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: | 811-04526 | |
Name of Registrant: | Vanguard Quantitative 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: September 30 | ||
Date of reporting period: October 1, 2012 – March 31, 2013 | ||
Item 1: Reports to Shareholders |
Semiannual Report | March 31, 2013
Vanguard Growth and Income Fund
![](https://capedge.com/proxy/N-CSRS/0000932471-13-006607/growthandincome_93x1x2.jpg)
> Vanguard Growth and Income Fund returned more than 10% for the six months
ended March 31, 2013.
> For the period, the fund edged ahead of its benchmark, the S&P 500 Index, but
was a step behind the average return of its large-capitalization core fund peers.
> Stock selection in energy, consumer discretionary, and materials boosted the
fund’s relative performance.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
Advisors’ Report. | 7 |
Fund Profile. | 12 |
Performance Summary. | 13 |
Financial Statements. | 14 |
About Your Fund’s Expenses. | 32 |
Glossary. | 34 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice.
Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the
risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: Our cover photograph shows rigging on the HMSSurprise, a replica of an 18th-century Royal Navy frigate. It
was featured in the 2003 movie Master and Commander: The Far Side of the World, which was based on Patrick O’Brian’s sea
novels, set amid the Napoleonic Wars. Vanguard was named for another ship of that era, the HMSVanguard, which was the
flagship of British Admiral Horatio Nelson at the Battle of the Nile.
Your Fund’s Total Returns
Six Months Ended March 31, 2013 | |
Total | |
Returns | |
Vanguard Growth and Income Fund | |
Investor Shares | 10.31% |
Admiral™ Shares | 10.37 |
S&P 500 Index | 10.19 |
Large-Cap Core Funds Average | 10.57 |
Large-Cap Core Funds Average: Derived from data provided by Lipper Inc. | |
Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements. |
Your Fund’s Performance at a Glance | ||||
September 30, 2012, Through March 31, 2013 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Growth and Income Fund | ||||
Investor Shares | $30.73 | $33.50 | $0.359 | $0.000 |
Admiral Shares | 50.18 | 54.70 | 0.617 | 0.000 |
Chairman’s Letter
Dear Shareholder,
As the six-month period progressed, investor anxieties about corporate profits, the fiscal deficit, and fresh troubles in Europe gave way to greater optimism about the strength of the U.S. economy, especially with regard to the labor and housing markets. Vanguard Growth and Income Fund finished the half year ended March 31, 2013, with a return of a little more than 10%. The fund outpaced its benchmark, the Standard & Poor’s 500 Index, but lagged the average return of its large-cap core fund peers.
The fund’s gains were broad-based. Returns from seven out of ten market sectors topped 10%, with financials and health care leading the way. Stock selection, notably in energy, consumer discretionary, and materials, boosted the fund’s performance relative to its benchmark.
Global equity markets delivered a powerful rally
Global stocks advanced for the fifth straight month to finish the half year ended March 31 with impressive gains. The Standard & Poor’s 500 Index closed at a record high on the period’s final business day after global financial markets in recent months shrugged off the U.S. “fiscal cliff” crisis, the unsettled Italian national elections, and a controversial bailout package for Cyprus.
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Peter Westaway, Vanguard’s chief European economist, said that the latest developments in Europe had been “rather bad,” but that the market had for the most part already priced in these events. “As always,” he said, “we think investors should assess their portfolios carefully and avoid making impulsive moves.”
U.S. equities returned more than 11% as the economic recovery slowly built momentum, the housing market rebounded further, and the labor market improved. International equities were up more than 9%. Returns were about 16% in the Pacific region, where Japan’s
accommodative monetary policy has helped spark the nation’s stock market, and nearly 10% in Europe. Emerging markets stocks rose about 4%.
Bond returns barely budged as yields lingered near lows
The broad U.S. taxable bond market scraped out a minuscule gain of 0.09% for the half year as U.S. Treasury yields remained just slightly above their all-time lows. Although the yield of the benchmark 10-year Treasury note increased during the six months and topped 2.00% at various times, it closed the period at about 1.85%. (Bond prices and yields move in opposite directions.)
Market Barometer | |||
Total Returns | |||
Periods Ended March 31, 2013 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 11.10% | 14.43% | 6.15% |
Russell 2000 Index (Small-caps) | 14.48 | 16.30 | 8.24 |
Russell 3000 Index (Broad U.S. market) | 11.35 | 14.56 | 6.32 |
MSCI All Country World Index ex USA (International) | 9.20 | 8.36 | -0.39 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | 0.09% | 3.77% | 5.47% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 0.96 | 5.25 | 6.10 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.05 | 0.08 | 0.30 |
CPI | |||
Consumer Price Index | 0.59% | 1.47% | 1.74% |
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Municipal bonds returned almost 1% for the six months despite price declines in March. And returns of money market funds and savings accounts barely registered as short-term interest rates remained between 0% and 0.25%, under the Federal Reserve’s four-year-old policy.
Robert Auwaerter, head of Vanguard’s Fixed Income Group, doesn’t anticipate abrupt policy changes from the central bank. “We don’t see the Fed changing course in the near term,” he said, “and when the Fed does, we expect it’ll go slowly so as not to undo the efforts made to keep interest rates low and to stimulate the economy.”
Good stock selection added to a strong stock market upturn
Each of the three advisors to Vanguard Growth and Income Fund uses its own quantitative approach to stock selection, but they all have the same aim of delivering a higher return than that of the S&P 500 Index without taking on significantly more risk. For the six-month period, many large-cap market sectors reported strong gains, which were largely captured by the fund. Financials stood out, rising about 18% for the index and a little less for the fund because of significant cost-cutting measures through layoffs and branch closures, a pickup in lending
Expense Ratios | |||
Your Fund Compared With Its Peer Group | |||
Investor | Admiral | Peer Group | |
Shares | Shares | Average | |
Growth and Income Fund | 0.36% | 0.25% | 1.15% |
The fund expense ratios shown are from the prospectus dated January 28, 2013, and represent estimated costs for the current fiscal year. For the six months ended March 31, 2013, the fund’s annualized expense ratios were 0.36% for Investor Shares and 0.25% for Admiral Shares. The peer-group expense ratio is derived from data provided by Lipper Inc. and captures information through year-end 2012.
Peer group: Large-Cap Core Funds.
4
activity, and greater investor appetite for stocks more sensitive to the economic cycle.
Health care was another strong performer, gaining about 16% for the index and a little more for the fund. Investor sentiment toward this sector improved as patent losses peaked in 2012, competition from generics weakened, and product pipelines looked more promising. The business outlook brightened also, as falling unemployment led to higher expected demand and the number of insured was set to rise.
At the other end of the spectrum was information technology. Lackluster corporate profits and a struggling PC market contributed to a slightly negative return for the sector in both the index and the fund.
Although most sector returns for the fund were more or less in line with those of the benchmark, the fund was ahead for the period thanks to strong stock selection in a few areas. In the energy sector, the fund’s advisors found value among oil refiners. Margins in this business traditionally tend to be quite low, but recent expansion in domestic oil production gave inland refiners a cost advantage that translated into higher profits. In materials, a tilt toward chemical stocks and away from mining stocks enhanced performance. So, too, did consumer discretionary holdings focused on hotels, household goods, consumer services, and retailers.
More information about the advisors’ management of the fund can be found in the Advisors’ Report that follows this letter.
Low cost and talent drive successful active management
Investors sometimes ask whether it’s a contradiction that Vanguard, a champion of index investing, offers actively managed mutual funds. To understand how active funds fit into our philosophy, consider for a moment why indexing has proved its mettle: It’s a generally low-cost, tax-efficient way to build a diversified portfolio that lets you keep more of your fund’s returns. Because index funds seek to track the overall market or a segment of it, they typically cost much less to run than funds that are actively managed in an effort to outperform the market. And the less you pay for a fund, the more of its returns come back to you.
The same principle—low cost—drives our approach to active funds. The other essential ingredient is talent. Some wonder how we can afford to hire top active managers when we place such importance on keeping investing costs low. The answer lies in five key characteristics of Vanguard’s structure and culture—our mutual ownership, our large scale, performance incentives aligned with investors’ interests, a long-term perspective, and a rigorous oversight process, which I lead. (You can read more about our approach in The Case for Vanguard Active Management: Solving the Low-Cost/Top-Talent Paradox? at vanguard.com/research.)
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These enduring advantages don’t guarantee outperformance, of course. Even in those cases when an active stock fund outperforms over long periods, it doesn’t necessarily mean that investors earn more than the index results every year—or even every decade. And investors have no way of knowing beforehand which funds will outperform.
But for those willing to accept the greater risks that come with active investing, we believe Vanguard’s combination of talented advisors and low costs can improve the odds.
As always, thank you for entrusting your assets to Vanguard.
Sincerely,
![](https://capedge.com/proxy/N-CSRS/0000932471-13-006607/growthandincome_93x8x1.jpg)
F. William McNabb III
Chairman and Chief Executive Officer
April 12, 2013
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Advisors’ Report
Vanguard Growth and Income Fund’s Investor Shares returned 10.31% for the six months ended March 31. The Admiral Shares returned 10.37%. The S&P 500 Index returned 10.19%, and the average return of large-cap core funds was 10.57%.
Your fund is managed by three independent advisors, a strategy that enhances the fund’s diversification by providing exposure to distinct, yet complementary, investment approaches. It is not uncommon for different advisors to have different views about individual securities or the broader investment environment.
The advisors, the percentage of fund assets each manages, and brief descriptions of their investment strategies are presented in the table below. The advisors have also prepared a discussion of the investment environment that existed during the fiscal half year and of how the portfolio’s positioning reflects this assessment. (Please note that Los Angeles Capital’s discussion refers to industry sectors as defined by Russell classifications, rather than by the Global Industry Classification Standard used elsewhere in this report.) These comments were prepared on April 18, 2013.
Vanguard Growth and Income Fund Investment Advisors | |||
Fund Assets Managed | |||
Investment Advisor | % | $ Million | Investment Strategy |
Los Angeles Capital | 32 | 1,529 | Employs a quantitative model that emphasizes stocks |
with characteristics investors are currently seeking and | |||
underweights stocks with characteristics investors are | |||
currently avoiding. The portfolio’s sector weights, size, | |||
and style characteristics may differ modestly from the | |||
benchmark in a risk-controlled manner. | |||
Vanguard Equity Investment | 32 | 1,528 | Employs a quantitative, fundamental management |
Group | approach, using models that assess valuation, growth | ||
prospects, management decisions, market sentiment, | |||
and earnings quality of companies versus their peers. | |||
D. E. Shaw Investment | 32 | 1,523 | Employs quantitative models that seek to capture |
Management, L.L.C. | predominantly “bottom up” stock-specific return | ||
opportunities while aiming to keep the portfolio’s | |||
sector weights, size, and style characteristics similar to | |||
the benchmark. | |||
Cash Investments | 4 | 125 | These short-term reserves are invested by Vanguard in |
equity index products to simulate investments in | |||
stocks. Each advisor also may maintain a modest cash | |||
position. |
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D. E. Shaw Investment
Management, L.L.C.
Portfolio Manager:
Anne Dinning, Ph.D., Managing Director and
Chief Investment Officer
The primary themes driving equity market valuations for the period were national elections in the United States and Japan, macroeconomic developments in emerging markets and the United States (including the “fiscal cliff” negotiations), and the European debt crisis. The U.S. Federal Reserve maintained its expansionary policy, and, significantly, the first quarter of 2013 saw the Bank of Japan unveil an even larger quantitative easing program (as a percentage of GDP). Negative economic news from Brazil, China, and India raised investor fears about slowing growth and rising inflation in emerging markets.
Corporate profits were strong in the United States, but overwhelmingly negative earnings guidance raised concerns about their sustainability. The fourth quarter of 2012 was notable for a lack of headlines from Europe, but the inconclusive results of the Italian national election and the banking crisis in Cyprus rekindled investor fears about the stability of the Eurozone in 2013.
The portfolio’s relative performance was strong during the fourth quarter of 2012 but weakened in the subsequent quarter. We attribute these results to three major sources: bottom-up stock selection; common risk factors such as value, growth, and capitalization; and sector and industry group exposures.
Stock selection was the primary detractor from the portfolio’s relative return during the period. Overweight positions in Apple and Occidental Petroleum and an underweight position in Citigroup were the top three single-stock laggards. The three leaders were overweight positions in Marathon Petroleum, Visa, and American International Group.
Our management of common risk factors made an overall positive contribution to relative performance. The biggest boosts came from modest tilts toward high-momentum and small-capitalization stocks, although higher-volatility stocks detracted. Sector and industry exposures helped slightly.
Despite the recent turmoil caused by the banking crisis in Cyprus, correlations among individual stocks and short-term volatility in U.S. equity markets remain low. All else being equal, low correlations generally increase the potential for diversified bottom-up stock selection strategies to outperform. The Federal Reserve’s quantitative easing program, strong corporate profits, and signs of improvements in the U.S. housing market helped the Dow Jones Industrial Average close at an all-time high in early March; the S&P 500 Index approached that milestone later in the month. Disappointing U.S. economic growth, renewed concerns about Europe’s debt crisis, and changes in the Fed’s monetary policy constitute clear risks in the current environment.
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Los Angeles Capital
Portfolio Managers:
Thomas D. Stevens, CFA,
Chairman and Principal
Hal W. Reynolds, CFA,
Chief Investment Officer and Principal
The S&P 500 Index generated strong first-quarter returns (+10.6%) for a second consecutive calendar year. Driving results was a falling equity risk premium as market risk (as measured by the Chicago Board Options Exchange Market Volatility Index) fell 29% to its lowest level in five years. Although economic data remain weak, continued monetary stimulus, the housing recovery, and low real interest rates have led investors back into U.S. equities with the best positive flows since the financial crisis unfolded in 2008.
Despite sentiment that financial risks in the United States have subsided as a result of the aggressive monetary actions taken by the Federal Reserve, the risks of lower growth rates and higher inflation rates remain. Analysts expect U.S. revenue and profit growth to be relatively flat on a year-over-year basis. The Bank of Japan’s recent announcement that it plans to double the size of its balance sheet indicates that major central banks worldwide now believe it is necessary to fight deflation and stimulate real growth through aggressive monetary actions. As we know from experience, aggressive actions, while good for asset prices over the short term, increase the risks of unwanted levels of inflation, significantly raising discount rates and lowering asset values. Although strong equity returns
suggest a “risk on” environment, a closer look reveals that investors remain cautious and are cognizant of these risks.
With the exception of technology and basic materials, two economically sensitive sectors that lagged, sector returns were remarkably similar. Transportation, consumer staples, and utilities were the top value performers, and health care and biotechnology led in the growth category. Investors continued to prefer higher-quality companies with favorable earnings yields and the ability to increase their return on equity by borrowing at low interest rates. Interestingly, after strong returns in January, companies with volatile stock prices and favorable book-to-price ratios underperformed for the remainder of the quarter, another indication of investor caution.
Over the past six months, the portfolio outperformed the S&P 500 Index by maintaining a bias toward higher-quality companies with above-average earnings yields and higher-quality earnings. Its higher dividend-yielding holdings detracted as investors began to look more broadly at earnings growth and less at payout ratios.
Reduced concerns about financial risks as well as the deteriorating financial situation in Europe caused U.S. investors to move away from the cash-rich mega-cap companies that derive a significant portion of their profits from overseas operations and look instead to domestically focused mid-caps. Prospects for ongoing low interest rates combined with high-quality earnings and peak profit margins continue to make leverage attractive. An analysis of
9
the companies with the highest alphas (or risk-adjusted returns) shows that they are most highly correlated with both higher leverage and their appraisal factor, which measures a company’s break-up value relative to its market capitalization. Our largest overweight positions currently are in finance, consumer cyclicals, and capital goods, and our most underweight position is in technology.
Vanguard Equity Investment Group
Portfolio Managers:
James D. Troyer, CFA, Principal
James P. Stetler, Principal
Michael R. Roach, CFA
For the six months ended March 31, 2013, equities in general experienced above-average returns. The large-cap stocks in the fund’s benchmark, the S&P 500 Index (+10.19%), slightly underperformed the broader market (Russell 3000 Index, +11.35%). Globally, developed markets both in the United States and abroad, were the place to be, with returns of more than 11%; emerging markets were up less than 4%. Gains in the benchmark index were broad-based. Nine out of ten sectors generated positive returns; financials, health care, and industrials did best. Information technology was the sole negative performer.
Returns for the past two quarters differed greatly. For the fourth quarter of 2012, the benchmark index was down 0.38% as investors digested the election results and Hurricane Sandy and contemplated the potential repercussions of the looming
“fiscal cliff.” Fortunately, Congress and the president finally reached an agreement early in the new year, averting tax hikes that would likely have put the anemic recovery at risk. Investor fears seemed to abate and new money entered the U.S. equity market, helping to push large-cap stocks up 10.6% in the first quarter of 2013.
In the past six months, volatility in equity returns declined relative to most of 2012, when it was driven in large part by macroeconomic events, including lackluster global economic growth, European and U.S. central bank actions, and the concern about a fiscal cliff. Although the United States is not without its problems, we expect its modest economic recovery to continue. Corporate balance sheets remain strong, there is ample liquidity in the economy, housing data continue to improve, and unemployment statistics are moving in the right direction, although at a snail’s pace.
The recent market fluctuations have reinforced our conviction that attempting to time investments is not profitable. Our aim, instead, is to identify individual stocks with characteristics that will help them outperform over the long run.
We select them by using a model with five components: valuation, growth, management decisions, market sentiment, and quality. We then construct our portfolio using a risk-control process that neutralizes our exposure to market capitalization, volatility, and industry risks relative to our benchmark. In our view, such exposures are not justified by the potential rewards they offer.
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Our stock selection model’s results were encouraging over the last six months as four of our five components made positive contributions. Our quality measure was the strongest performer, while growth was relatively neutral.
The model’s effectiveness across sectors was mixed. Our stock selection was positive in five of the benchmark index’s ten sectors, with the strongest results in energy and consumer discretionary. Results were neutral in three sectors, and we underperformed in consumer staples and financials.
At the individual stock level, the largest contributions came from overweight positions in Marathon Petroleum, Phillips 66, and H&R Block. Relative to the benchmark index, we benefited from underweighting or avoiding poorly performing stocks such as Apple and Caterpillar.
Unfortunately, we were not able to avoid all laggards. Overweight positions in CF Industries, Advanced Micro Devices, and Yahoo detracted. And our underweighting of companies including Gilead Sciences and Ford Motor hurt our performance relative to the benchmark.
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Growth and Income Fund
Fund Profile
As of March 31, 2013
Share-Class Characteristics | ||
Investor | Admiral | |
Shares | Shares | |
Ticker Symbol | VQNPX | VGIAX |
Expense Ratio1 | 0.36% | 0.25% |
30-Day SEC Yield | 1.77% | 1.88% |
Portfolio Characteristics | |||
DJ U.S. | |||
Total | |||
Market | |||
S&P 500 | FA | ||
Fund | Index | Index | |
Number of Stocks | 765 | 500 | 3,586 |
Median Market Cap | $59.4B | $58.7B | $40.0B |
Price/Earnings Ratio | 16.4x | 17.0x | 18.1x |
Price/Book Ratio | 2.3x | 2.3x | 2.3x |
Return on Equity | 17.0% | 18.1% | 16.6% |
Earnings Growth Rate | 9.9% | 9.6% | 9.6% |
Dividend Yield | 2.2% | 2.1% | 2.0% |
Foreign Holdings | 0.1% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 106% | — | — |
Short-Term Reserves | 0.3% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ U.S. | |||
Total | |||
Market | |||
S&P 500 | FA | ||
Fund | Index | Index | |
Consumer Discretionary | 12.5% | 11.6% | 12.4% |
Consumer Staples | 10.0 | 11.0 | 9.5 |
Energy | 10.5 | 10.9 | 10.1 |
Financials | 17.3 | 15.9 | 17.3 |
Health Care | 12.4 | 12.6 | 12.2 |
Industrials | 11.1 | 10.1 | 11.1 |
Information Technology | 16.5 | 18.0 | 17.4 |
Materials | 4.1 | 3.4 | 3.8 |
Telecommunication | |||
Services | 3.0 | 3.0 | 2.6 |
Utilities | 2.6 | 3.5 | 3.6 |
Volatility Measures | ||
DJ U.S. | ||
Total | ||
Market | ||
S&P 500 | FA | |
Index | Index | |
R-Squared | 0.99 | 0.99 |
Beta | 1.00 | 0.96 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months. |
Ten Largest Holdings (% of total net assets) | ||
Exxon Mobil Corp. | Integrated Oil & Gas | 3.0% |
Apple Inc. | Computer Hardware | 2.6 |
General Electric Co. | Industrial | |
Conglomerates | 2.5 | |
Pfizer Inc. | Pharmaceuticals | 1.8 |
Chevron Corp. | Integrated Oil & Gas | 1.7 |
Philip Morris | ||
International Inc. | Tobacco | 1.7 |
Procter & Gamble Co. | Household Products | 1.7 |
Wells Fargo & Co. | Diversified Banks | 1.6 |
AT&T Inc. | Integrated | |
Telecommunication | ||
Services | 1.6 | |
International Business | IT Consulting & | |
Machines Corp. | Other Services | 1.6 |
Top Ten | 19.8% | |
The holdings listed exclude any temporary cash investments and equity index products. |
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-13-006607/growthandincome_93x14x1.jpg)
1 The expense ratios shown are from the prospectus dated January 28, 2013, and represent estimated costs for the current fiscal year. For
the six months ended March 31, 2013, the annualized expense ratios were 0.36% for Investor Shares and 0.25% for Admiral Shares.
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Growth and Income 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 (%): September 30, 2002, Through March 31, 2013
![](https://capedge.com/proxy/N-CSRS/0000932471-13-006607/growthandincome_93x15x1.jpg)
Average Annual Total Returns: Periods Ended March 31, 2013 | ||||
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 12/10/1986 | 14.18% | 4.94% | 7.88% |
Admiral Shares | 5/14/2001 | 14.28 | 5.07 | 8.03 |
See Financial Highlights for dividend and capital gains information.
13
Growth and Income Fund
Financial Statements (unaudited)
Statement of Net Assets
As of March 31, 2013
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (97.1%)1 | |||
Consumer Discretionary (12.1%) | |||
Home Depot Inc. | 628,392 | 43,849 | |
Comcast Corp. Class A | 987,905 | 41,502 | |
* | Amazon.com Inc. | 102,056 | 27,197 |
Wyndham Worldwide | |||
Corp. | 397,040 | 25,601 | |
* | DIRECTV | 432,507 | 24,484 |
News Corp. Class A | 739,656 | 22,574 | |
Time Warner Cable Inc. | 228,600 | 21,959 | |
Time Warner Inc. | 372,205 | 21,446 | |
TJX Cos. Inc. | 420,770 | 19,671 | |
Ford Motor Co. | 1,233,165 | 16,216 | |
Walt Disney Co. | 265,075 | 15,056 | |
McDonald’s Corp. | 144,284 | 14,384 | |
* | Goodyear Tire & | ||
Rubber Co. | 1,135,253 | 14,316 | |
* | priceline.com Inc. | 19,700 | 13,552 |
Viacom Inc. Class B | 208,195 | 12,819 | |
Lowe’s Cos. Inc. | 334,150 | 12,671 | |
Cablevision Systems | |||
Corp. Class A | 832,224 | 12,450 | |
Newell Rubbermaid Inc. | 451,350 | 11,780 | |
Starbucks Corp. | 193,950 | 11,047 | |
* | O’Reilly Automotive Inc. | 106,000 | 10,870 |
* | PulteGroup Inc. | 497,950 | 10,079 |
Macy’s Inc. | 235,380 | 9,848 | |
Gap Inc. | 268,100 | 9,491 | |
Whirlpool Corp. | 76,600 | 9,074 | |
Mattel Inc. | 187,389 | 8,206 | |
* | NVR Inc. | 6,200 | 6,697 |
NIKE Inc. Class B | 107,600 | 6,349 | |
Carnival Corp. | 172,070 | 5,902 | |
H&R Block Inc. | 194,200 | 5,713 | |
Wynn Resorts Ltd. | 44,215 | 5,534 | |
Omnicom Group Inc. | 92,450 | 5,445 | |
Expedia Inc. | 90,540 | 5,433 | |
Target Corp. | 75,870 | 5,193 |
Marriott International Inc. | |||
Class A | 121,720 | 5,140 | |
* | TripAdvisor Inc. | 97,600 | 5,126 |
Gannett Co. Inc. | 222,400 | 4,864 | |
Darden Restaurants Inc. | 89,430 | 4,622 | |
Washington Post Co. | |||
Class B | 10,100 | 4,515 | |
* | Apollo Group Inc. Class A | 201,160 | 3,498 |
* | Discovery Communications | ||
Inc. Class A | 40,710 | 3,205 | |
Starwood Hotels & Resorts | |||
Worldwide Inc. | 48,620 | 3,099 | |
Yum! Brands Inc. | 42,860 | 3,083 | |
* | Bed Bath & Beyond Inc. | 44,371 | 2,858 |
Scripps Networks | |||
Interactive Inc. Class A | 43,400 | 2,792 | |
Interpublic Group of | |||
Cos. Inc. | 198,015 | 2,580 | |
Lennar Corp. Class A | 61,320 | 2,544 | |
* | Fossil Inc. | 25,400 | 2,454 |
Nordstrom Inc. | 40,930 | 2,261 | |
* | Charter Communications | ||
Inc. Class A | 20,000 | 2,084 | |
VF Corp. | 11,670 | 1,958 | |
L Brands Inc. | 42,500 | 1,898 | |
D.R. Horton Inc. | 76,340 | 1,855 | |
Harman International | |||
Industries Inc. | 40,042 | 1,787 | |
PVH Corp. | 16,012 | 1,710 | |
Delphi Automotive plc | 38,450 | 1,707 | |
* | Discovery | ||
Communications Inc. | 24,500 | 1,704 | |
GameStop Corp. Class A | 54,060 | 1,512 | |
Domino’s Pizza Inc. | 22,900 | 1,178 | |
Hasbro Inc. | 25,537 | 1,122 | |
* | Fifth & Pacific Cos. Inc. | 58,300 | 1,101 |
* | Orbitz Worldwide Inc. | 187,800 | 1,072 |
PetSmart Inc. | 16,410 | 1,019 | |
* | Liberty Media Corp. | 8,100 | 904 |
Family Dollar Stores Inc. | 12,700 | 750 |
14
Growth and Income Fund
Market | |||
Value | |||
Shares | ($000) | ||
Harley-Davidson Inc. | 10,800 | 576 | |
* | Christopher & Banks Corp. | 77,985 | 501 |
Ameristar Casinos Inc. | 18,300 | 480 | |
* | Liberty Global Inc. Class A | 6,500 | 477 |
Service Corp. International | 27,600 | 462 | |
Hillenbrand Inc. | 18,000 | 455 | |
* | Sally Beauty Holdings Inc. | 13,600 | 400 |
* | Beazer Homes USA Inc. | 23,900 | 379 |
Lear Corp. | 5,900 | 324 | |
^ | Blyth Inc. | 17,800 | 309 |
Leggett & Platt Inc. | 9,140 | 309 | |
* | Live Nation Entertainment | ||
Inc. | 22,100 | 273 | |
* | Ascent Capital Group Inc. | ||
Class A | 3,600 | 268 | |
* | Starz - Liberty Capital | 10,900 | 241 |
Coach Inc. | 3,790 | 189 | |
* | Dollar Tree Inc. | 2,700 | 131 |
* | Biglari Holdings Inc. | 343 | 128 |
* | Carmike Cinemas Inc. | 6,300 | 114 |
Churchill Downs Inc. | 1,400 | 98 | |
* | Body Central Corp. | 9,800 | 92 |
Sears Canada Inc. | 9,422 | 91 | |
Movado Group Inc. | 2,400 | 80 | |
*,^ | Boyd Gaming Corp. | 9,200 | 76 |
* | American Apparel Inc. | 33,497 | 73 |
* | Media General Inc. | ||
Class A | 11,900 | 71 | |
* | ITT Educational Services | ||
Inc. | 5,000 | 69 | |
* | Corinthian Colleges Inc. | 31,500 | 66 |
Universal Technical | |||
Institute Inc. | 5,200 | 66 | |
* | New York & Co. Inc. | 15,823 | 65 |
* | Unifi Inc. | 3,100 | 59 |
Harte-Hanks Inc. | 7,043 | 55 | |
* | Liberty Ventures Class A | 600 | 45 |
* | Pandora Media Inc. | 3,100 | 44 |
Hooker Furniture Corp. | 2,484 | 40 | |
Ambassadors Group Inc. | 5,104 | 22 | |
* | Build-A-Bear | ||
Workshop Inc. | 3,780 | 20 | |
* | Isle of Capri Casinos Inc. | 3,200 | 20 |
Signet Jewelers Ltd. | 300 | 20 | |
* | Cumulus Media Inc. | ||
Class A | 5,900 | 20 | |
* | Lee Enterprises Inc. | 14,075 | 18 |
* | hhgregg Inc. | 1,400 | 15 |
* | Zale Corp. | 3,394 | 13 |
GNC Holdings Inc. | |||
Class A | 300 | 12 | |
International Game | |||
Technology | 709 | 12 | |
AH Belo Corp. Class A | 1,900 | 11 | |
* | Career Education Corp. | 4,216 | 10 |
* | Tuesday Morning Corp. | 1,100 | 9 |
* | Valuevision Media Inc. | ||
Class A | 2,463 | 9 | |
Sirius XM Radio Inc. | 2,400 | 7 | |
Six Flags Entertainment | |||
Corp. | 100 | 7 | |
* | Exide Technologies | 2,220 | 6 |
* | Pacific Sunwear of | ||
California Inc. | 2,500 | 5 | |
* | Education Management | ||
Corp. | 1,300 | 5 | |
* | Furniture Brands | ||
International Inc. | 4,200 | 4 | |
* | Sears Hometown and | ||
Outlet Stores Inc. | 100 | 4 | |
* | Reading International Inc. | ||
Class A | 700 | 4 | |
* | Express Inc. | 200 | 4 |
Lincoln Educational | |||
Services Corp. | 600 | 4 | |
* | MTR Gaming Group Inc. | 500 | 2 |
* | School Specialty Inc. | 7,119 | 1 |
569,780 | |||
Consumer Staples (9.6%) | |||
Philip Morris International | |||
Inc. | 841,489 | 78,014 | |
Procter & Gamble Co. | 1,010,372 | 77,859 | |
PepsiCo Inc. | 606,531 | 47,983 | |
Wal-Mart Stores Inc. | 527,539 | 39,476 | |
Coca-Cola Co. | 672,434 | 27,193 | |
Costco Wholesale Corp. | 218,930 | 23,231 | |
Kraft Foods Group Inc. | 426,935 | 22,000 | |
Altria Group Inc. | 483,368 | 16,623 | |
CVS Caremark Corp. | 299,740 | 16,483 | |
* | Dean Foods Co. | 627,120 | 11,370 |
Kroger Co. | 316,222 | 10,480 | |
JM Smucker Co. | 89,900 | 8,914 | |
Reynolds American Inc. | 197,372 | 8,781 | |
Hershey Co. | 89,338 | 7,820 | |
Walgreen Co. | 140,400 | 6,694 | |
Kimberly-Clark Corp. | 65,441 | 6,412 | |
ConAgra Foods Inc. | 177,400 | 6,353 | |
Mondelez International | |||
Inc. Class A | 200,974 | 6,152 | |
Colgate-Palmolive Co. | 44,548 | 5,258 | |
Dr Pepper Snapple Group | |||
Inc. | 87,591 | 4,112 | |
Estee Lauder Cos. Inc. | |||
Class A | 61,200 | 3,919 | |
General Mills Inc. | 59,710 | 2,944 | |
Sysco Corp. | 69,949 | 2,460 | |
HJ Heinz Co. | 33,800 | 2,443 | |
Avon Products Inc. | 110,400 | 2,289 | |
Tyson Foods Inc. Class A | 79,300 | 1,968 | |
Clorox Co. | 19,010 | 1,683 |
15
Growth and Income Fund
Market | |||
Value | |||
Shares | ($000) | ||
Kellogg Co. | 21,320 | 1,374 | |
* | Monster Beverage Corp. | 15,610 | 745 |
Molson Coors Brewing Co. | |||
Class B | 15,200 | 744 | |
Beam Inc. | 10,377 | 659 | |
Lorillard Inc. | 14,927 | 602 | |
Coca-Cola Enterprises Inc. | 2,800 | 103 | |
* | Crimson Wine Group Ltd. | 6,540 | 61 |
Cott Corp. | 2,280 | 23 | |
* | Rite Aid Corp. | 4,900 | 9 |
* | Synutra International Inc. | 800 | 4 |
453,238 | |||
Energy (10.2%) | |||
Exxon Mobil Corp. | 1,551,804 | 139,833 | |
Chevron Corp. | 690,025 | 81,989 | |
ConocoPhillips | 421,534 | 25,334 | |
Anadarko Petroleum Corp. | 278,575 | 24,361 | |
Occidental Petroleum Corp. | 309,535 | 24,258 | |
Marathon Petroleum Corp. | 264,200 | 23,672 | |
Schlumberger Ltd. | 294,989 | 22,092 | |
Phillips 66 | 297,977 | 20,849 | |
Ensco plc Class A | 240,335 | 14,420 | |
EOG Resources Inc. | 97,350 | 12,468 | |
Valero Energy Corp. | 258,800 | 11,773 | |
Spectra Energy Corp. | 247,140 | 7,600 | |
* | WPX Energy Inc. | 463,570 | 7,426 |
Tesoro Corp. | 115,906 | 6,786 | |
Williams Cos. Inc. | 156,890 | 5,877 | |
Marathon Oil Corp. | 170,700 | 5,756 | |
Noble Energy Inc. | 47,600 | 5,505 | |
Halliburton Co. | 133,200 | 5,383 | |
Kinder Morgan Inc. | 100,430 | 3,885 | |
Murphy Oil Corp. | 58,200 | 3,709 | |
* | Southwestern Energy Co. | 95,450 | 3,556 |
National Oilwell Varco Inc. | 42,224 | 2,987 | |
Helmerich & Payne Inc. | 46,300 | 2,810 | |
EQT Corp. | 38,650 | 2,619 | |
Devon Energy Corp. | 40,181 | 2,267 | |
Peabody Energy Corp. | 100,600 | 2,128 | |
Cabot Oil & Gas Corp. | 28,160 | 1,904 | |
* | Newfield Exploration Co. | 69,500 | 1,558 |
CONSOL Energy Inc. | 45,320 | 1,525 | |
QEP Resources Inc. | 34,380 | 1,095 | |
Apache Corp. | 14,110 | 1,089 | |
* | Denbury Resources Inc. | 55,095 | 1,028 |
* | Hercules Offshore Inc. | 71,100 | 528 |
* | SemGroup Corp. Class A | 10,100 | 522 |
* | Renewable Energy | ||
Group Inc. | 30,200 | 232 | |
* | TETRA Technologies Inc. | 12,700 | 130 |
Range Resources Corp. | 1,500 | 122 | |
* | Lone Pine Resources Inc. | 74,348 | 89 |
* | Overseas Shipholding | ||
Group Inc. | 26,800 | 88 |
* | Endeavour International | ||
Corp. | 24,900 | 73 | |
* | Forest Oil Corp. | 13,300 | 70 |
* | Cal Dive International Inc. | 29,700 | 53 |
* | Harvest Natural | ||
Resources Inc. | 10,500 | 37 | |
Tsakos Energy | |||
Navigation Ltd. | 8,061 | 35 | |
DHT Holdings Inc. | 7,000 | 33 | |
* | Hyperdynamics Corp. | 36,100 | 22 |
* | Oil States International Inc. | 200 | 16 |
* | SandRidge Energy Inc. | 2,000 | 11 |
* | Quicksilver Resources Inc. | 4,300 | 10 |
* | Willbros Group Inc. | 800 | 8 |
W&T Offshore Inc. | 548 | 8 | |
* | Uranium Resources Inc. | 2,970 | 8 |
* | Halcon Resources Corp. | 700 | 5 |
*,^ | GMX Resources Inc. | 2,300 | 5 |
* | C&J Energy Services Inc. | 200 | 5 |
* | EPL Oil & Gas Inc. | 100 | 3 |
* | Scorpio Tankers Inc. | 300 | 3 |
* | Midstates Petroleum | ||
Co. Inc. | 282 | 2 | |
* | ZaZa Energy Corp. | 364 | 1 |
479,661 | |||
Exchange-Traded Fund (0.3%) | |||
SPDR S&P 500 ETF Trust | 74,800 | 11,710 | |
Financials (16.6%) | |||
Wells Fargo & Co. | 2,096,017 | 77,532 | |
JPMorgan Chase & Co. | 1,499,831 | 71,182 | |
* | American International | ||
Group Inc. | 1,361,956 | 52,871 | |
Bank of America Corp. | 3,960,300 | 48,236 | |
Citigroup Inc. | 882,293 | 39,033 | |
US Bancorp | 1,136,274 | 38,554 | |
* | Berkshire Hathaway Inc. | ||
Class B | 357,695 | 37,272 | |
Goldman Sachs Group Inc. | 157,030 | 23,107 | |
State Street Corp. | 354,071 | 20,922 | |
Simon Property Group Inc. | 116,931 | 18,541 | |
SLM Corp. | 856,376 | 17,539 | |
Discover Financial | |||
Services | 384,450 | 17,239 | |
Equity Residential | 281,339 | 15,491 | |
Fifth Third Bancorp | 894,020 | 14,581 | |
Aflac Inc. | 277,570 | 14,439 | |
Marsh & McLennan | |||
Cos. Inc. | 378,366 | 14,367 | |
Aon plc | 221,610 | 13,629 | |
American Express Co. | 200,437 | 13,521 | |
Allstate Corp. | 266,140 | 13,059 | |
HCP Inc. | 215,799 | 10,760 | |
Ventas Inc. | 134,570 | 9,851 |
16
Growth and Income Fund
Market | |||
Value | |||
Shares | ($000) | ||
Bank of New York | |||
Mellon Corp. | 329,829 | 9,232 | |
Travelers Cos. Inc. | 109,016 | 9,178 | |
Morgan Stanley | 399,560 | 8,782 | |
American Tower | |||
Corporation | 103,115 | 7,932 | |
Loews Corp. | 179,065 | 7,891 | |
Health Care REIT Inc. | 107,080 | 7,272 | |
Prologis Inc. | 181,680 | 7,264 | |
Kimco Realty Corp. | 316,630 | 7,092 | |
Torchmark Corp. | 114,560 | 6,851 | |
* | IntercontinentalExchange | ||
Inc. | 40,430 | 6,593 | |
Ameriprise Financial Inc. | 87,144 | 6,418 | |
Invesco Ltd. | 218,258 | 6,321 | |
Progressive Corp. | 229,403 | 5,797 | |
Weyerhaeuser Co. | 183,700 | 5,764 | |
XL Group plc Class A | 164,910 | 4,997 | |
Equity Lifestyle | |||
Properties Inc. | 57,300 | 4,401 | |
Assurant Inc. | 96,400 | 4,339 | |
Capital One Financial | |||
Corp. | 76,778 | 4,219 | |
* | E*TRADE Financial | ||
Corp. | 388,240 | 4,158 | |
Plum Creek Timber | |||
Co. Inc. | 78,386 | 4,092 | |
Chubb Corp. | 44,009 | 3,852 | |
Unum Group | 133,392 | 3,768 | |
Lincoln National Corp. | 114,500 | 3,734 | |
AvalonBay | |||
Communities Inc. | 28,891 | 3,660 | |
Public Storage | 23,683 | 3,607 | |
First Horizon National | |||
Corp. | 296,160 | 3,163 | |
PNC Financial Services | |||
Group Inc. | 44,739 | 2,975 | |
BB&T Corp. | 93,920 | 2,948 | |
CME Group Inc. | 47,300 | 2,904 | |
MetLife Inc. | 73,580 | 2,797 | |
ACE Ltd. | 29,392 | 2,615 | |
Boston Properties Inc. | 25,580 | 2,585 | |
People’s United | |||
Financial Inc. | 178,492 | 2,399 | |
Prudential Financial Inc. | 34,900 | 2,059 | |
Northern Trust Corp. | 37,682 | 2,056 | |
* | Genworth Financial Inc. | ||
Class A | 199,749 | 1,997 | |
^ | Granite REIT | 47,800 | 1,825 |
SunTrust Banks Inc. | 62,190 | 1,792 | |
M&T Bank Corp. | 16,959 | 1,749 | |
Vornado Realty Trust | 18,320 | 1,532 | |
Cincinnati Financial Corp. | 26,650 | 1,258 | |
Apartment Investment & | |||
Management Co. Class A | 40,886 | 1,254 |
Erie Indemnity Co. Class A | 15,399 | 1,163 | |
Franklin Resources Inc. | 7,200 | 1,086 | |
NYSE Euronext | 27,500 | 1,063 | |
KeyCorp | 103,280 | 1,029 | |
Principal Financial | |||
Group Inc. | 26,150 | 890 | |
Old Republic | |||
International Corp. | 68,350 | 869 | |
* | Flagstar Bancorp Inc. | 53,800 | 749 |
McGraw-Hill Cos. Inc. | 14,283 | 744 | |
Leucadia National Corp. | 24,800 | 680 | |
* | CIT Group Inc. | 14,900 | 648 |
* | Ocwen Financial Corp. | 13,000 | 493 |
Oriental Financial | |||
Group Inc. | 29,900 | 464 | |
Hudson City Bancorp Inc. | 51,800 | 448 | |
Hartford Financial | |||
Services Group Inc. | 16,960 | 438 | |
Huntington | |||
Bancshares Inc. | 53,200 | 393 | |
Charles Schwab Corp. | 18,410 | 326 | |
* | NewStar Financial Inc. | 23,000 | 304 |
Regency Centers Corp. | 5,300 | 280 | |
Healthcare Trust of | |||
America Inc. Class A | 21,300 | 250 | |
* | Popular Inc. | 8,900 | 246 |
First Industrial Realty | |||
Trust Inc. | 13,600 | 233 | |
* | Central Pacific Financial | ||
Corp. | 14,100 | 221 | |
BlackRock Inc. | 850 | 218 | |
* | Alleghany Corp. | 500 | 198 |
Newcastle Investment | |||
Corp. | 16,900 | 189 | |
Columbia Banking | |||
System Inc. | 8,500 | 187 | |
Apollo Residential | |||
Mortgage Inc. | 8,200 | 183 | |
White Mountains | |||
Insurance Group Ltd. | 300 | 170 | |
PacWest Bancorp | 4,300 | 125 | |
American Assets | |||
Trust Inc. | 3,497 | 112 | |
* | Knight Capital Group Inc. | ||
Class A | 28,400 | 106 | |
Symetra Financial Corp. | 7,600 | 102 | |
* | First BanCorp | 14,836 | 92 |
Geo Group Inc. | 2,100 | 79 | |
Parkway Properties Inc. | 4,195 | 78 | |
* | United Community | ||
Banks Inc. | 6,800 | 77 | |
Summit Hotel | |||
Properties Inc. | 7,184 | 75 | |
Retail Properties of | |||
America Inc. | 5,000 | 74 |
17
Growth and Income Fund
Market | ||||
Value | ||||
Shares | ($000) | |||
T. Rowe Price Group Inc. | 960 | 72 | ||
Sterling Financial Corp. | 2,880 | 62 | ||
ProAssurance Corp. | 1,262 | 60 | ||
* | ZAIS Financial Corp. | 2,100 | 43 | |
* | Southwest Bancorp Inc. | 3,342 | 42 | |
* | Hilltop Holdings Inc. | 2,600 | 35 | |
* | FelCor Lodging Trust Inc. | 5,603 | 33 | |
CyrusOne Inc. | 1,406 | 32 | ||
Medley Capital Corp. | 1,700 | 27 | ||
Rouse Properties Inc. | 1,200 | 22 | ||
Western Asset Mortgage | ||||
Capital Corp. | 800 | 19 | ||
PrivateBancorp Inc. | 700 | 13 | ||
Silver Bay Realty Trust Corp. | 600 | 12 | ||
Hospitality Properties Trust | 400 | 11 | ||
* | FBR & Co. | 515 | 10 | |
RLJ Lodging Trust | 400 | 9 | ||
* | Cowen Group Inc. Class A | 2,900 | 8 | |
Terreno Realty Corp. | 436 | 8 | ||
United Fire Group Inc. | 300 | 8 | ||
Cohen & Steers Inc. | 200 | 7 | ||
* | Altisource Portfolio | |||
Solutions SA | 100 | 7 | ||
* | Phoenix Cos. Inc. | 226 | 7 | |
Primerica Inc. | 200 | 7 | ||
* | Ezcorp Inc. Class A | 300 | 6 | |
Chatham Lodging Trust | 300 | 5 | ||
Government Properties | ||||
Income Trust | 200 | 5 | ||
* | Doral Financial Corp. | 6,695 | 5 | |
Piedmont Office Realty | ||||
Trust Inc. Class A | 200 | 4 | ||
CNO Financial Group Inc. | 300 | 3 | ||
WhiteHorse Finance Inc. | 200 | 3 | ||
* | Preferred Bank | 196 | 3 | |
* | Global Indemnity plc | 100 | 2 | |
* | Seacoast Banking Corp. | |||
of Florida | 1,100 | 2 | ||
* | Altisource Asset | |||
Management Corp. | 10 | 1 | ||
SI Financial Group Inc. | 100 | 1 | ||
MidSouth Bancorp Inc. | 6 | — | ||
782,524 | ||||
Health Care (12.1%) | ||||
Pfizer Inc. | 2,973,819 | 85,824 | ||
Johnson & Johnson | 853,456 | 69,582 | ||
Merck & Co. Inc. | 1,230,796 | 54,438 | ||
Amgen Inc. | 335,634 | 34,406 | ||
AbbVie Inc. | 727,327 | 29,660 | ||
Eli Lilly & Co. | 475,698 | 27,015 | ||
UnitedHealth Group Inc. | 463,014 | 26,489 | ||
Abbott Laboratories | 561,623 | 19,837 | ||
* | Mylan Inc. | 534,410 | 15,466 | |
Medtronic Inc. | 316,893 | 14,881 | ||
Covidien plc | 191,500 | 12,991 |
* | CareFusion Corp. | 319,300 | 11,172 |
Cigna Corp. | 163,120 | 10,174 | |
Allergan Inc. | 86,353 | 9,640 | |
* | Express Scripts | ||
Holding Co. | 167,170 | 9,637 | |
Zimmer Holdings Inc. | 124,700 | 9,380 | |
* | Biogen Idec Inc. | 40,359 | 7,786 |
* | Gilead Sciences Inc. | 157,740 | 7,718 |
McKesson Corp. | 68,510 | 7,396 | |
Cardinal Health Inc. | 176,290 | 7,337 | |
* | DaVita HealthCare | ||
Partners Inc. | 59,700 | 7,080 | |
AmerisourceBergen | |||
Corp. Class A | 134,641 | 6,927 | |
Becton Dickinson and Co. | 71,852 | 6,870 | |
Bristol-Myers Squibb Co. | 164,432 | 6,773 | |
* | Hospira Inc. | 199,775 | 6,559 |
* | Edwards Lifesciences | ||
Corp. | 75,200 | 6,178 | |
Aetna Inc. | 115,466 | 5,903 | |
* | Tenet Healthcare Corp. | 122,646 | 5,836 |
Humana Inc. | 79,000 | 5,460 | |
* | Celgene Corp. | 41,400 | 4,799 |
* | Life Technologies Corp. | 73,100 | 4,724 |
* | Alexion Pharmaceuticals | ||
Inc. | 36,620 | 3,374 | |
Baxter International Inc. | 43,237 | 3,141 | |
* | Forest Laboratories Inc. | 71,897 | 2,735 |
Quest Diagnostics Inc. | 39,779 | 2,246 | |
Thermo Fisher | |||
Scientific Inc. | 28,850 | 2,207 | |
* | Boston Scientific Corp. | 223,250 | 1,744 |
* | Actavis Inc. | 16,500 | 1,520 |
PerkinElmer Inc. | 35,820 | 1,205 | |
* | XenoPort Inc. | 102,401 | 732 |
Teleflex Inc. | 8,600 | 727 | |
* | Laboratory Corp. of | ||
America Holdings | 7,000 | 631 | |
Patterson Cos. Inc. | 16,490 | 627 | |
Stryker Corp. | 9,033 | 589 | |
* | Health Net Inc. | 20,500 | 587 |
DENTSPLY International | |||
Inc. | 12,880 | 546 | |
* | Keryx Biopharmaceuticals | ||
Inc. | 54,500 | 384 | |
* | Sarepta Therapeutics Inc. | 10,300 | 381 |
* | NuVasive Inc. | 15,829 | 337 |
* | Arqule Inc. | 122,434 | 317 |
* | Rigel Pharmaceuticals Inc. | 46,408 | 315 |
* | Array BioPharma Inc. | 60,500 | 298 |
* | Idenix Pharmaceuticals Inc. | 71,714 | 255 |
* | Cell Therapeutics Inc. | 206,300 | 237 |
* | Progenics | ||
Pharmaceuticals Inc. | 40,900 | 220 | |
* | Amicus Therapeutics Inc. | 64,600 | 205 |
18
Growth and Income Fund
Market | |||
Value | |||
Shares | ($000) | ||
* | Sirona Dental Systems Inc. | 2,601 | 192 |
* | PharMerica Corp. | 13,118 | 184 |
* | Auxilium | ||
Pharmaceuticals Inc. | 9,100 | 157 | |
* | Accretive Health Inc. | 15,200 | 154 |
* | MedAssets Inc. | 7,800 | 150 |
* | Sequenom Inc. | 32,610 | 135 |
* | Oncothyreon Inc. | 63,500 | 132 |
*,^ | Arena Pharmaceuticals Inc. | 14,700 | 121 |
* | AVEO Pharmaceuticals Inc. | 15,400 | 113 |
Pain Therapeutics Inc. | 31,833 | 109 | |
St. Jude Medical Inc. | 2,400 | 97 | |
* | Alnylam Pharmaceuticals | ||
Inc. | 3,400 | 83 | |
* | GTx Inc. | 18,900 | 78 |
* | Accuray Inc. | 16,800 | 78 |
* | Aegerion Pharmaceuticals | ||
Inc. | 1,700 | 69 | |
* | LCA-Vision Inc. | 20,300 | 68 |
* | Orexigen Therapeutics Inc. | 10,100 | 63 |
* | Medivation Inc. | 1,300 | 61 |
* | Emergent Biosolutions Inc. | 4,186 | 59 |
* | AMAG Pharmaceuticals Inc. | 2,300 | 55 |
* | Theravance Inc. | 2,300 | 54 |
Quality Systems Inc. | 2,536 | 46 | |
* | BioDelivery Sciences | ||
International Inc. | 8,989 | 38 | |
Agilent Technologies Inc. | 890 | 37 | |
* | Sunesis Pharmaceuticals | ||
Inc. | 6,600 | 36 | |
* | Albany Molecular | ||
Research Inc. | 3,400 | 36 | |
* | Bruker Corp. | 1,700 | 32 |
* | Staar Surgical Co. | 5,347 | 30 |
* | Nordion Inc. | 4,263 | 28 |
* | Furiex Pharmaceuticals Inc. | 736 | 28 |
* | Cleveland Biolabs Inc. | 12,300 | 24 |
* | Momenta Pharmaceuticals | ||
Inc. | 1,800 | 24 | |
* | Nektar Therapeutics | 2,179 | 24 |
* | Allscripts Healthcare | ||
Solutions Inc. | 1,700 | 23 | |
* | TranS1 Inc. | 10,180 | 23 |
* | Halozyme Therapeutics Inc. | 3,600 | 21 |
* | Celsion Corp. | 19,300 | 20 |
*,^ | Neuralstem Inc. | 17,669 | 20 |
* | Nymox Pharmaceutical | ||
Corp. | 2,800 | 15 | |
Computer Programs & | |||
Systems Inc. | 268 | 15 | |
* | Vivus Inc. | 1,300 | 14 |
* | Hansen Medical Inc. | 7,000 | 14 |
* | StemCells Inc. | 6,698 | 12 |
* | Insmed Inc. | 1,500 | 11 |
* | Synta Pharmaceuticals | ||
Corp. | 1,025 | 9 | |
* | Threshold | ||
Pharmaceuticals Inc. | 1,800 | 8 | |
* | Five Star Quality Care Inc. | 1,200 | 8 |
* | Ligand Pharmaceuticals | ||
Inc. Class B | 300 | 8 | |
* | Zalicus Inc. | 11,700 | 8 |
* | ABIOMED Inc. | 300 | 6 |
* | Providence Service Corp. | 300 | 6 |
* | Pacific Biosciences of | ||
California Inc. | 2,000 | 5 | |
* | Biosante Pharmaceuticals | ||
Inc. | 4,189 | 5 | |
* | ACADIA Pharmaceuticals | ||
Inc. | 500 | 4 | |
* | Rockwell Medical | ||
Technologies Inc. | 1,000 | 4 | |
* | Merrimack | ||
Pharmaceuticals Inc. | 500 | 3 | |
* | Cutera Inc. | 200 | 3 |
* | Alimera Sciences Inc. | 400 | 1 |
* | Ventrus Biosciences Inc. | 400 | 1 |
Myrexis Inc. | 1,550 | — | |
566,360 | |||
Industrials (10.8%) | |||
General Electric Co. | 5,039,350 | 116,510 | |
Union Pacific Corp. | 227,635 | 32,417 | |
Boeing Co. | 277,890 | 23,857 | |
United Parcel Service | |||
Inc. Class B | 276,927 | 23,788 | |
Honeywell | |||
International Inc. | 298,042 | 22,457 | |
Ingersoll-Rand plc | 406,660 | 22,370 | |
General Dynamics Corp. | 266,371 | 18,782 | |
Raytheon Co. | 285,686 | 16,795 | |
Emerson Electric Co. | 293,509 | 16,398 | |
Northrop Grumman Corp. | 225,846 | 15,843 | |
Tyco International Ltd. | 469,860 | 15,036 | |
Danaher Corp. | 240,480 | 14,946 | |
Illinois Tool Works Inc. | 231,620 | 14,115 | |
Lockheed Martin Corp. | 126,152 | 12,176 | |
ADT Corp. | 234,177 | 11,461 | |
United Technologies Corp. | 104,110 | 9,727 | |
Textron Inc. | 313,630 | 9,349 | |
3M Co. | 82,390 | 8,759 | |
Republic Services Inc. | |||
Class A | 208,220 | 6,871 | |
Caterpillar Inc. | 75,511 | 6,567 | |
Dun & Bradstreet Corp. | 77,645 | 6,495 | |
Ryder System Inc. | 102,430 | 6,120 | |
Southwest Airlines Co. | 437,151 | 5,893 | |
L-3 Communications | |||
Holdings Inc. | 71,045 | 5,749 | |
Iron Mountain Inc. | 148,550 | 5,394 |
19
Growth and Income Fund
Market | |||
Value | |||
Shares | ($000) | ||
CSX Corp. | 192,318 | 4,737 | |
Pentair Ltd. | 86,300 | 4,552 | |
Deere & Co. | 51,070 | 4,391 | |
Cintas Corp. | 89,920 | 3,968 | |
Xylem Inc. | 134,500 | 3,707 | |
Precision Castparts Corp. | 19,327 | 3,665 | |
Waste Management Inc. | 79,900 | 3,133 | |
^ | Pitney Bowes Inc. | 210,090 | 3,122 |
Roper Industries Inc. | 23,030 | 2,932 | |
C.H. Robinson | |||
Worldwide Inc. | 45,920 | 2,730 | |
Equifax Inc. | 47,080 | 2,711 | |
Masco Corp. | 117,840 | 2,386 | |
FedEx Corp. | 22,660 | 2,225 | |
Expeditors International | |||
of Washington Inc. | 47,000 | 1,678 | |
* | Stericycle Inc. | 15,130 | 1,607 |
Rockwell Collins Inc. | 19,740 | 1,246 | |
Snap-on Inc. | 13,680 | 1,131 | |
* | Verisk Analytics Inc. | ||
Class A | 18,100 | 1,116 | |
Joy Global Inc. | 18,500 | 1,101 | |
Flowserve Corp. | 5,740 | 963 | |
Rockwell Automation Inc. | 9,633 | 832 | |
Parker Hannifin Corp. | 8,620 | 789 | |
Babcock & Wilcox Co. | 26,900 | 764 | |
* | EnerNOC Inc. | 33,600 | 584 |
Pall Corp. | 7,980 | 546 | |
Stanley Black & Decker Inc. | 5,300 | 429 | |
* | Jacobs Engineering | ||
Group Inc. | 7,223 | 406 | |
* | Engility Holdings Inc. | 14,297 | 343 |
* | AerCap Holdings NV | 21,600 | 334 |
Cummins Inc. | 2,620 | 303 | |
Covanta Holding Corp. | 13,100 | 264 | |
* | Spirit Aerosystems | ||
Holdings Inc. Class A | 12,900 | 245 | |
Dover Corp. | 3,100 | 226 | |
Fluor Corp. | 3,400 | 226 | |
Albany International Corp. | 7,800 | 225 | |
Huntington Ingalls | |||
Industries Inc. | 3,600 | 192 | |
* | Acacia Research Corp. | 4,700 | 142 |
HEICO Corp. | 3,208 | 139 | |
* | Nortek Inc. | 1,800 | 128 |
* | Old Dominion Freight | ||
Line Inc. | 3,300 | 126 | |
Sauer-Danfoss Inc. | 2,045 | 119 | |
* | Colfax Corp. | 2,500 | 116 |
Nielsen Holdings NV | 2,800 | 100 | |
* | Fuel Tech Inc. | 19,600 | 85 |
* | Sensata Technologies | ||
Holding NV | 1,918 | 63 | |
* | FuelCell Energy Inc. | 62,218 | 59 |
* | Swift Transportation Co. | 4,100 | 58 |
* | Republic Airways | ||
Holdings Inc. | 3,300 | 38 | |
* | Federal Signal Corp. | 4,400 | 36 |
Towers Watson & Co. | |||
Class A | 500 | 35 | |
Brink’s Co. | 1,200 | 34 | |
* | Xerium Technologies Inc. | 4,427 | 24 |
* | Pendrell Corp. | 13,200 | 22 |
* | CRA International Inc. | 900 | 20 |
Chicago Bridge & Iron | |||
Co. NV | 300 | 19 | |
* | Cenveo Inc. | 8,655 | 19 |
* | Genco Shipping & | ||
Trading Ltd. | 5,600 | 16 | |
Tennant Co. | 300 | 15 | |
* | Star Bulk Carriers Corp. | 1,809 | 13 |
* | Casella Waste Systems | ||
Inc. Class A | 2,633 | 12 | |
* | ARC Document | ||
Solutions Inc. | 3,710 | 11 | |
* | Odyssey Marine | ||
Exploration Inc. | 2,958 | 10 | |
* | Greenbrier Cos. Inc. | 400 | 9 |
Aircastle Ltd. | 500 | 7 | |
* | EnergySolutions Inc. | 1,500 | 6 |
* | USG Corp. | 200 | 5 |
* | Spirit Airlines Inc. | 200 | 5 |
* | Quality Distribution Inc. | 600 | 5 |
Harsco Corp. | 200 | 5 | |
* | Tecumseh Products Co. | ||
Class A | 568 | 5 | |
* | NCI Building Systems Inc. | 200 | 3 |
* | CPI Aerostructures Inc. | 300 | 3 |
509,196 | |||
Information Technology (16.0%) | |||
Apple Inc. | 273,863 | 121,220 | |
International Business | |||
Machines Corp. | 358,394 | 76,445 | |
Microsoft Corp. | 2,429,208 | 69,500 | |
Oracle Corp. | 1,526,655 | 49,372 | |
* | Google Inc. Class A | 60,646 | 48,155 |
Cisco Systems Inc. | 2,018,537 | 42,208 | |
Visa Inc. Class A | 192,347 | 32,668 | |
Mastercard Inc. Class A | 53,594 | 29,001 | |
QUALCOMM Inc. | 306,996 | 20,553 | |
Accenture plc Class A | 270,450 | 20,546 | |
Texas Instruments Inc. | 413,652 | 14,676 | |
Fidelity National | |||
Information Services Inc. | 367,220 | 14,549 | |
Hewlett-Packard Co. | 597,860 | 14,253 | |
* | Symantec Corp. | 575,600 | 14,206 |
Intel Corp. | 616,479 | 13,470 | |
Motorola Solutions Inc. | 202,200 | 12,947 | |
* | eBay Inc. | 218,356 | 11,839 |
* | LSI Corp. | 1,655,720 | 11,226 |
20
Growth and Income Fund
Market | |||
Value | |||
Shares | ($000) | ||
Western Digital Corp. | 215,805 | 10,851 | |
Seagate Technology plc | 262,860 | 9,610 | |
Total System | |||
Services Inc. | 372,500 | 9,231 | |
* | Facebook Inc. Class A | 310,585 | 7,945 |
* | Yahoo! Inc. | 279,495 | 6,576 |
* | BMC Software Inc. | 125,560 | 5,817 |
* | Juniper Networks Inc. | 299,000 | 5,543 |
* | EMC Corp. | 224,300 | 5,358 |
Intuit Inc. | 76,890 | 5,048 | |
* | Autodesk Inc. | 118,000 | 4,866 |
Computer Sciences Corp. | 92,800 | 4,569 | |
Harris Corp. | 90,670 | 4,202 | |
* | VeriSign Inc. | 88,553 | 4,187 |
Automatic Data | |||
Processing Inc. | 59,970 | 3,899 | |
* | F5 Networks Inc. | 41,988 | 3,740 |
CA Inc. | 145,586 | 3,664 | |
* | Zebra Technologies Corp. | 72,200 | 3,403 |
* | Citrix Systems Inc. | 44,520 | 3,213 |
* | LinkedIn Corp. Class A | 16,600 | 2,923 |
* | Cognizant Technology | ||
Solutions Corp. Class A | 35,000 | 2,681 | |
* | First Solar Inc. | 95,960 | 2,587 |
AOL Inc. | 67,100 | 2,583 | |
Analog Devices Inc. | 48,698 | 2,264 | |
* | NetApp Inc. | 61,200 | 2,091 |
* | Salesforce.com Inc. | 10,239 | 1,831 |
* | JDS Uniphase Corp. | 129,440 | 1,731 |
Paychex Inc. | 42,870 | 1,503 | |
* | Red Hat Inc. | 26,500 | 1,340 |
* | Fiserv Inc. | 15,200 | 1,335 |
* | Advanced Micro | ||
Devices Inc. | 419,186 | 1,069 | |
Linear Technology Corp. | 27,101 | 1,040 | |
TE Connectivity Ltd. | 21,962 | 921 | |
* | NCR Corp. | 32,400 | 893 |
Altera Corp. | 23,300 | 826 | |
* | CoreLogic Inc. | 29,420 | 761 |
* | SanDisk Corp. | 13,300 | 731 |
* | Electronic Arts Inc. | 19,100 | 338 |
* | PMC - Sierra Inc. | 48,100 | 327 |
* | Sonus Networks Inc. | 122,300 | 317 |
Tessera Technologies Inc. | 13,391 | 251 | |
* | Agilysys Inc. | 21,400 | 213 |
* | Silicon Image Inc. | 34,593 | 168 |
* | Aspen Technology Inc. | 4,600 | 148 |
* | FleetCor Technologies Inc. | 1,600 | 123 |
* | Vocus Inc. | 8,104 | 115 |
FLIR Systems Inc. | 4,000 | 104 | |
Broadridge Financial | |||
Solutions Inc. | 3,900 | 97 | |
* | STEC Inc. | 20,585 | 91 |
* | Integrated Device | ||
Technology Inc. | 9,500 | 71 |
Marvell Technology | |||
Group Ltd. | 6,700 | 71 | |
* | Amkor Technology Inc. | 17,700 | 71 |
* | SunPower Corp. Class A | 5,600 | 65 |
* | MoneyGram | ||
International Inc. | 3,400 | 61 | |
* | Carbonite Inc. | 5,095 | 56 |
* | ViaSat Inc. | 936 | 45 |
* | Seachange | ||
International Inc. | 3,300 | 39 | |
* | Quantum Corp. | 29,000 | 37 |
* | Entropic | ||
Communications Inc. | 8,589 | 35 | |
* | Novatel Wireless Inc. | 17,100 | 34 |
* | Allot Communications Ltd. | 2,800 | 33 |
* | Acxiom Corp. | 1,444 | 29 |
* | Identive Group Inc. | 17,600 | 26 |
* | InterXion Holding NV | 1,000 | 24 |
* | Mattson Technology Inc. | 15,200 | 21 |
Jack Henry & | |||
Associates Inc. | 400 | 18 | |
* | Immersion Corp. | 1,503 | 18 |
* | NCI Inc. Class A | 3,244 | 16 |
* | Checkpoint Systems Inc. | 1,200 | 16 |
* | TeleCommunication | ||
Systems Inc. Class A | 6,510 | 14 | |
* | Aeroflex Holding Corp. | 1,624 | 13 |
KLA-Tencor Corp. | 219 | 12 | |
* | PLX Technology Inc. | 2,239 | 10 |
* | MicroStrategy Inc. | ||
Class A | 97 | 10 | |
Maxim Integrated | |||
Products Inc. | 300 | 10 | |
* | Adobe Systems Inc. | 200 | 9 |
* | MaxLinear Inc. | 1,108 | 7 |
* | Riverbed Technology Inc. | 400 | 6 |
Xerox Corp. | 563 | 5 | |
* | UTStarcom Holdings Corp. | 1,453 | 4 |
Micrel Inc. | 344 | 4 | |
* | Constant Contact Inc. | 200 | 3 |
* | IntraLinks Holdings Inc. | 400 | 3 |
* | Calix Inc. | 300 | 2 |
Digimarc Corp. | 100 | 2 | |
* | Pulse Electronics Corp. | 5,401 | 2 |
Black Box Corp. | 100 | 2 | |
* | Amtech Systems Inc. | 500 | 2 |
* | Dynamics Research Corp. | 300 | 2 |
* | Smith Micro Software Inc. | 969 | 1 |
* | FriendFinder Networks Inc. | 1,250 | 1 |
* | Powerwave | ||
Technologies Inc. | 15,776 | — | |
750,868 |
21
Growth and Income Fund
Market | |||
Value | |||
Shares | ($000) | ||
Materials (4.0%) | |||
Monsanto Co. | 333,870 | 35,267 | |
LyondellBasell Industries | |||
NV Class A | 298,640 | 18,901 | |
EI du Pont de | |||
Nemours & Co. | 353,980 | 17,402 | |
CF Industries Holdings Inc. | 68,466 | 13,034 | |
Ball Corp. | 257,536 | 12,254 | |
Praxair Inc. | 100,995 | 11,265 | |
PPG Industries Inc. | 79,869 | 10,698 | |
Freeport-McMoRan | |||
Copper & Gold Inc. | 292,243 | 9,673 | |
Dow Chemical Co. | 261,063 | 8,312 | |
Sherwin-Williams Co. | 44,240 | 7,472 | |
Sealed Air Corp. | 297,530 | 7,173 | |
Eastman Chemical Co. | 85,200 | 5,953 | |
Vulcan Materials Co. | 90,880 | 4,698 | |
^ | United States Steel Corp. | 167,480 | 3,266 |
Alcoa Inc. | 335,030 | 2,854 | |
Ecolab Inc. | 32,400 | 2,598 | |
Air Products & | |||
Chemicals Inc. | 28,710 | 2,501 | |
Newmont Mining Corp. | 49,400 | 2,069 | |
Nucor Corp. | 43,120 | 1,990 | |
Valspar Corp. | 27,268 | 1,697 | |
International Flavors & | |||
Fragrances Inc. | 22,043 | 1,690 | |
MeadWestvaco Corp. | 41,793 | 1,517 | |
Airgas Inc. | 11,740 | 1,164 | |
Allegheny Technologies Inc. | 33,970 | 1,077 | |
Sigma-Aldrich Corp. | 11,560 | 898 | |
* | Resolute Forest Products | 32,000 | 518 |
Mosaic Co. | 8,300 | 495 | |
Rockwood Holdings Inc. | 6,412 | 420 | |
* | Owens-Illinois Inc. | 15,629 | 416 |
* | Mercer International Inc. | 50,341 | 348 |
* | Flotek Industries Inc. | 16,400 | 268 |
* | Clearwater Paper Corp. | 4,200 | 221 |
Packaging Corp. of America | 3,900 | 175 | |
FutureFuel Corp. | 8,800 | 107 | |
* | Louisiana-Pacific Corp. | 4,000 | 86 |
Silgan Holdings Inc. | 900 | 43 | |
* | Boise Cascade Co. | 1,100 | 37 |
Innospec Inc. | 700 | 31 | |
Myers Industries Inc. | 1,600 | 22 | |
* | Rare Element | ||
Resources Ltd. | 7,172 | 16 | |
* | GSE Holding Inc. | 1,768 | 15 |
* | General Moly Inc. | 5,793 | 13 |
Mesabi Trust | 470 | 11 | |
PolyOne Corp. | 400 | 10 | |
* | Ferro Corp. | 704 | 5 |
188,680 |
Telecommunication Services (2.9%) | |||
AT&T Inc. | 2,096,928 | 76,936 | |
Verizon Communications | |||
Inc. | 698,674 | 34,340 | |
* | Sprint Nextel Corp. | 1,755,030 | 10,899 |
CenturyLink Inc. | 286,510 | 10,065 | |
* | Crown Castle | ||
International Corp. | 33,890 | 2,360 | |
* | MetroPCS | ||
Communications Inc. | 121,900 | 1,329 | |
Windstream Corp. | 72,700 | 578 | |
* | Clearwire Corp. Class A | 36,600 | 118 |
Neutral Tandem Inc. | 19,291 | 63 | |
* | Leap Wireless | ||
International Inc. | 8,500 | 50 | |
Frontier Communications | |||
Corp. | 5,303 | 21 | |
* | Cincinnati Bell Inc. | 3,900 | 13 |
136,772 | |||
Utilities (2.5%) | |||
CMS Energy Corp. | 593,704 | 16,588 | |
DTE Energy Co. | 212,600 | 14,529 | |
Northeast Utilities | 302,600 | 13,151 | |
PG&E Corp. | 289,500 | 12,891 | |
Edison International | 229,700 | 11,559 | |
American Electric Power | |||
Co. Inc. | 210,630 | 10,243 | |
NiSource Inc. | 183,900 | 5,396 | |
Public Service Enterprise | |||
Group Inc. | 153,909 | 5,285 | |
Ameren Corp. | 148,470 | 5,199 | |
Wisconsin Energy Corp. | 99,337 | 4,261 | |
Pinnacle West Capital | |||
Corp. | 64,700 | 3,746 | |
Duke Energy Corp. | 41,470 | 3,010 | |
NextEra Energy Inc. | 38,280 | 2,974 | |
Southern Co. | 61,750 | 2,897 | |
Dominion Resources Inc. | 36,864 | 2,145 | |
PPL Corp. | 48,750 | 1,526 | |
AES Corp. | 89,000 | 1,119 | |
CenterPoint Energy Inc. | 35,990 | 862 | |
Xcel Energy Inc. | 24,490 | 727 | |
Consolidated Edison Inc. | 10,077 | 615 | |
Pepco Holdings Inc. | 5,036 | 108 | |
IDACORP Inc. | 1,800 | 87 | |
MGE Energy Inc. | 1,212 | 67 | |
NorthWestern Corp. | 1,200 | 48 | |
Chesapeake Utilities Corp. | 267 | 13 | |
* | Calpine Corp. | 600 | 12 |
Southwest Gas Corp. | 169 | 8 | |
El Paso Electric Co. | 199 | 7 | |
119,073 | |||
Total Common Stocks | |||
(Cost $3,834,835) | 4,567,862 |
22
Growth and Income Fund
Market | |||
Value | |||
Shares | ($000) | ||
Temporary Cash Investments (3.2%)1 | |||
Money Market Fund (3.1%) | |||
2,3 | Vanguard Market | ||
Liquidity Fund, | |||
0.147% | 146,037,741 | 146,038 | |
Face | |||
Amount | |||
($000) | |||
U.S. Government and Agency Obligations (0.1%) | |||
4,5 | Fannie Mae | ||
Discount Notes, | |||
0.120%, 6/5/13 | 1,500 | 1,499 | |
5,6 | Federal Home Loan | ||
Bank Discount Notes, | |||
0.085%, 4/19/13 | 5,000 | 5,000 | |
4,5 | Freddie Mac | ||
Discount Notes, | |||
0.130%, 9/16/13 | 300 | 300 | |
6,799 | |||
Total Temporary Cash Investments | |||
(Cost $152,837) | 152,837 | ||
Total Investments (100.3%) | |||
(Cost $3,987,672) | 4,720,699 | ||
Other Assets and Liabilities (-0.3%) | |||
Other Assets | 50,973 | ||
Liabilities3 | (66,600) | ||
(15,627) | |||
Net Assets (100%) | 4,705,072 |
At March 31, 2013, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 4,657,226 |
Undistributed Net Investment Income | 5,560 |
Accumulated Net Realized Losses | (692,466) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 733,027 |
Futures Contracts | 1,725 |
Net Assets | 4,705,072 |
Investor Shares—Net Assets | |
Applicable to 86,305,392 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 2,890,875 |
Net Asset Value Per Share— | |
Investor Shares | $33.50 |
Admiral Shares—Net Assets | |
Applicable to 33,169,310 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 1,814,197 |
Net Asset Value Per Share— | |
Admiral Shares | $54.70 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $8,048,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund’s effective common stock and temporary cash investment positions represent 99.8% and 0.5%, respectively, of net
assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the
7-day yield.
3 Includes $8,580,000 of collateral received for securities on loan.
4 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the
Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for
senior preferred stock.
5 Securities with a value of $6,203,000 have been segregated as initial margin for open futures contracts.
6 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full
faith and credit of the U.S. government.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
23
Growth and Income Fund
Statement of Operations
Six Months Ended | |
March 31, 2013 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 53,599 |
Interest2 | 98 |
Security Lending | 155 |
Total Income | 53,852 |
Expenses | |
Investment Advisory Fees—Note B | |
Basic Fee | 2,530 |
Performance Adjustment | 180 |
The Vanguard Group—Note C | |
Management and Administrative—Investor Shares | 2,923 |
Management and Administrative—Admiral Shares | 911 |
Marketing and Distribution—Investor Shares | 217 |
Marketing and Distribution—Admiral Shares | 115 |
Custodian Fees | 115 |
Shareholders’ Reports—Investor Shares | 42 |
Shareholders’ Reports—Admiral Shares | 5 |
Trustees’ Fees and Expenses | 8 |
Total Expenses | 7,046 |
Net Investment Income | 46,806 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 236,498 |
Futures Contracts | 7,596 |
Realized Net Gain (Loss) | 244,094 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 146,956 |
Futures Contracts | 2,739 |
Change in Unrealized Appreciation (Depreciation) | 149,695 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 440,595 |
1 Dividends are net of foreign withholding taxes of $152,000. | |
2 Interest income from an affiliated company of the fund was $92,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
24
Growth and Income Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
March 31, | September 30, | |
2013 | 2012 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 46,806 | 81,914 |
Realized Net Gain (Loss) | 244,094 | 463,150 |
Change in Unrealized Appreciation (Depreciation) | 149,695 | 558,291 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 440,595 | 1,103,355 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (31,155) | (51,327) |
Admiral Shares | (20,083) | (27,485) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Total Distributions | (51,238) | (78,812) |
Capital Share Transactions | ||
Investor Shares | (145,396) | (437,673) |
Admiral Shares | 72,231 | 122,956 |
Net Increase (Decrease) from Capital Share Transactions | (73,165) | (314,717) |
Total Increase (Decrease) | 316,192 | 709,826 |
Net Assets | ||
Beginning of Period | 4,388,880 | 3,679,054 |
End of Period1 | 4,705,072 | 4,388,880 |
1 Net Assets—End of Period includes undistributed net investment income of $5,560,000 and $9,985,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
25
Growth and Income Fund
Financial Highlights
Investor Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | March 31, | Year Ended September 30, | |||||
Throughout Each Period | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | |
Net Asset Value, Beginning of Period | $30.73 | $23.86 | $23.98 | $22.34 | $25.84 | $38.62 | |
Investment Operations | |||||||
Net Investment Income | .328 | .549 | .482 | .418 | .447 | .546 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | 2.801 | 6.846 | (.124) | 1.630 | (3.453) | (8.758) | |
Total from Investment Operations | 3.129 | 7.395 | .358 | 2.048 | (3.006) | (8.212) | |
Distributions | |||||||
Dividends from Net Investment Income | (.359) | (.525) | (.478) | (.408) | (.494) | (.560) | |
Distributions from Realized Capital Gains | — | — | — | — | — | (4.008) | |
Total Distributions | (.359) | (.525) | (.478) | (.408) | (.494) | (4.568) | |
Net Asset Value, End of Period | $33.50 | $30.73 | $23.86 | $23.98 | $22.34 | $25.84 | |
Total Return1 | 10.31% | 31.27% | 1.28% | 9.24% | -11.29% | -23.28% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $2,891 | $2,798 | $2,548 | $3,020 | $3,253 | $3,919 | |
Ratio of Total Expenses to | |||||||
Average Net Assets2 | 0.36% | 0.36% | 0.32% | 0.32% | 0.35% | 0.31% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 2.04% | 1.94% | 1.78% | 1.74% | 2.28% | 1.69% | |
Portfolio Turnover Rate | 106% | 102% | 120% | 94% | 83% | 96% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about
any applicable account service fees.
2 Includes performance-based investment advisory fee increases (decreases) of 0.01%, 0.01%, (0.04%), (0.04%), (0.04%), and (0.02%).
See accompanying Notes, which are an integral part of the Financial Statements.
26
Growth and Income Fund
Financial Highlights
Admiral Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | March 31, | Year Ended September 30, | |||||
Throughout Each Period | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | |
Net Asset Value, Beginning of Period | $50.18 | $38.97 | $39.15 | $36.48 | $42.20 | $63.08 | |
Investment Operations | |||||||
Net Investment Income | .567 | .952 | .832 | .722 | .775 | .963 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | 4.570 | 11.168 | (.199) | 2.666 | (5.638) | (14.313) | |
Total from Investment Operations | 5.137 | 12.120 | .633 | 3.388 | (4.863) | (13.350) | |
Distributions | |||||||
Dividends from Net Investment Income | (.617) | (.910) | (.813) | (.718) | (.857) | (.985) | |
Distributions from Realized Capital Gains | — | — | — | — | — | (6.545) | |
Total Distributions | (.617) | (.910) | (.813) | (.718) | (.857) | (7.530) | |
Net Asset Value, End of Period | $54.70 | $50.18 | $38.97 | $39.15 | $36.48 | $42.20 | |
Total Return1 | 10.37% | 31.40% | 1.39% | 9.37% | -11.15% | -23.19% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $1,814 | $1,591 | $1,131 | $1,199 | $1,441 | $1,907 | |
Ratio of Total Expenses to | |||||||
Average Net Assets2 | 0.25% | 0.25% | 0.21% | 0.21% | 0.21% | 0.16% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 2.15% | 2.05% | 1.89% | 1.85% | 2.42% | 1.84% | |
Portfolio Turnover Rate | 106% | 102% | 120% | 94% | 83% | 96% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about
any applicable account service fees.
2 Includes performance-based investment advisory fee increases (decreases) of 0.01%, 0.01%, (0.04%), (0.04%), (0.04%), and (0.02%).
See accompanying Notes, which are an integral part of the Financial Statements.
27
Growth and Income Fund
Notes to Financial Statements
Vanguard Growth and Income Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Investor Shares and Admiral Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The fund may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the six months ended March 31, 2013, the fund’s average investment in long futures contracts represented 2% of net assets, based on quarterly average aggregate settlement values.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (September 30, 2009–2012), and for the period ended March 31, 2013, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. 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 on the next business day. The fund invests cash collateral received in Vanguard Market
28
Growth and Income Fund
Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents fees charged to borrowers plus income earned on investing cash collateral, less expenses associated with the loan.
6. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. D. E. Shaw Investment Management, L.L.C., and Los Angeles Capital Management and Equity Research, Inc., each provide investment advisory services to a portion of the fund for a fee calculated at an annual percentage rate of average net assets managed by the advisor. The basic fees of D. E. Shaw Investment Management, L.L.C., and Los Angeles Capital Management and Equity Research, Inc., are subject to quarterly adjustments based on performance since September 30, 2011, relative to the S&P 500 Index.
The Vanguard Group provides investment advisory services to a portion of the fund on an at-cost basis; the fund paid Vanguard advisory fees of $446,000 for the six months ended March 31, 2013.
For the six months ended March 31, 2013, the aggregate investment advisory fee represented an effective annual basic rate of 0.11% of the fund’s average net assets, before an increase of $180,000 (0.01%) based on performance.
C. The Vanguard Group furnishes at cost corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At March 31, 2013, the fund had contributed capital of $583,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.23% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
D. 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).
29
Growth and Income Fund
The following table summarizes the market value of the fund’s investments as of March 31, 2013, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 4,567,862 | — | — |
Temporary Cash Investments | 146,038 | 6,799 | — |
Futures Contracts—Assets1 | 484 | — | — |
Total | 4,714,384 | 6,799 | — |
1 Represents variation margin on the last day of the reporting period. |
E. At March 31, 2013, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
S&P 500 Index | June 2013 | 305 | 119,156 | 1,684 |
E-mini S&P 500 Index | June 2013 | 117 | 9,142 | 41 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
F. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
Certain of the fund’s investments are in securities considered to be “passive foreign investment companies,” for which any unrealized appreciation and/or realized gains are required to be included in distributable net income for tax purposes. During the six months ended March 31, 2013, the fund realized gains on the sale of passive foreign investment companies of $7,000, which have been included in current and prior periods’ taxable income; accordingly, such gains have been reclassified from accumulated net realized losses to undistributed net investment income.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at September 30, 2012, the fund had available capital losses totaling $937,041,000 to offset future net capital gains of $90,131,000 through September 30, 2017, and $846,910,000 through September 30, 2018. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending September 30, 2013; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
30
Growth and Income Fund
At March 31, 2013, the cost of investment securities for tax purposes was $3,987,672,000. Net unrealized appreciation of investment securities for tax purposes was $733,027,000, consisting of unrealized gains of $783,088,000 on securities that had risen in value since their purchase and $50,061,000 in unrealized losses on securities that had fallen in value since their purchase.
G. During the six months ended March 31, 2013, the fund purchased $2,284,799,000 of investment securities and sold $2,407,590,000 of investment securities, other than temporary cash investments.
H. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
March 31, 2013 | September 30, 2012 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 101,279 | 3,228 | 196,350 | 6,915 |
Issued in Lieu of Cash Distributions | 30,274 | 1,004 | 49,896 | 1,822 |
Redeemed | (276,949) | (8,976) | (683,919) | (24,460) |
Net Increase (Decrease)—Investor Shares | (145,396) | (4,744) | (437,673) | (15,723) |
Admiral Shares | ||||
Issued | 173,804 | 3,449 | 303,344 | 6,585 |
Issued in Lieu of Cash Distributions | 18,641 | 379 | 25,393 | 568 |
Redeemed | (120,214) | (2,365) | (205,781) | (4,475) |
Net Increase (Decrease)—Admiral Shares | 72,231 | 1,463 | 122,956 | 2,678 |
I. In preparing the financial statements as of March 31, 2013, management considered the impact of
subsequent events for potential recognition or disclosure in these financial statements.
31
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.
32
Six Months Ended March 31, 2013 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
Growth and Income Fund | 9/30/2012 | 3/31/2013 | Period |
Based on Actual Fund Return | |||
Investor Shares | $1,000.00 | $1,103.12 | $1.89 |
Admiral Shares | 1,000.00 | 1,103.74 | 1.31 |
Based on Hypothetical 5% Yearly Return | |||
Investor Shares | $1,000.00 | $1,023.14 | $1.82 |
Admiral Shares | 1,000.00 | 1,023.68 | 1.26 |
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that
period are 0.36% for Investor Shares and 0.25% 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.
33
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.
34
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.
35
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 180 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
InterestedTrustee1 | and Delphi Automotive LLP (automotive components); |
Senior Advisor at New Mountain Capital; Trustee of | |
F. William McNabb III | The Conference Board. |
Born 1957. Trustee Since July 2009. Chairman of the | |
Board. Principal Occupation(s) During the Past Five | Amy Gutmann |
Years: Chairman of the Board of The Vanguard Group, | Born 1949. Trustee Since June 2006. Principal |
Inc., and of each of the investment companies served | Occupation(s) During the Past Five Years: President |
by The Vanguard Group, since January 2010; Director | of the University of Pennsylvania; Christopher H. |
of The Vanguard Group since 2008; Chief Executive | Browne Distinguished Professor of Political Science |
Officer and President of The Vanguard Group and of | in the School of Arts and Sciences with secondary |
each of the investment companies served by The | appointments at the Annenberg School for |
Vanguard Group since 2008; Director of Vanguard | Communication and the Graduate School of Education |
Marketing Corporation; Managing Director of The | of the University of Pennsylvania; Member of the |
Vanguard Group (1995–2008). | National Commission on the Humanities and Social |
Sciences; Trustee of Carnegie Corporation of New | |
York and of the National Constitution Center; Chair | |
IndependentTrustees | of the U. S. Presidential Commission for the Study |
of Bioethical Issues. | |
Emerson U. Fullwood | |
Born 1948. Trustee Since January 2008. Principal | |
Occupation(s) During the Past Five Years: Executive | JoAnn Heffernan Heisen |
Chief Staff and Marketing Officer for North America | Born 1950. Trustee Since July 1998. Principal |
and Corporate Vice President (retired 2008) of Xerox | Occupation(s) During the Past Five Years: Corporate |
Corporation (document management products and | Vice President and Chief Global Diversity Officer |
services); Executive in Residence and 2010 | (retired 2008) and Member of the Executive |
Distinguished Minett Professor at the Rochester | Committee (1997–2008) of Johnson & Johnson |
Institute of Technology; Director of SPX Corporation | (pharmaceuticals/medical devices/consumer |
(multi-industry manufacturing), the United Way of | products); Director of Skytop Lodge Corporation |
Rochester, Amerigroup Corporation (managed health | (hotels), the University Medical Center at Princeton, |
care), the University of Rochester Medical Center, | the Robert Wood Johnson Foundation, and the Center |
Monroe Community College Foundation, and North | for Talent Innovation; Member of the Advisory Board |
Carolina A&T University. | of the Maxwell School of Citizenship and Public Affairs |
at Syracuse University. | |
Rajiv L. Gupta | |
Born 1945. Trustee Since December 2001.2 | F. Joseph Loughrey |
Principal Occupation(s) During the Past Five Years: | Born 1949. Trustee Since October 2009. Principal |
Chairman and Chief Executive Officer (retired 2009) | Occupation(s) During the Past Five Years: President |
and President (2006–2008) of Rohm and Haas Co. | and Chief Operating Officer (retired 2009) of Cummins |
(chemicals); Director of Tyco International, Ltd. | Inc. (industrial machinery); Chairman of the Board of |
(diversified manufacturing and services), Hewlett- | Hillenbrand, Inc. (specialized consumer services); |
Packard Co. (electronic computer manufacturing), | Director of SKF AB (industrial machinery), the Lumina |
Foundation for Education, and Oxfam America; | Executive Officers | |
Chairman of the Advisory Council for the College of | ||
Arts and Letters and Member of the Advisory Board to | Glenn Booraem | |
the Kellogg Institute for International Studies at the | Born 1967. Controller Since July 2010. Principal | |
University of Notre Dame. | Occupation(s) During the Past Five Years: Principal | |
of The Vanguard Group, Inc.; Controller of each of | ||
Mark Loughridge | the investment companies served by The Vanguard | |
Born 1953. Trustee Since March 2012. Principal | Group; Assistant Controller of each of the investment | |
Occupation(s) During the Past Five Years: Senior Vice | companies served by The Vanguard Group (2001–2010). | |
President and Chief Financial Officer at IBM (information | ||
technology services); Fiduciary Member of IBM’s | Thomas J. Higgins | |
Retirement Plan Committee. | Born 1957. Chief Financial Officer Since September | |
2008. Principal Occupation(s) During the Past Five | ||
Scott C. Malpass | Years: Principal of The Vanguard Group, Inc.; Chief | |
Born 1962. Trustee Since March 2012. Principal | Financial Officer of each of the investment companies | |
Occupation(s) During the Past Five Years: Chief | served by The Vanguard Group; Treasurer of each of | |
Investment Officer and Vice President at the University | the investment companies served by The Vanguard | |
of Notre Dame; Assistant Professor of Finance at the | Group (1998–2008). | |
Mendoza College of Business at Notre Dame; Member | ||
of the Notre Dame 403(b) Investment Committee; | Kathryn J. Hyatt | |
Director of TIFF Advisory Services, Inc. (investment | Born 1955. Treasurer Since November 2008. Principal | |
advisor); Member of the Investment Advisory | Occupation(s) During the Past Five Years: Principal of | |
Committees of the Financial Industry Regulatory | The Vanguard Group, Inc.; Treasurer of each of the | |
Authority (FINRA) and of Major League Baseball. | investment companies served by The Vanguard | |
Group; Assistant Treasurer of each of the investment | ||
André F. Perold | companies served by The Vanguard Group (1988–2008). | |
Born 1952. Trustee Since December 2004. Principal | ||
Occupation(s) During the Past Five Years: George | Heidi Stam | |
Gund Professor of Finance and Banking at the Harvard | Born 1956. Secretary Since July 2005. Principal | |
Business School (retired 2011); Chief Investment | Occupation(s) During the Past Five Years: Managing | |
Officer and Managing Partner of HighVista Strategies | Director of The Vanguard Group, Inc.; General Counsel | |
LLC (private investment firm); Director of Rand | of The Vanguard Group; Secretary of The Vanguard | |
Merchant Bank; Overseer of the Museum of Fine | Group and of each of the investment companies | |
Arts Boston. | served by The Vanguard Group; Director and Senior | |
Vice President of Vanguard Marketing Corporation. | ||
Alfred M. Rankin, Jr. | ||
Born 1941. Trustee Since January 1993. Principal | Vanguard Senior ManagementTeam | |
Occupation(s) During the Past Five Years: Chairman, | ||
President, and Chief Executive Officer of NACCO | Mortimer J. Buckley | Chris D. McIsaac |
Industries, Inc. (housewares/lignite) and of Hyster-Yale | Kathleen C. Gubanich | Michael S. Miller |
Materials Handling, Inc. (forklift trucks); Director of | Paul A. Heller | James M. Norris |
the National Association of Manufacturers; Chairman | Martha G. King | Glenn W. Reed |
of the Board of University Hospitals of Cleveland; | John T. Marcante | |
Advisory Chairman of the Board of The Cleveland | ||
Museum of Art. | ||
Chairman Emeritus and Senior Advisor | ||
Peter F. Volanakis | John J. Brennan | |
Born 1955. Trustee Since July 2009. Principal | Chairman, 1996–2009 | |
Occupation(s) During the Past Five Years: President | ||
and Chief Operating Officer (retired 2010) of Corning | Chief Executive Officer and President, 1996–2008 | |
Incorporated (communications equipment); Director | ||
of SPX Corporation (multi-industry manufacturing); | ||
Overseer of the Amos Tuck School of Business | Founder | |
Administration at Dartmouth College; Advisor to the | John C. Bogle | |
Norris Cotton Cancer Center. | Chairman and Chief Executive Officer, 1974–1996 |
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the
Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard
State Tax-Exempt Funds.
P.O. Box 2600 | ||
Valley Forge, PA 19482-2600 | ||
Connect with Vanguard® > vanguard.com | ||
Fund Information > 800-662-7447 | CFA® is a trademark owned by CFA Institute. | |
Direct Investor Account Services > 800-662-2739 | ||
Institutional Investor Services > 800-523-1036 | ||
Text Telephone for People | ||
With Hearing Impairment > 800-749-7273 | ||
This material may be used in conjunction | ||
with the offering of shares of any Vanguard | ||
fund only if preceded or accompanied by | ||
the fund’s current prospectus. | ||
All comparative mutual fund data are from Lipper Inc. or | ||
Morningstar, Inc., unless otherwise noted. | ||
You can obtain a free copy of Vanguard’s proxy voting | ||
guidelines by visiting vanguard.com/proxyreporting or by | ||
calling Vanguard at 800-662-2739. The guidelines are | ||
also available from the SEC’s website, sec.gov. In | ||
addition, you may obtain a free report on how your fund | ||
voted the proxies for securities it owned during the 12 | ||
months ended June 30. To get the report, visit either | ||
vanguard.com/proxyreporting or sec.gov. | ||
You can review and copy information about your fund at | ||
the SEC’s Public Reference Room in Washington, D.C. To | ||
find out more about this public service, call the SEC at | ||
202-551-8090. Information about your fund is also | ||
available on the SEC’s website, and you can receive | ||
copies of this information, for a fee, by sending a | ||
request in either of two ways: via e-mail addressed to | ||
publicinfo@sec.gov or via regular mail addressed to the | ||
Public Reference Section, Securities and Exchange | ||
Commission, Washington, DC 20549-1520. | ||
© 2013 The Vanguard Group, Inc. | ||
All rights reserved. | ||
Vanguard Marketing Corporation, Distributor. | ||
Q932 052013 |
Semiannual Report | March 31, 2013
Vanguard Structured Equity Funds
![](https://capedge.com/proxy/N-CSRS/0000932471-13-006607/structuredequityfunds_08x1x2.jpg)
Vanguard Structured Large-Cap Equity Fund
Vanguard Structured Broad Market Fund
> For the six months ended March 31, 2013, Vanguard Structured Broad Market
Fund returned almost 13% and Vanguard Structured Large-Cap Equity Fund
returned almost 11%.
> A sharp rise in the stock market during the last three months of the period led to
strong returns for many sectors.
> The advisor’s stock selection enabled both funds to outperform their
benchmarks and peer funds.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
Advisor’s Report. | 6 |
Structured Large-Cap Equity Fund. | 8 |
Structured Broad Market Fund. | 20 |
About Your Fund’s Expenses. | 34 |
Trustees Approve Advisory Arrangement. | 36 |
Glossary. | 37 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice.
Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the
risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: Our cover photograph shows rigging on the HMSSurprise, a replica of an 18th-century Royal Navy frigate. It
was featured in the 2003 movie Master and Commander: The Far Side of the World, which was based on Patrick O’Brian’s sea
novels, set amid the Napoleonic Wars. Vanguard was named for another ship of that era, the HMSVanguard, which was the
flagship of British Admiral Horatio Nelson at the Battle of the Nile.
Your Fund’s Total Returns
Six Months Ended March 31, 2013 | |
Total | |
Returns | |
Vanguard Structured Large-Cap Equity Fund | |
Institutional Shares | 10.71% |
Institutional Plus Shares | 10.76 |
S&P 500 Index | 10.19 |
Large-Cap Core Funds Average | 10.57 |
Large-Cap Core Funds Average: Derived from data provided by Lipper Inc. | |
Vanguard Structured Broad Market Fund | |
Institutional Shares | 12.71% |
Institutional Plus Shares | 12.74 |
Russell 3000 Index | 11.35 |
Multi-Cap Core Funds Average | 12.06 |
Multi-Cap Core Funds Average: Derived from data provided by Lipper Inc.
Institutional Shares and Institutional Plus Shares are available to certain institutional investors who meet specific administrative, service, and
account-size criteria.
Your Fund’s Performance at a Glance | ||||
September 30, 2012, Through March 31, 2013 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Structured Large-Cap Equity Fund | ||||
Institutional Shares | $27.83 | $30.18 | $0.570 | $0.000 |
Institutional Plus Shares | 55.02 | 59.65 | 1.164 | 0.000 |
Vanguard Structured Broad Market Fund | ||||
Institutional Shares | $27.10 | $29.90 | $0.575 | $0.000 |
Institutional Plus Shares | 54.17 | 59.74 | 1.186 | 0.000 |
1
Chairman’s Letter
Dear Shareholder,
As the six-month period progressed, investors’ anxieties about corporate profits, the U.S. fiscal deficit, and fresh troubles in Europe gave way to greater optimism about the strength of the U.S. economy, especially in the labor and housing markets. The improvement in market sentiment led to a shift away from safer assets toward riskier investments offering potentially higher returns, a trend that favored small- and mid-capitalization stocks more than their large-cap counterparts.
In this context, Vanguard Structured Broad Market Fund, with its exposure across the market-cap spectrum, returned almost 13% for the six months ended March 31, 2013, outpacing its benchmark (the Russell 3000 Index) by more than 1 percentage point. Vanguard Structured Large-Cap Equity Fund returned about 11%, putting it about half a percentage point ahead of its benchmark (the Standard & Poor’s 500 Index). Both funds’ returns exceeded the average returns for their peer funds.
The funds’ gains were broad-based. Of the ten market sectors in their benchmarks, seven in the Broad Market Fund and eight in the Large-Cap Equity Fund posted returns topping 10%. In relative terms, the funds’ outperformance was driven largely by strong stock selection in just a few sectors, with energy and industrials standing out for the Broad Market Fund and energy and materials for the Large-Cap Equity Fund.
2
Global equity markets delivered a powerful rally
Global stocks advanced for the fifth straight month to finish the half year ended March 31 with impressive gains. The S&P 500 Index closed at a record high on the period’s final business day after global financial markets in recent months shrugged off the U.S. “fiscal cliff” crisis, the unsettled Italian national elections, and a controversial bailout package for Cyprus.
Peter Westaway, Vanguard’s chief European economist, said that the latest developments in Europe had been “rather bad,” but that the market had for the most part already priced in these events. “As always,” he said, “we think investors should assess their portfolios carefully and avoid making impulsive moves.”
U.S. equities returned more than 11% as the economic recovery slowly built momentum, the housing market rebounded further, and the labor market improved. International equities were up more than 9%. Returns were about 16% in the Pacific region, where Japan’s accommodative monetary policy has helped spark the nation’s stock market, and nearly 10% in Europe. Emerging markets stocks rose about 4%.
Bond returns barely budged as yields lingered near lows
The broad U.S. taxable bond market scraped out a minuscule gain of 0.09% for the half year as U.S. Treasury yields remained just slightly above their all-time lows. Although the yield of the benchmark 10-year Treasury note increased during
Market Barometer | |||
Total Returns | |||
Periods Ended March 31, 2013 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 11.10% | 14.43% | 6.15% |
Russell 2000 Index (Small-caps) | 14.48 | 16.30 | 8.24 |
Russell 3000 Index (Broad U.S. market) | 11.35 | 14.56 | 6.32 |
MSCI All Country World Index ex USA (International) | 9.20 | 8.36 | -0.39 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | 0.09% | 3.77% | 5.47% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 0.96 | 5.25 | 6.10 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.05 | 0.08 | 0.30 |
CPI | |||
Consumer Price Index | 0.59% | 1.47% | 1.74% |
3
the six months and topped 2.00% at various times, it closed the period at about 1.85%. (Bond prices and yields move in opposite directions.)
Municipal bonds returned almost 1% for the six months despite price declines in March. And returns of money market funds and savings accounts barely registered as short-term interest rates remained between 0% and 0.25%, under the Federal Reserve’s four-year-old policy.
Robert Auwaerter, head of Vanguard’s Fixed Income Group, doesn’t anticipate abrupt policy changes from the central bank. “We don’t see the Fed changing course in the near term,” he said, “and when the Fed does, we expect it’ll go slowly so as not to undo the efforts made to keep interest rates low and to stimulate the economy.”
The funds’ quantitative model found pockets of outperformance
Not all quantitative funds are the same; their investment strategies vary greatly, and so do the quantitative models they rely on to execute those strategies. As explained in more detail in the Advisor’s Report that follows, Vanguard’s Equity Investment Group, which manages these funds, uses a proprietary quantitative model to compare the stocks in a fund’s benchmark index with the aim of singling out those it believes are most likely to outperform over the long term because of their attractive valuations, strong balance sheets, and positive earnings momentum.
The advisor counts on its choice of stocks (which totaled 200 in the Structured Broad Market Fund and about 170 in the Structured Large-Cap Equity Fund on March 31) to outpace each fund’s benchmark without taking on additional risk through market capitalization tilts or sector bets.
Energy was the stand-out sector in relative performance for both funds. Quantitative analysis relating to valuation, in particular, resulted in the funds’ holding a handful of large-cap stocks in oil and gas refining. While margins in refining traditionally tend to be quite low, recent expansion in domestic oil production helped lower costs, which translated into higher profits.
For the Structured Broad Market Fund, the advisor’s choices in industrials also gave a boost to relative performance. A few mid-cap airline stocks in the portfolio soared on further consolidation in the industry, a development that should lead to greater pricing power and higher margins. Construction-related stocks were another bright spot for the fund in this sector.
Despite its comparatively small weighting in the S&P 500 Index, the materials sector added significantly to the relative performance of the Large-Cap Equity Fund, where a tilt toward chemical stocks and away from mining stocks proved a good call.
4
There were a few misses in each fund that dampened relative performance, most notably among information technology stocks for the Broad Market Fund and among financials for the Large-Cap Equity Fund.
Low cost is key no matter how a fund is managed
Keeping costs low has been a key part of our index funds’ success—the less expensive it is for an index fund to track its benchmark, the more returns get passed on to its investors.
But the same principle—low cost—is just as important to our actively managed funds. Outperforming an index through active management has historically proven to be a challenge in itself, so the higher management fees and transaction costs associated with such funds tend to set the bar of outperforming even higher. That’s why, regardless of a fund’s management style, at Vanguard we focus on trying to give investors the best chance for investment success by keeping our fund costs low. (You can read an analysis of the impact of costs on the performance of actively managed funds in The Case for Vanguard Active Management: Solving the Low-Cost/Top-Talent Paradox? at vanguard.com/research.)
The low-cost advantage doesn’t guarantee outperformance, of course. Even in those cases where an active stock fund outperforms over long periods, that doesn’t necessarily mean investors earned more than the index results every year—or even every decade. And investors have no way of knowing beforehand which funds will outperform.
But for those willing to accept the greater risks that come with active investing, we believe Vanguard’s low costs, along with our talented advisors, can improve the odds.
As always, thank you for entrusting your assets to Vanguard.
Sincerely,
![](https://capedge.com/proxy/N-CSRS/0000932471-13-006607/structuredequityfunds_08x7x1.jpg)
F. William McNabb III
Chairman and Chief Executive Officer
April 17, 2013
5
Advisor’s Report
For the six-month period ended March 31, 2013, Vanguard Structured Large-Cap Equity Fund returned 10.71% for Institutional Shares and 10.76% for Institutional Plus Shares, outperforming its benchmark, the S&P 500 Index, by 0.52 percentage point and 0.57 percentage point, respectively.
Vanguard Structured Broad Market Fund returned 12.71% for Institutional Shares and 12.74% for Institutional Plus Shares, outperforming its benchmark, the Russell 3000 Index, by 1.36 percentage points and 1.39 percentage points, respectively.
The six-month period saw equities in general experience above-average returns, as the broad market was up 11.35% (as measured by the Russell 3000 Index). All ten sectors of the broader equity benchmark posted positive returns. Results were best among financials, consumer discretionary, and industrials.
The returns of the period’s two quarters were quite different. During the fourth quarter of 2012 the broad U.S. market was up 0.25% as investors digested the election results and Hurricane Sandy, and contemplated the potential repercussions of the looming “fiscal cliff.” Fortunately, Congress and President Obama finally reached an agreement early in the new year, averting the worst of the fiscal cliff, including certain tax hikes that probably would have put the anemic recovery at risk. Investor fears seemed to abate and cash came into the U.S. equity market, helping to push the broad U.S. market up 11.07% for the first quarter of 2013.
Over the last six months, equity returns have been less volatile than in most of 2012—a year in which volatility was driven in large part by global macroeconomic events. Lackluster global economic growth, actions taken by central banks in Europe and the United States, and the fiscal cliff all contributed to market volatility during the year. While the United States is not without its problems, our modest economic recovery is expected to continue. Corporate balance sheets remain strong, there is ample liquidity in the economy, housing data continues to improve, and unemployment statistics are moving in the right direction, although at a snail’s pace.
Market fluctuations reinforce our conviction that attempting to time investments is not profitable. Our aim, instead, is to identify individual stocks that will outperform over the long run. We select stocks by using a model with five components: valuation, growth, management decisions, market sentiment, and quality. We construct our portfolio with the goal of minimizing exposure to risks that our research indicates do not improve returns. Thus, our risk-control process neutralizes our exposure to market-capitalization, volatility, and industry risks relative to our benchmark. In our view, such risk exposures are not justified by the potential rewards. As a result of these risk controls, our three-year tracking error was 1.2% for the Structured Large-Cap Equity Fund and 1.7% for the Structured Broad Market Fund, both well within expectations.
6
The results from our stock selection model were encouraging over the last six months as all signals contributed positively to performance, with varying degrees of success in each of the portfolios. Our valuation model was the most effective in the Structured Broad Market Fund, while the management decisions signal was strongest in the Structured Large-Cap Equity Fund.
The model’s breadth can be seen by its effectiveness over the period across sectors. Structured Large-Cap Equity had the most success in energy; the financial sector was the fund’s biggest detractor. Structured Broad Market benefited from strong stock selection in energy as well, while information technology hurt relative performance.
Structured Large Cap Equity Fund
At the individual stock level, the largest contributions came from overweight positions in Phillips 66 and Marathon Petroleum. In addition, when comparing the portfolio’s performance with that of its benchmark, we benefited from underweighting or avoiding poorly performing stocks such as EMC and Caterpillar.
Unfortunately, we could not avoid all bad performers. Overweight positions in CF Industries and CA detracted from performance. Also, underweighting companies that were not positively identified by the fundamentals in our model, such as Celgene and Gilead Sciences, held back performance relative to our benchmark.
Structured Broad Market Fund
At the individual stock level, overweight positions in Delta Air Lines and Marathon Petroleum added the most to performance. When comparing the portfolio’s performance with that of its benchmark, the fund benefited from underweighting or avoiding poorly performing stocks such as EMC and Newmont Mining.
Overweight positions in Apple and VMware disappointed. Also, stocks our model did not favor, such as Citigroup and Gilead Sciences, hurt our performance relative to our benchmark.
We thank you for your investment and look forward to the second half of the fiscal year.
James P. Stetler
Principal and Portfolio Manager
James D. Troyer, CFA
Principal and Portfolio Manager
Michael R. Roach, CFA
Portfolio Manager
Vanguard Equity Investment Group
April 23, 2013
7
Structured Large-Cap Equity Fund
Fund Profile
As of March 31, 2013
Share-Class Characteristics | ||
Institutional | Institutional | |
Shares | Plus Shares | |
Ticker Symbol | VSLIX | VSLPX |
Expense Ratio1 | 0.24% | 0.17% |
30-Day SEC Yield | 2.03% | 2.10% |
Portfolio Characteristics | |||
DJ U.S. | |||
Total | |||
Market | |||
S&P 500 | FA | ||
Fund | Index | Index | |
Number of Stocks | 167 | 500 | 3,586 |
Median Market Cap | $64.2B | $58.7B | $40.0B |
Price/Earnings Ratio | 14.9x | 17.0x | 18.1x |
Price/Book Ratio | 2.4x | 2.3x | 2.3x |
Return on Equity | 17.1% | 18.1% | 16.6% |
Earnings Growth Rate | 9.7% | 9.6% | 9.6% |
Dividend Yield | 2.2% | 2.1% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 60% | — | — |
Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ U.S. | |||
Total | |||
Market | |||
S&P 500 | FA | ||
Fund | Index | Index | |
Consumer Discretionary | 12.1% | 11.6% | 12.4% |
Consumer Staples | 10.1 | 11.0 | 9.5 |
Energy | 11.2 | 10.9 | 10.1 |
Financials | 16.1 | 15.9 | 17.3 |
Health Care | 11.7 | 12.6 | 12.2 |
Industrials | 10.6 | 10.1 | 11.1 |
Information Technology | 17.9 | 18.0 | 17.4 |
Materials | 3.8 | 3.4 | 3.8 |
Telecommunication | |||
Services | 3.5 | 3.0 | 2.6 |
Utilities | 3.0 | 3.5 | 3.6 |
Volatility Measures | ||
DJ U.S. | ||
Total | ||
Market | ||
S&P 500 | FA | |
Index | Index | |
R-Squared | 0.99 | 0.99 |
Beta | 0.99 | 0.95 |
These measures show the degree and timing of the fund’s | ||
fluctuations compared with the indexes over 36 months. |
Ten Largest Holdings (% of total net assets) | ||
Exxon Mobil Corp. | Integrated Oil & Gas | 3.4% |
Apple Inc. | Computer Hardware | 2.6 |
General Electric Co. | Industrial | |
Conglomerates | 2.2 | |
Chevron Corp. | Integrated Oil & Gas | 2.1 |
International Business | IT Consulting & | |
Machines Corp. | Other Services | 2.1 |
AT&T Inc. | Integrated | |
Telecommunication | ||
Services | 2.0 | |
Pfizer Inc. | Pharmaceuticals | 1.8 |
Wells Fargo & Co. | Diversified Banks | 1.8 |
JPMorgan Chase & Co. | Diversified Financial | |
Services | 1.8 | |
Philip Morris | ||
International Inc. | Tobacco | 1.6 |
Top Ten | 21.4% | |
The holdings listed exclude any temporary cash investments and equity index products. |
Investment Focus
1 The expense ratios shown are from the prospectus dated January 28, 2013. For the six months ended March 31, 2013, the annualized
expense ratios were 0.24% for Institutional Shares and 0.17% for Institutional Plus Shares.
8
Structured Large-Cap Equity 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 (%): May 16, 2006, Through March 31, 2013
![](https://capedge.com/proxy/N-CSRS/0000932471-13-006607/structuredequityfunds_0x11x1.jpg)
Note: For 2013, performance data reflect the six months ended March 31, 2013.
Average Annual Total Returns: Periods Ended March 31, 2013 | ||||
Inception | One | Five | Since | |
Date | Year | Years | Inception | |
Institutional Shares | 5/16/2006 | 15.39% | 5.81% | 5.09% |
Institutional Plus Shares | 5/15/2006 | 15.50 | 5.89 | 5.15 |
See Financial Highlights for dividend and capital gains information.
9
Structured Large-Cap Equity Fund
Financial Statements (unaudited)
Statement of Net Assets
As of March 31, 2013
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.7%)1 | |||
Consumer Discretionary (12.1%) | |||
Home Depot Inc. | 101,975 | 7,116 | |
Comcast Corp. Class A | 168,200 | 7,066 | |
Time Warner Inc. | 87,600 | 5,047 | |
TJX Cos. Inc. | 86,300 | 4,035 | |
Time Warner Cable Inc. | 38,800 | 3,727 | |
Macy’s Inc. | 84,300 | 3,527 | |
* | O’Reilly Automotive Inc. | 33,100 | 3,394 |
Newell Rubbermaid Inc. | 126,300 | 3,296 | |
Gap Inc. | 91,800 | 3,250 | |
Wyndham Worldwide Corp. | 49,800 | 3,211 | |
* | PulteGroup Inc. | 156,300 | 3,163 |
Whirlpool Corp. | 22,600 | 2,677 | |
* | Goodyear Tire & Rubber Co. | 210,500 | 2,654 |
* | DIRECTV | 36,100 | 2,044 |
News Corp. Class A | 60,600 | 1,850 | |
Expedia Inc. | 26,800 | 1,608 | |
Starbucks Corp. | 25,600 | 1,458 | |
Starwood Hotels & Resorts | |||
Worldwide Inc. | 18,000 | 1,147 | |
Lowe’s Cos. Inc. | 30,000 | 1,138 | |
McDonald’s Corp. | 11,247 | 1,121 | |
H&R Block Inc. | 36,300 | 1,068 | |
Walt Disney Co. | 16,879 | 959 | |
* | Amazon.com Inc. | 3,500 | 933 |
Harley-Davidson Inc. | 11,800 | 629 | |
Gannett Co. Inc. | 21,200 | 464 | |
Comcast Corp. | 10,525 | 417 | |
Target Corp. | 4,300 | 294 | |
NIKE Inc. Class B | 2,200 | 130 | |
* | priceline.com Inc. | 100 | 69 |
67,492 | |||
Consumer Staples (10.1%) | |||
Philip Morris | |||
International Inc. | 95,936 | 8,894 | |
Procter & Gamble Co. | 90,594 | 6,981 | |
Costco Wholesale Corp. | 42,900 | 4,552 | |
PepsiCo Inc. | 56,292 | 4,453 |
Wal-Mart Stores Inc. | 56,246 | 4,209 | |
Kraft Foods Group Inc. | 79,766 | 4,111 | |
Kroger Co. | 114,900 | 3,808 | |
Kimberly-Clark Corp. | 36,400 | 3,567 | |
Coca-Cola Co. | 81,880 | 3,311 | |
JM Smucker Co. | 32,400 | 3,213 | |
* | Dean Foods Co. | 169,900 | 3,080 |
Altria Group Inc. | 75,200 | 2,586 | |
CVS Caremark Corp. | 33,900 | 1,864 | |
HJ Heinz Co. | 12,700 | 918 | |
ConAgra Foods Inc. | 9,000 | 322 | |
Reynolds American Inc. | 5,800 | 258 | |
56,127 | |||
Energy (11.1%) | |||
Exxon Mobil Corp. | 211,539 | 19,062 | |
Chevron Corp. | 100,856 | 11,984 | |
ConocoPhillips | 93,559 | 5,623 | |
Phillips 66 | 70,979 | 4,966 | |
Marathon Petroleum Corp. | 48,150 | 4,314 | |
Valero Energy Corp. | 85,300 | 3,880 | |
EOG Resources Inc. | 27,900 | 3,573 | |
Tesoro Corp. | 56,200 | 3,291 | |
Marathon Oil Corp. | 67,500 | 2,276 | |
Schlumberger Ltd. | 16,125 | 1,208 | |
Murphy Oil Corp. | 8,000 | 510 | |
Hess Corp. | 7,000 | 501 | |
Ensco plc Class A | 7,700 | 462 | |
Anadarko Petroleum Corp. | 3,400 | 297 | |
Noble Energy Inc. | 2,200 | 255 | |
62,202 | |||
Financials (16.0%) | |||
Wells Fargo & Co. | 271,735 | 10,052 | |
JPMorgan Chase & Co. | 210,179 | 9,975 | |
Bank of America Corp. | 655,853 | 7,988 | |
Goldman Sachs Group Inc. | 36,900 | 5,430 | |
* | American International | ||
Group Inc. | 131,000 | 5,086 | |
Allstate Corp. | 82,800 | 4,063 | |
Discover Financial Services | 88,450 | 3,966 |
10
Structured Large-Cap Equity Fund
Market | |||
Value | |||
Shares | ($000) | ||
State Street Corp. | 65,600 | 3,876 | |
Aflac Inc. | 66,300 | 3,449 | |
US Bancorp | 97,024 | 3,292 | |
Franklin Resources Inc. | 21,000 | 3,167 | |
Fifth Third Bancorp | 175,800 | 2,867 | |
Travelers Cos. Inc. | 34,000 | 2,863 | |
* | Berkshire Hathaway Inc. | ||
Class B | 27,205 | 2,835 | |
Citigroup Inc. | 60,025 | 2,656 | |
Ventas Inc. | 31,500 | 2,306 | |
HCP Inc. | 45,500 | 2,269 | |
Simon Property Group Inc. | 14,300 | 2,268 | |
Morgan Stanley | 101,200 | 2,224 | |
Weyerhaeuser Co. | 65,400 | 2,052 | |
* | Berkshire Hathaway Inc. | ||
Class A | 11 | 1,719 | |
Kimco Realty Corp. | 57,200 | 1,281 | |
Regions Financial Corp. | 146,200 | 1,197 | |
Bank of New York | |||
Mellon Corp. | 33,200 | 929 | |
Lincoln National Corp. | 20,000 | 652 | |
Public Storage | 3,500 | 533 | |
Huntington Bancshares Inc. | 22,100 | 163 | |
SunTrust Banks Inc. | 5,600 | 161 | |
Ameriprise Financial Inc. | 1,600 | 118 | |
89,437 | |||
Health Care (11.6%) | |||
Pfizer Inc. | 348,619 | 10,061 | |
Merck & Co. Inc. | 180,444 | 7,981 | |
Johnson & Johnson | 71,746 | 5,849 | |
AbbVie Inc. | 133,368 | 5,439 | |
Eli Lilly & Co. | 93,687 | 5,320 | |
Abbott Laboratories | 139,468 | 4,926 | |
Amgen Inc. | 46,100 | 4,726 | |
Medtronic Inc. | 98,700 | 4,635 | |
Becton Dickinson and Co. | 38,100 | 3,643 | |
Zimmer Holdings Inc. | 45,000 | 3,385 | |
* | Mylan Inc. | 114,000 | 3,299 |
Cigna Corp. | 19,600 | 1,222 | |
Baxter International Inc. | 15,500 | 1,126 | |
UnitedHealth Group Inc. | 15,004 | 858 | |
* | CareFusion Corp. | 20,000 | 700 |
Cardinal Health Inc. | 16,000 | 666 | |
Allergan Inc. | 4,600 | 514 | |
* | Celgene Corp. | 4,000 | 464 |
64,814 | |||
Industrials (10.6%) | |||
General Electric Co. | 539,022 | 12,462 | |
Union Pacific Corp. | 39,900 | 5,682 | |
Honeywell International Inc. | 72,300 | 5,448 | |
Boeing Co. | 62,800 | 5,391 | |
United Parcel Service Inc. | |||
Class B | 59,021 | 5,070 | |
Raytheon Co. | 62,900 | 3,698 |
Illinois Tool Works Inc. | 59,600 | 3,632 | |
Ingersoll-Rand plc | 66,000 | 3,631 | |
Northrop Grumman Corp. | 48,916 | 3,431 | |
Textron Inc. | 112,800 | 3,363 | |
Lockheed Martin Corp. | 21,400 | 2,066 | |
FedEx Corp. | 13,800 | 1,355 | |
3M Co. | 12,300 | 1,308 | |
Emerson Electric Co. | 19,100 | 1,067 | |
Dun & Bradstreet Corp. | 7,100 | 594 | |
Masco Corp. | 21,700 | 439 | |
Cintas Corp. | 4,200 | 185 | |
United Technologies Corp. | 1,286 | 120 | |
58,942 | |||
Information Technology (18.0%) | |||
Apple Inc. | 32,332 | 14,311 | |
International Business | |||
Machines Corp. | 55,340 | 11,804 | |
Oracle Corp. | 226,388 | 7,321 | |
Cisco Systems Inc. | 346,415 | 7,244 | |
Microsoft Corp. | 204,241 | 5,843 | |
* | Google Inc. Class A | 6,905 | 5,483 |
Accenture plc Class A | 63,700 | 4,839 | |
Mastercard Inc. Class A | 8,300 | 4,491 | |
Texas Instruments Inc. | 124,700 | 4,424 | |
Motorola Solutions Inc. | 58,750 | 3,762 | |
* | Symantec Corp. | 152,300 | 3,759 |
Seagate Technology plc | 95,700 | 3,499 | |
* | Fiserv Inc. | 39,800 | 3,496 |
Western Digital Corp. | 69,500 | 3,495 | |
Fidelity National Information | |||
Services Inc. | 86,600 | 3,431 | |
Computer Sciences Corp. | 67,300 | 3,313 | |
* | LSI Corp. | 396,800 | 2,690 |
Intel Corp. | 75,653 | 1,653 | |
QUALCOMM Inc. | 24,457 | 1,637 | |
NVIDIA Corp. | 119,200 | 1,528 | |
Hewlett-Packard Co. | 54,250 | 1,293 | |
Visa Inc. Class A | 2,600 | 442 | |
* | Advanced Micro | ||
Devices Inc. | 78,200 | 199 | |
Intuit Inc. | 2,800 | 184 | |
Applied Materials Inc. | 7,900 | 107 | |
100,248 | |||
Materials (3.8%) | |||
Monsanto Co. | 47,200 | 4,986 | |
LyondellBasell Industries | |||
NV Class A | 62,500 | 3,956 | |
PPG Industries Inc. | 22,614 | 3,029 | |
International Paper Co. | 62,700 | 2,920 | |
CF Industries Holdings Inc. | 15,185 | 2,891 | |
Eastman Chemical Co. | 20,500 | 1,432 | |
Ball Corp. | 27,700 | 1,318 | |
Sherwin-Williams Co. | 3,300 | 557 | |
21,089 |
11
Structured Large-Cap Equity Fund
Market | ||
Value | ||
Shares | ($000) | |
Telecommunication Services (3.5%) | ||
AT&T Inc. | 299,935 | 11,005 |
Verizon Communications | ||
Inc. | 140,796 | 6,920 |
CenturyLink Inc. | 43,800 | 1,539 |
19,464 | ||
Utilities (2.9%) | ||
Edison International | 68,300 | 3,437 |
DTE Energy Co. | 48,300 | 3,301 |
Pinnacle West Capital Corp. | 49,800 | 2,883 |
Public Service Enterprise | ||
Group Inc. | 76,200 | 2,617 |
CMS Energy Corp. | 88,300 | 2,467 |
PG&E Corp. | 38,200 | 1,701 |
16,406 | ||
Total Common Stocks | ||
(Cost $427,816) | 556,221 | |
Temporary Cash Investments (0.3%)1 | ||
Money Market Fund (0.3%) | ||
2 Vanguard Market | ||
Liquidity Fund, | ||
0.147% | 1,367,144 | 1,367 |
Face | ||
Amount | ||
($000) | ||
U.S. Government and Agency Obligations (0.0%) | ||
3,4 Fannie Mae Discount | ||
Notes, 0.140%, 5/22/13 | 200 | 200 |
Total Temporary Cash Investments | ||
(Cost $1,567) | 1,567 | |
Total Investments (100.0%) | ||
(Cost $429,383) | 557,788 | |
Other Assets and Liabilities (0.0%) | ||
Other Assets | 2,202 | |
Liabilities | (2,155) | |
47 | ||
Net Assets (100%) | 557,835 |
At March 31, 2013, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 582,915 |
Undistributed Net Investment Income | 2,091 |
Accumulated Net Realized Losses | (155,595) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 128,405 |
Futures Contracts | 19 |
Net Assets | 557,835 |
Institutional Shares—Net Assets | |
Applicable to 484,104 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 14,610 |
Net Asset Value Per Share— | |
Institutional Shares | $30.18 |
Institutional Plus Shares—Net Assets | |
Applicable to 9,107,349 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 543,225 |
Net Asset Value Per Share— | |
Institutional Plus Shares | $59.65 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.0%, respectively, of
net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the
7-day yield.
3 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the
Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange
for senior preferred stock.
4 Securities with a value of $100,000 have been segregated as initial margin for open futures contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
12
Structured Large-Cap Equity Fund
Statement of Operations
Six Months Ended | |
March 31, 2013 | |
($000) | |
Investment Income | |
Income | |
Dividends | 6,364 |
Interest1 | 2 |
Total Income | 6,366 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 230 |
Management and Administrative—Institutional Shares | 10 |
Management and Administrative—Institutional Plus Shares | 168 |
Marketing and Distribution—Institutional Shares | 2 |
Marketing and Distribution—Institutional Plus Shares | 31 |
Custodian Fees | 5 |
Total Expenses | 446 |
Net Investment Income | 5,920 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 28,223 |
Futures Contracts | 94 |
Realized Net Gain (Loss) | 28,317 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 20,046 |
Futures Contracts | 28 |
Change in Unrealized Appreciation (Depreciation) | 20,074 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 54,311 |
1 Interest income from an affiliated company of the fund was $1,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
13
Structured Large-Cap Equity Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
March 31, | September 30, | |
2013 | 2012 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 5,920 | 10,050 |
Realized Net Gain (Loss) | 28,317 | 30,061 |
Change in Unrealized Appreciation (Depreciation) | 20,074 | 85,517 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 54,311 | 125,628 |
Distributions | ||
Net Investment Income | ||
Institutional Shares | (313) | (271) |
Institutional Plus Shares | (10,525) | (9,009) |
Realized Capital Gain | ||
Institutional Shares | — | — |
Institutional Plus Shares | — | — |
Total Distributions | (10,838) | (9,280) |
Capital Share Transactions | ||
Institutional Shares | (1,899) | 9 |
Institutional Plus Shares | 3,533 | 5,674 |
Net Increase (Decrease) from Capital Share Transactions | 1,634 | 5,683 |
Total Increase (Decrease) | 45,107 | 122,031 |
Net Assets | ||
Beginning of Period | 512,728 | 390,697 |
End of Period1 | 557,835 | 512,728 |
1 Net Assets—End of Period includes undistributed net investment income of $2,091,000 and $7,009,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
14
Structured Large-Cap Equity Fund
Financial Highlights
Institutional Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | March 31, | Year Ended September 30, | |||||
Throughout Each Period | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | |
Net Asset Value, Beginning of Period | $27.83 | $21.49 | $20.97 | $19.47 | $22.56 | $29.98 | |
Investment Operations | |||||||
Net Investment Income | . 311 | . 531 | . 428 1 | . 366 | .546 | .492 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | 2.609 | 6.306 | . 458 | 1.505 | (2.993) | (7.091) | |
Total from Investment Operations | 2.920 | 6.837 | . 886 | 1.871 | (2.447) | (6.599) | |
Distributions | |||||||
Dividends from Net Investment Income | (. 570) | (. 497) | (. 366) | (. 371) | (. 643) | (. 430) | |
Distributions from Realized Capital Gains | — | — | — | — | — | (.391) | |
Total Distributions | (. 570) | (. 497) | (. 366) | (. 371) | (. 643) | (. 821) | |
Net Asset Value, End of Period | $30.18 | $27.83 | $21.49 | $20.97 | $19.47 | $22.56 | |
Total Return | 10.71% | 32.32% | 4.14% | 9.68% | -10.25% | -22.52% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $15 | $15 | $12 | $95 | $106 | $135 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.24% | 0.24% | 0.24% | 0.24% | 0.25% | 0.20% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 2.22% | 2.10% | 1.95% | 1.86% | 2.33% | 1.91% | |
Portfolio Turnover Rate | 60% | 64% | 67% | 61% | 80%2 | 72% | |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized. | |||||||
1 Calculated based on average shares outstanding. | |||||||
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. |
See accompanying Notes, which are an integral part of the Financial Statements.
15
Structured Large-Cap Equity Fund
Financial Highlights
Institutional Plus Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | March 31, | Year Ended September 30, | |||||
Throughout Each Period | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | |
Net Asset Value, Beginning of Period | $55.02 | $42.48 | $41.98 | $38.97 | $45.15 | $60.02 | |
Investment Operations | |||||||
Net Investment Income | . 635 | 1.084 | . 9101 | .768 | 1.116 | 1.025 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | 5.159 | 12.466 | . 906 | 3.014 | (5.980) | (14.193) | |
Total from Investment Operations | 5.794 | 13.550 | 1.816 | 3.782 | (4.864) | (13.168) | |
Distributions | |||||||
Dividends from Net Investment Income | (1.164) | (1.010) | (1.316) | (.772) | (1.316) | (. 920) | |
Distributions from Realized Capital Gains | — | — | — | — | — | (.782) | |
Total Distributions | (1.164) | (1.010) | (1.316) | (.772) | (1.316) | (1.702) | |
Net Asset Value, End of Period | $59.65 | $55.02 | $42.48 | $41.98 | $38.97 | $45.15 | |
Total Return | 10.76% | 32.42% | 4.18% | 9.78% | -10.16% | -22.46% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $543 | $497 | $379 | $570 | $467 | $677 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.17% | 0.17% | 0.17% | 0.17% | 0.17% | 0.12% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 2.29% | 2.17% | 2.02% | 1.93% | 2.41% | 1.99% | |
Portfolio Turnover Rate | 60% | 64% | 67% | 61% | 80%2 | 72% | |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized. | |||||||
1 Calculated based on average shares outstanding. | |||||||
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. |
See accompanying Notes, which are an integral part of the Financial Statements.
16
Structured Large-Cap Equity Fund
Notes to Financial Statements
Vanguard Structured Large-Cap Equity Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Institutional Shares and Institutional Plus 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. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The fund may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the six months ended March 31, 2013, the fund’s average investment in future contracts represented less than 1% of net assets, based on quarterly average aggregate settlement values.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (September 30, 2009–2012), and for the period ended March 31, 2013, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
17
Structured Large-Cap Equity Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At March 31, 2013, the fund had contributed capital of $69,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.03% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of March 31, 2013, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 556,221 | — | — |
Temporary Cash Investments | 1,367 | 200 | — |
Futures Contracts—Assets1 | 6 | — | — |
Total | 557,594 | 200 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At March 31, 2013, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
S&P 500 Index | June 2013 | 3 | 1,172 | 17 |
E-mini S&P 500 Index | June 2013 | 5 | 391 | 2 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
18
Structured Large-Cap Equity 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.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at September 30, 2012, the fund had available capital losses totaling $183,929,000 to offset future net capital gains of $71,219,000 through September 30, 2017, and $112,710,000 through September 30, 2018. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending September 30, 2013; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At March 31, 2013, the cost of investment securities for tax purposes was $429,383,000. Net unrealized appreciation of investment securities for tax purposes was $128,405,000, consisting of unrealized gains of $129,787,000 on securities that had risen in value since their purchase and $1,382,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended March 31, 2013, the fund purchased $157,242,000 of investment securities and sold $161,029,000 of investment securities, other than temporary cash investments.
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
March 31, 2013 | September 30, 2012 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Institutional Shares | ||||
Issued | 613 | 22 | 221 | 9 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (2,512) | (87) | (212) | (9) |
Net Increase (Decrease) —Institutional Shares | (1,899) | (65) | 9 | — |
Institutional Plus Shares | ||||
Issued | — | — | 2,675 | 56 |
Issued in Lieu of Cash Distributions | 3,533 | 66 | 2,999 | 66 |
Redeemed | — | — | — | — |
Net Increase (Decrease) —Institutional Plus Shares | 3,533 | 66 | 5,674 | 122 |
At March 31, 2013, two shareholders were each a record or beneficial owner of 33% or more of the fund’s net assets, with a combined ownership of 97%. If one of these shareholders were to redeem its investment in the fund, the redemption might result in an increase in the fund’s expense ratio, cause the fund to incur higher transaction costs, or lead to the realization of taxable capital gains.
H. In preparing the financial statements as of March 31, 2013, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
19
Structured Broad Market Fund
Fund Profile
As of March 31, 2013
Share-Class Characteristics | ||
Institutional | Institutional | |
Shares | Plus Shares | |
Ticker Symbol | VSBMX | VSBPX |
Expense Ratio1 | 0.24% | 0.17% |
30-Day SEC Yield | 1.80% | 1.87% |
Portfolio Characteristics | |||
DJ U.S. | |||
Total | |||
Russell | Market | ||
3000 | FA | ||
Fund | Index | Index | |
Number of Stocks | 200 | 2,942 | 3,586 |
Median Market Cap | $32.8B | $40.4B | $40.0B |
Price/Earnings Ratio | 14.7x | 18.0x | 18.1x |
Price/Book Ratio | 2.4x | 2.3x | 2.3x |
Return on Equity | 15.5% | 16.7% | 16.6% |
Earnings Growth Rate | 10.4% | 9.6% | 9.6% |
Dividend Yield | 2.0% | 2.0% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 63% | — | — |
Short-Term Reserves | 0.2% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ U.S. | |||
Total | |||
Russell | Market | ||
3000 | FA | ||
Fund | Index | Index | |
Consumer Discretionary | 12.1% | 12.5% | 12.4% |
Consumer Staples | 9.8 | 9.5 | 9.5 |
Energy | 9.7 | 9.9 | 10.1 |
Financials | 17.5 | 17.2 | 17.3 |
Health Care | 11.5 | 12.3 | 12.2 |
Industrials | 11.9 | 11.3 | 11.1 |
Information Technology | 17.6 | 17.3 | 17.4 |
Materials | 3.5 | 3.9 | 3.8 |
Telecommunication | |||
Services | 3.0 | 2.6 | 2.6 |
Utilities | 3.4 | 3.5 | 3.6 |
Volatility Measures | ||
DJ U.S. | ||
Total | ||
Market | ||
Russell 3000 | FA | |
Index | Index | |
R-Squared | 0.99 | 0.99 |
Beta | 1.02 | 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) | ||
Exxon Mobil Corp. | Integrated Oil & Gas | 2.9% |
Apple Inc. | Computer Hardware | 2.1 |
General Electric Co. | Industrial | |
Conglomerates | 1.9 | |
Chevron Corp. | Integrated Oil & Gas | 1.8 |
International Business | IT Consulting & | |
Machines Corp. | Other Services | 1.8 |
AT&T Inc. | Integrated | |
Telecommunication | ||
Services | 1.7 | |
JPMorgan Chase & Co. | Diversified Financial | |
Services | 1.5 | |
Wells Fargo & Co. | Diversified Banks | 1.5 |
Pfizer Inc. | Pharmaceuticals | 1.4 |
Philip Morris | ||
International Inc. | Tobacco | 1.4 |
Top Ten | 18.0% | |
The holdings listed exclude any temporary cash investments and equity index products. |
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-13-006607/structuredequityfunds_0x22x1.jpg)
1 The expense ratios shown are from the prospectus dated January 28, 2013. For the six months ended March 31, 2013, the annualized
expense ratios were 0.24% for Institutional Shares and 0.17% for Institutional Plus Shares.
20
Structured Broad Market 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 (%): November 30, 2006, Through March 31, 2013
![](https://capedge.com/proxy/N-CSRS/0000932471-13-006607/structuredequityfunds_0x23x1.jpg)
Note: For 2013, performance data reflect the six months ended March 31, 2013.
Average Annual Total Returns: Periods Ended March 31, 2013 | ||||
Inception | One | Five | Since | |
Date | Year | Years | Inception | |
Institutional Shares | 11/30/2006 | 15.79% | 6.37% | 4.03% |
Institutional Plus Shares | 5/3/2004 | 15.86 | 6.44 | 6.60 |
The fund commenced operations as a registered investment company on October 3, 2006. The fund’s performance includes the performance
of a predecessor trust, Vanguard Fiduciary Trust Company Structured Broad Market Trust, from May 3, 2004, to October 3, 2006.
See Financial Highlights for dividend and capital gains information.
21
Structured Broad Market Fund
Financial Statements (unaudited)
Statement of Net Assets
As of March 31, 2013
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.7%)1 | |||
Consumer Discretionary (12.1%) | |||
Home Depot Inc. | 68,400 | 4,773 | |
Comcast Corp. Class A | 93,791 | 3,940 | |
Time Warner Inc. | 63,300 | 3,647 | |
TJX Cos. Inc. | 66,100 | 3,090 | |
* | DIRECTV | 52,700 | 2,983 |
Gap Inc. | 72,200 | 2,556 | |
Macy’s Inc. | 59,800 | 2,502 | |
* | PulteGroup Inc. | 116,700 | 2,362 |
Brinker International Inc. | 60,000 | 2,259 | |
PVH Corp. | 20,200 | 2,158 | |
Belo Corp. Class A | 215,000 | 2,113 | |
Foot Locker Inc. | 61,100 | 2,092 | |
Dillard’s Inc. Class A | 25,400 | 1,995 | |
Wynn Resorts Ltd. | 14,400 | 1,802 | |
Thor Industries Inc. | 48,700 | 1,792 | |
Marriott International Inc. | |||
Class A | 38,400 | 1,622 | |
Lowe’s Cos. Inc. | 39,600 | 1,502 | |
News Corp. Class A | 42,900 | 1,309 | |
Wyndham Worldwide Corp. | 15,800 | 1,019 | |
CBS Corp. Class B | 20,400 | 953 | |
* | priceline.com Inc. | 1,300 | 894 |
Gannett Co. Inc. | 38,300 | 838 | |
NIKE Inc. Class B | 13,000 | 767 | |
Starwood Hotels & Resorts | |||
Worldwide Inc. | 11,900 | 758 | |
* | Goodyear Tire & Rubber Co. | 59,500 | 750 |
Brunswick Corp. | 21,000 | 719 | |
Virgin Media Inc. | 6,700 | 328 | |
Time Warner Cable Inc. | 3,200 | 307 | |
McDonald’s Corp. | 3,011 | 300 | |
Walt Disney Co. | 3,500 | 199 | |
* | Amazon.com Inc. | 700 | 187 |
* | O’Reilly Automotive Inc. | 1,600 | 164 |
52,680 |
Consumer Staples (9.8%) | |||
Philip Morris International Inc. 64,450 | 5,975 | ||
Procter & Gamble Co. | 67,251 | 5,182 | |
Costco Wholesale Corp. | 31,100 | 3,300 | |
Kroger Co. | 86,400 | 2,863 | |
Wal-Mart Stores Inc. | 37,465 | 2,804 | |
Ingredion Inc. | 35,600 | 2,575 | |
JM Smucker Co. | 24,200 | 2,400 | |
Reynolds American Inc. | 48,400 | 2,153 | |
* | Dean Foods Co. | 115,400 | 2,092 |
PepsiCo Inc. | 25,700 | 2,033 | |
Coca-Cola Enterprises Inc. | 54,300 | 2,005 | |
CVS Caremark Corp. | 36,300 | 1,996 | |
* | Pilgrim’s Pride Corp. | 206,800 | 1,901 |
Coca-Cola Co. | 40,980 | 1,657 | |
Nu Skin Enterprises Inc. | |||
Class A | 29,300 | 1,295 | |
Kraft Foods Group Inc. | 15,300 | 788 | |
HJ Heinz Co. | 7,600 | 549 | |
* | USANA Health Sciences Inc. | 9,700 | 469 |
General Mills Inc. | 5,500 | 271 | |
Kimberly-Clark Corp. | 1,600 | 157 | |
Herbalife Ltd. | 2,100 | 79 | |
42,544 | |||
Energy (9.7%) | |||
Exxon Mobil Corp. | 140,420 | 12,653 | |
Chevron Corp. | 67,065 | 7,969 | |
ConocoPhillips | 68,240 | 4,101 | |
Phillips 66 | 51,070 | 3,573 | |
Marathon Petroleum Corp. | 34,900 | 3,127 | |
Valero Energy Corp. | 63,500 | 2,889 | |
Tesoro Corp. | 44,000 | 2,576 | |
HollyFrontier Corp. | 46,300 | 2,382 | |
Diamond Offshore | |||
Drilling Inc. | 15,800 | 1,099 | |
Schlumberger Ltd. | 7,800 | 584 | |
Occidental Petroleum Corp. | 7,240 | 568 | |
Murphy Oil Corp. | 8,000 | 510 | |
42,031 |
22
Structured Broad Market Fund
Market | |||
Value | |||
Shares | ($000) | ||
Financials (17.6%) | |||
JPMorgan Chase & Co. | 140,536 | 6,670 | |
Wells Fargo & Co. | 179,570 | 6,642 | |
Goldman Sachs Group Inc. | 27,200 | 4,002 | |
US Bancorp | 105,850 | 3,591 | |
American Express Co. | 48,620 | 3,280 | |
Travelers Cos. Inc. | 36,800 | 3,098 | |
State Street Corp. | 52,000 | 3,073 | |
Allstate Corp. | 60,900 | 2,988 | |
Discover Financial Services | 64,900 | 2,910 | |
* | American International | ||
Group Inc. | 73,600 | 2,857 | |
Fifth Third Bancorp | 157,000 | 2,561 | |
SunTrust Banks Inc. | 87,900 | 2,532 | |
Lincoln National Corp. | 76,600 | 2,498 | |
* | Berkshire Hathaway Inc. | ||
Class B | 21,700 | 2,261 | |
Bank of America Corp. | 157,700 | 1,921 | |
Allied World Assurance Co. | |||
Holdings AG | 20,341 | 1,886 | |
* | American Capital Ltd. | 117,900 | 1,721 |
* | World Acceptance Corp. | 19,156 | 1,645 |
HCP Inc. | 28,400 | 1,416 | |
Ventas Inc. | 19,000 | 1,391 | |
Weyerhaeuser Co. | 41,700 | 1,309 | |
Morgan Stanley | 59,300 | 1,303 | |
General Growth | |||
Properties Inc. | 56,000 | 1,113 | |
Omega Healthcare | |||
Investors Inc. | 36,500 | 1,108 | |
Kimco Realty Corp. | 48,700 | 1,091 | |
Everest Re Group Ltd. | 8,400 | 1,091 | |
CBL & Associates | |||
Properties Inc. | 44,400 | 1,048 | |
Lexington Realty Trust | 88,700 | 1,047 | |
Weingarten Realty Investors | 31,500 | 994 | |
Brandywine Realty Trust | 64,400 | 956 | |
Citigroup Inc. | 21,400 | 947 | |
Nelnet Inc. Class A | 27,800 | 940 | |
* | St. Joe Co. | 40,700 | 865 |
* | Realogy Holdings Corp. | 16,200 | 791 |
Regions Financial Corp. | 94,000 | 770 | |
National Retail Properties Inc. | 19,800 | 716 | |
Prologis Inc. | 15,000 | 600 | |
Simon Property Group Inc. | 2,600 | 412 | |
Regency Centers Corp. | 5,500 | 291 | |
* | Howard Hughes Corp. | 1,600 | 134 |
76,469 | |||
Health Care (11.4%) | |||
Pfizer Inc. | 210,964 | 6,088 | |
AbbVie Inc. | 97,600 | 3,980 | |
Eli Lilly & Co. | 65,420 | 3,715 | |
Abbott Laboratories | 97,500 | 3,444 | |
Merck & Co. Inc. | 73,683 | 3,259 | |
Johnson & Johnson | 38,507 | 3,139 |
Becton Dickinson and Co. | 29,100 | 2,782 | |
Cigna Corp. | 43,300 | 2,701 | |
Zimmer Holdings Inc. | 33,400 | 2,512 | |
* | CareFusion Corp. | 69,300 | 2,425 |
ResMed Inc. | 50,100 | 2,323 | |
* | Mylan Inc. | 79,200 | 2,292 |
* | Pharmacyclics Inc. | 26,200 | 2,107 |
* | Covance Inc. | 26,200 | 1,947 |
* | Charles River Laboratories | ||
International Inc. | 42,600 | 1,886 | |
* | Actavis Inc. | 19,300 | 1,778 |
Warner Chilcott plc Class A | 94,200 | 1,276 | |
Omnicare Inc. | 20,600 | 839 | |
Medtronic Inc. | 13,300 | 625 | |
Baxter International Inc. | 8,400 | 610 | |
49,728 | |||
Industrials (11.8%) | |||
General Electric Co. | 353,880 | 8,182 | |
Union Pacific Corp. | 28,200 | 4,016 | |
Boeing Co. | 45,900 | 3,941 | |
Chicago Bridge & Iron | |||
Co. NV | 44,500 | 2,763 | |
Ingersoll-Rand plc | 50,100 | 2,756 | |
Raytheon Co. | 46,500 | 2,734 | |
Northrop Grumman Corp. | 38,530 | 2,703 | |
Lockheed Martin Corp. | 27,200 | 2,625 | |
Textron Inc. | 85,900 | 2,561 | |
Masco Corp. | 125,700 | 2,545 | |
* | Delta Air Lines Inc. | 148,100 | 2,445 |
* | Alaska Air Group Inc. | 32,300 | 2,066 |
* | Terex Corp. | 55,900 | 1,924 |
Honeywell International Inc. | 22,300 | 1,680 | |
United Parcel Service Inc. | |||
Class B | 17,300 | 1,486 | |
Avery Dennison Corp. | 29,100 | 1,253 | |
Dun & Bradstreet Corp. | 14,900 | 1,246 | |
Lincoln Electric Holdings Inc. | 17,500 | 948 | |
* | US Airways Group Inc. | 45,700 | 776 |
Deluxe Corp. | 18,300 | 758 | |
3M Co. | 6,000 | 638 | |
Cintas Corp. | 13,200 | 583 | |
L-3 Communications | |||
Holdings Inc. | 5,200 | 421 | |
Illinois Tool Works Inc. | 4,300 | 262 | |
Emerson Electric Co. | 2,400 | 134 | |
FedEx Corp. | 1,100 | 108 | |
51,554 | |||
Information Technology (17.5%) | |||
Apple Inc. | 21,020 | 9,304 | |
International Business | |||
Machines Corp. | 37,342 | 7,965 | |
Oracle Corp. | 154,348 | 4,992 | |
Cisco Systems Inc. | 179,350 | 3,750 | |
Mastercard Inc. Class A | 6,400 | 3,463 |
23
Structured Broad Market Fund
Market | |||
Value | |||
Shares | ($000) | ||
Microsoft Corp. | 120,597 | 3,450 | |
Accenture plc Class A | 45,300 | 3,441 | |
* | Google Inc. Class A | 3,600 | 2,859 |
Motorola Solutions Inc. | 44,200 | 2,830 | |
* | Symantec Corp. | 112,800 | 2,784 |
Hewlett-Packard Co. | 114,100 | 2,720 | |
Western Digital Corp. | 52,900 | 2,660 | |
Computer Sciences Corp. | 50,800 | 2,501 | |
* | Unisys Corp. | 97,500 | 2,218 |
* | Cadence Design | ||
Systems Inc. | 158,300 | 2,205 | |
* | Alliance Data Systems Corp. | 12,900 | 2,088 |
Intel Corp. | 93,990 | 2,054 | |
* | Gartner Inc. | 37,400 | 2,035 |
Anixter International Inc. | 27,400 | 1,916 | |
Heartland Payment | |||
Systems Inc. | 50,900 | 1,678 | |
* | LSI Corp. | 226,700 | 1,537 |
* | NCR Corp. | 54,200 | 1,494 |
Texas Instruments Inc. | 40,000 | 1,419 | |
* | Freescale | ||
Semiconductor Ltd. | 76,000 | 1,132 | |
NVIDIA Corp. | 85,400 | 1,095 | |
* | Brocade Communications | ||
Systems Inc. | 148,800 | 859 | |
Harris Corp. | 17,000 | 788 | |
QUALCOMM Inc. | 9,100 | 609 | |
MAXIMUS Inc. | 3,400 | 272 | |
* | Zebra Technologies Corp. | 4,400 | 207 |
76,325 | |||
Materials (3.4%) | |||
Monsanto Co. | 33,900 | 3,581 | |
Sherwin-Williams Co. | 15,500 | 2,618 | |
PPG Industries Inc. | 19,250 | 2,578 | |
CF Industries Holdings Inc. | 11,250 | 2,142 | |
Huntsman Corp. | 98,600 | 1,833 | |
LyondellBasell Industries | |||
NV Class A | 13,800 | 873 | |
Westlake Chemical Corp. | 8,800 | 823 | |
Axiall Corp. | 9,442 | 587 | |
15,035 | |||
Telecommunication Services (3.0%) | |||
AT&T Inc. | 204,429 | 7,501 | |
Verizon Communications | |||
Inc. | 111,057 | 5,458 | |
12,959 |
Utilities (3.4%) | |||
Public Service Enterprise | |||
Group Inc. | 75,700 | 2,600 | |
Edison International | 50,500 | 2,541 | |
PG&E Corp. | 56,900 | 2,534 | |
DTE Energy Co. | 35,700 | 2,440 | |
PNM Resources Inc. | 90,100 | 2,098 | |
Pinnacle West Capital Corp. | 13,800 | 799 | |
American Water Works | |||
Co. Inc. | 17,600 | 729 | |
Ameren Corp. | 18,900 | 662 | |
Wisconsin Energy Corp. | 7,700 | 330 | |
14,733 | |||
Total Common Stocks | |||
(Cost $342,790) | 434,058 | ||
Temporary Cash Investments (0.4%)1 | |||
Money Market Fund (0.4%) | |||
2 | Vanguard Market | ||
Liquidity Fund, | |||
0.147% | 1,715,455 | 1,715 | |
Face | |||
Amount | |||
($000) | |||
U.S. Government and Agency Obligations (0.0%) | |||
3,4 | Fannie Mae Discount | ||
Notes, 0.120%, 6/5/13 | 100 | 100 | |
4,5 | Federal Home Loan | ||
Bank Discount Notes, | |||
0.110%, 5/15/13 | 100 | 100 | |
200 | |||
Total Temporary Cash Investments | |||
(Cost $1,915) | 1,915 | ||
Total Investments (100.1%) | |||
(Cost $344,705) | 435,973 | ||
Other Assets and Liabilities (-0.1%) | |||
Other Assets | 733 | ||
Liabilities | (1,367) | ||
(634) | |||
Net Assets (100%) | 435,339 |
24
Structured Broad Market Fund
At March 31, 2013, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 355,713 |
Undistributed Net Investment Income | 1,492 |
Accumulated Net Realized Losses | (13,147) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 91,268 |
Futures Contracts | 13 |
Net Assets | 435,339 |
Institutional Shares—Net Assets | |
Applicable to 473,969 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 14,171 |
Net Asset Value Per Share— | |
Institutional Shares | $29.90 |
Institutional Plus Shares—Net Assets | |
Applicable to 7,050,152 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 421,168 |
Net Asset Value Per Share— | |
Institutional Plus Shares | $59.74 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.1%, 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 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the
Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange
for senior preferred stock.
4 Securities with a value of $200,000 have been segregated as initial margin for open futures contracts.
5 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the
full faith and credit of the U.S. government.
See accompanying Notes, which are an integral part of the Financial Statements.
25
Structured Broad Market Fund
Statement of Operations
Six Months Ended | |
March 31, 2013 | |
($000) | |
Investment Income | |
Income | |
Dividends | 4,615 |
Interest1 | 2 |
Security Lending | 9 |
Total Income | 4,626 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 197 |
Management and Administrative—Institutional Shares | 8 |
Management and Administrative—Institutional Plus Shares | 108 |
Marketing and Distribution—Institutional Shares | — |
Marketing and Distribution—Institutional Plus Shares | 24 |
Custodian Fees | 4 |
Total Expenses | 341 |
Net Investment Income | 4,285 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 23,819 |
Futures Contracts | 189 |
Realized Net Gain (Loss) | 24,008 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 20,931 |
Futures Contracts | 33 |
Change in Unrealized Appreciation (Depreciation) | 20,964 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 49,257 |
1 Interest income from an affiliated company of the fund was $2,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
26
Structured Broad Market Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
March 31, | September 30, | |
2013 | 2012 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 4,285 | 7,973 |
Realized Net Gain (Loss) | 24,008 | 25,899 |
Change in Unrealized Appreciation (Depreciation) | 20,964 | 58,865 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 49,257 | 92,737 |
Distributions | ||
Net Investment Income | ||
Institutional Shares | (156) | (119) |
Institutional Plus Shares | (8,303) | (6,371) |
Realized Capital Gain | ||
Institutional Shares | — | — |
Institutional Plus Shares | — | — |
Total Distributions | (8,459) | (6,490) |
Capital Share Transactions | ||
Institutional Shares | 5,306 | 119 |
Institutional Plus Shares | 2,609 | 4,615 |
Net Increase (Decrease) from Capital Share Transactions | 7,915 | 4,734 |
Total Increase (Decrease) | 48,713 | 90,981 |
Net Assets | ||
Beginning of Period | 386,626 | 295,645 |
End of Period1 | 435,339 | 386,626 |
1 Net Assets—End of Period includes undistributed net investment income of $1,492,000 and $5,666,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
27
Structured Broad Market Fund
Financial Highlights
Institutional Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | March 31, | Year Ended September 30, | |||||
Throughout Each Period | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | |
Net Asset Value, Beginning of Period | $27.10 | $21.03 | $20.70 | $18.99 | $21.53 | $28.67 | |
Investment Operations | |||||||
Net Investment Income | . 290 | . 544 | . 3851 | .376 | .3521 | .402 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | 3.085 | 5.973 | . 338 | 1.672 | (2.500) | (6.833) | |
Total from Investment Operations | 3.375 | 6.517 | .723 | 2.048 | (2.148) | (6.431) | |
Distributions | |||||||
Dividends from Net Investment Income | (. 575) | (. 447) | (. 393) | (. 338) | (. 392) | (. 280) | |
Distributions from Realized Capital Gains | — | — | — | — | — | (. 429) | |
Total Distributions | (. 575) | (. 447) | (. 393) | (. 338) | (. 392) | (.709) | |
Net Asset Value, End of Period | $29.90 | $27.10 | $21.03 | $20.70 | $18.99 | $21.53 | |
Total Return | 12.71% | 31.43% | 3.37% | 10.88% | -9.67% | -22.95% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $14 | $7 | $6 | $5 | $4 | $4 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.24% | 0.24% | 0.24% | 0.24% | 0.25% | 0.20% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 2.11% | 2.19% | 1.64% | 1.91% | 2.15% | 1.72% | |
Portfolio Turnover Rate | 63% | 58% | 56% | 52% | 62% | 70% | |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized. | |||||||
1 Calculated based on average shares outstanding. |
See accompanying Notes, which are an integral part of the Financial Statements.
28
Structured Broad Market Fund
Financial Highlights
Institutional Plus Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | March 31, | Year Ended September 30, | |||||
Throughout Each Period | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | |
Net Asset Value, Beginning of Period | $54.17 | $42.02 | $41.36 | $37.94 | $43.07 | $57.39 | |
Investment Operations | |||||||
Net Investment Income | . 597 | 1.122 | .7961 | .778 | .7251 | .873 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | 6.159 | 11.951 | . 672 | 3.343 | (5.006) | (13.714) | |
Total from Investment Operations | 6.756 | 13.073 | 1.468 | 4.121 | (4.281) | (12.841) | |
Distributions | |||||||
Dividends from Net Investment Income | (1.186) | (. 923) | (. 808) | (.701) | (. 849) | (. 621) | |
Distributions from Realized Capital Gains | — | — | — | — | — | (.858) | |
Total Distributions | (1.186) | (. 923) | (. 808) | (.701) | (. 849) | (1.479) | |
Net Asset Value, End of Period | $59.74 | $54.17 | $42.02 | $41.36 | $37.94 | $43.07 | |
Total Return | 12.74% | 31.56% | 3.43% | 10.96% | -9.60% | -22.91% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $421 | $379 | $290 | $304 | $275 | $248 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.17% | 0.17% | 0.17% | 0.17% | 0.17% | 0.12% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 2.18% | 2.26% | 1.71% | 1.98% | 2.23% | 1.80% | |
Portfolio Turnover Rate | 63% | 58% | 56% | 52% | 62% | 70% | |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized. | |||||||
1 Calculated based on average shares outstanding. |
See accompanying Notes, which are an integral part of the Financial Statements.
29
Structured Broad Market Fund
Notes to Financial Statements
Vanguard Structured Broad Market Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Institutional Shares and Institutional Plus 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. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The fund may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the six months ended March 30, 2013, the fund’s average investments in futures contracts represented less than 1% of net assets, based on quarterly aggregate settlement values.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (September 30, 2009–2012), and for the period ended March 31, 2013, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. 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 on the next business day. The fund invests cash collateral received in Vanguard Market
30
Structured Broad Market Fund
Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents fees charged to borrowers plus income earned on investing cash collateral, less expenses associated with the loan.
6. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At March 31, 2013, the fund had contributed capital of $54,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.02% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of March 31, 2013, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 434,058 | — | — |
Temporary Cash Investments | 1,715 | 200 | — |
Futures Contracts—Assets1 | 5 | — | — |
Total | 435,778 | 200 | — |
1 Represents variation margin on the last day of the reporting period. |
31
Structured Broad Market Fund
D. At March 31, 2013, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
E-mini S&P 500 Index | June 2013 | 16 | 1,250 | 13 |
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.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at September 30, 2012, the fund had available capital losses totaling $37,168,000 to offset future net capital gains through September 30, 2018. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending September 30, 2013; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At March 31, 2013, the cost of investment securities for tax purposes was $344,705,000. Net unrealized appreciation of investment securities for tax purposes was $91,268,000, consisting of unrealized gains of $94,478,000 on securities that had risen in value since their purchase and $3,210,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended March 31, 2013, the fund purchased $130,910,000 of investment securities and sold $126,357,000 of investment securities, other than temporary cash investments.
32
Structured Broad Market Fund
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
March 31, 2013 | September 30, 2012 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Institutional Shares | ||||
Issued | 5,150 | 197 | — | — |
Issued in Lieu of Cash Distributions | 156 | 6 | 119 | 5 |
Redeemed | — | — | — | — |
Net Increase (Decrease) —Institutional Shares | 5,306 | 203 | 119 | 5 |
Institutional Plus Shares | ||||
Issued | — | — | 2,634 | 55 |
Issued in Lieu of Cash Distributions | 2,609 | 49 | 1,981 | 44 |
Redeemed | — | — | — | — |
Net Increase (Decrease) —Institutional Plus Shares | 2,609 | 49 | 4,615 | 99 |
At March 31, 2013, one shareholder was the record or beneficial owner of 88% of the fund’s net assets. If the shareholder were to redeem its investment in the fund, the redemption might result in an increase in the fund’s expense ratio, cause the fund to incur higher transaction costs, or lead to the realization of taxable capital gains.
H. In preparing the financial statements as of March 31, 2013, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
33
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
34
Six Months Ended March 31, 2013 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
9/30/2012 | 3/31/2013 | Period | |
Based on Actual Fund Return | |||
Structured Large-Cap Equity Fund | |||
Institutional Shares | $1,000.00 | $1,107.09 | $1.26 |
Institutional Plus Shares | 1,000.00 | 1,107.55 | 0.89 |
Structured Broad Market Fund | |||
Institutional Shares | $1,000.00 | $1,127.14 | $1.27 |
Institutional Plus Shares | 1,000.00 | 1,127.40 | 0.90 |
Based on Hypothetical 5% Yearly Return | |||
Structured Large-Cap Equity Fund | |||
Institutional Shares | $1,000.00 | $1,023.73 | $1.21 |
Institutional Plus Shares | 1,000.00 | 1,024.08 | 0.86 |
Structured Broad Market Fund | |||
Institutional Shares | $1,000.00 | $1,023.73 | $1.21 |
Institutional Plus Shares | 1,000.00 | 1,024.08 | 0.86 |
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 Structured Large-Cap Equity Fund, 0.24% for Institutional Shares and 0.17% for Institutional Plus Shares; for the Structured
Broad Market Fund, 0.24% for Institutional Shares and 0.17% for Institutional Plus Shares. The dollar amounts shown as “Expenses Paid” are
equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most
recent six-month period, then divided by the number of days in the most recent 12-month period.
35
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard Structured Large-Cap Equity and Structured Broad Market Funds has renewed the funds’ investment advisory arrangement with The Vanguard Group, Inc. (Vanguard). Vanguard—through its Equity Investment Group—serves as investment advisor to the funds. The board determined that continuing the funds’ internalized management structure was in the best interests of the funds and their shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board considered the quality of each fund’s investment management services since its inception, and took into account the organizational depth and stability of the advisor. The board noted that Vanguard has been managing investments for more than three decades. The Equity Investment Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement.
Investment performance
The board considered the performance of the funds since their inceptions, including any periods of outperformance or underperformance relative to a benchmark index and peer group. The board concluded that the performance was such that the advisory arrangement should continue. Information about each fund’s most recent performance can be found in the Performance Summary pages of this report.
Cost
The board concluded that the funds’ expense ratios were well below the average expense ratios charged by funds in their respective peer groups and that the funds’ advisory fee rates were also well below their peer-group averages. Information about the funds’ expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements sections.
The board does not conduct a profitability analysis of Vanguard, because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the funds’ at-cost arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangement again after a one-year period.
36
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.
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.
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.
37
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.
38
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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 180 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
InterestedTrustee1 | and Delphi Automotive LLP (automotive components); |
Senior Advisor at New Mountain Capital; Trustee of | |
F. William McNabb III | The Conference Board. |
Born 1957. Trustee Since July 2009. Chairman of the | |
Board. Principal Occupation(s) During the Past Five | Amy Gutmann |
Years: Chairman of the Board of The Vanguard Group, | Born 1949. Trustee Since June 2006. Principal |
Inc., and of each of the investment companies served | Occupation(s) During the Past Five Years: President |
by The Vanguard Group, since January 2010; Director | of the University of Pennsylvania; Christopher H. |
of The Vanguard Group since 2008; Chief Executive | Browne Distinguished Professor of Political Science |
Officer and President of The Vanguard Group and of | in the School of Arts and Sciences with secondary |
each of the investment companies served by The | appointments at the Annenberg School for |
Vanguard Group since 2008; Director of Vanguard | Communication and the Graduate School of Education |
Marketing Corporation; Managing Director of The | of the University of Pennsylvania; Member of the |
Vanguard Group (1995–2008). | National Commission on the Humanities and Social |
Sciences; Trustee of Carnegie Corporation of New | |
York and of the National Constitution Center; Chair | |
Independent Trustees | of the U. S. Presidential Commission for the Study |
of Bioethical Issues. | |
Emerson U. Fullwood | |
Born 1948. Trustee Since January 2008. Principal | |
Occupation(s) During the Past Five Years: Executive | JoAnn Heffernan Heisen |
Chief Staff and Marketing Officer for North America | Born 1950. Trustee Since July 1998. Principal |
and Corporate Vice President (retired 2008) of Xerox | Occupation(s) During the Past Five Years: Corporate |
Corporation (document management products and | Vice President and Chief Global Diversity Officer |
services); Executive in Residence and 2010 | (retired 2008) and Member of the Executive |
Distinguished Minett Professor at the Rochester | Committee (1997–2008) of Johnson & Johnson |
Institute of Technology; Director of SPX Corporation | (pharmaceuticals/medical devices/consumer |
(multi-industry manufacturing), the United Way of | products); Director of Skytop Lodge Corporation |
Rochester, Amerigroup Corporation (managed health | (hotels), the University Medical Center at Princeton, |
care), the University of Rochester Medical Center, | the Robert Wood Johnson Foundation, and the Center |
Monroe Community College Foundation, and North | for Talent Innovation; Member of the Advisory Board |
Carolina A&T University. | of the Maxwell School of Citizenship and Public Affairs |
at Syracuse University. | |
Rajiv L. Gupta | F. Joseph Loughrey |
Born 1945. Trustee Since December 2001.2 | Born 1949. Trustee Since October 2009. Principal |
Principal Occupation(s) During the Past Five Years: | Occupation(s) During the Past Five Years: President |
Chairman and Chief Executive Officer (retired 2009) | and Chief Operating Officer (retired 2009) of Cummins |
and President (2006–2008) of Rohm and Haas Co. | Inc. (industrial machinery); Chairman of the Board of |
(chemicals); Director of Tyco International, Ltd. | Hillenbrand, Inc. (specialized consumer services); |
(diversified manufacturing and services), Hewlett- | Director of SKF AB (industrial machinery), the Lumina |
Packard Co. (electronic computer manufacturing), |
Foundation for Education, and Oxfam America; | Executive Officers | |
Chairman of the Advisory Council for the College of | ||
Arts and Letters and Member of the Advisory Board to | Glenn Booraem | |
the Kellogg Institute for International Studies at the | Born 1967. Controller Since July 2010. Principal | |
University of Notre Dame. | Occupation(s) During the Past Five Years: Principal | |
of The Vanguard Group, Inc.; Controller of each of | ||
Mark Loughridge | the investment companies served by The Vanguard | |
Born 1953. Trustee Since March 2012. Principal | Group; Assistant Controller of each of the investment | |
Occupation(s) During the Past Five Years: Senior Vice | companies served by The Vanguard Group (2001–2010). | |
President and Chief Financial Officer at IBM (information | ||
technology services); Fiduciary Member of IBM’s | Thomas J. Higgins | |
Retirement Plan Committee. | Born 1957. Chief Financial Officer Since September | |
2008. Principal Occupation(s) During the Past Five | ||
Scott C. Malpass | Years: Principal of The Vanguard Group, Inc.; Chief | |
Born 1962. Trustee Since March 2012. Principal | Financial Officer of each of the investment companies | |
Occupation(s) During the Past Five Years: Chief | served by The Vanguard Group; Treasurer of each of | |
Investment Officer and Vice President at the University | the investment companies served by The Vanguard | |
of Notre Dame; Assistant Professor of Finance at the | Group (1998–2008). | |
Mendoza College of Business at Notre Dame; Member | ||
of the Notre Dame 403(b) Investment Committee; | Kathryn J. Hyatt | |
Director of TIFF Advisory Services, Inc. (investment | Born 1955. Treasurer Since November 2008. Principal | |
advisor); Member of the Investment Advisory | Occupation(s) During the Past Five Years: Principal of | |
Committees of the Financial Industry Regulatory | The Vanguard Group, Inc.; Treasurer of each of the | |
Authority (FINRA) and of Major League Baseball. | investment companies served by The Vanguard | |
Group; Assistant Treasurer of each of the investment | ||
André F. Perold | companies served by The Vanguard Group (1988–2008). | |
Born 1952. Trustee Since December 2004. Principal | ||
Occupation(s) During the Past Five Years: George | Heidi Stam | |
Gund Professor of Finance and Banking at the Harvard | Born 1956. Secretary Since July 2005. Principal | |
Business School (retired 2011); Chief Investment | Occupation(s) During the Past Five Years: Managing | |
Officer and Managing Partner of HighVista Strategies | Director of The Vanguard Group, Inc.; General Counsel | |
LLC (private investment firm); Director of Rand | of The Vanguard Group; Secretary of The Vanguard | |
Merchant Bank; Overseer of the Museum of Fine | Group and of each of the investment companies | |
Arts Boston. | served by The Vanguard Group; Director and Senior | |
Vice President of Vanguard Marketing Corporation. | ||
Alfred M. Rankin, Jr. | ||
Born 1941. Trustee Since January 1993. Principal | Vanguard Senior ManagementTeam | |
Occupation(s) During the Past Five Years: Chairman, | ||
President, and Chief Executive Officer of NACCO | Mortimer J. Buckley | Chris D. McIsaac |
Industries, Inc. (housewares/lignite) and of Hyster-Yale | Kathleen C. Gubanich | Michael S. Miller |
Materials Handling, Inc. (forklift trucks); Director of | Paul A. Heller | James M. Norris |
the National Association of Manufacturers; Chairman | Martha G. King | Glenn W. Reed |
of the Board of University Hospitals of Cleveland; | John T. Marcante | |
Advisory Chairman of the Board of The Cleveland | ||
Museum of Art. | ||
Chairman Emeritus and Senior Advisor | ||
John J. Brennan | ||
Peter F. Volanakis | Chairman, 1996–2009 | |
Born 1955. Trustee Since July 2009. Principal | ||
Occupation(s) During the Past Five Years: President | Chief Executive Officer and President, 1996–2008 | |
and Chief Operating Officer (retired 2010) of Corning | ||
Incorporated (communications equipment); Director | ||
of SPX Corporation (multi-industry manufacturing); | Founder | |
Overseer of the Amos Tuck School of Business | John C. Bogle | |
Administration at Dartmouth College; Advisor to the | ||
Norris Cotton Cancer Center. | Chairman and Chief Executive Officer, 1974–1996 |
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the
Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard
State Tax-Exempt Funds.
P.O. Box 2600 | ||
Valley Forge, PA 19482-2600 | ||
Connect with Vanguard® > vanguard.com | ||
Fund Information > 800-662-7447 | CFA® is a trademark owned by CFA Institute. | |
Direct Investor Account Services > 800-662-2739 | ||
Institutional Investor Services > 800-523-1036 | ||
Text Telephone for People | ||
With Hearing Impairment > 800-749-7273 | ||
This material may be used in conjunction | ||
with the offering of shares of any Vanguard | ||
fund only if preceded or accompanied by | ||
the fund’s current prospectus. | ||
All comparative mutual fund data are from Lipper Inc. or | ||
Morningstar, Inc., unless otherwise noted. | ||
You can obtain a free copy of Vanguard’s proxy voting | ||
guidelines by visiting vanguard.com/proxyreporting or by | ||
calling Vanguard at 800-662-2739. The guidelines are | ||
also available from the SEC’s website, sec.gov. In | ||
addition, you may obtain a free report on how your fund | ||
voted the proxies for securities it owned during the 12 | ||
months ended June 30. To get the report, visit either | ||
vanguard.com/proxyreporting or sec.gov. | ||
You can review and copy information about your fund at | ||
the SEC’s Public Reference Room in Washington, D.C. To | ||
find out more about this public service, call the SEC at | ||
202-551-8090. Information about your fund is also | ||
available on the SEC’s website, and you can receive | ||
copies of this information, for a fee, by sending a | ||
request in either of two ways: via e-mail addressed to | ||
publicinfo@sec.gov or via regular mail addressed to the | ||
Public Reference Section, Securities and Exchange | ||
Commission, Washington, DC 20549-1520. | ||
© 2013 The Vanguard Group, Inc. | ||
All rights reserved. | ||
Vanguard Marketing Corporation, Distributor. | ||
Q08702 052013 |
Item 2: Code of Ethics.
Not Applicable.
Item 3: Audit Committee Financial Expert.
Not Applicable.
Item 4: Principal Accountant Fees and Services.
Not Applicable.
Item 5: Audit Committee of Listed Registrants.
Not Applicable.
Item 6: Investments.
Not Applicable.
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management
Investment Companies.
Not Applicable.
Item 8: Portfolio Managers of Closed-End Management Investment Companies.
Not Applicable.
Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and
Affiliated Purchasers.
Not Applicable.
Item 10: Submission of Matters to a Vote of Security Holders.
Not Applicable.
Item 11: Controls and Procedures.
(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
(b) Internal Control Over Financial Reporting. There were no significant changes in Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12: Exhibits.
(a) Certifications.
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment
Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by
the undersigned, thereunto duly authorized.
VANGUARD QUANTITATIVE FUNDS | |
BY: | /s/ F. WILLIAM MCNABB III* |
F. WILLIAM MCNABB III | |
CHIEF EXECUTIVE OFFICER | |
Date: May 17, 2013 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
VANGUARD QUANTITATIVE FUNDS | |
BY: | /s/ F. WILLIAM MCNABB III* |
F. WILLIAM MCNABB III | |
CHIEF EXECUTIVE OFFICER | |
Date: May 17, 2013 | |
| VANGUARD QUANTITATIVE FUNDS |
BY: | /s/ THOMAS J. HIGGINS* |
THOMAS J. HIGGINS | |
CHIEF FINANCIAL OFFICER | |
Date: May 17, 2013 |
* By: /s/ Heidi Stam
Heidi Stam, pursuant to a Power of Attorney filed on March 27, 2012 see file Number 2-11444, Incorporated by Reference.