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
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Name of Registrant: Vanguard Admiral Funds
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Address of Registrant: P.O. Box 2600 | ||
Valley Forge, PA 19482
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Name and address of agent for service: | Heidi Stam, Esquire | |
P.O. Box 876 | ||
Valley Forge, PA 19482
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Registrant’s telephone number, including area code: (610) 669-1000
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Date of fiscal year end: August 31
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Date of reporting period: September 1, 2011 – February 29, 2012
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Item 1: Reports to Shareholders |
Semiannual Report | February 29, 2012 |
Vanguard Money Market Funds |
Vanguard Prime Money Market Fund |
Vanguard Federal Money Market Fund |
Vanguard AdmiralTM Treasury Money Market Fund |
> For the six months ended February 29, 2012, Vanguard Prime Money Market
Fund earned a negligible return, and the Federal and Admiral Treasury Funds
earned 0%.
> The Federal Reserve indicated that it expects to keep short-term interest rates
near zero until at least late in 2014.
> Amid global economic and fiscal uncertainties, the funds’ advisor has enhanced
its customary emphasis on the highest-quality, most liquid securities.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
Advisor’s Report. | 7 |
Prime Money Market Fund. | 9 |
Federal Money Market Fund. | 31 |
Admiral Treasury Money Market Fund. | 41 |
About Your Fund’s Expenses. | 50 |
Glossary. | 52 |
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
Six Months Ended February 29, 2012 | ||
7-Day | Total | |
SEC Yields | Returns | |
Vanguard Prime Money Market Fund | ||
Investor Shares | 0.04% | 0.01% |
Institutional Shares | 0.10 | 0.05 |
Money Market Funds Average | 0.00 | |
Money Market Funds Average: Derived from data provided by Lipper Inc. | ||
Vanguard Federal Money Market Fund | 0.01% | 0.00% |
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% | 0.00% |
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,
Since their creation about 40 years ago, money market funds have played an important role in investors’ portfolios: as a source of liquidity, stability, and yield. As we know, the Federal Reserve’s response to the financial crisis and its slow-growth aftermath has virtually eliminated the yield, and the Fed has indicated that the low rates will continue for the next three years.
But the funds continue to serve as a source of liquidity and stability. Although asset levels are down from pre-financial-crisis levels, investors have continued to entrust their money to these vehicles, which held more than $2 trillion as of February 29, 2012. Indeed, assets temporarily increased somewhat from the summer to the fall as events in the United States and Europe prompted many investors to seek safety. Vanguard Prime Money Market Fund experienced a similar pattern of cash flow. (The Vanguard Federal and Admiral Treasury Money Market Funds are closed to new investors.)
The three funds recorded zero or near-zero returns for the semiannual period. As of February 29, the Prime Money Market Fund’s 7-day SEC yield was 0.04% for Investor Shares, up from 0.03% six months earlier. Because of their lower expense ratio, the yield for Institutional Shares was higher, 0.10%, down from 0.11%. Yields of the Federal and Admiral
2
Treasury funds remained at 0.01%. The three money market funds maintained a net asset value of $1 per share, as is expected but not guaranteed.
As you may know, federal regulators are now considering proposals aimed at altering the way money market funds operate. Indeed, much progress has been made during the past few years as stronger regulations have benefited the industry. However, certain current proposals, such as those that would replace the funds’ $1 net asset value with a floating (i.e., variable) NAV or would require fund companies to temporarily “hold back,” a portion of redemptions
could do irreparable damage to portfolios that have served savers and the U.S. economy well over the past 25 years.
We understand the regulators’ concerns—indeed, Vanguard has supported enhancements aimed at improving transparency and quality—but we hope that federal policymakers will not overreact in seeking to achieve our common goals for the industry.
Bonds’ strength confounded expectations
As the yields offered by money market funds languished, bonds produced solid returns, to the surprise of many long-time observers of the fixed income markets. At the start of the period, the yield of the
Market Barometer | |||
Total Returns | |||
Periods Ended February 29, 2012 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Bonds | |||
Barclays Capital U.S. Aggregate Bond Index (Broad | |||
taxable market) | 2.73% | 8.37% | 6.36% |
Barclays Capital Municipal Bond Index (Broad tax-exempt | |||
market) | 5.67 | 12.42 | 5.50 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.00 | 0.06 | 1.20 |
Stocks | |||
Russell 1000 Index (Large-caps) | 13.31% | 4.86% | 1.77% |
Russell 2000 Index (Small-caps) | 12.40 | -0.15 | 1.83 |
Dow Jones U.S. Total Stock Market Index | 13.18 | 4.35 | 2.07 |
MSCI All Country World Index ex USA (International) | 3.97 | -6.10 | -0.75 |
CPI | |||
Consumer Price Index | 0.49% | 2.87% | 2.27% |
3
10-year U.S. Treasury note stood at 2.22%, suggesting that returns would be very modest by historical standards. Over the next six months, however, yields moved lower still, boosting bond prices, which move in the opposite direction. At the end of February, the yield of the 10-year T-note stood at 1.97%. As yields decline, obviously, the scope for continued declines—and price increases—diminishes. Municipal bonds performed even more strongly than the broad taxable market.
Notes of optimism propelled stock prices higher
U.S. stocks produced a strong double-digit return of 13.18% over the period. That statement is true enough, but the headline figure obscures the volatility that has been perhaps the most prominent feature of
the financial markets over the past six months and indeed the past few years.
If the six-month period had started a month earlier, for example, the Dow Jones U.S. Total Stock Market Index would have returned just 1.97%. A start date two months earlier would have put the six-month return at –5.18%.
In the six months through February, however, stock prices benefited from signs of acceleration in the U.S. economic expansion and hope that the European Union’s latest agreement on Greek debt would help contain a threat that has menaced global markets for much of the past two years. European stocks rallied on the news about Greece, but international stocks still trailed their U.S. counterparts for the full six months.
Expense Ratios | |||
Your Fund Compared With Its Peer Group | |||
Investor | Institutional | Peer Group | |
Shares | Shares | Average | |
Prime Money Market Fund | 0.20% | 0.09% | 0.28% |
Federal Money Market Fund | 0.19 | — | 0.19 |
Admiral Treasury Money Market Fund | 0.11 | — | 0.16 |
The fund expense ratios shown are from the prospectus dated December 27, 2011, and represent estimated costs for the current fiscal year.
For the six months ended February 29, 2012, the funds’ annualized expense ratios were: for the Prime Money Market Fund, 0.17% for Investor
Shares and 0.09% for Institutional Shares; for the Federal Money Market Fund, 0.11%; for the Admiral Treasury Money Market Fund, 0.02%.
The expense ratios for the six months ended February 29, 2012 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, 0.17%; for the Admiral Treasury Money Market Fund, 0.11%.
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.
4
The Prime Money Market Fund sought to sidestep potential trouble
Since December 2008, when the Fed cut its target for the “federal funds” rate, a benchmark for the shortest-term interest rates, to between 0% and 0.25%, money market fund investors have contended with unusually low returns. According to the Fed’s most recent statements, this environment could persist through 2014. The Fed’s hope is that low rates will eventually encourage enough new investment and hiring to accelerate the economic expansion. As the economy strengthens, the Fed may consider raising its target rate.
In the meantime, short-term yields have hovered at the low end of the Fed’s very low target range, in part because of unease
about the global economy. Investor demand for U.S. Treasury bills surged in the summer and fall as contentious negotiations continued over sovereign debt in Europe.
Amid these formidable challenges, the approach of the Vanguard Money Market Funds’ advisor, Vanguard Fixed Income Group, hasn’t changed: It seeks to obtain the highest yields available in any market environment while maintaining high credit-quality standards.
As its name implies, the Admiral Treasury Money Market Fund focuses on Treasury securities. The Federal Money Market Fund concentrates on obligations of the U.S. government, such as notes issued by the Federal National Mortgage Association
Changes in Yields | |||
7-Day SEC Yield | |||
February 29, | August 31, | February 28, | |
Money Market Fund | 2012 | 2011 | 2011 |
Prime | |||
Investor Shares | 0.04% | 0.03% | 0.07% |
Institutional Shares | 0.10 | 0.11 | 0.19 |
Federal | 0.01 | 0.01 | 0.02 |
Admiral Treasury | 0.01 | 0.01 | 0.02 |
5
(Fannie Mae) and the Federal Home Loan Mortgage Corporation (Freddie Mac); about 20% of its assets were in U.S. Treasury bills as of February 29.
The Prime Money Market Fund invests in both government and corporate obligations. During the period, the advisor beefed up investments in U.S. Treasury bills and other U.S. government obligations, such as Fannie Mae and Freddie Mac securities. As of February 29, these accounted for almost 63% of assets in the fund, up from about 40% a year earlier.
The fund’s foreign-bank exposure currently includes only commercial paper (a type of unsecured loan) and dollar-denominated certificates of deposit issued by banks in Australia and Canada, two countries with strong fiscal profiles. Together, these represented almost 20% of the portfolio as of February 29.
Overall, domestic- and foreign-bank CDs declined to about 15% of portfolio assets, down from 33% a year earlier. Commercial paper, issued by banks and a variety of industrial and financial companies, remained roughly unchanged, in the neighborhood of 20% of assets. Rounding out the portfolio were “repurchase agreements” of U.S. government securities and municipal securities issued by state and local governments.
Best to focus on what we can control
One of the market’s surprises, as savers know only too well, is the unexpectedly low level of interest rates and the length of time they’ve been (and are expected to be)
low. Savers face a dilemma: Hold tight and wait for better days. Or seek investments that produce higher yields—but inevitably come with higher volatility. Unfortunately, there’s no easy solution to this conundrum.
The managers of the Vanguard Money Market Funds can’t control the markets. No one can. But they are very good at “controlling the controllables,” chief among them the credit quality, diversification, liquidity, and average maturity of the portfolios.
In a similar way, you too can focus on the controllables when it comes to your portfolio. We recommend diversifying both among asset classes—stocks, bonds, and “cash,” such as money market funds—and within them. The exact mix of assets should be based on your unique tolerance for risk, so that you’re ready for the ups and downs of the market, as well as your goals and time horizon. And of course, it’s important to pay attention to costs, because lower costs allow you to keep more of a portfolio’s return.
As always, thank you for entrusting your assets to Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
March 14, 2012
6
Advisor’s Report
For the six months ended February 29, 2012, the Investor Shares of our Prime Money Market Fund returned 0.01% and the Institutional Shares returned 0.05%, a result of their lower expense ratio. The Federal and Admiral Treasury Money Market Funds returned 0%. The funds were in line with their peer-group averages—0% in each case.
These zero or negligible returns are, of course, a consequence of the low-interest rate policy that the Federal Reserve has maintained since the end of 2008.
The types of securities that money market funds invest in, such as U.S. Treasury bills, bank certificates of deposit, and commercial paper, are particularly sensitive to traditional Fed policy, both when the central bank seeks to push rates down, as now, and when it seeks to push rates up. (I refer to “traditional” policy because last September the Fed began a novel policy of buying bonds in an attempt to lower longer-term interest rates as well; the policy appears to be having an effect.)
The outlook for interest rates
The outlook for short-term interest rates is more of the same, according to the Federal Open Market Committee (FOMC), the Fed’s rate-setting arm. In yet another departure from historical policy, in January
the FOMC began publishing its interest rate forecast. The committee said then that economic slack and a “subdued” inflation outlook suggested that short-term rates would remain at their record lows “at least through late 2014.”
The FOMC also said that two-thirds of its members expected the Federal Reserve to begin tightening monetary policy—i.e., boosting interest rates—by the end of 2014. Roughly half of the committee members seemed to think that multiple rate hikes would be in order by then.
Investing in a global market
In making our investment decisions, we focus on the highest-quality securities and seek to mitigate risk wherever we can. Because the market for money market investments is global, we have paid special attention to the ongoing European debt crisis, which has put pressure on European banks and their ratings.
For the Prime Money Market Fund, rather than trying to pick the “winners” among European banks, we have chosen to stay on the sidelines given the potential for negative market events. This hasn’t been an issue for the Admiral Treasury and Federal Money Market Funds because of their mandate to focus on high-quality Treasury and government debt obligations.
7
Recently, the central bank for the European Union took extraordinary measures to make liquidity available to European banks, which helped address their near-term funding needs. Yet, the fundamental issues in Europe remain largely unchanged by these operations. We will continue to monitor conditions and adjust our stance when appropriate.
Domestically, we are encouraged by improving trends in employment, but the pace still leaves the financial markets vulnerable to market shocks.
Managing the funds
The uncertainties in Europe have broader market implications. Credit conditions are likely to remain under pressure, affecting not just European banks but also U.S. enterprises with global operations. The result has been fewer investment opportunities for the Prime Money Market Fund in traditional money market sectors.
We had eliminated the fund’s exposure to banks in the most fiscally stressed European countries well before the current reporting period began, and over the past six months we removed our remaining exposure to European banks. We replaced those holdings with high concentrations in U.S. Treasury and agency securities. Our current bank-sector investments are
commercial paper and dollar-denominated certificates of deposit of financially strong Australian and Canadian banking institutions.
As always, our funds remain conservatively positioned. Given the heightened uncertainty in today’s market environment, we remain particularly cautious and watchful.
David R. Glocke
Vanguard Fixed Income Group
March 20, 2012
8
Prime Money Market Fund
Fund Profile
As of February 29, 2012
Financial Attributes | ||
Investor | Institutional | |
Shares | Shares | |
Ticker Symbol | VMMXX | VMRXX |
Expense Ratio1 | 0.20% | 0.09% |
7-Day SEC Yield | 0.04% | 0.10% |
Average Weighted | ||
Maturity | 58 days | 58 days |
Sector Diversification (% of portfolio) | |
Commercial Paper | 11.6% |
Certificates of Deposit | 6.2 |
Yankee/Foreign | 15.4 |
Other | 4.3 |
U.S. Treasury Bills | 18.4 |
U.S. Government Agency Obligations | 42.0 |
Repurchase Agreements | 2.1 |
The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are
generally 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 27, 2011, and represent estimated costs for the current fiscal year. For
the six months ended February 29, 2012, the annualized expense ratios were 0.17% 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.
Fiscal-Year Total Returns (%): August 31, 2001, Through February 29, 2012 | ||
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 |
2012 | 0.01 | 0.00 |
7-day SEC yield (2/29/2012): 0.04% | ||
Money Market Funds Average: Derived from data provided by Lipper Inc. | ||
Note: For 2012, performance data reflect the six months ended February 29, 2012. |
Average Annual Total Returns: Periods Ended December 31, 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 | 0.05% | 1.69% | 1.99% |
Institutional Shares | 10/3/1989 | 0.14 | 1.83 | 2.17 |
See Financial Highlights for dividend information.
10
Prime Money Market Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 29, 2012
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 (62.9%) | |||||
2 | Fannie Mae Discount Notes | 0.090% | 3/1/12 | 1,000,000 | 1,000,000 |
2 | Fannie Mae Discount Notes | 0.090% | 3/2/12 | 1,000,000 | 999,997 |
2 | Fannie Mae Discount Notes | 0.025%–0.105% | 3/14/12 | 170,541 | 170,536 |
2 | Fannie Mae Discount Notes | 0.030%–0.100% | 4/2/12 | 200,149 | 200,137 |
2 | Fannie Mae Discount Notes | 0.030%–0.100% | 4/4/12 | 235,775 | 235,755 |
2 | Fannie Mae Discount Notes | 0.045%–0.100% | 4/11/12 | 293,000 | 292,974 |
2 | Fannie Mae Discount Notes | 0.070% | 4/16/12 | 20,000 | 19,998 |
2 | Fannie Mae Discount Notes | 0.045%–0.100% | 4/18/12 | 337,500 | 337,458 |
2 | Fannie Mae Discount Notes | 0.070%–0.100% | 4/25/12 | 133,379 | 133,363 |
2 | Fannie Mae Discount Notes | 0.070%–0.090% | 5/2/12 | 327,800 | 327,754 |
2 | Fannie Mae Discount Notes | 0.070% | 5/9/12 | 25,000 | 24,997 |
2 | Fannie Mae Discount Notes | 0.065% | 5/21/12 | 1,495,000 | 1,494,781 |
2 | Fannie Mae Discount Notes | 0.070% | 6/6/12 | 17,800 | 17,797 |
2 | Fannie Mae Discount Notes | 0.070% | 6/13/12 | 55,000 | 54,989 |
2 | Fannie Mae Discount Notes | 0.080% | 6/20/12 | 276,000 | 275,932 |
2 | Fannie Mae Discount Notes | 0.081% | 6/25/12 | 95,793 | 95,768 |
2 | Fannie Mae Discount Notes | 0.081% | 6/27/12 | 320,000 | 319,915 |
2 | Fannie Mae Discount Notes | 0.085% | 7/18/12 | 250,000 | 249,918 |
3 | Federal Home Loan Bank Discount Notes | 0.025%–0.100% | 3/2/12 | 447,655 | 447,654 |
3 | Federal Home Loan Bank Discount Notes | 0.025%–0.030% | 3/9/12 | 908,766 | 908,761 |
3 | Federal Home Loan Bank Discount Notes | 0.020%–0.040% | 3/14/12 | 672,558 | 672,552 |
3 | Federal Home Loan Bank Discount Notes | 0.025%–0.085% | 3/16/12 | 700,000 | 699,983 |
3 | Federal Home Loan Bank Discount Notes | 0.030% | 3/21/12 | 143,000 | 142,998 |
3 | Federal Home Loan Bank Discount Notes | 0.045% | 3/28/12 | 456,000 | 455,985 |
3 | Federal Home Loan Bank Discount Notes | 0.030%–0.100% | 4/4/12 | 808,802 | 808,776 |
3 | Federal Home Loan Bank Discount Notes | 0.030%–0.100% | 4/9/12 | 863,000 | 862,957 |
3 | Federal Home Loan Bank Discount Notes | 0.050% | 4/11/12 | 217,000 | 216,988 |
3 | Federal Home Loan Bank Discount Notes | 0.045%–0.050% | 4/13/12 | 476,400 | 476,373 |
3 | Federal Home Loan Bank Discount Notes | 0.045%–0.100% | 4/18/12 | 276,500 | 276,478 |
3 | Federal Home Loan Bank Discount Notes | 0.050% | 4/20/12 | 1,633,100 | 1,632,987 |
3 | Federal Home Loan Bank Discount Notes | 0.050%–0.080% | 4/25/12 | 269,439 | 269,411 |
3 | Federal Home Loan Bank Discount Notes | 0.070%–0.100% | 4/27/12 | 406,931 | 406,877 |
3 | Federal Home Loan Bank Discount Notes | 0.080% | 5/1/12 | 35,647 | 35,642 |
3 | Federal Home Loan Bank Discount Notes | 0.070%–0.090% | 5/2/12 | 1,011,499 | 1,011,359 |
3 | Federal Home Loan Bank Discount Notes | 0.070%–0.100% | 5/4/12 | 1,494,070 | 1,493,814 |
11
Prime Money Market Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Yield1 | Date | ($000) | ($000) | ||
3 | Federal Home Loan Bank Discount Notes | 0.100% | 5/9/12 | 79,000 | 78,985 |
3 | Federal Home Loan Bank Discount Notes | 0.070%–0.120% | 5/11/12 | 436,618 | 436,548 |
3 | Federal Home Loan Bank Discount Notes | 0.070%–0.156% | 5/16/12 | 668,200 | 668,020 |
3 | Federal Home Loan Bank Discount Notes | 0.080% | 6/20/12 | 100,000 | 99,975 |
3 | Federal Home Loan Bank Discount Notes | 0.080% | 6/22/12 | 216,805 | 216,750 |
2,4 | Federal Home Loan Mortgage Corp. | 0.185% | 8/24/12 | 2,515,000 | 2,514,419 |
2,4 | Federal Home Loan Mortgage Corp. | 0.213% | 2/4/13 | 1,000,000 | 999,526 |
2,4 | Federal Home Loan Mortgage Corp. | 0.205% | 3/21/13 | 907,000 | 906,516 |
2,4 | Federal Home Loan Mortgage Corp. | 0.213% | 5/6/13 | 980,000 | 979,443 |
2,4 | Federal Home Loan Mortgage Corp. | 0.214% | 6/3/13 | 950,000 | 949,517 |
2,4 | Federal Home Loan Mortgage Corp. | 0.196% | 6/17/13 | 83,000 | 82,946 |
2,4 | Federal National Mortgage Assn. | 0.266% | 8/23/12 | 1,455,500 | 1,455,288 |
2,4 | Federal National Mortgage Assn. | 0.276% | 9/17/12 | 988,000 | 987,891 |
2,4 | Federal National Mortgage Assn. | 0.266% | 11/23/12 | 1,772,795 | 1,772,402 |
2,4 | Federal National Mortgage Assn. | 0.276% | 12/20/12 | 494,500 | 494,419 |
2,4 | Federal National Mortgage Assn. | 0.274% | 12/28/12 | 219,000 | 218,963 |
2,4 | Federal National Mortgage Assn. | 0.244% | 8/12/13 | 1,000,000 | 999,560 |
2,4 | Federal National Mortgage Assn. | 0.230% | 11/8/13 | 1,250,000 | 1,249,360 |
2,4 | Federal National Mortgage Assn. | 0.221% | 11/14/13 | 1,000,000 | 999,494 |
2 | Freddie Mac Discount Notes | 0.094%–0.105% | 3/5/12 | 959,315 | 959,305 |
2 | Freddie Mac Discount Notes | 0.105% | 3/6/12 | 37,400 | 37,399 |
2 | Freddie Mac Discount Notes | 0.100%–0.105% | 3/12/12 | 335,000 | 334,989 |
2 | Freddie Mac Discount Notes | 0.090% | 3/19/12 | 200,000 | 199,991 |
2 | Freddie Mac Discount Notes | 0.045% | 3/28/12 | 231,363 | 231,355 |
2 | Freddie Mac Discount Notes | 0.030%–0.100% | 4/2/12 | 288,500 | 288,490 |
2 | Freddie Mac Discount Notes | 0.030% | 4/3/12 | 180,355 | 180,350 |
2 | Freddie Mac Discount Notes | 0.050% | 4/4/12 | 139,500 | 139,493 |
2 | Freddie Mac Discount Notes | 0.100% | 4/9/12 | 502,150 | 502,096 |
2 | Freddie Mac Discount Notes | 0.030%–0.100% | 4/10/12 | 222,010 | 221,994 |
2 | Freddie Mac Discount Notes | 0.100% | 4/16/12 | 198,500 | 198,475 |
2 | Freddie Mac Discount Notes | 0.050%–0.070% | 4/23/12 | 389,065 | 389,032 |
2 | Freddie Mac Discount Notes | 0.070%–0.080% | 4/30/12 | 673,502 | 673,415 |
2 | Freddie Mac Discount Notes | 0.070% | 5/7/12 | 253,200 | 253,167 |
2 | Freddie Mac Discount Notes | 0.120% | 5/14/12 | 303,041 | 302,966 |
2 | Freddie Mac Discount Notes | 0.070% | 5/16/12 | 90,000 | 89,987 |
2 | Freddie Mac Discount Notes | 0.070% | 6/4/12 | 77,990 | 77,976 |
2 | Freddie Mac Discount Notes | 0.070% | 6/11/12 | 49,000 | 48,990 |
2 | Freddie Mac Discount Notes | 0.080% | 6/18/12 | 167,500 | 167,459 |
2 | Freddie Mac Discount Notes | 0.085% | 7/23/12 | 53,847 | 53,829 |
United States Treasury Bill | 0.015% | 3/8/12 | 285,801 | 285,800 | |
United States Treasury Bill | 0.113% | 3/15/12 | 1,000,000 | 999,956 | |
United States Treasury Bill | 0.060% | 3/22/12 | 300,000 | 299,989 | |
United States Treasury Bill | 0.026%–0.100% | 3/29/12 | 2,880,000 | 2,879,832 | |
United States Treasury Bill | 0.032% | 4/19/12 | 500,000 | 499,979 | |
United States Treasury Bill | 0.043%–0.050% | 4/26/12 | 1,020,000 | 1,019,931 | |
United States Treasury Bill | 0.040%–0.068% | 5/3/12 | 2,046,000 | 2,045,792 | |
United States Treasury Bill | 0.080%–0.081% | 5/10/12 | 1,392,000 | 1,391,782 | |
United States Treasury Bill | 0.095% | 5/17/12 | 1,190,000 | 1,189,758 | |
United States Treasury Bill | 0.065%–0.090% | 5/24/12 | 2,350,000 | 2,349,617 | |
United States Treasury Bill | 0.108%–0.111% | 5/31/12 | 4,013,000 | 4,011,886 | |
United States Treasury Bill | 0.105%–0.115% | 6/7/12 | 1,055,000 | 1,054,687 | |
United States Treasury Bill | 0.095% | 7/12/12 | 500,000 | 499,824 | |
United States Treasury Bill | 0.118% | 8/2/12 | 500,000 | 499,749 | |
United States Treasury Bill | 0.121% | 8/9/12 | 500,000 | 499,729 | |
United States Treasury Bill | 0.125%–0.130% | 8/16/12 | 1,250,000 | 1,249,247 | |
United States Treasury Bill | 0.123%–0.125% | 8/23/12 | 950,000 | 949,425 |
12
Prime Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Yield1 | Date | ($000) | ($000) | |
United States Treasury Note/Bond | 1.375% | 3/15/12 | 847,000 | 847,420 |
United States Treasury Note/Bond | 1.000% | 3/31/12 | 940,000 | 940,710 |
United States Treasury Note/Bond | 4.500% | 3/31/12 | 200,000 | 200,724 |
United States Treasury Note/Bond | 1.375% | 4/15/12 | 2,232,000 | 2,235,535 |
United States Treasury Note/Bond | 1.375% | 5/15/12 | 904,000 | 906,415 |
United States Treasury Note/Bond | 0.750% | 5/31/12 | 110,000 | 110,182 |
United States Treasury Note/Bond | 1.875% | 6/15/12 | 100,000 | 100,517 |
United States Treasury Note/Bond | 1.500% | 7/15/12 | 1,983,000 | 1,993,405 |
United States Treasury Note/Bond | 1.750% | 8/15/12 | 2,650,000 | 2,670,199 |
United States Treasury Note/Bond | 4.375% | 8/15/12 | 1,100,000 | 1,121,601 |
United States Treasury Note/Bond | 4.125% | 8/31/12 | 100,000 | 102,005 |
Total U.S. Government and Agency Obligations (Cost $71,488,140) | 71,488,140 | |||
Commercial Paper (18.9%) | ||||
Finance—Auto (1.5%) | ||||
American Honda Finance Corp. | 0.240%–0.250% | 3/2/12 | 74,800 | 74,800 |
American Honda Finance Corp. | 0.250% | 3/6/12 | 98,000 | 97,997 |
American Honda Finance Corp. | 0.190%–0.210% | 4/3/12 | 139,000 | 138,975 |
American Honda Finance Corp. | 0.180% | 4/4/12 | 51,000 | 50,991 |
American Honda Finance Corp. | 0.160% | 4/16/12 | 146,628 | 146,598 |
American Honda Finance Corp. | 0.190%–0.210% | 4/17/12 | 91,500 | 91,476 |
American Honda Finance Corp. | 0.160% | 4/18/12 | 20,900 | 20,896 |
American Honda Finance Corp. | 0.190% | 5/2/12 | 29,000 | 28,991 |
Toyota Credit Canada Inc. | 0.531% | 3/20/12 | 49,500 | 49,486 |
Toyota Motor Credit Corp. | 0.542% | 4/5/12 | 26,000 | 25,986 |
Toyota Motor Credit Corp. | 0.542% | 4/9/12 | 169,000 | 168,901 |
Toyota Motor Credit Corp. | 0.552% | 4/17/12 | 31,500 | 31,477 |
Toyota Motor Credit Corp. | 0.582% | 5/15/12 | 51,000 | 50,938 |
Toyota Motor Credit Corp. | 0.572% | 5/16/12 | 137,500 | 137,335 |
Toyota Motor Credit Corp. | 0.552% | 6/1/12 | 207,000 | 206,709 |
Toyota Motor Credit Corp. | 0.552% | 6/4/12 | 109,000 | 108,842 |
Toyota Motor Credit Corp. | 0.481% | 6/11/12 | 99,000 | 98,865 |
Toyota Motor Credit Corp. | 0.431% | 8/24/12 | 45,750 | 45,654 |
Toyota Motor Credit Corp. | 0.431% | 8/27/12 | 112,500 | 112,259 |
1,687,176 | ||||
Finance—Other (6.5%) | ||||
5 Chariot Funding LLC | 0.220% | 4/5/12 | 42,000 | 41,991 |
5 Chariot Funding LLC | 0.210% | 4/9/12 | 80,000 | 79,982 |
5 Chariot Funding LLC | 0.210% | 4/10/12 | 72,000 | 71,983 |
5 Chariot Funding LLC | 0.210% | 4/11/12 | 40,300 | 40,290 |
5 Chariot Funding LLC | 0.190% | 5/7/12 | 60,000 | 59,979 |
5 Chariot Funding LLC | 0.190% | 5/8/12 | 78,800 | 78,772 |
5 Chariot Funding LLC | 0.200% | 5/10/12 | 30,500 | 30,488 |
5 Chariot Funding LLC | 0.190% | 5/14/12 | 99,000 | 98,961 |
5 Chariot Funding LLC | 0.190% | 5/18/12 | 55,000 | 54,977 |
General Electric Capital Corp. | 0.341% | 3/19/12 | 500,000 | 499,915 |
General Electric Capital Corp. | 0.371% | 4/10/12 | 149,000 | 148,939 |
General Electric Capital Corp. | 0.371% | 4/11/12 | 371,000 | 370,844 |
General Electric Capital Corp. | 0.371% | 4/12/12 | 371,000 | 370,840 |
General Electric Capital Corp. | 0.391% | 5/16/12 | 495,000 | 494,593 |
General Electric Capital Corp. | 0.381% | 6/11/12 | 150,000 | 149,839 |
General Electric Capital Corp. | 0.381% | 6/18/12 | 253,000 | 252,709 |
General Electric Capital Corp. | 0.381% | 6/19/12 | 250,000 | 249,710 |
General Electric Capital Corp. | 0.310% | 7/9/12 | 200,000 | 199,776 |
General Electric Capital Services Inc. | 0.381% | 4/10/12 | 396,000 | 395,833 |
13
Prime Money Market Fund | ||||||
Face | Market | |||||
Maturity | Amount | Value | ||||
Yield1 | Date | ($000) | ($000) | |||
General Electric Capital Services Inc. | 0.401% | 5/7/12 | 99,000 | 98,926 | ||
5 | Govco LLC | 0.441% | 3/6/12 | 75,000 | 74,996 | |
5 | Govco LLC | 0.431% | 3/12/12 | 82,000 | 81,989 | |
5 | Govco LLC | 0.431% | 3/14/12 | 82,000 | 81,987 | |
5 | Govco LLC | 0.400% | 3/15/12 | 100,000 | 99,985 | |
5 | Govco LLC | 0.410% | 3/16/12 | 123,000 | 122,979 | |
5 | Govco LLC | 0.400% | 3/19/12 | 100,000 | 99,980 | |
5 | Govco LLC | 0.370% | 3/20/12 | 247,400 | 247,352 | |
5 | Govco LLC | 0.400% | 3/22/12 | 12,000 | 11,997 | |
5 | Govco LLC | 0.320% | 4/9/12 | 34,000 | 33,988 | |
5 | Govco LLC | 0.290% | 5/1/12 | 100,000 | 99,951 | |
5 | Govco LLC | 0.300% | 5/7/12 | 130,000 | 129,927 | |
5 | Govco LLC | 0.300% | 5/8/12 | 100,000 | 99,943 | |
5 | Govco LLC | 0.300% | 5/9/12 | 60,000 | 59,966 | |
5 | Govco LLC | 0.300% | 5/15/12 | 200,000 | 199,875 | |
5 | Jupiter Securitization Co. LLC | 0.220% | 4/5/12 | 42,000 | 41,991 | |
5 | Jupiter Securitization Co. LLC | 0.210% | 4/10/12 | 50,000 | 49,988 | |
5 | Jupiter Securitization Co. LLC | 0.190% | 5/8/12 | 92,000 | 91,967 | |
5 | Jupiter Securitization Co. LLC | 0.190% | 5/9/12 | 19,750 | 19,743 | |
5 | Old Line Funding LLC | 0.220% | 3/1/12 | 74,000 | 74,000 | |
5 | Old Line Funding LLC | 0.220% | 3/5/12 | 266,000 | 265,994 | |
5 | Old Line Funding LLC | 0.220% | 3/6/12 | 60,000 | 59,998 | |
5 | Old Line Funding LLC | 0.220% | 3/7/12 | 62,492 | 62,490 | |
5 | Old Line Funding LLC | 0.220%–0.230% | 3/12/12 | 213,600 | 213,585 | |
5 | Old Line Funding LLC | 0.220% | 3/13/12 | 41,000 | 40,997 | |
5 | Old Line Funding LLC | 0.220% | 3/15/12 | 149,000 | 148,987 | |
5 | Old Line Funding LLC | 0.220% | 3/19/12 | 198,000 | 197,978 | |
5 | Old Line Funding LLC | 0.220% | 3/28/12 | 41,000 | 40,993 | |
5 | Old Line Funding LLC | 0.220% | 4/2/12 | 39,600 | 39,592 | |
5 | Old Line Funding LLC | 0.210% | 4/4/12 | 24,000 | 23,995 | |
5 | Old Line Funding LLC | 0.210% | 4/9/12 | 38,000 | 37,991 | |
5 | Old Line Funding LLC | 0.210% | 4/16/12 | 51,000 | 50,986 | |
5 | Old Line Funding LLC | 0.210% | 4/17/12 | 120,300 | 120,267 | |
5 | Old Line Funding LLC | 0.210% | 4/18/12 | 93,700 | 93,674 | |
5 | Old Line Funding LLC | 0.210% | 4/26/12 | 39,000 | 38,987 | |
5 | Old Line Funding LLC | 0.200% | 5/3/12 | 120,000 | 119,958 | |
5 | Old Line Funding LLC | 0.190% | 5/7/12 | 31,000 | 30,989 | |
5 | Old Line Funding LLC | 0.200% | 5/10/12 | 65,000 | 64,975 | |
5 | Old Line Funding LLC | 0.200% | 5/14/12 | 56,044 | 56,021 | |
5 | Old Line Funding LLC | 0.200% | 5/18/12 | 51,000 | 50,978 | |
5 | Old Line Funding LLC | 0.200% | 5/25/12 | 86,059 | 86,018 | |
5 | Straight-A Funding LLC | 0.180% | 5/25/12 | 26,500 | 26,489 | |
7,383,893 | ||||||
Foreign Banks (4.2%) | ||||||
4,5 | Australia & New Zealand Banking Group, Ltd. | 0.326% | 8/17/12 | 138,000 | 137,988 | |
5 | Australia & New Zealand Banking Group, Ltd. | 0.456% | 3/27/12 | 297,000 | 296,902 | |
5 | Australia & New Zealand Banking Group, Ltd. | 0.451% | 4/4/12 | 298,250 | 298,123 | |
5 | Australia & New Zealand Banking Group, Ltd. | 0.456% | 4/5/12 | 500,000 | 499,777 | |
5 | Australia & New Zealand Banking Group, Ltd. | 0.461% | 4/10/12 | 150,000 | 149,923 | |
5 | Australia & New Zealand Banking Group, Ltd. | 0.501% | 5/10/12 | 316,000 | 315,693 | |
5 | Australia & New Zealand Banking Group, Ltd. | 0.351% | 8/27/12 | 198,000 | 197,655 | |
5 | Australia & New Zealand Banking Group, Ltd. | 0.351% | 8/29/12 | 56,000 | 55,902 | |
5 | Australia & New Zealand Banking Group, Ltd. | 0.351% | 8/30/12 | 189,600 | 189,265 | |
5 | Commonwealth Bank of Australia | 0.461% | 3/15/12 | 500,000 | 499,911 | |
5 | Commonwealth Bank of Australia | 0.486% | 3/19/12 | 500,000 | 499,879 |
14
Prime Money Market Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Yield1 | Date | ($000) | ($000) | ||
5 | Commonwealth Bank of Australia | 0.341% | 9/4/12 | 225,000 | 224,603 |
4,5 | Westpac Banking Corp. | 0.404% | 4/11/12 | 500,000 | 500,000 |
4,5 | Westpac Banking Corp. | 0.398% | 7/16/12 | 404,000 | 404,000 |
5 | Westpac Banking Corp. | 0.401% | 8/7/12 | 494,000 | 493,127 |
4,762,748 | |||||
Foreign Governments (0.2%) | |||||
Province of Ontario | 0.150% | 5/22/12 | 30,000 | 29,990 | |
5 | Quebec | 0.100% | 3/13/12 | 50,000 | 49,998 |
5 | Quebec | 0.100% | 3/16/12 | 45,600 | 45,598 |
5 | Quebec | 0.100% | 3/19/12 | 38,000 | 37,998 |
5 | Quebec | 0.080% | 3/21/12 | 27,500 | 27,499 |
191,083 | |||||
Foreign Industrial (2.5%) | |||||
5 | Nestle Capital Corp. | 0.090% | 3/13/12 | 41,000 | 40,999 |
5 | Nestle Capital Corp. | 0.170% | 4/11/12 | 49,000 | 48,991 |
5 | Nestle Capital Corp. | 0.170% | 4/13/12 | 49,500 | 49,490 |
5 | Nestle Capital Corp. | 0.170% | 4/16/12 | 99,000 | 98,978 |
5 | Nestle Capital Corp. | 0.230% | 5/17/12 | 49,500 | 49,476 |
5 | Nestle Capital Corp. | 0.331% | 7/16/12 | 98,000 | 97,877 |
5 | Nestle Capital Corp. | 0.281% | 7/23/12 | 39,000 | 38,956 |
5 | Nestle Capital Corp. | 0.291% | 10/9/12 | 742,000 | 740,673 |
5 | Nestle Capital Corp. | 0.291% | 10/16/12 | 50,000 | 49,908 |
5 | Nestle Capital Corp. | 0.291% | 10/17/12 | 98,000 | 97,818 |
5 | Nestle Capital Corp. | 0.301% | 10/26/12 | 247,500 | 247,007 |
Nestle Finance International Ltd. | 0.291% | 10/12/12 | 153,000 | 152,723 | |
Nestle Finance International Ltd. | 0.291% | 10/15/12 | 150,000 | 149,724 | |
Nestle Finance International Ltd. | 0.301% | 10/26/12 | 45,000 | 44,910 | |
Nestle Finance International Ltd. | 0.301% | 11/1/12 | 97,000 | 96,802 | |
5 | Texas Instruments International | ||||
Management Co Sarl. | 0.110% | 3/12/12 | 245,000 | 244,992 | |
5 | Total Capital Canada, Ltd. | 0.110% | 3/9/12 | 250,000 | 249,994 |
5 | Total Capital Canada, Ltd. | 0.090% | 3/15/12 | 128,800 | 128,795 |
5 | Total Capital Canada, Ltd. | 0.100% | 3/23/12 | 18,000 | 17,999 |
5 | Total Capital Canada, Ltd. | 0.150%–0.155% | 5/17/12 | 192,000 | 191,938 |
2,838,050 | |||||
Industrial (4.0%) | |||||
General Electric Co. | 0.110% | 3/6/12 | 250,000 | 249,996 | |
General Electric Co. | 0.110% | 3/7/12 | 500,000 | 499,991 | |
5 | Google Inc. | 0.120% | 6/8/12 | 75,000 | 74,975 |
5 | Johnson & Johnson | 0.060% | 3/21/12 | 199,000 | 198,993 |
5 | Johnson & Johnson | 0.070% | 4/2/12 | 16,000 | 15,999 |
5 | Procter & Gamble Co. | 0.110% | 3/1/12 | 81,500 | 81,500 |
5 | Procter & Gamble Co. | 0.120% | 3/2/12 | 65,000 | 65,000 |
5 | Procter & Gamble Co. | 0.130% | 3/12/12 | 197,800 | 197,792 |
5 | Procter & Gamble Co. | 0.140% | 3/13/12 | 445,000 | 444,979 |
5 | Procter & Gamble Co. | 0.140% | 3/14/12 | 99,000 | 98,995 |
5 | Procter & Gamble Co. | 0.080% | 3/19/12 | 196,511 | 196,503 |
5 | Procter & Gamble Co. | 0.130% | 5/11/12 | 543,700 | 543,561 |
5 | The Coca-Cola Co. | 0.115% | 3/14/12 | 96,500 | 96,496 |
5 | The Coca-Cola Co. | 0.120% | 3/21/12 | 82,000 | 81,995 |
5 | The Coca-Cola Co. | 0.120% | 3/22/12 | 185,000 | 184,987 |
5 | The Coca-Cola Co. | 0.120% | 4/17/12 | 167,000 | 166,974 |
5 | The Coca-Cola Co. | 0.120% | 4/18/12 | 200,000 | 199,968 |
5 | The Coca-Cola Co. | 0.120% | 4/19/12 | 99,000 | 98,984 |
15
Prime Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Yield1 | Date | ($000) | ($000) | |
5 The Coca-Cola Co. | 0.120% | 4/24/12 | 150,000 | 149,973 |
5 The Coca-Cola Co. | 0.120% | 4/25/12 | 100,000 | 99,982 |
5 The Coca-Cola Co. | 0.170% | 5/17/12 | 49,500 | 49,482 |
5 The Coca-Cola Co. | 0.160% | 5/24/12 | 39,000 | 38,985 |
5 The Coca-Cola Co. | 0.160% | 5/25/12 | 78,000 | 77,971 |
5 The Coca-Cola Co. | 0.170% | 6/1/12 | 175,000 | 174,924 |
5 The Coca-Cola Co. | 0.170% | 6/5/12 | 99,000 | 98,955 |
5 Wal-Mart Stores, Inc. | 0.070% | 3/26/12 | 29,299 | 29,298 |
5 Wal-Mart Stores, Inc. | 0.090% | 4/25/12 | 41,500 | 41,494 |
5 Wal-Mart Stores, Inc. | 0.140% | 4/27/12 | 73,000 | 72,984 |
5 Wal-Mart Stores, Inc. | 0.160% | 5/17/12 | 116,000 | 115,960 |
5 Wal-Mart Stores, Inc. | 0.160% | 5/18/12 | 140,000 | 139,951 |
4,587,647 | ||||
Total Commercial Paper (Cost $21,450,597) | 21,450,597 | |||
Certificates of Deposit (15.5%) | ||||
Domestic Banks (1.1%) | ||||
Branch Banking & Trust Co. | 0.240% | 4/2/12 | 162,000 | 162,000 |
Branch Banking & Trust Co. | 0.200% | 4/9/12 | 120,000 | 120,000 |
Branch Banking & Trust Co. | 0.200% | 4/10/12 | 242,000 | 242,000 |
Branch Banking & Trust Co. | 0.200% | 4/17/12 | 156,300 | 156,300 |
Branch Banking & Trust Co. | 0.200% | 4/18/12 | 200,000 | 200,000 |
Branch Banking & Trust Co. | 0.200% | 4/19/12 | 113,000 | 113,000 |
Branch Banking & Trust Co. | 0.190% | 4/26/12 | 80,000 | 80,000 |
Branch Banking & Trust Co. | 0.190% | 4/26/12 | 80,000 | 80,000 |
Branch Banking & Trust Co. | 0.190% | 4/27/12 | 156,000 | 156,000 |
1,309,300 | ||||
Eurodollar Certificates of Deposit (5.3%) | ||||
Australia & New Zealand Banking Group, Ltd. | 0.455% | 4/5/12 | 500,000 | 500,000 |
Australia & New Zealand Banking Group, Ltd. | 0.470% | 4/25/12 | 265,000 | 265,000 |
Australia & New Zealand Banking Group, Ltd. | 0.500% | 5/2/12 | 148,000 | 148,000 |
Australia & New Zealand Banking Group, Ltd. | 0.500% | 5/4/12 | 100,000 | 100,000 |
Australia & New Zealand Banking Group, Ltd. | 0.360% | 8/9/12 | 250,000 | 250,000 |
Commonwealth Bank of Australia | 0.310% | 3/6/12 | 155,000 | 155,000 |
Commonwealth Bank of Australia | 0.310% | 3/12/12 | 200,000 | 200,000 |
Commonwealth Bank of Australia | 0.500% | 5/18/12 | 500,000 | 500,000 |
Commonwealth Bank of Australia | 0.390% | 8/8/12 | 180,000 | 180,000 |
Commonwealth Bank of Australia | 0.390% | 8/9/12 | 400,000 | 400,000 |
Commonwealth Bank of Australia | 0.380% | 8/17/12 | 248,000 | 248,000 |
Commonwealth Bank of Australia | 0.370% | 8/23/12 | 495,000 | 495,000 |
National Australia Bank Ltd. | 0.380% | 3/13/12 | 145,000 | 145,000 |
4 National Australia Bank Ltd. | 0.390% | 8/14/12 | 745,000 | 745,000 |
4 National Australia Bank Ltd. | 0.389% | 8/15/12 | 445,000 | 445,000 |
National Australia Bank Ltd. | 0.230% | 4/10/12 | 1,000,000 | 1,000,000 |
National Australia Bank Ltd. | 0.400% | 8/1/12 | 200,000 | 200,000 |
5,976,000 | ||||
Yankee Certificates of Deposit (9.1%) | ||||
Bank of Montreal (Chicago Branch) | 0.230% | 3/1/12 | 475,000 | 475,000 |
Bank of Montreal (Chicago Branch) | 0.230% | 3/5/12 | 500,000 | 500,000 |
Bank of Montreal (Chicago Branch) | 0.190% | 5/7/12 | 399,000 | 399,000 |
Bank of Montreal (Chicago Branch) | 0.200% | 5/17/12 | 500,000 | 500,000 |
Bank of Nova Scotia (Houston Branch) | 0.260% | 3/5/12 | 8,000 | 8,000 |
Bank of Nova Scotia (Houston Branch) | 0.280% | 3/19/12 | 440,000 | 440,000 |
Bank of Nova Scotia (Houston Branch) | 0.460% | 5/2/12 | 400,000 | 400,000 |
16
Prime Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Yield1 | Date | ($000) | ($000) | |
Bank of Nova Scotia (Houston Branch) | 0.460% | 5/8/12 | 1,000,000 | 1,000,000 |
Bank of Nova Scotia (Houston Branch) | 0.490% | 5/15/12 | 600,000 | 600,000 |
Bank of Nova Scotia (Houston Branch) | 0.480% | 5/18/12 | 450,000 | 450,000 |
Bank of Nova Scotia (Houston Branch) | 0.520% | 5/29/12 | 64,000 | 64,000 |
Bank of Nova Scotia (Houston Branch) | 0.360% | 8/24/12 | 450,000 | 450,000 |
4 National Australia Bank (New York Branch) | 0.395% | 4/20/12 | 880,000 | 880,000 |
Toronto Dominion Bank (New York Branch) | 0.200% | 3/26/12 | 250,000 | 250,000 |
Toronto Dominion Bank (New York Branch) | 0.380% | 4/3/12 | 495,000 | 495,000 |
Toronto Dominion Bank (New York Branch) | 0.380% | 4/4/12 | 247,000 | 247,000 |
Toronto Dominion Bank (New York Branch) | 0.370% | 4/17/12 | 495,000 | 495,000 |
Toronto Dominion Bank (New York Branch) | 0.380% | 5/1/12 | 495,000 | 495,000 |
Toronto Dominion Bank (New York Branch) | 0.210% | 5/8/12 | 42,500 | 42,502 |
Toronto Dominion Bank (New York Branch) | 0.390% | 5/8/12 | 500,000 | 500,000 |
Toronto Dominion Bank (New York Branch) | 0.280% | 8/23/12 | 344,000 | 344,000 |
Toronto Dominion Bank (New York Branch) | 0.280% | 8/24/12 | 500,000 | 500,000 |
Westpac Banking Corp. (New York Branch) | 0.470% | 3/16/12 | 500,000 | 500,000 |
4 Westpac Banking Corp. (New York Branch) | 0.414% | 5/3/12 | 350,000 | 350,000 |
10,384,502 | ||||
Total Certificates of Deposit (Cost $17,669,802) | 17,669,802 | |||
Repurchase Agreements (2.1%) | ||||
Goldman Sachs & Co. (Dated 2/29/12, | ||||
Repurchase Value $55,000,000, collateralized | ||||
by U.S. Treasury Inflation Indexed Note/Bond | ||||
2.625%–3.375%, 7/15/17–4/15/32) | 0.160% | 3/1/12 | 55,000 | 55,000 |
JP Morgan Securities LLC (Dated 2/29/12, | ||||
Repurchase Value $300,001,000, collateralized | ||||
by U.S. Treasury Note/Bond 1.375%–2.375%, | ||||
6/30/18–9/30/18) | 0.120% | 3/1/12 | 300,000 | 300,000 |
JP Morgan Securities LLC (Dated 2/29/12, | ||||
Repurchase Value $300,001,000, collateralized | ||||
by U.S. Treasury Note/Bond 2.000%–2.375%, | ||||
6/30/18–2/15/22) | 0.120% | 3/1/12 | 300,000 | 300,000 |
Merrill Lynch Pierce Fenner & Smith Inc. | ||||
(Dated 2/29/12, Repurchase Value $541,139,000, | ||||
collateralized by U.S. Treasury Note/Bond | ||||
0.750%–2.875%, 9/15/13–3/31/18) | 0.150% | 3/1/12 | 541,137 | 541,137 |
RBC Capital Markets LLC (Dated 2/29/12, | ||||
Repurchase Value $1,245,004,000, collateralized | ||||
by U.S. Treasury Inflation Indexed Note/Bond | ||||
1.250%–3.875%, 7/15/15–4/15/29 and | ||||
U.S. Treasury Note/Bond 0.750%–4.375%, | ||||
3/31/13–5/15/41) | 0.110% | 3/1/12 | 1,245,000 | 1,245,000 |
Total Repurchase Agreements (Cost $2,441,137) | 2,441,137 | |||
Shares | ||||
Money Market Fund (1.5%) | ||||
6 Vanguard Municipal Cash Management Fund | ||||
(Cost $1,649,381) | 0.133% | 1,649,381,011 | 1,649,381 |
17
Prime Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Yield1 | Date | ($000) | ($000) | |
Tax-Exempt Municipal Bonds (2.7%) | ||||
Akron OH Bath & Copley Joint Township | ||||
Hospital District Revenue (Akron General | ||||
Health System) VRDO | 0.110% | 3/7/12 | 19,500 | 19,500 |
Arizona Health Facilities Authority Revenue | ||||
(Banner Health) VRDO | 0.120% | 3/7/12 | 35,955 | 35,955 |
Arizona Health Facilities Authority Revenue | ||||
(Banner Health) VRDO | 0.130% | 3/7/12 | 38,715 | 38,715 |
Ascension Parish LA Industrial Development | ||||
Board Revenue (IMTT-Geismar Project) VRDO | 0.130% | 3/7/12 | 79,000 | 79,000 |
Bi-State Development Agency of the | ||||
Missouri-Illinois Metropolitan District | ||||
Revenue VRDO | 0.150% | 3/7/12 | 29,800 | 29,800 |
Birmingham AL Public Educational Building | ||||
Student Housing Revenue (University of | ||||
Alabama at Birmingham Project) VRDO | 0.160% | 3/7/12 | 16,575 | 16,575 |
Buffalo NY Municipal Water System Revenue | ||||
VRDO | 0.120% | 3/7/12 | 12,000 | 12,000 |
California Housing Finance Agency Home | ||||
Mortgage Revenue VRDO | 0.100% | 3/7/12 | 9,265 | 9,265 |
California Housing Finance Agency Home | ||||
Mortgage Revenue VRDO | 0.120% | 3/7/12 | 18,900 | 18,900 |
California Statewide Communities Development | ||||
Authority Revenue (Redlands Community | ||||
Hospital) VRDO | 0.140% | 3/7/12 | 22,100 | 22,100 |
Clackamas County OR Hospital Facility Authority | ||||
Revenue (Legacy Health System) VRDO | 0.110% | 3/7/12 | 9,700 | 9,700 |
Clark County NV Industrial Development | ||||
Revenue (Southwest Gas Corp.) VRDO | 0.130% | 3/7/12 | 27,500 | 27,500 |
Cleveland-Cuyahoga County OH Port Authority | ||||
Revenue (SPC Buildings 1 & 3 LLC) VRDO | 0.130% | 3/7/12 | 23,500 | 23,500 |
Cobb County GA Hospital Authority Revenue | ||||
(Equipment Pool Project) VRDO | 0.160% | 3/7/12 | 11,200 | 11,200 |
Colorado Health Facilities Authority Revenue | ||||
(Evangelical Lutheran Good Samaritan | ||||
Society Project) VRDO | 0.120% | 3/7/12 | 10,000 | 10,000 |
Columbus OH Regional Airport Authority Airport | ||||
Revenue (Oasbo Expanded Asset Program) | ||||
VRDO | 0.170% | 3/7/12 | 18,355 | 18,355 |
Connecticut Health & Educational Facilities | ||||
Authority Revenue (Yale University) VRDO | 0.100% | 3/7/12 | 35,000 | 35,000 |
Curators of the University of Missouri System | ||||
Facilities Revenue VRDO | 0.130% | 3/7/12 | 62,150 | 62,150 |
Delaware River Port Authority Pennsylvania & | ||||
New Jersey Revenue VRDO | 0.140% | 3/7/12 | 76,100 | 76,100 |
District of Columbia Revenue | ||||
(Georgetown University) VRDO | 0.160% | 3/7/12 | 7,575 | 7,575 |
District of Columbia Revenue | ||||
(Georgetown University) VRDO | 0.160% | 3/7/12 | 17,200 | 17,200 |
District of Columbia Revenue | ||||
(Washington Drama Society) VRDO | 0.210% | 3/7/12 | 20,375 | 20,375 |
Fairfax County VA Economic Development | ||||
Authority Resource Recovery Revenue | ||||
(Lorton Arts Foundation Project) VRDO | 0.150% | 3/7/12 | 10,600 | 10,600 |
18
Prime Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Yield1 | Date | ($000) | ($000) | |
Greenville County SC Hospital System | ||||
Revenue VRDO | 0.130% | 3/7/12 | 13,000 | 13,000 |
Hanover County VA Economic Development | ||||
Authority Revenue (Bon Secours Health | ||||
System Inc.) VRDO | 0.140% | 3/7/12 | 12,255 | 12,255 |
Harris County TX Cultural Education Facilities | ||||
Finance Corp. Hospital Revenue (Memorial | ||||
Hermann Healthcare System) VRDO | 0.160% | 3/7/12 | 42,000 | 42,000 |
Harris County TX Cultural Education Facilities | ||||
Finance Corp. Medical Facilities Revenue | ||||
(Baylor College of Medicine) VRDO | 0.130% | 3/7/12 | 42,500 | 42,500 |
Idaho Housing & Finance Association Single | ||||
Family Mortgage Revenue VRDO | 0.130% | 3/7/12 | 15,500 | 15,500 |
Idaho Housing & Finance Association Single | ||||
Family Mortgage Revenue VRDO | 0.150% | 3/7/12 | 29,205 | 29,205 |
Illinois Development Finance Authority Revenue | ||||
(Chicago Horticultural Society) VRDO | 0.150% | 3/7/12 | 16,300 | 16,300 |
Illinois Finance Authority Revenue | ||||
(Carle Foundation) VRDO | 0.130% | 3/7/12 | 31,905 | 31,905 |
Illinois Finance Authority Revenue | ||||
(Ingalls Health System) VRDO | 0.110% | 3/7/12 | 43,000 | 43,000 |
Illinois Finance Authority Revenue | ||||
(Little Co. of Mary Hospital & | ||||
Health Care Centers) VRDO | 0.120% | 3/7/12 | 17,815 | 17,815 |
Illinois Finance Authority Revenue | ||||
(Museum of Science & Industry) VRDO | 0.140% | 3/7/12 | 13,000 | 13,000 |
Indiana Development Finance Authority | ||||
EducationalFacilities Revenue (Indianapolis | ||||
Museum of Art Inc. Project) VRDO | 0.130% | 3/7/12 | 14,400 | 14,400 |
Indiana Educational Facilities Authority Revenue | ||||
(Wabash College) VRDO | 0.160% | 3/7/12 | 22,790 | 22,790 |
Indiana Finance Authority Health System Revenue | ||||
(Sisters of St. Francis Health Services Inc. | ||||
Obligated Group) VRDO | 0.130% | 3/7/12 | 39,340 | 39,340 |
Indiana Finance Authority Revenue | ||||
(Lease Appropriation) VRDO | 0.130% | 3/7/12 | 15,075 | 15,075 |
Kentucky Economic Development Finance | ||||
Authority Hospital Revenue (Baptist Healthcare | ||||
System Obligated Group) VRDO | 0.100% | 3/7/12 | 25,035 | 25,035 |
Lincoln County WY Pollution Control Revenue | ||||
(PacifiCorp Project) VRDO | 0.140% | 3/7/12 | 17,200 | 17,200 |
Los Angeles CA Wastewater System Revenue | ||||
VRDO | 0.120% | 3/7/12 | 20,400 | 20,400 |
Loudoun County VA Industrial Development | ||||
Authority Revenue (Howard Hughes | ||||
Medical Institute) VRDO | 0.100% | 3/7/12 | 49,365 | 49,365 |
Loudoun County VA Industrial Development | ||||
Authority Revenue (Howard Hughes | ||||
Medical Institute) VRDO | 0.110% | 3/7/12 | 18,855 | 18,855 |
Louisiana Public Facilities Authority Hospital | ||||
Revenue (Franciscan Missionaries) VRDO | 0.160% | 3/7/12 | 11,650 | 11,650 |
Maine Health & Higher Educational Facilities | ||||
Authority Revenue (Bowdoin College) VRDO | 0.130% | 3/7/12 | 15,130 | 15,130 |
Maryland Health & Higher Educational Facilities | ||||
Authority Revenue (University of Maryland | ||||
Medical System) VRDO | 0.130% | 3/7/12 | 30,160 | 30,160 |
19
Prime Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Yield1 | Date | ($000) | ($000) | |
Massachusetts Development Finance Agency | ||||
Revenue (Simmons College) VRDO | 0.140% | 3/7/12 | 40,000 | 40,000 |
Massachusetts Health & Educational Facilities | ||||
Authority Revenue (Bentley College) VRDO | 0.110% | 3/7/12 | 21,900 | 21,900 |
Massachusetts Health & Educational | ||||
Facilities Authority Revenue (Dana Farber | ||||
Cancer Institute) VRDO | 0.150% | 3/7/12 | 9,015 | 9,015 |
Massachusetts Health & Educational Facilities | ||||
Authority Revenue (MIT) VRDO | 0.110% | 3/7/12 | 19,320 | 19,320 |
Metropolitan Atlanta GA Rapid Transportation | ||||
Authority Georgia Sales Tax Revenue VRDO | 0.120% | 3/7/12 | 43,100 | 43,100 |
Miami-Dade County FL Special Obligation | ||||
Revenue (Juvenile Courthouse Project) VRDO | 0.120% | 3/7/12 | 25,350 | 25,350 |
Michigan Higher Education Facilities Authority | ||||
Revenue (Albion College) VRDO | 0.150% | 3/7/12 | 12,700 | 12,700 |
Michigan Hospital Finance Authority Revenue | ||||
(Henry Ford Health System) VRDO | 0.130% | 3/7/12 | 32,595 | 32,595 |
Middletown OH Hospital Facilities Revenue | ||||
(Atrium Medical Center) VRDO | 0.120% | 3/7/12 | 21,800 | 21,800 |
Minneapolis & St. Paul MN Housing & | ||||
Redevelopment Authority Health Care System | ||||
Revenue (Allina Health System) VRDO | 0.120% | 3/7/12 | 15,000 | 15,000 |
Mississippi Business Finance Corp. Health Care | ||||
Facilities Revenue (Rush Medical Foundation | ||||
Project) VRDO | 0.130% | 3/7/12 | 7,500 | 7,500 |
Missouri Health & Educational Facilities | ||||
Authority Health Facilities Revenue | ||||
(BJC Health System) VRDO | 0.130% | 3/7/12 | 18,000 | 18,000 |
Missouri Health & Educational Facilities | ||||
Authority Health Facilities Revenue | ||||
(SSM Health System) VRDO | 0.120% | 3/7/12 | 83,775 | 83,775 |
Nassau NY Health Care Corp. VRDO | 0.120% | 3/7/12 | 15,000 | 15,000 |
New Jersey Health Care Facilities Financing | ||||
Authority Revenue (Hospital Capital Asset | ||||
Pooled Program) VRDO | 0.120% | 3/7/12 | 19,600 | 19,600 |
New Jersey Transportation Trust Fund | ||||
Authority Transportation System Revenue | ||||
VRDO | 0.110% | 3/7/12 | 32,800 | 32,800 |
New York City NY GO VRDO | 0.110% | 3/7/12 | 21,000 | 21,000 |
New York City NY GO VRDO | 0.130% | 3/7/12 | 10,175 | 10,175 |
New York City NY GO VRDO | 0.130% | 3/7/12 | 29,825 | 29,825 |
New York City NY Housing Development Corp. | ||||
Multi-Family Rental Housing Revenue | ||||
(Carnegie Park) VRDO | 0.100% | 3/7/12 | 39,505 | 39,505 |
New York City NY Housing Development Corp. | ||||
Multi-Family Rental Housing Revenue | ||||
(Monterey) VRDO | 0.100% | 3/7/12 | 21,980 | 21,980 |
New York City NY Housing Development Corp. | ||||
Multi-Family Rental Housing Revenue | ||||
(One Columbus Place Development) VRDO | 0.130% | 3/7/12 | 8,100 | 8,100 |
New York City NY Housing Development Corp. | ||||
Multi-Family Rental Housing Revenue | ||||
(West End Towers) VRDO | 0.130% | 3/7/12 | 31,300 | 31,300 |
New York City NY Industrial Development | ||||
Agency Civic Facility Revenue | ||||
(New York Law School) VRDO | 0.150% | 3/7/12 | 14,885 | 14,885 |
20
Prime Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Yield1 | Date | ($000) | ($000) | |
New York State Dormitory Authority Revenue | ||||
(Royal Charter Properties) VRDO | 0.100% | 3/7/12 | 48,500 | 48,500 |
New York State Dormitory Authority Revenue | ||||
(St. John’s University) VRDO | 0.130% | 3/7/12 | 18,000 | 18,000 |
New York State Housing Finance Agency | ||||
Housing Revenue (10 Liberty Street) VRDO | 0.100% | 3/7/12 | 20,500 | 20,500 |
New York State Housing Finance Agency | ||||
Housing Revenue (125 West 31st Street) | ||||
VRDO | 0.130% | 3/7/12 | 42,300 | 42,300 |
New York State Housing Finance Agency | ||||
Housing Revenue (160 West 62nd Street) | ||||
VRDO | 0.110% | 3/7/12 | 37,000 | 37,000 |
New York State Housing Finance Agency | ||||
Housing Revenue (20 River Terrace Housing) | ||||
VRDO | 0.130% | 3/7/12 | 17,300 | 17,300 |
New York State Housing Finance Agency | ||||
Housing Revenue (320 West 38th Street) | ||||
VRDO | 0.110% | 3/7/12 | 31,500 | 31,500 |
New York State Housing Finance Agency | ||||
Housing Revenue (70 Battery Place) VRDO | 0.130% | 3/7/12 | 12,800 | 12,800 |
New York State Housing Finance Agency | ||||
Housing Revenue (Clinton Green–South) | ||||
VRDO | 0.130% | 3/7/12 | 11,625 | 11,625 |
New York State Housing Finance Agency | ||||
Housing Revenue (Clinton Green North) VRDO | 0.130% | 3/7/12 | 31,845 | 31,845 |
New York State Housing Finance Agency | ||||
Housing Revenue (East 84th Street) VRDO | 0.140% | 3/7/12 | 24,500 | 24,500 |
New York State Housing Finance Agency | ||||
Housing Revenue (West 38th Street) VRDO | 0.110% | 3/7/12 | 37,935 | 37,935 |
New York State Housing Finance Agency | ||||
Revenue (Gotham West Housing) VRDO | 0.110% | 3/7/12 | 25,000 | 25,000 |
New York State Urban Development Corp. | ||||
Revenue (Service Contract) VRDO | 0.130% | 3/7/12 | 10,375 | 10,375 |
North Carolina Capital Facilities Finance | ||||
Agency Revenue (YMCA of the Triangle) | ||||
VRDO | 0.140% | 3/7/12 | 11,750 | 11,750 |
North Carolina Capital Facilities Finance | ||||
Agency Revenue (YMCA of the Triangle) | ||||
VRDO | 0.160% | 3/7/12 | 11,470 | 11,470 |
North Carolina Medical Care Commission | ||||
Health Care Facilities Revenue (WakeMed) | ||||
VRDO | 0.150% | 3/7/12 | 27,500 | 27,500 |
North Texas Tollway Authority System | ||||
Revenue VRDO | 0.140% | 3/7/12 | 35,100 | 35,100 |
Oakland University of Michigan Revenue VRDO | 0.140% | 3/7/12 | 8,900 | 8,900 |
Ohio Air Quality Development Authority Revenue | ||||
(Dayton Power & Light Co. Project) VRDO | 0.140% | 3/7/12 | 11,100 | 11,100 |
Ohio Higher Educational Facility Commission | ||||
Revenue (University Hospitals Health | ||||
System Inc.) VRDO | 0.110% | 3/7/12 | 25,000 | 25,000 |
Ohio State University General Receipts | ||||
Revenue VRDO | 0.100% | 3/7/12 | 115,300 | 115,300 |
Ohio State University General Receipts | ||||
Revenue VRDO | 0.110% | 3/7/12 | 6,600 | 6,600 |
21
Prime Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Yield1 | Date | ($000) | ($000) | |
Oregon Health Sciences University | ||||
Revenue VRDO | 0.140% | 3/7/12 | 13,000 | 13,000 |
Russell County VA Industrial Development | ||||
Authority Hospital Revenue | ||||
(STS Health Alliance) VRDO | 0.100% | 3/7/12 | 9,530 | 9,530 |
Salem OH Hospital Facilities Revenue | ||||
(Salem Community Hospital Project) VRDO | 0.130% | 3/7/12 | 13,400 | 13,400 |
Salem OR Hospital Facility Authority Revenue | ||||
(Salem Hospital Project) VRDO | 0.130% | 3/7/12 | 16,500 | 16,500 |
South Dakota Health & Educational Facilities | ||||
Authority Revenue (Avera Health) VRDO | 0.130% | 3/7/12 | 31,000 | 31,000 |
South Placer CA Wastewater Authority | ||||
Revenue VRDO | 0.110% | 3/7/12 | 13,000 | 13,000 |
Syracuse NY Industrial Development Agency | ||||
Civic Facility Revenue (Syracuse University | ||||
Project) VRDO | 0.130% | 3/7/12 | 14,000 | 14,000 |
Tarrant County TX Cultural Education Facilities | ||||
Finance Corp. Hospital Revenue (Scott & White | ||||
Healthcare Project) VRDO | 0.150% | 3/7/12 | 68,000 | 68,000 |
Texas Department of Housing & Community | ||||
Affairs Single Family Revenue VRDO | 0.140% | 3/7/12 | 28,900 | 28,900 |
Texas Department of Housing & Community | ||||
Affairs Single Family Revenue VRDO | 0.140% | 3/7/12 | 42,400 | 42,400 |
Texas Department of Housing & Community | ||||
Affairs Single Family Revenue VRDO | 0.160% | 3/7/12 | 22,430 | 22,430 |
Texas Department of Housing & Community | ||||
Affairs Single Family Revenue VRDO | 0.170% | 3/7/12 | 34,620 | 34,620 |
Texas Department of Housing & Community | ||||
Affairs Single Mortgage Revenue VRDO | 0.160% | 3/7/12 | 67,475 | 67,475 |
Torrance CA Hospital Revenue (Torrance | ||||
Memorial Medical Center) VRDO | 0.110% | 3/7/12 | 19,600 | 19,600 |
University of South Florida Financing Corp. | ||||
COP VRDO | 0.140% | 3/7/12 | 40,700 | 40,700 |
Utah Housing Corp. Single Family Mortgage | ||||
Revenue VRDO | 0.140% | 3/7/12 | 15,100 | 15,100 |
Utah Housing Corp. Single Family Mortgage | ||||
Revenue VRDO | 0.140% | 3/7/12 | 19,250 | 19,250 |
Virginia Small Business Financing Authority | ||||
Health Facilities Revenue (Bon Secours | ||||
Health System Inc.) VRDO | 0.120% | 3/7/12 | 7,200 | 7,200 |
Warren County KY Revenue (Western Kentucky | ||||
University Student Life Foundation Inc. Project) | ||||
VRDO | 0.160% | 3/7/12 | 13,500 | 13,500 |
Warren County KY Revenue (Western Kentucky | ||||
University Student Life Foundation Inc. Project) | ||||
VRDO | 0.160% | 3/7/12 | 19,500 | 19,500 |
7 Washington County PA Authority Revenue | ||||
(Girard Estate Project) VRDO | 0.160% | 3/7/12 | 10,490 | 10,490 |
Washington Health Care Facilities Authority | ||||
Revenue (MultiCare Health System) VRDO | 0.130% | 3/7/12 | 24,975 | 24,975 |
Washington Health Care Facilities Authority | ||||
Revenue (Swedish Health Services) VRDO | 0.110% | 3/7/12 | 43,500 | 43,500 |
Washington Higher Education Facilities Authority | ||||
Revenue (Bastyr University Project) VRDO | 0.140% | 3/7/12 | 7,800 | 7,800 |
22
Prime Money Market Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Yield1 | Date | ($000) | ($000) | ||
Washington Housing Finance Commission | |||||
Non-profit Housing Revenue (Rockwood | |||||
Retirement Communities Program) VRDO | 0.140% | 3/7/12 | 6,100 | 6,100 | |
West Virginia Hospital Finance Authority | |||||
Hospital Revenue (Charleston Area | |||||
Medical Center Inc.) VRDO | 0.110% | 3/7/12 | 30,045 | 30,045 | |
Whittier CA Health Facility Revenue | |||||
(Presbyterian Intercommunity Hospital) | |||||
VRDO | 0.090% | 3/7/12 | 20,500 | 20,500 | |
Wisconsin Health & Educational Facilities | |||||
Authority Revenue (Aurora Health Care Inc.) | |||||
VRDO | 0.120% | 3/7/12 | 31,200 | 31,200 | |
Total Tax-Exempt Municipal Bonds (Cost $3,066,785) | 3,066,785 | ||||
Taxable Municipal Bonds (0.3%) | |||||
7 | BlackRock Municipal Income Trust TOB VRDO | 0.350% | 3/1/12 | 207,000 | 207,000 |
7 | BlackRock MuniHoldings Quality Fund II, Inc. | ||||
TOB VRDO | 0.350% | 3/1/12 | 100,000 | 100,000 | |
7 | Los Angeles CA Department of Water & | ||||
Power Revenue TOB VRDO | 0.290% | 3/7/12 | 13,000 | 13,000 | |
7 | Massachusetts Transportation | ||||
Fund Revenue TOB VRDO | 0.290% | 3/7/12 | 13,100 | 13,100 | |
7 | Seattle WA Municipal Light & | ||||
Power Revenue TOB VRDO | 0.290% | 3/7/12 | 6,400 | 6,400 | |
Total Taxable Municipal Bonds (Cost $339,500) | 339,500 | ||||
Total Investments (103.9%) (Cost $118,105,342) | 118,105,342 | ||||
Other Assets and Liabilities (-3.9%) | |||||
Other Assets | 2,559,929 | ||||
Liabilities | (7,015,535) | ||||
(4,455,606) | |||||
Net Assets (100%) | 113,649,736 | ||||
Statement of Assets and Liabilities | |||||
Assets | |||||
Investments in Securities, at Value | 118,105,342 | ||||
Receivables for Investment Securities Sold | 1,996,138 | ||||
Receivables for Capital Shares Issued | 403,923 | ||||
Other Assets | 159,868 | ||||
Total Assets | 120,665,271 | ||||
Liabilities | |||||
Payables for Investment Securities Purchased | 6,714,190 | ||||
Payables for Capital Shares Redeemed | 258,456 | ||||
Other Liabilities | 42,889 | ||||
Total Liabilities | 7,015,535 | ||||
Net Assets | 113,649,736 |
23
Prime Money Market Fund | |
At February 29, 2012, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 113,640,679 |
Undistributed Net Investment Income | — |
Accumulated Net Realized Gains | 9,057 |
Net Assets | 113,649,736 |
Investor Shares—Net Assets | |
Applicable to 90,628,168,975 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 90,644,944 |
Net Asset Value Per Share—Investor Shares | $1.00 |
Institutional Shares—Net Assets | |
Applicable to 23,001,866,873 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 23,004,792 |
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 was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the
Federal Housing Finance Agency and it receives capital from the U.S. Treasury in exchange for senior preferred stock.
3 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the
full faith and credit of the U.S. government.
4 Adjustable-rate security.
5 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 February 29, 2012, the aggregate value of these securities
was $15,307,361,000, representing 13.5% of net assets.
6 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the
7-day yield.
7 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 February 29, 2012, the aggregate value of these securities was $349,990,000,
representing 0.3% of net assets.
COP—Certificate of Participation.
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.
24
Prime Money Market Fund
Statement of Operations
Six Months Ended | |
February 29, 2012 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 111,516 |
Total Income | 111,516 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 2,205 |
Management and Administrative—Investor Shares | 59,909 |
Management and Administrative—Institutional Shares | 6,479 |
Marketing and Distribution—Investor Shares | 12,804 |
Marketing and Distribution—Institutional Shares | 3,091 |
Custodian Fees | 973 |
Shareholders’ Reports—Investor Shares | 512 |
Shareholders’ Reports—Institutional Shares | 68 |
Trustees’ Fees and Expenses | 60 |
Total Expenses | 86,101 |
Net Investment Income | 25,415 |
Realized Net Gain (Loss) on Investment Securities Sold | 751 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 26,166 |
1 Interest income from an affiliated company of the fund was $837,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
25
Prime Money Market Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
February 29, | August 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 25,415 | 90,513 |
Realized Net Gain (Loss) | 751 | 1,676 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 26,166 | 92,189 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (13,410) | (55,253) |
Institutional Shares | (12,005) | (35,260) |
Realized Capital Gain | ||
Investor Shares | — | — |
Institutional Shares | — | — |
Return of Capital | ||
Total Distributions | (25,415) | (90,513) |
Capital Share Transactions | ||
Investor Shares | (1,759,338) | 3,718,120 |
Institutional Shares | 1,265,399 | 2,631,581 |
Net Increase (Decrease) from Capital Share Transactions | (493,939) | 6,349,701 |
Total Increase (Decrease) | (493,188) | 6,351,377 |
Net Assets | ||
Beginning of Period | 114,142,924 | 107,791,547 |
End of Period | 113,649,736 | 114,142,924 |
See accompanying Notes, which are an integral part of the Financial Statements.
26
Prime Money Market Fund
Financial Highlights
Investor Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 29, | Year Ended August 31, | |||||
Throughout Each Period | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | |
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | |
Investment Operations | |||||||
Net Investment Income | .0001 | .001 | .001 | .013 | .035 | .051 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | — | — | — | — | — | — | |
Total from Investment Operations | .0001 | .001 | .001 | .013 | .035 | .051 | |
Distributions | |||||||
Dividends from Net Investment Income | (.0001) | (.001) | (.001) | (.013) | (.035) | (.051) | |
Distributions from Realized Capital Gains | — | — | — | ��� | — | — | |
Total Distributions | (.0001) | (.001) | (.001) | (.013) | (.035) | (.051) | |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | |
Total Return1 | 0.01% | 0.06% | 0.08% | 1.31% | 3.60% | 5.23% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $90,645 | $92,404 | $88,684 | $96,078 | $92,483 | $84,052 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.17% | 0.20% | 0.23% | 0.28%2 | 0.23% | 0.24% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 0.03% | 0.06% | 0.08% | 1.25% | 3.49% | 5.10% |
The expense ratio and net income ratio for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about
any applicable account service fees.
2 Includes 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.
27
Prime Money Market Fund
Financial Highlights
Institutional Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 29, | Year Ended August 31, | |||||
Throughout Each Period | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | |
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | |
Investment Operations | |||||||
Net Investment Income | .0005 | .002 | .002 | .015 | .037 | .053 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | — | — | — | — | — | — | |
Total from Investment Operations | .0005 | .002 | .002 | .015 | .037 | .053 | |
Distributions | |||||||
Dividends from Net Investment Income | (.0005) | (.002) | (.002) | (.015) | (.037) | (.053) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (.0005) | (.002) | (.002) | (.015) | (.037) | (.053) | |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | |
Total Return | 0.05% | 0.17% | 0.22% | 1.47% | 3.75% | 5.39% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $23,005 | $21,739 | $19,107 | $18,323 | $13,844 | $10,022 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.09% | 0.09% | 0.09% | 0.13%1 | 0.08% | 0.08% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 0.11% | 0.17% | 0.22% | 1.40% | 3.64% | 5.26% | |
The expense ratio and net income ratio for the current period have been annualized. | |||||||
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.
28
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 institutional 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 may enter into 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. In the event of default or bankruptcy by the other party to the agreement, the fund may sell or retain the collateral; however, such action 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 for the period ended February 29, 2012, 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 February 29, 2012, the fund had contributed capital of $17,629,000
29
Prime Money Market Fund
to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 7.05% 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 portfolio’s daily yield so as to maintain a zero or positive yield for the portfolio. Vanguard and the board of trustees may terminate the temporary expense limitation at any time.
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:
Six Months Ended | Year Ended | |||
February 29, 2012 | August 31, 2011 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 51,757,814 | 51,757,814 | 119,751,906 | 119,751,906 |
Issued in Lieu of Cash Distributions | 13,130 | 13,130 | 53,993 | 53,993 |
Redeemed | (53,530,282) | (53,530,282) | (116,087,779) | (116,087,779) |
Net Increase (Decrease)—Investor Shares | (1,759,338) | (1,759,338) | 3,718,120 | 3,718,120 |
Institutional Shares | ||||
Issued | 9,415,745 | 9,415,745 | 20,303,805 | 20,303,805 |
Issued in Lieu of Cash Distributions | 11,707 | 11,707 | 34,248 | 34,248 |
Redeemed | (8,162,053) | (8,162,053) | (17,706,472) | (17,706,472) |
Net Increase (Decrease)—Institutional Shares | 1,265,399 | 1,265,399 | 2,631,581 | 2,631,581 |
E. In preparing the financial statements as of February 29, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
30
Federal Money Market Fund
Fund Profile
As of February 29, 2012
Financial Attributes | |
Ticker Symbol | VMFXX |
Expense Ratio1 | 0.19% |
7-Day SEC Yield | 0.01% |
Average Weighted | |
Maturity | 57 days |
Sector Diversification (% of portfolio) | |
U.S. Treasury Bills | 13.5% |
U.S. Government Agency Obligations | 81.5 |
Repurchase Agreements | 5.0 |
The agency and mortgage-backed securities sectors may include
issues from government-sponsored enterprises; such issues are
generally 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 27, 2011, and represents estimated costs for the current fiscal year. For
the six months ended February 29, 2012, the annualized 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 0.17%.
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.
Fiscal-Year Total Returns (%): August 31, 2001, Through February 29, 2012 | ||
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 |
2012 | 0.00 | 0.00 |
7-day SEC yield (2/29/2012): 0.01% | ||
Government Money Market Funds Average: Derived from data provided by Lipper Inc. | ||
Note: For 2012, performance data reflect the six months ended February 29, 2012. |
Average Annual Total Returns: Periods Ended December 31, 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 | 0.01% | 1.59% | 1.93% |
See Financial Highlights for dividend information.
32
Federal Money Market Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 29, 2012
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 (98.7%) | |||||
2 | Fannie Mae Discount Notes | 0.060% | 3/1/12 | 5,359 | 5,359 |
2 | Fannie Mae Discount Notes | 0.025%–0.035% | 3/7/12 | 25,600 | 25,600 |
2 | Fannie Mae Discount Notes | 0.060% | 3/19/12 | 29,500 | 29,499 |
2 | Fannie Mae Discount Notes | 0.100% | 3/21/12 | 10,000 | 9,999 |
2 | Fannie Mae Discount Notes | 0.040%–0.050% | 4/2/12 | 24,245 | 24,244 |
2 | Fannie Mae Discount Notes | 0.040% | 4/3/12 | 13,000 | 13,000 |
2 | Fannie Mae Discount Notes | 0.040%–0.100% | 4/4/12 | 95,030 | 95,021 |
2 | Fannie Mae Discount Notes | 0.045% | 4/11/12 | 3,000 | 3,000 |
2 | Fannie Mae Discount Notes | 0.080%–0.100% | 4/18/12 | 69,900 | 69,891 |
2 | Fannie Mae Discount Notes | 0.050%–0.100% | 4/25/12 | 117,565 | 117,553 |
2 | Fannie Mae Discount Notes | 0.090%–0.095% | 5/2/12 | 115,000 | 114,982 |
2 | Fannie Mae Discount Notes | 0.050%–0.080% | 5/9/12 | 89,400 | 89,391 |
2 | Fannie Mae Discount Notes | 0.100% | 5/14/12 | 37,000 | 36,992 |
2 | Fannie Mae Discount Notes | 0.055% | 5/21/12 | 19,500 | 19,498 |
3 | Federal Home Loan Bank | ||||
Discount Notes | 0.025% | 3/7/12 | 15,000 | 15,000 | |
3 | Federal Home Loan Bank | ||||
Discount Notes | 0.100% | 3/28/12 | 25,398 | 25,396 | |
3 | Federal Home Loan Bank | ||||
Discount Notes | 0.050%–0.060% | 4/4/12 | 10,200 | 10,200 | |
3 | Federal Home Loan Bank | ||||
Discount Notes | 0.030% | 4/9/12 | 75,000 | 74,998 | |
3 | Federal Home Loan Bank | ||||
Discount Notes | 0.045%–0.100% | 4/18/12 | 86,000 | 85,994 | |
3 | Federal Home Loan Bank | ||||
Discount Notes | 0.060% | 4/20/12 | 5,380 | 5,380 | |
3 | Federal Home Loan Bank | ||||
Discount Notes | 0.070%–0.080% | 4/27/12 | 126,000 | 125,985 | |
3 | Federal Home Loan Bank | ||||
Discount Notes | 0.070% | 5/2/12 | 30,000 | 29,996 | |
3 | Federal Home Loan Bank | ||||
Discount Notes | 0.100% | 5/4/12 | 104,000 | 103,982 | |
3 | Federal Home Loan Bank | ||||
Discount Notes | 0.150% | 5/9/12 | 4,000 | 3,999 | |
3 | Federal Home Loan Bank | ||||
Discount Notes | 0.156% | 5/11/12 | 5,000 | 4,998 |
33
Federal Money Market Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Yield1 | Date | ($000) | ($000) | ||
3 | Federal Home Loan Bank | ||||
Discount Notes | 0.080%–0.153% | 5/16/12 | 118,000 | 117,972 | |
3 | Federal Home Loan Bank | ||||
Discount Notes | 0.060% | 5/18/12 | 5,000 | 4,999 | |
3 | Federal Home Loan Bank | ||||
Discount Notes | 0.175%–0.180% | 8/15/12 | 79,000 | 78,935 | |
2,4 | Federal Home Loan Mortgage Corp. | 0.185% | 8/24/12 | 60,000 | 59,986 |
2,4 | Federal Home Loan Mortgage Corp. | 0.205% | 3/21/13 | 13,000 | 12,993 |
2,4 | Federal Home Loan Mortgage Corp. | 0.213% | 5/6/13 | 48,000 | 47,973 |
2,4 | Federal Home Loan Mortgage Corp. | 0.214% | 6/3/13 | 60,000 | 59,970 |
2,4 | Federal Home Loan Mortgage Corp. | 0.196% | 6/17/13 | 123,200 | 123,243 |
2,4 | Federal National Mortgage Assn. | 0.266% | 8/23/12 | 160,000 | 160,009 |
2,4 | Federal National Mortgage Assn. | 0.276% | 9/17/12 | 40,000 | 39,996 |
2,4 | Federal National Mortgage Assn. | 0.266% | 11/23/12 | 70,000 | 69,984 |
2,4 | Federal National Mortgage Assn. | 0.244% | 8/12/13 | 30,000 | 29,987 |
2,4 | Federal National Mortgage Assn. | 0.230% | 11/8/13 | 50,000 | 49,974 |
2,4 | Federal National Mortgage Assn. | 0.221% | 11/14/13 | 65,000 | 64,967 |
2 | Freddie Mac Discount Notes | 0.020%–0.095% | 3/5/12 | 144,338 | 144,338 |
2 | Freddie Mac Discount Notes | 0.025%–0.090% | 3/12/12 | 22,200 | 22,200 |
2 | Freddie Mac Discount Notes | 0.025% | 3/19/12 | 43,444 | 43,443 |
2 | Freddie Mac Discount Notes | 0.040%–0.090% | 3/20/12 | 17,279 | 17,278 |
2 | Freddie Mac Discount Notes | 0.100% | 3/26/12 | 15,000 | 14,999 |
2 | Freddie Mac Discount Notes | 0.040%–0.100% | 4/2/12 | 35,300 | 35,297 |
2 | Freddie Mac Discount Notes | 0.040% | 4/4/12 | 35,780 | 35,779 |
2 | Freddie Mac Discount Notes | 0.050% | 4/5/12 | 6,500 | 6,500 |
2 | Freddie Mac Discount Notes | 0.100% | 4/9/12 | 50,000 | 49,995 |
2 | Freddie Mac Discount Notes | 0.050%–0.100% | 4/16/12 | 116,780 | 116,765 |
2 | Freddie Mac Discount Notes | 0.050% | 4/23/12 | 69,400 | 69,395 |
2 | Freddie Mac Discount Notes | 0.080% | 4/30/12 | 100,000 | 99,987 |
2 | Freddie Mac Discount Notes | 0.085%–0.100% | 5/7/12 | 78,647 | 78,633 |
2 | Freddie Mac Discount Notes | 0.080% | 5/14/12 | 25,000 | 24,996 |
2 | Freddie Mac Discount Notes | 0.050%–0.070% | 5/16/12 | 185,000 | 184,976 |
2 | Freddie Mac Discount Notes | 0.100% | 6/4/12 | 109,531 | 109,502 |
United States Treasury Bill | 0.010% | 3/15/12 | 23,724 | 23,724 | |
United States Treasury Bill | 0.020%–0.026% | 3/29/12 | 105,000 | 104,998 | |
United States Treasury Bill | 0.070%–0.115% | 5/31/12 | 275,000 | 274,938 | |
United States Treasury Bill | 0.065% | 7/5/12 | 75,000 | 74,983 | |
United States Treasury Bill | 0.125%–0.130% | 8/16/12 | 90,000 | 89,947 | |
United States Treasury Bill | 0.145% | 8/30/12 | 50,000 | 49,963 | |
United States Treasury Note/Bond | 1.375% | 3/15/12 | 175,000 | 175,088 | |
United States Treasury Note/Bond | 1.375% | 4/15/12 | 25,000 | 25,040 | |
United States Treasury Note/Bond | 4.500% | 4/30/12 | 15,000 | 15,109 | |
United States Treasury Note/Bond | 1.000% | 4/30/12 | 20,000 | 20,031 | |
United States Treasury Note/Bond | 1.375% | 5/15/12 | 75,000 | 75,200 | |
United States Treasury Note/Bond | 4.750% | 5/31/12 | 15,000 | 15,174 | |
United States Treasury Note/Bond | 1.875% | 6/15/12 | 85,000 | 85,426 | |
United States Treasury Note/Bond | 4.875% | 6/30/12 | 80,000 | 81,254 | |
United States Treasury Note/Bond | 1.500% | 7/15/12 | 90,000 | 90,458 | |
United States Treasury Note/Bond | 4.625% | 7/31/12 | 40,000 | 40,744 | |
Total U.S. Government and Agency Obligations (Cost $4,357,105) | 4,357,105 |
34
Federal Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Yield1 | Date | ($000) | ($000) | |
Repurchase Agreements (5.2%) | ||||
Goldman Sachs & Co. | ||||
(Dated 2/29/12, Repurchase Value | ||||
$25,000,000, collateralized by | ||||
U.S. Treasury Note 2.650%, 7/15/17) | 0.160% | 3/1/12 | 25,000 | 25,000 |
JPMorgan Securities LLC | ||||
(Dated 2/29/12, Repurchase Value | ||||
$112,000,000, collateralized by | ||||
U.S. Treasury Note 1.250%, 4/15/14) | 0.120% | 3/1/12 | 112,000 | 112,000 |
RBC Capital Markets LLC | ||||
(Dated 2/29/12, Repurchase Value | ||||
$92,935,000, collateralized by | ||||
U.S. Treasury Note 1.375%, 11/30/15) | 0.110% | 3/1/12 | 92,935 | 92,935 |
Total Repurchase Agreements (Cost $229,935) | 229,935 | |||
Total Investments (103.9%) (Cost $4,587,040) | 4,587,040 | |||
Other Assets and Liabilities (-3.9%) | ||||
Other Assets | 10,267 | |||
Liabilities | (180,771) | |||
(170,504) | ||||
Net Assets (100%) | ||||
Applicable to 4,415,903,142 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 4,416,536 | |||
Net Asset Value Per Share | $1.00 | |||
At February 29, 2012, net assets consisted of: | ||||
Amount | ||||
($000) | ||||
Paid-in Capital | 4,416,422 | |||
Undistributed Net Investment Income | — | |||
Accumulated Net Realized Gains | 114 | |||
Net Assets | 4,416,536 |
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 was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the
Federal Housing Finance Agency and it receives capital from the U.S. Treasury in exchange for senior preferred stock.
3 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full
faith and credit of the U.S. government.
4 Adjustable-rate security.
See accompanying Notes, which are an integral part of the Financial Statements.
35
Federal Money Market Fund
Statement of Operations
Six Months Ended | |
February 29, 2012 | |
($000) | |
Investment Income | |
Income | |
Interest | 2,761 |
Total Income | 2,761 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 91 |
Management and Administrative | 3,185 |
Marketing and Distribution | 491 |
Custodian Fees | 38 |
Shareholders’ Reports | 28 |
Trustees’ Fees and Expenses | 3 |
Total Expenses | 3,836 |
Expense Reduction—Note B | (1,305) |
Net Expenses | 2,531 |
Net Investment Income | 230 |
Realized Net Gain (Loss) on Investment Securities Sold | 6 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 236 |
See accompanying Notes, which are an integral part of the Financial Statements.
36
Federal Money Market Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
February 29, | August 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 230 | 903 |
Realized Net Gain (Loss) | 6 | 45 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 236 | 948 |
Distributions | ||
Net Investment Income | (230) | (903) |
Realized Capital Gain | — | — |
Total Distributions | (230) | (903) |
Capital Share Transactions (at $1.00) | ||
Issued | 208,391 | 474,221 |
Issued in Lieu of Cash Distributions | 225 | 881 |
Redeemed | (585,987) | (1,729,232) |
Net Increase (Decrease) from Capital Share Transactions | (377,371) | (1,254,130) |
Total Increase (Decrease) | (377,365) | (1,254,085) |
Net Assets | ||
Beginning of Period | 4,793,901 | 6,047,986 |
End of Period | 4,416,536 | 4,793,901 |
See accompanying Notes, which are an integral part of the Financial Statements.
37
Federal Money Market Fund
Financial Highlights
Six Months | |||||
Ended | |||||
For a Share Outstanding | February 29, | Year Ended August 31, | |||
Throughout Each Period | 2012 | 2011 | 2010 | 2009 | 2008 |
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Investment Operations | |||||
Net Investment Income | .00005 | .0002 | .0004 | .011 | .034 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | — | — | — | — | — |
Total from Investment Operations | .00005 | .0002 | .0004 | .011 | .034 |
Distributions | |||||
Dividends from Net Investment Income | (.00005) | (.0002) | (.0004) | (.011) | (.034) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.00005) | (.0002) | (.0004) | (.011) | (.034) |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return1 | 0.00% | 0.02% | 0.04% | 1.06% | 3.46% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $4,417 | $4,794 | $6,048 | $9,386 | $8,982 |
Ratio of Expenses to | |||||
Average Net Assets | 0.11%2 | 0.19% | 0.22% | 0.27%3 | 0.23% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 0.01% | 0.02% | 0.04% | 1.03% | 3.33% |
The expense ratio and net income ratio for the current period have been annualized. | |||||
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. | |||||
2 The ratio of total expenses to average net assets before an expense reduction was 0.17%. 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.
38
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 may enter into 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. In the event of default or bankruptcy by the other party to the agreement, the fund may sell or retain the collateral; however, such action 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 for the period ended February 29, 2012, 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 February 29, 2012, the fund had contributed capital of $692,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 0.28% 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 period ended February 29, 2012, Vanguard’s management and administrative expenses were reduced by $1,305,000 (an effective annual rate of 0.06% of the fund’s average net assets).
39
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 February 29, 2012, 100% of the market value 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 February 29, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
40
Admiral Treasury Money Market Fund
Fund Profile
As of February 29, 2012
Financial Attributes | |
Ticker Symbol | VUSXX |
Expense Ratio1 | 0.11% |
7-Day SEC Yield | 0.01% |
Average Weighted | |
Maturity | 55 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 | |
generally 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 27, 2011, and represents estimated costs for the current fiscal year. For
the six months ended February 29, 2012, the annualized expense ratio was 0.02%, reflecting a temporary reduction in operating expenses
(described in Note B of the Notes to Financial Statements). Before this reduction, the expense ratio was 0.11%.
41
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.
Fiscal-Year Total Returns (%): August 31, 2001, Through February 29, 2012 | ||
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 |
2012 | 0.00 | 0.00 |
7-day SEC yield (2/29/2012): 0.01% | ||
iMoneyNet Money Fund Report’s 100% Treasury Funds Average: Derived from data provided by iMoneyNet, Inc. | ||
Note: For 2012, performance data reflect the six months ended February 29, 2012. |
Average Annual Total Returns: Periods Ended December 31, 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% | 1.41% | 1.85% |
See Financial Highlights for dividend information.
42
Admiral Treasury Money Market Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 29, 2012
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 (108.1%) | ||||
United States Treasury Bill | 0.030% | 3/1/12 | 1,154,228 | 1,154,228 |
United States Treasury Bill | 0.013%–0.015% | 3/8/12 | 1,135,414 | 1,135,411 |
United States Treasury Bill | 0.010% | 3/15/12 | 766,455 | 766,452 |
United States Treasury Bill | 0.005% | 3/22/12 | 1,090,000 | 1,089,997 |
United States Treasury Bill | 0.025% | 3/29/12 | 830,000 | 829,984 |
United States Treasury Bill | 0.060% | 4/5/12 | 525,000 | 524,969 |
United States Treasury Bill | 0.010%–0.020% | 4/12/12 | 733,000 | 732,986 |
United States Treasury Bill | 0.030% | 4/19/12 | 930,000 | 929,962 |
United States Treasury Bill | 0.043%–0.044% | 4/26/12 | 1,210,000 | 1,209,918 |
United States Treasury Bill | 0.055%–0.060% | 5/3/12 | 760,000 | 759,923 |
United States Treasury Bill | 0.080%–0.095% | 5/10/12 | 550,079 | 549,993 |
United States Treasury Bill | 0.040%–0.095% | 5/17/12 | 1,264,000 | 1,263,797 |
United States Treasury Bill | 0.090% | 5/24/12 | 1,150,000 | 1,149,759 |
United States Treasury Bill | 0.108%–0.113% | 5/31/12 | 1,154,000 | 1,153,679 |
United States Treasury Bill | 0.055% | 6/28/12 | 300,000 | 299,946 |
United States Treasury Bill | 0.061% | 7/5/12 | 390,000 | 389,917 |
United States Treasury Bill | 0.055% | 7/12/12 | 300,000 | 299,939 |
United States Treasury Bill | 0.125% | 8/16/12 | 250,000 | 249,854 |
United States Treasury Note/Bond | 1.375% | 3/15/12 | 418,000 | 418,207 |
United States Treasury Note/Bond | 4.500% | 3/31/12 | 100,000 | 100,362 |
United States Treasury Note/Bond | 1.875% | 6/15/12 | 400,000 | 402,067 |
Total U.S. Government and Agency Obligations (Cost $15,411,350) | 15,411,350 | |||
Total Investments (108.1%) (Cost $15,411,350) | 15,411,350 | |||
Other Assets and Liabilities (-8.1%) | ||||
Other Assets | 17,247 | |||
Liabilities | (1,165,618) | |||
(1,148,371) | ||||
Net Assets (100%) | ||||
Applicable to 14,259,762,291 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 14,262,979 | |||
Net Asset Value Per Share | $1.00 |
43
Admiral Treasury Money Market Fund | |
Market | |
Value | |
($000) | |
Statement of Assets and Liabilities | |
Assets | |
Investments in Securities, at Value | 15,411,350 |
Accrued Income | 6,112 |
Other Assets | 11,135 |
Total Assets | 15,428,597 |
Liabilities | |
Payables for Investment Securities Purchased | 1,153,679 |
Other Liabilities | 11,939 |
Total Liabilities | 1,165,618 |
Net Assets | 14,262,979 |
At February 29, 2012, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 14,262,813 |
Undistributed Net Investment Income | — |
Accumulated Net Realized Gains | 166 |
Net Assets | 14,262,979 |
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.
44
Admiral Treasury Money Market Fund
Statement of Operations
Six Months Ended | |
February 29, 2012 | |
($000) | |
Investment Income | |
Income | |
Interest | 2,403 |
Total Income | 2,403 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 290 |
Management and Administrative | 6,061 |
Marketing and Distribution | 1,364 |
Custodian Fees | 111 |
Shareholders’ Reports | 45 |
Trustees’ Fees and Expenses | 7 |
Total Expenses | 7,878 |
Expense Reduction—Note B | (6,211) |
Net Expenses | 1,667 |
Net Investment Income | 736 |
Realized Net Gain (Loss) on Investment Securities Sold | 23 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 759 |
See accompanying Notes, which are an integral part of the Financial Statements.
45
Admiral Treasury Money Market Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
February 29, | August 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 736 | 2,726 |
Realized Net Gain (Loss) | 23 | 110 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 759 | 2,836 |
Distributions | ||
Net Investment Income | (736) | (2,726) |
Realized Capital Gain | — | — |
Total Distributions | (736) | (2,726) |
Capital Share Transactions (at $1.00) | ||
Issued | 498,547 | 976,384 |
Issued in Lieu of Cash Distributions | 714 | 2,643 |
Redeemed | (1,550,187) | (4,391,653) |
Net Increase (Decrease) from Capital Share Transactions | (1,050,926) | (3,412,626) |
Total Increase (Decrease) | (1,050,903) | (3,412,516) |
Net Assets | ||
Beginning of Period | 15,313,882 | 18,726,398 |
End of Period | 14,262,979 | 15,313,882 |
See accompanying Notes, which are an integral part of the Financial Statements.
46
Admiral Treasury Money Market Fund
Financial Highlights
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 29, | Year Ended August 31, | |||||
Throughout Each Period | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | |
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | |
Investment Operations | |||||||
Net Investment Income | .00005 | .0002 | .0003 | .007 | .030 | .049 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | — | — | — | — | — | — | |
Total from Investment Operations | .00005 | .0002 | .0003 | .007 | .030 | .049 | |
Distributions | |||||||
Dividends from Net Investment Income | (.00005) | (.0002) | (.0003) | (.007) | (.030) | (.049) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (.00005) | (.0002) | (.0003) | (.007) | (.030) | (.049) | |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | |
Total Return1 | 0.00% | 0.02% | 0.03% | 0.70% | 3.08% | 5.02% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $14,263 | $15,314 | $18,726 | $25,435 | $23,289 | $20,064 | |
Ratio of Expenses to | |||||||
Average Net Assets | 0.02%2 | 0.11%2 | 0.14% | 0.15%3 | 0.10% | 0.10% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 0.01% | 0.02% | 0.03% | 0.74% | 2.98% | 4.90% |
The expense ratio and net income ratio for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about
any applicable account service fees.
2 The ratios of total expenses to average net assets before expense reductions were 0.11% and 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.
47
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 for the period ended February 29, 2012, 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 February 29, 2012, the fund had contributed capital of $2,223,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 0.89% 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 period ended February 29, 2012, Vanguard’s expenses were reduced by $6,211,000 (an effective annual rate of 0.09% 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).
48
Admiral Treasury Money Market Fund
At February 29, 2012, 100% of the market value 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 February 29, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
49
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.
50
Six Months Ended February 29, 2012 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
8/31/2011 | 2/29/2012 | Period | |
Based on Actual Fund Return | |||
Prime Money Market Fund | |||
Investor Shares | $1,000.00 | $1,000.15 | $0.85 |
Institutional Shares | 1,000.00 | 1,000.52 | 0.45 |
Federal Money Market Fund | $1,000.00 | $1,000.05 | $0.55 |
Admiral Treasury Money Market Fund | $1,000.00 | $1,000.05 | $0.10 |
Based on Hypothetical 5% Yearly Return | |||
Prime Money Market Fund | |||
Investor Shares | $1,000.00 | $1,024.02 | $0.86 |
Institutional Shares | 1,000.00 | 1,024.42 | 0.45 |
Federal Money Market Fund | $1,000.00 | $1,024.32 | $0.55 |
Admiral Treasury Money Market Fund | $1,000.00 | $1,024.76 | $0.10 |
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, 0.11%; and for the Admiral Treasury Money Market Fund, 0.02%. 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, 0.11%.
51
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. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
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.
52
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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 179 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 Haas Co. |
(chemicals); Director of Tyco International, Ltd. | |
F. William McNabb III | (diversified manufacturing and services), Hewlett- |
Born 1957. Trustee Since July 2009. Chairman of the | Packard Co. (electronic computer manufacturing), |
Board. Principal Occupation(s) During the Past Five | and Delphi Automotive LLP (automotive components); |
Years: Chairman of the Board of The Vanguard Group, | Senior Advisor at New Mountain Capital; Trustee of |
Inc., and of each of the investment companies served | The Conference Board. |
by The Vanguard Group, since January 2010; Director | |
of The Vanguard Group since 2008; Chief Executive | Amy Gutmann |
Officer and President of The Vanguard Group and of | Born 1949. Trustee Since June 2006. Principal |
each of the investment companies served by The | Occupation(s) During the Past Five Years: President |
Vanguard Group since 2008; Director of Vanguard | of the University of Pennsylvania; Christopher H. |
Marketing Corporation; Managing Director of The | Browne Distinguished Professor of Political Science |
Vanguard Group (1995–2008). | in the School of Arts and Sciences with secondary |
appointments at the Annenberg School for Commu- | |
nication and the Graduate School of Education | |
Independent Trustees | of the University of Pennsylvania; Director of |
Carnegie Corporation of New York, Schuylkill River | |
Emerson U. Fullwood | Development Corporation, and Greater Philadelphia |
Born 1948. Trustee Since January 2008. Principal | Chamber of Commerce; Trustee of the National |
Occupation(s) During the Past Five Years: Executive | Constitution Center; Chair of the Presidential |
Chief Staff and Marketing Officer for North America | Commission for the Study of Bioethical Issues. |
and Corporate Vice President (retired 2008) of Xerox | |
Corporation (document management products and | JoAnn Heffernan Heisen |
services); Executive in Residence and 2010 | Born 1950. Trustee Since July 1998. Principal |
Distinguished Minett Professor at the Rochester | Occupation(s) During the Past Five Years: Corporate |
Institute of Technology; Director of SPX Corporation | Vice President and Chief Global Diversity Officer |
(multi-industry manufacturing), the United Way of | (retired 2008) and Member of the Executive |
Rochester, Amerigroup Corporation (managed health | Committee (1997–2008) of Johnson & Johnson |
care), the University of Rochester Medical Center, | (pharmaceuticals/medical devices/consumer |
Monroe Community College Foundation, and North | products); Director of Skytop Lodge Corporation |
Carolina A&T University. | (hotels), the University Medical Center at Princeton, |
the Robert Wood Johnson Foundation, and the Center | |
Rajiv L. Gupta | for Talent Innovation; Member of the Advisory Board |
Born 1945. Trustee Since December 2001.2 | of the Maxwell School of Citizenship and Public Affairs |
Principal Occupation(s) During the Past Five Years: | at Syracuse University. |
Chairman and Chief Executive Officer (retired 2009) |
F. Joseph Loughrey | Group since 2010; Assistant Controller of each of | |
Born 1949. Trustee Since October 2009. Principal | the investment companies served by The Vanguard | |
Occupation(s) During the Past Five Years: President | Group (2001–2010). | |
and Chief Operating Officer (retired 2009) and Vice | ||
Chairman of the Board (2008–2009) of Cummins Inc. | Thomas J. Higgins | |
(industrial machinery); Director of SKF AB (industrial | Born 1957. Chief Financial Officer Since September | |
machinery), Hillenbrand, Inc. (specialized consumer | 2008. Principal Occupation(s) During the Past Five | |
services), the Lumina Foundation for Education, and | Years: Principal of The Vanguard Group, Inc.; Chief | |
Oxfam America; Chairman of the Advisory Council | Financial Officer of each of the investment companies | |
for the College of Arts and Letters and Member | served by The Vanguard Group since 2008; Treasurer | |
of the Advisory Board to the Kellogg Institute for | of each of the investment companies served by The | |
International Studies at the University of Notre Dame. | Vanguard Group (1998–2008). | |
André F. Perold | Kathryn J. Hyatt | |
Born 1952. Trustee Since December 2004. Principal | Born 1955. Treasurer Since November 2008. Principal | |
Occupation(s) During the Past Five Years: George | Occupation(s) During the Past Five Years: Principal | |
Gund Professor of Finance and Banking at the Harvard | of The Vanguard Group, Inc.; Treasurer of each of | |
Business School (retired 2011); Chief Investment | the investment companies served by The Vanguard | |
Officer and Managing Partner of HighVista Strategies | Group since 2008; Assistant Treasurer of each of the | |
LLC (private investment firm); Director of Rand | investment companies served by The Vanguard Group | |
Merchant Bank; Overseer of the Museum of Fine | (1988–2008). | |
Arts Boston. | ||
Heidi Stam | ||
Alfred M. Rankin, Jr. | Born 1956. Secretary Since July 2005. Principal | |
Born 1941. Trustee Since January 1993. Principal | Occupation(s) During the Past Five Years: Managing | |
Occupation(s) During the Past Five Years: Chairman, | Director of The Vanguard Group, Inc., since 2006; | |
President, and Chief Executive Officer of NACCO | General Counsel of The Vanguard Group since 2005; | |
Industries, Inc. (forklift trucks/housewares/lignite); | Secretary of The Vanguard Group and of each of the | |
Director of Goodrich Corporation (industrial products/ | investment companies served by The Vanguard Group | |
aircraft systems and services) and the National | since 2005; Director and Senior Vice President of | |
Association of Manufacturers; Chairman of the Board | Vanguard Marketing Corporation since 2005; | |
of the Federal Reserve Bank of Cleveland and of | Principal of The Vanguard Group (1997–2006). | |
University Hospitals of Cleveland; Advisory Chairman | ||
of the Board of The Cleveland Museum of Art. | ||
Vanguard Senior Management Team | ||
Peter F. Volanakis | ||
Mortimer J. Buckley | Michael S. Miller | |
Born 1955. Trustee Since July 2009. Principal | Kathleen C. Gubanich | James M. Norris |
Occupation(s) During the Past Five Years: President | Paul A. Heller | Glenn W. Reed |
and Chief Operating Officer (retired 2010) of Corning | Martha G. King | George U. Sauter |
Incorporated (communications equipment); Director of | Chris D. McIsaac | |
Corning Incorporated (2000-2010) and Dow Corning | ||
(2001–2010); Director of SPX Corporation (multi- | ||
industry manufacturing); Overseer of the Amos Tuck | Chairman Emeritus and Senior Advisor | |
School of Business Administration at Dartmouth | ||
College; Advisor to the Norris Cotton Cancer Center. | John J. Brennan | |
Chairman, 1996–2009 | ||
Chief Executive Officer and President, 1996–2008 | ||
Executive Officers | ||
Glenn Booraem | ||
Born 1967. Controller Since July 2010. Principal | Founder | |
Occupation(s) During the Past Five Years: Principal | John C. Bogle | |
of The Vanguard Group, Inc.; Controller of each of | Chairman and Chief Executive Officer, 1974–1996 | |
the investment companies served by The Vanguard |
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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This material may be used in conjunction | |||
with the offering of shares of any Vanguard | |||
fund only if preceded or accompanied by | |||
the fund’s current prospectus. | |||
All comparative mutual fund data are from Lipper Inc. or | |||
Morningstar, Inc., unless otherwise noted. | |||
You can obtain a free copy of Vanguard’s proxy voting | |||
guidelines by visiting vanguard.com/proxyreporting or by | |||
calling Vanguard at 800-662-2739. The guidelines are | |||
also available from the SEC’s website, sec.gov. In | |||
addition, you may obtain a free report on how your fund | |||
voted the proxies for securities it owned during the 12 | |||
months ended June 30. To get the report, visit either | |||
vanguard.com/proxyreporting or sec.gov. | |||
You can review and copy information about your fund at | |||
the SEC’s Public Reference Room in Washington, D.C. To | |||
find out more about this public service, call the SEC at | |||
202-551-8090. Information about your fund is also | |||
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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. | |||
© 2012 The Vanguard Group, Inc. | |||
All rights reserved. | |||
Vanguard Marketing Corporation, Distributor. | |||
Q302 042012 |
Semiannual Report | February 29, 2012
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
> All three Vanguard S&P 400 Mid-Cap Index Funds posted double-digit returns
for the six months ended February 29, 2012.
> The ETF Shares of all three funds closely tracked the returns of their benchmark
indexes and were close to or bested the average returns of their peer funds.
> Industrial and information technology stocks were notably strong performers
for all three funds.
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. | 23 |
S&P Mid-Cap 400 Growth Index Fund. | 36 |
About Your Fund’s Expenses. | 49 |
Glossary. | 51 |
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
Six Months Ended February 29, 2012 | |
Total | |
Returns | |
Vanguard S&P Mid-Cap 400 Index Fund | |
Institutional Shares | 12.50% |
ETF Shares | |
Market Price | 12.45 |
Net Asset Value | 12.47 |
S&P MidCap 400 Index | 12.54 |
Mid-Cap Core Funds Average | 11.45 |
Mid-Cap Core Funds Average: Derived from data provided by Lipper Inc. | |
Vanguard S&P Mid-Cap 400 Value Index Fund | |
Institutional Shares | 13.90% |
ETF Shares | |
Market Price | 14.22 |
Net Asset Value | 13.82 |
S&P MidCap 400 Value Index | 13.95 |
Mid-Cap Value Funds Average | 11.88 |
Mid-Cap Value Funds Average: Derived from data provided by Lipper Inc. | |
Vanguard S&P Mid-Cap 400 Growth Index Fund | |
Institutional Shares | 11.13% |
ETF Shares | |
Market Price | 10.96 |
Net Asset Value | 11.06 |
S&P MidCap 400 Growth Index | 11.17 |
Mid-Cap Growth Funds Average | 11.46 |
Mid-Cap Growth Funds Average: Derived from data provided by Lipper Inc.
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; 7,720,749; 7,925,573;
8,090,646.
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
Chairman’s Letter
Dear Shareholder,
It was largely macroeconomic developments, notably the European debt crisis and improvements in the U.S. economy, that moved the stock market during the six months ended February 29, 2012, while factors such as market capitalization or growth versus value style had relatively muted influence.
The three Vanguard S&P Mid-Cap 400 Index Funds posted double-digit returns that were within three percentage points of one another and not far from the returns of the large-cap S&P 500 Index (+13.3%) and the S&P SmallCap 600 Index (+14.4%).
With a return of 13.82% for ETF Shares, Vanguard S&P 400 Mid-Cap Value Index Fund slightly outpaced its counterpart Growth Index Fund, at 11.06%. The return of Vanguard S&P 400 Mid-Cap Index Fund, which includes both growth and value stocks, fell in between at 12.47%. (These returns are based on the change in the net asset value of the funds’ ETF Shares once adjusted for dividend distributions during the period.)
Thanks to the skill and experience in index management of the funds’ advisor, Vanguard Equity Investment Group, all three funds very closely tracked the performance of their benchmarks.
2
Notes of economic optimism propelled stock prices higher
U.S. stocks produced a strong return of 13.18% over the period. That statement is true enough, but the headline figure obscures the volatility that has been perhaps the most prominent feature of the financial markets over the past six months, and indeed the past few years. If our semiannual reporting period had started a month earlier, for example, the Dow Jones U.S. Total Stock Market Index would have returned just 1.98%. A start date two months earlier would have produced a return of –5.18%.
In the six months through February, however, stock prices benefited from signs of acceleration in the U.S. economic expansion and from hope that the European Union’s latest agreement on Greek debt would help to contain a threat that has menaced global markets for much of the past two years. European stocks rallied on the news about Greece, but international stocks still trailed their U.S. counterparts for the full six months.
The bond market’s strength confounded expectations
Bonds produced solid returns, to the surprise of many long-time observers of the fixed income market. At the start
Market Barometer | |||
Total Returns | |||
Periods Ended February 29, 2012 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 13.31% | 4.86% | 1.77% |
Russell 2000 Index (Small-caps) | 12.40 | -0.15 | 1.83 |
Dow Jones U.S. Total Stock Market Index | 13.18 | 4.35 | 2.07 |
MSCI All Country World Index ex USA (International) | 3.97 | -6.10 | -0.75 |
Bonds | |||
Barclays Capital U.S. Aggregate Bond Index (Broad | |||
taxable market) | 2.73% | 8.37% | 6.36% |
Barclays Capital Municipal Bond Index (Broad | |||
tax-exempt market) | 5.67 | 12.42 | 5.50 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.00 | 0.06 | 1.20 |
CPI | |||
Consumer Price Index | 0.49% | 2.87% | 2.27% |
3
of the period, the yield of the 10-year U.S. Treasury note stood at 2.22%, suggesting that returns would be very modest by historical standards. Over the next six months, however, yields moved lower still, boosting bond prices, which move in the opposite direction. At the end of February, the yield of the 10-year T-note stood at 1.97%. As yields decline, obviously, the scope for continued declines—and price increases—diminishes. Municipal bonds performed even more strongly than the broad taxable market.
The returns for 3-month Treasury bills and other money market instruments remained near 0%, consistent with the Federal Reserve’s policy on interest rates.
Mid-cap stocks shared in the broad market surge
Like the rest of the stock market, the three S&P 400 Mid-Cap Index funds suffered from an unpromising start to the fiscal half-year. Investors’ anxiety, which crested in September over the prospect of a disorderly Greek default, drove the broad U.S. stock market down by about 8%, and the funds by even more. But as the wider market began to rebound toward its return of just over 13%, the funds rose as well.
Vanguard S&P 400 Mid-Cap Value Index Fund ended the half-year a bit ahead of the broad market return, while the S&P 400 Mid-Cap Index Fund and Mid-Cap Growth Index Fund trailed by about one and two percentage points, respectively.
Expense Ratios | |||
Your Fund Compared With Its Peer Group | |||
Institutional | ETF | Peer Group | |
Shares | Shares | Average | |
S&P Mid-Cap 400 Index Fund | 0.10% | 0.17% | 1.28% |
S&P Mid-Cap 400 Value Index Fund | 0.12 | 0.24 | 1.31 |
S&P Mid-Cap 400 Growth Index Fund | 0.08 | 0.20 | 1.40 |
The fund expense ratios shown are from the prospectus dated December 27, 2011, and represent estimated costs for the current fiscal year. For the six months ended February 29, 2012, the 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 captures information through year-end 2011.
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
All three funds benefited from the returns of certain cyclical sectors that were boosted by better economic data, including a drop in unemployment, an upturn in consumer confidence, and signs of resilience in manufacturing. Within the industrial sector, which accounted for more than 16% of each fund’s assets at the end of the period, machinery and electrical equipment manufacturers in particular benefited from expanding factory activity and robust capital spending. Stocks in this sector added a hefty three to four percentage points to the return of each fund.
Information technology stocks contributed notably as well. Although this sector is much larger in the Growth Fund, the tech stocks in the Value Fund performed better;
the result was that this sector contributed about two and a half percentage points to the return of each fund.
A strong sector for the Growth Fund was consumer discretionary, especially apparel and specialty retailer stocks, which climbed as consumers showed greater willingness to spend despite rising energy costs. For the Value Fund, financials performed well. Insurance stocks made good gains, and more than a handful of regional banks surged upward of 20% over the six months, aided by improving credit trends, loan growth, and profit margins. In contrast, all three funds saw very modest or even negative returns from more defensive sectors, including consumer staples and telecommunication services.
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 relevant tally of the operating costs incurred |
by shareholders. |
5
The skill of the funds’ advisor, Vanguard Equity Investment Group, was evident again as each fund came within a tiny margin of the return of its target index. The gaps ranged from just 7 to 13 basis points (0.07 to 0.13 percentage point).
A choice of building blocks to broaden your portfolio
One of our core beliefs at Vanguard is that investors should hold a portfolio that is broadly diversified across stocks, bonds, and money market instruments in proportions consistent with their investment goals and tolerance for risk.
Any of the Vanguard S&P Mid-Cap 400 Index Funds can play an important part in such an investment plan, as they afford investors an efficient way to add complementary exposure to the whole
U.S. mid-cap segment or to focus more narrowly on the growth or value stocks within it.
And regardless of which fund you’re invested in, there’s a stable and seasoned index management team on your side, and very low fund management fees as well.
Thank you for entrusting your assets to Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
March 21, 2012
6
Your Fund’s Performance at a Glance | ||||
August 31, 2011, Through February 29, 2012 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard S&P Mid-Cap 400 Index Fund | ||||
Institutional Shares | $116.52 | $129.95 | $1.019 | $0.000 |
ETF Shares | 58.37 | 65.12 | 0.475 | 0.000 |
Vanguard S&P Mid-Cap 400 Value Index Fund | ||||
Institutional Shares | $111.20 | $124.83 | $1.648 | $0.000 |
ETF Shares | 55.69 | 62.51 | 0.795 | 0.000 |
Vanguard S&P Mid-Cap 400 Growth Index | ||||
Fund | ||||
Institutional Shares | $121.54 | $134.21 | $0.761 | $0.000 |
ETF Shares | 61.13 | 67.52 | 0.331 | 0.000 |
7
S&P Mid-Cap 400 Index Fund
Fund Profile
As of February 29, 2012
Share-Class Characteristics | ||
Institutional | ETF | |
Shares | Shares | |
Ticker Symbol | VSPMX | IVOO |
Expense Ratio1 | 0.10% | 0.17% |
30-Day SEC Yield | 1.33% | 1.26% |
Portfolio Characteristics | |||
DJ | |||
S&P | U.S. Total | ||
MidCap 400 | Market | ||
Fund | Index | Index | |
Number of Stocks | 400 | 400 | 3,733 |
Median Market Cap | $3.6B | $3.6B | $33.9B |
Price/Earnings Ratio | 20.7x | 20.7x | 16.5x |
Price/Book Ratio | 2.1x | 2.1x | 2.2x |
Return on Equity | 13.1% | 13.1% | 18.2% |
Earnings Growth Rate | 5.1% | 5.1% | 7.6% |
Dividend Yield | 1.4% | 1.4% | 1.9% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 18% | — | — |
Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
S&P | U.S. Total | ||
MidCap | Market | ||
Fund 400 Index | Index | ||
Consumer | |||
Discretionary | 13.2% | 13.2% | 11.9% |
Consumer Staples | 4.2 | 4.2 | 9.4 |
Energy | 7.0 | 7.0 | 11.2 |
Financials | 20.2 | 20.2 | 15.4 |
Health Care | 10.3 | 10.3 | 11.4 |
Industrials | 16.9 | 16.9 | 11.2 |
Information | |||
Technology | 16.2 | 16.2 | 19.4 |
Materials | 6.4 | 6.4 | 4.1 |
Telecommunication | |||
Services | 0.5 | 0.5 | 2.5 |
Utilities | 5.1 | 5.1 | 3.5 |
Ten Largest Holdings (% of total net assets) | ||
Monster Beverage Corp. | Soft Drinks | 0.7% |
Green Mountain Coffee | Packaged Foods & | |
Roasters Inc. | Meats | 0.7 |
Vertex Pharmaceuticals | ||
Inc. | Biotechnology | 0.7 |
Regeneron | ||
Pharmaceuticals Inc. | Biotechnology | 0.7 |
Kansas City Southern | Railroads | 0.7 |
AMETEK Inc. | Electrical | |
Components & | ||
Equipment | 0.7 | |
Macerich Co. | Retail REITs | 0.6 |
Cimarex Energy Co. | Oil & Gas | |
Exploration & | ||
Production | 0.6 | |
Church & Dwight Co. | Household | |
Inc. | Products | 0.6 |
HollyFrontier Corp. | Oil & Gas Refining | |
& Marketing | 0.6 | |
Top Ten | 6.6% | |
The holdings listed exclude any temporary cash investments and equity index products. |
Investment Focus
1 The expense ratios shown are from the prospectus dated December 27, 2011, and represent estimated costs for the current fiscal year. For
the six months ended February 29, 2012, 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.
Fiscal-Year Total Returns (%): September 7, 2010, Through February 29, 2012
Note: For 2012, performance data reflect the six months ended February 29, 2012.
Average Annual Total Returns: Periods Ended December 31, 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 | Since | |
Date | Year | Inception | |
Institutional Shares | 3/28/20111 | — | -8.06% |
ETF Shares | 9/7/2010 | ||
Market Price | -2.59% | 13.63 | |
Net Asset Value | -1.89 | 13.67 |
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
Financial Statements (unaudited)
Statement of Net Assets
As of February 29, 2012
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 (13.2%) | |||
* | Fossil Inc. | 4,376 | 534 |
PetSmart Inc. | 9,291 | 518 | |
Advance Auto Parts Inc. | 6,029 | 515 | |
Tractor Supply Co. | 5,910 | 505 | |
PVH Corp. | 5,622 | 478 | |
* | LKQ Corp. | 12,197 | 389 |
* | Panera Bread Co. Class A | 2,466 | 381 |
Polaris Industries Inc. | 5,747 | 380 | |
Foot Locker Inc. | 12,735 | 371 | |
Dick’s Sporting Goods Inc. | 8,042 | 360 | |
Signet Jewelers Ltd. | 7,236 | 339 | |
Williams-Sonoma Inc. | 8,625 | 333 | |
* | Mohawk Industries Inc. | 4,753 | 302 |
Tupperware Brands Corp. | 4,771 | 299 | |
* | Toll Brothers Inc. | 12,248 | 287 |
* | NVR Inc. | 414 | 287 |
Gentex Corp. | 11,947 | 283 | |
* | Under Armour Inc. Class A | 3,051 | 272 |
* | Deckers Outdoor Corp. | 3,209 | 240 |
American Eagle | |||
Outfitters Inc. | 16,097 | 234 | |
* | Hanesbrands Inc. | 8,104 | 233 |
Sotheby’s | 5,635 | 222 | |
* | AMC Networks Inc. Class A | 4,795 | 218 |
* | Ascena Retail Group Inc. | 5,611 | 217 |
Service Corp. International | 19,018 | 216 | |
Chico’s FAS Inc. | 13,994 | 210 | |
* | Carter’s Inc. | 4,235 | 206 |
* | Warnaco Group Inc. | 3,377 | 198 |
Guess? Inc. | 5,574 | 193 | |
Brinker International Inc. | 6,717 | 185 | |
John Wiley & Sons Inc. | |||
Class A | 3,964 | 180 | |
Aaron’s Inc. | 6,302 | 176 | |
* | Life Time Fitness Inc. | 3,534 | 175 |
Rent-A-Center Inc. | 4,902 | 174 |
* | Lamar Advertising Co. | ||
Class A | 4,888 | 160 | |
* | Bally Technologies Inc. | 3,618 | 155 |
* | Saks Inc. | 13,292 | 155 |
* | Cheesecake Factory Inc. | 4,544 | 135 |
Wendy’s Co. | 24,610 | 125 | |
HSN Inc. | 3,342 | 124 | |
* | Aeropostale Inc. | 6,719 | 121 |
Thor Industries Inc. | 3,637 | 118 | |
* | ITT Educational Services Inc. | 1,660 | 114 |
* | ANN Inc. | 4,358 | 104 |
* | DreamWorks Animation | ||
SKG Inc. Class A | 5,930 | 102 | |
Meredith Corp. | 3,108 | 102 | |
* | WMS Industries Inc. | 4,640 | 102 |
Strayer Education Inc. | 967 | 100 | |
* | Valassis Communications Inc. | 3,725 | 93 |
* | Collective Brands Inc. | 5,042 | 91 |
Bob Evans Farms Inc. | 2,449 | 90 | |
Regis Corp. | 4,805 | 83 | |
* | Office Depot Inc. | 23,349 | 77 |
MDC Holdings Inc. | 3,122 | 77 | |
Matthews International | |||
Corp. Class A | 2,368 | 73 | |
KB Home | 5,979 | 68 | |
* | New York Times Co. Class A | 10,065 | 66 |
Scholastic Corp. | 2,105 | 64 | |
International | |||
Speedway Corp. Class A | 2,358 | 59 | |
RadioShack Corp. | 8,311 | 59 | |
* | Scientific Games Corp. | ||
Class A | 4,803 | 50 | |
American Greetings Corp. | |||
Class A | 3,322 | 50 | |
* | Barnes & Noble Inc. | 3,408 | 45 |
12,872 | |||
Consumer Staples (4.2%) | |||
* | Monster Beverage Corp. | 12,616 | 721 |
* | Green Mountain Coffee | ||
Roasters Inc. | 10,813 | 703 |
10
S&P Mid-Cap 400 Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Church & Dwight Co. Inc. | 11,907 | 568 | |
* | Energizer Holdings Inc. | 5,568 | 426 |
Corn Products | |||
International Inc. | 6,306 | 362 | |
* | Ralcorp Holdings Inc. | 4,587 | 342 |
* | Smithfield Foods Inc. | 13,587 | 318 |
Flowers Foods Inc. | 9,418 | 180 | |
Ruddick Corp. | 4,112 | 168 | |
Lancaster Colony Corp. | 1,654 | 108 | |
Universal Corp. | 1,935 | 89 | |
* | Post Holdings Inc. | 2,298 | 72 |
Tootsie Roll Industries Inc. | 2,054 | 48 | |
4,105 | |||
Energy (7.0%) | |||
Cimarex Energy Co. | 7,136 | 576 | |
HollyFrontier Corp. | 17,320 | 565 | |
* | Plains Exploration & | ||
Production Co. | 11,737 | 517 | |
Oceaneering International Inc. | 8,997 | 488 | |
Southern Union Co. | 10,382 | 456 | |
SM Energy Co. | 5,326 | 419 | |
* | Superior Energy Services Inc. | 12,889 | 378 |
* | Oil States International Inc. | 4,266 | 347 |
* | Dresser-Rand Group Inc. | 6,265 | 329 |
Energen Corp. | 6,003 | 320 | |
Tidewater Inc. | 4,318 | 257 | |
Patterson-UTI Energy Inc. | 12,823 | 249 | |
World Fuel Services Corp. | 5,925 | 247 | |
Arch Coal Inc. | 17,589 | 239 | |
* | Atwood Oceanics Inc. | 4,713 | 224 |
* | Dril-Quip Inc. | 2,875 | 201 |
* | Helix Energy | ||
Solutions Group Inc. | 8,803 | 169 | |
* | Unit Corp. | 3,456 | 164 |
CARBO Ceramics Inc. | 1,653 | 152 | |
* | Northern Oil and Gas Inc. | 5,254 | 125 |
* | Forest Oil Corp. | 9,304 | 120 |
* | Bill Barrett Corp. | 3,895 | 114 |
* | Quicksilver Resources Inc. | 9,985 | 55 |
* | Patriot Coal Corp. | 7,607 | 55 |
6,766 | |||
Financials (20.2%) | |||
Macerich Co. | 10,984 | 593 | |
SL Green Realty Corp. | 7,171 | 545 | |
Federal Realty | |||
Investment Trust | 5,285 | 504 | |
New York Community | |||
Bancorp Inc. | 36,407 | 474 | |
* | Affiliated Managers | ||
Group Inc. | 4,432 | 471 | |
UDR Inc. | 18,232 | 456 | |
Rayonier Inc. | 10,061 | 448 | |
Realty Income Corp. | 11,085 | 409 | |
Camden Property Trust | 6,417 | 398 |
Essex Property Trust Inc. | 2,842 | 398 | |
Everest Re Group Ltd. | 4,468 | 392 | |
Alexandria Real Estate | |||
Equities Inc. | 5,155 | 370 | |
* | MSCI Inc. Class A | 10,031 | 355 |
Reinsurance Group of | |||
America Inc. Class A | 6,102 | 352 | |
Taubman Centers Inc. | 4,823 | 333 | |
WR Berkley Corp. | 9,248 | 331 | |
Liberty Property Trust | 9,663 | 328 | |
Raymond James Financial Inc. | 9,146 | 323 | |
Arthur J Gallagher & Co. | 9,429 | 322 | |
Regency Centers Corp. | 7,487 | 320 | |
Fidelity National | |||
Financial Inc. Class A | 18,250 | 315 | |
BRE Properties Inc. | 6,271 | 304 | |
Jones Lang LaSalle Inc. | 3,616 | 294 | |
Duke Realty Corp. | 21,060 | 292 | |
Transatlantic Holdings Inc. | 4,780 | 290 | |
Senior Housing | |||
Properties Trust | 13,530 | 290 | |
HCC Insurance Holdings Inc. | 9,467 | 289 | |
Cullen/Frost Bankers Inc. | 5,096 | 288 | |
First Niagara Financial | |||
Group Inc. | 28,929 | 277 | |
Eaton Vance Corp. | 9,561 | 275 | |
East West Bancorp Inc. | 12,412 | 275 | |
Commerce Bancshares Inc. | 6,584 | 254 | |
Hospitality Properties Trust | 10,272 | 254 | |
Weingarten Realty Investors | 10,042 | 250 | |
American Campus | |||
Communities Inc. | 5,889 | 242 | |
SEI Investments Co. | 12,182 | 241 | |
American Financial Group Inc. | 6,421 | 240 | |
Hancock Holding Co. | 7,062 | 240 | |
Home Properties Inc. | 4,010 | 231 | |
Old Republic | |||
International Corp. | 21,232 | 231 | |
National Retail | |||
Properties Inc. | 8,584 | 229 | |
* | Signature Bank | 3,850 | 229 |
Brown & Brown Inc. | 9,651 | 228 | |
Waddell & Reed | |||
Financial Inc. Class A | 7,115 | 225 | |
* | SVB Financial Group | 3,615 | 214 |
Mack-Cali Realty Corp. | 7,268 | 208 | |
Jefferies Group Inc. | 12,163 | 203 | |
CBOE Holdings Inc. | 7,211 | 199 | |
Valley National Bancorp | 15,557 | 195 | |
Highwoods Properties Inc. | 6,055 | 194 | |
Protective Life Corp. | 6,909 | 192 | |
Associated Banc-Corp | 14,477 | 192 | |
City National Corp. | 3,905 | 184 | |
Bank of Hawaii Corp. | 3,876 | 178 |
11
S&P Mid-Cap 400 Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Omega Healthcare | |||
Investors Inc. | 8,563 | 174 | |
Prosperity Bancshares Inc. | 3,914 | 171 | |
Fulton Financial Corp. | 16,696 | 164 | |
Aspen Insurance | |||
Holdings Ltd. | 5,893 | 156 | |
Hanover Insurance Group Inc. | 3,734 | 152 | |
Corporate Office | |||
Properties Trust | 5,989 | 147 | |
StanCorp Financial Group Inc. | 3,677 | 146 | |
FirstMerit Corp. | 9,090 | 146 | |
Washington Federal Inc. | 8,945 | 145 | |
TCF Financial Corp. | 13,118 | 141 | |
Synovus Financial Corp. | 65,369 | 139 | |
Janus Capital Group Inc. | 15,529 | 137 | |
First American Financial Corp. | 8,773 | 135 | |
Webster Financial Corp. | 6,137 | 134 | |
Mercury General Corp. | 3,013 | 129 | |
Trustmark Corp. | 5,334 | 126 | |
Kemper Corp. | 4,176 | 119 | |
Apollo Investment Corp. | 16,452 | 115 | |
Westamerica Bancorporation | 2,369 | 112 | |
Cathay General Bancorp | 6,548 | 107 | |
Greenhill & Co. Inc. | 2,406 | 106 | |
Potlatch Corp. | 3,344 | 103 | |
Equity One Inc. | 4,964 | 94 | |
International Bancshares Corp. | 4,425 | 84 | |
BancorpSouth Inc. | 6,728 | 80 | |
Astoria Financial Corp. | 6,973 | 61 | |
19,687 | |||
Health Care (10.3%) | |||
* | Vertex Pharmaceuticals Inc. | 17,364 | 676 |
* | Regeneron | ||
Pharmaceuticals Inc. | 6,320 | 662 | |
* | Henry Schein Inc. | 7,521 | 557 |
* | Mettler-Toledo | ||
International Inc. | 2,629 | 474 | |
* | Hologic Inc. | 21,900 | 454 |
* | IDEXX Laboratories Inc. | 4,673 | 401 |
* | Endo Pharmaceuticals | ||
Holdings Inc. | 9,728 | 361 | |
* | ResMed Inc. | 12,238 | 359 |
Universal Health | |||
Services Inc. Class B | 8,037 | 358 | |
Omnicare Inc. | 9,512 | 335 | |
Cooper Cos. Inc. | 3,972 | 316 | |
* | Allscripts Healthcare | ||
Solutions Inc. | 15,785 | 305 | |
* | Mednax Inc. | 4,073 | 303 |
* | AMERIGROUP Corp. | 3,980 | 270 |
* | Gen-Probe Inc. | 3,869 | 264 |
* | Health Net Inc. | 6,903 | 260 |
* | Catalyst Health Solutions Inc. | 4,171 | 259 |
* | WellCare Health Plans Inc. | 3,552 | 241 |
* | Covance Inc. | 5,049 | 241 |
* | HMS Holdings Corp. | 7,062 | 228 |
Techne Corp. | 3,087 | 221 | |
* | United Therapeutics Corp. | 4,330 | 207 |
Teleflex Inc. | 3,387 | 201 | |
Lincare Holdings Inc. | 7,387 | 198 | |
* | Community Health | ||
Systems Inc. | 7,537 | 190 | |
Medicis Pharmaceutical | |||
Corp. Class A | 5,264 | 184 | |
Hill-Rom Holdings Inc. | 5,150 | 175 | |
* | Thoratec Corp. | 4,988 | 172 |
* | Bio-Rad Laboratories Inc. | ||
Class A | 1,643 | 167 | |
* | VCA Antech Inc. | 7,237 | 159 |
Owens & Minor Inc. | 5,294 | 159 | |
* | LifePoint Hospitals Inc. | 4,008 | 156 |
* | Health Management | ||
Associates Inc. Class A | 21,145 | 156 | |
STERIS Corp. | 4,823 | 151 | |
* | Charles River Laboratories | ||
International Inc. | 4,114 | 144 | |
* | Masimo Corp. | 4,996 | 109 |
10,073 | |||
Industrials (16.9%) | |||
* | Kansas City Southern | 9,144 | 636 |
AMETEK Inc. | 13,329 | 634 | |
Donaldson Co. Inc. | 6,201 | 455 | |
KBR Inc. | 12,388 | 450 | |
* | AGCO Corp. | 8,088 | 418 |
* | BE Aerospace Inc. | 8,583 | 393 |
JB Hunt Transport | |||
Services Inc. | 7,480 | 383 | |
Hubbell Inc. Class B | 4,904 | 369 | |
Timken Co. | 6,993 | 366 | |
Waste Connections Inc. | 10,309 | 335 | |
Lincoln Electric Holdings Inc. | 6,978 | 322 | |
* | Kirby Corp. | 4,636 | 318 |
Pentair Inc. | 8,208 | 316 | |
* | Thomas & Betts Corp. | 4,331 | 313 |
SPX Corp. | 4,245 | 311 | |
Kennametal Inc. | 6,617 | 305 | |
MSC Industrial Direct Co. | |||
Inc. Class A | 3,810 | 303 | |
Wabtec Corp. | 3,994 | 299 | |
Manpower Inc. | 6,795 | 293 | |
IDEX Corp. | 6,947 | 290 | |
* | URS Corp. | 6,629 | 289 |
Gardner Denver Inc. | 4,213 | 289 | |
Towers Watson & Co. | |||
Class A | 4,290 | 274 | |
Nordson Corp. | 4,972 | 273 | |
* | Clean Harbors Inc. | 3,932 | 264 |
Graco Inc. | 4,977 | 255 | |
* | Fortune Brands Home & | ||
Security Inc. | 12,956 | 251 |
12
S&P Mid-Cap 400 Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Carlisle Cos. Inc. | 5,089 | 248 | |
Regal-Beloit Corp. | 3,462 | 234 | |
Trinity Industries Inc. | 6,684 | 232 | |
* | Terex Corp. | 9,120 | 232 |
Triumph Group Inc. | 3,601 | 230 | |
* | AECOM Technology Corp. | 9,619 | 225 |
* | Copart Inc. | 4,449 | 222 |
Woodward Inc. | 4,987 | 218 | |
Acuity Brands Inc. | 3,509 | 218 | |
* | United Rentals Inc. | 5,225 | 218 |
Landstar System Inc. | 3,912 | 212 | |
CLARCOR Inc. | 4,190 | 211 | |
* | Corrections Corp. of America | 8,300 | 208 |
Valmont Industries Inc. | 1,865 | 207 | |
* | Alaska Air Group Inc. | 2,962 | 203 |
Crane Co. | 4,076 | 198 | |
ITT Corp. | 7,740 | 193 | |
* | Oshkosh Corp. | 7,627 | 178 |
GATX Corp. | 3,889 | 169 | |
Watsco Inc. | 2,369 | 169 | |
Lennox International Inc. | 4,303 | 168 | |
* | Esterline Technologies Corp. | 2,555 | 166 |
Alliant Techsystems Inc. | 2,751 | 165 | |
Exelis Inc. | 15,406 | 162 | |
Alexander & Baldwin Inc. | 3,479 | 161 | |
* | Shaw Group Inc. | 5,438 | 157 |
Harsco Corp. | 6,737 | 150 | |
* | Huntington Ingalls | ||
Industries Inc. | 4,075 | 146 | |
UTi Worldwide Inc. | 8,543 | 138 | |
Con-way Inc. | 4,624 | 137 | |
* | FTI Consulting Inc. | 3,409 | 137 |
* | General Cable Corp. | 4,342 | 135 |
Corporate Executive | |||
Board Co. | 2,771 | 115 | |
Rollins Inc. | 5,356 | 109 | |
Deluxe Corp. | 4,230 | 104 | |
Herman Miller Inc. | 4,845 | 102 | |
Brink’s Co. | 3,896 | 98 | |
Mine Safety Appliances Co. | 2,563 | 95 | |
HNI Corp. | 3,734 | 94 | |
Werner Enterprises Inc. | 3,699 | 90 | |
* | JetBlue Airways Corp. | 17,009 | 87 |
Granite Construction Inc. | 2,898 | 83 | |
* | Korn/Ferry International | 3,974 | 63 |
16,491 | |||
Information Technology (16.2%) | |||
* | Equinix Inc. | 3,946 | 553 |
* | Trimble Navigation Ltd. | 10,266 | 516 |
* | Alliance Data Systems Corp. | 4,159 | 505 |
* | ANSYS Inc. | 7,690 | 486 |
* | Rackspace Hosting Inc. | 8,617 | 450 |
* | Avnet Inc. | 12,348 | 441 |
* | Informatica Corp. | 8,849 | 435 |
* | Skyworks Solutions Inc. | 15,645 | 422 |
* | VeriFone Systems Inc. | 8,759 | 419 |
* | Lam Research Corp. | 9,949 | 415 |
* | Atmel Corp. | 38,496 | 389 |
* | TIBCO Software Inc. | 13,422 | 389 |
* | Arrow Electronics Inc. | 9,305 | 374 |
* | Riverbed Technology Inc. | 12,898 | 367 |
* | Synopsys Inc. | 11,924 | 363 |
* | MICROS Systems Inc. | 6,673 | 347 |
Global Payments Inc. | 6,522 | 337 | |
Factset Research | |||
Systems Inc. | 3,761 | 329 | |
* | Rovi Corp. | 9,161 | 325 |
* | Gartner Inc. | 7,902 | 318 |
* | Polycom Inc. | 14,751 | 305 |
* | Cree Inc. | 9,602 | 291 |
* | NCR Corp. | 13,096 | 284 |
Solera Holdings Inc. | 5,904 | 283 | |
* | Cadence Design | ||
Systems Inc. | 22,679 | 267 | |
* | Parametric Technology Corp. | 9,723 | 260 |
Broadridge Financial | |||
Solutions Inc. | 10,327 | 251 | |
* | Ingram Micro Inc. | 12,748 | 244 |
Jack Henry & Associates Inc. | 7,196 | 243 | |
* | Concur Technologies Inc. | 3,862 | 228 |
Cypress Semiconductor Corp. | 12,913 | 223 | |
National Instruments Corp. | 7,733 | 206 | |
Diebold Inc. | 5,227 | 205 | |
* | NeuStar Inc. Class A | 5,455 | 191 |
ADTRAN Inc. | 5,284 | 186 | |
* | Tech Data Corp. | 3,444 | 184 |
* | Zebra Technologies Corp. | 4,312 | 166 |
* | Compuware Corp. | 18,150 | 164 |
* | Vishay Intertechnology Inc. | 13,065 | 160 |
* | Semtech Corp. | 5,532 | 159 |
* | Silicon Laboratories Inc. | 3,493 | 157 |
Lender Processing | |||
Services Inc. | 7,044 | 155 | |
* | Fairchild Semiconductor | ||
International Inc. Class A | 10,508 | 153 | |
* | Itron Inc. | 3,401 | 151 |
DST Systems Inc. | 2,796 | 148 | |
* | AOL Inc. | 8,099 | 145 |
* | QLogic Corp. | 8,373 | 144 |
* | ValueClick Inc. | 6,871 | 143 |
* | CoreLogic Inc. | 8,861 | 136 |
Plantronics Inc. | 3,621 | 135 | |
* | International Rectifier Corp. | 5,737 | 129 |
* | Convergys Corp. | 9,998 | 129 |
* | ACI Worldwide Inc. | 3,266 | 123 |
* | Ciena Corp. | 8,065 | 120 |
Fair Isaac Corp. | 2,970 | 120 | |
Tellabs Inc. | 30,322 | 120 | |
Intersil Corp. Class A | 10,507 | 119 | |
* | Mentor Graphics Corp. | 7,765 | 118 |
13
S&P Mid-Cap 400 Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | RF Micro Devices Inc. | 23,105 | 110 |
* | Quest Software Inc. | 4,703 | 94 |
* | Acxiom Corp. | 6,516 | 91 |
* | Integrated Device | ||
Technology Inc. | 11,826 | 82 | |
* | MEMC Electronic | ||
Materials Inc. | 19,185 | 75 | |
* | Monster Worldwide Inc. | 10,724 | 74 |
* | Advent Software Inc. | 2,665 | 69 |
Mantech International Corp. | |||
Class A | 1,930 | 65 | |
15,785 | |||
Materials (6.4%) | |||
Albemarle Corp. | 7,388 | 491 | |
Rock-Tenn Co. Class A | 5,868 | 414 | |
Ashland Inc. | 6,500 | 413 | |
Valspar Corp. | 7,783 | 361 | |
Reliance Steel & | |||
Aluminum Co. | 6,237 | 335 | |
Martin Marietta Materials Inc. | 3,805 | 327 | |
Domtar Corp. | 3,031 | 290 | |
Aptargroup Inc. | 5,493 | 290 | |
Sonoco Products Co. | 8,311 | 273 | |
Steel Dynamics Inc. | 18,211 | 270 | |
RPM International Inc. | 10,911 | 260 | |
Cytec Industries Inc. | 4,117 | 245 | |
Packaging Corp. of America | 8,152 | 242 | |
Cabot Corp. | 5,330 | 216 | |
Compass Minerals | |||
International Inc. | 2,746 | 198 | |
Carpenter Technology Corp. | 3,686 | 189 | |
Silgan Holdings Inc. | 4,136 | 176 | |
Scotts Miracle-Gro Co. | |||
Class A | 3,611 | 169 | |
NewMarket Corp. | 880 | 160 | |
Sensient Technologies Corp. | 4,168 | 154 | |
Olin Corp. | 6,692 | 141 | |
Greif Inc. Class A | 2,559 | 131 | |
Commercial Metals Co. | 9,611 | 128 | |
* | Intrepid Potash Inc. | 4,379 | 111 |
Minerals Technologies Inc. | 1,463 | 94 | |
* | Louisiana-Pacific Corp. | 11,345 | 93 |
Worthington Industries Inc. | 4,467 | 75 | |
6,246 | |||
Telecommunication Services (0.5%) | |||
* | tw telecom inc Class A | 12,437 | 269 |
* | Telephone & Data | ||
Systems Inc. | 8,039 | 203 | |
472 |
Utilities (5.1%) | ||
OGE Energy Corp. | 8,159 | 428 |
NSTAR | 8,620 | 404 |
Alliant Energy Corp. | 9,241 | 394 |
National Fuel Gas Co. | 6,893 | 347 |
MDU Resources Group Inc. | 15,708 | 341 |
NV Energy Inc. | 19,633 | 308 |
Questar Corp. | 14,770 | 284 |
UGI Corp. | 9,614 | 272 |
Westar Energy Inc. | 9,758 | 268 |
Aqua America Inc. | 11,516 | 256 |
Atmos Energy Corp. | 7,509 | 231 |
Great Plains Energy Inc. | 11,275 | 223 |
Hawaiian Electric | ||
Industries Inc. | 8,006 | 201 |
Vectren Corp. | 6,828 | 199 |
Cleco Corp. | 5,061 | 195 |
WGL Holdings Inc. | 4,292 | 175 |
IDACORP Inc. | 4,154 | 168 |
PNM Resources Inc. | 6,629 | 119 |
Black Hills Corp. | 3,284 | 108 |
4,921 | ||
Total Common Stocks | ||
(Cost $92,019) | 97,418 | |
Temporary Cash Investment (0.0%) | ||
Money Market Fund (0.0%) | ||
1 Vanguard Market Liquidity | ||
Fund, 0.111% (Cost $41) | 41,000 | 41 |
Total Investments (100.0%) | ||
(Cost $92,060) | 97,459 | |
Other Assets and Liabilities (0.0%) | ||
Other Assets | 103 | |
Liabilities | (147) | |
(44) | ||
Net Assets (100%) | 97,415 |
14
S&P Mid-Cap 400 Index Fund | |
At February 29, 2012, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 94,243 |
Undistributed Net Investment Income | 61 |
Accumulated Net Realized Losses | (2,288) |
Unrealized Appreciation (Depreciation) | 5,399 |
Net Assets | 97,415 |
Institutional Shares—Net Assets | |
Applicable to 474,012 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 61,599 |
Net Asset Value Per Share— | |
Institutional Shares | $129.95 |
ETF Shares—Net Assets | |
Applicable to 550,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 35,816 |
Net Asset Value Per Share— | |
ETF Shares | $65.12 |
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.
15
S&P Mid-Cap 400 Index Fund
Statement of Operations
Six Months Ended | |
February 29, 2012 | |
($000) | |
Investment Income | |
Income | |
Dividends | 558 |
Interest1 | 1 |
Total Income | 559 |
Expenses | |
The Vanguard Group—Note B | |
Management and Administrative—Institutional Shares | 7 |
Management and Administrative—ETF Shares | 15 |
Custodian Fees | 20 |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—ETF Shares | 1 |
Total Expenses | 43 |
Net Investment Income | 516 |
Realized Net Gain (Loss) on Investment Securities Sold | 969 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 8,830 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 10,315 |
1 Interest income from an affiliated company of the fund was $1,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
16
S&P Mid-Cap 400 Index Fund
Statement of Changes in Net Assets
September 7, | ||
Six Months Ended | 20101 to | |
February 29, | August 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 516 | 287 |
Realized Net Gain (Loss) | 969 | (1,007) |
Change in Unrealized Appreciation (Depreciation) | 8,830 | (3,431) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 10,315 | (4,151) |
Distributions | ||
Net Investment Income | ||
Institutional Shares | (478) | — |
ETF Shares | (214) | (27) |
Realized Capital Gain | ||
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (692) | (27) |
Capital Share Transactions | ||
Institutional Shares | 15,088 | 42,228 |
ETF Shares | 996 | 33,658 |
Net Increase (Decrease) from Capital Share Transactions | 16,084 | 75,886 |
Total Increase (Decrease) | 25,707 | 71,708 |
Net Assets | ||
Beginning of Period | 71,708 | — |
End of Period2 | 97,415 | 71,708 |
1 Inception. | ||
2 Net Assets—End of Period includes undistributed net investment income of $61,000 and $237,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
17
S&P Mid-Cap 400 Index Fund
Financial Highlights
Institutional Shares | ||
Six Months | March 28, | |
Ended | 20111 to | |
February 29, | Aug. 31, | |
For a Share Outstanding Throughout Each Period | 2012 | 2011 |
Net Asset Value, Beginning of Period | $116.52 | $128.01 |
Investment Operations | ||
Net Investment Income | .706 | .240 |
Net Realized and Unrealized Gain (Loss) on Investments | 13.743 | (11.730) |
Total from Investment Operations | 14.449 | (11.490) |
Distributions | ||
Dividends from Net Investment Income | (1.019) | — |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (1.019) | — |
Net Asset Value, End of Period | $129.95 | $116.52 |
Total Return | 12.50% | -8.98% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $62 | $40 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08%2 |
Ratio of Net Investment Income to Average Net Assets | 1.31% | 1.28%2 |
Portfolio Turnover Rate3 | 18% | 26% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized. | ||
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.
18
S&P Mid-Cap 400 Index Fund
Financial Highlights
ETF Shares | ||
Six Months | Sept. 7, | |
Ended | 20101 to | |
February 29, | Aug. 31, | |
For a Share Outstanding Throughout Each Period | 2012 | 2011 |
Net Asset Value, Beginning of Period | $58.37 | $49.95 |
Investment Operations | ||
Net Investment Income | .327 | .383 |
Net Realized and Unrealized Gain (Loss) on Investments | 6.898 | 8.217 |
Total from Investment Operations | 7.225 | 8.600 |
Distributions | ||
Dividends from Net Investment Income | (.475) | (.180) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (.475) | (.180) |
Net Asset Value, End of Period | $65.12 | $58.37 |
Total Return | 12.47% | 17.21% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $36 | $32 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15%2 |
Ratio of Net Investment Income to Average Net Assets | 1.24% | 1.21%2 |
Portfolio Turnover Rate3 | 18% | 26% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
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
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 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 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 its open federal income tax year ended August 31, 2011, and for the period ended February 29, 2012, 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 February 29, 2012, the fund had contributed capital of $14,000 to Vanguard (included in Other Assets), representing 0.01% 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.
20
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 February 29, 2012, 100% of the market value of the fund’s investments 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.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. 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. The fund will use these capital losses to offset net taxable gains, if any, realized during the year ending August, 31, 2012; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
During the six months ended February 29, 2012, the fund realized $1,438,000 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.
At February 29, 2012, the cost of investment securities for tax purposes was $92,060,000. Net unrealized appreciation of investment securities for tax purposes was $5,399,000, consisting of unrealized gains of $8,209,000 on securities that had risen in value since their purchase and $2,810,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 29, 2012, the fund purchased $44,988,000 of investment securities and sold $28,719,000 of investment securities, other than temporary cash investments.
21
S&P Mid-Cap 400 Index Fund
F. Capital share transactions for each class of shares were:
Six Months Ended | Inception1 to | |||
February 29, 2012 | August 31, 2011 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Institutional Shares | ||||
Issued | 17,386 | 153 | 42,839 | 345 |
Issued in Lieu of Cash Distributions | 387 | 3 | — | — |
Redeemed | (2,685) | (22) | (611) | (5) |
Net Increase (Decrease)—Institutional Shares | 15,088 | 134 | 42,228 | 340 |
ETF Shares | ||||
Issued | 23,718 | 400 | 39,233 | 650 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (22,722) | (400) | (5,575) | (100) |
Net Increase (Decrease)—ETF Shares | 996 | — | 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 Shares | ||||
transactions beginning December 15, 2010. |
G. In preparing the financial statements as of February 29, 2012, management considered the impact
of subsequent events for potential recognition or disclosure in these financial statements.
22
S&P Mid-Cap 400 Value Index Fund
Fund Profile
As of February 29, 2012
Share-Class Characteristics | ||
Institutional | ETF | |
Shares | Shares | |
Ticker Symbol | VMFVX | IVOV |
Expense Ratio1 | 0.12% | 0.24% |
30-Day SEC Yield | 1.80% | 1.68% |
Portfolio Characteristics | |||
S&P | DJ | ||
MidCap | U.S. Total | ||
400 Value | Market | ||
Fund | Index | Index | |
Number of Stocks | 299 | 299 | 3,733 |
Median Market Cap | $3.1B | $3.1B | $33.9B |
Price/Earnings Ratio | 18.8x | 18.8x | 16.5x |
Price/Book Ratio | 1.5x | 1.5x | 2.2x |
Return on Equity | 10.2% | 10.2% | 18.2% |
Earnings Growth Rate | -1.5% | -1.5% | 7.6% |
Dividend Yield | 1.9% | 1.9% | 1.9% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 37% | — | — |
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 | 11.9% | 11.9% | 11.9% |
Consumer Staples | 2.4 | 2.4 | 9.4 |
Energy | 6.5 | 6.5 | 11.2 |
Financials | 28.0 | 28.0 | 15.4 |
Health Care | 5.8 | 5.8 | 11.4 |
Industrials | 17.6 | 17.6 | 11.2 |
Information | |||
Technology | 12.3 | 12.3 | 19.4 |
Materials | 7.5 | 7.5 | 4.1 |
Telecommunication | |||
Services | 0.7 | 0.7 | 2.5 |
Utilities | 7.3 | 7.3 | 3.5 |
Ten Largest Holdings (% of total net assets) | ||
HollyFrontier Corp. | Oil & Gas Refining | |
& Marketing | 1.2% | |
New York Community | Thrifts & Mortgage | |
Bancorp Inc. | Finance | 1.0 |
KBR Inc. | Construction & | |
Engineering | 1.0 | |
Avnet Inc. | Technology | |
Distributors | 0.9 | |
AGCO Corp. | Construction & | |
Farm Machinery & | ||
Heavy Trucks | 0.9 | |
Ashland Inc. | Specialty Chemicals | 0.9 |
Everest Re Group Ltd. | Reinsurance | 0.8 |
Arrow Electronics Inc. | Technology | |
Distributors | 0.8 | |
Foot Locker Inc. | Apparel Retail | 0.8 |
Timken Co. | Industrial | |
Machinery | 0.8 | |
Top Ten | 9.1% | |
The holdings listed exclude any temporary cash investments and equity index products. |
Investment Focus
1 The expense ratios shown are from the prospectus dated December 27, 2011, and represent estimated costs for the current fiscal year. For
the six months ended February 29, 2012, the annualized expense ratios were 0.08% for Institutional Shares and 0.20% for ETF Shares.
23
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.
Fiscal-Year Total Returns (%): September 7, 2010, Through February 29, 2012
Note: For 2012, performance data reflect the six months ended February 29, 2012.
Average Annual Total Returns: Periods Ended December 31, 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 | Since | |
Date | Year | Inception | |
Institutional Shares | 11/2/2010 | -2.52% | 4.51% |
ETF Shares | 9/7/2010 | ||
Market Price | -3.23 | 11.55 | |
Net Asset Value | -2.65 | 11.60 |
See Financial Highlights for dividend and capital gains information.
24
S&P Mid-Cap 400 Value Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 29, 2012
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 (11.9%) | |||
Foot Locker Inc. | 14,105 | 411 | |
* | Mohawk Industries Inc. | 5,264 | 334 |
* | Toll Brothers Inc. | 13,563 | 318 |
* | NVR Inc. | 459 | 318 |
American Eagle | |||
Outfitters Inc. | 17,867 | 260 | |
* | Hanesbrands Inc. | 8,961 | 257 |
Service Corp. International | 21,026 | 238 | |
Chico’s FAS Inc. | 15,465 | 232 | |
Brinker International Inc. | 7,424 | 205 | |
Rent-A-Center Inc. | 5,419 | 192 | |
Williams-Sonoma Inc. | 4,590 | 177 | |
Signet Jewelers Ltd. | 3,768 | 177 | |
* | Saks Inc. | 14,746 | 172 |
Sotheby’s | 3,801 | 150 | |
* | AMC Networks Inc. Class A | 3,235 | 147 |
Wendy’s Co. | 27,278 | 138 | |
Thor Industries Inc. | 4,047 | 132 | |
Dick’s Sporting Goods Inc. | 2,575 | 115 | |
* | ANN Inc. | 4,814 | 115 |
* | WMS Industries Inc. | 5,145 | 113 |
* | DreamWorks Animation | ||
SKG Inc. Class A | 6,555 | 113 | |
Meredith Corp. | 3,431 | 113 | |
* | Valassis Communications Inc. | 4,115 | 103 |
* | Collective Brands Inc. | 5,570 | 100 |
Bob Evans Farms Inc. | 2,704 | 100 | |
* | Lamar Advertising Co. | ||
Class A | 2,918 | 95 | |
Regis Corp. | 5,308 | 92 | |
* | Ascena Retail Group Inc. | 2,229 | 86 |
* | Office Depot Inc. | 25,876 | 85 |
MDC Holdings Inc. | 3,460 | 85 | |
Aaron’s Inc. | 2,988 | 84 | |
KB Home | 6,662 | 76 | |
* | Bally Technologies Inc. | 1,755 | 75 |
* | New York Times Co. | ||
Class A | 11,125 | 73 |
Scholastic Corp. | 2,333 | 71 | |
Guess? Inc. | 2,034 | 71 | |
HSN Inc. | 1,853 | 69 | |
International Speedway | |||
Corp. Class A | 2,613 | 66 | |
RadioShack Corp. | 9,212 | 65 | |
John Wiley & Sons Inc. | |||
Class A | 1,228 | 56 | |
American Greetings Corp. | |||
Class A | 3,670 | 55 | |
* | Aeropostale Inc. | 2,811 | 51 |
* | Barnes & Noble Inc. | 3,781 | 50 |
* | Cheesecake Factory Inc. | 1,614 | 48 |
Matthews International | |||
Corp. Class A | 1,276 | 40 | |
* | Scientific Games Corp. | ||
Class A | 3,509 | 37 | |
6,160 | |||
Consumer Staples (2.4%) | |||
* | Smithfield Foods Inc. | 15,062 | 353 |
* | Ralcorp Holdings Inc. | 2,797 | 209 |
* | Energizer Holdings Inc. | 2,715 | 208 |
Ruddick Corp. | 4,545 | 186 | |
Universal Corp. | 2,136 | 98 | |
Flowers Foods Inc. | 5,084 | 97 | |
* | Post Holdings Inc. | 1,394 | 43 |
Tootsie Roll Industries Inc. | 1,159 | 27 | |
1,221 | |||
Energy (6.5%) | |||
HollyFrontier Corp. | 19,183 | 626 | |
* | Plains Exploration & | ||
Production Co. | 8,452 | 373 | |
Tidewater Inc. | 4,786 | 285 | |
Patterson-UTI Energy Inc. | 14,232 | 276 | |
World Fuel Services Corp. | 6,561 | 273 | |
Arch Coal Inc. | 19,515 | 265 | |
* | Superior Energy Services Inc. | 8,993 | 264 |
Southern Union Co. | 5,177 | 227 | |
* | Unit Corp. | 3,820 | 182 |
25
S&P Mid-Cap 400 Value Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Helix Energy Solutions | ||
Group Inc. | 7,199 | 139 | |
* | Forest Oil Corp. | 10,316 | 133 |
Energen Corp. | 1,989 | 106 | |
* | Atwood Oceanics Inc. | 1,617 | 77 |
* | Quicksilver Resources Inc. | 11,069 | 61 |
* | Patriot Coal Corp. | 8,432 | 61 |
3,348 | |||
Financials (28.0%) | |||
New York Community | |||
Bancorp Inc. | 40,333 | 525 | |
Everest Re Group Ltd. | 4,953 | 435 | |
Reinsurance Group of | |||
America Inc. Class A | 6,757 | 390 | |
WR Berkley Corp. | 10,241 | 366 | |
Raymond James | |||
Financial Inc. | 10,131 | 358 | |
Fidelity National | |||
Financial Inc. Class A | 20,211 | 349 | |
Macerich Co. | 6,084 | 328 | |
Jones Lang LaSalle Inc. | 4,009 | 326 | |
Duke Realty Corp. | 23,323 | 324 | |
Transatlantic Holdings Inc. | 5,298 | 321 | |
HCC Insurance Holdings Inc. | 10,483 | 320 | |
First Niagara Financial | |||
Group Inc. | 32,076 | 307 | |
East West Bancorp Inc. | 13,745 | 304 | |
SL Green Realty Corp. | 3,814 | 290 | |
Hospitality Properties Trust | 11,391 | 282 | |
Weingarten Realty Investors | 11,144 | 277 | |
American Financial Group Inc. | 7,102 | 266 | |
Hancock Holding Co. | 7,812 | 265 | |
* | Affiliated Managers | ||
Group Inc. | 2,456 | 261 | |
Old Republic | |||
International Corp. | 23,565 | 256 | |
UDR Inc. | 9,696 | 243 | |
Mack-Cali Realty Corp. | 8,037 | 230 | |
Jefferies Group Inc. | 13,446 | 225 | |
Liberty Property Trust | 6,421 | 218 | |
Valley National Bancorp | 17,261 | 216 | |
Protective Life Corp. | 7,638 | 212 | |
Associated Banc-Corp | 16,002 | 212 | |
City National Corp. | 4,317 | 203 | |
Regency Centers Corp. | 4,395 | 188 | |
Alexandria Real Estate | |||
Equities Inc. | 2,572 | 184 | |
Fulton Financial Corp. | 18,447 | 181 | |
Realty Income Corp. | 4,792 | 177 | |
Senior Housing | |||
Properties Trust | 8,250 | 177 | |
SEI Investments Co. | 8,924 | 176 | |
Aspen Insurance | |||
Holdings Ltd. | 6,512 | 173 | |
Hanover Insurance Group Inc. | 4,139 | 169 | |
Arthur J Gallagher & Co. | 4,909 | 167 |
Commerce Bancshares Inc. | 4,234 | 163 | |
Corporate Office | |||
Properties Trust | 6,640 | 163 | |
StanCorp Financial | |||
Group Inc. | 4,076 | 162 | |
FirstMerit Corp. | 10,076 | 162 | |
Washington Federal Inc. | 9,926 | 161 | |
TCF Financial Corp. | 14,542 | 157 | |
Rayonier Inc. | 3,457 | 154 | |
Synovus Financial Corp. | 72,429 | 154 | |
Brown & Brown Inc. | 6,427 | 152 | |
Janus Capital Group Inc. | 17,210 | 152 | |
First American Financial Corp. | 9,726 | 150 | |
Webster Financial Corp. | 6,780 | 148 | |
Mercury General Corp. | 3,339 | 143 | |
Camden Property Trust | 2,276 | 141 | |
Cullen/Frost Bankers Inc. | 2,486 | 140 | |
Trustmark Corp. | 5,914 | 139 | |
Eaton Vance Corp. | 4,663 | 134 | |
Kemper Corp. | 4,629 | 132 | |
National Retail Properties Inc. | 4,960 | 132 | |
BRE Properties Inc. | 2,709 | 131 | |
Apollo Investment Corp. | 18,175 | 128 | |
Highwoods Properties Inc. | 3,816 | 122 | |
* | SVB Financial Group | 2,041 | 121 |
Cathay General Bancorp | 7,259 | 119 | |
Omega Healthcare | |||
Investors Inc. | 5,311 | 108 | |
Equity One Inc. | 5,481 | 104 | |
Waddell & Reed | |||
Financial Inc. Class A | 3,139 | 99 | |
Bank of Hawaii Corp. | 2,136 | 98 | |
American Campus | |||
Communities Inc. | 2,345 | 97 | |
International Bancshares Corp. | 4,887 | 93 | |
BancorpSouth Inc. | 7,466 | 88 | |
Prosperity Bancshares Inc. | 1,856 | 81 | |
CBOE Holdings Inc. | 2,636 | 73 | |
Potlatch Corp. | 2,225 | 69 | |
Greenhill & Co. Inc. | 1,547 | 68 | |
Astoria Financial Corp. | 7,729 | 68 | |
Westamerica Bancorporation | 965 | 46 | |
14,453 | |||
Health Care (5.8%) | |||
Omnicare Inc. | 10,544 | 371 | |
* | Vertex Pharmaceuticals Inc. | 9,040 | 352 |
* | Health Net Inc. | 7,651 | 289 |
* | WellCare Health Plans Inc. | 3,947 | 268 |
* | Hologic Inc. | 10,434 | 216 |
* | Community Health | ||
Systems Inc. | 8,354 | 211 | |
* | VCA Antech Inc. | 7,997 | 176 |
Owens & Minor Inc. | 5,850 | 175 | |
* | LifePoint Hospitals Inc. | 4,442 | 173 |
* | Health Management | ||
Associates Inc. Class A | 23,436 | 173 |
26
S&P Mid-Cap 400 Value Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Universal Health | |||
Services Inc. Class B | 3,206 | 143 | |
Lincare Holdings Inc. | 3,421 | 92 | |
Hill-Rom Holdings Inc. | 2,668 | 91 | |
* | Charles River Laboratories | ||
International Inc. | 2,456 | 86 | |
STERIS Corp. | 2,614 | 82 | |
Teleflex Inc. | 1,203 | 71 | |
* | Masimo Corp. | 1,593 | 35 |
3,004 | |||
Industrials (17.6%) | |||
KBR Inc. | 13,726 | 499 | |
* | AGCO Corp. | 8,962 | 463 |
Timken Co. | 7,744 | 406 | |
Kennametal Inc. | 7,328 | 338 | |
Manpower Inc. | 7,524 | 324 | |
* | URS Corp. | 7,342 | 320 |
Trinity Industries Inc. | 7,390 | 257 | |
* | Terex Corp. | 10,117 | 257 |
* | AECOM Technology Corp. | 10,638 | 248 |
* | Kansas City Southern | 3,546 | 247 |
* | Corrections Corp. of America | 9,177 | 230 |
ITT Corp. | 8,554 | 213 | |
Pentair Inc. | 5,364 | 207 | |
* | Oshkosh Corp. | 8,432 | 197 |
Lennox International Inc. | 4,756 | 186 | |
* | Fortune Brands Home & | ||
Security Inc. | 9,471 | 183 | |
Exelis Inc. | 17,023 | 179 | |
Alexander & Baldwin Inc. | 3,846 | 179 | |
* | Shaw Group Inc. | 6,009 | 174 |
Lincoln Electric Holdings Inc. | 3,710 | 171 | |
* | BE Aerospace Inc. | 3,710 | 170 |
Harsco Corp. | 7,444 | 165 | |
* | Huntington Ingalls | ||
Industries Inc. | 4,502 | 162 | |
SPX Corp. | 2,165 | 158 | |
UTi Worldwide Inc. | 9,482 | 153 | |
Con-way Inc. | 5,127 | 152 | |
Carlisle Cos. Inc. | 3,096 | 151 | |
* | General Cable Corp. | 4,814 | 149 |
* | United Rentals Inc. | 3,525 | 147 |
IDEX Corp. | 2,925 | 122 | |
Deluxe Corp. | 4,688 | 116 | |
Waste Connections Inc. | 3,540 | 115 | |
Regal-Beloit Corp. | 1,680 | 113 | |
Herman Miller Inc. | 5,353 | 112 | |
Brink’s Co. | 4,305 | 109 | |
Hubbell Inc. Class B | 1,409 | 106 | |
Acuity Brands Inc. | 1,702 | 106 | |
HNI Corp. | 4,121 | 104 | |
* | Thomas & Betts Corp. | 1,436 | 104 |
Graco Inc. | 1,976 | 101 | |
Werner Enterprises Inc. | 4,084 | 99 | |
GATX Corp. | 2,228 | 97 | |
* | JetBlue Airways Corp. | 18,783 | 96 |
Granite Construction Inc. | 3,201 | 92 | |
* | Kirby Corp. | 1,331 | 91 |
Alliant Techsystems Inc. | 1,485 | 89 | |
* | Esterline Technologies Corp. | 1,323 | 86 |
Nordson Corp. | 1,537 | 84 | |
Towers Watson & Co. | |||
Class A | 1,189 | 76 | |
* | Korn/Ferry International | 4,403 | 70 |
CLARCOR Inc. | 1,298 | 66 | |
Landstar System Inc. | 1,169 | 63 | |
Crane Co. | 1,173 | 57 | |
Corporate Executive | |||
Board Co. | 1,352 | 56 | |
Mine Safety Appliances Co. | 1,478 | 54 | |
Rollins Inc. | 2,083 | 42 | |
9,111 | |||
Information Technology (12.3%) | |||
* | Avnet Inc. | 13,681 | 489 |
* | Arrow Electronics Inc. | 10,303 | 414 |
* | NCR Corp. | 14,515 | 315 |
* | Ingram Micro Inc. | 14,146 | 271 |
* | Atmel Corp. | 24,317 | 246 |
Diebold Inc. | 5,777 | 226 | |
* | Tech Data Corp. | 3,807 | 204 |
* | Synopsys Inc. | 6,476 | 197 |
* | Cadence Design | ||
Systems Inc. | 16,577 | 195 | |
* | Compuware Corp. | 20,142 | 181 |
* | Vishay Intertechnology Inc. | 14,496 | 178 |
* | Fairchild Semiconductor | ||
International Inc. Class A | 11,660 | 170 | |
* | Itron Inc. | 3,757 | 167 |
Cypress Semiconductor Corp. | 9,570 | 165 | |
DST Systems Inc. | 3,090 | 164 | |
* | AOL Inc. | 8,978 | 161 |
Broadridge Financial | |||
Solutions Inc. | 6,411 | 156 | |
* | Skyworks Solutions Inc. | 5,719 | 154 |
* | Parametric Technology Corp. | 5,712 | 153 |
* | CoreLogic Inc. | 9,823 | 151 |
* | International Rectifier Corp. | 6,369 | 143 |
* | Convergys Corp. | 11,083 | 143 |
* | Polycom Inc. | 6,536 | 135 |
Tellabs Inc. | 33,662 | 133 | |
Intersil Corp. Class A | 11,661 | 132 | |
* | Mentor Graphics Corp. | 8,613 | 131 |
* | RF Micro Devices Inc. | 25,638 | 122 |
* | ValueClick Inc. | 4,862 | 101 |
* | Acxiom Corp. | 7,196 | 101 |
* | Integrated Device | ||
Technology Inc. | 13,069 | 90 | |
National Instruments Corp. | 3,326 | 88 | |
* | Cree Inc. | 2,875 | 87 |
* | MEMC Electronic | ||
Materials Inc. | 21,185 | 83 | |
* | Monster Worldwide Inc. | 11,854 | 82 |
27
S&P Mid-Cap 400 Value Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Plantronics Inc. | 2,162 | 81 | |
Lender Processing | |||
Services Inc. | 3,349 | 74 | |
* | QLogic Corp. | 4,271 | 73 |
* | Ciena Corp. | 4,202 | 63 |
Fair Isaac Corp. | 1,318 | 53 | |
* | Quest Software Inc. | 2,277 | 46 |
Mantech International Corp. | |||
Class A | 976 | 33 | |
6,351 | |||
Materials (7.5%) | |||
Ashland Inc. | 7,203 | 458 | |
Reliance Steel & | |||
Aluminum Co. | 6,914 | 371 | |
Sonoco Products Co. | 9,220 | 303 | |
Steel Dynamics Inc. | 20,167 | 299 | |
RPM International Inc. | 12,084 | 288 | |
Cytec Industries Inc. | 4,573 | 272 | |
Cabot Corp. | 5,894 | 239 | |
Valspar Corp. | 4,999 | 232 | |
Martin Marietta Materials Inc. | 2,023 | 174 | |
Olin Corp. | 7,394 | 156 | |
Domtar Corp. | 1,614 | 155 | |
Packaging Corp. of America | 5,140 | 152 | |
Greif Inc. Class A | 2,838 | 145 | |
Commercial Metals Co. | 10,657 | 142 | |
* | Louisiana-Pacific Corp. | 12,527 | 102 |
Worthington Industries Inc. | 4,934 | 83 | |
Carpenter Technology Corp. | 1,463 | 75 | |
Silgan Holdings Inc. | 1,738 | 74 | |
Sensient Technologies Corp. | 1,982 | 73 | |
Scotts Miracle-Gro Co. | |||
Class A | 1,318 | 62 | |
Minerals Technologies Inc. | 533 | 34 | |
3,889 | |||
Telecommunication Services (0.7%) | |||
* | Telephone & Data | ||
Systems Inc. | 8,889 | 224 | |
* | tw telecom inc Class A | 5,080 | 110 |
334 | |||
Utilities (7.3%) | |||
MDU Resources Group Inc. | 17,409 | 378 | |
NV Energy Inc. | 21,762 | 341 | |
UGI Corp. | 10,647 | 301 | |
Westar Energy Inc. | 10,806 | 297 | |
Atmos Energy Corp. | 8,334 | 256 | |
Great Plains Energy Inc. | 12,513 | 247 | |
Alliant Energy Corp. | 5,425 | 231 | |
Hawaiian Electric | |||
Industries Inc. | 8,851 | 222 |
Vectren Corp. | 7,549 | 221 |
Questar Corp. | 11,464 | 220 |
NSTAR | 3,822 | 179 |
National Fuel Gas Co. | 3,210 | 161 |
OGE Energy Corp. | 2,985 | 157 |
PNM Resources Inc. | 7,347 | 132 |
Aqua America Inc. | 5,880 | 131 |
Cleco Corp. | 2,510 | 97 |
WGL Holdings Inc. | 2,364 | 96 |
IDACORP Inc. | 1,923 | 78 |
Black Hills Corp. | 1,422 | 47 |
3,792 | ||
Total Investments (100.0%) | ||
(Cost $48,079) | 51,663 | |
Other Assets and Liabilities (0.0%) | ||
Other Assets | 67 | |
Liabilities | (77) | |
(10) | ||
Net Assets (100%) | 51,653 | |
At February 29, 2012, net assets consisted of: | ||
Amount | ||
($000) | ||
Paid-in Capital | 50,787 | |
Undistributed Net Investment Income | 85 | |
Accumulated Net Realized Losses | (2,803) | |
Unrealized Appreciation (Depreciation) | 3,584 | |
Net Assets | 51,653 | |
Institutional Shares—Net Assets | ||
Applicable to 313,649 outstanding | ||
$.001 par value shares of beneficial | ||
interest (unlimited authorization) | 39,152 | |
Net Asset Value Per Share— | ||
Institutional Shares | $124.83 | |
ETF Shares—Net Assets | ||
Applicable to 200,000 outstanding | ||
$.001 par value shares of beneficial | ||
interest (unlimited authorization) | 12,501 | |
Net Asset Value Per Share— | ||
ETF Shares | $62.51 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
See accompanying Notes, which are an integral part of the Financial Statements.
28
S&P Mid-Cap 400 Value Index Fund
Statement of Operations
Six Months Ended | |
February 29, 2012 | |
($000) | |
Investment Income | |
Income | |
Dividends | 426 |
Total Income | 426 |
Expenses | |
The Vanguard Group—Note B | |
Management and Administrative—Institutional Shares | 6 |
Management and Administrative—ETF Shares | 7 |
Custodian Fees | 11 |
Total Expenses | 24 |
Net Investment Income | 402 |
Realized Net Gain (Loss) on Investment Securities Sold | (516) |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 6,640 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 6,526 |
See accompanying Notes, which are an integral part of the Financial Statements.
29
S&P Mid-Cap 400 Value Index Fund
Statement of Changes in Net Assets
September 7, | ||
Six Months Ended | 20101 to | |
February 29, | August 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 402 | 436 |
Realized Net Gain (Loss) | (516) | (457) |
Change in Unrealized Appreciation (Depreciation) | 6,640 | (3,056) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 6,526 | (3,077) |
Distributions | ||
Net Investment Income | ||
Institutional Shares | (535) | (46) |
ETF Shares | (159) | (13) |
Realized Capital Gain | ||
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (694) | (59) |
Capital Share Transactions | ||
Institutional Shares | (22) | 37,945 |
ETF Shares | 5,561 | 5,473 |
Net Increase (Decrease) from Capital Share Transactions | 5,539 | 43,418 |
Total Increase (Decrease) | 11,371 | 40,282 |
Net Assets | ||
Beginning of Period | 40,282 | — |
End of Period2 | 51,653 | 40,282 |
1 Inception. | ||
2 Net Assets—End of Period includes undistributed net investment income of $85,000 and $377,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
30
S&P Mid-Cap 400 Value Index Fund
Financial Highlights
Institutional Shares | ||
Six Months | Nov. 2, | |
Ended | 20101 to | |
February 29, | Aug. 31, | |
For a Share Outstanding Throughout Each Period | 2012 | 2011 |
Net Asset Value, Beginning of Period | $111.20 | $109.35 |
Investment Operations | ||
Net Investment Income | 1.0172 | 1.146 |
Net Realized and Unrealized Gain (Loss) on Investments | 14.261 | 1.233 |
Total from Investment Operations | 15.278 | 2.379 |
Distributions | ||
Dividends from Net Investment Income | (1.648) | (.529) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (1.648) | (.529) |
Net Asset Value, End of Period | $124.83 | $111.20 |
Total Return | 13.90% | 2.15% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $39 | $35 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08%3 |
Ratio of Net Investment Income to Average Net Assets | 1.81% | 1.94%3 |
Portfolio Turnover Rate4 | 37% | 48% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized. | ||
1 Inception. | ||
2 Calculated based on average shares outstanding. | ||
3 Annualized. | ||
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
31
S&P Mid-Cap 400 Value Index Fund
Financial Highlights
ETF Shares | ||
Six Months | Sept. 7, | |
Ended | 20101 to | |
February 29, | Aug. 31, | |
For a Share Outstanding Throughout Each Period | 2012 | 2011 |
Net Asset Value, Beginning of Period | $55.69 | $49.86 |
Investment Operations | ||
Net Investment Income | .4892 | .746 |
Net Realized and Unrealized Gain (Loss) on Investments | 7.126 | 5.340 |
Total from Investment Operations | 7.615 | 6.086 |
Distributions | ||
Dividends from Net Investment Income | (.795) | (.256) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (.795) | (.256) |
Net Asset Value, End of Period | $62.51 | $55.69 |
Total Return | 13.82% | 12.18% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $13 | $6 |
Ratio of Total Expenses to Average Net Assets | 0.20% | 0.20%3 |
Ratio of Net Investment Income to Average Net Assets | 1.69% | 1.82%3 |
Portfolio Turnover Rate4 | 37% | 48% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized. | ||
1 Inception. | ||
2 Calculated based on average shares outstanding. | ||
3 Annualized. | ||
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
32
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. 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 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 its open federal income tax year ended August 31, 2011, and for the period ended February 29, 2012, 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 February 29, 2012, the fund had contributed capital of $8,000 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.
33
S&P Mid-Cap 400 Value 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 February 29, 2012, 100% of the market value of the fund’s investments 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.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. 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. The fund will use these capital losses to offset net taxable gains, if any, realized during the year ending August, 31, 2012; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
During the six months ended February 29, 2012, the fund realized $1,006,000 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.
At February 29, 2012, the cost of investment securities for tax purposes was $48,079,000. Net unrealized appreciation of investment securities for tax purposes was $3,584,000, consisting of unrealized gains of $4,781,000 on securities that had risen in value since their purchase and $1,197,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 29, 2012, the fund purchased $26,434,000 of investment securities and sold $21,134,000 of investment securities, other than temporary cash investments.
34
S&P Mid-Cap 400 Value Index Fund
F. Capital share transactions for each class of shares were:
Six Months Ended | Inception1 to | |||
February 29, 2012 | August 31, 2011 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Institutional Shares | ||||
Issued | 1,634 | 15 | 39,075 | 322 |
Issued in Lieu of Cash Distributions | 535 | 5 | 46 | — |
Redeemed | (2,191) | (19) | (1,176) | (10) |
Net Increase (Decrease)—Institutional Shares | (22) | 1 | 37,945 | 312 |
ETF Shares | ||||
Issued | 13,970 | 250 | 13,747 | 250 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (8,409) | (150) | (8,274) | (150) |
Net Increase (Decrease)—ETF Shares | 5,561 | 100 | 5,473 | 100 |
1 Inception was September 7, 2010, for ETF Shares and November 2, 2010, for Institutional Shares. |
At February 29, 2012, one shareholder was the record or beneficial owner of 37% of the fund’s net assets. If the shareholder were to redeem its total investment in the fund, the redemption might result in an increase in the fund’s expense ratio, cause the fund to incur higher transaction costs, or result in the realization of taxable capital gains.
G. In preparing the financial statements as of February 29, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
S&P Mid-Cap 400 Growth Index Fund
Fund Profile
As of February 29, 2012
Share-Class Characteristics | ||
Institutional | ETF | |
Shares | Shares | |
Ticker Symbol | VMFGX | IVOG |
Expense Ratio1 | 0.08% | 0.20% |
30-Day SEC Yield | 0.90% | 0.78% |
Portfolio Characteristics | |||
S&P | DJ | ||
MidCap | U.S. Total | ||
400 Growth | Market | ||
Fund | Index | Index | |
Number of Stocks | 232 | 232 | 3,733 |
Median Market Cap | $4.3B | $4.3B | $33.9B |
Price/Earnings Ratio | 22.8x | 22.8x | 16.5x |
Price/Book Ratio | 3.1x | 3.1x | 2.2x |
Return on Equity | 15.8% | 15.8% | 18.2% |
Earnings Growth Rate 10.6% | 10.6% | 7.6% | |
Dividend Yield | 1.0% | 1.0% | 1.9% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 32% | — | — |
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 | 14.4% | 14.4% | 11.9% |
Consumer Staples | 5.9 | 5.9 | 9.4 |
Energy | 7.4 | 7.4 | 11.2 |
Financials | 13.1 | 13.1 | 15.4 |
Health Care | 14.5 | 14.5 | 11.4 |
Industrials | 16.3 | 16.2 | 11.2 |
Information | |||
Technology | 19.8 | 19.8 | 19.4 |
Materials | 5.4 | 5.4 | 4.1 |
Telecommunication | |||
Services | 0.3 | 0.3 | 2.5 |
Utilities | 2.9 | 3.0 | 3.5 |
Ten Largest Holdings (% of total net assets) | ||
Monster Beverage Corp. | Soft Drinks | 1.4% |
Green Mountain Coffee | Packaged Foods & | |
Roasters Inc. | Meats | 1.4 |
Regeneron | ||
Pharmaceuticals Inc. | Biotechnology | 1.3 |
AMETEK Inc. | Electrical | |
Components & | ||
Equipment | 1.3 | |
Cimarex Energy Co. | Oil & Gas | |
Exploration & | ||
Production | 1.1 | |
Church & Dwight Co. | Household | |
Inc. | Products | 1.1 |
Henry Schein Inc. | Health Care | |
Distributors | 1.1 | |
Equinix Inc. | Internet Software & | |
Services | 1.1 | |
Fossil Inc. | Apparel, | |
Accessories & | ||
Luxury Goods | 1.1 | |
PetSmart Inc. | Specialty Stores | 1.0 |
Top Ten | 11.9% | |
The holdings listed exclude any temporary cash investments and equity index products. |
Investment Focus
1 The expense ratios shown are from the prospectus dated December 27, 2011, and represent estimated costs for the current fiscal year. For
the six months ended February 29, 2012, the annualized expense ratios were 0.08% for Institutional Shares and 0.20% for ETF Shares.
36
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.
Fiscal-Year Total Returns (%): September 7, 2010, Through February 29, 2012
Note: For 2012, performance data reflect the six months ended February 29, 2012.
Average Annual Total Returns: Periods Ended December 31, 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 | Since | |
Date | Year | Inception | |
Institutional Shares | 3/28/20111 | — | -7.46% |
ETF Shares | 9/7/2010 | ||
Market Price | -1.17% | 15.70 | |
Net Asset Value | -1.15 | 15.70 |
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.
37
S&P Mid-Cap 400 Growth Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 29, 2012
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 (14.4%) | |||
* | Fossil Inc. | 4,993 | 609 |
PetSmart Inc. | 10,600 | 591 | |
Advance Auto Parts Inc. | 6,879 | 587 | |
Tractor Supply Co. | 6,744 | 576 | |
PVH Corp. | 6,415 | 545 | |
* | LKQ Corp. | 13,918 | 443 |
* | Panera Bread Co. Class A | 2,815 | 435 |
Polaris Industries Inc. | 6,555 | 433 | |
Tupperware Brands Corp. | 5,447 | 342 | |
Gentex Corp. | 13,623 | 322 | |
* | Under Armour Inc. Class A | 3,486 | 311 |
Dick’s Sporting Goods Inc. | 6,510 | 291 | |
* | Deckers Outdoor Corp. | 3,666 | 274 |
* | Carter’s Inc. | 4,840 | 235 |
* | Warnaco Group Inc. | 3,843 | 226 |
Signet Jewelers Ltd. | 4,373 | 205 | |
* | Life Time Fitness Inc. | 4,020 | 199 |
Williams-Sonoma Inc. | 5,117 | 198 | |
* | Ascena Retail Group Inc. | 4,097 | 158 |
Guess? Inc. | 4,260 | 148 | |
John Wiley & Sons Inc. | |||
Class A | 3,247 | 147 | |
* | ITT Educational Services Inc. | 1,903 | 131 |
Aaron’s Inc. | 4,097 | 114 | |
Strayer Education Inc. | 1,106 | 114 | |
* | Cheesecake Factory Inc. | 3,533 | 105 |
* | Bally Technologies Inc. | 2,304 | 99 |
Sotheby’s | 2,499 | 98 | |
* | AMC Networks Inc. Class A | 2,127 | 97 |
* | Aeropostale Inc. | 4,776 | 86 |
* | Lamar Advertising Co. | ||
Class A | 2,570 | 84 | |
HSN Inc. | 1,915 | 71 | |
Matthews International | |||
Corp. Class A | 1,379 | 43 | |
* | Scientific Games Corp. | ||
Class A | 1,898 | 20 | |
8,337 |
Consumer Staples (5.9%) | |||
* | Monster Beverage Corp. | 14,388 | 823 |
* | Green Mountain Coffee | ||
Roasters Inc. | 12,334 | 801 | |
Church & Dwight Co. Inc. | 13,584 | 648 | |
Corn Products | |||
International Inc. | 7,196 | 413 | |
* | Energizer Holdings Inc. | 3,557 | 272 |
* | Ralcorp Holdings Inc. | 2,355 | 176 |
Lancaster Colony Corp. | 1,893 | 123 | |
Flowers Foods Inc. | 5,477 | 105 | |
* | Post Holdings Inc. | 1,190 | 37 |
Tootsie Roll Industries Inc. | 1,164 | 27 | |
3,425 | |||
Energy (7.4%) | |||
Cimarex Energy Co. | 8,142 | 657 | |
Oceaneering | |||
International Inc. | 10,259 | 557 | |
SM Energy Co. | 6,077 | 478 | |
* | Oil States International Inc. | 4,865 | 395 |
* | Dresser-Rand Group Inc. | 7,144 | 375 |
Southern Union Co. | 6,514 | 286 | |
Energen Corp. | 4,791 | 255 | |
* | Dril-Quip Inc. | 3,272 | 229 |
* | Plains Exploration & | ||
Production Co. | 4,685 | 207 | |
* | Atwood Oceanics Inc. | 3,702 | 176 |
CARBO Ceramics Inc. | 1,886 | 173 | |
* | Superior Energy Services Inc. | 5,451 | 160 |
* | Northern Oil and Gas Inc. | 5,996 | 142 |
* | Bill Barrett Corp. | 4,445 | 130 |
* | Helix Energy Solutions | ||
Group Inc. | 2,608 | 50 | |
4,270 | |||
Financials (13.1%) | |||
Federal Realty | |||
Investment Trust | 6,029 | 575 | |
Essex Property Trust Inc. | 3,240 | 453 | |
* | MSCI Inc. Class A | 11,449 | 405 |
Taubman Centers Inc. | 5,499 | 380 | |
Rayonier Inc. | 7,920 | 353 |
38
S&P Mid-Cap 400 Growth Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Macerich Co. | 6,264 | 338 | |
SL Green Realty Corp. | 4,253 | 323 | |
Camden Property Trust | 4,978 | 309 | |
Realty Income Corp. | 7,715 | 285 | |
UDR Inc. | 10,815 | 271 | |
* | Affiliated Managers | ||
Group Inc. | 2,528 | 269 | |
Home Properties Inc. | 4,583 | 264 | |
* | Signature Bank | 4,384 | 260 |
Alexandria Real Estate | |||
Equities Inc. | 3,235 | 232 | |
BRE Properties Inc. | 4,361 | 211 | |
Arthur J Gallagher & Co. | 5,697 | 194 | |
Cullen/Frost Bankers Inc. | 3,256 | 184 | |
American Campus | |||
Communities Inc. | 4,304 | 177 | |
Eaton Vance Corp. | 6,104 | 176 | |
Regency Centers Corp. | 4,012 | 172 | |
CBOE Holdings Inc. | 5,821 | 160 | |
Waddell & Reed | |||
Financial Inc. Class A | 4,871 | 154 | |
Liberty Property Trust | 4,406 | 149 | |
Senior Housing | |||
Properties Trust | 6,948 | 149 | |
National Retail Properties Inc. | 4,723 | 126 | |
Commerce Bancshares Inc. | 3,163 | 122 | |
* | SVB Financial Group | 2,021 | 120 |
Prosperity Bancshares Inc. | 2,543 | 111 | |
Brown & Brown Inc. | 4,421 | 104 | |
Bank of Hawaii Corp. | 2,210 | 102 | |
Highwoods Properties Inc. | 2,961 | 95 | |
SEI Investments Co. | 4,729 | 93 | |
Omega Healthcare | |||
Investors Inc. | 4,307 | 88 | |
Westamerica Bancorporation | 1,711 | 81 | |
Greenhill & Co. Inc. | 1,154 | 51 | |
Potlatch Corp. | 1,528 | 47 | |
7,583 | |||
Health Care (14.5%) | |||
* | Regeneron | ||
Pharmaceuticals Inc. | 7,209 | 755 | |
* | Henry Schein Inc. | 8,581 | 635 |
* | Mettler-Toledo | ||
International Inc. | 2,999 | 541 | |
* | IDEXX Laboratories Inc. | 5,332 | 457 |
* | Endo Pharmaceuticals | ||
Holdings Inc. | 11,094 | 411 | |
* | ResMed Inc. | 13,967 | 409 |
* | Vertex Pharmaceuticals Inc. | 10,496 | 409 |
Cooper Cos. Inc. | 4,532 | 360 | |
* | Allscripts Healthcare | ||
Solutions Inc. | 18,001 | 348 | |
* | Mednax Inc. | 4,644 | 345 |
* | AMERIGROUP Corp. | 4,542 | 309 |
* | Gen-Probe Inc. | 4,416 | 302 |
* | Hologic Inc. | 14,241 | 295 |
* | Catalyst Health Solutions Inc. | 4,750 | 295 |
* | Covance Inc. | 5,769 | 275 |
Universal Health | |||
Services Inc. Class B | 5,866 | 262 | |
* | HMS Holdings Corp. | 8,076 | 260 |
Techne Corp. | 3,513 | 252 | |
* | United Therapeutics Corp. | 4,929 | 235 |
Medicis Pharmaceutical | |||
Corp. Class A | 5,990 | 209 | |
* | Thoratec Corp. | 5,689 | 196 |
* | Bio-Rad Laboratories Inc. | ||
Class A | 1,869 | 191 | |
Teleflex Inc. | 2,628 | 156 | |
Lincare Holdings Inc. | 4,887 | 131 | |
Hill-Rom Holdings Inc. | 3,112 | 106 | |
* | Masimo Corp. | 4,040 | 88 |
STERIS Corp. | 2,804 | 88 | |
* | Charles River Laboratories | ||
International Inc. | 2,169 | 76 | |
8,396 | |||
Industrials (16.3%) | |||
AMETEK Inc. | 15,204 | 724 | |
Donaldson Co. Inc. | 7,076 | 520 | |
* | Kansas City Southern | 6,780 | 472 |
JB Hunt Transport | |||
Services Inc. | 8,535 | 437 | |
MSC Industrial Direct Co. | |||
Inc. Class A | 4,350 | 345 | |
Wabtec Corp. | 4,555 | 340 | |
Gardner Denver Inc. | 4,803 | 330 | |
Hubbell Inc. Class B | 4,141 | 311 | |
* | Clean Harbors Inc. | 4,484 | 301 |
* | BE Aerospace Inc. | 5,974 | 274 |
* | Kirby Corp. | 3,911 | 268 |
Waste Connections Inc. | 8,114 | 264 | |
Triumph Group Inc. | 4,100 | 262 | |
* | Copart Inc. | 5,065 | 252 |
* | Thomas & Betts Corp. | 3,459 | 250 |
Woodward Inc. | 5,691 | 249 | |
Valmont Industries Inc. | 2,134 | 237 | |
Towers Watson & Co. Class A | 3,669 | 235 | |
* | Alaska Air Group Inc. | 3,372 | 231 |
Nordson Corp. | 4,076 | 224 | |
IDEX Corp. | 4,911 | 205 | |
Watsco Inc. | 2,694 | 192 | |
SPX Corp. | 2,615 | 191 | |
Lincoln Electric Holdings Inc. | 4,136 | 191 | |
Graco Inc. | 3,626 | 186 | |
Landstar System Inc. | 3,250 | 176 | |
CLARCOR Inc. | 3,433 | 173 | |
Crane Co. | 3,432 | 167 | |
* | FTI Consulting Inc. | 3,889 | 156 |
Regal-Beloit Corp. | 2,213 | 149 | |
Pentair Inc. | 3,846 | 148 |
39
S&P Mid-Cap 400 Growth Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Acuity Brands Inc. | 2,242 | 139 | |
Carlisle Cos. Inc. | 2,613 | 128 | |
* | Esterline Technologies Corp. | 1,540 | 100 |
* | Fortune Brands Home & | ||
Security Inc. | 5,033 | 97 | |
* | United Rentals Inc. | 2,318 | 97 |
Alliant Techsystems Inc. | 1,594 | 96 | |
GATX Corp. | 2,123 | 92 | |
Rollins Inc. | 3,991 | 81 | |
Corporate Executive Board Co. | 1,778 | 74 | |
Mine Safety Appliances Co. | 1,405 | 52 | |
9,416 | |||
Information Technology (19.8%) | |||
* | Equinix Inc. | 4,502 | 631 |
* | Trimble Navigation Ltd. | 11,710 | 589 |
* | Alliance Data Systems Corp. | 4,745 | 576 |
* | ANSYS Inc. | 8,772 | 554 |
* | Rackspace Hosting Inc. | 9,833 | 514 |
* | Informatica Corp. | 10,098 | 496 |
* | VeriFone Systems Inc. | 9,995 | 479 |
* | Lam Research Corp. | 11,352 | 473 |
* | TIBCO Software Inc. | 15,309 | 443 |
* | Riverbed Technology Inc. | 14,720 | 419 |
* | MICROS Systems Inc. | 7,609 | 395 |
Global Payments Inc. | 7,436 | 384 | |
Factset Research | |||
Systems Inc. | 4,288 | 375 | |
* | Rovi Corp. | 10,445 | 371 |
* | Gartner Inc. | 9,010 | 363 |
Solera Holdings Inc. | 6,732 | 323 | |
* | Skyworks Solutions Inc. | 11,953 | 322 |
Jack Henry & Associates Inc. | 8,221 | 277 | |
* | Concur Technologies Inc. | 4,416 | 260 |
* | Cree Inc. | 7,997 | 242 |
* | NeuStar Inc. Class A | 6,207 | 218 |
ADTRAN Inc. | 6,044 | 213 | |
* | Synopsys Inc. | 6,939 | 211 |
* | Polycom Inc. | 10,091 | 208 |
* | Atmel Corp. | 18,881 | 191 |
* | Zebra Technologies Corp. | 4,933 | 190 |
* | Semtech Corp. | 6,293 | 181 |
* | Silicon Laboratories Inc. | 3,973 | 178 |
National Instruments Corp. | 5,382 | 143 | |
* | ACI Worldwide Inc. | 3,726 | 141 |
* | Parametric Technology Corp. | 5,227 | 140 |
Broadridge Financial | |||
Solutions Inc. | 5,197 | 126 | |
* | Cadence Design Systems Inc. | 8,789 | 103 |
Lender Processing | |||
Services Inc. | 4,563 | 101 | |
* | QLogic Corp. | 5,155 | 89 |
Cypress Semiconductor Corp. | 4,847 | 84 | |
Fair Isaac Corp. | 2,043 | 83 |
* | Advent Software Inc. | 3,053 | 78 |
* | Ciena Corp. | 4,898 | 73 |
Plantronics Inc. | 1,909 | 71 | |
* | Quest Software Inc. | 3,017 | 60 |
* | ValueClick Inc. | 2,827 | 59 |
Mantech International Corp. | |||
Class A | 1,187 | 40 | |
11,467 | |||
Materials (5.4%) | |||
Albemarle Corp. | 8,429 | 561 | |
Rock-Tenn Co. Class A | 6,696 | 472 | |
Aptargroup Inc. | 6,273 | 331 | |
Compass Minerals | |||
International Inc. | 3,125 | 225 | |
Martin Marietta Materials Inc. | 2,256 | 194 | |
NewMarket Corp. | 1,005 | 183 | |
Domtar Corp. | 1,803 | 173 | |
Valspar Corp. | 3,726 | 173 | |
Carpenter Technology Corp. | 2,691 | 138 | |
Scotts Miracle-Gro Co. | |||
Class A | 2,759 | 129 | |
* | Intrepid Potash Inc. | 5,010 | 127 |
Silgan Holdings Inc. | 2,924 | 124 | |
Packaging Corp. of America | 4,000 | 119 | |
Sensient Technologies Corp. | 2,716 | 100 | |
Minerals Technologies Inc. | 1,128 | 73 | |
3,122 | |||
Telecommunication Services (0.3%) | |||
* | tw telecom inc Class A | 8,932 | 193 |
Utilities (3.0%) | |||
OGE Energy Corp. | 6,238 | 327 | |
NSTAR | 5,901 | 277 | |
National Fuel Gas Co. | 4,562 | 230 | |
Alliant Energy Corp. | 4,952 | 211 | |
Aqua America Inc. | 7,104 | 158 | |
Cleco Corp. | 3,175 | 122 | |
IDACORP Inc. | 2,747 | 111 | |
WGL Holdings Inc. | 2,447 | 100 | |
Questar Corp. | 5,070 | 98 | |
Black Hills Corp. | 2,296 | 75 | |
1,709 | |||
Total Investments (100.1%) | |||
(Cost $51,691) | 57,918 | ||
Other Assets and Liabilities (-0.1%) | |||
Other Assets | 52 | ||
Liabilities | (125) | ||
(73) | |||
Net Assets (100%) | 57,845 |
40
S&P Mid-Cap 400 Growth Index Fund | |
At February 29, 2012, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 55,770 |
Undistributed Net Investment Income | 16 |
Accumulated Net Realized Losses | (4,168) |
Unrealized Appreciation (Depreciation) | 6,227 |
Net Assets | 57,845 |
Institutional Shares—Net Assets | |
Applicable to 179,452 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 24,084 |
Net Asset Value Per Share— | |
Institutional Shares | $134.21 |
ETF Shares—Net Assets | |
Applicable to 500,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 33,761 |
Net Asset Value Per Share— | |
ETF Shares | $67.52 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
See accompanying Notes, which are an integral part of the Financial Statements.
41
S&P Mid-Cap 400 Growth Index Fund
Statement of Operations
Six Months Ended | |
February 29, 2012 | |
($000) | |
Investment Income | |
Income | |
Dividends | 205 |
Total Income | 205 |
Expenses | |
The Vanguard Group—Note B | |
Management and Administrative—Institutional Shares | 3 |
Management and Administrative—ETF Shares | 20 |
Custodian Fees | 14 |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—ETF Shares | 3 |
Total Expenses | 40 |
Net Investment Income | 165 |
Realized Net Gain (Loss) on Investment Securities Sold | (2,068) |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 7,677 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 5,774 |
See accompanying Notes, which are an integral part of the Financial Statements.
42
S&P Mid-Cap 400 Growth Index Fund
Statement of Changes in Net Assets
September 7, | ||
Six Months Ended | 20101 to | |
February 29, | August 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 165 | 187 |
Realized Net Gain (Loss) | (2,068) | (457) |
Change in Unrealized Appreciation (Depreciation) | 7,677 | (1,450) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 5,774 | (1,720) |
Distributions | ||
Net Investment Income | ||
Institutional Shares | (137) | — |
ETF Shares | (166) | (20) |
Realized Capital Gain | ||
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (303) | (20) |
Capital Share Transactions | ||
Institutional Shares | (641) | 24,410 |
ETF Shares | 8 | 30,337 |
Net Increase (Decrease) from Capital Share Transactions | (633) | 54,747 |
Total Increase (Decrease) | 4,838 | 53,007 |
Net Assets | ||
Beginning of Period | 53,007 | — |
End of Period2 | 57,845 | 53,007 |
1 Inception. | ||
2 Net Assets—End of Period includes undistributed net investment income of $16,000 and $154,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
43
S&P Mid-Cap 400 Growth Index Fund
Financial Highlights
Institutional Shares | ||
Six Months | March 28, | |
Ended | 20111 to | |
February 29, | Aug. 31, | |
For a Share Outstanding Throughout Each Period | 2012 | 2011 |
Net Asset Value, Beginning of Period | $121.54 | $130.08 |
Investment Operations | ||
Net Investment Income | .427 | .304 |
Net Realized and Unrealized Gain (Loss) on Investments | 13.004 | (8.844) |
Total from Investment Operations | 13.431 | (8.540) |
Distributions | ||
Dividends from Net Investment Income | (.761) | — |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (.761) | — |
Net Asset Value, End of Period | $134.21 | $121.54 |
Total Return | 11.13% | -6.57% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $24 | $22 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08%2 |
Ratio of Net Investment Income to Average Net Assets | 0.69% | 0.75%2 |
Portfolio Turnover Rate3 | 32% | 40% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
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.
44
S&P Mid-Cap 400 Growth Index Fund
Financial Highlights
ETF Shares | ||
Six Months | Sept. 7, | |
Ended | 20101 to | |
February 29, | Aug. 31, | |
For a Share Outstanding Throughout Each Period | 2012 | 2011 |
Net Asset Value, Beginning of Period | $61.13 | $50.04 |
Investment Operations | ||
Net Investment Income1 | .178 | .280 |
Net Realized and Unrealized Gain (Loss) on Investments | 6.543 | 10.910 |
Total from Investment Operations | 6.721 | 11.190 |
Distributions | ||
Dividends from Net Investment Income | (.331) | (.100) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (.331) | (.100) |
Net Asset Value, End of Period | $67.52 | $61.13 |
Total Return | 11.06% | 22.36% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $34 | $31 |
Ratio of Total Expenses to Average Net Assets | 0.20% | 0.20%2 |
Ratio of Net Investment Income to Average Net Assets | 0.57% | 0.63%2 |
Portfolio Turnover Rate3 | 32% | 40% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
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.
45
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 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 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 its open federal income tax year ended August 31, 2011, and for the period ended February 29, 2012, 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 February 29, 2012, the fund had contributed capital 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.
46
S&P Mid-Cap 400 Growth 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 February 29, 2012, 100% of the market value of the fund’s investments 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.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. 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. The fund will use these capital losses to offset net taxable gains, if any, realized during the year ending August, 31, 2012; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
During the six months ended February 29, 2012, the fund realized $745,000 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.
At February 29, 2012, the cost of investment securities for tax purposes was $51,691,000. Net unrealized appreciation of investment securities for tax purposes was $6,227,000, consisting of unrealized gains of $7,262,000 on securities that had risen in value since their purchase and $1,035,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 29, 2012, the fund purchased $19,100,000 of investment securities and sold $19,750,000 of investment securities, other than temporary cash investments.
47
S&P Mid-Cap 400 Growth Index Fund
F. Capital share transactions for each class of shares were:
Six Months Ended | Inception1 to | |||
February 29, 2012 | August 31, 2011 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Institutional Shares | ||||
Issued | 1,401 | 12 | 26,992 | 205 |
Issued in Lieu of Cash Distributions | 137 | 1 | — | — |
Redeemed | (2,179) | (18) | (2,582) | (20) |
Net Increase (Decrease)—Institutional Shares | (641) | (5) | 24,410 | 185 |
ETF Shares | ||||
Issued | 5,930 | 100 | 36,105 | 600 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (5,922) | (100) | (5,768) | (100) |
Net Increase (Decrease)—ETF Shares | 8 | — | 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 Shares
transactions beginning December 15, 2010.
G. In preparing the financial statements as of February 29, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
48
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.
49
Six Months Ended February 29, 2012 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
8/31/2011 | 2/29/2012 | Period | |
Based on Actual Fund Return | |||
S&P Mid-Cap 400 Index Fund | |||
Institutional Shares | $1,000.00 | $1,125.00 | $0.42 |
ETF Shares | 1,000.00 | 1,124.65 | 0.79 |
S&P Mid-Cap 400 Value Index Fund | |||
Institutional Shares | $1,000.00 | $1,138.96 | $0.43 |
ETF Shares | 1,000.00 | 1,138.15 | 1.06 |
S&P Mid-Cap 400 Growth Index Fund | |||
Institutional Shares | $1,000.00 | $1,111.27 | $0.42 |
ETF Shares | 1,000.00 | 1,110.56 | 1.05 |
Based on Hypothetical 5% Yearly Return | |||
S&P Mid-Cap 400 Index Fund | |||
Institutional Shares | $1,000.00 | $1,024.47 | $0.40 |
ETF Shares | 1,000.00 | 1,024.12 | 0.75 |
S&P Mid-Cap 400 Value Index Fund | |||
Institutional Shares | $1,000.00 | $1,024.47 | $0.40 |
ETF Shares | 1,000.00 | 1,023.87 | 1.01 |
S&P Mid-Cap 400 Growth Index Fund | |||
Institutional Shares | $1,000.00 | $1,024.47 | $0.40 |
ETF Shares | 1,000.00 | 1,023.87 | 1.01 |
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, 0.08% 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. 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.
50
Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Dividend Yield. Dividend income earned by stocks, expressed as a percentage of the aggregate market value (or of net asset value, for a fund). The yield is determined by dividing the amount of the annual dividends by the aggregate value (or net asset value) at the end of the period. For a fund, the dividend yield is based solely on stock holdings and does not include any income produced by other investments.
Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund.
Equity Exposure. A measure that reflects a fund’s investments in stocks and stock futures. Any holdings in short-term reserves are excluded.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Foreign Holdings. The percentage of a fund represented by securities or depositary receipts of companies based outside the United States.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it.
Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds.
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.
51
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.
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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 179 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 Haas Co. |
(chemicals); Director of Tyco International, Ltd. | |
F. William McNabb III | (diversified manufacturing and services), Hewlett- |
Born 1957. Trustee Since July 2009. Chairman of the | Packard Co. (electronic computer manufacturing), |
Board. Principal Occupation(s) During the Past Five | and Delphi Automotive LLP (automotive components); |
Years: Chairman of the Board of The Vanguard Group, | Senior Advisor at New Mountain Capital; Trustee of |
Inc., and of each of the investment companies served | The Conference Board. |
by The Vanguard Group, since January 2010; Director | |
of The Vanguard Group since 2008; Chief Executive | Amy Gutmann |
Officer and President of The Vanguard Group and of | Born 1949. Trustee Since June 2006. Principal |
each of the investment companies served by The | Occupation(s) During the Past Five Years: President |
Vanguard Group since 2008; Director of Vanguard | of the University of Pennsylvania; Christopher H. |
Marketing Corporation; Managing Director of The | Browne Distinguished Professor of Political Science |
Vanguard Group (1995–2008). | in the School of Arts and Sciences with secondary |
appointments at the Annenberg School for Commu- | |
nication and the Graduate School of Education | |
Independent Trustees | of the University of Pennsylvania; Director of |
Carnegie Corporation of New York, Schuylkill River | |
Emerson U. Fullwood | Development Corporation, and Greater Philadelphia |
Born 1948. Trustee Since January 2008. Principal | Chamber of Commerce; Trustee of the National |
Occupation(s) During the Past Five Years: Executive | Constitution Center; Chair of the Presidential |
Chief Staff and Marketing Officer for North America | Commission for the Study of Bioethical Issues. |
and Corporate Vice President (retired 2008) of Xerox | |
Corporation (document management products and | JoAnn Heffernan Heisen |
services); Executive in Residence and 2010 | Born 1950. Trustee Since July 1998. Principal |
Distinguished Minett Professor at the Rochester | Occupation(s) During the Past Five Years: Corporate |
Institute of Technology; Director of SPX Corporation | Vice President and Chief Global Diversity Officer |
(multi-industry manufacturing), the United Way of | (retired 2008) and Member of the Executive |
Rochester, Amerigroup Corporation (managed health | Committee (1997–2008) of Johnson & Johnson |
care), the University of Rochester Medical Center, | (pharmaceuticals/medical devices/consumer |
Monroe Community College Foundation, and North | products); Director of Skytop Lodge Corporation |
Carolina A&T University. | (hotels), the University Medical Center at Princeton, |
the Robert Wood Johnson Foundation, and the Center | |
Rajiv L. Gupta | for Talent Innovation; Member of the Advisory Board |
Born 1945. Trustee Since December 2001.2 | of the Maxwell School of Citizenship and Public Affairs |
Principal Occupation(s) During the Past Five Years: | at Syracuse University. |
Chairman and Chief Executive Officer (retired 2009) |
F. Joseph Loughrey | Group since 2010; Assistant Controller of each of | |
Born 1949. Trustee Since October 2009. Principal | the investment companies served by The Vanguard | |
Occupation(s) During the Past Five Years: President | Group (2001–2010). | |
and Chief Operating Officer (retired 2009) and Vice | ||
Chairman of the Board (2008–2009) of Cummins Inc. | Thomas J. Higgins | |
(industrial machinery); Director of SKF AB (industrial | Born 1957. Chief Financial Officer Since September | |
machinery), Hillenbrand, Inc. (specialized consumer | 2008. Principal Occupation(s) During the Past Five | |
services), the Lumina Foundation for Education, and | Years: Principal of The Vanguard Group, Inc.; Chief | |
Oxfam America; Chairman of the Advisory Council | Financial Officer of each of the investment companies | |
for the College of Arts and Letters and Member | served by The Vanguard Group since 2008; Treasurer | |
of the Advisory Board to the Kellogg Institute for | of each of the investment companies served by The | |
International Studies at the University of Notre Dame. | Vanguard Group (1998–2008). | |
André F. Perold | Kathryn J. Hyatt | |
Born 1952. Trustee Since December 2004. Principal | Born 1955. Treasurer Since November 2008. Principal | |
Occupation(s) During the Past Five Years: George | Occupation(s) During the Past Five Years: Principal | |
Gund Professor of Finance and Banking at the Harvard | of The Vanguard Group, Inc.; Treasurer of each of | |
Business School (retired 2011); Chief Investment | the investment companies served by The Vanguard | |
Officer and Managing Partner of HighVista Strategies | Group since 2008; Assistant Treasurer of each of the | |
LLC (private investment firm); Director of Rand | investment companies served by The Vanguard Group | |
Merchant Bank; Overseer of the Museum of Fine | (1988–2008). | |
Arts Boston. | ||
Heidi Stam | ||
Alfred M. Rankin, Jr. | Born 1956. Secretary Since July 2005. Principal | |
Born 1941. Trustee Since January 1993. Principal | Occupation(s) During the Past Five Years: Managing | |
Occupation(s) During the Past Five Years: Chairman, | Director of The Vanguard Group, Inc., since 2006; | |
President, and Chief Executive Officer of NACCO | General Counsel of The Vanguard Group since 2005; | |
Industries, Inc. (forklift trucks/housewares/lignite); | Secretary of The Vanguard Group and of each of the | |
Director of Goodrich Corporation (industrial products/ | investment companies served by The Vanguard Group | |
aircraft systems and services) and the National | since 2005; Director and Senior Vice President of | |
Association of Manufacturers; Chairman of the Board | Vanguard Marketing Corporation since 2005; | |
of the Federal Reserve Bank of Cleveland and of | Principal of The Vanguard Group (1997–2006). | |
University Hospitals of Cleveland; Advisory Chairman | ||
of the Board of The Cleveland Museum of Art. | ||
Vanguard Senior Management Team | ||
Peter F. Volanakis | Mortimer J. Buckley | Michael S. Miller |
Born 1955. Trustee Since July 2009. Principal | Kathleen C. Gubanich | James M. Norris |
Occupation(s) During the Past Five Years: President | Paul A. Heller | Glenn W. Reed |
and Chief Operating Officer (retired 2010) of Corning | Martha G. King | George U. Sauter |
Incorporated (communications equipment); Director of | Chris D. McIsaac | |
Corning Incorporated (2000-2010) and Dow Corning | ||
(2001–2010); Director of SPX Corporation (multi- | ||
industry manufacturing); Overseer of the Amos Tuck | ||
School of Business Administration at Dartmouth | Chairman Emeritus and Senior Advisor | |
College; Advisor to the Norris Cotton Cancer Center. | John J. Brennan | |
Chairman, 1996–2009 | ||
Chief Executive Officer and President, 1996–2008 | ||
Executive Officers | ||
Glenn Booraem | ||
Born 1967. Controller Since July 2010. Principal | Founder | |
Occupation(s) During the Past Five Years: Principal | John C. Bogle | |
of The Vanguard Group, Inc.; Controller of each of | Chairman and Chief Executive Officer, 1974–1996 | |
the investment companies served by The Vanguard |
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 | |
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All comparative mutual fund data are from Lipper Inc. or | |
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© 2012 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q18422 042012 |
Semiannual Report | February 29, 2012 |
Vanguard S&P 500 Value and Growth |
Index Funds |
Vanguard S&P 500 Value Index Fund |
Vanguard S&P 500 Growth Index Fund |
> For the six months ended February 29, Vanguard S&P 500 Value Index Fund
returned about 14%, and Vanguard S&P 500 Growth Index Fund returned about
12%.
> Both funds closely tracked the returns of their target indexes.
> Financial stocks contributed most to the Value Fund’s performance, while the
Growth Fund received a significant boost from information technology stocks.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
S&P 500 Value Index Fund. | 6 |
S&P 500 Growth Index Fund. | 18 |
About Your Fund’s Expenses. | 29 |
Glossary. | 31 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice.
Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the
risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: 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
Six Months Ended February 29, 2012 | |
Total | |
Returns | |
Vanguard S&P 500 Value Index Fund | |
ETF Shares | |
Market Price | 14.14% |
Net Asset Value | 14.11 |
S&P 500 Value Index | 14.22 |
Large-Cap Value Funds Average | 12.39 |
Large-Cap Value Funds Average: Derived from data provided by Lipper Inc. | |
Vanguard S&P 500 Growth Index Fund | |
ETF Shares | |
Market Price | 12.43% |
Net Asset Value | 12.45 |
S&P 500 Growth Index | 12.56 |
Large-Cap Growth Funds Average | 12.46 |
Large-Cap Growth Funds Average: Derived from data provided by Lipper Inc.
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; 7,720,749;
7,925,573; 8,090,646.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock
Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about
how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price
and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was
above or below the NAV.
Your Fund’s Performance at a Glance | ||||
August 31, 2011, Through February 29, 2012 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard S&P 500 Value Index Fund | ||||
ETF Shares | $53.59 | $60.42 | $0.637 | $0.000 |
Vanguard S&P 500 Growth Index Fund | ||||
ETF Shares | $58.81 | $65.52 | $0.542 | $0.000 |
Chairman’s Letter
Dear Shareholder,
For the six months ended February 29, 2012, the ETF Shares of Vanguard S&P 500 Value Index Fund returned about 14%, and those of Vanguard S&P 500 Growth Index Fund returned about 12%. Both funds closely tracked their respective benchmarks for the period.
The Value Fund led the average return of its peers by about 2 percentage points, while the Growth Fund’s return was in line with its peer-group average. (Vanguard 500 Index Fund, which is essentially a blend of the growth and value portfolios, is covered in a separate report.)
Notes of economic optimism propelled stock prices higher
U.S. stocks produced a strong return of 13.18% over the period. That statement is true enough, but the headline figure obscures the volatility that has been perhaps the most prominent feature of the financial markets over the past six months, and indeed the past few years. If our semiannual reporting period had started a month earlier, for example, the Dow Jones U.S. Total Stock Market Index would have returned just 1.97%. A start date two months earlier would have produced a return of –5.18%.
In the six months through February, however, stock prices benefited from signs of acceleration in the U.S. economic expansion and hope that the European Union’s latest agreement on Greek debt would help to contain a threat that has menaced global markets for much of the
2
past two years. European stocks rallied on the news about Greece, but international stocks still trailed their U.S. counterparts for the full six months.
The bond market’s strength confounded expectations
Bonds produced solid returns, to the surprise of many long-time observers of the fixed income market. At the start of the period, the yield of the 10-year U.S. Treasury note stood at just 2.22%, suggesting that returns would be very modest by historical standards. Over the next six months, however, yields moved lower still, boosting bond prices, which move in the opposite direction. At the end of February, the yield of the 10-year T-note stood at 1.98%. As yields decline,
obviously, the scope for continued declines—and price increases—diminishes. Municipal bonds performed even more strongly than the broad taxable market.
The returns for 3-month Treasury bills and other money market instruments remained near 0%, consistent with the Federal Reserve’s policy on interest rates.
Large-cap value stocks outpaced their growth counterparts
Relatively new to Vanguard’s fund lineup, the S&P 500 Growth and Value Index Funds made their debut in September 2010. Their exchange-traded share classes are known as Vanguard S&P 500 Growth ETF and Value ETF. The funds’ target indexes represent the growth- and
Market Barometer | |||
Total Returns | |||
Periods Ended February 29, 2012 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 13.31% | 4.86% | 1.77% |
Russell 2000 Index (Small-caps) | 12.40 | -0.15 | 1.83 |
Dow Jones U.S. Total Stock Market Index | 13.18 | 4.35 | 2.07 |
MSCI All Country World Index ex USA (International) | 3.97 | -6.10 | -0.75 |
Bonds | |||
Barclays Capital U.S. Aggregate Bond Index (Broad | |||
taxable market) | 2.73% | 8.37% | 6.36% |
Barclays Capital Municipal Bond Index (Broad | |||
tax-exempt market) | 5.67 | 12.42 | 5.50 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.00 | 0.06 | 1.20 |
CPI | |||
Consumer Price Index | 0.49% | 2.87% | 2.27% |
3
value-oriented stocks that together make up the S&P 500 Index, a benchmark that includes the nation’s largest companies.
While both styles of investments produced double-digit results for the six months just ended, value stocks did somewhat better in the large-capitalization market; as a result, the Value Fund led the Growth Fund for the period. Both funds posted gains in all ten market sectors.
The Value Fund benefited from strong performance in several sectors. Financial stocks—which accounted for about a quarter of the fund’s holdings, on average—were the most notable contributors, adding almost 3 percentage points to the overall return. The financial sector continues to wrestle with a number of challenges, but
in the past six months investors seemed to gain faith that better times lie in store. While banks and insurance companies drove returns, strength was also evident in other areas of the sector.
Stocks in the consumer discretionary, energy, industrial, and information technology sectors performed well, with each sector adding about 2 percentage points to the Value Fund’s overall return. In the consumer discretionary group, media companies and specialty retailers boosted performance, while among energy stocks, oil and gas integrators produced double-digit gains. Renewed optimism about the U.S. economic recovery lifted industrial stocks, with impressive results coming from industrial conglomerates and companies involved in aerospace and
Expense Ratios | ||
Your Fund Compared With Its Peer Group | ||
ETF | Peer Group | |
Shares | Average | |
S&P 500 Value Index Fund | 0.15% | 1.23% |
S&P 500 Growth Index Fund | 0.15 | 1.37 |
The fund expense ratios shown are from the prospectus dated December 27, 2011, and represent estimated costs for the current fiscal year.
For the six months ended February 29, 2012, the 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%. Peer-group expense ratios are derived from data provided by Lipper Inc. and capture information through
year-end 2011.
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
defense. In technology, semiconductor, software, and communications equipment companies were among the fund’s top performers.
About half of the Growth Fund’s return came from its holdings in the technology sector, which accounted for almost one-third of the portfolio on average. Strength was evident throughout the tech sector, but computer companies—thanks to stellar fourth-quarter sales of tablet computers and smart phones—were by far the top contributors. IT services firms, particularly those in the electronic payments industry, were also among the sector’s stars.
Like the Value Fund, the Growth Fund benefited from the rally in industrials. Strong returns in the health care sector, most notably from pharmaceutical and biotechnology stocks, also contributed to the fund’s performance.
In good times and bad times, a balanced portfolio is key
As the volatility in the financial markets persists, we continue to believe investors are best served by maintaining a diver-
sified, balanced investment plan. In strong markets, the equity portion of a balanced portfolio can offer investors the opportunity for long-term growth. In volatile times, bonds and short-term investments can provide a cushion from dramatic swings in the stock market.
For these reasons, Vanguard encourages investors to create a long-term investment plan that includes a steady mix of stocks, bonds, and short-term investments appropriate for their time horizon and risk tolerance. Either of the Vanguard S&P 500 Value and Growth Index Funds can play a useful role in such a long-term investment plan.
As always, thank you for entrusting your assets to Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
March 21, 2012
5
S&P 500 Value Index Fund
Fund Profile
As of February 29, 2012
Portfolio Characteristics | |||
DJ | |||
S&P 500 | U.S. Total | ||
Value | Market | ||
Fund | Index | Index | |
Number of Stocks | 369 | 369 | 3,733 |
Median Market Cap | $41.8B | $41.8B | $33.9B |
Price/Earnings Ratio | 14.4x | 14.4x | 16.5x |
Price/Book Ratio | 1.6x | 1.6x | 2.2x |
Return on Equity | 14.1% | 14.0% | 18.2% |
Earnings Growth Rate | -0.8% | -0.8% | 7.6% |
Dividend Yield | 2.4% | 2.4% | 1.9% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 22% | — | — |
Ticker Symbol | VOOV | — | — |
Expense Ratio1 | 0.15% | — | — |
30-Day SEC Yield | 2.27% | — | — |
Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
S&P 500 | U.S. Total | ||
Value | Market | ||
Fund | Index | Index | |
Consumer | |||
Discretionary | 10.9% | 10.9% | 11.9% |
Consumer Staples | 7.6 | 7.6 | 9.4 |
Energy | 11.8 | 11.8 | 11.2 |
Financials | 25.9 | 25.9 | 15.4 |
Health Care | 7.0 | 7.0 | 11.4 |
Industrials | 10.9 | 10.9 | 11.2 |
Information | |||
Technology | 11.6 | 11.6 | 19.4 |
Materials | 3.3 | 3.3 | 4.1 |
Telecommunication | |||
Services | 4.9 | 4.9 | 2.5 |
Utilities | 6.1 | 6.1 | 3.5 |
Ten Largest Holdings (% of total net assets) | ||
General Electric Co. | Industrial | |
Conglomerates | 3.6% | |
AT&T Inc. | Integrated | |
Telecommunication | ||
Services | 3.2 | |
Wells Fargo & Co. | Diversified Banks | 2.9 |
Pfizer Inc. | Pharmaceuticals | 2.9 |
Exxon Mobil Corp. | Integrated Oil & | |
Gas | 2.6 | |
JPMorgan Chase & Co. | Diversified Financial | |
Services | 2.6 | |
Berkshire Hathaway Inc. | Property & Casualty | |
Class B | Insurance | 2.4 |
Cisco Systems Inc. | Communications | |
Equipment | 1.9 | |
Microsoft Corp. | Systems Software | 1.8 |
ConocoPhillips | Integrated Oil & | |
Gas | 1.8 | |
Top Ten | 25.7% | |
The holdings listed exclude any temporary cash investments and equity index products. |
Investment Focus
1 The expense ratio shown is from the prospectus dated December 27, 2011, and represents estimated costs for the current fiscal year. For
the period ended February 29, 2012, the annualized expense ratio was 0.15%.
6
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.
Fiscal-Year Total Returns (%): September 7, 2010, Through February 29, 2012
Note: For 2012, performance data reflect the period ended February 29, 2012.
Average Annual Total Returns: Periods Ended December 31, 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 | Since | |
Date | Year | Inception | |
ETF Shares | 9/7/2010 | ||
Market Price | -0.70% | 10.32% | |
Net Asset Value | -0.70 | 10.30 |
See Financial Highlights for dividend and capital gains information.
7
S&P 500 Value Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 29, 2012
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 (10.9%) | |||
Comcast Corp. Class A | 17,455 | 513 | |
Walt Disney Co. | 11,508 | 483 | |
Ford Motor Co. | 24,347 | 301 | |
News Corp. Class A | 14,027 | 279 | |
Home Depot Inc. | 5,329 | 253 | |
Time Warner Inc. | 6,407 | 238 | |
Lowe’s Cos. Inc. | 8,018 | 228 | |
Johnson Controls Inc. | 4,356 | 142 | |
CBS Corp. Class B | 4,193 | 125 | |
Macy’s Inc. | 2,679 | 102 | |
Target Corp. | 1,671 | 95 | |
Carnival Corp. | 2,888 | 87 | |
Staples Inc. | 4,463 | 65 | |
Gap Inc. | 2,214 | 52 | |
Time Warner Cable Inc. | 651 | 52 | |
Best Buy Co. Inc. | 1,873 | 46 | |
* | CarMax Inc. | 1,445 | 44 |
Wyndham Worldwide Corp. | 974 | 43 | |
Harley-Davidson Inc. | 874 | 41 | |
Mattel Inc. | 1,189 | 39 | |
Whirlpool Corp. | 487 | 37 | |
Omnicom Group Inc. | 739 | 36 | |
Marriott International Inc. | |||
Class A | 1,027 | 36 | |
JC Penney Co. Inc. | 911 | 36 | |
McGraw-Hill Cos. Inc. | 747 | 35 | |
Interpublic Group of Cos. Inc. | 2,943 | 34 | |
Newell Rubbermaid Inc. | 1,847 | 34 | |
H&R Block Inc. | 1,868 | 30 | |
International Game | |||
Technology | 1,899 | 28 | |
Kohl’s Corp. | 565 | 28 | |
Starwood Hotels & Resorts | |||
Worldwide Inc. | 515 | 28 | |
DR Horton Inc. | 1,774 | 25 | |
Abercrombie & Fitch Co. | 549 | 25 | |
Lennar Corp. Class A | 1,027 | 24 | |
Limited Brands Inc. | 487 | 23 |
Gannett Co. Inc. | 1,520 | 23 | |
Harman International | |||
Industries Inc. | 448 | 22 | |
* | Sears Holdings Corp. | 296 | 21 |
GameStop Corp. Class A | 883 | 20 | |
Leggett & Platt Inc. | 887 | 20 | |
Cablevision Systems Corp. | |||
Class A | 1,409 | 20 | |
* | Goodyear Tire & Rubber Co. | 1,559 | 20 |
Genuine Parts Co. | 297 | 19 | |
Washington Post Co. Class B | 40 | 16 | |
Nordstrom Inc. | 259 | 14 | |
* | BorgWarner Inc. | 162 | 13 |
Darden Restaurants Inc. | 253 | 13 | |
* | PulteGroup Inc. | 1,310 | 12 |
Hasbro Inc. | 304 | 11 | |
* | AutoNation Inc. | 287 | 10 |
* | Big Lots Inc. | 213 | 9 |
Expedia Inc. | 224 | 8 | |
* | TripAdvisor Inc. | 224 | 7 |
* | Urban Outfitters Inc. | 163 | 5 |
3,970 | |||
Consumer Staples (7.6%) | |||
CVS Caremark Corp. | 8,338 | 376 | |
Procter & Gamble Co. | 4,400 | 297 | |
Altria Group Inc. | 8,813 | 265 | |
Wal-Mart Stores Inc. | 4,134 | 244 | |
Kraft Foods Inc. | 5,203 | 198 | |
Walgreen Co. | 5,693 | 189 | |
Archer-Daniels-Midland Co. | 4,278 | 133 | |
Sysco Corp. | 3,781 | 111 | |
Costco Wholesale Corp. | 1,139 | 98 | |
Kroger Co. | 3,809 | 91 | |
ConAgra Foods Inc. | 2,644 | 69 | |
Coca-Cola Enterprises Inc. | 1,991 | 58 | |
Beam Inc. | 991 | 55 | |
General Mills Inc. | 1,354 | 52 | |
Avon Products Inc. | 2,749 | 51 | |
Sara Lee Corp. | 2,379 | 48 | |
Safeway Inc. | 2,168 | 46 |
8
S&P 500 Value Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Molson Coors Brewing Co. | |||
Class B | 1,005 | 44 | |
Reynolds American Inc. | 970 | 41 | |
Lorillard Inc. | 275 | 36 | |
Tyson Foods Inc. Class A | 1,863 | 35 | |
HJ Heinz Co. | 490 | 26 | |
Dr Pepper Snapple Group Inc. | 657 | 25 | |
* | Constellation Brands Inc. | ||
Class A | 1,110 | 24 | |
JM Smucker Co. | 305 | 23 | |
Whole Foods Market Inc. | 255 | 21 | |
* | Dean Foods Co. | 1,435 | 18 |
Campbell Soup Co. | 514 | 17 | |
Clorox Co. | 252 | 17 | |
Hormel Foods Corp. | 485 | 14 | |
McCormick & Co. Inc. | 237 | 12 | |
SUPERVALU Inc. | 1,657 | 11 | |
2,745 | |||
Energy (11.8%) | |||
Exxon Mobil Corp. | 11,054 | 956 | |
ConocoPhillips | 8,500 | 651 | |
Chevron Corp. | 5,865 | 640 | |
Devon Energy Corp. | 2,586 | 190 | |
Marathon Oil Corp. | 4,505 | 153 | |
Occidental Petroleum Corp. | 1,455 | 152 | |
Anadarko Petroleum Corp. | 1,626 | 137 | |
Hess Corp. | 1,909 | 124 | |
Chesapeake Energy Corp. | 4,207 | 105 | |
Marathon Petroleum Corp. | 2,286 | 95 | |
Halliburton Co. | 2,465 | 90 | |
Valero Energy Corp. | 3,571 | 87 | |
Apache Corp. | 735 | 79 | |
Murphy Oil Corp. | 1,235 | 79 | |
Spectra Energy Corp. | 2,282 | 72 | |
El Paso Corp. | 2,563 | 71 | |
National Oilwell Varco Inc. | 812 | 67 | |
Noble Corp. | 1,611 | 65 | |
Williams Cos. Inc. | 2,143 | 64 | |
Baker Hughes Inc. | 1,113 | 56 | |
* | Denbury Resources Inc. | 2,535 | 50 |
Noble Energy Inc. | 414 | 40 | |
* | Nabors Industries Ltd. | 1,834 | 40 |
QEP Resources Inc. | 1,128 | 39 | |
* | Rowan Cos. Inc. | 797 | 29 |
Sunoco Inc. | 681 | 26 | |
* | Alpha Natural Resources Inc. | 1,403 | 26 |
* | Tesoro Corp. | 907 | 24 |
EQT Corp. | 381 | 20 | |
Range Resources Corp. | 279 | 18 | |
Consol Energy Inc. | 406 | 15 | |
* | WPX Energy Inc. | 714 | 13 |
* | Newfield Exploration Co. | 271 | 10 |
4,283 | |||
Financials (25.9%) | |||
Wells Fargo & Co. | 33,781 | 1,057 | |
JPMorgan Chase & Co. | 24,340 | 955 |
* | Berkshire Hathaway Inc. | ||
Class B | 11,262 | 884 | |
Citigroup Inc. | 18,717 | 624 | |
Bank of America Corp. | 64,927 | 517 | |
Goldman Sachs Group Inc. | 3,154 | 363 | |
US Bancorp | 12,225 | 359 | |
MetLife Inc. | 6,765 | 261 | |
PNC Financial Services | |||
Group Inc. | 3,368 | 200 | |
Prudential Financial Inc. | 3,022 | 185 | |
Capital One Financial Corp. | 3,544 | 179 | |
Morgan Stanley | 9,500 | 176 | |
Bank of New York | |||
Mellon Corp. | 7,763 | 172 | |
ACE Ltd. | 2,157 | 155 | |
American Express Co. | 2,588 | 137 | |
State Street Corp. | 3,151 | 133 | |
BB&T Corp. | 4,464 | 131 | |
CME Group Inc. | 425 | 123 | |
Marsh & McLennan Cos. Inc. | 3,448 | 108 | |
Discover Financial Services | 3,523 | 106 | |
Allstate Corp. | 3,241 | 102 | |
Charles Schwab Corp. | 6,888 | 96 | |
Simon Property Group Inc. | 638 | 86 | |
Progressive Corp. | 3,934 | 84 | |
* | American International | ||
Group Inc. | 2,786 | 81 | |
Ameriprise Financial Inc. | 1,444 | 81 | |
Fifth Third Bancorp | 5,868 | 80 | |
SunTrust Banks Inc. | 3,426 | 79 | |
Loews Corp. | 1,948 | 76 | |
Travelers Cos. Inc. | 1,264 | 73 | |
Weyerhaeuser Co. | 3,422 | 71 | |
Invesco Ltd. | 2,878 | 71 | |
Host Hotels & Resorts Inc. | 4,506 | 71 | |
Northern Trust Corp. | 1,538 | 68 | |
M&T Bank Corp. | 801 | 65 | |
ProLogis Inc. | 1,841 | 62 | |
Hartford Financial | |||
Services Group Inc. | 2,843 | 59 | |
HCP Inc. | 1,460 | 58 | |
Principal Financial Group Inc. | 1,946 | 54 | |
Chubb Corp. | 762 | 52 | |
SLM Corp. | 3,245 | 51 | |
NYSE Euronext | 1,671 | 50 | |
KeyCorp | 6,089 | 49 | |
Lincoln National Corp. | 1,924 | 48 | |
Kimco Realty Corp. | 2,597 | 48 | |
Regions Financial Corp. | 8,031 | 46 | |
Vornado Realty Trust | 553 | 45 | |
Boston Properties Inc. | 433 | 44 | |
Unum Group | 1,865 | 43 | |
XL Group plc Class A | 2,044 | 43 | |
* | CBRE Group Inc. Class A | 2,070 | 38 |
Comerica Inc. | 1,267 | 38 | |
Cincinnati Financial Corp. | 1,034 | 36 |
9
S&P 500 Value Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Leucadia National Corp. | 1,264 | 36 | |
Public Storage | 262 | 35 | |
Huntington Bancshares Inc. | 5,522 | 32 | |
Aon Corp. | 680 | 32 | |
Torchmark Corp. | 650 | 32 | |
Equity Residential | 549 | 31 | |
Health Care REIT Inc. | 573 | 31 | |
People’s United Financial Inc. | 2,300 | 29 | |
* | Genworth Financial Inc. | ||
Class A | 3,132 | 28 | |
Assurant Inc. | 587 | 25 | |
AvalonBay Communities Inc. | 189 | 25 | |
Hudson City Bancorp Inc. | 3,366 | 23 | |
Moody’s Corp. | 585 | 23 | |
Zions Bancorporation | 1,175 | 22 | |
Legg Mason Inc. | 793 | 22 | |
* | NASDAQ OMX Group Inc. | 813 | 21 |
Plum Creek Timber Co. Inc. | 545 | 21 | |
* | E*Trade Financial Corp. | 1,968 | 19 |
First Horizon National Corp. | 2,004 | 19 | |
Federated Investors Inc. | |||
Class B | 591 | 12 | |
Apartment Investment & | |||
Management Co. | 435 | 11 | |
9,402 | |||
Health Care (7.0%) | |||
Pfizer Inc. | 49,240 | 1,039 | |
Merck & Co. Inc. | 6,824 | 260 | |
Bristol-Myers Squibb Co. | 4,232 | 136 | |
McKesson Corp. | 1,573 | 131 | |
Cardinal Health Inc. | 2,204 | 92 | |
Medtronic Inc. | 2,369 | 90 | |
Cigna Corp. | 1,822 | 80 | |
Eli Lilly & Co. | 1,951 | 77 | |
WellPoint Inc. | 1,087 | 71 | |
AmerisourceBergen Corp. | |||
Class A | 1,649 | 62 | |
* | Boston Scientific Corp. | 9,452 | 59 |
* | Forest Laboratories Inc. | 1,705 | 55 |
* | Thermo Fisher Scientific Inc. | 965 | 55 |
Aetna Inc. | 1,063 | 50 | |
Covidien plc | 861 | 45 | |
Humana Inc. | 438 | 38 | |
* | Hospira Inc. | 1,051 | 37 |
* | CareFusion Corp. | 1,433 | 37 |
* | Coventry Health Care Inc. | 920 | 30 |
* | Agilent Technologies Inc. | 665 | 29 |
PerkinElmer Inc. | 722 | 19 | |
DENTSPLY International Inc. | 430 | 17 | |
* | Tenet Healthcare Corp. | 2,772 | 16 |
Patterson Cos. Inc. | 273 | 9 | |
2,534 | |||
Industrials (10.9%) | |||
General Electric Co. | 67,627 | 1,288 | |
FedEx Corp. | 2,031 | 183 | |
Caterpillar Inc. | 1,449 | 166 |
Tyco International Ltd. | 2,959 | 153 | |
United Technologies Corp. | 1,625 | 136 | |
Boeing Co. | 1,808 | 136 | |
Eaton Corp. | 2,133 | 111 | |
Honeywell International Inc. | 1,834 | 109 | |
PACCAR Inc. | 2,297 | 106 | |
Waste Management Inc. | 2,952 | 103 | |
Northrop Grumman Corp. | 1,675 | 100 | |
3M Co. | 1,034 | 91 | |
Ingersoll-Rand plc | 1,992 | 79 | |
CSX Corp. | 3,556 | 75 | |
Emerson Electric Co. | 1,361 | 68 | |
Illinois Tool Works Inc. | 1,202 | 67 | |
General Dynamics Corp. | 863 | 63 | |
Republic Services Inc. | |||
Class A | 2,009 | 60 | |
Precision Castparts Corp. | 332 | 56 | |
Textron Inc. | 1,774 | 49 | |
Raytheon Co. | 927 | 47 | |
L-3 Communications | |||
Holdings Inc. | 637 | 45 | |
Southwest Airlines Co. | 4,968 | 45 | |
Danaher Corp. | 835 | 44 | |
* | Jacobs Engineering | ||
Group Inc. | 817 | 38 | |
Stanley Black & Decker Inc. | 484 | 37 | |
Cummins Inc. | 308 | 37 | |
Norfolk Southern Corp. | 514 | 35 | |
Xylem Inc. | 1,179 | 31 | |
Parker Hannifin Corp. | 337 | 30 | |
Fastenal Co. | 547 | 29 | |
* | Quanta Services Inc. | 1,340 | 28 |
Cintas Corp. | 703 | 27 | |
Fluor Corp. | 443 | 27 | |
Cooper Industries plc | 404 | 25 | |
Dover Corp. | 366 | 23 | |
Pitney Bowes Inc. | 1,273 | 23 | |
Avery Dennison Corp. | 673 | 21 | |
Iron Mountain Inc. | 656 | 20 | |
Masco Corp. | 1,575 | 19 | |
Robert Half International Inc. | 643 | 18 | |
Ryder System Inc. | 326 | 17 | |
Expeditors International | |||
of Washington Inc. | 392 | 17 | |
RR Donnelley & Sons Co. | 1,198 | 17 | |
Equifax Inc. | 385 | 16 | |
Rockwell Collins Inc. | 261 | 16 | |
Snap-on Inc. | 170 | 10 | |
Flowserve Corp. | 86 | 10 | |
3,951 | |||
Information Technology (11.6%) | |||
Cisco Systems Inc. | 34,437 | 685 | |
Microsoft Corp. | 20,625 | 655 | |
Intel Corp. | 15,983 | 430 | |
Hewlett-Packard Co. | 12,728 | 322 | |
* | Dell Inc. | 9,775 | 169 |
10
S&P 500 Value Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | EMC Corp. | 5,877 | 163 |
Corning Inc. | 10,064 | 131 | |
* | Yahoo! Inc. | 7,947 | 118 |
Texas Instruments Inc. | 3,150 | 105 | |
Applied Materials Inc. | 8,369 | 102 | |
TE Connectivity Ltd. | 2,709 | 99 | |
* | eBay Inc. | 2,566 | 92 |
Motorola Solutions Inc. | 1,827 | 91 | |
Xerox Corp. | 8,849 | 73 | |
CA Inc. | 2,361 | 64 | |
Accenture plc Class A | 1,022 | 61 | |
* | Western Digital Corp. | 1,492 | 59 |
* | Adobe Systems Inc. | 1,691 | 56 |
* | Micron Technology Inc. | 6,301 | 54 |
* | Symantec Corp. | 2,775 | 49 |
Fidelity National Information | |||
Services Inc. | 1,547 | 49 | |
* | NVIDIA Corp. | 2,650 | 40 |
* | Motorola Mobility | ||
Holdings Inc. | 992 | 39 | |
Western Union Co. | 2,094 | 37 | |
Paychex Inc. | 1,060 | 33 | |
Harris Corp. | 739 | 32 | |
Computer Sciences Corp. | 989 | 31 | |
Jabil Circuit Inc. | 1,168 | 30 | |
Analog Devices Inc. | 742 | 29 | |
* | Autodesk Inc. | 738 | 28 |
* | Advanced Micro Devices Inc. | 3,735 | 27 |
* | Juniper Networks Inc. | 1,142 | 26 |
Molex Inc. | 875 | 24 | |
Total System Services Inc. | 1,036 | 23 | |
* | SAIC Inc. | 1,763 | 22 |
VeriSign Inc. | 581 | 21 | |
Lexmark International Inc. | |||
Class A | 552 | 20 | |
* | JDS Uniphase Corp. | 1,462 | 19 |
* | Electronic Arts Inc. | 1,099 | 18 |
Linear Technology Corp. | 509 | 17 | |
* | LSI Corp. | 1,797 | 15 |
* | Novellus Systems Inc. | 270 | 13 |
* | BMC Software Inc. | 272 | 10 |
* | Teradyne Inc. | 608 | 10 |
FLIR Systems Inc. | 229 | 6 | |
4,197 | |||
Materials (3.3%) | |||
Freeport-McMoRan | |||
Copper & Gold Inc. | 6,064 | 258 | |
Dow Chemical Co. | 7,565 | 253 | |
International Paper Co. | 2,788 | 98 | |
EI du Pont de | |||
Nemours & Co. | 1,896 | 96 | |
Nucor Corp. | 2,020 | 88 | |
Alcoa Inc. | 6,790 | 69 | |
Air Products & | |||
Chemicals Inc. | 456 | 41 | |
Mosaic Co. | 703 | 40 |
Vulcan Materials Co. | 824 | 37 | |
MeadWestvaco Corp. | 1,089 | 33 | |
Allegheny Technologies Inc. | 679 | 30 | |
Eastman Chemical Co. | 533 | 29 | |
United States Steel Corp. | 921 | 25 | |
* | Owens-Illinois Inc. | 1,047 | 25 |
Sealed Air Corp. | 1,226 | 24 | |
Bemis Co. Inc. | 657 | 21 | |
Ball Corp. | 457 | 18 | |
Airgas Inc. | 117 | 10 | |
Titanium Metals Corp. | 527 | 8 | |
1,203 | |||
Telecommunication Services (4.9%) | |||
AT&T Inc. | 37,960 | 1,161 | |
Verizon Communications Inc. | 8,344 | 318 | |
CenturyLink Inc. | 3,955 | 159 | |
* | Sprint Nextel Corp. | 19,113 | 47 |
Windstream Corp. | 3,719 | 45 | |
Frontier Communications | |||
Corp. | 6,349 | 29 | |
* | MetroPCS | ||
Communications Inc. | 1,873 | 20 | |
1,779 | |||
Utilities (6.1%) | |||
Duke Energy Corp. | 8,532 | 178 | |
Exelon Corp. | 4,245 | 166 | |
FirstEnergy Corp. | 2,680 | 119 | |
American Electric | |||
Power Co. Inc. | 3,094 | 116 | |
PG&E Corp. | 2,601 | 108 | |
PPL Corp. | 3,707 | 106 | |
Southern Co. | 2,266 | 100 | |
Public Service Enterprise | |||
Group Inc. | 3,243 | 100 | |
Sempra Energy | 1,529 | 91 | |
Edison International | 2,078 | 87 | |
Xcel Energy Inc. | 3,094 | 82 | |
Entergy Corp. | 1,123 | 75 | |
NextEra Energy Inc. | 1,132 | 67 | |
DTE Energy Co. | 1,079 | 58 | |
* | AES Corp. | 4,113 | 56 |
Dominion Resources Inc. | 1,090 | 55 | |
CenterPoint Energy Inc. | 2,717 | 53 | |
Consolidated Edison Inc. | 878 | 51 | |
Wisconsin Energy Corp. | 1,476 | 50 | |
Ameren Corp. | 1,545 | 50 | |
Constellation Energy | |||
Group Inc. | 1,285 | 47 | |
NiSource Inc. | 1,793 | 43 | |
Progress Energy Inc. | 771 | 41 | |
Northeast Utilities | 1,129 | 40 | |
CMS Energy Corp. | 1,607 | 34 | |
SCANA Corp. | 736 | 33 | |
Pinnacle West Capital Corp. | 696 | 33 | |
AGL Resources Inc. | 768 | 31 | |
Pepco Holdings Inc. | 1,447 | 28 |
11
S&P 500 Value Index Fund | ||
Market | ||
Value | ||
Shares | ($000) | |
Integrys Energy Group Inc. | 497 | 26 |
* NRG Energy Inc. | 1,467 | 25 |
TECO Energy Inc. | 1,376 | 25 |
ONEOK Inc. | 262 | 22 |
2,196 | ||
Total Investments (100.0%) | ||
(Cost $32,125) | 36,260 | |
Other Assets and Liabilities (0.0%) | ||
Other Assets | 100 | |
Liabilities | (109) | |
(9) | ||
ETF Shares—Net Assets (100%) | ||
Applicable to 600,000 outstanding | ||
$.001 par value shares of beneficial | ||
interest (unlimited authorization) | 36,251 | |
Net Asset Value Per Share— | ||
ETF Shares | $60.42 |
At February 29, 2012, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 33,405 |
Undistributed Net Investment Income | 137 |
Accumulated Net Realized Losses | (1,426) |
Unrealized Appreciation (Depreciation) | 4,135 |
Net Assets | 36,251 |
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.
12
S&P 500 Value Index Fund
Statement of Operations
Six Months Ended | |
February 29, 2012 | |
($000) | |
Investment Income | |
Income | |
Dividends | 414 |
Total Income | 414 |
Expenses | |
The Vanguard Group—Note B | |
Management and Administrative | 18 |
Custodian Fees | 6 |
Total Expenses | 24 |
Net Investment Income | 390 |
Realized Net Gain (Loss) on Investment Securities Sold | (98) |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 4,133 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 4,425 |
See accompanying Notes, which are an integral part of the Financial Statements.
13
S&P 500 Value Index Fund
Statement of Changes in Net Assets
September 7, | ||
Six Months Ended | 20101 to | |
February 29, | August 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 390 | 323 |
Realized Net Gain (Loss) | (98) | (332) |
Change in Unrealized Appreciation (Depreciation) | 4,133 | 2 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 4,425 | (7) |
Distributions | ||
Net Investment Income | (356) | (220) |
Realized Capital Gain | — | — |
Total Distributions | (356) | (220) |
Capital Share Transactions | ||
Issued | 13,454 | 29,606 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (8,067) | (2,584) |
Net Increase (Decrease) from Capital Share Transactions | 5,387 | 27,022 |
Total Increase (Decrease) | 9,456 | 26,795 |
Net Assets | ||
Beginning of Period | 26,795 | — |
End of Period2 | 36,251 | 26,795 |
1 Inception. | ||
2 Net Assets—End of Period includes undistributed net investment income of $137,000 and $103,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
14
S&P 500 Value Index Fund
Financial Highlights
ETF Shares | ||
Six Months | Sept. 7, | |
Ended | 20101 to | |
February 29, | Aug. 31, | |
For a Share Outstanding Throughout Each Period | 2012 | 2011 |
Net Asset Value, Beginning of Period | $53.59 | $49.93 |
Investment Operations | ||
Net Investment Income | .660 | 1.051 |
Net Realized and Unrealized Gain (Loss) on Investments | 6.807 | 3.454 |
Total from Investment Operations | 7.467 | 4.505 |
Distributions | ||
Dividends from Net Investment Income | (.637) | (.845) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (.637) | (.845) |
Net Asset Value, End of Period | $60.42 | $53.59 |
Total Return | 14.11% | 8.92% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $36 | $27 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15%2 |
Ratio of Net Investment Income to Average Net Assets | 2.48% | 2.25%2 |
Portfolio Turnover Rate3 | 22% | 23% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
15
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 February 29, 2012. 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 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 its open federal income tax year ended August 31, 2011, and for the period ended February 29, 2012, 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 February 29, 2012, the fund had contributed capital of $5,000 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 February 29, 2012, 100% of the market value of the fund’s investments was based on Level 1 inputs.
16
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 six months ended February 29, 2012, the fund realized $720,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. 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. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2012.
At February 29, 2012, the cost of investment securities for tax purposes was $32,125,000. Net unrealized appreciation of investment securities for tax purposes was $4,135,000, consisting of unrealized gains of $4,327,000 on securities that had risen in value since their purchase and $192,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 29, 2012, the fund purchased $19,625,000 of investment securities and sold $14,181,000 of investment securities, other than temporary cash investments.
F. Capital shares issued and redeemed were:
Six Months Ended | September 7, 20101 to | |
February 29, 2012 | August 31, 2011 | |
Shares | Shares | |
(000) | (000) | |
ETF Shares | ||
Issued | 250 | 550 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (150) | (50) |
Net Increase (Decrease) in Shares Outstanding | 100 | 500 |
1 Inception. |
G. In preparing the financial statements as of February 29, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
17
S&P 500 Growth Index Fund
Fund Profile
As of February 29, 2012
Portfolio Characteristics | |||
DJ | |||
S&P 500 | U.S. Total | ||
Growth | Market | ||
Fund | Index | Index | |
Number of Stocks | 278 | 278 | 3,733 |
Median Market Cap $63.6B | $63.6B | $33.9B | |
Price/Earnings Ratio | 16.7x | 16.7x | 16.5x |
Price/Book Ratio | 3.7x | 3.7x | 2.2x |
Return on Equity | 25.2% | 24.9% | 18.2% |
Earnings Growth Rate 14.8% | 14.8% | 7.6% | |
Dividend Yield | 1.8% | 1.8% | 1.9% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 43% | — | — |
Ticker Symbol | VOOG | — | — |
Expense Ratio1 | 0.15% | — | — |
30-Day SEC Yield | 1.69% | — | — |
Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
S&P 500 | U.S. Total | ||
Growth | Market | ||
Fund | Index | Index | |
Consumer | |||
Discretionary | 10.8% | 10.8% | 11.9% |
Consumer Staples | 13.5 | 13.5 | 9.4 |
Energy | 12.3 | 12.3 | 11.2 |
Financials | 4.4 | 4.4 | 15.4 |
Health Care | 15.0 | 15.0 | 11.4 |
Industrials | 10.6 | 10.6 | 11.2 |
Information | |||
Technology | 27.5 | 27.5 | 19.4 |
Materials | 3.8 | 3.8 | 4.1 |
Telecommunication | |||
Services | 0.9 | 0.9 | 2.5 |
Utilities | 1.2 | 1.2 | 3.5 |
Ten Largest Holdings (% of total net assets) | ||
Apple Inc. | Computer | |
Hardware | 7.5% | |
Exxon Mobil Corp. | Integrated Oil & | |
Gas | 4.0 | |
International Business | IT Consulting & | |
Machines Corp. | Other Services | 3.5 |
Johnson & Johnson | Pharmaceuticals | 2.6 |
Coca-Cola Co. | Soft Drinks | 2.4 |
Google Inc. Class A | Internet Software & | |
Services | 2.3 | |
Philip Morris | ||
International Inc. | Tobacco | 2.2 |
Procter & Gamble Co. | Household | |
Products | 2.1 | |
Microsoft Corp. | Systems Software | 2.0 |
Chevron Corp. | Integrated Oil & | |
Gas | 1.7 | |
Top Ten | 30.3% | |
The holdings listed exclude any temporary cash investments and equity index products. |
Investment Focus
1 The expense ratio shown is from the prospectus dated December 27, 2011, and represents estimated costs for the current fiscal year. For
the period ended February 29, 2012, the annualized expense ratio was 0.15%.
18
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.
Fiscal-Year Total Returns (%): September 7, 2010, Through February 29, 2012
Note: For 2012, performance data reflect the period ended February 29, 2012.
Average Annual Total Returns: Periods Ended December 31, 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 | Since | |
Date | Year | Inception | |
ETF Shares | 9/7/2010 | ||
Market Price | 4.46% | 16.64% | |
Net Asset Value | 4.44 | 16.60 |
See Financial Highlights for dividend and capital gains information.
19
S&P 500 Growth Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 29, 2012
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 (10.8%) | |||
McDonald’s Corp. | 10,999 | 1,092 | |
* | Amazon.com Inc. | 3,911 | 703 |
NIKE Inc. Class B | 3,984 | 430 | |
Starbucks Corp. | 8,007 | 389 | |
Home Depot Inc. | 7,618 | 362 | |
* | DIRECTV Class A | 7,578 | 351 |
* | priceline.com Inc. | 535 | 335 |
Yum! Brands Inc. | 4,947 | 328 | |
TJX Cos. Inc. | 8,109 | 297 | |
Viacom Inc. Class B | 5,929 | 282 | |
Target Corp. | 4,404 | 250 | |
Coach Inc. | 3,135 | 235 | |
Time Warner Cable Inc. | 2,333 | 185 | |
* | Bed Bath & Beyond Inc. | 2,582 | 154 |
VF Corp. | 936 | 137 | |
Ross Stores Inc. | 2,538 | 135 | |
* | Discovery | ||
Communications Inc. | |||
Class A | 2,833 | 132 | |
* | Chipotle Mexican Grill Inc. | ||
Class A | 337 | 132 | |
Ralph Lauren Corp. Class A | 693 | 120 | |
* | O’Reilly Automotive Inc. | 1,377 | 119 |
* | Dollar Tree Inc. | 1,279 | 113 |
* | AutoZone Inc. | 301 | 113 |
Wynn Resorts Ltd. | 850 | 101 | |
Tiffany & Co. | 1,361 | 88 | |
Kohl’s Corp. | 1,764 | 88 | |
Limited Brands Inc. | 1,824 | 85 | |
Omnicom Group Inc. | 1,715 | 85 | |
McGraw-Hill Cos. Inc. | 1,732 | 81 | |
* | BorgWarner Inc. | 907 | 75 |
Genuine Parts Co. | 1,170 | 73 | |
Nordstrom Inc. | 1,302 | 70 | |
Family Dollar Stores Inc. | 1,257 | 68 | |
* | Netflix Inc. | 605 | 67 |
Starwood Hotels & Resorts | |||
Worldwide Inc. | 1,195 | 64 |
* | Apollo Group Inc. Class A | 1,272 | 54 |
Mattel Inc. | 1,635 | 53 | |
Darden Restaurants Inc. | 991 | 51 | |
Scripps Networks | |||
Interactive Inc. Class A | 1,073 | 49 | |
Harley-Davidson Inc. | 1,019 | 47 | |
Marriott International Inc. | |||
Class A | 1,150 | 41 | |
* | Urban Outfitters Inc. | 918 | 26 |
Hasbro Inc. | 733 | 26 | |
DeVry Inc. | 673 | 24 | |
Expedia Inc. | 641 | 22 | |
* | TripAdvisor Inc. | 636 | 20 |
* | Big Lots Inc. | 458 | 20 |
* | PulteGroup Inc. | 1,411 | 12 |
7,784 | |||
Consumer Staples (13.5%) | |||
Coca-Cola Co. | 24,415 | 1,706 | |
Philip Morris | |||
International Inc. | 18,672 | 1,559 | |
Procter & Gamble Co. | 22,182 | 1,498 | |
PepsiCo Inc. | 16,806 | 1,058 | |
Wal-Mart Stores Inc. | 11,829 | 699 | |
Colgate-Palmolive Co. | 5,204 | 485 | |
Kraft Foods Inc. | 10,247 | 390 | |
Kimberly-Clark Corp. | 4,233 | 309 | |
Costco Wholesale Corp. | 2,748 | 236 | |
Altria Group Inc. | 7,289 | 219 | |
General Mills Inc. | 4,625 | 177 | |
Mead Johnson Nutrition Co. | 2,189 | 170 | |
Estee Lauder Cos. Inc. | |||
Class A | 2,402 | 141 | |
Kellogg Co. | 2,663 | 139 | |
HJ Heinz Co. | 2,616 | 138 | |
Lorillard Inc. | 988 | 130 | |
Whole Foods Market Inc. | 1,284 | 104 | |
Hershey Co. | 1,646 | 100 | |
Brown-Forman Corp. Class B | 1,102 | 90 | |
Reynolds American Inc. | 1,997 | 84 | |
Clorox Co. | 991 | 67 |
20
S&P 500 Growth Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
JM Smucker Co. | 709 | 53 | |
McCormick & Co. Inc. | 1,025 | 52 | |
Sara Lee Corp. | 2,349 | 48 | |
Dr Pepper Snapple Group Inc. | 1,195 | 45 | |
Campbell Soup Co. | 1,065 | 35 | |
Hormel Foods Corp. | 663 | 19 | |
9,751 | |||
Energy (12.3%) | |||
Exxon Mobil Corp. | 32,976 | 2,852 | |
Chevron Corp. | 11,560 | 1,261 | |
Schlumberger Ltd. | 14,427 | 1,120 | |
Occidental Petroleum Corp. | 6,283 | 656 | |
EOG Resources Inc. | 2,888 | 329 | |
Apache Corp. | 2,888 | 312 | |
National Oilwell Varco Inc. | 3,188 | 263 | |
Anadarko Petroleum Corp. | 2,621 | 220 | |
Halliburton Co. | 5,732 | 210 | |
* | Cameron International Corp. | 2,636 | 147 |
Pioneer Natural | |||
Resources Co. | 1,314 | 144 | |
Baker Hughes Inc. | 2,815 | 142 | |
* | FMC Technologies Inc. | 2,563 | 129 |
* | Southwestern Energy Co. | 3,737 | 124 |
Noble Energy Inc. | 1,189 | 116 | |
El Paso Corp. | 3,973 | 110 | |
Peabody Energy Corp. | 2,903 | 101 | |
Spectra Energy Corp. | 3,144 | 99 | |
Williams Cos. Inc. | 2,725 | 81 | |
Cabot Oil & Gas Corp. | 2,246 | 78 | |
Range Resources Corp. | 1,211 | 77 | |
Helmerich & Payne Inc. | 1,150 | 71 | |
Consol Energy Inc. | 1,755 | 63 | |
Diamond Offshore Drilling Inc. | 760 | 52 | |
EQT Corp. | 965 | 51 | |
* | Newfield Exploration Co. | 968 | 35 |
* | WPX Energy Inc. | 1,140 | 21 |
8,864 | |||
Financials (4.4%) | |||
American Express Co. | 6,511 | 344 | |
Simon Property Group Inc. | 2,085 | 283 | |
American Tower Corporation | 4,225 | 264 | |
Aflac Inc. | 5,013 | 237 | |
BlackRock Inc. | 1,077 | 214 | |
Franklin Resources Inc. | 1,564 | 184 | |
Ventas Inc. | 3,095 | 173 | |
T. Rowe Price Group Inc. | 2,716 | 167 | |
Public Storage | 1,082 | 145 | |
Travelers Cos. Inc. | 2,308 | 134 | |
Equity Residential | 2,263 | 129 | |
Chubb Corp. | 1,701 | 116 | |
Aon Corp. | 2,329 | 109 | |
* | IntercontinentalExchange Inc. | 781 | 108 |
AvalonBay Communities Inc. | 704 | 91 | |
Boston Properties Inc. | 856 | 87 | |
Vornado Realty Trust | 1,050 | 86 |
HCP Inc. | 1,924 | 76 | |
Health Care REIT Inc. | 1,273 | 69 | |
ProLogis Inc. | 1,821 | 61 | |
Moody’s Corp. | 1,107 | 43 | |
Plum Creek Timber Co. Inc. | 818 | 32 | |
Apartment Investment & | |||
Management Co. | 545 | 14 | |
3,166 | |||
Health Care (15.0%) | |||
Johnson & Johnson | 29,355 | 1,910 | |
Abbott Laboratories | 16,746 | 948 | |
Merck & Co. Inc. | 21,297 | 813 | |
UnitedHealth Group Inc. | 11,460 | 639 | |
Amgen Inc. | 8,529 | 580 | |
* | Gilead Sciences Inc. | 8,077 | 367 |
Bristol-Myers Squibb Co. | 11,103 | 357 | |
Baxter International Inc. | 6,057 | 352 | |
* | Celgene Corp. | 4,772 | 350 |
* | Biogen Idec Inc. | 2,610 | 304 |
Eli Lilly & Co. | 7,661 | 301 | |
Allergan Inc. | 3,279 | 294 | |
* | Medco Health Solutions Inc. | 4,162 | 281 |
Medtronic Inc. | 7,369 | 281 | |
* | Express Scripts Inc. | 5,226 | 279 |
* | Intuitive Surgical Inc. | 419 | 214 |
Covidien plc | 3,729 | 195 | |
Stryker Corp. | 3,498 | 188 | |
Becton Dickinson and Co. | 2,310 | 176 | |
St. Jude Medical Inc. | 3,430 | 144 | |
* | Thermo Fisher Scientific Inc. | 2,434 | 138 |
WellPoint Inc. | 1,903 | 125 | |
* | Cerner Corp. | 1,590 | 117 |
* | Zimmer Holdings Inc. | 1,923 | 117 |
* | Agilent Technologies Inc. | 2,607 | 114 |
* | Mylan Inc. | 4,572 | 107 |
Perrigo Co. | 999 | 103 | |
Quest Diagnostics Inc. | 1,695 | 98 | |
Aetna Inc. | 2,100 | 98 | |
* | Laboratory Corp. of | ||
America Holdings | 1,066 | 96 | |
* | Life Technologies Corp. | 1,910 | 90 |
* | Edwards Lifesciences Corp. | 1,224 | 90 |
Humana Inc. | 1,018 | 89 | |
* | DaVita Inc. | 1,023 | 89 |
* | Waters Corp. | 962 | 86 |
CR Bard Inc. | 920 | 86 | |
* | Watson Pharmaceuticals Inc. | 1,378 | 80 |
* | Varian Medical Systems Inc. | 1,207 | 79 |
DENTSPLY International Inc. | 937 | 36 | |
Patterson Cos. Inc. | 482 | 15 | |
10,826 | |||
Industrials (10.6%) | |||
United Parcel Service Inc. | |||
Class B | 10,374 | 798 | |
United Technologies Corp. | 7,013 | 588 |
21
S&P 500 Growth Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Union Pacific Corp. | 5,193 | 573 | |
Caterpillar Inc. | 4,515 | 516 | |
3M Co. | 5,802 | 508 | |
Boeing Co. | 4,954 | 371 | |
Deere & Co. | 4,447 | 369 | |
Honeywell International Inc. | 5,241 | 312 | |
Emerson Electric Co. | 5,613 | 282 | |
Lockheed Martin Corp. | 2,848 | 252 | |
Danaher Corp. | 4,712 | 249 | |
Norfolk Southern Corp. | 2,743 | 189 | |
Cummins Inc. | 1,552 | 187 | |
Illinois Tool Works Inc. | 3,168 | 176 | |
General Dynamics Corp. | 2,370 | 174 | |
Goodrich Corp. | 1,347 | 170 | |
Precision Castparts Corp. | 991 | 166 | |
WW Grainger Inc. | 652 | 135 | |
Rockwell Automation Inc. | 1,527 | 122 | |
Fastenal Co. | 2,250 | 119 | |
CH Robinson Worldwide Inc. | 1,767 | 117 | |
CSX Corp. | 5,299 | 111 | |
Raytheon Co. | 2,157 | 109 | |
Joy Global Inc. | 1,147 | 100 | |
Roper Industries Inc. | 1,051 | 96 | |
Parker Hannifin Corp. | 1,055 | 95 | |
Dover Corp. | 1,372 | 88 | |
* | Stericycle Inc. | 915 | 79 |
Pall Corp. | 1,233 | 78 | |
Stanley Black & Decker Inc. | 997 | 77 | |
Expeditors International | |||
of Washington Inc. | 1,615 | 70 | |
Rockwell Collins Inc. | 1,187 | 70 | |
Fluor Corp. | 1,086 | 66 | |
Cooper Industries plc | 1,017 | 62 | |
Flowserve Corp. | 455 | 54 | |
Dun & Bradstreet Corp. | 537 | 44 | |
Iron Mountain Inc. | 1,013 | 31 | |
Equifax Inc. | 701 | 30 | |
Snap-on Inc. | 338 | 21 | |
Robert Half International Inc. | 534 | 15 | |
Masco Corp. | 1,191 | 14 | |
7,683 | |||
Information Technology (27.5%) | |||
* | Apple Inc. | 9,991 | 5,419 |
International Business | |||
Machines Corp. | 12,670 | 2,493 | |
* | Google Inc. Class A | 2,716 | 1,679 |
Microsoft Corp. | 45,873 | 1,456 | |
Oracle Corp. | 42,297 | 1,238 | |
QUALCOMM Inc. | 18,069 | 1,124 | |
Intel Corp. | 27,916 | 750 | |
Visa Inc. Class A | 5,467 | 636 | |
Mastercard Inc. Class A | 1,147 | 482 | |
* | EMC Corp. | 12,050 | 334 |
Accenture plc Class A | 5,161 | 307 | |
* | eBay Inc. | 8,020 | 287 |
Automatic Data | |||
Processing Inc. | 5,248 | 285 | |
Texas Instruments Inc. | 6,994 | 233 | |
* | Cognizant Technology | ||
Solutions Corp. Class A | 3,246 | 230 | |
* | Salesforce.com Inc. | 1,461 | 209 |
Broadcom Corp. Class A | 5,215 | 194 | |
Intuit Inc. | 3,196 | 185 | |
* | NetApp Inc. | 3,856 | 166 |
* | Citrix Systems Inc. | 2,006 | 150 |
Altera Corp. | 3,450 | 133 | |
* | SanDisk Corp. | 2,586 | 128 |
* | Teradata Corp. | 1,796 | 119 |
* | F5 Networks Inc. | 853 | 107 |
* | Red Hat Inc. | 2,110 | 104 |
Xilinx Inc. | 2,813 | 104 | |
* | Fiserv Inc. | 1,515 | 100 |
Amphenol Corp. Class A | 1,777 | 99 | |
KLA-Tencor Corp. | 1,789 | 87 | |
* | Juniper Networks Inc. | 3,727 | 85 |
* | Adobe Systems Inc. | 2,424 | 80 |
Analog Devices Inc. | 1,954 | 77 | |
Microchip Technology Inc. | 2,084 | 75 | |
* | Akamai Technologies Inc. | 1,920 | 69 |
* | Symantec Corp. | 3,244 | 58 |
Paychex Inc. | 1,762 | 55 | |
Western Union Co. | 3,126 | 55 | |
Linear Technology Corp. | 1,589 | 53 | |
* | BMC Software Inc. | 1,369 | 51 |
* | Motorola Mobility | ||
Holdings Inc. | 1,163 | 46 | |
* | Autodesk Inc. | 1,192 | 45 |
FLIR Systems Inc. | 1,292 | 34 | |
* | NVIDIA Corp. | 2,097 | 32 |
VeriSign Inc. | 817 | 30 | |
* | Electronic Arts Inc. | 1,708 | 28 |
* | LSI Corp. | 3,025 | 26 |
* | First Solar Inc. | 643 | 21 |
* | Teradyne Inc. | 1,246 | 20 |
* | Novellus Systems Inc. | 401 | 19 |
19,797 | |||
Materials (3.8%) | |||
Monsanto Co. | 5,751 | 445 | |
Praxair Inc. | 3,223 | 351 | |
EI du Pont de | |||
Nemours & Co. | 6,747 | 343 | |
Newmont Mining Corp. | 5,315 | 316 | |
Ecolab Inc. | 3,227 | 194 | |
PPG Industries Inc. | 1,658 | 151 | |
Air Products & | |||
Chemicals Inc. | 1,494 | 135 | |
CF Industries Holdings Inc. | 701 | 131 | |
Mosaic Co. | 2,012 | 116 | |
Cliffs Natural Resources Inc. | 1,534 | 97 | |
Sherwin-Williams Co. | 926 | 96 |
22
S&P 500 Growth Index Fund | ||
Market | ||
Value | ||
Shares | ($000) | |
Sigma-Aldrich Corp. | 1,292 | 93 |
FMC Corp. | 759 | 75 |
International Flavors & | ||
Fragrances Inc. | 882 | 50 |
Airgas Inc. | 536 | 44 |
Ball Corp. | 976 | 39 |
Eastman Chemical Co. | 706 | 38 |
2,714 | ||
Telecommunication Services (0.9%) | ||
Verizon Communications Inc. | 16,434 | 626 |
Utilities (1.2%) | ||
Southern Co. | 5,463 | 241 |
Dominion Resources Inc. | 4,281 | 216 |
NextEra Energy Inc. | 2,630 | 157 |
Progress Energy Inc. | 1,871 | 99 |
Consolidated Edison Inc. | 1,669 | 97 |
ONEOK Inc. | 664 | 55 |
865 | ||
Total Investments (100.0%) | ||
(Cost $65,055) | 72,076 | |
Other Assets and Liabilities (0.0%) | ||
Other Assets | 172 | |
Liabilities | (171) | |
1 | ||
ETF Shares—Net Assets (100%) | ||
Applicable to 1,100,000 outstanding | ||
$.001 par value shares of beneficial | ||
interest (unlimited authorization) | 72,077 | |
Net Asset Value Per Share— | ||
ETF Shares | $65.52 |
At February 29, 2012, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 66,984 |
Undistributed Net Investment Income | 191 |
Accumulated Net Realized Losses | (2,119) |
Unrealized Appreciation (Depreciation) | 7,021 |
Net Assets | 72,077 |
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.
23
S&P 500 Growth Index Fund
Statement of Operations
Six Months Ended | |
February 29, 2012 | |
($000) | |
Investment Income | |
Income | |
Dividends | 507 |
Total Income | 507 |
Expenses | |
The Vanguard Group—Note B | |
Management and Administrative | 27 |
Custodian Fees | 10 |
Shareholders’ Reports | 2 |
Total Expenses | 39 |
Net Investment Income | 468 |
Realized Net Gain (Loss) on Investment Securities Sold | 948 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 4,925 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 6,341 |
See accompanying Notes, which are an integral part of the Financial Statements.
24
S&P 500 Growth Index Fund
Statement of Changes in Net Assets
September 7, | ||
Six Months Ended | 20101 to | |
February 29, | August 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 468 | 550 |
Realized Net Gain (Loss) | 948 | (378) |
Change in Unrealized Appreciation (Depreciation) | 4,925 | 2,096 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 6,341 | 2,268 |
Distributions | ||
Net Investment Income | (435) | (392) |
Realized Capital Gain | — | — |
Total Distributions | (435) | (392) |
Capital Share Transactions | ||
Issued | 30,488 | 59,669 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (20,183) | (5,679) |
Net Increase (Decrease) from Capital Share Transactions | 10,305 | 53,990 |
Total Increase (Decrease) | 16,211 | 55,866 |
Net Assets | ||
Beginning of Period | 55,866 | — |
End of Period2 | 72,077 | 55,866 |
1 Inception.
2 Net Assets—End of Period includes undistributed net investment income of $191,000 and $158,000.
See accompanying Notes, which are an integral part of the Financial Statements.
25
S&P 500 Growth Index Fund
Financial Highlights
ETF Shares | ||
Six Months | Sept. 7, | |
Ended | 20101 to | |
February 29, | Aug. 31, | |
For a Share Outstanding Throughout Each Period | 2012 | 2011 |
Net Asset Value, Beginning of Period | $58.81 | $50.23 |
Investment Operations | ||
Net Investment Income | .550 | .797 |
Net Realized and Unrealized Gain (Loss) on Investments | 6.702 | 8.414 |
Total from Investment Operations | 7.252 | 9.211 |
Distributions | ||
Dividends from Net Investment Income | (.542) | (.631) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (.542) | (.631) |
Net Asset Value, End of Period | $65.52 | $58.81 |
Total Return | 12.45% | 18.33% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $72 | $56 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15%2 |
Ratio of Net Investment Income to Average Net Assets | 1.82% | 1.63%2 |
Portfolio Turnover Rate3 | 43% | 26% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
26
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 February 29, 2012. 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 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 its open federal income tax year ended August 31, 2011, and for the period ended February 29, 2012, 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 February 29, 2012, the fund had contributed capital of $11,000 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 February 29, 2012, 100% of the market value of the fund’s investments was based on Level 1 inputs.
27
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 six months ended February 29, 2012, the fund realized $1,915,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year.
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. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2012.
At February 29, 2012, the cost of investment securities for tax purposes was $65,055,000. Net unrealized appreciation of investment securities for tax purposes was $7,021,000, consisting of unrealized gains of $7,401,000 on securities that had risen in value since their purchase and $380,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 29, 2012, the fund purchased $43,220,000 of investment securities and sold $32,867,000 of investment securities, other than temporary cash investments.
F. Capital shares issued and redeemed were:
Six Months Ended | September 7, 20101 to | |
February 29, 2012 | August 31, 2011 | |
Shares | Shares | |
(000) | (000) | |
ETF Shares | ||
Issued | 500 | 1,050 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (350) | (100) |
Net Increase (Decrease) in Shares Outstanding | 150 | 950 |
1 Inception. |
G. In preparing the financial statements as of February 29, 2012, management considered the impact
of subsequent events for potential recognition or disclosure in these financial statements.
28
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
29
Six Months Ended February 29, 2012 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
8/31/2011 | 2/29/2012 | Period | |
Based on Actual Fund Return | |||
S&P 500 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,141.12 | $0.80 |
S&P 500 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,124.54 | $0.79 |
Based on Hypothetical 5% Yearly Return | |||
S&P 500 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,024.12 | $0.75 |
S&P 500 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,024.12 | $0.75 |
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, 0.15%; 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.
30
Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Dividend Yield. Dividend income earned by stocks, expressed as a percentage of the aggregate market value (or of net asset value, for a fund). The yield is determined by dividing the amount of the annual dividends by the aggregate value (or net asset value) at the end of the period. For a fund, the dividend yield is based solely on stock holdings and does not include any income produced by other investments.
Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund.
Equity Exposure. A measure that reflects a fund’s investments in stocks and stock futures. Any holdings in short-term reserves are excluded.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Foreign Holdings. The percentage of a fund represented by securities or depositary receipts of companies based outside the United States.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it.
Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds.
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.
31
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.
32
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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 179 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 Haas Co. |
(chemicals); Director of Tyco International, Ltd. | |
F. William McNabb III | (diversified manufacturing and services), Hewlett- |
Born 1957. Trustee Since July 2009. Chairman of the | Packard Co. (electronic computer manufacturing), |
Board. Principal Occupation(s) During the Past Five | and Delphi Automotive LLP (automotive components); |
Years: Chairman of the Board of The Vanguard Group, | Senior Advisor at New Mountain Capital; Trustee of |
Inc., and of each of the investment companies served | The Conference Board. |
by The Vanguard Group, since January 2010; Director | |
of The Vanguard Group since 2008; Chief Executive | Amy Gutmann |
Officer and President of The Vanguard Group and of | Born 1949. Trustee Since June 2006. Principal |
each of the investment companies served by The | Occupation(s) During the Past Five Years: President |
Vanguard Group since 2008; Director of Vanguard | of the University of Pennsylvania; Christopher H. |
Marketing Corporation; Managing Director of The | Browne Distinguished Professor of Political Science |
Vanguard Group (1995–2008). | in the School of Arts and Sciences with secondary |
appointments at the Annenberg School for Commu- | |
nication and the Graduate School of Education | |
Independent Trustees | of the University of Pennsylvania; Director of |
Carnegie Corporation of New York, Schuylkill River | |
Emerson U. Fullwood | Development Corporation, and Greater Philadelphia |
Born 1948. Trustee Since January 2008. Principal | Chamber of Commerce; Trustee of the National |
Occupation(s) During the Past Five Years: Executive | Constitution Center; Chair of the Presidential |
Chief Staff and Marketing Officer for North America | Commission for the Study of Bioethical Issues. |
and Corporate Vice President (retired 2008) of Xerox | |
Corporation (document management products and | JoAnn Heffernan Heisen |
services); Executive in Residence and 2010 | Born 1950. Trustee Since July 1998. Principal |
Distinguished Minett Professor at the Rochester | Occupation(s) During the Past Five Years: Corporate |
Institute of Technology; Director of SPX Corporation | Vice President and Chief Global Diversity Officer |
(multi-industry manufacturing), the United Way of | (retired 2008) and Member of the Executive |
Rochester, Amerigroup Corporation (managed health | Committee (1997–2008) of Johnson & Johnson |
care), the University of Rochester Medical Center, | (pharmaceuticals/medical devices/consumer |
Monroe Community College Foundation, and North | products); Director of Skytop Lodge Corporation |
Carolina A&T University. | (hotels), the University Medical Center at Princeton, |
the Robert Wood Johnson Foundation, and the Center | |
Rajiv L. Gupta | for Talent Innovation; Member of the Advisory Board |
Born 1945. Trustee Since December 2001.2 | of the Maxwell School of Citizenship and Public Affairs |
Principal Occupation(s) During the Past Five Years: | at Syracuse University. |
Chairman and Chief Executive Officer (retired 2009) |
F. Joseph Loughrey | Group since 2010; Assistant Controller of each of | |
Born 1949. Trustee Since October 2009. Principal | the investment companies served by The Vanguard | |
Occupation(s) During the Past Five Years: President | Group (2001–2010). | |
and Chief Operating Officer (retired 2009) and Vice | ||
Chairman of the Board (2008–2009) of Cummins Inc. | Thomas J. Higgins | |
(industrial machinery); Director of SKF AB (industrial | Born 1957. Chief Financial Officer Since September | |
machinery), Hillenbrand, Inc. (specialized consumer | 2008. Principal Occupation(s) During the Past Five | |
services), the Lumina Foundation for Education, and | Years: Principal of The Vanguard Group, Inc.; Chief | |
Oxfam America; Chairman of the Advisory Council | Financial Officer of each of the investment companies | |
for the College of Arts and Letters and Member | served by The Vanguard Group since 2008; Treasurer | |
of the Advisory Board to the Kellogg Institute for | of each of the investment companies served by The | |
International Studies at the University of Notre Dame. | Vanguard Group (1998–2008). | |
André F. Perold | Kathryn J. Hyatt | |
Born 1952. Trustee Since December 2004. Principal | Born 1955. Treasurer Since November 2008. Principal | |
Occupation(s) During the Past Five Years: George | Occupation(s) During the Past Five Years: Principal | |
Gund Professor of Finance and Banking at the Harvard | of The Vanguard Group, Inc.; Treasurer of each of | |
Business School (retired 2011); Chief Investment | the investment companies served by The Vanguard | |
Officer and Managing Partner of HighVista Strategies | Group since 2008; Assistant Treasurer of each of the | |
LLC (private investment firm); Director of Rand | investment companies served by The Vanguard Group | |
Merchant Bank; Overseer of the Museum of Fine | (1988–2008). | |
Arts Boston. | ||
Heidi Stam | ||
Alfred M. Rankin, Jr. | Born 1956. Secretary Since July 2005. Principal | |
Born 1941. Trustee Since January 1993. Principal | Occupation(s) During the Past Five Years: Managing | |
Occupation(s) During the Past Five Years: Chairman, | Director of The Vanguard Group, Inc., since 2006; | |
President, and Chief Executive Officer of NACCO | General Counsel of The Vanguard Group since 2005; | |
Industries, Inc. (forklift trucks/housewares/lignite); | Secretary of The Vanguard Group and of each of the | |
Director of Goodrich Corporation (industrial products/ | investment companies served by The Vanguard Group | |
aircraft systems and services) and the National | since 2005; Director and Senior Vice President of | |
Association of Manufacturers; Chairman of the Board | Vanguard Marketing Corporation since 2005; | |
of the Federal Reserve Bank of Cleveland and of | Principal of The Vanguard Group (1997–2006). | |
University Hospitals of Cleveland; Advisory Chairman | ||
of the Board of The Cleveland Museum of Art. | ||
Vanguard Senior Management Team | ||
Peter F. Volanakis | Mortimer J. Buckley | Michael S. Miller |
Born 1955. Trustee Since July 2009. Principal | Kathleen C. Gubanich | James M. Norris |
Occupation(s) During the Past Five Years: President | Paul A. Heller | Glenn W. Reed |
and Chief Operating Officer (retired 2010) of Corning | Martha G. King | George U. Sauter |
Incorporated (communications equipment); Director of | Chris D. McIsaac | |
Corning Incorporated (2000-2010) and Dow Corning | ||
(2001–2010); Director of SPX Corporation (multi- | ||
industry manufacturing); Overseer of the Amos Tuck | ||
School of Business Administration at Dartmouth | Chairman Emeritus and Senior Advisor | |
College; Advisor to the Norris Cotton Cancer Center. | John J. Brennan | |
Chairman, 1996–2009 | ||
Chief Executive Officer and President, 1996–2008 | ||
Executive Officers | ||
Glenn Booraem | ||
Born 1967. Controller Since July 2010. Principal | Founder | |
Occupation(s) During the Past Five Years: Principal | John C. Bogle | |
of The Vanguard Group, Inc.; Controller of each of | Chairman and Chief Executive Officer, 1974–1996 | |
the investment companies served by The Vanguard |
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the
Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard
State Tax-Exempt Funds.
P.O. Box 2600 | |
Valley Forge, PA 19482-2600 | |
Connect with Vanguard® > vanguard.com | |
Fund Information > 800-662-7447 | Standard & Poor’s®, S&P®, S&P 500® , and 500® are |
Direct Investor Account Services > 800-662-2739 | registered trademarks of Standard & Poor’s Financial |
Services LLC (“S&P”) and have been licensed for use by | |
Institutional Investor Services > 800-523-1036 | The Vanguard Group, Inc. The Vanguard mutual funds |
Text Telephone for People | and ETFs are not sponsored, endorsed, sold, or |
With Hearing Impairment > 800-749-7273 | promoted by S&P or its Affiliates, and S&P and its |
Affiliates make no representation, warranty, or | |
This material may be used in conjunction | condition regarding the advisability of buying, selling, |
with the offering of shares of any Vanguard | or holding units/shares in the funds. |
fund only if preceded or accompanied by | |
the fund’s current prospectus. | |
All comparative mutual fund data are from Lipper Inc. or | |
Morningstar, Inc., unless otherwise noted. | |
You can obtain a free copy of Vanguard’s proxy voting | |
guidelines by visiting vanguard.com/proxyreporting or by | |
calling Vanguard at 800-662-2739. The guidelines are | |
also available from the SEC’s website, sec.gov. In | |
addition, you may obtain a free report on how your fund | |
voted the proxies for securities it owned during the 12 | |
months ended June 30. To get the report, visit either | |
vanguard.com/proxyreporting or sec.gov. | |
You can review and copy information about your fund at | |
the SEC’s Public Reference Room in Washington, D.C. To | |
find out more about this public service, call the SEC at | |
202-551-8090. Information about your fund is also | |
available on the SEC’s website, and you can receive | |
copies of this information, for a fee, by sending a | |
request in either of two ways: via e-mail addressed to | |
publicinfo@sec.gov or via regular mail addressed to the | |
Public Reference Section, Securities and Exchange | |
Commission, Washington, DC 20549-1520. | |
© 2012 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q18402 042012 |
Semiannual Report | February 29, 2012
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
> For the six months ended February 29, 2012, returns for the Vanguard S&P
Small-Cap 600 Index Funds ranged from more than 12% for the S&P Small-Cap
600 Growth Index Fund to about 16% for the S&P Small-Cap 600 Value Index
Fund.
> Each fund closely tracked the return of its benchmark index and surpassed the
average return of its peers.
> The three funds benefited from strength in several sectors, including
information technology, financials, and consumer discretionary.
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. | 25 |
S&P Small-Cap 600 Growth Index Fund. | 38 |
About Your Fund’s Expenses. | 51 |
Glossary. | 53 |
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
Six Months Ended February 29, 2012 | |
Total | |
Returns | |
Vanguard S&P Small-Cap 600 Index Fund | |
Institutional Shares | 14.31% |
ETF Shares | |
Market Price | 14.42 |
Net Asset Value | 14.27 |
S&P SmallCap 600 Index | 14.40 |
Small-Cap Core Funds Average | 12.08 |
Small-Cap Core Funds Average: Derived from data provided by Lipper Inc. | |
Vanguard S&P Small-Cap 600 Value Index Fund | |
ETF Shares | |
Market Price | 16.15% |
Net Asset Value | 16.12 |
S&P SmallCap 600 Value Index | 16.20 |
Small-Cap Value Funds Average | 13.12 |
Small-Cap Value Funds Average: Derived from data provided by Lipper Inc. | |
Vanguard S&P Small-Cap 600 Growth Index Fund | |
ETF Shares | |
Market Price | 12.69% |
Net Asset Value | 12.67 |
S&P SmallCap 600 Growth Index | 12.75 |
Small-Cap Growth Funds Average | 12.55 |
Small-Cap Growth Funds Average: Derived from data provided by Lipper Inc. |
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; 7,720,749; 7,925,573;
8,090,646.
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
Chairman’s Letter
Dear Shareholder,
The Vanguard S&P Small-Cap 600 Index Funds bounced back from a weak start to deliver double-digit returns for the six months ended February 29, 2012. The funds rallied amid signs that the U.S. economy was improving and Europe’s debt problems were stabilizing.
Returns ranged from 12.67% for Vanguard S&P Small-Cap 600 Growth Index Fund to 16.12% for Vanguard S&P Small-Cap 600 Value Index Fund. (All returns cited in this letter are for ETF Shares, based on net asset value.) Vanguard S&P Small-Cap 600 Index Fund, a blend of the growth and value funds, returned 14.27%.
Each fund closely tracked the return of its benchmark index and exceeded the average return of its peers.
Notes of optimism propelled stock prices higher
U.S. stocks produced a strong double-digit return of 13.18% over the period. That statement is true enough, but the headline figure obscures the volatility that has been perhaps the most prominent feature of the financial markets over the past six months and indeed the past few years. If the six-month period had started a month earlier, for example, the Dow Jones U.S. Total Stock Market Index would have returned just 1.97%. A start date two months earlier would have put the six-month return at –5.18%.
2
In the six months through February, however, stock prices benefited from signs of acceleration in the U.S. economic expansion and hope that the European Union’s latest agreement on Greek debt would help contain a threat that has menaced global markets for much of the past two years. European stocks rallied on the news about Greece, but international stocks still trailed their U.S. counterparts for the full six months.
Bonds’ strength confounded expectations
Bonds produced solid returns, to the surprise of many long-time observers of the fixed income markets. At the start of the period, the yield of the 10-year U.S.
Treasury note stood at 2.22%, suggesting that returns would be very modest by historical standards. Over the next six months, however, yields moved lower still, boosting bond prices, which move in the opposite direction. At the end of February, the yield of the 10-year T-note stood at 1.98%. As yields decline, obviously, the scope for continued declines—and price increases—diminishes. Municipal bonds performed even more strongly than the broad taxable market.
The returns for 3-month Treasury bills and other money market instruments remained near 0%, consistent with the Federal Reserve’s policy on interest rates.
Market Barometer | |||
Total Returns | |||
Periods Ended February 29, 2012 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 13.31% | 4.86% | 1.77% |
Russell 2000 Index (Small-caps) | 12.40 | -0.15 | 1.83 |
Dow Jones U.S. Total Stock Market Index | 13.18 | 4.35 | 2.07 |
MSCI All Country World Index ex USA (International) | 3.97 | -6.10 | -0.75 |
Bonds | |||
Barclays Capital U.S. Aggregate Bond Index (Broad | |||
taxable market) | 2.73% | 8.37% | 6.36% |
Barclays Capital Municipal Bond Index (Broad | |||
tax-exempt market) | 5.67 | 12.42 | 5.50 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.00 | 0.06 | 1.20 |
CPI | |||
Consumer Price Index | 0.49% | 2.87% | 2.27% |
3
Value stocks outperformed growth in S&P small-cap funds
Stocks suffered in the summer and early fall as investors worried about the U.S. economy and the European debt crisis. These concerns hurt the performance of small-capitalization stocks, which tend to be more sensitive to macroeconomic events and are generally deemed riskier than their large-cap counterparts. But small-cap companies also are seen as having more potential for earnings growth than big, established businesses. So as hopes about the economy grew, small-cap stocks rebounded sharply.
For the six months, the returns of the S&P Small-Cap 600 Value Index Fund and the S&P Small-Cap 600 Index Fund beat that of the broad U.S. market, while the S&P Small-Cap 600 Growth Index Fund lagged.
The S&P Small-Cap 600 Value Index Fund bested the returns of its small-cap brethren. Among small-caps, the value segment may have been helped by the perception that it’s less volatile than its growth counterpart.
Expense Ratios | |||
Your Fund Compared With Its Peer Group | |||
Institutional | ETF | Peer Group | |
Shares | Shares | Average | |
S&P Small-Cap 600 Index Fund | 0.09% | 0.16% | 1.37% |
S&P Small-Cap 600 Value Index Fund | — | 0.22 | 1.45 |
S&P Small-Cap 600 Growth Index Fund | — | 0.20 | 1.51 |
The fund expense ratios shown are from the prospectus dated December 27, 2011, and represent estimated costs for the current fiscal year.
For the six months ended February 29, 2012, the 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 2011.
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
The S&P Small-Cap 600 Value Index Fund benefited most from its financial, consumer discretionary, and industrial stocks. Financials, which represented about one-quarter of the fund’s holdings on average during the period, produced impressive results. Regional banks that weathered the recent financial crisis and subsequent regulatory challenges stood out. Insurance companies, real estate investment trusts (REITs), asset managers, and custodial banks also did well.
In consumer discretionary, performance got a boost from specialty automotive and apparel retailers, household goods businesses, and restaurant chains. As the U.S. economy reached firmer ground, renewed optimism lifted industrial stocks. Businesses within that sector, including manufacturers of industrial machinery, building products, and electrical equipment, posted solid returns.
The S&P Small-Cap 600 Index Fund also benefited from strength in financial and consumer discretionary stocks. But the brightest spot was information technology. Software producers, electronic equipment and instrument makers and marketers, and semiconductor producers and suppliers each produced double-digit gains.
While technology stocks boosted the returns of all three small-cap funds, they made an especially big contribution to the S&P Small-Cap 600 Growth Index Fund. The sector accounted for more than one-quarter of the fund’s holdings on average during the period and contributed nearly 5 percentage points to its total return. Health care stocks also added significantly to the fund’s overall result. Pharmaceuticals, insurers, health care service providers, and equipment and supply businesses delivered noteworthy
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 relevant tally of the operating costs incurred
by shareholders.
5
returns. In consumer discretionary, specialty retailers and restaurant chains produced double-digit gains.
Still, the growth fund’s overall results were hurt by its consumer staples and telecommunication services sector holdings, both of which produced negative returns for the period. In consumer staples, retailers of food products faced a variety of challenges, including higher production costs, lower prices, and internal financial problems. In telecommunication services, a few wireless communications stocks dragged down returns. Another source of weakness for the fund was its relatively small and narrow allocation to financial stocks—a sector more associated with value stocks—compared with its small-cap counterparts.
Balance and diversification are critical over the long term
A look back at the half-year shows how drastically the stock market can change within a short time. The S&P Small-Cap 600 Index Funds opened the period with double-digit negative returns but ended with double-digit gains.
Although the stock market has a tendency to swing from one direction to the other, it should not significantly influence the way you invest for the long term. At Vanguard, we continue to encourage investors to stick to the same guiding principles we have advocated for years, regardless of market conditions; Create a balanced, diversified portfolio with an allocation to
stocks, bonds, and money market funds in proportions consistent with your long-term goals and risk tolerance.
A recent Vanguard research paper,
Asset Allocation in a Low-Yield and Volatile Environment (available at vanguard.com/ research), confirms our belief in the importance of maintaining a balanced plan. If you had held a portfolio with a 50/50 blend of stocks and bonds between October 2007—the peak of the U.S. stock market before the recession started—and September 30, 2011, you would have ended up with a gain of 3.21%. An investor in 100% stocks, by contrast, would be down 22.23%.
As you develop your long-term investment plan, you may also want to consider diversifying within asset classes; that way, you get some access to whichever sectors or investing styles are in favor, along with some buffering when trends suddenly shift. Vanguard’s S&P Small-Cap Index Funds, with their low-cost exposure to different segments of the U.S. small-cap market, can be a valuable component of such a balanced investment portfolio.
Thank you for entrusting your assets to Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
March 21, 2012
6
Your Fund’s Performance at a Glance | ||||
August 31, 2011, Through February 29, 2012 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard S&P Small-Cap 600 Index Fund | ||||
Institutional Shares | $118.12 | $133.93 | $1.014 | $0.000 |
ETF Shares | 58.84 | 66.72 | 0.477 | 0.000 |
Vanguard S&P Small-Cap 600 Value Index Fund | ||||
ETF Shares | $56.68 | $65.11 | $0.651 | $0.000 |
Vanguard S&P Small-Cap 600 Growth Index | ||||
Fund | ||||
ETF Shares | $61.18 | $68.57 | $0.337 | $0.000 |
7
S&P Small-Cap 600 Index Fund
Fund Profile
As of February 29, 2012
Share-Class Characteristics | ||
Institutional | ETF | |
Shares | Shares | |
Ticker Symbol | VSMSX | VIOO |
Expense Ratio1 | 0.09% | 0.16% |
30-Day SEC Yield | 1.10% | 1.03% |
Portfolio Characteristics | |||
DJ | |||
S&P | U.S. Total | ||
SmallCap | Market | ||
Fund | 600 Index | Index | |
Number of Stocks | 601 | 600 | 3,733 |
Median Market Cap | $1.2B | $1.2B | $33.9B |
Price/Earnings Ratio | 21.6x | 21.6x | 16.5x |
Price/Book Ratio | 1.8x | 1.8x | 2.2x |
Return on Equity | 10.3% | 10.3% | 18.2% |
Earnings Growth Rate | 3.4% | 3.4% | 7.6% |
Dividend Yield | 1.2% | 1.2% | 1.9% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 15% | — | — |
Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
S&P | U.S. Total | ||
SmallCap | Market | ||
Fund 600 Index | Index | ||
Consumer | |||
Discretionary | 15.5% | 15.5% | 11.9% |
Consumer Staples | 4.1 | 4.1 | 9.4 |
Energy | 4.6 | 4.6 | 11.2 |
Financials | 19.7 | 19.7 | 15.4 |
Health Care | 10.8 | 10.8 | 11.4 |
Industrials | 15.7 | 15.7 | 11.2 |
Information | |||
Technology | 19.5 | 19.5 | 19.4 |
Materials | 5.3 | 5.3 | 4.1 |
Telecommunication | |||
Services | 0.6 | 0.6 | 2.5 |
Utilities | 4.2 | 4.2 | 3.5 |
Ten Largest Holdings (% of total net assets) | ||
Kilroy Realty Corp. | Office REITs | 0.6% |
Salix Pharmaceuticals | ||
Ltd. | Pharmaceuticals | 0.6 |
BioMed Realty Trust Inc. | Office REITs | 0.6 |
ProAssurance Corp. | Property & Casualty | |
Insurance | 0.5 | |
Cubist Pharmaceuticals | ||
Inc. | Biotechnology | 0.5 |
Tanger Factory Outlet | ||
Centers | Retail REITs | 0.5 |
Extra Space Storage Inc. | Specialized REITs | 0.5 |
Questcor | ||
Pharmaceuticals Inc. | Pharmaceuticals | 0.5 |
Centene Corp. | Managed Health | |
Care | 0.5 | |
Delphi Financial Group | Life & Health | |
Inc. | Insurance | 0.5 |
Top Ten | 5.3% | |
The holdings listed exclude any temporary cash investments and | ||
equity index products. |
Investment Focus
1 The expense ratios shown are from the prospectus dated December 27, 2011, and represent estimated costs for the current fiscal year. For
the six months ended February 29, 2012, the annualized expense ratios were 0.08% for Institutional Shares and 0.15% for ETF Shares.
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.
Fiscal-Year Total Returns (%): September 7, 2010, Through February 29, 2012
Note: For 2012, performance data reflect the six months ended February 29, 2012.
Average Annual Total Returns: Periods Ended December 31, 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 | Since | |
Date | Year | Inception | |
Institutional Shares | 4/1/2011 | — | -6.67% |
ETF Shares | 9/7/2010 | ||
Market Price | 0.69% | 18.31 | |
Net Asset Value | 0.77 | 18.33 |
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
Financial Statements (unaudited)
Statement of Net Assets
As of February 29, 2012
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 (15.5%) | |||
Brunswick Corp. | 19,743 | 472 | |
Men’s Wearhouse Inc. | 11,344 | 439 | |
Wolverine World Wide Inc. | 10,702 | 408 | |
* | Coinstar Inc. | 6,849 | 399 |
* | Crocs Inc. | 20,027 | 393 |
Pool Corp. | 10,590 | 385 | |
* | Select Comfort Corp. | 12,532 | 371 |
* | Steven Madden Ltd. | 8,506 | 367 |
* | Genesco Inc. | 5,386 | 367 |
* | Buffalo Wild Wings Inc. | 4,042 | 350 |
* | Cabela’s Inc. | 9,521 | 338 |
Hillenbrand Inc. | 13,941 | 320 | |
* | JOS A Bank Clothiers Inc. | 6,217 | 320 |
Monro Muffler Brake Inc. | 6,788 | 311 | |
* | Live Nation Entertainment | ||
Inc. | 32,884 | 306 | |
* | Iconix Brand Group Inc. | 16,433 | 298 |
* | Hibbett Sports Inc. | 5,825 | 285 |
Cracker Barrel Old Country | |||
Store Inc. | 5,056 | 281 | |
* | Childrens Place Retail | ||
Stores Inc. | 5,478 | 278 | |
* | Vitamin Shoppe Inc. | 6,428 | 273 |
Buckle Inc. | 5,960 | 268 | |
* | BJ’s Restaurants Inc. | 5,320 | 264 |
Finish Line Inc. Class A | 11,463 | 264 | |
Group 1 Automotive Inc. | 5,010 | 258 | |
* | Jack in the Box Inc. | 9,730 | 232 |
* | Helen of Troy Ltd. | 6,983 | 227 |
Texas Roadhouse Inc. | |||
Class A | 13,157 | 220 | |
* | Liz Claiborne Inc. | 21,000 | 205 |
Arbitron Inc. | 6,030 | 202 | |
* | Peet’s Coffee & Tea Inc. | 2,877 | 185 |
* | DineEquity Inc. | 3,458 | 185 |
PF Chang’s China Bistro Inc. | 4,736 | 181 | |
Ryland Group Inc. | 9,871 | 179 |
Cato Corp. Class A | 6,553 | 178 | |
Sturm Ruger & Co. Inc. | 4,241 | 177 | |
PEP Boys-Manny | |||
Moe & Jack | 11,745 | 177 | |
* | Shuffle Master Inc. | 11,994 | 175 |
* | La-Z-Boy Inc. | 11,580 | 165 |
CEC Entertainment Inc. | 4,217 | 161 | |
* | Meritage Homes Corp. | 6,213 | 161 |
Oxford Industries Inc. | 3,094 | 156 | |
* | American Public Education | ||
Inc. | 3,980 | 156 | |
* | Pinnacle Entertainment Inc. | 13,999 | 154 |
* | Papa John’s International Inc. | 4,133 | 154 |
* | Zumiez Inc. | 4,880 | 153 |
* | iRobot Corp. | 6,002 | 153 |
* | Marriott Vacations Worldwide | ||
Corp. | 6,044 | 151 | |
* | True Religion Apparel Inc. | 5,662 | 149 |
Ethan Allen Interiors Inc. | 5,804 | 147 | |
* | Lumber Liquidators Holdings | ||
Inc. | 6,226 | 136 | |
Sonic Automotive Inc. | |||
Class A | 7,804 | 134 | |
* | Biglari Holdings Inc. | 323 | 133 |
* | Quiksilver Inc. | 27,132 | 127 |
* | Capella Education Co. | 3,237 | 126 |
* | Interval Leisure Group Inc. | 8,966 | 121 |
Fred’s Inc. Class A | 8,669 | 120 | |
* | Career Education Corp. | 13,404 | 116 |
* | Drew Industries Inc. | 4,154 | 114 |
* | Sonic Corp. | 13,472 | 111 |
Lithia Motors Inc. Class A | 4,685 | 111 | |
* | Ruby Tuesday Inc. | 14,153 | 110 |
* | OfficeMax Inc. | 19,501 | 109 |
* | Blue Nile Inc. | 3,047 | 109 |
* | Maidenform Brands Inc. | 5,096 | 107 |
* | Skechers U.S.A. Inc. Class A | 8,336 | 106 |
* | Arctic Cat Inc. | 2,762 | 102 |
Stage Stores Inc. | 6,628 | 99 |
10
S&P Small-Cap 600 Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Brown Shoe Co. Inc. | 9,070 | 98 | |
* | Boyd Gaming Corp. | 12,120 | 97 |
* | Standard Pacific Corp. | 21,890 | 96 |
Callaway Golf Co. | 14,567 | 95 | |
Superior Industries | |||
International Inc. | 5,106 | 92 | |
* | Rue21 Inc. | 3,384 | 90 |
Jakks Pacific Inc. | 5,614 | 87 | |
* | Corinthian Colleges Inc. | 19,097 | 86 |
* | Red Robin Gourmet | ||
Burgers Inc. | 2,491 | 86 | |
HOT Topic Inc. | 9,387 | 84 | |
Harte-Hanks Inc. | 9,501 | 83 | |
Movado Group Inc. | 3,867 | 83 | |
Blyth Inc. | 1,137 | 73 | |
Nutrisystem Inc. | 6,199 | 70 | |
* | EW Scripps Co. Class A | 6,745 | 64 |
* | Universal Electronics Inc. | 3,157 | 62 |
* | Multimedia Games Holding | ||
Co. Inc. | 6,028 | 62 | |
* | Universal Technical Institute | ||
Inc. | 4,643 | 60 | |
* | Digital Generation Inc. | 5,971 | 60 |
* | Winnebago Industries Inc. | 6,682 | 60 |
* | Kirkland’s Inc. | 3,531 | 56 |
PetMed Express Inc. | 4,602 | 56 | |
* | VOXX International Corp. | ||
Class A | 4,296 | 55 | |
Marcus Corp. | 4,548 | 55 | |
* | M/I Homes Inc. | 4,167 | 50 |
* | Ruth’s Hospitality Group Inc. | 7,490 | 47 |
* | Perry Ellis International Inc. | 2,627 | 46 |
Haverty Furniture Cos. Inc. | 4,014 | 44 | |
Spartan Motors Inc. | 7,712 | 44 | |
* | O’Charleys Inc. | 4,399 | 44 |
* | MarineMax Inc. | 5,353 | 43 |
* | Stein Mart Inc. | 5,781 | 41 |
Lincoln Educational Services | |||
Corp. | 4,784 | 40 | |
Big 5 Sporting Goods Corp. | 4,761 | 37 | |
* | Tuesday Morning Corp. | 9,301 | 32 |
* | Midas Inc. | 3,064 | 28 |
* | Monarch Casino & Resort Inc. | 2,397 | 25 |
* | Zale Corp. | 6,451 | 21 |
* | K-Swiss Inc. Class A | 6,060 | 20 |
* | Coldwater Creek Inc. | 18,957 | 18 |
Christopher & Banks Corp. | 7,902 | 17 | |
16,995 | |||
Consumer Staples (4.1%) | |||
* | United Natural Foods Inc. | 10,777 | 491 |
* | TreeHouse Foods Inc. | 7,926 | 457 |
Casey’s General Stores Inc. | 8,418 | 431 | |
* | Darling International Inc. | 25,971 | 415 |
* | Hain Celestial Group Inc. | 9,789 | 400 |
B&G Foods Inc. Class A | 10,520 | 245 |
Snyders-Lance Inc. | 10,325 | 232 | |
Sanderson Farms Inc. | 4,170 | 205 | |
* | Prestige Brands Holdings Inc. | 11,352 | 187 |
Andersons Inc. | 4,114 | 177 | |
* | Boston Beer Co. Inc. Class A | 1,868 | 177 |
J&J Snack Foods Corp. | 3,217 | 161 | |
WD-40 Co. | 3,566 | 154 | |
Cal-Maine Foods Inc. | 3,232 | 124 | |
Diamond Foods Inc. | 4,903 | 117 | |
Spartan Stores Inc. | 5,032 | 90 | |
* | Central Garden and Pet Co. | ||
Class A | 9,368 | 90 | |
Calavo Growers Inc. | 2,733 | 75 | |
* | Alliance One International Inc. | 19,357 | 71 |
Nash Finch Co. | 2,623 | 70 | |
Inter Parfums Inc. | 3,634 | 61 | |
* | Medifast Inc. | 3,178 | 52 |
* | Seneca Foods Corp. Class A | 1,975 | 51 |
4,533 | |||
Energy (4.6%) | |||
Lufkin Industries Inc. | 6,727 | 536 | |
* | SEACOR Holdings Inc. | 4,804 | 475 |
Bristow Group Inc. | 8,034 | 379 | |
* | Stone Energy Corp. | 10,925 | 349 |
* | Gulfport Energy Corp. | 9,936 | 334 |
* | Hornbeck Offshore | ||
Services Inc. | 7,498 | 306 | |
* | Swift Energy Co. | 9,490 | 285 |
* | Cloud Peak Energy Inc. | 13,573 | 241 |
* | Approach Resources Inc. | 5,905 | 204 |
* | ION Geophysical Corp. | 28,257 | 202 |
* | Exterran Holdings Inc. | 13,986 | 201 |
* | Contango Oil & Gas Co. | 2,836 | 180 |
* | Petroleum Development | ||
Corp. | 5,256 | 171 | |
* | Comstock Resources Inc. | 10,382 | 167 |
* | Tetra Technologies Inc. | 17,228 | 157 |
* | OYO Geospace Corp. | 1,407 | 155 |
* | GeoResources Inc. | 4,471 | 143 |
* | Pioneer Drilling Co. | 13,450 | 134 |
* | Basic Energy Services Inc. | 6,608 | 131 |
Gulf Island Fabrication Inc. | 3,102 | 91 | |
* | Matrix Service Co. | 5,869 | 78 |
* | Petroquest Energy Inc. | 12,462 | 76 |
Overseas Shipholding | |||
Group Inc. | 5,810 | 51 | |
Penn Virginia Corp. | 10,377 | 51 | |
5,097 | |||
Financials (19.6%) | |||
Kilroy Realty Corp. | 14,793 | 648 | |
BioMed Realty Trust Inc. | 34,129 | 629 | |
ProAssurance Corp. | 6,783 | 595 | |
Tanger Factory Outlet | |||
Centers | 19,256 | 564 |
11
S&P Small-Cap 600 Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Extra Space Storage Inc. | 20,987 | 553 | |
Delphi Financial Group Inc. | 12,138 | 541 | |
Mid-America Apartment | |||
Communities Inc. | 8,411 | 525 | |
Post Properties Inc. | 11,552 | 504 | |
LaSalle Hotel Properties | 18,497 | 493 | |
Entertainment Properties | |||
Trust | 10,322 | 470 | |
* | Stifel Financial Corp. | 11,904 | 447 |
Colonial Properties Trust | 19,370 | 397 | |
Susquehanna Bancshares | |||
Inc. | 41,387 | 384 | |
DiamondRock Hospitality Co. | 37,161 | 370 | |
FNB Corp. | 31,025 | 366 | |
Healthcare Realty Trust Inc. | 17,325 | 358 | |
Umpqua Holdings Corp. | 25,535 | 315 | |
* | Ezcorp Inc. Class A | 9,655 | 304 |
Cash America International | |||
Inc. | 6,440 | 299 | |
UMB Financial Corp. | 7,106 | 296 | |
Sovran Self Storage Inc. | 6,134 | 291 | |
Prospect Capital Corp. | 26,945 | 291 | |
United Bankshares Inc. | 9,936 | 291 | |
EastGroup Properties Inc. | 5,914 | 285 | |
* | First Cash Financial | ||
Services Inc. | 6,638 | 280 | |
Medical Properties Trust Inc. | 28,857 | 280 | |
* | Texas Capital Bancshares | ||
Inc. | 8,253 | 280 | |
Northwest Bancshares Inc. | 21,460 | 271 | |
Wintrust Financial Corp. | 7,923 | 267 | |
RLI Corp. | 3,667 | 257 | |
Lexington Realty Trust | 29,667 | 257 | |
PS Business Parks Inc. | 4,101 | 256 | |
Old National Bancorp | 20,885 | 252 | |
First Financial Bankshares | |||
Inc. | 6,941 | 238 | |
National Penn Bancshares | |||
Inc. | 27,120 | 237 | |
Community Bank System | |||
Inc. | 8,647 | 236 | |
Glacier Bancorp Inc. | 15,898 | 219 | |
First Financial Bancorp | 12,871 | 211 | |
LTC Properties Inc. | 6,714 | 207 | |
Selective Insurance Group | |||
Inc. | 11,994 | 206 | |
* | World Acceptance Corp. | 3,223 | 205 |
Tower Group Inc. | 8,850 | 204 | |
Acadia Realty Trust | 9,442 | 200 | |
* | Financial Engines Inc. | 8,670 | 200 |
PrivateBancorp Inc. Class A | 13,233 | 192 | |
First Midwest Bancorp Inc. | 16,560 | 191 | |
Columbia Banking System | |||
Inc. | 8,775 | 186 | |
Bank of the Ozarks Inc. | 6,319 | 185 |
* | BBCN Bancorp Inc. | 17,344 | 178 |
Cousins Properties Inc. | 23,104 | 171 | |
Pennsylvania REIT | 12,429 | 167 | |
Boston Private Financial | |||
Holdings Inc. | 17,421 | 166 | |
Franklin Street Properties | |||
Corp. | 16,089 | 166 | |
Provident Financial Services | |||
Inc. | 11,988 | 165 | |
PacWest Bancorp | 7,480 | 163 | |
NBT Bancorp Inc. | 7,376 | 161 | |
Horace Mann Educators | |||
Corp. | 8,955 | 155 | |
Inland Real Estate Corp. | 17,308 | 150 | |
Infinity Property & Casualty | |||
Corp. | 2,645 | 145 | |
Safety Insurance Group Inc. | 3,396 | 145 | |
Brookline Bancorp Inc. | 15,737 | 144 | |
* | National Financial Partners | ||
Corp. | 9,318 | 142 | |
First Commonwealth | |||
Financial Corp. | 23,545 | 141 | |
Interactive Brokers Group | |||
Inc. | 8,691 | 138 | |
Employers Holdings Inc. | 7,815 | 135 | |
Oritani Financial Corp. | 10,295 | 134 | |
S&T Bancorp Inc. | 6,304 | 134 | |
Independent Bank Corp. | 4,829 | 133 | |
* | Pinnacle Financial Partners | ||
Inc. | 7,709 | 128 | |
* | Forestar Group Inc. | 7,942 | 125 |
Home Bancshares Inc. | 4,852 | 122 | |
* | Navigators Group Inc. | 2,480 | 117 |
City Holding Co. | 3,343 | 115 | |
ViewPoint Financial Group | 7,456 | 112 | |
Meadowbrook Insurance | |||
Group Inc. | 11,544 | 110 | |
Trustco Bank Corp. NY | 20,386 | 109 | |
Universal Health Realty | |||
Income Trust | 2,866 | 108 | |
* | Virtus Investment Partners | ||
Inc. | 1,338 | 106 | |
Getty Realty Corp. | 5,986 | 102 | |
* | Investment Technology | ||
Group Inc. | 8,806 | 101 | |
Simmons First National Corp. | |||
Class A | 3,802 | 100 | |
Saul Centers Inc. | 2,542 | 96 | |
Urstadt Biddle Properties Inc. | |||
Class A | 4,988 | 95 | |
* | AMERISAFE Inc. | 4,060 | 92 |
United Fire Group Inc. | 4,464 | 90 | |
Dime Community | |||
Bancshares Inc. | 6,329 | 88 | |
* | Piper Jaffray Cos. | 3,366 | 83 |
12
S&P Small-Cap 600 Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Tompkins Financial Corp. | 1,790 | 74 | |
Kite Realty Group Trust | 14,191 | 70 | |
* | eHealth Inc. | 4,421 | 66 |
Sterling Bancorp | 6,929 | 62 | |
* | Hanmi Financial Corp. | 7,109 | 62 |
* | Wilshire Bancorp Inc. | 13,421 | 58 |
Cedar Realty Trust Inc. | 11,971 | 57 | |
Stewart Information | |||
Services Corp. | 4,207 | 55 | |
Calamos Asset Management | |||
Inc. Class A | 4,418 | 54 | |
Presidential Life Corp. | 4,617 | 50 | |
Parkway Properties Inc. | 4,960 | 49 | |
Bank Mutual Corp. | 10,638 | 42 | |
* | United Community Banks | ||
Inc. | 4,380 | 39 | |
SWS Group Inc. | 6,461 | 36 | |
* | First BanCorp | 4,114 | 16 |
21,555 | |||
Health Care (10.8%) | |||
* | Salix Pharmaceuticals Ltd. | 13,122 | 647 |
* | Cubist Pharmaceuticals Inc. | 13,680 | 586 |
* | Questcor Pharmaceuticals | ||
Inc. | 13,960 | 543 | |
* | Centene Corp. | 11,127 | 543 |
* | Viropharma Inc. | 15,596 | 500 |
* | Align Technology Inc. | 15,163 | 388 |
Quality Systems Inc. | 8,773 | 376 | |
* | Haemonetics Corp. | 5,554 | 372 |
* | Zoll Medical Corp. | 4,930 | 361 |
* | PAREXEL International Corp. | 13,027 | 319 |
West Pharmaceutical | |||
Services Inc. | 7,415 | 308 | |
* | Magellan Health Services Inc. | 6,246 | 295 |
* | Par Pharmaceutical Cos. Inc. | 7,902 | 293 |
* | PSS World Medical Inc. | 11,609 | 281 |
Chemed Corp. | 4,393 | 272 | |
* | Medicines Co. | 11,728 | 251 |
* | MWI Veterinary Supply Inc. | 2,814 | 244 |
* | Air Methods Corp. | 2,504 | 226 |
* | Molina Healthcare Inc. | 6,290 | 214 |
* | Cyberonics Inc. | 5,523 | 206 |
* | CONMED Corp. | 6,204 | 185 |
* | Akorn Inc. | 14,774 | 185 |
* | Amsurg Corp. Class A | 6,966 | 182 |
* | Neogen Corp. | 5,207 | 181 |
Meridian Bioscience Inc. | 9,201 | 166 | |
Analogic Corp. | 2,732 | 156 | |
* | Hanger Orthopedic Group | ||
Inc. | 7,449 | 154 | |
Computer Programs | |||
& Systems Inc. | 2,479 | 151 | |
* | NuVasive Inc. | 9,450 | 148 |
* | Integra LifeSciences | ||
Holdings Corp. | 4,457 | 141 |
* | Momenta Pharmaceuticals | ||
Inc. | 9,601 | 141 | |
* | IPC The Hospitalist Co. Inc. | 3,710 | 135 |
* | Abaxis Inc. | 4,866 | 129 |
* | Greatbatch Inc. | 5,107 | 126 |
* | ICU Medical Inc. | 2,650 | 122 |
* | Kindred Healthcare Inc. | 11,654 | 120 |
Invacare Corp. | 7,170 | 118 | |
* | Merit Medical Systems Inc. | 9,433 | 118 |
Landauer Inc. | 2,128 | 114 | |
* | Bio-Reference Labs Inc. | 5,506 | 111 |
* | Omnicell Inc. | 7,244 | 108 |
Ensign Group Inc. | 3,555 | 97 | |
* | Medidata Solutions Inc. | 4,821 | 96 |
Cantel Medical Corp. | 4,444 | 90 | |
* | Hi-Tech Pharmacal Co. Inc. | 2,218 | 89 |
* | Arqule Inc. | 11,847 | 84 |
* | Amedisys Inc. | 6,434 | 83 |
* | Emergent Biosolutions Inc. | 5,361 | 82 |
* | PharMerica Corp. | 6,402 | 79 |
* | Natus Medical Inc. | 6,720 | 70 |
* | Affymetrix Inc. | 16,075 | 67 |
* | Corvel Corp. | 1,427 | 65 |
* | Healthways Inc. | 7,664 | 61 |
* | eResearchTechnology Inc. | 9,439 | 60 |
* | LHC Group Inc. | 3,528 | 60 |
* | Symmetry Medical Inc. | 8,002 | 58 |
* | Gentiva Health Services Inc. | 6,921 | 54 |
* | SurModics Inc. | 3,282 | 47 |
* | Palomar Medical | ||
Technologies Inc. | 4,193 | 46 | |
* | AMN Healthcare Services | ||
Inc. | 8,546 | 46 | |
* | Cambrex Corp. | 6,330 | 42 |
* | Almost Family Inc. | 1,810 | 41 |
* | Cross Country Healthcare | ||
Inc. | 6,853 | 39 | |
Kensey Nash Corp. | 1,642 | 37 | |
* | CryoLife Inc. | 6,333 | 35 |
* | Savient Pharmaceuticals Inc. | 16,486 | 33 |
* | Enzo Biochem Inc. | 7,541 | 19 |
11,796 | |||
Industrials (15.7%) | |||
Robbins & Myers Inc. | 10,225 | 499 | |
* | Teledyne Technologies Inc. | 8,168 | 487 |
Toro Co. | 6,787 | 460 | |
* | Old Dominion Freight Line | ||
Inc. | 10,422 | 453 | |
* | Moog Inc. Class A | 10,008 | 439 |
Actuant Corp. Class A | 15,284 | 431 | |
EMCOR Group Inc. | 14,782 | 411 | |
Belden Inc. | 10,328 | 408 | |
Mueller Industries Inc. | 8,489 | 390 | |
AO Smith Corp. | 8,629 | 390 | |
Curtiss-Wright Corp. | 10,351 | 385 |
13
S&P Small-Cap 600 Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Applied Industrial | |||
Technologies Inc. | 9,329 | 375 | |
Brady Corp. Class A | 11,624 | 371 | |
* | EnerSys | 10,635 | 357 |
* | Tetra Tech Inc. | 13,948 | 343 |
* | HUB Group Inc. Class A | 8,256 | 294 |
Barnes Group Inc. | 10,375 | 287 | |
Healthcare Services Group | |||
Inc. | 14,711 | 287 | |
* | II-VI Inc. | 12,039 | 282 |
United Stationers Inc. | 9,522 | 276 | |
Simpson Manufacturing Co. | |||
Inc. | 9,043 | 270 | |
Kaydon Corp. | 7,095 | 267 | |
* | Portfolio Recovery | ||
Associates Inc. | 3,776 | 263 | |
Watts Water Technologies | |||
Inc. Class A | 6,414 | 254 | |
* | Geo Group Inc. | 13,814 | 243 |
ABM Industries Inc. | 10,597 | 241 | |
Knight Transportation Inc. | 12,980 | 222 | |
Forward Air Corp. | 6,312 | 213 | |
ESCO Technologies Inc. | 5,933 | 212 | |
Franklin Electric Co. Inc. | 4,165 | 208 | |
Unifirst Corp. | 3,389 | 204 | |
Kaman Corp. | 5,827 | 201 | |
AAR Corp. | 8,638 | 190 | |
Briggs & Stratton Corp. | 11,147 | 189 | |
Lindsay Corp. | 2,820 | 185 | |
Heartland Express Inc. | 12,781 | 185 | |
* | Orbital Sciences Corp. | 13,031 | 183 |
* | EnPro Industries Inc. | 4,632 | 175 |
Tennant Co. | 4,198 | 172 | |
* | Astec Industries Inc. | 4,463 | 169 |
* | Mobile Mini Inc. | 7,824 | 169 |
Cubic Corp. | 3,519 | 168 | |
* | Allegiant Travel Co. Class A | 3,348 | 167 |
* | Ceradyne Inc. | 5,383 | 166 |
* | Dycom Industries Inc. | 7,502 | 160 |
* | Navigant Consulting Inc. | 11,678 | 158 |
Interface Inc. Class A | 12,830 | 157 | |
* | Aegion Corp. Class A | 8,720 | 154 |
Insperity Inc. | 5,019 | 151 | |
Albany International Corp. | 6,292 | 150 | |
* | TrueBlue Inc. | 8,968 | 148 |
American Science | |||
& Engineering Inc. | 1,995 | 145 | |
* | Exponent Inc. | 2,965 | 143 |
AZZ Inc. | 2,823 | 142 | |
G&K Services Inc. Class A | 4,239 | 141 | |
Quanex Building Products | |||
Corp. | 8,284 | 141 | |
Universal Forest Products Inc. | 4,381 | 141 | |
SkyWest Inc. | 11,354 | 130 | |
CIRCOR International Inc. | 3,863 | 128 |
Encore Wire Corp. | 4,329 | 126 | |
Resources Connection Inc. | 9,621 | 126 | |
* | SYKES Enterprises Inc. | 8,860 | 122 |
* | On Assignment Inc. | 8,345 | 116 |
* | Aerovironment Inc. | 3,993 | 114 |
John Bean Technologies | |||
Corp. | 6,487 | 112 | |
* | Encore Capital Group Inc. | 4,926 | 110 |
Griffon Corp. | 10,180 | 109 | |
Standex International Corp. | 2,785 | 106 | |
Cascade Corp. | 1,956 | 104 | |
Arkansas Best Corp. | 5,503 | 98 | |
Kelly Services Inc. Class A | 6,427 | 96 | |
* | Gibraltar Industries Inc. | 6,890 | 95 |
National Presto Industries Inc. | 1,090 | 94 | |
Comfort Systems USA Inc. | 8,095 | 93 | |
* | Consolidated Graphics Inc. | 1,929 | 90 |
Viad Corp. | 4,468 | 87 | |
Apogee Enterprises Inc. | 6,139 | 81 | |
Heidrick & Struggles | |||
International Inc. | 3,898 | 79 | |
* | GenCorp Inc. | 12,987 | 78 |
AAON Inc. | 4,079 | 76 | |
* | Powell Industries Inc. | 1,953 | 64 |
* | Federal Signal Corp. | 13,563 | 64 |
* | Dolan Co. | 6,686 | 60 |
* | NCI Building Systems Inc. | 4,489 | 54 |
CDI Corp. | 2,933 | 44 | |
* | Orion Marine Group Inc. | 5,841 | 43 |
Vicor Corp. | 4,129 | 34 | |
* | Lydall Inc. | 3,582 | 33 |
Lawson Products Inc. | 861 | 14 | |
Standard Register Co. | 3,824 | 6 | |
�� | 17,258 | ||
Information Technology (19.5%) | |||
* | Wright Express Corp. | 8,538 | 528 |
* | CommVault Systems Inc. | 9,627 | 496 |
* | Viasat Inc. | 9,342 | 431 |
* | Anixter International Inc. | 6,135 | 427 |
* | Taleo Corp. Class A | 9,211 | 422 |
* | Microsemi Corp. | 19,269 | 403 |
Cognex Corp. | 9,339 | 398 | |
* | FEI Co. | 8,345 | 372 |
* | Hittite Microwave Corp. | 6,217 | 356 |
MKS Instruments Inc. | 11,665 | 349 | |
* | CACI International Inc. | ||
Class A | 5,883 | 348 | |
* | Cirrus Logic Inc. | 14,065 | 332 |
* | Progress Software Corp. | 14,094 | 327 |
* | Netgear Inc. | 8,382 | 315 |
j2 Global Inc. | 10,601 | 314 | |
* | Cymer Inc. | 6,805 | 313 |
MAXIMUS Inc. | 7,483 | 312 | |
Blackbaud Inc. | 9,531 | 301 | |
* | Arris Group Inc. | 25,929 | 295 |
14
S&P Small-Cap 600 Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Take-Two Interactive | ||
Software Inc. | 19,069 | 295 | |
* | Sourcefire Inc. | 6,373 | 287 |
* | Plexus Corp. | 7,630 | 265 |
* | Synaptics Inc. | 7,109 | 261 |
Littelfuse Inc. | 4,929 | 261 | |
* | Cardtronics Inc. | 9,669 | 257 |
* | OSI Systems Inc. | 4,350 | 257 |
* | DealerTrack Holdings Inc. | 9,150 | 255 |
* | Cabot Microelectronics Corp. | 4,977 | 250 |
Heartland Payment Systems | |||
Inc. | 8,742 | 248 | |
* | MicroStrategy Inc. Class A | 1,788 | 242 |
* | TriQuint Semiconductor Inc. | 36,815 | 237 |
* | SYNNEX Corp. | 5,700 | 235 |
* | JDA Software Group Inc. | 9,348 | 234 |
* | Veeco Instruments Inc. | 8,581 | 232 |
Power Integrations Inc. | 6,211 | 232 | |
* | GT Advanced Technologies | ||
Inc. | 26,565 | 227 | |
* | Bottomline Technologies Inc. | 7,984 | 224 |
* | Scansource Inc. | 6,011 | 222 |
* | Liquidity Services Inc. | 5,112 | 221 |
* | Manhattan Associates Inc. | 4,588 | 213 |
* | Benchmark Electronics Inc. | 12,796 | 210 |
* | FARO Technologies Inc. | 3,691 | 205 |
* | Tyler Technologies Inc. | 5,408 | 204 |
* | Insight Enterprises Inc. | 9,756 | 204 |
* | Diodes Inc. | 8,181 | 203 |
* | Synchronoss Technologies | ||
Inc. | 5,922 | 198 | |
* | Tessera Technologies Inc. | 11,396 | 191 |
* | Kulicke & Soffa Industries | ||
Inc. | 16,156 | 182 | |
* | Stratasys Inc. | 4,720 | 174 |
* | LogMeIn Inc. | 4,696 | 173 |
Brooks Automation Inc. | 14,439 | 173 | |
MTS Systems Corp. | 3,501 | 172 | |
* | Volterra Semiconductor Corp. | 5,497 | 169 |
* | Netscout Systems Inc. | 7,691 | 163 |
Ebix Inc. | 6,955 | 162 | |
* | comScore Inc. | 7,365 | 162 |
* | LivePerson Inc. | 10,639 | 160 |
* | Websense Inc. | 8,654 | 156 |
* | Ultratech Inc. | 5,725 | 156 |
* | ATMI Inc. | 7,063 | 156 |
* | Harmonic Inc. | 25,917 | 153 |
* | Rofin-Sinar Technologies Inc. | 6,335 | 149 |
* | Digital River Inc. | 8,346 | 147 |
Comtech | |||
Telecommunications Corp. | 4,553 | 147 | |
* | Newport Corp. | 8,460 | 141 |
* | TTM Technologies Inc. | 11,478 | 134 |
* | Rogers Corp. | 3,623 | 134 |
* | Brightpoint Inc. | 15,163 | 133 |
* | Standard Microsystems Corp. | 5,115 | 131 |
* | Ceva Inc. | 5,263 | 130 |
Park Electrochemical Corp. | 4,514 | 129 | |
* | Monolithic Power Systems | ||
Inc. | 6,703 | 125 | |
* | CSG Systems International | ||
Inc. | 7,643 | 122 | |
* | Advanced Energy Industries | ||
Inc. | 10,046 | 121 | |
* | Entropic Communications | ||
Inc. | 19,460 | 120 | |
Micrel Inc. | 11,210 | 120 | |
* | iGate Corp. | 6,769 | 118 |
* | Monotype Imaging Holdings | ||
Inc. | 8,115 | 114 | |
* | Measurement Specialties Inc. | 3,400 | 111 |
Badger Meter Inc. | 3,350 | 108 | |
* | Forrester Research Inc. | 3,339 | 108 |
Black Box Corp. | 3,997 | 108 | |
* | InfoSpace Inc. | 8,929 | 104 |
* | Higher One Holdings Inc. | 7,035 | 103 |
United Online Inc. | 20,165 | 102 | |
* | DTS Inc. | 3,610 | 101 |
* | Super Micro Computer Inc. | 5,949 | 98 |
* | Checkpoint Systems Inc. | 8,679 | 96 |
* | Mercury Computer Systems | ||
Inc. | 6,615 | 95 | |
OPNET | 3,210 | 92 | |
* | Interactive Intelligence | ||
Group Inc. | 3,173 | 89 | |
* | TeleTech Holdings Inc. | 5,462 | 83 |
* | Intermec Inc. | 11,111 | 83 |
* | Perficient Inc. | 6,722 | 81 |
EPIQ Systems Inc. | 6,887 | 79 | |
CTS Corp. | 7,425 | 74 | |
Methode Electronics Inc. | 8,001 | 73 | |
Daktronics Inc. | 8,131 | 73 | |
Electro Scientific Industries | |||
Inc. | 5,230 | 72 | |
* | CIBER Inc. | 16,474 | 72 |
* | Stamps.com Inc. | 2,781 | 72 |
* | Avid Technology Inc. | 6,623 | 71 |
* | Rudolph Technologies Inc. | 7,119 | 70 |
* | Exar Corp. | 9,998 | 70 |
* | Oplink Communications Inc. | 4,256 | 70 |
* | Nanometrics Inc. | 3,820 | 67 |
* | Virtusa Corp. | 4,095 | 64 |
* | STR Holdings Inc. | 8,973 | 64 |
* | Digi International Inc. | 5,593 | 63 |
Cohu Inc. | 5,344 | 60 | |
* | XO Group Inc. | 6,420 | 58 |
* | Kopin Corp. | 14,894 | 54 |
* | Symmetricom Inc. | 9,096 | 53 |
* | Supertex Inc. | 2,698 | 50 |
15
S&P Small-Cap 600 Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Pericom Semiconductor | ||
Corp. | 5,471 | 42 | |
* | Sigma Designs Inc. | 7,035 | 40 |
Bel Fuse Inc. Class B | 2,307 | 40 | |
* | Intevac Inc. | 4,974 | 39 |
* | Radisys Corp. | 4,849 | 36 |
* | Rubicon Technology Inc. | 4,014 | 36 |
* | DSP Group Inc. | 5,496 | 35 |
PC-Tel Inc. | 3,958 | 29 | |
Pulse Electronics Corp. | 9,417 | 29 | |
* | Agilysys Inc. | 3,100 | 25 |
* | Novatel Wireless Inc. | 6,490 | 22 |
* | NCI Inc. Class A | 1,744 | 13 |
21,412 | |||
Materials (5.3%) | |||
HB Fuller Co. | 10,781 | 325 | |
Eagle Materials Inc. | 10,025 | 315 | |
Buckeye Technologies Inc. | 8,796 | 300 | |
PolyOne Corp. | 20,007 | 269 | |
Schweitzer-Mauduit | |||
International Inc. | 3,568 | 250 | |
* | SunCoke Energy Inc. | 15,643 | 224 |
Texas Industries Inc. | 6,196 | 210 | |
* | Kraton Performance | ||
Polymers Inc. | 7,116 | 198 | |
* | OM Group Inc. | 7,170 | 197 |
AK Steel Holding Corp. | 24,374 | 193 | |
* | Calgon Carbon Corp. | 12,558 | 190 |
* | KapStone Paper and | ||
Packaging Corp. | 8,719 | 175 | |
Balchem Corp. | 6,380 | 174 | |
* | Clearwater Paper Corp. | 5,053 | 173 |
Koppers Holdings Inc. | 4,585 | 172 | |
Haynes International Inc. | 2,694 | 170 | |
Kaiser Aluminum Corp. | 3,520 | 170 | |
A Schulman Inc. | 6,563 | 170 | |
* | LSB Industries Inc. | 4,142 | 167 |
AMCOL International Corp. | 5,580 | 164 | |
Stepan Co. | 1,850 | 162 | |
Deltic Timber Corp. | 2,413 | 157 | |
* | RTI International Metals Inc. | 6,725 | 152 |
* | Materion Corp. | 4,570 | 134 |
Tredegar Corp. | 5,119 | 119 | |
* | Century Aluminum Co. | 12,037 | 118 |
Quaker Chemical Corp. | 2,822 | 116 | |
Wausau Paper Corp. | 11,146 | 104 | |
Myers Industries Inc. | 7,386 | 98 | |
Neenah Paper Inc. | 3,293 | 92 | |
American Vanguard Corp. | 5,070 | 84 | |
Hawkins Inc. | 2,004 | 78 | |
Zep Inc. | 4,750 | 72 | |
Olympic Steel Inc. | 1,979 | 46 | |
* | Headwaters Inc. | 13,912 | 42 |
* | AM Castle & Co. | 3,597 | 41 |
5,821 |
Telecommunication Services (0.6%) | |||
* | Cincinnati Bell Inc. | 43,712 | 164 |
* | General Communication Inc. | ||
Class A | 7,535 | 80 | |
NTELOS Holdings Corp. | 3,332 | 77 | |
* | Neutral Tandem Inc. | 6,830 | 76 |
Atlantic Tele-Network Inc. | 1,988 | 76 | |
USA Mobility Inc. | 4,785 | 66 | |
* | Cbeyond Inc. | 6,581 | 51 |
Lumos Networks Corp. | 3,399 | 43 | |
633 | |||
Utilities (4.2%) | |||
Piedmont Natural Gas Co. | |||
Inc. | 16,047 | 520 | |
Southwest Gas Corp. | 10,159 | 433 | |
New Jersey Resources Corp. | 9,163 | 428 | |
UIL Holdings Corp. | 11,187 | 394 | |
South Jersey Industries Inc. | 6,696 | 348 | |
Avista Corp. | 12,974 | 321 | |
Unisource Energy Corp. | 8,249 | 304 | |
Allete Inc. | 7,122 | 296 | |
El Paso Electric Co. | 8,990 | 294 | |
NorthWestern Corp. | 7,978 | 277 | |
Northwest Natural Gas Co. | 5,877 | 269 | |
CH Energy Group Inc. | 3,306 | 220 | |
Laclede Group Inc. | 4,968 | 204 | |
American States Water Co. | 4,191 | 155 | |
Central Vermont Public | |||
Service Corp. | 2,903 | 102 | |
4,565 | |||
Total Common Stocks | |||
(Cost $106,195) | 109,665 | ||
Temporary Cash Investment (0.0%) | |||
Money Market Fund (0.0%) | |||
1 | Vanguard Market Liquidity | ||
Fund, 0.111% (Cost $10) | 9,682 | 10 | |
Total Investments (99.9%) | |||
(Cost $106,205) | 109,675 | ||
Other Assets and Liabilities (0.1%) | |||
Other Assets | 155 | ||
Liabilities | (47) | ||
108 | |||
Net Assets (100%) | 109,783 |
16
S&P Small-Cap 600 Index Fund | |
At February 29, 2012, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 107,632 |
Undistributed Net Investment Income | 46 |
Accumulated Net Realized Losses | (1,365) |
Unrealized Appreciation (Depreciation) | 3,470 |
Net Assets | 109,783 |
Institutional Shares—Net Assets | |
Applicable to 695,143 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 93,102 |
Net Asset Value Per Share— | |
Institutional Shares | $133.93 |
ETF Shares—Net Assets | |
Applicable to 250,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 16,681 |
Net Asset Value Per Share— | |
ETF Shares | $66.72 |
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.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
17
S&P Small-Cap 600 Index Fund
Statement of Operations
Six Months Ended | |
February 29, 2012 | |
($000) | |
Investment Income | |
Income | |
Dividends | 521 |
Interest1 | 1 |
Total Income | 522 |
Expenses | |
The Vanguard Group—Note B | |
Management and Administrative—Institutional Shares | 24 |
Management and Administrative—ETF Shares | 8 |
Custodian Fees | 8 |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—ETF Shares | 1 |
Total Expenses | 41 |
Net Investment Income | 481 |
Realized Net Gain (Loss) on Investment Securities Sold | 413 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 12,017 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 12,911 |
1 Interest income from an affiliated company of the fund was $1,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
18
S&P Small-Cap 600 Index Fund
Statement of Changes in Net Assets
September 7, | ||
Six Months Ended | 20101 to | |
February 29, | August 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 481 | 407 |
Realized Net Gain (Loss) | 413 | (403) |
Change in Unrealized Appreciation (Depreciation) | 12,017 | (8,547) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 12,911 | (8,543) |
Distributions | ||
Net Investment Income | ||
Institutional Shares | (681) | — |
ETF Shares | (95) | (36) |
Realized Capital Gain | ||
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (776) | (36) |
Capital Share Transactions | ||
Institutional Shares | 9,656 | 81,749 |
ETF Shares | 3,327 | 11,495 |
Net Increase (Decrease) from Capital Share Transactions | 12,983 | 93,244 |
Total Increase (Decrease) | 25,118 | 84,665 |
Net Assets | ||
Beginning of Period | 84,665 | — |
End of Period2 | 109,783 | 84,665 |
1 Inception. | ||
2 Net Assets—End of Period includes undistributed net investment income of $46,000 and $341,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
19
S&P Small-Cap 600 Index Fund
Financial Highlights
Institutional Shares | ||
Six Months | April 1, | |
Ended | 20111 to | |
February 29, | Aug. 31, | |
For a Share Outstanding Throughout Each Period | 2012 | 2011 |
Net Asset Value, Beginning of Period | $118.12 | $132.94 |
Investment Operations | ||
Net Investment Income | .591 | .290 |
Net Realized and Unrealized Gain (Loss) on Investments | 16.233 | (15.110) |
Total from Investment Operations | 16.824 | (14.820) |
Distributions | ||
Dividends from Net Investment Income | (1.014) | — |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (1.014) | — |
Net Asset Value, End of Period | $133.93 | $118.12 |
Total Return | 14.31% | -11.15% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $93 | $73 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08%2 |
Ratio of Net Investment Income to Average Net Assets | 1.06% | 1.03%2 |
Portfolio Turnover Rate3 | 15% | 42% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
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 Small-Cap 600 Index Fund
Financial Highlights
ETF Shares | ||
Six Months | Sept. 7, | |
Ended | 20101 to | |
February 29, | Aug. 31, | |
For a Share Outstanding Throughout Each Period | 2012 | 2011 |
Net Asset Value, Beginning of Period | $58.84 | $49.81 |
Investment Operations | ||
Net Investment Income | .274 | .605 |
Net Realized and Unrealized Gain (Loss) on Investments | 8.083 | 8.785 |
Total from Investment Operations | 8.357 | 9.390 |
Distributions | ||
Dividends from Net Investment Income | (.477) | (.360) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (.477) | (.360) |
Net Asset Value, End of Period | $66.72 | $58.84 |
Total Return | 14.27% | 18.81% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $17 | $12 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15%2 |
Ratio of Net Investment Income to Average Net Assets | 0.99% | 0.96%2 |
Portfolio Turnover Rate3 | 15% | 42% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
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
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 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 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 its open federal income tax year ended August 31, 2011, and for the period ended February 29, 2012, 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 February 29, 2012, the fund had contributed capital of $16,000 to Vanguard (included in Other Assets), representing 0.01% 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.
22
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 February 29, 2012, 100% of the market value of the fund’s investments 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 six months ended February 29, 2012, the fund realized $207,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. 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. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2012.
At February 29, 2012, the cost of investment securities for tax purposes was $106,205,000. Net unrealized appreciation of investment securities for tax purposes was $3,470,000, consisting of unrealized gains of $9,967,000 on securities that had risen in value since their purchase and $6,497,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 29, 2012, the fund purchased $21,910,000 of investment securities and sold $9,196,000 of investment securities, other than temporary cash investments.
23
S&P Small-Cap 600 Index Fund
F. Capital share transactions for each class of shares were:
Six Months Ended | Inception1 to | |||
February 29, 2012 | August 31, 2011 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Institutional Shares | ||||
Issued | 12,469 | 101 | 88,037 | 667 |
Issued in Lieu of Cash Distributions | 681 | 5 | — | — |
Redeemed | (3,494) | (28) | (6,288) | (50) |
Net Increase (Decrease)—Institutional Shares | 9,656 | 78 | 81,749 | 617 |
ETF Shares | ||||
Issued | 6,332 | 100 | 20,131 | 350 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (3,005) | (50) | (8,636) | (150) |
Net Increase (Decrease)—ETF Shares | 3,327 | 50 | 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 Share transactions
beginning December 15, 2010.
At February 29, 2012, one shareholder was the record or beneficial owner of 73% of the fund’s net assets. If the shareholder were to redeem its total investment in the fund, the redemption might result in an increase in the fund’s expense ratio, cause the fund to incur higher transaction costs, or result in the realization of taxable capital gains.
G. In preparing the financial statements as of February 29, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
24
S&P Small-Cap 600 Value Index Fund
Fund Profile
As of February 29, 2012
Portfolio Characteristics | |||
S&P | DJ | ||
SmallCap | U.S. Total | ||
600 Value | Market | ||
Fund | Index | Index | |
Number of Stocks | 454 | 453 | 3,733 |
Median Market Cap | $1.0B | $1.0B | $33.9B |
Price/Earnings Ratio | 22.5x | 22.5x | 16.5x |
Price/Book Ratio | 1.4x | 1.4x | 2.2x |
Return on Equity | 7.2% | 7.2% | 18.2% |
Earnings Growth Rate | -4.7% | -4.7% | 7.6% |
Dividend Yield | 1.5% | 1.5% | 1.9% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 31% | — | — |
Ticker Symbol | VIOV | — | — |
Expense Ratio1 | 0.22% | — | — |
30-Day SEC Yield | 1.28% | — | — |
Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure) | |||
S&P | DJ | ||
SmallCap | U.S. Total | ||
600 Value | Market | ||
Fund | Index | Index | |
Consumer | |||
Discretionary | 15.6% | 15.6% | 11.9% |
Consumer Staples | 3.3 | 3.3 | 9.4 |
Energy | 5.0 | 5.0 | 11.2 |
Financials | 26.1 | 26.1 | 15.4 |
Health Care | 5.3 | 5.3 | 11.4 |
Industrials | 19.9 | 19.9 | 11.2 |
Information | |||
Technology | 13.1 | 13.1 | 19.4 |
Materials | 6.7 | 6.7 | 4.1 |
Telecommunication | |||
Services | 0.9 | 0.9 | 2.5 |
Utilities | 4.1 | 4.1 | 3.5 |
Ten Largest Holdings (% of total net assets) | ||
BioMed Realty Trust Inc. | Office REITs | 1.2% |
Delphi Financial Group | Life & Health | |
Inc. | Insurance | 1.0 |
LaSalle Hotel Properties | Specialized REITs | 0.9 |
Men's Wearhouse Inc. | Apparel Retail | 0.8 |
Actuant Corp. Class A | Industrial | |
Machinery | 0.8 | |
Anixter International Inc. | Technology | |
Distributors | 0.8 | |
EMCOR Group Inc. | Construction & | |
Engineering | 0.8 | |
Mueller Industries Inc. | Industrial | |
Machinery | 0.7 | |
Susquehanna | ||
Bancshares Inc. | Regional Banks | 0.7 |
Curtiss-Wright Corp. | Aerospace & | |
Defense | 0.7 | |
Top Ten | 8.4% | |
The holdings listed exclude any temporary cash investments and equity index products. |
Investment Focus
1 The expense ratio shown is from the prospectus dated December 27, 2011, and represents estimated costs for the current fiscal year. For
the six months ended February 29, 2012, the annualized expense ratio was 0.20%.
25
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.
Fiscal-Year Total Returns (%): September 7, 2010, Through February 29, 2012
Average Annual Total Returns: Periods Ended December 31, 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 | Since | |
Date | Year | Inception | |
ETF Shares | 9/7/2010 | ||
Market Price | -1.58% | 15.73% | |
Net Asset Value | -1.54 | 15.71 |
See Financial Highlights for dividend and capital gains information.
26
S&P Small-Cap 600 Value Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 29, 2012
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 (15.6%) | |||
Men’s Wearhouse Inc. | 3,396 | 132 | |
* | Cabela’s Inc. | 2,862 | 102 |
Brunswick Corp. | 4,019 | 96 | |
* | Live Nation Entertainment Inc. | 9,784 | 91 |
Group 1 Automotive Inc. | 1,502 | 77 | |
* | Crocs Inc. | 3,839 | 75 |
* | Jack in the Box Inc. | 2,920 | 70 |
* | Select Comfort Corp. | 2,159 | 64 |
Pool Corp. | 1,673 | 61 | |
PEP Boys-Manny Moe & Jack | 3,492 | 53 | |
* | La-Z-Boy Inc. | 3,432 | 49 |
* | Meritage Homes Corp. | 1,848 | 48 |
* | Pinnacle Entertainment Inc. | 4,111 | 45 |
* | Marriott Vacations Worldwide | ||
Corp. | 1,777 | 44 | |
Ethan Allen Interiors Inc. | 1,715 | 43 | |
Sonic Automotive Inc. Class A | 2,292 | 39 | |
Finish Line Inc. Class A | 1,707 | 39 | |
* | Quiksilver Inc. | 8,144 | 38 |
Fred’s Inc. Class A | 2,541 | 35 | |
* | Drew Industries Inc. | 1,263 | 35 |
* | Career Education Corp. | 3,986 | 34 |
* | Sonic Corp. | 4,125 | 34 |
Lithia Motors Inc. Class A | 1,434 | 34 | |
* | Ruby Tuesday Inc. | 4,164 | 32 |
* | OfficeMax Inc. | 5,721 | 32 |
Hillenbrand Inc. | 1,374 | 32 | |
* | Skechers U.S.A. Inc. Class A | 2,461 | 31 |
* | Liz Claiborne Inc. | 3,142 | 31 |
Stage Stores Inc. | 2,025 | 30 | |
Brown Shoe Co. Inc. | 2,787 | 30 | |
Cracker Barrel Old Country | |||
Store Inc. | 535 | 30 | |
* | Arctic Cat Inc. | 808 | 30 |
Standard Motor Products Inc. | 1,293 | 29 | |
* | Helen of Troy Ltd. | 903 | 29 |
* | Standard Pacific Corp. | 6,687 | 29 |
* | Shuffle Master Inc. | 1,992 | 29 |
* | Boyd Gaming Corp. | 3,608 | 29 |
Superior Industries | |||
International Inc. | 1,570 | 28 | |
Callaway Golf Co. | 4,306 | 28 | |
Ryland Group Inc. | 1,533 | 28 | |
Jakks Pacific Inc. | 1,724 | 27 | |
Oxford Industries Inc. | 523 | 26 | |
Texas Roadhouse Inc. Class A | 1,575 | 26 | |
Harte-Hanks Inc. | 2,925 | 26 | |
* | Corinthian Colleges Inc. | 5,664 | 25 |
* | Red Robin Gourmet Burgers | ||
Inc. | 736 | 25 | |
HOT Topic Inc. | 2,788 | 25 | |
* | Iconix Brand Group Inc. | 1,367 | 25 |
Movado Group Inc. | 1,153 | 25 | |
Cato Corp. Class A | 777 | 21 | |
Nutrisystem Inc. | 1,866 | 21 | |
PF Chang’s China Bistro Inc. | 544 | 21 | |
* | EW Scripps Co. Class A | 2,051 | 20 |
* | Interval Leisure Group Inc. | 1,418 | 19 |
* | Universal Electronics Inc. | 970 | 19 |
* | Digital Generation Inc. | 1,822 | 18 |
* | Winnebago Industries Inc. | 1,910 | 17 |
PetMed Express Inc. | 1,331 | 16 | |
Marcus Corp. | 1,307 | 16 | |
* | VOXX International Corp. | ||
Class A | 1,228 | 16 | |
* | Maidenform Brands Inc. | 721 | 15 |
* | M/I Homes Inc. | 1,226 | 15 |
* | Ruth’s Hospitality Group Inc. | 2,309 | 14 |
* | Zumiez Inc. | 456 | 14 |
* | Perry Ellis International Inc. | 812 | 14 |
Haverty Furniture Cos. Inc. | 1,251 | 14 | |
* | Stein Mart Inc. | 1,765 | 13 |
Spartan Motors Inc. | 2,196 | 13 | |
* | O’Charleys Inc. | 1,264 | 13 |
Lincoln Educational Services | |||
Corp. | 1,479 | 13 | |
* | MarineMax Inc. | 1,519 | 12 |
27
S&P Small-Cap 600 Value Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Lumber Liquidators | ||
Holdings Inc. | 541 | 12 | |
* | Multimedia Games Holding | ||
Co. Inc. | 1,151 | 12 | |
Big 5 Sporting Goods Corp. | 1,423 | 11 | |
* | Tuesday Morning Corp. | 2,877 | 10 |
* | Monarch Casino & Resort Inc. | 777 | 8 |
* | Kirkland’s Inc. | 495 | 8 |
* | Universal Technical Institute | ||
Inc. | 597 | 8 | |
Blyth Inc. | 112 | 7 | |
* | K-Swiss Inc. Class A | 1,841 | 6 |
* | Zale Corp. | 1,764 | 6 |
* | Coldwater Creek Inc. | 6,014 | 6 |
* | Midas Inc. | 605 | 6 |
Christopher & Banks Corp. | 2,433 | 5 | |
2,534 | |||
Consumer Staples (3.3%) | |||
* | Darling International Inc. | 4,116 | 66 |
* | United Natural Foods Inc. | 1,326 | 60 |
* | Prestige Brands Holdings Inc. | 3,334 | 55 |
Andersons Inc. | 1,230 | 53 | |
* | Hain Celestial Group Inc. | 1,077 | 44 |
B&G Foods Inc. Class A | 1,702 | 40 | |
Snyders-Lance Inc. | 1,762 | 40 | |
Cal-Maine Foods Inc. | 956 | 37 | |
Spartan Stores Inc. | 1,521 | 27 | |
* | Central Garden and Pet Co. | ||
Class A | 2,833 | 27 | |
Nash Finch Co. | 804 | 22 | |
* | Alliance One International Inc. | 5,741 | 21 |
* | Seneca Foods Corp. Class A | 601 | 15 |
Diamond Foods Inc. | 581 | 14 | |
Calavo Growers Inc. | 332 | 9 | |
Inter Parfums Inc. | 538 | 9 | |
539 | |||
Energy (5.0%) | |||
Bristow Group Inc. | 2,399 | 113 | |
* | Stone Energy Corp. | 3,240 | 104 |
* | Swift Energy Co. | 2,811 | 84 |
* | Exterran Holdings Inc. | 4,122 | 59 |
* | Cloud Peak Energy Inc. | 3,074 | 54 |
* | Comstock Resources Inc. | 3,159 | 51 |
* | Tetra Technologies Inc. | 5,116 | 46 |
* | Hornbeck Offshore Services | ||
Inc. | 1,096 | 45 | |
* | ION Geophysical Corp. | 5,717 | 41 |
* | Gulfport Energy Corp. | 1,010 | 34 |
* | Petroleum Development Corp. | 945 | 31 |
Gulf Island Fabrication Inc. | 955 | 28 | |
* | Basic Energy Services Inc. | 1,265 | 25 |
* | Pioneer Drilling Co. | 2,326 | 23 |
* | Petroquest Energy Inc. | 3,791 | 23 |
* | Matrix Service Co. | 1,700 | 23 |
Overseas Shipholding Group | |||
Inc. | 1,728 | 15 | |
Penn Virginia Corp. | 3,001 | 15 | |
814 | |||
Financials (26.1%) | |||
BioMed Realty Trust Inc. | 10,194 | 188 | |
Delphi Financial Group Inc. | 3,619 | 161 | |
LaSalle Hotel Properties | 5,549 | 148 | |
Susquehanna Bancshares | |||
Inc. | 12,377 | 115 | |
DiamondRock Hospitality Co. | 11,115 | 111 | |
FNB Corp. | 9,226 | 109 | |
Kilroy Realty Corp. | 2,166 | 95 | |
Umpqua Holdings Corp. | 7,588 | 93 | |
United Bankshares Inc. | 2,989 | 87 | |
Prospect Capital Corp. | 8,048 | 87 | |
Medical Properties Trust Inc. | 8,709 | 85 | |
Colonial Properties Trust | 4,105 | 84 | |
Extra Space Storage Inc. | 3,183 | 84 | |
Northwest Bancshares Inc. | 6,443 | 81 | |
Wintrust Financial Corp. | 2,389 | 81 | |
Lexington Realty Trust | 8,923 | 77 | |
Old National Bancorp | 6,301 | 76 | |
National Penn Bancshares | |||
Inc. | 8,150 | 71 | |
Tanger Factory Outlet | |||
Centers | 2,361 | 69 | |
Entertainment Properties | |||
Trust | 1,458 | 66 | |
Post Properties Inc. | 1,516 | 66 | |
Glacier Bancorp Inc. | 4,775 | 66 | |
Healthcare Realty Trust Inc. | 3,047 | 63 | |
Selective Insurance Group | |||
Inc. | 3,601 | 62 | |
Tower Group Inc. | 2,645 | 61 | |
* | Stifel Financial Corp. | 1,530 | 57 |
PrivateBancorp Inc. Class A | 3,950 | 57 | |
First Midwest Bancorp Inc. | 4,942 | 57 | |
Columbia Banking System | |||
Inc. | 2,619 | 55 | |
* | BBCN Bancorp Inc. | 5,170 | 53 |
Cousins Properties Inc. | 6,869 | 51 | |
Pennsylvania REIT | 3,685 | 49 | |
Franklin Street Properties | |||
Corp. | 4,777 | 49 | |
Boston Private Financial | |||
Holdings Inc. | 5,162 | 49 | |
Provident Financial Services | |||
Inc. | 3,566 | 49 | |
* | Texas Capital Bancshares Inc. | 1,413 | 48 |
NBT Bancorp Inc. | 2,194 | 48 | |
Horace Mann Educators | |||
Corp. | 2,636 | 46 | |
Safety Insurance Group Inc. | 1,003 | 43 | |
Brookline Bancorp Inc. | 4,635 | 43 |
28
S&P Small-Cap 600 Value Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | National Financial Partners | ||
Corp. | 2,733 | 42 | |
First Commonwealth Financial | |||
Corp. | 6,924 | 41 | |
Interactive Brokers Group Inc. | 2,557 | 41 | |
Sovran Self Storage Inc. | 845 | 40 | |
Employers Holdings Inc. | 2,306 | 40 | |
S&T Bancorp Inc. | 1,856 | 39 | |
Independent Bank Corp. | 1,418 | 39 | |
Community Bank System Inc. | 1,391 | 38 | |
* | Pinnacle Financial Partners | ||
Inc. | 2,264 | 37 | |
* | Forestar Group Inc. | 2,331 | 37 |
First Financial Bancorp | 2,113 | 35 | |
UMB Financial Corp. | 817 | 34 | |
Trustco Bank Corp. NY | 6,231 | 33 | |
PacWest Bancorp | 1,495 | 33 | |
Meadowbrook Insurance | |||
Group Inc. | 3,360 | 32 | |
First Financial Bankshares Inc. | 901 | 31 | |
Inland Real Estate Corp. | 3,551 | 31 | |
* | Investment Technology | ||
Group Inc. | 2,662 | 31 | |
Getty Realty Corp. | 1,796 | 30 | |
Simmons First National Corp. | |||
Class A | 1,152 | 30 | |
LTC Properties Inc. | 928 | 29 | |
United Fire Group Inc. | 1,374 | 28 | |
* | AMERISAFE Inc. | 1,202 | 27 |
Dime Community | |||
Bancshares Inc. | 1,858 | 26 | |
* | Piper Jaffray Cos. | 1,029 | 25 |
Bank of the Ozarks Inc. | 792 | 23 | |
Acadia Realty Trust | 1,071 | 23 | |
Home Bancshares Inc. | 873 | 22 | |
Kite Realty Group Trust | 4,199 | 21 | |
City Holding Co. | 546 | 19 | |
Sterling Bancorp | 2,037 | 18 | |
Cedar Realty Trust Inc. | 3,662 | 17 | |
* | Wilshire Bancorp Inc. | 3,921 | 17 |
Stewart Information Services | |||
Corp. | 1,266 | 17 | |
Calamos Asset Management | |||
Inc. Class A | 1,324 | 16 | |
* | Navigators Group Inc. | 332 | 16 |
Presidential Life Corp. | 1,395 | 15 | |
Urstadt Biddle Properties Inc. | |||
Class A | 785 | 15 | |
Parkway Properties Inc. | 1,440 | 14 | |
* | Hanmi Financial Corp. | 1,386 | 12 |
Bank Mutual Corp. | 3,017 | 12 | |
* | United Community Banks Inc. | 1,286 | 12 |
Universal Health Realty | |||
Income Trust | 291 | 11 | |
ViewPoint Financial Group | 719 | 11 |
SWS Group Inc. | 1,919 | 11 | |
Oritani Financial Corp. | 806 | 10 | |
Saul Centers Inc. | 254 | 10 | |
* | Virtus Investment Partners | ||
Inc. | 103 | 8 | |
Tompkins Financial Corp. | 167 | 7 | |
* | eHealth Inc. | 421 | 6 |
* | First BanCorp. | 1,390 | 5 |
4,257 | |||
Health Care (5.3%) | |||
* | Molina Healthcare Inc. | 1,877 | 64 |
* | CONMED Corp. | 1,850 | 55 |
* | Centene Corp. | 1,101 | 54 |
* | PAREXEL International Corp. | 2,193 | 54 |
* | Hanger Orthopedic Group Inc. | 2,200 | 46 |
* | Align Technology Inc. | 1,487 | 38 |
* | Kindred Healthcare Inc. | 3,448 | 35 |
Invacare Corp. | 2,124 | 35 | |
West Pharmaceutical | |||
Services Inc. | 785 | 33 | |
* | PSS World Medical Inc. | 1,300 | 31 |
* | Amedisys Inc. | 1,947 | 25 |
* | PharMerica Corp. | 1,956 | 24 |
* | Par Pharmaceutical Cos. Inc. | 617 | 23 |
Meridian Bioscience Inc. | 1,146 | 21 | |
* | Natus Medical Inc. | 1,941 | 20 |
* | Amsurg Corp. Class A | 766 | 20 |
* | Affymetrix Inc. | 4,654 | 19 |
* | Omnicell Inc. | 1,298 | 19 |
* | LHC Group Inc. | 1,034 | 18 |
* | Healthways Inc. | 2,185 | 17 |
* | Symmetry Medical Inc. | 2,398 | 17 |
* | Gentiva Health Services Inc. | 2,015 | 16 |
* | AMN Healthcare Services Inc. | 2,647 | 14 |
* | Merit Medical Systems Inc. | 1,125 | 14 |
* | Palomar Medical | ||
Technologies Inc. | 1,275 | 14 | |
* | Cambrex Corp. | 1,930 | 13 |
* | Almost Family Inc. | 559 | 13 |
* | Greatbatch Inc. | 507 | 13 |
* | Bio-Reference Labs Inc. | 616 | 12 |
* | Cross Country Healthcare Inc. | 2,039 | 12 |
* | Integra LifeSciences | ||
Holdings Corp. | 348 | 11 | |
* | CryoLife Inc. | 1,907 | 10 |
* | eResearchTechnology Inc. | 1,603 | 10 |
* | SurModics Inc. | 641 | 9 |
Cantel Medical Corp. | 426 | 9 | |
* | Emergent Biosolutions Inc. | 537 | 8 |
* | Savient Pharmaceuticals Inc. | 2,378 | 5 |
Kensey Nash Corp. | 169 | 4 | |
* | Enzo Biochem Inc. | 1,325 | 3 |
858 |
29
S&P Small-Cap 600 Value Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Industrials (19.9%) | |||
Actuant Corp. Class A | 4,571 | 129 | |
EMCOR Group Inc. | 4,429 | 123 | |
Mueller Industries Inc. | 2,533 | 117 | |
Curtiss-Wright Corp. | 3,096 | 115 | |
Brady Corp. Class A | 3,477 | 111 | |
* | EnerSys | 3,155 | 106 |
Barnes Group Inc. | 3,125 | 87 | |
United Stationers Inc. | 2,823 | 82 | |
Belden Inc. | 1,944 | 77 | |
* | Geo Group Inc. | 4,163 | 73 |
ABM Industries Inc. | 3,183 | 72 | |
AO Smith Corp. | 1,464 | 66 | |
ESCO Technologies Inc. | 1,772 | 63 | |
AAR Corp. | 2,576 | 57 | |
Briggs & Stratton Corp. | 3,320 | 56 | |
* | Orbital Sciences Corp. | 3,899 | 55 |
* | EnPro Industries Inc. | 1,376 | 52 |
Applied Industrial | |||
Technologies Inc. | 1,250 | 50 | |
* | Mobile Mini Inc. | 2,323 | 50 |
* | Astec Industries Inc. | 1,321 | 50 |
* | Ceradyne Inc. | 1,603 | 50 |
Kaydon Corp. | 1,295 | 49 | |
* | Dycom Industries Inc. | 2,228 | 47 |
Interface Inc. Class A | 3,813 | 47 | |
* | Navigant Consulting Inc. | 3,457 | 47 |
* | Moog Inc. Class A | 1,047 | 46 |
* | Aegion Corp. Class A | 2,580 | 45 |
Simpson Manufacturing Co. | |||
Inc. | 1,501 | 45 | |
Insperity Inc. | 1,484 | 45 | |
Albany International Corp. | 1,863 | 45 | |
* | TrueBlue Inc. | 2,650 | 44 |
Quanex Building Products | |||
Corp. | 2,445 | 42 | |
* | Tetra Tech Inc. | 1,691 | 42 |
Universal Forest Products Inc. | 1,292 | 42 | |
Robbins & Myers Inc. | 849 | 41 | |
G&K Services Inc. Class A | 1,242 | 41 | |
Resources Connection Inc. | 2,943 | 38 | |
* | HUB Group Inc. Class A | 1,076 | 38 |
SkyWest Inc. | 3,356 | 38 | |
* | Old Dominion Freight Line | ||
Inc. | 880 | 38 | |
Encore Wire Corp. | 1,281 | 37 | |
Knight Transportation Inc. | 2,155 | 37 | |
Watts Water Technologies | |||
Inc. Class A | 929 | 37 | |
* | SYKES Enterprises Inc. | 2,627 | 36 |
* | On Assignment Inc. | 2,453 | 34 |
John Bean Technologies | |||
Corp. | 1,910 | 33 | |
Griffon Corp. | 3,068 | 33 | |
Standex International Corp. | 841 | 32 |
Heartland Express Inc. | 2,188 | 32 | |
Healthcare Services Group | |||
Inc. | 1,601 | 31 | |
Arkansas Best Corp. | 1,695 | 30 | |
Comfort Systems USA Inc. | 2,491 | 28 | |
Kelly Services Inc. Class A | 1,882 | 28 | |
* | Gibraltar Industries Inc. | 2,024 | 28 |
Kaman Corp. | 798 | 28 | |
Viad Corp. | 1,333 | 26 | |
Apogee Enterprises Inc. | 1,878 | 25 | |
Heidrick & Struggles | |||
International Inc. | 1,186 | 24 | |
* | GenCorp Inc. | 3,949 | 24 |
CIRCOR International Inc. | 672 | 22 | |
* | Powell Industries Inc. | 588 | 19 |
* | Federal Signal Corp. | 4,093 | 19 |
Tennant Co. | 407 | 17 | |
Cascade Corp. | 308 | 16 | |
Unifirst Corp. | 270 | 16 | |
* | Orion Marine Group Inc. | 1,772 | 13 |
CDI Corp. | 839 | 13 | |
* | NCI Building Systems Inc. | 970 | 12 |
* | Consolidated Graphics Inc. | 242 | 11 |
* | Lydall Inc. | 1,162 | 11 |
AAON Inc. | 568 | 11 | |
* | Encore Capital Group Inc. | 398 | 9 |
Vicor Corp. | 626 | 5 | |
Lawson Products Inc. | 255 | 4 | |
Standard Register Co. | 795 | 1 | |
3,243 | |||
Information Technology (13.1%) | |||
* | Anixter International Inc. | 1,836 | 128 |
* | Arris Group Inc. | 7,799 | 89 |
* | Take-Two Interactive | ||
Software Inc. | 5,728 | 88 | |
* | Plexus Corp. | 2,295 | 80 |
* | SYNNEX Corp. | 1,706 | 70 |
* | Scansource Inc. | 1,806 | 67 |
* | Benchmark Electronics Inc. | 3,834 | 63 |
* | Insight Enterprises Inc. | 2,908 | 61 |
* | Progress Software Corp. | 2,248 | 52 |
* | Harmonic Inc. | 7,677 | 45 |
* | Digital River Inc. | 2,462 | 43 |
Comtech Telecommunications | |||
Corp. | 1,345 | 43 | |
* | Newport Corp. | 2,483 | 41 |
* | Brightpoint Inc. | 4,521 | 40 |
* | TTM Technologies Inc. | 3,389 | 40 |
MKS Instruments Inc. | 1,281 | 38 | |
* | Advanced Energy Industries | ||
Inc. | 2,960 | 36 | |
* | Microsemi Corp. | 1,676 | 35 |
* | FEI Co. | 776 | 35 |
* | DealerTrack Holdings Inc. | 1,229 | 34 |
Black Box Corp. | 1,179 | 32 |
30
S&P Small-Cap 600 Value Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Super Micro Computer Inc. | 1,833 | 30 |
United Online Inc. | 5,949 | 30 | |
* | TriQuint Semiconductor Inc. | 4,624 | 30 |
* | Checkpoint Systems Inc. | 2,674 | 30 |
* | Cardtronics Inc. | 1,111 | 30 |
Heartland Payment Systems | |||
Inc. | 993 | 28 | |
* | ATMI Inc. | 1,176 | 26 |
* | Intermec Inc. | 3,399 | 25 |
* | Perficient Inc. | 2,025 | 24 |
* | Bottomline Technologies Inc. | 833 | 23 |
* | Diodes Inc. | 929 | 23 |
* | Rofin-Sinar Technologies Inc. | 982 | 23 |
CTS Corp. | 2,272 | 23 | |
Methode Electronics Inc. | 2,448 | 22 | |
Park Electrochemical Corp. | 781 | 22 | |
Electro Scientific Industries | |||
Inc. | 1,604 | 22 | |
Daktronics Inc. | 2,445 | 22 | |
* | CIBER Inc. | 4,769 | 21 |
* | Standard Microsystems Corp. | 814 | 21 |
* | Rudolph Technologies Inc. | 2,105 | 21 |
* | Avid Technology Inc. | 1,929 | 21 |
* | Tessera Technologies Inc. | 1,191 | 20 |
* | Digi International Inc. | 1,694 | 19 |
* | iGate Corp. | 1,066 | 19 |
Cohu Inc. | 1,594 | 18 | |
* | XO Group Inc. | 1,883 | 17 |
* | Stratasys Inc. | 460 | 17 |
* | Monotype Imaging Holdings | ||
Inc. | 1,189 | 17 | |
* | Symmetricom Inc. | 2,795 | 16 |
Brooks Automation Inc. | 1,355 | 16 | |
* | TeleTech Holdings Inc. | 1,048 | 16 |
* | Ultratech Inc. | 538 | 15 |
* | CSG Systems International | ||
Inc. | 887 | 14 | |
* | Rogers Corp. | 381 | 14 |
* | Mercury Computer Systems | ||
Inc. | 918 | 13 | |
Micrel Inc. | 1,208 | 13 | |
EPIQ Systems Inc. | 1,101 | 13 | |
* | Monolithic Power Systems | ||
Inc. | 676 | 13 | |
* | Intevac Inc. | 1,559 | 12 |
* | Pericom Semiconductor Corp. | 1,586 | 12 |
* | Sigma Designs Inc. | 2,095 | 12 |
Bel Fuse Inc. Class B | 663 | 12 | |
* | Radisys Corp. | 1,541 | 12 |
* | Measurement Specialties Inc. | 336 | 11 |
* | Virtusa Corp. | 674 | 11 |
Badger Meter Inc. | 327 | 10 | |
* | DSP Group Inc. | 1,559 | 10 |
* | Supertex Inc. | 506 | 9 |
PC-Tel Inc. | 1,234 | 9 |
* | Kopin Corp. | 2,436 | 9 |
Pulse Electronics Corp. | 2,796 | 9 | |
* | Agilysys Inc. | 1,027 | 8 |
* | Oplink Communications Inc. | 480 | 8 |
* | Novatel Wireless Inc. | 2,172 | 7 |
* | STR Holdings Inc. | 1,040 | 7 |
* | Nanometrics Inc. | 371 | 6 |
* | NCI Inc. Class A | 534 | 4 |
2,125 | |||
Materials (6.7%) | |||
PolyOne Corp. | 6,005 | 81 | |
* | SunCoke Energy Inc. | 4,655 | 67 |
Texas Industries Inc. | 1,850 | 63 | |
Eagle Materials Inc. | 1,905 | 60 | |
* | OM Group Inc. | 2,144 | 59 |
AK Steel Holding Corp. | 7,328 | 58 | |
HB Fuller Co. | 1,750 | 53 | |
Kaiser Aluminum Corp. | 1,048 | 51 | |
A Schulman Inc. | 1,945 | 50 | |
* | RTI International Metals Inc. | 2,001 | 45 |
* | Materion Corp. | 1,339 | 39 |
Tredegar Corp. | 1,560 | 36 | |
* | Century Aluminum Co. | 3,645 | 36 |
* | Calgon Carbon Corp. | 2,154 | 33 |
Wausau Paper Corp. | 3,270 | 30 | |
Buckeye Technologies Inc. | 891 | 30 | |
Myers Industries Inc. | 2,221 | 30 | |
Neenah Paper Inc. | 995 | 28 | |
Koppers Holdings Inc. | 710 | 27 | |
* | Kraton Performance | ||
Polymers Inc. | 909 | 25 | |
* | LSB Industries Inc. | 609 | 24 |
Zep Inc. | 1,455 | 22 | |
* | Clearwater Paper Corp. | 602 | 21 |
AMCOL International Corp. | 675 | 20 | |
Haynes International Inc. | 285 | 18 | |
American Vanguard Corp. | 944 | 16 | |
* | KapStone Paper and | ||
Packaging Corp. | 765 | 15 | |
Quaker Chemical Corp. | 346 | 14 | |
Stepan Co. | 162 | 14 | |
Olympic Steel Inc. | 600 | 14 | |
* | AM Castle & Co. | 1,081 | 12 |
* | Headwaters Inc. | 2,435 | 7 |
1,098 | |||
Telecommunication Services (0.9%) | |||
* | Cincinnati Bell Inc. | 12,959 | 49 |
NTELOS Holdings Corp. | 989 | 23 | |
USA Mobility Inc. | 1,463 | 20 | |
* | Cbeyond Inc. | 1,994 | 15 |
* | General Communication Inc. | ||
CLASS A | 1,277 | 14 | |
Lumos Networks Corp. | 968 | 12 | |
* | Neutral Tandem Inc. | 618 | 7 |
140 |
31
S&P Small-Cap 600 Value Index Fund
Market | ||
Value | ||
Shares | ($000) | |
Utilities (4.1%) | ||
Avista Corp. | 3,857 | 95 |
Piedmont Natural Gas Co. | ||
Inc. | 2,580 | 84 |
UIL Holdings Corp. | 2,078 | 73 |
Southwest Gas Corp. | 1,646 | 70 |
Laclede Group Inc. | 1,487 | 61 |
New Jersey Resources Corp. | 1,265 | 59 |
Allete Inc. | 1,071 | 45 |
NorthWestern Corp. | 1,150 | 40 |
Unisource Energy Corp. | 972 | 36 |
El Paso Electric Co. | 1,021 | 33 |
Northwest Natural Gas Co. | 730 | 33 |
CH Energy Group Inc. | 384 | 26 |
Central Vermont Public | ||
Service Corp. | 458 | 16 |
671 | ||
Total Investments (100.0%) | ||
(Cost $14,274) | 16,279 | |
Other Assets and Liabilities (0.0%) | ||
Other Assets | 18 | |
Liabilities | (19) | |
(1) | ||
ETF Shares—Net Assets (100%) | ||
Applicable to 250,000 outstanding | ||
$.001 par value shares of beneficial | ||
interest (unlimited authorization) | 16,278 | |
Net Asset Value Per Share— | ||
ETF Shares | $65.11 |
At February 29, 2012, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 15,237 |
Undistributed Net Investment Income | 12 |
Accumulated Net Realized Losses | (976) |
Unrealized Appreciation (Depreciation) | 2,005 |
Net Assets | 16,278 |
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.
32
S&P Small-Cap 600 Value Index Fund
Statement of Operations
Six Months Ended | |
February 29, 2012 | |
($000) | |
Investment Income | |
Income | |
Dividends | 108 |
Total Income | 108 |
Expenses | |
The Vanguard Group—Note B | |
Management and Administrative | 11 |
Custodian Fees | 4 |
Total Expenses | 15 |
Net Investment Income | 93 |
Realized Net Gain (Loss) on Investment Securities Sold | 98 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 2,101 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,292 |
See accompanying Notes, which are an integral part of the Financial Statements.
33
S&P Small-Cap 600 Value Index Fund
Statement of Changes in Net Assets
September 7, | ||
Six Months Ended | 20101 to | |
February 29, | August 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 93 | 129 |
Realized Net Gain (Loss) | 98 | 319 |
Change in Unrealized Appreciation (Depreciation) | 2,101 | (96) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,292 | 352 |
Distributions | ||
Net Investment Income | ||
Institutional Shares | — | — |
ETF Shares | (163) | (37) |
Realized Capital Gain | ||
Institutional Shares | — | — |
ETF Shares | — | — |
Return of Capital | ||
Total Distributions | (163) | (37) |
Capital Share Transactions | ||
Institutional Shares | — | (1) |
ETF Shares | (21) | 13,856 |
Net Increase (Decrease) from Capital Share Transactions | (21) | 13,855 |
Total Increase (Decrease) | 2,108 | 14,170 |
Net Assets | ||
Beginning of Period | 14,170 | — |
End of Period2 | 16,278 | 14,170 |
1 Inception. | ||
2 Net Assets—End of Period includes undistributed net investment income of $12,000 and $82,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
34
S&P Small-Cap 600 Value Index Fund
Financial Highlights
ETF Shares | ||
Six Months | Sept. 7, | |
Ended | 20101 to | |
February 29, | Aug. 31, | |
For a Share Outstanding Throughout Each Period | 2012 | 2011 |
Net Asset Value, Beginning of Period | $56.68 | $49.79 |
Investment Operations | ||
Net Investment Income | .370 | .741 |
Net Realized and Unrealized Gain (Loss) on Investments | 8.711 | 6.519 |
Total from Investment Operations | 9.081 | 7.260 |
Distributions | ||
Dividends from Net Investment Income | (.651) | (.370) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (.651) | (.370) |
Net Asset Value, End of Period | $65.11 | $56.68 |
Total Return | 16.12% | 14.52% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $16 | $14 |
Ratio of Total Expenses to Average Net Assets | 0.20% | 0.20%2 |
Ratio of Net Investment Income to Average Net Assets | 1.26% | 1.32%2 |
Portfolio Turnover Rate3 | 31% | 70% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
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.
35
S&P Small-Cap 600 Value Index Fund
Notes to Financial Statements
Vanguard S&P Small-Cap 600 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 December 15, 2010; the sole shareholder redeemed shortly thereafter. As of February 29, 2012, there were no investors in the Institutional share class. 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 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 its open federal income tax year ended August 31, 2011, and for the period ended February 29, 2012, 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 February 29, 2012, 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 February 29, 2012, 100% of the market value of the fund’s investments was based on Level 1 inputs.
36
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 six months ended February 29, 2012, the fund realized $345,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. 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. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2012.
At February 29, 2012, the cost of investment securities for tax purposes was $14,274,000. Net unrealized appreciation of investment securities for tax purposes was $2,005,000, consisting of unrealized gains of $2,304,000 on securities that had risen in value since their purchase and $299,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 29, 2012, the fund purchased $6,511,000 of investment securities and sold $6,590,000 of investment securities, other than temporary cash investments.
F. Capital share transactions for each class of shares were:
Six Months Ended | Inception1 to | |||
February 29, 2012 | August 31, 2011 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($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 | 2,869 | 50 | 22,271 | 400 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (2,890) | (50) | (8,415) | (150) |
Net Increase (Decrease)—ETF Shares | (21) | — | 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 February 29, 2012, there were no investors in the Institutional share class.
G. In preparing the financial statements as of February 29, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
37
S&P Small-Cap 600 Growth Index Fund
Fund Profile
As of February 29, 2012
Portfolio Characteristics | |||
S&P | DJ | ||
SmallCap | U.S. Total | ||
600 Growth | Market | ||
Fund | Index | Index | |
Number of Stocks | 325 | 325 | 3,733 |
Median Market Cap | $1.3B | $1.3B | $33.9B |
Price/Earnings Ratio | 20.7x | 20.7x | 16.5x |
Price/Book Ratio | 2.6x | 2.6x | 2.2x |
Return on Equity | 13.6% | 13.6% | 18.2% |
Earnings Growth Rate 10.1% | 10.1% | 7.6% | |
Dividend Yield | 0.9% | 0.9% | 1.9% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 67% | — | — |
Ticker Symbol | VIOG | — | — |
Expense Ratio1 | 0.20% | — | — |
30-Day SEC Yield | 0.67% | — | — |
Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure) | |||
S&P | |||
SmallCap | DJ | ||
600 | U.S. Total | ||
Growth | Market | ||
Fund | Index | Index | |
Consumer | |||
Discretionary | 15.4% | 15.4% | 11.9% |
Consumer Staples | 5.0 | 5.0 | 9.4 |
Energy | 4.3 | 4.3 | 11.2 |
Financials | 13.2 | 13.2 | 15.4 |
Health Care | 16.2 | 16.2 | 11.4 |
Industrials | 11.6 | 11.6 | 11.2 |
Information | |||
Technology | 25.9 | 25.9 | 19.4 |
Materials | 3.9 | 3.9 | 4.1 |
Telecommunication | |||
Services | 0.3 | 0.3 | 2.5 |
Utilities | 4.2 | 4.2 | 3.5 |
Ten Largest Holdings (% of total net assets) | ||
Salix Pharmaceuticals | ||
Ltd. | Pharmaceuticals | 1.2% |
ProAssurance Corp. | Property & Casualty | |
Insurance | 1.1 | |
Cubist Pharmaceuticals | ||
Inc. | Biotechnology | 1.1 |
Questcor | ||
Pharmaceuticals Inc. | Pharmaceuticals | 1.0 |
Lufkin Industries Inc. | Oil & Gas | |
Equipment & | ||
Services | 1.0 | |
Wright Express Corp. | Data Processing & | |
Outsourced | ||
Services | 1.0 | |
Mid-America Apartment | ||
Communities Inc. | Residential REITs | 1.0 |
Viropharma Inc. | Pharmaceuticals | 0.9 |
CommVault Systems | ||
Inc. | Systems Software | 0.9 |
Teledyne Technologies | Aerospace & | |
Inc. | Defense | 0.9 |
Top Ten | 10.1% | |
The holdings listed exclude any temporary cash investments and equity index products. |
Investment Focus
1 The expense ratio shown is from the prospectus dated December 27, 2011, and represents estimated costs for the current fiscal year. For
the six months ended February 29, 2012, the annualized expense ratio was 0.20%.
38
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.
Fiscal-Year Total Returns (%): September 7, 2010, Through February 29, 2012
Note: For 2012, performance data reflect the six months ended February 29, 2012.
Average Annual Total Returns: Periods Ended December 31, 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 | Since | |
Date | Year | Inception | |
ETF Shares | 9/7/2010 | ||
Market Price | 3.28% | 21.20% | |
Net Asset Value | 3.41 | 21.24 |
See Financial Highlights for dividend and capital gains information.
39
S&P Small-Cap 600 Growth Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 29, 2012
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 (15.4%) | |||
Wolverine World Wide Inc. | 3,330 | 127 | |
* | Coinstar Inc. | 2,122 | 124 |
* | Genesco Inc. | 1,668 | 114 |
* | Steven Madden Ltd. | 2,630 | 114 |
* | Buffalo Wild Wings Inc. | 1,266 | 109 |
* | JOS A Bank Clothiers Inc. | 1,919 | 99 |
Monro Muffler Brake Inc. | 2,124 | 97 | |
* | Hibbett Sports Inc. | 1,825 | 89 |
* | Childrens Place Retail Stores | ||
Inc. | 1,716 | 87 | |
* | Vitamin Shoppe Inc. | 2,014 | 85 |
Buckle Inc. | 1,864 | 84 | |
* | BJ’s Restaurants Inc. | 1,663 | 83 |
* | Iconix Brand Group Inc. | 3,657 | 66 |
Hillenbrand Inc. | 2,888 | 66 | |
Arbitron Inc. | 1,880 | 63 | |
* | Peet’s Coffee & Tea Inc. | 892 | 57 |
Cracker Barrel Old Country | |||
Store Inc. | 1,029 | 57 | |
* | DineEquity Inc. | 1,070 | 57 |
Pool Corp. | 1,544 | 56 | |
Sturm Ruger & Co. Inc. | 1,313 | 55 | |
CEC Entertainment Inc. | 1,300 | 50 | |
* | American Public Education | ||
Inc. | 1,231 | 48 | |
* | Select Comfort Corp. | 1,629 | 48 |
* | iRobot Corp. | 1,865 | 48 |
* | Papa John’s International Inc. | 1,278 | 47 |
Brunswick Corp. | 1,969 | 47 | |
* | True Religion Apparel Inc. | 1,763 | 46 |
* | Crocs Inc. | 2,242 | 44 |
Texas Roadhouse Inc. | |||
Class A | 2,465 | 41 | |
Finish Line Inc. Class A | 1,792 | 41 | |
* | Helen of Troy Ltd. | 1,230 | 40 |
* | Biglari Holdings Inc. | 97 | 40 |
* | Capella Education Co. | 998 | 39 |
PF Chang’s China Bistro Inc. | 887 | 34 | |
* | Blue Nile Inc. | 926 | 33 |
Cato Corp. Class A | 1,209 | 33 | |
* | Zumiez Inc. | 1,015 | 32 |
* | Liz Claiborne Inc. | 3,240 | 32 |
* | Lumber Liquidators | ||
Holdings Inc. | 1,331 | 29 | |
* | Rue21 Inc. | 1,074 | 29 |
Ryland Group Inc. | 1,470 | 27 | |
* | Shuffle Master Inc. | 1,630 | 24 |
Oxford Industries Inc. | 412 | 21 | |
* | Maidenform Brands Inc. | 863 | 18 |
* | Interval Leisure Group Inc. | 1,268 | 17 |
Blyth Inc. | 246 | 16 | |
* | Universal Technical Institute | ||
Inc. | 852 | 11 | |
* | Kirkland’s Inc. | 600 | 10 |
* | Multimedia Games Holding | ||
Co. Inc. | 614 | 6 | |
* | Midas Inc. | 370 | 3 |
2,643 | |||
Consumer Staples (5.0%) | |||
* | TreeHouse Foods Inc. | 2,475 | 143 |
Casey’s General Stores Inc. | 2,624 | 134 | |
* | United Natural Foods Inc. | 1,984 | 90 |
* | Hain Celestial Group Inc. | 1,915 | 78 |
Sanderson Farms Inc. | 1,299 | 64 | |
* | Darling International Inc. | 3,793 | 61 |
* | Boston Beer Co. Inc. Class A | 580 | 55 |
J&J Snack Foods Corp. | 995 | 50 | |
WD-40 Co. | 1,101 | 48 | |
B&G Foods Inc. Class A | 1,500 | 35 | |
Snyders-Lance Inc. | 1,377 | 31 | |
Diamond Foods Inc. | 918 | 22 | |
* | Medifast Inc. | 942 | 15 |
Calavo Growers Inc. | 517 | 14 | |
Inter Parfums Inc. | 555 | 9 | |
849 |
40
S&P Small-Cap 600 Growth Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Energy (4.3%) | |||
Lufkin Industries Inc. | 2,101 | 167 | |
* | SEACOR Holdings Inc. | 1,498 | 148 |
* | Gulfport Energy Corp. | 2,028 | 68 |
* | Approach Resources Inc. | 1,835 | 64 |
* | Contango Oil & Gas Co. | 879 | 56 |
* | Hornbeck Offshore Services | ||
Inc. | 1,197 | 49 | |
* | OYO Geospace Corp. | 438 | 48 |
* | GeoResources Inc. | 1,378 | 44 |
* | Petroleum Development Corp. | 652 | 21 |
* | ION Geophysical Corp. | 2,811 | 20 |
* | Pioneer Drilling Co. | 1,841 | 18 |
* | Cloud Peak Energy Inc. | 991 | 18 |
* | Basic Energy Services Inc. | 691 | 14 |
735 | |||
Financials (13.2%) | |||
ProAssurance Corp. | 2,106 | 185 | |
Mid-America Apartment | |||
Communities Inc. | 2,609 | 163 | |
Tanger Factory Outlet | |||
Centers | 3,526 | 103 | |
Kilroy Realty Corp. | 2,344 | 103 | |
* | Ezcorp Inc. Class A | 3,021 | 95 |
Cash America International | |||
Inc. | 2,020 | 94 | |
EastGroup Properties Inc. | 1,851 | 89 | |
* | First Cash Financial Services | ||
Inc. | 2,074 | 88 | |
Post Properties Inc. | 2,004 | 88 | |
Extra Space Storage Inc. | 3,189 | 84 | |
RLI Corp. | 1,150 | 81 | |
PS Business Parks Inc. | 1,281 | 80 | |
* | Stifel Financial Corp. | 2,111 | 79 |
Entertainment Properties | |||
Trust | 1,708 | 78 | |
* | World Acceptance Corp. | 1,005 | 64 |
* | Financial Engines Inc. | 2,698 | 62 |
UMB Financial Corp. | 1,382 | 58 | |
Sovran Self Storage Inc. | 1,038 | 49 | |
Healthcare Realty Trust Inc. | 2,200 | 45 | |
Infinity Property & Casualty | |||
Corp. | 816 | 45 | |
First Financial Bankshares Inc. | 1,238 | 42 | |
Acadia Realty Trust | 1,803 | 38 | |
* | Texas Capital Bancshares Inc. | 1,101 | 37 |
Colonial Properties Trust | 1,731 | 36 | |
LTC Properties Inc. | 1,119 | 35 | |
Community Bank System Inc. | 1,228 | 34 | |
Bank of the Ozarks Inc. | 1,129 | 33 | |
Oritani Financial Corp. | 2,323 | 30 | |
First Financial Bancorp | 1,794 | 29 | |
* | Virtus Investment Partners Inc. | 318 | 25 |
ViewPoint Financial Group | 1,585 | 24 |
Universal Health Realty | |||
Income Trust | 577 | 22 | |
Saul Centers Inc. | 553 | 21 | |
* | Navigators Group Inc. | 411 | 19 |
PacWest Bancorp | 770 | 17 | |
Tompkins Financial Corp. | 401 | 16 | |
Home Bancshares Inc. | 636 | 16 | |
City Holding Co. | 440 | 15 | |
Urstadt Biddle Properties Inc. | |||
Class A | 771 | 15 | |
* | eHealth Inc. | 963 | 14 |
Inland Real Estate Corp. | 1,617 | 14 | |
* | Hanmi Financial Corp. | 746 | 6 |
2,271 | |||
Health Care (16.2%) | |||
* | Salix Pharmaceuticals Ltd. | 4,077 | 201 |
* | Cubist Pharmaceuticals Inc. | 4,233 | 181 |
* | Questcor Pharmaceuticals | ||
Inc. | 4,324 | 168 | |
* | Viropharma Inc. | 4,863 | 156 |
Quality Systems Inc. | 2,719 | 117 | |
* | Haemonetics Corp. | 1,723 | 116 |
* | Centene Corp. | 2,328 | 114 |
* | Zoll Medical Corp. | 1,527 | 112 |
* | Magellan Health Services Inc. | 1,928 | 91 |
Chemed Corp. | 1,371 | 85 | |
* | Align Technology Inc. | 3,157 | 81 |
* | Medicines Co. | 3,661 | 78 |
* | MWI Veterinary Supply Inc. | 877 | 76 |
* | Air Methods Corp. | 780 | 70 |
* | Par Pharmaceutical Cos. Inc. | 1,833 | 68 |
* | Cyberonics Inc. | 1,715 | 64 |
West Pharmaceutical | |||
Services Inc. | 1,511 | 63 | |
* | Akorn Inc. | 4,610 | 58 |
* | Neogen Corp. | 1,612 | 56 |
* | PSS World Medical Inc. | 2,291 | 56 |
Analogic Corp. | 844 | 48 | |
Computer Programs | |||
& Systems Inc. | 764 | 46 | |
* | NuVasive Inc. | 2,915 | 46 |
* | Momenta Pharmaceuticals | ||
Inc. | 3,039 | 45 | |
* | PAREXEL International Corp. | 1,782 | 44 |
* | IPC The Hospitalist Co. Inc. | 1,135 | 41 |
* | Abaxis Inc. | 1,497 | 40 |
* | ICU Medical Inc. | 831 | 38 |
* | Amsurg Corp. Class A | 1,350 | 35 |
Landauer Inc. | 643 | 35 | |
* | Integra LifeSciences Holdings | ||
Corp. | 993 | 31 | |
Ensign Group Inc. | 1,123 | 31 | |
* | Medidata Solutions Inc. | 1,521 | 30 |
Meridian Bioscience Inc. | 1,633 | 29 | |
* | Hi-Tech Pharmacal Co. Inc. | 698 | 28 |
41
S&P Small-Cap 600 Growth Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Greatbatch Inc. | 1,099 | 27 |
* | Arqule Inc. | 3,681 | 26 |
* | Bio-Reference Labs Inc. | 1,064 | 21 |
* | Merit Medical Systems Inc. | 1,696 | 21 |
* | Corvel Corp. | 442 | 20 |
Cantel Medical Corp. | 910 | 18 | |
* | Emergent Biosolutions Inc. | 1,167 | 18 |
* | Omnicell Inc. | 919 | 14 |
* | eResearchTechnology Inc. | 1,406 | 9 |
Kensey Nash Corp. | 356 | 8 | |
* | SurModics Inc. | 342 | 5 |
* | Savient Pharmaceuticals Inc. | 2,363 | 5 |
* | Enzo Biochem Inc. | 953 | 2 |
2,772 | |||
Industrials (11.6%) | |||
* | Teledyne Technologies Inc. | 2,549 | 152 |
Toro Co. | 2,116 | 143 | |
Robbins & Myers Inc. | 2,279 | 111 | |
* | Old Dominion Freight Line Inc. | 2,327 | 101 |
* | Moog Inc. Class A | 2,028 | 89 |
* | II-VI Inc. | 3,762 | 88 |
* | Portfolio Recovery Associates | ||
Inc. | 1,180 | 82 | |
Forward Air Corp. | 1,969 | 66 | |
Franklin Electric Co. Inc. | 1,297 | 65 | |
Applied Industrial | |||
Technologies Inc. | 1,592 | 64 | |
* | Tetra Tech Inc. | 2,545 | 63 |
Healthcare Services Group | |||
Inc. | 2,947 | 57 | |
Lindsay Corp. | 874 | 57 | |
* | HUB Group Inc. Class A | 1,475 | 53 |
AO Smith Corp. | 1,153 | 52 | |
Cubic Corp. | 1,088 | 52 | |
* | Allegiant Travel Co. Class A | 1,040 | 52 |
Belden Inc. | 1,189 | 47 | |
Unifirst Corp. | 771 | 46 | |
American Science | |||
& Engineering Inc. | 617 | 45 | |
* | Exponent Inc. | 914 | 44 |
AZZ Inc. | 869 | 44 | |
Watts Water Technologies | |||
Inc. Class A | 1,033 | 41 | |
Simpson Manufacturing Co. | |||
Inc. | 1,231 | 37 | |
�� | Tennant Co. | 863 | 35 |
* | Aerovironment Inc. | 1,212 | 35 |
Kaman Corp. | 970 | 33 | |
Kaydon Corp. | 864 | 32 | |
Knight Transportation Inc. | 1,808 | 31 | |
National Presto Industries Inc. | 330 | 29 | |
Heartland Express Inc. | 1,708 | 25 | |
* | Encore Capital Group Inc. | 1,088 | 24 |
* | Dolan Co. | 2,070 | 19 |
* | Consolidated Graphics Inc. | 370 | 17 |
CIRCOR International Inc. | 490 | 16 | |
Cascade Corp. | 274 | 15 | |
AAON Inc. | 706 | 13 | |
Vicor Corp. | 701 | 6 | |
* | NCI Building Systems Inc. | 383 | 5 |
1,986 | |||
Information Technology (25.9%) | |||
* | Wright Express Corp. | 2,666 | 165 |
* | CommVault Systems Inc. | 3,001 | 155 |
* | Viasat Inc. | 2,913 | 134 |
* | Taleo Corp. Class A | 2,861 | 131 |
Cognex Corp. | 2,901 | 124 | |
* | Hittite Microwave Corp. | 1,924 | 110 |
* | CACI International Inc. | ||
Class A | 1,822 | 108 | |
* | Cirrus Logic Inc. | 4,407 | 104 |
* | Netgear Inc. | 2,590 | 97 |
* | Cymer Inc. | 2,108 | 97 |
j2 Global Inc. | 3,271 | 97 | |
MAXIMUS Inc. | 2,316 | 97 | |
Blackbaud Inc. | 2,971 | 94 | |
* | Sourcefire Inc. | 1,980 | 89 |
* | Microsemi Corp. | 4,252 | 89 |
* | Synaptics Inc. | 2,221 | 82 |
Littelfuse Inc. | 1,534 | 81 | |
* | OSI Systems Inc. | 1,355 | 80 |
* | FEI Co. | 1,788 | 80 |
* | Cabot Microelectronics Corp. | 1,556 | 78 |
* | MicroStrategy Inc. Class A | 557 | 75 |
* | JDA Software Group Inc. | 2,934 | 74 |
* | Veeco Instruments Inc. | 2,670 | 72 |
Power Integrations Inc. | 1,935 | 72 | |
* | GT Advanced Technologies | ||
Inc. | 8,253 | 71 | |
* | Liquidity Services Inc. | 1,601 | 69 |
MKS Instruments Inc. | 2,278 | 68 | |
* | Manhattan Associates Inc. | 1,427 | 66 |
* | FARO Technologies Inc. | 1,147 | 64 |
* | Tyler Technologies Inc. | 1,680 | 63 |
* | Synchronoss Technologies | ||
Inc. | 1,842 | 62 | |
* | Kulicke & Soffa Industries | ||
Inc. | 5,013 | 56 | |
* | LogMeIn Inc. | 1,459 | 54 |
MTS Systems Corp. | 1,082 | 53 | |
* | Volterra Semiconductor Corp. | 1,695 | 52 |
* | Netscout Systems Inc. | 2,376 | 50 |
Ebix Inc. | 2,155 | 50 | |
* | comScore Inc. | 2,278 | 50 |
* | Cardtronics Inc. | 1,875 | 50 |
* | LivePerson Inc. | 3,273 | 49 |
* | Websense Inc. | 2,677 | 48 |
* | Progress Software Corp. | 2,076 | 48 |
Heartland Payment Systems | |||
Inc. | 1,691 | 48 |
42
S&P Small-Cap 600 Growth Index Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Bottomline Technologies Inc. | 1,615 | 45 |
* | DealerTrack Holdings Inc. | 1,574 | 44 |
* | TriQuint Semiconductor Inc. | 6,664 | 43 |
* | Ceva Inc. | 1,623 | 40 |
* | Diodes Inc. | 1,582 | 39 |
* | Tessera Technologies Inc. | 2,310 | 39 |
* | Entropic Communications Inc. | 5,938 | 37 |
Brooks Automation Inc. | 3,009 | 36 | |
* | Stratasys Inc. | 970 | 36 |
* | Ultratech Inc. | 1,193 | 32 |
* | Forrester Research Inc. | 1,007 | 32 |
* | DTS Inc. | 1,142 | 32 |
* | Higher One Holdings Inc. | 2,151 | 32 |
* | InfoSpace Inc. | 2,697 | 31 |
OPNET | 1,025 | 29 | |
* | Interactive Intelligence Group | ||
Inc. | 980 | 27 | |
* | Rogers Corp. | 715 | 26 |
* | Monolithic Power Systems | ||
Inc. | 1,330 | 25 | |
Micrel Inc. | 2,164 | 23 | |
Badger Meter Inc. | 709 | 23 | |
* | Measurement Specialties Inc. | 694 | 23 |
* | CSG Systems International | ||
Inc. | 1,403 | 22 | |
* | Stamps.com Inc. | 862 | 22 |
* | Rofin-Sinar Technologies Inc. | 944 | 22 |
* | Exar Corp. | 3,093 | 22 |
* | ATMI Inc. | 962 | 21 |
* | Standard Microsystems Corp. | 726 | 19 |
Park Electrochemical Corp. | 619 | 18 | |
* | Monotype Imaging Holdings | ||
Inc. | 1,245 | 17 | |
* | iGate Corp. | 958 | 17 |
* | Mercury Computer Systems | ||
Inc. | 1,150 | 17 | |
* | Nanometrics Inc. | 807 | 14 |
* | Oplink Communications Inc. | 839 | 14 |
* | STR Holdings Inc. | 1,809 | 13 |
EPIQ Systems Inc. | 1,006 | 12 | |
* | Rubicon Technology Inc. | 1,170 | 10 |
* | TeleTech Holdings Inc. | 629 | 10 |
* | Virtusa Corp. | 594 | 9 |
* | Kopin Corp. | 2,147 | 8 |
* | Supertex Inc. | 323 | 6 |
4,443 |
Materials (3.9%) | |||
Schweitzer-Mauduit | |||
International Inc. | 1,115 | 78 | |
Buckeye Technologies Inc. | 1,791 | 61 | |
Balchem Corp. | 1,998 | 54 | |
Deltic Timber Corp. | 747 | 49 | |
HB Fuller Co. | 1,556 | 47 | |
* | KapStone Paper and | ||
Packaging Corp. | 1,867 | 37 | |
Stepan Co. | 406 | 35 | |
* | Kraton Performance Polymers | ||
Inc. | 1,250 | 35 | |
Eagle Materials Inc. | 1,105 | 35 | |
Haynes International Inc. | 530 | 33 | |
* | Clearwater Paper Corp. | 933 | 32 |
AMCOL International Corp. | 1,019 | 30 | |
Koppers Holdings Inc. | 683 | 26 | |
* | LSB Industries Inc. | 639 | 26 |
* | Calgon Carbon Corp. | 1,671 | 25 |
Hawkins Inc. | 612 | 24 | |
Quaker Chemical Corp. | 524 | 22 | |
American Vanguard Corp. | 595 | 10 | |
* | Headwaters Inc. | 1,683 | 5 |
664 | |||
Telecommunication Services (0.3%) | |||
Atlantic Tele-Network Inc. | 635 | 25 | |
* | Neutral Tandem Inc. | 1,545 | 17 |
* | General Communication Inc. | ||
Class A | 1,033 | 11 | |
53 | |||
Utilities (4.2%) | |||
South Jersey Industries Inc. | 2,079 | 108 | |
Piedmont Natural Gas Co. Inc. | 2,290 | 74 | |
New Jersey Resources Corp. | 1,544 | 72 | |
Southwest Gas Corp. | 1,456 | 62 | |
El Paso Electric Co. | 1,721 | 56 | |
Unisource Energy Corp. | 1,528 | 56 | |
Northwest Natural Gas Co. | 1,087 | 50 | |
American States Water Co. | 1,293 | 48 | |
UIL Holdings Corp. | 1,322 | 47 | |
Allete Inc. | 1,118 | 47 | |
NorthWestern Corp. | 1,300 | 45 | |
CH Energy Group Inc. | 621 | 41 | |
Central Vermont Public | |||
Service Corp. | 449 | 16 | |
722 | |||
Total Common Stocks | |||
(Cost $15,225) | 17,138 |
43
S&P Small-Cap 600 Growth Index Fund
Market | ||
Value | ||
Shares | ($000) | |
Temporary Cash Investment (0.0%) | ||
Money Market Fund (0.0%) | ||
1 Vanguard Market Liquidity | ||
Fund, 0.111% (Cost $6) | 5,872 | 6 |
Total Investments (100.0%) | ||
(Cost $15,231) | 17,144 | |
Other Assets and Liabilities (0.0%) | ||
Other Assets | 16 | |
Liabilities | (18) | |
(2) | ||
ETF Shares—Net Assets (100%) | ||
Applicable to 250,000 outstanding | ||
$.001 par value shares of beneficial | ||
interest (unlimited authorization) | 17,142 | |
Net Asset Value Per Share— | ||
ETF Shares | $68.57 |
At February 29, 2012, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 16,173 |
Undistributed Net Investment Income | 2 |
Accumulated Net Realized Losses | (946) |
Unrealized Appreciation (Depreciation) | 1,913 |
Net Assets | 17,142 |
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.
44
S&P Small-Cap 600 Growth Index Fund
Statement of Operations
Six Months Ended | |
February 29, 2012 | |
($000) | |
Investment Income | |
Income | |
Dividends | 71 |
Interest1 | 1 |
Total Income | 72 |
Expenses | |
The Vanguard Group—Note B | |
Management and Administrative | 13 |
Custodian Fees | 4 |
Shareholders’ Reports | 2 |
Total Expenses | 19 |
Net Investment Income | 53 |
Realized Net Gain (Loss) on Investment Securities Sold | 1,723 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 439 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,215 |
1 Interest income from an affiliated company of the fund was $1,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
45
S&P Small-Cap 600 Growth Index Fund
Statement of Changes in Net Assets
September 7, | ||
Six Months Ended | 20101 to | |
February 29, | August 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 53 | 97 |
Realized Net Gain (Loss) | 1,723 | 104 |
Change in Unrealized Appreciation (Depreciation) | 439 | 1,474 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,215 | 1,675 |
Distributions | ||
Net Investment Income | ||
Institutional Shares | — | — |
ETF Shares | (101) | (47) |
Realized Capital Gain | ||
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (101) | (47) |
Capital Share Transactions | ||
Institutional Shares | — | (5) |
ETF Shares | (12,504) | 25,909 |
Net Increase (Decrease) from Capital Share Transactions | (12,504) | 25,904 |
Total Increase (Decrease) | (10,390) | 27,532 |
Net Assets | ||
Beginning of Period | 27,532 | — |
End of Period2 | 17,142 | 27,532 |
1 Inception. | ||
2 Net Assets—End of Period includes undistributed net investment income of $2,000 and $50,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
46
S&P Small-Cap 600 Growth Index Fund
Financial Highlights
ETF Shares | ||
Six Months | Sept. 7, | |
Ended | 20101 to | |
February 29, | Aug. 31, | |
For a Share Outstanding Throughout Each Period | 2012 | 2011 |
Net Asset Value, Beginning of Period | $61.18 | $49.82 |
Investment Operations | ||
Net Investment Income | .232 | .422 |
Net Realized and Unrealized Gain (Loss) on Investments | 7.495 | 11.248 |
Total from Investment Operations | 7.727 | 11.670 |
Distributions | ||
Dividends from Net Investment Income | (.337) | (.310) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (.337) | (.310) |
Net Asset Value, End of Period | $68.57 | $61.18 |
Total Return | 12.67% | 23.41% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $17 | $28 |
Ratio of Total Expenses to Average Net Assets | 0.20% | 0.20%2 |
Ratio of Net Investment Income to Average Net Assets | 0.55% | 0.78%2 |
Portfolio Turnover Rate3 | 67% | 106% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
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 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 February 29, 2012, there were no investors in the Institutional share class. 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 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 its open federal income tax year ended August 31, 2011, and for the period ended February 29, 2012, 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 February 29, 2012, 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.
48
S&P Small-Cap 600 Growth 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 February 29, 2012, 100% of the market value of the fund’s investments 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 six months ended February 29, 2012, the fund realized $2,080,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. 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. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2012.
At February 29, 2012, the cost of investment securities for tax purposes was $15,231,000. Net unrealized appreciation of investment securities for tax purposes was $1,913,000, consisting of unrealized gains of $2,270,000 on securities that had risen in value since their purchase and $357,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 29, 2012, the fund purchased $10,359,000 of investment securities and sold $22,890,000 of investment securities, other than temporary cash investments.
49
S&P Small-Cap 600 Growth Index Fund
F. Capital share transactions for each class of shares were:
Six Months Ended | Inception1 to | |||
February 29, 2012 | August 31, 2011 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($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 | 3,108 | 50 | 28,955 | 500 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (15,612) | (250) | (3,046) | (50) |
Net Increase (Decrease)—ETF Shares | (12,504) | (200) | 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 February 29, 2012, there were no investors in the Institutional share class.
G. In preparing the financial statements as of February 29, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
50
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.
51
Six Months Ended February 29, 2012 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
8/31/2011 | 2/29/2012 | Period | |
Based on Actual Fund Return | |||
S&P Small-Cap 600 Index Fund | |||
Institutional Shares | $1,000.00 | $1,143.12 | $0.43 |
ETF Shares | 1,000.00 | 1,142.65 | 0.80 |
S&P Small-Cap 600 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,161.19 | $1.07 |
S&P Small-Cap 600 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,126.68 | $1.06 |
Based on Hypothetical 5% Yearly Return | |||
S&P Small-Cap 600 Index Fund | |||
Institutional Shares | $1,000.00 | $1,024.47 | $0.40 |
ETF Shares | 1,000.00 | 1,024.12 | 0.75 |
S&P Small-Cap 600 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,023.87 | $1.01 |
S&P Small-Cap 600 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,023.87 | $1.01 |
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, 0.08% 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. 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.
52
Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Dividend Yield. Dividend income earned by stocks, expressed as a percentage of the aggregate market value (or of net asset value, for a fund). The yield is determined by dividing the amount of the annual dividends by the aggregate value (or net asset value) at the end of the period. For a fund, the dividend yield is based solely on stock holdings and does not include any income produced by other investments.
Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund.
Equity Exposure. A measure that reflects a fund’s investments in stocks and stock futures. Any holdings in short-term reserves are excluded.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Foreign Holdings. The percentage of a fund represented by securities or depositary receipts of companies based outside the United States.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it.
Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds.
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.
53
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.
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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 179 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 Haas Co. |
(chemicals); Director of Tyco International, Ltd. | |
F. William McNabb III | (diversified manufacturing and services), Hewlett- |
Born 1957. Trustee Since July 2009. Chairman of the | Packard Co. (electronic computer manufacturing), |
Board. Principal Occupation(s) During the Past Five | and Delphi Automotive LLP (automotive components); |
Years: Chairman of the Board of The Vanguard Group, | Senior Advisor at New Mountain Capital; Trustee of |
Inc., and of each of the investment companies served | The Conference Board. |
by The Vanguard Group, since January 2010; Director | |
of The Vanguard Group since 2008; Chief Executive | Amy Gutmann |
Officer and President of The Vanguard Group and of | Born 1949. Trustee Since June 2006. Principal |
each of the investment companies served by The | Occupation(s) During the Past Five Years: President |
Vanguard Group since 2008; Director of Vanguard | of the University of Pennsylvania; Christopher H. |
Marketing Corporation; Managing Director of The | Browne Distinguished Professor of Political Science |
Vanguard Group (1995–2008). | in the School of Arts and Sciences with secondary |
appointments at the Annenberg School for Commu- | |
nication and the Graduate School of Education | |
Independent Trustees | of the University of Pennsylvania; Director of |
Carnegie Corporation of New York, Schuylkill River | |
Emerson U. Fullwood | Development Corporation, and Greater Philadelphia |
Born 1948. Trustee Since January 2008. Principal | Chamber of Commerce; Trustee of the National |
Occupation(s) During the Past Five Years: Executive | Constitution Center; Chair of the Presidential |
Chief Staff and Marketing Officer for North America | Commission for the Study of Bioethical Issues. |
and Corporate Vice President (retired 2008) of Xerox | |
Corporation (document management products and | JoAnn Heffernan Heisen |
services); Executive in Residence and 2010 | Born 1950. Trustee Since July 1998. Principal |
Distinguished Minett Professor at the Rochester | Occupation(s) During the Past Five Years: Corporate |
Institute of Technology; Director of SPX Corporation | Vice President and Chief Global Diversity Officer |
(multi-industry manufacturing), the United Way of | (retired 2008) and Member of the Executive |
Rochester, Amerigroup Corporation (managed health | Committee (1997–2008) of Johnson & Johnson |
care), the University of Rochester Medical Center, | (pharmaceuticals/medical devices/consumer |
Monroe Community College Foundation, and North | products); Director of Skytop Lodge Corporation |
Carolina A&T University. | (hotels), the University Medical Center at Princeton, |
the Robert Wood Johnson Foundation, and the Center | |
Rajiv L. Gupta | for Talent Innovation; Member of the Advisory Board |
Born 1945. Trustee Since December 2001.2 | of the Maxwell School of Citizenship and Public Affairs |
Principal Occupation(s) During the Past Five Years: | at Syracuse University. |
Chairman and Chief Executive Officer (retired 2009) |
F. Joseph Loughrey | Group since 2010; Assistant Controller of each of | |
Born 1949. Trustee Since October 2009. Principal | the investment companies served by The Vanguard | |
Occupation(s) During the Past Five Years: President | Group (2001–2010). | |
and Chief Operating Officer (retired 2009) and Vice | ||
Chairman of the Board (2008–2009) of Cummins Inc. | Thomas J. Higgins | |
(industrial machinery); Director of SKF AB (industrial | Born 1957. Chief Financial Officer Since September | |
machinery), Hillenbrand, Inc. (specialized consumer | 2008. Principal Occupation(s) During the Past Five | |
services), the Lumina Foundation for Education, and | Years: Principal of The Vanguard Group, Inc.; Chief | |
Oxfam America; Chairman of the Advisory Council | Financial Officer of each of the investment companies | |
for the College of Arts and Letters and Member | served by The Vanguard Group since 2008; Treasurer | |
of the Advisory Board to the Kellogg Institute for | of each of the investment companies served by The | |
International Studies at the University of Notre Dame. | Vanguard Group (1998–2008). | |
André F. Perold | Kathryn J. Hyatt | |
Born 1952. Trustee Since December 2004. Principal | Born 1955. Treasurer Since November 2008. Principal | |
Occupation(s) During the Past Five Years: George | Occupation(s) During the Past Five Years: Principal | |
Gund Professor of Finance and Banking at the Harvard | of The Vanguard Group, Inc.; Treasurer of each of | |
Business School (retired 2011); Chief Investment | the investment companies served by The Vanguard | |
Officer and Managing Partner of HighVista Strategies | Group since 2008; Assistant Treasurer of each of the | |
LLC (private investment firm); Director of Rand | investment companies served by The Vanguard Group | |
Merchant Bank; Overseer of the Museum of Fine | (1988–2008). | |
Arts Boston. | ||
Heidi Stam | ||
Alfred M. Rankin, Jr. | Born 1956. Secretary Since July 2005. Principal | |
Born 1941. Trustee Since January 1993. Principal | Occupation(s) During the Past Five Years: Managing | |
Occupation(s) During the Past Five Years: Chairman, | Director of The Vanguard Group, Inc., since 2006; | |
President, and Chief Executive Officer of NACCO | General Counsel of The Vanguard Group since 2005; | |
Industries, Inc. (forklift trucks/housewares/lignite); | Secretary of The Vanguard Group and of each of the | |
Director of Goodrich Corporation (industrial products/ | investment companies served by The Vanguard Group | |
aircraft systems and services) and the National | since 2005; Director and Senior Vice President of | |
Association of Manufacturers; Chairman of the Board | Vanguard Marketing Corporation since 2005; | |
of the Federal Reserve Bank of Cleveland and of | Principal of The Vanguard Group (1997–2006). | |
University Hospitals of Cleveland; Advisory Chairman | ||
of the Board of The Cleveland Museum of Art. | ||
Vanguard Senior Management Team | ||
Peter F. Volanakis | Mortimer J. Buckley | Michael S. Miller |
Born 1955. Trustee Since July 2009. Principal | Kathleen C. Gubanich | James M. Norris |
Occupation(s) During the Past Five Years: President | Paul A. Heller | Glenn W. Reed |
and Chief Operating Officer (retired 2010) of Corning | Martha G. King | George U. Sauter |
Incorporated (communications equipment); Director of | Chris D. McIsaac | |
Corning Incorporated (2000-2010) and Dow Corning | ||
(2001–2010); Director of SPX Corporation (multi- | ||
industry manufacturing); Overseer of the Amos Tuck | ||
School of Business Administration at Dartmouth | Chairman Emeritus and Senior Advisor | |
College; Advisor to the Norris Cotton Cancer Center. | John J. Brennan | |
Chairman, 1996–2009 | ||
Chief Executive Officer and President, 1996–2008 | ||
Executive Officers | ||
Glenn Booraem | ||
Born 1967. Controller Since July 2010. Principal | Founder | |
Occupation(s) During the Past Five Years: Principal | John C. Bogle | |
of The Vanguard Group, Inc.; Controller of each of | Chairman and Chief Executive Officer, 1974–1996 | |
the investment companies served by The Vanguard |
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the
Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard
State Tax-Exempt Funds.
P.O. Box 2600 | |
Valley Forge, PA 19482-2600 | |
Connect with Vanguard® > vanguard.com | |
Fund Information > 800-662-7447 | Standard & Poor’s®, S&P®, and S&P SmallCap 600® |
Direct Investor Account Services > 800-662-2739 | are registered trademarks of Standard & Poor’s |
Financial Services LLC (”S&P”) and have been licensed | |
Institutional Investor Services > 800-523-1036 | for use by The Vanguard Group, Inc. The Vanguard |
Text Telephone for People | mutual funds and ETFs are not sponsored, endorsed, |
With Hearing Impairment > 800-749-7273 | sold, or promoted by S&P or its Affiliates, and S&P and |
its Affiliates make no representation, warranty, or | |
This material may be used in conjunction | condition regarding the advisability of buying, selling, |
with the offering of shares of any Vanguard | or holding units/shares in the funds. |
fund only if preceded or accompanied by | |
the fund’s current prospectus. | |
All comparative mutual fund data are from Lipper Inc. or | |
Morningstar, Inc., unless otherwise noted. | |
You can obtain a free copy of Vanguard’s proxy voting | |
guidelines by visiting vanguard.com/proxyreporting or by | |
calling Vanguard at 800-662-2739. The guidelines are | |
also available from the SEC’s website, sec.gov. In | |
addition, you may obtain a free report on how your fund | |
voted the proxies for securities it owned during the 12 | |
months ended June 30. To get the report, visit either | |
vanguard.com/proxyreporting or sec.gov. | |
You can review and copy information about your fund at | |
the SEC’s Public Reference Room in Washington, D.C. To | |
find out more about this public service, call the SEC at | |
202-551-8090. Information about your fund is also | |
available on the SEC’s website, and you can receive | |
copies of this information, for a fee, by sending a | |
request in either of two ways: via e-mail addressed to | |
publicinfo@sec.gov or via regular mail addressed to the | |
Public Reference Section, Securities and Exchange | |
Commission, Washington, DC 20549-1520. | |
© 2012 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q18452 042012 |
Item 2:
Not Applicable.
Item 3:
Not Applicable.
Item 4: Principal Accountant Fees and Services.
Not Applicable.
Item 5: Audit Committee of Listed Registrants.
Not Applicable.
Item 6: Investments.
Not Applicable.
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management
Investment Companies.
Not Applicable.
Item 8: Portfolio Managers of Closed-End Management Investment Companies.
Not Applicable.
Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and
Affiliated Purchasers.
Not Applicable.
Item 10: Submission of Matters to a Vote of Security Holders.
Not Applicable.
Item 11: Controls and Procedures.
(a) Disclosure Controls and Procedures. The Principal Executive and Financial
Officers concluded that the Registrant's Disclosure Controls and Procedures are effective
based on their evaluation of the Disclosure Controls and Procedures as of a date within 90
days of the filing date of this report.
(b) Internal Control Over Financial Reporting. There were no significant changes in
Registrant’s Internal Control Over Financial Reporting or in other factors that could
significantly affect this control subsequent to the date of the evaluation, including any
corrective actions with regard to significant deficiencies and material weaknesses.
Item 12: Exhibits.
(a) Certifications.
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment
Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by
the undersigned, thereunto duly authorized.
VANGUARD ADMIRAL FUNDS | |
BY: | /s/ F. WILLIAM MCNABB III* |
F. WILLIAM MCNABB III | |
CHIEF EXECUTIVE OFFICER | |
Date: April 20, 2012 |
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: April 20, 2012 | |
VANGUARD ADMIRAL FUNDS | |
BY: | /s/ THOMAS J. HIGGINS* |
THOMAS J. HIGGINS | |
CHIEF FINANCIAL OFFICER | |
Date: April 20, 2012 |
* By: /s/ Heidi Stam
Heidi Stam, pursuant to a Power of Attorney filed on March 27, 2012 see file Number
2-11444, Incorporated by Reference.