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, 2015 – February 29, 2016 | ||
Item 1: Reports to Shareholders |
Semiannual Report | February 29, 2016
Vanguard Money Market Funds
Vanguard Prime Money Market Fund
Vanguard Federal Money Market Fund
Vanguard Treasury Money Market Fund
Vanguard’s Principles for Investing Success
We want to give you the best chance of investment success. These principles, grounded in Vanguard’s research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds. Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
Advisor’s Report. | 8 |
Prime Money Market Fund. | 11 |
Federal Money Market Fund. | 30 |
Treasury Money Market Fund. | 41 |
About Your Fund’s Expenses. | 50 |
Glossary. | 52 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice.
Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the
risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: Pictured is a sailing block on the Brilliant, a 1932 schooner docked in Mystic, Connecticut. A type of pulley, the
sailing block helps coordinate the setting of the sails. At Vanguard, the intricate coordination of technology and people allows
us to help millions of clients around the world reach their financial goals.
Your Fund’s Total Returns
Six Months Ended February 29, 2016 | ||
7-Day | Total | |
SEC Yield | Returns | |
Vanguard Prime Money Market Fund | ||
Investor Shares | 0.40% | 0.10% |
Money Market Funds Average | 0.00 | |
Admiral™ Shares | 0.46% | 0.13% |
Institutional Money Market Funds Average | 0.04 | |
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 | 0.30% | 0.07% |
Government Money Market Funds Average | 0.00 | |
Government Money Market Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||
Vanguard Treasury Money Market Fund | 0.25% | 0.05% |
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. | ||
Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements. |
1
Chairman’s Letter
Dear Shareholder,
Ending months of uncertainty, the Federal Reserve in mid-December increased its target for short-term interest rates to 0.25%–0.5%—the first time the target has been above the near-zero threshold since 2008. Although rates are still exceptionally low by historical standards, the increase marked a start toward normalizing monetary policy.
Over the six months ended February 29, 2016, returns for money market and savings accounts reflected the muted rate levels that persisted through much of the period. Still, yields rose somewhat in anticipation of December’s increase and, later, as a result of it. Vanguard Prime Money Market Fund returned 0.10% for Investor Shares and 0.13% for Admiral Shares, which have a lower expense ratio. Vanguard Federal Money Market Fund returned 0.07% and Vanguard Treasury Money Market Fund 0.05%.
These slight returns were nevertheless ahead of the average result for competing money market funds, and we adhered to our mandate to invest in securities of very high credit quality.
Please note that as of December 14, the Treasury Money Market Fund’s name was changed from the Admiral Treasury Money Market Fund, and Institutional Shares of the Prime Money Market Fund were reclassified as Admiral Shares. Also, the Treasury Money Market Fund reopened
2
to all investors effective January 20, joining the Federal Money Market Fund, which reopened last June.
As you may recall, the Securities and Exchange Commission in 2014 adopted new money market fund regulations that fund sponsors must comply with by October 2016. As U.S. government money market funds, the Treasury Money Market Fund and the Federal Money Market Fund will continue to maintain a share price of $1. Moreover, they will not be subject to new liquidity fee or redemption gate requirements.
The Prime Money Market Fund will be designated a retail fund, meaning that individual investors will continue to have access to this fund at a share price of $1.
Please see the fund’s prospectus for information on fees and gates that apply to retail money market funds.
Bonds registered gains as investors cut their risk
The broad U.S. taxable bond market returned 2.20% over the fiscal half year. Most of the gains came in January and February as investors sought safe-haven assets amid stock market turmoil. The yield of the 10-year U.S. Treasury note closed at 1.74% in February, down from 2.18% six months earlier. (Bond prices and yields move in opposite directions.)
International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned 3.13%. Bonds globally have been buoyed by negative interest
Market Barometer | |||
Total Returns | |||
Periods Ended February 29, 2016 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable | |||
market) | 2.20% | 1.50% | 3.60% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 3.62 | 3.95 | 5.45 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.04 | 0.06 | 0.04 |
Stocks | |||
Russell 1000 Index (Large-caps) | -2.03% | -7.21% | 9.92% |
Russell 2000 Index (Small-caps) | -10.16 | -14.97 | 6.11 |
Russell 3000 Index (Broad U.S. market) | -2.68 | -7.84 | 9.61 |
FTSE All-World ex US Index (International) | -9.12 | -16.79 | -0.89 |
CPI | |||
Consumer Price Index | -0.51% | 1.02% | 1.39% |
3
rates. As central banks in Europe and Asia boosted stimulus efforts to battle weak growth and low inflation, the European Central Bank in December cut a key rate further into negative territory, and the Bank of Japan in late January adopted a negative-rate policy.
Stocks mostly slumped over the fiscal half year
U.S. stocks returned about –3%. Results were negative in four of the six months. Only October’s return of about 8% prevented an even weaker performance for the half year.
Fears that China’s economic slowdown would spread globally weighed on results. Oil and commodity prices, which declined through most of the period before showing some resiliency in February, also concerned investors.
International stocks returned about –9%, a result that would have been less severe if not for the U.S. dollar’s strength against many foreign currencies. European stocks were among the worst performers.
The funds were prepared for the Fed to raise rates
The Fed’s strategy to normalize monetary policy hinges on the health of the U.S. economy, which generally fared better over the six months than many of its international counterparts. Although corporate earnings weren’t particularly impressive and stock markets were volatile at times, the economy expanded and
Expense Ratios | ||
Your Fund Compared With Its Peer Group | ||
Peer Group | ||
Fund | Average | |
Prime Money Market Fund | ||
Investor Shares | 0.16% | 0.17% |
Admiral Shares | 0.10 | 0.18 |
Federal Money Market Fund | 0.11 | 0.08 |
Treasury Money Market Fund | 0.09 | 0.06 |
The fund expense ratios shown are from the prospectus dated December 14, 2015, and represent estimated costs for the current fiscal year.
For the six months ended February 29, 2016, the funds’ annualized expense ratios were: for the Prime Money Market Fund, 0.16% for
Investor Shares and 0.10% for Admiral Shares; for the Federal Money Market Fund, 0.11%; for the Treasury Money Market Fund, 0.09%.
Peer groups: For the Prime Money Market Fund Investor Shares, Money Market Funds; and for the Admiral Shares, Institutional Money
Market Funds; for the Federal Money Market Fund, Government Money Market Funds; and for the Treasury Money Market Fund; iMoneyNet
Money Fund Report’s 100% Treasury Fund.
4
labor markets improved. Vanguard Chief Economist Joe Davis expects short-term interest rates to rise further in 2016.
The Vanguard Money Market Funds were well-prepared to benefit from the Fed’s initial increase. In anticipation of it, the funds’ advisor, Vanguard Fixed Income Group, repositioned the portfolios by shortening their weighted average maturity and increasing exposure to floating-rate securities. These moves allowed the funds to reflect the higher yields more quickly.
Vanguard’s low expense ratios proved to be a significant advantage for all three funds, ensuring that we don’t have to take unreasonable risks to reach for yield. With the Prime Money Market Fund, we’re able to invest in higher-quality debt and avoid exposure to the debt of financially unstable countries, as well as limit exposure to volatile industry sectors.
At the period’s end, the Prime Money Market Fund held nearly 50% of its assets in Yankee/foreign issues. These securities are denominated in U.S. dollars to eliminate currency risk, are from highly rated foreign issuers, and do not include financial paper from Greece or other economically troubled countries in southern Europe.
U.S. government securities are the focus of the Treasury Money Market Fund and the Federal Money Market Fund and also constitute a significant portion of the Prime Money Market Fund. U.S. Treasury securities are backed by the full faith and credit of the United States and are
Changes in Yields | |||
7-Day SEC Yield | |||
February 29, | August 31, | February 28, | |
Money Market Fund | 2016 | 2015 | 2015 |
Prime | |||
Investor Shares | 0.40% | 0.06% | 0.01% |
Admiral Shares | 0.46 | 0.12 | 0.07 |
Federal | 0.30 | 0.02 | 0.01 |
Treasury | 0.25 | 0.01 | 0.01 |
5
considered a safe haven when investors are most concerned about the economy or financial markets. The Federal Money Market Fund holds federal agency securities, which maintain nearly the same credit quality as securities issued by the U.S. government.
Yield is important to the funds’ managers and to investors seeking income, but safety and liquidity are the top priorities. Our credit analysts, together with our portfolio managers and traders in the Fixed Income Group, operate under a framework in which avoiding risk and maintaining liquidity are paramount.
Vanguard’s growth translates into lower costs for you |
Research indicates that lower-cost investments have tended to outperform higher-cost ones. |
So it’s little wonder that funds with lower expense ratios—including those at Vanguard—have |
dominated the industry’s cash inflows in recent years. |
Vanguard has long been a low-cost leader, with expenses well below those of many other |
investment management companies. That cost difference remains a powerful advantage for |
Vanguard clients. Why? Because a lower expense ratio allows a fund to pass along a greater |
share of its returns to its investors. |
What’s more, as you can see in the chart below, we’ve been able to lower our costs continually |
as our assets under management have grown. Our steady growth has not been an explicit |
business objective. Rather, we focus on putting our clients’ interests first at all times, and |
giving them the best chance for investment success. But economies of scale—the cost |
efficiencies that come with our growth—have allowed us to keep lowering our fund costs, |
even as we invest in our people and technology. |
The benefit of economies of scale |
Note: Data are for U.S.-based Vanguard funds only. |
Source: Vanguard. |
6
For more information about the advisor’s strategies and the funds’ positioning during the period, please see the Advisor’s Report that follows this letter.
Doing what’s best for clients: That’s how we were built
It’s hard for me to believe, but this year will be my 30th with Vanguard. I knew little about the company when I started in June 1986, but I soon learned what makes Vanguard unique.
Simply put, we’re built differently.
We don’t have stockholders or outside owners. Instead, Vanguard is owned by its funds, which in turn are owned by you—Vanguard clients.
This structure matters because it ensures that our interests are completely aligned with those of our clients. We never have to weigh what’s best for clients against what’s best for the company’s owners; their interests are one and the same. Our client-owned structure is what allows us to run our funds at cost, and it’s why Vanguard’s expense ratios remain among the lowest in the industry. (For more on this, see the insight box on page 6.)
At the same time, we continually dedicate resources to enhance Vanguard’s service and investment capabilities. We aspire to provide the highest possible quality at the lowest possible price. That was true 30 years ago, it’s true today, and it will remain our focus for decades to come. After all, we’re built to put the long-term interests of our clients first.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
March 10, 2016
7
Advisor’s Report
With the Federal Reserve’s intentions well-telegraphed in advance, money market rates began to rise even before the Fed’s first interest rate increase in almost a decade came in mid-December. The hike was a welcome development for money market investors who in recent years have used these high-quality, very liquid investments for their short-term savings goals or cash management needs without earning much income from them.
For the six months ended February 29, 2016, Investor Shares of Vanguard Prime Money Market Fund returned 0.10%, while Admiral Shares, with their lower expense ratio, returned 0.13%. Those results were better than the 0.00% average return of its peer group. Vanguard Federal Money Market Fund returned 0.07%, and Vanguard Treasury Money Market Fund 0.05%, exceeding their 0.00% peer average returns.
The investment environment
The Fed held off on raising rates in September, citing in part “recent global economic and financial developments.” Among them, China’s economic growth slowed amid further weakness in investment spending and manufacturing. That slide was accompanied by erratic currency movements as well as sharp corrections in mainland China stock markets despite government intervention aimed at stabilizing the situation.
Growth also remained fragile in Japan, where consumer sentiment was downbeat and exports tepid. And in Europe, fears of deflation were hard to shake off given the weak euro and the slump in oil prices.
Many central banks responded to weak growth and worryingly low inflation with more monetary easing over the half year. The People’s Bank of China cut interest rates, the Bank of Japan introduced negative rates on deposits, and the European Central Bank lowered its already negative deposit rate. Japan and Europe also maintained their stimulative bond-buying programs.
In contrast, the U.S. economy continued to show improvement. Although exports softened a little and inflation stayed below target, the housing market remained on the mend, wages ticked higher, and the unemployment rate fell to an eight-year low of 4.9% by the end of the period.
Yields of most U.S. Treasury securities headed lower amid demand from international investors, along with concerns about global growth, deflationary pressures, and stock market volatility. Yields of very short-term Treasuries and money market instruments, however, finished the period higher in response to the Fed’s less accommodative monetary stance.
8
Management of the funds
As a December rate increase looked more likely, we made some adjustments to the three funds, including shortening their weighted average maturity. Doing so meant we received principal from maturing securities sooner, and we were then able to reinvest it at higher rates. The resulting rise in yields for the funds, along with their low expense ratios, accounted for a sizable part of their outperformance versus their peer groups.
Another strength for the Prime and Federal Money Market Funds was our added exposure to Treasuries ahead of the increase. Those securities were quick to price in the growing likelihood of the Fed action. More supply coming onto the market was a factor as well in the rise seen in their yields.
We increased the Prime Money Market Fund’s exposure to floating-rate notes. Their yields fluctuate with interest rate movements, in this case allowing the fund’s yield to adjust upward more quickly than if it had been holding only fixed-rate instruments.
For diversification purposes, the Prime Money Market Fund continued to hold debt issued by Canadian and Australian banks. After a third bailout eased Greece’s debt crisis, we gradually added back some exposure to U.K. and northern European banks, which provided value for the fund.
We also have a small position in Japanese banks, given the improvement in their fundamentals.
We have made some changes to our funds ahead of the October 2016 compliance date for new Securities and Exchange Commission money market regulations. Importantly, all three funds will continue to maintain a stable $1 share price. The Prime Money Market Fund has been designated a retail fund that will be open to individual investors. The Treasury and Federal Money Market Funds have been designated government funds, which means they will be open to all investors and not subject to liquidity fee or redemption gate requirements. (The Treasury Money Market Fund reopened in January to new investors.)
The outlook
Our outlook hasn’t changed much over the past six months. Global growth is likely to remain frustratingly fragile. Although the U.S. economy expanded by 2.4% in 2015 on an inflation-adjusted basis, we expect it will slow to about 2% in 2016. Capital investment in the energy sector is likely to remain low, and manufacturing, which is feeling a drag from the strong U.S. dollar and weak demand from abroad, may slow even further. On the other side of the ledger, we should see continued improvements in housing, the services sector, and the labor market.
9
The Fed’s rate move was positive for savers and our money market funds. Further increases, however, are likely to be slow and gradual given that the pace of growth remains modest and that inflation is still below the Fed’s target. We wouldn’t be surprised if the federal funds target rate doesn’t break 1% by the end of 2016. The lack of certainty about the timing of further Fed action may well add to market volatility.
Heading into the second half of the fiscal year, the funds’ average maturities are a little longer than they were six months ago. In the absence of further rate increases in the near term, that positioning should allow us to capture the higher yields on offer from securities with longer maturities.
As always, whatever the markets may bring, our experienced team of portfolio managers, traders, and credit analysts will continue to seek out opportunities to produce competitive returns.
David R. Glocke, Principal
Vanguard Fixed Income Group
March 16, 2016
10
Prime Money Market Fund
Fund Profile
As of February 29, 2016
Financial Attributes | ||
Investor | Admiral | |
Shares | Shares | |
Ticker Symbol | VMMXX | VMRXX |
Expense Ratio1 | 0.16% | 0.10% |
7-Day SEC Yield | 0.40% | 0.46% |
Average Weighted | ||
Maturity | 56 days | 56 days |
Sector Diversification (% of portfolio) | |
Certificates of Deposit | 10.1% |
U.S. Commercial Paper | 5.5 |
Other | 1.6 |
Repurchase Agreements | 0.2 |
U.S. Government Obligations | 13.7 |
U.S. Treasury Bills | 20.7 |
Yankee/Foreign | 48.2 |
The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are
generally not backed by the full faith and credit of the U.S. government.
Distribution by Credit Quality (% of portfolio) | |
First Tier | 100.0% |
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 Moody's,
Fitch, and S&P. For securities rated by all three agencies, where two of them are in agreement and assign the highest rating
category, the highest rating applies. If a security is only rated by two agencies, and their ratings are in different categories, the
lower of the ratings applies. 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 14, 2015, and represent estimated costs for the current fiscal year. For the six
months ended February 29, 2016, the annualized expense ratios were 0.16% for Investor Shares and 0.10% for Admiral Shares.
11
Prime Money Market Fund
Performance Summary
Investment returns will fluctuate. All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) The returns shown do not reflect taxes that a shareholder would pay on fund distributions. An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the fund seeks to preserve the value of your investment at $1 per share, it is possible to lose money by investing in the fund. The fund’s 7-day SEC yield reflects its current earnings more closely than do the average annual returns.
Fiscal-Year Total Returns (%): August 31, 2005, Through February 29, 2016 | ||
Money | ||
Market | ||
Funds | ||
Investor Shares | Average | |
Fiscal Year | Total Returns | Total Returns |
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 |
2015 | 0.02 | 0.00 |
2016 | 0.10 | 0.00 |
7-day SEC yield (2/29/2016): 0.40% | ||
Money Market Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||
Note: For 2016, performance data reflect the six months ended February 29, 2016. |
Average Annual Total Returns: Periods Ended December 31, 2015
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Investor Shares | 6/4/1975 | 0.05% | 0.03% | 1.34% |
Admiral Shares | 10/3/1989 | 0.11 | 0.09 | 1.44 |
See Financial Highlights for dividend information.
12
Prime Money Market Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 29, 2016
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 (37.2%) | |||||
2 | Fannie Mae Discount Notes | 0.200% | 3/1/16 | 4,100 | 4,100 |
3 | Federal Home Loan Bank Discount Notes | 0.200% | 3/1/16 | 1,870 | 1,870 |
3 | Federal Home Loan Bank Discount Notes | 0.315% | 3/2/16 | 64,500 | 64,499 |
3 | Federal Home Loan Bank Discount Notes | 0.360% | 3/4/16 | 650,000 | 649,981 |
3 | Federal Home Loan Bank Discount Notes | 0.340% | 3/10/16 | 985 | 985 |
3 | Federal Home Loan Bank Discount Notes | 0.461% | 3/16/16 | 250,000 | 249,952 |
3 | Federal Home Loan Bank Discount Notes | 0.380% | 3/22/16 | 513,477 | 513,363 |
3 | Federal Home Loan Bank Discount Notes | 0.380% | 3/28/16 | 600,000 | 599,829 |
3 | Federal Home Loan Bank Discount Notes | 0.310% | 4/8/16 | 1,500,000 | 1,499,509 |
3 | Federal Home Loan Bank Discount Notes | 0.330% | 4/15/16 | 964,275 | 963,877 |
3 | Federal Home Loan Bank Discount Notes | 0.374% | 5/18/16 | 1,123,500 | 1,122,590 |
3 | Federal Home Loan Bank Discount Notes | 0.395% | 5/25/16 | 1,013,000 | 1,012,055 |
2 | Freddie Mac Discount Notes | 0.430% | 3/1/16 | 950,000 | 950,000 |
2 | Freddie Mac Discount Notes | 0.430% | 3/2/16 | 950,000 | 949,989 |
2 | Freddie Mac Discount Notes | 0.430% | 3/3/16 | 950,000 | 949,977 |
2 | Freddie Mac Discount Notes | 0.280% | 3/11/16 | 727,554 | 727,497 |
United States Treasury Bill | 0.280%–0.285% | 3/24/16 | 1,950,000 | 1,949,647 | |
United States Treasury Bill | 0.280%–0.350% | 5/5/16 | 3,300,000 | 3,297,952 | |
United States Treasury Bill | 0.341% | 5/12/16 | 1,595,600 | 1,594,515 | |
United States Treasury Bill | 0.331%–0.336% | 5/19/16 | 2,500,000 | 2,498,176 | |
United States Treasury Bill | 0.321%–0.346% | 5/26/16 | 3,500,000 | 3,497,262 | |
United States Treasury Bill | 0.321%–0.417% | 6/2/16 | 7,000,082 | 6,993,614 | |
United States Treasury Bill | 0.536%–0.552% | 6/9/16 | 4,500,000 | 4,493,215 | |
United States Treasury Bill | 0.552%–0.572% | 6/16/16 | 2,200,000 | 2,196,365 | |
United States Treasury Bill | 0.421% | 8/11/16 | 6,200,000 | 6,188,210 | |
United States Treasury Floating Rate Note | 0.389% | 4/30/16 | 1,041,000 | 1,040,989 | |
United States Treasury Floating Rate Note | 0.390% | 7/31/16 | 350,000 | 349,990 | |
United States Treasury Floating Rate Note | 0.373% | 10/31/16 | 2,912,200 | 2,911,189 | |
United States Treasury Floating Rate Note | 0.404% | 1/31/17 | 1,779,183 | 1,779,167 | |
United States Treasury Note/Bond | 0.375% | 3/15/16 | 300,000 | 300,021 | |
United States Treasury Note/Bond | 0.375% | 3/31/16 | 139,045 | 139,064 | |
United States Treasury Note/Bond | 2.250% | 3/31/16 | 588,750 | 589,711 | |
United States Treasury Note/Bond | 2.375% | 3/31/16 | 164,000 | 164,292 | |
United States Treasury Note/Bond | 3.250% | 5/31/16 | 576,000 | 580,066 |
13
Prime Money Market Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Yield1 | Date | ($000) | ($000) | ||
United States Treasury Note/Bond | 0.500% | 6/15/16 | 600,000 | 600,144 | |
United States Treasury Note/Bond | 1.500% | 7/31/16 | 110,000 | 110,459 | |
United States Treasury Note/Bond | 3.250% | 7/31/16 | 150,000 | 151,720 | |
Total U.S. Government and Agency Obligations (Cost $51,685,841) | 51,685,841 | ||||
Commercial Paper (22.6%) | |||||
Bank Holding Company (0.2%) | |||||
4 | ABN Amro Funding USA LLC | 0.631% | 4/11/16 | 37,750 | 37,723 |
4 | ABN Amro Funding USA LLC | 0.641% | 4/14/16 | 142,250 | 142,139 |
4 | ABN Amro Funding USA LLC | 0.641% | 4/20/16 | 44,750 | 44,710 |
224,572 | |||||
Finance—Auto (1.6%) | |||||
American Honda Finance Corp. | 0.480% | 3/22/16 | 134,750 | 134,712 | |
American Honda Finance Corp. | 0.480% | 3/23/16 | 320,250 | 320,156 | |
4 | BMW US Capital LLC | 0.531% | 5/5/16 | 60,000 | 59,943 |
4 | BMW US Capital LLC | 0.531% | 5/9/16 | 210,000 | 209,787 |
4 | BMW US Capital LLC | 0.531% | 5/10/16 | 25,000 | 24,974 |
4 | BMW US Capital LLC | 0.531% | 5/17/16 | 30,000 | 29,966 |
5 | Toyota Motor Credit Corp. | 0.632% | 4/15/16 | 452,000 | 452,000 |
Toyota Motor Credit Corp. | 0.521% | 5/23/16 | 36,750 | 36,706 | |
Toyota Motor Credit Corp. | 0.521% | 5/24/16 | 47,000 | 46,943 | |
Toyota Motor Credit Corp. | 0.823% | 6/27/16 | 198,000 | 197,468 | |
Toyota Motor Credit Corp. | 0.823% | 7/7/16 | 39,750 | 39,634 | |
5 | Toyota Motor Credit Corp. | 0.699% | 7/22/16 | 110,500 | 110,500 |
5 | Toyota Motor Credit Corp. | 0.699% | 7/22/16 | 55,000 | 55,000 |
5 | Toyota Motor Credit Corp. | 0.678% | 7/29/16 | 18,000 | 18,000 |
5 | Toyota Motor Credit Corp. | 0.704% | 8/18/16 | 155,000 | 155,000 |
5 | Toyota Motor Credit Corp. | 0.704% | 8/19/16 | 153,000 | 153,000 |
5 | Toyota Motor Credit Corp. | 0.709% | 8/25/16 | 174,000 | 174,000 |
2,217,789 | |||||
Foreign Banks (10.0%) | |||||
4,5 | Australia & New Zealand Banking Group, Ltd. | 0.538% | 4/8/16 | 357,000 | 357,000 |
4 | Australia & New Zealand Banking Group, Ltd. | 0.441% | 4/28/16 | 191,000 | 190,865 |
4,5 | Australia & New Zealand Banking Group, Ltd. | 0.654% | 5/23/16 | 397,000 | 397,000 |
4 | Australia & New Zealand Banking Group, Ltd. | 0.672% | 6/2/16 | 129,000 | 128,777 |
4,5 | Australia & New Zealand Banking Group, Ltd. | 0.592% | 6/20/16 | 415,000 | 415,000 |
4,5 | Australia & New Zealand Banking Group, Ltd. | 0.649% | 7/27/16 | 329,250 | 329,250 |
4,5 | Australia & New Zealand Banking Group, Ltd. | 0.635% | 8/2/16 | 88,500 | 88,499 |
4,5 | Australia & New Zealand Banking Group, Ltd. | 0.637% | 8/3/16 | 133,000 | 133,000 |
4,5 | Australia & New Zealand Banking Group, Ltd. | 0.638% | 8/4/16 | 111,000 | 111,000 |
4 | Australia & New Zealand Banking Group, Ltd. | 0.910% | 8/4/16 | 175,000 | 174,314 |
4,5 | Australia & New Zealand Banking Group, Ltd. | 0.917% | 2/1/17 | 346,750 | 346,750 |
4,5 | Commonwealth Bank of Australia | 0.598% | 3/7/16 | 280,000 | 280,000 |
4,5 | Commonwealth Bank of Australia | 0.552% | 3/14/16 | 249,000 | 248,999 |
4,5 | Commonwealth Bank of Australia | 0.546% | 3/18/16 | 350,000 | 350,000 |
4,5 | Commonwealth Bank of Australia | 0.543% | 3/24/16 | 145,000 | 145,000 |
4,5 | Commonwealth Bank of Australia | 0.548% | 3/30/16 | 125,000 | 125,000 |
4,5 | Commonwealth Bank of Australia | 0.548% | 3/31/16 | 40,000 | 40,000 |
4,5 | Commonwealth Bank of Australia | 0.614% | 4/26/16 | 80,000 | 80,000 |
4,5 | Commonwealth Bank of Australia | 0.562% | 5/13/16 | 100,000 | 99,999 |
4,5 | Commonwealth Bank of Australia | 0.574% | 5/23/16 | 375,000 | 374,996 |
4,5 | Commonwealth Bank of Australia | 0.612% | 6/22/16 | 250,250 | 250,245 |
4 | Commonwealth Bank of Australia | 0.844% | 6/23/16 | 65,000 | 64,827 |
4,5 | Commonwealth Bank of Australia | 0.604% | 6/24/16 | 59,000 | 58,999 |
14
Prime Money Market Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Yield1 | Date | ($000) | ($000) | ||
4,5 | Commonwealth Bank of Australia | 0.640% | 7/19/16 | 350,000 | 350,000 |
4,5 | Commonwealth Bank of Australia | 0.642% | 7/20/16 | 350,000 | 350,000 |
4,5 | Commonwealth Bank of Australia | 0.786% | 9/26/16 | 268,000 | 268,000 |
4,5 | Commonwealth Bank of Australia | 0.784% | 10/24/16 | 300,000 | 300,000 |
4,5 | Commonwealth Bank of Australia | 0.939% | 2/3/17 | 349,000 | 349,000 |
ING US Funding LLC | 0.661% | 5/2/16 | 189,500 | 189,285 | |
ING US Funding LLC | 0.702% | 5/11/16 | 447,500 | 446,882 | |
ING US Funding LLC | 0.702% | 5/12/16 | 447,500 | 446,873 | |
4 | National Australia Bank Ltd. | 0.803% | 7/5/16 | 399,000 | 397,883 |
4 | National Australia Bank Ltd. | 0.803% | 7/7/16 | 400,000 | 398,862 |
4 | National Australia Bank Ltd. | 0.773% | 7/26/16 | 385,000 | 383,789 |
4 | Skandinaviska Enskilda Banken AB | 0.656% | 5/4/16 | 247,750 | 247,461 |
4 | Sumitomo Mitsui Banking Corporation | 0.651% | 4/15/16 | 595,000 | 594,517 |
Swedbank AB | 0.641% | 5/2/16 | 152,500 | 152,332 | |
Swedbank AB | 0.641% | 5/3/16 | 152,500 | 152,329 | |
Swedbank AB | 0.641% | 5/4/16 | 152,500 | 152,326 | |
Swedbank AB | 0.641% | 5/5/16 | 42,500 | 42,451 | |
Swedbank AB | 0.793% | 7/1/16 | 252,500 | 251,824 | |
Swedbank AB | 0.793% | 7/7/16 | 247,500 | 246,805 | |
Swedbank AB | 0.773% | 7/19/16 | 199,000 | 198,404 | |
Swedbank AB | 0.773% | 7/20/16 | 200,000 | 199,397 | |
Swedbank AB | 0.773% | 7/21/16 | 200,000 | 199,392 | |
Swedbank AB | 0.773% | 7/22/16 | 200,000 | 199,388 | |
Swedbank AB | 0.773% | 7/25/16 | 100,000 | 99,688 | |
4,5 | Westpac Banking Corp. | 0.543% | 3/24/16 | 220,000 | 220,000 |
4,5 | Westpac Banking Corp. | 0.543% | 3/24/16 | 100,000 | 100,000 |
4,5 | Westpac Banking Corp. | 0.548% | 5/5/16 | 77,000 | 76,988 |
4,5 | Westpac Banking Corp. | 0.588% | 5/27/16 | 317,000 | 317,000 |
4,5 | Westpac Banking Corp. | 0.588% | 5/27/16 | 100,000 | 100,000 |
4,5 | Westpac Banking Corp. | 0.575% | 6/2/16 | 245,000 | 245,000 |
4,5 | Westpac Banking Corp. | 0.579% | 6/10/16 | 135,000 | 134,998 |
4,5 | Westpac Banking Corp. | 0.642% | 6/21/16 | 500,000 | 499,992 |
4,5 | Westpac Banking Corp. | 0.644% | 6/23/16 | 150,000 | 149,998 |
4,5 | Westpac Banking Corp. | 0.781% | 10/14/16 | 400,000 | 399,989 |
4,5 | Westpac Banking Corp. | 0.781% | 10/14/16 | 250,000 | 249,994 |
13,900,367 | |||||
Foreign Governments (3.6%) | |||||
4 | CDP Financial Inc. | 0.601%–0.631% | 3/15/16 | 133,500 | 133,468 |
4 | CDP Financial Inc. | 0.601% | 3/16/16 | 112,250 | 112,222 |
4 | CDP Financial Inc. | 0.421% | 4/1/16 | 79,000 | 78,971 |
4 | CDP Financial Inc. | 0.591% | 4/28/16 | 23,000 | 22,978 |
4 | CDP Financial Inc. | 0.461% | 4/29/16 | 26,000 | 25,980 |
4 | CDP Financial Inc. | 0.451%–0.591% | 5/2/16 | 64,500 | 64,438 |
4 | CDP Financial Inc. | 0.581% | 5/9/16 | 60,500 | 60,433 |
6 | CPPIB Capital Inc. | 0.371% | 3/14/16 | 149,000 | 148,980 |
6 | CPPIB Capital Inc. | 0.551% | 3/16/16 | 37,000 | 36,992 |
6 | CPPIB Capital Inc. | 0.561% | 3/21/16 | 37,000 | 36,989 |
6 | CPPIB Capital Inc. | 0.501% | 5/13/16 | 300,000 | 299,696 |
6 | CPPIB Capital Inc. | 0.501% | 5/16/16 | 300,000 | 299,683 |
6 | CPPIB Capital Inc. | 0.833% | 6/1/16 | 248,000 | 247,474 |
6 | CPPIB Capital Inc. | 0.833% | 6/2/16 | 248,000 | 247,468 |
6 | CPPIB Capital Inc. | 0.551% | 6/3/16 | 300,000 | 299,569 |
6 | CPPIB Capital Inc. | 0.556% | 6/6/16 | 170,000 | 169,746 |
6 | CPPIB Capital Inc. | 0.803% | 6/13/16 | 283,250 | 282,595 |
6 | CPPIB Capital Inc. | 0.803% | 6/14/16 | 128,750 | 128,450 |
15
Prime Money Market Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Yield1 | Date | ($000) | ($000) | ||
5,6 | CPPIB Capital Inc. | 0.732% | 7/12/16 | 247,750 | 247,750 |
5,6 | CPPIB Capital Inc. | 0.732% | 7/13/16 | 247,750 | 247,750 |
Export Development Canada | 0.500% | 3/8/16 | 148,500 | 148,486 | |
Export Development Canada | 0.541% | 3/14/16 | 112,000 | 111,978 | |
Export Development Canada | 0.541% | 3/16/16 | 112,000 | 111,975 | |
Export Development Canada | 0.561% | 5/19/16 | 125,000 | 124,846 | |
Export Development Canada | 0.561% | 5/20/16 | 125,000 | 124,844 | |
Province of British Columbia | 0.601% | 3/14/16 | 15,975 | 15,972 | |
Province of British Columbia | 0.601% | 3/16/16 | 18,710 | 18,705 | |
6 | PSP Capital Inc. | 0.390% | 3/1/16 | 74,250 | 74,250 |
6 | PSP Capital Inc. | 0.551% | 3/11/16 | 80,250 | 80,238 |
6 | PSP Capital Inc. | 0.551% | 3/14/16 | 132,750 | 132,724 |
6 | PSP Capital Inc. | 0.591% | 4/7/16 | 49,500 | 49,470 |
6 | PSP Capital Inc. | 0.601% | 4/11/16 | 37,750 | 37,724 |
6 | PSP Capital Inc. | 0.581% | 4/12/16 | 24,750 | 24,733 |
6 | PSP Capital Inc. | 0.581% | 4/13/16 | 49,500 | 49,466 |
6 | PSP Capital Inc. | 0.531% | 5/6/16 | 50,000 | 49,951 |
6 | PSP Capital Inc. | 0.541% | 5/19/16 | 25,000 | 24,970 |
6 | PSP Capital Inc. | 0.561% | 6/1/16 | 59,000 | 58,916 |
6 | PSP Capital Inc. | 0.793% | 6/27/16 | 99,250 | 98,993 |
6 | PSP Capital Inc. | 0.793% | 6/28/16 | 99,000 | 98,741 |
6 | PSP Capital Inc. | 0.793% | 6/29/16 | 138,750 | 138,385 |
6 | PSP Capital Inc. | 0.793%–0.803% | 7/5/16 | 119,250 | 118,917 |
6 | PSP Capital Inc. | 0.823% | 7/20/16 | 96,250 | 95,941 |
4,981,857 | |||||
Foreign Industrial (3.1%) | |||||
4 | BASF SE | 0.501%–0.571% | 3/29/16 | 301,250 | 301,123 |
4 | BASF SE | 0.611% | 5/9/16 | 41,300 | 41,252 |
4 | Nestle Capital Corp. | 0.551% | 5/25/16 | 76,500 | 76,401 |
4 | Nestle Capital Corp. | 0.551% | 6/1/16 | 200,000 | 199,719 |
4 | Nestle Capital Corp. | 0.551% | 6/2/16 | 77,250 | 77,140 |
4 | Nestle Capital Corp. | 0.556% | 6/16/16 | 99,000 | 98,837 |
4 | Nestle Capital Corp. | 0.556% | 6/21/16 | 99,000 | 98,829 |
4 | Nestle Capital Corp. | 0.556% | 6/22/16 | 99,000 | 98,828 |
Nestle Finance International Ltd. | 0.551% | 5/25/16 | 76,500 | 76,401 | |
Nestle Finance International Ltd. | 0.551% | 6/10/16 | 200,000 | 199,691 | |
Nestle Finance International Ltd. | 0.556% | 6/20/16 | 148,750 | 148,495 | |
Nestle Finance International Ltd. | 0.556% | 6/24/16 | 148,750 | 148,486 | |
Nestle Finance International Ltd. | 0.556% | 6/27/16 | 198,250 | 197,889 | |
Nestle Finance International Ltd. | 0.556% | 6/28/16 | 100,000 | 99,817 | |
4 | Reckitt Benckiser Treasury Services plc | 0.581% | 4/12/16 | 49,500 | 49,467 |
4 | Roche Holdings Inc. | 0.501% | 5/9/16 | 50,000 | 49,952 |
4 | Roche Holdings Inc. | 0.491% | 5/23/16 | 225,000 | 224,746 |
4 | Siemens Capital Co. LLC | 0.551% | 3/21/16 | 198,250 | 198,189 |
4 | Siemens Capital Co. LLC | 0.551% | 3/23/16 | 396,500 | 396,367 |
4 | Siemens Capital Co. LLC | 0.551% | 3/29/16 | 247,750 | 247,644 |
4 | Total Capital Canada Ltd. | 0.561% | 3/1/16 | 24,200 | 24,200 |
4 | Total Capital Canada Ltd. | 0.571% | 3/21/16 | 153,250 | 153,201 |
4 | Total Capital Canada Ltd. | 0.556% | 4/13/16 | 414,250 | 413,975 |
4 | Total Capital Canada Ltd. | 0.803% | 7/5/16 | 147,000 | 146,588 |
Toyota Credit Canada Inc. | 0.461% | 4/5/16 | 49,500 | 49,478 | |
Toyota Credit Canada Inc. | 0.572% | 5/13/16 | 49,500 | 49,443 | |
Toyota Credit Canada Inc. | 0.562% | 6/1/16 | 25,750 | 25,713 | |
Toyota Credit Canada Inc. | 0.642% | 6/2/16 | 24,750 | 24,709 | |
Toyota Credit Canada Inc. | 0.833% | 6/14/16 | 37,000 | 36,910 |
16
Prime Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Yield1 | Date | ($000) | ($000) | |
4 Unilever Capital Corp. | 0.521% | 5/2/16 | 100,000 | 99,910 |
4 Unilever Capital Corp. | 0.501% | 5/3/16 | 30,700 | 30,673 |
4 Unilever Capital Corp. | 0.531% | 5/9/16 | 45,700 | 45,654 |
4 Unilever Capital Corp. | 0.541% | 5/16/16 | 50,000 | 49,943 |
4 Unilever Capital Corp. | 0.551% | 5/23/16 | 50,000 | 49,937 |
4 Unilever Capital Corp. | 0.511% | 5/31/16 | 59,000 | 58,924 |
4,288,531 | ||||
Industrial (4.1%) | ||||
4 Apple Inc. | 0.420% | 3/18/16 | 218,500 | 218,457 |
Caterpillar Financial Services Corp. | 0.531% | 5/9/16 | 200,000 | 199,797 |
4 Chevron Corp. | 0.260% | 3/4/16 | 85,000 | 84,998 |
4 Emerson Electric Co. | 0.450% | 3/8/16 | 110,000 | 109,990 |
4 Emerson Electric Co. | 0.541% | 5/9/16 | 53,500 | 53,445 |
4 Emerson Electric Co. | 0.541% | 5/11/16 | 51,000 | 50,946 |
Exxon Mobil Corp. | 0.410% | 3/17/16 | 500,000 | 499,909 |
Exxon Mobil Corp. | 0.410% | 3/18/16 | 500,000 | 499,903 |
4 Honeywell International Inc. | 0.440% | 3/14/16 | 34,630 | 34,624 |
4 Pfizer Inc | 0.581% | 4/1/16 | 247,750 | 247,626 |
4 Pfizer Inc | 0.491% | 5/10/16 | 248,600 | 248,363 |
4 Pfizer Inc | 0.491% | 5/11/16 | 271,500 | 271,238 |
4 Pfizer Inc | 0.491% | 5/12/16 | 298,400 | 298,107 |
4 Pfizer Inc | 0.491% | 5/16/16 | 81,500 | 81,416 |
4 Pfizer Inc | 0.491% | 5/23/16 | 520,500 | 519,912 |
4 The Coca-Cola Co. | 0.501% | 3/16/16 | 50,000 | 49,990 |
4 The Coca-Cola Co. | 0.501% | 3/18/16 | 64,250 | 64,235 |
4 The Coca-Cola Co. | 0.491% | 3/21/16 | 75,000 | 74,980 |
4 The Coca-Cola Co. | 0.421% | 3/22/16 | 54,000 | 53,987 |
4 The Coca-Cola Co. | 0.501% | 3/23/16 | 60,000 | 59,982 |
4 The Coca-Cola Co. | 0.501% | 3/24/16 | 55,000 | 54,982 |
4 The Coca-Cola Co. | 0.562% | 4/19/16 | 350,000 | 349,733 |
4 The Coca-Cola Co. | 0.481%–0.552% | 4/20/16 | 258,500 | 258,315 |
4 The Coca-Cola Co. | 0.481% | 4/21/16 | 49,500 | 49,466 |
4 The Coca-Cola Co. | 0.501% | 5/17/16 | 68,500 | 68,427 |
4 The Coca-Cola Co. | 0.501% | 5/18/16 | 38,000 | 37,959 |
4 The Coca-Cola Co. | 0.491% | 5/19/16 | 38,000 | 37,959 |
4 The Coca-Cola Co. | 0.551% | 5/25/16 | 198,250 | 197,992 |
4 The Coca-Cola Co. | 0.561% | 6/21/16 | 182,270 | 181,952 |
4 The Coca-Cola Co. | 0.561% | 6/22/16 | 50,000 | 49,912 |
4 The Coca-Cola Co. | 0.753% | 8/15/16 | 272,500 | 271,552 |
4 The Coca-Cola Co. | 0.753% | 8/16/16 | 297,250 | 296,210 |
4 The Coca-Cola Co. | 0.753% | 8/17/16 | 99,000 | 98,651 |
4 The Walt Disney Co. | 0.491% | 5/20/16 | 31,250 | 31,216 |
4 The Walt Disney Co. | 0.481% | 5/27/16 | 49,500 | 49,443 |
5,755,674 | ||||
Total Commercial Paper (Cost $31,368,790) | 31,368,790 | |||
Certificates of Deposit (39.4%) | ||||
Domestic Banks (8.4%) | ||||
Citibank NA | 0.350% | 3/7/16 | 263,000 | 263,000 |
Citibank NA | 0.500% | 3/8/16 | 198,250 | 198,250 |
Citibank NA | 0.590% | 4/6/16 | 110,500 | 110,500 |
Citibank NA | 0.580% | 4/7/16 | 253,000 | 253,000 |
Citibank NA | 0.580% | 4/22/16 | 247,750 | 247,750 |
Citibank NA | 0.580% | 5/18/16 | 361,750 | 361,750 |
17
Prime Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Yield1 | Date | ($000) | ($000) | |
HSBC Bank USA NA | 0.840% | 7/11/16 | 99,000 | 99,000 |
HSBC Bank USA NA | 0.850% | 7/12/16 | 247,750 | 247,750 |
HSBC Bank USA NA | 0.840% | 7/14/16 | 99,000 | 99,000 |
HSBC Bank USA NA | 0.830% | 7/26/16 | 99,000 | 99,000 |
HSBC Bank USA NA | 0.840% | 8/1/16 | 99,000 | 99,000 |
HSBC Bank USA NA | 0.845% | 8/3/16 | 149,000 | 149,000 |
HSBC Bank USA NA | 0.840% | 8/5/16 | 198,250 | 198,250 |
HSBC Bank USA NA | 0.840% | 8/5/16 | 396,500 | 396,500 |
5 HSBC Bank USA NA | 0.797% | 9/2/16 | 500,000 | 500,000 |
5 State Street Bank & Trust Co. | 0.664% | 5/23/16 | 1,627,500 | 1,627,500 |
State Street Bank & Trust Co. | 0.800% | 7/5/16 | 396,500 | 396,500 |
State Street Bank & Trust Co. | 0.800% | 7/11/16 | 644,250 | 644,250 |
State Street Bank & Trust Co. | 0.820% | 7/12/16 | 842,500 | 842,500 |
State Street Bank & Trust Co. | 0.800% | 7/29/16 | 400,000 | 400,000 |
5 State Street Bank & Trust Co. | 0.729% | 8/12/16 | 275,000 | 275,000 |
5 Wells Fargo Bank NA | 0.546% | 4/1/16 | 220,000 | 220,000 |
Wells Fargo Bank NA | 0.450% | 4/11/16 | 50,000 | 50,000 |
5 Wells Fargo Bank NA | 0.558% | 5/6/16 | 405,000 | 405,000 |
5 Wells Fargo Bank NA | 0.656% | 5/25/16 | 40,000 | 40,000 |
5 Wells Fargo Bank NA | 0.588% | 5/27/16 | 100,000 | 100,000 |
Wells Fargo Bank NA | 0.830% | 7/7/16 | 100,000 | 100,000 |
Wells Fargo Bank NA | 0.820% | 7/20/16 | 250,000 | 250,000 |
5 Wells Fargo Bank NA | 0.780% | 8/18/16 | 330,000 | 330,000 |
Wells Fargo Bank NA | 0.850% | 8/18/16 | 150,000 | 150,000 |
5 Wells Fargo Bank NA | 0.782% | 8/22/16 | 400,000 | 400,000 |
5 Wells Fargo Bank NA | 0.773% | 10/21/16 | 450,000 | 450,000 |
5 Wells Fargo Bank NA | 0.773% | 10/24/16 | 450,000 | 450,000 |
5 Wells Fargo Bank NA | 0.765% | 11/2/16 | 495,000 | 495,000 |
5 Wells Fargo Bank NA | 0.782% | 11/16/16 | 495,000 | 495,000 |
5 Wells Fargo Bank NA | 0.892% | 1/11/17 | 240,000 | 240,000 |
11,682,500 | ||||
Eurodollar Certificates of Deposit (0.7%) | ||||
National Australia Bank Ltd. | 0.800% | 6/15/16 | 1,000,000 | 1,000,000 |
Yankee Certificates of Deposit (30.3%) | ||||
Australia & New Zealand Banking Group, Ltd. | ||||
(New York Branch) | 0.550% | 3/22/16 | 185,000 | 185,000 |
Australia & New Zealand Banking Group, Ltd. | ||||
(New York Branch) | 0.600% | 4/29/16 | 148,750 | 148,750 |
5 Bank of Montreal (Chicago Branch) | 0.586% | 3/1/16 | 368,000 | 368,000 |
5 Bank of Montreal (Chicago Branch) | 0.586% | 3/1/16 | 391,000 | 391,000 |
5 Bank of Montreal (Chicago Branch) | 0.599% | 3/9/16 | 182,000 | 182,000 |
5 Bank of Montreal (Chicago Branch) | 0.599% | 3/10/16 | 184,500 | 184,500 |
5 Bank of Montreal (Chicago Branch) | 0.602% | 3/21/16 | 410,000 | 410,000 |
5 Bank of Montreal (Chicago Branch) | 0.609% | 5/4/16 | 1,300,000 | 1,300,000 |
Bank of Montreal (Chicago Branch) | 0.680% | 6/2/16 | 400,000 | 400,000 |
Bank of Montreal (Chicago Branch) | 0.810% | 6/21/16 | 200,000 | 199,997 |
5 Bank of Nova Scotia (Houston Branch) | 0.622% | 4/21/16 | 1,065,000 | 1,065,000 |
5 Bank of Nova Scotia (Houston Branch) | 0.782% | 7/11/16 | 987,000 | 987,000 |
5 Bank of Nova Scotia (Houston Branch) | 0.782% | 7/12/16 | 885,000 | 885,000 |
Bank of Nova Scotia (Houston Branch) | 0.810% | 7/21/16 | 100,000 | 100,000 |
Bank of Nova Scotia (Houston Branch) | 0.850% | 8/18/16 | 445,000 | 444,990 |
Bank of Tokyo-Mitsubishi UFJ Ltd. | ||||
(New York Branch) | 0.560% | 3/21/16 | 1,000,000 | 1,000,000 |
18
Prime Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Yield1 | Date | ($000) | ($000) | |
Bank of Tokyo-Mitsubishi UFJ Ltd. | ||||
(New York Branch) | 0.600% | 4/14/16 | 1,000,000 | 1,000,000 |
Bank of Tokyo-Mitsubishi UFJ Ltd. | ||||
(New York Branch) | 0.700% | 5/11/16 | 608,000 | 608,000 |
Bank of Tokyo-Mitsubishi UFJ Ltd. | ||||
(New York Branch) | 0.700% | 5/23/16 | 90,000 | 90,000 |
Bank of Tokyo-Mitsubishi UFJ Ltd. | ||||
(New York Branch) | 0.680% | 6/20/16 | 88,000 | 88,000 |
Canadian Imperial Bank of Commerce | ||||
(New York Branch) | 0.580% | 4/4/16 | 380,000 | 380,000 |
5 Canadian Imperial Bank of Commerce | ||||
(New York Branch) | 0.642% | 4/20/16 | 77,250 | 77,254 |
5 Canadian Imperial Bank of Commerce | ||||
(New York Branch) | 0.607% | 5/20/16 | 885,000 | 885,000 |
Canadian Imperial Bank of Commerce | ||||
(New York Branch) | 0.760% | 6/6/16 | 500,000 | 500,000 |
Canadian Imperial Bank of Commerce | ||||
(New York Branch) | 0.800% | 6/14/16 | 425,000 | 425,000 |
Canadian Imperial Bank of Commerce | ||||
(New York Branch) | 0.810% | 7/19/16 | 700,000 | 700,000 |
5 Canadian Imperial Bank of Commerce | ||||
(New York Branch) | 0.758% | 8/3/16 | 485,000 | 485,000 |
5 Commonwealth Bank of Australia | ||||
(New York Branch) | 0.938% | 2/1/17 | 99,000 | 99,000 |
Credit Suisse (New York Branch) | 0.620% | 4/5/16 | 397,000 | 397,000 |
Credit Suisse (New York Branch) | 0.620% | 4/11/16 | 376,000 | 376,000 |
DNB Bank ASA (New York Branch) | 0.370% | 3/1/16 | 2,000,000 | 2,000,000 |
DNB Bank ASA (New York Branch) | 0.370% | 3/2/16 | 1,400,000 | 1,400,000 |
Lloyds Bank plc (New York Branch) | 0.470% | 3/3/16 | 500,000 | 500,000 |
Lloyds Bank plc (New York Branch) | 0.590% | 3/14/16 | 247,750 | 247,750 |
Lloyds Bank plc (New York Branch) | 0.640% | 3/18/16 | 300,000 | 300,000 |
Lloyds Bank plc (New York Branch) | 0.630% | 4/4/16 | 377,000 | 377,000 |
National Australia Bank Ltd. (New York Branch) | 0.650% | 4/13/16 | 665,000 | 665,000 |
National Australia Bank Ltd. (New York Branch) | 0.800% | 6/13/16 | 300,000 | 300,000 |
Nordea Bank Finland plc (New York Branch) | 0.580% | 3/21/16 | 1,500,000 | 1,499,996 |
Nordea Bank Finland plc (New York Branch) | 0.670% | 4/25/16 | 250,000 | 250,000 |
Nordea Bank Finland plc (New York Branch) | 0.795% | 6/10/16 | 500,000 | 500,000 |
Nordea Bank Finland plc (New York Branch) | 0.795% | 6/28/16 | 850,000 | 850,000 |
5 Royal Bank of Canada (New York Branch) | 0.595% | 3/2/16 | 541,250 | 541,250 |
Royal Bank of Canada (New York Branch) | 0.420% | 4/4/16 | 390,000 | 390,000 |
5 Royal Bank of Canada (New York Branch) | 0.597% | 5/3/16 | 423,000 | 423,000 |
5 Royal Bank of Canada (New York Branch) | 0.644% | 5/23/16 | 1,375,000 | 1,375,000 |
5 Royal Bank of Canada (New York Branch) | 0.622% | 6/22/16 | 1,300,000 | 1,300,000 |
Skandinaviska Enskilda Banken (New York Branch) | 0.370% | 3/1/16 | 1,000,000 | 1,000,000 |
Skandinaviska Enskilda Banken (New York Branch) | 0.360% | 3/7/16 | 1,200,000 | 1,200,000 |
Skandinaviska Enskilda Banken (New York Branch) | 0.570% | 4/4/16 | 452,000 | 452,000 |
Skandinaviska Enskilda Banken (New York Branch) | 0.650% | 5/5/16 | 225,000 | 224,998 |
Svenska HandelsBanken (New York Branch) | 0.550% | 3/14/16 | 1,000,000 | 1,000,000 |
Svenska HandelsBanken (New York Branch) | 0.385% | 3/22/16 | 25,000 | 24,997 |
Svenska HandelsBanken (New York Branch) | 0.570% | 4/4/16 | 150,750 | 150,750 |
Svenska HandelsBanken (New York Branch) | 0.635% | 4/14/16 | 500,000 | 500,000 |
Svenska HandelsBanken (New York Branch) | 0.650% | 5/5/16 | 1,200,000 | 1,200,000 |
Svenska HandelsBanken (New York Branch) | 0.790% | 6/14/16 | 1,000,000 | 1,000,000 |
Svenska HandelsBanken (New York Branch) | 0.800% | 7/15/16 | 285,000 | 285,000 |
Swedbank AB (New York Branch) | 0.370% | 3/2/16 | 1,550,000 | 1,550,000 |
19
Prime Money Market Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Yield1 | Date | ($000) | ($000) | ||
Swedbank AB (New York Branch) | 0.790% | 7/15/16 | 700,000 | 700,000 | |
5 | Toronto Dominion Bank (New York Branch) | 0.586% | 3/3/16 | 825,000 | 825,000 |
Toronto Dominion Bank (New York Branch) | 0.450% | 4/14/16 | 30,000 | 30,000 | |
5 | Toronto Dominion Bank (New York Branch) | 0.591% | 4/14/16 | 124,000 | 124,000 |
5 | Toronto Dominion Bank (New York Branch) | 0.592% | 4/21/16 | 130,000 | 130,000 |
5 | Toronto Dominion Bank (New York Branch) | 0.599% | 5/17/16 | 255,000 | 255,000 |
5 | Toronto Dominion Bank (New York Branch) | 0.644% | 5/23/16 | 540,000 | 540,000 |
5 | Toronto Dominion Bank (New York Branch) | 0.605% | 6/2/16 | 625,000 | 625,000 |
Toronto Dominion Bank (New York Branch) | 0.810% | 6/21/16 | 100,000 | 100,000 | |
Toronto Dominion Bank (New York Branch) | 0.900% | 8/15/16 | 80,000 | 80,000 | |
5 | Toronto Dominion Bank (New York Branch) | 0.784% | 9/23/16 | 488,000 | 488,000 |
5 | Toronto Dominion Bank (New York Branch) | 0.784% | 9/26/16 | 210,000 | 210,000 |
UBS AG (Stamford Branch) | 0.610% | 3/31/16 | 496,000 | 496,000 | |
UBS AG (Stamford Branch) | 0.610% | 3/31/16 | 258,000 | 258,000 | |
5 | Westpac Banking Corp. (New York Branch) | 0.539% | 3/9/16 | 40,000 | 40,000 |
5 | Westpac Banking Corp. (New York Branch) | 0.577% | 6/3/16 | 350,000 | 350,000 |
5 | Westpac Banking Corp. (New York Branch) | 0.578% | 7/6/16 | 240,000 | 240,000 |
5 | Westpac Banking Corp. (New York Branch) | 0.754% | 9/1/16 | 227,000 | 227,000 |
5 | Westpac Banking Corp. (New York Branch) | 0.784% | 9/23/16 | 159,000 | 159,000 |
5 | Westpac Banking Corp. (New York Branch) | 0.942% | 1/11/17 | 230,000 | 230,000 |
41,975,232 | |||||
Total Certificates of Deposit (Cost $54,657,732) | 54,657,732 | ||||
Other Notes (1.9%) | |||||
Bank of America NA | 0.480% | 3/1/16 | 496,000 | 496,000 | |
Bank of America NA | 0.480% | 3/2/16 | 496,000 | 496,000 | |
5 | Bank of America NA | 0.607% | 3/3/16 | 184,000 | 184,000 |
Bank of America NA | 0.460% | 4/4/16 | 176,000 | 176,000 | |
Bank of America NA | 0.500% | 5/5/16 | 221,000 | 221,000 | |
5 | Bank of America NA | 0.599% | 5/9/16 | 221,250 | 221,250 |
5 | Bank of America NA | 0.623% | 5/17/16 | 283,000 | 283,000 |
5 | Bank of America NA | 0.614% | 5/23/16 | 178,000 | 178,000 |
5 | Bank of America NA | 0.755% | 8/1/16 | 376,500 | 376,500 |
Total Other Notes (Cost $2,631,750) | 2,631,750 | ||||
Repurchase Agreements (0.2%) | |||||
Bank of Nova Scotia | |||||
(Dated 2/29/16, Repurchase Value | |||||
$280,002,000, collateralized by U.S. | |||||
Treasury Bill 0.000%, 3/31/16–8/18/16, | |||||
and U.S. Treasury Note/Bond | |||||
0.875%–3.625%, 10/15/17–4/15/28, | |||||
with a value of $285,600,000) | 0.300% | 3/1/16 | 280,000 | 280,000 | |
Total Repurchase Agreements (Cost $280,000) | 280,000 | ||||
Corporate Bonds (0.9%) | |||||
Industrial (0.9%) | |||||
5 | Toyota Motor Credit Corp. | 0.817% | 10/7/16 | 544,000 | 544,000 |
5 | Toyota Motor Credit Corp. | 0.522% | 6/13/16 | 734,000 | 734,000 |
Total Corporate Bonds (Cost $1,278,000) | 1,278,000 | ||||
Taxable Municipal Bonds (0.7%) | |||||
6,7 | BlackRock Municipal Bond Trust TOB VRDO | 0.370% | 3/1/16 | 25,930 | 25,930 |
6,7 | BlackRock Municipal Income Investment | ||||
Quality Trust TOB VRDO | 0.370% | 3/1/16 | 30,715 | 30,715 |
20
Prime Money Market Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Yield1 | Date | ($000) | ($000) | ||
6,7 | BlackRock Municipal Income Trust II TOB VRDO | 0.370% | 3/1/16 | 81,250 | 81,250 |
6,7 | BlackRock Municipal Income Trust TOB VRDO | 0.370% | 3/1/16 | 207,000 | 207,000 |
6,7 | BlackRock MuniHoldings Fund II, Inc. TOB VRDO | 0.370% | 3/1/16 | 40,385 | 40,385 |
6,7 | BlackRock MuniHoldings Fund, Inc. TOB VRDO | 0.370% | 3/1/16 | 19,165 | 19,165 |
6,7 | BlackRock MuniHoldings Quality Fund II, Inc. | ||||
TOB VRDO | 0.370% | 3/1/16 | 100,000 | 100,000 | |
6,7 | BlackRock MuniHoldings Quality Fund II, Inc. | ||||
TOB VRDO | 0.370% | 3/1/16 | 38,905 | 38,905 | |
6,7 | BlackRock MuniVest Fund II, Inc. TOB VRDO | 0.370% | 3/1/16 | 89,750 | 89,750 |
6,7 | BlackRock MuniVest Fund, Inc. TOB VRDO | 0.370% | 3/1/16 | 130,340 | 130,340 |
6,7 | BlackRock MuniYield Investment Quality Fund | ||||
TOB VRDO | 0.370% | 3/1/16 | 41,065 | 41,065 | |
6,7 | BlackRock MuniYield Investment Quality Fund | ||||
TOB VRDO | 0.370% | 3/1/16 | 89,100 | 89,100 | |
6,7 | BlackRock Strategic Municipal Trust TOB VRDO | 0.370% | 3/1/16 | 16,555 | 16,555 |
6 | Los Angeles CA Department of Water | ||||
& Power Revenue TOB VRDO | 0.410% | 3/7/16 | 13,000 | 13,000 | |
6 | Massachusetts Transportation Fund Revenue | ||||
TOB VRDO | 0.410% | 3/7/16 | 13,100 | 13,100 | |
7 | New York State Housing Finance Agency | ||||
Housing Revenue VRDO | 0.380% | 3/7/16 | 33,000 | 33,000 | |
6 | Seattle WA Municipal Light & Power Revenue | ||||
TOB VRDO | 0.410% | 3/7/16 | 6,400 | 6,400 | |
Total Taxable Municipal Bonds (Cost $975,660) | 975,660 | ||||
Total Investments (102.9%) (Cost $142,877,773) | 142,877,773 | ||||
Amount | |||||
($000) | |||||
Other Assets and Liabilities (-2.9%) | |||||
Other Assets | |||||
Investment in Vanguard | 12,516 | ||||
Receivables for Accrued Income | 59,878 | ||||
Receivables for Capital Shares Issued | 122,437 | ||||
Other Assets | 92,341 | ||||
Total Other Assets | 287,172 | ||||
Liabilities | |||||
Payables for Investment Securities Purchased | (3,996,814) | ||||
Payables for Capital Shares Redeemed | (361,937) | ||||
Payables for Distributions | (504) | ||||
Payables to Vanguard | (10,099) | ||||
Total Liabilities | (4,369,354) | ||||
Net Assets (100%) | 138,795,591 |
21
Prime Money Market Fund
At February 29, 2016, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 138,790,839 |
Undistributed Net Investment Income | 3 |
Accumulated Net Realized Gains | 4,749 |
Net Assets | 138,795,591 |
Investor Shares—Net Assets | |
Applicable to 110,037,104,801 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 110,050,413 |
Net Asset Value Per Share—Investor Shares | $1.00 |
Admiral Shares—Net Assets | |
Applicable to 28,743,173,372 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 28,745,178 |
Net Asset Value Per Share—Admiral 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 Security exempt from registration under Section 4(2) of the Securities Act of 1933. Such securities may be sold in transactions exempt from
registration only to dealers in that program or other “accredited investors.” At February 29, 2016, the aggregate value of these securities
was $19,758,287,000, representing 14.2% of net assets.
5 Adjustable-rate security.
6 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from
registration, normally to qualified institutional buyers. At February 29, 2016, the aggregate value of these securities was $4,769,220,000,
representing 3.4% of net assets.
7 Scheduled principal and interest payments are guaranteed by bank letter of credit.
TOB—Tender Option 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
Six Months Ended | |
February 29, 2016 | |
($000) | |
Investment Income | |
Income | |
Interest | 241,418 |
Total Income | 241,418 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,899 |
Management and Administrative—Investor Shares | 68,137 |
Management and Administrative—Admiral Shares | 13,431 |
Marketing and Distribution—Investor Shares | 15,897 |
Marketing and Distribution—Admiral Shares | 505 |
Custodian Fees | 736 |
Shareholders’ Reports—Investor Shares | 226 |
Shareholders’ Reports—Admiral Shares | 69 |
Trustees’ Fees and Expenses | 41 |
Total Expenses | 100,941 |
Expense Reduction—Note B | (3) |
Net Expenses | 100,938 |
Net Investment Income | 140,480 |
Realized Net Gain (Loss) on Investment Securities Sold | 1,753 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 142,233 |
See accompanying Notes, which are an integral part of the Financial Statements.
23
Prime Money Market Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
February 29, | August 31, | |
2016 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 140,480 | 36,345 |
Realized Net Gain (Loss) | 1,753 | 1,570 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 142,233 | 37,915 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (104,124) | (16,453) |
Admiral Shares1 | (36,352) | (19,893) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares1 | — | — |
Total Distributions | (140,476) | (36,346) |
Capital Share Transactions | ||
Investor Shares | 4,228,591 | 3,908,734 |
Admiral Shares1 | (242,968) | 288,391 |
Net Increase (Decrease) from Capital Share Transactions (at $1.00 per share) | 3,985,623 | 4,197,125 |
Total Increase (Decrease) | 3,987,380 | 4,198,694 |
Net Assets | ||
Beginning of Period | 134,808,211 | 130,609,517 |
End of Period2 | 138,795,591 | 134,808,211 |
1 Institutional Shares were renamed Admiral Shares in December 2015. Prior period’s Distributions and Capital Share Transactions are for the Institutional Class.
2 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $3,000 and ($1,000).
See accompanying Notes, which are an integral part of the Financial Statements.
24
Prime Money Market Fund
Financial Highlights
Investor Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 29, | Year Ended August 31, | |||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | |
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | |
Investment Operations | |||||||
Net Investment Income | .001 | .0002 | .0001 | .0002 | .0004 | .001 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | — | — | — | — | — | — | |
Total from Investment Operations | .001 | .0002 | .0001 | .0002 | .0004 | .001 | |
Distributions | |||||||
Dividends from Net Investment Income | (.001) | (.0002) | (.0001) | (.0002) | (.0004) | (.001) | |
Distributions from Realized Capital Gains | — | — | (.0000)1 | — | — | — | |
Total Distributions | (.001) | (.0002) | (.0001) | (.0002) | (.0004) | (.001) | |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | |
Total Return2 | 0.10% | 0.02% | 0.02% | 0.02% | 0.04% | 0.06% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $110,050 | $105,820 | $101,910 | $102,160 | $90,212 | $92,404 | |
Ratio of Expenses to | |||||||
Average Net Assets | 0.16%3 | 0.15%3 | 0.14%3 | 0.16%3 | 0.16% | 0.20% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 0.19% | 0.02% | 0.01% | 0.02% | 0.04% | 0.06% |
The expense ratio and net income ratio for the current period have been annualized.
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 2016, 0.16% for 2015, 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
Admiral Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 29, | Year Ended August 31, | |||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | |
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | |
Investment Operations | |||||||
Net Investment Income | .001 | .001 | .001 | .001 | .001 | .002 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | — | — | — | — | — | — | |
Total from Investment Operations | .001 | .001 | .001 | .001 | .001 | .002 | |
Distributions | |||||||
Dividends from Net Investment Income | (. 001) | (. 001) | (. 001) | (. 001) | (. 001) | (. 002) | |
Distributions from Realized Capital Gains | — | — | (.000)1 | — | — | — | |
Total Distributions | (. 001) | (. 001) | (. 001) | (. 001) | (. 001) | (. 002) | |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | |
Total Return | 0.13%2 | 0.07% | 0.06% | 0.07% | 0.11% | 0.17% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $28,745 | $28,988 | $28,699 | $27,015 | $24,543 | $21,739 | |
Ratio of Expenses to | |||||||
Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.09% | 0.09% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 0.25% | 0.07% | 0.05% | 0.07% | 0.11% | 0.17% |
The expense ratio and net income ratio for the current period have been annualized.
Institutional Shares were renamed Admiral Shares in December 2015. Prior periods’ Financial Highlights are for the Institutional Class.
1 Distribution was less than $.001 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.
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 Admiral Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, service, and account-size criteria. Effective December 2015, Institutional Shares were renamed Admiral Shares.
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 counter-parties. 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 counter-party’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.
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, 2012–2015), and for the period ended February 29, 2016, 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 (“Vanguard”) participate in a $3 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
27
Prime Money Market 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 February 29, 2016, 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.
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. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2016, the fund had contributed to Vanguard capital in the amount of $12,516,000, representing 0.01% of the fund’s net assets and 5.01% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, 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 in order to maintain a zero or positive yield for the fund. Vanguard and the board of trustees may terminate the temporary expense limitation at any time. For the period ended February 29, 2016, Vanguard’s expenses were reduced by $3,000 (an effective annual rate of 0.00% of the fund’s average net assets); the fund is not obligated to repay this amount to 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).
28
Prime Money Market Fund
At February 29, 2016, 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. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
February 29, 2016 | August 31, 2015 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 58,419,014 | 58,419,016 | 136,070,155 | 136,070,155 |
Issued in Lieu of Cash Distributions | 101,801 | 101,801 | 16,094 | 16,094 |
Redeemed | (54,292,224) | (54,292,224) | (132,177,515) | (132,177,515) |
Net Increase (Decrease)—Investor Shares | 4,228,591 | 4,228,593 | 3,908,734 | 3,908,734 |
Admiral Shares1 | ||||
Issued | 10,156,750 | 10,156,751 | 19,863,406 | 19,863,406 |
Issued in Lieu of Cash Distributions | 35,553 | 35,553 | 19,409 | 19,409 |
Redeemed | (10,435,271) | (10,435,271) | (19,594,424) | (19,594,424) |
Net Increase (Decrease)—Admiral Shares | (242,968) | (242,967) | 288,391 | 288,391 |
1 Institutional Shares were renamed Admiral Shares in December 2015. Prior period’s capital share transactions are for the Institutional Class. |
E. Management has determined that no material events or transactions occurred subsequent to February 29, 2016, that would require recognition or disclosure in these financial statements.
29
Federal Money Market Fund
Fund Profile
As of February 29, 2016
Financial Attributes | |
Ticker Symbol | VMFXX |
Expense Ratio1 | 0.11% |
7-Day SEC Yield | 0.30% |
Average Weighted | |
Maturity | 51 days |
Sector Diversification (% of portfolio) | |
U.S. Treasury Bills | 4.8% |
U.S. Government Obligations | 67.3 |
Repurchase Agreements | 27.9 |
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 Moody's,
Fitch, and S&P. For securities rated by all three agencies, where two of them are in agreement and assign the highest rating
category, the highest rating applies. If a security is only rated by two agencies, and their ratings are in different categories, the
lower of the ratings applies. 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 14, 2015, and represents estimated costs for the current fiscal year. For the six
months ended February 29, 2016, the annualized 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.
Fiscal-Year Total Returns (%): August 31, 2005, Through February 29, 2016 | ||
US Gov’t Money | ||
Market Funds | ||
Average | ||
Fiscal Year | Total Returns | Total Returns |
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 |
2015 | 0.01 | 0.00 |
2016 | 0.07 | 0.00 |
7-day SEC yield (2/29/2016): 0.30% | ||
Government Money Market Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||
Note: For 2016, performance data reflect the six months ended February 29, 2016. |
Average Annual Total Returns: Periods Ended December 31, 2015
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Federal Money Market Fund | 7/13/1981 | 0.04% | 0.02% | 1.27% |
See Financial Highlights for dividend information.
31
Federal Money Market Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 29, 2016
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 (77.1%) | |||||
2 | Fannie Mae Discount Notes | 0.350% | 3/1/16 | 738 | 738 |
2 | Fannie Mae Discount Notes | 0.476% | 3/9/16 | 75,000 | 74,992 |
2 | Fannie Mae Discount Notes | 0.341%–0.400% | 3/16/16 | 22,577 | 22,574 |
2 | Fannie Mae Discount Notes | 0.251% | 4/1/16 | 2,850 | 2,849 |
2 | Fannie Mae Discount Notes | 0.220% | 4/6/16 | 4,146 | 4,145 |
2 | Fannie Mae Discount Notes | 0.230% | 4/13/16 | 980 | 980 |
2 | Fannie Mae Discount Notes | 0.400% | 5/2/16 | 3,890 | 3,887 |
2 | Fannie Mae Discount Notes | 0.511% | 5/25/16 | 7,702 | 7,693 |
2 | Fannie Mae Discount Notes | 0.401%–0.521% | 6/1/16 | 126,857 | 126,720 |
2 | Fannie Mae Discount Notes | 0.377% | 6/2/16 | 52,500 | 52,449 |
2 | Fannie Mae Discount Notes | 0.637% | 6/8/16 | 10,671 | 10,652 |
2 | Fannie Mae Discount Notes | 0.552% | 6/16/16 | 9,388 | 9,373 |
2 | Fannie Mae Discount Notes | 0.366% | 6/21/16 | 60,000 | 59,932 |
2 | Fannie Mae Discount Notes | 0.471%–0.541% | 6/22/16 | 89,900 | 89,761 |
2 | Fannie Mae Discount Notes | 0.602% | 6/29/16 | 25,000 | 24,950 |
2 | Fannie Mae Discount Notes | 0.572% | 7/1/16 | 2,078 | 2,074 |
2 | Fannie Mae Discount Notes | 0.562% | 7/6/16 | 501 | 500 |
2 | Fannie Mae Discount Notes | 0.501% | 7/27/16 | 1,168 | 1,166 |
2 | Fannie Mae Discount Notes | 0.481% | 8/17/16 | 1,067 | 1,065 |
3 | Federal Home Loan Bank Discount Notes | 0.315%–0.360% | 3/2/16 | 25,745 | 25,745 |
3 | Federal Home Loan Bank Discount Notes | 0.280%–0.450% | 3/4/16 | 21,743 | 21,742 |
3 | Federal Home Loan Bank Discount Notes | 0.250%–0.481% | 3/9/16 | 53,375 | 53,369 |
3 | Federal Home Loan Bank Discount Notes | 0.481% | 3/11/16 | 43,144 | 43,138 |
3 | Federal Home Loan Bank Discount Notes | 0.360% | 3/16/16 | 389 | 389 |
3 | Federal Home Loan Bank Discount Notes | 0.340% | 3/21/16 | 15,100 | 15,097 |
3 | Federal Home Loan Bank Discount Notes | 0.398%–0.420% | 3/23/16 | 250,000 | 249,938 |
3 | Federal Home Loan Bank Discount Notes | 0.380% | 3/28/16 | 25,825 | 25,818 |
3 | Federal Home Loan Bank Discount Notes | 0.431% | 3/30/16 | 20,100 | 20,093 |
3 | Federal Home Loan Bank Discount Notes | 0.400% | 4/8/16 | 299 | 299 |
3 | Federal Home Loan Bank Discount Notes | 0.400% | 4/13/16 | 504 | 504 |
3 | Federal Home Loan Bank Discount Notes | 0.250%–0.420% | 4/15/16 | 61,079 | 61,055 |
3 | Federal Home Loan Bank Discount Notes | 0.250%–0.471% | 4/20/16 | 30,000 | 29,988 |
3 | Federal Home Loan Bank Discount Notes | 0.250% | 4/22/16 | 50,000 | 49,982 |
3 | Federal Home Loan Bank Discount Notes | 0.380% | 4/28/16 | 1,486 | 1,485 |
32
Federal Money Market Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Yield1 | Date | ($000) | ($000) | ||
3 | Federal Home Loan Bank Discount Notes | 0.410% | 4/29/16 | 904 | 903 |
3 | Federal Home Loan Bank Discount Notes | 0.481% | 5/4/16 | 428 | 428 |
3 | Federal Home Loan Bank Discount Notes | 0.402% | 5/6/16 | 58,000 | 57,957 |
3 | Federal Home Loan Bank Discount Notes | 0.390% | 5/11/16 | 15,112 | 15,100 |
3 | Federal Home Loan Bank Discount Notes | 0.351%–0.461% | 5/20/16 | 2,904 | 2,902 |
3 | Federal Home Loan Bank Discount Notes | 0.398% | 5/25/16 | 65,000 | 64,939 |
3 | Federal Home Loan Bank Discount Notes | 0.390%–0.602% | 5/27/16 | 103,672 | 103,572 |
3 | Federal Home Loan Bank Discount Notes | 0.521%–0.541% | 6/1/16 | 40,000 | 39,946 |
3 | Federal Home Loan Bank Discount Notes | 0.411% | 6/9/16 | 592 | 591 |
3 | Federal Home Loan Bank Discount Notes | 0.572% | 7/6/16 | 21,000 | 20,958 |
3 | Federal Home Loan Bank Discount Notes | 0.572%–0.582% | 7/8/16 | 115,798 | 115,560 |
3 | Federal Home Loan Bank Discount Notes | 0.511%–0.521% | 7/20/16 | 32,450 | 32,385 |
3 | Federal Home Loan Bank Discount Notes | 0.505% | 7/22/16 | 75,000 | 74,850 |
3 | Federal Home Loan Bank Discount Notes | 0.520% | 7/27/16 | 75,000 | 74,840 |
3 | Federal Home Loan Bank Discount Notes | 0.481%–0.491% | 8/10/16 | 48,122 | 48,016 |
3 | Federal Home Loan Bank Discount Notes | 0.465% | 8/12/16 | 137,500 | 137,209 |
3,4 | Federal Home Loan Banks | 0.420% | 7/6/16 | 40,000 | 40,000 |
3,4 | Federal Home Loan Banks | 0.375% | 8/18/16 | 10,000 | 9,996 |
3,4 | Federal Home Loan Banks | 0.464% | 9/2/16 | 245,000 | 245,002 |
3,4 | Federal Home Loan Banks | 0.524% | 1/26/17 | 100,000 | 100,000 |
2,4 | Federal Home Loan Mortgage Corp. | 0.427% | 7/21/16 | 87,000 | 86,998 |
2,4 | Federal Home Loan Mortgage Corp. | 0.374% | 8/17/16 | 50,000 | 50,000 |
2,4 | Federal Home Loan Mortgage Corp. | 0.390% | 9/2/16 | 200,000 | 200,000 |
2,4 | Federal Home Loan Mortgage Corp. | 0.562% | 7/21/17 | 100,000 | 99,986 |
2,4 | Federal National Mortgage Assn. | 0.446% | 7/25/16 | 25,000 | 25,003 |
2,4 | Federal National Mortgage Assn. | 0.451% | 8/12/16 | 35,000 | 35,005 |
2,4 | Federal National Mortgage Assn. | 0.447% | 8/15/16 | 143,985 | 144,009 |
2,4 | Federal National Mortgage Assn. | 0.438% | 9/8/17 | 100,000 | 99,985 |
2 | Freddie Mac Discount Notes | 0.430% | 3/1/16 | 170,000 | 170,000 |
2 | Freddie Mac Discount Notes | 0.361% | 3/7/16 | 5,000 | 5,000 |
2 | Freddie Mac Discount Notes | 0.280% | 3/11/16 | 60,000 | 59,995 |
2 | Freddie Mac Discount Notes | 0.240% | 3/16/16 | 25,000 | 24,997 |
2 | Freddie Mac Discount Notes | 0.370%–0.408% | 4/1/16 | 250,000 | 249,914 |
2 | Freddie Mac Discount Notes | 0.225%–0.350% | 4/4/16 | 78,598 | 78,580 |
2 | Freddie Mac Discount Notes | 0.421%–0.451% | 4/8/16 | 80,622 | 80,586 |
2 | Freddie Mac Discount Notes | 0.270% | 4/15/16 | 2,227 | 2,226 |
2 | Freddie Mac Discount Notes | 0.230% | 4/25/16 | 25,000 | 24,991 |
2 | Freddie Mac Discount Notes | 0.662% | 6/1/16 | 1,550 | 1,547 |
2 | Freddie Mac Discount Notes | 0.377%–0.390% | 6/2/16 | 50,945 | 50,895 |
2 | Freddie Mac Discount Notes | 0.380% | 6/3/16 | 25,000 | 24,975 |
2 | Freddie Mac Discount Notes | 0.411% | 6/7/16 | 50,000 | 49,944 |
2 | Freddie Mac Discount Notes | 0.381% | 6/9/16 | 21,775 | 21,752 |
2 | Freddie Mac Discount Notes | 0.481%–0.521% | 8/2/16 | 41,165 | 41,080 |
2 | Freddie Mac Discount Notes | 0.480% | 8/5/16 | 55,500 | 55,384 |
2 | Freddie Mac Discount Notes | 0.456% | 8/12/16 | 30,000 | 29,938 |
United States Treasury Bill | 0.341% | 5/12/16 | 21,195 | 21,181 | |
United States Treasury Bill | 0.416%–0.431% | 6/2/16 | 65,000 | 64,929 | |
United States Treasury Bill | 0.542% | 6/9/16 | 20,000 | 19,970 | |
United States Treasury Bill | 0.587% | 6/16/16 | 100,000 | 99,826 | |
4 | United States Treasury Floating Rate Note | 0.389% | 4/30/16 | 4,000 | 4,000 |
4 | United States Treasury Floating Rate Note | 0.373% | 10/31/16 | 50,000 | 49,983 |
4 | United States Treasury Floating Rate Note | 0.404% | 1/31/17 | 18,234 | 18,234 |
United States Treasury Note/Bond | 2.250% | 3/31/16 | 20,000 | 20,034 | |
United States Treasury Note/Bond | 0.375% | 3/31/16 | 19,955 | 19,958 |
33
Federal Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Yield1 | Date | ($000) | ($000) | |
United States Treasury Note/Bond | 5.125% | 5/15/16 | 45,000 | 45,454 |
United States Treasury Note/Bond | 3.250% | 5/31/16 | 50,000 | 50,353 |
United States Treasury Note/Bond | 0.375% | 5/31/16 | 25,000 | 25,003 |
United States Treasury Note/Bond | 3.250% | 7/31/16 | 194,813 | 197,029 |
United States Treasury Note/Bond | 0.875% | 9/15/16 | 75,000 | 75,139 |
Total U.S. Government and Agency Obligations (Cost $4,704,179) | 4,704,179 | |||
Repurchase Agreements (19.5%) | ||||
Bank of Montreal | ||||
(Dated 2/29/16, Repurchase Value | ||||
$144,001,000, collateralized by Treasury | ||||
Inflation Indexed Note/Bond, 0.125%–0.750%, | ||||
4/15/17–2/15/45, U.S. Treasury Bond/Note | ||||
0.750%–3.125%, 2/28/18–5/15/21; | ||||
with a value of $146,880,000) | 0.290% | 3/1/16 | 144,000 | 144,000 |
Bank of Nova Scotia | ||||
(Dated 2/29/16, Repurchase Value | ||||
$145,001,000, collateralized by Treasury | ||||
Inflation Indexed Note/Bond, 0.125%–3.875%, | ||||
1/15/23–4/15/29, U.S. Treasury Bond/Note | ||||
0.500%–2.125%, 3/31/17–8/15/25; | ||||
with a value of $147,900,000) | 0.300% | 3/1/16 | 145,000 | 145,000 |
Federal Reserve Bank of New York | ||||
(Dated 2/29/16, Repurchase Value $48,000,000, | ||||
collateralized by U.S. Treasury Bond/Note | ||||
2.000%–6.625%, 7/31/20–2/15/27; | ||||
with a value of $48,000,000) | 0.250% | 3/1/16 | 48,000 | 48,000 |
TD Securities (USA) LLC | ||||
(Dated 2/23/16, Repurchase Value | ||||
$400,025,000, collateralized by U.S. Treasury | ||||
Bond/Note 1.000%–5.375%, 6/30/18–8/15/45; | ||||
with a value of $408,000,000) | 0.320% | 3/1/16 | 400,000 | 400,000 |
TD Securities (USA) LLC | ||||
(Dated 2/24/16, Repurchase Value | ||||
$250,016,000, collateralized by U.S. Treasury | ||||
Bond/Note 0.875%–3.875%, 4/15/17–8/15/40; | ||||
with a value of $255,000,000) | 0.320% | 3/2/16 | 250,000 | 250,000 |
TD Securities (USA) LLC | ||||
(Dated 2/25/16, Repurchase Value | ||||
$200,012,000, collateralized by U.S. Treasury | ||||
Bill 0.000%, 5/26/16, U.S. Treasury Bond/Note | ||||
0.625%–2.750%, 11/15/16–8/31/20; | ||||
with a value of $204,000,000) | 0.320% | 3/3/16 | 200,000 | 200,000 |
Total Repurchase Agreements (Cost $1,187,000) | 1,187,000 | |||
Total Investments (96.6%) (Cost $5,891,179) | 5,891,179 |
34
Federal Money Market Fund
Amount | |
($000) | |
Other Assets and Liabilities (3.4%) | |
Other Assets | |
Investment in Vanguard | 472 |
Receivables for Accrued Income | 2,479 |
Receivables for Capital Shares Issued | 202,660 |
Other Assets | 3,991 |
Total Other Assets | 209,602 |
Liabilities | |
Payables for Capital Shares Redeemed | (180) |
Payables for Distributions | (55) |
Payables to Vanguard | (309) |
Total Liabilities | (544) |
Net Assets (100%) | |
Applicable to 6,099,672,877 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 6,100,237 |
Net Asset Value Per Share | $1.00 |
At February 29, 2016, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 6,100,183 |
Overdistributed Net Investment Income | (1) |
Accumulated Net Realized Gains | 55 |
Net Assets | 6,100,237 |
• 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.
35
Federal Money Market Fund
Statement of Operations
Six Months Ended | |
February 29, 2016 | |
($000) | |
Investment Income | |
Income | |
Interest | 5,868 |
Total Income | 5,868 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 60 |
Management and Administrative | 1,788 |
Marketing and Distribution | 454 |
Custodian Fees | 17 |
Shareholders’ Reports | 13 |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 2,333 |
Expense Reduction—Note B | — |
Net Expenses | 2,333 |
Net Investment Income | 3,535 |
Realized Net Gain (Loss) on Investment Securities Sold | 16 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 3,551 |
See accompanying Notes, which are an integral part of the Financial Statements.
36
Federal Money Market Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
February 29, | August 31, | |
2016 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 3,535 | 317 |
Realized Net Gain (Loss) | 16 | 14 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 3,551 | 331 |
Distributions | ||
Net Investment Income | (3,536) | (317) |
Realized Capital Gain | — | — |
Total Distributions | (3,536) | (317) |
Capital Share Transactions (at $1.00 per share) | ||
Issued | 3,824,135 | 972,690 |
Issued in Lieu of Cash Distributions | 3,418 | 311 |
Redeemed | (1,052,081) | (756,637) |
Net Increase (Decrease) from Capital Share Transactions | 2,775,472 | 216,364 |
Total Increase (Decrease) | 2,775,487 | 216,378 |
Net Assets | ||
Beginning of Period | 3,324,750 | 3,108,372 |
End of Period1 | 6,100,237 | 3,324,750 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($1,000) and $0. |
See accompanying Notes, which are an integral part of the Financial Statements.
37
Federal Money Market Fund
Financial Highlights
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 29, | Year Ended August 31, | |||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | |
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | |
Investment Operations | |||||||
Net Investment Income | .001 | .0001 | .0001 | .0001 | .0001 | .0002 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | — | — | — | — | — | — | |
Total from Investment Operations | .001 | .0001 | .0001 | .0001 | .0001 | .0002 | |
Distributions | |||||||
Dividends from Net Investment Income | (.001) | (.0001) | (.0001) | (.0001) | (.0001) | (.0002) | |
Distributions from Realized Capital Gains | — | — | (.0000)1 | — | — | — | |
Total Distributions | (.001) | (.0001) | (.0001) | (.0001) | (.0001) | (.0002) | |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | |
Total Return2 | 0.07% | 0.01% | 0.02% | 0.01% | 0.01% | 0.02% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $6,100 | $3,325 | $3,108 | $3,522 | $4,103 | $4,794 | |
Ratio of Expenses to | |||||||
Average Net Assets3 | 0.11% | 0.10% | 0.09% | 0.13% | 0.12% | 0.19% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 0.17% | 0.01% | 0.01% | 0.01% | 0.01% | 0.02% |
The expense ratio and net income ratio for the current period have been annualized.
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 2016, 0.11% for 2015, 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.
38
Federal Money Market Fund
Notes to Financial Statements
Vanguard Federal Money Market Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund invests in short-term debt instruments issued by the U.S. government or its agencies and instrumentalities, and repurchase agreements collateralized by such instruments.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. 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 counter-parties. 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 counter-party’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.
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, 2012–2015), and for the period ended February 29, 2016, 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 (“Vanguard”) participate in a $3 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 February 29, 2016, or at any time during the period then ended.
39
Federal Money Market Fund
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.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2016, the fund had contributed to Vanguard capital in the amount of $472,000, representing 0.01% of the fund’s net assets and 0.19% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, 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 in order to maintain a zero or positive yield for the fund. Vanguard and the board of trustees may terminate the temporary expense limitation at any time. For the period ended February 29, 2016, Vanguard’s expenses were reduced by $385 (an effective annual rate of 0.00% of the fund’s average net assets); the fund is not obligated to repay this amount to Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
At February 29, 2016, 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 February 29, 2016, that would require recognition or disclosure in these financial statements.
Treasury Money Market Fund
Fund Profile
As of February 29, 2016
Financial Attributes | |
Ticker Symbol | VUSXX |
Expense Ratio1 | 0.09% |
7-Day SEC Yield | 0.25% |
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 Moody's,
Fitch, and S&P. For securities rated by all three agencies, where two of them are in agreement and assign the highest rating
category, the highest rating applies. If a security is only rated by two agencies, and their ratings are in different categories, the
lower of the ratings applies. 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 14, 2015, and represents estimated costs for the current fiscal year. For the six
months ended February 29, 2016, the annualized expense ratio was 0.09%.
41
Treasury Money Market Fund
Performance Summary
Investment returns will fluctuate. All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) The returns shown do not reflect taxes that a shareholder would pay on fund distributions. An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the fund seeks to preserve the value of your investment at $1 per share, it is possible to lose money by investing in the fund. The fund’s 7-day SEC yield reflects its current earnings more closely than do the average annual returns.
Fiscal-Year Total Returns (%): August 31, 2005, Through February 29, 2016 | ||
iMoneyNet | ||
Average | ||
Fiscal Year | Total Returns | Total Returns |
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 |
2015 | 0.01 | 0.00 |
2016 | 0.05 | 0.00 |
7-day SEC yield (2/29/2016): 0.25% | ||
iMoneyNet Money Fund Report’s 100% Treasury Funds Average: Derived from data provided by iMoneyNet, Inc. | ||
Note: For 2016, performance data reflect the six months ended February 29, 2016. |
Average Annual Total Returns: Periods Ended December 31, 2015
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Treasury Money Market Fund | 12/14/1992 | 0.02% | 0.02% | 1.17% |
See Financial Highlights for dividend information.
42
Treasury Money Market Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 29, 2016
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 (101.4%) | |||||
United States Treasury Bill | 0.151%–0.261% | 3/3/16 | 149,797 | 149,795 | |
United States Treasury Bill | 0.230%–0.280% | 3/10/16 | 961,437 | 961,371 | |
United States Treasury Bill | 0.250%–0.252% | 3/24/16 | 316,000 | 315,949 | |
United States Treasury Bill | 0.260% | 3/31/16 | 769,000 | 768,833 | |
United States Treasury Bill | 0.251%–0.255% | 4/21/16 | 143,000 | 142,949 | |
United States Treasury Bill | 0.306% | 4/28/16 | 439,000 | 438,784 | |
United States Treasury Bill | 0.280%–0.347% | 5/5/16 | 1,419,000 | 1,418,176 | |
United States Treasury Bill | 0.311%–0.315% | 5/12/16 | 698,402 | 697,962 | |
United States Treasury Bill | 0.306% | 5/19/16 | 491,000 | 490,670 | |
United States Treasury Bill | 0.303%–0.320% | 5/26/16 | 621,585 | 621,122 | |
United States Treasury Bill | 0.321% | 6/2/16 | 149,918 | 149,796 | |
United States Treasury Bill | 0.558% | 6/9/16 | 320,000 | 319,506 | |
United States Treasury Bill | 0.458% | 8/25/16 | 300,000 | 299,326 | |
2 | United States Treasury Floating Rate Note | 0.389% | 4/30/16 | 35,000 | 35,000 |
2 | United States Treasury Floating Rate Note | 0.390% | 7/31/16 | 150,000 | 150,000 |
2 | United States Treasury Floating Rate Note | 0.373% | 10/31/16 | 640,000 | 639,899 |
2 | United States Treasury Floating Rate Note | 0.404% | 1/31/17 | 300,287 | 300,281 |
2 | United States Treasury Floating Rate Note | 0.397% | 7/31/17 | 100,000 | 99,938 |
2 | United States Treasury Floating Rate Note | 0.488% | 10/31/17 | 100,000 | 99,799 |
2 | United States Treasury Floating Rate Note | 0.592% | 1/31/18 | 135,000 | 135,081 |
United States Treasury Note/Bond | 0.375% | 3/31/16 | 300,000 | 300,002 | |
United States Treasury Note/Bond | 0.375% | 4/30/16 | 175,000 | 174,997 | |
United States Treasury Note/Bond | 3.250% | 5/31/16 | 300,000 | 302,118 | |
United States Treasury Note/Bond | 0.625% | 7/15/16 | 457,000 | 457,361 | |
United States Treasury Note/Bond | 1.500% | 7/31/16 | 250,000 | 251,043 | |
United States Treasury Note/Bond | 0.500% | 7/31/16 | 40,000 | 40,010 | |
Total U.S. Government and Agency Obligations (Cost $9,759,768) | 9,759,768 | ||||
Total Investments (101.4%) (Cost $9,759,768) | 9,759,768 |
43
Treasury Money Market Fund
Amount | |
($000) | |
Other Assets and Liabilities (-1.4%) | |
Other Assets | |
Investment in Vanguard | 835 |
Receivables for Accrued Income | 4,329 |
Receivables for Capital Shares Issued | 11,953 |
Other Assets | 4,005 |
Total Other Assets | 21,122 |
Liabilities | |
Payables for Investment Securities Purchased | (149,796) |
Payables for Capital Shares Redeemed | (8,428) |
Payables for Distributions | (36) |
Payables to Vanguard | (424) |
Total Liabilities | (158,684) |
Net Assets (100%) | |
Applicable to 9,619,204,496 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 9,622,206 |
Net Asset Value Per Share | $1.00 |
At February 29, 2016, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 9,622,244 |
Undistributed Net Investment Income | — |
Accumulated Net Realized Losses | (38) |
Net Assets | 9,622,206 |
• 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.
44
Treasury Money Market Fund
Statement of Operations
Six Months Ended | |
February 29, 2016 | |
($000) | |
Investment Income | |
Income | |
Interest | 8,254 |
Total Income | 8,254 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 127 |
Management and Administrative | 3,160 |
Marketing and Distribution | 813 |
Custodian Fees | 45 |
Shareholders’ Reports | 10 |
Trustees’ Fees and Expenses | 3 |
Total Expenses | 4,158 |
Expense Reduction—Note B | (199) |
Net Expenses | 3,959 |
Net Investment Income | 4,295 |
Realized Net Gain (Loss) on Investment Securities Sold | (38) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 4,257 |
See accompanying Notes, which are an integral part of the Financial Statements.
45
Treasury Money Market Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
February 29, | August 31, | |
2016 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 4,295 | 985 |
Realized Net Gain (Loss) | (38) | 37 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 4,257 | 1,022 |
Distributions | ||
Net Investment Income | (4,295) | (985) |
Realized Capital Gain | — | — |
Total Distributions | (4,295) | (985) |
Capital Share Transactions (at $1.00 per share) | ||
Issued | 950,289 | 568,831 |
Issued in Lieu of Cash Distributions | 4,186 | 960 |
Redeemed | (720,163) | (1,546,511) |
Net Increase (Decrease) from Capital Share Transactions | 234,312 | (976,720) |
Total Increase (Decrease) | 234,274 | (976,683) |
Net Assets | ||
Beginning of Period | 9,387,932 | 10,364,615 |
End of Period1 | 9,622,206 | 9,387,932 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $0 and $0. |
See accompanying Notes, which are an integral part of the Financial Statements.
46
Treasury Money Market Fund
Financial Highlights
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 29, | Year Ended August 31, | |||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | |
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | |
Investment Operations | |||||||
Net Investment Income | .0005 | .0001 | .0001 | .0002 | .0001 | .0002 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | — | — | — | — | — | — | |
Total from Investment Operations | .0005 | .0001 | .0001 | .0002 | .0001 | .0002 | |
Distributions | |||||||
Dividends from Net Investment Income | (.0005) | (.0001) | (.0001) | (.0002) | (.0001) | (.0002) | |
Distributions from Realized Capital Gains | — | — | (.0000)1 | — | — | — | |
Total Distributions | (.0005) | (.0001) | (.0001) | (.0002) | (.0001) | (.0002) | |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | |
Total Return2 | 0.05% | 0.01% | 0.01% | 0.02% | 0.01% | 0.02% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $9,622 | $9,388 | $10,365 | $11,660 | $13,354 | $15,314 | |
Ratio of Expenses to | |||||||
Average Net Assets3 | 0.09% | 0.04% | 0.05% | 0.08% | 0.05% | 0.11% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 0.09% | 0.01% | 0.01% | 0.02% | 0.01% | 0.02% |
The expense ratio and net income ratio for the current period have been annualized.
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 0.09% for 2016, 0.09% for 2015, 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.
47
Treasury Money Market Fund
Notes to Financial Statements
Vanguard 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, 2012–2015), and for the period ended February 29, 2016, 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 (“Vanguard”) participate in a $3 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 February 29, 2016, 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. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
48
Treasury Money Market Fund
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2016, the fund had contributed to Vanguard capital in the amount of $835,000, representing 0.01% of the fund’s net assets and 0.33% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, 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 in order to maintain a zero or positive yield for the fund. Vanguard and the board of trustees may terminate the temporary expense limitation at any time. For the period ended February 29, 2016, Vanguard’s expenses were reduced by $199,000 (an effective annual rate of 0.00% of the fund’s average net assets); the fund is not obligated to repay this amount to Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
At February 29, 2016, 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 February 29, 2016, that would require recognition or disclosure in these financial statements.
49
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
50
Six Months Ended February 29, 2016 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
8/31/2015 | 2/29/2016 | Period | |
Based on Actual Fund Return | |||
Prime Money Market Fund | |||
Investor Shares | $1,000.00 | $1,000.95 | $0.80 |
Admiral Shares | 1,000.00 | 1,001.25 | 0.50 |
Federal Money Market Fund | $1,000.00 | $1,000.74 | $0.55 |
Treasury Money Market Fund | $1,000.00 | $1,000.46 | $0.45 |
Based on Hypothetical 5% Yearly Return | |||
Prime Money Market Fund | |||
Investor Shares | $1,000.00 | $1,024.07 | $0.81 |
Admiral Shares | 1,000.00 | 1,024.37 | 0.50 |
Federal Money Market Fund | $1,000.00 | $1,024.32 | $0.55 |
Treasury Money Market Fund | $1,000.00 | $1,024.42 | $0.45 |
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for the
period are: for the Prime Money Market Fund, 0.16% for Investor Shares and 0.10% for Admiral Shares; for the Federal Money Market Fund,
0.11%; and for the Treasury Money Market Fund, 0.09%. 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 (182/366).
51
Glossary
SEC Yields. A money market fund’s 7-day SEC yield is calculated by annualizing its income distributions for the previous seven days, as required by the U.S. Securities and Exchange Commission.
Average Weighted Maturity. The average length of time until fixed income securities held by a fund reach maturity and are repaid. The figure reflects the proportion of fund assets represented by each security.
Credit Quality. For Vanguard money market funds, the Distribution by Credit Quality table includes tier ratings for consistency with SEC Rule 2a-7 under the Investment Company Act of 1940, which governs money market funds. A First Tier security is one that is eligible for money market funds and has been rated in the highest short-term rating category for debt obligations by nationally recognized statistical rating organizations. Credit-quality ratings are obtained from Moody’s, Fitch, and S&P. For securities rated by all three agencies, where two of them are in agreement and assign the highest rating category, the highest rating applies. If a security is only rated by two agencies, and their ratings are in different categories, the lower of the ratings applies. 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.
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 196 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 | Rajiv L. Gupta |
Born 1945. Trustee Since December 2001.2 Principal | |
F. William McNabb III | Occupation(s) During the Past Five Years and Other |
Born 1957. Trustee Since July 2009. Chairman of | Experience: Chairman and Chief Executive Officer |
the Board. Principal Occupation(s) During the Past | (retired 2009) and President (2006–2008) of |
Five Years and Other Experience: Chairman of the | Rohm and Haas Co. (chemicals); Director of Tyco |
Board of The Vanguard Group, Inc., and of each of | International PLC (diversified manufacturing and |
the investment companies served by The Vanguard | services), HP Inc. (printer and personal computer |
Group, since January 2010; Director of The Vanguard | manufacturing), and Delphi Automotive PLC |
Group since 2008; Chief Executive Officer and | (automotive components); Senior Advisor at |
President of The Vanguard Group, and of each of | New Mountain Capital. |
the investment companies served by The Vanguard | |
Group, since 2008; Director of Vanguard Marketing | Amy Gutmann |
Corporation; Managing Director of The Vanguard | Born 1949. Trustee Since June 2006. Principal |
Group (1995–2008). | Occupation(s) During the Past Five Years and |
Other Experience: President of the University of | |
IndependentTrustees | Pennsylvania; Christopher H. Browne Distinguished |
Professor of Political Science, School of Arts and | |
Emerson U. Fullwood | Sciences, and Professor of Communication, Annenberg |
Born 1948. Trustee Since January 2008. Principal | School for Communication, with secondary faculty |
Occupation(s) During the Past Five Years and Other | appointments in the Department of Philosophy, School |
Experience: Executive Chief Staff and Marketing | of Arts and Sciences, and at the Graduate School of |
Officer for North America and Corporate Vice President | Education, University of Pennsylvania; Trustee of the |
(retired 2008) of Xerox Corporation (document manage- | National Constitution Center; Chair of the Presidential |
ment products and services); Executive in Residence | Commission for the Study of Bioethical Issues. |
and 2009–2010 Distinguished Minett Professor at | |
the Rochester Institute of Technology; Lead Director | JoAnn Heffernan Heisen |
of SPX FLOW, Inc. (multi-industry manufacturing); | Born 1950. Trustee Since July 1998. Principal |
Director of the United Way of Rochester, the University | Occupation(s) During the Past Five Years and |
of Rochester Medical Center, Monroe Community | Other Experience: Corporate Vice President and |
College Foundation, North Carolina A&T University, | Chief Global Diversity Officer (retired 2008) and |
and Roberts Wesleyan College. | Member of the Executive Committee (1997–2008) |
of Johnson & Johnson (pharmaceuticals/medical | |
devices/consumer products); Director of Skytop | |
Lodge Corporation (hotels) and the Robert Wood | |
Johnson Foundation; Member of the Advisory | |
Board of the Institute for Women’s Leadership | |
at Rutgers University. |
F. Joseph Loughrey | Executive Officers | |
Born 1949. Trustee Since October 2009. Principal | ||
Occupation(s) During the Past Five Years and Other | Glenn Booraem | |
Experience: President and Chief Operating Officer | Born 1967. Treasurer Since May 2015. Principal | |
(retired 2009) of Cummins Inc. (industrial machinery); | Occupation(s) During the Past Five Years and | |
Chairman of the Board of Hillenbrand, Inc. (specialized | Other Experience: Principal of The Vanguard Group, | |
consumer services), and of Oxfam America; Director | Inc.; Treasurer of each of the investment companies | |
of SKF AB (industrial machinery), Hyster-Yale Materials | served by The Vanguard Group; Controller of each of | |
Handling, Inc. (forklift trucks), the Lumina Foundation | the investment companies served by The Vanguard | |
for Education, and the V Foundation for Cancer | Group (2010–2015); Assistant Controller of each of | |
Research; Member of the Advisory Council for the | the investment companies served by The Vanguard | |
College of Arts and Letters and of the Advisory Board | Group (2001–2010). | |
to the Kellogg Institute for International Studies, both | ||
at the University of Notre Dame. | Thomas J. Higgins | |
Born 1957. Chief Financial Officer Since September | ||
Mark Loughridge | 2008. Principal Occupation(s) During the Past Five | |
Born 1953. Trustee Since March 2012. Principal | Years and Other Experience: Principal of The Vanguard | |
Occupation(s) During the Past Five Years and Other | Group, Inc.; Chief Financial Officer of each of the | |
Experience: Senior Vice President and Chief Financial | investment companies served by The Vanguard Group; | |
Officer (retired 2013) at IBM (information technology | Treasurer of each of the investment companies served | |
services); Fiduciary Member of IBM’s Retirement Plan | by The Vanguard Group (1998–2008). | |
Committee (2004–2013); Director of the Dow Chemical | ||
Company; Member of the Council on Chicago Booth. | Peter Mahoney | |
Born 1974. Controller Since May 2015. Principal | ||
Scott C. Malpass | Occupation(s) During the Past Five Years and | |
Born 1962. Trustee Since March 2012. Principal | Other Experience: Head of Global Fund Accounting | |
Occupation(s) During the Past Five Years and Other | at The Vanguard Group, Inc.; Controller of each of the | |
Experience: Chief Investment Officer and Vice | investment companies served by The Vanguard Group; | |
President at the University of Notre Dame; Assistant | Head of International Fund Services at The Vanguard | |
Professor of Finance at the Mendoza College of | Group (2008–2014). | |
Business at Notre Dame; Member of the Notre Dame | ||
403(b) Investment Committee, the Board of Advisors | Heidi Stam | |
for Spruceview Capital Partners, and the Investment | Born 1956. Secretary Since July 2005. Principal | |
Advisory Committee of Major League Baseball; Board | Occupation(s) During the Past Five Years and Other | |
Member of TIFF Advisory Services, Inc., and Catholic | Experience: Managing Director of The Vanguard | |
Investment Services, Inc. (investment advisors). | Group, Inc.; General Counsel of The Vanguard Group; | |
Secretary of The Vanguard Group and of each of the | ||
André F. Perold | investment companies served by The Vanguard Group; | |
Born 1952. Trustee Since December 2004. Principal | Director and Senior Vice President of Vanguard | |
Occupation(s) During the Past Five Years and Other | Marketing Corporation. | |
Experience: George Gund Professor of Finance and | ||
Banking, Emeritus at the Harvard Business School | Vanguard Senior ManagementTeam | |
(retired 2011); Chief Investment Officer and Managing | Mortimer J. Buckley | James M. Norris |
Partner of HighVista Strategies LLC (private investment | Kathleen C. Gubanich | Thomas M. Rampulla |
firm); Director of Rand Merchant Bank; Overseer of | Martha G. King | Glenn W. Reed |
the Museum of Fine Arts Boston. | John T. Marcante | Karin A. Risi |
Chris D. McIsaac | ||
Peter F. Volanakis | ||
Born 1955. Trustee Since July 2009. Principal | ||
Occupation(s) During the Past Five Years and Other | Chairman Emeritus and Senior Advisor | |
Experience: President and Chief Operating Officer | ||
(retired 2010) of Corning Incorporated (communications | John J. Brennan | |
equipment); Trustee of Colby-Sawyer College and | Chairman, 1996–2009 | |
Chairman of its Finance and Enrollment Committee; | Chief Executive Officer and President, 1996–2008 | |
Member of the Advisory Board of the Norris Cotton | ||
Cancer Center. | Founder | |
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.
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Q302 042016 |
Semiannual Report | February 29, 2016
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
Vanguard’s Principles for Investing Success
We want to give you the best chance of investment success. These principles, grounded in Vanguard’s research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds. Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
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. | 25 |
S&P Mid-Cap 400 Growth Index Fund. | 40 |
About Your Fund’s Expenses. | 55 |
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: Pictured is a sailing block on the Brilliant, a 1932 schooner docked in Mystic, Connecticut. A type of pulley, the
sailing block helps coordinate the setting of the sails. At Vanguard, the intricate coordination of technology and people allows
us to help millions of clients around the world reach their financial goals.
Your Fund’s Total Returns
Six Months Ended February 29, 2016 | |
Total | |
Returns | |
Vanguard S&P Mid-Cap 400 Index Fund | |
ETF Shares | |
Market Price | -5.13% |
Net Asset Value | -5.08 |
Institutional Shares | -5.05 |
S&P MidCap 400 Index | -5.03 |
Mid-Cap Core Funds Average | -7.47 |
Mid-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
Vanguard S&P Mid-Cap 400 Value Index Fund | |
ETF Shares | |
Market Price | -5.09% |
Net Asset Value | -5.08 |
Institutional Shares | -5.04 |
S&P MidCap 400 Value Index | -5.02 |
Mid-Cap Value Funds Average | -6.85 |
Mid-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
Vanguard S&P Mid-Cap 400 Growth Index Fund | |
ETF Shares | |
Market Price | -5.22% |
Net Asset Value | -5.22 |
Institutional Shares | -5.18 |
S&P MidCap 400 Growth Index | -5.15 |
Mid-Cap Growth Funds Average | -10.19 |
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,
U.S. stocks slipped into negative territory for the six months ended February 29, 2016. Small- and mid-capitalization stocks struggled most as investors grew more risk-averse in a volatile market environment. Although large-cap stocks didn’t escape the downdraft, they fared noticeably better. Medium-sized companies performed slightly better than smaller ones.
Returns for all three Vanguard S&P Mid-Cap 400 Index Funds were similar; each returned about –5% for the half year.
Each fund met its objective of closely tracking its target index and surpassed the average return of its peers.
Stocks mostly slumped for the fiscal half year
U.S. stocks returned about –3% for the period. Results were negative in four of the six months. Only October’s return of about 8% prevented an even weaker six-month performance.
Fears that China’s economic slowdown would spread globally weighed on results. Oil and commodity prices, which declined through most of the period before showing some resilience in February, also concerned investors.
2
In December, the Federal Reserve increased its target for short-term interest rates to 0.25%–0.5%. Central banks in Europe and Asia, in contrast, boosted stimulus efforts to battle weak growth and low inflation.
International stocks returned about –9%, a result that would have been less severe if not for the U.S. dollar’s strength against many foreign currencies. European stocks were among the worst performers.
Bonds registered gains as investors cut their risk
The broad U.S. taxable bond market returned 2.20% over the six months. Most of the gains came in January and February as investors sought safe-haven assets amid stock market turmoil. The yield of the 10-year U.S. Treasury note closed at 1.74% in February, down from 2.18% six months earlier. (Bond prices and yields move in opposite directions.)
The Fed’s target rate, which had stayed anchored at 0%–0.25% until the small rise in December, kept a lid on returns for money market funds and savings accounts.
International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned 3.13%. Bonds globally have been buoyed by negative interest rates. In December the European Central Bank cut a key rate further into negative territory, and in late January the Bank of Japan adopted a negative-rate policy.
Market Barometer | |||
Total Returns | |||
Periods Ended February 29, 2016 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | -2.03% | -7.21% | 9.92% |
Russell 2000 Index (Small-caps) | -10.16 | -14.97 | 6.11 |
Russell 3000 Index (Broad U.S. market) | -2.68 | -7.84 | 9.61 |
FTSE All-World ex US Index (International) | -9.12 | -16.79 | -0.89 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | 2.20% | 1.50% | 3.60% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 3.62 | 3.95 | 5.45 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.04 | 0.06 | 0.04 |
CPI | |||
Consumer Price Index | -0.51% | 1.02% | 1.39% |
3
Mid-caps of all styles fell amid market uncertainty
The three S&P Mid-Cap 400 Index Funds expose investors to medium-sized companies in the broad U.S. stock market. These companies tend to have a greater potential for earnings growth than larger ones, and their shares are typically less volatile than small-caps. However, in times of market volatility, mid-cap stocks are vulnerable to setbacks. During the most recent period, investors gravitated more toward larger firms, which generally provide more predictable earnings, steadier returns, and higher yields.
Consumer discretionary stocks weighed most on the returns of the Mid-Cap 400 Growth and Mid-Cap 400 Index Funds.
All three funds’ holdings in the sector declined as consumers spent less on nonessential items.
Health care was another major source of weakness for all the funds. Although the number of insured expanded under the Affordable Care Act, concerns remain over the law’s effects on the managed-care industry. Health care providers and services, especially managed-care companies, detracted most from the funds’ returns in this sector.
Information technology was a big drag on the Mid-Cap 400 Growth Index Fund’s performance. Software and communications equipment stocks faltered as investors worried about the U.S. economy’s prospects for growth.
Expense Ratios | |||
Your Fund Compared With Its Peer Group | |||
ETF | Institutional | Peer Group | |
Shares | Shares | Average | |
S&P Mid-Cap 400 Index Fund | 0.15% | 0.08% | 1.18% |
S&P Mid-Cap 400 Value Index Fund | 0.20 | 0.08 | 1.25 |
S&P Mid-Cap 400 Growth Index Fund | 0.20 | 0.08 | 1.31 |
The fund expense ratios shown are from the prospectus dated December 14, 2015, and represent estimated costs for the current fiscal year.
For the six months ended February 29, 2016, the funds’ annualized expense ratios were: for the S&P Mid-Cap 400 Index Fund, 0.13% for ETF
Shares and 0.07% for Institutional Shares; for the S&P Mid-Cap 400 Value Index Fund, 0.18% for ETF Shares and 0.07% for Institutional
Shares; and for the S&P Mid-Cap 400 Growth Index Fund, 0.18% for ETF Shares and 0.07% for Institutional Shares. Peer-group expense ratios
are derived from data provided by Lipper, a Thomson Reuters Company, and capture information through year-end 2015.
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
Financial stocks, which constituted the largest sector in all three funds, were especially weak. Although the Fed nudged rates up in December, the low-rate environment pressured the margins of regional banks.
Energy holdings posted the steepest declines. The Mid-Cap 400 Value and Index Funds were most affected as lower oil prices hurt most energy-related companies.
Vanguard’s growth translates into lower costs for you |
Research indicates that lower-cost investments have tended to outperform higher-cost ones. |
So it’s little wonder that funds with lower expense ratios—including those at Vanguard—have |
dominated the industry’s cash inflows in recent years. |
Vanguard has long been a low-cost leader, with expenses well below those of many other |
investment management companies. That cost difference remains a powerful advantage for |
Vanguard clients. Why? Because a lower expense ratio allows a fund to pass along a greater |
share of its returns to its investors. |
What’s more, as you can see in the chart below, we’ve been able to lower our costs continually |
as our assets under management have grown. Our steady growth has not been an explicit |
business objective. Rather, we focus on putting our clients’ interests first at all times, and |
giving them the best chance for investment success. But economies of scale—the cost |
efficiencies that come with our growth—have allowed us to keep lowering our fund costs, |
even as we invest in our people and technology. |
The benefit of economies of scale |
Note: Data are for U.S.-based Vanguard funds only. |
Source: Vanguard. |
5
The utilities sector performed best for all three funds. These stocks generally deliver relatively reliable returns and large dividends—attractive features for investors amid market volatility and low rates.
Doing what’s best for clients: That’s how we were built
It’s hard for me to believe, but this year will be my 30th with Vanguard. I knew little about the company when I started in June 1986, but I soon learned what makes Vanguard unique.
Simply put, we’re built differently.
We don’t have stockholders or outside owners. Instead, Vanguard is owned by its funds, which in turn are owned by you—Vanguard clients.
This structure matters because it ensures that our interests are completely aligned with those of our clients. We never have to weigh what’s best for clients against what’s best for the company’s owners; they’re one and the same. Our client-owned structure is what allows us to operate our funds at cost. And it’s why Vanguard’s expense ratios remain among the lowest in the industry. (See the box on page 5 for more on this.)
At the same time, we continually dedicate resources to enhance Vanguard’s service and investment capabilities. We aspire to provide the highest possible quality at the lowest possible price. That was true 30 years ago, it’s true today, and it will remain our focus for decades to come. After all, we’re built to put the long-term interests of our clients first.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
March 10, 2016
6
Your Fund’s Performance at a Glance | ||||
August 31, 2015, Through February 29, 2016 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard S&P Mid-Cap 400 Index Fund | ||||
ETF Shares | $95.87 | $89.71 | $1.359 | $0.000 |
Institutional Shares | 191.51 | 179.13 | 2.856 | 0.000 |
Vanguard S&P Mid-Cap 400 Value Index Fund | ||||
ETF Shares | $91.40 | $85.33 | $1.471 | $0.000 |
Institutional Shares | 182.92 | 170.76 | 3.064 | 0.000 |
Vanguard S&P Mid-Cap 400 Growth Index | ||||
Fund | ||||
ETF Shares | $99.88 | $93.68 | $1.034 | $0.000 |
Institutional Shares | 198.85 | 186.45 | 2.240 | 0.000 |
7
S&P Mid-Cap 400 Index Fund
Fund Profile
As of February 29, 2016
Share-Class Characteristics | ||
ETF | Institutional | |
Shares | Shares | |
Ticker Symbol | IVOO | VSPMX |
Expense Ratio1 | 0.15% | 0.08% |
30-Day SEC Yield | 1.63% | 1.70% |
Portfolio Characteristics | |||
DJ | |||
S&P | U.S. Total | ||
MidCap | Market | ||
Fund | 400 Index | FA Index | |
Number of Stocks | 402 | 400 | 3,906 |
Median Market Cap | $4.4B | $4.4B | $50.4B |
Price/Earnings Ratio | 22.6x | 22.6x | 20.1x |
Price/Book Ratio | 2.2x | 2.2x | 2.5x |
Return on Equity | 13.7% | 13.7% | 17.5% |
Earnings Growth | |||
Rate | 12.5% | 12.5% | 8.4% |
Dividend Yield | 1.8% | 1.8% | 2.2% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 9% | — | — |
Short-Term Reserves | -0.4% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
U.S. | |||
Total | |||
S&P | Market | ||
MidCap | FA | ||
Fund | 400 Index | Index | |
Consumer | |||
Discretionary | 13.6% | 13.7% | 13.6% |
Consumer Staples | 4.2 | 4.1 | 9.4 |
Energy | 2.6 | 2.6 | 5.9 |
Financials | 25.4 | 25.2 | 17.4 |
Health Care | 9.7 | 9.8 | 14.2 |
Industrials | 15.3 | 15.4 | 10.7 |
Information | |||
Technology | 16.7 | 16.7 | 19.7 |
Materials | 6.6 | 6.6 | 3.1 |
Telecommunication | |||
Services | 0.2 | 0.2 | 2.5 |
Utilities | 5.7 | 5.7 | 3.5 |
Volatility Measures | ||
DJ | ||
S&P | U.S. Total | |
MidCap | Market | |
400 Index | FA Index | |
R-Squared | 1.00 | 0.87 |
Beta | 1.00 | 1.00 |
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) | ||
Jarden Corp. | Housewares & | |
Specialties | 0.8% | |
Alaska Air Group Inc. | Airlines | 0.7 |
Acuity Brands Inc. | Electrical | |
Components & | ||
Equipment | 0.7 | |
UDR Inc. | Residential REITs | 0.6 |
Mettler-Toledo | Life Sciences Tools & | |
International Inc. | Services | 0.6 |
Foot Locker Inc. | Apparel Retail | 0.6 |
Hologic Inc. | Health Care | |
Equipment | 0.6 | |
LKQ Corp. | Distributors | 0.6 |
Fortune Brands Home & | ||
Security Inc. | Building Products | 0.6 |
Everest Re Group Ltd. | Reinsurance | 0.6 |
Top Ten | 6.4% | |
The holdings listed exclude any temporary cash investments and equity index products. |
Investment Focus
1 The expense ratios shown are from the prospectus dated December 14, 2015, and represent estimated costs for the current fiscal year. For the six
months ended February 29, 2016, the annualized expense ratios were 0.13% for ETF Shares and 0.07% for Institutional Shares.
8
S&P Mid-Cap 400 Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): September 7, 2010, Through February 29, 2016
Average Annual Total Returns: Periods Ended December 31, 2015
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
Inception | One | Five | Since | |
Date | Year | Years | Inception | |
ETF Shares | 9/7/2010 | |||
Market Price | -2.31% | 10.37% | 13.82% | |
Net Asset Value | -2.30 | 10.53 | 13.82 | |
Institutional Shares | 3/28/20111 | -2.23 | — | 9.64 |
1 Institutional Shares were first issued on December 15, 2010, and the sole shareholder redeemed shortly thereafter. Institutional Shares
were next issued on March 28, 2011. The total returns shown are based on the period beginning March 28, 2011.
See Financial Highlights for dividend and capital gains information.
9
S&P Mid-Cap 400 Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 29, 2016
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | |||
Value• | |||
Shares | ($000) | ||
Common Stocks (100.1%)1 | |||
Consumer Discretionary (13.7%) | |||
* | Jarden Corp. | 150,052 | 7,935 |
Foot Locker Inc. | 99,438 | 6,215 | |
* | LKQ Corp. | 221,313 | 6,108 |
Domino’s Pizza Inc. | 39,592 | 5,267 | |
* | NVR Inc. | 2,665 | 4,363 |
Polaris Industries Inc. | 44,175 | 3,883 | |
Carter’s Inc. | 37,669 | 3,828 | |
* | Panera Bread Co. Class A | 17,244 | 3,573 |
Service Corp. International | 142,378 | 3,349 | |
* | Toll Brothers Inc. | 117,489 | 3,225 |
Williams-Sonoma Inc. | 60,489 | 3,152 | |
Dunkin’ Brands Group Inc. | 67,126 | 3,127 | |
* | Skechers U.S.A. Inc. | ||
Class A | 94,176 | 3,100 | |
Gentex Corp. | 211,229 | 3,076 | |
* | AMC Networks Inc. | ||
Class A | 44,130 | 2,892 | |
Brunswick Corp. | 65,971 | 2,806 | |
Dick’s Sporting Goods Inc. | 65,274 | 2,772 | |
* | Tempur Sealy International | ||
Inc. | 45,097 | 2,601 | |
^ | Cracker Barrel Old Country | ||
Store Inc. | 17,347 | 2,568 | |
Cinemark Holdings Inc. | 76,447 | 2,530 | |
Pool Corp. | 30,870 | 2,478 | |
* | Live Nation Entertainment | ||
Inc. | 105,578 | 2,322 | |
*,^ | JC Penney Co. Inc. | 221,409 | 2,258 |
* | Vista Outdoor Inc. | 45,152 | 2,226 |
* | Buffalo Wild Wings Inc. | 13,802 | 2,190 |
Brinker International Inc. | 43,158 | 2,149 | |
American Eagle Outfitters | |||
Inc. | 129,774 | 1,980 | |
* | Kate Spade & Co. | 92,553 | 1,834 |
Thor Industries Inc. | 33,093 | 1,833 | |
Tupperware Brands Corp. | 36,496 | 1,823 |
* | Office Depot Inc. | 357,901 | 1,818 |
* | Murphy USA Inc. | 28,393 | 1,808 |
Jack in the Box Inc. | 25,940 | 1,783 | |
CST Brands Inc. | 54,798 | 1,778 | |
* | Cabela’s Inc. | 35,672 | 1,712 |
CalAtlantic Group Inc. | 55,257 | 1,677 | |
Cheesecake Factory Inc. | 32,799 | 1,637 | |
Graham Holdings Co. | |||
Class B | 3,252 | 1,587 | |
John Wiley & Sons Inc. | |||
Class A | 35,567 | 1,548 | |
Wendy’s Co. | 158,571 | 1,486 | |
Big Lots Inc. | 35,919 | 1,453 | |
Abercrombie & Fitch Co. | 48,724 | 1,416 | |
* | Fossil Group Inc. | 30,002 | 1,407 |
Cable One Inc. | 3,226 | 1,383 | |
Dana Holding Corp. | 110,829 | 1,379 | |
* | Deckers Outdoor Corp. | 23,439 | 1,326 |
* | DreamWorks Animation | ||
SKG Inc. Class A | 51,535 | 1,322 | |
Chico’s FAS Inc. | 101,071 | 1,290 | |
HSN Inc. | 23,209 | 1,232 | |
Meredith Corp. | 27,325 | 1,188 | |
New York Times Co. | |||
Class A | 89,914 | 1,130 | |
Time Inc. | 79,056 | 1,115 | |
* | TRI Pointe Group Inc. | 104,890 | 1,081 |
Aaron’s Inc. | 46,851 | 1,077 | |
* | Ascena Retail Group Inc. | 124,198 | 1,050 |
Sotheby’s | 43,131 | 981 | |
Guess? Inc. | 45,815 | 978 | |
KB Home | 65,568 | 800 | |
DeVry Education Group Inc. | 41,115 | 751 | |
International Speedway | |||
Corp. Class A | 19,209 | 663 | |
MDC Holdings Inc. | 28,135 | 622 | |
137,941 |
10
S&P Mid-Cap 400 Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Consumer Staples (4.2%) | |||
Ingredion Inc. | 51,832 | 5,247 | |
* | WhiteWave Foods Co. | ||
Class A | 127,656 | 4,943 | |
* | TreeHouse Foods Inc. | 39,585 | 3,342 |
* | Edgewell Personal Care Co. | 43,497 | 3,325 |
* | Post Holdings Inc. | 44,981 | 3,124 |
Casey’s General Stores Inc. | 28,263 | 2,984 | |
* | Sprouts Farmers Market Inc. | 104,619 | 2,980 |
* | Hain Celestial Group Inc. | 74,606 | 2,758 |
Flowers Foods Inc. | 135,279 | 2,317 | |
Snyder’s-Lance Inc. | 57,236 | 1,872 | |
Energizer Holdings Inc. | 45,223 | 1,761 | |
Lancaster Colony Corp. | 14,084 | 1,433 | |
* | Boston Beer Co. Inc. | ||
Class A | 6,922 | 1,302 | |
Dean Foods Co. | 66,220 | 1,277 | |
Avon Products Inc. | 315,699 | 1,203 | |
* | United Natural Foods Inc. | 36,391 | 1,123 |
* | SUPERVALU Inc. | 191,521 | 979 |
Tootsie Roll Industries Inc. | 12,726 | 424 | |
42,394 | |||
Energy (2.6%) | |||
HollyFrontier Corp. | 132,515 | 4,482 | |
World Fuel Services Corp. | 51,294 | 2,401 | |
Oceaneering International | |||
Inc. | 70,906 | 1,958 | |
* | Gulfport Energy Corp. | 78,439 | 1,883 |
Energen Corp. | 65,925 | 1,746 | |
Patterson-UTI Energy Inc. | 106,682 | 1,658 | |
* | Dril-Quip Inc. | 27,802 | 1,508 |
Nabors Industries Ltd. | 205,507 | 1,471 | |
Noble Corp. plc | 175,402 | 1,461 | |
QEP Resources Inc. | 138,239 | 1,349 | |
Western Refining Inc. | 50,250 | 1,340 | |
Rowan Cos. plc Class A | 89,904 | 1,198 | |
Superior Energy Services | |||
Inc. | 108,577 | 1,116 | |
* | Oil States International Inc. | 36,568 | 955 |
* | WPX Energy Inc. | 168,398 | 692 |
SM Energy Co. | 48,913 | 442 | |
^ | Denbury Resources Inc. | 252,410 | 323 |
25,983 | |||
Financials (25.4%) | |||
UDR Inc. | 189,813 | 6,516 | |
Everest Re Group Ltd. | 31,211 | 5,809 | |
New York Community | |||
Bancorp Inc. | 351,321 | 5,315 | |
* | Alleghany Corp. | 11,283 | 5,235 |
Duke Realty Corp. | 250,134 | 5,173 | |
Arthur J Gallagher & Co. | 128,011 | 5,101 | |
Mid-America Apartment | |||
Communities Inc. | 54,611 | 4,912 | |
Regency Centers Corp. | 68,218 | 4,815 |
* | Signature Bank | 36,452 | 4,722 |
MSCI Inc. Class A | 66,949 | 4,721 | |
Camden Property Trust | 62,929 | 4,703 | |
FactSet Research Systems | |||
Inc. | 30,030 | 4,519 | |
National Retail Properties | |||
Inc. | 98,648 | 4,339 | |
Reinsurance Group of | |||
America Inc. Class A | 47,636 | 4,292 | |
Alexandria Real Estate | |||
Equities Inc. | 52,527 | 4,158 | |
American Campus | |||
Communities Inc. | 92,685 | 4,057 | |
Raymond James Financial | |||
Inc. | 92,305 | 4,047 | |
SEI Investments Co. | 100,200 | 3,825 | |
Omega Healthcare | |||
Investors Inc. | 119,258 | 3,823 | |
CBOE Holdings Inc. | 59,740 | 3,734 | |
WR Berkley Corp. | 71,459 | 3,680 | |
Kilroy Realty Corp. | 66,775 | 3,624 | |
RenaissanceRe Holdings | |||
Ltd. | 31,770 | 3,596 | |
StanCorp Financial Group | |||
Inc. | 30,681 | 3,525 | |
American Financial Group | |||
Inc. | 51,896 | 3,481 | |
Lamar Advertising Co. | |||
Class A | 59,405 | 3,394 | |
Jones Lang LaSalle Inc. | 32,634 | 3,331 | |
* | SVB Financial Group | 37,310 | 3,315 |
MarketAxess Holdings Inc. | 27,021 | 3,201 | |
Old Republic International | |||
Corp. | 176,172 | 3,136 | |
East West Bancorp Inc. | 104,265 | 3,125 | |
Liberty Property Trust | 107,070 | 3,092 | |
Taubman Centers Inc. | 43,644 | 3,091 | |
Highwoods Properties Inc. | 69,070 | 3,008 | |
Sovran Self Storage Inc. | 27,873 | 2,967 | |
First American Financial | |||
Corp. | 78,796 | 2,918 | |
Weingarten Realty Investors | 82,622 | 2,911 | |
EPR Properties | 45,703 | 2,844 | |
Endurance Specialty | |||
Holdings Ltd. | 44,411 | 2,765 | |
Brown & Brown Inc. | 84,778 | 2,739 | |
Douglas Emmett Inc. | 101,037 | 2,712 | |
Senior Housing Properties | |||
Trust | 172,076 | 2,686 | |
Hospitality Properties Trust | 109,813 | 2,666 | |
PacWest Bancorp | 81,871 | 2,635 | |
Hanover Insurance Group | |||
Inc. | 31,337 | 2,599 | |
Commerce Bancshares Inc. | 60,736 | 2,580 |
11
S&P Mid-Cap 400 Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Synovus Financial Corp. | 94,633 | 2,516 | |
Eaton Vance Corp. | 85,148 | 2,462 | |
Corrections Corp. of | |||
America | 84,942 | 2,457 | |
Umpqua Holdings Corp. | 159,575 | 2,400 | |
First Niagara Financial | |||
Group Inc. | 257,085 | 2,375 | |
FirstMerit Corp. | 120,116 | 2,358 | |
CNO Financial Group Inc. | 134,758 | 2,349 | |
Webster Financial Corp. | 66,435 | 2,233 | |
Bank of the Ozarks Inc. | 58,935 | 2,230 | |
Tanger Factory Outlet | |||
Centers Inc. | 68,657 | 2,203 | |
Post Properties Inc. | 39,222 | 2,186 | |
First Horizon National Corp. | 173,434 | 2,085 | |
LaSalle Hotel Properties | 81,840 | 1,993 | |
Bank of Hawaii Corp. | 31,374 | 1,992 | |
Aspen Insurance Holdings | |||
Ltd. | 44,051 | 1,969 | |
PrivateBancorp Inc. | 57,155 | 1,964 | |
Rayonier Inc. | 89,688 | 1,958 | |
Prosperity Bancshares Inc. | 47,705 | 1,930 | |
Cullen/Frost Bankers Inc. | 39,744 | 1,905 | |
Associated Banc-Corp | 108,944 | 1,874 | |
FNB Corp. | 151,091 | 1,855 | |
* | SLM Corp. | 308,809 | 1,803 |
Federated Investors Inc. | |||
Class B | 68,659 | 1,797 | |
Equity One Inc. | 65,350 | 1,791 | |
Communications Sales | |||
& Leasing Inc. | 87,296 | 1,646 | |
Urban Edge Properties | 66,926 | 1,628 | |
Care Capital Properties Inc. | 60,739 | 1,610 | |
Corporate Office Properties | |||
Trust | 68,518 | 1,603 | |
Fulton Financial Corp. | 126,134 | 1,591 | |
Primerica Inc. | 35,053 | 1,479 | |
* | Stifel Financial Corp. | 50,378 | 1,459 |
Valley National Bancorp | 161,926 | 1,457 | |
Cathay General Bancorp | 54,601 | 1,457 | |
Washington Federal Inc. | 67,438 | 1,429 | |
Waddell & Reed Financial | |||
Inc. Class A | 60,158 | 1,409 | |
TCF Financial Corp. | 122,885 | 1,393 | |
Mercury General Corp. | 26,391 | 1,388 | |
Janus Capital Group Inc. | 105,797 | 1,368 | |
Hancock Holding Co. | 56,103 | 1,294 | |
Mack-Cali Realty Corp. | 64,754 | 1,289 | |
BancorpSouth Inc. | 61,319 | 1,221 | |
WP Glimcher Inc. | 134,362 | 1,161 | |
Alexander & Baldwin Inc. | 33,315 | 1,117 | |
Trustmark Corp. | 48,989 | 1,072 | |
WisdomTree Investments | |||
Inc. | 82,719 | 980 | |
Kemper Corp. | 34,698 | 933 |
International Bancshares | |||
Corp. | 40,129 | 905 | |
Potlatch Corp. | 29,269 | 774 | |
* | Genworth Financial Inc. | ||
Class A | 358,102 | 759 | |
Federal Realty Investment | |||
Trust | 1 | — | |
256,544 | |||
Health Care (9.7%) | |||
* | Mettler-Toledo International | ||
Inc. | 19,819 | 6,241 | |
* | Hologic Inc. | 178,306 | 6,175 |
ResMed Inc. | 101,169 | 5,758 | |
Cooper Cos. Inc. | 35,220 | 5,035 | |
* | Centene Corp. | 86,360 | 4,919 |
* | IDEXX Laboratories Inc. | 65,902 | 4,821 |
* | MEDNAX Inc. | 68,131 | 4,568 |
* | Sirona Dental Systems Inc. | 40,497 | 4,479 |
Teleflex Inc. | 30,141 | 4,305 | |
* | United Therapeutics Corp. | 33,059 | 4,031 |
STERIS plc | 62,189 | 4,000 | |
* | Health Net Inc. | 56,002 | 3,484 |
* | Align Technology Inc. | 52,411 | 3,461 |
West Pharmaceutical | |||
Services Inc. | 52,233 | 3,240 | |
* | VCA Inc. | 58,432 | 2,982 |
* | WellCare Health Plans Inc. | 31,959 | 2,872 |
* | Amsurg Corp. | 39,096 | 2,661 |
* | Charles River Laboratories | ||
International Inc. | 33,785 | 2,481 | |
Bio-Techne Corp. | 26,950 | 2,313 | |
* | PAREXEL International Corp. | 38,579 | 2,264 |
* | Bio-Rad Laboratories Inc. | ||
Class A | 15,068 | 2,029 | |
* | LifePoint Health Inc. | 31,541 | 1,967 |
Hill-Rom Holdings Inc. | 41,089 | 1,904 | |
* | Molina Healthcare Inc. | 29,673 | 1,841 |
Owens & Minor Inc. | 45,575 | 1,796 | |
* | LivaNova plc | 30,794 | 1,738 |
* | Catalent Inc. | 71,300 | 1,730 |
* | Allscripts Healthcare | ||
Solutions Inc. | 136,987 | 1,715 | |
* | Akorn Inc. | 58,060 | 1,544 |
* | Community Health Systems | ||
Inc. | 85,657 | 1,295 | |
* | Halyard Health Inc. | 33,552 | 856 |
98,505 | |||
Industrials (15.3%) | |||
Alaska Air Group Inc. | 91,373 | 6,752 | |
Acuity Brands Inc. | 31,718 | 6,643 | |
Fortune Brands Home | |||
& Security Inc. | 115,693 | 5,810 | |
Waste Connections Inc. | 88,652 | 5,467 | |
* | JetBlue Airways Corp. | 228,255 | 5,022 |
12
S&P Mid-Cap 400 Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Wabtec Corp. | 69,897 | 4,935 | |
Huntington Ingalls Industries | |||
Inc. | 34,034 | 4,460 | |
Carlisle Cos. Inc. | 47,097 | 4,246 | |
IDEX Corp. | 55,439 | 4,167 | |
ManpowerGroup Inc. | 53,336 | 4,130 | |
Hubbell Inc. Class B | 39,421 | 3,917 | |
AO Smith Corp. | 54,261 | 3,819 | |
Lennox International Inc. | 29,054 | 3,754 | |
Orbital ATK Inc. | 42,623 | 3,570 | |
B/E Aerospace Inc. | 75,734 | 3,303 | |
* | Old Dominion Freight Line | ||
Inc. | 50,255 | 3,244 | |
Graco Inc. | 40,513 | 3,173 | |
Toro Co. | 39,713 | 3,165 | |
* | AECOM | 109,709 | 3,013 |
Nordson Corp. | 38,885 | 2,787 | |
* | Copart Inc. | 73,789 | 2,786 |
AGCO Corp. | 53,294 | 2,638 | |
Lincoln Electric Holdings Inc. | 47,779 | 2,607 | |
Donaldson Co. Inc. | 89,390 | 2,524 | |
MSC Industrial Direct Co. | |||
Inc. Class A | 35,048 | 2,439 | |
Watsco Inc. | 18,633 | 2,377 | |
Curtiss-Wright Corp. | 33,132 | 2,339 | |
* | Genesee & Wyoming Inc. | ||
Class A | 41,229 | 2,338 | |
RR Donnelley & Sons Co. | 151,242 | 2,296 | |
ITT Corp. | 64,859 | 2,287 | |
* | Kirby Corp. | 39,139 | 2,216 |
* | Teledyne Technologies Inc. | 25,684 | 2,188 |
Deluxe Corp. | 35,670 | 2,048 | |
Woodward Inc. | 41,228 | 1,936 | |
Valmont Industries Inc. | 16,697 | 1,888 | |
Rollins Inc. | 68,121 | 1,875 | |
Oshkosh Corp. | 54,218 | 1,871 | |
Landstar System Inc. | 31,297 | 1,853 | |
Regal Beloit Corp. | 32,369 | 1,767 | |
Terex Corp. | 78,637 | 1,760 | |
Trinity Industries Inc. | 110,762 | 1,754 | |
Crane Co. | 35,769 | 1,754 | |
CLARCOR Inc. | 36,162 | 1,741 | |
* | Clean Harbors Inc. | 37,981 | 1,618 |
Timken Co. | 52,334 | 1,561 | |
KBR Inc. | 104,571 | 1,446 | |
GATX Corp. | 30,735 | 1,322 | |
CEB Inc. | 23,989 | 1,302 | |
* | NOW Inc. | 77,731 | 1,258 |
* | Esterline Technologies Corp. | 21,442 | 1,201 |
Granite Construction Inc. | 28,552 | 1,183 | |
Kennametal Inc. | 57,725 | 1,162 | |
Herman Miller Inc. | 43,413 | 1,133 | |
Triumph Group Inc. | 35,763 | 1,089 | |
HNI Corp. | 32,038 | 1,083 | |
* | KLX Inc. | 38,273 | 1,071 |
* | FTI Consulting Inc. | 30,416 | 1,001 |
MSA Safety Inc. | 22,846 | 998 | |
Joy Global Inc. | 70,130 | 906 | |
Werner Enterprises Inc. | 32,072 | 851 | |
154,844 | |||
Information Technology (16.7%) | |||
Global Payments Inc. | 94,097 | 5,735 | |
* | ANSYS Inc. | 64,471 | 5,352 |
CDK Global Inc. | 115,501 | 5,185 | |
* | Synopsys Inc. | 112,980 | 5,056 |
* | Gartner Inc. | 60,028 | 4,946 |
Broadridge Financial | |||
Solutions Inc. | 85,913 | 4,822 | |
Jack Henry & Associates | |||
Inc. | 57,908 | 4,762 | |
* | Cadence Design Systems | ||
Inc. | 215,532 | 4,645 | |
* | Trimble Navigation Ltd. | 181,476 | 4,221 |
Ingram Micro Inc. | 112,901 | 4,042 | |
Avnet Inc. | 95,642 | 3,936 | |
* | Arrow Electronics Inc. | 67,764 | 3,873 |
* | Ultimate Software Group | ||
Inc. | 20,763 | 3,566 | |
* | Keysight Technologies Inc. | 123,180 | 3,214 |
* | ARRIS International plc | 128,603 | 3,072 |
* | Fortinet Inc. | 106,099 | 3,013 |
* | Manhattan Associates Inc. | 52,943 | 2,926 |
Computer Sciences Corp. | 100,560 | 2,897 | |
Jabil Circuit Inc. | 137,145 | 2,859 | |
Teradyne Inc. | 148,915 | 2,841 | |
* | Tyler Technologies Inc. | 23,525 | 2,831 |
* | Microsemi Corp. | 80,413 | 2,785 |
Solera Holdings Inc. | 48,724 | 2,714 | |
* | PTC Inc. | 82,991 | 2,565 |
DST Systems Inc. | 23,571 | 2,465 | |
Atmel Corp. | 304,556 | 2,461 | |
j2 Global Inc. | 33,405 | 2,441 | |
FEI Co. | 29,607 | 2,405 | |
* | Cree Inc. | 74,671 | 2,370 |
* | Zebra Technologies Corp. | 37,754 | 2,332 |
MAXIMUS Inc. | 47,345 | 2,328 | |
Cognex Corp. | 61,487 | 2,276 | |
Fair Isaac Corp. | 22,520 | 2,241 | |
* | CoreLogic Inc. | 63,878 | 2,210 |
* | IPG Photonics Corp. | 26,391 | 2,176 |
* | Synaptics Inc. | 26,257 | 2,132 |
National Instruments Corp. | 72,877 | 2,103 | |
* | NCR Corp. | 89,560 | 2,092 |
Leidos Holdings Inc. | 46,498 | 2,010 | |
* | VeriFone Systems Inc. | 83,306 | 1,990 |
SYNNEX Corp. | 20,934 | 1,968 | |
Cypress Semiconductor | |||
Corp. | 241,942 | 1,931 | |
* | Integrated Device | ||
Technology Inc. | 98,069 | 1,905 |
13
S&P Mid-Cap 400 Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
* | Ciena Corp. | 91,804 | 1,882 |
* | WEX Inc. | 28,006 | 1,829 |
Convergys Corp. | 70,686 | 1,822 | |
* | Tech Data Corp. | 25,419 | 1,790 |
* | Rackspace Hosting Inc. | 82,985 | 1,787 |
Belden Inc. | 30,426 | 1,666 | |
* | Fairchild Semiconductor | ||
International Inc. Class A | 82,182 | 1,649 | |
* | ACI Worldwide Inc. | 85,717 | 1,600 |
* | NetScout Systems Inc. | 71,853 | 1,485 |
* | comScore Inc. | 34,075 | 1,402 |
Lexmark International Inc. | |||
Class A | 44,815 | 1,390 | |
Mentor Graphics Corp. | 72,386 | 1,383 | |
Science Applications | |||
International Corp. | 29,992 | 1,339 | |
InterDigital Inc. | 25,671 | 1,277 | |
Intersil Corp. Class A | 95,697 | 1,222 | |
* | Acxiom Corp. | 56,455 | 1,171 |
Diebold Inc. | 47,114 | 1,169 | |
Vishay Intertechnology Inc. | 98,189 | 1,163 | |
* | Silicon Laboratories Inc. | 27,847 | 1,149 |
* | CommVault Systems Inc. | 30,554 | 1,145 |
* | Polycom Inc. | 95,391 | 993 |
*,^ | Advanced Micro Devices | ||
Inc. | 460,974 | 987 | |
*,^ | NeuStar Inc. Class A | 38,149 | 949 |
Plantronics Inc. | 24,244 | 909 | |
*,^ | 3D Systems Corp. | 76,596 | 817 |
* | Knowles Corp. | 63,641 | 724 |
*,^ | SunEdison Inc. | 227,908 | 451 |
168,844 | |||
Materials (6.6%) | |||
Albemarle Corp. | 81,291 | 4,570 | |
Ashland Inc. | 45,575 | 4,343 | |
Valspar Corp. | 52,968 | 4,144 | |
RPM International Inc. | 96,394 | 3,938 | |
Bemis Co. Inc. | 69,536 | 3,412 | |
Packaging Corp. of America | 70,281 | 3,409 | |
AptarGroup Inc. | 45,245 | 3,335 | |
Sonoco Products Co. | 73,136 | 3,196 | |
Steel Dynamics Inc. | 175,431 | 3,191 | |
Reliance Steel & Aluminum | |||
Co. | 51,909 | 3,161 | |
NewMarket Corp. | 7,296 | 2,664 | |
Scotts Miracle-Gro Co. | |||
Class A | 32,987 | 2,277 | |
Royal Gold Inc. | 47,315 | 2,194 | |
Eagle Materials Inc. | 36,269 | 2,191 | |
Cabot Corp. | 45,343 | 2,019 | |
Sensient Technologies Corp. | 32,773 | 1,884 | |
Olin Corp. | 119,671 | 1,814 | |
PolyOne Corp. | 62,539 | 1,683 |
Compass Minerals | ||||
International Inc. | 24,425 | 1,657 | ||
* | Louisiana-Pacific Corp. | 103,545 | 1,645 | |
Domtar Corp. | 45,555 | 1,603 | ||
Silgan Holdings Inc. | 29,327 | 1,502 | ||
Minerals Technologies Inc. | 25,192 | 1,280 | ||
Commercial Metals Co. | 84,356 | 1,239 | ||
Carpenter Technology Corp. | 35,619 | 1,059 | ||
Allegheny Technologies Inc. | 78,578 | 1,054 | ||
Worthington Industries Inc. | 33,546 | 1,044 | ||
^ | United States Steel Corp. | 105,250 | 960 | |
Greif Inc. Class A | 18,524 | 491 | ||
66,959 | ||||
Telecommunication Services (0.2%) | ||||
Telephone & Data Systems | ||||
Inc. | 68,453 | 1,829 | ||
Utilities (5.7%) | ||||
Alliant Energy Corp. | 82,124 | 5,580 | ||
Atmos Energy Corp. | 73,538 | 5,104 | ||
UGI Corp. | 124,932 | 4,618 | ||
Westar Energy Inc. Class A | 102,396 | 4,450 | ||
Aqua America Inc. | 127,822 | 3,908 | ||
OGE Energy Corp. | 144,687 | 3,600 | ||
Great Plains Energy Inc. | 111,678 | 3,277 | ||
Questar Corp. | 126,684 | 3,138 | ||
National Fuel Gas Co. | 61,324 | 2,801 | ||
Vectren Corp. | 59,927 | 2,728 | ||
IDACORP Inc. | 36,477 | 2,588 | ||
MDU Resources Group Inc. | 141,494 | 2,577 | ||
WGL Holdings Inc. | 36,109 | 2,462 | ||
Hawaiian Electric Industries | ||||
Inc. | 77,868 | 2,286 | ||
ONE Gas Inc. | 37,794 | 2,191 | ||
Black Hills Corp. | 37,087 | 2,077 | ||
Cleco Corp. | 43,827 | 2,012 | ||
PNM Resources Inc. | 57,726 | 1,843 | ||
* | Talen Energy Corp. | 46,680 | 297 | |
57,537 | ||||
Total Common Stocks | ||||
(Cost $1,050,882) | 1,011,380 | |||
Temporary Cash Investments (0.4%)1 | ||||
Money Market Fund (0.4%) | ||||
2,3 | Vanguard Market Liquidity | |||
Fund, 0.475% | 3,912,392 | 3,912 |
14
S&P Mid-Cap 400 Index Fund
Face | Market | |||
Amount | Value• | |||
($000) | ($000) | |||
U.S. Government and Agency Obligations (0.0%) | ||||
4 | Federal Home Loan | |||
Bank Discount Notes, | ||||
0.245%, 3/2/16 | 100 | 100 | ||
4,5 | Federal Home Loan | |||
Bank Discount Notes, | ||||
0.290%, 4/29/16 | 100 | 100 | ||
4,5 | Federal Home Loan | |||
Bank Discount Notes, | ||||
0.371%, 5/4/16 | 100 | 100 | ||
300 | ||||
Total Temporary Cash Investments | ||||
(Cost $4,212) | 4,212 | |||
Total Investments (100.5%) | ||||
(Cost $1,055,094) | 1,015,592 | |||
Amount | ||||
($000) | ||||
Other Assets and Liabilities (-0.5%) | ||||
Other Assets | ||||
Investment in Vanguard | 89 | |||
Receivables for Investment Securities Sold | 66 | |||
Receivables for Accrued Income | 1,186 | |||
Receivables for Capital Shares Issued | 12 | |||
Total Other Assets | 1,353 | |||
Liabilities | ||||
Payables for Investment Securities | ||||
Purchased | (3,030) | |||
Collateral for Securities on Loan | (2,053) | |||
Payables for Capital Shares Redeemed | (108) | |||
Payables to Vanguard | (269) | |||
Other Liabilities | (598) | |||
Total Liabilities | (6,058) | |||
Net Assets (100%) | 1,010,887 |
At February 29, 2016, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 1,068,074 |
Undistributed Net Investment Income | 1,505 |
Accumulated Net Realized Losses | (19,231) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | (39,502) |
Futures Contracts | 41 |
Net Assets | 1,010,887 |
ETF Shares—Net Assets | |
Applicable to 3,900,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 349,882 |
Net Asset Value Per Share— | |
ETF Shares | $89.71 |
Institutional Shares—Net Assets | |
Applicable to 3,690,025 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 661,005 |
Net Asset Value Per Share— | |
Institutional Shares | $179.13 |
• 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 $1,870,000.
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 100.5% 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 $2,053,000 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 $200,000 have been segregated as initial margin for open futures contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
15
S&P Mid-Cap 400 Index Fund
Statement of Operations
Six Months Ended | |
February 29, 2016 | |
($000) | |
Investment Income | |
Income | |
Dividends | 7,969 |
Interest1 | 4 |
Securities Lending | 72 |
Total Income | 8,045 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 96 |
Management and Administrative—ETF Shares | 167 |
Management and Administrative—Institutional Shares | 138 |
Marketing and Distribution—ETF Shares | 15 |
Marketing and Distribution—Institutional Shares | 9 |
Custodian Fees | 39 |
Shareholders’ Reports—ETF Shares | 7 |
Shareholders’ Reports—Institutional Shares | 3 |
Total Expenses | 474 |
Net Investment Income | 7,571 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 16,185 |
Futures Contracts | (96) |
Realized Net Gain (Loss) | 16,089 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (76,160) |
Futures Contracts | 113 |
Change in Unrealized Appreciation (Depreciation) | (76,047) |
Net Increase (Decrease) in Net Assets R esulting from Operations | (52,387) |
1 Interest income from an affiliated company of the fund was $3,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
16
S&P Mid-Cap 400 Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
February 29, | August 31, | |
2016 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 7,571 | 14,231 |
Realized Net Gain (Loss) | 16,089 | 82,614 |
Change in Unrealized Appreciation (Depreciation) | (76,047) | (103,530) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (52,387) | (6,685) |
Distributions | ||
Net Investment Income | ||
ETF Shares | (5,221) | (4,471) |
Institutional Shares | (10,146) | (7,100) |
Realized Capital Gain | ||
ETF Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (15,367) | (11,571) |
Capital Share Transactions | ||
ETF Shares | (5,448) | 38,682 |
Institutional Shares | 40,654 | 155,270 |
Net Increase (Decrease) from Capital Share Transactions | 35,206 | 193,952 |
Total Increase (Decrease) | (32,548) | 175,696 |
Net Assets | ||
Beginning of Period | 1,043,435 | 867,739 |
End of Period1 | 1,010,887 | 1,043,435 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $1,505,000 and $9,301,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
17
S&P Mid-Cap 400 Index Fund
Financial Highlights
ETF Shares | |||||||
Six Months | Sept. 7, | ||||||
Ended | 20101 to | ||||||
For a Share Outstanding | February 29, | Year Ended August 31, | Aug. 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | |
Net Asset Value, Beginning of Period | $95.87 | $97.19 | $79.72 | $65.20 | $58.37 | $49.95 | |
Investment Operations | |||||||
Net Investment Income | .664 | 1.330 | 1.016 | 1.1332 | .648 | . 383 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | (5.465) | (1.425) | 17.285 | 14.112 | 6.657 | 8.217 | |
Total from Investment Operations | (4.801) | (.095) | 18.301 | 15.245 | 7.305 | 8.600 | |
Distributions | |||||||
Dividends from Net Investment Income | (1.359) | (1.225) | (.831) | (.725) | (.475) | (.180) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (1.359) | (1.225) | (.831) | (.725) | (.475) | (.180) | |
Net Asset Value, End of Period | $89.71 | $95.87 | $97.19 | $79.72 | $65.20 | $58.37 | |
Total Return | -5.08% | -0.12% | 23.06% | 23.57% | 12.60% | 17.21% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $350 | $379 | $345 | $191 | $72 | $32 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.13% | 0.15% | 0.15% | 0.15% | 0.15% | 0.15%3 | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 1.58% | 1.45% | 1.28% | 1.50% | 1.35% | 1.21%3 | |
Portfolio Turnover Rate 4 | 9% | 12% | 14% | 10% | 13% | 26% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Calculated based on average shares outstanding.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
18
S&P Mid-Cap 400 Index Fund
Financial Highlights
Institutional Shares | |||||||
Six Months | March 28, | ||||||
Ended | 20111 to | ||||||
For a Share Outstanding | February 29, | Year Ended August 31, | Aug. 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | |
Net Asset Value, Beginning of Period | $191.51 | $194.13 | $159.20 | $130.17 | $116.52 | $128.01 | |
Investment Operations | |||||||
Net Investment Income | 1.386 | 2.794 | 2.135 | 2.3552 | 1.372 | .240 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | (10.910) | (2.844) | 34.537 | 28.174 | 13.297 | (11.730) | |
Total from Investment Operations | (9.524) | (.050) | 36.672 | 30.529 | 14.669 | (11.490) | |
Distributions | |||||||
Dividends from Net Investment Income | (2.856) | (2.570) | (1.742) | (1.499) | (1.019) | — | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (2.856) | (2.570) | (1.742) | (1.499) | (1.019) | — | |
Net Asset Value, End of Period | $179.13 | $191.51 | $194.13 | $159.20 | $130.17 | $116.52 | |
Total Return | -5.05% | -0.04% | 23.16% | 23.65% | 12.69% | -8.98% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $661 | $665 | $523 | $216 | $91 | $40 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.07% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08%3 | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 1.64% | 1.52% | 1.35% | 1.57% | 1.42% | 1.28%3 | |
Portfolio Turnover Rate 4 | 9% | 12% | 14% | 10% | 13% | 26% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Calculated based on average shares outstanding.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
19
S&P Mid-Cap 400 Index Fund
Notes to Financial Statements
Vanguard S&P Mid-Cap 400 Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. 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 six months ended February 29, 2016, 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.
20
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, 2012–2015), and for the period ended February 29, 2016, 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 subject to termination by the fund at any time, and 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 (“Vanguard”) participate in a $3 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 February 29, 2016, 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.
21
S&P Mid-Cap 400 Index Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2016, the fund had contributed to Vanguard capital in the amount of $89,000, representing 0.01% of the fund’s net assets and 0.04% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, 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 February 29, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 1,011,380 | — | — |
Temporary Cash Investments | 3,912 | 300 | — |
Futures Contracts—Liabilities1 | (9) | — | — |
Total | 1,015,283 | 300 | — |
1 Represents variation margin on the last day of the reporting period. |
22
S&P Mid-Cap 400 Index Fund
D. At February 29, 2016, 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 | March 2016 | 30 | 3,998 | 41 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended February 29, 2016, the fund realized $22,922,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2015, the fund had available capital losses totaling $12,470,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2016; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 29, 2016, the cost of investment securities for tax purposes was $1,055,094,000. Net unrealized depreciation of investment securities for tax purposes was $39,502,000, consisting of unrealized gains of $93,015,000 on securities that had risen in value since their purchase and $132,517,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended February 29, 2016, the fund purchased $166,030,000 of investment securities and sold $132,639,000 of investment securities, other than temporary cash investments. Purchases and sales include $59,961,000 and $83,705,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
23
S&P Mid-Cap 400 Index Fund
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
February 29, 2016 | August 31, 2015 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
ETF Shares | ||||
Issued | 85,887 | 925 | 367,265 | 3,675 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (91,335) | (975) | (328,583) | (3,275) |
Net Increase (Decrease)—ETF Shares | (5,448) | (50) | 38,682 | 400 |
Institutional Shares | ||||
Issued | 66,655 | 357 | 233,449 | 1,167 |
Issued in Lieu of Cash Distributions | 8,219 | 43 | 5,218 | 27 |
Redeemed | (34,220) | (181) | (83,397) | (415) |
Net Increase (Decrease)—Institutional Shares | 40,654 | 219 | 155,270 | 779 |
H. Management has determined that no material events or transactions occurred subsequent to February 29, 2016, that would require recognition or disclosure in these financial statements.
24
S&P Mid-Cap 400 Value Index Fund
Fund Profile
As of February 29, 2016
Share-Class Characteristics | ||
ETF | Institutional | |
Shares | Shares | |
Ticker Symbol | IVOV | VMFVX |
Expense Ratio1 | 0.20% | 0.08% |
30-Day SEC Yield | 2.03% | 2.17% |
Portfolio Characteristics | |||
S&P | DJ | ||
MidCap | U.S. Total | ||
400 Value | Market | ||
Fund | Index | FA Index | |
Number of Stocks | 306 | 306 | 3,906 |
Median Market Cap | $3.6B | $3.6B | $50.4B |
Price/Earnings Ratio | 21.2x | 21.2x | 20.1x |
Price/Book Ratio | 1.6x | 1.6x | 2.5x |
Return on Equity | 11.5% | 11.5% | 17.5% |
Earnings Growth | |||
Rate | 7.2% | 7.2% | 8.4% |
Dividend Yield | 2.3% | 2.3% | 2.2% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 35% | — | — |
Short-Term Reserves | -0.8% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
U.S. | |||
S&P | Total | ||
MidCap | Market | ||
400 Value | FA | ||
Fund | Index | Index | |
Consumer | |||
Discretionary | 12.4% | 12.4% | 13.6% |
Consumer Staples | 3.2 | 3.1 | 9.4 |
Energy | 5.1 | 5.1 | 5.9 |
Financials | 26.4 | 26.5 | 17.4 |
Health Care | 3.9 | 3.9 | 14.2 |
Industrials | 16.9 | 16.9 | 10.7 |
Information | |||
Technology | 13.1 | 13.1 | 19.7 |
Materials | 8.8 | 8.8 | 3.1 |
Telecommunication | |||
Services | 0.4 | 0.4 | 2.5 |
Utilities | 9.8 | 9.8 | 3.5 |
Volatility Measures | ||
DJ | ||
S&P MidCap | U.S. Total | |
400 Value | Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.83 |
Beta | 1.00 | 1.02 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months. |
Ten Largest Holdings (% of total net assets) | ||
Everest Re Group Ltd. | Reinsurance | 1.2% |
Alliant Energy Corp. | Multi-Utilities | 1.1 |
New York Community | Thrifts & Mortgage | |
Bancorp Inc. | Finance | 1.1 |
Alleghany Corp. | Reinsurance | 1.0 |
UGI Corp. | Gas Utilities | 0.9 |
Albemarle Corp. | Specialty Chemicals | 0.9 |
HollyFrontier Corp. | Oil & Gas Refining & | |
Marketing | 0.9 | |
Westar Energy Inc. | Electric Utilities | 0.9 |
Reinsurance Group of | ||
America Inc. | Reinsurance | 0.9 |
Carlisle Cos. Inc. | Industrial | |
Conglomerates | 0.8 | |
Top Ten | 9.7% | |
The holdings listed exclude any temporary cash investments and equity index products. |
Investment Focus
1 The expense ratios shown are from the prospectus dated December 14, 2015, and represent estimated costs for the current fiscal year. For the six
months ended February 29, 2016, the annualized expense ratios were 0.18% for ETF Shares and 0.07% for Institutional Shares.
25
S&P Mid-Cap 400 Value Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): September 7, 2010, Through February 29, 2016
Average Annual Total Returns: Periods Ended December 31, 2015
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
Inception | One | Five | Since | |
Date | Year | Years | Inception | |
ETF Shares | 9/7/2010 | |||
Market Price | -6.76% | 9.87% | 12.95% | |
Net Asset Value | -6.78 | 9.98 | 12.94 | |
Institutional Shares | 11/2/2010 | -6.69 | 10.11 | 11.42 |
See Financial Highlights for dividend and capital gains information.
26
S&P Mid-Cap 400 Value Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 29, 2016
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 (12.4%) | |||
* | Jarden Corp. | 36,126 | 1,910 |
Dick’s Sporting Goods Inc. | 30,806 | 1,308 | |
* | JC Penney Co. Inc. | 104,475 | 1,066 |
Foot Locker Inc. | 16,429 | 1,027 | |
American Eagle Outfitters | |||
Inc. | 61,236 | 934 | |
Tupperware Brands Corp. | 17,221 | 860 | |
* | Office Depot Inc. | 168,887 | 858 |
* | Murphy USA Inc. | 13,397 | 853 |
CST Brands Inc. | 25,858 | 839 | |
Polaris Industries Inc. | 9,382 | 825 | |
* | Cabela’s Inc. | 16,830 | 808 |
Graham Holdings Co. | |||
Class B | 1,534 | 749 | |
Williams-Sonoma Inc. | 14,274 | 744 | |
John Wiley & Sons Inc. | |||
Class A | 16,781 | 731 | |
^ | Cracker Barrel Old Country | ||
Store Inc. | 4,748 | 703 | |
Brunswick Corp. | 16,501 | 702 | |
Big Lots Inc. | 16,945 | 685 | |
Abercrombie & Fitch Co. | 22,982 | 668 | |
* | Fossil Group Inc. | 14,151 | 664 |
Cinemark Holdings Inc. | 19,842 | 657 | |
Dana Holding Corp. | 52,286 | 650 | |
* | Live Nation Entertainment | ||
Inc. | 29,395 | 646 | |
* | Deckers Outdoor Corp. | 11,056 | 625 |
Chico’s FAS Inc. | 47,671 | 608 | |
HSN Inc. | 10,946 | 581 | |
Brinker International Inc. | 11,405 | 568 | |
* | Kate Spade & Co. | 28,384 | 563 |
Meredith Corp. | 12,889 | 561 | |
Gentex Corp. | 37,883 | 552 | |
New York Times Co. | |||
Class A | 42,413 | 533 | |
Time Inc. | 37,540 | 529 |
Aaron’s Inc. | 22,094 | 508 | |
* | Ascena Retail Group Inc. | 58,972 | 498 |
Guess? Inc. | 21,771 | 465 | |
Sotheby’s | 20,339 | 463 | |
Thor Industries Inc. | 7,963 | 441 | |
Cheesecake Factory Inc. | 8,213 | 410 | |
KB Home | 31,211 | 381 | |
CalAtlantic Group Inc. | 12,271 | 372 | |
DeVry Education Group Inc. | 19,564 | 357 | |
* | DreamWorks Animation | ||
SKG Inc. Class A | 13,144 | 337 | |
Jack in the Box Inc. | 4,903 | 337 | |
International Speedway Corp. | |||
Class A | 9,145 | 315 | |
Cable One Inc. | 608 | 261 | |
* | TRI Pointe Group Inc. | 22,942 | 237 |
MDC Holdings Inc. | 6,843 | 151 | |
29,540 | |||
Consumer Staples (3.2%) | |||
Ingredion Inc. | 13,701 | 1,387 | |
* | Edgewell Personal Care Co. | 13,139 | 1,004 |
* | TreeHouse Foods Inc. | 9,715 | 820 |
Casey’s General Stores Inc. | 6,136 | 648 | |
Dean Foods Co. | 31,241 | 602 | |
* | Hain Celestial Group Inc. | 15,492 | 573 |
* | United Natural Foods Inc. | 17,165 | 530 |
Energizer Holdings Inc. | 12,162 | 473 | |
Avon Products Inc. | 107,352 | 409 | |
Snyder’s-Lance Inc. | 11,364 | 372 | |
Lancaster Colony Corp. | 2,396 | 244 | |
* | SUPERVALU Inc. | 42,802 | 219 |
* | Boston Beer Co. Inc. | ||
Class A | 981 | 184 | |
Tootsie Roll Industries Inc. | 2,604 | 87 | |
7,552 | |||
Energy (5.1%) | |||
HollyFrontier Corp. | 62,550 | 2,115 | |
World Fuel Services Corp. | 24,205 | 1,133 |
27
S&P Mid-Cap 400 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Oceaneering International | |||
Inc. | 33,461 | 924 | |
* | Gulfport Energy Corp. | 37,017 | 888 |
Energen Corp. | 31,141 | 825 | |
Patterson-UTI Energy Inc. | 50,332 | 782 | |
* | Dril-Quip Inc. | 13,116 | 712 |
Nabors Industries Ltd. | 96,950 | 694 | |
Noble Corp. plc | 82,748 | 689 | |
QEP Resources Inc. | 65,325 | 638 | |
Western Refining Inc. | 23,707 | 632 | |
Rowan Cos. plc Class A | 42,683 | 569 | |
Superior Energy Services | |||
Inc. | 51,547 | 530 | |
* | Oil States International Inc. | 17,373 | 454 |
* | WPX Energy Inc. | 80,128 | 329 |
SM Energy Co. | 23,280 | 211 | |
^ | Denbury Resources Inc. | 118,151 | 151 |
12,276 | |||
Financials (26.4%) | |||
Everest Re Group Ltd. | 14,733 | 2,742 | |
New York Community | |||
Bancorp Inc. | 165,843 | 2,509 | |
* | Alleghany Corp. | 5,325 | 2,471 |
Reinsurance Group of | |||
America Inc. Class A | 22,485 | 2,026 | |
WR Berkley Corp. | 33,729 | 1,737 | |
Liberty Property Trust | 50,535 | 1,459 | |
First American Financial | |||
Corp. | 37,188 | 1,377 | |
Endurance Specialty | |||
Holdings Ltd. | 20,960 | 1,305 | |
Duke Realty Corp. | 62,579 | 1,294 | |
Senior Housing Properties | |||
Trust | 81,211 | 1,268 | |
Hospitality Properties Trust | 51,826 | 1,258 | |
PacWest Bancorp | 38,640 | 1,243 | |
Hanover Insurance Group | |||
Inc. | 14,789 | 1,227 | |
Corrections Corp. of | |||
America | 40,088 | 1,160 | |
Umpqua Holdings Corp. | 75,310 | 1,133 | |
Arthur J Gallagher & Co. | 28,400 | 1,132 | |
First Niagara Financial | |||
Group Inc. | 121,330 | 1,121 | |
FirstMerit Corp. | 56,687 | 1,113 | |
CNO Financial Group Inc. | 63,595 | 1,108 | |
Raymond James Financial | |||
Inc. | 24,834 | 1,089 | |
National Retail Properties | |||
Inc. | 24,213 | 1,065 | |
Camden Property Trust | 13,366 | 999 | |
LaSalle Hotel Properties | 38,619 | 940 | |
Aspen Insurance Holdings | |||
Ltd. | 20,786 | 929 | |
Rayonier Inc. | 42,321 | 924 |
RenaissanceRe Holdings | |||
Ltd. | 8,097 | 917 | |
Prosperity Bancshares Inc. | 22,511 | 911 | |
Omega Healthcare Investors | |||
Inc. | 28,144 | 902 | |
Cullen/Frost Bankers Inc. | 18,754 | 899 | |
Associated Banc-Corp | 51,409 | 884 | |
American Campus | |||
Communities Inc. | 20,124 | 881 | |
FNB Corp. | 71,467 | 878 | |
* | SLM Corp. | 145,720 | 851 |
American Financial Group | |||
Inc. | 12,247 | 822 | |
Taubman Centers Inc. | 10,917 | 773 | |
Alexandria Real Estate | |||
Equities Inc. | 9,669 | 765 | |
Corporate Office Properties | |||
Trust | 32,328 | 756 | |
EPR Properties | 11,863 | 738 | |
Mid-America Apartment | |||
Communities Inc. | 7,733 | 696 | |
* | Stifel Financial Corp. | 23,770 | 688 |
Valley National Bancorp | 76,398 | 688 | |
Highwoods Properties Inc. | 15,647 | 681 | |
TCF Financial Corp. | 57,976 | 657 | |
Mercury General Corp. | 12,450 | 655 | |
Kilroy Realty Corp. | 11,976 | 650 | |
Hancock Holding Co. | 26,468 | 611 | |
Mack-Cali Realty Corp. | 30,542 | 608 | |
StanCorp Financial Group | |||
Inc. | 5,213 | 599 | |
Eaton Vance Corp. | 20,494 | 592 | |
Commerce Bancshares Inc. | 13,472 | 572 | |
Synovus Financial Corp. | 20,991 | 558 | |
WP Glimcher Inc. | 63,369 | 548 | |
East West Bancorp Inc. | 17,223 | 516 | |
Trustmark Corp. | 23,103 | 505 | |
Douglas Emmett Inc. | 18,120 | 486 | |
Brown & Brown Inc. | 14,403 | 465 | |
Post Properties Inc. | 8,329 | 464 | |
Webster Financial Corp. | 13,481 | 453 | |
Kemper Corp. | 16,475 | 443 | |
Federated Investors Inc. | |||
Class B | 16,521 | 432 | |
International Bancshares | |||
Corp. | 19,066 | 430 | |
Care Capital Properties Inc. | 16,048 | 425 | |
Fulton Financial Corp. | 32,182 | 406 | |
Tanger Factory Outlet | |||
Centers Inc. | 12,329 | 396 | |
Bank of Hawaii Corp. | 5,782 | 367 | |
* | Genworth Financial Inc. | ||
Class A | 170,355 | 361 | |
Waddell & Reed Financial | |||
Inc. Class A | 15,063 | 353 |
28
S&P Mid-Cap 400 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Urban Edge Properties | 13,597 | 331 | |
Janus Capital Group Inc. | 24,491 | 317 | |
Primerica Inc. | 6,957 | 294 | |
BancorpSouth Inc. | 14,484 | 289 | |
Washington Federal Inc. | 13,064 | 277 | |
Cathay General Bancorp | 9,030 | 241 | |
Potlatch Corp. | 6,966 | 184 | |
62,844 | |||
Health Care (3.9%) | |||
Cooper Cos. Inc. | 8,644 | 1,236 | |
* | Bio-Rad Laboratories Inc. | ||
Class A | 7,110 | 957 | |
* | LifePoint Health Inc. | 14,884 | 928 |
* | Health Net Inc. | 14,009 | 872 |
Owens & Minor Inc. | 21,505 | 848 | |
Teleflex Inc. | 5,548 | 792 | |
* | WellCare Health Plans Inc. | 7,994 | 718 |
* | Community Health Systems | ||
Inc. | 40,417 | 611 | |
West Pharmaceutical | |||
Services Inc. | 8,381 | 520 | |
* | Allscripts Healthcare | ||
Solutions Inc. | 36,196 | 453 | |
* | Molina Healthcare Inc. | 6,720 | 417 |
* | Catalent Inc. | 13,475 | 327 |
Hill-Rom Holdings Inc. | 6,796 | 315 | |
* | Halyard Health Inc. | 9,578 | 244 |
9,238 | |||
Industrials (16.9%) | |||
Carlisle Cos. Inc. | 22,230 | 2,004 | |
ManpowerGroup Inc. | 25,175 | 1,950 | |
Orbital ATK Inc. | 20,118 | 1,685 | |
* | AECOM | 51,778 | 1,422 |
AGCO Corp. | 25,151 | 1,245 | |
Lincoln Electric Holdings Inc. | 22,549 | 1,230 | |
MSC Industrial Direct Co. | |||
Inc. Class A | 16,540 | 1,151 | |
* | Genesee & Wyoming Inc. | ||
Class A | 19,456 | 1,104 | |
RR Donnelley & Sons Co. | 71,371 | 1,083 | |
Hubbell Inc. Class B | 10,791 | 1,072 | |
* | Kirby Corp. | 18,470 | 1,046 |
* | Teledyne Technologies Inc. | 12,120 | 1,032 |
Huntington Ingalls Industries | |||
Inc. | 7,871 | 1,032 | |
Wabtec Corp. | 12,867 | 908 | |
Valmont Industries Inc. | 7,878 | 891 | |
B/E Aerospace Inc. | 20,375 | 889 | |
IDEX Corp. | 11,775 | 885 | |
Oshkosh Corp. | 25,583 | 883 | |
Landstar System Inc. | 14,768 | 874 | |
Regal Beloit Corp. | 15,273 | 834 | |
Terex Corp. | 37,104 | 830 | |
Trinity Industries Inc. | 52,273 | 828 |
CLARCOR Inc. | 17,063 | 821 | |
* | Old Dominion Freight Line | ||
Inc. | 11,859 | 766 | |
* | Clean Harbors Inc. | 17,921 | 763 |
Timken Co. | 24,692 | 737 | |
Donaldson Co. Inc. | 24,890 | 703 | |
ITT Corp. | 17,751 | 626 | |
GATX Corp. | 14,499 | 624 | |
Curtiss-Wright Corp. | 8,755 | 618 | |
* | NOW Inc. | 36,661 | 593 |
Nordson Corp. | 8,074 | 579 | |
* | Esterline Technologies Corp. | 10,112 | 566 |
Granite Construction Inc. | 13,467 | 558 | |
Kennametal Inc. | 27,223 | 548 | |
Graco Inc. | 6,883 | 539 | |
Triumph Group Inc. | 16,865 | 514 | |
Woodward Inc. | 10,894 | 511 | |
HNI Corp. | 15,108 | 511 | |
* | KLX Inc. | 18,048 | 505 |
MSA Safety Inc. | 10,854 | 474 | |
Deluxe Corp. | 8,247 | 473 | |
* | FTI Consulting Inc. | 14,346 | 472 |
Crane Co. | 9,282 | 455 | |
* | Copart Inc. | 11,491 | 434 |
Joy Global Inc. | 33,380 | 431 | |
KBR Inc. | 30,135 | 417 | |
Werner Enterprises Inc. | 15,264 | 405 | |
Watsco Inc. | 2,906 | 371 | |
Herman Miller Inc. | 10,457 | 273 | |
40,165 | |||
Information Technology (13.1%) | |||
Ingram Micro Inc. | 53,288 | 1,908 | |
Avnet Inc. | 45,144 | 1,858 | |
* | Arrow Electronics Inc. | 31,985 | 1,828 |
* | Keysight Technologies Inc. | 58,137 | 1,517 |
Computer Sciences Corp. | 47,461 | 1,367 | |
Jabil Circuit Inc. | 64,728 | 1,350 | |
Teradyne Inc. | 70,283 | 1,341 | |
* | Trimble Navigation Ltd. | 50,539 | 1,176 |
* | Cree Inc. | 35,239 | 1,118 |
* | NCR Corp. | 42,260 | 987 |
* | VeriFone Systems Inc. | 39,309 | 939 |
SYNNEX Corp. | 9,878 | 929 | |
Cypress Semiconductor | |||
Corp. | 114,160 | 911 | |
* | Tech Data Corp. | 11,993 | 844 |
* | Synopsys Inc. | 18,132 | 811 |
* | NetScout Systems Inc. | 33,900 | 701 |
Lexmark International Inc. | |||
Class A | 21,138 | 656 | |
Mentor Graphics Corp. | 34,149 | 652 | |
Science Applications | |||
International Corp. | 14,148 | 632 | |
Atmel Corp. | 77,616 | 627 |
29
S&P Mid-Cap 400 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
FEI Co. | 7,684 | 624 | |
Leidos Holdings Inc. | 13,604 | 588 | |
Intersil Corp. Class A | 45,317 | 579 | |
Diebold Inc. | 22,226 | 552 | |
Vishay Intertechnology Inc. | 46,317 | 548 | |
* | PTC Inc. | 17,233 | 533 |
National Instruments Corp. | 17,195 | 496 | |
* | Rackspace Hosting Inc. | 20,387 | 439 |
* | Fairchild Semiconductor | ||
International Inc. Class A | 21,327 | 428 | |
* | CoreLogic Inc. | 11,773 | 407 |
*,^ | 3D Systems Corp. | 36,461 | 389 |
* | WEX Inc. | 5,425 | 354 |
Belden Inc. | 6,325 | 346 | |
* | Knowles Corp. | 30,286 | 345 |
InterDigital Inc. | 6,791 | 338 | |
* | Acxiom Corp. | 14,401 | 299 |
* | Advanced Micro Devices | ||
Inc. | 118,363 | 253 | |
* | CommVault Systems Inc. | 6,494 | 243 |
* | comScore Inc. | 5,474 | 225 |
* | Polycom Inc. | 21,539 | 224 |
*,^ | SunEdison Inc. | 108,467 | 215 |
* | NeuStar Inc. Class A | 8,241 | 205 |
* | Silicon Laboratories Inc. | 3,920 | 162 |
Plantronics Inc. | 4,269 | 160 | |
31,104 | |||
Materials (8.8%) | |||
Albemarle Corp. | 38,371 | 2,157 | |
Bemis Co. Inc. | 32,821 | 1,611 | |
Sonoco Products Co. | 34,519 | 1,508 | |
Steel Dynamics Inc. | 82,802 | 1,506 | |
Reliance Steel & Aluminum | |||
Co. | 24,500 | 1,492 | |
Royal Gold Inc. | 22,327 | 1,035 | |
Ashland Inc. | 10,540 | 1,004 | |
Cabot Corp. | 21,396 | 953 | |
RPM International Inc. | 21,839 | 892 | |
Olin Corp. | 56,465 | 856 | |
Valspar Corp. | 10,250 | 802 | |
Domtar Corp. | 21,493 | 756 | |
AptarGroup Inc. | 8,969 | 661 | |
Commercial Metals Co. | 39,792 | 585 | |
NewMarket Corp. | 1,446 | 528 | |
Allegheny Technologies Inc. | 37,345 | 501 | |
Carpenter Technology Corp. | 16,798 | 499 | |
Worthington Industries Inc. | 15,819 | 492 | |
^ | United States Steel Corp. | 50,090 | 457 |
Scotts Miracle-Gro Co. | |||
Class A | 6,235 | 430 | |
PolyOne Corp. | 15,638 | 421 | |
Sensient Technologies Corp. | 7,124 | 410 | |
Compass Minerals | |||
International Inc. | 5,079 | 345 |
Silgan Holdings Inc. | 6,651 | 341 | |
* Louisiana-Pacific Corp. | 17,612 | 280 | |
Greif Inc. Class A | 8,803 | 233 | |
Minerals Technologies Inc. | 4,404 | 224 | |
20,979 | |||
Telecommunication Services (0.4%) | |||
Telephone & Data Systems | |||
Inc. | 32,299 | 863 | |
Utilities (9.8%) | |||
Alliant Energy Corp. | 38,767 | 2,634 | |
UGI Corp. | 58,972 | 2,180 | |
Westar Energy Inc. Class A | 48,335 | 2,101 | |
OGE Energy Corp. | 68,295 | 1,699 | |
Great Plains Energy Inc. | 52,711 | 1,546 | |
Questar Corp. | 59,794 | 1,481 | |
Atmos Energy Corp. | 19,439 | 1,349 | |
Vectren Corp. | 28,283 | 1,287 | |
MDU Resources Group Inc. | 66,777 | 1,216 | |
Hawaiian Electric Industries | |||
Inc. | 36,748 | 1,079 | |
ONE Gas Inc. | 17,836 | 1,034 | |
Black Hills Corp. | 17,501 | 980 | |
Cleco Corp. | 20,683 | 950 | |
PNM Resources Inc. | 27,240 | 869 | |
National Fuel Gas Co. | 17,944 | 820 | |
Aqua America Inc. | 24,736 | 756 | |
IDACORP Inc. | 9,296 | 660 | |
WGL Holdings Inc. | 7,327 | 500 | |
* Talen Energy Corp. | 22,006 | 140 | |
23,281 | |||
Total Common Stocks | |||
(Cost $260,502) | 237,842 | ||
Temporary Cash Investments (1.0%) | |||
Money Market Fund (1.0%) | |||
1,2 Vanguard Market Liquidity | |||
Fund, 0.475% | 2,284,101 | 2,284 | |
Face | |||
Amount | |||
($000) | |||
U.S. Government and Agency Obligations (0.0%) | |||
3 Freddie Mac Discount | |||
Notes, 0.220%, 4/15/16 | 100 | 100 | |
Total Temporary Cash Investments | |||
(Cost $2,384) | 2,384 | ||
Total Investments (101.0%) | |||
(Cost $262,886) | 240,226 |
30
S&P Mid-Cap 400 Value Index Fund
Amount | |
($000) | |
Other Assets and Liabilities (-1.0%) | |
Other Assets | |
Investment in Vanguard | 21 |
Receivables for Investment Securities Sold | 333 |
Receivables for Accrued Income | 354 |
Receivables for Capital Shares Issued | 58 |
Other Assets | 2,021 |
Total Other Assets | 2,787 |
Liabilities | |
Payables for Investment Securities | |
Purchased | (4,359) |
Collateral for Securities on Loan | (644) |
Payables for Capital Shares Redeemed | (9) |
Payables to Vanguard | (65) |
Total Liabilities | (5,077) |
Net Assets (100%) | 237,936 |
At February 29, 2016, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 280,445 |
Undistributed Net Investment Income | 507 |
Accumulated Net Realized Losses | (20,356) |
Unrealized Appreciation (Depreciation) | (22,660) |
Net Assets | 237,936 |
ETF Shares—Net Assets | |
Applicable to 1,350,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 115,202 |
Net Asset Value Per Share— | |
ETF Shares | $85.33 |
Institutional Shares—Net Assets | |
Applicable to 718,741 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 122,734 |
Net Asset Value Per Share— | |
Institutional Shares | $170.76 |
• 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 $590,000.
1 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the
7-day yield.
2 Includes $644,000 of collateral received for securities on loan.
3 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the
Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange
for senior preferred stock.
See accompanying Notes, which are an integral part of the Financial Statements.
31
S&P Mid-Cap 400 Value Index Fund
Statement of Operations
Six Months Ended | |
February 29, 2016 | |
($000) | |
Investment Income | |
Income | |
Dividends | 2,431 |
Securities Lending | 22 |
Total Income | 2,453 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 24 |
Management and Administrative—ETF Shares | 73 |
Management and Administrative—Institutional Shares | 21 |
Marketing and Distribution—ETF Shares | 4 |
Marketing and Distribution—Institutional Shares | 2 |
Custodian Fees | 16 |
Shareholders’ Reports—ETF Shares | 1 |
Shareholders’ Reports—Institutional Shares | 2 |
Total Expenses | 143 |
Net Investment Income | 2,310 |
Realized Net Gain (Loss) | |
Investment Securities Sold | (3,163) |
Futures Contracts | (140) |
Realized Net Gain (Loss) | (3,303) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (12,534) |
Futures Contracts | 43 |
Change in Unrealized Appreciation (Depreciation) | (12,491) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (13,484) |
See accompanying Notes, which are an integral part of the Financial Statements.
32
S&P Mid-Cap 400 Value Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
February 29, | August 31, | |
2016 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 2,310 | 4,530 |
Realized Net Gain (Loss) | (3,303) | 16,281 |
Change in Unrealized Appreciation (Depreciation) | (12,491) | (29,136) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (13,484) | (8,325) |
Distributions | ||
Net Investment Income | ||
ETF Shares | (2,390) | (1,346) |
Institutional Shares | (2,275) | (2,346) |
Realized Capital Gain | ||
ETF Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (4,665) | (3,692) |
Capital Share Transactions | ||
ETF Shares | 20,959 | 19,749 |
Institutional Shares | (11,058) | 14,582 |
Net Increase (Decrease) from Capital Share Transactions | 9,901 | 34,331 |
Total Increase (Decrease) | (8,248) | 22,314 |
Net Assets | ||
Beginning of Period | 246,184 | 223,870 |
End of Period1 | 237,936 | 246,184 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $507,000 and $2,862,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
33
S&P Mid-Cap 400 Value Index Fund
Financial Highlights
ETF Shares | |||||||
Six Months | Sept. 7, | ||||||
Ended | 20101 to | ||||||
For a Share Outstanding | February 29, | Year Ended August 31, | Aug. 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | |
Net Asset Value, Beginning of Period | $91.40 | $96.78 | $77.93 | $62.71 | $55.69 | $49.86 | |
Investment Operations | |||||||
Net Investment Income | . 829 2 | 1.600 | 1.5002 | 1.153 | 1.001 | .746 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | (5.428) | (5.563) | 18.094 | 15.146 | 6.814 | 5.340 | |
Total from Investment Operations | (4.599) | (3.963) | 19.594 | 16.299 | 7.815 | 6.086 | |
Distributions | |||||||
Dividends from Net Investment Income | (1.471) | (1.417) | (.744) | (1.079) | (.795) | (.256) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (1.471) | (1.417) | (.744) | (1.079) | (.795) | (.256) | |
Net Asset Value, End of Period | $85.33 | $91.40 | $96.78 | $77.93 | $62.71 | $55.69 | |
Total Return | -5.08% | -4.17% | 25.26% | 26.31% | 14.18% | 12.18% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $115 | $103 | $87 | $27 | $9 | $6 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.18% | 0.20% | 0.20% | 0.20% | 0.20% | 0.20%3 | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 1.97% | 1.75% | 1.66% | 1.87% | 1.80% | 1.82%3 | |
Portfolio Turnover Rate 4 | 35% | 47% | 35% | 74% | 31% | 48% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Calculated based on average shares outstanding.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
34
S&P Mid-Cap 400 Value Index Fund
Financial Highlights
Institutional Shares | |||||||
Six Months | Nov. 2, | ||||||
Ended | 20101 to | ||||||
For a Share Outstanding | February 29, | Year Ended August 31, | Aug. 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | |
Net Asset Value, Beginning of Period | $182.92 | $193.66 | $155.83 | $125.30 | $111.20 | $109.35 | |
Investment Operations | |||||||
Net Investment Income | 1.749 2 | 3.420 | 3.1912 | 2.392 | 2.124 | 1.146 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | (10.845) | (11.127) | 36.207 | 30.364 | 13.624 | 1.233 | |
Total from Investment Operations | (9.096) | (7.707) | 39.398 | 32.756 | 15.748 | 2.379 | |
Distributions | |||||||
Dividends from Net Investment Income | (3.064) | (3.033) | (1.568) | (2.226) | (1.648) | (.529) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (3.064) | (3.033) | (1.568) | (2.226) | (1.648) | (.529) | |
Net Asset Value, End of Period | $170.76 | $182.92 | $193.66 | $155.83 | $125.30 | $111.20 | |
Total Return | -5.04% | -4.05% | 25.42% | 26.47% | 14.32% | 2.15% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $123 | $143 | $137 | $49 | $40 | $35 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.07% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08%3 | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 2.08% | 1.87% | 1.78% | 1.99% | 1.92% | 1.94%3 | |
Portfolio Turnover Rate 4 | 35% | 47% | 35% | 74% | 31% | 48% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Calculated based on average shares outstanding.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
35
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: ETF Shares and Institutional Shares. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. 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 six months ended February 29, 2016, 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 February 29, 2016.
36
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, 2012–2015), and for the period ended February 29, 2016, 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 subject to termination by the fund at any time, and 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 (“Vanguard”) participate in a $3 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 February 29, 2016, 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.
37
S&P Mid-Cap 400 Value Index Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2016, the fund had contributed to Vanguard capital in the amount of $21,000, 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 employees, respectively, 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 February 29, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 237,842 | — | — |
Temporary Cash Investments | 2,284 | 100 | — |
Total | 240,126 | 100 | — |
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.
38
S&P Mid-Cap 400 Value Index Fund
During the six months ended February 29, 2016, the fund realized $9,081,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2015, the fund had available capital losses totaling $8,016,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2016; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 29, 2016, the cost of investment securities for tax purposes was $262,886,000.
Net unrealized depreciation of investment securities for tax purposes was $22,660,000, consisting of unrealized gains of $11,210,000 on securities that had risen in value since their purchase and $33,870,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 29, 2016, the fund purchased $123,823,000 of investment securities and sold $115,388,000 of investment securities, other than temporary cash investments. Purchases and sales include $55,991,000 and $49,043,000, 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:
Six Months Ended | Year Ended | |||
February 29, 2016 | August 31, 2015 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
ETF Shares | ||||
Issued | 76,154 | 850 | 152,983 | 1,600 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (55,195) | (625) | (133,234) | (1,375) |
Net Increase (Decrease)—ETF Shares | 20,959 | 225 | 19,749 | 225 |
Institutional Shares | ||||
Issued | 7,781 | 45 | 30,861 | 160 |
Issued in Lieu of Cash Distributions | 1,307 | 7 | 1,205 | 6 |
Redeemed | (20,146) | (117) | (17,484) | (89) |
Net Increase (Decrease) —Institutional Shares | (11,058) | (65) | 14,582 | 77 |
G. Management has determined that no material events or transactions occurred subsequent to February 29, 2016, that would require recognition or disclosure in these financial statements.
39
S&P Mid-Cap 400 Growth Index Fund
Fund Profile
As of February 29, 2016
Share-Class Characteristics | ||
ETF | Institutional | |
Shares | Shares | |
Ticker Symbol | IVOG | VMFGX |
Expense Ratio1 | 0.20% | 0.08% |
30-Day SEC Yield | 1.10% | 1.24% |
Portfolio Characteristics | |||
S&P | |||
MidCap | DJ | ||
400 | U.S. Total | ||
Growth | Market | ||
Fund | Index | FA Index | |
Number of Stocks | 230 | 228 | 3,906 |
Median Market Cap | $5.2B | $5.2B | $50.4B |
Price/Earnings Ratio | 24.1x | 24.2x | 20.1x |
Price/Book Ratio | 3.5x | 3.5x | 2.5x |
Return on Equity | 16.0% | 16.1% | 17.5% |
Earnings Growth | |||
Rate | 17.8% | 17.8% | 8.4% |
Dividend Yield | 1.3% | 1.3% | 2.2% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 35% | — | — |
Short-Term Reserves | -0.8% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
S&P | U.S. | ||
MidCap | Total | ||
400 | Market | ||
Growth | FA | ||
Fund | Index | Index | |
Consumer | |||
Discretionary | 14.9% | 14.9% | 13.6% |
Consumer Staples | 5.2 | 5.2 | 9.4 |
Energy | 0.0 | 0.0 | 5.9 |
Financials | 24.3 | 24.0 | 17.4 |
Health Care | 15.6 | 15.6 | 14.2 |
Industrials | 13.7 | 13.8 | 10.7 |
Information | |||
Technology | 20.3 | 20.4 | 19.7 |
Materials | 4.4 | 4.5 | 3.1 |
Telecommunication | |||
Services | 0.0 | 0.0 | 2.5 |
Utilities | 1.6 | 1.6 | 3.5 |
Volatility Measures | ||
S&P | DJ | |
MidCap | U.S. Total | |
400 Growth | Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.82 |
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) | ||
Alaska Air Group Inc. | Airlines | 1.3% |
Acuity Brands Inc. | Electrical | |
Components & | ||
Equipment | 1.3 | |
UDR Inc. | Residential REITs | 1.3 |
Mettler-Toledo | Life Sciences Tools & | |
International Inc. | Services | 1.2 |
Hologic Inc. | Health Care | |
Equipment | 1.2 | |
LKQ Corp. | Distributors | 1.2 |
Fortune Brands Home & | ||
Security Inc. | Building Products | 1.2 |
ResMed Inc. | Health Care | |
Equipment | 1.1 | |
Global Payments Inc. | Data Processing & | |
Outsourced Services | 1.1 | |
Waste Connections Inc. | Environmental & | |
Facilities Services | 1.1 | |
Top Ten | 12.0% | |
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 14, 2015, and represent estimated costs for the current fiscal year. For the six
months ended February 29, 2016, the annualized expense ratios were 0.18% for ETF Shares and 0.07% for Institutional Shares.
40
S&P Mid-Cap 400 Growth Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): September 7, 2010, Through February 29, 2016
Average Annual Total Returns: Periods Ended December 31, 2015
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
Inception | One | Five | Since | |
Date | Year | Years | Inception | |
ETF Shares | 9/7/2010 | |||
Market Price | 1.84% | 10.90% | 14.53% | |
Net Asset Value | 1.85 | 10.90 | 14.52 | |
Institutional Shares | 3/28/20111 | 1.95 | — | 10.05 |
1 Institutional Shares were first issued on December 15, 2010, and the sole shareholder redeemed shortly thereafter. Institutional Shares
were next issued on March 28, 2011. The total returns shown are based on the period beginning March 28, 2011.
See Financial Highlights for dividend and capital gains information.
41
S&P Mid-Cap 400 Growth Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 29, 2016
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 (100.7%)1 | |||
Consumer Discretionary (15.0%) | |||
* | LKQ Corp. | 220,954 | 6,098 |
Domino’s Pizza Inc. | 39,526 | 5,258 | |
* | NVR Inc. | 2,661 | 4,356 |
Foot Locker Inc. | 64,532 | 4,033 | |
* | Jarden Corp. | 73,410 | 3,882 |
Carter’s Inc. | 37,604 | 3,822 | |
* | Panera Bread Co. Class A | 17,214 | 3,567 |
Service Corp. International | 142,131 | 3,343 | |
* | Toll Brothers Inc. | 117,282 | 3,219 |
Dunkin’ Brands Group Inc. | 67,006 | 3,121 | |
* | Skechers U.S.A. Inc. | ||
Class A | 94,005 | 3,095 | |
* | AMC Networks Inc. | ||
Class A | 44,052 | 2,887 | |
* | Tempur Sealy International | ||
Inc. | 45,015 | 2,596 | |
Pool Corp. | 30,813 | 2,473 | |
* | Vista Outdoor Inc. | 45,066 | 2,222 |
* | Buffalo Wild Wings Inc. | 13,776 | 2,186 |
Polaris Industries Inc. | 24,255 | 2,132 | |
Gentex Corp. | 130,732 | 1,903 | |
Williams-Sonoma Inc. | 30,192 | 1,573 | |
Wendy’s Co. | 158,246 | 1,483 | |
Brunswick Corp. | 30,951 | 1,317 | |
Cinemark Holdings Inc. | 34,338 | 1,137 | |
^ | Cracker Barrel Old Country | ||
Store Inc. | 7,273 | 1,077 | |
Jack in the Box Inc. | 15,534 | 1,068 | |
* | Live Nation Entertainment | ||
Inc. | 43,207 | 950 | |
Brinker International Inc. | 18,954 | 944 | |
Thor Industries Inc. | 16,184 | 896 | |
CalAtlantic Group Inc. | 29,228 | 887 | |
Cable One Inc. | 1,932 | 828 | |
Cheesecake Factory Inc. | 15,385 | 768 | |
* | Kate Spade & Co. | 32,240 | 639 |
* | DreamWorks Animation | ||
SKG Inc. Class A | 23,558 | 604 | |
* | TRI Pointe Group Inc. | 56,661 | 584 |
MDC Holdings Inc. | 13,470 | 298 | |
75,246 | |||
Consumer Staples (5.2%) | |||
* | WhiteWave Foods Co. | ||
Class A | 127,444 | 4,935 | |
* | Post Holdings Inc. | 44,902 | 3,119 |
* | Sprouts Farmers Market | ||
Inc. | 104,426 | 2,974 | |
Flowers Foods Inc. | 135,040 | 2,313 | |
Ingredion Inc. | 22,770 | 2,305 | |
Casey’s General Stores Inc. | 15,236 | 1,608 | |
* | TreeHouse Foods Inc. | 18,968 | 1,601 |
* | Hain Celestial Group Inc. | 41,705 | 1,542 |
* | Edgewell Personal Care Co. | 15,633 | 1,195 |
Snyder’s-Lance Inc. | 33,165 | 1,085 | |
Lancaster Colony Corp. | 8,995 | 915 | |
* | Boston Beer Co. Inc. | ||
Class A | 4,835 | 910 | |
Energizer Holdings Inc. | 19,408 | 756 | |
* | SUPERVALU Inc. | 101,946 | 521 |
Avon Products Inc. | 88,189 | 336 | |
Tootsie Roll Industries Inc. | 7,117 | 237 | |
26,352 | |||
Financials (24.5%) | |||
UDR Inc. | 189,511 | 6,506 | |
Regency Centers Corp. | 68,106 | 4,807 | |
* | Signature Bank | 36,392 | 4,715 |
MSCI Inc. Class A | 66,838 | 4,713 | |
FactSet Research Systems | |||
Inc. | 29,980 | 4,512 | |
SEI Investments Co. | 100,029 | 3,818 | |
CBOE Holdings Inc. | 59,639 | 3,727 | |
Mid-America Apartment | |||
Communities Inc. | 38,165 | 3,433 | |
Lamar Advertising Co. | |||
Class A | 59,301 | 3,388 |
42
S&P Mid-Cap 400 Growth Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Jones Lang LaSalle Inc. | 32,578 | 3,325 | |
* | SVB Financial Group | 37,245 | 3,309 |
MarketAxess Holdings Inc. | 26,973 | 3,195 | |
Old Republic International | |||
Corp. | 175,865 | 3,130 | |
Sovran Self Storage Inc. | 27,824 | 2,962 | |
Weingarten Realty Investors | 82,476 | 2,906 | |
Arthur J Gallagher & Co. | 67,735 | 2,699 | |
Camden Property Trust | 34,555 | 2,583 | |
Alexandria Real Estate | |||
Equities Inc. | 31,987 | 2,532 | |
Duke Realty Corp. | 117,372 | 2,427 | |
StanCorp Financial Group | |||
Inc. | 19,602 | 2,252 | |
Kilroy Realty Corp. | 41,329 | 2,243 | |
Bank of the Ozarks Inc. | 58,826 | 2,226 | |
American Campus | |||
Communities Inc. | 49,967 | 2,187 | |
First Horizon National Corp. | 173,107 | 2,081 | |
National Retail Properties | |||
Inc. | 47,273 | 2,079 | |
East West Bancorp Inc. | 67,654 | 2,028 | |
PrivateBancorp Inc. | 57,178 | 1,965 | |
Omega Healthcare Investors | |||
Inc. | 59,527 | 1,908 | |
Equity One Inc. | 65,222 | 1,788 | |
Brown & Brown Inc. | 54,162 | 1,750 | |
American Financial Group | |||
Inc. | 25,904 | 1,738 | |
Raymond James Financial | |||
Inc. | 39,625 | 1,737 | |
Douglas Emmett Inc. | 62,532 | 1,678 | |
RenaissanceRe Holdings | |||
Ltd. | 14,590 | 1,652 | |
Communications Sales | |||
& Leasing Inc. | 87,114 | 1,642 | |
Highwoods Properties Inc. | 35,854 | 1,562 | |
Taubman Centers Inc. | 20,477 | 1,450 | |
Commerce Bancshares Inc. | 32,132 | 1,365 | |
Tanger Factory Outlet | |||
Centers Inc. | 42,488 | 1,363 | |
Synovus Financial Corp. | 50,066 | 1,331 | |
EPR Properties | 20,530 | 1,278 | |
Webster Financial Corp. | 37,797 | 1,270 | |
Bank of Hawaii Corp. | 19,102 | 1,213 | |
Eaton Vance Corp. | 41,648 | 1,204 | |
Post Properties Inc. | 21,533 | 1,200 | |
Alexander & Baldwin Inc. | 33,231 | 1,114 | |
WisdomTree Investments | |||
Inc. | 83,072 | 984 | |
Cathay General Bancorp | 35,418 | 945 | |
Urban Edge Properties | 38,071 | 926 | |
Federated Investors Inc. | |||
Class B | 33,577 | 879 | |
Primerica Inc. | 20,290 | 856 |
Washington Federal Inc. | 39,706 | 841 | |
Fulton Financial Corp. | 57,905 | 730 | |
Care Capital Properties Inc. | 26,672 | 707 | |
Janus Capital Group Inc. | 53,841 | 696 | |
Waddell & Reed Financial | |||
Inc. Class A | 28,215 | 661 | |
BancorpSouth Inc. | 30,474 | 607 | |
Potlatch Corp. | 14,713 | 389 | |
123,212 | |||
Health Care (15.7%) | |||
* | Mettler-Toledo International | ||
Inc. | 19,787 | 6,231 | |
* | Hologic Inc. | 178,019 | 6,165 |
ResMed Inc. | 101,007 | 5,748 | |
* | Centene Corp. | 86,218 | 4,911 |
* | IDEXX Laboratories Inc. | 65,793 | 4,813 |
* | MEDNAX Inc. | 68,019 | 4,560 |
* | Sirona Dental Systems Inc. | 40,271 | 4,454 |
* | United Therapeutics Corp. | 33,003 | 4,024 |
STERIS plc | 62,084 | 3,993 | |
* | Align Technology Inc. | 52,320 | 3,455 |
* | VCA Inc. | 58,328 | 2,977 |
* | Amsurg Corp. | 39,026 | 2,656 |
Teleflex Inc. | 18,355 | 2,621 | |
* | Charles River Laboratories | ||
International Inc. | 33,723 | 2,476 | |
Cooper Cos. Inc. | 16,878 | 2,413 | |
Bio-Techne Corp. | 26,900 | 2,309 | |
* | PAREXEL International Corp. | 38,508 | 2,260 |
West Pharmaceutical | |||
Services Inc. | 34,413 | 2,134 | |
* | LivaNova plc | 30,733 | 1,735 |
* | Health Net Inc. | 26,276 | 1,635 |
* | Akorn Inc. | 57,939 | 1,541 |
* | WellCare Health Plans Inc. | 14,994 | 1,348 |
Hill-Rom Holdings Inc. | 26,656 | 1,236 | |
* | Catalent Inc. | 42,692 | 1,036 |
* | Molina Healthcare Inc. | 15,399 | 955 |
* | Allscripts Healthcare | ||
Solutions Inc. | 60,157 | 753 | |
* | Halyard Health Inc. | 13,489 | 344 |
* | Community Health | ||
Systems Inc. | |||
Rights Exp. 12/31/2099 | 29,782 | — | |
78,783 | |||
Industrials (13.8%) | |||
Alaska Air Group Inc. | 91,227 | 6,742 | |
Acuity Brands Inc. | 31,667 | 6,632 | |
Fortune Brands Home | |||
& Security Inc. | 115,506 | 5,801 | |
Waste Connections Inc. | 88,508 | 5,458 | |
* | JetBlue Airways Corp. | 227,879 | 5,013 |
AO Smith Corp. | 54,168 | 3,812 | |
Lennox International Inc. | 29,003 | 3,748 |
43
S&P Mid-Cap 400 Growth Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Toro Co. | 39,643 | 3,160 | |
Wabtec Corp. | 42,567 | 3,005 | |
IDEX Corp. | 30,440 | 2,288 | |
Huntington Ingalls Industries | |||
Inc. | 17,329 | 2,271 | |
Graco Inc. | 25,883 | 2,027 | |
Rollins Inc. | 67,986 | 1,872 | |
* | Copart Inc. | 49,349 | 1,863 |
Hubbell Inc. Class B | 16,529 | 1,642 | |
* | Old Dominion Freight Line | ||
Inc. | 25,084 | 1,619 | |
Watsco Inc. | 12,461 | 1,589 | |
Nordson Corp. | 21,736 | 1,558 | |
B/E Aerospace Inc. | 32,510 | 1,418 | |
CEB Inc. | 23,936 | 1,299 | |
Deluxe Corp. | 18,157 | 1,042 | |
Donaldson Co. Inc. | 36,585 | 1,033 | |
Curtiss-Wright Corp. | 14,551 | 1,027 | |
ITT Corp. | 27,190 | 959 | |
Woodward Inc. | 18,106 | 850 | |
Crane Co. | 16,065 | 788 | |
KBR Inc. | 40,538 | 561 | |
Herman Miller Inc. | 21,220 | 554 | |
69,631 | |||
Information Technology (20.4%) | |||
Global Payments Inc. | 93,943 | 5,726 | |
* | ANSYS Inc. | 64,367 | 5,344 |
CDK Global Inc. | 115,312 | 5,176 | |
* | Gartner Inc. | 59,930 | 4,938 |
Broadridge Financial | |||
Solutions Inc. | 85,772 | 4,814 | |
Jack Henry & Associates | |||
Inc. | 57,812 | 4,755 | |
* | Cadence Design Systems | ||
Inc. | 215,174 | 4,637 | |
* | Ultimate Software Group | ||
Inc. | 20,727 | 3,560 | |
* | Synopsys Inc. | 74,445 | 3,331 |
* | ARRIS International plc | 128,377 | 3,067 |
* | Fortinet Inc. | 105,907 | 3,008 |
* | Manhattan Associates Inc. | 52,847 | 2,920 |
* | Tyler Technologies Inc. | 23,484 | 2,826 |
* | Microsemi Corp. | 80,266 | 2,780 |
Solera Holdings Inc. | 48,637 | 2,709 | |
DST Systems Inc. | 23,528 | 2,461 | |
j2 Global Inc. | 33,342 | 2,437 | |
* | Zebra Technologies Corp. | 37,684 | 2,328 |
MAXIMUS Inc. | 47,257 | 2,324 | |
Cognex Corp. | 61,368 | 2,271 | |
Fair Isaac Corp. | 22,478 | 2,237 | |
* | IPG Photonics Corp. | 26,342 | 2,172 |
* | Synaptics Inc. | 26,207 | 2,128 |
* | Integrated Device | ||
Technology Inc. | 97,915 | 1,902 |
* | Ciena Corp. | 91,619 | 1,878 |
Convergys Corp. | 70,546 | 1,819 | |
* | Trimble Navigation Ltd. | 74,282 | 1,728 |
* | ACI Worldwide Inc. | 85,537 | 1,596 |
* | PTC Inc. | 46,390 | 1,434 |
* | CoreLogic Inc. | 38,893 | 1,345 |
Atmel Corp. | 139,844 | 1,130 | |
FEI Co. | 13,299 | 1,080 | |
* | WEX Inc. | 16,491 | 1,077 |
National Instruments Corp. | 36,370 | 1,049 | |
Belden Inc. | 17,003 | 931 | |
* | comScore Inc. | 22,441 | 924 |
* | Rackspace Hosting Inc. | 39,751 | 856 |
* | Silicon Laboratories Inc. | 19,577 | 808 |
Leidos Holdings Inc. | 17,637 | 762 | |
* | Fairchild Semiconductor | ||
International Inc. Class A | 36,910 | 740 | |
* | CommVault Systems Inc. | 16,764 | 628 |
Plantronics Inc. | 15,289 | 573 | |
InterDigital Inc. | 11,226 | 558 | |
* | Acxiom Corp. | 25,912 | 537 |
* | Polycom Inc. | 49,820 | 519 |
* | NeuStar Inc. Class A | 20,708 | 515 |
* | Advanced Micro Devices | ||
Inc. | 212,974 | 456 | |
102,794 | |||
Materials (4.5%) | |||
Packaging Corp. of America | 70,161 | 3,403 | |
Valspar Corp. | 31,200 | 2,441 | |
Ashland Inc. | 23,205 | 2,211 | |
Eagle Materials Inc. | 36,199 | 2,187 | |
RPM International Inc. | 50,041 | 2,044 | |
AptarGroup Inc. | 26,197 | 1,931 | |
NewMarket Corp. | 4,225 | 1,543 | |
Scotts Miracle-Gro Co. | |||
Class A | 19,755 | 1,364 | |
* | Louisiana-Pacific Corp. | 66,133 | 1,051 |
Sensient Technologies Corp. | 17,663 | 1,015 | |
Compass Minerals | |||
International Inc. | 13,652 | 926 | |
Minerals Technologies Inc. | 15,835 | 805 | |
PolyOne Corp. | 29,335 | 789 | |
Silgan Holdings Inc. | 15,220 | 780 | |
22,490 | |||
Utilities (1.6%) | |||
Aqua America Inc. | 75,290 | 2,302 | |
Atmos Energy Corp. | 32,305 | 2,242 | |
WGL Holdings Inc. | 20,545 | 1,401 | |
IDACORP Inc. | 16,750 | 1,188 | |
National Fuel Gas Co. | 23,263 | 1,063 | |
8,196 | |||
Total Common Stocks | |||
(Cost $493,436) | 506,704 |
44
S&P Mid-Cap 400 Growth Index Fund
Market | ||
Value• | ||
Shares | ($000) | |
Temporary Cash Investments (0.5%)1 | ||
Money Market Fund (0.5%) | ||
2,3 Vanguard Market Liquidity | ||
Fund, 0.475% | 2,312,845 | 2,313 |
Face | ||
Amount | ||
($000) | ||
U.S. Government and Agency Obligations (0.0%) | ||
4,5 Federal Home Loan | ||
Bank Discount Notes, | ||
0.411%, 6/2/16 | 100 | 100 |
Total Temporary Cash Investments | ||
(Cost $2,413) | 2,413 | |
Total Investments (101.2%) | ||
(Cost $495,849) | 509,117 | |
Amount | ||
($000) | ||
Other Assets and Liabilities (-1.2%) | ||
Other Assets | ||
Investment in Vanguard | 45 | |
Receivables for Accrued Income | 428 | |
Receivables for Capital Shares Issued | 1 | |
Total Other Assets | 474 | |
Liabilities | ||
Payables for Investment Securities | ||
Purchased | (6,305) | |
Collateral for Securities on Loan | (213) | |
Payables to Vanguard | (170) | |
Other Liabilities | (3) | |
Total Liabilities | (6,691) | |
Net Assets (100%) | 502,900 |
At February 29, 2016, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 532,840 |
Undistributed Net Investment Income | 124 |
Accumulated Net Realized Losses | (43,349) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 13,268 |
Futures Contracts | 17 |
Net Assets | 502,900 |
ETF Shares—Net Assets | |
Applicable to 4,475,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 419,218 |
Net Asset Value Per Share— | |
ETF Shares | $93.68 |
Institutional Shares—Net Assets | |
Applicable to 448,820 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 83,682 |
Net Asset Value Per Share— | |
Institutional Shares | $186.45 |
• 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 $207,000.
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 100.8% and 0.4%, 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 $213,000 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.
45
S&P Mid-Cap 400 Growth Index Fund
Statement of Operations
Six Months Ended | |
February 29, 2016 | |
($000) | |
Investment Income | |
Income | |
Dividends | 2,762 |
Interest1 | 2 |
Securities Lending | 3 |
Total Income | 2,767 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 46 |
Management and Administrative—ETF Shares | 282 |
Management and Administrative—Institutional Shares | 19 |
Marketing and Distribution—ETF Shares | 14 |
Marketing and Distribution—Institutional Shares | 1 |
Custodian Fees | 18 |
Shareholders’ Reports—ETF Shares | 7 |
Shareholders’ Reports—Institutional Shares | — |
Total Expenses | 387 |
Net Investment Income | 2,380 |
Realized Net Gain (Loss) | |
Investment Securities Sold | (14,574) |
Futures Contracts | (216) |
Realized Net Gain (Loss) | (14,790) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (17,374) |
Futures Contracts | 12 |
Change in Unrealized Appreciation (Depreciation) | (17,362) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (29,772) |
1 Interest income from an affiliated company of the fund was $2,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
46
S&P Mid-Cap 400 Growth Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
February 29, | August 31, | |
2016 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 2,380 | 4,863 |
Realized Net Gain (Loss) | (14,790) | 40,051 |
Change in Unrealized Appreciation (Depreciation) | (17,362) | (31,211) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (29,772) | 13,703 |
Distributions | ||
Net Investment Income | ||
ETF Shares | (4,524) | (2,534) |
Institutional Shares | (1,029) | (810) |
Realized Capital Gain | ||
ETF Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (5,553) | (3,344) |
Capital Share Transactions | ||
ETF Shares | 71,684 | 77,454 |
Institutional Shares | (6,472) | 3,968 |
Net Increase (Decrease) from Capital Share Transactions | 65,212 | 81,422 |
Total Increase (Decrease) | 29,887 | 91,781 |
Net Assets | ||
Beginning of Period | 473,013 | 381,232 |
End of Period1 | 502,900 | 473,013 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $124,000 and $3,297,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
47
S&P Mid-Cap 400 Growth Index Fund
Financial Highlights
ETF Shares | |||||||
Six Months | Sept. 7, | ||||||
Ended | 20101 to | ||||||
For a Share Outstanding | February 29, | Year Ended August 31, | Aug. 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | |
Net Asset Value, Beginning of Period | $99.88 | $97.18 | $80.96 | $67.47 | $61.13 | $50.04 | |
Investment Operations | |||||||
Net Investment Income | . 4612 | 1.036 | .571 | .721 | .405 | .280 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | (5.627) | 2.456 | 16.256 | 13.257 | 6.266 | 10.910 | |
Total from Investment Operations | (5.166) | 3.492 | 16.827 | 13.978 | 6.671 | 11.190 | |
Distributions | |||||||
Dividends from Net Investment Income | (1.034) | (.792) | (. 607) | (. 488) | (. 331) | (.100) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (1.034) | (.792) | (. 607) | (. 488) | (. 331) | (.100) | |
Net Asset Value, End of Period | $93.68 | $99.88 | $97.18 | $80.96 | $67.47 | $61.13 | |
Total Return | -5.22% | 3.60% | 20.84% | 20.83% | 10.97% | 22.36% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $419 | $377 | $292 | $182 | $91 | $31 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.18% | 0.20% | 0.20% | 0.20% | 0.20% | 0.20%3 | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 1.12% | 1.08% | 0.81% | 1.08% | 0.76% | 0.63%3 | |
Portfolio Turnover Rate 4 | 35% | 47% | 38% | 35% | 26% | 40% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Calculated based on average shares outstanding.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
48
S&P Mid-Cap 400 Growth Index Fund
Financial Highlights
Institutional Shares | |||||||
Six Months | March 28, | ||||||
Ended | 20111 to | ||||||
For a Share Outstanding | February 29, | Year Ended August 31, | Aug. 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | |
Net Asset Value, Beginning of Period | $198.85 | $193.45 | $161.12 | $134.20 | $121.54 | $130.08 | |
Investment Operations | |||||||
Net Investment Income | 1.056 2 | 2.271 | 1.316 | 1.584 | .915 | .304 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | (11.216) | 4.900 | 32.386 | 26.392 | 12.506 | (8.844) | |
Total from Investment Operations | (10.160) | 7.171 | 33.702 | 27.976 | 13.421 | (8.540) | |
Distributions | |||||||
Dividends from Net Investment Income | (2.240) | (1.771) | (1.372) | (1.056) | (.761) | — | |
Distributions from Realized Capital Gains — | — | — | — | — | — | ||
Total Distributions | (2.240) | (1.771) | (1.372) | (1.056) | (.761) | — | |
Net Asset Value, End of Period | $186.45 | $198.85 | $193.45 | $161.12 | $134.20 | $121.54 | |
Total Return | -5.18% | 3.72% | 20.99% | 20.97% | 11.12% | -6.57% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $84 | $96 | $90 | $42 | $23 | $22 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.07% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08%3 | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 1.23% | 1.20% | 0.93% | 1.20% | 0.88% | 0.75%3 | |
Portfolio Turnover Rate 4 | 35% | 47% | 38% | 35% | 26% | 40% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Calculated based on average shares outstanding.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
49
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: ETF Shares and Institutional Shares. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. 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 six months ended February 29, 2016, 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.
50
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, 2012–2015), and for the period ended February 29, 2016, 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 subject to termination by the fund at any time, and 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 (“Vanguard”) participate in a $3 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 February 29, 2016, 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.
51
S&P Mid-Cap 400 Growth Index Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2016, the fund had contributed to Vanguard capital in the amount of $45,000, representing 0.01% of the fund’s net assets and 0.02% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, 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 February 29, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 506,704 | — | — |
Temporary Cash Investments | 2,313 | 100 | — |
Futures Contracts—Liabilities1 | (2) | — | — |
Total | 509,015 | 100 | — |
1 Represents variation margin on the last day of the reporting period. |
52
S&P Mid-Cap 400 Growth Index Fund
D. At February 29, 2016, 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 | March 2016 | 4 | 533 | 17 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended February 29, 2016, the fund realized $7,140,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2015, the fund had available capital losses totaling $21,414,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2016; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 29, 2016, the cost of investment securities for tax purposes was $495,849,000.
Net unrealized appreciation of investment securities for tax purposes was $13,268,000, consisting of unrealized gains of $41,820,000 on securities that had risen in value since their purchase and $28,552,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended February 29, 2016, the fund purchased $228,859,000 of investment securities and sold $162,402,000 of investment securities, other than temporary cash investments. Purchases and sales include $83,480,000 and $28,455,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
53
S&P Mid-Cap 400 Growth Index Fund
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
February 29, 2016 | August 31, 2015 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
ETF Shares | ||||
Issued | 103,138 | 1,025 | 307,135 | 3,025 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (31,454) | (325) | (229,681) | (2,250) |
Net Increase (Decrease)—ETF Shares | 71,684 | 700 | 77,454 | 775 |
Institutional Shares | ||||
Issued | 4,354 | 23 | 15,445 | 75 |
Issued in Lieu of Cash Distributions | 407 | 2 | 347 | 2 |
Redeemed | (11,233) | (59) | (11,824) | (58) |
Net Increase (Decrease)—Institutional Shares | (6,472) | (34) | 3,968 | 19 |
H. Management has determined that no material events or transactions occurred subsequent to February 29, 2016, that would require recognition or disclosure in these financial statements.
54
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
55
Six Months Ended February 29, 2016 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
8/31/2015 | 2/29/2016 | Period | |
Based on Actual Fund Return | |||
S&P Mid-Cap 400 Index Fund | |||
ETF Shares | $1,000.00 | $949.22 | $0.63 |
Institutional Shares | 1,000.00 | 949.53 | 0.34 |
S&P Mid-Cap 400 Value Index Fund | |||
ETF Shares | $1,000.00 | $949.20 | $0.87 |
Institutional Shares | 1,000.00 | 949.57 | 0.34 |
S&P Mid-Cap 400 Growth Index Fund | |||
ETF Shares | $1,000.00 | $947.76 | $0.87 |
Institutional Shares | 1,000.00 | 948.22 | 0.34 |
Based on Hypothetical 5% Yearly Return | |||
S&P Mid-Cap 400 Index Fund | |||
ETF Shares | $1,000.00 | $1,024.22 | $0.65 |
Institutional Shares | 1,000.00 | 1,024.52 | 0.35 |
S&P Mid-Cap 400 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,023.97 | $0.91 |
Institutional Shares | 1,000.00 | 1,024.52 | 0.35 |
S&P Mid-Cap 400 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,023.97 | $0.91 |
Institutional Shares | 1,000.00 | 1,024.52 | 0.35 |
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, 0.13% for ETF Shares and 0.07% for Institutional Shares; for the S&P Mid-Cap 400 Value
Index Fund, 0.18% for ETF Shares and 0.07% for Institutional Shares; and for the S&P Mid-Cap 400 Growth Index Fund, 0.18% for ETF Shares
and 0.07% for Institutional 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 (182/366).
56
Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (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.
57
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.
58
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 196 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 | Rajiv L. Gupta |
Born 1945. Trustee Since December 2001.2 Principal | |
F. William McNabb III | Occupation(s) During the Past Five Years and Other |
Born 1957. Trustee Since July 2009. Chairman of | Experience: Chairman and Chief Executive Officer |
the Board. Principal Occupation(s) During the Past | (retired 2009) and President (2006–2008) of |
Five Years and Other Experience: Chairman of the | Rohm and Haas Co. (chemicals); Director of Tyco |
Board of The Vanguard Group, Inc., and of each of | International PLC (diversified manufacturing and |
the investment companies served by The Vanguard | services), HP Inc. (printer and personal computer |
Group, since January 2010; Director of The Vanguard | manufacturing), and Delphi Automotive PLC |
Group since 2008; Chief Executive Officer and | (automotive components); Senior Advisor at |
President of The Vanguard Group, and of each of | New Mountain Capital. |
the investment companies served by The Vanguard | |
Group, since 2008; Director of Vanguard Marketing | Amy Gutmann |
Corporation; Managing Director of The Vanguard | Born 1949. Trustee Since June 2006. Principal |
Group (1995–2008). | Occupation(s) During the Past Five Years and |
Other Experience: President of the University of | |
IndependentTrustees | Pennsylvania; Christopher H. Browne Distinguished |
Professor of Political Science, School of Arts and | |
Emerson U. Fullwood | Sciences, and Professor of Communication, Annenberg |
Born 1948. Trustee Since January 2008. Principal | School for Communication, with secondary faculty |
Occupation(s) During the Past Five Years and Other | appointments in the Department of Philosophy, School |
Experience: Executive Chief Staff and Marketing | of Arts and Sciences, and at the Graduate School of |
Officer for North America and Corporate Vice President | Education, University of Pennsylvania; Trustee of the |
(retired 2008) of Xerox Corporation (document manage- | National Constitution Center; Chair of the Presidential |
ment products and services); Executive in Residence | Commission for the Study of Bioethical Issues. |
and 2009–2010 Distinguished Minett Professor at | |
the Rochester Institute of Technology; Lead Director | JoAnn Heffernan Heisen |
of SPX FLOW, Inc. (multi-industry manufacturing); | Born 1950. Trustee Since July 1998. Principal |
Director of the United Way of Rochester, the University | Occupation(s) During the Past Five Years and |
of Rochester Medical Center, Monroe Community | Other Experience: Corporate Vice President and |
College Foundation, North Carolina A&T University, | Chief Global Diversity Officer (retired 2008) and |
and Roberts Wesleyan College. | Member of the Executive Committee (1997–2008) |
of Johnson & Johnson (pharmaceuticals/medical | |
devices/consumer products); Director of Skytop | |
Lodge Corporation (hotels) and the Robert Wood | |
Johnson Foundation; Member of the Advisory | |
Board of the Institute for Women’s Leadership | |
at Rutgers University. |
F. Joseph Loughrey | Executive Officers | |
Born 1949. Trustee Since October 2009. Principal | ||
Occupation(s) During the Past Five Years and Other | Glenn Booraem | |
Experience: President and Chief Operating Officer | Born 1967. Treasurer Since May 2015. Principal | |
(retired 2009) of Cummins Inc. (industrial machinery); | Occupation(s) During the Past Five Years and | |
Chairman of the Board of Hillenbrand, Inc. (specialized | Other Experience: Principal of The Vanguard Group, | |
consumer services), and of Oxfam America; Director | Inc.; Treasurer of each of the investment companies | |
of SKF AB (industrial machinery), Hyster-Yale Materials | served by The Vanguard Group; Controller of each of | |
Handling, Inc. (forklift trucks), the Lumina Foundation | the investment companies served by The Vanguard | |
for Education, and the V Foundation for Cancer | Group (2010–2015); Assistant Controller of each of | |
Research; Member of the Advisory Council for the | the investment companies served by The Vanguard | |
College of Arts and Letters and of the Advisory Board | Group (2001–2010). | |
to the Kellogg Institute for International Studies, both | ||
at the University of Notre Dame. | Thomas J. Higgins | |
Born 1957. Chief Financial Officer Since September | ||
Mark Loughridge | 2008. Principal Occupation(s) During the Past Five | |
Born 1953. Trustee Since March 2012. Principal | Years and Other Experience: Principal of The Vanguard | |
Occupation(s) During the Past Five Years and Other | Group, Inc.; Chief Financial Officer of each of the | |
Experience: Senior Vice President and Chief Financial | investment companies served by The Vanguard Group; | |
Officer (retired 2013) at IBM (information technology | Treasurer of each of the investment companies served | |
services); Fiduciary Member of IBM’s Retirement Plan | by The Vanguard Group (1998–2008). | |
Committee (2004–2013); Director of the Dow Chemical | ||
Company; Member of the Council on Chicago Booth. | Peter Mahoney | |
Born 1974. Controller Since May 2015. Principal | ||
Scott C. Malpass | Occupation(s) During the Past Five Years and | |
Born 1962. Trustee Since March 2012. Principal | Other Experience: Head of Global Fund Accounting | |
Occupation(s) During the Past Five Years and Other | at The Vanguard Group, Inc.; Controller of each of the | |
Experience: Chief Investment Officer and Vice | investment companies served by The Vanguard Group; | |
President at the University of Notre Dame; Assistant | Head of International Fund Services at The Vanguard | |
Professor of Finance at the Mendoza College of | Group (2008–2014). | |
Business at Notre Dame; Member of the Notre Dame | ||
403(b) Investment Committee, the Board of Advisors | Heidi Stam | |
for Spruceview Capital Partners, and the Investment | Born 1956. Secretary Since July 2005. Principal | |
Advisory Committee of Major League Baseball; Board | Occupation(s) During the Past Five Years and Other | |
Member of TIFF Advisory Services, Inc., and Catholic | Experience: Managing Director of The Vanguard | |
Investment Services, Inc. (investment advisors). | Group, Inc.; General Counsel of The Vanguard Group; | |
Secretary of The Vanguard Group and of each of the | ||
André F. Perold | investment companies served by The Vanguard Group; | |
Born 1952. Trustee Since December 2004. Principal | Director and Senior Vice President of Vanguard | |
Occupation(s) During the Past Five Years and Other | Marketing Corporation. | |
Experience: George Gund Professor of Finance and | ||
Banking, Emeritus at the Harvard Business School | Vanguard Senior ManagementTeam | |
(retired 2011); Chief Investment Officer and Managing | Mortimer J. Buckley | James M. Norris |
Partner of HighVista Strategies LLC (private investment | Kathleen C. Gubanich | Thomas M. Rampulla |
firm); Director of Rand Merchant Bank; Overseer of | Martha G. King | Glenn W. Reed |
the Museum of Fine Arts Boston. | John T. Marcante | Karin A. Risi |
Chris D. McIsaac | ||
Peter F. Volanakis | ||
Born 1955. Trustee Since July 2009. Principal | ||
Occupation(s) During the Past Five Years and Other | Chairman Emeritus and Senior Advisor | |
Experience: President and Chief Operating Officer | ||
(retired 2010) of Corning Incorporated (communications | John J. Brennan | |
equipment); Trustee of Colby-Sawyer College and | Chairman, 1996–2009 | |
Chairman of its Finance and Enrollment Committee; | Chief Executive Officer and President, 1996–2008 | |
Member of the Advisory Board of the Norris Cotton | ||
Cancer Center. | Founder | |
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 | The index is a product of S&P Dow Jones Indices LLC |
Direct Investor Account Services > 800-662-2739 | (“SPDJI”), and has been licensed for use by Vanguard. |
Standard & Poor’s® and S&P® are registered | |
Institutional Investor Services > 800-523-1036 | trademarks of Standard & Poor’s Financial Services LLC |
Text Telephone for People | (“S&P”); Dow Jones® is a registered trademark of Dow |
Who Are Deaf or Hard of Hearing> 800-749-7273 | Jones Trademark Holdings LLC (“Dow Jones”); S&P® |
and S&P 500® are trademarks of S&P; and these | |
This material may be used in conjunction | trademarks have been licensed for use by SPDJI and |
with the offering of shares of any Vanguard | sublicensed for certain purposes by Vanguard. |
fund only if preceded or accompanied by | Vanguard product(s) are not sponsored, endorsed, sold |
or promoted by SPDJI, Dow Jones, S&P, or their | |
the fund’s current prospectus. | respective affiliates and none of such parties make any |
All comparative mutual fund data are from Lipper, a | representation regarding the advisability of investing in |
Thomson Reuters Company, or Morningstar, Inc., unless | such product(s) nor do they have any liability for any |
otherwise noted. | errors, omissions, or interruptions of the index. |
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 email addressed to | |
publicinfo@sec.gov or via regular mail addressed to the | |
Public Reference Section, Securities and Exchange | |
Commission, Washington, DC 20549-1520. | |
© 2016 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q18422 042016 |
Semiannual Report | February 29, 2016
Vanguard S&P 500 Value and Growth
Index Funds
Vanguard S&P 500 Value Index Fund
Vanguard S&P 500 Growth Index Fund
Vanguard’s Principles for Investing Success
We want to give you the best chance of investment success. These principles, grounded in Vanguard’s research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds. Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
S&P 500 Value Index Fund. | 7 |
S&P 500 Growth Index Fund. | 23 |
About Your Fund’s Expenses. | 37 |
Glossary. | 39 |
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: Pictured is a sailing block on the Brilliant, a 1932 schooner docked in Mystic, Connecticut. A type of pulley, the
sailing block helps coordinate the setting of the sails. At Vanguard, the intricate coordination of technology and people allows
us to help millions of clients around the world reach their financial goals.
Your Fund’s Total Returns
Six Months Ended February 29, 2016 | |
Total | |
Returns | |
Vanguard S&P 500 Value Index Fund | |
ETF Shares | |
Market Price | -1.48% |
Net Asset Value | -1.42 |
Institutional Shares | -1.41 |
S&P 500 Value Index | -1.39 |
Large-Cap Value Funds Average | -4.90 |
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 | -0.73% |
Net Asset Value | -0.69 |
S&P 500 Growth Index | -0.62 |
Large-Cap Growth Funds Average | -4.43 |
Large-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.
Your Fund’s Performance at a Glance | ||||
August 31, 2015, Through February 29, 2016 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard S&P 500 Value Index Fund | ||||
ETF Shares | $83.75 | $81.51 | $1.071 | $0.000 |
Institutional Shares | 183.75 | 178.73 | 2.498 | 0.000 |
Vanguard S&P 500 Growth Index Fund | ||||
ETF Shares | $99.21 | $97.74 | $0.821 | $0.000 |
1
Chairman’s Letter
Dear Shareholder,
The broad U.S. stock market sagged over the six months ended February 29, 2016, as investors grappled with a resurgence of volatility. Growth stocks generally outpaced value stocks, but both lost ground. Although stocks of all capitalizations declined, large-caps fared noticeably better than mid- and small-caps. When markets are volatile, investors gravitate more toward larger companies, which generally provide more predictable earnings, steadier returns, and higher yields.
Against this investment backdrop, Vanguard S&P 500 Growth Index Fund returned –0.69% and Vanguard S&P 500 Value Index Fund returned –1.42%, as measured by their ETF Shares based on net asset value. Both funds successfully tracked their target indexes and surpassed the average returns of their peers.
Stocks mostly slumped for the fiscal half year
U.S. stocks returned about –3% for the period. Results were negative in four of the six months. Only October’s return of about 8% prevented an even weaker six-month performance.
Fears that China’s economic slowdown would spread globally weighed on results. Oil and commodity prices, which declined through most of the period before showing some resiliency in February, also concerned investors.
2
In December, the Federal Reserve increased its target for short-term interest rates to 0.25%–0.5%. Central banks in Europe and Asia, in contrast, boosted stimulus efforts to battle weak growth and low inflation.
International stocks returned about –9%, a result that would have been less severe if not for the U.S. dollar’s strength against many foreign currencies. European stocks were among the worst performers.
Bonds registered gains as investors cut their risk
The broad U.S. taxable bond market returned 2.20% over the six months. Most of the gains came in January and February as investors sought safe-haven assets amid stock market turmoil. The yield of the 10-year U.S. Treasury note closed at 1.74% in February, down from 2.18% six months earlier. (Bond prices and yields move in opposite directions.)
The Fed’s target rate, which had stayed anchored at 0%–0.25% until the small rise in December, kept a lid on returns for money market funds and savings accounts.
International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned 3.13%. Bonds globally have been buoyed by negative interest rates. In December the European Central Bank cut a key rate further into negative territory, and in late January the Bank of Japan adopted a negative-rate policy.
Market Barometer | |||
Total Returns | |||
Periods Ended February 29, 2016 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | -2.03% | -7.21% | 9.92% |
Russell 2000 Index (Small-caps) | -10.16 | -14.97 | 6.11 |
Russell 3000 Index (Broad U.S. market) | -2.68 | -7.84 | 9.61 |
FTSE All-World ex US Index (International) | -9.12 | -16.79 | -0.89 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | 2.20% | 1.50% | 3.60% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 3.62 | 3.95 | 5.45 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.04 | 0.06 | 0.04 |
CPI | |||
Consumer Price Index | -0.51% | 1.02% | 1.39% |
3
Amid market volatility, defensive sectors led the way
The Vanguard S&P 500 Index Funds provide exposure to some of the biggest companies in the United States. Vanguard 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.
As I mentioned, stocks of larger companies outpaced their smaller counterparts for the six months, as investors sought stability in the tumultuous market environment.
In a similar vein, the industry sectors commonly viewed as defensive tend to be more attractive to investors during periods of uncertainty or volatility. When the economic picture and the financial markets are unsettled, companies that meet consumers’ primary needs are likely to be more resilient.
That was certainly the case over the six months as consumer staples, telecommunication services, and utilities outpaced the other sectors. All three added to performance in both the Growth and Value Index Funds, with consumer staples the top contributor to each. The sector got a boost as the slide in oil prices resulted in lower gasoline prices, allowing consumers to earmark cash for other basic spending.
The health care, financial, energy, and materials sectors lost ground in both funds. Stocks in health care, traditionally a relatively defensive sector, struggled.
Expense Ratios | |||
Your Fund Compared With Its Peer Group | |||
ETF | Institutional | Peer Group | |
Shares | Shares | Average | |
S&P 500 Value Index Fund | 0.15% | 0.08% | 1.10% |
S&P 500 Growth Index Fund | 0.15 | — | 1.17 |
The fund expense ratios shown are from the prospectus dated December 14, 2015, and represent estimated costs for the current fiscal year.
For the six months ended February 29, 2016, the annualized expense ratios were: for the S&P 500 Value Index Fund, 0.13% for ETF Shares and
0.07% for Institutional Shares; and for the S&P 500 Growth Index Fund, 0.13%. Peer-group expense ratios are derived from data provided by
Lipper, a Thomson Reuters Company, and capture information through year-end 2015.
Peer groups: For the S&P 500 Value Index Fund, Large-Cap Value Funds, and for the S&P 500 Growth Index Fund, Large-Cap Growth Funds.
4
Biotechnology companies were among the hardest hit, as investors raised concerns about their high valuations. Weakness in financials was broad-based, as was the decline in energy stocks, whose slump persisted amid declining oil prices. Falling commodity prices also weighed on materials.
Results for the remaining sectors varied between the funds. Industrial and consumer discretionary stocks added to performance in the Value Index Fund but slightly detracted in the Growth Index Fund. Information technology stocks posted gains in the Growth Index Fund but retreated in the Value Index Fund.
Vanguard’s growth translates into lower costs for you |
Research indicates that lower-cost investments have tended to outperform higher-cost ones. |
So it’s little wonder that funds with lower expense ratios—including those at Vanguard—have |
dominated the industry’s cash inflows in recent years. |
Vanguard has long been a low-cost leader, with expenses well below those of many other |
investment management companies. That cost difference remains a powerful advantage for |
Vanguard clients. Why? Because a lower expense ratio allows a fund to pass along a greater |
share of its returns to its investors. |
What’s more, as you can see in the chart below, we’ve been able to lower our costs continually |
as our assets under management have grown. Our steady growth has not been an explicit |
business objective. Rather, we focus on putting our clients’ interests first at all times, and |
giving them the best chance for investment success. But economies of scale—the cost |
efficiencies that come with our growth—have allowed us to keep lowering our fund costs, |
even as we invest in our people and technology. |
The benefit of economies of scale |
Note: Data are for U.S.-based Vanguard funds only. |
Source: Vanguard. |
5
Doing what’s best for clients: That’s how we were built
It’s hard for me to believe, but this year will be my 30th with Vanguard. I knew little about the company when I started in June 1986, but I soon learned what makes Vanguard unique.
Simply put, we’re built differently.
We don’t have stockholders or outside owners. Instead, Vanguard is owned by its funds, which in turn are owned by you—Vanguard clients.
This structure matters because it ensures that our interests are completely aligned with those of our clients. We never have to weigh what’s best for clients against what’s best for the company’s owners; their interests are one and the same. Our client-owned structure is what allows us to run our funds at cost, and it’s why Vanguard’s expense ratios remain among the lowest in the industry. (See the insight box on page 5 for more on this.)
At the same time, we continually dedicate resources to enhance Vanguard’s service and investment capabilities. We aspire to provide the highest possible quality at the lowest possible price. That was true 30 years ago, it’s true today, and it will remain our focus for decades to come. After all, we’re built to put the long-term interests of our clients first.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
March 16, 2016
6
S&P 500 Value Index Fund
Fund Profile
As of February 29, 2016
Share-Class Characteristics | ||
ETF | Institutional | |
Shares | Shares | |
Ticker Symbol | VOOV | VSPVX |
Expense Ratio1 | 0.15% | 0.08% |
30-Day SEC Yield | 2.69% | 2.77% |
Portfolio Characteristics | |||
DJ | |||
U.S. | |||
S&P 500 | Total | ||
Value | Market | ||
Fund | Index | FA Index | |
Number of Stocks | 367 | 368 | 3,906 |
Median Market Cap | $62.1B | $62.1B | $50.4B |
Price/Earnings Ratio | 16.3x | 16.3x | 20.1x |
Price/Book Ratio | 1.8x | 1.8x | 2.5x |
Return on Equity | 15.4% | 15.4% | 17.5% |
Earnings Growth Rate | 5.2% | 5.2% | 8.4% |
Dividend Yield | 2.9% | 2.9% | 2.2% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 27% | — | — |
Short-Term Reserves | 0.1% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
U.S. | |||
Total | |||
S&P 500 | Market | ||
Value | FA | ||
Fund | Index | Index | |
Consumer Discretionary | 7.6% | 7.6% | 13.6% |
Consumer Staples | 11.0 | 11.0 | 9.4 |
Energy | 12.0 | 12.0 | 5.9 |
Financials | 23.7 | 23.8 | 17.4 |
Health Care | 12.0 | 12.0 | 14.2 |
Industrials | 11.2 | 11.2 | 10.7 |
Information Technology | 8.1 | 8.0 | 19.7 |
Materials | 3.3 | 3.3 | 3.1 |
Telecommunication | |||
Services | 4.6 | 4.6 | 2.5 |
Utilities | 6.5 | 6.5 | 3.5 |
Volatility Measures | ||
DJ | ||
S&P 500 | U.S. Total | |
Value | Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.95 |
Beta | 1.00 | 0.94 |
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 | 4.0% |
Berkshire Hathaway Inc. Multi-Sector Holdings | 3.0 | |
AT&T Inc. | Integrated | |
Telecommunication | ||
Services | 2.7 | |
Procter & Gamble Co. | Household Products | 2.6 |
Wells Fargo & Co. | Diversified Banks | 2.6 |
JPMorgan Chase & Co. | Diversified Banks | 2.5 |
Chevron Corp. | Integrated Oil & Gas | 1.9 |
Johnson & Johnson | Pharmaceuticals | 1.8 |
Merck & Co. Inc. | Pharmaceuticals | 1.7 |
Bank of America Corp. | Diversified Banks | 1.6 |
Top Ten | 24.4% |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
1 The expense ratios shown are from the prospectus dated December 14, 2015, and represent estimated costs for the current fiscal year. For the six
months ended February 29, 2016, the annualized expense ratios were 0.13% for ETF Shares and 0.07% for Institutional Shares.
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.
Fiscal-Year Total Returns (%): September 7, 2010, Through February 29, 2016
Average Annual Total Returns: Periods Ended December 31, 2015
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
Inception | One | Five | Since | |
Date | Year | Years | Inception | |
ETF Shares | 9/7/2010 | |||
Market Price | -3.21% | 10.81% | 12.99% | |
Net Asset Value | -3.22 | 10.80 | 12.98 | |
Institutional Shares | 3/3/2015 | — | — | -3.96 |
See Financial Highlights for dividend and capital gains information.
8
S&P 500 Value Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 29, 2016
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 (7.6%) | |||
Time Warner Inc. | 32,096 | 2,125 | |
Comcast Corp. Class A | 36,033 | 2,080 | |
Ford Motor Co. | 155,453 | 1,945 | |
Target Corp. | 24,570 | 1,927 | |
General Motors Co. | 56,478 | 1,663 | |
McDonald’s Corp. | 12,443 | 1,458 | |
Johnson Controls Inc. | 25,756 | 939 | |
Carnival Corp. | 18,301 | 878 | |
Twenty-First Century | |||
Fox Inc. Class A | 22,467 | 607 | |
Yum! Brands Inc. | 7,823 | 567 | |
Genuine Parts Co. | 6,023 | 543 | |
Macy’s Inc. | 12,543 | 542 | |
Viacom Inc. Class B | 13,858 | 511 | |
Whirlpool Corp. | 3,108 | 483 | |
Mattel Inc. | 13,500 | 439 | |
VF Corp. | 6,714 | 437 | |
Coach Inc. | 11,042 | 430 | |
Dollar General Corp. | 5,437 | 404 | |
Best Buy Co. Inc. | 11,861 | 384 | |
Omnicom Group Inc. | 4,912 | 382 | |
CBS Corp. Class B | 7,758 | 375 | |
Kohl’s Corp. | 7,541 | 352 | |
Harley-Davidson Inc. | 7,662 | 331 | |
* | Bed Bath & Beyond Inc. | 6,664 | 320 |
Darden Restaurants Inc. | 4,584 | 293 | |
BorgWarner Inc. | 8,919 | 291 | |
Tiffany & Co. | 4,451 | 289 | |
Nordstrom Inc. | 5,459 | 280 | |
PVH Corp. | 3,280 | 260 | |
Gap Inc. | 9,138 | 253 | |
Staples Inc. | 25,597 | 242 | |
Starwood Hotels & Resorts | |||
Worldwide Inc. | 3,453 | 239 | |
Twenty-First Century Fox Inc. | 8,085 | 220 | |
PulteGroup Inc. | 12,680 | 218 | |
Ralph Lauren Corp. Class A | 2,340 | 212 | |
News Corp. Class A | 19,457 | 210 | |
Garmin Ltd. | 4,714 | 191 |
Wynn Resorts Ltd. | 2,180 | 180 | |
Marriott International Inc. | |||
Class A | 2,633 | 179 | |
Goodyear Tire & Rubber Co. | 5,639 | 170 | |
Royal Caribbean Cruises Ltd. | 2,250 | 167 | |
* | AutoNation Inc. | 3,051 | 157 |
* | CarMax Inc. | 3,384 | 157 |
* | Michael Kors Holdings Ltd. | 2,507 | 142 |
GameStop Corp. Class A | 4,194 | 129 | |
Interpublic Group of Cos. Inc. 5,801 | 124 | ||
Scripps Networks | |||
Interactive Inc. Class A | 1,789 | 106 | |
TEGNA Inc. | 4,281 | 105 | |
H&R Block Inc. | 3,192 | 105 | |
Harman International | |||
Industries Inc. | 1,218 | 93 | |
Leggett & Platt Inc. | 2,084 | 93 | |
* | Urban Outfitters Inc. | 3,436 | 91 |
25,318 | |||
Consumer Staples (11.0%) | |||
Procter & Gamble Co. | 108,546 | 8,715 | |
Wal-Mart Stores Inc. | 62,534 | 4,148 | |
Coca-Cola Co. | 74,930 | 3,232 | |
PepsiCo Inc. | 26,146 | 2,558 | |
Philip Morris | |||
International Inc. | 27,788 | 2,530 | |
CVS Health Corp. | 24,007 | 2,333 | |
Kraft Heinz Co. | 23,722 | 1,827 | |
Costco Wholesale Corp. | 9,764 | 1,465 | |
Walgreens Boots | |||
Alliance Inc. | 14,930 | 1,179 | |
Colgate-Palmolive Co. | 16,427 | 1,078 | |
Sysco Corp. | 20,877 | 921 | |
Kimberly-Clark Corp. | 6,500 | 847 | |
Kroger Co. | 20,904 | 834 | |
Archer-Daniels-Midland Co. | 23,737 | 830 | |
Tyson Foods Inc. Class A | 11,752 | 761 | |
General Mills Inc. | 9,009 | 530 | |
Keurig Green Mountain Inc. | 4,657 | 428 | |
Whole Foods Market Inc. | 13,562 | 425 | |
Kellogg Co. | 4,452 | 330 |
9
S&P 500 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
ConAgra Foods Inc. | 7,378 | 310 | |
Molson Coors Brewing Co. | |||
Class B | 3,254 | 277 | |
Mead Johnson Nutrition Co. | 3,714 | 274 | |
JM Smucker Co. | 2,005 | 256 | |
Hershey Co. | 2,555 | 232 | |
McCormick & Co. Inc. | 1,473 | 137 | |
Coca-Cola Enterprises Inc. | 2,398 | 116 | |
36,573 | |||
Energy (12.0%) | |||
Exxon Mobil Corp. | 166,026 | 13,307 | |
Chevron Corp. | 75,059 | 6,263 | |
Schlumberger Ltd. | 50,314 | 3,609 | |
ConocoPhillips | 49,241 | 1,666 | |
Phillips 66 | 18,935 | 1,503 | |
Kinder Morgan Inc. | 73,461 | 1,329 | |
Occidental Petroleum Corp. | 17,960 | 1,236 | |
Valero Energy Corp. | 19,204 | 1,154 | |
Halliburton Co. | 34,040 | 1,099 | |
Spectra Energy Corp. | 26,797 | 782 | |
Baker Hughes Inc. | 17,338 | 743 | |
Marathon Petroleum Corp. | 21,194 | 726 | |
EOG Resources Inc. | 10,372 | 671 | |
Noble Energy Inc. | 16,930 | 499 | |
Hess Corp. | 10,410 | 454 | |
National Oilwell Varco Inc. | 14,948 | 438 | |
Anadarko Petroleum Corp. | 11,322 | 430 | |
EQT Corp. | 6,088 | 339 | |
Apache Corp. | 8,678 | 332 | |
Columbia Pipeline Group Inc. | 15,552 | 282 | |
Williams Cos. Inc. | 17,259 | 276 | |
Marathon Oil Corp. | 30,282 | 249 | |
Helmerich & Payne Inc. | 4,280 | 227 | |
* | FMC Technologies Inc. | 9,114 | 224 |
Tesoro Corp. | 2,657 | 214 | |
Cabot Oil & Gas Corp. | 10,585 | 213 | |
Devon Energy Corp. | 10,162 | 200 | |
ONEOK Inc. | 8,320 | 200 | |
* | Concho Resources Inc. | 1,852 | 167 |
Range Resources Corp. | 6,793 | 161 | |
Transocean Ltd. | 13,593 | 118 | |
Murphy Oil Corp. | 6,420 | 110 | |
Cimarex Energy Co. | 1,309 | 110 | |
* | Southwestern Energy Co. | 15,240 | 88 |
Ensco plc Class A | 9,357 | 81 | |
* | Newfield Exploration Co. | 2,976 | 81 |
CONSOL Energy Inc. | 9,065 | 78 | |
^ | Chesapeake Energy Corp. | 20,504 | 54 |
Diamond Offshore | |||
Drilling Inc. | 2,552 | 51 | |
California Resources Corp. | 1,671 | 1 | |
39,765 | |||
Financials (23.7%) | |||
* | Berkshire Hathaway Inc. | ||
Class B | 74,716 | 10,025 | |
Wells Fargo & Co. | 185,341 | 8,696 |
JPMorgan Chase & Co. | 146,811 | 8,265 | |
Bank of America Corp. | 415,011 | 5,196 | |
Citigroup Inc. | 118,734 | 4,613 | |
US Bancorp | 65,593 | 2,527 | |
American International | |||
Group Inc. | 49,305 | 2,475 | |
Goldman Sachs Group Inc. | 15,821 | 2,366 | |
* | Chubb Ltd. | 18,380 | 2,123 |
American Express Co. | 33,399 | 1,856 | |
MetLife Inc. | 44,335 | 1,754 | |
PNC Financial Services | |||
Group Inc. | 20,253 | 1,647 | |
Bank of New York | |||
Mellon Corp. | 43,590 | 1,543 | |
Capital One Financial Corp. | 21,220 | 1,395 | |
Travelers Cos. Inc. | 12,133 | 1,305 | |
Prudential Financial Inc. | 17,859 | 1,180 | |
Aflac Inc. | 16,968 | 1,010 | |
BB&T Corp. | 31,022 | 998 | |
Allstate Corp. | 15,442 | 980 | |
Simon Property Group Inc. | 4,727 | 897 | |
State Street Corp. | 16,044 | 879 | |
Discover Financial Services | 17,072 | 793 | |
Morgan Stanley | 31,905 | 788 | |
Hartford Financial | |||
Services Group Inc. | 16,290 | 686 | |
SunTrust Banks Inc. | 20,261 | 672 | |
M&T Bank Corp. | 6,362 | 652 | |
BlackRock Inc. | 1,959 | 611 | |
CME Group Inc. | 6,608 | 604 | |
Marsh & McLennan Cos. Inc. 9,966 | 569 | ||
HCP Inc. | 18,563 | 549 | |
Franklin Resources Inc. | 15,118 | 542 | |
* | Synchrony Financial | 19,291 | 520 |
Fifth Third Bancorp | 31,592 | 482 | |
Invesco Ltd. | 16,913 | 452 | |
Principal Financial Group Inc. | 10,821 | 409 | |
Weyerhaeuser Co. | 15,645 | 406 | |
Loews Corp. | 11,125 | 404 | |
Ventas Inc. | 7,222 | 402 | |
Progressive Corp. | 12,530 | 400 | |
Aon plc | 4,128 | 393 | |
Regions Financial Corp. | 52,068 | 392 | |
Welltower Inc. | 5,691 | 363 | |
Lincoln National Corp. | 9,834 | 359 | |
KeyCorp | 33,225 | 351 | |
Citizens Financial Group Inc. | 16,588 | 319 | |
Vornado Realty Trust | 3,599 | 311 | |
Ameriprise Financial Inc. | 3,633 | 305 | |
Unum Group | 9,676 | 276 | |
Boston Properties Inc. | 2,213 | 253 | |
General Growth | |||
Properties Inc. | 9,112 | 251 | |
* | Willis Towers Watson plc | 2,182 | 247 |
Host Hotels & Resorts Inc. | 15,687 | 240 | |
Comerica Inc. | 7,026 | 237 |
10
S&P 500 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
T. Rowe Price Group Inc. | 3,290 | 227 | |
Macerich Co. | 2,856 | 226 | |
SL Green Realty Corp. | 2,302 | 203 | |
Northern Trust Corp. | 3,274 | 194 | |
Leucadia National Corp. | 13,251 | 192 | |
People’s United Financial Inc. | 12,344 | 180 | |
Zions Bancorporation | 8,127 | 173 | |
Cincinnati Financial Corp. | 2,737 | 173 | |
Realty Income Corp. | 2,805 | 164 | |
Navient Corp. | 14,540 | 157 | |
Huntington Bancshares Inc. | 16,053 | 140 | |
Federal Realty | |||
Investment Trust | 942 | 140 | |
Iron Mountain Inc. | 4,714 | 139 | |
Legg Mason Inc. | 4,320 | 123 | |
* | Affiliated Managers Group Inc. | 815 | 113 |
Nasdaq Inc. | 1,720 | 109 | |
Torchmark Corp. | 2,122 | 109 | |
Apartment Investment | |||
& Management Co. | 2,898 | 106 | |
Assurant Inc. | 1,432 | 102 | |
78,938 | |||
Health Care (12.0%) | |||
Johnson & Johnson | 56,279 | 5,921 | |
Merck & Co. Inc. | 111,511 | 5,599 | |
Pfizer Inc. | 118,173 | 3,506 | |
UnitedHealth Group Inc. | 16,335 | 1,946 | |
Medtronic plc | 24,839 | 1,922 | |
* | Express Scripts Holding Co. | 26,977 | 1,899 |
Bristol-Myers Squibb Co. | 26,614 | 1,648 | |
AbbVie Inc. | 29,533 | 1,613 | |
McKesson Corp. | 9,173 | 1,428 | |
Anthem Inc. | 10,388 | 1,358 | |
Abbott Laboratories | 34,507 | 1,337 | |
Amgen Inc. | 9,387 | 1,336 | |
Cardinal Health Inc. | 13,121 | 1,072 | |
Eli Lilly & Co. | 14,748 | 1,062 | |
Baxter International Inc. | 21,839 | 863 | |
Thermo Fisher Scientific Inc. | 5,446 | 704 | |
Humana Inc. | 3,134 | 555 | |
* | HCA Holdings Inc. | 7,265 | 503 |
Stryker Corp. | 4,813 | 481 | |
Perrigo Co. plc | 3,374 | 426 | |
* | Vertex Pharmaceuticals Inc. | 4,900 | 419 |
Zimmer Biomet Holdings Inc. | 3,992 | 386 | |
Quest Diagnostics Inc. | 5,701 | 379 | |
* | Mylan NV | 8,285 | 373 |
Baxalta Inc. | 9,067 | 349 | |
Agilent Technologies Inc. | 8,272 | 309 | |
* | Mallinckrodt plc | 4,649 | 302 |
* | Intuitive Surgical Inc. | 535 | 301 |
St. Jude Medical Inc. | 5,520 | 296 | |
DENTSPLY International Inc. | 4,425 | 270 | |
Zoetis Inc. | 6,435 | 264 | |
* | Endo International plc | 5,486 | 229 |
* | Henry Schein Inc. | 1,015 | 168 |
Universal Health | ||||
Services Inc. Class B | 1,366 | 151 | ||
* | DaVita HealthCare | |||
Partners Inc. | 2,142 | 141 | ||
* | Varian Medical Systems Inc. | 1,743 | 136 | |
* | Tenet Healthcare Corp. | 3,963 | 98 | |
Patterson Cos. Inc. | 1,570 | 68 | ||
39,818 | ||||
Industrials (11.2%) | ||||
General Electric Co. | 169,381 | 4,936 | ||
United Technologies Corp. | 31,019 | 2,997 | ||
Union Pacific Corp. | 20,573 | 1,622 | ||
3M Co. | 10,296 | 1,615 | ||
Caterpillar Inc. | 23,221 | 1,572 | ||
Delta Air Lines Inc. | 31,576 | 1,523 | ||
Honeywell International Inc. | 14,755 | 1,495 | ||
FedEx Corp. | 10,479 | 1,434 | ||
Emerson Electric Co. | 26,036 | 1,271 | ||
United Parcel Service Inc. | ||||
Class B | 12,737 | 1,230 | ||
Eaton Corp. plc | 18,406 | 1,044 | ||
American Airlines Group Inc. | 25,188 | 1,033 | ||
Deere & Co. | 12,397 | 994 | ||
CSX Corp. | 39,143 | 945 | ||
Lockheed Martin Corp. | 4,322 | 933 | ||
General Dynamics Corp. | 6,518 | 888 | ||
Norfolk Southern Corp. | 11,928 | 873 | ||
* | United Continental | |||
Holdings Inc. | 14,874 | 852 | ||
PACCAR Inc. | 14,100 | 726 | ||
Danaher Corp. | 8,086 | 722 | ||
Raytheon Co. | 5,280 | 654 | ||
Cummins Inc. | 6,530 | 637 | ||
Ingersoll-Rand plc | 10,386 | 577 | ||
Parker-Hannifin Corp. | 5,403 | 547 | ||
Illinois Tool Works Inc. | 5,722 | 539 | ||
Waste Management Inc. | 7,765 | 434 | ||
Dover Corp. | 6,166 | 375 | ||
Textron Inc. | 10,920 | 373 | ||
L-3 Communications | ||||
Holdings Inc. | 3,114 | 365 | ||
Kansas City Southern | 4,363 | 356 | ||
Tyco International plc | 9,256 | 326 | ||
WW Grainger Inc. | 1,349 | 293 | ||
Rockwell Automation Inc. | 2,735 | 285 | ||
Fluor Corp. | 5,640 | 260 | ||
Nielsen Holdings plc | 4,817 | 242 | ||
Republic Services Inc. | ||||
Class A | 5,021 | 229 | ||
Flowserve Corp. | 5,205 | 219 | ||
CH Robinson Worldwide Inc. | 2,994 | 209 | ||
Fastenal Co. | 4,605 | 209 | ||
* | Jacobs Engineering Group Inc. | 4,875 | 188 | |
Xylem Inc. | 4,190 | 157 | ||
Pitney Bowes Inc. | 7,831 | 142 | ||
* | Quanta Services Inc. | 6,366 | 129 |
11
S&P 500 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Expeditors International | |||
of Washington Inc. | 2,735 | 125 | |
Pentair plc | 2,613 | 125 | |
Ryder System Inc. | 2,121 | 120 | |
JB Hunt Transport | |||
Services Inc. | 1,490 | 114 | |
* | United Rentals Inc. | 2,192 | 113 |
ADT Corp. | 2,586 | 104 | |
Robert Half International Inc. | 2,339 | 92 | |
Dun & Bradstreet Corp. | 597 | 57 | |
37,300 | |||
Information Technology (8.0%) | |||
Intel Corp. | 111,778 | 3,307 | |
Cisco Systems Inc. | 119,414 | 3,126 | |
QUALCOMM Inc. | 60,347 | 3,065 | |
International Business | |||
Machines Corp. | 21,689 | 2,842 | |
Oracle Corp. | 63,791 | 2,346 | |
EMC Corp. | 77,467 | 2,024 | |
* | Yahoo! Inc. | 34,880 | 1,109 |
Corning Inc. | 44,916 | 822 | |
Texas Instruments Inc. | 14,935 | 792 | |
HP Inc. | 71,847 | 768 | |
Automatic Data | |||
Processing Inc. | 7,589 | 643 | |
Symantec Corp. | 26,964 | 521 | |
TE Connectivity Ltd. | 8,919 | 508 | |
Hewlett Packard | |||
Enterprise Co. | 31,558 | 419 | |
Western Digital Corp. | 9,311 | 405 | |
Seagate Technology plc | 12,006 | 376 | |
Xerox Corp. | 37,847 | 364 | |
CA Inc. | 11,790 | 345 | |
SanDisk Corp. | 4,665 | 337 | |
NetApp Inc. | 11,659 | 290 | |
Fidelity National Information | |||
Services Inc. | 4,863 | 283 | |
* | Micron Technology Inc. | 22,671 | 241 |
* | First Solar Inc. | 3,003 | 216 |
KLA-Tencor Corp. | 2,969 | 201 | |
Xilinx Inc. | 4,079 | 193 | |
Motorola Solutions Inc. | 2,556 | 188 | |
* | Autodesk Inc. | 3,452 | 179 |
Western Union Co. | 9,647 | 176 | |
Linear Technology Corp. | 3,896 | 170 | |
Harris Corp. | 2,151 | 168 | |
* | F5 Networks Inc. | 940 | 90 |
FLIR Systems Inc. | 2,787 | 86 | |
CSRA Inc. | 3,094 | 80 | |
* | Teradata Corp. | 3,163 | 79 |
26,759 | |||
Materials (3.3%) | |||
Dow Chemical Co. | 44,849 | 2,180 | |
EI du Pont de | |||
Nemours & Co. | 19,184 | 1,168 | |
Monsanto Co. | 8,771 | 789 |
International Paper Co. | 16,483 | 588 | |
Praxair Inc. | 5,774 | 588 | |
Newmont Mining Corp. | 21,041 | 544 | |
Air Products & Chemicals Inc. | 4,028 | 534 | |
LyondellBasell Industries | |||
NV Class A | 6,592 | 529 | |
Nucor Corp. | 12,711 | 500 | |
Alcoa Inc. | 52,106 | 465 | |
PPG Industries Inc. | 4,187 | 404 | |
Freeport-McMoRan Inc. | 49,770 | 380 | |
Eastman Chemical Co. | 5,905 | 379 | |
Mosaic Co. | 13,340 | 356 | |
WestRock Co. | 10,229 | 345 | |
CF Industries Holdings Inc. | 9,304 | 339 | |
FMC Corp. | 5,321 | 200 | |
Ball Corp. | 2,561 | 170 | |
Sealed Air Corp. | 3,384 | 155 | |
Airgas Inc. | 708 | 100 | |
* | Owens-Illinois Inc. | 6,379 | 95 |
10,808 | |||
Telecommunication Services (4.6%) | |||
AT&T Inc. | 245,353 | 9,066 | |
Verizon | |||
Communications Inc. | 97,365 | 4,939 | |
CenturyLink Inc. | 21,831 | 668 | |
* | Level 3 | ||
Communications Inc. | 6,844 | 332 | |
Frontier | |||
Communications Corp. | 46,596 | 252 | |
15,257 | |||
Utilities (6.5%) | |||
NextEra Energy Inc. | 18,372 | 2,073 | |
Duke Energy Corp. | 27,452 | 2,039 | |
Southern Co. | 36,251 | 1,746 | |
American Electric | |||
Power Co. Inc. | 19,525 | 1,206 | |
Exelon Corp. | 36,570 | 1,152 | |
PG&E Corp. | 19,512 | 1,107 | |
Dominion Resources Inc. | 13,985 | 978 | |
PPL Corp. | 26,720 | 935 | |
Sempra Energy | 9,418 | 909 | |
Edison International | 12,995 | 886 | |
Public Service Enterprise | |||
Group Inc. | 20,121 | 858 | |
Consolidated Edison Inc. | 11,663 | 816 | |
Xcel Energy Inc. | 20,187 | 798 | |
WEC Energy Group Inc. | 12,594 | 710 | |
Eversource Energy | 12,610 | 685 | |
DTE Energy Co. | 7,142 | 601 | |
FirstEnergy Corp. | 16,821 | 563 | |
Entergy Corp. | 7,101 | 513 | |
Ameren Corp. | 9,645 | 453 | |
CMS Energy Corp. | 11,027 | 436 | |
SCANA Corp. | 5,686 | 370 | |
CenterPoint Energy Inc. | 17,112 | 319 | |
Pinnacle West Capital Corp. | 4,407 | 303 |
12
S&P 500 Value Index Fund
Market | ||
Value• | ||
Shares | ($000) | |
NiSource Inc. | 12,717 | 273 |
Pepco Holdings Inc. | 10,088 | 264 |
AES Corp. | 26,754 | 262 |
AGL Resources Inc. | 2,193 | 142 |
NRG Energy Inc. | 12,480 | 134 |
TECO Energy Inc. | 4,358 | 120 |
21,651 | ||
Total Common Stocks | ||
(Cost $339,660) | 332,187 | |
Temporary Cash Investments (0.0%)1 | ||
Money Market Fund (0.0%) | ||
2,3 Vanguard Market | ||
Liquidity Fund, 0.475% | 36,001 | 36 |
Face | ||
Amount | ||
($000) | ||
U.S. Government and Agency Obligations (0.0%) | ||
4 United States | ||
Treasury Bill, | ||
0.431%, 8/4/16 | 100 | 100 |
Total Temporary Cash Investments | ||
(Cost $136) | 136 | |
Total Investments (99.9%) | ||
(Cost $339,796) | 332,323 | |
Amount | ||
($000) | ||
Other Assets and Liabilities (0.1%) | ||
Other Assets | ||
Investment in Vanguard | 29 | |
Receivables for Investment Securities Sold | 71 | |
Receivables for Accrued Income | 1,085 | |
Receivables for Capital Shares Issued | 1 | |
Total Other Assets | 1,186 |
Amount | |
($000) | |
Liabilities | |
Payables for Investment | |
Securities Purchased | (378) |
Collateral for Securities on Loan | (36) |
Payables to Vanguard | (116) |
Other Liabilities | (318) |
Total Liabilities | (848) |
Net Assets (100%) | 332,661 |
At February 29, 2016, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 346,373 |
Undistributed Net Investment Income | 1,513 |
Accumulated Net Realized Losses | (7,762) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | (7,473) |
Futures Contracts | 10 |
Net Assets | 332,661 |
ETF Shares—Net Assets | |
Applicable to 3,975,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 323,995 |
Net Asset Value Per Share— | |
ETF Shares | $81.51 |
Institutional Shares—Net Assets | |
Applicable to 48,484 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 8,666 |
Net Asset Value Per Share— | |
Institutional Shares | $178.73 |
• 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 $31,000.
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 -0.1%, respectively,
of net assets.
2 Includes $36,000 of collateral received for securities on loan.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is
the 7-day yield.
4 Securities with a value of $100,000 have been segregated as initial margin for open futures contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
13
S&P 500 Value Index Fund
Statement of Operations
Six Months Ended | |
February 29, 2016 | |
($000) | |
Investment Income | |
Income | |
Dividends | 4,353 |
Securities Lending | 8 |
Total Income | 4,361 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 28 |
Management and Administrative—ETF Shares | 144 |
Management and Administrative—Institutional Shares | 2 |
Marketing and Distribution—ETF Shares | 10 |
Marketing and Distribution—Institutional Shares | — |
Custodian Fees | 13 |
Shareholders’ Reports—ETF Shares | 5 |
Shareholders’ Reports—Institutional Shares | — |
Total Expenses | 202 |
Net Investment Income | 4,159 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 2,315 |
Futures Contracts | (25) |
Realized Net Gain (Loss) | 2,290 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (11,326) |
Futures Contracts | 68 |
Change in Unrealized Appreciation (Depreciation) | (11,258) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (4,809) |
See accompanying Notes, which are an integral part of the Financial Statements.
14
S&P 500 Value Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
February 29, | August 31, | |
2016 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 4,159 | 6,202 |
Realized Net Gain (Loss) | 2,290 | 11,788 |
Change in Unrealized Appreciation (Depreciation) | (11,258) | (26,705) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (4,809) | (8,715) |
Distributions | ||
Net Investment Income | ||
ETF Shares | (3,897) | (5,543) |
Institutional Shares | (135) | (92) |
Realized Capital Gain | ||
ETF Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (4,032) | (5,635) |
Capital Share Transactions | ||
ETF Shares | 58,184 | 84,010 |
Institutional Shares | (2,078) | 12,094 |
Net Increase (Decrease) from Capital Share Transactions | 56,106 | 96,104 |
Total Increase (Decrease) | 47,265 | 81,754 |
Net Assets | ||
Beginning of Period | 285,396 | 203,642 |
End of Period1 | 332,661 | 285,396 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $1,513,000 and $1,386,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
15
S&P 500 Value Index Fund
Financial Highlights
ETF Shares | |||||||
Six Months | Sept. 7, | ||||||
Ended | Year Ended August 31, | 20101 to | |||||
For a Share Outstanding | February 29, | Aug. 31, | |||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | |
Net Asset Value, | |||||||
Beginning of Period | $83.75 | $88.54 | $73.72 | $61.42 | $53.59 | $49.93 | |
Investment Operations | |||||||
Net Investment Income | 1.037 | 1.932 | 1.702 | 1.584 | 1.329 | 1.051 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | (2.206) | (4.838) | 14.824 | 12.242 | 7.734 | 3.454 | |
Total from Investment Operations | (1.169) | (2.906) | 16.526 | 13.826 | 9.063 | 4.505 | |
Distributions | |||||||
Dividends from Net Investment Income | (1.071) | (1.884) | (1.706) | (1.526) | (1.233) | (.845) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (1.071) | (1.884) | (1.706) | (1.526) | (1.233) | (.845) | |
Net Asset Value, End of Period | $81.51 | $83.75 | $88.54 | $73.72 | $61.42 | $53.59 | |
Total Return | -1.42% | -3.41% | 22.64% | 22.79% | 17.16% | 8.92% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $324 | $274 | $204 | $118 | $52 | $27 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.13% | 0.15% | 0.15% | 0.15% | 0.15% | 0.15%2 | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 2.73% | 2.37% | 2.31% | 2.45% | 2.43% | 2.25%2 | |
Portfolio Turnover Rate 3 | 27% | 23% | 25% | 25% | 20% | 23% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
16
S&P 500 Value Index Fund
Financial Highlights
Institutional Shares | ||
Six Months | March 3, | |
Ended | 20151 to | |
February 29, | Aug. 31, | |
For a Share Outstanding Throughout Each Period | 2016 | 2015 |
Net Asset Value, Beginning of Period | $183.75 | $199.34 |
Investment Operations | ||
Net Investment Income | 2.318 | 2.352 |
Net Realized and Unrealized Gain (Loss) on Investments | (4.840) | (15.830) |
Total from Investment Operations | (2.522) | (13.748) |
Distributions | ||
Dividends from Net Investment Income | (2.498) | (2.112) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (2.498) | (2.112) |
Net Asset Value, End of Period | $178.73 | $183.75 |
Total Return | -1.41% | -6.84% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $9 | $11 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.08%2 |
Ratio of Net Investment Income to Average Net Assets | 2.79% | 2.44%2 |
Portfolio Turnover Rate 3 | 27% | 23% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
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: ETF Shares and Institutional Shares. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. 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).
18
S&P 500 Value Index Fund
During the six months ended February 29, 2016, 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.
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, 2012–2015), and for the period ended February 29, 2016, 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 subject to termination by the fund at any time, and 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 (“Vanguard”) participate in a $3 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 February 29, 2016, 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
19
S&P 500 Value Index Fund
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. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2016, the fund had contributed to Vanguard capital in the amount of $29,000, 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 employees, respectively, 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 February 29, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 330,951 | 1,236 | — |
Temporary Cash Investments | 36 | 100 | — |
Futures Contracts—Liabilities1 | (4) | — | — |
Total | 330,983 | 1,336 | — |
1 Represents variation margin on the last day of the reporting period. |
20
S&P 500 Value Index Fund
D. At February 29, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
E-mini S&P 500 Index | March 2016 | 6 | 579 | 10 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended February 29, 2016, the fund realized $7,324,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2015, the fund had available capital losses totaling $2,787,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2016; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 29, 2016, the cost of investment securities for tax purposes was $339,796,000. Net unrealized depreciation of investment securities for tax purposes was $7,473,000, consisting of unrealized gains of $17,586,000 on securities that had risen in value since their purchase and $25,059,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended February 29, 2016, the fund purchased $155,639,000 of investment securities and sold $98,327,000 of investment securities, other than temporary cash investments. Purchases and sales include $86,605,000 and $29,448,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
21
S&P 500 Value Index Fund
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
February 29, 2016 | August 31, 2015 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
ETF Shares | ||||
Issued | 95,658 | 1,150 | 129,195 | 1,475 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (37,474) | (450) | (45,185) | (500) |
Net Increase (Decrease)—ETF Shares | 58,184 | 700 | 84,010 | 975 |
Institutional Shares1 | ||||
Issued | 37 | — | 12,002 | 60 |
Issued in Lieu of Cash Distributions | 135 | 1 | 92 | —2 |
Redeemed | (2,250) | (13) | — | — |
Net Increase (Decrease) —Institutional Shares | (2,078) | (12) | 12,094 | 60 |
1 Inception was March 3, 2015, for Institutional Shares. | ||||
2 Represents less than 1,000 shares. |
H. Management has determined that no material events or transactions occurred subsequent to February 29, 2016, that would require recognition or disclosure in these financial statements.
22
S&P 500 Growth Index Fund
Fund Profile
As of February 29, 2016
Portfolio Characteristics | |||
DJ | |||
U.S. | |||
S&P 500 | Total | ||
Growth | Market | ||
Fund | Index FA Index | ||
Number of Stocks | 311 | 310 | 3,906 |
Median Market Cap | $87.3B | $87.3B | $50.4B |
Price/Earnings Ratio | 22.4x | 22.4x | 20.1x |
Price/Book Ratio | 4.5x | 4.5x | 2.5x |
Return on Equity | 22.1% | 21.7% | 17.5% |
Earnings Growth Rate | 10.7% | 10.7% | 8.4% |
Dividend Yield | 1.8% | 1.8% | 2.2% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 25% | — | — |
Ticker Symbol | VOOG | — | — |
Expense Ratio1 | 0.15% | — | — |
30-Day SEC Yield | 1.59% | — | — |
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 18.1% | 18.1% | 13.6% | |
Consumer Staples | 10.4 | 10.4 | 9.4 |
Energy | 1.4 | 1.4 | 5.9 |
Financials | 7.6 | 7.6 | 17.4 |
Health Care | 17.4 | 17.4 | 14.2 |
Industrials | 9.1 | 9.1 | 10.7 |
Information Technology 32.3 | 32.3 | 19.7 | |
Materials | 2.4 | 2.4 | 3.1 |
Telecommunication | |||
Services | 1.0 | 1.0 | 2.5 |
Utilities | 0.3 | 0.3 | 3.5 |
Volatility Measures | ||
DJ | ||
S&P 500 | U.S. Total | |
Growth | Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.96 |
Beta | 1.00 | 1.01 |
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. | Technology | |
Hardware, Storage & | ||
Peripherals | 6.2% | |
Alphabet Inc. | Internet Software & | |
Services | 4.8 | |
Microsoft Corp. | Systems Software | 4.7 |
Facebook Inc. | Internet Software & | |
Services | 2.8 | |
Amazon.com Inc. | Internet Retail | 2.5 |
Home Depot Inc. | Home Improvement | |
Retail | 1.8 | |
General Electric Co. | Industrial | |
Conglomerates | 1.8 | |
Walt Disney Co. | Movies & | |
Entertainment | 1.7 | |
Johnson & Johnson | Pharmaceuticals | 1.7 |
Visa Inc. | Data Processing & | |
Outsourced Services | 1.6 | |
Top Ten | 29.6% | |
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 14, 2015, and represents estimated costs for the current fiscal year. For the six
months ended February 29, 2016, the annualized expense ratio was 0.13%.
23
S&P 500 Growth Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): September 7, 2010, Through February 29, 2016
Average Annual Total Returns: Periods Ended December 31, 2015
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
Inception | One | Five | Since | |
Date | Year | Years | Inception | |
ETF Shares | 9/7/2010 | |||
Market Price | 5.35% | 13.89% | 16.44% | |
Net Asset Value | 5.39 | 13.89 | 16.43 |
See Financial Highlights for dividend and capital gains information.
24
S&P 500 Growth Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 29, 2016
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 (18.0%) | |||
* | Amazon.com Inc. | 32,966 | 18,214 |
Home Depot Inc. | 108,721 | 13,494 | |
Walt Disney Co. | 130,399 | 12,456 | |
Comcast Corp. Class A | 131,875 | 7,613 | |
Starbucks Corp. | 127,444 | 7,418 | |
NIKE Inc. Class B | 115,717 | 7,127 | |
McDonald’s Corp. | 51,986 | 6,092 | |
* | Priceline Group Inc. | 4,265 | 5,396 |
Lowe’s Cos. Inc. | 78,473 | 5,299 | |
Time Warner Cable Inc. | 24,300 | 4,638 | |
TJX Cos. Inc. | 57,458 | 4,258 | |
* | Netflix Inc. | 36,646 | 3,423 |
* | O’Reilly Automotive Inc. | 8,461 | 2,203 |
* | AutoZone Inc. | 2,630 | 2,037 |
Ross Stores Inc. | 34,737 | 1,910 | |
L Brands Inc. | 21,854 | 1,853 | |
* | Dollar Tree Inc. | 20,127 | 1,615 |
Delphi Automotive plc | 24,081 | 1,606 | |
Twenty-First Century | |||
Fox Inc. Class A | 55,317 | 1,495 | |
* | Chipotle Mexican Grill Inc. | ||
Class A | 2,682 | 1,366 | |
Yum! Brands Inc. | 18,238 | 1,322 | |
* | Under Armour Inc. Class A | 15,444 | 1,292 |
Expedia Inc. | 10,076 | 1,049 | |
CBS Corp. Class B | 20,457 | 990 | |
Dollar General Corp. | 13,228 | 982 | |
* | Mohawk Industries Inc. | 5,461 | 981 |
Tractor Supply Co. | 11,517 | 974 | |
VF Corp. | 14,859 | 967 | |
Hanesbrands Inc. | 33,596 | 957 | |
Advance Auto Parts Inc. | 6,292 | 934 | |
Newell Rubbermaid Inc. | 22,942 | 872 | |
Omnicom Group Inc. | 10,207 | 794 | |
DR Horton Inc. | 28,141 | 752 | |
Marriott International Inc. | |||
Class A | 10,892 | 742 | |
Signet Jewelers Ltd. | 6,815 | 739 |
Royal Caribbean Cruises Ltd. | 9,883 | 735 | |
Hasbro Inc. | 9,643 | 732 | |
Wyndham Worldwide Corp. | 9,961 | 726 | |
Lennar Corp. Class A | 15,367 | 644 | |
Cablevision Systems Corp. | |||
Class A | 19,142 | 623 | |
* | TripAdvisor Inc. | 9,689 | 606 |
* | Michael Kors Holdings Ltd. | 10,379 | 588 |
* | Discovery | ||
Communications Inc. | 22,119 | 545 | |
Twenty-First Century | |||
Fox Inc. | 17,712 | 481 | |
Starwood Hotels & Resorts | |||
Worldwide Inc. | 6,942 | 480 | |
Interpublic Group of Cos. Inc. 22,331 | 478 | ||
* | CarMax Inc. | 10,069 | 466 |
H&R Block Inc. | 13,344 | 439 | |
Goodyear Tire & Rubber Co. | 10,880 | 328 | |
Leggett & Platt Inc. | 7,226 | 323 | |
* | Discovery Communications | ||
Inc. Class A | 12,805 | 320 | |
Harman International | |||
Industries Inc. | 3,449 | 264 | |
Scripps Networks | |||
Interactive Inc. Class A | 4,279 | 253 | |
TEGNA Inc. | 9,724 | 240 | |
Wynn Resorts Ltd. | 2,301 | 190 | |
133,321 | |||
Consumer Staples (10.4%) | |||
Altria Group Inc. | 168,128 | 10,352 | |
Coca-Cola Co. | 174,483 | 7,525 | |
PepsiCo Inc. | 68,691 | 6,719 | |
Philip Morris | |||
International Inc. | 73,067 | 6,651 | |
Mondelez International Inc. | |||
Class A | 136,697 | 5,540 | |
CVS Health Corp. | 43,516 | 4,228 | |
Reynolds American Inc. | 71,059 | 3,584 | |
Walgreens Boots | |||
Alliance Inc. | 42,695 | 3,370 |
25
S&P 500 Growth Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Colgate-Palmolive Co. | 41,514 | 2,725 | |
Costco Wholesale Corp. | 16,547 | 2,483 | |
Kimberly-Clark Corp. | 17,110 | 2,229 | |
Constellation Brands Inc. | |||
Class A | 14,846 | 2,100 | |
General Mills Inc. | 31,797 | 1,871 | |
Estee Lauder Cos. Inc. | |||
Class A | 19,109 | 1,745 | |
* | Monster Beverage Corp. | 12,858 | 1,614 |
Kroger Co. | 38,402 | 1,533 | |
Dr Pepper Snapple | |||
Group Inc. | 16,190 | 1,482 | |
Clorox Co. | 11,099 | 1,403 | |
Church & Dwight Co. Inc. | 11,266 | 1,023 | |
Hormel Foods Corp. | 23,157 | 984 | |
Campbell Soup Co. | 15,426 | 953 | |
Kellogg Co. | 12,253 | 907 | |
ConAgra Foods Inc. | 21,185 | 891 | |
Brown-Forman Corp. | |||
Class B | 8,723 | 859 | |
JM Smucker Co. | 5,985 | 764 | |
Molson Coors Brewing Co. | |||
Class B | 8,548 | 729 | |
McCormick & Co. Inc. | 6,768 | 631 | |
Coca-Cola Enterprises Inc. | 12,723 | 617 | |
Hershey Co. | 6,756 | 614 | |
Mead Johnson Nutrition Co. | 7,994 | 590 | |
76,716 | |||
Energy (1.4%) | |||
Occidental Petroleum Corp. | 26,947 | 1,854 | |
Pioneer Natural | |||
Resources Co. | 13,848 | 1,669 | |
EOG Resources Inc. | 24,906 | 1,612 | |
* | Cameron International Corp. | 16,411 | 1,076 |
Anadarko Petroleum Corp. | 19,146 | 727 | |
* | Concho Resources Inc. | 7,081 | 639 |
Apache Corp. | 13,658 | 523 | |
Cimarex Energy Co. | 5,257 | 442 | |
Devon Energy Corp. | 21,855 | 430 | |
Tesoro Corp. | 4,557 | 368 | |
Williams Cos. Inc. | 21,526 | 344 | |
Cabot Oil & Gas Corp. | 16,475 | 332 | |
* | Newfield Exploration Co. | 10,025 | 273 |
California Resources Corp. | 2,522 | 1 | |
10,290 | |||
Financials (7.6%) | |||
American Tower | |||
Corporation | 36,322 | 3,349 | |
Public Storage | 12,635 | 3,152 | |
Simon Property Group Inc. | 16,403 | 3,112 | |
Charles Schwab Corp. | 102,842 | 2,576 | |
Crown Castle | |||
International Corp. | 28,613 | 2,475 | |
Intercontinental | |||
Exchange Inc. | 10,188 | 2,429 |
Equity Residential | 31,227 | 2,326 | |
McGraw Hill Financial Inc. | 23,195 | 2,081 | |
BlackRock Inc. | 6,612 | 2,063 | |
AvalonBay | |||
Communities Inc. | 11,749 | 2,017 | |
Equinix Inc. | 5,864 | 1,781 | |
Prologis Inc. | 45,091 | 1,734 | |
Morgan Stanley | 61,056 | 1,508 | |
Aon plc | 14,561 | 1,387 | |
CME Group Inc. | 14,844 | 1,357 | |
Marsh & McLennan | |||
Cos. Inc. | 23,254 | 1,327 | |
Moody’s Corp. | 14,761 | 1,311 | |
Essex Property Trust Inc. | 5,676 | 1,188 | |
Welltower Inc. | 18,163 | 1,158 | |
T. Rowe Price Group Inc. | 14,440 | 998 | |
Boston Properties Inc. | 8,420 | 961 | |
Kimco Realty Corp. | 35,438 | 948 | |
Realty Income Corp. | 15,395 | 901 | |
XL Group plc Class A | 25,604 | 880 | |
Weyerhaeuser Co. | 33,804 | 878 | |
Extra Space Storage Inc. | 10,587 | 870 | |
General Growth | |||
Properties Inc. | 30,387 | 836 | |
* | Synchrony Financial | 29,964 | 808 |
* | Willis Towers Watson plc | 7,054 | 799 |
Progressive Corp. | 23,120 | 738 | |
Ventas Inc. | 13,070 | 728 | |
Northern Trust Corp. | 11,556 | 686 | |
Vornado Realty Trust | 7,457 | 644 | |
* | CBRE Group Inc. Class A | 24,925 | 633 |
Ameriprise Financial Inc. | 7,155 | 601 | |
* | E*TRADE Financial Corp. | 25,165 | 590 |
Federal Realty | |||
Investment Trust | 3,901 | 578 | |
Host Hotels & Resorts Inc. | 30,824 | 472 | |
Macerich Co. | 5,408 | 428 | |
Cincinnati Financial Corp. | 6,717 | 424 | |
* | Affiliated Managers | ||
Group Inc. | 2,867 | 398 | |
Nasdaq Inc. | 6,123 | 388 | |
SL Green Realty Corp. | 3,590 | 317 | |
Huntington Bancshares Inc. | 33,567 | 294 | |
Torchmark Corp. | 5,220 | 267 | |
Apartment Investment | |||
& Management Co. | 7,227 | 265 | |
Iron Mountain Inc. | 6,384 | 188 | |
Citizens Financial Group Inc. | 9,431 | 181 | |
Assurant Inc. | 2,532 | 180 | |
56,210 | |||
Health Care (17.3%) | |||
Johnson & Johnson | 116,193 | 12,225 | |
Gilead Sciences Inc. | 123,574 | 10,782 | |
* | Allergan plc | 33,786 | 9,802 |
Pfizer Inc. | 276,091 | 8,192 |
26
S&P 500 Growth Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
* | Celgene Corp. | 67,359 | 6,792 |
Amgen Inc. | 44,564 | 6,341 | |
UnitedHealth Group Inc. | 46,610 | 5,551 | |
Bristol-Myers Squibb Co. | 85,856 | 5,317 | |
Medtronic plc | 67,361 | 5,213 | |
* | Biogen Inc. | 19,108 | 4,957 |
AbbVie Inc. | 76,882 | 4,198 | |
Eli Lilly & Co. | 51,888 | 3,736 | |
Aetna Inc. | 29,961 | 3,255 | |
Cigna Corp. | 22,129 | 3,089 | |
Thermo Fisher Scientific Inc. | 22,563 | 2,915 | |
* | Alexion Pharmaceuticals Inc. | 19,329 | 2,721 |
Becton Dickinson and Co. | 18,084 | 2,666 | |
* | Regeneron | ||
Pharmaceuticals Inc. | 6,659 | 2,557 | |
Abbott Laboratories | 53,727 | 2,081 | |
* | Boston Scientific Corp. | 115,544 | 1,962 |
* | Illumina Inc. | 12,550 | 1,885 |
Stryker Corp. | 16,754 | 1,673 | |
* | Edwards Lifesciences Corp. | 18,493 | 1,609 |
AmerisourceBergen Corp. | |||
Class A | 16,735 | 1,450 | |
* | Cerner Corp. | 26,098 | 1,333 |
CR Bard Inc. | 6,339 | 1,219 | |
Baxalta Inc. | 30,443 | 1,173 | |
* | Intuitive Surgical Inc. | 2,056 | 1,158 |
Humana Inc. | 6,004 | 1,063 | |
Zoetis Inc. | 25,481 | 1,046 | |
* | Laboratory Corp. of | ||
America Holdings | 8,719 | 958 | |
* | Vertex Pharmaceuticals Inc. | 10,530 | 900 |
* | Waters Corp. | 7,005 | 843 |
* | Henry Schein Inc. | 4,898 | 810 |
* | Mylan NV | 17,649 | 795 |
* | HCA Holdings Inc. | 11,258 | 779 |
DENTSPLY International Inc. | 11,169 | 681 | |
St. Jude Medical Inc. | 12,360 | 664 | |
Perrigo Co. plc | 5,251 | 663 | |
Zimmer Biomet Holdings Inc. | 6,749 | 653 | |
* | DaVita HealthCare | ||
Partners Inc. | 9,699 | 640 | |
Universal Health | |||
Services Inc. Class B | 4,850 | 535 | |
PerkinElmer Inc. | 9,623 | 455 | |
Agilent Technologies Inc. | 10,559 | 394 | |
* | Varian Medical Systems Inc. | 4,561 | 357 |
* | Endo International plc | 6,052 | 253 |
Patterson Cos. Inc. | 3,813 | 166 | |
128,507 | |||
Industrials (9.0%) | |||
General Electric Co. | 446,460 | 13,010 | |
Boeing Co. | 54,084 | 6,392 | |
3M Co. | 30,599 | 4,800 | |
Honeywell International Inc. | 34,358 | 3,482 |
United Parcel Service Inc. | |||
Class B | 32,223 | 3,111 | |
Northrop Grumman Corp. | 15,680 | 3,014 | |
Danaher Corp. | 33,751 | 3,013 | |
Lockheed Martin Corp. | 13,357 | 2,882 | |
Southwest Airlines Co. | 55,766 | 2,339 | |
Union Pacific Corp. | 29,166 | 2,300 | |
Raytheon Co. | 14,514 | 1,798 | |
General Dynamics Corp. | 11,453 | 1,561 | |
Illinois Tool Works Inc. | 15,714 | 1,481 | |
Roper Technologies Inc. | 8,669 | 1,456 | |
Stanley Black & Decker Inc. | 12,865 | 1,209 | |
Equifax Inc. | 10,184 | 1,068 | |
Waste Management Inc. | 18,860 | 1,053 | |
Nielsen Holdings plc | 20,879 | 1,051 | |
Rockwell Collins Inc. | 11,275 | 987 | |
* | Verisk Analytics Inc. Class A | 13,371 | 974 |
AMETEK Inc. | 20,416 | 947 | |
* | Stericycle Inc. | 7,285 | 830 |
Masco Corp. | 28,894 | 815 | |
Snap-on Inc. | 4,966 | 718 | |
^ | Fastenal Co. | 14,893 | 674 |
Cintas Corp. | 7,508 | 631 | |
Tyco International plc | 16,313 | 574 | |
Rockwell Automation Inc. | 5,434 | 566 | |
Allegion plc | 8,226 | 518 | |
Pentair plc | 9,761 | 466 | |
Expeditors International | |||
of Washington Inc. | 10,067 | 461 | |
Republic Services Inc. | |||
Class A | 9,691 | 443 | |
WW Grainger Inc. | 2,041 | 443 | |
CH Robinson Worldwide Inc. | 5,901 | 412 | |
JB Hunt Transport | |||
Services Inc. | 4,564 | 348 | |
ADT Corp. | 8,511 | 344 | |
Robert Half International Inc. | 6,353 | 250 | |
Xylem Inc. | 6,333 | 237 | |
Dun & Bradstreet Corp. | 1,772 | 170 | |
* | United Rentals Inc. | 3,258 | 168 |
66,996 | |||
Information Technology (32.3%) | |||
Apple Inc. | 478,020 | 46,220 | |
Microsoft Corp. | 684,931 | 34,849 | |
* | Facebook Inc. Class A | 194,680 | 20,815 |
* | Alphabet Inc. Class A | 24,974 | 17,912 |
* | Alphabet Inc. Class C | 25,473 | 17,774 |
Visa Inc. Class A | 166,905 | 12,082 | |
MasterCard Inc. Class A | 84,901 | 7,380 | |
Accenture plc Class A | 53,649 | 5,379 | |
Oracle Corp. | 137,120 | 5,043 | |
Intel Corp. | 165,145 | 4,887 | |
Cisco Systems Inc. | 178,147 | 4,664 | |
* | Broadcom Ltd. | 33,224 | 4,451 |
27
S&P 500 Growth Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
International Business | |||
Machines Corp. | 29,931 | 3,922 | |
* | Adobe Systems Inc. | 42,812 | 3,645 |
* | PayPal Holdings Inc. | 95,416 | 3,639 |
* | salesforce.com inc | 53,580 | 3,630 |
* | Cognizant Technology | ||
Solutions Corp. Class A | 52,142 | 2,971 | |
Texas Instruments Inc. | 54,795 | 2,905 | |
* | eBay Inc. | 94,700 | 2,254 |
Intuit Inc. | 22,644 | 2,188 | |
Automatic Data | |||
Processing Inc. | 23,279 | 1,972 | |
* | Fiserv Inc. | 19,607 | 1,875 |
Applied Materials Inc. | 98,631 | 1,861 | |
* | Electronic Arts Inc. | 26,650 | 1,712 |
Analog Devices Inc. | 26,798 | 1,420 | |
Paychex Inc. | 27,550 | 1,416 | |
Amphenol Corp. Class A | 26,424 | 1,402 | |
NVIDIA Corp. | 43,834 | 1,375 | |
Activision Blizzard Inc. | 43,267 | 1,370 | |
Hewlett Packard | |||
Enterprise Co. | 86,622 | 1,149 | |
* | Alliance Data Systems Corp. | 5,230 | 1,099 |
Skyworks Solutions Inc. | 16,385 | 1,089 | |
* | Red Hat Inc. | 15,685 | 1,025 |
Lam Research Corp. | 13,588 | 996 | |
* | Citrix Systems Inc. | 13,203 | 933 |
* | Akamai Technologies Inc. | 15,248 | 823 |
TE Connectivity Ltd. | 13,908 | 792 | |
Fidelity National Information | |||
Services Inc. | 13,317 | 776 | |
Microchip Technology Inc. | 17,429 | 775 | |
Juniper Networks Inc. | 30,525 | 754 | |
* | VeriSign Inc. | 8,424 | 712 |
Total System Services Inc. | 14,531 | 633 | |
Xilinx Inc. | 13,243 | 625 | |
* | Autodesk Inc. | 12,014 | 622 |
Motorola Solutions Inc. | 8,259 | 607 | |
Linear Technology Corp. | 12,104 | 528 | |
SanDisk Corp. | 7,201 | 520 | |
* | Qorvo Inc. | 11,082 | 500 |
* | Micron Technology Inc. | 44,530 | 473 |
KLA-Tencor Corp. | 6,958 | 471 | |
Harris Corp. | 6,005 | 469 | |
Western Union Co. | 22,520 | 411 | |
* | F5 Networks Inc. | 4,021 | 387 |
FLIR Systems Inc. | 5,798 | 180 | |
CSRA Inc. | 5,103 | 132 | |
* | Teradata Corp. | 4,553 | 114 |
238,608 | |||
Materials (2.4%) | |||
Ecolab Inc. | 22,779 | 2,336 | |
EI du Pont de | |||
Nemours & Co. | 33,812 | 2,058 | |
Sherwin-Williams Co. | 6,768 | 1,831 |
Monsanto Co. | 18,826 | 1,694 |
PPG Industries Inc. | 14,073 | 1,358 |
LyondellBasell Industries | ||
NV Class A | 16,701 | 1,340 |
Praxair Inc. | 11,957 | 1,217 |
Vulcan Materials Co. | 11,457 | 1,129 |
Air Products & | ||
Chemicals Inc. | 7,953 | 1,054 |
Martin Marietta Materials Inc. | 5,683 | 810 |
International Flavors & | ||
Fragrances Inc. | 6,903 | 713 |
Airgas Inc. | 3,997 | 566 |
Avery Dennison Corp. | 7,845 | 511 |
Sealed Air Corp. | 9,649 | 441 |
Ball Corp. | 6,179 | 409 |
17,467 | ||
Telecommunication Services (1.0%) | ||
Verizon | ||
Communications Inc. | 139,981 | 7,101 |
* Level 3 | ||
Communications Inc. | 10,093 | 490 |
7,591 | ||
Utilities (0.3%) | ||
Dominion Resources Inc. | 20,914 | 1,463 |
AGL Resources Inc. | 5,556 | 359 |
TECO Energy Inc. | 10,710 | 294 |
2,116 | ||
Total Common Stocks | ||
(Cost $680,195) | 737,822 | |
Temporary Cash Investments (0.3%)1 | ||
Money Market Fund (0.3%) | ||
2,3 Vanguard Market | ||
Liquidity Fund, 0.475% | 1,754,053 | 1,754 |
Face | ||
Amount | ||
($000) | ||
U.S. Government and Agency Obligations (0.0%) | ||
4,5 Federal Home Loan | ||
Bank Discount Notes, | ||
0.411%, 6/2/16 | 200 | 200 |
Total Temporary Cash Investments | ||
(Cost $1,954) | 1,954 | |
Total Investments (100.0%) | ||
(Cost $682,149) | 739,776 |
28
S&P 500 Growth Index Fund
Amount | |
($000) | |
Other Assets and Liabilities (0.0%) | |
Other Assets | |
Investment in Vanguard | 64 |
Receivables for Investment Securities Sold | 115 |
Receivables for Accrued Income | 1,209 |
Receivables for Capital Shares Issued | 1 |
Total Other Assets | 1,389 |
Liabilities | |
Payables for Investment | |
Securities Purchased | (389) |
Collateral for Securities on Loan | (136) |
Payables to Vanguard | (209) |
Other Liabilities | (20) |
Total Liabilities | (754) |
ETF Shares—Net Assets (100%) | |
Applicable to 7,575,009 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 740,411 |
Net Asset Value Per Share— | |
ETF Shares | $97.74 |
At February 29, 2016, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 703,240 |
Undistributed Net Investment Income | 1,560 |
Accumulated Net Realized Losses | (22,014) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 57,627 |
Futures Contracts | (2) |
Net Assets | 740,411 |
• 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 $131,000.
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 Includes $136,000 of collateral received for securities on loan.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the
7-day yield.
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 $200,000 have been segregated as initial margin for open futures contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
29
S&P 500 Growth Index Fund
Statement of Operations
Six Months Ended | |
February 29, 2016 | |
($000) | |
Investment Income | |
Income | |
Dividends | 5,553 |
Interest1 | 2 |
Total Income | 5,555 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 58 |
Management and Administrative | 318 |
Marketing and Distribution | 25 |
Custodian Fees | 20 |
Shareholders’ Reports | 12 |
Total Expenses | 433 |
Net Investment Income | 5,122 |
Realized Net Gain (Loss) | |
Investment Securities Sold | (16,391) |
Futures Contracts | (1) |
Realized Net Gain (Loss) | (16,392) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 2,576 |
Futures Contracts | 35 |
Change in Unrealized Appreciation (Depreciation) | 2,611 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (8,659) |
1 Interest income from an affiliated company of the fund was $2,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
30
S&P 500 Growth Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
February 29, | August 31, | |
2016 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 5,122 | 7,674 |
Realized Net Gain (Loss) | (16,392) | 13,679 |
Change in Unrealized Appreciation (Depreciation) | 2,611 | (8,177) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (8,659) | 13,176 |
Distributions | ||
Net Investment Income | (5,097) | (6,944) |
Realized Capital Gain | — | — |
Total Distributions | (5,097) | (6,944) |
Capital Share Transactions | ||
Issued | 201,268 | 302,814 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (17,551) | (63,511) |
Net Increase (Decrease) from Capital Share Transactions | 183,717 | 239,303 |
Total Increase (Decrease) | 169,961 | 245,535 |
Net Assets | ||
Beginning of Period | 570,450 | 324,915 |
End of Period1 | 740,411 | 570,450 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $1,560,000 and $1,535,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
31
S&P 500 Growth Index Fund
Financial Highlights
ETF Shares | |||||||
Six Months | Sept. 7, | ||||||
Ended | 20101 to | ||||||
For a Share Outstanding | February 29, | Year Ended August 31, | Aug. 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | |
Net Asset Value, | |||||||
Beginning of Period | $99.21 | $96.99 | $77.29 | $68.43 | $58.81 | $50.23 | |
Investment Operations | |||||||
Net Investment Income | .760 | 1.523 | 1.257 | 1.291 | 1.135 | 0.797 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | (1.409) | 2.193 | 19.715 | 8.848 | 9.543 | 8.414 | |
Total from Investment Operations | (.649) | 3.716 | 20.972 | 10.139 | 10.678 | 9.211 | |
Distributions | |||||||
Dividends from Net Investment Income | (.821) | (1.496) | (1.272) | (1.279) | (1.058) | (.631) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (.821) | (1.496) | (1.272) | (1.279) | (1.058) | (.631) | |
Net Asset Value, End of Period | $97.74 | $99.21 | $96.99 | $77.29 | $68.43 | $58.81 | |
Total Return | -0.69% | 3.80% | 27.33% | 15.00% | 18.38% | 18.33% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $740 | $570 | $325 | $147 | $96 | $56 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.13% | 0.15% | 0.15% | 0.15% | 0.15% | 0.15%2 | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 1.63% | 1.62% | 1.56% | 1.81% | 1.82% | 1.63%2 | |
Portfolio Turnover Rate 3 | 25% | 21% | 23% | 24% | 22% | 26% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
32
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: ETF Shares and Institutional Shares. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. The fund has not issued any Institutional Shares as of February 29, 2016.
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 six months ended February 29, 2016, 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.
33
S&P 500 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, 2012–2015), and for the period ended February 29, 2016, 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 subject to termination by the fund at any time, and 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 (“Vanguard”) participate in a $3 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 February 29, 2016, 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.
34
S&P 500 Growth Index Fund
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2016, the fund had contributed to Vanguard capital in the amount of $64,000, 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 employees, respectively, 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 February 29, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 735,968 | 1,854 | — |
Temporary Cash Investments | 1,754 | 200 | — |
Futures Contracts—Liabilities1 | (19) | — | — |
Total | 737,703 | 2,054 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At February 29, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
E-mini S&P 500 Index | March 2016 | 29 | 2,798 | (2) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
35
S&P 500 Growth Index Fund
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended February 29, 2016, the fund realized $4,555,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2015, the fund had available capital losses totaling $1,104,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2016; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 29, 2016, the cost of investment securities for tax purposes was $682,149,000.
Net unrealized appreciation of investment securities for tax purposes was $57,627,000, consisting of unrealized gains of $71,063,000 on securities that had risen in value since their purchase and $13,436,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended February 29, 2016, the fund purchased $337,183,000 of investment securities and sold $154,570,000 of investment securities, other than temporary cash investments. Purchases and sales include $196,055,000 and $13,608,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
G. Capital shares issued and redeemed were:
Six Months Ended | Year Ended | |
February 29, 2016 | August 31, 2015 | |
Shares | Shares | |
(000) | (000) | |
ETF Shares | ||
Issued | 2,000 | 3,025 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (175) | (625) |
Net Increase (Decrease) in Shares Outstanding | 1,825 | 2,400 |
H. Management has determined that no material events or transactions occurred subsequent to February 29, 2016, that would require recognition or disclosure in these financial statements.
36
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.
37
Six Months Ended February 29, 2016 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
8/31/2015 | 2/29/2016 | Period | |
Based on Actual Fund Return | |||
S&P 500 Value Index Fund | |||
ETF Shares | $1,000.00 | $985.76 | $0.64 |
Institutional Shares | 1,000.00 | 985.92 | 0.35 |
S&P 500 Growth Index Fund | |||
ETF Shares | $1,000.00 | $993.14 | $0.64 |
Based on Hypothetical 5% Yearly Return | |||
S&P 500 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,024.22 | $0.65 |
Institutional Shares | 1,000.00 | 1,024.52 | 0.35 |
S&P 500 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,024.22 | $0.65 |
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, 0.13% for ETF Shares and 0.07% for Institutional Shares; and for the S&P 500 Growth Index
Fund, 0.13%. 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 (182/366).
38
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.
39
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.
40
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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 196 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 | Rajiv L. Gupta |
Born 1945. Trustee Since December 2001.2 Principal | |
F. William McNabb III | Occupation(s) During the Past Five Years and Other |
Born 1957. Trustee Since July 2009. Chairman of | Experience: Chairman and Chief Executive Officer |
the Board. Principal Occupation(s) During the Past | (retired 2009) and President (2006–2008) of |
Five Years and Other Experience: Chairman of the | Rohm and Haas Co. (chemicals); Director of Tyco |
Board of The Vanguard Group, Inc., and of each of | International PLC (diversified manufacturing and |
the investment companies served by The Vanguard | services), HP Inc. (printer and personal computer |
Group, since January 2010; Director of The Vanguard | manufacturing), and Delphi Automotive PLC |
Group since 2008; Chief Executive Officer and | (automotive components); Senior Advisor at |
President of The Vanguard Group, and of each of | New Mountain Capital. |
the investment companies served by The Vanguard | |
Group, since 2008; Director of Vanguard Marketing | Amy Gutmann |
Corporation; Managing Director of The Vanguard | Born 1949. Trustee Since June 2006. Principal |
Group (1995–2008). | Occupation(s) During the Past Five Years and |
Other Experience: President of the University of | |
IndependentTrustees | Pennsylvania; Christopher H. Browne Distinguished |
Professor of Political Science, School of Arts and | |
Emerson U. Fullwood | Sciences, and Professor of Communication, Annenberg |
Born 1948. Trustee Since January 2008. Principal | School for Communication, with secondary faculty |
Occupation(s) During the Past Five Years and Other | appointments in the Department of Philosophy, School |
Experience: Executive Chief Staff and Marketing | of Arts and Sciences, and at the Graduate School of |
Officer for North America and Corporate Vice President | Education, University of Pennsylvania; Trustee of the |
(retired 2008) of Xerox Corporation (document manage- | National Constitution Center; Chair of the Presidential |
ment products and services); Executive in Residence | Commission for the Study of Bioethical Issues. |
and 2009–2010 Distinguished Minett Professor at | |
the Rochester Institute of Technology; Lead Director | JoAnn Heffernan Heisen |
of SPX FLOW, Inc. (multi-industry manufacturing); | Born 1950. Trustee Since July 1998. Principal |
Director of the United Way of Rochester, the University | Occupation(s) During the Past Five Years and |
of Rochester Medical Center, Monroe Community | Other Experience: Corporate Vice President and |
College Foundation, North Carolina A&T University, | Chief Global Diversity Officer (retired 2008) and |
and Roberts Wesleyan College. | Member of the Executive Committee (1997–2008) |
of Johnson & Johnson (pharmaceuticals/medical | |
devices/consumer products); Director of Skytop | |
Lodge Corporation (hotels) and the Robert Wood | |
Johnson Foundation; Member of the Advisory | |
Board of the Institute for Women’s Leadership | |
at Rutgers University. |
F. Joseph Loughrey | Executive Officers | |
Born 1949. Trustee Since October 2009. Principal | ||
Occupation(s) During the Past Five Years and Other | Glenn Booraem | |
Experience: President and Chief Operating Officer | Born 1967. Treasurer Since May 2015. Principal | |
(retired 2009) of Cummins Inc. (industrial machinery); | Occupation(s) During the Past Five Years and | |
Chairman of the Board of Hillenbrand, Inc. (specialized | Other Experience: Principal of The Vanguard Group, | |
consumer services), and of Oxfam America; Director | Inc.; Treasurer of each of the investment companies | |
of SKF AB (industrial machinery), Hyster-Yale Materials | served by The Vanguard Group; Controller of each of | |
Handling, Inc. (forklift trucks), the Lumina Foundation | the investment companies served by The Vanguard | |
for Education, and the V Foundation for Cancer | Group (2010–2015); Assistant Controller of each of | |
Research; Member of the Advisory Council for the | the investment companies served by The Vanguard | |
College of Arts and Letters and of the Advisory Board | Group (2001–2010). | |
to the Kellogg Institute for International Studies, both | ||
at the University of Notre Dame. | Thomas J. Higgins | |
Born 1957. Chief Financial Officer Since September | ||
Mark Loughridge | 2008. Principal Occupation(s) During the Past Five | |
Born 1953. Trustee Since March 2012. Principal | Years and Other Experience: Principal of The Vanguard | |
Occupation(s) During the Past Five Years and Other | Group, Inc.; Chief Financial Officer of each of the | |
Experience: Senior Vice President and Chief Financial | investment companies served by The Vanguard Group; | |
Officer (retired 2013) at IBM (information technology | Treasurer of each of the investment companies served | |
services); Fiduciary Member of IBM’s Retirement Plan | by The Vanguard Group (1998–2008). | |
Committee (2004–2013); Director of the Dow Chemical | ||
Company; Member of the Council on Chicago Booth. | Peter Mahoney | |
Born 1974. Controller Since May 2015. Principal | ||
Scott C. Malpass | Occupation(s) During the Past Five Years and | |
Born 1962. Trustee Since March 2012. Principal | Other Experience: Head of Global Fund Accounting | |
Occupation(s) During the Past Five Years and Other | at The Vanguard Group, Inc.; Controller of each of the | |
Experience: Chief Investment Officer and Vice | investment companies served by The Vanguard Group; | |
President at the University of Notre Dame; Assistant | Head of International Fund Services at The Vanguard | |
Professor of Finance at the Mendoza College of | Group (2008–2014). | |
Business at Notre Dame; Member of the Notre Dame | ||
403(b) Investment Committee, the Board of Advisors | Heidi Stam | |
for Spruceview Capital Partners, and the Investment | Born 1956. Secretary Since July 2005. Principal | |
Advisory Committee of Major League Baseball; Board | Occupation(s) During the Past Five Years and Other | |
Member of TIFF Advisory Services, Inc., and Catholic | Experience: Managing Director of The Vanguard | |
Investment Services, Inc. (investment advisors). | Group, Inc.; General Counsel of The Vanguard Group; | |
Secretary of The Vanguard Group and of each of the | ||
André F. Perold | investment companies served by The Vanguard Group; | |
Born 1952. Trustee Since December 2004. Principal | Director and Senior Vice President of Vanguard | |
Occupation(s) During the Past Five Years and Other | Marketing Corporation. | |
Experience: George Gund Professor of Finance and | ||
Banking, Emeritus at the Harvard Business School | Vanguard Senior ManagementTeam | |
(retired 2011); Chief Investment Officer and Managing | Mortimer J. Buckley | James M. Norris |
Partner of HighVista Strategies LLC (private investment | Kathleen C. Gubanich | Thomas M. Rampulla |
firm); Director of Rand Merchant Bank; Overseer of | Martha G. King | Glenn W. Reed |
the Museum of Fine Arts Boston. | John T. Marcante | Karin A. Risi |
Chris D. McIsaac | ||
Peter F. Volanakis | ||
Born 1955. Trustee Since July 2009. Principal | ||
Occupation(s) During the Past Five Years and Other | Chairman Emeritus and Senior Advisor | |
Experience: President and Chief Operating Officer | ||
(retired 2010) of Corning Incorporated (communications | John J. Brennan | |
equipment); Trustee of Colby-Sawyer College and | Chairman, 1996–2009 | |
Chairman of its Finance and Enrollment Committee; | Chief Executive Officer and President, 1996–2008 | |
Member of the Advisory Board of the Norris Cotton | ||
Cancer Center. | Founder | |
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 | The index is a product of S&P Dow Jones Indices LLC |
Direct Investor Account Services > 800-662-2739 | (“SPDJI”), and has been licensed for use by Vanguard. |
Standard & Poor’s® and S&P® are registered | |
Institutional Investor Services > 800-523-1036 | trademarks of Standard & Poor’s Financial Services LLC |
Text Telephone for People | (“S&P”); Dow Jones® is a registered trademark of Dow |
Who Are Deaf or Hard of Hearing> 800-749-7273 | Jones Trademark Holdings LLC (“Dow Jones”); S&P® |
and S&P 500® are trademarks of S&P; and these | |
This material may be used in conjunction | trademarks have been licensed for use by SPDJI and |
with the offering of shares of any Vanguard | sublicensed for certain purposes by Vanguard. |
fund only if preceded or accompanied by | Vanguard product(s) are not sponsored, endorsed, sold |
or promoted by SPDJI, Dow Jones, S&P, or their | |
the fund’s current prospectus. | respective affiliates and none of such parties make any |
All comparative mutual fund data are from Lipper, a | representation regarding the advisability of investing in |
Thomson Reuters Company, or Morningstar, Inc., unless | such product(s) nor do they have any liability for any |
otherwise noted. | errors, omissions, or interruptions of the index. |
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 email addressed to | |
publicinfo@sec.gov or via regular mail addressed to the | |
Public Reference Section, Securities and Exchange | |
Commission, Washington, DC 20549-1520. | |
© 2016 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q18402 042016 |
Semiannual Report | February 29, 2016
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
Vanguard’s Principles for Investing Success
We want to give you the best chance of investment success. These principles, grounded in Vanguard’s research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds. Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
S&P Small-Cap 600 Index Fund. | 8 |
S&P Small-Cap 600 Value Index Fund. | 28 |
S&P Small-Cap 600 Growth Index Fund. | 46 |
About Your Fund’s Expenses. | 60 |
Glossary. | 62 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice.
Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the
risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: Pictured is a sailing block on the Brilliant, a 1932 schooner docked in Mystic, Connecticut. A type of pulley, the
sailing block helps coordinate the setting of the sails. At Vanguard, the intricate coordination of technology and people allows
us to help millions of clients around the world reach their financial goals.
Your Fund’s Total Returns
Six Months Ended February 29, 2016 | |
Total | |
Returns | |
Vanguard S&P Small-Cap 600 Index Fund | |
ETF Shares | |
Market Price | -5.14% |
Net Asset Value | -5.07 |
Institutional Shares | -5.05 |
S&P SmallCap 600 Index | -5.03 |
Small-Cap Core Funds Average | -8.34 |
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 | -4.19% |
Net Asset Value | -4.20 |
Institutional Shares | -4.15 |
S&P SmallCap 600 Value Index | -4.12 |
Small-Cap Value Funds Average | -7.13 |
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 | -5.92% |
Net Asset Value | -5.91 |
S&P SmallCap 600 Growth Index | -5.80 |
Small-Cap Growth Funds Average | -13.61 |
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 posted negative returns for the six months ended February 29, 2016. Smaller-capitalization stocks continued to underperform large-caps. Within the small-cap arena, growth stocks posted lower returns than their value counterparts.
The adversity facing small-cap stocks was reflected in the performance of the Vanguard S&P Small-Cap 600 Index Funds. Their results ranged from –4.20% for the Value Fund to –5.91% for the Growth Fund. Vanguard S&P Small-Cap 600 Index Fund, which includes both growth and value stocks, returned –5.07%. (All returns cited are for the funds’ ETF Shares, based on net asset value.)
All three funds closely tracked their target small-cap indexes and finished ahead of the average returns of their peers.
Stocks mostly slumped over the fiscal half year
U.S. stocks returned about –3% for the period. Results were negative in four of the six months. Only October’s return of about 8% prevented an even weaker performance for the half year.
Fears that China’s economic slowdown would spread globally weighed on results. Oil and commodity prices, which declined through most of the period before showing some resiliency in February, also concerned investors.
2
In December, the Federal Reserve increased its target for short-term interest rates to 0.25%–0.5%. Central banks in Europe and Asia, in contrast, boosted stimulus efforts to battle weak growth and low inflation.
International stocks returned about –9%, a result that would have been less severe if not for the U.S. dollar’s strength against many foreign currencies. European stocks were among the worst performers.
Bonds registered gains as investors cut their risk
The broad U.S. taxable bond market returned 2.20% over the six months. Most of the gains came in January and February as investors sought safe-haven assets amid stock market turmoil.
The yield of the 10-year U.S. Treasury note closed at 1.74% in February, down from 2.18% six months earlier. (Bond prices and yields move in opposite directions.)
The Fed’s target rate, which stayed anchored at 0%–0.25% until the small rise in December, kept a lid on returns for money market funds and savings accounts.
International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned 3.13%. Bonds globally have been buoyed by negative interest rates. In December the European Central Bank cut a key rate further into negative territory, and in late January the Bank of Japan adopted a negative-rate policy.
Market Barometer | |||
Total Returns | |||
Periods Ended February 29, 2016 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | -2.03% | -7.21% | 9.92% |
Russell 2000 Index (Small-caps) | -10.16 | -14.97 | 6.11 |
Russell 3000 Index (Broad U.S. market) | -2.68 | -7.84 | 9.61 |
FTSE All-World ex US Index (International) | -9.12 | -16.79 | -0.89 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | 2.20% | 1.50% | 3.60% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 3.62 | 3.95 | 5.45 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.04 | 0.06 | 0.04 |
CPI | |||
Consumer Price Index | -0.51% | 1.02% | 1.39% |
3
Falling commodity prices hit energy and materials companies
The Vanguard S&P Small-Cap 600 Index Funds invest in the small-cap segment of the broad U.S. stock market. The Small-Cap 600 Index Fund uses a full-replication strategy, holding all the stocks that are in its index. The Growth and Value Funds track indexes that are subsets of the S&P 600. Value stocks, which are seen as underpriced or temporarily out of favor, didn’t retreat as much as growth stocks, which are generally perceived to have stronger prospects of above-average growth.
A majority of the ten sectors in each of the three indexes recorded negative results. Energy continued to be a major drag on performance, returning –31% or lower for all three funds. Sinking oil and natural gas prices continued to stress the sector.
Falling commodity prices also hurt stocks in the materials sector, including metals and mining, paper and forest, and chemical businesses. Industrial firms also suffered.
One beneficiary of tumbling energy prices has been the utilities sector. Lower energy costs help utility companies’ bottom line, and the three funds’ holdings returned between 20% and 27%.
Meanwhile, worries about a slowdown in consumer spending triggered a retreat among retailers, and returns for the consumer discretionary sector ranged from –8% to –11%.
Expense Ratios | |||
Your Fund Compared With Its Peer Group | |||
ETF | Institutional | Peer Group | |
Shares | Shares | Average | |
S&P Small-Cap 600 Index Fund | 0.15% | 0.08% | 1.25% |
S&P Small-Cap 600 Value Index Fund | 0.20 | 0.08 | 1.33 |
S&P Small-Cap 600 Growth Index Fund | 0.20 | — | 1.36 |
The fund expense ratios shown are from the prospectus dated December 14, 2015, and represent estimated costs for the current fiscal year.
For the six months ended February 29, 2016, the annualized expense ratios were: for the S&P Small-Cap 600 Index Fund, 0.13% for ETF
Shares and 0.07% for Institutional Shares; for the S&P Small-Cap 600 Value Index Fund, 0.18% for ETF Shares and 0.07% for Institutional
Shares; and for the S&P Small-Cap 600 Growth Index Fund, 0.18% for ETF Shares. Peer-group expense ratios are derived from data provided
by Lipper, a Thomson Reuters Company, and capture information through year-end 2015.
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
Financials, the largest sector in all three funds, delivered single-digit negative returns. Banks and other firms making loans remained under pressure as intermediate- and long-term interest rates stayed quite low, reducing lenders’ ability to make money on the spread between what they earn on loans and what they pay on deposits.
Health care stocks floundered, with biotechnology stocks declining on concerns their valuations were overstretched. Pharmaceutical companies also lost ground as the rising cost of drugs became a political issue that raised the possibility of increased government regulation.
Vanguard’s growth translates into lower costs for you |
Research indicates that lower-cost investments have tended to outperform higher-cost ones. |
So it’s little wonder that funds with lower expense ratios—including those at Vanguard—have |
dominated the industry’s cash inflows in recent years. |
Vanguard has long been a low-cost leader, with expenses well below those of many other |
investment management companies. That cost difference remains a powerful advantage for |
Vanguard clients. Why? Because a lower expense ratio allows a fund to pass along a greater |
share of its returns to its investors. |
What’s more, as you can see in the chart below, we’ve been able to lower our costs continually |
as our assets under management have grown. Our steady growth has not been an explicit |
business objective. Rather, we focus on putting our clients’ interests first at all times, and |
giving them the best chance for investment success. But economies of scale—the cost |
efficiencies that come with our growth—have allowed us to keep lowering our fund costs, |
even as we invest in our people and technology. |
The benefit of economies of scale |
Note: Data are for U.S.-based Vanguard funds only. |
Source: Vanguard. |
5
Information technology firms were a notable positive contributor, with rising demand for IT services particularly boosting that subsector.
Doing what’s best for clients: That’s how we were built
It’s hard for me to believe, but this year will be my 30th with Vanguard. I knew little about the company when I started in June 1986, but I soon learned what makes Vanguard unique.
Simply put, we’re built differently.
We don’t have stockholders or outside owners. Instead, Vanguard is owned by its funds, which in turn are owned by you—Vanguard clients.
This structure matters because it ensures that our interests are completely aligned with those of our clients. We never have to weigh what’s best for clients against what’s best for the company’s owners; their interests are one and the same. Our client-owned structure is what allows us to run our funds at cost, and it’s why Vanguard’s expense ratios remain among the lowest in the industry. (See the insight box on page 5 for more on this.)
At the same time, we continually dedicate resources to enhance Vanguard’s service and investment capabilities. We aspire to provide the highest possible quality at the lowest possible price. That was true 30 years ago, it’s true today, and it will remain our focus for decades to come. After all, we’re built to put the long-term interests of our clients first.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
March 16, 2016
6
Your Fund’s Performance at a Glance | ||||
August 31, 2015, Through February 29, 2016 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard S&P Small-Cap 600 Index Fund | ||||
ETF Shares | $100.42 | $94.15 | $1.248 | $0.000 |
Institutional Shares | 201.83 | 189.15 | 2.649 | 0.000 |
Vanguard S&P Small-Cap 600 Value Index Fund | ||||
ETF Shares | $94.66 | $89.49 | $1.237 | $0.000 |
Institutional Shares (Inception: 11/19/2014) | 198.02 | 187.14 | 2.756 | 0.000 |
Vanguard S&P Small-Cap 600 Growth Index | ||||
Fund | ||||
ETF Shares | $106.99 | $99.63 | $1.112 | $0.000 |
7
S&P Small-Cap 600 Index Fund
Fund Profile
As of February 29, 2016
Share-Class Characteristics | ||
ETF | Institutional | |
Shares | Shares | |
Ticker Symbol | VIOO | VSMSX |
Expense Ratio1 | 0.15% | 0.08% |
30-Day SEC Yield | 1.37% | 1.45% |
Portfolio Characteristics | |||
DJ | |||
S&P | U.S. Total | ||
SmallCap | Market | ||
Fund | 600 Index | FA Index | |
Number of Stocks | 605 | 601 | 3,906 |
Median Market Cap | $1.4B | $1.4B | $50.4B |
Price/Earnings Ratio | 25.6x | 25.4x | 20.1x |
Price/Book Ratio | 1.9x | 1.9x | 2.5x |
Return on Equity | 11.2% | 11.2% | 17.5% |
Earnings Growth | |||
Rate | 8.7% | 8.7% | 8.4% |
Dividend Yield | 1.6% | 1.6% | 2.2% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 17% | — | — |
Short-Term Reserves | -0.1% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
U.S. | |||
Total | |||
S&P | Market | ||
SmallCap | FA | ||
Fund 600 Index | Index | ||
Consumer | |||
Discretionary | 14.8% | 14.8% | 13.6% |
Consumer Staples | 2.8 | 2.8 | 9.4 |
Energy | 2.2 | 2.2 | 5.9 |
Financials | 23.2 | 23.5 | 17.4 |
Health Care | 12.8 | 12.7 | 14.2 |
Industrials | 16.9 | 16.9 | 10.7 |
Information | |||
Technology | 17.0 | 17.0 | 19.7 |
Materials | 4.4 | 4.4 | 3.1 |
Telecommunication | |||
Services | 1.2 | 1.0 | 2.5 |
Utilities | 4.7 | 4.7 | 3.5 |
Volatility Measures | ||
DJ | ||
S&P | U.S. Total | |
SmallCap | Market | |
600 Index | FA Index | |
R-Squared | 1.00 | 0.74 |
Beta | 1.00 | 1.06 |
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) | ||
Piedmont Natural Gas | ||
Co. Inc. | Gas Utilities | 0.8% |
Heartland Payment | Data Processing & | |
Systems Inc. | Outsourced Services | 0.6 |
ViaSat Inc. | Communications | |
Equipment | 0.6 | |
ABIOMED Inc. | Health Care | |
Equipment | 0.5 | |
Take-Two Interactive | Home Entertainment | |
Software Inc. | Software | 0.5 |
New Jersey Resources | ||
Corp. | Gas Utilities | 0.5 |
Healthcare Realty Trust | ||
Inc. | Health Care REITs | 0.5 |
Southwest Gas Corp. | Gas Utilities | 0.5 |
EMCOR Group Inc. | Construction & | |
Engineering | 0.5 | |
NorthWestern Corp. | Multi-Utilities | 0.5 |
Top Ten | 5.5% | |
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 14, 2015, and represent estimated costs for the current fiscal year. For the six
months ended February 29, 2016, the annualized expense ratios were 0.13% for ETF Shares and 0.07% for Institutional Shares.
8
S&P Small-Cap 600 Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): September 7, 2010, Through February 29, 2016
Average Annual Total Returns: Periods Ended December 31, 2015
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
Inception | One | Five | Since | |
Date | Year | Years | Inception | |
ETF Shares | 9/7/2010 | |||
Market Price | -2.08% | 11.29% | 15.13% | |
Net Asset Value | -2.05 | 11.30 | 15.14 | |
Institutional Shares | 4/1/2011 | -2.00 | — | 10.20 |
Institutional Shares were first issued on December 15, 2010, and the sole shareholder redeemed shortly thereafter.
Institutional Shares were next issued on April 1, 2011. The total returns shown are based on the period beginning April 1, 2011.
See Financial Highlights for dividend and capital gains information.
9
S&P Small-Cap 600 Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 29, 2016
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 (99.8%)1 | |||
Consumer Discretionary (14.8%) | |||
* | Helen of Troy Ltd. | 23,000 | 2,193 |
Texas Roadhouse Inc. | |||
Class A | 51,673 | 2,155 | |
Lithia Motors Inc. Class A | 19,413 | 1,800 | |
Monro Muffler Brake Inc. | 26,189 | 1,791 | |
* | G-III Apparel Group Ltd. | 32,832 | 1,732 |
* | Five Below Inc. | 44,679 | 1,713 |
* | Steven Madden Ltd. | 46,026 | 1,620 |
Wolverine World Wide Inc. | 84,103 | 1,592 | |
* | Pinnacle Entertainment Inc. | 49,765 | 1,439 |
Gannett Co. Inc. | 94,157 | 1,437 | |
Core-Mark Holding Co. Inc. | 18,846 | 1,388 | |
Papa John’s International | |||
Inc. | 23,631 | 1,374 | |
Marriott Vacations | |||
Worldwide Corp. | 22,146 | 1,341 | |
* | Dorman Products Inc. | 25,299 | 1,279 |
DineEquity Inc. | 13,733 | 1,256 | |
* | Gentherm Inc. | 29,651 | 1,236 |
* | Asbury Automotive Group | ||
Inc. | 20,791 | 1,214 | |
Sonic Corp. | 40,779 | 1,198 | |
* | Genesco Inc. | 18,092 | 1,194 |
Drew Industries Inc. | 19,783 | 1,191 | |
* | Boyd Gaming Corp. | 65,541 | 1,135 |
Children’s Place Inc. | 16,642 | 1,134 | |
Sturm Ruger & Co. Inc. | 15,333 | 1,078 | |
Group 1 Automotive Inc. | 18,459 | 1,029 | |
* | Express Inc. | 58,962 | 1,016 |
Caleres Inc. | 35,684 | 1,011 | |
* | Popeyes Louisiana Kitchen | ||
Inc. | 18,426 | 1,004 | |
La-Z-Boy Inc. | 40,995 | 998 | |
* | Meritage Homes Corp. | 30,120 | 978 |
* | Tumi Holdings Inc. | 46,037 | 909 |
Oxford Industries Inc. | 11,929 | 866 | |
* | TopBuild Corp. | 30,802 | 831 |
Cato Corp. Class A | 21,381 | 774 | |
Scholastic Corp. | 21,752 | 762 | |
EW Scripps Co. Class A | 43,514 | 751 | |
* | BJ’s Restaurants Inc. | 16,919 | 746 |
* | iRobot Corp. | 23,780 | 745 |
* | Red Robin Gourmet Burgers | ||
Inc. | 11,415 | 743 | |
* | Select Comfort Corp. | 41,353 | 740 |
^ | Buckle Inc. | 23,069 | 734 |
Bob Evans Farms Inc. | 17,089 | 733 | |
Finish Line Inc. Class A | 36,827 | 671 | |
* | Belmond Ltd. Class A | 72,514 | 666 |
* | Hibbett Sports Inc. | 18,708 | 664 |
* | Vitamin Shoppe Inc. | 23,827 | 657 |
Callaway Golf Co. | 73,748 | 656 | |
* | Universal Electronics Inc. | 11,912 | 633 |
* | Francesca’s Holdings Corp. | 34,192 | 618 |
* | Tailored Brands Inc. | 39,646 | 612 |
Ethan Allen Interiors Inc. | 21,371 | 610 | |
* | Crocs Inc. | 60,117 | 589 |
Rent-A-Center Inc. | 43,502 | 556 | |
* | Motorcar Parts of America | ||
Inc. | 14,988 | 517 | |
Ruth’s Hospitality Group Inc. | 28,731 | 505 | |
Sonic Automotive Inc. | |||
Class A | 26,309 | 504 | |
Barnes & Noble Inc. | 50,822 | 493 | |
Nutrisystem Inc. | 23,894 | 486 | |
Standard Motor Products Inc. | 16,064 | 484 | |
World Wrestling | |||
Entertainment Inc. Class A | 27,958 | 467 | |
* | Regis Corp. | 31,395 | 450 |
Outerwall Inc. | 14,143 | 441 | |
Winnebago Industries Inc. | 22,163 | 415 | |
Interval Leisure Group Inc. | 31,950 | 414 | |
Capella Education Co. | 8,928 | 413 | |
Fred’s Inc. Class A | 28,756 | 411 | |
* | Strayer Education Inc. | 8,975 | 405 |
Movado Group Inc. | 13,390 | 391 |
10
S&P Small-Cap 600 Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Superior Industries | |||
International Inc. | 18,894 | 373 | |
* | MarineMax Inc. | 20,936 | 371 |
* | M/I Homes Inc. | 20,249 | 356 |
* | Scientific Games Corp. | ||
Class A | 41,155 | 350 | |
* | FTD Cos. Inc. | 14,967 | 348 |
* | Iconix Brand Group Inc. | 39,303 | 342 |
* | Barnes & Noble Education | ||
Inc. | 31,984 | 342 | |
* | Zumiez Inc. | 16,328 | 337 |
Haverty Furniture Cos. Inc. | 16,519 | 321 | |
* | Biglari Holdings Inc. | 856 | 316 |
* | Installed Building Products | ||
Inc. | 13,712 | 306 | |
Marcus Corp. | 15,387 | 287 | |
* | Unifi Inc. | 12,137 | 272 |
PetMed Express Inc. | 16,396 | 271 | |
* | Ruby Tuesday Inc. | 50,849 | 269 |
* | Lumber Liquidators Holdings | ||
Inc. | 21,948 | 249 | |
Blue Nile Inc. | 9,521 | 248 | |
* | Tuesday Morning Corp. | 36,537 | 246 |
Stage Stores Inc. | 26,424 | 222 | |
Big 5 Sporting Goods Corp. | 15,038 | 206 | |
* | American Public Education | ||
Inc. | 13,347 | 206 | |
* | Vera Bradley Inc. | 11,712 | 195 |
Arctic Cat Inc. | 10,745 | 188 | |
Kirkland’s Inc. | 12,779 | 183 | |
Stein Mart Inc. | 24,025 | 178 | |
* | Monarch Casino & Resort | ||
Inc. | 8,821 | 178 | |
* | Perry Ellis International Inc. | 9,603 | 177 |
* | Career Education Corp. | 55,839 | 141 |
Harte-Hanks Inc. | 38,837 | 120 | |
Universal Technical Institute | |||
Inc. | 17,597 | 69 | |
* | VOXX International Corp. | ||
Class A | 16,714 | 67 | |
* | Sizmek Inc. | 15,704 | 51 |
70,373 | |||
Consumer Staples (2.8%) | |||
B&G Foods Inc. | 47,477 | 1,642 | |
^ | Sanderson Farms Inc. | 16,144 | 1,473 |
^ | Cal-Maine Foods Inc. | 25,398 | 1,356 |
J&J Snack Foods Corp. | 12,083 | 1,339 | |
* | Darling Ingredients Inc. | 134,911 | 1,216 |
WD-40 Co. | 10,948 | 1,182 | |
Universal Corp. | 18,627 | 1,015 | |
SpartanNash Co. | 30,818 | 846 | |
Calavo Growers Inc. | 12,135 | 650 | |
*,2 | Diamond Foods Inc. | 13,746 | 619 |
Andersons Inc. | 21,244 | 570 |
* | Central Garden & Pet Co. | ||
Class A | 26,666 | 361 | |
Inter Parfums Inc. | 13,967 | 353 | |
Medifast Inc. | 7,639 | 232 | |
* | Seneca Foods Corp. Class A | 4,928 | 164 |
* | Central Garden & Pet Co. | 8,151 | 114 |
13,132 | |||
Energy (2.2%) | |||
* | PDC Energy Inc. | 32,853 | 1,646 |
* | Carrizo Oil & Gas Inc. | 44,480 | 956 |
US Silica Holdings Inc. | 43,675 | 838 | |
* | SEACOR Holdings Inc. | 13,080 | 633 |
* | Synergy Resources Corp. | 91,737 | 573 |
Bristow Group Inc. | 28,467 | 433 | |
Green Plains Inc. | 29,273 | 398 | |
* | Matrix Service Co. | 21,615 | 398 |
* | Exterran Corp. | 28,572 | 390 |
* | TETRA Technologies Inc. | 65,668 | 331 |
Atwood Oceanics Inc. | 47,555 | 327 | |
^ | CARBO Ceramics Inc. | 16,035 | 321 |
* | Helix Energy Solutions | ||
Group Inc. | 80,738 | 315 | |
* | Newpark Resources Inc. | 68,883 | 257 |
* | REX American Resources | ||
Corp. | 4,670 | 236 | |
Tesco Corp. | 31,630 | 229 | |
Archrock Inc. | 56,725 | 226 | |
* | Hornbeck Offshore Services | ||
Inc. | 26,110 | 224 | |
* | Unit Corp. | 41,117 | 220 |
Tidewater Inc. | 38,292 | 220 | |
* | Era Group Inc. | 15,704 | 145 |
* | Northern Oil and Gas Inc. | 42,636 | 142 |
* | Geospace Technologies | ||
Corp. | 10,572 | 118 | |
* | Bill Barrett Corp. | 40,598 | 116 |
Gulf Island Fabrication Inc. | 11,050 | 98 | |
* | Contango Oil & Gas Co. | 14,569 | 88 |
* | Cloud Peak Energy Inc. | 48,601 | 83 |
* | Gulfmark Offshore Inc. | 21,501 | 77 |
* | Pioneer Energy Services | ||
Corp. | 54,536 | 75 | |
* | Stone Energy Corp. | 46,818 | 73 |
* | Bonanza Creek Energy Inc. | 32,763 | 61 |
* | Basic Energy Services Inc. | 33,148 | 58 |
* | Rex Energy Corp. | 37,256 | 22 |
10,327 | |||
Financials (23.1%) | |||
Healthcare Realty Trust Inc. | 82,375 | 2,390 | |
Medical Properties Trust Inc. 194,672 | 2,252 | ||
ProAssurance Corp. | 43,498 | 2,145 | |
Education Realty Trust Inc. | 49,852 | 1,977 | |
Home BancShares Inc. | 49,924 | 1,973 | |
RLI Corp. | 30,894 | 1,939 |
11
S&P Small-Cap 600 Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Acadia Realty Trust | 56,495 | 1,867 | |
United Bankshares Inc. | 52,986 | 1,857 | |
Kite Realty Group Trust | 68,202 | 1,836 | |
GEO Group Inc. | 60,395 | 1,754 | |
MB Financial Inc. | 56,727 | 1,731 | |
UMB Financial Corp. | 34,320 | 1,685 | |
Wintrust Financial Corp. | 39,627 | 1,684 | |
Interactive Brokers Group | |||
Inc. | 47,354 | 1,618 | |
CoreSite Realty Corp. | 25,044 | 1,614 | |
Selective Insurance Group | |||
Inc. | 46,871 | 1,574 | |
Evercore Partners Inc. | |||
Class A | 32,308 | 1,508 | |
Retail Opportunity | |||
Investments Corp. | 81,299 | 1,494 | |
Glacier Bancorp Inc. | 62,189 | 1,481 | |
DiamondRock Hospitality | |||
Co. | 164,309 | 1,462 | |
PS Business Parks Inc. | 15,899 | 1,460 | |
Cousins Properties Inc. | 166,924 | 1,446 | |
EastGroup Properties Inc. | 26,323 | 1,428 | |
^ | First Financial Bankshares | ||
Inc. | 53,931 | 1,424 | |
Sterling Bancorp | 97,699 | 1,408 | |
Columbia Banking System | |||
Inc. | 47,254 | 1,362 | |
Lexington Realty Trust | 173,361 | 1,342 | |
Pinnacle Financial Partners | |||
Inc. | 28,756 | 1,333 | |
Community Bank System | |||
Inc. | 35,590 | 1,318 | |
LTC Properties Inc. | 29,116 | 1,294 | |
National Penn Bancshares | |||
Inc. | 114,839 | 1,278 | |
CVB Financial Corp. | 80,981 | 1,258 | |
Chesapeake Lodging Trust | 48,846 | 1,241 | |
* | Texas Capital Bancshares | ||
Inc. | 37,535 | 1,214 | |
American Assets Trust Inc. | 32,307 | 1,198 | |
Astoria Financial Corp. | 74,306 | 1,106 | |
Pennsylvania REIT | 56,742 | 1,087 | |
First Midwest Bancorp Inc. | 63,880 | 1,067 | |
Sabra Health Care REIT Inc. | 53,199 | 1,059 | |
Northwest Bancshares Inc. | 83,422 | 1,050 | |
Old National Bancorp | 93,907 | 1,048 | |
Financial Engines Inc. | 42,265 | 1,031 | |
Horace Mann Educators | |||
Corp. | 33,375 | 1,028 | |
* | PRA Group Inc. | 39,546 | 965 |
First Cash Financial Services | |||
Inc. | 22,705 | 957 | |
Simmons First National Corp. | |||
Class A | 23,087 | 951 | |
^ | Westamerica Bancorporation | 20,944 | 942 |
Independent Bank Corp. | 21,529 | 930 | |
BBCN Bancorp Inc. | 64,937 | 929 | |
NBT Bancorp Inc. | 35,340 | 912 | |
American Equity Investment | |||
Life Holding Co. | 66,585 | 906 | |
Provident Financial Services | |||
Inc. | 48,048 | 893 | |
Parkway Properties Inc. | 66,564 | 891 | |
* | BofI Holding Inc. | 46,894 | 869 |
Government Properties | |||
Income Trust | 58,111 | 862 | |
Talmer Bancorp Inc. Class A | 51,306 | 862 | |
First Financial Bancorp | 50,350 | 844 | |
United Community Banks | |||
Inc. | 47,503 | 822 | |
AMERISAFE Inc. | 15,605 | 804 | |
* | Green Dot Corp. Class A | 38,551 | 796 |
Inland Real Estate Corp. | 73,949 | 784 | |
Summit Hotel Properties Inc. | 70,977 | 767 | |
Capstead Mortgage Corp. | 78,446 | 762 | |
Employers Holdings Inc. | 26,289 | 730 | |
* | Navigators Group Inc. | 8,960 | 726 |
Boston Private Financial | |||
Holdings Inc. | 68,482 | 723 | |
S&T Bancorp Inc. | 28,482 | 718 | |
HFF Inc. Class A | 28,188 | 706 | |
Cash America International | |||
Inc. | 20,831 | 702 | |
United Fire Group Inc. | 17,264 | 696 | |
Franklin Street Properties | |||
Corp. | 73,017 | 694 | |
Infinity Property & Casualty | |||
Corp. | 9,212 | 689 | |
Banner Corp. | 16,673 | 662 | |
LegacyTexas Financial | |||
Group Inc. | 35,917 | 638 | |
Safety Insurance Group Inc. | 11,517 | 637 | |
First Commonwealth | |||
Financial Corp. | 73,039 | 627 | |
Stewart Information | |||
Services Corp. | 18,256 | 616 | |
Brookline Bancorp Inc. | 57,608 | 605 | |
PrivateBancorp Inc. | 17,419 | 599 | |
Agree Realty Corp. | 15,792 | 585 | |
Wilshire Bancorp Inc. | 57,646 | 567 | |
Ameris Bancorp | 21,000 | 567 | |
Tompkins Financial Corp. | 10,017 | 566 | |
City Holding Co. | 12,499 | 551 | |
Hanmi Financial Corp. | 26,095 | 544 | |
* | Piper Jaffray Cos. | 12,390 | 525 |
Universal Health Realty | |||
Income Trust | 10,073 | 522 | |
Oritani Financial Corp. | 30,776 | 521 | |
Four Corners Property Trust | |||
Inc. | 31,586 | 518 |
12
S&P Small-Cap 600 Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
^ | Universal Insurance Holdings | ||
Inc. | 26,529 | 518 | |
Greenhill & Co. Inc. | 22,320 | 515 | |
* | LendingTree Inc. | 5,805 | 513 |
Central Pacific Financial Corp. | 25,683 | 512 | |
* | Walker & Dunlop Inc. | 21,989 | 508 |
Cardinal Financial Corp. | 26,359 | 508 | |
Virtus Investment Partners | |||
Inc. | 5,527 | 507 | |
Investment Technology | |||
Group Inc. | 27,491 | 504 | |
Northfield Bancorp Inc. | 32,002 | 503 | |
Saul Centers Inc. | 9,373 | 459 | |
Southside Bancshares Inc. | 19,287 | 452 | |
TrustCo Bank Corp. NY | 78,011 | 450 | |
CareTrust REIT Inc. | 39,513 | 450 | |
* | Encore Capital Group Inc. | 19,330 | 449 |
RE/MAX Holdings Inc. | |||
Class A | 13,808 | 443 | |
Urstadt Biddle Properties Inc. | |||
Class A | 21,814 | 431 | |
Dime Community | |||
Bancshares Inc. | 25,105 | 428 | |
Cedar Realty Trust Inc. | 61,432 | 420 | |
Getty Realty Corp. | 21,474 | 391 | |
* | INTL. FCStone Inc. | 12,662 | 323 |
* | First NBC Bank Holding Co. | 12,846 | 303 |
United Insurance Holdings | |||
Corp. | 14,486 | 283 | |
* | Forestar Group Inc. | 27,349 | 267 |
HCI Group Inc. | 7,433 | 261 | |
Bank Mutual Corp. | 34,343 | 257 | |
* | First BanCorp | 94,775 | 254 |
*,^ | World Acceptance Corp. | 6,875 | 253 |
OFG Bancorp | 36,134 | 210 | |
* | eHealth Inc. | 13,862 | 140 |
* | Enova International Inc. | 21,984 | 127 |
* | EZCORP Inc. Class A | 42,511 | 123 |
Calamos Asset Management | |||
Inc. Class A | 13,841 | 117 | |
109,882 | |||
Health Care (12.8%) | |||
* | ABIOMED Inc. | 31,942 | 2,556 |
* | Prestige Brands Holdings | ||
Inc. | 43,174 | 2,111 | |
Cantel Medical Corp. | 29,299 | 1,864 | |
* | Medicines Co. | 56,868 | 1,829 |
Chemed Corp. | 13,817 | 1,775 | |
* | Impax Laboratories Inc. | 54,270 | 1,774 |
* | NuVasive Inc. | 40,214 | 1,681 |
* | Medidata Solutions Inc. | 45,374 | 1,565 |
* | Neogen Corp. | 30,544 | 1,504 |
* | Integra LifeSciences | ||
Holdings Corp. | 23,611 | 1,449 | |
* | Masimo Corp. | 37,045 | 1,402 |
* | Ligand Pharmaceuticals Inc. | 14,842 | 1,370 |
* | Haemonetics Corp. | 41,518 | 1,332 |
* | Magellan Health Inc. | 20,943 | 1,319 |
* | Nektar Therapeutics | 109,271 | 1,221 |
* | Acorda Therapeutics Inc. | 35,323 | 1,155 |
* | AMN Healthcare Services | ||
Inc. | 38,957 | 1,108 | |
* | ICU Medical Inc. | 11,787 | 1,083 |
* | Air Methods Corp. | 29,309 | 1,065 |
* | Cambrex Corp. | 25,860 | 997 |
* | Natus Medical Inc. | 27,086 | 984 |
* | ExamWorks Group Inc. | 32,566 | 948 |
* | HMS Holdings Corp. | 70,303 | 926 |
* | Affymetrix Inc. | 65,267 | 916 |
* | Surgical Care Affiliates Inc. | 22,086 | 895 |
* | Amedisys Inc. | 23,116 | 849 |
Select Medical Holdings | |||
Corp. | 85,855 | 840 | |
* | Emergent BioSolutions Inc. | 24,799 | 839 |
CONMED Corp. | 21,055 | 837 | |
Ensign Group Inc. | 39,001 | 800 | |
* | Omnicell Inc. | 28,945 | 792 |
* | Greatbatch Inc. | 20,489 | 774 |
Analogic Corp. | 10,161 | 762 | |
* | Cynosure Inc. Class A | 18,605 | 757 |
* | Depomed Inc. | 49,404 | 755 |
Kindred Healthcare Inc. | 68,673 | 722 | |
* | Repligen Corp. | 27,018 | 695 |
Meridian Bioscience Inc. | 34,122 | 688 | |
Abaxis Inc. | 17,465 | 685 | |
* | Merit Medical Systems Inc. | 36,288 | 683 |
* | MiMedx Group Inc. | 81,314 | 669 |
* | Zeltiq Aesthetics Inc. | 26,212 | 604 |
* | HealthEquity Inc. | 28,684 | 597 |
* | Luminex Corp. | 31,487 | 588 |
* | PharMerica Corp. | 24,920 | 576 |
*,^ | Lannett Co. Inc. | 22,775 | 573 |
Quality Systems Inc. | 36,508 | 568 | |
* | Adeptus Health Inc. Class A | 9,826 | 559 |
* | Anika Therapeutics Inc. | 11,995 | 541 |
Aceto Corp. | 24,059 | 516 | |
US Physical Therapy Inc. | 10,154 | 515 | |
* | Providence Service Corp. | 10,325 | 490 |
* | AMAG Pharmaceuticals Inc. | 18,439 | 485 |
Computer Programs & | |||
Systems Inc. | 8,541 | 484 | |
* | Momenta Pharmaceuticals | ||
Inc. | 51,519 | 433 | |
* | Vascular Solutions Inc. | 14,261 | 429 |
* | HealthStream Inc. | 20,019 | 414 |
Phibro Animal Health Corp. | |||
Class A | 14,872 | 411 | |
* | Inogen Inc. | 11,669 | 399 |
* | LHC Group Inc. | 10,628 | 379 |
13
S&P Small-Cap 600 Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
* | Supernus Pharmaceuticals | ||
Inc. | 27,898 | 350 | |
* | CorVel Corp. | 8,366 | 347 |
* | Cross Country Healthcare | ||
Inc. | 26,568 | 330 | |
* | Albany Molecular Research | ||
Inc. | 21,954 | 324 | |
* | Enanta Pharmaceuticals Inc. | 10,769 | 306 |
Invacare Corp. | 24,272 | 294 | |
* | Sagent Pharmaceuticals Inc. | 19,703 | 279 |
* | Healthways Inc. | 25,757 | 271 |
* | Almost Family Inc. | 6,762 | 255 |
* | AngioDynamics Inc. | 21,661 | 235 |
Landauer Inc. | 7,806 | 227 | |
CryoLife Inc. | 20,897 | 224 | |
* | Spectrum Pharmaceuticals | ||
Inc. | 48,972 | 221 | |
* | ANI Pharmaceuticals Inc. | 6,250 | 207 |
* | SurModics Inc. | 10,703 | 200 |
* | Hanger Inc. | 13,859 | 34 |
60,641 | |||
Industrials (16.8%) | |||
EMCOR Group Inc. | 51,340 | 2,355 | |
Healthcare Services Group | |||
Inc. | 58,906 | 2,090 | |
EnerSys | 36,359 | 1,867 | |
Allegiant Travel Co. Class A | 10,757 | 1,763 | |
* | Hawaiian Holdings Inc. | 38,765 | 1,668 |
* | Dycom Industries Inc. | 26,586 | 1,515 |
Barnes Group Inc. | 42,241 | 1,449 | |
Hillenbrand Inc. | 51,439 | 1,446 | |
ABM Industries Inc. | 45,982 | 1,444 | |
Matson Inc. | 35,603 | 1,427 | |
* | WageWorks Inc. | 29,419 | 1,417 |
Tetra Tech Inc. | 48,314 | 1,330 | |
UniFirst Corp. | 12,486 | 1,316 | |
* | On Assignment Inc. | 38,895 | 1,284 |
Matthews International Corp. | |||
Class A | 26,915 | 1,275 | |
Universal Forest Products | |||
Inc. | 16,501 | 1,266 | |
John Bean Technologies | |||
Corp. | 23,865 | 1,255 | |
Applied Industrial | |||
Technologies Inc. | 32,191 | 1,239 | |
Mueller Industries Inc. | 46,804 | 1,227 | |
Knight Transportation Inc. | 50,339 | 1,220 | |
Korn/Ferry International | 41,934 | 1,192 | |
Watts Water Technologies | |||
Inc. Class A | 23,051 | 1,189 | |
* | Moog Inc. Class A | 27,293 | 1,178 |
Brink���s Co. | 40,043 | 1,171 | |
Actuant Corp. Class A | 48,900 | 1,145 | |
Simpson Manufacturing Co. | |||
Inc. | 33,610 | 1,141 |
* | Trex Co. Inc. | 25,265 | 1,088 |
G&K Services Inc. Class A | 16,405 | 1,088 | |
* | Hub Group Inc. Class A | 29,254 | 1,080 |
AZZ Inc. | 21,141 | 1,068 | |
Mobile Mini Inc. | 36,721 | 1,055 | |
Forward Air Corp. | 25,288 | 1,030 | |
Brady Corp. Class A | 38,420 | 1,004 | |
Exponent Inc. | 21,112 | 986 | |
Kaman Corp. | 22,226 | 977 | |
Apogee Enterprises Inc. | 23,758 | 949 | |
Franklin Electric Co. Inc. | 31,418 | 938 | |
EnPro Industries Inc. | 17,957 | 932 | |
Heartland Express Inc. | 49,347 | 908 | |
Essendant Inc. | 30,535 | 900 | |
Albany International Corp. | 23,522 | 861 | |
Interface Inc. Class A | 53,773 | 855 | |
Comfort Systems USA Inc. | 30,465 | 855 | |
* | TASER International Inc. | 43,924 | 851 |
AAON Inc. | 33,223 | 824 | |
* | Aerojet Rocketdyne | ||
Holdings Inc. | 52,442 | 814 | |
* | TrueBlue Inc. | 34,311 | 787 |
Briggs & Stratton Corp. | 36,186 | 770 | |
* | American Woodmark Corp. | 11,191 | 764 |
ESCO Technologies Inc. | 21,129 | 754 | |
SkyWest Inc. | 41,627 | 751 | |
Standex International Corp. | 10,452 | 736 | |
* | Atlas Air Worldwide | ||
Holdings Inc. | 20,152 | 730 | |
Tennant Co. | 14,580 | 679 | |
^ | Lindsay Corp. | 9,265 | 671 |
Astec Industries Inc. | 15,393 | 668 | |
US Ecology Inc. | 17,722 | 656 | |
Insperity Inc. | 13,393 | 636 | |
* | SPX FLOW Inc. | 33,672 | 631 |
Cubic Corp. | 17,899 | 629 | |
Encore Wire Corp. | 16,983 | 614 | |
Federal Signal Corp. | 50,844 | 603 | |
* | Gibraltar Industries Inc. | 24,136 | 596 |
* | Navigant Consulting Inc. | 39,093 | 593 |
AAR Corp. | 27,012 | 575 | |
CIRCOR International Inc. | 13,523 | 542 | |
Greenbrier Cos. Inc. | 21,242 | 541 | |
* | Aegion Corp. Class A | 29,698 | 538 |
* | Echo Global Logistics Inc. | 21,026 | 536 |
* | Saia Inc. | 20,359 | 534 |
* | Chart Industries Inc. | 24,992 | 504 |
Quanex Building Products | |||
Corp. | 27,816 | 479 | |
Viad Corp. | 16,409 | 465 | |
Griffon Corp. | 31,138 | 463 | |
Resources Connection Inc. | 30,539 | 424 | |
* | Aerovironment Inc. | 17,001 | 423 |
Kelly Services Inc. Class A | 24,439 | 421 | |
* | Lydall Inc. | 14,008 | 405 |
14
S&P Small-Cap 600 Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
SPX Corp. | 33,411 | 394 | |
* | PGT Inc. | 39,787 | 393 |
ArcBest Corp. | 20,059 | 393 | |
* | MYR Group Inc. | 16,913 | 379 |
General Cable Corp. | 39,753 | 341 | |
Heidrick & Struggles | |||
International Inc. | 14,106 | 331 | |
National Presto Industries | |||
Inc. | 3,991 | 325 | |
Marten Transport Ltd. | 19,613 | 322 | |
* | Roadrunner Transportation | ||
Systems Inc. | 24,816 | 289 | |
Harsco Corp. | 65,140 | 247 | |
* | Veritiv Corp. | 6,695 | 214 |
* | Engility Holdings Inc. | 14,250 | 207 |
Celadon Group Inc. | 23,029 | 207 | |
Powell Industries Inc. | 7,102 | 188 | |
Titan International Inc. | 36,152 | 183 | |
* | DXP Enterprises Inc. | 10,364 | 141 |
American Science & | |||
Engineering Inc. | 5,804 | 138 | |
* | Vicor Corp. | 13,651 | 113 |
* | Orion Marine Group Inc. | 22,816 | 82 |
CDI Corp. | 11,485 | 56 | |
* | Republic Airways Holdings | ||
Inc. | 16,799 | 11 | |
80,004 | |||
Information Technology (17.0%) | |||
Heartland Payment Systems | |||
Inc. | 30,086 | 2,814 | |
* | ViaSat Inc. | 36,437 | 2,660 |
* | Take-Two Interactive | ||
Software Inc. | 69,264 | 2,493 | |
Blackbaud Inc. | 37,724 | 2,133 | |
Littelfuse Inc. | 18,252 | 2,074 | |
* | CACI International Inc. | ||
Class A | 19,844 | 1,917 | |
* | Cirrus Logic Inc. | 52,157 | 1,837 |
Monolithic Power Systems | |||
Inc. | 29,777 | 1,759 | |
* | Coherent Inc. | 19,821 | 1,677 |
* | Electronics For Imaging Inc. | 38,985 | 1,544 |
* | Rovi Corp. | 67,646 | 1,541 |
* | Stamps.com Inc. | 12,232 | 1,450 |
MKS Instruments Inc. | 43,532 | 1,432 | |
* | Cray Inc. | 33,227 | 1,409 |
* | Sanmina Corp. | 64,175 | 1,322 |
* | ExlService Holdings Inc. | 26,981 | 1,271 |
* | Rambus Inc. | 95,438 | 1,244 |
* | Viavi Solutions Inc. | 190,012 | 1,241 |
* | Cardtronics Inc. | 36,792 | 1,241 |
* | Itron Inc. | 31,036 | 1,236 |
* | MicroStrategy Inc. Class A | 7,641 | 1,229 |
Tessera Technologies Inc. | 39,325 | 1,159 | |
Power Integrations Inc. | 23,301 | 1,068 |
* | LogMeIn Inc. | 20,471 | 1,042 |
* | Progress Software Corp. | 41,025 | 1,035 |
* | NETGEAR Inc. | 25,844 | 1,021 |
CSG Systems International | |||
Inc. | 26,805 | 1,018 | |
* | Semtech Corp. | 52,994 | 1,015 |
* | Advanced Energy Industries | ||
Inc. | 33,667 | 1,004 | |
* | Plexus Corp. | 27,412 | 998 |
* | Anixter International Inc. | 23,156 | 992 |
* | Sykes Enterprises Inc. | 31,926 | 973 |
* | Super Micro Computer Inc. | 29,869 | 970 |
* | II-VI Inc. | 42,934 | 942 |
* | Lumentum Holdings Inc. | 38,533 | 926 |
* | Synchronoss Technologies | ||
Inc. | 32,448 | 909 | |
* | OSI Systems Inc. | 15,001 | 906 |
Methode Electronics Inc. | 31,427 | 898 | |
* | Benchmark Electronics Inc. | 41,252 | 893 |
* | QLogic Corp. | 68,484 | 883 |
* | Bottomline Technologies | ||
de Inc. | 31,121 | 878 | |
NIC Inc. | 49,823 | 876 | |
* | ScanSource Inc. | 21,935 | 820 |
^ | Ebix Inc. | 21,584 | 799 |
* | Insight Enterprises Inc. | 30,352 | 792 |
* | Rogers Corp. | 14,709 | 786 |
* | Virtusa Corp. | 22,163 | 785 |
Badger Meter Inc. | 11,887 | 781 | |
Monotype Imaging | |||
Holdings Inc. | 32,617 | 774 | |
ADTRAN Inc. | 40,540 | 758 | |
* | Cabot Microelectronics Corp. | 19,674 | 757 |
* | Newport Corp. | 31,606 | 720 |
* | Fabrinet | 24,923 | 712 |
* | Ruckus Wireless Inc. | 72,780 | 704 |
MTS Systems Corp. | 12,182 | 669 | |
* | Kulicke & Soffa Industries | ||
Inc. | 58,059 | 656 | |
* | Veeco Instruments Inc. | 33,631 | 624 |
* | Diodes Inc. | 31,935 | 611 |
ManTech International Corp. | |||
Class A | 19,885 | 579 | |
* | Ixia | 49,844 | 569 |
* | CalAmp Corp. | 29,854 | 546 |
Brooks Automation Inc. | 55,258 | 539 | |
* | Perficient Inc. | 28,974 | 523 |
* | Rofin-Sinar Technologies Inc. | 23,180 | 518 |
* | FARO Technologies Inc. | 14,168 | 454 |
* | Mercury Systems Inc. | 27,038 | 442 |
* | Ultratech Inc. | 21,512 | 436 |
* | Interactive Intelligence | ||
Group Inc. | 14,141 | 423 | |
CTS Corp. | 26,557 | 384 | |
TeleTech Holdings Inc. | 13,425 | 372 |
15
S&P Small-Cap 600 Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Epiq Systems Inc. | 26,373 | 361 | |
* | ePlus Inc. | 4,797 | 360 |
* | TTM Technologies Inc. | 52,936 | 347 |
* | VASCO Data Security | ||
International Inc. | 24,463 | 336 | |
* | DTS Inc. | 14,184 | 336 |
* | CEVA Inc. | 16,809 | 330 |
* | Rudolph Technologies Inc. | 25,397 | 329 |
* | XO Group Inc. | 19,469 | 278 |
* | Nanometrics Inc. | 19,745 | 274 |
Comtech | |||
Telecommunications Corp. | 13,187 | 271 | |
* | DHI Group Inc. | 34,763 | 270 |
Checkpoint Systems Inc. | 34,253 | 257 | |
Forrester Research Inc. | 8,077 | 251 | |
* | Tangoe Inc. | 30,676 | 248 |
Park Electrochemical Corp. | 16,736 | 238 | |
Cohu Inc. | 20,505 | 234 | |
Daktronics Inc. | 31,513 | 223 | |
* | Monster Worldwide Inc. | 74,147 | 221 |
* | Exar Corp. | 39,719 | 212 |
* | Harmonic Inc. | 62,039 | 208 |
* | Blucora Inc. | 33,649 | 207 |
* | LivePerson Inc. | 40,198 | 206 |
* | Digi International Inc. | 20,728 | 176 |
Black Box Corp. | 12,388 | 164 | |
* | Electro Scientific Industries | ||
Inc. | 22,235 | 159 | |
* | DSP Group Inc. | 17,422 | 150 |
* | Agilysys Inc. | 12,319 | 129 |
* | Ciber Inc. | 57,667 | 115 |
Bel Fuse Inc. Class B | 7,262 | 108 | |
* | Kopin Corp. | 51,506 | 98 |
* | Liquidity Services Inc. | 19,966 | 93 |
* | QuinStreet Inc. | 28,557 | 85 |
80,737 | |||
Materials (4.4%) | |||
Balchem Corp. | 25,828 | 1,634 | |
HB Fuller Co. | 41,316 | 1,590 | |
Kaiser Aluminum Corp. | 14,541 | 1,114 | |
* | Headwaters Inc. | 60,608 | 1,068 |
Innospec Inc. | 19,655 | 853 | |
Quaker Chemical Corp. | 10,870 | 846 | |
* | Stillwater Mining Co. | 99,168 | 832 |
Neenah Paper Inc. | 13,683 | 829 | |
Chemours Co. | 148,467 | 762 | |
Schweitzer-Mauduit | |||
International Inc. | 24,859 | 751 | |
Stepan Co. | 14,953 | 743 | |
KapStone Paper and | |||
Packaging Corp. | 70,175 | 719 | |
PH Glatfelter Co. | 35,450 | 651 | |
Calgon Carbon Corp. | 42,259 | 593 | |
A Schulman Inc. | 23,894 | 590 | |
* | Clearwater Paper Corp. | 14,502 | 590 |
* | US Concrete Inc. | 10,905 | 586 |
* | Boise Cascade Co. | 31,622 | 529 |
Deltic Timber Corp. | 8,949 | 507 | |
Innophos Holdings Inc. | 15,828 | 459 | |
* | Kraton Performance | ||
Polymers Inc. | 24,891 | 427 | |
Materion Corp. | 16,309 | 425 | |
*,^ | AK Steel Holding Corp. | 146,094 | 418 |
* | Flotek Industries Inc. | 43,888 | 320 |
Haynes International Inc. | 10,222 | 315 | |
* | Koppers Holdings Inc. | 16,719 | 293 |
* | Century Aluminum Co. | 40,306 | 288 |
Tredegar Corp. | 20,334 | 279 | |
American Vanguard Corp. | 21,118 | 266 | |
Rayonier Advanced | |||
Materials Inc. | 34,978 | 261 | |
Hawkins Inc. | 7,832 | 250 | |
SunCoke Energy Inc. | 52,327 | 248 | |
FutureFuel Corp. | 18,748 | 240 | |
TimkenSteel Corp. | 30,967 | 239 | |
Myers Industries Inc. | 18,326 | 220 | |
* | LSB Industries Inc. | 15,878 | 93 |
Olympic Steel Inc. | 7,263 | 78 | |
* | Intrepid Potash Inc. | 45,196 | 45 |
20,951 | |||
Other (0.0%)3 | |||
* | Gerber Scientific Inc. CVR | 4,758 | — |
Telecommunication Services (1.2%) | |||
Cogent Communications | |||
Holdings Inc. | 26,326 | 966 | |
Consolidated | |||
Communications Holdings | |||
Inc. | 41,250 | 965 | |
* | 8x8 Inc. | 72,934 | 848 |
Atlantic Tele-Network Inc. | 8,823 | 635 | |
* | Cincinnati Bell Inc. | 171,579 | 593 |
* | General Communication Inc. | ||
Class A | 24,346 | 465 | |
* | Iridium Communications Inc. | 65,779 | 456 |
Spok Holdings Inc. | 17,308 | 307 | |
* | Lumos Networks Corp. | 18,623 | 229 |
5,464 | |||
Utilities (4.7%) | |||
Piedmont Natural Gas Co. | |||
Inc. | 64,953 | 3,859 | |
New Jersey Resources | |||
Corp. | 70,225 | 2,431 | |
Southwest Gas Corp. | 38,777 | 2,365 | |
NorthWestern Corp. | 39,426 | 2,341 | |
Laclede Group Inc. | 35,483 | 2,325 | |
ALLETE Inc. | 37,444 | 1,985 | |
Avista Corp. | 50,999 | 1,928 | |
South Jersey Industries Inc. | 56,442 | 1,436 |
16
S&P Small-Cap 600 Index Fund
Market | ||
Value• | ||
Shares | ($000) | |
El Paso Electric Co. | 33,090 | 1,352 |
American States Water Co. | 30,063 | 1,275 |
Northwest Natural Gas Co. | 22,422 | 1,119 |
22,416 | ||
Total Common Stocks (Cost $514,003) | 473,927 | |
Temporary Cash Investments (0.8%)1 | ||
Money Market Fund (0.8%) | ||
4,5 Vanguard Market | ||
Liquidity Fund, 0.475% | 3,720,023 | 3,720 |
Face | ||
Amount | ||
($000) | ||
U.S. Government and Agency Obligations (0.0%) | ||
6,7 Federal Home Loan | ||
Bank Discount Notes, | ||
0.572%, 6/22/16 | 200 | 200 |
Total Temporary Cash Investments | ||
(Cost $3,920) | 3,920 | |
Total Investments (100.6%) | ||
(Cost $517,923) | 477,847 |
Amount | |
($000) | |
Other Assets and Liabilities (-0.6%) | |
Other Assets | |
Investment in Vanguard | 42 |
Receivables for Investment Securities Sold | 3,054 |
Receivables for Accrued Income | 619 |
Receivables for Capital Shares Issued | 105 |
Other Assets | 2 |
Total Other Assets | 3,822 |
Liabilities | |
Payables for Investment Securities | |
Purchased | (3,091) |
Collateral for Securities on Loan | (3,132) |
Payables for Capital Shares Redeemed | (64) |
Payables to Vanguard | (127) |
Other Liabilities | (212) |
Total Liabilities | (6,626) |
Net Assets (100%) | 475,043 |
17
S&P Small-Cap 600 Index Fund
At February 29, 2016, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 524,096 |
Undistributed Net Investment Income | 695 |
Accumulated Net Realized Losses | (9,664) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | (40,076) |
Futures Contracts | (8) |
Net Assets | 475,043 |
ETF Shares—Net Assets | |
Applicable to 2,375,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 223,601 |
Net Asset Value Per Share— | |
ETF Shares | $94.15 |
Institutional Shares—Net Assets | |
Applicable to 1,329,346 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 251,442 |
Net Asset Value Per Share— | |
Institutional Shares | $189.15 |
• 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 $3,079,000.
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 100.2% and 0.4%, respectively,
of net assets.
2 The shares and market value of Diamond Foods Inc. (“Diamond”) are adjusted by 7,901 shares and $200,000 to account for the sale on
February 29, 2016, of shares of Snyder’s-Lance Inc. (“Snyder’s”) to be received as a result of Snyder’s acquisition of Diamond. The Snyder’s
shares were sold because Snyder’s is not part of the benchmark index. The sale was settled on March 4, 2016, after receipt of the Snyder’s
shares. The market value includes the residual cash entitlement of $12.50 per share of Diamond.
3 “Other” represents securities that are not classified by the fund’s benchmark index.
4 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the
7-day yield.
5 Includes $3,132,000 of collateral received for securities on loan.
6 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full
faith and credit of the U.S. government.
7 Securities with a value of $200,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
18
S&P Small-Cap 600 Index Fund
Statement of Operations
Six Months Ended | |
February 29, 2016 | |
($000) | |
Investment Income | |
Income | |
Dividends | 3,588 |
Interest1 | 5 |
Securities Lending | 69 |
Total Income | 3,662 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 43 |
Management and Administrative—ETF Shares | 79 |
Management and Administrative—Institutional Shares | 26 |
Marketing and Distribution—ETF Shares | 8 |
Marketing and Distribution—Institutional Shares | 4 |
Custodian Fees | 63 |
Shareholders’ Reports—ETF Shares | 6 |
Shareholders’ Reports—Institutional Shares | 2 |
Total Expenses | 231 |
Net Investment Income | 3,431 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 9,997 |
Futures Contracts | (154) |
Realized Net Gain (Loss) | 9,843 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (38,137) |
Futures Contracts | 62 |
Change in Unrealized Appreciation (Depreciation) | (38,075) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (24,801) |
1 Interest income from an affiliated company of the fund was $3,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
19
S&P Small-Cap 600 Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
February 29, | August 31, | |
2016 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 3,431 | 5,254 |
Realized Net Gain (Loss) | 9,843 | 50,689 |
Change in Unrealized Appreciation (Depreciation) | (38,075) | (52,901) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (24,801) | 3,042 |
Distributions | ||
Net Investment Income | ||
ETF Shares | (2,746) | (1,964) |
Institutional Shares | (3,398) | (2,125) |
Realized Capital Gain | ||
ETF Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (6,144) | (4,089) |
Capital Share Transactions | ||
ETF Shares | 32,366 | 41,744 |
Institutional Shares | 29,934 | 59,230 |
Net Increase (Decrease) from Capital Share Transactions | 62,300 | 100,974 |
Total Increase (Decrease) | 31,355 | 99,927 |
Net Assets | ||
Beginning of Period | 443,688 | 343,761 |
End of Period1 | 475,043 | 443,688 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $695,000 and $3,408,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
20
S&P Small-Cap 600 Index Fund
Financial Highlights
ETF Shares | |||||||
Six Months | Sept. 7, | ||||||
Ended | 20101 to | ||||||
For a Share Outstanding | February 29, | Year Ended August 31, | Aug. 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | |
Net Asset Value, Beginning of Period | $100.42 | $99.81 | $84.98 | $68.12 | $58.84 | $49.81 | |
Investment Operations | |||||||
Net Investment Income | .638 | 1.204 | .976 | 1.024 | .745 | .605 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | (5.660) | .497 | 14.697 | 16.854 | 9.012 | 8.785 | |
Total from Investment Operations | (5.022) | 1.701 | 15.673 | 17.878 | 9.757 | 9.390 | |
Distributions | |||||||
Dividends from Net Investment Income | (1.248) | (1.091) | (.843) | (1.018) | (.477) | (.360) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (1.248) | (1.091) | (.843) | (1.018) | (.477) | (.360) | |
Net Asset Value, End of Period | $94.15 | $100.42 | $99.81 | $84.98 | $68.12 | $58.84 | |
Total Return | -5.07% | 1.69% | 18.47% | 26.57% | 16.66% | 18.81% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $224 | $206 | $165 | $85 | $34 | $12 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.13% | 0.15% | 0.15% | 0.15% | 0.15% | 0.15%2 | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 1.55% | 1.27% | 1.10% | 1.48% | 1.28% | 0.96%2 | |
Portfolio Turnover Rate 3 | 17% | 11% | 16% | 12% | 12% | 42% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
21
S&P Small-Cap 600 Index Fund
Financial Highlights
Institutional Shares | |||||||
Six Months | April 1, | ||||||
Ended | 20111 to | ||||||
For a Share Outstanding | February 29, | Year Ended August 31, | Aug. 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | |
Net Asset Value, Beginning of Period | $201.83 | $200.56 | $170.71 | $136.79 | $118.12 | $132.94 | |
Investment Operations | |||||||
Net Investment Income | 1.334 | 2.545 | 2.049 | 2.131 | 1.558 | .290 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | (11.365) | 1.019 | 29.565 | 33.883 | 18.126 | (15.110) | |
Total from Investment Operations | (10.031) | 3.564 | 31.614 | 36.014 | 19.684 | (14.820) | |
Distributions | |||||||
Dividends from Net Investment Income | (2.649) | (2.294) | (1.764) | (2.094) | (1.014) | — | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (2.649) | (2.294) | (1.764) | (2.094) | (1.014) | — | |
Net Asset Value, End of Period | $189.15 | $201.83 | $200.56 | $170.71 | $136.79 | $118.12 | |
Total Return | -5.05% | 1.77% | 18.57% | 26.65% | 16.75% | -11.15% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $251 | $238 | $179 | $152 | $101 | $73 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.07% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08%2 | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 1.61% | 1.34% | 1.17% | 1.55% | 1.35% | 1.03%2 | |
Portfolio Turnover Rate 3 | 17% | 11% | 16% | 12% | 12% | 42% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
22
S&P Small-Cap 600 Index Fund
Notes to Financial Statements
Vanguard S&P Small-Cap 600 Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. 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 six months ended February 29, 2016, 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.
23
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, 2012–2015), and for the period ended February 29, 2016, 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 subject to termination by the fund at any time, and 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 (“Vanguard”) participate in a $3 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 February 29, 2016, 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.
24
S&P Small-Cap 600 Index Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2016, the fund had contributed to Vanguard capital in the amount of $42,000, representing 0.01% of the fund’s net assets and 0.02% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, 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 February 29, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 473,927 | — | — |
Temporary Cash Investments | 3,720 | 200 | — |
Futures Contracts—Assets1 | 2 | — | — |
Futures Contracts—Liabilities1 | (11) | — | — |
Total | 477,638 | 200 | — |
1 Represents variation margin on the last day of the reporting period. |
25
S&P Small-Cap 600 Index Fund
D. At February 29, 2016, 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 | March 2016 | 18 | 1,857 | (8) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended February 29, 2016, the fund realized $11,408,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2015, the fund had available capital losses totaling $7,914,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2016; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 29, 2016, the cost of investment securities for tax purposes was $517,923,000. Net unrealized depreciation of investment securities for tax purposes was $40,076,000, consisting of unrealized gains of $35,074,000 on securities that had risen in value since their purchase and $75,150,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended February 29, 2016, the fund purchased $143,277,000 of investment securities and sold $82,263,000 of investment securities, other than temporary cash investments. Purchases and sales include $69,939,000 and $42,325,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
26
S&P Small-Cap 600 Index Fund
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
February 29, 2016 | August 31, 2015 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
ETF Shares | ||||
Issued | 82,675 | 825 | 286,089 | 2,750 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (50,309) | (500) | (244,345) | (2,350) |
Net Increase (Decrease)—ETF Shares | 32,366 | 325 | 41,744 | 400 |
Institutional Shares | ||||
Issued | 44,080 | 223 | 95,360 | 461 |
Issued in Lieu of Cash Distributions | 1,960 | 10 | 2,125 | 10 |
Redeemed | (16,106) | (82) | (38,255) | (186) |
Net Increase (Decrease)—Institutional Shares | 29,934 | 151 | 59,230 | 285 |
H. Management has determined that no material events or transactions occurred subsequent to February 29, 2016, that would require recognition or disclosure in these financial statements.
27
S&P Small-Cap 600 Value Index Fund
Fund Profile
As of February 29, 2016
Share-Class Characteristics | ||
ETF | Institutional | |
Shares | Shares | |
Ticker Symbol | VIOV | VSMVX |
Expense Ratio1 | 0.20% | 0.08% |
30-Day SEC Yield | 1.66% | 1.79% |
Portfolio Characteristics | |||
S&P | DJ | ||
SmallCap | U.S. Total | ||
600 Value | Market | ||
Fund | Index | FA Index | |
Number of Stocks | 456 | 451 | 3,906 |
Median Market Cap | $1.2B | $1.2B | $50.4B |
Price/Earnings Ratio | 23.9x | 23.7x | 20.1x |
Price/Book Ratio | 1.5x | 1.5x | 2.5x |
Return on Equity | 9.7% | 9.7% | 17.5% |
Earnings Growth | |||
Rate | 4.0% | 4.0% | 8.4% |
Dividend Yield | 1.9% | 1.9% | 2.2% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 42% | — | — |
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 | 16.7% | 16.6% | 13.6% |
Consumer Staples | 3.1 | 3.1 | 9.4 |
Energy | 3.1 | 3.1 | 5.9 |
Financials | 21.8 | 21.9 | 17.4 |
Health Care | 5.6 | 5.5 | 14.2 |
Industrials | 18.6 | 18.7 | 10.7 |
Information | |||
Technology | 16.1 | 16.1 | 19.7 |
Materials | 6.1 | 6.2 | 3.1 |
Telecommunication | |||
Services | 1.1 | 0.9 | 2.5 |
Utilities | 7.8 | 7.9 | 3.5 |
Volatility Measures | ||
S&P | DJ | |
SmallCap | U.S. Total | |
600 Value | Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.74 |
Beta | 1.00 | 1.07 |
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) | ||
New Jersey Resources | ||
Corp. | Gas Utilities | 1.1% |
Southwest Gas Corp. | Gas Utilities | 1.0 |
EMCOR Group Inc. | Construction & | |
Engineering | 1.0 | |
NorthWestern Corp. | Multi-Utilities | 1.0 |
Laclede Group Inc. | Gas Utilities | 1.0 |
ALLETE Inc. | Electric Utilities | 0.9 |
Avista Corp. | Multi-Utilities | 0.8 |
CACI International Inc. | IT Consulting & | |
Other Services | 0.8 | |
EnerSys | Electrical | |
Components & | ||
Equipment | 0.8 | |
Kite Realty Group Trust | Retail REITs | 0.8 |
Top Ten | 9.2% | |
The holdings listed exclude any temporary cash investments and equity index products. |
Investment Focus
months ended February 29, 2016, the annualized expense ratios were 0.18% for ETF Shares and 0.07% for Institutional Shares.
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.
Fiscal-Year Total Returns (%): September 7, 2010, Through February 29, 2016
Average Annual Total Returns: Periods Ended December 31, 2015
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
Inception | One | Five | Since | |
Date | Year | Years | Inception | |
ETF Shares | 9/7/2010 | |||
Market Price | -6.90% | 10.13% | 13.87% | |
Net Asset Value | -6.84 | 10.16 | 13.88 | |
Institutional Shares | 11/19/2014 | -6.72 | — | -2.75 |
See Financial Highlights for dividend and capital gains information.
29
S&P Small-Cap 600 Value Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 29, 2016
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 (16.7%) | |||
Wolverine World Wide Inc. | 41,981 | 795 | |
Gannett Co. Inc. | 46,937 | 716 | |
Marriott Vacations | |||
Worldwide Corp. | 11,027 | 668 | |
* | Genesco Inc. | 9,013 | 595 |
Children’s Place Inc. | 8,288 | 565 | |
Group 1 Automotive Inc. | 9,184 | 512 | |
Caleres Inc. | 17,835 | 505 | |
* | Express Inc. | 29,333 | 505 |
* | Five Below Inc. | 13,126 | 503 |
* | Steven Madden Ltd. | 11,489 | 404 |
Cato Corp. Class A | 10,672 | 386 | |
Scholastic Corp. | 10,850 | 380 | |
DineEquity Inc. | 4,037 | 369 | |
Bob Evans Farms Inc. | 8,515 | 365 | |
^ | Buckle Inc. | 11,485 | 365 |
Finish Line Inc. Class A | 18,306 | 334 | |
* | Hibbett Sports Inc. | 9,295 | 330 |
* | Vitamin Shoppe Inc. | 11,881 | 328 |
* | Asbury Automotive Group | ||
Inc. | 5,592 | 327 | |
Core-Mark Holding Co. Inc. | 4,326 | 319 | |
* | Tailored Brands Inc. | 19,725 | 305 |
Ethan Allen Interiors Inc. | 10,663 | 304 | |
* | G-III Apparel Group Ltd. | 5,721 | 302 |
* | Crocs Inc. | 30,043 | 294 |
Texas Roadhouse Inc. | |||
Class A | 6,694 | 279 | |
Rent-A-Center Inc. | 21,645 | 276 | |
La-Z-Boy Inc. | 10,438 | 254 | |
* | Belmond Ltd. Class A | 27,425 | 252 |
Sonic Automotive Inc. | |||
Class A | 13,095 | 251 | |
Barnes & Noble Inc. | 25,254 | 245 | |
Standard Motor Products Inc. | 8,039 | 242 | |
* | Tumi Holdings Inc. | 11,715 | 231 |
* | Regis Corp. | 15,618 | 224 |
* | Dorman Products Inc. | 4,154 | 210 |
EW Scripps Co. Class A | 12,151 | 210 | |
* | iRobot Corp. | 6,651 | 208 |
Interval Leisure Group Inc. | 15,973 | 207 | |
Capella Education Co. | 4,424 | 205 | |
Fred’s Inc. Class A | 14,313 | 205 | |
* | Strayer Education Inc. | 4,494 | 203 |
Movado Group Inc. | 6,695 | 196 | |
Superior Industries | |||
International Inc. | 9,454 | 187 | |
Oxford Industries Inc. | 2,504 | 182 | |
* | Red Robin Gourmet | ||
Burgers Inc. | 2,789 | 182 | |
* | TopBuild Corp. | 6,467 | 175 |
* | FTD Cos. Inc. | 7,497 | 174 |
* | Iconix Brand Group Inc. | 19,772 | 172 |
* | Barnes & Noble Education | ||
Inc. | 15,951 | 170 | |
* | Zumiez Inc. | 8,171 | 169 |
* | Universal Electronics Inc. | 3,140 | 167 |
Haverty Furniture Cos. Inc. | 8,213 | 160 | |
* | Biglari Holdings Inc. | 430 | 159 |
* | BJ’s Restaurants Inc. | 3,294 | 145 |
* | Select Comfort Corp. | 7,865 | 141 |
* | Unifi Inc. | 6,113 | 137 |
* | Ruby Tuesday Inc. | 25,316 | 134 |
* | Lumber Liquidators Holdings | ||
Inc. | 11,072 | 125 | |
* | Tuesday Morning Corp. | 18,054 | 122 |
Callaway Golf Co. | 12,819 | 114 | |
Stage Stores Inc. | 13,053 | 110 | |
Big 5 Sporting Goods Corp. | 7,525 | 103 | |
* | Motorcar Parts of America | ||
Inc. | 2,988 | 103 | |
* | American Public Education | ||
Inc. | 6,631 | 102 | |
* | Vera Bradley Inc. | 5,861 | 97 |
* | M/I Homes Inc. | 5,430 | 95 |
Arctic Cat Inc. | 5,291 | 93 |
30
S&P Small-Cap 600 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
* | Scientific Games Corp. | ||
Class A | 10,822 | 92 | |
Kirkland’s Inc. | 6,409 | 92 | |
* | Perry Ellis International Inc. | 4,817 | 89 |
Stein Mart Inc. | 11,905 | 88 | |
Winnebago Industries Inc. | 4,613 | 86 | |
Outerwall Inc. | 2,743 | 86 | |
* | MarineMax Inc. | 4,578 | 81 |
* | Career Education Corp. | 27,681 | 70 |
Marcus Corp. | 3,471 | 65 | |
Harte-Hanks Inc. | 19,200 | 59 | |
PetMed Express Inc. | 3,119 | 51 | |
Universal Technical Institute | |||
Inc. | 8,551 | 33 | |
* | VOXX International Corp. | ||
Class A | 8,115 | 32 | |
* | Sizmek Inc. | 8,120 | 26 |
18,842 | |||
Consumer Staples (3.1%) | |||
Sanderson Farms Inc. | 8,047 | 734 | |
* | Darling Ingredients Inc. | 67,212 | 606 |
Universal Corp. | 9,269 | 505 | |
SpartanNash Co. | 15,340 | 421 | |
Andersons Inc. | 10,631 | 286 | |
J&J Snack Foods Corp. | 2,107 | 233 | |
* | Central Garden & Pet Co. | ||
Class A | 13,350 | 181 | |
* | Diamond Foods Inc. | 4,763 | 180 |
Inter Parfums Inc. | 6,968 | 176 | |
* | Seneca Foods Corp. Class A | 2,453 | 82 |
Medifast Inc. | 2,089 | 63 | |
* | Central Garden & Pet Co. | 4,024 | 56 |
Snyder’s-Lance Inc. | 61 | 2 | |
3,525 | |||
Energy (3.1%) | |||
* | SEACOR Holdings Inc. | 6,513 | 315 |
* | PDC Energy Inc. | 4,577 | 229 |
Bristow Group Inc. | 14,243 | 217 | |
Green Plains Inc. | 14,552 | 198 | |
* | Exterran Corp. | 14,363 | 196 |
* | Carrizo Oil & Gas Inc. | 8,865 | 191 |
Atwood Oceanics Inc. | 23,774 | 164 | |
CARBO Ceramics Inc. | 7,992 | 160 | |
US Silica Holdings Inc. | 8,290 | 159 | |
* | Helix Energy Solutions | ||
Group Inc. | 40,329 | 157 | |
* | Newpark Resources Inc. | 34,397 | 128 |
* | REX American Resources | ||
Corp. | 2,347 | 119 | |
Tesco Corp. | 15,898 | 115 | |
Archrock Inc. | 28,400 | 113 | |
* | Hornbeck Offshore Services | ||
Inc. | 13,021 | 112 | |
* | Unit Corp. | 20,618 | 110 |
Tidewater Inc. | 19,144 | 110 | |
* | Matrix Service Co. | 5,188 | 95 |
* | TETRA Technologies Inc. | 15,025 | 76 |
* | Era Group Inc. | 7,852 | 72 |
* | Geospace Technologies | ||
Corp. | 5,358 | 60 | |
* | Bill Barrett Corp. | 20,372 | 58 |
Gulf Island Fabrication Inc. | 5,468 | 49 | |
* | Cloud Peak Energy Inc. | 25,125 | 43 |
* | Contango Oil & Gas Co. | 7,082 | 43 |
* | Northern Oil and Gas Inc. | 11,369 | 38 |
* | Gulfmark Offshore Inc. | 10,431 | 37 |
* | Pioneer Energy Services | ||
Corp. | 26,461 | 36 | |
* | Bonanza Creek Energy Inc. | 16,662 | 31 |
* | Basic Energy Services Inc. | 15,938 | 28 |
* | Stone Energy Corp. | 16,797 | 26 |
* | Rex Energy Corp. | 19,861 | 12 |
3,497 | |||
Financials (21.8%) | |||
Kite Realty Group Trust | 33,998 | 915 | |
GEO Group Inc. | 30,094 | 874 | |
UMB Financial Corp. | 17,096 | 840 | |
Wintrust Financial Corp. | 19,734 | 839 | |
Lexington Realty Trust | 86,416 | 669 | |
Chesapeake Lodging Trust | 24,341 | 619 | |
Medical Properties Trust Inc. | 52,403 | 606 | |
Astoria Financial Corp. | 37,010 | 551 | |
Sabra Health Care REIT Inc. | 26,576 | 529 | |
Northwest Bancshares Inc. | 41,524 | 523 | |
Old National Bancorp | 46,728 | 522 | |
Horace Mann Educators | |||
�� | Corp. | 16,607 | 512 |
First Cash Financial | |||
Services Inc. | 11,345 | 478 | |
ProAssurance Corp. | 9,540 | 470 | |
American Equity Investment | |||
Life Holding Co. | 33,274 | 453 | |
Provident Financial Services | |||
Inc. | 24,012 | 446 | |
Parkway Properties Inc. | 33,249 | 445 | |
First Financial Bancorp | 25,152 | 422 | |
United Bankshares Inc. | 11,885 | 416 | |
* | Green Dot Corp. Class A | 19,197 | 397 |
Capstead Mortgage Corp. | 39,098 | 380 | |
* | Navigators Group Inc. | 4,469 | 362 |
Selective Insurance Group | |||
Inc. | 10,735 | 361 | |
Boston Private Financial | |||
Holdings Inc. | 34,132 | 360 | |
Cash America International | |||
Inc. | 10,369 | 349 | |
Franklin Street Properties | |||
Corp. | 36,378 | 346 |
31
S&P Small-Cap 600 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Infinity Property & Casualty | |||
Corp. | 4,592 | 343 | |
DiamondRock Hospitality | |||
Co. | 37,671 | 335 | |
EastGroup Properties Inc. | 6,166 | 334 | |
Pennsylvania REIT | 17,218 | 330 | |
Safety Insurance Group Inc. | 5,726 | 317 | |
MB Financial Inc. | 10,171 | 310 | |
Stewart Information Services | |||
Corp. | 9,070 | 306 | |
Cousins Properties Inc. | 34,938 | 303 | |
Community Bank System Inc. | 7,803 | 289 | |
Government Properties | |||
Income Trust | 19,439 | 289 | |
PS Business Parks Inc. | 3,015 | 277 | |
* | Texas Capital Bancshares Inc. | 8,229 | 266 |
Westamerica Bancorporation | 5,830 | 262 | |
* | Piper Jaffray Cos. | 6,193 | 262 |
Glacier Bancorp Inc. | 10,549 | 251 | |
Interactive Brokers Group Inc. | 7,325 | 250 | |
National Penn Bancshares | |||
Inc. | 22,322 | 248 | |
LTC Properties Inc. | 5,511 | 245 | |
Sterling Bancorp | 16,059 | 231 | |
NBT Bancorp Inc. | 8,824 | 228 | |
Southside Bancshares Inc. | 9,620 | 225 | |
TrustCo Bank Corp. NY | 38,769 | 224 | |
* | Encore Capital Group Inc. | 9,580 | 223 |
Dime Community | |||
Bancshares Inc. | 12,469 | 212 | |
CVB Financial Corp. | 12,933 | 201 | |
American Assets Trust Inc. | 4,984 | 185 | |
Columbia Banking System | |||
Inc. | 6,369 | 184 | |
* | PRA Group Inc. | 7,091 | 173 |
Greenhill & Co. Inc. | 7,243 | 167 | |
* | INTL. FCStone Inc. | 6,295 | 161 |
RE/MAX Holdings Inc. | |||
Class A | 4,885 | 157 | |
United Fire Group Inc. | 3,873 | 156 | |
United Insurance Holdings | |||
Corp. | 7,305 | 143 | |
Independent Bank Corp. | 3,110 | 134 | |
S&T Bancorp Inc. | 5,122 | 129 | |
* | World Acceptance Corp. | 3,452 | 127 |
* | First BanCorp | 47,304 | 127 |
Virtus Investment Partners | |||
Inc. | 1,349 | 124 | |
Brookline Bancorp Inc. | 11,477 | 121 | |
Agree Realty Corp. | 3,247 | 120 | |
United Community Banks | |||
Inc. | 6,894 | 119 | |
City Holding Co. | 2,679 | 118 | |
Investment Technology | |||
Group Inc. | 6,157 | 113 |
First Commonwealth | |||
Financial Corp. | 12,686 | 109 | |
Summit Hotel Properties Inc. | 9,898 | 107 | |
OFG Bancorp | 17,889 | 104 | |
Urstadt Biddle Properties Inc. | |||
Class A | 5,081 | 100 | |
Central Pacific Financial Corp. | 4,728 | 94 | |
Saul Centers Inc. | 1,865 | 91 | |
Wilshire Bancorp Inc. | 9,235 | 91 | |
Universal Health Realty | |||
Income Trust | 1,748 | 91 | |
Tompkins Financial Corp. | 1,543 | 87 | |
Cedar Realty Trust Inc. | 11,882 | 81 | |
Oritani Financial Corp. | 4,733 | 80 | |
* | Forestar Group Inc. | 7,528 | 73 |
Cardinal Financial Corp. | 3,673 | 71 | |
* | Enova International Inc. | 10,882 | 63 |
Getty Realty Corp. | 3,430 | 62 | |
* | EZCORP Inc. Class A | 21,154 | 61 |
* | First NBC Bank Holding Co. | 2,581 | 61 |
CareTrust REIT Inc. | 5,298 | 60 | |
Calamos Asset Management | |||
Inc. Class A | 7,036 | 60 | |
HCI Group Inc. | 1,553 | 55 | |
* | eHealth Inc. | 4,558 | 46 |
24,650 | |||
Health Care (5.6%) | |||
* | Magellan Health Inc. | 10,435 | 657 |
* | HMS Holdings Corp. | 35,093 | 462 |
Select Medical Holdings | |||
Corp. | 42,823 | 419 | |
* | Haemonetics Corp. | 12,004 | 385 |
* | Medicines Co. | 11,617 | 374 |
Kindred Healthcare Inc. | 34,191 | 359 | |
* | PharMerica Corp. | 12,421 | 287 |
* | Air Methods Corp. | 6,563 | 238 |
* | ExamWorks Group Inc. | 8,126 | 237 |
Analogic Corp. | 2,487 | 187 | |
* | Amedisys Inc. | 4,972 | 183 |
CONMED Corp. | 4,106 | 163 | |
* | ICU Medical Inc. | 1,763 | 162 |
* | Enanta Pharmaceuticals Inc. | 5,353 | 152 |
Invacare Corp. | 12,213 | 148 | |
* | Greatbatch Inc. | 3,891 | 147 |
* | Healthways Inc. | 12,811 | 135 |
Abaxis Inc. | 3,404 | 134 | |
Quality Systems Inc. | 8,355 | 130 | |
* | HealthEquity Inc. | 6,114 | 127 |
Computer Programs & | |||
Systems Inc. | 2,179 | 123 | |
Ensign Group Inc. | 5,853 | 120 | |
* | AngioDynamics Inc. | 10,832 | 118 |
Meridian Bioscience Inc. | 5,454 | 110 | |
* | AMAG Pharmaceuticals Inc. | 4,022 | 106 |
* | Providence Service Corp. | 2,211 | 105 |
32
S&P Small-Cap 600 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
* | Anika Therapeutics Inc. | 2,267 | 102 |
* | Adeptus Health Inc. Class A | 1,658 | 94 |
* | Inogen Inc. | 2,220 | 76 |
* | Spectrum Pharmaceuticals | ||
Inc. | 16,163 | 73 | |
* | Sagent Pharmaceuticals Inc. | 5,067 | 72 |
CryoLife Inc. | 5,489 | 59 | |
* | ANI Pharmaceuticals Inc. | 1,555 | 51 |
Landauer Inc. | 1,335 | 39 | |
* | Hanger Inc. | 6,959 | 17 |
6,351 | |||
Industrials (18.6%) | |||
EMCOR Group Inc. | 25,592 | 1,174 | |
EnerSys | 18,114 | 930 | |
ABM Industries Inc. | 22,921 | 720 | |
Tetra Tech Inc. | 24,084 | 663 | |
UniFirst Corp. | 6,224 | 656 | |
Applied Industrial | |||
Technologies Inc. | 16,046 | 618 | |
Mueller Industries Inc. | 23,321 | 611 | |
* | Moog Inc. Class A | 13,595 | 587 |
Brink’s Co. | 19,946 | 583 | |
Actuant Corp. Class A | 24,355 | 570 | |
* | Hub Group Inc. Class A | 14,565 | 538 |
Kaman Corp. | 11,053 | 486 | |
EnPro Industries Inc. | 8,959 | 465 | |
Essendant Inc. | 15,256 | 450 | |
* | WageWorks Inc. | 8,799 | 424 |
Briggs & Stratton Corp. | 18,044 | 384 | |
SkyWest Inc. | 20,707 | 374 | |
* | Atlas Air Worldwide | ||
Holdings Inc. | 10,050 | 364 | |
Watts Water Technologies | |||
Inc. Class A | 6,772 | 349 | |
Astec Industries Inc. | 7,690 | 334 | |
Lindsay Corp. | 4,606 | 333 | |
Barnes Group Inc. | 9,684 | 332 | |
* | SPX FLOW Inc. | 16,765 | 314 |
Cubic Corp. | 8,909 | 313 | |
Knight Transportation Inc. | 12,795 | 310 | |
Encore Wire Corp. | 8,430 | 305 | |
AAR Corp. | 13,499 | 287 | |
Franklin Electric Co. Inc. | 9,261 | 276 | |
G&K Services Inc. Class A | 4,164 | 276 | |
Greenbrier Cos. Inc. | 10,615 | 270 | |
CIRCOR International Inc. | 6,723 | 270 | |
* | Aegion Corp. Class A | 14,783 | 268 |
* | Saia Inc. | 10,180 | 267 |
* | Echo Global Logistics Inc. | 10,474 | 267 |
Brady Corp. Class A | 9,783 | 256 | |
* | Chart Industries Inc. | 12,454 | 251 |
Mobile Mini Inc. | 8,581 | 247 | |
Viad Corp. | 8,209 | 233 | |
Hillenbrand Inc. | 7,942 | 223 | |
Heartland Express Inc. | 12,077 | 222 |
Simpson Manufacturing Co. | |||
Inc. | 6,357 | 216 | |
Albany International Corp. | 5,870 | 215 | |
* | Aerovironment Inc. | 8,430 | 210 |
Kelly Services Inc. Class A | 12,109 | 209 | |
SPX Corp. | 16,672 | 197 | |
ArcBest Corp. | 9,971 | 195 | |
* | MYR Group Inc. | 8,424 | 189 |
ESCO Technologies Inc. | 5,170 | 184 | |
General Cable Corp. | 19,974 | 172 | |
Tennant Co. | 3,635 | 169 | |
* | Gibraltar Industries Inc. | 6,627 | 164 |
Marten Transport Ltd. | 9,755 | 160 | |
Forward Air Corp. | 3,906 | 159 | |
* | Roadrunner Transportation | ||
Systems Inc. | 12,352 | 144 | |
Insperity Inc. | 2,997 | 142 | |
* | Navigant Consulting Inc. | 9,138 | 139 |
Harsco Corp. | 32,724 | 124 | |
Standex International Corp. | 1,717 | 121 | |
* | Aerojet Rocketdyne | ||
Holdings Inc. | 7,613 | 118 | |
* | Veritiv Corp. | 3,327 | 106 |
* | Engility Holdings Inc. | 7,044 | 102 |
Celadon Group Inc. | 11,349 | 102 | |
Powell Industries Inc. | 3,579 | 95 | |
Titan International Inc. | 17,756 | 90 | |
Quanex Building Products | |||
Corp. | 5,122 | 88 | |
Federal Signal Corp. | 7,342 | 87 | |
Resources Connection Inc. | 6,066 | 84 | |
* | DXP Enterprises Inc. | 5,159 | 70 |
National Presto Industries | |||
Inc. | 811 | 66 | |
American Science & | |||
Engineering Inc. | 1,821 | 43 | |
* | Orion Marine Group Inc. | 11,152 | 40 |
CDI Corp. | 5,966 | 29 | |
* | Vicor Corp. | 2,015 | 17 |
* | Republic Airways Holdings | ||
Inc. | 8,257 | 5 | |
21,051 | |||
Information Technology (16.1%) | |||
* | CACI International Inc. | ||
Class A | 9,891 | 956 | |
* | Rovi Corp. | 33,721 | 768 |
* | Sanmina Corp. | 31,991 | 659 |
* | Viavi Solutions Inc. | 94,690 | 618 |
* | Itron Inc. | 15,463 | 616 |
* | ViaSat Inc. | 6,902 | 504 |
* | Plexus Corp. | 13,636 | 496 |
* | Anixter International Inc. | 11,569 | 496 |
* | Benchmark Electronics Inc. | 20,617 | 446 |
* | QLogic Corp. | 34,207 | 441 |
* | ScanSource Inc. | 10,920 | 408 |
33
S&P Small-Cap 600 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
* | Insight Enterprises Inc. | 15,134 | 395 |
* | Rogers Corp. | 7,319 | 391 |
ADTRAN Inc. | 20,221 | 378 | |
* | Cabot Microelectronics | ||
Corp. | 9,817 | 378 | |
* | Coherent Inc. | 4,440 | 376 |
* | Newport Corp. | 15,740 | 358 |
MKS Instruments Inc. | 10,646 | 350 | |
* | Kulicke & Soffa Industries | ||
Inc. | 28,839 | 326 | |
Littelfuse Inc. | 2,820 | 320 | |
* | Veeco Instruments Inc. | 16,700 | 310 |
* | Semtech Corp. | 16,148 | 309 |
* | Diodes Inc. | 15,857 | 304 |
* | MicroStrategy Inc. Class A | 1,826 | 294 |
ManTech International Corp. | |||
Class A | 9,938 | 289 | |
Brooks Automation Inc. | 27,586 | 269 | |
* | Lumentum Holdings Inc. | 11,161 | 268 |
* | Rofin-Sinar Technologies Inc. | 11,565 | 258 |
* | Super Micro Computer Inc. | 7,460 | 242 |
* | Electronics For Imaging Inc. | 6,029 | 239 |
* | FARO Technologies Inc. | 7,091 | 227 |
* | Ultratech Inc. | 10,775 | 219 |
* | Ruckus Wireless Inc. | 22,104 | 214 |
* | Bottomline Technologies de | ||
Inc. | 7,317 | 206 | |
* | Progress Software Corp. | 8,002 | 202 |
CTS Corp. | 13,335 | 193 | |
Power Integrations Inc. | 4,172 | 191 | |
* | NETGEAR Inc. | 4,764 | 188 |
* | Advanced Energy Industries | ||
Inc. | 6,205 | 185 | |
Epiq Systems Inc. | 13,181 | 180 | |
* | Cardtronics Inc. | 5,138 | 173 |
* | TTM Technologies Inc. | 26,327 | 173 |
MTS Systems Corp. | 3,092 | 170 | |
Monotype Imaging Holdings | |||
Inc. | 6,685 | 159 | |
* | Sykes Enterprises Inc. | 4,612 | 141 |
Comtech | |||
Telecommunications Corp. | 6,600 | 136 | |
Checkpoint Systems Inc. | 17,174 | 129 | |
Badger Meter Inc. | 1,958 | 129 | |
CSG Systems International | |||
Inc. | 3,342 | 127 | |
* | Tangoe Inc. | 15,317 | 124 |
* | Perficient Inc. | 6,788 | 123 |
Park Electrochemical Corp. | 8,282 | 118 | |
* | Interactive Intelligence | ||
Group Inc. | 3,892 | 116 | |
Daktronics Inc. | 15,812 | 112 | |
* | CalAmp Corp. | 5,813 | 106 |
* | Ixia | 9,179 | 105 |
* | Harmonic Inc. | 31,065 | 104 |
* | Blucora Inc. | 16,772 | 103 |
* | ePlus Inc. | 1,145 | 86 |
Black Box Corp. | 6,262 | 83 | |
* | Nanometrics Inc. | 5,909 | 82 |
* | Electro Scientific Industries | ||
Inc. | 11,248 | 80 | |
* | VASCO Data Security | ||
International Inc. | 5,802 | 80 | |
* | Mercury Systems Inc. | 4,720 | 77 |
* | DSP Group Inc. | 8,811 | 76 |
* | DTS Inc. | 3,093 | 73 |
* | LivePerson Inc. | 13,074 | 67 |
* | Ciber Inc. | 29,280 | 59 |
Forrester Research Inc. | 1,861 | 58 | |
* | XO Group Inc. | 3,963 | 57 |
* | Exar Corp. | 10,495 | 56 |
* | Rudolph Technologies Inc. | 4,198 | 54 |
* | Monster Worldwide Inc. | 18,228 | 54 |
Bel Fuse Inc. Class B | 3,602 | 53 | |
TeleTech Holdings Inc. | 1,814 | 50 | |
* | Liquidity Services Inc. | 10,007 | 47 |
* | DHI Group Inc. | 5,855 | 46 |
* | QuinStreet Inc. | 14,598 | 43 |
Cohu Inc. | 3,750 | 43 | |
* | Digi International Inc. | 4,349 | 37 |
* | Agilysys Inc. | 3,507 | 37 |
18,213 | |||
Materials (6.1%) | |||
HB Fuller Co. | 20,630 | 794 | |
* | Stillwater Mining Co. | 49,369 | 414 |
Chemours Co. | 73,843 | 379 | |
Schweitzer-Mauduit | |||
International Inc. | 12,433 | 376 | |
Stepan Co. | 7,447 | 370 | |
PH Glatfelter Co. | 17,706 | 325 | |
A Schulman Inc. | 11,949 | 295 | |
* | Clearwater Paper Corp. | 7,249 | 295 |
Calgon Carbon Corp. | 20,988 | 294 | |
* | Boise Cascade Co. | 15,833 | 265 |
Innophos Holdings Inc. | 7,842 | 227 | |
Quaker Chemical Corp. | 2,821 | 220 | |
* | Kraton Performance | ||
Polymers Inc. | 12,442 | 214 | |
Materion Corp. | 8,172 | 213 | |
Kaiser Aluminum Corp. | 2,754 | 211 | |
Neenah Paper Inc. | 2,874 | 174 | |
* | Flotek Industries Inc. | 21,911 | 160 |
Haynes International Inc. | 5,085 | 157 | |
* | Koppers Holdings Inc. | 8,399 | 147 |
* | Century Aluminum Co. | 20,255 | 145 |
Tredegar Corp. | 10,153 | 139 | |
Rayonier Advanced Materials | |||
Inc. | 17,530 | 131 | |
Hawkins Inc. | 3,881 | 124 | |
SunCoke Energy Inc. | 26,108 | 123 |
34
S&P Small-Cap 600 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
KapStone Paper and | |||
Packaging Corp. | 11,921 | 122 | |
TimkenSteel Corp. | 15,490 | 120 | |
FutureFuel Corp. | 9,297 | 119 | |
Myers Industries Inc. | 9,094 | 109 | |
* | AK Steel Holding Corp. | 36,388 | 104 |
American Vanguard Corp. | 5,445 | 69 | |
* | LSB Industries Inc. | 8,027 | 47 |
Olympic Steel Inc. | 3,714 | 40 | |
* | Intrepid Potash Inc. | 22,985 | 23 |
6,945 | |||
Other (0.0%)2 | |||
* | Gerber Scientific Inc. CVR | 1,604 | — |
Telecommunication Services (1.1%) | |||
Consolidated | |||
Communications Holdings | |||
Inc. | 11,535 | 270 | |
* | Iridium Communications Inc. | 32,906 | 228 |
Cogent Communications | |||
Holdings Inc. | 4,453 | 163 | |
Atlantic Tele-Network Inc. | 2,199 | 158 | |
Spok Holdings Inc. | 8,580 | 152 | |
* | Lumos Networks Corp. | 9,355 | 115 |
* | Cincinnati Bell Inc. | 29,961 | 104 |
1,190 | |||
Utilities (7.8%) | |||
New Jersey Resources Corp. | 35,006 | 1,212 | |
Southwest Gas Corp. | 19,330 | 1,179 | |
NorthWestern Corp. | 19,653 | 1,167 | |
Laclede Group Inc. | 17,687 | 1,159 | |
ALLETE Inc. | 18,665 | 990 | |
Avista Corp. | 25,422 | 961 | |
South Jersey Industries Inc. | 28,179 | 717 | |
El Paso Electric Co. | 16,495 | 674 | |
Northwest Natural Gas Co. | 11,168 | 557 | |
American States Water Co. | 5,691 | 241 | |
8,857 | |||
Total Common Stocks (Cost $129,697) | 113,121 |
Temporary Cash Investments (0.3%)1 | |||
Money Market Fund (0.1%) | |||
3,4 | Vanguard Market | ||
Liquidity Fund, 0.475% | 148,000 | 148 | |
Face | |||
Amount | |||
($000) | |||
U.S. Government and Agency Obligations (0.2%) | |||
5 | Federal Home Loan | ||
Bank Discount Notes, | |||
0.466%, 3/7/16 | 100 | 100 | |
5,6 | Federal Home Loan | ||
Bank Discount Notes, | |||
0.501%, 5/3/16 | 100 | 100 | |
200 | |||
Total Temporary Cash Investments | |||
(Cost $349) | 348 | ||
Total Investments (100.3%) | |||
(Cost $130,046) | 113,469 | ||
Amount | |||
($000) | |||
Other Assets and Liabilities (-0.3%) | |||
Other Assets | |||
Investment in Vanguard | 10 | ||
Receivables for Investment Securities Sold | 664 | ||
Receivables for Accrued Income | 108 | ||
Other Assets | 5 | ||
Total Other Assets | 787 | ||
Liabilities | |||
Payables for Investment Securities Purchased (399) | |||
Collateral for Securities on Loan | (148) | ||
Payables to Vanguard | (21) | ||
Other Liabilities | (578) | ||
Total Liabilities | (1,146) | ||
Net Assets (100%) | 113,110 |
35
S&P Small-Cap 600 Value Index Fund
At February 29, 2016, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 135,819 |
Undistributed Net Investment Income | 180 |
Accumulated Net Realized Losses | (6,313) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | (16,577) |
Futures Contracts | 1 |
Net Assets | 113,110 |
ETF Shares—Net Assets | |
Applicable to 1,075,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 96,200 |
Net Asset Value Per Share— | |
ETF Shares | $89.49 |
Institutional Shares—Net Assets | |
Applicable to 90,360 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 16,910 |
Net Asset Value Per Share— | |
Institutional Shares | $187.14 |
• 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 $143,000.
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 0.2%, respectively,
of net assets.
2 “Other” represents securities that are not classified by the fund’s benchmark index.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the
7-day yield.
4 Includes $148,000 of collateral received for securities on loan.
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.
6 Securities with a value of $100,000 have been segregated as initial margin for open futures contracts.
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
Six Months Ended | |
February 29, 2016 | |
($000) | |
Investment Income | |
Income | |
Dividends | 903 |
Securities Lending | 4 |
Total Income | 907 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 10 |
Management and Administrative—ETF Shares | 48 |
Management and Administrative—Institutional Shares | 1 |
Marketing and Distribution—ETF Shares | 3 |
Marketing and Distribution—Institutional Shares | — |
Custodian Fees | 21 |
Shareholders’ Reports—ETF Shares | 4 |
Shareholders’ Reports—Institutional Shares | — |
Total Expenses | 87 |
Net Investment Income | 820 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 3,022 |
Futures Contracts | (12) |
Realized Net Gain (Loss) | 3,010 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (8,605) |
Futures Contracts | 18 |
Change in Unrealized Appreciation (Depreciation) | (8,587) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (4,757) |
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
Six Months Ended | Year Ended | |
February 29, | August 31, | |
2016 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 820 | 1,424 |
Realized Net Gain (Loss) | 3,010 | 4,054 |
Change in Unrealized Appreciation (Depreciation) | (8,587) | (9,087) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (4,757) | (3,609) |
Distributions | ||
Net Investment Income | ||
ETF Shares | (1,295) | (1,091) |
Institutional Shares | (219) | (120) |
Realized Capital Gain | ||
ETF Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (1,514) | (1,211) |
Capital Share Transactions | ||
ETF Shares | 6,923 | 5,043 |
Institutional Shares | 3,004 | 15,248 |
Net Increase (Decrease) from Capital Share Transactions | 9,927 | 20,291 |
Total Increase (Decrease) | 3,656 | 15,471 |
Net Assets | ||
Beginning of Period | 109,454 | 93,983 |
End of Period1 | 113,110 | 109,454 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $180,000 and $874,000. |
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 | |||||||
Six Months | Sept. 7, | ||||||
Ended | 20101 to | ||||||
For a Share Outstanding | February 29, | Year Ended August 31, | Aug. 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | |
Net Asset Value, Beginning of Period | $94.66 | $98.93 | $82.76 | $65.79 | $56.68 | $49.79 | |
Investment Operations | |||||||
Net Investment Income | .628 | 1.337 | 1.3552 | 1.146 | .960 | .741 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | (4.561) | (4.323) | 15.685 | 16.731 | 8.801 | 6.519 | |
Total from Investment Operations | (3.933) | (2.986) | 17.040 | 17.877 | 9.761 | 7.260 | |
Distributions | |||||||
Dividends from Net Investment Income | (1.237) | (1.284) | (.870) | (.907) | (.651) | (.370) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (1.237) | (1.284) | (.870) | (.907) | (.651) | (.370) | |
Net Asset Value, End of Period | $89.49 | $94.66 | $98.93 | $82.76 | $65.79 | $56.68 | |
Total Return | -4.20% | -3.09% | 20.64% | 27.45% | 17.33% | 14.52% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $96 | $95 | $94 | $29 | $16 | $14 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.18% | 0.20% | 0.20% | 0.20% | 0.20% | 0.20%3 | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 1.56% | 1.43% | 1.43% | 1.73% | 1.56% | 1.32%3 | |
Portfolio Turnover Rate 4 | 42% | 43% | 32% | 37% | 29% | 70% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Calculated based on average shares outstanding.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
39
S&P Small-Cap 600 Value Index Fund
Financial Highlights
Institutional Shares | ||
Six Months | Nov. 19, | |
Ended | 20141 to | |
February 29, | Aug. 31, | |
For a Share Outstanding Throughout Each Period | 2016 | 2015 |
Net Asset Value, Beginning of Period | $198.02 | $206.40 |
Investment Operations | ||
Net Investment Income | 1.402 | 2.201 |
Net Realized and Unrealized Gain (Loss) on Investments | (9.526) | (7.820) |
Total from Investment Operations | (8.124) | (5.619) |
Distributions | ||
Dividends from Net Investment Income | (2.756) | (2.761) |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (2.756) | (2.761) |
Net Asset Value, End of Period | $187.14 | $198.02 |
Total Return | -4.15% | -2.79% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $17 | $15 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.08%2 |
Ratio of Net Investment Income to Average Net Assets | 1.67% | 1.55%2 |
Portfolio Turnover Rate 3 | 42% | 43% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception—See Notes to Financial Statements.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
40
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: ETF Shares and Institutional Shares. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. Institutional Shares were first issued on December 15, 2010; the sole shareholder redeemed shortly thereafter. Institutional Shares were next issued on November 19, 2014. The Financial Highlights included in these financial statements are based on activity of the Institutional Shares since November 19, 2014.
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).
41
S&P Small-Cap 600 Value Index Fund
During the six months ended February 29, 2016, 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.
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, 2012–2015), and for the period ended February 29, 2016, 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 subject to termination by the fund at any time, and 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 (“Vanguard”) participate in a $3 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 February 29, 2016, 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.
42
S&P Small-Cap 600 Value Index Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2016, the fund had contributed to Vanguard capital in the amount of $10,000, 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 employees, respectively, 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 February 29, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 113,121 | — | — |
Temporary Cash Investments | 148 | 200 | — |
Futures Contracts—Liabilities1 | — | — | — |
Total | 113,269 | 200 | — |
1 Represents variation margin on the last day of the reporting period. |
43
S&P Small-Cap 600 Value Index Fund
D. At February 29, 2016, 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 | March 2016 | 1 | 103 | 1 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended February 29, 2016, the fund realized $4,820,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2015, the fund had available capital losses totaling $4,521,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2016; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 29, 2016, the cost of investment securities for tax purposes was $130,046,000. Net unrealized depreciation of investment securities for tax purposes was $16,577,000, consisting of unrealized gains of $4,714,000 on securities that had risen in value since their purchase and $21,291,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended February 29, 2016, the fund purchased $71,643,000 of investment securities and sold $62,098,000 of investment securities, other than temporary cash investments. Purchases and sales include $30,344,000 and $26,907,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
44
S&P Small-Cap 600 Value Index Fund
G. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
February 29, 2016 | August 31, 2015 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
ETF Shares | ||||
Issued | 42,256 | 450 | 82,573 | 825 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (35,333) | (375) | (77,530) | (775) |
Net Increase (Decrease)—ETF Shares | 6,923 | 75 | 5,043 | 50 |
Institutional Shares1 | ||||
Issued | 3,004 | 16 | 15,248 | 75 |
Issued in Lieu of Cash Distributions | 219 | 1 | 120 | 1 |
Redeemed | (219) | (1) | (120) | (1) |
Net Increase (Decrease) —Institutional Shares | 3,004 | 16 | 15,248 | 75 |
1 Inception was November 19, 2014. |
At February 29, 2016, one shareholder was the record or beneficial owner of 26% 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 February 29, 2016, that would require recognition or disclosure in these financial statements.
45
S&P Small-Cap 600 Growth Index Fund
Fund Profile
As of February 29, 2016
Portfolio Characteristics | |||
S&P | |||
SmallCap | DJ | ||
600 | U.S. Total | ||
Growth | Market | ||
Fund | Index | FA Index | |
Number of Stocks | 343 | 341 | 3,906 |
Median Market Cap | $1.6B | $1.6B | $50.4B |
Price/Earnings Ratio | 27.4x | 27.1x | 20.1x |
Price/Book Ratio | 2.7x | 2.6x | 2.5x |
Return on Equity | 12.6% | 12.6% | 17.5% |
Earnings Growth | |||
Rate | 13.2% | 13.2% | 8.4% |
Dividend Yield | 1.2% | 1.2% | 2.2% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 58% | — | — |
Ticker Symbol | VIOG | — | — |
Expense Ratio1 | 0.20% | — | — |
30-Day SEC Yield | 1.01% | — | — |
Short-Term Reserves | 0.2% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
S&P | U.S. | ||
SmallCap | Total | ||
600 | Market | ||
Growth | FA | ||
Fund | Index | Index | |
Consumer | |||
Discretionary | 13.2% | 13.1% | 13.6% |
Consumer Staples | 2.5 | 2.5 | 9.4 |
Energy | 1.3 | 1.4 | 5.9 |
Financials | 24.5 | 25.0 | 17.4 |
Health Care | 19.4 | 19.2 | 14.2 |
Industrials | 15.3 | 15.2 | 10.7 |
Information | |||
Technology | 17.9 | 17.8 | 19.7 |
Materials | 2.8 | 2.9 | 3.1 |
Telecommunication | |||
Services | 1.2 | 1.0 | 2.5 |
Utilities | 1.9 | 1.9 | 3.5 |
Volatility Measures | ||
S&P | DJ | |
SmallCap | U.S. Total | |
600 Growth | Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.71 |
Beta | 1.00 | 1.04 |
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) | ||
Piedmont Natural Gas | ||
Co. Inc. | Gas Utilities | 1.6% |
Heartland Payment | Data Processing & | |
Systems Inc. | Outsourced Services | 1.1 |
ABIOMED Inc. | Health Care | |
Equipment | 1.0 | |
Take-Two Interactive | Home Entertainment | |
Software Inc. | Software | 1.0 |
Healthcare Realty Trust | ||
Inc. | Health Care REITs | 1.0 |
Helen of Troy Ltd. | Household | |
Appliances | 0.9 | |
Blackbaud Inc. | Application Software | 0.9 |
Prestige Brands | ||
Holdings Inc. | Pharmaceuticals | 0.9 |
Healthcare Services | Diversified Support | |
Group Inc. | Services | 0.8 |
Education Realty Trust | ||
Inc. | Residential REITs | 0.8 |
Top Ten | 10.0% | |
The holdings listed exclude any temporary cash investments and equity index products. |
Investment Focus
1 The expense ratio shown is from the prospectus dated December 14, 2015, and represents estimated costs for the current fiscal year. For the six
months ended February 29, 2016, the annualized expense ratio was 0.18%.
46
S&P Small-Cap 600 Growth Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future
results that may be achieved by the fund. (Current performance may be lower or higher than
the performance data cited. For performance data current to the most recent month-end, visit
our website at vanguard.com/performance.) Note, too, that both investment returns and principal
value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than
their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund
distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): September 7, 2010, Through February 29, 2016
Average Annual Total Returns: Periods Ended December 31, 2015
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
Inception | One | Five | Since | |
Date | Year | Years | Inception | |
ETF Shares | 9/7/2010 | |||
Market Price | 2.57% | 12.34% | 16.29% | |
Net Asset Value | 2.57 | 12.36 | 16.29 |
See Financial Highlights for dividend and capital gains information.
47
S&P Small-Cap 600 Growth Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 29, 2016
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 (100.3%) | |||
Consumer Discretionary (13.2%) | |||
* | Helen of Troy Ltd. | 9,527 | 908 |
Lithia Motors Inc. Class A | 8,033 | 745 | |
Monro Muffler Brake Inc. | 10,841 | 741 | |
Texas Roadhouse Inc. | |||
Class A | 15,838 | 661 | |
* | Pinnacle Entertainment Inc. | 20,637 | 597 |
Papa John’s International Inc. | 9,788 | 569 | |
* | Gentherm Inc. | 12,277 | 512 |
Sonic Corp. | 16,877 | 496 | |
Drew Industries Inc. | 8,187 | 493 | |
* | Boyd Gaming Corp. | 27,107 | 469 |
* | G-III Apparel Group Ltd. | 8,831 | 466 |
Sturm Ruger & Co. Inc. | 6,341 | 446 | |
* | Popeyes Louisiana Kitchen | ||
Inc. | 7,619 | 415 | |
* | Meritage Homes Corp. | 12,507 | 406 |
* | Dorman Products Inc. | 7,016 | 355 |
* | Steven Madden Ltd. | 9,547 | 336 |
Core-Mark Holding Co. Inc. | 4,221 | 311 | |
* | Five Below Inc. | 7,580 | 291 |
* | Francesca’s Holdings Corp. | 14,123 | 255 |
* | Asbury Automotive Group | ||
Inc. | 3,959 | 231 | |
DineEquity Inc. | 2,332 | 213 | |
Ruth’s Hospitality Group Inc. | 11,869 | 209 | |
Oxford Industries Inc. | 2,870 | 208 | |
La-Z-Boy Inc. | 8,339 | 203 | |
Nutrisystem Inc. | 9,892 | 201 | |
* | TopBuild Corp. | 7,410 | 200 |
World Wrestling | |||
Entertainment Inc. Class A | 11,600 | 194 | |
* | Select Comfort Corp. | 10,646 | 191 |
* | BJ’s Restaurants Inc. | 4,275 | 188 |
* | Tumi Holdings Inc. | 9,360 | 185 |
Callaway Golf Co. | 19,816 | 176 | |
* | Red Robin Gourmet Burgers | ||
Inc. | 2,409 | 157 |
EW Scripps Co. Class A | 7,941 | 137 | |
* | iRobot Corp. | 4,337 | 136 |
* | Motorcar Parts of America | ||
Inc. | 3,726 | 129 | |
* | Installed Building Products | ||
Inc. | 5,637 | 126 | |
* | Universal Electronics Inc. | 2,313 | 123 |
Outerwall Inc. | 3,574 | 111 | |
Blue Nile Inc. | 3,914 | 102 | |
Winnebago Industries Inc. | 5,306 | 99 | |
* | MarineMax Inc. | 4,832 | 86 |
* | Monarch Casino & Resort | ||
Inc. | 3,627 | 73 | |
PetMed Express Inc. | 4,235 | 70 | |
* | M/I Homes Inc. | 3,845 | 68 |
* | Scientific Games Corp. | ||
Class A | 7,936 | 67 | |
* | Belmond Ltd. Class A | 7,168 | 66 |
Marcus Corp. | 3,525 | 66 | |
13,487 | |||
Consumer Staples (2.5%) | |||
B&G Foods Inc. | 19,656 | 680 | |
^ | Cal-Maine Foods Inc. | 10,519 | 562 |
WD-40 Co. | 4,533 | 490 | |
J&J Snack Foods Corp. | 3,253 | 360 | |
Calavo Growers Inc. | 5,010 | 268 | |
* | Diamond Foods Inc. | 4,994 | 189 |
Medifast Inc. | 1,412 | 43 | |
2,592 | |||
Energy (1.4%) | |||
* | PDC Energy Inc. | 9,785 | 490 |
* | Synergy Resources Corp. | 38,110 | 238 |
* | Carrizo Oil & Gas Inc. | 11,034 | 237 |
US Silica Holdings Inc. | 11,221 | 216 | |
* | Matrix Service Co. | 4,679 | 86 |
* | TETRA Technologies Inc. | 14,626 | 74 |
* | Northern Oil and Gas Inc. | 8,292 | 28 |
* | Stone Energy Corp. | 5,374 | 8 |
1,377 |
48
S&P Small-Cap 600 Growth Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Financials (24.5%) | |||
Healthcare Realty Trust Inc. | 34,119 | 990 | |
Education Realty Trust Inc. | 20,649 | 819 | |
Home BancShares Inc. | 20,678 | 817 | |
RLI Corp. | 12,796 | 803 | |
Acadia Realty Trust | 23,400 | 773 | |
CoreSite Realty Corp. | 10,389 | 670 | |
Evercore Partners Inc. | |||
Class A | 13,403 | 626 | |
Retail Opportunity | |||
Investments Corp. | 33,728 | 620 | |
First Financial Bankshares | |||
Inc. | 22,367 | 591 | |
Pinnacle Financial Partners | |||
Inc. | 11,911 | 552 | |
ProAssurance Corp. | 10,090 | 498 | |
Interactive Brokers Group | |||
Inc. | 13,555 | 463 | |
MB Financial Inc. | 15,030 | 459 | |
First Midwest Bancorp Inc. | 26,427 | 441 | |
Medical Properties Trust Inc. | 37,091 | 429 | |
Financial Engines Inc. | 17,486 | 427 | |
United Bankshares Inc. | 12,070 | 423 | |
Columbia Banking System | |||
Inc. | 14,288 | 412 | |
Glacier Bancorp Inc. | 17,025 | 406 | |
Simmons First National Corp. | |||
Class A | 9,542 | 393 | |
Sterling Bancorp | 27,113 | 391 | |
BBCN Bancorp Inc. | 26,971 | 386 | |
PS Business Parks Inc. | 4,089 | 375 | |
* | BofI Holding Inc. | 19,431 | 360 |
Talmer Bancorp Inc. Class A | 21,297 | 358 | |
CVB Financial Corp. | 22,805 | 354 | |
Selective Insurance Group | |||
Inc. | 10,471 | 352 | |
Cousins Properties Inc. | 40,101 | 347 | |
American Assets Trust Inc. | 9,229 | 342 | |
AMERISAFE Inc. | 6,474 | 333 | |
LTC Properties Inc. | 7,477 | 332 | |
DiamondRock Hospitality Co. | 36,751 | 327 | |
Inland Real Estate Corp. | 30,690 | 325 | |
National Penn Bancshares | |||
Inc. | 29,016 | 323 | |
EastGroup Properties Inc. | 5,779 | 313 | |
Community Bank System Inc. | 8,255 | 306 | |
Employers Holdings Inc. | 10,876 | 302 | |
HFF Inc. Class A | 11,673 | 292 | |
* | Texas Capital Bancshares Inc. | 8,704 | 281 |
Banner Corp. | 6,900 | 274 | |
Independent Bank Corp. | 6,316 | 273 | |
LegacyTexas Financial | |||
Group Inc. | 14,859 | 264 | |
* | PRA Group Inc. | 10,460 | 255 |
PrivateBancorp Inc. | 7,198 | 247 |
United Community Banks Inc. | 13,995 | 242 | |
Ameris Bancorp | 8,733 | 236 | |
Summit Hotel Properties Inc. | 21,171 | 229 | |
Hanmi Financial Corp. | 10,841 | 226 | |
Universal Insurance Holdings | |||
Inc. | 10,983 | 214 | |
Four Corners Property Trust | |||
Inc. | 13,050 | 214 | |
* | LendingTree Inc. | 2,413 | 213 |
* | Walker & Dunlop Inc. | 9,119 | 211 |
Northfield Bancorp Inc. | 13,256 | 208 | |
S&T Bancorp Inc. | 7,554 | 191 | |
NBT Bancorp Inc. | 7,339 | 189 | |
Pennsylvania REIT | 9,149 | 175 | |
Westamerica Bancorporation | 3,808 | 171 | |
First Commonwealth | |||
Financial Corp. | 19,604 | 168 | |
Tompkins Financial Corp. | 2,859 | 162 | |
Wilshire Bancorp Inc. | 16,308 | 161 | |
United Fire Group Inc. | 3,928 | 158 | |
Cardinal Financial Corp. | 7,863 | 152 | |
Brookline Bancorp Inc. | 14,275 | 150 | |
Oritani Financial Corp. | 8,772 | 149 | |
Agree Realty Corp. | 3,874 | 144 | |
Universal Health Realty | |||
Income Trust | 2,702 | 140 | |
CareTrust REIT Inc. | 11,916 | 136 | |
Central Pacific Financial Corp. | 6,692 | 133 | |
City Holding Co. | 2,957 | 130 | |
Government Properties | |||
Income Trust | 7,963 | 118 | |
Investment Technology | |||
Group Inc. | 6,268 | 115 | |
Saul Centers Inc. | 2,330 | 114 | |
Getty Realty Corp. | 6,001 | 109 | |
Virtus Investment Partners | |||
Inc. | 1,169 | 107 | |
Bank Mutual Corp. | 14,352 | 107 | |
Cedar Realty Trust Inc. | 15,493 | 106 | |
Urstadt Biddle Properties Inc. | |||
Class A | 4,766 | 94 | |
* | First NBC Bank Holding Co. | 3,220 | 76 |
Greenhill & Co. Inc. | 3,236 | 75 | |
HCI Group Inc. | 1,770 | 62 | |
RE/MAX Holdings Inc. | |||
Class A | 1,648 | 53 | |
* | Forestar Group Inc. | 5,136 | 50 |
* | eHealth Inc. | 1,864 | 19 |
25,031 | |||
Health Care (19.4%) | |||
* | ABIOMED Inc. | 13,230 | 1,058 |
* | Prestige Brands Holdings Inc. 17,883 | 874 | |
Cantel Medical Corp. | 12,131 | 772 | |
Chemed Corp. | 5,723 | 735 | |
* | Impax Laboratories Inc. | 22,472 | 735 |
49
S&P Small-Cap 600 Growth Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
* | NuVasive Inc. | 16,645 | 696 |
* | Medidata Solutions Inc. | 18,772 | 648 |
* | Neogen Corp. | 12,670 | 624 |
* | Integra LifeSciences | ||
Holdings Corp. | 9,780 | 600 | |
* | Masimo Corp. | 15,344 | 581 |
* | Ligand Pharmaceuticals Inc. | 6,148 | 567 |
* | Nektar Therapeutics | 45,243 | 505 |
* | Acorda Therapeutics Inc. | 14,631 | 479 |
* | AMN Healthcare Services | ||
Inc. | 16,170 | 460 | |
* | Medicines Co. | 13,891 | 447 |
* | Cambrex Corp. | 10,690 | 412 |
* | Natus Medical Inc. | 11,195 | 407 |
* | Affymetrix Inc. | 27,111 | 381 |
* | Surgical Care Affiliates Inc. | 9,126 | 370 |
* | Emergent BioSolutions Inc. | 10,299 | 348 |
* | Omnicell Inc. | 12,011 | 329 |
* | ICU Medical Inc. | 3,413 | 314 |
* | Cynosure Inc. Class A | 7,705 | 313 |
* | Depomed Inc. | 20,505 | 313 |
* | Repligen Corp. | 11,169 | 287 |
* | Merit Medical Systems Inc. | 14,986 | 282 |
* | MiMedx Group Inc. | 33,616 | 277 |
* | Zeltiq Aesthetics Inc. | 10,849 | 250 |
* | Luminex Corp. | 12,993 | 243 |
* | Air Methods Corp. | 6,669 | 242 |
* | Lannett Co. Inc. | 9,412 | 237 |
Ensign Group Inc. | 11,324 | 232 | |
* | Haemonetics Corp. | 7,223 | 232 |
Aceto Corp. | 10,002 | 214 | |
US Physical Therapy Inc. | 4,211 | 213 | |
CONMED Corp. | 5,329 | 212 | |
* | Amedisys Inc. | 5,469 | 201 |
* | Greatbatch Inc. | 5,267 | 199 |
* | ExamWorks Group Inc. | 6,758 | 197 |
Meridian Bioscience Inc. | 9,647 | 194 | |
* | Momenta Pharmaceuticals | ||
Inc. | 21,250 | 179 | |
* | Vascular Solutions Inc. | 5,880 | 177 |
Abaxis Inc. | 4,417 | 173 | |
* | HealthStream Inc. | 8,261 | 171 |
Phibro Animal Health Corp. | |||
Class A | 6,137 | 170 | |
Analogic Corp. | 2,148 | 161 | |
* | LHC Group Inc. | 4,387 | 156 |
* | Adeptus Health Inc. Class A | 2,680 | 153 |
* | Supernus Pharmaceuticals | ||
Inc. | 11,611 | 146 | |
* | CorVel Corp. | 3,472 | 144 |
* | HealthEquity Inc. | 6,746 | 140 |
* | Anika Therapeutics Inc. | 3,077 | 139 |
* | Cross Country Healthcare | ||
Inc. | 11,044 | 137 |
* | Albany Molecular Research | ||
Inc. | 9,148 | 135 | |
Quality Systems Inc. | 8,134 | 126 | |
* | Providence Service Corp. | 2,428 | 115 |
* | AMAG Pharmaceuticals Inc. | 4,271 | 112 |
* | Almost Family Inc. | 2,788 | 105 |
* | Inogen Inc. | 3,016 | 103 |
Computer Programs & | |||
Systems Inc. | 1,743 | 99 | |
* | SurModics Inc. | 4,389 | 82 |
Landauer Inc. | 2,135 | 62 | |
* | Sagent Pharmaceuticals Inc. | 3,879 | 55 |
CryoLife Inc. | 4,049 | 43 | |
* | ANI Pharmaceuticals Inc. | 1,281 | 42 |
* | Spectrum Pharmaceuticals | ||
Inc. | 6,574 | 30 | |
19,835 | |||
Industrials (15.3%) | |||
Healthcare Services Group | |||
Inc. | 24,399 | 866 | |
Allegiant Travel Co. Class A | 4,453 | 730 | |
* | Hawaiian Holdings Inc. | 16,056 | 691 |
* | Dycom Industries Inc. | 11,012 | 627 |
Matson Inc. | 14,766 | 592 | |
* | On Assignment Inc. | 16,110 | 532 |
Matthews International Corp. | |||
Class A | 11,148 | 528 | |
Universal Forest Products | |||
Inc. | 6,826 | 524 | |
John Bean Technologies | |||
Corp. | 9,879 | 520 | |
Korn/Ferry International | 17,360 | 493 | |
* | Trex Co. Inc. | 10,465 | 451 |
AZZ Inc. | 8,745 | 442 | |
Hillenbrand Inc. | 14,701 | 413 | |
Exponent Inc. | 8,729 | 407 | |
Apogee Enterprises Inc. | 9,863 | 394 | |
Interface Inc. Class A | 22,325 | 355 | |
Comfort Systems USA Inc. | 12,642 | 355 | |
* | TASER International Inc. | 18,187 | 352 |
AAON Inc. | 13,755 | 341 | |
* | TrueBlue Inc. | 14,228 | 326 |
Barnes Group Inc. | 9,448 | 324 | |
* | American Woodmark Corp. | 4,636 | 317 |
Forward Air Corp. | 7,213 | 294 | |
Simpson Manufacturing Co. | |||
Inc. | 8,626 | 293 | |
US Ecology Inc. | 7,369 | 273 | |
Knight Transportation Inc. | 10,217 | 247 | |
* | Aerojet Rocketdyne | ||
Holdings Inc. | 15,454 | 240 | |
* | WageWorks Inc. | 4,875 | 235 |
Mobile Mini Inc. | 8,045 | 231 | |
G&K Services Inc. Class A | 3,326 | 220 | |
Standex International Corp. | 2,901 | 204 |
50
S&P Small-Cap 600 Growth Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Brady Corp. Class A | 7,815 | 204 | |
Watts Water Technologies | |||
Inc. Class A | 3,911 | 202 | |
Heartland Express Inc. | 10,454 | 192 | |
Griffon Corp. | 12,899 | 192 | |
Albany International Corp. | 4,882 | 179 | |
Federal Signal Corp. | 14,960 | 177 | |
* | Lydall Inc. | 5,778 | 167 |
* | PGT Inc. | 16,495 | 163 |
Franklin Electric Co. Inc. | 5,349 | 160 | |
ESCO Technologies Inc. | 4,465 | 159 | |
Insperity Inc. | 3,040 | 144 | |
Tennant Co. | 3,024 | 141 | |
Heidrick & Struggles | |||
International Inc. | 5,859 | 138 | |
* | Navigant Consulting Inc. | 8,550 | 130 |
Quanex Building Products | |||
Corp. | 7,245 | 125 | |
* | Gibraltar Industries Inc. | 4,499 | 111 |
Resources Connection Inc. | 7,563 | 105 | |
National Presto Industries Inc. | 971 | 79 | |
* | Vicor Corp. | 3,880 | 32 |
American Science & | |||
Engineering Inc. | 916 | 22 | |
15,639 | |||
Information Technology (17.9%) | |||
Heartland Payment Systems | |||
Inc. | 12,462 | 1,165 | |
* | Take-Two Interactive | ||
Software Inc. | 28,689 | 1,033 | |
Blackbaud Inc. | 15,625 | 883 | |
* | Cirrus Logic Inc. | 21,594 | 761 |
Monolithic Power Systems | |||
Inc. | 12,326 | 728 | |
* | ViaSat Inc. | 9,357 | 683 |
* | Stamps.com Inc. | 5,066 | 600 |
Littelfuse Inc. | 5,217 | 593 | |
* | Cray Inc. | 13,763 | 584 |
* | ExlService Holdings Inc. | 11,173 | 526 |
* | Rambus Inc. | 39,508 | 515 |
Tessera Technologies Inc. | 16,264 | 479 | |
* | Electronics For Imaging Inc. | 11,160 | 442 |
* | LogMeIn Inc. | 8,497 | 433 |
* | II-VI Inc. | 17,826 | 391 |
* | Coherent Inc. | 4,510 | 382 |
* | Synchronoss Technologies | ||
Inc. | 13,464 | 377 | |
* | OSI Systems Inc. | 6,218 | 375 |
Methode Electronics Inc. | 13,045 | 373 | |
* | Cardtronics Inc. | 10,963 | 370 |
NIC Inc. | 20,690 | 364 | |
Ebix Inc. | 8,930 | 331 | |
* | Virtusa Corp. | 9,193 | 325 |
CSG Systems International | |||
Inc. | 8,314 | 316 |
MKS Instruments Inc. | 9,209 | 303 | |
* | Fabrinet | 10,312 | 294 |
* | Sykes Enterprises Inc. | 9,367 | 285 |
Power Integrations Inc. | 6,169 | 283 | |
* | NETGEAR Inc. | 6,730 | 266 |
* | MicroStrategy Inc. Class A | 1,645 | 265 |
* | Progress Software Corp. | 10,385 | 262 |
* | Advanced Energy Industries | ||
Inc. | 8,766 | 261 | |
Badger Meter Inc. | 3,297 | 217 | |
* | Super Micro Computer Inc. | 6,203 | 201 |
* | Bottomline Technologies de | ||
Inc. | 6,847 | 193 | |
Monotype Imaging Holdings | |||
Inc. | 7,983 | 190 | |
* | Semtech Corp. | 8,581 | 164 |
* | Lumentum Holdings Inc. | 6,719 | 161 |
* | Ixia | 13,000 | 148 |
* | CalAmp Corp. | 7,560 | 138 |
* | CEVA Inc. | 6,931 | 136 |
MTS Systems Corp. | 2,465 | 135 | |
* | Mercury Systems Inc. | 7,276 | 119 |
* | Perficient Inc. | 6,348 | 115 |
* | Ruckus Wireless Inc. | 11,689 | 113 |
TeleTech Holdings Inc. | 4,076 | 113 | |
* | Rudolph Technologies Inc. | 7,089 | 92 |
* | Interactive Intelligence | ||
Group Inc. | 2,649 | 79 | |
* | DTS Inc. | 3,278 | 78 |
* | ePlus Inc. | 1,025 | 77 |
* | DHI Group Inc. | 9,427 | 73 |
* | VASCO Data Security | ||
International Inc. | 5,235 | 72 | |
* | XO Group Inc. | 4,707 | 67 |
Cohu Inc. | 5,302 | 61 | |
Forrester Research Inc. | 1,820 | 57 | |
* | Monster Worldwide Inc. | 15,819 | 47 |
* | Nanometrics Inc. | 3,252 | 45 |
* | Digi International Inc. | 4,933 | 42 |
* | Exar Corp. | 7,649 | 41 |
* | Kopin Corp. | 21,002 | 40 |
* | LivePerson Inc. | 5,840 | 30 |
* | Agilysys Inc. | 2,189 | 23 |
18,315 | |||
Materials (2.9%) | |||
Balchem Corp. | 10,687 | 676 | |
* | Headwaters Inc. | 25,054 | 442 |
Innospec Inc. | 8,165 | 354 | |
Kaiser Aluminum Corp. | 3,729 | 286 | |
* | US Concrete Inc. | 4,522 | 243 |
Deltic Timber Corp. | 3,709 | 210 | |
Neenah Paper Inc. | 3,293 | 199 | |
KapStone Paper and | |||
Packaging Corp. | 19,181 | 196 | |
Quaker Chemical Corp. | 2,166 | 169 |
51
S&P Small-Cap 600 Growth Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
* | AK Steel Holding Corp. | 30,148 | 86 |
American Vanguard Corp. | 4,179 | 53 | |
2,914 | |||
Telecommunication Services (1.3%) | |||
* | 8x8 Inc. | 30,270 | 352 |
Cogent Communications | |||
Holdings Inc. | 7,204 | 265 | |
* | General Communication Inc. | ||
Class A | 10,070 | 192 | |
Consolidated | |||
Communications Holdings | |||
Inc. | 7,535 | 176 | |
* | Cincinnati Bell Inc. | 46,248 | 160 |
Atlantic Tele-Network Inc. | 1,825 | 131 | |
1,276 | |||
Utilities (1.9%) | |||
Piedmont Natural Gas Co. | |||
Inc. | 26,903 | 1,598 | |
American States Water Co. | 7,720 | 328 | |
1,926 | |||
Total Common Stocks (Cost $108,703) | 102,392 | ||
Temporary Cash Investments (0.7%) | |||
Money Market Fund (0.5%) | |||
1,2 | Vanguard Market | ||
Liquidity Fund, 0.475% | 507,601 | 508 | |
Face | |||
Amount | |||
($000) | |||
U.S. Government and Agency Obligations (0.2%) | |||
3 | Federal Home Loan | ||
Bank Discount Notes, | |||
0.245%, 4/20/16 | 100 | 100 | |
3 | Federal Home Loan | ||
Bank Discount Notes, | |||
0.290%, 4/29/16 | 100 | 100 | |
200 | |||
Total Temporary Cash Investments | |||
(Cost $708) | 708 | ||
Total Investments (101.0%) | |||
(Cost $109,411) | 103,100 |
Amount | |
($000) | |
Other Assets and Liabilities (-1.0%) | |
Other Assets | |
Investment in Vanguard | 9 |
Receivables for Investment Securities Sold | 753 |
Receivables for Accrued Income | 170 |
Receivables for Capital Shares Issued | 1 |
Total Other Assets | 933 |
Liabilities | |
Payables for Investment Securities Purchased (968) | |
Collateral for Securities on Loan | (508) |
Payables to Vanguard | (13) |
Other Liabilities | (423) |
Total Liabilities | (1,912) |
ETF Shares—Net Assets (100%) | |
Applicable to 1,025,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 102,121 |
Net Asset Value Per Share—ETF Shares | $99.63 |
At February 29, 2016, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 120,109 |
Undistributed Net Investment Income | 184 |
Accumulated Net Realized Losses | (11,861) |
Unrealized Appreciation (Depreciation) | (6,311) |
Net Assets | 102,121 |
• 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 $502,000.
1 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the
7-day yield.
2 Includes $508,000 of collateral received for securities on loan.
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.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
52
S&P Small-Cap 600 Growth Index Fund
Statement of Operations
Six Months Ended | |
February 29, 2016 | |
($000) | |
Investment Income | |
Income | |
Dividends | 673 |
Securities Lending | 11 |
Total Income | 684 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 4 |
Management and Administrative | 57 |
Marketing and Distribution | 2 |
Custodian Fees | 17 |
Shareholders’ Reports | 3 |
Total Expenses | 83 |
Net Investment Income | 601 |
Realized Net Gain (Loss) | |
Investment Securities Sold | (7,096) |
Futures Contracts | (28) |
Realized Net Gain (Loss) | (7,124) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (398) |
Futures Contracts | 8 |
Change in Unrealized Appreciation (Depreciation) | (390) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (6,913) |
See accompanying Notes, which are an integral part of the Financial Statements.
53
S&P Small-Cap 600 Growth Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
February 29, | August 31, | |
2016 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 601 | 692 |
Realized Net Gain (Loss) | (7,124) | 9,091 |
Change in Unrealized Appreciation (Depreciation) | (390) | (6,300) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (6,913) | 3,483 |
Distributions | ||
Net Investment Income | (878) | (455) |
Realized Capital Gain | — | — |
Total Distributions | (878) | (455) |
Capital Share Transactions | ||
Issued | 50,980 | 158,094 |
Issued in Lieu of Cash Distribution | — | — |
Redeemed | (15,958) | (147,047) |
Net Increase (Decrease) from Capital Share Transactions | 35,022 | 11,047 |
Total Increase (Decrease) | 27,231 | 14,075 |
Net Assets | ||
Beginning of Period | 74,890 | 60,815 |
End of Period1 | 102,121 | 74,890 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $184,000 and $461,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
54
S&P Small-Cap 600 Growth Index Fund
Financial Highlights
ETF Shares | |||||||
Six Months | Sept. 7, | ||||||
Ended | 20101 to | ||||||
For a Share Outstanding | February 29, | Year Ended August 31, | Aug. 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | |
Net Asset Value, Beginning of Period | $106.99 | $101.36 | $87.79 | $70.70 | $61.18 | $49.82 | |
Investment Operations | |||||||
Net Investment Income | . 634 | 1.043 | . 668 2 | .822 | .5312 | .422 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | (6.882) | 5.345 | 13.432 | 17.083 | 9.326 | 11.248 | |
Total from Investment Operations | (6.248) | 6.388 | 14.100 | 17.905 | 9.857 | 11.670 | |
Distributions | |||||||
Dividends from Net Investment Income | (1.112) | (.758) | (. 530) | (. 815) | (. 337) | (. 310) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (1.112) | (.758) | (. 530) | (. 815) | (. 337) | (. 310) | |
Net Asset Value, End of Period | $99.63 | $106.99 | $101.36 | $87.79 | $70.70 | $61.18 | |
Total Return | -5.91% | 6.32% | 16.07% | 25.59% | 16.17% | 23.41% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $102 | $75 | $61 | $22 | $14 | $28 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.18% | 0.20% | 0.20% | 0.20% | 0.20% | 0.20%3 | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 1.43% | 0.98% | 0.66% | 1.03% | 0.83% | 0.78%3 | |
Portfolio Turnover Rate 4 | 58% | 63% | 44% | 39% | 45% | 106% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Calculated based on average shares outstanding.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
55
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: ETF Shares and Institutional Shares. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. During the six months ended February 29, 2016, there were no investors in the Institutional share class.
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 six months ended February 29, 2016, 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 February 29, 2016.
56
S&P Small-Cap 600 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, 2012–2015), and for the period ended February 29, 2016, 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 subject to termination by the fund at any time, and 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 (“Vanguard”) participate in a $3 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 February 29, 2016, 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.
57
S&P Small-Cap 600 Growth Index Fund
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2016, the fund had contributed to Vanguard capital in the amount of $9,000, 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 employees, respectively, 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 February 29, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 102,392 | — | — |
Temporary Cash Investments | 508 | 200 | — |
Futures Contracts—Assets1 | — | — | — |
Total | 102,900 | 200 | — |
1 Represents variation margin on the last day of the reporting period for recently closed futures contracts. |
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended February 29, 2016, the fund realized $1,353,000 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.
58
S&P Small-Cap 600 Growth Index Fund
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2015, the fund had available capital losses totaling $3,403,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2016; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 29, 2016, the cost of investment securities for tax purposes was $109,411,000.
Net unrealized depreciation of investment securities for tax purposes was $6,311,000, consisting of unrealized gains of $3,997,000 on securities that had risen in value since their purchase and $10,308,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 29, 2016, the fund purchased $83,855,000 of investment securities and sold $48,645,000 of investment securities, other than temporary cash investments. Purchases and sales include $45,559,000 and $10,197,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
F. Capital shares issued and redeemed were:
Six Months Ended | Year Ended | |
February 29, 2016 | August 31, 2015 | |
Shares | Shares | |
(000) | (000) | |
Issued | 475 | 1,450 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (150) | (1,350) |
Net Increase (Decrease) in Shares Outstanding | 325 | 100 |
G. Management has determined that no material events or transactions occurred subsequent to February 29, 2016, that would require recognition or disclosure in these financial statements.
59
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 February 29, 2016 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
8/31/2015 | 2/29/2016 | Period | |
Based on Actual Fund Return | |||
S&P Small-Cap 600 Index Fund | |||
ETF Shares | $1,000.00 | $949.34 | $0.63 |
Institutional Shares | 1,000.00 | 949.47 | 0.34 |
S&P Small-Cap 600 Value Index Fund | |||
ETF Shares | $1,000.00 | $958.02 | $0.88 |
Institutional Shares | 1,000.00 | 958.53 | 0.34 |
S&P Small-Cap 600 Growth Index Fund | |||
ETF Shares | $1,000.00 | $940.89 | $0.87 |
Based on Hypothetical 5% Yearly Return | |||
S&P Small-Cap 600 Index Fund | |||
ETF Shares | $1,000.00 | $1,024.22 | $0.65 |
Institutional Shares | 1,000.00 | 1,024.52 | 0.35 |
S&P Small-Cap 600 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,023.97 | $0.91 |
Institutional Shares | 1,000.00 | 1,024.52 | 0.35 |
S&P Small-Cap 600 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,023.97 | $0.91 |
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, 0.13% for ETF Shares and 0.07% for Institutional Shares; for the S&P Small-Cap 600 Value
Index Fund, 0.18% for ETF Shares and 0.07% for Institutional Shares; and for the S&P Small-Cap 600 Growth Index Fund, 0.18% 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 (182/366).
61
Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
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.
62
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.
63
The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 196 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 | Rajiv L. Gupta |
Born 1945. Trustee Since December 2001.2 Principal | |
F. William McNabb III | Occupation(s) During the Past Five Years and Other |
Born 1957. Trustee Since July 2009. Chairman of | Experience: Chairman and Chief Executive Officer |
the Board. Principal Occupation(s) During the Past | (retired 2009) and President (2006–2008) of |
Five Years and Other Experience: Chairman of the | Rohm and Haas Co. (chemicals); Director of Tyco |
Board of The Vanguard Group, Inc., and of each of | International PLC (diversified manufacturing and |
the investment companies served by The Vanguard | services), HP Inc. (printer and personal computer |
Group, since January 2010; Director of The Vanguard | manufacturing), and Delphi Automotive PLC |
Group since 2008; Chief Executive Officer and | (automotive components); Senior Advisor at |
President of The Vanguard Group, and of each of | New Mountain Capital. |
the investment companies served by The Vanguard | |
Group, since 2008; Director of Vanguard Marketing | Amy Gutmann |
Corporation; Managing Director of The Vanguard | Born 1949. Trustee Since June 2006. Principal |
Group (1995–2008). | Occupation(s) During the Past Five Years and |
Other Experience: President of the University of | |
IndependentTrustees | Pennsylvania; Christopher H. Browne Distinguished |
Professor of Political Science, School of Arts and | |
Emerson U. Fullwood | Sciences, and Professor of Communication, Annenberg |
Born 1948. Trustee Since January 2008. Principal | School for Communication, with secondary faculty |
Occupation(s) During the Past Five Years and Other | appointments in the Department of Philosophy, School |
Experience: Executive Chief Staff and Marketing | of Arts and Sciences, and at the Graduate School of |
Officer for North America and Corporate Vice President | Education, University of Pennsylvania; Trustee of the |
(retired 2008) of Xerox Corporation (document manage- | National Constitution Center; Chair of the Presidential |
ment products and services); Executive in Residence | Commission for the Study of Bioethical Issues. |
and 2009–2010 Distinguished Minett Professor at | |
the Rochester Institute of Technology; Lead Director | JoAnn Heffernan Heisen |
of SPX FLOW, Inc. (multi-industry manufacturing); | Born 1950. Trustee Since July 1998. Principal |
Director of the United Way of Rochester, the University | Occupation(s) During the Past Five Years and |
of Rochester Medical Center, Monroe Community | Other Experience: Corporate Vice President and |
College Foundation, North Carolina A&T University, | Chief Global Diversity Officer (retired 2008) and |
and Roberts Wesleyan College. | Member of the Executive Committee (1997–2008) |
of Johnson & Johnson (pharmaceuticals/medical | |
devices/consumer products); Director of Skytop | |
Lodge Corporation (hotels) and the Robert Wood | |
Johnson Foundation; Member of the Advisory | |
Board of the Institute for Women’s Leadership | |
at Rutgers University. |
F. Joseph Loughrey | Executive Officers | |
Born 1949. Trustee Since October 2009. Principal | ||
Occupation(s) During the Past Five Years and Other | Glenn Booraem | |
Experience: President and Chief Operating Officer | Born 1967. Treasurer Since May 2015. Principal | |
(retired 2009) of Cummins Inc. (industrial machinery); | Occupation(s) During the Past Five Years and | |
Chairman of the Board of Hillenbrand, Inc. (specialized | Other Experience: Principal of The Vanguard Group, | |
consumer services), and of Oxfam America; Director | Inc.; Treasurer of each of the investment companies | |
of SKF AB (industrial machinery), Hyster-Yale Materials | served by The Vanguard Group; Controller of each of | |
Handling, Inc. (forklift trucks), the Lumina Foundation | the investment companies served by The Vanguard | |
for Education, and the V Foundation for Cancer | Group (2010–2015); Assistant Controller of each of | |
Research; Member of the Advisory Council for the | the investment companies served by The Vanguard | |
College of Arts and Letters and of the Advisory Board | Group (2001–2010). | |
to the Kellogg Institute for International Studies, both | ||
at the University of Notre Dame. | Thomas J. Higgins | |
Born 1957. Chief Financial Officer Since September | ||
Mark Loughridge | 2008. Principal Occupation(s) During the Past Five | |
Born 1953. Trustee Since March 2012. Principal | Years and Other Experience: Principal of The Vanguard | |
Occupation(s) During the Past Five Years and Other | Group, Inc.; Chief Financial Officer of each of the | |
Experience: Senior Vice President and Chief Financial | investment companies served by The Vanguard Group; | |
Officer (retired 2013) at IBM (information technology | Treasurer of each of the investment companies served | |
services); Fiduciary Member of IBM’s Retirement Plan | by The Vanguard Group (1998–2008). | |
Committee (2004–2013); Director of the Dow Chemical | ||
Company; Member of the Council on Chicago Booth. | Peter Mahoney | |
Born 1974. Controller Since May 2015. Principal | ||
Scott C. Malpass | Occupation(s) During the Past Five Years and | |
Born 1962. Trustee Since March 2012. Principal | Other Experience: Head of Global Fund Accounting | |
Occupation(s) During the Past Five Years and Other | at The Vanguard Group, Inc.; Controller of each of the | |
Experience: Chief Investment Officer and Vice | investment companies served by The Vanguard Group; | |
President at the University of Notre Dame; Assistant | Head of International Fund Services at The Vanguard | |
Professor of Finance at the Mendoza College of | Group (2008–2014). | |
Business at Notre Dame; Member of the Notre Dame | ||
403(b) Investment Committee, the Board of Advisors | Heidi Stam | |
for Spruceview Capital Partners, and the Investment | Born 1956. Secretary Since July 2005. Principal | |
Advisory Committee of Major League Baseball; Board | Occupation(s) During the Past Five Years and Other | |
Member of TIFF Advisory Services, Inc., and Catholic | Experience: Managing Director of The Vanguard | |
Investment Services, Inc. (investment advisors). | Group, Inc.; General Counsel of The Vanguard Group; | |
Secretary of The Vanguard Group and of each of the | ||
André F. Perold | investment companies served by The Vanguard Group; | |
Born 1952. Trustee Since December 2004. Principal | Director and Senior Vice President of Vanguard | |
Occupation(s) During the Past Five Years and Other | Marketing Corporation. | |
Experience: George Gund Professor of Finance and | ||
Banking, Emeritus at the Harvard Business School | Vanguard Senior ManagementTeam | |
(retired 2011); Chief Investment Officer and Managing | Mortimer J. Buckley | James M. Norris |
Partner of HighVista Strategies LLC (private investment | Kathleen C. Gubanich | Thomas M. Rampulla |
firm); Director of Rand Merchant Bank; Overseer of | Martha G. King | Glenn W. Reed |
the Museum of Fine Arts Boston. | John T. Marcante | Karin A. Risi |
Chris D. McIsaac | ||
Peter F. Volanakis | ||
Born 1955. Trustee Since July 2009. Principal | ||
Occupation(s) During the Past Five Years and Other | Chairman Emeritus and Senior Advisor | |
Experience: President and Chief Operating Officer | ||
(retired 2010) of Corning Incorporated (communications | John J. Brennan | |
equipment); Trustee of Colby-Sawyer College and | Chairman, 1996–2009 | |
Chairman of its Finance and Enrollment Committee; | Chief Executive Officer and President, 1996–2008 | |
Member of the Advisory Board of the Norris Cotton | ||
Cancer Center. | Founder | |
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 | The index is a product of S&P Dow Jones Indices LLC |
Direct Investor Account Services > 800-662-2739 | (“SPDJI”), and has been licensed for use by Vanguard. |
Standard & Poor’s® and S&P® are registered | |
Institutional Investor Services > 800-523-1036 | trademarks of Standard & Poor’s Financial Services LLC |
Text Telephone for People | (“S&P”); Dow Jones® is a registered trademark of Dow |
Who Are Deaf or Hard of Hearing> 800-749-7273 | Jones Trademark Holdings LLC (“Dow Jones”); S&P® |
and S&P 500® are trademarks of S&P; and these | |
This material may be used in conjunction | trademarks have been licensed for use by SPDJI and |
with the offering of shares of any Vanguard | sublicensed for certain purposes by Vanguard. |
fund only if preceded or accompanied by | Vanguard product(s) are not sponsored, endorsed, sold |
or promoted by SPDJI, Dow Jones, S&P, or their | |
the fund’s current prospectus. | respective affiliates and none of such parties make any |
All comparative mutual fund data are from Lipper, a | representation regarding the advisability of investing in |
Thomson Reuters Company, or Morningstar, Inc., unless | such product(s) nor do they have any liability for any |
otherwise noted. | errors, omissions, or interruptions of the index. |
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 email addressed to | |
publicinfo@sec.gov or via regular mail addressed to the | |
Public Reference Section, Securities and Exchange | |
Commission, Washington, DC 20549-1520. | |
© 2016 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q18452 042016 |
Item 2: Code of Ethics.
Not Applicable.
Item 3: Audit Committee Financial Expert.
Not Applicable.
Item 4: Principal Accountant Fees and Services.
(a) Audit Fees.
Not Applicable.
Item 5: Audit Committee of Listed Registrants.
Not Applicable.
Item 6: Investments.
Not Applicable.
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management
Investment Companies.
Not Applicable.
Item 8: Portfolio Managers of Closed-End Management Investment Companies.
Not Applicable.
Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and
Affiliated Purchasers.
Not Applicable.
Item 10: Submission of Matters to a Vote of Security Holders.
Not Applicable.
Item 11: Controls and Procedures.
(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
(b) Internal Control Over Financial Reporting. There were no significant changes in Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12: Exhibits.
(a) Certifications.
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
VANGUARD ADMIRAL FUNDS | |
BY: | /s/ F. WILLIAM MCNABB III* |
F. WILLIAM MCNABB III | |
CHIEF EXECUTIVE OFFICER | |
Date: April 15, 2016 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
VANGUARD ADMIRAL FUNDS | |
BY: | /s/ F. WILLIAM MCNABB III* |
F. WILLIAM MCNABB III | |
CHIEF EXECUTIVE OFFICER | |
Date: April 15, 2016 | |
VANGUARD ADMIRAL FUNDS | |
BY: | /s/ THOMAS J. HIGGINS* |
THOMAS J. HIGGINS | |
CHIEF FINANCIAL OFFICER | |
Date: April 15, 2016 |
* 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.