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, 2013 – August 31, 2014 | |
Item 1: Reports to Shareholders |
Annual Report | August 31, 2014
Vanguard Money Market Funds
Vanguard Prime Money Market Fund
Vanguard Federal Money Market Fund
Vanguard Admiral™ Treasury Money Market Fund
The mission continues
On May 1, 1975, Vanguard began operations, a fledgling company based on the simple but revolutionary idea that a mutual fund company should be managed solely in the interest of its investors.
Four decades later, that revolutionary spirit continues to animate the enterprise. Vanguard remains on a mission to give investors the best chance of investment success.
As we mark our 40th anniversary, we thank you for entrusting your assets to Vanguard and giving us the opportunity to help you reach your financial goals in the decades to come.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
Advisor’s Report. | 8 |
Prime Money Market Fund. | 10 |
Federal Money Market Fund. | 30 |
Admiral Treasury Money Market Fund. | 42 |
About Your Fund’s Expenses. | 54 |
Trustees Approve Advisory Arrangements. | 56 |
Glossary. | 57 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice.
Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the
risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: Since our founding, Vanguard has drawn inspiration from the enterprise and valor demonstrated by British
naval hero Horatio Nelson and his command at the Battle of the Nile in 1798. The photograph displays a replica of a merchant
ship from the same era as Nelson’s flagship, the HMS Vanguard.
Your Fund’s Total Returns
Fiscal Year Ended August 31, 2014 | ||
7-Day | Total | |
SEC Yield | Returns | |
Vanguard Prime Money Market Fund | ||
Investor Shares | 0.01% | 0.02% |
Money Market Funds Average | 0.00 | |
Institutional Shares | 0.05% | 0.06% |
Institutional Money Market Funds Average | 0.00 | |
Money Market Funds Average and Institutional Money Market Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||
Vanguard Federal Money Market Fund | 0.01% | 0.02% |
Government Money Market Funds Average | 0.00 | |
Government Money Market Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||
Vanguard Admiral Treasury Money Market Fund | 0.01% | 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.
Chairman’s Letter
Dear Shareholder,
While longer-term interest rates rose and then fell over the 12 months ended August 31, 2014, very short-term interest rates remained anchored near zero. As a consequence, money market funds provided little in the way of income.
Vanguard Prime Money Market Fund returned 0.02% for Investor Shares, and its Institutional Shares, with their lower expense ratio, returned 0.06%. Vanguard Federal Money Market Fund returned 0.02% and Vanguard Admiral Treasury Money Market Fund 0.01%. Those slim returns were nevertheless more than the 0.00% average return of each of their peer groups.
The funds’ 7-day SEC yields were little changed from a year earlier. As of August 31, the yield of the Prime Money Market Fund held steady at 0.01% for Investor Shares and ticked up from 0.04% to 0.05% for Institutional Shares. The yield of the Federal Money Market Fund slipped from 0.02% to 0.01%, and that of the Admiral Treasury Money Market Fund stood unchanged at 0.01%.
On a separate note, the Securities and Exchange Commission adopted a number of changes in July to money market fund regulations. With these changes, and the significant safeguards it adopted in 2010, the SEC has issued a strong response to those who believe that institutional money market funds pose a systemic risk to the
financial markets. The vast majority of investors in Vanguard money market funds will not be affected by the changes. A brief overview of the new rules can be found in the box on page 7.
Fixed income saw solid gains both at home and abroad
The broad U.S. taxable bond market returned 5.66% for the period, rallying from the drubbing it took a year ago. Municipal bonds fared even better, returning 10.14% as greater investor appetite for tax-exempt income drove up demand and as a decline in new issues limited supply.
International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned 6.52%. The European Central Bank continued its monetary easing, which included the unprecedented step of lowering a key interest rate below zero, to –0.10%, to try to avert deflation and induce banks to lend and thus fuel economic growth. The central banks of Japan and China implemented stimulus measures as well.
Following such a strong advance for bonds, it’s worth remembering that the current low yields imply lower future returns: As yields drop, the scope for further declines—and increases in prices—diminishes.
Stocks cleared hurdles en route to new highs
Despite an assortment of challenges, the broad U.S. stock market recorded an impressive return of about 25% for the 12 months ended August 31. U.S. stocks
Market Barometer | |||
Average Annual Total Returns Periods Ended August 31, 2014 | |||
One Year | Three Years | Five Years | |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable | |||
market) | 5.66% | 2.91% | 4.48% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 10.14 | 4.88 | 5.39 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.04 | 0.04 | 0.07 |
Stocks | |||
Russell 1000 Index (Large-caps) | 25.36% | 20.80% | 17.24% |
Russell 2000 Index (Small-caps) | 17.68 | 19.00 | 17.03 |
Russell 3000 Index (Broad U.S. market) | 24.74 | 20.65 | 17.22 |
FTSE All-World ex US Index (International) | 18.04 | 9.48 | 8.44 |
CPI | |||
Consumer Price Index | 1.70% | 1.64% | 1.96% |
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registered positive results in all but two months, and a late-July swoon was followed by an August flurry of record highs.
Investors applauded mostly solid corporate earnings, generally upbeat economic news, and the Federal Reserve’s continued accommodative policies. Still, turmoil in the Middle East and Ukraine, economic worries in Europe and China, and uncertainty about the Fed’s next moves pressured stocks at different times.
International stocks returned about 18%. Emerging markets, after sliding earlier in the period, rebounded to lead the way. The developed markets of the Pacific region and Europe trailed but still notched double-digit returns.
Despite very low rates, the advisor eked out incremental income
Bonds have confounded expectations so far in 2014. The markets had anticipated that yields, which had been rising across the board toward the end of 2013, would continue to do so once the Fed began scaling back its unprecedented bond-buying program. That proved to be the case for some shorter-dated bonds, but a revival in investor demand for longer-dated securities sent their yields in the opposite direction even as the Fed pulled back on its purchases.
The yield of the 10-year U.S. Treasury note fell to 2.34% as of August 31, from 2.76% 12 months earlier, and the 30-year Treasury fell to 3.08% from 3.72%. In contrast, the yield of the 3-month Treasury bill ended
Expense Ratios | ||
Your Fund Compared With Its Peer Group | ||
Peer Group Average | ||
Fund | ||
Prime Money Market | ||
Investor Shares | 0.17% | 0.23% |
Institutional Shares | 0.10 | 0.21 |
Federal Money Market | 0.14 | 0.14 |
Admiral Treasury Money Market | 0.09 | 0.12 |
The fund expense ratios shown are from the prospectus dated December 23, 2013, and represent estimated costs for the current fiscal year.
For the fiscal year ended August 31, 2014, the funds’ expense ratios were: for the Prime Money Market Fund, 0.14% for Investor Shares and
0.10% for Institutional Shares; for the Federal Money Market Fund, 0.09%; for the Admiral Treasury Money Market Fund, 0.05%. The expense
ratios for the Prime Money Market Fund Investor Shares, 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 Prime Money Market Fund Investor Shares, 0.16%; for the Federal Money Market Fund, 0.11%; for the Admiral
Treasury Money Market Fund, 0.09%.
Peer groups: For the Prime Money Market Fund Investor Shares, Money Market Funds, and for the Institutional Shares, Institutional
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
the period at 0.03%, and that of the 6-month bill at 0.06%, both very near where they had started.
Even in this environment, the funds’ advisor, Vanguard Fixed Income Group, was able to find some relative value opportunities among U.S. government securities, which are the focus of the Admiral Treasury and Federal Money Market Funds and make up a significant part of the Prime Money Market Fund as well.
The Prime Money Market Fund, which has a broader investment mandate than the other funds, was able to increase its diversification and make a little more income over the 12 months by adding to its overseas holdings. While lightening the fund’s allocation to U.S. government obligations and commercial paper, the fund’s advisor selectively added high-quality European debt offering attractive yields. The decision to reenter the European market reflects the region’s progress in stabilizing its economy and financial system. The fund continued to hold Australian and Canadian debt as well. (All securities the fund invests in are denominated in U.S. dollars to avoid currency risk.)
The advisor also saw relative value in some new types of securities launched in 2014. They included repurchase agreements with the Fed as the counterparty, which were bought by the Prime Money Market Fund, and a two-year floating-rate note issued by the Treasury, which the advisor included in the Admiral Treasury Money Market Fund.
Total Returns Ten Years Ended August 31, 2014 | |
Average Annual Return | |
Prime Money Market Fund Investor Shares | 1.69% |
Money Market Funds Average | 1.35 |
Money Market Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
Federal Money Market Fund | 1.62% |
Government Money Market Funds Average | 1.31 |
Government Money Market Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
Admiral Treasury Money Market Fund | 1.52% |
iMoneyNet Money Fund Report’s 100% Treasury Funds Average | 1.16 |
iMoneyNet Money Fund Report’s 100% Treasury Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
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
For more information about the advisor’s strategies and the funds’ positioning during the year, please see the Advisor’s Report that follows this letter.
Gains that came early on buoyed the three funds’ ten-year returns
Although Fed monetary policy has translated into very low returns for the three funds since the financial crisis began, gains made before then helped lift their performance over the last decade. For the ten years ended August 31, 2014, the average annual return for the Prime Money Market Fund was 1.69% for Investor Shares and 1.82% for Institutional Shares. The Federal Money Market Fund returned a little less than that, 1.62%, and the Admiral Treasury Money Market Fund 1.52%. It’s pleasing to note that all three funds outpaced the average annual returns of their peer funds by 24 to 36 basis points, not insignificant margins given how low yields have been. (A basis point is one-hundredth of a percentage point.)
High costs don’t equal strong fund performance
The adage “You get what you pay for” doesn’t apply to mutual funds. In fact, the reverse is true: Research suggests that higher costs are consistent with weaker returns. (See, for example, Shopping for Alpha: You Get What You Don’t Pay For at vanguard.com/research.)
Changes in Yields | ||
SEC 7-Day Annualized Yield | ||
August 31, | August 31, | |
Money Market Fund | 2014 | 2013 |
Prime | ||
Investor Shares | 0.01% | 0.01% |
Institutional Shares | 0.05 | 0.04 |
Federal | 0.01 | 0.02 |
Admiral Treasury | 0.01 | 0.01 |
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Wouldn’t paying the highest fees allow you to purchase the services of the greatest talents, and therefore get you the best returns? As it turns out, the data don’t support that argument. The explanation is simple: Every dollar paid for management fees is a dollar less earning potential return. Keeping expenses down can help narrow the gap between what the markets return and what investors actually earn.
That’s why Vanguard seeks to minimize costs on all our funds. Indexing, of course, is the purest expression of low-cost investing. And we negotiate low fees for our actively managed funds, which are run by world-class advisors. It’s a strategy that reflects decades of experience and research, boiled down to one tenet: The less you pay, the more you keep.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
September 11, 2014
New rules on money funds won’t affect most Vanguard investors |
New rules governing money market funds garnered significant attention over the summer. But under these rules, approved by the Securities and Exchange Commission (SEC), it will be business as usual for the vast majority of Vanguard clients invested in such funds. A key point is that money market funds catering to individual investors will be allowed to continue to seek to maintain a stable $1 share price, or net asset value (NAV). |
The SEC has put in place a new framework that will enable a fund’s board of directors to address a “run on the fund” by imposing redemption fees or even suspending redemptions. The board will be able to take these measures when the fund’s liquidity—the percentage of its assets invested in securities that may be readily traded in the market—falls below a certain predefined level. |
More extensive changes are in store for institutional money market funds, which proved more susceptible to large-scale redemptions during the 2008–2009 financial crisis. Most significantly, these funds will have to shift from a fixed share price to a floating NAV. |
Although some rules must be implemented sooner, the compliance date for the core reforms is in autumn 2016, which gives investors time to find alternatives if they wish. We will no doubt be reporting to you again as we work through the implications of these changes for our clients and our lineup of funds. |
7
Advisor’s Report
With short-term interest rates hovering near zero for more than five years now, money market instruments yielded little return for the fiscal year ended August 31, 2014. Vanguard Prime Money Market Fund returned 0.02% for Investor Shares and 0.06% for Institutional Shares. Vanguard Federal Money Market Fund returned 0.02% and Vanguard Admiral Treasury Money Market Fund 0.01%. While those returns are frustratingly low, the funds continued to fulfill their crucial role for investors as a very liquid, high-quality cash management vehicle.
The investment environment
Bond yields drifted higher toward the end of 2013 in anticipation that the Federal Reserve would start dialing back its bond purchases given what it deemed to be sufficient underlying strength in the economy. But yields at the longer end of the curve reversed course in the new year, in part because the economy unexpectedly contracted in the first quarter. Severe winter weather took a toll on housing, consumer spending, and employment; that in turn made any imminent rise in interest rates seem less probable. So, too, did forward guidance from the Fed that it was likely to keep rates low even after its bond-buying ended.
A revival in demand in 2014 for longer-term bonds also contributed to the drop in their yields. Some investors began to rebalance their portfolios out of equities and into bonds after last year’s strong run-up in the stock market. More demand also came from international buyers who saw relative value in U.S. bonds. And heightened tensions in Eastern Europe and the Middle East drove more risk-averse investors to turn to bonds as a safe harbor for their assets.
For money market instruments, however, yields remained close to zero throughout the fiscal year.
Portfolio adjustments
As you may have heard, the Securities and Exchange Commission (SEC) announced in July a number of changes to money market fund regulations. The changes aim to ensure greater stability and transparency for these funds. (See page 7.) We expect these changes to have minimal impact on our money market funds, which are already conservatively managed.
As we have a very broad and active credit-review process, European bank debt came back on our radar early this fiscal year because of improvements in the region’s economies and in balance sheets since the financial crisis. In particular, our analysis identified opportunities for the Prime Money Market Fund to further diversify and capture some incremental yield from debt issued by British and Northern European banks. Along with Canadian and Australian debt, the fund’s exposure to foreign securities totaled about 37% of the fund’s assets at the end of the period.
The Prime Money Market Fund also began investing in repurchase agreements with the Fed as the counterparty. In these “repos,” the fund pays cash and receives Treasury bonds from the Fed overnight; in return, the fund receives its money back the next day plus an agreed-upon amount of interest. One attraction of the repos is
8
their very high credit quality given that the counterparty is the Fed. These securities also qualify as weekly liquidity, which makes them useful in light of the new SEC regulations.
In the Admiral Treasury Money Market Fund, we have begun to include 2-year floating-rate Treasury notes. They offer some additional yield over a 3-month Treasury bill as well as some diversification in a portfolio whose choices are limited to securities backed by the full faith and credit of the U.S. government.
The outlook
We expect growth in the U.S. economy to pick up, allowing the Fed to stay on schedule with ending its bond purchases later this year and to begin slowly tightening the federal funds rate sometime in 2015. The tightening is likely to end, however, at a level below the historical average.
As the eventual tightening of monetary policy is likely to be accompanied by an increase in market volatility, we will stand ready to take advantage of any price dislocations that may arise.
We are also entering the new fiscal year with weighted average maturities in the Prime and Federal Money Market Funds a little shorter than they were this time last year. That will give us the dry powder to take advantage of opportunities to invest in higher-yielding securities even if they lengthen the funds’ average maturity.
Whatever the markets may bring, our experienced team of portfolio managers, traders, and credit analysts will continue to seek out ways to produce competitive returns.
David R. Glocke, Principal
Vanguard Fixed Income Group
September 17, 2014
9
Prime Money Market Fund
Fund Profile
As of August 31, 2014
Financial Attributes | ||
Investor | Institutional | |
Shares | Shares | |
Ticker Symbol | VMMXX | VMRXX |
Expense Ratio1 | 0.17% | 0.10% |
7-Day SEC Yield | 0.01% | 0.05% |
Average Weighted | ||
Maturity | 55 days | 55 days |
Sector Diversification (% of portfolio) | |
Certificates of Deposit | 9.3% |
U.S. Commercial Paper | 5.3 |
U.S. Government Obligations | 20.0 |
U.S. Treasury Bills | 25.1 |
Yankee/Foreign | 37.3 |
Other | 3.0 |
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% |
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 nationally recognized statistical rating organizations. Credit-quality ratings are obtained from Barclays and are from Moody's, Fitch, and S&P. The lowest rating for each issue is used. 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. For more information about these ratings, see the Glossary entry for Credit Quality. | |
1 The expense ratios shown are from the prospectus dated December 23, 2013, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2014, the expense ratios were 0.14% for Investor Shares and 0.10% for Institutional Shares. The expense ratio for the Prime Money Market Fund Investor Shares reflects a temporary reduction in operating expenses (described in Note B of the Notes to Financial Statements). Before this reduction, the expense ratio for the Prime Money Market Fund Investor Shares was 0.16%.
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, 2004, Through August 31, 2014
Initial Investment of $10,000
Average Annual Total Returns Periods Ended August 31, 2014 | ||||
Final Value of a $10,000 Investment | ||||
One Year | Five Years | Ten Years | ||
Prime Money Market Fund Investor | ||||
Shares | 0.02% | 0.04% | 1.69% | $11,820 |
Money Market Funds Average | 0.00 | 0.00 | 1.35 | 11,429 |
Citigroup Three-Month U.S. Treasury | ||||
Bill Index | 0.04 | 0.07 | 1.51 | 11,643 |
Money Market Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
Final Value of a $5,000,000 Investment | ||||
One Year | Five Years | Ten Years | ||
Prime Money Market Fund Institutional | ||||
Shares | 0.06% | 0.13% | 1.82% | $5,985,450 |
Institutional Money Market Funds Average | 0.00 | 0.04 | 1.58 | 5,849,666 |
Citigroup Three-Month U.S. Treasury Bill | ||||
Index | 0.04 | 0.07 | 1.51 | 5,821,292 |
See Financial Highlights for dividend information.
11
Prime Money Market Fund
Fiscal-Year Total Returns (%): August 31, 2004, Through August 31, 2014 | Money Market Funds Average Total Returns | |
Investor Shares | ||
Fiscal Year | Total Returns | |
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 |
2013 | 0.02 | 0.00 |
2014 | 0.02 | 0.00 |
7-day SEC yield (8/31/2014): 0.01% | ||
Money Market Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
Average Annual Total Returns: Periods Ended June 30, 2014
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 Date | One Year | Five Years | Ten Years | |
Investor Shares | 6/4/1975 | 0.02% | 0.05% | 1.70% |
Institutional Shares | 10/3/1989 | 0.06 | 0.14 | 1.84 |
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Prime Money Market Fund
Financial Statements
Statement of Net Assets
As of August 31, 2014
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 (44.7%) | |||||
2 | Fannie Mae Discount Notes | 0.075% | 9/8/14 | 68,850 | 68,849 |
2 | Fannie Mae Discount Notes | 0.070% | 10/2/14 | 88,636 | 88,631 |
2 | Fannie Mae Discount Notes | 0.070% | 10/7/14 | 2,316 | 2,316 |
2 | Fannie Mae Discount Notes | 0.065% | 10/22/14 | 50,000 | 49,995 |
3 | Federal Home Loan Bank Discount Notes | 0.070% | 9/5/14 | 431,816 | 431,813 |
3 | Federal Home Loan Bank Discount Notes | 0.070% | 9/10/14 | 534,930 | 534,921 |
3 | Federal Home Loan Bank Discount Notes | 0.070%–0.072% | 9/12/14 | 2,461,927 | 2,461,874 |
3 | Federal Home Loan Bank Discount Notes | 0.079% | 9/17/14 | 6,103 | 6,103 |
3 | Federal Home Loan Bank Discount Notes | 0.079%–0.085% | 9/19/14 | 642,000 | 641,974 |
3 | Federal Home Loan Bank Discount Notes | 0.085% | 9/24/14 | 2,050,000 | 2,049,889 |
3 | Federal Home Loan Bank Discount Notes | 0.084%–0.085% | 9/26/14 | 836,632 | 836,583 |
3 | Federal Home Loan Bank Discount Notes | 0.070% | 10/2/14 | 43,500 | 43,497 |
3 | Federal Home Loan Bank Discount Notes | 0.070% | 10/3/14 | 596,301 | 596,263 |
3 | Federal Home Loan Bank Discount Notes | 0.070%–0.074% | 10/8/14 | 3,150,000 | 3,149,761 |
3 | Federal Home Loan Bank Discount Notes | 0.072%–0.074% | 10/10/14 | 1,165,000 | 1,164,907 |
3 | Federal Home Loan Bank Discount Notes | 0.072% | 10/15/14 | 2,908,900 | 2,908,644 |
3 | Federal Home Loan Bank Discount Notes | 0.070% | 10/17/14 | 909,000 | 908,919 |
3 | Federal Home Loan Bank Discount Notes | 0.065% | 10/22/14 | 25,000 | 24,998 |
3 | Federal Home Loan Bank Discount Notes | 0.065% | 10/24/14 | 1,226,875 | 1,226,758 |
3 | Federal Home Loan Bank Discount Notes | 0.068% | 10/29/14 | 231,000 | 230,975 |
3 | Federal Home Loan Bank Discount Notes | 0.070% | 10/31/14 | 267,450 | 267,419 |
3,4 | Federal Home Loan Banks | 0.136% | 10/1/14 | 150,000 | 149,997 |
3,4 | Federal Home Loan Banks | 0.101% | 11/3/14 | 199,000 | 199,000 |
3,4 | Federal Home Loan Banks | 0.110% | 2/27/15 | 496,000 | 495,975 |
3,4 | Federal Home Loan Banks | 0.117% | 3/10/15 | 97,500 | 97,500 |
2,4 | Federal National Mortgage Assn. | 0.137% | 9/11/14 | 2,350,000 | 2,349,987 |
2,4 | Federal National Mortgage Assn. | 0.125% | 2/27/15 | 3,350,000 | 3,349,588 |
2,4 | Federal National Mortgage Assn. | 0.126% | 8/5/15 | 1,775,000 | 1,774,666 |
2 | Freddie Mac Discount Notes | 0.075% | 9/10/14 | 43,750 | 43,749 |
United States Treasury Bill | 0.083% | 9/11/14 | 250,000 | 249,994 | |
United States Treasury Bill | 0.051% | 11/13/14 | 1,200,000 | 1,199,876 | |
United States Treasury Bill | 0.052%–0.053% | 11/28/14 | 2,500,000 | 2,499,680 | |
United States Treasury Bill | 0.052%–0.055% | 12/4/14 | 2,150,000 | 2,149,699 | |
United States Treasury Bill | 0.065% | 12/11/14 | 500,000 | 499,909 |
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Prime Money Market Fund
Face | Market | |||
Maturity | Amount | Value | ||
Yield1 | Date | ($000) | ($000) | |
United States Treasury Bill | 0.067%–0.068% | 12/18/14 | 1,700,000 | 1,699,657 |
United States Treasury Bill | 0.065% | 1/2/15 | 754,325 | 754,157 |
United States Treasury Bill | 0.058%–0.060% | 1/29/15 | 3,350,000 | 3,349,167 |
United States Treasury Bill | 0.056% | 2/5/15 | 2,840,000 | 2,839,306 |
United States Treasury Bill | 0.050%–0.051% | 2/12/15 | 2,784,800 | 2,784,163 |
United States Treasury Bill | 0.046% | 2/19/15 | 1,000,000 | 999,783 |
5 United States Treasury Bill | 0.046%–0.052% | 2/26/15 | 2,495,000 | 2,494,410 |
United States Treasury Note/Bond | 0.250% | 9/15/14 | 735,000 | 735,034 |
United States Treasury Note/Bond | 0.250% | 9/30/14 | 703,000 | 703,085 |
United States Treasury Note/Bond | 2.375% | 9/30/14 | 396,000 | 396,705 |
United States Treasury Note/Bond | 0.500% | 10/15/14 | 100,000 | 100,046 |
United States Treasury Note/Bond | 2.375% | 10/31/14 | 1,502,000 | 1,507,580 |
United States Treasury Note/Bond | 0.375% | 11/15/14 | 3,080,000 | 3,081,835 |
United States Treasury Note/Bond | 4.250% | 11/15/14 | 767,250 | 773,760 |
United States Treasury Note/Bond | 0.250% | 11/30/14 | 646,000 | 646,283 |
United States Treasury Note/Bond | 2.125% | 11/30/14 | 1,138,000 | 1,143,640 |
United States Treasury Note/Bond | 0.250% | 12/15/14 | 155,000 | 155,082 |
United States Treasury Note/Bond | 4.000% | 2/15/15 | 50,000 | 50,889 |
United States Treasury Note/Bond | 0.250% | 2/28/15 | 361,000 | 361,310 |
United States Treasury Note/Bond | 2.375% | 2/28/15 | 759,500 | 768,166 |
United States Treasury Note/Bond | 0.375% | 3/15/15 | 300,000 | 300,475 |
Total U.S. Government and Agency Obligations (Cost $58,399,242) | 58,399,242 | |||
Commercial Paper (19.5%) | ||||
Finance—Auto (1.2%) | ||||
American Honda Finance Corp. | 0.130% | 9/22/14 | 80,000 | 79,994 |
American Honda Finance Corp. | 0.130% | 9/26/14 | 46,000 | 45,996 |
American Honda Finance Corp. | 0.140% | 10/6/14 | 57,300 | 57,292 |
American Honda Finance Corp. | 0.140% | 11/6/14 | 91,000 | 90,977 |
American Honda Finance Corp. | 0.140% | 11/7/14 | 48,000 | 47,987 |
American Honda Finance Corp. | 0.140% | 11/10/14 | 61,000 | 60,983 |
American Honda Finance Corp. | 0.140% | 11/13/14 | 54,500 | 54,485 |
American Honda Finance Corp. | 0.140% | 11/14/14 | 103,000 | 102,970 |
4 Toyota Motor Credit Corp. | 0.175% | 9/18/14 | 194,000 | 194,000 |
Toyota Motor Credit Corp. | 0.200% | 10/1/14 | 145,500 | 145,476 |
4 Toyota Motor Credit Corp. | 0.196% | 10/31/14 | 158,000 | 158,000 |
4 Toyota Motor Credit Corp. | 0.196% | 11/5/14 | 75,000 | 75,000 |
4 Toyota Motor Credit Corp. | 0.199% | 11/7/14 | 99,000 | 99,000 |
4 Toyota Motor Credit Corp. | 0.196% | 11/13/14 | 54,000 | 54,000 |
4 Toyota Motor Credit Corp. | 0.207% | 12/4/14 | 221,000 | 221,000 |
4 Toyota Motor Credit Corp. | 0.196% | 1/5/15 | 74,000 | 74,000 |
1,561,160 | ||||
Finance—Other (1.3%) | ||||
General Electric Capital Corp. | 0.190% | 9/29/14 | 99,000 | 98,985 |
General Electric Capital Corp. | 0.190% | 10/2/14 | 149,000 | 148,976 |
General Electric Capital Corp. | 0.190% | 11/4/14 | 233,000 | 232,921 |
General Electric Capital Corp. | 0.190% | 11/5/14 | 124,500 | 124,457 |
General Electric Capital Corp. | 0.190% | 11/7/14 | 123,000 | 122,957 |
General Electric Capital Corp. | 0.190% | 11/12/14 | 123,500 | 123,453 |
General Electric Capital Corp. | 0.190% | 11/19/14 | 100,000 | 99,958 |
General Electric Capital Corp. | 0.190% | 12/1/14 | 173,000 | 172,917 |
General Electric Capital Corp. | 0.170% | 12/4/14 | 76,000 | 75,966 |
General Electric Capital Corp. | 0.190% | 12/8/14 | 49,500 | 49,475 |
General Electric Capital Corp. | 0.210% | 2/5/15 | 49,500 | 49,455 |
14
Prime Money Market Fund
Face | Market | ||||
Maturity | Amount | Value | |||
Yield1 | Date | ($000) | ($000) | ||
General Electric Capital Corp. | 0.210% | 2/6/15 | 49,500 | 49,454 | |
General Electric Capital Corp. | 0.200% | 2/13/15 | 99,000 | 98,909 | |
General Electric Capital Corp. | 0.200% | 2/23/15 | 38,750 | 38,712 | |
6 | Govco LLC | 0.180% | 9/16/14 | 76,000 | 75,994 |
6 | Old Line Funding LLC | 0.150% | 9/29/14 | 59,000 | 58,993 |
6 | Old Line Funding LLC | 0.170% | 12/1/14 | 50,027 | 50,006 |
1,671,588 | |||||
Foreign Banks (11.8%) | |||||
4,6 | Australia & New Zealand Banking Group, Ltd. | 0.215% | 9/16/14 | 40,000 | 40,000 |
4,6 | Australia & New Zealand Banking Group, Ltd. | 0.167% | 10/9/14 | 397,000 | 396,998 |
4,6 | Australia & New Zealand Banking Group, Ltd. | 0.165% | 10/24/14 | 377,000 | 377,000 |
4,6 | Australia & New Zealand Banking Group, Ltd. | 0.226% | 11/20/14 | 250,000 | 250,000 |
4,6 | Australia & New Zealand Banking Group, Ltd. | 0.191% | 2/13/15 | 247,500 | 247,494 |
4,6 | Australia & New Zealand Banking Group, Ltd. | 0.225% | 2/25/15 | 417,000 | 417,000 |
4,6 | Australia & New Zealand Banking Group, Ltd. | 0.226% | 3/5/15 | 134,000 | 134,000 |
4,6 | Australia & New Zealand Banking Group, Ltd. | 0.226% | 3/5/15 | 226,000 | 226,000 |
4,6 | Australia & New Zealand Banking Group, Ltd. | 0.228% | 5/7/15 | 247,000 | 246,991 |
4,6 | Australia & New Zealand Banking Group, Ltd. | 0.221% | 5/14/15 | 247,500 | 247,491 |
4,6 | Commonwealth Bank of Australia | 0.225% | 9/25/14 | 750,000 | 750,000 |
4,6 | Commonwealth Bank of Australia | 0.225% | 10/24/14 | 39,500 | 39,502 |
4,6 | Commonwealth Bank of Australia | 0.176% | 11/12/14 | 247,500 | 247,500 |
4,6 | Commonwealth Bank of Australia | 0.226% | 11/28/14 | 90,000 | 90,000 |
4,6 | Commonwealth Bank of Australia | 0.226% | 12/5/14 | 198,000 | 198,000 |
4,6 | Commonwealth Bank of Australia | 0.186% | 12/17/14 | 44,000 | 43,999 |
4,6 | Commonwealth Bank of Australia | 0.226% | 1/16/15 | 142,000 | 141,997 |
4,6 | Commonwealth Bank of Australia | 0.237% | 2/6/15 | 173,000 | 172,996 |
4,6 | Commonwealth Bank of Australia | 0.234% | 2/13/15 | 181,000 | 180,997 |
4,6 | Commonwealth Bank of Australia | 0.225% | 2/20/15 | 223,000 | 222,997 |
4,6 | Commonwealth Bank of Australia | 0.226% | 3/16/15 | 193,000 | 192,995 |
4,6 | Commonwealth Bank of Australia | 0.236% | 3/23/15 | 500,000 | 500,000 |
4,6 | Commonwealth Bank of Australia | 0.236% | 3/30/15 | 530,000 | 529,992 |
6 | DNB Bank ASA | 0.190% | 9/5/14 | 165,000 | 164,996 |
6 | DNB Bank ASA | 0.170% | 10/8/14 | 750,000 | 749,869 |
4,6 | National Australia Funding Delaware Inc. | 0.205% | 2/23/15 | 1,000,000 | 1,000,000 |
6 | Nordea Bank AB | 0.210% | 9/9/14 | 600,000 | 599,972 |
6 | Nordea Bank AB | 0.225% | 10/20/14 | 34,650 | 34,639 |
6 | Nordea Bank AB | 0.225% | 10/23/14 | 120,000 | 119,961 |
6 | Nordea Bank AB | 0.225% | 10/24/14 | 45,000 | 44,985 |
6 | Nordea Bank AB | 0.225% | 10/27/14 | 125,000 | 124,956 |
6 | Skandinaviska Enskilda Banken AB | 0.170% | 9/4/14 | 305,000 | 304,996 |
6 | Skandinaviska Enskilda Banken AB | 0.170% | 9/11/14 | 255,000 | 254,988 |
6 | Skandinaviska Enskilda Banken AB | 0.170% | 10/1/14 | 495,000 | 494,930 |
6 | Skandinaviska Enskilda Banken AB | 0.170% | 10/2/14 | 136,000 | 135,980 |
6 | Svenska Handelsbanken Inc. | 0.220% | 9/26/14 | 375,000 | 374,943 |
6 | Svenska Handelsbanken Inc. | 0.205% | 11/7/14 | 495,000 | 494,811 |
Swedbank AB | 0.165% | 9/12/14 | 197,000 | 196,990 | |
Swedbank AB | 0.165% | 9/18/14 | 200,000 | 199,984 | |
Swedbank AB | 0.165% | 9/23/14 | 150,000 | 149,985 | |
Swedbank AB | 0.165% | 9/24/14 | 150,000 | 149,984 | |
Swedbank AB | 0.170% | 10/6/14 | 76,000 | 75,987 | |
Swedbank AB | 0.180% | 10/7/14 | 167,000 | 166,970 | |
Swedbank AB | 0.170% | 10/8/14 | 153,000 | 152,973 | |
Swedbank AB | 0.170% | 10/9/14 | 153,000 | 152,973 | |
Swedbank AB | 0.170% | 10/10/14 | 13,000 | 12,998 |
15
Prime Money Market Fund
Face | Market | ||||
Maturity | Amount | Value | |||
Yield1 | Date | ($000) | ($000) | ||
Swedbank AB | 0.180% | 10/24/14 | 200,000 | 199,947 | |
Swedbank AB | 0.180% | 10/27/14 | 200,000 | 199,944 | |
Swedbank AB | 0.180% | 10/28/14 | 100,000 | 99,971 | |
Swedbank AB | 0.190% | 10/30/14 | 196,000 | 195,939 | |
Swedbank AB | 0.190% | 10/31/14 | 14,000 | 13,996 | |
Swedbank AB | 0.190% | 11/6/14 | 185,000 | 184,936 | |
4,6 | Westpac Banking Corp. | 0.225% | 9/17/14 | 201,000 | 201,000 |
4,6 | Westpac Banking Corp. | 0.226% | 9/19/14 | 201,000 | 201,000 |
4,6 | Westpac Banking Corp. | 0.225% | 9/22/14 | 1,071,000 | 1,071,000 |
4,6 | Westpac Banking Corp. | 0.226% | 11/14/14 | 97,000 | 97,000 |
4,6 | Westpac Banking Corp. | 0.229% | 12/8/14 | 550,000 | 550,000 |
4,6 | Westpac Banking Corp. | 0.226% | 3/5/15 | 100,000 | 100,006 |
4,6 | Westpac Banking Corp. | 0.226% | 3/13/15 | 42,350 | 42,350 |
4,6 | Westpac Banking Corp. | 0.227% | 7/10/15 | 200,000 | 199,992 |
15,409,900 | |||||
Foreign Governments (1.2%) | |||||
6 | CDP Financial Inc. | 0.150% | 9/9/14 | 49,000 | 48,998 |
6 | CDP Financial Inc. | 0.160% | 9/15/14 | 24,750 | 24,748 |
6 | CDP Financial Inc. | 0.190% | 9/16/14 | 29,750 | 29,748 |
6 | CDP Financial Inc. | 0.160% | 9/18/14 | 19,750 | 19,748 |
6 | CDP Financial Inc. | 0.190% | 10/1/14 | 49,500 | 49,492 |
6 | CDP Financial Inc. | 0.190% | 10/10/14 | 49,500 | 49,490 |
6 | CDP Financial Inc. | 0.190% | 10/28/14 | 39,500 | 39,488 |
6 | CDP Financial Inc. | 0.190% | 10/29/14 | 20,000 | 19,994 |
6 | CDP Financial Inc. | 0.190% | 11/3/14 | 49,500 | 49,484 |
6 | CDP Financial Inc. | 0.190% | 11/4/14 | 24,750 | 24,742 |
6 | CDP Financial Inc. | 0.210% | 11/25/14 | 19,750 | 19,740 |
7 | CPPIB Capital Inc. | 0.140% | 9/2/14 | 248,000 | 247,999 |
7 | CPPIB Capital Inc. | 0.140% | 9/3/14 | 35,000 | 35,000 |
7 | CPPIB Capital Inc. | 0.140% | 9/4/14 | 119,000 | 118,999 |
7 | CPPIB Capital Inc. | 0.140% | 9/12/14 | 118,500 | 118,495 |
7 | CPPIB Capital Inc. | 0.140% | 10/1/14 | 77,000 | 76,991 |
7 | CPPIB Capital Inc. | 0.140% | 10/2/14 | 125,500 | 125,485 |
7 | CPPIB Capital Inc. | 0.140% | 10/6/14 | 136,750 | 136,731 |
7 | PSP Capital Inc. | 0.140% | 9/2/14 | 22,000 | 22,000 |
7 | PSP Capital Inc. | 0.140% | 9/5/14 | 15,000 | 15,000 |
7 | PSP Capital Inc. | 0.140% | 9/10/14 | 42,000 | 41,998 |
7 | PSP Capital Inc. | 0.150% | 9/15/14 | 23,000 | 22,999 |
7 | PSP Capital Inc. | 0.150% | 9/17/14 | 52,000 | 51,997 |
7 | PSP Capital Inc. | 0.160% | 9/22/14 | 30,750 | 30,747 |
7 | PSP Capital Inc. | 0.150% | 10/14/14 | 17,600 | 17,597 |
7 | PSP Capital Inc. | 0.150% | 10/16/14 | 24,000 | 23,995 |
7 | PSP Capital Inc. | 0.160% | 11/19/14 | 43,250 | 43,235 |
7 | PSP Capital Inc. | 0.160% | 11/25/14 | 53,000 | 52,980 |
1,557,920 | |||||
Foreign Industrial (1.3%) | |||||
6 | Anheuser-Busch Inbev Worldwide Inc. | 0.120% | 9/2/14 | 31,700 | 31,700 |
6 | BASF SE | 0.130% | 9/23/14 | 76,000 | 75,994 |
6 | BASF SE | 0.130% | 9/24/14 | 95,000 | 94,992 |
6 | BASF SE | 0.130% | 9/26/14 | 76,000 | 75,993 |
6 | GlaxoSmithKline Finance plc | 0.120% | 9/3/14 | 99,000 | 98,999 |
6 | GlaxoSmithKline Finance plc | 0.120% | 9/15/14 | 146,000 | 145,993 |
6 | GlaxoSmithKline Finance plc | 0.130% | 9/25/14 | 38,000 | 37,997 |
6 | GlaxoSmithKline Finance plc | 0.130% | 9/30/14 | 168,500 | 168,482 |
16
Prime Money Market Fund
Face | Market | |||
Maturity | Amount | Value | ||
Yield1 | Date | ($000) | ($000) | |
6 GlaxoSmithKline Finance plc | 0.140% | 10/2/14 | 99,000 | 98,988 |
6 GlaxoSmithKline Finance plc | 0.140% | 10/8/14 | 123,000 | 122,982 |
6 GlaxoSmithKline Finance plc | 0.140% | 10/14/14 | 107,000 | 106,982 |
6 GlaxoSmithKline Finance plc | 0.155% | 10/31/14 | 231,000 | 230,940 |
6 Nestle Capital Corp. | 0.180% | 1/28/15 | 123,500 | 123,408 |
Nestle Finance International Ltd. | 0.180% | 2/23/15 | 116,000 | 115,899 |
6 Sanofi | 0.130% | 9/19/14 | 39,000 | 38,998 |
6 Sanofi | 0.130% | 9/26/14 | 36,000 | 35,997 |
Toyota Credit Canada Inc. | 0.210% | 9/17/14 | 41,000 | 40,996 |
Toyota Credit Canada Inc. | 0.210% | 9/18/14 | 42,000 | 41,996 |
Toyota Credit Canada Inc. | 0.210% | 10/20/14 | 40,000 | 39,989 |
Toyota Credit Canada Inc. | 0.220% | 1/6/15 | 19,500 | 19,485 |
1,746,810 | ||||
Industrial (2.7%) | ||||
6 Apple Inc. | 0.150% | 11/5/14 | 19,500 | 19,495 |
6 Apple Inc. | 0.150% | 11/10/14 | 20,000 | 19,994 |
6 Chevron Corp. | 0.120% | 9/17/14 | 75,000 | 74,996 |
6 Chevron Corp. | 0.120% | 9/18/14 | 75,000 | 74,996 |
6 Procter & Gamble Co. | 0.160% | 10/23/14 | 49,000 | 48,989 |
6 Procter & Gamble Co. | 0.160% | 10/24/14 | 99,000 | 98,977 |
6 Procter & Gamble Co. | 0.160% | 10/27/14 | 99,000 | 98,975 |
6 Procter & Gamble Co. | 0.160% | 10/30/14 | 72,500 | 72,481 |
6 Procter & Gamble Co. | 0.160% | 10/31/14 | 109,000 | 108,971 |
6 Procter & Gamble Co. | 0.170% | 12/1/14 | 49,500 | 49,479 |
6 The Coca-Cola Co. | 0.180% | 9/2/14 | 49,500 | 49,500 |
6 The Coca-Cola Co. | 0.180% | 9/3/14 | 49,500 | 49,499 |
6 The Coca-Cola Co. | 0.180% | 9/4/14 | 79,500 | 79,499 |
6 The Coca-Cola Co. | 0.180% | 9/5/14 | 79,000 | 78,998 |
6 The Coca-Cola Co. | 0.180% | 9/8/14 | 80,000 | 79,997 |
6 The Coca-Cola Co. | 0.180% | 10/3/14 | 109,000 | 108,983 |
6 The Coca-Cola Co. | 0.180% | 10/9/14 | 148,500 | 148,472 |
6 The Coca-Cola Co. | 0.180% | 10/14/14 | 49,500 | 49,489 |
6 The Coca-Cola Co. | 0.170% | 11/6/14 | 198,750 | 198,688 |
6 The Coca-Cola Co. | 0.170% | 11/12/14 | 49,500 | 49,483 |
6 The Coca-Cola Co. | 0.170% | 11/13/14 | 148,500 | 148,449 |
6 The Coca-Cola Co. | 0.170% | 11/14/14 | 247,500 | 247,414 |
6 The Coca-Cola Co. | 0.170% | 11/17/14 | 124,000 | 123,955 |
6 The Coca-Cola Co. | 0.180% | 1/7/15 | 99,000 | 98,937 |
6 The Coca-Cola Co. | 0.180% | 1/9/15 | 50,000 | 49,967 |
6 The Coca-Cola Co. | 0.190% | 1/29/15 | 198,000 | 197,843 |
6 The Coca-Cola Co. | 0.190% | 1/30/15 | 198,000 | 197,842 |
6 The Coca-Cola Co. | 0.190% | 2/2/15 | 49,500 | 49,460 |
6 The Coca-Cola Co. | 0.190% | 2/5/15 | 74,250 | 74,188 |
6 The Coca-Cola Co. | 0.200% | 2/11/15 | 198,000 | 197,821 |
6 The Coca-Cola Co. | 0.200% | 2/13/15 | 197,500 | 197,319 |
6 The Coca-Cola Co. | 0.200% | 2/18/15 | 97,996 | 97,903 |
6 The Coca-Cola Co. | 0.200% | 2/19/15 | 50,000 | 49,952 |
6 The Coca-Cola Co. | 0.200% | 2/23/15 | 49,000 | 48,952 |
6 The Coca-Cola Co. | 0.200% | 2/25/15 | 50,000 | 49,951 |
6 The Coca-Cola Co. | 0.200% | 2/26/15 | 149,000 | 148,853 |
3,538,767 | ||||
Total Commercial Paper (Cost $25,486,145) | 25,486,145 |
17
Prime Money Market Fund
Face | Market | |||
Maturity | Amount | Value | ||
Yield1 | Date | ($000) | ($000) | |
Certificates of Deposit (31.1%) | ||||
Domestic Banks (7.9%) | ||||
Branch Banking & Trust Co. | 0.190% | 9/24/14 | 455,000 | 455,000 |
Citibank NA | 0.210% | 9/17/14 | 746,000 | 746,000 |
Citibank NA | 0.210% | 9/18/14 | 729,000 | 729,000 |
Citibank NA | 0.200% | 10/1/14 | 985,000 | 985,000 |
Citibank NA | 0.195% | 10/17/14 | 335,000 | 335,000 |
Citibank NA | 0.210% | 11/17/14 | 350,000 | 350,000 |
State Street Bank & Trust Co. | 0.190% | 9/10/14 | 991,000 | 991,000 |
State Street Bank & Trust Co. | 0.200% | 10/1/14 | 500,000 | 500,000 |
State Street Bank & Trust Co. | 0.200% | 10/6/14 | 208,500 | 208,500 |
State Street Bank & Trust Co. | 0.200% | 12/15/14 | 538,000 | 538,000 |
4 State Street Bank & Trust Co. | 0.205% | 12/15/14 | 500,000 | 500,000 |
4 Wells Fargo Bank NA | 0.206% | 11/5/14 | 510,000 | 510,000 |
Wells Fargo Bank NA | 0.210% | 11/6/14 | 395,000 | 395,000 |
4 Wells Fargo Bank NA | 0.227% | 1/29/15 | 612,000 | 612,000 |
4 Wells Fargo Bank NA | 0.227% | 2/11/15 | 495,000 | 495,000 |
4 Wells Fargo Bank NA | 0.196% | 2/20/15 | 360,000 | 360,000 |
4 Wells Fargo Bank NA | 0.226% | 3/3/15 | 480,000 | 480,000 |
4 Wells Fargo Bank NA | 0.225% | 3/24/15 | 400,000 | 400,000 |
4 Wells Fargo Bank NA | 0.226% | 4/1/15 | 160,000 | 160,000 |
4 Wells Fargo Bank NA | 0.235% | 5/15/15 | 420,000 | 420,000 |
4 Wells Fargo Bank NA | 0.236% | 6/4/15 | 70,000 | 70,000 |
10,239,500 | ||||
Eurodollar Certificates of Deposit (1.3%) | ||||
National Australia Bank Ltd. | 0.190% | 9/25/14 | 200,000 | 200,000 |
National Australia Bank Ltd. | 0.190% | 9/26/14 | 525,000 | 525,000 |
National Australia Bank Ltd. | 0.200% | 10/27/14 | 200,000 | 200,000 |
National Australia Bank Ltd. | 0.200% | 10/28/14 | 525,000 | 525,000 |
National Australia Bank Ltd. | 0.210% | 12/4/14 | 255,000 | 255,000 |
1,705,000 | ||||
Yankee Certificates of Deposit (21.9%) | ||||
4 Australia & New Zealand Banking Group, Ltd. | ||||
(New York Branch) | 0.207% | 1/12/15 | 79,000 | 79,000 |
4 Australia & New Zealand Banking Group, Ltd. | ||||
(New York Branch) | 0.223% | 3/9/15 | 50,000 | 49,999 |
4 Bank of Montreal (Chicago Branch) | 0.176% | 9/3/14 | 770,000 | 770,000 |
4 Bank of Montreal (Chicago Branch) | 0.226% | 9/5/14 | 81,150 | 81,150 |
Bank of Montreal (Chicago Branch) | 0.170% | 9/10/14 | 746,000 | 746,000 |
Bank of Montreal (Chicago Branch) | 0.170% | 10/2/14 | 620,000 | 620,000 |
4 Bank of Montreal (Chicago Branch) | 0.186% | 10/14/14 | 493,000 | 493,000 |
4 Bank of Montreal (Chicago Branch) | 0.186% | 11/3/14 | 280,000 | 279,998 |
4 Bank of Montreal (Chicago Branch) | 0.189% | 12/8/14 | 115,000 | 114,994 |
Bank of Nova Scotia (Houston Branch) | 0.180% | 9/15/14 | 700,000 | 699,999 |
Bank of Nova Scotia (Houston Branch) | 0.180% | 9/16/14 | 140,000 | 140,000 |
4 Bank of Nova Scotia (Houston Branch) | 0.185% | 10/27/14 | 350,000 | 349,997 |
4 Bank of Nova Scotia (Houston Branch) | 0.187% | 10/31/14 | 779,000 | 778,993 |
Bank of Nova Scotia (Houston Branch) | 0.200% | 12/4/14 | 645,000 | 645,000 |
Bank of Nova Scotia (Houston Branch) | 0.220% | 12/12/14 | 208,000 | 208,000 |
Bank of Nova Scotia (Houston Branch) | 0.230% | 2/18/15 | 430,000 | 429,990 |
4 Canadian Imperial Bank of Commerce | ||||
(New York Branch) | 0.801% | 9/19/14 | 77,000 | 77,025 |
18
Prime Money Market Fund
Face | Market | |||
Maturity | Amount | Value | ||
Yield1 | Date | ($000) | ($000) | |
4 Canadian Imperial Bank of Commerce | ||||
(New York Branch) | 0.490% | 11/3/14 | 93,000 | 93,054 |
Credit Suisse (New York Branch) | 0.220% | 9/5/14 | 500,000 | 500,000 |
Credit Suisse (New York Branch) | 0.220% | 9/12/14 | 200,000 | 200,000 |
Credit Suisse (New York Branch) | 0.250% | 9/15/14 | 440,000 | 440,000 |
Credit Suisse (New York Branch) | 0.250% | 9/16/14 | 535,000 | 535,000 |
DNB Bank ASA (New York Branch) | 0.165% | 9/9/14 | 193,000 | 193,000 |
DNB Bank ASA (New York Branch) | 0.165% | 9/23/14 | 198,000 | 198,000 |
DNB Bank ASA (New York Branch) | 0.165% | 10/8/14 | 149,000 | 149,000 |
DNB Bank ASA (New York Branch) | 0.165% | 10/9/14 | 65,000 | 65,000 |
DNB Bank ASA (New York Branch) | 0.185% | 10/23/14 | 198,000 | 198,000 |
DNB Bank ASA (New York Branch) | 0.185% | 11/3/14 | 300,000 | 300,000 |
DNB Bank ASA (New York Branch) | 0.180% | 11/18/14 | 750,000 | 750,000 |
Lloyds TSB Bank plc (New York Branch) | 0.170% | 9/22/14 | 500,000 | 500,000 |
Lloyds TSB Bank plc (New York Branch) | 0.170% | 10/17/14 | 800,000 | 800,000 |
Lloyds TSB Bank plc (New York Branch) | 0.170% | 10/17/14 | 500,000 | 500,000 |
Nordea Bank Finland plc (New York Branch) | 0.205% | 9/15/14 | 425,000 | 424,999 |
Nordea Bank Finland plc (New York Branch) | 0.205% | 9/17/14 | 425,000 | 424,999 |
Nordea Bank Finland plc (New York Branch) | 0.210% | 9/18/14 | 357,000 | 357,000 |
Nordea Bank Finland plc (New York Branch) | 0.220% | 10/22/14 | 95,000 | 94,999 |
Nordea Bank Finland plc (New York Branch) | 0.215% | 11/3/14 | 115,000 | 114,999 |
Nordea Bank Finland plc (New York Branch) | 0.215% | 11/24/14 | 200,000 | 199,998 |
Nordea Bank Finland plc (New York Branch) | 0.215% | 11/24/14 | 250,000 | 249,997 |
Nordea Bank Finland plc (New York Branch) | 0.215% | 12/1/14 | 215,000 | 215,000 |
4 Rabobank Nederland (New York Branch) | 0.187% | 10/6/14 | 575,000 | 575,000 |
4 Rabobank Nederland (New York Branch) | 0.188% | 10/7/14 | 611,000 | 611,000 |
4 Rabobank Nederland (New York Branch) | 0.186% | 10/14/14 | 1,600,000 | 1,600,000 |
4 Rabobank Nederland (New York Branch) | 0.185% | 10/24/14 | 500,000 | 500,000 |
4 Rabobank Nederland (New York Branch) | 0.187% | 10/31/14 | 500,000 | 500,000 |
Rabobank Nederland (New York Branch) | 0.210% | 12/5/14 | 50,000 | 50,001 |
4 Royal Bank of Canada (New York Branch) | 0.205% | 11/24/14 | 250,000 | 250,000 |
4 Royal Bank of Canada (New York Branch) | 0.206% | 12/1/14 | 440,000 | 440,000 |
4 Royal Bank of Canada (New York Branch) | 0.236% | 2/12/15 | 90,500 | 90,500 |
4 Royal Bank of Canada (New York Branch) | 0.236% | 2/20/15 | 157,250 | 157,250 |
4 Royal Bank of Canada (New York Branch) | 0.235% | 2/23/15 | 450,000 | 450,000 |
4 Royal Bank of Canada (New York Branch) | 0.236% | 3/4/15 | 497,000 | 497,000 |
4 Royal Bank of Canada (New York Branch) | 0.235% | 3/24/15 | 300,000 | 300,000 |
Svenska Handelsbanken (New York Branch) | 0.215% | 9/11/14 | 380,000 | 380,000 |
Svenska Handelsbanken (New York Branch) | 0.225% | 9/26/14 | 99,500 | 99,500 |
Svenska Handelsbanken (New York Branch) | 0.215% | 11/26/14 | 700,000 | 700,000 |
Svenska Handelsbanken (New York Branch) | 0.200% | 12/1/14 | 124,000 | 123,998 |
Svenska Handelsbanken (New York Branch) | 0.215% | 12/12/14 | 495,000 | 495,000 |
Svenska Handelsbanken (New York Branch) | 0.200% | 12/15/14 | 520,000 | 520,000 |
Svenska Handelsbanken (New York Branch) | 0.200% | 12/17/14 | 185,000 | 185,000 |
Toronto Dominion Bank (New York Branch) | 0.200% | 10/6/14 | 496,000 | 496,000 |
4 Toronto Dominion Bank (New York Branch) | 0.186% | 10/14/14 | 198,000 | 198,000 |
4 Toronto Dominion Bank (New York Branch) | 0.186% | 10/28/14 | 200,000 | 200,000 |
4 Toronto Dominion Bank (New York Branch) | 0.215% | 11/18/14 | 510,000 | 510,000 |
4 Toronto Dominion Bank (New York Branch) | 0.215% | 11/24/14 | 220,000 | 220,000 |
4 Toronto Dominion Bank (New York Branch) | 0.215% | 12/19/14 | 302,000 | 302,000 |
4 Toronto Dominion Bank (New York Branch) | 0.216% | 2/3/15 | 495,000 | 495,000 |
4 Toronto Dominion Bank (New York Branch) | 0.217% | 2/6/15 | 500,000 | 500,000 |
4 Toronto Dominion Bank (New York Branch) | 0.215% | 5/18/15 | 400,000 | 400,000 |
4 Toronto Dominion Bank (New York Branch) | 0.227% | 6/8/15 | 296,000 | 296,000 |
19
Prime Money Market Fund
Face | Market | ||||
Maturity | Amount | Value• | |||
Yield1 | Date | ($000) | ($000) | ||
4 | Toronto Dominion Bank (New York Branch) | 0.225% | 6/17/15 | 205,000 | 205,000 |
UBS AG (Stamford Branch) | 0.170% | 9/2/14 | 275,000 | 275,000 | |
UBS AG (Stamford Branch) | 0.180% | 9/26/14 | 640,000 | 640,000 | |
4 | Westpac Banking Corp. (New York Branch) | 0.215% | 9/26/14 | 198,000 | 197,999 |
4 | Westpac Banking Corp. (New York Branch) | 0.226% | 11/21/14 | 250,000 | 250,000 |
4 | Westpac Banking Corp. (New York Branch) | 0.226% | 12/12/14 | 299,000 | 299,000 |
4 | Westpac Banking Corp. (New York Branch) | 0.225% | 12/29/14 | 230,000 | 230,000 |
4 | Westpac Banking Corp. (New York Branch) | 0.227% | 1/6/15 | 130,000 | 129,998 |
4 | Westpac Banking Corp. (New York Branch) | 0.225% | 7/16/15 | 200,000 | 199,990 |
28,634,426 | |||||
Total Certificates of Deposit (Cost $40,578,926) | 40,578,926 | ||||
Other Notes (1.5%) | |||||
Bank of America NA | 0.190% | 9/4/14 | 300,000 | 300,000 | |
Bank of America NA | 0.190% | 9/8/14 | 198,000 | 198,000 | |
Bank of America NA | 0.190% | 9/8/14 | 495,000 | 495,000 | |
Bank of America NA | 0.190% | 9/9/14 | 198,000 | 198,000 | |
Bank of America NA | 0.190% | 9/12/14 | 495,000 | 495,000 | |
Bank of America NA | 0.200% | 10/2/14 | 228,000 | 228,000 | |
Total Other Notes (Cost $1,914,000) | 1,914,000 | ||||
Shares | |||||
Money Market Fund (1.3%) | |||||
8 | Vanguard Municipal Cash Management Fund | ||||
(Cost $1,743,546) | 0.047% | 1,743,545,637 | 1,743,546 | ||
Face | |||||
Amount | |||||
($000) | |||||
Tax-Exempt Municipal Bonds (0.1%) | |||||
9 | Arizona Health Facilities Authority Revenue | ||||
(Banner Health) VRDO | 0.050% | 9/5/14 | 25,500 | 25,500 | |
9 | District of Columbia Revenue | ||||
(Washington Drama Society) VRDO | 0.060% | 9/5/14 | 400 | 400 | |
Texas Department of Housing & Community | |||||
Affairs Single Family Revenue VRDO | 0.060% | 9/5/14 | 12,940 | 12,940 | |
Texas Department of Housing & Community | |||||
Affairs Single Mortgage Revenue VRDO | 0.060% | 9/5/14 | 41,200 | 41,200 | |
9 | Warren County KY Revenue | ||||
(Western Kentucky University Student Life | |||||
Foundation Inc. Project) VRDO | 0.060% | 9/5/14 | 14,900 | 14,900 | |
9 | Wisconsin Health & Educational Facilities | ||||
Authority Revenue (Gundersen Lutheran) VRDO | 0.080% | 9/5/14 | 11,000 | 11,000 | |
9 | Wisconsin Health & Educational Facilities | ||||
Authority Revenue (University of Wisconsin | |||||
Medical Foundation) VRDO | 0.070% | 9/5/14 | 20,695 | 20,695 | |
Total Tax-Exempt Municipal Bonds (Cost $126,635) | 126,635 | ||||
Corporate Bonds (1.2%) | |||||
Finance (0.3%) | |||||
4 | Royal Bank of Canada | 0.462% | 1/6/15 | 265,500 | 265,727 |
4,7 | National Australia Bank Ltd. | 0.231% | 9/19/14 | 93,075 | 93,077 |
358,804 |
20
Prime Money Market Fund
Face | Market | ||||
Maturity | Amount | Value• | |||
Yield1 | Date | ($000) | ($000) | ||
Industrial (0.9%) | |||||
4 | Toyota Motor Credit Corp. | 0.234% | 1/14/15 | 225,000 | 225,008 |
4 | Toyota Motor Credit Corp. | 0.231% | 6/10/15 | 596,000 | 596,000 |
4 | Toyota Motor Credit Corp. | 0.235% | 8/26/15 | 385,000 | 385,000 |
1,206,008 | |||||
Total Corporate Bonds (Cost $1,564,812) | 1,564,812 | ||||
Taxable Municipal Bonds (0.4%) | |||||
7,9 | BlackRock Municipal Bond Trust TOB VRDO | 0.170% | 9/2/14 | 18,105 | 18,105 |
7,9 | BlackRock Municipal Income Investment | ||||
Quality Trust TOB VRDO | 0.170% | 9/2/14 | 9,660 | 9,660 | |
7,9 | BlackRock Municipal Income Trust TOB VRDO | 0.170% | 9/2/14 | 207,000 | 207,000 |
7,9 | BlackRock MuniHoldings Fund II, Inc. TOB VRDO | 0.170% | 9/2/14 | 40,385 | 40,385 |
7,9 | BlackRock MuniHoldings Fund, Inc. TOB VRDO | 0.170% | 9/2/14 | 19,165 | 19,165 |
7,9 | BlackRock MuniHoldings Quality Fund II, Inc. | ||||
TOB VRDO | 0.170% | 9/2/14 | 100,000 | 100,000 | |
7,9 | BlackRock MuniHoldings Quality Fund II, Inc. | ||||
TOB VRDO | 0.170% | 9/2/14 | 38,905 | 38,905 | |
7,9 | BlackRock MuniYield Investment Quality Fund | ||||
TOB VRDO | 0.170% | 9/2/14 | 12,910 | 12,910 | |
7,9 | BlackRock Strategic Municipal Trust TOB VRDO | 0.170% | 9/2/14 | 9,820 | 9,820 |
7,9 | Los Angeles CA Department of Water & Power | ||||
Revenue TOB VRDO | 0.210% | 9/5/14 | 13,000 | 13,000 | |
7 | Massachusetts Transportation Fund Revenue | ||||
TOB VRDO | 0.210% | 9/5/14 | 13,100 | 13,100 | |
7 | Seattle WA Municipal Light & Power Revenue | ||||
TOB VRDO | 0.210% | 9/5/14 | 6,400 | 6,400 | |
Total Taxable Municipal Bonds (Cost $488,450) | 488,450 | ||||
Total Investments (99.8%) (Cost $130,301,756) | 130,301,756 | ||||
Other Assets and Liabilities (0.2%) | |||||
Other Assets | 1,079,158 | ||||
Liabilities | (771,397) | ||||
307,761 | |||||
Net Assets (100%) | 130,609,517 |
21
Prime Money Market Fund
At August 31, 2014, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 130,608,091 |
Undistributed Net Investment Income | — |
Accumulated Net Realized Gains | 1,426 |
Net Assets | 130,609,517 |
Investor Shares—Net Assets | |
Applicable to 101,899,778,533 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 101,910,455 |
Net Asset Value Per Share—Investor Shares | $1.00 |
Institutional Shares—Net Assets | |
Applicable to 28,697,749,781 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 28,699,062 |
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 purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of August 31, 2014.
6 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, 2014, the aggregate value of these securities was $18,844,200,000, representing 14.4% of net assets.
7 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At August 31, 2014, the aggregate value of these securities was $1,763,775,000, representing 1.4% of net assets.
8 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the
7-day yield.
9 Scheduled principal and interest payments are guaranteed by bank letter of credit.
TOB—Tender Obligation Bond.
VRDO—Variable Rate Demand Obligation.
See accompanying Notes, which are an integral part of the Financial Statements.
22
Prime Money Market Fund
Statement of Operations
Year Ended | |
August 31, 2014 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 202,081 |
Total Income | 202,081 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 3,328 |
Management and Administrative—Investor Shares | 134,377 |
Management and Administrative—Institutional Shares | 20,074 |
Marketing and Distribution—Investor Shares | 25,025 |
Marketing and Distribution—Institutional Shares | 6,816 |
Custodian Fees | 1,574 |
Auditing Fees | 32 |
Shareholders’ Reports—Investor Shares | 791 |
Shareholders’ Reports—Institutional Shares | 152 |
Trustees’ Fees and Expenses | 120 |
Total Expenses | 192,289 |
Expense Reduction—Note B | (15,805) |
Net Expenses | 176,484 |
Net Investment Income | 25,597 |
Realized Net Gain (Loss) on Investment Securities Sold | 1,258 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 26,855 |
1 Interest income from an affiliated company of the fund was $1,110,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
23
Prime Money Market Fund
Statement of Changes in Net Assets
Year Ended August 31, | ||
2014 | 2013 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 25,597 | 36,500 |
Realized Net Gain (Loss) | 1,258 | 1,603 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 26,855 | 38,103 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (10,239) | (17,736) |
Institutional Shares | (15,358) | (18,764) |
Realized Capital Gain1 | ||
Investor Shares | (8,860) | — |
Institutional Shares | (2,363) | — |
Total Distributions | (36,820) | (36,500) |
Capital Share Transactions | ||
Investor Shares | (241,205) | 11,946,615 |
Institutional Shares | 1,686,487 | 2,471,452 |
Net Increase (Decrease) from Capital Share Transactions | 1,445,282 | 14,418,067 |
Total Increase (Decrease) | 1,435,317 | 14,419,670 |
Net Assets | ||
Beginning of Period | 129,174,200 | 114,754,530 |
End of Period | 130,609,517 | 129,174,200 |
1 Includes fiscal 2014 short-term gain distributions totaling $11,223,000. Short-term gain distributions are treated as ordinary income dividends for tax purposes. | ||
See accompanying Notes, which are an integral part of the Financial Statements.
24
Prime Money Market Fund
Financial Highlights
Investor Shares | |||||
For a Share Outstanding | Year Ended August 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Investment Operations | |||||
Net Investment Income | .0001 | .0002 | .0004 | .001 | .001 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | — | — | — | — | — |
Total from Investment Operations | .0001 | .0002 | .0004 | .001 | .001 |
Distributions | |||||
Dividends from Net Investment Income | (.0001) | (.0002) | (.0004) | (.001) | (.001) |
Distributions from Realized Capital Gains | (.0000)1 | — | — | — | — |
Total Distributions | (.0001) | (.0002) | (.0004) | (.001) | (.001) |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return2 | 0.02% | 0.02% | 0.04% | 0.06% | 0.08% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $101,910 | $102,160 | $90,212 | $92,404 | $88,684 |
Ratio of Total Expenses to Average Net Assets | 0.14%3 | 0.16%3 | 0.16% | 0.20% | 0.23% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 0.01% | 0.02% | 0.04% | 0.06% | 0.08% |
1 Distribution was less than $.0001 per share.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 The ratio of total expenses to average net assets before an expense reduction was 0.16% for 2014 and 0.17% for 2013. See Note B in the Notes to Financial Statements.
See accompanying Notes, which are an integral part of the Financial Statements.
25
Prime Money Market Fund
Financial Highlights
Institutional Shares | |||||
For a Share Outstanding | Year Ended August 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Investment Operations | |||||
Net Investment Income | .001 | .001 | .001 | .002 | .002 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | — | — | — | — | — |
Total from Investment Operations | .001 | .001 | .001 | .002 | .002 |
Distributions | |||||
Dividends from Net Investment Income | (. 001) | (. 001) | (. 001) | (. 002) | (. 002) |
Distributions from Realized Capital Gains | (.000)1 | — | — | — | — |
Total Distributions | (. 001) | (. 001) | (. 001) | (. 002) | (. 002) |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return | 0.06% | 0.07% | 0.11% | 0.17% | 0.22% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $28,699 | $27,015 | $24,543 | $21,739 | $19,107 |
Ratio of Total Expenses to Average Net Assets | 0.10% | 0.10% | 0.09% | 0.09% | 0.09% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 0.05% | 0.07% | 0.11% | 0.17% | 0.22% |
1 Distribution was less than $.001 per share. |
See accompanying Notes, which are an integral part of the Financial Statements.
26
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. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. 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 enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the fund under 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. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral. The fund had no open repurchase agreements at August 31, 2014.
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, 2011–2014), 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. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $2.89 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at August 31, 2014, or at any time during the period then ended.
27
Prime Money Market Fund
6. 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 based on 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, 2014, the fund had contributed capital of $13,177,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 5.27% 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, 2014, Vanguard’s expenses were reduced by $15,805,000 (an effective annual rate of 0.02% of the average net assets of the Investor Share class).
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.
28
Prime Money Market Fund
D. Capital share transactions for each class of shares were:
Year Ended August 31, | ||||
2014 | 2013 | |||
Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | |
Investor Shares | ||||
Issued | 130,693,911 | 130,693,911 | 133,084,052 | 133,084,052 |
Issued in Lieu of Cash Distributions | 18,799 | 18,799 | 17,373 | 17,373 |
Redeemed | (130,953,915) | (130,953,915) | (121,154,810) | (121,154,810) |
Net Increase (Decrease)—Investor Shares | (241,205) | (241,205) | 11,946,615 | 11,946,615 |
Institutional Shares | ||||
Issued | 17,139,226 | 17,139,226 | 17,154,977 | 17,154,977 |
Issued in Lieu of Cash Distributions | 17,388 | 17,388 | 18,370 | 18,370 |
Redeemed | (15,470,127) | (15,470,127) | (14,701,895) | (14,701,895) |
Net Increase (Decrease) —Institutional Shares | 1,686,487 | 1,686,487 | 2,471,452 | 2,471,452 |
E. Management has determined that no material events or transactions occurred subsequent to August 31, 2014, that would require recognition or disclosure in these financial statements.
29
Federal Money Market Fund
Fund Profile
As of August 31, 2014
Financial Attributes | |
Ticker Symbol | VMFXX |
Expense Ratio1 | 0.14% |
7-Day SEC Yield | 0.01% |
Average Weighted | |
Maturity | 54 days |
Sector Diversification (% of portfolio) | |
U.S. Government Obligations | 96.1% |
U.S. Treasury Bills | 3.9 |
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% |
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 nationally recognized statistical rating organizations. Credit-quality ratings are obtained from Barclays and are from Moody's, Fitch, and S&P. The lowest rating for each issue is used. 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. For more information about these ratings, see the Glossary entry for Credit Quality. | |
1 The expense ratio shown is from the prospectus dated December 23, 2013, and represents estimated costs for the current fiscal year. For the fiscal year ended August 31, 2014, the expense ratio was 0.09%, reflecting a temporary reduction in operating expenses (described in Note B of the Notes to Financial Statements). Before this reduction, the expense ratio was 0.11%.
30
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, 2004, Through August 31, 2014
Initial Investment of $10,000
Average Annual Total Returns Periods Ended August 31, 2014 | ||||
Final Value of a $10,000 Investment | ||||
One Year | Five Years | Ten Years | ||
Federal Money Market Fund | 0.02% | 0.02% | 1.62% | $11,741 |
Government Money Market Funds | ||||
Average | 0.00 | 0.00 | 1.31 | 11,391 |
Citigroup Three-Month U.S. Treasury | ||||
Bill Index | 0.04 | 0.07 | 1.51 | 11,643 |
Government Money Market Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
See Financial Highlights for dividend information.
31
Federal Money Market Fund
Fiscal-Year Total Returns (%): August 31, 2004, Through August 31, 2014 | ||
Gov’t Money Market Funds Average | ||
Fiscal Year | Total Returns | Total Returns |
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 |
2013 | 0.01 | 0.00 |
2014 | 0.02 | 0.00 |
7-day SEC yield (8/31/2014): 0.01% | ||
Government Money Market Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
Average Annual Total Returns: Periods Ended June 30, 2014
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 Date | One Year | Five Years | Ten Years | |
Federal Money Market Fund | 7/13/1981 | 0.02% | 0.02% | 1.64% |
32
Federal Money Market Fund
Financial Statements
Statement of Net Assets
As of August 31, 2014
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 (100.4%) | |||||
2 | Fannie Mae Discount Notes | 0.080% | 9/2/14 | 416 | 416 |
2 | Fannie Mae Discount Notes | 0.060%–0.100% | 9/3/14 | 50,312 | 50,312 |
2 | Fannie Mae Discount Notes | 0.060%–0.070% | 9/8/14 | 42,800 | 42,799 |
2 | Fannie Mae Discount Notes | 0.075%–0.095% | 9/10/14 | 41,534 | 41,533 |
2 | Fannie Mae Discount Notes | 0.080%–0.095% | 9/17/14 | 60,546 | 60,543 |
2 | Fannie Mae Discount Notes | 0.070%–0.080% | 9/22/14 | 34,275 | 34,273 |
2 | Fannie Mae Discount Notes | 0.075%–0.088% | 9/24/14 | 59,400 | 59,397 |
2 | Fannie Mae Discount Notes | 0.075%–0.085% | 10/1/14 | 18,074 | 18,073 |
2 | Fannie Mae Discount Notes | 0.075%–0.090% | 10/2/14 | 25,100 | 25,098 |
2 | Fannie Mae Discount Notes | 0.080% | 10/6/14 | 3,713 | 3,713 |
2 | Fannie Mae Discount Notes | 0.080% | 10/8/14 | 15,000 | 14,999 |
2 | Fannie Mae Discount Notes | 0.085% | 10/14/14 | 3,647 | 3,647 |
2 | Fannie Mae Discount Notes | 0.080%–0.092% | 10/15/14 | 18,800 | 18,798 |
2 | Fannie Mae Discount Notes | 0.080%–0.100% | 11/12/14 | 13,564 | 13,561 |
2 | Fannie Mae Discount Notes | 0.085%–0.100% | 11/17/14 | 11,100 | 11,098 |
2 | Fannie Mae Discount Notes | 0.070%–0.100% | 11/19/14 | 24,950 | 24,945 |
2 | Fannie Mae Discount Notes | 0.085%–0.100% | 11/26/14 | 10,000 | 9,998 |
2 | Fannie Mae Discount Notes | 0.090% | 12/1/14 | 32,100 | 32,093 |
2 | Fannie Mae Discount Notes | 0.090%–0.100% | 12/3/14 | 21,650 | 21,645 |
2 | Fannie Mae Discount Notes | 0.100% | 12/10/14 | 12,300 | 12,296 |
2 | Fannie Mae Discount Notes | 0.100% | 12/12/14 | 3,350 | 3,349 |
2 | Fannie Mae Discount Notes | 0.095%–0.110% | 12/17/14 | 33,040 | 33,030 |
2 | Fannie Mae Discount Notes | 0.100% | 12/24/14 | 10,910 | 10,907 |
2 | Fannie Mae Discount Notes | 0.095% | 1/2/15 | 3,860 | 3,859 |
2 | Fannie Mae Discount Notes | 0.090% | 1/5/15 | 6,700 | 6,698 |
2 | Fannie Mae Discount Notes | 0.100%–0.110% | 1/21/15 | 26,480 | 26,469 |
2 | Fannie Mae Discount Notes | 0.095%–0.105% | 1/28/15 | 24,300 | 24,290 |
2 | Fannie Mae Discount Notes | 0.120% | 1/30/15 | 1,000 | 999 |
2 | Fannie Mae Discount Notes | 0.100%–0.115% | 2/4/15 | 14,965 | 14,958 |
2 | Fannie Mae Discount Notes | 0.105% | 2/17/15 | 4,100 | 4,098 |
2 | Fannie Mae Discount Notes | 0.110% | 3/2/15 | 5,000 | 4,997 |
2 | Fannie Mae Discount Notes | 0.110%–0.120% | 3/16/15 | 32,800 | 32,780 |
3 | Federal Home Loan Bank Discount Notes | 0.085% | 9/5/14 | 25,000 | 25,000 |
3 | Federal Home Loan Bank Discount Notes | 0.070%–0.075% | 9/10/14 | 3,700 | 3,700 |
33
Federal Money Market Fund
Face | Market | ||||
Maturity | Amount | Value | |||
Yield1 | Date | ($000) | ($000) | ||
3 | Federal Home Loan Bank Discount Notes | 0.080% | 9/12/14 | 9,300 | 9,300 |
3 | Federal Home Loan Bank Discount Notes | 0.080% | 9/15/14 | 12,000 | 12,000 |
3 | Federal Home Loan Bank Discount Notes | 0.075%–0.100% | 9/19/14 | 11,000 | 11,000 |
3 | Federal Home Loan Bank Discount Notes | 0.080%–0.100% | 9/24/14 | 9,900 | 9,899 |
3 | Federal Home Loan Bank Discount Notes | 0.080% | 9/26/14 | 17,180 | 17,179 |
3 | Federal Home Loan Bank Discount Notes | 0.090% | 10/2/14 | 5,000 | 5,000 |
3 | Federal Home Loan Bank Discount Notes | 0.080% | 10/3/14 | 2,500 | 2,500 |
3 | Federal Home Loan Bank Discount Notes | 0.080%–0.100% | 10/8/14 | 13,785 | 13,784 |
3 | Federal Home Loan Bank Discount Notes | 0.080%–0.100% | 10/10/14 | 9,350 | 9,349 |
3 | Federal Home Loan Bank Discount Notes | 0.080% | 10/15/14 | 3,106 | 3,106 |
3 | Federal Home Loan Bank Discount Notes | 0.080%–0.090% | 10/17/14 | 36,504 | 36,500 |
3 | Federal Home Loan Bank Discount Notes | 0.080%–0.100% | 10/22/14 | 71,634 | 71,625 |
3 | Federal Home Loan Bank Discount Notes | 0.078%–0.100% | 10/24/14 | 64,969 | 64,961 |
3 | Federal Home Loan Bank Discount Notes | 0.070%–0.100% | 10/29/14 | 41,519 | 41,513 |
3 | Federal Home Loan Bank Discount Notes | 0.070%–0.100% | 10/31/14 | 41,954 | 41,948 |
3 | Federal Home Loan Bank Discount Notes | 0.080%–0.100% | 11/5/14 | 22,000 | 21,997 |
3 | Federal Home Loan Bank Discount Notes | 0.080%–0.100% | 11/7/14 | 5,855 | 5,854 |
3 | Federal Home Loan Bank Discount Notes | 0.080%–0.085% | 11/12/14 | 45,530 | 45,522 |
3 | Federal Home Loan Bank Discount Notes | 0.080% | 11/14/14 | 2,700 | 2,700 |
3 | Federal Home Loan Bank Discount Notes | 0.100% | 11/19/14 | 1,000 | 1,000 |
3 | Federal Home Loan Bank Discount Notes | 0.100%–0.110% | 11/28/14 | 5,917 | 5,915 |
3 | Federal Home Loan Bank Discount Notes | 0.110% | 12/3/14 | 5,000 | 4,999 |
3 | Federal Home Loan Bank Discount Notes | 0.100% | 12/11/14 | 3,000 | 2,999 |
3 | Federal Home Loan Bank Discount Notes | 0.110% | 12/17/14 | 1,250 | 1,250 |
3 | Federal Home Loan Bank Discount Notes | 0.100% | 12/24/14 | 2,190 | 2,189 |
3 | Federal Home Loan Bank Discount Notes | 0.100% | 1/9/15 | 7,300 | 7,297 |
3 | Federal Home Loan Bank Discount Notes | 0.105% | 1/16/15 | 8,900 | 8,896 |
3 | Federal Home Loan Bank Discount Notes | 0.110% | 1/20/15 | 2,000 | 1,999 |
3 | Federal Home Loan Bank Discount Notes | 0.105%–0.130% | 1/29/15 | 8,250 | 8,246 |
3,4 | Federal Home Loan Banks | 0.136% | 10/1/14 | 6,000 | 6,000 |
3,4 | Federal Home Loan Banks | 0.101% | 11/3/14 | 10,000 | 10,000 |
3,4 | Federal Home Loan Banks | 0.095% | 11/25/14 | 60,000 | 59,998 |
3,4 | Federal Home Loan Banks | 0.106% | 12/19/14 | 41,000 | 40,999 |
3,4 | Federal Home Loan Banks | 0.104% | 2/5/15 | 120,000 | 119,998 |
3,4 | Federal Home Loan Banks | 0.096% | 2/13/15 | 45,000 | 44,998 |
3,4 | Federal Home Loan Banks | 0.096% | 2/20/15 | 60,000 | 59,995 |
3,4 | Federal Home Loan Banks | 0.095% | 2/27/15 | 50,000 | 49,998 |
3,4 | Federal Home Loan Banks | 0.117% | 3/10/15 | 2,500 | 2,500 |
2,4 | Federal Home Loan Mortgage Corp. | 0.156% | 12/5/14 | 5,000 | 5,001 |
2,4 | Federal Home Loan Mortgage Corp. | 0.145% | 6/26/15 | 105,000 | 105,029 |
2,4 | Federal Home Loan Mortgage Corp. | 0.145% | 7/16/15 | 50,000 | 50,013 |
2,4 | Federal Home Loan Mortgage Corp. | 0.145% | 7/17/15 | 50,000 | 50,016 |
2,4 | Federal Home Loan Mortgage Corp. | 0.145% | 11/25/15 | 60,000 | 60,000 |
2,4 | Federal National Mortgage Assn. | 0.137% | 9/11/14 | 150,000 | 149,999 |
2,4 | Federal National Mortgage Assn. | 0.165% | 1/20/15 | 10,000 | 10,002 |
2,4 | Federal National Mortgage Assn. | 0.125% | 2/27/15 | 82,000 | 81,993 |
2,4 | Federal National Mortgage Assn. | 0.126% | 8/5/15 | 30,000 | 29,994 |
2 | Freddie Mac Discount Notes | 0.060%–0.070% | 9/2/14 | 18,720 | 18,720 |
2 | Freddie Mac Discount Notes | 0.080%–0.095% | 9/4/14 | 12,450 | 12,450 |
2 | Freddie Mac Discount Notes | 0.065%–0.095% | 9/5/14 | 5,600 | 5,600 |
2 | Freddie Mac Discount Notes | 0.070% | 9/9/14 | 4,193 | 4,193 |
2 | Freddie Mac Discount Notes | 0.060%–0.070% | 9/11/14 | 58,850 | 58,849 |
2 | Freddie Mac Discount Notes | 0.060%–0.070% | 9/12/14 | 25,040 | 25,039 |
2 | Freddie Mac Discount Notes | 0.095%–0.100% | 9/15/14 | 40,391 | 40,389 |
34
Federal Money Market Fund
Face | Market | |||
Maturity | Amount | Value | ||
Yield1 | Date | ($000) | ($000) | |
2 Freddie Mac Discount Notes | 0.100% | 9/16/14 | 1,600 | 1,600 |
2 Freddie Mac Discount Notes | 0.070%–0.075% | 9/24/14 | 33,179 | 33,177 |
2 Freddie Mac Discount Notes | 0.080% | 9/25/14 | 15,000 | 14,999 |
2 Freddie Mac Discount Notes | 0.075%–0.080% | 9/26/14 | 31,100 | 31,098 |
2 Freddie Mac Discount Notes | 0.078% | 9/29/14 | 4,000 | 4,000 |
2 Freddie Mac Discount Notes | 0.072%–0.080% | 10/6/14 | 29,494 | 29,492 |
2 Freddie Mac Discount Notes | 0.070% | 10/7/14 | 19,500 | 19,499 |
2 Freddie Mac Discount Notes | 0.080% | 10/14/14 | 11,600 | 11,599 |
2 Freddie Mac Discount Notes | 0.080% | 10/15/14 | 4,400 | 4,400 |
2 Freddie Mac Discount Notes | 0.080%–0.085% | 10/16/14 | 7,040 | 7,039 |
2 Freddie Mac Discount Notes | 0.080%–0.090% | 10/17/14 | 35,430 | 35,426 |
2 Freddie Mac Discount Notes | 0.085%–0.090% | 10/20/14 | 10,500 | 10,499 |
2 Freddie Mac Discount Notes | 0.080% | 10/21/14 | 3,000 | 3,000 |
2 Freddie Mac Discount Notes | 0.080% | 10/22/14 | 3,000 | 3,000 |
2 Freddie Mac Discount Notes | 0.080%–0.090% | 10/23/14 | 7,302 | 7,301 |
2 Freddie Mac Discount Notes | 0.080% | 10/24/14 | 18,500 | 18,498 |
2 Freddie Mac Discount Notes | 0.080%–0.085% | 10/27/14 | 24,381 | 24,378 |
2 Freddie Mac Discount Notes | 0.085% | 10/31/14 | 7,000 | 6,999 |
2 Freddie Mac Discount Notes | 0.080%–0.090% | 11/3/14 | 34,340 | 34,335 |
2 Freddie Mac Discount Notes | 0.095% | 11/4/14 | 2,500 | 2,500 |
2 Freddie Mac Discount Notes | 0.085%–0.095% | 11/10/14 | 9,825 | 9,823 |
2 Freddie Mac Discount Notes | 0.070%–0.100% | 11/12/14 | 7,730 | 7,729 |
2 Freddie Mac Discount Notes | 0.085%–0.090% | 11/13/14 | 14,465 | 14,462 |
2 Freddie Mac Discount Notes | 0.080%–0.095% | 11/17/14 | 10,727 | 10,725 |
2 Freddie Mac Discount Notes | 0.090% | 11/18/14 | 3,000 | 2,999 |
2 Freddie Mac Discount Notes | 0.095% | 11/19/14 | 10,350 | 10,348 |
2 Freddie Mac Discount Notes | 0.090% | 11/26/14 | 5,100 | 5,099 |
2 Freddie Mac Discount Notes | 0.100% | 12/1/14 | 3,081 | 3,080 |
2 Freddie Mac Discount Notes | 0.100% | 12/8/14 | 14,000 | 13,996 |
2 Freddie Mac Discount Notes | 0.090%–0.100% | 12/11/14 | 17,469 | 17,464 |
2 Freddie Mac Discount Notes | 0.085% | 12/15/14 | 1,000 | 1,000 |
2 Freddie Mac Discount Notes | 0.100%–0.110% | 12/22/14 | 15,080 | 15,075 |
2 Freddie Mac Discount Notes | 0.100% | 12/29/14 | 16,250 | 16,245 |
2 Freddie Mac Discount Notes | 0.120% | 1/12/15 | 2,500 | 2,499 |
2 Freddie Mac Discount Notes | 0.130% | 1/13/15 | 1,800 | 1,799 |
2 Freddie Mac Discount Notes | 0.120% | 1/14/15 | 1,005 | 1,005 |
2 Freddie Mac Discount Notes | 0.130% | 1/20/15 | 3,334 | 3,332 |
2 Freddie Mac Discount Notes | 0.110% | 1/21/15 | 4,900 | 4,898 |
2 Freddie Mac Discount Notes | 0.120% | 1/22/15 | 1,700 | 1,699 |
2 Freddie Mac Discount Notes | 0.100% | 2/2/15 | 7,300 | 7,297 |
2 Freddie Mac Discount Notes | 0.105% | 2/4/15 | 1,000 | 1,000 |
2 Freddie Mac Discount Notes | 0.140% | 2/9/15 | 1,405 | 1,404 |
2 Freddie Mac Discount Notes | 0.110% | 2/13/15 | 3,000 | 2,998 |
2 Freddie Mac Discount Notes | 0.110% | 3/16/15 | 7,100 | 7,096 |
2 Freddie Mac Discount Notes | 0.110% | 3/17/15 | 38,900 | 38,877 |
United States Treasury Bill | 0.060% | 12/11/14 | 25,000 | 24,996 |
United States Treasury Bill | 0.068% | 12/18/14 | 25,000 | 24,995 |
United States Treasury Bill | 0.065% | 1/2/15 | 25,000 | 24,994 |
United States Treasury Note/Bond | 0.250% | 9/15/14 | 10,000 | 10,001 |
United States Treasury Note/Bond | 0.250% | 9/30/14 | 60,000 | 60,008 |
United States Treasury Note/Bond | 2.375% | 9/30/14 | 3,500 | 3,506 |
United States Treasury Note/Bond | 0.250% | 10/31/14 | 4,000 | 4,001 |
United States Treasury Note/Bond | 2.375% | 10/31/14 | 35,000 | 35,132 |
United States Treasury Note/Bond | 0.375% | 11/15/14 | 5,500 | 5,503 |
United States Treasury Note/Bond | 4.250% | 11/15/14 | 8,654 | 8,728 |
35
Federal Money Market Fund
Face | Market | |||
Maturity | Amount | Value | ||
Yield1 | Date | ($000) | ($000) | |
United States Treasury Note/Bond | 0.250% | 11/30/14 | 50,000 | 50,022 |
United States Treasury Note/Bond | 2.125% | 11/30/14 | 2,670 | 2,683 |
United States Treasury Note/Bond | 4.000% | 2/15/15 | 25,000 | 25,445 |
United States Treasury Note/Bond | 0.250% | 2/28/15 | 37,000 | 37,031 |
United States Treasury Note/Bond | 2.375% | 2/28/15 | 32,500 | 32,871 |
Total U.S. Government and Agency Obligations (Cost $3,121,375) | 3,121,375 | |||
Total Investments (100.4%) (Cost $3,121,375) | 3,121,375 | |||
Other Assets and Liabilities (-0.4%) | ||||
Other Assets | 22,573 | |||
Liabilities | (35,576) | |||
(13,003) | ||||
Net Assets (100%) | ||||
Applicable to 3,107,837,915 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 3,108,372 | |||
Net Asset Value Per Share | $1.00 | |||
At August 31, 2014, net assets consisted of: | ||||
Amount | ||||
($000) | ||||
Paid-in Capital | 3,108,347 | |||
Undistributed Net Investment Income | — | |||
Accumulated Net Realized Gains | 25 | |||
Net Assets | 3,108,372 |
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.
36
Federal Money Market Fund
Statement of Operations
Year Ended | |
August 31, 2014 | |
($000) | |
Investment Income | |
Income | |
Interest | 3,333 |
Total Income | 3,333 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 86 |
Management and Administrative | 2,879 |
Marketing and Distribution | 547 |
Custodian Fees | 40 |
Auditing Fees | 32 |
Shareholders’ Reports | 36 |
Trustees’ Fees and Expenses | 4 |
Total Expenses | 3,624 |
Expense Reduction—Note B | (622) |
Net Expenses | 3,002 |
Net Investment Income | 331 |
Realized Net Gain (Loss) on Investment Securities Sold | 18 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 349 |
See accompanying Notes, which are an integral part of the Financial Statements.
37
Federal Money Market Fund
Statement of Changes in Net Assets
Year Ended August 31, | ||
2014 ($000) | 2013 ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 331 | 512 |
Realized Net Gain (Loss) | 18 | 61 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 349 | 573 |
Distributions | ||
Net Investment Income | (331) | (512) |
Realized Capital Gain1 | (206) | — |
Total Distributions | (537) | (512) |
Capital Share Transactions (at $1.00 per share) | ||
Issued | 307,101 | 345,150 |
Issued in Lieu of Cash Distributions | 528 | 503 |
Redeemed | (720,738) | (927,215) |
Net Increase (Decrease) from Capital Share Transactions | (413,109) | (581,562) |
Total Increase (Decrease) | (413,297) | (581,501) |
Net Assets | ||
Beginning of Period | 3,521,669 | 4,103,170 |
End of Period | 3,108,372 | 3,521,669 |
1 Includes fiscal 2014 short-term gain distributions totaling $206,000. Short-term gain distributions are treated as ordinary income dividends for tax purposes. | ||
See accompanying Notes, which are an integral part of the Financial Statements.
38
Federal Money Market Fund
Financial Highlights
For a Share Outstanding | Year Ended August 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Investment Operations | |||||
Net Investment Income | .0001 | .0001 | .0001 | .0002 | .0004 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | — | — | — | — | — |
Total from Investment Operations | .0001 | .0001 | .0001 | .0002 | .0004 |
Distributions | |||||
Dividends from Net Investment Income | (.0001) | (.0001) | (.0001) | (.0002) | (.0004) |
Distributions from Realized Capital Gains | (.0000)1 | — | — | — | — |
Total Distributions | (.0001) | (.0001) | (.0001) | (.0002) | (.0004) |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return2 | 0.02% | 0.01% | 0.01% | 0.02% | 0.04% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $3,108 | $3,522 | $4,103 | $4,794 | $6,048 |
Ratio of Expenses to Average Net Assets | 0.09%3 | 0.13%3 | 0.12%3 | 0.19%3 | 0.22% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 0.01% | 0.01% | 0.01% | 0.02% | 0.04% |
1 Distribution was less than $.0001 per share.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 The ratio of total expenses to average net assets before an expense reduction was 0.11% for 2014, 0.14% for 2013, 0.16% for 2012, and 0.20% for 2011. See Note B in the Notes to Financial Statements.
See accompanying Notes, which are an integral part of the Financial Statements.
39
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. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Securities are valued at amortized cost, which approximates market value.
2. Repurchase Agreements: The fund enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the fund under 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. The fund further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral. The fund had no open repurchase agreements at August 31, 2014.
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, 2011–2014), 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. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $2.89 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at August 31, 2014, or at any time during the period then ended.
6. 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.
40
Federal Money Market 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 based on 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, 2014, the fund had contributed capital of $318,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.13% 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, 2014, Vanguard’s expenses were reduced by $622,000 (an effective annual rate of 0.02% of the fund’s average net assets).
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
At August 31, 2014, 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. Management has determined that no material events or transactions occurred subsequent to August 31, 2014, that would require recognition or disclosure in these financial statements.
41
Admiral Treasury Money Market Fund
Fund Profile
As of August 31, 2014
Financial Attributes | |
Ticker Symbol | VUSXX |
Expense Ratio1 | 0.09% |
7-Day SEC Yield | 0.01% |
Average Weighted | |
Maturity | 58 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% |
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 nationally recognized statistical rating organizations. Credit-quality ratings are obtained from Barclays and are from Moody's, Fitch, and S&P. The lowest rating for each issue is used. 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. For more information about these ratings, see the Glossary entry for Credit Quality. | |
1 The expense ratio shown is from the prospectus dated December 23, 2013, and represents estimated costs for the current fiscal year. For the fiscal year ended August 31, 2014, 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 0.09%.
42
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, 2004, Through August 31, 2014
Initial Investment of $50,000
Average Annual Total Returns Periods Ended August 31, 2014 | ||||
One Year | Five Years | Ten Years | Final Value of a $50,000 Investment | |
Admiral Treasury Money Market | ||||
Fund | 0.01% | 0.02% | 1.52% | $58,147 |
iMoneyNet Money Fund Report’s | ||||
100% Treasury Funds Average | 0.00 | 0.00 | 1.16 | 56,124 |
Citigroup Three-Month U.S. Treasury | ||||
Bill Index | 0.04 | 0.07 | 1.51 | 58,213 |
iMoneyNet Money Fund Report’s 100% Treasury Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
See Financial Highlights for dividend information.
43
Admiral Treasury Money Market Fund
Fiscal-Year Total Returns (%): August 31, 2004, Through August 31, 2014 | ||
iMoneyNet Average Total Returns | ||
Fiscal Year | Total Returns | |
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 |
2013 | 0.02 | 0.00 |
2014 | 0.01 | 0.00 |
7-day SEC yield (8/31/2014): 0.01% | ||
iMoneyNet Money Fund Report’s 100% Treasury Funds Average: Derived from data provided by iMoneyNet, Inc. |
Average Annual Total Returns: Periods Ended June 30, 2014
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 Date | One Year | Five Years | Ten Years | |
Admiral Treasury Money Market | ||||
Fund | 12/14/1992 | 0.01% | 0.02% | 1.54% |
44
Admiral Treasury Money Market Fund
Financial Statements
Statement of Net Assets
As of August 31, 2014
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 (99.8%) | ||||
United States Treasury Bill | 0.035% | 9/4/14 | 833,694 | 833,692 |
United States Treasury Bill | 0.038% | 9/11/14 | 800,000 | 799,992 |
United States Treasury Bill | 0.037% | 9/18/14 | 795,000 | 794,986 |
United States Treasury Bill | 0.040% | 10/2/14 | 380,000 | 379,987 |
United States Treasury Bill | 0.031% | 10/9/14 | 550,000 | 549,982 |
United States Treasury Bill | 0.025% | 10/23/14 | 212,000 | 211,992 |
United States Treasury Bill | 0.034% | 10/30/14 | 725,000 | 724,960 |
United States Treasury Bill | 0.026% | 11/6/14 | 900,000 | 899,958 |
United States Treasury Bill | 0.028% | 11/13/14 | 690,000 | 689,962 |
United States Treasury Bill | 0.035% | 11/20/14 | 920,000 | 919,928 |
United States Treasury Bill | 0.028% | 11/28/14 | 950,000 | 949,936 |
United States Treasury Bill | 0.058%–0.065% | 12/11/14 | 125,010 | 124,990 |
United States Treasury Bill | 0.056% | 2/5/15 | 160,000 | 159,961 |
2 United States Treasury Floating Rate Note | 0.100% | 7/31/16 | 150,000 | 150,000 |
United States Treasury Note/Bond | 0.250% | 9/30/14 | 309,000 | 309,048 |
United States Treasury Note/Bond | 2.375% | 9/30/14 | 182,000 | 182,337 |
United States Treasury Note/Bond | 0.500% | 10/15/14 | 200,000 | 200,106 |
United States Treasury Note/Bond | 0.250% | 10/31/14 | 55,000 | 55,018 |
United States Treasury Note/Bond | 4.250% | 11/15/14 | 635,000 | 640,407 |
United States Treasury Note/Bond | 0.375% | 11/15/14 | 115,000 | 115,071 |
United States Treasury Note/Bond | 2.125% | 11/30/14 | 585,000 | 587,953 |
United States Treasury Note/Bond | 0.250% | 11/30/14 | 65,000 | 65,028 |
Total U.S. Government and Agency Obligations (Cost $10,345,294) | 10,345,294 | |||
Total Investments (99.8%) (Cost $10,345,294) | 10,345,294 | |||
Other Assets and Liabilities (0.2%) | ||||
Other Assets | 24,492 | |||
Liabilities | (5,171) | |||
19,321 | ||||
Net Assets (100%) | ||||
Applicable to 10,361,612,164 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | ||||
10,364,615 | ||||
Net Asset Value Per Share | $1.00 |
45
Admiral Treasury Money Market Fund
At August 31, 2014, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 10,364,652 |
Undistributed Net Investment Income | — |
Accumulated Net Realized Losses | (37) |
Net Assets | 10,364,615 |
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 Adjustable-rate security.
See accompanying Notes, which are an integral part of the Financial Statements.
46
Admiral Treasury Money Market Fund
Statement of Operations
Year Ended | |
August 31, 2014 | |
($000) | |
Investment Income | |
Income | |
Interest | 6,392 |
Total Income | 6,392 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 285 |
Management and Administrative | 7,769 |
Marketing and Distribution | 1,606 |
Custodian Fees | 115 |
Auditing Fees | 27 |
Shareholders’ Reports | 64 |
Trustees’ Fees and Expenses | 9 |
Total Expenses | 9,875 |
Expense Reduction—Note B | (4,579) |
Net Expenses | 5,296 |
Net Investment Income | 1,096 |
Realized Net Gain (Loss) on Investment Securities Sold | (54) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,042 |
See accompanying Notes, which are an integral part of the Financial Statements.
47
Admiral Treasury Money Market Fund
Statement of Changes in Net Assets
Year Ended August 31, | ||
2014 | 2013 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 1,096 | 1,989 |
Realized Net Gain (Loss) | (54) | 3 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,042 | 1,992 |
Distributions | ||
Net Investment Income | (1,096) | (1,989) |
Realized Capital Gain1 | (185) | — |
Total Distributions | (1,281) | (1,989) |
Capital Share Transactions (at $1.00 per share) | ||
Issued | 615,277 | 733,020 |
Issued in Lieu of Cash Distributions | 1,248 | 1,932 |
Redeemed | (1,911,196) | (2,429,133) |
Net Increase (Decrease) from Capital Share Transactions | (1,294,671) | (1,694,181) |
Total Increase (Decrease) | (1,294,910) | (1,694,178) |
Net Assets | ||
Beginning of Period | 11,659,525 | 13,353,703 |
End of Period | 10,364,615 | 11,659,525 |
1 Includes fiscal 2014 short-term gain distributions totaling $185,000. Short-term gain distributions are treated as ordinary income dividends for tax purposes. | ||
See accompanying Notes, which are an integral part of the Financial Statements.
48
Admiral Treasury Money Market Fund
Financial Highlights
For a Share Outstanding | Year Ended August 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Investment Operations | |||||
Net Investment Income | .0001 | .0002 | .0001 | .0002 | .0003 |
Net Realized and Unrealized Gain | |||||
(Loss) on Investments | — | — | — | — | — |
Total from Investment Operations | .0001 | .0002 | .0001 | .0002 | .0003 |
Distributions | |||||
Dividends from Net Investment Income | (.0001) | (.0002) | (.0001) | (.0002) | (.0003) |
Distributions from Realized Capital Gains | (.0000)1 | — | — | — | — |
Total Distributions | (.0001) | (.0002) | (.0001) | (.0002) | (.0003) |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
Total Return2 | 0.01% | 0.02% | 0.01% | 0.02% | 0.03% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $10,365 | $11,660 | $13,354 | $15,314 | $18,726 |
Ratio of Total Expenses to Average Net Assets | 0.05%3 | 0.08%3 | 0.05%3 | 0.11%3 | 0.14% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 0.01% | 0.02% | 0.01% | 0.02% | 0.03% |
1 Distributions from realized capital gains were less than $.0001 per share.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 The ratio of total expenses to average net assets before an expense reduction was 0.09% for 2014, 0.09% for 2013, 0.10% for 2012, and 0.12% for 2011. See Note B in the Notes to Financial Statements.
See accompanying Notes, which are an integral part of the Financial Statements.
49
Admiral Treasury Money Market Fund
Notes to Financial Statements
Vanguard Admiral Treasury Money Market Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund invests in short-term debt instruments backed by the full faith and credit of the U.S. government.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. 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, 2011–2014), 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. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $2.89 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at August 31, 2014, or at any time during the period then ended.
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 based on 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, 2014, the fund had contributed capital of $1,058,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.42% 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, 2014, Vanguard’s expenses were reduced by $4,579,000 (an effective annual rate of 0.04% of the fund’s average net assets).
50
Admiral Treasury 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, 2014, 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. Management has determined that no material events or transactions occurred subsequent to August 31, 2014, that would require recognition or disclosure in these financial statements.
51
Report of Independent Registered
Public Accounting Firm
To the Board of 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 and Vanguard Federal Money Market Fund (constituting separate portfolios of Vanguard Money Market Reserves) and Vanguard Admiral Treasury Money Market Fund (constituting a separate portfolio of Vanguard Admiral Funds) (hereafter referred to as the “Funds”) at August 31, 2014, 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, 2014 by correspondence with the custodian and by agreement to the underlying ownership records of the transfer agent, provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 10, 2014
52
Special 2014 tax information (unaudited) for Vanguard Prime Money Market Fund |
This information for the fiscal year ended August 31, 2014, is included pursuant to provisions of the Internal Revenue Code. |
For nonresident alien shareholders, 74.5% of income dividends are interest-related dividends. |
Special 2014 tax information (unaudited) for Vanguard Federal Money Market Fund |
This information for the fiscal year ended August 31, 2014, is included pursuant to provisions of the Internal Revenue Code. |
For nonresident alien shareholders, 100% of income dividends are interest-related dividends. |
Special 2014 tax information (unaudited) for Vanguard Admiral Treasury Money Market Fund |
This information for the fiscal year ended August 31, 2014, is included pursuant to provisions of the Internal Revenue Code. |
For nonresident alien shareholders, 100% of income dividends are interest-related dividends. |
53
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
54
Six Months Ended August 31, 2014 | |||
Beginning Account Value 2/28/2014 | Ending Account Value 8/31/2014 | Expenses Paid During Period | |
Based on Actual Fund Return | |||
Prime Money Market Fund | |||
Investor Shares | $1,000.00 | $1,000.05 | $0.76 |
Institutional Shares | 1,000.00 | 1,000.29 | 0.50 |
Federal Money Market Fund | $1,000.00 | $1,000.05 | $0.45 |
Admiral Treasury Money Market Fund | $1,000.00 | $1,000.05 | $0.20 |
Based on Hypothetical 5% Yearly Return | |||
Prime Money Market Fund | |||
Investor Shares | $1,000.00 | $1,024.45 | $0.77 |
Institutional Shares | 1,000.00 | 1,024.70 | 0.51 |
Federal Money Market Fund | $1,000.00 | $1,024.75 | $0.46 |
Admiral Treasury Money Market Fund | $1,000.00 | $1,025.00 | $0.20 |
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, 0.15% for Investor Shares and 0.10% for Institutional Shares; for the Federal Money Market Fund, 0.09%; and for the Admiral Treasury Money Market Fund, 0.04%. The annualized six-month expense ratios for the Prime Money Market Fund Investor Shares, 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 Prime Money Market Fund Investor Shares, 0.16%; for the Federal Money Market Fund, 0.11%; for the Admiral Treasury Money Market Fund, 0.09%. | |||
55
Trustees Approve Advisory Arrangements
The board of trustees of Vanguard Prime Money Market Fund, Federal Money Market Fund, and Admiral Treasury Money Market Fund has renewed each fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard). Vanguard—through its Fixed Income Group—serves as the investment advisor for each fund. The board determined that continuing each fund’s internalized management structure was in the best interests of each fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangements. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board considered the quality of each fund’s investment management services over both the short and long term and took into account the organizational depth and stability of the advisor. The board 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 each advisory arrangement.
Investment performance
The board considered the short- and long-term performance of the funds, including any periods size=2>of outperformance or underperformance relative to a benchmark index and peer group. The board concluded that the performance was such that each advisory arrangement should continue. Information about the funds’ most recent performance can be found on the Performance Summary pages of this report.
Cost
The board concluded that each fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that each fund’s advisory fee rate was also well below its peer-group average. Information about the funds’ expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements sections.
The board does not conduct a profitability analysis of Vanguard, because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that each fund’s at-cost arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangements again after a one-year period.
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Glossary
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 177 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. | |
F. William McNabb III | |
Born 1957. Trustee Since July 2009. Chairman of the | Amy Gutmann |
Board. Principal Occupation(s) During the Past Five | Born 1949. Trustee Since June 2006. Principal |
Years: Chairman of the Board of The Vanguard Group, | Occupation(s) During the Past Five Years: President of |
Inc., and of each of the investment companies served | the University of Pennsylvania; Christopher H. Browne |
by The Vanguard Group, since January 2010; Director | Distinguished Professor of Political Science, School of |
of The Vanguard Group since 2008; Chief Executive | Arts and Sciences, and Professor of Communication, |
Officer and President of The Vanguard Group, and of | Annenberg School for Communication, with secondary |
each of the investment companies served by The | faculty appointments in the Department of Philosophy, |
Vanguard Group, since 2008; Director of Vanguard | School of Arts and Sciences, and at the Graduate |
Marketing Corporation; Managing Director of The | School of Education, University of Pennsylvania; |
Vanguard Group (1995–2008). | Trustee of the National Constitution Center; Chair |
of the Presidential Commission for the Study of | |
IndependentTrustees | 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 2009–2010 | (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); Chairman of the Board |
and President (2006–2008) of Rohm and Haas Co. | of Hillenbrand, Inc. (specialized consumer services), |
(chemicals); Director of Tyco International, Ltd. | and of Oxfam America; Director of SKF AB (industrial |
(diversified manufacturing and services), Hewlett- | machinery), Hyster-Yale Materials Handling, Inc. |
Packard Co. (electronic computer manufacturing), | (forklift trucks), the Lumina Foundation for Education, |
and the V Foundation for Cancer Research; Member | Executive Officers | |
of the Advisory Council for the College of Arts and | ||
Letters and of the Advisory Board to the Kellogg | Glenn Booraem | |
Institute for International Studies, both at the | Born 1967. Controller Since July 2010. Principal | |
University of Notre Dame. | Occupation(s) During the Past Five Years: Principal | |
of The Vanguard Group, Inc.; Controller of each of | ||
Mark Loughridge | the investment companies served by The Vanguard | |
Born 1953. Trustee Since March 2012. Principal | Group; Assistant Controller of each of the investment | |
Occupation(s) During the Past Five Years: Senior Vice | companies served by The Vanguard Group (2001–2010). | |
President and Chief Financial Officer (retired 2013) | ||
at IBM (information technology services); Fiduciary | Thomas J. Higgins | |
Member of IBM’s Retirement Plan Committee (2004– | Born 1957. Chief Financial Officer Since September | |
2013); Member of the Council on Chicago Booth. | 2008. Principal Occupation(s) During the Past Five | |
Years: Principal of The Vanguard Group, Inc.; Chief | ||
Scott C. Malpass | Financial Officer of each of the investment companies | |
Born 1962. Trustee Since March 2012. Principal | served by The Vanguard Group; Treasurer of each of | |
Occupation(s) During the Past Five Years: Chief | the investment companies served by The Vanguard | |
Investment Officer and Vice President at the University | Group (1998–2008). | |
of Notre Dame; Assistant Professor of Finance at the | ||
Mendoza College of Business at Notre Dame; Member | Kathryn J. Hyatt | |
of the Notre Dame 403(b) Investment Committee; | Born 1955. Treasurer Since November 2008. Principal | |
Board Member of TIFF Advisory Services, Inc. | Occupation(s) During the Past Five Years: Principal of | |
(investment advisor); Member of the Investment | The Vanguard Group, Inc.; Treasurer of each of the | |
Advisory Committees of the Financial Industry | investment companies served by The Vanguard | |
Regulatory Authority (FINRA) and of Major League | Group; Assistant Treasurer of each of the investment | |
Baseball. | companies served by The Vanguard Group (1988–2008). | |
André F. Perold | Heidi Stam | |
Born 1952. Trustee Since December 2004. Principal | Born 1956. Secretary Since July 2005. Principal | |
Occupation(s) During the Past Five Years: George | Occupation(s) During the Past Five Years: Managing | |
Gund Professor of Finance and Banking, Emeritus | Director of The Vanguard Group, Inc.; General Counsel | |
at the Harvard Business School (retired 2011); | of The Vanguard Group; Secretary of The Vanguard | |
Chief Investment Officer and Managing Partner of | Group and of each of the investment companies | |
HighVista Strategies LLC (private investment firm); | served by The Vanguard Group; Director and Senior | |
Director of Rand Merchant Bank; Overseer of the | Vice President of Vanguard Marketing Corporation. | |
Museum of Fine Arts Boston. | ||
Vanguard Senior ManagementTeam | ||
Alfred M. Rankin, Jr. | ||
Born 1941. Trustee Since January 1993. Principal | Mortimer J. Buckley | Chris D. McIsaac |
Occupation(s) During the Past Five Years: Chairman, | Kathleen C. Gubanich | Michael S. Miller |
President, and Chief Executive Officer of NACCO | Paul A. Heller | James M. Norris |
Industries, Inc. (housewares/lignite), and of Hyster- | Martha G. King | Glenn W. Reed |
Yale Materials Handling, Inc. (forklift trucks); Chairman | John T. Marcante | |
of the Board of University Hospitals of Cleveland. | ||
Peter F. Volanakis | Chairman Emeritus and Senior Advisor | |
Born 1955. Trustee Since July 2009. Principal | ||
Occupation(s) During the Past Five Years: President | John J. Brennan | |
and Chief Operating Officer (retired 2010) of Corning | Chairman, 1996–2009 | |
Incorporated (communications equipment); Trustee of | Chief Executive Officer and President, 1996–2008 | |
Colby-Sawyer College; Member of the Advisory Board | ||
of the Norris Cotton Cancer Center and of the Advisory | Founder | |
Board of the Parthenon Group (strategy consulting). | ||
John C. Bogle | ||
Chairman and Chief Executive Officer, 1974–1996 | ||
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
P.O. Box 2600 | |
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This material may be used in conjunction | |
with the offering of shares of any Vanguard | |
fund only if preceded or accompanied by | |
the fund’s current prospectus. | |
All comparative mutual fund data are from Lipper, a | |
Thomson Reuters Company, or Morningstar, Inc., unless | |
otherwise noted. | |
You can obtain a free copy of Vanguard’s proxy voting | |
guidelines by visiting vanguard.com/proxyreporting or by | |
calling Vanguard at 800-662-2739. The guidelines are | |
also available from the SEC’s website, sec.gov. In | |
addition, you may obtain a free report on how your fund | |
voted the proxies for securities it owned during the 12 | |
months ended June 30. To get the report, visit either | |
vanguard.com/proxyreporting or sec.gov. | |
You can review and copy information about your fund at | |
the SEC’s Public Reference Room in Washington, D.C. To | |
find out more about this public service, call the SEC at | |
202-551-8090. Information about your fund is also | |
available on the SEC’s website, and you can receive | |
copies of this information, for a fee, by sending a | |
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Public Reference Section, Securities and Exchange | |
Commission, Washington, DC 20549-1520. | |
© 2014 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q300 102014 |
Annual Report | August 31, 2014
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
The mission continues
On May 1, 1975, Vanguard began operations, a fledgling company based on the simple but revolutionary idea that a mutual fund company should be managed solely in the interest of its investors.
Four decades later, that revolutionary spirit continues to animate the enterprise. Vanguard remains on a mission to give investors the best chance of investment success.
As we mark our 40th anniversary, we thank you for entrusting your assets to Vanguard and giving us the opportunity to help you reach your financial goals in the decades to come.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
S&P Mid-Cap 400 Index Fund. | 8 |
S&P Mid-Cap 400 Value Index Fund. | 26 |
S&P Mid-Cap 400 Growth Index Fund. | 43 |
Your Fund’s After-Tax Returns. | 61 |
About Your Fund’s Expenses. | 62 |
Trustees Approve Advisory Arrangements. | 64 |
Glossary. | 65 |
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: Since our founding, Vanguard has drawn inspiration from the enterprise and valor demonstrated by British naval hero Horatio Nelson and his command at the Battle of the Nile in 1798. The photograph displays a replica of a merchant ship from the same era as Nelson’s flagship, the HMS Vanguard.
Your Fund’s Total Returns
Fiscal Year Ended August 31, 2014 | |
Total | |
Returns | |
Vanguard S&P Mid-Cap 400 Index Fund | |
Institutional Shares | 23.16% |
ETF Shares | |
Market Price | 23.05 |
Net Asset Value | 23.06 |
S&P MidCap 400 Index | 23.25 |
Mid-Cap Core Funds Average | 22.16 |
Mid-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
Vanguard S&P Mid-Cap 400 Value Index Fund | |
Institutional Shares | 25.42% |
ETF Shares | |
Market Price | 25.19 |
Net Asset Value | 25.26 |
S&P MidCap 400 Value Index | 25.54 |
Mid-Cap Value Funds Average | 23.95 |
Mid-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
Vanguard S&P Mid-Cap 400 Growth Index Fund | |
Institutional Shares | 20.99% |
ETF Shares | |
Market Price | 20.79 |
Net Asset Value | 20.84 |
S&P MidCap 400 Growth Index | 21.07 |
Mid-Cap Growth Funds Average | 19.60 |
Mid-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
Institutional Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The
Vanguard ETF® Shares shown are traded on the NYSE Arca exchange and are available only through brokers. The table provides ETF returns
based on both the NYSE Arca market price and the net asset value for a share. U.S. Pat. Nos. 6,879,964; 7,337,138; 7,720,749; 7,925,573;
8,090,646; and 8,417,623.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock
Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about
how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price
and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was
above or below the NAV.
1
Chairman’s Letter
Dear Shareholder,
For the 12 months ended August 31, 2014, returns of the Vanguard S&P Mid-Cap 400 Index Funds ranged from almost 21% for the Growth Fund to more than 25% for the Value Fund. The blended Vanguard S&P Mid-Cap 400 Index Fund was in between, returning about 23%.
Midsized companies notched another year of robust stock returns, although most of their gains came in the first half, as they did in the broad U.S. market. Within the Standard & Poor’s family of indexes, mid-capitalization stocks lagged large-caps—represented by the S&P 500 Index—by 2 percentage points. In turn, the S&P 600 Index of small-cap stocks lagged the mid-cap index by more than 4 percentage points.
This leadership by large-company stocks contrasts with recent years, when small-company stocks outperformed. Because size and style leadership alternate over time, we counsel that broad diversification is the best course.
If you hold your shares in a taxable account, you may want to review the information on after-tax returns that appears later in this report.
Stocks cleared several hurdles to chart a series of new highs
Despite an assortment of challenges, the broad U.S. stock market recorded an impressive return of about 25% for the 12 months ended August 31. U.S. stocks registered positive results in all but two months, and a late-July swoon was followed by an August flurry of record highs.
Investors applauded mostly solid corporate earnings, generally upbeat economic news, and the Federal Reserve’s continued accommodative policies. Still, turmoil in the Middle East and Ukraine, economic worries in Europe and China, and uncertainty about the Fed’s next moves pressured stocks at various times.
International stocks returned about 18% Emerging markets, after sliding earlier in the period, rebounded to lead the way. The developed markets of the Pacific region and Europe trailed but still posted double-digit returns.
Defying analysts’ expectations, bond prices rose over the year
The broad U.S. taxable bond market returned 5.66%, rallying from the drubbing it took a year ago when investors fretted over the future of the Fed’s bond-buying program.
The Fed began reducing its purchases in January and has consistently cut them further since, with the goal of ending the program in October. Interest rates have not risen as forecast, however. The yield
Market Barometer | |||
Average Annual Total Returns | |||
Periods Ended August 31, 2014 | |||
One | Three | Five | |
Year | Years | Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 25.36% | 20.80% | 17.24% |
Russell 2000 Index (Small-caps) | 17.68 | 19.00 | 17.03 |
Russell 3000 Index (Broad U.S. market) | 24.74 | 20.65 | 17.22 |
FTSE All-World ex US Index (International) | 18.04 | 9.48 | 8.44 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | 5.66% | 2.91% | 4.48% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 10.14 | 4.88 | 5.39 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.04 | 0.04 | 0.07 |
CPI | |||
Consumer Price Index | 1.70% | 1.64% | 1.96% |
3
of the 10-year U.S. Treasury note ended August at 2.34%, down from 2.76% a year earlier. (Bond prices and yields move in opposite directions.)
Municipal bonds returned 10.14% as investors searched for tax-exempt income amid a limited supply of new issues. The Fed’s target of 0%–0.25% for short-term interest rates continued to restrict returns for money market funds and savings accounts.
International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned 6.52%, collectively outperforming the broad U.S. market.
Following such a strong advance for bonds globally, it’s worth remembering that the current low yields imply lower future returns: As yields drop, the scope for further declines—and increases in prices—diminishes.
As the stock rally lost steam, value stocks overtook growth
During the first six months of the fiscal year, mid-sized growth stocks overtook their value-oriented counterparts, which had outperformed by a sizable margin in fiscal-year 2013. But in the second half, as the end of the Fed’s stimulative bond-buying came into focus, mid-cap value stocks leapfrogged ahead of
Expense Ratios | |||
Your Fund Compared With Its Peer Group | |||
Institutional | ETF | Peer Group | |
Shares | Shares | Average | |
S&P Mid-Cap 400 Index Fund | 0.08% | 0.15% | 1.21% |
S&P Mid-Cap 400 Value Index Fund | 0.08 | 0.20 | 1.30 |
S&P Mid-Cap 400 Growth Index Fund | 0.08 | 0.20 | 1.30 |
The fund expense ratios shown are from the prospectus dated December 23, 2013 (April 17, 2014 for S&P Mid-Cap 400 Value Index Fund), and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2014, 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, a Thomson Reuters Company, and capture information through year-end 2013.
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
growth to finish the year more than 4 percentage points in the lead. A similar style rotation took place among large- and small-cap stocks; in fact, small-cap growth stocks dipped into negative territory in the second half. Still, notwithstanding some differences in performance by style, company size, and industry group, it was another exceptionally strong year for stocks.
These dynamics helped give a boost to Vanguard S&P Mid-Cap 400 Value Index Fund, whose ETF shares returned 25.26%. (All returns cited in this section are for ETF shares based on net asset value.) Information technology stocks, which admittedly are often regarded as growth-oriented, were the best performers, returning more than 37%. Strength was broad and deep across the IT sector, especially among semiconductor firms, which benefited in part from signs of a pickup in capital spending. Eight other sectors—including the fund’s largest, financials, which is often home to many value companies—returned more than 20%. Telecommunication services, representing less than 1% of fund assets, returned about 10%.
Vanguard S&P Mid-Cap 400 Growth Index Fund returned 20.84%. Here, the tiny telecommunication services sector returned more than 43%. Eight other sectors also posted double-digit gains.
Total Returns | |
Inception Through August 31, 2014 | |
Average | |
Annual Return | |
S&P Mid-Cap 400 Index Fund Institutional Shares (Returns since inception: 3/28/2011) | 13.90% |
S&P MidCap 400 Index | 13.97 |
Mid-Cap Core Funds Average | 13.08 |
Mid-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
S&P Mid-Cap 400 Value Index Fund Institutional Shares (Returns since inception: 11/2/2010) | 17.48% |
S&P MidCap 400 Value Index | 17.57 |
Mid-Cap Value Funds Average | 16.12 |
Mid-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
S&P Mid-Cap 400 Growth Index Fund Institutional Shares (Returns since inception: 3/28/2011) | 12.99% |
S&P MidCap 400 Growth Index | 13.05 |
Mid-Cap Growth Funds Average | 11.76 |
Mid-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
The figures shown represent past performance, which is not a guarantee of future results. (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.
5
Two large sectors, industrials and consumer discretionary, contributed the most to the fund’s result, accounting for about 40% of its total return.
Vanguard S&P Mid-Cap 400 Index Fund returned 23.06%, in between the results of its value and growth siblings. Combining value and growth stocks in one fund tends to smooth some of the outlying returns in each group. Sector returns in this fund fell within a narrower range, from almost 20% for utilities to almost 30% for consumer staples.
Since inception, each fund has closely tracked its index
For any index fund, success is defined as closely tracking the performance of its target index, which, of course, incurs no expenses. Since their inception less than four years ago, the funds have been successful. That’s no small accomplishment, especially for new funds as they begin to build scale.
Their close tracking is a testament to the experience, talent, and sophisticated systems of Vanguard Equity Investment Group, your fund’s advisor. And each fund’s average annual return since inception has exceeded, by about 1 percentage point or more, that of its peer group.
High costs don’t equal strong fund performance
The adage “You get what you pay for” doesn’t apply to mutual funds. In fact, the reverse is true: Research suggests that higher costs are consistent with weaker returns. (See, for example, Shopping for Alpha: You Get What You Don’t Pay For at vanguard.com/research.)
Wouldn’t paying the highest fees allow you to purchase the services of the greatest talents, and therefore get you the best returns? As it turns out, the data don’t support that argument. The explanation is simple: Every dollar paid for management fees is a dollar less earning potential return. Keeping expenses down can help narrow the gap between what the markets return and what investors actually earn.
That’s why Vanguard always seeks to minimize costs. Indexing, of course, is the purest form of low-cost investing. And we negotiate low fees for our actively managed funds, which are run by world-class advisors. It’s a strategy that reflects decades of experience and research, boiled down to one tenet: The less you pay, the more you keep.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
September 18, 2014
6
Your Fund’s Performance at a Glance | ||||
August 31, 2013, Through August 31, 2014 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard S&P Mid-Cap 400 Index Fund | ||||
Institutional Shares | $159.20 | $194.13 | $1.742 | $0.000 |
ETF Shares | 79.72 | 97.19 | 0.831 | 0.000 |
Vanguard S&P Mid-Cap 400 Value Index Fund | ||||
Institutional Shares | $155.83 | $193.66 | $1.568 | $0.000 |
ETF Shares | 77.93 | 96.78 | 0.744 | 0.000 |
Vanguard S&P Mid-Cap 400 Growth Index | ||||
Fund | ||||
Institutional Shares | $161.12 | $193.45 | $1.372 | $0.000 |
ETF Shares | 80.96 | 97.18 | 0.607 | 0.000 |
7
S&P Mid-Cap 400 Index Fund
Fund Profile
As of August 31, 2014
Share-Class Characteristics | ||
Institutional | ETF | |
Shares | Shares | |
Ticker Symbol | VSPMX | IVOO |
Expense Ratio1 | 0.08% | 0.15% |
30-Day SEC Yield | 1.32% | 1.25% |
Portfolio Characteristics | |||
DJ | |||
U.S. | |||
Total | |||
S&P | Market | ||
MidCap | FA | ||
Fund 400 Index | Index | ||
Number of Stocks | 400 | 400 | 3,709 |
Median Market Cap | $5.0B | $5.0B | $48.0B |
Price/Earnings Ratio | 23.6x | 23.7x | 20.7x |
Price/Book Ratio | 2.4x | 2.4x | 2.7x |
Return on Equity | 13.6% | 13.6% | 17.8% |
Earnings Growth | |||
Rate | 15.3% | 15.3% | 15.3% |
Dividend Yield | 1.4% | 1.4% | 1.8% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 14% | — | — |
Short-Term Reserves | -0.1% | — | — |
Volatility Measures | ||
DJ | ||
U.S. Total | ||
S&P MidCap | Market | |
400 Index | FA Index | |
R-Squared | 1.00 | 0.93 |
Beta | 1.00 | 1.17 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months. | ||
Ten Largest Holdings (% of total net assets) | ||
Equinix Inc. | Internet Software & | |
Services | 0.7% | |
United Rentals Inc. | Trading Companies & | |
Distributors | 0.7 | |
Skyworks Solutions Inc. | Semiconductors | 0.7 |
SL Green Realty Corp. | Office REITs | 0.6 |
Universal Health | ||
Services Inc. | Health Care Facilities | 0.6 |
Hanesbrands Inc. | Apparel, Accessories | |
& Luxury Goods | 0.6 | |
Henry Schein Inc. | Health Care | |
Distributors | 0.6 | |
Salix Pharmaceuticals | ||
Ltd. | Pharmaceuticals | 0.6 |
Advance Auto Parts Inc. | Automotive Retail | 0.6 |
HollyFrontier Corp. | Oil & Gas Refining & | |
Marketing | 0.6 | |
Top Ten | 6.3% | |
The holdings listed exclude any temporary cash investments and equity index products. | ||
Investment Focus
1 The expense ratios shown are from the prospectus dated December 23, 2013, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2014, the expense ratios were 0.08% for Institutional Shares and 0.15% for ETF Shares.
8
S&P Mid-Cap 400 Index Fund
Sector Diversification (% of equity exposure) | |||
DJ | |||
U.S. | |||
Total | |||
S&P | Market | ||
MidCap | FA | ||
Fund 400 Index | Index | ||
Consumer Discretionary 13.1% | 13.2% | 12.6% | |
Consumer Staples | 3.0 | 3.0 | 8.1 |
Energy | 5.4 | 5.4 | 9.7 |
Financials | 22.2 | 22.2 | 17.3 |
Health Care | 9.8 | 9.7 | 13.3 |
Industrials | 16.9 | 16.8 | 11.2 |
Information Technology 16.8 | 16.9 | 18.6 | |
Materials | 7.6 | 7.6 | 3.9 |
Telecommunication | |||
Services | 0.5 | 0.5 | 2.2 |
Utilities | 4.7 | 4.7 | 3.1 |
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, 2014
Initial Investment of $10,000
Average Annual Total Returns | ||||
Periods Ended August 31, 2014 | ||||
Since | Final Value | |||
One | Inception | of a $10,000 | ||
Year | (9/7/2010) | Investment | ||
S&P Mid-Cap 400 Index Fund*ETF | ||||
Shares Net Asset Value | 23.06% | 19.12% | $20,070 | |
S&P Mid-Cap 400 Index Fund*ETF | ||||
Shares Market Price | 23.05 | 19.11 | 20,063 | |
•••••••• | S&P MidCap 400 Index | 23.25 | 19.29 | 20,183 |
– – – – | Mid-Cap Core Funds Average | 22.16 | 18.01 | 19,335 |
Dow Jones U.S. Total Stock Market | ||||
Float Adjusted Index | 24.68 | 19.19 | 20,114 | |
Mid-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. "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 | 23.16% | 13.90% | $7,810,275 |
S&P MidCap 400 Index | 23.25 | 13.97 | 7,828,457 |
Dow Jones U.S. Total Stock Market Float | |||
Adjusted Index | 24.68 | 15.44 | 8,178,319 |
"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, 2014 | ||
Since | ||
One | Inception | |
Year | (9/7/2010) | |
S&P Mid-Cap 400 Index Fund ETF Shares Market | ||
Price | 23.05% | 100.63% |
S&P Mid-Cap 400 Index Fund ETF Shares Net Asset | ||
Value | 23.06 | 100.70 |
S&P MidCap 400 Index | 23.25 | 101.83 |
"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, 2014
Average Annual Total Returns: Periods Ended June 30, 2014 | |||
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 | 25.16% | 14.47% |
ETF Shares | 9/7/2010 | ||
Market Price | 25.27 | 19.89 | |
Net Asset Value | 25.06 | 19.88 | |
1 Institutional Shares were first issued on December 15, 2010, and the sole shareholder redeemed shortly thereafter. Institutional Shares were next issued on March 28, 2011. The total returns shown are based on the period beginning March 28, 2011. | |||
11
S&P Mid-Cap 400 Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2014
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 (99.5%)1 | |||
Consumer Discretionary (13.1%) | |||
Hanesbrands Inc. | 53,264 | 5,469 | |
Advance Auto Parts Inc. | 39,024 | 5,324 | |
Polaris Industries Inc. | 35,245 | 5,124 | |
Signet Jewelers Ltd. | 42,902 | 5,057 | |
* | LKQ Corp. | 161,472 | 4,586 |
Foot Locker Inc. | 78,002 | 4,377 | |
* | Jarden Corp. | 64,185 | 3,838 |
Williams-Sonoma Inc. | 46,828 | 3,080 | |
* | Toll Brothers Inc. | 85,594 | 3,046 |
Service Corp. International | 114,241 | 2,533 | |
* | NVR Inc. | 2,066 | 2,424 |
Dick’s Sporting Goods Inc. | 53,149 | 2,395 | |
Carter’s Inc. | 28,727 | 2,378 | |
Gentex Corp. | 78,065 | 2,307 | |
Domino’s Pizza Inc. | 29,764 | 2,246 | |
International | |||
Game Technology | 132,153 | 2,228 | |
Brunswick Corp. | 49,612 | 2,133 | |
* | Panera Bread Co. Class A | 13,962 | 2,093 |
* | Kate Spade & Co. | 63,451 | 2,052 |
* | AMC Networks Inc. Class A | 31,624 | 1,979 |
Tupperware Brands Corp. | 26,995 | 1,978 | |
Cinemark Holdings Inc. | 55,711 | 1,966 | |
* | Tempur Sealy | ||
International Inc. | 32,531 | 1,904 | |
Lamar Advertising Co. | |||
Class A | 35,127 | 1,843 | |
* | JC Penney Co. Inc. | 163,079 | 1,761 |
* | Deckers Outdoor Corp. | 18,528 | 1,709 |
Brinker International Inc. | 34,755 | 1,699 | |
* | Live Nation | ||
Entertainment Inc. | 76,153 | 1,672 | |
* | Bally Technologies Inc. | 21,017 | 1,666 |
Abercrombie & Fitch Co. | 38,944 | 1,628 | |
* | Cabela’s Inc. | 25,084 | 1,531 |
Sotheby’s | 36,890 | 1,505 |
Market | |||
Value• | |||
Shares | ($000) | ||
John Wiley & Sons Inc. | |||
Class A | 25,060 | 1,502 | |
* | Apollo Education Group Inc. | 53,067 | 1,474 |
CST Brands Inc. | 40,468 | 1,410 | |
* | Time Inc. | 59,713 | 1,402 |
Big Lots Inc. | 29,686 | 1,376 | |
* | Office Depot Inc. | 260,422 | 1,333 |
DeVry Education Group Inc. | 30,583 | 1,313 | |
Chico’s FAS Inc. | 82,014 | 1,296 | |
* | Murphy USA Inc. | 23,772 | 1,295 |
Thor Industries Inc. | 23,964 | 1,287 | |
* | Ascena Retail Group Inc. | 69,218 | 1,204 |
American Eagle | |||
Outfitters Inc. | 82,084 | 1,156 | |
Wendy’s Co. | 141,355 | 1,152 | |
Cheesecake Factory Inc. | 24,595 | 1,105 | |
HSN Inc. | 17,945 | 1,087 | |
* | ANN Inc. | 25,065 | 1,039 |
Aaron’s Inc. | 38,666 | 991 | |
* | Life Time Fitness Inc. | 20,129 | 928 |
Meredith Corp. | 19,811 | 923 | |
KB Home | 48,163 | 855 | |
Guess? Inc. | 31,949 | 749 | |
* | DreamWorks Animation | ||
SKG Inc. Class A | 32,324 | 706 | |
New York Times Co. | |||
Class A | 56,410 | 698 | |
Rent-A-Center Inc. | 23,309 | 649 | |
MDC Holdings Inc. | 20,919 | 607 | |
International Speedway | |||
Corp. Class A | 14,953 | 501 | |
113,569 | |||
Consumer Staples (3.0%) | |||
Church & Dwight Co. Inc. | 72,701 | 4,961 | |
Energizer Holdings Inc. | 32,990 | 4,009 | |
* | WhiteWave Foods Co. | ||
Class A | 93,021 | 3,258 | |
Ingredion Inc. | 39,900 | 3,182 | |
* | Hain Celestial Group Inc. | 26,812 | 2,637 |
Flowers Foods Inc. | 94,048 | 1,842 |
12
S&P Mid-Cap 400 Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
* | United Natural Foods Inc. | 26,555 | 1,707 |
* | SUPERVALU Inc. | 105,852 | 1,011 |
Lancaster Colony Corp. | 10,391 | 919 | |
Dean Foods Co. | 50,045 | 810 | |
* | Post Holdings Inc. | 19,696 | 728 |
Universal Corp. | 12,438 | 656 | |
Tootsie Roll Industries Inc. | 11,083 | 313 | |
26,033 | |||
Energy (5.4%) | |||
HollyFrontier Corp. | 106,276 | 5,317 | |
Oceaneering | |||
International Inc. | 57,774 | 4,019 | |
SM Energy Co. | 35,875 | 3,194 | |
Energen Corp. | 38,937 | 3,134 | |
Superior Energy | |||
Services Inc. | 83,777 | 3,002 | |
* | WPX Energy Inc. | 108,147 | 2,879 |
* | Dresser-Rand Group Inc. | 40,914 | 2,835 |
* | Gulfport Energy Corp. | 45,704 | 2,674 |
Patterson-UTI Energy Inc. | 77,306 | 2,670 | |
* | Dril-Quip Inc. | 21,767 | 2,209 |
Rowan Cos. plc Class A | 66,541 | 2,017 | |
* | Oil States International Inc. | 28,390 | 1,833 |
World Fuel Services Corp. | 38,515 | 1,709 | |
* | Rosetta Resources Inc. | 32,875 | 1,644 |
* | Unit Corp. | 23,612 | 1,554 |
* | Atwood Oceanics Inc. | 30,961 | 1,530 |
* | Helix Energy Solutions | ||
Group Inc. | 52,526 | 1,435 | |
Tidewater Inc. | 26,515 | 1,349 | |
CARBO Ceramics Inc. | 9,378 | 1,009 | |
* | Bill Barrett Corp. | 20,478 | 466 |
46,479 | |||
Financials (22.1%) | |||
SL Green Realty Corp. | 51,051 | 5,582 | |
Realty Income Corp. | 118,451 | 5,297 | |
Federal Realty | |||
Investment Trust | 35,985 | 4,490 | |
Everest Re Group Ltd. | 24,665 | 4,041 | |
UDR Inc. | 134,500 | 4,024 | |
Arthur J Gallagher & Co. | 84,036 | 3,969 | |
* | Alleghany Corp. | 8,807 | 3,797 |
New York Community | |||
Bancorp Inc. | 236,797 | 3,777 | |
Raymond James | |||
Financial Inc. | 66,412 | 3,629 | |
Camden Property Trust | 45,774 | 3,426 | |
Duke Realty Corp. | 176,265 | 3,279 | |
Jones Lang LaSalle Inc. | 23,841 | 3,185 | |
* | Signature Bank | 26,748 | 3,169 |
Extra Space Storage Inc. | 58,925 | 3,105 | |
Reinsurance Group | |||
of America Inc. Class A | 36,955 | 3,067 |
Market | |||
Value• | |||
Shares | ($000) | ||
Alexandria Real Estate | |||
Equities Inc. | 38,331 | 3,030 | |
* | SVB Financial Group | 26,661 | 2,968 |
Protective Life Corp. | 42,182 | 2,927 | |
Mid-America Apartment | |||
Communities Inc. | 40,129 | 2,902 | |
* | MSCI Inc. Class A | 62,435 | 2,881 |
SEI Investments Co. | 76,018 | 2,881 | |
Regency Centers Corp. | 49,402 | 2,823 | |
Liberty Property Trust | 79,016 | 2,799 | |
Kilroy Realty Corp. | 43,986 | 2,782 | |
HCC Insurance Holdings Inc. | 53,446 | 2,680 | |
WR Berkley Corp. | 55,324 | 2,675 | |
East West Bancorp Inc. | 76,713 | 2,673 | |
Taubman Centers Inc. | 33,846 | 2,578 | |
Senior Housing | |||
Properties Trust | 108,993 | 2,543 | |
Omega Healthcare | |||
Investors Inc. | 67,432 | 2,540 | |
Eaton Vance Corp. | 64,588 | 2,529 | |
National Retail Properties Inc. | 65,908 | 2,448 | |
CBOE Holdings Inc. | 46,001 | 2,439 | |
Hospitality Properties Trust | 80,114 | 2,358 | |
Waddell & Reed Financial | |||
Inc. Class A | 43,058 | 2,347 | |
Rayonier Inc. | 67,663 | 2,319 | |
BioMed Realty Trust Inc. | 102,995 | 2,312 | |
American Financial | |||
Group Inc. | 38,316 | 2,298 | |
Cullen/Frost Bankers Inc. | 28,353 | 2,229 | |
RenaissanceRe Holdings Ltd. | 21,695 | 2,221 | |
Corrections Corp. of America | 62,260 | 2,219 | |
American Campus | |||
Communities Inc. | 56,129 | 2,218 | |
PacWest Bancorp | 51,275 | 2,150 | |
Brown & Brown Inc. | 63,606 | 2,075 | |
Weingarten Realty Investors | 60,135 | 2,058 | |
Highwoods Properties Inc. | 48,220 | 2,052 | |
LaSalle Hotel Properties | 55,679 | 2,035 | |
SLM Corp. | 226,209 | 2,004 | |
Commerce Bancshares Inc. | 43,290 | 1,997 | |
Old Republic | |||
International Corp. | 129,648 | 1,990 | |
Home Properties Inc. | 30,569 | 1,963 | |
City National Corp. | 25,585 | 1,941 | |
Prosperity Bancshares Inc. | 32,088 | 1,938 | |
Synovus Financial Corp. | 74,366 | 1,796 | |
Umpqua Holdings Corp. | 99,829 | 1,744 | |
Washington Prime | |||
Group Inc. | 83,118 | 1,622 | |
First American | |||
Financial Corp. | 57,169 | 1,621 | |
Federated Investors Inc. | |||
Class B | 50,619 | 1,553 |
S&P Mid-Cap 400 Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Associated Banc-Corp | 85,327 | 1,551 | |
First Horizon National Corp. | 126,602 | 1,539 | |
StanCorp Financial | |||
Group Inc. | 23,405 | 1,533 | |
First Niagara Financial | |||
Group Inc. | 173,600 | 1,510 | |
Hanover Insurance | |||
Group Inc. | 23,577 | 1,496 | |
Aspen Insurance | |||
Holdings Ltd. | 35,014 | 1,489 | |
Primerica Inc. | 29,120 | 1,466 | |
Hancock Holding Co. | 44,033 | 1,464 | |
Webster Financial Corp. | 48,332 | 1,426 | |
TCF Financial Corp. | 89,171 | 1,409 | |
FirstMerit Corp. | 80,620 | 1,389 | |
Bank of Hawaii Corp. | 23,777 | 1,380 | |
Corporate Office | |||
Properties Trust | 46,885 | 1,331 | |
Washington Federal Inc. | 54,233 | 1,180 | |
Fulton Financial Corp. | 101,140 | 1,167 | |
Valley National Bancorp | 107,302 | 1,073 | |
Cathay General Bancorp | 39,636 | 1,032 | |
Mercury General Corp. | 19,423 | 995 | |
Kemper Corp. | 27,253 | 991 | |
Janus Capital Group Inc. | 80,375 | 977 | |
BancorpSouth Inc. | 45,238 | 958 | |
Alexander & Baldwin Inc. | 22,955 | 939 | |
Potlatch Corp. | 21,730 | 927 | |
Mack-Cali Realty Corp. | 40,747 | 861 | |
Trustmark Corp. | 36,105 | 857 | |
International | |||
Bancshares Corp. | 30,475 | 803 | |
Equity One Inc. | 33,901 | 800 | |
Westamerica Bancorporation | 14,088 | 681 | |
Astoria Financial Corp. | 45,260 | 592 | |
191,811 | |||
Health Care (9.7%) | |||
Universal Health Services | |||
Inc. Class B | 48,085 | 5,503 | |
* | Henry Schein Inc. | 45,662 | 5,465 |
* | Salix Pharmaceuticals Ltd. | 33,918 | 5,397 |
* | Endo International plc | 74,933 | 4,774 |
* | Mettler-Toledo | ||
International Inc. | 15,631 | 4,228 | |
Cooper Cos. Inc. | 25,645 | 4,181 | |
ResMed Inc. | 75,068 | 3,982 | |
* | Hologic Inc. | 147,816 | 3,676 |
* | IDEXX Laboratories Inc. | 27,447 | 3,403 |
Omnicare Inc. | 52,976 | 3,378 | |
* | Community Health | ||
Systems Inc. | 61,660 | 3,347 | |
* | MEDNAX Inc. | 53,170 | 3,044 |
* | United Therapeutics Corp. | 23,612 | 2,782 |
* | Cubist Pharmaceuticals Inc. | 40,287 | 2,781 |
* | Covance Inc. | 30,718 | 2,546 |
Market | |||
Value• | |||
Shares | ($000) | ||
Teleflex Inc. | 22,132 | 2,423 | |
* | Sirona Dental Systems Inc. | 29,612 | 2,414 |
* | Align Technology Inc. | 38,437 | 2,093 |
* | Health Net Inc. | 42,914 | 2,026 |
* | VCA Inc. | 47,248 | 1,925 |
* | LifePoint Hospitals Inc. | 23,800 | 1,780 |
STERIS Corp. | 31,617 | 1,780 | |
Techne Corp. | 17,817 | 1,702 | |
* | WellCare Health Plans Inc. | 23,477 | 1,546 |
* | Charles River Laboratories | ||
International Inc. | 25,883 | 1,530 | |
Hill-Rom Holdings Inc. | 30,623 | 1,342 | |
* | Bio-Rad Laboratories Inc. | ||
Class A | 10,796 | 1,298 | |
* | Allscripts Healthcare | ||
Solutions Inc. | 85,491 | 1,263 | |
Owens & Minor Inc. | 33,768 | 1,162 | |
* | HMS Holdings Corp. | 40,729 | 931 |
* | Thoratec Corp. | 24,820 | 620 |
84,322 | |||
Industrials (16.8%) | |||
* | United Rentals Inc. | 52,030 | 6,121 |
* | B/E Aerospace Inc. | 52,924 | 4,485 |
Wabtec Corp. | 51,594 | 4,301 | |
Trinity Industries Inc. | 82,870 | 4,009 | |
Fortune Brands Home | |||
& Security Inc. | 88,828 | 3,838 | |
Towers Watson & Co. | |||
Class A | 34,223 | 3,752 | |
JB Hunt Transport | |||
Services Inc. | 48,928 | 3,697 | |
* | Kirby Corp. | 30,484 | 3,636 |
Hubbell Inc. Class B | 28,808 | 3,483 | |
Alaska Air Group Inc. | 73,524 | 3,407 | |
IDEX Corp. | 43,128 | 3,318 | |
Manpowergroup Inc. | 42,595 | 3,305 | |
Waste Connections Inc. | 66,309 | 3,253 | |
Lincoln Electric Holdings Inc. | 43,026 | 3,059 | |
Donaldson Co. Inc. | 70,360 | 2,945 | |
Acuity Brands Inc. | 23,116 | 2,864 | |
Carlisle Cos. Inc. | 34,285 | 2,842 | |
* | Genesee & Wyoming Inc. | ||
Class A | 27,289 | 2,683 | |
Huntington Ingalls | |||
Industries Inc. | 26,273 | 2,683 | |
Nordson Corp. | 32,017 | 2,595 | |
Graco Inc. | 32,431 | 2,493 | |
* | Old Dominion Freight | ||
Line Inc. | 37,341 | 2,490 | |
SPX Corp. | 23,442 | 2,439 | |
ITT Corp. | 49,062 | 2,348 | |
MSC Industrial Direct Co. | |||
Inc. Class A | 25,342 | 2,284 | |
AGCO Corp. | 46,735 | 2,283 | |
Oshkosh Corp. | 45,445 | 2,258 |
14
S&P Mid-Cap 400 Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
URS Corp. | 36,899 | 2,235 | |
Terex Corp. | 59,014 | 2,208 | |
Alliant Techsystems Inc. | 17,045 | 2,148 | |
* | Copart Inc. | 60,022 | 2,067 |
Lennox International Inc. | 24,192 | 2,026 | |
Valmont Industries Inc. | 14,385 | 2,025 | |
* | AECOM Technology Corp. | 53,104 | 2,009 |
* | Esterline Technologies Corp. | 17,106 | 2,005 |
AO Smith Corp. | 40,723 | 1,999 | |
Triumph Group Inc. | 27,905 | 1,936 | |
* | NOW Inc. | 57,406 | 1,896 |
RR Donnelley & Sons Co. | 106,800 | 1,887 | |
Kennametal Inc. | 42,038 | 1,884 | |
Timken Co. | 41,013 | 1,857 | |
Crane Co. | 26,447 | 1,840 | |
* | Clean Harbors Inc. | 29,589 | 1,791 |
Exelis Inc. | 101,433 | 1,744 | |
Regal-Beloit Corp. | 24,148 | 1,716 | |
CLARCOR Inc. | 26,978 | 1,705 | |
Woodward Inc. | 31,577 | 1,649 | |
GATX Corp. | 24,636 | 1,633 | |
Landstar System Inc. | 24,055 | 1,633 | |
KBR Inc. | 72,547 | 1,597 | |
Deluxe Corp. | 26,785 | 1,595 | |
Con-way Inc. | 30,531 | 1,565 | |
* | JetBlue Airways Corp. | 122,291 | 1,496 |
Civeo Corp. | 56,786 | 1,443 | |
Watsco Inc. | 14,597 | 1,350 | |
Corporate Executive | |||
Board Co. | 18,090 | 1,193 | |
Harsco Corp. | 43,218 | 1,046 | |
Rollins Inc. | 34,392 | 1,023 | |
Herman Miller Inc. | 31,711 | 942 | |
MSA Safety Inc. | 16,994 | 941 | |
HNI Corp. | 24,143 | 915 | |
* | FTI Consulting Inc. | 21,873 | 811 |
Granite Construction Inc. | 19,473 | 687 | |
Werner Enterprises Inc. | 24,365 | 607 | |
145,975 | |||
Information Technology (16.7%) | |||
* | Equinix Inc. | 28,453 | 6,210 |
Skyworks Solutions Inc. | 101,414 | 5,746 | |
* | Trimble Navigation Ltd. | 139,550 | 4,641 |
* | ANSYS Inc. | 49,569 | 4,030 |
* | Gartner Inc. | 48,266 | 3,600 |
* | Synopsys Inc. | 82,777 | 3,386 |
* | Arrow Electronics Inc. | 53,301 | 3,318 |
Avnet Inc. | 74,038 | 3,295 | |
* | NCR Corp. | 89,822 | 3,068 |
* | SunEdison Inc. | 131,660 | 2,900 |
* | Cree Inc. | 62,091 | 2,829 |
*,^ | 3D Systems Corp. | 52,003 | 2,783 |
Broadridge Financial | |||
Solutions Inc. | 64,557 | 2,746 |
Market | |||
Value• | |||
Shares | ($000) | ||
* | Cadence Design | ||
Systems Inc. | 154,887 | 2,732 | |
* | MICROS Systems Inc. | 40,028 | 2,721 |
FactSet Research | |||
Systems Inc. | 21,066 | 2,684 | |
Global Payments Inc. | 36,479 | 2,653 | |
Jack Henry & Associates Inc. | 45,236 | 2,615 | |
* | Concur Technologies Inc. | 25,563 | 2,566 |
* | PTC Inc. | 63,462 | 2,455 |
* | Ingram Micro Inc. | 83,037 | 2,394 |
* | WEX Inc. | 20,732 | 2,356 |
Teradyne Inc. | 109,508 | 2,255 | |
Solera Holdings Inc. | 36,810 | 2,244 | |
* | Ultimate Software Group Inc. | 15,168 | 2,230 |
* | Zebra Technologies Corp. | 27,014 | 2,108 |
* | VeriFone Systems Inc. | 59,777 | 2,087 |
* | Rackspace Hosting Inc. | 58,205 | 2,014 |
* | ARRIS Group Inc. | 63,839 | 1,954 |
* | RF Micro Devices Inc. | 153,114 | 1,909 |
* | Fortinet Inc. | 73,293 | 1,892 |
* | Informatica Corp. | 54,537 | 1,857 |
* | Atmel Corp. | 208,953 | 1,851 |
* | AOL Inc. | 42,773 | 1,849 |
FEI Co. | 20,992 | 1,764 | |
National Instruments Corp. | 52,645 | 1,745 | |
DST Systems Inc. | 18,691 | 1,735 | |
* | TIBCO Software Inc. | 81,852 | 1,706 |
Belden Inc. | 23,332 | 1,705 | |
Lexmark International Inc. | |||
Class A | 33,318 | 1,685 | |
* | International Rectifier Corp. | 38,139 | 1,503 |
* | Knowles Corp. | 45,504 | 1,498 |
* | Riverbed Technology Inc. | 78,657 | 1,482 |
* | JDS Uniphase Corp. | 125,601 | 1,451 |
* | Advanced Micro | ||
Devices Inc. | 346,630 | 1,445 | |
* | CoreLogic Inc. | 49,149 | 1,389 |
* | Tech Data Corp. | 20,464 | 1,381 |
* | SolarWinds Inc. | 31,915 | 1,366 |
Diebold Inc. | 34,570 | 1,313 | |
Leidos Holdings Inc. | 34,014 | 1,281 | |
* | Integrated Device | ||
Technology Inc. | 72,714 | 1,196 | |
* | ACI Worldwide Inc. | 60,894 | 1,186 |
* | CommVault Systems Inc. | 21,314 | 1,175 |
* | Fairchild Semiconductor | ||
International Inc. Class A | 66,865 | 1,174 | |
* | Ciena Corp. | 56,214 | 1,163 |
Vishay Intertechnology Inc. | 72,604 | 1,162 | |
Mentor Graphics Corp. | 51,826 | 1,130 | |
Compuware Corp. | 117,581 | 1,099 | |
Plantronics Inc. | 22,774 | 1,087 | |
Convergys Corp. | 54,316 | 1,043 | |
* | Rovi Corp. | 44,935 | 1,039 |
Intersil Corp. Class A | 68,932 | 1,037 |
15
S&P Mid-Cap 400 Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Science Applications | |||
International Corp. | 21,835 | 1,007 | |
Fair Isaac Corp. | 17,209 | 1,001 | |
* | Silicon Laboratories Inc. | 21,401 | 970 |
InterDigital Inc. | 21,655 | 961 | |
* | Semtech Corp. | 36,017 | 938 |
* | Conversant Inc. | 33,714 | 929 |
* | Polycom Inc. | 68,104 | 902 |
* | Itron Inc. | 21,052 | 889 |
Advent Software Inc. | 23,700 | 766 | |
* | NeuStar Inc. Class A | 25,245 | 745 |
Cypress | |||
Semiconductor Corp. | 64,792 | 716 | |
* | Acxiom Corp. | 33,777 | 626 |
ADTRAN Inc. | 24,224 | 559 | |
144,927 | |||
Materials (7.5%) | |||
Ashland Inc. | 38,771 | 4,157 | |
Rock-Tenn Co. Class A | 76,789 | 3,775 | |
Packaging Corp. of America | 52,596 | 3,576 | |
RPM International Inc. | 71,282 | 3,359 | |
Valspar Corp. | 41,547 | 3,355 | |
United States Steel Corp. | 77,412 | 2,992 | |
Steel Dynamics Inc. | 128,002 | 2,975 | |
Reliance Steel | |||
& Aluminum Co. | 41,575 | 2,907 | |
Eagle Materials Inc. | 26,775 | 2,729 | |
Albemarle Corp. | 42,557 | 2,706 | |
Royal Gold Inc. | 34,762 | 2,703 | |
NewMarket Corp. | 5,921 | 2,409 | |
Sonoco Products Co. | 54,602 | 2,247 | |
AptarGroup Inc. | 35,020 | 2,247 | |
Cytec Industries Inc. | 19,185 | 1,977 | |
PolyOne Corp. | 50,362 | 1,975 | |
Cabot Corp. | 32,091 | 1,758 | |
Compass Minerals | |||
International Inc. | 17,944 | 1,598 | |
Carpenter Technology Corp. | 28,411 | 1,555 | |
Sensient Technologies Corp. | 26,468 | 1,485 | |
Scotts Miracle-Gro Co. | |||
Class A | 23,286 | 1,344 | |
Silgan Holdings Inc. | 23,470 | 1,182 | |
Domtar Corp. | 31,190 | 1,163 | |
Minerals Technologies Inc. | 18,456 | 1,156 | |
Olin Corp. | 42,288 | 1,154 | |
Worthington Industries Inc. | 27,859 | 1,127 | |
^ | Cliffs Natural Resources Inc. | 73,546 | 1,108 |
Commercial Metals Co. | 63,021 | 1,089 | |
TimkenSteel Corp. | 20,516 | 980 | |
* | Louisiana-Pacific Corp. | 66,243 | 945 |
Greif Inc. Class A | 16,335 | 782 | |
* | Rayonier Advanced | ||
Materials Inc. | 22,572 | 750 | |
65,265 |
Market | |||
Value• | |||
Shares | ($000) | ||
Telecommunication Services (0.5%) | |||
* | tw telecom inc Class A | 73,787 | 3,028 |
Telephone & Data | |||
Systems Inc. | 52,961 | 1,395 | |
4,423 | |||
Utilities (4.7%) | |||
OGE Energy Corp. | 106,527 | 3,997 | |
Alliant Energy Corp. | 59,346 | 3,471 | |
National Fuel Gas Co. | 44,941 | 3,435 | |
UGI Corp. | 61,564 | 3,262 | |
MDU Resources Group Inc. | 102,502 | 3,209 | |
Atmos Energy Corp. | 53,599 | 2,710 | |
Westar Energy Inc. Class A | 68,961 | 2,547 | |
Aqua America Inc. | 94,731 | 2,369 | |
Questar Corp. | 93,708 | 2,203 | |
Great Plains Energy Inc. | 82,257 | 2,112 | |
Cleco Corp. | 32,298 | 1,822 | |
Vectren Corp. | 44,126 | 1,819 | |
IDACORP Inc. | 26,920 | 1,527 | |
^ | Hawaiian Electric | ||
Industries Inc. | 54,307 | 1,379 | |
Black Hills Corp. | 23,885 | 1,283 | |
WGL Holdings Inc. | 27,779 | 1,208 | |
PNM Resources Inc. | 42,635 | 1,118 | |
ONE Gas Inc. | 27,821 | 1,041 | |
40,512 | |||
Total Common Stocks | |||
(Cost $723,306) | 863,316 | ||
Temporary Cash Investments (0.7%)1 | |||
Money Market Fund (0.6%) | |||
2,3 | Vanguard Market | ||
Liquidity Fund, 0.113% 5,439,793 | 5,440 | ||
Face | |||
Amount | |||
($000) | |||
U.S. Government and Agency Obligations (0.1%) | |||
4,5 | Fannie Mae Discount | ||
Notes, 0.075%, 10/15/14 | 200 | 200 | |
4,5 | Freddie Mac Discount | ||
Notes, 0.100%, 12/29/14 | 100 | 100 | |
300 | |||
Total Temporary Cash Investments | |||
(Cost $5,740) | 5,740 | ||
Total Investments (100.2%) | �� | ||
(Cost $729,046) | 869,056 | ||
Other Assets and Liabilities (-0.2%) | |||
Other Assets | 5,288 | ||
Liabilities3 | (6,605) | ||
(1,317) | |||
Net Assets (100%) | 867,739 |
16
S&P Mid-Cap 400 Index Fund
At August 31, 2014, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 723,742 |
Undistributed Net Investment Income | 6,641 |
Accumulated Net Realized Losses | (2,760) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 140,010 |
Futures Contracts | 106 |
Net Assets | 867,739 |
Institutional Shares—Net Assets | |
Applicable to 2,692,527 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 522,711 |
Net Asset Value Per Share— | |
Institutional Shares | $194.13 |
ETF Shares—Net Assets | |
Applicable to 3,550,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 345,028 |
Net Asset Value Per Share— | |
ETF Shares | $97.19 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $1,613,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.1% and 0.1%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Includes $1,668,000 of collateral received for securities on loan.
4 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
5 Securities with a value of $300,000 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, 2014 | |
($000) | |
Investment Income | |
Income | |
Dividends | 9,680 |
Interest1 | 5 |
Securities Lending | 92 |
Total Income | 9,777 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 107 |
Management and Administrative—Institutional Shares | 118 |
Management and Administrative—ETF Shares | 273 |
Marketing and Distribution—Institutional Shares | 81 |
Marketing and Distribution—ETF Shares | 63 |
Custodian Fees | 68 |
Auditing Fees | 22 |
Shareholders’ Reports—Institutional Shares | 4 |
Shareholders’ Reports—ETF Shares | 11 |
Total Expenses | 747 |
Net Investment Income | 9,030 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 27,438 |
Futures Contracts | 444 |
Realized Net Gain (Loss) | 27,882 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 91,464 |
Futures Contracts | 156 |
Change in Unrealized Appreciation (Depreciation) | 91,620 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 128,532 |
1 Interest income from an affiliated company of the fund was $5,000. |
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
Year Ended August 31, | ||
2014 | 2013 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 9,030 | 4,200 |
Realized Net Gain (Loss) | 27,882 | 3,758 |
Change in Unrealized Appreciation (Depreciation) | 91,620 | 43,358 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 128,532 | 51,316 |
Distributions | ||
Net Investment Income | ||
Institutional Shares | (2,743) | (1,230) |
ETF Shares | (2,451) | (1,087) |
Realized Capital Gain | ||
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (5,194) | (2,317) |
Capital Share Transactions | ||
Institutional Shares | 236,838 | 99,201 |
ETF Shares | 100,548 | 95,694 |
Net Increase (Decrease) from Capital Share Transactions | 337,386 | 194,895 |
Total Increase (Decrease) | 460,724 | 243,894 |
Net Assets | ||
Beginning of Period | 407,015 | 163,121 |
End of Period1 | 867,739 | 407,015 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $6,641,000 and $2,805,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
19
S&P Mid-Cap 400 Index Fund
Financial Highlights
Institutional Shares | ||||
March 28, | ||||
20111 to | ||||
Year Ended August 31, | August 31, | |||
For a Share Outstanding Throughout Each Period | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $159.20 | $130.17 | $116.52 | $128.01 |
Investment Operations | ||||
Net Investment Income | 2.135 | 2.3552 | 1.372 | .240 |
Net Realized and Unrealized Gain (Loss) on Investments | 34.537 | 28.174 | 13.297 | (11.730) |
Total from Investment Operations | 36.672 | 30.529 | 14.669 | (11.490) |
Distributions | ||||
Dividends from Net Investment Income | (1.742) | (1.499) | (1.019) | — |
Distributions from Realized Capital Gains | — | — | — | — |
Total Distributions | (1.742) | (1.499) | (1.019) | — |
Net Asset Value, End of Period | $194.13 | $159.20 | $130.17 | $116.52 |
Total Return | 23.16% | 23.65% | 12.69% | -8.98% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $523 | $216 | $91 | $40 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08%3 |
Ratio of Net Investment Income to Average Net Assets | 1.35% | 1.57% | 1.42% | 1.28%3 |
Portfolio Turnover Rate 4 | 14% | 10% | 13% | 26% |
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.
20
S&P Mid-Cap 400 Index Fund
Financial Highlights
ETF Shares | ||||
Sept. 7, | ||||
20101 to | ||||
Year Ended August 31, | August 31, | |||
For a Share Outstanding Throughout Each Period | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $79.72 | $65.20 | $58.37 | $49.95 |
Investment Operations | ||||
Net Investment Income | 1.016 | 1.1332 | .648 | . 383 |
Net Realized and Unrealized Gain (Loss) on Investments | 17.285 | 14.112 | 6.657 | 8.217 |
Total from Investment Operations | 18.301 | 15.245 | 7.305 | 8.600 |
Distributions | ||||
Dividends from Net Investment Income | (.831) | (.725) | (.475) | (.180) |
Distributions from Realized Capital Gains | — | — | — | — |
Total Distributions | (.831) | (.725) | (.475) | (.180) |
Net Asset Value, End of Period | $97.19 | $79.72 | $65.20 | $58.37 |
Total Return | 23.06% | 23.57% | 12.60% | 17.21% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $345 | $191 | $72 | $32 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15% | 0.15% | 0.15%3 |
Ratio of Net Investment Income to Average Net Assets | 1.28% | 1.50% | 1.35% | 1.21%3 |
Portfolio Turnover Rate 4 | 14% | 10% | 13% | 26% |
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.
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. 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. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended August 31, 2014, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.
22
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, 2011–2014), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the absence of a default the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $2.89 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at August 31, 2014, or at any time during the period then ended.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution
23
S&P Mid-Cap 400 Index Fund
expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. 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 based on 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, 2014, the fund had contributed capital of $82,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.03% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of August 31, 2014, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 863,316 | — | — |
Temporary Cash Investments | 5,440 | 300 | — |
Futures Contracts—Assets1 | 19 | — | — |
Total | 868,775 | 300 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At August 31, 2014, 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 2014 | 33 | 4,742 | 106 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
24
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, 2014, the fund realized $28,038,000 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, 2014, the fund had $6,734,000 of ordinary income available for distribution. The fund used capital loss carryforwards of $321,000 to offset taxable capital gains realized during the year ended August 31, 2014. At August 31, 2014, the fund had available capital losses totaling $2,274,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2014, the cost of investment securities for tax purposes was $729,426,000. Net unrealized appreciation of investment securities for tax purposes was $139,630,000, consisting of unrealized gains of $148,471,000 on securities that had risen in value since their purchase and $8,841,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended August 31, 2014, the fund purchased $520,293,000 of investment securities and sold $180,320,000 of investment securities, other than temporary cash investments. Purchases and sales include $185,819,000 and $88,422,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
G. Capital share transactions for each class of shares were:
Year Ended August 31, | |||||
2014 | 2013 | ||||
Amount | Shares | Amount | Shares | ||
($000) | (000) | ($000) | (000) | ||
Institutional Shares | |||||
Issued | 283,336 | 1,592 | 123,250 | 807 | |
Issued in Lieu of Cash Distributions | 2,689 | 15 | 1,090 | 8 | |
Redeemed | (49,187) | (269) | (25,139) | (162) | |
Net Increase (Decrease)—Institutional Shares | 236,838 | 1,338 | 99,201 | 653 | |
ETF Shares | |||||
Issued | 200,557 | 2,250 | 107,558 | 1,450 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (100,009) | (1,100) | (11,864) | (150) | |
Net Increase (Decrease)—ETF Shares | 100,548 | 1,150 | 95,694 | 1,300 |
H. Management has determined that no material events or transactions occurred subsequent to August 31, 2014, that would require recognition or disclosure in these financial statements.
25
S&P Mid-Cap 400 Value Index Fund
Fund Profile
As of August 31, 2014
Share-Class Characteristics | ||
Institutional | ETF | |
Shares | Shares | |
Ticker Symbol | VMFVX | IVOV |
Expense Ratio1 | 0.08% | 0.20% |
30-Day SEC Yield | 1.74% | 1.62% |
Portfolio Characteristics | |||
DJ | |||
U.S. | |||
S&P | Total | ||
MidCap | Market | ||
400 Value | FA | ||
Fund | Index | Index | |
Number of Stocks | 289 | 289 | 3,709 |
Median Market Cap | $4.4B | $4.4B | $48.0B |
Price/Earnings Ratio | 21.6x | 21.6x | 20.7x |
Price/Book Ratio | 1.9x | 1.9x | 2.7x |
Return on Equity | 11.6% | 11.6% | 17.8% |
Earnings Growth | |||
Rate | 13.2% | 13.2% | 15.3% |
Dividend Yield | 1.8% | 1.8% | 1.8% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 35% | — | — |
Short-Term Reserves | -0.1% | — | — |
Volatility Measures | ||
DJ | ||
S&P MidCap | U.S. Total | |
400 Value | Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.93 |
Beta | 1.00 | 1.17 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months. | ||
Ten Largest Holdings (% of total net assets) | ||
SL Green Realty Corp. | Office REITs | 1.3% |
HollyFrontier Corp. | Oil & Gas Refining & | |
Marketing | 1.2 | |
Realty Income Corp. | Retail REITs | 1.2 |
Foot Locker Inc. | Apparel Retail | 1.0 |
Ashland Inc. | Specialty Chemicals | 1.0 |
Everest Re Group Ltd. | Reinsurance | 0.9 |
OGE Energy Corp. | Electric Utilities | 0.9 |
Alleghany Corp. | Reinsurance | 0.9 |
New York Community | Thrifts & Mortgage | |
Bancorp Inc. | Finance | 0.9 |
Raymond James | Investment Banking | |
Financial Inc. | & Brokerage | 0.8 |
Top Ten | 10.1% | |
The holdings listed exclude any temporary cash investments and equity index products. | ||
Investment Focus
1 The expense ratios shown are from the prospectus dated April 17, 2014, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2014, the expense ratios were 0.08% for Institutional Shares and 0.20% for ETF Shares.
26
S&P Mid-Cap 400 Value Index Fund
Sector Diversification (% of equity exposure) | |||
DJ | |||
U.S. | |||
S&P | Total | ||
MidCap | Market | ||
400 Value | FA | ||
Fund | Index | Index | |
Consumer Discretionary 10.6% | 10.6% | 12.6% | |
Consumer Staples | 3.4 | 3.4 | 8.1 |
Energy | 5.5 | 5.5 | 9.7 |
Financials | 28.0 | 28.0 | 17.3 |
Health Care | 6.8 | 6.8 | 13.3 |
Industrials | 12.8 | 12.8 | 11.2 |
Information Technology | 13.5 | 13.5 | 18.6 |
Materials | 10.1 | 10.1 | 3.9 |
Telecommunication | |||
Services | 0.7 | 0.7 | 2.2 |
Utilities | 8.6 | 8.6 | 3.1 |
27
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, 2014
Initial Investment of $10,000
Average Annual Total Returns | ||||
Periods Ended August 31, 2014 | ||||
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 | 25.26% | 19.41% | $20,265 | |
S&P Mid-Cap 400 Value Index | ||||
Fund*ETF Shares Market Price | 25.19 | 19.41 | 20,260 | |
•••••••• | S&P MidCap 400 Value Index | 25.54 | 19.66 | 20,429 |
– – – – | Mid-Cap Value Funds Average | 23.95 | 18.42 | 19,600 |
Dow Jones U.S. Total Stock Market | ||||
Float Adjusted Index | 24.68 | 19.19 | 20,114 | |
Mid-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||||
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 | 25.42% | 17.48% | $9,261,869 |
S&P MidCap 400 Value Index | 25.54 | 17.57 | 9,289,815 |
Dow Jones U.S. Total Stock Market Float | |||
Adjusted Index | 24.68 | 17.03 | 9,126,846 |
"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.
28
S&P Mid-Cap 400 Value Index Fund
Cumulative Returns of ETF Shares: September 7, 2010, Through August 31, 2014 | ||
Since | ||
One | Inception | |
Year | (9/7/2010) | |
S&P Mid-Cap 400 Value Index Fund ETF Shares | ||
Market Price | 25.19% | 102.60% |
S&P Mid-Cap 400 Value Index Fund ETF Shares Net | ||
Asset Value | 25.26 | 102.65 |
S&P MidCap 400 Value Index | 25.54 | 104.29 |
"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, 2014
Average Annual Total Returns: Periods Ended June 30, 2014 | |||
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 | 27.27% | 18.14% |
ETF Shares | 9/7/2010 | ||
Market Price | 27.30 | 20.18 | |
Net Asset Value | 27.10 | 20.15 |
29
S&P Mid-Cap 400 Value Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2014
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | |||
Value• | |||
Shares | ($000) | ||
Common Stocks (99.7%)1 | |||
Consumer Discretionary (10.5%) | |||
Foot Locker Inc. | 40,707 | 2,284 | |
Dick’s Sporting Goods Inc. | 27,735 | 1,250 | |
Signet Jewelers Ltd. | 10,301 | 1,214 | |
Advance Auto Parts Inc. | 8,352 | 1,139 | |
* | JC Penney Co. Inc. | 85,097 | 919 |
Abercrombie & Fitch Co. | 20,321 | 849 | |
John Wiley & Sons Inc. | |||
Class A | 13,076 | 784 | |
* | Apollo Education Group Inc. | 27,689 | 769 |
CST Brands Inc. | 21,115 | 736 | |
Big Lots Inc. | 15,489 | 718 | |
DeVry Education Group Inc. | 15,957 | 685 | |
* | Murphy USA Inc. | 12,403 | 676 |
American Eagle | |||
Outfitters Inc. | 47,775 | 673 | |
* | Ascena Retail Group Inc. | 36,114 | 628 |
Williams-Sonoma Inc. | 9,289 | 611 | |
* | NVR Inc. | 518 | 608 |
HSN Inc. | 9,362 | 567 | |
Cinemark Holdings Inc. | 15,992 | 564 | |
Service Corp. International | 25,044 | 555 | |
* | ANN Inc. | 13,077 | 542 |
Aaron’s Inc. | 20,171 | 517 | |
* | Time Inc. | 21,812 | 512 |
* | Life Time Fitness Inc. | 10,502 | 484 |
KB Home | 25,125 | 446 | |
New York Times Co. Class A | 35,251 | 436 | |
* | Cabela’s Inc. | 6,808 | 415 |
Rent-A-Center Inc. | 14,746 | 411 | |
International | |||
Game Technology | 24,144 | 407 | |
* | Office Depot Inc. | 77,467 | 397 |
Guess? Inc. | 16,666 | 391 | |
* | Live Nation | ||
Entertainment Inc. | 17,490 | 384 | |
Chico’s FAS Inc. | 23,969 | 379 |
Market | |||
Value• | |||
Shares | ($000) | ||
Lamar Advertising Co. | |||
Class A | 6,888 | 361 | |
Thor Industries Inc. | 6,304 | 339 | |
MDC Holdings Inc. | 10,897 | 316 | |
International Speedway | |||
Corp. Class A | 7,790 | 261 | |
Cheesecake Factory Inc. | 4,488 | 202 | |
Meredith Corp. | 3,930 | 183 | |
23,612 | |||
Consumer Staples (3.3%) | |||
Ingredion Inc. | 20,822 | 1,661 | |
Church & Dwight Co. Inc. | 17,075 | 1,165 | |
Energizer Holdings Inc. | 9,470 | 1,151 | |
* | United Natural Foods Inc. | 13,856 | 891 |
* | WhiteWave Foods Co. | ||
Class A | 22,819 | 799 | |
* | Post Holdings Inc. | 12,276 | 454 |
Dean Foods Co. | 26,105 | 422 | |
Universal Corp. | 6,412 | 338 | |
Flowers Foods Inc. | 15,044 | 295 | |
Lancaster Colony Corp. | 2,870 | 254 | |
Tootsie Roll Industries Inc. | 2,949 | 83 | |
7,513 | |||
Energy (5.5%) | |||
HollyFrontier Corp. | 55,463 | 2,775 | |
Superior Energy | |||
Services Inc. | 43,718 | 1,567 | |
* | WPX Energy Inc. | 56,436 | 1,502 |
Rowan Cos. plc Class A | 34,551 | 1,047 | |
World Fuel Services Corp. | 20,097 | 892 | |
* | Unit Corp. | 12,320 | 811 |
* | Atwood Oceanics Inc. | 16,155 | 798 |
* | Helix Energy Solutions | ||
Group Inc. | 27,406 | 749 | |
Tidewater Inc. | 13,834 | 704 | |
Energen Corp. | 8,333 | 671 | |
* | Dresser-Rand Group Inc. | 8,756 | 607 |
* | Bill Barrett Corp. | 7,352 | 167 |
12,290 |
30
S&P Mid-Cap 400 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Financials (28.0%) | |||
SL Green Realty Corp. | 26,642 | 2,913 | |
Realty Income Corp. | 61,817 | 2,764 | |
Everest Re Group Ltd. | 12,872 | 2,109 | |
* | Alleghany Corp. | 4,597 | 1,982 |
New York Community | |||
Bancorp Inc. | 123,574 | 1,971 | |
Raymond James | |||
Financial Inc. | 34,658 | 1,894 | |
Camden Property Trust | 23,888 | 1,788 | |
Jones Lang LaSalle Inc. | 12,442 | 1,662 | |
Reinsurance Group of | |||
America Inc. Class A | 19,285 | 1,600 | |
Alexandria Real Estate | |||
Equities Inc. | 20,003 | 1,581 | |
Protective Life Corp. | 22,012 | 1,528 | |
HCC Insurance Holdings Inc. | 27,890 | 1,398 | |
WR Berkley Corp. | 28,870 | 1,396 | |
National Retail | |||
Properties Inc. | 34,393 | 1,277 | |
Hospitality Properties Trust | 41,805 | 1,230 | |
UDR Inc. | 40,713 | 1,218 | |
BioMed Realty Trust Inc. | 53,745 | 1,207 | |
American Financial | |||
Group Inc. | 19,994 | 1,199 | |
Corrections Corp. | |||
of America | 32,488 | 1,158 | |
American Campus | |||
Communities Inc. | 29,289 | 1,157 | |
Federal Realty | |||
Investment Trust | 9,203 | 1,148 | |
Duke Realty Corp. | 57,034 | 1,061 | |
Home Properties Inc. | 15,951 | 1,024 | |
Arthur J Gallagher & Co. | 18,861 | 891 | |
Mid-America Apartment | |||
Communities Inc. | 11,938 | 863 | |
First Niagara Financial | |||
Group Inc. | 98,822 | 860 | |
First American | |||
Financial Corp. | 29,830 | 846 | |
RenaissanceRe Holdings Ltd. | 8,152 | 835 | |
Regency Centers Corp. | 14,181 | 810 | |
First Horizon National Corp. | 66,058 | 803 | |
StanCorp Financial | |||
Group Inc. | 12,212 | 800 | |
Kilroy Realty Corp. | 12,397 | 784 | |
Hanover Insurance | |||
Group Inc. | 12,302 | 781 | |
Aspen Insurance | |||
Holdings Ltd. | 18,269 | 777 | |
Primerica Inc. | 15,194 | 765 | |
Hancock Holding Co. | 22,975 | 764 | |
Liberty Property Trust | 21,032 | 745 | |
TCF Financial Corp. | 46,526 | 735 |
Market | |||
Value• | |||
Shares | ($000) | ||
Senior Housing | |||
Properties Trust | 31,286 | 730 | |
Rayonier Inc. | 20,481 | 702 | |
Corporate Office | |||
Properties Trust | 24,462 | 694 | |
Cullen/Frost Bankers Inc. | 8,435 | 663 | |
Taubman Centers Inc. | 8,479 | 646 | |
Fulton Financial Corp. | 52,767 | 609 | |
Highwoods Properties Inc. | 14,093 | 600 | |
Weingarten Realty Investors | 17,261 | 591 | |
Commerce Bancshares Inc. | 12,652 | 584 | |
Valley National Bancorp | 55,980 | 560 | |
LaSalle Hotel Properties | 14,820 | 542 | |
Mack-Cali Realty Corp. | 24,758 | 523 | |
Brown & Brown Inc. | 15,935 | 520 | |
Mercury General Corp. | 10,133 | 519 | |
Kemper Corp. | 14,218 | 517 | |
Janus Capital Group Inc. | 41,931 | 509 | |
Eaton Vance Corp. | 12,811 | 502 | |
Washington Prime | |||
Group Inc. | 23,425 | 457 | |
Trustmark Corp. | 18,834 | 447 | |
Prosperity Bancshares Inc. | 7,202 | 435 | |
International | |||
Bancshares Corp. | 15,898 | 419 | |
Federated Investors Inc. | |||
Class B | 13,474 | 414 | |
FirstMerit Corp. | 23,091 | 398 | |
Bank of Hawaii Corp. | 6,701 | 389 | |
Webster Financial Corp. | 10,722 | 316 | |
Astoria Financial Corp. | 23,578 | 308 | |
Equity One Inc. | 10,603 | 250 | |
Potlatch Corp. | 5,438 | 232 | |
Westamerica Bancorporation | 4,113 | 199 | |
62,599 | |||
Health Care (6.8%) | |||
* | Community Health | ||
Systems Inc. | 32,178 | 1,747 | |
* | Henry Schein Inc. | 10,487 | 1,255 |
Omnicare Inc. | 16,865 | 1,076 | |
* | Health Net Inc. | 22,393 | 1,057 |
* | LifePoint Hospitals Inc. | 12,419 | 929 |
Cooper Cos. Inc. | 5,087 | 829 | |
* | WellCare Health Plans Inc. | 12,250 | 807 |
* | Hologic Inc. | 31,632 | 787 |
ResMed Inc. | 14,106 | 748 | |
* | IDEXX Laboratories Inc. | 5,731 | 711 |
* | Bio-Rad Laboratories Inc. | ||
Class A | 5,633 | 677 | |
Teleflex Inc. | 6,123 | 670 | |
Owens & Minor Inc. | 17,618 | 606 | |
* | Sirona Dental Systems Inc. | 6,956 | 567 |
* | MEDNAX Inc. | 9,437 | 540 |
* | VCA Inc. | 12,330 | 502 |
Techne Corp. | 3,999 | 382 |
31
S&P Mid-Cap 400 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
STERIS Corp. | 6,526 | 367 | |
Hill-Rom Holdings Inc. | 7,185 | 315 | |
* | Allscripts Healthcare | ||
Solutions Inc. | 20,315 | 300 | |
* | HMS Holdings Corp. | 8,576 | 196 |
* | Thoratec Corp. | 7,144 | 179 |
15,247 | |||
Industrials (12.8%) | |||
Manpowergroup Inc. | 22,229 | 1,725 | |
SPX Corp. | 12,233 | 1,273 | |
AGCO Corp. | 24,387 | 1,191 | |
Oshkosh Corp. | 23,714 | 1,178 | |
URS Corp. | 19,254 | 1,166 | |
* | AECOM Technology Corp. | 27,710 | 1,049 |
* | Esterline Technologies Corp. | 8,926 | 1,046 |
Triumph Group Inc. | 14,561 | 1,010 | |
Timken Co. | 21,400 | 969 | |
* | Clean Harbors Inc. | 15,439 | 935 |
Exelis Inc. | 52,926 | 910 | |
KBR Inc. | 41,097 | 905 | |
Regal-Beloit Corp. | 12,600 | 896 | |
GATX Corp. | 12,855 | 852 | |
Hubbell Inc. Class B | 6,917 | 836 | |
* | JetBlue Airways Corp. | 63,808 | 780 |
ITT Corp. | 15,619 | 748 | |
Carlisle Cos. Inc. | 8,590 | 712 | |
Huntington Ingalls | |||
Industries Inc. | 6,582 | 672 | |
Donaldson Co. Inc. | 14,690 | 615 | |
MSC Industrial Direct Co. | |||
Inc. Class A | 6,746 | 608 | |
Alliant Techsystems Inc. | 4,804 | 605 | |
Waste Connections Inc. | 12,115 | 594 | |
Kennametal Inc. | 13,164 | 590 | |
Valmont Industries Inc. | 3,829 | 539 | |
* | NOW Inc. | 15,580 | 515 |
Landstar System Inc. | 7,407 | 503 | |
Woodward Inc. | 9,558 | 499 | |
Crane Co. | 6,626 | 461 | |
Con-way Inc. | 8,923 | 457 | |
Civeo Corp. | 17,188 | 437 | |
CLARCOR Inc. | 6,759 | 427 | |
Watsco Inc. | 4,419 | 409 | |
RR Donnelley & Sons Co. | 21,185 | 374 | |
Granite Construction Inc. | 10,041 | 354 | |
Lennox International Inc. | 4,120 | 345 | |
Werner Enterprises Inc. | 12,560 | 313 | |
Harsco Corp. | 11,941 | 289 | |
MSA Safety Inc. | 4,164 | 231 | |
Rollins Inc. | 6,995 | 208 | |
* | FTI Consulting Inc. | 5,023 | 186 |
Herman Miller Inc. | 6,124 | 182 | |
28,594 |
Market | |||
Value• | |||
Shares | ($000) | ||
Information Technology (13.5%) | |||
* | Arrow Electronics Inc. | 27,816 | 1,732 |
Avnet Inc. | 38,637 | 1,720 | |
* | Equinix Inc. | 6,381 | 1,393 |
* | Ingram Micro Inc. | 43,331 | 1,249 |
Teradyne Inc. | 57,116 | 1,176 | |
* | VeriFone Systems Inc. | 31,192 | 1,089 |
Skyworks Solutions Inc. | 19,056 | 1,080 | |
* | RF Micro Devices Inc. | 79,893 | 996 |
* | Synopsys Inc. | 24,193 | 989 |
* | AOL Inc. | 22,319 | 965 |
Lexmark International Inc. | |||
Class A | 17,385 | 879 | |
* | International Rectifier Corp. | 19,903 | 784 |
* | Tech Data Corp. | 10,677 | 721 |
* | NCR Corp. | 20,628 | 705 |
Leidos Holdings Inc. | 17,747 | 668 | |
* | Fairchild Semiconductor | ||
International Inc. Class A | 34,886 | 612 | |
* | Rovi Corp. | 26,452 | 612 |
Vishay Intertechnology Inc. | 37,880 | 606 | |
* | Fortinet Inc. | 23,332 | 602 |
* | Atmel Corp. | 67,003 | 594 |
Convergys Corp. | 28,337 | 544 | |
Intersil Corp. Class A | 35,962 | 541 | |
* | MICROS Systems Inc. | 7,731 | 525 |
Science Applications | |||
International Corp. | 11,391 | 525 | |
* | Polycom Inc. | 38,579 | 511 |
* | Silicon Laboratories Inc. | 11,164 | 506 |
FactSet Research | |||
Systems Inc. | 3,739 | 476 | |
* | Cadence Design | ||
Systems Inc. | 26,681 | 471 | |
* | SunEdison Inc. | 21,306 | 469 |
* | Itron Inc. | 10,982 | 464 |
* | Knowles Corp. | 13,774 | 453 |
* | Zebra Technologies Corp. | 5,781 | 451 |
Diebold Inc. | 10,825 | 411 | |
DST Systems Inc. | 4,390 | 407 | |
* | TIBCO Software Inc. | 19,225 | 401 |
* | Advanced Micro | ||
Devices Inc. | 95,879 | 400 | |
Solera Holdings Inc. | 6,149 | 375 | |
* | Riverbed Technology Inc. | 19,062 | 359 |
Compuware Corp. | 35,786 | 335 | |
* | ARRIS Group Inc. | 10,872 | 333 |
National Instruments Corp. | 9,778 | 324 | |
InterDigital Inc. | 7,260 | 322 | |
* | JDS Uniphase Corp. | 23,577 | 272 |
Cypress | |||
Semiconductor Corp. | 23,891 | 264 | |
* | Semtech Corp. | 9,201 | 240 |
Plantronics Inc. | 4,868 | 232 |
32
S&P Mid-Cap 400 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
* | Integrated Device | ||
Technology Inc. | 14,030 | 231 | |
ADTRAN Inc. | 8,355 | 193 | |
30,207 | |||
Materials (10.1%) | |||
Ashland Inc. | 20,233 | 2,169 | |
United States Steel Corp. | 40,397 | 1,561 | |
Steel Dynamics Inc. | 66,798 | 1,552 | |
Reliance Steel | |||
& Aluminum Co. | 21,696 | 1,517 | |
Royal Gold Inc. | 18,139 | 1,410 | |
Sonoco Products Co. | 28,492 | 1,173 | |
Rock-Tenn Co. Class A | 23,244 | 1,143 | |
Cabot Corp. | 16,745 | 917 | |
RPM International Inc. | 17,114 | 807 | |
Valspar Corp. | 9,758 | 788 | |
Sensient Technologies Corp. | 13,810 | 775 | |
Albemarle Corp. | 11,550 | 734 | |
Domtar Corp. | 18,142 | 677 | |
Cliffs Natural Resources Inc. | 42,771 | 645 | |
Silgan Holdings Inc. | 12,245 | 617 | |
Olin Corp. | 22,063 | 602 | |
Cytec Industries Inc. | 5,807 | 598 | |
Commercial Metals Co. | 32,879 | 568 | |
AptarGroup Inc. | 8,591 | 551 | |
TimkenSteel Corp. | 10,703 | 511 | |
Compass Minerals | |||
International Inc. | 5,619 | 501 | |
NewMarket Corp. | 1,144 | 466 | |
PolyOne Corp. | 11,304 | 443 | |
Greif Inc. Class A | 8,521 | 408 | |
Scotts Miracle-Gro Co. | |||
Class A | 6,127 | 354 | |
Carpenter Technology Corp. | 5,569 | 305 | |
* | Louisiana-Pacific Corp. | 20,477 | 292 |
Minerals Technologies Inc. | 3,849 | 241 | |
* | Rayonier Advanced | ||
Materials Inc. | 5,765 | 191 | |
22,516 | |||
Telecommunication Services (0.6%) | |||
Telephone & Data | |||
Systems Inc. | 27,633 | 728 | |
* | tw telecom inc Class A | 17,716 | 727 |
1,455 | |||
Utilities (8.6%) | |||
OGE Energy Corp. | 55,592 | 2,086 | |
Alliant Energy Corp. | 30,970 | 1,812 | |
UGI Corp. | 32,127 | 1,702 | |
MDU Resources Group Inc. | 53,491 | 1,675 | |
Atmos Energy Corp. | 27,970 | 1,414 | |
Westar Energy Inc. Class A | 35,986 | 1,329 | |
Great Plains Energy Inc. | 42,923 | 1,102 |
Market | ||
Value• | ||
Shares | ($000) | |
National Fuel Gas Co. | 12,900 | 986 |
Cleco Corp. | 16,853 | 951 |
Vectren Corp. | 23,025 | 949 |
IDACORP Inc. | 14,046 | 797 |
^ Hawaiian Electric | ||
Industries Inc. | 28,335 | 719 |
Black Hills Corp. | 12,462 | 670 |
Aqua America Inc. | 25,215 | 631 |
WGL Holdings Inc. | 14,493 | 630 |
Questar Corp. | 25,921 | 609 |
PNM Resources Inc. | 22,243 | 583 |
ONE Gas Inc. | 14,514 | 543 |
19,188 | ||
Total Common Stocks | ||
(Cost $204,267) | 223,221 | |
Temporary Cash Investments (0.2%)1 | ||
Money Market Fund (0.2%) | ||
2,3 Vanguard Market | ||
Liquidity Fund, 0.113% | 425,249 | 425 |
Face | ||
Amount | ||
($000) | ||
U.S. Government and Agency Obligations (0.0%) | ||
4,5 Federal Home Loan | ||
Bank Discount Notes, | ||
0.080%, 9/24/14 | 100 | 100 |
Total Temporary Cash Investments | ||
(Cost $525) | 525 | |
Total Investments (99.9%) | ||
(Cost $204,792) | 223,746 | |
Other Assets and Liabilities (0.1%) | ||
Other Assets | 382 | |
Liabilities3 | (258) | |
124 | ||
Net Assets (100%) | 223,870 |
33
S&P Mid-Cap 400 Value Index Fund
At August 31, 2014, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 205,752 |
Undistributed Net Investment Income | 2,024 |
Accumulated Net Realized Losses | (2,873) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 18,954 |
Futures Contracts | 13 |
Net Assets | 223,870 |
Institutional Shares—Net Assets | |
Applicable to 706,252 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 136,769 |
Net Asset Value Per Share— | |
Institutional Shares | $193.66 |
ETF Shares—Net Assets | |
Applicable to 900,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 87,101 |
Net Asset Value Per Share— | |
ETF Shares | $96.78 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $203,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 99.9% and 0.0%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Includes $208,000 of collateral received for securities on loan.
4 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
5 Securities with a value of $100,000 have been segregated as initial margin for open futures contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
34
S&P Mid-Cap 400 Value Index Fund
Statement of Operations
Year Ended | |
August 31, 2014 | |
($000) | |
Investment Income | |
Income | |
Dividends | 2,816 |
Interest1 | 1 |
Securities Lending | 16 |
Total Income | 2,833 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 20 |
Management and Administrative—Institutional Shares | 3 |
Management and Administrative—ETF Shares | 70 |
Marketing and Distribution—Institutional Shares | 14 |
Marketing and Distribution—ETF Shares | 10 |
Custodian Fees | 51 |
Auditing Fees | 22 |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—ETF Shares | 4 |
Total Expenses | 194 |
Net Investment Income | 2,639 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 16,778 |
Futures Contracts | 59 |
Realized Net Gain (Loss) | 16,837 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 10,856 |
Futures Contracts | 15 |
Change in Unrealized Appreciation (Depreciation) | 10,871 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 30,347 |
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.
35
S&P Mid-Cap 400 Value Index Fund
Statement of Changes in Net Assets
Year Ended August 31, | ||
2014 | 2013 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 2,639 | 1,077 |
Realized Net Gain (Loss) | 16,837 | 5,022 |
Change in Unrealized Appreciation (Depreciation) | 10,871 | 5,317 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 30,347 | 11,416 |
Distributions | ||
Net Investment Income | ||
Institutional Shares | (787) | (706) |
ETF Shares | (632) | (162) |
Realized Capital Gain | ||
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (1,419) | (868) |
Capital Share Transactions | ||
Institutional Shares | 69,996 | 1,872 |
ETF Shares | 48,434 | 14,425 |
Net Increase (Decrease) from Capital Share Transactions | 118,430 | 16,297 |
Total Increase (Decrease) | 147,358 | 26,845 |
Net Assets | ||
Beginning of Period | 76,512 | 49,667 |
End of Period1 | 223,870 | 76,512 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $2,024,000 and $804,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
36
S&P Mid-Cap 400 Value Index Fund
Financial Highlights
Institutional Shares | ||||
Nov. 2, | ||||
20101 to | ||||
Year Ended August 31, | August 31, | |||
For a Share Outstanding Throughout Each Period | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $155.83 | $125.30 | $111.20 | $109.35 |
Investment Operations | ||||
Net Investment Income | 3.1912 | 2.392 | 2.124 | 1.146 |
Net Realized and Unrealized Gain (Loss) on Investments | 36.207 | 30.364 | 13.624 | 1.233 |
Total from Investment Operations | 39.398 | 32.756 | 15.748 | 2.379 |
Distributions | ||||
Dividends from Net Investment Income | (1.568) | (2.226) | (1.648) | (.529) |
Distributions from Realized Capital Gains | — | — | — | — |
Total Distributions | (1.568) | (2.226) | (1.648) | (.529) |
Net Asset Value, End of Period | $193.66 | $155.83 | $125.30 | $111.20 |
Total Return | 25.42% | 26.47% | 14.32% | 2.15% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $137 | $49 | $40 | $35 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08%3 |
Ratio of Net Investment Income to Average Net Assets | 1.78% | 1.99% | 1.92% | 1.94%3 |
Portfolio Turnover Rate 4 | 35% | 74% | 31% | 48% |
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.
37
S&P Mid-Cap 400 Value Index Fund
Financial Highlights
ETF Shares | ||||
Sept. 7, | ||||
20101 to | ||||
Year Ended August 31, | August 31, | |||
For a Share Outstanding Throughout Each Period | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $77.93 | $62.71 | $55.69 | $49.86 |
Investment Operations | ||||
Net Investment Income | 1.500 2 | 1.153 | 1.001 | .746 |
Net Realized and Unrealized Gain (Loss) on Investments | 18.094 | 15.146 | 6.814 | 5.340 |
Total from Investment Operations | 19.594 | 16.299 | 7.815 | 6.086 |
Distributions | ||||
Dividends from Net Investment Income | (.744) | (1.079) | (.795) | (.256) |
Distributions from Realized Capital Gains | — | — | — | — |
Total Distributions | (.744) | (1.079) | (.795) | (.256) |
Net Asset Value, End of Period | $96.78 | $77.93 | $62.71 | $55.69 |
Total Return | 25.26% | 26.31% | 14.18% | 12.18% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $87 | $27 | $9 | $6 |
Ratio of Total Expenses to Average Net Assets | 0.20% | 0.20% | 0.20% | 0.20%3 |
Ratio of Net Investment Income to Average Net Assets | 1.66% | 1.87% | 1.80% | 1.82%3 |
Portfolio Turnover Rate 4 | 35% | 74% | 31% | 48% |
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.
38
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. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended August 31, 2014, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.
39
S&P Mid-Cap 400 Value Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2011–2014), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the absence of a default the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $2.89 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at August 31, 2014, or at any time during the period then ended.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution 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.
40
S&P Mid-Cap 400 Value 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 based on 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, 2014, the fund had contributed capital of $22,000 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, 2014, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 223,221 | — | — |
Temporary Cash Investments | 425 | 100 | — |
Futures Contracts—Assets1 | 2 | — | — |
Total | 223,648 | 100 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At August 31, 2014, 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 2014 | 4 | 575 | 13 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
41
S&P Mid-Cap 400 Value Index Fund
During the year ended August 31, 2014, the fund realized $16,651,000 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, 2014, the fund had $2,037,000 of ordinary income available for distribution. The fund used capital loss carryforwards of $324,000 to offset taxable capital gains realized during the year ended August 31, 2014. At August 31, 2014, the fund had available capital losses totaling $2,736,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2014, the cost of investment securities for tax purposes was $204,917,000. Net unrealized appreciation of investment securities for tax purposes was $18,829,000, consisting of unrealized gains of $21,847,000 on securities that had risen in value since their purchase and $3,018,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended August 31, 2014, the fund purchased $253,307,000 of investment securities and sold $133,982,000 of investment securities, other than temporary cash investments. Purchases and sales include $133,177,000 and $80,298,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
G. Capital share transactions for each class of shares were:
Year Ended August 31, | |||||
2014 | 2013 | ||||
Amount | Shares | Amount | Shares | ||
($000) | (000) | ($000) | (000) | ||
Institutional Shares | |||||
Issued | 78,767 | 439 | 25,332 | 167 | |
Issued in Lieu of Cash Distributions | 278 | 2 | 706 | 5 | |
Redeemed | (9,049) | (51) | (24,166) | (177) | |
Net Increase (Decrease)—Institutional Shares | 69,996 | 390 | 1,872 | (5) | |
ETF Shares | |||||
Issued | 133,382 | 1,500 | 31,614 | 450 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (84,948) | (950) | (17,189) | (250) | |
Net Increase (Decrease)—ETF Shares | 48,434 | 550 | 14,425 | 200 |
H. Management has determined that no material events or transactions occurred subsequent to August 31, 2014, that would require recognition or disclosure in these financial statements.
42
S&P Mid-Cap 400 Growth Index Fund
Fund Profile
As of August 31, 2014
Share-Class Characteristics | ||
Institutional | ETF | |
Shares | Shares | |
Ticker Symbol | VMFGX | IVOG |
Expense Ratio1 | 0.08% | 0.20% |
30-Day SEC Yield | 0.97% | 0.85% |
Portfolio Characteristics | |||
DJ | |||
U.S. | |||
S&P | Total | ||
MidCap | Market | ||
400 Growth | FA | ||
Fund | Index | Index | |
Number of Stocks | 252 | 251 | 3,709 |
Median Market Cap | $5.2B | $5.2B | $48.0B |
Price/Earnings Ratio | 26.2x | 26.2x | 20.7x |
Price/Book Ratio | 3.4x | 3.4x | 2.7x |
Return on Equity | 15.6% | 15.6% | 17.8% |
Earnings Growth | |||
Rate | 17.4% | 17.4% | 15.3% |
Dividend Yield | 1.0% | 1.0% | 1.8% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 38% | — | — |
Short-Term Reserves | 0.0% | — | — |
Volatility Measures | ||
DJ | ||
S&P MidCap | U.S. Total | |
400 Growth | Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.91 |
Beta | 1.00 | 1.17 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months. | ||
Ten Largest Holdings (% of total net assets) | ||
United Rentals Inc. | Trading Companies & | |
Distributors | 1.4% | |
Universal Health | ||
Services Inc. | Health Care Facilities | 1.3 |
Hanesbrands Inc. | Apparel, Accessories | |
& Luxury Goods | 1.2 | |
Salix Pharmaceuticals | ||
Ltd. | Pharmaceuticals | 1.2 |
Polaris Industries Inc. | Leisure Products | 1.2 |
Endo International plc | Pharmaceuticals | 1.1 |
Trimble Navigation Ltd. | Electronic | |
Manufacturing | ||
Services | 1.1 | |
LKQ Corp. | Distributors | 1.0 |
B/E Aerospace Inc. | Aerospace & | |
Defense | 1.0 | |
Wabtec Corp. | Construction | |
Machinery & Heavy | ||
Trucks | 1.0 | |
Top Ten | 11.5% | |
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 23, 2013, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2014, the expense ratios were 0.08% for Institutional Shares and 0.20% for ETF Shares.
43
S&P Mid-Cap 400 Growth Index Fund
Sector Diversification (% of equity exposure) | |||
DJ | |||
S&P | U.S. | ||
MidCap | Total | ||
400 | Market | ||
Growth | FA | ||
Fund | Index | Index | |
Consumer Discretionary | 15.7% | 15.7% | 12.6% |
Consumer Staples | 2.7 | 2.7 | 8.1 |
Energy | 5.3 | 5.3 | 9.7 |
Financials | 16.5 | 16.5 | 17.3 |
Health Care | 12.6 | 12.6 | 13.3 |
Industrials | 20.7 | 20.7 | 11.2 |
Information Technology | 20.2 | 20.2 | 18.6 |
Materials | 5.1 | 5.1 | 3.9 |
Telecommunication | |||
Services | 0.4 | 0.4 | 2.2 |
Utilities | 0.8 | 0.8 | 3.1 |
44
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, 2014
Initial Investment of $10,000
Average Annual Total Returns | ||||
Periods Ended August 31, 2014 | ||||
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 | 20.84% | 18.76% | $19,827 | |
S&P Mid-Cap 400 Growth Index | ||||
Fund*ETF Shares Market Price | 20.79 | 18.75 | 19,821 | |
•••••••• | S&P MidCap 400 Growth Index | 21.07 | 18.97 | 19,965 |
– – – – | Mid-Cap Growth Funds Average | 19.60 | 17.25 | 18,842 |
Dow Jones U.S. Total Stock Market | ||||
Float Adjusted Index | 24.68 | 19.19 | 20,114 | |
Mid-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. "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 | 20.99% | 12.99% | $7,597,924 |
S&P MidCap 400 Growth Index | 21.07 | 13.05 | 7,611,839 |
Dow Jones U.S. Total Stock Market Float | |||
Adjusted Index | 24.68 | 15.44 | 8,178,319 |
"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.
45
S&P Mid-Cap 400 Growth Index Fund
Cumulative Returns of ETF Shares: September 7, 2010, Through August 31, 2014 | ||
Since | ||
One | Inception | |
Year | (9/7/2010) | |
S&P Mid-Cap 400 Growth Index Fund ETF Shares | ||
Market Price | 20.79% | 98.21% |
S&P Mid-Cap 400 Growth Index Fund ETF Shares | ||
Net Asset Value | 20.84 | 98.27 |
S&P MidCap 400 Growth Index | 21.07 | 99.65 |
"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, 2014
Average Annual Total Returns: Periods Ended June 30, 2014
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 | 23.12% | 13.54% |
ETF Shares | 9/7/2010 | ||
Market Price | 23.18 | 19.57 | |
Net Asset Value | 22.97 | 19.53 | |
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. | |||
46
S&P Mid-Cap 400 Growth Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2014
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 (15.7%) | |||
Hanesbrands Inc. | 46,137 | 4,737 | |
Polaris Industries Inc. | 30,528 | 4,438 | |
* | LKQ Corp. | 139,859 | 3,972 |
* | Jarden Corp. | 55,591 | 3,324 |
Advance Auto Parts Inc. | 19,941 | 2,720 | |
* | Toll Brothers Inc. | 74,126 | 2,638 |
Signet Jewelers Ltd. | 20,065 | 2,365 | |
Carter’s Inc. | 24,875 | 2,059 | |
Gentex Corp. | 67,598 | 1,998 | |
Domino’s Pizza Inc. | 25,772 | 1,944 | |
* | Kate Spade & Co. | 58,626 | 1,896 |
Brunswick Corp. | 42,957 | 1,847 | |
* | Panera Bread Co. Class A | 12,088 | 1,812 |
* | AMC Networks Inc. Class A | 27,380 | 1,713 |
Tupperware Brands Corp. | 23,373 | 1,712 | |
Williams-Sonoma Inc. | 25,143 | 1,654 | |
* | Tempur Sealy | ||
International Inc. | 28,165 | 1,648 | |
* | Deckers Outdoor Corp. | 16,040 | 1,480 |
Brinker International Inc. | 30,089 | 1,471 | |
* | Bally Technologies Inc. | 18,194 | 1,443 |
Sotheby’s | 31,933 | 1,303 | |
Service Corp. International | 57,371 | 1,272 | |
International | |||
Game Technology | 74,372 | 1,254 | |
* | NVR Inc. | 929 | 1,090 |
Wendy’s Co. | 122,334 | 997 | |
Lamar Advertising Co. | |||
Class A | 18,852 | 989 | |
* | Live Nation | ||
Entertainment Inc. | 36,912 | 811 | |
Cinemark Holdings Inc. | 21,700 | 766 | |
* | DreamWorks Animation | ||
SKG Inc. Class A | 33,470 | 731 | |
* | Cabela’s Inc. | 10,487 | 640 |
Cheesecake Factory Inc. | 13,921 | 626 | |
Thor Industries Inc. | 10,179 | 547 | |
* | Office Depot Inc. | 97,074 | 497 |
Market | |||
Value• | |||
Shares | ($000) | ||
Meredith Corp. | 10,644 | 496 | |
Chico’s FAS Inc. | 31,279 | 494 | |
* | Time Inc. | 15,663 | 368 |
59,752 | |||
Consumer Staples (2.7%) | |||
Church & Dwight Co. Inc. | 34,632 | 2,363 | |
* | Hain Celestial Group Inc. | 23,217 | 2,284 |
Energizer Holdings Inc. | 12,856 | 1,562 | |
* | WhiteWave Foods Co. | ||
Class A | 42,691 | 1,495 | |
Flowers Foods Inc. | 56,177 | 1,100 | |
* | SUPERVALU Inc. | 91,595 | 875 |
Lancaster Colony Corp. | 4,267 | 377 | |
Tootsie Roll Industries Inc. | 4,768 | 135 | |
10,191 | |||
Energy (5.3%) | |||
Oceaneering | |||
International Inc. | 50,039 | 3,481 | |
SM Energy Co. | 31,068 | 2,766 | |
* | Gulfport Energy Corp. | 39,578 | 2,315 |
Patterson-UTI Energy Inc. | 66,944 | 2,312 | |
* | Dril-Quip Inc. | 18,846 | 1,912 |
Energen Corp. | 19,893 | 1,601 | |
* | Oil States International Inc. | 24,578 | 1,587 |
* | Dresser-Rand Group Inc. | 20,902 | 1,449 |
* | Rosetta Resources Inc. | 28,460 | 1,423 |
CARBO Ceramics Inc. | 9,202 | 990 | |
* | Bill Barrett Corp. | 10,930 | 249 |
20,085 | |||
Financials (16.4%) | |||
* | Signature Bank | 23,164 | 2,744 |
Extra Space Storage Inc. | 51,031 | 2,689 | |
* | SVB Financial Group | 23,088 | 2,570 |
* | MSCI Inc. Class A | 54,069 | 2,495 |
SEI Investments Co. | 65,832 | 2,495 | |
East West Bancorp Inc. | 66,432 | 2,314 | |
Omega Healthcare | |||
Investors Inc. | 58,393 | 2,200 | |
Waddell & Reed Financial | |||
Inc. Class A | 39,485 | 2,152 |
47
S&P Mid-Cap 400 Growth Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
CBOE Holdings Inc. | 39,834 | 2,112 | |
Federal Realty | |||
Investment Trust | 15,895 | 1,983 | |
Arthur J Gallagher & Co. | 41,484 | 1,959 | |
PacWest Bancorp | 44,397 | 1,862 | |
SLM Corp. | 195,863 | 1,735 | |
Old Republic | |||
International Corp. | 112,253 | 1,723 | |
City National Corp. | 22,151 | 1,681 | |
Synovus Financial Corp. | 64,385 | 1,555 | |
Umpqua Holdings Corp. | 86,427 | 1,510 | |
UDR Inc. | 48,920 | 1,464 | |
Eaton Vance Corp. | 34,672 | 1,358 | |
Associated Banc-Corp | 73,866 | 1,343 | |
Liberty Property Trust | 33,523 | 1,187 | |
Taubman Centers Inc. | 15,238 | 1,161 | |
Kilroy Realty Corp. | 17,518 | 1,108 | |
Regency Centers Corp. | 19,247 | 1,100 | |
Mid-America Apartment | |||
Communities Inc. | 14,941 | 1,080 | |
Duke Realty Corp. | 57,997 | 1,079 | |
Washington Federal Inc. | 46,935 | 1,021 | |
Senior Housing | |||
Properties Trust | 42,463 | 991 | |
Prosperity Bancshares Inc. | 15,833 | 956 | |
Brown & Brown Inc. | 28,632 | 934 | |
Cathay General Bancorp | 34,296 | 893 | |
LaSalle Hotel Properties | 23,729 | 867 | |
Rayonier Inc. | 24,651 | 845 | |
Cullen/Frost Bankers Inc. | 10,574 | 831 | |
BancorpSouth Inc. | 39,141 | 829 | |
Alexander & Baldwin Inc. | 19,897 | 814 | |
Weingarten Realty Investors | 23,424 | 802 | |
Highwoods Properties Inc. | 18,399 | 783 | |
Commerce Bancshares Inc. | 16,487 | 760 | |
Webster Financial Corp. | 23,842 | 703 | |
FirstMerit Corp. | 38,289 | 660 | |
Federated Investors Inc. | |||
Class B | 21,465 | 659 | |
Washington Prime Group Inc. | 33,089 | 646 | |
Bank of Hawaii Corp. | 9,482 | 550 | |
RenaissanceRe Holdings Ltd. | 5,267 | 539 | |
Potlatch Corp. | 9,790 | 418 | |
Equity One Inc. | 11,860 | 280 | |
Westamerica Bancorporation | 5,416 | 262 | |
62,702 | |||
Health Care (12.6%) | |||
Universal Health Services | |||
Inc. Class B | 41,651 | 4,767 | |
* | Salix Pharmaceuticals Ltd. | 29,379 | 4,675 |
* | Endo International plc | 64,904 | 4,135 |
* | Mettler-Toledo | ||
International Inc. | 13,538 | 3,662 | |
* | Henry Schein Inc. | 22,147 | 2,651 |
* | United Therapeutics Corp. | 20,445 | 2,409 |
* | Cubist Pharmaceuticals Inc. | 34,888 | 2,408 |
Market | |||
Value• | |||
Shares | ($000) | ||
Cooper Cos. Inc. | 13,770 | 2,245 | |
ResMed Inc. | 41,608 | 2,207 | |
* | Covance Inc. | 26,600 | 2,205 |
* | Hologic Inc. | 75,529 | 1,878 |
* | Align Technology Inc. | 33,281 | 1,813 |
* | IDEXX Laboratories Inc. | 14,261 | 1,768 |
* | MEDNAX Inc. | 30,388 | 1,740 |
* | Charles River Laboratories | ||
International Inc. | 22,406 | 1,324 | |
* | Sirona Dental Systems Inc. | 14,101 | 1,149 |
Omnicare Inc. | 17,889 | 1,141 | |
Teleflex Inc. | 9,005 | 986 | |
STERIS Corp. | 16,420 | 924 | |
Techne Corp. | 8,806 | 841 | |
* | VCA Inc. | 20,449 | 833 |
Hill-Rom Holdings Inc. | 14,601 | 640 | |
* | HMS Holdings Corp. | 26,436 | 604 |
* | Allscripts Healthcare | ||
Solutions Inc. | 40,021 | 591 | |
* | Thoratec Corp. | 14,514 | 363 |
* | Community Health Systems | ||
Inc. Rights | 29,782 | 1 | |
47,960 | |||
Industrials (20.7%) | |||
* | United Rentals Inc. | 45,069 | 5,302 |
* | B/E Aerospace Inc. | 45,840 | 3,884 |
Wabtec Corp. | 44,687 | 3,725 | |
Trinity Industries Inc. | 71,775 | 3,472 | |
Fortune Brands Home | |||
& Security Inc. | 76,935 | 3,324 | |
Towers Watson & Co. | |||
Class A | 29,640 | 3,249 | |
JB Hunt Transport | |||
Services Inc. | 42,376 | 3,202 | |
* | Kirby Corp. | 26,402 | 3,150 |
Alaska Air Group Inc. | 63,677 | 2,951 | |
IDEX Corp. | 37,351 | 2,874 | |
Lincoln Electric Holdings Inc. | 37,261 | 2,649 | |
Acuity Brands Inc. | 20,018 | 2,480 | |
* | Genesee & Wyoming Inc. | ||
Class A | 23,631 | 2,324 | |
Nordson Corp. | 27,724 | 2,247 | |
Graco Inc. | 28,082 | 2,158 | |
* | Old Dominion Freight | ||
Line Inc. | 32,334 | 2,156 | |
Terex Corp. | 51,099 | 1,912 | |
Waste Connections Inc. | 37,325 | 1,831 | |
* | Copart Inc. | 51,971 | 1,789 |
AO Smith Corp. | 35,260 | 1,731 | |
Hubbell Inc. Class B | 13,472 | 1,629 | |
Donaldson Co. Inc. | 36,555 | 1,530 | |
Deluxe Corp. | 23,187 | 1,381 | |
Carlisle Cos. Inc. | 15,437 | 1,280 | |
Huntington Ingalls | |||
Industries Inc. | 11,829 | 1,208 | |
Lennox International Inc. | 14,033 | 1,175 |
48
S&P Mid-Cap 400 Growth Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Corporate Executive | |||
Board Co. | 15,656 | 1,032 | |
RR Donnelley & Sons Co. | 57,322 | 1,013 | |
MSC Industrial Direct Co. | |||
Inc. Class A | 10,750 | 969 | |
Valmont Industries Inc. | 6,101 | 859 | |
Alliant Techsystems Inc. | 6,788 | 855 | |
Crane Co. | 11,904 | 828 | |
ITT Corp. | 16,594 | 794 | |
HNI Corp. | 20,927 | 793 | |
* | NOW Inc. | 23,934 | 791 |
CLARCOR Inc. | 12,142 | 768 | |
Kennametal Inc. | 14,648 | 656 | |
Woodward Inc. | 11,497 | 600 | |
Con-way Inc. | 11,646 | 597 | |
Landstar System Inc. | 8,550 | 580 | |
Rollins Inc. | 18,181 | 541 | |
Civeo Corp. | 20,675 | 525 | |
Herman Miller Inc. | 17,313 | 515 | |
Watsco Inc. | 5,315 | 492 | |
MSA Safety Inc. | 7,804 | 432 | |
Harsco Corp. | 17,603 | 426 | |
* | FTI Consulting Inc. | 10,591 | 393 |
79,072 | |||
Information Technology (20.2%) | |||
* | Trimble Navigation Ltd. | 120,873 | 4,020 |
* | ANSYS Inc. | 42,932 | 3,490 |
Skyworks Solutions Inc. | 56,218 | 3,185 | |
* | Gartner Inc. | 41,802 | 3,118 |
* | Equinix Inc. | 14,043 | 3,065 |
* | Cree Inc. | 56,494 | 2,574 |
*,^ | 3D Systems Corp. | 47,361 | 2,534 |
Broadridge Financial | |||
Solutions Inc. | 55,906 | 2,378 | |
Global Payments Inc. | 31,590 | 2,297 | |
Jack Henry | |||
& Associates Inc. | 39,173 | 2,265 | |
* | Concur Technologies Inc. | 22,136 | 2,222 |
* | PTC Inc. | 54,955 | 2,126 |
* | WEX Inc. | 17,952 | 2,040 |
* | Ultimate Software | ||
Group Inc. | 13,135 | 1,931 | |
* | Rackspace Hosting Inc. | 53,970 | 1,867 |
* | SunEdison Inc. | 78,669 | 1,733 |
* | Informatica Corp. | 50,863 | 1,732 |
FEI Co. | 19,576 | 1,645 | |
* | Cadence Design | ||
Systems Inc. | 89,860 | 1,585 | |
FactSet Research | |||
Systems Inc. | 12,038 | 1,534 | |
* | NCR Corp. | 43,556 | 1,488 |
* | MICROS Systems Inc. | 21,836 | 1,484 |
Belden Inc. | 20,199 | 1,476 | |
Solera Holdings Inc. | 21,672 | 1,321 | |
* | SolarWinds Inc. | 30,383 | 1,300 |
* | Synopsys Inc. | 31,538 | 1,290 |
Market | |||
Value• | |||
Shares | ($000) | ||
* | CoreLogic Inc. | 42,542 | 1,203 |
* | ARRIS Group Inc. | 37,029 | 1,133 |
* | CommVault Systems Inc. | 20,546 | 1,133 |
* | Zebra Technologies Corp. | 13,798 | 1,077 |
* | ACI Worldwide Inc. | 52,700 | 1,026 |
* | Ciena Corp. | 48,647 | 1,007 |
Mentor Graphics Corp. | 44,850 | 978 | |
National Instruments Corp. | 29,165 | 967 | |
Fair Isaac Corp. | 14,890 | 866 | |
DST Systems Inc. | 8,914 | 827 | |
* | TIBCO Software Inc. | 39,038 | 814 |
* | JDS Uniphase Corp. | 69,571 | 804 |
* | Conversant Inc. | 29,168 | 803 |
* | Riverbed Technology Inc. | 42,382 | 799 |
* | NeuStar Inc. Class A | 25,978 | 766 |
* | Atmel Corp. | 83,992 | 744 |
Advent Software Inc. | 20,507 | 663 | |
* | Acxiom Corp. | 35,638 | 661 |
* | Integrated Device | ||
Technology Inc. | 39,710 | 653 | |
* | Fortinet Inc. | 24,786 | 640 |
* | Advanced Micro | ||
Devices Inc. | 140,978 | 588 | |
Plantronics Inc. | 11,646 | 556 | |
* | Knowles Corp. | 16,567 | 545 |
Diebold Inc. | 11,985 | 455 | |
* | Semtech Corp. | 15,915 | 415 |
Compuware Corp. | 41,775 | 391 | |
Cypress | |||
Semiconductor Corp. | 27,839 | 308 | |
InterDigital Inc. | 6,625 | 294 | |
ADTRAN Inc. | 12,406 | 286 | |
77,102 | |||
Materials (5.1%) | |||
Packaging Corp. of America | 45,552 | 3,097 | |
Eagle Materials Inc. | 23,186 | 2,363 | |
Valspar Corp. | 19,787 | 1,598 | |
RPM International Inc. | 33,333 | 1,571 | |
Rock-Tenn Co. Class A | 27,926 | 1,373 | |
NewMarket Corp. | 3,229 | 1,314 | |
Albemarle Corp. | 17,687 | 1,124 | |
AptarGroup Inc. | 16,069 | 1,031 | |
Worthington Industries Inc. | 24,108 | 975 | |
PolyOne Corp. | 24,851 | 975 | |
Carpenter Technology Corp. | 15,245 | 834 | |
Cytec Industries Inc. | 6,974 | 719 | |
Minerals Technologies Inc. | 9,599 | 601 | |
Scotts Miracle-Gro Co. | |||
Class A | 9,891 | 571 | |
Compass Minerals | |||
International Inc. | 6,222 | 554 | |
* | Louisiana-Pacific Corp. | 31,424 | 448 |
* | Rayonier Advanced | ||
Materials Inc. | 10,026 | 333 | |
19,481 |
49
S&P Mid-Cap 400 Growth Index Fund
Market | ||
Value• | ||
Shares | ($000) | |
Telecommunication Services (0.4%) | ||
* tw telecom inc Class A | 34,502 | 1,416 |
Utilities (0.9%) | ||
National Fuel Gas Co. | 17,512 | 1,339 |
Aqua America Inc. | 40,186 | 1,005 |
Questar Corp. | 38,127 | 896 |
3,240 | ||
Total Common Stocks | ||
(Cost $319,147) | 381,001 | |
Temporary Cash Investments (0.2%)1 | ||
Money Market Fund (0.2%) | ||
2,3 Vanguard Market | ||
Liquidity Fund, 0.113% | 750,098 | 750 |
Face | ||
Amount | ||
($000) | ||
U.S. Government and Agency Obligations (0.0%) | ||
4,5 Federal Home Loan | ||
Bank Discount Notes, | ||
0.086%, 9/12/14 | 100 | 100 |
Total Temporary Cash Investments | ||
(Cost $850) | 850 | |
Total Investments (100.2%) | ||
(Cost $319,997) | 381,851 | |
Other Assets and Liabilities (-0.2%) | ||
Other Assets | 366 | |
Liabilities3 | (985) | |
(619) | ||
Net Assets (100%) | 381,232 |
At August 31, 2014, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 324,930 |
Undistributed Net Investment Income | 1,778 |
Accumulated Net Realized Losses | (7,334) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 61,854 |
Futures Contracts | 4 |
Net Assets | 381,232 |
Institutional Shares—Net Assets | |
Applicable to 463,595 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 89,685 |
Net Asset Value Per Share— | |
Institutional Shares | $193.45 |
ETF Shares—Net Assets | |
Applicable to 3,000,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 291,547 |
Net Asset Value Per Share— | |
ETF Shares | $97.18 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $647,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.2%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Includes $666,000 of collateral received for securities on loan.
4 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
5 Securities with a value of $100,000 have been segregated as initial margin for open futures contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
50
S&P Mid-Cap 400 Growth Index Fund
Statement of Operations
Year Ended | |
August 31, 2014 | |
($000) | |
Investment Income | |
Income | |
Dividends | 3,243 |
Interest1 | 1 |
Securities Lending | 44 |
Total Income | 3,288 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 52 |
Management and Administrative—Institutional Shares | 20 |
Management and Administrative—ETF Shares | 347 |
Marketing and Distribution—Institutional Shares | 16 |
Marketing and Distribution—ETF Shares | 55 |
Custodian Fees | 32 |
Auditing Fees | 22 |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—ETF Shares | 12 |
Total Expenses | 556 |
Net Investment Income | 2,732 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 20,267 |
Futures Contracts | 74 |
Realized Net Gain (Loss) | 20,341 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 32,962 |
Futures Contracts | 22 |
Change in Unrealized Appreciation (Depreciation) | 32,984 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 56,057 |
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.
51
S&P Mid-Cap 400 Growth Index Fund
Statement of Changes in Net Assets
Year Ended August 31, | ||
2014 | 2013 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 2,732 | 1,823 |
Realized Net Gain (Loss) | 20,341 | 3,333 |
Change in Unrealized Appreciation (Depreciation) | 32,984 | 23,842 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 56,057 | 28,998 |
Distributions | ||
Net Investment Income | ||
Institutional Shares | (598) | (187) |
ETF Shares | (1,700) | (708) |
Realized Capital Gain | ||
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (2,298) | (895) |
Capital Share Transactions | ||
Institutional Shares | 35,646 | 14,378 |
ETF Shares | 67,226 | 68,116 |
Net Increase (Decrease) from Capital Share Transactions | 102,872 | 82,494 |
Total Increase (Decrease) | 156,631 | 110,597 |
Net Assets | ||
Beginning of Period | 224,601 | 114,004 |
End of Period1 | 381,232 | 224,601 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $1,778,000 and $1,344,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
52
S&P Mid-Cap 400 Growth Index Fund
Financial Highlights
Institutional Shares | ||||
March 28, | ||||
20111 to | ||||
Year Ended August 31, | August 31, | |||
For a Share Outstanding Throughout Each Period | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $161.12 | $134.20 | $121.54 | $130.08 |
Investment Operations | ||||
Net Investment Income | 1.316 | 1.584 | .915 | .304 |
Net Realized and Unrealized Gain (Loss) on Investments | 32.386 | 26.392 | 12.506 | (8.844) |
Total from Investment Operations | 33.702 | 27.976 | 13.421 | (8.540) |
Distributions | ||||
Dividends from Net Investment Income | (1.372) | (1.056) | (.761) | — |
Distributions from Realized Capital Gains | — | — | — | — |
Total Distributions | (1.372) | (1.056) | (.761) | — |
Net Asset Value, End of Period | $193.45 | $161.12 | $134.20 | $121.54 |
Total Return | 20.99% | 20.97% | 11.12% | -6.57% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $90 | $42 | $23 | $22 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08%2 |
Ratio of Net Investment Income to Average Net Assets | 0.93% | 1.20% | 0.88% | 0.75%2 |
Portfolio Turnover Rate 3 | 38% | 35% | 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.
53
S&P Mid-Cap 400 Growth Index Fund
Financial Highlights
ETF Shares | ||||
Sept. 7, | ||||
20101 to | ||||
Year Ended August 31, August 31, | ||||
For a Share Outstanding Throughout Each Period | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $80.96 | $67.47 | $61.13 | $50.04 |
Investment Operations | ||||
Net Investment Income | . 571 | .721 | .405 | .280 |
Net Realized and Unrealized Gain (Loss) on Investments | 16.256 | 13.257 | 6.266 | 10.910 |
Total from Investment Operations | 16.827 | 13.978 | 6.671 | 11.190 |
Distributions | ||||
Dividends from Net Investment Income | (.607) | (. 488) | (. 331) | (.100) |
Distributions from Realized Capital Gains | — | — | — | — |
Total Distributions | (.607) | (. 488) | (. 331) | (.100) |
Net Asset Value, End of Period | $97.18 | $80.96 | $67.47 | $61.13 |
Total Return | 20.84% | 20.83% | 10.97% | 22.36% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $292 | $182 | $91 | $31 |
Ratio of Total Expenses to Average Net Assets | 0.20% | 0.20% | 0.20% | 0.20%2 |
Ratio of Net Investment Income to Average Net Assets | 0.81% | 1.08% | 0.76% | 0.63%2 |
Portfolio Turnover Rate 3 | 38% | 35% | 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.
54
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. 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. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended August 31, 2014, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.
55
S&P Mid-Cap 400 Growth Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2011–2014), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the absence of a default the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $2.89 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at August 31, 2014, or at any time during the period then ended.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution 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.
56
S&P Mid-Cap 400 Growth 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 based on 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, 2014, the fund had contributed capital of $37,000 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, 2014, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 381,001 | — | — |
Temporary Cash Investments | 750 | 100 | — |
Futures Contracts—Assets1 | 1 | — | — |
Total | 381,752 | 100 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At August 31, 2014, 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 2014 | 1 | 144 | 4 |
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.
57
S&P Mid-Cap 400 Growth Index Fund
During the year ended August 31, 2014, the fund realized $20,056,000 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, 2014, the fund had $1,831,000 of ordinary income available for distribution. The fund used capital loss carryforwards of $257,000 to offset taxable capital gains realized during the year ended August 31, 2014. At August 31, 2014, the fund had available capital losses totaling $7,331,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2014, the cost of investment securities for tax purposes was $319,997,000. Net unrealized appreciation of investment securities for tax purposes was $61,854,000, consisting of unrealized gains of $68,328,000 on securities that had risen in value since their purchase and $6,474,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended August 31, 2014, the fund purchased $296,528,000 of investment securities and sold $192,514,000 of investment securities, other than temporary cash investments. Purchases and sales include $139,596,000 and $68,770,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
G. Capital share transactions for each class of shares were:
Year Ended August 31, | |||||
2014 | 2013 | ||||
Amount | Shares | Amount | Shares | ||
($000) | (000) | ($000) | (000) | ||
Institutional Shares | |||||
Issued | 42,737 | 238 | 25,934 | 172 | |
Issued in Lieu of Cash Distributions | 283 | 2 | 187 | 1 | |
Redeemed | (7,374) | (40) | (11,743) | (80) | |
Net Increase (Decrease) —Institutional Shares | 35,646 | 200 | 14,378 | 93 | |
ETF Shares | |||||
Issued | 149,297 | 1,650 | 97,354 | 1,300 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (82,071) | (900) | (29,238) | (400) | |
Net Increase (Decrease)—ETF Shares | 67,226 | 750 | 68,116 | 900 |
H. Management has determined that no material events or transactions occurred subsequent to August 31, 2014, that would require recognition or disclosure in these financial statements.
58
Report of Independent Registered
Public Accounting Firm
To the Board of 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, 2014, and 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 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, 2014 by correspondence with the custodian and broker and by agreement to the underlying ownership records of the transfer agent, provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 15, 2014
59
Special 2014 tax information (unaudited) for Vanguard S&P Mid-Cap 400 Index Funds |
This information for the fiscal year ended August 31, 2014, is included pursuant to provisions of the Internal Revenue Code.
The funds distributed qualified dividend income to shareholders during the fiscal year as follows:
Fund | ($000) |
S&P Mid-Cap 400 Index Fund | 4,065 |
S&P Mid-Cap 400 Value Index Fund | 1,171 |
S&P Mid-Cap 400 Growth Index Fund | 1,767 |
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 | 80.8% |
S&P Mid-Cap 400 Value Index Fund | 74.2 |
S&P Mid-Cap 400 Growth Index Fund | 92.7 |
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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 2014. (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 Funds | ||
Periods Ended August 31, 2014 | ||
Since | ||
One | Inception | |
Year | (9/7/2010) | |
S&P Mid-Cap 400 Index Fund ETF Shares | ||
Returns Before Taxes | 23.06% | 19.12% |
Returns After Taxes on Distributions | 22.74 | 18.93 |
Returns After Taxes on Distributions and Sale of Fund Shares | 13.20 | 15.35 |
Since | ||
One | Inception | |
Year | (9/7/2010) | |
S&P Mid-Cap 400 Value Index Fund ETF Shares | ||
Returns Before Taxes | 25.26% | 19.41% |
Returns After Taxes on Distributions | 24.97 | 19.15 |
Returns After Taxes on Distributions and Sale of Fund Shares | 14.44 | 15.58 |
Since | ||
One | Inception | |
Year | (9/7/2010) | |
S&P Mid-Cap 400 Growth Index Fund ETF Shares | ||
Returns Before Taxes | 20.84% | 18.76% |
Returns After Taxes on Distributions | 20.61 | 18.63 |
Returns After Taxes on Distributions and Sale of Fund Shares | 11.90 | 15.05 |
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About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
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Six Months Ended August 31, 2014 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
2/28/2014 | 8/31/2014 | Period | |
Based on Actual Fund Return | |||
S&P Mid-Cap 400 Index Fund | |||
Institutional Shares | $1,000.00 | $1,053.05 | $0.41 |
ETF Shares | 1,000.00 | 1,052.64 | 0.78 |
S&P Mid-Cap 400 Value Index Fund | |||
Institutional Shares | $1,000.00 | $1,078.53 | $0.42 |
ETF Shares | 1,000.00 | 1,077.85 | 1.05 |
S&P Mid-Cap 400 Growth Index Fund | |||
Institutional Shares | $1,000.00 | $1,028.88 | $0.41 |
ETF Shares | 1,000.00 | 1,028.25 | 1.02 |
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.
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Trustees Approve Advisory Arrangements
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 each fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard). Vanguard’s Equity Investment Group—through its Equity Index Group—serves as investment advisor for each fund. The board determined that continuing each fund’s internalized management structure was in the best interests of each fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangements. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board considered the quality of each fund’s 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 Index Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of each advisory arrangement.
Investment performance
The board considered the funds’ performance since their inception, including any periods of outperformance or underperformance relative to a target index and peer group. The board concluded that the performance was such that each advisory arrangement should continue. Information about the funds’ most recent performance can be found 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 each fund’s advisory fee rate was also well below its peer group average. Information about the funds’ expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements sections.
The board does not conduct a profitability analysis of Vanguard, because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that each fund’s at-cost arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangements again after a one-year period.
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Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
Dividend Yield. Dividend income earned by stocks, expressed as a percentage of the aggregate market value (or of net asset value, for a fund). The yield is determined by dividing the amount of the annual dividends by the aggregate value (or net asset value) at the end of the period. For a fund, the dividend yield is based solely on stock holdings and does not include any income produced by other investments.
Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund.
Equity Exposure. A measure that reflects a fund’s investments in stocks and stock futures. Any holdings in short-term reserves are excluded.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Foreign Holdings. The percentage of a fund represented by securities or depositary receipts of companies based outside the United States.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it.
Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds.
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Price/Earnings Ratio. The ratio of a stock’s current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company’s future growth.
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
Return on Equity. The annual average rate of return generated by a company during the past five years for each dollar of shareholder’s equity (net income divided by shareholder’s equity). For a fund, the weighted average return on equity for the companies whose stocks it holds.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Turnover Rate. An indication of the fund’s trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors). The turnover rate excludes in-kind transactions, which have minimal impact on costs.
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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 177 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. | |
F. William McNabb III | |
Born 1957. Trustee Since July 2009. Chairman of the | Amy Gutmann |
Board. Principal Occupation(s) During the Past Five | Born 1949. Trustee Since June 2006. Principal |
Years: Chairman of the Board of The Vanguard Group, | Occupation(s) During the Past Five Years: President of |
Inc., and of each of the investment companies served | the University of Pennsylvania; Christopher H. Browne |
by The Vanguard Group, since January 2010; Director | Distinguished Professor of Political Science, School of |
of The Vanguard Group since 2008; Chief Executive | Arts and Sciences, and Professor of Communication, |
Officer and President of The Vanguard Group, and of | Annenberg School for Communication, with secondary |
each of the investment companies served by The | faculty appointments in the Department of Philosophy, |
Vanguard Group, since 2008; Director of Vanguard | School of Arts and Sciences, and at the Graduate |
Marketing Corporation; Managing Director of The | School of Education, University of Pennsylvania; |
Vanguard Group (1995–2008). | Trustee of the National Constitution Center; Chair |
of the Presidential Commission for the Study of | |
IndependentTrustees | 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 2009–2010 | (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); Chairman of the Board |
and President (2006–2008) of Rohm and Haas Co. | of Hillenbrand, Inc. (specialized consumer services), |
(chemicals); Director of Tyco International, Ltd. | and of Oxfam America; Director of SKF AB (industrial |
(diversified manufacturing and services), Hewlett- | machinery), Hyster-Yale Materials Handling, Inc. |
Packard Co. (electronic computer manufacturing), | (forklift trucks), the Lumina Foundation for Education, |
and the V Foundation for Cancer Research; Member | Executive Officers | |
of the Advisory Council for the College of Arts and | ||
Letters and of the Advisory Board to the Kellogg | Glenn Booraem | |
Institute for International Studies, both at the | Born 1967. Controller Since July 2010. Principal | |
University of Notre Dame. | Occupation(s) During the Past Five Years: Principal | |
of The Vanguard Group, Inc.; Controller of each of | ||
Mark Loughridge | the investment companies served by The Vanguard | |
Born 1953. Trustee Since March 2012. Principal | Group; Assistant Controller of each of the investment | |
Occupation(s) During the Past Five Years: Senior Vice | companies served by The Vanguard Group (2001–2010). | |
President and Chief Financial Officer (retired 2013) | ||
at IBM (information technology services); Fiduciary | Thomas J. Higgins | |
Member of IBM’s Retirement Plan Committee (2004– | Born 1957. Chief Financial Officer Since September | |
2013); Member of the Council on Chicago Booth. | 2008. Principal Occupation(s) During the Past Five | |
Years: Principal of The Vanguard Group, Inc.; Chief | ||
Scott C. Malpass | Financial Officer of each of the investment companies | |
Born 1962. Trustee Since March 2012. Principal | served by The Vanguard Group; Treasurer of each of | |
Occupation(s) During the Past Five Years: Chief | the investment companies served by The Vanguard | |
Investment Officer and Vice President at the University | Group (1998–2008). | |
of Notre Dame; Assistant Professor of Finance at the | ||
Mendoza College of Business at Notre Dame; Member | Kathryn J. Hyatt | |
of the Notre Dame 403(b) Investment Committee; | Born 1955. Treasurer Since November 2008. Principal | |
Board Member of TIFF Advisory Services, Inc. | Occupation(s) During the Past Five Years: Principal of | |
(investment advisor); Member of the Investment | The Vanguard Group, Inc.; Treasurer of each of the | |
Advisory Committees of the Financial Industry | investment companies served by The Vanguard | |
Regulatory Authority (FINRA) and of Major League | Group; Assistant Treasurer of each of the investment | |
Baseball. | companies served by The Vanguard Group (1988–2008). | |
André F. Perold | Heidi Stam | |
Born 1952. Trustee Since December 2004. Principal | Born 1956. Secretary Since July 2005. Principal | |
Occupation(s) During the Past Five Years: George | Occupation(s) During the Past Five Years: Managing | |
Gund Professor of Finance and Banking, Emeritus | Director of The Vanguard Group, Inc.; General Counsel | |
at the Harvard Business School (retired 2011); | of The Vanguard Group; Secretary of The Vanguard | |
Chief Investment Officer and Managing Partner of | Group and of each of the investment companies | |
HighVista Strategies LLC (private investment firm); | served by The Vanguard Group; Director and Senior | |
Director of Rand Merchant Bank; Overseer of the | Vice President of Vanguard Marketing Corporation. | |
Museum of Fine Arts Boston. | ||
Vanguard Senior ManagementTeam | ||
Alfred M. Rankin, Jr. | ||
Born 1941. Trustee Since January 1993. Principal | Mortimer J. Buckley | Chris D. McIsaac |
Occupation(s) During the Past Five Years: Chairman, | Kathleen C. Gubanich | Michael S. Miller |
President, and Chief Executive Officer of NACCO | Paul A. Heller | James M. Norris |
Industries, Inc. (housewares/lignite), and of Hyster- | Martha G. King | Glenn W. Reed |
Yale Materials Handling, Inc. (forklift trucks); Chairman | John T. Marcante | |
of the Board of University Hospitals of Cleveland. | ||
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); Trustee of | ||
Colby-Sawyer College; Member of the Advisory Board | Founder | |
of the Norris Cotton Cancer Center and of the Advisory | ||
Board of the Parthenon Group (strategy consulting). | John C. Bogle | |
Chairman and Chief Executive Officer, 1974–1996 | ||
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
P.O. Box 2600 | |
Valley Forge, PA 19482-2600 | |
Connect with Vanguard® > vanguard.com | |
Fund Information > 800-662-7447 | S&P® and S&P 500® are registered trademarks of |
Direct Investor Account Services > 800-662-2739 | Standard & Poor’s Financial Services LLC (“S&P”) and |
Institutional Investor Services > 800-523-1036 | have been licensed for use by S&P Dow Jones Indices |
Text Telephone for People | LLC and its affiliates and sublicensed for certain |
With Hearing Impairment > 800-749-7273 | purposes by Vanguard. The S&P Index is a product of |
S&P Dow Jones Indices LLC and has been licensed for | |
use by Vanguard. The Vanguard funds are not | |
This material may be used in conjunction | sponsored, endorsed, sold, or promoted by S&P Dow |
with the offering of shares of any Vanguard | Jones Indices LLC, Dow Jones, S&P, or their respective |
fund only if preceded or accompanied by | affiliates, and none of S&P Dow Jones Indices LLC, |
the fund’s current prospectus. | Dow Jones, S&P, nor their respective affiliates makes |
any representation regarding the advisability of | |
All comparative mutual fund data are from Lipper, a | investing in such products. |
Thomson Reuters Company, or Morningstar, Inc., unless | |
otherwise noted. | |
You can obtain a free copy of Vanguard’s proxy voting | |
guidelines by visiting vanguard.com/proxyreporting or by | |
calling Vanguard at 800-662-2739. The guidelines are | |
also available from the SEC’s website, sec.gov. In | |
addition, you may obtain a free report on how your fund | |
voted the proxies for securities it owned during the 12 | |
months ended June 30. To get the report, visit either | |
vanguard.com/proxyreporting or sec.gov. | |
You can review and copy information about your fund at | |
the SEC’s Public Reference Room in Washington, D.C. To | |
find out more about this public service, call the SEC at | |
202-551-8090. Information about your fund is also | |
available on the SEC’s website, and you can receive | |
copies of this information, for a fee, by sending a | |
request in either of two ways: via 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. | |
© 2014 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q18420 102014 |
Annual Report | August 31, 2014
Vanguard S&P 500 Value and Growth
Index Funds
Vanguard S&P 500 Value Index Fund
Vanguard S&P 500 Growth Index Fund
The mission continues
On May 1, 1975, Vanguard began operations, a fledgling company based on the simple but revolutionary idea that a mutual fund company should be managed solely in the interest of its investors.
Four decades later, that revolutionary spirit continues to animate the enterprise. Vanguard remains on a mission to give investors the best chance of investment success.
As we mark our 40th anniversary, we thank you for entrusting your assets to Vanguard and giving us the opportunity to help you reach your financial goals in the decades to come.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
S&P 500 Value Index Fund. | 7 |
S&P 500 Growth Index Fund. | 21 |
Your Fund’s After-Tax Returns. | 37 |
About Your Fund’s Expenses. | 38 |
Trustees Approve Advisory Arrangements. | 40 |
Glossary. | 41 |
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: Since our founding, Vanguard has drawn inspiration from the enterprise and valor demonstrated by British naval hero Horatio Nelson and his command at the Battle of the Nile in 1798. The photograph displays a replica of a merchant ship from the same era as Nelson’s flagship, the HMS Vanguard.
Your Fund’s Total Returns
Fiscal Year Ended August 31, 2014 | |
Total | |
Returns | |
Vanguard S&P 500 Value Index Fund | |
ETF Shares | |
Market Price | 22.72% |
Net Asset Value | 22.64 |
S&P 500 Value Index | 22.83 |
Large-Cap Value Funds Average | 22.67 |
Large-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
Vanguard S&P 500 Growth Index Fund | |
ETF Shares | |
Market Price | 27.34% |
Net Asset Value | 27.33 |
S&P 500 Growth Index | 27.53 |
Large-Cap Growth Funds Average | 25.10 |
Large-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
The Vanguard ETF® Shares shown are traded on the NYSE Arca exchange and are available only through brokers. The table provides ETF returns based on both the NYSE Arca market price and the net asset value for a share. U.S. Pat. Nos. 6,879,964; 7,337,138; 7,720,749; 7,925,573; 8,090,646; and 8,417,623.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
Your Fund’s Performance at a Glance | ||||
August 31, 2013, Through August 31, 2014 | ||||
Distributions Per Share | ||||
Starting | Ending | |||
Share | Share | Income | Capital | |
Price | Price | Dividends | Gains | |
Vanguard S&P 500 Value Index Fund | ||||
ETF Shares | $73.72 | $88.54 | $1.706 | $0.000 |
Vanguard S&P 500 Growth Index Fund | ||||
ETF Shares | $77.29 | $96.99 | $1.272 | $0.000 |
1
Chairman’s Letter
Dear Shareholder,
ETF Shares of Vanguard S&P 500 Growth Index Fund and Vanguard S&P 500 Value Index Fund generated impressive returns for the 12 months ended August 31, 2014, as the broad U.S. stock market’s recovery continued. Both funds successfully tracked their target indexes and matched the average returns of their peer groups.
Stocks of all sizes notched gains during the period, and the large-capitalization companies that make up the S&P 500 Index Funds were among the leaders. In the large-cap arena, both growth and value stocks performed well, with growth stocks outpacing their value counterparts by a few percentage points. In this investment environment, the Growth Index Fund returned about 27%; the Value Index Fund, nearly 23%.
All ten market sectors contributed positively to the results of both funds. Technology holdings led the way in the Growth Index Fund, while financial companies contributed the most to the Value Index Fund’s performance.
If you hold shares of your fund in a taxable account, you may wish to review the information on the fund’s after-tax returns that appears later in this report.
U.S. stocks cleared several hurdles to chart a series of new record highs
Despite an assortment of challenges, the broad U.S. stock market recorded an impressive return of about 25% for
the fiscal year ended August 31. U.S. stocks registered positive results in all but two months, and a late-July swoon was followed by an August flurry of record highs.
Investors applauded mostly solid corporate earnings, generally upbeat economic news, and the Federal Reserve’s continued accommodative policies. Still, turmoil in the Middle East and Ukraine, economic worries in Europe and China, and uncertainty about the Fed’s next moves pressured the market at times.
International stocks returned about 18%. Emerging markets, after sliding earlier in the period, rebounded to lead the way.
The developed markets of the Pacific region and Europe trailed but still posted double-digit returns.
Defying analysts’ expectations, U.S. bond prices rose for the year
The broad U.S. taxable bond market returned 5.66%, rallying from the drubbing it took a year ago when investors fretted over the future of the Fed’s bond-buying program.
The Fed began reducing its purchases in January and has consistently cut them further since, with the goal of ending the program in October. Interest rates have not risen as forecast, however. The yield of the 10-year U.S. Treasury note ended
Market Barometer | |||
Average Annual Total Returns | |||
Periods Ended August 31, 2014 | |||
One | Three | Five | |
Year | Years | Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 25.36% | 20.80% | 17.24% |
Russell 2000 Index (Small-caps) | 17.68 | 19.00 | 17.03 |
Russell 3000 Index (Broad U.S. market) | 24.74 | 20.65 | 17.22 |
FTSE All-World ex US Index (International) | 18.04 | 9.48 | 8.44 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | 5.66% | 2.91% | 4.48% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 10.14 | 4.88 | 5.39 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.04 | 0.04 | 0.07 |
CPI | |||
Consumer Price Index | 1.70% | 1.64% | 1.96% |
3
August at 2.34%, down from 2.76% a year earlier. (Bond prices and yields move in opposite directions.)
Municipal bonds returned 10.14% as investors searched for tax-exempt income amid a limited supply of new issues. International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned 6.52%.
Following such a strong advance for bonds globally, it’s worth remembering that the current low yields imply lower future returns: As yields drop, the scope for further declines—and increases in prices—diminishes.
The Fed’s target of 0%–0.25% for short-term interest rates continued to restrict returns for money market funds and savings accounts.
Large-capitalization stocks were solid across all styles and sectors
The Vanguard S&P 500 Index Funds provide exposure to some of the biggest companies in the United States. The 500 Index Fund (which is covered in a separate report) represents the broader market, and the Growth and Value Index Funds form portfolios from its subsets. Larger stocks generally offer more stable returns, higher yields, and more predictable earnings than smaller stocks. On the flip side, less risk may translate into less potential for reward.
Expense Ratios | ||
Your Fund Compared With Its Peer Group | ||
ETF | Peer Group | |
Shares | Average | |
S&P 500 Value Index Fund | 0.15% | 1.14% |
S&P 500 Growth Index Fund | 0.15 | 1.22 |
The fund expense ratios shown are from the prospectus dated December 23, 2013, and represent estimated costs for the current fiscal year.
For the fiscal year ended August 31, 2014, 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, a Thomson Reuters Company, and capture information through year-end 2013.
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.
For the fiscal year, large-cap stocks turned in strong performances across styles and sectors. As I mentioned earlier, large-cap growth stocks generally outperformed their value counterparts, which gave the Growth Index Fund a boost over the Value Index Fund. Although all sectors played a role in the stock market’s strong advance, technology companies were the large-cap leaders.
The Growth Index Fund’s heavy exposure to information technology (the sector accounted for nearly 30% of the fund’s holdings, on average) added substantially to its total return. Although the Value Index Fund had much less exposure to IT, it, too, benefited from the sector’s strong results. Technology products and services continue to extend their global reach as they become accessible and affordable to more people. And software, hardware, and semiconductor stocks excelled as individual consumers and corporations expanded their budgets and updated and replaced their equipment.
Another of the market’s top performers, financials, was the largest contributor to the Value Index Fund’s return; the sector boosted the Growth Index Fund’s results as well. Banks, diversified financial services, insurers, asset managers, investment services firms, and real estate investment trusts (REITs) all benefited from the economic recovery and healthy investment environment.
Total Returns | |
Inception Through August 31, 2014 | |
Average | |
Annual Return | |
S&P 500 Value Index Fund ETF Shares Net Asset Value (Returns since | |
inception: 9/7/2010) | 17.83% |
S&P 500 Value Index | 18.02 |
Large-Cap Value Funds Average | 17.00 |
Large-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
S&P 500 Growth Index Fund ETF Shares Net Asset Value (Returns since | |
inception: 9/7/2010) | 19.77% |
S&P 500 Growth Index | 19.97 |
Large-Cap Growth Funds Average | 17.60 |
Large-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
The figures shown represent past performance, which is not a guarantee of future results. (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.
5
Energy, health care, and consumer staples stocks also added significantly to both funds’ performance. In energy, oil companies––including integrated giants, those that focus on refining and marketing, and equipment and services firms––were key contributors as global demand for oil remained steady.
The bulk of returns in the health care sector came from pharmaceutical and biotechnology companies as mergers and acquisitions, new drug development, and overseas opportunities combined with larger trends lifting the industry. In consumer staples, stocks of soft drinks, packaged food, and tobacco added most to performance.
Funds have tracked their indexes as markets have mostly flourished
Since their debut in September 2010, the S&P 500 Value and Growth Index Funds have encountered occasional bouts of volatility while following a generally prosperous path. Most important, each fund has continually met its objective of closely tracking its target index.
The funds’ tracking success is a tribute to the skill of their advisor, Vanguard Equity Investment Group. The advisor is helped in this task by the funds’ low expenses, which let you pocket more of the returns.
High costs don’t equal strong fund performance
The old adage “you get what you pay for” simply doesn’t apply to mutual funds. In fact, the reverse is true: Research suggests that higher costs are consistent with weaker returns. (See, for example, Shopping for Alpha: You Get What You Don’t Pay For at vanguard.com/research.)
Shouldn’t paying the highest fees allow you to purchase the services of the greatest talents and therefore get the best returns? As it turns out, the data don’t really support that argument. The explanation is simple: Every dollar paid for management fees is a dollar less earning potential return. Keeping expenses down can help narrow the gap between what the markets return and what investors actually earn.
That’s why Vanguard seeks to minimize costs on all our funds. Indexing, of course, is the purest expression of low-cost investing. In our actively managed funds, which are run by some of the most prominent advisory firms in the investment industry, we work to keep fees low. It’s a strategy that reflects decades of experience and research, boiled down to one tenet: The less you pay, the more you keep.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
September 24, 2014
S&P 500 Value Index Fund
Fund Profile
As of August 31, 2014
Portfolio Characteristics | |||
DJ | |||
U.S. | |||
Total | |||
S&P 500 | Market | ||
Value | FA | ||
Fund | Index | Index | |
Number of Stocks | 338 | 338 | 3,709 |
Median Market Cap | $72.0B | $72.0B | $48.0B |
Price/Earnings Ratio | 17.2x | 17.2x | 20.7x |
Price/Book Ratio | 2.0x | 2.0x | 2.7x |
Return on Equity | 15.4% | 15.2% | 17.8% |
Earnings Growth | |||
Rate | 13.3% | 13.3% | 15.3% |
Dividend Yield | 2.4% | 2.4% | 1.8% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 25% | — | — |
Ticker Symbol | VOOV | — | — |
Expense Ratio1 | 0.15% | — | — |
30-Day SEC Yield | 2.28% | — | — |
Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
U.S. | |||
Total | |||
S&P 500 | Market | ||
Value | FA | ||
Fund | Index | Index | |
Consumer Discretionary | 7.1% | 7.1% | 12.6% |
Consumer Staples | 10.8 | 10.8 | 8.1 |
Energy | 15.2 | 15.2 | 9.7 |
Financials | 23.6 | 23.6 | 17.3 |
Health Care | 10.7 | 10.7 | 13.3 |
Industrials | 8.9 | 8.9 | 11.2 |
Information Technology | 10.3 | 10.3 | 18.6 |
Materials | 3.5 | 3.5 | 3.9 |
Telecommunication | |||
Services | 3.8 | 3.8 | 2.2 |
Utilities | 6.1 | 6.1 | 3.1 |
Volatility Measures | ||
DJ | ||
S&P 500 | U.S. Total | |
Value | Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.96 |
Beta | 1.00 | 0.98 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months. | ||
Ten Largest Holdings (% of total net assets) | ||
Exxon Mobil Corp. | Integrated Oil & Gas | 5.1% |
General Electric Co. | Industrial | |
Conglomerates | 3.1 | |
Berkshire Hathaway Inc. Multi-Sector Holdings | 2.9 | |
Wells Fargo & Co. | Diversified Banks | 2.9 |
Chevron Corp. | Integrated Oil & Gas | 2.9 |
JPMorgan Chase & Co. | Diversified Banks | 2.7 |
AT&T Inc. | Integrated | |
Telecommunication | ||
Services | 2.1 | |
Intel Corp. | Semiconductors | 2.1 |
Bank of America Corp. | Diversified Banks | 2.0 |
Cisco Systems Inc. | Communications | |
Equipment | 1.5 | |
Top Ten | 27.3% | |
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 23, 2013, and represents estimated costs for the current fiscal year. For the fiscal year ended August 31, 2014, 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, 2014
Initial Investment of $10,000
Average Annual Total Returns | ||||
Periods Ended August 31, 2014 | ||||
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 | 22.64% | 17.83% | $19,215 | |
S&P 500 Value Index Fund*ETF | ||||
Shares Market Price | 22.72 | 17.84 | 19,222 | |
•••••••• | S&P 500 Value Index | 22.83 | 18.02 | 19,336 |
– – – – | Large-Cap Value Funds Average | 22.67 | 17.00 | 18,685 |
Dow Jones U.S. Total Stock Market | ||||
Float Adjusted Index | 24.68 | 19.19 | 20,114 | |
Large-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. "Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards. | ||||
Cumulative Returns of ETF Shares: September 7, 2010, Through August 31, 2014 | ||
Since | ||
One | Inception | |
Year | (9/7/2010) | |
S&P 500 Value Index Fund ETF Shares Market Price | 22.72% | 92.22% |
S&P 500 Value Index Fund ETF Shares Net Asset | ||
Value | 22.64 | 92.15 |
S&P 500 Value Index | 22.83 | 93.36 |
"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
Fiscal-Year Total Returns (%): September 7, 2010, Through August 31, 2014
Average Annual Total Returns: Periods Ended June 30, 2014 | |||
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 | 21.78% | 18.09% | |
Net Asset Value | 21.80 | 18.08 |
9
S&P 500 Value Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2014
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 (7.1%) | |||
Ford Motor Co. | 95,266 | 1,659 | |
Walt Disney Co. | 12,804 | 1,151 | |
General Motors Co. | 31,682 | 1,103 | |
Home Depot Inc. | 11,537 | 1,079 | |
McDonald’s Corp. | 10,241 | 960 | |
Target Corp. | 15,263 | 917 | |
Time Warner Inc. | 9,564 | 737 | |
Twenty-First Century | |||
Fox Inc. Class A | 20,757 | 735 | |
Macy’s Inc. | 8,684 | 541 | |
Lowe’s Cos. Inc. | 9,613 | 505 | |
Carnival Corp. | 10,557 | 400 | |
Yum! Brands Inc. | 4,253 | 308 | |
Whirlpool Corp. | 1,874 | 287 | |
Kohl’s Corp. | 4,695 | 276 | |
Delphi Automotive plc | 3,663 | 255 | |
* | Dollar General Corp. | 3,942 | 252 |
Gannett Co. Inc. | 5,458 | 184 | |
Family Dollar Stores Inc. | 2,304 | 184 | |
Staples Inc. | 15,559 | 182 | |
Genuine Parts Co. | 2,070 | 182 | |
DR Horton Inc. | 7,718 | 167 | |
PulteGroup Inc. | 8,201 | 158 | |
Marriott International Inc. | |||
Class A | 2,219 | 154 | |
Darden Restaurants Inc. | 3,183 | 151 | |
L Brands Inc. | 2,122 | 135 | |
* | CarMax Inc. | 2,337 | 122 |
Leggett & Platt Inc. | 3,342 | 117 | |
Mattel Inc. | 3,347 | 115 | |
Nordstrom Inc. | 1,594 | 110 | |
Best Buy Co. Inc. | 3,380 | 108 | |
Newell Rubbermaid Inc. | 3,213 | 108 | |
Gap Inc. | 2,132 | 98 | |
Coach Inc. | 2,643 | 97 | |
Cablevision Systems Corp. | |||
Class A | 5,203 | 96 |
Market | |||
Value | |||
Shares | ($000) | ||
Ralph Lauren Corp. Class A | 566 | 96 | |
Garmin Ltd. | 1,717 | 93 | |
Lennar Corp. Class A | 2,292 | 90 | |
Expedia Inc. | 1,014 | 87 | |
PVH Corp. | 732 | 85 | |
PetSmart Inc. | 1,166 | 83 | |
* | AutoNation Inc. | 1,527 | 83 |
H&R Block Inc. | 2,248 | 75 | |
Hasbro Inc. | 1,228 | 65 | |
GameStop Corp. Class A | 1,471 | 62 | |
* | Urban Outfitters Inc. | 953 | 38 |
14,490 | |||
Consumer Staples (10.8%) | |||
Wal-Mart Stores Inc. | 38,831 | 2,932 | |
Procter & Gamble Co. | 31,945 | 2,655 | |
CVS Caremark Corp. | 28,170 | 2,238 | |
Mondelez International Inc. | |||
Class A | 40,750 | 1,475 | |
Philip Morris | |||
International Inc. | 16,674 | 1,427 | |
PepsiCo Inc. | 15,341 | 1,419 | |
Coca-Cola Co. | 30,961 | 1,292 | |
Costco Wholesale Corp. | 10,561 | 1,279 | |
Altria Group Inc. | 22,493 | 969 | |
Archer-Daniels-Midland Co. | 15,768 | 786 | |
Walgreen Co. | 11,212 | 678 | |
Kroger Co. | 12,277 | 626 | |
Sysco Corp. | 14,083 | 533 | |
Colgate-Palmolive Co. | 8,172 | 529 | |
Kimberly-Clark Corp. | 3,722 | 402 | |
General Mills Inc. | 6,663 | 356 | |
ConAgra Foods Inc. | 10,147 | 327 | |
Molson Coors Brewing Co. | |||
Class B | 3,828 | 283 | |
Tyson Foods Inc. Class A | 7,076 | 269 | |
Reynolds American Inc. | 3,745 | 219 | |
Kellogg Co. | 2,950 | 192 | |
Dr Pepper Snapple Group Inc. | 2,457 | 155 | |
Brown-Forman Corp. Class B | 1,599 | 148 | |
JM Smucker Co. | 1,346 | 138 |
10
S&P 500 Value Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Whole Foods Market Inc. | 3,364 | 132 | |
Clorox Co. | 1,300 | 115 | |
McCormick & Co. Inc. | 1,508 | 105 | |
Campbell Soup Co. | 2,288 | 102 | |
Avon Products Inc. | 6,162 | 86 | |
Hormel Foods Corp. | 1,230 | 62 | |
21,929 | |||
Energy (15.2%) | |||
Exxon Mobil Corp. | 103,459 | 10,290 | |
Chevron Corp. | 45,862 | 5,937 | |
ConocoPhillips | 29,578 | 2,402 | |
Phillips 66 | 13,632 | 1,186 | |
Occidental Petroleum Corp. | 10,220 | 1,060 | |
Apache Corp. | 9,293 | 946 | |
Baker Hughes Inc. | 10,503 | 726 | |
Devon Energy Corp. | 9,238 | 697 | |
Valero Energy Corp. | 12,857 | 696 | |
Marathon Oil Corp. | 16,288 | 679 | |
Anadarko Petroleum Corp. | 5,719 | 644 | |
Hess Corp. | 6,359 | 643 | |
Williams Cos. Inc. | 9,787 | 582 | |
National Oilwell Varco Inc. | 5,274 | 456 | |
* | Cameron International Corp. | 4,921 | 366 |
Spectra Energy Corp. | 8,557 | 356 | |
Marathon Petroleum Corp. | 3,895 | 354 | |
ONEOK Inc. | 5,009 | 352 | |
Transocean Ltd. | 8,198 | 317 | |
Ensco plc Class A | 5,630 | 284 | |
Murphy Oil Corp. | 4,064 | 254 | |
CONSOL Energy Inc. | 5,539 | 223 | |
Tesoro Corp. | 3,113 | 202 | |
Noble Corp. plc | 6,131 | 175 | |
Nabors Industries Ltd. | 6,312 | 172 | |
Chesapeake Energy Corp. | 6,217 | 169 | |
QEP Resources Inc. | 4,328 | 154 | |
* | Southwestern Energy Co. | 3,651 | 150 |
Denbury Resources Inc. | 8,465 | 146 | |
Cimarex Energy Co. | 775 | 113 | |
Peabody Energy Corp. | 6,545 | 104 | |
Diamond Offshore | |||
Drilling Inc. | 1,645 | 72 | |
* | Newfield Exploration Co. | 1,309 | 59 |
30,966 | |||
Financials (23.6%) | |||
* | Berkshire Hathaway Inc. | ||
Class B | 43,377 | 5,954 | |
Wells Fargo & Co. | 115,472 | 5,940 | |
JPMorgan Chase & Co. | 91,181 | 5,421 | |
Bank of America Corp. | 253,340 | 4,076 | |
Citigroup Inc. | 39,520 | 2,041 | |
American International | |||
Group Inc. | 34,853 | 1,954 | |
Goldman Sachs Group Inc. | 10,020 | 1,795 | |
MetLife Inc. | 27,118 | 1,484 | |
Morgan Stanley | 33,719 | 1,157 |
Market | |||
Value | |||
Shares | ($000) | ||
Capital One Financial Corp. | 13,770 | 1,130 | |
PNC Financial | |||
Services Group Inc. | 12,869 | 1,091 | |
Bank of New York | |||
Mellon Corp. | 27,473 | 1,076 | |
US Bancorp | 20,554 | 869 | |
ACE Ltd. | 8,136 | 865 | |
Travelers Cos. Inc. | 8,372 | 793 | |
Aflac Inc. | 10,942 | 670 | |
BB&T Corp. | 17,309 | 646 | |
Allstate Corp. | 10,455 | 643 | |
CME Group Inc. | 7,604 | 582 | |
Chubb Corp. | 5,890 | 542 | |
Simon Property Group Inc. | 3,143 | 534 | |
SunTrust Banks Inc. | 12,837 | 489 | |
HCP Inc. | 11,041 | 478 | |
Weyerhaeuser Co. | 12,674 | 430 | |
Hartford Financial | |||
Services Group Inc. | 10,840 | 402 | |
M&T Bank Corp. | 3,169 | 392 | |
Northern Trust Corp. | 5,355 | 371 | |
State Street Corp. | 4,775 | 344 | |
Progressive Corp. | 13,121 | 328 | |
Loews Corp. | 7,357 | 322 | |
Equity Residential | 4,365 | 290 | |
�� | AvalonBay Communities Inc. | 1,734 | 267 |
Public Storage | 1,503 | 263 | |
Marsh & McLennan Cos. Inc. | 4,503 | 239 | |
Ventas Inc. | 3,618 | 238 | |
Unum Group | 6,204 | 225 | |
Boston Properties Inc. | 1,845 | 224 | |
XL Group plc Class A | 6,545 | 224 | |
McGraw Hill Financial Inc. | 2,689 | 218 | |
Vornado Realty Trust | 1,972 | 209 | |
Prologis Inc. | 4,929 | 202 | |
Lincoln National Corp. | 3,498 | 193 | |
General Growth | |||
Properties Inc. | 7,168 | 176 | |
Cincinnati Financial Corp. | 3,539 | 170 | |
* | Genworth Financial Inc. | ||
Class A | 11,970 | 170 | |
Regions Financial Corp. | 16,618 | 169 | |
Principal Financial Group Inc. | 3,094 | 168 | |
Health Care REIT Inc. | 2,279 | 154 | |
Host Hotels & Resorts Inc. | 6,387 | 146 | |
Kimco Realty Corp. | 5,437 | 128 | |
Essex Property Trust Inc. | 648 | 125 | |
NASDAQ OMX Group Inc. | 2,832 | 123 | |
Legg Mason Inc. | 2,477 | 122 | |
Assurant Inc. | 1,726 | 115 | |
Hudson City Bancorp Inc. | 11,453 | 113 | |
Navient Corp. | 6,012 | 108 | |
Leucadia National Corp. | 4,116 | 103 | |
Plum Creek Timber Co. Inc. | 1,827 | 74 | |
Zions Bancorporation | 2,437 | 71 |
11
S&P 500 Value Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
* | CBRE Group Inc. Class A | 2,152 | 68 |
Apartment Investment & | |||
Management Co. Class A | 1,828 | 63 | |
* | E*TRADE Financial Corp. | 2,782 | 62 |
People’s United Financial Inc. 3,763 | 56 | ||
48,095 | |||
Health Care (10.7%) | |||
Johnson & Johnson | 27,946 | 2,899 | |
Pfizer Inc. | 78,374 | 2,303 | |
Merck & Co. Inc. | 37,314 | 2,243 | |
UnitedHealth Group Inc. | 23,606 | 2,046 | |
Abbott Laboratories | 36,185 | 1,528 | |
Eli Lilly & Co. | 23,733 | 1,509 | |
* | Express Scripts Holding Co. | 18,623 | 1,377 |
WellPoint Inc. | 6,739 | 785 | |
Bristol-Myers Squibb Co. | 13,974 | 708 | |
Aetna Inc. | 8,610 | 707 | |
Medtronic Inc. | 10,349 | 661 | |
McKesson Corp. | 3,112 | 607 | |
Cardinal Health Inc. | 8,196 | 604 | |
Covidien plc | 5,649 | 491 | |
Baxter International Inc. | 6,405 | 480 | |
Humana Inc. | 3,730 | 480 | |
AmerisourceBergen Corp. | |||
Class A | 2,940 | 228 | |
* | Mallinckrodt plc | 2,724 | 222 |
Quest Diagnostics Inc. | 3,484 | 220 | |
* | Intuitive Surgical Inc. | 320 | 150 |
Agilent Technologies Inc. | 2,568 | 147 | |
Zoetis Inc. | 4,100 | 145 | |
Zimmer Holdings Inc. | 1,374 | 136 | |
* | CareFusion Corp. | 2,896 | 133 |
* | DaVita HealthCare | ||
Partners Inc. | 1,623 | 121 | |
* | Hospira Inc. | 2,169 | 117 |
* | Edwards Lifesciences Corp. | 1,169 | 116 |
* | Laboratory Corp. of | ||
America Holdings | 980 | 105 | |
* | Tenet Healthcare Corp. | 1,434 | 88 |
* | Waters Corp. | 820 | 85 |
* | Varian Medical Systems Inc. | 953 | 81 |
Patterson Cos. Inc. | 1,987 | 80 | |
DENTSPLY International Inc. | 1,536 | 73 | |
PerkinElmer Inc. | 1,285 | 58 | |
21,733 | |||
Industrials (8.9%) | |||
General Electric Co. | 241,585 | 6,276 | |
Caterpillar Inc. | 15,039 | 1,640 | |
United Technologies Corp. | 8,940 | 965 | |
Deere & Co. | 8,766 | 737 | |
Honeywell International Inc. | 6,414 | 611 | |
General Dynamics Corp. | 4,238 | 522 | |
FedEx Corp. | 3,482 | 515 | |
Eaton Corp. plc | 6,547 | 457 |
Market | |||
Value | |||
Shares | ($000) | ||
Lockheed Martin Corp. | 2,504 | 436 | |
Emerson Electric Co. | 6,420 | 411 | |
Northrop Grumman Corp. | 2,941 | 374 | |
Raytheon Co. | 3,767 | 363 | |
Illinois Tool Works Inc. | 4,111 | 363 | |
Stanley Black & Decker Inc. | 3,761 | 344 | |
Fluor Corp. | 3,834 | 283 | |
CSX Corp. | 8,712 | 269 | |
Republic Services Inc. | |||
Class A | 6,439 | 253 | |
CH Robinson Worldwide Inc. | 3,574 | 244 | |
Tyco International Ltd. | 5,225 | 233 | |
L-3 Communications | |||
Holdings Inc. | 2,078 | 229 | |
Waste Management Inc. | 4,685 | 220 | |
Cummins Inc. | 1,401 | 203 | |
* | Jacobs Engineering | ||
Group Inc. | 3,189 | 172 | |
Parker-Hannifin Corp. | 1,472 | 170 | |
Ingersoll-Rand plc | 2,662 | 160 | |
ADT Corp. | 4,201 | 155 | |
Nielsen NV | 3,279 | 154 | |
Joy Global Inc. | 2,409 | 152 | |
Roper Industries Inc. | 983 | 148 | |
Pentair plc | 1,829 | 125 | |
* | Quanta Services Inc. | 3,309 | 120 |
Ryder System Inc. | 1,284 | 116 | |
Rockwell Collins Inc. | 1,469 | 113 | |
Expeditors International of | |||
Washington Inc. | 2,570 | 106 | |
Dover Corp. | 1,204 | 106 | |
Iron Mountain Inc. | 2,305 | 83 | |
Snap-on Inc. | 615 | 77 | |
Pall Corp. | 899 | 76 | |
Masco Corp. | 3,085 | 73 | |
Xylem Inc. | 1,771 | 66 | |
Allegion plc | 1,280 | 66 | |
18,186 | |||
Information Technology (10.3%) | |||
Intel Corp. | 119,929 | 4,188 | |
Cisco Systems Inc. | 123,415 | 3,084 | |
International Business | |||
Machines Corp. | 12,607 | 2,424 | |
Hewlett-Packard Co. | 45,084 | 1,713 | |
Oracle Corp. | 38,049 | 1,580 | |
EMC Corp. | 49,324 | 1,457 | |
Corning Inc. | 31,525 | 658 | |
Accenture plc Class A | 6,711 | 544 | |
Broadcom Corp. Class A | 13,389 | 527 | |
* | eBay Inc. | 9,069 | 503 |
Texas Instruments Inc. | 10,401 | 501 | |
Xerox Corp. | 26,299 | 363 | |
Applied Materials Inc. | 12,906 | 298 | |
Juniper Networks Inc. | 11,414 | 265 | |
TE Connectivity Ltd. | 4,033 | 253 |
12
S&P 500 Value Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Computer Sciences Corp. | 3,493 | 209 | |
Analog Devices Inc. | 4,013 | 205 | |
Avago Technologies Ltd. | |||
Class A | 2,485 | 204 | |
Motorola Solutions Inc. | 3,273 | 195 | |
Symantec Corp. | 7,657 | 186 | |
Altera Corp. | 4,449 | 157 | |
Lam Research Corp. | 1,948 | 140 | |
NVIDIA Corp. | 6,976 | 136 | |
Xilinx Inc. | 2,907 | 123 | |
Linear Technology Corp. | 2,447 | 111 | |
NetApp Inc. | 2,558 | 108 | |
Paychex Inc. | 2,567 | 107 | |
* | Citrix Systems Inc. | 1,499 | 105 |
Harris Corp. | 1,362 | 97 | |
Jabil Circuit Inc. | 4,464 | 96 | |
* | Teradata Corp. | 1,864 | 85 |
Western Union Co. | 4,813 | 84 | |
* | F5 Networks Inc. | 619 | 77 |
CA Inc. | 2,630 | 74 | |
FLIR Systems Inc. | 1,160 | 39 | |
20,896 | |||
Materials (3.5%) | |||
Dow Chemical Co. | 29,009 | 1,553 | |
Freeport-McMoRan Inc. | 25,024 | 910 | |
EI du Pont | |||
de Nemours & Co. | 9,514 | 629 | |
International Paper Co. | 10,437 | 506 | |
Alcoa Inc. | 28,244 | 469 | |
Nucor Corp. | 7,667 | 416 | |
Praxair Inc. | 2,894 | 381 | |
Mosaic Co. | 7,787 | 372 | |
Newmont Mining Corp. | 12,011 | 325 | |
Air Products & | |||
Chemicals Inc. | 2,200 | 293 | |
MeadWestvaco Corp. | 4,047 | 174 | |
CF Industries Holdings Inc. | 527 | 136 | |
Sigma-Aldrich Corp. | 1,258 | 131 | |
Vulcan Materials Co. | 1,796 | 114 | |
Ball Corp. | 1,752 | 112 | |
Avery Dennison Corp. | 2,299 | 111 | |
Allegheny Technologies Inc. | 2,611 | 110 | |
Martin Marietta Materials Inc. | 777 | 102 | |
Bemis Co. Inc. | 2,432 | 99 | |
International Flavors & | |||
Fragrances Inc. | 800 | 81 | |
Airgas Inc. | 595 | 66 | |
* | Owens-Illinois Inc. | 1,664 | 51 |
7,141 |
Market | ||
Value | ||
Shares | ($000) | |
Telecommunication Services (3.7%) | ||
AT&T Inc. | 125,036 | 4,371 |
Verizon | ||
Communications Inc. | 47,888 | 2,386 |
CenturyLink Inc. | 13,799 | 566 |
Frontier | ||
Communications Corp. | 24,174 | 164 |
Windstream Holdings Inc. | 14,513 | 164 |
7,651 | ||
Utilities (6.1%) | ||
Duke Energy Corp. | 17,040 | 1,261 |
NextEra Energy Inc. | 10,506 | 1,034 |
Southern Co. | 21,462 | 953 |
Exelon Corp. | 20,689 | 692 |
American Electric | ||
Power Co. Inc. | 11,760 | 632 |
Sempra Energy | 5,492 | 582 |
PPL Corp. | 16,006 | 554 |
PG&E Corp. | 11,196 | 520 |
Dominion Resources Inc. | 7,006 | 492 |
Edison International | 7,851 | 464 |
Public Service | ||
Enterprise Group Inc. | 12,192 | 456 |
Consolidated Edison Inc. | 7,058 | 409 |
Xcel Energy Inc. | 12,084 | 387 |
Northeast Utilities | 7,608 | 349 |
FirstEnergy Corp. | 10,117 | 346 |
Entergy Corp. | 4,322 | 335 |
DTE Energy Co. | 4,261 | 334 |
NiSource Inc. | 7,586 | 301 |
CenterPoint Energy Inc. | 10,354 | 257 |
NRG Energy Inc. | 8,126 | 250 |
Wisconsin Energy Corp. | 5,430 | 246 |
AES Corp. | 15,903 | 241 |
Ameren Corp. | 5,847 | 234 |
CMS Energy Corp. | 6,497 | 198 |
SCANA Corp. | 3,414 | 177 |
Pepco Holdings Inc. | 6,055 | 167 |
AGL Resources Inc. | 2,866 | 153 |
Pinnacle West Capital Corp. | 2,654 | 151 |
Integrys Energy Group Inc. | 1,924 | 131 |
TECO Energy Inc. | 5,630 | 102 |
12,408 | ||
Total Common Stocks | ||
(Cost $172,995) | 203,495 |
13
S&P 500 Value Index Fund
Face | Market | |
Amount | Value | |
($000) | ($000) | |
Temporary Cash Investments (0.1%) | ||
U.S. Government and Agency Obligations (0.1%) | ||
1 Federal Home Loan | ||
Bank Discount Notes, | ||
0.078%, 10/1/14 | 100 | 100 |
Total Temporary Cash Investments | ||
(Cost $100) | 100 | |
Total Investments (100.0%) | ||
(Cost $173,095) | 203,595 | |
Other Assets and Liabilities (0.0%) | ||
Other Assets | 540 | |
Liabilities | (493) | |
47 | ||
ETF Shares—Net Assets (100%) | ||
Applicable to 2,300,000 outstanding | ||
$.001 par value shares of beneficial | ||
interest (unlimited authorization) | 203,642 | |
Net Asset Value Per Share— | ||
ETF Shares | $88.54 |
At August 31, 2014, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 174,294 |
Undistributed Net Investment Income | 819 |
Accumulated Net Realized Losses | (1,971) |
Unrealized Appreciation (Depreciation) | 30,500 |
Net Assets | 203,642 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
14
S&P 500 Value Index Fund
Statement of Operations
Year Ended | |
August 31, 2014 | |
($000) | |
Investment Income | |
Income | |
Dividends | 3,715 |
Securities Lending | 1 |
Total Income | 3,716 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 24 |
Management and Administrative | 111 |
Marketing and Distribution | 33 |
Custodian Fees | 27 |
Auditing Fees | 28 |
Shareholders’ Reports | 4 |
Total Expenses | 227 |
Net Investment Income | 3,489 |
Realized Net Gain (Loss) on Investment Securities Sold | 9,485 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 17,639 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 30,613 |
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
Year Ended August 31, | ||
2014 | 2013 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 3,489 | 2,050 |
Realized Net Gain (Loss) | 9,485 | 5,063 |
Change in Unrealized Appreciation (Depreciation) | 17,639 | 7,839 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 30,613 | 14,952 |
Distributions | ||
Net Investment Income | (3,246) | (1,731) |
Realized Capital Gain | — | — |
Total Distributions | (3,246) | (1,731) |
Capital Share Transactions | ||
Issued | 94,133 | 75,827 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (35,817) | (23,299) |
Net Increase (Decrease) from Capital Share Transactions | 58,316 | 52,528 |
Total Increase (Decrease) | 85,683 | 65,749 |
Net Assets | ||
Beginning of Period | 117,959 | 52,210 |
End of Period1 | 203,642 | 117,959 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $819,000 and $576,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
16
S&P 500 Value Index Fund
Financial Highlights
ETF Shares | ||||
Sept. 7, | ||||
20101 to | ||||
Year Ended August 31, August 31, | ||||
For a Share Outstanding Throughout Each Period | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $73.72 | $61.42 | $53.59 | $49.93 |
Investment Operations | ||||
Net Investment Income | 1.702 | 1.584 | 1.329 | 1.051 |
Net Realized and Unrealized Gain (Loss) on Investments | 14.824 | 12.242 | 7.734 | 3.454 |
Total from Investment Operations | 16.526 | 13.826 | 9.063 | 4.505 |
Distributions | ||||
Dividends from Net Investment Income | (1.706) | (1.526) | (1.233) | (.845) |
Distributions from Realized Capital Gains | — | — | — | — |
Total Distributions | (1.706) | (1.526) | (1.233) | (.845) |
Net Asset Value, End of Period | $88.54 | $73.72 | $61.42 | $53.59 |
Total Return | 22.64% | 22.79% | 17.16% | 8.92% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $204 | $118 | $52 | $27 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15% | 0.15% | 0.15%2 |
Ratio of Net Investment Income to Average Net Assets | 2.31% | 2.45% | 2.43% | 2.25%2 |
Portfolio Turnover Rate 3 | 25% | 25% | 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, 2014. 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. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. 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. 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, 2011–2014), 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. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the absence of a default the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan.
18
S&P 500 Value Index Fund
5. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $2.89 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at August 31, 2014, or at any time during the period then ended.
6. Other: Dividend income is recorded on the ex-dividend date. 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 based on 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, 2014, 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, 2014, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 203,495 | — | — |
Temporary Cash Investments | — | 100 | — |
Total | 203,495 | 100 | — |
19
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, 2014, the fund realized $9,287,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
For tax purposes, at August 31, 2014, the fund had $882,000 of ordinary income available for distribution. The fund used capital loss carryforwards of $198,000 to offset taxable capital gains realized during the year ended August 31, 2014. At August 31, 2014, the fund had available capital losses totaling $1,971,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2014, the cost of investment securities for tax purposes was $173,095,000. Net unrealized appreciation of investment securities for tax purposes was $30,500,000, consisting of unrealized gains of $31,048,000 on securities that had risen in value since their purchase and $548,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the year ended August 31, 2014, the fund purchased $130,942,000 of investment securities and sold $72,387,000 of investment securities, other than temporary cash investments. Purchases and sales include $93,635,000 and $34,312,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
F. Capital shares issued and redeemed were:
Year Ended August 31, | ||
2014 | 2013 | |
Shares | Shares | |
(000) | (000) | |
ETF Shares | ||
Issued | 1,150 | 1,100 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (450) | (350) |
Net Increase (Decrease) in Shares Outstanding | 700 | 750 |
G. Management has determined that no material events or transactions occurred subsequent to August 31, 2014, that would require recognition or disclosure in these financial statements.
20
S&P 500 Growth Index Fund
Fund Profile
As of August 31, 2014
Portfolio Characteristics | |||
DJ | |||
U.S. | |||
Total | |||
S&P 500 | Market | ||
Growth | FA | ||
Fund | Index | Index | |
Number of Stocks | 343 | 342 | 3,709 |
Median Market Cap | $74.6B | $74.6B | $48.0B |
Price/Earnings Ratio | 21.7x | 21.7x | 20.7x |
Price/Book Ratio | 4.2x | 4.2x | 2.7x |
Return on Equity | 22.9% | 22.7% | 17.8% |
Earnings Growth | |||
Rate | 17.1% | 17.1% | 15.3% |
Dividend Yield | 1.6% | 1.6% | 1.8% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 23% | — | — |
Ticker Symbol | VOOG | — | — |
Expense Ratio1 | 0.15% | — | — |
30-Day SEC Yield | 1.44% | — | — |
Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
U.S. | |||
Total | |||
S&P 500 | Market | ||
Growth | FA | ||
Fund | Index | Index | |
Consumer Discretionary 16.2% | 16.2% | 12.6% | |
Consumer Staples | 8.1 | 8.1 | 8.1 |
Energy | 6.1 | 6.1 | 9.7 |
Financials | 9.4 | 9.4 | 17.3 |
Health Care | 16.4 | 16.4 | 13.3 |
Industrials | 11.4 | 11.4 | 11.2 |
Information Technology | 27.6 | 27.6 | 18.6 |
Materials | 3.5 | 3.5 | 3.9 |
Telecommunication | |||
Services | 1.1 | 1.1 | 2.2 |
Utilities | 0.2 | 0.2 | 3.1 |
Volatility Measures | ||
DJ | ||
S&P 500 | U.S. Total | |
Growth | Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.97 |
Beta | 1.00 | 0.92 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months. | ||
Ten Largest Holdings (% of total net assets) | ||
Apple Inc. | Computer Hardware | 6.6% |
Microsoft Corp. | Systems Software | 3.7 |
Google Inc. | Internet Software & | |
Services | 3.5 | |
Johnson & Johnson | Pharmaceuticals | 1.9 |
Gilead Sciences Inc. | Biotechnology | 1.8 |
Schlumberger Ltd. | Oil & Gas Equipment | |
& Services | 1.5 | |
Comcast Corp. | Cable & Satellite | 1.5 |
Facebook Inc. | Internet Software & | |
Services | 1.4 | |
QUALCOMM Inc. | Communications | |
Equipment | 1.4 | |
Amazon.com Inc. | Internet Retail | 1.4 |
Top Ten | 24.7% | |
The holdings listed exclude any temporary cash investments and equity index products. | ||
Investment Focus
1 The expense ratio shown is from the prospectus dated December 23, 2013, and represents estimated costs for the current fiscal year. For the fiscal year ended August 31, 2014, the expense ratio was 0.15%.
21
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, 2014
Initial Investment of $10,000
Average Annual Total Returns | ||||
Periods Ended August 31, 2014 | ||||
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 | 27.33% | 19.77% | $20,509 | |
S&P 500 Growth Index Fund*ETF | ||||
Shares Market Price | 27.34 | 19.78 | 20,510 | |
•••••••• | S&P 500 Growth Index | 27.53 | 19.97 | 20,641 |
– – – – | Large-Cap Growth Funds Average | 25.10 | 17.60 | 19,067 |
Dow Jones U.S. Total Stock Market | ||||
Float Adjusted Index | 24.68 | 19.19 | 20,114 | |
Large-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. "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.
22
S&P 500 Growth Index Fund
Cumulative Returns of ETF Shares: September 7, 2010, Through August 31, 2014 | ||
Since | ||
One | Inception | |
Year | (9/7/2010) | |
S&P 500 Growth Index Fund ETF Shares Market | ||
Price | 27.34% | 105.10% |
S&P 500 Growth Index Fund ETF Shares Net Asset | ||
Value | 27.33 | 105.09 |
S&P 500 Growth Index | 27.53 | 106.41 |
"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, 2014
Average Annual Total Returns: Periods Ended June 30, 2014
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 | 26.93% | 19.81% | |
Net Asset Value | 26.94 | 19.80 |
23
S&P 500 Growth Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2014
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 (16.2%) | |||
Comcast Corp. Class A | 90,307 | 4,942 | |
* | Amazon.com Inc. | 12,948 | 4,390 |
Walt Disney Co. | 37,484 | 3,369 | |
Home Depot Inc. | 30,890 | 2,888 | |
* | Priceline Group Inc. | 1,822 | 2,267 |
Starbucks Corp. | 26,150 | 2,035 | |
NIKE Inc. Class B | 25,623 | 2,013 | |
McDonald’s Corp. | 19,571 | 1,834 | |
TJX Cos. Inc. | 24,326 | 1,450 | |
Time Warner Cable Inc. | 9,678 | 1,432 | |
* | DIRECTV | 16,276 | 1,407 |
Time Warner Inc. | 16,853 | 1,298 | |
Twenty-First Century | |||
Fox Inc. Class A | 36,580 | 1,296 | |
Johnson Controls Inc. | 23,071 | 1,126 | |
Viacom Inc. Class B | 13,587 | 1,103 | |
Lowe’s Cos. Inc. | 20,786 | 1,091 | |
CBS Corp. Class B | 16,929 | 1,004 | |
* | Netflix Inc. | 2,083 | 995 |
VF Corp. | 11,959 | 767 | |
* | Chipotle Mexican Grill Inc. | ||
Class A | 1,080 | 733 | |
Yum! Brands Inc. | 9,200 | 666 | |
Omnicom Group Inc. | 8,978 | 646 | |
* | AutoZone Inc. | 1,155 | 622 |
* | O’Reilly Automotive Inc. | 3,685 | 575 |
Starwood Hotels & | |||
Resorts Worldwide Inc. | 6,670 | 564 | |
Ross Stores Inc. | 7,379 | 556 | |
Wynn Resorts Ltd. | 2,814 | 543 | |
* | Michael Kors Holdings Ltd. | 6,245 | 500 |
BorgWarner Inc. | 7,942 | 494 | |
Harley-Davidson Inc. | 7,586 | 482 | |
* | Bed Bath & Beyond Inc. | 7,084 | 455 |
Tiffany & Co. | 3,856 | 389 | |
* | Dollar Tree Inc. | 7,178 | 385 |
* | Under Armour Inc. Class A | 5,627 | 385 |
* | TripAdvisor Inc. | 3,866 | 383 |
Market | |||
Value | |||
Shares | ($000) | ||
Wyndham Worldwide Corp. | 4,419 | 358 | |
L Brands Inc. | 5,452 | 348 | |
* | Discovery Communications | ||
Inc. Class A | 7,566 | 331 | |
* | Discovery | ||
Communications Inc. | 7,566 | 325 | |
Tractor Supply Co. | 4,809 | 322 | |
* | Mohawk Industries Inc. | 2,126 | 310 |
* | Dollar General Corp. | 4,841 | 310 |
Marriott International Inc. | |||
Class A | 4,424 | 307 | |
* | News Corp. Class A | 17,298 | 305 |
Delphi Automotive plc | 4,321 | 301 | |
Scripps Networks | |||
Interactive Inc. Class A | 3,720 | 296 | |
Interpublic Group of Cos. Inc. | 14,723 | 288 | |
Gap Inc. | 5,958 | 275 | |
Harman International | |||
Industries Inc. | 2,366 | 272 | |
Goodyear Tire & Rubber Co. | 9,577 | 249 | |
Mattel Inc. | 6,954 | 240 | |
* | CarMax Inc. | 4,285 | 225 |
H&R Block Inc. | 6,287 | 211 | |
PVH Corp. | 1,802 | 210 | |
Coach Inc. | 5,708 | 210 | |
Ralph Lauren Corp. Class A | 1,221 | 207 | |
Genuine Parts Co. | 2,348 | 206 | |
Expedia Inc. | 2,103 | 181 | |
Nordstrom Inc. | 2,589 | 179 | |
Newell Rubbermaid Inc. | 4,999 | 168 | |
* | Fossil Group Inc. | 1,653 | 167 |
Best Buy Co. Inc. | 4,685 | 149 | |
PetSmart Inc. | 1,754 | 126 | |
Hasbro Inc. | 2,250 | 118 | |
Graham Holdings Co. Class B | 157 | 113 | |
Lennar Corp. Class A | 2,806 | 110 | |
Garmin Ltd. | 1,798 | 98 | |
* | Urban Outfitters Inc. | 2,162 | 86 |
GameStop Corp. Class A | 1,867 | 79 | |
CBS Outdoor Americas Inc. | 32 | 1 | |
52,766 |
24
S&P 500 Growth Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Consumer Staples (8.1%) | |||
Procter & Gamble Co. | 47,937 | 3,984 | |
Coca-Cola Co. | 86,656 | 3,615 | |
PepsiCo Inc. | 30,544 | 2,825 | |
Philip Morris | |||
International Inc. | 30,596 | 2,618 | |
Altria Group Inc. | 36,571 | 1,575 | |
Kraft Foods Group Inc. | 20,679 | 1,218 | |
Colgate-Palmolive Co. | 18,427 | 1,193 | |
Walgreen Co. | 14,334 | 867 | |
Kimberly-Clark Corp. | 7,723 | 834 | |
Lorillard Inc. | 12,594 | 752 | |
Estee Lauder Cos. Inc. | |||
Class A | 8,776 | 674 | |
Mead Johnson Nutrition Co. | 7,021 | 671 | |
General Mills Inc. | 11,740 | 627 | |
Keurig Green Mountain Inc. | 4,410 | 588 | |
* | Constellation Brands Inc. | ||
Class A | 5,863 | 511 | |
Hershey Co. | 5,183 | 474 | |
* | Monster Beverage Corp. | 4,701 | 416 |
Coca-Cola Enterprises Inc. | 8,116 | 388 | |
Reynolds American Inc. | 5,399 | 316 | |
Whole Foods Market Inc. | 7,910 | 310 | |
Brown-Forman Corp. Class B | 3,320 | 308 | |
Kellogg Co. | 4,604 | 299 | |
Safeway Inc. | 8,000 | 278 | |
Clorox Co. | 2,591 | 230 | |
Dr Pepper Snapple Group Inc. | 3,277 | 206 | |
JM Smucker Co. | 1,658 | 170 | |
McCormick & Co. Inc. | 2,358 | 164 | |
Hormel Foods Corp. | 2,900 | 147 | |
Campbell Soup Co. | 2,921 | 131 | |
Avon Products Inc. | 6,162 | 86 | |
26,475 | |||
Energy (6.1%) | |||
Schlumberger Ltd. | 45,233 | 4,959 | |
EOG Resources Inc. | 18,984 | 2,086 | |
Halliburton Co. | 29,336 | 1,984 | |
Occidental Petroleum Corp. | 12,553 | 1,302 | |
Anadarko Petroleum Corp. | 9,299 | 1,048 | |
Pioneer Natural | |||
Resources Co. | 4,969 | 1,037 | |
Kinder Morgan Inc. | 23,209 | 934 | |
Noble Energy Inc. | 12,479 | 900 | |
Williams Cos. Inc. | 11,544 | 686 | |
National Oilwell Varco Inc. | 7,303 | 631 | |
EQT Corp. | 5,272 | 522 | |
* | FMC Technologies Inc. | 8,170 | 505 |
Cabot Oil & Gas Corp. | 14,495 | 486 | |
Range Resources Corp. | 5,859 | 461 | |
Spectra Energy Corp. | 10,950 | 456 | |
Marathon Petroleum Corp. | 4,412 | 402 | |
Helmerich & Payne Inc. | 3,753 | 394 | |
* | Southwestern Energy Co. | 6,991 | 288 |
Market | |||
Value | |||
Shares | ($000) | ||
Cimarex Energy Co. | 1,902 | 276 | |
Chesapeake Energy Corp. | 8,618 | 235 | |
* | Newfield Exploration Co. | 2,842 | 127 |
19,719 | |||
Financials (9.4%) | |||
American Express Co. | 31,624 | 2,832 | |
Citigroup Inc. | 48,540 | 2,507 | |
Prudential Financial Inc. | 16,048 | 1,439 | |
BlackRock Inc. | 4,346 | 1,436 | |
US Bancorp | 33,417 | 1,413 | |
American Tower Corporation | 13,747 | 1,355 | |
Charles Schwab Corp. | 40,677 | 1,160 | |
Simon Property Group Inc. | 6,259 | 1,064 | |
Discover Financial Services | 16,197 | 1,010 | |
Crown Castle | |||
International Corp. | 11,595 | 922 | |
Aon plc | 10,299 | 898 | |
Ameriprise Financial Inc. | 6,596 | 829 | |
Franklin Resources Inc. | 13,955 | 789 | |
Intercontinental | |||
Exchange Inc. | 3,998 | 756 | |
T. Rowe Price Group Inc. | 9,127 | 739 | |
Marsh & McLennan Cos. Inc. | 12,600 | 669 | |
Invesco Ltd. | 15,030 | 614 | |
Moody’s Corp. | 6,533 | 611 | |
Fifth Third Bancorp | 29,544 | 603 | |
State Street Corp. | 8,081 | 582 | |
Public Storage | 2,870 | 503 | |
Health Care REIT Inc. | 7,322 | 495 | |
McGraw Hill Financial Inc. | 5,580 | 453 | |
Prologis Inc. | 10,241 | 419 | |
KeyCorp | 30,684 | 418 | |
* | Affiliated Managers | ||
Group Inc. | 1,920 | 405 | |
Host Hotels & Resorts Inc. | 17,091 | 390 | |
Equity Residential | 5,361 | 356 | |
Vornado Realty Trust | 3,209 | 340 | |
Ventas Inc. | 5,010 | 330 | |
Boston Properties Inc. | 2,656 | 322 | |
Macerich Co. | 4,888 | 319 | |
Comerica Inc. | 6,311 | 318 | |
Huntington Bancshares Inc. | 28,759 | 283 | |
Principal Financial Group Inc. | 5,039 | 274 | |
AvalonBay Communities Inc. | 1,734 | 267 | |
Torchmark Corp. | 4,569 | 249 | |
Regions Financial Corp. | 23,951 | 243 | |
Essex Property Trust Inc. | 1,236 | 239 | |
Lincoln National Corp. | 4,118 | 227 | |
* | CBRE Group Inc. Class A | 6,580 | 209 |
General Growth | |||
Properties Inc. | 7,792 | 191 | |
Kimco Realty Corp. | 6,411 | 151 | |
Plum Creek Timber Co. Inc. | 3,507 | 142 | |
* | E*TRADE Financial Corp. | 5,998 | 134 |
Leucadia National Corp. | 5,076 | 127 |
25
S&P 500 Growth Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Navient Corp. | 6,008 | 108 | |
Zions Bancorporation | 3,508 | 102 | |
Apartment Investment & | |||
Management Co. Class A | 2,439 | 84 | |
People’s United Financial Inc. | 5,390 | 81 | |
30,407 | |||
Health Care (16.4%) | |||
Johnson & Johnson | 57,980 | 6,014 | |
* | Gilead Sciences Inc. | 53,344 | 5,739 |
Amgen Inc. | 26,296 | 3,665 | |
Pfizer Inc. | 108,570 | 3,191 | |
AbbVie Inc. | 55,233 | 3,053 | |
Merck & Co. Inc. | 47,711 | 2,868 | |
* | Biogen Idec Inc. | 8,240 | 2,827 |
* | Celgene Corp. | 27,818 | 2,643 |
* | Actavis plc | 9,190 | 2,086 |
Bristol-Myers Squibb Co. | 37,417 | 1,895 | |
Allergan Inc. | 10,336 | 1,692 | |
Thermo Fisher Scientific Inc. | 13,858 | 1,666 | |
Medtronic Inc. | 19,780 | 1,263 | |
* | Alexion Pharmaceuticals Inc. | 6,871 | 1,163 |
* | Regeneron | ||
Pharmaceuticals Inc. | 2,769 | 971 | |
Cigna Corp. | 9,332 | 883 | |
Stryker Corp. | 10,272 | 856 | |
Becton Dickinson and Co. | 6,712 | 786 | |
* | Vertex Pharmaceuticals Inc. | 8,205 | 768 |
Baxter International Inc. | 9,613 | 721 | |
Perrigo Co. plc | 4,648 | 691 | |
McKesson Corp. | 3,525 | 688 | |
Covidien plc | 7,518 | 653 | |
St. Jude Medical Inc. | 9,873 | 648 | |
* | Mylan Inc. | 12,982 | 631 |
* | Cerner Corp. | 10,258 | 591 |
* | Boston Scientific Corp. | 45,945 | 583 |
Agilent Technologies Inc. | 7,872 | 450 | |
Zoetis Inc. | 11,487 | 407 | |
CR Bard Inc. | 2,649 | 393 | |
Zimmer Holdings Inc. | 3,848 | 382 | |
* | Intuitive Surgical Inc. | 787 | 370 |
* | DaVita HealthCare | ||
Partners Inc. | 3,829 | 286 | |
AmerisourceBergen Corp. | |||
Class A | 3,607 | 279 | |
* | Edwards Lifesciences Corp. | 1,975 | 196 |
* | Varian Medical Systems Inc. | 2,236 | 190 |
* | Waters Corp. | 1,766 | 183 |
* | Laboratory Corp. of | ||
America Holdings | 1,529 | 164 | |
* | Hospira Inc. | 2,668 | 143 |
* | CareFusion Corp. | 3,032 | 139 |
DENTSPLY International Inc. | 2,710 | 129 | |
PerkinElmer Inc. | 2,082 | 93 | |
* | Tenet Healthcare Corp. | 1,321 | 81 |
53,120 |
Market | |||
Value | |||
Shares | ($000) | ||
Industrials (11.4%) | |||
Union Pacific Corp. | 31,465 | 3,312 | |
3M Co. | 21,591 | 3,109 | |
Boeing Co. | 23,304 | 2,955 | |
United Parcel Service Inc. | |||
Class B | 24,484 | 2,383 | |
United Technologies Corp. | 16,406 | 1,772 | |
Honeywell International Inc. | 17,954 | 1,710 | |
Danaher Corp. | 20,897 | 1,601 | |
Precision Castparts Corp. | 5,029 | 1,227 | |
Delta Air Lines Inc. | 29,454 | 1,166 | |
Norfolk Southern Corp. | 10,756 | 1,151 | |
Lockheed Martin Corp. | 5,649 | 983 | |
Emerson Electric Co. | 15,113 | 968 | |
PACCAR Inc. | 12,321 | 774 | |
Southwest Airlines Co. | 24,032 | 769 | |
CSX Corp. | 22,328 | 690 | |
FedEx Corp. | 4,632 | 685 | |
General Dynamics Corp. | 5,205 | 641 | |
Illinois Tool Works Inc. | 7,252 | 640 | |
Cummins Inc. | 3,921 | 569 | |
Rockwell Automation Inc. | 4,810 | 561 | |
Raytheon Co. | 5,434 | 523 | |
WW Grainger Inc. | 2,117 | 521 | |
Eaton Corp. plc | 7,121 | 497 | |
AMETEK Inc. | 8,514 | 451 | |
Kansas City Southern | 3,833 | 442 | |
Fastenal Co. | 9,485 | 429 | |
Northrop Grumman Corp. | 3,198 | 407 | |
Waste Management Inc. | 8,266 | 388 | |
Tyco International Ltd. | 8,495 | 379 | |
Textron Inc. | 9,688 | 368 | |
Flowserve Corp. | 4,768 | 362 | |
Dover Corp. | 4,049 | 356 | |
Parker-Hannifin Corp. | 3,054 | 353 | |
* | Stericycle Inc. | 2,942 | 350 |
Equifax Inc. | 4,234 | 333 | |
Roper Industries Inc. | 2,043 | 308 | |
Ingersoll-Rand plc | 4,883 | 294 | |
Pentair plc | 4,120 | 280 | |
Nielsen NV | 5,784 | 272 | |
Robert Half International Inc. | 4,776 | 240 | |
Cintas Corp. | 3,503 | 232 | |
Pall Corp. | 2,515 | 212 | |
Rockwell Collins Inc. | 2,589 | 199 | |
Pitney Bowes Inc. | 7,042 | 191 | |
Masco Corp. | 7,911 | 186 | |
Dun & Bradstreet Corp. | 1,283 | 151 | |
Xylem Inc. | 3,827 | 143 | |
Snap-on Inc. | 1,132 | 141 | |
Expeditors International of | |||
Washington Inc. | 3,151 | 130 | |
* | Quanta Services Inc. | 2,792 | 101 |
Iron Mountain Inc. | 2,603 | 94 | |
Allegion plc | 1,273 | 65 | |
37,064 |
26
S&P 500 Growth Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Information Technology (27.6%) | |||
Apple Inc. | 209,446 | 21,468 | |
Microsoft Corp. | 261,108 | 11,862 | |
* | Google Inc. Class A | 9,841 | 5,731 |
* | Google Inc. Class C | 9,841 | 5,625 |
* | Facebook Inc. Class A | 59,727 | 4,469 |
QUALCOMM Inc. | 58,630 | 4,462 | |
Visa Inc. Class A | 17,462 | 3,711 | |
International Business | |||
Machines Corp. | 14,873 | 2,860 | |
Oracle Corp. | 64,401 | 2,675 | |
MasterCard Inc. Class A | 34,904 | 2,646 | |
* | eBay Inc. | 26,546 | 1,473 |
Automatic Data | |||
Processing Inc. | 16,747 | 1,398 | |
* | Yahoo! Inc. | 32,525 | 1,253 |
* | Micron Technology Inc. | 37,181 | 1,212 |
* | salesforce.com inc | 19,622 | 1,159 |
* | Adobe Systems Inc. | 16,079 | 1,156 |
Texas Instruments Inc. | 22,496 | 1,084 | |
Accenture plc Class A | 12,315 | 998 | |
* | Cognizant Technology | ||
Solutions Corp. Class A | 21,136 | 967 | |
Intuit Inc. | 9,862 | 820 | |
SanDisk Corp. | 7,858 | 770 | |
Western Digital Corp. | 7,268 | 749 | |
Seagate Technology plc | 11,344 | 710 | |
Fidelity National | |||
Information Services Inc. | 9,997 | 567 | |
Amphenol Corp. Class A | 5,459 | 562 | |
* | Fiserv Inc. | 8,658 | 558 |
Applied Materials Inc. | 23,681 | 547 | |
TE Connectivity Ltd. | 8,377 | 525 | |
* | Alliance Data Systems Corp. | 1,883 | 498 |
KLA-Tencor Corp. | 5,761 | 440 | |
* | Autodesk Inc. | 7,909 | 424 |
Avago Technologies Ltd. | |||
Class A | 5,159 | 424 | |
* | Electronic Arts Inc. | 10,926 | 413 |
* | Red Hat Inc. | 6,579 | 401 |
* | Akamai Technologies Inc. | 6,179 | 373 |
Microchip Technology Inc. | 6,958 | 340 | |
NetApp Inc. | 7,817 | 330 | |
Symantec Corp. | 12,959 | 315 | |
Paychex Inc. | 7,535 | 314 | |
Analog Devices Inc. | 5,129 | 262 | |
* | Citrix Systems Inc. | 3,526 | 248 |
* | VeriSign Inc. | 4,289 | 245 |
Xilinx Inc. | 5,136 | 217 | |
* | F5 Networks Inc. | 1,737 | 216 |
Linear Technology Corp. | 4,679 | 211 | |
CA Inc. | 7,306 | 206 | |
Western Union Co. | 11,787 | 206 | |
Lam Research Corp. | 2,813 | 202 | |
Motorola Solutions Inc. | 3,144 | 187 |
Market | |||
Value | |||
Shares | ($000) | ||
Total System Services Inc. | 5,763 | 181 | |
NVIDIA Corp. | 9,310 | 181 | |
* | First Solar Inc. | 2,467 | 172 |
Altera Corp. | 4,457 | 158 | |
* | Teradata Corp. | 2,805 | 128 |
Harris Corp. | 1,741 | 124 | |
FLIR Systems Inc. | 3,248 | 110 | |
89,543 | |||
Materials (3.5%) | |||
Monsanto Co. | 18,208 | 2,106 | |
LyondellBasell Industries | |||
NV Class A | 14,470 | 1,655 | |
EI du Pont | |||
de Nemours & Co. | 18,183 | 1,202 | |
Ecolab Inc. | 9,385 | 1,077 | |
PPG Industries Inc. | 4,803 | 989 | |
Praxair Inc. | 6,004 | 790 | |
Sherwin-Williams Co. | 2,943 | 642 | |
Air Products & Chemicals Inc. | 4,203 | 560 | |
Eastman Chemical Co. | 5,216 | 430 | |
FMC Corp. | 4,626 | 306 | |
CF Industries Holdings Inc. | 1,051 | 271 | |
Sealed Air Corp. | 6,743 | 243 | |
Sigma-Aldrich Corp. | 2,309 | 240 | |
International Flavors & | |||
Fragrances Inc. | 1,669 | 169 | |
Airgas Inc. | 1,462 | 161 | |
Ball Corp. | 2,321 | 149 | |
Martin Marietta Materials Inc. | 991 | 130 | |
Vulcan Materials Co. | 1,952 | 124 | |
* | Owens-Illinois Inc. | 3,314 | 102 |
11,346 | |||
Telecommunication Services (1.1%) | |||
Verizon Communications Inc. | 74,800 | 3,727 | |
Utilities (0.2%) | |||
Dominion Resources Inc. | 10,102 | 709 | |
Total Common Stocks | |||
(Cost $261,685) | 324,876 | ||
Temporary Cash Investment (0.0%) | |||
Money Market Fund (0.0%) | |||
1 | Vanguard Market Liquidity | ||
Fund, 0.113% (Cost $98) | 98,100 | 98 | |
Total Investments (100.0%) | |||
(Cost $261,783) | 324,974 | ||
Other Assets and Liabilities (0.0%) | |||
Other Assets | 5,390 | ||
Liabilities | (5,449) | ||
(59) |
27
S&P 500 Growth Index Fund
Market | |
Value | |
($000) | |
ETF Shares—Net Assets (100%) | |
Applicable to 3,350,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 324,915 |
Net Asset Value Per Share— | |
ETF Shares | $96.99 |
At August 31, 2014, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 262,830 |
Undistributed Net Investment Income | 805 |
Accumulated Net Realized Losses | (1,911) |
Unrealized Appreciation (Depreciation) | 63,191 |
Net Assets | 324,915 |
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.
28
S&P 500 Growth Index Fund
Statement of Operations
Year Ended | |
August 31, 2014 | |
($000) | |
Investment Income | |
Income | |
Dividends | 3,837 |
Securities Lending | 1 |
Total Income | 3,838 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 34 |
Management and Administrative | 192 |
Marketing and Distribution | 47 |
Custodian Fees | 27 |
Auditing Fees | 28 |
Shareholders’ Reports | 9 |
Total Expenses | 337 |
Net Investment Income | 3,501 |
Realized Net Gain (Loss) on Investment Securities Sold | 8,182 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 39,859 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 51,542 |
See accompanying Notes, which are an integral part of the Financial Statements.
29
S&P 500 Growth Index Fund
Statement of Changes in Net Assets
Year Ended August 31, | ||
2014 | 2013 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 3,501 | 2,153 |
Realized Net Gain (Loss) | 8,182 | 1,416 |
Change in Unrealized Appreciation (Depreciation) | 39,859 | 12,692 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 51,542 | 16,261 |
Distributions | ||
Net Investment Income | (3,181) | (2,009) |
Realized Capital Gain | — | — |
Total Distributions | (3,181) | (2,009) |
Capital Share Transactions | ||
Issued | 168,869 | 57,363 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (39,160) | (20,566) |
Net Increase (Decrease) from Capital Share Transactions | 129,709 | 36,797 |
Total Increase (Decrease) | 178,070 | 51,049 |
Net Assets | ||
Beginning of Period | 146,845 | 95,796 |
End of Period1 | 324,915 | 146,845 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $805,000 and $485,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
30
S&P 500 Growth Index Fund
Financial Highlights
ETF Shares | ||||
Sept. 7, | ||||
20101 to | ||||
Year Ended August 31, August 31, | ||||
For a Share Outstanding Throughout Each Period | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $77.29 | $68.43 | $58.81 | $50.23 |
Investment Operations | ||||
Net Investment Income | 1.257 | 1.291 | 1.135 | .797 |
Net Realized and Unrealized Gain (Loss) on Investments | 19.715 | 8.848 | 9.543 | 8.414 |
Total from Investment Operations | 20.972 | 10.139 | 10.678 | 9.211 |
Distributions | ||||
Dividends from Net Investment Income | (1.272) | (1.279) | (1.058) | (.631) |
Distributions from Realized Capital Gains | — | — | — | — |
Total Distributions | (1.272) | (1.279) | (1.058) | (.631) |
Net Asset Value, End of Period | $96.99 | $77.29 | $68.43 | $58.81 |
Total Return | 27.33% | 15.00% | 18.38% | 18.33% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $325 | $147 | $96 | $56 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15% | 0.15% | 0.15%2 |
Ratio of Net Investment Income to Average Net Assets | 1.56% | 1.81% | 1.82% | 1.63%2 |
Portfolio Turnover Rate 3 | 23% | 24% | 22% | 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.
31
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, 2014. 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. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value.
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, 2011–2014), 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. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counter-parties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the absence of a default the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan.
5. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $2.89 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board
32
S&P 500 Growth Index Fund
of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at August 31, 2014, or at any time during the period then ended.
6. 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 based on 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, 2014, the fund had contributed capital of $31,000 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, 2014, 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, 2014, the fund realized $6,546,000 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, 2014, the fund had $890,000 of ordinary income available for distribution. The fund used capital loss carryforwards of $1,636,000 to offset taxable capital gains realized during the year ended August 31, 2014. At August 31, 2014, the fund had available capital losses totaling $1,911,000 that may be carried forward indefinitely to offset future net capital gains.
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S&P 500 Growth Index Fund
At August 31, 2014, the cost of investment securities for tax purposes was $261,783,000. Net unrealized appreciation of investment securities for tax purposes was $63,191,000, consisting of unrealized gains of $63,708,000 on securities that had risen in value since their purchase and $517,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the year ended August 31, 2014, the fund purchased $218,813,000 of investment securities and sold $88,618,000 of investment securities, other than temporary cash investments. Purchases and sales include $167,148,000 and $32,876,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
F. Capital shares issued and redeemed were:
Year Ended August 31, | ||
2014 | 2013 | |
Shares | Shares | |
(000) | (000) | |
ETF Shares | ||
Issued | 1,900 | 800 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (450) | (300) |
Net Increase (Decrease) in Shares Outstanding | 1,450 | 500 |
G. Management has determined that no material events or transactions occurred subsequent to August 31, 2014, that would require recognition or disclosure in these financial statements.
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Report of Independent Registered
Public Accounting Firm
To the Board of 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, 2014, 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 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, 2014 by correspondence with the custodian and by agreement to the underlying ownership records of the transfer agent, provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 15, 2014
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Special 2014 tax information (unaudited) for Vanguard S&P 500 Index Funds |
This information for the fiscal year ended August 31, 2014, is included pursuant to provisions of the Internal Revenue Code.
The funds distributed qualified dividend income to shareholders during the fiscal year as follows:
Fund | ($000) |
S&P 500 Value Index | 3,246 |
S&P 500 Growth Index | 3,181 |
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 2014. (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.)
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 Funds | ||
Periods Ended August 31, 2014 | ||
Since | ||
One | Inception | |
Year | (9/7/2010) | |
S&P 500 Value Index Fund ETF Shares | ||
Returns Before Taxes | 22.64% | 17.83% |
Returns After Taxes on Distributions | 22.03 | 17.39 |
Returns After Taxes on Distributions and Sale of Fund Shares | 13.24 | 14.28 |
Since | ||
One | Inception | |
Year | (9/7/2010) | |
S&P 500 Growth Index Fund ETF Shares | ||
Returns Before Taxes | 27.33% | 19.77% |
Returns After Taxes on Distributions | 26.89 | 19.44 |
Returns After Taxes on Distributions and Sale of Fund Shares | 15.76 | 15.91 |
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About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
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Six Months Ended August 31, 2014 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
2/28/2014 | 8/31/2014 | Period | |
Based on Actual Fund Return | |||
S&P 500 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,093.97 | $0.79 |
S&P 500 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,081.82 | $0.79 |
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 500 Value Index Fund, 0.15%; and for the S&P 500 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.
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Trustees Approve Advisory Arrangements
The board of trustees of Vanguard S&P 500 Value Index Fund and S&P 500 Growth Index Fund has renewed each fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard). Vanguard’s Equity Investment Group—through its Equity Index Group—serves as investment advisor for each fund. The board determined that continuing each fund’s internalized management structure was in the best interests of each fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangements. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board considered the quality of each fund’s 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 Index Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of the each advisory arrangement.
Investment performance
The board considered the funds’ performance since their inception, including any periods of out- performance or underperformance relative to a target index and peer group. The board concluded that the performance was such that each advisory arrangement should continue. Information about the 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 each fund’s advisory fee rate was also well below its peer group average. Information about the funds’ expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements sections.
The board does not conduct a profitability analysis of Vanguard, because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that each fund’s at-cost arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangements again after a one-year period.
40
Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
Dividend Yield. Dividend income earned by stocks, expressed as a percentage of the aggregate market value (or of net asset value, for a fund). The yield is determined by dividing the amount of the annual dividends by the aggregate value (or net asset value) at the end of the period. For a fund, the dividend yield is based solely on stock holdings and does not include any income produced by other investments.
Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund.
Equity Exposure. A measure that reflects a fund’s investments in stocks and stock futures. Any holdings in short-term reserves are excluded.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Foreign Holdings. The percentage of a fund represented by securities or depositary receipts of companies based outside the United States.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it.
Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds.
41
Price/Earnings Ratio. The ratio of a stock’s current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company’s future growth.
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
Return on Equity. The annual average rate of return generated by a company during the past five years for each dollar of shareholder’s equity (net income divided by shareholder’s equity). For a fund, the weighted average return on equity for the companies whose stocks it holds.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Turnover Rate. An indication of the fund’s trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors). The turnover rate excludes in-kind transactions, which have minimal impact on costs.
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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 177 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. | |
F. William McNabb III | |
Born 1957. Trustee Since July 2009. Chairman of the | Amy Gutmann |
Board. Principal Occupation(s) During the Past Five | Born 1949. Trustee Since June 2006. Principal |
Years: Chairman of the Board of The Vanguard Group, | Occupation(s) During the Past Five Years: President of |
Inc., and of each of the investment companies served | the University of Pennsylvania; Christopher H. Browne |
by The Vanguard Group, since January 2010; Director | Distinguished Professor of Political Science, School of |
of The Vanguard Group since 2008; Chief Executive | Arts and Sciences, and Professor of Communication, |
Officer and President of The Vanguard Group, and of | Annenberg School for Communication, with secondary |
each of the investment companies served by The | faculty appointments in the Department of Philosophy, |
Vanguard Group, since 2008; Director of Vanguard | School of Arts and Sciences, and at the Graduate |
Marketing Corporation; Managing Director of The | School of Education, University of Pennsylvania; |
Vanguard Group (1995–2008). | Trustee of the National Constitution Center; Chair |
of the Presidential Commission for the Study of | |
IndependentTrustees | 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 2009–2010 | (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); Chairman of the Board |
and President (2006–2008) of Rohm and Haas Co. | of Hillenbrand, Inc. (specialized consumer services), |
(chemicals); Director of Tyco International, Ltd. | and of Oxfam America; Director of SKF AB (industrial |
(diversified manufacturing and services), Hewlett- | machinery), Hyster-Yale Materials Handling, Inc. |
Packard Co. (electronic computer manufacturing), | (forklift trucks), the Lumina Foundation for Education, |
and the V Foundation for Cancer Research; Member | Executive Officers | |
of the Advisory Council for the College of Arts and | ||
Letters and of the Advisory Board to the Kellogg | Glenn Booraem | |
Institute for International Studies, both at the | Born 1967. Controller Since July 2010. Principal | |
University of Notre Dame. | Occupation(s) During the Past Five Years: Principal | |
of The Vanguard Group, Inc.; Controller of each of | ||
Mark Loughridge | the investment companies served by The Vanguard | |
Born 1953. Trustee Since March 2012. Principal | Group; Assistant Controller of each of the investment | |
Occupation(s) During the Past Five Years: Senior Vice | companies served by The Vanguard Group (2001–2010). | |
President and Chief Financial Officer (retired 2013) | ||
at IBM (information technology services); Fiduciary | Thomas J. Higgins | |
Member of IBM’s Retirement Plan Committee (2004– | Born 1957. Chief Financial Officer Since September | |
2013); Member of the Council on Chicago Booth. | 2008. Principal Occupation(s) During the Past Five | |
Years: Principal of The Vanguard Group, Inc.; Chief | ||
Scott C. Malpass | Financial Officer of each of the investment companies | |
Born 1962. Trustee Since March 2012. Principal | served by The Vanguard Group; Treasurer of each of | |
Occupation(s) During the Past Five Years: Chief | the investment companies served by The Vanguard | |
Investment Officer and Vice President at the University | Group (1998–2008). | |
of Notre Dame; Assistant Professor of Finance at the | ||
Mendoza College of Business at Notre Dame; Member | Kathryn J. Hyatt | |
of the Notre Dame 403(b) Investment Committee; | Born 1955. Treasurer Since November 2008. Principal | |
Board Member of TIFF Advisory Services, Inc. | Occupation(s) During the Past Five Years: Principal of | |
(investment advisor); Member of the Investment | The Vanguard Group, Inc.; Treasurer of each of the | |
Advisory Committees of the Financial Industry | investment companies served by The Vanguard | |
Regulatory Authority (FINRA) and of Major League | Group; Assistant Treasurer of each of the investment | |
Baseball. | companies served by The Vanguard Group (1988–2008). | |
André F. Perold | Heidi Stam | |
Born 1952. Trustee Since December 2004. Principal | Born 1956. Secretary Since July 2005. Principal | |
Occupation(s) During the Past Five Years: George | Occupation(s) During the Past Five Years: Managing | |
Gund Professor of Finance and Banking, Emeritus | Director of The Vanguard Group, Inc.; General Counsel | |
at the Harvard Business School (retired 2011); | of The Vanguard Group; Secretary of The Vanguard | |
Chief Investment Officer and Managing Partner of | Group and of each of the investment companies | |
HighVista Strategies LLC (private investment firm); | served by The Vanguard Group; Director and Senior | |
Director of Rand Merchant Bank; Overseer of the | Vice President of Vanguard Marketing Corporation. | |
Museum of Fine Arts Boston. | ||
Vanguard Senior ManagementTeam | ||
Alfred M. Rankin, Jr. | ||
Born 1941. Trustee Since January 1993. Principal | Mortimer J. Buckley | Chris D. McIsaac |
Occupation(s) During the Past Five Years: Chairman, | Kathleen C. Gubanich | Michael S. Miller |
President, and Chief Executive Officer of NACCO | Paul A. Heller | James M. Norris |
Industries, Inc. (housewares/lignite), and of Hyster- | Martha G. King | Glenn W. Reed |
Yale Materials Handling, Inc. (forklift trucks); Chairman | John T. Marcante | |
of the Board of University Hospitals of Cleveland. | ||
Peter F. Volanakis | Chairman Emeritus and Senior Advisor | |
Born 1955. Trustee Since July 2009. Principal | ||
Occupation(s) During the Past Five Years: President | John J. Brennan | |
and Chief Operating Officer (retired 2010) of Corning | Chairman, 1996–2009 | |
Incorporated (communications equipment); Trustee of | Chief Executive Officer and President, 1996–2008 | |
Colby-Sawyer College; Member of the Advisory Board | ||
of the Norris Cotton Cancer Center and of the Advisory | Founder | |
Board of the Parthenon Group (strategy consulting). | ||
John C. Bogle | ||
Chairman and Chief Executive Officer, 1974–1996 | ||
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
P.O. Box 2600 | |
Valley Forge, PA 19482-2600 | |
Connect with Vanguard® > vanguard.com | |
Fund Information > 800-662-7447 | S&P® and S&P 500® are registered trademarks of |
Direct Investor Account Services > 800-662-2739 | Standard & Poor’s Financial Services LLC (“S&P”) and |
Institutional Investor Services > 800-523-1036 | have been licensed for use by S&P Dow Jones Indices |
LLC and its affiliates and sublicensed for certain | |
Text Telephone for People | purposes by Vanguard. The S&P Index is a product of |
With Hearing Impairment > 800-749-7273 | S&P Dow Jones Indices LLC and has been licensed for |
use by Vanguard. The Vanguard funds are not | |
This material may be used in conjunction | sponsored, endorsed, sold, or promoted by S&P Dow |
with the offering of shares of any Vanguard | Jones Indices LLC, Dow Jones, S&P, or their respective |
fund only if preceded or accompanied by | affiliates, and none of S&P Dow Jones Indices LLC, |
the fund’s current prospectus. | Dow Jones, S&P, nor their respective affiliates makes |
any representation regarding the advisability of | |
All comparative mutual fund data are from Lipper, a | investing in such products. |
Thomson Reuters Company, or Morningstar, Inc., unless | |
otherwise noted. | |
You can obtain a free copy of Vanguard’s proxy voting | |
guidelines by visiting vanguard.com/proxyreporting or by | |
calling Vanguard at 800-662-2739. The guidelines are | |
also available from the SEC’s website, sec.gov. In | |
addition, you may obtain a free report on how your fund | |
voted the proxies for securities it owned during the 12 | |
months ended June 30. To get the report, visit either | |
vanguard.com/proxyreporting or sec.gov. | |
You can review and copy information about your fund at | |
the SEC’s Public Reference Room in Washington, D.C. To | |
find out more about this public service, call the SEC at | |
202-551-8090. Information about your fund is also | |
available on the SEC’s website, and you can receive | |
copies of this information, for a fee, by sending a | |
request in either of two ways: via 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. | |
© 2014 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q18400 102014 |
Annual Report | August 31, 2014
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
The mission continues
On May 1, 1975, Vanguard began operations, a fledgling company based on the simple but revolutionary idea that a mutual fund company should be managed solely in the interest of its investors.
Four decades later, that revolutionary spirit continues to animate the enterprise. Vanguard remains on a mission to give investors the best chance of investment success.
As we mark our 40th anniversary, we thank you for entrusting your assets to Vanguard and giving us the opportunity to help you reach your financial goals in the decades to come.
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. | 28 |
S&P Small-Cap 600 Growth Index Fund. | 43 |
Your Fund’s After-Tax Returns. | 59 |
About Your Fund’s Expenses. | 60 |
Trustees Approve Advisory Arrangements. | 62 |
Glossary. | 63 |
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: Since our founding, Vanguard has drawn inspiration from the enterprise and valor demonstrated by British naval hero Horatio Nelson and his command at the Battle of the Nile in 1798. The photograph displays a replica of a merchant ship from the same era as Nelson’s flagship, the HMS Vanguard.
Your Fund’s Total Returns
Fiscal Year Ended August 31, 2014 | |
Total | |
Returns | |
Vanguard S&P Small-Cap 600 Index Fund | |
Institutional Shares | 18.57% |
ETF Shares | |
Market Price | 18.33 |
Net Asset Value | 18.47 |
S&P SmallCap 600 Index | 18.70 |
Small-Cap Core Funds Average | 18.26 |
Small-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
Vanguard S&P Small-Cap 600 Value Index Fund | |
ETF Shares | |
Market Price | 20.53% |
Net Asset Value | 20.64 |
S&P SmallCap 600 Value Index | 20.92 |
Small-Cap Value Funds Average | 19.06 |
Small-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
Vanguard S&P Small-Cap 600 Growth Index Fund | |
ETF Shares | |
Market Price | 15.92% |
Net Asset Value | 16.07 |
S&P SmallCap 600 Growth Index | 16.33 |
Small-Cap Growth Funds Average | 14.11 |
Small-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
Institutional Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the NYSE Arca exchange and are available only through brokers. The table provides ETF returns based on both the NYSE Arca market price and the net asset value for a share. U.S. Pat. Nos. 6,879,964; 7,337,138; 7,720,749; 7,925,573; 8,090,646; and 8,417,623. | |
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV. | |
1
Chairman’s Letter
Dear Shareholder,
The broad U.S. stock market notched another strong performance for the 12 months ended August 31, 2014, although momentum slowed in the second half of the period.
Returns of Vanguard S&P Small-Cap 600 Index Funds ranged from 16% for the Growth Fund to nearly 21% for the Value Fund. Vanguard S&P Small-Cap 600 Index Fund, a blend of growth and value, was in the middle, returning about 18%. (The returns cited in this letter are for ETF Shares based on net asset value.)
All three funds met their investment objective of closely tracking the returns of their target indexes. Their results also exceeded the average returns of their peers.
Within the Standard & Poor’s family of indexes, small-capitalization stocks lagged large-caps—represented by the S&P 500 Index—by more than 6 percentage points. This performance contrasts with recent years, when small-company stocks outperformed. It’s good to keep in mind that size and style leadership alternate over time, and that’s why Vanguard counsels that broad diversification is the best course. (For more about the performance of small-cap vs. large-cap stocks, please see the text box on page 6.)
If you hold your fund shares in a taxable account, you may wish to review the information on after-tax returns that appears later in this report.
2
U.S. stocks cleared hurdles en route to new record highs
Despite an assortment of challenges, the broad U.S. stock market recorded an impressive return of about 25% for the 12 months ended August 31. U.S. stocks registered positive results in ten of those months, and a late-July swoon was followed by an August flurry of record highs.
Investors applauded mostly solid corporate earnings, generally upbeat economic news, and the Federal Reserve’s continued accommodative policies. Still, turmoil in the Middle East and Ukraine, economic worries in Europe and China, and uncertainty about the Fed’s next moves pressured the market at times.
International stocks returned about 18%. Emerging markets, after sliding earlier in the period, rebounded to lead the way. The developed markets of the Pacific region and Europe trailed but still notched double-digit returns.
Defying analysts’ expectations, bond prices rose over the year
The broad U.S. taxable bond market returned 5.66%, rallying from the drubbing it took a year ago when investors fretted over the future of the Fed’s bond-buying program.
The Fed began reducing its purchases in January and has consistently cut them further since, with the goal of ending the
Market Barometer | |||
Average Annual Total Returns | |||
Periods Ended August 31, 2014 | |||
One | Three | Five | |
Year | Years | Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 25.36% | 20.80% | 17.24% |
Russell 2000 Index (Small-caps) | 17.68 | 19.00 | 17.03 |
Russell 3000 Index (Broad U.S. market) | 24.74 | 20.65 | 17.22 |
FTSE All-World ex US Index (International) | 18.04 | 9.48 | 8.44 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | 5.66% | 2.91% | 4.48% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 10.14 | 4.88 | 5.39 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.04 | 0.04 | 0.07 |
CPI | |||
Consumer Price Index | 1.70% | 1.64% | 1.96% |
3
program in October. Interest rates have not risen as forecast, however. The yield of the 10-year U.S. Treasury note ended August at 2.34%, down from 2.76% a year earlier. (Bond prices and yields move in opposite directions.)
Municipal bonds returned 10.14% as investors searched for tax-exempt income amid a limited supply of new issues. International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned 6.52%.
Following such a strong advance, it’s worth remembering that the current low yields imply lower future returns: As yields drop, the scope for further declines—and increases in prices—diminishes.
The Fed’s target of 0%–0.25% for short-term interest rates continued to restrict returns for money market funds and savings accounts.
As the equity rally lost steam, value stocks outshone growth
Small-cap growth and small-cap value stocks both posted robust returns in the first six months of the fiscal year. But in the second half, small-cap growth shares dipped into negative territory, possibly because of their rich valuations. Small-cap value stocks, meanwhile, managed a modest second-half advance.
Value stocks tend to sell at relatively low prices in relation to their earnings or book value, reflecting the companies’ lower sales and earnings growth prospects.
Expense Ratios | |||
Your Fund Compared With Its Peer Group | |||
Institutional | ETF | Peer Group | |
Shares | Shares | Average | |
S&P Small-Cap 600 Index Fund | 0.08% | 0.15% | 1.32% |
S&P Small-Cap 600 Value Index Fund | — | 0.20 | 1.36 |
S&P Small-Cap 600 Growth Index Fund | — | 0.20 | 1.42 |
The fund expense ratios shown are from the prospectus dated December 23, 2013, and represent estimated costs for the current fiscal year. For fiscal year ended August 31, 2014, 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, a Thomson Reuters Company, and capture information through year-end 2013. | |||
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
Growth stocks, by contrast, typically have higher valuations because of their companies’ earnings and revenue potential.
Investors’ preference for small-cap value stocks in the period naturally benefited Vanguard S&P Small-Cap 600 Value Index Fund. The financial sector, that fund’s largest at more than one-fifth of assets, was the biggest contributor to overall performance. Banks, insurance companies, and other financial firms have been buoyed by more than five years of strong returns in the capital markets. That prolonged rally has helped repair damage inflicted by the 2008–2009 financial crisis.
Health care stocks were among the standouts for the Growth Fund. Investors anticipated that an aging population and implementation of the Affordable Care Act would boost spending.
For the S&P Small-Cap 600 Index Fund, the consumer discretionary sector was a notable contributor to return. Declining unemployment and rising confidence seemed to help lift the shares of retailers and other businesses catering to consumers.
Total Returns | |
Inception Through August 31, 2014 | |
Average | |
Annual Return | |
S&P Small-Cap 600 Index Fund ETF Shares Net Asset Value (Returns since | |
inception: 9/7/2010) | 20.18% |
S&P SmallCap 600 Index | 20.38 |
Small-Cap Core Funds Average | 17.61 |
Small-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
S&P Small-Cap 600 Value Index Fund ETF Shares Net Asset Value (Returns since | |
inception: 9/7/2010) | 20.00% |
S&P SmallCap 600 Value Index | 20.23 |
Small-Cap Value Funds Average | 17.62 |
Small-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
S&P Small-Cap 600 Growth Index Fund ETF Shares Net Asset Value (Returns since | |
inception: 9/7/2010) | 20.34% |
S&P SmallCap 600 Growth Index | 20.57 |
Small-Cap Growth Funds Average | 17.63 |
Small-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
The figures shown represent past performance, which is not a guarantee of future results. (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.
5
Building a successful long-term track record
For any index fund, success means the ability to closely track the performance of its target index, which of course incurs no expenses. Since launching in September 2010, the ETF Shares of all three S&P Small-Cap 600 Index Funds have achieved their objective—no small accomplishment, especially for new funds.
This close tracking is a testament to the experience, talent, and sophisticated systems of Vanguard Equity Investment
Small-cap stocks versus large-caps: A case for diversification |
At times, particularly since 2000, small-capitalization stocks have outpaced their large-cap |
counterparts. This performance edge may appear compelling, but before making any drastic |
decisions to tilt your portfolio heavily toward small-caps, consider two points. |
First, there’s no guarantee that small caps’ performance advantage will persist. As shown in |
the chart below, these stocks had an extended period of underperformance in the 1990s, |
and that could happen again. |
Second, investing in small companies’ stocks involves additional risks. These firms generally |
have less business diversification, fewer financial resources, and less management depth |
than larger enterprises. As a result, their stocks can be highly volatile. |
Investors with a heavy allocation to only one segment of the market can end up with greater |
volatility and less diversification. A better alternative can be a portfolio of stocks of all |
capitalizations that offers more diversification over the long term. |
Small-cap performance relative to large-caps |
6
Group, your fund’s advisor. And each fund’s result exceeded the average annual return of its peer group.
High costs don’t equal strong fund performance
The adage “you get what you pay for” doesn’t apply to mutual funds. In fact, the reverse is true: Research suggests that higher costs are consistent with weaker returns. (See, for example, Shopping for Alpha: You Get What You Don’t Pay For at vanguard.com/research.)
Shouldn’t paying the highest fees allow you to purchase the services of the greatest talents and therefore get the best returns? As it turns out, the data don’t really support that argument. The explanation is simple: Every dollar paid for management fees is a dollar less earning potential return. Keeping expenses down can help narrow the gap between what the markets return and what investors actually earn.
That’s why Vanguard seeks to minimize costs on all our funds. Indexing, of course, is the purest expression of low-cost investing.
In our actively managed funds, which are run by some of the most prominent advisory firms in the investment industry, we work to keep fees low. It’s a strategy that reflects decades of experience and research, boiled down to one tenet: The less you pay, the more you keep.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
September 18, 2014
Your Fund’s Performance at a Glance | ||||
August 31, 2013, Through August 31, 2014 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard S&P Small-Cap 600 Index Fund | ||||
Institutional Shares | $170.71 | $200.56 | $1.764 | $0.000 |
ETF Shares | 84.98 | 99.81 | 0.843 | 0.000 |
Vanguard S&P Small-Cap 600 Value Index Fund | ||||
ETF Shares | $82.76 | $98.93 | $0.870 | $0.000 |
Vanguard S&P Small-Cap 600 Growth Index | ||||
Fund | ||||
ETF Shares | $87.79 | $101.36 | $0.530 | $0.000 |
S&P Small-Cap 600 Index Fund
Fund Profile
As of August 31, 2014
Share-Class Characteristics | ||
Institutional | ETF | |
Shares | Shares | |
Ticker Symbol | VSMSX | VIOO |
Expense Ratio1 | 0.08% | 0.15% |
30-Day SEC Yield | 1.16% | 1.09% |
Portfolio Characteristics | |||
DJ | |||
U.S. | |||
Total | |||
S&P | Market | ||
SmallCap | FA | ||
Fund 600 Index | Index | ||
Number of Stocks | 602 | 600 | 3,709 |
Median Market Cap | $1.6B | $1.6B | $48.0B |
Price/Earnings Ratio | 26.6x | 26.6x | 20.7x |
Price/Book Ratio | 2.2x | 2.2x | 2.7x |
Return on Equity | 11.8% | 11.8% | 17.8% |
Earnings Growth | |||
Rate | 13.0% | 13.0% | 15.3% |
Dividend Yield | 1.2% | 1.2% | 1.8% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 16% | — | — |
Short-Term Reserves | -0.4% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
U.S. | |||
Total | |||
S&P | Market | ||
SmallCap | FA | ||
Fund 600 Index | Index | ||
Consumer Discretionary 14.1% | 14.1% | 12.6% | |
Consumer Staples | 3.8 | 3.8 | 8.1 |
Energy | 5.1 | 5.1 | 9.7 |
Financials | 21.9 | 21.9 | 17.3 |
Health Care | 11.2 | 11.2 | 13.3 |
Industrials | 15.8 | 15.8 | 11.2 |
Information Technology | 17.6 | 17.6 | 18.6 |
Materials | 6.4 | 6.4 | 3.9 |
Telecommunication | |||
Services | 0.6 | 0.6 | 2.2 |
Utilities | 3.5 | 3.5 | 3.1 |
Volatility Measures | ||
DJ | ||
S&P | U.S. Total | |
SmallCap | Market | |
600 Index | FA Index | |
R-Squared | 1.00 | 0.90 |
Beta | 1.00 | 1.20 |
These measures show the degree and timing of the fund’s | ||
fluctuations compared with the indexes over 36 months. |
Ten Largest Holdings (% of total net assets) | ||
Centene Corp. | Managed Health | |
Care | 0.7% | |
US Silica Holdings Inc. | Diversified Metals & | |
Mining | 0.6 | |
Teledyne Technologies | Aerospace & | |
Inc. | Defense | 0.5 |
TriQuint Semiconductor | ||
Inc. | Semiconductors | 0.5 |
Curtiss-Wright Corp. | Aerospace & | |
Defense | 0.5 | |
Cognex Corp. | Electronic Equipment | |
& Instruments | 0.5 | |
Toro Co. | Construction | |
Machinery & Heavy | ||
Trucks | 0.5 | |
TreeHouse Foods Inc. | Packaged Foods & | |
Meats | 0.5 | |
Tanger Factory Outlet | ||
Centers Inc. | Retail REITs | 0.5 |
PAREXEL International | Life Sciences Tools & | |
Corp. | Services | 0.5 |
Top Ten | 5.3% | |
The holdings listed exclude any temporary cash investments and equity index products. | ||
Investment Focus
1 The expense ratios shown are from the prospectus dated December 23, 2013, and represent estimated costs for the current fiscal year. For the fiscal year ended August 31, 2014, 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, 2014
Initial Investment of $10,000
Average Annual Total Returns | ||||
Periods Ended August 31, 2014 | ||||
Since | Final Value | |||
One | Inception | of a $10,000 | ||
Year | (9/7/2010) | Investment | ||
S&P Small-Cap 600 Index Fund*ETF | ||||
Shares Net Asset Value | 18.47% | 20.18% | $20,785 | |
S&P Small-Cap 600 Index Fund*ETF | ||||
Shares Market Price | 18.33 | 20.15 | 20,766 | |
•••••••• | S&P SmallCap 600 Index | 18.70 | 20.38 | 20,929 |
– – – – | Small-Cap Core Funds Average | 18.26 | 17.61 | 19,075 |
Dow Jones U.S. Total Stock Market | ||||
Float Adjusted Index | 24.68 | 19.19 | 20,114 | |
Small-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. "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 | 18.57% | 13.86% | $7,789,334 |
S&P SmallCap 600 Index | 18.70 | 13.98 | 7,817,447 |
Dow Jones U.S. Total Stock Market Float | |||
Adjusted Index | 24.68 | 14.82 | 8,017,909 |
"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, 2014 | ||
Since | ||
One | Inception | |
Year | (9/7/2010) | |
S&P Small-Cap 600 Index Fund ETF Shares Market | ||
Price | 18.33% | 107.66% |
S&P Small-Cap 600 Index Fund ETF Shares Net | ||
Asset Value | 18.47 | 107.85 |
S&P SmallCap 600 Index | 18.70 | 109.29 |
"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, 2014
Average Annual Total Returns: Periods Ended June 30, 2014
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 | 25.41% | 15.15% |
ETF Shares | 9/7/2010 | ||
Market Price | 25.38 | 21.63 | |
Net Asset Value | 25.29 | 21.63 |
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, 2014
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.9%)1 | |||
Consumer Discretionary (14.0%) | |||
* | Buffalo Wild Wings Inc. | 9,632 | 1,423 |
Wolverine World Wide Inc. | 51,616 | 1,371 | |
Pool Corp. | 22,865 | 1,296 | |
Men’s Wearhouse Inc. | 23,197 | 1,253 | |
Cracker Barrel Old Country | |||
Store Inc. | 12,123 | 1,217 | |
Jack in the Box Inc. | 20,377 | 1,211 | |
* | Skechers U.S.A. Inc. Class A | 20,112 | 1,174 |
* | Iconix Brand Group Inc. | 24,779 | 1,032 |
Lithia Motors Inc. Class A | 11,565 | 1,011 | |
* | Steven Madden Ltd. | 29,272 | 995 |
* | Genesco Inc. | 12,179 | 966 |
* | Marriott Vacations | ||
Worldwide Corp. | 15,097 | 900 | |
Ryland Group Inc. | 23,949 | 888 | |
Group 1 Automotive Inc. | 10,738 | 861 | |
Texas Roadhouse Inc. | |||
Class A | 30,159 | 802 | |
* | Lumber Liquidators | ||
Holdings Inc. | 13,962 | 799 | |
* | Helen of Troy Ltd. | 13,680 | 796 |
Monro Muffler Brake Inc. | 15,245 | 789 | |
* | Meritage Homes Corp. | 18,719 | 773 |
* | Pinnacle Entertainment Inc. | 30,271 | 756 |
* | G-III Apparel Group Ltd. | 9,082 | 750 |
Finish Line Inc. Class A | 24,506 | 726 | |
Buckle Inc. | 14,317 | 704 | |
Matthews International Corp. | |||
Class A | 14,983 | 691 | |
* | Dorman Products Inc. | 15,417 | 691 |
DineEquity Inc. | 8,260 | 687 | |
* | Crocs Inc. | 44,416 | 686 |
* | Standard Pacific Corp. | 76,495 | 640 |
Brown Shoe Co. Inc. | 21,099 | 630 | |
* | Select Comfort Corp. | 27,604 | 617 |
Papa John’s International Inc. | 15,484 | 613 | |
* | Vitamin Shoppe Inc. | 15,643 | 613 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Outerwall Inc. | 10,389 | 612 |
Children’s Place Inc. | 11,102 | 597 | |
* | Hibbett Sports Inc. | 13,000 | 591 |
La-Z-Boy Inc. | 26,661 | 569 | |
Bob Evans Farms Inc. | 12,592 | 547 | |
* | Sonic Corp. | 25,714 | 543 |
Drew Industries Inc. | 11,274 | 500 | |
Sturm Ruger & Co. Inc. | 9,832 | 496 | |
*,^ | iRobot Corp. | 15,047 | 488 |
* | BJ’s Restaurants Inc. | 12,745 | 475 |
Scholastic Corp. | 13,328 | 467 | |
Cato Corp. Class A | 13,139 | 456 | |
Oxford Industries Inc. | 7,381 | 453 | |
* | Barnes & Noble Inc. | 18,896 | 451 |
* | Universal Electronics Inc. | 8,110 | 443 |
Interval Leisure Group Inc. | 20,291 | 439 | |
Sonic Automotive Inc. | |||
Class A | 17,414 | 430 | |
* | Multimedia Games Holding | ||
Co. Inc. | 15,122 | 421 | |
* | Boyd Gaming Corp. | 38,671 | 412 |
Standard Motor Products Inc. | 10,533 | 396 | |
Capella Education Co. | 5,540 | 361 | |
* | Red Robin Gourmet | ||
Burgers Inc. | 6,663 | 354 | |
* | Zumiez Inc. | 10,712 | 347 |
* | Winnebago Industries Inc. | 13,824 | 342 |
Movado Group Inc. | 9,137 | 339 | |
Regis Corp. | 22,367 | 338 | |
* | Tuesday Morning Corp. | 19,166 | 337 |
* | Strayer Education Inc. | 5,532 | 336 |
Ethan Allen Interiors Inc. | 13,309 | 336 | |
* | FTD Cos. Inc. | 9,578 | 317 |
* | Pep Boys-Manny Moe | ||
& Jack | 27,098 | 301 | |
* | Francesca’s Holdings Corp. | 21,308 | 298 |
Callaway Golf Co. | 39,144 | 298 | |
* | EW Scripps Co. Class A | 15,418 | 292 |
Stage Stores Inc. | 16,241 | 284 | |
* | M/I Homes Inc. | 12,357 | 281 |
12
S&P Small-Cap 600 Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
* | Biglari Holdings Inc. | 756 | 272 |
* | American Public | ||
Education Inc. | 8,839 | 268 | |
* | Scientific Games Corp. | ||
Class A | 24,526 | 249 | |
Fred’s Inc. Class A | 17,363 | 247 | |
Arctic Cat Inc. | 6,607 | 245 | |
Nutrisystem Inc. | 14,628 | 239 | |
Haverty Furniture Cos. Inc. | 10,255 | 239 | |
Superior Industries | |||
International Inc. | 11,763 | 229 | |
* | MarineMax Inc. | 12,707 | 219 |
Ruth’s Hospitality Group Inc. | 18,466 | 206 | |
* | Quiksilver Inc. | 66,589 | 194 |
* | Ruby Tuesday Inc. | 29,704 | 183 |
Stein Mart Inc. | 14,238 | 177 | |
* | Blue Nile Inc. | 6,214 | 176 |
* | Christopher & Banks Corp. | 18,384 | 176 |
* | Aeropostale Inc. | 40,832 | 171 |
Marcus Corp. | 9,214 | 168 | |
* | Career Education Corp. | 29,641 | 163 |
Harte-Hanks Inc. | 22,280 | 156 | |
PetMed Express Inc. | 10,397 | 146 | |
* | Kirkland’s Inc. | 7,615 | 136 |
* | Perry Ellis International Inc. | 6,309 | 127 |
Universal Technical | |||
Institute Inc. | 10,963 | 122 | |
* | Sizmek Inc. | 11,970 | 105 |
* | VOXX International Corp. | ||
Class A | 10,010 | 99 | |
Big 5 Sporting Goods Corp. | 9,317 | 95 | |
*,^ | ITT Educational Services Inc. | 9,300 | 78 |
* | Monarch Casino & Resort Inc. | 5,072 | 65 |
* | Biglari Holdings Inc Rights | ||
Exp. 09/12/2014 | 727 | 16 | |
48,274 | |||
Consumer Staples (3.8%) | |||
* | TreeHouse Foods Inc. | 20,909 | 1,725 |
* | Darling Ingredients Inc. | 83,755 | 1,615 |
Casey’s General Stores Inc. | 19,583 | 1,404 | |
* | Boston Beer Co. Inc. Class A | 4,505 | 995 |
Sanderson Farms Inc. | 10,332 | 964 | |
Andersons Inc. | 13,491 | 928 | |
B&G Foods Inc. | 27,340 | 826 | |
J&J Snack Foods Corp. | 7,415 | 702 | |
Snyder’s-Lance Inc. | 24,934 | 680 | |
Cal-Maine Foods Inc. | 7,638 | 604 | |
WD-40 Co. | 7,144 | 491 | |
SpartanNash Co. | 19,277 | 414 | |
* | Diamond Foods Inc. | 11,269 | 311 |
* | Annie’s Inc. | 8,730 | 278 |
Calavo Growers Inc. | 7,006 | 273 | |
Inter Parfums Inc. | 8,703 | 265 | |
* | Medifast Inc. | 6,083 | 204 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Central Garden and Pet Co. | ||
Class A | 22,063 | 199 | |
* | Seneca Foods Corp. Class A | 3,635 | 110 |
* | Alliance One International Inc. | 41,398 | 92 |
13,080 | |||
Energy (5.1%) | |||
Exterran Holdings Inc. | 30,196 | 1,408 | |
* | Carrizo Oil & Gas Inc. | 21,072 | 1,322 |
Bristow Group Inc. | 18,109 | 1,322 | |
* | PDC Energy Inc. | 18,192 | 1,093 |
* | Stone Energy Corp. | 28,203 | 992 |
* | SEACOR Holdings Inc. | 9,761 | 797 |
* | Hornbeck Offshore | ||
Services Inc. | 16,591 | 724 | |
Green Plains Inc. | 15,990 | 715 | |
* | C&J Energy Services Inc. | 23,418 | 672 |
Comstock Resources Inc. | 22,566 | 550 | |
* | Penn Virginia Corp. | 36,223 | 544 |
* | Newpark Resources Inc. | 43,070 | 531 |
Gulfmark Offshore Inc. | 12,715 | 511 | |
* | Pioneer Energy | ||
Services Corp. | 31,931 | 491 | |
* | Cloud Peak Energy Inc. | 30,995 | 487 |
* | Northern Oil and Gas Inc. | 28,433 | 479 |
* | TETRA Technologies Inc. | 40,045 | 473 |
* | Synergy Resources Corp. | 32,419 | 436 |
* | Basic Energy Services Inc. | 17,775 | 430 |
* | Paragon Offshore plc | 43,028 | 401 |
* | Matrix Service Co. | 13,523 | 381 |
Tesco Corp. | 16,295 | 346 | |
Arch Coal Inc. | 108,162 | 330 | |
* | Approach Resources Inc. | 17,991 | 322 |
* | Contango Oil & Gas Co. | 7,826 | 310 |
* | Geospace | ||
Technologies Corp. | 6,662 | 274 | |
* | Swift Energy Co. | 22,303 | 253 |
* | Era Group Inc. | 9,645 | 247 |
* | ION Geophysical Corp. | 64,747 | 223 |
* | PetroQuest Energy Inc. | 29,414 | 196 |
Gulf Island Fabrication Inc. | 6,359 | 134 | |
* | Forest Oil Corp. | 59,521 | 97 |
17,491 | |||
Financials (21.9%) | |||
Tanger Factory Outlet | |||
Centers Inc. | 48,778 | 1,703 | |
EPR Properties | 27,200 | 1,548 | |
Post Properties Inc. | 27,679 | 1,523 | |
* | Stifel Financial Corp. | 30,981 | 1,483 |
* | Portfolio Recovery | ||
Associates Inc. | 25,476 | 1,448 | |
ProAssurance Corp. | 30,216 | 1,396 | |
Geo Group Inc. | 36,933 | 1,382 | |
DiamondRock | |||
Hospitality Co. | 99,585 | 1,326 | |
Cousins Properties Inc. | 102,430 | 1,300 |
13
S&P Small-Cap 600 Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Sovran Self Storage Inc. | 16,765 | 1,295 | |
Medical Properties Trust Inc. | 87,758 | 1,236 | |
Healthcare Realty Trust Inc. | 48,887 | 1,220 | |
* | Texas Capital | ||
Bancshares Inc. | 21,915 | 1,183 | |
Lexington Realty Trust | 104,326 | 1,135 | |
MarketAxess Holdings Inc. | 19,157 | 1,129 | |
UMB Financial Corp. | 19,194 | 1,108 | |
Wintrust Financial Corp. | 23,686 | 1,103 | |
* | Kite Realty Group Trust | 42,227 | 1,086 |
United Bankshares Inc. | 31,944 | 1,053 | |
Bank of the Ozarks Inc. | 32,837 | 1,049 | |
FNB Corp. | 84,671 | 1,047 | |
EastGroup Properties Inc. | 15,928 | 1,033 | |
Glacier Bancorp Inc. | 37,899 | 1,032 | |
PrivateBancorp Inc. | 33,986 | 1,003 | |
Susquehanna | |||
Bancshares Inc. | 95,302 | 984 | |
Financial Engines Inc. | 26,132 | 937 | |
MB Financial Inc. | 32,456 | 918 | |
First Financial | |||
Bankshares Inc. | 30,880 | 908 | |
Evercore Partners Inc. | |||
Class A | 17,699 | 907 | |
* | First Cash Financial | ||
Services Inc. | 14,750 | 852 | |
Acadia Realty Trust | 29,237 | 843 | |
PS Business Parks Inc. | 10,283 | 838 | |
Government Properties | |||
Income Trust | 34,774 | 835 | |
Virtus Investment | |||
Partners Inc. | 3,591 | 803 | |
Chesapeake Lodging Trust | 25,475 | 785 | |
RLI Corp. | 17,511 | 783 | |
Parkway Properties Inc. | 36,823 | 764 | |
Education Realty Trust Inc. | 69,405 | 756 | |
CVB Financial Corp. | 47,966 | 745 | |
Community Bank | |||
System Inc. | 20,704 | 732 | |
LTC Properties Inc. | 17,702 | 725 | |
Home BancShares Inc. | 24,203 | 720 | |
Pennsylvania REIT | 34,932 | 704 | |
Retail Opportunity | |||
Investments Corp. | 44,388 | 703 | |
Old National Bancorp | 53,263 | 697 | |
Columbia Banking | |||
System Inc. | 26,705 | 695 | |
Selective Insurance | |||
Group Inc. | 28,579 | 685 | |
Sabra Health Care REIT Inc. | 23,989 | 683 | |
Greenhill & Co. Inc. | 13,524 | 663 | |
First Midwest Bancorp Inc. | 38,446 | 648 | |
Capstead Mortgage Corp. | 48,634 | 643 | |
American Assets Trust Inc. | 18,190 | 638 | |
Cash America | |||
International Inc. | 14,266 | 637 |
Market | |||
Value | |||
Shares | ($000) | ||
Horace Mann | |||
Educators Corp. | 20,667 | 616 | |
Pinnacle Financial | |||
Partners Inc. | 17,031 | 611 | |
Northwest Bancshares Inc. | 48,342 | 610 | |
BBCN Bancorp Inc. | 40,604 | 593 | |
Interactive Brokers | |||
Group Inc. | 24,577 | 576 | |
National Penn | |||
Bancshares Inc. | 56,442 | 564 | |
Associated Estates | |||
Realty Corp. | 29,328 | 543 | |
Franklin Street | |||
Properties Corp. | 44,564 | 541 | |
* | Encore Capital Group Inc. | 12,079 | 536 |
NBT Bancorp Inc. | 22,316 | 536 | |
HFF Inc. Class A | 17,063 | 512 | |
Sterling Bancorp | 39,815 | 504 | |
Boston Private Financial | |||
Holdings Inc. | 40,895 | 496 | |
First Financial Bancorp | 29,428 | 489 | |
* | BofI Holding Inc. | 6,308 | 486 |
ViewPoint Financial | |||
Group Inc. | 18,281 | 476 | |
Provident Financial | |||
Services Inc. | 27,314 | 465 | |
Independent Bank Corp. | 12,192 | 449 | |
Inland Real Estate Corp. | 42,476 | 442 | |
* | Piper Jaffray Cos. | 8,245 | 440 |
First Commonwealth | |||
Financial Corp. | 48,032 | 426 | |
Infinity Property | |||
& Casualty Corp. | 5,840 | 399 | |
Banner Corp. | 9,959 | 392 | |
CoreSite Realty Corp. | 11,037 | 387 | |
S&T Bancorp Inc. | 15,068 | 376 | |
Safety Insurance Group Inc. | 6,559 | 362 | |
* | World Acceptance Corp. | 4,606 | 361 |
AMERISAFE Inc. | 9,487 | 358 | |
* | Forestar Group Inc. | 17,638 | 353 |
* | Navigators Group Inc. | 5,404 | 347 |
Stewart Information | |||
Services Corp. | 10,642 | 343 | |
Employers Holdings Inc. | 15,859 | 340 | |
City Holding Co. | 7,947 | 339 | |
TrustCo Bank Corp. NY | 48,027 | 337 | |
United Community | |||
Banks Inc. | 19,826 | 336 | |
Wilshire Bancorp Inc. | 34,400 | 336 | |
Simmons First National Corp. | |||
Class A | 8,342 | 333 | |
Hanmi Financial Corp. | 16,202 | 333 | |
Brookline Bancorp Inc. | 35,750 | 327 | |
Saul Centers Inc. | 6,525 | 325 | |
United Fire Group Inc. | 10,942 | 321 |
14
S&P Small-Cap 600 Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
* | Investment Technology | ||
Group Inc. | 18,232 | 310 | |
Oritani Financial Corp. | 19,883 | 298 | |
* | Green Dot Corp. Class A | 15,782 | 298 |
* | Ezcorp Inc. Class A | 27,739 | 295 |
Cardinal Financial Corp. | 16,163 | 289 | |
Universal Health Realty | |||
Income Trust | 6,532 | 289 | |
FXCM Inc. Class A | 19,480 | 282 | |
Urstadt Biddle Properties | |||
Inc. Class A | 13,045 | 278 | |
Tompkins Financial Corp. | 6,034 | 276 | |
* | First BanCorp | 50,940 | 265 |
Getty Realty Corp. | 13,653 | 256 | |
Dime Community | |||
Bancshares Inc. | 14,883 | 230 | |
Agree Realty Corp. | 7,589 | 224 | |
Cedar Realty Trust Inc. | 34,525 | 223 | |
* | eHealth Inc. | 9,042 | 222 |
HCI Group Inc. | 5,059 | 213 | |
Universal Insurance | |||
Holdings Inc. | 14,685 | 204 | |
* | CareTrust REIT Inc. | 10,055 | 176 |
Bank Mutual Corp. | 22,233 | 146 | |
Meadowbrook Insurance | |||
Group Inc. | 23,527 | 146 | |
Calamos Asset Management | |||
Inc. Class A | 9,839 | 127 | |
* | SWS Group Inc. | 14,778 | 110 |
75,125 | |||
Health Care (11.2%) | |||
* | Centene Corp. | 29,354 | 2,293 |
* | PAREXEL International Corp. | 28,944 | 1,634 |
West Pharmaceutical | |||
Services Inc. | 35,988 | 1,563 | |
* | Akorn Inc. | 36,492 | 1,424 |
* | Medidata Solutions Inc. | 25,879 | 1,204 |
* | Amsurg Corp. | 20,452 | 1,100 |
* | Air Methods Corp. | 17,966 | 1,054 |
* | Haemonetics Corp. | 26,542 | 947 |
Chemed Corp. | 8,940 | 944 | |
* | MWI Veterinary Supply Inc. | 6,560 | 932 |
* | Prestige Brands | ||
Holdings Inc. | 26,402 | 914 | |
* | Medicines Co. | 33,121 | 848 |
* | NuVasive Inc. | 23,750 | 834 |
* | Impax Laboratories Inc. | 33,082 | 815 |
* | Neogen Corp. | 18,660 | 786 |
* | Magellan Health Inc. | 14,035 | 784 |
* | MedAssets Inc. | 31,008 | 713 |
* | Cyberonics Inc. | 12,287 | 705 |
* | Molina Healthcare Inc. | 14,658 | 701 |
* | Acorda Therapeutics Inc. | 21,154 | 689 |
Kindred Healthcare Inc. | 32,436 | 670 | |
Cantel Medical Corp. | 17,005 | 620 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Integra LifeSciences | ||
Holdings Corp. | 12,093 | 605 | |
* | Masimo Corp. | 26,368 | 592 |
* | Greatbatch Inc. | 12,631 | 576 |
* | Lannett Co. Inc. | 14,334 | 564 |
* | Ligand Pharmaceuticals Inc. | 10,507 | 547 |
CONMED Corp. | 13,791 | 545 | |
* | Omnicell Inc. | 18,580 | 523 |
Abaxis Inc. | 10,703 | 511 | |
* | ABIOMED Inc. | 18,074 | 471 |
Analogic Corp. | 6,267 | 452 | |
* | Depomed Inc. | 29,438 | 452 |
* | ICU Medical Inc. | 6,854 | 429 |
* | IPC The Hospitalist Co. Inc. | 8,717 | 421 |
Meridian Bioscience Inc. | 21,275 | 416 | |
* | Natus Medical Inc. | 14,716 | 414 |
* | Hanger Inc. | 18,015 | 404 |
* | PharMerica Corp. | 15,257 | 380 |
* | Emergent Biosolutions Inc. | 14,999 | 373 |
* | Bio-Reference | ||
Laboratories Inc. | 12,580 | 365 | |
* | Luminex Corp. | 19,195 | 362 |
* | AMN Healthcare | ||
Services Inc. | 23,793 | 360 | |
Ensign Group Inc. | 10,016 | 351 | |
* | Amedisys Inc. | 16,750 | 350 |
Quality Systems Inc. | 22,264 | 349 | |
* | Cambrex Corp. | 15,478 | 339 |
Computer Programs | |||
& Systems Inc. | 5,310 | 326 | |
* | Affymetrix Inc. | 37,051 | 321 |
* | Healthways Inc. | 17,964 | 314 |
* | Sagent Pharmaceuticals Inc. | 10,894 | 303 |
* | Repligen Corp. | 15,337 | 292 |
* | Momenta | ||
Pharmaceuticals Inc. | 23,427 | 276 | |
* | HealthStream Inc. | 10,473 | 272 |
* | Gentiva Health Services Inc. | 14,694 | 266 |
* | Providence Service Corp. | 5,720 | 260 |
* | Merit Medical Systems Inc. | 20,695 | 259 |
* | Anika Therapeutics Inc. | 5,967 | 251 |
* | CorVel Corp. | 5,759 | 236 |
* | Spectrum | ||
Pharmaceuticals Inc. | 28,250 | 229 | |
* | Cynosure Inc. Class A | 9,979 | 225 |
Invacare Corp. | 14,607 | 224 | |
* | Albany Molecular | ||
Research Inc. | 9,741 | 193 | |
* | Symmetry Medical Inc. | 19,104 | 176 |
Landauer Inc. | 4,806 | 175 | |
* | LHC Group Inc. | 6,330 | 163 |
* | SurModics Inc. | 6,808 | 139 |
CryoLife Inc. | 12,904 | 130 | |
* | Almost Family Inc. | 4,231 | 118 |
* | Cross Country Healthcare Inc. | 14,045 | 112 |
38,585 |
15
S&P Small-Cap 600 Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Industrials (15.8%) | |||
* | Teledyne Technologies Inc. | 19,098 | 1,854 |
Curtiss-Wright Corp. | 24,540 | 1,763 | |
Toro Co. | 28,334 | 1,743 | |
* | Moog Inc. Class A | 22,642 | 1,605 |
EnerSys | 23,879 | 1,535 | |
EMCOR Group Inc. | 34,278 | 1,481 | |
Actuant Corp. Class A | 36,141 | 1,219 | |
Hillenbrand Inc. | 31,913 | 1,067 | |
Applied Industrial | |||
Technologies Inc. | 21,259 | 1,036 | |
Healthcare Services | |||
Group Inc. | 35,696 | 976 | |
Watts Water Technologies | |||
Inc. Class A | 14,534 | 920 | |
Allegiant Travel Co. Class A | 7,212 | 886 | |
Tetra Tech Inc. | 33,149 | 845 | |
Mueller Industries Inc. | 28,877 | 844 | |
* | EnPro Industries Inc. | 12,238 | 831 |
* | Orbital Sciences Corp. | 30,903 | 827 |
Barnes Group Inc. | 24,072 | 824 | |
Mobile Mini Inc. | 20,877 | 818 | |
United Stationers Inc. | 20,054 | 815 | |
Knight Transportation Inc. | 30,858 | 782 | |
* | Hub Group Inc. Class A | 17,754 | 772 |
* | Korn/Ferry International | 25,311 | 766 |
Franklin Electric Co. Inc. | 19,910 | 756 | |
UniFirst Corp. | 7,770 | 753 | |
Forward Air Corp. | 15,876 | 735 | |
ABM Industries Inc. | 26,475 | 704 | |
* | On Assignment Inc. | 23,796 | 703 |
Simpson Manufacturing | |||
Co. Inc. | 20,909 | 676 | |
Brink’s Co. | 24,581 | 673 | |
Tennant Co. | 9,346 | 651 | |
CIRCOR International Inc. | 8,963 | 638 | |
* | WageWorks Inc. | 15,335 | 633 |
Brady Corp. Class A | 23,369 | 622 | |
AZZ Inc. | 12,978 | 601 | |
* | Saia Inc. | 12,596 | 598 |
Heartland Express Inc. | 25,345 | 594 | |
Matson Inc. | 21,798 | 588 | |
G&K Services Inc. Class A | 10,158 | 568 | |
* | TrueBlue Inc. | 20,905 | 567 |
Kaman Corp. | 13,953 | 567 | |
AAR Corp. | 20,220 | 560 | |
* | GenCorp Inc. | 29,791 | 549 |
Apogee Enterprises Inc. | 14,826 | 541 | |
Albany International Corp. | 14,386 | 541 | |
* | Dycom Industries Inc. | 17,239 | 538 |
General Cable Corp. | 24,825 | 533 | |
Interface Inc. Class A | 29,915 | 509 | |
Lindsay Corp. | 6,537 | 508 | |
Exponent Inc. | 6,649 | 486 | |
ESCO Technologies Inc. | 13,461 | 485 |
Market | |||
Value | |||
Shares | ($000) | ||
Standex International Corp. | 6,479 | 484 | |
Briggs & Stratton Corp. | 23,889 | 481 | |
Universal Forest Products Inc. | 10,158 | 481 | |
* | Aegion Corp. Class A | 19,248 | 475 |
Cubic Corp. | 10,627 | 474 | |
Federal Signal Corp. | 31,919 | 470 | |
ArcBest Corp. | 12,452 | 447 | |
* | DXP Enterprises Inc. | 5,429 | 435 |
* | Atlas Air Worldwide | ||
Holdings Inc. | 12,806 | 428 | |
* | Taser International Inc. | 27,330 | 428 |
* | UTi Worldwide Inc. | 46,549 | 427 |
* | Navigant Consulting Inc. | 25,114 | 409 |
John Bean | |||
Technologies Corp. | 13,931 | 405 | |
Encore Wire Corp. | 9,436 | 401 | |
AAON Inc. | 21,279 | 397 | |
Astec Industries Inc. | 9,547 | 397 | |
Titan International Inc. | 27,125 | 393 | |
Quanex Building | |||
Products Corp. | 19,037 | 344 | |
Insperity Inc. | 11,597 | 342 | |
* | Roadrunner Transportation | ||
Systems Inc. | 12,830 | 323 | |
* | Aerovironment Inc. | 10,043 | 317 |
* | Engility Holdings Inc. | 8,973 | 315 |
Resources Connection Inc. | 19,629 | 301 | |
Comfort Systems USA Inc. | 19,065 | 290 | |
Griffon Corp. | 22,129 | 276 | |
Aceto Corp. | 13,817 | 266 | |
Powell Industries Inc. | 4,727 | 249 | |
* | American Woodmark Corp. | 6,194 | 243 |
* | Lydall Inc. | 8,625 | 239 |
Celadon Group Inc. | 11,188 | 234 | |
* | Gibraltar Industries Inc. | 14,662 | 233 |
American Science | |||
& Engineering Inc. | 4,026 | 233 | |
SkyWest Inc. | 25,785 | 231 | |
Kelly Services Inc. Class A | 13,803 | 231 | |
Viad Corp. | 10,368 | 228 | |
* | Veritiv Corp. | 4,189 | 187 |
Heidrick & Struggles | |||
International Inc. | 8,162 | 177 | |
* | PGT Inc. | 15,965 | 167 |
National Presto Industries Inc. | 2,524 | 165 | |
* | Orion Marine Group Inc. | 13,899 | 141 |
CDI Corp. | 7,320 | 111 | |
* | Vicor Corp. | 9,220 | 76 |
54,437 | |||
Information Technology (17.6%) | |||
* | TriQuint Semiconductor Inc. | 87,194 | 1,802 |
* | Cognex Corp. | 41,984 | 1,762 |
* | Synaptics Inc. | 18,350 | 1,507 |
MAXIMUS Inc. | 34,451 | 1,419 | |
* | Tyler Technologies Inc. | 14,784 | 1,317 |
16
S&P Small-Cap 600 Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
* | Microsemi Corp. | 48,342 | 1,288 |
* | ViaSat Inc. | 21,723 | 1,237 |
*,^ | GT Advanced | ||
Technologies Inc. | 69,411 | 1,236 | |
Anixter International Inc. | 13,637 | 1,217 | |
j2 Global Inc. | 22,748 | 1,216 | |
* | Manhattan Associates Inc. | 38,573 | 1,114 |
Littelfuse Inc. | 11,454 | 1,053 | |
* | Electronics For Imaging Inc. | 23,706 | 1,044 |
* | Dealertrack Technologies Inc. | 22,387 | 1,002 |
* | Sanmina Corp. | 41,803 | 982 |
* | SYNNEX Corp. | 13,962 | 974 |
* | Take-Two Interactive | ||
Software Inc. | 40,475 | 952 | |
MKS Instruments Inc. | 27,290 | 926 | |
Power Integrations Inc. | 15,488 | 926 | |
Blackbaud Inc. | 23,520 | 915 | |
Heartland Payment | |||
Systems Inc. | 18,254 | 872 | |
* | NetScout Systems Inc. | 18,824 | 867 |
* | CACI International Inc. | ||
Class A | 11,971 | 863 | |
Monolithic Power | |||
Systems Inc. | 17,880 | 854 | |
* | Coherent Inc. | 12,695 | 818 |
* | Cardtronics Inc. | 22,651 | 804 |
* | Cirrus Logic Inc. | 31,583 | 764 |
Tessera Technologies Inc. | 24,480 | 724 | |
* | Veeco Instruments Inc. | 20,357 | 720 |
* | Plexus Corp. | 17,257 | 711 |
* | Synchronoss | ||
Technologies Inc. | 15,725 | 695 | |
* | Benchmark Electronics Inc. | 27,403 | 675 |
* | OSI Systems Inc. | 9,563 | 667 |
* | Measurement Specialties Inc. | 7,691 | 660 |
* | MicroStrategy Inc. Class A | 4,617 | 641 |
* | comScore Inc. | 16,455 | 630 |
Methode Electronics Inc. | 18,392 | 620 | |
* | NETGEAR Inc. | 18,625 | 619 |
* | Progress Software Corp. | 26,071 | 604 |
Monotype Imaging | |||
Holdings Inc. | 20,195 | 594 | |
* | Kulicke & Soffa | ||
Industries Inc. | 39,053 | 574 | |
NIC Inc. | 30,591 | 573 | |
* | ScanSource Inc. | 14,551 | 561 |
* | iGATE Corp. | 14,991 | 561 |
* | Rogers Corp. | 9,242 | 556 |
* | Insight Enterprises Inc. | 20,880 | 548 |
MTS Systems Corp. | 7,684 | 546 | |
* | Bottomline Technologies | ||
de Inc. | 19,152 | 539 | |
* | Cabot Microelectronics Corp. | 12,261 | 526 |
* | FARO Technologies Inc. | 8,762 | 508 |
* | LogMeIn Inc. | 11,602 | 491 |
Market | |||
Value | |||
Shares | ($000) | ||
CSG Systems | |||
International Inc. | 17,426 | 483 | |
* | Diodes Inc. | 18,631 | 474 |
* | Virtusa Corp. | 13,314 | 453 |
* | Super Micro Computer Inc. | 17,450 | 427 |
* | ExlService Holdings Inc. | 15,668 | 427 |
* | Sykes Enterprises Inc. | 19,788 | 414 |
* | QLogic Corp. | 44,385 | 402 |
Brooks Automation Inc. | 34,196 | 388 | |
* | Newport Corp. | 20,398 | 385 |
* | II-VI Inc. | 27,435 | 383 |
Badger Meter Inc. | 7,326 | 382 | |
* | Advanced Energy | ||
Industries Inc. | 19,202 | 370 | |
* | Ultratech Inc. | 14,205 | 367 |
* | Interactive Intelligence | ||
Group Inc. | 8,301 | 355 | |
ManTech International Corp. | |||
Class A | 12,169 | 353 | |
* | Rofin-Sinar Technologies Inc. | 14,166 | 339 |
* | Blucora Inc. | 21,451 | 334 |
* | CalAmp Corp. | 17,230 | 332 |
* | LivePerson Inc. | 24,926 | 322 |
* | Harmonic Inc. | 48,033 | 316 |
Comtech | |||
Telecommunications Corp. | 8,102 | 308 | |
* | Perficient Inc. | 17,652 | 304 |
CTS Corp. | 17,089 | 303 | |
Park Electrochemical Corp. | 10,632 | 299 | |
* | Checkpoint Systems Inc. | 21,207 | 294 |
Micrel Inc. | 23,146 | 290 | |
* | Ixia | 28,442 | 274 |
* | Monster Worldwide Inc. | 46,703 | 269 |
* | TeleTech Holdings Inc. | 9,554 | 257 |
Ebix Inc. | 16,517 | 255 | |
Daktronics Inc. | 19,352 | 255 | |
* | Stamps.com Inc. | 7,454 | 251 |
* | Tangoe Inc. | 17,564 | 244 |
* | Fabrinet | 14,979 | 243 |
* | Exar Corp. | 24,210 | 241 |
Forrester Research Inc. | 6,160 | 239 | |
Epiq Systems Inc. | 15,884 | 231 | |
* | VASCO Data Security | ||
International Inc. | 14,979 | 221 | |
* | Digital River Inc. | 14,184 | 217 |
* | TTM Technologies Inc. | 27,746 | 212 |
* | DTS Inc. | 8,686 | 208 |
* | Nanometrics Inc. | 11,660 | 195 |
* | Mercury Systems Inc. | 16,789 | 188 |
* | Liquidity Services Inc. | 12,229 | 186 |
Black Box Corp. | 7,877 | 186 | |
Oplink Communications Inc. | 8,694 | 168 | |
* | Rudolph Technologies Inc. | 16,898 | 163 |
* | CEVA Inc. | 10,640 | 161 |
* | Dice Holdings Inc. | 18,992 | 161 |
17
S&P Small-Cap 600 Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
* | XO Group Inc. | 12,817 | 150 |
Cohu Inc. | 11,809 | 145 | |
* | Ciber Inc. | 35,418 | 135 |
* | Kopin Corp. | 31,282 | 124 |
Bel Fuse Inc. Class B | 5,149 | 121 | |
* | Entropic Communications Inc. | 44,855 | 118 |
* | Digi International Inc. | 12,916 | 108 |
* | Procera Networks Inc. | 10,466 | 108 |
* | DSP Group Inc. | 11,451 | 103 |
* | Pericom Semiconductor Corp. | 10,423 | 102 |
Electro Scientific | |||
Industries Inc. | 12,919 | 96 | |
* | Agilysys Inc. | 7,299 | 91 |
* | Rubicon Technology Inc. | 11,999 | 75 |
* | QuinStreet Inc. | 14,362 | 69 |
60,348 | |||
Materials (6.4%) | |||
US Silica Holdings Inc. | 27,358 | 1,965 | |
* | KapStone Paper and | ||
Packaging Corp. | 40,987 | 1,260 | |
HB Fuller Co. | 25,495 | 1,199 | |
* | Stillwater Mining Co. | 60,969 | 1,132 |
* | SunCoke Energy Inc. | 35,519 | 853 |
Balchem Corp. | 15,482 | 796 | |
* | AK Steel Holding Corp. | 69,711 | 761 |
Kaiser Aluminum Corp. | 9,161 | 738 | |
* | Clearwater Paper Corp. | 10,416 | 721 |
* | Flotek Industries Inc. | 24,101 | 670 |
Schweitzer-Mauduit | |||
International Inc. | 15,562 | 667 | |
Globe Specialty Metals Inc. | 32,208 | 662 | |
* | Century Aluminum Co. | 26,123 | 653 |
Innophos Holdings Inc. | 11,198 | 651 | |
A Schulman Inc. | 14,894 | 578 | |
* | Calgon Carbon Corp. | 27,164 | 577 |
PH Glatfelter Co. | 22,015 | 549 | |
Quaker Chemical Corp. | 6,735 | 525 | |
* | Boise Cascade Co. | 16,119 | 484 |
* | Headwaters Inc. | 37,289 | 484 |
Stepan Co. | 9,706 | 469 | |
Neenah Paper Inc. | 8,456 | 462 | |
* | RTI International Metals Inc. | 15,620 | 453 |
OM Group Inc. | 16,379 | 436 | |
* | Intrepid Potash Inc. | 28,178 | 432 |
* | LSB Industries Inc. | 9,721 | 389 |
Koppers Holdings Inc. | 10,383 | 385 | |
Deltic Timber Corp. | 5,724 | 379 | |
* | Kraton Performance | ||
Polymers Inc. | 16,812 | 342 | |
Materion Corp. | 10,449 | 341 | |
Haynes International Inc. | 6,302 | 312 | |
Myers Industries Inc. | 13,436 | 265 |
Market | |||
Value | |||
Shares | ($000) | ||
Tredegar Corp. | 12,708 | 264 | |
Wausau Paper Corp. | 25,071 | 229 | |
Zep Inc. | 11,573 | 184 | |
Hawkins Inc. | 4,780 | 176 | |
American Vanguard Corp. | 12,556 | 169 | |
FutureFuel Corp. | 11,352 | 158 | |
Olympic Steel Inc. | 4,620 | 111 | |
* | AM Castle & Co. | 8,660 | 85 |
21,966 | |||
Telecommunication Services (0.6%) | |||
Consolidated | |||
Communications | |||
Holdings Inc. | 19,245 | 469 | |
* | Cincinnati Bell Inc. | 106,248 | 390 |
* | 8x8 Inc. | 42,001 | 326 |
Atlantic Tele-Network Inc. | 5,136 | 301 | |
* | General Communication Inc. | ||
Class A | 16,146 | 182 | |
Spok Holdings Inc. | 11,033 | 163 | |
Lumos Networks Corp. | 9,305 | 136 | |
NTELOS Holdings Corp. | 7,771 | 103 | |
2,070 | |||
Utilities (3.5%) | |||
Piedmont Natural Gas | |||
Co. Inc. | 39,773 | 1,488 | |
Southwest Gas Corp. | 23,667 | 1,236 | |
New Jersey Resources Corp. | 21,445 | 1,120 | |
UIL Holdings Corp. | 28,770 | 1,072 | |
Laclede Group Inc. | 21,266 | 1,052 | |
Avista Corp. | 30,171 | 979 | |
South Jersey Industries Inc. | 16,747 | 970 | |
NorthWestern Corp. | 19,879 | 960 | |
ALLETE Inc. | 19,570 | 952 | |
El Paso Electric Co. | 20,610 | 811 | |
American States Water Co. | 19,789 | 639 | |
Northwest Natural Gas Co. | 13,779 | 626 | |
11,905 | |||
Total Common Stocks | |||
(Cost $292,400) | 343,281 |
18
S&P Small-Cap 600 Index Fund
Market | ||
Value | ||
Shares | ($000) | |
Temporary Cash Investments (0.1%)1 | ||
Money Market Fund (0.1%) | ||
2,3 Vanguard Market Liquidity | ||
Fund, 0.113% | 422,001 | 422 |
Face | ||
Amount | ||
($000) | ||
U.S. Government and Agency Obligations (0.0%) | ||
4,5 Federal Home Loan | ||
Bank Discount Notes, | ||
0.080%, 9/24/14 | 100 | 100 |
Total Temporary Cash Investments | ||
(Cost $522) | 522 | |
Total Investments (100.0%) | ||
(Cost $292,922) | 343,803 | |
Other Assets and Liabilities (0.0%) | ||
Other Assets | 2,137 | |
Liabilities3 | (2,179) | |
(42) | ||
Net Assets (100%) | 343,761 |
At August 31, 2014, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 293,749 |
Undistributed Net Investment Income | 2,243 |
Accumulated Net Realized Losses | (3,123) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 50,881 |
Futures Contracts | 11 |
Net Assets | 343,761 |
Institutional Shares—Net Assets | |
Applicable to 892,878 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 179,076 |
Net Asset Value Per Share— | |
Institutional Shares | $200.56 |
ETF Shares—Net Assets | |
Applicable to 1,650,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 164,685 |
Net Asset Value Per Share— | |
ETF Shares | $99.81 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $398,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.1% and 0.1%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Includes $422,000 of collateral received for securities on loan.
4 Securities with a value of $100,000 have been segregated as initial margin for open futures contracts.
5 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
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, 2014 | |
($000) | |
Investment Income | |
Income | |
Dividends | 3,840 |
Interest1 | 1 |
Securities Lending | 35 |
Total Income | 3,876 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 50 |
Management and Administrative—Institutional Shares | 4 |
Management and Administrative—ETF Shares | 95 |
Marketing and Distribution—Institutional Shares | 40 |
Marketing and Distribution—ETF Shares | 29 |
Custodian Fees | 93 |
Auditing Fees | 21 |
Shareholders’ Reports—Institutional Shares | 2 |
Shareholders’ Reports—ETF Shares | 8 |
Total Expenses | 342 |
Net Investment Income | 3,534 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 32,657 |
Futures Contracts | (17) |
Realized Net Gain (Loss) | 32,640 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 10,637 |
Futures Contracts | 46 |
Change in Unrealized Appreciation (Depreciation) | 10,683 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 46,857 |
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.
20
S&P Small-Cap 600 Index Fund
Statement of Changes in Net Assets
Year Ended August 31, | ||
2014 | 2013 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 3,534 | 2,772 |
Realized Net Gain (Loss) | 32,640 | 4,640 |
Change in Unrealized Appreciation (Depreciation) | 10,683 | 35,077 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 46,857 | 42,489 |
Distributions | ||
Net Investment Income | ||
Institutional Shares | (1,594) | (1,617) |
ETF Shares | (1,138) | (713) |
Realized Capital Gain | ||
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (2,732) | (2,330) |
Capital Share Transactions | ||
Institutional Shares | 960 | 23,397 |
ETF Shares | 62,188 | 38,265 |
Net Increase (Decrease) from Capital Share Transactions | 63,148 | 61,662 |
Total Increase (Decrease) | 107,273 | 101,821 |
Net Assets | ||
Beginning of Period | 236,488 | 134,667 |
End of Period1 | 343,761 | 236,488 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $2,243,000 and $1,441,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
21
S&P Small-Cap 600 Index Fund
Financial Highlights
Institutional Shares | ||||
April 1, | ||||
20111 to | ||||
Year Ended August 31, | Aug. 31, | |||
For a Share Outstanding Throughout Each Period | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $170.71 | $136.79 | $118.12 | $132.94 |
Investment Operations | ||||
Net Investment Income | 2.049 | 2.131 | 1.558 | .290 |
Net Realized and Unrealized Gain (Loss) on Investments | 29.565 | 33.883 | 18.126 | (15.110) |
Total from Investment Operations | 31.614 | 36.014 | 19.684 | (14.820) |
Distributions | ||||
Dividends from Net Investment Income | (1.764) | (2.094) | (1.014) | — |
Distributions from Realized Capital Gains | — | — | — | — |
Total Distributions | (1.764) | (2.094) | (1.014) | — |
Net Asset Value, End of Period | $200.56 | $170.71 | $136.79 | $118.12 |
Total Return | 18.57% | 26.65% | 16.75% | -11.15% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $179 | $152 | $101 | $73 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08%2 |
Ratio of Net Investment Income to Average Net Assets | 1.17% | 1.55% | 1.35% | 1.03%2 |
Portfolio Turnover Rate 3 | 16% | 12% | 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.
22
S&P Small-Cap 600 Index Fund
Financial Highlights
ETF Shares | ||||
Sept. 7, | ||||
20101 to | ||||
Year Ended August 31, | Aug. 31, | |||
For a Share Outstanding Throughout Each Period | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $84.98 | $68.12 | $58.84 | $49.81 |
Investment Operations | ||||
Net Investment Income | . 976 | 1.024 | .745 | .605 |
Net Realized and Unrealized Gain (Loss) on Investments | 14.697 | 16.854 | 9.012 | 8.785 |
Total from Investment Operations | 15.673 | 17.878 | 9.757 | 9.390 |
Distributions | ||||
Dividends from Net Investment Income | (.843) | (1.018) | (.477) | (.360) |
Distributions from Realized Capital Gains | — | — | — | — |
Total Distributions | (.843) | (1.018) | (.477) | (.360) |
Net Asset Value, End of Period | $99.81 | $84.98 | $68.12 | $58.84 |
Total Return | 18.47% | 26.57% | 16.66% | 18.81% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $165 | $85 | $34 | $12 |
Ratio of Total Expenses to Average Net Assets | 0.15% | 0.15% | 0.15% | 0.15%2 |
Ratio of Net Investment Income to Average Net Assets | 1.10% | 1.48% | 1.28% | 0.96%2 |
Portfolio Turnover Rate 3 | 16% | 12% | 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. 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. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended August 31, 2014, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.
24
S&P Small-Cap 600 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, 2011–2014), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the absence of a default the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets for the return of the collateral, during the period the securities are on loan Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $2.89 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at August 31, 2014, or at any time during the period then ended.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution 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.
25
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 based on 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, 2014, the fund had contributed capital of $33,000 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, 2014, based on the inputs used to value them: | |||
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 343,281 | — | — |
Temporary Cash Investments | 422 | 100 | — |
Futures Contracts—Assets1 | 4 | — | — |
Total | 343,707 | 100 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At August 31, 2014, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
E-mini Russell 2000 Index | September 2014 | 6 | 704 | 11 |
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.
26
S&P Small-Cap 600 Index Fund
During the year ended August 31, 2014, the fund realized $34,757,000 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, 2014, the fund had $2,306,000 of ordinary income available for distribution. The fund had available capital losses totaling $3,064,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2014, the cost of investment securities for tax purposes was $292,982,000. Net unrealized appreciation of investment securities for tax purposes was $50,821,000, consisting of unrealized gains of $58,557,000 on securities that had risen in value since their purchase and $7,736,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended August 31, 2014, the fund purchased $247,076,000 of investment securities and sold $182,061,000 of investment securities, other than temporary cash investments. Purchases and sales include $199,165,000 and $129,530,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
G. Capital share transactions for each class of shares were:
Year Ended August 31, | |||||
2014 | 2013 | ||||
Amount | Shares | Amount | Shares | ||
($000) | (000) | ($000) | (000) | ||
Institutional Shares | |||||
Issued | 32,633 | 170 | 50,427 | 318 | |
Issued in Lieu of Cash Distributions | 1,594 | 8 | 1,594 | 11 | |
Redeemed | (33,267) | (173) | (28,624) | (177) | |
Net Increase (Decrease)—Institutional Shares | 960 | 5 | 23,397 | 152 | |
ETF Shares | |||||
Issued | 198,190 | 2,050 | 41,757 | 550 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (136,002) | (1,400) | (3,492) | (50) | |
Net Increase (Decrease) —ETF Shares | 62,188 | 650 | 38,265 | 500 |
At August 31, 2014, one shareholder was the record or beneficial owner of 35% of the fund’s net assets. If the shareholder were to redeem its investment in the fund, the redemption might result in an increase in the fund’s expense ratio, cause the fund to incur higher transaction costs, or lead to the realization of taxable capital gains.
H. Management has determined that no material events or transactions occurred subsequent to August 31, 2014, that would require recognition or disclosure in these financial statements.
27
S&P Small-Cap 600 Value Index Fund
Fund Profile
As of August 31, 2014
Portfolio Characteristics | |||
DJ | |||
U.S. | |||
S&P | Total | ||
SmallCap | Market | ||
600 Value | FA | ||
Fund | Index | Index | |
Number of Stocks | 447 | 445 | 3,709 |
Median Market Cap | $1.5B | $1.5B | $48.0B |
Price/Earnings Ratio | 26.1x | 26.1x | 20.7x |
Price/Book Ratio | 1.8x | 1.8x | 2.7x |
Return on Equity | 9.8% | 9.8% | 17.8% |
Earnings Growth | |||
Rate | 7.6% | 7.6% | 15.3% |
Dividend Yield | 1.6% | 1.6% | 1.8% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 32% | — | — |
Ticker Symbol | VIOV | — | — |
Expense Ratio1 | 0.20% | — | — |
30-Day SEC Yield | 1.34% | — | — |
Short-Term Reserves | 0.1% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
U.S. | |||
S&P | Total | ||
SmallCap | Market | ||
600 Value | FA | ||
Fund | Index | Index | |
Consumer Discretionary 13.0% | 13.0% | 12.6% | |
Consumer Staples | 4.3 | 4.3 | 8.1 |
Energy | 5.3 | 5.3 | 9.7 |
Financials | 22.5 | 22.5 | 17.3 |
Health Care | 8.3 | 8.3 | 13.3 |
Industrials | 17.2 | 17.2 | 11.2 |
Information Technology 15.3 | 15.3 | 18.6 | |
Materials | 7.0 | 7.0 | 3.9 |
Telecommunication | |||
Services | 0.7 | 0.7 | 2.2 |
Utilities | 6.4 | 6.4 | 3.1 |
Volatility Measures | ||
S&P | DJ | |
SmallCap | U.S. Total | |
600 Value | Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.91 |
Beta | 1.00 | 1.24 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months. | ||
Ten Largest Holdings (% of total net assets) | ||
Centene Corp. | Managed Health | |
Care | 1.3% | |
TriQuint Semiconductor | ||
Inc. | Semiconductors | 1.0 |
Curtiss-Wright Corp. | Aerospace & | |
Defense | 1.0 | |
TreeHouse Foods Inc. | Packaged Foods & | |
Meats | 0.9 | |
EPR Properties | Specialized REITs | 0.8 |
Piedmont Natural Gas | ||
Co. Inc. | Gas Utilities | 0.8 |
EMCOR Group Inc. | Construction & | |
Engineering | 0.8 | |
Exterran Holdings Inc. | Oil & Gas Equipment | |
& Services | 0.8 | |
ProAssurance Corp. | Property & Casualty | |
Insurance | 0.8 | |
Geo Group Inc. | Specialized REITs | 0.8 |
Top Ten | 9.0% | |
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 23, 2013, and represents estimated costs for the current fiscal year. For the fiscal year ended August 31, 2014, the expense ratio was 0.20%.
28
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, 2014
Initial Investment of $10,000
Average Annual Total Returns | ||||
Periods Ended August 31, 2014 | ||||
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 | 20.64% | 20.00% | $20,661 | |
S&P Small-Cap 600 Value Index | ||||
Fund*ETF Shares Market Price | 20.53 | 19.97 | 20,644 | |
•••••••• | S&P SmallCap 600 Value Index | 20.92 | 20.23 | 20,822 |
– – – – | Small-Cap Value Funds Average | 19.06 | 17.62 | 19,078 |
Dow Jones U.S. Total Stock Market | ||||
Float Adjusted Index | 24.68 | 19.19 | 20,114 | |
Small-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. "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.
29
S&P Small-Cap 600 Value Index Fund
Cumulative Returns of ETF Shares: September 7, 2010, Through August 31, 2014 | ||
Since | ||
One | Inception | |
Year | (9/7/2010) | |
S&P Small-Cap 600 Value Index Fund ETF Shares | ||
Market Price | 20.53% | 106.44% |
S&P Small-Cap 600 Value Index Fund ETF Shares | ||
Net Asset Value | 20.64 | 106.61 |
S&P SmallCap 600 Value Index | 20.92 | 108.22 |
"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, 2014
Average Annual Total Returns: Periods Ended June 30, 2014
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 | 25.27% | 21.25% | |
Net Asset Value | 25.13 | 21.24 |
30
S&P Small-Cap 600 Value Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2014
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 (13.0%) | |||
* | Skechers U.S.A. Inc. Class A | 10,289 | 601 |
* | Genesco Inc. | 6,257 | 496 |
* | Marriott Vacations | ||
Worldwide Corp. | 7,728 | 461 | |
Group 1 Automotive Inc. | 5,497 | 441 | |
* | Meritage Homes Corp. | 9,594 | 396 |
Finish Line Inc. Class A | 12,593 | 373 | |
* | Crocs Inc. | 22,843 | 353 |
* | Standard Pacific Corp. | 39,330 | 329 |
Men’s Wearhouse Inc. | 6,067 | 328 | |
Brown Shoe Co. Inc. | 10,828 | 323 | |
* | Vitamin Shoppe Inc. | 8,022 | 314 |
Children’s Place Inc. | 5,701 | 306 | |
Pool Corp. | 5,395 | 306 | |
Cracker Barrel Old Country | |||
Store Inc. | 2,923 | 293 | |
Jack in the Box Inc. | 4,905 | 292 | |
* | BJ’s Restaurants Inc. | 6,534 | 244 |
Scholastic Corp. | 6,808 | 239 | |
Cato Corp. Class A | 6,727 | 233 | |
* | Barnes & Noble Inc. | 9,686 | 231 |
Sonic Automotive Inc. | |||
Class A | 8,919 | 220 | |
Buckle Inc. | 4,387 | 216 | |
DineEquity Inc. | 2,587 | 215 | |
Matthews International Corp. | |||
Class A | 4,616 | 213 | |
* | Select Comfort Corp. | 9,194 | 206 |
* | G-III Apparel Group Ltd. | 2,145 | 177 |
Ryland Group Inc. | 4,644 | 172 | |
* | Strayer Education Inc. | 2,831 | 172 |
Regis Corp. | 11,372 | 172 | |
Ethan Allen Interiors Inc. | 6,785 | 171 | |
* | FTD Cos. Inc. | 4,933 | 163 |
* | Helen of Troy Ltd. | 2,738 | 159 |
* | Pep Boys-Manny Moe | ||
& Jack | 13,905 | 155 | |
Callaway Golf Co. | 20,207 | 154 |
Market | |||
Value | |||
Shares | ($000) | ||
Bob Evans Farms Inc. | 3,537 | 154 | |
Monro Muffler Brake Inc. | 2,889 | 150 | |
* | Hibbett Sports Inc. | 3,201 | 145 |
* | M/I Homes Inc. | 6,388 | 145 |
Stage Stores Inc. | 8,262 | 144 | |
* | Biglari Holdings Inc. | 373 | 134 |
Fred’s Inc. Class A | 8,934 | 127 | |
Superior Industries | |||
International Inc. | 6,007 | 117 | |
* | iRobot Corp. | 3,303 | 107 |
* | Outerwall Inc. | 1,809 | 107 |
* | Boyd Gaming Corp. | 9,875 | 105 |
Interval Leisure Group Inc. | 4,684 | 101 | |
Standard Motor Products Inc. | 2,627 | 99 | |
* | Quiksilver Inc. | 33,892 | 99 |
* | Tuesday Morning Corp. | 5,550 | 98 |
* | Ruby Tuesday Inc. | 15,096 | 93 |
Stein Mart Inc. | 7,331 | 91 | |
* | Christopher & Banks Corp. | 9,491 | 91 |
Marcus Corp. | 4,720 | 86 | |
* | Aeropostale Inc. | 20,507 | 86 |
Oxford Industries Inc. | 1,401 | 86 | |
* | Career Education Corp. | 15,095 | 83 |
Harte-Hanks Inc. | 11,469 | 80 | |
* | Zumiez Inc. | 2,325 | 75 |
* | Perry Ellis International Inc. | 3,249 | 65 |
Haverty Furniture Cos. Inc. | 2,722 | 63 | |
Universal Technical | |||
Institute Inc. | 5,538 | 62 | |
Nutrisystem Inc. | 3,432 | 56 | |
* | Sizmek Inc. | 6,015 | 53 |
* | VOXX International Corp. | ||
Class A | 5,170 | 51 | |
Big 5 Sporting Goods Corp. | 4,670 | 48 | |
PetMed Express Inc. | 3,209 | 45 | |
* | Blue Nile Inc. | 1,349 | 38 |
* | ITT Educational Services Inc. | 2,198 | 19 |
* | Biglari Holdings Inc. Rights | ||
Exp. 09/12/2014 | 420 | 9 | |
12,236 |
31
S&P Small-Cap 600 Value Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Consumer Staples (4.3%) | |||
* | TreeHouse Foods Inc. | 10,718 | 884 |
Sanderson Farms Inc. | 5,297 | 494 | |
Snyder’s-Lance Inc. | 12,805 | 349 | |
Casey’s General Stores Inc. | 4,721 | 338 | |
Cal-Maine Foods Inc. | 3,914 | 310 | |
* | Darling Ingredients Inc. | 15,037 | 290 |
SpartanNash Co. | 9,843 | 212 | |
B&G Foods Inc. | 6,998 | 211 | |
Andersons Inc. | 3,040 | 209 | |
J&J Snack Foods Corp. | 2,091 | 198 | |
* | Medifast Inc. | 3,154 | 106 |
* | Central Garden and Pet Co. | ||
Class A | 11,190 | 101 | |
* | Diamond Foods Inc. | 2,978 | 82 |
* | Annie’s Inc. | 2,496 | 80 |
Calavo Growers Inc. | 2,023 | 79 | |
* | Seneca Foods Corp. Class A | 1,859 | 56 |
* | Alliance One | ||
International Inc. | 21,501 | 48 | |
4,047 | |||
Energy (5.3%) | |||
Exterran Holdings Inc. | 15,478 | 722 | |
* | SEACOR Holdings Inc. | 5,005 | 408 |
Bristow Group Inc. | 5,293 | 386 | |
* | Hornbeck Offshore | ||
Services Inc. | 8,515 | 372 | |
Green Plains Inc. | 8,201 | 366 | |
* | PDC Energy Inc. | 4,944 | 297 |
Comstock Resources Inc. | 11,614 | 283 | |
* | Pioneer Energy | ||
Services Corp. | 16,355 | 252 | |
* | Cloud Peak Energy Inc. | 15,880 | 249 |
* | TETRA Technologies Inc. | 20,567 | 243 |
Arch Coal Inc. | 55,305 | 169 | |
* | Approach Resources Inc. | 9,246 | 165 |
* | Contango Oil & Gas Co. | 4,037 | 160 |
Gulfmark Offshore Inc. | 3,644 | 147 | |
* | Paragon Offshore plc | 15,720 | 147 |
* | Penn Virginia Corp. | 9,145 | 137 |
* | Swift Energy Co. | 11,445 | 130 |
* | Basic Energy Services Inc. | 4,285 | 104 |
* | PetroQuest Energy Inc. | 10,452 | 70 |
* | ION Geophysical Corp. | 20,036 | 69 |
Gulf Island Fabrication Inc. | 3,217 | 68 | |
* | Forest Oil Corp. | 18,698 | 30 |
4,974 | |||
Financials (22.5%) | |||
EPR Properties | 13,944 | 794 | |
ProAssurance Corp. | 15,489 | 716 | |
Geo Group Inc. | 18,932 | 708 | |
Cousins Properties Inc. | 52,507 | 666 | |
Healthcare Realty Trust Inc. | 25,054 | 625 |
Market | |||
Value | |||
Shares | ($000) | ||
Wintrust Financial Corp. | 12,142 | 565 | |
* | Kite Realty Group Trust | 21,694 | 558 |
United Bankshares Inc. | 16,399 | 540 | |
FNB Corp. | 43,404 | 536 | |
Susquehanna | |||
Bancshares Inc. | 48,950 | 505 | |
Post Properties Inc. | 9,074 | 499 | |
Tanger Factory Outlet | |||
Centers Inc. | 12,505 | 437 | |
Government Properties | |||
Income Trust | 17,803 | 428 | |
Lexington Realty Trust | 35,843 | 390 | |
Sovran Self Storage Inc. | 4,900 | 379 | |
Pennsylvania REIT | 17,940 | 362 | |
Selective Insurance | |||
Group Inc. | 14,672 | 352 | |
* | Stifel Financial Corp. | 7,310 | 350 |
DiamondRock Hospitality Co. | 25,537 | 340 | |
Capstead Mortgage Corp. | 24,997 | 330 | |
Cash America | |||
International Inc. | 7,342 | 328 | |
Horace Mann | |||
Educators Corp. | 10,632 | 317 | |
Northwest Bancshares Inc. | 24,669 | 311 | |
Interactive Brokers | |||
Group Inc. | 12,538 | 294 | |
EastGroup Properties Inc. | 4,487 | 291 | |
UMB Financial Corp. | 5,013 | 289 | |
Chesapeake Lodging Trust | 9,274 | 286 | |
Acadia Realty Trust | 9,887 | 285 | |
Education Realty Trust Inc. | 25,563 | 278 | |
Franklin Street | |||
Properties Corp. | 22,718 | 276 | |
NBT Bancorp Inc. | 11,406 | 274 | |
Sterling Bancorp | 20,516 | 260 | |
First Financial Bancorp | 15,040 | 250 | |
Provident Financial | |||
Services Inc. | 14,037 | 239 | |
Parkway Properties Inc. | 11,304 | 235 | |
LTC Properties Inc. | 5,634 | 231 | |
Independent Bank Corp. | 6,237 | 230 | |
* | Piper Jaffray Cos. | 4,245 | 226 |
PS Business Parks Inc. | 2,578 | 210 | |
Medical Properties Trust Inc. | 14,846 | 209 | |
Community Bank System Inc. | 5,831 | 206 | |
Infinity Property | |||
& Casualty Corp. | 3,000 | 205 | |
Banner Corp. | 5,101 | 201 | |
RLI Corp. | 4,392 | 196 | |
CVB Financial Corp. | 12,528 | 195 | |
S&T Bancorp Inc. | 7,745 | 193 | |
Associated Estates | |||
Realty Corp. | 10,052 | 186 | |
Safety Insurance Group Inc. | 3,345 | 185 | |
* | Navigators Group Inc. | 2,786 | 179 |
32
S&P Small-Cap 600 Value Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Stewart Information | |||
Services Corp. | 5,458 | 176 | |
National Penn | |||
Bancshares Inc. | 17,119 | 171 | |
Hanmi Financial Corp. | 8,285 | 170 | |
Simmons First National Corp. | |||
Class A | 4,261 | 170 | |
Brookline Bancorp Inc. | 18,402 | 168 | |
United Fire Group Inc. | 5,627 | 165 | |
Old National Bancorp | 12,260 | 160 | |
American Assets Trust Inc. | 4,551 | 159 | |
Greenhill & Co. Inc. | 3,193 | 157 | |
* | Ezcorp Inc. Class A | 14,160 | 151 |
FXCM Inc. Class A | 9,927 | 144 | |
ViewPoint Financial | |||
Group Inc. | 5,509 | 143 | |
Tompkins Financial Corp. | 3,104 | 142 | |
Getty Realty Corp. | 6,970 | 131 | |
Dime Community | |||
Bancshares Inc. | 7,695 | 119 | |
Cedar Realty Trust Inc. | 17,790 | 115 | |
Agree Realty Corp. | 3,896 | 115 | |
Columbia Banking | |||
System Inc. | 4,261 | 111 | |
TrustCo Bank Corp. NY | 15,563 | 109 | |
First Commonwealth | |||
Financial Corp. | 11,051 | 98 | |
City Holding Co. | 2,176 | 93 | |
Urstadt Biddle Properties Inc. | |||
Class A | 4,326 | 92 | |
* | First BanCorp | 17,541 | 91 |
Cardinal Financial Corp. | 4,842 | 87 | |
Saul Centers Inc. | 1,697 | 85 | |
* | Green Dot Corp. Class A | 4,291 | 81 |
* | World Acceptance Corp. | 994 | 78 |
Meadowbrook Insurance | |||
Group Inc. | 12,127 | 75 | |
Inland Real Estate Corp. | 6,794 | 71 | |
Calamos Asset Management | |||
Inc. Class A | 4,968 | 64 | |
Universal Health Realty | |||
Income Trust | 1,449 | 64 | |
* | Investment Technology | ||
Group Inc. | 3,665 | 62 | |
AMERISAFE Inc. | 1,506 | 57 | |
* | SWS Group Inc. | 7,591 | 57 |
Bank Mutual Corp. | 4,254 | 28 | |
Universal Insurance | |||
Holdings Inc. | 1,883 | 26 | |
21,130 | |||
Health Care (8.3%) | |||
* | Centene Corp. | 15,048 | 1,176 |
Chemed Corp. | 4,576 | 483 | |
* | Impax Laboratories Inc. | 17,002 | 419 |
* | Magellan Health Inc. | 7,193 | 402 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Molina Healthcare Inc. | 7,486 | 358 |
* | PAREXEL International Corp. | 6,235 | 352 |
Kindred Healthcare Inc. | 16,649 | 344 | |
* | Haemonetics Corp. | 7,869 | 281 |
CONMED Corp. | 7,105 | 281 | |
* | ICU Medical Inc. | 3,532 | 221 |
* | PharMerica Corp. | 7,827 | 195 |
* | AMN Healthcare | ||
Services Inc. | 12,118 | 183 | |
* | Integra LifeSciences | ||
Holdings Corp. | 3,664 | 183 | |
* | Amedisys Inc. | 8,567 | 179 |
* | Amsurg Corp. | 3,254 | 175 |
* | Healthways Inc. | 9,189 | 160 |
Abaxis Inc. | 2,920 | 139 | |
* | Merit Medical Systems Inc. | 10,633 | 133 |
* | MedAssets Inc. | 5,728 | 132 |
Analogic Corp. | 1,709 | 123 | |
* | Greatbatch Inc. | 2,658 | 121 |
* | Emergent Biosolutions Inc. | 4,779 | 119 |
* | Hanger Inc. | 5,245 | 118 |
Invacare Corp. | 7,559 | 116 | |
* | Bio-Reference | ||
Laboratories Inc. | 3,661 | 106 | |
Meridian Bioscience Inc. | 4,994 | 98 | |
* | Sagent Pharmaceuticals Inc. | 3,390 | 94 |
* | Luminex Corp. | 4,825 | 91 |
* | Symmetry Medical Inc. | 9,769 | 90 |
* | Affymetrix Inc. | 9,883 | 86 |
* | Gentiva Health Services Inc. | 4,721 | 85 |
Quality Systems Inc. | 5,374 | 84 | |
* | LHC Group Inc. | 3,208 | 83 |
* | Momenta | ||
Pharmaceuticals Inc. | 6,545 | 77 | |
Computer Programs | |||
& Systems Inc. | 1,231 | 76 | |
* | Depomed Inc. | 4,849 | 74 |
* | Providence Service Corp. | 1,601 | 73 |
* | Almost Family Inc. | 2,197 | 62 |
Ensign Group Inc. | 1,753 | 61 | |
* | Cross Country | ||
Healthcare Inc. | 7,073 | 56 | |
Landauer Inc. | 1,350 | 49 | |
* | Cynosure Inc. Class A | 1,763 | 40 |
* | Albany Molecular | ||
Research Inc. | 1,151 | 23 | |
7,801 | |||
Industrials (17.2%) | |||
Curtiss-Wright Corp. | 12,571 | 903 | |
EMCOR Group Inc. | 17,552 | 758 | |
Applied Industrial | |||
Technologies Inc. | 10,898 | 531 | |
Mueller Industries Inc. | 14,793 | 432 | |
Tetra Tech Inc. | 16,948 | 432 | |
* | Teledyne Technologies Inc. | 4,407 | 428 |
33
S&P Small-Cap 600 Value Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
United Stationers Inc. | 10,277 | 418 | |
Actuant Corp. Class A | 11,860 | 400 | |
* | Hub Group Inc. Class A | 9,086 | 395 |
* | Korn/Ferry International | 12,977 | 393 |
Toro Co. | 5,958 | 367 | |
ABM Industries Inc. | 13,593 | 362 | |
Brink’s Co. | 12,643 | 346 | |
* | Moog Inc. Class A | 4,530 | 321 |
Matson Inc. | 11,218 | 303 | |
Kaman Corp. | 7,150 | 291 | |
AAR Corp. | 10,313 | 286 | |
Watts Water Technologies | |||
Inc. Class A | 4,389 | 278 | |
General Cable Corp. | 12,701 | 273 | |
* | EnPro Industries Inc. | 3,876 | 263 |
ESCO Technologies Inc. | 6,919 | 249 | |
Standex International Corp. | 3,333 | 249 | |
Universal Forest Products Inc. | 5,234 | 248 | |
Briggs & Stratton Corp. | 12,197 | 246 | |
* | Aegion Corp. Class A | 9,916 | 244 |
Cubic Corp. | 5,455 | 243 | |
Knight Transportation Inc. | 9,494 | 241 | |
UniFirst Corp. | 2,428 | 235 | |
* | Orbital Sciences Corp. | 8,696 | 233 |
Healthcare Services | |||
Group Inc. | 8,067 | 220 | |
* | Atlas Air Worldwide | ||
Holdings Inc. | 6,588 | 220 | |
* | UTi Worldwide Inc. | 23,938 | 220 |
Simpson Manufacturing | |||
Co. Inc. | 6,762 | 218 | |
Brady Corp. Class A | 7,933 | 211 | |
Astec Industries Inc. | 4,895 | 203 | |
Titan International Inc. | 13,984 | 203 | |
Forward Air Corp. | 4,233 | 196 | |
Barnes Group Inc. | 5,162 | 177 | |
Quanex Building | |||
Products Corp. | 9,777 | 177 | |
Insperity Inc. | 5,923 | 175 | |
Albany International Corp. | 4,435 | 167 | |
* | Engility Holdings Inc. | 4,575 | 161 |
Heartland Express Inc. | 6,640 | 156 | |
Resources Connection Inc. | 10,120 | 155 | |
Interface Inc. Class A | 8,990 | 153 | |
G&K Services Inc. Class A | 2,602 | 145 | |
Franklin Electric Co. Inc. | 3,769 | 143 | |
Griffon Corp. | 11,378 | 142 | |
Lindsay Corp. | 1,779 | 138 | |
Tennant Co. | 1,732 | 121 | |
* | Gibraltar Industries Inc. | 7,555 | 120 |
* | WageWorks Inc. | 2,911 | 120 |
SkyWest Inc. | 13,304 | 119 | |
Kelly Services Inc. Class A | 7,119 | 119 | |
Viad Corp. | 5,334 | 117 | |
ArcBest Corp. | 3,123 | 112 |
Market | |||
Value | |||
Shares | ($000) | ||
* | TrueBlue Inc. | 3,759 | 102 |
* | Aerovironment Inc. | 3,150 | 99 |
Exponent Inc. | 1,333 | 97 | |
Heidrick & Struggles | |||
International Inc. | 4,221 | 91 | |
Celadon Group Inc. | 4,336 | 91 | |
John Bean Technologies Corp. | 2,996 | 87 | |
* | Navigant Consulting Inc. | 5,259 | 86 |
National Presto Industries Inc. | 1,282 | 84 | |
American Science | |||
& Engineering Inc. | 1,359 | 79 | |
* | Orion Marine Group Inc. | 7,158 | 72 |
Encore Wire Corp. | 1,560 | 66 | |
Comfort Systems USA Inc. | 4,320 | 66 | |
Powell Industries Inc. | 1,184 | 62 | |
* | American Woodmark Corp. | 1,523 | 60 |
* | Roadrunner Transportation | ||
Systems Inc. | 2,315 | 58 | |
* | Veritiv Corp. | 1,299 | 58 |
CDI Corp. | 3,754 | 57 | |
* | Lydall Inc. | 2,042 | 57 |
Aceto Corp. | 1,396 | 27 | |
* | Vicor Corp. | 2,377 | 19 |
16,194 | |||
Information Technology (15.3%) | |||
* | TriQuint Semiconductor Inc. | 44,696 | 924 |
Anixter International Inc. | 6,989 | 624 | |
* | Sanmina Corp. | 21,476 | 504 |
* | SYNNEX Corp. | 7,141 | 498 |
MKS Instruments Inc. | 13,969 | 474 | |
* | CACI International Inc. | ||
Class A | 6,129 | 442 | |
* | Veeco Instruments Inc. | 10,449 | 370 |
* | Plexus Corp. | 8,852 | 365 |
* | Benchmark Electronics Inc. | 14,072 | 347 |
* | NETGEAR Inc. | 9,531 | 317 |
* | Take-Two Interactive | ||
Software Inc. | 13,240 | 311 | |
* | Kulicke & Soffa Industries Inc. | 19,960 | 293 |
* | ScanSource Inc. | 7,433 | 287 |
* | Insight Enterprises Inc. | 10,688 | 280 |
* | GT Advanced | ||
Technologies Inc. | 15,665 | 279 | |
* | Microsemi Corp. | 9,901 | 264 |
Littelfuse Inc. | 2,816 | 259 | |
* | Diodes Inc. | 9,513 | 242 |
* | ViaSat Inc. | 4,123 | 235 |
* | Cirrus Logic Inc. | 9,554 | 231 |
* | NetScout Systems Inc. | 5,012 | 231 |
Tessera Technologies Inc. | 7,398 | 219 | |
* | Super Micro Computer Inc. | 8,914 | 218 |
* | QLogic Corp. | 22,764 | 206 |
Monolithic Power | |||
Systems Inc. | 4,303 | 206 |
34
S&P Small-Cap 600 Value Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Heartland Payment | |||
Systems Inc. | 4,296 | 205 | |
Brooks Automation Inc. | 17,412 | 197 | |
* | II-VI Inc. | 14,043 | 196 |
* | OSI Systems Inc. | 2,693 | 188 |
Power Integrations Inc. | 3,099 | 185 | |
* | Coherent Inc. | 2,859 | 184 |
ManTech International Corp. | |||
Class A | 6,208 | 180 | |
* | Rofin-Sinar Technologies Inc. | 7,306 | 175 |
* | Progress Software Corp. | 7,497 | 174 |
Comtech | |||
Telecommunications Corp. | 4,189 | 159 | |
* | Cabot Microelectronics Corp. | 3,706 | 159 |
Park Electrochemical Corp. | 5,439 | 153 | |
* | Checkpoint Systems Inc. | 10,852 | 150 |
Micrel Inc. | 11,799 | 148 | |
* | Rogers Corp. | 2,413 | 145 |
* | Bottomline Technologies | ||
de Inc. | 5,012 | 141 | |
* | Monster Worldwide Inc. | 23,700 | 137 |
Ebix Inc. | 8,424 | 130 | |
* | Ultratech Inc. | 4,832 | 125 |
* | ExlService Holdings Inc. | 4,329 | 118 |
* | VASCO Data Security | ||
International Inc. | 7,659 | 113 | |
* | Newport Corp. | 5,934 | 112 |
* | TTM Technologies Inc. | 14,317 | 110 |
Badger Meter Inc. | 1,994 | 104 | |
* | Sykes Enterprises Inc. | 4,893 | 102 |
* | Mercury Systems Inc. | 8,684 | 97 |
Black Box Corp. | 4,061 | 96 | |
* | Liquidity Services Inc. | 6,262 | 95 |
CSG Systems | |||
International Inc. | 3,380 | 94 | |
* | LivePerson Inc. | 7,076 | 91 |
* | Fabrinet | 5,551 | 90 |
Oplink Communications Inc. | 4,500 | 87 | |
* | Rudolph Technologies Inc. | 8,651 | 84 |
Cohu Inc. | 6,117 | 75 | |
* | Tangoe Inc. | 5,311 | 74 |
* | TeleTech Holdings Inc. | 2,699 | 72 |
* | Ciber Inc. | 17,960 | 69 |
* | Ixia | 7,077 | 68 |
* | Digital River Inc. | 4,194 | 64 |
CTS Corp. | 3,522 | 62 | |
* | Nanometrics Inc. | 3,716 | 62 |
Bel Fuse Inc. Class B | 2,614 | 62 | |
* | Exar Corp. | 5,919 | 59 |
* | CEVA Inc. | 3,656 | 55 |
* | Digi International Inc. | 6,606 | 55 |
Forrester Research Inc. | 1,408 | 55 | |
* | Pericom Semiconductor Corp. | 5,238 | 51 |
* | DTS Inc. | 2,073 | 50 |
* | Kopin Corp. | 10,386 | 41 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Entropic Communications Inc. | 15,146 | 40 |
* | Rubicon Technology Inc. | 6,108 | 38 |
Epiq Systems Inc. | 2,426 | 35 | |
Electro Scientific | |||
Industries Inc. | 4,607 | 34 | |
* | Procera Networks Inc. | 3,121 | 32 |
* | Dice Holdings Inc. | 3,730 | 32 |
* | DSP Group Inc. | 3,213 | 29 |
* | QuinStreet Inc. | 5,007 | 24 |
* | Agilysys Inc. | 1,527 | 19 |
14,407 | |||
Materials (7.0%) | |||
Kaiser Aluminum Corp. | 4,706 | 379 | |
* | Clearwater Paper Corp. | 5,330 | 369 |
* | Stillwater Mining Co. | 19,699 | 366 |
* | Century Aluminum Co. | 13,442 | 336 |
Innophos Holdings Inc. | 5,727 | 333 | |
A Schulman Inc. | 7,624 | 296 | |
PH Glatfelter Co. | 11,225 | 280 | |
* | AK Steel Holding Corp. | 23,186 | 253 |
* | Boise Cascade Co. | 8,230 | 247 |
Stepan Co. | 4,954 | 239 | |
Neenah Paper Inc. | 4,321 | 236 | |
* | SunCoke Energy Inc. | 9,651 | 232 |
OM Group Inc. | 8,367 | 223 | |
* | Intrepid Potash Inc. | 14,496 | 222 |
Schweitzer-Mauduit | |||
International Inc. | 4,685 | 201 | |
* | LSB Industries Inc. | 4,991 | 200 |
Koppers Holdings Inc. | 5,334 | 198 | |
Globe Specialty Metals Inc. | 8,931 | 183 | |
Materion Corp. | 5,367 | 175 | |
* | Kraton Performance | ||
Polymers Inc. | 8,542 | 174 | |
Haynes International Inc. | 3,230 | 160 | |
Tredegar Corp. | 6,579 | 137 | |
* | Calgon Carbon Corp. | 6,380 | 135 |
Quaker Chemical Corp. | 1,622 | 126 | |
* | Headwaters Inc. | 9,176 | 119 |
Wausau Paper Corp. | 12,996 | 118 | |
Deltic Timber Corp. | 1,690 | 112 | |
Zep Inc. | 5,982 | 95 | |
Hawkins Inc. | 2,460 | 91 | |
* | RTI International Metals Inc. | 3,038 | 88 |
Myers Industries Inc. | 3,834 | 76 | |
Olympic Steel Inc. | 2,368 | 57 | |
* | AM Castle & Co. | 4,448 | 44 |
FutureFuel Corp. | 2,361 | 33 | |
6,533 | |||
Telecommunication Services (0.7%) | |||
* | Cincinnati Bell Inc. | 54,561 | 200 |
Atlantic Tele-Network Inc. | 2,618 | 153 | |
Consolidated Communications | |||
Holdings Inc. | 5,668 | 138 |
35
S&P Small-Cap 600 Value Index Fund
Market | ||
Value | ||
Shares | ($000) | |
Spok Holdings Inc. | 5,655 | 84 |
* General Communication Inc. | ||
Class A | 3,798 | 43 |
NTELOS Holdings Corp. | 2,486 | 33 |
651 | ||
Utilities (6.4%) | ||
Piedmont Natural Gas | ||
Co. Inc. | 20,389 | 763 |
Southwest Gas Corp. | 12,131 | 633 |
New Jersey Resources Corp. | 10,992 | 574 |
UIL Holdings Corp. | 14,748 | 549 |
Laclede Group Inc. | 10,902 | 539 |
Avista Corp. | 15,467 | 502 |
South Jersey Industries Inc. | 8,604 | 499 |
NorthWestern Corp. | 10,211 | 493 |
ALLETE Inc. | 10,057 | 489 |
El Paso Electric Co. | 10,559 | 415 |
Northwest Natural Gas Co. | 7,073 | 322 |
American States Water Co. | 5,963 | 193 |
5,971 | ||
Total Common Stocks | ||
(Cost $92,846) | 93,944 | |
Temporary Cash Investment (0.1%) | ||
Money Market Fund (0.1%) | ||
1 Vanguard Market Liquidity | ||
Fund, 0.113% | ||
(Cost $88) | 87,692 | 88 |
Total Investments (100.1%) | ||
(Cost $92,934) | 94,032 | |
Other Assets and Liabilities (-0.1%) | ||
Other Assets | 119 | |
Liabilities | (168) | |
(49) | ||
ETF Shares—Net Assets (100%) | ||
Applicable to 950,000 outstanding | ||
$.001 par value shares of beneficial | ||
interest (unlimited authorization) | 93,983 | |
Net Asset Value Per Share— | ||
ETF Shares | $98.93 |
At August 31, 2014, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 93,315 |
Undistributed Net Investment Income | 661 |
Accumulated Net Realized Losses | (1,091) |
Unrealized Appreciation (Depreciation) | 1,098 |
Net Assets | 93,983 |
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.
36
S&P Small-Cap 600 Value Index Fund
Statement of Operations
Year Ended | |
August 31, 2014 | |
($000) | |
Investment Income | |
Income | |
Dividends | 999 |
Total Income | 999 |
Expenses | |
The Vanguard Group—Note B | |
Management and Administrative | 76 |
Custodian Fees | 22 |
Auditing Fees | 21 |
Shareholders’ Reports | 4 |
Total Expenses | 123 |
Net Investment Income | 876 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 10,561 |
Futures Contracts | 4 |
Realized Net Gain (Loss) | 10,565 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | (3,019) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 8,422 |
See accompanying Notes, which are an integral part of the Financial Statements.
37
S&P Small-Cap 600 Value Index Fund
Statement of Changes in Net Assets
Year Ended August 31, | ||
2014 | 2013 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 876 | 374 |
Realized Net Gain (Loss) | 10,565 | 2,295 |
Change in Unrealized Appreciation (Depreciation) | (3,019) | 2,191 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 8,422 | 4,860 |
Distributions | ||
Net Investment Income | (522) | (227) |
Realized Capital Gain | — | — |
Total Distributions | (522) | (227) |
Capital Share Transactions | ||
Issued | 133,752 | 14,888 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (76,636) | (7,001) |
Net Increase (Decrease) from Capital Share Transactions | 57,116 | 7,887 |
Total Increase (Decrease) | 65,016 | 12,520 |
Net Assets | ||
Beginning of Period | 28,967 | 16,447 |
End of Period1 | 93,983 | 28,967 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $661,000 and $307,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
38
S&P Small-Cap 600 Value Index Fund
Financial Highlights
ETF Shares | ||||
Sept. 7, | ||||
20101 to | ||||
Year Ended August 31, | Aug. 31, | |||
For a Share Outstanding Throughout Each Period | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $82.76 | $65.79 | $56.68 | $49.79 |
Investment Operations | ||||
Net Investment Income | 1.355 2 | 1.146 | .960 | .741 |
Net Realized and Unrealized Gain (Loss) on Investments | 15.685 | 16.731 | 8.801 | 6.519 |
Total from Investment Operations | 17.040 | 17.877 | 9.761 | 7.260 |
Distributions | ||||
Dividends from Net Investment Income | (.870) | (. 907) | (. 651) | (. 370) |
Distributions from Realized Capital Gains | — | — | — | — |
Total Distributions | (.870) | (. 907) | (. 651) | (. 370) |
Net Asset Value, End of Period | $98.93 | $82.76 | $65.79 | $56.68 |
Total Return | 20.64% | 27.45% | 17.33% | 14.52% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $94 | $29 | $16 | $14 |
Ratio of Total Expenses to Average Net Assets | 0.20% | 0.20% | 0.20% | 0.20%3 |
Ratio of Net Investment Income to Average Net Assets | 1.43% | 1.73% | 1.56% | 1.32%3 |
Portfolio Turnover Rate 4 | 32% | 37% | 29% | 70% |
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.
39
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. During the year ended August 31, 2014, there were no investors in the Institutional share class. 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. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended August 31, 2014, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period. The fund had no open futures contracts at August 31, 2014.
40
S&P Small-Cap 600 Value Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2011–2014), 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. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $2.89 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at August 31, 2014, or at any time during the period then ended.
6. Other: Dividend income is recorded on the ex-dividend date. Interest income 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 based on 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, 2014, the fund had contributed capital of $8,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.00% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
At August 31, 2014, 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
41
S&P Small-Cap 600 Value Index Fund
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, 2014, the fund realized $10,736,000 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, 2014, the fund had $661,000 of ordinary income available for distribution. The fund had available capital losses totaling $1,091,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2014, the cost of investment securities for tax purposes was $92,934,000. Net unrealized appreciation of investment securities for tax purposes was $1,098,000, consisting of unrealized gains of $4,397,000 on securities that had risen in value since their purchase and $3,299,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the year ended August 31, 2014, the fund purchased $153,118,000 of investment securities and sold $95,679,000 of investment securities, other than temporary cash investments. Purchases and sales include $133,525,000 and $76,004,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
F. Capital shares issued and redeemed were:
Year Ended August 31, | ||
2014 | 2013 | |
Shares | Shares | |
(000) | (000) | |
Issued | 1,400 | 200 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (800) | (100) |
Net Increase (Decrease) in Shares Outstanding | 600 | 100 |
G. Management has determined that no material events or transactions occurred subsequent to August 31, 2014, that would require recognition or disclosure in these financial statements.
42
S&P Small-Cap 600 Growth Index Fund
Fund Profile
As of August 31, 2014
Portfolio Characteristics | |||
DJ | |||
U.S. | |||
S&P | Total | ||
SmallCap | Market | ||
600 Growth | FA | ||
Fund | Index | Index | |
Number of Stocks | 363 | 363 | 3,709 |
Median Market Cap | $1.7B | $1.7B | $48.0B |
Price/Earnings Ratio | 27.1x | 27.1x | 20.7x |
Price/Book Ratio | 2.9x | 2.9x | 2.7x |
Return on Equity | 14.1% | 14.1% | 17.8% |
Earnings Growth | |||
Rate | 19.2% | 19.2% | 15.3% |
Dividend Yield | 0.9% | 0.9% | 1.8% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 44% | — | — |
Ticker Symbol | VIOG | — | — |
Expense Ratio1 | 0.20% | — | — |
30-Day SEC Yield | 0.67% | — | — |
Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
S&P | U.S. | ||
SmallCap | Total | ||
600 | Market | ||
Growth | FA | ||
Fund | Index | Index | |
Consumer Discretionary 15.2% | 15.2% | 12.6% | |
Consumer Staples | 3.2 | 3.2 | 8.1 |
Energy | 4.9 | 4.9 | 9.7 |
Financials | 21.2 | 21.2 | 17.3 |
Health Care | 14.6 | 14.6 | 13.3 |
Industrials | 14.3 | 14.3 | 11.2 |
Information Technology | 20.1 | 20.1 | 18.6 |
Materials | 5.8 | 5.8 | 3.9 |
Telecommunication | |||
Services | 0.5 | 0.5 | 2.2 |
Utilities | 0.2 | 0.2 | 3.1 |
Volatility Measures | ||
S&P | DJ | |
SmallCap | U.S. Total | |
600 Growth | Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.87 |
Beta | 1.00 | 1.17 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months. | ||
Ten Largest Holdings (% of total net assets) | ||
US Silica Holdings Inc. | Diversified Metals & | |
Mining | 1.2% | |
Cognex Corp. | Electronic Equipment | |
& Instruments | 1.1 | |
West Pharmaceutical | ||
Services Inc. | Health Care Supplies | 1.0 |
EnerSys | Electrical | |
Components & | ||
Equipment | 1.0 | |
Synaptics Inc. | Semiconductors | 0.9 |
Portfolio Recovery | ||
Associates Inc. | Consumer Finance | 0.9 |
Akorn Inc. | Pharmaceuticals | 0.9 |
Buffalo Wild Wings Inc. | Restaurants | 0.9 |
MAXIMUS Inc. | Data Processing & | |
Outsourced Services | 0.9 | |
Wolverine World Wide | ||
Inc. | Footwear | 0.9 |
Top Ten | 9.7% | |
The holdings listed exclude any temporary cash investments and equity index products. | ||
Investment Focus
1 The expense ratio shown is from the prospectus dated December 23, 2013, and represents estimated costs for the current fiscal year. For the fiscal year ended August 31, 2014, the expense ratio was 0.20%.
43
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, 2014
Initial Investment of $10,000
Average Annual Total Returns | ||||
Periods Ended August 31, 2014 | ||||
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 | 16.07% | 20.34% | $20,898 | |
S&P Small-Cap 600 Growth Index | ||||
Fund*ETF Shares Market Price | 15.92 | 20.32 | 20,880 | |
•••••••• | S&P SmallCap 600 Growth Index | 16.33 | 20.57 | 21,057 |
– – – – | Small-Cap Growth Funds Average | 14.11 | 17.63 | 19,088 |
Dow Jones U.S. Total Stock Market | ||||
Float Adjusted Index | 24.68 | 19.19 | 20,114 | |
Small-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. "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.
44
S&P Small-Cap 600 Growth Index Fund
Cumulative Returns of ETF Shares: September 7, 2010, Through August 31, 2014 | ||
Since | ||
One | Inception | |
Year | (9/7/2010) | |
S&P Small-Cap 600 Growth Index Fund ETF Shares | ||
Market Price | 15.92% | 108.80% |
S&P Small-Cap 600 Growth Index Fund ETF Shares | ||
Net Asset Value | 16.07 | 108.98 |
S&P SmallCap 600 Growth Index | 16.33 | 110.57 |
"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, 2014
Average Annual Total Returns: Periods Ended June 30, 2014
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 | 25.48% | 22.04% | |
Net Asset Value | 25.34 | 22.04 |
45
S&P Small-Cap 600 Growth Index Fund
Financial Statements
Statement of Net Assets
As of August 31, 2014
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 (15.2%) | |||
* | Buffalo Wild Wings Inc. | 3,656 | 540 |
Wolverine World Wide Inc. | 19,616 | 521 | |
* | Iconix Brand Group Inc. | 9,417 | 392 |
Lithia Motors Inc. Class A | 4,395 | 384 | |
* | Steven Madden Ltd. | 11,145 | 379 |
Texas Roadhouse Inc. | |||
Class A | 11,453 | 305 | |
* | Lumber Liquidators | ||
Holdings Inc. | 5,303 | 303 | |
* | Pinnacle Entertainment Inc. | 11,518 | 288 |
Pool Corp. | 4,690 | 266 | |
* | Dorman Products Inc. | 5,854 | 262 |
Cracker Barrel Old Country | |||
Store Inc. | 2,440 | 245 | |
Jack in the Box Inc. | 4,100 | 244 | |
Papa John’s International Inc. | 5,900 | 234 | |
Men’s Wearhouse Inc. | 4,313 | 233 | |
La-Z-Boy Inc. | 10,112 | 216 | |
Ryland Group Inc. | 5,618 | 208 | |
* | Sonic Corp. | 9,764 | 206 |
Drew Industries Inc. | 4,288 | 190 | |
Sturm Ruger & Co. Inc. | 3,747 | 189 | |
Monro Muffler Brake Inc. | 3,643 | 189 | |
* | Helen of Troy Ltd. | 3,167 | 184 |
* | Universal Electronics Inc. | 3,081 | 168 |
* | Multimedia Games | ||
Holding Co. Inc. | 5,716 | 159 | |
* | G-III Apparel Group Ltd. | 1,867 | 154 |
* | Outerwall Inc. | 2,605 | 154 |
Capella Education Co. | 2,119 | 138 | |
* | Red Robin Gourmet | ||
Burgers Inc. | 2,519 | 134 | |
* | Winnebago Industries Inc. | 5,275 | 131 |
Movado Group Inc. | 3,467 | 129 | |
* | Hibbett Sports Inc. | 2,579 | 117 |
* | Francesca’s Holdings Corp. | 8,175 | 114 |
* | EW Scripps Co. Class A | 5,867 | 111 |
Oxford Industries Inc. | 1,767 | 108 |
Market | |||
Value | |||
Shares | ($000) | ||
Buckle Inc. | 2,174 | 107 | |
* | iRobot Corp. | 3,254 | 106 |
Matthews International Corp. | |||
Class A | 2,283 | 105 | |
* | American Public | ||
Education Inc. | 3,386 | 103 | |
DineEquity Inc. | 1,229 | 102 | |
* | Scientific Games Corp. | ||
Class A | 9,301 | 94 | |
Bob Evans Farms Inc. | 2,152 | 93 | |
Arctic Cat Inc. | 2,498 | 93 | |
Interval Leisure Group Inc. | 4,242 | 92 | |
* | MarineMax Inc. | 4,801 | 83 |
* | Select Comfort Corp. | 3,678 | 82 |
* | Boyd Gaming Corp. | 7,345 | 78 |
Ruth’s Hospitality Group Inc. | 6,976 | 78 | |
* | Zumiez Inc. | 2,382 | 77 |
Standard Motor Products Inc. | 2,032 | 76 | |
* | Tuesday Morning Corp. | 3,114 | 55 |
* | Kirkland’s Inc. | 2,915 | 52 |
Nutrisystem Inc. | 3,001 | 49 | |
Haverty Furniture Cos. Inc. | 1,868 | 44 | |
* | Blue Nile Inc. | 1,337 | 38 |
* | Monarch Casino & Resort Inc. | 1,878 | 24 |
PetMed Express Inc. | 1,515 | 21 | |
* | ITT Educational Services Inc. | 1,871 | 16 |
9,263 | |||
Consumer Staples (3.2%) | |||
* | Darling Ingredients Inc. | 20,690 | 399 |
* | Boston Beer Co. Inc. Class A | 1,715 | 379 |
Casey’s General Stores Inc. | 3,941 | 283 | |
Andersons Inc. | 2,874 | 198 | |
WD-40 Co. | 2,726 | 187 | |
B&G Foods Inc. | 5,195 | 157 | |
J&J Snack Foods Corp. | 1,272 | 121 | |
Inter Parfums Inc. | 3,295 | 100 | |
* | Diamond Foods Inc. | 2,043 | 56 |
* | Annie’s Inc. | 1,452 | 46 |
Calavo Growers Inc. | 1,182 | 46 | |
1,972 |
46
S&P Small-Cap 600 Growth Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Energy (4.9%) | |||
* | Carrizo Oil & Gas Inc. | 8,007 | 502 |
* | Stone Energy Corp. | 10,718 | 377 |
* | C&J Energy Services Inc. | 8,888 | 255 |
Bristow Group Inc. | 2,956 | 216 | |
* | Newpark Resources Inc. | 16,391 | 202 |
* | PDC Energy Inc. | 3,249 | 195 |
* | Northern Oil and Gas Inc. | 10,843 | 183 |
* | Synergy Resources Corp. | 12,366 | 166 |
* | Matrix Service Co. | 5,115 | 144 |
Tesco Corp. | 6,213 | 132 | |
* | Penn Virginia Corp. | 7,059 | 106 |
* | Geospace Technologies Corp. | 2,543 | 105 |
* | Era Group Inc. | 3,665 | 94 |
* | Basic Energy Services Inc. | 3,592 | 87 |
Gulfmark Offshore Inc. | 2,038 | 82 | |
* | Paragon Offshore plc | 4,759 | 44 |
* | ION Geophysical Corp. | 9,824 | 34 |
* | PetroQuest Energy Inc. | 3,474 | 23 |
* | Forest Oil Corp. | 9,212 | 15 |
2,962 | |||
Financials (21.2%) | |||
* | Portfolio Recovery | ||
Associates Inc. | 9,682 | 550 | |
* | Texas Capital Bancshares Inc. | 8,329 | 450 |
MarketAxess Holdings Inc. | 7,296 | 430 | |
Bank of the Ozarks Inc. | 12,479 | 399 | |
Glacier Bancorp Inc. | 14,403 | 392 | |
PrivateBancorp Inc. | 12,939 | 382 | |
Financial Engines Inc. | 9,951 | 357 | |
MB Financial Inc. | 12,313 | 348 | |
First Financial | |||
Bankshares Inc. | 11,767 | 346 | |
Evercore Partners Inc. | |||
Class A | 6,740 | 345 | |
Tanger Factory Outlet | |||
Centers Inc. | 9,265 | 323 | |
* | First Cash Financial | ||
Services Inc. | 5,597 | 323 | |
Medical Properties Trust Inc. | 22,335 | 315 | |
Virtus Investment | |||
Partners Inc. | 1,364 | 305 | |
* | Stifel Financial Corp. | 6,355 | 304 |
Home BancShares Inc. | 9,191 | 273 | |
Retail Opportunity | |||
Investments Corp. | 16,889 | 268 | |
Sabra Health Care REIT Inc. | 9,135 | 260 | |
DiamondRock Hospitality Co. | 18,907 | 252 | |
First Midwest Bancorp Inc. | 14,545 | 245 | |
Pinnacle Financial | |||
Partners Inc. | 6,460 | 232 | |
BBCN Bancorp Inc. | 15,359 | 224 | |
Sovran Self Storage Inc. | 2,736 | 211 | |
Post Properties Inc. | 3,778 | 208 | |
UMB Financial Corp. | 3,570 | 206 | |
* | Encore Capital Group Inc. | 4,568 | 203 |
Market | |||
Value | |||
Shares | ($000) | ||
HFF Inc. Class A | 6,477 | 194 | |
Boston Private Financial | |||
Holdings Inc. | 15,452 | 188 | |
* | BofI Holding Inc. | 2,385 | 184 |
Columbia Banking | |||
System Inc. | 7,008 | 182 | |
EastGroup Properties Inc. | 2,727 | 177 | |
PS Business Parks Inc. | 1,986 | 162 | |
RLI Corp. | 3,396 | 152 | |
CoreSite Realty Corp. | 4,174 | 146 | |
Old National Bancorp | 11,111 | 146 | |
Lexington Realty Trust | 13,099 | 143 | |
CVB Financial Corp. | 8,943 | 139 | |
Greenhill & Co. Inc. | 2,779 | 136 | |
* | Forestar Group Inc. | 6,753 | 135 |
Employers Holdings Inc. | 6,077 | 130 | |
Wilshire Bancorp Inc. | 13,185 | 129 | |
United Community Banks Inc. | 7,564 | 128 | |
Community Bank System Inc. | 3,545 | 125 | |
American Assets Trust Inc. | 3,520 | 123 | |
Inland Real Estate Corp. | 11,199 | 117 | |
Parkway Properties Inc. | 5,601 | 116 | |
Oritani Financial Corp. | 7,619 | 114 | |
Acadia Realty Trust | 3,778 | 109 | |
LTC Properties Inc. | 2,562 | 105 | |
AMERISAFE Inc. | 2,495 | 94 | |
First Commonwealth | |||
Financial Corp. | 10,015 | 89 | |
National Penn | |||
Bancshares Inc. | 8,839 | 88 | |
Chesapeake Lodging Trust | 2,810 | 87 | |
* | eHealth Inc. | 3,432 | 84 |
HCI Group Inc. | 1,932 | 81 | |
Education Realty Trust Inc. | 7,386 | 80 | |
* | World Acceptance Corp. | 1,021 | 80 |
ViewPoint Financial | |||
Group Inc. | 2,848 | 74 | |
* | Investment Technology | ||
Group Inc. | 4,252 | 72 | |
Associated Estates | |||
Realty Corp. | 3,679 | 68 | |
* | CareTrust REIT Inc. | 3,829 | 67 |
Universal Health Realty | |||
Income Trust | 1,426 | 63 | |
City Holding Co. | 1,429 | 61 | |
Saul Centers Inc. | 1,213 | 61 | |
Universal Insurance | |||
Holdings Inc. | 4,220 | 59 | |
* | Green Dot Corp. Class A | 2,818 | 53 |
TrustCo Bank Corp. NY | 6,783 | 48 | |
Cardinal Financial Corp. | 2,600 | 47 | |
Urstadt Biddle Properties Inc. | |||
Class A | 1,739 | 37 | |
Bank Mutual Corp. | 5,198 | 34 | |
* | First BanCorp | 6,435 | 34 |
12,892 |
47
S&P Small-Cap 600 Growth Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Health Care (14.6%) | |||
West Pharmaceutical | |||
Services Inc. | 13,668 | 594 | |
* | Akorn Inc. | 13,869 | 541 |
* | Medidata Solutions Inc. | 9,835 | 458 |
* | Air Methods Corp. | 6,815 | 400 |
* | PAREXEL International Corp. | 6,380 | 360 |
* | MWI Veterinary Supply Inc. | 2,486 | 353 |
* | Prestige Brands Holdings Inc. | 10,022 | 347 |
* | Medicines Co. | 12,569 | 322 |
* | NuVasive Inc. | 9,009 | 316 |
* | Neogen Corp. | 7,089 | 298 |
* | Amsurg Corp. | 5,360 | 288 |
* | Cyberonics Inc. | 4,668 | 268 |
* | Acorda Therapeutics Inc. | 8,049 | 262 |
Cantel Medical Corp. | 6,475 | 236 | |
* | Masimo Corp. | 9,975 | 224 |
* | Lannett Co. Inc. | 5,429 | 214 |
* | Ligand Pharmaceuticals Inc. | 4,005 | 208 |
* | Omnicell Inc. | 7,070 | 199 |
* | ABIOMED Inc. | 6,861 | 179 |
* | MedAssets Inc. | 7,557 | 174 |
* | IPC The Hospitalist Co. Inc. | 3,307 | 160 |
* | Natus Medical Inc. | 5,584 | 157 |
* | Haemonetics Corp. | 4,220 | 151 |
* | Cambrex Corp. | 5,930 | 130 |
* | Greatbatch Inc. | 2,844 | 130 |
* | Depomed Inc. | 7,636 | 117 |
* | Repligen Corp. | 5,873 | 112 |
* | HealthStream Inc. | 4,005 | 104 |
* | Anika Therapeutics Inc. | 2,290 | 96 |
* | Integra LifeSciences | ||
Holdings Corp. | 1,888 | 94 | |
Abaxis Inc. | 1,921 | 92 | |
* | CorVel Corp. | 2,189 | 90 |
Ensign Group Inc. | 2,528 | 88 | |
* | Spectrum | ||
Pharmaceuticals Inc. | 10,667 | 86 | |
Meridian Bioscience Inc. | 4,346 | 85 | |
Analogic Corp. | 1,127 | 81 | |
Quality Systems Inc. | 4,512 | 71 | |
* | Luminex Corp. | 3,738 | 70 |
Computer Programs | |||
& Systems Inc. | 1,118 | 69 | |
* | Hanger Inc. | 2,933 | 66 |
* | Bio-Reference | ||
Laboratories Inc. | 2,055 | 60 | |
* | Affymetrix Inc. | 6,762 | 59 |
* | Albany Molecular | ||
Research Inc. | 2,848 | 56 | |
* | Cynosure Inc. Class A | 2,445 | 55 |
* | Emergent Biosolutions Inc. | 2,176 | 54 |
* | SurModics Inc. | 2,633 | 54 |
CryoLife Inc. | 4,895 | 49 | |
* | Momenta | ||
Pharmaceuticals Inc. | 4,135 | 49 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Sagent Pharmaceuticals Inc. | 1,612 | 45 |
* | Providence Service Corp. | 973 | 44 |
* | Gentiva Health Services Inc. | 2,142 | 39 |
Landauer Inc. | 851 | 31 | |
8,885 | |||
Industrials (14.3%) | |||
EnerSys | 9,075 | 584 | |
Hillenbrand Inc. | 12,147 | 406 | |
Toro Co. | 6,353 | 391 | |
* | Teledyne Technologies Inc. | 3,992 | 388 |
* | Moog Inc. Class A | 5,249 | 372 |
Allegiant Travel Co. Class A | 2,735 | 336 | |
Mobile Mini Inc. | 7,949 | 311 | |
* | On Assignment Inc. | 9,030 | 267 |
CIRCOR International Inc. | 3,412 | 243 | |
AZZ Inc. | 4,942 | 229 | |
* | Saia Inc. | 4,764 | 226 |
Healthcare Services | |||
Group Inc. | 7,602 | 208 | |
* | GenCorp Inc. | 11,261 | 208 |
Apogee Enterprises Inc. | 5,622 | 205 | |
* | Dycom Industries Inc. | 6,557 | 205 |
Barnes Group Inc. | 5,282 | 181 | |
Franklin Electric Co. Inc. | 4,759 | 181 | |
Federal Signal Corp. | 12,142 | 179 | |
Actuant Corp. Class A | 4,936 | 167 | |
* | DXP Enterprises Inc. | 2,056 | 165 |
* | Taser International Inc. | 10,429 | 163 |
Tennant Co. | 2,277 | 159 | |
* | WageWorks Inc. | 3,683 | 152 |
AAON Inc. | 8,083 | 151 | |
Watts Water Technologies | |||
Inc. Class A | 2,254 | 143 | |
* | Orbital Sciences Corp. | 5,278 | 141 |
* | TrueBlue Inc. | 5,182 | 141 |
Forward Air Corp. | 2,900 | 134 | |
* | EnPro Industries Inc. | 1,765 | 120 |
Knight Transportation Inc. | 4,695 | 119 | |
Exponent Inc. | 1,548 | 113 | |
UniFirst Corp. | 1,148 | 111 | |
Heartland Express Inc. | 4,744 | 111 | |
G&K Services Inc. Class A | 1,933 | 108 | |
Encore Wire Corp. | 2,455 | 104 | |
Simpson Manufacturing | |||
Co. Inc. | 2,945 | 95 | |
* | Navigant Consulting Inc. | 5,616 | 92 |
Lindsay Corp. | 1,170 | 91 | |
John Bean Technologies Corp. | 3,077 | 89 | |
ArcBest Corp. | 2,413 | 87 | |
Albany International Corp. | 2,192 | 82 | |
Brady Corp. Class A | 3,033 | 81 | |
Aceto Corp. | 4,184 | 80 | |
* | Roadrunner Transportation | ||
Systems Inc. | 3,192 | 80 | |
Interface Inc. Class A | 4,644 | 79 | |
* | PGT Inc. | 6,128 | 64 |
48
S&P Small-Cap 600 Growth Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
Comfort Systems USA Inc. | 4,086 | 62 | |
* | Lydall Inc. | 1,780 | 49 |
Powell Industries Inc. | 914 | 48 | |
* | American Woodmark Corp. | 1,221 | 48 |
* | Aerovironment Inc. | 1,493 | 47 |
American Science | |||
& Engineering Inc. | 519 | 30 | |
* | Veritiv Corp. | 612 | 27 |
Celadon Group Inc. | 1,004 | 21 | |
* | Vicor Corp. | 1,756 | 14 |
8,688 | |||
Information Technology (20.1%) | |||
* | Cognex Corp. | 15,956 | 670 |
* | Synaptics Inc. | 6,967 | 572 |
MAXIMUS Inc. | 13,093 | 539 | |
* | Tyler Technologies Inc. | 5,618 | 500 |
j2 Global Inc. | 8,646 | 462 | |
* | Manhattan Associates Inc. | 14,658 | 423 |
* | Electronics For Imaging Inc. | 9,010 | 397 |
* | Dealertrack Technologies Inc. | 8,498 | 380 |
Blackbaud Inc. | 8,924 | 347 | |
* | Cardtronics Inc. | 8,603 | 305 |
* | ViaSat Inc. | 5,196 | 296 |
* | Microsemi Corp. | 11,012 | 293 |
* | Synchronoss | ||
Technologies Inc. | 5,968 | 264 | |
* | GT Advanced | ||
Technologies Inc. | 14,762 | 263 | |
* | Measurement Specialties Inc. | 2,927 | 251 |
* | MicroStrategy Inc. Class A | 1,747 | 243 |
* | comScore Inc. | 6,229 | 239 |
Methode Electronics Inc. | 6,960 | 235 | |
Monotype Imaging | |||
Holdings Inc. | 7,636 | 224 | |
NIC Inc. | 11,591 | 217 | |
Power Integrations Inc. | 3,584 | 214 | |
* | iGATE Corp. | 5,679 | 213 |
MTS Systems Corp. | 2,925 | 208 | |
Littelfuse Inc. | 2,261 | 208 | |
* | FARO Technologies Inc. | 3,336 | 194 |
* | LogMeIn Inc. | 4,408 | 186 |
Heartland Payment | |||
Systems Inc. | 3,737 | 179 | |
* | Coherent Inc. | 2,704 | 174 |
Monolithic Power | |||
Systems Inc. | 3,605 | 172 | |
* | Virtusa Corp. | 5,023 | 171 |
* | NetScout Systems Inc. | 3,435 | 158 |
* | Advanced Energy | ||
Industries Inc. | 7,324 | 141 | |
* | Interactive Intelligence | ||
Group Inc. | 3,145 | 135 | |
* | Take-Two Interactive | ||
Software Inc. | 5,509 | 130 | |
* | Blucora Inc. | 8,184 | 128 |
Market | |||
Value | |||
Shares | ($000) | ||
* | CalAmp Corp. | 6,541 | 126 |
* | Harmonic Inc. | 18,353 | 121 |
* | Cirrus Logic Inc. | 4,926 | 119 |
* | Perficient Inc. | 6,692 | 115 |
* | OSI Systems Inc. | 1,634 | 114 |
CSG Systems | |||
International Inc. | 4,094 | 113 | |
Tessera Technologies Inc. | 3,821 | 113 | |
* | Rogers Corp. | 1,720 | 104 |
* | Progress Software Corp. | 4,377 | 101 |
* | Bottomline Technologies | ||
de Inc. | 3,569 | 100 | |
Daktronics Inc. | 7,432 | 98 | |
* | Stamps.com Inc. | 2,852 | 96 |
* | Sykes Enterprises Inc. | 3,936 | 82 |
* | Cabot Microelectronics Corp. | 1,915 | 82 |
* | ExlService Holdings Inc. | 2,736 | 75 |
CTS Corp. | 3,928 | 70 | |
Badger Meter Inc. | 1,314 | 68 | |
* | Newport Corp. | 3,319 | 63 |
Epiq Systems Inc. | 4,209 | 61 | |
* | XO Group Inc. | 4,796 | 56 |
* | LivePerson Inc. | 4,299 | 55 |
* | Ixia | 5,675 | 55 |
Forrester Research Inc. | 1,283 | 50 | |
* | Ultratech Inc. | 1,848 | 48 |
* | Exar Corp. | 4,781 | 48 |
* | TeleTech Holdings Inc. | 1,637 | 44 |
* | DTS Inc. | 1,742 | 42 |
* | Tangoe Inc. | 2,734 | 38 |
* | Dice Holdings Inc. | 4,363 | 37 |
* | Digital River Inc. | 2,258 | 34 |
* | Nanometrics Inc. | 1,612 | 27 |
* | Fabrinet | 1,581 | 26 |
* | CEVA Inc. | 1,335 | 20 |
* | Agilysys Inc. | 1,621 | 20 |
* | Procera Networks Inc. | 1,679 | 17 |
* | DSP Group Inc. | 1,866 | 17 |
* | Kopin Corp. | 4,016 | 16 |
* | Entropic Communications Inc. | 6,003 | 16 |
Electro Scientific | |||
Industries Inc. | 1,548 | 11 | |
* | QuinStreet Inc. | 1,792 | 9 |
12,238 | |||
Materials (5.8%) | |||
US Silica Holdings Inc. | 10,398 | 747 | |
* | KapStone Paper | ||
and Packaging Corp. | 15,577 | 479 | |
HB Fuller Co. | 9,689 | 456 | |
Balchem Corp. | 5,880 | 302 | |
* | Flotek Industries Inc. | 9,147 | 254 |
* | Stillwater Mining Co. | 8,556 | 159 |
* | SunCoke Energy Inc. | 6,351 | 153 |
* | Calgon Carbon Corp. | 5,571 | 118 |
Globe Specialty Metals Inc. | 5,654 | 116 |
49
S&P Small-Cap 600 Growth Index Fund
Market | |||
Value | |||
Shares | ($000) | ||
* | RTI International Metals Inc. | 3,686 | 107 |
Quaker Chemical Corp. | 1,358 | 106 | |
Schweitzer-Mauduit | |||
International Inc. | 2,419 | 104 | |
* | AK Steel Holding Corp. | 9,265 | 101 |
* | Headwaters Inc. | 7,396 | 96 |
American Vanguard Corp. | 4,844 | 65 | |
Deltic Timber Corp. | 910 | 60 | |
Myers Industries Inc. | 2,234 | 44 | |
FutureFuel Corp. | 2,619 | 36 | |
3,503 | |||
Telecommunication Services (0.5%) | |||
* | 8x8 Inc. | 15,949 | 124 |
Consolidated | |||
Communications | |||
Holdings Inc. | 3,043 | 74 | |
Lumos Networks Corp. | 3,482 | 51 | |
* | General Communication Inc. | ||
Class A | 3,300 | 37 | |
NTELOS Holdings Corp. | 1,115 | 15 | |
301 | |||
Utilities (0.2%) | |||
American States Water Co. | 3,079 | 99 | |
Total Investments (100.0%) | |||
(Cost $60,424) | 60,803 | ||
Other Assets and Liabilities (0.0%) | |||
Other Assets | 782 | ||
Liabilities | (770) | ||
12 | |||
ETF Shares—Net Assets (100%) | |||
Applicable to 600,000 outstanding | |||
$.001 par value shares of beneficial | |||
interest (unlimited authorization) | 60,815 | ||
Net Asset Value Per Share— | |||
ETF Shares | $101.36 |
At August 31, 2014, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 60,471 |
Undistributed Net Investment Income | 224 |
Accumulated Net Realized Losses | (259) |
Unrealized Appreciation (Depreciation) | 379 |
Net Assets | 60,815 |
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.
50
S&P Small-Cap 600 Growth Index Fund
Statement of Operations
Year Ended | |
August 31, 2014 | |
($000) | |
Investment Income | |
Income | |
Dividends | 438 |
Interest1 | 1 |
Total Income | 439 |
Expenses | |
The Vanguard Group—Note B | |
Management and Administrative | 57 |
Custodian Fees | 19 |
Auditing Fees | 21 |
Shareholders’ Reports | 4 |
Total Expenses | 101 |
Net Investment Income | 338 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 8,435 |
Futures Contracts | 2 |
Realized Net Gain (Loss) | 8,437 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | (3,644) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 5,131 |
1 Interest income from an affiliated company of the fund was $1,000. |
51
S&P Small-Cap 600 Growth Index Fund
Statement of Changes in Net Assets
Year Ended August 31, | ||
2014 | 2013 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 338 | 189 |
Realized Net Gain (Loss) | 8,437 | 1,457 |
Change in Unrealized Appreciation (Depreciation) | (3,644) | 2,459 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 5,131 | 4,105 |
Distributions | ||
Net Investment Income | ||
Institutional Shares | — | — |
ETF Shares | (239) | (163) |
Realized Capital Gain | ||
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (239) | (163) |
Capital Share Transactions | ||
Institutional Shares | (8) | (1) |
ETF Shares | 33,985 | 3,865 |
Net Increase (Decrease) from Capital Share Transactions | 33,977 | 3,864 |
Total Increase (Decrease) | 38,869 | 7,806 |
Net Assets | ||
Beginning of Period | 21,946 | 14,140 |
End of Period1 | 60,815 | 21,946 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $224,000 and $125,000. |
See accompanying Notes, which are an integral part of the Financial Statements
52
S&P Small-Cap 600 Growth Index Fund
Financial Highlights
ETF Shares | ||||
Sept. 7, | ||||
20101 to | ||||
Year Ended August 31, | Aug. 31, | |||
For a Share Outstanding Throughout Each Period | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $87.79 | $70.70 | $61.18 | $49.82 |
Investment Operations | ||||
Net Investment Income | . 668 2 | .822 | .5312 | .422 |
Net Realized and Unrealized Gain (Loss) on Investments | 13.432 | 17.083 | 9.326 | 11.248 |
Total from Investment Operations | 14.100 | 17.905 | 9.857 | 11.670 |
Distributions | ||||
Dividends from Net Investment Income | (.530) | (.815) | (.337) | (.310) |
Distributions from Realized Capital Gains | — | — | — | — |
Total Distributions | (.530) | (.815) | (.337) | (.310) |
Net Asset Value, End of Period | $101.36 | $87.79 | $70.70 | $61.18 |
Total Return | 16.07% | 25.59% | 16.17% | 23.41% |
Ratios/Supplemental Data | ||||
Net Assets, End of Period (Millions) | $61 | $22 | $14 | $28 |
Ratio of Total Expenses to Average Net Assets | 0.20% | 0.20% | 0.20% | 0.20%3 |
Ratio of Net Investment Income to Average Net Assets | 0.66% | 1.03% | 0.83% | 0.78%3 |
Portfolio Turnover Rate 4 | 44% | 39% | 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
53
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 issued and redeemed during the fiscal year ended August 31, 2014. As of August 31, 2014, there were no investors in the Institutional share class. 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. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
54
S&P Small-Cap 600 Growth Index Fund
During the year ended August 31, 2014, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period. The fund had no open futures contracts at August 31, 2014.
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, 2011–2014), 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. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $2.89 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at August 31, 2014, or at any time during the period then ended.
6. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. 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 based on 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, 2014, the fund had contributed capital $6,000 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, 2014, 100% of the market value of the fund’s investments was determined based on Level 1 inputs.
55
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, 2014, the fund realized $7,797,000 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, 2014, the fund had $235,000 of ordinary income available for distribution. The fund used capital loss carryforwards of $649,000 to offset taxable capital gains realized during the year ended August 31, 2014. At August 31, 2014, the fund had available capital losses totaling $261,000 that may be carried forward indefinitely to offset future net capital gains.
At August 31, 2014, the cost of investment securities for tax purposes was $60,433,000. Net unrealized appreciation of investment securities for tax purposes was $370,000, consisting of unrealized gains of $4,027,000 on securities that had risen in value since their purchase and $3,657,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the year ended August 31, 2014, the fund purchased $122,012,000 of investment securities and sold $87,926,000 of investment securities, other than temporary cash investments. Purchases and sales include $100,236,000 and $65,260,000, 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 August 31, | |||||
2014 | 2013 | ||||
Amount | Shares | Amount | Shares | ||
($000) | (000) | ($000) | (000) | ||
Institutional Shares1 | |||||
Issued | 658 | 3 | 510 | 3 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (666) | (3) | (511) | (3) | |
Net Increase (Decrease) —Institutional Shares | (8) | — | (1) | — | |
ETF Shares | |||||
Issued | 99,669 | 1,000 | 11,428 | 150 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (65,684) | (650) | (7,563) | (100) | |
Net Increase (Decrease) —ETF Shares | 33,985 | 350 | 3,865 | 50 | |
1 Institutional Shares were issued and redeemed during 2013 and 2014. As of August 31, 2014, there were no investors in the Institutional share class. | |||||
G. Management has determined that no material events or transactions occurred subsequent to August 31, 2014, that would require recognition or disclosure in these financial statements.
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Report of Independent Registered
Public Accounting Firm
To the Board of 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, 2014, and 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 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, 2014 by correspondence with the custodian and broker and by agreement to the underlying ownership records of the transfer agent, provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 15, 2014
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Special 2014 tax information (unaudited) for Vanguard S&P Small-Cap 600 Index Funds |
This information for the fiscal year ended August 31, 2014, is included pursuant to provisions of the Internal Revenue Code.
The funds distributed qualified dividend income to shareholders during the fiscal year as follows:
Fund | ($000) |
S&P Small-Cap 600 Index Fund | 2,166 |
S&P Small-Cap 600 Value Index Fund | 453 |
S&P Small-Cap 600 Growth Index Fund | 188 |
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 | 82.6% |
S&P Small-Cap 600 Value Index Fund | 81.7 |
S&P Small-Cap 600 Growth Index Fund | 97.9 |
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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 2014. (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, 2014 | ||
Since | ||
One | Inception | |
Year | (9/7/2010) | |
S&P Small-Cap 600 Index Fund ETF Shares | ||
Returns Before Taxes | 18.47% | 20.18% |
Returns After Taxes on Distributions | 18.19 | 19.95 |
Returns After Taxes on Distributions and Sale of Fund Shares | 10.60 | 16.23 |
Since | ||
One | Inception | |
Year | (9/7/2010) | |
S&P Small-Cap 600 Value Index Fund ETF Shares | ||
Returns Before Taxes | 20.64% | 20.00% |
Returns After Taxes on Distributions | 20.35 | 19.76 |
Returns After Taxes on Distributions and Sale of Fund Shares | 11.85 | 16.09 |
Since | ||
One | Inception | |
Year | (9/7/2010) | |
S&P Small-Cap 600 Growth Index Fund ETF Shares | ||
Returns Before Taxes | 16.07% | 20.34% |
Returns After Taxes on Distributions | 15.90 | 20.19 |
Returns After Taxes on Distributions and Sale of Fund Shares | 9.19 | 16.40 |
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About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
60
Six Months Ended August 31, 2014 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
2/28/2014 | 8/31/2014 | Period | |
Based on Actual Fund Return | |||
S&P Small-Cap 600 Index Fund | |||
Institutional Shares | $1,000.00 | $1,012.67 | $0.41 |
ETF Shares | 1,000.00 | 1,012.37 | 0.76 |
S&P Small-Cap 600 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,026.67 | $1.02 |
S&P Small-Cap 600 Growth Index Fund | |||
ETF Shares | $1,000.00 | $996.26 | $1.01 |
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. | |||
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Trustees Approve Advisory Arrangements
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 each fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard). Vanguard’s Equity Investment Group—through its Equity Index Group—serves as investment advisor for each fund. The board determined that continuing each fund’s internalized management structure was in the best interest of each fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangements. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board considered the quality of each fund’s 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 Index Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of each advisory arrangement.
Investment performance
The board considered the funds’ performance since their inception, including any periods of outperformance or underperformance relative to a target index and peer group. The board concluded that the performance was such that each advisory arrangement should continue. Information about the funds’ most recent performance can be found 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 each fund’s advisory fee rate was also well below its peer group average. Information about the funds’ expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements sections.
The board does not conduct a profitability analysis of Vanguard, because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that each fund’s at-cost arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangements again after a one-year period.
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Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
Dividend Yield. Dividend income earned by stocks, expressed as a percentage of the aggregate market value (or of net asset value, for a fund). The yield is determined by dividing the amount of the annual dividends by the aggregate value (or net asset value) at the end of the period. For a fund, the dividend yield is based solely on stock holdings and does not include any income produced by other investments.
Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund.
Equity Exposure. A measure that reflects a fund’s investments in stocks and stock futures. Any holdings in short-term reserves are excluded.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Foreign Holdings. The percentage of a fund represented by securities or depositary receipts of companies based outside the United States.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it.
Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds.
63
Price/Earnings Ratio. The ratio of a stock’s current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company’s future growth.
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
Return on Equity. The annual average rate of return generated by a company during the past five years for each dollar of shareholder’s equity (net income divided by shareholder’s equity). For a fund, the weighted average return on equity for the companies whose stocks it holds.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Turnover Rate. An indication of the fund’s trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors). The turnover rate excludes in-kind transactions, which have minimal impact on costs.
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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 177 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. | |
F. William McNabb III | |
Born 1957. Trustee Since July 2009. Chairman of the | Amy Gutmann |
Board. Principal Occupation(s) During the Past Five | Born 1949. Trustee Since June 2006. Principal |
Years: Chairman of the Board of The Vanguard Group, | Occupation(s) During the Past Five Years: President of |
Inc., and of each of the investment companies served | the University of Pennsylvania; Christopher H. Browne |
by The Vanguard Group, since January 2010; Director | Distinguished Professor of Political Science, School of |
of The Vanguard Group since 2008; Chief Executive | Arts and Sciences, and Professor of Communication, |
Officer and President of The Vanguard Group, and of | Annenberg School for Communication, with secondary |
each of the investment companies served by The | faculty appointments in the Department of Philosophy, |
Vanguard Group, since 2008; Director of Vanguard | School of Arts and Sciences, and at the Graduate |
Marketing Corporation; Managing Director of The | School of Education, University of Pennsylvania; |
Vanguard Group (1995–2008). | Trustee of the National Constitution Center; Chair |
of the Presidential Commission for the Study of | |
Independent Trustees | 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 2009–2010 | (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); Chairman of the Board |
and President (2006–2008) of Rohm and Haas Co. | of Hillenbrand, Inc. (specialized consumer services), |
(chemicals); Director of Tyco International, Ltd. | and of Oxfam America; Director of SKF AB (industrial |
(diversified manufacturing and services), Hewlett- | machinery), Hyster-Yale Materials Handling, Inc. |
Packard Co. (electronic computer manufacturing), | (forklift trucks), the Lumina Foundation for Education, |
and the V Foundation for Cancer Research; Member | Executive Officers | |
of the Advisory Council for the College of Arts and | ||
Letters and of the Advisory Board to the Kellogg | Glenn Booraem | |
Institute for International Studies, both at the | Born 1967. Controller Since July 2010. Principal | |
University of Notre Dame. | Occupation(s) During the Past Five Years: Principal | |
of The Vanguard Group, Inc.; Controller of each of | ||
Mark Loughridge | the investment companies served by The Vanguard | |
Born 1953. Trustee Since March 2012. Principal | Group; Assistant Controller of each of the investment | |
Occupation(s) During the Past Five Years: Senior Vice | companies served by The Vanguard Group (2001–2010). | |
President and Chief Financial Officer (retired 2013) | ||
at IBM (information technology services); Fiduciary | Thomas J. Higgins | |
Member of IBM’s Retirement Plan Committee (2004– | Born 1957. Chief Financial Officer Since September | |
2013); Member of the Council on Chicago Booth. | 2008. Principal Occupation(s) During the Past Five | |
Years: Principal of The Vanguard Group, Inc.; Chief | ||
Scott C. Malpass | Financial Officer of each of the investment companies | |
Born 1962. Trustee Since March 2012. Principal | served by The Vanguard Group; Treasurer of each of | |
Occupation(s) During the Past Five Years: Chief | the investment companies served by The Vanguard | |
Investment Officer and Vice President at the University | Group (1998–2008). | |
of Notre Dame; Assistant Professor of Finance at the | ||
Mendoza College of Business at Notre Dame; Member | Kathryn J. Hyatt | |
of the Notre Dame 403(b) Investment Committee; | Born 1955. Treasurer Since November 2008. Principal | |
Board Member of TIFF Advisory Services, Inc. | Occupation(s) During the Past Five Years: Principal of | |
(investment advisor); Member of the Investment | The Vanguard Group, Inc.; Treasurer of each of the | |
Advisory Committees of the Financial Industry | investment companies served by The Vanguard | |
Regulatory Authority (FINRA) and of Major League | Group; Assistant Treasurer of each of the investment | |
Baseball. | companies served by The Vanguard Group (1988–2008). | |
André F. Perold | Heidi Stam | |
Born 1952. Trustee Since December 2004. Principal | Born 1956. Secretary Since July 2005. Principal | |
Occupation(s) During the Past Five Years: George | Occupation(s) During the Past Five Years: Managing | |
Gund Professor of Finance and Banking, Emeritus | Director of The Vanguard Group, Inc.; General Counsel | |
at the Harvard Business School (retired 2011); | of The Vanguard Group; Secretary of The Vanguard | |
Chief Investment Officer and Managing Partner of | Group and of each of the investment companies | |
HighVista Strategies LLC (private investment firm); | served by The Vanguard Group; Director and Senior | |
Director of Rand Merchant Bank; Overseer of the | Vice President of Vanguard Marketing Corporation. | |
Museum of Fine Arts Boston. | ||
Vanguard Senior ManagementTeam | ||
Alfred M. Rankin, Jr. | ||
Born 1941. Trustee Since January 1993. Principal | Mortimer J. Buckley | Chris D. McIsaac |
Occupation(s) During the Past Five Years: Chairman, | Kathleen C. Gubanich | Michael S. Miller |
President, and Chief Executive Officer of NACCO | Paul A. Heller | James M. Norris |
Industries, Inc. (housewares/lignite), and of Hyster- | Martha G. King | Glenn W. Reed |
Yale Materials Handling, Inc. (forklift trucks); Chairman | John T. Marcante | |
of the Board of University Hospitals of Cleveland. | ||
Peter F. Volanakis | Chairman Emeritus and Senior Advisor | |
Born 1955. Trustee Since July 2009. Principal | ||
Occupation(s) During the Past Five Years: President | John J. Brennan | |
and Chief Operating Officer (retired 2010) of Corning | Chairman, 1996–2009 | |
Incorporated (communications equipment); Trustee of | Chief Executive Officer and President, 1996–2008 | |
Colby-Sawyer College; Member of the Advisory Board | ||
of the Norris Cotton Cancer Center and of the Advisory | Founder | |
Board of the Parthenon Group (strategy consulting). | ||
John C. Bogle | ||
Chairman and Chief Executive Officer, 1974–1996 | ||
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
P.O. Box 2600 | |
Valley Forge, PA 19482-2600 | |
Connect with Vanguard® > vanguard.com | |
Fund Information > 800-662-7447 | S&P® and S&P 500® are registered trademarks of |
Direct Investor Account Services > 800-662-2739 | Standard & Poor’s Financial Services LLC (“S&P”) and |
have been licensed for use by S&P Dow Jones Indices | |
Institutional Investor Services > 800-523-1036 | LLC and its affiliates and sublicensed for certain |
Text Telephone for People | purposes by Vanguard. The S&P Index is a product of |
With Hearing Impairment > 800-749-7273 | S&P Dow Jones Indices LLC and has been licensed for |
use by Vanguard. The Vanguard funds are not | |
This material may be used in conjunction | sponsored, endorsed, sold, or promoted by S&P Dow |
with the offering of shares of any Vanguard | Jones Indices LLC, Dow Jones, S&P, or their respective |
fund only if preceded or accompanied by | affiliates, and none of S&P Dow Jones Indices LLC, |
the fund’s current prospectus. | Dow Jones, S&P, nor their respective affiliates makes |
any representation regarding the advisability of | |
All comparative mutual fund data are from Lipper, a | investing in such products. |
Thomson Reuters Company, or Morningstar, Inc., unless | |
otherwise noted. | |
You can obtain a free copy of Vanguard’s proxy voting | |
guidelines by visiting vanguard.com/proxyreporting or by | |
calling Vanguard at 800-662-2739. The guidelines are | |
also available from the SEC’s website, sec.gov. In | |
addition, you may obtain a free report on how your fund | |
voted the proxies for securities it owned during the 12 | |
months ended June 30. To get the report, visit either | |
vanguard.com/proxyreporting or sec.gov. | |
You can review and copy information about your fund at | |
the SEC’s Public Reference Room in Washington, D.C. To | |
find out more about this public service, call the SEC at | |
202-551-8090. Information about your fund is also | |
available on the SEC’s website, and you can receive | |
copies of this information, for a fee, by sending a | |
request in either of two ways: via 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. | |
© 2014 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q18450 102014 |
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, 2014: $212,000 Fiscal Year Ended August 31, 2013: $201,000
Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.
Fiscal Year Ended August 31, 2014: $6,605,127
Fiscal Year Ended August 31, 2013: $5,714,113
Includes fees billed in connection with audits of the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc. and Vanguard Marketing Corporation.
(b) Audit-Related Fees.
Fiscal Year Ended August 31, 2014: $2,176,479
Fiscal Year Ended August 31, 2013: $1,552,950
Includes fees billed in connection with assurance and related services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(c) Tax Fees.
Fiscal Year Ended August 31, 2014: $316,869
Fiscal Year Ended August 31, 2013: $110,000
Includes fees billed in connection with tax compliance, planning, and advice services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(d) All Other Fees.
Fiscal Year Ended August 31, 2014: $198,163
Fiscal Year Ended August 31, 2013: $132,000
Includes fees billed for services related to tax reported information provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(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: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant. 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: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., or other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant.
(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, 2014: $515,032
Fiscal Year Ended August 31, 2013: $242,000
Includes fees billed for non-audit services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(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 22, 2014
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 22, 2014
| |
VANGUARD ADMIRAL FUNDS | |
BY: | /s/ THOMAS J. HIGGINS* |
THOMAS J. HIGGINS | |
CHIEF FINANCIAL OFFICER | |
Date: October 22, 2014 |
* By: /s/ Heidi Stam
Heidi Stam, pursuant to a Power of Attorney filed on April 22, 2014 see file Number
2-17620, Incorporated by Reference.