industries Inc. | 29,538 | 292 |
General Employment Enterprises Inc. | 67,770 | 287 | |
* | ENGlobal Corp. | 236,848 | 284 |
*,^ | Odyssey Marine Exploration Inc. | 139,341 | 281 |
*,^ | Digital Ally Inc. | 72,353 | 281 |
* | Wireless Telecom Group Inc. | 205,351 | 275 |
RF Industries Ltd. | 117,256 | 257 | |
* | Echelon Corp. | 50,328 | 240 |
* | DLH Holdings Corp. | 47,352 | 239 |
* | AMREP Corp. | 41,186 | 200 |
* | Image Sensing Systems Inc. | 88,473 | 198 |
* | Sevcon Inc. | 21,782 | 197 |
* | SigmaTron International Inc. | 30,411 | 185 |
* | Asure Software Inc. | 39,019 | 184 |
* | American Electric Technologies Inc. | 72,950 | 182 |
* | Versar Inc. | 164,937 | 178 |
EnviroStar Inc. | 47,800 | 176 | |
* | Luna Innovations Inc. | 129,430 | 160 |
Bel Fuse Inc. Class A | 10,580 | 159 | |
* | Onvia Inc. | 44,738 | 159 |
* | Pioneer Power Solutions Inc. | 26,639 | 143 |
Ecology and Environment Inc. | 13,280 | 136 | |
* | Sypris Solutions Inc. | 141,883 | 121 |
* | Continental Materials Corp. | 7,139 | 113 |
* | Active Power Inc. | 244,883 | 97 |
* | Cemtrex Inc. | 25,047 | 92 |
* | Quest Resource Holding Corp. | 301,550 | 87 |
* | Industrial Services of America Inc. | 49,067 | 85 |
* | American DG Energy Inc. | 324,240 | 76 |
* | Nortech Systems Inc. | 17,942 | 67 |
*,^ | Giga-tronics Inc. | 61,800 | 66 |
*,^ | CryoPort Inc. | 30,113 | 63 |
* | IntriCon Corp. | 10,274 | 55 |
Servotronics Inc. | 4,914 | 48 | |
* | Micronet Enertec Technologies Inc. | 19,850 | 43 |
*,^ | EnSync Inc. | 111,094 | 41 |
* | AeroCentury Corp. | 3,772 | 35 |
* | Cartesian Inc. | 33,694 | 34 |
* | Command Security Corp. | 12,427 | 33 |
* | Payment Data Systems Inc. | 19,016 | 25 |
* | Art's-Way Manufacturing Co. Inc. | 7,669 | 23 |
* | Tel-Instrument Electronics Corp. | 4,297 | 18 |
* | SMTC Corp. | 9,000 | 14 |
Greif Inc. Class B | 197 | 11 | |
* | Electro-Sensors Inc. | 1,300 | 4 |
* | CTPartners Executive Search Inc. | 100,659 | — |
* | LGL Group Inc. Warrants expire 6/8/2018 | 3,000 | — |
55,328,840 | |||
Oil & Gas (6.7%) | |||
Exxon Mobil Corp. | 82,406,965 | 7,724,829 | |
Chevron Corp. | 37,452,961 | 3,926,194 | |
Schlumberger Ltd. | 27,629,233 | 2,184,920 | |
Occidental Petroleum Corp. | 15,172,673 | 1,146,447 | |
ConocoPhillips | 24,593,533 | 1,072,278 | |
EOG Resources Inc. | 10,929,428 | 911,733 | |
Halliburton Co. | 16,171,945 | 732,427 | |
Kinder Morgan Inc. | 37,672,505 | 705,229 | |
Phillips 66 | 8,876,029 | 704,224 | |
Anadarko Petroleum Corp. | 10,132,686 | 539,566 | |
Spectra Energy Corp. | 13,922,130 | 509,968 | |
Pioneer Natural Resources Co. | 3,245,665 | 490,777 | |
Valero Energy Corp. | 9,332,799 | 475,973 |
46
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Apache Corp. | 7,512,421 | 418,216 | |
Marathon Petroleum Corp. | 10,531,975 | 399,794 | |
Baker Hughes Inc. | 8,706,228 | 392,912 | |
Devon Energy Corp. | 9,876,402 | 358,020 | |
Hess Corp. | 5,649,853 | 339,556 | |
* | Concho Resources Inc. | 2,608,136 | 311,072 |
Noble Energy Inc. | 8,512,684 | 305,350 | |
Williams Cos. Inc. | 13,416,970 | 290,209 | |
EQT Corp. | 3,430,560 | 265,628 | |
Marathon Oil Corp. | 16,831,026 | 252,634 | |
National Oilwell Varco Inc. | 7,504,064 | 252,512 | |
Cabot Oil & Gas Corp. | 9,232,989 | 237,657 | |
Cimarex Energy Co. | 1,879,719 | 224,288 | |
Tesoro Corp. | 2,381,349 | 178,411 | |
* | Newfield Exploration Co. | 3,933,247 | 173,771 |
* | Cheniere Energy Inc. | 3,967,645 | 148,985 |
Range Resources Corp. | 3,235,486 | 139,579 | |
Helmerich & Payne Inc. | 2,030,641 | 136,317 | |
* | Diamondback Energy Inc. | 1,417,134 | 129,257 |
OGE Energy Corp. | 3,946,667 | 129,253 | |
Targa Resources Corp. | 3,026,517 | 127,537 | |
*,^ | Southwestern Energy Co. | 9,510,393 | 119,641 |
* | FMC Technologies Inc. | 4,472,175 | 119,273 |
Core Laboratories NV | 876,865 | 108,635 | |
Murphy Oil Corp. | 3,234,216 | 102,686 | |
* | Antero Resources Corp. | 3,919,399 | 101,826 |
* | Weatherford International plc | 17,759,374 | 98,565 |
Energen Corp. | 1,925,222 | 92,815 | |
* | Continental Resources Inc. | 1,854,272 | 83,943 |
HollyFrontier Corp. | 3,495,554 | 83,089 | |
QEP Resources Inc. | 4,693,410 | 82,745 | |
^ | Transocean Ltd. | 6,844,528 | 81,381 |
* | Parsley Energy Inc. Class A | 2,954,550 | 79,950 |
* | Gulfport Energy Corp. | 2,494,159 | 77,967 |
* | First Solar Inc. | 1,520,665 | 73,722 |
* | WPX Energy Inc. | 6,444,690 | 60,000 |
Patterson-UTI Energy Inc. | 2,762,725 | 58,901 | |
Ensco plc Class A | 5,975,535 | 58,022 | |
Oceaneering International Inc. | 1,933,770 | 57,742 | |
Superior Energy Services Inc. | 2,992,964 | 55,100 | |
Nabors Industries Ltd. | 5,437,011 | 54,642 | |
* | PDC Energy Inc. | 911,971 | 52,539 |
* | Chesapeake Energy Corp. | 12,218,889 | 52,297 |
* | Rice Energy Inc. | 2,163,395 | 47,681 |
* | Whiting Petroleum Corp. | 4,977,775 | 46,094 |
PBF Energy Inc. Class A | 1,933,796 | 45,986 | |
* | RSP Permian Inc. | 1,315,849 | 45,910 |
* | Dril-Quip Inc. | 750,476 | 43,850 |
Rowan Cos. plc Class A | 2,481,077 | 43,816 | |
Noble Corp. plc | 4,806,294 | 39,604 | |
* | Carrizo Oil & Gas Inc. | 1,097,305 | 39,338 |
* | NOW Inc. | 2,038,780 | 36,983 |
SM Energy Co. | 1,347,035 | 36,370 | |
* | Oil States International Inc. | 1,018,294 | 33,482 |
SemGroup Corp. Class A | 1,022,752 | 33,301 | |
* | Memorial Resource Development Corp. | 2,039,197 | 32,382 |
* | Oasis Petroleum Inc. | 3,373,248 | 31,506 |
* | Matador Resources Co. | 1,571,339 | 31,113 |
^ | Diamond Offshore Drilling Inc. | 1,215,386 | 29,570 |
Western Refining Inc. | 1,384,266 | 28,557 | |
* | Callon Petroleum Co. | 2,486,831 | 27,927 |
* | Laredo Petroleum Inc. | 2,639,820 | 27,665 |
* | MRC Global Inc. | 1,894,634 | 26,923 |
Pattern Energy Group Inc. Class A | 1,127,946 | 25,909 |
47
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Denbury Resources Inc. | 7,015,872 | 25,187 | |
* | Synergy Resources Corp. | 3,616,980 | 24,089 |
* | McDermott International Inc. | 4,778,256 | 23,605 |
* | Forum Energy Technologies Inc. | 1,188,486 | 20,573 |
* | SEACOR Holdings Inc. | 306,078 | 17,737 |
*,^ | RPC Inc. | 1,110,838 | 17,251 |
*,^ | SunPower Corp. Class A | 1,107,389 | 17,153 |
Columbia Pipeline Group Inc. | 637,044 | 16,238 | |
* | Unit Corp. | 1,005,610 | 15,647 |
^ | Atwood Oceanics Inc. | 1,213,200 | 15,189 |
* | Chart Industries Inc. | 598,140 | 14,433 |
*,^ | Flotek Industries Inc. | 1,068,701 | 14,107 |
Delek US Holdings Inc. | 1,040,252 | 13,742 | |
Green Plains Inc. | 683,655 | 13,482 | |
* | Helix Energy Solutions Group Inc. | 1,942,381 | 13,131 |
Archrock Inc. | 1,304,510 | 12,288 | |
* | TETRA Technologies Inc. | 1,698,868 | 10,822 |
*,^ | California Resources Corp. | 771,481 | 9,412 |
* | Cobalt International Energy Inc. | 6,969,901 | 9,340 |
* | Newpark Resources Inc. | 1,584,298 | 9,173 |
* | Par Pacific Holdings Inc. | 582,364 | 8,933 |
* | Exterran Corp. | 673,458 | 8,654 |
* | Matrix Service Co. | 510,239 | 8,414 |
*,^ | Sanchez Energy Corp. | 1,075,271 | 7,591 |
* | REX American Resources Corp. | 122,561 | 7,333 |
Bristow Group Inc. | 637,846 | 7,278 | |
* | Natural Gas Services Group Inc. | 315,224 | 7,219 |
*,^ | Plug Power Inc. | 3,564,457 | 6,630 |
* | Pioneer Energy Services Corp. | 1,439,332 | 6,621 |
* | Ring Energy Inc. | 738,003 | 6,509 |
* | Bill Barrett Corp. | 986,219 | 6,302 |
* | Renewable Energy Group Inc. | 702,239 | 6,201 |
Tesco Corp. | 886,499 | 5,931 | |
CVR Energy Inc. | 348,041 | 5,395 | |
CARBO Ceramics Inc. | 396,526 | 5,195 | |
*,^ | Eclipse Resources Corp. | 1,552,980 | 5,187 |
* | Parker Drilling Co. | 2,204,824 | 5,049 |
Panhandle Oil and Gas Inc. Class A | 297,543 | 4,960 | |
* | Hornbeck Offshore Services Inc. | 586,908 | 4,895 |
* | Northern Oil and Gas Inc. | 1,026,649 | 4,743 |
*,^ | EXCO Resources Inc. | 3,318,265 | 4,314 |
* | Contango Oil & Gas Co. | 332,526 | 4,070 |
Alon USA Energy Inc. | 627,638 | 4,067 | |
* | Geospace Technologies Corp. | 245,676 | 4,022 |
Tidewater Inc. | 905,229 | 3,992 | |
* | PHI Inc. (Non-Voting Shares) | 221,189 | 3,955 |
*,^ | EP Energy Corp. Class A | 745,450 | 3,861 |
*,^ | TerraVia Holdings Inc. | 1,355,428 | 3,551 |
* | Green Brick Partners Inc. | 468,416 | 3,405 |
Gulf Island Fabrication Inc. | 487,463 | 3,383 | |
* | Dawson Geophysical Co. | 411,876 | 3,357 |
*,^ | Clayton Williams Energy Inc. | 118,638 | 3,258 |
* | Pacific Ethanol Inc. | 573,404 | 3,125 |
*,^ | FuelCell Energy Inc. | 491,309 | 3,056 |
* | Independence Contract Drilling Inc. | 534,144 | 2,900 |
* | Trecora Resources | 276,219 | 2,881 |
* | Willbros Group Inc. | 1,011,037 | 2,558 |
* | Abraxas Petroleum Corp. | 2,240,971 | 2,532 |
Evolution Petroleum Corp. | 404,327 | 2,212 | |
* | Gastar Exploration Inc. | 1,778,210 | 1,956 |
*,^ | Basic Energy Services Inc. | 1,087,701 | 1,827 |
*,^ | Approach Resources Inc. | 856,174 | 1,798 |
*,^ | Bonanza Creek Energy Inc. | 830,411 | 1,669 |
*,^ | W&T Offshore Inc. | 707,279 | 1,641 |
48
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | Stone Energy Corp. | 127,865 | 1,542 |
* | Jones Energy Inc. Class A | 328,037 | 1,352 |
Adams Resources & Energy Inc. | 32,960 | 1,269 | |
*,^ | Gulfmark Offshore Inc. | 387,043 | 1,211 |
* | VAALCO Energy Inc. | 1,102,662 | 1,169 |
*,^ | Enphase Energy Inc. | 574,679 | 1,144 |
* | ION Geophysical Corp. | 176,875 | 1,102 |
* | PetroQuest Energy Inc. | 275,787 | 918 |
* | Mitcham Industries Inc. | 228,380 | 856 |
*,^ | Rex Energy Corp. | 1,279,094 | 845 |
* | Resolute Energy Corp. | 266,967 | 793 |
* | Zion Oil & Gas Inc. | 529,716 | 736 |
*,^ | Key Energy Services Inc. | 3,045,565 | 706 |
* | Comstock Resources Inc. | 819,848 | 689 |
*,^ | C&J Energy Services Ltd. | 1,059,628 | 638 |
* | Aemetis Inc. | 269,539 | 615 |
* | Ideal Power Inc. | 124,302 | 613 |
*,^ | Harvest Natural Resources Inc. | 708,987 | 592 |
*,^ | Triangle Petroleum Corp. | 1,777,552 | 510 |
* | Enservco Corp. | 565,671 | 351 |
*,^ | Amyris Inc. | 763,747 | 344 |
*,^ | MagneGas Corp. | 555,720 | 328 |
*,^ | Halcon Resources Corp. | 610,201 | 283 |
* | Hercules Offshore Inc. | 199,456 | 277 |
* | PrimeEnergy Corp. | 4,540 | 274 |
* | Eco-Stim Energy Solutions Inc. | 77,212 | 224 |
* | Superior Drilling Products Inc. | 100,396 | 215 |
*,^ | Torchlight Energy Resources Inc. | 193,885 | 107 |
* | Yuma Energy Inc. | 215,013 | 63 |
* | PHI Inc. | 2,641 | 44 |
* | Seventy Seven Energy Inc. | 325,090 | 30 |
* | Energy XXI Ltd. | 340,856 | 15 |
29,379,855 | |||
Other (0.0%)2 | |||
* | Dyax Corp CVR Expire 12/31/2019 | 2,750,063 | 3,053 |
* | Leap Wireless International Inc CVR | 872,848 | 2,200 |
* | 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 |
* | Alexza Pharmaceuticals Inc CVR | 327,391 | 11 |
* | Clinical Data Contingent Value Rights | 216,285 | — |
* | Gerber Scientific Inc. CVR | 388,581 | — |
*,^ | Cubist Pharmaceuticals, Inc. CVR | 511,822 | — |
*,^ | Biosante Pharmaceutical Inc CVR | 253,823 | — |
* | Allen Organ Co. Escrow Shares | 11,462 | — |
* | EnSite Power Inc. | 63,895 | — |
* | Trubion Pharmaceuticals Inc. CVR | 104 | — |
5,988 | |||
Technology (15.5%) | |||
Apple Inc. | 103,752,723 | 9,918,760 | |
Microsoft Corp. | 149,022,544 | 7,625,484 | |
* | Facebook Inc. Class A | 43,803,673 | 5,005,884 |
* | Alphabet Inc. Class A | 5,854,100 | 4,118,535 |
* | Alphabet Inc. Class C | 5,827,913 | 4,033,499 |
Intel Corp. | 94,273,767 | 3,092,180 | |
Cisco Systems Inc. | 100,384,266 | 2,880,025 | |
International Business Machines Corp. | 17,238,549 | 2,616,467 | |
Oracle Corp. | 62,098,332 | 2,541,685 | |
QUALCOMM Inc. | 29,268,210 | 1,567,898 | |
Texas Instruments Inc. | 20,109,825 | 1,259,881 | |
Broadcom Ltd. | 7,802,371 | 1,212,488 | |
EMC Corp. | 38,786,710 | 1,053,835 |
49
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | salesforce.com Inc. | 12,805,375 | 1,016,875 |
* | Adobe Systems Inc. | 9,963,216 | 954,376 |
* | Cognizant Technology Solutions Corp. Class A | 12,066,770 | 690,702 |
* | Yahoo! Inc. | 17,083,496 | 641,656 |
Hewlett Packard Enterprise Co. | 34,288,859 | 626,457 | |
Applied Materials Inc. | 22,533,414 | 540,126 | |
Intuit Inc. | 4,822,029 | 538,187 | |
NVIDIA Corp. | 10,137,844 | 476,580 | |
Corning Inc. | 21,563,471 | 441,620 | |
HP Inc. | 34,646,619 | 434,815 | |
* | Cerner Corp. | 6,041,258 | 354,018 |
Analog Devices Inc. | 6,135,297 | 347,503 | |
* | Micron Technology Inc. | 20,750,994 | 285,534 |
Lam Research Corp. | 3,151,854 | 264,945 | |
* | Red Hat Inc. | 3,608,297 | 261,962 |
Symantec Corp. | 12,460,702 | 255,943 | |
Western Digital Corp. | 5,360,336 | 253,329 | |
Skyworks Solutions Inc. | 3,785,675 | 239,558 | |
* | Autodesk Inc. | 4,366,966 | 236,428 |
Xilinx Inc. | 5,070,051 | 233,881 | |
* | Citrix Systems Inc. | 2,904,085 | 232,588 |
KLA-Tencor Corp. | 3,092,461 | 226,523 | |
Linear Technology Corp. | 4,746,261 | 220,844 | |
Motorola Solutions Inc. | 3,287,346 | 216,866 | |
Harris Corp. | 2,469,765 | 206,077 | |
* | Palo Alto Networks Inc. | 1,679,955 | 206,030 |
Microchip Technology Inc. | 4,036,742 | 204,905 | |
* | ServiceNow Inc. | 3,081,495 | 204,611 |
CA Inc. | 6,193,543 | 203,334 | |
Maxim Integrated Products Inc. | 5,653,296 | 201,766 | |
* | Twitter Inc. | 11,231,164 | 189,919 |
* | Akamai Technologies Inc. | 3,347,079 | 187,202 |
CDK Global Inc. | 3,071,060 | 170,413 | |
* | Workday Inc. Class A | 2,218,986 | 165,692 |
Juniper Networks Inc. | 7,219,326 | 162,363 | |
* | Synopsys Inc. | 2,997,158 | 162,086 |
*,^ | VeriSign Inc. | 1,838,480 | 158,955 |
* | ANSYS Inc. | 1,740,034 | 157,908 |
* | F5 Networks Inc. | 1,369,725 | 155,930 |
* | Qorvo Inc. | 2,742,459 | 151,548 |
* | Gartner Inc. | 1,552,037 | 151,184 |
* | Cadence Design Systems Inc. | 6,007,249 | 145,976 |
^ | Seagate Technology plc | 5,969,553 | 145,418 |
* | Splunk Inc. | 2,633,532 | 142,685 |
NetApp Inc. | 5,702,956 | 140,236 | |
Computer Sciences Corp. | 2,735,614 | 135,823 | |
CDW Corp. | 3,106,033 | 124,490 | |
* | Ultimate Software Group Inc. | 538,072 | 113,151 |
* | Tyler Technologies Inc. | 649,588 | 108,293 |
* | athenahealth Inc. | 771,779 | 106,513 |
Ingram Micro Inc. | 2,951,795 | 102,663 | |
Garmin Ltd. | 2,257,641 | 95,769 | |
SS&C Technologies Holdings Inc. | 3,324,817 | 93,361 | |
* | Manhattan Associates Inc. | 1,440,022 | 92,349 |
*,^ | VMware Inc. Class A | 1,589,458 | 90,949 |
* | CommScope Holding Co. Inc. | 2,844,005 | 88,249 |
* | Fortinet Inc. | 2,761,781 | 87,245 |
* | Guidewire Software Inc. | 1,407,769 | 86,944 |
Brocade Communications Systems Inc. | 9,459,094 | 86,834 | |
IAC/InterActiveCorp | 1,525,478 | 85,884 | |
* | Nuance Communications Inc. | 5,455,654 | 85,272 |
* | PTC Inc. | 2,264,944 | 85,117 |
Marvell Technology Group Ltd. | 8,469,003 | 80,710 | |
* | ARRIS International plc | 3,849,312 | 80,682 |
50
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Teradyne Inc. | 4,057,991 | 79,902 | |
DST Systems Inc. | 649,570 | 75,629 | |
CSRA Inc. | 3,219,878 | 75,442 | |
* | NCR Corp. | 2,679,479 | 74,409 |
* | Microsemi Corp. | 2,225,724 | 72,737 |
* | ON Semiconductor Corp. | 8,133,148 | 71,734 |
Fair Isaac Corp. | 619,258 | 69,982 | |
Leidos Holdings Inc. | 1,423,357 | 68,136 | |
Pitney Bowes Inc. | 3,771,192 | 67,127 | |
* | Advanced Micro Devices Inc. | 13,009,797 | 66,870 |
Cypress Semiconductor Corp. | 6,297,009 | 66,433 | |
* | Aspen Technology Inc. | 1,643,019 | 66,115 |
* | Teradata Corp. | 2,614,333 | 65,541 |
* | ViaSat Inc. | 888,793 | 63,460 |
Blackbaud Inc. | 919,474 | 62,432 | |
* | EPAM Systems Inc. | 945,080 | 60,778 |
* | IMS Health Holdings Inc. | 2,355,177 | 59,727 |
* | Veeva Systems Inc. Class A | 1,690,917 | 57,694 |
j2 Global Inc. | 910,688 | 57,528 | |
* | NetSuite Inc. | 788,825 | 57,426 |
SYNNEX Corp. | 585,992 | 55,564 | |
* | Dycom Industries Inc. | 615,871 | 55,281 |
* | Qlik Technologies Inc. | 1,849,640 | 54,712 |
* | Tableau Software Inc. Class A | 1,086,924 | 53,172 |
*,^ | Arista Networks Inc. | 817,923 | 52,658 |
* | Integrated Device Technology Inc. | 2,600,669 | 52,351 |
* | Ellie Mae Inc. | 567,372 | 52,000 |
* | Medidata Solutions Inc. | 1,081,619 | 50,695 |
* | Demandware Inc. | 673,107 | 50,416 |
* | Proofpoint Inc. | 793,433 | 50,058 |
Monolithic Power Systems Inc. | 724,631 | 49,507 | |
* | Tech Data Corp. | 680,958 | 48,927 |
*,^ | FireEye Inc. | 2,968,119 | 48,885 |
Mentor Graphics Corp. | 2,297,105 | 48,836 | |
* | Cree Inc. | 1,990,940 | 48,659 |
* | Cirrus Logic Inc. | 1,246,563 | 48,354 |
* | Ciena Corp. | 2,576,566 | 48,311 |
* | Rackspace Hosting Inc. | 2,256,773 | 47,076 |
* | Allscripts Healthcare Solutions Inc. | 3,678,228 | 46,714 |
* | Fairchild Semiconductor International Inc. Class A | 2,322,159 | 46,095 |
MKS Instruments Inc. | 1,049,933 | 45,210 | |
Lexmark International Inc. Class A | 1,189,196 | 44,892 | |
* | ACI Worldwide Inc. | 2,298,218 | 44,838 |
Science Applications International Corp. | 764,816 | 44,627 | |
* | CACI International Inc. Class A | 487,866 | 44,108 |
* | NetScout Systems Inc. | 1,938,707 | 43,136 |
* | Cavium Inc. | 1,073,536 | 41,439 |
* | Zendesk Inc. | 1,555,588 | 41,036 |
* | Verint Systems Inc. | 1,227,392 | 40,664 |
* | Entegris Inc. | 2,758,113 | 39,910 |
* | Electronics For Imaging Inc. | 927,128 | 39,904 |
* | Synaptics Inc. | 729,436 | 39,207 |
* | VeriFone Systems Inc. | 2,083,777 | 38,633 |
* | Silicon Laboratories Inc. | 785,729 | 38,296 |
InterDigital Inc. | 682,085 | 37,979 | |
* | Cornerstone OnDemand Inc. | 979,219 | 37,269 |
* | Finisar Corp. | 2,108,715 | 36,924 |
* | EchoStar Corp. Class A | 900,364 | 35,744 |
Intersil Corp. Class A | 2,635,234 | 35,681 | |
* | Paycom Software Inc. | 824,053 | 35,607 |
* | CommVault Systems Inc. | 799,498 | 34,530 |
Cogent Communications Holdings Inc. | 833,986 | 33,409 | |
* | Fleetmatics Group plc | 760,497 | 32,952 |
* | MicroStrategy Inc. Class A | 182,666 | 31,970 |
51
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Infinera Corp. | 2,775,713 | 31,310 |
* | Syntel Inc. | 681,849 | 30,861 |
* | Semtech Corp. | 1,287,515 | 30,720 |
Plantronics Inc. | 697,798 | 30,703 | |
Tessera Technologies Inc. | 993,808 | 30,450 | |
* | LogMeIn Inc. | 480,048 | 30,449 |
* | Viavi Solutions Inc. | 4,537,054 | 30,081 |
* | Advanced Energy Industries Inc. | 790,195 | 29,996 |
* | Polycom Inc. | 2,636,623 | 29,662 |
* | Premier Inc. Class A | 899,486 | 29,413 |
*,^ | 3D Systems Corp. | 2,118,541 | 29,003 |
* | NETGEAR Inc. | 605,079 | 28,765 |
Diebold Inc. | 1,134,506 | 28,170 | |
* | GoDaddy Inc. Class A | 895,547 | 27,932 |
* | Marketo Inc. | 790,637 | 27,530 |
* | Rambus Inc. | 2,261,605 | 27,320 |
NIC Inc. | 1,218,689 | 26,738 | |
Power Integrations Inc. | 530,430 | 26,559 | |
* | Envestnet Inc. | 794,843 | 26,476 |
* | Progress Software Corp. | 943,785 | 25,916 |
* | Lumentum Holdings Inc. | 1,049,382 | 25,395 |
* | Rovi Corp. | 1,609,312 | 25,170 |
* | Synchronoss Technologies Inc. | 789,075 | 25,140 |
CSG Systems International Inc. | 615,195 | 24,799 | |
* | HubSpot Inc. | 563,114 | 24,450 |
* | Cray Inc. | 816,477 | 24,429 |
* | QLogic Corp. | 1,630,947 | 24,040 |
* | RealPage Inc. | 1,049,835 | 23,443 |
* | BroadSoft Inc. | 568,963 | 23,345 |
* | Inphi Corp. | 724,504 | 23,206 |
* | Gigamon Inc. | 591,496 | 22,116 |
* | Callidus Software Inc. | 1,102,551 | 22,029 |
* | 2U Inc. | 735,516 | 21,632 |
* | RingCentral Inc. Class A | 1,075,047 | 21,200 |
^ | Ebix Inc. | 438,920 | 21,024 |
* | SPS Commerce Inc. | 338,438 | 20,509 |
*,^ | Ubiquiti Networks Inc. | 529,656 | 20,477 |
* | MaxLinear Inc. | 1,128,545 | 20,291 |
* | Infoblox Inc. | 1,061,614 | 19,916 |
* | Insight Enterprises Inc. | 735,940 | 19,134 |
* | ScanSource Inc. | 514,761 | 19,103 |
Monotype Imaging Holdings Inc. | 771,064 | 18,991 | |
West Corp. | 964,328 | 18,959 | |
* | Mercury Systems Inc. | 758,056 | 18,845 |
Cabot Microelectronics Corp. | 443,900 | 18,795 | |
* | Super Micro Computer Inc. | 754,113 | 18,740 |
ADTRAN Inc. | 973,619 | 18,158 | |
Pegasystems Inc. | 650,245 | 17,524 | |
*,^ | Shutterstock Inc. | 375,687 | 17,206 |
* | Web.com Group Inc. | 927,621 | 16,864 |
* | Qualys Inc. | 558,795 | 16,658 |
* | New Relic Inc. | 563,544 | 16,557 |
* | Cvent Inc. | 461,950 | 16,501 |
* | Bottomline Technologies de Inc. | 765,423 | 16,480 |
* | Virtusa Corp. | 529,920 | 15,304 |
* | Q2 Holdings Inc. | 543,606 | 15,232 |
* | Interactive Intelligence Group Inc. | 351,455 | 14,406 |
* | Ixia | 1,444,457 | 14,185 |
Brooks Automation Inc. | 1,258,520 | 14,121 | |
* | Diodes Inc. | 735,281 | 13,816 |
* | Perficient Inc. | 660,182 | 13,408 |
Inteliquent Inc. | 634,420 | 12,619 | |
*,^ | Match Group Inc. | 824,682 | 12,432 |
* | Lattice Semiconductor Corp. | 2,305,477 | 12,334 |
52
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Quality Systems Inc. | 1,021,963 | 12,172 | |
* | FormFactor Inc. | 1,331,676 | 11,972 |
*,^ | Endurance International Group Holdings Inc. | 1,302,645 | 11,711 |
* | Photronics Inc. | 1,287,737 | 11,474 |
* | Ultratech Inc. | 489,478 | 11,243 |
* | CEVA Inc. | 411,951 | 11,193 |
* | Amkor Technology Inc. | 1,899,287 | 10,921 |
* | ePlus Inc. | 132,316 | 10,822 |
* | Xura Inc. | 435,449 | 10,638 |
*,^ | Pure Storage Inc. Class A | 969,533 | 10,568 |
*,^ | Oclaro Inc. | 2,137,142 | 10,429 |
* | InvenSense Inc. | 1,684,624 | 10,327 |
* | Benefitfocus Inc. | 270,736 | 10,320 |
* | CalAmp Corp. | 678,612 | 10,050 |
* | Applied Micro Circuits Corp. | 1,538,008 | 9,874 |
* | VASCO Data Security International Inc. | 589,746 | 9,666 |
* | Nanometrics Inc. | 444,030 | 9,231 |
*,^ | Gogo Inc. | 1,092,262 | 9,164 |
* | SciQuest Inc. | 518,412 | 9,155 |
* | PROS Holdings Inc. | 519,749 | 9,059 |
*,^ | Nimble Storage Inc. | 1,135,479 | 9,038 |
* | ShoreTel Inc. | 1,335,801 | 8,937 |
* | Rudolph Technologies Inc. | 571,224 | 8,871 |
* | Loral Space & Communications Inc. | 247,307 | 8,723 |
Computer Programs & Systems Inc. | 215,986 | 8,622 | |
Epiq Systems Inc. | 574,622 | 8,389 | |
* | Blucora Inc. | 774,855 | 8,028 |
* | Silver Spring Networks Inc. | 657,984 | 7,995 |
*,^ | Hortonworks Inc. | 747,054 | 7,986 |
* | Sonus Networks Inc. | 914,968 | 7,951 |
Forrester Research Inc. | 212,604 | 7,837 | |
* | Five9 Inc. | 657,598 | 7,825 |
* | Model N Inc. | 570,650 | 7,618 |
* | NeoPhotonics Corp. | 791,710 | 7,545 |
*,^ | Square Inc. | 818,063 | 7,403 |
* | Exar Corp. | 917,511 | 7,386 |
* | PDF Solutions Inc. | 523,826 | 7,328 |
*,^ | KEYW Holding Corp. | 732,683 | 7,283 |
* | Workiva Inc. | 527,197 | 7,202 |
Hackett Group Inc. | 505,074 | 7,005 | |
*,^ | Unisys Corp. | 961,314 | 6,998 |
* | Vocera Communications Inc. | 536,914 | 6,899 |
* | Extreme Networks Inc. | 1,991,628 | 6,752 |
*,^ | Box Inc. | 649,705 | 6,718 |
* | Actua Corp. | 716,805 | 6,473 |
* | LivePerson Inc. | 1,016,831 | 6,447 |
* | Boingo Wireless Inc. | 714,092 | 6,370 |
* | Intralinks Holdings Inc. | 964,009 | 6,266 |
* | Barracuda Networks Inc. | 413,441 | 6,260 |
American Software Inc. Class A | 589,908 | 6,182 | |
* | Axcelis Technologies Inc. | 2,291,184 | 6,163 |
* | ChannelAdvisor Corp. | 422,350 | 6,120 |
* | Vectrus Inc. | 210,714 | 6,003 |
* | Imprivata Inc. | 422,106 | 5,910 |
* | Calix Inc. | 846,346 | 5,848 |
* | Tangoe Inc. | 737,500 | 5,694 |
* | Xcerra Corp. | 980,453 | 5,638 |
Comtech Telecommunications Corp. | 437,536 | 5,618 | |
PC Connection Inc. | 227,682 | 5,419 | |
*,^ | Alarm.com Holdings Inc. | 204,384 | 5,238 |
* | A10 Networks Inc. | 809,406 | 5,237 |
* | Varonis Systems Inc. | 214,963 | 5,163 |
*,^ | Digimarc Corp. | 161,185 | 5,151 |
* | SunEdison Semiconductor Ltd. | 844,875 | 5,010 |
53
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Brightcove Inc. | 568,539 | 5,003 |
IXYS Corp. | 480,608 | 4,926 | |
* | Alpha & Omega Semiconductor Ltd. | 351,428 | 4,895 |
* | Harmonic Inc. | 1,683,369 | 4,798 |
Cohu Inc. | 439,185 | 4,765 | |
* | Digi International Inc. | 440,086 | 4,722 |
* | MeetMe Inc. | 884,667 | 4,715 |
* | Radisys Corp. | 1,039,763 | 4,658 |
* | RigNet Inc. | 335,700 | 4,495 |
* | Mitek Systems Inc. | 628,987 | 4,472 |
* | Sigma Designs Inc. | 677,169 | 4,354 |
* | Xactly Corp. | 330,738 | 4,237 |
*,^ | Applied Optoelectronics Inc. | 365,062 | 4,070 |
* | Immersion Corp. | 545,440 | 4,004 |
* | Exa Corp. | 271,748 | 3,927 |
* | DSP Group Inc. | 365,386 | 3,877 |
* | Instructure Inc. | 203,398 | 3,865 |
* | Zix Corp. | 1,024,551 | 3,842 |
*,^ | VirnetX Holding Corp. | 952,645 | 3,811 |
* | Apigee Corp. | 306,237 | 3,742 |
* | Rapid7 Inc. | 289,762 | 3,645 |
* | Silicon Graphics International Corp. | 703,212 | 3,537 |
*,^ | Clearfield Inc. | 196,005 | 3,507 |
* | Jive Software Inc. | 880,909 | 3,312 |
* | USA Technologies Inc. | 767,011 | 3,275 |
* | GSI Technology Inc. | 779,926 | 3,252 |
* | Agilysys Inc. | 293,495 | 3,073 |
* | Carbonite Inc. | 314,655 | 3,062 |
QAD Inc. Class A | 154,173 | 2,971 | |
* | United Online Inc. | 263,385 | 2,897 |
* | Castlight Health Inc. Class B | 708,924 | 2,807 |
* | Datalink Corp. | 372,494 | 2,794 |
* | Amber Road Inc. | 362,115 | 2,792 |
* | Ultra Clean Holdings Inc. | 490,321 | 2,790 |
* | EMCORE Corp. | 451,662 | 2,683 |
* | Telenav Inc. | 514,146 | 2,622 |
Computer Task Group Inc. | 522,197 | 2,595 | |
* | SecureWorks Corp. Class A | 176,829 | 2,493 |
* | Kopin Corp. | 1,118,910 | 2,484 |
* | GigPeak Inc. | 1,250,674 | 2,451 |
* | Rosetta Stone Inc. | 306,547 | 2,376 |
* | Aerohive Networks Inc. | 357,059 | 2,364 |
* | Key Tronic Corp. | 308,692 | 2,324 |
* | MobileIron Inc. | 761,763 | 2,323 |
* | Edgewater Technology Inc. | 267,843 | 2,314 |
* | Hutchinson Technology Inc. | 647,855 | 2,196 |
* | Guidance Software Inc. | 353,142 | 2,186 |
* | Ciber Inc. | 1,452,574 | 2,179 |
Simulations Plus Inc. | 284,393 | 2,150 | |
* | Seachange International Inc. | 659,077 | 2,102 |
* | Quantum Corp. | 4,946,763 | 2,078 |
* | Internap Corp. | 996,935 | 2,054 |
NCI Inc. Class A | 145,165 | 2,040 | |
* | Covisint Corp. | 932,791 | 2,034 |
*,^ | Rightside Group Ltd. | 190,008 | 2,022 |
* | BSQUARE Corp. | 350,219 | 1,954 |
* | AXT Inc. | 605,989 | 1,933 |
* | KVH Industries Inc. | 238,592 | 1,837 |
*,^ | Appfolio Inc. | 125,122 | 1,809 |
PC-Tel Inc. | 382,068 | 1,800 | |
Preformed Line Products Co. | 43,037 | 1,738 | |
*,^ | Violin Memory Inc. | 1,824,570 | 1,678 |
* | Systemax Inc. | 194,630 | 1,660 |
* | Ooma Inc. | 195,376 | 1,600 |
54
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Great Elm Capital Group Inc. | 241,938 | 1,594 | |
TransAct Technologies Inc. | 197,189 | 1,581 | |
*,^ | Park City Group Inc. | 167,676 | 1,504 |
* | Amtech Systems Inc. | 246,648 | 1,473 |
* | NetSol Technologies Inc. | 248,767 | 1,453 |
TESSCO Technologies Inc. | 103,841 | 1,442 | |
* | VOXX International Corp. Class A | 516,734 | 1,442 |
* | Numerex Corp. Class A | 190,131 | 1,424 |
* | Aware Inc. | 325,767 | 1,414 |
* | Synacor Inc. | 449,243 | 1,384 |
* | Limelight Networks Inc. | 893,306 | 1,331 |
*,^ | Neonode Inc. | 909,044 | 1,327 |
*,^ | TransEnterix Inc. | 1,071,239 | 1,307 |
* | MRV Communications Inc. | 112,754 | 1,274 |
Concurrent Computer Corp. | 236,019 | 1,232 | |
*,^ | Pixelworks Inc. | 644,421 | 1,186 |
*,^ | Rocket Fuel Inc. | 529,536 | 1,176 |
Evolving Systems Inc. | 225,771 | 1,167 | |
*,^ | Pendrell Corp. | 2,290,362 | 1,156 |
* | iPass Inc. | 893,631 | 1,108 |
* | Icad Inc. | 209,938 | 1,096 |
* | QuickLogic Corp. | 1,053,474 | 1,022 |
* | Datawatch Corp. | 183,944 | 1,019 |
* | ARI Network Services Inc. | 235,532 | 989 |
* | ID Systems Inc. | 204,890 | 986 |
ClearOne Inc. | 86,484 | 969 | |
*,^ | Netlist Inc. | 817,791 | 957 |
* | PAR Technology Corp. | 191,902 | 919 |
* | Support.com Inc. | 1,053,784 | 886 |
* | Marin Software Inc. | 375,780 | 883 |
* | Tremor Video Inc. | 449,955 | 828 |
* | Xplore Technologies Corp. | 341,629 | 820 |
* | FalconStor Software Inc. | 772,635 | 811 |
LRAD Corp. | 449,000 | 804 | |
*,^ | Novatel Wireless Inc. | 512,221 | 779 |
* | Imation Corp. | 618,730 | 773 |
* | Upland Software Inc. | 101,193 | 771 |
*,^ | WidePoint Corp. | 1,255,826 | 741 |
* | CVD Equipment Corp. | 85,142 | 731 |
*,^ | SITO Mobile Ltd. | 200,635 | 726 |
GlobalSCAPE Inc. | 191,645 | 707 | |
*,^ | Sunworks Inc. | 299,833 | 699 |
* | Qumu Corp. | 152,829 | 679 |
RELM Wireless Corp. | 126,563 | 644 | |
* | eGain Corp. | 227,199 | 641 |
* | Aviat Networks Inc. | 81,716 | 636 |
* | Intermolecular Inc. | 425,531 | 630 |
* | GSE Systems Inc. | 275,429 | 614 |
*,^ | Twilio Inc. | 16,080 | 587 |
* | Acacia Communications Inc. | 14,100 | 563 |
AstroNova Inc. | 34,603 | 527 | |
Communications Systems Inc. | 74,508 | 519 | |
* | Inuvo Inc. | 362,897 | 508 |
* | Zhone Technologies Inc. | 420,533 | 500 |
* | Westell Technologies Inc. Class A | 696,943 | 488 |
*,^ | ParkerVision Inc. | 149,599 | 470 |
RCM Technologies Inc. | 82,415 | 429 | |
QAD Inc. Class B | 23,147 | 400 | |
*,^ | Resonant Inc. | 90,940 | 398 |
* | MoSys Inc. | 859,633 | 348 |
* | Identiv Inc. | 172,117 | 308 |
* | Smith Micro Software Inc. | 492,957 | 292 |
* | inTEST Corp. | 75,035 | 286 |
*,^ | FORM Holdings Corp. | 143,146 | 271 |
55
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | BroadVision Inc. | 38,131 | 253 |
* | ARC Group Worldwide Inc. | 109,790 | 250 |
* | Streamline Health Solutions Inc. | 205,037 | 246 |
*,^ | InterCloud Systems Inc. | 313,115 | 219 |
* | Data I/O Corp. | 78,643 | 185 |
* | SharpSpring Inc. | 34,445 | 180 |
*,^ | Adesto Technologies Corp. | 54,782 | 180 |
* | Sysorex Global | 288,616 | 152 |
* | Aehr Test Systems | 93,715 | 151 |
*,^ | Cinedigm Corp. Class A | 111,569 | 135 |
* | Lantronix Inc. | 138,633 | 134 |
* | Infosonics Corp. | 140,874 | 116 |
*,^ | Voltari Corp. | 30,729 | 111 |
*,^ | Sonic Foundry Inc. | 17,328 | 107 |
* | Mastech Holdings Inc. | 15,394 | 102 |
CSP Inc. | 10,227 | 83 | |
* | Determine Inc. | 51,969 | 79 |
*,^ | NXT-ID Inc. | 201,604 | 71 |
* | Fusion Telecommunications International Inc. | 30,990 | 57 |
* | ADDvantage Technologies Group Inc. | 29,519 | 52 |
* | SunEdison Inc. | 187,103 | 26 |
* | Network-1 Technologies Inc. | 6,471 | 17 |
* | Finjan Holdings Inc. | 6,800 | 12 |
Intelligent Systems Corp. | 1,383 | 5 | |
* | Glowpoint Inc. | 12,965 | 4 |
* | Crossroads Systems Inc. | 166 | 1 |
* | Sajan Inc. | 100 | — |
67,831,914 | |||
Telecommunications (2.6%) | |||
AT&T Inc. | 122,335,204 | 5,286,104 | |
Verizon Communications Inc. | 81,195,606 | 4,533,963 | |
CenturyLink Inc. | 10,810,401 | 313,610 | |
* | Level 3 Communications Inc. | 5,662,659 | 291,570 |
* | SBA Communications Corp. Class A | 2,485,920 | 268,330 |
* | T-Mobile US Inc. | 5,696,784 | 246,500 |
Frontier Communications Corp. | 23,129,701 | 114,261 | |
* | Zayo Group Holdings Inc. | 2,373,149 | 66,282 |
*,^ | Sprint Corp. | 12,174,854 | 55,152 |
Telephone & Data Systems Inc. | 1,798,589 | 53,346 | |
Shenandoah Telecommunications Co. | 964,889 | 37,688 | |
Consolidated Communications Holdings Inc. | 987,389 | 26,896 | |
* | 8x8 Inc. | 1,706,492 | 24,932 |
* | Vonage Holdings Corp. | 3,999,731 | 24,398 |
* | Cincinnati Bell Inc. | 4,641,117 | 21,210 |
^ | Windstream Holdings Inc. | 1,924,664 | 17,842 |
ATN International Inc. | 211,717 | 16,474 | |
* | inContact Inc. | 1,139,827 | 15,787 |
*,^ | Iridium Communications Inc. | 1,579,966 | 14,030 |
EarthLink Holdings Corp. | 2,082,483 | 13,328 | |
* | ORBCOMM Inc. | 1,246,342 | 12,401 |
*,^ | Globalstar Inc. | 8,608,373 | 10,416 |
* | United States Cellular Corp. | 243,439 | 9,560 |
* | GTT Communications Inc. | 505,932 | 9,350 |
* | General Communication Inc. Class A | 526,114 | 8,313 |
Spok Holdings Inc. | 385,049 | 7,379 | |
* | FairPoint Communications Inc. | 457,097 | 6,710 |
* | Hawaiian Telcom Holdco Inc. | 285,173 | 6,043 |
*,^ | pdvWireless Inc. | 258,263 | 5,524 |
IDT Corp. Class B | 345,185 | 4,898 | |
* | Lumos Networks Corp. | 403,763 | 4,885 |
*,^ | Straight Path Communications Inc. Class B | 162,873 | 4,507 |
* | Alaska Communications Systems Group Inc. | 1,402,988 | 2,385 |
* | HC2 Holdings Inc. | 516,327 | 2,220 |
*,^ | Intelsat SA | 628,051 | 1,620 |
56
Vanguard® Total Stock Market Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Shares | ($000) | ||
*,^ | Elephant Talk Communications Corp. | 1,074,207 | 191 |
*,^ | Towerstream Corp. | 1,074,829 | 181 |
* | Otelco Inc. Class A | 2,754 | 12 |
11,538,298 | |||
Utilities (3.6%) | |||
NextEra Energy Inc. | 9,156,605 | 1,194,021 | |
Duke Energy Corp. | 13,648,487 | 1,170,904 | |
Southern Co. | 18,587,158 | 996,829 | |
Dominion Resources Inc. | 12,223,352 | 952,566 | |
American Electric Power Co. Inc. | 9,705,755 | 680,276 | |
Exelon Corp. | 18,260,589 | 663,955 | |
PG&E Corp. | 9,801,549 | 626,515 | |
Sempra Energy | 4,695,444 | 535,375 | |
PPL Corp. | 13,369,773 | 504,709 | |
Edison International | 6,453,479 | 501,242 | |
Consolidated Edison Inc. | 6,005,401 | 483,074 | |
Public Service Enterprise Group Inc. | 9,995,884 | 465,908 | |
Xcel Energy Inc. | 10,008,197 | 448,167 | |
WEC Energy Group Inc. | 6,212,816 | 405,697 | |
Eversource Energy | 6,258,571 | 374,888 | |
DTE Energy Co. | 3,548,067 | 351,684 | |
American Water Works Co. Inc. | 3,489,073 | 294,862 | |
FirstEnergy Corp. | 8,405,327 | 293,430 | |
Entergy Corp. | 3,511,770 | 285,683 | |
Ameren Corp. | 4,760,439 | 255,064 | |
CMS Energy Corp. | 5,496,111 | 252,052 | |
ONEOK Inc. | 4,167,757 | 197,760 | |
CenterPoint Energy Inc. | 8,030,922 | 192,742 | |
SCANA Corp. | 2,522,127 | 190,824 | |
Alliant Energy Corp. | 4,526,443 | 179,700 | |
Pinnacle West Capital Corp. | 2,198,754 | 178,231 | |
NiSource Inc. | 6,328,881 | 167,842 | |
AES Corp. | 13,143,198 | 164,027 | |
Atmos Energy Corp. | 2,007,295 | 163,233 | |
Westar Energy Inc. Class A | 2,812,755 | 157,767 | |
UGI Corp. | 3,382,681 | 153,066 | |
ITC Holdings Corp. | 3,053,354 | 142,958 | |
Aqua America Inc. | 3,470,851 | 123,771 | |
* | Calpine Corp. | 7,049,510 | 103,980 |
Piedmont Natural Gas Co. Inc. | 1,629,457 | 97,963 | |
NRG Energy Inc. | 6,206,054 | 93,029 | |
Great Plains Energy Inc. | 3,017,549 | 91,734 | |
Vectren Corp. | 1,736,871 | 91,481 | |
National Fuel Gas Co. | 1,602,878 | 91,172 | |
Questar Corp. | 3,481,882 | 88,335 | |
IDACORP Inc. | 1,051,763 | 85,561 | |
Portland General Electric Co. | 1,802,002 | 79,504 | |
Southwest Gas Corp. | 909,712 | 71,603 | |
Hawaiian Electric Industries Inc. | 2,140,326 | 70,181 | |
ONE Gas Inc. | 1,043,895 | 69,513 | |
WGL Holdings Inc. | 967,307 | 68,476 | |
ALLETE Inc. | 1,035,218 | 66,906 | |
Black Hills Corp. | 1,047,010 | 66,004 | |
Avista Corp. | 1,466,348 | 65,692 | |
New Jersey Resources Corp. | 1,703,906 | 65,686 | |
NorthWestern Corp. | 998,099 | 62,950 | |
PNM Resources Inc. | 1,776,144 | 62,947 | |
Avangrid Inc. | 1,263,364 | 58,191 | |
Spire Inc. | 806,363 | 57,123 | |
South Jersey Industries Inc. | 1,548,206 | 48,954 | |
MGE Energy Inc. | 822,963 | 46,510 | |
El Paso Electric Co. | 894,717 | 42,293 | |
* | Dynegy Inc. | 2,353,070 | 40,567 |
Northwest Natural Gas Co. | 584,250 | 37,871 |
57
Vanguard® Total Stock Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Market | |||||
Value | |||||
Shares | ($000) | ||||
California Water Service Group | 959,512 | 33,516 | |||
American States Water Co. | 725,833 | 31,806 | |||
Empire District Electric Co. | 882,719 | 29,986 | |||
Ormat Technologies Inc. | 676,207 | 29,591 | |||
* | Talen Energy Corp. | 1,759,207 | 23,837 | ||
Chesapeake Utilities Corp. | 286,666 | 18,972 | |||
Connecticut Water Service Inc. | 328,802 | 18,479 | |||
TerraForm Power Inc. Class A | 1,672,693 | 18,232 | |||
Unitil Corp. | 401,864 | 17,148 | |||
Middlesex Water Co. | 366,089 | 15,881 | |||
SJW Corp. | 320,349 | 12,615 | |||
York Water Co. | 282,354 | 9,047 | |||
Artesian Resources Corp. Class A | 212,703 | 7,215 | |||
*,^ | Sunrun Inc. | 1,197,010 | 7,098 | ||
Atlantic Power Corp. | 2,238,892 | 5,552 | |||
Delta Natural Gas Co. Inc. | 190,830 | 5,141 | |||
TECO Energy Inc. | 142,766 | 3,946 | |||
Spark Energy Inc. Class A | 116,382 | 3,846 | |||
* | Pure Cycle Corp. | 482,435 | 2,272 | ||
*,^ | Cadiz Inc. | 353,762 | 2,077 | ||
Genie Energy Ltd. Class B | 286,954 | 1,943 | |||
Gas Natural Inc. | 270,016 | 1,887 | |||
* | US Geothermal Inc. | 2,052,339 | 1,680 | ||
*,^ | Vivint Solar Inc. | 424,353 | 1,303 | ||
AGL Resources Inc. | 7,964 | 525 | |||
15,876,643 | |||||
Total Common Stocks (Cost $315,646,922) | 436,562,242 | ||||
Coupon | |||||
Temporary Cash Investments (0.9%)1 | |||||
Money Market Fund (0.9%) | |||||
3,4 | Vanguard Market Liquidity Fund | 0.538% | 3,826,053,595 | 3,826,054 | |
Face | |||||
Maturity | Amount | ||||
Date | ($000) | ||||
U.S. Government and Agency Obligations (0.0%) | |||||
5,6 | Federal Home Loan Bank Discount Notes | 0.520% | 7/27/16 | 10,000 | 9,998 |
5,6 | Federal Home Loan Bank Discount Notes | 0.390% | 9/7/16 | 68,100 | 68,057 |
5,6 | Federal Home Loan Bank Discount Notes | 0.395% | 9/9/16 | 1,800 | 1,799 |
5,7 | Federal Home Loan Bank Discount Notes | 0.370% | 9/14/16 | 3,000 | 2,998 |
5,6,7 | Federal Home Loan Bank Discount Notes | 0.400% | 9/16/16 | 12,600 | 12,591 |
5,6 | Federal Home Loan Bank Discount Notes | 0.405% | 9/20/16 | 2,000 | 1,998 |
5,6 | Federal Home Loan Bank Discount Notes | 0.415% | 9/23/16 | 5,500 | 5,496 |
6 | United States Treasury Bill | 0.431% | 8/4/16 | 5,000 | 4,999 |
107,936 | |||||
Total Temporary Cash Investments (Cost $3,933,976) | 3,933,990 | ||||
Total Investments (100.3%) (Cost $319,580,898) | 440,496,232 | ||||
Other Assets and Liabilities—Net (-0.3%)4 | (1,511,990) | ||||
Net Assets (100%) | 438,984,242 |
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $1,493,268,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts and swap contracts. After giving
effect to futures and swap investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and
0.3%, respectively, of net assets.
2 “Other” represents securities that are not classified by the fund’s benchmark index.
58
Vanguard® Total Stock Market Index Fund
Schedule of Investments
June 30, 2016
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 $1,573,074,000 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 $101,641,000 have been segregated as initial margin for open futures contracts.
7 Securities with a value of $3,562,000 have been segregated as collateral for open over-the-counter swap contracts.
CVR—Contingent Value Rights.
REIT—Real Estate Investment Trust.
59
© 2016 The Vanguard Group, Inc. All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA852 082016
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not Applicable.
Item 8: Portfolio Managers of Closed-End Management Investment Companies.
Not Applicable.
Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not Applicable.
Item 10: Submission of Matters to a Vote of Security Holders.
Not Applicable.
Item 11: Controls and Procedures.
(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
(b) Internal Control Over Financial Reporting. There were no significant changes in Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12: Exhibits.
(a) Certifications.
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
VANGUARD INDEX FUNDS | |
BY: | /s/ F. WILLIAM MCNABB III* |
F. WILLIAM MCNABB III | |
CHIEF EXECUTIVE OFFICER | |
Date: August 17, 2016 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
VANGUARD INDEX FUNDS | |
BY: | /s/ F. WILLIAM MCNABB III* |
F. WILLIAM MCNABB III | |
CHIEF EXECUTIVE OFFICER | |
Date: August 17, 2016 | |
VANGUARD INDEX FUNDS | |
BY: | /s/ THOMAS J. HIGGINS* |
THOMAS J. HIGGINS | |
CHIEF FINANCIAL OFFICER | |
Date: August 17, 2016 |
* 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.