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: 811-07043
Name of Registrant: Vanguard Admiral Funds
Address of Registrant:
P.O. Box 2600
Valley Forge, PA 19482
Name and address of agent for service:
Heidi Stam, Esquire
P.O. Box 876
Valley Forge, PA 19482
Registrant’s telephone number, including area code: (610) 669-1000
Date of fiscal year end: August 31
Date of reporting period: September 1, 2011 – August 31, 2012
Item 1: Reports to Shareholders
Annual Report | August 31, 2012 | |
Vanguard Money Market Funds | |
Vanguard Prime Money Market Fund | |
Vanguard Federal Money Market Fund | |
Vanguard Admiral™ Treasury Money Market Fund |
> For the 12 months ended August 31, 2012, returns for the Vanguard Money Market Funds remained near 0%.
> The results can largely be attributed to the Federal Reserve’s monetary policy, which has kept short-term interest rates anchored near zero for more than three years.
> While yields are disappointingly low, our money market funds have continued to serve as high-quality, liquid investments for investors with short-term savings goals.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
Advisor’s Report. | 8 |
Prime Money Market Fund. | 10 |
Federal Money Market Fund. | 34 |
Admiral Treasury Money Market Fund. | 45 |
About Your Fund’s Expenses. | 57 |
Trustees Approve Advisory Arrangement. | 59 |
Glossary. | 60 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice.
Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: Our cover photograph shows rigging on the HMSSurprise, a replica of an 18th-century Royal Navy frigate. It was featured in a movie based on Patrick O’Brian’s sea novels, set amid the Napoleonic wars. Vanguard was named for another ship of that era, the HMS Vanguard, which was the flagship of British Admiral Horatio Nelson at the Battle of the Nile.
Your Fund’s Total Returns | ||
Fiscal Year Ended August 31, 2012 | ||
7-Day SEC | Total | |
Yield | Returns | |
Vanguard Prime Money Market Fund | ||
Investor Shares | 0.04% | 0.04% |
Institutional Shares | 0.11 | 0.11 |
Money Market Funds Average | 0.00 | |
Money Market Funds Average: Derived from data provided by Lipper Inc. | ||
Vanguard Federal Money Market Fund | 0.01% | 0.01% |
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 | 0.02% | 0.01% |
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,
The past 12 months were marked by familiar concerns—the pace of the recovery in the United States, the debt crisis in Europe, and a slowdown in growth in emerging markets. And the response from the Federal Reserve and a number of central banks abroad was familiar as well—further monetary policy action to lower borrowing costs for households and corporations.
In this environment of cheap money, returns for the Vanguard Money Market Funds hovered near zero. The Prime Money Market Fund returned 0.04% for Investor Shares, while Institutional Shares, with their lower expense ratio, fared slightly better at 0.11%. Both the Federal and Admiral Treasury Money Market Funds returned 0.01%. Although it’s of little comfort, the funds managed to do better than the average return of 0.00% for their peer groups.
As of August 31, 2012, the Prime Money Market Fund’s 7-day SEC yield had inched up to 0.04% from 0.03% a year earlier for Investor Shares and stood unchanged at 0.11% for Institutional Shares. Yields of the Federal and Admiral Treasury Money Market Funds were 0.01% and 0.02%, respectively, compared with 0.01% for both funds a year earlier. (These two funds have been closed to new investors since 2009.) All three money market funds maintained a net asset value of $1 per share, as is expected but not guaranteed.
2
Near the end of the period under review, the Securities and Exchange Commission announced that it would not move ahead at that time with proposed regulatory changes for money market funds. These changes would have gone beyond the significant regulatory improvements the SEC adopted in 2010. Regulators continue to evaluate money market funds, however, and debate about next steps continues. While the regulatory environment may be in flux, that has not affected the high standards for credit quality and liquidity that we have always applied to Vanguard money market funds as we seek to provide a stable and liquid cash-management tool for investors.
Bonds continued their march, as yields dropped to record lows
Bonds produced solid returns for the period; the broad U.S. taxable market advanced nearly 6% for the 12 months. Long-term U.S. Treasuries were particularly strong as they benefited from the Federal Reserve’s bond-buying program, known as Operation Twist.
As bond prices rose, the yield of the 10-year U.S. Treasury note fell to a record low in July, closing below 1.5%. (Bond yields and prices move in opposite directions.) Bondholders have enjoyed years of strong returns. But as Tim Buckley, our incoming chief investment
Market Barometer | |||
Average Annual Total Returns | |||
Periods Ended August 31, 2012 | |||
One | Three | Five | |
Year | Years | Years | |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable | |||
market) | 5.78% | 6.51% | 6.66% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 8.78 | 7.02 | 6.24 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.05 | 0.08 | 0.71 |
Stocks | |||
Russell 1000 Index (Large-caps) | 17.33% | 13.82% | 1.47% |
Russell 2000 Index (Small-caps) | 13.40 | 13.89 | 1.90 |
Dow Jones U.S. Total Stock Market Index | 16.74 | 13.87 | 1.73 |
MSCI All Country World Index ex USA (International) | -1.92 | 3.64 | -3.59 |
CPI | |||
Consumer Price Index | 1.69% | 2.20% | 2.07% |
3
officer, has noted, investors shouldn’t be surprised if future results are more modest. As yields tumble, the scope for further declines—and price increases—diminishes.
As it has since December 2008, the Federal Reserve Board held its target for the shortest-term interest rates between 0% and 0.25%, keeping a tight rein on the returns from money market funds and savings accounts.
U.S. stocks shook off concerns to produce double-digit returns
U.S. stocks generated robust gains, returning nearly 17%. They seemed to get a lift as the U.S. economy continued to grow, albeit at a modest rate, and avoided the “double-dip” recession that some investors had feared.
Though European stocks posted strong returns in local-currency terms, this performance was much more modest when converted into U.S. dollars—a result of the dollar’s strengthening against the euro during the 12 months. Signs of slowing economic growth restrained returns for emerging markets and the developed markets of the Pacific region.
Questions about the finances of European governments and banks continued to preoccupy investors. Although the situation in Europe is very fluid, Vanguard
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 | 0.20 | — | 0.19 |
Admiral Treasury Money Market Fund | 0.12 | — | 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 fiscal year ended August 31, 2012, the funds’ expense ratios were: for the Prime Money Market Fund, 0.16% for Investor Shares and 0.09% for Institutional Shares; for the Federal Money Market Fund, 0.12%; for the Admiral Treasury Money Market Fund, 0.05%. The expense ratios for the Federal Money Market Fund and the Admiral Treasury Money Market Fund reflect a temporary reduction in operating expenses (described in Note B of the Notes to Financial Statements). Before the reduction, the expense ratios were: for the Federal Money Market Fund, 0.16%; for the Admiral Treasury Money Market Fund, 0.10%.
Peer groups: For the Prime Money Market Fund, Money Market Funds; for the Federal Money Market Fund, Government Money Market Funds; and for the Admiral Treasury Money Market Fund, U.S. Treasury Money Market Funds.
4
economists believe the most likely scenario is that the Eurozone will “muddle through” for several years, with occasional spikes in market volatility, as fiscal tightening continues in the face of weak economic growth.
Monetary policy keeping a lid on money market returns
Signs that global growth was slowing over the past 12 months spurred central banks around the world into action. While China, Brazil, and the European Central Bank cut their interest rates, the Federal Reserve had little room to maneuver given that it has kept the federal funds rate at a target range of 0.00%–0.25% since 2008. However, the Fed announced in January that it was extending the period through which it expects interest rates to remain “exceptionally low” from mid-2013 to late 2014. (It pushed the date out even further—to mid-2015—just after the close of the period under review.) And in June, citing weak economic data as well as “significant downside risks” in global financial markets, the Fed lowered its growth forecast for the U.S. economy and announced it would extend its Operation Twist program until the end of 2012. Through the program, which began in September 2011 and was originally scheduled to end in June, the Fed sells shorter-term Treasuries and buys longer-term ones to drive down longer-term financing costs.
Operation Twist, along with sustained demand for longer-term Treasuries as a safe haven in turbulent financial markets,
Total Returns
Ten Years Ended August 31, 2012
Average | |
Annual Return | |
Prime Money Market Fund Investor Shares | 1.88% |
Money Market Funds Average | 1.45 |
Money Market Funds Average: Derived from data provided by Lipper Inc. | |
Federal Money Market Fund | 1.81% |
Government Money Market Funds Average | 1.42 |
Government Money Market Funds Average: Derived from data provided by Lipper Inc. | |
Admiral Treasury Money Market Fund | 1.73% |
iMoneyNet Money Fund Report’s 100% Treasury Funds Average | 1.27 |
iMoneyNet Money Fund Report’s 100% Treasury Funds Average: Derived from data provided by iMoneyNet, Inc. |
Investment returns will fluctuate. All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the funds. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although a money market fund seeks to preserve the value of your investment at $1 per share, it is possible to lose money by investing in such a fund.
5
contributed to a flattening of the yield curve during the 12-month period: Yields of Treasuries with maturities of less than 3 years rose slightly, while yields of securities with longer maturities declined (the yield of the 3-month T-bill, for example, rose from 0.01% to 0.09%, while the yield of the 10-year Treasury note fell from 2.22% to 1.56%).
With yields low across all money market instruments, returns for all three Vanguard funds hovered near zero. That said, the funds’ advisor, Vanguard (through its Fixed Income Group), continued to seek as much income as possible while maintaining high credit-quality standards.
The Prime Money Market Fund had exposure to the debt of foreign banks in the form of commercial paper (a type of unsecured loan) and dollar-denominated certificates of deposit. Because of the ongoing financial troubles in Europe, the advisor had eliminated all of the fund’s direct exposure to European banks by the end of 2011 while increasing its exposure to Australian and Canadian banks of higher credit quality. Altogether, holdings of foreign banks stood at around 19% of the fund’s assets at the end of the 12-month period.
Changes in Yields | ||
7-Day SEC Yield | ||
August 31, | August 31, | |
2012 | 2011 | |
Prime Money Market Fund | ||
Investor Shares | 0.04% | 0.03% |
Institutional Shares | 0.11 | 0.11 |
Federal Money Market Fund | 0.01 | 0.01 |
Admiral Treasury Money Market Fund | 0.02 | 0.01 |
6
The Prime Money Market Fund also had limited exposure to corporate debt as well as to repurchase agreements, which represent very short-term loans of government securities.
Looking at a decade of returns paints a brighter picture
Short-term interest rates have not always been as low as they are now. Despite near-zero returns for the past several years, the Prime Money Market Fund generated an average annualized return for the past ten years of 1.88% for Investor Shares and 2.04% for Institutional Shares. The Federal and Admiral Treasury Money Market Funds returned 1.81% and 1.73%, respectively, for the same period. On a comparative basis, all three funds performed well, outpacing the average returns of their peer-fund groups.
Why have money market funds in your portfolio?
We believe that every asset in your portfolio should be there for a reason. With yields from money market funds so low, some investors might be wondering if their money wouldn’t be better off elsewhere. But if you have a short-term savings goal, holding a money market fund in your portfolio can still make sense. Like the yields on other savings vehicles, the yields of the Vanguard Money Market Funds have been disappointing. The funds have nevertheless succeeded in providing savers with a stable, highly liquid place to hold cash for shorter-term needs. These funds invest in high-quality, short-term instruments with the aim of preserving your capital in both stable financial markets and in periods of uncertainty. And they are designed to ensure that your capital is readily available should you need to access it.
But not all money market funds are created equal. Our in-house credit analysis has allowed us to avoid some of the recent potholes—in the Prime Money Market Fund, for example, we eliminated direct exposure to French, Italian, and Spanish banks back in December 2010. And preserving liquidity is a central goal, so in periods of market volatility, the advisor will often tilt the Prime Money Market Fund’s allocation toward U.S. Treasury securities, as it did during the financial crisis.
For further details on how our money market funds are managed and what role they can play in a portfolio, we invite you to consult a recent Vanguard commentary on that topic, The Buck Stops Here: Vanguard Money Market Funds, available at vanguard.com/research.
As always, thank you for your confidence in Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
September 14, 2012
7
Advisor’s Report
With short-term interest rates anchored near zero, returns for the three Vanguard Money Market Funds for the 12 months ended August 31, 2012, ranged from 0.01% for the Federal and Admiral Treasury Money Market Funds to 0.11% for Institutional Shares of the Prime Money Market Fund.
During the period, the weak labor market and strains in global financial markets prompted further monetary action from the Federal Reserve. In September 2011, it announced “Operation Twist,” which involves selling short-term U.S. Treasuries and reinvesting the proceeds in longer-dated Treasuries with the aim of driving down financing costs for businesses and consumers. And to aid the mortgage market in particular, the Fed began reinvesting maturing positions in agency debt and agency mortgage-backed securities (MBS) in additional agency MBS. In June 2012, it announced that Operation Twist would continue through the end of the year and that the federal funds target rate was likely to remain extremely low through 2014 rather than through mid-2013, as it had previously indicated (a timetable it extended even further in September).
Toward the end of the period, the Securities and Exchange Commission announced that it would not be moving forward for the time being with a number of regulatory changes for money market funds beyond those adopted in 2010.
At this time, policymakers and other regulatory bodies continue to debate whether additional changes might be called for.
Portfolio adjustments
Given the uncertainties in the financial markets and our conservative approach to investing, shifts in the funds’ asset mix during the period were generally not that significant, as they reflected a search for relative value, but only among very high-quality assets. For example, we favored the higher yields of agency securities compared with Treasuries at the beginning of the period, but as the difference in their yields narrowed, we added Treasuries for their liquidity.
Similarly, we sought out investment opportunities among foreign banks (in the form of certificates of deposit and commercial paper), but limited our holdings to high-quality Canadian and Australian financial institutions while eliminating all exposure to European banks.
More than a dozen global banks, including five centered in the United States, were downgraded by Moody’s Investors Service in June. As the move was largely anticipated, we were able to make adjustments to the Prime Money Market Fund well in advance of the downgrades, avoiding any significant impact to its portfolio.
8
The outlook
Short-term interest rates don’t look likely to move higher any time soon. Just after the close of the period under review, the Federal Reserve announced that it was once again pushing out how long it expects to keep the federal funds rate at “exceptionally low levels,” this time until at least mid-2015. The Fed also announced that it would start buying $40 billion of mortgage-backed securities per month, which will certainly provide further support to that segment of the market.
The situation in Europe remains a concern. Although European governments have taken significant steps to address some of the liquidity issues in their own marketplace, the conditions that were problematic two years ago are still in place today. We will continue to monitor developments in Europe, but are likely to remain on the sidelines until we see fundamental improvements.
We will continue to position the portfolios conservatively, given the level of uncertainty in the markets, which means favoring the credit quality and price stability afforded by U.S. Treasuries and agency securities.
David R. Glocke, Principal
Vanguard Fixed Income Group
September 14, 2012
9
Prime Money Market Fund
Fund Profile
As of August 31, 2012
Financial Attributes | ||
Investor | Institutional | |
Shares | Shares | |
Ticker Symbol | VMMXX | VMRXX |
Expense Ratio1 | 0.20% | 0.09% |
7-Day SEC Yield | 0.04% | 0.11% |
Average Weighted | ||
Maturity | 58 days | 58 days |
Sector Diversification (% of portfolio) | |
Commercial Paper | 9.5% |
Certificates of Deposit | 4.9 |
Yankee/Foreign | 26.1 |
U.S. Treasury Bills | 32.8 |
U.S. Government Agency Obligations | 21.3 |
Repurchase Agreements | 0.2 |
Other | 5.2 |
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 fiscal year ended August 31, 2012, the expense ratios were 0.16% for Investor Shares and 0.09% for Institutional Shares.
10
Prime Money Market Fund
Performance Summary
Investment returns will fluctuate. All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) The returns shown do not reflect taxes that a shareholder would pay on fund distributions. An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the fund seeks to preserve the value of your investment at $1 per share, it is possible to lose money by investing in the fund. The fund’s 7-day SEC yield reflects its current earnings more closely than do the average annual returns.
Cumulative Performance: August 31, 2002, Through August 31, 2012
Initial Investment of $10,000
Average Annual Total Returns | ||||
Periods Ended August 31, 2012 | ||||
Final Value | ||||
One | Five | Ten | of a $10,000 | |
Year | Years | Years | Investment | |
Prime Money Market Fund Investor | ||||
Shares | 0.04% | 1.01% | 1.88% | $12,046 |
Money Market Funds Average | 0.00 | 0.73 | 1.45 | 11,543 |
Citigroup Three-Month U.S. Treasury | ||||
Bill Index | 0.05 | 0.71 | 1.74 | 11,882 |
Money Market Funds Average: Derived from data provided by Lipper Inc.
Final Value | ||||
One | Five | Ten | of a $5,000,000 | |
Year | Years | Years | Investment | |
Prime Money Market Fund Institutional | ||||
Shares | 0.11% | 1.13% | 2.04% | $6,120,361 |
Institutional Money Market Funds Average | 0.05 | 0.91 | 1.76 | 5,951,705 |
Citigroup Three-Month U.S. Treasury Bill | ||||
Index | 0.05 | 0.71 | 1.74 | 5,941,062 |
See Financial Highlights for dividend information.
11
Prime Money Market Fund
Fiscal-Year Total Returns (%): August 31, 2002, Through August 31, 2012
Money | ||
Market | ||
Funds | ||
Investor Shares | Average | |
Fiscal Year | Total Returns | Total Returns |
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 | 0.04 | 0.00 |
7-day SEC yield (8/31/2012): 0.04%
Money Market Funds Average: Derived from data provided by Lipper Inc.
Average Annual Total Returns: Periods Ended June 30, 2012
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 | 0.03% | 1.18% | 1.91% |
Institutional Shares | 10/3/1989 | 0.10 | 1.31 | 2.07 |
12
Prime Money Market Fund
Financial Statements
Statement of Net Assets
As of August 31, 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 (54.1%) | |||||
2 | Fannie Mae Discount Notes | 0.160% | 9/4/12 | 74,000 | 73,999 |
2 | Fannie Mae Discount Notes | 0.160% | 9/5/12 | 50,000 | 49,999 |
2 | Fannie Mae Discount Notes | 0.130% | 9/12/12 | 50,000 | 49,998 |
2 | Fannie Mae Discount Notes | 0.130% | 9/19/12 | 160,000 | 159,990 |
2 | Fannie Mae Discount Notes | 0.130% | 9/26/12 | 71,000 | 70,994 |
2 | Fannie Mae Discount Notes | 0.160% | 10/3/12 | 107,000 | 106,985 |
2 | Fannie Mae Discount Notes | 0.130%–0.140% | 10/10/12 | 151,000 | 150,978 |
2 | Fannie Mae Discount Notes | 0.136% | 10/31/12 | 59,000 | 58,987 |
2 | Fannie Mae Discount Notes | 0.130%–0.135% | 11/7/12 | 338,303 | 338,219 |
2 | Fannie Mae Discount Notes | 0.130% | 11/14/12 | 82,500 | 82,478 |
2 | Fannie Mae Discount Notes | 0.160% | 2/6/13 | 99,400 | 99,330 |
3 | Federal Home Loan Bank Discount Notes | 0.130%–0.160% | 9/5/12 | 81,454 | 81,453 |
3 | Federal Home Loan Bank Discount Notes | 0.125% | 9/7/12 | 331,500 | 331,493 |
3 | Federal Home Loan Bank Discount Notes | 0.125%–0.130% | 9/12/12 | 476,100 | 476,081 |
3 | Federal Home Loan Bank Discount Notes | 0.135% | 9/14/12 | 192,000 | 191,991 |
3 | Federal Home Loan Bank Discount Notes | 0.130%–0.160% | 9/19/12 | 311,000 | 310,980 |
3 | Federal Home Loan Bank Discount Notes | 0.130% | 9/21/12 | 670,250 | 670,202 |
3 | Federal Home Loan Bank Discount Notes | 0.125%–0.130% | 9/26/12 | 1,195,000 | 1,194,893 |
3 | Federal Home Loan Bank Discount Notes | 0.130% | 9/28/12 | 158,500 | 158,484 |
3 | Federal Home Loan Bank Discount Notes | 0.134% | 10/3/12 | 1,050,000 | 1,049,875 |
3 | Federal Home Loan Bank Discount Notes | 0.140% | 10/10/12 | 1,103,900 | 1,103,733 |
3 | Federal Home Loan Bank Discount Notes | 0.140%–0.145% | 10/12/12 | 307,000 | 306,950 |
3 | Federal Home Loan Bank Discount Notes | 0.130%–0.140% | 10/17/12 | 208,305 | 208,269 |
3 | Federal Home Loan Bank Discount Notes | 0.130% | 10/19/12 | 1,335,215 | 1,334,984 |
3 | Federal Home Loan Bank Discount Notes | 0.128%–0.130% | 11/7/12 | 723,600 | 723,426 |
3 | Federal Home Loan Bank Discount Notes | 0.137%–0.140% | 11/9/12 | 499,050 | 498,919 |
3 | Federal Home Loan Bank Discount Notes | 0.135%–0.140% | 11/14/12 | 467,200 | 467,067 |
3 | Federal Home Loan Bank Discount Notes | 0.130% | 11/16/12 | 150,400 | 150,359 |
3 | Federal Home Loan Bank Discount Notes | 0.130% | 11/21/12 | 401,300 | 401,183 |
3 | Federal Home Loan Bank Discount Notes | 0.130% | 11/23/12 | 703,726 | 703,515 |
3 | Federal Home Loan Bank Discount Notes | 0.130% | 11/28/12 | 250,000 | 249,920 |
3 | Federal Home Loan Bank Discount Notes | 0.160% | 2/22/13 | 350,000 | 349,729 |
2,4 | Federal Home Loan Mortgage Corp. | 0.194% | 2/4/13 | 1,000,000 | 999,782 |
2,4 | Federal Home Loan Mortgage Corp. | 0.197% | 3/21/13 | 907,000 | 906,747 |
2,4 | Federal Home Loan Mortgage Corp. | 0.194% | 5/6/13 | 980,000 | 979,681 |
2,4 | Federal Home Loan Mortgage Corp. | 0.195% | 6/3/13 | 950,000 | 949,711 |
13
Prime Money Market Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Yield1 | Date | ($000) | ($000) | ||
2,4 | Federal Home Loan Mortgage Corp. | 0.188% | 6/17/13 | 83,000 | 82,967 |
2,4 | Federal National Mortgage Assn. | 0.268% | 9/17/12 | 988,000 | 987,991 |
2,4 | Federal National Mortgage Assn. | 0.258% | 11/23/12 | 1,772,795 | 1,772,673 |
2,4 | Federal National Mortgage Assn. | 0.267% | 12/20/12 | 494,500 | 494,470 |
2,4 | Federal National Mortgage Assn. | 0.266% | 12/28/12 | 219,000 | 218,986 |
2,4 | Federal National Mortgage Assn. | 0.229% | 8/12/13 | 1,000,000 | 999,713 |
2,4 | Federal National Mortgage Assn. | 0.213% | 11/8/13 | 1,250,000 | 1,249,551 |
2,4 | Federal National Mortgage Assn. | 0.210% | 11/14/13 | 1,000,000 | 999,643 |
2 | Freddie Mac Discount Notes | 0.140%–0.160% | 9/4/12 | 314,968 | 314,964 |
2 | Freddie Mac Discount Notes | 0.130%–0.150% | 9/10/12 | 199,000 | 198,993 |
2 | Freddie Mac Discount Notes | 0.130%–0.160% | 9/17/12 | 373,077 | 373,055 |
2 | Freddie Mac Discount Notes | 0.160% | 9/24/12 | 90,000 | 89,991 |
2 | Freddie Mac Discount Notes | 0.160% | 10/3/12 | 20,590 | 20,587 |
2 | Freddie Mac Discount Notes | 0.140% | 10/9/12 | 200,000 | 199,970 |
2 | Freddie Mac Discount Notes | 0.135% | 10/11/12 | 42,000 | 41,994 |
2 | Freddie Mac Discount Notes | 0.130% | 10/25/12 | 84,300 | 84,284 |
2 | Freddie Mac Discount Notes | 0.140% | 11/13/12 | 125,000 | 124,964 |
2 | Freddie Mac Discount Notes | 0.130% | 11/26/12 | 125,429 | 125,390 |
United States Treasury Bill | 0.100%–0.135% | 9/6/12 | 1,636,500 | 1,636,473 | |
United States Treasury Bill | 0.085%–0.090% | 9/13/12 | 1,118,649 | 1,118,623 | |
United States Treasury Bill | 0.150% | 9/27/12 | 1,950,000 | 1,949,789 | |
United States Treasury Bill | 0.140% | 10/4/12 | 2,725,000 | 2,724,650 | |
United States Treasury Bill | 0.150% | 10/11/12 | 2,500,000 | 2,499,583 | |
United States Treasury Bill | 0.111% | 10/18/12 | 300,000 | 299,956 | |
United States Treasury Bill | 0.108%–0.110% | 10/25/12 | 331,699 | 331,644 | |
United States Treasury Bill | 0.105%–0.150% | 11/1/12 | 1,270,000 | 1,269,711 | |
United States Treasury Bill | 0.084%–0.107% | 11/8/12 | 600,000 | 599,922 | |
United States Treasury Bill | 0.133%–0.150% | 11/15/12 | 2,525,000 | 2,524,250 | |
United States Treasury Bill | 0.105%–0.147% | 11/23/12 | 2,792,562 | 2,791,727 | |
United States Treasury Bill | 0.141%–0.146% | 11/29/12 | 1,292,000 | 1,291,543 | |
United States Treasury Bill | 0.130% | 12/6/12 | 155,000 | 154,947 | |
United States Treasury Bill | 0.140%–0.141% | 12/13/12 | 1,800,000 | 1,799,277 | |
United States Treasury Bill | 0.146%–0.148% | 12/20/12 | 800,000 | 799,640 | |
United States Treasury Bill | 0.145%–0.153% | 12/27/12 | 1,900,000 | 1,899,080 | |
United States Treasury Bill | 0.147%–0.148% | 1/10/13 | 564,405 | 564,102 | |
United States Treasury Bill | 0.140%–0.153% | 1/17/13 | 2,000,000 | 1,998,873 | |
United States Treasury Bill | 0.140%–0.141% | 1/24/13 | 1,450,000 | 1,449,177 | |
United States Treasury Bill | 0.146%–0.147% | 1/31/13 | 1,490,000 | 1,489,078 | |
United States Treasury Bill | 0.138%–0.142% | 2/7/13 | 1,800,000 | 1,798,885 | |
United States Treasury Bill | 0.145% | 2/14/13 | 400,000 | 399,732 | |
United States Treasury Bill | 0.144%–0.145% | 2/21/13 | 1,600,000 | 1,598,887 | |
United States Treasury Note/Bond | 1.375% | 9/15/12 | 500,000 | 500,242 | |
United States Treasury Note/Bond | 4.250% | 9/30/12 | 1,454,000 | 1,458,745 | |
United States Treasury Note/Bond | 1.375% | 10/15/12 | 350,000 | 350,514 | |
United States Treasury Note/Bond | 0.375% | 10/31/12 | 477,000 | 477,174 | |
United States Treasury Note/Bond | 1.375% | 11/15/12 | 450,000 | 451,116 | |
United States Treasury Note/Bond | 4.000% | 11/15/12 | 250,000 | 251,967 | |
United States Treasury Note/Bond | 0.500% | 11/30/12 | 200,000 | 200,167 | |
United States Treasury Note/Bond | 3.875% | 2/15/13 | 900,000 | 915,123 | |
Total U.S. Government and Agency Obligations (Cost $62,016,167) | 62,016,167 | ||||
Commercial Paper (21.7%) | |||||
Bank Holding Company (0.2%) | |||||
PNC Bank NA | 0.210% | 12/3/12 | 217,000 | 216,882 |
14
Prime Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Yield1 | Date | ($000) | ($000) | |
Finance—Auto (1.6%) | ||||
American Honda Finance Corp. | 0.180%–0.190% | 9/21/12 | 192,000 | 191,980 |
American Honda Finance Corp. | 0.190% | 9/24/12 | 114,500 | 114,486 |
American Honda Finance Corp. | 0.190% | 10/9/12 | 47,000 | 46,991 |
American Honda Finance Corp. | 0.190% | 10/18/12 | 89,400 | 89,378 |
American Honda Finance Corp. | 0.190% | 10/22/12 | 87,350 | 87,326 |
5 BMW US Capital LLC | 0.170% | 9/10/12 | 24,500 | 24,499 |
5 BMW US Capital LLC | 0.170% | 9/13/12 | 161,000 | 160,991 |
5 BMW US Capital LLC | 0.170% | 9/18/12 | 118,000 | 117,990 |
5 BMW US Capital LLC | 0.200% | 11/21/12 | 23,000 | 22,990 |
5 BMW US Capital LLC | 0.200% | 11/29/12 | 25,000 | 24,988 |
Toyota Motor Credit Corp. | 0.381% | 10/2/12 | 26,250 | 26,241 |
Toyota Motor Credit Corp. | 0.381% | 10/9/12 | 168,000 | 167,933 |
Toyota Motor Credit Corp. | 0.371% | 10/15/12 | 31,500 | 31,486 |
Toyota Motor Credit Corp. | 0.401% | 11/13/12 | 51,000 | 50,959 |
Toyota Motor Credit Corp. | 0.401% | 11/14/12 | 137,500 | 137,387 |
Toyota Motor Credit Corp. | 0.321% | 12/10/12 | 225,000 | 224,800 |
Toyota Motor Credit Corp. | 0.321% | 12/13/12 | 194,000 | 193,822 |
Toyota Motor Credit Corp. | 0.341% | 2/19/13 | 45,750 | 45,676 |
Toyota Motor Credit Corp. | 0.341% | 2/20/13 | 112,500 | 112,317 |
1,872,240 | ||||
Finance—Other (5.3%) | ||||
5 Chariot Funding LLC | 0.220% | 11/14/12 | 46,000 | 45,979 |
5 Chariot Funding LLC | 0.220% | 11/15/12 | 39,000 | 38,982 |
General Electric Capital Corp. | 0.210% | 9/26/12 | 392,000 | 391,943 |
General Electric Capital Corp. | 0.240% | 10/29/12 | 39,000 | 38,985 |
General Electric Capital Corp. | 0.180% | 11/2/12 | 172,000 | 171,947 |
General Electric Capital Corp. | 0.180% | 11/5/12 | 172,000 | 171,944 |
General Electric Capital Corp. | 0.180% | 11/7/12 | 117,600 | 117,561 |
General Electric Capital Corp. | 0.180% | 11/8/12 | 157,000 | 156,947 |
General Electric Capital Corp. | 0.180% | 11/13/12 | 194,000 | 193,929 |
General Electric Capital Corp. | 0.180% | 11/29/12 | 344,000 | 343,847 |
5 Jupiter Securitization Co. LLC | 0.220% | 11/14/12 | 100,000 | 99,955 |
5 Jupiter Securitization Co. LLC | 0.220% | 11/16/12 | 78,000 | 77,964 |
5 Old Line Funding LLC | 0.200% | 9/10/12 | 72,048 | 72,044 |
5 Old Line Funding LLC | 0.200%–0.210% | 9/17/12 | 64,500 | 64,494 |
5 Old Line Funding LLC | 0.200% | 9/24/12 | 79,000 | 78,990 |
5 Old Line Funding LLC | 0.200% | 9/25/12 | 96,500 | 96,487 |
5 Old Line Funding LLC | 0.210% | 10/1/12 | 138,000 | 137,976 |
5 Old Line Funding LLC | 0.210% | 10/15/12 | 202,500 | 202,448 |
5 Old Line Funding LLC | 0.200% | 10/18/12 | 106,000 | 105,972 |
5 Old Line Funding LLC | 0.200% | 10/22/12 | 213,400 | 213,340 |
5 Old Line Funding LLC | 0.200%–0.210% | 10/23/12 | 194,200 | 194,143 |
5 Old Line Funding LLC | 0.200% | 10/25/12 | 28,912 | 28,903 |
5 Old Line Funding LLC | 0.200% | 10/29/12 | 79,850 | 79,824 |
5 Old Line Funding LLC | 0.200% | 11/2/12 | 38,000 | 37,987 |
5 Old Line Funding LLC | 0.200% | 11/5/12 | 58,000 | 57,979 |
5 Old Line Funding LLC | 0.200% | 11/7/12 | 36,250 | 36,237 |
5 Old Line Funding LLC | 0.200% | 11/8/12 | 129,682 | 129,633 |
5 Old Line Funding LLC | 0.200% | 11/13/12 | 117,000 | 116,953 |
5 Old Line Funding LLC | 0.200% | 11/14/12 | 180,000 | 179,926 |
5 Old Line Funding LLC | 0.200% | 11/15/12 | 106,000 | 105,956 |
5 Old Line Funding LLC | 0.200% | 11/19/12 | 39,000 | 38,983 |
5 Old Line Funding LLC | 0.200% | 11/20/12 | 94,000 | 93,958 |
5 Old Line Funding LLC | 0.200% | 11/21/12 | 32,289 | 32,274 |
15
Prime Money Market Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Yield1 | Date | ($000) | ($000) | ||
5 | Old Line Funding LLC | 0.200% | 11/27/12 | 58,000 | 57,972 |
5 | Old Line Funding LLC | 0.200% | 11/29/12 | 39,000 | 38,981 |
5 | Straight-A Funding LLC | 0.180% | 9/4/12 | 57,500 | 57,499 |
5 | Straight-A Funding LLC | 0.180% | 9/6/12 | 8,000 | 8,000 |
5 | Straight-A Funding LLC | 0.180% | 9/10/12 | 14,000 | 13,999 |
5 | Straight-A Funding LLC | 0.180% | 9/12/12 | 15,750 | 15,749 |
5 | Straight-A Funding LLC | 0.180% | 9/18/12 | 10,726 | 10,725 |
5 | Straight-A Funding LLC | 0.180% | 9/24/12 | 78,000 | 77,991 |
5 | Straight-A Funding LLC | 0.180% | 9/24/12 | 171,000 | 170,980 |
5 | Straight-A Funding LLC | 0.180% | 9/24/12 | 37,000 | 36,996 |
5 | Straight-A Funding LLC | 0.180% | 9/25/12 | 15,026 | 15,024 |
5 | Straight-A Funding LLC | 0.180% | 9/25/12 | 15,000 | 14,998 |
5 | Straight-A Funding LLC | 0.180% | 9/26/12 | 41,892 | 41,887 |
5 | Straight-A Funding LLC | 0.180% | 10/1/12 | 15,028 | 15,026 |
5 | Straight-A Funding LLC | 0.180% | 10/1/12 | 153,180 | 153,157 |
5 | Straight-A Funding LLC | 0.180% | 10/2/12 | 39,000 | 38,994 |
5 | Straight-A Funding LLC | 0.180% | 10/2/12 | 57,500 | 57,491 |
5 | Straight-A Funding LLC | 0.180% | 10/2/12 | 50,000 | 49,992 |
5 | Straight-A Funding LLC | 0.180% | 10/3/12 | 113,500 | 113,482 |
5 | Straight-A Funding LLC | 0.180% | 10/4/12 | 56,661 | 56,652 |
5 | Straight-A Funding LLC | 0.180% | 10/5/12 | 45,381 | 45,373 |
5 | Straight-A Funding LLC | 0.180% | 10/5/12 | 21,000 | 20,996 |
5 | Straight-A Funding LLC | 0.180% | 10/9/12 | 50,000 | 49,991 |
5 | Straight-A Funding LLC | 0.180% | 10/9/12 | 62,500 | 62,488 |
5 | Straight-A Funding LLC | 0.180% | 10/9/12 | 25,055 | 25,050 |
5 | Straight-A Funding LLC | 0.180% | 10/10/12 | 10,000 | 9,998 |
5 | Straight-A Funding LLC | 0.180% | 10/10/12 | 10,751 | 10,749 |
5 | Straight-A Funding LLC | 0.180% | 10/10/12 | 32,390 | 32,384 |
5 | Straight-A Funding LLC | 0.180% | 10/11/12 | 64,056 | 64,043 |
5 | Straight-A Funding LLC | 0.180% | 10/12/12 | 156,200 | 156,168 |
5 | Straight-A Funding LLC | 0.180% | 10/16/12 | 39,000 | 38,991 |
5 | Straight-A Funding LLC | 0.180% | 10/17/12 | 94,000 | 93,978 |
5 | Straight-A Funding LLC | 0.180% | 10/18/12 | 20,000 | 19,995 |
5 | Straight-A Funding LLC | 0.180% | 10/18/12 | 77,800 | 77,782 |
5 | Straight-A Funding LLC | 0.180% | 10/22/12 | 24,018 | 24,012 |
5 | Straight-A Funding LLC | 0.180% | 10/23/12 | 38,000 | 37,990 |
5 | Straight-A Funding LLC | 0.180% | 10/23/12 | 9,657 | 9,654 |
5 | Straight-A Funding LLC | 0.180% | 10/26/12 | 15,000 | 14,996 |
5 | Straight-A Funding LLC | 0.180% | 10/26/12 | 14,040 | 14,036 |
5 | Straight-A Funding LLC | 0.180% | 10/29/12 | 100,058 | 100,029 |
5 | Straight-A Funding LLC | 0.180% | 10/30/12 | 20,000 | 19,994 |
5 | Straight-A Funding LLC | 0.180% | 11/1/12 | 28,324 | 28,315 |
5 | Straight-A Funding LLC | 0.180% | 11/2/12 | 56,000 | 55,983 |
5 | Straight-A Funding LLC | 0.180% | 11/5/12 | 10,000 | 9,997 |
5 | Straight-A Funding LLC | 0.180% | 11/8/12 | 10,057 | 10,054 |
5 | Straight-A Funding LLC | 0.180% | 11/28/12 | 39,000 | 38,983 |
6,072,114 | |||||
Foreign Banks (5.6%) | |||||
5 | Australia & New Zealand Banking Group, Ltd. | 0.295% | 11/8/12 | 113,000 | 112,937 |
4,5 | Australia & New Zealand Banking Group, Ltd. | 0.268% | 11/19/12 | 250,000 | 249,997 |
5 | Australia & New Zealand Banking Group, Ltd. | 0.290% | 3/1/13 | 247,000 | 246,640 |
5 | Commonwealth Bank of Australia | 0.341% | 9/4/12 | 288,250 | 288,242 |
5 | Commonwealth Bank of Australia | 0.341% | 9/6/12 | 100,000 | 99,995 |
4,5 | Commonwealth Bank of Australia | 0.290% | 10/10/12 | 390,000 | 390,000 |
4,5 | Commonwealth Bank of Australia | 0.289% | 10/11/12 | 391,000 | 391,000 |
16
Prime Money Market Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Yield1 | Date | ($000) | ($000) | ||
4,5 | Commonwealth Bank of Australia | 0.287% | 10/18/12 | 400,000 | 400,000 |
4,5 | Commonwealth Bank of Australia | 0.287% | 11/19/12 | 396,000 | 396,000 |
4,5 | Commonwealth Bank of Australia | 0.287% | 11/21/12 | 81,000 | 81,000 |
5 | Commonwealth Bank of Australia | 0.300% | 2/25/13 | 86,600 | 86,472 |
5 | Commonwealth Bank of Australia | 0.300% | 2/28/13 | 592,000 | 591,112 |
4,5 | Westpac Banking Corp. | 0.286% | 9/26/12 | 438,000 | 438,000 |
4,5 | Westpac Banking Corp. | 0.296% | 10/2/12 | 786,000 | 786,000 |
4,5 | Westpac Banking Corp. | 0.289% | 10/11/12 | 359,000 | 359,000 |
4,5 | Westpac Banking Corp. | 0.288% | 10/17/12 | 318,000 | 318,000 |
4,5 | Westpac Banking Corp. | 0.276% | 11/2/12 | 193,000 | 193,000 |
4,5 | Westpac Banking Corp. | 0.336% | 2/1/13 | 335,000 | 335,000 |
4,5 | Westpac Banking Corp. | 0.336% | 2/4/13 | 597,000 | 597,000 |
5 | Westpac Banking Corp. | 0.300% | 2/26/13 | 24,000 | 23,964 |
6,383,359 | |||||
Foreign Governments (0.7%) | |||||
5 | Hydro-Quebec | 0.170% | 10/29/12 | 77,000 | 76,979 |
Province of Ontario | 0.170% | 10/29/12 | 13,000 | 12,996 | |
Province of Ontario | 0.170% | 10/31/12 | 114,960 | 114,927 | |
Province of Ontario | 0.170% | 11/7/12 | 25,000 | 24,992 | |
Province of Ontario | 0.170% | 11/9/12 | 26,000 | 25,992 | |
Province of Ontario | 0.170% | 11/19/12 | 55,500 | 55,479 | |
Province of Ontario | 0.200% | 12/20/12 | 58,000 | 57,965 | |
5 | Quebec | 0.180% | 10/18/12 | 22,000 | 21,995 |
5 | Quebec | 0.180% | 10/22/12 | 66,000 | 65,983 |
5 | Quebec | 0.180% | 10/23/12 | 69,000 | 68,982 |
5 | Quebec | 0.180% | 10/29/12 | 98,500 | 98,471 |
5 | Quebec | 0.180% | 10/30/12 | 59,000 | 58,983 |
5 | Quebec | 0.180% | 11/1/12 | 85,000 | 84,974 |
5 | Quebec | 0.180% | 11/19/12 | 28,000 | 27,989 |
796,707 | |||||
Foreign Industrial (5.6%) | |||||
5 | Nestle Capital Corp. | 0.291% | 10/9/12 | 666,000 | 665,796 |
5 | Nestle Capital Corp. | 0.291% | 10/16/12 | 50,000 | 49,982 |
5 | Nestle Capital Corp. | 0.291% | 10/17/12 | 98,000 | 97,964 |
5 | Nestle Capital Corp. | 0.301% | 10/26/12 | 247,500 | 247,387 |
5 | Nestle Capital Corp. | 0.260% | 3/4/13 | 496,000 | 495,341 |
5 | Nestle Capital Corp. | 0.260% | 3/12/13 | 495,000 | 494,314 |
Nestle Finance International Ltd. | 0.291% | 10/12/12 | 153,000 | 152,949 | |
Nestle Finance International Ltd. | 0.291% | 10/15/12 | 150,000 | 149,947 | |
Nestle Finance International Ltd. | 0.301% | 10/26/12 | 45,000 | 44,979 | |
Nestle Finance International Ltd. | 0.301% | 11/1/12 | 97,000 | 96,951 | |
Nestle Finance International Ltd. | 0.265% | 3/25/13 | 244,000 | 243,632 | |
Nestle Finance International Ltd. | 0.265% | 3/26/13 | 376,000 | 375,430 | |
Nestle Finance International Ltd. | 0.265% | 4/1/13 | 296,000 | 295,538 | |
5 | Novartis Securities Investment Ltd. | 0.180% | 9/4/12 | 24,000 | 24,000 |
5 | Novartis Securities Investment Ltd. | 0.180% | 9/5/12 | 74,900 | 74,898 |
5 | Novartis Securities Investment Ltd. | 0.180% | 9/6/12 | 59,000 | 58,998 |
5 | Novartis Securities Investment Ltd. | 0.180% | 9/10/12 | 98,000 | 97,996 |
5 | Novartis Securities Investment Ltd. | 0.180% | 9/11/12 | 112,500 | 112,494 |
5 | Novartis Securities Investment Ltd. | 0.180% | 9/12/12 | 31,500 | 31,498 |
5 | Novartis Securities Investment Ltd. | 0.180% | 9/14/12 | 82,000 | 81,995 |
5 | Sanofi | 0.190% | 9/6/12 | 80,000 | 79,998 |
5 | Sanofi | 0.190% | 9/26/12 | 199,000 | 198,974 |
5 | Sanofi | 0.200% | 9/27/12 | 248,000 | 247,964 |
17
Prime Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Yield1 | Date | ($000) | ($000) | |
5 Siemens Capital Co. LLC | 0.200% | 9/10/12 | 1,137,000 | 1,136,943 |
5 Total Capital Canada Ltd. | 0.320% | 9/14/12 | 236,000 | 235,973 |
5 Total Capital Canada Ltd. | 0.180% | 10/19/12 | 112,000 | 111,973 |
5 Total Capital Canada Ltd. | 0.255% | 10/26/12 | 49,000 | 48,981 |
5 Total Capital Canada Ltd. | 0.180% | 11/21/12 | 164,750 | 164,683 |
5 Total Capital Canada Ltd. | 0.220% | 10/10/12 | 141,000 | 140,966 |
5 Total Capital Canada Ltd. | 0.280% | 12/12/12 | 146,000 | 145,884 |
Toyota Credit Canada Inc. | 0.351% | 9/24/12 | 49,500 | 49,489 |
Toyota Credit Canada Inc. | 0.190% | 10/25/12 | 19,000 | 18,995 |
Toyota Credit Canada Inc. | 0.300% | 1/9/13 | 19,500 | 19,479 |
6,492,391 | ||||
Industrial (2.7%) | ||||
General Electric Co. | 0.170%–0.190% | 9/26/12 | 863,000 | 862,889 |
General Electric Co. | 0.170%–0.190% | 9/27/12 | 335,000 | 334,955 |
General Electric Co. | 0.280% | 2/20/13 | 99,000 | 98,868 |
5 Procter & Gamble Co. | 0.150% | 9/10/12 | 250,000 | 249,991 |
5 The Coca-Cola Co. | 0.200% | 9/17/12 | 160,000 | 159,986 |
5 The Coca-Cola Co. | 0.190% | 9/21/12 | 19,750 | 19,748 |
5 The Coca-Cola Co. | 0.190% | 9/24/12 | 37,500 | 37,495 |
5 The Coca-Cola Co. | 0.190% | 9/25/12 | 39,000 | 38,995 |
5 The Coca-Cola Co. | 0.220% | 10/4/12 | 29,500 | 29,494 |
5 The Coca-Cola Co. | 0.220% | 10/5/12 | 24,000 | 23,995 |
5 The Coca-Cola Co. | 0.220% | 10/10/12 | 40,750 | 40,740 |
5 The Coca-Cola Co. | 0.220% | 10/11/12 | 79,000 | 78,981 |
5 The Coca-Cola Co. | 0.200% | 10/16/12 | 39,000 | 38,990 |
5 The Coca-Cola Co. | 0.210% | 10/19/12 | 62,500 | 62,483 |
5 The Coca-Cola Co. | 0.210% | 10/22/12 | 55,000 | 54,984 |
5 The Coca-Cola Co. | 0.210% | 10/24/12 | 143,500 | 143,456 |
5 The Coca-Cola Co. | 0.190%–0.210% | 10/25/12 | 151,950 | 151,906 |
5 The Coca-Cola Co. | 0.190% | 10/26/12 | 116,900 | 116,866 |
5 The Coca-Cola Co. | 0.190% | 10/29/12 | 65,000 | 64,980 |
5 The Coca-Cola Co. | 0.200% | 11/8/12 | 15,000 | 14,994 |
5 The Coca-Cola Co. | 0.200% | 11/9/12 | 147,000 | 146,944 |
5 The Coca-Cola Co. | 0.200% | 11/19/12 | 77,000 | 76,966 |
5 The Coca-Cola Co. | 0.180% | 11/29/12 | 118,050 | 117,997 |
5 The Coca-Cola Co. | 0.180% | 12/4/12 | 100,000 | 99,953 |
5 The Coca-Cola Co. | 0.180% | 12/5/12 | 25,000 | 24,988 |
3,091,644 | ||||
Total Commercial Paper (Cost $24,925,337) | 24,925,337 | |||
Certificates of Deposit (18.6%) | ||||
Domestic Banks (4.8%) | ||||
Branch Banking & Trust Co. | 0.190% | 9/25/12 | 236,250 | 236,250 |
Branch Banking & Trust Co. | 0.190% | 10/1/12 | 157,500 | 157,500 |
Branch Banking & Trust Co. | 0.190% | 10/9/12 | 118,000 | 118,000 |
Branch Banking & Trust Co. | 0.190% | 10/10/12 | 236,500 | 236,500 |
Branch Banking & Trust Co. | 0.190% | 10/17/12 | 500,000 | 500,000 |
State Street Bank & Trust Co. | 0.250% | 9/17/12 | 435,000 | 435,000 |
State Street Bank & Trust Co. | 0.190% | 10/10/12 | 306,000 | 306,000 |
State Street Bank & Trust Co. | 0.190% | 10/16/12 | 792,000 | 792,000 |
State Street Bank & Trust Co. | 0.190% | 10/17/12 | 985,000 | 985,000 |
State Street Bank & Trust Co. | 0.180% | 10/29/12 | 496,000 | 496,000 |
State Street Bank & Trust Co. | 0.180% | 11/1/12 | 232,000 | 232,000 |
Wells Fargo Bank NA | 0.200% | 9/17/12 | 1,000,000 | 1,000,000 |
5,494,250 |
18
Prime Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Yield1 | Date | ($000) | ($000) | |
Eurodollar Certificates of Deposit (6.0%) | ||||
Australia & New Zealand Banking Group, Ltd. | 0.350% | 10/19/12 | 550,000 | 550,000 |
Australia & New Zealand Banking Group, Ltd. | 0.330% | 10/25/12 | 198,000 | 198,000 |
Australia & New Zealand Banking Group, Ltd. | 0.330% | 10/29/12 | 125,000 | 125,000 |
Australia & New Zealand Banking Group, Ltd. | 0.320% | 10/30/12 | 250,000 | 250,000 |
Australia & New Zealand Banking Group, Ltd. | 0.300% | 11/2/12 | 173,000 | 173,000 |
Australia & New Zealand Banking Group, Ltd. | 0.300% | 11/5/12 | 99,000 | 99,000 |
Australia & New Zealand Banking Group, Ltd. | 0.300% | 11/5/12 | 225,000 | 225,000 |
Australia & New Zealand Banking Group, Ltd. | 0.300% | 11/9/12 | 94,000 | 94,000 |
Australia & New Zealand Banking Group, Ltd. | 0.300% | 11/16/12 | 399,000 | 399,000 |
4 Australia & New Zealand Banking Group, Ltd. | 0.326% | 1/25/13 | 335,000 | 335,000 |
4 Australia & New Zealand Banking Group, Ltd. | 0.340% | 2/11/13 | 260,000 | 260,000 |
Commonwealth Bank of Australia | 0.335% | 2/15/13 | 500,000 | 500,000 |
Commonwealth Bank of Australia | 0.310% | 2/22/13 | 500,000 | 500,000 |
4 National Australia Bank Ltd. | 0.345% | 9/27/12 | 1,000,000 | 1,000,000 |
National Australia Bank Ltd. | 0.345% | 10/25/12 | 450,000 | 450,000 |
4 National Australia Bank Ltd. | 0.300% | 10/29/12 | 533,000 | 533,000 |
4 National Australia Bank Ltd. | 0.329% | 2/13/13 | 1,250,000 | 1,250,000 |
6,941,000 | ||||
Yankee Certificates of Deposit (7.8%) | ||||
Bank of Montreal (Chicago Branch) | 0.210% | 10/3/12 | 508,000 | 508,000 |
Bank of Montreal (Chicago Branch) | 0.210% | 10/5/12 | 624,000 | 624,000 |
Bank of Montreal (Chicago Branch) | 0.210% | 10/9/12 | 165,000 | 165,000 |
Bank of Montreal (Chicago Branch) | 0.180% | 10/23/12 | 100,000 | 100,000 |
Bank of Montreal (Chicago Branch) | 0.180% | 11/5/12 | 390,000 | 390,000 |
Bank of Montreal (Chicago Branch) | 0.190% | 11/14/12 | 495,000 | 495,000 |
4 Bank of Nova Scotia (Houston Branch) | 0.305% | 10/3/12 | 418,000 | 418,000 |
4 Bank of Nova Scotia (Houston Branch) | 0.276% | 10/29/12 | 390,000 | 389,993 |
4 Bank of Nova Scotia (Houston Branch) | 0.273% | 11/8/12 | 1,000,000 | 1,000,000 |
Bank of Nova Scotia (Houston Branch) | 0.290% | 11/9/12 | 595,000 | 594,995 |
Bank of Nova Scotia (Houston Branch) | 0.290% | 11/19/12 | 452,000 | 452,000 |
Bank of Nova Scotia (Houston Branch) | 0.270% | 12/5/12 | 99,000 | 99,018 |
4 Bank of Nova Scotia (Houston Branch) | 0.309% | 1/14/13 | 100,000 | 100,000 |
Toronto Dominion Bank (New York Branch) | 0.280% | 10/29/12 | 453,000 | 453,000 |
Toronto Dominion Bank (New York Branch) | 0.280% | 11/1/12 | 234,000 | 234,000 |
Toronto Dominion Bank (New York Branch) | 0.280% | 11/5/12 | 555,000 | 555,000 |
Toronto Dominion Bank (New York Branch) | 0.300% | 12/26/12 | 285,000 | 285,000 |
Toronto Dominion Bank (New York Branch) | 0.300% | 1/18/13 | 295,000 | 295,000 |
4 Toronto Dominion Bank (New York Branch) | 0.443% | 2/4/13 | 34,000 | 34,012 |
Toronto Dominion Bank (New York Branch) | 0.290% | 2/7/13 | 695,000 | 695,000 |
Toronto Dominion Bank (New York Branch) | 0.300% | 2/15/13 | 500,000 | 500,000 |
Toronto Dominion Bank (New York Branch) | 0.300% | 2/20/13 | 150,000 | 150,000 |
4 Westpac Banking Corp. (New York Branch) | 0.276% | 11/2/12 | 382,000 | 382,000 |
8,919,018 | ||||
Total Certificates of Deposit (Cost $21,354,268) | 21,354,268 | |||
Repurchase Agreements (0.2%) | ||||
Goldman Sachs & Co. | ||||
(Dated 8/31/12, Repurchase Value $33,879,000, | ||||
collateralized by Federal Home Loan Mortgage | ||||
Corp. 2.000%, 8/25/16) | 0.190% | 9/4/12 | 33,878 | 33,878 |
19
Prime Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Yield1 | Date | ($000) | ($000) | |
JP Morgan Securities LLC | ||||
(Dated 8/31/12, Repurchase Value $94,002,000, | ||||
collateralized by U.S. Treasury Note/Bond 0.250%, | ||||
8/31/14) | 0.180% | 9/4/12 | 94,000 | 94,000 |
RBC Capital Markets LLC | ||||
(Dated 8/31/12, Repurchase Value $47,001,000, | ||||
collateralized by U.S. Treasury Note/Bond 1.875%, | ||||
9/30/17) | 0.150% | 9/4/12 | 47,000 | 47,000 |
TD Securities (USA) LLC | ||||
Dated 8/31/12, Repurchase Value $59,001,000, | ||||
collateralized by U.S. Treasury Bill 0.000%, | ||||
9/17/12) | 0.170% | 9/4/12 | 59,000 | 59,000 |
Total Repurchase Agreements (Cost $233,878) | 233,878 | |||
Shares | ||||
Money Market Fund (1.4%) | ||||
6 Vanguard Municipal Cash Management Fund | ||||
(Cost $1,650,717) | 0.155% | 1,650,716,555 | 1,650,717 | |
Face | ||||
Amount | ||||
($000) | ||||
Tax-Exempt Municipal Bonds (3.3%) | ||||
7 ABAG Finance Authority for Nonprofit Corps. | ||||
California Revenue (Miramar Apartments) VRDO | 0.150% | 9/7/12 | 11,900 | 11,900 |
7 ABAG Finance Authority for Nonprofit Corps. | ||||
California Revenue (Southport Apartments) VRDO | 0.150% | 9/7/12 | 15,700 | 15,700 |
7 Akron OH Bath & Copley Joint Township Hospital | ||||
District Revenue (Akron General Health System) | ||||
VRDO | 0.200% | 9/7/12 | 19,500 | 19,500 |
7 Albany NY Industrial Development Agency | ||||
Revenue (The College of Saint Rose Project) | ||||
VRDO | 0.170% | 9/7/12 | 13,400 | 13,400 |
7 Arizona Health Facilities Authority Revenue | ||||
(Banner Health) VRDO | 0.190% | 9/7/12 | 35,955 | 35,955 |
7 Arizona Health Facilities Authority Revenue | ||||
(Banner Health) VRDO | 0.190% | 9/7/12 | 38,715 | 38,715 |
7 Ascension Parish LA Industrial Development | ||||
Board Revenue (IMTT-Geismar Project) VRDO | 0.140% | 9/7/12 | 79,000 | 79,000 |
7 Bi-State Development Agency of the | ||||
Missouri-Illinois Metropolitan District Revenue | ||||
VRDO | 0.200% | 9/7/12 | 29,800 | 29,800 |
7 Birmingham AL Public Educational Building | ||||
Student Housing Revenue (University of | ||||
Alabama at Birmingham Project) VRDO | 0.170% | 9/7/12 | 16,015 | 16,015 |
7 Buffalo NY Municipal Water System Revenue | ||||
VRDO | 0.150% | 9/7/12 | 11,700 | 11,700 |
7 California Housing Finance Agency Home | ||||
Mortgage Revenue VRDO | 0.150% | 9/7/12 | 17,100 | 17,100 |
7 California Housing Finance Agency Multifamily | ||||
Housing Revenue VRDO | 0.170% | 9/7/12 | 20,915 | 20,915 |
20
Prime Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Yield1 | Date | ($000) | ($000) | |
7 California Statewide Communities Development | ||||
Authority Multifamily Housing Revenue | ||||
(Belmont Project) VRDO | 0.170% | 9/7/12 | 8,300 | 8,300 |
7 California Statewide Communities Development | ||||
Authority Multifamily Housing Revenue | ||||
(Wilshire Court Project) VRDO | 0.160% | 9/7/12 | 11,900 | 11,900 |
7 California Statewide Communities Development | ||||
Authority Revenue (Redlands Community | ||||
Hospital) VRDO | 0.160% | 9/7/12 | 22,100 | 22,100 |
7 Clackamas County OR Hospital Facility Authority | ||||
Revenue (Legacy Health System) VRDO | 0.150% | 9/7/12 | 9,700 | 9,700 |
7 Clark County NV Industrial Development Revenue | ||||
(Southwest Gas Corp.) VRDO | 0.190% | 9/7/12 | 27,500 | 27,500 |
7 Cleveland-Cuyahoga County OH Port Authority | ||||
Revenue (SPC Buildings 1 & 3 LLC) VRDO | 0.160% | 9/7/12 | 23,500 | 23,500 |
7 Cobb County GA Hospital Authority Revenue | ||||
(Equipment Pool Project) VRDO | 0.170% | 9/7/12 | 11,200 | 11,200 |
7 Colorado Health Facilities Authority Revenue | ||||
(Evangelical Lutheran Good Samaritan | ||||
Society Project) VRDO | 0.140% | 9/7/12 | 10,000 | 10,000 |
7 Columbus OH Regional Airport Authority Airport | ||||
Revenue (Oasbo Expanded Asset Program) | ||||
VRDO | 0.170% | 9/7/12 | 17,725 | 17,725 |
Connecticut Health & Educational Facilities | ||||
Authority Revenue (Yale University) VRDO | 0.150% | 9/7/12 | 35,000 | 35,000 |
Curators of the University of Missouri System | ||||
Facilities Revenue VRDO | 0.160% | 9/7/12 | 62,150 | 62,150 |
7 Delaware River Port Authority Pennsylvania & | ||||
New Jersey Revenue VRDO | 0.160% | 9/7/12 | 76,100 | 76,100 |
7 District of Columbia Revenue (Georgetown | ||||
University) VRDO | 0.170% | 9/7/12 | 7,575 | 7,575 |
7 District of Columbia Revenue (Georgetown | ||||
University) VRDO | 0.170% | 9/7/12 | 17,200 | 17,200 |
7 District of Columbia Revenue (Washington | ||||
Drama Society) VRDO | 0.200% | 9/7/12 | 20,160 | 20,160 |
7 Fairfax County VA Economic Development | ||||
Authority Resource Recovery Revenue | ||||
(Lorton Arts Foundation Project) VRDO | 0.170% | 9/7/12 | 10,600 | 10,600 |
7 Greenville County SC Hospital System Revenue | ||||
VRDO | 0.150% | 9/7/12 | 13,000 | 13,000 |
7 Hanover County VA Economic Development | ||||
Authority Revenue (Bon Secours Health | ||||
System Inc.) VRDO | 0.180% | 9/7/12 | 12,255 | 12,255 |
7 Harris County TX Cultural Education Facilities | ||||
Finance Corp. Hospital Revenue (Memorial | ||||
Hermann Healthcare System) VRDO | 0.160% | 9/7/12 | 42,000 | 42,000 |
7 Harris County TX Cultural Education Facilities | ||||
Finance Corp. Medical Facilities Revenue | ||||
(Baylor College of Medicine) VRDO | 0.190% | 9/7/12 | 42,500 | 42,500 |
7 Idaho Housing & Finance Association Single | ||||
Family Mortgage Revenue VRDO | 0.150% | 9/7/12 | 14,900 | 14,900 |
7 Idaho Housing & Finance Association Single | ||||
Family Mortgage Revenue VRDO | 0.170% | 9/7/12 | 29,205 | 29,205 |
7 Illinois Development Finance Authority Revenue | ||||
(Chicago Horticultural Society) VRDO | 0.170% | 9/7/12 | 16,300 | 16,300 |
21
Prime Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Yield1 | Date | ($000) | ($000) | |
7 Illinois Finance Authority Revenue | ||||
(Carle Foundation) VRDO | 0.170% | 9/7/12 | 31,905 | 31,905 |
7 Illinois Finance Authority Revenue (Ingalls Health | ||||
System) VRDO | 0.190% | 9/7/12 | 43,000 | 43,000 |
7 Illinois Finance Authority Revenue (Little Co. of | ||||
Mary Hospital & Health Care Centers) VRDO | 0.180% | 9/7/12 | 17,075 | 17,075 |
7 Illinois Finance Authority Revenue (Museum of | ||||
Science & Industry) VRDO | 0.180% | 9/7/12 | 12,500 | 12,500 |
7 Indiana Development Finance Authority | ||||
Educational Facilities Revenue (Indianapolis | ||||
Museum of Art Inc. Project) VRDO | 0.170% | 9/7/12 | 14,400 | 14,400 |
7 Indiana Educational Facilities Authority Revenue | ||||
(Wabash College) VRDO | 0.180% | 9/7/12 | 22,790 | 22,790 |
7 Indiana Finance Authority Health System Revenue | ||||
(Sisters of St. Francis Health Services Inc. | ||||
Obligated Group) VRDO | 0.180% | 9/7/12 | 39,340 | 39,340 |
Indiana Finance Authority Revenue (Lease | ||||
Appropriation) VRDO | 0.180% | 9/7/12 | 15,075 | 15,075 |
7 Kentucky Economic Development Finance | ||||
Authority Hospital Revenue (Baptist Healthcare | ||||
System Obligated Group) VRDO | 0.130% | 9/7/12 | 25,035 | 25,035 |
7 Lincoln County WY Pollution Control Revenue | ||||
(PacifiCorp Project) VRDO | 0.180% | 9/7/12 | 17,200 | 17,200 |
7 Los Angeles CA Wastewater System Revenue | ||||
VRDO | 0.160% | 9/7/12 | 9,135 | 9,135 |
Loudoun County VA Industrial Development | ||||
Authority Revenue (Howard Hughes Medical | ||||
Institute) VRDO | 0.140% | 9/7/12 | 18,855 | 18,855 |
7 Louisiana Public Facilities Authority Hospital | ||||
Revenue (Franciscan Missionaries) VRDO | 0.170% | 9/7/12 | 11,650 | 11,650 |
7 Maine Health & Higher Educational Facilities | ||||
Authority Revenue (Bowdoin College) VRDO | 0.180% | 9/7/12 | 15,130 | 15,130 |
7 Maryland Health & Higher Educational Facilities | ||||
Authority Revenue (University of Maryland | ||||
Medical System) VRDO | 0.160% | 9/7/12 | 29,765 | 29,765 |
7 Massachusetts Development Finance Agency | ||||
Revenue (Simmons College) VRDO | 0.160% | 9/7/12 | 40,000 | 40,000 |
7 Massachusetts Health & Educational Facilities | ||||
Authority Revenue (Baystate Medical Center) | ||||
VRDO | 0.150% | 9/7/12 | 16,000 | 16,000 |
7 Massachusetts Health & Educational Facilities | ||||
Authority Revenue (Bentley College) VRDO | 0.160% | 9/7/12 | 21,900 | 21,900 |
7 Massachusetts Health & Educational Facilities | ||||
Authority Revenue (Dana Farber Cancer Institute) | ||||
VRDO | 0.150% | 9/7/12 | 20,015 | 20,015 |
Massachusetts Health & Educational Facilities | ||||
Authority Revenue (MIT) VRDO | 0.160% | 9/7/12 | 19,320 | 19,320 |
7 Miami-Dade County FL Special Obligation | ||||
Revenue (Juvenile Courthouse Project) VRDO | 0.150% | 9/7/12 | 25,350 | 25,350 |
7 Michigan Higher Education Facilities Authority | ||||
Revenue (Albion College Project) VRDO | 0.180% | 9/7/12 | 12,700 | 12,700 |
7 Michigan Hospital Finance Authority Revenue | ||||
(Henry Ford Health System) VRDO | 0.170% | 9/7/12 | 32,595 | 32,595 |
7 Middletown OH Hospital Facilities Revenue | ||||
(Atrium Medical Center) VRDO | 0.190% | 9/7/12 | 21,800 | 21,800 |
22
Prime Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Yield1 | Date | ($000) | ($000) | |
7 Minneapolis & St. Paul MN Housing & | ||||
Redevelopment Authority Health Care System | ||||
Revenue (Allina Health System) VRDO | 0.150% | 9/7/12 | 15,000 | 15,000 |
Missouri Health & Educational Facilities Authority | ||||
Health Facilities Revenue (BJC Health System) | ||||
VRDO | 0.160% | 9/7/12 | 18,000 | 18,000 |
7 Missouri Health & Educational Facilities Authority | ||||
Health Facilities Revenue (SSM Health System) | ||||
VRDO | 0.160% | 9/7/12 | 83,275 | 83,275 |
7 Nassau NY Health Care Corp. VRDO | 0.170% | 9/7/12 | 15,000 | 15,000 |
7 New Jersey Health Care Facilities Financing | ||||
Authority Revenue (Hospital Capital Asset | ||||
Pooled Program) VRDO | 0.200% | 9/7/12 | 19,600 | 19,600 |
7 New York City NY GO VRDO | 0.150% | 9/7/12 | 29,825 | 29,825 |
7 New York City NY GO VRDO | 0.160% | 9/7/12 | 15,800 | 15,800 |
7 New York City NY Housing Development Corp. | ||||
Multi-Family Rental Housing Revenue | ||||
(Carnegie Park) VRDO | 0.140% | 9/7/12 | 39,505 | 39,505 |
7 New York City NY Housing Development Corp. | ||||
Multi-Family Rental Housing Revenue (Monterey) | ||||
VRDO | 0.140% | 9/7/12 | 21,980 | 21,980 |
7 New York City NY Housing Development Corp. | ||||
Multi-Family Rental Housing Revenue | ||||
(One Columbus Place Development) VRDO | 0.170% | 9/7/12 | 68,100 | 68,100 |
7 New York City NY Housing Development Corp. | ||||
Multi-Family Rental Housing Revenue | ||||
(Related-Sierra Development) VRDO | 0.170% | 9/7/12 | 32,500 | 32,500 |
7 New York City NY Housing Development Corp. | ||||
Multi-Family Rental Housing Revenue | ||||
(West End Towers) VRDO | 0.170% | 9/7/12 | 31,300 | 31,300 |
7 New York City NY Industrial Development Agency | ||||
Civic Facility Revenue (New York Law School) | ||||
VRDO | 0.170% | 9/7/12 | 14,435 | 14,435 |
7 New York State Dormitory Authority Revenue | ||||
(Royal Charter Properties) VRDO | 0.160% | 9/7/12 | 71,500 | 71,500 |
7 New York State Housing Finance Agency Housing | ||||
Revenue (10 Liberty Street) VRDO | 0.140% | 9/7/12 | 20,500 | 20,500 |
7 New York State Housing Finance Agency Housing | ||||
Revenue (125 West 31st Street) VRDO | 0.180% | 9/7/12 | 42,300 | 42,300 |
7 New York State Housing Finance Agency Housing | ||||
Revenue (160 West 62nd Street) VRDO | 0.170% | 9/7/12 | 95,990 | 95,990 |
7 New York State Housing Finance Agency Housing | ||||
Revenue (20 River Terrace Housing) VRDO | 0.180% | 9/7/12 | 17,300 | 17,300 |
7 New York State Housing Finance Agency Housing | ||||
Revenue (320 West 38th Street) VRDO | 0.150% | 9/7/12 | 61,500 | 61,500 |
7 New York State Housing Finance Agency Housing | ||||
Revenue (320 West 38th Street) VRDO | 0.150% | 9/7/12 | 37,935 | 37,935 |
7 New York State Housing Finance Agency Housing | ||||
Revenue (70 Battery Place) VRDO | 0.180% | 9/7/12 | 12,800 | 12,800 |
7 New York State Housing Finance Agency Housing | ||||
Revenue (Clinton Green South) VRDO | 0.180% | 9/7/12 | 11,625 | 11,625 |
7 New York State Housing Finance Agency Housing | ||||
Revenue (Clinton Green North) VRDO | 0.180% | 9/7/12 | 31,845 | 31,845 |
7 New York State Housing Finance Agency Housing | ||||
Revenue (Clinton Park) VRDO | 0.190% | 9/7/12 | 15,000 | 15,000 |
23
Prime Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Yield1 | Date | ($000) | ($000) | |
7 New York State Housing Finance Agency Housing | ||||
Revenue (East 84th Street) VRDO | 0.170% | 9/7/12 | 24,500 | 24,500 |
7 New York State Housing Finance Agency Housing | ||||
Revenue (Gotham West Housing) VRDO | 0.150% | 9/7/12 | 25,000 | 25,000 |
7 New York State Housing Finance Agency Housing | ||||
Revenue (Gotham West Housing) VRDO | 0.150% | 9/7/12 | 38,000 | 38,000 |
7 New York State Urban Development Corp. | ||||
Revenue (Service Contract) VRDO | 0.160% | 9/7/12 | 21,875 | 21,875 |
7 North Carolina Capital Facilities Finance Agency | ||||
Revenue (YMCA of the Triangle) VRDO | 0.190% | 9/7/12 | 11,100 | 11,100 |
7 North Carolina Capital Facilities Finance Agency | ||||
Revenue (YMCA of the Triangle) VRDO | 0.190% | 9/7/12 | 10,950 | 10,950 |
7 North Carolina Medical Care Commission Health | ||||
Care Facilities Revenue (Vidant Health) VRDO | 0.160% | 9/7/12 | 40,000 | 40,000 |
7 North Carolina Medical Care Commission Health | ||||
Care Facilities Revenue (WakeMed) VRDO | 0.170% | 9/7/12 | 27,500 | 27,500 |
7 Oakland University of Michigan Revenue VRDO | 0.160% | 9/7/12 | 8,600 | 8,600 |
7 Ohio Air Quality Development Authority Revenue | ||||
(Dayton Power & Light Co. Project) VRDO | 0.180% | 9/7/12 | 11,100 | 11,100 |
7 Ohio Higher Educational Facility Commission | ||||
Revenue (University Hospitals Health | ||||
System Inc.) VRDO | 0.180% | 9/7/12 | 25,000 | 25,000 |
Ohio State University General Receipts Revenue | ||||
VRDO | 0.160% | 9/7/12 | 115,300 | 115,300 |
Ohio State University General Receipts Revenue | ||||
VRDO | 0.160% | 9/7/12 | 6,600 | 6,600 |
7 Piedmont SC Municipal Power Agency Revenue | ||||
VRDO | 0.180% | 9/7/12 | 16,000 | 16,000 |
7 Richmond CA Multifamily Housing Revenue | ||||
(Baycliff Apartments Project) VRDO | 0.150% | 9/7/12 | 20,890 | 20,890 |
7 Russell County VA Industrial Development | ||||
Authority Hospital Revenue (STS Health Alliance) | ||||
VRDO | 0.170% | 9/7/12 | 9,365 | 9,365 |
7 Salem OH Hospital Facilities Improvement | ||||
Revenue (Salem Community Hospital Project) | ||||
VRDO | 0.180% | 9/7/12 | 12,745 | 12,745 |
7 Salem OR Hospital Facility Authority Revenue | ||||
(Salem Hospital Project) VRDO | 0.160% | 9/7/12 | 16,500 | 16,500 |
7 San Antonio TX Hotel Occupancy Tax Revenue | ||||
VRDO | 0.180% | 9/7/12 | 22,000 | 22,000 |
7 San Diego CA Housing Authority Multifamily | ||||
Housing Revenue (Villa Nueva Apartments) VRDO 0.150% | 9/7/12 | 29,600 | 29,600 | |
7 Simi Valley CA Multifamily Housing Revenue | ||||
(Parker Ranch Project) VRDO | 0.150% | 9/7/12 | 23,700 | 23,700 |
7 Smyth County VA Industrial Development | ||||
Authority Hospital Revenue VRDO | 0.150% | 9/7/12 | 22,100 | 22,100 |
7 St. Joseph MO Industrial Development Authority | ||||
Health Facilities Revenue (Heartland Regional | ||||
Medical Center) VRDO | 0.150% | 9/7/12 | 20,500 | 20,500 |
7 Syracuse NY Industrial Development Agency | ||||
Civic Facility Revenue (Syracuse University | ||||
Project) VRDO | 0.160% | 9/7/12 | 14,000 | 14,000 |
7 Tarrant County TX Cultural Education Facilities | ||||
Finance Corp. Hospital Revenue (Baylor Health | ||||
Care System Project) VRDO | 0.160% | 9/7/12 | 28,000 | 28,000 |
24
Prime Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Yield1 | Date | ($000) | ($000) | |
7 Tarrant County TX Cultural Education Facilities | ||||
Finance Corp. Hospital Revenue (Scott & White | ||||
Healthcare Project) VRDO | 0.170% | 9/7/12 | 68,000 | 68,000 |
Texas Department of Housing & Community | ||||
Affairs Single Family Revenue VRDO | 0.180% | 9/7/12 | 28,900 | 28,900 |
Texas Department of Housing & Community | ||||
Affairs Single Family Revenue VRDO | 0.180% | 9/7/12 | 42,400 | 42,400 |
Texas Department of Housing & Community | ||||
Affairs Single Family Revenue VRDO | 0.180% | 9/7/12 | 34,620 | 34,620 |
Texas Department of Housing & Community | ||||
Affairs Single Family Revenue VRDO | 0.210% | 9/7/12 | 21,025 | 21,025 |
Texas Department of Housing & Community | ||||
Affairs Single Mortgage Revenue VRDO | 0.210% | 9/7/12 | 64,065 | 64,065 |
8 Texas GO TOB VRDO | 0.200% | 9/4/12 | 496,000 | 496,000 |
7 Torrance CA Hospital Revenue (Torrance Memorial | ||||
Medical Center) VRDO | 0.180% | 9/7/12 | 19,600 | 19,600 |
7 University of South Florida Financing Corp. | ||||
COP VRDO | 0.180% | 9/7/12 | 39,675 | 39,675 |
7 Utah Housing Corp. Single Family Mortgage | ||||
Revenue VRDO | 0.150% | 9/7/12 | 6,800 | 6,800 |
7 Virginia Small Business Financing Authority | ||||
Health Facilities Revenue (Bon Secours Health | ||||
System Inc.) VRDO | 0.160% | 9/7/12 | 7,200 | 7,200 |
7 Warren County KY Revenue (Western Kentucky | ||||
University Student Life Foundation Inc. Project) | ||||
VRDO | 0.180% | 9/7/12 | 18,800 | 18,800 |
7 Warren County KY Revenue (Western Kentucky | ||||
University Student Life Foundation Inc. Project) | ||||
VRDO | 0.180% | 9/7/12 | 13,010 | 13,010 |
7 Washington Housing Finance Commission | ||||
Non-profit Housing Revenue (Rockwood | ||||
Retirement Communities Program) VRDO | 0.160% | 9/7/12 | 6,100 | 6,100 |
7 West Virginia Hospital Finance Authority Hospital | ||||
Revenue (Charleston Area Medical Center Inc.) | ||||
VRDO | 0.190% | 9/7/12 | 29,840 | 29,840 |
7 Whittier CA Health Facility Revenue (Presbyterian | ||||
Intercommunity Hospital) VRDO | 0.140% | 9/7/12 | 20,500 | 20,500 |
7 Wisconsin Health & Educational Facilities | ||||
Authority Revenue (Aurora Health Care Inc.) | ||||
VRDO | 0.160% | 9/7/12 | 31,200 | 31,200 |
Total Tax-Exempt Municipal Bonds (Cost $3,754,380) | 3,754,380 | |||
Corporate Bonds (0.1%) | ||||
Finance (0.1%) | ||||
4 Royal Bank of Canada (New York Branch) | 0.597% | 1/28/13 | 37,420 | 37,472 |
4 Royal Bank of Canada (New York Branch) | 0.530% | 1/8/13 | 75,000 | 75,067 |
General Electric Capital Corp. | 2.800% | 1/8/13 | 49,500 | 49,896 |
General Electric Capital Corp. | 5.450% | 1/15/13 | 19,475 | 19,827 |
Total Corporate Bonds (Cost $182,262) | 182,262 |
25
Prime Money Market Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Yield1 | Date | ($000) | ($000) | ||
Taxable Municipal Bonds (0.4%) | |||||
Taxable Municipal Bonds (0.4%) | |||||
7,8 | BlackRock Municipal Bond Trust TOB VRDO | 0.290% | 9/4/12 | 18,105 | 18,105 |
7,8 | BlackRock Municipal Income Investment Quality | ||||
Trust TOB VRDO | 0.290% | 9/4/12 | 9,660 | 9,660 | |
7,8 | BlackRock Municipal Income Trust TOB VRDO | 0.290% | 9/4/12 | 207,000 | 207,000 |
7,8 | BlackRock MuniHoldings Fund II, Inc. TOB VRDO | 0.290% | 9/4/12 | 21,850 | 21,850 |
7,8 | BlackRock MuniHoldings Fund, Inc. TOB VRDO | 0.290% | 9/4/12 | 19,165 | 19,165 |
7,8 | BlackRock MuniHoldings Quality Fund II, Inc. | ||||
TOB VRDO | 0.290% | 9/4/12 | 19,875 | 19,875 | |
7,8 | BlackRock MuniHoldings Quality Fund II, Inc. | ||||
TOB VRDO | 0.290% | 9/4/12 | 100,000 | 100,000 | |
7,8 | BlackRock MuniYield Investment Quality Fund | ||||
TOB VRDO | 0.290% | 9/4/12 | 12,910 | 12,910 | |
7,8 | BlackRock Strategic Municipal Trust TOB VRDO | 0.290% | 9/4/12 | 9,820 | 9,820 |
7,8 | Los Angeles CA Department of Water & Power | ||||
Revenue TOB VRDO | 0.250% | 9/7/12 | 13,000 | 13,000 | |
8 | Massachusetts Transportation Fund Revenue | ||||
TOB VRDO | 0.250% | 9/7/12 | 13,100 | 13,100 | |
7,8 | Seattle WA Municipal Light & Power Revenue | ||||
TOB VRDO | 0.250% | 9/7/12 | 6,400 | 6,400 | |
Total Taxable Municipal Bonds (Cost $450,885) | 450,885 | ||||
Total Investments (99.8%) (Cost $114,567,894) | 114,567,894 | ||||
Other Assets and Liabilities (0.2%) | |||||
Other Assets | 496,873 | ||||
Liabilities | (310,237) | ||||
186,636 | |||||
Net Assets (100%) | 114,754,530 |
26
Prime Money Market Fund | |
At August 31, 2012, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 114,744,804 |
Undistributed Net Investment Income | — |
Accumulated Net Realized Gains | 9,726 |
Net Assets | 114,754,530 |
Investor Shares—Net Assets | |
Applicable to 90,194,361,339 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 90,211,644 |
Net Asset Value Per Share—Investor Shares | $1.00 |
Institutional Shares—Net Assets | |
Applicable to 24,539,810,565 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 24,542,886 |
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, as needed to maintain a positive net worth, 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 August 31, 2012, the aggregate value of these securities was $18,564,118,000, representing 16.2% 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 Scheduled principal and interest payments are guaranteed by bank letter of credit.
8 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At August 31, 2012, the aggregate value of these securities was $946,885,000, representing 0.8% 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.
27
Prime Money Market Fund
Statement of Operations
Year Ended | |
August 31, 2012 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 224,102 |
Total Income | 224,102 |
Expenses | |
The Vanguard Group—Note B | |
Management and Administrative—Investor Shares | 117,418 |
Management and Administrative—Institutional Shares | 12,801 |
Marketing and Distribution—Investor Shares | 26,606 |
Marketing and Distribution—Institutional Shares | 6,684 |
Custodian Fees | 1,912 |
Auditing Fees | 28 |
Shareholders’ Reports—Investor Shares | 926 |
Shareholders’ Reports—Institutional Shares | 155 |
Trustees’ Fees and Expenses | 122 |
Total Expenses | 166,652 |
Net Investment Income | 57,450 |
Realized Net Gain (Loss) on Investment Securities Sold | 1,405 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 58,855 |
1 Interest income from an affiliated company of the fund was $2,199,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
28
Prime Money Market Fund
Statement of Changes in Net Assets
Year Ended August 31, | ||
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 57,450 | 90,513 |
Realized Net Gain (Loss) | 1,405 | 1,676 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 58,855 | 92,189 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (32,517) | (55,253) |
Institutional Shares | (24,933) | (35,260) |
Realized Capital Gain | ||
Investor Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (57,450) | (90,513) |
Capital Share Transactions | ||
Investor Shares | (2,193,142) | 3,718,120 |
Institutional Shares | 2,803,343 | 2,631,581 |
Net Increase (Decrease) from Capital Share Transactions | 610,201 | 6,349,701 |
Total Increase (Decrease) | 611,606 | 6,351,377 |
Net Assets | ||
Beginning of Period | 114,142,924 | 107,791,547 |
End of Period | 114,754,530 | 114,142,924 |
See accompanying Notes, which are an integral part of the Financial Statements.
29
Prime Money Market Fund
Financial Highlights
Investor Shares
For a Share Outstanding | 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 | .0004 | .001 | .001 | .013 | .035 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | — | — | — | — | — |
Total from Investment Operations | .0004 | .001 | .001 | .013 | .035 |
Distributions | |||||
Dividends from Net Investment Income | (.0004) | (.001) | (.001) | (.013) | (.035) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.0004) | (.001) | (.001) | (.013) | (.035) |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return1 | 0.04% | 0.06% | 0.08% | 1.31% | 3.60% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $90,212 | $92,404 | $88,684 | $96,078 | $92,483 |
Ratio of Total Expenses to | |||||
Average Net Assets | 0.16% | 0.20% | 0.23% | 0.28%2 | 0.23% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 0.04% | 0.06% | 0.08% | 1.25% | 3.49% |
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.
30
Prime Money Market Fund
Financial Highlights
Institutional Shares
For a Share Outstanding | 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 | .001 | .002 | .002 | .015 | .037 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | — | — | — | — | — |
Total from Investment Operations | .001 | .002 | .002 | .015 | .037 |
Distributions | |||||
Dividends from Net Investment Income | (.001) | (.002) | (.002) | (.015) | (.037) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.001) | (.002) | (.002) | (.015) | (.037) |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return | 0.11% | 0.17% | 0.22% | 1.47% | 3.75% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $24,543 | $21,739 | $19,107 | $18,323 | $13,844 |
Ratio of Total Expenses to | |||||
Average Net Assets | 0.09% | 0.09% | 0.09% | 0.13%1 | 0.08% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 0.11% | 0.17% | 0.22% | 1.40% | 3.64% |
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.
31
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, 2009–2012), 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 August 31, 2012, the fund had contributed capital of $16,449,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 6.58% 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.
32
Prime Money Market Fund
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The fund’s investment in Vanguard Municipal Cash Management Fund is valued based on Level 1 inputs. All of the fund’s other investments were valued using amortized cost, in accordance with rules under the Investment Company Act of 1940. Amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, securities valued at amortized cost are considered to be valued using Level 2 inputs.
D. Capital share transactions for each class of shares were:
Year Ended August 31, | ||||
2012 | 2011 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 103,443,975 | 103,443,975 | 119,751,906 | 119,751,906 |
Issued in Lieu of Cash Distributions | 31,844 | 31,844 | 53,993 | 53,993 |
Redeemed | (105,668,961) | (105,668,961) | (116,087,779) | (116,087,779) |
Net Increase (Decrease)—Investor Shares | (2,193,142) | (2,193,142) | 3,718,120 | 3,718,120 |
Institutional Shares | ||||
Issued | 18,703,639 | 18,703,639 | 20,303,805 | 20,303,805 |
Issued in Lieu of Cash Distributions | 24,338 | 24,338 | 34,248 | 34,248 |
Redeemed | (15,924,634) | (15,924,634) | (17,706,472) | (17,706,472) |
Net Increase (Decrease) —Institutional Shares | 2,803,343 | 2,803,343 | 2,631,581 | 2,631,581 |
E. In preparing the financial statements as of August 31, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
33
Federal Money Market Fund
Fund Profile
As of August 31, 2012
Financial Attributes | |
Ticker Symbol | VMFXX |
Expense Ratio1 | 0.20% |
7-Day SEC Yield | 0.01% |
Average Weighted | |
Maturity | 59 days |
Sector Diversification (% of portfolio) | |
U.S. Treasury Bills | 34.1% |
U.S. Government Agency Obligations | 65.3 |
Repurchase Agreements | 0.6 |
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 fiscal year ended August 31, 2012, the expense ratio was 0.12%, reflecting a temporary reduction in operating expenses (described in Note B of the Notes to Financial Statements). Before this reduction, the expense ratio was 0.16%.
34
Federal Money Market Fund
Performance Summary
Investment returns will fluctuate. All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) The returns shown do not reflect taxes that a shareholder would pay on fund distributions. An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the fund seeks to preserve the value of your investment at $1 per share, it is possible to lose money by investing in the fund. The fund’s 7-day SEC yield reflects its current earnings more closely than do the average annual returns.
Cumulative Performance: August 31, 2002, Through August 31, 2012
Initial Investment of $10,000
Average Annual Total Returns | ||||
Periods Ended August 31, 2012 | ||||
Final Value | ||||
One | Five | Ten | of a $10,000 | |
Year | Years | Years | Investment | |
Federal Money Market Fund | 0.01% | 0.91% | 1.81% | $11,966 |
Government Money Market Funds | ||||
Average | 0.00 | 0.62 | 1.42 | 11,510 |
Citigroup Three-Month U.S. Treasury | ||||
Bill Index | 0.05 | 0.71 | 1.74 | 11,882 |
See Financial Highlights for dividend information.
35
Federal Money Market Fund
Fiscal-Year Total Returns (%): August 31, 2002, Through August 31, 2012
Gov’t Money | ||
Market Funds | ||
Average | ||
Fiscal Year | Total Returns | Total Returns |
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 | 0.01 | 0.00 |
7-day SEC yield (8/31/2012): 0.01%
Government Money Market Funds Average: Derived from data provided by Lipper Inc.
Average Annual Total Returns: Periods Ended June 30, 2012
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% | 1.08% | 1.84% |
36
Federal Money Market Fund
Financial Statements
Statement of Net Assets
As of August 31, 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 (99.5%) | |||||
2 | Fannie Mae Discount Notes | 0.170% | 9/12/12 | 16,850 | 16,849 |
2 | Fannie Mae Discount Notes | 0.140%–0.150% | 9/19/12 | 32,495 | 32,493 |
2 | Fannie Mae Discount Notes | 0.170% | 9/26/12 | 7,809 | 7,808 |
2 | Fannie Mae Discount Notes | 0.140% | 10/1/12 | 54,500 | 54,494 |
2 | Fannie Mae Discount Notes | 0.140%–0.160% | 10/3/12 | 50,000 | 49,993 |
2 | Fannie Mae Discount Notes | 0.140%–0.150% | 10/10/12 | 31,269 | 31,264 |
2 | Fannie Mae Discount Notes | 0.140% | 10/15/12 | 54,200 | 54,191 |
2 | Fannie Mae Discount Notes | 0.140%–0.150% | 10/17/12 | 29,000 | 28,994 |
2 | Fannie Mae Discount Notes | 0.140% | 11/7/12 | 37,000 | 36,990 |
2 | Fannie Mae Discount Notes | 0.140% | 11/14/12 | 24,000 | 23,993 |
2 | Fannie Mae Discount Notes | 0.180% | 12/3/12 | 5,000 | 4,998 |
2 | Fannie Mae Discount Notes | 0.185% | 1/23/13 | 26,244 | 26,225 |
2 | Fannie Mae Discount Notes | 0.170%–0.172% | 2/14/13 | 9,100 | 9,093 |
2 | Fannie Mae Discount Notes | 0.170% | 2/20/13 | 5,700 | 5,695 |
2 | Fannie Mae Discount Notes | 0.160% | 2/27/13 | 60,000 | 59,952 |
3 | Federal Home Loan Bank Discount Notes | 0.140% | 9/5/12 | 10,000 | 10,000 |
3 | Federal Home Loan Bank Discount Notes | 0.130%–0.140% | 9/14/12 | 109,173 | 109,168 |
3 | Federal Home Loan Bank Discount Notes | 0.130% | 9/17/12 | 25,000 | 24,999 |
3 | Federal Home Loan Bank Discount Notes | 0.140% | 9/19/12 | 10,426 | 10,425 |
3 | Federal Home Loan Bank Discount Notes | 0.160% | 9/28/12 | 50,000 | 49,994 |
3 | Federal Home Loan Bank Discount Notes | 0.160% | 10/3/12 | 7,000 | 6,999 |
3 | Federal Home Loan Bank Discount Notes | 0.134% | 10/5/12 | 75,000 | 74,990 |
3 | Federal Home Loan Bank Discount Notes | 0.140% | 10/10/12 | 145,050 | 145,028 |
3 | Federal Home Loan Bank Discount Notes | 0.140%–0.145% | 10/12/12 | 25,350 | 25,346 |
3 | Federal Home Loan Bank Discount Notes | 0.140% | 10/15/12 | 4,100 | 4,099 |
3 | Federal Home Loan Bank Discount Notes | 0.140% | 10/17/12 | 3,000 | 2,999 |
3 | Federal Home Loan Bank Discount Notes | 0.140%–0.150% | 10/19/12 | 21,512 | 21,508 |
3 | Federal Home Loan Bank Discount Notes | 0.140% | 10/24/12 | 118,000 | 117,976 |
3 | Federal Home Loan Bank Discount Notes | 0.135% | 10/31/12 | 5,000 | 4,999 |
3 | Federal Home Loan Bank Discount Notes | 0.130% | 11/2/12 | 4,520 | 4,519 |
3 | Federal Home Loan Bank Discount Notes | 0.128%–0.130% | 11/7/12 | 145,000 | 144,965 |
3 | Federal Home Loan Bank Discount Notes | 0.140% | 11/9/12 | 13,000 | 12,996 |
3 | Federal Home Loan Bank Discount Notes | 0.140% | 11/14/12 | 1,500 | 1,500 |
3 | Federal Home Loan Bank Discount Notes | 0.135% | 11/21/12 | 35,000 | 34,989 |
3 | Federal Home Loan Bank Discount Notes | 0.180% | 11/23/12 | 12,800 | 12,795 |
37
Federal Money Market Fund | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Yield1 | Date | ($000) | ($000) | ||
3 | Federal Home Loan Bank Discount Notes | 0.180% | 12/5/12 | 4,100 | 4,098 |
3 | Federal Home Loan Bank Discount Notes | 0.180% | 12/21/12 | 60,000 | 59,967 |
3 | Federal Home Loan Bank Discount Notes | 0.170% | 2/4/13 | 5,000 | 4,996 |
3 | Federal Home Loan Bank Discount Notes | 0.165% | 2/20/13 | 2,800 | 2,798 |
3,4 | Federal Home Loan Banks | 0.186% | 11/1/12 | 10,000 | 10,000 |
3,4 | Federal Home Loan Banks | 0.166% | 12/27/12 | 97,240 | 97,245 |
2,4 | Federal Home Loan Mortgage Corp. | 0.186% | 11/2/12 | 13,725 | 13,725 |
2,4 | Federal Home Loan Mortgage Corp. | 0.197% | 3/21/13 | 13,000 | 12,996 |
2,4 | Federal Home Loan Mortgage Corp. | 0.194% | 5/6/13 | 48,000 | 47,985 |
2,4 | Federal Home Loan Mortgage Corp. | 0.195% | 6/3/13 | 60,000 | 59,982 |
2,4 | Federal Home Loan Mortgage Corp. | 0.188% | 6/17/13 | 123,200 | 123,226 |
2,4 | Federal National Mortgage Assn. | 0.268% | 9/17/12 | 42,500 | 42,500 |
2,4 | Federal National Mortgage Assn. | 0.258% | 11/23/12 | 106,700 | 106,704 |
2,4 | Federal National Mortgage Assn. | 0.266% | 12/28/12 | 7,700 | 7,703 |
2,4 | Federal National Mortgage Assn. | 0.229% | 8/12/13 | 30,000 | 29,991 |
2,4 | Federal National Mortgage Assn. | 0.213% | 11/8/13 | 50,000 | 49,982 |
2,4 | Federal National Mortgage Assn. | 0.210% | 11/14/13 | 65,000 | 64,977 |
2 | Freddie Mac Discount Notes | 0.170% | 9/10/12 | 35,000 | 34,999 |
2 | Freddie Mac Discount Notes | 0.130% | 9/17/12 | 50,000 | 49,997 |
2 | Freddie Mac Discount Notes | 0.160% | 9/24/12 | 10,000 | 9,999 |
2 | Freddie Mac Discount Notes | 0.130%–0.160% | 10/1/12 | 80,792 | 80,782 |
2 | Freddie Mac Discount Notes | 0.135% | 10/11/12 | 10,000 | 9,998 |
2 | Freddie Mac Discount Notes | 0.140% | 10/15/12 | 85,000 | 84,985 |
2 | Freddie Mac Discount Notes | 0.150% | 10/22/12 | 6,800 | 6,799 |
2 | Freddie Mac Discount Notes | 0.120%–0.150% | 10/29/12 | 105,000 | 104,979 |
2 | Freddie Mac Discount Notes | 0.150% | 11/1/12 | 6,800 | 6,798 |
2 | Freddie Mac Discount Notes | 0.130% | 11/5/12 | 35,000 | 34,992 |
2 | Freddie Mac Discount Notes | 0.145% | 11/6/12 | 4,300 | 4,299 |
2 | Freddie Mac Discount Notes | 0.140% | 11/13/12 | 12,136 | 12,133 |
2 | Freddie Mac Discount Notes | 0.150% | 11/15/12 | 7,000 | 6,998 |
2 | Freddie Mac Discount Notes | 0.145%–0.150% | 11/19/12 | 10,700 | 10,697 |
2 | Freddie Mac Discount Notes | 0.140% | 11/27/12 | 57,600 | 57,581 |
2 | Freddie Mac Discount Notes | 0.180%–0.250% | 12/10/12 | 17,900 | 17,890 |
2 | Freddie Mac Discount Notes | 0.150%–0.180% | 1/3/13 | 24,450 | 24,437 |
2 | Freddie Mac Discount Notes | 0.170% | 2/11/13 | 6,693 | 6,688 |
2 | Freddie Mac Discount Notes | 0.160% | 2/25/13 | 50,000 | 49,961 |
United States Treasury Bill | 0.138% | 9/6/12 | 50,000 | 49,999 | |
United States Treasury Bill | 0.146% | 9/13/12 | 50,000 | 49,998 | |
United States Treasury Bill | 0.150% | 9/27/12 | 50,000 | 49,995 | |
United States Treasury Bill | 0.140% | 10/4/12 | 50,000 | 49,994 | |
United States Treasury Bill | 0.115%–0.126% | 10/18/12 | 140,000 | 139,978 | |
United States Treasury Bill | 0.150% | 11/1/12 | 50,000 | 49,987 | |
United States Treasury Bill | 0.148% | 11/15/12 | 120,000 | 119,963 | |
United States Treasury Bill | 0.143%–0.145% | 11/23/12 | 50,000 | 49,983 | |
United States Treasury Bill | 0.143%–0.146% | 11/29/12 | 43,000 | 42,985 | |
United States Treasury Bill | 0.143% | 12/13/12 | 125,000 | 124,949 | |
United States Treasury Bill | 0.150% | 12/20/12 | 50,000 | 49,977 | |
United States Treasury Bill | 0.153%–0.155% | 12/27/12 | 90,000 | 89,955 | |
United States Treasury Bill | 0.145% | 2/21/13 | 150,000 | 149,895 | |
United States Treasury Note/Bond | 1.375% | 9/15/12 | 56,000 | 56,025 | |
United States Treasury Note/Bond | 4.250% | 9/30/12 | 56,000 | 56,182 | |
United States Treasury Note/Bond | 1.375% | 10/15/12 | 38,000 | 38,055 | |
United States Treasury Note/Bond | 0.375% | 10/31/12 | 18,000 | 18,007 | |
United States Treasury Note/Bond | 3.875% | 10/31/12 | 5,000 | 5,030 | |
United States Treasury Note/Bond | 1.375% | 11/15/12 | 100,000 | 100,248 |
38
Federal Money Market Fund
Face | Market | |||
Maturity | Amount | Value | ||
Yield1 | Date | ($000) | ($000) | |
United States Treasury Note/Bond | 3.375% | 11/30/12 | 17,000 | 17,133 |
United States Treasury Note/Bond | 0.500% | 11/30/12 | 140,000 | 140,116 |
United States Treasury Note/Bond | 1.125% | 12/15/12 | 15,000 | 15,040 |
Total U.S. Government and Agency Obligations (Cost $4,080,707) | 4,080,707 | |||
Repurchase Agreements (0.4%) | ||||
Goldman Sachs & Co. | ||||
(Dated 8/31/12, Repurchase Value $2,000,000, | ||||
collateralized by Federal Farm Credit Bank | ||||
0.350%–2.940%, 9/23/13–10/3/23) | 0.190% | 9/4/12 | 2,000 | 2,000 |
JP Morgan Securities LLC | ||||
(Dated 8/31/12, Repurchase Value $7,000,000, | ||||
collateralized by U.S. Treasury Note/Bond | ||||
0.250%, 8/31/14) | 0.180% | 9/4/12 | 7,000 | 7,000 |
RBC Capital Markets LLC | ||||
(Dated 8/31/12, Repurchase Value $3,000,000, | ||||
collateralized by U.S. Treasury Note/Bond | ||||
2.625%, 7/31/14) | 0.150% | 9/4/12 | 3,000 | 3,000 |
TD Securities (USA) LLC | ||||
(Dated 8/31/12, Repurchase Value $5,000,000, | ||||
collateralized by U.S. Treasury Note/Bond | ||||
1.250%, 3/15/14) | 0.170% | 9/4/12 | 5,000 | 5,000 |
Total Repurchase Agreements (Cost $17,000) | 17,000 | |||
Total Investments (99.9%) (Cost $4,097,707) | 4,097,707 | |||
Other Assets and Liabilities (0.1%) | ||||
Other Assets | 9,850 | |||
Liabilities | (4,387) | |||
5,463 | ||||
Net Assets (100%) | ||||
Applicable to 4,102,508,514 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 4,103,170 | |||
Net Asset Value Per Share | $1.00 |
At August 31, 2012, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 4,103,024 |
Undistributed Net Investment Income | — |
Accumulated Net Realized Gains | 146 |
Net Assets | 4,103,170 |
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, as needed to maintain a positive net worth, 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.
39
Federal Money Market Fund | |
Statement of Operations | |
Year Ended | |
August 31, 2012 | |
($000) | |
Investment Income | |
Income | |
Interest | 5,947 |
Total Income | 5,947 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 203 |
Management and Administrative | 5,879 |
Marketing and Distribution | 910 |
Custodian Fees | 74 |
Auditing Fees | 28 |
Shareholders’ Reports | 49 |
Trustees’ Fees and Expenses | 5 |
Total Expenses | 7,148 |
Expense Reduction—Note B | (1,645) |
Net Expenses | 5,503 |
Net Investment Income | 444 |
Realized Net Gain (Loss) on Investment Securities Sold | 35 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 479 |
See accompanying Notes, which are an integral part of the Financial Statements.
40
Federal Money Market Fund | ||
Statement of Changes in Net Assets | ||
Year Ended August 31, | ||
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 444 | 903 |
Realized Net Gain (Loss) | 35 | 45 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 479 | 948 |
Distributions | ||
Net Investment Income | (444) | (903) |
Realized Capital Gain | — | — |
Total Distributions | (444) | (903) |
Capital Share Transactions (at $1.00) | ||
Issued | 379,852 | 474,221 |
Issued in Lieu of Cash Distributions | 435 | 881 |
Redeemed | (1,071,053) | (1,729,232) |
Net Increase (Decrease) from Capital Share Transactions | (690,766) | (1,254,130) |
Total Increase (Decrease) | (690,731) | (1,254,085) |
Net Assets | ||
Beginning of Period | 4,793,901 | 6,047,986 |
End of Period | 4,103,170 | 4,793,901 |
See accompanying Notes, which are an integral part of the Financial Statements.
41
Federal Money Market Fund | |||||
Financial Highlights | |||||
For a Share Outstanding | 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 | .0001 | .0002 | .0004 | .011 | .034 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | — | — | — | — | — |
Total from Investment Operations | .0001 | .0002 | .0004 | .011 | .034 |
Distributions | |||||
Dividends from Net Investment Income | (.0001) | (.0002) | (.0004) | (.011) | (.034) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.0001) | (.0002) | (.0004) | (.011) | (.034) |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return1 | 0.01% | 0.02% | 0.04% | 1.06% | 3.46% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $4,103 | $4,794 | $6,048 | $9,386 | $8,982 |
Ratio of Expenses to | |||||
Average Net Assets | 0.12%2 | 0.19%2 | 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% |
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 0.16% and 0.20%. See Note B in the Notes to Financial Statements.
3 Includes 0.02% of fees to participate in the Treasury Temporary Guarantee Program for Money Market Funds.
See accompanying Notes, which are an integral part of the Financial Statements.
42
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, 2009–2012), 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 August 31, 2012, the fund had contributed capital of $600,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.24% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard. Vanguard and the board of trustees have agreed to temporarily limit certain net operating expenses in excess of the fund’s daily yield so as to maintain a zero or positive yield for the fund. Vanguard and the board of trustees may terminate the temporary expense limitation at any time. For the year ended August 31, 2012, Vanguard’s expenses were reduced by $1,645,000 (an effective annual rate of 0.04% of the fund’s average net assets).
43
Federal Money Market Fund
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
At August 31, 2012, 100% of the market value of the fund’s investments was determined using amortized cost, in accordance with rules under the Investment Company Act of 1940. Amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, securities valued at amortized cost are considered to be valued using Level 2 inputs.
D. In preparing the financial statements as of August 31, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
44
Admiral Treasury Money Market Fund
Fund Profile
As of August 31, 2012
Financial Attributes | |
Ticker Symbol | VUSXX |
Expense Ratio1 | 0.12% |
7-Day SEC Yield | 0.02% |
Average Weighted | |
Maturity | 56 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 fiscal year ended August 31, 2012, the expense ratio was 0.05%, reflecting a temporary reduction in operating expenses (described in Note B of the Notes to Financial Statements). Before this reduction, the expense ratio was 0.10%.
45
Admiral Treasury Money Market Fund
Performance Summary
Investment returns will fluctuate. All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) The returns shown do not reflect taxes that a shareholder would pay on fund distributions. An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the fund seeks to preserve the value of your investment at $1 per share, it is possible to lose money by investing in the fund. The fund’s 7-day SEC yield reflects its current earnings more closely than do the average annual returns.
Cumulative Performance: August 31, 2002, Through August 31, 2012
Initial Investment of $50,000
Average Annual Total Returns | ||||
Periods Ended August 31, 2012 | ||||
Final Value | ||||
One | Five | Ten | of a $50,000 | |
Year | Years | Years | Investment | |
Admiral Treasury Money Market | ||||
Fund | 0.01% | 0.76% | 1.73% | $59,369 |
iMoneyNet Money Fund Report’s | ||||
100% Treasury Funds Average | 0.00 | 0.45 | 1.27 | 56,722 |
Citigroup Three-Month U.S. Treasury | ||||
Bill Index | 0.05 | 0.71 | 1.74 | 59,411 |
iMoneyNet Money Fund Report’s 100% Treasury Funds Average: Derived from data provided by iMoneyNet, Inc.
See Financial Highlights for dividend information.
46
Admiral Treasury Money Market Fund
Fiscal-Year Total Returns (%): August 31, 2002, Through August 31, 2012
iMoneyNet | ||
Average | ||
Fiscal Year | Total Returns | Total Returns |
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 | 0.01 | 0.00 |
7-day SEC yield (8/31/2012): 0.02%
iMoneyNet Money Fund Report’s 100% Treasury Funds Average: Derived from data provided by iMoneyNet, Inc.
Average Annual Total Returns: Periods Ended June 30, 2012
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 | 0.01% | 0.92% | 1.76% |
47
Admiral Treasury Money Market Fund
Financial Statements
Statement of Net Assets
As of August 31, 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 (100.0%) | ||||
United States Cash Management Bill | 0.113% | 9/17/12 | 3,955 | 3,955 |
United States Treasury Bill | 0.076%–0.120% | 9/6/12 | 672,843 | 672,835 |
United States Treasury Bill | 0.076%–0.090% | 9/13/12 | 810,786 | 810,762 |
United States Treasury Bill | 0.096%–0.098% | 9/20/12 | 1,020,000 | 1,019,947 |
United States Treasury Bill | 0.091%–0.150% | 9/27/12 | 1,422,000 | 1,421,890 |
United States Treasury Bill | 0.103%–0.140% | 10/4/12 | 1,200,000 | 1,199,870 |
United States Treasury Bill | 0.093%–0.150% | 10/11/12 | 918,000 | 917,879 |
United States Treasury Bill | 0.091% | 10/18/12 | 624,000 | 623,926 |
United States Treasury Bill | 0.090%–0.091% | 10/25/12 | 881,000 | 880,881 |
United States Treasury Bill | 0.108%–0.150% | 11/1/12 | 790,000 | 789,840 |
United States Treasury Bill | 0.100%–0.145% | 11/8/12 | 900,000 | 899,814 |
United States Treasury Bill | 0.110%–0.148% | 11/15/12 | 825,000 | 824,791 |
United States Treasury Bill | 0.104%–0.143% | 11/23/12 | 968,000 | 967,754 |
United States Treasury Bill | 0.110% | 11/29/12 | 750,000 | 749,796 |
United States Treasury Bill | 0.145% | 1/10/13 | 228,000 | 227,880 |
United States Treasury Bill | 0.143% | 1/17/13 | 250,000 | 249,864 |
United States Treasury Bill | 0.140% | 1/24/13 | 140,000 | 139,921 |
United States Treasury Bill | 0.138% | 2/7/13 | 200,000 | 199,878 |
United States Treasury Bill | 0.145% | 2/14/13 | 100,000 | 99,933 |
United States Treasury Note/Bond | 0.500% | 11/30/12 | 550,000 | 550,458 |
United States Treasury Note/Bond | 3.875% | 2/15/13 | 100,000 | 101,678 |
Total U.S. Government and Agency Obligations (Cost $13,353,552) | 13,353,552 | |||
Total Investments (100.0%) (Cost $13,353,552) | 13,353,552 |
48
Admiral Treasury Money Market Fund | |
Market | |
Value | |
($000) | |
Other Assets and Liabilities (0.0%) | |
Other Assets | 13,611 |
Liabilities | (13,460) |
151 | |
Net Assets (100%) | |
Applicable to 13,350,463,734 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 13,353,703 |
Net Asset Value Per Share | $1.00 |
At August 31, 2012, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 13,353,510 |
Undistributed Net Investment Income | — |
Accumulated Net Realized Gains | 193 |
Net Assets | 13,353,703 |
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.
49
Admiral Treasury Money Market Fund
Statement of Operations
Year Ended | |
August 31, 2012 | |
($000) | |
Investment Income | |
Income | |
Interest | 8,739 |
Total Income | 8,739 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 652 |
Management and Administrative | 10,572 |
Marketing and Distribution | 2,570 |
Custodian Fees | 214 |
Auditing Fees | 23 |
Shareholders’ Reports | 75 |
Trustees’ Fees and Expenses | 14 |
Total Expenses | 14,120 |
Expense Reduction—Note B | (6,934) |
Net Expenses | 7,186 |
Net Investment Income | 1,553 |
Realized Net Gain (Loss) on Investment Securities Sold | 46 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,599 |
See accompanying Notes, which are an integral part of the Financial Statements.
50
Admiral Treasury Money Market Fund
Statement of Changes in Net Assets
Year Ended August 31, | ||
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 1,553 | 2,726 |
Realized Net Gain (Loss) | 46 | 110 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,599 | 2,836 |
Distributions | ||
Net Investment Income | (1,553) | (2,726) |
Realized Capital Gain | — | — |
Total Distributions | (1,553) | (2,726) |
Capital Share Transactions (at $1.00) | ||
Issued | 865,430 | 976,384 |
Issued in Lieu of Cash Distributions | 1,508 | 2,643 |
Redeemed | (2,827,163) | (4,391,653) |
Net Increase (Decrease) from Capital Share Transactions | (1,960,225) | (3,412,626) |
Total Increase (Decrease) | (1,960,179) | (3,412,516) |
Net Assets | ||
Beginning of Period | 15,313,882 | 18,726,398 |
End of Period | 13,353,703 | 15,313,882 |
See accompanying Notes, which are an integral part of the Financial Statements.
51
Admiral Treasury Money Market Fund
Financial Highlights
For a Share Outstanding | 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 | .0001 | .0002 | .0003 | .007 | .030 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | — | — | — | — | — |
Total from Investment Operations | .0001 | .0002 | .0003 | .007 | .030 |
Distributions | |||||
Dividends from Net Investment Income | (.0001) | (.0002) | (.0003) | (.007) | (.030) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.0001) | (.0002) | (.0003) | (.007) | (.030) |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return1 | 0.01% | 0.02% | 0.03% | 0.70% | 3.08% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $13,354 | $15,314 | $18,726 | $25,435 | $23,289 |
Ratio of Expenses to | |||||
Average Net Assets | 0.05%2 | 0.11%2 | 0.14% | 0.15%3 | 0.10% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 0.01% | 0.02% | 0.03% | 0.74% | 2.98% |
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 0.10% 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.
52
Admiral Treasury Money Market Fund
Notes to Financial Statements
Vanguard Admiral Treasury Money Market Fund is registered under the Investment Company Act 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, 2009–2012), 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 amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At August 31, 2012, the fund had contributed capital of $1,953,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.78% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard. Vanguard and the board of trustees have agreed to temporarily limit certain net operating expenses in excess of the fund’s daily yield so as to maintain a zero or positive yield for the fund. Vanguard and the board of trustees may terminate the temporary expense limitation at any time. For the year ended August 31, 2012, Vanguard’s expenses were reduced by $6,934,000 (an effective annual rate of 0.05% 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).
53
Admiral Treasury Money Market Fund
At August 31, 2012, 100% of the market value of the fund’s investments was determined using amortized cost, in accordance with rules under the Investment Company Act of 1940. Amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, securities valued at amortized cost are considered to be valued using Level 2 inputs.
D. In preparing the financial statements as of August 31, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
54
Report of Independent Registered
Public Accounting Firm
To the Trustees of Vanguard Money Market Reserves and Vanguard Admiral Funds and the Shareholders of Vanguard Prime Money Market Fund, Vanguard Federal Money Market Fund and Vanguard Admiral Treasury Money Market Fund:
In our opinion, the accompanying statements of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Prime Money Market Fund, Vanguard Federal Money Market Fund and Vanguard Admiral Treasury Money Market Fund (the “Funds”) at August 31, 2012, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at August 31, 2012 by correspondence with the custodians and brokers and by agreement to the underlying ownership records of Vanguard Municipal Cash Management Fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 11, 2012
55
Special 2012 tax information (unaudited) for Vanguard Prime Money Market Fund |
This information for the fiscal year ended August 31, 2012, is included pursuant to provisions of the |
Internal Revenue Code. |
For nonresident alien shareholders, 70.0% of income dividends are interest-related dividends. |
Special 2012 tax information (unaudited) for Vanguard Federal Money Market Fund |
This information for the fiscal year ended August 31, 2012, is included pursuant to provisions of the |
Internal Revenue Code. |
For nonresident alien shareholders, 100% of income dividends are interest-related dividends. |
Special 2012 tax information (unaudited) for Vanguard Admiral Treasury Money Market Fund |
This information for the fiscal year ended August 31, 2012, is included pursuant to provisions of the |
Internal Revenue Code. |
For nonresident alien shareholders, 100% of income dividends are interest-related dividends. |
56
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.
57
Six Months Ended August 31, 2012 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
2/29/2012 | 8/31/2012 | Period | |
Based on Actual Fund Return | |||
Prime Money Market Fund | |||
Investor Shares | $1,000.00 | $1,000.21 | $0.81 |
Institutional Shares | 1,000.00 | 1,000.54 | 0.45 |
Federal Money Market Fund | $1,000.00 | $1,000.05 | $0.71 |
Admiral Treasury Money Market Fund | $1,000.00 | $1,000.06 | $0.40 |
Based on Hypothetical 5% Yearly Return | |||
Prime Money Market Fund | |||
Investor Shares | $1,000.00 | $1,024.40 | $0.82 |
Institutional Shares | 1,000.00 | 1,024.75 | 0.46 |
Federal Money Market Fund | $1,000.00 | $1,024.50 | $0.71 |
Admiral Treasury Money Market Fund | $1,000.00 | $1,024.80 | $0.41 |
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for the period are: for the Prime Money Market Fund, 0.16% for Investor Shares and 0.09% for Institutional Shares; for the Federal Money Market Fund, 0.14%; and for the Admiral Treasury Money Market Fund, 0.08%. The annualized six-month expense ratios for the Federal Money Market Fund and the Admiral Treasury Money Market Fund reflect a temporary reduction in operating expenses (described in Note B of the Notes to Financial Statements). Before the reduction, the annualized six-month expense ratios were: for the Federal Money Market Fund, 0.18%; and for the Admiral Treasury Money Market Fund, 0.13%.
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Trustees Approve Advisory Arrangement
The board of trustees of Vanguard Prime Money Market Fund, Federal Money Market Fund, and Admiral Treasury Money Market Fund has renewed the funds’ investment advisory arrangement with The Vanguard Group, Inc. Vanguard—through its Fixed Income Group—serves as the investment advisor to the funds. The board determined that continuing the funds’ internalized management structure was in the best interests of the funds and their shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board considered the quality of the funds’ investment management over both the short and long term and took into account the organizational depth and stability of the advisor. The board noted that Vanguard has been managing investments for more than three decades. The Fixed Income Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement.
Investment performance
The board considered the short- and long-term performance of the funds, including any periods of outperformance or underperformance of relevant benchmarks and peer groups. The board concluded that the funds have performed in line with expectations, and that their results have been consistent with their investment policies. Information about each fund’s most recent performance can be found on the Performance Summary pages of this report.
Cost
The board concluded that each fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that the funds’ advisory fee rates were also well below their peer-group averages. Information about the funds’ expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements sections.
The board does not conduct a profitability analysis of Vanguard, because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the funds’ low-cost arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangement again after a one-year period.
59
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.
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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.
InterestedTrustee1 | and Delphi Automotive LLP (automotive components); |
Senior Advisor at New Mountain Capital; Trustee of | |
F. William McNabb III | The Conference Board. |
Born 1957. Trustee Since July 2009. Chairman of the | |
Board. Principal Occupation(s) During the Past Five | Amy Gutmann |
Years: Chairman of the Board of The Vanguard Group, | Born 1949. Trustee Since June 2006. Principal |
Inc., and of each of the investment companies served | Occupation(s) During the Past Five Years: President |
by The Vanguard Group, since January 2010; Director | of the University of Pennsylvania; Christopher H. |
of The Vanguard Group since 2008; Chief Executive | Browne Distinguished Professor of Political Science |
Officer and President of The Vanguard Group and of | in the School of Arts and Sciences with secondary |
each of the investment companies served by The | appointments at the Annenberg School for |
Vanguard Group since 2008; Director of Vanguard | Communication and the Graduate School of Education |
Marketing Corporation; Managing Director of The | of the University of Pennsylvania; Member of the |
Vanguard Group (1995–2008). | National Commission on the Humanities and Social |
Sciences; Trustee of Carnegie Corporation of New | |
York and of the National Constitution Center; Chair | |
IndependentTrustees | of the U. S. Presidential Commission for the Study |
of Bioethical Issues. | |
Emerson U. Fullwood | |
Born 1948. Trustee Since January 2008. Principal | JoAnn Heffernan Heisen |
Occupation(s) During the Past Five Years: Executive | Born 1950. Trustee Since July 1998. Principal |
Chief Staff and Marketing Officer for North America | Occupation(s) During the Past Five Years: Corporate |
and Corporate Vice President (retired 2008) of Xerox | Vice President and Chief Global Diversity Officer |
Corporation (document management products and | (retired 2008) and Member of the Executive |
services); Executive in Residence and 2010 | Committee (1997–2008) of Johnson & Johnson |
Distinguished Minett Professor at the Rochester | (pharmaceuticals/medical devices/consumer |
Institute of Technology; Director of SPX Corporation | products); Director of Skytop Lodge Corporation |
(multi-industry manufacturing), the United Way of | (hotels), the University Medical Center at Princeton, |
Rochester, Amerigroup Corporation (managed health | the Robert Wood Johnson Foundation, and the Center |
care), the University of Rochester Medical Center, | for Talent Innovation; Member of the Advisory Board |
Monroe Community College Foundation, and North | of the Maxwell School of Citizenship and Public Affairs |
Carolina A&T University. | at Syracuse University. |
Rajiv L. Gupta | F. Joseph Loughrey |
Born 1945. Trustee Since December 2001.2 | Born 1949. Trustee Since October 2009. Principal |
Principal Occupation(s) During the Past Five Years: | Occupation(s) During the Past Five Years: President |
Chairman and Chief Executive Officer (retired 2009) | and Chief Operating Officer (retired 2009) of Cummins |
and President (2006–2008) of Rohm and Haas Co. | Inc. (industrial machinery); Director of SKF AB |
(chemicals); Director of Tyco International, Ltd. | (industrial machinery), Hillenbrand, Inc. (specialized |
(diversified manufacturing and services), Hewlett- | consumer services), the Lumina Foundation for |
Packard Co. (electronic computer manufacturing), |
Education, and Oxfam America; Chairman of the | Executive Officers | |
Advisory Council for the College of Arts and Letters | ||
and Member of the Advisory Board to the Kellogg | Glenn Booraem | |
Institute for International Studies at the University | Born 1967. Controller Since July 2010. Principal | |
of Notre Dame. | Occupation(s) During the Past Five Years: Principal | |
of The Vanguard Group, Inc.; Controller of each of | ||
Mark Loughridge | the investment companies served by The Vanguard | |
Born 1953. Trustee Since March 2012. Principal | Group; Assistant Controller of each of the investment | |
Occupation(s) During the Past Five Years: Senior Vice | companies served by The Vanguard Group (2001–2010). | |
President and Chief Financial Officer at IBM (information | ||
technology services); Fiduciary Member of IBM’s | Thomas J. Higgins | |
Retirement Plan Committee. | Born 1957. Chief Financial Officer Since September | |
2008. Principal Occupation(s) During the Past Five | ||
Scott C. Malpass | Years: Principal of The Vanguard Group, Inc.; Chief | |
Born 1962. Trustee Since March 2012. Principal | Financial Officer of each of the investment companies | |
Occupation(s) During the Past Five Years: Chief | served by The Vanguard Group; Treasurer of each of | |
Investment Officer and Vice President at the University | the investment companies served by The Vanguard | |
of Notre Dame; Assistant Professor of Finance at the | Group (1998–2008). | |
Mendoza College of Business at Notre Dame; Member | ||
of the Notre Dame 403(b) Investment Committee; | Kathryn J. Hyatt | |
Director of TIFF Advisory Services, Inc. (investment | Born 1955. Treasurer Since November 2008. Principal | |
advisor); Member of the Investment Advisory | Occupation(s) During the Past Five Years: Principal of | |
Committees of the Financial Industry Regulatory | The Vanguard Group, Inc.; Treasurer of each of the | |
Authority (FINRA) and of Major League Baseball. | investment companies served by The Vanguard | |
Group; Assistant Treasurer of each of the investment | ||
André F. Perold | companies served by The Vanguard Group (1988–2008). | |
Born 1952. Trustee Since December 2004. Principal | ||
Occupation(s) During the Past Five Years: George | Heidi Stam | |
Gund Professor of Finance and Banking at the Harvard | Born 1956. Secretary Since July 2005. Principal | |
Business School (retired 2011); Chief Investment | Occupation(s) During the Past Five Years: Managing | |
Officer and Managing Partner of HighVista Strategies | Director of The Vanguard Group, Inc.; General Counsel | |
LLC (private investment firm); Director of Rand | of The Vanguard Group; Secretary of The Vanguard | |
Merchant Bank; Overseer of the Museum of Fine | Group and of each of the investment companies | |
Arts Boston. | served by The Vanguard Group; Director and Senior | |
Vice President of Vanguard Marketing Corporation. | ||
Alfred M. Rankin, Jr. | ||
Born 1941. Trustee Since January 1993. Principal | ||
Occupation(s) During the Past Five Years: Chairman, | Vanguard Senior ManagementTeam | |
President, and Chief Executive Officer of NACCO | ||
Industries, Inc. (forklift trucks/housewares/lignite); | Mortimer J. Buckley | Michael S. Miller |
Director of Goodrich Corporation (industrial products/ | Kathleen C. Gubanich | James M. Norris |
aircraft systems and services) and the National | Paul A. Heller | Glenn W. Reed |
Association of Manufacturers; Chairman of the Board | Martha G. King | George U. Sauter |
of the Federal Reserve Bank of Cleveland and of | Chris D. McIsaac | |
University Hospitals of Cleveland; Advisory Chairman | ||
of the Board of The Cleveland Museum of Art. | ||
Chairman Emeritus and Senior Advisor | ||
Peter F. Volanakis | ||
Born 1955. Trustee Since July 2009. Principal | John J. Brennan | |
Occupation(s) During the Past Five Years: President | Chairman, 1996–2009 | |
and Chief Operating Officer (retired 2010) of Corning | Chief Executive Officer and President, 1996–2008 | |
Incorporated (communications equipment); Director | ||
of SPX Corporation (multi-industry manufacturing); | ||
Overseer of the Amos Tuck School of Business | Founder | |
Administration at Dartmouth College; Advisor to the | John C. Bogle | |
Norris Cotton Cancer Center. | Chairman and Chief Executive Officer, 1974–1996 | |
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
P.O. Box 2600 | |
Valley Forge, PA 19482-2600 |
Connect with Vanguard® > vanguard.com | |
Fund Information > 800-662-7447 | |
Direct Investor Account Services > 800-662-2739 | |
Institutional Investor Services > 800-523-1036 | |
Text Telephone for People | |
With Hearing Impairment > 800-749-7273 | |
This material may be used in conjunction | |
with the offering of shares of any Vanguard | |
fund only if preceded or accompanied by | |
the fund’s current prospectus. | |
All comparative mutual fund data are from Lipper Inc. or | |
Morningstar, Inc., unless otherwise noted. | |
You can obtain a free copy of Vanguard’s proxy voting | |
guidelines by visiting vanguard.com/proxyreporting or by | |
calling Vanguard at 800-662-2739. The guidelines are | |
also available from the SEC’s website, sec.gov. In | |
addition, you may obtain a free report on how your fund | |
voted the proxies for securities it owned during the 12 | |
months ended June 30. To get the report, visit either | |
vanguard.com/proxyreporting or sec.gov. | |
You can review and copy information about your fund at | |
the SEC’s Public Reference Room in Washington, D.C. To | |
find out more about this public service, call the SEC at | |
202-551-8090. Information about your fund is also | |
available on the SEC’s website, and you can receive | |
copies of this information, for a fee, by sending a | |
request in either of two ways: via e-mail addressed to | |
publicinfo@sec.gov or via regular mail addressed to the | |
Public Reference Section, Securities and Exchange | |
Commission, Washington, DC 20549-1520. | |
© 2012 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q300 102012 |
Annual Report | August 31, 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 Funds delivered double-digit returns for the fiscal year ended August 31, 2012, although mid-cap stocks trailed their small-cap and large-cap counterparts.
> The three funds closely tracked the returns of their respective benchmark indexes and surpassed the average returns of peer funds.
> Financial, consumer discretionary, and industrial stocks were among the funds’ top performers.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
S&P Mid-Cap 400 Index Fund. | 9 |
S&P Mid-Cap 400 Value Index Fund. | 26 |
S&P Mid-Cap 400 Growth Index Fund. | 41 |
Your Fund’s After-Tax Returns. | 58 |
About Your Fund’s Expenses. | 59 |
Trustees Approve Advisory Arrangement. | 61 |
Glossary. | 62 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice.
Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: Our cover photograph shows rigging on the HMSSurprise, a replica of an 18th-century Royal Navy frigate. It was featured in a movie based on Patrick O’Brian’s sea novels, set amid the Napoleonic wars. Vanguard was named for another ship of that era, the HMS Vanguard, which was the flagship of British Admiral Horatio Nelson at the Battle of the Nile.
Your Fund’s Total Returns
Fiscal Year Ended August 31, 2012
Total | |
Returns | |
Vanguard S&P Mid-Cap 400 Index Fund | |
Institutional Shares | 12.69% |
ETF Shares | |
Market Price | 12.62 |
Net Asset Value | 12.60 |
S&P MidCap 400 Index | 12.75 |
Mid-Cap Core Funds Average | 10.77 |
Mid-Cap Core Funds Average: Derived from data provided by Lipper Inc. | |
Vanguard S&P Mid-Cap 400 Value Index Fund | |
Institutional Shares | 14.32% |
ETF Shares | |
Market Price | 14.66 |
Net Asset Value | 14.18 |
S&P MidCap 400 Value Index | 14.41 |
Mid-Cap Value Funds Average | 11.51 |
Mid-Cap Value Funds Average: Derived from data provided by Lipper Inc. | |
Vanguard S&P Mid-Cap 400 Growth Index Fund | |
Institutional Shares | 11.12% |
ETF Shares | |
Market Price | 10.96 |
Net Asset Value | 10.97 |
S&P MidCap 400 Growth Index | 11.17 |
Mid-Cap Growth Funds Average | 9.70 |
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,
The U.S. stock market generated solid results for the fiscal year ended August 31, 2012, despite facing some hurdles along the way. Mid-capitalization stocks participated in the gains, although they were outside the market’s sweet spot. Their 12-month returns were behind those of their large-cap and small-cap brethren.
Returns for the funds featured in this report ranged from about 11% for Vanguard S&P Mid-Cap 400 Growth Index Fund to about 14% for Vanguard S&P Mid-Cap 400 Value Index Fund. Vanguard S&P Mid-Cap 400 Index Fund, a blend of the Growth and Value Funds, posted a return in the middle of the range at more than 12%.
All three funds closely tracked the performance of their respective benchmark indexes and bested their peer-group averages for the 12 months. The funds’ strongest performers included financial, consumer discretionary, and industrial stocks.
U.S. stocks shook off concerns to produce double-digit returns
U.S. stocks generated robust gains for the period, returning nearly 17%. They seemed to get a lift as the U.S. economy continued to grow, albeit at a modest rate, and avoided the “double-dip” recession that some investors had feared. Though
2
European stocks posted strong returns in local-currency terms, this performance was much more modest when converted into U.S. dollars—a result of the dollar’s strengthening against the euro during the 12 months. Signs of slowing economic growth restrained returns for emerging markets and the developed markets of the Pacific region.
Questions about the finances of European governments and banks continued to preoccupy investors. Although the situation in Europe is very fluid, Vanguard economists believe the most likely scenario is that the Eurozone will “muddle through” for several years, with occasional spikes in market volatility, as fiscal tightening continues in the face of weak economic growth.
Bonds continued their march, as yields dropped to record lows
Bonds produced solid returns; the broad U.S. taxable market advanced nearly 6% for the 12 months. Long-term U.S. Treasuries were particularly strong as they benefited from the Federal Reserve’s bond-buying program. As bond prices rose, the yield of the 10-year U.S. Treasury note fell to a record low in July, closing below 1.5%. (Bond yields and prices move in opposite directions.)
Bondholders have enjoyed years of strong returns. But as Tim Buckley, our incoming chief investment officer, has noted, investors shouldn’t be surprised if future results are more modest. As yields tumble, the scope for further declines—and price increases—diminishes.
Market Barometer | |||
Average Annual Total Returns | |||
Periods Ended August 31, 2012 | |||
One | Three | Five | |
Year | Years | Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 17.33% | 13.82% | 1.47% |
Russell 2000 Index (Small-caps) | 13.40 | 13.89 | 1.90 |
Dow Jones U.S. Total Stock Market Index | 16.74 | 13.87 | 1.73 |
MSCI All Country World Index ex USA (International) | -1.92 | 3.64 | -3.59 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable | |||
market) | 5.78% | 6.51% | 6.66% |
Barclays Municipal Bond Index (Broad tax-exempt | |||
market) | 8.78 | 7.02 | 6.24 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.05 | 0.08 | 0.71 |
CPI | |||
Consumer Price Index | 1.69% | 2.20% | 2.07% |
3
As it has since December 2008, the Federal Reserve Board held its target for the shortest-term interest rates between 0% and 0.25%, keeping a tight lid on the returns from money market funds and savings accounts.
Mid-caps weren’t market stars, but they performed respectably
Over the past 20 years, the returns of mid-cap stocks have exceeded those of their large-cap and small-cap counterparts. Of course, past performance isn’t indicative of future returns, and this long-term trend didn’t hold up over the recent reporting period.
For the fiscal year ended August 31, 2012, mid-caps trailed large-cap and small-cap stocks by several percentage points. The S&P MidCap 400 Index returned 12.75%, compared with 18.00% for the S&P 500 Index, a measure of the 500 largest U.S. companies, and 16.90% for the S&P SmallCap 600 Index.
Negative returns in the energy and consumer staples sectors restrained results for all three S&P Mid-Cap 400 Index Funds. Energy stocks have been hurt by historically low natural gas prices and a decline in crude oil prices. Poor results in the food products category limited consumer staples stocks.
Still, the good news largely outweighed the bad in the mid-cap arena. Financial stocks, the largest sector for the S&P Mid-Cap 400 Index and S&P Mid-Cap 400 Value Index Funds, were a source
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 fiscal year ended August 31, 2012, the funds’ expense ratios were: for the S&P Mid-Cap 400 Index Fund, 0.08% for Institutional Shares and 0.15% for ETF Shares; for the S&P Mid-Cap 400 Value Index Fund, 0.08% for Institutional Shares and 0.20% for ETF Shares; and for the S&P Mid-Cap 400 Growth Index Fund, 0.08% for Institutional Shares and 0.20% for ETF Shares. Peer-group expense ratios are derived from data provided by Lipper Inc. and capture information through year-end 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
of strength for all three funds. Real Estate Investment Trusts (REITs), which must pay out nearly all of their earnings to shareholders, have attracted income-hungry investors discouraged by the low yields available from fixed income investments. Insurance companies, along with commercial and investment banks, also contributed to results as the slow recovery from the recession continued.
Consumer discretionary stocks generated returns of more than 20% for all three funds. While most segments of the sector contributed, specialty retailers, hotels and restaurants, and luxury goods and apparel firms added most, benefiting as slightly more confident consumers spent more freely.
The industrial sector was also a standout for the three funds. Machinery and electrical equipment manufacturers, transportation firms, and building products companies showed improvement as business expansion picked up and factory activity increased. Within the S&P Mid-Cap 400 Growth Index Fund, health care stocks performed especially well. Bright spots in the Value Fund also included information technology and materials.
Portfolio management systems lead to index-tracking precision
The S&P Mid-Cap 400 Value Index Fund launched its Institutional Shares on November 2, 2010, and the S&P Mid-Cap 400 Index and S&P Mid-Cap 400 Growth Index Funds followed suit on March 28, 2011. Since their respective inception
Why are some stocks in both the growth and value indexes? |
If you look closely at many value and growth indexes—and the funds that seek to |
track them—you’ll notice that they have some of the same holdings. |
The overlap is a result of the methodology used to create and update the indexes. |
Here’s how it works: The index provider ranks all the stocks in a broader “parent” |
index according to growth and value metrics. Some of the stocks will be classified as |
purely growth or purely value. But a portion will fall in between, with characteristics |
of each. |
This type of stock will then be divided between the indexes. If it’s closer to the |
growth end of the spectrum, more of its market capitalization will be assigned to the |
growth index—and vice versa for value-oriented stocks. |
This method can reduce the number of stocks that drift entirely out of one index and |
into another. And that, in turn, can lead to lower transaction costs and greater tax |
efficiency for funds that follow the indexes. |
5
dates, the funds’ Institutional Shares have posted average annual returns of 1.80% for the S&P Mid-Cap 400 Index Fund, 2.66% for the Growth Fund, and 8.86% for the Value Fund.
While a year or two is nowhere near enough time to adequately evaluate an investment, the funds have met their primary objective of closely tracking their benchmark indexes. This success is a credit to Vanguard Equity Investment Group, which combines experienced portfolio management with sophisticated risk-control and trading systems. The funds’ low expense ratios also help keep returns close to those of their cost-free benchmark indexes.
The rise of index funds and the merits of active management
Today, index funds enjoy a degree of acceptance that was unimaginable some 35 years ago, when we introduced the first index mutual fund for individual investors. In the past five years, according to research firm Strategic Insight, stock fund investors have directed just about all of their net new investments into index funds, both the conventional variety and ETFs.
The benefits of index funds such as the Vanguard S&P Mid-Cap 400 Index Funds are crystal-clear: low costs, diversification across a market or market segment, and limited deviation from the returns of benchmark indexes. But what about
A note on expense ratios |
The Expense Ratios table in each report’s Chairman’s Letter displays fund expense |
ratios from the recent prospectus. These figures include the funds’ actual operating |
expenses. For so me 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. |
6
actively managed funds? Although Vanguard is a prominent indexing leader, we also offer actively managed funds that give investors the chance to outperform market indexes. Make no mistake: Outperformance is hard to come by. Nevertheless, we believe we can enhance investors’ chances of success by searching the globe for best-in-class investment managers and offering their services to our clients at a low cost.
Whether your portfolio includes index funds, active funds, or a combination, a few basic principles can put you in position to meet your long-term financial goals. Consider a balanced portfolio diversified with stocks, bonds, and cash; save more than you think you’ll need; keep an eye on costs; and have a plan and stick with it.
Thank you for entrusting your assets to Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
September 18, 2012
7
Your Fund’s Performance at a Glance
August 31, 2011, Through August 31, 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 | $130.17 | $1.019 | $0.000 |
ETF Shares | 58.37 | 65.20 | 0.475 | 0.000 |
Vanguard S&P Mid-Cap 400 Value Index Fund | ||||
Institutional Shares | $111.20 | $125.30 | $1.648 | $0.000 |
ETF Shares | 55.69 | 62.71 | 0.795 | 0.000 |
Vanguard S&P Mid-Cap 400 Growth Index | ||||
Fund | ||||
Institutional Shares | $121.54 | $134.20 | $0.761 | $0.000 |
ETF Shares | 61.13 | 67.47 | 0.331 | 0.000 |
8
S&P Mid-Cap 400 Index Fund
Fund Profile
As of August 31, 2012
Share-Class Characteristics | ||
Institutional | ETF | |
Shares | Shares | |
Ticker Symbol | VSPMX | IVOO |
Expense Ratio1 | 0.10% | 0.17% |
30-Day SEC Yield | 1.39% | 1.32% |
Portfolio Characteristics | |||
DJ | |||
S&P | U.S. Total | ||
MidCap 400 | Market | ||
Fund | Index | Index | |
Number of Stocks | 400 | 400 | 3,678 |
Median Market Cap | $3.6B | $3.6B | $34.9B |
Price/Earnings Ratio | 19.8x | 19.8x | 16.3x |
Price/Book Ratio | 2.0x | 2.0x | 2.1x |
Return on Equity | 11.8% | 11.8% | 18.1% |
Earnings Growth Rate | 7.5% | 7.5% | 10.5% |
Dividend Yield | 1.5% | 1.5% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 13% | — | — |
Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
S&P | U.S. Total | ||
MidCap | Market | ||
Fund 400 Index | Index | ||
Consumer Discretionary 14.1% | 14.1% | 12.1% | |
Consumer Staples | 3.3 | 3.3 | 9.8 |
Energy | 5.8 | 5.8 | 10.2 |
Financials | 22.2 | 22.1 | 15.9 |
Health Care | 10.1 | 10.1 | 11.7 |
Industrials | 16.2 | 16.2 | 10.6 |
Information Technology 15.9 | 15.9 | 19.5 | |
Materials | 6.9 | 6.9 | 3.8 |
Telecommunication | |||
Services | 0.5 | 0.6 | 2.8 |
Utilities | 5.0 | 5.0 | 3.6 |
Ten Largest Holdings (% of total net assets) | ||
Regeneron | ||
Pharmaceuticals Inc. | Biotechnology | 1.0% |
Vertex Pharmaceuticals | ||
Inc. | Biotechnology | 1.0 |
Equinix Inc. | Internet Software & | |
Services | 0.8 | |
Kansas City Southern | Railroads | 0.7 |
HollyFrontier Corp. | Oil & Gas Refining | |
& Marketing | 0.7 | |
AMETEK Inc. | Electrical | |
Components & | ||
Equipment | 0.7 | |
Macerich Co. | Retail REITs | 0.7 |
PetSmart Inc. | Specialty Stores | 0.7 |
Church & Dwight Co. | Household | |
Inc. | Products | 0.7 |
SL Green Realty Corp. | Office REITs | 0.6 |
Top Ten | 7.6% |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
1 The expense ratios shown are from the prospectus dated December 27, 2011, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2012, the expense ratios were 0.08% for Institutional Shares and 0.15% for ETF Shares.
9
S&P Mid-Cap 400 Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: September 7, 2010, Through August 31, 2012
Initial Investment of $10,000
Average Annual Total Returns | |||
Periods Ended August 31, 2012 | |||
Since | Final Value | ||
One | Inception | of a $10,000 | |
Year | (9/7/2010) | Investment | |
S&P Mid-Cap 400 Index FundETF | |||
Shares Net Asset Value | 12.60% | 15.03% | $13,198 |
S&P Mid-Cap 400 Index FundETF | |||
Shares Market Price | 12.62 | 15.04 | 13,199 |
S&P MidCap 400 Index | 12.75 | 15.20 | 13,237 |
Mid-Cap Core Funds Average | 10.77 | 13.09 | 12,760 |
Dow Jones U.S. Total Stock Market | |||
Index | 16.74 | 15.72 | 13,355 |
Mid-Cap Core Funds Average: Derived from data provided by Lipper Inc.
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
Since | Final Value | ||
One | Inception | of a $5,000,000 | |
Year | (3/28/2011) | Investment | |
S&P Mid-Cap 400 Index Fund Institutional | |||
Shares | 12.69% | 1.80% | $5,128,775 |
S&P MidCap 400 Index | 12.75 | 1.88 | 5,134,497 |
Dow Jones U.S. Total Stock Market Index | 16.74 | 6.07 | 5,439,396 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.
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.
10
S&P Mid-Cap 400 Index Fund
Cumulative Returns of ETF Shares: September 7, 2010, Through August 31, 2012
Since | ||
One | Inception | |
Year | (9/7/2010) | |
S&P Mid-Cap 400 Index FundETF Shares | ||
Market Price | 12.62% | 31.99% |
S&P Mid-Cap 400 Index FundETF Shares Net | ||
Asset Value | 12.60 | 31.98 |
S&P MidCap 400 Index | 12.75 | 32.37 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
Fiscal-Year Total Returns (%): September 7, 2010, Through August 31, 2012
S&P Mid-Cap 400 Index Fund ETF Shares Net Asset Value |
S&P MidCap 400 Index |
Average Annual Total Returns: Periods Ended June 30, 2012
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 | -2.42% | -0.66% |
ETF Shares | 9/7/2010 | ||
Market Price | -2.44 | 14.42 | |
Net Asset Value | -2.49 | 14.41 |
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.
11
S&P Mid-Cap 400 Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 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%)1 | |||
Consumer Discretionary (14.1%) | |||
PetSmart Inc. | 15,390 | 1,091 | |
Tractor Supply Co. | 10,231 | 977 | |
PVH Corp. | 9,996 | 939 | |
* | LKQ Corp. | 20,933 | 790 |
Foot Locker Inc. | 21,526 | 744 | |
Advance Auto Parts Inc. | 10,439 | 742 | |
Polaris Industries Inc. | 9,754 | 733 | |
* | Toll Brothers Inc. | 20,838 | 682 |
Dick’s Sporting Goods Inc. | 13,412 | 667 | |
* | Panera Bread Co. Class A | 4,223 | 654 |
American Eagle | |||
Outfitters Inc. | 27,813 | 619 | |
* | Under Armour Inc. Class A | 10,506 | 612 |
* | NVR Inc. | 720 | 596 |
* | Mohawk Industries Inc. | 8,130 | 586 |
Williams-Sonoma Inc. | 14,134 | 580 | |
Signet Jewelers Ltd. | 12,078 | 554 | |
Jarden Corp. | 10,844 | 524 | |
Chico’s FAS Inc. | 23,802 | 451 | |
* | Hanesbrands Inc. | 13,848 | 449 |
Tupperware Brands Corp. | 7,936 | 424 | |
* | Carter’s Inc. | 7,277 | 405 |
Service Corp. International | 30,815 | 402 | |
* | Ascena Retail Group Inc. | 19,231 | 381 |
Brinker International Inc. | 10,701 | 369 | |
Gentex Corp. | 20,471 | 359 | |
Cinemark Holdings Inc. | 14,505 | 340 | |
John Wiley & Sons Inc. | |||
Class A | 6,630 | 327 | |
Aaron’s Inc. | 10,795 | 322 | |
* | AMC Networks Inc. Class A | 8,147 | 320 |
Sotheby’s | 9,616 | 301 | |
* | Warnaco Group Inc. | 5,825 | 300 |
Rent-A-Center Inc. | 8,434 | 298 | |
* | Life Time Fitness Inc. | 6,086 | 289 |
* | Lamar Advertising Co. | ||
Class A | 8,340 | 276 | |
* | Bally Technologies Inc. | 6,118 | 271 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Deckers Outdoor Corp. | 5,463 | 271 |
* | Saks Inc. | 22,606 | 266 |
* | Tempur-Pedic | ||
International Inc. | 8,454 | 264 | |
Cheesecake Factory Inc. | 7,668 | 255 | |
HSN Inc. | 5,563 | 250 | |
* | ANN Inc. | 6,926 | 246 |
Guess? Inc. | 9,196 | 240 | |
Thor Industries Inc. | 6,005 | 189 | |
* | Collective Brands Inc. | 8,708 | 188 |
MDC Holdings Inc. | 5,382 | 187 | |
Wendy’s Co. | 42,124 | 180 | |
* | DreamWorks Animation | ||
SKG Inc. Class A | 10,145 | 172 | |
Meredith Corp. | 5,283 | 172 | |
Bob Evans Farms Inc. | 4,138 | 163 | |
* | Aeropostale Inc. | 11,541 | 161 |
* | New York Times Co. | ||
Class A | 17,240 | 158 | |
Regis Corp. | 8,174 | 147 | |
* | Valassis Communications Inc. | 5,643 | 141 |
* | WMS Industries Inc. | 7,824 | 125 |
Matthews International | |||
Corp. Class A | 4,005 | 120 | |
KB Home | 10,247 | 113 | |
Scholastic Corp. | 3,577 | 109 | |
Strayer Education Inc. | 1,686 | 109 | |
International Speedway | |||
Corp. Class A | 3,943 | 105 | |
* | ITT Educational Services Inc. | 2,575 | 82 |
* | Barnes & Noble Inc. | 5,825 | 70 |
* | Office Depot Inc. | 40,400 | 62 |
* | Scientific Games Corp. | ||
Class A | 8,321 | 61 | |
RadioShack Corp. | 14,181 | 34 | |
23,014 | |||
Consumer Staples (3.3%) | |||
Church & Dwight Co. Inc. | 19,722 | 1,080 | |
Energizer Holdings Inc. | 9,280 | 639 | |
Ingredion Inc. | 10,832 | 583 | |
* | Ralcorp Holdings Inc. | 7,835 | 556 |
12
S&P Mid-Cap 400 Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
* | Green Mountain Coffee | ||
Roasters Inc. | 18,522 | 450 | |
Hillshire Brands Co. | 16,846 | 439 | |
* | Smithfield Foods Inc. | 21,653 | 418 |
Flowers Foods Inc. | 16,012 | 331 | |
Harris Teeter | |||
Supermarkets Inc. | 6,998 | 273 | |
Lancaster Colony Corp. | 2,827 | 205 | |
Universal Corp. | 3,303 | 157 | |
* | Post Holdings Inc. | 3,909 | 117 |
Tootsie Roll Industries Inc. | 3,604 | 91 | |
SUPERVALU Inc. | 30,202 | 72 | |
5,411 | |||
Energy (5.8%) | |||
HollyFrontier Corp. | 29,362 | 1,183 | |
Oceaneering | |||
International Inc. | 15,379 | 823 | |
* | Plains Exploration & | ||
Production Co. | 18,306 | 720 | |
Cimarex Energy Co. | 12,165 | 696 | |
* | Oil States International Inc. | 7,774 | 608 |
* | Dresser-Rand Group Inc. | 10,735 | 543 |
Energen Corp. | 10,237 | 523 | |
* | Superior Energy | ||
Services Inc. | 22,359 | 464 | |
SM Energy Co. | 9,105 | 430 | |
World Fuel Services Corp. | 10,205 | 380 | |
* | Atwood Oceanics Inc. | 8,071 | 374 |
Tidewater Inc. | 7,274 | 345 | |
* | Dril-Quip Inc. | 4,906 | 344 |
Patterson-UTI Energy Inc. | 22,162 | 337 | |
* | Rosetta Resources Inc. | 7,509 | 322 |
* | Helix Energy Solutions | ||
Group Inc. | 14,997 | 264 | |
* | Unit Corp. | 5,929 | 236 |
CARBO Ceramics Inc. | 2,817 | 198 | |
Arch Coal Inc. | 30,138 | 184 | |
* | Bill Barrett Corp. | 6,832 | 150 |
* | Northern Oil and Gas Inc. | 9,019 | 147 |
* | Forest Oil Corp. | 16,730 | 124 |
* | Quicksilver Resources Inc. | 17,258 | 59 |
9,454 | |||
Financials (22.1%) | |||
Macerich Co. | 18,822 | 1,121 | |
SL Green Realty Corp. | 12,727 | 1,026 | |
Federal Realty | |||
Investment Trust | 9,075 | 979 | |
UDR Inc. | 35,562 | 898 | |
* | Affiliated Managers | ||
Group Inc. | 7,294 | 858 | |
Rayonier Inc. | 17,318 | 848 | |
New York Community | |||
Bancorp Inc. | 62,357 | 827 | |
Realty Income Corp. | 18,945 | 798 | |
Camden Property Trust | 11,402 | 792 | |
Everest Re Group Ltd. | 7,486 | 776 |
Market | |||
Value | |||
Shares | ($000) | ||
Essex Property Trust Inc. | 4,998 | 760 | |
* | Alleghany Corp. | 2,068 | 697 |
Taubman Centers Inc. | 8,341 | 667 | |
Alexandria Real Estate | |||
Equities Inc. | 8,817 | 652 | |
Regency Centers Corp. | 12,763 | 625 | |
Reinsurance Group of | |||
America Inc. Class A | 10,461 | 615 | |
Liberty Property Trust | 16,653 | 614 | |
* | MSCI Inc. Class A | 17,250 | 605 |
Arthur J Gallagher & Co. | 16,789 | 600 | |
Fidelity National | |||
Financial Inc. Class A | 31,621 | 596 | |
WR Berkley Corp. | 15,902 | 594 | |
American Campus | |||
Communities Inc. | 12,730 | 594 | |
Raymond James | |||
Financial Inc. | 15,844 | 558 | |
Senior Housing | |||
Properties Trust | 24,790 | 548 | |
Duke Realty Corp. | 37,816 | 548 | |
BRE Properties Inc. | 10,884 | 543 | |
Cullen/Frost Bankers Inc. | 8,711 | 484 | |
Weingarten Realty | |||
Investors | 17,201 | 480 | |
HCC Insurance | |||
Holdings Inc. | 14,364 | 475 | |
National Retail | |||
Properties Inc. | 15,189 | 472 | |
East West Bancorp Inc. | 20,521 | 450 | |
Commerce Bancshares Inc. | 11,172 | 449 | |
Jones Lang LaSalle Inc. | 6,209 | 448 | |
Eaton Vance Corp. | 16,403 | 444 | |
SEI Investments Co. | 20,430 | 444 | |
Home Properties Inc. | 6,906 | 441 | |
Brown & Brown Inc. | 16,473 | 432 | |
* | Signature Bank | 6,554 | 424 |
Hospitality Properties Trust | 17,537 | 422 | |
BioMed Realty Trust Inc. | 21,881 | 406 | |
American Financial | |||
Group Inc. | 10,726 | 403 | |
First Niagara Financial | |||
Group Inc. | 50,058 | 395 | |
* | SVB Financial Group | 6,275 | 364 |
Waddell & Reed | |||
Financial Inc. Class A | 12,256 | 363 | |
Omega Healthcare | |||
Investors Inc. | 15,018 | 361 | |
Hancock Holding Co. | 12,033 | 357 | |
CBOE Holdings Inc. | 12,412 | 353 | |
Highwoods Properties Inc. | 10,494 | 342 | |
City National Corp. | 6,658 | 342 | |
Mack-Cali Realty Corp. | 12,465 | 333 | |
Protective Life Corp. | 11,499 | 325 | |
Associated Banc-Corp | 24,692 | 320 |
13
S&P Mid-Cap 400 Index Fund
Market | ||||
Value | ||||
Shares | ($000) | |||
Old Republic | ||||
International Corp. | 36,830 | 318 | ||
Jefferies Group Inc. | 21,340 | 314 | ||
Bank of Hawaii Corp. | 6,462 | 299 | ||
Aspen Insurance | ||||
Holdings Ltd. | 10,153 | 295 | ||
First American | ||||
Financial Corp. | 15,070 | 290 | ||
Fulton Financial Corp. | 28,506 | 277 | ||
Valley National Bancorp | 28,004 | 272 | ||
Prosperity Bancshares Inc. | 6,199 | 261 | ||
TCF Financial Corp. | 23,026 | 256 | ||
Washington Federal Inc. | 15,173 | 244 | ||
FirstMerit Corp. | 15,568 | 244 | ||
Janus Capital Group Inc. | 26,764 | 233 | ||
Synovus Financial Corp. | 111,684 | 232 | ||
Apollo Investment Corp. | 28,808 | 231 | ||
Corporate Office | ||||
Properties Trust | 10,228 | 229 | ||
Hanover Insurance | ||||
Group Inc. | 6,395 | 228 | ||
Webster Financial Corp. | 10,479 | 223 | ||
Trustmark Corp. | 9,196 | 218 | ||
Kemper Corp. | 7,039 | 215 | ||
Potlatch Corp. | 5,726 | 207 | ||
Mercury General Corp. | 5,144 | 197 | ||
StanCorp Financial Group Inc. | 6,302 | 197 | ||
Westamerica Bancorporation | 3,956 | 184 | ||
Cathay General Bancorp | 11,176 | 183 | ||
Greenhill & Co. Inc. | 4,126 | 180 | ||
Equity One Inc. | 8,474 | 180 | ||
* | Alexander & Baldwin Inc. | 5,993 | 178 | |
BancorpSouth Inc. | 11,666 | 172 | ||
International | ||||
Bancshares Corp. | 7,546 | 138 | ||
Astoria Financial Corp. | 11,887 | 120 | ||
36,083 | ||||
Health Care (10.1%) | ||||
* | Regeneron | |||
Pharmaceuticals Inc. | 11,075 | 1,640 | ||
* | Vertex Pharmaceuticals Inc. | 29,966 | 1,598 | |
* | Henry Schein Inc. | 12,760 | 980 | |
* | ResMed Inc. | 20,260 | 761 | |
* | IDEXX Laboratories Inc. | 7,816 | 743 | |
* | Hologic Inc. | 37,574 | 738 | |
* | Mettler-Toledo | |||
International Inc. | 4,466 | 737 | ||
* | AMERIGROUP Corp. | 6,883 | 626 | |
Cooper Cos. Inc. | 6,727 | 564 | ||
Universal Health | ||||
Services Inc. Class B | 13,742 | 549 | ||
* | Endo Health Solutions Inc. | 16,633 | 529 | |
Omnicare Inc. | 16,034 | 519 | ||
* | MEDNAX Inc. | 6,983 | 484 | |
* | HMS Holdings Corp. | 12,202 | 420 | |
* | United Therapeutics Corp. | 7,620 | 412 |
Market | |||
Value | |||
Shares | ($000) | ||
Teleflex Inc. | 5,793 | 383 | |
* | Covance Inc. | 7,870 | 376 |
Techne Corp. | 5,226 | 358 | |
* | Community Health | ||
Systems Inc. | 12,905 | 349 | |
* | WellCare Health Plans Inc. | 6,116 | 347 |
* | Thoratec Corp. | 8,328 | 282 |
* | Bio-Rad Laboratories Inc. | ||
Class A | 2,806 | 282 | |
STERIS Corp. | 8,206 | 281 | |
* | LifePoint Hospitals Inc. | 6,922 | 280 |
* | Health Management | ||
Associates Inc. Class A | 36,394 | 279 | |
* | Health Net Inc. | 11,824 | 275 |
Medicis Pharmaceutical | |||
Corp. Class A | 8,446 | 267 | |
* | Allscripts Healthcare | ||
Solutions Inc. | 24,319 | 255 | |
* | Charles River Laboratories | ||
International Inc. | 6,956 | 253 | |
Owens & Minor Inc. | 9,018 | 252 | |
Hill-Rom Holdings Inc. | 8,809 | 244 | |
* | VCA Antech Inc. | 12,422 | 240 |
* | Masimo Corp. | 8,143 | 180 |
16,483 | |||
Industrials (16.2%) | |||
Kansas City Southern | 15,617 | 1,208 | |
AMETEK Inc. | 34,233 | 1,175 | |
Donaldson Co. Inc. | 21,149 | 746 | |
Hubbell Inc. Class B | 8,412 | 680 | |
JB Hunt Transport | |||
Services Inc. | 12,795 | 671 | |
Pentair Inc. | 14,057 | 597 | |
* | B/E Aerospace Inc. | 14,747 | 594 |
* | AGCO Corp. | 13,798 | 581 |
* | Fortune Brands Home | ||
& Security Inc. | 22,655 | 578 | |
KBR Inc. | 21,062 | 571 | |
Wabtec Corp. | 6,837 | 534 | |
Waste Connections Inc. | 17,507 | 507 | |
Lincoln Electric Holdings Inc. | 11,879 | 490 | |
Timken Co. | 11,915 | 479 | |
IDEX Corp. | 11,924 | 475 | |
Corrections Corp. | |||
of America | 14,189 | 473 | |
Nordson Corp. | 8,032 | 472 | |
Carlisle Cos. Inc. | 8,816 | 461 | |
SPX Corp. | 7,190 | 459 | |
MSC Industrial Direct | |||
Co. Inc. Class A | 6,557 | 454 | |
Gardner Denver Inc. | 7,108 | 428 | |
Graco Inc. | 8,580 | 424 | |
Manpower Inc. | 11,382 | 422 | |
Triumph Group Inc. | 7,071 | 420 | |
Kennametal Inc. | 11,361 | 419 | |
* | Kirby Corp. | 7,930 | 418 |
14
S&P Mid-Cap 400 Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Valmont Industries Inc. | 3,202 | 406 | |
Regal-Beloit Corp. | 5,909 | 402 | |
* | Copart Inc. | 14,768 | 394 |
* | Shaw Group Inc. | 9,357 | 394 |
Towers Watson & Co. | |||
Class A | 7,234 | 393 | |
URS Corp. | 10,750 | 391 | |
* | United Rentals Inc. | 11,974 | 387 |
Acuity Brands Inc. | 6,010 | 386 | |
* | Clean Harbors Inc. | 6,732 | 366 |
* | Terex Corp. | 15,671 | 346 |
Lennox International Inc. | 7,234 | 344 | |
CLARCOR Inc. | 7,131 | 343 | |
* | Alaska Air Group Inc. | 10,093 | 339 |
* | Oshkosh Corp. | 13,009 | 330 |
Trinity Industries Inc. | 11,393 | 323 | |
Watsco Inc. | 4,198 | 317 | |
Landstar System Inc. | 6,665 | 315 | |
* | AECOM Technology Corp. | 16,027 | 311 |
Woodward Inc. | 8,541 | 298 | |
* | Huntington Ingalls | ||
Industries Inc. | 7,020 | 281 | |
GATX Corp. | 6,645 | 274 | |
Exelis Inc. | 26,490 | 268 | |
Crane Co. | 7,013 | 266 | |
* | Esterline Technologies Corp. | 4,373 | 262 |
ITT Corp. | 13,104 | 261 | |
Con-way Inc. | 7,923 | 240 | |
Harsco Corp. | 11,434 | 233 | |
Alliant Techsystems Inc. | 4,704 | 230 | |
Corporate Executive | |||
Board Co. | 4,758 | 222 | |
Rollins Inc. | 9,170 | 213 | |
Deluxe Corp. | 7,241 | 205 | |
UTi Worldwide Inc. | 14,705 | 202 | |
* | General Cable Corp. | 7,066 | 191 |
HNI Corp. | 6,465 | 179 | |
Herman Miller Inc. | 8,283 | 162 | |
* | JetBlue Airways Corp. | 32,422 | 159 |
* | FTI Consulting Inc. | 5,962 | 155 |
Mine Safety Appliances Co. | 4,402 | 154 | |
Brink’s Co. | 6,712 | 149 | |
Werner Enterprises Inc. | 6,311 | 140 | |
Granite Construction Inc. | 4,941 | 136 | |
Matson Inc. | 5,993 | 136 | |
* | Korn/Ferry International | 6,796 | 97 |
26,336 | |||
Information Technology (15.9%) | |||
* | Equinix Inc. | 6,826 | 1,349 |
* | Alliance Data Systems Corp. | 7,150 | 984 |
* | ANSYS Inc. | 13,226 | 922 |
* | Rackspace Hosting Inc. | 15,162 | 909 |
* | Trimble Navigation Ltd. | 17,763 | 871 |
* | Skyworks Solutions Inc. | 26,931 | 820 |
* | TIBCO Software Inc. | 23,410 | 700 |
* | Synopsys Inc. | 20,890 | 690 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Avnet Inc. | 20,586 | 663 |
* | Gartner Inc. | 13,238 | 654 |
FactSet Research | |||
Systems Inc. | 6,380 | 589 | |
* | MICROS Systems Inc. | 11,402 | 578 |
* | Arrow Electronics Inc. | 15,863 | 575 |
* | VeriFone Systems Inc. | 15,276 | 531 |
* | Cadence Design | ||
Systems Inc. | 38,980 | 514 | |
* | NCR Corp. | 22,524 | 504 |
* | Informatica Corp. | 15,365 | 501 |
* | Concur Technologies Inc. | 6,686 | 484 |
Global Payments Inc. | 11,150 | 464 | |
* | Cree Inc. | 16,412 | 463 |
Jack Henry & Associates Inc. | 12,392 | 458 | |
* | Riverbed Technology Inc. | 22,501 | 450 |
* | AOL Inc. | 13,272 | 447 |
* | SolarWinds Inc. | 7,663 | 421 |
Broadridge Financial | |||
Solutions Inc. | 17,727 | 420 | |
Solera Holdings Inc. | 9,863 | 406 | |
* | Atmel Corp. | 62,993 | 374 |
* | CoreLogic Inc. | 15,161 | 373 |
* | Wright Express Corp. | 5,515 | 363 |
* | Parametric Technology Corp. | 16,949 | 360 |
* | NeuStar Inc. Class A | 9,496 | 357 |
National Instruments Corp. | 13,229 | 341 | |
Lender Processing | |||
Services Inc. | 11,997 | 337 | |
* | Ingram Micro Inc. | 21,625 | 330 |
* | Compuware Corp. | 30,920 | 309 |
Diebold Inc. | 8,942 | 291 | |
* | Tech Data Corp. | 5,659 | 275 |
* | Zebra Technologies Corp. | 7,362 | 274 |
* | Polycom Inc. | 25,313 | 264 |
* | Fairchild Semiconductor | ||
International Inc. Class A | 18,070 | 262 | |
Convergys Corp. | 16,564 | 257 | |
Cypress Semiconductor | |||
Corp. | 21,627 | 251 | |
DST Systems Inc. | 4,851 | 247 | |
* | Itron Inc. | 5,672 | 246 |
* | ACI Worldwide Inc. | 5,644 | 245 |
* | Rovi Corp. | 15,757 | 242 |
* | Silicon Laboratories Inc. | 6,088 | 233 |
* | Semtech Corp. | 9,302 | 228 |
* | Quest Software Inc. | 8,055 | 225 |
* | Mentor Graphics Corp. | 13,244 | 219 |
Plantronics Inc. | 6,036 | 215 | |
Fair Isaac Corp. | 4,867 | 208 | |
* | Vishay Intertechnology Inc. | 20,344 | 194 |
* | Ciena Corp. | 14,077 | 192 |
* | Acxiom Corp. | 10,906 | 186 |
Tellabs Inc. | 52,005 | 185 | |
ADTRAN Inc. | 9,048 | 184 | |
* | ValueClick Inc. | 10,654 | 173 |
15
S&P Mid-Cap 400 Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
* | International Rectifier Corp. | 9,824 | 171 |
* | QLogic Corp. | 13,840 | 168 |
Intersil Corp. Class A | 18,098 | 160 | |
* | RF Micro Devices Inc. | 39,504 | 148 |
* | Monster Worldwide Inc. | 17,227 | 120 |
* | Advent Software Inc. | 4,535 | 108 |
* | Integrated Device | ||
Technology Inc. | 20,214 | 108 | |
* | MEMC Electronic | ||
Materials Inc. | 32,826 | 88 | |
Mantech International Corp. | |||
Class A | 3,309 | 74 | |
25,952 | |||
Materials (6.9%) | |||
Ashland Inc. | 11,142 | 820 | |
Royal Gold Inc. | 8,471 | 746 | |
Albemarle Corp. | 12,667 | 693 | |
Valspar Corp. | 12,946 | 690 | |
Rock-Tenn Co. Class A | 10,031 | 670 | |
Reliance Steel & | |||
Aluminum Co. | 10,663 | 548 | |
RPM International Inc. | 18,667 | 512 | |
Martin Marietta | |||
Materials Inc. | 6,475 | 494 | |
Aptargroup Inc. | 9,449 | 479 | |
Cytec Industries Inc. | 6,526 | 447 | |
Packaging Corp. of America | 13,916 | 445 | |
Sonoco Products Co. | 14,276 | 437 | |
Steel Dynamics Inc. | 31,097 | 380 | |
Domtar Corp. | 5,130 | 372 | |
NewMarket Corp. | 1,503 | 370 | |
Compass Minerals | |||
International Inc. | 4,694 | 337 | |
Cabot Corp. | 9,000 | 313 | |
Carpenter Technology Corp. | 6,242 | 295 | |
Silgan Holdings Inc. | 7,026 | 295 | |
* | Louisiana-Pacific Corp. | 19,524 | 262 |
Scotts Miracle-Gro Co. | |||
Class A | 6,158 | 256 | |
Sensient Technologies Corp. | 7,087 | 254 | |
Olin Corp. | 11,371 | 244 | |
Commercial Metals Co. | 16,465 | 210 | |
Greif Inc. Class A | 4,360 | 194 | |
Minerals Technologies Inc. | 2,519 | 171 | |
* | Intrepid Potash Inc. | 7,483 | 168 |
Worthington Industries Inc. | 7,548 | 158 | |
11,260 | |||
Telecommunication Services (0.6%) | |||
* | tw telecom inc Class A | 21,361 | 537 |
Telephone & Data | |||
Systems Inc. | 13,713 | 337 | |
874 |
Market | ||
Value | ||
Shares | ($000) | |
Utilities (5.0%) | ||
OGE Energy Corp. | 14,001 | 757 |
Alliant Energy Corp. | 15,748 | 694 |
National Fuel Gas Co. | 11,810 | 589 |
NV Energy Inc. | 33,495 | 587 |
MDU Resources Group Inc. | 26,800 | 578 |
Westar Energy Inc. | 17,909 | 521 |
Questar Corp. | 25,292 | 500 |
Aqua America Inc. | 19,741 | 494 |
UGI Corp. | 15,945 | 486 |
Great Plains Energy Inc. | 21,718 | 463 |
Atmos Energy Corp. | 12,777 | 446 |
Hawaiian Electric | ||
Industries Inc. | 13,713 | 364 |
Cleco Corp. | 8,648 | 354 |
Vectren Corp. | 11,638 | 328 |
IDACORP Inc. | 7,111 | 295 |
WGL Holdings Inc. | 7,315 | 286 |
PNM Resources Inc. | 11,309 | 233 |
Black Hills Corp. | 6,260 | 214 |
8,189 | ||
Total Common Stocks | ||
(Cost $157,919) | 163,056 | |
Temporary Cash Investment (0.0%)1 | ||
Face | ||
Amount | ||
($000) | ||
U.S. Government and Agency Obligations (0.0%) | ||
2,3 Fannie Mae Discount | ||
Notes, 0.140%, 9/19/12 | ||
(Cost $50) | 50 | 50 |
Total Investments (100.0%) | ||
(Cost $157,969) | 163,106 | |
Other Assets and Liabilities (0.0%) | ||
Other Assets | 205 | |
Liabilities | (190) | |
15 | ||
Net Assets (100%) | 163,121 |
16
S&P Mid-Cap 400 Index Fund
At August 31, 2012, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 159,198 |
Undistributed Net Investment Income | 922 |
Accumulated Net Realized Losses | (2,137) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 5,137 |
Futures Contracts | 1 |
Net Assets | 163,121 |
Institutional Shares—Net Assets | |
Applicable to 702,168 outstanding $.001 | |
par value shares of beneficial interest | |
(unlimited authorization) | 91,398 |
Net Asset Value Per Share— | |
Institutional Shares | $130.17 |
ETF Shares—Net Assets | |
Applicable to 1,100,000 outstanding $.001 | |
par value shares of beneficial interest | |
(unlimited authorization) | 71,723 |
Net Asset Value Per Share— | |
ETF Shares | $65.20 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.0%, respectively, of net assets.
2 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
3 Securities with a value of $50,000 have been segregated as initial margin for open futures contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
17
S&P Mid-Cap 400 Index Fund
Statement of Operations
Year Ended | |
August 31, 2012 | |
($000) | |
Investment Income | |
Income | |
Dividends | 1,479 |
Interest1 | 1 |
Security Lending | 5 |
Total Income | 1,485 |
Expenses | |
The Vanguard Group—Note B | |
Management and Administrative—Institutional Shares | 10 |
Management and Administrative—ETF Shares | 34 |
Marketing and Distribution—Institutional Shares | 6 |
Marketing and Distribution—ETF Shares | 4 |
Custodian Fees | 37 |
Auditing Fees | 15 |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—ETF Shares | 2 |
Total Expenses | 108 |
Net Investment Income | 1,377 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 1,449 |
Futures Contracts | 3 |
Realized Net Gain (Loss) | 1,452 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 8,568 |
Futures Contracts | 1 |
Change in Unrealized Appreciation (Depreciation) | 8,569 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 11,398 |
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 Mid-Cap 400 Index Fund
Statement of Changes in Net Assets
September 7, | ||
Year Ended | 20101 to | |
August 31, | August 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 1,377 | 287 |
Realized Net Gain (Loss) | 1,452 | (1,007) |
Change in Unrealized Appreciation (Depreciation) | 8,569 | (3,431) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 11,398 | (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 | 44,187 | 42,228 |
ETF Shares | 36,520 | 33,658 |
Net Increase (Decrease) from Capital Share Transactions | 80,707 | 75,886 |
Total Increase (Decrease) | 91,413 | 71,708 |
Net Assets | ||
Beginning of Period | 71,708 | — |
End of Period2 | 163,121 | 71,708 |
1 Inception.
2 Net Assets—End of Period includes undistributed net investment income of $922,000 and $237,000.
See accompanying Notes, which are an integral part of the Financial Statements.
19
S&P Mid-Cap 400 Index Fund
Financial Highlights
Institutional Shares
Year | March 28, | |
Ended | 20111 to | |
August 31, | August 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 | 1.372 | .240 |
Net Realized and Unrealized Gain (Loss) on Investments | 13.297 | (11.730) |
Total from Investment Operations | 14.669 | (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 | $130.17 | $116.52 |
Total Return | 12.69% | -8.98% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $91 | $40 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08%2 |
Ratio of Net Investment Income to Average Net Assets | 1.42% | 1.28%2 |
Portfolio Turnover Rate3 | 13% | 26% |
1 Inception—See Notes to Financial Statements.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
20
S&P Mid-Cap 400 Index Fund
Financial Highlights
ETF Shares
Year | Sept. 7, | |
Ended | 20101 to | |
August 31, | August 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 | .648 | .383 |
Net Realized and Unrealized Gain (Loss) on Investments | 6.657 | 8.217 |
Total from Investment Operations | 7.305 | 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 | $65.20 | $58.37 |
Total Return | 12.60% | 17.21% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $72 | $32 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15%2 |
Ratio of Net Investment Income to Average Net Assets | 1.35% | 1.21%2 |
Portfolio Turnover Rate3 | 13% | 26% |
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
21
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 NYSE Arca; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended August 31, 2012, the fund’s average investment in futures contracts represented less than 1% of net assets, based on quarterly average aggregate settlement values.
22
S&P Mid-Cap 400 Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2011–2012), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At August 31, 2012, the fund had contributed capital of $19,000 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.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of August 31, 2012, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 163,056 | — | — |
Temporary Cash Investments | — | 50 | — |
Futures Contracts—Assets1 | 1 | — | — |
Total | 163,057 | 50 | — |
1 Represents variation margin on the last day of the reporting period. |
23
S&P Mid-Cap 400 Index Fund
D. At August 31, 2012, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
E-mini S&P Mid-Cap 400 Index | September 2012 | 1 | 97 | 1 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the year ended August 31, 2012, the fund realized $1,770,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
For tax purposes, at August 31, 2012, the fund had $927,000 of ordinary income available for distribution. At August 31, 2012, the fund had available capital losses totaling $2,089,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2012, the cost of investment securities for tax purposes was $158,016,000. Net unrealized appreciation of investment securities for tax purposes was $5,090,000, consisting of unrealized gains of $13,082,000 on securities that had risen in value since their purchase and $7,992,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended August 31, 2012, the fund purchased $117,088,000 of investment securities and sold $35,409,000 of investment securities, other than temporary cash investments. Purchases and sales include $60,316,000 and $22,435,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
24
S&P Mid-Cap 400 Index Fund
G. Capital share transactions for each class of shares were:
Year Ended | Inception1 to | |||
August 31, 2012 | August 31, 2011 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Institutional Shares | ||||
Issued | 51,421 | 420 | 42,839 | 345 |
Issued in Lieu of Cash Distributions | 387 | 3 | — | — |
Redeemed | (7,621) | (61) | (611) | (5) |
Net Increase (Decrease) —Institutional Shares | 44,187 | 362 | 42,228 | 340 |
ETF Shares | ||||
Issued | 59,242 | 950 | 39,233 | 650 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (22,722) | (400) | (5,575) | (100) |
Net Increase (Decrease)—ETF Shares | 36,520 | 550 | 33,658 | 550 |
1 Inception was September 7, 2010, for ETF Shares. Institutional Shares were first issued on December 15, 2010; the sole shareholder redeemed shortly thereafter. Institutional Shares were next issued on March 28, 2011. The table reflects all Institutional Share transactions beginning December 15, 2010.
H. In preparing the financial statements as of August 31, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
25
S&P Mid-Cap 400 Value Index Fund
Fund Profile
As of August 31, 2012
Share-Class Characteristics | ||
Institutional | ETF | |
Shares | Shares | |
Ticker Symbol | VMFVX | IVOV |
Expense Ratio1 | 0.12% | 0.24% |
30-Day SEC Yield | 1.91% | 1.79% |
Portfolio Characteristics | |||
S&P | DJ | ||
MidCap | U.S. Total | ||
400 Value | Market | ||
Fund | Index | Index | |
Number of Stocks | 299 | 299 | 3,678 |
Median Market Cap | $3.1B | $3.1B | $34.9B |
Price/Earnings Ratio | 17.7x | 17.7x | 16.3x |
Price/Book Ratio | 1.5x | 1.5x | 2.1x |
Return on Equity | 9.3% | 9.3% | 18.1% |
Earnings Growth Rate | 2.9% | 2.9% | 10.5% |
Dividend Yield | 2.0% | 2.0% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 31% | — | — |
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 13.4% | 13.4% | 12.1% | |
Consumer Staples | 2.6 | 2.6 | 9.8 |
Energy | 5.1 | 5.1 | 10.2 |
Financials | 29.4 | 29.4 | 15.9 |
Health Care | 5.5 | 5.5 | 11.7 |
Industrials | 16.4 | 16.4 | 10.6 |
Information Technology 11.7 | 11.7 | 19.5 | |
Materials | 7.7 | 7.7 | 3.8 |
Telecommunication | |||
Services | 0.7 | 0.7 | 2.8 |
Utilities | 7.5 | 7.5 | 3.6 |
Ten Largest Holdings (% of total net assets) | ||
HollyFrontier Corp. | Oil & Gas Refining | |
& Marketing | 1.5% | |
New York Community | Thrifts & Mortgage | |
Bancorp Inc. | Finance | 1.0 |
Ashland Inc. | Specialty Chemicals | 1.0 |
Everest Re Group Ltd. | Reinsurance | 1.0 |
Vertex Pharmaceuticals | ||
Inc. | Biotechnology | 0.9 |
Foot Locker Inc. | Apparel Retail | 0.9 |
Toll Brothers Inc. | Homebuilding | 0.9 |
Avnet Inc. | Technology | |
Distributors | 0.8 | |
American Eagle | ||
Outfitters Inc. | Apparel Retail | 0.8 |
Reinsurance Group of | ||
America Inc. Class A | Reinsurance | 0.8 |
Top Ten | 9.6% |
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 fiscal year ended August 31, 2012, the expense ratios were 0.08% for Institutional Shares and 0.20% for ETF Shares.
26
S&P Mid-Cap 400 Value Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: September 7, 2010, Through August 31, 2012
Initial Investment of $10,000
Average Annual Total Returns | |||
Periods Ended August 31, 2012 | |||
Since | Final Value | ||
One | Inception | of a $10,000 | |
Year | (9/7/2010) | Investment | |
S&P Mid-Cap 400 Value Index Fund | |||
ETF Shares Net Asset Value | 14.18% | 13.30% | $12,808 |
S&P Mid-Cap 400 Value Index Fund | |||
ETF Shares Market Price | 14.66 | 13.31 | 12,810 |
S&P MidCap 400 Value Index | 14.41 | 13.53 | 12,860 |
Mid-Cap Value Funds Average | 11.51 | 11.85 | 12,485 |
Dow Jones U.S. Total Stock Market | |||
Index | 16.74 | 15.72 | 13,355 |
Mid-Cap Value Funds Average: Derived from data provided by Lipper Inc.
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
Since | Final Value | ||
One | Inception | of a $5,000,000 | |
Year | (11/2/2010) | Investment | |
S&P Mid-Cap 400 Value Index Fund | |||
Institutional Shares | 14.32% | 8.86% | $5,839,065 |
S&P MidCap 400 Value Index | 14.41 | 8.94 | 5,847,672 |
Dow Jones U.S. Total Stock Market Index | 16.74 | 11.01 | 6,052,071 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards. |
See Financial Highlights for dividend and capital gains information.
27
S&P Mid-Cap 400 Value Index Fund
Cumulative Returns of ETF Shares: September 7, 2010, Through August 31, 2012
Since | ||
One | Inception | |
Year | (9/7/2010) | |
S&P Mid-Cap 400 Value Index FundETF | ||
Shares Market Price | 14.66% | 28.10% |
S&P Mid-Cap 400 Value Index FundETF | ||
Shares Net Asset Value | 14.18 | 28.08 |
S&P MidCap 400 Value Index | 14.41 | 28.60 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards. |
Fiscal-Year Total Returns (%): September 7, 2010, Through August 31, 2012
S&P Mid-Cap 400 Value Index Fund ETF Shares Net Asset Value |
S&P MidCap 400 Value Index |
Average Annual Total Returns: Periods Ended June 30, 2012
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 | -0.94% | 8.15% |
ETF Shares | 9/7/2010 | ||
Market Price | -1.04 | 13.08 | |
Net Asset Value | -1.06 | 13.06 |
28
S&P Mid-Cap 400 Value Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 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 (13.4%) | |||
Foot Locker Inc. | 13,497 | 467 | |
* | Toll Brothers Inc. | 13,064 | 427 |
American Eagle | |||
Outfitters Inc. | 17,450 | 388 | |
* | NVR Inc. | 452 | 374 |
* | Mohawk Industries Inc. | 5,098 | 367 |
Chico’s FAS Inc. | 14,932 | 283 | |
* | Hanesbrands Inc. | 8,688 | 282 |
Service Corp. International | 19,332 | 252 | |
Brinker International Inc. | 6,713 | 231 | |
Rent-A-Center Inc. | 5,291 | 187 | |
Williams-Sonoma Inc. | 4,248 | 174 | |
* | Saks Inc. | 14,154 | 166 |
Jarden Corp. | 3,403 | 164 | |
Signet Jewelers Ltd. | 3,556 | 163 | |
* | ANN Inc. | 4,345 | 155 |
* | AMC Networks Inc. Class A | 3,118 | 123 |
Dick’s Sporting Goods Inc. | 2,442 | 122 | |
Thor Industries Inc. | 3,767 | 118 | |
* | Collective Brands Inc. | 5,463 | 118 |
MDC Holdings Inc. | 3,378 | 117 | |
Sotheby’s | 3,681 | 115 | |
Wendy’s Co. | 26,430 | 113 | |
Meredith Corp. | 3,316 | 108 | |
* | DreamWorks Animation | ||
SKG Inc. Class A | 6,337 | 108 | |
Bob Evans Farms Inc. | 2,597 | 102 | |
* | New York Times Co. | ||
Class A | 10,814 | 99 | |
* | Lamar Advertising Co. | ||
Class A | 2,824 | 94 | |
Regis Corp. | 5,125 | 92 | |
* | Valassis | ||
Communications Inc. | 3,540 | 89 | |
Aaron’s Inc. | 2,911 | 87 | |
* | Ascena Retail Group Inc. | 4,343 | 86 |
Cinemark Holdings Inc. | 3,366 | 79 | |
HSN Inc. | 1,744 | 79 |
Market | |||
Value | |||
Shares | ($000) | ||
* | WMS Industries Inc. | 4,904 | 78 |
* | Bally Technologies Inc. | 1,688 | 75 |
KB Home | 6,397 | 71 | |
Scholastic Corp. | 2,242 | 68 | |
International Speedway Corp. | |||
Class A | 2,467 | 66 | |
John Wiley & Sons Inc. | |||
Class A | 1,162 | 57 | |
Cheesecake Factory Inc. | 1,530 | 51 | |
Guess? Inc. | 1,901 | 50 | |
* | Barnes & Noble Inc. | 3,632 | 43 |
* | Aeropostale Inc. | 2,761 | 38 |
* | Office Depot Inc. | 25,134 | 38 |
Matthews International Corp. | |||
Class A | 1,235 | 37 | |
* | Scientific Games Corp. | ||
Class A | 3,450 | 25 | |
RadioShack Corp. | 8,891 | 22 | |
6,648 | |||
Consumer Staples (2.6%) | |||
* | Smithfield Foods Inc. | 13,585 | 263 |
* | Ralcorp Holdings Inc. | 2,705 | 192 |
Energizer Holdings Inc. | 2,563 | 177 | |
Hillshire Brands Co. | 6,659 | 174 | |
Harris Teeter | |||
Supermarkets Inc. | 4,382 | 171 | |
Flowers Foods Inc. | 4,902 | 101 | |
Universal Corp. | 2,072 | 98 | |
SUPERVALU Inc. | 18,814 | 45 | |
* | Post Holdings Inc. | 1,353 | 40 |
Tootsie Roll Industries Inc. | 1,157 | 29 | |
1,290 | |||
Energy (5.1%) | |||
HollyFrontier Corp. | 18,413 | 742 | |
* | Plains Exploration & | ||
Production Co. | 7,461 | 293 | |
World Fuel Services Corp. | 6,402 | 238 | |
Tidewater Inc. | 4,564 | 216 | |
Patterson-UTI Energy Inc. | 13,903 | 211 |
29
S&P Mid-Cap 400 Value Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
* | Superior Energy | ||
Services Inc. | 8,839 | 184 | |
* | Unit Corp. | 3,712 | 148 |
* | Helix Energy Solutions | ||
Group Inc. | 6,963 | 123 | |
Arch Coal Inc. | 18,904 | 115 | |
Energen Corp. | 1,928 | 98 | |
* | Forest Oil Corp. | 10,486 | 78 |
* | Atwood Oceanics Inc. | 1,569 | 73 |
* | Quicksilver Resources Inc. | 10,834 | 37 |
2,556 | |||
Financials (29.4%) | |||
New York Community | |||
Bancorp Inc. | 39,099 | 518 | |
Everest Re Group Ltd. | 4,697 | 487 | |
Reinsurance Group of | |||
America Inc. Class A | 6,564 | 386 | |
Fidelity National | |||
Financial Inc. Class A | 19,839 | 374 | |
WR Berkley Corp. | 9,977 | 373 | |
Macerich Co. | 5,902 | 352 | |
Raymond James | |||
Financial Inc. | 9,941 | 350 | |
Duke Realty Corp. | 23,725 | 344 | |
SL Green Realty Corp. | 3,831 | 309 | |
Weingarten Realty Investors | 10,792 | 301 | |
HCC Insurance Holdings Inc. | 9,012 | 298 | |
East West Bancorp Inc. | 12,875 | 282 | |
Jones Lang LaSalle Inc. | 3,896 | 281 | |
UDR Inc. | 10,705 | 270 | |
* | Affiliated Managers | ||
Group Inc. | 2,287 | 269 | |
Hospitality Properties Trust | 11,003 | 265 | |
BioMed Realty Trust Inc. | 13,728 | 254 | |
* | Alleghany Corp. | 752 | 254 |
American Financial | |||
Group Inc. | 6,730 | 253 | |
First Niagara Financial | |||
Group Inc. | 31,404 | 248 | |
Liberty Property Trust | 6,270 | 231 | |
Hancock Holding Co. | 7,549 | 224 | |
City National Corp. | 4,177 | 214 | |
Mack-Cali Realty Corp. | 7,821 | 209 | |
Regency Centers Corp. | 4,245 | 208 | |
Protective Life Corp. | 7,214 | 204 | |
Associated Banc-Corp | 15,490 | 201 | |
Old Republic | |||
International Corp. | 23,105 | 199 | |
Jefferies Group Inc. | 13,387 | 197 | |
Realty Income Corp. | 4,634 | 195 | |
Senior Housing | |||
Properties Trust | 8,555 | 189 | |
Aspen Insurance | |||
Holdings Ltd. | 6,369 | 185 | |
SEI Investments Co. | 8,460 | 184 |
Market | |||
Value | |||
Shares | ($000) | ||
Alexandria Real Estate | |||
Equities Inc. | 2,488 | 184 | |
First American | |||
Financial Corp. | 9,454 | 182 | |
Arthur J Gallagher & Co. | 4,943 | 177 | |
Fulton Financial Corp. | 17,852 | 174 | |
Valley National Bancorp | 17,537 | 170 | |
Rayonier Inc. | 3,360 | 165 | |
Commerce Bancshares Inc. | 4,058 | 163 | |
Brown & Brown Inc. | 6,189 | 162 | |
TCF Financial Corp. | 14,413 | 160 | |
Camden Property Trust | 2,283 | 159 | |
National Retail Properties Inc. | 4,956 | 154 | |
Washington Federal Inc. | 9,519 | 153 | |
FirstMerit Corp. | 9,766 | 153 | |
Janus Capital Group Inc. | 16,788 | 146 | |
Synovus Financial Corp. | 70,053 | 146 | |
Apollo Investment Corp. | 18,070 | 145 | |
Corporate Office | |||
Properties Trust | 6,416 | 143 | |
Hanover Insurance | |||
Group Inc. | 4,012 | 143 | |
Webster Financial Corp. | 6,574 | 140 | |
Trustmark Corp. | 5,769 | 137 | |
Kemper Corp. | 4,415 | 135 | |
American Campus | |||
Communities Inc. | 2,871 | 134 | |
Cullen/Frost Bankers Inc. | 2,406 | 134 | |
BRE Properties Inc. | 2,665 | 133 | |
Omega Healthcare | |||
Investors Inc. | 5,277 | 127 | |
Mercury General Corp. | 3,227 | 124 | |
StanCorp Financial | |||
Group Inc. | 3,953 | 123 | |
Eaton Vance Corp. | 4,530 | 123 | |
Highwoods Properties Inc. | 3,753 | 122 | |
* | SVB Financial Group | 2,009 | 117 |
Cathay General Bancorp | 7,013 | 115 | |
Equity One Inc. | 5,316 | 113 | |
BancorpSouth Inc. | 7,318 | 108 | |
Bank of Hawaii Corp. | 2,028 | 94 | |
Waddell & Reed | |||
Financial Inc. Class A | 3,075 | 91 | |
International | |||
Bancshares Corp. | 4,731 | 86 | |
Potlatch Corp. | 2,154 | 78 | |
Astoria Financial Corp. | 7,449 | 75 | |
CBOE Holdings Inc. | 2,491 | 71 | |
Prosperity Bancshares Inc. | 1,664 | 70 | |
Greenhill & Co. Inc. | 1,498 | 65 | |
* | Alexander & Baldwin Inc. | 2,175 | 64 |
Westamerica | |||
Bancorporation | 911 | 42 | |
14,608 |
30
S&P Mid-Cap 400 Value Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Health Care (5.5%) | |||
* | Vertex Pharmaceuticals Inc. | 8,833 | 471 |
Omnicare Inc. | 10,060 | 326 | |
* | Community Health | ||
Systems Inc. | 8,096 | 219 | |
* | WellCare Health Plans Inc. | 3,837 | 217 |
* | Hologic Inc. | 10,132 | 199 |
* | LifePoint Hospitals Inc. | 4,335 | 175 |
* | Health Management | ||
Associates Inc. Class A | 22,783 | 174 | |
* | Health Net Inc. | 7,403 | 172 |
Owens & Minor Inc. | 5,658 | 158 | |
* | VCA Antech Inc. | 7,793 | 151 |
Universal Health | |||
Services Inc. Class B | 3,105 | 124 | |
STERIS Corp. | 2,522 | 86 | |
* | Charles River Laboratories | ||
International Inc. | 2,356 | 86 | |
Teleflex Inc. | 1,162 | 77 | |
Hill-Rom Holdings Inc. | 2,594 | 72 | |
* | Masimo Corp. | 1,487 | 33 |
2,740 | |||
Industrials (16.4%) | |||
* | AGCO Corp. | 8,657 | 364 |
KBR Inc. | 13,215 | 358 | |
Timken Co. | 7,476 | 300 | |
Corrections Corp. | |||
of America | 8,902 | 296 | |
Kansas City Southern | 3,428 | 265 | |
Manpower Inc. | 7,141 | 265 | |
Kennametal Inc. | 7,128 | 263 | |
* | Shaw Group Inc. | 5,870 | 247 |
URS Corp. | 6,744 | 246 | |
* | Fortune Brands | ||
Home & Security Inc. | 9,382 | 239 | |
Pentair Inc. | 5,204 | 221 | |
* | Terex Corp. | 9,832 | 217 |
Lennox International Inc. | 4,539 | 216 | |
* | Oshkosh Corp. | 8,161 | 207 |
Trinity Industries Inc. | 7,148 | 203 | |
* | AECOM Technology Corp. | 10,055 | 195 |
* | Huntington Ingalls | ||
Industries Inc. | 4,396 | 176 | |
Exelis Inc. | 16,618 | 168 | |
ITT Corp. | 8,204 | 163 | |
Carlisle Cos. Inc. | 3,043 | 159 | |
Con-way Inc. | 4,971 | 151 | |
* | United Rentals Inc. | 4,584 | 148 |
Lincoln Electric | |||
Holdings Inc. | 3,578 | 148 | |
Harsco Corp. | 7,173 | 146 | |
* | B/E Aerospace Inc. | 3,609 | 145 |
SPX Corp. | 2,076 | 133 | |
Deluxe Corp. | 4,542 | 129 |
Market | |||
Value | |||
Shares | ($000) | ||
UTi Worldwide Inc. | 9,223 | 127 | |
* | General Cable Corp. | 4,433 | 120 |
IDEX Corp. | 2,845 | 113 | |
HNI Corp. | 4,056 | 112 | |
Regal-Beloit Corp. | 1,632 | 111 | |
Hubbell Inc. Class B | 1,372 | 111 | |
Acuity Brands Inc. | 1,660 | 106 | |
Herman Miller Inc. | 5,196 | 102 | |
* | JetBlue Airways Corp. | 20,251 | 99 |
Waste Connections Inc. | 3,407 | 99 | |
Graco Inc. | 1,937 | 96 | |
Brink’s Co. | 4,210 | 94 | |
GATX Corp. | 2,167 | 89 | |
Werner Enterprises Inc. | 3,957 | 88 | |
Granite Construction Inc. | 3,097 | 85 | |
Matson Inc. | 3,742 | 85 | |
Nordson Corp. | 1,411 | 83 | |
* | Esterline Technologies Corp. | 1,289 | 77 |
Alliant Techsystems Inc. | 1,445 | 71 | |
* | Kirby Corp. | 1,292 | 68 |
Towers Watson & Co. | |||
Class A | 1,132 | 61 | |
Corporate Executive | |||
Board Co. | 1,311 | 61 | |
* | Korn/Ferry International | 4,252 | 61 |
CLARCOR Inc. | 1,251 | 60 | |
Landstar System Inc. | 1,126 | 53 | |
Mine Safety Appliances Co. | 1,431 | 50 | |
Rollins Inc. | 1,999 | 47 | |
Crane Co. | 1,136 | 43 | |
8,140 | |||
Information Technology (11.7%) | |||
* | Avnet Inc. | 12,916 | 416 |
* | Arrow Electronics Inc. | 9,952 | 361 |
* | NCR Corp. | 14,132 | 316 |
* | AOL Inc. | 8,327 | 280 |
* | CoreLogic Inc. | 9,512 | 234 |
* | Cadence Design | ||
Systems Inc. | 16,142 | 213 | |
* | Synopsys Inc. | 6,419 | 212 |
* | Ingram Micro Inc. | 13,566 | 207 |
* | Compuware Corp. | 19,396 | 194 |
Diebold Inc. | 5,610 | 183 | |
* | Tech Data Corp. | 3,544 | 172 |
* | Skyworks Solutions Inc. | 5,563 | 169 |
* | Fairchild Semiconductor | ||
International Inc. Class A | 11,317 | 164 | |
Convergys Corp. | 10,370 | 161 | |
DST Systems Inc. | 3,043 | 155 | |
* | Itron Inc. | 3,551 | 154 |
Broadridge Financial | |||
Solutions Inc. | 6,229 | 148 | |
* | Mentor Graphics Corp. | 8,308 | 137 |
* | Atmel Corp. | 22,529 | 134 |
31
S&P Mid-Cap 400 Value Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
* | Vishay Intertechnology Inc. | 12,761 | 122 |
* | Parametric Technology Corp. | 5,637 | 120 |
* | Acxiom Corp. | 6,841 | 117 |
Tellabs Inc. | 32,484 | 115 | |
* | International Rectifier Corp. | 6,137 | 107 |
Cypress Semiconductor | |||
Corp. | 9,053 | 105 | |
Intersil Corp. Class A | 11,304 | 100 | |
* | RF Micro Devices Inc. | 24,776 | 93 |
Lender Processing | |||
Services Inc. | 3,236 | 91 | |
National Instruments Corp. | 3,236 | 83 | |
* | Cree Inc. | 2,779 | 78 |
* | Monster Worldwide Inc. | 10,791 | 75 |
Plantronics Inc. | 2,043 | 73 | |
* | ValueClick Inc. | 4,278 | 70 |
* | Integrated Device | ||
Technology Inc. | 12,660 | 67 | |
* | Polycom Inc. | 6,340 | 66 |
* | Quest Software Inc. | 2,221 | 62 |
* | Ciena Corp. | 4,147 | 57 |
* | MEMC Electronic | ||
Materials Inc. | 20,450 | 55 | |
Fair Isaac Corp. | 1,218 | 52 | |
* | QLogic Corp. | 3,976 | 48 |
Mantech International Corp. | |||
Class A | 958 | 22 | |
5,788 | |||
Materials (7.7%) | |||
Ashland Inc. | 6,987 | 514 | |
Reliance Steel & | |||
Aluminum Co. | 6,691 | 344 | |
RPM International Inc. | 11,712 | 321 | |
Cytec Industries Inc. | 4,095 | 280 | |
Sonoco Products Co. | 8,957 | 274 | |
Valspar Corp. | 4,712 | 251 | |
Steel Dynamics Inc. | 19,509 | 238 | |
Cabot Corp. | 5,646 | 197 | |
* | Louisiana-Pacific Corp. | 12,222 | 164 |
Packaging Corp. of America | 4,977 | 159 | |
Olin Corp. | 7,133 | 153 | |
Martin Marietta | |||
Materials Inc. | 1,951 | 149 | |
Commercial Metals Co. | 10,328 | 132 | |
Greif Inc. Class A | 2,737 | 122 | |
Domtar Corp. | 1,546 | 112 | |
Worthington Industries Inc. | 4,735 | 99 | |
Silgan Holdings Inc. | 1,673 | 70 | |
Sensient Technologies Corp. | 1,911 | 69 | |
Carpenter Technology Corp. | 1,408 | 67 | |
Scotts Miracle-Gro Co. | |||
Class A | 1,272 | 53 | |
Minerals Technologies Inc. | 524 | 36 | |
3,804 |
Market | ||
Value | ||
Shares | ($000) | |
Telecommunication Services (0.7%) | ||
Telephone & Data | ||
Systems Inc. | 8,603 | 211 |
* tw telecom inc Class A | 4,960 | 125 |
336 | ||
Utilities (7.5%) | ||
NV Energy Inc. | 21,014 | 369 |
MDU Resources Group Inc. | 16,814 | 362 |
Westar Energy Inc. | 11,236 | 327 |
UGI Corp. | 10,004 | 305 |
Great Plains Energy Inc. | 13,625 | 291 |
Atmos Energy Corp. | 8,017 | 280 |
Alliant Energy Corp. | 5,237 | 231 |
Hawaiian Electric | ||
Industries Inc. | 8,603 | 228 |
Questar Corp. | 11,108 | 219 |
Vectren Corp. | 7,302 | 206 |
OGE Energy Corp. | 2,898 | 157 |
National Fuel Gas Co. | 3,113 | 155 |
PNM Resources Inc. | 7,094 | 146 |
Aqua America Inc. | 5,699 | 142 |
Cleco Corp. | 2,442 | 100 |
WGL Holdings Inc. | 2,294 | 90 |
IDACORP Inc. | 1,873 | 78 |
Black Hills Corp. | 1,521 | 52 |
3,738 | ||
Total Investments (100.0%) | ||
(Cost $46,869) | 49,648 | |
Other Assets and Liabilities (0.0%) | ||
Other Assets | 90 | |
Liabilities | (71) | |
19 | ||
Net Assets (100%) | 49,667 |
32
S&P Mid-Cap 400 Value Index Fund
At August 31, 2012, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 49,107 |
Undistributed Net Investment Income | 595 |
Accumulated Net Realized Losses | (2,814) |
Unrealized Appreciation (Depreciation) | 2,779 |
Net Assets | 49,667 |
Institutional Shares—Net Assets | |
Applicable to 321,303 outstanding $.001 | |
par value shares of beneficial interest | |
(unlimited authorization) | 40,261 |
Net Asset Value Per Share— | |
Institutional Shares | $125.30 |
ETF Shares—Net Assets | |
Applicable to 150,000 outstanding $.001 | |
par value shares of beneficial interest | |
(unlimited authorization) | 9,406 |
Net Asset Value Per Share— | |
ETF Shares | $62.71 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
See accompanying Notes, which are an integral part of the Financial Statements.
33
S&P Mid-Cap 400 Value Index Fund
Statement of Operations
Year Ended | |
August 31, 2012 | |
($000) | |
Investment Income | |
Income | |
Dividends | 963 |
Total Income | 963 |
Expenses | |
The Vanguard Group—Note B | |
Management and Administrative—Institutional Shares | 3 |
Management and Administrative—ETF Shares | 13 |
Custodian Fees | 19 |
Auditing Fees | 15 |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—ETF Shares | 1 |
Total Expenses | 51 |
Net Investment Income | 912 |
Realized Net Gain (Loss) on Investment Securities Sold | 8 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 5,835 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 6,755 |
See accompanying Notes, which are an integral part of the Financial Statements.
34
S&P Mid-Cap 400 Value Index Fund
Statement of Changes in Net Assets
September 7, | ||
Year Ended | 20101 to | |
August 31, | August 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 912 | 436 |
Realized Net Gain (Loss) | 8 | (457) |
Change in Unrealized Appreciation (Depreciation) | 5,835 | (3,056) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 6,755 | (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 | 866 | 37,945 |
ETF Shares | 2,458 | 5,473 |
Net Increase (Decrease) from Capital Share Transactions | 3,324 | 43,418 |
Total Increase (Decrease) | 9,385 | 40,282 |
Net Assets | ||
Beginning of Period | 40,282 | — |
End of Period2 | 49,667 | 40,282 |
1 Inception.
2 Net Assets—End of Period includes undistributed net investment income of $595,000 and $377,000.
See accompanying Notes, which are an integral part of the Financial Statements.
35
S&P Mid-Cap 400 Value Index Fund
Financial Highlights
Institutional Shares
Year | Nov. 2, | |
Ended | 20101 to | |
August 31, | August 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 | 2.124 | 1.146 |
Net Realized and Unrealized Gain (Loss) on Investments | 13.624 | 1.233 |
Total from Investment Operations | 15.748 | 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 | $125.30 | $111.20 |
Total Return | 14.32% | 2.15% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $40 | $35 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08%2 |
Ratio of Net Investment Income to Average Net Assets | 1.92% | 1.94%2 |
Portfolio Turnover Rate3 | 31% | 48% |
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
36
S&P Mid-Cap 400 Value Index Fund
Financial Highlights
ETF Shares
Year | Sept. 7, | |
Ended | 20101 to | |
August 31, | August 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 | 1.001 | .746 |
Net Realized and Unrealized Gain (Loss) on Investments | 6.814 | 5.340 |
Total from Investment Operations | 7.815 | 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 | $62.71 | $55.69 |
Total Return | 14.18% | 12.18% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $9 | $6 |
Ratio of Total Expenses to Average Net Assets | 0.20% | 0.20%2 |
Ratio of Net Investment Income to Average Net Assets | 1.80% | 1.82%2 |
Portfolio Turnover Rate3 | 31% | 48% |
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
37
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 NYSE Arca; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. 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 all open federal income tax years (August 31, 2011–2012), 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 August 31, 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.
38
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 August 31, 2012, 100% of the market value of the fund’s investments was determined 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 year ended August 31, 2012, the fund realized $1,541,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
For tax purposes, at August 31, 2012, the fund had $596,000 of ordinary income available for distribution. At August 31, 2012, the fund had available capital losses totaling $2,812,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2012, the cost of investment securities for tax purposes was $46,872,000. Net unrealized appreciation of investment securities for tax purposes was $2,776,000, consisting of unrealized gains of $5,619,000 on securities that had risen in value since their purchase and $2,843,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the year ended August 31, 2012, the fund purchased $30,107,000 of investment securities and sold $26,539,000 of investment securities, other than temporary cash investments. Purchases and sales include $13,961,000 and $11,459,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
39
S&P Mid-Cap 400 Value Index Fund
F. Capital share transactions for each class of shares were:
Year Ended | Inception1 to | |||
August 31, 2012 | August 31, 2011 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Institutional Shares | ||||
Issued | 3,195 | 29 | 39,075 | 322 |
Issued in Lieu of Cash Distributions | 535 | 5 | 46 | — |
Redeemed | (2,864) | (25) | (1,176) | (10) |
Net Increase (Decrease) —Institutional Shares | 866 | 9 | 37,945 | 312 |
ETF Shares | ||||
Issued | 13,970 | 250 | 13,747 | 250 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (11,512) | (200) | (8,274) | (150) |
Net Increase (Decrease) —ETF Shares | 2,458 | 50 | 5,473 | 100 |
1 Inception was September 7, 2010, for the ETF Shares and November 2, 2010, for the Institutional Shares. |
At August 31, 2012, two shareholders were each a record or beneficial owner of 32% or more of the fund’s net assets, with a combined ownership of 73%. If one of these shareholders were to redeem its investment in the fund, the redemption might result in an increase in the fund’s expense ratio, cause the fund to incur higher transaction costs, or lead to the realization of taxable capital gains.
G. In preparing the financial statements as of August 31, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
40
S&P Mid-Cap 400 Growth Index Fund
Fund Profile
As of August 31, 2012
Share-Class Characteristics | ||
Institutional | ETF | |
Shares | Shares | |
Ticker Symbol | VMFGX | IVOG |
Expense Ratio1 | 0.08% | 0.20% |
30-Day SEC Yield | 0.99% | 0.87% |
Portfolio Characteristics | |||
S&P | DJ | ||
MidCap | U.S. Total | ||
400 Growth | Market | ||
Fund | Index | Index | |
Number of Stocks | 233 | 233 | 3,678 |
Median Market Cap | $4.1B | $4.1B | $34.9B |
Price/Earnings Ratio | 22.2x | 22.2x | 16.3x |
Price/Book Ratio | 2.9x | 2.9x | 2.1x |
Return on Equity | 14.1% | 14.1% | 18.1% |
Earnings Growth Rate | 11.6% | 11.6% | 10.5% |
Dividend Yield | 1.0% | 1.0% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 26% | — | — |
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 14.8% | 14.8% | 12.1% | |
Consumer Staples | 4.0 | 4.0 | 9.8 |
Energy | 6.4 | 6.4 | 10.2 |
Financials | 15.3 | 15.3 | 15.9 |
Health Care | 14.4 | 14.4 | 11.7 |
Industrials | 15.9 | 15.9 | 10.6 |
Information Technology 19.9 | 19.9 | 19.5 | |
Materials | 6.2 | 6.2 | 3.8 |
Telecommunication | |||
Services | 0.4 | 0.4 | 2.8 |
Utilities | 2.7 | 2.7 | 3.6 |
Ten Largest Holdings (% of total net assets) | ||
Regeneron | ||
Pharmaceuticals Inc. | Biotechnology | 2.0% |
Equinix Inc. | Internet Software & | |
Services | 1.6 | |
AMETEK Inc. | Electrical | |
Components & | ||
Equipment | 1.4 | |
PetSmart Inc. | Specialty Stores | 1.3 |
Church & Dwight Co. | Household | |
Inc. | Products | 1.3 |
Alliance Data Systems | Data Processing & | |
Corp. | Outsourced | |
Services | 1.2 | |
Henry Schein Inc. | Health Care | |
Distributors | 1.2 | |
Federal Realty | ||
Investment Trust | Retail REITs | 1.2 |
Tractor Supply Co. | Specialty Stores | 1.2 |
PVH Corp. | Apparel, | |
Accessories & | ||
Luxury Goods | 1.1 | |
Top Ten | 13.5% |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
1 The expense ratios shown are from the prospectus dated December 27, 2011, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2012, the expense ratios were 0.08% for Institutional Shares and 0.20% for ETF Shares.
41
S&P Mid-Cap 400 Growth Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: September 7, 2010, Through August 31, 2012
Initial Investment of $10,000
Average Annual Total Returns | |||
Periods Ended August 31, 2012 | |||
Since | Final Value | ||
One | Inception | of a $10,000 | |
Year | (9/7/2010) | Investment | |
S&P Mid-Cap 400 Growth Index Fund | |||
ETF Shares Net Asset Value | 10.97% | 16.69% | $13,579 |
S&P Mid-Cap 400 Growth Index Fund | |||
ETF Shares Market Price | 10.96 | 16.72 | 13,584 |
S&P MidCap 400 Growth Index | 11.17 | 16.89 | 13,625 |
Mid-Cap Growth Funds Average | 9.70 | 13.80 | 12,920 |
Dow Jones U.S. Total Stock Market | |||
Index | 16.74 | 15.72 | 13,355 |
Mid-Cap Growth Funds Average: Derived from data provided by Lipper Inc.
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
Since | Final Value | ||
One | Inception | of a $5,000,000 | |
Year | (3/28/2011) | Investment | |
S&P Mid-Cap 400 Growth Index Fund | |||
Institutional Shares | 11.12% | 2.66% | $5,191,170 |
S&P MidCap 400 Growth Index | 11.17 | 2.71 | 5,194,553 |
Dow Jones U.S. Total Stock Market Index | 16.74 | 6.07 | 5,439,396 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards. |
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.
42
S&P Mid-Cap 400 Growth Index Fund
Cumulative Returns of ETF Shares: September 7, 2010, Through August 31, 2012
Since | ||
One | Inception | |
Year | (9/7/2010) | |
S&P Mid-Cap 400 Growth Index FundETF | ||
Shares Market Price | 10.96% | 35.84% |
S&P Mid-Cap 400 Growth Index FundETF | ||
Shares Net Asset Value | 10.97 | 35.79 |
S&P MidCap 400 Growth Index | 11.17 | 36.25 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards. |
Fiscal-Year Total Returns (%): September 7, 2010, Through August 31, 2012
S&P Mid-Cap 400 Growth Index Fund ETF Shares Net Asset Value |
S&P MidCap 400 Growth Index |
Average Annual Total Returns: Periods Ended June 30, 2012
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 | -3.76% | -0.34% |
ETF Shares | 9/7/2010 | ||
Market Price | -3.87 | 15.72 | |
Net Asset Value | -3.88 | 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.
43
S&P Mid-Cap 400 Growth Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 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%)1 | |||
Consumer Discretionary (14.8%) | |||
PetSmart Inc. | 20,900 | 1,482 | |
Tractor Supply Co. | 13,893 | 1,327 | |
PVH Corp. | 13,572 | 1,274 | |
* | LKQ Corp. | 28,424 | 1,073 |
Advance Auto Parts Inc. | 14,174 | 1,008 | |
Polaris Industries Inc. | 13,242 | 996 | |
* | Panera Bread Co. Class A | 5,736 | 889 |
* | Under Armour Inc. Class A | 14,272 | 831 |
Dick’s Sporting Goods Inc. | 12,935 | 644 | |
Tupperware Brands Corp. | 10,777 | 576 | |
* | Carter’s Inc. | 9,883 | 551 |
Gentex Corp. | 27,822 | 487 | |
Williams-Sonoma Inc. | 9,992 | 410 | |
* | Warnaco Group Inc. | 7,919 | 407 |
Signet Jewelers Ltd. | 8,703 | 399 | |
* | Life Time Fitness Inc. | 8,271 | 393 |
* | Deckers Outdoor Corp. | 7,426 | 368 |
* | Tempur-Pedic | ||
International Inc. | 11,487 | 359 | |
Jarden Corp. | 7,364 | 356 | |
* | Ascena Retail Group Inc. | 16,732 | 331 |
John Wiley & Sons Inc. | |||
Class A | 6,489 | 320 | |
Cinemark Holdings Inc. | 12,422 | 291 | |
Aaron’s Inc. | 8,351 | 249 | |
Cheesecake Factory Inc. | 7,076 | 235 | |
Guess? Inc. | 8,376 | 218 | |
* | Bally Technologies Inc. | 4,649 | 206 |
* | Lamar Advertising Co. | ||
Class A | 5,217 | 173 | |
HSN Inc. | 3,782 | 170 | |
* | AMC Networks Inc. Class A | 4,322 | 170 |
Sotheby’s | 5,102 | 159 | |
Strayer Education Inc. | 2,289 | 148 | |
* | Aeropostale Inc. | 9,734 | 136 |
* | ITT Educational Services Inc. | 3,498 | 112 |
Market | |||
Value | |||
Shares | ($000) | ||
Matthews International | |||
Corp. Class A | 2,779 | 83 | |
* | Scientific Games Corp. | ||
Class A | 3,806 | 28 | |
16,859 | |||
Consumer Staples (4.0%) | |||
Church & Dwight Co. Inc. | 26,782 | 1,466 | |
Ingredion Inc. | 14,714 | 792 | |
* | Green Mountain | ||
Coffee Roasters Inc. | 25,158 | 612 | |
Energizer Holdings Inc. | 7,065 | 487 | |
* | Ralcorp Holdings Inc. | 4,794 | 340 |
Lancaster Colony Corp. | 3,843 | 278 | |
Flowers Foods Inc. | 11,101 | 229 | |
Hillshire Brands Co. | 8,459 | 221 | |
* | Post Holdings Inc. | 2,394 | 71 |
Tootsie Roll Industries Inc. | 2,404 | 61 | |
4,557 | |||
Energy (6.4%) | |||
Oceaneering | |||
International Inc. | 20,882 | 1,118 | |
Cimarex Energy Co. | 16,536 | 946 | |
* | Oil States International Inc. | 10,554 | 826 |
* | Dresser-Rand Group Inc. | 14,592 | 739 |
SM Energy Co. | 12,366 | 584 | |
Energen Corp. | 9,731 | 497 | |
* | Dril-Quip Inc. | 6,662 | 467 |
* | Rosetta Resources Inc. | 10,197 | 438 |
* | Atwood Oceanics Inc. | 7,571 | 350 |
* | Plains Exploration & | ||
Production Co. | 8,694 | 342 | |
CARBO Ceramics Inc. | 3,831 | 270 | |
* | Superior Energy | ||
Services Inc. | 11,231 | 233 | |
* | Bill Barrett Corp. | 9,267 | 203 |
* | Northern Oil and Gas Inc. | 12,262 | 200 |
* | Helix Energy Solutions | ||
Group Inc. | 5,307 | 93 | |
7,306 |
44
S&P Mid-Cap 400 Growth Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Financials (15.3%) | |||
Federal Realty | |||
Investment Trust | 12,323 | 1,330 | |
Essex Property Trust Inc. | 6,789 | 1,032 | |
Taubman Centers Inc. | 11,330 | 907 | |
* | MSCI Inc. Class A | 23,434 | 822 |
Rayonier Inc. | 16,224 | 795 | |
Macerich Co. | 12,778 | 761 | |
Camden Property Trust | 10,525 | 731 | |
SL Green Realty Corp. | 8,985 | 724 | |
Realty Income Corp. | 15,687 | 661 | |
UDR Inc. | 25,105 | 634 | |
Home Properties Inc. | 9,380 | 599 | |
* | Affiliated Managers | ||
Group Inc. | 4,950 | 582 | |
* | Signature Bank | 8,900 | 575 |
American Campus | |||
Communities Inc. | 11,067 | 516 | |
Alexandria Real Estate | |||
Equities Inc. | 6,588 | 487 | |
BRE Properties Inc. | 9,027 | 451 | |
Arthur J Gallagher & Co. | 12,097 | 432 | |
Regency Centers Corp. | 8,155 | 399 | |
* | Alleghany Corp. | 1,178 | 397 |
Cullen/Frost Bankers Inc. | 6,632 | 369 | |
Eaton Vance Corp. | 12,487 | 338 | |
Senior Housing | |||
Properties Trust | 15,157 | 335 | |
Liberty Property Trust | 9,056 | 334 | |
CBOE Holdings Inc. | 11,474 | 326 | |
National Retail | |||
Properties Inc. | 9,912 | 308 | |
Waddell & Reed | |||
Financial Inc. Class A | 9,996 | 296 | |
Commerce Bancshares Inc. | 6,381 | 257 | |
* | SVB Financial Group | 4,181 | 242 |
Brown & Brown Inc. | 8,943 | 235 | |
Omega Healthcare | |||
Investors Inc. | 8,988 | 216 | |
SEI Investments Co. | 9,449 | 205 | |
Bank of Hawaii Corp. | 4,384 | 203 | |
Prosperity Bancshares Inc. | 4,801 | 202 | |
Highwoods Properties Inc. | 6,122 | 200 | |
Westamerica Bancorporation | 3,390 | 158 | |
Potlatch Corp. | 3,117 | 112 | |
Greenhill & Co. Inc. | 2,359 | 103 | |
* | Alexander & Baldwin Inc. | 3,411 | 101 |
17,375 | |||
Health Care (14.4%) | |||
* | Regeneron | ||
Pharmaceuticals Inc. | 15,052 | 2,228 | |
* | Henry Schein Inc. | 17,342 | 1,332 |
* | Vertex Pharmaceuticals Inc. | 21,568 | 1,150 |
* | ResMed Inc. | 27,524 | 1,034 |
* | IDEXX Laboratories Inc. | 10,611 | 1,009 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Mettler-Toledo | ||
International Inc. | 6,063 | 1,001 | |
* | AMERIGROUP Corp. | 9,351 | 850 |
Cooper Cos. Inc. | 9,129 | 765 | |
* | Endo Health Solutions Inc. | 22,592 | 719 |
* | MEDNAX Inc. | 9,484 | 657 |
* | HMS Holdings Corp. | 16,571 | 571 |
* | Hologic Inc. | 29,069 | 571 |
* | United Therapeutics Corp. | 10,357 | 560 |
* | Covance Inc. | 10,689 | 511 |
Techne Corp. | 7,098 | 487 | |
Universal Health | |||
Services Inc. Class B | 11,943 | 477 | |
* | Thoratec Corp. | 11,320 | 384 |
* | Bio-Rad Laboratories Inc. | ||
Class A | 3,815 | 383 | |
Medicis Pharmaceutical | |||
Corp. Class A | 11,478 | 362 | |
Teleflex Inc. | 5,355 | 354 | |
* | Allscripts Healthcare | ||
Solutions Inc. | 33,063 | 347 | |
STERIS Corp. | 5,691 | 195 | |
Hill-Rom Holdings Inc. | 6,351 | 176 | |
* | Masimo Corp. | 7,861 | 174 |
* | Charles River Laboratories | ||
International Inc. | 4,351 | 158 | |
16,455 | |||
Industrials (15.9%) | |||
AMETEK Inc. | 46,489 | 1,595 | |
Kansas City Southern | 13,784 | 1,066 | |
Donaldson Co. Inc. | 28,712 | 1,013 | |
JB Hunt Transport | |||
Services Inc. | 17,382 | 911 | |
Wabtec Corp. | 9,286 | 726 | |
Hubbell Inc. Class B | 8,448 | 683 | |
MSC Industrial Direct | |||
Co. Inc. Class A | 8,904 | 617 | |
Gardner Denver Inc. | 9,653 | 582 | |
Triumph Group Inc. | 9,605 | 571 | |
Valmont Industries Inc. | 4,353 | 552 | |
* | Copart Inc. | 20,052 | 535 |
* | Clean Harbors Inc. | 9,143 | 497 |
* | B/E Aerospace Inc. | 12,216 | 492 |
Waste Connections Inc. | 16,421 | 475 | |
Nordson Corp. | 7,853 | 462 | |
* | Alaska Air Group Inc. | 13,717 | 460 |
Watsco Inc. | 5,700 | 430 | |
* | Kirby Corp. | 7,968 | 419 |
Woodward Inc. | 11,606 | 405 | |
Towers Watson & Co. | |||
Class A | 7,375 | 401 | |
IDEX Corp. | 10,050 | 401 | |
Graco Inc. | 7,464 | 369 | |
Lincoln Electric Holdings Inc. | 8,398 | 346 | |
SPX Corp. | 5,278 | 337 |
45
S&P Mid-Cap 400 Growth Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
CLARCOR Inc. | 6,980 | 336 | |
Pentair Inc. | 7,836 | 333 | |
Landstar System Inc. | 6,613 | 313 | |
Regal-Beloit Corp. | 4,500 | 306 | |
Acuity Brands Inc. | 4,576 | 294 | |
Carlisle Cos. Inc. | 5,395 | 282 | |
Crane Co. | 7,055 | 268 | |
* | Fortune Brands | ||
Home & Security Inc. | 10,457 | 267 | |
* | FTI Consulting Inc. | 8,098 | 211 |
* | United Rentals Inc. | 6,338 | 205 |
Rollins Inc. | 8,107 | 189 | |
* | Esterline Technologies Corp. | 3,144 | 188 |
GATX Corp. | 4,336 | 178 | |
Corporate Executive | |||
Board Co. | 3,623 | 169 | |
Alliant Techsystems Inc. | 3,263 | 160 | |
Mine Safety Appliances Co. | 2,875 | 100 | |
18,144 | |||
Information Technology (19.9%) | |||
* | Equinix Inc. | 9,270 | 1,832 |
* | Alliance Data Systems Corp. | 9,718 | 1,338 |
* | ANSYS Inc. | 17,977 | 1,253 |
* | Rackspace Hosting Inc. | 20,588 | 1,235 |
* | Trimble Navigation Ltd. | 24,119 | 1,183 |
* | TIBCO Software Inc. | 31,802 | 952 |
* | Gartner Inc. | 17,985 | 888 |
FactSet Research | |||
Systems Inc. | 8,660 | 799 | |
* | MICROS Systems Inc. | 15,488 | 785 |
* | Skyworks Solutions Inc. | 24,496 | 746 |
* | VeriFone Systems Inc. | 20,750 | 721 |
* | Informatica Corp. | 20,868 | 680 |
* | Concur Technologies Inc. | 9,079 | 657 |
Global Payments Inc. | 15,143 | 631 | |
Jack Henry & | |||
Associates Inc. | 16,830 | 622 | |
* | Riverbed Technology Inc. | 30,560 | 611 |
* | SolarWinds Inc. | 10,409 | 571 |
Solera Holdings Inc. | 13,405 | 551 | |
* | Wright Express Corp. | 7,490 | 493 |
* | NeuStar Inc. Class A | 12,893 | 484 |
* | Synopsys Inc. | 14,457 | 478 |
* | Cree Inc. | 16,286 | 459 |
* | Zebra Technologies Corp. | 10,006 | 373 |
* | ACI Worldwide Inc. | 7,671 | 333 |
* | Rovi Corp. | 21,411 | 328 |
* | Silicon Laboratories Inc. | 8,274 | 316 |
* | Semtech Corp. | 12,643 | 310 |
National Instruments Corp. | 10,970 | 283 | |
Lender Processing | |||
Services Inc. | 9,281 | 261 | |
Broadridge Financial | |||
Solutions Inc. | 10,588 | 251 | |
ADTRAN Inc. | 12,294 | 249 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Cadence Design | ||
Systems Inc. | 17,988 | 237 | |
* | Parametric | ||
Technology Corp. | 10,811 | 230 | |
* | Atmel Corp. | 36,841 | 218 |
* | Polycom Inc. | 20,654 | 215 |
* | Quest Software Inc. | 6,135 | 172 |
Fair Isaac Corp. | 3,972 | 170 | |
* | Advent Software Inc. | 6,164 | 146 |
* | Ciena Corp. | 10,143 | 139 |
Plantronics Inc. | 3,775 | 135 | |
* | QLogic Corp. | 10,158 | 124 |
Cypress Semiconductor Corp. | 9,705 | 113 | |
* | ValueClick Inc. | 5,213 | 85 |
Mantech International | |||
Corp. Class A | 2,431 | 54 | |
22,711 | |||
Materials (6.2%) | |||
Royal Gold Inc. | 11,507 | 1,013 | |
Albemarle Corp. | 17,196 | 941 | |
Rock-Tenn Co. Class A | 13,627 | 910 | |
Aptargroup Inc. | 12,834 | 650 | |
NewMarket Corp. | 2,043 | 503 | |
Compass Minerals | |||
International Inc. | 6,374 | 458 | |
Valspar Corp. | 7,392 | 394 | |
Martin Marietta | |||
Materials Inc. | 4,578 | 349 | |
Domtar Corp. | 3,627 | 263 | |
Packaging Corp. of America | 8,123 | 260 | |
Carpenter Technology Corp. | 5,431 | 257 | |
Silgan Holdings Inc. | 5,923 | 248 | |
Scotts Miracle-Gro Co. | |||
Class A | 5,599 | 233 | |
* | Intrepid Potash Inc. | 10,151 | 228 |
Sensient Technologies Corp. | 5,494 | 197 | |
Minerals Technologies Inc. | 2,296 | 156 | |
7,060 | |||
Telecommunication Services (0.4%) | |||
* | tw telecom inc Class A | 18,293 | 460 |
Utilities (2.7%) | |||
OGE Energy Corp. | 12,734 | 688 | |
National Fuel Gas Co. | 9,303 | 464 | |
Alliant Energy Corp. | 10,062 | 444 | |
Aqua America Inc. | 14,492 | 362 | |
Cleco Corp. | 6,466 | 265 | |
IDACORP Inc. | 5,598 | 232 | |
Questar Corp. | 10,321 | 204 | |
WGL Holdings Inc. | 4,975 | 194 | |
Black Hills Corp. | 5,194 | 178 | |
3,031 | |||
Total Common Stocks | |||
(Cost $108,929) | 113,958 |
46
S&P Mid-Cap 400 Growth Index Fund
Face | Market | |
Amount | Value | |
($000) | ($000) | |
Temporary Cash Investment (0.0%)1 | ||
U.S. Government and Agency Obligations (0.0%) | ||
2,3 Fannie Mae Discount | ||
Notes, 0.140%, 9/19/12 | ||
(Cost $50) | 50 | 50 |
Total Investments (100.0%) | ||
(Cost $108,979) | 114,008 | |
Other Assets and Liabilities (0.0%) | ||
Other Assets | 129 | |
Liabilities | (133) | |
(4) | ||
Net Assets (100%) | 114,004 |
At August 31, 2012, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 112,548 |
Undistributed Net Investment Income | 416 |
Accumulated Net Realized Losses | (3,992) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 5,029 |
Futures Contracts | 3 |
Net Assets | 114,004 |
Institutional Shares—Net Assets | |
Applicable to 170,752 outstanding $.001 | |
par value shares of beneficial interest | |
(unlimited authorization) | 22,914 |
Net Asset Value Per Share— | |
Institutional Shares | $134.20 |
ETF Shares—Net Assets | |
Applicable to 1,350,000 outstanding $.001 | |
par value shares of beneficial interest | |
(unlimited authorization) | 91,090 |
Net Asset Value Per Share— | |
ETF Shares | $67.47 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.0%, respectively, of net assets.
2 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
3 Securities with a value of $50,000 have been segregated as initial margin for open futures contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
47
S&P Mid-Cap 400 Growth Index Fund
Statement of Operations
Year Ended | |
August 31, 2012 | |
($000) | |
Investment Income | |
Income | |
Dividends | 678 |
Security Lending | 2 |
Total Income | 680 |
Expenses | |
The Vanguard Group—Note B | |
Management and Administrative—Institutional Shares | 6 |
Management and Administrative—ETF Shares | 70 |
Marketing and Distribution—Institutional Shares | 1 |
Marketing and Distribution—ETF Shares | 1 |
Custodian Fees | 19 |
Auditing Fees | 15 |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—ETF Shares | 3 |
Total Expenses | 115 |
Net Investment Income | 565 |
Realized Net Gain (Loss) on Investment Securities Sold | (789) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 6,479 |
Futures Contracts | 3 |
Change in Unrealized Appreciation (Depreciation) | 6,482 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 6,258 |
See accompanying Notes, which are an integral part of the Financial Statements.
48
S&P Mid-Cap 400 Growth Index Fund
Statement of Changes in Net Assets
September 7, | ||
Year Ended | 20101 to | |
August 31, | August 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 565 | 187 |
Realized Net Gain (Loss) | (789) | (457) |
Change in Unrealized Appreciation (Depreciation) | 6,482 | (1,450) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 6,258 | (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 | (1,788) | 24,410 |
ETF Shares | 56,830 | 30,337 |
Net Increase (Decrease) from Capital Share Transactions | 55,042 | 54,747 |
Total Increase (Decrease) | 60,997 | 53,007 |
Net Assets | ||
Beginning of Period | 53,007 | — |
End of Period2 | 114,004 | 53,007 |
1 Inception.
2 Net Assets—End of Period includes undistributed net investment income of $416,000 and $154,000.
See accompanying Notes, which are an integral part of the Financial Statements.
49
S&P Mid-Cap 400 Growth Index Fund
Financial Highlights
Institutional Shares
Year | March 28, | |
Ended | 20111 to | |
August 31, | August 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 | .915 | .304 |
Net Realized and Unrealized Gain (Loss) on Investments | 12.506 | (8.844) |
Total from Investment Operations | 13.421 | (8.540) |
Distributions | ||
Dividends from Net Investment Income | (.761) | — |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (.761) | — |
Net Asset Value, End of Period | $134.20 | $121.54 |
Total Return | 11.12% | -6.57% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $23 | $22 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08%2 |
Ratio of Net Investment Income to Average Net Assets | 0.88% | 0.75%2 |
Portfolio Turnover Rate3 | 26% | 40% |
1 Inception—See Notes to Financial Statements.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
50
S&P Mid-Cap 400 Growth Index Fund
Financial Highlights
ETF Shares
Year | Sept. 7, | |
Ended | 20101 to | |
August 31, | August 31, | |
For a Share Outstanding Throughout Each Period | 2012 | 2011 |
Net Asset Value, Beginning of Period | $61.13 | $50.04 |
Investment Operations | ||
Net Investment Income | .405 | .280 |
Net Realized and Unrealized Gain (Loss) on Investments | 6.266 | 10.910 |
Total from Investment Operations | 6.671 | 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 | $67.47 | $61.13 |
Total Return | 10.97% | 22.36% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $91 | $31 |
Ratio of Total Expenses to Average Net Assets | 0.20% | 0.20%2 |
Ratio of Net Investment Income to Average Net Assets | 0.76% | 0.63%2 |
Portfolio Turnover Rate3 | 26% | 40% |
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.
51
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 were based on the activity of the Institutional Shares since March 28, 2011. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. 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. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market.
Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended August 31, 2012, the fund’s average investment in futures contracts represented less than 1% of net assets, based on quarterly average aggregate settlement values.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2011–2012), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
52
S&P Mid-Cap 400 Growth Index Fund
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Other: Dividend income is recorded on the ex-dividend date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At August 31, 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.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of August 31, 2012, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 113,958 | — | — |
Temporary Cash Investments | — | 50 | — |
Futures Contracts—Assets1 | 1 | — | — |
Total | 113,959 | 50 | — |
1 Represents variation margin on the last day of the reporting period. |
53
S&P Mid-Cap 400 Growth Index Fund
D. At August 31, 2012, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
E-mini S&P Mid-Cap 400 Index | September 2012 | 1 | 97 | 3 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the year ended August 31, 2012, the fund realized $1,848,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
For tax purposes, at August 31, 2012, the fund had $416,000 of ordinary income available for distribution. At August 31, 2012, the fund had available capital losses totaling $3,988,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2012, the cost of investment securities for tax purposes was $108,981,000. Net unrealized appreciation of investment securities for tax purposes was $5,027,000, consisting of unrealized gains of $10,198,000 on securities that had risen in value since their purchase and $5,171,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended August 31, 2012, the fund purchased $87,904,000 of investment securities and sold $32,594,000 of investment securities, other than temporary cash investments. Purchases and sales include $69,000,000 and $9,718,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
54
S&P Mid-Cap 400 Growth Index Fund
G. Capital share transactions for each class of shares were:
Year Ended | Inception1 to | |||
August 31, 2012 | August 31, 2011 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Institutional Shares | ||||
Issued | 2,422 | 19 | 26,992 | 205 |
Issued in Lieu of Cash Distributions | 137 | 1 | — | — |
Redeemed | (4,347) | (34) | (2,582) | (20) |
Net Increase (Decrease) —Institutional Shares | (1,788) | (14) | 24,410 | 185 |
ETF Shares | ||||
Issued | 69,018 | 1,050 | 36,105 | 600 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (12,188) | (200) | (5,768) | (100) |
Net Increase (Decrease)—ETF Shares | 56,830 | 850 | 30,337 | 500 |
1 Inception was September 7, 2010 for ETF Shares. Institutional Shares were first issued on December 15, 2010. The sole shareholder redeemed shortly thereafter. Institutional Shares were next issued on March 28, 2011. The table reflects all Institutional transactions beginning December 15, 2010.
H. In preparing the financial statements as of August 31, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
55
Report of Independent Registered
Public Accounting Firm
To the Trustees of Vanguard Admiral Funds and the Shareholders of Vanguard S&P Mid-Cap 400 Index Fund, Vanguard S&P Mid-Cap 400 Value Index Fund and Vanguard S&P Mid-Cap 400 Growth Index Fund:
In our opinion, the accompanying statements of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard S&P Mid-Cap 400 Index Fund, Vanguard S&P Mid-Cap 400 Value Index Fund and Vanguard S&P Mid-Cap 400 Growth Index Fund (constituting separate portfolios of Vanguard Admiral Funds, hereafter referred to as the “Funds”) at August 31, 2012, and the results of each of their operations for the year then ended, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at August 31, 2012 by correspondence with the custodian and broker, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 16, 2012
56
Special 2012 tax information (unaudited) for Vanguard S&P Mid-Cap 400 Index Funds |
This information for the year ended August 31, 2012, is included pursuant to provisions of the Internal |
Revenue Code. |
The funds distributed qualified dividend income to shareholders during the period as follows: |
Qualified Dividend Income | |
Fund | ($000) |
S&P Mid-Cap 400 Index Fund | 557 |
S&P Mid-Cap 400 Value Index Fund | 561 |
S&P Mid-Cap 400 Growth Index Fund | 228 |
For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends-received deduction is as follows:
Fund | Percentage |
S&P Mid-Cap 400 Index Fund | 82.5% |
S&P Mid-Cap 400 Value Index Fund | 85.6 |
S&P Mid-Cap 400 Growth Index Fund | 87.2 |
57
Your Fund’s After-Tax Returns
This table presents returns for your fund both before and after taxes. The after-tax returns are shown in two ways: (1) assuming that an investor owned the fund during the entire period and paid taxes on the fund’s distributions, and (2) assuming that an investor paid taxes on the fund’s distributions and sold all shares at the end of each period.
Calculations are based on the highest individual federal income tax and capital gains tax rates in effect at the times of the distributions and the hypothetical sales. State and local taxes were not considered. After-tax returns reflect any qualified dividend income , using actual prior-year figures and estimates for 2012. (In the example, returns after the sale of fund shares may be higher than those assuming no sale. This occurs when the sale would have produced a capital loss. The calculation assumes that the investor received a tax deduction for the loss.)
The table shows returns for ETF Shares only; returns for other share classes will differ. Please note that your actual after-tax returns will depend on your tax situation and may differ from those shown. Also note that if you own the fund in a tax-deferred account, such as an individual retirement account or a 401(k) plan, this information does not apply to you. Such accounts are not subject to current taxes.
Finally, keep in mind that a fund’s performance—whether before or after taxes—does not guarantee future results.
Average Annual Total Returns: S&P Mid-Cap 400 Index
Periods Ended August 31, 2012
Since | ||
One | Inception | |
Year | (9/7/2010) | |
S&P Mid-Cap 400 Index Fund ETF Shares | ||
Returns Before Taxes | 12.60% | 15.03% |
Returns After Taxes on Distributions | 12.43 | 14.91 |
Returns After Taxes on Distributions and Sale of Fund Shares | 8.31 | 12.86 |
Since | ||
One | Inception | |
Year | (9/7/2010) | |
S&P Mid-Cap 400 Value Index Fund ETF Shares | ||
Returns Before Taxes | 14.18% | 13.30% |
Returns After Taxes on Distributions | 13.88 | 13.10 |
Returns After Taxes on Distributions and Sale of Fund Shares | 9.43 | 11.34 |
Since | ||
One | Inception | |
Year | (9/7/2010) | |
S&P Mid-Cap 400 Growth Index Fund ETF Shares | ||
Returns Before Taxes | 10.97% | 16.69% |
Returns After Taxes on Distributions | 10.85 | 16.61 |
Returns After Taxes on Distributions and Sale of Fund Shares | 7.21 | 14.31 |
58
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.
59
Six Months Ended August 31, 2012 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
2/29/2012 | 8/31/2012 | Period | |
Based on Actual Fund Return | |||
S&P Mid-Cap 400 Index Fund | |||
Institutional Shares | $1,000.00 | $1,001.69 | $0.40 |
ETF Shares | 1,000.00 | 1,001.23 | 0.76 |
S&P Mid-Cap 400 Value Index Fund | |||
Institutional Shares | $1,000.00 | $1,003.77 | $0.40 |
ETF Shares | 1,000.00 | 1,003.20 | 1.01 |
S&P Mid-Cap 400 Growth Index Fund | |||
Institutional Shares | $1,000.00 | $999.93 | $0.40 |
ETF Shares | 1,000.00 | 999.26 | 1.01 |
Based on Hypothetical 5% Yearly Return | |||
S&P Mid-Cap 400 Index Fund | |||
Institutional Shares | $1,000.00 | $1,024.80 | $0.41 |
ETF Shares | 1,000.00 | 1,024.45 | 0.77 |
S&P Mid-Cap 400 Value Index Fund | |||
Institutional Shares | $1,000.00 | $1,024.80 | $0.41 |
ETF Shares | 1,000.00 | 1,024.20 | 1.02 |
S&P Mid-Cap 400 Growth Index Fund | |||
Institutional Shares | $1,000.00 | $1,024.80 | $0.41 |
ETF Shares | 1,000.00 | 1,024.20 | 1.02 |
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the S&P Mid-Cap 400 Index Fund, 0.08% 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.
60
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard S&P Mid-Cap 400 Index Fund, S&P Mid-Cap 400 Value Index Fund, and S&P Mid-Cap 400 Growth Index Fund has renewed the funds’ investment advisory arrangement with The Vanguard Group, Inc. Vanguard—through its Equity Investment Group—serves as investment advisor to the funds. The board determined that continuing the funds’ internalized management structure was in the best interest of the funds and their shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board considered the quality of the investment management services provided to the funds since their inception in 2010, and took into account the organizational depth and stability of the advisor. The board noted that Vanguard has been managing investments for more than three decades. The Equity Investment Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted approval of the advisory arrangement.
Investment performance
The board considered the funds’ performance since their inception, including any periods of outperformance or underperformance of their target indexes and peer groups. The board concluded that the funds have performed in line with expectations and that their results have been consistent with their investment strategies. Information about each fund’s most recent performance can be found in the Performance Summary pages of this report.
Cost
The board concluded that each fund’s expense ratio was well below the average expense ratios charged by funds in its respective peer group and that the funds’ advisory fee rates were also well below their peer group averages. Information about the funds’ expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements sections.
The board does not conduct a profitability analysis of Vanguard, because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the funds’ low-cost arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangement again after a one-year period.
61
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.
62
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.
63
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.
InterestedTrustee1 | and Delphi Automotive LLP (automotive components); |
Senior Advisor at New Mountain Capital; Trustee of | |
F. William McNabb III | The Conference Board. |
Born 1957. Trustee Since July 2009. Chairman of the | |
Board. Principal Occupation(s) During the Past Five | Amy Gutmann |
Years: Chairman of the Board of The Vanguard Group, | Born 1949. Trustee Since June 2006. Principal |
Inc., and of each of the investment companies served | Occupation(s) During the Past Five Years: President |
by The Vanguard Group, since January 2010; Director | of the University of Pennsylvania; Christopher H. |
of The Vanguard Group since 2008; Chief Executive | Browne Distinguished Professor of Political Science |
Officer and President of The Vanguard Group and of | in the School of Arts and Sciences with secondary |
each of the investment companies served by The | appointments at the Annenberg School for |
Vanguard Group since 2008; Director of Vanguard | Communication and the Graduate School of Education |
Marketing Corporation; Managing Director of The | of the University of Pennsylvania; Member of the |
Vanguard Group (1995–2008). | National Commission on the Humanities and Social |
Sciences; Trustee of Carnegie Corporation of New | |
IndependentTrustees | York and of the National Constitution Center; Chair |
of the U. S. Presidential Commission for the Study | |
Emerson U. Fullwood | of Bioethical Issues. |
Born 1948. Trustee Since January 2008. Principal | |
Occupation(s) During the Past Five Years: Executive | JoAnn Heffernan Heisen |
Chief Staff and Marketing Officer for North America | Born 1950. Trustee Since July 1998. Principal |
and Corporate Vice President (retired 2008) of Xerox | Occupation(s) During the Past Five Years: Corporate |
Corporation (document management products and | Vice President and Chief Global Diversity Officer |
services); Executive in Residence and 2010 | (retired 2008) and Member of the Executive |
Distinguished Minett Professor at the Rochester | Committee (1997–2008) of Johnson & Johnson |
Institute of Technology; Director of SPX Corporation | (pharmaceuticals/medical devices/consumer |
(multi-industry manufacturing), the United Way of | products); Director of Skytop Lodge Corporation |
Rochester, Amerigroup Corporation (managed health | (hotels), the University Medical Center at Princeton, |
care), the University of Rochester Medical Center, | the Robert Wood Johnson Foundation, and the Center |
Monroe Community College Foundation, and North | for Talent Innovation; Member of the Advisory Board |
Carolina A&T University. | of the Maxwell School of Citizenship and Public Affairs |
at Syracuse University. | |
Rajiv L. Gupta | |
Born 1945. Trustee Since December 2001.2 | F. Joseph Loughrey |
Principal Occupation(s) During the Past Five Years: | Born 1949. Trustee Since October 2009. Principal |
Chairman and Chief Executive Officer (retired 2009) | Occupation(s) During the Past Five Years: President |
and President (2006–2008) of Rohm and Haas Co. | and Chief Operating Officer (retired 2009) of Cummins |
(chemicals); Director of Tyco International, Ltd. | Inc. (industrial machinery); Director of SKF AB |
(diversified manufacturing and services), Hewlett- | (industrial machinery), Hillenbrand, Inc. (specialized |
Packard Co. (electronic computer manufacturing), | consumer services), the Lumina Foundation for |
Education, and Oxfam America; Chairman of the | Executive Officers | |
Advisory Council for the College of Arts and Letters | ||
and Member of the Advisory Board to the Kellogg | Glenn Booraem | |
Institute for International Studies at the University | Born 1967. Controller Since July 2010. Principal | |
of Notre Dame. | Occupation(s) During the Past Five Years: Principal | |
of The Vanguard Group, Inc.; Controller of each of | ||
Mark Loughridge | the investment companies served by The Vanguard | |
Born 1953. Trustee Since March 2012. Principal | Group; Assistant Controller of each of the investment | |
Occupation(s) During the Past Five Years: Senior Vice | companies served by The Vanguard Group (2001–2010). | |
President and Chief Financial Officer at IBM (information | ||
technology services); Fiduciary Member of IBM’s | Thomas J. Higgins | |
Retirement Plan Committee. | Born 1957. Chief Financial Officer Since September | |
2008. Principal Occupation(s) During the Past Five | ||
Scott C. Malpass | Years: Principal of The Vanguard Group, Inc.; Chief | |
Born 1962. Trustee Since March 2012. Principal | Financial Officer of each of the investment companies | |
Occupation(s) During the Past Five Years: Chief | served by The Vanguard Group; Treasurer of each of | |
Investment Officer and Vice President at the University | the investment companies served by The Vanguard | |
of Notre Dame; Assistant Professor of Finance at the | Group (1998–2008). | |
Mendoza College of Business at Notre Dame; Member | ||
of the Notre Dame 403(b) Investment Committee; | Kathryn J. Hyatt | |
Director of TIFF Advisory Services, Inc. (investment | Born 1955. Treasurer Since November 2008. Principal | |
advisor); Member of the Investment Advisory | Occupation(s) During the Past Five Years: Principal of | |
Committees of the Financial Industry Regulatory | The Vanguard Group, Inc.; Treasurer of each of the | |
Authority (FINRA) and of Major League Baseball. | investment companies served by The Vanguard | |
Group; Assistant Treasurer of each of the investment | ||
André F. Perold | companies served by The Vanguard Group (1988–2008). | |
Born 1952. Trustee Since December 2004. Principal | ||
Occupation(s) During the Past Five Years: George | Heidi Stam | |
Gund Professor of Finance and Banking at the Harvard | Born 1956. Secretary Since July 2005. Principal | |
Business School (retired 2011); Chief Investment | Occupation(s) During the Past Five Years: Managing | |
Officer and Managing Partner of HighVista Strategies | Director of The Vanguard Group, Inc.; General Counsel | |
LLC (private investment firm); Director of Rand | of The Vanguard Group; Secretary of The Vanguard | |
Merchant Bank; Overseer of the Museum of Fine | Group and of each of the investment companies | |
Arts Boston. | served by The Vanguard Group; Director and Senior | |
Vice President of Vanguard Marketing Corporation. | ||
Alfred M. Rankin, Jr. | ||
Born 1941. Trustee Since January 1993. Principal | ||
Occupation(s) During the Past Five Years: Chairman, | Vanguard Senior ManagementTeam | |
President, and Chief Executive Officer of NACCO | ||
Industries, Inc. (forklift trucks/housewares/lignite); | Mortimer J. Buckley | Michael S. Miller |
Director of Goodrich Corporation (industrial products/ | Kathleen C. Gubanich | James M. Norris |
aircraft systems and services) and the National | Paul A. Heller | Glenn W. Reed |
Association of Manufacturers; Chairman of the Board | Martha G. King | George U. Sauter |
of the Federal Reserve Bank of Cleveland and of | Chris D. McIsaac | |
University Hospitals of Cleveland; Advisory Chairman | ||
of the Board of The Cleveland Museum of Art. | ||
Chairman Emeritus and Senior Advisor | ||
Peter F. Volanakis | ||
John J. Brennan | ||
Born 1955. Trustee Since July 2009. Principal | Chairman, 1996–2009 | |
Occupation(s) During the Past Five Years: President | Chief Executive Officer and President, 1996–2008 | |
and Chief Operating Officer (retired 2010) of Corning | ||
Incorporated (communications equipment); Director | ||
of SPX Corporation (multi-industry manufacturing); | Founder | |
Overseer of the Amos Tuck School of Business | John C. Bogle | |
Administration at Dartmouth College; Advisor to the | Chairman and Chief Executive Officer, 1974–1996 | |
Norris Cotton Cancer Center. | ||
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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Direct Investor Account Services > 800-662-2739 | registered trademarks of Standard & Poor’s Financial |
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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 | |
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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. | |
Q18420 102012 |
Annual Report | August 31, 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 12 months ended August 31, 2012, Vanguard S&P 500 Value Index Fund returned about 17% and Vanguard S&P 500 Growth Index Fund returned about 18%.
> Both funds closely tracked the returns of their target indexes.
> The technology sector in the S&P 500 Growth Index, buoyed by continued product innovation, was among the best performers for the period.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
S&P 500 Value Index Fund. | 7 |
S&P 500 Growth Index Fund. | 20 |
Your Fund’s After-Tax Returns. | 34 |
About Your Fund’s Expenses. | 35 |
Trustees Approve Advisory Arrangement. | 37 |
Glossary. | 38 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice.
Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the
risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: Our cover photograph shows rigging on the HMSSurprise, a replica of an 18th-century Royal Navy frigate.
It was featured in a movie based on Patrick O’Brian’s sea novels, set amid the Napoleonic wars. Vanguard was named for
another ship of that era, the HMS Vanguard, which was the flagship of British Admiral Horatio Nelson at the Battle of the Nile.
Your Fund’s Total Returns
Fiscal Year Ended August 31, 2012
Total | |
Returns | |
S&P 500 Value Index Fund | |
ETF Shares | |
Market Price | 17.21% |
Net Asset Value | 17.16 |
S&P 500 Value Index | 17.34 |
Large-Cap Value Funds Average | 14.59 |
Large-Cap Value Funds Average: Derived from data provided by Lipper Inc. |
Vanguard S&P 500 Growth Index Fund | |
ETF Shares | |
Market Price | 18.30% |
Net Asset Value | 18.38 |
S&P 500 Growth Index | 18.55 |
Large-Cap Growth Funds Average | 14.07 |
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 August 31, 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 | $61.42 | $1.233 | $0.000 |
Vanguard S&P 500 Growth Index Fund | ||||
ETF Shares | $58.81 | $68.43 | $1.058 | $0.000 |
1
Chairman’s Letter
Dear Shareholder,
Although the path wasn’t smooth, Vanguard S&P 500 Growth Index Fund and Vanguard S&P 500 Value Index Fund delivered generous returns for the 12 months ended August 31, 2012.
ETF Shares of the Value Fund advanced 17.16% and those of the Growth Fund gained 18.38%. (Returns cited are based on net asset value.) Both funds closely tracked the returns of their respective target indexes and produced results that were notably better than the average returns of peer funds. (Vanguard 500 Index Fund, which is a blend of the growth and value portfolios, is covered in a separate report.)
If you hold your shares in a taxable account, you may wish to review information on the funds’ after-tax returns that appears later in this report.
U.S. stocks shook off concerns to produce double-digit returns
U.S. stocks generated robust gains for the period, returning nearly 17%. They seemed to get a lift as the U.S. economy continued to grow, albeit at a modest rate, and avoided the “double-dip” recession that some investors had feared.
Though European stocks posted strong returns in local-currency terms, this performance was much more modest when converted into U.S. dollars—a result of the dollar’s strengthening against the euro during the 12 months. Signs of
2
slowing economic growth restrained returns for emerging markets and the developed markets of the Pacific region.
Questions about the finances of European governments and banks continued to preoccupy investors. Although the situation in Europe is very fluid, Vanguard economists believe the most likely scenario is that the Eurozone will “muddle through” for several years, with occasional spikes in market volatility, as fiscal tightening continues in the face of weak economic growth.
Bonds continued their march, as yields dropped to record lows
Bonds produced solid returns; the broad U.S. taxable market advanced nearly 6% for the 12 months. Long-term U.S. Treasuries were particularly strong as they benefited from the Federal Reserve’s bond-buying program.
As bond prices rose, the yield of the 10-year U.S. Treasury note fell to a record low in July, closing below 1.5%. (Bond yields and prices move in opposite directions.) Bondholders have enjoyed years of strong returns. But as Tim Buckley, our incoming chief investment officer, has noted, investors shouldn’t be surprised if future results are more modest. As yields tumble, the scope for further declines—and price increases—diminishes.
As it has since December 2008, the Federal Reserve Board held its target for the shortest-term interest rates between
Market Barometer | |||
Average Annual Total Returns | |||
Periods Ended August 31, 2012 | |||
One | Three | Five | |
Year | Years | Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 17.33% | 13.82% | 1.47% |
Russell 2000 Index (Small-caps) | 13.40 | 13.89 | 1.90 |
Dow Jones U.S. Total Stock Market Index | 16.74 | 13.87 | 1.73 |
MSCI All Country World Index ex USA (International) | -1.92 | 3.64 | -3.59 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | 5.78% | 6.51% | 6.66% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 8.78 | 7.02 | 6.24 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.05 | 0.08 | 0.71 |
CPI | |||
Consumer Price Index | 1.69% | 2.20% | 2.07% |
3
0% and 0.25%, keeping a tight lid on the returns from money market funds and savings accounts.
Growth stocks were propelled by strength in the tech sector
As I noted, U.S. stocks recorded impressive gains for the 12 months, but it was a bumpy ride at times. Stocks tumbled in the spring when investors’ worries about Europe’s troubles were especially acute. Summer brought a sharp rebound as policymakers’ steps to contain the crisis eased concerns.
Amid the uncertainty, investors seemed to gravitate to the perceived stability of large-capitalization stocks, which outperformed their small-cap counterparts. In the large-cap growth category, technology stocks were the clear standout performers. The tech sector—the largest in the Growth Fund, representing more than one-quarter of the fund’s holdings, on average—benefited from the growing demand for smartphones and tablet computers.
Technology stocks are a mainstay of growth investing, which has traditionally focused on emerging companies with rapidly rising sales or profits. Value investing, by contrast, has tended to emphasize established, dividend-paying companies whose stocks are trading at a discount based on a metric such as price-earnings ratio.
Keep in mind, however, that the distinction between growth and value stocks isn’t hard and fast. Some stocks are held by
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 fiscal year ended August 31, 2012, the funds’ 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
both the S&P 500 Value Index Fund and its growth counterpart. The methodology used to create the indexes that the funds seek to track can create some overlap in holdings, though the same stock will be weighted differently in each index. (See “Why are some stocks in both the growth and value indexes?” below for more detail.)
In the Value Fund’s first full fiscal year, the financial sector was a major driver of performance, with banks, in particular, generating outsized returns. Investors seemed more confident that lenders were getting past the lingering effects of mortgage defaults associated with the U.S. housing downturn. Hopes for a housing recovery also appeared to be behind the sharp rally in the stocks of home builders and home improvement retailers.
Both Growth and Value Funds have closely tracked their indexes
Since their inception on September 7, 2010, the S&P 500 Value and Growth Index Funds have successfully captured the returns of their benchmark indexes despite persistent stock market volatility. Such turbulent markets can create challenges for index fund advisors, who must manage purchases and sales in the face of fast-changing prices to minimize the gap between fund and index returns. Both funds have met these challenges.
Investment insight |
Why are some stocks in both the growth and value indexes? |
If you look closely at many value and growth indexes—and the funds that seek to |
track them—you’ll notice that they have some of the same holdings. Microsoft, for |
example, was among the ten largest holdings in both the S&P 500 Growth Index and |
the S&P 500 Value Index as of August 31, 2012. |
The overlap is a result of the methodology used to create and update the indexes. |
Here’s how it works: The index provider ranks all the stocks in a broader “parent” |
index according to growth and value metrics. Some of the stocks will be classified as |
purely growth or purely value. But a portion will fall in between, with characteristics |
of each. |
This type of stock will then be divided between the indexes. If it’s closer to the |
growth end of the spectrum, more of its market capitalization will be assigned to the |
growth index—and vice versa for value-oriented stocks. |
This method can reduce the number of stocks that drift entirely out of one index and |
into another. And that, in turn, can lead to lower transaction costs and greater tax |
efficiency for funds that follow the indexes. |
5
This performance is a credit to Vanguard Equity Investment Group, the funds’ advisor, whose deep experience and sophisticated portfolio construction and management techniques have kept returns on track. The funds’ low expense ratios have helped as well.
The rise of index funds and the merits of active management
Today, index funds enjoy a degree of acceptance that was unimaginable in 1976, when Vanguard introduced the first index mutual fund for individual investors. Even when I began my career at Vanguard in 1986, index funds were still very much in a fledgling phase.
In the intervening decades, they have steadily gained acceptance, a trend that seems to have accelerated with the rise of index-tracking ETFs. In the past five years, according to research company Strategic Insight, stock fund investors have directed just about all of their net new investments into index funds, both the conventional variety and ETFs.
The benefits of index funds, such as the S&P 500 Value and Growth Index Funds, are crystal clear: low costs, diversification across a market, and limited deviation from the returns of market benchmark indexes. But what about actively managed funds?
Although Vanguard is a prominent indexing leader, we also offer actively managed funds that give investors the chance to outperform market indexes. Make no mistake: Outperformance is hard to come by. Nevertheless, we believe we can enhance investors’ chances of success by searching the globe for best-in-class investment managers and offering their services to our clients at a low cost.
Whether your portfolio includes index funds, active funds, or a combination, we believe that adhering to a few basic tenets can help put you in a position to meet your long-term financial goals. So consider maintaining a balanced portfolio diversified with stocks, bonds, and cash; save more than you think you’ll need; keep an eye on costs; and last but never least, have a plan and stick with it.
Thank you for entrusting your assets to Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
September 19, 2012
6
S&P 500 Value Index Fund
Fund Profile
As of August 31, 2012
Portfolio Characteristics | |||
DJ | |||
S&P 500 | U.S. Total | ||
Value | Market | ||
Fund | Index | Index | |
Number of Stocks | 366 | 366 | 3,678 |
Median Market Cap $45.5B | $45.5B | $34.9B | |
Price/Earnings Ratio | 14.6x | 14.6x | 16.3x |
Price/Book Ratio | 1.5x | 1.5x | 2.1x |
Return on Equity | 13.0% | 12.9% | 18.1% |
Earnings Growth Rate | 1.7% | 1.7% | 10.5% |
Dividend Yield | 2.6% | 2.6% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 20% | — | — |
Ticker Symbol | VOOV | — | — |
Expense Ratio1 | 0.15% | — | — |
30-Day SEC Yield | 2.44% | — | — |
Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
S&P 500 | U.S. Total | ||
Value | Market | ||
Fund | Index | Index | |
Consumer Discretionary 11.3% | 11.3% | 12.1% | |
Consumer Staples | 7.6 | 7.6 | 9.8 |
Energy | 11.2 | 11.2 | 10.2 |
Financials | 26.3 | 26.3 | 15.9 |
Health Care | 7.2 | 7.2 | 11.7 |
Industrials | 10.8 | 10.8 | 10.6 |
Information Technology 10.5 | 10.5 | 19.5 | |
Materials | 2.9 | 2.9 | 3.8 |
Telecommunication | |||
Services | 5.7 | 5.7 | 2.8 |
Utilities | 6.5 | 6.5 | 3.6 |
Ten Largest Holdings (% of total net assets) | ||
General Electric Co. | Industrial | |
Conglomerates | 3.8% | |
AT&T Inc. | Integrated | |
Telecommunication | ||
Services | 3.7 | |
Wells Fargo & Co. | Diversified Banks | 3.2 |
Pfizer Inc. | Pharmaceuticals | 3.1 |
Berkshire Hathaway Inc. | Property & Casualty | |
Class B | Insurance | 2.6 |
Exxon Mobil Corp. | Integrated Oil & | |
Gas | 2.6 | |
JPMorgan Chase & Co. | Diversified Financial | |
Services | 2.5 | |
Cisco Systems Inc. | Communications | |
Equipment | 1.8 | |
Chevron Corp. | Integrated Oil & | |
Gas | 1.8 | |
Microsoft Corp. | Systems Software | 1.7 |
Top Ten | 26.8% |
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 fiscal year ended August 31, 2012, the expense ratio was 0.15%.
7
S&P 500 Value Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: September 7, 2010, Through August 31, 2012
Initial Investment of $10,000
Average Annual Total Returns | |||
Periods Ended August 31, 2012 | |||
Since | Final Value | ||
One | Inception | of a $10,000 | |
Year | (9/7/2010) | Investment | |
S&P 500 Value Index Fund ETF | |||
Shares Net Asset Value | 17.16% | 13.09% | $12,760 |
S&P 500 Value Index Fund ETF | |||
Shares Market Price | 17.21 | 13.13 | 12,769 |
S&P 500 Value Index | 17.34 | 13.29 | 12,805 |
Large-Cap Value Funds Average | 14.59 | 11.81 | 12,477 |
Dow Jones U.S. Total Stock Market | |||
Index | 16.74 | 15.72 | 13,355 |
Large-Cap Value Funds Average: Derived from data provided by Lipper Inc.
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
See Financial Highlights for dividend and capital gains information.
8
S&P 500 Value Index Fund
Cumulative Returns of ETF Shares: September 7, 2010, Through August 31, 2012
Since | ||
One | Inception | |
Year | (9/7/2010) | |
S&P 500 Value Index FundETF Shares | ||
Market Price | 17.21% | 27.69% |
S&P 500 Value Index FundETF Shares Net | ||
Asset Value | 17.16 | 27.60 |
S&P 500 Value Index | 17.34 | 28.05 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards. |
Fiscal-Year Total Returns (%): September 7, 2010, Through August 31, 2012
S&P 500 Value Index Fund ETF Shares Net Asset Value |
S&P 500 Value Index |
Average Annual Total Returns: Periods Ended June 30, 2012
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 | 2.87% | 12.55% | |
Net Asset Value | 2.81 | 12.52 |
9
S&P 500 Value Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 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 (11.3%) | |||
Comcast Corp. Class A | 24,551 | 823 | |
Walt Disney Co. | 16,276 | 805 | |
News Corp. Class A | 19,192 | 449 | |
Home Depot Inc. | 7,522 | 427 | |
Time Warner Inc. | 8,745 | 363 | |
Ford Motor Co. | 34,769 | 325 | |
Lowe’s Cos. Inc. | 10,705 | 305 | |
CBS Corp. Class B | 5,896 | 214 | |
Johnson Controls Inc. | 6,190 | 168 | |
Macy’s Inc. | 3,757 | 151 | |
Target Corp. | 2,345 | 150 | |
Carnival Corp. | 4,123 | 143 | |
Gap Inc. | 3,034 | 109 | |
Time Warner Cable Inc. | 908 | 81 | |
Wyndham Worldwide Corp. | 1,333 | 70 | |
Staples Inc. | 6,255 | 68 | |
* | CarMax Inc. | 2,084 | 64 |
Mattel Inc. | 1,704 | 60 | |
McGraw-Hill Cos. Inc. | 1,072 | 55 | |
Marriott International Inc. | |||
Class A | 1,441 | 54 | |
Omnicom Group Inc. | 1,044 | 54 | |
Whirlpool Corp. | 705 | 53 | |
Harley-Davidson Inc. | 1,249 | 52 | |
DR Horton Inc. | 2,553 | 49 | |
Lennar Corp. Class A | 1,481 | 48 | |
Newell Rubbermaid Inc. | 2,648 | 48 | |
Best Buy Co. Inc. | 2,532 | 45 | |
Interpublic Group of Cos. Inc. | 4,053 | 43 | |
Starwood Hotels & Resorts | |||
Worldwide Inc. | 758 | 42 | |
H&R Block Inc. | 2,498 | 41 | |
Kohl’s Corp. | 766 | 40 | |
JC Penney Co. Inc. | 1,339 | 35 | |
Limited Brands Inc. | 678 | 33 | |
Gannett Co. Inc. | 2,151 | 33 | |
Leggett & Platt Inc. | 1,287 | 31 |
Market | |||
Value | |||
Shares | ($000) | ||
International Game | |||
Technology | 2,430 | 30 | |
Harman International | |||
Industries Inc. | 645 | 30 | |
Cablevision Systems Corp. | |||
Class A | 1,956 | 29 | |
Abercrombie & Fitch Co. | 753 | 27 | |
* | Goodyear Tire & Rubber Co. | 2,213 | 27 |
Genuine Parts Co. | 422 | 27 | |
* | PulteGroup Inc. | 1,860 | 25 |
GameStop Corp. Class A | 1,190 | 23 | |
Nordstrom Inc. | 364 | 21 | |
* | Sears Holdings Corp. | 349 | 18 |
Darden Restaurants Inc. | 348 | 18 | |
Expedia Inc. | 325 | 17 | |
* | BorgWarner Inc. | 239 | 16 |
Hasbro Inc. | 431 | 16 | |
Washington Post Co. Class B | 44 | 16 | |
* | AutoNation Inc. | 384 | 15 |
* | TripAdvisor Inc. | 359 | 12 |
* | Urban Outfitters Inc. | 233 | 9 |
* | Big Lots Inc. | 207 | 6 |
5,913 | |||
Consumer Staples (7.6%) | |||
CVS Caremark Corp. | 11,662 | 531 | |
Wal-Mart Stores Inc. | 5,816 | 422 | |
Altria Group Inc. | 12,420 | 422 | |
Procter & Gamble Co. | 6,241 | 419 | |
Kraft Foods Inc. | 7,432 | 309 | |
Walgreen Co. | 7,800 | 279 | |
Sysco Corp. | 5,330 | 161 | |
Archer-Daniels-Midland Co. | 5,992 | 160 | |
Costco Wholesale Corp. | 1,612 | 158 | |
Kroger Co. | 5,102 | 114 | |
ConAgra Foods Inc. | 3,775 | 95 | |
Beam Inc. | 1,439 | 84 | |
Coca-Cola Enterprises Inc. | 2,733 | 81 | |
General Mills Inc. | 1,940 | 76 | |
Molson Coors Brewing Co. | |||
Class B | 1,426 | 63 |
10
S&P 500 Value Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Reynolds American Inc. | 1,362 | 63 | |
Avon Products Inc. | 3,925 | 60 | |
Lorillard Inc. | 380 | 48 | |
* | Constellation Brands Inc. | ||
Class A | 1,390 | 46 | |
Dr Pepper Snapple Group Inc. | 931 | 42 | |
Tyson Foods Inc. Class A | 2,637 | 41 | |
HJ Heinz Co. | 695 | 39 | |
JM Smucker Co. | 433 | 37 | |
Whole Foods Market Inc. | 371 | 36 | |
Safeway Inc. | 2,182 | 34 | |
* | Dean Foods Co. | 1,668 | 27 |
Clorox Co. | 357 | 26 | |
Campbell Soup Co. | 729 | 25 | |
McCormick & Co. Inc. | 337 | 21 | |
Hormel Foods Corp. | 685 | 20 | |
3,939 | |||
Energy (11.2%) | |||
Exxon Mobil Corp. | 15,327 | 1,338 | |
Chevron Corp. | 8,265 | 927 | |
ConocoPhillips | 11,517 | 654 | |
Phillips 66 | 5,689 | 239 | |
Devon Energy Corp. | 3,680 | 213 | |
Marathon Oil Corp. | 6,429 | 179 | |
Occidental Petroleum Corp. | 2,065 | 175 | |
Anadarko Petroleum Corp. | 2,319 | 161 | |
Marathon Petroleum Corp. | 3,099 | 160 | |
Valero Energy Corp. | 5,030 | 157 | |
Hess Corp. | 2,765 | 140 | |
Chesapeake Energy Corp. | 6,039 | 117 | |
Halliburton Co. | 3,524 | 115 | |
Williams Cos. Inc. | 3,254 | 105 | |
Kinder Morgan Inc. | 2,682 | 96 | |
Spectra Energy Corp. | 3,277 | 93 | |
National Oilwell Varco Inc. | 1,161 | 91 | |
Apache Corp. | 1,065 | 91 | |
Murphy Oil Corp. | 1,773 | 91 | |
Noble Corp. | 2,300 | 88 | |
Ensco plc Class A | 1,429 | 82 | |
Baker Hughes Inc. | 1,602 | 73 | |
* | Denbury Resources Inc. | 3,551 | 55 |
Noble Energy Inc. | 601 | 53 | |
Tesoro Corp. | 1,282 | 51 | |
QEP Resources Inc. | 1,621 | 46 | |
Sunoco Inc. | 967 | 46 | |
* | Rowan Cos. plc Class A | 1,129 | 40 |
* | Nabors Industries Ltd. | 2,638 | 39 |
EQT Corp. | 541 | 29 | |
Range Resources Corp. | 415 | 27 | |
CONSOL Energy Inc. | 576 | 17 | |
* | WPX Energy Inc. | 832 | 13 |
* | Newfield Exploration Co. | 386 | 13 |
* | Alpha Natural Resources Inc. | 1,991 | 12 |
5,826 |
Market | |||
Value | |||
Shares | ($000) | ||
Financials (26.3%) | |||
Wells Fargo & Co. | 48,380 | 1,646 | |
* | Berkshire Hathaway Inc. | ||
Class B | 16,011 | 1,350 | |
JPMorgan Chase & Co. | 34,658 | 1,287 | |
Citigroup Inc. | 26,701 | 793 | |
Bank of America Corp. | 98,135 | 784 | |
US Bancorp | 17,238 | 576 | |
Goldman Sachs Group Inc. | 4,476 | 473 | |
MetLife Inc. | 9,675 | 330 | |
PNC Financial Services | |||
Group Inc. | 4,819 | 300 | |
Capital One Financial Corp. | 5,280 | 298 | |
Bank of New York | |||
Mellon Corp. | 10,851 | 245 | |
Prudential Financial Inc. | 4,266 | 233 | |
* | American International | ||
Group Inc. | 6,679 | 229 | |
ACE Ltd. | 3,081 | 227 | |
American Express Co. | 3,645 | 213 | |
Morgan Stanley | 13,855 | 208 | |
BB&T Corp. | 6,356 | 200 | |
Discover Financial Services | 4,825 | 187 | |
State Street Corp. | 4,446 | 185 | |
Marsh & McLennan | |||
Cos. Inc. | 4,963 | 170 | |
Allstate Corp. | 4,470 | 167 | |
CME Group Inc. | 3,030 | 166 | |
Simon Property Group Inc. | 940 | 149 | |
Charles Schwab Corp. | 9,843 | 133 | |
Fifth Third Bancorp | 8,365 | 127 | |
SunTrust Banks Inc. | 4,892 | 123 | |
Weyerhaeuser Co. | 4,884 | 122 | |
Loews Corp. | 2,779 | 113 | |
Travelers Cos. Inc. | 1,697 | 110 | |
Ameriprise Financial Inc. | 1,995 | 110 | |
Progressive Corp. | 5,544 | 108 | |
Northern Trust Corp. | 2,191 | 102 | |
M&T Bank Corp. | 1,150 | 100 | |
Host Hotels & Resorts Inc. | 6,529 | 100 | |
HCP Inc. | 2,134 | 98 | |
Invesco Ltd. | 4,072 | 96 | |
Prologis Inc. | 2,635 | 90 | |
Regions Financial Corp. | 12,830 | 89 | |
Chubb Corp. | 1,060 | 78 | |
Kimco Realty Corp. | 3,713 | 75 | |
Principal Financial Group Inc. | 2,739 | 75 | |
KeyCorp | 8,709 | 73 | |
Hartford Financial | |||
Services Group Inc. | 4,027 | 72 | |
Boston Properties Inc. | 630 | 71 | |
SLM Corp. | 4,454 | 70 | |
XL Group plc Class A | 2,844 | 66 | |
Vornado Realty Trust | 792 | 64 | |
Lincoln National Corp. | 2,606 | 61 | |
NYSE Euronext | 2,320 | 58 |
11
S&P 500 Value Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Cincinnati Financial Corp. | 1,484 | 57 | |
Comerica Inc. | 1,794 | 55 | |
Public Storage | 376 | 55 | |
Huntington Bancshares Inc. | 7,839 | 52 | |
* | CBRE Group Inc. Class A | 2,986 | 52 |
Health Care REIT Inc. | 883 | 52 | |
Unum Group | 2,610 | 51 | |
Aon plc | 979 | 51 | |
Equity Residential | 793 | 48 | |
Torchmark Corp. | 899 | 46 | |
People’s United Financial Inc. | 3,257 | 39 | |
Leucadia National Corp. | 1,795 | 38 | |
AvalonBay Communities Inc. | 269 | 38 | |
Hudson City Bancorp Inc. | 4,778 | 34 | |
Moody’s Corp. | 846 | 33 | |
Zions Bancorporation | 1,668 | 32 | |
Plum Creek Timber Co. Inc. | 775 | 32 | |
Legg Mason Inc. | 1,147 | 28 | |
Assurant Inc. | 737 | 26 | |
NASDAQ OMX Group Inc. | 1,105 | 25 | |
* | Genworth Financial Inc. | ||
Class A | 4,446 | 24 | |
First Horizon National Corp. | 2,327 | 21 | |
Apartment Investment & | |||
Management Co. Class A | 749 | 20 | |
* | E*TRADE Financial Corp. | 2,304 | 20 |
Federated Investors Inc. | |||
Class B | 839 | 18 | |
13,747 | |||
Health Care (7.2%) | |||
Pfizer Inc. | 68,175 | 1,627 | |
Merck & Co. Inc. | 9,687 | 417 | |
Bristol-Myers Squibb Co. | 5,993 | 198 | |
McKesson Corp. | 2,141 | 186 | |
Medtronic Inc. | 3,313 | 135 | |
Eli Lilly & Co. | 2,786 | 125 | |
Cardinal Health Inc. | 3,147 | 124 | |
Cigna Corp. | 2,623 | 120 | |
WellPoint Inc. | 1,480 | 89 | |
AmerisourceBergen Corp. | |||
Class A | 2,290 | 88 | |
* | Forest Laboratories Inc. | 2,412 | 84 |
Thermo Fisher Scientific Inc. | 1,342 | 77 | |
* | Boston Scientific Corp. | 13,058 | 70 |
Covidien plc | 1,231 | 69 | |
Aetna Inc. | 1,452 | 56 | |
* | CareFusion Corp. | 2,026 | 53 |
* | Hospira Inc. | 1,509 | 51 |
Coventry Health Care Inc. | 1,217 | 51 | |
Humana Inc. | 622 | 44 | |
Agilent Technologies Inc. | 946 | 35 | |
PerkinElmer Inc. | 1,044 | 28 | |
* | Tenet Healthcare Corp. | 3,729 | 19 |
DENTSPLY International Inc. | 515 | 19 | |
Patterson Cos. Inc. | 388 | 13 | |
3,778 |
Market | |||
Value | |||
Shares | ($000) | ||
Industrials (10.8%) | |||
General Electric Co. | 96,464 | 1,998 | |
FedEx Corp. | 2,869 | 251 | |
Tyco International Ltd. | 4,211 | 237 | |
United Technologies Corp. | 2,322 | 185 | |
Boeing Co. | 2,590 | 185 | |
Caterpillar Inc. | 2,076 | 177 | |
Honeywell International Inc. | 2,624 | 153 | |
Northrop Grumman Corp. | 2,288 | 153 | |
Waste Management Inc. | 4,210 | 146 | |
Eaton Corp. | 3,071 | 137 | |
3M Co. | 1,453 | 135 | |
PACCAR Inc. | 3,244 | 130 | |
Ingersoll-Rand plc | 2,716 | 127 | |
CSX Corp. | 5,006 | 112 | |
Illinois Tool Works Inc. | 1,699 | 101 | |
Emerson Electric Co. | 1,941 | 99 | |
General Dynamics Corp. | 1,251 | 82 | |
Republic Services Inc. | |||
Class A | 2,871 | 79 | |
Precision Castparts Corp. | 475 | 77 | |
Raytheon Co. | 1,278 | 72 | |
Textron Inc. | 2,560 | 68 | |
Danaher Corp. | 1,209 | 65 | |
L-3 Communications | |||
Holdings Inc. | 889 | 62 | |
Southwest Airlines Co. | 6,975 | 62 | |
Norfolk Southern Corp. | 714 | 52 | |
* | Quanta Services Inc. | 1,946 | 47 |
* | Jacobs Engineering | ||
Group Inc. | 1,174 | 46 | |
Stanley Black & Decker Inc. | 702 | 46 | |
Cooper Industries plc | 582 | 43 | |
Cummins Inc. | 438 | 43 | |
Xylem Inc. | 1,694 | 41 | |
Cintas Corp. | 1,011 | 41 | |
Parker Hannifin Corp. | 483 | 39 | |
Fastenal Co. | 777 | 34 | |
Fluor Corp. | 628 | 32 | |
Masco Corp. | 2,234 | 32 | |
Dover Corp. | 519 | 30 | |
Avery Dennison Corp. | 947 | 30 | |
Iron Mountain Inc. | 763 | 25 | |
Pitney Bowes Inc. | 1,808 | 24 | |
Equifax Inc. | 502 | 23 | |
Robert Half International Inc. | 841 | 22 | |
Expeditors International | |||
of Washington Inc. | 557 | 20 | |
Ryder System Inc. | 461 | 18 | |
RR Donnelley & Sons Co. | 1,627 | 18 | |
Rockwell Collins Inc. | 357 | 17 | |
Snap-on Inc. | 240 | 17 | |
Flowserve Corp. | 111 | 14 | |
5,647 |
12
S&P 500 Value Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Information Technology (10.5%) | |||
Cisco Systems Inc. | 48,777 | 931 | |
Microsoft Corp. | 29,275 | 902 | |
Intel Corp. | 22,454 | 557 | |
Hewlett-Packard Co. | 18,013 | 304 | |
* | EMC Corp. | 8,595 | 226 |
* | eBay Inc. | 3,660 | 174 |
Corning Inc. | 13,808 | 166 | |
* | Yahoo! Inc. | 11,088 | 162 |
* | Dell Inc. | 13,527 | 143 |
TE Connectivity Ltd. | 3,889 | 137 | |
Applied Materials Inc. | 11,661 | 136 | |
Texas Instruments Inc. | 4,483 | 130 | |
Motorola Solutions Inc. | 2,657 | 127 | |
Accenture plc Class A | 1,471 | 91 | |
Xerox Corp. | 12,246 | 90 | |
* | Western Digital Corp. | 2,129 | 89 |
CA Inc. | 3,232 | 84 | |
* | Adobe Systems Inc. | 2,432 | 76 |
Seagate Technology plc | 2,316 | 74 | |
* | Symantec Corp. | 3,882 | 69 |
Fidelity National Information | |||
Services Inc. | 2,182 | 69 | |
* | Micron Technology Inc. | 9,032 | 56 |
* | NVIDIA Corp. | 3,841 | 54 |
Western Union Co. | 2,966 | 52 | |
Harris Corp. | 1,032 | 49 | |
Paychex Inc. | 1,438 | 48 | |
Computer Sciences Corp. | 1,420 | 46 | |
Analog Devices Inc. | 1,066 | 42 | |
Jabil Circuit Inc. | 1,660 | 38 | |
* | VeriSign Inc. | 752 | 36 |
Total System Services Inc. | 1,466 | 34 | |
* | Autodesk Inc. | 1,071 | 33 |
Molex Inc. | 1,245 | 33 | |
SAIC Inc. | 2,502 | 31 | |
* | Juniper Networks Inc. | 1,646 | 29 |
Linear Technology Corp. | 736 | 24 | |
* | JDS Uniphase Corp. | 2,115 | 24 |
* | LSI Corp. | 2,621 | 20 |
* | Electronic Arts Inc. | 1,510 | 20 |
* | Advanced Micro Devices Inc. | 5,397 | 20 |
* | BMC Software Inc. | 368 | 15 |
Lexmark International Inc. | |||
Class A | 649 | 14 | |
* | Teradyne Inc. | 628 | 10 |
FLIR Systems Inc. | 324 | 6 | |
5,471 | |||
Materials (2.9%) | |||
Dow Chemical Co. | 10,890 | 319 | |
Freeport-McMoRan | |||
Copper & Gold Inc. | 8,647 | 312 | |
International Paper Co. | 3,974 | 137 | |
EI du Pont de | |||
Nemours & Co. | 2,729 | 136 | |
Nucor Corp. | 2,888 | 109 |
Market | |||
Value | |||
Shares | ($000) | ||
Alcoa Inc. | 9,687 | 83 | |
Mosaic Co. | 999 | 58 | |
Air Products & | |||
Chemicals Inc. | 655 | 54 | |
Vulcan Materials Co. | 1,184 | 46 | |
MeadWestvaco Corp. | 1,567 | 45 | |
Eastman Chemical Co. | 723 | 40 | |
Allegheny Technologies Inc. | 981 | 29 | |
Bemis Co. Inc. | 942 | 29 | |
Ball Corp. | 626 | 27 | |
* | Owens-Illinois Inc. | 1,506 | 26 |
United States Steel Corp. | 1,306 | 26 | |
Sealed Air Corp. | 1,773 | 25 | |
Airgas Inc. | 171 | 14 | |
Titanium Metals Corp. | 747 | 9 | |
1,524 | |||
Telecommunication Services (5.7%) | |||
AT&T Inc. | 53,379 | 1,956 | |
Verizon Communications Inc. | 11,893 | 511 | |
CenturyLink Inc. | 5,652 | 239 | |
* | Sprint Nextel Corp. | 27,302 | 132 |
Windstream Corp. | 5,375 | 53 | |
Frontier Communications | |||
Corp. | 9,120 | 42 | |
* | MetroPCS | ||
Communications Inc. | 2,660 | 26 | |
2,959 | |||
Utilities (6.5%) | |||
Duke Energy Corp. | 6,405 | 415 | |
Exelon Corp. | 7,768 | 283 | |
American Electric | |||
Power Co. Inc. | 4,407 | 189 | |
PG&E Corp. | 3,842 | 167 | |
FirstEnergy Corp. | 3,805 | 166 | |
PPL Corp. | 5,278 | 155 | |
Southern Co. | 3,241 | 147 | |
Public Service | |||
Enterprise Group Inc. | 4,613 | 146 | |
Sempra Energy | 2,183 | 145 | |
Edison International | 2,965 | 130 | |
Xcel Energy Inc. | 4,430 | 124 | |
Entergy Corp. | 1,611 | 110 | |
NextEra Energy Inc. | 1,599 | 108 | |
Northeast Utilities | 2,851 | 107 | |
DTE Energy Co. | 1,545 | 90 | |
Dominion Resources Inc. | 1,557 | 82 | |
CenterPoint Energy Inc. | 3,903 | 80 | |
Wisconsin Energy Corp. | 2,094 | 80 | |
Consolidated Edison Inc. | 1,255 | 76 | |
Ameren Corp. | 2,210 | 72 | |
* | AES Corp. | 5,879 | 67 |
NiSource Inc. | 2,595 | 63 | |
CMS Energy Corp. | 2,380 | 55 | |
Pinnacle West Capital Corp. | 1,000 | 51 | |
SCANA Corp. | 1,057 | 50 | |
NRG Energy Inc. | 2,076 | 44 |
13
S&P 500 Value Index Fund
Market | ||
Value | ||
Shares | ($000) | |
AGL Resources Inc. | 1,066 | 42 |
Pepco Holdings Inc. | 2,083 | 40 |
Integrys Energy Group Inc. | 708 | 38 |
TECO Energy Inc. | 1,954 | 34 |
ONEOK Inc. | 759 | 34 |
3,390 | ||
Total Investments (100.0%) | ||
(Cost $47,172) | 52,194 | |
Other Assets and Liabilities (0.0%) | ||
Other Assets | 150 | |
Liabilities | (134) | |
16 | ||
ETF Shares—Net Assets (100%) | ||
Applicable to 850,000 outstanding $.001 | ||
par value shares of beneficial interest | ||
(unlimited authorization) | 52,210 | |
Net Asset Value Per Share—ETF Shares | $61.42 |
At August 31, 2012, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 48,369 |
Undistributed Net Investment Income | 257 |
Accumulated Net Realized Losses | (1,438) |
Unrealized Appreciation (Depreciation) | 5,022 |
Net Assets | 52,210 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
14
S&P 500 Value Index Fund
Statement of Operations
Year Ended | |
August 31, 2012 | |
($000) | |
Investment Income | |
Income | |
Dividends | 968 |
Total Income | 968 |
Expenses | |
The Vanguard Group—Note B | |
Management and Administrative | 22 |
Custodian Fees | 13 |
Auditing Fees | 20 |
Shareholders’ Reports | 1 |
Total Expenses | 56 |
Net Investment Income | 912 |
Realized Net Gain (Loss) on Investment Securities Sold | (109) |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 5,020 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 5,823 |
See accompanying Notes, which are an integral part of the Financial Statements.
15
S&P 500 Value Index Fund
Statement of Changes in Net Assets
September 7, | ||
Year Ended | 20101 to | |
August 31, | August 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 912 | 323 |
Realized Net Gain (Loss) | (109) | (332) |
Change in Unrealized Appreciation (Depreciation) | 5,020 | 2 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 5,823 | (7) |
Distributions | ||
Net Investment Income | (758) | (220) |
Realized Capital Gain | — | — |
Total Distributions | (758) | (220) |
Capital Share Transactions | ||
Issued | 28,417 | 29,606 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (8,067) | (2,584) |
Net Increase (Decrease) from Capital Share Transactions | 20,350 | 27,022 |
Total Increase (Decrease) | 25,415 | 26,795 |
Net Assets | ||
Beginning of Period | 26,795 | — |
End of Period2 | 52,210 | 26,795 |
1 Inception.
2 Net Assets—End of Period includes undistributed net investment income of $257,000 and $103,000.
See accompanying Notes, which are an integral part of the Financial Statements.
16
S&P 500 Value Index Fund
Financial Highlights
ETF Shares
Year | Sept. 7, | |
Ended | 20101 to | |
August 31, | August 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 | 1.329 | 1.051 |
Net Realized and Unrealized Gain (Loss) on Investments | 7.734 | 3.454 |
Total from Investment Operations | 9.063 | 4.505 |
Distributions | ||
Dividends from Net Investment Income | (1.233) | (.845) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (1.233) | (.845) |
Net Asset Value, End of Period | $61.42 | $53.59 |
Total Return | 17.16% | 8.92% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $52 | $27 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15%2 |
Ratio of Net Investment Income to Average Net Assets | 2.43% | 2.25%2 |
Portfolio Turnover Rate3 | 20% | 23% |
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
17
S&P 500 Value Index Fund
Notes to Financial Statements
Vanguard S&P 500 Value Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Institutional Shares and ETF Shares. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. The fund has not issued any Institutional Shares as of August 31, 2012. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. 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 all open federal income tax years (August 31, 2011–2012), 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 August 31, 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.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
At August 31, 2012, 100% of the market value of the fund’s investments was determined based on Level 1 inputs.
18
S&P 500 Value Index Fund
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the year ended August 31, 2012, the fund realized $721,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
For tax purposes, at August 31, 2012, the fund had $257,000 of ordinary income available for distribution. At August 31, 2012, the fund had available capital losses totaling $1,438,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2012, the cost of investment securities for tax purposes was $47,172,000. Net unrealized appreciation of investment securities for tax purposes was $5,022,000, consisting of unrealized gains of $5,906,000 on securities that had risen in value since their purchase and $884,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the year ended August 31, 2012, the fund purchased $35,845,000 of investment securities and sold $15,345,000 of investment securities, other than temporary cash investments. Purchases and sales include $28,409,000 and $6,304,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
F. Capital shares issued and redeemed were:
Year Ended | September 7, 20101 to | |
August 31, 2012 | August 31, 2011 | |
Shares | Shares | |
(000) | (000) | |
ETF Shares | ||
Issued | 500 | 550 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (150) | (50) |
Net Increase (Decrease) in Shares Outstanding | 350 | 500 |
1 Inception. |
G. In preparing the financial statements as of August 31, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
19
S&P 500 Growth Index Fund
Fund Profile
As of August 31, 2012
Portfolio Characteristics | |||
DJ | |||
S&P 500 | U.S. Total | ||
Growth | Market | ||
Fund | Index | Index | |
Number of Stocks | 279 | 279 | 3,678 |
Median Market Cap $68.9B | $68.9B | $34.9B | |
Price/Earnings Ratio | 16.3x | 16.3x | 16.3x |
Price/Book Ratio | 3.6x | 3.6x | 2.1x |
Return on Equity | 25.4% | 25.2% | 18.1% |
Earnings Growth Rate | 17.3% | 17.3% | 10.5% |
Dividend Yield | 1.8% | 1.8% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 22% | — | — |
Ticker Symbol | VOOG | — | — |
Expense Ratio1 | 0.15% | — | — |
30-Day SEC Yield | 1.84% | — | — |
Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
S&P 500 | U.S. Total | ||
Growth | Market | ||
Fund | Index | Index | |
Consumer Discretionary 10.7% | 10.7% | 12.1% | |
Consumer Staples | 14.1 | 14.1 | 9.8 |
Energy | 11.2 | 11.2 | 10.2 |
Financials | 4.6 | 4.6 | 15.9 |
Health Care | 15.5 | 15.5 | 11.7 |
Industrials | 9.6 | 9.6 | 10.6 |
Information Technology 28.3 | 28.3 | 19.5 | |
Materials | 3.7 | 3.7 | 3.8 |
Telecommunication | |||
Services | 1.2 | 1.2 | 2.8 |
Utilities | 1.1 | 1.1 | 3.6 |
Ten Largest Holdings (% of total net assets) | ||
Apple Inc. | Computer | |
Hardware | 8.9% | |
Exxon Mobil Corp. | Integrated Oil & | |
Gas | 3.7 | |
International Business | IT Consulting & | |
Machines Corp. | Other Services | 3.2 |
Johnson & Johnson | Pharmaceuticals | 2.7 |
Google Inc. Class A | Internet Software & | |
Services | 2.5 | |
Coca-Cola Co. | Soft Drinks | 2.4 |
Philip Morris | ||
International Inc. | Tobacco | 2.2 |
Procter & Gamble Co. | Household | |
Products | 2.0 | |
Microsoft Corp. | Systems Software | 1.9 |
Oracle Corp. | Systems Software | 1.8 |
Top Ten | 31.3% |
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 fiscal year ended August 31, 2012, the expense ratio was 0.15%.
20
S&P 500 Growth Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: September 7, 2010, Through August 31, 2012
Initial Investment of $10,000
Average Annual Total Returns | |||
Periods Ended August 31, 2012 | |||
Since | Final Value | ||
One | Inception | of a $10,000 | |
Year | (9/7/2010) | Investment | |
S&P 500 Growth Index Fund ETF | |||
Shares Net Asset Value | 18.38% | 18.54% | $14,007 |
S&P 500 Growth Index Fund ETF | |||
Shares Market Price | 18.30 | 18.52 | 14,004 |
S&P 500 Growth Index | 18.55 | 18.74 | 14,055 |
Large-Cap Growth Funds Average | 14.07 | 14.65 | 13,112 |
Dow Jones U.S. Total Stock Market | |||
Index | 16.74 | 15.72 | 13,355 |
Large-Cap Growth Funds Average: Derived from data provided by Lipper Inc.
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
See Financial Highlights for dividend and capital gains information.
21
S&P 500 Growth Index Fund
Cumulative Returns of ETF Shares: September 7, 2010, Through August 31, 2012
Since | ||
One | Inception | |
Year | (9/7/2010) | |
S&P 500 Growth Index FundETF Shares | ||
Market Price | 18.30% | 40.04% |
S&P 500 Growth Index FundETF Shares Net | ||
Asset Value | 18.38 | 40.07 |
S&P 500 Growth Index | 18.55 | 40.55 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards. |
Fiscal-Year Total Returns (%): September 7, 2010, Through August 31, 2012
S&P 500 Growth Index Fund ETF Shares Net Asset Value |
S&P 500 Growth Index |
Average Annual Total Returns: Periods Ended June 30, 2012
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 | 7.63% | 17.79% | |
Net Asset Value | 7.56 | 17.77 |
22
S&P 500 Growth Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 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 (10.7%) | |||
McDonald’s Corp. | 13,946 | 1,248 | |
* | Amazon.com Inc. | 4,945 | 1,228 |
Home Depot Inc. | 9,666 | 549 | |
Starbucks Corp. | 10,405 | 516 | |
NIKE Inc. Class B | 5,031 | 490 | |
* | DIRECTV | 8,986 | 468 |
TJX Cos. Inc. | 10,165 | 465 | |
* | priceline.com Inc. | 683 | 413 |
Yum! Brands Inc. | 6,320 | 403 | |
Viacom Inc. Class B | 7,245 | 362 | |
Target Corp. | 5,536 | 355 | |
Time Warner Cable Inc. | 2,914 | 259 | |
Coach Inc. | 3,943 | 229 | |
* | Bed Bath & Beyond Inc. | 3,189 | 214 |
Ross Stores Inc. | 3,095 | 214 | |
* | Discovery | ||
Communications Inc. | |||
Class A | 3,499 | 192 | |
VF Corp. | 1,188 | 181 | |
* | Dollar Tree Inc. | 3,186 | 154 |
Ralph Lauren Corp. Class A | 891 | 141 | |
* | O’Reilly Automotive Inc. | 1,629 | 138 |
* | AutoZone Inc. | 366 | 132 |
* | Chipotle Mexican Grill Inc. | ||
Class A | 435 | 126 | |
McGraw-Hill Cos. Inc. | 2,231 | 114 | |
Wynn Resorts Ltd. | 1,089 | 112 | |
Limited Brands Inc. | 2,293 | 111 | |
Kohl’s Corp. | 2,134 | 111 | |
Omnicom Group Inc. | 2,165 | 111 | |
Tiffany & Co. | 1,742 | 108 | |
Family Dollar Stores Inc. | 1,599 | 102 | |
Nordstrom Inc. | 1,646 | 95 | |
Genuine Parts Co. | 1,494 | 94 | |
Starwood Hotels & Resorts | |||
Worldwide Inc. | 1,571 | 87 | |
* | BorgWarner Inc. | 1,215 | 84 |
Scripps Networks | |||
Interactive Inc. Class A | 1,268 | 75 |
Market | |||
Value | |||
Shares | ($000) | ||
Mattel Inc. | 2,101 | 74 | |
Darden Restaurants Inc. | 1,233 | 64 | |
* | Fossil Inc. | 712 | 61 |
Marriott International Inc. | |||
Class A | 1,452 | 55 | |
Harley-Davidson Inc. | 1,299 | 55 | |
* | Netflix Inc. | 760 | 45 |
* | Urban Outfitters Inc. | 1,184 | 44 |
Expedia Inc. | 832 | 43 | |
* | Apollo Group Inc. Class A | 1,375 | 37 |
Hasbro Inc. | 945 | 35 | |
* | TripAdvisor Inc. | 844 | 28 |
* | PulteGroup Inc. | 1,795 | 25 |
* | Big Lots Inc. | 566 | 17 |
DeVry Inc. | 808 | 16 | |
10,280 | |||
Consumer Staples (14.1%) | |||
Coca-Cola Co. | 61,915 | 2,316 | |
Philip Morris | |||
International Inc. | 23,405 | 2,090 | |
Procter & Gamble Co. | 28,201 | 1,895 | |
PepsiCo Inc. | 21,462 | 1,555 | |
Wal-Mart Stores Inc. | 14,920 | 1,083 | |
Colgate-Palmolive Co. | 6,550 | 696 | |
Kraft Foods Inc. | 13,132 | 545 | |
Kimberly-Clark Corp. | 5,380 | 450 | |
Costco Wholesale Corp. | 3,503 | 343 | |
Altria Group Inc. | 9,221 | 313 | |
General Mills Inc. | 5,950 | 234 | |
Mead Johnson Nutrition Co. | 2,797 | 205 | |
HJ Heinz Co. | 3,337 | 186 | |
Estee Lauder Cos. Inc. | |||
Class A | 3,095 | 186 | |
Kellogg Co. | 3,386 | 172 | |
Whole Foods Market Inc. | 1,679 | 162 | |
Lorillard Inc. | 1,218 | 153 | |
Hershey Co. | 2,088 | 150 | |
Brown-Forman Corp. Class B | 2,050 | 131 | |
* | Monster Beverage Corp. | 2,107 | 124 |
Reynolds American Inc. | 2,507 | 116 | |
Clorox Co. | 1,252 | 91 |
23
S&P 500 Growth Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
McCormick & Co. Inc. | 1,309 | 80 | |
JM Smucker Co. | 901 | 77 | |
Dr Pepper Snapple | |||
Group Inc. | 1,506 | 67 | |
Campbell Soup Co. | 1,333 | 47 | |
Hormel Foods Corp. | 843 | 24 | |
13,491 | |||
Energy (11.2%) | |||
Exxon Mobil Corp. | 41,069 | 3,585 | |
Chevron Corp. | 14,622 | 1,640 | |
Schlumberger Ltd. | 18,300 | 1,325 | |
Occidental Petroleum Corp. | 8,014 | 681 | |
EOG Resources Inc. | 3,700 | 401 | |
National Oilwell Varco Inc. | 4,097 | 323 | |
Apache Corp. | 3,756 | 322 | |
Halliburton Co. | 7,342 | 240 | |
Anadarko Petroleum Corp. | 3,358 | 233 | |
* | Cameron International Corp. | 3,381 | 185 |
Pioneer Natural | |||
Resources Co. | 1,691 | 165 | |
Baker Hughes Inc. | 3,610 | 165 | |
* | FMC Technologies Inc. | 3,283 | 154 |
* | Southwestern Energy Co. | 4,781 | 149 |
Noble Energy Inc. | 1,535 | 135 | |
Kinder Morgan Inc. | 3,729 | 133 | |
Cabot Oil & Gas Corp. | 2,884 | 119 | |
Williams Cos. Inc. | 3,695 | 119 | |
Spectra Energy Corp. | 4,038 | 114 | |
Range Resources Corp. | 1,599 | 104 | |
Peabody Energy Corp. | 3,730 | 81 | |
CONSOL Energy Inc. | 2,244 | 68 | |
Helmerich & Payne Inc. | 1,480 | 68 | |
EQT Corp. | 1,229 | 66 | |
Diamond Offshore | |||
Drilling Inc. | 958 | 64 | |
Ensco plc Class A | 1,020 | 58 | |
* | Newfield Exploration Co. | 1,257 | 41 |
* | WPX Energy Inc. | 1,484 | 23 |
10,761 | |||
Financials (4.6%) | |||
American Express Co. | 8,241 | 480 | |
Simon Property Group Inc. | 2,746 | 436 | |
American Tower Corporation | 5,417 | 381 | |
BlackRock Inc. | 1,760 | 310 | |
Aflac Inc. | 6,412 | 296 | |
Ventas Inc. | 3,964 | 260 | |
Franklin Resources Inc. | 1,949 | 229 | |
T. Rowe Price Group Inc. | 3,500 | 215 | |
Public Storage | 1,387 | 202 | |
Travelers Cos. Inc. | 2,777 | 180 | |
Equity Residential | 2,930 | 177 | |
Chubb Corp. | 2,113 | 156 | |
Aon plc | 2,997 | 156 | |
* | IntercontinentalExchange Inc. | 999 | 136 |
AvalonBay Communities Inc. | 904 | 128 | |
Boston Properties Inc. | 1,112 | 125 |
Market | |||
Value | |||
Shares | ($000) | ||
HCP Inc. | 2,528 | 116 | |
Vornado Realty Trust | 1,347 | 109 | |
Health Care REIT Inc. | 1,762 | 103 | |
Prologis Inc. | 2,331 | 80 | |
Moody’s Corp. | 1,435 | 57 | |
Plum Creek Timber Co. Inc. | 1,040 | 43 | |
Apartment Investment & | |||
Management Co. Class A | 814 | 21 | |
4,396 | |||
Health Care (15.5%) | |||
Johnson & Johnson | 37,688 | 2,541 | |
Abbott Laboratories | 21,594 | 1,415 | |
Merck & Co. Inc. | 27,130 | 1,168 | |
Amgen Inc. | 10,675 | 896 | |
UnitedHealth Group Inc. | 14,237 | 773 | |
* | Express Scripts Holding Co. | 11,055 | 692 |
* | Gilead Sciences Inc. | 10,395 | 600 |
* | Biogen Idec Inc. | 3,287 | 482 |
Bristol-Myers Squibb Co. | 14,135 | 467 | |
Baxter International Inc. | 7,554 | 443 | |
Eli Lilly & Co. | 9,808 | 440 | |
* | Celgene Corp. | 6,044 | 435 |
Medtronic Inc. | 9,284 | 378 | |
Allergan Inc. | 4,221 | 364 | |
* | Alexion Pharmaceuticals Inc. | 2,634 | 282 |
* | Intuitive Surgical Inc. | 545 | 268 |
Covidien plc | 4,762 | 267 | |
Stryker Corp. | 4,442 | 237 | |
Becton Dickinson and Co. | 2,781 | 211 | |
Thermo Fisher Scientific Inc. | 3,025 | 173 | |
St. Jude Medical Inc. | 4,309 | 163 | |
* | Edwards Lifesciences Corp. | 1,574 | 161 |
Zimmer Holdings Inc. | 2,421 | 150 | |
* | Cerner Corp. | 2,012 | 147 |
* | Watson Pharmaceuticals Inc. | 1,752 | 143 |
Perrigo Co. | 1,280 | 141 | |
WellPoint Inc. | 2,320 | 139 | |
Quest Diagnostics Inc. | 2,180 | 132 | |
* | Mylan Inc. | 5,578 | 131 |
* | DaVita Inc. | 1,289 | 125 |
Agilent Technologies Inc. | 3,338 | 124 | |
* | Life Technologies Corp. | 2,446 | 117 |
* | Laboratory Corp. of | ||
America Holdings | 1,326 | 117 | |
CR Bard Inc. | 1,155 | 113 | |
Aetna Inc. | 2,569 | 99 | |
* | Waters Corp. | 1,222 | 98 |
Humana Inc. | 1,303 | 91 | |
* | Varian Medical Systems Inc. | 1,534 | 90 |
DENTSPLY International Inc. | 1,162 | 42 | |
Patterson Cos. Inc. | 614 | 21 | |
14,876 | |||
Industrials (9.6%) | |||
United Parcel Service Inc. | |||
Class B | 13,169 | 972 | |
Union Pacific Corp. | 6,536 | 794 |
24
S&P 500 Growth Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
United Technologies Corp. | 9,005 | 719 | |
3M Co. | 7,333 | 679 | |
Caterpillar Inc. | 5,816 | 496 | |
Boeing Co. | 6,371 | 455 | |
Deere & Co. | 5,458 | 410 | |
Honeywell International Inc. | 6,737 | 394 | |
Emerson Electric Co. | 7,150 | 363 | |
Lockheed Martin Corp. | 3,655 | 333 | |
Danaher Corp. | 6,080 | 326 | |
Norfolk Southern Corp. | 3,395 | 246 | |
Illinois Tool Works Inc. | 3,994 | 237 | |
Precision Castparts Corp. | 1,277 | 206 | |
General Dynamics Corp. | 3,068 | 201 | |
Cummins Inc. | 1,978 | 192 | |
WW Grainger Inc. | 839 | 173 | |
CSX Corp. | 6,707 | 151 | |
Raytheon Co. | 2,654 | 150 | |
Rockwell Automation Inc. | 1,959 | 141 | |
Roper Industries Inc. | 1,337 | 137 | |
C.H. Robinson Worldwide Inc. | 2,228 | 126 | |
Fastenal Co. | 2,882 | 124 | |
Parker Hannifin Corp. | 1,350 | 108 | |
* | Stericycle Inc. | 1,165 | 106 |
Dover Corp. | 1,737 | 100 | |
Cooper Industries plc | 1,310 | 96 | |
Pall Corp. | 1,586 | 88 | |
Stanley Black & Decker Inc. | 1,287 | 85 | |
Joy Global Inc. | 1,453 | 77 | |
Expeditors International of | |||
Washington Inc. | 2,068 | 76 | |
Rockwell Collins Inc. | 1,451 | 71 | |
Fluor Corp. | 1,374 | 71 | |
Flowserve Corp. | 535 | 68 | |
Dun & Bradstreet Corp. | 615 | 50 | |
Equifax Inc. | 893 | 41 | |
Iron Mountain Inc. | 1,199 | 39 | |
Snap-on Inc. | 428 | 30 | |
Masco Corp. | 1,515 | 21 | |
Robert Half International Inc. | 678 | 18 | |
9,170 | |||
Information Technology (28.3%) | |||
Apple Inc. | 12,832 | 8,536 | |
International Business | |||
Machines Corp. | 15,829 | 3,084 | |
* | Google Inc. Class A | 3,490 | 2,391 |
Microsoft Corp. | 58,483 | 1,802 | |
Oracle Corp. | 53,252 | 1,685 | |
QUALCOMM Inc. | 23,528 | 1,446 | |
Visa Inc. Class A | 6,835 | 877 | |
Intel Corp. | 35,217 | 874 | |
Mastercard Inc. Class A | 1,457 | 616 | |
* | eBay Inc. | 10,247 | 486 |
* | EMC Corp. | 15,846 | 417 |
Accenture plc Class A | 6,634 | 409 | |
Automatic Data | |||
Processing Inc. | 6,712 | 390 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Salesforce.com Inc. | 1,892 | 275 |
* | Cognizant Technology | ||
Solutions Corp. Class A | 4,175 | 268 | |
Texas Instruments Inc. | 8,946 | 260 | |
Broadcom Corp. Class A | 6,802 | 242 | |
Intuit Inc. | 4,028 | 236 | |
* | Citrix Systems Inc. | 2,555 | 199 |
* | Teradata Corp. | 2,316 | 177 |
* | NetApp Inc. | 4,983 | 172 |
Altera Corp. | 4,430 | 165 | |
* | Red Hat Inc. | 2,650 | 149 |
* | SanDisk Corp. | 3,347 | 138 |
Amphenol Corp. Class A | 2,226 | 136 | |
* | Fiserv Inc. | 1,870 | 133 |
Xilinx Inc. | 3,616 | 123 | |
KLA-Tencor Corp. | 2,293 | 118 | |
* | F5 Networks Inc. | 1,091 | 106 |
Analog Devices Inc. | 2,501 | 99 | |
* | Adobe Systems Inc. | 3,124 | 98 |
* | Lam Research Corp. | 2,760 | 94 |
Microchip Technology Inc. | 2,650 | 92 | |
* | Akamai Technologies Inc. | 2,452 | 92 |
* | Juniper Networks Inc. | 4,785 | 83 |
Paychex Inc. | 2,253 | 75 | |
* | Symantec Corp. | 4,046 | 72 |
Western Union Co. | 3,945 | 69 | |
* | BMC Software Inc. | 1,655 | 69 |
Linear Technology Corp. | 2,059 | 68 | |
* | VeriSign Inc. | 1,038 | 50 |
* | Autodesk Inc. | 1,543 | 48 |
Seagate Technology plc | 1,357 | 43 | |
* | NVIDIA Corp. | 2,714 | 38 |
FLIR Systems Inc. | 1,642 | 33 | |
* | LSI Corp. | 3,898 | 30 |
* | Electronic Arts Inc. | 2,088 | 28 |
* | Teradyne Inc. | 1,621 | 25 |
* | First Solar Inc. | 817 | 16 |
27,132 | |||
Materials (3.7%) | |||
Monsanto Co. | 7,322 | 638 | |
EI du Pont de | |||
Nemours & Co. | 8,741 | 435 | |
Praxair Inc. | 4,098 | 432 | |
Newmont Mining Corp. | 6,805 | 345 | |
Ecolab Inc. | 4,007 | 257 | |
PPG Industries Inc. | 2,089 | 230 | |
CF Industries Holdings Inc. | 901 | 186 | |
Sherwin-Williams Co. | 1,177 | 168 | |
Air Products & Chemicals Inc. | 1,916 | 158 | |
Mosaic Co. | 2,571 | 149 | |
Sigma-Aldrich Corp. | 1,661 | 118 | |
FMC Corp. | 1,878 | 102 | |
Cliffs Natural Resources Inc. | 1,950 | 70 | |
International Flavors & | |||
Fragrances Inc. | 1,113 | 67 | |
Airgas Inc. | 693 | 58 |
25
S&P 500 Growth Index Fund
Market | ||
Value | ||
Shares | ($000) | |
Eastman Chemical Co. | 1,002 | 55 |
Ball Corp. | 1,200 | 51 |
3,519 | ||
Telecommunication Services (1.2%) | ||
Verizon Communications Inc. | 21,057 | 904 |
* Crown Castle | ||
International Corp. | 3,537 | 225 |
1,129 | ||
Utilities (1.1%) | ||
Southern Co. | 7,037 | 319 |
Dominion Resources Inc. | 5,485 | 288 |
NextEra Energy Inc. | 3,319 | 223 |
Consolidated Edison Inc. | 2,132 | 129 |
ONEOK Inc. | 1,706 | 76 |
1,035 | ||
Total Investments (100.0%) | ||
(Cost $85,149) | 95,789 | |
Other Assets and Liabilities (0.0%) | ||
Other Assets | 226 | |
Liabilities | (219) | |
7 | ||
ETF Shares—Net Assets (100%) | ||
Applicable to 1,400,000 outstanding $.001 | ||
par value shares of beneficial interest | ||
(unlimited authorization) | 95,796 | |
Net Asset Value Per Share—ETF Shares | $68.43 |
At August 31, 2012, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 86,877 |
Undistributed Net Investment Income | 341 |
Accumulated Net Realized Losses | (2,062) |
Unrealized Appreciation (Depreciation) | 10,640 |
Net Assets | 95,796 |
•See Note A in Notes to Financial Statements.
*Non-income-producing security.
REIT-Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
26
S&P 500 Growth Index Fund
Statement of Operations
Year Ended | |
August 31, 2012 | |
($000) | |
Investment Income | |
Income | |
Dividends | 1,313 |
Total Income | 1,313 |
Expenses | |
The Vanguard Group—Note B | |
Management and Administrative | 64 |
Custodian Fees | 14 |
Auditing Fees | 20 |
Shareholders’ Reports | 2 |
Total Expenses | 100 |
Net Investment Income | 1,213 |
Realized Net Gain (Loss) on Investment Securities Sold | 1,005 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 8,544 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 10,762 |
See accompanying Notes, which are an integral part of the Financial Statements.
27
S&P 500 Growth Index Fund
Statement of Changes in Net Assets
September 7, | ||
Year Ended | 20101 to | |
August 31, | August 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 1,213 | 550 |
Realized Net Gain (Loss) | 1,005 | (378) |
Change in Unrealized Appreciation (Depreciation) | 8,544 | 2,096 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 10,762 | 2,268 |
Distributions | ||
Net Investment Income | (1,030) | (392) |
Realized Capital Gain | — | — |
Total Distributions | (1,030) | (392) |
Capital Share Transactions | ||
Issued | 50,381 | 59,669 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (20,183) | (5,679) |
Net Increase (Decrease) from Capital Share Transactions | 30,198 | 53,990 |
Total Increase (Decrease) | 39,930 | 55,866 |
Net Assets | ||
Beginning of Period | 55,866 | — |
End of Period2 | 95,796 | 55,866 |
S&P 500 Growth Index Fund
Financial Highlights
ETF Shares
Year | Sept. 7, | |
Ended | 20101 to | |
August 31, | August 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 | 1.135 | .797 |
Net Realized and Unrealized Gain (Loss) on Investments | 9.543 | 8.414 |
Total from Investment Operations | 10.678 | 9.211 |
Distributions | ||
Dividends from Net Investment Income | (1.058) | (.631) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (1.058) | (.631) |
Net Asset Value, End of Period | $68.43 | $58.81 |
Total Return | 18.38% | 18.33% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $96 | $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 | 22% | 26% |
1 Inception.
2 Annualized.
3 Excludes the value of portfolio secutities received or delivered as a result of in-kind purchases or redemptions of the fund's capital shares, including ETF Creation Units.
29
S&P 500 Growth Index Fund
Notes to Financial Statements
Vanguard S&P 500 Growth Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Institutional Shares and ETF Shares. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. The fund has not issued any Institutional Shares as of August 31, 2012. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. 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 all open federal income tax years (August 31, 2011–2012), 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 August 31, 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.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
At August 31, 2012, 100% of the market value of the fund’s investments was determined based on Level 1 inputs.
30
S&P 500 Growth Index Fund
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the year ended August 31, 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.
For tax purposes, at August 31, 2012, the fund had 257,000 of ordinary income available for distribution. At August 31, 2012, the fund had available capital losses totaling $1,438,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2012, the cost of investment securities for tax purposes was $85,150,000. Net unrealized appreciation of investment securities for tax purposes was $10,639,000, consisting of unrealized gains of $11,699,000 on securities that had risen in value since their purchase and $1,060,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the year ended August 31, 2012, the fund purchased $65,658,000 of investment securities and sold $35,267,000 of investment securities, other than temporary cash investments. Purchases and sales include $50,371,000 and $20,106,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
F. Capital shares issued and redeemed were:
Year Ended | September 7, 20101 to | |
August 31, 2012 | August 31, 2011 | |
Shares | Shares | |
(000) | (000) | |
Issued | 800 | 1,050 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (350) | (100) |
Net Increase (Decrease) in Shares Outstanding | 450 | 950 |
1 Inception. |
G. In preparing the financial statements as of August 31, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
31
Report of Independent Registered
Public Accounting Firm
To the Trustees of Vanguard Admiral Funds and the Shareholders of Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund:
In our opinion, the accompanying statements of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard S&P 500 Value Index Fund and Vanguard S&P 500 Growth Index Fund (constituting separate portfolios of Vanguard Admiral Funds, hereafter referred to as the “Funds”) at August 31, 2012, and the results of each of their operations for the year then ended, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at August 31, 2012 by correspondence with the custodian, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 16, 2012
32
Special 2012 tax information (unaudited) for Vanguard S&P 500 Index Funds |
This information for the fiscal year ended August 31, 2012, is included pursuant to provisions of the |
Internal Revenue Code. |
The funds distributed qualified dividend income to shareholders during the period as follows: |
Qualified Dividend Income | |
Fund | ($000) |
S&P 500 Value Index | 758 |
S&P 500 Growth Index | 1,030 |
For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends-received deduction is as follows:
Fund | Percentage |
S&P 500 Value Index | 100% |
S&P 500 Growth Index | 100 |
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Your Fund’s After-Tax Returns
This table presents returns for your fund both before and after taxes. The after-tax returns are shown in two ways: (1) assuming that an investor owned the fund during the entire period and paid taxes on the fund’s distributions, and (2) assuming that an investor paid taxes on the fund’s distributions and sold all shares at the end of each period.
Calculations are based on the highest individual federal income tax and capital gains tax rates in effect at the times of the distributions and the hypothetical sales. State and local taxes were not considered. After-tax returns reflect any qualified dividend income , using actual prior-year figures and estimates for 2012. (In the example, returns after the sale of fund shares may be higher than those assuming no sale. This occurs when the sale would have produced a capital loss. The calculation assumes that the investor received a tax deduction for the loss.)
The table shows returns for ETF Shares only; returns for other share classes will differ. Please note that your actual after-tax returns will depend on your tax situation and may differ from those shown. Also note that if you own the fund in a tax-deferred account, such as an individual retirement account or a 401(k) plan, this information does not apply to you. Such accounts are not subject to current taxes.
Finally, keep in mind that a fund’s performance—whether before or after taxes—does not guarantee future results.
Average Annual Total Returns: S&P 500 Value and Growth Index
Periods Ended August 31, 2012
Since | ||
One | Inception | |
Year | (9/7/2010) | |
S&P 500 Value Index Fund | ||
Returns Before Taxes | 17.16% | 13.09% |
Returns After Taxes on Distributions | 16.77 | 12.78 |
Returns After Taxes on Distributions and Sale of Fund Shares | 11.59 | 11.18 |
Since | ||
One | Inception | |
Year | (9/7/2010) | |
S&P 500 Growth Index Fund | ||
Returns Before Taxes | 18.38% | 18.54% |
Returns After Taxes on Distributions | 18.07 | 18.29 |
Returns After Taxes on Distributions and Sale of Fund Shares | 12.29 | 15.90 |
34
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.
35
Six Months Ended August 31, 2012 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
2/29/2012 | 8/31/2012 | Period | |
Based on Actual Fund Return | |||
S&P 500 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,026.70 | $0.77 |
S&P 500 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,052.68 | $0.78 |
Based on Hypothetical 5% Yearly Return | |||
S&P 500 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,024.45 | $0.77 |
S&P 500 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,024.45 | $0.77 |
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.
36
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard S&P 500 Value Index Fund, and S&P 500 Growth Index Fund has renewed the funds’ investment advisory arrangement with The Vanguard Group, Inc. Vanguard—through its Equity Investment Group—serves as investment advisor to the funds. The board determined that continuing the funds’ internalized management structure was in the best interest of the funds and their shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board considered the quality of the investment management services provided to the funds since their inception in 2010, and took into account the organizational depth and stability of the advisor. The board noted that Vanguard has been managing investments for more than three decades. The Equity Investment Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted approval of the advisory arrangement.
Investment performance
The board considered the funds’ performance since their inception, including any periods of outperformance or underperformance of their target indexes and peer groups. The board concluded that the funds have performed in line with expectations and that their results have been consistent with their investment strategies. Information about each fund’s most recent performance can be found in the Performance Summary pages of this report.
Cost
The board concluded that each fund’s expense ratio was well below the average expense ratios charged by funds in its respective peer group and that the funds’ advisory fee rates were also well below their peer group averages. Information about the funds’ expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements sections.
The board does not conduct a profitability analysis of Vanguard, because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the funds’ low-cost arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangement again after a one-year period.
37
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.
38
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.
39
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.
InterestedTrustee1 | and Delphi Automotive LLP (automotive components); |
Senior Advisor at New Mountain Capital; Trustee of | |
F. William McNabb III | The Conference Board. |
Born 1957. Trustee Since July 2009. Chairman of the | |
Board. Principal Occupation(s) During the Past Five | Amy Gutmann |
Years: Chairman of the Board of The Vanguard Group, | Born 1949. Trustee Since June 2006. Principal |
Inc., and of each of the investment companies served | Occupation(s) During the Past Five Years: President |
by The Vanguard Group, since January 2010; Director | of the University of Pennsylvania; Christopher H. |
of The Vanguard Group since 2008; Chief Executive | Browne Distinguished Professor of Political Science |
Officer and President of The Vanguard Group and of | in the School of Arts and Sciences with secondary |
each of the investment companies served by The | appointments at the Annenberg School for |
Vanguard Group since 2008; Director of Vanguard | Communication and the Graduate School of Education |
Marketing Corporation; Managing Director of The | of the University of Pennsylvania; Member of the |
Vanguard Group (1995–2008). | National Commission on the Humanities and Social |
Sciences; Trustee of Carnegie Corporation of New | |
York and of the National Constitution Center; Chair | |
IndependentTrustees | of the U. S. Presidential Commission for the Study |
of Bioethical Issues. | |
Emerson U. Fullwood | JoAnn Heffernan Heisen |
Born 1948. Trustee Since January 2008. Principal | Born 1950. Trustee Since July 1998. Principal |
Occupation(s) During the Past Five Years: Executive | Occupation(s) During the Past Five Years: Corporate |
Chief Staff and Marketing Officer for North America | Vice President and Chief Global Diversity Officer |
and Corporate Vice President (retired 2008) of Xerox | (retired 2008) and Member of the Executive |
Corporation (document management products and | Committee (1997–2008) of Johnson & Johnson |
services); Executive in Residence and 2010 | (pharmaceuticals/medical devices/consumer |
Distinguished Minett Professor at the Rochester | products); Director of Skytop Lodge Corporation |
Institute of Technology; Director of SPX Corporation | (hotels), the University Medical Center at Princeton, |
(multi-industry manufacturing), the United Way of | the Robert Wood Johnson Foundation, and the Center |
Rochester, Amerigroup Corporation (managed health | for Talent Innovation; Member of the Advisory Board |
care), the University of Rochester Medical Center, | of the Maxwell School of Citizenship and Public Affairs |
Monroe Community College Foundation, and North | at Syracuse University. |
Carolina A&T University. | |
F. Joseph Loughrey | |
Rajiv L. Gupta | Born 1949. Trustee Since October 2009. Principal |
Born 1945. Trustee Since December 2001.2 | Occupation(s) During the Past Five Years: President |
Principal Occupation(s) During the Past Five Years: | and Chief Operating Officer (retired 2009) of Cummins |
Chairman and Chief Executive Officer (retired 2009) | Inc. (industrial machinery); Director of SKF AB |
and President (2006–2008) of Rohm and Haas Co. | (industrial machinery), Hillenbrand, Inc. (specialized |
(chemicals); Director of Tyco International, Ltd. | consumer services), the Lumina Foundation for |
(diversified manufacturing and services), Hewlett- | |
Packard Co. (electronic computer manufacturing), | |
Education, and Oxfam America; Chairman of the | Executive Officers | |
Advisory Council for the College of Arts and Letters | ||
and Member of the Advisory Board to the Kellogg | Glenn Booraem | |
Institute for International Studies at the University | Born 1967. Controller Since July 2010. Principal | |
of Notre Dame. | Occupation(s) During the Past Five Years: Principal | |
of The Vanguard Group, Inc.; Controller of each of | ||
Mark Loughridge | the investment companies served by The Vanguard | |
Born 1953. Trustee Since March 2012. Principal | Group; Assistant Controller of each of the investment | |
Occupation(s) During the Past Five Years: Senior Vice | companies served by The Vanguard Group (2001–2010). | |
President and Chief Financial Officer at IBM (information | ||
technology services); Fiduciary Member of IBM’s | Thomas J. Higgins | |
Retirement Plan Committee. | Born 1957. Chief Financial Officer Since September | |
2008. Principal Occupation(s) During the Past Five | ||
Scott C. Malpass | Years: Principal of The Vanguard Group, Inc.; Chief | |
Born 1962. Trustee Since March 2012. Principal | Financial Officer of each of the investment companies | |
Occupation(s) During the Past Five Years: Chief | served by The Vanguard Group; Treasurer of each of | |
Investment Officer and Vice President at the University | the investment companies served by The Vanguard | |
of Notre Dame; Assistant Professor of Finance at the | Group (1998–2008). | |
Mendoza College of Business at Notre Dame; Member | ||
of the Notre Dame 403(b) Investment Committee; | Kathryn J. Hyatt | |
Director of TIFF Advisory Services, Inc. (investment | Born 1955. Treasurer Since November 2008. Principal | |
advisor); Member of the Investment Advisory | Occupation(s) During the Past Five Years: Principal of | |
Committees of the Financial Industry Regulatory | The Vanguard Group, Inc.; Treasurer of each of the | |
Authority (FINRA) and of Major League Baseball. | investment companies served by The Vanguard | |
Group; Assistant Treasurer of each of the investment | ||
André F. Perold | companies served by The Vanguard Group (1988–2008). | |
Born 1952. Trustee Since December 2004. Principal | ||
Occupation(s) During the Past Five Years: George | Heidi Stam | |
Gund Professor of Finance and Banking at the Harvard | Born 1956. Secretary Since July 2005. Principal | |
Business School (retired 2011); Chief Investment | Occupation(s) During the Past Five Years: Managing | |
Officer and Managing Partner of HighVista Strategies | Director of The Vanguard Group, Inc.; General Counsel | |
LLC (private investment firm); Director of Rand | of The Vanguard Group; Secretary of The Vanguard | |
Merchant Bank; Overseer of the Museum of Fine | Group and of each of the investment companies | |
Arts Boston. | served by The Vanguard Group; Director and Senior | |
Vice President of Vanguard Marketing Corporation. | ||
Alfred M. Rankin, Jr. | ||
Born 1941. Trustee Since January 1993. Principal | ||
Occupation(s) During the Past Five Years: Chairman, | Vanguard Senior ManagementTeam | |
President, and Chief Executive Officer of NACCO | ||
Industries, Inc. (forklift trucks/housewares/lignite); | Mortimer J. Buckley | Michael S. Miller |
Director of Goodrich Corporation (industrial products/ | Kathleen C. Gubanich | James M. Norris |
aircraft systems and services) and the National | Paul A. Heller | Glenn W. Reed |
Association of Manufacturers; Chairman of the Board | Martha G. King | George U. Sauter |
of the Federal Reserve Bank of Cleveland and of | Chris D. McIsaac | |
University Hospitals of Cleveland; Advisory Chairman | ||
of the Board of The Cleveland Museum of Art. | ||
Chairman Emeritus and Senior Advisor | ||
Peter F. Volanakis | John J. Brennan | |
Born 1955. Trustee Since July 2009. Principal | Chairman, 1996–2009 | |
Occupation(s) During the Past Five Years: President | Chief Executive Officer and President, 1996–2008 | |
and Chief Operating Officer (retired 2010) of Corning | ||
Incorporated (communications equipment); Director | ||
of SPX Corporation (multi-industry manufacturing); | Founder | |
Overseer of the Amos Tuck School of Business | John C. Bogle | |
Administration at Dartmouth College; Advisor to the | Chairman and Chief Executive Officer, 1974–1996 | |
Norris Cotton Cancer Center. | ||
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 |
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Q18400 102012 |
Annual Report | August 31, 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 12 months ended August 31, 2012, returns for the three Vanguard S&P Small-Cap 600 Index Funds ranged from about 16% to more than 17%.
> The funds closely tracked the returns of their benchmark indexes and significantly outpaced the average returns of their peer groups, which include actively managed funds.
> Consumer discretionary and financial stocks produced strong double-digit returns in all three funds, but returns for energy and telecommunication holdings were low or negative.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
S&P Small-Cap 600 Index Fund. | 9 |
S&P Small-Cap 600 Value Index Fund. | 27 |
S&P Small-Cap 600 Growth Index Fund. | 41 |
Your Fund’s After-Tax Returns. | 56 |
About Your Fund’s Expenses. | 57 |
Trustees Approve Advisory Arrangement. | 59 |
Glossary. | 60 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice.
Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: Our cover photograph shows rigging on the HMSSurprise, a replica of an 18th-century Royal Navy frigate. It was featured in a movie based on Patrick O’Brian’s sea novels, set amid the Napoleonic wars. Vanguard was named for another ship of that era, the HMS Vanguard, which was the flagship of British Admiral Horatio Nelson at the Battle of the Nile.
Your Fund’s Total Returns
Fiscal Year Ended August 31, 2012
Total | |
Returns | |
S&P Small-Cap 600 Index Fund | |
Institutional Shares | 16.75% |
ETF Shares | |
Market Price | 16.82 |
Net Asset Value | 16.66 |
S&P SmallCap 600 Index | 16.90 |
Small-Cap Core Funds Average | 11.15 |
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 | 17.04% |
Net Asset Value | 17.33 |
S&P SmallCap 600 Value Index | 17.53 |
Small-Cap Value Funds Average | 12.13 |
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 | 16.19% |
Net Asset Value | 16.17 |
S&P SmallCap 600 Growth Index | 16.37 |
Small-Cap Growth Funds Average | 11.62 |
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,
While concerns about the debt crisis in the Eurozone and the pace of economic growth in the United States rattled the financial markets at times, U.S. stocks rose significantly for the 12 months ended August 31, 2012.
The gains were broad-based, with limited differences attributable to market capitalization or growth versus value stocks. All three Vanguard S&P 600 Small-Cap Index Funds posted double-digit returns within a range of about one percentage point. Each was less than two percentage points behind the returns of the large-cap S&P 500 Index.
The ETF Shares of Vanguard S&P Small-Cap 600 Value Index Fund returned 17.33%; their counterparts in Vanguard S&P Small-Cap 600 Growth Index Fund returned 16.17%. Returns for Vanguard S&P Small-Cap 600 Index Fund, a blend of growth and value stocks, fell in between—the ETF Shares returned 16.66% and the Institutional Shares 16.75%. (All ETF returns are based on net asset value.)
Results for all three funds were in line with those of their benchmark indexes and well ahead of the average returns of their peer groups.
If you hold your shares in a taxable account, you may wish to review the information on your fund’s after-tax returns that appears later in this report.
2
U.S. stocks shook off concerns to produce double-digit returns
U.S. stocks generated robust gains for the period, returning nearly 17%. They seemed to get a lift as the U.S. economy continued to grow, albeit at a modest rate, and avoided the “double-dip” recession that some investors had feared.
Though European stocks posted strong returns in local-currency terms, this performance was much more modest when converted into U.S. dollars—a result of the dollar’s strengthening against the euro during the 12 months. Signs of slowing economic growth restrained returns for emerging markets and the developed markets of the Pacific region.
Questions about the finances of European governments and banks continued to preoccupy investors. Although the situation in Europe is very fluid, Vanguard economists believe the most likely scenario is that the Eurozone will “muddle through” for several years, with occasional spikes in market volatility, as fiscal tightening continues in the face of weak economic growth.
Bonds continued their march, as yields dropped to record lows
Bonds produced solid returns; the broad U.S. taxable market advanced nearly 6% for the 12 months. Long-term U.S. Treasuries were particularly strong as they benefited from the Federal Reserve’s bond-buying program.
Market Barometer | |||
Average Annual Total Returns | |||
Periods Ended August 31, 2012 | |||
One | Three | Five | |
Year | Years | Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 17.33% | 13.82% | 1.47% |
Russell 2000 Index (Small-caps) | 13.40 | 13.89 | 1.90 |
Dow Jones U.S. Total Stock Market Index | 16.74 | 13.87 | 1.73 |
MSCI All Country World Index ex USA (International) | -1.92 | 3.64 | -3.59 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | 5.78% | 6.51% | 6.66% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 8.78 | 7.02 | 6.24 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.05 | 0.08 | 0.71 |
CPI | |||
Consumer Price Index | 1.69% | 2.20% | 2.07% |
3
As bond prices rose, the yield of the 10-year U.S. Treasury note fell to a record low in July, closing below 1.5%. (Bond yields and prices move in opposite directions.) Bondholders have enjoyed years of strong returns. But as Tim Buckley, our incoming chief investment officer, has noted, investors shouldn’t be surprised if future results are more modest. As yields tumble, the scope for further declines—and price increases—diminishes.
As it has since December 2008, the Federal Reserve Board held its target for the shortest-term interest rates between 0% and 0.25%, keeping a tight lid on the returns from money market funds and savings accounts.
Stocks rose and fell on concerns about growth and debt
After sliding in September on fears of a Greek default, small-cap stocks moved higher along with their larger-cap counterparts as better U.S. economic reports trickled in regarding employment, manufacturing and consumer spending. In the second half of the period, however, further gains were restrained by fresh concerns about the Eurozone and the pace of growth in the United States.
Pockets of strong performance came from consumer discretionary stocks. Homebuilders did very well as sales of new single-family homes began to rise, inventories declined, and mortgage rates fell to record lows. Home improvement,
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 fiscal year ended August 31, 2012, the funds’ 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
clothing, and sporting goods companies also posted solid gains, while advertising and educational services firms lagged, generating negative returns.
The Small-Cap 600 Index and Small-Cap 600 Value Index Funds in particular benefited from strength in the financial sector. Regional bank stocks surged, helped by the consolidation that has taken place since the financial crisis and a recent uptick in loan demand, especially for commercial and industrial loans. Other bright spots in this sector included real estate investment trusts and insurance companies.
The S&P Small-Cap 600 Growth Index Fund, emphasizing companies whose earnings are expected to expand faster than the overall market, had a large exposure to information technology stocks during the period—about one-quarter of its assets. While not all tech stocks performed well, more than a dozen in various segments returned more than of 50%, lifting the fund’s sector return to about 20%.
It’s probably worth noting that the distinction between growth and value stocks isn’t hard and fast. Indeed, some stocks are held by both the S&P
A note on expense ratios |
The Expense Ratios table in each report’s Chairman’s Letter displays fund expense |
ratios from the 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
Small-Cap 600 Value Index Fund and its growth counterpart. The methodology used to create the indexes that the funds seek to track can create some overlap, though the same stock will be weighted differently. (See “Why are some stocks in both the growth and value indexes?” for more detail.)
Energy and telecommunications lagged in all three funds, although their impact on performance was limited because of their light weighting. Dimmer prospects for coal and stiff competition in oil and gas transportation reduced returns from energy stocks, and competition in wireless services weighed on telecom holdings.
The funds have closely tracked their benchmark indexes
For the nearly two years since their inception on September 7, 2010, the ETF Shares of the S&P Small-Cap 600 Index, Growth Index, and Value Index Funds have posted average annual returns of 17.91%, 19.93%, and 16.08%, respectively. While a couple of years is nowhere near enough time to adequately evaluate an investment, the funds have met their primary objective of closely tracking their benchmark indexes. So, too, have the Institutional Shares of the S&P Small-Cap 600 Index Fund, launched on April 1, 2011, which has posted an average annual return of 2.62%.
Why are some stocks in both the growth and value indexes? |
If you look closely at many value and growth indexes—and the funds that seek to |
track them���you’ll notice that they have some of the same holdings. Microsoft, for |
example, was among the ten largest holdings in both the S&P 500 Growth Index |
and the S&P 500 Value Index as of August 31, 2012. |
The overlap is a result of the methodology used to create and update the indexes. |
Here’s how it works: The index provider ranks all the stocks in a broader “parent” |
index according to growth and value metrics. Some of the stocks will be classified as |
purely growth or purely value. But a portion will fall in between, with characteristics |
of each. |
This type of stock will then be divided between the indexes. If it’s closer to the |
growth end of the spectrum, more of its market capitalization will be assigned to |
the growth index—and vice versa for value-oriented stocks. |
This method can reduce the number of stocks that drift entirely out of one index |
and into another. And that, in turn, can lead to lower transaction costs and greater |
tax efficiency for funds that follow the indexes. |
6
This success is a credit to Vanguard Equity Investment Group, which combines experienced portfolio management with sophisticated risk-control and trading systems. The funds’ low expense ratios also help keep returns close to those of their cost-free benchmark indexes.
The rise of index funds, and the merits of active management
Today, index funds enjoy a degree of acceptance that was unimaginable some 35 years ago, when we introduced the first index mutual fund for individual investors. In the past five years, according to research company Strategic Insight, stock fund investors have directed just about all of their net new investments into index funds, both the conventional variety and ETFs. Though less widely held, bond index funds are also gathering momentum.
The benefits of index funds are crystal clear: low costs, diversification across a market or market segment, and limited deviation from the returns of market benchmarks. But what about actively managed funds? Although Vanguard is a prominent indexing leader, we also offer actively managed funds that give investors the chance to outperform market indexes. Make no mistake: Outperformance is hard to come by. Nevertheless, we believe we can enhance investors’ chances of success by searching the globe for best-in-class investment managers and offering their services to our clients at a low cost.
Whether your portfolio includes index funds, active funds, or a combination, we believe that adhering to a few basic tenets can help put you in position to meet your long-term financial goals. So consider maintaining a balanced portfolio diversified with stocks, bonds, and cash; save more than you think you’ll need; keep an eye on costs; and last but never least, have a plan and stick with it.
Thank you for entrusting your assets to Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
September 19, 2012
7
Your Fund’s Performance at a Glance
August 31, 2011, Through August 31, 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 | $136.79 | $1.014 | $0.000 |
ETF Shares | 58.84 | 68.12 | 0.477 | 0.000 |
Vanguard S&P Small-Cap 600 Value Index Fund | ||||
ETF Shares | $56.68 | $65.79 | $0.651 | $0.000 |
Vanguard S&P Small-Cap 600 Growth Index | ||||
Fund | ||||
ETF Shares | $61.18 | $70.70 | $0.337 | $0.000 |
S&P Small-Cap 600 Index Fund
Fund Profile
As of August 31, 2012
Share-Class Characteristics | ||
Institutional | ETF | |
Shares | Shares | |
Ticker Symbol | VSMSX | VIOO |
Expense Ratio1 | 0.09% | 0.16% |
30-Day SEC Yield | 1.20% | 1.13% |
Portfolio Characteristics | |||
DJ | |||
S&P | U.S. Total | ||
SmallCap | Market | ||
Fund | 600 Index | Index | |
Number of Stocks | 601 | 600 | 3,678 |
Median Market Cap | $1.2B | $1.2B | $34.9B |
Price/Earnings Ratio | 20.9x | 20.9x | 16.3x |
Price/Book Ratio | 1.8x | 1.8x | 2.1x |
Return on Equity | 10.2% | 10.2% | 18.1% |
Earnings Growth Rate | 6.1% | 6.1% | 10.5% |
Dividend Yield | 1.3% | 1.3% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 12% | — | — |
Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
S&P | U.S. Total | ||
SmallCap | Market | ||
Fund 600 Index | Index | ||
Consumer Discretionary 15.8% | 15.8% | 12.1% | |
Consumer Staples | 4.6 | 4.6 | 9.8 |
Energy | 3.9 | 3.9 | 10.2 |
Financials | 20.2 | 20.2 | 15.9 |
Health Care | 11.3 | 11.3 | 11.7 |
Industrials | 15.3 | 15.3 | 10.6 |
Information Technology 18.6 | 18.6 | 19.5 | |
Materials | 5.7 | 5.7 | 3.8 |
Telecommunication | |||
Services | 0.5 | 0.5 | 2.8 |
Utilities | 4.1 | 4.1 | 3.6 |
Ten Largest Holdings (% of total net assets) | ||
Extra Space Storage Inc. | Specialized REITs | 0.7% |
Kilroy Realty Corp. | Office REITs | 0.7 |
Tanger Factory Outlet | ||
Centers | Retail REITs | 0.6 |
Hain Celestial Group Inc. | Packaged Foods & | |
Meats | 0.6 | |
Cubist Pharmaceuticals | ||
Inc. | Biotechnology | 0.6 |
United Natural Foods | ||
Inc. | Food Distributors | 0.6 |
Mid-America Apartment | ||
Communities Inc. | Residential REITs | 0.6 |
Post Properties Inc. | Residential REITs | 0.5 |
ProAssurance Corp. | Property & Casualty | |
Insurance | 0.5 | |
Cirrus Logic Inc. | Semiconductors | 0.5 |
Top Ten | 5.9% |
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 fiscal year ended August 31, 2012, the expense ratios were 0.08% for Institutional Shares and 0.15% for ETF Shares.
9
S&P Small-Cap 600 Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: September 7, 2010, Through August 31, 2012
Initial Investment of $10,000
Average Annual Total Returns | |||
Periods Ended August 31, 2012 | |||
Since | Final Value | ||
One | Inception | of a $10,000 | |
Year | (9/7/2010) | Investment | |
S&P Small-Cap 600 Index FundETF | |||
Shares Net Asset Value | 16.66% | 17.91% | $13,861 |
S&P Small-Cap 600 Index FundETF | |||
Shares Market Price | 16.82 | 17.94 | 13,869 |
S&P SmallCap 600 Index | 16.90 | 18.15 | 13,917 |
Small-Cap Core Funds Average | 11.15 | 13.73 | 12,904 |
Dow Jones U.S. Total Stock Market | |||
Index | 16.74 | 15.72 | 13,355 |
Small-Cap Core Funds Average: Derived from data provided by Lipper Inc.
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
Since | Final Value | ||
One | Inception | of a $5,000,000 | |
Year | (4/1/2011) | Investment | |
S&P Small-Cap 600 Index Fund Institutional | |||
Shares | 16.75% | 2.62% | $5,186,880 |
S&P SmallCap 600 Index | 16.90 | 2.78 | 5,198,386 |
Dow Jones U.S. Total Stock Market Index | 16.74 | 4.65 | 5,332,673 |
"Since Inception" performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.
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.
10
S&P Small-Cap 600 Index Fund
Cumulative Returns of ETF Shares: September 7, 2010, Through August 31, 2012
Since | ||
One | Inception | |
Year | (9/7/2010) | |
S&P Small-Cap 600 Index FundETF Shares | ||
Market Price | 16.82% | 38.69% |
S&P Small-Cap 600 Index FundETF Shares | ||
Net Asset Value | 16.66 | 38.61 |
S&P SmallCap 600 Index | 16.90 | 39.17 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards. |
Fiscal-Year Total Returns (%): September 7, 2010, Through August 31, 2012
S&P Small-Cap 600 Index Fund ETF Shares Net Asset Value |
S&P SmallCap 600 Index |
Average Annual Total Returns: Periods Ended June 30, 2012
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 | 1.25% | 0.59% |
ETF Shares | 9/7/2010 | ||
Market Price | 1.19 | 17.83 | |
Net Asset Value | 1.20 | 17.84 |
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.
11
S&P Small-Cap 600 Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 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 (15.8%) | |||
Wolverine World Wide Inc. | 13,104 | 616 | |
Brunswick Corp. | 24,029 | 569 | |
* | Cabela’s Inc. | 11,738 | 564 |
Pool Corp. | 12,763 | 503 | |
* | Genesco Inc. | 6,555 | 463 |
* | Steven Madden Ltd. | 10,590 | 455 |
* | Select Comfort Corp. | 15,209 | 435 |
Men’s Wearhouse Inc. | 13,644 | 431 | |
* | Coinstar Inc. | 8,394 | 429 |
* | Vitamin Shoppe Inc. | 7,904 | 424 |
* | Crocs Inc. | 24,095 | 421 |
* | Hibbett Sports Inc. | 7,048 | 409 |
Cracker Barrel Old Country | |||
Store Inc. | 6,231 | 392 | |
* | Fifth & Pacific Cos. Inc. | 29,528 | 391 |
* | Buffalo Wild Wings Inc. | 4,974 | 382 |
* | Children’s Place Retail | ||
Stores Inc. | 6,591 | 375 | |
* | Jos A Bank Clothiers Inc. | 7,561 | 364 |
* | Iconix Brand Group Inc. | 19,250 | 360 |
* | Lumber Liquidators | ||
Holdings Inc. | 7,387 | 345 | |
* | Live Nation | ||
Entertainment Inc. | 40,301 | 343 | |
Group 1 Automotive Inc. | 6,226 | 342 | |
Buckle Inc. | 7,419 | 338 | |
Ryland Group Inc. | 12,115 | 325 | |
Finish Line Inc. Class A | 14,113 | 324 | |
* | Jack in the Box Inc. | 12,009 | 313 |
Hillenbrand Inc. | 16,999 | 308 | |
* | Meritage Homes Corp. | 8,187 | 305 |
Monro Muffler Brake Inc. | 8,392 | 284 | |
Texas Roadhouse Inc. | |||
Class A | 16,340 | 281 | |
* | BJ’s Restaurants Inc. | 6,610 | 271 |
* | Helen of Troy Ltd. | 8,610 | 271 |
* | Peet’s Coffee & Tea Inc. | 3,599 | 265 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Papa John’s International Inc. | 4,917 | 253 |
Arbitron Inc. | 7,185 | 253 | |
* | Marriott Vacations | ||
Worldwide Corp. | 7,447 | 239 | |
Cato Corp. Class A | 7,921 | 233 | |
* | Shuffle Master Inc. | 15,155 | 230 |
* | DineEquity Inc. | 4,277 | 227 |
^ | Sturm Ruger & Co. Inc. | 5,201 | 225 |
* | Skechers U.S.A. Inc. | ||
Class A | 10,048 | 218 | |
Oxford Industries Inc. | 3,797 | 207 | |
Interval Leisure Group Inc. | 10,900 | 201 | |
* | Standard Pacific Corp. | 29,383 | 197 |
* | La-Z-Boy Inc. | 14,080 | 194 |
* | Pinnacle Entertainment Inc. | 16,983 | 188 |
* | iRobot Corp. | 7,459 | 188 |
Sonic Automotive Inc. | |||
Class A | 10,203 | 182 | |
Stage Stores Inc. | 8,397 | 180 | |
Brown Shoe Co. Inc. | 11,640 | 175 | |
* | Zumiez Inc. | 5,957 | 174 |
Lithia Motors Inc. Class A | 5,865 | 171 | |
* | American Public Education | ||
Inc. | 4,937 | 166 | |
Movado Group Inc. | 4,655 | 164 | |
True Religion Apparel Inc. | 7,005 | 162 | |
Ethan Allen Interiors Inc. | 6,898 | 152 | |
* | Sonic Corp. | 16,132 | 151 |
* | Drew Industries Inc. | 5,203 | 151 |
* | Arctic Cat Inc. | 3,441 | 149 |
CEC Entertainment Inc. | 4,969 | 148 | |
* | Maidenform Brands Inc. | 6,392 | 142 |
American Greetings Corp. | |||
Class A | 9,627 | 139 | |
* | Biglari Holdings Inc. | 390 | 137 |
OfficeMax Inc. | 23,544 | 137 | |
Fred’s Inc. Class A | 9,815 | 131 | |
Pep Boys-Manny Moe | |||
& Jack | 14,387 | 129 | |
* | Blue Nile Inc. | 3,354 | 126 |
12
S&P Small-Cap 600 Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Blyth Inc. | 2,947 | 125 | |
* | rue21 inc | 4,291 | 121 |
* | Ruby Tuesday Inc. | 17,325 | 117 |
* | Multimedia Games | ||
Holding Co. Inc. | 7,437 | 117 | |
* | Capella Education Co. | 3,669 | 114 |
Superior Industries | |||
International Inc. | 6,461 | 110 | |
Hot Topic Inc. | 11,351 | 107 | |
* | Quiksilver Inc. | 33,701 | 105 |
Callaway Golf Co. | 17,678 | 102 | |
JAKKS Pacific Inc. | 5,984 | 100 | |
* | M/I Homes Inc. | 5,110 | 99 |
Standard Motor Products Inc. | 5,379 | 95 | |
* | Red Robin Gourmet | ||
Burgers Inc. | 3,032 | 94 | |
* | Boyd Gaming Corp. | 14,816 | 89 |
* | Winnebago Industries Inc. | 7,675 | 88 |
* | EW Scripps Co. Class A | 8,360 | 87 |
* | Digital Generation Inc. | 7,426 | 83 |
Harte-Hanks Inc. | 11,477 | 80 | |
Nutrisystem Inc. | 7,592 | 78 | |
Universal Technical | |||
Institute Inc. | 5,742 | 69 | |
* | Perry Ellis International Inc. | 3,331 | 69 |
Marcus Corp. | 5,226 | 67 | |
* | Stein Mart Inc. | 7,391 | 67 |
Haverty Furniture Cos. Inc. | 5,078 | 66 | |
* | Universal Electronics Inc. | 3,922 | 60 |
* | Tuesday Morning Corp. | 10,661 | 60 |
* | Ruth’s Hospitality Group Inc. | 9,372 | 57 |
PetMed Express Inc. | 5,302 | 54 | |
Big 5 Sporting Goods Corp. | 6,141 | 52 | |
* | Career Education Corp. | 14,549 | 46 |
* | Corinthian Colleges Inc. | 21,995 | 44 |
* | MarineMax Inc. | 6,151 | 44 |
Spartan Motors Inc. | 8,863 | 44 | |
* | Zale Corp. | 7,339 | 41 |
* | Kirkland’s Inc. | 4,057 | 39 |
* | VOXX International Corp. | ||
Class A | 4,938 | 37 | |
Lincoln Educational | |||
Services Corp. | 6,371 | 27 | |
Christopher & Banks Corp. | 9,145 | 22 | |
* | Monarch Casino | ||
& Resort Inc. | 2,786 | 21 | |
* | K-Swiss Inc. Class A | 6,993 | 20 |
* | Coldwater Creek Inc. | 21,981 | 13 |
21,347 | |||
Consumer Staples (4.6%) | |||
* | Hain Celestial Group Inc. | 12,058 | 832 |
* | United Natural Foods Inc. | 13,172 | 757 |
Casey’s General Stores Inc. | 10,258 | 580 | |
* | Darling International Inc. | 31,639 | 526 |
* | TreeHouse Foods Inc. | 9,674 | 503 |
Market | |||
Value | |||
Shares | ($000) | ||
B&G Foods Inc. Class A | 13,137 | 385 | |
Snyders-Lance Inc. | 12,762 | 299 | |
* | Boston Beer Co. Inc. Class A | 2,311 | 238 |
Sanderson Farms Inc. | 5,303 | 233 | |
J&J Snack Foods Corp. | 3,945 | 225 | |
* | Prestige Brands Holdings Inc. | 13,658 | 219 |
WD-40 Co. | 4,326 | 211 | |
Andersons Inc. | 5,000 | 201 | |
Cal-Maine Foods Inc. | 3,892 | 156 | |
* | Central Garden and Pet Co. | ||
Class A | 11,379 | 134 | |
Diamond Foods Inc. | 5,871 | 115 | |
* | Medifast Inc. | 3,647 | 102 |
Spartan Stores Inc. | 5,943 | 91 | |
Calavo Growers Inc. | 3,348 | 89 | |
Inter Parfums Inc. | 4,496 | 75 | |
* | Seneca Foods Corp. Class A | 2,482 | 71 |
* | Alliance One | ||
International Inc. | 23,764 | 69 | |
Nash Finch Co. | 3,213 | 63 | |
6,174 | |||
Energy (3.9%) | |||
* | SEACOR Holdings Inc. | 5,678 | 488 |
Lufkin Industries Inc. | 9,016 | 473 | |
Bristow Group Inc. | 9,604 | 450 | |
* | Hornbeck Offshore | ||
Services Inc. | 9,471 | 368 | |
* | Exterran Holdings Inc. | 17,607 | 324 |
* | Gulfport Energy Corp. | 12,242 | 322 |
* | Stone Energy Corp. | 13,436 | 316 |
* | Cloud Peak Energy Inc. | 16,577 | 292 |
* | PDC Energy Inc. | 8,193 | 228 |
* | Swift Energy Co. | 11,631 | 227 |
* | ION Geophysical Corp. | 34,654 | 226 |
* | Comstock Resources Inc. | 13,068 | 216 |
* | Approach Resources Inc. | 7,464 | 215 |
* | Contango Oil & Gas Co. | 3,462 | 192 |
* | OYO Geospace Corp. | 1,731 | 159 |
* | TETRA Technologies Inc. | 21,124 | 135 |
* | Pioneer Energy Services | ||
Corp. | 16,806 | 129 | |
Gulf Island Fabrication Inc. | 3,926 | 102 | |
* | Petroquest Energy Inc. | 15,213 | 97 |
* | Basic Energy Services Inc. | 8,111 | 90 |
* | Matrix Service Co. | 6,745 | 79 |
Penn Virginia Corp. | 12,674 | 77 | |
Overseas Shipholding | |||
Group Inc. | 7,477 | 45 | |
5,250 | |||
Financials (20.2%) | |||
Extra Space Storage Inc. | 28,054 | 957 | |
Kilroy Realty Corp. | 19,775 | 934 | |
Tanger Factory Outlet | |||
Centers | 25,002 | 839 |
13
S&P Small-Cap 600 Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Mid-America Apartment | |||
Communities Inc. | 11,045 | 751 | |
Post Properties Inc. | 14,488 | 740 | |
ProAssurance Corp. | 8,269 | 738 | |
LaSalle Hotel Properties | 23,067 | 629 | |
Entertainment Properties | |||
Trust | 12,606 | 575 | |
Susquehanna Bancshares | |||
Inc. | 50,550 | 531 | |
Colonial Properties Trust | 23,658 | 519 | |
Healthcare Realty Trust Inc. | 20,970 | 509 | |
* | Texas Capital Bancshares | ||
Inc. | 10,723 | 493 | |
DiamondRock Hospitality | |||
Co. | 50,507 | 486 | |
* | Stifel Financial Corp. | 14,381 | 470 |
Sovran Self Storage Inc. | 7,788 | 443 | |
UMB Financial Corp. | 8,703 | 427 | |
Prospect Capital Corp. | 36,768 | 420 | |
FNB Corp. | 37,441 | 410 | |
EastGroup Properties Inc. | 7,583 | 406 | |
Medical Properties Trust Inc. | 36,820 | 380 | |
Umpqua Holdings Corp. | 29,988 | 379 | |
Wintrust Financial Corp. | 9,864 | 369 | |
* | First Cash Financial | ||
Services Inc. | 7,770 | 347 | |
PS Business Parks Inc. | 5,068 | 345 | |
Lexington Realty Trust | 36,788 | 345 | |
Old National Bancorp | 25,712 | 339 | |
Northwest Bancshares Inc. | 26,507 | 320 | |
Acadia Realty Trust | 12,451 | 310 | |
Cash America International | |||
Inc. | 7,978 | 310 | |
Glacier Bancorp Inc. | 19,535 | 301 | |
Community Bank System | |||
Inc. | 10,714 | 300 | |
United Bankshares Inc. | 12,288 | 299 | |
National Penn Bancshares | |||
Inc. | 33,517 | 298 | |
First Financial Bankshares | |||
Inc. | 8,550 | 297 | |
RLI Corp. | 4,551 | 288 | |
CVB Financial Corp. | 23,892 | 286 | |
LTC Properties Inc. | 8,260 | 279 | |
* | Ezcorp Inc. Class A | 12,044 | 273 |
Selective Insurance | |||
Group Inc. | 14,885 | 267 | |
PrivateBancorp Inc. | |||
Class A | 16,321 | 266 | |
* | BBCN Bancorp Inc. | 21,183 | 265 |
First Financial Bancorp | 15,891 | 259 | |
* | World Acceptance Corp. | 3,531 | 258 |
Bank of the Ozarks Inc. | 7,790 | 250 | |
First Midwest Bancorp Inc. | 20,343 | 240 | |
Pennsylvania REIT | 15,196 | 239 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Financial Engines Inc. | 10,820 | 230 |
Cousins Properties Inc. | 28,282 | 226 | |
Provident Financial Services | |||
Inc. | 14,547 | 225 | |
Franklin Street Properties | |||
Corp. | 19,597 | 218 | |
PacWest Bancorp | 9,117 | 212 | |
Boston Private Financial | |||
Holdings Inc. | 21,228 | 201 | |
Tower Group Inc. | 10,711 | 200 | |
First Commonwealth | |||
Financial Corp. | 27,959 | 195 | |
Columbia Banking System | |||
Inc. | 10,776 | 192 | |
Sabra Health Care REIT Inc. | 10,013 | 192 | |
Home BancShares Inc. | 6,030 | 190 | |
NBT Bancorp Inc. | 9,027 | 190 | |
Horace Mann Educators | |||
Corp. | 10,772 | 189 | |
Safety Insurance Group Inc. | 4,160 | 188 | |
* | Virtus Investment Partners | ||
Inc. | 2,116 | 181 | |
Oritani Financial Corp. | 12,345 | 181 | |
* | Pinnacle Financial Partners | ||
Inc. | 9,436 | 181 | |
Infinity Property & Casualty | |||
Corp. | 3,209 | 180 | |
Inland Real Estate Corp. | 21,167 | 174 | |
Independent Bank Corp. | 5,872 | 171 | |
ViewPoint Financial Group | |||
Inc. | 8,858 | 163 | |
* | National Financial Partners | ||
Corp. | 11,028 | 163 | |
Brookline Bancorp Inc. | 18,707 | 159 | |
Employers Holdings Inc. | 8,405 | 153 | |
Universal Health Realty | |||
Income Trust | 3,441 | 149 | |
Interactive Brokers Group | |||
Inc. | 10,522 | 145 | |
* | Navigators Group Inc. | 2,950 | 143 |
TrustCo Bank Corp. NY | 25,441 | 142 | |
Saul Centers Inc. | 3,231 | 139 | |
* | Forestar Group Inc. | 9,527 | 137 |
S&T Bancorp Inc. | 7,853 | 136 | |
City Holding Co. | 3,992 | 136 | |
Getty Realty Corp. | 7,218 | 129 | |
United Fire Group Inc. | 5,665 | 125 | |
Urstadt Biddle Properties | |||
Inc. Class A | 6,316 | 123 | |
* | AMERISAFE Inc. | 4,865 | 122 |
Tompkins Financial Corp. | 2,872 | 112 | |
* | Hanmi Financial Corp. | 8,644 | 108 |
Dime Community | |||
Bancshares Inc. | 7,675 | 107 |
14
S&P Small-Cap 600 Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Simmons First National Corp. | |||
Class A | 4,592 | 107 | |
Stewart Information Services | |||
Corp. | 5,255 | 104 | |
* | Wilshire Bancorp Inc. | 16,373 | 103 |
* | Piper Jaffray Cos. | 4,109 | 101 |
Meadowbrook Insurance | |||
Group Inc. | 13,224 | 100 | |
Kite Realty Group Trust | 17,379 | 89 | |
* | Investment Technology | ||
Group Inc. | 10,157 | 86 | |
* | eHealth Inc. | 5,137 | 85 |
Sterling Bancorp | 8,516 | 85 | |
Cedar Realty Trust Inc. | 14,930 | 82 | |
Presidential Life Corp. | 5,787 | 81 | |
Parkway Properties Inc. | 5,900 | 69 | |
Calamos Asset | |||
Management Inc. Class A | 5,571 | 62 | |
Bank Mutual Corp. | 12,215 | 53 | |
* | SWS Group Inc. | 8,305 | 50 |
* | United Community Banks | ||
Inc. | 5,028 | 40 | |
* | First BanCorp | 4,817 | 18 |
27,208 | |||
Health Care (11.3%) | |||
* | Cubist Pharmaceuticals Inc. | 17,085 | 789 |
* | Questcor Pharmaceuticals | ||
Inc. | 16,213 | 704 | |
* | Salix Pharmaceuticals Ltd. | 15,657 | 688 |
* | Align Technology Inc. | 18,840 | 640 |
* | Centene Corp. | 13,845 | 562 |
* | Haemonetics Corp. | 6,813 | 502 |
* | ViroPharma Inc. | 18,707 | 498 |
* | Par Pharmaceutical Cos. Inc. | 9,880 | 492 |
* | PAREXEL International Corp. | 16,083 | 463 |
West Pharmaceutical | |||
Services Inc. | 9,099 | 431 | |
* | Medicines Co. | 14,772 | 379 |
* | Magellan Health Services | ||
Inc. | 7,418 | 368 | |
* | Air Methods Corp. | 3,102 | 361 |
* | MWI Veterinary Supply Inc. | 3,458 | 349 |
Chemed Corp. | 5,223 | 345 | |
* | Cyberonics Inc. | 6,732 | 336 |
* | PSS World Medical Inc. | 13,696 | 296 |
* | Hanger Inc. | 9,228 | 264 |
* | Akorn Inc. | 18,337 | 254 |
* | Amsurg Corp. Class A | 8,593 | 253 |
* | Neogen Corp. | 6,398 | 250 |
* | NuVasive Inc. | 11,726 | 247 |
Analogic Corp. | 3,330 | 231 | |
* | Abaxis Inc. | 5,898 | 221 |
* | Medidata Solutions Inc. | 6,098 | 214 |
* | Integra LifeSciences | ||
Holdings Corp. | 5,430 | 214 |
Market | |||
Value | |||
Shares | ($000) | ||
CONMED Corp. | 7,684 | 208 | |
* | IPC The Hospitalist Co. Inc. | 4,502 | 199 |
Meridian Bioscience Inc. | 11,205 | 198 | |
* | Luminex Corp. | 10,216 | 198 |
Quality Systems Inc. | 10,790 | 191 | |
* | Molina Healthcare Inc. | 7,805 | 189 |
* | ICU Medical Inc. | 3,381 | 188 |
* | Bio-Reference Labs Inc. | 6,559 | 171 |
* | Spectrum Pharmaceuticals | ||
Inc. | 14,226 | 170 | |
* | Momenta Pharmaceuticals | ||
Inc. | 12,034 | 170 | |
* | Merit Medical Systems Inc. | 11,421 | 163 |
* | Kindred Healthcare Inc. | 14,448 | 161 |
Computer Programs & | |||
Systems Inc. | 3,005 | 152 | |
* | HealthStream Inc. | 5,310 | 151 |
Landauer Inc. | 2,567 | 151 | |
* | Greatbatch Inc. | 6,422 | 149 |
Cantel Medical Corp. | 5,646 | 145 | |
Ensign Group Inc. | 4,521 | 133 | |
* | Omnicell Inc. | 9,121 | 131 |
Invacare Corp. | 8,642 | 119 | |
* | Amedisys Inc. | 8,206 | 116 |
* | Hi-Tech Pharmacal Co. Inc. | 2,865 | 102 |
* | PharMerica Corp. | 7,807 | 98 |
* | Cambrex Corp. | 8,054 | 98 |
* | Emergent Biosolutions Inc. | 6,541 | 96 |
* | Natus Medical Inc. | 8,110 | 95 |
* | Healthways Inc. | 8,801 | 92 |
* | AMN Healthcare Services | ||
Inc. | 10,957 | 92 | |
* | Symmetry Medical Inc. | 9,830 | 91 |
* | Arqule Inc. | 16,893 | 88 |
* | Gentiva Health Services Inc. | 7,959 | 87 |
* | Corvel Corp. | 1,752 | 77 |
* | LHC Group Inc. | 4,349 | 76 |
* | Affymetrix Inc. | 18,418 | 70 |
* | SurModics Inc. | 3,763 | 70 |
* | Almost Family Inc. | 2,299 | 51 |
* | Palomar Medical | ||
Technologies Inc. | 5,454 | 48 | |
* | CryoLife Inc. | 7,272 | 39 |
* | Cross Country Healthcare | ||
Inc. | 7,904 | 32 | |
* | Enzo Biochem Inc. | 8,684 | 16 |
15,222 | |||
Industrials (15.3%) | |||
Robbins & Myers Inc. | 11,815 | 707 | |
* | Teledyne Technologies Inc. | 9,902 | 639 |
Toro Co. | 16,125 | 600 | |
AO Smith Corp. | 10,475 | 573 | |
* | Old Dominion Freight Line | ||
Inc. | 12,675 | 568 | |
Actuant Corp. Class A | 19,605 | 551 |
15
S&P Small-Cap 600 Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
EMCOR Group Inc. | 17,936 | 496 | |
* | EnerSys Inc. | 12,875 | 480 |
Applied Industrial | |||
Technologies Inc. | 11,326 | 461 | |
* | Portfolio Recovery | ||
Associates Inc. | 4,587 | 460 | |
* | Moog Inc. Class A | 12,153 | 445 |
Mueller Industries Inc. | 10,270 | 443 | |
* | Tetra Tech Inc. | 17,031 | 442 |
Geo Group Inc. | 16,468 | 433 | |
Belden Inc. | 12,205 | 417 | |
Brady Corp. Class A | 14,091 | 396 | |
Healthcare Services Group | |||
Inc. | 18,007 | 381 | |
Curtiss-Wright Corp. | 12,575 | 378 | |
* | Hub Group Inc. Class A | 10,261 | 309 |
Barnes Group Inc. | 12,670 | 300 | |
Simpson Manufacturing Co. | |||
Inc. | 11,022 | 280 | |
Franklin Electric Co. Inc. | 5,156 | 280 | |
* | II-VI Inc. | 14,896 | 277 |
Watts Water Technologies | |||
Inc. Class A | 7,503 | 275 | |
* | Allegiant Travel Co. Class A | 4,117 | 273 |
United Stationers Inc. | 11,046 | 267 | |
ABM Industries Inc. | 13,134 | 266 | |
Forward Air Corp. | 7,899 | 266 | |
UniFirst Corp. | 4,170 | 265 | |
ESCO Technologies Inc. | 7,260 | 257 | |
Kaman Corp. | 7,167 | 235 | |
Knight Transportation Inc. | 16,011 | 229 | |
Briggs & Stratton Corp. | 13,214 | 229 | |
Lindsay Corp. | 3,453 | 226 | |
* | Orbital Sciences Corp. | 16,020 | 221 |
AZZ Inc. | 6,858 | 218 | |
Interface Inc. Class A | 15,765 | 216 | |
Cubic Corp. | 4,285 | 216 | |
Tennant Co. | 5,118 | 215 | |
* | EnPro Industries Inc. | 5,605 | 210 |
* | Aegion Corp. Class A | 10,663 | 208 |
Universal Forest Products | |||
Inc. | 5,355 | 206 | |
Heartland Express Inc. | 15,499 | 202 | |
Kaydon Corp. | 8,702 | 194 | |
* | On Assignment Inc. | 11,706 | 193 |
* | Exponent Inc. | 3,642 | 190 |
Quanex Building Products | |||
Corp. | 9,987 | 175 | |
* | TrueBlue Inc. | 10,972 | 170 |
* | Mobile Mini Inc. | 9,934 | 170 |
* | Encore Capital Group Inc. | 5,970 | 167 |
AAR Corp. | 10,942 | 163 | |
G&K Services Inc. Class A | 5,116 | 160 | |
Albany International Corp. | 7,529 | 159 | |
Ceradyne Inc. | 6,632 | 157 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Astec Industries Inc. | 5,329 | 156 |
* | Navigant Consulting Inc. | 14,080 | 156 |
Standex International Corp. | 3,449 | 154 | |
Insperity Inc. | 6,148 | 150 | |
CIRCOR International Inc. | 4,610 | 147 | |
* | GenCorp Inc. | 15,916 | 145 |
American Science & | |||
Engineering Inc. | 2,410 | 143 | |
* | Sykes Enterprises Inc. | 10,621 | 143 |
Encore Wire Corp. | 5,021 | 142 | |
* | Dycom Industries Inc. | 9,155 | 133 |
Resources Connection Inc. | 11,508 | 129 | |
John Bean Technologies | |||
Corp. | 7,856 | 125 | |
SkyWest Inc. | 13,836 | 121 | |
* | Aerovironment Inc. | 5,050 | 120 |
Apogee Enterprises Inc. | 7,474 | 118 | |
Griffon Corp. | 12,196 | 118 | |
Cascade Corp. | 2,357 | 116 | |
Viad Corp. | 5,406 | 111 | |
Comfort Systems USA Inc. | 9,812 | 101 | |
* | Federal Signal Corp. | 16,527 | 99 |
Kelly Services Inc. Class A | 7,820 | 96 | |
National Presto Industries | |||
Inc. | 1,326 | 96 | |
* | Gibraltar Industries Inc. | 8,411 | 92 |
AAON Inc. | 4,960 | 91 | |
* | Powell Industries Inc. | 2,401 | 91 |
* | Engility Holdings Inc. | 4,251 | 79 |
* | Consolidated Graphics Inc. | 2,349 | 63 |
Arkansas Best Corp. | 6,709 | 62 | |
* | NCI Building Systems Inc. | 5,657 | 61 |
* | Lydall Inc. | 4,627 | 59 |
Heidrick & Struggles | |||
International Inc. | 4,736 | 58 | |
* | Orion Marine Group Inc. | 7,391 | 56 |
CDI Corp. | 3,372 | 56 | |
* | Vicor Corp. | 5,395 | 32 |
* | Dolan Co. | 8,544 | 30 |
Lawson Products Inc. | 990 | 8 | |
20,571 | |||
Information Technology (18.6%) | |||
* | Cirrus Logic Inc. | 17,376 | 724 |
* | CommVault Systems Inc. | 12,027 | 606 |
FEI Co. | 10,199 | 548 | |
MAXIMUS Inc. | 9,120 | 496 | |
* | Microsemi Corp. | 23,872 | 475 |
* | Cymer Inc. | 8,315 | 471 |
Anixter International Inc. | 7,491 | 450 | |
* | ViaSat Inc. | 11,582 | 448 |
*,^ | 3D Systems Corp. | 9,545 | 417 |
Cognex Corp. | 11,486 | 415 | |
* | Arris Group Inc. | 30,306 | 413 |
* | Sourcefire Inc. | 7,896 | 410 |
* | OSI Systems Inc. | 5,392 | 400 |
16
S&P Small-Cap 600 Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
* | Hittite Microwave Corp. | 7,518 | 394 |
MKS Instruments Inc. | 14,079 | 382 | |
* | CACI International Inc. | ||
Class A | 7,144 | 381 | |
* | NETGEAR Inc. | 10,315 | 377 |
* | Stratasys Inc. | 5,783 | 374 |
j2 Global Inc. | 12,396 | 365 | |
* | Veeco Instruments Inc. | 10,413 | 357 |
* | JDA Software Group Inc. | 11,557 | 356 |
* | Liquidity Services Inc. | 6,443 | 338 |
* | Cardtronics Inc. | 11,821 | 334 |
* | Progress Software Corp. | 17,068 | 328 |
Heartland Payment | |||
Systems Inc. | 10,529 | 320 | |
* | DealerTrack Holdings Inc. | 11,526 | 319 |
Littelfuse Inc. | 5,886 | 302 | |
Blackbaud Inc. | 12,259 | 299 | |
* | Plexus Corp. | 9,500 | 284 |
* | Manhattan Associates Inc. | 5,519 | 279 |
* | Synaptics Inc. | 9,148 | 278 |
* | MicroStrategy Inc. Class A | 2,208 | 277 |
* | Tyler Technologies Inc. | 6,705 | 270 |
Power Integrations Inc. | 7,709 | 267 | |
* | OpenTable Inc. | 6,130 | 260 |
* | TriQuint Semiconductor Inc. | 45,770 | 254 |
* | Benchmark Electronics Inc. | 15,659 | 251 |
* | Take-Two Interactive | ||
Software Inc. | 24,410 | 250 | |
* | SYNNEX Corp. | 7,069 | 244 |
* | Ultratech Inc. | 7,119 | 235 |
* | ScanSource Inc. | 7,490 | 226 |
* | Bottomline Technologies Inc. | 9,981 | 224 |
* | Netscout Systems Inc. | 9,429 | 224 |
* | Kulicke & Soffa Industries | ||
Inc. | 19,729 | 224 | |
MTS Systems Corp. | 4,367 | 222 | |
* | LivePerson Inc. | 13,302 | 219 |
* | Insight Enterprises Inc. | 12,061 | 217 |
Tessera Technologies Inc. | 14,095 | 215 | |
Cabot Microelectronics Corp. | 6,399 | 213 | |
Ebix Inc. | 8,519 | 204 | |
* | CSG Systems International | ||
Inc. | 9,229 | 196 | |
* | GT Advanced Technologies | ||
Inc. | 32,228 | 187 | |
* | Diodes Inc. | 10,012 | 185 |
* | FARO Technologies Inc. | 4,596 | 181 |
* | Monolithic Power Systems | ||
Inc. | 8,259 | 178 | |
* | Rogers Corp. | 4,443 | 177 |
* | Synchronoss Technologies | ||
Inc. | 7,421 | 171 | |
* | Rofin-Sinar Technologies Inc. | 7,781 | 169 |
* | Brightpoint Inc. | 18,766 | 168 |
* | Blucora Inc. | 10,872 | 168 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Digital River Inc. | 10,025 | 167 |
* | Volterra Semiconductor Corp. | 6,931 | 165 |
* | ATMI Inc. | 8,670 | 164 |
* | Websense Inc. | 10,133 | 156 |
* | TTM Technologies Inc. | 14,014 | 149 |
* | Harmonic Inc. | 32,136 | 147 |
Park Electrochemical Corp. | 5,649 | 147 | |
* | Monotype Imaging Holdings | ||
Inc. | 9,694 | 146 | |
Brooks Automation Inc. | 17,682 | 142 | |
Comtech | |||
Telecommunications Corp. | 4,881 | 137 | |
* | comScore Inc. | 9,661 | 136 |
* | Advanced Energy Industries | ||
Inc. | 10,654 | 136 | |
Badger Meter Inc. | 3,942 | 134 | |
* | Measurement Specialties Inc. | 4,098 | 133 |
* | iGATE Corp. | 8,234 | 133 |
Micrel Inc. | 12,875 | 128 | |
* | LogMeIn Inc. | 5,820 | 128 |
OPNET | 4,069 | 127 | |
* | Entropic Communications | ||
Inc. | 23,367 | 127 | |
* | Newport Corp. | 10,173 | 126 |
Black Box Corp. | 4,773 | 124 | |
United Online Inc. | 24,607 | 123 | |
* | Dice Holdings Inc. | 14,766 | 118 |
Forrester Research Inc. | 3,998 | 117 | |
* | DTS Inc. | 5,170 | 116 |
* | ExlService Holdings Inc. | 4,425 | 114 |
* | Interactive Intelligence | ||
Group Inc. | 3,843 | 114 | |
* | TeleTech Holdings Inc. | 6,628 | 109 |
EPIQ Systems Inc. | 8,812 | 103 | |
* | Ceva Inc. | 6,368 | 103 |
* | Higher One Holdings Inc. | 8,067 | 99 |
Daktronics Inc. | 10,012 | 96 | |
* | Exar Corp. | 12,288 | 94 |
* | Perficient Inc. | 8,675 | 93 |
* | Super Micro Computer Inc. | 7,517 | 93 |
Methode Electronics Inc. | 9,793 | 92 | |
CTS Corp. | 9,050 | 89 | |
* | Checkpoint Systems Inc. | 11,099 | 89 |
* | Virtusa Corp. | 5,091 | 86 |
* | Oplink Communications Inc. | 5,280 | 85 |
* | Stamps.com Inc. | 3,756 | 83 |
* | Mercury Computer | ||
Systems Inc. | 8,457 | 83 | |
* | Rudolph Technologies Inc. | 8,801 | 82 |
* | Intermec Inc. | 13,517 | 80 |
Electro Scientific Industries | |||
Inc. | 6,404 | 79 | |
* | VASCO Data Security | ||
International Inc. | 8,055 | 76 | |
* | Nanometrics Inc. | 4,757 | 72 |
17
S&P Small-Cap 600 Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
* | Digi International Inc. | 6,998 | 72 |
* | Symmetricom Inc. | 11,445 | 71 |
* | Avid Technology Inc. | 7,626 | 70 |
* | CIBER Inc. | 18,889 | 66 |
* | Sigma Designs Inc. | 8,933 | 61 |
* | QuinStreet Inc. | 7,053 | 60 |
* | Kopin Corp. | 17,235 | 60 |
Cohu Inc. | 6,707 | 59 | |
* | Supertex Inc. | 3,102 | 54 |
* | XO Group Inc. | 6,741 | 54 |
Bel Fuse Inc. Class B | 2,652 | 52 | |
* | Pericom Semiconductor | ||
Corp. | 6,278 | 50 | |
* | Intevac Inc. | 6,596 | 41 |
* | Rubicon Technology Inc. | 4,603 | 39 |
* | STR Holdings Inc. | 11,606 | 37 |
* | DSP Group Inc. | 5,708 | 33 |
* | Agilysys Inc. | 3,633 | 30 |
PC-Tel Inc. | 4,585 | 29 | |
* | Radisys Corp. | 6,375 | 23 |
* | Novatel Wireless Inc. | 9,103 | 18 |
* | NCI Inc. Class A | 2,013 | 15 |
Pulse Electronics Corp. | 10,844 | 12 | |
25,062 | |||
Materials (5.7%) | |||
Eagle Materials Inc. | 12,154 | 518 | |
HB Fuller Co. | 13,379 | 407 | |
PolyOne Corp. | 24,333 | 384 | |
Buckeye Technologies Inc. | 10,703 | 324 | |
* | SunCoke Energy Inc. | 19,015 | 301 |
* | Texas Industries Inc. | 7,599 | 296 |
Balchem Corp. | 7,948 | 290 | |
Innophos Holdings Inc. | 5,920 | 280 | |
Schweitzer-Mauduit | |||
International Inc. | 8,476 | 274 | |
Globe Specialty Metals Inc. | 16,962 | 247 | |
Kaiser Aluminum Corp. | 4,297 | 240 | |
* | Clearwater Paper Corp. | 6,350 | 240 |
Stepan Co. | 2,276 | 217 | |
* | KapStone Paper and | ||
Packaging Corp. | 10,660 | 214 | |
* | Calgon Carbon Corp. | 15,461 | 211 |
AMCOL International Corp. | 6,843 | 206 | |
A Schulman Inc. | 8,019 | 195 | |
* | LSB Industries Inc. | 5,036 | 190 |
* | Kraton Performance | ||
Polymers Inc. | 8,757 | 188 | |
American Vanguard Corp. | 6,351 | 187 | |
Koppers Holdings Inc. | 5,636 | 183 |
Market | |||
Value | |||
Shares | ($000) | ||
Deltic Timber Corp. | 2,956 | 181 | |
* | RTI International Metals Inc. | 8,234 | 179 |
Quaker Chemical Corp. | 3,518 | 166 | |
Haynes International Inc. | 3,337 | 163 | |
* | OM Group Inc. | 8,798 | 162 |
AK Steel Holding Corp. | 30,028 | 157 | |
Myers Industries Inc. | 9,136 | 135 | |
Neenah Paper Inc. | 4,317 | 120 | |
Wausau Paper Corp. | 13,392 | 120 | |
Materion Corp. | 5,546 | 118 | |
* | Headwaters Inc. | 16,085 | 107 |
Tredegar Corp. | 6,171 | 100 | |
Hawkins Inc. | 2,445 | 94 | |
* | Century Aluminum Co. | 14,678 | 91 |
Zep Inc. | 5,833 | 84 | |
* | AM Castle & Co. | 4,701 | 61 |
Olympic Steel Inc. | 2,296 | 36 | |
7,666 | |||
Telecommunication Services (0.6%) | |||
* | Cincinnati Bell Inc. | 53,559 | 251 |
* | Neutral Tandem Inc. | 8,695 | 96 |
Atlantic Tele-Network Inc. | 2,436 | 92 | |
* | General Communication Inc. | ||
Class A | 8,653 | 76 | |
NTELOS Holdings Corp. | 4,088 | 70 | |
USA Mobility Inc. | 5,889 | 67 | |
* | Cbeyond Inc. | 8,245 | 67 |
Lumos Networks Corp. | 3,915 | 34 | |
753 | |||
Utilities (4.1%) | |||
Piedmont Natural Gas Co. | |||
Inc. | 19,489 | 609 | |
Southwest Gas Corp. | 12,411 | 531 | |
New Jersey Resources Corp. | 11,176 | 501 | |
UIL Holdings Corp. | 13,593 | 478 | |
UNS Energy Corp. | 10,811 | 433 | |
South Jersey Industries Inc. | 8,162 | 413 | |
Avista Corp. | 15,755 | 400 | |
ALLETE Inc. | 8,995 | 374 | |
NorthWestern Corp. | 9,872 | 361 | |
Northwest Natural Gas Co. | 7,279 | 358 | |
El Paso Electric Co. | 10,726 | 355 | |
CH Energy Group Inc. | 4,052 | 264 | |
Laclede Group Inc. | 6,107 | 258 | |
American States Water Co. | 5,123 | 223 | |
5,558 | |||
Total Common Stocks | |||
(Cost $129,679) | 134,811 |
18
S&P Small-Cap 600 Index Fund
Market | |
Value• | |
Shares | ($000) |
Temporary Cash Investment (0.1%) | |
Money Market Fund (0.1%) | |
1,2 Vanguard Market Liquidity | |
Fund, 0.158% (Cost $132) 132,302 | 132 |
Total Investments (100.2%) | |
(Cost $129,811) | 134,943 |
Other Assets and Liabilities (-0.2%) | |
Other Assets | 125 |
Liabilities2 | (401) |
(276) | |
Net Assets (100%) | 134,667 |
At August 31, 2012, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 129,276 |
Undistributed Net Investment Income | 999 |
Accumulated Net Realized Losses | (740) |
Unrealized Appreciation (Depreciation) | 5,132 |
Net Assets | 134,667 |
Institutional Shares—Net Assets | |
Applicable to 735,492 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 100,606 |
Net Asset Value Per Share— | |
Institutional Shares | $136.79 |
ETF Shares—Net Assets | |
Applicable to 500,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 34,061 |
Net Asset Value Per Share— | |
ETF Shares | $68.12 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Part of security position is on loan to broker-dealers. The total value of securities on loan is $131,000.
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.
2 Includes $132,000 of collateral received for securities on loan.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
19
S&P Small-Cap 600 Index Fund
Statement of Operations
Year Ended | |
August 31, 2012 | |
($000) | |
Investment Income | |
Income | |
Dividends | 1,497 |
Security Lending | 3 |
Total Income | 1,500 |
Expenses | |
The Vanguard Group—Note B | |
Management and Administrative—Institutional Shares | 24 |
Management and Administrative—ETF Shares | 17 |
Marketing and Distribution—Institutional Shares | 14 |
Marketing and Distribution—ETF Shares | 2 |
Custodian Fees | 17 |
Auditing Fees | 20 |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—ETF Shares | 2 |
Total Expenses | 96 |
Net Investment Income | 1,404 |
Realized Net Gain (Loss) on Investment Securities Sold | 1,026 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 13,679 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 16,109 |
See accompanying Notes, which are an integral part of the Financial Statements.
20
S&P Small-Cap 600 Index Fund
Statement of Changes in Net Assets
Sept. 7, | ||
Year Ended | 20101 to | |
August 31, | August 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 1,404 | 407 |
Realized Net Gain (Loss) | 1,026 | (403) |
Change in Unrealized Appreciation (Depreciation) | 13,679 | (8,547) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 16,109 | (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 | 14,924 | 81,749 |
ETF Shares | 19,745 | 11,495 |
Net Increase (Decrease) from Capital Share Transactions | 34,669 | 93,244 |
Total Increase (Decrease) | 50,002 | 84,665 |
Net Assets | ||
Beginning of Period | 84,665 | — |
End of Period2 | 134,667 | 84,665 |
1 Inception.
2 Net Assets—End of Period includes undistributed net investment income of $999,000 and $341,000.
See accompanying Notes, which are an integral part of the Financial Statements.
21
S&P Small-Cap 600 Index Fund
Financial Highlights
Institutional Shares
Year | April 1, | |
Ended | 20111 to | |
August 31, | 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 | 1.558 | .290 |
Net Realized and Unrealized Gain (Loss) on Investments | 18.126 | (15.110) |
Total from Investment Operations | 19.684 | (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 | $136.79 | $118.12 |
Total Return | 16.75% | -11.15% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $101 | $73 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08%2 |
Ratio of Net Investment Income to Average Net Assets | 1.35% | 1.03%2 |
Portfolio Turnover Rate3 | 12% | 42% |
1 Inception—See Notes to Financial Statements.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
22
S&P Small-Cap 600 Index Fund
Financial Highlights
ETF Shares
Year | Sept. 7, | |
Ended | 20101 to | |
August 31, | 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 | .745 | .605 |
Net Realized and Unrealized Gain (Loss) on Investments | 9.012 | 8.785 |
Total from Investment Operations | 9.757 | 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 | $68.12 | $58.84 |
Total Return | 16.66% | 18.81% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $34 | $12 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15%2 |
Ratio of Net Investment Income to Average Net Assets | 1.28% | 0.96%2 |
Portfolio Turnover Rate3 | 12% | 42% |
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.
23
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 all open federal income tax years (August 31, 2011–2012), 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. Security Lending: The fund may lend its securities to qualified institutional borrowers to earn additional income. Security loans are required to be secured at all times by collateral at least equal to the market value of securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability for the return of the collateral, during the period the securities are on loan. Security lending income represents fees charged to borrowers plus income earned on investing cash collateral, less expenses associated with the loan.
5. 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.
24
S&P Small-Cap 600 Index Fund
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At August 31, 2012, the fund had contributed capital of $18,000 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.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
At August 31, 2012, 100% of the market value of the fund’s investments was determined 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 year ended August 31, 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.
For tax purposes, at August 31, 2012, the fund had $1,018,000 of ordinary income available for distribution. At August 31, 2012, the fund had available capital losses totaling $629,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2012, the cost of investment securities for tax purposes was $129,934,000. Net unrealized appreciation of investment securities for tax purposes was $5,009,000, consisting of unrealized gains of $15,355,000 on securities that had risen in value since their purchase and $10,346,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the year ended August 31, 2012, the fund purchased $50,747,000 of investment securities and sold $15,151,000 of investment securities, other than temporary cash investments. Purchases and sales include $22,743,000 and $2,129,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
25
S&P Small-Cap 600 Index Fund
F. Capital share transactions for each class of shares were:
Year Ended | Inception1 to | |||
August 31, 2012 | August 31, 2011 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Institutional Shares | ||||
Issued | 24,308 | 191 | 88,037 | 667 |
Issued in Lieu of Cash Distributions | 681 | 5 | — | — |
Redeemed | (10,065) | (78) | (6,288) | (50) |
Net Increase (Decrease) —Institutional Shares | 14,924 | 118 | 81,749 | 617 |
ETF Shares | ||||
Issued | 22,750 | 350 | 20,131 | 350 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (3,005) | (50) | (8,636) | (150) |
Net Increase (Decrease)—ETF Shares | 19,745 | 300 | 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 August 31, 2012, one shareholder was the record or beneficial owner of 62% of the fund’s net assets. If the shareholder were to redeem its investment in the fund, the redemption might result in an increase in the fund’s expense ratio, cause the fund to incur higher transaction costs, or lead to the realization of taxable capital gains.
G. In preparing the financial statements as of August 31, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
26
S&P Small-Cap 600 Value Index Fund
Fund Profile
As of August 31, 2012
Portfolio Characteristics | |||
S&P | DJ | ||
SmallCap | U.S. Total | ||
600 Value | Market | ||
Fund | Index | Index | |
Number of Stocks | 454 | 453 | 3,678 |
Median Market Cap | $1.0B | $1.0B | $34.9B |
Price/Earnings Ratio | 21.6x | 21.6x | 16.3x |
Price/Book Ratio | 1.5x | 1.5x | 2.1x |
Return on Equity | 6.3% | 6.3% | 18.1% |
Earnings Growth Rate | -0.8% | -0.8% | 10.5% |
Dividend Yield | 1.6% | 1.6% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 29% | — | — |
Ticker Symbol | VIOV | — | — |
Expense Ratio1 | 0.22% | — | — |
30-Day SEC Yield | 1.44% | — | — |
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 16.4% | 16.4% | 12.1% | |
Consumer Staples | 3.6 | 3.6 | 9.8 |
Energy | 4.5 | 4.5 | 10.2 |
Financials | 26.4 | 26.3 | 15.9 |
Health Care | 5.7 | 5.7 | 11.7 |
Industrials | 19.1 | 19.2 | 10.6 |
Information Technology 12.4 | 12.4 | 19.5 | |
Materials | 6.9 | 6.9 | 3.8 |
Telecommunication | |||
Services | 0.9 | 0.9 | 2.8 |
Utilities | 4.1 | 4.1 | 3.6 |
Ten Largest Holdings (% of total net assets) | ||
LaSalle Hotel Properties | Specialized REITs | 1.0% |
Cabela's Inc. | Specialty Stores | 0.9 |
Actuant Corp. Class A | Industrial | |
Machinery | 0.8 | |
Susquehanna | ||
Bancshares Inc. | Regional Banks | 0.8 |
EMCOR Group Inc. | Construction & | |
Engineering | 0.8 | |
Extra Space Storage Inc. | Specialized REITs | 0.7 |
DiamondRock | ||
Hospitality Co. | Specialized REITs | 0.7 |
EnerSys Inc. | Electrical | |
Components & | ||
Equipment | 0.7 | |
Kilroy Realty Corp. | Office REITs | 0.7 |
Bristow Group Inc. | Oil & Gas | |
Equipment & | ||
Services | 0.7 | |
Top Ten | 7.8% |
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 fiscal year ended August 31, 2012, the expense ratio was 0.20%.
27
S&P Small-Cap 600 Value Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: September 7, 2010, Through August 31, 2012
Initial Investment of $10,000
Average Annual Total Returns | |||
Periods Ended August 31, 2012 | |||
Since | Final Value | ||
One | Inception | of a $10,000 | |
Year | (9/7/2010) | Investment | |
S&P Small-Cap 600 Value Index Fund | |||
ETF Shares Net Asset Value | 17.33% | 16.08% | $13,437 |
S&P Small-Cap 600 Value Index Fund | |||
ETF Shares Market Price | 17.04 | 15.91 | 13,398 |
S&P SmallCap 600 Value Index | 17.53 | 16.27 | 13,482 |
Small-Cap Value Funds Average | 12.13 | 12.69 | 12,672 |
Dow Jones U.S. Total Stock Market | |||
Index | 16.74 | 15.72 | 13,355 |
Small-Cap Value Funds Average: Derived from data provided by Lipper Inc.
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
See Financial Highlights for dividend and capital gains information.
28
S&P Small-Cap 600 Value Index Fund
Cumulative Returns of ETF Shares: September 7, 2010, Through August 31, 2012
Since | ||
One | Inception | |
Year | (9/7/2010) | |
S&P Small-Cap 600 Value Index FundETF | ||
Shares Market Price | 17.04% | 33.98% |
S&P Small-Cap 600 Value Index FundETF | ||
Shares Net Asset Value | 17.33 | 34.37 |
S&P SmallCap 600 Value Index | 17.53 | 34.82 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards. |
Fiscal-Year Total Returns (%): September 7, 2010, Through August 31, 2012
S&P Small-Cap 600 Value Index Fund ETF Shares Net Asset Value |
S&P SmallCap 600 Value Index |
Average Annual Total Returns: Periods Ended June 30, 2012
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 | 2.72% | 15.51% | |
Net Asset Value | 1.58 | 15.52 |
29
S&P Small-Cap 600 Value Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 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 (16.4%) | |||
* | Cabela’s Inc. | 2,942 | 141 |
Men’s Wearhouse Inc. | 3,433 | 109 | |
Brunswick Corp. | 4,092 | 97 | |
* | Live Nation Entertainment | ||
Inc. | 10,007 | 85 | |
Group 1 Automotive Inc. | 1,546 | 85 | |
* | Jack in the Box Inc. | 2,977 | 78 |
* | Meritage Homes Corp. | 2,033 | 76 |
* | Crocs Inc. | 3,879 | 68 |
Pool Corp. | 1,701 | 67 | |
* | Select Comfort Corp. | 2,209 | 63 |
* | Marriott Vacations Worldwide | ||
Corp. | 1,849 | 59 | |
* | Skechers U.S.A. Inc. Class A | 2,496 | 54 |
* | Standard Pacific Corp. | 7,286 | 49 |
* | Fifth & Pacific Cos. Inc. | 3,668 | 49 |
* | La-Z-Boy Inc. | 3,500 | 48 |
* | Pinnacle Entertainment Inc. | 4,213 | 47 |
Sonic Automotive Inc. | |||
Class A | 2,544 | 45 | |
Stage Stores Inc. | 2,058 | 44 | |
Brown Shoe Co. Inc. | 2,891 | 43 | |
Lithia Motors Inc. Class A | 1,456 | 43 | |
Ryland Group Inc. | 1,559 | 42 | |
Movado Group Inc. | 1,176 | 41 | |
Finish Line Inc. Class A | 1,752 | 40 | |
Ethan Allen Interiors Inc. | 1,763 | 39 | |
* | Sonic Corp. | 4,073 | 38 |
* | Drew Industries Inc. | 1,282 | 37 |
* | Arctic Cat Inc. | 849 | 37 |
Cracker Barrel Old Country | |||
Store Inc. | 544 | 34 | |
American Greetings Corp. | |||
Class A | 2,372 | 34 | |
OfficeMax Inc. | 5,818 | 34 | |
Fred’s Inc. Class A | 2,471 | 33 |
Market | |||
Value | |||
Shares | ($000) | ||
Pep Boys-Manny Moe & | |||
Jack | 3,589 | 32 | |
* | Shuffle Master Inc. | 2,108 | 32 |
Oxford Industries Inc. | 535 | 29 | |
* | Helen of Troy Ltd. | 918 | 29 |
* | Ruby Tuesday Inc. | 4,236 | 29 |
Texas Roadhouse Inc. | |||
Class A | 1,608 | 28 | |
Superior Industries | |||
International Inc. | 1,601 | 27 | |
Hot Topic Inc. | 2,837 | 27 | |
Interval Leisure Group Inc. | 1,447 | 27 | |
* | Lumber Liquidators | ||
Holdings Inc. | 562 | 26 | |
* | Quiksilver Inc. | 8,319 | 26 |
Hillenbrand Inc. | 1,400 | 25 | |
Callaway Golf Co. | 4,377 | 25 | |
* | Iconix Brand Group Inc. | 1,336 | 25 |
* | M/I Homes Inc. | 1,267 | 24 |
JAKKS Pacific Inc. | 1,450 | 24 | |
Standard Motor Products | |||
Inc. | 1,334 | 24 | |
Cato Corp. Class A | 795 | 23 | |
* | Red Robin Gourmet | ||
Burgers Inc. | 751 | 23 | |
* | Winnebago Industries Inc. | 1,959 | 23 |
* | Boyd Gaming Corp. | 3,671 | 22 |
* | EW Scripps Co. Class A | 2,105 | 22 |
* | Digital Generation Inc. | 1,864 | 21 |
Harte-Hanks Inc. | 2,985 | 21 | |
Nutrisystem Inc. | 1,917 | 20 | |
* | Multimedia Games Holding | ||
Co. Inc. | 1,200 | 19 | |
* | Perry Ellis International Inc. | 845 | 17 |
Marcus Corp. | 1,347 | 17 | |
Haverty Furniture Cos. Inc. | 1,293 | 17 | |
* | Stein Mart Inc. | 1,845 | 17 |
* | Maidenform Brands Inc. | 743 | 17 |
* | Tuesday Morning Corp. | 2,765 | 15 |
* | Universal Electronics Inc. | 995 | 15 |
30
S&P Small-Cap 600 Value Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
* | Ruth’s Hospitality Group Inc. | 2,376 | 15 |
* | Zumiez Inc. | 471 | 14 |
PetMed Express Inc. | 1,332 | 14 | |
Big 5 Sporting Goods Corp. | 1,502 | 13 | |
Spartan Motors Inc. | 2,306 | 12 | |
* | Corinthian Colleges Inc. | 5,664 | 11 |
* | MarineMax Inc. | 1,578 | 11 |
* | Career Education Corp. | 3,603 | 11 |
* | Zale Corp. | 1,764 | 10 |
* | VOXX International Corp. | ||
Class A | 1,271 | 10 | |
Blyth Inc. | 224 | 9 | |
Universal Technical | |||
Institute Inc. | 597 | 7 | |
Lincoln Educational Services | |||
Corp. | 1,570 | 7 | |
Christopher & Banks Corp. | 2,433 | 6 | |
* | Monarch Casino & Resort | ||
Inc. | 777 | 6 | |
* | K-Swiss Inc. Class A | 1,841 | 5 |
* | Kirkland’s Inc. | 460 | 4 |
* | Coldwater Creek Inc. | 6,014 | 3 |
2,695 | |||
Consumer Staples (3.6%) | |||
* | United Natural Foods Inc. | 1,349 | 78 |
* | Hain Celestial Group Inc. | 1,107 | 76 |
* | Darling International Inc. | 4,197 | 70 |
* | Prestige Brands Holdings | ||
Inc. | 3,383 | 54 | |
B&G Foods Inc. Class A | 1,754 | 51 | |
Andersons Inc. | 1,242 | 50 | |
Snyders-Lance Inc. | 1,807 | 42 | |
Cal-Maine Foods Inc. | 960 | 39 | |
* | Central Garden and Pet Co. | ||
Class A | 2,832 | 33 | |
Spartan Stores Inc. | 1,461 | 22 | |
* | Seneca Foods Corp. Class A | 623 | 18 |
* | Alliance One International | ||
Inc. | 5,870 | 17 | |
Nash Finch Co. | 822 | 16 | |
Diamond Foods Inc. | 603 | 12 | |
Inter Parfums Inc. | 538 | 9 | |
Calavo Growers Inc. | 332 | 9 | |
596 | |||
Energy (4.5%) | |||
Bristow Group Inc. | 2,407 | 113 | |
* | Exterran Holdings Inc. | 4,372 | 80 |
* | Stone Energy Corp. | 3,337 | 79 |
* | Swift Energy Co. | 2,870 | 56 |
* | Cloud Peak Energy Inc. | 3,136 | 55 |
* | Comstock Resources Inc. | 3,254 | 54 |
* | Hornbeck Offshore | ||
Services Inc. | 1,164 | 45 | |
* | ION Geophysical Corp. | 5,820 | 38 |
Market | |||
Value | |||
Shares | ($000) | ||
* | PDC Energy Inc. | 1,220 | 34 |
* | TETRA Technologies Inc. | 5,199 | 33 |
* | Gulfport Energy Corp. | 1,028 | 27 |
Gulf Island Fabrication Inc. | 975 | 25 | |
* | Petroquest Energy Inc. | 3,808 | 24 |
* | Matrix Service Co. | 1,741 | 20 |
Penn Virginia Corp. | 3,093 | 19 | |
* | Pioneer Energy Services | ||
Corp. | 2,390 | 18 | |
* | Basic Energy Services Inc. | 1,304 | 15 |
Overseas Shipholding | |||
Group Inc. | 1,777 | 11 | |
746 | |||
Financials (26.3%) | |||
LaSalle Hotel Properties | 5,774 | 157 | |
Susquehanna Bancshares | |||
Inc. | 12,666 | 133 | |
Extra Space Storage Inc. | 3,572 | 122 | |
DiamondRock Hospitality Co. | 12,663 | 122 | |
Kilroy Realty Corp. | 2,416 | 114 | |
Prospect Capital Corp. | 9,235 | 106 | |
FNB Corp. | 9,398 | 103 | |
Umpqua Holdings Corp. | 7,548 | 95 | |
Medical Properties Trust Inc. | 9,126 | 94 | |
Colonial Properties Trust | 4,209 | 92 | |
Wintrust Financial Corp. | 2,449 | 92 | |
Tanger Factory Outlet | |||
Centers | 2,562 | 86 | |
Lexington Realty Trust | 9,120 | 86 | |
Old National Bancorp | 6,386 | 84 | |
Post Properties Inc. | 1,594 | 81 | |
Northwest Bancshares Inc. | 6,579 | 79 | |
Healthcare Realty Trust Inc. | 3,103 | 75 | |
Glacier Bancorp Inc. | 4,852 | 75 | |
United Bankshares Inc. | 3,049 | 74 | |
National Penn Bancshares | |||
Inc. | 8,319 | 74 | |
* | Texas Capital Bancshares Inc. | 1,535 | 71 |
Entertainment Properties | |||
Trust | 1,480 | 67 | |
Selective Insurance Group | |||
Inc. | 3,696 | 66 | |
PrivateBancorp Inc. Class A | 4,059 | 66 | |
* | BBCN Bancorp Inc. | 5,269 | 66 |
First Midwest Bancorp Inc. | 5,051 | 60 | |
Pennsylvania REIT | 3,755 | 59 | |
Cousins Properties Inc. | 7,042 | 56 | |
Provident Financial Services | |||
Inc. | 3,601 | 56 | |
Franklin Street Properties | |||
Corp. | 4,882 | 54 | |
Sovran Self Storage Inc. | 903 | 51 | |
* | Stifel Financial Corp. | 1,545 | 51 |
Boston Private Financial | |||
Holdings Inc. | 5,281 | 50 |
31
S&P Small-Cap 600 Value Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
CVB Financial Corp. | 4,160 | 50 | |
Tower Group Inc. | 2,652 | 49 | |
First Commonwealth | |||
Financial Corp. | 7,042 | 49 | |
Columbia Banking | |||
System Inc. | 2,673 | 48 | |
NBT Bancorp Inc. | 2,252 | 47 | |
Horace Mann Educators | |||
Corp. | 2,669 | 47 | |
Safety Insurance Group Inc. | 1,031 | 47 | |
* | Pinnacle Financial Partners | ||
Inc. | 2,324 | 44 | |
Independent Bank Corp. | 1,459 | 43 | |
UMB Financial Corp. | 832 | 41 | |
* | National Financial Partners | ||
Corp. | 2,738 | 40 | |
Community Bank System | |||
Inc. | 1,438 | 40 | |
Brookline Bancorp Inc. | 4,699 | 40 | |
Employers Holdings Inc. | 2,131 | 39 | |
Interactive Brokers Group | |||
Inc. | 2,630 | 36 | |
First Financial Bancorp | 2,180 | 36 | |
PacWest Bancorp | 1,517 | 35 | |
TrustCo Bank Corp. NY | 6,325 | 35 | |
S&T Bancorp Inc. | 1,950 | 34 | |
* | Forestar Group Inc. | 2,320 | 33 |
Getty Realty Corp. | 1,828 | 33 | |
First Financial Bankshares | |||
Inc. | 917 | 32 | |
LTC Properties Inc. | 944 | 32 | |
United Fire Group Inc. | 1,399 | 31 | |
* | AMERISAFE Inc. | 1,222 | 31 |
Inland Real Estate Corp. | 3,612 | 30 | |
Acadia Realty Trust | 1,180 | 29 | |
Sabra Health Care REIT Inc. | 1,490 | 29 | |
Home BancShares Inc. | 891 | 28 | |
Simmons First National | |||
Corp. Class A | 1,152 | 27 | |
Dime Community | |||
Bancshares Inc. | 1,895 | 27 | |
Bank of the Ozarks Inc. | 808 | 26 | |
Meadowbrook Insurance | |||
Group Inc. | 3,406 | 26 | |
* | Piper Jaffray Cos. | 1,050 | 26 |
Stewart Information | |||
Services Corp. | 1,300 | 26 | |
* | Wilshire Bancorp Inc. | 4,024 | 25 |
* | Investment Technology | ||
Group Inc. | 2,631 | 22 | |
Kite Realty Group Trust | 4,290 | 22 | |
Cedar Realty Trust Inc. | 3,869 | 21 | |
Sterling Bancorp | 2,089 | 21 | |
Presidential Life Corp. | 1,438 | 20 | |
City Holding Co. | 561 | 19 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Hanmi Financial Corp. | 1,386 | 17 |
Parkway Properties Inc. | 1,471 | 17 | |
* | Navigators Group Inc. | 332 | 16 |
Urstadt Biddle Properties Inc. | |||
Class A | 811 | 16 | |
Calamos Asset Management | |||
Inc. Class A | 1,366 | 15 | |
Bank Mutual Corp. | 3,136 | 14 | |
ViewPoint Financial Group | |||
Inc. | 691 | 13 | |
Universal Health Realty | |||
Income Trust | 291 | 13 | |
* | SWS Group Inc. | 2,008 | 12 |
Oritani Financial Corp. | 808 | 12 | |
* | Virtus Investment Partners | ||
Inc. | 128 | 11 | |
Saul Centers Inc. | 254 | 11 | |
* | United Community Banks Inc. | 1,289 | 10 |
Tompkins Financial Corp. | 214 | 8 | |
* | eHealth Inc. | 421 | 7 |
* | First BanCorp | 1,390 | 5 |
4,330 | |||
Health Care (5.7%) | |||
* | Hanger Inc. | 2,283 | 65 |
* | PAREXEL International Corp. | 2,252 | 65 |
* | Align Technology Inc. | 1,556 | 53 |
CONMED Corp. | 1,894 | 51 | |
* | Molina Healthcare Inc. | 1,924 | 47 |
* | Centene Corp. | 1,134 | 46 |
* | Kindred Healthcare Inc. | 3,516 | 39 |
West Pharmaceutical | |||
Services Inc. | 798 | 38 | |
* | Par Pharmaceutical Cos. Inc. | 644 | 32 |
Invacare Corp. | 2,130 | 29 | |
* | Amedisys Inc. | 2,034 | 29 |
* | PSS World Medical Inc. | 1,250 | 27 |
* | PharMerica Corp. | 2,001 | 25 |
* | Cambrex Corp. | 2,000 | 24 |
* | Healthways Inc. | 2,253 | 24 |
* | Natus Medical Inc. | 1,984 | 23 |
* | Amsurg Corp. Class A | 784 | 23 |
* | Symmetry Medical Inc. | 2,459 | 23 |
* | AMN Healthcare Services | ||
Inc. | 2,725 | 23 | |
* | Gentiva Health Services Inc. | 2,071 | 23 |
Meridian Bioscience Inc. | 1,172 | 21 | |
* | Omnicell Inc. | 1,334 | 19 |
* | LHC Group Inc. | 1,061 | 18 |
* | Affymetrix Inc. | 4,755 | 18 |
* | Bio-Reference Labs Inc. | 637 | 17 |
* | Merit Medical Systems Inc. | 1,165 | 17 |
* | Integra LifeSciences | ||
Holdings Corp. | 363 | 14 | |
* | Almost Family Inc. | 558 | 12 |
* | SurModics Inc. | 641 | 12 |
32
S&P Small-Cap 600 Value Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
* | Greatbatch Inc. | 507 | 12 |
* | Palomar Medical | ||
Technologies Inc. | 1,327 | 12 | |
Cantel Medical Corp. | 449 | 12 | |
* | CryoLife Inc. | 1,825 | 10 |
* | Cross Country Healthcare | ||
Inc. | 2,054 | 8 | |
* | Emergent Biosolutions Inc. | 537 | 8 |
* | HealthStream Inc. | 278 | 8 |
* | Enzo Biochem Inc. | 1,325 | 2 |
929 | |||
Industrials (19.1%) | |||
Actuant Corp. Class A | 4,911 | 138 | |
EMCOR Group Inc. | 4,490 | 124 | |
* | EnerSys Inc. | 3,237 | 121 |
Mueller Industries Inc. | 2,579 | 111 | |
Geo Group Inc. | 4,127 | 109 | |
Brady Corp. Class A | 3,540 | 99 | |
Curtiss-Wright Corp. | 3,150 | 95 | |
AO Smith Corp. | 1,497 | 82 | |
Barnes Group Inc. | 3,140 | 74 | |
United Stationers Inc. | 2,742 | 66 | |
ABM Industries Inc. | 3,263 | 66 | |
Belden Inc. | 1,933 | 66 | |
ESCO Technologies Inc. | 1,802 | 64 | |
Briggs & Stratton Corp. | 3,280 | 57 | |
* | Orbital Sciences Corp. | 3,990 | 55 |
Interface Inc. Class A | 3,894 | 53 | |
* | EnPro Industries Inc. | 1,392 | 52 |
Applied Industrial | |||
Technologies Inc. | 1,280 | 52 | |
* | Aegion Corp. Class A | 2,637 | 52 |
Universal Forest Products | |||
Inc. | 1,324 | 51 | |
Robbins & Myers Inc. | 829 | 50 | |
* | On Assignment Inc. | 2,907 | 48 |
* | Tetra Tech Inc. | 1,754 | 46 |
Quanex Building Products | |||
Corp. | 2,477 | 43 | |
* | Mobile Mini Inc. | 2,479 | 42 |
* | TrueBlue Inc. | 2,725 | 42 |
AAR Corp. | 2,704 | 40 | |
Albany International Corp. | 1,889 | 40 | |
* | Astec Industries Inc. | 1,358 | 40 |
G&K Services Inc. Class A | 1,262 | 40 | |
* | Old Dominion Freight Line | ||
Inc. | 884 | 40 | |
* | Moog Inc. Class A | 1,073 | 39 |
Simpson Manufacturing Co. | |||
Inc. | 1,541 | 39 | |
Ceradyne Inc. | 1,641 | 39 | |
* | Navigant Consulting Inc. | 3,510 | 39 |
Standex International Corp. | 854 | 38 | |
Insperity Inc. | 1,521 | 37 | |
* | GenCorp Inc. | 3,946 | 36 |
Market | |||
Value | |||
Shares | ($000) | ||
Encore Wire Corp. | 1,252 | 35 | |
* | Sykes Enterprises Inc. | 2,628 | 35 |
Healthcare Services Group | |||
Inc. | 1,626 | 34 | |
Watts Water Technologies | |||
Inc. Class A | 898 | 33 | |
* | Dycom Industries Inc. | 2,266 | 33 |
* | Hub Group Inc. Class A | 1,088 | 33 |
Resources Connection Inc. | 2,865 | 32 | |
Knight Transportation Inc. | 2,186 | 31 | |
John Bean Technologies | |||
Corp. | 1,943 | 31 | |
Griffon Corp. | 3,127 | 30 | |
Apogee Enterprises Inc. | 1,913 | 30 | |
SkyWest Inc. | 3,414 | 30 | |
Kaydon Corp. | 1,317 | 29 | |
Heartland Express Inc. | 2,187 | 29 | |
Viad Corp. | 1,363 | 28 | |
Kaman Corp. | 815 | 27 | |
Comfort Systems USA Inc. | 2,544 | 26 | |
* | Federal Signal Corp. | 4,178 | 25 |
Kelly Services Inc. Class A | 1,918 | 24 | |
* | Powell Industries Inc. | 603 | 23 |
* | Gibraltar Industries Inc. | 2,071 | 23 |
CIRCOR International Inc. | 688 | 22 | |
UniFirst Corp. | 279 | 18 | |
Tennant Co. | 420 | 18 | |
Arkansas Best Corp. | 1,737 | 16 | |
Cascade Corp. | 310 | 15 | |
Heidrick & Struggles | |||
International Inc. | 1,215 | 15 | |
* | Lydall Inc. | 1,160 | 15 |
CDI Corp. | 867 | 14 | |
* | Orion Marine Group Inc. | 1,838 | 14 |
* | Encore Capital Group Inc. | 398 | 11 |
AAON Inc. | 567 | 10 | |
* | NCI Building Systems Inc. | 970 | 10 |
* | Engility Holdings Inc. | 515 | 10 |
* | Consolidated Graphics Inc. | 231 | 6 |
* | Vicor Corp. | 626 | 4 |
Lawson Products Inc. | 255 | 2 | |
3,146 | |||
Information Technology (12.4%) | |||
Anixter International Inc. | 1,874 | 113 | |
* | Arris Group Inc. | 7,622 | 104 |
* | Plexus Corp. | 2,348 | 70 |
* | Benchmark Electronics Inc. | 3,872 | 62 |
* | Take-Two Interactive | ||
Software Inc. | 6,043 | 62 | |
* | SYNNEX Corp. | 1,753 | 61 |
* | ScanSource Inc. | 1,852 | 56 |
* | Insight Enterprises Inc. | 2,974 | 53 |
* | 3D Systems Corp. | 1,106 | 48 |
FEI Co. | 798 | 43 | |
* | Progress Software Corp. | 2,226 | 43 |
33
S&P Small-Cap 600 Value Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
* | Brightpoint Inc. | 4,672 | 42 |
* | Digital River Inc. | 2,489 | 41 |
* | TTM Technologies Inc. | 3,490 | 37 |
* | Harmonic Inc. | 7,978 | 36 |
* | DealerTrack Holdings Inc. | 1,287 | 36 |
MKS Instruments Inc. | 1,302 | 35 | |
* | Microsemi Corp. | 1,730 | 34 |
* | Advanced Energy Industries | ||
Inc. | 2,679 | 34 | |
Comtech | |||
Telecommunications Corp. | 1,211 | 34 | |
* | Cardtronics Inc. | 1,130 | 32 |
* | Newport Corp. | 2,560 | 32 |
Black Box Corp. | 1,176 | 31 | |
* | Stratasys Inc. | 472 | 31 |
Heartland Payment Systems | |||
Inc. | 993 | 30 | |
United Online Inc. | 6,050 | 30 | |
* | TriQuint Semiconductor Inc. | 4,699 | 26 |
Daktronics Inc. | 2,512 | 24 | |
Methode Electronics Inc. | 2,518 | 24 | |
* | Super Micro Computer Inc. | 1,903 | 23 |
CTS Corp. | 2,324 | 23 | |
* | ATMI Inc. | 1,201 | 23 |
* | Perficient Inc. | 2,113 | 23 |
* | Checkpoint Systems Inc. | 2,733 | 22 |
* | Rofin-Sinar Technologies Inc. | 1,002 | 22 |
Park Electrochemical Corp. | 801 | 21 | |
* | Intermec Inc. | 3,465 | 21 |
Electro Scientific Industries | |||
Inc. | 1,642 | 20 | |
* | Rudolph Technologies Inc. | 2,150 | 20 |
* | CSG Systems International | ||
Inc. | 920 | 20 | |
* | Bottomline Technologies Inc. | 851 | 19 |
* | Ultratech Inc. | 574 | 19 |
Tessera Technologies Inc. | 1,220 | 19 | |
* | Monotype Imaging Holdings | ||
Inc. | 1,222 | 18 | |
* | Avid Technology Inc. | 1,975 | 18 |
* | Digi International Inc. | 1,749 | 18 |
* | iGATE Corp. | 1,099 | 18 |
* | Diodes Inc. | 954 | 18 |
* | TeleTech Holdings Inc. | 1,048 | 17 |
* | Symmetricom Inc. | 2,795 | 17 |
* | CIBER Inc. | 4,893 | 17 |
* | Dice Holdings Inc. | 2,099 | 17 |
* | Rogers Corp. | 394 | 16 |
* | Monolithic Power Systems | ||
Inc. | 702 | 15 | |
* | Sigma Designs Inc. | 2,194 | 15 |
Cohu Inc. | 1,637 | 14 | |
* | XO Group Inc. | 1,766 | 14 |
Bel Fuse Inc. Class B | 690 | 13 | |
EPIQ Systems Inc. | 1,143 | 13 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Pericom Semiconductor | ||
Corp. | 1,588 | 13 | |
Micrel Inc. | 1,207 | 12 | |
Brooks Automation Inc. | 1,459 | 12 | |
* | Virtusa Corp. | 673 | 11 |
* | VASCO Data Security | ||
International Inc. | 1,166 | 11 | |
* | Measurement Specialties Inc. | 336 | 11 |
Badger Meter Inc. | 312 | 11 | |
* | Intevac Inc. | 1,559 | 10 |
* | Mercury Computer Systems | ||
Inc. | 955 | 9 | |
* | Supertex Inc. | 506 | 9 |
* | Kopin Corp. | 2,436 | 8 |
* | DSP Group Inc. | 1,474 | 8 |
* | Agilysys Inc. | 970 | 8 |
PC-Tel Inc. | 1,234 | 8 | |
* | Oplink Communications Inc. | 480 | 8 |
* | ExlService Holdings Inc. | 235 | 6 |
* | Nanometrics Inc. | 371 | 6 |
* | Radisys Corp. | 1,541 | 6 |
* | QuinStreet Inc. | 625 | 5 |
* | Novatel Wireless Inc. | 2,172 | 4 |
* | NCI Inc. Class A | 534 | 4 |
* | STR Holdings Inc. | 1,040 | 3 |
Pulse Electronics Corp. | 2,796 | 3 | |
2,043 | |||
Materials (6.9%) | |||
PolyOne Corp. | 6,042 | 95 | |
Eagle Materials Inc. | 1,941 | 83 | |
* | SunCoke Energy Inc. | 4,729 | 75 |
* | Texas Industries Inc. | 1,884 | 73 |
Kaiser Aluminum Corp. | 1,065 | 60 | |
HB Fuller Co. | 1,817 | 55 | |
A Schulman Inc. | 1,993 | 48 | |
* | RTI International Metals Inc. | 2,043 | 44 |
* | OM Group Inc. | 2,190 | 40 |
AK Steel Holding Corp. | 7,480 | 39 | |
Myers Industries Inc. | 2,257 | 33 | |
* | Calgon Carbon Corp. | 2,190 | 30 |
Wausau Paper Corp. | 3,326 | 30 | |
Neenah Paper Inc. | 1,068 | 30 | |
Materion Corp. | 1,379 | 29 | |
American Vanguard Corp. | 973 | 29 | |
Buckeye Technologies Inc. | 909 | 28 | |
Tredegar Corp. | 1,596 | 26 | |
Koppers Holdings Inc. | 724 | 23 | |
* | LSB Industries Inc. | 622 | 23 |
* | Clearwater Paper Corp. | 617 | 23 |
* | Century Aluminum Co. | 3,642 | 23 |
Zep Inc. | 1,493 | 22 | |
AMCOL International Corp. | 692 | 21 | |
Globe Specialty Metals Inc. | 1,371 | 20 | |
* | Kraton Performance | ||
Polymers Inc. | 927 | 20 |
34
S&P Small-Cap 600 Value Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Quaker Chemical Corp. | 359 | 17 | |
* | Headwaters Inc. | 2,435 | 16 |
* | KapStone Paper and | ||
Packaging Corp. | 791 | 16 | |
Stepan Co. | 162 | 16 | |
* | AM Castle & Co. | 1,124 | 15 |
Haynes International Inc. | 293 | 14 | |
Olympic Steel Inc. | 621 | 10 | |
1,126 | |||
Telecommunication Services (0.9%) | |||
* | Cincinnati Bell Inc. | 13,305 | 62 |
NTELOS Holdings Corp. | 1,015 | 17 | |
USA Mobility Inc. | 1,502 | 17 | |
* | Cbeyond Inc. | 2,057 | 17 |
* | General Communication Inc. | ||
Class A | 1,215 | 11 | |
Lumos Networks Corp. | 1,023 | 9 | |
* | Neutral Tandem Inc. | 618 | 7 |
140 | |||
Utilities (4.1%) | |||
Avista Corp. | 3,951 | 100 | |
Piedmont Natural Gas Co. | |||
Inc. | 2,636 | 82 | |
UIL Holdings Corp. | 2,114 | 74 | |
Southwest Gas Corp. | 1,679 | 72 | |
Laclede Group Inc. | 1,519 | 64 | |
New Jersey Resources Corp. | 1,290 | 58 | |
ALLETE Inc. | 1,120 | 47 | |
UNS Energy Corp. | 1,089 | 44 | |
NorthWestern Corp. | 1,181 | 43 | |
Northwest Natural Gas Co. | 742 | 36 | |
El Paso Electric Co. | 1,020 | 34 | |
CH Energy Group Inc. | 393 | 26 | |
680 | |||
Total Common Stocks | |||
(Cost $14,505) | 16,431 |
Market | ||
Value | ||
Shares | ($000) | |
Temporary Cash Investment (0.0%) | ||
Money Market Fund (0.0%) | ||
1 Vanguard Market Liquidity | ||
Fund, 0.158% (Cost $5) | 4,625 | 5 |
Total Investments (99.9%) | ||
(Cost $14,510) | 16,436 | |
Other Assets and Liabilities (0.1%) | ||
Other Assets | 19 | |
Liabilities | (8) | |
11 | ||
ETF Shares—Net Assets (100%) | ||
Applicable to 250,000 outstanding | ||
$.001 par value shares of beneficial | ||
interest (unlimited authorization) | 16,447 | |
Net Asset Value Per Share— | ||
ETF Shares | $65.79 |
At August 31, 2012, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 15,236 |
Undistributed Net Investment Income | 160 |
Accumulated Net Realized Losses | (875) |
Unrealized Appreciation (Depreciation) | 1,926 |
Net Assets | 16,447 |
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.
35
S&P Small-Cap 600 Value Index Fund
Statement of Operations
Year Ended | |
August 31, 2012 | |
($000) | |
Investment Income | |
Income | |
Dividends | 271 |
Interest1 | 1 |
Total Income | 272 |
Expenses | |
The Vanguard Group—Note B | |
Management and Administrative | 4 |
Custodian Fees | 6 |
Auditing Fees | 20 |
Shareholders’ Reports | 1 |
Total Expenses | 31 |
Net Investment Income | 241 |
Realized Net Gain (Loss) on Investment Securities Sold | 199 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 2,022 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,462 |
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.
36
S&P Small-Cap 600 Value Index Fund
Statement of Changes in Net Assets
Sept. 7, | ||
Year Ended | 20101 to | |
August 31, | August 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 241 | 129 |
Realized Net Gain (Loss) | 199 | 319 |
Change in Unrealized Appreciation (Depreciation) | 2,022 | (96) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,462 | 352 |
Distributions | ||
Net Investment Income | ||
Institutional Shares | — | — |
ETF Shares | (163) | (37) |
Realized Capital Gain | ||
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (163) | (37) |
Capital Share Transactions | ||
Institutional Shares | — | (1) |
ETF Shares | (22) | 13,856 |
Net Increase (Decrease) from Capital Share Transactions | (22) | 13,855 |
Total Increase (Decrease) | 2,277 | 14,170 |
Net Assets | ||
Beginning of Period | 14,170 | — |
End of Period2 | 16,447 | 14,170 |
1 Inception.
2 Net Assets—End of Period includes undistributed net investment income of $160,000 and $82,000.
See accompanying Notes, which are an integral part of the Financial Statements.
37
S&P Small-Cap 600 Value Index Fund
Financial Highlights
ETF Shares
Year | Sept. 7, | |
Ended | 20101 to | |
August 31, | 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 | .960 | .741 |
Net Realized and Unrealized Gain (Loss) on Investments | 8.801 | 6.519 |
Total from Investment Operations | 9.761 | 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 | $65.79 | $56.68 |
Total Return | 17.33% | 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 | 1.56% | 1.32%2 |
Portfolio Turnover Rate3 | 29% | 70% |
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.
38
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 August 31, 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 all open federal income tax years (August 31, 2011–2012), 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 August 31, 2012, the fund had contributed capital of $2,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.00% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
At August 31, 2012, 100% of the market value of the fund’s investments was determined based on Level 1 inputs.
39
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 year ended August 31, 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.
For tax purposes, at August 31, 2012, the fund had $160,000 of ordinary income available for distribution. At August 31, 2012, the fund had available capital losses totaling $875,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2012, the cost of investment securities for tax purposes was $14,510,000. Net unrealized appreciation of investment securities for tax purposes was $1,926,000, consisting of unrealized gains of $2,664,000 on securities that had risen in value since their purchase and $738,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the year ended August 31, 2012, the fund purchased $7,285,000 of investment securities and sold $7,231,000 of investment securities, other than temporary cash investments. Purchases and sales include $2,868,000 and $2,519,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
F. Capital share transactions for each class of shares were:
Year Ended | Inception1 to | |||
August 31, 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 | 2,868 | 50 | 22,271 | 400 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (2,890) | (50) | (8,415) | (150) |
Net Increase (Decrease)—ETF Shares | (22) | — | 13,856 | 250 |
1 Inception was September 7, 2010, for ETF Shares. Institutional Shares were first issued on December 15, 2010; the sole shareholder redeemed shortly thereafter. As of August 31, 2012, there were no investors in the Institutional share class.
G. In preparing the financial statements as of August 31, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
40
S&P Small-Cap 600 Growth Index Fund
Fund Profile
As of August 31, 2012
Portfolio Characteristics | |||
S&P | DJ | ||
SmallCap | U.S. Total | ||
600 Growth | Market | ||
Fund | Index | Index | |
Number of Stocks | 328 | 328 | 3,678 |
Median Market Cap | $1.4B | $1.4B | $34.9B |
Price/Earnings Ratio | 20.3x | 20.3x | 16.3x |
Price/Book Ratio | 2.5x | 2.5x | 2.1x |
Return on Equity | 13.9% | 13.9% | 18.1% |
Earnings Growth Rate | 11.7% | 11.7% | 10.5% |
Dividend Yield | 0.9% | 0.9% | 2.0% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 45% | — | — |
Ticker Symbol | VIOG | — | — |
Expense Ratio1 | 0.20% | — | — |
30-Day SEC Yield | 0.76% | — | — |
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 15.3% | 15.3% | 12.1% | |
Consumer Staples | 5.5 | 5.5 | 9.8 |
Energy | 3.2 | 3.2 | 10.2 |
Financials | 14.3 | 14.3 | 15.9 |
Health Care | 16.7 | 16.7 | 11.7 |
Industrials | 11.6 | 11.6 | 10.6 |
Information Technology 24.5 | 24.5 | 19.5 | |
Materials | 4.5 | 4.5 | 3.8 |
Telecommunication | |||
Services | 0.3 | 0.3 | 2.8 |
Utilities | 4.1 | 4.1 | 3.6 |
Ten Largest Holdings (% of total net assets) | ||
Cubist Pharmaceuticals | ||
Inc. | Biotechnology | 1.1% |
Mid-America Apartment | ||
Communities Inc. | Residential REITs | 1.1 |
ProAssurance Corp. | Property & Casualty | |
Insurance | 1.1 | |
Cirrus Logic Inc. | Semiconductors | 1.1 |
Questcor | ||
Pharmaceuticals Inc. | Pharmaceuticals | 1.0 |
Salix Pharmaceuticals | ||
Ltd. | Pharmaceuticals | 1.0 |
Teledyne Technologies | Aerospace & | |
Inc. | Defense | 0.9 |
Wolverine World Wide | ||
Inc. | Footwear | 0.9 |
CommVault Systems | ||
Inc. | Systems Software | 0.9 |
Toro Co. | Construction & | |
Farm Machinery & | ||
Heavy Trucks | 0.9 | |
Top Ten | 10.0% |
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 fiscal year ended August 31, 2012, the expense ratio was 0.20%.
41
S&P Small-Cap 600 Growth Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: September 7, 2010, Through August 31, 2012
Initial Investment of $10,000
Average Annual Total Returns | |||
Periods Ended August 31, 2012 | |||
Since | Final Value | ||
One | Inception | of a $10,000 | |
Year | (9/7/2010) | Investment | |
S&P Small-Cap 600 Growth Index | |||
Fund ETF Shares Net Asset Value | 16.17% | 19.93% | $14,336 |
S&P Small-Cap 600 Growth Index | |||
Fund ETF Shares Market Price | 16.19 | 19.91 | 14,330 |
S&P SmallCap 600 Growth Index | 16.37 | 20.17 | 14,392 |
Small-Cap Growth Funds Average | 11.62 | 15.39 | 13,281 |
Dow Jones U.S. Total Stock Market | |||
Index | 16.74 | 15.72 | 13,355 |
Small-Cap Growth Funds Average: Derived from data provided by Lipper Inc.
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
See Financial Highlights for dividend and capital gains information.
42
S&P Small-Cap 600 Growth Index Fund
Cumulative Returns of ETF Shares: September 7, 2010, Through August 31, 2012
Since | ||
One | Inception | |
Year | (9/7/2010) | |
S&P Small-Cap 600 Growth Index FundETF | ||
Shares Market Price | 16.19% | 43.30% |
S&P Small-Cap 600 Growth Index FundETF | ||
Shares Net Asset Value | 16.17 | 43.36 |
S&P SmallCap 600 Growth Index | 16.37 | 43.92 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards. |
Fiscal-Year Total Returns (%): September 7, 2010, Through August 31, 2012
S&P Small-Cap 600 Growth Index Fund ETF Shares Net Asset Value |
S&P SmallCap 600 Growth Index |
Average Annual Total Returns: Periods Ended June 30, 2012
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 | 1.01% | 20.32% | |
Net Asset Value | 0.99 | 20.34 |
43
S&P Small-Cap 600 Growth Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 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 (15.3%) | |||
Wolverine World Wide Inc. | 2,702 | 127 | |
* | Genesco Inc. | 1,352 | 95 |
* | Steven Madden Ltd. | 2,185 | 94 |
* | Coinstar Inc. | 1,732 | 89 |
* | Vitamin Shoppe Inc. | 1,630 | 87 |
* | Hibbett Sports Inc. | 1,452 | 84 |
* | Buffalo Wild Wings Inc. | 1,028 | 79 |
* | Children’s Place Retail Stores | ||
Inc. | 1,342 | 76 | |
* | Jos A Bank Clothiers Inc. | 1,547 | 75 |
Buckle Inc. | 1,512 | 69 | |
Monro Muffler Brake Inc. | 1,715 | 58 | |
* | BJ’s Restaurants Inc. | 1,349 | 55 |
* | Peet’s Coffee & Tea Inc. | 735 | 54 |
* | Iconix Brand Group Inc. | 2,823 | 53 |
Cracker Barrel Old Country | |||
Store Inc. | 838 | 53 | |
* | Papa John’s International Inc. | 1,001 | 52 |
Arbitron Inc. | 1,464 | 51 | |
* | Lumber Liquidators Holdings | ||
Inc. | 1,066 | 50 | |
Pool Corp. | 1,235 | 49 | |
* | DineEquity Inc. | 874 | 46 |
Sturm Ruger & Co. Inc. | 1,062 | 46 | |
Hillenbrand Inc. | 2,330 | 42 | |
* | Fifth & Pacific Cos. Inc. | 3,029 | 40 |
* | iRobot Corp. | 1,515 | 38 |
Brunswick Corp. | 1,593 | 38 | |
* | Select Comfort Corp. | 1,315 | 38 |
Texas Roadhouse Inc. | |||
Class A | 1,998 | 34 | |
* | American Public Education | ||
Inc. | 995 | 34 | |
True Religion Apparel Inc. | 1,428 | 33 | |
Finish Line Inc. Class A | 1,432 | 33 | |
Ryland Group Inc. | 1,179 | 32 | |
* | Crocs Inc. | 1,794 | 31 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Helen of Troy Ltd. | 997 | 31 |
CEC Entertainment Inc. | 1,007 | 30 | |
Cato Corp. Class A | 967 | 28 | |
* | Biglari Holdings Inc. | 79 | 28 |
* | Blue Nile Inc. | 688 | 26 |
* | rue21 inc | 876 | 25 |
* | Zumiez Inc. | 822 | 24 |
* | Capella Education Co. | 746 | 23 |
* | Shuffle Master Inc. | 1,349 | 20 |
Interval Leisure Group Inc. | 1,012 | 19 | |
Oxford Industries Inc. | 329 | 18 | |
Blyth Inc. | 410 | 17 | |
* | Maidenform Brands Inc. | 690 | 15 |
Universal Technical Institute | |||
Inc. | 715 | 9 | |
* | Multimedia Games Holding | ||
Co. Inc. | 530 | 8 | |
* | Kirkland’s Inc. | 475 | 5 |
2,161 | |||
Consumer Staples (5.5%) | |||
Casey’s General Stores Inc. | 2,107 | 119 | |
* | Hain Celestial Group Inc. | 1,560 | 108 |
* | TreeHouse Foods Inc. | 1,989 | 103 |
* | United Natural Foods Inc. | 1,598 | 92 |
* | Darling International Inc. | 3,060 | 51 |
* | Boston Beer Co. Inc. Class A | 472 | 49 |
Sanderson Farms Inc. | 1,081 | 48 | |
J&J Snack Foods Corp. | 804 | 46 | |
WD-40 Co. | 880 | 43 | |
B&G Foods Inc. Class A | 1,237 | 36 | |
Snyders-Lance Inc. | 1,117 | 26 | |
* | Medifast Inc. | 778 | 22 |
Diamond Foods Inc. | 734 | 14 | |
Calavo Growers Inc. | 430 | 11 | |
Inter Parfums Inc. | 473 | 8 | |
776 | |||
Energy (3.3%) | |||
* | SEACOR Holdings Inc. | 1,169 | 101 |
Lufkin Industries Inc. | 1,860 | 97 |
44
15
S&P Small-Cap 600 Growth Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
* | Approach Resources Inc. | 1,521 | 44 |
* | Gulfport Energy Corp. | 1,652 | 43 |
* | Hornbeck Offshore Services | ||
Inc. | 1,004 | 39 | |
* | Contango Oil & Gas Co. | 702 | 39 |
* | OYO Geospace Corp. | 355 | 33 |
* | PDC Energy Inc. | 670 | 19 |
* | ION Geophysical Corp. | 2,245 | 15 |
* | Cloud Peak Energy Inc. | 818 | 14 |
* | Pioneer Energy Services Corp. | 1,472 | 11 |
* | Basic Energy Services Inc. | 574 | 6 |
461 | |||
Financials (14.3%) | |||
Mid-America Apartment | |||
Communities Inc. | 2,270 | 154 | |
ProAssurance Corp. | 1,699 | 152 | |
Tanger Factory Outlet | |||
Centers | 3,024 | 101 | |
Kilroy Realty Corp. | 2,069 | 98 | |
Extra Space Storage Inc. | 2,816 | 96 | |
Post Properties Inc. | 1,664 | 85 | |
EastGroup Properties Inc. | 1,565 | 84 | |
* | First Cash Financial Services | ||
Inc. | 1,583 | 71 | |
PS Business Parks Inc. | 1,032 | 70 | |
Cash America International | |||
Inc. | 1,631 | 63 | |
Entertainment Properties | |||
Trust | 1,373 | 63 | |
RLI Corp. | 931 | 59 | |
* | Ezcorp Inc. Class A | 2,454 | 56 |
* | Stifel Financial Corp. | 1,685 | 55 |
UMB Financial Corp. | 1,117 | 55 | |
* | World Acceptance Corp. | 724 | 53 |
Sovran Self Storage Inc. | 868 | 49 | |
* | Financial Engines Inc. | 2,218 | 47 |
* | Texas Capital Bancshares | ||
Inc. | 950 | 44 | |
Healthcare Realty Trust Inc. | 1,780 | 43 | |
Acadia Realty Trust | 1,584 | 39 | |
Infinity Property & Casualty | |||
Corp. | 652 | 37 | |
First Financial Bankshares | |||
Inc. | 989 | 34 | |
Colonial Properties Trust | 1,403 | 31 | |
LTC Properties Inc. | 909 | 31 | |
Bank of the Ozarks Inc. | 924 | 30 | |
Community Bank System | |||
Inc. | 999 | 28 | |
* | Virtus Investment Partners | ||
Inc. | 323 | 28 | |
Oritani Financial Corp. | 1,857 | 27 | |
First Financial Bancorp | 1,459 | 24 | |
ViewPoint Financial Group | |||
Inc. | 1,232 | 23 |
Market | |||
Value | |||
Shares | ($000) | ||
Universal Health Realty | |||
Income Trust | 461 | 20 | |
Saul Centers Inc. | 453 | 19 | |
CVB Financial Corp. | 1,484 | 18 | |
Home BancShares Inc. | 510 | 16 | |
Tompkins Financial Corp. | 410 | 16 | |
Sabra Health Care REIT Inc. | 816 | 16 | |
* | Navigators Group Inc. | 318 | 15 |
PacWest Bancorp | 617 | 14 | |
City Holding Co. | 365 | 12 | |
* | eHealth Inc. | 746 | 12 |
Urstadt Biddle Properties Inc. | |||
Class A | 616 | 12 | |
Inland Real Estate Corp. | 1,342 | 11 | |
* | Hanmi Financial Corp. | 593 | 7 |
2,018 | |||
Health Care (16.7%) | |||
* | Cubist Pharmaceuticals Inc. | 3,511 | 162 |
* | Questcor Pharmaceuticals | ||
Inc. | 3,330 | 145 | |
* | Salix Pharmaceuticals Ltd. | 3,212 | 141 |
* | Haemonetics Corp. | 1,403 | 103 |
* | ViroPharma Inc. | 3,858 | 103 |
* | Align Technology Inc. | 2,592 | 88 |
* | Medicines Co. | 3,050 | 78 |
* | Centene Corp. | 1,908 | 77 |
* | Magellan Health Services Inc. | 1,510 | 75 |
* | Par Pharmaceutical Cos. Inc. | 1,502 | 75 |
* | Air Methods Corp. | 633 | 74 |
* | MWI Veterinary Supply Inc. | 707 | 71 |
Chemed Corp. | 1,063 | 70 | |
* | Cyberonics Inc. | 1,378 | 69 |
West Pharmaceutical | |||
Services Inc. | 1,220 | 58 | |
* | Akorn Inc. | 3,759 | 52 |
* | Neogen Corp. | 1,307 | 51 |
* | NuVasive Inc. | 2,390 | 50 |
Analogic Corp. | 682 | 47 | |
* | Abaxis Inc. | 1,201 | 45 |
* | Medidata Solutions Inc. | 1,243 | 44 |
* | PAREXEL International Corp. | 1,458 | 42 |
* | IPC The Hospitalist Co. Inc. | 920 | 41 |
* | Luminex Corp. | 2,082 | 40 |
Quality Systems Inc. | 2,189 | 39 | |
* | ICU Medical Inc. | 689 | 38 |
* | PSS World Medical Inc. | 1,757 | 38 |
* | Momenta Pharmaceuticals | ||
Inc. | 2,457 | 35 | |
* | Spectrum Pharmaceuticals | ||
Inc. | 2,898 | 35 | |
* | Amsurg Corp. Class A | 1,100 | 32 |
* | Integra LifeSciences | ||
Holdings Corp. | 806 | 32 | |
Computer Programs | |||
& Systems Inc. | 619 | 31 |
45
15
S&P Small-Cap 600 Growth Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Landauer Inc. | 522 | 31 | |
Ensign Group Inc. | 928 | 27 | |
* | HealthStream Inc. | 855 | 24 |
Meridian Bioscience Inc. | 1,329 | 23 | |
* | Bio-Reference Labs Inc. | 852 | 22 |
* | Hi-Tech Pharmacal Co. Inc. | 584 | 21 |
* | Greatbatch Inc. | 896 | 21 |
Cantel Medical Corp. | 771 | 20 | |
* | Merit Medical Systems Inc. | 1,392 | 20 |
* | Arqule Inc. | 3,460 | 18 |
* | Corvel Corp. | 354 | 16 |
* | Emergent Biosolutions Inc. | 932 | 14 |
* | Omnicell Inc. | 762 | 11 |
* | SurModics Inc. | 271 | 5 |
* | Enzo Biochem Inc. | 758 | 1 |
2,355 | |||
Industrials (11.6%) | |||
* | Teledyne Technologies Inc. | 2,039 | 132 |
Toro Co. | 3,311 | 123 | |
Robbins & Myers Inc. | 1,749 | 105 | |
* | Portfolio Recovery Associates | ||
Inc. | 946 | 95 | |
* | Old Dominion Freight Line Inc. | 1,882 | 84 |
* | Moog Inc. Class A | 1,634 | 60 |
Franklin Electric Co. Inc. | 1,050 | 57 | |
* | II-VI Inc. | 3,033 | 56 |
* | Allegiant Travel Co. Class A | 839 | 56 |
Forward Air Corp. | 1,610 | 54 | |
* | Tetra Tech Inc. | 2,068 | 54 |
Applied Industrial | |||
Technologies Inc. | 1,284 | 52 | |
AO Smith Corp. | 929 | 51 | |
Healthcare Services Group | |||
Inc. | 2,378 | 50 | |
Lindsay Corp. | 706 | 46 | |
AZZ Inc. | 1,406 | 45 | |
Cubic Corp. | 870 | 44 | |
UniFirst Corp. | 625 | 40 | |
* | Exponent Inc. | 739 | 39 |
* | Hub Group Inc. Class A | 1,194 | 36 |
Belden Inc. | 931 | 32 | |
Tennant Co. | 702 | 29 | |
American Science | |||
& Engineering Inc. | 494 | 29 | |
Watts Water Technologies | |||
Inc. Class A | 800 | 29 | |
Kaman Corp. | 788 | 26 | |
* | Encore Capital Group Inc. | 891 | 25 |
Simpson Manufacturing Co. | |||
Inc. | 982 | 25 | |
* | Aerovironment Inc. | 1,036 | 25 |
Knight Transportation Inc. | 1,470 | 21 | |
National Presto Industries | |||
Inc. | 270 | 20 |
Market | |||
Value | |||
Shares | ($000) | ||
Heartland Express Inc. | 1,368 | 18 | |
Kaydon Corp. | 691 | 15 | |
CIRCOR International Inc. | 391 | 12 | |
Cascade Corp. | 228 | 11 | |
AAON Inc. | 566 | 10 | |
* | Engility Holdings Inc. | 475 | 9 |
* | Consolidated Graphics Inc. | 297 | 8 |
* | Dolan Co. | 1,705 | 6 |
* | Vicor Corp. | 557 | 3 |
* | NCI Building Systems Inc. | 304 | 3 |
1,635 | |||
Information Technology (24.4%) | |||
* | Cirrus Logic Inc. | 3,573 | 149 |
* | CommVault Systems Inc. | 2,471 | 125 |
MAXIMUS Inc. | 1,882 | 102 | |
* | Cymer Inc. | 1,710 | 97 |
* | ViaSat Inc. | 2,392 | 93 |
Cognex Corp. | 2,371 | 86 | |
* | Sourcefire Inc. | 1,629 | 84 |
* | OSI Systems Inc. | 1,098 | 81 |
* | Hittite Microwave Corp. | 1,553 | 81 |
* | CACI International Inc. | ||
Class A | 1,480 | 79 | |
FEI Co. | 1,451 | 78 | |
* | NETGEAR Inc. | 2,098 | 77 |
j2 Global Inc. | 2,559 | 75 | |
* | Veeco Instruments Inc. | 2,152 | 74 |
* | JDA Software Group Inc. | 2,365 | 73 |
* | Microsemi Corp. | 3,491 | 69 |
* | Liquidity Services Inc. | 1,312 | 69 |
Littelfuse Inc. | 1,206 | 62 | |
Blackbaud Inc. | 2,511 | 61 | |
* | Manhattan Associates Inc. | 1,124 | 57 |
* | Synaptics Inc. | 1,865 | 57 |
* | MicroStrategy Inc. Class A | 449 | 56 |
* | Tyler Technologies Inc. | 1,366 | 55 |
Power Integrations Inc. | 1,569 | 54 | |
* | OpenTable Inc. | 1,245 | 53 |
* | Stratasys Inc. | 787 | 51 |
MKS Instruments Inc. | 1,837 | 50 | |
* | 3D Systems Corp. | 1,066 | 47 |
* | Kulicke & Soffa Industries | ||
Inc. | 4,091 | 46 | |
* | Netscout Systems Inc. | 1,920 | 46 |
MTS Systems Corp. | 890 | 45 | |
* | LivePerson Inc. | 2,711 | 45 |
Cabot Microelectronics Corp. | 1,304 | 43 | |
* | Cardtronics Inc. | 1,515 | 43 |
Ebix Inc. | 1,735 | 42 | |
Heartland Payment | |||
Systems Inc. | 1,338 | 41 | |
* | GT Advanced Technologies | ||
Inc. | 6,548 | 38 | |
* | FARO Technologies Inc. | 931 | 37 |
46
S&P Small-Cap 600 Growth Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
* | DealerTrack Holdings Inc. | 1,295 | 36 |
* | Synchronoss Technologies | ||
Inc. | 1,513 | 35 | |
* | Blucora Inc. | 2,217 | 34 |
* | Volterra Semiconductor Corp. | 1,404 | 33 |
* | Ultratech Inc. | 984 | 32 |
* | Websense Inc. | 2,059 | 32 |
* | Progress Software Corp. | 1,638 | 31 |
* | TriQuint Semiconductor Inc. | 5,409 | 30 |
* | Bottomline Technologies Inc. | 1,329 | 30 |
Tessera Technologies Inc. | 1,873 | 29 | |
* | comScore Inc. | 1,956 | 28 |
* | Entropic Communications | ||
Inc. | 4,918 | 27 | |
* | LogMeIn Inc. | 1,185 | 26 |
OPNET | 819 | 26 | |
* | Interactive Intelligence | ||
Group Inc. | 816 | 24 | |
Forrester Research Inc. | 819 | 24 | |
* | Monolithic Power Systems | ||
Inc. | 1,107 | 24 | |
* | CSG Systems International | ||
Inc. | 1,121 | 24 | |
* | Diodes Inc. | 1,265 | 23 |
* | DTS Inc. | 1,038 | 23 |
* | Rogers Corp. | 572 | 23 |
* | Ceva Inc. | 1,284 | 21 |
* | Higher One Holdings Inc. | 1,667 | 20 |
Brooks Automation Inc. | 2,511 | 20 | |
* | Exar Corp. | 2,534 | 19 |
* | ExlService Holdings Inc. | 724 | 19 |
Badger Meter Inc. | 545 | 18 | |
* | Measurement Specialties | ||
Inc. | 555 | 18 | |
* | Stamps.com Inc. | 759 | 17 |
Micrel Inc. | 1,685 | 17 | |
* | Rofin-Sinar Technologies Inc. | 754 | 16 |
* | Monotype Imaging Holdings | ||
Inc. | 1,025 | 15 | |
* | ATMI Inc. | 767 | 14 |
Park Electrochemical Corp. | 495 | 13 | |
* | iGATE Corp. | 765 | 12 |
* | Oplink Communications Inc. | 673 | 11 |
* | Dice Holdings Inc. | 1,301 | 10 |
EPIQ Systems Inc. | 839 | 10 | |
* | Nanometrics Inc. | 643 | 10 |
* | Mercury Computer Systems | ||
Inc. | 918 | 9 | |
* | Virtusa Corp. | 503 | 8 |
* | TeleTech Holdings Inc. | 501 | 8 |
* | Rubicon Technology Inc. | 975 | 8 |
* | QuinStreet Inc. | 912 | 8 |
* | Kopin Corp. | 1,699 | 6 |
Market | |||
Value | |||
Shares | ($000) | ||
* | VASCO Data Security | ||
International Inc. | 615 | 6 | |
* | STR Holdings Inc. | 1,446 | 5 |
* | Supertex Inc. | 260 | 4 |
3,457 | |||
Materials (4.5%) | |||
Balchem Corp. | 1,623 | 59 | |
Innophos Holdings Inc. | 1,209 | 57 | |
Schweitzer-Mauduit | |||
International Inc. | 1,726 | 56 | |
Buckeye Technologies Inc. | 1,447 | 44 | |
Eagle Materials Inc. | 910 | 39 | |
HB Fuller Co. | 1,273 | 39 | |
Deltic Timber Corp. | 605 | 37 | |
Globe Specialty Metals Inc. | 2,319 | 34 | |
Stepan Co. | 330 | 32 | |
* | KapStone Paper and | ||
Packaging Corp. | 1,513 | 30 | |
* | Clearwater Paper Corp. | 777 | 29 |
AMCOL International Corp. | 832 | 25 | |
* | Kraton Performance | ||
Polymers Inc. | 1,015 | 22 | |
Haynes International Inc. | 441 | 21 | |
Quaker Chemical Corp. | 420 | 20 | |
Hawkins Inc. | 501 | 19 | |
* | LSB Industries Inc. | 511 | 19 |
* | Calgon Carbon Corp. | 1,364 | 19 |
Koppers Holdings Inc. | 545 | 18 | |
American Vanguard Corp. | 497 | 15 | |
* | Headwaters Inc. | 1,428 | 9 |
643 | |||
Telecommunication Services (0.3%) | |||
Atlantic Tele-Network Inc. | 521 | 20 | |
* | Neutral Tandem Inc. | 1,268 | 14 |
* | General Communication Inc. | ||
Class A | 827 | 7 | |
41 | |||
Utilities (4.1%) | |||
South Jersey Industries Inc. | 1,689 | 85 | |
Piedmont Natural Gas Co. Inc. | 1,849 | 58 | |
New Jersey Resources Corp. | 1,245 | 56 | |
UNS Energy Corp. | 1,333 | 53 | |
Southwest Gas Corp. | 1,178 | 50 | |
American States Water Co. | 1,046 | 46 | |
El Paso Electric Co. | 1,374 | 45 | |
Northwest Natural Gas Co. | 881 | 43 | |
ALLETE Inc. | 930 | 39 | |
NorthWestern Corp. | 1,053 | 39 | |
UIL Holdings Corp. | 1,071 | 38 | |
CH Energy Group Inc. | 503 | 33 | |
585 | |||
Total Common Stocks | |||
(Cost $12,568) | 14,132 |
47
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, 0.158% (Cost $6) | 6,132 | 6 |
Total Investments (100.0%) | ||
(Cost $12,574) | 14,138 | |
Other Assets and Liabilities (0.0%) | ||
Other Assets | 13 | |
Liabilities | (11) | |
2 | ||
ETF Shares—Net Assets (100%) | ||
Applicable to 200,000 outstanding | ||
$.001 par value shares of beneficial | ||
interest (unlimited authorization) | 14,140 | |
Net Asset Value Per Share—ETF Shares | $70.70 |
At August 31, 2012, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 13,217 |
Undistributed Net Investment Income | 99 |
Accumulated Net Realized Losses | (740) |
Unrealized Appreciation (Depreciation) | 1,564 |
Net Assets | 14,140 |
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.
48
S&P Small-Cap 600 Growth Index Fund
Statement of Operations
Year Ended | |
August 31, 2012 | |
($000) | |
Investment Income | |
Income | |
Dividends | 185 |
Interest1 | 1 |
Total Income | 186 |
Expenses | |
The Vanguard Group—Note B | |
Management and Administrative | 6 |
Custodian Fees | 7 |
Auditing Fees | 20 |
Shareholders’ Reports | 3 |
Total Expenses | 36 |
Net Investment Income | 150 |
Realized Net Gain (Loss) on Investment Securities Sold | 2,513 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 90 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,753 |
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.
49
S&P Small-Cap 600 Growth Index Fund
Statement of Changes in Net Assets
Sept. 7, | ||
Year Ended | 20101 to | |
August 31, | August 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 150 | 97 |
Realized Net Gain (Loss) | 2,513 | 104 |
Change in Unrealized Appreciation (Depreciation) | 90 | 1,474 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,753 | 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 | (16,044) | 25,909 |
Net Increase (Decrease) from Capital Share Transactions | (16,044) | 25,904 |
Total Increase (Decrease) | (13,392) | 27,532 |
Net Assets | ||
Beginning of Period | 27,532 | — |
End of Period2 | 14,140 | 27,532 |
1 Inception.
2 Net Assets—End of Period includes undistributed net investment income of $99,000 and $50,000.
See accompanying Notes, which are an integral part of the Financial Statements.
50
S&P Small-Cap 600 Growth Index Fund
Financial Highlights
ETF Shares
Year | Sept. 7, | |
Ended | 20101 to | |
August 31, | 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 | .5312 | .422 |
Net Realized and Unrealized Gain (Loss) on Investments | 9.326 | 11.248 |
Total from Investment Operations | 9.857 | 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 | $70.70 | $61.18 |
Total Return | 16.17% | 23.41% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $14 | $28 |
Ratio of Total Expenses to Average Net Assets | 0.20% | 0.20%3 |
Ratio of Net Investment Income to Average Net Assets | 0.83% | 0.78%3 |
Portfolio Turnover Rate4 | 45% | 106% |
1 Inception.
2 Calculated based on average shares outstanding.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
51
S&P Small-Cap 600 Growth Index Fund
Notes to Financial Statements
Vanguard S&P Small-Cap 600 Growth Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: Institutional Shares and ETF Shares. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. Institutional Shares were first issued on December 15, 2010; the sole shareholder redeemed shortly thereafter. As of August 31, 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 all open federal income tax years (August 31, 2011–2012), 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 August 31, 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 August 31, 2012, 100% of the market value of the fund’s investments was determined based on Level 1 inputs.
52
S&P Small-Cap 600 Growth Index Fund
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the year ended August 31, 2012, the fund realized $2,664,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
For tax purposes, at August 31, 2012, the fund had $110,000 ordinary income available for distribution. At August 31, 2012, the fund had available capital losses totaling $751,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2012, the cost of investment securities for tax purposes was $12,574,000. Net unrealized appreciation of investment securities for tax purposes was $1,564,000, consisting of unrealized gains of $2,228,000 on securities that had risen in value since their purchase and $664,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the year ended August 31, 2012, the fund purchased $11,349,000 of investment securities and sold $27,326,000 of investment securities, other than temporary cash investments. Purchases and sales include $3,107,000 and $17,830,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
F. Capital share transactions for each class of shares were:
Year Ended | Inception1 to | |||
August 31, 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 | 3,107 | 50 | 28,955 | 500 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (19,151) | (300) | (3,046) | (50) |
Net Increase (Decrease)—ETF Shares | (16,044) | (250) | 25,909 | 450 |
1 Inception was September 7, 2010, for ETF Shares. Institutional Shares were first issued on December 15, 2010; the sole shareholder redeemed shortly thereafter. As of August 31, 2012, there were no investors in the Institutional share class.
G. In preparing the financial statements as of August 31, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
53
Report of Independent Registered
Public Accounting Firm
To the Trustees of Vanguard Admiral Funds and the Shareholders of Vanguard S&P Small-Cap 600 Index Fund, Vanguard S&P Small-Cap 600 Value Index Fund and Vanguard S&P Small-Cap 600 Growth Index Fund:
In our opinion, the accompanying statements of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard S&P Small-Cap 600 Index Fund, Vanguard S&P Small-Cap 600 Value Index Fund and Vanguard S&P Small-Cap 600 Growth Index Fund (constituting separate portfolios of Vanguard Admiral Funds, hereafter referred to as the “Funds”) at August 31, 2012, and the results of each of their operations for the year then ended, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at August 31, 2012 by correspondence with the custodian and by agreement to the underlying ownership records of Vanguard Market Liquidity Fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 16, 2012
54
Special 2012 tax information (unaudited) for Vanguard S&P Small-Cap 600 Index Funds |
This information for the fiscal year ended August 31, 2012, is included pursuant to provisions of |
the Internal Revenue Code. |
The funds distributed qualified dividend income to shareholders during the fiscal year as follows: |
Qualified Dividend Income | |
Fund | ($000) |
S&P Small-Cap 600 Index Fund | 669 |
S&P Small-Cap 600 Value Index Fund | 135 |
S&P Small-Cap 600 Growth Index Fund | 80 |
For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends-received deduction is as follows:
Fund | Percentage |
S&P Small-Cap 600 Index Fund | 87.3% |
S&P Small-Cap 600 Value Index Fund | 91.9 |
S&P Small-Cap 600 Growth Index Fund | 100.0 |
55
Your Fund’s After-Tax Returns
This table presents returns for your fund both before and after taxes. The after-tax returns are shown in two ways: (1) assuming that an investor owned the fund during the entire period and paid taxes on the fund’s distributions, and (2) assuming that an investor paid taxes on the fund’s distributions and sold all shares at the end of each period.
Calculations are based on the highest individual federal income tax and capital gains tax rates in effect at the times of the distributions and the hypothetical sales. State and local taxes were not considered. After-tax returns reflect any qualified dividend income , using actual prior-year figures and estimates for 2012. (In the example, returns after the sale of fund shares may be higher than those assuming no sale. This occurs when the sale would have produced a capital loss. The calculation assumes that the investor received a tax deduction for the loss.)
The table shows returns for ETF Shares only; returns for other share classes will differ. Please note that your actual after-tax returns will depend on your tax situation and may differ from those shown. Also note that if you own the fund in a tax-deferred account, such as an individual retirement account or a 401(k) plan, this information does not apply to you. Such accounts are not subject to current taxes.
Finally, keep in mind that a fund’s performance—whether before or after taxes—does not guarantee future results.
Average Annual Total Returns: S&P Small Cap 600 Index Funds
Periods Ended August 31, 2012
Since | ||
One | Inception | |
Year | (9/7/2010) | |
S&P Small-Cap 600 Index Fund ETF Shares | ||
Returns Before Taxes | 16.66% | 17.91% |
Returns After Taxes on Distributions | 16.48 | 17.75 |
Returns After Taxes on Distributions and Sale of Fund Shares | 10.94 | 15.34 |
Since | ||
One | Inception | |
Year | (9/7/2010) | |
S&P Small-Cap 600 Value Index Fund ETF Shares | ||
Returns Before Taxes | 17.33% | 16.08% |
Returns After Taxes on Distributions | 17.10 | 15.89 |
Returns After Taxes on Distributions and Sale of Fund Shares | 11.44 | 13.75 |
Since | ||
One | Inception | |
Year | (9/7/2010) | |
S&P Small-Cap 600 Growth Index Fund ETF Shares | ||
Returns Before Taxes | 16.17% | 19.93% |
Returns After Taxes on Distributions | 16.05 | 19.82 |
Returns After Taxes on Distributions and Sale of Fund Shares | 10.59 | 17.12 |
56
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.
57
Six Months Ended August 31, 2012
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
2/29/2012 | 8/31/2012 | Period | |
Based on Actual Fund Return | |||
S&P Small-Cap 600 Index Fund | |||
Institutional Shares | $1,000.00 | $1,021.35 | $0.41 |
ETF Shares | 1,000.00 | 1,020.98 | 0.76 |
S&P Small-Cap 600 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,010.44 | $1.01 |
S&P Small-Cap 600 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,031.06 | $1.02 |
Based on Hypothetical 5% Yearly Return | |||
S&P Small-Cap 600 Index Fund | |||
Institutional Shares | $1,000.00 | $1,024.80 | $0.41 |
ETF Shares | 1,000.00 | 1,024.45 | 0.77 |
S&P Small-Cap 600 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,024.20 | $1.02 |
S&P Small-Cap 600 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,024.20 | $1.02 |
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.
58
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard S&P Small-Cap 600 Index Fund, S&P Small-Cap 600 Value Index Fund, and S&P Small-Cap 600 Growth Index Fund has renewed the funds’ investment advisory arrangement with The Vanguard Group, Inc. Vanguard—through its Equity Investment Group—serves as investment advisor to the funds. The board determined that continuing the funds’ internalized management structure was in the best interest of the funds and their shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board considered the quality of the investment management services provided to the funds since their inception in 2010, and took into account the organizational depth and stability of the advisor. The board noted that Vanguard has been managing investments for more than three decades. The Equity Investment Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted approval of the advisory arrangement.
Investment performance
The board considered the funds’ performance since their inception, including any periods of outperformance or underperformance of their target indexes and peer groups. The board concluded that the funds have performed in line with expectations, and that their results have been consistent with their investment strategies. Information about each fund’s most recent performance can be found in the Performance Summary pages of this report.
Cost
The board concluded that each fund’s expense ratio was well below the average expense ratios charged by funds in its respective peer group and that the funds’ advisory fee rates were also well below their peer group averages. Information about the funds’ expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements sections.
The board does not conduct a profitability analysis of Vanguard, because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the funds’ low-cost arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangement again after a one-year period.
59
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.
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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.
InterestedTrustee1 | and Delphi Automotive LLP (automotive components); |
Senior Advisor at New Mountain Capital; Trustee of | |
F. William McNabb III | The Conference Board. |
Born 1957. Trustee Since July 2009. Chairman of the | |
Board. Principal Occupation(s) During the Past Five | Amy Gutmann |
Years: Chairman of the Board of The Vanguard Group, | Born 1949. Trustee Since June 2006. Principal |
Inc., and of each of the investment companies served | Occupation(s) During the Past Five Years: President |
by The Vanguard Group, since January 2010; Director | of the University of Pennsylvania; Christopher H. |
of The Vanguard Group since 2008; Chief Executive | Browne Distinguished Professor of Political Science |
Officer and President of The Vanguard Group and of | in the School of Arts and Sciences with secondary |
each of the investment companies served by The | appointments at the Annenberg School for |
Vanguard Group since 2008; Director of Vanguard | Communication and the Graduate School of Education |
Marketing Corporation; Managing Director of The | of the University of Pennsylvania; Member of the |
Vanguard Group (1995–2008). | National Commission on the Humanities and Social |
Sciences; Trustee of Carnegie Corporation of New | |
York and of the National Constitution Center; Chair | |
IndependentTrustees | of the U. S. Presidential Commission for the Study |
of Bioethical Issues. | |
Emerson U. Fullwood | |
Born 1948. Trustee Since January 2008. Principal | JoAnn Heffernan Heisen |
Occupation(s) During the Past Five Years: Executive | Born 1950. Trustee Since July 1998. Principal |
Chief Staff and Marketing Officer for North America | Occupation(s) During the Past Five Years: Corporate |
and Corporate Vice President (retired 2008) of Xerox | Vice President and Chief Global Diversity Officer |
Corporation (document management products and | (retired 2008) and Member of the Executive |
services); Executive in Residence and 2010 | Committee (1997–2008) of Johnson & Johnson |
Distinguished Minett Professor at the Rochester | (pharmaceuticals/medical devices/consumer |
Institute of Technology; Director of SPX Corporation | products); Director of Skytop Lodge Corporation |
(multi-industry manufacturing), the United Way of | (hotels), the University Medical Center at Princeton, |
Rochester, Amerigroup Corporation (managed health | the Robert Wood Johnson Foundation, and the Center |
care), the University of Rochester Medical Center, | for Talent Innovation; Member of the Advisory Board |
Monroe Community College Foundation, and North | of the Maxwell School of Citizenship and Public Affairs |
Carolina A&T University. | at Syracuse University. |
Rajiv L. Gupta | F. Joseph Loughrey |
Born 1945. Trustee Since December 2001.2 | Born 1949. Trustee Since October 2009. Principal |
Principal Occupation(s) During the Past Five Years: | Occupation(s) During the Past Five Years: President |
Chairman and Chief Executive Officer (retired 2009) | and Chief Operating Officer (retired 2009) of Cummins |
and President (2006–2008) of Rohm and Haas Co. | Inc. (industrial machinery); Director of SKF AB |
(chemicals); Director of Tyco International, Ltd. | (industrial machinery), Hillenbrand, Inc. (specialized |
(diversified manufacturing and services), Hewlett- | consumer services), the Lumina Foundation for |
Packard Co. (electronic computer manufacturing), | |
Education, and Oxfam America; Chairman of the | Executive Officers | |
Advisory Council for the College of Arts and Letters | ||
and Member of the Advisory Board to the Kellogg | Glenn Booraem | |
Institute for International Studies at the University | Born 1967. Controller Since July 2010. Principal | |
of Notre Dame. | Occupation(s) During the Past Five Years: Principal | |
of The Vanguard Group, Inc.; Controller of each of | ||
Mark Loughridge | the investment companies served by The Vanguard | |
Born 1953. Trustee Since March 2012. Principal | Group; Assistant Controller of each of the investment | |
Occupation(s) During the Past Five Years: Senior Vice | companies served by The Vanguard Group (2001–2010) | |
President and Chief Financial Officer at IBM (information | ||
technology services); Fiduciary Member of IBM’s | Thomas J. Higgins | |
Retirement Plan Committee. | Born 1957. Chief Financial Officer Since September | |
2008. Principal Occupation(s) During the Past Five | ||
Scott C. Malpass | Years: Principal of The Vanguard Group, Inc.; Chief | |
Born 1962. Trustee Since March 2012. Principal | Financial Officer of each of the investment companies | |
Occupation(s) During the Past Five Years: Chief | served by The Vanguard Group; Treasurer of each of | |
Investment Officer and Vice President at the University | the investment companies served by The Vanguard | |
of Notre Dame; Assistant Professor of Finance at the | Group (1998–2008). | |
Mendoza College of Business at Notre Dame; Member | ||
of the Notre Dame 403(b) Investment Committee; | Kathryn J. Hyatt | |
Director of TIFF Advisory Services, Inc. (investment | Born 1955. Treasurer Since November 2008. Principal | |
advisor); Member of the Investment Advisory | Occupation(s) During the Past Five Years: Principal of | |
Committees of the Financial Industry Regulatory | The Vanguard Group, Inc.; Treasurer of each of the | |
Authority (FINRA) and of Major League Baseball. | investment companies served by The Vanguard | |
Group; Assistant Treasurer of each of the investment | ||
André F. Perold | companies served by The Vanguard Group (1988–2008) | |
Born 1952. Trustee Since December 2004. Principal | ||
Occupation(s) During the Past Five Years: George | Heidi Stam | |
Gund Professor of Finance and Banking at the Harvard | Born 1956. Secretary Since July 2005. Principal | |
Business School (retired 2011); Chief Investment | Occupation(s) During the Past Five Years: Managing | |
Officer and Managing Partner of HighVista Strategies | Director of The Vanguard Group, Inc.; General Counsel | |
LLC (private investment firm); Director of Rand | of The Vanguard Group; Secretary of The Vanguard | |
Merchant Bank; Overseer of the Museum of Fine | Group and of each of the investment companies | |
Arts Boston. | served by The Vanguard Group; Director and Senior | |
Vice President of Vanguard Marketing Corporation. | ||
Alfred M. Rankin, Jr. | ||
Born 1941. Trustee Since January 1993. Principal | ||
Occupation(s) During the Past Five Years: Chairman, | Vanguard Senior ManagementTeam | |
President, and Chief Executive Officer of NACCO | ||
Industries, Inc. (forklift trucks/housewares/lignite); | Mortimer J. Buckley | Michael S. Miller |
Director of Goodrich Corporation (industrial products/ | Kathleen C. Gubanich | James M. Norris |
aircraft systems and services) and the National | Paul A. Heller | Glenn W. Reed |
Association of Manufacturers; Chairman of the Board | Martha G. King | George U. Sauter |
of the Federal Reserve Bank of Cleveland and of | Chris D. McIsaac | |
University Hospitals of Cleveland; Advisory Chairman | ||
of the Board of The Cleveland Museum of Art. | ||
Chairman Emeritus and Senior Advisor | ||
Peter F. Volanakis | ||
Born 1955. Trustee Since July 2009. Principal | John J. Brennan | |
Occupation(s) During the Past Five Years: President | Chairman, 1996–2009 | |
and Chief Operating Officer (retired 2010) of Corning | Chief Executive Officer and President, 1996–2008 | |
Incorporated (communications equipment); Director | ||
of SPX Corporation (multi-industry manufacturing); | ||
Overseer of the Amos Tuck School of Business | Founder | |
Administration at Dartmouth College; Advisor to the | ||
Norris Cotton Cancer Center. | John C. Bogle | |
Chairman and Chief Executive Officer, 1974–1996 | ||
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, 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. | |
Q18450 102012 |
Item 2: Code of Ethics. The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. The Code of Ethics was amended during the reporting period covered by this report to make certain technical, non-material changes.
Item 3: Audit Committee Financial Expert. The following members of the Audit Committee have been determined by the Registrant’s Board of Trustees to be Audit Committee Financial Experts serving on its Audit Committee, and to be independent: Rajiv L. Gupta, Amy Gutmann, JoAnn Heffernan Heisen, F. Joseph Loughrey, Mark Loughridge, Scott C. Malpass, André F. Perold, and Alfred M. Rankin, Jr.
Item 4: Principal Accountant Fees and Services.
(a) Audit Fees.
Audit Fees of the Registrant
Fiscal Year Ended August 31, 2012: $168,000 Fiscal Year Ended August 31, 2011: $79,000
Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.
Fiscal Year Ended August 31, 2012: $4,809,780
Fiscal Year Ended August 31, 2011: $3,978,540
(b) Audit-Related Fees.
Fiscal Year Ended August 31, 2012: $1,812,565
Fiscal Year Ended August 31, 2011: $1,341,750
Includes fees billed in connection with assurance and related services provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group.
(c) Tax Fees.
Fiscal Year Ended August 31, 2012: $490,518
Fiscal Year Ended August 31, 2011: $373,830
Includes fees billed in connection with tax compliance, planning and advice services provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group and related to income and excise taxes.
(d) All Other Fees.
Fiscal Year Ended August 31, 2012: $16,000
Fiscal Year Ended August 31, 2011: $16,000
Includes fees billed for services related to risk management and privacy matters. Services were provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group.
(e) (1) Pre-Approval Policies. The policy of the Registrant’s Audit Committee is to consider and, if appropriate, approve before the principal accountant is engaged for such services, all specific audit and non-audit services provided to: (1) the Registrant; (2) The Vanguard Group, Inc.; (3) other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant; and (4) other registered investment companies in the Vanguard Group. In making a determination, the Audit Committee considers whether the services are consistent with maintaining the principal accountant’s independence.
In the event of a contingency situation in which the principal accountant is needed to provide services in between scheduled Audit Committee meetings, the Chairman of the Audit Committee would be called on to consider and, if appropriate, pre-approve audit or permitted non-audit services in an amount sufficient to complete services through the next Audit Committee meeting, and to determine if such services would be consistent with maintaining the accountant’s independence. At the next scheduled Audit Committee meeting, services and fees would be presented to the Audit Committee for formal consideration, and, if appropriate, approval by the entire Audit Committee. The Audit Committee would again consider whether such services and fees are consistent with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee is informed at least annually of all audit and non-audit services provided by the principal accountant to the Vanguard complex, whether such services are provided to: (1) the Registrant; (2) The Vanguard Group, Inc.; (3) other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant; or (4) other registered investment companies in the Vanguard Group.
(2) No percentage of the principal accountant’s fees or services were approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) For the most recent fiscal year, over 50% of the hours worked under the principal accountant’s engagement were not performed by persons other than full-time, permanent employees of the principal accountant.
(g) Aggregate Non-Audit Fees.
Fiscal Year Ended August 31, 2012: $506,518
Fiscal Year Ended August 31, 2011: $389,830
Includes fees billed for non-audit services provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group.
(h) For the most recent fiscal year, the Audit Committee has determined that the provision of all non-audit services was consistent with maintaining the principal accountant’s independence.
Item 5: Audit Committee of Listed Registrants.
The Registrant is a listed issuer as defined in rule 10A-3 under the Securities Exchange Act of 1934 (“Exchange Act”). The Registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act. The Registrant’s audit committee members are: Emerson U. Fullwood, Rajiv L. Gupta, Amy Gutmann, JoAnn Heffernan Heisen, F. Joseph Loughrey, Mark Loughridge, Scott C. Malpass, André F. Perold, Alfred M. Rankin, Jr., and Peter F. Volanakis.
Item 6: Investments.
Not Applicable.
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not Applicable.
Item 8: Portfolio Managers of Closed-End Management Investment Companies.
Not Applicable.
Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not Applicable.
Item 10: Submission of Matters to a Vote of Security Holders.
Not Applicable.
Item 11: Controls and Procedures.
(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant's Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
(b) Internal Control Over Financial Reporting. There were no significant changes in Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12: Exhibits.
(a) Code of Ethics. (b) Certifications.
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
VANGUARD ADMIRAL FUNDS | |
By: | /s/ F. WILLIAM MCNABB III* |
F. WILLIAM MCNABB III | |
CHIEF EXECUTIVE OFFICER | |
Date: October 17, 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: October 17, 2012 |
VANGUARD ADMIRAL FUNDS | |
By: | /s/ THOMAS J. HIGGINS* |
THOMAS J. HIGGINS | |
CHIEF FINANCIAL OFFICER | |
Date: October 17, 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.