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: 811-7043
Name of Registrant: Vanguard Admiral 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: August 31
Date of reporting period: September 1, 2010 – August 31, 2011
Item 1: Reports to Shareholders
Annual Report | August 31, 2011 |
Vanguard Money Market Funds |
Vanguard Prime Money Market Fund |
Vanguard Federal Money Market Fund |
Vanguard AdmiralTM Treasury Money Market Fund |
> For the 12 months ended August 31, 2011, the Vanguard Money Market Funds earned near-zero returns.
> Money market yields have remained negligible because of the Federal Reserve’s ongoing low-interest-rate policy.
> The three Vanguard funds posted slightly positive returns, while the average return of peer-group funds was 0%.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
Advisor’s Report. | 8 |
Prime Money Market Fund. | 9 |
Federal Money Market Fund. | 32 |
Admiral Treasury Money Market Fund. | 43 |
About Your Fund’s Expenses. | 54 |
Trustees Approve Advisory Arrangement. | 56 |
Glossary. | 57 |
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: Vanguard was named for the HMS Vanguard, flagship of British Admiral Horatio Nelson. A ship—whose performance and safety depend on the work of all hands—has served as a fitting metaphor for the Vanguard crew as we strive to help clients reach their financial goals.
Your Fund’s Total Returns
Fiscal Year Ended August 31, 2011
7-Day SEC | Total | |
Yields | Returns | |
Vanguard Prime Money Market Fund | ||
Investor Shares | 0.03% | 0.06% |
Institutional Shares | 0.11 | 0.17 |
Money Market Funds Average | 0.00 | |
Money Market Funds Average: Derived from data provided by Lipper Inc. | ||
Vanguard Federal Money Market Fund | 0.01% | 0.02% |
Government Money Market Funds Average | 0.00 | |
Government Money Market Funds Average: Derived from data provided by Lipper Inc. | ||
Vanguard Admiral Treasury Money Market Fund | 0.01% | 0.02% |
iMoneyNet Money Fund Report’s 100% Treasury Funds Average | 0.00 | |
iMoneyNet Money Fund Report’s 100% Treasury Funds Average: Derived from data provided by iMoneyNet, Inc. |
The 7-day SEC yield of a money market fund more closely reflects the current earnings of the fund than its total return.
Institutional Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria.
1
Chairman’s Letter
Dear Shareholder,
Money market funds over the past 12 months have once again generated negligible returns. Yields of the Vanguard Money Market Funds continued to hover barely above zero as the Federal Reserve held short-term interest rates between 0% and 0.25%. Toward the end of the period, the Fed indicated that it expected to maintain this exceptionally low target at least through mid-2013.
Although it is small comfort, the funds’ advisor, Vanguard Fixed Income Group, has successfully navigated this challenging environment. Our funds’ returns, although tiny, were higher than the 0% average return of their peers.
Just as important, our money market funds followed their mandate to invest in very high-credit-quality securities, thus preserving our shareholders’ principal. Throughout the fiscal year, our three money market funds maintained a net asset value of $1 per share, as is expected but not guaranteed. On August 31, the Prime Money Market Fund’s 7-day SEC yield was 0.03% for Investor Shares, down from 0.07% six months earlier. As expected, the other funds’ yields were even lower.
As I mentioned in our last report to you, U.S. money market funds continue to implement changes required by the Securities and Exchange Commission (SEC) in reaction to the financial crisis of 2008. Besides shortening their average
2
maturity from 90 days to 60 days—which can reduce yields but enhance fund liquidity—money market funds are now posting their holdings five business days after the end of each month on their websites. In addition, the SEC is now posting funds’ “shadow net asset values” at month-end on its own site, with a 60-day delay. Shadow NAVs reflect the typically very minute differences between the amortized cost and the market prices of fund investments.
We have supported these enhancements to transparency and quality. As federal policymakers consider additional changes, Vanguard has been providing research and comments. These developments have not affected the high standards for credit quality and liquidity that we have always applied. We continue to believe that money market funds play an important role in our investors’ portfolios, as well as in the U.S. marketplace and economy.
Treasuries rallied as risk aversion returned
While the yields of money market instruments hovered near zero, bond yields rose (and prices declined) in the first half of the 12-month period as the prospect of improved economic growth and inflationary pressures set the bond market’s tone. Corporate bonds outperformed U.S. Treasury securities.
In the second half, risk aversion set the tone. Investors bid up Treasuries, trimming the yield of the 10-year Treasury note to barely 2%, and government bonds were
Market Barometer
Average Annual Total Returns | |||
Periods Ended August 31, 2011 | |||
One | Three | Five | |
Year | Years | Years | |
Bonds | |||
Barclays Capital U.S. Aggregate Bond Index (Broad | |||
taxable market) | 4.62% | 7.23% | 6.56% |
Barclays Capital Municipal Bond Index (Broad tax-exempt | |||
market) | 2.66 | 6.00 | 4.94 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.12 | 0.24 | 1.69 |
Stocks | |||
Russell 1000 Index (Large-caps) | 19.06% | 0.84% | 1.11% |
Russell 2000 Index (Small-caps) | 22.19 | 0.83 | 1.53 |
Dow Jones U.S. Total Stock Market Index | 19.16 | 1.18 | 1.52 |
MSCI All Country World Index ex USA (International) | 10.34 | -0.97 | 0.79 |
CPI | |||
Consumer Price Index | 3.77% | 1.12% | 2.13% |
3
among the market’s best performers. For the full year, the taxable investment-grade U.S. bond market returned 4.62%; the broad municipal bond market returned 2.66%.
Strong 12-month returns in a tale of two markets
Global stock markets delivered strong returns in a fiscal year marked by distinct periods of strength and then weakness. During the first six months, stock prices surged, with the broad U.S. stock market returning about 29%. As the slow, grinding economic recovery seemed to gather momentum, energy and industrial stocks, which are keenly sensitive to the rhythms of the business cycle, produced the best returns.
In the second six months, growth decelerated and stock market volatility spiked, amplified by Europe’s sovereign-debt drama, political wrangling over the U.S. debt ceiling, and Standard & Poor’s decision to downgrade the U.S. credit rating. (Vanguard’s confidence in the “full faith and credit” of the U.S. government remains unshaken.) Stock prices retreated, and those sectors that led the market in the first half lost ground in the second, displaced as leaders by defensive sectors such as utilities and consumer staples.
Maintaining high credit quality is a critical consideration
Since the Federal Reserve lowered short-term rates to historic lows nearly three years ago, money market fund
Expense Ratios
Your Fund Compared With Its Peer Group
Investor | Institutional | Peer Group | |
Shares | Shares | Average | |
Prime Money Market Fund | 0.23% | 0.09% | 0.40% |
Federal Money Market Fund | 0.22 | — | 0.29 |
Admiral Treasury Money Market Fund | 0.14 | — | 0.21 |
The fund expense ratios shown are from the prospectus dated December 23, 2010, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2011, the funds’ expense ratios were: for the Prime Money Market Fund, 0.20% for Investor Shares and 0.09% for Institutional Shares; for the Federal Money Market Fund, 0.19%; for the Admiral Treasury Money Market Fund, 0.11%. The expense ratios for the Federal Money Market Fund and the Admiral Treasury Money Market Fund reflect a temporary reduction in operating expenses (described in Note B of the Notes to Financial Statements). Before the reduction, the expense ratios were: for the Federal Money Market Fund, 0.20%; for the Admiral Treasury Money Market Fund, 0.12%.
Peer groups are: for the Prime Money Market Fund, Money Market Funds; for the Federal Money Market Fund, Government Money Market Funds; for the Admiral Treasury Money Market Fund, U.S. Treasury Money Market Funds.
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yields have fallen to almost nothing. Yields for our three money market funds were a hairsbreadth above zero for the 12 months ended August 31, 2011. Even so, the funds’ returns outpaced the 0% results of their benchmarks and peer-group averages.
At the end of the period, both the Admiral Treasury and Federal Money Market Funds posted a 7-day SEC yield of 0.01%. (These funds have been closed to new investors since 2009.) The Investor Shares of the Prime Money Market Fund yielded 0.03%, while the Institutional Shares, because of their lower expense ratio, yielded 0.11%. Returns for the 12 months were marginally higher.
In this environment, our advisor sought to produce as much income as possible consistent with the funds’ mandate of investing only in very high-quality instruments.
In fact, many investors these days are more concerned about credit quality than they are about the low returns produced by all money market funds—after all, fund advisors can’t control market interest rates, but they can control the nature of the securities the fund owns. Every potential holding—particularly for the Prime Money Market Fund, which invests in corporate and government securities—is thoroughly reviewed by a team of experienced credit analysts.
Total Returns
Ten Years Ended August 31, 2011
Average | |
Annual Return | |
Prime Money Market Fund Investor Shares | 2.09% |
Money Market Funds Average | 1.59 |
Money Market Funds Average: Derived from data provided by Lipper Inc. | |
Federal Money Market Fund | 2.02% |
Government Money Market Funds Average | 1.57 |
Government Money Market Funds Average: Derived from data provided by Lipper Inc. | |
Admiral Treasury Money Market Fund | 1.95% |
iMoneyNet Money Fund Report’s 100% Treasury Funds Average | 1.43 |
iMoneyNet Money Fund Report’s 100% Treasury Funds Average: Derived from data provided by iMoneyNet, Inc. |
Investment returns will fluctuate. All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the funds. (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.) An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although a money market fund seeks to preserve the value of your investment at $1 per share, it is possible to lose money by investing in such a fund.
5
The advisor focused on securities issued by higher-rated sources
In recent months, the financial straits of some European governments have led to questions about the impact on money market funds that hold securities issued by banks and other borrowers in the regions. As of August 31, the Prime Money Market Fund had no direct exposure to instruments from issuers based in Greece, Ireland, Italy, Portugal, or Spain—Eurozone countries that, as the daily headlines proclaim, are under intense fiscal pressures. Indeed, the fund has had no such exposure for more than a year.
Most of the fund’s foreign investments are in securities issued by Australian banking institutions. Also represented are issuers from Canada, the United Kingdom, and non-euro countries in Scandinavia. The portfolio owns some securities from creditworthy banks in two Eurozone countries, Luxembourg and the Netherlands. It does not hold any securities from banks based in France or Germany, which have significant exposure to bonds of some of the most distressed Eurozone governments.
On August 31, about half of the Prime Money Market Fund’s assets were invested in U.S. Treasury bills and other U.S. government obligations.
About 24% of its assets were in dollar-denominated certificates of deposit issued mostly by Canadian, Australian, and non-euro European banks. A bit more than 20% of assets were invested in
Changes in Yields
7-Day SEC Yield | ||
August 31, | August 31, | |
2011 | 2010 | |
Prime Money Market Fund | ||
Investor Shares | 0.03% | 0.13% |
Institutional Shares | 0.11 | 0.26 |
Federal Money Market Fund | 0.01 | 0.05 |
Admiral Treasury Money Market Fund | 0.01 | 0.02 |
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commercial paper issued by a wide range of industrial, financial, and governmental institutions across the globe. The portfolio also included a small allocation to U.S. municipal securities.
At the end of the fiscal year, the Admiral Treasury Money Market Fund was invested solely in U.S. Treasury securities, while the Federal Money Market Fund was invested mostly in obligations issued by agencies of the federal government, with the remainder of assets invested in U.S. Treasury bills.
A prudent approach for lean times
When will short-term interest rates emerge from the cellar? No one knows for sure. Predicting their future direction is always an uncertain enterprise, although the Federal Reserve foresees an extended period of rock-bottom rates for money market securities.
In the meantime, Vanguard will continue to manage its money market funds conservatively, with a constant focus on maintaining high credit quality. To that end, the credit analysts in Vanguard Fixed Income Group continually evaluate not only prospective investments but also securities that the portfolio already owns, and they recommend repositioning when warranted.
Balance and diversification for the short and long term
We’re confident that money market funds will remain a key part of the investment landscape, providing investors with a reliable source of stability and liquidity. Their utility is unquestioned, whether serving as a vehicle for investing short- term reserves or as part of a long-term investment plan.
We trust that your portfolio holds a diversified mix of assets, including money market funds, stocks, and bonds, in a steady allocation that fits your long-term needs and your tolerance for risk. Such a balanced, well-diversified portfolio can help put you on the road toward meeting your investment goals.
As always, thank you for your confidence in Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
September 13, 2011
7
Advisor’s Report
Throughout the 12 months ended August 31, 2011, the United States continued to struggle under the weight of the deleveraging crisis that has affected everyone from homeowners to overly indebted nations. Consumers were saving more and spending less, leaving business leaders little incentive to hire in the face of sluggish demand.
The Federal Reserve has taken extraordinary measures designed to aid the U.S. economy, most recently by extending its guidance for low interest rates all the way out to 2013. Interest rates have fallen in response, and the Fed is prepared to do more if necessary.
Portfolio adjustments
In 2011, we made some adjustments to the Prime Money Market Fund portfolio. For more than a year, overindebtedness in the European periphery has been significantly affecting the short-term credit markets. In 2010, we stopped purchasing certificates of deposit and commercial paper from banks in Spain, Italy, France, and Germany. In 2011, as the situation became increasingly difficult, we continued to play defense and reduced our exposure throughout the rest of Europe.
The playbook isn’t very different from the one we followed during the depths of the financial crisis: Avoid credits that are under pressure. Invest in diverse, highly liquid assets. Adjust the portfolio’s position in U.S. Treasury and government securities to reflect current conditions.
We have significantly reduced our investment in bank certificates of deposit, most of which was in European credits. While some of those assets have been reallocated into additional Treasury and government securities, others have been diversified into commercial paper issued by names such as Coca-Cola, Pepsi, and Texas Instruments. We also added a number of high-quality asset-backed commercial paper programs, which provide an additional level of portfolio diversification.
The outlook
Demand for Treasuries remains strong amid investor concerns about market volatility and problems overseas. Treasury bill yields are hovering near 0%, with occasional dips into negative territory. With the Fed on hold for the next two years, these yields likely will remain exceptionally low.
Until the housing market begins to show signs of recovery, we expect the supply of agency securities to remain limited. We also expect agency yields to remain close to U.S. Treasury yields because of the agencies’ close ties to the U.S. government.
In the meantime, our approach will remain very conservative, with an emphasis on credit quality and price stability.
David R. Glocke, Principal
Vanguard Fixed Income Group
September 14, 2011
8
Prime Money Market Fund
Fund Profile
As of August 31, 2011
Financial Attributes | ||
Investor | Institutional | |
Shares | Shares | |
Ticker Symbol | VMMXX | VMRXX |
Expense Ratio1 | 0.23% | 0.09% |
7-Day SEC Yield | 0.03% | 0.11% |
Average Weighted | ||
Maturity | 57 days | 57 days |
Sector Diversification (% of portfolio) | ||
Certificates of Deposit | 0.9% | |
Repurchase Agreements | 0.2 | |
U.S. Treasury Bills | 20.3 | |
Yankee/Foreign | 23.9 | |
Commercial Paper | 20.2 | |
U.S. Government Agency Obligations | 30.1 | |
Other | 4.4 |
The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are not backed by the full faith and credit of the U.S. government.
Distribution by Credit Quality (% of portfolio) | |
First Tier | 100.0% |
For information about these ratings, see the Glossary entry for Credit Quality. |
1 The expense ratios shown are from the prospectus dated December 23, 2010, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2011, the expense ratios were 0.20% for Investor Shares and 0.09% for Institutional Shares.
9
Prime Money Market Fund
Performance Summary
Investment returns will fluctuate. 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.) The returns shown do not reflect taxes that a shareholder would pay on fund distributions. An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the fund seeks to preserve the value of your investment at $1 per share, it is possible to lose money by investing in the fund. The fund’s 7-day SEC yield reflects its current earnings more closely than do the average annual returns.
Cumulative Performance: August 31, 2001, Through August 31, 2011
Initial Investment of $10,000
Average Annual Total Returns | ||||
Periods Ended August 31, 2011 | ||||
Final Value | ||||
One | Five | Ten | of a $10,000 | |
Year | Years | Years | Investment | |
Prime Money Market Fund Investor | ||||
Shares | 0.06% | 2.04% | 2.09% | $12,294 |
Citigroup Three-Month U.S. Treasury | ||||
Bill Index | 0.12 | 1.69 | 1.95 | 12,128 |
Money Market Funds Average | 0.00 | 1.63 | 1.59 | 11,705 |
Money Market Funds Average: Derived from data provided by Lipper Inc.
Final Value | ||||
One | Five | Ten | of a $5,000,000 | |
Year | Years | Years | Investment | |
Prime Money Market Fund Institutional | ||||
Shares | 0.17% | 2.18% | 2.26% | $6,255,143 |
Citigroup Three-Month U.S. Treasury Bill | ||||
Index | 0.12 | 1.69 | 1.95 | 6,063,991 |
Institutional Money Market Funds Average | 0.06 | 1.90 | 1.94 | 6,061,529 |
See Financial Highlights for dividend information.
10
Prime Money Market Fund
Fiscal-Year Total Returns (%): August 31, 2001, Through August 31, 2011
Money | ||
Market | ||
Funds | ||
Investor Shares | Average | |
Fiscal Year | Total Returns | Total Returns |
2002 | 2.09% | 1.40% |
2003 | 1.12 | 0.60 |
2004 | 0.83 | 0.39 |
2005 | 2.31 | 1.68 |
2006 | 4.38 | 3.69 |
2007 | 5.23 | 4.55 |
2008 | 3.60 | 3.02 |
2009 | 1.31 | 0.62 |
2010 | 0.08 | 0.02 |
2011 | 0.06 | 0.00 |
7-day SEC yield (8/31/2011): 0.03% | ||
Money Market Funds Average: Derived from data provided by Lipper Inc. |
Average Annual Total Returns: Periods Ended June 30, 2011
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 6/4/1975 | 0.08% | 2.21% | 2.15% |
Institutional Shares | 10/3/1989 | 0.20 | 2.36 | 2.33 |
11
Prime Money Market Fund
Financial Statements
Statement of Net Assets
As of August 31, 2011
The fund reports a complete list of its holdings in various monthly and quarterly regulatory filings. The fund publishes its holdings on a monthly basis at vanguard.com and files them with the Securities and Exchange Commission on Form N-MFP. The fund’s Form N-MFP filings become public 60 days after the relevant month-end, and may be viewed at sec.gov or via a link on the “Portfolio Holdings” page on vanguard.com. 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 SEC 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).
Face | Market | ||||
Maturity | Amount | Value | |||
Yield1 | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (50.8%) | |||||
2 | Fannie Mae Discount Notes | 0.065% | 9/12/11 | 812,000 | 811,984 |
2 | Fannie Mae Discount Notes | 0.150% | 9/13/11 | 71,600 | 71,596 |
2 | Fannie Mae Discount Notes | 0.085% | 9/14/11 | 30,000 | 29,999 |
2 | Fannie Mae Discount Notes | 0.050%–0.060% | 9/21/11 | 301,500 | 301,491 |
2 | Fannie Mae Discount Notes | 0.085% | 9/22/11 | 240,600 | 240,588 |
2 | Fannie Mae Discount Notes | 0.120% | 10/5/11 | 20,500 | 20,498 |
2 | Fannie Mae Discount Notes | 0.160% | 10/6/11 | 200,000 | 199,969 |
2 | Fannie Mae Discount Notes | 0.060%–0.160% | 10/12/11 | 572,809 | 572,732 |
2 | Fannie Mae Discount Notes | 0.075%–0.190% | 10/19/11 | 613,500 | 613,399 |
2 | Fannie Mae Discount Notes | 0.160% | 10/20/11 | 25,000 | 24,995 |
2 | Fannie Mae Discount Notes | 0.150% | 10/21/11 | 1,500,000 | 1,499,688 |
2 | Fannie Mae Discount Notes | 0.170% | 10/25/11 | 1,000,000 | 999,745 |
2 | Fannie Mae Discount Notes | 0.120%–0.170% | 10/26/11 | 588,507 | 588,364 |
2 | Fannie Mae Discount Notes | 0.150%–0.160% | 11/7/11 | 260,300 | 260,225 |
2 | Fannie Mae Discount Notes | 0.060%–0.080% | 11/9/11 | 95,186 | 95,173 |
2 | Fannie Mae Discount Notes | 0.070% | 11/16/11 | 84,667 | 84,654 |
2 | Federal Home Loan Bank Discount Notes | 0.050%–0.180% | 9/21/11 | 342,806 | 342,774 |
2 | Federal Home Loan Bank Discount Notes | 0.060% | 9/23/11 | 285,000 | 284,990 |
2 | Federal Home Loan Bank Discount Notes | 0.055%–0.140% | 9/28/11 | 1,778,600 | 1,778,464 |
2 | Federal Home Loan Bank Discount Notes | 0.070% | 9/30/11 | 101,238 | 101,232 |
2 | Federal Home Loan Bank Discount Notes | 0.055%–0.120% | 10/5/11 | 248,400 | 248,384 |
2 | Federal Home Loan Bank Discount Notes | 0.040%–0.150% | 10/14/11 | 1,513,890 | 1,513,735 |
2 | Federal Home Loan Bank Discount Notes | 0.075%–0.190% | 10/19/11 | 357,750 | 357,674 |
2 | Federal Home Loan Bank Discount Notes | 0.075%–0.190% | 10/21/11 | 1,230,915 | 1,230,746 |
2 | Federal Home Loan Bank Discount Notes | 0.120%–0.160% | 10/26/11 | 350,000 | 349,921 |
2 | Federal Home Loan Bank Discount Notes | 0.120%–0.145% | 11/2/11 | 200,000 | 199,952 |
2 | Federal Home Loan Bank Discount Notes | 0.060%–0.080% | 11/4/11 | 1,318,277 | 1,318,121 |
2 | Federal Home Loan Bank Discount Notes | 0.080% | 11/14/11 | 255,000 | 254,958 |
2,3 | Federal Home Loan Banks | 0.173% | 1/9/12 | 593,000 | 592,932 |
2,3 | Federal Home Loan Banks | 0.185% | 1/23/12 | 425,000 | 424,958 |
2,3 | Federal Home Loan Banks | 0.184% | 1/26/12 | 405,000 | 404,951 |
2,3 | Federal Home Loan Banks | 0.151% | 2/1/12 | 750,000 | 749,899 |
2,3 | Federal Home Loan Banks | 0.157% | 2/3/12 | 122,000 | 121,984 |
2,3 | Federal Home Loan Banks | 0.162% | 2/3/12 | 484,000 | 483,939 |
2,3 | Federal Home Loan Mortgage Corp. | 0.168% | 12/16/11 | 515,000 | 514,940 |
2,3 | Federal Home Loan Mortgage Corp. | 0.163% | 12/21/11 | 1,500,000 | 1,499,770 |
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Prime Money Market Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Yield1 | Date | ($000) | ($000) | ||
2,3 | Federal Home Loan Mortgage Corp. | 0.168% | 2/16/12 | 470,400 | 470,309 |
2,3 | Federal Home Loan Mortgage Corp. | 0.157% | 8/24/12 | 2,515,000 | 2,513,818 |
2,3 | Federal Home Loan Mortgage Corp. | 0.151% | 2/4/13 | 1,000,000 | 999,272 |
2,3 | Federal Home Loan Mortgage Corp. | 0.173% | 3/21/13 | 907,000 | 906,288 |
2,3 | Federal Home Loan Mortgage Corp. | 0.155% | 5/6/13 | 980,000 | 979,208 |
2,3 | Federal Home Loan Mortgage Corp. | 0.142% | 6/3/13 | 950,000 | 949,326 |
2,3 | Federal Home Loan Mortgage Corp. | 0.160% | 6/17/13 | 83,000 | 82,925 |
2,3 | Federal National Mortgage Assn. | 0.235% | 8/23/12 | 1,455,500 | 1,455,068 |
2,3 | Federal National Mortgage Assn. | 0.240% | 9/17/12 | 988,000 | 987,791 |
2,3 | Federal National Mortgage Assn. | 0.235% | 11/23/12 | 1,772,795 | 1,772,134 |
2,3 | Federal National Mortgage Assn. | 0.243% | 12/20/12 | 494,500 | 494,369 |
2,3 | Federal National Mortgage Assn. | 0.251% | 12/28/12 | 219,000 | 218,941 |
2,3 | Federal National Mortgage Assn. | 0.197% | 8/12/13 | 1,000,000 | 999,408 |
2 | Freddie Mac Discount Notes | 0.150% | 9/14/11 | 79,360 | 79,356 |
2 | Freddie Mac Discount Notes | 0.070% | 9/30/11 | 41,762 | 41,760 |
2 | Freddie Mac Discount Notes | 0.120% | 10/5/11 | 27,000 | 26,997 |
2 | Freddie Mac Discount Notes | 0.050% | 10/6/11 | 50,100 | 50,098 |
2 | Freddie Mac Discount Notes | 0.040% | 10/12/11 | 150,000 | 149,993 |
2 | Freddie Mac Discount Notes | 0.130%–0.160% | 10/17/11 | 182,050 | 182,014 |
2 | Freddie Mac Discount Notes | 0.075%–0.170% | 10/24/11 | 539,300 | 539,184 |
2 | Freddie Mac Discount Notes | 0.170% | 10/31/11 | 489,584 | 489,445 |
2 | Freddie Mac Discount Notes | 0.160% | 11/1/11 | 30,725 | 30,717 |
2 | Freddie Mac Discount Notes | 0.080% | 11/2/11 | 62,300 | 62,291 |
2 | Freddie Mac Discount Notes | 0.070%–0.080% | 11/7/11 | 458,000 | 457,937 |
2 | Freddie Mac Discount Notes | 0.080%–0.150% | 11/9/11 | 331,500 | 331,439 |
2 | Freddie Mac Discount Notes | 0.120%–0.150% | 11/14/11 | 174,529 | 174,484 |
United States Treasury Bill | 0.170% | 9/1/11 | 253,120 | 253,120 | |
United States Treasury Bill | 0.155% | 9/8/11 | 1,000,000 | 999,970 | |
United States Treasury Bill | 0.135% | 9/15/11 | 600,000 | 599,969 | |
United States Treasury Bill | 0.150% | 9/22/11 | 1,500,000 | 1,499,869 | |
United States Treasury Bill | 0.170% | 9/29/11 | 1,500,000 | 1,499,802 | |
United States Treasury Bill | 0.110% | 10/20/11 | 924,000 | 923,862 | |
United States Treasury Bill | 0.115% | 10/27/11 | 1,000,000 | 999,821 | |
United States Treasury Bill | 0.100%–0.115% | 11/3/11 | 3,347,671 | 3,347,006 | |
United States Treasury Bill | 0.100% | 11/25/11 | 1,345,000 | 1,344,682 | |
United States Treasury Bill | 0.015%–0.115% | 12/1/11 | 2,000,000 | 1,999,671 | |
United States Treasury Bill | 0.105% | 12/8/11 | 1,000,000 | 999,714 | |
United States Treasury Bill | 0.105% | 12/15/11 | 1,750,000 | 1,749,464 | |
United States Treasury Bill | 0.100% | 12/22/11 | 1,250,000 | 1,249,611 | |
United States Treasury Bill | 0.095%–0.106% | 12/29/11 | 2,150,000 | 2,149,288 | |
United States Treasury Bill | 0.080% | 1/5/12 | 1,752,000 | 1,751,509 | |
United States Treasury Bill | 0.100% | 1/26/12 | 1,500,000 | 1,499,388 | |
United States Treasury Bill | 0.080% | 2/16/12 | 500,000 | 499,813 | |
Total U.S. Government and Agency Obligations (Cost $58,000,555) | 58,000,555 | ||||
Commercial Paper (20.3%) | |||||
Finance—Auto (1.5%) | |||||
American Honda Finance Corp. | 0.150%–0.180% | 9/21/11 | 54,500 | 54,495 | |
American Honda Finance Corp. | 0.170%–0.180% | 10/4/11 | 121,785 | 121,765 | |
American Honda Finance Corp. | 0.170%–0.180% | 10/5/11 | 140,000 | 139,977 | |
American Honda Finance Corp. | 0.190% | 10/18/11 | 27,500 | 27,493 | |
American Honda Finance Corp. | 0.190% | 10/19/11 | 93,000 | 92,976 | |
American Honda Finance Corp. | 0.190% | 10/20/11 | 124,000 | 123,968 | |
American Honda Finance Corp. | 0.180% | 10/21/11 | 49,500 | 49,488 | |
American Honda Finance Corp. | 0.180% | 10/24/11 | 28,000 | 27,993 |
13
Prime Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Yield1 | Date | ($000) | ($000) | |
American Honda Finance Corp. | 0.200% | 11/3/11 | 39,500 | 39,486 |
American Honda Finance Corp. | 0.190%–0.220% | 11/14/11 | 117,100 | 117,051 |
Toyota Motor Credit Corp. | 0.200% | 10/4/11 | 26,000 | 25,995 |
Toyota Motor Credit Corp. | 0.280% | 11/10/11 | 12,750 | 12,743 |
Toyota Motor Credit Corp. | 0.280% | 11/16/11 | 37,000 | 36,978 |
Toyota Motor Credit Corp. | 0.270%–0.280% | 11/18/11 | 136,000 | 135,918 |
Toyota Motor Credit Corp. | 0.280% | 11/21/11 | 99,000 | 98,938 |
Toyota Motor Credit Corp. | 0.280% | 11/28/11 | 99,000 | 98,932 |
Toyota Motor Credit Corp. | 0.280% | 11/29/11 | 109,000 | 108,925 |
Toyota Motor Credit Corp. | 0.280% | 11/30/11 | 100,000 | 99,930 |
Toyota Motor Credit Corp. | 0.341% | 1/19/12 | 116,000 | 115,847 |
Toyota Motor Credit Corp. | 0.290% | 1/20/12 | 53,000 | 52,940 |
Toyota Motor Credit Corp. | 0.401% | 2/22/12 | 38,000 | 37,926 |
Toyota Motor Credit Corp. | 0.401% | 2/24/12 | 111,000 | 110,783 |
1,730,547 | ||||
Finance—Other (7.2%) | ||||
4 Falcon Asset Securitization Co. LLC | 0.170% | 9/16/11 | 59,000 | 58,996 |
4 Falcon Asset Securitization Co. LLC | 0.170% | 9/20/11 | 60,000 | 59,995 |
4 Falcon Asset Securitization Co. LLC | 0.170% | 9/26/11 | 160,900 | 160,881 |
General Electric Capital Corp. | 0.190% | 9/21/11 | 100,000 | 99,989 |
General Electric Capital Corp. | 0.190% | 9/26/11 | 396,000 | 395,948 |
General Electric Capital Corp. | 0.190% | 9/28/11 | 565,000 | 564,920 |
General Electric Capital Corp. | 0.160% | 10/11/11 | 197,000 | 196,965 |
General Electric Capital Corp. | 0.190% | 11/18/11 | 550,000 | 549,774 |
General Electric Capital Corp. | 0.250% | 12/20/11 | 250,000 | 249,809 |
General Electric Capital Corp. | 0.250% | 12/21/11 | 250,000 | 249,807 |
General Electric Capital Services Inc. | 0.200% | 10/3/11 | 168,000 | 167,970 |
General Electric Capital Services Inc. | 0.170% | 10/5/11 | 42,200 | 42,193 |
General Electric Capital Services Inc. | 0.200% | 10/7/11 | 200,000 | 199,960 |
General Electric Capital Services Inc. | 0.160% | 11/3/11 | 124,000 | 123,965 |
4 Govco LLC | 0.200% | 9/7/11 | 117,000 | 116,996 |
4 Govco LLC | 0.190% | 9/12/11 | 49,000 | 48,997 |
4 Govco LLC | 0.190%–0.200% | 9/13/11 | 197,000 | 196,987 |
4 Govco LLC | 0.190% | 9/15/11 | 198,000 | 197,985 |
4 Govco LLC | 0.190% | 9/19/11 | 118,000 | 117,989 |
4 Govco LLC | 0.190% | 9/21/11 | 157,250 | 157,233 |
4 Govco LLC | 0.190% | 9/23/11 | 50,000 | 49,994 |
4 Govco LLC | 0.190% | 9/26/11 | 78,500 | 78,490 |
4 Govco LLC | 0.260%–0.270% | 11/4/11 | 137,250 | 137,185 |
4 Govco LLC | 0.260%–0.330% | 11/14/11 | 213,600 | 213,481 |
4 Govco LLC | 0.330% | 11/15/11 | 109,250 | 109,175 |
4 Govco LLC | 0.335% | 11/22/11 | 92,000 | 91,930 |
4 Govco LLC | 0.335%–0.340% | 11/28/11 | 373,000 | 372,692 |
4 Jupiter Securitization Co. LLC | 0.170% | 9/8/11 | 39,000 | 38,999 |
4 Jupiter Securitization Co. LLC | 0.170% | 9/16/11 | 59,000 | 58,996 |
4 Jupiter Securitization Co. LLC | 0.170% | 9/19/11 | 54,000 | 53,995 |
4 Jupiter Securitization Co. LLC | 0.170% | 9/20/11 | 80,000 | 79,993 |
4 Jupiter Securitization Co. LLC | 0.170% | 9/26/11 | 39,000 | 38,995 |
4 Jupiter Securitization Co. LLC | 0.170% | 10/3/11 | 59,000 | 58,991 |
4 Old Line Funding LLC | 0.180% | 9/6/11 | 398,500 | 398,490 |
4 Old Line Funding LLC | 0.180% | 9/7/11 | 29,000 | 28,999 |
4 Old Line Funding LLC | 0.170% | 9/8/11 | 99,000 | 98,997 |
4 Old Line Funding LLC | 0.180% | 9/9/11 | 43,000 | 42,998 |
4 Old Line Funding LLC | 0.170% | 9/12/11 | 191,017 | 191,007 |
4 Old Line Funding LLC | 0.170% | 9/19/11 | 30,000 | 29,997 |
14
Prime Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Yield1 | Date | ($000) | ($000) | |
4 Old Line Funding LLC | 0.170% | 9/20/11 | 160,000 | 159,986 |
4 Old Line Funding LLC | 0.170% | 10/3/11 | 39,000 | 38,994 |
4 Old Line Funding LLC | 0.170% | 10/4/11 | 82,500 | 82,487 |
4 Old Line Funding LLC | 0.170% | 10/6/11 | 55,308 | 55,299 |
4 Straight-A Funding LLC | 0.160% | 9/26/11 | 15,000 | 14,998 |
4 Straight-A Funding LLC | 0.160% | 9/26/11 | 98,000 | 97,989 |
4 Straight-A Funding LLC | 0.160% | 9/26/11 | 17,431 | 17,429 |
4 Straight-A Funding LLC | 0.160% | 9/26/11 | 70,887 | 70,879 |
4 Straight-A Funding LLC | 0.160% | 10/3/11 | 127,000 | 126,982 |
4 Straight-A Funding LLC | 0.160% | 10/4/11 | 40,000 | 39,994 |
4 Straight-A Funding LLC | 0.160% | 10/5/11 | 108,000 | 107,984 |
4 Straight-A Funding LLC | 0.160% | 10/11/11 | 50,000 | 49,991 |
4 Straight-A Funding LLC | 0.160% | 10/11/11 | 17,645 | 17,642 |
4 Straight-A Funding LLC | 0.160% | 10/11/11 | 85,000 | 84,985 |
4 Straight-A Funding LLC | 0.160% | 10/20/11 | 100,112 | 100,090 |
4 Straight-A Funding LLC | 0.190% | 11/7/11 | 100,000 | 99,965 |
4 Straight-A Funding LLC | 0.190% | 11/14/11 | 197,000 | 196,923 |
4 Straight-A Funding LLC | 0.190% | 11/14/11 | 260,000 | 259,899 |
4 Straight-A Funding LLC | 0.190% | 11/14/11 | 154,721 | 154,661 |
4 Straight-A Funding LLC | 0.190% | 11/15/11 | 172,554 | 172,486 |
4 Straight-A Funding LLC | 0.190% | 11/16/11 | 94,007 | 93,969 |
8,174,395 | ||||
Foreign Banks (5.9%) | ||||
4 Australia & New Zealand Banking Group, Ltd. | 0.311% | 10/3/11 | 297,000 | 296,918 |
4 Australia & New Zealand Banking Group, Ltd. | 0.280% | 10/6/11 | 150,000 | 149,959 |
4 Australia & New Zealand Banking Group, Ltd. | 0.250% | 11/8/11 | 96,105 | 96,060 |
4 Australia & New Zealand Banking Group, Ltd. | 0.250% | 11/9/11 | 120,000 | 119,943 |
4 Australia & New Zealand Banking Group, Ltd. | 0.230% | 12/2/11 | 183,000 | 182,892 |
4 Australia & New Zealand Banking Group, Ltd. | 0.351% | 2/16/12 | 247,000 | 246,597 |
4 Commonwealth Bank of Australia | 0.180% | 9/7/11 | 456,000 | 455,986 |
4 Commonwealth Bank of Australia | 0.331% | 9/14/11 | 500,000 | 499,940 |
4 Commonwealth Bank of Australia | 0.180% | 10/12/11 | 250,000 | 249,949 |
4 Commonwealth Bank of Australia | 0.265% | 11/21/11 | 450,000 | 449,732 |
4 Commonwealth Bank of Australia | 0.341% | 1/30/12 | 200,000 | 199,715 |
4 Commonwealth Bank of Australia | 0.346%–0.401% | 2/13/12 | 493,000 | 492,197 |
Lloyds TSB Bank PLC | 0.218% | 9/7/11 | 440,000 | 439,984 |
Rabobank USA Financial Corp. | 0.260% | 11/4/11 | 18,975 | 18,966 |
4 Westpac Banking Corp. | 0.190% | 9/6/11 | 114,100 | 114,097 |
4 Westpac Banking Corp. | 0.311% | 10/6/11 | 170,000 | 169,949 |
4 Westpac Banking Corp. | 0.290% | 10/21/11 | 517,000 | 516,792 |
4 Westpac Banking Corp. | 0.280% | 1/12/12 | 500,000 | 499,483 |
4 Westpac Banking Corp. | 0.351% | 1/30/12 | 47,450 | 47,380 |
4 Westpac Banking Corp. | 0.361% | 2/3/12 | 169,370 | 169,107 |
4 Westpac Banking Corp. | 0.351%–0.361% | 2/7/12 | 831,000 | 829,701 |
4 Westpac Banking Corp. | 0.371% | 2/16/12 | 499,000 | 498,138 |
6,743,485 | ||||
Foreign Governments (0.1%) | ||||
Banque et Caisse d’Epargne de L’Etat | 0.341% | 9/20/11 | 76,000 | 75,986 |
Banque et Caisse d’Epargne de L’Etat | 0.260% | 12/5/11 | 75,000 | 74,949 |
150,935 | ||||
Foreign Industrial (2.5%) | ||||
4 Nestle Capital Corp. | 0.200% | 9/1/11 | 365,000 | 365,000 |
4 Nestle Capital Corp. | 0.200% | 9/6/11 | 29,000 | 28,999 |
4 Nestle Capital Corp. | 0.120% | 10/11/11 | 400,375 | 400,321 |
15
Prime Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Yield1 | Date | ($000) | ($000) | |
4 Nestle Capital Corp. | 0.150% | 11/10/11 | 106,000 | 105,969 |
4 Nestle Capital Corp. | 0.230% | 1/3/12 | 495,000 | 494,608 |
Nestle Finance International Ltd. | 0.140% | 9/26/11 | 114,500 | 114,489 |
Nestle Finance International Ltd. | 0.150% | 11/8/11 | 74,200 | 74,179 |
Nestle Finance International Ltd. | 0.150% | 11/21/11 | 65,000 | 64,978 |
Nestle Finance International Ltd. | 0.130% | 11/22/11 | 44,504 | 44,491 |
Nestle Finance International Ltd. | 0.130% | 11/29/11 | 60,100 | 60,080 |
Nestle Finance International Ltd. | 0.215% | 12/19/11 | 198,000 | 197,871 |
4 Novartis Finance Corp. | 0.290% | 9/12/11 | 36,774 | 36,771 |
4 Novartis Finance Corp. | 0.210%–0.250% | 10/11/11 | 31,650 | 31,642 |
4 Novartis Finance Corp. | 0.220% | 10/12/11 | 49,500 | 49,487 |
4 Novartis Securities Investment Ltd. | 0.140% | 9/9/11 | 74,400 | 74,398 |
4 Novartis Securities Investment Ltd. | 0.100% | 9/13/11 | 37,250 | 37,249 |
4 Novartis Securities Investment Ltd. | 0.180% | 10/11/11 | 46,000 | 45,991 |
4 Novartis Securities Investment Ltd. | 0.190% | 11/14/11 | 34,000 | 33,987 |
4 Novartis Securities Investment Ltd. | 0.190% | 11/18/11 | 61,000 | 60,975 |
4 Sanofi | 0.140% | 9/16/11 | 171,600 | 171,590 |
4 Siemens Capital Co. LLC | 0.100% | 9/19/11 | 19,230 | 19,229 |
4 Total Capital Canada, Ltd. | 0.311% | 9/16/11 | 40,500 | 40,495 |
4 Total Capital Canada, Ltd. | 0.080% | 9/23/11 | 168,100 | 168,092 |
4 Total Capital Canada, Ltd. | 0.195% | 2/29/12 | 99,000 | 98,903 |
2,819,794 | ||||
Industrial (3.1%) | ||||
4 Abbott Laboratories | 0.090% | 9/19/11 | 49,250 | 49,248 |
4 Abbott Laboratories | 0.090% | 9/26/11 | 63,000 | 62,996 |
General Electric Co. | 0.120% | 9/12/11 | 148,000 | 147,994 |
4 Johnson & Johnson | 0.160% | 2/28/12 | 50,000 | 49,960 |
4 Merck & Co Inc. | 0.110% | 9/7/11 | 73,800 | 73,799 |
4 PepsiCo Inc. | 0.080% | 9/6/11 | 27,500 | 27,500 |
4 PepsiCo Inc. | 0.080% | 9/12/11 | 118,740 | 118,737 |
4 PepsiCo Inc. | 0.100% | 10/3/11 | 49,500 | 49,496 |
4 Procter & Gamble Co. | 0.080% | 9/19/11 | 454,000 | 453,982 |
4 Procter & Gamble Co. | 0.100% | 10/5/11 | 7,750 | 7,749 |
4 Procter & Gamble Co. | 0.100% | 10/7/11 | 78,750 | 78,742 |
4 Procter & Gamble Co. | 0.120% | 10/12/11 | 78,000 | 77,989 |
4 Procter & Gamble Co. | 0.100%–0.110% | 10/14/11 | 90,995 | 90,984 |
4 Procter & Gamble Co. | 0.110% | 10/17/11 | 384,455 | 384,401 |
4 Texas Instruments Inc. | 0.120% | 10/7/11 | 117,000 | 116,986 |
4 The Coca-Cola Co. | 0.150% | 9/8/11 | 204,750 | 204,744 |
4 The Coca-Cola Co. | 0.150% | 9/22/11 | 141,500 | 141,488 |
4 The Coca-Cola Co. | 0.150% | 10/3/11 | 78,000 | 77,990 |
4 The Coca-Cola Co. | 0.130%–0.150% | 10/4/11 | 176,000 | 175,977 |
4 The Coca-Cola Co. | 0.120% | 10/12/11 | 72,225 | 72,215 |
4 The Coca-Cola Co. | 0.120% | 10/13/11 | 39,320 | 39,314 |
4 The Coca-Cola Co. | 0.150% | 11/1/11 | 98,950 | 98,925 |
4 The Coca-Cola Co. | 0.150% | 11/7/11 | 53,500 | 53,485 |
4 The Coca-Cola Co. | 0.150% | 11/8/11 | 53,000 | 52,985 |
4 The Coca-Cola Co. | 0.130% | 11/23/11 | 160,440 | 160,392 |
4 Wal-Mart Stores, Inc. | 0.190% | 9/13/11 | 265,000 | 264,983 |
4 Wal-Mart Stores, Inc. | 0.190% | 9/15/11 | 471,000 | 470,965 |
3,604,026 | ||||
Total Commercial Paper (Cost $23,223,182) | 23,223,182 |
16
Prime Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Yield1 | Date | ($000) | ($000) | |
Certificates of Deposit (25.0%) | ||||
Domestic Banks (0.9%) | ||||
Branch Banking & Trust Co. | 0.150% | 9/19/11 | 160,000 | 160,000 |
Branch Banking & Trust Co. | 0.150% | 9/20/11 | 60,000 | 60,000 |
Branch Banking & Trust Co. | 0.150% | 9/22/11 | 175,000 | 175,000 |
Branch Banking & Trust Co. | 0.160% | 9/22/11 | 275,000 | 275,000 |
Branch Banking & Trust Co. | 0.170% | 10/3/11 | 109,000 | 109,000 |
Branch Banking & Trust Co. | 0.210% | 10/5/11 | 300,000 | 300,000 |
1,079,000 | ||||
Eurodollar Certificates of Deposit (9.2%) | ||||
Australia & New Zealand Banking Group, Ltd. | 0.320% | 10/5/11 | 495,000 | 495,000 |
Australia & New Zealand Banking Group, Ltd. | 0.320% | 10/6/11 | 496,000 | 496,000 |
Australia & New Zealand Banking Group, Ltd. | 0.310% | 10/18/11 | 300,000 | 300,008 |
Australia & New Zealand Banking Group, Ltd. | 0.290% | 10/21/11 | 250,000 | 250,000 |
Australia & New Zealand Banking Group, Ltd. | 0.280% | 11/4/11 | 247,000 | 247,000 |
Australia & New Zealand Banking Group, Ltd. | 0.350% | 2/9/12 | 250,000 | 250,000 |
Bank of Nova Scotia | 0.240% | 11/28/11 | 68,000 | 68,000 |
Commonwealth Bank of Australia | 0.230% | 12/12/11 | 200,000 | 200,000 |
Commonwealth Bank of Australia | 0.380% | 2/23/12 | 700,000 | 700,000 |
DNB NOR Bank ASA (London Branch) | 0.195% | 10/12/11 | 1,200,000 | 1,200,007 |
HSBC Bank PLC | 0.340% | 9/19/11 | 500,000 | 500,000 |
HSBC Bank PLC | 0.330% | 10/3/11 | 450,000 | 450,000 |
HSBC Bank PLC | 0.320% | 10/6/11 | 495,000 | 495,000 |
HSBC Bank PLC | 0.300% | 10/11/11 | 500,000 | 500,000 |
HSBC Bank PLC | 0.310% | 10/17/11 | 493,000 | 493,000 |
HSBC Bank PLC | 0.285% | 11/9/11 | 349,000 | 349,003 |
National Australia Bank Ltd. | 0.330% | 9/2/11 | 245,000 | 245,000 |
National Australia Bank Ltd. | 0.275% | 12/2/11 | 780,000 | 780,000 |
National Australia Bank Ltd. | 0.320% | 12/29/11 | 240,000 | 240,000 |
National Australia Bank Ltd. | 0.320% | 1/12/12 | 1,000,000 | 1,000,000 |
National Australia Bank Ltd. | 0.400% | 2/16/12 | 750,000 | 750,000 |
National Australia Bank Ltd. | 0.400% | 2/17/12 | 445,000 | 445,000 |
10,453,018 | ||||
Yankee Certificates of Deposit (14.9%) | ||||
Abbey National Treasury Services PLC | ||||
(US Branch) | 0.420% | 9/7/11 | 360,000 | 360,000 |
Australia & New Zealand Banking Group, Ltd. | ||||
(New York Branch) | 0.250% | 11/17/11 | 99,000 | 99,000 |
Australia & New Zealand Banking Group, Ltd. | ||||
(New York Branch) | 0.220% | 12/13/11 | 35,000 | 35,000 |
Bank of Montreal (Chicago Branch) | 0.190% | 9/28/11 | 430,000 | 430,000 |
Bank of Montreal (Chicago Branch) | 0.190% | 9/30/11 | 150,000 | 150,000 |
Bank of Montreal (Chicago Branch) | 0.200% | 11/7/11 | 1,137,000 | 1,137,000 |
Bank of Montreal (Chicago Branch) | 0.250% | 11/15/11 | 397,000 | 397,000 |
Bank of Montreal (Chicago Branch) | 0.250% | 11/22/11 | 180,000 | 180,000 |
Bank of Nova Scotia (Houston Branch) | 0.190% | 9/6/11 | 14,000 | 14,000 |
Bank of Nova Scotia (Houston Branch) | 0.180% | 9/9/11 | 315,000 | 315,000 |
Bank of Nova Scotia (Houston Branch) | 0.240% | 11/7/11 | 400,000 | 400,000 |
Bank of Nova Scotia (Houston Branch) | 0.250% | 11/8/11 | 1,000,000 | 1,000,000 |
Bank of Nova Scotia (Houston Branch) | 0.235% | 11/18/11 | 600,000 | 599,994 |
Bank of Nova Scotia (Houston Branch) | 0.260% | 11/22/11 | 420,000 | 420,000 |
Bank of Nova Scotia (Houston Branch) | 0.250% | 12/16/11 | 150,000 | 150,000 |
Bank of Nova Scotia (Houston Branch) | 0.250% | 12/20/11 | 280,000 | 280,000 |
17
Prime Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Yield1 | Date | ($000) | ($000) | |
Credit Suisse (New York Branch) | 0.260% | 10/26/11 | 200,000 | 200,000 |
DNB NOR Bank ASA (New York Branch) | 0.300% | 11/28/11 | 500,000 | 500,000 |
Lloyds TSB Bank PLC (New York Branch) | 0.300% | 11/28/11 | 330,000 | 330,000 |
Lloyds TSB Bank PLC (New York Branch) | 0.300% | 11/30/11 | 500,000 | 500,000 |
Nordea Bank Finland PLC (New York Branch) | 0.290% | 11/2/11 | 300,000 | 300,000 |
Nordea Bank Finland PLC (New York Branch) | 0.310% | 11/30/11 | 500,000 | 500,000 |
Nordea Bank Finland PLC (New York Branch) | 0.250% | 12/6/11 | 300,000 | 300,000 |
Nordea Bank Finland PLC (New York Branch) | 0.240% | 12/9/11 | 44,000 | 44,000 |
Nordea Bank Finland PLC (New York Branch) | 0.280% | 1/11/12 | 640,000 | 640,000 |
Rabobank Nederland NV (New York Branch) | 0.350% | 9/1/11 | 645,000 | 645,000 |
Rabobank Nederland NV (New York Branch) | 0.350% | 9/16/11 | 420,000 | 420,000 |
Rabobank Nederland NV (New York Branch) | 0.340% | 10/6/11 | 175,000 | 175,000 |
Rabobank Nederland NV (New York Branch) | 0.270% | 11/9/11 | 800,000 | 800,000 |
Royal Bank of Canada (New York Branch) | 0.320% | 9/14/11 | 495,000 | 495,000 |
Royal Bank of Canada (New York Branch) | 0.280% | 10/11/11 | 300,000 | 300,000 |
Royal Bank of Canada (New York Branch) | 0.250% | 12/20/11 | 600,000 | 600,000 |
Royal Bank of Canada (New York Branch) | 0.350% | 2/22/12 | 492,000 | 492,000 |
Royal Bank of Scotland PLC (Connecticut Branch) | 0.240% | 10/3/11 | 200,000 | 200,000 |
Svenska Handelsbanken (New York Branch) | 0.195% | 9/7/11 | 300,000 | 300,000 |
Svenska Handelsbanken (New York Branch) | 0.300% | 11/1/11 | 250,000 | 250,000 |
Svenska Handelsbanken (New York Branch) | 0.300% | 11/3/11 | 270,000 | 270,000 |
Svenska Handelsbanken (New York Branch) | 0.310% | 11/30/11 | 500,000 | 500,000 |
Toronto Dominion Bank (New York Branch) | 0.170% | 9/1/11 | 297,500 | 297,500 |
Toronto Dominion Bank (New York Branch) | 0.330% | 9/6/11 | 197,000 | 197,000 |
Toronto Dominion Bank (New York Branch) | 0.330% | 9/6/11 | 178,000 | 178,000 |
Toronto Dominion Bank (New York Branch) | 0.330% | 9/9/11 | 75,000 | 75,000 |
Toronto Dominion Bank (New York Branch) | 0.280% | 10/20/11 | 247,000 | 247,000 |
Toronto Dominion Bank (New York Branch) | 0.240% | 12/1/11 | 297,500 | 297,500 |
Toronto Dominion Bank (New York Branch) | 0.350% | 2/15/12 | 297,000 | 297,000 |
Westpac Banking Corp. (New York Branch) | 0.230% | 12/7/11 | 200,000 | 200,000 |
Westpac Banking Corp. (New York Branch) | 0.360% | 2/9/12 | 496,000 | 496,000 |
17,012,994 | ||||
Total Certificates of Deposit (Cost $28,545,012) | 28,545,012 | |||
Repurchase Agreements (0.2%) | ||||
Barclays Capital Inc. | ||||
(Dated 8/31/11, Repurchase Value | ||||
$10,000,000, collateralized by U.S. | ||||
Treasury Note/Bond 4.500%, 8/15/39) | 0.040% | 9/1/11 | 10,000 | 10,000 |
Credit Suisse Securities (USA) LLC | ||||
(Dated 8/31/11, Repurchase Value | ||||
$50,000,000, collateralized by U.S. | ||||
Treasury Note/Bond 3.625%, 8/15/19) | 0.050% | 9/1/11 | 50,000 | 50,000 |
RBC Capital Markets LLC | ||||
(Dated 8/31/11, Repurchase Value | ||||
$10,000,000, collateralized by U.S. | ||||
Treasury Note/Bond 0.500%, 8/15/14) | 0.050% | 9/1/11 | 10,000 | 10,000 |
RBC Capital Markets LLC | ||||
(Dated 8/31/11, Repurchase Value | ||||
$71,640,000, collateralized by U.S. | ||||
Treasury Note/Bond 0.500%, 8/15/14) | 0.100% | 9/1/11 | 71,640 | 71,640 |
18
Prime Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Yield1 | Date | ($000) | ($000) | |
RBS Securities, Inc. | ||||
(Dated 8/31/11, Repurchase Value | ||||
$30,000,000, collateralized by U.S. | ||||
Treasury Note/Bond 0.625%, 6/30/12) | 0.060% | 9/1/11 | 30,000 | 30,000 |
Total Repurchase Agreements (Cost $171,640) | 171,640 | |||
Shares | ||||
Money Market Fund (1.3%) | ||||
5 Vanguard Municipal Cash Management Fund | ||||
(Cost $1,460,019) | 0.170% | 1,460,019,065 | 1,460,019 | |
Face | ||||
Amount | ||||
($000) | ||||
Tax-Exempt Municipal Bonds (3.1%) | ||||
Akron OH Bath & Copley Joint Township | ||||
Hospital District Revenue (Akron General | ||||
Health System) VRDO | 0.160% | 9/7/11 | 19,500 | 19,500 |
Arizona Health Facilities Authority Revenue | ||||
(Banner Health) VRDO | 0.170% | 9/7/11 | 35,400 | 35,400 |
Arizona Health Facilities Authority Revenue | ||||
(Banner Health) VRDO | 0.170% | 9/7/11 | 39,315 | 39,315 |
Ascension Parish LA Industrial Development | ||||
Board Revenue (IMTT-Geismar Project) VRDO | 0.170% | 9/7/11 | 79,000 | 79,000 |
Bi-State Development Agency of the | ||||
Missouri-Illinois Metropolitan District VRDO | 0.210% | 9/7/11 | 29,800 | 29,800 |
Birmingham AL Public Educational Building | ||||
Student Housing Revenue (University of | ||||
Alabama at Birmingham Project) VRDO | 0.210% | 9/7/11 | 16,575 | 16,575 |
Board of Regents of the University of Texas | ||||
System Revenue Financing System Revenue | ||||
VRDO | 0.090% | 9/7/11 | 17,425 | 17,425 |
Board of Regents of the University of Texas | ||||
System Revenue Financing System Revenue | ||||
VRDO | 0.150% | 9/7/11 | 58,300 | 58,300 |
Board of Regents of the University of Texas | ||||
System Revenue Financing System Revenue | ||||
VRDO | 0.150% | 9/7/11 | 95,000 | 95,000 |
Boone County KY Pollution Control Revenue | ||||
(Duke Energy Kentucky Inc. Project) VRDO | 0.140% | 9/7/11 | 19,000 | 19,000 |
California Housing Finance Agency | ||||
Home Mortgage Revenue VRDO | 0.150% | 9/7/11 | 24,520 | 24,520 |
California Housing Finance Agency | ||||
Home Mortgage Revenue VRDO | 0.150% | 9/7/11 | 10,300 | 10,300 |
California Statewide Communities Development | ||||
Authority Revenue (Redlands Community | ||||
Hospital) VRDO | 0.150% | 9/7/11 | 22,100 | 22,100 |
Cleveland-Cuyahoga County OH Port Authority | ||||
Revenue (SPC Buildings 1 & 3 LLC) VRDO | 0.170% | 9/7/11 | 24,000 | 24,000 |
Columbus OH Regional Airport Authority Airport | ||||
Revenue (Oasbo Expanded Asset Program) | ||||
VRDO | 0.210% | 9/7/11 | 19,200 | 19,200 |
19
Prime Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Yield1 | Date | ($000) | ($000) | |
Connecticut Health & Educational Facilities | ||||
Authority Revenue (Yale University) VRDO | 0.110% | 9/7/11 | 35,000 | 35,000 |
Curators of the University of Missouri System | ||||
Facilities Revenue VRDO | 0.170% | 9/7/11 | 62,150 | 62,150 |
Delaware River Port Authority Pennsylvania & | ||||
New Jersey Revenue VRDO | 0.180% | 9/7/11 | 76,100 | 76,100 |
District of Columbia Revenue | ||||
(George Washington University) VRDO | 0.170% | 9/7/11 | 27,560 | 27,560 |
District of Columbia Revenue | ||||
(Georgetown University) VRDO | 0.170% | 9/7/11 | 17,200 | 17,200 |
District of Columbia Revenue | ||||
(Georgetown University) VRDO | 0.170% | 9/7/11 | 7,575 | 7,575 |
District of Columbia Revenue | ||||
(Washington Drama Society) VRDO | 0.200% | 9/7/11 | 20,375 | 20,375 |
Fairfax County VA Economic Development | ||||
Authority Resource Recovery Revenue | ||||
(Lorton Arts Foundation Project) VRDO | 0.190% | 9/7/11 | 10,600 | 10,600 |
Harris County TX Cultural Education Facilities | ||||
Finance Corp. Hospital Revenue (Memorial | ||||
Hermann Healthcare System) VRDO | 0.170% | 9/7/11 | 42,000 | 42,000 |
Harris County TX Cultural Education Facilities | ||||
Finance Corp. Medical Facilities Revenue | ||||
(Baylor College of Medicine) VRDO | 0.160% | 9/7/11 | 42,500 | 42,500 |
Idaho Housing & Finance Association | ||||
Single Family Mortgage Revenue VRDO | 0.170% | 9/7/11 | 16,800 | 16,800 |
Idaho Housing & Finance Association | ||||
Single Family Mortgage Revenue VRDO | 0.190% | 9/7/11 | 29,205 | 29,205 |
Illinois Development Finance Authority Revenue | ||||
(Chicago Horticultural Society) VRDO | 0.190% | 9/7/11 | 16,300 | 16,300 |
Illinois Finance Authority Pollution Control | ||||
Revenue (Commonwealth Edison Co. Project) | ||||
VRDO | 0.160% | 9/7/11 | 29,400 | 29,400 |
Illinois Finance Authority Revenue | ||||
(Carle Foundation) VRDO | 0.150% | 9/7/11 | 31,905 | 31,905 |
Illinois Finance Authority Revenue | ||||
(Carle Healthcare System) VRDO | 0.100% | 9/7/11 | 44,665 | 44,665 |
Illinois Finance Authority Revenue | ||||
(Ingalls Health System) VRDO | 0.150% | 9/7/11 | 43,000 | 43,000 |
Illinois Finance Authority Revenue | ||||
(Little Co. of Mary Hospital & | ||||
Health Care Centers) VRDO | 0.200% | 9/7/11 | 17,815 | 17,815 |
Illinois Finance Authority Revenue | ||||
(Museum of Science & Industry) VRDO | 0.210% | 9/7/11 | 13,000 | 13,000 |
Indiana Development Finance Authority | ||||
Educational Facilities Revenue (Indianapolis | ||||
Museum of Art Inc. Project) VRDO | 0.160% | 9/7/11 | 14,400 | 14,400 |
Indiana Educational Facilities Authority Revenue | ||||
(Wabash College) VRDO | 0.200% | 9/7/11 | 23,940 | 23,940 |
Indiana Finance Authority Health System Revenue | ||||
(Sisters of St. Francis Health Services Inc. | ||||
Obligated Group) VRDO | 0.200% | 9/7/11 | 22,445 | 22,445 |
Indiana Finance Authority Revenue | ||||
(Lease Appropriation) VRDO | 0.180% | 9/7/11 | 15,075 | 15,075 |
Jacksonville FL Capital Project Revenue VRDO | 0.260% | 9/7/11 | 26,400 | 26,400 |
20
Prime Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Yield1 | Date | ($000) | ($000) | |
Kentucky Economic Development Finance | ||||
Authority Hospital Revenue (Baptist Healthcare | ||||
System Obligated Group) VRDO | 0.120% | 9/7/11 | 25,035 | 25,035 |
Kentucky Higher Education Student Loan Corp. | ||||
Student Loan Revenue VRDO | 0.200% | 9/7/11 | 33,235 | 33,235 |
Knox County TN Health Educational & | ||||
Housing Facilities Board Hospital Facilities | ||||
(Covenant Healthcare) VRDO | 0.170% | 9/7/11 | 15,690 | 15,690 |
Los Angeles CA Wastewater System Revenue | ||||
VRDO | 0.140% | 9/7/11 | 37,300 | 37,300 |
Los Angeles CA Wastewater System Revenue | ||||
VRDO | 0.160% | 9/7/11 | 20,400 | 20,400 |
Los Angeles CA Wastewater System Revenue | ||||
VRDO | 0.240% | 9/7/11 | 23,200 | 23,200 |
Los Angeles CA Wastewater System Revenue | ||||
VRDO | 0.240% | 9/7/11 | 27,595 | 27,595 |
Loudoun County VA Industrial Development | ||||
Authority Revenue (Howard Hughes Medical | ||||
Institute) VRDO | 0.120% | 9/7/11 | 49,365 | 49,365 |
Loudoun County VA Industrial Development | ||||
Authority Revenue (Howard Hughes Medical | ||||
Institute) VRDO | 0.130% | 9/7/11 | 18,855 | 18,855 |
Louisiana Public Facilities Authority Hospital | ||||
Revenue (Franciscan Missionaries) VRDO | 0.180% | 9/7/11 | 11,650 | 11,650 |
Maine Health & Higher Educational Facilities | ||||
Authority Revenue (Bowdoin College) VRDO | 0.200% | 9/7/11 | 15,130 | 15,130 |
Maryland Health & Higher Educational Facilities | ||||
Authority Revenue (Johns Hopkins University) | ||||
VRDO | 0.130% | 9/7/11 | 30,635 | 30,635 |
Maryland Health & Higher Educational Facilities | ||||
Authority Revenue (University of Maryland | ||||
Medical System) VRDO | 0.170% | 9/7/11 | 30,160 | 30,160 |
Massachusetts Health & Educational Facilities | ||||
Authority Revenue (Bentley College) VRDO | 0.150% | 9/7/11 | 21,900 | 21,900 |
Massachusetts Health & Educational Facilities | ||||
Authority Revenue (Dana Farber Cancer | ||||
Institute) VRDO | 0.180% | 9/7/11 | 9,015 | 9,015 |
Massachusetts Health & Educational Facilities | ||||
Authority Revenue (MIT) VRDO | 0.150% | 9/7/11 | 19,320 | 19,320 |
Metropolitan Atlanta GA Rapid Transportation | ||||
Authority Georgia Sales Tax Revenue VRDO | 0.150% | 9/7/11 | 43,100 | 43,100 |
Miami-Dade County FL Special Obligation | ||||
Revenue (Juvenile Courthouse Project) VRDO | 0.140% | 9/7/11 | 25,350 | 25,350 |
Michigan Higher Education Facilities Authority | ||||
Revenue (Albion College) VRDO | 0.220% | 9/7/11 | 13,000 | 13,000 |
Michigan Hospital Finance Authority Revenue | ||||
(Henry Ford Health System) VRDO | 0.160% | 9/7/11 | 32,925 | 32,925 |
Middletown OH Hospital Facilities Revenue | ||||
(Atrium Medical Center) VRDO | 0.170% | 9/7/11 | 22,000 | 22,000 |
Minneapolis & St. Paul MN Housing & | ||||
Redevelopment Authority Health Care System | ||||
Revenue (Allina Health System) VRDO | 0.150% | 9/7/11 | 15,000 | 15,000 |
Missouri Health & Educational Facilities Authority | ||||
Health Facilities Revenue (BJC Health System) | ||||
VRDO | 0.170% | 9/7/11 | 18,000 | 18,000 |
21
Prime Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Yield1 | Date | ($000) | ($000) | |
Missouri Health & Educational Facilities Authority | ||||
Health Facilities Revenue (SSM Health Care) | ||||
VRDO | 0.130% | 9/7/11 | 83,775 | 83,775 |
New Jersey Health Care Facilities Financing | ||||
Authority Revenue (AHS Hospital Corp.) VRDO | 0.210% | 9/7/11 | 19,130 | 19,130 |
New Jersey Health Care Facilities Financing | ||||
Authority Revenue (Hospital Capital Asset | ||||
Pooled Program) VRDO | 0.180% | 9/7/11 | 19,600 | 19,600 |
New Jersey Transportation Trust Fund Authority | ||||
Transportation System Revenue VRDO | 0.140% | 9/7/11 | 32,800 | 32,800 |
New York City NY GO VRDO | 0.140% | 9/7/11 | 58,550 | 58,550 |
New York City NY GO VRDO | 0.150% | 9/7/11 | 29,800 | 29,800 |
New York City NY GO VRDO | 0.160% | 9/7/11 | 11,775 | 11,775 |
New York City NY GO VRDO | 0.160% | 9/7/11 | 9,825 | 9,825 |
New York City NY Housing Development Corp. | ||||
Multi-Family Rental Housing Revenue | ||||
(Carnegie Park) VRDO | 0.130% | 9/7/11 | 39,505 | 39,505 |
New York City NY Housing Development Corp. | ||||
Multi-Family Rental Housing Revenue | ||||
(Monterey) VRDO | 0.130% | 9/7/11 | 21,980 | 21,980 |
New York City NY Housing Development Corp. | ||||
Multi-Family Rental Housing Revenue | ||||
(One Columbus Place Development) VRDO | 0.150% | 9/7/11 | 8,100 | 8,100 |
New York City NY Housing Development Corp. | ||||
Multi-Family Rental Housing Revenue | ||||
(West End Towers) VRDO | 0.150% | 9/7/11 | 31,300 | 31,300 |
New York City NY Industrial Development | ||||
Agency Civic Facility Revenue (New York | ||||
Law School) VRDO | 0.180% | 9/7/11 | 14,885 | 14,885 |
New York State Dormitory Authority Revenue | ||||
(Fordham University) VRDO | 0.190% | 9/7/11 | 30,805 | 30,805 |
New York State Dormitory Authority Revenue | ||||
(Fordham University) VRDO | 0.190% | 9/7/11 | 30,645 | 30,645 |
New York State Housing Finance Agency | ||||
Housing Revenue (10 Liberty Street) VRDO | 0.140% | 9/7/11 | 20,500 | 20,500 |
New York State Housing Finance Agency | ||||
Housing Revenue (125 West 31st Street) VRDO | 0.170% | 9/7/11 | 42,300 | 42,300 |
New York State Housing Finance Agency | ||||
Housing Revenue (20 River Terrace Housing) | ||||
VRDO | 0.170% | 9/7/11 | 17,300 | 17,300 |
New York State Housing Finance Agency | ||||
Housing Revenue (320 West 38th Street) VRDO | 0.140% | 9/7/11 | 31,500 | 31,500 |
New York State Housing Finance Agency | ||||
Housing Revenue (330 West 39th Street) VRDO | 0.190% | 9/7/11 | 26,100 | 26,100 |
New York State Housing Finance Agency | ||||
Housing Revenue (70 Battery Place) VRDO | 0.150% | 9/7/11 | 12,800 | 12,800 |
New York State Housing Finance Agency | ||||
Housing Revenue (Clinton Green - South) VRDO | 0.170% | 9/7/11 | 11,625 | 11,625 |
New York State Housing Finance Agency | ||||
Housing Revenue (Clinton Green North) VRDO | 0.170% | 9/7/11 | 31,845 | 31,845 |
New York State Housing Finance Agency | ||||
Housing Revenue (East 84th Street) VRDO | 0.160% | 9/7/11 | 24,500 | 24,500 |
New York State Urban Development Corp. | ||||
Revenue (Service Contract) VRDO | 0.170% | 9/7/11 | 10,375 | 10,375 |
22
Prime Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Yield1 | Date | ($000) | ($000) | |
North Texas Higher Education Authority | ||||
Student Loan Revenue VRDO | 0.230% | 9/7/11 | 29,900 | 29,900 |
North Texas Tollway Authority System Revenue | ||||
VRDO | 0.170% | 9/7/11 | 35,100 | 35,100 |
Oakland University of Michigan Revenue VRDO | 0.170% | 9/7/11 | 8,900 | 8,900 |
Ohio Air Quality Development Authority Revenue | ||||
(Dayton Power & Light Co. Project) VRDO | 0.160% | 9/7/11 | 11,100 | 11,100 |
Ohio GO VRDO | 0.130% | 9/7/11 | 23,515 | 23,515 |
Ohio Higher Educational Facility Commission | ||||
Revenue (University Hospitals Health | ||||
System Inc.) VRDO | 0.160% | 9/7/11 | 25,000 | 25,000 |
Ohio State University General Receipts Revenue | ||||
VRDO | 0.130% | 9/7/11 | 115,300 | 115,300 |
Ohio State University General Receipts Revenue | ||||
VRDO | 0.140% | 9/7/11 | 29,525 | 29,525 |
Pennsylvania Higher Educational Facilities | ||||
Authority Revenue (University of Pennsylvania | ||||
Health System) VRDO | 0.140% | 9/7/11 | 45,065 | 45,065 |
Pittsburgh PA Water & Sewer Authority Revenue | ||||
VRDO | 0.310% | 9/7/11 | 57,850 | 57,850 |
Salem OH Hospital Facilities Revenue | ||||
(Salem Community Hospital Project) VRDO | 0.170% | 9/7/11 | 13,400 | 13,400 |
San Antonio TX Electric & Gas Systems Revenue | ||||
VRDO | 0.260% | 9/7/11 | 35,355 | 35,355 |
Tarrant County TX Cultural Education Facilities | ||||
Finance Corp. Revenue (CHRISTUS Health) | ||||
VRDO | 0.170% | 9/7/11 | 18,400 | 18,400 |
Texas Department of Housing & Community | ||||
Affairs Single Family Revenue VRDO | 0.170% | 9/7/11 | 28,900 | 28,900 |
Texas Department of Housing & Community | ||||
Affairs Single Family Revenue VRDO | 0.170% | 9/7/11 | 42,400 | 42,400 |
Texas Department of Housing & Community | ||||
Affairs Single Family Revenue VRDO | 0.200% | 9/7/11 | 23,035 | 23,035 |
Texas Department of Housing & Community | ||||
Affairs Single Family Revenue VRDO | 0.220% | 9/7/11 | 34,620 | 34,620 |
Texas Department of Housing & Community | ||||
Affairs Single Mortgage Revenue VRDO | 0.200% | 9/7/11 | 69,085 | 69,085 |
Torrance CA Hospital Revenue (Torrance | ||||
Memorial Medical Center) VRDO | 0.150% | 9/7/11 | 19,600 | 19,600 |
University of Alabama Birmingham Hospital | ||||
Revenue VRDO | 0.250% | 9/7/11 | 24,100 | 24,100 |
University of South Florida Financing Corp. | ||||
COP VRDO | 0.180% | 9/7/11 | 40,700 | 40,700 |
University of Texas Permanent University Fund | ||||
Revenue VRDO | 0.110% | 9/7/11 | 66,305 | 66,305 |
University of Texas Permanent University Fund | ||||
Revenue VRDO | 0.140% | 9/7/11 | 152,100 | 152,100 |
Utah Housing Corp. Single Family Mortgage | ||||
Revenue VRDO | 0.170% | 9/7/11 | 19,250 | 19,250 |
Utah Housing Corp. Single Family Mortgage | ||||
Revenue VRDO | 0.170% | 9/7/11 | 15,500 | 15,500 |
Virginia Small Business Financing Authority | ||||
Health Facilities Revenue (Bon Secours Health | ||||
System Inc.) VRDO | 0.180% | 9/7/11 | 7,200 | 7,200 |
23
Prime Money Market Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Yield1 | Date | ($000) | ($000) | ||
Warren County KY Revenue (Western Kentucky | |||||
University Student Life Foundation Inc. Project) | |||||
VRDO | 0.200% | 9/7/11 | 19,500 | 19,500 | |
6 | Washington County PA Authority Revenue | ||||
(Girard Estate Project) VRDO | 0.200% | 9/7/11 | 11,040 | 11,040 | |
Washington Health Care Facilities Authority | |||||
Revenue (Multi Care Health System) VRDO | 0.170% | 9/7/11 | 24,975 | 24,975 | |
Washington Health Care Facilities Authority | |||||
Revenue (Swedish Health Services) VRDO | 0.130% | 9/7/11 | 20,500 | 20,500 | |
West Virginia Hospital Finance Authority Hospital | |||||
Revenue (Charleston Area Medical Center Inc.) | |||||
VRDO | 0.150% | 9/7/11 | 30,045 | 30,045 | |
Wisconsin Health & Educational Facilities | |||||
Authority Revenue (Aurora Health Care Inc.) | |||||
VRDO | 0.160% | 9/7/11 | 31,200 | 31,200 | |
6 | Los Angeles CA Department of Water & | ||||
Power Revenue TOB VRDO | 0.270% | 9/7/11 | 13,000 | 13,000 | |
Total Tax-Exempt Municipal Bonds (Cost $3,565,490) | 3,565,490 | ||||
Taxable Municipal Bonds (0.0%) | |||||
6 | Massachusetts State Transportation Fund | ||||
Revenue TOB VRDO | 0.270% | 9/7/11 | 13,100 | 13,100 | |
6 | Seattle WA Municipal Light & Power Revenue | ||||
TOB VRDO | 0.270% | 9/7/11 | 6,400 | 6,400 | |
Total Taxable Municipal Bonds (Cost $19,500) | 19,500 | ||||
Total Investments (100.7%) (Cost $114,985,398) | 114,985,398 | ||||
Other Assets and Liabilities (-0.7%) | |||||
Other Assets | 458,172 | ||||
Liabilities | (1,300,646) | ||||
(842,474) | |||||
Net Assets (100%) | 114,142,924 |
24
Prime Money Market Fund
At August 31, 2011, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 114,134,618 |
Undistributed Net Investment Income | — |
Accumulated Net Realized Gains | 8,306 |
Net Assets | 114,142,924 |
Investor Shares—Net Assets | |
Applicable to 92,387,498,956 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 92,403,666 |
Net Asset Value Per Share—Investor Shares | $1.00 |
Institutional Shares—Net Assets | |
Applicable to 21,736,467,632 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 21,739,258 |
Net Asset Value Per Share—Institutional Shares | $1.00 |
See Note A in Notes to Financial Statements.
1 Represents annualized yield at date of purchase for discount securities, and coupon for coupon-bearing securities.
2 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the U.S. government.
3 Adjustable-rate security.
4 Security exempt from registration under Section 4(2) of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration only to dealers in that program or other “accredited investors.” At August 31, 2011, the aggregate value of these securities was $17,337,368,000, representing 15.2% of net assets.
5 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
6 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At August 31, 2011, the aggregate value of these securities was $43,540,000.
GO—General Obligation Bond.
TOB—Tender Option Bond.
VRDO—Variable Rate Demand Obligation.
See accompanying Notes, which are an integral part of the Financial Statements.
25
Prime Money Market Fund
Statement of Operations
Year Ended | |
August 31, 2011 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 286,720 |
Total Income | 286,720 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 5,208 |
Management and Administrative—Investor Shares | 143,283 |
Management and Administrative—Institutional Shares | 10,760 |
Marketing and Distribution—Investor Shares | 28,095 |
Marketing and Distribution—Institutional Shares | 6,317 |
Custodian Fees | 1,586 |
Auditing Fees | 28 |
Shareholders’ Reports—Investor Shares | 683 |
Shareholders’ Reports—Institutional Shares | 110 |
Trustees’ Fees and Expenses | 137 |
Total Expenses | 196,207 |
Net Investment Income | 90,513 |
Realized Net Gain (Loss) on Investment Securities Sold | 1,676 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 92,189 |
1 Interest income from an affiliated company of the fund was $2,577,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
26
Prime Money Market Fund
Statement of Changes in Net Assets
Year Ended August 31, | ||
2011 | 2010 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 90,513 | 118,919 |
Realized Net Gain (Loss) | 1,676 | 1,651 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 92,189 | 120,570 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (55,253) | (78,239) |
Institutional Shares | (35,260) | (40,680) |
Realized Capital Gain | ||
Investor Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (90,513) | (118,919) |
Capital Share Transactions | ||
Investor Shares | 3,718,120 | (7,395,143) |
Institutional Shares | 2,631,581 | 784,242 |
Net Increase (Decrease) from Capital Share Transactions | 6,349,701 | (6,610,901) |
Total Increase (Decrease) | 6,351,377 | (6,609,250) |
Net Assets | ||
Beginning of Period | 107,791,547 | 114,400,797 |
End of Period | 114,142,924 | 107,791,547 |
See accompanying Notes, which are an integral part of the Financial Statements.
27
Prime Money Market Fund
Financial Highlights
Investor Shares | |||||
For a Share Outstanding | Year Ended August 31, | ||||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Investment Operations | |||||
Net Investment Income | .001 | .001 | .013 | .035 | .051 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | — | — | — | — | — |
Total from Investment Operations | .001 | .001 | .013 | .035 | .051 |
Distributions | |||||
Dividends from Net Investment Income | (.001) | (.001) | (.013) | (.035) | (.051) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.001) | (.001) | (.013) | (.035) | (.051) |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return1 | 0.06% | 0.08% | 1.31% | 3.60% | 5.23% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $92,404 | $88,684 | $96,078 | $92,483 | $84,052 |
Ratio of Total Expenses to | |||||
Average Net Assets | 0.20% | 0.23% | 0.28%2 | 0.23% | 0.24% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 0.06% | 0.08% | 1.25% | 3.49% | 5.10% |
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Includes 0.03% of fees to participate in the Treasury Temporary Guarantee Program for Money Market Funds.
See accompanying Notes, which are an integral part of the Financial Statements.
28
Prime Money Market Fund
Financial Highlights
Institutional Shares | |||||
For a Share Outstanding | Year Ended August 31, | ||||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Investment Operations | |||||
Net Investment Income | .002 | .002 | .015 | .037 | .053 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | — | — | — | — | — |
Total from Investment Operations | .002 | .002 | .015 | .037 | .053 |
Distributions | |||||
Dividends from Net Investment Income | (.002) | (.002) | (.015) | (.037) | (.053) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.002) | (.002) | (.015) | (.037) | (.053) |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return | 0.17% | 0.22% | 1.47% | 3.75% | 5.39% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $21,739 | $19,107 | $18,323 | $13,844 | $10,022 |
Ratio of Total Expenses to | |||||
Average Net Assets | 0.09% | 0.09% | 0.13%1 | 0.08% | 0.08% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 0.17% | 0.22% | 1.40% | 3.64% | 5.26% |
1 Includes 0.03% of fees to participate in the Treasury Temporary Guarantee Program for Money Market Funds. |
See accompanying Notes, which are an integral part of the Financial Statements.
29
Prime Money Market Fund
Notes to Financial Statements
Vanguard Prime Money Market Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund invests in short-term debt instruments of companies primarily operating in specific industries, particularly financial services; the issuers’ abilities to meet their obligations may be affected by economic developments in such industries. The fund offers two classes of shares, Investor Shares and Institutional Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued at amortized cost, which approximates market value. Investments in Vanguard Municipal Cash Management Fund are valued at that fund’s net asset value.
2. Repurchase Agreements: The fund invests in repurchase agreements. Securities pledged as collateral for repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal; however, in the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings.
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 (August 31, 2008–2011), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month.
5. Other: Interest income includes income distributions received from Vanguard Municipal Cash Management Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund 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 August 31, 2011, the fund had contributed capital of $18,107,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 7.24% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard. Vanguard and the board of trustees have agreed to temporarily limit certain net operating expenses in excess of the fund’s daily yield so as to maintain a zero or positive yield for the fund. Vanguard and the board of trustees may terminate the temporary expense limitation at any time.
30
Prime Money Market Fund
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The fund’s investment in Vanguard Municipal Cash Management Fund is valued based on Level 1 inputs. All of the fund’s other investments were valued using amortized cost, in accordance with rules under the Investment Company Act of 1940. Amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, securities valued at amortized cost are considered to be valued using Level 2 inputs.
D. Capital share transactions for each class of shares were:
Year Ended August 31, | ||||
2011 | 2010 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 119,751,906 | 119,751,906 | 99,880,454 | 99,880,454 |
Issued in Lieu of Cash Distributions | 53,993 | 53,993 | 76,231 | 76,231 |
Redeemed | (116,087,779) | (116,087,779) | (107,351,828) | (107,351,828) |
Net Increase (Decrease)—Investor Shares | 3,718,120 | 3,718,120 | (7,395,143) | (7,395,143) |
Institutional Shares | ||||
Issued | 20,303,805 | 20,303,805 | 16,052,323 | 16,052,323 |
Issued in Lieu of Cash Distributions | 34,248 | 34,248 | 39,524 | 39,524 |
Redeemed | (17,706,472) | (17,706,472) | (15,307,605) | (15,307,605) |
Net Increase (Decrease)—Institutional Shares | 2,631,581 | 2,631,581 | 784,242 | 784,242 |
E. In preparing the financial statements as of August 31, 2011, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
31
Federal Money Market Fund
Fund Profile
As of August 31, 2011
Financial Attributes | |
Ticker Symbol | VMFXX |
Expense Ratio1 | 0.22% |
7-Day SEC Yield | 0.01% |
Average Weighted | |
Maturity | 56 days |
Sector Diversification (% of portfolio) | |
U.S. Treasury Bills | 10.8% |
U.S. Government Agency Obligations | 88.8 |
Repurchase Agreements | 0.4 |
The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are not backed by the full faith and credit of the U.S. government.
Distribution by Credit Quality (% of portfolio) | |
First Tier | 100.0% |
For information about these ratings, see the Glossary entry for Credit Quality. |
1 The expense ratio shown is from the prospectus dated December 23, 2010, and represents estimated costs for the current fiscal year. For the fiscal year ended August 31, 2011, the expense ratio was 0.19%, reflecting a temporary reduction in operating expenses (described in Note B of the Notes to Financial Statements). Before this reduction, the expense ratio was 0.20%.
32
Federal Money Market Fund
Performance Summary
Investment returns will fluctuate. 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.) The returns shown do not reflect taxes that a shareholder would pay on fund distributions. An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the fund seeks to preserve the value of your investment at $1 per share, it is possible to lose money by investing in the fund. The fund’s 7-day SEC yield reflects its current earnings more closely than do the average annual returns.
Cumulative Performance: August 31, 2001, Through August 31, 2011
Initial Investment of $10,000
Average Annual Total Returns | ||||
Periods Ended August 31, 2011 | ||||
Final Value | ||||
One | Five | Ten | of a $10,000 | |
Year | Years | Years | Investment | |
Federal Money Market Fund | 0.02% | 1.93% | 2.02% | $12,218 |
Citigroup Three-Month U.S. Treasury | ||||
Bill Index | 0.12 | 1.69 | 1.95 | 12,128 |
Government Money Market Funds | ||||
Average | 0.00 | 1.53 | 1.57 | 11,680 |
Government Money Market Funds Average: Derived from data provided by Lipper Inc.
See Financial Highlights for dividend information.
33
Federal Money Market Fund
Fiscal-Year Total Returns (%): August 31, 2001, Through August 31, 2011
Gov’t Money | ||
Market Funds | ||
Average | ||
Fiscal Year | Total Returns | Total Returns |
2002 | 2.12% | 1.48% |
2003 | 1.11 | 0.64 |
2004 | 0.82 | 0.40 |
2005 | 2.26 | 1.73 |
2006 | 4.31 | 3.78 |
2007 | 5.17 | 4.58 |
2008 | 3.46 | 2.71 |
2009 | 1.06 | 0.43 |
2010 | 0.04 | 0.00 |
2011 | 0.02 | 0.00 |
7-day SEC yield (8/31/2011): 0.01% | ||
Government Money Market Funds Average: Derived from data provided by Lipper Inc. |
Average Annual Total Returns: Periods Ended June 30, 2011
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Federal Money Market Fund | 7/13/1981 | 0.02% | 2.10% | 2.09% |
34
Federal Money Market Fund
Financial Statements
Statement of Net Assets
As of August 31, 2011
The fund reports a complete list of its holdings in various monthly and quarterly regulatory filings. The fund publishes its holdings on a monthly basis at vanguard.com and files them with the Securities and Exchange Commission on Form N-MFP. The fund’s Form N-MFP filings become public 60 days after the relevant month-end, and may be viewed at sec.gov or via a link on the “Portfolio Holdings” page on vanguard.com. 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 SEC 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).
Face | Market | ||||
Maturity | Amount | Value | |||
Yield1 | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (99.6%) | |||||
2 | Fannie Mae Discount Notes | 0.090%–0.170% | 9/1/11 | 68,866 | 68,866 |
2 | Fannie Mae Discount Notes | 0.100% | 9/7/11 | 5,225 | 5,225 |
2 | Fannie Mae Discount Notes | 0.025%–0.175% | 9/14/11 | 154,050 | 154,043 |
2 | Fannie Mae Discount Notes | 0.040% | 9/20/11 | 101,000 | 100,998 |
2 | Fannie Mae Discount Notes | 0.180% | 9/21/11 | 20,000 | 19,998 |
2 | Fannie Mae Discount Notes | 0.080%–0.090% | 10/4/11 | 13,700 | 13,699 |
2 | Fannie Mae Discount Notes | 0.080% | 10/5/11 | 12,000 | 11,999 |
2 | Fannie Mae Discount Notes | 0.060%–0.150% | 10/12/11 | 100,526 | 100,512 |
2 | Fannie Mae Discount Notes | 0.070% | 10/19/11 | 50,000 | 49,995 |
2 | Fannie Mae Discount Notes | 0.100% | 10/24/11 | 6,000 | 5,999 |
2 | Fannie Mae Discount Notes | 0.140%–0.145% | 10/26/11 | 88,263 | 88,244 |
2 | Fannie Mae Discount Notes | 0.120% | 11/2/11 | 14,675 | 14,672 |
2 | Fannie Mae Discount Notes | 0.060% | 11/7/11 | 10,100 | 10,099 |
2 | Fannie Mae Discount Notes | 0.065% | 11/9/11 | 7,665 | 7,664 |
2 | Fannie Mae Discount Notes | 0.070%–0.130% | 11/16/11 | 81,200 | 81,187 |
2 | Fannie Mae Discount Notes | 0.120% | 11/23/11 | 5,000 | 4,999 |
2 | Fannie Mae Discount Notes | 0.140% | 11/30/11 | 147,208 | 147,156 |
2 | Fannie Mae Discount Notes | 0.080%–0.120% | 12/1/11 | 26,967 | 26,961 |
2 | Fannie Mae Discount Notes | 0.140% | 12/7/11 | 51,000 | 50,981 |
2 | Fannie Mae Discount Notes | 0.140% | 12/14/11 | 40,000 | 39,984 |
2 | Fannie Mae Discount Notes | 0.105% | 1/4/12 | 78,345 | 78,316 |
2 | Fannie Mae Discount Notes | 0.220% | 1/18/12 | 90,350 | 90,273 |
2 | Fannie Mae Discount Notes | 0.150% | 1/25/12 | 40,000 | 39,976 |
2 | Fannie Mae Discount Notes | 0.150% | 2/8/12 | 31,183 | 31,162 |
2 | Federal Home Loan Bank Discount Notes | 0.050%–0.170% | 9/7/11 | 145,402 | 145,400 |
2 | Federal Home Loan Bank Discount Notes | 0.060%–0.170% | 9/9/11 | 12,330 | 12,330 |
2 | Federal Home Loan Bank Discount Notes | 0.110% | 9/13/11 | 3,591 | 3,591 |
2 | Federal Home Loan Bank Discount Notes | 0.095% | 9/14/11 | 60,000 | 59,998 |
2 | Federal Home Loan Bank Discount Notes | 0.060%–0.095% | 9/16/11 | 54,000 | 53,998 |
2 | Federal Home Loan Bank Discount Notes | 0.055% | 9/23/11 | 14,400 | 14,399 |
2 | Federal Home Loan Bank Discount Notes | 0.070% | 9/28/11 | 33,757 | 33,755 |
2 | Federal Home Loan Bank Discount Notes | 0.070% | 9/30/11 | 155,736 | 155,727 |
2 | Federal Home Loan Bank Discount Notes | 0.050% | 10/7/11 | 16,655 | 16,654 |
2 | Federal Home Loan Bank Discount Notes | 0.050% | 10/14/11 | 55,000 | 54,997 |
2 | Federal Home Loan Bank Discount Notes | 0.100% | 10/19/11 | 9,000 | 8,999 |
2 | Federal Home Loan Bank Discount Notes | 0.120% | 10/21/11 | 1,850 | 1,850 |
35
Federal Money Market Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Yield1 | Date | ($000) | ($000) | ||
2 | Federal Home Loan Bank Discount Notes | 0.200% | 10/24/11 | 17,900 | 17,895 |
2 | Federal Home Loan Bank Discount Notes | 0.120%–0.200% | 10/26/11 | 17,400 | 17,395 |
2 | Federal Home Loan Bank Discount Notes | 0.080% | 11/16/11 | 7,400 | 7,399 |
2 | Federal Home Loan Bank Discount Notes | 0.080%–0.085% | 11/25/11 | 11,600 | 11,598 |
2 | Federal Home Loan Bank Discount Notes | 0.140% | 11/30/11 | 12,700 | 12,695 |
2 | Federal Home Loan Bank Discount Notes | 0.140% | 12/7/11 | 11,000 | 10,996 |
2 | Federal Home Loan Bank Discount Notes | 0.140% | 12/13/11 | 10,000 | 9,996 |
2 | Federal Home Loan Bank Discount Notes | 0.140% | 12/14/11 | 10,000 | 9,996 |
2 | Federal Home Loan Bank Discount Notes | 0.100% | 1/11/12 | 30,000 | 29,989 |
2 | Federal Home Loan Bank Discount Notes | 0.120% | 1/18/12 | 19,500 | 19,491 |
2 | Federal Home Loan Bank Discount Notes | 0.100%–0.150% | 2/10/12 | 69,242 | 69,203 |
2 | Federal Home Loan Bank Discount Notes | 0.130% | 2/17/12 | 57,000 | 56,965 |
2 | Federal Home Loan Bank Discount Notes | 0.120% | 2/22/12 | 31,000 | 30,982 |
2,3 | Federal Home Loan Banks | 0.126% | 9/9/11 | 24,000 | 24,000 |
2,3 | Federal Home Loan Banks | 0.168% | 9/23/11 | 41,000 | 40,999 |
2,3 | Federal Home Loan Banks | 0.173% | 1/9/12 | 150,000 | 149,983 |
2,3 | Federal Home Loan Banks | 0.185% | 1/23/12 | 25,000 | 24,997 |
2,3 | Federal Home Loan Banks | 0.157% | 2/3/12 | 100,000 | 99,987 |
2,3 | Federal Home Loan Mortgage Corp. | 0.168% | 12/16/11 | 35,000 | 34,996 |
2,3 | Federal Home Loan Mortgage Corp. | 0.168% | 2/16/12 | 75,000 | 74,986 |
2,3 | Federal Home Loan Mortgage Corp. | 0.157% | 8/24/12 | 60,000 | 59,972 |
2,3 | Federal Home Loan Mortgage Corp. | 0.173% | 3/21/13 | 13,000 | 12,990 |
2,3 | Federal Home Loan Mortgage Corp. | 0.155% | 5/6/13 | 48,000 | 47,962 |
2,3 | Federal Home Loan Mortgage Corp. | 0.142% | 6/3/13 | 60,000 | 59,957 |
2,3 | Federal National Mortgage Assn. | 0.235% | 8/23/12 | 160,000 | 160,018 |
2,3 | Federal National Mortgage Assn. | 0.240% | 9/17/12 | 40,000 | 39,991 |
2,3 | Federal National Mortgage Assn. | 0.235% | 11/23/12 | 70,000 | 69,974 |
2,3 | Federal National Mortgage Assn. | 0.197% | 8/12/13 | 30,000 | 29,982 |
2 | Freddie Mac Discount Notes | 0.060%–0.115% | 9/6/11 | 22,850 | 22,850 |
2 | Freddie Mac Discount Notes | 0.170% | 9/12/11 | 95,000 | 94,995 |
2 | Freddie Mac Discount Notes | 0.050% | 9/13/11 | 13,000 | 13,000 |
2 | Freddie Mac Discount Notes | 0.150% | 9/14/11 | 34,940 | 34,938 |
2 | Freddie Mac Discount Notes | 0.130%–0.180% | 9/19/11 | 43,977 | 43,973 |
2 | Freddie Mac Discount Notes | 0.065% | 10/3/11 | 5,300 | 5,300 |
2 | Freddie Mac Discount Notes | 0.130%–0.160% | 10/4/11 | 95,755 | 95,741 |
2 | Freddie Mac Discount Notes | 0.090% | 10/6/11 | 4,300 | 4,300 |
2 | Freddie Mac Discount Notes | 0.065% | 10/12/11 | 4,300 | 4,300 |
2 | Freddie Mac Discount Notes | 0.100%–0.200% | 10/24/11 | 345,593 | 345,512 |
2 | Freddie Mac Discount Notes | 0.050%–0.080% | 11/2/11 | 29,600 | 29,596 |
2 | Freddie Mac Discount Notes | 0.080%–0.120% | 11/7/11 | 180,991 | 180,962 |
2 | Freddie Mac Discount Notes | 0.060%–0.080% | 11/9/11 | 36,500 | 36,495 |
2 | Freddie Mac Discount Notes | 0.120% | 11/14/11 | 8,350 | 8,348 |
2 | Freddie Mac Discount Notes | 0.090% | 11/15/11 | 25,000 | 24,995 |
2 | Freddie Mac Discount Notes | 0.140% | 12/5/11 | 35,000 | 34,987 |
2 | Freddie Mac Discount Notes | 0.080%–0.090% | 12/6/11 | 35,400 | 35,392 |
2 | Freddie Mac Discount Notes | 0.130%–0.140% | 12/12/11 | 36,892 | 36,877 |
2 | Freddie Mac Discount Notes | 0.150% | 12/13/11 | 8,000 | 7,997 |
2 | Freddie Mac Discount Notes | 0.095% | 12/14/11 | 45,000 | 44,988 |
2 | Freddie Mac Discount Notes | 0.105% | 1/3/12 | 52,000 | 51,981 |
2 | Freddie Mac Discount Notes | 0.150% | 1/19/12 | 9,000 | 8,995 |
2 | Freddie Mac Discount Notes | 0.110% | 2/13/12 | 48,000 | 47,976 |
United States Treasury Bill | 0.170% | 9/29/11 | 138,298 | 138,280 | |
United States Treasury Bill | 0.074% | 11/17/11 | 50,000 | 49,992 | |
United States Treasury Bill | 0.100% | 11/25/11 | 50,000 | 49,988 | |
United States Treasury Bill | 0.116% | 12/1/11 | 150,000 | 149,956 |
36
Federal Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Yield1 | Date | ($000) | ($000) | |
United States Treasury Bill | 0.105% | 12/8/11 | 30,000 | 29,991 |
United States Treasury Bill | 0.095%–0.101% | 12/29/11 | 100,000 | 99,968 |
Total U.S. Government and Agency Obligations (Cost $4,772,773) | 4,772,773 | |||
Repurchase Agreements (0.4%) | ||||
Barclays Capital Inc. | ||||
(Dated 8/31/11, Repurchase Value | ||||
$5,000,000, collateralized by U.S. | ||||
Treasury Bond 4.500%, 8/15/39) | 0.040% | 9/1/11 | 5,000 | 5,000 |
RBC Capital Market LLC | ||||
(Dated 8/31/11, Repurchase Value | ||||
$5,000,000, collateralized by U.S. | ||||
Treasury Note 0.500%, 8/15/14) | 0.050% | 9/1/11 | 5,000 | 5,000 |
RBS Securities, Inc. | ||||
(Dated 8/31/11, Repurchase Value | ||||
$9,098,000, collateralized by U.S. | ||||
Treasury Note 2.375%, 10/31/14) | 0.060% | 9/1/11 | 9,098 | 9,098 |
Total Repurchase Agreements (Cost $19,098) | 19,098 | |||
Total Investments (100.0%) (Cost $4,791,871) | 4,791,871 | |||
Other Assets and Liabilities (0.0%) | ||||
Other Assets | 7,029 | |||
Liabilities | (4,999) | |||
2,030 | ||||
Net Assets (100%) | ||||
Applicable to 4,793,274,679 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 4,793,901 | |||
Net Asset Value Per Share | $1.00 | |||
At August 31, 2011, net assets consisted of: | ||||
Amount | ||||
($000) | ||||
Paid-in Capital | 4,793,793 | |||
Undistributed Net Investment Income | — | |||
Accumulated Net Realized Gains | 108 | |||
Net Assets | 4,793,901 |
See Note A in Notes to Financial Statements.
1 Represents annualized yield at date of purchase for discount securities, and coupon for coupon-bearing securities.
2 The issuer operates under a congressional charter; its securities are not backed by the full faith and credit of the U.S. government.
3 Adjustable-rate security.
See accompanying Notes, which are an integral part of the Financial Statements.
37
Federal Money Market Fund
Statement of Operations
Year Ended | |
August 31, 2011 | |
($000) | |
Investment Income | |
Income | |
Interest | 10,989 |
Total Income | 10,989 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 262 |
Management and Administrative | 8,529 |
Marketing and Distribution | 1,688 |
Custodian Fees | 89 |
Auditing Fees | 28 |
Shareholders’ Reports | 43 |
Trustees’ Fees and Expenses | 7 |
Total Expenses | 10,646 |
Expense Reduction—Note B | (560) |
Net Expenses | 10,086 |
Net Investment Income | 903 |
Realized Net Gain (Loss) on Investment Securities Sold | 45 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 948 |
See accompanying Notes, which are an integral part of the Financial Statements.
38
Federal Money Market Fund
Statement of Changes in Net Assets
Year Ended August 31, | ||
2011 | 2010 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 903 | 3,190 |
Realized Net Gain (Loss) | 45 | 63 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 948 | 3,253 |
Distributions | ||
Net Investment Income | (903) | (3,190) |
Realized Capital Gain | — | — |
Total Distributions | (903) | (3,190) |
Capital Share Transactions (at $1.00) | ||
Issued | 474,221 | 617,905 |
Issued in Lieu of Cash Distributions | 881 | 3,094 |
Redeemed | (1,729,232) | (3,959,429) |
Net Increase (Decrease) from Capital Share Transactions | (1,254,130) | (3,338,430) |
Total Increase (Decrease) | (1,254,085) | (3,338,367) |
Net Assets | ||
Beginning of Period | 6,047,986 | 9,386,353 |
End of Period | 4,793,901 | 6,047,986 |
See accompanying Notes, which are an integral part of the Financial Statements.
39
Federal Money Market Fund
Financial Highlights
For a Share Outstanding | Year Ended August 31, | ||||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Investment Operations | |||||
Net Investment Income | .0002 | .0004 | .011 | .034 | .051 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | — | — | — | — | — |
Total from Investment Operations | .0002 | .0004 | .011 | .034 | .051 |
Distributions | |||||
Dividends from Net Investment Income | (.0002) | (.0004) | (.011) | (.034) | (.051) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.0002) | (.0004) | (.011) | (.034) | (.051) |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return1 | 0.02% | 0.04% | 1.06% | 3.46% | 5.17% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $4,794 | $6,048 | $9,386 | $8,982 | $7,672 |
Ratio of Total Expenses to | |||||
Average Net Assets | 0.19%2 | 0.22% | 0.27%3 | 0.23% | 0.24% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 0.02% | 0.04% | 1.03% | 3.33% | 5.05% |
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 The ratio of total expenses to average net assets before an expense reduction was 0.20%. See Note B in the Notes to Financial Statements.
3 Includes 0.02% of fees to participate in the Treasury Temporary Guarantee Program for Money Market Funds.
See accompanying Notes, which are an integral part of the Financial Statements.
40
Federal Money Market Fund
Notes to Financial Statements
Vanguard Federal Money Market Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund invests in short-term debt instruments issued by the U.S. government or its agencies and instrumentalities, and repurchase agreements collateralized by such instruments.
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 at amortized cost, which approximates market value.
2. Repurchase Agreements: The fund invests in repurchase agreements. Securities pledged as collateral for repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal; however, in the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings.
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 (August 31, 2008–2011), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month.
5. Other: Interest income is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
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 August 31, 2011, the fund had contributed capital of $776,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 0.31% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard. Vanguard and the board of trustees have agreed to temporarily limit certain net operating expenses in excess of the fund’s daily yield so as to maintain a zero or positive yield for the fund. Vanguard and the board of trustees may terminate the temporary expense limitation at any time. For the year ended August 31, 2011, Vanguard’s management and administrative expenses were reduced by $560,000 (an effective annual rate of 0.01% of the fund’s net assets).
41
Federal Money Market Fund
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
At August 31, 2011, 100% of the fund’s investments were valued using amortized cost, in accordance with rules under the Investment Company Act of 1940. Amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, securities valued at amortized cost are considered to be valued using Level 2 inputs.
D. In preparing the financial statements as of August 31, 2011, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
42
Admiral Treasury Money Market Fund
Fund Profile
As of August 31, 2011
Financial Attributes | |
Ticker Symbol | VUSXX |
Expense Ratio1 | 0.14% |
7-Day SEC Yield | 0.01% |
Average Weighted | |
Maturity | 50 days |
Sector Diversification (% of portfolio) | |
U.S. Treasury Bills | 100.0% |
The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are not backed by the full faith and credit of the U.S. government.
Distribution by Credit Quality (% of portfolio) | |
First Tier | 100.0% |
For information about these ratings, see the Glossary entry for Credit Quality. |
1 The expense ratio shown is from the prospectus dated December 23, 2010, and represents estimated costs for the current fiscal year. For the fiscal year ended August 31, 2011, the expense ratio was 0.11%, reflecting a temporary reduction in operating expenses (described in Note B of the Notes to Financial Statements). Before this reduction, the expense ratio was 0.12% .
43
Admiral Treasury Money Market Fund
Performance Summary
Investment returns will fluctuate. 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.) The returns shown do not reflect taxes that a shareholder would pay on fund distributions. An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the fund seeks to preserve the value of your investment at $1 per share, it is possible to lose money by investing in the fund. The fund’s 7-day SEC yield reflects its current earnings more closely than do the average annual returns.
Cumulative Performance: August 31, 2001, Through August 31, 2011
Initial Investment of $50,000
Average Annual Total Returns | ||||
Periods Ended August 31, 2011 | ||||
Final Value | ||||
One | Five | Ten | of a $50,000 | |
Year | Years | Years | Investment | |
Admiral Treasury Money Market Fund | 0.02% | 1.75% | 1.95% | $60,636 |
Citigroup Three-Month U.S. Treasury | ||||
Bill Index | 0.12 | 1.69 | 1.95 | 60,640 |
iMoneyNet Money Fund Report’s | ||||
100% Treasury Funds Average | 0.00 | 1.30 | 1.43 | 57,619 |
iMoneyNet Money Fund Report’s 100% Treasury Funds Average: Derived from data provided by iMoneyNet, Inc.
See Financial Highlights for dividend information.
44
Admiral Treasury Money Market Fund
Fiscal-Year Total Returns (%): August 31, 2001, Through August 31, 2011
iMoneyNet | ||
Average | ||
Fiscal Year | Total Returns | Total Returns |
2002 | 2.15% | 1.58% |
2003 | 1.20 | 0.67 |
2004 | 0.91 | 0.39 |
2005 | 2.29 | 1.61 |
2006 | 4.22 | 3.54 |
2007 | 5.01 | 4.34 |
2008 | 3.08 | 2.08 |
2009 | 0.70 | 0.17 |
2010 | 0.03 | 0.00 |
2011 | 0.02 | 0.00 |
7-day SEC yield (8/31/2011): 0.01% | ||
iMoneyNet Money Fund Report’s 100% Treasury Funds Average: Derived from data provided by iMoneyNet, Inc. |
Average Annual Total Returns: Periods Ended June 30, 2011
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Admiral Treasury Money Market | ||||
Fund | 12/14/1992 | 0.02% | 1.91% | 2.01% |
45
Admiral Treasury Money Market Fund
Financial Statements
Statement of Net Assets
As of August 31, 2011
The fund reports a complete list of its holdings in various monthly and quarterly regulatory filings. The fund publishes its holdings on a monthly basis at vanguard.com and files them with the Securities and Exchange Commission on Form N-MFP. The fund’s Form N-MFP filings become public 60 days after the relevant month-end, and may be viewed at sec.gov or via a link on the “Portfolio Holdings” page on vanguard.com. 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 SEC 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).
Face | Market | |||
Maturity | Amount | Value | ||
Yield1 | Date | ($000) | ($000) | |
U.S. Government and Agency Obligations (108.2%) | ||||
United States Treasury Bill | 0.060% | 9/1/11 | 1,251,359 | 1,251,359 |
United States Treasury Bill | 0.045% | 9/8/11 | 1,200,000 | 1,199,989 |
United States Treasury Bill | 0.050%–0.152% | 9/15/11 | 1,518,000 | 1,517,960 |
United States Treasury Bill | 0.035%–0.150% | 9/22/11 | 1,445,464 | 1,445,418 |
United States Treasury Bill | 0.025%–0.170% | 9/29/11 | 950,000 | 949,948 |
United States Treasury Bill | 0.025% | 10/6/11 | 750,000 | 749,982 |
United States Treasury Bill | 0.030%–0.110% | 10/13/11 | 1,131,355 | 1,131,263 |
United States Treasury Bill | 0.020% | 10/20/11 | 969,233 | 969,207 |
United States Treasury Bill | 0.060%–0.115% | 10/27/11 | 1,301,902 | 1,301,746 |
United States Treasury Bill | 0.045%–0.047% | 11/10/11 | 1,400,000 | 1,399,876 |
United States Treasury Bill | 0.035% | 11/17/11 | 1,260,000 | 1,259,906 |
United States Treasury Bill | 0.015% | 11/25/11 | 1,217,760 | 1,217,717 |
United States Treasury Bill | 0.015% | 12/1/11 | 1,250,597 | 1,250,550 |
United States Treasury Bill | 0.095% | 12/29/11 | 394,000 | 393,876 |
United States Treasury Bill | 0.080% | 1/5/12 | 229,000 | 228,936 |
United States Treasury Bill | 0.080% | 2/16/12 | 300,000 | 299,888 |
Total U.S. Government and Agency Obligations (Cost $16,567,621) | 16,567,621 | |||
Total Investments (108.2%) (Cost $16,567,621) | 16,567,621 | |||
Other Assets and Liabilities (-8.2%) | ||||
Other Assets | 17,090 | |||
Liabilities | (1,270,829) | |||
(1,253,739) | ||||
Net Assets (100%) | ||||
Applicable to 15,310,688,678 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 15,313,882 | |||
Net Asset Value Per Share | $1.00 |
46
Admiral Treasury Money Market Fund | |
Market | |
Value | |
($000) | |
Statement of Assets and Liabilities | |
Assets | |
Investments in Securities, at Value | 16,567,621 |
Receivables for Investment Securities Sold | 5,403 |
Receivables for Capital Shares Issued | 5,222 |
Other Assets | 6,465 |
Total Assets | 16,584,711 |
Liabilities | |
Payables for Investment Securities Purchased | 1,255,953 |
Payables for Capital Shares Redeemed | 7,754 |
Other Liabilities | 7,122 |
Total Liabilities | 1,270,829 |
Net Assets | 15,313,882 |
At August 31, 2011, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 15,313,739 |
Undistributed Net Investment Income | — |
Accumulated Net Realized Gains | 143 |
Net Assets | 15,313,882 |
See Note A in Notes to Financial Statements.
1 Represents annualized yield at date of purchase for discount securities, and coupon for coupon-bearing securities.
See accompanying Notes, which are an integral part of the Financial Statements.
47
Admiral Treasury Money Market Fund
Statement of Operations
Year Ended | |
August 31, 2011 | |
($000) | |
Investment Income | |
Income | |
Interest | 21,548 |
Total Income | 21,548 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 825 |
Management and Administrative | 14,783 |
Marketing and Distribution | 4,078 |
Custodian Fees | 254 |
Auditing Fees | 23 |
Shareholders’ Reports | 60 |
Trustees’ Fees and Expenses | 19 |
Total Expenses | 20,042 |
Expense Reduction—Note B | (1,220) |
Net Expenses | 18,822 |
Net Investment Income | 2,726 |
Realized Net Gain (Loss) on Investment Securities Sold | 110 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,836 |
See accompanying Notes, which are an integral part of the Financial Statements.
48
Admiral Treasury Money Market Fund
Statement of Changes in Net Assets
Year Ended August 31, | ||
2011 | 2010 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 2,726 | 6,087 |
Realized Net Gain (Loss) | 110 | 33 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,836 | 6,120 |
Distributions | ||
Net Investment Income | (2,726) | (6,087) |
Realized Capital Gain | — | — |
Total Distributions | (2,726) | (6,087) |
Capital Share Transactions (at $1.00) | ||
Issued | 976,384 | 1,061,537 |
Issued in Lieu of Cash Distributions | 2,643 | 5,859 |
Redeemed | (4,391,653) | (7,775,844) |
Net Increase (Decrease) from Capital Share Transactions | (3,412,626) | (6,708,448) |
Total Increase (Decrease) | (3,412,516) | (6,708,415) |
Net Assets | ||
Beginning of Period | 18,726,398 | 25,434,813 |
End of Period | 15,313,882 | 18,726,398 |
See accompanying Notes, which are an integral part of the Financial Statements.
49
Admiral Treasury Money Market Fund
Financial Highlights
For a Share Outstanding | Year Ended August 31, | ||||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Investment Operations | |||||
Net Investment Income | .0002 | .0003 | .007 | .030 | .049 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | — | — | — | — | — |
Total from Investment Operations | .0002 | .0003 | .007 | .030 | .049 |
Distributions | |||||
Dividends from Net Investment Income | (.0002) | (.0003) | (.007) | (.030) | (.049) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.0002) | (.0003) | (.007) | (.030) | (.049) |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return1 | 0.02% | 0.03% | 0.70% | 3.08% | 5.02% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $15,314 | $18,726 | $25,435 | $23,289 | $20,064 |
Ratio of Total Expenses to | |||||
Average Net Assets | 0.11%2 | 0.14% | 0.15%3 | 0.10% | 0.10% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 0.02% | 0.03% | 0.74% | 2.98% | 4.90% |
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 The ratio of total expenses to average net assets before an expense reduction was 0.12%. See Note B in Notes to Financial Statements.
3 Includes 0.03% of fees to participate in the Treasury Temporary Guarantee Program for Money Market Funds.
See accompanying Notes, which are an integral part of the Financial Statements.
50
Admiral Treasury Money Market Fund
Notes to Financial Statements
Vanguard Admiral Treasury Money Market Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund invests in short-term debt instruments backed by the full faith and credit of the U.S. government.
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 at amortized cost, which approximates market value.
2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2008–2011), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
3. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month.
4. Other: Interest income is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
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 August 31, 2011, the fund had contributed capital of $2,472,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 0.99% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard. Vanguard and the board of trustees have agreed to temporarily limit certain net operating expenses in excess of the fund’s daily yield so as to maintain a zero or positive yield for the fund. Vanguard and the board of trustees may terminate the temporary expense limitation at any time. For the year ended August 31, 2011, Vanguard’s management and administrative expenses were reduced by $1,220,000 (an effective annual rate of 0.01% of the fund’s average net assets).
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).
At August 31, 2011, 100% of the fund’s investments were valued using amortized cost, in accordance with rules under the Investment Company Act of 1940. Amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, securities valued at amortized cost are considered to be valued using Level 2 inputs.
D. In preparing the financial statements as of August 31, 2011, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
51
Report of Independent Registered
Public Accounting Firm
To the Trustees of Vanguard Money Market Reserves and Vanguard Admiral Funds and the Shareholders of Vanguard Prime Money Market Fund, Vanguard Federal Money Market Fund and Vanguard Admiral Treasury Money Market Fund:
In our opinion, the accompanying statements of net assets, the statement of assets and liabilities and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Prime Money Market Fund, Vanguard Federal Money Market Fund and Vanguard Admiral Treasury Money Market Fund (the “Funds”) at August 31, 2011, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at August 31, 2011 by correspondence with the custodians and brokers and by agreement to the underlying ownership records of Vanguard Municipal Cash Management Fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 11, 2011
52
Special 2011 tax information (unaudited) for Vanguard Prime Money Market Fund |
This information for the fiscal year ended August 31, 2011, is included pursuant to provisions of the Internal Revenue Code.
For nonresident alien shareholders, 73.0% of income dividends are interest-related dividends.
Special 2011 tax information (unaudited) for Vanguard Federal Money Market Fund |
This information for the fiscal year ended August 31, 2011, is included pursuant to provisions of the Internal Revenue Code.
For nonresident alien shareholders, 100% of income dividends are interest-related dividends.
Special 2011 tax information (unaudited) for Vanguard Admiral Treasury Money Market Fund |
This information for the fiscal year ended August 31, 2011, is included pursuant to provisions of the Internal Revenue Code.
For nonresident alien shareholders, 100% of income dividends are interest-related dividends.
53
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.
54
Six Months Ended August 31, 2011 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
2/28/2011 | 8/31/2011 | Period | |
Based on Actual Fund Return | |||
Prime Money Market Fund | |||
Investor Shares | $1,000.00 | $1,000.27 | $0.86 |
Institutional Shares | 1,000.00 | 1,000.69 | 0.45 |
Federal Money Market Fund | $1,000.00 | $1,000.07 | $0.76 |
Admiral Treasury Money Market Fund | $1,000.00 | $1,000.09 | $0.40 |
Based on Hypothetical 5% Yearly Return | |||
Prime Money Market Fund | |||
Investor Shares | $1,000.00 | $1,024.35 | $0.87 |
Institutional Shares | 1,000.00 | 1,024.75 | 0.46 |
Federal Money Market Fund | $1,000.00 | $1,024.45 | $0.77 |
Admiral Treasury Money Market Fund | $1,000.00 | $1,024.80 | $0.41 |
The calculations are based on expenses incurred In the most recent six-month period. The funds’ annualized six-month expense ratios for the period are: for the Prime Money Market Fund, 0.17% for Investor Shares and 0.09% for Institutional Shares; for the Federal Money Market Fund, 0.15%; and for the Admiral Treasury Money Market Fund, 0.08%. The annualized six-month expense ratios for the Federal Money Market Fund and the Admiral Treasury Money Market Fund reflect a temporary reduction in operating expenses (described in Note B of the Notes to Financial Statements). Before the reduction, the annualized six-month expense ratIos were: for the Federal Money Market Fund, 0.17%; for the Admiral Treasury Money Market Fund, 0.09%.
55
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard Prime Money Market Fund, Federal Money Market Fund, and Admiral Treasury Money Market Fund has renewed the funds’ investment advisory arrangement with The Vanguard Group, Inc. Vanguard—through its Fixed Income Group—serves as the 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 the funds’ investment management over both the short and long term and took into account the organizational depth and stability of the advisor. The board noted that Vanguard has been managing investments for more than three decades. The Fixed Income Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement.
Investment performance
The board considered the short- and long-term performance of the funds, including any periods of outperformance or underperformance of relevant benchmarks and peer groups. The board concluded that the funds have performed in line with expectations, and that their results have been consistent with their investment policies. Information about each fund’s most recent performance can be found on the Performance Summary pages of this report.
Cost
The board concluded that each fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that the funds’ advisory fee rates were also well below their peer-group averages. Information about the funds’ expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements sections.
The board does not conduct a profitability analysis of Vanguard, because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the funds’ low-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.
56
Glossary
SEC Yields. A money market fund’s 7-day SEC yield is calculated by annualizing its income distributions for the previous seven days, as required by the U.S. Securities and Exchange Commission.
Average Weighted Maturity. The average length of time until fixed income securities held by a fund reach maturity and are repaid. The figure reflects the proportion of fund assets represented by each security.
Credit Quality. For Vanguard money market funds, the Distribution by Credit Quality table includes tier ratings for consistency with SEC Rule 2a-7 under the Investment Company Act of 1940, which governs money market funds. A First Tier security is one that is eligible for money market funds and has been rated in the highest short-term rating category for debt obligations by the requisite nationally recognized statistical rating organizations. An unrated security is First Tier if it represents quality comparable to that of a rated security, as determined in accordance with SEC Rule 2a-7. A Second Tier security is one that is eligible for money market funds and is not a First Tier security.
Expense Ratio. The percentage of a fund’s average net assets used to pay its annual administrative and advisory expenses. These expenses directly reduce returns to investors.
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.
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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 178 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
Interested Trustee1 | and President (2006–2008) of Rohm and Haas Co. |
(chemicals); Director of Tyco International, Ltd. | |
F. William McNabb III | (diversified manufacturing and services) and Hewlett- |
Born 1957. Trustee Since July 2009. Chairman of the | Packard Co. (electronic computer manufacturing); |
Board. Principal Occupation(s) During the Past Five | Senior Advisor at New Mountain Capital; Trustee |
Years: Chairman of the Board of The Vanguard Group, | of The Conference Board; Member of the Board of |
Inc., and of each of the investment companies served | Managers of Delphi Automotive LLP (automotive |
by The Vanguard Group, since January 2010; Director | components). |
of The Vanguard Group since 2008; Chief Executive | |
Officer and President of The Vanguard Group and of | Amy Gutmann |
each of the investment companies served by The | Born 1949. Trustee Since June 2006. Principal |
Vanguard Group since 2008; Director of Vanguard | Occupation(s) During the Past Five Years: President |
Marketing Corporation; Managing Director of The | of the University of Pennsylvania; Christopher H. |
Vanguard Group (1995–2008). | Browne Distinguished Professor of Political Science |
in the School of Arts and Sciences with secondary | |
appointments at the Annenberg School for Commu- | |
Independent Trustees | nication and the Graduate School of Education |
of the University of Pennsylvania; Director of | |
Emerson U. Fullwood | Carnegie Corporation of New York, Schuylkill River |
Born 1948. Trustee Since January 2008. Principal | Development Corporation, and Greater Philadelphia |
Occupation(s) During the Past Five Years: Executive | Chamber of Commerce; Trustee of the National |
Chief Staff and Marketing Officer for North America | Constitution Center; Chair of the Presidential |
and Corporate Vice President (retired 2008) of Xerox | Commission for the Study of Bioethical Issues. |
Corporation (document management products and | |
services); Executive in Residence and 2010 | JoAnn Heffernan Heisen |
Distinguished Minett Professor at the Rochester | Born 1950. Trustee Since July 1998. Principal |
Institute of Technology; Director of SPX Corporation | Occupation(s) During the Past Five Years: Corporate |
(multi-industry manufacturing), the United Way of | Vice President and Chief Global Diversity Officer |
Rochester, Amerigroup Corporation (managed health | (retired 2008) and Member of the Executive |
care), the University of Rochester Medical Center, | Committee (1997–2008) of Johnson & Johnson |
Monroe Community College Foundation, and North | (pharmaceuticals/consumer products); Director of |
Carolina A&T University. | Skytop Lodge Corporation (hotels), the University |
Medical Center at Princeton, the Robert Wood | |
Rajiv L. Gupta | Johnson Foundation, and the Center for Work Life |
Born 1945. Trustee Since December 2001.2 | Policy; Member of the Advisory Board of the |
Principal Occupation(s) During the Past Five Years: | Maxwell School of Citizenship and Public Affairs |
Chairman and Chief Executive Officer (retired 2009) | at Syracuse University. |
F. Joseph Loughrey | Thomas J. Higgins | |
Born 1949. Trustee Since October 2009. Principal | Born 1957. Chief Financial Officer Since September | |
Occupation(s) During the Past Five Years: President | 2008. Principal Occupation(s) During the Past Five | |
and Chief Operating Officer (retired 2009) and Vice | Years: Principal of The Vanguard Group, Inc.; Chief | |
Chairman of the Board (2008–2009) of Cummins Inc. | Financial Officer of each of the investment companies | |
(industrial machinery); Director of SKF AB (industrial | served by The Vanguard Group since 2008; Treasurer | |
machinery), Hillenbrand, Inc. (specialized consumer | of each of the investment companies served by The | |
services), the Lumina Foundation for Education, and | Vanguard Group (1998–2008). | |
Oxfam America; Chairman of the Advisory Council | ||
for the College of Arts and Letters and Member | Kathryn J. Hyatt | |
of the Advisory Board to the Kellogg Institute for | Born 1955. Treasurer Since November 2008. Principal | |
International Studies at the University of Notre Dame. | Occupation(s) During the Past Five Years: Principal | |
of The Vanguard Group, Inc.; Treasurer of each of | ||
André F. Perold | the investment companies served by The Vanguard | |
Born 1952. Trustee Since December 2004. Principal | Group since 2008; Assistant Treasurer of each of the | |
Occupation(s) During the Past Five Years: George | investment companies served by The Vanguard Group | |
Gund Professor of Finance and Banking at the Harvard | (1988–2008). | |
Business School (retired July 2011); Chief Investment | ||
Officer and co-Managing Partner of HighVista | Heidi Stam | |
Strategies LLC (private investment firm); Director of | Born 1956. Secretary Since July 2005. Principal | |
Rand Merchant Bank; Overseer of the Museum of | Occupation(s) During the Past Five Years: Managing | |
Fine Arts Boston. | Director of The Vanguard Group, Inc., since 2006; | |
General Counsel of The Vanguard Group since 2005; | ||
Alfred M. Rankin, Jr. | Secretary of The Vanguard Group and of each of the | |
Born 1941. Trustee Since January 1993. Principal | investment companies served by The Vanguard Group | |
Occupation(s) During the Past Five Years: Chairman, | since 2005; Director and Senior Vice President of | |
President, and Chief Executive Officer of NACCO | Vanguard Marketing Corporation since 2005; | |
Industries, Inc. (forklift trucks/housewares/lignite); | Principal of The Vanguard Group (1997–2006). | |
Director of Goodrich Corporation (industrial products/ | ||
aircraft systems and services) and the National | ||
Association of Manufacturers; Chairman of the | Vanguard Senior Management Team | |
Federal Reserve Bank of Cleveland; Vice Chairman | ||
of University Hospitals of Cleveland; President of | R. Gregory Barton | Michael S. Miller |
the Board of The Cleveland Museum of Art. | Mortimer J. Buckley | James M. Norris |
Kathleen C. Gubanich | Glenn W. Reed | |
Peter F. Volanakis | Paul A. Heller | George U. Sauter |
Born 1955. Trustee Since July 2009. Principal | Martha G. King | |
Occupation(s) During the Past Five Years: President | ||
and Chief Operating Officer (retired 2010) of Corning | ||
Incorporated (communications equipment); Director of | Chairman Emeritus and Senior Advisor | |
Corning Incorporated (2000–2010) and Dow Corning | ||
(2001–2010); Overseer of the Amos Tuck School of | John J. Brennan | |
Business Administration at Dartmouth College. | Chairman, 1996–2009 | |
Chief Executive Officer and President, 1996–2008 | ||
Executive Officers | ||
Founder | ||
Glenn Booraem | ||
Born 1967. Controller Since July 2010. Principal | John C. Bogle | |
Occupation(s) During the Past Five Years: Principal | Chairman and Chief Executive Officer, 1974–1996 | |
of The Vanguard Group, Inc.; Controller of each of | ||
the investment companies served by The Vanguard | ||
Group since 2010; Assistant Controller of each of | ||
the investment companies served by The Vanguard | ||
Group (2001–2010). |
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
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© 2011 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q300 102011 |
Annual Report | August 31, 2011 |
Vanguard S&P Mid-Cap 400 |
Index Funds |
Vanguard S&P Mid-Cap 400 Index Fund
Vanguard S&P Mid-Cap 400 Value Index Fund
Vanguard S&P Mid-Cap 400 Growth Index Fund
> In their first year of operation, the Vanguard S&P Mid-Cap 400 Index Funds benefited from a period of stock market strength, as their ETF Shares delivered double-digit returns for the nearly 12 months since their inception.
> The ETF Shares of all three funds closely tracked the returns of their benchmark indexes and bested the average returns of peer funds.
> Consumer-related, industrial, and energy stocks were notable performers.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
S&P Mid-Cap 400 Index Fund. | 8 |
S&P Mid-Cap 400 Value Index Fund. | 24 |
S&P Mid-Cap 400 Growth Index Fund. | 38 |
About Your Fund’s Expenses. | 54 |
Trustees Approve Advisory Arrangement. | 56 |
Glossary. | 57 |
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: Vanguard was named for the HMS Vanguard, flagship of British Admiral Horatio Nelson. A ship—whose performance and safety depend on the work of all hands—has served as a fitting metaphor for the Vanguard crew as we strive to help clients reach their financial goals.
Your Fund’s Total Returns
Period Ended August 31, 2011 | |
Returns | |
Since Inception | |
Vanguard S&P Mid-Cap 400 Index Fund | |
Institutional Shares (Inception: 3/28/2011)1 | -8.98% |
ETF Shares (Inception: 9/7/2010) | |
Market Price | 17.21 |
Net Asset Value | 17.21 |
S&P MidCap 400 Index | 17.41 |
Mid-Cap Core Funds Average | 15.19 |
Mid-Cap Core Funds Average: Derived from data provided by Lipper Inc. | |
Vanguard S&P Mid-Cap 400 Value Index Fund | |
Institutional Shares (Inception: 11/2/2010) | 2.15% |
ETF Shares (Inception: 9/7/2010) | |
Market Price | 11.72 |
Net Asset Value | 12.18 |
S&P MidCap 400 Value Index | 12.39 |
Mid-Cap Value Funds Average | 11.96 |
Mid-Cap Value Funds Average: Derived from data provided by Lipper Inc. | |
Vanguard S&P Mid-Cap 400 Growth Index Fund | |
Institutional Shares (Inception: 3/28/2011)1 | -6.57% |
ETF Shares (Inception: 9/7/2010) | |
Market Price | 22.42 |
Net Asset Value | 22.36 |
S&P MidCap 400 Growth Index | 22.56 |
Mid-Cap Growth Funds Average | 17.78 |
Mid-Cap Growth Funds Average: Derived from data provided by Lipper Inc. |
1 For the S&P Mid-Cap 400 Index Fund and the S&P Mid-Cap 400 Growth Index Fund, Institutional Shares were first issued on December 15, 2010, and the sole shareholder redeemed shortly thereafter. Institutional Shares were next issued by each fund on March 28, 2011. The total returns shown are based on the period beginning March 28, 2011.
Institutional Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the NYSE Arca exchange and are available only through brokers. The table provides ETF returns based on both the NYSE Arca market price and the net asset value for a share. U.S. Pat. No. 6,879,964 B2; 7,337,138.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares’ market price was above or below the NAV.
Benchmark returns are calculated from the earliest share class inception date.
1
Chairman’s Letter
Dear Shareholder,
In the nearly 12 months since their inception in early September 2010, the ETF Shares of the three Vanguard S&P Mid-Cap 400 Index Funds produced generous returns, benefiting from a broad-based rally among medium-sized stocks.
The returns ranged from more than12% for Vanguard S&P Mid-Cap 400 Value Index Fund to more than 22% for Vanguard S&P Mid-Cap 400 Growth Index Fund. (Returns are based on changes in the funds’ net asset values, adjusted to account for dividend distributions during the period.) Vanguard S&P Mid-Cap 400 Index Fund, a blend of the Growth and Value Funds, predictably ended in the middle, returning a bit more than 17%.
Each of the funds has also issued Institutional Shares, which require a minimum initial investment of $5 million. These shares, because of their later start, posted lower returns than the ETF Shares as the performance of mid-cap stocks waned during the period.
The new S&P Mid-Cap 400 Index Funds mark an extension of Vanguard’s indexing franchise, which now includes sets of broad-market portfolios benchmarked to Russell, Standard & Poor’s, and MSCI indexes. Our research indicates that correlation among the returns of the indexes from all three providers is very high. As we mentioned six months ago
2
in our first report for these funds, we expect limited differences in long-term performance from one provider’s index to another.
Strong 12-month returns in a tale of two markets
Global stock markets delivered strong returns in a fiscal year marked by distinct periods of strength and weakness.
During the first six months, stock prices surged, with the broad U.S. stock market returning about 29%. As the slow, grinding economic recovery seemed to gather momentum, energy and industrial stocks, which are keenly sensitive to the rhythms of the business cycle, produced the best returns.
In the second six months, growth decelerated and stock market volatility spiked, amplified by Europe’s sovereign-debt drama, political wrangling over the U.S. debt ceiling, and Standard & Poor’s decision to downgrade the U.S. credit rating. (Vanguard’s confidence in the “full faith and credit” of the U.S. government remains unshaken.) Stock prices retreated, and those sectors that led the market in the first half lost ground in the second, displaced by defensive sectors such as utilities and consumer staples.
Treasuries rallied as risk aversion returned
The stock market’s midyear pivot from offense to defense was mirrored in the bond market. In the first half of the year, yields rose (and prices declined) as the
Market Barometer | |||
Average Annual Total Returns | |||
Periods Ended August 31, 2011 | |||
One | Three | Five | |
Year | Years | Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 19.06% | 0.84% | 1.11% |
Russell 2000 Index (Small-caps) | 22.19 | 0.83 | 1.53 |
Dow Jones U.S. Total Stock Market Index | 19.16 | 1.18 | 1.52 |
MSCI All Country World Index ex USA (International) | 10.34 | -0.97 | 0.79 |
Bonds | |||
Barclays Capital U.S. Aggregate Bond Index (Broad | |||
taxable market) | 4.62% | 7.23% | 6.56% |
Barclays Capital Municipal Bond Index (Broad | |||
tax-exempt market) | 2.66 | 6.00 | 4.94 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.12 | 0.24 | 1.69 |
CPI | |||
Consumer Price Index | 3.77% | 1.12% | 2.13% |
3
prospect of improved economic growth and inflationary pressures set the market’s tone. Corporate bonds outperformed U.S. Treasury securities.
In the second half, risk aversion set the tone. Investors bid up Treasuries, trimming the yield of the 10-year Treasury note to barely 2%, and government bonds were among the market’s best performers. For the full year, the taxable investment-grade U.S. bond market returned 4.62%, and the broad municipal bond market returned 2.66%.
The yields of money market instruments hovered near zero, consistent with the Federal Reserve’s target for short-term interest rates. Toward the end of the period, the Fed indicated that it expected to maintain this exceptionally low target at least through mid-2013.
In a strong mid-cap markets, growth outpaced value
In addition to finishing the period with double-digit returns, ETF Shares of the S&P Mid-Cap 400 Growth Index Fund outperformed the broad U.S. stock market. In fact, the fund, along with the broader S&P Mid-Cap 400 Index Fund, saw gains in every sector. Both funds got a boost from the consumer discretionary sector, where apparel, luxury goods, auto components, and restaurant holdings posted double-digit returns as consumer spending held up in the face of higher food and energy costs.
Expense Ratios
Your Fund Compared With Its Peer Group
Institutional | ETF | Peer Group | |
Shares | Shares | Average | |
S&P Mid-Cap 400 Index Fund | 0.09% | 0.16% | 1.36% |
S&P Mid-Cap 400 Value Index Fund | 0.09 | 0.21 | 1.39 |
S&P Mid-Cap 400 Growth Index Fund | 0.08 | 0.20 | 1.44 |
The fund expense ratios shown are from the prospectus dated September 7, 2010, and represent estimated costs for the current fiscal year. For the periods from inception through August 31, 2011, the funds’ annualized expense ratios were: for the S&P Mid-Cap 400 Index Fund, 0.08% for Institutional Shares and 0.15% for ETF Shares; for the S&P Mid-Cap 400 Value Index Fund, 0.08% for Institutional Shares and 0.20% for ETF Shares; and for the S&P Mid-Cap 400 Growth Index Fund, 0.08% for Institutional Shares and 0.20% for ETF Shares. Peer-group expense ratios are derived from data provided by Lipper Inc. and capture information through year-end 2010.
Peer groups: For the S&P Mid-Cap 400 Index Fund, Mid-Cap Core Funds; for the S&P Mid-Cap 400 Value Index Fund, Mid-Cap Value Funds; and for the S&P Mid-Cap 400 Growth Index Fund, Mid-Cap Growth Funds.
4
Health care stocks also buoyed the returns of the two funds, thanks in part to the strength of equipment providers and pharmaceuticals. Industrials did well as machinery makers and electrical equipment companies benefited from factory activity and increased capital spending. And energy stocks delivered exceptional returns for all three funds, with growing demand and rising prices helping to boost profits.
The weakest performer was the S&P Mid-Cap 400 Value Index Fund, although its return of more than 12% for ETF Shares was higher than longer-term averages for mid-capitalization stocks. The fund’s largest sector weighting was in financial stocks. This sector suffered in the period as low trading volumes and asset prices hindered capital market stocks, and weak loan and revenue growth hampered the performance of commercial banks.
The Value Fund’s next-largest sector, industrials, did better but still posted lower returns than the overall mid-cap market.
All three funds captured the returns of their target indexes, within a margin consistent with the costs of managing a real-world portfolio. This tracking success is a tribute to the experienced portfolio management and sophisticated risk-control and trading systems of the funds’ advisor, Vanguard Quantitative Equity Group. The advisor was helped in this task by the funds’ low expense ratios, which allow a greater percentage of returns to be passed on to shareholders.
The funds are best used in a broad-based approach
The Vanguard S&P Mid-Cap 400 Index Funds were developed to serve investors who want an indexed fund focused on the entire mid-cap market or one of its two
A note on expense ratios |
The Expense Ratios table in each report’s Chairman’s Letter displays fund expense |
ratios from the most recent prospectus. These figures include the funds’ actual |
operating expenses. For some funds, the figures also include “acquired fund fees |
and expenses,” which result from the funds’ holdings in business development |
companies (BDCs). |
Although the Securities and Exchange Commission requires that BDC costs be |
included in a fund’s expense ratio, these fees are not incurred by the fund. They |
have no impact on a fund’s total return or on its tracking error relative to an index. |
A footnote to the Expense Ratios table reports an annualized calculation of the |
fund’s actual expenses for the period, a more accurate tally of the operating costs |
incurred by shareholders. |
5
major subsets. We recognize that 12 months isn’t an adequate amount of time to assess an investment. It’s important to remember that the generous returns for ETF Shares in the funds’ first fiscal year are unlikely to repeat themselves year after year. In fact, the market’s volatility toward the end of the period is something that seasoned stock investors know is a common, indeed intrinsic, part of investing.
The best way to approach the market’s inevitable turbulence is to create a diversified and balanced investment plan featuring a combination of risk control and return potential that can fortify your resolve to hang in through the stock market’s occasional rough patches.
With their broad diversification in the mid-cap market, experienced index fund management team, and low costs, the Vanguard S&P Mid-Cap 400 Index Funds offer a convenient way to gain exposure to mid-cap stocks as part of such a portfolio.
Thank you for entrusting your assets to Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
September 15, 2011
6
Your Fund’s Performance at a Glance
Inception Through August 31, 2011
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard S&P Mid-Cap 400 Index Fund | ||||
Institutional Shares (Inception: 3/28/2011)1 | $128.01 | $116.52 | $0.000 | $0.000 |
ETF Shares (Inception: 9/7/2010) | 49.95 | 58.37 | 0.180 | 0.000 |
Vanguard S&P Mid-Cap 400 Value Index Fund | ||||
Institutional Shares (Inception: 11/2/2010) | $109.35 | $111.20 | $0.529 | $0.000 |
ETF Shares (Inception: 9/7/2010) | 49.86 | 55.69 | 0.256 | 0.000 |
Vanguard S&P Mid-Cap 400 Growth Index Fund | ||||
Institutional Shares (Inception: 3/28/2011)1 | $130.08 | $121.54 | $0.000 | $0.000 |
ETF Shares (Inception: 9/7/2010) | 50.04 | 61.13 | 0.100 | 0.000 |
1 For the S&P Mid-Cap 400 Index Fund and the S&P Mid-Cap 400 Growth Index Fund, Institutional Shares were first issued on December 15, 2010, and the sole shareholder redeemed shortly thereafter. Institutional Shares were next issued by each fund on March 28, 2011. The starting share price shown is as of March 28, 2011.
7
S&P Mid-Cap 400 Index Fund
Fund Profile
As of August 31, 2011
Share-Class Characteristics | |||
Institutional | ETF | ||
Shares | Shares | ||
Ticker Symbol | VSPMX | IVOO | |
Expense Ratio1 | 0.09% | 0.16% | |
30-Day SEC Yield | 1.32% | 1.25% | |
Portfolio Characteristics | |||
DJ | |||
S&P | U.S. Total | ||
MidCap 400 | Market | ||
Fund | Index | Index | |
Number of Stocks | 402 | 400 | 3,716 |
Median Market Cap | $3.4B | $3.4B | $30.4B |
Price/Earnings Ratio | 18.3x | 18.3x | 14.7x |
Price/Book Ratio | 1.9x | 1.9x | 2.0x |
Return on Equity | 13.9% | 13.9% | 19.0% |
Earnings Growth Rate | 6.3% | 6.3% | 7.0% |
Dividend Yield | 1.4% | 1.5% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 26% | — | — |
Short-Term Reserves | 0.4% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
S&P | U.S. Total | ||
MidCap | Market | ||
Fund | 400 Index | Index | |
Consumer | |||
Discretionary | 13.9% | 13.9% | 12.3% |
Consumer Staples | 4.9 | 4.9 | 10.5 |
Energy | 7.3 | 7.3 | 10.8 |
Financials | 19.1 | 19.1 | 14.8 |
Health Care | 11.1 | 11.2 | 11.4 |
Industrials | 14.7 | 14.7 | 11.0 |
Information | |||
Technology | 15.2 | 15.1 | 18.7 |
Materials | 7.2 | 7.2 | 4.4 |
Telecommunication | |||
Services | 0.5 | 0.5 | 2.6 |
Utilities | 6.1 | 6.1 | 3.5 |
Ten Largest Holdings (% of total net assets) | ||
Green Mountain Coffee | Packaged Foods & | |
Roasters Inc. | Meats | 1.2% |
Vertex Pharmaceuticals | ||
Inc. | Biotechnology | 0.9 |
Dollar Tree Inc. | General | |
Merchandise Stores | 0.8 | |
Lubrizol Corp. | Specialty Chemcials | 0.8 |
Perrigo Co. | Pharmaceuticals | 0.7 |
BorgWarner Inc. | Auto Parts & | |
Equipment | 0.7 | |
HollyFrontier Corp. | Oil & Gas Refining | |
& Marketing | 0.7 | |
Macerich Co. | Retail REITs | 0.6 |
AMETEK Inc. | Electrical | |
Components & | ||
Equipment | 0.6 | |
Church & Dwight Co. | Household | |
Inc. | Products | 0.6 |
Top Ten | 7.6% | |
The holdings listed exclude any temporary cash investments and equity index products. |
Investment Focus
1 The expense ratios shown are from the prospectus dated September 7, 2010, and represent estimated costs for the current fiscal year. For the periods from inception through August 31, 2011, the annualized expense ratios were 0.08% for Institutional Shares and 0.15% for ETF Shares.
8
S&P Mid-Cap 400 Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: September 7, 2010, Through August 31, 2011
Initial Investment of $10,000
Total Returns | ||
Periods Ended August 31, 2011 | ||
Since | Final Value | |
Inception | of a $10,000 | |
(9/7/2010) | Investment | |
S&P Mid-Cap 400 Index Fund ETF | ||
Shares Net Asset Value | 17.21% | $11,721 |
S&P Mid-Cap 400 Index Fund ETF | ||
Shares Market Price | 17.21 | 11,721 |
• Dow Jones U.S. Total Stock Market | ||
Index | 14.40 | 11,440 |
S&P MidCap 400 Index | 17.41 | 11,741 |
Mid-Cap Core Funds Average | 15.19 | 11,519 |
Mid-Cap Core Funds Average: Derived from data provided by Lipper Inc.
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
Since | Final Value | |
Inception | of a $5,000,000 | |
(3/28/2011)1 | Investment | |
S&P Mid-Cap 400 Index Fund Institutional Shares | -8.98% | $4,551,207 |
Dow Jones U.S. Total Stock Market Index | -6.81 | 4,659,341 |
S&P MidCap 400 Index | -8.92 | 4,554,031 |
“Since Inception” performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.
1 Institutional Shares were first issued on December 15, 2010, and the sole shareholder redeemed shortly thereafter. Institutional Shares were next issued on March 28, 2011. The total returns shown are based on the period beginning March 28, 2011.
See Financial Highlights for dividend and capital gains information.
9
S&P Mid-Cap 400 Index Fund
Cumulative Returns of ETF Shares: September 7, 2010, Through August 31, 2011
Since | |
Inception | |
(9/7/2010) | |
S&P Mid-Cap 400 Index Fund | |
ETF Shares Market Price | 17.21% |
S&P Mid-Cap 400 Index Fund | |
ETF Shares Net Asset Value | 17.21 |
S&P MidCap 400 Index | 17.41 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards. |
Fiscal-Period Total Returns (%): September 7, 2010, Through August 31, 2011
Total Returns: Periods Ended June 30, 2011
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
Inception | Since | |
Date | Inception | |
Institutional Shares | 3/28/20111 | 1.63% |
ETF Shares | 9/7/2010 | |
Market Price | 30.85 | |
Net Asset Value | 30.88 |
1 Institutional Shares were first issued on December 15, 2010, and the sole shareholder redeemed shortly thereafter. Institutional Shares were next issued on March 28, 2011. The total returns shown are based on the period beginning March 28, 2011.
10
S&P Mid-Cap 400 Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2011
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.6%) | |||
Consumer Discretionary (13.8%) | |||
* | Dollar Tree Inc. | 8,191 | 585 |
* | BorgWarner Inc. | 7,338 | 524 |
* | Fossil Inc. | 3,346 | 323 |
PetSmart Inc. | 7,590 | 320 | |
Advance Auto Parts Inc. | 5,130 | 311 | |
PVH Corp. | 4,508 | 301 | |
Tractor Supply Co. | 4,836 | 297 | |
Tupperware Brands Corp. | 4,177 | 278 | |
Polaris Industries Inc. | 2,301 | 253 | |
* | LKQ Corp. | 9,765 | 250 |
Gentex Corp. | 9,554 | 248 | |
* | NVR Inc. | 374 | 238 |
* | Panera Bread Co. Class A | 2,036 | 234 |
Williams-Sonoma Inc. | 7,027 | 233 | |
* | Deckers Outdoor Corp. | 2,589 | 230 |
Foot Locker Inc. | 10,297 | 215 | |
* | Dick’s Sporting Goods Inc. | 6,111 | 215 |
* | Mohawk Industries Inc. | 3,773 | 187 |
* | Hanesbrands Inc. | 6,460 | 185 |
* | Under Armour Inc. Class A | 2,388 | 169 |
* | Toll Brothers Inc. | 9,801 | 168 |
Sotheby’s | 4,522 | 168 | |
Chico’s FAS Inc. | 11,793 | 164 | |
Service Corp. International | 15,984 | 163 | |
* | Warnaco Group Inc. | 2,945 | 157 |
John Wiley & Sons Inc. | |||
Class A | 3,134 | 153 | |
Guess? Inc. | 4,277 | 146 | |
American Eagle Outfitters Inc. | 13,044 | 144 | |
* | AMC Networks Inc. Class A | 3,852 | 143 |
* | Ascena Retail Group Inc. | 4,608 | 131 |
Aaron’s Inc. | 4,820 | 128 | |
Brinker International Inc. | 5,676 | 128 | |
Rent-A-Center Inc. | 4,259 | 120 | |
* | Timberland Co. Class A | 2,634 | 113 |
* | ITT Educational Services Inc. | 1,541 | 111 |
* | Life Time Fitness Inc. | 2,830 | 109 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Cheesecake Factory Inc. | 3,901 | 107 |
* | Saks Inc. | 10,944 | 106 |
* | DreamWorks Animation | ||
SKG Inc. Class A | 4,751 | 100 | |
Wendy’s Co. | 20,417 | 99 | |
* | Bally Technologies Inc. | 2,887 | 91 |
RadioShack Corp. | 6,679 | 87 | |
* | WMS Industries Inc. | 3,833 | 84 |
* | Valassis Communications Inc. | 3,289 | 83 |
* | ANN Inc. | 3,485 | 82 |
* | Lamar Advertising Co. Class A | 3,853 | 81 |
Strayer Education Inc. | 820 | 78 | |
* | Career Education Corp. | 4,208 | 71 |
Matthews International Corp. | |||
Class A | 1,976 | 66 | |
* | New York Times Co. Class A | 7,980 | 65 |
Bob Evans Farms Inc. | 2,029 | 64 | |
Thor Industries Inc. | 2,841 | 63 | |
Meredith Corp. | 2,439 | 63 | |
* | Aeropostale Inc. | 5,404 | 60 |
* | 99 Cents Only Stores | 3,159 | 59 |
American Greetings Corp. | |||
Class A | 2,707 | 57 | |
* | Eastman Kodak Co. | 18,009 | 57 |
Regis Corp. | 3,862 | 57 | |
* | Collective Brands Inc. | 4,121 | 56 |
MDC Holdings Inc. | 2,533 | 50 | |
* | Office Depot Inc. | 18,977 | 49 |
International Speedway Corp. | |||
Class A | 1,954 | 49 | |
Scholastic Corp. | 1,595 | 44 | |
* | Scientific Games Corp. | ||
Class A | 4,255 | 38 | |
Barnes & Noble Inc. | 2,623 | 35 | |
Ryland Group Inc. | 2,971 | 35 | |
KB Home | 4,834 | 32 | |
* | Boyd Gaming Corp. | 98 | 1 |
Harte-Hanks Inc. | 64 | 1 | |
9,912 |
11
S&P Mid-Cap 400 Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Consumer Staples (4.8%) | |||
* | Green Mountain Coffee | ||
Roasters Inc. | 8,363 | 876 | |
Church & Dwight Co. Inc. | 9,581 | 417 | |
* | Hansen Natural Corp. | 4,621 | 394 |
* | Energizer Holdings Inc. | 4,671 | 353 |
* | Ralcorp Holdings Inc. | 3,685 | 319 |
* | Smithfield Foods Inc. | 11,114 | 244 |
Corn Products | |||
International Inc. | 5,107 | 239 | |
* | BJ’s Wholesale Club Inc. | 3,660 | 186 |
Flowers Foods Inc. | 7,521 | 143 | |
Ruddick Corp. | 2,862 | 117 | |
Lancaster Colony Corp. | 1,268 | 77 | |
Universal Corp. | 1,551 | 63 | |
Tootsie Roll Industries Inc. | 1,673 | 42 | |
3,470 | |||
Energy (7.3%) | |||
HollyFrontier Corp. | 6,979 | 501 | |
Cimarex Energy Co. | 5,726 | 407 | |
Southern Union Co. | 8,359 | 350 | |
SM Energy Co. | 4,259 | 326 | |
Oceaneering International Inc. | 7,265 | 310 | |
Arch Coal Inc. | 14,213 | 289 | |
* | Plains Exploration & | ||
Production Co. | 9,438 | 277 | |
Patterson-UTI Energy Inc. | 10,342 | 253 | |
Energen Corp. | 4,824 | 237 | |
* | Dresser-Rand Group Inc. | 5,340 | 227 |
* | Oil States International Inc. | 3,429 | 226 |
CARBO Ceramics Inc. | 1,272 | 204 | |
* | Superior Energy Services Inc. | 5,332 | 188 |
Tidewater Inc. | 3,473 | 186 | |
* | Atwood Oceanics Inc. | 3,773 | 159 |
* | Bill Barrett Corp. | 3,159 | 151 |
* | Dril-Quip Inc. | 2,306 | 149 |
* | Forest Oil Corp. | 7,605 | 148 |
* | Unit Corp. | 2,676 | 128 |
* | Helix Energy Solutions | ||
Group Inc. | 7,096 | 120 | |
* | Patriot Coal Corp. | 6,111 | 90 |
* | Quicksilver Resources Inc. | 7,903 | 75 |
* | Northern Oil and Gas Inc. | 3,635 | 74 |
* | Comstock Resources Inc. | 3,188 | 65 |
* | Exterran Holdings Inc. | 4,279 | 51 |
Overseas Shipholding | |||
Group Inc. | 1,795 | 32 | |
5,223 | |||
Financials (19.0%) | |||
Macerich Co. | 8,773 | 430 | |
SL Green Realty Corp. | 5,556 | 401 | |
UDR Inc. | 14,683 | 392 | |
Federal Realty | |||
Investment Trust | 4,172 | 378 |
Market | |||
Value | |||
Shares | ($000) | ||
New York Community | |||
Bancorp Inc. | 29,311 | 375 | |
Rayonier Inc. | 8,159 | 342 | |
Camden Property Trust | 4,698 | 314 | |
Essex Property Trust Inc. | 2,182 | 313 | |
* | Affiliated Managers Group Inc. | 3,490 | 304 |
Alexandria Real Estate | |||
Equities Inc. | 4,141 | 302 | |
Realty Income Corp. | 8,504 | 295 | |
Everest Re Group Ltd. | 3,634 | 293 | |
* | MSCI Inc. Class A | 8,041 | 278 |
Reinsurance Group of | |||
America Inc. Class A | 4,947 | 264 | |
Liberty Property Trust | 7,714 | 262 | |
Fidelity National Financial Inc. | |||
Class A | 14,944 | 254 | |
Regency Centers Corp. | 6,017 | 248 | |
BRE Properties Inc. | 4,915 | 247 | |
Senior Housing | |||
Properties Trust | 10,165 | 242 | |
WR Berkley Corp. | 7,774 | 240 | |
HCC Insurance Holdings Inc. | 7,609 | 223 | |
First Niagara Financial | |||
Group Inc. | 20,294 | 218 | |
Taubman Centers Inc. | 3,740 | 216 | |
Transatlantic Holdings Inc. | 4,182 | 212 | |
Cullen/Frost Bankers Inc. | 4,100 | 209 | |
Arthur J Gallagher & Co. | 7,394 | 209 | |
Commerce Bancshares Inc. | 5,190 | 205 | |
Duke Realty Corp. | 16,909 | 201 | |
Weingarten Realty Investors | 8,082 | 197 | |
Hospitality Properties Trust | 8,263 | 194 | |
Eaton Vance Corp. | 7,937 | 194 | |
Jones Lang LaSalle Inc. | 2,874 | 192 | |
Raymond James Financial Inc. | 6,774 | 190 | |
Mack-Cali Realty Corp. | 5,820 | 181 | |
Waddell & Reed Financial Inc. | |||
Class A | 5,780 | 180 | |
Hancock Holding Co. | 5,590 | 175 | |
Old Republic | |||
International Corp. | 17,071 | 170 | |
American Financial Group Inc. | 5,055 | 168 | |
East West Bancorp Inc. | 9,954 | 166 | |
SEI Investments Co. | 9,670 | 165 | |
Brown & Brown Inc. | 7,845 | 165 | |
Highwoods Properties Inc. | 4,828 | 158 | |
Jefferies Group Inc. | 9,540 | 157 | |
City National Corp. | 3,168 | 142 | |
Valley National Bancorp | 11,369 | 135 | |
Bank of Hawaii Corp. | 3,193 | 133 | |
* | SVB Financial Group | 2,871 | 132 |
Associated Banc-Corp | 11,600 | 128 | |
Corporate Office | |||
Properties Trust | 4,760 | 128 |
12
S&P Mid-Cap 400 Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Omega Healthcare | |||
Investors Inc. | 6,802 | 123 | |
Fulton Financial Corp. | 13,338 | 122 | |
Apollo Investment Corp. | 13,113 | 119 | |
Prosperity Bancshares Inc. | 3,139 | 119 | |
Aspen Insurance Holdings Ltd. | 4,738 | 114 | |
Washington Federal Inc. | 7,435 | 112 | |
TCF Financial Corp. | 10,645 | 111 | |
Protective Life Corp. | 5,737 | 109 | |
Hanover Insurance Group Inc. | 3,042 | 108 | |
First American Financial Corp. | 7,040 | 107 | |
Mercury General Corp. | 2,385 | 94 | |
StanCorp Financial Group Inc. | 3,028 | 93 | |
FirstMerit Corp. | 7,313 | 91 | |
Potlatch Corp. | 2,687 | 90 | |
Webster Financial Corp. | 4,922 | 89 | |
Kemper Corp. | 3,278 | 84 | |
Trustmark Corp. | 3,813 | 82 | |
Westamerica Bancorporation | 1,933 | 82 | |
Synovus Financial Corp. | 52,562 | 76 | |
Equity One Inc. | 4,145 | 75 | |
Cathay General Bancorp | 5,264 | 68 | |
Greenhill & Co. Inc. | 1,709 | 61 | |
Astoria Financial Corp. | 5,538 | 57 | |
BancorpSouth Inc. | 4,918 | 56 | |
International Bancshares Corp. | 3,537 | 55 | |
Cousins Properties Inc. | 6,940 | 50 | |
13,664 | |||
Health Care (11.1%) | |||
* | Vertex Pharmaceuticals Inc. | 13,800 | 625 |
Perrigo Co. | 5,592 | 530 | |
* | Henry Schein Inc. | 6,183 | 407 |
* | Mettler-Toledo | ||
International Inc. | 2,152 | 343 | |
* | ResMed Inc. | 10,252 | 317 |
* | IDEXX Laboratories Inc. | 3,839 | 306 |
* | Hologic Inc. | 17,505 | 291 |
* | Kinetic Concepts Inc. | 4,123 | 278 |
Universal Health Services Inc. | |||
Class B | 6,538 | 272 | |
* | Endo Pharmaceuticals | ||
Holdings Inc. | 7,801 | 249 | |
Pharmaceutical Product | |||
Development Inc. | 7,580 | 239 | |
Cooper Cos. Inc. | 3,142 | 236 | |
Omnicare Inc. | 7,761 | 231 | |
* | Allscripts Healthcare | ||
Solutions Inc. | 12,733 | 229 | |
* | Mednax Inc. | 3,215 | 210 |
* | Covance Inc. | 4,060 | 201 |
* | Gen-Probe Inc. | 3,209 | 192 |
Techne Corp. | 2,485 | 180 | |
* | Catalyst Health Solutions Inc. | 3,331 | 179 |
* | AMERIGROUP Corp. | 3,320 | 164 |
Market | |||
Value | |||
Shares | ($000) | ||
Medicis Pharmaceutical Corp. | |||
Class A | 4,133 | 161 | |
Teleflex Inc. | 2,696 | 155 | |
* | Health Net Inc. | 6,057 | 150 |
* | United Therapeutics Corp. | 3,421 | 148 |
* | Health Management | ||
Associates Inc. Class A | 16,946 | 139 | |
Lincare Holdings Inc. | 6,340 | 136 | |
* | Bio-Rad Laboratories Inc. | ||
Class A | 1,312 | 132 | |
* | Thoratec Corp. | 3,830 | 131 |
* | WellCare Health Plans Inc. | 2,849 | 131 |
* | LifePoint Hospitals Inc. | 3,514 | 129 |
Hill-Rom Holdings Inc. | 4,228 | 128 | |
* | Community Health | ||
Systems Inc. | 6,289 | 128 | |
STERIS Corp. | 3,964 | 128 | |
Owens & Minor Inc. | 4,267 | 126 | |
* | Charles River Laboratories | ||
International Inc. | 3,458 | 114 | |
* | VCA Antech Inc. | 5,785 | 107 |
Masimo Corp. | 4,000 | 99 | |
* | Kindred Healthcare Inc. | 3,462 | 45 |
7,966 | |||
Industrials (14.6%) | |||
AMETEK Inc. | 10,777 | 421 | |
* | Kansas City Southern | 7,355 | 398 |
KBR Inc. | 10,144 | 305 | |
Donaldson Co. Inc. | 5,118 | 302 | |
Gardner Denver Inc. | 3,500 | 276 | |
* | AGCO Corp. | 6,346 | 272 |
Waste Connections Inc. | 7,602 | 263 | |
* | BE Aerospace Inc. | 6,902 | 240 |
Hubbell Inc. Class B | 4,034 | 239 | |
JB Hunt Transport | |||
Services Inc. | 5,795 | 233 | |
Pentair Inc. | 6,588 | 226 | |
Manpower Inc. | 5,502 | 222 | |
Timken Co. | 5,439 | 214 | |
IDEX Corp. | 5,548 | 206 | |
* | Kirby Corp. | 3,723 | 205 |
Kennametal Inc. | 5,476 | 202 | |
Nordson Corp. | 4,568 | 201 | |
Wabtec Corp. | 3,232 | 197 | |
SPX Corp. | 3,414 | 194 | |
Lincoln Electric Holdings Inc. | 5,646 | 192 | |
MSC Industrial Direct Co. | |||
Class A | 3,025 | 187 | |
* | URS Corp. | 5,264 | 185 |
* | Aecom Technology Corp. | 7,979 | 181 |
Towers Watson & Co. Class A | 3,021 | 178 | |
* | Copart Inc. | 3,999 | 172 |
* | Clean Harbors Inc. | 3,083 | 166 |
Regal-Beloit Corp. | 2,776 | 163 | |
* | Corrections Corp. of America | 7,182 | 163 |
13
S&P Mid-Cap 400 Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Carlisle Cos. Inc. | 4,097 | 161 | |
Graco Inc. | 4,060 | 160 | |
* | Esterline Technologies Corp. | 2,046 | 154 |
* | Thomas & Betts Corp. | 3,510 | 153 |
Trinity Industries Inc. | 5,348 | 147 | |
Alliant Techsystems Inc. | 2,246 | 143 | |
* | Alaska Air Group Inc. | 2,399 | 139 |
Triumph Group Inc. | 2,561 | 134 | |
Acuity Brands Inc. | 2,899 | 134 | |
Valmont Industries Inc. | 1,433 | 133 | |
Crane Co. | 3,086 | 130 | |
Landstar System Inc. | 3,205 | 130 | |
Woodward Inc. | 3,960 | 128 | |
Harsco Corp. | 5,400 | 123 | |
* | Oshkosh Corp. | 6,097 | 120 |
* | Terex Corp. | 7,336 | 118 |
Alexander & Baldwin Inc. | 2,784 | 118 | |
Watsco Inc. | 1,896 | 113 | |
* | Shaw Group Inc. | 4,833 | 113 |
GATX Corp. | 3,106 | 113 | |
* | General Cable Corp. | 3,492 | 105 |
* | FTI Consulting Inc. | 2,815 | 102 |
* | Huntington Ingalls | ||
Industries Inc. | 3,265 | 98 | |
Con-way Inc. | 3,710 | 95 | |
Lennox International Inc. | 2,999 | 94 | |
UTi Worldwide Inc. | 6,871 | 93 | |
Rollins Inc. | 4,244 | 89 | |
Brink’s Co. | 3,119 | 80 | |
Herman Miller Inc. | 3,835 | 76 | |
Deluxe Corp. | 3,442 | 76 | |
Corporate Executive Board Co. | 2,311 | 76 | |
* | United Rentals Inc. | 4,184 | 70 |
Werner Enterprises Inc. | 2,973 | 69 | |
Mine Safety Appliances Co. | 2,083 | 64 | |
HNI Corp. | 2,995 | 62 | |
* | JetBlue Airways Corp. | 13,605 | 59 |
* | Korn/Ferry International | 3,144 | 51 |
Granite Construction Inc. | 2,277 | 47 | |
10,473 | |||
Information Technology (15.2%) | |||
* | ANSYS Inc. | 7,480 | 404 |
* | Rovi Corp. | 7,570 | 370 |
* | Alliance Data Systems Corp. | 3,421 | 320 |
* | Lam Research Corp. | 8,333 | 310 |
* | Varian Semiconductor | ||
Equipment Associates Inc. | 5,048 | 309 | |
* | Trimble Navigation Ltd. | 8,208 | 305 |
* | Informatica Corp. | 7,092 | 296 |
* | Equinix Inc. | 3,141 | 295 |
* | Polycom Inc. | 11,812 | 281 |
* | Atmel Corp. | 30,675 | 280 |
Solera Holdings Inc. | 4,729 | 277 | |
Factset Research | |||
Systems Inc. | 3,089 | 272 | |
* | Avnet Inc. | 10,226 | 268 |
Market | |||
Value | |||
Shares | ($000) | ||
* | MICROS Systems Inc. | 5,429 | 259 |
* | Skyworks Solutions Inc. | 12,462 | 257 |
* | Riverbed Technology Inc. | 10,274 | 255 |
* | Synopsys Inc. | 9,818 | 254 |
* | Cree Inc. | 7,734 | 251 |
Global Payments Inc. | 5,359 | 246 | |
* | Rackspace Hosting Inc. | 6,664 | 244 |
* | Arrow Electronics Inc. | 7,768 | 242 |
* | TIBCO Software Inc. | 10,824 | 242 |
* | Gartner Inc. | 5,794 | 206 |
* | Ingram Micro Inc. | 10,778 | 192 |
* | NCR Corp. | 10,616 | 183 |
Cypress Semiconductor Corp. | 11,247 | 178 | |
Broadridge Financial | |||
Solutions Inc. | 8,257 | 172 | |
Jack Henry & Associates Inc. | 5,779 | 169 | |
* | Cadence Design Systems Inc. | 18,001 | 166 |
National Instruments Corp. | 5,975 | 152 | |
* | Tech Data Corp. | 3,107 | 146 |
* | Parametric Technology Corp. | 7,947 | 143 |
ADTRAN Inc. | 4,329 | 135 | |
* | Zebra Technologies Corp. | 3,658 | 131 |
* | Concur Technologies Inc. | 3,140 | 131 |
* | Vishay Intertechnology Inc. | 11,073 | 126 |
Diebold Inc. | 4,371 | 125 | |
* | NeuStar Inc. Class A | 4,935 | 123 |
* | RF Micro Devices Inc. | 18,531 | 115 |
* | Fairchild Semiconductor | ||
International Inc. Class A | 8,541 | 113 | |
DST Systems Inc. | 2,395 | 112 | |
* | AOL Inc. | 7,158 | 112 |
* | Itron Inc. | 2,718 | 108 |
* | International Rectifier Corp. | 4,670 | 106 |
Plantronics Inc. | 3,220 | 103 | |
* | Silicon Laboratories Inc. | 2,981 | 103 |
Lender Processing | |||
Services Inc. | 5,781 | 102 | |
* | QLogic Corp. | 7,013 | 98 |
Intersil Corp. Class A | 8,409 | 95 | |
* | Semtech Corp. | 4,368 | 93 |
* | Convergys Corp. | 8,122 | 87 |
* | CoreLogic Inc. | 7,307 | 84 |
* | Mentor Graphics Corp. | 7,435 | 83 |
* | ValueClick Inc. | 5,267 | 81 |
* | Ciena Corp. | 6,360 | 78 |
* | Quest Software Inc. | 4,076 | 70 |
Fair Isaac Corp. | 2,667 | 68 | |
* | ACI Worldwide Inc. | 2,237 | 67 |
* | Acxiom Corp. | 5,432 | 60 |
Mantech International Corp. | |||
Class A | 1,522 | 57 | |
* | Integrated Device | ||
Technology Inc. | 9,923 | 56 | |
* | Digital River Inc. | 2,655 | 53 |
* | Advent Software Inc. | 2,176 | 51 |
10,870 |
14
S&P Mid-Cap 400 Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Materials (7.2%) | |||
Lubrizol Corp. | 4,307 | 580 | |
Albemarle Corp. | 6,147 | 312 | |
Ashland Inc. | 5,297 | 281 | |
Rock-Tenn Co. Class A | 4,555 | 244 | |
Aptargroup Inc. | 4,499 | 227 | |
Domtar Corp. | 2,747 | 221 | |
Martin Marietta Materials Inc. | 3,052 | 216 | |
Sonoco Products Co. | 6,673 | 211 | |
Reliance Steel & Aluminum Co. | 5,008 | 207 | |
Valspar Corp. | 6,270 | 202 | |
Steel Dynamics Inc. | 14,619 | 186 | |
RPM International Inc. | 8,730 | 182 | |
Temple-Inland Inc. | 7,272 | 176 | |
Packaging Corp. of America | 6,714 | 170 | |
Compass Minerals | |||
International Inc. | 2,201 | 166 | |
Cabot Corp. | 4,389 | 151 | |
Cytec Industries Inc. | 3,294 | 150 | |
Carpenter Technology Corp. | 2,947 | 149 | |
Scotts Miracle-Gro Co. | |||
Class A | 3,001 | 146 | |
Silgan Holdings Inc. | 3,284 | 125 | |
Sensient Technologies Corp. | 3,351 | 122 | |
Greif Inc. Class A | 2,087 | 117 | |
NewMarket Corp. | 640 | 107 | |
Olin Corp. | 5,334 | 106 | |
* | Intrepid Potash Inc. | 2,970 | 102 |
Commercial Metals Co. | 7,727 | 91 | |
Minerals Technologies Inc. | 1,223 | 71 | |
Worthington Industries Inc. | 3,729 | 61 | |
* | Louisiana-Pacific Corp. | 8,846 | 59 |
5,138 | |||
Telecommunication Services (0.5%) | |||
* | tw telecom inc Class A | 10,085 | 195 |
Telephone & Data | |||
Systems Inc. | 6,103 | 156 | |
351 | |||
Utilities (6.1%) | |||
National Fuel Gas Co. | 5,535 | 339 | |
OGE Energy Corp. | 6,554 | 328 | |
NSTAR | 6,947 | 318 | |
Alliant Energy Corp. | 7,426 | 301 | |
MDU Resources Group Inc. | 12,660 | 270 |
Market | ||
Value | ||
Shares | ($000) | |
NV Energy Inc. | 15,786 | 235 |
DPL Inc. | 7,827 | 234 |
Questar Corp. | 11,879 | 223 |
UGI Corp. | 7,474 | 222 |
AGL Resources Inc. | 5,238 | 217 |
Aqua America Inc. | 9,251 | 204 |
Westar Energy Inc. | 7,610 | 203 |
Atmos Energy Corp. | 6,046 | 203 |
Great Plains Energy Inc. | 9,100 | 178 |
Hawaiian Electric | ||
Industries Inc. | 6,378 | 153 |
Vectren Corp. | 5,470 | 150 |
Cleco Corp. | 4,082 | 145 |
WGL Holdings Inc. | 3,429 | 142 |
IDACORP Inc. | 3,318 | 127 |
PNM Resources Inc. | 5,802 | 87 |
Black Hills Corp. | 2,638 | 81 |
4,360 | ||
Total Investments (99.6%) | ||
(Cost $74,858) | 71,427 | |
Other Assets and Liabilities (0.4%) | ||
Other Assets | 17,495 | |
Liabilities | (17,214) | |
281 | ||
Net Assets (100%) | 71,708 | |
Statement of Assets and Liabilities | ||
Assets | ||
Investments in Securities, at Value | 71,427 | |
Receivables for Capital Shares Issued | 17,432 | |
Other Assets | 63 | |
Total Assets | 88,922 | |
Liabilities | ||
Payables for Investment | ||
Securities Purchased | 17,146 | |
Other Liabilities | 68 | |
Total Liabilities | 17,214 | |
Net Assets | 71,708 |
15
S&P Mid-Cap 400 Index Fund
At August 31, 2011, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 76,721 |
Undistributed Net Investment Income | 237 |
Accumulated Net Realized Losses | (1,819) |
Unrealized Appreciation (Depreciation) | (3,431) |
Net Assets | 71,708 |
Institutional Shares—Net Assets | |
Applicable to 339,890 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 39,604 |
Net Asset Value Per Share— | |
Institutional Shares | $116.52 |
ETF Shares—Net Assets | |
Applicable to 550,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 32,104 |
Net Asset Value Per Share— | |
ETF Shares | $58.37 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
See accompanying Notes, which are an integral part of the Financial Statements.
16
S&P Mid-Cap 400 Index Fund
Statement of Operations
September 7, 20101 to | |
August 31, 2011 | |
($000) | |
Investment Income | |
Income | |
Dividends | 317 |
Interest2 | 1 |
Total Income | 318 |
Expenses | |
The Vanguard Group—Note B | |
Management and Administrative—Institutional Shares | — |
Management and Administrative—ETF Shares | 11 |
Custodian Fees | 11 |
Auditing Fees | 7 |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—ETF Shares | 2 |
Total Expenses | 31 |
Net Investment Income | 287 |
Realized Net Gain (Loss) on Investment Securities Sold | (1,007) |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | (3,431) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (4,151) |
1 Inception. | |
2 Interest income from an affiliated company of the fund was $1,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
17
S&P Mid-Cap 400 Index Fund
Statement of Changes in Net Assets
September 7, 20101 to | |
August 31, 2011 | |
($000) | |
Increase (Decrease) in Net Assets | |
Operations | |
Net Investment Income | 287 |
Realized Net Gain (Loss) | (1,007) |
Change in Unrealized Appreciation (Depreciation) | (3,431) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (4,151) |
Distributions | |
Net Investment Income | |
Institutional Shares | — |
ETF Shares | (27) |
Realized Capital Gain | |
Institutional Shares | — |
ETF Shares | — |
Total Distributions | (27) |
Capital Share Transactions | |
Institutional Shares | 42,228 |
ETF Shares | 33,658 |
Net Increase (Decrease) from Capital Share Transactions | 75,886 |
Total Increase (Decrease) | 71,708 |
Net Assets | |
Beginning of Period | — |
End of Period2 | 71,708 |
1 Inception. | |
2 Net Assets—End of Period includes undistributed net investment income of $237,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
18
S&P Mid-Cap 400 Index Fund
Financial Highlights
Institutional Shares | |
March 28, 20111 to | |
For a Share Outstanding Throughout the Period | August 31, 2011 |
Net Asset Value, Beginning of Period | $128.01 |
Investment Operations | |
Net Investment Income | .240 |
Net Realized and Unrealized Gain (Loss) on Investments | (11.730) |
Total from Investment Operations | (11.490) |
Distributions | |
Dividends from Net Investment Income | — |
Distributions from Realized Capital Gains | — |
Total Distributions | — |
Net Asset Value, End of Period | $116.52 |
Total Return | -8.98% |
Ratios/Supplemental Data | |
Net Assets, End of Period (Millions) | $40 |
Ratio of Total Expenses to Average Net Assets | 0.08%2 |
Ratio of Net Investment Income to Average Net Assets | 1.28%2 |
Portfolio Turnover Rate3 | 26% |
1 Inception—See Notes to Financial Statements.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
19
S&P Mid-Cap 400 Index Fund
Financial Highlights
ETF Shares | |
September 7, 20101 to | |
For a Share Outstanding Throughout the Period | August 31, 2011 |
Net Asset Value, Beginning of Period | $49.95 |
Investment Operations | |
Net Investment Income | .383 |
Net Realized and Unrealized Gain (Loss) on Investments | 8.217 |
Total from Investment Operations | 8.600 |
Distributions | |
Dividends from Net Investment Income | (.180) |
Distributions from Realized Capital Gains | — |
Total Distributions | (.180) |
Net Asset Value, End of Period | $58.37 |
Total Return | 17.21% |
Ratios/Supplemental Data | |
Net Assets, End of Period (Millions) | $32 |
Ratio of Total Expenses to Average Net Assets | 0.15%2 |
Ratio of Net Investment Income to Average Net Assets | 1.21%2 |
Portfolio Turnover Rate3 | 26% |
1 Inception—See Notes to Financial Statements.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
20
S&P Mid-Cap 400 Index Fund
Notes to Financial Statements
Vanguard S&P Mid-Cap 400 Index 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 ETF Shares. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. Institutional Shares were first issued on December 15, 2010; the sole shareholder redeemed shortly thereafter. Institutional Shares were next issued on March 28, 2011. The Financial Highlights included in these financial statements are based on the activity of the Institutional Shares since March 28, 2011. ETF Shares were first issued on September 7, 2010, and first offered to the public on September 9, 2010. ETF Shares are listed for trading on the NYSE Arca, Inc.; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value.
2. Federal Income Taxes: The fund intends to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for its open federal income tax period ended August 31, 2011, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
3. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
4. 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 August 31, 2011, the fund had contributed capital of $9,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.00% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
21
S&P Mid-Cap 400 Index Fund
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
At August 31, 2011, 100% of the fund’s market value was based on Level 1 inputs.
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the period ended August 31, 2011, the fund realized $811,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund used a tax accounting practice to treat a portion of the price of capital shares redeemed during the period as distributions from net investment income and realized capital gains. Accordingly, the fund has reclassified $23,000 from undistributed net investment income, and $1,000 from accumulated net realized losses, to paid-in capital.
For tax purposes, at August 31, 2011, the fund had $237,000 of ordinary income available for distribution. The fund realized losses of $1,816,000 during the period from November 1, 2010, through August 31, 2011, which are deferred and will be treated as realized for tax purposes in fiscal 2012.
At August 31, 2011, the cost of investment securities for tax purposes was $74,861,000. Net unrealized depreciation of investment securities for tax purposes was $3,434,000, consisting of unrealized gains of $1,337,000 on securities that had risen in value since their purchase and $4,771,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the period ended August 31, 2011, the fund purchased $88,810,000 of investment securities and sold $12,943,000 of investment securities, other than temporary cash investments.
22
S&P Mid-Cap 400 Index Fund
F. Capital share transactions for each class of shares were:
Inception1 to | ||
August 31, 2011 | ||
Amount | Shares | |
($000) | (000) | |
Institutional Shares | ||
Issued | 42,839 | 345 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (611) | (5) |
Net Increase (Decrease)—Institutional Shares | 42,228 | 340 |
ETF Shares | ||
Issued | 39,233 | 650 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (5,575) | (100) |
Net Increase (Decrease)—ETF Shares | 33,658 | 550 |
1 Inception was September 7, 2010, for ETF Shares. Institutional Shares were first issued on December 15, 2010; the sole shareholder redeemed shortly thereafter. Institutional Shares were next issued on March 28, 2011. The table reflects all Institutional Share transactions beginning December 15, 2010.
G. In preparing the financial statements as of August 31, 2011, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
23
S&P Mid-Cap 400 Value Index Fund
Fund Profile
As of August 31, 2011
Share-Class Characteristics | |||
Institutional | ETF | ||
Shares | Shares | ||
Ticker Symbol | VMFVX | IVOV | |
Expense Ratio1 | 0.09% | 0.21% | |
30-Day SEC Yield | 1.92% | 1.80% | |
Portfolio Characteristics | |||
S&P | DJ | ||
MidCap | U.S. Total | ||
400 Value | Market | ||
Fund | Index | Index | |
Number of Stocks | 291 | 289 | 3,716 |
Median Market Cap | $3.0B | $3.0B | $30.4B |
Price/Earnings Ratio | 17.1x | 17.1x | 14.7x |
Price/Book Ratio | 1.4x | 1.4x | 2.0x |
Return on Equity | 11.7% | 11.7% | 19.0% |
Earnings Growth Rate | -1.4% | -1.4% | 7.0% |
Dividend Yield | 2.0% | 2.0% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 48% | — | — |
Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure) | |||
S&P | DJ | ||
MidCap | U.S. Total | ||
400 Value | Market | ||
Fund | Index | Index | |
Consumer | |||
Discretionary | 8.5% | 8.5% | 12.3% |
Consumer Staples | 4.5 | 4.5 | 10.5 |
Energy | 7.9 | 7.9 | 10.8 |
Financials | 25.9 | 25.9 | 14.8 |
Health Care | 7.0 | 7.0 | 11.4 |
Industrials | 17.3 | 17.3 | 11.0 |
Information | |||
Technology | 8.4 | 8.4 | 18.7 |
Materials | 8.9 | 8.9 | 4.4 |
Telecommunication | |||
Services | 0.4 | 0.4 | 2.6 |
Utilities | 11.2 | 11.2 | 3.5 |
Ten Largest Holdings (% of total net assets) | ||
HollyFrontier Corp. | Oil & Gas Refining | |
& Marketing | 1.4% | |
New York Community | Thrifts & Mortgage | |
Bancorp Inc. | Finance | 1.1 |
Southern Union Co. | Oil & Gas Storage & | |
Transportation | 1.0 | |
Vertex Pharmaceuticals | ||
Inc. | Biotechnology | 0.9 |
OGE Energy Corp. | Multi-Utilities | 0.9 |
Ralcorp Holdings Inc. | Packaged Foods & | |
Meats | 0.9 | |
NSTAR | Multi-Utilities | 0.9 |
KBR Inc. | Construction & | |
Engineering | 0.9 | |
Alliant Energy Corp. | Multi-Utilities | 0.9 |
Everest Re Group Ltd. | Reinsurance | 0.8 |
Top Ten | 9.7% | |
The holdings listed exclude any temporary cash investments and equity index products. |
Investment Focus
1 The expense ratios shown are from the prospectus dated September 7, 2010, and represent estimated costs for the current fiscal year. For the periods from inception through August 31, 2011, the annualized expense ratios were 0.08% for Institutional Shares and 0.20% for ETF Shares.
24
S&P Mid-Cap 400 Value Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: September 7, 2010, Through August 31, 2011
Initial Investment of $10,000
Total Returns | ||
Periods Ended August 31, 2011 | ||
Since | Final Value | |
Inception | of a $10,000 | |
(9/7/2010) | Investment | |
S&P Mid-Cap 400 Value Index Fund | ||
ETF Shares Net Asset Value | 12.18% | $11,218 |
S&P Mid-Cap 400 Value Index Fund | ||
ETF Shares Market Price | 11.72 | 11,172 |
Dow Jones U.S. Total Stock Market | ||
Index | 14.40 | 11,440 |
S&P MidCap 400 Value Index | 12.39 | 11,239 |
Mid-Cap Value Funds Average | 11.96 | 11,196 |
Mid-Cap Value Funds Average: Derived from data provided by Lipper Inc.
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
Since | Final Value | |
Inception | of a $5,000,000 | |
(11/2/2010) | Investment | |
S&P Mid-Cap 400 Value Index Fund | ||
Institutional Shares | 2.15% | $5,107,436 |
Dow Jones U.S. Total Stock Market | ||
Index | 3.68 | 5,184,153 |
S&P MidCap 400 Value Index | 2.22 | 5,110,951 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.
See Financial Highlights for dividend and capital gains information.
25
S&P Mid-Cap 400 Value Index Fund
Cumulative Returns of ETF Shares: September 7, 2010, Through August 31, 2011
Since | |
Inception | |
(9/7/2010) | |
S&P Mid-Cap 400 Value Index Fund | |
ETF Shares Market Price | 11.72% |
S&P Mid-Cap 400 Value Index Fund | |
ETF Shares Net Asset Value | 12.18 |
S&P MidCap 400 Value Index | 12.39 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
Fiscal-Period Total Returns (%): September 7, 2010, Through August 31, 2011
Total Returns: Periods Ended June 30, 2011
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
Inception | Since | |
Date | Inception | |
Institutional Shares | 11/2/2010 | 14.95% |
ETF Shares | 9/7/2010 | |
Market Price | 26.28 | |
Net Asset Value | 26.26 |
26
S&P Mid-Cap 400 Value Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2011
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (100.0%) | |||
Consumer Discretionary (8.5%) | |||
* | NVR Inc. | 427 | 272 |
Foot Locker Inc. | 11,795 | 246 | |
* | BorgWarner Inc. | 3,442 | 246 |
* | Mohawk Industries Inc. | 4,321 | 214 |
* | Toll Brothers Inc. | 11,226 | 193 |
Aaron’s Inc. | 5,522 | 147 | |
Rent-A-Center Inc. | 4,879 | 137 | |
* | Hanesbrands Inc. | 4,738 | 135 |
* | Saks Inc. | 12,544 | 121 |
Wendy’s Co. | 23,384 | 114 | |
RadioShack Corp. | 7,661 | 100 | |
American Eagle Outfitters Inc. | 8,486 | 94 | |
Service Corp. International | 8,809 | 90 | |
* | Career Education Corp. | 4,802 | 81 |
Matthews International Corp. | |||
Class A | 2,256 | 75 | |
Brinker International Inc. | 3,327 | 75 | |
* | New York Times Co. Class A | 9,107 | 74 |
Bob Evans Farms Inc. | 2,315 | 74 | |
Thor Industries Inc. | 3,242 | 72 | |
John Wiley & Sons Inc. | |||
Class A | 1,432 | 70 | |
American Greetings Corp. | |||
Class A | 3,089 | 66 | |
* | Eastman Kodak Co. | 20,557 | 65 |
Regis Corp. | 4,414 | 65 | |
* | Timberland Co. Class A | 1,504 | 65 |
* | Collective Brands Inc. | 4,704 | 63 |
MDC Holdings Inc. | 2,893 | 57 | |
* | Office Depot Inc. | 21,662 | 56 |
International Speedway Corp. | |||
Class A | 2,229 | 56 | |
Scholastic Corp. | 1,821 | 51 | |
* | Scientific Games Corp. | ||
Class A | 4,870 | 43 | |
Meredith Corp. | 1,615 | 42 | |
Barnes & Noble Inc. | 3,004 | 40 | |
Ryland Group Inc. | 3,393 | 40 |
Market | |||
Value | |||
Shares | ($000) | ||
KB Home | 5,520 | 36 | |
* | 99 Cents Only Stores | 1,810 | 34 |
* | Boyd Gaming Corp. | 91 | 1 |
Harte-Hanks Inc. | 67 | 1 | |
3,411 | |||
Consumer Staples (4.5%) | |||
* | Ralcorp Holdings Inc. | 4,220 | 365 |
* | Smithfield Foods Inc. | 12,731 | 279 |
Church & Dwight Co. Inc. | 5,480 | 239 | |
* | Energizer Holdings Inc. | 3,047 | 230 |
* | BJ’s Wholesale Club Inc. | 4,192 | 213 |
Ruddick Corp. | 3,280 | 134 | |
Corn Products | |||
International Inc. | 2,634 | 123 | |
Flowers Foods Inc. | 4,061 | 77 | |
Universal Corp. | 1,769 | 72 | |
Lancaster Colony Corp. | 625 | 38 | |
Tootsie Roll Industries Inc. | 1,093 | 28 | |
1,798 | |||
Energy (7.9%) | |||
HollyFrontier Corp. | 7,986 | 573 | |
Southern Union Co. | 9,561 | 400 | |
* | Plains Exploration & | ||
Production Co. | 10,811 | 318 | |
Patterson-UTI Energy Inc. | 11,846 | 290 | |
Energen Corp. | 5,526 | 271 | |
Tidewater Inc. | 3,977 | 213 | |
Cimarex Energy Co. | 2,756 | 196 | |
Arch Coal Inc. | 8,793 | 179 | |
SM Energy Co. | 2,048 | 157 | |
* | Unit Corp. | 3,065 | 146 |
* | Helix Energy Solutions | ||
Group Inc. | 8,128 | 137 | |
* | Forest Oil Corp. | 4,861 | 95 |
* | Comstock Resources Inc. | 3,639 | 74 |
* | Exterran Holdings Inc. | 4,884 | 58 |
* | Patriot Coal Corp. | 3,488 | 51 |
Overseas Shipholding | |||
Group Inc. | 2,050 | 37 | |
3,195 |
27
S&P Mid-Cap 400 Value Index Fund | ||
Market | ||
Value | ||
Shares | ($000) | |
Financials (25.9%) | ||
New York Community | ||
Bancorp Inc. | 33,531 | 430 |
Everest Re Group Ltd. | 4,162 | 336 |
Reinsurance Group of | ||
America Inc. Class A | 5,666 | 302 |
Fidelity National Financial Inc. | ||
Class A | 17,118 | 291 |
WR Berkley Corp. | 8,906 | 275 |
HCC Insurance Holdings Inc. | 8,717 | 255 |
First Niagara Financial | ||
Group Inc. | 23,247 | 250 |
Transatlantic Holdings Inc. | 4,790 | 243 |
UDR Inc. | 9,070 | 242 |
Cullen/Frost Bankers Inc. | 4,696 | 239 |
Commerce Bancshares Inc. | 5,945 | 235 |
Hospitality Properties Trust | 9,465 | 222 |
Raymond James Financial Inc. | 7,760 | 218 |
Rayonier Inc. | 4,853 | 204 |
Alexandria Real Estate | ||
Equities Inc. | 2,794 | 203 |
Hancock Holding Co. | 6,404 | 200 |
Federal Realty | ||
Investment Trust | 2,195 | 199 |
Old Republic | ||
International Corp. | 19,555 | 194 |
American Financial Group Inc. | 5,791 | 193 |
East West Bancorp Inc. | 11,402 | 190 |
Camden Property Trust | 2,744 | 183 |
Liberty Property Trust | 5,303 | 180 |
Essex Property Trust Inc. | 1,224 | 176 |
Regency Centers Corp. | 3,998 | 165 |
City National Corp. | 3,629 | 163 |
Valley National Bancorp | 13,022 | 155 |
Senior Housing | ||
Properties Trust | 6,405 | 152 |
Weingarten Realty Investors | 6,202 | 151 |
* Affiliated Managers Group Inc. | 1,716 | 150 |
Duke Realty Corp. | 12,590 | 149 |
Associated Banc-Corp | 13,288 | 146 |
BRE Properties Inc. | 2,815 | 142 |
Fulton Financial Corp. | 15,277 | 140 |
Mack-Cali Realty Corp. | 4,466 | 139 |
Apollo Investment Corp. | 15,023 | 137 |
Arthur J Gallagher & Co. | 4,827 | 136 |
Prosperity Bancshares Inc. | 3,597 | 136 |
Washington Federal Inc. | 8,520 | 128 |
TCF Financial Corp. | 12,197 | 127 |
Protective Life Corp. | 6,575 | 125 |
Hanover Insurance Group Inc. | 3,486 | 124 |
First American Financial Corp. | 8,069 | 123 |
Realty Income Corp. | 3,502 | 121 |
Jefferies Group Inc. | 7,001 | 115 |
Mercury General Corp. | 2,736 | 108 |
Highwoods Properties Inc. | 3,268 | 107 |
StanCorp Financial Group Inc. | 3,473 | 106 |
Market | |||
Value | |||
Shares | ($000) | ||
FirstMerit Corp. | 8,386 | 105 | |
Webster Financial Corp. | 5,647 | 102 | |
Brown & Brown Inc. | 4,861 | 102 | |
Bank of Hawaii Corp. | 2,382 | 99 | |
* | SVB Financial Group | 2,141 | 99 |
Kemper Corp. | 3,763 | 97 | |
SEI Investments Co. | 5,629 | 96 | |
Trustmark Corp. | 4,375 | 94 | |
Synovus Financial Corp. | 59,988 | 87 | |
Eaton Vance Corp. | 3,533 | 86 | |
Equity One Inc. | 4,759 | 86 | |
Cathay General Bancorp | 6,048 | 78 | |
Aspen Insurance Holdings Ltd. | 3,029 | 73 | |
Potlatch Corp. | 2,056 | 69 | |
Omega Healthcare | |||
Investors Inc. | 3,728 | 68 | |
Astoria Financial Corp. | 6,322 | 65 | |
Taubman Centers Inc. | 1,110 | 64 | |
BancorpSouth Inc. | 5,614 | 63 | |
International Bancshares Corp. | 4,034 | 63 | |
Cousins Properties Inc. | 7,919 | 57 | |
Westamerica Bancorporation | 1,259 | 53 | |
Greenhill & Co. Inc. | 995 | 35 | |
10,446 | |||
Health Care (7.0%) | |||
* | Vertex Pharmaceuticals Inc. | 8,372 | 379 |
Omnicare Inc. | 8,890 | 264 | |
* | Hologic Inc. | 13,235 | 220 |
* | Henry Schein Inc. | 3,254 | 214 |
Teleflex Inc. | 3,089 | 178 | |
* | Health Net Inc. | 6,939 | 171 |
Pharmaceutical Product | |||
Development Inc. | 5,296 | 167 | |
* | LifePoint Hospitals Inc. | 4,025 | 148 |
* | Community Health | ||
Systems Inc. | 7,203 | 147 | |
Owens & Minor Inc. | 4,887 | 144 | |
* | Covance Inc. | 2,050 | 102 |
Hill-Rom Holdings Inc. | 2,944 | 89 | |
Techne Corp. | 1,199 | 87 | |
* | AMERIGROUP Corp. | 1,479 | 73 |
* | WellCare Health Plans Inc. | 1,595 | 73 |
STERIS Corp. | 2,262 | 73 | |
* | Charles River Laboratories | ||
International Inc. | 2,186 | 72 | |
* | Bio-Rad Laboratories Inc. | ||
Class A | 629 | 63 | |
* | VCA Antech Inc. | 3,302 | 61 |
* | Kindred Healthcare Inc. | 3,952 | 51 |
Masimo Corp. | 1,827 | 45 | |
2,821 | |||
Industrials (17.3%) | |||
KBR Inc. | 11,619 | 349 | |
Pentair Inc. | 7,547 | 259 | |
Manpower Inc. | 6,303 | 254 | |
* | Kansas City Southern | 4,627 | 251 |
28
S&P Mid-Cap 400 Value Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
* | URS Corp. | 6,028 | 211 |
* | Aecom Technology Corp. | 9,140 | 208 |
Carlisle Cos. Inc. | 4,694 | 184 | |
AMETEK Inc. | 4,563 | 178 | |
* | Esterline Technologies Corp. | 2,343 | 176 |
Trinity Industries Inc. | 6,126 | 169 | |
Alliant Techsystems Inc. | 2,572 | 163 | |
Donaldson Co. Inc. | 2,693 | 159 | |
Kennametal Inc. | 4,203 | 155 | |
* | AGCO Corp. | 3,490 | 149 |
Lincoln Electric Holdings Inc. | 4,205 | 143 | |
Harsco Corp. | 6,186 | 141 | |
* | Terex Corp. | 8,406 | 136 |
Alexander & Baldwin Inc. | 3,191 | 135 | |
* | Shaw Group Inc. | 5,539 | 129 |
GATX Corp. | 3,558 | 129 | |
Hubbell Inc. Class B | 2,174 | 129 | |
JB Hunt Transport | |||
Services Inc. | 3,120 | 125 | |
Timken Co. | 3,179 | 125 | |
Waste Connections Inc. | 3,571 | 124 | |
Towers Watson & Co. | |||
Class A | 2,078 | 123 | |
SPX Corp. | 1,997 | 114 | |
Regal-Beloit Corp. | 1,876 | 110 | |
Con-way Inc. | 4,254 | 109 | |
* | Clean Harbors Inc. | 2,016 | 109 |
IDEX Corp. | 2,801 | 104 | |
* | Kirby Corp. | 1,879 | 103 |
Nordson Corp. | 2,202 | 97 | |
Acuity Brands Inc. | 2,096 | 96 | |
Graco Inc. | 2,424 | 96 | |
Landstar System Inc. | 2,355 | 95 | |
Wabtec Corp. | 1,559 | 95 | |
MSC Industrial Direct Co. | |||
Class A | 1,494 | 92 | |
Brink’s Co. | 3,580 | 92 | |
Watsco Inc. | 1,394 | 83 | |
* | Corrections Corp. of America | 3,549 | 81 |
Werner Enterprises Inc. | 3,415 | 79 | |
* | General Cable Corp. | 2,511 | 76 |
Mine Safety Appliances Co. | 2,377 | 73 | |
HNI Corp. | 3,418 | 70 | |
UTi Worldwide Inc. | 5,099 | 69 | |
* | JetBlue Airways Corp. | 15,529 | 68 |
* | Alaska Air Group Inc. | 1,122 | 65 |
* | Thomas & Betts Corp. | 1,482 | 65 |
Lennox International Inc. | 2,055 | 64 | |
* | Oshkosh Corp. | 3,133 | 62 |
Crane Co. | 1,445 | 61 | |
* | Korn/Ferry International | 3,589 | 58 |
Herman Miller Inc. | 2,803 | 56 | |
* | FTI Consulting Inc. | 1,510 | 55 |
Granite Construction Inc. | 2,599 | 54 | |
Deluxe Corp. | 2,398 | 53 | |
Valmont Industries Inc. | 541 | 50 |
Market | |||
Value | |||
Shares | ($000) | ||
* | United Rentals Inc. | 2,819 | 47 |
* | Huntington Ingalls | ||
Industries Inc. | 1,497 | 45 | |
Corporate Executive Board Co. | 1,112 | 37 | |
6,987 | |||
Information Technology (8.4%) | |||
* | Avnet Inc. | 11,714 | 307 |
* | Arrow Electronics Inc. | 8,898 | 278 |
* | Ingram Micro Inc. | 12,346 | 220 |
* | NCR Corp. | 12,161 | 210 |
* | Varian Semiconductor | ||
Equipment Associates Inc. | 2,891 | 177 | |
* | Lam Research Corp. | 4,678 | 174 |
* | Tech Data Corp. | 3,558 | 167 |
Diebold Inc. | 5,006 | 143 | |
* | Synopsys Inc. | 5,286 | 137 |
* | Trimble Navigation Ltd. | 3,482 | 129 |
* | AOL Inc. | 8,203 | 128 |
Intersil Corp. Class A | 9,642 | 108 | |
* | Cadence Design Systems Inc. | 11,151 | 103 |
* | Convergys Corp. | 9,269 | 99 |
Broadridge Financial | |||
Solutions Inc. | 4,643 | 97 | |
* | CoreLogic Inc. | 8,340 | 95 |
National Instruments Corp. | 3,227 | 82 | |
* | Parametric Technology Corp. | 4,475 | 81 |
* | International Rectifier Corp. | 2,878 | 66 |
DST Systems Inc. | 1,367 | 64 | |
* | Integrated Device | ||
Technology Inc. | 11,321 | 64 | |
* | Mentor Graphics Corp. | 5,518 | 62 |
* | Vishay Intertechnology Inc. | 5,309 | 60 |
* | Fairchild Semiconductor | ||
International Inc. Class A | 4,192 | 56 | |
Fair Isaac Corp. | 1,949 | 50 | |
* | Ciena Corp. | 3,703 | 45 |
Plantronics Inc. | 1,328 | 43 | |
* | Acxiom Corp. | 3,474 | 38 |
* | Itron Inc. | 931 | 37 |
* | ValueClick Inc. | 2,112 | 32 |
Mantech International Corp. | |||
Class A | 854 | 32 | |
3,384 | |||
Materials (8.9%) | |||
Ashland Inc. | 6,068 | 322 | |
Sonoco Products Co. | 7,644 | 241 | |
Reliance Steel & | |||
Aluminum Co. | 5,738 | 238 | |
Valspar Corp. | 7,183 | 232 | |
Steel Dynamics Inc. | 16,746 | 213 | |
RPM International Inc. | 10,000 | 208 | |
Temple-Inland Inc. | 8,304 | 201 | |
Cabot Corp. | 5,029 | 173 | |
Cytec Industries Inc. | 3,772 | 171 | |
Martin Marietta Materials Inc. | 2,308 | 163 | |
Sensient Technologies Corp. | 3,839 | 140 |
29
S&P Mid-Cap 400 Value Index Fund | ||
Market | ||
Value | ||
Shares | ($000) | |
Greif Inc. Class A | 2,391 | 134 |
Rock-Tenn Co. Class A | 2,402 | 129 |
Aptargroup Inc. | 2,425 | 122 |
Olin Corp. | 6,114 | 122 |
Carpenter Technology Corp. | 2,130 | 108 |
Commercial Metals Co. | 8,863 | 104 |
Packaging Corp. of America | 3,852 | 98 |
Scotts Miracle-Gro Co. Class A | 1,690 | 82 |
Minerals Technologies Inc. | 1,396 | 81 |
Domtar Corp. | 941 | 76 |
Silgan Holdings Inc. | 1,911 | 73 |
Worthington Industries Inc. | 4,256 | 69 |
* Louisiana-Pacific Corp. | 10,097 | 67 |
3,567 | ||
Telecommunication Services (0.4%) | ||
Telephone & Data Systems Inc. | 6,991 | 179 |
Utilities (11.2%) | ||
OGE Energy Corp. | 7,506 | 376 |
NSTAR | 7,942 | 363 |
Alliant Energy Corp. | 8,506 | 345 |
MDU Resources Group Inc. | 14,475 | 309 |
NV Energy Inc. | 18,084 | 270 |
Questar Corp. | 13,608 | 255 |
UGI Corp. | 8,560 | 255 |
AGL Resources Inc. | 6,000 | 249 |
Westar Energy Inc. | 8,718 | 232 |
Atmos Energy Corp. | 6,925 | 232 |
Great Plains Energy Inc. | 10,424 | 204 |
National Fuel Gas Co. | 3,044 | 187 |
Hawaiian Electric | ||
Industries Inc. | 7,306 | 175 |
Vectren Corp. | 6,266 | 171 |
Cleco Corp. | 4,676 | 166 |
WGL Holdings Inc. | 3,929 | 162 |
IDACORP Inc. | 3,799 | 145 |
DPL Inc. | 4,663 | 140 |
Aqua America Inc. | 5,197 | 115 |
PNM Resources Inc. | 6,656 | 100 |
Black Hills Corp. | 1,512 | 46 |
4,497 | ||
Total Investments | ||
(Cost $43,341) | 40,285 | |
Other Assets and Liabilities (0.0%) | ||
Other Assets | 5,777 | |
Liabilities | (5,780) | |
(3) | ||
Net Assets (100%) | 40,282 |
Market | |
Value | |
($000) | |
Statement of Assets and Liabilities | |
Assets | |
Investments in Securities, at Value | 40,285 |
Receivables for Investment | |
Securities Sold | 5,714 |
Other Assets | 63 |
Total Assets | 46,062 |
Liabilities | |
Payables for Investment | |
Securities Purchased | 5,728 |
Other Liabilities | 52 |
Total Liabilities | 5,780 |
Net Assets | 40,282 |
At August 31, 2011, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 44,242 |
Undistributed Net Investment Income | 377 |
Accumulated Net Realized Losses | (1,281) |
Unrealized Appreciation (Depreciation) | (3,056) |
Net Assets | 40,282 |
Institutional Shares—Net Assets | |
Applicable to 312,168 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 34,713 |
Net Asset Value Per Share— | |
Institutional Shares | $111.20 |
ETF Shares—Net Assets | |
Applicable to 100,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 5,569 |
Net Asset Value Per Share— | |
ETF Shares | $55.69 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
See accompanying Notes, which are an integral part of the Financial Statements.
30
S&P Mid-Cap 400 Value Index Fund
Statement of Operations
September 7, 20101 to | |
August 31, 2011 | |
($000) | |
Investment Income | |
Income | |
Dividends | 460 |
Total Income | 460 |
Expenses | |
The Vanguard Group—Note B | |
Management and Administrative—Institutional Shares | — |
Management and Administrative—ETF Shares | 5 |
Custodian Fees | 11 |
Auditing Fees | 7 |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—ETF Shares | 1 |
Total Expenses | 24 |
Net Investment Income | 436 |
Realized Net Gain (Loss) on Investment Securities Sold | (457) |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | (3,056) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (3,077) |
1 Inception. |
See accompanying Notes, which are an integral part of the Financial Statements.
31
S&P Mid-Cap 400 Value Index Fund
Statement of Changes in Net Assets
September 7, 20101 to | |
August 31, 2011 | |
($000) | |
Increase (Decrease) in Net Assets | |
Operations | |
Net Investment Income | 436 |
Realized Net Gain (Loss) | (457) |
Change in Unrealized Appreciation (Depreciation) | (3,056) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (3,077) |
Distributions | |
Net Investment Income | |
Institutional Shares | (46) |
ETF Shares | (13) |
Realized Capital Gain | |
Institutional Shares | — |
ETF Shares | — |
Total Distributions | (59) |
Capital Share Transactions | |
Institutional Shares | 37,945 |
ETF Shares | 5,473 |
Net Increase (Decrease) from Capital Share Transactions | 43,418 |
Total Increase (Decrease) | 40,282 |
Net Assets | |
Beginning of Period | — |
End of Period2 | 40,282 |
1 Inception. | |
2 Net Assets—End of Period includes undistributed net investment income of $377,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
32
S&P Mid-Cap 400 Value Index Fund
Financial Highlights
Institutional Shares | |
November 2, 20101 to | |
For a Share Outstanding Throughout the Period | August 31, 2011 |
Net Asset Value, Beginning of Period | $109.35 |
Investment Operations | |
Net Investment Income | 1.146 |
Net Realized and Unrealized Gain (Loss) on Investments | 1.233 |
Total from Investment Operations | 2.379 |
Distributions | |
Dividends from Net Investment Income | (.529) |
Distributions from Realized Capital Gains | — |
Total Distributions | (.529) |
Net Asset Value, End of Period | $111.20 |
Total Return | 2.15% |
Ratios/Supplemental Data | |
Net Assets, End of Period (Millions) | $35 |
Ratio of Total Expenses to Average Net Assets | 0.08%2 |
Ratio of Net Investment Income to Average Net Assets | 1.94%2 |
Portfolio Turnover Rate3 | 48% |
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
33
S&P Mid-Cap 400 Value Index Fund
Financial Highlights
ETF Shares | |
September 7, 20101 to | |
For a Share Outstanding Throughout the Period | August 31, 2011 |
Net Asset Value, Beginning of Period | $49.86 |
Investment Operations | |
Net Investment Income | .746 |
Net Realized and Unrealized Gain (Loss) on Investments | 5.340 |
Total from Investment Operations | 6.086 |
Distributions | |
Dividends from Net Investment Income | (.256) |
Distributions from Realized Capital Gains | — |
Total Distributions | (.256) |
Net Asset Value, End of Period | $55.69 |
Total Return | 12.18% |
Ratios/Supplemental Data | |
Net Assets, End of Period (Millions) | $6 |
Ratio of Total Expenses to Average Net Assets | 0.20%2 |
Ratio of Net Investment Income to Average Net Assets | 1.82%2 |
Portfolio Turnover Rate3 | 48% |
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
34
S&P Mid-Cap 400 Value Index Fund
Notes to Financial Statements
Vanguard S&P Mid-Cap 400 Value Index 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 ETF Shares. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. Institutional Shares were first issued on November 2, 2010. ETF Shares were first issued on September 7, 2010, and first offered to the public on September 9, 2010. ETF Shares are listed for trading on the NYSE Arca, Inc.; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Federal Income Taxes: The fund intends to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for its open federal income tax period ended August 31, 2011, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
3. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
4. Other: Dividend income is recorded on the ex-dividend date. 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 August 31, 2011, the fund had
35
S&P Mid-Cap 400 Value Index Fund
contributed capital of $7,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 0.00% 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).
At August 31, 2011, 100% of the fund’s market value was based on Level 1 inputs.
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the period ended August 31, 2011, the fund realized $824,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
For tax purposes, at August 31, 2011, the fund had $378,000 of ordinary income available for distribution. The fund realized losses of $1,272,000 during the period from November 1, 2010, through August 31, 2011, which are deferred and will be treated as realized for tax purposes in fiscal 2012.
At August 31, 2011, the cost of investment securities for tax purposes was $43,351,000. Net unrealized depreciation of investment securities for tax purposes was $3,066,000, consisting of unrealized gains of $716,000 on securities that had risen in value since their purchase and $3,782,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the period ended August 31, 2011, the fund purchased $63,533,000 of investment securities and sold $19,731,000 of investment securities, other than temporary cash investments.
36
S&P Mid-Cap 400 Value Index Fund
F. Capital share transactions for each class of shares were:
Inception1 to | ||
August 31, 2011 | ||
Amount | Shares | |
($000) | (000) | |
Institutional Shares | ||
Issued | 39,075 | 322 |
Issued in Lieu of Cash Distributions | 46 | — |
Redeemed | (1,176) | (10) |
Net Increase (Decrease)—Institutional Shares | 37,945 | 312 |
ETF Shares | ||
Issued | 13,747 | 250 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (8,274) | (150) |
Net Increase (Decrease)—ETF Shares | 5,473 | 100 |
1 Inception was September 7, 2010, for the ETF Shares and November 2, 2010, for the Institutional Shares.
G. In preparing the financial statements as of August 31, 2011, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
37
S&P Mid-Cap 400 Growth Index Fund
Fund Profile
As of August 31, 2011
Share-Class Characteristics | |||
Institutional | ETF | ||
Shares | Shares | ||
Ticker Symbol | VMFGX | IVOG | |
Expense Ratio1 | 0.08% | 0.20% | |
30-Day SEC Yield | 0.79% | 0.67% | |
Portfolio Characteristics | |||
S&P | DJ | ||
MidCap | U.S. Total | ||
400 Growth | Market | ||
Fund | Index | Index | |
Number of Stocks | 244 | 244 | 3,716 |
Median Market Cap | $3.7B | $3.7B | $30.4B |
Price/Earnings Ratio | 19.6x | 19.6x | 14.7x |
Price/Book Ratio | 2.8x | 2.8x | 2.0x |
Return on Equity | 16.3% | 16.3% | 19.0% |
Earnings Growth Rate 13.6% | 13.6% | 7.0% | |
Dividend Yield | 0.9% | 0.9% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 40% | — | — |
Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure) | |||
S&P | |||
MidCap | DJ | ||
400 | U.S. Total | ||
Growth | Market | ||
Fund | Index | Index | |
Consumer | |||
Discretionary | 19.2% | 19.2% | 12.3% |
Consumer Staples | 5.2 | 5.2 | 10.5 |
Energy | 6.7 | 6.7 | 10.8 |
Financials | 12.6 | 12.6 | 14.8 |
Health Care | 15.2 | 15.2 | 11.4 |
Industrials | 12.1 | 12.1 | 11.0 |
Information | |||
Technology | 21.7 | 21.7 | 18.7 |
Materials | 5.6 | 5.6 | 4.4 |
Telecommunication | |||
Services | 0.5 | 0.5 | 2.6 |
Utilities | 1.2 | 1.2 | 3.5 |
Ten Largest Holdings (% of total net assets) | ||
Green Mountain Coffee | Packaged Foods & | |
Roasters Inc. | Meats | 2.4% |
Dollar Tree Inc. | General | |
Merchandise Stores | 1.6 | |
Lubrizol Corp. | Specialty Chemcials | 1.6 |
Perrigo Co. | Pharmaceuticals | 1.5 |
Macerich Co. | Retail REITs | 1.2 |
SL Green Realty Corp. | Office REITs | 1.1 |
Hansen Natural Corp. | Soft Drinks | 1.1 |
Rovi Corp. | Systems Software | 1.0 |
Mettler-Toledo | Life Sciences Tools | |
International Inc. | & Services | 0.9 |
ANSYS Inc. | Application | |
Software | 0.9 | |
Top Ten | 13.3% | |
The holdings listed exclude any temporary cash investments and equity index products. | ||
Investment Focus
1 The expense ratios shown are from the prospectus dated September 7, 2010, and represent estimated costs for the current fiscal year. For the periods from inception through August 31, 2011, the annualized expense ratios were 0.08% for Institutional Shares and 0.20% for ETF Shares.
38
S&P Mid-Cap 400 Growth Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: September 7, 2010, Through August 31, 2011
Initial Investment of $10,000
Total Returns | ||
Periods Ended August 31, 2011 | ||
Since | Final Value | |
Inception | of a $10,000 | |
(9/7/2010) | Investment | |
S&P Mid-Cap 400 Growth Index Fund | ||
ETF Shares Net Asset Value | 22.36% | $12,236 |
S&P Mid-Cap 400 Growth Index Fund | ||
ETF Shares Market Price | 22.42 | 12,242 |
Dow Jones U.S. Total Stock Market | ||
Index | 14.40 | 11,440 |
S&P MidCap 400 Growth Index | 22.56 | 12,256 |
Mid-Cap Growth Funds Average | 17.78 | 11,778 |
Mid-Cap Growth Funds Average: Derived from data provided by Lipper Inc.
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
Since | Final Value | |
Inception | of a $5,000,000 | |
(3/28/2011)1 | Investment | |
S&P Mid-Cap 400 Growth Index Fund Institutional Shares | -6.57% | $4,671,740 |
Dow Jones U.S. Total Stock Market Index | -6.81 | 4,659,341 |
S&P MidCap 400 Growth Index | -6.55 | 4,672,748 |
“Since Inception” performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.
1 Institutional Shares were first issued on December 15, 2010, and the sole shareholder redeemed shortly thereafter. Institutional Shares were next issued on March 28, 2011. The total returns shown are based on the period beginning March 28, 2011.
See Financial Highlights for dividend and capital gains information.
39
S&P Mid-Cap 400 Growth Index Fund
Cumulative Returns of ETF Shares: September 7, 2010, Through August 31, 2011
Since | |
Inception | |
(9/7/2010) | |
S&P Mid-Cap 400 Growth Index Fund | |
ETF Shares Market Price | 22.42% |
S&P Mid-Cap 400 Growth Index Fund | |
ETF Shares Net Asset Value | 22.36 |
S&P MidCap 400 Growth Index | 22.56 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards
Fiscal-Period Total Returns (%): September 7, 2010, Through August 31, 2011
Total Returns: Periods Ended June 30, 2011
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
Inception | Since | |
Date | Inception | |
Institutional Shares | 3/28/20111 | 3.46% |
ETF Shares | 9/7/2010 | |
Market Price | 35.53 | |
Net Asset Value | 35.51 |
1 Institutional Shares were first issued on December 15, 2010, and the sole shareholder redeemed shortly thereafter. Institutional Shares were next issued on March 28, 2011. The total returns shown are based on the period beginning March 28, 2011.
40
S&P Mid-Cap 400 Growth Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2011
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (100.0%) | |||
Consumer Discretionary (19.2%) | |||
* | Dollar Tree Inc. | 11,999 | 857 |
* | Fossil Inc. | 4,905 | 474 |
PetSmart Inc. | 11,127 | 469 | |
Advance Auto Parts Inc. | 7,519 | 457 | |
* | BorgWarner Inc. | 6,339 | 453 |
PVH Corp. | 6,608 | 440 | |
Tractor Supply Co. | 7,088 | 435 | |
Tupperware Brands Corp. | 6,123 | 407 | |
Polaris Industries Inc. | 3,372 | 370 | |
* | LKQ Corp. | 14,332 | 367 |
Gentex Corp. | 14,022 | 364 | |
* | Panera Bread Co. Class A | 2,988 | 344 |
Williams-Sonoma Inc. | 10,313 | 341 | |
* | Deckers Outdoor Corp. | 3,800 | 338 |
* | Dick’s Sporting Goods Inc. | 8,969 | 315 |
* | Under Armour Inc. Class A | 3,500 | 248 |
Sotheby’s | 6,626 | 247 | |
Chico’s FAS Inc. | 17,282 | 241 | |
* | Warnaco Group Inc. | 4,316 | 230 |
Guess? Inc. | 6,268 | 214 | |
* | AMC Networks Inc. Class A | 5,645 | 209 |
* | Ascena Retail Group Inc. | 6,752 | 192 |
* | ITT Educational Services Inc. | 2,258 | 163 |
* | Life Time Fitness Inc. | 4,146 | 159 |
* | Cheesecake Factory Inc. | 5,717 | 157 |
* | DreamWorks Animation | ||
SKG Inc. Class A | 6,962 | 147 | |
John Wiley & Sons Inc. | |||
Class A | 2,756 | 134 | |
* | Bally Technologies Inc. | 4,231 | 133 |
Service Corp. International | 12,181 | 124 | |
* | WMS Industries Inc. | 5,617 | 123 |
* | Valassis Communications Inc. | 4,820 | 122 |
* | ANN Inc. | 5,106 | 120 |
* | Lamar Advertising Co. | ||
Class A | 5,646 | 118 | |
Strayer Education Inc. | 1,202 | 114 | |
* | Hanesbrands Inc. | 3,409 | 97 |
Market | |||
Value | |||
Shares | ($000) | ||
Brinker International Inc. | 4,077 | 92 | |
American Eagle Outfitters Inc. | 8,222 | 91 | |
* | Aeropostale Inc. | 7,920 | 89 |
* | Timberland Co. Class A | 1,931 | 83 |
* | 99 Cents Only Stores | 2,320 | 43 |
Meredith Corp. | 1,508 | 39 | |
10,160 | |||
Consumer Staples (5.2%) | |||
* | Green Mountain Coffee | ||
Roasters Inc. | 12,255 | 1,284 | |
* | Hansen Natural Corp. | 6,766 | 577 |
Church & Dwight Co. Inc. | 7,012 | 305 | |
* | Energizer Holdings Inc. | 2,939 | 222 |
Corn Products | |||
International Inc. | 4,117 | 193 | |
Flowers Foods Inc. | 5,842 | 111 | |
Lancaster Colony Corp. | 1,062 | 64 | |
Tootsie Roll Industries Inc. | 1,065 | 27 | |
2,783 | |||
Energy (6.7%) | |||
Oceaneering International Inc. | 10,650 | 455 | |
Cimarex Energy Co. | 4,867 | 346 | |
* | Oil States International Inc. | 5,032 | 333 |
* | Dresser-Rand Group Inc. | 7,826 | 332 |
CARBO Ceramics Inc. | 1,863 | 298 | |
SM Energy Co. | 3,620 | 277 | |
* | Superior Energy Services Inc. | 7,828 | 276 |
* | Atwood Oceanics Inc. | 5,529 | 233 |
* | Bill Barrett Corp. | 4,630 | 222 |
* | Dril-Quip Inc. | 3,380 | 219 |
Arch Coal Inc. | 9,580 | 195 | |
* | Quicksilver Resources Inc. | 11,583 | 110 |
* | Northern Oil and Gas Inc. | 5,327 | 109 |
* | Forest Oil Corp. | 4,905 | 95 |
* | Patriot Coal Corp. | 4,480 | 66 |
3,566 | |||
Financials (12.6%) | |||
Macerich Co. | 12,845 | 630 | |
SL Green Realty Corp. | 8,134 | 588 | |
* | MSCI Inc. Class A | 11,787 | 407 |
41
S&P Mid-Cap 400 Growth Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Federal Realty | |||
Investment Trust | 3,297 | 299 | |
Jones Lang LaSalle Inc. | 4,211 | 282 | |
Realty Income Corp. | 7,977 | 277 | |
Waddell & Reed Financial Inc. | |||
Class A | 8,486 | 265 | |
UDR Inc. | 9,904 | 264 | |
* | Affiliated Managers Group Inc. | 2,911 | 254 |
Rayonier Inc. | 5,742 | 241 | |
Essex Property Trust Inc. | 1,630 | 234 | |
Taubman Centers Inc. | 4,057 | 234 | |
Camden Property Trust | 3,373 | 225 | |
Corporate Office | |||
Properties Trust | 6,975 | 187 | |
BRE Properties Inc. | 3,601 | 181 | |
Alexandria Real | |||
Estate Equities Inc. | 2,484 | 181 | |
Eaton Vance Corp. | 7,095 | 173 | |
Senior Housing | |||
Properties Trust | 6,703 | 159 | |
Liberty Property Trust | 4,522 | 153 | |
Regency Centers Corp. | 3,703 | 153 | |
Arthur J Gallagher & Co. | 4,659 | 131 | |
SEI Investments Co. | 6,944 | 119 | |
Brown & Brown Inc. | 5,290 | 111 | |
Duke Realty Corp. | 8,675 | 103 | |
Weingarten Realty Investors | 3,910 | 95 | |
Highwoods Properties Inc. | 2,902 | 95 | |
Omega Healthcare | |||
Investors Inc. | 5,184 | 94 | |
Mack-Cali Realty Corp. | 2,816 | 88 | |
Jefferies Group Inc. | 5,035 | 83 | |
Aspen Insurance Holdings Ltd. | 3,062 | 73 | |
Bank of Hawaii Corp. | 1,642 | 68 | |
* | SVB Financial Group | 1,476 | 68 |
Westamerica Bancorporation | 1,222 | 52 | |
Potlatch Corp. | 1,303 | 44 | |
Greenhill & Co. Inc. | 1,228 | 44 | |
6,655 | |||
Health Care (15.2%) | |||
Perrigo Co. | 8,189 | 776 | |
* | Mettler-Toledo | ||
International Inc. | 3,154 | 502 | |
* | ResMed Inc. | 15,005 | 465 |
* | IDEXX Laboratories Inc. | 5,627 | 449 |
* | Vertex Pharmaceuticals Inc. | 9,499 | 430 |
* | Kinetic Concepts Inc. | 6,050 | 409 |
Universal Health Services Inc. | |||
Class B | 9,595 | 399 | |
* | Endo Pharmaceuticals | ||
Holdings Inc. | 11,434 | 365 | |
Cooper Cos. Inc. | 4,611 | 347 | |
* | Allscripts Healthcare | ||
Solutions Inc. | 18,688 | 335 | |
* | Henry Schein Inc. | 4,887 | 322 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Mednax Inc. | 4,711 | 308 |
* | Gen-Probe Inc. | 4,711 | 282 |
* | Catalyst Health Solutions Inc. | 4,890 | 263 |
Medicis Pharmaceutical Corp. | |||
Class A | 6,057 | 236 | |
* | United Therapeutics Corp. | 5,013 | 216 |
* | Health Management | ||
Associates Inc. Class A | 24,831 | 204 | |
Lincare Holdings Inc. | 9,290 | 200 | |
* | Thoratec Corp. | 5,611 | 192 |
* | Covance Inc. | 3,332 | 165 |
Techne Corp. | 2,112 | 153 | |
* | AMERIGROUP Corp. | 2,969 | 147 |
* | Hologic Inc. | 8,722 | 145 |
Pharmaceutical Product | |||
Development Inc. | 4,332 | 136 | |
* | Bio-Rad Laboratories Inc. | ||
Class A | 1,116 | 112 | |
* | WellCare Health Plans Inc. | 2,130 | 98 |
STERIS Corp. | 2,905 | 93 | |
Masimo Corp. | 3,518 | 87 | |
* | VCA Antech Inc. | 4,247 | 79 |
* | Charles River Laboratories | ||
International Inc. | 2,285 | 76 | |
Hill-Rom Holdings Inc. | 2,422 | 73 | |
8,064 | |||
Industrials (12.1%) | |||
Gardner Denver Inc. | 5,129 | 404 | |
AMETEK Inc. | 9,940 | 388 | |
* | BE Aerospace Inc. | 10,130 | 353 |
* | Kansas City Southern | 4,845 | 262 |
* | Copart Inc. | 5,861 | 252 |
Donaldson Co. Inc. | 4,044 | 239 | |
Waste Connections Inc. | 6,573 | 227 | |
* | AGCO Corp. | 4,836 | 207 |
Triumph Group Inc. | 3,752 | 197 | |
Woodward Inc. | 5,802 | 188 | |
Hubbell Inc. Class B | 3,133 | 185 | |
JB Hunt Transport | |||
Services Inc. | 4,500 | 181 | |
Nordson Corp. | 3,883 | 170 | |
IDEX Corp. | 4,552 | 169 | |
* | Kirby Corp. | 3,055 | 168 |
Wabtec Corp. | 2,747 | 167 | |
MSC Industrial Direct Co. | |||
Class A | 2,527 | 156 | |
Timken Co. | 3,907 | 154 | |
* | Thomas & Betts Corp. | 3,240 | 142 |
SPX Corp. | 2,452 | 139 | |
* | Corrections Corp. of America | 6,000 | 136 |
Valmont Industries Inc. | 1,407 | 130 | |
Rollins Inc. | 6,219 | 130 | |
* | Alaska Air Group Inc. | 2,074 | 120 |
Graco Inc. | 2,856 | 113 | |
Crane Co. | 2,668 | 113 |
42
S&P Mid-Cap 400 Growth Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Clean Harbors Inc. | 1,943 | 105 |
Towers Watson & Co. Class A | 1,771 | 104 | |
Lincoln Electric Holdings Inc. | 2,897 | 99 | |
Regal-Beloit Corp. | 1,670 | 98 | |
Kennametal Inc. | 2,649 | 98 | |
* | Oshkosh Corp. | 4,916 | 97 |
* | Huntington Ingalls | ||
Industries Inc. | 2,871 | 86 | |
* | FTI Consulting Inc. | 2,194 | 80 |
Acuity Brands Inc. | 1,575 | 72 | |
Landstar System Inc. | 1,694 | 69 | |
Corporate Executive Board Co. | 1,969 | 65 | |
Watsco Inc. | 1,002 | 60 | |
* | General Cable Corp. | 1,895 | 57 |
Lennox International Inc. | 1,760 | 55 | |
UTi Worldwide Inc. | 3,528 | 48 | |
Deluxe Corp. | 1,974 | 44 | |
* | United Rentals Inc. | 2,517 | 42 |
Herman Miller Inc. | 2,031 | 40 | |
6,409 | |||
Information Technology (21.7%) | |||
* | Rovi Corp. | 11,082 | 542 |
* | ANSYS Inc. | 9,009 | 486 |
* | Alliance Data Systems Corp. | 5,006 | 468 |
* | Informatica Corp. | 10,379 | 434 |
* | Equinix Inc. | 4,596 | 432 |
* | Polycom Inc. | 17,335 | 413 |
* | Atmel Corp. | 44,885 | 409 |
Solera Holdings Inc. | 6,931 | 406 | |
Factset Research | |||
Systems Inc. | 4,527 | 398 | |
* | MICROS Systems Inc. | 7,958 | 379 |
* | Skyworks Solutions Inc. | 18,290 | 377 |
* | Riverbed Technology Inc. | 15,052 | 373 |
* | Cree Inc. | 11,344 | 368 |
Global Payments Inc. | 7,866 | 360 | |
* | Rackspace Hosting Inc. | 9,767 | 357 |
* | TIBCO Software Inc. | 15,886 | 356 |
* | Gartner Inc. | 8,504 | 303 |
* | Trimble Navigation Ltd. | 7,592 | 282 |
Cypress Semiconductor Corp. | 16,510 | 261 | |
Jack Henry & Associates Inc. | 8,468 | 248 | |
* | Lam Research Corp. | 6,227 | 231 |
* | Varian Semiconductor | ||
Equipment Associates Inc. | 3,699 | 227 | |
* | Synopsys Inc. | 7,626 | 197 |
ADTRAN Inc. | 6,343 | 197 | |
* | Zebra Technologies Corp. | 5,360 | 193 |
* | Concur Technologies Inc. | 4,602 | 192 |
* | NeuStar Inc. Class A | 7,232 | 181 |
* | RF Micro Devices Inc. | 27,156 | 169 |
* | Silicon Laboratories Inc. | 4,368 | 151 |
Lender Processing | |||
Services Inc. | 8,471 | 149 | |
* | QLogic Corp. | 10,277 | 144 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Semtech Corp. | 6,401 | 137 |
Broadridge Financial | |||
Solutions Inc. | 6,172 | 128 | |
National Instruments Corp. | 4,641 | 118 | |
* | Cadence Design Systems Inc. | 12,136 | 112 |
* | Itron Inc. | 2,788 | 111 |
* | Vishay Intertechnology Inc. | 9,413 | 107 |
* | Parametric Technology Corp. | 5,940 | 107 |
* | Quest Software Inc. | 5,973 | 103 |
* | ACI Worldwide Inc. | 3,279 | 98 |
Plantronics Inc. | 3,021 | 97 | |
* | Fairchild Semiconductor | ||
International Inc. Class A | 7,135 | 95 | |
DST Systems Inc. | 1,759 | 83 | |
* | Digital River Inc. | 3,891 | 78 |
* | ValueClick Inc. | 5,028 | 77 |
* | Advent Software Inc. | 3,195 | 74 |
* | International Rectifier Corp. | 3,154 | 72 |
* | Ciena Corp. | 4,570 | 56 |
* | Mentor Graphics Corp. | 3,824 | 43 |
Mantech International Corp. | |||
Class A | 1,140 | 43 | |
* | Acxiom Corp. | 3,507 | 38 |
Fair Isaac Corp. | 1,414 | 36 | |
11,496 | |||
Materials (5.6%) | |||
Lubrizol Corp. | 6,309 | 850 | |
Albemarle Corp. | 8,997 | 456 | |
Compass Minerals | |||
International Inc. | 3,231 | 244 | |
Domtar Corp. | 2,817 | 226 | |
Rock-Tenn Co. Class A | 3,604 | 194 | |
Aptargroup Inc. | 3,494 | 176 | |
NewMarket Corp. | 938 | 157 | |
* | Intrepid Potash Inc. | 4,352 | 149 |
Packaging Corp. of America | 4,920 | 125 | |
Scotts Miracle-Gro Co. | |||
Class A | 2,244 | 109 | |
Martin Marietta Materials Inc. | 1,521 | 108 | |
Silgan Holdings Inc. | 2,359 | 90 | |
Carpenter Technology Corp. | 1,602 | 81 | |
2,965 | |||
Telecommunication Services (0.5%) | |||
* | tw telecom inc Class A | 14,805 | 285 |
Utilities (1.2%) | |||
National Fuel Gas Co. | 4,218 | 259 | |
DPL Inc. | 5,505 | 165 | |
Aqua America Inc. | 6,914 | 152 | |
Black Hills Corp. | 1,937 | 59 | |
635 | |||
Total Investments | |||
(Cost $54,468) | 53,018 |
43
S&P Mid-Cap 400 Growth Index Fund | |
Market | |
Value | |
($000) | |
Other Assets and Liabilities (0.0%) | |
Other Assets | 85 |
Liabilities | (96) |
(11) | |
Net Assets (100%) | 53,007 |
Statement of Assets and Liabilities | |
Assets | |
Investments in Securities, at Value | 53,018 |
Other Assets | 85 |
Total Assets | 53,103 |
Liabilities | |
Payables for Securities Purchased | 26 |
Other Liabilities | 70 |
Total Liabilities | 96 |
Net Assets | 53,007 |
At August 31, 2011, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 55,658 |
Undistributed Net Investment Income | 154 |
Accumulated Net Realized Losses | (1,355) |
Unrealized Appreciation (Depreciation) | (1,450) |
Net Assets | 53,007 |
Institutional Shares—Net Assets | |
Applicable to 184,648 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 22,442 |
Net Asset Value Per Share— | |
Institutional Shares | $121.54 |
ETF Shares—Net Assets | |
Applicable to 500,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 30,565 |
Net Asset Value Per Share— | |
ETF Shares | $61.13 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
See accompanying Notes, which are an integral part of the Financial Statements.
44
S&P Mid-Cap 400 Growth Index Fund
Statement of Operations
September 7, 20101 to | |
August 31, 2011 | |
($000) | |
Investment Income | |
Income | |
Dividends | 233 |
Interest2 | 1 |
Total Income | 234 |
Expenses | |
The Vanguard Group—Note B | |
Management and Administrative—Institutional Shares | — |
Management and Administrative—ETF Shares | 23 |
Custodian Fees | 14 |
Auditing Fees | 7 |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—ETF Shares | 3 |
Total Expenses | 47 |
Net Investment Income | 187 |
Realized Net Gain (Loss) on Investment Securities Sold | (457) |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | (1,450) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,720) |
1 Inception. | |
2 Interest income from an affiliated company of the fund was $1,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
45
S&P Mid-Cap 400 Growth Index Fund
Statement of Changes in Net Assets
September 7, 20101 to | |
August 31, 2011 | |
($000) | |
Increase (Decrease) in Net Assets | |
Operations | |
Net Investment Income | 187 |
Realized Net Gain (Loss) | (457) |
Change in Unrealized Appreciation (Depreciation) | (1,450) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,720) |
Distributions | |
Net Investment Income | |
Institutional Shares | — |
ETF Shares | (20) |
Realized Capital Gain | |
Institutional Shares | — |
ETF Shares | — |
Total Distributions | (20) |
Capital Share Transactions | |
Institutional Shares | 24,410 |
ETF Shares | 30,337 |
Net Increase (Decrease) from Capital Share Transactions | 54,747 |
Total Increase (Decrease) | 53,007 |
Net Assets | |
Beginning of Period | — |
End of Period2 | 53,007 |
1 Inception. | |
2 Net Assets—End of Period includes undistributed net investment income of $154,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
46
S&P Mid-Cap 400 Growth Index Fund
Financial Highlights
Institutional Shares | |
March 28, 20111 to | |
For a Share Outstanding Throughout the Period | August 31, 2011 |
Net Asset Value, Beginning of Period | $130.08 |
Investment Operations | |
Net Investment Income | .304 |
Net Realized and Unrealized Gain (Loss) on Investments | (8.844) |
Total from Investment Operations | (8.540) |
Distributions | |
Dividends from Net Investment Income | — |
Distributions from Realized Capital Gains | — |
Total Distributions | — |
Net Asset Value, End of Period | $121.54 |
Total Return | -6.57% |
Ratios/Supplemental Data | |
Net Assets, End of Period (Millions) | $22 |
Ratio of Total Expenses to Average Net Assets | 0.08%2 |
Ratio of Net Investment Income to Average Net Assets | 0.75%2 |
Portfolio Turnover Rate3 | 40% |
1 Inception—See Notes to Financial Statements.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
47
S&P Mid-Cap 400 Growth Index Fund
Financial Highlights
ETF Shares | |
September 7, 20101 to | |
For a Share Outstanding Throughout the Period | August 31, 2011 |
Net Asset Value, Beginning of Period | $50.04 |
Investment Operations | |
Net Investment Income | .280 |
Net Realized and Unrealized Gain (Loss) on Investments | 10.910 |
Total from Investment Operations | 11.190 |
Distributions | |
Dividends from Net Investment Income | (.100) |
Distributions from Realized Capital Gains | — |
Total Distributions | (.100) |
Net Asset Value, End of Period | $61.13 |
Total Return | 22.36% |
Ratios/Supplemental Data | |
Net Assets, End of Period (Millions) | $31 |
Ratio of Total Expenses to Average Net Assets | 0.20%2 |
Ratio of Net Investment Income to Average Net Assets | 0.63%2 |
Portfolio Turnover Rate3 | 40% |
1 Inception—See Notes to Financial Statements.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
48
S&P Mid-Cap 400 Growth Index Fund
Notes to Financial Statements
Vanguard S&P Mid-Cap 400 Growth Index 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 ETF Shares. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. Institutional Shares were first issued on December 15, 2010; the sole shareholder redeemed shortly thereafter. Institutional Shares were next issued on March 28, 2011. The Financial Highlights included in these financial statements are based on the activity of the Institutional Shares since March 28, 2011. ETF Shares were first issued on September 7, 2010, and first offered to the public on September 9, 2010. ETF Shares are listed for trading on the NYSE Arca, Inc.; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value.
2. Federal Income Taxes: The fund intends to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for its open federal income tax period ended August 31, 2011, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
3. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
4. 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 August 31, 2011, the fund had contributed capital
49
S&P Mid-Cap 400 Growth Index Fund
of $9,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 0.00% 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).
At August 31, 2011, 100% of the fund’s market value was based on Level 1 inputs.
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the period ended August 31, 2011, the fund realized $896,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund used a tax accounting practice to treat a portion of the price of capital shares redeemed during the period as distributions from net investment income and realized capital gains. Accordingly, the fund has reclassified $13,000 from undistributed net investment income, and $2,000 from accumulated net realized losses, to paid-in capital.
For tax purposes, at August 31, 2011, the fund had $154,000 of ordinary income available for distribution. The fund realized losses of $1,350,000 during the period from November 1, 2010, through August 31, 2011, which are deferred and will be treated as realized for tax purposes in fiscal 2012.
At August 31, 2011, the cost of investment securities for tax purposes was $54,473,000. Net unrealized depreciation of investment securities for tax purposes was $1,455,000, consisting of unrealized gains of $2,503,000 on securities that had risen in value since their purchase and $3,958,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the period ended August 31, 2011, the fund purchased $73,409,000 of investment securities and sold $18,482,000 of investment securities, other than temporary cash investments.
50
S&P Mid-Cap 400 Growth Index Fund
F. Capital share transactions for each class of shares were:
Inception1 to | ||
August 31, 2011 | ||
Amount | Shares | |
($000) | (000) | |
Institutional Shares | ||
Issued | 26,992 | 205 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (2,582) | (20) |
Net Increase (Decrease)—Institutional Shares | 24,410 | 185 |
ETF Shares | ||
Issued | 36,105 | 600 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (5,768) | (100) |
Net Increase (Decrease)—ETF Shares | 30,337 | 500 |
1 Inception was September 7, 2010, for ETF Shares. Institutional Shares were first issued on December 15, 2010; the sole shareholder redeemed shortly thereafter. Institutional Shares were next issued on March 28, 2011. The table reflects all Institutional transactions beginning December 15, 2010.
G. In preparing the financial statements as of August 31, 2011, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
51
Report of Independent Registered
Public Accounting Firm
To the Trustees of Vanguard Admiral Funds and the Shareholders of Vanguard S&P Mid-Cap 400 Index Fund, Vanguard S&P Mid-Cap 400 Value Index Fund and Vanguard S&P Mid-Cap 400 Growth Index Fund:
In our opinion, the accompanying statements of net assets, the statements of assets and liabilities and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard S&P Mid-Cap 400 Index Fund, Vanguard S&P Mid-Cap 400 Value Index Fund and Vanguard S&P Mid-Cap 400 Growth Index Fund (constituting separate portfolios of Vanguard Admiral Funds, hereafter referred to as the “Funds”) at August 31, 2011, and the results of each of their operations, the changes in each of their net assets and the financial highlights for the period September 7, 2010 (commencement of operations) through August 31, 2011, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at August 31, 2011 by correspondence with the custodian, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 13, 2011
52
Special 2011 tax information (unaudited) for Vanguard S&P Mid-Cap 400 Index Funds |
This information for the period ended August 31, 2011, is included pursuant to provisions of the Internal Revenue Code.
The funds distributed qualified dividend income to shareholders during the period as follows:
Qualified Dividend Income | |
Index Fund | ($000) |
S&P Mid-Cap 400 Index | 22 |
S&P Mid-Cap 400 Value Index | 43 |
S&P Mid-Cap 400 Growth Index | 15 |
For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends-received deduction is as follows:
Index Fund | Percentage |
S&P Mid-Cap 400 Index | 82.8% |
S&P Mid-Cap 400 Value Index | 83.9 |
S&P Mid-Cap 400 Growth Index | 76.1 |
53
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.
54
Six Months Ended August 31, 2011 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
2/28/2011 | 8/31/2011 | Period | |
Based on Actual Fund Return | |||
S&P Mid-Cap 400 Index Fund | |||
ETF Shares | $1,000.00 | $910.32 | $0.72 |
S&P Mid-Cap 400 Value Index Fund | |||
Institutional Shares | $1,000.00 | $885.00 | $0.38 |
ETF Shares | 1,000.00 | 884.53 | 0.95 |
S&P Mid-Cap 400 Growth Index Fund | |||
ETF Shares | $1,000.00 | $937.29 | $0.98 |
Based on Hypothetical 5% Yearly Return | |||
S&P Mid-Cap 400 Index Fund | |||
ETF Shares | $1,000.00 | $1,024.45 | $0.77 |
S&P Mid-Cap 400 Value Index Fund | |||
Institutional Shares | $1,000.00 | $1,024.80 | $0.41 |
ETF Shares | 1,000.00 | 1,024.20 | 1.02 |
S&P Mid-Cap 400 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,024.20 | $1.02 |
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 S&P Mid-Cap 400 Index Fund, 0.15% for ETF Shares; for the S&P Mid-Cap 400 Value Index Fund, 0.08% for Institutional Shares and 0.20% for ETF Shares; and for the S&P Mid-Cap 400 Growth Index Fund, 0.20% for ETF Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period. The table does not include data for share classes with less than six months of history.
55
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard S&P Mid-Cap 400 Index Fund, S&P Mid-Cap 400 Value Index Fund, and S&P Mid-Cap 400 Growth Index Fund has renewed the funds’ investment advisory arrangement with The Vanguard Group, Inc. Vanguard—through its Quantitative Equity Group—serves as investment advisor to the funds. The board determined that continuing the funds’ internalized management structure was in the best interest of the funds and their shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board considered the quality of the investment management services provided to the funds since their inception in 2010 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 Quantitative Equity 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 approval of the advisory arrangement.
Investment performance
The board considered the funds’ performance since their inception, including any periods of outperformance or underperformance of their target indexes and peer groups. The board concluded that the funds have performed in line with expectations and that their results have been consistent with their investment strategies. Information about each fund’s performance can be found in the Performance Summary pages of this report.
Cost
The board concluded that each fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that the funds’ advisory fee rates were also well below their peer group averages. Information about the funds’ expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements sections.
The board does not conduct a profitability analysis of Vanguard, because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the funds’ low-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.
56
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 (in the case of 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.
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. The percentage of a fund’s average net assets used to pay its annual administrative and advisory expenses. These expenses directly reduce returns to investors.
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.
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.
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.
57
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.
58
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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 178 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
Interested Trustee1 | and President (2006–2008) of Rohm and Haas Co. |
(chemicals); Director of Tyco International, Ltd. | |
F. William McNabb III | (diversified manufacturing and services) and Hewlett- |
Born 1957. Trustee Since July 2009. Chairman of the | Packard Co. (electronic computer manufacturing); |
Board. Principal Occupation(s) During the Past Five | Senior Advisor at New Mountain Capital; Trustee |
Years: Chairman of the Board of The Vanguard Group, | of The Conference Board; Member of the Board of |
Inc., and of each of the investment companies served | Managers of Delphi Automotive LLP (automotive |
by The Vanguard Group, since January 2010; Director | components). |
of The Vanguard Group since 2008; Chief Executive | |
Officer and President of The Vanguard Group and of | Amy Gutmann |
each of the investment companies served by The | Born 1949. Trustee Since June 2006. Principal |
Vanguard Group since 2008; Director of Vanguard | Occupation(s) During the Past Five Years: President |
Marketing Corporation; Managing Director of The | of the University of Pennsylvania; Christopher H. |
Vanguard Group (1995–2008). | Browne Distinguished Professor of Political Science |
in the School of Arts and Sciences with secondary | |
appointments at the Annenberg School for Commu- | |
Independent Trustees | nication and the Graduate School of Education |
of the University of Pennsylvania; Director of | |
Emerson U. Fullwood | Carnegie Corporation of New York, Schuylkill River |
Born 1948. Trustee Since January 2008. Principal | Development Corporation, and Greater Philadelphia |
Occupation(s) During the Past Five Years: Executive | Chamber of Commerce; Trustee of the National |
Chief Staff and Marketing Officer for North America | Constitution Center; Chair of the Presidential |
and Corporate Vice President (retired 2008) of Xerox | Commission for the Study of Bioethical Issues. |
Corporation (document management products and | |
services); Executive in Residence and 2010 | JoAnn Heffernan Heisen |
Distinguished Minett Professor at the Rochester | Born 1950. Trustee Since July 1998. Principal |
Institute of Technology; Director of SPX Corporation | Occupation(s) During the Past Five Years: Corporate |
(multi-industry manufacturing), the United Way of | Vice President and Chief Global Diversity Officer |
Rochester, Amerigroup Corporation (managed health | (retired 2008) and Member of the Executive |
care), the University of Rochester Medical Center, | Committee (1997–2008) of Johnson & Johnson |
Monroe Community College Foundation, and North | (pharmaceuticals/consumer products); Director of |
Carolina A&T University. | Skytop Lodge Corporation (hotels), the University |
Medical Center at Princeton, the Robert Wood | |
Rajiv L. Gupta | Johnson Foundation, and the Center for Work Life |
Born 1945. Trustee Since December 2001.2 | Policy; Member of the Advisory Board of the |
Principal Occupation(s) During the Past Five Years: | Maxwell School of Citizenship and Public Affairs |
Chairman and Chief Executive Officer (retired 2009) | at Syracuse University. |
F. Joseph Loughrey | Thomas J. Higgins | |
Born 1949. Trustee Since October 2009. Principal | Born 1957. Chief Financial Officer Since September | |
Occupation(s) During the Past Five Years: President | 2008. Principal Occupation(s) During the Past Five | |
and Chief Operating Officer (retired 2009) and Vice | Years: Principal of The Vanguard Group, Inc.; Chief | |
Chairman of the Board (2008–2009) of Cummins Inc. | Financial Officer of each of the investment companies | |
(industrial machinery); Director of SKF AB (industrial | served by The Vanguard Group since 2008; Treasurer | |
machinery), Hillenbrand, Inc. (specialized consumer | of each of the investment companies served by The | |
services), the Lumina Foundation for Education, and | Vanguard Group (1998–2008). | |
Oxfam America; Chairman of the Advisory Council | ||
for the College of Arts and Letters and Member | Kathryn J. Hyatt | |
of the Advisory Board to the Kellogg Institute for | Born 1955. Treasurer Since November 2008. Principal | |
International Studies at the University of Notre Dame. | Occupation(s) During the Past Five Years: Principal | |
of The Vanguard Group, Inc.; Treasurer of each of | ||
André F. Perold | the investment companies served by The Vanguard | |
Born 1952. Trustee Since December 2004. Principal | Group since 2008; Assistant Treasurer of each of the | |
Occupation(s) During the Past Five Years: George | investment companies served by The Vanguard Group | |
Gund Professor of Finance and Banking at the Harvard | (1988–2008). | |
Business School (retired July 2011); Chief Investment | ||
Officer and co-Managing Partner of HighVista | Heidi Stam | |
Strategies LLC (private investment firm); Director of | Born 1956. Secretary Since July 2005. Principal | |
Rand Merchant Bank; Overseer of the Museum of | Occupation(s) During the Past Five Years: Managing�� | |
Fine Arts Boston. | Director of The Vanguard Group, Inc., since 2006; | |
General Counsel of The Vanguard Group since 2005; | ||
Alfred M. Rankin, Jr. | Secretary of The Vanguard Group and of each of the | |
Born 1941. Trustee Since January 1993. Principal | investment companies served by The Vanguard Group | |
Occupation(s) During the Past Five Years: Chairman, | since 2005; Director and Senior Vice President of | |
President, and Chief Executive Officer of NACCO | Vanguard Marketing Corporation since 2005; | |
Industries, Inc. (forklift trucks/housewares/lignite); | Principal of The Vanguard Group (1997–2006). | |
Director of Goodrich Corporation (industrial products/ | ||
aircraft systems and services) and the National | ||
Association of Manufacturers; Chairman of the | Vanguard Senior Management Team | |
Federal Reserve Bank of Cleveland; Vice Chairman | ||
of University Hospitals of Cleveland; President of | R. Gregory Barton | Michael S. Miller |
the Board of The Cleveland Museum of Art. | Mortimer J. Buckley | James M. Norris |
Kathleen C. Gubanich | Glenn W. Reed | |
Peter F. Volanakis | Paul A. Heller | George U. Sauter |
Born 1955. Trustee Since July 2009. Principal | Martha G. King | |
Occupation(s) During the Past Five Years: President | ||
and Chief Operating Officer (retired 2010) of Corning | ||
Incorporated (communications equipment); Director of | Chairman Emeritus and Senior Advisor | |
Corning Incorporated (2000–2010) and Dow Corning | ||
(2001–2010); Overseer of the Amos Tuck School of | John J. Brennan | |
Business Administration at Dartmouth College. | Chairman, 1996–2009 | |
Chief Executive Officer and President, 1996–2008 | ||
Executive Officers | ||
Founder | ||
Glenn Booraem | ||
Born 1967. Controller Since July 2010. Principal | John C. Bogle | |
Occupation(s) During the Past Five Years: Principal | Chairman and Chief Executive Officer, 1974–1996 | |
of The Vanguard Group, Inc.; Controller of each of | ||
the investment companies served by The Vanguard | ||
Group since 2010; Assistant Controller of each of | ||
the investment companies served by The Vanguard | ||
Group (2001–2010). |
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
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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 | |
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Commission, Washington, DC 20549-1520. | |
© 2011 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q18420 102011 |
Annual Report | August 31, 2011 |
Vanguard S&P 500 Value |
and Growth Index Funds |
Vanguard S&P 500 Value Index Fund |
Vanguard S&P 500 Growth Index Fund |
> Vanguard S&P 500 Value and Growth Index Funds closely tracked the returns of their respective target indexes.
> Large-cap growth stocks performed better than their value counterparts.
> Information technology and consumer-oriented holdings were among the top performers in the Growth Fund; the Value Fund’s results were held back by the financial sector.
Contents | |
Your Fund’s Total Returns | 1 |
Chairman’s Letter | 2 |
S&P 500 Value Index Fund | 7 |
S&P 500 Growth Index 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: Vanguard was named for the HMS Vanguard, flagship of British Admiral Horatio Nelson. A ship—whose performance and safety depend on the work of all hands—has served as a fitting metaphor for the Vanguard crew as we strive to help clients reach their financial goals.
Your Fund’s Total Returns
Period Ended August 31, 2011
Total | ||
Returns | ||
Ticker | Since | |
Symbol | Inception | |
Vanguard S&P 500 Value Index Fund | ||
ETF Shares (Inception: 9/7/2010) | VOOV | |
Market Price | 8.94% | |
Net Asset Value | 8.92 | |
S&P 500 Value Index | 9.13 | |
Large-Cap Value Funds Average1 | 8.89 | |
Vanguard S&P 500 Growth Index Fund | ||
ETF Shares (Inception: 9/7/2010) | VOOG | |
Market Price | 18.38% | |
Net Asset Value | 18.33 | |
S&P 500 Growth Index | 18.56 | |
Large-Cap Growth Funds Average1 | 14.94 |
Your Fund’s Performance at a Glance
Inception Through August 31, 2011
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard S&P 500 Value Index Fund | ||||
ETF Shares (Inception: 9/7/2010) | $49.93 | $53.59 | $0.845 | $0.000 |
Vanguard S&P 500 Growth Index Fund | ||||
ETF Shares (Inception: 9/7/2010) | $50.23 | $58.81 | $0.631 | $0.000 |
The Vanguard ETF® Shares shown are traded on the NYSE Arca exchange and are available only through brokers. The table provides ETF returns based on both the NYSE Arca market price and the net asset value for a share. U.S. Pat. No. 6,879,964 B2; 7,337,138.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares’ market price was above or below the NAV.
1 Derived from data provided by Lipper Inc.
1
Chairman’s Letter
Dear Shareholder,
Since their inception in September 2010, Vanguard S&P 500 Value and Growth Index Funds have tracked their respective benchmarks through unsettled markets. For the 11-plus months through August 31, the returns of the funds’ ETF Shares ranged from nearly 9% for the Value Fund to about 18% for the Growth Fund.
Unlike the first six months of the fiscal period, during which both funds produced similar results, value stocks struggled in the second half as the large, value-oriented financial sector wrestled with weakness. The Growth Fund outperformed the average return of its peer funds for the period, while the Value Fund was in line with its competitors. (Vanguard 500 Index Fund, which is essentially a blend of the growth and value portfolios, is covered in a separate report.)
This report begins with a look at the investment environment over the entire fiscal year and then reviews the drivers of the funds’ performance during their briefer period of operation.
Strong 12-month returns in a tale of two markets
Global stock markets delivered strong returns in a fiscal year marked by distinct periods of strength and weakness.
During the first six months, stock prices surged, with the broad U.S. stock market returning about 29%. As the slow, grinding economic recovery seemed to gather
2
momentum, energy and industrial stocks, which are keenly sensitive to the rhythms of the business cycle, produced the best returns.
In the second six months, growth decelerated and stock market volatility spiked, amplified by Europe’s sovereign-debt drama, political wrangling over the U.S. debt ceiling, and Standard & Poor’s decision to downgrade the U.S. credit rating. (Vanguard’s confidence in the “full faith and credit” of the U.S. government remains unshaken.) Stock prices retreated, and those sectors that led the market in the first half lost ground in the second, displaced by defensive sectors such as utilities and consumer staples.
Treasuries rallied as risk aversion returned
The stock market’s midyear pivot from offense to defense was mirrored in the bond market. In the first half of the year, yields rose (and prices declined) as the prospect of improved economic growth and inflationary pressures set the market’s tone. Corporate bonds outperformed U.S. Treasury securities.
In the second half, risk aversion set the tone. Investors bid up Treasuries, trimming the yield of the 10-year Treasury note to barely 2%, and government bonds were among the market’s best performers. For the full year, the taxable investment-grade U.S. bond market returned 4.62%; the broad municipal market returned 2.66%.
Market Barometer | |||
Average Annual Total Returns | |||
Periods Ended August 31, 2011 | |||
One Year | Three Years | Five Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 19.06% | 0.84% | 1.11% |
Russell 2000 Index (Small-caps) | 22.19 | 0.83 | 1.53 |
Dow Jones U.S. Total Stock Market Index | 19.16 | 1.18 | 1.52 |
MSCI All Country World Index ex USA (International) | 10.34 | –0.97 | 0.79 |
Bonds | |||
Barclays Capital U.S. Aggregate Bond Index | |||
(Broad taxable market) | 4.62% | 7.23% | 6.56% |
Barclays Capital Municipal Bond Index | |||
(Broad tax-exempt market) | 2.66 | 6.00 | 4.94 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.12 | 0.24 | 1.69 |
CPI | |||
Consumer Price Index | 3.77% | 1.12% | 2.13% |
3
The yields of money market instruments hovered near zero, consistent with the Federal Reserve’s target for short-term interest rates. Toward the end of the period, the Fed indicated that it expected to maintain this exceptionally low target at least through mid-2013.
Growth stocks emerged from market turbulence
Vanguard S&P 500 Value and Growth Index Funds debuted during a broad-based rally among large-cap stocks, which continued into the first half of the fiscal period but then retreated in the second half. Despite this setback, large-cap stocks of most flavors managed to end the fiscal year with respectable gains.
S&P 500 Growth Index Fund’s consumer-oriented, information technology, and health care sector holdings produced notably strong returns. Consumer discretionary stocks turned in double-digit results as more budget-conscious consumers frequented online retailers and dined at fast food franchises. Soft drink, tobacco, and household products manufacturers helped consumer staples produce benchmark-beating returns.
The information technology sector—which represented slightly less than one-third of the index and the fund’s holdings, on average—benefited from the growing demand for smartphones and tablet computers. Software manufacturers and
Expense Ratios
Your Fund Compared With Its Peer Group
ETF | Peer Group | |
Shares | Average | |
S&P 500 Value Index Fund | 0.15% | 1.27% |
S&P 500 Growth Index Fund | 0.15% | 1.37% |
The fund expense ratios shown are from the prospectus dated September 7, 2010, and represent estimated costs for the current fiscal year. For the period from inception through August 31, 2011, the funds’ annualized expense ratios were: for the S&P 500 Value Index Fund, 0.15%, and for the S&P 500 Growth Index Fund, 0.15%. The peer-group expense ratio is derived from data provided by Lipper Inc. and captures information through year-end 2010.
Peer groups: For the S&P 500 Value Index Fund, Large-Cap Value Funds; and for the S&P 500 Growth Index Fund, Large-Cap Growth Funds.
4
IT consulting services also fared well as tech spending remained strong despite weakness in the economy. In health care, pharmaceutical companies and health care equipment suppliers were top contributors. After some initial nervousness following the passage of health care reform legislation last year, investors have become more confident in the financial profile of pharmaceutical companies and health care providers.
The S&P 500 Value Index Fund’s preponderance of financial stocks weighed on results, as this was the only sector in the fund to record a negative return for the period. While many financial companies have rebuilt their balance sheets and positioned themselves for growth since the 2008 credit crisis, they continue to be plagued by the sluggish housing market and anxieties tied to the global credit market. Despite this disappointment, the fund benefited from substantial holdings in energy and health care.
Energy stocks soared, particularly in the first half of the fiscal year, as political turmoil in North Africa and the Middle East increased fears of shortages and drove up crude oil prices. Health care stocks, particularly those of managed care providers, also provided robust returns.
Since their inception, the funds have stayed on target
The S&P 500 Value and Growth Index Funds have successfully captured the returns of their benchmark indexes. Stock market volatility can create challenges for index fund advisors, who must manage purchases and sales in the face of fast-changing prices so as to minimize the gap between fund and index returns. Since their inception, the two funds have met the challenge.
This performance is a tribute to Vanguard Quantitative Equity Group, the funds’ advisor, whose decades of experience and sophisticated portfolio construction and management techniques have kept returns on track, aided by the funds’ low expense ratios.
Balance and diversification are important in volatile markets
The turbulence in the stock market at the end of the fiscal year continues to remind us of the markets’ unpredictable nature. However, such turmoil is not especially unusual.
Recent Vanguard research has found that the rapid swings that occurred in the weeks after Standard & Poor’s downgraded the U.S. credit rating were consistent with those seen during other global shocks such as the Russian default in 1998, the terrorist attacks on September 11, 2001, and the more recent global financial crisis. Although the latest volatility has been unnerving, it has done nothing to shake our confidence in stocks as an opportunity for long-term investment growth. It has also shown that a portfolio balanced between stock funds and less- volatile
5
bond and money market funds can help to limit some of the short-term damage inflicted by these occasional swoons.
Regardless of market conditions, we encourage you to build a balanced and diversified portfolio that aligns with your long-term goals and risk tolerance. The S&P 500 Value and Growth Index Funds each offer a cost-effective way to round out or modify your exposure to some of the largest companies in the U.S. stock market.
Thank you for entrusting your assets to Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
September 19, 2011
6
S&P 500 Value Index Fund
Fund Profile
As of August 31, 2011
Portfolio Characteristics | |||
Target | Broad | ||
Fund | Index1 | Index2 | |
Number of Stocks | 340 | 340 | 3,716 |
Median Market Cap | $45.4B | $45.4B | $30.4B |
Price/Earnings Ratio | 12.4x | 12.4x | 14.7x |
Price/Book Ratio | 1.4x | 1.4x | 2.0x |
Yield3 | 2.6% | 2.6% | 2.0% |
Return on Equity | 15.7% | 15.5% | 19.0% |
Earnings Growth Rate | –1.1% | –1.1% | 7.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 23% | — | — |
Expense Ratio4 | 0.15% | — | — |
Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure) | |||
Target | Broad | ||
Fund | Index1 | Index2 | |
Consumer Discretionary | 6.8% | 6.8% | 12.3% |
Consumer Staples | 10.2 | 10.2 | 10.5 |
Energy | 18.4 | 18.4 | 10.8 |
Financials | 23.7 | 23.7 | 14.8 |
Health Care | 10.5 | 10.5 | 11.4 |
Industrials | 11.2 | 11.2 | 11.0 |
Information Technology | 5.5 | 5.5 | 18.7 |
Materials | 2.9 | 2.9 | 4.4 |
Telecommunication | |||
Services | 3.6 | 3.6 | 2.6 |
Utilities | 7.2 | 7.2 | 3.5 |
Ten Largest Holdings5 (% of total net assets) | ||
Exxon Mobil Corp. | Integrated | |
Oil & Gas | 6.9% | |
Chevron Corp. | Integrated | |
Oil & Gas | 3.8 | |
General Electric Co. | Industrial | |
Conglomerates | 3.3 | |
Pfizer Inc. | Pharmaceuticals | 2.8 |
JPMorgan Chase & Co. | Diversified Financial | |
Services | 2.8 | |
Berkshire Hathaway Inc. | Property & Casualty | |
Class B | Insurance | 2.4 |
Wal-Mart Stores Inc. | Hypermarkets & | |
Super Centers | 1.9 | |
AT&T Inc. | Integrated | |
Telecommunication | ||
Services | 1.9 | |
ConocoPhillips | Integrated | |
Oil & Gas | 1.8 | |
Procter & Gamble Co. | Household | |
Products | 1.8 | |
Top Ten | 29.4% |
Investment Focus
1 S&P 500 Value Index.
2 Dow Jones U.S. Total Stock Market Index.
3 30-day SEC yield for the fund; annualized dividend yield for the indexes.
4 The expense ratio shown is from the prospectus dated September 7, 2010, and represents estimated costs for the current fiscal year. For the period from inception through August 31, 2011, the annualized expense ratio was 0.15%.
5 The holdings listed exclude any temporary cash investments and equity index products.
7
S&P 500 Value Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: September 7, 2010–August 31, 2011
Initial Investment of $10,000
Total Returns | Final Value | |
Period Ended August 31, 2011 | of a $10,000 | |
Since Inception1 | Investment | |
S&P 500 Value Index Fund ETF Shares Net Asset Value | 8.92% | $10,892 |
S&P 500 Value Index Fund ETF Shares Market Price | 8.94 | 10,894 |
Dow Jones U.S. Total Stock Market Index | 14.40 | 11,440 |
S&P 500 Value Index | 9.13 | 10,913 |
Large-Cap Value Funds Average2 | 8.89 | 10,889 |
Cumulative Returns of ETF Shares: September 7, 2010–August 31, 2011
Cumulative | |
Since | |
Inception1 | |
S&P 500 Value Index Fund ETF Shares Market Price | 8.94% |
S&P 500 Value Index Fund ETF Shares Net Asset Value | 8.92 |
S&P 500 Value Index | 9.13 |
1 September 7, 2010.
2 Derived from data provided by Lipper Inc.
See Financial Highlights for dividend and capital gains information.
8
S&P 500 Value Index Fund
Fiscal-Period Total Returns (%): September 7, 2010–August 31, 2011
Total Returns: Period Ended June 30, 2011
This table presents total returns through the latest calendar quarter—rather than through the end of the fiscal period. Securities and Exchange Commission rules require that we provide this information.
Since | ||
Inception Date | Inception | |
ETF Shares | 9/7/2010 | |
Market Price | 20.44% | |
Net Asset Value | 20.46 |
9
S&P 500 Value Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2011
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | |||
Value• | |||
Shares | ($000) | ||
Common Stocks (100.0%) | |||
Consumer Discretionary (6.8%) | |||
Home Depot Inc. | 8,073 | 270 | |
Time Warner Inc. | 5,432 | 172 | |
Walt Disney Co. | 4,409 | 150 | |
Lowe’s Cos. Inc. | 6,611 | 132 | |
Johnson Controls Inc. | 3,445 | 110 | |
* | Ford Motor Co. | 7,862 | 87 |
CBS Corp. Class B | 3,396 | 85 | |
News Corp. Class A | 4,859 | 84 | |
Target Corp. | 1,507 | 78 | |
Fortune Brands Inc. | 785 | 45 | |
Genuine Parts Co. | 799 | 44 | |
Time Warner Cable Inc. | 599 | 39 | |
Carnival Corp. | 1,079 | 36 | |
JC Penney Co. Inc. | 1,091 | 29 | |
McGraw-Hill Cos. Inc. | 672 | 28 | |
Kohl’s Corp. | 576 | 27 | |
Staples Inc. | 1,800 | 27 | |
Harley-Davidson Inc. | 665 | 26 | |
Whirlpool Corp. | 385 | 24 | |
H&R Block Inc. | 1,535 | 23 | |
Omnicom Group Inc. | 542 | 22 | |
VF Corp. | 186 | 22 | |
Macy’s Inc. | 819 | 21 | |
Newell Rubbermaid Inc. | 1,470 | 20 | |
Best Buy Co. Inc. | 701 | 18 | |
Mattel Inc. | 656 | 18 | |
* | GameStop Corp. Class A | 721 | 17 |
Leggett & Platt Inc. | 727 | 16 | |
* | Goodyear Tire & Rubber Co. | 1,241 | 16 |
DR Horton Inc. | 1,437 | 15 | |
Gap Inc. | 875 | 14 | |
Gannett Co. Inc. | 1,214 | 14 | |
International Game Technology | 875 | 13 | |
* | AutoNation Inc. | 328 | 13 |
* | Sears Holdings Corp. | 218 | 13 |
Abercrombie & Fitch Co. | 191 | 12 | |
Washington Post Co. Class B | 25 | 9 | |
* | Pulte Group Inc. | 1,701 | 8 |
Market | |||
Value• | |||
Shares | ($000) | ||
Lennar Corp. Class A | 403 | 6 | |
* | Big Lots Inc. | 163 | 6 |
Harman International | |||
Industries Inc. | 149 | 5 | |
1,814 | |||
Consumer Staples (10.2%) | |||
Wal-Mart Stores Inc. | 9,699 | 516 | |
Procter & Gamble Co. | 7,359 | 469 | |
CVS Caremark Corp. | 6,881 | 247 | |
Altria Group Inc. | 6,907 | 188 | |
Costco Wholesale Corp. | 2,213 | 174 | |
Walgreen Co. | 4,651 | 164 | |
Kraft Foods Inc. | 4,639 | 162 | |
Archer-Daniels-Midland Co. | 3,463 | 99 | |
Sysco Corp. | 2,950 | 82 | |
Kroger Co. | 3,066 | 72 | |
Kimberly-Clark Corp. | 781 | 54 | |
ConAgra Foods Inc. | 2,077 | 51 | |
General Mills Inc. | 1,202 | 45 | |
Lorillard Inc. | 403 | 45 | |
JM Smucker Co. | 591 | 43 | |
Molson Coors Brewing Co. | |||
Class B | 809 | 35 | |
Safeway Inc. | 1,815 | 33 | |
Reynolds American Inc. | 848 | 32 | |
HJ Heinz Co. | 592 | 31 | |
Kellogg Co. | 503 | 27 | |
Tyson Foods Inc. Class A | 1,534 | 27 | |
Sara Lee Corp. | 1,407 | 25 | |
Hershey Co. | 318 | 19 | |
Clorox Co. | 258 | 18 | |
* | Constellation Brands Inc. | ||
Class A | 905 | 18 | |
Campbell Soup Co. | 441 | 14 | |
McCormick & Co. Inc. | 266 | 13 | |
SUPERVALU Inc. | 1,114 | 9 | |
* | Dean Foods Co. | 965 | 8 |
Hormel Foods Corp. | 286 | 8 | |
2,728 |
10
S&P 500 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Energy (18.4%) | |||
Exxon Mobil Corp. | 24,999 | 1,851 | |
Chevron Corp. | 10,199 | 1,009 | |
ConocoPhillips | 7,178 | 489 | |
Occidental Petroleum Corp. | 2,066 | 179 | |
Anadarko Petroleum Corp. | 1,615 | 119 | |
Apache Corp. | 991 | 102 | |
Halliburton Co. | 2,230 | 99 | |
Marathon Oil Corp. | 3,618 | 97 | |
Devon Energy Corp. | 1,346 | 91 | |
Hess Corp. | 1,527 | 91 | |
Williams Cos. Inc. | 2,990 | 81 | |
Baker Hughes Inc. | 1,239 | 76 | |
EOG Resources Inc. | 736 | 68 | |
Chesapeake Energy Corp. | 2,069 | 67 | |
Marathon Petroleum Corp. | 1,803 | 67 | |
Valero Energy Corp. | 2,880 | 65 | |
Noble Energy Inc. | 494 | 44 | |
Spectra Energy Corp. | 1,657 | 43 | |
QEP Resources Inc. | 901 | 32 | |
El Paso Corp. | 1,650 | 31 | |
* | Nabors Industries Ltd. | 1,451 | 27 |
Range Resources Corp. | 412 | 27 | |
Murphy Oil Corp. | 489 | 26 | |
EQT Corp. | 415 | 25 | |
Sunoco Inc. | 613 | 23 | |
* | Rowan Cos. Inc. | 646 | 23 |
Cabot Oil & Gas Corp. | 302 | 23 | |
* | Tesoro Corp. | 734 | 18 |
Helmerich & Payne Inc. | 248 | 14 | |
* | Alpha Natural Resources Inc. | 366 | 12 |
Noble Corp. | 306 | 10 | |
4,929 | |||
Financials (23.8%) | |||
JPMorgan Chase & Co. | 20,166 | 757 | |
* | Berkshire Hathaway Inc. | ||
Class B | 8,786 | 641 | |
Citigroup Inc. | 14,823 | 460 | |
Bank of America Corp. | 51,422 | 420 | |
Wells Fargo & Co. | 13,689 | 357 | |
Goldman Sachs Group Inc. | 2,632 | 306 | |
US Bancorp | 9,783 | 227 | |
MetLife Inc. | 5,337 | 179 | |
PNC Financial Services | |||
Group Inc. | 2,657 | 133 | |
Morgan Stanley | 7,566 | 132 | |
Bank of New York | |||
Mellon Corp. | 6,269 | 130 | |
Prudential Financial Inc. | 2,470 | 124 | |
American Express Co. | 2,389 | 119 | |
ACE Ltd. | 1,708 | 110 | |
Capital One Financial Corp. | 2,333 | 107 | |
Travelers Cos. Inc. | 2,118 | 107 | |
Chubb Corp. | 1,488 | 92 | |
CME Group Inc. | 341 | 91 |
Market | |||
Value• | |||
Shares | ($000) | ||
State Street Corp. | 2,561 | 91 | |
Marsh & McLennan Cos. Inc. | 2,783 | 83 | |
BB&T Corp. | 3,517 | 78 | |
AON Corp. | 1,672 | 78 | |
Discover Financial Services | 2,773 | 70 | |
Allstate Corp. | 2,650 | 70 | |
Progressive Corp. | 3,304 | 63 | |
Loews Corp. | 1,579 | 59 | |
American International | |||
Group Inc. | 2,203 | 56 | |
SunTrust Banks Inc. | 2,711 | 54 | |
Fifth Third Bancorp | 4,638 | 49 | |
Weyerhaeuser Co. | 2,720 | 49 | |
M&T Bank Corp. | 637 | 49 | |
Hartford Financial | |||
Services Group Inc. | 2,248 | 43 | |
ProLogis Inc. | 1,532 | 42 | |
Principal Financial Group Inc. | 1,623 | 41 | |
Boston Properties Inc. | 393 | 41 | |
Vornado Realty Trust | 454 | 39 | |
Unum Group | 1,573 | 37 | |
SLM Corp. | 2,695 | 37 | |
NYSE Euronext | 1,340 | 37 | |
Public Storage | 287 | 36 | |
Aflac Inc. | 921 | 35 | |
XL Group plc Class A | 1,666 | 35 | |
Charles Schwab Corp. | 2,781 | 34 | |
HCP Inc. | 916 | 34 | |
Lincoln National Corp. | 1,583 | 33 | |
Franklin Resources Inc. | 261 | 31 | |
Northern Trust Corp. | 794 | 31 | |
Regions Financial Corp. | 6,343 | 29 | |
Comerica Inc. | 1,013 | 26 | |
Health Care REIT Inc. | 507 | 26 | |
KeyCorp | 3,792 | 25 | |
Kimco Realty Corp. | 1,411 | 25 | |
BlackRock Inc. | 144 | 24 | |
Cincinnati Financial Corp. | 822 | 23 | |
Host Hotels & Resorts Inc. | 1,940 | 23 | |
Invesco Ltd. | 1,237 | 23 | |
People’s United Financial Inc. | 1,893 | 22 | |
Legg Mason Inc. | 753 | 22 | |
Torchmark Corp. | 532 | 20 | |
* | NASDAQ OMX Group Inc. | 762 | 18 |
Assurant Inc. | 491 | 17 | |
* | Genworth Financial Inc. | ||
Class A | 2,477 | 17 | |
Plum Creek Timber Co. Inc. | 445 | 17 | |
Zions Bancorporation | 929 | 16 | |
* | E*Trade Financial Corp. | 1,271 | 16 |
Huntington Bancshares Inc. | 3,008 | 15 | |
Moody’s Corp. | 469 | 15 | |
Leucadia National Corp. | 410 | 12 | |
First Horizon National Corp. | 1,329 | 9 |
11
S&P 500 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Apartment Investment & | |||
Management Co. | 292 | 8 | |
Hudson City Bancorp Inc. | 1,197 | 7 | |
Janus Capital Group Inc. | 489 | 4 | |
Federated Investors Inc. | |||
Class B | 183 | 3 | |
6,389 | |||
Health Care (10.5%) | |||
Pfizer Inc. | 40,103 | 761 | |
Johnson & Johnson | 5,570 | 367 | |
UnitedHealth Group Inc. | 5,499 | 261 | |
Merck & Co. Inc. | 5,486 | 182 | |
Covidien plc | 2,503 | 131 | |
Amgen Inc. | 2,170 | 120 | |
Bristol-Myers Squibb Co. | 3,975 | 118 | |
WellPoint Inc. | 1,862 | 118 | |
McKesson Corp. | 1,282 | 102 | |
Aetna Inc. | 1,923 | 77 | |
Cardinal Health Inc. | 1,775 | 75 | |
Medtronic Inc. | 1,952 | 68 | |
Humana Inc. | 853 | 66 | |
Baxter International Inc. | 1,045 | 59 | |
* | Boston Scientific Corp. | 7,740 | 53 |
* | Thermo Fisher Scientific Inc. | 781 | 43 |
Becton Dickinson and Co. | 404 | 33 | |
* | CareFusion Corp. | 1,149 | 29 |
AmerisourceBergen Corp. | |||
Class A | 688 | 27 | |
* | Coventry Health Care Inc. | 749 | 25 |
* | Zimmer Holdings Inc. | 362 | 21 |
Quest Diagnostics Inc. | 399 | 20 | |
* | Cephalon Inc. | 235 | 19 |
* | Forest Laboratories Inc. | 496 | 17 |
DENTSPLY International Inc. | 275 | 10 | |
PerkinElmer Inc. | 262 | 6 | |
2,808 | |||
Industrials (11.2%) | |||
General Electric Co. | 53,826 | 878 | |
United Parcel Service Inc. | |||
Class B | 2,406 | 162 | |
Caterpillar Inc. | 1,508 | 137 | |
3M Co. | 1,623 | 135 | |
FedEx Corp. | 1,599 | 126 | |
United Technologies Corp. | 1,625 | 121 | |
Lockheed Martin Corp. | 1,446 | 107 | |
Boeing Co. | 1,503 | 100 | |
Union Pacific Corp. | 974 | 90 | |
Emerson Electric Co. | 1,722 | 80 | |
Northrop Grumman Corp. | 1,408 | 77 | |
Norfolk Southern Corp. | 1,056 | 71 | |
Honeywell International Inc. | 1,435 | 69 | |
Illinois Tool Works Inc. | 1,199 | 56 | |
General Dynamics Corp. | 832 | 53 | |
Tyco International Ltd. | 1,266 | 53 | |
Danaher Corp. | 1,084 | 50 |
Market | |||
Value• | |||
Shares | ($000) | ||
CSX Corp. | 2,245 | 49 | |
Waste Management Inc. | 1,473 | 49 | |
Raytheon Co. | 947 | 41 | |
PACCAR Inc. | 1,052 | 40 | |
Eaton Corp. | 896 | 38 | |
L-3 Communications | |||
Holdings Inc. | 541 | 37 | |
Stanley Black & Decker Inc. | 425 | 26 | |
Dover Corp. | 433 | 25 | |
Parker Hannifin Corp. | 336 | 25 | |
* | Jacobs Engineering Group Inc. | 641 | 24 |
Textron Inc. | 1,395 | 23 | |
Fluor Corp. | 378 | 23 | |
Expeditors International of | |||
Washington Inc. | 475 | 22 | |
* | Quanta Services Inc. | 1,098 | 21 |
Pitney Bowes Inc. | 1,033 | 21 | |
Republic Services Inc. Class A | 689 | 21 | |
ITT Corp. | 440 | 21 | |
Cintas Corp. | 572 | 18 | |
Southwest Airlines Co. | 1,959 | 17 | |
Masco Corp. | 1,808 | 16 | |
Iron Mountain Inc. | 472 | 15 | |
RR Donnelley & Sons Co. | 961 | 15 | |
Ryder System Inc. | 266 | 12 | |
Robert Half International Inc. | 438 | 10 | |
Avery Dennison Corp. | 331 | 10 | |
Snap-on Inc. | 170 | 9 | |
Equifax Inc. | 260 | 8 | |
3,001 | |||
Information Technology (5.5%) | |||
Intel Corp. | 11,281 | 227 | |
Cisco Systems Inc. | 12,001 | 188 | |
Hewlett-Packard Co. | 4,817 | 125 | |
* | Dell Inc. | 8,331 | 124 |
Accenture plc Class A | 1,646 | 88 | |
* | Motorola Solutions Inc. | 1,723 | 73 |
Xerox Corp. | 7,074 | 59 | |
* | Motorola Mobility | ||
Holdings Inc. | 1,493 | 56 | |
* | Yahoo! Inc. | 3,504 | 48 |
Applied Materials Inc. | 4,060 | 46 | |
Automatic Data | |||
Processing Inc. | 916 | 46 | |
Corning Inc. | 2,932 | 44 | |
Fidelity National Information | |||
Services Inc. | 1,366 | 39 | |
* | Adobe Systems Inc. | 1,223 | 31 |
Computer Sciences Corp. | 783 | 24 | |
* | Electronic Arts Inc. | 973 | 22 |
Paychex Inc. | 705 | 19 | |
* | Fiserv Inc. | 314 | 18 |
* | NVIDIA Corp. | 1,304 | 17 |
Jabil Circuit Inc. | 993 | 17 | |
KLA-Tencor Corp. | 447 | 16 |
12
S&P 500 Value Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
National Semiconductor Corp. | 655 | 16 | |
CA Inc. | 643 | 14 | |
* | Lexmark International Inc. | ||
Class A | 409 | 13 | |
VeriSign Inc. | 391 | 12 | |
Harris Corp. | 289 | 12 | |
* | SAIC Inc. | 777 | 12 |
* | LSI Corp. | 1,657 | 11 |
Molex Inc. | 458 | 10 | |
Total System Services Inc. | 529 | 10 | |
* | MEMC Electronic | ||
Materials Inc. | 1,164 | 8 | |
Tellabs Inc. | 1,835 | 7 | |
* | Novellus Systems Inc. | 180 | 5 |
* | Teradyne Inc. | 403 | 5 |
* | Compuware Corp. | 409 | 3 |
* | Monster Worldwide Inc. | 349 | 3 |
1,468 | |||
Materials (2.9%) | |||
Dow Chemical Co. | 5,934 | 169 | |
EI du Pont de Nemours & Co. | 1,930 | 93 | |
Monsanto Co. | 1,222 | 84 | |
Alcoa Inc. | 5,370 | 69 | |
International Paper Co. | 2,224 | 60 | |
Nucor Corp. | 1,596 | 57 | |
Air Products & Chemicals Inc. | 487 | 40 | |
PPG Industries Inc. | 320 | 24 | |
MeadWestvaco Corp. | 854 | 23 | |
Vulcan Materials Co. | 652 | 23 | |
Sherwin-Williams Co. | 221 | 17 | |
United States Steel Corp. | 553 | 17 | |
Bemis Co. Inc. | 535 | 17 | |
Allegheny Technologies Inc. | 322 | 16 | |
* | Owens-Illinois Inc. | 829 | 16 |
Sealed Air Corp. | 809 | 15 | |
Eastman Chemical Co. | 179 | 15 | |
Airgas Inc. | 118 | 8 | |
AK Steel Holding Corp. | 557 | 5 | |
Titanium Metals Corp. | 277 | 4 | |
772 | |||
Telecommunication Services (3.5%) | |||
AT&T Inc. | 17,431 | 497 | |
Verizon | |||
Communications Inc. | 8,604 | 311 | |
* | Sprint Nextel Corp. | 15,103 | 57 |
CenturyLink Inc. | 1,561 | 56 | |
Frontier | |||
Communications Corp. | 2,658 | 20 | |
Windstream Corp. | 1,045 | 13 | |
954 | |||
Utilities (7.2%) | |||
Exelon Corp. | 3,358 | 145 | |
Duke Energy Corp. | 6,727 | 127 | |
NextEra Energy Inc. | 2,143 | 122 |
Market | |||
Value• | |||
Shares | ($000) | ||
Southern Co. | 2,619 | 108 | |
American Electric | |||
Power Co. Inc. | 2,438 | 94 | |
FirstEnergy Corp. | 2,117 | 94 | |
Public Service | |||
Enterprise Group Inc. | 2,561 | 88 | |
PG&E Corp. | 2,016 | 85 | |
PPL Corp. | 2,918 | 84 | |
Consolidated Edison Inc. | 1,489 | 84 | |
Dominion Resources Inc. | 1,664 | 81 | |
Progress Energy Inc. | 1,493 | 73 | |
Sempra Energy | 1,219 | 64 | |
Edison International | 1,649 | 61 | |
Xcel Energy Inc. | 2,447 | 60 | |
Entergy Corp. | 902 | 59 | |
DTE Energy Co. | 860 | 44 | |
CenterPoint Energy Inc. | 2,160 | 43 | |
Constellation | |||
Energy Group Inc. | 1,027 | 40 | |
Oneok Inc. | 550 | 39 | |
Ameren Corp. | 1,229 | 37 | |
* | AES Corp. | 3,339 | 36 |
Northeast Utilities | 903 | 31 | |
NiSource Inc. | 1,426 | 31 | |
* | NRG Energy Inc. | 1,239 | 29 |
CMS Energy Corp. | 1,267 | 25 | |
Pinnacle West Capital Corp. | 548 | 24 | |
SCANA Corp. | 575 | 23 | |
Pepco Holdings Inc. | 1,138 | 22 | |
Wisconsin Energy Corp. | 637 | 20 | |
TECO Energy Inc. | 1,084 | 20 | |
Integrys Energy Group Inc. | 396 | 20 | |
Nicor Inc. | 235 | 13 | |
1,926 | |||
Total Investments (100.0%) | |||
(Cost $26,787) | 26,789 | ||
Other Assets and Liabilities (0.0%) | |||
Other Assets | 70 | ||
Liabilities | (64) | ||
6 | |||
ETF Shares—Net Assets (100%) | |||
Applicable to 500,000 outstanding | |||
$.001 par value shares of beneficial | |||
interest (unlimited authorization) | 26,795 | ||
Net Asset Value Per Share— | |||
ETF Shares | $53.59 |
13
S&P 500 Value Index Fund
At August 31, 2011, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 27,298 |
Undistributed Net Investment Income | 103 |
Accumulated Net Realized Losses | (608) |
Unrealized Appreciation (Depreciation) | 2 |
Net Assets | 26,795 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
14
S&P 500 Value Index Fund
Statement of Operations
September 7, 20101 to | |
August 31, 2011 | |
($000) | |
Investment Income | |
Income | |
Dividends | 345 |
Total Income | 345 |
Expenses | |
The Vanguard Group—Note B | |
Management and Administrative | 8 |
Custodian Fees | 6 |
Auditing Fees | 7 |
Shareholders’ Reports | 1 |
Total Expenses | 22 |
Net Investment Income | 323 |
Realized Net Gain (Loss) on Investment Securities Sold | (332) |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 2 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (7) |
1 Inception. |
See accompanying Notes, which are an integral part of the Financial Statements.
15
S&P 500 Value Index Fund
Statement of Changes in Net Assets
September 7, 20101 to | |
August 31, 2011 | |
($000) | |
Increase (Decrease) in Net Assets | |
Operations | |
Net Investment Income | 323 |
Realized Net Gain (Loss) | (332) |
Change in Unrealized Appreciation (Depreciation) | 2 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (7) |
Distributions | |
Net Investment Income | (220) |
Realized Capital Gain | — |
Total Distributions | (220) |
Capital Share Transactions | |
Issued | 29,606 |
Issued in Lieu of Cash Distributions | — |
Redeemed | (2,584) |
Net Increase (Decrease) from Capital Share Transactions | 27,022 |
Total Increase (Decrease) | 26,795 |
Net Assets | |
Beginning of Period | — |
End of Period2 | 26,795 |
1 Inception. | |
2 Net Assets—End of Period includes undistributed net investment income of $103,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
16
S&P 500 Value Index Fund
Financial Highlights
ETF Shares | |
September 7, 20101, to | |
For a Share Outstanding Throughout the Period | August 31, 2011 |
Net Asset Value, Beginning of Period | $49.93 |
Investment Operations | |
Net Investment Income | 1.051 |
Net Realized and Unrealized Gain (Loss) on Investments | 3.454 |
Total from Investment Operations | 4.505 |
Distributions | |
Dividends from Net Investment Income | (.845) |
Distributions from Realized Capital Gains | — |
Total Distributions | (.845) |
Net Asset Value, End of Period | $53.59 |
Total Return | 8.92% |
Ratios/Supplemental Data | |
Net Assets, End of Period (Millions) | $27 |
Ratio of Total Expenses to Average Net Assets | 0.15%2 |
Ratio of Net Investment Income to Average Net Assets | 2.25%2 |
Portfolio Turnover Rate3 | 23% |
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
17
S&P 500 Value Index Fund
Notes to Financial Statements
Vanguard S&P 500 Value Index 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 ETF Shares. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. The fund has not issued any Institutional Shares as of August 31, 2011. ETF Shares were first issued on September 7, 2010, and first offered to the public on September 9, 2010. ETF Shares are listed for trading on the NYSE Arca, Inc.; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Federal Income Taxes: The fund intends to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for its open federal income tax period ended August 31, 2011, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
3. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
4. Other: Dividend income is recorded on the ex-dividend date. 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.
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 August 31, 2011, the fund had contributed capital of $3,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.00% 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).
At August 31, 2011, 100% of the fund’s investments were valued based on Level 1 inputs.
18
S&P 500 Value Index Fund
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the period ended August 31, 2011, the fund realized $275,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund used a tax accounting practice to treat a portion of the price of capital shares redeemed during the period as distributions from realized capital gains. Accordingly, the fund has reclassified $1,000 from accumulated net realized losses to paid-in capital.
For tax purposes, at August 31, 2011, the fund had $103,000 of ordinary income available for distribution. The fund realized losses of $588,000 during the period from November 1, 2010, through August 31, 2011, which are deferred and will be treated as realized for tax purposes in fiscal 2012.
At August 31, 2011, the cost of investment securities for tax purposes was $26,807,000. Net unrealized depreciation of investment securities for tax purposes was $18,000, consisting of unrealized gains of $917,000 on securities that had risen in value since their purchase and $935,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the period ended August 31, 2011, the fund purchased $33,369,000 of investment securities and sold $6,249,000 of investment securities, other than temporary cash investments.
F. Capital shares issued and redeemed were:
September 7, 20101 to | |
August 31, 2011 | |
Shares | |
(000) | |
ETF Shares | |
Issued | 550 |
Issued in Lieu of Cash Distributions | — |
Redeemed | (50) |
Net Increase (Decrease) in Shares Outstanding | 500 |
1 Inception. |
G. In preparing the financial statements as of August 31, 2011, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
19
S&P 500 Growth Index Fund
Fund Profile
As of August 31, 2011
Portfolio Characteristics | |||
Target | Broad | ||
Fund | Index1 | Index2 | |
Number of Stocks | 329 | 329 | 3,716 |
Median Market Cap | $46.5B | $46.5B | $30.4B |
Price/Earnings Ratio | 15.4x | 15.4x | 14.7x |
Price/Book Ratio | 3.1x | 3.1x | 2.0x |
Yield3 | 1.8% | 1.8% | 2.0% |
Return on Equity | 24.8% | 24.7% | 19.0% |
Earnings Growth Rate | 13.9% | 13.9% | 7.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 26% | — | — |
Expense Ratio4 | 0.15% | — | — |
Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure) | |||
Target | Broad | ||
Fund | Index1 | Index2 | |
Consumer Discretionary 14.2% | 14.2% | 12.3% | |
Consumer Staples | 12.4 | 12.4 | 10.5 |
Energy | 7.0 | 7.0 | 10.8 |
Financials | 5.6 | 5.6 | 14.8 |
Health Care | 13.1 | 13.1 | 11.4 |
Industrials | 9.9 | 9.9 | 11.0 |
Information Technology 30.5 | 30.5 | 18.7 | |
Materials | 4.2 | 4.2 | 4.4 |
Telecommunication | |||
Services | 2.6 | 2.6 | 2.6 |
Utilities | 0.5 | 0.5 | 3.5 |
Ten Largest Holdings5 (% of total net assets) | ||
Apple Inc. | Computer | |
Hardware | 6.1% | |
International Business | IT Consulting & | |
Machines Corp. | Other Services | 3.6 |
Microsoft Corp. | Systems Software | 3.4 |
Coca-Cola Co. | Soft Drinks | 2.8 |
Google Inc. Class A | Internet Software & | |
Services | 2.3 | |
Philip Morris | ||
International Inc. | Tobacco | 2.1 |
Oracle Corp. | Systems Software | 1.9 |
Johnson & Johnson | Pharmaceuticals | 1.8 |
Schlumberger Ltd. | Oil & Gas Equipment | |
& Services | 1.8 | |
PepsiCo Inc. | Soft Drinks | 1.7 |
Top Ten | 27.5% |
Investment Focus
1 S&P 500 Growth Index.
2 Dow Jones U.S. Total Stock Market Index.
3 30-day SEC yield for the fund; annualized dividend yield for the indexes.
4 The expense ratio shown is from the prospectus dated September 7, 2010, and represents estimated costs for the current fiscal year. For the period from inception through August 31, 2011, the annualized expense ratio was 0.15%.
5 The holdings listed exclude any temporary cash investments and equity index products.
20
S&P 500 Growth Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: September 7, 2010–August 31, 2011
Initial Investment of $10,000
Total Returns | Final Value | |
Period Ended August 31, 2011 | of a $10,000 | |
Since Inception1 | Investment | |
S&P 500 Growth Index Fund ETF Shares Net Asset Value | 18.33% | $11,833 |
S&P 500 Growth Index Fund ETF Shares Market Price | 18.38 | 11,838 |
Dow Jones U.S. Total Stock Market Index | 14.40 | 11,440 |
S&P 500 Growth Index | 18.56 | 11,856 |
Large-Cap Growth Funds Average2 | 14.94 | 11,494 |
Cumulative Returns of ETF Shares: September 7, 2010–August 31, 2011
Cumulative | |
Since | |
Inception1 | |
S&P 500 Growth Index Fund ETF Shares Market Price | 18.38% |
S&P 500 Growth Index Fund ETF Shares Net Asset Value | 18.33 |
S&P 500 Growth Index | 18.56 |
1 September 7, 2010.
2 Derived from data provided by Lipper Inc.
See Financial Highlights for dividend and capital gains information.
21
S&P 500 Growth Index Fund
Fiscal-Period Total Returns (%): September 7, 2010–August 31, 2011
Total Returns: Period Ended June 30, 2011
This table presents total returns through the latest calendar quarter—rather than through the end of the fiscal period. Securities and Exchange Commission rules require that we provide this information.
Since | ||
Inception Date | Inception | |
ETF Shares | 9/7/2010 | |
Market Price | 25.00% | |
Net Asset Value | 25.05 |
S&P 500 Growth Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2011
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | |||
Value• | |||
Shares | ($000) | ||
Common Stocks (100.0%) | |||
Consumer Discretionary (14.2%) | |||
McDonald’s Corp. | 9,910 | 896 | |
* | Amazon.com Inc. | 3,411 | 734 |
Comcast Corp. Class A | 26,418 | 568 | |
Walt Disney Co. | 9,748 | 332 | |
* | DIRECTV Class A | 7,333 | 322 |
NIKE Inc. Class B | 3,623 | 314 | |
Starbucks Corp. | 7,159 | 276 | |
Viacom Inc. Class B | 5,589 | 270 | |
* | priceline.com Inc. | 475 | 255 |
Yum! Brands Inc. | 4,447 | 242 | |
* | Ford Motor Co. | 21,290 | 237 |
News Corp. Class A | 12,658 | 219 | |
TJX Cos. Inc. | 3,688 | 201 | |
Target Corp. | 3,752 | 194 | |
Coach Inc. | 2,804 | 158 | |
Time Warner Cable Inc. | 2,089 | 137 | |
* | Bed Bath & Beyond Inc. | 2,380 | 135 |
Wynn Resorts Ltd. | 728 | 113 | |
* | Discovery Communications | ||
Inc. Class A | 2,661 | 113 | |
* | Netflix Inc. | 417 | 98 |
* | Chipotle Mexican Grill Inc. | ||
Class A | 298�� | 93 | |
Limited Brands Inc. | 2,411 | 91 | |
Tiffany & Co. | 1,222 | 88 | |
* | O’Reilly Automotive Inc. | 1,319 | 86 |
Ross Stores Inc. | 1,118 | 86 | |
Ralph Lauren Corp. Class A | 616 | 84 | |
Starwood Hotels & Resorts | |||
Worldwide Inc. | 1,854 | 83 | |
Marriott International Inc. | |||
Class A | 2,697 | 79 | |
Kohl’s Corp. | 1,613 | 75 | |
* | AutoZone Inc. | 242 | 74 |
Nordstrom Inc. | 1,608 | 73 | |
McGraw-Hill Cos. Inc. | 1,664 | 70 | |
Carnival Corp. | 2,093 | 69 |
Market | |||
Value• | |||
Shares | ($000) | ||
Omnicom Group Inc. | 1,669 | 68 | |
Macy’s Inc. | 2,535 | 66 | |
Darden Restaurants Inc. | 1,307 | 63 | |
Family Dollar Stores Inc. | 1,174 | 63 | |
* | CarMax Inc. | 2,164 | 61 |
Expedia Inc. | 1,916 | 58 | |
VF Corp. | 487 | 57 | |
Mattel Inc. | 2,101 | 56 | |
* | Apollo Group Inc. Class A | 1,170 | 55 |
Wyndham Worldwide Corp. | 1,634 | 53 | |
Hasbro Inc. | 1,309 | 51 | |
Staples Inc. | 3,388 | 50 | |
Best Buy Co. Inc. | 1,748 | 45 | |
Interpublic Group of Cos. Inc. | 4,643 | 40 | |
Cablevision Systems Corp. | |||
Class A | 2,187 | 39 | |
Harley-Davidson Inc. | 988 | 38 | |
Scripps Networks | |||
Interactive Inc. Class A | 863 | 37 | |
Gap Inc. | 2,080 | 34 | |
* | Urban Outfitters Inc. | 1,183 | 31 |
Abercrombie & Fitch Co. | 483 | 31 | |
DeVry Inc. | 585 | 26 | |
International | |||
Game Technology | 1,233 | 19 | |
Harman International | |||
Industries Inc. | 393 | 14 | |
* | Big Lots Inc. | 414 | 14 |
Lennar Corp. Class A | 765 | 11 | |
7,945 | |||
Consumer Staples (12.4%) | |||
Coca-Cola Co. | 21,864 | 1,540 | |
Philip Morris | |||
International Inc. | 16,984 | 1,177 | |
PepsiCo Inc. | 15,096 | 973 | |
Procter & Gamble Co. | 12,796 | 815 | |
Colgate-Palmolive Co. | 4,669 | 420 | |
Kraft Foods Inc. | 8,059 | 282 | |
Altria Group Inc. | 6,998 | 190 | |
Kimberly-Clark Corp. | 2,290 | 158 |
23
S&P 500 Growth Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
General Mills Inc. | 3,842 | 146 | |
Mead Johnson Nutrition Co. | 1,952 | 139 | |
Estee Lauder Cos. Inc. | |||
Class A | 1,090 | 107 | |
HJ Heinz Co. | 1,966 | 104 | |
Whole Foods Market Inc. | 1,428 | 94 | |
Avon Products Inc. | 4,087 | 92 | |
Coca-Cola Enterprises Inc. | 3,108 | 86 | |
Dr Pepper Snapple Group Inc. | 2,118 | 82 | |
Kellogg Co. | 1,461 | 79 | |
Brown-Forman Corp. Class B | 988 | 71 | |
Lorillard Inc. | 620 | 69 | |
Reynolds American Inc. | 1,652 | 62 | |
Clorox Co. | 793 | 55 | |
Sara Lee Corp. | 2,975 | 54 | |
Hershey Co. | 869 | 51 | |
McCormick & Co. Inc. | 768 | 37 | |
Campbell Soup Co. | 919 | 29 | |
Hormel Foods Corp. | 809 | 22 | |
6,934 | |||
Energy (7.0%) | |||
Schlumberger Ltd. | 12,959 | 1,012 | |
Occidental Petroleum Corp. | 3,882 | 337 | |
National Oilwell Varco Inc. | 4,041 | 267 | |
Halliburton Co. | 4,545 | 202 | |
Apache Corp. | 1,795 | 185 | |
Anadarko Petroleum Corp. | 1,711 | 126 | |
* | Southwestern Energy Co. | 3,323 | 126 |
Peabody Energy Corp. | 2,573 | 126 | |
* | Cameron International Corp. | 2,341 | 122 |
Baker Hughes Inc. | 1,817 | 111 | |
EOG Resources Inc. | 1,180 | 109 | |
* | FMC Technologies Inc. | 2,295 | 102 |
Devon Energy Corp. | 1,495 | 101 | |
Consol Energy Inc. | 2,165 | 99 | |
Pioneer Natural Resources Co. | 1,116 | 87 | |
El Paso Corp. | 4,266 | 82 | |
Spectra Energy Corp. | 3,109 | 81 | |
Chesapeake Energy Corp. | 2,391 | 78 | |
Noble Energy Inc. | 761 | 67 | |
* | Newfield Exploration Co. | 1,257 | 64 |
Noble Corp. | 1,821 | 62 | |
* | Denbury Resources Inc. | 3,774 | 60 |
Murphy Oil Corp. | 919 | 49 | |
Range Resources Corp. | 748 | 49 | |
* | Alpha Natural Resources Inc. | 1,463 | 48 |
Diamond Offshore Drilling Inc. | 661 | 42 | |
EQT Corp. | 639 | 38 | |
Cabot Oil & Gas Corp. | 427 | 32 | |
Helmerich & Payne Inc. | 559 | 32 | |
3,896 | |||
Financials (5.6%) | |||
Wells Fargo & Co. | 24,752 | 646 | |
Simon Property Group Inc. | 2,802 | 329 | |
American Express Co. | 5,494 | 273 |
Market | |||
Value• | |||
Shares | ($000) | ||
Equity Residential | 2,815 | 172 | |
Ventas Inc. | 2,747 | 147 | |
T Rowe Price Group Inc. | 2,481 | 133 | |
AvalonBay Communities Inc. | 884 | 121 | |
BlackRock Inc. | 687 | 113 | |
Franklin Resources Inc. | 883 | 106 | |
Ameriprise Financial Inc. | 2,302 | 105 | |
Aflac Inc. | 2,711 | 102 | |
Public Storage | 803 | 99 | |
* | IntercontinentalExchange Inc. | 704 | 83 |
HCP Inc. | 2,176 | 81 | |
Boston Properties Inc. | 656 | 68 | |
Vornado Realty Trust | 724 | 62 | |
Charles Schwab Corp. | 4,281 | 53 | |
* | CB Richard Ellis Group Inc. | ||
Class A | 2,773 | 42 | |
ProLogis Inc. | 1,467 | 40 | |
Invesco Ltd. | 2,064 | 38 | |
Health Care REIT Inc. | 723 | 37 | |
Host Hotels & Resorts Inc. | 2,868 | 34 | |
Leucadia National Corp. | 1,129 | 34 | |
Moody’s Corp. | 1,017 | 31 | |
Northern Trust Corp. | 804 | 31 | |
Plum Creek Timber Co. Inc. | 712 | 27 | |
Kimco Realty Corp. | 1,206 | 21 | |
Hudson City Bancorp Inc. | 2,752 | 17 | |
Apartment Investment & | |||
Management Co. | 621 | 17 | |
Huntington Bancshares Inc. | 2,542 | 13 | |
KeyCorp | 1,898 | 13 | |
Federated Investors Inc. | |||
Class B | 567 | 10 | |
Janus Capital Group Inc. | 849 | 6 | |
3,104 | |||
Health Care (13.1%) | |||
Johnson & Johnson | 15,706 | 1,033 | |
Abbott Laboratories | 14,844 | 779 | |
Merck & Co. Inc. | 19,161 | 635 | |
Eli Lilly & Co. | 9,730 | 365 | |
* | Gilead Sciences Inc. | 7,516 | 300 |
Amgen Inc. | 4,796 | 266 | |
* | Celgene Corp. | 4,420 | 263 |
Bristol-Myers Squibb Co. | 8,798 | 262 | |
Allergan Inc. | 2,911 | 238 | |
Medtronic Inc. | 6,537 | 229 | |
* | Express Scripts Inc. | 4,663 | 219 |
* | Biogen Idec Inc. | 2,309 | 217 |
* | Medco Health Solutions Inc. | 3,819 | 207 |
Baxter International Inc. | 3,487 | 195 | |
Stryker Corp. | 3,187 | 156 | |
St. Jude Medical Inc. | 3,141 | 143 | |
* | Intuitive Surgical Inc. | 375 | 143 |
* | Agilent Technologies Inc. | 3,307 | 122 |
CIGNA Corp. | 2,584 | 121 | |
* | Thermo Fisher Scientific Inc. | 2,196 | 121 |
24
S&P 500 Growth Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
Becton Dickinson and Co. | 1,338 | 109 | |
* | Cerner Corp. | 1,383 | 91 |
* | Mylan Inc. | 4,201 | 87 |
* | Edwards Lifesciences Corp. | 1,098 | 83 |
* | Watson Pharmaceuticals Inc. | 1,210 | 81 |
* | Laboratory Corp. of | ||
America Holdings | 960 | 80 | |
CR Bard Inc. | 820 | 78 | |
* | Hospira Inc. | 1,595 | 74 |
* | Life Technologies Corp. | 1,699 | 71 |
* | Waters Corp. | 878 | 70 |
* | DaVita Inc. | 915 | 67 |
* | Zimmer Holdings Inc. | 1,159 | 66 |
* | Varian Medical Systems Inc. | 1,124 | 64 |
* | Forest Laboratories Inc. | 1,810 | 62 |
AmerisourceBergen Corp. | |||
Class A | 1,342 | 53 | |
Quest Diagnostics Inc. | 747 | 37 | |
DENTSPLY International Inc. | 816 | 29 | |
Patterson Cos. Inc. | 916 | 27 | |
* | Tenet Healthcare Corp. | 4,651 | 25 |
* | Cephalon Inc. | 295 | 24 |
PerkinElmer Inc. | 601 | 14 | |
7,306 | |||
Industrials (9.9%) | |||
United Technologies Corp. | 5,682 | 422 | |
United Parcel Service Inc. | |||
Class B | 4,898 | 330 | |
Deere & Co. | 4,009 | 324 | |
3M Co. | 3,733 | 310 | |
Caterpillar Inc. | 3,324 | 302 | |
Boeing Co. | 4,231 | 283 | |
Union Pacific Corp. | 2,858 | 263 | |
Honeywell International Inc. | 4,811 | 230 | |
Precision Castparts Corp. | 1,375 | 225 | |
Emerson Electric Co. | 3,928 | 183 | |
Cummins Inc. | 1,874 | 174 | |
Danaher Corp. | 3,173 | 145 | |
CSX Corp. | 6,318 | 139 | |
General Dynamics Corp. | 1,990 | 128 | |
Illinois Tool Works Inc. | 2,532 | 118 | |
CH Robinson Worldwide Inc. | 1,557 | 110 | |
Goodrich Corp. | 1,193 | 106 | |
Ingersoll-Rand plc | 3,148 | 105 | |
Fastenal Co. | 2,819 | 94 | |
Norfolk Southern Corp. | 1,384 | 94 | |
Rockwell Automation Inc. | 1,371 | 88 | |
Tyco International Ltd. | 2,107 | 88 | |
WW Grainger Inc. | 558 | 86 | |
Joy Global Inc. | 998 | 83 | |
Rockwell Collins Inc. | 1,464 | 74 | |
* | Stericycle Inc. | 822 | 72 |
Raytheon Co. | 1,638 | 71 | |
Roper Industries Inc. | 920 | 71 | |
Eaton Corp. | 1,557 | 67 | |
Parker Hannifin Corp. | 910 | 67 |
Market | |||
Value• | |||
Shares | ($000) | ||
Waste Management Inc. | 1,773 | 59 | |
Fluor Corp. | 953 | 58 | |
Pall Corp. | 1,115 | 57 | |
PACCAR Inc. | 1,493 | 56 | |
Dover Corp. | 967 | 56 | |
Expeditors International of | |||
Washington Inc. | 1,142 | 52 | |
Flowserve Corp. | 531 | 50 | |
Stanley Black & Decker Inc. | 808 | 50 | |
Republic Services Inc. Class A | 1,604 | 49 | |
ITT Corp. | 939 | 44 | |
Iron Mountain Inc. | 1,031 | 34 | |
Southwest Airlines Co. | 3,836 | 33 | |
Dun & Bradstreet Corp. | 470 | 31 | |
Equifax Inc. | 706 | 23 | |
Robert Half International Inc. | 610 | 15 | |
Snap-on Inc. | 255 | 13 | |
Avery Dennison Corp. | 382 | 11 | |
5,543 | |||
Information Technology (30.5%) | |||
* | Apple Inc. | 8,832 | 3,399 |
International Business | |||
Machines Corp. | 11,567 | 1,988 | |
Microsoft Corp. | 70,871 | 1,885 | |
* | Google Inc. Class A | 2,401 | 1,299 |
Oracle Corp. | 37,214 | 1,045 | |
QUALCOMM Inc. | 15,945 | 821 | |
Intel Corp. | 29,369 | 591 | |
Cisco Systems Inc. | 29,940 | 469 | |
* | EMC Corp. | 19,651 | 444 |
Visa Inc. Class A | 4,575 | 402 | |
* | eBay Inc. | 10,908 | 337 |
Mastercard Inc. Class A | 900 | 297 | |
Texas Instruments Inc. | 11,088 | 291 | |
Hewlett-Packard Co. | 10,641 | 277 | |
* | Cognizant Technology | ||
Solutions Corp. Class A | 2,906 | 184 | |
Accenture plc Class A | 3,101 | 166 | |
Broadcom Corp. Class A | 4,557 | 162 | |
Automatic Data | |||
Processing Inc. | 3,054 | 153 | |
* | Salesforce.com Inc. | 1,151 | 148 |
Corning Inc. | 9,396 | 141 | |
* | NetApp Inc. | 3,495 | 131 |
* | Intuit Inc. | 2,614 | 129 |
* | Symantec Corp. | 7,216 | 124 |
Altera Corp. | 3,078 | 112 | |
* | Citrix Systems Inc. | 1,787 | 108 |
* | Juniper Networks Inc. | 5,065 | 106 |
Western Union Co. | 6,038 | 100 | |
Analog Devices Inc. | 2,863 | 95 | |
* | Teradata Corp. | 1,615 | 85 |
* | SanDisk Corp. | 2,265 | 83 |
* | Yahoo! Inc. | 5,856 | 80 |
Amphenol Corp. Class A | 1,686 | 79 | |
Xilinx Inc. | 2,541 | 79 |
25
S&P 500 Growth Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
* | Red Hat Inc. | 1,834 | 73 |
* | BMC Software Inc. | 1,694 | 69 |
* | Western Digital Corp. | 2,227 | 66 |
* | Adobe Systems Inc. | 2,514 | 63 |
* | F5 Networks Inc. | 771 | 63 |
Linear Technology Corp. | 2,183 | 63 | |
* | Autodesk Inc. | 2,195 | 62 |
Microchip Technology Inc. | 1,826 | 60 | |
Applied Materials Inc. | 4,929 | 56 | |
* | First Solar Inc. | 516 | 52 |
CA Inc. | 2,442 | 51 | |
* | Micron Technology Inc. | 8,182 | 48 |
Paychex Inc. | 1,765 | 48 | |
* | Fiserv Inc. | 778 | 43 |
* | NVIDIA Corp. | 3,251 | 43 |
FLIR Systems Inc. | 1,518 | 39 | |
* | Akamai Technologies Inc. | 1,774 | 39 |
* | Advanced Micro Devices Inc. | 5,487 | 37 |
* | Electronic Arts Inc. | 1,327 | 30 |
National Semiconductor Corp. | 1,180 | 29 | |
KLA-Tencor Corp. | 769 | 28 | |
* | JDS Uniphase Corp. | 2,157 | 28 |
VeriSign Inc. | 885 | 28 | |
Harris Corp. | 665 | 27 | |
* | SAIC Inc. | 1,227 | 18 |
* | LSI Corp. | 2,352 | 16 |
* | Teradyne Inc. | 1,027 | 12 |
* | Compuware Corp. | 1,348 | 11 |
Molex Inc. | 503 | 11 | |
Total System Services Inc. | 586 | 11 | |
* | Novellus Systems Inc. | 337 | 9 |
* | Monster Worldwide Inc. | 639 | 6 |
17,049 | |||
Materials (4.2%) | |||
Freeport-McMoRan | |||
Copper & Gold Inc. | 9,048 | 427 | |
Newmont Mining Corp. | 4,715 | 295 | |
Praxair Inc. | 2,904 | 286 | |
EI du Pont de Nemours & Co. | 5,234 | 253 | |
Monsanto Co. | 2,816 | 194 | |
CF Industries Holdings Inc. | 683 | 125 | |
Ecolab Inc. | 2,216 | 119 | |
Cliffs Natural Resources Inc. | 1,382 | 114 | |
Air Products & Chemicals Inc. | 1,114 | 91 | |
Sigma-Aldrich Corp. | 1,167 | 75 | |
PPG Industries Inc. | 910 | 70 | |
Ball Corp. | 1,612 | 58 | |
FMC Corp. | 690 | 52 | |
International Flavors & | |||
Fragrances Inc. | 765 | 44 |
Market | ||
Value• | ||
Shares | ($000) | |
Sherwin-Williams Co. | 428 | 32 |
Airgas Inc. | 441 | 29 |
Eastman Chemical Co. | 345 | 29 |
Allegheny Technologies Inc. | 404 | 20 |
United States Steel Corp. | 329 | 10 |
Titanium Metals Corp. | 360 | 6 |
2,329 | ||
Telecommunication Services (2.6%) | ||
AT&T Inc. | 23,754 | 677 |
Verizon Communications Inc. | 10,807 | 391 |
* American Tower Corp. | ||
Class A | 3,789 | 204 |
CenturyLink Inc. | 2,937 | 106 |
Windstream Corp. | 2,907 | 37 |
Frontier | ||
Communications Corp. | 4,444 | 33 |
* MetroPCS | ||
Communications Inc. | 2,523 | 28 |
1,476 | ||
Utilities (0.5%) | ||
Southern Co. | 3,164 | 131 |
Dominion Resources Inc. | 2,365 | 115 |
Wisconsin Energy Corp. | 1,022 | 32 |
278 | ||
Total Investments (100.0%) | ||
(Cost $53,764) | 55,860 | |
Other Assets and Liabilities (0.0%) | ||
Other Assets | 113 | |
Liabilities | (107) | |
6 | ||
ETF Shares—Net Assets (100%) | ||
Applicable to 950,000 outstanding | ||
$.001 par value shares of beneficial | ||
interest (unlimited authorization) | 55,866 | |
Net Asset Value Per Share— | ||
ETF Shares | $58.81 | |
At August 31, 2011, net assets consisted of: | ||
Amount | ||
($000) | ||
Paid-in Capital | 54,764 | |
Undistributed Net Investment Income | 158 | |
Accumulated Net Realized Losses | (1,152) | |
Unrealized Appreciation (Depreciation) | 2,096 | |
Net Assets | 55,866 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
26
S&P 500 Growth Index Fund
Statement of Operations
September 7, 20101 to | |
August 31, 2011 | |
($000) | |
Investment Income | |
Income | |
Dividends | 601 |
Total Income | 601 |
Expenses | |
The Vanguard Group—Note B | |
Management and Administrative | 33 |
Custodian Fees | 7 |
Auditing Fees | 7 |
Shareholders’ Reports | 4 |
Total Expenses | 51 |
Net Investment Income | 550 |
Realized Net Gain (Loss) on Investment Securities Sold | (378) |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 2,096 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,268 |
1 Inception. |
See accompanying Notes, which are an integral part of the Financial Statements.
27
S&P 500 Growth Index Fund
Statement of Changes in Net Assets
September 7, 20101 to | |
August 31, 2011 | |
($000) | |
Increase (Decrease) in Net Assets | |
Operations | |
Net Investment Income | 550 |
Realized Net Gain (Loss) | (378) |
Change in Unrealized Appreciation (Depreciation) | 2,096 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,268 |
Distributions | |
Net Investment Income | (392) |
Realized Capital Gain | — |
Total Distributions | (392) |
Capital Share Transactions | |
Issued | 59,669 |
Issued in Lieu of Cash Distributions | — |
Redeemed | (5,679) |
Net Increase (Decrease) from Capital Share Transactions | 53,990 |
Total Increase (Decrease) | 55,866 |
Net Assets | |
Beginning of Period | — |
End of Period2 | 55,866 |
1 Inception. | |
2 Net Assets—End of Period includes undistributed net investment income of $158,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
28
S&P 500 Growth Index Fund
Financial Highlights
ETF Shares | |
September 7, 20101, to | |
For a Share Outstanding Throughout the Period | August 31, 2011 |
Net Asset Value, Beginning of Period | $50.23 |
Investment Operations | |
Net Investment Income | .797 |
Net Realized and Unrealized Gain (Loss) on Investments | 8.414 |
Total from Investment Operations | 9.211 |
Distributions | |
Dividends from Net Investment Income | (.631) |
Distributions from Realized Capital Gains | — |
Total Distributions | (.631) |
Net Asset Value, End of Period | $58.81 |
Total Return | 18.33% |
Ratios/Supplemental Data | |
Net Assets, End of Period (Millions) | $56 |
Ratio of Total Expenses to Average Net Assets | 0.15%2 |
Ratio of Net Investment Income to Average Net Assets | 1.63%2 |
Portfolio Turnover Rate3 | 26% |
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
29
S&P 500 Growth Index Fund
Notes to Financial Statements
Vanguard S&P 500 Growth Index 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 ETF Shares. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. The fund has not issued any Institutional Shares as of August 31, 2011. ETF Shares were first issued on September 7, 2010, and first offered to the public on September 9, 2010. ETF Shares are listed for trading on the NYSE Arca, Inc.; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Federal Income Taxes: The fund intends to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for its open federal income tax period ended August 31, 2011, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
3. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
4. Other: Dividend income is recorded on the ex-dividend date. 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.
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 August 31, 2011, the fund had contributed capital of $8,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.00% 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).
At August 31, 2011, 100% of the fund’s investments were valued based on Level 1 inputs.
30
S&P 500 Growth Index Fund
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the period ended August 31, 2011, the fund realized $773,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund used a tax accounting practice to treat a portion of the price of capital shares redeemed during the period as distributions from realized capital gains. Accordingly, the fund has reclassified $1,000 from accumulated net realized losses to paid-in capital.
For tax purposes, at August 31, 2011, the fund had $158,000 of ordinary income available for distribution. The fund realized losses of $1,152,000 during the period from November 1, 2010, through August 31, 2011, which are deferred and will be treated as realized for tax purposes in fiscal 2012.
At August 31, 2011, the cost of investment securities for tax purposes was $53,764,000. Net unrealized appreciation of investment securities for tax purposes was $2,096,000, consisting of unrealized gains of $3,062,000 on securities that had risen in value since their purchase and $966,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the period ended August 31, 2011, the fund purchased $69,329,000 of investment securities and sold $15,185,000 of investment securities, other than temporary cash investments.
F. Capital shares issued and redeemed were:
September 7, 20101 to | |
August 31, 2011 | |
Shares | |
(000) | |
ETF Shares | |
Issued | 1,050 |
Issued in Lieu of Cash Distributions | — |
Redeemed | (100) |
Net Increase (Decrease) in Shares Outstanding | 950 |
1 Inception. |
G. In preparing the financial statements as of August 31, 2011, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
31
Report of Independent Registered
Public Accounting Firm
To the Trustees of Vanguard Admiral Funds and the Shareholders of Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund: In our opinion, the accompanying statements of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund (constituting separate portfolios of Vanguard Admiral Funds, hereafter referred to as the “Funds”) at August 31, 2011, and the results of each of their operations, the changes in each of their net assets and the financial highlights for the period September 7, 2010 (commencement of operations) through August 31, 2011, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at August 31, 2011 by correspondence with the custodian, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 11, 2011
32
Special 2011 tax information (unaudited) for Vanguard S&P 500 Index Funds |
This information for the period ended August 31, 2011, is included pursuant to provisions of the Internal |
Revenue Code. |
The funds distributed qualified dividend income to shareholders during the period as follows:
Qualified Dividend Income | |
Index Fund | ($000) |
S&P 500 Value Index | 220 |
S&P 500 Growth Index | 392 |
For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends-received deduction is as follows:
Index Fund | Percentage |
S&P 500 Value Index | 100% |
S&P 500 Growth Index | 100 |
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 August 31, 2011 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
2/28/2011 | 8/31/2011 | Period1 | |
Based on Actual Fund Return | |||
S&P 500 Value Index Fund | |||
ETF Shares | $1,000.00 | $888.34 | $0.76 |
S&P 500 Growth Index Fund | |||
ETF Shares | 1,000.00 | 964.07 | 0.74 |
Based on Hypothetical 5% Yearly Return | |||
S&P 500 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,024.40 | $0.82 |
S&P 500 Growth Index Fund | |||
ETF Shares | 1,000.00 | 1,024.45 | 0.77 |
1 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 S&P Value Index Fund, 0.16%; and for the S&P Growth Index Fund, 0.15%. 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 peiod, 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 S&P 500 Value Index Fund and S&P 500 Growth Index Fund has renewed the funds’ investment advisory arrangement with The Vanguard Group, Inc. Vanguard—through its Quantitative Equity Group—serves as investment advisor to the funds. The board determined that continuing the funds’ internalized management structure was in the best interest of the funds and their shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board considered the quality of the investment management services provided to the funds since their inception in 2010 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 Quantitative Equity 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 approval of the advisory arrangement.
Investment performance
The board considered the funds’ performance since their inception, including any periods of outperformance or underperformance of their target indexes and peer groups. The board concluded that the funds have performed in line with expectations and that their results have been consistent with their investment strategies. Information about each fund’s performance can be found in the Performance Summary pages of this report.
Cost
The board concluded that each fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that the funds’ advisory fee rates were also well below their peer-group averages. Information about the funds’ expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements sections.
The board does not conduct a profitability analysis of Vanguard, because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the funds’ low-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 (in the case of 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.
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. The percentage of a fund’s average net assets used to pay its annual administrative and advisory expenses. These expenses directly reduce returns to investors.
Foreign Holdings. The percentage of a fund represented by stocks 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.
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.
Return on Equity. The annual average rate of return generated by a company during the past five years for each dollar of shareholder’s equity (net income divided by shareholder’s equity). For a fund, the weighted average return on equity for the companies whose stocks it holds.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Turnover Rate. An indication of the fund’s trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors). The turnover rate excludes in-kind transactions, which have minimal impact on costs.
37
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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 178 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
Interested Trustee1 | and President (2006–2008) of Rohm and Haas Co. |
(chemicals); Director of Tyco International, Ltd. | |
F. William McNabb III | (diversified manufacturing and services) and Hewlett- |
Born 1957. Trustee Since July 2009. Chairman of the | Packard Co. (electronic computer manufacturing); |
Board. Principal Occupation(s) During the Past Five | Senior Advisor at New Mountain Capital; Trustee |
Years: Chairman of the Board of The Vanguard Group, | of The Conference Board; Member of the Board of |
Inc., and of each of the investment companies served | Managers of Delphi Automotive LLP (automotive |
by The Vanguard Group, since January 2010; Director | components). |
of The Vanguard Group since 2008; Chief Executive | |
Officer and President of The Vanguard Group and of | Amy Gutmann |
each of the investment companies served by The | Born 1949. Trustee Since June 2006. Principal |
Vanguard Group since 2008; Director of Vanguard | Occupation(s) During the Past Five Years: President |
Marketing Corporation; Managing Director of The | of the University of Pennsylvania; Christopher H. |
Vanguard Group (1995–2008). | Browne Distinguished Professor of Political Science |
in the School of Arts and Sciences with secondary | |
appointments at the Annenberg School for Commu- | |
Independent Trustees | nication and the Graduate School of Education |
of the University of Pennsylvania; Director of | |
Emerson U. Fullwood | Carnegie Corporation of New York, Schuylkill River |
Born 1948. Trustee Since January 2008. Principal | Development Corporation, and Greater Philadelphia |
Occupation(s) During the Past Five Years: Executive | Chamber of Commerce; Trustee of the National |
Chief Staff and Marketing Officer for North America | Constitution Center; Chair of the Presidential |
and Corporate Vice President (retired 2008) of Xerox | Commission for the Study of Bioethical Issues. |
Corporation (document management products and | |
services); Executive in Residence and 2010 | JoAnn Heffernan Heisen |
Distinguished Minett Professor at the Rochester | Born 1950. Trustee Since July 1998. Principal |
Institute of Technology; Director of SPX Corporation | Occupation(s) During the Past Five Years: Corporate |
(multi-industry manufacturing), the United Way of | Vice President and Chief Global Diversity Officer |
Rochester, Amerigroup Corporation (managed health | (retired 2008) and Member of the Executive |
care), the University of Rochester Medical Center, | Committee (1997–2008) of Johnson & Johnson |
Monroe Community College Foundation, and North | (pharmaceuticals/consumer products); Director of |
Carolina A&T University. | Skytop Lodge Corporation (hotels), the University |
Medical Center at Princeton, the Robert Wood | |
Rajiv L. Gupta | Johnson Foundation, and the Center for Work Life |
Born 1945. Trustee Since December 2001.2 | Policy; Member of the Advisory Board of the |
Principal Occupation(s) During the Past Five Years: | Maxwell School of Citizenship and Public Affairs |
Chairman and Chief Executive Officer (retired 2009) | at Syracuse University. |
F. Joseph Loughrey | Thomas J. Higgins | |
Born 1949. Trustee Since October 2009. Principal | Born 1957. Chief Financial Officer Since September | |
Occupation(s) During the Past Five Years: President | 2008. Principal Occupation(s) During the Past Five | |
and Chief Operating Officer (retired 2009) and Vice | Years: Principal of The Vanguard Group, Inc.; Chief | |
Chairman of the Board (2008–2009) of Cummins Inc. | Financial Officer of each of the investment companies | |
(industrial machinery); Director of SKF AB (industrial | served by The Vanguard Group since 2008; Treasurer | |
machinery), Hillenbrand, Inc. (specialized consumer | of each of the investment companies served by The | |
services), the Lumina Foundation for Education, and | Vanguard Group (1998–2008). | |
Oxfam America; Chairman of the Advisory Council | ||
for the College of Arts and Letters and Member | Kathryn J. Hyatt | |
of the Advisory Board to the Kellogg Institute for | Born 1955. Treasurer Since November 2008. Principal | |
International Studies at the University of Notre Dame. | Occupation(s) During the Past Five Years: Principal | |
of The Vanguard Group, Inc.; Treasurer of each of | ||
André F. Perold | the investment companies served by The Vanguard | |
Born 1952. Trustee Since December 2004. Principal | Group since 2008; Assistant Treasurer of each of the | |
Occupation(s) During the Past Five Years: George | investment companies served by The Vanguard Group | |
Gund Professor of Finance and Banking at the Harvard | (1988–2008). | |
Business School (retired July 2011); Chief Investment | ||
Officer and co-Managing Partner of HighVista | Heidi Stam | |
Strategies LLC (private investment firm); Director of | Born 1956. Secretary Since July 2005. Principal | |
Rand Merchant Bank; Overseer of the Museum of | Occupation(s) During the Past Five Years: Managing | |
Fine Arts Boston. | Director of The Vanguard Group, Inc., since 2006; | |
General Counsel of The Vanguard Group since 2005; | ||
Alfred M. Rankin, Jr. | Secretary of The Vanguard Group and of each of the | |
Born 1941. Trustee Since January 1993. Principal | investment companies served by The Vanguard Group | |
Occupation(s) During the Past Five Years: Chairman, | since 2005; Director and Senior Vice President of | |
President, and Chief Executive Officer of NACCO | Vanguard Marketing Corporation since 2005; | |
Industries, Inc. (forklift trucks/housewares/lignite); | Principal of The Vanguard Group (1997–2006). | |
Director of Goodrich Corporation (industrial products/ | ||
aircraft systems and services) and the National | ||
Association of Manufacturers; Chairman of the | Vanguard Senior Management Team | |
Federal Reserve Bank of Cleveland; Vice Chairman | ||
of University Hospitals of Cleveland; President of | R. Gregory Barton | Michael S. Miller |
the Board of The Cleveland Museum of Art. | Mortimer J. Buckley | James M. Norris |
Kathleen C. Gubanich | Glenn W. Reed | |
Peter F. Volanakis | Paul A. Heller | George U. Sauter |
Born 1955. Trustee Since July 2009. Principal | Martha G. King | |
Occupation(s) During the Past Five Years: President | ||
and Chief Operating Officer (retired 2010) of Corning | ||
Incorporated (communications equipment); Director of | Chairman Emeritus and Senior Advisor | |
Corning Incorporated (2000–2010) and Dow Corning | ||
(2001–2010); Overseer of the Amos Tuck School of | John J. Brennan | |
Business Administration at Dartmouth College. | Chairman, 1996–2009 | |
Chief Executive Officer and President, 1996–2008 | ||
Executive Officers | ||
Founder | ||
Glenn Booraem | ||
Born 1967. Controller Since July 2010. Principal | John C. Bogle | |
Occupation(s) During the Past Five Years: Principal | Chairman and Chief Executive Officer, 1974–1996 | |
of The Vanguard Group, Inc.; Controller of each of | ||
the investment companies served by The Vanguard | ||
Group since 2010; Assistant Controller of each of | ||
the investment companies served by The Vanguard | ||
Group (2001–2010). |
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
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Q18400 102011 |
Annual Report | August 31, 2011 |
Vanguard S&P Small-Cap 600 |
Index Funds |
Vanguard S&P Small-Cap 600 Index Fund
Vanguard S&P Small-Cap 600 Value Index Fund
Vanguard S&P Small-Cap 600 Growth Index Fund
> ETF Shares of the three Vanguard S&P Small-Cap 600 Index Funds succeeded in capturing the returns of their target indexes.
> For the almost 12 months since their inception, the funds delivered strong double-digit returns, even as stock prices retreated toward the end of the period.
> Small-cap growth stocks were the best performers, and small-cap value stocks were the worst.
Contents | |
Your Fund’s Total Returns | 1 |
Chairman’s Letter | 2 |
S&P Small-Cap 600 Index Fund | 8 |
S&P Small-Cap 600 Value Index Fund | 26 |
S&P Small-Cap 600 Growth Index Fund | 40 |
About Your Fund’s Expenses | 55 |
Trustees Approve Advisory Arrangement | 57 |
Glossary | 58 |
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: Vanguard was named for the HMS Vanguard, flagship of British Admiral Horatio Nelson. A ship—whose performance and safety depend on the work of all hands—has served as a fitting metaphor for the Vanguard crew as we strive to help clients reach their financial goals.
Your Fund’s Total Returns
Periods Ended August 31, 2011 | ||
Ticker | Total Returns | |
Symbol | Since Inception | |
Vanguard S&P Small-Cap 600 Index Fund | ||
Institutional Shares (Inception: 4/1/2011)1 | VSMSX | –11.15% |
ETF Shares (Inception: 9/7/2010) | VIOO | |
Market Price | 18.72% | |
Net Asset Value | 18.81 | |
S&P SmallCap 600 Index | 19.05 | |
Small-Cap Core Funds Average2 | 16.10 | |
Vanguard S&P Small-Cap 600 Value Index Fund | ||
ETF Shares (Inception: 9/7/2010) | VIOV | |
Market Price | 14.47% | |
Net Asset Value | 14.52 | |
S&P SmallCap 600 Value Index | 14.71 | |
Small-Cap Value Funds Average2 | 13.01 | |
Vanguard S&P Small-Cap 600 Growth Index Fund | ||
ETF Shares (Inception: 9/7/2010) | VIOG | |
Market Price | 23.33% | |
Net Asset Value | 23.41 | |
S&P SmallCap 600 Growth Index | 23.67 | |
Small-Cap Growth Funds Average2 | 18.98 |
Institutional Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria.
The Vanguard ETF® Shares shown are traded on the NYSE Arca exchange and are available only through brokers. The table provides ETF returns based on both the NYSE Arca market price and the net asset value for a share. U.S. Pat. No. 6,879,964 B2; 7,337,138.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares’ market price was above or below the NAV.
Benchmark performance is based on the earliest share class inception date.
1 Institutional Shares were first issued on December 15, 2010, and the sole shareholder redeemed shortly thereafter. Institutional Shares were next issued on April 1, 2011. The total returns shown are based on the period beginning April 1, 2011.
2 Derived from data provided by Lipper Inc.
1
Chairman’s Letter
Dear Shareholder,
ETF Shares of the three Vanguard S&P Small-Cap 600 Index Funds generated strong returns in the almost 12 months after their September 2010 inception. The small-capitalization stocks that make up the S&P 600 Indexes were among the market’s strongest performers for the period, even as disappointing economic news deflated the market’s mood—and depressed stock prices—in the second half of the year.
Vanguard S&P Small-Cap 600 Growth Index Fund was the top performer, returning more than 23%. Its value counterpart, Vanguard S&P Small-Cap 600 Value Index Fund, returned more than 14%. The return of Vanguard S&P Small-Cap 600 Index Fund, a blend of growth and value stocks, fell in between. (The Small-Cap 600 Index Fund later issued lower-cost Institutional Shares, which require an initial investment of $5 million.)
The ETF Shares of the funds captured the returns of their target indexes, minus small gaps made up of operating and transaction costs, and bested the average returns of their peer groups.
2
This report begins with a look at the investment environment that prevailed for the full fiscal year and then examines the dynamics that drove the funds’ performance in the slightly shorter period following their launch.
Strong 12-month returns in a tale of two markets
Global stock markets delivered strong returns in a fiscal year marked by distinct periods of strength and weakness.
During the first six months, stock prices surged. The broad U.S. stock market returned about 29% as the slow, grinding economic recovery seemed to gather momentum. In the second six months, growth decelerated and stock market volatility spiked, amplified by Europe’s sovereign-debt drama, political wrangling over the U.S. debt ceiling, and Standard & Poor’s decision to downgrade the U.S. credit rating. (Vanguard’s confidence in the “full faith and credit” of the U.S. government remains unshaken.)
Global stock prices retreated during the fiscal year’s second half, but the returns of most major indexes remained strong for the full 12 months.
Treasuries rallied as risk aversion returned
The stock market’s midyear pivot was mirrored in the bond market. In the first half of the year, yields rose (and prices declined) as the prospect of improved
Market Barometer | |||
Average Annual Total Returns | |||
Periods Ended August 31, 2011 | |||
One Year | Three Years | Five Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 19.06% | 0.84% | 1.11% |
Russell 2000 Index (Small-caps) | 22.19 | 0.83 | 1.53 |
Dow Jones U.S. Total Stock Market Index | 19.16 | 1.18 | 1.52 |
MSCI All Country World Index ex USA (International) | 10.34 | –0.97 | 0.79 |
Bonds | |||
Barclays Capital U.S. Aggregate Bond Index | |||
(Broad taxable market) | 4.62% | 7.23% | 6.56% |
Barclays Capital Municipal Bond Index (Broad tax-exempt market) | 2.66 | 6.00 | 4.94 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.12 | 0.24 | 1.69 |
CPI | |||
Consumer Price Index | 3.77% | 1.12% | 2.13% |
3
economic growth and inflationary pressures set the market’s tone. Corporate bonds outperformed U.S. Treasury securities.
In the second half, risk aversion set the tone. Investors bid up Treasuries, trimming the yield of the 10-year Treasury note to barely 2%. The rush into government bonds boosted near-term returns, even as declining yields implied more modest results going forward. For the full year, the taxable investment-grade U.S. bond market returned 4.62%; the broad municipal bond market returned 2.66%.
The yields of money market instruments hovered near zero, consistent with the Federal Reserve’s target for short-term interest rates. Toward the end of the period, the Fed indicated that it expected to maintain this exceptionally low target at least through mid-2013.
Returns remained strong, even as worries increased
Small-cap stocks rallied through the six months following the inception of the Vanguard Small-Cap 600 Index Funds. The prevailing view seemed to be that strength in fast-developing economies such as China and Brazil would help fortify the fragile U.S. economy. Investors favored stocks in smaller companies that would be among the first to benefit from a turn in the business cycle.
Expense Ratios
Your Fund Compared With Its Peer Group
Institutional | ETF | Peer Group | |
Shares | Shares | Average | |
S&P Small-Cap 600 Index Fund | 0.08% | 0.15% | 1.38% |
S&P Small-Cap 600 Value Index Fund | — | 0.20% | 1.53% |
S&P Small-Cap 600 Growth Index Fund | — | 0.20% | 1.61% |
The fund expense ratios shown are from the prospectus dated September 7, 2010, and represent estimated costs for the current fiscal year. For the periods from inception through August 31, 2011, the funds’ annualized expense ratios were: for the S&P Small-Cap 600 Index Fund, 0.08% for Institutional Shares and 0.15% for ETF Shares; for the S&P Small-Cap 600 Value Index Fund, 0.20% for ETF Shares; and for the S&P Small-Cap 600 Growth Index Fund, 0.20% for ETF Shares. Peer-group expense ratios are derived from data provided by Lipper Inc. and capture information through year-end 2010.
Peer groups: For the S&P Small-Cap 600 Index Fund, Small-Cap Core Funds; for the S&P Small-Cap 600 Value Index Fund, Small-Cap Value Funds; and for the S&P Small-Cap 600 Growth Index Fund, Small-Cap Growth Funds.
4
Energy, information technology, and industrial stocks were among the best performers, rallying on expectations of stronger demand for the economy’s basic building blocks and for the software and systems that manage its back offices. (Oil stocks also benefited from the threat of supply constraints amid political uprisings in the Middle East and North Africa.) The utilities and consumer staples sectors, which tend to be less sensitive to the rhythms of the business cycle, were weaker performers.
In the six months through the end of the fiscal year, these dynamics were reversed. Economic expansion decelerated sharply, while Europe’s sovereign-debt issues (and the short-lived but unnerving debate about raising the U.S. debt ceiling) moved center stage. Energy, industrial, and materials stocks were among the weakest performers; utilities and consumer staples stocks took the lead.
Although returns declined from their interim peaks, the ups and downs nevertheless resulted in strong fund performance for the full fiscal period. Vanguard S&P Small-Cap 600 Growth Index Fund did best, as large exposures to the health care and consumer-discretionary sectors boosted returns. Vanguard S&P Small-Cap 600 Value Index Fund produced the lowest return, a function of the index’s heavy weighting in the financial sector, which continued to wrestle with bad mortgages and other legacies of the financial crisis. Vanguard S&P Small-Cap 600 Index Fund, which had more modest exposures to the strongest and weakest sectors, returned almost 19% for ETF Shares, in between the growth and value results.
A time-tested response to elevated volatility
As the markets rallied and retreated, the Vanguard S&P Small-Cap 600 Index Funds hewed closely to their target indexes, capturing the performance of the small-cap market and its growth and value components. Like Vanguard’s other index funds, the new small-cap funds have benefited both from Vanguard Quantitative Equity Group’s pioneering work and long experience in index fund management and from the funds’ low costs.
Over the past year, these strengths may have seemed less notable than the stock market’s volatility. However, the market’s behavior has not been atypical. Recent Vanguard research has found that the rapid swings that occurred in the weeks after Standard & Poor’s downgraded the U.S. credit rating were consistent with those seen during other global shocks such as the Russian default in 1998, the terrorist attacks on September 11, 2001, and the more recent global financial crisis.
5
As always, the most effective preparation for these shocks is to maintain a diversified portfolio balanced between stock funds and less-volatile assets such as bond and money market funds. A mix consistent with your goals and risk tolerance can reinforce your resolve to stick with a sensible plan through good times and bad. Any of the Vanguard S&P Small-Cap 600 Index Funds can play a useful role in such a plan.
Thank you for entrusting your assets to Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
September 19, 2011
6
Your Fund’s Performance at a Glance
Inception Through August 31, 2011
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard S&P Small-Cap 600 Index Fund | ||||
Institutional Shares | ||||
(Inception: 4/1/2011)1 | $132.94 | $118.12 | $0.000 | $0.000 |
ETF Shares (Inception: 9/7/2010) | 49.81 | 58.84 | 0.360 | 0.000 |
Vanguard S&P Small-Cap 600 Value Index Fund | ||||
ETF Shares (Inception: 9/7/2010) | $49.79 | $56.68 | $0.370 | $0.000 |
Vanguard S&P Small-Cap 600 Growth Index Fund | ||||
ETF Shares (Inception: 9/7/2010) | $49.82 | $61.18 | $0.310 | $0.000 |
1 Institutional Shares were first issued on December 15, 2010, and the sole shareholder redeemed shortly thereafter. Institutional Shares were next issued on April 1, 2011. The starting share price shown is as of April 1, 2011.
7
S&P Small-Cap 600 Index Fund
Fund Profile
As of August 31, 2011
Portfolio Characteristics | |||
Target | Broad | ||
Fund | Index1 | Index2 | |
Number of Stocks | 600 | 600 | 3,716 |
Median Market Cap | $1.1B | $1.1B | $30.4B |
Price/Earnings Ratio | 19.6x | 19.6x | 14.7x |
Price/Book Ratio | 1.7x | 1.7x | 2.0x |
Yield3 | 1.3% | 1.3% | 2.0% |
Return on Equity | 11.1% | 11.2% | 19.0% |
Earnings Growth Rate | 4.8% | 4.8% | 7.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 42% | — | — |
Expense Ratio4 | — | — | |
Institutional Shares | 0.08% | ||
ETF Shares | 0.15% | ||
Short-Term Reserves | –0.2% | — | — |
Sector Diversification (% of equity exposure) | |||
Target | Broad | ||
Fund | Index1 | Index2 | |
Consumer Discretionary 15.0% | 15.0% | 12.3% | |
Consumer Staples | 4.4 | 4.4 | 10.5 |
Energy | 4.4 | 4.4 | 10.8 |
Financials | 20.3 | 20.3 | 14.8 |
Health Care | 12.2 | 12.2 | 11.4 |
Industrials | 15.3 | 15.3 | 11.0 |
Information Technology 18.2 | 18.2 | 18.7 | |
Materials | 5.2 | 5.2 | 4.4 |
Telecommunication | |||
Services | 0.6 | 0.6 | 2.6 |
Utilities | 4.4 | 4.4 | 3.5 |
Ten Largest Holdings5 (% of total net assets) | ||
Regeneron | ||
Pharmaceuticals Inc. | Biotechnology | 1.0% |
Healthspring Inc. | Managed | |
Health Care | 0.6 | |
World Fuel | Oil & Gas | |
Services Corp. | Refining & | |
Marketing | 0.6 | |
Mid-America Apartment | ||
Communities Inc. | Residential REITs | 0.6 |
Home Properties Inc. | Residential REITs | 0.6 |
Signature Bank | Regional Banks | 0.6 |
CROCS Inc. | Footwear | 0.5 |
Tanger Factory | ||
Outlet Centers | Retail REITs | 0.5 |
BioMed Realty Trust Inc. | Office REITs | 0.5 |
CLARCOR | Industrial | |
Machinery | 0.5 | |
Top Ten | 6.0% |
Investment Focus
1 S&P SmallCap 600 Index.
2 Dow Jones U.S. Total Stock Market Index.
3 30-day SEC yield for the fund; annualized dividend yield for the indexes. See the Glossary.
4 The expense ratios shown are from the prospectus dated September 7, 2010, and represent estimated costs for the current fiscal year. For the periods from inception through August 31, 2011, the annualized expense ratios were 0.08% for Institutional Shares and 0.15% for ETF Shares.
5 The holdings listed exclude any temporary cash investments and equity index products.
8
S&P Small-Cap 600 Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: September 7, 2010–August 31, 2011
Initial Investment of $10,000
Total Returns | ||
Periods Ended August 31, 2011 | Final Value | |
Since | of a $10,000 | |
Inception1 | Investment | |
S&P Small-Cap 600 Index Fund ETF Shares Net Asset Value | 18.81% | $11,881 |
S&P Small-Cap 600 Index Fund ETF Shares Market Price | 18.72 | 11,872 |
Dow Jones U.S. Total Stock Market Index | 14.40 | 11,440 |
S&P SmallCap 600 Index | 19.05 | 11,905 |
Small-Cap Core Funds Average2 | 16.10 | 11,610 |
Final Value of | ||
Since | a $5,000,000 | |
Inception3 | Investment | |
S&P Small-Cap 600 Index Fund Institutional Shares | –11.15% | $4,442,606 |
Dow Jones U.S. Total Stock Market Index | –8.64 | 4,567,922 |
S&P SmallCap 600 Index | –11.06 | 4,446,902 |
1 September 7, 2010.
2 Derived from data provided by Lipper Inc.
3 Institutional Shares were first issued on December 15, 2010, and the sole shareholder redeemed shortly thereafter. Institutional Shares were next issued on April 1, 2011. The total returns shown are based on the period beginning April 1, 2011.
See Financial Highlights for dividend and capital gains information.
9
S&P Small-Cap 600 Index Fund
Cumulative Returns: ETF Shares, September 7, 2010—August 31, 2011
Cumulative | |
Since | |
Inception | |
S&P Small-Cap 600 Index Fund ETF Shares Market Price | 18.72% |
S&P Small-Cap 600 Index Fund ETF Shares Net Asset Value | 18.81 |
S&P SmallCap 600 Index | 19.05 |
Fiscal-Period Total Returns (%): September 7, 2010, Through August 31, 2011
Total Returns: Periods Ended June 30, 2011
This table presents total returns through the latest calendar quarter—rather than through the end of the fiscal period. Securities and Exchange Commission rules require that we provide this information.
Since | ||
Inception Date | Inception | |
Institutional Shares | 4/1/20111 | –0.50% |
ETF Shares | 9/7/2010 | |
Market Price | 33.04% | |
Net Asset Value | 33.05 |
1 Institutional Shares were first issued on December 15, 2010, and the sole shareholder redeemed shortly thereafter. Institutional Shares were next issued on April 1, 2011. The total returns shown are based on the period beginning April 1, 2011.
10
S&P Small-Cap 600 Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2011
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | |||
Value• | |||
Shares | ($000) | ||
Common Stocks (99.9%) | |||
Consumer Discretionary (15.0%) | |||
* | CROCS Inc. | 16,647 | 455 |
Wolverine World Wide Inc. | 9,334 | 340 | |
* | Carter’s Inc. | 10,862 | 336 |
Men’s Wearhouse Inc. | 9,680 | 280 | |
* | Live Nation | ||
Entertainment Inc. | 29,448 | 272 | |
* | Coinstar Inc. | 5,899 | 269 |
* | Iconix Brand Group Inc. | 13,717 | 269 |
* | JOS A Bank Clothiers Inc. | 5,196 | 266 |
Brunswick Corp. | 16,743 | 266 | |
Hillenbrand Inc. | 11,789 | 240 | |
* | Steven Madden Ltd. | 6,606 | 239 |
* | HSN Inc. | 7,374 | 237 |
* | Genesco Inc. | 4,456 | 236 |
Pool Corp. | 9,059 | 235 | |
Monro Muffler Brake Inc. | 5,733 | 227 | |
* | Vitamin Shoppe Inc. | 4,834 | 214 |
* | Buffalo Wild Wings Inc. | 3,446 | 212 |
* | Childrens Place | ||
Retail Stores Inc. | 4,861 | 209 | |
Finish Line Inc. Class A | 10,141 | 204 | |
* | BJ’s Restaurants Inc. | 4,301 | 199 |
Buckle Inc. | 4,986 | 196 | |
Arbitron Inc. | 5,134 | 193 | |
* | Hibbett Sports Inc. | 5,138 | 192 |
Group 1 Automotive Inc. | 4,544 | 190 | |
Cracker Barrel Old | |||
Country Store Inc. | 4,320 | 183 | |
* | Jack in the Box Inc. | 8,750 | 182 |
* | Cabela’s Inc. | 7,668 | 180 |
* | Helen of Troy Ltd. | 5,805 | 174 |
* | Select Comfort Corp. | 10,452 | 166 |
* | Pinnacle Entertainment Inc. | 11,644 | 160 |
Texas Roadhouse Inc. | |||
Class A | 10,892 | 156 | |
* | True Religion Apparel Inc. | 4,848 | 148 |
Cato Corp. Class A | 5,548 | 141 | |
* | Peet’s Coffee & Tea Inc. | 2,411 | 140 |
Market | |||
Value• | |||
Shares | ($000) | ||
* | American Public | ||
Education Inc. | 3,364 | 139 | |
PF Chang’s China Bistro Inc. | 4,297 | 129 | |
* | DineEquity Inc. | 2,997 | 126 |
* | iRobot Corp. | 4,286 | 119 |
Sturm Ruger & Co. Inc. | 3,557 | 118 | |
CEC Entertainment Inc. | 3,765 | 117 | |
* | Meritage Homes Corp. | 6,210 | 116 |
* | Papa John’s International Inc. | 3,852 | 115 |
* | Maidenform Brands Inc. | 4,505 | 114 |
Stage Stores Inc. | 6,851 | 112 | |
* | Sonic Corp. | 11,874 | 110 |
* | Blue Nile Inc. | 2,821 | 109 |
* | Skechers U.S.A. Inc. Class A | 6,708 | 108 |
* | Quiksilver Inc. | 24,260 | 101 |
* | OfficeMax Inc. | 16,166 | 101 |
* | Ruby Tuesday Inc. | 11,965 | 100 |
* | Capella Education Co. | 3,036 | 97 |
PEP Boys– | |||
Manny Moe & Jack | 9,725 | 96 | |
* | Interval Leisure Group Inc. | 7,590 | 96 |
Sonic Automotive Inc. | |||
Class A | 6,831 | 95 | |
* | Liz Claiborne Inc. | 17,658 | 92 |
* | Red Robin Gourmet | ||
Burgers Inc. | 2,953 | 92 | |
Ethan Allen Interiors Inc. | 5,336 | 92 | |
Oxford Industries Inc. | 2,540 | 91 | |
* | Shuffle Master Inc. | 10,124 | 90 |
* | Biglari Holdings Inc. | 268 | 88 |
* | Jakks Pacific Inc. | 5,116 | 87 |
* | La-Z-Boy Inc. | 9,806 | 86 |
Fred’s Inc. Class A | 7,404 | 85 | |
Lithia Motors Inc. Class A | 4,164 | 79 | |
Superior Industries | |||
International Inc. | 4,459 | 77 | |
Drew Industries Inc. | 3,692 | 73 | |
* | Rue21 Inc. | 2,900 | 73 |
* | Zumiez Inc. | 3,929 | 73 |
Brown Shoe Co. Inc. | 8,479 | 70 |
11
S&P Small-Cap 600 Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
HOT Topic Inc. | 8,289 | 69 | |
* | Lumber Liquidators | ||
Holdings Inc. | 4,468 | 68 | |
* | Boyd Gaming Corp. | 10,738 | 67 |
Callaway Golf Co. | 11,887 | 67 | |
Nutrisystem Inc. | 5,024 | 64 | |
Harte-Hanks Inc. | 7,480 | 59 | |
Blyth Inc. | 1,043 | 59 | |
* | Universal Electronics Inc. | 2,958 | 58 |
* | Universal Technical | ||
Institute Inc. | 3,911 | 57 | |
* | Perry Ellis International Inc. | 2,386 | 55 |
Standard Motor Products Inc. | 3,844 | 51 | |
* | EW Scripps Co. Class A | 6,019 | 51 |
* | Standard Pacific Corp. | 18,795 | 48 |
Movado Group Inc. | 3,369 | 46 | |
Haverty Furniture Cos. Inc. | 3,759 | 44 | |
* | Winnebago Industries Inc. | 5,670 | 44 |
Lincoln Educational | |||
Services Corp. | 4,482 | 44 | |
PetMed Express Inc. | 4,343 | 44 | |
Marcus Corp. | 4,380 | 43 | |
Stein Mart Inc. | 5,418 | 38 | |
* | Corinthian Colleges Inc. | 16,963 | 37 |
Christopher & Banks Corp. | 7,424 | 35 | |
* | Arctic Cat Inc. | 2,205 | 35 |
Big 5 Sporting Goods Corp. | 4,512 | 33 | |
* | MarineMax Inc. | 4,902 | 33 |
Spartan Motors Inc. | 7,100 | 32 | |
* | M/I Homes Inc. | 3,908 | 32 |
* | Ruth’s Hospitality Group Inc. | 5,800 | 31 |
* | Kirkland’s Inc. | 3,310 | 31 |
* | K-Swiss Inc. Class A | 5,694 | 30 |
* | Tuesday Morning Corp. | 6,661 | 27 |
* | Multimedia Games | ||
Holding Co. Inc. | 5,062 | 25 | |
* | Midas Inc. | 2,872 | 23 |
* | Monarch Casino & Resort Inc. | 2,244 | 23 |
* | O’Charleys Inc. | 4,041 | 23 |
* | Audiovox Corp. Class A | 3,521 | 23 |
* | Zale Corp. | 4,856 | 20 |
* | Kid Brands Inc. | 4,900 | 18 |
Skyline Corp. | 1,424 | 16 | |
* | Coldwater Creek Inc. | 11,155 | 12 |
12,687 | |||
Consumer Staples (4.4%) | |||
* | Darling International Inc. | 22,001 | 371 |
* | United Natural Foods Inc. | 9,096 | 370 |
* | TreeHouse Foods Inc. | 6,676 | 366 |
Diamond Foods Inc. | 4,142 | 327 | |
Casey’s General Stores Inc. | 7,137 | 321 | |
* | Hain Celestial Group Inc. | 8,172 | 259 |
Snyders-Lance Inc. | 8,972 | 200 | |
B&G Foods Inc. Class A | 9,008 | 164 | |
Andersons Inc. | 3,579 | 144 |
Market | |||
Value• | |||
Shares | ($000) | ||
* | Boston Beer Co. Inc. Class A | 1,719 | 139 |
Sanderson Farms Inc. | 3,540 | 139 | |
J&J Snack Foods Corp. | 2,700 | 137 | |
WD-40 Co. | 3,233 | 133 | |
* | Prestige Brands Holdings Inc. | 9,304 | 100 |
Cal-Maine Foods Inc. | 2,598 | 84 | |
Nash Finch Co. | 2,232 | 71 | |
* | Central Garden and Pet Co. | ||
Class A | 8,976 | 71 | |
Spartan Stores Inc. | 4,213 | 68 | |
* | Alliance One International Inc. | 16,432 | 52 |
Inter Parfums Inc. | 2,907 | 48 | |
Calavo Growers Inc. | 2,371 | 47 | |
* | Medifast Inc. | 2,689 | 44 |
* | Seneca Foods Corp. Class A | 1,853 | 43 |
3,698 | |||
Energy (4.4%) | |||
World Fuel Services Corp. | 13,315 | 495 | |
SEACOR Holdings Inc. | 4,073 | 361 | |
Lufkin Industries Inc. | 5,728 | 356 | |
Bristow Group Inc. | 6,830 | 300 | |
* | Swift Energy Co. | 7,978 | 246 |
* | Stone Energy Corp. | 9,216 | 243 |
* | Gulfport Energy Corp. | 7,495 | 217 |
* | ION Geophysical Corp. | 29,306 | 207 |
* | Tetra Technologies Inc. | 14,446 | 148 |
Contango Oil & Gas Co. | 2,416 | 147 | |
* | Pioneer Drilling Co. | 11,174 | 141 |
* | Basic Energy Services Inc. | 5,510 | 120 |
* | Petroleum Development Corp. | 4,525 | 108 |
* | Hornbeck Offshore | ||
Services Inc. | 4,395 | 107 | |
* | Approach Resources Inc. | 5,321 | 99 |
* | Georesources Inc. | 3,515 | 82 |
* | Petroquest Energy Inc. | 10,230 | 78 |
Penn Virginia Corp. | 8,590 | 70 | |
Gulf Island Fabrication Inc. | 2,668 | 66 | |
* | OYO Geospace Corp. | 834 | 62 |
* | Matrix Service Co. | 5,004 | 54 |
3,707 | |||
Financials (20.2%) | |||
Mid-America Apartment | |||
Communities Inc. | 6,901 | 493 | |
Home Properties Inc. | 7,347 | 491 | |
* | Signature Bank | 8,547 | 475 |
Tanger Factory | |||
Outlet Centers | 16,156 | 454 | |
BioMed Realty Trust Inc. | 24,680 | 451 | |
National Retail | |||
Properties Inc. | 15,987 | 436 | |
* | ProAssurance Corp. | 5,751 | 417 |
Kilroy Realty Corp. | 10,994 | 393 | |
Post Properties Inc. | 9,372 | 392 | |
Extra Space Storage Inc. | 17,592 | 378 |
12
S&P Small-Cap 600 Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
Entertainment | |||
Properties Trust | 8,771 | 369 | |
Colonial Properties Trust | 15,698 | 330 | |
* | Ezcorp Inc. Class A | 9,389 | 315 |
Cash America | |||
International Inc. | 5,528 | 309 | |
* | Stifel Financial Corp. | 10,103 | 304 |
LaSalle Hotel Properties | 16,029 | 301 | |
* | First Cash Financial | ||
Services Inc. | 5,889 | 275 | |
Healthcare Realty Trust Inc. | 14,636 | 256 | |
Delphi Financial Group Inc. | 10,326 | 250 | |
DiamondRock Hospitality Co. | 31,473 | 244 | |
Northwest Bancshares Inc. | 19,950 | 238 | |
* | Portfolio Recovery | ||
Associates Inc. | 3,217 | 235 | |
Medical Properties Trust Inc. | 21,007 | 225 | |
UMB Financial Corp. | 5,638 | 219 | |
FNB Corp. | 23,865 | 214 | |
Sovran Self Storage Inc. | 5,206 | 212 | |
Umpqua Holdings Corp. | 21,558 | 211 | |
Wintrust Financial Corp. | 6,576 | 208 | |
EastGroup Properties Inc. | 5,043 | 204 | |
RLI Corp. | 3,129 | 198 | |
PS Business Parks Inc. | 3,540 | 194 | |
* | World Acceptance Corp. | 2,912 | 190 |
Lexington Realty Trust | 25,444 | 188 | |
United Bankshares Inc. | 8,353 | 188 | |
Tower Group Inc. | 7,773 | 187 | |
* | Texas Capital Bancshares Inc. | 7,000 | 180 |
Prospect Capital Corp. | 20,202 | 177 | |
First Financial Bankshares Inc. | 5,965 | 177 | |
Old National Bancorp | 17,967 | 176 | |
First Financial Bancorp | 10,954 | 175 | |
Franklin Street | |||
Properties Corp. | 13,322 | 174 | |
Community Bank | |||
System Inc. | 6,918 | 173 | |
National Penn | |||
Bancshares Inc. | 23,096 | 167 | |
Susquehanna | |||
Bancshares Inc. | 24,838 | 167 | |
Acadia Realty Trust | 7,584 | 160 | |
Glacier Bancorp Inc. | 13,523 | 156 | |
Selective Insurance | |||
Group Inc. | 10,158 | 154 | |
LTC Properties Inc. | 5,718 | 154 | |
NBT Bancorp Inc. | 6,535 | 133 | |
Interactive Brokers Group Inc. | 8,667 | 130 | |
Oritani Financial Corp. | 9,813 | 129 | |
First Midwest Bancorp Inc. | 14,166 | 124 | |
Provident Financial | |||
Services Inc. | 9,800 | 123 | |
Columbia Banking | |||
System Inc. | 7,527 | 123 |
Market | |||
Value• | |||
Shares | ($000) | ||
* | Financial Engines Inc. | 5,497 | 122 |
Infinity Property & | |||
Casualty Corp. | 2,389 | 122 | |
Inland Real Estate Corp. | 14,592 | 118 | |
Bank of the Ozarks Inc. | 5,078 | 115 | |
Safety Insurance Group Inc. | 2,901 | 113 | |
Pennsylvania Real Estate | |||
Investment Trust | 10,608 | 109 | |
* | Navigators Group Inc. | 2,357 | 105 |
* | National Financial | ||
Partners Corp. | 8,150 | 104 | |
PacWest Bancorp | 6,144 | 99 | |
PrivateBancorp Inc. Class A | 11,074 | 98 | |
Horace Mann Educators Corp. | 7,377 | 98 | |
Home Bancshares Inc. | 4,109 | 96 | |
Independent Bank Corp. | 3,952 | 94 | |
Meadowbrook Insurance | |||
Group Inc. | 9,998 | 94 | |
Brookline Bancorp Inc. | 11,109 | 94 | |
Boston Private Financial | |||
Holdings Inc. | 14,452 | 90 | |
City Holding Co. | 2,950 | 90 | |
Universal Health Realty | |||
Income Trust | 2,390 | 89 | |
Getty Realty Corp. | 4,669 | 89 | |
* | Investment Technology | ||
Group Inc. | 7,768 | 88 | |
Employers Holdings Inc. | 7,207 | 88 | |
S&T Bancorp Inc. | 4,737 | 88 | |
* | Forestar Group Inc. | 6,653 | 84 |
* | Pinnacle Financial | ||
Partners Inc. | 6,458 | 82 | |
First Commonwealth | |||
Financial Corp. | 17,895 | 80 | |
Trustco Bank Corp. NY | 17,068 | 80 | |
Saul Centers Inc. | 2,220 | 79 | |
Simmons First National | |||
Corp. Class A | 3,188 | 73 | |
Urstadt Biddle Properties | |||
Inc. Class A | 4,281 | 72 | |
United Fire & Casualty Co. | 3,911 | 71 | |
* | AMERISAFE Inc. | 3,557 | 70 |
* | Piper Jaffray Cos. | 2,896 | 69 |
Dime Community | |||
Bancshares Inc. | 5,453 | 66 | |
* | Encore Capital Group Inc. | 2,695 | 64 |
Tompkins Financial Corp. | 1,550 | 60 | |
Parkway Properties Inc. | 4,171 | 57 | |
Kite Realty Group Trust | 12,192 | 52 | |
* | Nara Bancorp Inc. | 7,211 | 51 |
Sterling Bancorp | 5,907 | 51 | |
* | eHealth Inc. | 3,866 | 49 |
Calamos Asset | |||
Management Inc. Class A | 3,853 | 45 | |
Presidential Life Corp. | 4,332 | 42 |
13
S&P Small-Cap 600 Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
* | Wilshire Bancorp Inc. | 12,491 | 38 |
Stewart Information | |||
Services Corp. | 3,950 | 38 | |
Cedar Shopping Centers Inc. | 9,688 | 36 | |
* | United Community Banks Inc. | 3,346 | 35 |
Bank Mutual Corp. | 8,365 | 27 | |
* | Hanmi Financial Corp. | 27,280 | 26 |
SWS Group Inc. | 5,360 | 23 | |
* | First BanCorp | 4,931 | 17 |
17,136 | |||
Health Care (12.2%) | |||
* | Regeneron | ||
Pharmaceuticals Inc. | 14,015 | 827 | |
* | Healthspring Inc. | 12,742 | 497 |
* | HMS Holdings Corp. | 15,941 | 418 |
* | Cubist Pharmaceuticals Inc. | 11,273 | 391 |
* | Questcor | ||
Pharmaceuticals Inc. | 11,595 | 348 | |
* | Salix Pharmaceuticals Ltd. | 10,982 | 334 |
Quality Systems Inc. | 3,622 | 333 | |
* | Haemonetics Corp. | 4,831 | 302 |
* | Centene Corp. | 9,397 | 300 |
* | Magellan Health Services Inc. | 5,880 | 293 |
* | Viropharma Inc. | 14,285 | 283 |
West Pharmaceutical | |||
Services Inc. | 6,297 | 253 | |
* | Align Technology Inc. | 13,024 | 249 |
* | PSS World Medical Inc. | 10,431 | 246 |
Chemed Corp. | 4,001 | 232 | |
* | Parexel International Corp. | 11,071 | 226 |
* | Par Pharmaceutical Cos. Inc. | 6,810 | 203 |
* | Zoll Medical Corp. | 4,121 | 184 |
* | NuVasive Inc. | 7,452 | 181 |
* | MWI Veterinary Supply Inc. | 2,381 | 176 |
* | Neogen Corp. | 4,444 | 154 |
* | Integra LifeSciences | ||
Holdings Corp. | 3,867 | 154 | |
Invacare Corp. | 6,012 | 151 | |
Computer Programs & | |||
Systems Inc. | 2,065 | 146 | |
* | Medicines Co. | 9,880 | 144 |
Meridian Bioscience Inc. | 7,643 | 141 | |
* | Air Methods Corp. | 2,118 | 141 |
* | Amsurg Corp. Class A | 5,918 | 134 |
* | Cyberonics Inc. | 4,605 | 130 |
* | CONMED Corp. | 5,341 | 125 |
* | IPC The Hospitalist Co. Inc. | 3,096 | 124 |
* | Hanger Orthopedic Group Inc. | 6,293 | 118 |
Analogic Corp. | 2,379 | 118 | |
* | Merit Medical Systems Inc. | 7,881 | 115 |
* | Abaxis Inc. | 4,337 | 108 |
* | Omnicell Inc. | 6,196 | 97 |
* | Greatbatch Inc. | 4,324 | 97 |
* | Amedisys Inc. | 5,543 | 94 |
* | Bio-Reference Labs Inc. | 4,577 | 93 |
Market | |||
Value• | |||
Shares | ($000) | ||
* | ICU Medical Inc. | 2,238 | 92 |
* | Molina Healthcare Inc. | 4,760 | 92 |
Landauer Inc. | 1,773 | 91 | |
* | PharMerica Corp. | 5,681 | 84 |
* | Healthways Inc. | 6,462 | 81 |
* | SonoSite Inc. | 2,609 | 76 |
* | Affymetrix Inc. | 13,584 | 76 |
* | Emergent Biosolutions Inc. | 4,135 | 75 |
Ensign Group Inc. | 2,585 | 60 | |
Cantel Medical Corp. | 2,404 | 60 | |
* | Natus Medical Inc. | 5,672 | 59 |
* | LHC Group Inc. | 2,922 | 58 |
* | Savient Pharmaceuticals Inc. | 13,358 | 57 |
* | Symmetry Medical Inc. | 6,875 | 57 |
* | Corvel Corp. | 1,234 | 56 |
* | Hi-Tech Pharmacal Co. Inc. | 1,953 | 55 |
* | Medcath Corp. | 3,898 | 54 |
* | eResearchTechnology Inc. | 8,593 | 45 |
* | Gentiva Health Services Inc. | 5,749 | 44 |
* | AMN Healthcare Services Inc. | 7,708 | 43 |
* | Kensey Nash Corp. | 1,539 | 42 |
* | SurModics Inc. | 3,622 | 39 |
* | Arqule Inc. | 8,764 | 38 |
* | Almost Family Inc. | 1,700 | 34 |
* | Cross Country Healthcare Inc. | 6,595 | 33 |
* | Palomar Medical | ||
Technologies Inc. | 3,935 | 32 | |
* | CryoLife Inc. | 5,957 | 30 |
* | Cambrex Corp. | 5,937 | 30 |
* | Enzo Biochem Inc. | 7,092 | 21 |
* | LCA-Vision Inc. | 4,633 | 13 |
10,287 | |||
Industrials (15.3%) | |||
CLARCOR Inc. | 9,480 | 441 | |
Robbins & Myers Inc. | 8,552 | 411 | |
* | Teledyne Technologies Inc. | 6,907 | 377 |
* | Moog Inc. Class A | 8,628 | 344 |
Mueller Industries Inc. | 7,119 | 336 | |
Toro Co. | 5,809 | 317 | |
* | EMCOR Group Inc. | 12,571 | 288 |
Brady Corp. Class A | 9,933 | 273 | |
United Stationers Inc. | 8,651 | 273 | |
Belden Inc. | 8,909 | 272 | |
Curtiss-Wright Corp. | 8,730 | 269 | |
* | Geo Group Inc. | 12,201 | 262 |
* | Old Dominion | ||
Freight Line Inc. | 8,101 | 260 | |
Actuant Corp. Class A | 12,899 | 259 | |
AO Smith Corp. | 6,342 | 249 | |
* | Tetra Tech Inc. | 11,723 | 233 |
* | HUB Group Inc. Class A | 7,049 | 222 |
Applied Industrial | |||
Technologies Inc. | 7,092 | 217 | |
Simpson | |||
Manufacturing Co. Inc. | 7,538 | 214 |
14
S&P Small-Cap 600 Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
Kaydon Corp. | 6,130 | 206 | |
Barnes Group Inc. | 8,521 | 196 | |
Healthcare Services | |||
Group Inc. | 12,482 | 196 | |
* | II-VI Inc. | 9,637 | 190 |
Interface Inc. Class A | 12,306 | 186 | |
ABM Industries Inc. | 8,974 | 183 | |
AAR Corp. | 7,565 | 179 | |
Knight Transportation Inc. | 11,613 | 176 | |
* | Orbital Sciences Corp. | 11,133 | 174 |
Kaman Corp. | 5,021 | 172 | |
* | Mobile Mini Inc. | 8,483 | 162 |
Forward Air Corp. | 5,619 | 160 | |
Watts Water | |||
Technologies Inc. Class A | 5,618 | 159 | |
Tennant Co. | 3,599 | 158 | |
Briggs & Stratton Corp. | 9,625 | 155 | |
ESCO Technologies Inc. | 5,004 | 155 | |
* | EnPro Industries Inc. | 3,887 | 151 |
Lindsay Corp. | 2,363 | 147 | |
* | Ceradyne Inc. | 4,634 | 145 |
Heartland Express Inc. | 9,550 | 145 | |
Unifirst Corp. | 2,766 | 143 | |
* | Allegiant Travel Co. Class A | 2,845 | 134 |
* | Astec Industries Inc. | 3,796 | 131 |
Skywest Inc. | 9,873 | 126 | |
Cubic Corp. | 2,990 | 125 | |
* | Insituform Technologies Inc. | ||
Class A | 7,426 | 123 | |
* | SYKES Enterprises Inc. | 7,727 | 121 |
* | TrueBlue Inc. | 8,470 | 119 |
* | Dycom Industries Inc. | 6,454 | 118 |
American Science & | |||
Engineering Inc. | 1,732 | 117 | |
Albany International Corp. | 5,321 | 116 | |
CIRCOR International Inc. | 3,308 | 114 | |
AZZ Inc. | 2,328 | 110 | |
Universal Forest Products Inc. | 3,600 | 110 | |
* | Exponent Inc. | 2,603 | 110 |
Insperity Inc. | 4,336 | 108 | |
Badger Meter Inc. | 2,812 | 99 | |
G&K Services Inc. Class A | 3,478 | 98 | |
Arkansas Best Corp. | 4,721 | 98 | |
National Presto Industries Inc. | 983 | 95 | |
* | Navigant Consulting Inc. | 9,701 | 92 |
Quanex Building | |||
Products Corp. | 6,971 | 90 | |
John Bean Technologies Corp. | 5,416 | 86 | |
Encore Wire Corp. | 3,652 | 82 | |
Viad Corp. | 3,898 | 80 | |
* | Aerovironment Inc. | 2,762 | 79 |
Kelly Services Inc. Class A | 5,182 | 79 | |
* | Griffon Corp. | 8,954 | 78 |
Cascade Corp. | 1,785 | 76 |
Market | |||
Value• | |||
Shares | ($000) | ||
Heidrick & Struggles | |||
International Inc. | 3,423 | 71 | |
Tredegar Corp. | 4,243 | 71 | |
* | Consolidated Graphics Inc. | 1,807 | 70 |
Standex International Corp. | 2,316 | 67 | |
Comfort Systems USA Inc. | 7,044 | 67 | |
Federal Signal Corp. | 11,550 | 63 | |
* | Powell Industries Inc. | 1,669 | 62 |
AAON Inc. | 3,278 | 57 | |
* | On Assignment Inc. | 6,999 | 53 |
* | Gibraltar Industries Inc. | 5,784 | 51 |
* | GenCorp Inc. | 11,239 | 50 |
Apogee Enterprises Inc. | 5,326 | 50 | |
* | Dolan Co. | 5,823 | 49 |
Vicor Corp. | 3,867 | 44 | |
* | Lydall Inc. | 3,353 | 37 |
* | Orion Marine Group Inc. | 5,482 | 35 |
* | School Specialty Inc. | 3,394 | 32 |
* | NCI Building Systems Inc. | 3,065 | 30 |
CDI Corp. | 2,376 | 27 | |
Lawson Products Inc. | 930 | 16 | |
Standard Register Co. | 3,798 | 11 | |
12,982 | |||
Information Technology (18.2%) | |||
Anixter International Inc. | 5,393 | 318 | |
* | CACI International Inc. | ||
Class A | 5,664 | 312 | |
* | Wright Express Corp. | 7,263 | 306 |
* | GT Advanced | ||
Technologies Inc. | 23,673 | 289 | |
* | CommVault Systems Inc. | 8,281 | 281 |
* | Viasat Inc. | 7,850 | 279 |
* | Veeco Instruments Inc. | 7,647 | 278 |
j2 Global Communications Inc. | 8,647 | 276 | |
* | Progress Software Corp. | 12,604 | 263 |
* | Hittite Microwave Corp. | 4,715 | 256 |
* | Arris Group Inc. | 23,273 | 254 |
* | Microsemi Corp. | 16,245 | 252 |
Cognex Corp. | 7,796 | 249 | |
MAXIMUS Inc. | 6,525 | 241 | |
* | TriQuint Semiconductor Inc. | 30,880 | 234 |
* | FEI Co. | 7,276 | 233 |
* | Cymer Inc. | 5,739 | 232 |
MKS Instruments Inc. | 9,828 | 228 | |
* | Take-Two Interactive | ||
Software Inc. | 16,301 | 216 | |
* | JDA Software Group Inc. | 7,957 | 210 |
Blackbaud Inc. | 8,147 | 204 | |
* | Taleo Corp. Class A | 7,723 | 199 |
Littelfuse Inc. | 4,275 | 198 | |
* | Netgear Inc. | 6,883 | 191 |
* | MicroStrategy Inc. Class A | 1,551 | 191 |
* | Cirrus Logic Inc. | 12,532 | 190 |
* | Plexus Corp. | 6,685 | 178 |
* | Cabot Microelectronics Corp. | 4,423 | 176 |
15
S&P Small-Cap 600 Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
Power Integrations Inc. | 5,444 | 175 | |
* | Insight Enterprises Inc. | 8,910 | 168 |
* | Synaptics Inc. | 6,494 | 159 |
Heartland Payment | |||
Systems Inc. | 7,248 | 156 | |
* | Scansource Inc. | 5,009 | 155 |
* | Websense Inc. | 7,528 | 155 |
* | Benchmark Electronics Inc. | 11,418 | 155 |
* | Rogers Corp. | 3,003 | 150 |
* | RightNow Technologies Inc. | 4,537 | 149 |
* | Sourcefire Inc. | 5,348 | 148 |
* | Bottomline Technologies Inc. | 6,416 | 147 |
* | Manhattan Associates Inc. | 4,091 | 146 |
* | DealerTrack Holdings Inc. | 7,731 | 145 |
* | Cardtronics Inc. | 5,773 | 143 |
* | OSI Systems Inc. | 3,559 | 138 |
* | Diodes Inc. | 6,898 | 138 |
Comtech | |||
Telecommunications Corp. | 4,897 | 136 | |
* | Tessera Technologies Inc. | 9,613 | 135 |
* | Synchronoss | ||
Technologies Inc. | 4,771 | 130 | |
* | Brightpoint Inc. | 13,097 | 125 |
* | Rofin-Sinar Technologies Inc. | 5,348 | 124 |
* | Tyler Technologies Inc. | 4,813 | 121 |
* | Blue Coat Systems Inc. | 8,241 | 121 |
* | SYNNEX Corp. | 4,567 | 120 |
* | Brooks Automation Inc. | 12,536 | 119 |
* | Ebix Inc. | 7,198 | 118 |
* | FARO Technologies Inc. | 3,091 | 117 |
* | Kulicke & Soffa | ||
Industries Inc. | 13,483 | 117 | |
* | Ceva Inc. | 4,382 | 117 |
* | Checkpoint Systems Inc. | 7,627 | 116 |
MTS Systems Corp. | 2,986 | 108 | |
* | LivePerson Inc. | 8,892 | 105 |
* | DTS Inc. | 3,354 | 103 |
* | ATMI Inc. | 5,853 | 100 |
* | Ultratech Inc. | 4,833 | 99 |
* | DG FastChannel Inc. | 4,426 | 97 |
* | LogMeIn Inc. | 3,062 | 96 |
Park Electrochemical Corp. | 3,847 | 95 | |
Micrel Inc. | 9,345 | 95 | |
* | Netscout Systems Inc. | 6,838 | 94 |
* | TeleTech Holdings Inc. | 5,242 | 93 |
Forrester Research Inc. | 2,742 | 92 | |
* | Tekelec | 12,806 | 92 |
* | Volterra Semiconductor Corp. | 4,545 | 92 |
* | Stratasys Inc. | 3,973 | 92 |
United Online Inc. | 16,614 | 90 | |
* | Standard Microsystems Corp. | 4,274 | 90 |
* | TTM Technologies Inc. | 8,040 | 90 |
* | Harmonic Inc. | 18,780 | 89 |
* | Newport Corp. | 6,886 | 89 |
Market | |||
Value• | |||
Shares | ($000) | ||
* | CSG Systems | ||
International Inc. | 6,464 | 86 | |
* | Interactive Intelligence Group | 2,586 | 84 |
Black Box Corp. | 3,333 | 82 | |
* | Monolithic Power | ||
Systems Inc. | 6,281 | 79 | |
* | Mercury Computer | ||
Systems Inc. | 5,683 | 79 | |
* | Liquidity Services Inc. | 3,289 | 79 |
* | comScore Inc. | 4,755 | 76 |
EPIQ Systems Inc. | 6,041 | 76 | |
* | Advanced Energy | ||
Industries Inc. | 7,348 | 73 | |
* | Super Micro Computer Inc. | 4,950 | 68 |
* | Electro Scientific | ||
Industries Inc. | 4,453 | 67 | |
Methode Electronics Inc. | 6,835 | 67 | |
* | Oplink Communications Inc. | 3,965 | 66 |
* | Intermec Inc. | 8,869 | 65 |
* | Infospace Inc. | 6,796 | 65 |
iGate Corp. | 5,706 | 64 | |
Daktronics Inc. | 6,547 | 63 | |
* | Monotype Imaging | ||
Holdings Inc. | 5,342 | 63 | |
* | Entropic Communications Inc. | 13,694 | 62 |
CTS Corp. | 6,387 | 61 | |
* | Digi International Inc. | 4,772 | 60 |
* | Avid Technology Inc. | 5,674 | 56 |
* | XO Group Inc. | 5,993 | 54 |
* | Nanometrics Inc. | 3,311 | 53 |
* | Exar Corp. | 8,655 | 52 |
Cohu Inc. | 4,569 | 51 | |
* | Perficient Inc. | 5,739 | 51 |
* | Supertex Inc. | 2,538 | 50 |
* | Kopin Corp. | 12,630 | 48 |
* | Symmetricom Inc. | 8,525 | 47 |
* | Virtusa Corp. | 2,946 | 46 |
Stamps.com Inc. | 2,217 | 44 | |
* | Sigma Designs Inc. | 5,361 | 43 |
* | Ciber Inc. | 12,908 | 42 |
* | Rubicon Technology Inc. | 3,261 | 42 |
* | Rudolph Technologies Inc. | 6,112 | 42 |
Bel Fuse Inc. Class B | 2,370 | 41 | |
* | Radisys Corp. | 5,353 | 40 |
* | Pericom Semiconductor Corp. | 5,116 | 40 |
* | Intevac Inc. | 4,667 | 38 |
* | Agilysys Inc. | 3,809 | 34 |
Pulse Electronics Corp. | 8,864 | 30 | |
* | THQ Inc. | 14,491 | 28 |
* | DSP Group Inc. | 4,240 | 27 |
* | PC-Tel Inc. | 3,713 | 24 |
* | NCI Inc. Class A | 1,433 | 23 |
* | Novatel Wireless Inc. | 5,773 | 19 |
* | Network Equipment | ||
Technologies Inc. | 7,128 | 18 |
16
S&P Small-Cap 600 Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
* | Smith Micro Software Inc. | 8,194 | 16 |
* | LoJack Corp. | 4,420 | 14 |
15,376 | |||
Materials (5.2%) | |||
Arch Chemicals Inc. | 4,782 | 224 | |
Balchem Corp. | 5,427 | 224 | |
PolyOne Corp. | 17,562 | 222 | |
HB Fuller Co. | 9,293 | 206 | |
Buckeye Technologies Inc. | 7,501 | 204 | |
Texas Industries Inc. | 5,266 | 188 | |
* | OM Group Inc. | 5,831 | 184 |
Schweitzer-Mauduit | |||
International Inc. | 3,029 | 182 | |
* | Calgon Carbon Corp. | 10,620 | 168 |
Eagle Materials Inc. | 8,366 | 165 | |
* | Clearwater Paper Corp. | 4,333 | 160 |
* | RTI International Metals Inc. | 5,779 | 154 |
Kaiser Aluminum Corp. | 2,791 | 145 | |
* | Kraton Performance | ||
Polymers Inc. | 5,998 | 144 | |
AMCOL International Corp. | 4,760 | 138 | |
Haynes International Inc. | 2,313 | 134 | |
* | Century Aluminum Co. | 10,680 | 130 |
* | LSB Industries Inc. | 3,252 | 130 |
Koppers Holdings Inc. | 3,898 | 130 | |
Deltic Timber Corp. | 2,075 | 121 | |
* | Materion Corp. | 3,909 | 112 |
Stepan Co. | 1,448 | 110 | |
A Schulman Inc. | 5,893 | 107 | |
* | KapStone Paper and | ||
Packaging Corp. | 7,077 | 106 | |
* | STR Holdings Inc. | 7,713 | 87 |
Quaker Chemical Corp. | 2,330 | 78 | |
Zep Inc. | 4,072 | 72 | |
Myers Industries Inc. | 6,523 | 71 | |
Wausau Paper Corp. | 9,179 | 61 | |
Hawkins Inc. | 1,602 | 58 | |
Neenah Paper Inc. | 2,856 | 50 | |
American Vanguard Corp. | 3,905 | 47 | |
* | AM Castle & Co. | 3,375 | 41 |
Olympic Steel Inc. | 1,857 | 38 | |
* | Headwaters Inc. | 12,864 | 28 |
4,419 | |||
Telecommunication Services (0.6%) | |||
* | Cincinnati Bell Inc. | 38,135 | 129 |
NTELOS Holdings Corp. | 5,513 | 108 | |
* | Neutral Tandem Inc. | 5,901 | 70 |
* | General Communication Inc. | ||
Class A | 7,144 | 64 |
Market | ||
Value• | ||
Shares | ($000) | |
USA Mobility Inc. | 4,131 | 63 |
* Cbeyond Inc. | 6,173 | 57 |
Atlantic Tele-Network Inc. | 1,712 | 57 |
548 | ||
Utilities (4.4%) | ||
Piedmont Natural | ||
Gas Co. Inc. | 13,535 | 418 |
New Jersey Resources Corp. | 7,781 | 367 |
UIL Holdings Corp. | 9,502 | 323 |
Southwest Gas Corp. | 8,621 | 319 |
South Jersey Industries Inc. | 5,634 | 290 |
Avista Corp. | 10,837 | 275 |
El Paso Electric Co. | 7,919 | 274 |
Unisource Energy Corp. | 6,901 | 261 |
NorthWestern Corp. | 6,818 | 231 |
Allete Inc. | 5,875 | 230 |
Northwest Natural Gas Co. | 5,016 | 227 |
Laclede Group Inc. | 4,214 | 167 |
CH Energy Group Inc. | 2,923 | 164 |
American States Water Co. | 3,559 | 127 |
Central Vermont Public | ||
Service Corp. | 2,505 | 87 |
3,760 | ||
Total Investments (99.9%) | ||
(Cost $93,147) | 84,600 | |
Other Assets and Liabilities (0.1%) | ||
Other Assets | 6,609 | |
Liabilities | (6,544) | |
65 | ||
Net Assets (100%) | 84,665 | |
Statement of Assets and Liabilities | ||
Assets | ||
Investments in Securities, at Value | 84,600 | |
Receivables for Investment | ||
Securities Sold | 6,399 | |
Other Assets | 210 | |
Total Assets | 91,209 | |
Liabilities | ||
Payables for Investment | ||
Securities Purchased | 6,536 | |
Other Liabilities | 8 | |
Total Liabilities | 6,544 | |
Net Assets | 84,665 |
17
S&P Small-Cap 600 Index Fund
At August 31, 2011, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 94,442 |
Undistributed Net Investment Income | 341 |
Accumulated Net Realized Losses | (1,571) |
Unrealized Appreciation (Depreciation) | (8,547) |
Net Assets | 84,665 |
Institutional Shares—Net Assets | |
Applicable to 617,147 outstanding $.001 | |
par value shares of beneficial interest | |
(unlimited authorization) | 72,897 |
Net Asset Value Per Share— | |
Institutional Shares | $118.12 |
ETF Shares—Net Assets | |
Applicable to 200,000 outstanding $.001 | |
par value shares of beneficial interest | |
(unlimited authorization) | 11,768 |
Net Asset Value Per Share— | |
ETF Shares | $58.84 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
See accompanying Notes, which are an integral part of the Financial Statements.
18
S&P Small-Cap 600 Index Fund
Statement of Operations
September 7, 20101 to | |
August 31, 2011 | |
($000) | |
Investment Income | |
Income | |
Dividends | 445 |
Total Income | 445 |
Expenses | |
The Vanguard Group—Note B | |
Management and Administrative—Institutional Shares | 4 |
Management and Administrative—ETF Shares | 7 |
Custodian Fees | 19 |
Auditing Fees | 7 |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—ETF Shares | 1 |
Total Expenses | 38 |
Net Investment Income | 407 |
Realized Net Gain (Loss) on Investment Securities Sold | (403) |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | (8,547) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (8,543) |
1 Inception. |
See accompanying Notes, which are an integral part of the Financial Statements.
19
S&P Small-Cap 600 Index Fund
Statement of Changes in Net Assets
September 7, | |
20101 to | |
August 31, | |
2011 | |
($000) | |
Increase (Decrease) in Net Assets | |
Operations | |
Net Investment Income | 407 |
Realized Net Gain (Loss) | (403) |
Change in Unrealized Appreciation (Depreciation) | (8,547) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (8,543) |
Distributions | |
Net Investment Income | |
Institutional Shares | — |
ETF Shares | (36) |
Realized Capital Gain | |
Institutional Shares | — |
ETF Shares | — |
Total Distributions | (36) |
Capital Share Transactions | |
Institutional Shares | 81,749 |
ETF Shares | 11,495 |
Net Increase (Decrease) from Capital Share Transactions | 93,244 |
Total Increase (Decrease) | 84,665 |
Net Assets | |
Beginning of Period | — |
End of Period2 | 84,665 |
1 Inception. | |
2 Net Assets—End of Period includes undistributed net investment income of $341,000 |
See accompanying Notes, which are an integral part of the Financial Statements.
20
S&P Small-Cap 600 Index Fund
Financial Highlights
Institutional Shares | |
April 1, 20111, to | |
For a Share Outstanding Throughout the Period | August 31, 2011 |
Net Asset Value, Beginning of Period | $132.94 |
Investment Operations | |
Net Investment Income | .290 |
Net Realized and Unrealized Gain (Loss) on Investments | (15.110) |
Total from Investment Operations | (14.820) |
Distributions | |
Dividends from Net Investment Income | — |
Distributions from Realized Capital Gains | — |
Total Distributions | — |
Net Asset Value, End of Period | $118.12 |
Total Return | –11.15% |
Ratios/Supplemental Data | |
Net Assets, End of Period (Millions) | $73 |
Ratio of Total Expenses to Average Net Assets | 0.08%2 |
Ratio of Net Investment Income to Average Net Assets | 1.03%2 |
Portfolio Turnover Rate3 | 42% |
1 Inception—See Notes to Financial Statements.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
21
S&P Small-Cap 600 Index Fund
Financial Highlights
ETF Shares | |
September 7, 20101, to | |
For a Share Outstanding Throughout the Period | August 31, 2011 |
Net Asset Value, Beginning of Period | $49.81 |
Investment Operations | |
Net Investment Income | .605 |
Net Realized and Unrealized Gain (Loss) on Investments | 8.785 |
Total from Investment Operations | 9.390 |
Distributions | |
Dividends from Net Investment Income | (.360) |
Distributions from Realized Capital Gains | — |
Total Distributions | (.360) |
Net Asset Value, End of Period | $58.84 |
Total Return | 18.81% |
Ratios/Supplemental Data | |
Net Assets, End of Period (Millions) | $12 |
Ratio of Total Expenses to Average Net Assets | 0.15%2 |
Ratio of Net Investment Income to Average Net Assets | 0.96%2 |
Portfolio Turnover Rate3 | 42% |
1 Inception—See Notes to Financial Statements.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
22
S&P Small-Cap 600 Index Fund
Notes to Financial Statements
Vanguard S&P Small-Cap 600 Index 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 ETF Shares. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. Institutional Shares were first issued on December 15, 2010; the sole shareholder redeemed shortly thereafter. Institutional Shares were next issued on April 1, 2011. The Financial Highlights included in these financial statements are based on the activity of the Institutional Shares since April 1, 2011. ETF Shares were first issued on September 7, 2010, and first offered to the public on September 9, 2010. ETF Shares are listed for trading on the NYSE Arca, Inc.; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Federal Income Taxes: The fund intends to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for its open federal income tax period ended August 31, 2011, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
3. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
4. Other: Dividend income is recorded on the ex-dividend date. 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 August 31, 2011, the fund had contributed capital of $15,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 0.01% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
23
S&P Small-Cap 600 Index Fund
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
At August 31, 2011, 100% of the fund’s market value was valued based on Level 1 inputs.
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the period ended August 31, 2011, the fund realized $1,156,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund used a tax accounting practice to treat a portion of the price of capital shares redeemed during the period as distributions from net investment income and realized capital gains. Accordingly, the fund has reclassified $30,000 from undistributed net investment income, and $12,000 from accumulated net realized losses, to paid-in capital.
For tax purposes, at August 31, 2011, the fund had $341,000 of ordinary income available for distribution. The fund realized losses of $1,407,000 during the period from November 1, 2010, through August 31, 2011, which are deferred and will be treated as realized for tax purposes in fiscal 2012.
At August 31, 2011, the cost of investment securities for tax purposes was $93,312,000. Net unrealized depreciation of investment securities for tax purposes was $8,712,000, consisting of unrealized gains of $2,393,000 on securities that had risen in value since their purchase and $11,105,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the period ended August 31, 2011, the fund purchased $119,722,000 of investment securities and sold $26,167,000 of investment securities, other than temporary cash investments.
24
S&P Small-Cap 600 Index Fund
F. Capital share transactions for each class of shares were:
Inception1 to | ||
August 31, 2011 | ||
Amount | Shares | |
($000) | (000) | |
Institutional Shares | ||
Issued | 88,037 | 667 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (6,288) | (50) |
Net Increase (Decrease)—Institutional Shares | 81,749 | 617 |
ETF Shares | ||
Issued | 20,131 | 350 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (8,636) | (150) |
Net Increase (Decrease)—ETF Shares | 11,495 | 200 |
1 Inception was September 7, 2010, for ETF Shares. Institutional Shares were first issued on December 15, 2010; the sole shareholder redeemed shortly thereafter. Institutional Shares were next issued on April 1, 2011. The table reflects all Institutional Shares transactions beginning December 15, 2010.
G. In preparing the financial statements as of August 31, 2011, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
25
S&P Small-Cap 600 Value Index Fund
Fund Profile
As of August 31, 2011
Portfolio Characteristics | |||
Target | Broad | ||
Fund | Index1 | Index2 | |
Number of Stocks | 435 | 434 | 3,716 |
Median Market Cap | $1.0B | $1.0B | $30.4B |
Price/Earnings Ratio | 19.5x | 19.5x | 14.7x |
Price/Book Ratio | 1.3x | 1.3x | 2.0x |
Yield3 | 1.6% | 1.6% | 2.0% |
Return on Equity | 8.5% | 8.5% | 19.0% |
Earnings Growth Rate | –1.0% | –1.0% | 7.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 70% | — | — |
Expense Ratio4 | 0.20% | — | — |
Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure) | |||
Target | Broad | ||
Fund | Index1 | Index2 | |
Consumer Discretionary 12.2% | 12.2% | 12.3% | |
Consumer Staples | 3.9 | 3.9 | 10.5 |
Energy | 5.4 | 5.4 | 10.8 |
Financials | 24.7 | 24.7 | 14.8 |
Health Care | 5.7 | 5.7 | 11.4 |
Industrials | 21.4 | 21.4 | 11.0 |
Information Technology 12.3 | 12.3 | 18.7 | |
Materials | 6.2 | 6.2 | 4.4 |
Telecommunication | |||
Services | 0.6 | 0.6 | 2.6 |
Utilities | 7.6 | 7.6 | 3.5 |
Ten Largest Holdings5 (% of total net assets) | ||
World Fuel | Oil & Gas | |
Services Corp. | Refining & | |
Marketing | 1.2% | |
ProAssurance Corp. | Property & | |
Casualty Insurance | 1.0 | |
Teledyne | Aerospace & | |
Technologies Inc. | Defense | 0.9 |
New Jersey | ||
Resources Corp. | Gas Utilities | 0.9 |
Moog Inc. Class A | Aerospace & | |
Defense | 0.8 | |
Mueller Industries Inc. | Industrial | |
Machinery | 0.8 | |
UIL Holdings Corp. | Electric Utilities | 0.8 |
Casey’s General | ||
Stores Inc. | Food Retail | 0.8 |
Southwest Gas Corp. | Gas Utilities | 0.8 |
Anixter International Inc. | Technology | |
Distributors | 0.7 | |
Top Ten | 8.7% |
Investment Focus
1 S&P SmallCap 600 Value Index.
2 Dow Jones U.S. Total Stock Market Index.
3 30–day SEC yield for the fund; annualized dividend yield for the indexes. See the Glossary.
4 The expense ratio shown is from the prospectus dated September 7, 2010, and represents estimated costs for the current fiscal year. For the period from inception through August 31, 2011, the annualized expense ratio was 0.20%.
5 The holdings listed exclude any temporary cash investments and equity index products.
26
S&P Small-Cap 600 Value Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: September 7, 2010–August 31, 2011
Initial Investment of $10,000
Total Returns | ||
Period Ended August 31, 2011 | Final Value | |
Since | of a $10,000 | |
Inception1 | Investment | |
S&P Small-Cap 600 Value Index Fund ETF Shares Net Asset Value | 14.52% | $11,452 |
S&P Small-Cap 600 Value Index Fund ETF Shares Market Price | 14.47 | 11,447 |
Dow Jones U.S. Total Stock Market Index | 14.40 | 11,440 |
S&P SmallCap 600 Value Index | 14.71 | 11,471 |
Small-Cap Value Funds Average2 | 13.01 | 11,301 |
Cumulative Returns: ETF Shares, September 7, 2010—August 31, 2011
Cumulative | |
Since | |
Inception | |
S&P Small-Cap 600 Value Index Fund ETF Shares Market Price | 14.47% |
S&P Small-Cap 600 Value Index Fund ETF Shares Net Asset Value | 14.52 |
S&P SmallCap 600 Value Index | 14.71 |
1 September 7, 2010.
2 Derived from data provided by Lipper Inc.
See Financial Highlights for dividend and capital gains information.
27
S&P Small-Cap 600 Value Index Fund
Fiscal-Period Total Returns (%): September 7, 2010, Through August 31, 2011
Total Returns: Period Ended June 30, 2011
This table presents total returns through the latest calendar quarter—rather than through the end of the fiscal period. Securities and Exchange Commission rules require that we provide this information.
Since | ||
Inception Date | Inception | |
ETF Shares | 9/7/2010 | |
Market Price | 26.42% | |
Net Asset Value | 27.86 |
28
S&P Small-Cap 600 Value Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2011
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | |||
Value• | |||
Shares | ($000) | ||
Common Stocks (100.1%) | |||
Consumer Discretionary (12.2%) | |||
* | Live Nation Entertainment Inc. | 9,915 | 92 |
Pool Corp. | 3,053 | 79 | |
Group 1 Automotive Inc. | 1,526 | 64 | |
* | Jack in the Box Inc. | 2,934 | 61 |
* | Helen of Troy Ltd. | 1,960 | 59 |
Wolverine World Wide Inc. | 1,343 | 49 | |
* | Vitamin Shoppe Inc. | 1,036 | 46 |
Hillenbrand Inc. | 2,169 | 44 | |
Brunswick Corp. | 2,767 | 44 | |
Men’s Wearhouse Inc. | 1,458 | 42 | |
* | Childrens Place | ||
Retail Stores Inc. | 882 | 38 | |
* | Meritage Homes Corp. | 2,013 | 38 |
Stage Stores Inc. | 2,274 | 37 | |
* | Skechers U.S.A. Inc. Class A | 2,229 | 36 |
* | Quiksilver Inc. | 8,218 | 34 |
* | Genesco Inc. | 644 | 34 |
* | Ruby Tuesday Inc. | 4,045 | 34 |
* | OfficeMax Inc. | 5,341 | 33 |
PEP Boys–Manny Moe & Jack | 3,329 | 33 | |
Sonic Automotive Inc. Class A | 2,246 | 31 | |
Ethan Allen Interiors Inc. | 1,789 | 31 | |
* | Pinnacle Entertainment Inc. | 2,198 | 30 |
* | Red Robin Gourmet | ||
Burgers Inc. | 964 | 30 | |
* | La-Z-Boy Inc. | 3,284 | 29 |
Fred’s Inc. Class A | 2,489 | 28 | |
Lithia Motors Inc. Class A | 1,391 | 26 | |
Drew Industries Inc. | 1,219 | 24 | |
HOT Topic Inc. | 2,844 | 24 | |
Callaway Golf Co. | 4,094 | 23 | |
Brown Shoe Co. Inc. | 2,755 | 23 | |
* | Sonic Corp. | 2,437 | 23 |
Finish Line Inc. Class A | 1,100 | 22 | |
* | Boyd Gaming Corp. | 3,485 | 22 |
* | Liz Claiborne Inc. | 4,044 | 21 |
Blyth Inc. | 348 | 20 | |
Harte-Hanks Inc. | 2,484 | 20 | |
* | Jakks Pacific Inc. | 1,081 | 18 |
Market | |||
Value• | |||
Shares | ($000) | ||
Cato Corp. Class A | 717 | 18 | |
* | Papa John’s International Inc. | 580 | 17 |
Standard Motor Products Inc. | 1,266 | 17 | |
Superior Industries | |||
International Inc. | 933 | 16 | |
* | Standard Pacific Corp. | 6,126 | 16 |
Movado Group Inc. | 1,123 | 15 | |
Oxford Industries Inc. | 422 | 15 | |
* | Select Comfort Corp. | 897 | 14 |
Haverty Furniture Cos. Inc. | 1,201 | 14 | |
* | Winnebago Industries Inc. | 1,809 | 14 |
Marcus Corp. | 1,402 | 14 | |
* | Shuffle Master Inc. | 1,513 | 13 |
* | Rue21 Inc. | 502 | 13 |
* | Arctic Cat Inc. | 795 | 12 |
Stein Mart Inc. | 1,732 | 12 | |
* | Corinthian Colleges Inc. | 5,256 | 12 |
Nutrisystem Inc. | 854 | 11 | |
Christopher & Banks Corp. | 2,224 | 11 | |
* | Ruth’s Hospitality Group Inc. | 1,924 | 10 |
* | EW Scripps Co. Class A | 1,187 | 10 |
* | MarineMax Inc. | 1,445 | 10 |
* | M/I Homes Inc. | 1,163 | 10 |
Spartan Motors Inc. | 2,066 | 9 | |
* | K-Swiss Inc. Class A | 1,694 | 9 |
* | Tuesday Morning Corp. | 2,255 | 9 |
* | Multimedia Games | ||
Holding Co. Inc. | 1,671 | 8 | |
* | Perry Ellis International Inc. | 344 | 8 |
* | Audiovox Corp. Class A | 1,162 | 7 |
* | Midas Inc. | 883 | 7 |
* | O’Charleys Inc. | 1,173 | 7 |
* | Zale Corp. | 1,440 | 6 |
Lincoln Educational | |||
Services Corp. | 505 | 5 | |
Big 5 Sporting Goods Corp. | 641 | 5 | |
* | Monarch Casino & Resort Inc. | 456 | 5 |
* | Coldwater Creek Inc. | 3,737 | 4 |
Skyline Corp. | 291 | 3 | |
1,728 |
29
S&P Small-Cap 600 Value Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
Consumer Staples (3.9%) | |||
Casey’s General Stores Inc. | 2,402 | 108 | |
* | Hain Celestial Group Inc. | 1,684 | 53 |
* | United Natural Foods Inc. | 1,219 | 50 |
Sanderson Farms Inc. | 1,184 | 46 | |
Diamond Foods Inc. | 555 | 44 | |
Snyders-Lance Inc. | 1,478 | 33 | |
Nash Finch Co. | 771 | 25 | |
* | Central Garden and Pet Co. | ||
Class A | 3,099 | 24 | |
B&G Foods Inc. Class A | 1,281 | 23 | |
Spartan Stores Inc. | 1,438 | 23 | |
Andersons Inc. | 569 | 23 | |
WD-40 Co. | 497 | 21 | |
* | Prestige Brands Holdings Inc. | 1,893 | 20 |
J&J Snack Foods Corp. | 376 | 19 | |
* | Alliance One International Inc. | 5,576 | 18 |
* | Seneca Foods Corp. Class A | 568 | 13 |
Cal-Maine Foods Inc. | 309 | 10 | |
553 | |||
Energy (5.4%) | |||
World Fuel Services Corp. | 4,472 | 166 | |
Bristow Group Inc. | 2,299 | 101 | |
Lufkin Industries Inc. | 872 | 54 | |
* | Swift Energy Co. | 1,687 | 52 |
* | Tetra Technologies Inc. | 4,773 | 49 |
* | Pioneer Drilling Co. | 3,800 | 48 |
SEACOR Holdings Inc. | 451 | 40 | |
* | Stone Energy Corp. | 1,333 | 35 |
* | Hornbeck Offshore | ||
Services Inc. | 1,438 | 35 | |
* | ION Geophysical Corp. | 4,938 | 35 |
* | Basic Energy Services Inc. | 1,130 | 25 |
Penn Virginia Corp. | 2,837 | 23 | |
* | Petroleum Development Corp. | 964 | 23 |
Gulf Island Fabrication Inc. | 892 | 22 | |
* | Matrix Service Co. | 1,694 | 18 |
* | Approach Resources Inc. | 903 | 17 |
* | Petroquest Energy Inc. | 2,046 | 16 |
* | OYO Geospace Corp. | 82 | 6 |
* | Georesources Inc. | 254 | 6 |
771 | |||
Financials (24.6%) | |||
* | ProAssurance Corp. | 1,933 | 140 |
Delphi Financial Group Inc. | 3,478 | 84 | |
BioMed Realty Trust Inc. | 4,407 | 81 | |
Northwest Bancshares Inc. | 6,720 | 80 | |
Kilroy Realty Corp. | 2,112 | 75 | |
Post Properties Inc. | 1,739 | 73 | |
FNB Corp. | 8,045 | 72 | |
Umpqua Holdings Corp. | 7,270 | 71 | |
Wintrust Financial Corp. | 2,217 | 70 | |
Home Properties Inc. | 1,042 | 70 | |
Mid-America Apartment | |||
Communities Inc. | 955 | 68 |
Market | |||
Value• | |||
Shares | ($000) | ||
Colonial Properties Trust | 3,177 | 67 | |
RLI Corp. | 1,048 | 66 | |
Entertainment | |||
Properties Trust | 1,511 | 64 | |
United Bankshares Inc. | 2,804 | 63 | |
LaSalle Hotel Properties | 3,337 | 63 | |
Extra Space Storage Inc. | 2,852 | 61 | |
* | Texas Capital Bancshares Inc. | 2,365 | 61 |
Old National Bancorp | 6,015 | 59 | |
Franklin Street | |||
Properties Corp. | 4,500 | 59 | |
Prospect Capital Corp. | 6,675 | 59 | |
National Retail Properties Inc. | 2,087 | 57 | |
Healthcare Realty Trust Inc. | 3,136 | 55 | |
Susquehanna Bancshares Inc. | 8,074 | 54 | |
Selective Insurance Group Inc. | 3,401 | 52 | |
Glacier Bancorp Inc. | 4,469 | 51 | |
UMB Financial Corp. | 1,188 | 46 | |
DiamondRock Hospitality Co. | 5,719 | 44 | |
NBT Bancorp Inc. | 2,168 | 44 | |
Sovran Self Storage Inc. | 1,064 | 43 | |
Interactive Brokers Group Inc. | 2,867 | 43 | |
First Midwest Bancorp Inc. | 4,632 | 41 | |
Columbia Banking | |||
System Inc. | 2,486 | 41 | |
Infinity Property & | |||
Casualty Corp. | 781 | 40 | |
National Penn | |||
Bancshares Inc. | 5,341 | 39 | |
Lexington Realty Trust | 5,199 | 38 | |
Safety Insurance Group Inc. | 957 | 37 | |
Community Bank System Inc. | 1,486 | 37 | |
* | Navigators Group Inc. | 778 | 35 |
PacWest Bancorp | 2,092 | 34 | |
Horace Mann Educators Corp. | 2,478 | 33 | |
First Financial Bankshares Inc. | 1,113 | 33 | |
Home Bancshares Inc. | 1,387 | 33 | |
PrivateBancorp Inc. Class A | 3,658 | 33 | |
Independent Bank Corp. | 1,354 | 32 | |
PS Business Parks Inc. | 583 | 32 | |
First Financial Bancorp | 1,987 | 32 | |
Brookline Bancorp Inc. | 3,735 | 31 | |
Boston Private Financial | |||
Holdings Inc. | 4,868 | 30 | |
EastGroup Properties Inc. | 730 | 30 | |
City Holding Co. | 966 | 29 | |
S&T Bancorp Inc. | 1,581 | 29 | |
Employers Holdings Inc. | 2,396 | 29 | |
* | Investment Technology | ||
Group Inc. | 2,563 | 29 | |
Medical Properties Trust Inc. | 2,689 | 29 | |
Provident Financial | |||
Services Inc. | 2,207 | 28 | |
Trustco Bank Corp. NY | 5,770 | 27 | |
* | Pinnacle Financial | ||
Partners Inc. | 2,121 | 27 |
30
S&P Small-Cap 600 Value Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
Inland Real Estate Corp. | 3,279 | 27 | |
Tower Group Inc. | 1,102 | 26 | |
First Commonwealth | |||
Financial Corp. | 5,865 | 26 | |
LTC Properties Inc. | 963 | 26 | |
Simmons First National Corp. | |||
Class A | 1,100 | 25 | |
United Fire & Casualty Co. | 1,350 | 24 | |
Oritani Financial Corp. | 1,854 | 24 | |
* | Piper Jaffray Cos. | 973 | 23 |
* | AMERISAFE Inc. | 1,171 | 23 |
Acadia Realty Trust | 1,052 | 22 | |
Meadowbrook Insurance | |||
Group Inc. | 2,341 | 22 | |
* | Financial Engines Inc. | 878 | 20 |
* | National Financial | ||
Partners Corp. | 1,522 | 19 | |
Parkway Properties Inc. | 1,366 | 19 | |
Pennsylvania Real Estate | |||
Investment Trust | 1,797 | 19 | |
Kite Realty Group Trust | 4,078 | 18 | |
* | Nara Bancorp Inc. | 2,437 | 17 |
Sterling Bancorp | 1,982 | 17 | |
Universal Health Realty | |||
Income Trust | 448 | 17 | |
Bank of the Ozarks Inc. | 662 | 15 | |
Presidential Life Corp. | 1,379 | 13 | |
Urstadt Biddle Properties Inc. | |||
Class A | 741 | 12 | |
* | United Community Banks Inc. | 1,193 | 12 |
Tompkins Financial Corp. | 316 | 12 | |
* | Wilshire Bancorp Inc. | 3,985 | 12 |
Dime Community | |||
Bancshares Inc. | 1,016 | 12 | |
Stewart Information | |||
Services Corp. | 1,251 | 12 | |
Cedar Shopping Centers Inc. | 2,988 | 11 | |
* | Forestar Group Inc. | 860 | 11 |
Getty Realty Corp. | 553 | 11 | |
Saul Centers Inc. | 288 | 10 | |
Calamos Asset | |||
Management Inc. Class A | 825 | 10 | |
* | Hanmi Financial Corp. | 9,396 | 9 |
Bank Mutual Corp. | 2,857 | 9 | |
SWS Group Inc. | 1,822 | 8 | |
* | Encore Capital Group Inc. | 238 | 6 |
* | First BanCorp | 1,324 | 5 |
3,487 | |||
Health Care (5.8%) | |||
* | Centene Corp. | 3,163 | 101 |
Invacare Corp. | 2,010 | 51 | |
West Pharmaceutical | |||
Services Inc. | 1,206 | 48 | |
* | Amsurg Corp. Class A | 1,968 | 45 |
* | CONMED Corp. | 1,783 | 42 |
Market | |||
Value• | |||
Shares | ($000) | ||
* | Hanger Orthopedic Group Inc. | 2,068 | 39 |
* | PSS World Medical Inc. | 1,609 | 38 |
* | Magellan Health Services Inc. | 692 | 35 |
* | Amedisys Inc. | 1,832 | 31 |
* | Molina Healthcare Inc. | 1,596 | 31 |
* | PharMerica Corp. | 1,860 | 27 |
* | Healthways Inc. | 2,110 | 27 |
* | Affymetrix Inc. | 4,482 | 25 |
Meridian Bioscience Inc. | 1,098 | 20 | |
* | Symmetry Medical Inc. | 2,327 | 19 |
* | Medicines Co. | 1,320 | 19 |
* | Medcath Corp. | 1,301 | 18 |
Analogic Corp. | 338 | 17 | |
* | Omnicell Inc. | 1,065 | 17 |
* | ICU Medical Inc. | 394 | 16 |
* | Merit Medical Systems Inc. | 1,083 | 16 |
* | Greatbatch Inc. | 647 | 14 |
* | Gentiva Health Services Inc. | 1,900 | 14 |
* | AMN Healthcare Services Inc. | 2,460 | 14 |
* | Emergent Biosolutions Inc. | 561 | 10 |
* | Cross Country Healthcare Inc. | 1,932 | 10 |
* | Cambrex Corp. | 1,827 | 9 |
* | Natus Medical Inc. | 757 | 8 |
* | eResearchTechnology Inc. | 1,422 | 7 |
* | SonoSite Inc. | 248 | 7 |
* | Savient Pharmaceuticals Inc. | 1,633 | 7 |
* | Palomar Medical | ||
Technologies Inc. | 840 | 7 | |
* | LHC Group Inc. | 333 | 7 |
Cantel Medical Corp. | 249 | 6 | |
* | CryoLife Inc. | 1,041 | 5 |
* | SurModics Inc. | 496 | 5 |
* | LCA-Vision Inc. | 748 | 2 |
814 | |||
Industrials (21.4%) | |||
* | Teledyne Technologies Inc. | 2,322 | 127 |
* | Moog Inc. Class A | 2,901 | 116 |
Mueller Industries Inc. | 2,395 | 113 | |
* | EMCOR Group Inc. | 4,154 | 95 |
Brady Corp. Class A | 3,345 | 92 | |
United Stationers Inc. | 2,913 | 92 | |
Curtiss-Wright Corp. | 2,940 | 90 | |
* | Geo Group Inc. | 4,108 | 88 |
Actuant Corp. Class A | 4,263 | 86 | |
Robbins & Myers Inc. | 1,728 | 83 | |
CLARCOR Inc. | 1,663 | 77 | |
Applied Industrial | |||
Technologies Inc. | 2,392 | 73 | |
Simpson | |||
Manufacturing Co. Inc. | 2,543 | 72 | |
Barnes Group Inc. | 2,868 | 66 | |
ABM Industries Inc. | 3,029 | 62 | |
AAR Corp. | 2,524 | 60 | |
Kaman Corp. | 1,669 | 57 |
31
S&P Small-Cap 600 Value Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
Watts Water | |||
Technologies Inc. Class A | 1,826 | 52 | |
Briggs & Stratton Corp. | 3,133 | 51 | |
* | Ceradyne Inc. | 1,548 | 49 |
Belden Inc. | 1,590 | 48 | |
Toro Co. | 836 | 46 | |
Kaydon Corp. | 1,333 | 45 | |
* | HUB Group Inc. Class A | 1,393 | 44 |
* | Astec Industries Inc. | 1,256 | 43 |
Skywest Inc. | 3,329 | 42 | |
* | Old Dominion Freight Line Inc. | 1,304 | 42 |
* | Insituform Technologies Inc. | ||
Class A | 2,453 | 41 | |
* | Dycom Industries Inc. | 2,147 | 39 |
Albany International Corp. | 1,754 | 38 | |
Universal Forest Products Inc. | 1,231 | 38 | |
AO Smith Corp. | 917 | 36 | |
* | Tetra Tech Inc. | 1,692 | 34 |
G&K Services Inc. Class A | 1,184 | 33 | |
Arkansas Best Corp. | 1,606 | 33 | |
* | Navigant Consulting Inc. | 3,260 | 31 |
Quanex Building | |||
Products Corp. | 2,305 | 30 | |
Knight Transportation Inc. | 1,957 | 30 | |
ESCO Technologies Inc. | 944 | 29 | |
Tennant Co. | 655 | 29 | |
Heartland Express Inc. | 1,834 | 28 | |
Interface Inc. Class A | 1,827 | 28 | |
* | Orbital Sciences Corp. | 1,741 | 27 |
Encore Wire Corp. | 1,207 | 27 | |
Kelly Services Inc. Class A | 1,757 | 27 | |
Viad Corp. | 1,295 | 27 | |
* | Mobile Mini Inc. | 1,370 | 26 |
* | Griffon Corp. | 2,954 | 26 |
Tredegar Corp. | 1,465 | 24 | |
Unifirst Corp. | 450 | 23 | |
Standex International Corp. | 795 | 23 | |
Comfort Systems USA Inc. | 2,412 | 23 | |
* | TrueBlue Inc. | 1,634 | 23 |
Heidrick & Struggles | |||
International Inc. | 1,105 | 23 | |
Forward Air Corp. | 787 | 22 | |
Federal Signal Corp. | 3,962 | 22 | |
* | Powell Industries Inc. | 568 | 21 |
CIRCOR International Inc. | 586 | 20 | |
* | SYKES Enterprises Inc. | 1,213 | 19 |
Insperity Inc. | 731 | 18 | |
* | On Assignment Inc. | 2,369 | 18 |
* | Gibraltar Industries Inc. | 1,890 | 17 |
Cascade Corp. | 389 | 17 | |
Apogee Enterprises Inc. | 1,744 | 16 | |
* | GenCorp Inc. | 3,648 | 16 |
Cubic Corp. | 366 | 15 | |
Badger Meter Inc. | 436 | 15 | |
* | Aerovironment Inc. | 517 | 15 |
AZZ Inc. | 276 | 13 |
Market | |||
Value• | |||
Shares | ($000) | ||
John Bean Technologies Corp. | 818 | 13 | |
* | Lydall Inc. | 1,117 | 12 |
* | School Specialty Inc. | 996 | 9 |
CDI Corp. | 809 | 9 | |
AAON Inc. | 443 | 8 | |
* | NCI Building Systems Inc. | 793 | 8 |
Lawson Products Inc. | 252 | 4 | |
Standard Register Co. | 844 | 2 | |
3,036 | |||
Information Technology (12.3%) | |||
Anixter International Inc. | 1,782 | 105 | |
* | CACI International Inc. | ||
Class A | 1,906 | 105 | |
* | Arris Group Inc. | 7,839 | 86 |
* | Insight Enterprises Inc. | 2,969 | 56 |
* | Scansource Inc. | 1,717 | 53 |
* | Benchmark Electronics Inc. | 3,860 | 52 |
Heartland Payment | |||
Systems Inc. | 2,426 | 52 | |
MKS Instruments Inc. | 2,072 | 48 | |
* | Cymer Inc. | 1,135 | 46 |
Comtech | |||
Telecommunications Corp. | 1,639 | 46 | |
* | FEI Co. | 1,414 | 45 |
* | Microsemi Corp. | 2,772 | 43 |
* | Brightpoint Inc. | 4,238 | 40 |
* | SYNNEX Corp. | 1,512 | 40 |
* | Brooks Automation Inc. | 4,169 | 39 |
* | Take-Two Interactive | ||
Software Inc. | 2,962 | 39 | |
* | Checkpoint Systems Inc. | 2,527 | 39 |
Cognex Corp. | 1,151 | 37 | |
* | Rogers Corp. | 657 | 33 |
* | Tekelec | 4,287 | 31 |
United Online Inc. | 5,606 | 30 | |
Black Box Corp. | 1,117 | 28 | |
* | Plexus Corp. | 948 | 25 |
EPIQ Systems Inc. | 2,002 | 25 | |
* | Rofin-Sinar Technologies Inc. | 1,079 | 25 |
* | Infospace Inc. | 2,357 | 23 |
Methode Electronics Inc. | 2,294 | 22 | |
* | ATMI Inc. | 1,289 | 22 |
* | Intermec Inc. | 2,952 | 22 |
Park Electrochemical Corp. | 860 | 21 | |
CTS Corp. | 2,188 | 21 | |
* | Digi International Inc. | 1,615 | 20 |
* | FARO Technologies Inc. | 523 | 20 |
* | Cabot Microelectronics Corp. | 496 | 20 |
* | DealerTrack Holdings Inc. | 1,026 | 19 |
MTS Systems Corp. | 511 | 18 | |
* | Tessera Technologies Inc. | 1,302 | 18 |
* | Standard Microsystems Corp. | 855 | 18 |
* | Avid Technology Inc. | 1,814 | 18 |
* | Ultratech Inc. | 837 | 17 |
* | Harmonic Inc. | 3,412 | 16 |
32
S&P Small-Cap 600 Value Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
* | Advanced Energy | ||
Industries Inc. | 1,543 | 15 | |
* | Electro Scientific | ||
Industries Inc. | 1,008 | 15 | |
* | LogMeIn Inc. | 476 | 15 |
* | Ciber Inc. | 4,425 | 15 |
* | Newport Corp. | 1,066 | 14 |
Bel Fuse Inc. Class B | 755 | 13 | |
Daktronics Inc. | 1,307 | 13 | |
Cohu Inc. | 1,077 | 12 | |
* | Agilysys Inc. | 1,276 | 12 |
* | TeleTech Holdings Inc. | 619 | 11 |
* | XO Group Inc. | 1,158 | 11 |
* | Supertex Inc. | 536 | 11 |
* | Super Micro Computer Inc. | 730 | 10 |
* | DSP Group Inc. | 1,532 | 10 |
* | THQ Inc. | 4,245 | 8 |
* | Rudolph Technologies Inc. | 1,160 | 8 |
* | PC-Tel Inc. | 1,152 | 7 |
* | Radisys Corp. | 960 | 7 |
* | Symmetricom Inc. | 1,311 | 7 |
* | Exar Corp. | 1,162 | 7 |
* | Intevac Inc. | 852 | 7 |
Pulse Electronics Corp. | 1,732 | 6 | |
* | Monotype Imaging | ||
Holdings Inc. | 469 | 6 | |
* | Pericom Semiconductor Corp. | 662 | 5 |
* | Sigma Designs Inc. | 592 | 5 |
* | NCI Inc. Class A | 195 | 3 |
* | Network Equipment | ||
Technologies Inc. | 1,064 | 3 | |
* | LoJack Corp. | 764 | 2 |
1,741 | |||
Materials (6.3%) | |||
Arch Chemicals Inc. | 1,612 | 76 | |
HB Fuller Co. | 3,136 | 69 | |
Texas Industries Inc. | 1,771 | 63 | |
* | Clearwater Paper Corp. | 1,450 | 53 |
Kaiser Aluminum Corp. | 935 | 48 | |
Eagle Materials Inc. | 1,907 | 38 | |
Stepan Co. | 494 | 37 | |
A Schulman Inc. | 1,948 | 36 | |
* | RTI International Metals Inc. | 1,223 | 33 |
Haynes International Inc. | 551 | 32 | |
PolyOne Corp. | 2,422 | 31 | |
* | Calgon Carbon Corp. | 1,857 | 29 |
* | Kraton Performance | ||
Polymers Inc. | 1,208 | 29 | |
* | Century Aluminum Co. | 2,223 | 27 |
* | OM Group Inc. | 847 | 27 |
Koppers Holdings Inc. | 781 | 26 | |
Zep Inc. | 1,396 | 25 | |
AMCOL International Corp. | 843 | 24 | |
Myers Industries Inc. | 2,248 | 24 | |
Deltic Timber Corp. | 393 | 23 |
Market | |||
Value• | |||
Shares | ($000) | ||
Wausau Paper Corp. | 3,140 | 21 | |
* | LSB Industries Inc. | 502 | 20 |
Neenah Paper Inc. | 959 | 17 | |
American Vanguard Corp. | 1,382 | 16 | |
* | STR Holdings Inc. | 1,419 | 16 |
* | Materion Corp. | 445 | 13 |
* | AM Castle & Co. | 1,045 | 13 |
Olympic Steel Inc. | 569 | 12 | |
* | Headwaters Inc. | 3,778 | 8 |
886 | |||
Telecommunication Services (0.6%) | |||
* | Cincinnati Bell Inc. | 12,512 | 42 |
NTELOS Holdings Corp. | 864 | 17 | |
USA Mobility Inc. | 873 | 13 | |
* | General Communication Inc. | ||
Class A | 995 | 9 | |
81 | |||
Utilities (7.6%) | |||
New Jersey Resources Corp. | 2,614 | 123 | |
UIL Holdings Corp. | 3,197 | 109 | |
Southwest Gas Corp. | 2,900 | 107 | |
Avista Corp. | 3,648 | 93 | |
Piedmont Natural Gas Co. Inc. | 2,916 | 90 | |
Unisource Energy Corp. | 2,323 | 88 | |
NorthWestern Corp. | 2,298 | 78 | |
Allete Inc. | 1,980 | 77 | |
Laclede Group Inc. | 1,411 | 56 | |
South Jersey Industries Inc. | 1,084 | 56 | |
CH Energy Group Inc. | 988 | 55 | |
El Paso Electric Co. | 1,457 | 50 | |
Northwest Natural Gas Co. | 1,074 | 49 | |
Central Vermont Public | |||
Service Corp. | 849 | 30 | |
American States Water Co. | 560 | 20 | |
1,081 | |||
Total Investments (100.1%) | |||
(Cost $14,274) | 14,178 | ||
Other Assets and Liabilities (–0.1%) | |||
Other Assets | 65 | ||
Liabilities | (73) | ||
(8) | |||
Net Assets (100%) | |||
Applicable to 250,000 outstanding | |||
$.001 par value shares of beneficial | |||
interest (unlimited authorization) | 14,170 | ||
Net Asset Value Per Share— | |||
ETF Shares | $56.68 |
33
S&P Small-Cap 600 Value Index Fund
At August 31, 2011, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 14,913 |
Undistributed Net Investment Income | 82 |
Accumulated Net Realized Losses | (729) |
Unrealized Appreciation (Depreciation) | (96) |
Net Assets | 14,170 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
See accompanying Notes, which are an integral part of the Financial Statements.
34
S&P Small-Cap 600 Value Index Fund
Statement of Operations
September 7, 20101 to | |
August 31, 2011 | |
($000) | |
Investment Income | |
Income | |
Dividends | 149 |
Total Income | 149 |
Expenses | |
The Vanguard Group—Note B | |
Management and Administrative | 7 |
Custodian Fees | 5 |
Auditing Fees | 7 |
Shareholders’ Reports | 1 |
Total Expenses | 20 |
Net Investment Income | 129 |
Realized Net Gain (Loss) on Investment Securities Sold | 319 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | (96) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 352 |
1 Inception. |
See accompanying Notes, which are an integral part of the Financial Statements.
35
S&P Small-Cap 600 Value Index Fund
Statement of Changes in Net Assets
September 7, | |
20101 to | |
August 31, | |
2011 | |
($000) | |
Increase (Decrease) in Net Assets | |
Operations | |
Net Investment Income | 129 |
Realized Net Gain (Loss) | 319 |
Change in Unrealized Appreciation (Depreciation) | (96) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 352 |
Distributions | |
Net Investment Income | |
Institutional Shares | — |
ETF Shares | (37) |
Realized Capital Gain | |
Institutional Shares | — |
ETF Shares | — |
Total Distributions | (37) |
Capital Share Transactions | |
Institutional Shares | (1) |
ETF Shares | 13,856 |
Net Increase (Decrease) from Capital Share Transactions | 13,855 |
Total Increase (Decrease) | 14,170 |
Net Assets | |
Beginning of Period | — |
End of Period2 | 14,170 |
1 Inception. | |
2 Net Assets—End of Period includes undistributed net investment income of $82,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
36
S&P Small-Cap 600 Value Index Fund
Financial Highlights
ETF Shares | |
September 7, 20101, to | |
For a Share Outstanding Throughout the Period | August 31, 2011 |
Net Asset Value, Beginning of Period | $49.79 |
Investment Operations | |
Net Investment Income | .741 |
Net Realized and Unrealized Gain (Loss) on Investments | 6.519 |
Total from Investment Operations | 7.260 |
Distributions | |
Dividends from Net Investment Income | (.370) |
Distributions from Realized Capital Gains | — |
Total Distributions | (.370) |
Net Asset Value, End of Period | $56.68 |
Total Return | 14.52% |
Ratios/Supplemental Data | |
Net Assets, End of Period (Millions) | $14 |
Ratio of Total Expenses to Average Net Assets | 0.20%2 |
Ratio of Net Investment Income to Average Net Assets | 1.32%2 |
Portfolio Turnover Rate3 | 70% |
1 Inception—See Notes to Financial Statements.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
37
S&P Small-Cap 600 Value Index Fund
Notes to Financial Statements
Vanguard S&P Small-Cap 600 Value Index 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 ETF Shares. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. Institutional Shares were first issued on December 15, 2010; the sole shareholder redeemed shortly thereafter. As of August 31, 2011, there were no investors in the Institutional share class. ETF Shares were first issued on September 7, 2010, and first offered to the public on September 9, 2010. ETF Shares are listed for trading on the NYSE Arca, Inc.; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Federal Income Taxes: The fund intends to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for its open federal income tax period ended August 31, 2011, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
3. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
4. Other: Dividend income is recorded on the ex-dividend date. 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.
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 August 31, 2011, the fund had contributed capital of $3,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 0.00% 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).
At August 31, 2011, 100% of the fund’s market value was valued based on Level 1 inputs.
38
S&P Small-Cap 600 Value Index Fund
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the period ended August 31, 2011, the fund realized $1,045,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund used a tax accounting practice to treat a portion of the price of capital shares redeemed during the period as distributions from net investment income and realized capital gains. Accordingly, the fund has reclassified $10,000 from undistributed net investment income, and $3,000 from accumulated net realized losses, to paid-in capital.
For tax purposes, at August 31, 2011, the fund had $82,000 of ordinary income available for distribution. The fund realized losses of $729,000 during the period from November 1, 2010, through August 31, 2011, which are deferred and will be treated as realized for tax purposes in fiscal 2012.
At August 31, 2011, the cost of investment securities for tax purposes was $14,274,000. Net unrealized depreciation of investment securities for tax purposes was $96,000, consisting of unrealized gains of $477,000 on securities that had risen in value since their purchase and $573,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the period ended August 31, 2011, the fund purchased $29,731,000 of investment securities and sold $15,772,000 of investment securities, other than temporary cash investments.
F. Capital share transactions for each class of shares were:
Inception1 to | ||
August 31, 2011 | ||
Amount | Shares | |
($000) | (000) | |
Institutional Shares | ||
Issued | 70 | 1 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (71) | (1) |
Net Increase (Decrease)—Institutional Shares | (1) | — |
ETF Shares | ||
Issued | 22,271 | 400 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (8,415) | (150) |
Net Increase (Decrease)—ETF Shares | 13,856 | 250 |
1 Inception was September 7, 2010, for ETF Shares. Institutional Shares were first issued on December 15, 2010; the sole shareholder redeemed shortly thereafter. As of August 31, 2011, there were no investors in the Institutional share class.
G. In preparing the financial statements as of August 31, 2011, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
39
S&P Small-Cap 600 Growth Index Fund
Fund Profile
As of August 31, 2011
Portfolio Characteristics | |||
Target | Broad | ||
Fund | Index1 | Index2 | |
Number of Stocks | 368 | 368 | 3,716 |
Median Market Cap | $1.2B | $1.2B | $30.4B |
Price/Earnings Ratio | 19.7x | 19.6x | 14.7x |
Price/Book Ratio | 2.3x | 2.3x | 2.0x |
Yield3 | 0.9% | 0.9% | 2.0% |
Return on Equity | 13.9% | 14.0% | 19.0% |
Earnings Growth Rate | 10.7% | 10.6% | 7.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 106% | — | — |
Expense Ratio4 | 0.20% | — | — |
Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure) | |||
Target | Broad | ||
Fund | Index1 | Index2 | |
Consumer Discretionary 17.7% | 17.7% | 12.3% | |
Consumer Staples | 4.9 | 4.9 | 10.5 |
Energy | 3.3 | 3.3 | 10.8 |
Financials | 16.0 | 16.0 | 14.8 |
Health Care | 18.5 | 18.5 | 11.4 |
Industrials | 9.3 | 9.3 | 11.0 |
Information Technology 24.1 | 24.1 | 18.7 | |
Materials | 4.2 | 4.2 | 4.4 |
Telecommunication | |||
Services | 0.7 | 0.7 | 2.6 |
Utilities | 1.3 | 1.3 | 3.5 |
Ten Largest Holdings5 (% of total net assets) | ||
Regeneron | ||
Pharmaceuticals Inc. | Biotechnology | 2.0% |
Healthspring Inc. | Managed | |
Health Care | 1.2 | |
Signature Bank | Regional Banks | 1.1 |
CROCS Inc. | Footwear | 1.1 |
Tanger Factory | ||
Outlet Centers | Retail REITs | 1.1 |
HMS Holdings Corp. | Health Care | |
Services | 1.0 | |
Cubist | ||
Pharmaceuticals Inc. | Biotechnology | 0.9 |
Darling International Inc. | Agricultural | |
Products | 0.9 | |
TreeHouse Foods Inc. | Packaged Foods | |
& Meats | 0.9 | |
Questcor | ||
Pharmaceuticals Inc. | Pharmaceuticals | 0.8 |
Top Ten | 11.0% |
Investment Focus
1 S&P SmallCap 600 Growth Index.
2 Dow Jones U.S. Total Stock Market Index.
3 30-day SEC yield for the fund; annualized dividend yield for the indexes. See the Glossary.
4 The expense ratio shown is from the prospectus dated September 7, 2010, and represents estimated costs for the current fiscal year. For the period from inception through August 31, 2011, the annualized expense ratio was 0.20%.
5 The holdings listed exclude any temporary cash investments and equity index products.
40
S&P Small-Cap 600 Growth Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: September 7, 2010—August 31, 2011
Initial Investment of $10,000
Total Returns | ||
Period Ended August 31, 2011 | Final Value | |
Since | of a $10,000 | |
Inception1 | Investment | |
S&P Small-Cap 600 Growth Index Fund ETF Shares Net Asset Value | 23.41% | $12,341 |
S&P Small-Cap 600 Growth Index Fund ETF Shares Market Price | 23.33 | 12,333 |
Dow Jones U.S. Total Stock Market Index | 14.40 | 11,440 |
S&P SmallCap 600 Growth Index | 23.67 | 12,367 |
Small-Cap Growth Funds Average2 | 18.98 | 11,898 |
Cumulative Returns: ETF Shares, September 7, 2010—August 31, 2011
Cumulative | |
Since | |
Inception | |
S&P Small-Cap 600 Growth Index Fund ETF Shares Market Price | 23.33% |
S&P Small-Cap 600 Growth Index Fund ETF Shares Net Asset Value | 23.41 |
S&P SmallCap 600 Growth Index | 23.67 |
1 September 7, 2010.
2 Derived from data provided by Lipper Inc.
See Financial Highlights for dividend and capital gains information.
41
S&P Small-Cap 600 Growth Index Fund
Fiscal-Period Total Returns (%): September 7, 2010, Through August 31, 2011
Total Returns: Period Ended June 30, 2011
This table presents total returns through the latest calendar quarter—rather than through the end of the fiscal
period. Securities and Exchange Commission rules require that we provide this information.
Since | ||
Inception Date | Inception | |
ETF Shares | 9/7/2010 | |
Market Price | 38.43% | |
Net Asset Value | 38.50 |
42
S&P Small-Cap 600 Growth Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2011
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | |||
Value• | |||
Shares | ($000) | ||
Common Stocks (100.0%) | |||
Consumer Discretionary (17.7%) | |||
* | CROCS Inc. | 10,875 | 298 |
* | Carter’s Inc. | 7,093 | 219 |
* | Coinstar Inc. | 3,863 | 176 |
* | Iconix Brand Group Inc. | 8,979 | 176 |
* | JOS A Bank Clothiers Inc. | 3,402 | 174 |
* | Steven Madden Ltd. | 4,325 | 156 |
* | HSN Inc. | 4,829 | 155 |
Monro Muffler Brake Inc. | 3,755 | 148 | |
* | Buffalo Wild Wings Inc. | 2,249 | 139 |
* | BJ’s Restaurants Inc. | 2,819 | 130 |
Buckle Inc. | 3,267 | 129 | |
Wolverine World Wide Inc. | 3,487 | 127 | |
* | Hibbett Sports Inc. | 3,367 | 126 |
Arbitron Inc. | 3,331 | 125 | |
Cracker Barrel Old | |||
Country Store Inc. | 2,820 | 119 | |
* | Cabela’s Inc. | 5,005 | 117 |
Texas Roadhouse Inc. | |||
Class A | 7,078 | 101 | |
Men’s Wearhouse Inc. | 3,476 | 100 | |
* | True Religion Apparel Inc. | 3,164 | 96 |
* | Peet’s Coffee & Tea Inc. | 1,574 | 92 |
Finish Line Inc. Class A | 4,502 | 90 | |
* | American Public | ||
Education Inc. | 2,195 | 90 | |
* | Genesco Inc. | 1,658 | 88 |
Brunswick Corp. | 5,464 | 87 | |
PF Chang’s China Bistro Inc. | 2,804 | 85 | |
* | DineEquity Inc. | 1,956 | 82 |
* | Select Comfort Corp. | 5,117 | 81 |
Sturm Ruger & Co. Inc. | 2,317 | 77 | |
* | iRobot Corp. | 2,738 | 76 |
CEC Entertainment Inc. | 2,436 | 76 | |
* | Maidenform Brands Inc. | 2,873 | 73 |
Hillenbrand Inc. | 3,463 | 71 | |
* | Blue Nile Inc. | 1,794 | 70 |
* | Interval Leisure Group Inc. | 5,008 | 63 |
* | Childrens Place | ||
Retail Stores Inc. | 1,460 | 63 |
Market | |||
Value• | |||
Shares | ($000) | ||
* | Capella Education Co. | 1,931 | 62 |
* | Biglari Holdings Inc. | 176 | 58 |
Cato Corp. Class A | 2,245 | 57 | |
* | Vitamin Shoppe Inc. | 1,136 | 50 |
* | Zumiez Inc. | 2,588 | 48 |
* | Pinnacle Entertainment Inc. | 3,345 | 46 |
* | Lumber Liquidators | ||
Holdings Inc. | 2,880 | 44 | |
* | Papa John’s International Inc. | 1,356 | 40 |
* | Universal Technical | ||
Institute Inc. | 2,581 | 38 | |
* | Universal Electronics Inc. | 1,844 | 36 |
* | Shuffle Master Inc. | 3,654 | 32 |
Oxford Industries Inc. | 902 | 32 | |
PetMed Express Inc. | 2,656 | 27 | |
* | Sonic Corp. | 2,883 | 27 |
* | Rue21 Inc. | 910 | 23 |
* | Jakks Pacific Inc. | 1,269 | 22 |
Nutrisystem Inc. | 1,621 | 21 | |
* | Liz Claiborne Inc. | 3,831 | 20 |
* | Perry Ellis International Inc. | 865 | 20 |
* | Kirkland’s Inc. | 1,932 | 18 |
Superior Industries | |||
International Inc. | 1,037 | 18 | |
Lincoln Educational | |||
Services Corp. | 1,774 | 17 | |
* | EW Scripps Co. Class A | 1,501 | 13 |
Big 5 Sporting Goods Corp. | 1,431 | 11 | |
* | Kid Brands Inc. | 2,658 | 10 |
* | Monarch Casino & Resort Inc. | 500 | 5 |
Skyline Corp. | 180 | 2 | |
4,872 | |||
Consumer Staples (4.9%) | |||
* | Darling International Inc. | 14,371 | 242 |
* | TreeHouse Foods Inc. | 4,360 | 239 |
* | United Natural Foods Inc. | 3,575 | 145 |
Diamond Foods Inc. | 1,622 | 128 | |
* | Boston Beer Co. Inc. Class A | 1,119 | 91 |
Snyders-Lance Inc. | 2,987 | 66 | |
* | Hain Celestial Group Inc. | 2,081 | 66 |
B&G Foods Inc. Class A | 3,411 | 62 |
43
S&P Small-Cap 600 Growth Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
J&J Snack Foods Corp. | 1,037 | 52 | |
Andersons Inc. | 1,236 | 50 | |
WD-40 Co. | 1,121 | 46 | |
Cal-Maine Foods Inc. | 1,034 | 34 | |
Inter Parfums Inc. | 1,872 | 31 | |
Calavo Growers Inc. | 1,482 | 30 | |
* | Prestige Brands Holdings Inc. | 2,531 | 27 |
* | Medifast Inc. | 1,648 | 27 |
1,336 | |||
Energy (3.3%) | |||
SEACOR Holdings Inc. | 1,787 | 159 | |
* | Gulfport Energy Corp. | 4,910 | 142 |
Lufkin Industries Inc. | 2,065 | 129 | |
Contango Oil & Gas Co. | 1,577 | 96 | |
* | Stone Energy Corp. | 3,429 | 91 |
* | ION Geophysical Corp. | 9,373 | 66 |
* | Swift Energy Co. | 1,875 | 58 |
* | Georesources Inc. | 1,780 | 41 |
* | Approach Resources Inc. | 1,712 | 32 |
* | Basic Energy Services Inc. | 1,394 | 30 |
* | OYO Geospace Corp. | 379 | 28 |
* | Petroleum Development Corp. | 981 | 23 |
* | Petroquest Energy Inc. | 2,935 | 22 |
917 | |||
Financials (16.0%) | |||
* | Signature Bank | 5,583 | 310 |
Tanger Factory | |||
Outlet Centers | 10,555 | 297 | |
* | Ezcorp Inc. Class A | 6,146 | 206 |
Cash America | |||
International Inc. | 3,619 | 202 | |
* | Stifel Financial Corp. | 6,613 | 199 |
Mid-America Apartment | |||
Communities Inc. | 2,666 | 191 | |
Home Properties Inc. | 2,790 | 187 | |
* | First Cash Financial | ||
Services Inc. | 3,855 | 180 | |
National Retail Properties Inc. | 6,384 | 174 | |
* | Portfolio Recovery | ||
Associates Inc. | 2,107 | 154 | |
BioMed Realty Trust Inc. | 7,599 | 139 | |
Extra Space Storage Inc. | 5,996 | 129 | |
* | World Acceptance Corp. | 1,894 | 123 |
Entertainment | |||
Properties Trust | 2,805 | 118 | |
Post Properties Inc. | 2,753 | 115 | |
Kilroy Realty Corp. | 3,086 | 110 | |
Medical Properties Trust Inc. | 8,501 | 91 | |
Colonial Properties Trust | 4,122 | 87 | |
EastGroup Properties Inc. | 1,876 | 76 | |
LaSalle Hotel Properties | 3,871 | 73 | |
DiamondRock Hospitality Co. | 9,244 | 72 | |
Tower Group Inc. | 2,943 | 71 | |
PS Business Parks Inc. | 1,176 | 64 | |
Acadia Realty Trust | 2,920 | 62 | |
Healthcare Realty Trust Inc. | 3,439 | 60 |
Market | |||
Value• | |||
Shares | ($000) | ||
Oritani Financial Corp. | 4,346 | 57 | |
Sovran Self Storage Inc. | 1,326 | 54 | |
UMB Financial Corp. | 1,362 | 53 | |
First Financial Bancorp | 3,289 | 53 | |
First Financial Bankshares Inc. | 1,698 | 50 | |
LTC Properties Inc. | 1,862 | 50 | |
Lexington Realty Trust | 6,477 | 48 | |
Bank of the Ozarks Inc. | 1,972 | 45 | |
* | Financial Engines Inc. | 1,976 | 44 |
Community Bank System Inc. | 1,626 | 41 | |
Getty Realty Corp. | 2,025 | 38 | |
National Penn Bancshares Inc. | 4,673 | 34 | |
Pennsylvania Real Estate | |||
Investment Trust | 3,279 | 34 | |
* | eHealth Inc. | 2,625 | 33 |
* | Forestar Group Inc. | 2,652 | 33 |
* | National Financial | ||
Partners Corp. | 2,489 | 32 | |
Saul Centers Inc. | 854 | 30 | |
* | Encore Capital Group Inc. | 1,257 | 30 |
Provident Financial | |||
Services Inc. | 2,106 | 26 | |
Universal Health Realty | |||
Income Trust | 699 | 26 | |
Inland Real Estate Corp. | 3,127 | 25 | |
Urstadt Biddle | |||
Properties Inc. Class A | 1,462 | 25 | |
Meadowbrook | |||
Insurance Group Inc. | 2,027 | 19 | |
Dime Community | |||
Bancshares Inc. | 1,510 | 18 | |
Tompkins Financial Corp. | 418 | 16 | |
Calamos Asset | |||
Management Inc. Class A | 840 | 10 | |
4,414 | |||
Health Care (18.5%) | |||
* | Regeneron | ||
Pharmaceuticals Inc. | 9,157 | 540 | |
* | Healthspring Inc. | 8,324 | 325 |
* | HMS Holdings Corp. | 10,415 | 273 |
* | Cubist Pharmaceuticals Inc. | 7,364 | 255 |
* | Questcor Pharmaceuticals Inc. | 7,572 | 228 |
* | Salix Pharmaceuticals Ltd. | 7,168 | 218 |
Quality Systems Inc. | 2,365 | 218 | |
* | Haemonetics Corp. | 3,162 | 198 |
* | Viropharma Inc. | 9,351 | 185 |
* | Align Technology Inc. | 8,526 | 163 |
Chemed Corp. | 2,620 | 152 | |
* | Parexel International Corp. | 7,251 | 148 |
* | Par Pharmaceutical Cos. Inc. | 4,444 | 132 |
* | Magellan Health Services Inc. | 2,495 | 124 |
* | Zoll Medical Corp. | 2,690 | 120 |
* | NuVasive Inc. | 4,864 | 118 |
* | MWI Veterinary Supply Inc. | 1,541 | 114 |
* | Integra LifeSciences | ||
Holdings Corp. | 2,524 | 101 |
44
S&P Small-Cap 600 Growth Index Fund�� | |||
Market | |||
Value• | |||
Shares | ($000) | ||
* | Neogen Corp. | 2,847 | 99 |
Computer Programs & | |||
Systems Inc. | 1,358 | 96 | |
* | Air Methods Corp. | 1,383 | 92 |
* | PSS World Medical Inc. | 3,677 | 87 |
* | Cyberonics Inc. | 2,993 | 84 |
* | IPC The Hospitalist Co. Inc. | 2,010 | 81 |
West Pharmaceutical | |||
Services Inc. | 1,768 | 71 | |
* | Abaxis Inc. | 2,764 | 69 |
* | Bio-Reference Labs Inc. | 3,015 | 61 |
Landauer Inc. | 1,157 | 60 | |
* | Medicines Co. | 3,910 | 57 |
Meridian Bioscience Inc. | 2,919 | 54 | |
Analogic Corp. | 894 | 44 | |
* | Merit Medical Systems Inc. | 2,975 | 43 |
Ensign Group Inc. | 1,617 | 38 | |
* | Corvel Corp. | 800 | 36 |
* | Greatbatch Inc. | 1,631 | 36 |
* | Hi-Tech Pharmacal Co. Inc. | 1,260 | 35 |
* | SonoSite Inc. | 1,204 | 35 |
* | Omnicell Inc. | 2,033 | 32 |
* | ICU Medical Inc. | 721 | 30 |
* | Emergent Biosolutions Inc. | 1,595 | 29 |
* | Kensey Nash Corp. | 1,046 | 29 |
Cantel Medical Corp. | 1,090 | 27 | |
* | LHC Group Inc. | 1,271 | 25 |
* | Arqule Inc. | 5,438 | 24 |
* | Savient Pharmaceuticals Inc. | 5,493 | 24 |
* | Natus Medical Inc. | 2,065 | 22 |
* | Almost Family Inc. | 1,021 | 20 |
* | eResearchTechnology Inc. | 2,491 | 13 |
* | SurModics Inc. | 1,183 | 13 |
* | Enzo Biochem Inc. | 4,133 | 12 |
* | CryoLife Inc. | 1,376 | 7 |
* | Palomar Medical | ||
Technologies Inc. | 677 | 5 | |
* | LCA-Vision Inc. | 831 | 2 |
5,104 | |||
Industrials (9.3%) | |||
CLARCOR Inc. | 2,981 | 139 | |
Healthcare Services | |||
Group Inc. | 8,147 | 128 | |
* | II-VI Inc. | 6,290 | 124 |
Toro Co. | 2,162 | 118 | |
Robbins & Myers Inc. | 2,233 | 107 | |
* | EnPro Industries Inc. | 2,550 | 99 |
Lindsay Corp. | 1,543 | 96 | |
AO Smith Corp. | 2,359 | 93 | |
* | Old Dominion | ||
Freight Line Inc. | 2,750 | 88 | |
* | Tetra Tech Inc. | 4,362 | 87 |
* | Allegiant Travel Co. Class A | 1,847 | 87 |
Belden Inc. | 2,675 | 82 | |
American Science & | |||
Engineering Inc. | 1,115 | 75 |
Market | |||
Value• | |||
Shares | ($000) | ||
* | Exponent Inc. | 1,720 | 73 |
Interface Inc. Class A | 4,498 | 68 | |
National Presto Industries Inc. | 641 | 62 | |
* | Orbital Sciences Corp. | 3,801 | 59 |
Forward Air Corp. | 2,092 | 59 | |
* | HUB Group Inc. Class A | 1,887 | 59 |
Knight Transportation Inc. | 3,714 | 56 | |
* | Mobile Mini Inc. | 2,871 | 55 |
Cubic Corp. | 1,240 | 52 | |
Unifirst Corp. | 939 | 49 | |
AZZ Inc. | 1,017 | 48 | |
Tennant Co. | 1,081 | 48 | |
Kaydon Corp. | 1,401 | 47 | |
* | Consolidated Graphics Inc. | 1,195 | 46 |
ESCO Technologies Inc. | 1,437 | 44 | |
Heartland Express Inc. | 2,681 | 41 | |
* | SYKES Enterprises Inc. | 2,593 | 41 |
Badger Meter Inc. | 1,017 | 36 | |
Insperity Inc. | 1,400 | 35 | |
CIRCOR International Inc. | 995 | 34 | |
* | TrueBlue Inc. | 2,285 | 32 |
* | Dolan Co. | 3,688 | 31 |
John Bean Technologies Corp. | 1,969 | 31 | |
Vicor Corp. | 2,410 | 27 | |
* | Aerovironment Inc. | 872 | 25 |
AAON Inc. | 1,311 | 23 | |
* | Orion Marine Group Inc. | 3,315 | 21 |
Cascade Corp. | 399 | 17 | |
* | NCI Building Systems Inc. | 522 | 5 |
2,547 | |||
Information Technology (24.1%) | |||
* | Wright Express Corp. | 4,754 | 200 |
* | GT Advanced | ||
Technologies Inc. | 15,496 | 189 | |
* | CommVault Systems Inc. | 5,421 | 184 |
* | Viasat Inc. | 5,139 | 182 |
* | Veeco Instruments Inc. | 5,006 | 182 |
j2 Global Communications Inc. | 5,661 | 181 | |
* | Progress Software Corp. | 8,226 | 171 |
* | Hittite Microwave Corp. | 3,086 | 168 |
MAXIMUS Inc. | 4,274 | 158 | |
* | TriQuint Semiconductor Inc. | 20,155 | 153 |
* | JDA Software Group Inc. | 5,193 | 137 |
Blackbaud Inc. | 5,317 | 133 | |
* | Taleo Corp. Class A | 5,040 | 130 |
Littelfuse Inc. | 2,790 | 129 | |
* | Netgear Inc. | 4,493 | 125 |
* | MicroStrategy Inc. Class A | 1,012 | 124 |
* | Cirrus Logic Inc. | 8,128 | 123 |
Power Integrations Inc. | 3,540 | 114 | |
* | Synaptics Inc. | 4,204 | 103 |
* | Websense Inc. | 4,904 | 101 |
* | RightNow Technologies Inc. | 2,962 | 97 |
* | Sourcefire Inc. | 3,490 | 96 |
* | Bottomline Technologies Inc. | 4,177 | 96 |
* | Manhattan Associates Inc. | 2,668 | 95 |
45
S&P Small-Cap 600 Growth Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
* | Cardtronics Inc. | 3,753 | 93 |
Cognex Corp. | 2,851 | 91 | |
* | OSI Systems Inc. | 2,339 | 91 |
* | Diodes Inc. | 4,502 | 90 |
* | Synchronoss | ||
Technologies Inc. | 3,114 | 85 | |
* | Microsemi Corp. | 5,196 | 81 |
* | Blue Coat Systems Inc. | 5,328 | 78 |
* | Tyler Technologies Inc. | 3,068 | 77 |
* | Cabot Microelectronics Corp. | 1,934 | 77 |
* | Kulicke & Soffa | ||
Industries Inc. | 8,836 | 77 | |
* | Ebix Inc. | 4,594 | 75 |
* | Ceva Inc. | 2,827 | 75 |
* | Plexus Corp. | 2,531 | 67 |
* | LivePerson Inc. | 5,689 | 67 |
* | DTS Inc. | 2,135 | 66 |
* | FEI Co. | 1,995 | 64 |
* | DG FastChannel Inc. | 2,894 | 63 |
* | Take-Two Interactive | ||
Software Inc. | 4,788 | 63 | |
Micrel Inc. | 6,181 | 63 | |
* | Cymer Inc. | 1,536 | 62 |
Forrester Research Inc. | 1,812 | 61 | |
* | Volterra Semiconductor Corp. | 3,015 | 61 |
* | TTM Technologies Inc. | 5,390 | 60 |
* | Stratasys Inc. | 2,594 | 60 |
* | Netscout Systems Inc. | 4,339 | 60 |
* | DealerTrack Holdings Inc. | 3,079 | 58 |
* | CSG Systems | ||
International Inc. | 4,248 | 57 | |
* | Interactive Intelligence Group | 1,722 | 56 |
MKS Instruments Inc. | 2,373 | 55 | |
* | Monolithic Power | ||
Systems Inc. | 4,206 | 53 | |
* | Liquidity Services Inc. | 2,194 | 53 |
* | Tessera Technologies Inc. | 3,702 | 52 |
* | Mercury Computer | ||
Systems Inc. | 3,704 | 52 | |
* | comScore Inc. | 3,169 | 51 |
* | Oplink Communications Inc. | 2,535 | 42 |
iGate Corp. | 3,603 | 40 | |
* | TeleTech Holdings Inc. | 2,252 | 40 |
* | Entropic Communications Inc. | 8,722 | 39 |
* | FARO Technologies Inc. | 1,003 | 38 |
* | Nanometrics Inc. | 2,176 | 35 |
* | LogMeIn Inc. | 1,100 | 34 |
* | Rogers Corp. | 686 | 34 |
MTS Systems Corp. | 939 | 34 | |
* | Perficient Inc. | 3,738 | 33 |
* | Newport Corp. | 2,470 | 32 |
* | Rofin-Sinar Technologies Inc. | 1,362 | 32 |
* | Monotype Imaging | ||
Holdings Inc. | 2,631 | 31 | |
* | Ultratech Inc. | 1,482 | 30 |
* | Kopin Corp. | 7,924 | 30 |
Market | |||
Value• | |||
Shares | ($000) | ||
* | Virtusa Corp. | 1,841 | 29 |
Stamps.com Inc. | 1,461 | 29 | |
* | Harmonic Inc. | 5,516 | 26 |
* | Rubicon Technology Inc. | 2,008 | 26 |
* | Standard Microsystems Corp. | 1,187 | 25 |
* | Super Micro Computer Inc. | 1,761 | 24 |
* | ATMI Inc. | 1,399 | 24 |
Park Electrochemical Corp. | 891 | 22 | |
* | Exar Corp. | 3,170 | 19 |
* | Sigma Designs Inc. | 2,267 | 18 |
Daktronics Inc. | 1,865 | 18 | |
* | Advanced Energy | ||
Industries Inc. | 1,713 | 17 | |
* | Electro Scientific | ||
Industries Inc. | 1,034 | 16 | |
* | XO Group Inc. | 1,706 | 15 |
* | Symmetricom Inc. | 2,694 | 15 |
* | Pericom Semiconductor Corp. | 1,782 | 14 |
* | Novatel Wireless Inc. | 3,934 | 13 |
* | Supertex Inc. | 590 | 12 |
* | Rudolph Technologies Inc. | 1,593 | 11 |
* | Radisys Corp. | 1,373 | 10 |
Cohu Inc. | 915 | 10 | |
* | NCI Inc. Class A | 594 | 10 |
* | Intevac Inc. | 1,122 | 9 |
* | Smith Micro Software Inc. | 3,875 | 7 |
Pulse Electronics Corp. | 1,685 | 6 | |
* | Network Equipment | ||
Technologies Inc. | 1,829 | 5 | |
* | LoJack Corp. | 893 | 3 |
6,622 | |||
Materials (4.2%) | |||
Balchem Corp. | 3,554 | 147 | |
Buckeye Technologies Inc. | 4,915 | 134 | |
Schweitzer-Mauduit | |||
International Inc. | 1,978 | 119 | |
PolyOne Corp. | 6,763 | 85 | |
* | KapStone Paper and | ||
Packaging Corp. | 4,702 | 71 | |
* | OM Group Inc. | 2,169 | 69 |
* | Calgon Carbon Corp. | 3,328 | 53 |
Quaker Chemical Corp. | 1,552 | 52 | |
* | Materion Corp. | 1,629 | 47 |
* | LSB Industries Inc. | 1,130 | 45 |
AMCOL International Corp. | 1,503 | 44 | |
Hawkins Inc. | 1,051 | 38 | |
* | Kraton Performance | ||
Polymers Inc. | 1,527 | 36 | |
* | RTI International Metals Inc. | 1,334 | 35 |
Eagle Materials Inc. | 1,693 | 33 | |
Deltic Timber Corp. | 570 | 33 | |
Koppers Holdings Inc. | 987 | 33 | |
* | Century Aluminum Co. | 2,579 | 31 |
* | STR Holdings Inc. | 2,293 | 26 |
Haynes International Inc. | 434 | 25 | |
1,156 |
46
S&P Small-Cap 600 Growth Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
Telecommunication Services (0.7%) | |||
* | Neutral Tandem Inc. | 3,832 | 45 |
NTELOS Holdings Corp. | 2,018 | 40 | |
Atlantic Tele-Network Inc. | 1,115 | 37 | |
* | Cbeyond Inc. | 3,840 | 36 |
* | General Communication Inc. | ||
Class A | 2,712 | 24 | |
USA Mobility Inc. | 1,061 | 16 | |
198 | |||
Utilities (1.3%) | |||
Piedmont Natural Gas Co. Inc. | 3,181 | 98 | |
South Jersey Industries Inc. | 1,581 | 82 | |
El Paso Electric Co. | 2,326 | 81 | |
Northwest Natural Gas Co. | 1,179 | 53 | |
American States Water Co. | 1,214 | 43 | |
357 | |||
Total Common Stocks | |||
(Cost $26,049) | 27,523 | ||
Temporary Cash Investment (0.0%) | |||
Money Market Fund (0.0%) | |||
1 | Vanguard Market | ||
Liquidity Fund, | |||
0.132% (Cost $3) | 2,874 | 3 | |
Total Investments (100.0%) | |||
(Cost $26,052) | 27,526 | ||
Other Assets and Liabilities (0.0%) | |||
Other Assets | 7,188 | ||
Liabilities | (7,182) | ||
6 | |||
Net Assets (100%) | |||
Applicable to 450,000 outstanding | |||
$.001 par value shares of beneficial | |||
interest (unlimited authorization) | 27,532 | ||
Net Asset Value Per Share— | |||
ETF Shares | $61.18 |
Market | |
Value• | |
($000) | |
Statement of Assets and Liabilities | |
Assets | |
Investments in Securities, at Value | 27,526 |
Receivables for Investment | |
Securities Sold | 7,164 |
Other Assets | 24 |
Total Assets | 34,714 |
Liabilities | |
Payables for Investment | |
Securities Purchased | 7,176 |
Other Liabilities | 6 |
Total Liabilities | 7,182 |
Net Assets | 27,532 |
At August 31, 2011, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 26,597 |
Undistributed Net Investment Income | 50 |
Accumulated Net Realized Losses | (589) |
Unrealized Appreciation (Depreciation) | 1,474 |
Net Assets | 27,532 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
See accompanying Notes, which are an integral part of the Financial Statements.
47
S&P Small-Cap 600 Growth Index Fund
Statement of Operations
September 7, 20101 to | |
August 31, 2011 | |
($000) | |
Investment Income | |
Income | |
Dividends | 122 |
Total Income | 122 |
Expenses | |
The Vanguard Group—Note B | |
Management and Administrative | 7 |
Custodian Fees | 7 |
Auditing Fees | 7 |
Shareholders’ Reports | 4 |
Total Expenses | 25 |
Net Investment Income | 97 |
Realized Net Gain (Loss) on Investment Securities Sold | 104 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 1,474 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,675 |
1 Inception. |
See accompanying Notes, which are an integral part of the Financial Statements.
48
S&P Small-Cap 600 Growth Index Fund
Statement of Changes in Net Assets
September 7, | |
20101 to | |
August 31, | |
2011 | |
($000) | |
Increase (Decrease) in Net Assets | |
Operations | |
Net Investment Income | 97 |
Realized Net Gain (Loss) | 104 |
Change in Unrealized Appreciation (Depreciation) | 1,474 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,675 |
Distributions | |
Net Investment Income | |
Institutional Shares | — |
ETF Shares | (47) |
Realized Capital Gain | |
Institutional Shares | — |
ETF Shares | — |
Total Distributions | (47) |
Capital Share Transactions | |
Institutional Shares | (5) |
ETF Shares | 25,909 |
Net Increase (Decrease) from Capital Share Transactions | 25,904 |
Total Increase (Decrease) | 27,532 |
Net Assets | |
Beginning of Period | — |
End of Period2 | 27,532 |
1 Inception. | |
2 Net Assets—End of Period includes undistributed net investment income of $50,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
49
S&P Small-Cap 600 Growth Index Fund
Financial Highlights
ETF Shares | |
September 7, 20101, to | |
For a Share Outstanding Throughout the Period | August 31, 2011 |
Net Asset Value, Beginning of Period | $49.82 |
Investment Operations | |
Net Investment Income | .422 |
Net Realized and Unrealized Gain (Loss) on Investments | 11.248 |
Total from Investment Operations | 11.670 |
Distributions | |
Dividends from Net Investment Income | (.310) |
Distributions from Realized Capital Gains | — |
Total Distributions | (.310) |
Net Asset Value, End of Period | $61.18 |
Total Return | 23.41% |
Ratios/Supplemental Data | |
Net Assets, End of Period (Millions) | $28 |
Ratio of Total Expenses to Average Net Assets | 0.20%2 |
Ratio of Net Investment Income to Average Net Assets | 0.78%2 |
Portfolio Turnover Rate3 | 106% |
1 Inception – See Notes to Financial Statements.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
50
S&P Small-Cap 600 Growth Index Fund
Notes to Financial Statements
Vanguard S&P Small-Cap 600 Growth Index 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 ETF Shares. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. Institutional Shares were first issued on December 15, 2010; the sole shareholder redeemed shortly thereafter. As of August 31, 2011, there were no investors in the Institutional share class. ETF Shares were first issued on September 7, 2010, and first offered to the public on September 9, 2010. ETF Shares are listed for trading on the NYSE Arca, Inc.; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value.
2. Federal Income Taxes: The fund intends to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for its open federal income tax period ended August 31, 2011, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
3. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
4. 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.
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 August 31, 2011, the fund had contributed capital of $3,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.00% 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).
At August 31, 2011, 100% of the fund’s investments were valued based on Level 1 inputs.
51
S&P Small-Cap 600 Growth Index Fund
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the period ended August 31, 2011, the fund realized $682,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund used a tax accounting practice to treat a portion of the price of capital shares redeemed during the period as distributions from realized capital gains. Accordingly, the fund has reclassified $11,000 from accumulated net realized losses to paid-in capital.
For tax purposes, at August 31, 2011, the fund had $62,000 of ordinary income available for distribution. The fund realized losses of $576,000 during the period from November 1, 2010, through August 31, 2011, which are deferred and will be treated as realized for tax purposes in fiscal 2012.
At August 31, 2011, the cost of investment securities for tax purposes was $26,076,000. Net unrealized appreciation of investment securities for tax purposes was $1,450,000, consisting of unrealized gains of $1,569,000 on securities that had risen in value since their purchase and $119,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the period ended August 31, 2011, the fund purchased $43,846,000 of investment securities and sold $17,898,000 of investment securities, other than temporary cash investments.
F. Capital share transactions for each class of shares were:
Inception1 to | ||
August 31, 2011 | ||
Amount | Shares | |
($000) | (000) | |
Institutional Shares | ||
Issued | 229 | 2 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (234) | (2) |
Net Increase (Decrease)—Institutional Shares | (5) | — |
ETF Shares | ||
Issued | 28,955 | 500 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (3,046) | (50) |
Net Increase (Decrease)—ETF Shares | 25,909 | 450 |
1 Inception was September 7, 2010, for ETF Shares. Institutional Shares were first issued on December 15, 2010; the sole shareholder redeemed shortly thereafter. As of August 31, 2011, there were no investors in the Institutional share class.
G. In preparing the financial statements as of August 31, 2011, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
52
Report of Independent Registered
Public Accounting Firm
To the Trustees of Vanguard Admiral Funds and the Shareholders of Vanguard S&P Small-Cap 600
Index Fund, Vanguard S&P Small-Cap 600 Value Index Fund and Vanguard S&P Small-Cap 600
Growth Index Fund:
In our opinion, the accompanying statements of net assets, the statements of assets and liabilities
and the related statements of operations and of changes in net assets and the financial highlights
present fairly, in all material respects, the financial position of Vanguard S&P Small-Cap 600 Index Fund,
Vanguard S&P Small-Cap 600 Value Index Fund and Vanguard S&P Small-Cap 600 Growth Index Fund
(constituting separate portfolios of Vanguard Admiral Funds, hereafter referred to as the “Funds”) at
August 31, 2011, and the results of each of their operations, the changes in each of their net assets
and the financial highlights for the period September 7, 2010 (commencement of operations) through
August 31, 2011, in conformity with accounting principles generally accepted in the United States
of America. These financial statements and financial highlights (hereafter referred to as “financial
statements”) are the responsibility of the Funds’ management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our audits of these financial
statements in accordance with the standards of the Public Company Accounting Oversight Board
(United States). Those standards require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that our audits, which included
confirmation of securities at August 31, 2011 by correspondence with the custodian and by agreement
to the underlying ownership records of Vanguard Market Liquidity Fund, provide a reasonable basis
for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 11, 2011
53
Special 2011 tax information (unaudited) for Vanguard S&P Small-Cap 600 Index Funds |
This information for the period ended August 31, 2011, is included pursuant to provisions of the Internal Revenue Code.
The funds distributed qualified dividend income to shareholders during the period as follows:
Qualified Dividend Income | |
Fund | ($000) |
S&P Small-Cap 600 Index Fund | 29 |
S&P Small-Cap 600 Value Index Fund | 29 |
S&P Small-Cap 600 Growth Index Fund | 42 |
For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends-received deduction as follows:
Fund | Percentage |
S&P Small-Cap 600 Index Fund | 75.6% |
S&P Small-Cap 600 Value Index Fund | 83.5 |
S&P Small-Cap 600 Growth Index Fund | 70.6 |
54
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.
55
Six Months Ended August 31, 20111 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
2/28/2011 | 8/31/2011 | Period2 | |
Based on Actual Fund Return | |||
S&P Small-Cap 600 Index Fund | |||
ETF Shares | $1,000.00 | $917.80 | $0.73 |
S&P Small-Cap 600 Value Index Fund | |||
ETF Shares | $1,000.00 | $893.72 | $0.95 |
S&P Small-Cap 600 Growth Index Fund | |||
ETF Shares | $1,000.00 | $943.99 | $0.98 |
Based on Hypothetical 5% Yearly Return | |||
S&P Small-Cap 600 Index Fund | |||
ETF Shares | $1,000.00 | $1,024.45 | $0.77 |
S&P Small-Cap 600 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,024.20 | $1.02 |
S&P Small-Cap 600 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,024.20 | $1.02 |
1 This table does not include data for funds or share classes with fewer than six months of history.
2 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 S&P Small-Cap 600 Index Fund, 0.15% for ETF Shares; for the S&P 600 Small-Cap 600 Value Index Fund, 0.20%; for the S&P Small-Cap 600 Growth Index Fund, 0.20%. 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.
56
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard S&P Small-Cap 600 Index Fund, S&P Small-Cap 600 Value Index Fund, and S&P Small-Cap 600 Growth Index Fund has renewed the funds’ investment advisory arrangement with The Vanguard Group, Inc. Vanguard—through its Quantitative Equity Group—serves as investment advisor to the funds. The board determined that continuing the funds’ internalized management structure was in the best interest of the funds and their shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board considered the quality of the investment management services provided to the funds since their inception in 2010 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 Quantitative Equity 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 approval of the advisory arrangement.
Investment performance
The board considered the funds’ performance since their inception, including any periods of outperformance or underperformance of their target indexes and peer groups. The board concluded that the funds have performed in line with expectations, and that their results have been consistent with their investment strategies. Information about each fund’s performance can be found in the Performance Summary pages of this report.
Cost
The board concluded that each fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that the funds’ advisory fee rates were also well below their peer group averages. Information about the funds’ expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements sections.
The board does not conduct a profitability analysis of Vanguard, because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the funds’ low-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.
57
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 (in the case of 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.
Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in the 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. The percentage of a fund’s average net assets used to pay its annual administrative and advisory expenses. These expenses directly reduce returns to investors.
Foreign Holdings. The percentage of a fund represented by stocks 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.
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.
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.
58
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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 178 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
Interested Trustee1 | and President (2006–2008) of Rohm and Haas Co. |
(chemicals); Director of Tyco International, Ltd. | |
F. William McNabb III | (diversified manufacturing and services) and Hewlett- |
Born 1957. Trustee Since July 2009. Chairman of the | Packard Co. (electronic computer manufacturing); |
Board. Principal Occupation(s) During the Past Five | Senior Advisor at New Mountain Capital; Trustee |
Years: Chairman of the Board of The Vanguard Group, | of The Conference Board; Member of the Board of |
Inc., and of each of the investment companies served | Managers of Delphi Automotive LLP (automotive |
by The Vanguard Group, since January 2010; Director | components). |
of The Vanguard Group since 2008; Chief Executive | |
Officer and President of The Vanguard Group and of | Amy Gutmann |
each of the investment companies served by The | Born 1949. Trustee Since June 2006. Principal |
Vanguard Group since 2008; Director of Vanguard | Occupation(s) During the Past Five Years: President |
Marketing Corporation; Managing Director of The | of the University of Pennsylvania; Christopher H. |
Vanguard Group (1995–2008). | Browne Distinguished Professor of Political Science |
in the School of Arts and Sciences with secondary | |
appointments at the Annenberg School for Commu- | |
Independent Trustees | nication and the Graduate School of Education |
of the University of Pennsylvania; Director of | |
Emerson U. Fullwood | Carnegie Corporation of New York, Schuylkill River |
Born 1948. Trustee Since January 2008. Principal | Development Corporation, and Greater Philadelphia |
Occupation(s) During the Past Five Years: Executive | Chamber of Commerce; Trustee of the National |
Chief Staff and Marketing Officer for North America | Constitution Center; Chair of the Presidential |
and Corporate Vice President (retired 2008) of Xerox | Commission for the Study of Bioethical Issues. |
Corporation (document management products and | |
services); Executive in Residence and 2010 | JoAnn Heffernan Heisen |
Distinguished Minett Professor at the Rochester | Born 1950. Trustee Since July 1998. Principal |
Institute of Technology; Director of SPX Corporation | Occupation(s) During the Past Five Years: Corporate |
(multi-industry manufacturing), the United Way of | Vice President and Chief Global Diversity Officer |
Rochester, Amerigroup Corporation (managed health | (retired 2008) and Member of the Executive |
care), the University of Rochester Medical Center, | Committee (1997–2008) of Johnson & Johnson |
Monroe Community College Foundation, and North | (pharmaceuticals/consumer products); Director of |
Carolina A&T University. | Skytop Lodge Corporation (hotels), the University |
Medical Center at Princeton, the Robert Wood | |
Rajiv L. Gupta | Johnson Foundation, and the Center for Work Life |
Born 1945. Trustee Since December 2001.2 | Policy; Member of the Advisory Board of the |
Principal Occupation(s) During the Past Five Years: | Maxwell School of Citizenship and Public Affairs |
Chairman and Chief Executive Officer (retired 2009) | at Syracuse University. |
F. Joseph Loughrey | Thomas J. Higgins | |
Born 1949. Trustee Since October 2009. Principal | Born 1957. Chief Financial Officer Since September | |
Occupation(s) During the Past Five Years: President | 2008. Principal Occupation(s) During the Past Five | |
and Chief Operating Officer (retired 2009) and Vice | Years: Principal of The Vanguard Group, Inc.; Chief | |
Chairman of the Board (2008–2009) of Cummins Inc. | Financial Officer of each of the investment companies | |
(industrial machinery); Director of SKF AB (industrial | served by The Vanguard Group since 2008; Treasurer | |
machinery), Hillenbrand, Inc. (specialized consumer | of each of the investment companies served by The | |
services), the Lumina Foundation for Education, and | Vanguard Group (1998–2008). | |
Oxfam America; Chairman of the Advisory Council | ||
for the College of Arts and Letters and Member | Kathryn J. Hyatt | |
of the Advisory Board to the Kellogg Institute for | Born 1955. Treasurer Since November 2008. Principal | |
International Studies at the University of Notre Dame. | Occupation(s) During the Past Five Years: Principal | |
of The Vanguard Group, Inc.; Treasurer of each of | ||
André F. Perold | the investment companies served by The Vanguard | |
Born 1952. Trustee Since December 2004. Principal | Group since 2008; Assistant Treasurer of each of the | |
Occupation(s) During the Past Five Years: George | investment companies served by The Vanguard Group | |
Gund Professor of Finance and Banking at the Harvard | (1988–2008). | |
Business School (retired July 2011); Chief Investment | ||
Officer and co-Managing Partner of HighVista | Heidi Stam | |
Strategies LLC (private investment firm); Director of | Born 1956. Secretary Since July 2005. Principal | |
Rand Merchant Bank; Overseer of the Museum of | Occupation(s) During the Past Five Years: Managing | |
Fine Arts Boston. | Director of The Vanguard Group, Inc., since 2006; | |
General Counsel of The Vanguard Group since 2005; | ||
Alfred M. Rankin, Jr. | Secretary of The Vanguard Group and of each of the | |
Born 1941. Trustee Since January 1993. Principal | investment companies served by The Vanguard Group | |
Occupation(s) During the Past Five Years: Chairman, | since 2005; Director and Senior Vice President of | |
President, and Chief Executive Officer of NACCO | Vanguard Marketing Corporation since 2005; | |
Industries, Inc. (forklift trucks/housewares/lignite); | Principal of The Vanguard Group (1997–2006). | |
Director of Goodrich Corporation (industrial products/ | ||
aircraft systems and services) and the National | ||
Association of Manufacturers; Chairman of the | Vanguard Senior Management Team | |
Federal Reserve Bank of Cleveland; Vice Chairman | ||
of University Hospitals of Cleveland; President of | R. Gregory Barton | Michael S. Miller |
the Board of The Cleveland Museum of Art. | Mortimer J. Buckley | James M. Norris |
Kathleen C. Gubanich | Glenn W. Reed | |
Peter F. Volanakis | Paul A. Heller | George U. Sauter |
Born 1955. Trustee Since July 2009. Principal | Martha G. King | |
Occupation(s) During the Past Five Years: President | ||
and Chief Operating Officer (retired 2010) of Corning | ||
Incorporated (communications equipment); Director of | Chairman Emeritus and Senior Advisor | |
Corning Incorporated (2000–2010) and Dow Corning | ||
(2001–2010); Overseer of the Amos Tuck School of | John J. Brennan | |
Business Administration at Dartmouth College. | Chairman, 1996–2009 | |
Chief Executive Officer and President, 1996–2008 | ||
Executive Officers | ||
Founder | ||
Glenn Booraem | ||
Born 1967. Controller Since July 2010. Principal | John C. Bogle | |
Occupation(s) During the Past Five Years: Principal | Chairman and Chief Executive Officer, 1974–1996 | |
of The Vanguard Group, Inc.; Controller of each of | ||
the investment companies served by The Vanguard | ||
Group since 2010; Assistant Controller of each of | ||
the investment companies served by The Vanguard | ||
Group (2001–2010). |
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
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fund only if preceded or accompanied by | or condition regarding the advisability of buying, selling, |
the fund’s current prospectus. | or holding units/shares in the funds. |
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 | |
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Public Reference Section, Securities and Exchange | |
Commission, Washington, DC 20549-1520. | |
© 2011 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q18450 102011 |
Item 2: Code of Ethics. The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. The Code of Ethics was amended during the reporting period covered by this report to make certain technical, non-material changes.
Item 3: Audit Committee Financial Expert. The following members of the Audit Committee have been determined by the Registrant’s Board of Trustees to be Audit Committee Financial Experts serving on its Audit Committee, and to be independent: Charles D. Ellis, Rajiv L. Gupta, JoAnn Heffernan Heisen, André F. Perold, and Alfred M. Rankin, Jr.
Item 4: Principal Accountant Fees and Services.
(a) Audit Fees.
Audit Fees of the Registrant
Fiscal Year Ended August 31, 2011: $79,000
Fiscal Year Ended August 31, 2010: $21,000
Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.
Fiscal Year Ended August 31, 2011: $3,978,540
Fiscal Year Ended August 31, 2010: $3,607,060
(b) Audit-Related Fees.
Fiscal Year Ended August 31, 2011: $1,341,750
Fiscal Year Ended August 31, 2010: $791,350
Includes fees billed in connection with assurance and related services provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group.
(c) Tax Fees.
Fiscal Year Ended August 31, 2011: $373,830
Fiscal Year Ended August 31, 2010: $336,090
Includes fees billed in connection with tax compliance, planning and advice services provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group and related to income and excise taxes.
(d) All Other Fees.
Fiscal Year Ended August 31, 2011: $16,000
Fiscal Year Ended August 31, 2010: $16,000
Includes fees billed for services related to risk management and privacy matters. Services were provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group.
(e) (1) Pre-Approval Policies. The policy of the Registrant’s Audit Committee is to consider and, if appropriate, approve before the principal accountant is engaged for such services, all specific audit and non-audit services provided to: (1) the Registrant; (2) The Vanguard Group, Inc.; (3) other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant; and (4) other registered investment
companies in the Vanguard Group. In making a determination, the Audit Committee considers whether the services are consistent with maintaining the principal accountant’s independence.
In the event of a contingency situation in which the principal accountant is needed to provide services in between scheduled Audit Committee meetings, the Chairman of the Audit Committee would be called on to consider and, if appropriate, pre-approve audit or permitted non-audit services in an amount sufficient to complete services through the next Audit Committee meeting, and to determine if such services would be consistent with maintaining the accountant’s independence. At the next scheduled Audit Committee meeting, services and fees would be presented to the Audit Committee for formal consideration, and, if appropriate, approval by the entire Audit Committee. The Audit Committee would again consider whether such services and fees are consistent with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee is informed at least annually of all audit and non-audit services provided by the principal accountant to the Vanguard complex, whether such services are provided to: (1) the Registrant; (2) The Vanguard Group, Inc.; (3) other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant; or (4) other registered investment companies in the Vanguard Group.
(2) No percentage of the principal accountant’s fees or services were approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) For the most recent fiscal year, over 50% of the hours worked under the principal accountant’s engagement were not performed by persons other than full-time, permanent employees of the principal accountant.
(g) Aggregate Non-Audit Fees.
Fiscal Year Ended August 31, 2011: $389,830
Fiscal Year Ended August 31, 2010: $352,090
Includes fees billed for non-audit services provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group.
(h) For the most recent fiscal year, the Audit Committee has determined that the provision of all non-audit services was consistent with maintaining the principal accountant’s independence.
Item 5: Audit Committee of Listed Registrants.
The Registrant is a listed issuer as defined in Rule 10A-3 under the Securities Exchange Act of 1934 (“Exchange Act”). The Registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act. The Registrant’s audit committee members are: Emerson U. Fullwood, Rajiv L. Gupta, Amy Gutmann, JoAnn Heffernan Heisen, F. Joseph Loughrey, André F. Perold, Alfred M. Rankin, Jr., and Peter F. Volanakis.
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) Code of Ethics. (b) Certifications.
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
VANGUARD ADMIRAL FUNDS | |
By: | /s/ F. WILLIAM MCNABB III* |
F. WILLIAM MCNABB III | |
CHIEF EXECUTIVE OFFICER | |
Date: October 20, 2011 |
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 ADMIRAL FUNDS | |
By: | /s/ F. WILLIAM MCNABB III* |
F. WILLIAM MCNABB III | |
CHIEF EXECUTIVE OFFICER | |
Date: October 20, 2011 |
VANGUARD ADMIRAL FUNDS | |
By: | /s/ THOMAS J. HIGGINS* |
THOMAS J. HIGGINS | |
CHIEF FINANCIAL OFFICER | |
Date: October 20, 2011 |
* By: /s/ Heidi Stam
Heidi Stam, pursuant to a Power of Attorney filed on April 26, 2010, see file Number 33-53683, Incorporated by Reference.