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: | Anne E. Robinson, 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, 2016 – February 28, 2017
Item 1: Reports to Shareholders
![](https://capedge.com/proxy/N-CSRS/0000932471-17-004017/moneymarketfundsx1x1.jpg)
Semiannual Report | February 28, 2017
Vanguard Money Market Funds
Vanguard Prime Money Market Fund
Vanguard Federal Money Market Fund
Vanguard Treasury Money Market Fund
A new format, unwavering commitment
As you begin reading this report, you’ll notice that we’ve made some improvements to the opening sections—based on feedback from you, our clients.
Page 1 starts with a new ”Your Fund’s Performance at a Glance,” a concise, handy summary of how your fund performed during the period.
In the renamed ”Chairman’s Perspective,” Bill McNabb will focus on enduring principles and investment insights.
We’ve modified some tables, and eliminated some redundancy, but we haven’t removed any information.
At Vanguard, we’re always looking for better ways to communicate and to help you make sound investment decisions. Thank you for entrusting your assets to us.
Contents | |
Your Fund’s Performance at a Glance. | 1 |
Chairman’s Perspective. | 3 |
Advisor’s Report. | 6 |
Prime Money Market Fund. | 10 |
Federal Money Market Fund. | 29 |
Treasury Money Market Fund. | 42 |
About Your Fund’s Expenses. | 51 |
Glossary. | 53 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: No matter what language you speak, Vanguard has one consistent message and set of principles. Our primary focus is on you, our clients. We conduct our business with integrity as a faithful steward of your assets. This message is shown translated into seven languages, reflecting our expanding global presence.
Your Fund’s Performance at a Glance
• For the six months ended February 28, 2017, Vanguard Prime Money Market Fund returned 0.33% for Investor Shares and 0.36% for Admiral Shares. Vanguard Federal Money Market Fund returned 0.19%, and Vanguard Treasury Money Market Fund returned 0.17%. All these results surpassed the average returns of the funds’ peer groups.
• The period coincided with the final implementation of new money market regulations.
Under the rules, all three funds covered by this report seek to maintain a stable net asset value of $1 per share.
• In the weeks before and after the October final compliance deadline for the rules, the funds took advantage of market volatility to make portfolio moves that benefited their performance.
• The Federal Reserve raised the federal funds rate during the period by a quarter percentage point, to 0.5%–0.75%, in only the second increase in a decade.
Total Returns: Six Months Ended February 28, 2017 | ||
7-Day SEC | Total | |
Yield | Returns | |
Vanguard Prime Money Market Fund | ||
Investor Shares | 0.80% | 0.33% |
Admiral™ Shares | 0.86 | 0.36 |
Money Market Funds Average | 0.14 |
Money Market Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. In April 2017, the Institutional Money Market Funds Average was replaced with the Money Market Funds Average.
Vanguard Federal Money Market Fund | 0.49% | 0.19% |
Government Money Market Funds Average | 0.04 | |
Government Money Market Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||
Vanguard Treasury Money Market Fund | 0.46% | 0.17% |
iMoneyNet Money Fund Report’s 100% Treasury Funds Average | 0.03 | |
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. |
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Expense Ratios | ||
Your Fund Compared With Its Peer Group | ||
Peer Group | ||
Fund | Average | |
Prime Money Market Fund | ||
Investor Shares | 0.16% | 0.32% |
Admiral Shares | 0.10 | 0.32 |
Federal Money Market Fund | 0.11 | 0.26 |
Treasury Money Market Fund | 0.09 | 0.16 |
The fund expense ratios shown are from the prospectus dated December 23, 2016, and represent estimated costs for the current fiscal year. For the six months ended February 28, 2017, 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 and Admiral Shares, 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 Funds.
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Chairman’s Perspective
![](https://capedge.com/proxy/N-CSRS/0000932471-17-004017/moneymarketfundsx5x1.jpg)
Bill McNabb
Chairman and Chief Executive Officer
Dear Shareholder,
More than a decade ago, a Vanguard client asked us to help improve its defined contribution retirement plan. New hires were participating in the plan at lower rates than in previous years, and the client wanted to reverse this trend. Another priority was to help more participants invest their retirement savings in balanced portfolios.
The overall goal of this longtime client: Give employees a better chance to achieve financial security in retirement.
Today, that plan automatically enrolls employees at a 5% contribution rate, puts them in a low-cost target-date fund that takes on less risk as they near retirement, and offers a comprehensive suite of advice services. On top of that, employees get an employer contribution of 5% and are eligible for a company match.
Because of this combination of attractive features and generous employer contributions, nearly all new hires now participate in the plan, 81% of plan participants invest their retirement savings in balanced portfolios, and 87% of participants meet or exceed Vanguard’s recommended total retirement savings target. (Vanguard generally recommends that retirement investors save 12%–15% of pay, including company matches.)
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Changing the retirement landscape
Am I singling out an isolated Vanguard success story? Absolutely not.
Stories like these are becoming increasingly common with employer-based retirement plans, particularly among large and midsize companies. Solutions such as automatic enrollment, automatic contribution increases, and default investment in target-date funds are having a positive effect.
Insights from the relatively new discipline of behavioral finance have contributed to the advances. Simply put, retirement plans are making natural human inertia work for future retirees, rather than against them, by putting savings on autopilot as much as possible.
More than 60% of Vanguard participants are in plans with automatic enrollment, which has led to a big jump in participation. Today, more than four-fifths of eligible employees are saving for retirement, compared with only two-thirds ten years ago.
In addition, many plans have adopted automatic-escalation features, which increase plan contributions at regular intervals until a maximum level is reached or an employee opts out. Automatic increases are a crucial tool for boosting retirement savings rates.
The growing use of target-date funds is another enormous benefit. More than 70% of all participants in Vanguard plans invest at least part of their retirement savings in
Market Barometer | |||
Total Returns | |||
Periods Ended February 28, 2017 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 10.10% | 25.53% | 13.94% |
Russell 2000 Index (Small-caps) | 12.61 | 36.11 | 12.89 |
Russell 3000 Index (Broad U.S. market) | 10.29 | 26.29 | 13.85 |
FTSE All-World ex US Index (International) | 5.40 | 19.87 | 4.00 |
Bonds | |||
Bloomberg Barclays U.S. Aggregate Bond Index | |||
(Broad taxable market) | -2.19% | 1.42% | 2.24% |
Bloomberg Barclays Municipal Bond Index | |||
(Broad tax-exempt market) | -2.80 | 0.25 | 3.07 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.19 | 0.32 | 0.10 |
CPI | |||
Consumer Price Index | 1.14% | 2.74% | 1.36% |
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these age-appropriate, diversified strategies. And nearly 50% of Vanguard participants are invested solely in a single target-date fund.
Consider a do-it-yourself autopilot
But what if you don’t have access to a world-class, employer-based retirement plan? Unfortunately, not everyone does, which is an important policy issue.
However, you can still put the features of these plans to work. For example, you can set up automatic contributions from your paycheck to an IRA. And you can adopt your own automatic escalation by investing any pay raises.
You can also take a page from top-quality retirement plans by considering a low-cost, globally diversified target-date fund. The beauty of this approach is that you don’t need to remember to rebalance your portfolio—the fund does it for you.
Of course, you can take a more active role in picking your own investments, and this can be a good choice for some. But keep in mind the lessons from successful employer-based plans: Busy workers, faced with a lot of competing priorities, are often best served by putting their retirement savings on autopilot.
Winning by default
In highlighting some recent successes in retirement savings, I don’t want to minimize the challenges we still face. We’re living in a slow-growth, uncertain world, and investment returns for both stocks and bonds could well be modest in the coming decade.
But I believe the innovations we’ve seen in the last ten years in many retirement plans—you might call it the “default revolution”—point the way toward a solution. And that even goes for people whose employers don’t have a world-class retirement plan.
As always, thank you for investing with Vanguard.
![](https://capedge.com/proxy/N-CSRS/0000932471-17-004017/moneymarketfundsx7x1.jpg)
F. William McNabb III
Chairman and Chief Executive Officer
March 14, 2017
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Advisor’s Report
For the six months ended February 28, 2017, Investor Shares of Vanguard Prime Money Market Fund returned 0.33%, while Admiral Shares, with their lower expense ratio, returned 0.36%. Vanguard Federal Money Market Fund returned 0.19% and Vanguard Treasury Money Market Fund 0.17%. The results for all three funds exceeded the average returns of their peer groups.
The investment environment
The period opened on an optimistic note, with investors shrugging off subpar economic readings from the first half of 2016 as third-quarter gross domestic product (GDP) growth exceeded estimates. The U.S. economy appeared to pick up steam, with the manufacturing and housing sectors reporting solid activity and the employment rate continuing to improve. Commodities, especially oil, regained some ground after price declines earlier in the year. Those developments most likely played a large part in the Federal Reserve’s decision in December to raise the federal funds rate by a quarter percentage point, to 0.5%–0.75%—only the second increase in a decade.
That optimism carried over to the U.S. stock market as investors anticipated stronger growth and higher inflation, even as fourth-quarter GDP growth disappointed. The earlier economic improvement and the prospect of more infrastructure spending, greater deregulation, and possible tax-code changes under the new administration
helped fuel a shift toward riskier assets, propelling stocks to record highs in early 2017.
Corporate bonds, especially those of lower quality and with longer maturities, also saw strong demand, pushing their prices higher and their yields lower. The average yield on corporates dropped to 115 basis points (bps) over U.S. Treasuries at the end of the period, from 135 bps at the beginning. (A basis point is one one-hundredth of a percentage point.)
In contrast, demand for Treasuries slumped, lifting their yields. Over the six months, the bellwether 10-year Treasury yield jumped 81 bps to 2.39%, and the 30-year yield rose 77 bps to 3.00%. The 2-year Treasury yield climbed 45 bps to 1.26%. Yields of money market-eligible securities also increased.
As the period closed, yields moved up further as markets interpreted comments from Fed officials about employment and inflation expectations to mean that the next increase in the federal funds rate was likely to come at the Fed’s March meeting. And in fact, on March 15, the Fed raised it by another quarter percentage point, to 0.75%–1%, while projecting two more rate hikes this year.
Abroad during the fund’s reporting period, major central banks kept their monetary policies accommodative. The Bank of Japan continued to charge a negative
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interest rate on the excess reserves of financial institutions, a policy intended to complement its other efforts to spur growth and ward off deflation. As the period closed, there were signs that these efforts may be working, as Japan’s consumer price index rose for the first time in more than a year.
Management of the fund
The period coincided with the final implementation of new money market regulations adopted by the Securities and Exchange Commission in 2014. Under the rules, all three Vanguard funds covered in this report seek to maintain a stable net asset value of $1 per share.
Because it is designated a retail fund, Vanguard Prime Money Market Fund can impose liquidity fees and redemption “gates,” designed to help keep funds stable during times of extreme market stress. Please note that we manage our funds conservatively and seek to maintain liquidity above the levels at which fees and gates would be triggered. (See the box on page 9 for more details.)
In the run-up to the rules’ final compliance deadline in October, more than $1 trillion in assets industrywide moved to government money market funds from prime money market funds, leading yield spreads to widen between short-term government securities and bank certificates of deposit. In the weeks before implementation, we took steps to prepare for the volatility,
including maintaining the funds’ liquidity in excess of SEC targets and shortening the weighted average maturity. These measures allowed us to provide maximum safety and liquidity.
Since then, we have taken advantage of market movements to make slight changes to the portfolios. In anticipation of rising interest rates, we began adding to the Prime Money Market Fund floating-rate debt that resets periodically at prevailing market rates. We also reduced that fund’s exposure to government securities in favor of bank debt maturing within one week.
As the spread between Treasury and agency securities has narrowed, we’ve been diversifying the Federal Money Market Fund’s portfolio by adding to its Treasury exposure. We also added to floating-rate agency notes when spreads allowed us to capture value.
We’ve been managing the Treasury Money Market Fund’s average maturity in anticipation of higher interest rates. We are also closely monitoring any debate about the debt ceiling that may occur later this year and that could affect the markets.
A look ahead
Absent an unexpected external shock, the U.S. economy looks to continue its steady growth. Real GDP is likely to be about 2% in 2017, or maybe closer to 2.5% if policies prove expansionary. As the labor market moves closer to the Fed’s full employment
7
target, competition for labor could push the pace of annual wage increases into the 3%–4% range. That should fan inflation in the short term, but not to the point of overheating.
We’re encouraged by the Fed’s decision to continue the process of normalizing rates, which have been near zero since 2009. Although the federal funds rate could increase to 1.25%–1.5% by the end of 2017, we nevertheless think the Fed will maintain its dovish tightening approach, given the anti-inflationary forces still at work in the global economy.
Although corporate fundamentals stand to benefit from the new administration’s agenda, we’re also closely monitoring
developments that could negatively affect our outlook. These include trade and immigration policy, political developments in Europe, and further weakness in the Chinese economy.
Regardless of what the markets may bring, our experienced team of portfolio managers, traders, and credit analysts will continue to seek out opportunities to add to the funds’ performance while keeping the safety of your investment paramount.
David R. Glocke, Principal
Vanguard Fixed Income Group
March 16, 2017
8
Money market reform: What’s changed and what hasn’t
The final phase of money market reform took effect on October 14, 2016, the compliance date for the Securities and Exchange Commission’s new rules designed to enhance the stability and resilience of all money market funds.
Under the rules, Vanguard Prime Money Market Fund qualifies as a retail fund, and Vanguard Federal and Treasury Money Market Funds are government funds, which means all three will seek to maintain a stable net asset value of $1 per share. (Institutional money market funds, which have floating share prices, are not offered by Vanguard.)
We now report the funds’ weekly liquid assets, daily market value to four decimal places, and daily net shareholder cash flow. (See your fund’s Portfolio & Management tab on vanguard.com.)
Two other changes for the Prime Money Market Fund involve liquidity fees and redemption “gates,” tools to help keep funds stable during times of extreme market duress. These tools are not required for government funds.
A fee of up to 2% may be imposed by the fund’s board on the sale of shares if the fund’s weekly liquid assets fall below specified thresholds of its total assets. (The SEC has strict definitions for “liquid” assets; generally this refers to assets that can be sold in the normal course of business with little impact on their price.) The fee would reduce the dollar amount you receive for your redemption.
A gate is a temporary suspension of redemptions. The board may impose either fees or gates or both. Please note that we manage our funds conservatively and seek to maintain liquidity above the levels at which fees and gates would be imposed. You can learn more in your fund’s prospectus, available at vanguard.com.
9
Prime Money Market Fund
Fund Profile
As of February 28, 2017
Financial Attributes | ||
Investor | Admiral | |
Shares | Shares | |
Ticker Symbol | VMMXX | VMRXX |
Expense Ratio1 | 0.16% | 0.10% |
7-Day SEC Yield | 0.80% | 0.86% |
Average Weighted | ||
Maturity | 40 days | 40 days |
Sector Diversification (% of portfolio) | ||
Certificates of Deposit | 9.0% | |
U.S. Commercial Paper | 3.5 | |
Other | 2.6 | |
Repurchase Agreements | 1.2 | |
U.S. Government Obligations | 1.5 | |
U.S. Treasury Bills | 20.0 | |
Yankee/Foreign | 62.2 |
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.
1 The expense ratios shown are from the prospectus dated December 23, 2016, and represent estimated costs for the current fiscal year. For the six months ended February 28, 2017, the annualized expense ratios were 0.16% for Investor Shares and 0.10% for Admiral Shares.
10
Prime Money Market Fund
Performance Summary
Investment returns will fluctuate. All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) The returns shown do not reflect taxes that a shareholder would pay on fund distributions. The fund is only available to retail investors (natural persons). You could lose money by investing in the fund. Although the fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The fund may impose a fee upon the sale of your shares or may temporarily suspend your ability to sell shares if the fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The fund’s sponsor has no legal obligation to provide financial support to the fund, and you should not expect that the sponsor will provide financial support to the fund at any time.
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, 2006, Through February 28, 2017 | ||
Money | ||
Market | ||
Funds | ||
Investor Shares | Average | |
Fiscal Year | Total Returns | Total Returns |
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 | 0.32 | 0.04 |
2017 | 0.33 | 0.14 |
7-day SEC yield (2/28/2017): 0.80% | ||
Money Market Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||
Note: For 2017, performance data reflect the six months ended February 28, 2017. |
Average Annual Total Returns: Periods Ended December 31, 2016
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 | 0.49% | 0.12% | 0.90% |
Admiral Shares | 10/3/1989 | 0.55 | 0.18 | 1.00 |
See Financial Highlights for dividend information. |
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Prime Money Market Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 28, 2017
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 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 (21.5%) | |||||
2 | Federal Home Loan Bank Discount Notes | 0.500% | 3/1/17 | 2,000 | 2,000 |
United States Treasury Bill | 0.420% | 3/2/17 | 2,763 | 2,763 | |
United States Treasury Bill | 0.471% | 4/20/17 | 172,294 | 172,182 | |
United States Treasury Bill | 0.476% | 4/27/17 | 1,762,403 | 1,761,078 | |
United States Treasury Bill | 0.501% | 5/4/17 | 1,992,332 | 1,990,561 | |
United States Treasury Bill | 0.527%–0.536% | 5/11/17 | 3,501,777 | 3,498,102 | |
United States Treasury Bill | 0.541%–0.627% | 5/18/17 | 3,000,000 | 2,996,122 | |
United States Treasury Bill | 0.612% | 6/1/17 | 4,000,000 | 3,993,764 | |
United States Treasury Bill | 0.612%–0.613% | 6/8/17 | 1,000,000 | 998,321 | |
United States Treasury Bill | 0.647% | 6/15/17 | 2,000,000 | 1,996,202 | |
United States Treasury Bill | 0.662% | 6/29/17 | 1,500,000 | 1,496,700 | |
United States Treasury Bill | 0.632% | 7/6/17 | 988,950 | 986,752 | |
3 | United States Treasury Floating Rate Note | 0.686% | 10/31/18 | 1,500,000 | 1,500,024 |
Total U.S. Government and Agency Obligations (Cost $21,394,571) | 21,394,571 | ||||
Commercial Paper (32.0%) | |||||
Bank Holding Company (0.3%) | |||||
4 | ABN Amro Funding USA LLC | 1.195% | 4/27/17 | 79,250 | 79,101 |
4 | ABN Amro Funding USA LLC | 1.154% | 5/18/17 | 40,500 | 40,399 |
4 | ABN Amro Funding USA LLC | 1.154% | 5/22/17 | 120,000 | 119,686 |
4 | ABN Amro Funding USA LLC | 1.125% | 6/22/17 | 19,750 | 19,680 |
258,866 | |||||
Finance—Auto (1.3%) | |||||
American Honda Finance Corp. | 0.852% | 3/16/17 | 109,000 | 108,961 | |
American Honda Finance Corp. | 0.932% | 4/24/17 | 73,500 | 73,398 | |
American Honda Finance Corp. | 0.973% | 5/4/17 | 181,050 | 180,738 | |
American Honda Finance Corp. | 0.973% | 5/5/17 | 123,275 | 123,059 | |
4 | BMW US Capital LLC | 0.913% | 6/28/17 | 23,750 | 23,679 |
Toyota Motor Credit Corp. | 1.004% | 3/2/17 | 95,250 | 95,247 | |
Toyota Motor Credit Corp. | 1.046% | 5/8/17 | 85,900 | 85,731 | |
Toyota Motor Credit Corp. | 1.024% | 6/27/17 | 102,000 | 101,659 | |
3 | Toyota Motor Credit Corp. | 1.345% | 7/3/17 | 40,000 | 40,000 |
3 | Toyota Motor Credit Corp. | 1.210% | 8/25/17 | 82,500 | 82,500 |
3 | Toyota Motor Credit Corp. | 1.191% | 9/14/17 | 155,000 | 155,000 |
3 | Toyota Motor Credit Corp. | 1.190% | 9/15/17 | 131,000 | 131,000 |
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Prime Money Market Fund | ||||||
Face | Market | |||||
Maturity | Amount | Value• | ||||
Yield1 | Date | ($000) | ($000) | |||
3 | Toyota Motor Credit Corp. | 1.171% | 10/6/17 | 69,500 | 69,500 | |
3 | Toyota Motor Credit Corp. | 1.171% | 10/10/17 | 52,250 | 52,250 | |
1,322,722 | ||||||
Foreign Banks (23.1%) | ||||||
3,4 | Australia & New Zealand Banking Group, Ltd. | 1.347% | 3/6/17 | 540,750 | 540,750 | |
4 | Australia & New Zealand Banking Group, Ltd. | 1.167% | 3/20/17 | 171,500 | 171,395 | |
4 | Australia & New Zealand Banking Group, Ltd. | 1.167% | 3/21/17 | 173,500 | 173,388 | |
4 | Australia & New Zealand Banking Group, Ltd. | 1.157% | 3/23/17 | 399,800 | 399,519 | |
3,4 | Bank of Nova Scotia | 1.474% | 5/12/17 | 15,000 | 15,013 | |
3,4 | Bank of Nova Scotia | 1.147% | 6/6/17 | 405,000 | 405,000 | |
3,4 | Bank of Nova Scotia | 1.148% | 7/26/17 | 650,000 | 650,000 | |
3,4 | Canadian Imperial Holdings Inc. | 1.229% | 7/24/17 | 1,345,000 | 1,345,000 | |
3,4 | Commonwealth Bank of Australia | 1.372% | 3/7/17 | 200,000 | 200,000 | |
3,4 | Commonwealth Bank of Australia | 1.372% | 3/10/17 | 350,000 | 350,000 | |
3,4 | Commonwealth Bank of Australia | 1.328% | 5/19/17 | 103,750 | 103,750 | |
3,4 | Commonwealth Bank of Australia | 1.331% | 5/26/17 | 296,250 | 296,250 | |
3,4 | Commonwealth Bank of Australia | 1.431% | 6/20/17 | 250,000 | 250,000 | |
3,4 | Commonwealth Bank of Australia | 1.429% | 6/21/17 | 206,000 | 206,000 | |
3,4 | Commonwealth Bank of Australia | 1.221% | 6/30/17 | 247,750 | 247,750 | |
3,4 | Commonwealth Bank of Australia | 1.401% | 6/30/17 | 165,750 | 165,750 | |
3,4 | Commonwealth Bank of Australia | 1.334% | 8/1/17 | 297,250 | 297,250 | |
3,4 | Commonwealth Bank of Australia | 1.335% | 8/3/17 | 242,000 | 242,000 | |
3,4 | Commonwealth Bank of Australia | 1.461% | 9/25/17 | 134,250 | 134,250 | |
3,4 | Commonwealth Bank of Australia | 1.292% | 1/12/18 | 75,000 | 75,000 | |
3,4 | Commonwealth Bank of Australia | 1.250% | 1/25/18 | 248,000 | 248,000 | |
3,4 | Commonwealth Bank of Australia | 1.250% | 1/29/18 | 182,000 | 182,000 | |
3,4 | Commonwealth Bank of Australia | 1.171% | 2/26/18 | 63,000 | 63,000 | |
Credit Agricole Corporate | ||||||
& Investment Bank (New York Branch) | 0.570% | 3/1/17 | 1,988,000 | 1,988,000 | ||
4 | Danske Corp. | 1.043% | 4/19/17 | 244,500 | 244,154 | |
4 | Danske Corp. | 1.129% | 4/24/17 | 186,150 | 185,836 | |
4 | Danske Corp. | 1.104% | 5/9/17 | 96,000 | 95,798 | |
4 | Danske Corp. | 1.104% | 5/10/17 | 128,750 | 128,475 | |
4 | Danske Corp. | 1.033% | 6/1/17 | 250,200 | 249,541 | |
4 | Danske Corp. | 1.084% | 6/16/17 | 175,742 | 175,178 | |
4 | Danske Corp. | 1.084% | 6/19/17 | 21,000 | 20,931 | |
4 | Danske Corp. | 1.115%–1.125% | 7/5/17 | 84,340 | 84,010 | |
4 | DNB Bank ASA | 1.064% | 5/19/17 | 500,000 | 498,837 | |
4 | DNB Bank ASA | 1.023% | 6/27/17 | 500,000 | 498,328 | |
ING US Funding LLC | 1.084% | 5/12/17 | 500,000 | 498,920 | ||
Lloyds Bank plc | 1.084% | 5/4/17 | 247,700 | 247,224 | ||
Lloyds Bank plc | 0.982% | 5/26/17 | 67,900 | 67,741 | ||
Lloyds Bank plc | 1.064% | 6/13/17 | 99,000 | 98,697 | ||
3,4 | National Australia Bank Ltd. | 1.210% | 3/3/17 | 500,000 | 500,000 | |
3,4 | National Australia Bank Ltd. | 1.372% | 4/10/17 | 288,000 | 288,000 | |
4 | National Australia Bank Ltd. | 1.096% | 4/18/17 | 298,500 | 298,066 | |
3,4 | National Australia Bank Ltd. | 1.359% | 6/16/17 | 250,000 | 250,000 | |
3,4 | National Australia Bank Ltd. | 1.207% | 8/4/17 | 170,250 | 170,250 | |
3,4 | National Australia Bank Ltd. | 1.225% | 9/8/17 | 600,000 | 600,000 | |
3,4 | National Australia Bank Ltd. | 1.021% | 11/28/17 | 484,000 | 484,000 | |
Natixis (New York Branch) | 0.690% | 3/1/17 | 1,000,000 | 1,000,000 | ||
4 | Nordea Bank AB | 1.207% | 3/16/17 | 450,000 | 449,775 | |
4 | Nordea Bank AB | 1.182% | 3/20/17 | 500,000 | 499,690 | |
4 | Nordea Bank AB | 1.187% | 7/24/17 | 42,300 | 42,099 |
13
Prime Money Market Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Yield1 | Date | ($000) | ($000) | ||
4 | Societe Generale SA | 0.635%–0.65% | 3/1/17 | 635,807 | 635,807 |
4 | Societe Generale SA | 0.640% | 3/3/17 | 341,000 | 340,988 |
Swedbank AB | 1.167% | 3/6/17 | 200,000 | 199,968 | |
Swedbank AB | 1.167% | 3/7/17 | 200,000 | 199,961 | |
Swedbank AB | 1.167% | 3/8/17 | 200,000 | 199,955 | |
Swedbank AB | 1.167% | 3/9/17 | 200,000 | 199,948 | |
Swedbank AB | 1.136% | 3/20/17 | 195,000 | 194,884 | |
Swedbank AB | 1.137% | 3/21/17 | 200,000 | 199,874 | |
Swedbank AB | 1.137% | 3/22/17 | 105,000 | 104,931 | |
Swedbank AB | 1.066% | 4/3/17 | 200,000 | 199,806 | |
Swedbank AB | 1.066% | 4/4/17 | 200,000 | 199,800 | |
Swedbank AB | 1.008% | 6/12/17 | 197,000 | 196,434 | |
Swedbank AB | 1.008% | 6/13/17 | 197,000 | 196,428 | |
Swedbank AB | 1.003%–1.013% | 6/14/17 | 110,300 | 109,976 | |
Swedbank AB | 1.003% | 6/16/17 | 133,400 | 133,004 | |
Swedbank AB | 1.013% | 6/19/17 | 165,000 | 164,491 | |
Swedbank AB | 1.013% | 6/20/17 | 175,000 | 174,455 | |
Swedbank AB | 1.013% | 6/21/17 | 170,000 | 169,466 | |
Swedbank AB | 1.008% | 6/22/17 | 33,300 | 33,195 | |
Swedbank AB | 1.177% | 7/26/17 | 200,000 | 199,044 | |
Swedbank AB | 1.177% | 7/27/17 | 190,000 | 189,086 | |
Swedbank AB | 1.177% | 7/28/17 | 110,000 | 109,467 | |
3,4 | Westpac Banking Corp. | 1.318% | 5/26/17 | 413,000 | 413,000 |
3,4 | Westpac Banking Corp. | 1.461% | 9/28/17 | 150,000 | 150,000 |
3,4 | Westpac Banking Corp. | 1.409% | 9/29/17 | 100,000 | 100,000 |
3,4 | Westpac Banking Corp. | 1.405% | 10/6/17 | 200,000 | 200,000 |
3,4 | Westpac Banking Corp. | 1.427% | 10/6/17 | 198,000 | 198,000 |
3,4 | Westpac Banking Corp. | 1.291% | 12/14/17 | 355,000 | 355,000 |
3,4 | Westpac Banking Corp. | 1.295% | 1/8/18 | 200,000 | 200,000 |
3,4 | Westpac Banking Corp. | 1.223% | 2/2/18 | 600,000 | 600,000 |
22,991,583 | |||||
Foreign Governments (3.0%) | |||||
4 | CDP Financial Inc. | 1.146% | 3/7/17 | 37,700 | 37,693 |
4 | CDP Financial Inc. | 1.238% | 3/17/17 | 37,000 | 36,980 |
4 | CDP Financial Inc. | 1.207% | 3/30/17 | 30,000 | 29,971 |
4 | CDP Financial Inc. | 1.217%–1.228% | 4/3/17 | 81,250 | 81,160 |
4 | CDP Financial Inc. | 0.982%–1.156% | 4/20/17 | 37,250 | 37,195 |
4 | CDP Financial Inc. | 1.157% | 4/24/17 | 15,000 | 14,974 |
4 | CDP Financial Inc. | 1.147% | 5/8/17 | 54,500 | 54,383 |
4 | CDP Financial Inc. | 1.104% | 5/9/17 | 66,900 | 66,759 |
4 | CDP Financial Inc. | 1.106% | 5/10/17 | 80,000 | 79,829 |
4 | CDP Financial Inc. | 1.206% | 6/8/17 | 23,750 | 23,672 |
4 | CDP Financial Inc. | 1.257% | 6/30/17 | 48,450 | 48,246 |
4 | CDP Financial Inc. | 1.309% | 7/12/17 | 58,500 | 58,219 |
4 | CDP Financial Inc. | 1.309% | 7/13/17 | 70,750 | 70,408 |
4 | CDP Financial Inc. | 1.196% | 8/4/17 | 38,750 | 38,550 |
5 | CPPIB Capital Inc. | 0.862% | 5/3/17 | 300,000 | 299,548 |
5 | CPPIB Capital Inc. | 0.862% | 5/4/17 | 100,000 | 99,847 |
5 | CPPIB Capital Inc. | 0.867% | 6/21/17 | 300,000 | 299,193 |
4 | Hydro-Quebec | 0.842% | 5/1/17 | 24,000 | 23,966 |
3,4 | Ontario Teachers’ Finance Trust | 1.399% | 3/2/17 | 99,000 | 99,000 |
3,4 | Ontario Teachers’ Finance Trust | 1.391% | 3/31/17 | 50,000 | 50,000 |
4 | Ontario Teachers’ Finance Trust | 1.239% | 4/26/17 | 24,750 | 24,703 |
4 | Ontario Teachers’ Finance Trust | 1.228% | 5/10/17 | 17,250 | 17,209 |
14
Prime Money Market Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Yield1 | Date | ($000) | ($000) | ||
4 | Ontario Teachers’ Finance Trust | 1.239% | 5/19/17 | 69,000 | 68,814 |
3,4 | Ontario Teachers’ Finance Trust | 1.148% | 7/27/17 | 66,500 | 66,500 |
3,4 | Ontario Teachers’ Finance Trust | 1.230% | 8/3/17 | 99,000 | 99,000 |
4 | Ontario Teachers’ Finance Trust | 1.269% | 8/21/17 | 49,500 | 49,200 |
4 | Ontario Teachers’ Finance Trust | 1.310% | 8/24/17 | 49,500 | 49,185 |
4 | Ontario Teachers’ Finance Trust | 1.259% | 9/18/17 | 49,500 | 49,154 |
Province of British Columbia | 0.952% | 3/22/17 | 66,440 | 66,403 | |
Province of Ontario | 0.850% | 5/4/17 | 50,000 | 49,925 | |
5 | PSP Capital Inc. | 0.982% | 4/17/17 | 55,000 | 54,930 |
5 | PSP Capital Inc. | 0.982% | 4/18/17 | 119,000 | 118,844 |
5 | PSP Capital Inc. | 0.982% | 4/19/17 | 35,800 | 35,752 |
5 | PSP Capital Inc. | 1.034% | 5/5/17 | 95,000 | 94,823 |
5 | PSP Capital Inc. | 1.034% | 5/8/17 | 74,250 | 74,105 |
5 | PSP Capital Inc. | 1.034% | 5/9/17 | 50,250 | 50,151 |
5 | PSP Capital Inc. | 1.023% | 5/24/17 | 94,500 | 94,275 |
5 | PSP Capital Inc. | 1.023% | 5/25/17 | 76,000 | 75,817 |
5 | PSP Capital Inc. | 1.024% | 5/30/17 | 67,500 | 67,328 |
5 | PSP Capital Inc. | 1.013% | 6/1/17 | 37,525 | 37,428 |
5 | PSP Capital Inc. | 0.963% | 6/20/17 | 24,750 | 24,677 |
5 | PSP Capital Inc. | 0.953%–0.963% | 6/23/17 | 73,750 | 73,527 |
5 | PSP Capital Inc. | 0.943% | 6/30/17 | 51,250 | 51,088 |
2,942,431 | |||||
Foreign Industrial (2.1%) | |||||
4 | BASF SE | 0.570% | 3/1/17 | 115,750 | 115,750 |
Nestle Finance International Ltd. | 0.893% | 6/22/17 | 249,750 | 249,052 | |
4 | Total Capital Canada Ltd. | 0.957% | 3/20/17 | 495,000 | 494,750 |
4 | Total Capital Canada Ltd. | 0.957% | 3/22/17 | 291,250 | 291,088 |
4 | Total Capital Canada Ltd. | 0.952% | 4/10/17 | 59,500 | 59,437 |
4 | Total Capital Canada Ltd. | 0.952% | 4/11/17 | 386,250 | 385,832 |
4 | Total Capital Canada Ltd. | 0.942% | 4/18/17 | 109,500 | 109,363 |
4 | Total Capital Canada Ltd. | 0.932% | 4/28/17 | 38,500 | 38,442 |
4 | Toyota Capital Canada Ltd. | 0.952% | 4/3/17 | 198,000 | 197,828 |
Toyota Credit Canada Inc. | 0.933% | 3/8/17 | 49,500 | 49,491 | |
Toyota Credit Canada Inc. | 0.882% | 3/20/17 | 33,000 | 32,985 | |
Toyota Credit Canada Inc. | 1.013% | 4/5/17 | 49,500 | 49,451 | |
Toyota Credit Canada Inc. | 1.187% | 8/14/17 | 35,000 | 34,810 | |
2,108,279 | |||||
Industrial (2.2%) | |||||
General Electric Co. | 0.550% | 3/7/17 | 68,000 | 67,994 | |
4 | Merck & Co. Inc. | 0.570% | 3/7/17 | 50,750 | 50,745 |
4 | Microsoft Corp. | 0.852% | 3/6/17 | 1,951,750 | 1,951,520 |
4 | Novartis Finance Corp. | 0.600% | 3/1/17 | 40,750 | 40,750 |
4 | Pfizer Inc. | 0.550% | 3/7/17 | 61,250 | 61,244 |
4 | Wal-Mart Stores, Inc. | 0.560% | 3/6/17 | 34,000 | 33,997 |
2,206,250 | |||||
Total Commercial Paper (Cost $31,830,131) | 31,830,131 | ||||
Certificates of Deposit (41.3%) | |||||
Domestic Banks (8.2%) | |||||
Citibank NA | 1.060% | 3/17/17 | 101,000 | 101,000 | |
Citibank NA | 1.050% | 4/3/17 | 396,000 | 396,000 | |
3 | HSBC Bank USA NA | 1.380% | 3/1/17 | 300,000 | 300,000 |
3 | HSBC Bank USA NA | 1.380% | 3/3/17 | 300,000 | 300,000 |
3 | HSBC Bank USA NA | 1.377% | 3/6/17 | 100,000 | 100,000 |
15
Prime Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Yield1 | Date | ($000) | ($000) | |
3 HSBC Bank USA NA | 1.390% | 4/3/17 | 90,000 | 90,000 |
3 HSBC Bank USA NA | 1.390% | 5/3/17 | 377,000 | 377,000 |
3 HSBC Bank USA NA | 1.387% | 5/4/17 | 97,000 | 97,000 |
3 HSBC Bank USA NA | 1.247% | 6/5/17 | 170,250 | 170,250 |
3 HSBC Bank USA NA | 1.160% | 9/1/17 | 407,000 | 407,000 |
3 JPMorgan Chase Bank NA | 1.329% | 4/21/17 | 55,000 | 55,000 |
3 JPMorgan Chase Bank NA | 1.329% | 5/2/17 | 72,000 | 72,000 |
3 State Street Bank & Trust Co. | 1.178% | 5/25/17 | 1,960,000 | 1,960,000 |
3 State Street Bank & Trust Co. | 1.161% | 6/21/17 | 991,000 | 991,000 |
3 Wells Fargo Bank NA | 1.327% | 3/22/17 | 200,000 | 200,000 |
3 Wells Fargo Bank NA | 1.272% | 4/18/17 | 500,000 | 500,000 |
3 Wells Fargo Bank NA | 1.251% | 5/2/17 | 250,000 | 250,000 |
3 Wells Fargo Bank NA | 1.240% | 5/4/17 | 500,000 | 500,000 |
3 Wells Fargo Bank NA | 1.180% | 6/1/17 | 500,000 | 500,000 |
3 Wells Fargo Bank NA | 1.199% | 6/21/17 | 400,000 | 400,000 |
3 Wells Fargo Bank NA | 1.159% | 7/24/17 | 362,000 | 362,000 |
8,128,250 | ||||
Eurodollar Certificates of Deposit (0.9%) | ||||
3 National Australia Bank Ltd. | 1.167% | 11/6/17 | 890,000 | 890,000 |
Yankee Certificates of Deposit (32.2%) | ||||
3 Bank of Montreal (Chicago Branch) | 1.366% | 3/7/17 | 483,500 | 483,500 |
3 Bank of Montreal (Chicago Branch) | 1.179% | 5/2/17 | 500,000 | 500,000 |
3 Bank of Montreal (Chicago Branch) | 1.166% | 6/7/17 | 1,054,000 | 1,054,000 |
3 Bank of Montreal (Chicago Branch) | 1.159% | 7/18/17 | 250,000 | 250,000 |
3 Bank of Montreal (Chicago Branch) | 0.971% | 9/1/17 | 378,000 | 378,000 |
3 Bank of Nova Scotia (Houston Branch) | 1.341% | 3/14/17 | 950,000 | 950,000 |
Bank of Tokyo-Mitsubishi UFJ Ltd. | ||||
(New York Branch) | 1.120% | 5/17/17 | 1,000,000 | 1,000,000 |
Bank of Tokyo-Mitsubishi UFJ Ltd. | ||||
(New York Branch) | 1.130% | 6/1/17 | 100,000 | 100,000 |
Bank of Tokyo-Mitsubishi UFJ Ltd. | ||||
(New York Branch) | 1.140% | 6/1/17 | 150,000 | 150,000 |
Bank of Tokyo-Mitsubishi UFJ Ltd. | ||||
(New York Branch) | 1.140% | 6/2/17 | 749,000 | 749,000 |
BNP Paribas SA (New York Branch) | 0.690% | 3/1/17 | 1,000,000 | 1,000,000 |
BNP Paribas SA (New York Branch) | 0.670% | 3/7/17 | 987,000 | 987,000 |
3 Canadian Imperial Bank of Commerce | ||||
(New York Branch) | 1.341% | 3/14/17 | 235,000 | 235,000 |
Canadian Imperial Bank of Commerce | ||||
(New York Branch) | 1.100% | 4/4/17 | 750,000 | 750,000 |
3 Canadian Imperial Bank of Commerce | ||||
(New York Branch) | 1.170% | 5/3/17 | 204,000 | 204,000 |
Credit Industriel et Commercial | ||||
(New York Branch) | 0.690% | 3/2/17 | 1,988,000 | 1,988,000 |
Credit Suisse AG (New York Branch) | 1.150% | 3/17/17 | 138,000 | 138,000 |
Credit Suisse AG (New York Branch) | 1.150% | 3/20/17 | 362,000 | 362,000 |
DNB Bank ASA (New York Branch) | 0.660% | 3/3/17 | 469,000 | 469,000 |
DNB Bank ASA (New York Branch) | 1.040% | 5/12/17 | 500,000 | 500,000 |
DNB Bank ASA (New York Branch) | 1.060% | 5/22/17 | 515,000 | 515,000 |
KBC Bank NV (New York Branch) | 0.680% | 3/1/17 | 1,989,000 | 1,989,000 |
Natixis (New York Branch) | 0.690% | 3/1/17 | 989,000 | 989,000 |
3 Nordea Bank AB (New York Branch) | 1.325% | 3/8/17 | 630,000 | 630,000 |
Nordea Bank AB (New York Branch) | 0.985% | 6/22/17 | 194,000 | 193,997 |
16
Prime Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Yield1 | Date | ($000) | ($000) | |
Nordea Bank AB (New York Branch) | 0.990% | 6/30/17 | 198,250 | 198,247 |
Nordea Bank AB (New York Branch) | 1.200% | 7/24/17 | 154,000 | 154,000 |
Nordea Bank AB (New York Branch) | 1.160% | 7/26/17 | 200,000 | 200,000 |
3 Royal Bank of Canada (New York Branch) | 1.379% | 3/2/17 | 495,000 | 495,000 |
3 Royal Bank of Canada (New York Branch) | 1.325% | 3/8/17 | 497,000 | 497,000 |
3 Royal Bank of Canada (New York Branch) | 1.151% | 6/12/17 | 460,000 | 460,000 |
3 Royal Bank of Canada (New York Branch) | 1.160% | 7/3/17 | 125,000 | 125,000 |
3 Royal Bank of Canada (New York Branch) | 1.159% | 7/24/17 | 250,000 | 250,000 |
3 Royal Bank of Canada (New York Branch) | 1.179% | 8/23/17 | 1,000,000 | 1,000,000 |
Skandinaviska Enskilda Banken AB | ||||
(New York Branch) | 0.650% | 3/3/17 | 1,600,000 | 1,600,000 |
Skandinaviska Enskilda Banken AB | ||||
(New York Branch) | 0.950% | 5/30/17 | 885,000 | 885,000 |
Societe Generale (New York Branch) | 0.640% | 3/3/17 | 186,000 | 186,000 |
Sumitomo Mitsui Banking Corp. | ||||
(New York Branch) | 1.100% | 4/4/17 | 600,000 | 600,000 |
Sumitomo Mitsui Banking Corp. | ||||
(New York Branch) | 1.100% | 4/21/17 | 400,000 | 400,000 |
3 Svenska HandelsBanken (New York Branch) | 1.377% | 4/6/17 | 400,000 | 400,000 |
3 Svenska HandelsBanken (New York Branch) | 1.199% | 5/2/17 | 500,000 | 500,000 |
3 Svenska HandelsBanken (New York Branch) | 1.317% | 5/4/17 | 200,000 | 200,000 |
3 Svenska HandelsBanken (New York Branch) | 1.248% | 5/26/17 | 800,000 | 800,000 |
3 Svenska HandelsBanken (New York Branch) | 1.157% | 7/5/17 | 1,050,000 | 1,050,000 |
Svenska HandelsBanken (New York Branch) | 1.210% | 7/26/17 | 60,000 | 60,000 |
3 Swedbank AB (New York Branch) | 1.351% | 3/1/17 | 397,000 | 397,000 |
3 Toronto Dominion Bank (New York Branch) | 1.145% | 6/8/17 | 496,000 | 496,000 |
3 Toronto Dominion Bank (New York Branch) | 1.335% | 7/6/17 | 495,750 | 495,750 |
3 Toronto Dominion Bank (New York Branch) | 1.192% | 8/17/17 | 700,000 | 700,000 |
3 Toronto Dominion Bank (New York Branch) | 1.239% | 9/5/17 | 500,000 | 500,000 |
3 Toronto Dominion Bank (New York Branch) | 1.220% | 11/1/17 | 807,000 | 807,000 |
UBS AG (Stamford Branch) | 1.010% | 6/9/17 | 297,000 | 297,000 |
UBS AG (Stamford Branch) | 1.010% | 6/12/17 | 298,000 | 298,000 |
UBS AG (Stamford Branch) | 1.010% | 6/13/17 | 155,000 | 155,000 |
UBS AG (Stamford Branch) | 1.050% | 6/19/17 | 500,000 | 500,000 |
3 Westpac Banking Corp. (New York Branch) | 1.226% | 3/7/17 | 500,000 | 500,000 |
3 Westpac Banking Corp. (New York Branch) | 1.317% | 6/6/17 | 200,000 | 200,000 |
31,970,494 | ||||
Total Certificates of Deposit (Cost $40,988,744) | 40,988,744 | |||
Other Notes (0.8%) | ||||
Bank of America NA | 0.890% | 3/1/17 | 170,250 | 170,250 |
Bank of America NA | 1.060% | 5/12/17 | 244,000 | 244,000 |
Bank of America NA | 1.050% | 6/1/17 | 169,500 | 169,500 |
Bank of America NA | 1.060% | 7/3/17 | 171,000 | 171,000 |
Total Other Notes (Cost $754,750) | 754,750 | |||
Repurchase Agreements (1.2%) | ||||
Federal Reserve Bank of New York | ||||
(Dated 2/28/17, Repurchase Value | ||||
$1,182,016,000, collateralized by | ||||
U.S. Treasury Note/Bond 0.875%, | ||||
7/31/19, with a value of $1,182,016,000) | 0.500% | 3/1/17 | 1,182,000 | 1,182,000 |
Total Repurchase Agreements (Cost $1,182,000) | 1,182,000 |
17
Prime Money Market Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Yield1 | Date | ($000) | ($000) | ||
Tax-Exempt Municipal Bonds (1.7%) | |||||
6 | Arizona Health Facilities Authority Revenue | ||||
(Banner Health) VRDO | 0.650% | 3/7/17 | 61,705 | 61,705 | |
6 | Arizona Health Facilities Authority Revenue | ||||
(Catholic Healthcare West) VRDO | 0.640% | 3/7/17 | 29,625 | 29,625 | |
6 | Big Bear Lake CA Industrial Revenue | ||||
(Southwest Gas Corp. Project) VRDO | 0.660% | 3/7/17 | 33,500 | 33,500 | |
5,6 | BlackRock Municipal Income Trust TOB VRDO | 0.750% | 3/1/17 | 207,000 | 207,000 |
Board of Regents of the University of | |||||
Texas System Revenue Financing | |||||
System Revenue VRDO | 0.600% | 3/7/17 | 99,495 | 99,495 | |
Board of Regents of the University of | |||||
Texas System Revenue Financing | |||||
System Revenue VRDO | 0.600% | 3/7/17 | 70,750 | 70,750 | |
6 | California GO VRDO | 0.590% | 3/7/17 | 15,315 | 15,315 |
6 | Clackamas County OR Hospital Facility | ||||
Authority Revenue (Legacy Health System) | 0.630% | 3/7/17 | 14,310 | 14,310 | |
6 | Clark County NV Airport Improvement | ||||
Revenue VRDO | 0.660% | 3/7/17 | 88,650 | 88,650 | |
6 | Colorado Health Facilities Authority Revenue | ||||
(Frasier Meadows Manor Project) | 0.670% | 3/7/17 | 10,000 | 10,000 | |
6 | Dallas TX Performing Arts Cultural Facilities | ||||
(Dallas Center Foundation) VRDO | 0.650% | 3/7/17 | 18,965 | 18,965 | |
6 | East Baton Rouge Parish LA Sales Tax | ||||
Revenue VRDO | 0.680% | 3/7/17 | 39,470 | 39,470 | |
6 | Emmaus PA General Authority Revenue VRDO | 0.640% | 3/7/17 | 10,600 | 10,600 |
6 | Franklin County OH Hospital Facilities Revenue | ||||
(US Health Corp. of Columbus) VRDO | 0.630% | 3/7/17 | 9,530 | 9,530 | |
6 | Greenville County SC Hospital System | ||||
Revenue VRDO | 0.630% | 3/7/17 | 17,460 | 17,460 | |
6 | Illinois Finance Authority Revenue | ||||
(Carle Healthcare System) VRDO | 0.640% | 3/7/17 | 16,400 | 16,400 | |
6 | Illinois Finance Authority Revenue | ||||
(Ingalls Health System Obligated Group) VRDO | 0.670% | 3/7/17 | 28,475 | 28,475 | |
6 | Illinois Finance Authority Revenue | ||||
(North Park University) VRDO | 0.640% | 3/7/17 | 14,800 | 14,800 | |
Illinois Finance Authority Revenue | |||||
(Northwestern University) VRDO | 0.600% | 3/7/17 | 25,200 | 25,200 | |
Illinois Finance Authority Revenue | |||||
(Northwestern University) VRDO | 0.610% | 3/7/17 | 13,500 | 13,500 | |
6 | Jacksonville FL Capital Project Revenue VRDO | 0.660% | 3/7/17 | 29,720 | 29,720 |
6 | Kentucky Higher Education Student Loan Corp. | ||||
Student Loan Revenue VRDO | 0.700% | 3/7/17 | 29,775 | 29,775 | |
6 | Livermore CA COP VRDO | 0.620% | 3/7/17 | 21,585 | 21,585 |
Loudoun County VA Industrial Development | |||||
Authority Revenue (Howard Hughes | |||||
Medical Institute) VRDO | 0.620% | 3/7/17 | 19,465 | 19,465 | |
Loudoun County VA Industrial Development | |||||
Authority Revenue (Howard Hughes | |||||
Medical Institute) VRDO | 0.630% | 3/7/17 | 22,520 | 22,520 | |
Loudoun County VA Industrial Development | |||||
Authority Revenue (Howard Hughes | |||||
Medical Institute) VRDO | 0.630% | 3/7/17 | 26,700 | 26,700 | |
6 | Maine Health & Higher Educational Facilities | ||||
Authority Revenue (Bowdoin College) VRDO | 0.620% | 3/7/17 | 9,705 | 9,705 |
18
Prime Money Market Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Yield1 | Date | ($000) | ($000) | ||
Maryland Economic Development Corp. Revenue | |||||
(Howard Hughes Medical Institute) VRDO | 0.630% | 3/7/17 | 35,790 | 35,790 | |
6 | Monroe County GA Development Authority | ||||
Pollution Control Revenue | |||||
(Oglethorpe Power Co.) VRDO | 0.640% | 3/7/17 | 32,500 | 32,500 | |
6 | New Mexico Finance Authority Transportation | ||||
Revenue VRDO | 0.620% | 3/7/17 | 14,550 | 14,550 | |
6 | New York City NY Housing Finance Agency | ||||
Revenue (900 Eighth Avenue) VRDO | 0.670% | 3/7/17 | 17,000 | 17,000 | |
6 | New York City NY Housing Finance Agency | ||||
Service Contract Revenue VRDO | 0.630% | 3/7/17 | 9,910 | 9,910 | |
6 | New York State Dormitory Authority Revenue | ||||
(City University System) VRDO | 0.630% | 3/7/17 | 145,650 | 145,650 | |
New York State Dormitory Authority Revenue | |||||
(Columbia University) VRDO | 0.600% | 3/7/17 | 9,000 | 9,000 | |
6 | New York State Housing Finance Agency | ||||
Housing Revenue (625 W 57th St) VRDO | 0.610% | 3/7/17 | 48,705 | 48,705 | |
6 | New York State Housing Finance Agency | ||||
Housing Revenue (Riverside Center 2) VRDO | 0.640% | 3/7/17 | 29,500 | 29,500 | |
6 | New York State Housing Finance Agency | ||||
Revenue (Service Contract) VRDO | 0.630% | 3/7/17 | 14,500 | 14,500 | |
6 | Orange County CA Water District COP VRDO | 0.620% | 3/7/17 | 40,315 | 40,315 |
6 | Pasadena CA COP VRDO | 0.630% | 3/7/17 | 23,100 | 23,100 |
6 | San Francisco CA City & County International | ||||
Airport Revenue VRDO | 0.620% | 3/7/17 | 39,370 | 39,370 | |
6 | Santa Clara County CA Financing Authority | ||||
Lease Revenue (Multiple Facilities Projects) | 0.630% | 3/7/17 | 28,080 | 28,080 | |
6 | Southern California Public Power Authority | ||||
Revenue (Magnolia Power Project) VRDO | 0.600% | 3/7/17 | 26,470 | 26,470 | |
6 | Syracuse NY Industrial Development Agency | ||||
Civic Facility Revenue (Syracuse University | |||||
Project) VRDO | 0.610% | 3/7/17 | 28,050 | 28,050 | |
6 | Tarrant County TX Cultural Education Facilities | ||||
Finance Corp. Hospital Revenue | |||||
(Methodist Hospitals of Dallas) | 0.640% | 3/7/17 | 16,565 | 16,565 | |
6 | University of Alabama at Birmingham Hospital | ||||
Revenue VRDO | 0.670% | 3/7/17 | 16,800 | 16,800 | |
University of Texas Permanent University Fund | |||||
Revenue VRDO | 0.590% | 3/7/17 | 107,635 | 107,635 | |
University of Texas Permanent University Fund | |||||
Revenue VRDO | 0.590% | 3/7/17 | 50,870 | 50,870 | |
Total Tax-Exempt Municipal Bonds (Cost $1,718,580) | 1,718,580 | ||||
Corporate Bonds (0.6%) | |||||
Industrial (0.6%) | |||||
3 | Toyota Motor Credit Corp. | 1.373% | 4/24/17 | 605,000 | 605,000 |
Total Corporate Bonds (Cost $605,000) | 605,000 | ||||
Taxable Municipal Bonds (0.9%) | |||||
5,6 | BlackRock Municipal Bond Trust TOB VRDO | 0.750% | 3/1/17 | 42,730 | 42,730 |
5,6 | BlackRock Municipal Income Investment | ||||
Quality Trust TOB VRDO | 0.750% | 3/1/17 | 30,715 | 30,715 | |
5,6 | BlackRock Municipal Income Trust II TOB VRDO | 0.750% | 3/1/17 | 105,850 | 105,850 |
5,6 | BlackRock MuniHoldings Fund II, Inc. TOB VRDO | 0.750% | 3/1/17 | 40,385 | 40,385 |
5,6 | BlackRock MuniHoldings Fund, Inc. TOB VRDO | 0.750% | 3/1/17 | 57,550 | 57,550 |
19
Prime Money Market Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Yield1 | Date | ($000) | ($000) | ||
5,6 | BlackRock MuniHoldings Quality Fund II, Inc. | ||||
TOB VRDO | 0.750% | 3/1/17 | 38,905 | 38,905 | |
5,6 | BlackRock MuniHoldings Quality Fund II, Inc. | ||||
TOB VRDO | 0.750% | 3/1/17 | 100,000 | 100,000 | |
5,6 | BlackRock MuniVest Fund II, Inc. TOB VRDO | 0.750% | 3/1/17 | 89,750 | 89,750 |
5,6 | BlackRock MuniVest Fund, Inc. TOB VRDO | 0.750% | 3/1/17 | 130,340 | 130,340 |
5,6 | BlackRock MuniYield Investment Quality Fund | ||||
TOB VRDO | 0.750% | 3/1/17 | 89,100 | 89,100 | |
5,6 | BlackRock MuniYield Investment Quality Fund | ||||
TOB VRDO | 0.750% | 3/1/17 | 41,065 | 41,065 | |
5,6 | BlackRock Strategic Municipal Trust TOB VRDO | 0.750% | 3/1/17 | 16,555 | 16,555 |
6 | Illinois Finance Authority Revenue | ||||
(Carle Foundation) VRDO | 0.630% | 3/7/17 | 17,500 | 17,500 | |
5 | Los Angeles CA Department of Water | ||||
& Power Revenue TOB VRDO | 0.740% | 3/7/17 | 13,000 | 13,000 | |
5 | Massachusetts Transportation Fund Revenue | ||||
TOB VRDO | 0.740% | 3/7/17 | 13,100 | 13,100 | |
6 | New York State Housing Finance Agency | ||||
Housing Revenue VRDO | 0.660% | 3/7/17 | 33,000 | 33,000 | |
5 | Seattle WA Municipal Light & Power Revenue | ||||
TOB VRDO | 0.740% | 3/7/17 | 12,400 | 12,400 | |
University of Texas System Revenue Financing | |||||
System Revenue VRDO | 0.670% | 3/7/17 | 18,000 | 18,000 | |
Total Taxable Municipal Bonds (Cost $889,945) | 889,945 | ||||
Total Investments (100.0%) (Cost $99,363,721) | 99,363,721 | ||||
Amount | |||||
($000) | |||||
Other Assets and Liabilities (0.0%) | |||||
Other Assets | |||||
Investment in Vanguard | 7,175 | ||||
Receivables for Investment Securities Sold | 3,935 | ||||
Receivables for Accrued Income | 37,551 | ||||
Receivables for Capital Shares Issued | 209,522 | ||||
Other Assets | 90,607 | ||||
Total Other Assets | 348,790 | ||||
Liabilities | |||||
Payables for Investment Securities Purchased | (63,000) | ||||
Payables for Capital Shares Redeemed | (255,199) | ||||
Payables for Distributions | (3,181) | ||||
Payables to Vanguard | (6,242) | ||||
Other Liabilities | (426) | ||||
Total Liabilities | (328,048) | ||||
Net Assets (100%) | 99,384,463 |
20
Prime Money Market Fund | |
At February 28, 2017, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 99,374,751 |
Undistributed Net Investment Income | 216 |
Accumulated Net Realized Gains | 9,496 |
Net Assets | 99,384,463 |
Investor Shares—Net Assets | |
Applicable to 87,223,522,983 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 87,241,321 |
Net Asset Value Per Share—Investor Shares | $1.00 |
Admiral Shares—Net Assets | |
Applicable to 12,140,664,317 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 12,143,142 |
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 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.
3 Adjustable-rate security.
4 Security exempt from registration under Section 4(2) of the Securities Act of 1933. Such securities may be sold in transactions exempt from
registration only to dealers in that program or other “accredited investors.” At February 28, 2017, the aggregate value of these securities
was $21,104,889,000, representing 21.2% of net assets.
5 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 28, 2017, the aggregate value of these securities was $2,579,779,000,
representing 2.6% of net assets.
6 Scheduled principal and interest payments are guaranteed by bank letter of credit.
COP—Certificate of Participation.
GO—General Obligation Bond.
TOB—Tender Option Bond.
VRDO—Variable Rate Demand Obligation.
See accompanying Notes, which are an integral part of the Financial Statements.
21
Prime Money Market Fund | |
Statement of Operations | |
Six Months Ended | |
February 28, 2017 | |
($000) | |
Investment Income | |
Income | |
Interest | 424,771 |
Total Income | 424,771 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,622 |
Management and Administrative—Investor Shares | 57,568 |
Management and Administrative—Admiral Shares | 5,822 |
Marketing and Distribution—Investor Shares | 11,766 |
Marketing and Distribution—Admiral Shares | 224 |
Custodian Fees | 534 |
Shareholders’ Reports—Investor Shares | 1,024 |
Shareholders’ Reports—Admiral Shares | 33 |
Trustees’ Fees and Expenses | 61 |
Total Expenses | 78,654 |
Net Investment Income | 346,117 |
Realized Net Gain (Loss) on Investment Securities Sold | 3,526 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 349,643 |
See accompanying Notes, which are an integral part of the Financial Statements.
22
Prime Money Market Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
February 28, | August 31, | |
2017 | 2016 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 346,117 | 444,857 |
Realized Net Gain (Loss) | 3,526 | 2,974 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 349,643 | 447,831 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (300,199) | (344,430) |
Admiral Shares1 | (45,702) | (100,426) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares1 | — | — |
Total Distributions | (345,901) | (444,856) |
Capital Share Transactions (at $1.00 per share) | ||
Investor Shares | (12,972,117) | (5,612,729) |
Admiral Shares1 | (4,286,652) | (12,558,967) |
Net Increase (Decrease) from Capital Share Transactions | (17,258,769) | (18,171,696) |
Total Increase (Decrease) | (17,255,027) | (18,168,721) |
Net Assets | ||
Beginning of Period | 116,639,490 | 134,808,211 |
End of Period2 | 99,384,463 | 116,639,490 |
1 Institutional Shares were renamed Admiral Shares in December 2015.
2 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $216,000 and $0.
See accompanying Notes, which are an integral part of the Financial Statements.
23
Prime Money Market Fund | |||||||
Financial Highlights | |||||||
Investor Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | |
Investment Operations | |||||||
Net Investment Income | .003 | .0032 | .0002 | .0001 | .0002 | .0004 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | — | — | — | — | — | — | |
Total from Investment Operations | .003 | .0032 | .0002 | .0001 | .0002 | .0004 | |
Distributions | |||||||
Dividends from Net Investment Income | (.003) | (.0032) | (.0002) | (.0001) | (.0002) | (.0004) | |
Distributions from Realized Capital Gains | — | — | — | (.0000)1 | — | — | |
Total Distributions | (.003) | (.0032) | (.0002) | (.0001) | (.0002) | (.0004) | |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | |
Total Return2 | 0.33% | 0.32% | 0.02% | 0.02% | 0.02% | 0.04% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $87,241 | $100,210 | $105,820 | $101,910 | $102,160 | $90,212 | |
Ratio of Expenses to | |||||||
Average Net Assets3 | 0.16% | 0.16% | 0.15% | 0.14% | 0.16% | 0.16% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 0.66% | 0.32% | 0.02% | 0.01% | 0.02% | 0.04% |
The expense ratio and net investment 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 For the years ended August 31, 2012, through August 31, 2016, the ratio of total expenses to average net assets before an expense reduction was 0.16%, 0.16%, 0.16%, 0.17%, and 0.16%. For the six months ended February 28, 2017, there was no expense reduction.
See Note B in the Notes to Financial Statements.
See accompanying Notes, which are an integral part of the Financial Statements.
24
Prime Money Market Fund | |||||||
Financial Highlights | |||||||
Admiral Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | |
Investment Operations | |||||||
Net Investment Income | .004 | .004 | .001 | .001 | .001 | .001 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | — | — | — | — | — | — | |
Total from Investment Operations | .004 | .004 | .001 | .001 | .001 | .001 | |
Distributions | |||||||
Dividends from Net Investment Income | (. 004) | (. 004) | (. 001) | (. 001) | (. 001) | (. 001) | |
Distributions from Realized Capital Gains | — | — | — | (.000)1 | — | — | |
Total Distributions | (. 004) | (. 004) | (. 001) | (. 001) | (. 001) | (. 001) | |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | |
Total Return2 | 0.36% | 0.38% | 0.07% | 0.06% | 0.07% | 0.11% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $12,143 | $16,429 | $28,988 | $28,699 | $27,015 | $24,543 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% | 0.09% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 0.72% | 0.38% | 0.07% | 0.05% | 0.07% | 0.11% |
The expense ratio and net investment 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 $.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.
See accompanying Notes, which are an integral part of the Financial Statements.
25
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, and in the absence of a default, such collateral cannot be repledged, resold, or rehypothecated. 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, 2013–2016), and for the period ended February 28, 2017, 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 $3.1 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 0.10% 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
26
Prime Money Market Fund
Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 28, 2017, 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 28, 2017, the fund had contributed to Vanguard capital in the amount of $7,175,000, representing 0.01% of the fund’s net assets and 2.87% 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. The fund is not obligated to repay this amount to Vanguard. For the period ended February 28, 2017, the fund did not receive an expense reduction from 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).
27
Prime Money Market Fund
At February 28, 2017, 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 28, 2017 | August 31, 2016 | ||||
Amount | Shares | Amount | Shares | ||
($000) | (000) | ($000) | (000) | ||
Investor Shares | |||||
Issued | 42,590,467 | 42,589,533 | 101,526,451 | 101,527,243 | |
Issued in Lieu of Cash Distributions | 280,943 | 280,943 | 335,584 | 335,584 | |
Redeemed | (55,843,527) | (55,843,530) | (107,474,764) | (107,474,762) | |
Net Increase (Decrease)—Investor Shares | (12,972,117) | (12,973,054) | (5,612,729) | (5,611,935) | |
Admiral Shares1 | |||||
Issued | 5,039,372 | 5,040,304 | 17,763,247 | 17,762,458 | |
Issued in Lieu of Cash Distributions | 43,215 | 43,215 | 96,589 | 96,589 | |
Redeemed | (9,369,239) | (9,369,239) | (30,418,803) | (30,418,803) | |
Net Increase (Decrease) —Admiral Shares | (4,286,652) | (4,285,720) | (12,558,967) | (12,559,756) | |
1 Institutional Shares were renamed Admiral Shares in December 2015. |
E. Management has determined that no material events or transactions occurred subsequent to February 28, 2017, that would require recognition or disclosure in these financial statements.
28
Federal Money Market Fund
Fund Profile
As of February 28, 2017
Financial Attributes | |
Ticker Symbol | VMFXX |
Expense Ratio1 | 0.11% |
7-Day SEC Yield | 0.49% |
Average Weighted | |
Maturity | 50 days |
Sector Diversification (% of portfolio) | |
U.S. Treasury Bills | 51.6% |
U.S. Government Obligations | 23.5 |
Repurchase Agreements | 24.9 |
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.
1 The expense ratio shown is from the prospectus dated December 23, 2016, and represents estimated costs for the current fiscal year. For the six months ended February 28, 2017, the annualized expense ratio was 0.11%.
29
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. You could lose money by investing in the fund. Although the fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The fund’s sponsor has no legal obligation to provide financial support to the fund, and you should not expect that the sponsor will provide financial support to the fund at any time.
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, 2006, Through February 28, 2017 | ||
US Gov’t Money | ||
Market Funds | ||
Average | ||
Fiscal Year | Total Returns | Total Returns |
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 | 0.23 | 0.00 |
2017 | 0.19 | 0.04 |
7-day SEC yield (2/28/2017): 0.49% | ||
Government Money Market Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||
Note: For 2017, performance data reflect the six months ended February 28, 2017. |
Average Annual Total Returns: Periods Ended December 31, 2016
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 | 0.30% | 0.08% | 0.83% |
See Financial Highlights for dividend information.
30
Federal Money Market Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 28, 2017
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 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 (80.1%) | |||||
2 | Federal Home Loan Bank Discount Notes | 0.470%–0.530% | 3/1/17 | 433,846 | 433,846 |
2 | Federal Home Loan Bank Discount Notes | 0.450% | 3/2/17 | 917 | 917 |
2 | Federal Home Loan Bank Discount Notes | 0.516%–0.529% | 3/3/17 | 823,500 | 823,476 |
2 | Federal Home Loan Bank Discount Notes | 0.530% | 3/14/17 | 75,000 | 74,986 |
2 | Federal Home Loan Bank Discount Notes | 0.576% | 3/16/17 | 100,000 | 99,976 |
2 | Federal Home Loan Bank Discount Notes | 0.550% | 3/17/17 | 81,600 | 81,580 |
2 | Federal Home Loan Bank Discount Notes | 0.530% | 3/21/17 | 500,000 | 499,853 |
2 | Federal Home Loan Bank Discount Notes | 0.530% | 3/22/17 | 300,000 | 299,907 |
2 | Federal Home Loan Bank Discount Notes | 0.551% | 3/24/17 | 270,000 | 269,905 |
2 | Federal Home Loan Bank Discount Notes | 0.541% | 3/31/17 | 200,500 | 200,410 |
2 | Federal Home Loan Bank Discount Notes | 0.536% | 4/5/17 | 200,000 | 199,896 |
2 | Federal Home Loan Bank Discount Notes | 0.535%–0.536% | 4/12/17 | 1,846,000 | 1,844,848 |
2 | Federal Home Loan Bank Discount Notes | 0.535%–0.536% | 4/19/17 | 1,407,700 | 1,406,675 |
2 | Federal Home Loan Bank Discount Notes | 0.536% | 4/20/17 | 350,000 | 349,740 |
2 | Federal Home Loan Bank Discount Notes | 0.547%–0.549% | 4/21/17 | 722,400 | 721,841 |
2 | Federal Home Loan Bank Discount Notes | 0.551% | 4/26/17 | 168,000 | 167,856 |
2 | Federal Home Loan Bank Discount Notes | 0.546%–0.550% | 4/28/17 | 879,135 | 878,360 |
2 | Federal Home Loan Bank Discount Notes | 0.546% | 5/1/17 | 300,000 | 299,723 |
2 | Federal Home Loan Bank Discount Notes | 0.551% | 5/5/17 | 199,000 | 198,802 |
2 | Federal Home Loan Bank Discount Notes | 0.551%–0.556% | 5/19/17 | 763,584 | 762,660 |
2 | Federal Home Loan Bank Discount Notes | 0.576% | 5/22/17 | 1,000,000 | 998,690 |
2 | Federal Home Loan Bank Discount Notes | 0.556%–0.561% | 5/24/17 | 587,191 | 586,427 |
2 | Federal Home Loan Bank Discount Notes | 0.556% | 5/26/17 | 1,980,600 | 1,977,974 |
2 | Federal Home Loan Bank Discount Notes | 0.566% | 5/31/17 | 625,000 | 624,107 |
2,3 | Federal Home Loan Banks | 0.790% | 3/1/17 | 25,000 | 25,000 |
2,3 | Federal Home Loan Banks | 0.799% | 3/2/17 | 125,000 | 125,000 |
2,3 | Federal Home Loan Banks | 0.872% | 3/3/17 | 75,000 | 75,000 |
2,3 | Federal Home Loan Banks | 0.793% | 3/9/17 | 235,000 | 235,000 |
2,3 | Federal Home Loan Banks | 0.792% | 3/10/17 | 175,000 | 175,000 |
2,3 | Federal Home Loan Banks | 0.781% | 3/14/17 | 88,500 | 88,499 |
2,3 | Federal Home Loan Banks | 0.791% | 3/14/17 | 100,000 | 100,000 |
2,3 | Federal Home Loan Banks | 0.790% | 3/15/17 | 100,000 | 100,000 |
2,3 | Federal Home Loan Banks | 0.830% | 3/16/17 | 50,000 | 50,000 |
2,3 | Federal Home Loan Banks | 0.919% | 3/21/17 | 100,000 | 100,000 |
31
Federal Money Market Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Yield1 | Date | ($000) | ($000) | ||
2,3 | Federal Home Loan Banks | 0.841% | 4/19/17 | 100,000 | 100,000 |
2,3 | Federal Home Loan Banks | 1.001% | 7/21/17 | 160,000 | 160,187 |
2,3 | Federal Home Loan Banks | 0.612% | 7/27/17 | 432,400 | 432,241 |
2,3 | Federal Home Loan Banks | 0.722% | 8/17/17 | 1,000,000 | 1,000,000 |
2,3 | Federal Home Loan Banks | 0.740% | 8/17/17 | 200,000 | 200,000 |
2,3 | Federal Home Loan Banks | 0.731% | 8/21/17 | 500,000 | 500,000 |
2,3 | Federal Home Loan Banks | 0.719% | 8/23/17 | 250,000 | 250,000 |
2,3 | Federal Home Loan Banks | 0.960% | 10/19/17 | 250,000 | 250,000 |
2,3 | Federal Home Loan Banks | 0.728% | 11/28/17 | 250,000 | 250,000 |
2,3 | Federal Home Loan Banks | 0.728% | 11/28/17 | 250,000 | 250,000 |
2,3 | Federal Home Loan Banks | 0.726% | 11/28/17 | 500,000 | 500,000 |
2,3 | Federal Home Loan Banks | 0.829% | 3/2/18 | 250,000 | 250,003 |
2,3 | Federal Home Loan Banks | 0.756% | 3/7/18 | 500,000 | 500,000 |
2,3 | Federal Home Loan Banks | 0.799% | 3/23/18 | 500,000 | 500,000 |
3,4 | Federal Home Loan Mortgage Corp. | 0.786% | 4/20/17 | 34,130 | 34,128 |
3,4 | Federal Home Loan Mortgage Corp. | 0.818% | 4/27/17 | 85,000 | 85,001 |
3,4 | Federal Home Loan Mortgage Corp. | 0.909% | 7/21/17 | 100,000 | 99,996 |
3,4 | Federal Home Loan Mortgage Corp. | 0.811% | 11/13/17 | 600,000 | 600,000 |
3,4 | Federal Home Loan Mortgage Corp. | 0.842% | 1/5/18 | 285,000 | 285,000 |
3,4 | Federal Home Loan Mortgage Corp. | 0.979% | 1/8/18 | 125,000 | 125,000 |
3,4 | Federal Home Loan Mortgage Corp. | 0.621% | 1/11/18 | 750,000 | 750,000 |
3,4 | Federal Home Loan Mortgage Corp. | 0.988% | 1/12/18 | 25,000 | 25,000 |
3,4 | Federal Home Loan Mortgage Corp. | 0.840% | 1/16/18 | 275,000 | 275,000 |
3,4 | Federal Home Loan Mortgage Corp. | 0.831% | 1/29/18 | 500,000 | 500,000 |
3,4 | Federal Home Loan Mortgage Corp. | 0.763% | 2/26/18 | 500,000 | 500,000 |
3,4 | Federal Home Loan Mortgage Corp. | 0.758% | 3/9/18 | 650,000 | 650,000 |
3,4 | Federal Home Loan Mortgage Corp. | 0.792% | 7/6/18 | 750,000 | 750,000 |
3,4 | Federal National Mortgage Assn. | 0.780% | 8/16/17 | 300,000 | 299,972 |
3,4 | Federal National Mortgage Assn. | 0.785% | 9/8/17 | 360,000 | 359,958 |
3,4 | Federal National Mortgage Assn. | 0.787% | 10/5/17 | 331,890 | 331,873 |
3,4 | Federal National Mortgage Assn. | 0.944% | 3/21/18 | 400,000 | 400,304 |
United States Treasury Bill | 0.432%–0.491% | 3/2/17 | 1,250,500 | 1,250,483 | |
United States Treasury Bill | 0.530% | 3/9/17 | 2,000,000 | 1,999,764 | |
United States Treasury Bill | 0.541% | 3/16/17 | 1,400,000 | 1,399,685 | |
United States Treasury Bill | 0.501% | 3/23/17 | 500,000 | 499,847 | |
United States Treasury Bill | 0.491% | 4/6/17 | 1,700,000 | 1,699,167 | |
United States Treasury Bill | 0.496% | 4/13/17 | 1,000,000 | 999,409 | |
United States Treasury Bill | 0.471%–0.536% | 4/20/17 | 2,250,000 | 2,248,444 | |
United States Treasury Bill | 0.476% | 4/27/17 | 1,323,428 | 1,322,433 | |
United States Treasury Bill | 0.501% | 5/4/17 | 1,500,000 | 1,498,667 | |
United States Treasury Bill | 0.536% | 5/11/17 | 1,500,000 | 1,498,417 | |
United States Treasury Bill | 0.627% | 5/18/17 | 1,750,000 | 1,747,630 | |
United States Treasury Bill | 0.607% | 5/25/17 | 1,500,000 | 1,497,857 | |
United States Treasury Bill | 0.617% | 6/8/17 | 1,500,000 | 1,497,463 | |
United States Treasury Bill | 0.647% | 6/15/17 | 1,650,000 | 1,646,866 | |
United States Treasury Bill | 0.647% | 6/22/17 | 1,650,000 | 1,646,659 | |
United States Treasury Bill | 0.662% | 6/29/17 | 1,500,000 | 1,496,700 | |
United States Treasury Bill | 0.632% | 7/6/17 | 1,600,000 | 1,596,444 | |
United States Treasury Bill | 0.622% | 8/10/17 | 1,500,000 | 1,495,815 | |
United States Treasury Bill | 0.647% | 8/17/17 | 1,700,000 | 1,694,853 | |
United States Treasury Bill | 0.672% | 8/24/17 | 1,500,000 | 1,495,087 | |
3 | United States Treasury Floating Rate Note | 0.686% | 10/31/18 | 600,000 | 600,010 |
Total U.S. Government and Agency Obligations (Cost $56,921,317) | 56,921,317 |
32
Federal Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Yield1 | Date | ($000) | ($000) | |
Repurchase Agreements (20.6%) | ||||
Bank of Montreal | ||||
(Dated 2/28/17, Repurchase Value | ||||
$1,000,014,000, collateralized by Treasury | ||||
Inflation Indexed Note/Bond 0.125%–1.250%, | ||||
4/15/18–7/15/24, and U.S. Treasury Note/Bond | ||||
0.625%–2.875%, 6/30/17–8/15/45, with a value | ||||
of $1,020,000,000) | 0.510% | 3/1/17 | 1,000,000 | 1,000,000 |
Bank of Montreal | ||||
(Dated 2/28/17, Repurchase Value $250,234,000, | ||||
collateralized by Treasury Inflation Indexed | ||||
Note/Bond 0.375%, 7/15/25, and U.S. Treasury | ||||
Note/Bond 1.375%, 2/15/20, with a value | ||||
of $255,000,000) | 0.570% | 3/7/17 | 250,000 | 250,000 |
Bank of Nova Scotia | ||||
(Dated 2/28/17, Repurchase Value | ||||
$1,200,017,000, collateralized by Treasury | ||||
Inflation Indexed Note/Bond 0.125%–2.500%, | ||||
4/15/18–2/15/41, U.S. Treasury Bill 0.000%, | ||||
4/13/17–9/14/17, and U.S. Treasury Note/Bond | ||||
0.625%–8.750%, 5/15/17–8/15/45, with a value | ||||
of $1,224,000,000) | 0.520% | 3/1/17 | 1,200,000 | 1,200,000 |
Credit Agricole Corporate & Investment Bank | ||||
NY Branch (Dated 2/28/17, Repurchase Value | ||||
$1,250,018,000, collateralized by U.S. Treasury | ||||
Note/Bond 1.625%–5.375%, 4/30/23–2/15/31, | ||||
with a value of $1,275,000,000) | 0.520% | 3/1/17 | 1,250,000 | 1,250,000 |
Credit Agricole Corporate & Investment Bank | ||||
NY Branch (Dated 2/22/17, Repurchase Value | ||||
$500,051,000, collateralized by Treasury Inflation | ||||
Indexed Note/Bond 0.875%–3.875%, 7/15/17– | ||||
2/15/47, U.S. Treasury Bill 0.000%, 4/13/17, | ||||
and U.S. Treasury Note/Bond 0.750%–4.750%, | ||||
5/15/17–2/15/46, with a value of $510,000,000) | 0.520% | 3/1/17 | 500,000 | 500,000 |
Credit Agricole Corporate & Investment Bank | ||||
NY Branch (Dated 2/23/17, Repurchase Value | ||||
$500,051,000, collateralized by U.S. Treasury | ||||
Note/Bond 3.750%, 11/15/18, with a value | ||||
of $510,000,000) | 0.520% | 3/2/17 | 500,000 | 500,000 |
Credit Agricole Corporate & Investment Bank | ||||
NY Branch (Dated 2/28/17, Repurchase Value | ||||
$250,026,000, collateralized by U.S. Treasury | ||||
Note/Bond 0.625%–6.750%, 7/31/17–8/15/26, | ||||
with a value of $255,000,000) | 0.530% | 3/7/17 | 250,000 | 250,000 |
Federal Reserve Bank of New York | ||||
(Dated 2/28/17, Repurchase Value | ||||
$5,240,073,000, collateralized by U.S. Treasury | ||||
Note/Bond 1.500%–6.125%, 7/31/20–2/15/43, | ||||
with a value of $5,240,073,000) | 0.500% | 3/1/17 | 5,240,000 | 5,240,000 |
JP Morgan Securities LLC | ||||
(Dated 2/28/17, Repurchase Value | ||||
$500,007,000, collateralized by Treasury | ||||
Inflation Indexed Note/Bond 0.125%, 7/15/22, | ||||
and U.S. Treasury Note/Bond 4.000%, 8/15/18, | ||||
with a value of $510,000,000) | 0.520% | 3/1/17 | 500,000 | 500,000 |
33
Federal Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Yield1 | Date | ($000) | ($000) | |
JP Morgan Securities LLC | ||||
(Dated 2/28/17, Repurchase Value $50,001,000, | ||||
collateralized by U.S. Treasury Note/Bond | ||||
1.375%, 5/31/21, with a value of $51,005,000) | 0.520% | 3/1/17 | 50,000 | 50,000 |
JP Morgan Securities LLC | ||||
(Dated 2/28/17, Repurchase Value $500,007,000, | ||||
collateralized by Treasury Inflation Indexed | ||||
Note/Bond 0.125%, 4/15/20–7/15/22, and | ||||
U.S. Treasury Note/Bond 3.750%–4.000%, | ||||
8/15/18–11/15/43, with a value of $510,001,000) | 0.520% | 3/1/17 | 500,000 | 500,000 |
Merrill Lynch Pierce Fenner & Smith Inc. | ||||
(Dated 2/28/17, Repurchase Value $175,003,000, | ||||
collateralized by U.S. Treasury Bill 0.000%, | ||||
4/13/17–11/9/17, and U.S. Treasury Note/Bond | ||||
0.590%–5.500%, 4/30/17–8/15/28, with a value | ||||
of $178,500,000) | 0.520% | 3/1/17 | 175,000 | 175,000 |
Mizuho Securities (USA) Inc. | ||||
(Dated 2/28/17, Repurchase Value $500,007,000, | ||||
collateralized by U.S. Treasury Bill 0.000%, | ||||
6/29/17–10/12/17, and U.S. Treasury Note/Bond | ||||
0.625%–2.125%, 2/28/18–2/29/24, with a value | ||||
of $510,000,000) | 0.530% | 3/1/17 | 500,000 | 500,000 |
RBC Capital Markets LLC | ||||
(Dated 1/4/17, Repurchase Value $250,222,000, | ||||
collateralized by Treasury Inflation Indexed | ||||
Note/Bond 2.500%, 1/15/29, and U.S. Treasury | ||||
Note/Bond 1.125%–3.125%, 4/30/17–5/15/25, | ||||
with a value of $255,000,000) | 0.550% | 3/3/17 | 250,000 | 250,000 |
RBC Capital Markets LLC | ||||
(Dated 2/15/17, Repurchase Value $500,443,000, | ||||
collateralized by Treasury Inflation Indexed | ||||
Note/Bond 0.125%–2.375%, 4/15/18–1/15/27, | ||||
U.S. Treasury Bill 0.000%, 5/4/17–12/7/17, and | ||||
U.S. Treasury Note/Bond 0.590%–8.875%, | ||||
3/31/17–5/15/44, with a value of $510,000,000) | 0.560% | 3/7/17 | 500,000 | 500,000 |
RBC Capital Markets LLC | ||||
(Dated 2/16/17, Repurchase Value $500,467,000, | ||||
collateralized by U.S. Treasury Bill 0.000%, | ||||
3/23/17–6/15/17, and U.S. Treasury Note/Bond | ||||
0.750%–3.625%, 6/30/17–5/15/45, with a value | ||||
of $510,000,000) | 0.560% | 3/7/17 | 500,000 | 500,000 |
RBC Capital Markets LLC | ||||
(Dated 2/28/17, Repurchase Value $250,229,000, | ||||
collateralized by Treasury Inflation Indexed | ||||
Note/Bond 0.125%, 7/15/24, and U.S. Treasury | ||||
Note/Bond 1.250%–2.875%, 12/31/18–5/15/43, | ||||
with a value of $255,000,000) | 0.560% | 3/7/17 | 250,000 | 250,000 |
TD Securities (USA) LLC | ||||
(Dated 2/22/17, Repurchase Value $275,028,000, | ||||
collateralized by Treasury Inflation Indexed | ||||
Note/Bond 3.375%, 4/15/32, and U.S. Treasury | ||||
Note/Bond 1.625%–6.500%, 7/31/20–11/15/46, | ||||
with a value of $280,500,000) | 0.520% | 3/1/17 | 275,000 | 275,000 |
34
Federal Money Market Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Yield1 | Date | ($000) | ($000) | |
TD Securities (USA) LLC | ||||
(Dated 2/22/17, Repurchase Value $100,010,000, | ||||
collateralized by U.S. Treasury Note/Bond | ||||
1.750%–2.750%, 5/15/23–8/15/42, with a | ||||
value of $102,000,000) | 0.520% | 3/1/17 | 100,000 | 100,000 |
TD Securities (USA) LLC | ||||
(Dated 2/23/17, Repurchase Value $400,041,000, | ||||
collateralized by Treasury Inflation Indexed | ||||
Note/Bond 0.125%–1.375%, 4/15/17–1/15/20, | ||||
and U.S. Treasury Note/Bond 0.625%–8.000%, | ||||
6/30/18–5/15/42, with a value of $408,000,000) | 0.530% | 3/2/17 | 400,000 | 400,000 |
TD Securities (USA) LLC | ||||
(Dated 2/28/17, Repurchase Value $400,042,000, | ||||
collateralized by Federal Farm Credit Bank | ||||
0.680%–5.200%, 7/3/17–2/6/26, Treasury Inflation | ||||
Indexed Note/Bond 0.125%–1.250%, 4/15/17– | ||||
7/15/25, U.S. Treasury Bill 0.000%, 3/16/17– | ||||
8/10/17, and U.S. Treasury Note/Bond 0.500%– | ||||
8.000%, 4/30/17–8/15/46, with a value | ||||
of $408,049,000) | 0.540% | 3/7/17 | 400,000 | 400,000 |
Total Repurchase Agreements (Cost $14,590,000) | 14,590,000 | |||
Total Investments (100.7%) (Cost $71,511,317) | 71,511,317 | |||
Amount | ||||
($000) | ||||
Other Assets and Liabilities (-0.7%) | ||||
Other Assets | ||||
Investment in Vanguard | 4,981 | |||
Receivables for Accrued Income | 6,253 | |||
Receivables for Capital Shares Issued | 224,852 | |||
Other Assets | 23,993 | |||
Total Other Assets | 260,079 | |||
Liabilities | ||||
Payables for Investment Securities Purchased | (624,108) | |||
Payables for Capital Shares Redeemed | (114,305) | |||
Payables for Distributions | (344) | |||
Payables to Vanguard | (3,191) | |||
Total Liabilities | (741,948) | |||
Net Assets (100%) | ||||
Applicable to 71,028,681,044 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 71,029,448 | |||
Net Asset Value Per Share | $1.00 |
35
Federal Money Market Fund | |
At February 28, 2017, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 71,029,190 |
Undistributed Net Investment Income | 4 |
Accumulated Net Realized Gains | 254 |
Net Assets | 71,029,448 |
• See Note A in Notes to Financial Statements.
1 Represents annualized yield at date of purchase for discount securities, and coupon for coupon-bearing securities.
2 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the
full faith and credit of the U.S. government.
3 Adjustable-rate security.
4 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the
Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange
for senior preferred stock.
See accompanying Notes, which are an integral part of the Financial Statements.
36
Federal Money Market Fund | |
Statement of Operations | |
Six Months Ended | |
February 28, 2017 | |
($000) | |
Investment Income | |
Income | |
Interest | 146,374 |
Total Income | 146,374 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 996 |
Management and Administrative | 24,833 |
Marketing and Distribution | 6,189 |
Custodian Fees | 225 |
Shareholders’ Reports | 152 |
Trustees’ Fees and Expenses | 23 |
Total Expenses | 32,418 |
Net Investment Income | 113,956 |
Realized Net Gain (Loss) on Investment Securities Sold | 198 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 114,154 |
See accompanying Notes, which are an integral part of the Financial Statements.
37
Federal Money Market Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
February 28, | August 31, | |
2017 | 2016 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 113,956 | 29,268 |
Realized Net Gain (Loss) | 198 | 17 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 114,154 | 29,285 |
Distributions | ||
Net Investment Income | (113,947) | (29,273) |
Realized Capital Gain | — | — |
Total Distributions | (113,947) | (29,273) |
Capital Share Transactions (at $1.00 per share) | ||
Issued | 56,973,833 | 44,011,167 |
Issued in Lieu of Cash Distributions | 111,744 | 28,230 |
Redeemed | (24,860,330) | (8,560,165) |
Net Increase (Decrease) from Capital Share Transactions | 32,225,247 | 35,479,232 |
Total Increase (Decrease) | 32,225,454 | 35,479,244 |
Net Assets | ||
Beginning of Period | 38,803,994 | 3,324,750 |
End of Period1 | 71,029,448 | 38,803,994 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $4,000 and ($5,000).
See accompanying Notes, which are an integral part of the Financial Statements.
38
Federal Money Market Fund | |||||||
Financial Highlights | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | |
Investment Operations | |||||||
Net Investment Income | .002 | .0022 | .0001 | .0001 | .0001 | .0001 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | — | — | — | — | — | — | |
Total from Investment Operations | .002 | .0022 | .0001 | .0001 | .0001 | .0001 | |
Distributions | |||||||
Dividends from Net Investment Income | (.002) | (.0022) | (.0001) | (.0001) | (.0001) | (.0001) | |
Distributions from Realized Capital Gains | — | — | — | (.0000)1 | — | — | |
Total Distributions | (.002) | (.0022) | (.0001) | (.0001) | (.0001) | (.0001) | |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | |
Total Return2 | 0.19% | 0.23% | 0.01% | 0.02% | 0.01% | 0.01% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) $71,029 | $38,804 | $3,325 | $3,108 | $3,522 | $4,103 | ||
Ratio of Expenses to | |||||||
Average Net Assets3 | 0.11% | 0.11% | 0.10% | 0.09% | 0.13% | 0.12% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 0.39% | 0.27% | 0.01% | 0.01% | 0.01% | 0.01% |
The expense ratio and net investment 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 For the years ended August 31, 2012, through August 31, 2016, the ratio of total expenses to average net assets before an expense reduction was 0.11%, 0.11%, 0.11%, 0.14%, and 0.16%. For the six months ended February 28, 2017, there was no expense reduction.
See Note B in the Notes to Financial Statements.
See accompanying Notes, which are an integral part of the Financial Statements.
39
Federal Money Market Fund
Notes to Financial Statements
Vanguard Federal Money Market Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund invests in short-term debt instruments issued by the U.S. government or its agencies and instrumentalities, and repurchase agreements collateralized by such instruments.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Securities are valued at amortized cost, which approximates market value.
2. Repurchase Agreements: The fund enters into repurchase agreements with institutional counter-parties. Securities pledged as collateral to the fund under repurchase agreements are held by a custodian bank until the agreements mature, and in the absence of a default, such collateral cannot be repledged, resold, or rehypothecated. 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, 2013–2016), and for the period ended February 28, 2017, 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 $3.1 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 0.10% 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 based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
40
Federal Money Market Fund
The fund had no borrowings outstanding at February 28, 2017, 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.
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 28, 2017, the fund had contributed to Vanguard capital in the amount of $4,981,000, representing 0.01% of the fund’s net assets and 1.99% 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. The fund is not obligated to repay this amount to Vanguard. For the period ended February 28, 2017, the fund did not receive an expense reduction from 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 28, 2017, 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 28, 2017, that would require recognition or disclosure in these financial statements.
41
Treasury Money Market Fund
Fund Profile
As of February 28, 2017
Financial Attributes | |
Ticker Symbol | VUSXX |
Expense Ratio1 | 0.09% |
7-Day SEC Yield | 0.46% |
Average Weighted | |
Maturity | 53 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.
1 The expense ratio shown is from the prospectus dated December 23, 2016, and represents estimated costs for the current fiscal year. For the six months ended February 28, 2017, the annualized expense ratio was 0.09%.
42
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. You could lose money by investing in the fund. Although the fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The fund’s sponsor has no legal obligation to provide financial support to the fund, and you should not expect that the sponsor will provide financial support to the fund at any time.
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, 2006, Through February 28, 2017 | ||
iMoneyNet | ||
Average | ||
Fiscal Year | Total Returns | Total Returns |
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 | 0.17 | 0.00 |
2017 | 0.17 | 0.03 |
7-day SEC yield (2/28/2017): 0.46% | ||
iMoneyNet Money Fund Report’s 100% Treasury Funds Average: Derived from data provided by iMoneyNet, Inc. | ||
Note: For 2017, performance data reflect the six months ended February 28, 2017. |
Average Annual Total Returns: Periods Ended December 31, 2016
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 | 0.25% | 0.06% | 0.74% |
See Financial Highlights for dividend information.
43
Treasury Money Market Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 28, 2017
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 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 (104.7%) | |||||
United States Treasury Bill | 0.425%–0.495% | 3/2/17 | 711,708 | 711,698 | |
United States Treasury Bill | 0.450%–0.521% | 3/9/17 | 542,989 | 542,924 | |
United States Treasury Bill | 0.511%–0.531% | 3/16/17 | 887,811 | 887,615 | |
United States Treasury Bill | 0.491%–0.516% | 3/23/17 | 655,821 | 655,617 | |
United States Treasury Bill | 0.556% | 3/30/17 | 1,101,731 | 1,101,238 | |
United States Treasury Bill | 0.526%–0.531% | 4/6/17 | 954,716 | 954,211 | |
United States Treasury Bill | 0.491%–0.511% | 4/13/17 | 696,217 | 695,795 | |
United States Treasury Bill | 0.527%–0.532% | 4/20/17 | 1,217,300 | 1,216,404 | |
United States Treasury Bill | 0.506% | 4/27/17 | 1,258,000 | 1,256,994 | |
United States Treasury Bill | 0.511%–0.518% | 5/4/17 | 1,012,139 | 1,011,209 | |
United States Treasury Bill | 0.514%–0.531% | 5/11/17 | 834,812 | 833,966 | |
United States Treasury Bill | 0.514%–0.531% | 5/18/17 | 1,010,000 | 1,008,843 | |
United States Treasury Bill | 0.526%–0.591% | 5/25/17 | 860,099 | 859,013 | |
United States Treasury Bill | 0.516%–0.612% | 6/1/17 | 1,337,000 | 1,335,099 | |
United States Treasury Bill | 0.617% | 6/8/17 | 586,000 | 585,009 | |
United States Treasury Bill | 0.673%–0.675% | 8/31/17 | 450,000 | 448,472 | |
2 | United States Treasury Floating Rate Note | 0.593% | 7/31/17 | 100,000 | 99,982 |
2 | United States Treasury Floating Rate Note | 0.684% | 10/31/17 | 100,000 | 99,919 |
2 | United States Treasury Floating Rate Note | 0.788% | 1/31/18 | 135,000 | 135,039 |
2 | United States Treasury Floating Rate Note | 0.686% | 10/31/18 | 899,825 | 899,840 |
Total U.S. Government and Agency Obligations (Cost $15,338,887) | 15,338,887 | ||||
Total Investments (104.7%) (Cost $15,338,887) | 15,338,887 |
44
Treasury Money Market Fund | |
Amount | |
($000) | |
Other Assets and Liabilities (-4.7%) | |
Other Assets | |
Investment in Vanguard | 1,050 |
Receivables for Investment Securities Sold | 447,959 |
Receivables for Accrued Income | 700 |
Receivables for Capital Shares Issued | 28,995 |
Other Assets | 3,992 |
Total Other Assets | 482,696 |
Liabilities | |
Payables for Investment Securities Purchased | (1,159,545) |
Payables for Capital Shares Redeemed | (16,751) |
Payables for Distributions | (126) |
Payables to Vanguard | (541) |
Other Liabilities | (4) |
Total Liabilities | (1,176,967) |
Net Assets (100%) | |
Applicable to 14,641,727,491 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 14,644,616 |
Net Asset Value Per Share | $1.00 |
At February 28, 2017, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 14,644,767 |
Undistributed Net Investment Income | — |
Accumulated Net Realized Losses | (151) |
Net Assets | 14,644,616 |
• 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.
45
Treasury Money Market Fund | |
Statement of Operations | |
Six Months Ended | |
February 28, 2017 | |
($000) | |
Investment Income | |
Income | |
Interest | 29,912 |
Total Income | 29,912 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 226 |
Management and Administrative | 4,553 |
Marketing and Distribution | 1,360 |
Custodian Fees | 72 |
Shareholders’ Reports | 64 |
Trustees’ Fees and Expenses | 6 |
Total Expenses | 6,281 |
Net Investment Income | 23,631 |
Realized Net Gain (Loss) on Investment Securities Sold | (126) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 23,505 |
See accompanying Notes, which are an integral part of the Financial Statements.
46
Treasury Money Market Fund | |||
Statement of Changes in Net Assets | |||
Six Months Ended | Year Ended | ||
February 28, | August 31, | ||
2017 | 2016 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 23,631 | 17,671 | |
Realized Net Gain (Loss) | (126) | (25) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 23,505 | 17,646 | |
Distributions | |||
Net Investment Income | (23,631) | (17,671) | |
Realized Capital Gain | — | — | |
Total Distributions | (23,631) | (17,671) | |
Capital Share Transactions (at $1.00 per share) | |||
Issued | 5,459,445 | 5,596,836 | |
Issued in Lieu of Cash Distributions | 22,991 | 17,175 | |
Redeemed | (3,640,781) | (2,198,831) | |
Net Increase (Decrease) from Capital Share Transactions | 1,841,655 | 3,415,180 | |
Total Increase (Decrease) | 1,841,529 | 3,415,155 | |
Net Assets | |||
Beginning of Period | 12,803,087 | 9,387,932 | |
End of Period1 | 14,644,616 | 12,803,087 | |
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.
47
Treasury Money Market Fund | |||||||
Financial Highlights | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | |
Investment Operations | |||||||
Net Investment Income | .0017 | .0017 | .0001 | .0001 | .0002 | .0001 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | — | — | — | — | — | — | |
Total from Investment Operations | .0017 | .0017 | .0001 | .0001 | .0002 | .0001 | |
Distributions | |||||||
Dividends from Net Investment Income | (.0017) | (.0017) | (.0001) | (.0001) | (.0002) | (.0001) | |
Distributions from Realized Capital Gains | — | — | — | (.0000)1 | — | — | |
Total Distributions | (.0017) | (.0017) | (.0001) | (.0001) | (.0002) | (.0001) | |
Net Asset Value, End of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | |
Total Return2 | 0.17% | 0.17% | 0.01% | 0.01% | 0.02% | 0.01% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) $14,645 | $12,803 | $9,388 | $10,365 | $11,660 | $13,354 | ||
Ratio of Expenses to | |||||||
Average Net Assets3 | 0.09% | 0.09% | 0.04% | 0.05% | 0.08% | 0.05% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 0.34% | 0.18% | 0.01% | 0.01% | 0.02% | 0.01% |
The expense ratio and net investment 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 For the years ended August 31, 2012, through August 31, 2016, the ratio of total expenses to average net assets before an expense reduction was 0.09%, 0.09%, 0.09%, 0.09%, and 0.10%. For the six months ended February 28, 2017, there was no expense reduction.
See Note B in the Notes to Financial Statements.
See accompanying Notes, which are an integral part of the Financial Statements.
48
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, 2013–2016), and for the period ended February 28, 2017, 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 $3.1 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 0.10% 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 based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 28, 2017, 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.
49
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 28, 2017, the fund had contributed to Vanguard capital in the amount of $1,050,000, representing 0.01% of the fund’s net assets and 0.42% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and 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. The fund is not obligated to repay this amount to Vanguard. For the period ended February 28, 2017, the fund did not receive an expense reduction from 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 28, 2017, 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 28, 2017, that would require recognition or disclosure in these financial statements.
50
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
51
Six Months Ended February 28, 2017 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
8/31/2016 | 2/28/2017 | Period | |
Based on Actual Fund Return | |||
Prime Money Market Fund | |||
Investor Shares | $1,000.00 | $1,003.31 | $0.79 |
Admiral Shares | 1,000.00 | 1,003.61 | 0.50 |
Federal Money Market Fund | $1,000.00 | $1,001.86 | $0.55 |
Treasury Money Market Fund | $1,000.00 | $1,001.67 | $0.45 |
Based on Hypothetical 5% Yearly Return | |||
Prime Money Market Fund | |||
Investor Shares | $1,000.00 | $1,024.00 | $0.80 |
Admiral Shares | 1,000.00 | 1,024.30 | 0.50 |
Federal Money Market Fund | $1,000.00 | $1,024.25 | $0.55 |
Treasury Money Market Fund | $1,000.00 | $1,024.35 | $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 (181/365).
52
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.
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 195 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. 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
F. William McNabb III
Born 1957. Trustee Since July 2009. Chairman of the Board. Principal Occupation(s) During the Past Five Years and Other Experience: Chairman of the Board of The Vanguard Group, Inc., and of each of the investment companies served by The Vanguard Group, since January 2010; Director of The Vanguard Group since 2008; Chief Executive Officer and President of The Vanguard Group, and of each of the investment companies served by The Vanguard Group, since 2008; Director of Vanguard Marketing Corporation; Managing Director of The Vanguard Group (1995–2008).
IndependentTrustees
Emerson U. Fullwood
Born 1948. Trustee Since January 2008. Principal Occupation(s) During the Past Five Years and Other Experience: Executive Chief Staff and Marketing Officer for North America and Corporate Vice President (retired 2008) of Xerox Corporation (document management products and services); Executive in Residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology; Lead Director of SPX FLOW, Inc. (multi-industry manufacturing); Director of the United Way of Rochester, the University of Rochester Medical Center, Monroe Community College Foundation, North Carolina A&T University, and Roberts Wesleyan College.
Rajiv L. Gupta
Born 1945. Trustee Since December 2001.2 Principal Occupation(s) During the Past Five Years and Other Experience: Chairman and Chief Executive Officer (retired 2009) and President (2006–2008) of Rohm and Haas Co. (chemicals); Director of Arconic Inc. (diversified manufacturer), HP Inc. (printer and personal computer manufacturing), and Delphi Automotive plc (automotive components); Senior Advisor at New Mountain Capital.
Amy Gutmann
Born 1949. Trustee Since June 2006. Principal Occupation(s) During the Past Five Years and Other Experience: President of the University of Pennsylvania; Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and Professor of Communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania; Trustee of the National Constitution Center; Chair of the Presidential Commission for the Study of Bioethical Issues.
JoAnn Heffernan Heisen
Born 1950. Trustee Since July 1998. Principal Occupation(s) During the Past Five Years and Other Experience: Corporate Vice President and Chief Global Diversity Officer (retired 2008) and 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
Born 1949. Trustee Since October 2009. Principal Occupation(s) During the Past Five Years and Other Experience: President and Chief Operating Officer (retired 2009) of Cummins Inc. (industrial machinery); Chairman of the Board of Hillenbrand, Inc. (specialized consumer services), Oxfam America, and the Lumina
Foundation for Education; Director of SKF AB (industrial machinery), Hyster-Yale Materials Handling, Inc. (forklift trucks), and the V Foundation for Cancer Research; Member of the Advisory Council for the College of Arts and Letters and Chair of the Advisory Board to the Kellogg Institute for International Studies, both at the University of Notre Dame.
Mark Loughridge
Born 1953. Trustee Since March 2012. Principal Occupation(s) During the Past Five Years and Other Experience: Senior Vice President and Chief Financial Officer (retired 2013) at IBM (information technology services); Fiduciary Member of IBM’s Retirement Plan Committee (2004–2013); Director of the Dow Chemical Company; Member of the Council on Chicago Booth.
Scott C. Malpass
Born 1962. Trustee Since March 2012. Principal Occupation(s) During the Past Five Years and Other Experience: Chief Investment Officer and Vice President at the University of Notre Dame; Assistant Professor of Finance at the Mendoza College of Business at Notre Dame; Member of the Notre Dame 403(b) Investment Committee, the Board of Advisors for Spruceview Capital Partners, and the Investment Advisory Committee of Major League Baseball; Board Member of TIFF Advisory Services, Inc., and Catholic Investment Services, Inc. (investment advisors); Member of the Board of Superintendence of the Institute for the Works of Religion.
André F. Perold
Born 1952. Trustee Since December 2004. Principal Occupation(s) During the Past Five Years and Other Experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011); Chief Investment Officer and Co-Managing Partner of HighVista Strategies LLC (private investment firm); Overseer of the Museum of Fine Arts Boston.
Peter F. Volanakis
Born 1955. Trustee Since July 2009. Principal Occupation(s) During the Past Five Years and Other Experience: President and Chief Operating Officer (retired 2010) of Corning Incorporated (communications equipment); Chairman of the Board of Trustees of Colby-Sawyer College; Member of the Board of Hypertherm, Inc. (industrial cutting systems, software, and consumables).
Executive Officers
Glenn Booraem
Born 1967. Investment Stewardship Officer Since February 2017. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Treasurer (2015–2017),
Controller (2010–2015), and Assistant Controller (2001–2010) of each of the investment companies served by The Vanguard Group.
Thomas J. Higgins
Born 1957. Chief Financial Officer Since September 2008. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Chief Financial Officer of each of the investment companies served by The Vanguard Group; Treasurer of each of the investment companies served by The Vanguard Group (1998–2008).
Peter Mahoney
Born 1974. Controller Since May 2015. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Controller of each of the investment companies served by The Vanguard Group; Head of International Fund Services at The Vanguard Group (2008–2014).
Anne E. Robinson
Born 1970. Secretary Since September 2016. Principal Occupation(s) During the Past Five Years and Other Experience: Managing Director of The Vanguard Group, Inc.; General Counsel of The Vanguard Group; Secretary of The Vanguard Group and of each of the investment companies served by The Vanguard Group; Director and Senior Vice President of Vanguard Marketing Corporation; Managing Director and General Counsel of Global Cards and Consumer Services at Citigroup (2014–2016); Counsel at American Express (2003–2014).
Michael Rollings
Born 1963. Treasurer Since February 2017. Principal Occupation(s) During the Past Five Years and Other Experience: Managing Director of The Vanguard Group, Inc.; Treasurer of each of the investment companies served by The Vanguard Group; Executive Vice President and Chief Financial Officer of MassMutual Financial Group (2006–2016).
Vanguard Senior ManagementTeam | |
Mortimer J. Buckley | James M. Norris |
John James | Thomas M. Rampulla |
Martha G. King | Glenn W. Reed |
John T. Marcante | Karin A. Risi |
Chris D. McIsaac |
Chairman Emeritus and Senior Advisor John J. Brennan
Chairman, 1996–2009
Chief Executive Officer and President, 1996–2008
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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Valley Forge, PA 19482-2600 | |
Connect with Vanguard® > vanguard.com | |
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Institutional Investor Services > 800-523-1036 | |
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Who Are Deaf or Hard of Hearing> 800-749-7273 | |
This material may be used in conjunction | |
with the offering of shares of any Vanguard | |
fund only if preceded or accompanied by | |
the fund’s current prospectus. | |
All comparative mutual fund data are from Lipper, a | |
Thomson Reuters Company, or Morningstar, Inc., unless | |
otherwise noted. | |
You can obtain a free copy of Vanguard’s proxy voting | |
guidelines by visiting vanguard.com/proxyreporting or by | |
calling Vanguard at 800-662-2739. The guidelines are | |
also available from the SEC’s website, sec.gov. In | |
addition, you may obtain a free report on how your fund | |
voted the proxies for securities it owned during the 12 | |
months ended June 30. To get the report, visit either | |
vanguard.com/proxyreporting or sec.gov. | |
You can review and copy information about your fund at | |
the SEC’s Public Reference Room in Washington, D.C. To | |
find out more about this public service, call the SEC at | |
202-551-8090. Information about your fund is also | |
available on the SEC’s website, and you can receive | |
copies of this information, for a fee, by sending a | |
request in either of two ways: via email addressed to | |
publicinfo@sec.gov or via regular mail addressed to the | |
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© 2017 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q302 042017 |
![](https://capedge.com/proxy/N-CSRS/0000932471-17-004017/spmid-cap400indexfundsx1x1.jpg)
Semiannual Report | February 28, 2017
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
A new format, unwavering commitment
As you begin reading this report, you’ll notice that we’ve made some improvements to the opening sections—based on feedback from you, our clients.
Page 1 starts with a new ”Your Fund’s Performance at a Glance,” a concise, handy summary of how your fund performed during the period.
In the renamed ”Chairman’s Perspective,” Bill McNabb will focus on enduring principles and investment insights.
We’ve modified some tables, and eliminated some redundancy, but we haven’t removed any information.
At Vanguard, we’re always looking for better ways to communicate and to help you make sound investment decisions. Thank you for entrusting your assets to us.
Contents | |
Your Fund’s Performance at a Glance. | 1 |
Chairman’s Perspective. | 3 |
S&P Mid-Cap 400 Index Fund. | 6 |
S&P Mid-Cap 400 Value Index Fund. | 23 |
S&P Mid-Cap 400 Growth Index Fund. | 39 |
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: No matter what language you speak, Vanguard has one consistent message and set of principles. Our primary focus is on you, our clients. We conduct our business with integrity as a faithful steward of your assets. This message is shown translated into seven languages, reflecting our expanding global presence.
Your Fund’s Performance at a Glance
• U.S. value stocks generally outperformed their growth counterparts during the six months ended February 28, 2017. The performance of the Vanguard S&P Mid-Cap 400 Index Funds mirrored this broad market trend.
• Results ranged from more than 8% for the Growth Index Fund to more than 13% for the Value Index Fund. The S&P Mid-Cap 400 Index Fund, which includes both value and growth stocks, returned more than 11%.
• All three funds closely tracked their target indexes and exceeded the average returns of their peers.
• Financials, information technology, industrials, and materials were the top contributing sectors in all three funds. Consumer staples posted negative results in two of the funds and just a tiny gain in the Growth Index Fund. Energy stocks recorded a notable loss in the Growth Index Fund but small gains in the other two.
Total Returns: Six Months Ended February 28, 2017 | |
Total | |
Returns | |
Vanguard S&P Mid-Cap 400 Index Fund | |
ETF Shares | |
Market Price | 11.26% |
Net Asset Value | 11.29 |
Institutional Shares | 11.33 |
S&P MidCap 400 Index | 11.37 |
Mid-Cap Core Funds Average | 10.33 |
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 | 13.41% |
Net Asset Value | 13.46 |
Institutional Shares | 13.53 |
S&P MidCap 400 Value Index | 13.54 |
Mid-Cap Value Funds Average | 11.47 |
Mid-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
1
Total | |
Returns | |
Vanguard S&P Mid-Cap 400 Growth Index Fund | |
ETF Shares | |
Market Price | 8.52% |
Net Asset Value | 8.58 |
Institutional Shares | 8.64 |
S&P MidCap 400 Growth Index | 8.66 |
Mid-Cap Growth Funds Average | 7.40 |
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.
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% | 1.13% |
S&P Mid-Cap 400 Value Index Fund | 0.20 | 0.08 | 1.20 |
S&P Mid-Cap 400 Growth Index Fund | 0.20 | 0.08 | 1.28 |
The fund expense ratios shown are from the prospectus dated December 23, 2016, and represent estimated costs for the current fiscal year. For the six months ended February 28, 2017, the funds’ annualized expense ratios were: for the S&P Mid-Cap 400 Index Fund, 0.16% for ETF Shares and 0.08% for Institutional Shares; for the S&P Mid-Cap 400 Value Index Fund, 0.21% for ETF Shares and 0.08% for Institutional Shares; and for the S&P Mid-Cap 400 Growth Index Fund, 0.21% for ETF Shares and 0.08% for Institutional Shares. Peer-group expense ratios are derived from data provided by Lipper, a Thomson Reuters Company, and capture information through year-end 2016.
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.
2
Chairman’s Perspective
![](https://capedge.com/proxy/N-CSRS/0000932471-17-004017/spmid-cap400indexfundsx5x1.jpg)
Bill McNabb
Chairman and Chief Executive Officer
Dear Shareholder,
More than a decade ago, a Vanguard client asked us to help improve its defined contribution retirement plan. New hires were participating in the plan at lower rates than in previous years, and the client wanted to reverse this trend. Another priority was to help more participants invest their retirement savings in balanced portfolios.
The overall goal of this longtime client: Give employees a better chance to achieve financial security in retirement.
Today, that plan automatically enrolls employees at a 5% contribution rate, puts them in a low-cost target-date fund that takes on less risk as they near retirement, and offers a comprehensive suite of advice services. On top of that, employees get an employer contribution of 5% and are eligible for a company match.
Because of this combination of attractive features and generous employer contributions, nearly all new hires now participate in the plan, 81% of plan participants invest their retirement savings in balanced portfolios, and 87% of participants meet or exceed Vanguard’s recommended total retirement savings target. (Vanguard generally recommends that retirement investors save 12%–15% of pay, including company matches.)
3
Changing the retirement landscape
Am I singling out an isolated Vanguard success story? Absolutely not.
Stories like these are becoming increasingly common with employer-based retirement plans, particularly among large and midsize companies. Solutions such as automatic enrollment, automatic contribution increases, and default investment in target-date funds are having a positive effect.
Insights from the relatively new discipline of behavioral finance have contributed to the advances. Simply put, retirement plans are making natural human inertia work for future retirees, rather than against them, by putting savings on autopilot as much as possible.
More than 60% of Vanguard participants are in plans with automatic enrollment, which has led to a big jump in participation. Today, more than four-fifths of eligible employees are saving for retirement, compared with only two-thirds ten years ago.
In addition, many plans have adopted automatic-escalation features, which increase plan contributions at regular intervals until a maximum level is reached or an employee opts out. Automatic increases are a crucial tool for boosting retirement savings rates.
The growing use of target-date funds is another enormous benefit. More than 70% of all participants in Vanguard plans invest at least part of their retirement savings in
Market Barometer | |||
Total Returns | |||
Periods Ended February 28, 2017 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 10.10% | 25.53% | 13.94% |
Russell 2000 Index (Small-caps) | 12.61 | 36.11 | 12.89 |
Russell 3000 Index (Broad U.S. market) | 10.29 | 26.29 | 13.85 |
FTSE All-World ex US Index (International) | 5.40 | 19.87 | 4.00 |
Bonds | |||
Bloomberg Barclays U.S. Aggregate Bond Index | |||
(Broad taxable market) | -2.19% | 1.42% | 2.24% |
Bloomberg Barclays Municipal Bond Index | |||
(Broad tax-exempt market) | -2.80 | 0.25 | 3.07 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.19 | 0.32 | 0.10 |
CPI | |||
Consumer Price Index | 1.14% | 2.74% | 1.36% |
4
these age-appropriate, diversified strategies. And nearly 50% of Vanguard participants are invested solely in a single target-date fund.
Consider a do-it-yourself autopilot
But what if you don’t have access to a world-class, employer-based retirement plan? Unfortunately, not everyone does, which is an important policy issue.
However, you can still put the features of these plans to work. For example, you can set up automatic contributions from your paycheck to an IRA. And you can adopt your own automatic escalation by investing any pay raises.
You can also take a page from top-quality retirement plans by considering a low-cost, globally diversified target-date fund. The beauty of this approach is that you don’t need to remember to rebalance your portfolio—the fund does it for you.
Of course, you can take a more active role in picking your own investments, and this can be a good choice for some. But keep in mind the lessons from successful employer-based plans: Busy workers, faced with a lot of competing priorities, are often best served by putting their retirement savings on autopilot.
Winning by default
In highlighting some recent successes in retirement savings, I don’t want to minimize the challenges we still face. We’re living in a slow-growth, uncertain world, and investment returns for both stocks and bonds could well be modest in the coming decade.
But I believe the innovations we’ve seen in the last ten years in many retirement plans—you might call it the “default revolution”—point the way toward a solution. And that even goes for people whose employers don’t have a world-class retirement plan.
As always, thank you for investing with Vanguard.
![](https://capedge.com/proxy/N-CSRS/0000932471-17-004017/spmid-cap400indexfundsx7x1.jpg)
F. William McNabb III
Chairman and Chief Executive Officer
March 14, 2017
5
S&P Mid-Cap 400 Index Fund
Fund Profile
As of February 28, 2017
Share-Class Characteristics | |||
ETF | Institutional | ||
Shares | Shares | ||
Ticker Symbol | IVOO | VSPMX | |
Expense Ratio1 | 0.15% | 0.08% | |
30-Day SEC Yield | 1.35% | 1.41% | |
Portfolio Characteristics | |||
DJ | |||
S&P | U.S. Total | ||
MidCap | Market | ||
Fund | 400 Index | FA Index | |
Number of Stocks | 401 | 400 | 3,807 |
Median Market Cap | $5.2B | $5.2B | $57.6B |
Price/Earnings Ratio | 27.7x | 27.6x | 24.8x |
Price/Book Ratio | 2.6x | 2.7x | 3.0x |
Return on Equity | 13.4% | 13.4% | 16.4% |
Earnings Growth Rate | 10.1% | 10.1% | 7.6% |
Dividend Yield | 1.5% | 1.5% | 1.9% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 12% | — | — |
Short-Term Reserves | 0.3% | — | — |
Sector Diversification (% of equity exposure)
DJ | |||
U.S. | |||
Total | |||
S&P | Market | ||
MidCap | FA | ||
Fund 400 | Index | Index | |
Consumer Discretionary | 11.2% | 11.1% | 12.4% |
Consumer Staples | 4.1 | 4.1 | 8.4 |
Energy | 3.5 | 3.5 | 6.2 |
Financials | 16.8 | 17.2 | 15.3 |
Health Care | 7.5 | 7.5 | 13.4 |
Industrials | 14.6 | 14.6 | 10.8 |
Information Technology | 18.2 | 18.1 | 20.7 |
Materials | 7.9 | 7.8 | 3.4 |
Real Estate | 10.7 | 10.5 | 4.1 |
Telecommunication | |||
Services | 0.1 | 0.2 | 2.1 |
Utilities | 5.4 | 5.4 | 3.2 |
Volatility Measures | ||
DJ | ||
S&P | U.S. Total | |
MidCap | Market | |
400 Index | FA Index | |
R-Squared | 1.00 | 0.85 |
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) | ||
Advanced Micro Devices | ||
Inc. | Semiconductors | 0.6% |
Synopsys Inc. | Application Software | 0.6 |
Alexandria Real Estate | ||
Equities Inc. | Office REITs | 0.6 |
ResMed Inc. | Health Care | |
Equipment | 0.6 | |
Huntington Ingalls | Aerospace & | |
Industries Inc. | Defense | 0.6 |
Alleghany Corp. | Reinsurance | 0.6 |
SVB Financial Group | Regional Banks | 0.6 |
CDK Global Inc. | Application Software | 0.6 |
Raymond James | Investment Banking | |
Financial Inc. | & Brokerage | 0.6 |
WhiteWave Foods Co. | Packaged Foods & | |
Meats | 0.6 | |
Top Ten | 6.0% |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-17-004017/spmid-cap400indexfundsx8x1.jpg)
1 The expense ratios shown are from the prospectus dated December 23, 2016, and represent estimated costs for the current fiscal year. For the six months ended February 28, 2017, the annualized expense ratios were 0.16% for ETF Shares and 0.08% for Institutional Shares.
6
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 28, 2017
![](https://capedge.com/proxy/N-CSRS/0000932471-17-004017/spmid-cap400indexfundsx9x1.jpg)
Note: For 2017, performance data reflect the six months ended February 28, 2017.
Average Annual Total Returns: Periods Ended December 31, 2016
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 | 20.63% | 15.20% | 14.87% | |
Net Asset Value | 20.56 | 15.18 | 14.86 | |
Institutional Shares | 3/28/20111 | 20.66 | 15.26 | 11.48 |
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.
7
S&P Mid-Cap 400 Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 28, 2017
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 (11.1%) | |||
Domino’s Pizza Inc. | 50,813 | 9,645 | |
* | NVR Inc. | 3,725 | 7,208 |
Gentex Corp. | 302,771 | 6,367 | |
Service Corp. International | 201,299 | 6,186 | |
Brunswick Corp. | 94,777 | 5,676 | |
Thor Industries Inc. | 50,567 | 5,604 | |
* | Toll Brothers Inc. | 157,696 | 5,384 |
^ | Polaris Industries Inc. | 62,960 | 5,365 |
Dunkin’ Brands Group Inc. | 96,930 | 5,332 | |
* | Panera Bread Co. Class A | 23,070 | 5,325 |
Pool Corp. | 43,682 | 5,011 | |
Cinemark Holdings Inc. | 111,731 | 4,678 | |
Carter’s Inc. | 52,167 | 4,591 | |
Dick’s Sporting Goods Inc. | 92,920 | 4,548 | |
Williams-Sonoma Inc. | 86,056 | 4,181 | |
^ | Cracker Barrel Old | ||
Country Store Inc. | 25,399 | 4,089 | |
* | Live Nation | ||
Entertainment Inc. | 139,718 | 3,969 | |
CST Brands Inc. | 79,973 | 3,849 | |
* | AMC Networks Inc. | ||
Class A | 62,275 | 3,725 | |
* | Skechers U.S.A. Inc. | ||
Class A | 140,869 | 3,616 | |
* | Sally Beauty Holdings Inc. | 152,788 | 3,342 |
* | Kate Spade & Co. | 135,878 | 3,242 |
Tupperware Brands Corp. | 53,613 | 3,238 | |
Jack in the Box Inc. | 34,278 | 3,212 | |
Cable One Inc. | 4,967 | 3,106 | |
* | Buffalo Wild Wings Inc. | 19,297 | 2,991 |
Wendy’s Co. | 212,579 | 2,963 | |
* | Helen of Troy Ltd. | 29,561 | 2,888 |
Dana Inc. | 152,503 | 2,881 | |
Texas Roadhouse Inc. | |||
Class A | 68,041 | 2,878 | |
American Eagle | |||
Outfitters Inc. | 181,288 | 2,873 | |
Cheesecake Factory Inc. | 46,778 | 2,856 |
CalAtlantic Group Inc. | 77,515 | 2,739 | |
Graham Holdings Co. | |||
Class B | 4,932 | 2,655 | |
^ | GameStop Corp. Class A | 108,032 | 2,640 |
* | Cabela’s Inc. | 54,458 | 2,551 |
John Wiley & Sons Inc. | |||
Class A | 47,648 | 2,487 | |
*,^ | Tempur Sealy | ||
International Inc. | 53,418 | 2,467 | |
* | Murphy USA Inc. | 38,474 | 2,451 |
Meredith Corp. | 38,742 | 2,429 | |
Big Lots Inc. | 47,204 | 2,423 | |
Office Depot Inc. | 560,340 | 2,337 | |
Cooper Tire & Rubber Co. | 56,414 | 2,282 | |
^ | Brinker International Inc. | 52,658 | 2,224 |
Papa John’s | |||
International Inc. | 28,173 | 2,223 | |
* | Sotheby’s | 48,876 | 2,206 |
*,^ | JC Penney Co. Inc. | 326,961 | 2,073 |
Churchill Downs Inc. | 13,207 | 1,985 | |
Chico’s FAS Inc. | 137,054 | 1,985 | |
DeVry Education Group Inc. | 60,448 | 1,943 | |
New York Times Co. | |||
Class A | 129,204 | 1,861 | |
* | TRI Pointe Group Inc. | 154,504 | 1,845 |
Time Inc. | 105,070 | 1,844 | |
Aaron’s Inc. | 67,416 | 1,839 | |
* | Deckers Outdoor Corp. | 34,036 | 1,798 |
^ | KB Home | 88,268 | 1,567 |
Dillard’s Inc. Class A | 27,328 | 1,490 | |
HSN Inc. | 33,792 | 1,274 | |
* | Vista Outdoor Inc. | 62,390 | 1,262 |
International Speedway | |||
Corp. Class A | 27,457 | 1,019 | |
* | Fossil Group Inc. | 44,451 | 841 |
199,559 | |||
Consumer Staples (4.1%) | |||
* | WhiteWave Foods Co. | ||
Class A | 187,307 | 10,317 | |
Ingredion Inc. | 76,517 | 9,250 | |
Lamb Weston Holdings Inc. | 146,567 | 5,744 |
8
S&P Mid-Cap 400 Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
* | Post Holdings Inc. | 68,558 | 5,613 |
* | TreeHouse Foods Inc. | 59,946 | 5,100 |
Casey’s General Stores Inc. | 41,400 | 4,743 | |
* | Edgewell Personal Care Co. | 61,191 | 4,518 |
* | Hain Celestial Group Inc. | 109,298 | 3,867 |
Flowers Foods Inc. | 193,048 | 3,718 | |
Energizer Holdings Inc. | 65,458 | 3,591 | |
Snyder’s-Lance Inc. | 90,420 | 3,579 | |
Lancaster Colony Corp. | 20,642 | 2,721 | |
* | Sprouts Farmers | ||
Market Inc. | 141,872 | 2,619 | |
* | United Natural Foods Inc. | 53,562 | 2,306 |
* | Avon Products Inc. | 463,954 | 2,041 |
Dean Foods Co. | 95,984 | 1,751 | |
* | Boston Beer Co. Inc. | ||
Class A | 9,591 | 1,522 | |
^ | Tootsie Roll Industries Inc. | 18,464 | 723 |
73,723 | |||
Energy (3.5%) | |||
HollyFrontier Corp. | 185,773 | 5,439 | |
* | Energen Corp. | 102,577 | 5,385 |
* | WPX Energy Inc. | 411,543 | 5,309 |
Patterson-UTI Energy Inc. | 173,196 | 4,784 | |
Nabors Industries Ltd. | 299,478 | 4,384 | |
* | QEP Resources Inc. | 253,971 | 3,495 |
Ensco plc Class A | 321,394 | 3,130 | |
Western Refining Inc. | 83,931 | 3,065 | |
Oceaneering | |||
International Inc. | 103,984 | 2,945 | |
* | CONSOL Energy Inc. | 187,318 | 2,917 |
* | Gulfport Energy Corp. | 163,765 | 2,840 |
World Fuel Services Corp. | 74,710 | 2,702 | |
* | Superior Energy | ||
Services Inc. | 160,899 | 2,655 | |
SM Energy Co. | 102,431 | 2,525 | |
* | Dril-Quip Inc. | 39,849 | 2,445 |
* | Rowan Cos. plc Class A | 133,025 | 2,410 |
* | Oil States International Inc. | 54,487 | 2,005 |
Noble Corp. plc | 258,018 | 1,724 | |
*,^ | Diamond Offshore | ||
Drilling Inc. | 68,429 | 1,152 | |
* | Denbury Resources Inc. | 422,718 | 1,146 |
62,457 | |||
Financials (16.8%) | |||
* | Alleghany Corp. | 16,295 | 10,523 |
* | SVB Financial Group | 55,050 | 10,508 |
Raymond James | |||
Financial Inc. | 133,539 | 10,491 | |
Everest Re Group Ltd. | 43,198 | 10,158 | |
MSCI Inc. Class A | 99,475 | 9,409 | |
* | Signature Bank | 56,734 | 8,936 |
Reinsurance Group of | |||
America Inc. Class A | 67,859 | 8,826 | |
East West Bancorp Inc. | 152,351 | 8,245 | |
New York Community | |||
Bancorp Inc. | 514,729 | 7,865 |
MarketAxess Holdings Inc. | 39,714 | 7,753 | |
FactSet Research | |||
Systems Inc. | 42,203 | 7,508 | |
WR Berkley Corp. | 102,612 | 7,287 | |
American Financial | |||
Group Inc. | 77,093 | 7,251 | |
SEI Investments Co. | 142,031 | 7,151 | |
PacWest Bancorp | 127,110 | 7,004 | |
RenaissanceRe | |||
Holdings Ltd. | 43,491 | 6,421 | |
Endurance Specialty | |||
Holdings Ltd. | 67,867 | 6,307 | |
Eaton Vance Corp. | 119,857 | 5,589 | |
Cullen/Frost Bankers Inc. | 59,211 | 5,475 | |
Prosperity Bancshares Inc. | 73,424 | 5,473 | |
Synovus Financial Corp. | 129,234 | 5,456 | |
Commerce Bancshares Inc. | 92,169 | 5,440 | |
Old Republic International | |||
Corp. | 258,064 | 5,345 | |
Webster Financial Corp. | 96,926 | 5,324 | |
Bank of the Ozarks Inc. | 96,012 | 5,255 | |
Brown & Brown Inc. | 121,489 | 5,236 | |
First Horizon National Corp. | 246,452 | 4,914 | |
PrivateBancorp Inc. | 84,194 | 4,765 | |
* | SLM Corp. | 393,901 | 4,723 |
First American Financial | |||
Corp. | 116,040 | 4,534 | |
Umpqua Holdings Corp. | 232,677 | 4,377 | |
Hancock Holding Co. | 87,776 | 4,165 | |
Hanover Insurance | |||
Group Inc. | 44,950 | 4,046 | |
Associated Banc-Corp | 156,451 | 4,029 | |
Chemical Financial Corp. | 74,538 | 3,971 | |
Primerica Inc. | 48,391 | 3,908 | |
CNO Financial Group Inc. | 183,365 | 3,834 | |
Bank of Hawaii Corp. | 45,107 | 3,810 | |
* | Stifel Financial Corp. | 70,000 | 3,777 |
UMB Financial Corp. | 46,080 | 3,632 | |
Legg Mason Inc. | 95,312 | 3,595 | |
Aspen Insurance | |||
Holdings Ltd. | 63,840 | 3,578 | |
Fulton Financial Corp. | 183,713 | 3,514 | |
FNB Corp. | 221,259 | 3,445 | |
MB Financial Inc. | 75,324 | 3,391 | |
Valley National Bancorp | 269,881 | 3,338 | |
Washington Federal Inc. | 94,458 | 3,197 | |
TCF Financial Corp. | 181,310 | 3,155 | |
Cathay General Bancorp | 78,629 | 3,089 | |
BancorpSouth Inc. | 90,369 | 2,801 | |
Federated Investors Inc. | |||
Class B | 98,639 | 2,680 | |
Trustmark Corp. | 71,719 | 2,370 | |
International Bancshares | |||
Corp. | 61,568 | 2,343 | |
Mercury General Corp. | 38,694 | 2,269 | |
Kemper Corp. | 51,569 | 2,189 |
9
S&P Mid-Cap 400 Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
* | Genworth Financial Inc. | ||
Class A | 528,642 | 2,162 | |
Janus Capital Group Inc. | 151,086 | 1,913 | |
Waddell & Reed | |||
Financial Inc. Class A | 87,851 | 1,690 | |
^ | WisdomTree | ||
Investments Inc. | 121,612 | 1,108 | |
300,548 | |||
Health Care (7.5%) | |||
ResMed Inc. | 148,983 | 10,731 | |
Teleflex Inc. | 46,557 | 8,901 | |
* | Align Technology Inc. | 79,164 | 8,135 |
* | VCA Inc. | 85,747 | 7,794 |
* | MEDNAX Inc. | 97,885 | 6,968 |
* | United Therapeutics Corp. | 44,823 | 6,621 |
* | WellCare Health Plans Inc. | 46,804 | 6,609 |
West Pharmaceutical | |||
Services Inc. | 77,337 | 6,378 | |
STERIS plc | 90,034 | 6,314 | |
Bioverativ Inc. | 114,957 | 5,987 | |
* | ABIOMED Inc. | 42,630 | 5,029 |
* | Charles River Laboratories | ||
International Inc. | 50,009 | 4,349 | |
* | Bio-Rad Laboratories Inc. | ||
Class A | 21,932 | 4,269 | |
Hill-Rom Holdings Inc. | 63,185 | 4,199 | |
Bio-Techne Corp. | 39,421 | 4,191 | |
HealthSouth Corp. | 94,876 | 4,015 | |
* | NuVasive Inc. | 53,196 | 3,977 |
* | Catalent Inc. | 131,803 | 3,783 |
* | PAREXEL International | ||
Corp. | 56,278 | 3,641 | |
* | Prestige Brands | ||
Holdings Inc. | 56,129 | 3,178 | |
* | LifePoint Health Inc. | 42,585 | 2,727 |
* | Allscripts Healthcare | ||
Solutions Inc. | 196,288 | 2,391 | |
Owens & Minor Inc. | 65,234 | 2,354 | |
* | LivaNova plc | 46,401 | 2,339 |
* | Molina Healthcare Inc. | 45,190 | 2,192 |
* | Globus Medical Inc. | 76,285 | 2,121 |
* | Akorn Inc. | 92,985 | 1,935 |
* | Halyard Health Inc. | 49,504 | 1,934 |
* | Tenet Healthcare Corp. | 84,567 | 1,632 |
134,694 | |||
Industrials (14.6%) | |||
Huntington Ingalls | |||
Industries Inc. | 49,003 | 10,707 | |
AO Smith Corp. | 156,091 | 7,861 | |
Wabtec Corp. | 94,132 | 7,542 | |
IDEX Corp. | 80,572 | 7,428 | |
Carlisle Cos. Inc. | 68,162 | 7,041 | |
Toro Co. | 115,519 | 6,955 | |
ManpowerGroup Inc. | 70,866 | 6,877 |
B/E Aerospace Inc. | 107,371 | 6,829 | |
* | JetBlue Airways Corp. | 342,112 | 6,829 |
Nordson Corp. | 56,208 | 6,747 | |
Lennox International Inc. | 40,942 | 6,740 | |
* | Old Dominion Freight | ||
Line Inc. | 73,181 | 6,715 | |
Hubbell Inc. Class B | 54,404 | 6,453 | |
* | Copart Inc. | 107,770 | 6,374 |
Donaldson Co. Inc. | 139,549 | 5,994 | |
* | AECOM | 162,682 | 5,913 |
Orbital ATK Inc. | 61,878 | 5,719 | |
Lincoln Electric Holdings Inc. | 65,586 | 5,523 | |
Oshkosh Corp. | 78,686 | 5,342 | |
Graco Inc. | 58,841 | 5,340 | |
* | Teledyne Technologies Inc. | 36,921 | 4,852 |
* | Genesee & Wyoming Inc. | ||
Class A | 64,773 | 4,802 | |
Watsco Inc. | 32,122 | 4,763 | |
MSC Industrial Direct | |||
Co. Inc. Class A | 47,179 | 4,746 | |
Curtiss-Wright Corp. | 46,735 | 4,572 | |
AGCO Corp. | 71,241 | 4,340 | |
Trinity Industries Inc. | 160,878 | 4,318 | |
Woodward Inc. | 58,602 | 4,129 | |
EMCOR Group Inc. | 64,077 | 3,939 | |
* | Kirby Corp. | 56,901 | 3,938 |
Landstar System Inc. | 44,143 | 3,832 | |
ITT Inc. | 93,189 | 3,818 | |
Crane Co. | 52,678 | 3,808 | |
Deluxe Corp. | 51,344 | 3,778 | |
Valmont Industries Inc. | 23,784 | 3,740 | |
Rollins Inc. | 101,265 | 3,702 | |
EnerSys | 46,044 | 3,533 | |
Regal Beloit Corp. | 47,292 | 3,521 | |
Terex Corp. | 112,285 | 3,508 | |
Timken Co. | 74,254 | 3,282 | |
* | Avis Budget Group Inc. | 93,189 | 3,222 |
* | Clean Harbors Inc. | 55,385 | 3,210 |
Kennametal Inc. | 84,753 | 3,143 | |
Joy Global Inc. | 104,083 | 2,934 | |
* | KLX Inc. | 55,866 | 2,812 |
* | Esterline Technologies Corp. | 31,365 | 2,788 |
* | Dycom Industries Inc. | 33,368 | 2,742 |
Pitney Bowes Inc. | 196,526 | 2,681 | |
CEB Inc. | 34,172 | 2,650 | |
^ | GATX Corp. | 42,309 | 2,457 |
MSA Safety Inc. | 33,097 | 2,391 | |
KBR Inc. | 151,296 | 2,277 | |
Granite Construction Inc. | 42,003 | 2,227 | |
* | NOW Inc. | 113,970 | 2,181 |
HNI Corp. | 47,230 | 2,164 | |
Herman Miller Inc. | 63,619 | 1,896 | |
* | FTI Consulting Inc. | 44,953 | 1,809 |
Werner Enterprises Inc. | 47,414 | 1,328 | |
260,762 |
10
S&P Mid-Cap 400 Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
Information Technology (18.1%) | |||
* | Advanced Micro | ||
Devices Inc. | 803,276 | 11,615 | |
* | Synopsys Inc. | 159,948 | 11,427 |
CDK Global Inc. | 158,004 | 10,496 | |
Computer Sciences Corp. | 148,822 | 10,203 | |
* | ANSYS Inc. | 91,450 | 9,763 |
* | Cadence Design | ||
Systems Inc. | 303,015 | 9,363 | |
* | Gartner Inc. | 87,305 | 9,011 |
Broadridge Financial | |||
Solutions Inc. | 125,845 | 8,725 | |
* | Trimble Inc. | 264,823 | 8,218 |
Leidos Holdings Inc. | 150,962 | 8,046 | |
Jack Henry & | |||
Associates Inc. | 82,538 | 7,740 | |
Cognex Corp. | 90,530 | 6,954 | |
* | Arrow Electronics Inc. | 94,672 | 6,835 |
* | Keysight Technologies Inc. | 179,584 | 6,752 |
* | PTC Inc. | 122,166 | 6,584 |
* | NCR Corp. | 131,143 | 6,304 |
* | Microsemi Corp. | 121,156 | 6,278 |
Avnet Inc. | 134,873 | 6,215 | |
Teradyne Inc. | 212,639 | 6,048 | |
* | Ultimate Software | ||
Group Inc. | 30,645 | 5,927 | |
* | Fortinet Inc. | 155,427 | 5,805 |
* | Tyler Technologies Inc. | 35,221 | 5,341 |
Brocade Communications | |||
Systems Inc. | 425,129 | 5,233 | |
* | ARRIS International plc | 201,484 | 5,198 |
LogMeIn Inc. | 55,245 | 5,069 | |
* | Zebra Technologies Corp. | 55,782 | 5,060 |
Jabil Circuit Inc. | 196,099 | 5,003 | |
* | IPG Photonics Corp. | 39,281 | 4,647 |
* | WEX Inc. | 40,640 | 4,520 |
Cypress Semiconductor | |||
Corp. | 339,367 | 4,503 | |
Mentor Graphics Corp. | 115,721 | 4,293 | |
Fair Isaac Corp. | 32,692 | 4,252 | |
j2 Global Inc. | 50,729 | 4,130 | |
Science Applications | |||
International Corp. | 47,362 | 4,119 | |
MAXIMUS Inc. | 68,444 | 4,084 | |
DST Systems Inc. | 33,795 | 4,042 | |
* | Ciena Corp. | 147,222 | 3,878 |
Littelfuse Inc. | 23,806 | 3,844 | |
* | Manhattan Associates Inc. | 75,215 | 3,772 |
* | ViaSat Inc. | 54,420 | 3,746 |
* | Cirrus Logic Inc. | 67,313 | 3,640 |
National Instruments Corp. | 112,079 | 3,613 | |
* | CoreLogic Inc. | 91,570 | 3,589 |
SYNNEX Corp. | 30,679 | 3,587 | |
* | NetScout Systems Inc. | 96,749 | 3,575 |
* | Versum Materials Inc. | 115,221 | 3,492 |
Monolithic Power | |||
Systems Inc. | 39,672 | 3,490 | |
* | Integrated Device | ||
Technology Inc. | 142,115 | 3,398 | |
* | Tech Data Corp. | 37,341 | 3,249 |
Belden Inc. | 44,680 | 3,157 | |
InterDigital Inc. | 36,352 | 3,055 | |
* | Silicon Laboratories Inc. | 44,270 | 2,988 |
* | Cree Inc. | 105,720 | 2,869 |
* | ACI Worldwide Inc. | 124,381 | 2,434 |
* | VeriFone Systems Inc. | 117,685 | 2,433 |
Diebold Nixdorf Inc. | 79,694 | 2,407 | |
* | Acxiom Corp. | 82,158 | 2,343 |
Vishay Intertechnology Inc. | 141,960 | 2,250 | |
Convergys Corp. | 101,141 | 2,213 | |
* | CommVault Systems Inc. | 44,668 | 2,191 |
* | WebMD Health Corp. | 39,225 | 2,036 |
* | Synaptics Inc. | 37,017 | 1,968 |
* | NeuStar Inc. Class A | 57,889 | 1,919 |
Plantronics Inc. | 35,309 | 1,891 | |
* | Knowles Corp. | 94,115 | 1,782 |
* | 3D Systems Corp. | 113,219 | 1,721 |
* | comScore Inc. | 6,020 | 144 |
324,477 | |||
Materials (7.8%) | |||
Steel Dynamics Inc. | 257,681 | 9,431 | |
Packaging Corp. | |||
of America | 98,693 | 9,122 | |
Valspar Corp. | 77,153 | 8,581 | |
Ashland Global | |||
Holdings Inc. | 65,706 | 7,928 | |
RPM International Inc. | 140,953 | 7,511 | |
United States Steel Corp. | 182,251 | 7,057 | |
Reliance Steel & | |||
Aluminum Co. | 76,682 | 6,491 | |
Chemours Co. | 192,154 | 6,468 | |
Sonoco Products Co. | 105,511 | 5,626 | |
Olin Corp. | 174,642 | 5,428 | |
Eagle Materials Inc. | 50,953 | 5,284 | |
AptarGroup Inc. | 66,243 | 4,936 | |
Bemis Co. Inc. | 99,021 | 4,908 | |
Royal Gold Inc. | 69,015 | 4,558 | |
Scotts Miracle-Gro Co. | 46,980 | 4,258 | |
NewMarket Corp. | 9,765 | 4,255 | |
Cabot Corp. | 65,858 | 3,818 | |
Sensient Technologies Corp. | 47,061 | 3,762 | |
* | Louisiana-Pacific Corp. | 150,264 | 3,543 |
* | Owens-Illinois Inc. | 171,969 | 3,405 |
PolyOne Corp. | 88,839 | 2,992 | |
Minerals Technologies Inc. | 37,045 | 2,862 | |
^ | Compass Minerals | ||
International Inc. | 35,827 | 2,716 | |
Commercial Metals Co. | 122,523 | 2,589 | |
Domtar Corp. | 66,360 | 2,528 | |
Silgan Holdings Inc. | 39,681 | 2,366 |
11
S&P Mid-Cap 400 Index Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
Worthington Industries Inc. | 46,463 | 2,279 | |
^ | Allegheny Technologies Inc. | 115,519 | 2,219 |
Carpenter Technology Corp. | 49,443 | 2,005 | |
Greif Inc. Class A | 27,349 | 1,560 | |
140,486 | |||
Real Estate (10.7%) | |||
Alexandria Real Estate | |||
Equities Inc. | 93,931 | 11,207 | |
Duke Realty Corp. | 374,860 | 9,611 | |
Kilroy Realty Corp. | 103,194 | 7,962 | |
Camden Property Trust | 92,449 | 7,826 | |
Regency Centers Corp. | 110,429 | 7,769 | |
American Campus | |||
Communities Inc. | 139,601 | 7,134 | |
National Retail | |||
Properties Inc. | 155,478 | 7,034 | |
^ | Omega Healthcare | ||
Investors Inc. | 206,221 | 6,731 | |
Lamar Advertising Co. | |||
Class A | 87,407 | 6,598 | |
Douglas Emmett Inc. | 152,119 | 6,137 | |
Liberty Property Trust | 155,335 | 6,126 | |
Highwoods Properties Inc. | 105,897 | 5,559 | |
Hospitality Properties Trust | 173,585 | 5,517 | |
Jones Lang LaSalle Inc. | 47,771 | 5,479 | |
EPR Properties | 67,235 | 5,174 | |
Senior Housing Properties | |||
Trust | 251,011 | 5,146 | |
DCT Industrial Trust Inc. | 96,183 | 4,601 | |
Medical Properties | |||
Trust Inc. | 338,385 | 4,541 | |
Taubman Centers Inc. | 63,853 | 4,454 | |
Weingarten Realty | |||
Investors | 124,492 | 4,416 | |
Life Storage Inc. | 49,026 | 4,345 | |
Uniti Group Inc. | 148,148 | 4,292 | |
CoreCivic Inc. | 124,206 | 4,186 | |
Healthcare Realty Trust Inc. | 122,434 | 3,913 | |
Cousins Properties Inc. | 443,160 | 3,789 | |
Rayonier Inc. | 129,456 | 3,708 | |
LaSalle Hotel Properties | 119,899 | 3,465 | |
Tanger Factory Outlet | |||
Centers Inc. | 101,860 | 3,450 | |
Corporate Office | |||
Properties Trust | 100,481 | 3,425 | |
First Industrial Realty | |||
Trust Inc. | 123,973 | 3,335 |
Education Realty Trust Inc. | 77,447 | 3,264 | |
Equity One Inc. | 98,489 | 3,118 | |
CyrusOne Inc. | 58,926 | 2,999 | |
Mack-Cali Realty Corp. | 95,108 | 2,772 | |
Urban Edge Properties | 97,302 | 2,698 | |
Care Capital Properties Inc. | 89,041 | 2,341 | |
Alexander & Baldwin Inc. | 48,870 | 2,191 | |
Potlatch Corp. | 42,982 | 1,902 | |
* | Quality Care Properties Inc. | 99,283 | 1,884 |
Washington Prime | |||
Group Inc. | 177,271 | 1,643 | |
191,742 | |||
Telecommunication Services (0.2%) | |||
Telephone & Data | |||
Systems Inc. | 99,114 | 2,679 | |
Utilities (5.3%) | |||
UGI Corp. | 182,815 | 8,817 | |
Atmos Energy Corp. | 109,873 | 8,602 | |
Westar Energy Inc. Class A | 149,841 | 8,088 | |
OGE Energy Corp. | 211,046 | 7,773 | |
Great Plains Energy Inc. | 227,515 | 6,612 | |
Aqua America Inc. | 187,419 | 5,949 | |
MDU Resources Group Inc. | 206,380 | 5,595 | |
National Fuel Gas Co. | 89,990 | 5,426 | |
Vectren Corp. | 87,563 | 4,934 | |
WGL Holdings Inc. | 54,085 | 4,516 | |
IDACORP Inc. | 53,255 | 4,416 | |
Southwest Gas | |||
Holdings Inc. | 50,169 | 4,291 | |
Hawaiian Electric | |||
Industries Inc. | 114,661 | 3,816 | |
Black Hills Corp. | 56,188 | 3,646 | |
ONE Gas Inc. | 55,198 | 3,618 | |
New Jersey Resources | |||
Corp. | 90,969 | 3,584 | |
PNM Resources Inc. | 84,465 | 3,066 | |
NorthWestern Corp. | 51,246 | 2,998 | |
95,747 | |||
Total Common Stocks | |||
(Cost $1,568,247) | 1,786,874 | ||
Temporary Cash Investments (0.9%)1 | |||
Money Market Fund (0.9%) | |||
2,3 | Vanguard Market | ||
Liquidity Fund, 0.864% | 161,166 | 16,118 |
12
S&P Mid-Cap 400 Index Fund
Face | Market | ||
Amount | Value• | ||
($000) | ($000) | ||
U.S. Government and Agency Obligations (0.0%) | |||
4 | United States Treasury | ||
Bill, 0.501%, 5/4/17 | 100 | 100 | |
4 | United States Treasury | ||
Bill, 0.574%, 5/11/17 | 100 | 100 | |
4 | United States Treasury | ||
Bill, 0.587%, 5/18/17 | 100 | 100 | |
300 | |||
Total Temporary Cash Investments | |||
(Cost $16,418) | 16,418 | ||
Total Investments (100.6%) | |||
(Cost $1,584,665) | 1,803,292 | ||
Amount | |||
($000) | |||
Other Assets and Liabilities (-0.6%) | |||
Other Assets | |||
Investment in Vanguard | 122 | ||
Receivables for Investment Securities Sold 4,556 | |||
Receivables for Accrued Income | 1,646 | ||
Receivables for Capital Shares Issued | 97 | ||
Other Assets 4 | 65 | ||
Total Other Assets | 6,486 | ||
Liabilities | |||
Payables for Investment Securities | |||
Purchased | (7,560) | ||
Collateral for Securities on Loan | (6,460) | ||
Payables for Capital Shares Redeemed | (2,259) | ||
Payables to Vanguard | (367) | ||
Other Liabilities | (70) | ||
Total Liabilities | (16,716) | ||
Net Assets (100%) | 1,793,062 |
At February 28, 2017, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 1,591,208 |
Overdistributed Net Investment Income | (171) |
Accumulated Net Realized Losses | (16,562) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 218,627 |
Futures Contracts | (40) |
Net Assets | 1,793,062 |
ETF Shares—Net Assets | |
Applicable to 6,025,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 700,714 |
Net Asset Value Per Share— | |
ETF Shares | $116.30 |
Institutional Shares—Net Assets | |
Applicable to 4,709,610 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 1,092,348 |
Net Asset Value Per Share— | |
Institutional Shares | $231.94 |
• 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 $6,103,000.
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 0.6%, 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 $6,460,000 of collateral received for securities on loan.
4 Securities with a value of $300,000 and cash of $65,000 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 Mid-Cap 400 Index Fund | |
Statement of Operations | |
Six Months Ended | |
February 28, 2017 | |
($000) | |
Investment Income | |
Income | |
Dividends | 9,774 |
Interest1 | 25 |
Securities Lending—Net | 35 |
Total Income | 9,834 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 110 |
Management and Administrative—ETF Shares | 333 |
Management and Administrative—Institutional Shares | 269 |
Marketing and Distribution—ETF Shares | 22 |
Marketing and Distribution—Institutional Shares | 14 |
Custodian Fees | 41 |
Shareholders’ Reports—ETF Shares | 18 |
Shareholders’ Reports—Institutional Shares | 3 |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 811 |
Net Investment Income | 9,023 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | 9,869 |
Futures Contracts | 588 |
Realized Net Gain (Loss) | 10,457 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 147,168 |
Futures Contracts | (40) |
Change in Unrealized Appreciation (Depreciation) | 147,128 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 166,608 |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $24,000 and $0, respectively.
See accompanying Notes, which are an integral part of the Financial Statements.
14
S&P Mid-Cap 400 Index Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
February 28, | August 31, | |
2017 | 2016 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 9,023 | 18,065 |
Realized Net Gain (Loss) | 10,457 | 91,423 |
Change in Unrealized Appreciation (Depreciation) | 147,128 | 34,873 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 166,608 | 144,361 |
Distributions | ||
Net Investment Income | ||
ETF Shares | (5,009) | (7,195) |
Institutional Shares | (8,992) | (15,380) |
Realized Capital Gain | ||
ETF Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (14,001) | (22,575) |
Capital Share Transactions | ||
ETF Shares | 158,325 | 64,169 |
Institutional Shares | 149,006 | 103,734 |
Net Increase (Decrease) from Capital Share Transactions | 307,331 | 167,903 |
Total Increase (Decrease) | 459,938 | 289,689 |
Net Assets | ||
Beginning of Period | 1,333,124 | 1,043,435 |
End of Period1 | 1,793,062 | 1,333,124 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($171,000) and $4,807,000.
See accompanying Notes, which are an integral part of the Financial Statements.
15
S&P Mid-Cap 400 Index Fund | |||||||
Financial Highlights | |||||||
ETF Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, | |||||||
Beginning of Period | $105.51 | $95.87 | $97.19 | $79.72 | $65.20 | $58.37 | |
Investment Operations | |||||||
Net Investment Income | .644 | 1.393 | 1.330 | 1.016 | 1.1331 | .648 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | 11.182 | 10.091 | (1.425) | 17.285 | 14.112 | 6.657 | |
Total from Investment Operations | 11.826 | 11.484 | (.095) | 18.301 | 15.245 | 7.305 | |
Distributions | |||||||
Dividends from Net Investment Income | (1.036) | (1.844) | (1.225) | (.831) | (.725) | (.475) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (1.036) | (1.844) | (1.225) | (.831) | (.725) | (.475) | |
Net Asset Value, End of Period | $116.30 | $105.51 | $95.87 | $97.19 | $79.72 | $65.20 | |
Total Return | 11.29% | 12.19% | -0.12% | 23.06% | 23.57% | 12.60% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $701 | $485 | $379 | $345 | $191 | $72 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.16% | 0.15% | 0.15% | 0.15% | 0.15% | 0.15% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 1.33% | 1.56% | 1.45% | 1.28% | 1.50% | 1.35% | |
Portfolio Turnover Rate 2 | 12% | 11% | 12% | 14% | 10% | 13% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 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.
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S&P Mid-Cap 400 Index Fund
Financial Highlights
Institutional Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, | |||||||
Beginning of Period | $210.40 | $191.51 | $194.13 | $159.20 | $130.17 | $116.52 | |
Investment Operations | |||||||
Net Investment Income | 1.357 | 3.171 | 2.794 | 2.135 | 2.3551 | 1.372 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | 22.319 | 19.869 | (2.844) | 34.537 | 28.174 | 13.297 | |
Total from Investment Operations | 23.676 | 23.040 | (.050) | 36.672 | 30.529 | 14.669 | |
Distributions | |||||||
Dividends from Net Investment Income | (2.136) | (4.150) | (2.570) | (1.742) | (1.499) | (1.019) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (2.136) | (4.150) | (2.570) | (1.742) | (1.499) | (1.019) | |
Net Asset Value, End of Period | $231.94 | $210.40 | $191.51 | $194.13 | $159.20 | $130.17 | |
Total Return | 11.33% | 12.26% | -0.04% | 23.16% | 23.65% | 12.69% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $1,092 | $848 | $665 | $523 | $216 | $91 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 1.41% | 1.63% | 1.52% | 1.35% | 1.57% | 1.42% | |
Portfolio Turnover Rate2 | 12% | 11% | 12% | 14% | 10% | 13% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 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 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 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.
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 Mid-Cap 400 Index Fund
During the six months ended February 28, 2017, 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, 2013–2016), and for the period ended February 28, 2017, 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. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 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 0.10% 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 based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 28, 2017, or at any time during the period then ended.
19
S&P Mid-Cap 400 Index Fund
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
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 28, 2017, the fund had contributed to Vanguard capital in the amount of $122,000, representing 0.01% of the fund’s net assets and 0.05% 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 28, 2017, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 1,786,874 | — | — |
Temporary Cash Investments | 16,118 | 300 | — |
Futures Contracts—Liabilities1 | (58) | — | — |
Total | 1,802,934 | 300 | — |
1 Represents variation margin on the last day of the reporting period. |
20
S&P Mid-Cap 400 Index Fund
D. At February 28, 2017, 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 2017 | 30 | 5,183 | (40) |
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 28, 2017, the fund realized $9,718,000 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, 2016, the fund had available capital losses totaling $17,301,000 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, 2017; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 28, 2017, the cost of investment securities for tax purposes was $1,584,665,000.
Net unrealized appreciation of investment securities for tax purposes was $218,627,000, consisting of unrealized gains of $287,594,000 on securities that had risen in value since their purchase and $68,967,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended February 28, 2017, the fund purchased $427,788,000 of investment securities and sold $128,084,000 of investment securities, other than temporary cash investments. Purchases and sales include $194,168,000 and $37,311,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the period ended February 28, 2017, such purchases and sales were $27,187,000 and $28,237,000 respectively; these amounts are included in the purchases and sales of investment securities noted above.
21
S&P Mid-Cap 400 Index Fund
G. Capital share transactions for each class of shares were: | |||||
Six Months Ended | Year Ended | ||||
February 28, 2017 | August 31, 2016 | ||||
Amount | Shares | Amount | Shares | ||
($000) | (000) | ($000) | (000) | ||
ETF Shares | |||||
Issued | 199,475 | 1,800 | 427,039 | 4,300 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (41,150) | (375) | (362,870) | (3,650) | |
Net Increase (Decrease)—ETF Shares | 158,325 | 1,425 | 64,169 | 650 | |
Institutional Shares | |||||
Issued | 181,669 | 828 | 306,256 | 1,555 | |
Issued in Lieu of Cash Distributions | 8,918 | 41 | 12,604 | 66 | |
Redeemed | (41,581) | (189) | (215,126) | (1,063) | |
Net Increase (Decrease)—Institutional Shares | 149,006 | 680 | 103,734 | 558 |
H. Management has determined that no material events or transactions occurred subsequent to February 28, 2017, that would require recognition or disclosure in these financial statements.
22
S&P Mid-Cap 400 Value Index Fund
Fund Profile
As of February 28, 2017
Share-Class Characteristics | ||
ETF | Institutional | |
Shares | Shares | |
Ticker Symbol | IVOV | VMFVX |
Expense Ratio1 | 0.20% | 0.08% |
30-Day SEC Yield | 1.60% | 1.69% |
Volatility Measures | ||
DJ | ||
S&P MidCap | U.S. Total | |
400 Value | Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.80 |
Beta | 1.00 | 1.11 |
Portfolio Characteristics | |||
S&P | DJ | ||
MidCap | U.S. Total | ||
400 Value | Market | ||
Fund | Index | FA Index | |
Number of Stocks | 288 | 285 | 3,807 |
Median Market Cap | $4.3B | $4.4B | $57.6B |
Price/Earnings Ratio | 25.0x | 24.9x | 24.8x |
Price/Book Ratio | 1.9x | 1.9x | 3.0x |
Return on Equity | 11.1% | 11.1% | 16.4% |
Earnings Growth Rate | 7.7% | 7.8% | 7.6% |
Dividend Yield | 1.8% | 1.8% | 1.9% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 38% | — | — |
Short-Term Reserves | -0.1% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
U.S. | |||
S&P | Total | ||
MidCap | Market | ||
400 Value | FA | ||
Fund | Index | Index | |
Consumer Discretionary | 10.1% | 10.1% | 12.4% |
Consumer Staples | 5.0 | 5.0 | 8.4 |
Energy | 5.9 | 5.9 | 6.2 |
Financials | 21.8 | 22.2 | 15.3 |
Health Care | 5.5 | 5.5 | 13.4 |
Industrials | 12.4 | 12.1 | 10.8 |
Information Technology | 12.1 | 12.1 | 20.7 |
Materials | 9.2 | 9.2 | 3.4 |
Real Estate | 9.3 | 9.2 | 4.1 |
Telecommunication | |||
Services | 0.3 | 0.3 | 2.1 |
Utilities | 8.4 | 8.4 | 3.2 |
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) | ||
Alleghany Corp. | Reinsurance | 1.3% |
Everest Re Group Ltd. | Reinsurance | 1.2 |
Reinsurance Group of | ||
America Inc. | Reinsurance | 1.0 |
UGI Corp. | Gas Utilities | 1.0 |
Atmos Energy Corp. | Gas Utilities | 1.0 |
Leidos Holdings Inc. | IT Consulting & | |
Other Services | 1.0 | |
Ashland Global Holdings | ||
Inc. | Specialty Chemicals | 0.9 |
New York Community | Thrifts & Mortgage | |
Bancorp Inc. | Finance | 0.9 |
OGE Energy Corp. | Electric Utilities | 0.9 |
WR Berkley Corp. | Property & Casualty | |
Insurance | 0.9 | |
Top Ten | 10.1% |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-17-004017/spmid-cap400indexfundsx25x1.jpg)
1 The expense ratios shown are from the prospectus dated December 23, 2016, and represent estimated costs for the current fiscal year. For the six months ended February 28, 2017, the annualized expense ratios were 0.21% for ETF Shares and 0.08% for Institutional Shares.
23
S&P Mid-Cap 400 Value Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): September 7, 2010, Through February 28, 2017
![](https://capedge.com/proxy/N-CSRS/0000932471-17-004017/spmid-cap400indexfundsx26x1.jpg)
S&P Mid-Cap 400 Value Index Fund ETF Shares Net Asset Value
S&P MidCap 400 Value Index
Note: For 2017, performance data reflect the six months ended February 28, 2017.
Average Annual Total Returns: Periods Ended December 31, 2016
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 | 26.30% | 15.88% | 14.97% | |
Net Asset Value | 26.27 | 15.86 | 14.96 | |
Institutional Shares | 11/2/2010 | 26.45 | 15.99 | 13.74 |
See Financial Highlights for dividend and capital gains information.
24
S&P Mid-Cap 400 Value Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 28, 2017
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 (10.1%) | |||
Brunswick Corp. | 93,576 | 5,604 | |
* | Toll Brothers Inc. | 155,702 | 5,316 |
Williams-Sonoma Inc. | 84,975 | 4,129 | |
CST Brands Inc. | 78,971 | 3,801 | |
* | Helen of Troy Ltd. | 29,082 | 2,841 |
Dana Inc. | 150,053 | 2,835 | |
American Eagle | |||
Outfitters Inc. | 178,372 | 2,827 | |
^ | Polaris Industries Inc. | 32,325 | 2,754 |
CalAtlantic Group Inc. | 76,269 | 2,695 | |
Graham Holdings Co. | |||
Class B | 4,851 | 2,611 | |
^ | GameStop Corp. Class A | 106,288 | 2,598 |
* | Murphy USA Inc. | 37,855 | 2,411 |
Big Lots Inc. | 46,445 | 2,384 | |
Service Corp. International | 75,521 | 2,321 | |
Office Depot Inc. | 551,270 | 2,299 | |
Cooper Tire & Rubber Co. | 55,903 | 2,261 | |
*,^ | JC Penney Co. Inc. | 321,652 | 2,039 |
Cinemark Holdings Inc. | 47,563 | 1,991 | |
DeVry Education Group Inc. | 59,611 | 1,917 | |
* | Live Nation | ||
Entertainment Inc. | 66,221 | 1,881 | |
Tupperware Brands Corp. | 30,594 | 1,848 | |
New York Times Co. | |||
Class A | 127,423 | 1,835 | |
* | TRI Pointe Group Inc. | 151,966 | 1,814 |
Time Inc. | 103,350 | 1,814 | |
Aaron’s Inc. | 66,314 | 1,809 | |
^ | KB Home | 86,791 | 1,541 |
Dillard’s Inc. Class A | 27,178 | 1,482 | |
* | Sally Beauty Holdings Inc. | 66,153 | 1,447 |
John Wiley & Sons Inc. | |||
Class A | 24,845 | 1,297 | |
* | AMC Networks Inc. | ||
Class A | 21,522 | 1,287 | |
HSN Inc. | 33,214 | 1,252 |
Cracker Barrel Old | |||
Country Store Inc. | 7,052 | 1,135 | |
* | Cabela’s Inc. | 24,218 | 1,134 |
Meredith Corp. | 16,842 | 1,056 | |
Chico’s FAS Inc. | 70,279 | 1,018 | |
International Speedway | |||
Corp. Class A | 27,059 | 1,004 | |
* | Tempur Sealy | ||
International Inc. | 21,603 | 998 | |
* | Deckers Outdoor Corp. | 16,445 | 869 |
* | Fossil Group Inc. | 43,802 | 828 |
* | Vista Outdoor Inc. | 34,447 | 697 |
83,680 | |||
Consumer Staples (5.0%) | |||
* | TreeHouse Foods Inc. | 59,189 | 5,036 |
Ingredion Inc. | 40,035 | 4,840 | |
Casey’s General Stores Inc. | 40,877 | 4,684 | |
* | Edgewell Personal Care Co. | 60,421 | 4,461 |
* | Hain Celestial Group Inc. | 107,930 | 3,819 |
Flowers Foods Inc. | 190,633 | 3,672 | |
Snyder’s-Lance Inc. | 89,291 | 3,534 | |
* | United Natural Foods Inc. | 52,690 | 2,268 |
Lamb Weston Holdings Inc. | 54,988 | 2,155 | |
* | Avon Products Inc. | 456,465 | 2,008 |
Dean Foods Co. | 94,414 | 1,722 | |
Energizer Holdings Inc. | 24,475 | 1,343 | |
* | Sprouts Farmers | ||
Market Inc. | 71,186 | 1,314 | |
* | Boston Beer Co. Inc. | ||
Class A | 4,369 | 693 | |
^ | Tootsie Roll Industries Inc. | 6,085 | 238 |
41,787 | |||
Energy (5.9%) | |||
HollyFrontier Corp. | 183,424 | 5,371 | |
Nabors Industries Ltd. | 295,709 | 4,329 | |
* | Energen Corp. | 58,741 | 3,084 |
Ensco plc Class A | 316,254 | 3,080 | |
Western Refining Inc. | 82,583 | 3,016 | |
Oceaneering | |||
International Inc. | 102,313 | 2,897 |
25
S&P Mid-Cap 400 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
* | CONSOL Energy Inc. | 184,322 | 2,870 |
World Fuel Services Corp. | 73,514 | 2,659 | |
Patterson-UTI Energy Inc. | 92,345 | 2,550 | |
* | WPX Energy Inc. | 190,976 | 2,464 |
* | Dril-Quip Inc. | 39,208 | 2,405 |
* | Rowan Cos. plc Class A | 130,872 | 2,371 |
* | QEP Resources Inc. | 154,959 | 2,132 |
* | Oil States International Inc. | 53,741 | 1,978 |
Noble Corp. plc | 253,765 | 1,695 | |
* | Superior Energy | ||
Services Inc. | 93,403 | 1,541 | |
SM Energy Co. | 52,404 | 1,292 | |
* | Gulfport Energy Corp. | 66,364 | 1,151 |
* | Diamond Offshore | ||
Drilling Inc. | 67,437 | 1,136 | |
* | Denbury Resources Inc. | 250,034 | 678 |
48,699 | |||
Financials (21.8%) | |||
* | Alleghany Corp. | 16,087 | 10,389 |
Everest Re Group Ltd. | 42,645 | 10,027 | |
Reinsurance Group of | |||
America Inc. Class A | 66,992 | 8,713 | |
New York Community | |||
Bancorp Inc. | 508,166 | 7,765 | |
WR Berkley Corp. | 101,306 | 7,195 | |
American Financial | |||
Group Inc. | 76,112 | 7,159 | |
PacWest Bancorp | 125,492 | 6,915 | |
Endurance Specialty | |||
Holdings Ltd. | 67,006 | 6,227 | |
Prosperity Bancshares Inc. | 72,495 | 5,404 | |
Old Republic | |||
International Corp. | 254,801 | 5,277 | |
Raymond James | |||
Financial Inc. | 59,322 | 4,660 | |
First American | |||
Financial Corp. | 114,579 | 4,477 | |
Umpqua Holdings Corp. | 229,750 | 4,321 | |
Hancock Holding Co. | 86,673 | 4,113 | |
* | SVB Financial Group | 21,194 | 4,046 |
Hanover Insurance | |||
Group Inc. | 44,386 | 3,996 | |
Associated Banc-Corp | 154,489 | 3,978 | |
CNO Financial Group Inc. | 181,069 | 3,786 | |
* | Stifel Financial Corp. | 69,124 | 3,730 |
Legg Mason Inc. | 93,790 | 3,538 | |
Aspen Insurance | |||
Holdings Ltd. | 62,826 | 3,521 | |
RenaissanceRe | |||
Holdings Ltd. | 23,186 | 3,423 | |
FNB Corp. | 217,720 | 3,390 | |
Valley National Bancorp | 265,557 | 3,285 | |
TCF Financial Corp. | 178,408 | 3,104 | |
Cathay General Bancorp | 77,369 | 3,039 | |
East West Bancorp Inc. | 54,146 | 2,930 |
* | Signature Bank | 18,482 | 2,911 |
BancorpSouth Inc. | 88,914 | 2,756 | |
SEI Investments Co. | 54,686 | 2,753 | |
Cullen/Frost Bankers Inc. | 28,646 | 2,649 | |
Synovus Financial Corp. | 62,522 | 2,640 | |
Mercury General Corp. | 38,059 | 2,231 | |
Kemper Corp. | 50,734 | 2,154 | |
* | Genworth Financial Inc. | ||
Class A | 519,954 | 2,127 | |
Eaton Vance Corp. | 44,968 | 2,097 | |
FactSet Research | |||
Systems Inc. | 11,666 | 2,075 | |
Webster Financial Corp. | 34,451 | 1,892 | |
Janus Capital Group Inc. | 148,608 | 1,881 | |
PrivateBancorp Inc. | 30,758 | 1,741 | |
Fulton Financial Corp. | 90,387 | 1,729 | |
Waddell & Reed Financial | |||
Inc. Class A | 86,395 | 1,662 | |
Chemical Financial Corp. | 27,232 | 1,451 | |
MB Financial Inc. | 31,869 | 1,435 | |
Federated Investors Inc. | |||
Class B | 49,489 | 1,345 | |
Trustmark Corp. | 38,099 | 1,259 | |
International | |||
Bancshares Corp. | 30,417 | 1,157 | |
UMB Financial Corp. | 14,624 | 1,153 | |
Bank of Hawaii Corp. | 13,420 | 1,133 | |
WisdomTree | |||
Investments Inc. | 44,336 | 404 | |
181,043 | |||
Health Care (5.4%) | |||
STERIS plc | 88,891 | 6,234 | |
Teleflex Inc. | 19,303 | 3,690 | |
ResMed Inc. | 50,004 | 3,602 | |
* | LifePoint Health Inc. | 41,895 | 2,683 |
* | MEDNAX Inc. | 36,722 | 2,614 |
* | Allscripts Healthcare | ||
Solutions Inc. | 193,107 | 2,352 | |
Owens & Minor Inc. | 64,173 | 2,315 | |
* | LivaNova plc | 45,648 | 2,301 |
* | Catalent Inc. | 75,487 | 2,167 |
* | Molina Healthcare Inc. | 44,461 | 2,157 |
* | Bio-Rad Laboratories Inc. | ||
Class A | 11,044 | 2,150 | |
* | United Therapeutics Corp. | 13,282 | 1,962 |
* | Halyard Health Inc. | 48,824 | 1,907 |
* | PAREXEL International Corp. | 28,342 | 1,833 |
* | Charles River Laboratories | ||
International Inc. | 18,763 | 1,632 | |
* | Tenet Healthcare Corp. | 83,160 | 1,605 |
Hill-Rom Holdings Inc. | 23,707 | 1,575 | |
* | Prestige Brands | ||
Holdings Inc. | 23,747 | 1,345 | |
* | Globus Medical Inc. | 39,876 | 1,109 |
45,233 |
26
S&P Mid-Cap 400 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Industrials (12.4%) | |||
ManpowerGroup Inc. | 69,965 | 6,789 | |
* | JetBlue Airways Corp. | 337,763 | 6,742 |
* | AECOM | 160,619 | 5,839 |
Orbital ATK Inc. | 61,094 | 5,646 | |
AGCO Corp. | 70,345 | 4,285 | |
Trinity Industries Inc. | 158,854 | 4,264 | |
* | Kirby Corp. | 56,188 | 3,888 |
ITT Inc. | 92,021 | 3,770 | |
Regal Beloit Corp. | 46,701 | 3,477 | |
Terex Corp. | 110,488 | 3,452 | |
Timken Co. | 73,068 | 3,230 | |
* | Clean Harbors Inc. | 54,490 | 3,158 |
* | KLX Inc. | 54,969 | 2,767 |
* | Esterline Technologies | ||
Corp. | 30,856 | 2,743 | |
Pitney Bowes Inc. | 193,695 | 2,642 | |
Wabtec Corp. | 32,526 | 2,606 | |
Oshkosh Corp. | 37,291 | 2,532 | |
* | Genesee & Wyoming Inc. | ||
Class A | 33,896 | 2,513 | |
B/E Aerospace Inc. | 39,221 | 2,495 | |
Hubbell Inc. Class B | 20,410 | 2,421 | |
KBR Inc. | 148,847 | 2,240 | |
* | NOW Inc. | 112,128 | 2,146 |
EMCOR Group Inc. | 32,901 | 2,023 | |
Watsco Inc. | 12,665 | 1,878 | |
Herman Miller Inc. | 62,741 | 1,870 | |
* | FTI Consulting Inc. | 44,211 | 1,779 |
Donaldson Co. Inc. | 41,332 | 1,775 | |
Valmont Industries Inc. | 11,272 | 1,773 | |
Kennametal Inc. | 45,033 | 1,670 | |
* | Teledyne Technologies Inc. | 11,665 | 1,533 |
GATX Corp. | 23,311 | 1,354 | |
* | Dycom Industries Inc. | 16,127 | 1,325 |
Werner Enterprises Inc. | 46,611 | 1,305 | |
Deluxe Corp. | 17,283 | 1,272 | |
Joy Global Inc. | 44,036 | 1,241 | |
CEB Inc. | 15,466 | 1,199 | |
HNI Corp. | 19,603 | 898 | |
102,540 | |||
Information Technology (12.0%) | |||
Leidos Holdings Inc. | 149,037 | 7,944 | |
* | Arrow Electronics Inc. | 93,468 | 6,748 |
Avnet Inc. | 133,162 | 6,136 | |
Jabil Circuit Inc. | 193,622 | 4,939 | |
Computer Sciences Corp. | 69,050 | 4,734 | |
DST Systems Inc. | 33,371 | 3,991 | |
* | Ciena Corp. | 145,378 | 3,829 |
* | ANSYS Inc. | 34,305 | 3,663 |
SYNNEX Corp. | 30,296 | 3,542 | |
* | NetScout Systems Inc. | 95,539 | 3,530 |
* | Tech Data Corp. | 36,746 | 3,197 |
* | ARRIS International plc | 117,371 | 3,028 |
* | Keysight Technologies Inc. | 76,238 | 2,867 |
* | Trimble Inc. | 91,503 | 2,839 |
* | Cree Inc. | 104,023 | 2,823 |
* | Cadence Design | ||
Systems Inc. | 83,757 | 2,588 | |
Cypress Semiconductor | |||
Corp. | 194,354 | 2,579 | |
Teradyne Inc. | 90,273 | 2,567 | |
* | VeriFone Systems Inc. | 115,776 | 2,393 |
Diebold Nixdorf Inc. | 78,394 | 2,368 | |
Vishay Intertechnology Inc. | 139,647 | 2,214 | |
* | PTC Inc. | 36,278 | 1,955 |
* | Synaptics Inc. | 36,411 | 1,935 |
* | NeuStar Inc. Class A | 57,088 | 1,893 |
National Instruments Corp. | 56,248 | 1,814 | |
Brocade Communications | |||
Systems Inc. | 146,910 | 1,809 | |
*,^ | Knowles Corp. | 92,568 | 1,752 |
Belden Inc. | 21,984 | 1,553 | |
* | ViaSat Inc. | 18,858 | 1,298 |
* | Versum Materials Inc. | 42,061 | 1,275 |
* | ACI Worldwide Inc. | 64,853 | 1,269 |
* | Acxiom Corp. | 44,451 | 1,268 |
Convergys Corp. | 56,713 | 1,241 | |
* | Manhattan Associates Inc. | 24,573 | 1,232 |
Plantronics Inc. | 10,794 | 578 | |
* | 3D Systems Corp. | 32,438 | 493 |
* | comScore Inc. | 3,536 | 85 |
99,969 | |||
Materials (9.2%) | |||
Ashland Global Holdings Inc. | 64,868 | 7,827 | |
Reliance Steel | |||
& Aluminum Co. | 75,708 | 6,409 | |
Olin Corp. | 172,434 | 5,359 | |
Bemis Co. Inc. | 97,771 | 4,846 | |
Cabot Corp. | 65,033 | 3,771 | |
* | Louisiana-Pacific Corp. | 148,387 | 3,499 |
United States Steel Corp. | 89,966 | 3,483 | |
* | Owens-Illinois Inc. | 169,224 | 3,351 |
Steel Dynamics Inc. | 83,946 | 3,072 | |
PolyOne Corp. | 87,409 | 2,944 | |
Chemours Co. | 87,267 | 2,937 | |
RPM International Inc. | 52,878 | 2,818 | |
Sonoco Products Co. | 50,004 | 2,666 | |
AptarGroup Inc. | 35,319 | 2,632 | |
Commercial Metals Co. | 120,549 | 2,547 | |
Valspar Corp. | 22,849 | 2,541 | |
Domtar Corp. | 65,296 | 2,487 | |
Silgan Holdings Inc. | 39,040 | 2,328 | |
^ | Allegheny Technologies Inc. 113,644 | 2,183 | |
Carpenter Technology Corp. | 48,764 | 1,978 | |
NewMarket Corp. | 4,339 | 1,890 | |
Greif Inc. Class A | 26,898 | 1,534 | |
^ | Compass Minerals | ||
International Inc. | 19,387 | 1,470 | |
Sensient Technologies Corp. | 17,658 | 1,412 | |
75,984 |
27
S&P Mid-Cap 400 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Real Estate (9.3%) | |||
^ | Omega Healthcare | ||
Investors Inc. | 203,600 | 6,645 | |
Hospitality Properties Trust | 171,387 | 5,447 | |
Jones Lang LaSalle Inc. | 47,167 | 5,410 | |
Senior Housing | |||
Properties Trust | 247,840 | 5,081 | |
Medical Properties | |||
Trust Inc. | 334,125 | 4,484 | |
Life Storage Inc. | 48,410 | 4,291 | |
CoreCivic Inc. | 122,645 | 4,133 | |
Cousins Properties Inc. | 436,510 | 3,732 | |
Camden Property Trust | 42,897 | 3,631 | |
LaSalle Hotel Properties | 117,986 | 3,410 | |
National Retail | |||
Properties Inc. | 64,468 | 2,917 | |
American Campus | |||
Communities Inc. | 56,507 | 2,887 | |
Regency Centers Corp. | 40,336 | 2,838 | |
Highwoods Properties Inc. | 43,913 | 2,305 | |
Care Capital Properties Inc. | 87,596 | 2,303 | |
Rayonier Inc. | 70,308 | 2,014 | |
EPR Properties | 25,958 | 1,998 | |
Taubman Centers Inc. | 28,446 | 1,984 | |
* | Quality Care Properties Inc. | 97,647 | 1,853 |
Washington Prime | |||
Group Inc. | 176,869 | 1,640 | |
CyrusOne Inc. | 27,924 | 1,421 | |
Healthcare Realty Trust Inc. | 36,364 | 1,162 | |
Mack-Cali Realty Corp. | 36,653 | 1,068 | |
Tanger Factory Outlet | |||
Centers Inc. | 31,151 | 1,055 | |
Corporate Office | |||
Properties Trust | 30,784 | 1,049 | |
Alexander & Baldwin Inc. | 21,689 | 972 | |
Urban Edge Properties | 33,595 | 932 | |
Potlatch Corp. | 14,409 | 638 | |
Mid-America Apartment | |||
Communities Inc. | 1 | — | |
77,300 | |||
Telecommunication Services (0.3%) | |||
Telephone & Data | |||
Systems Inc. | 97,524 | 2,636 | |
Utilities (8.4%) | |||
UGI Corp. | 180,481 | 8,705 | |
Atmos Energy Corp. | 108,471 | 8,492 | |
OGE Energy Corp. | 208,358 | 7,674 | |
Great Plains Energy Inc. | 224,625 | 6,528 | |
Vectren Corp. | 86,458 | 4,872 | |
IDACORP Inc. | 52,586 | 4,361 | |
Hawaiian Electric | |||
Industries Inc. | 113,226 | 3,768 |
ONE Gas Inc. | 54,508 | 3,573 | |
New Jersey Resources | |||
Corp. | 89,833 | 3,539 | |
Westar Energy Inc. | |||
Class A | 59,171 | 3,194 | |
PNM Resources Inc. | 83,104 | 3,017 | |
NorthWestern Corp. | 50,421 | 2,950 | |
Aqua America Inc. | 88,819 | 2,819 | |
National Fuel Gas Co. | 39,982 | 2,411 | |
WGL Holdings Inc. | 27,769 | 2,318 | |
Black Hills Corp. | 22,179 | 1,439 | |
69,660 | |||
Total Common Stocks | |||
(Cost $752,865) | 828,531 | ||
Temporary Cash Investments (0.4%)1 | |||
Money Market Fund (0.4%) | |||
2,3 Vanguard Market | |||
Liquidity Fund, 0.864% | 31,673 | 3,167 | |
Face | |||
Amount | |||
($000) | |||
U.S. Government and Agency Obligations (0.0%) | |||
4 United States Treasury | |||
Bill, 0.587%, 5/18/17 | 200 | 200 | |
Total Temporary Cash Investments | |||
(Cost $3,367) | 3,367 | ||
Total Investments (100.2%) | |||
(Cost $756,232) | 831,898 | ||
Amount | |||
($000) | |||
Other Assets and Liabilities (-0.2%) | |||
Other Assets | |||
Investment in Vanguard | 57 | ||
Receivables for Investment Securities Sold | 6,052 | ||
Receivables for Accrued Income | 954 | ||
Receivables for Capital Shares Issued | 82 | ||
Total Other Assets | 7,145 | ||
Liabilities | |||
Payables for Investment Securities | |||
Purchased | (5,751) | ||
Collateral for Securities on Loan | (3,161) | ||
Payables for Capital Shares Redeemed | (46) | ||
Payables to Vanguard | (151) | ||
Other Liabilities | (16) | ||
Total Liabilities | (9,125) | ||
Net Assets (100%) | 829,918 |
28
S&P Mid-Cap 400 Value Index Fund
At February 28, 2017, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 784,136 |
Undistributed Net Investment Income | 25 |
Accumulated Net Realized Losses | (29,900) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 75,666 |
Futures Contracts | (9) |
Net Assets | 829,918 |
ETF Shares—Net Assets | |
Applicable to 6,025,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 685,997 |
Net Asset Value Per Share— | |
ETF Shares | $113.86 |
Institutional Shares—Net Assets | |
Applicable to 631,184 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 143,921 |
Net Asset Value Per Share— | |
Institutional Shares | $228.02 |
• 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 $2,938,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund’s effective common stock and temporary cash investment positions represent 99.9% and 0.3%, 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 $3,161,000 of collateral received for securities on loan.
4 Securities with a value of $150,000 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 Mid-Cap 400 Value Index Fund | |
Statement of Operations | |
Six Months Ended | |
February 28, 2017 | |
($000) | |
Investment Income | |
Income | |
Dividends | 5,525 |
Interest1 | 5 |
Securities Lending—Net | 16 |
Total Income | 5,546 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 50 |
Management and Administrative—ETF Shares | 481 |
Management and Administrative—Institutional Shares | 39 |
Marketing and Distribution—ETF Shares | 21 |
Marketing and Distribution—Institutional Shares | 2 |
Custodian Fees | 19 |
Shareholders’ Reports—ETF Shares | 11 |
Shareholders’ Reports—Institutional Shares | — |
Total Expenses | 623 |
Net Investment Income | 4,923 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | 36,087 |
Futures Contracts | 186 |
Realized Net Gain (Loss) | 36,273 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 42,719 |
Futures Contracts | (9) |
Change in Unrealized Appreciation (Depreciation) | 42,710 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 83,906 |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $4,000 and $0, respectively.
See accompanying Notes, which are an integral part of the Financial Statements.
30
S&P Mid-Cap 400 Value Index Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
February 28, | August 31, | |
2017 | 2016 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 4,923 | 6,855 |
Realized Net Gain (Loss) | 36,273 | 1,128 |
Change in Unrealized Appreciation (Depreciation) | 42,710 | 43,116 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 83,906 | 51,099 |
Distributions | ||
Net Investment Income | ||
ETF Shares | (7,918) | (2,390) |
Institutional Shares | (2,032) | (2,275) |
Realized Capital Gain | ||
ETF Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (9,950) | (4,665) |
Capital Share Transactions | ||
ETF Shares | 167,056 | 325,114 |
Institutional Shares | (18,209) | (10,617) |
Net Increase (Decrease) from Capital Share Transactions | 148,847 | 314,497 |
Total Increase (Decrease) | 222,803 | 360,931 |
Net Assets | ||
Beginning of Period | 607,115 | 246,184 |
End of Period1 | 829,918 | 607,115 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $25,000 and $5,052,000.
See accompanying Notes, which are an integral part of the Financial Statements.
31
S&P Mid-Cap 400 Value Index Fund | |||||||
Financial Highlights | |||||||
ETF Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, | |||||||
Beginning of Period | $101.70 | $91.40 | $96.78 | $77.93 | $62.71 | $55.69 | |
Investment Operations | |||||||
Net Investment Income | . 663 | 1.8911 | 1.600 | 1.5001 | 1.153 | 1.001 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | 12.998 | 9.880 | (5.563) | 18.094 | 15.146 | 6.814 | |
Total from Investment Operations | 13.661 | 11.771 | (3.963) | 19.594 | 16.299 | 7.815 | |
Distributions | |||||||
Dividends from Net Investment Income | (1.501) | (1.471) | (1.417) | (.744) | (1.079) | (.795) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (1.501) | (1.471) | (1.417) | (.744) | (1.079) | (.795) | |
Net Asset Value, End of Period | $113.86 | $101.70 | $91.40 | $96.78 | $77.93 | $62.71 | |
Total Return | 13.46% | 13.13% | -4.17% | 25.26% | 26.31% | 14.18% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $686 | $460 | $103 | $87 | $27 | $9 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.21% | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 1.54% | 1.97% | 1.75% | 1.66% | 1.87% | 1.80% | |
Portfolio Turnover Rate 2 | 38% | 26% | 47% | 35% | 74% | 31% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
32
S&P Mid-Cap 400 Value Index Fund | |||||||
Financial Highlights | |||||||
Institutional Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, | |||||||
Beginning of Period | $203.65 | $182.92 | $193.66 | $155.83 | $125.30 | $111.20 | |
Investment Operations | |||||||
Net Investment Income | 1.422 | 3.7741 | 3.420 | 3.1911 | 2.392 | 2.124 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | 26.070 | 20.020 | (11.127) | 36.207 | 30.364 | 13.624 | |
Total from Investment Operations | 27.492 | 23.794 | (7.707) | 39.398 | 32.756 | 15.748 | |
Distributions | |||||||
Dividends from Net Investment Income | (3.122) | (3.064) | (3.033) | (1.568) | (2.226) | (1.648) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (3.122) | (3.064) | (3.033) | (1.568) | (2.226) | (1.648) | |
Net Asset Value, End of Period | $228.02 | $203.65 | $182.92 | $193.66 | $155.83 | $125.30 | |
Total Return | 13.53% | 13.25% | -4.05% | 25.42% | 26.47% | 14.32% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $144 | $147 | $143 | $137 | $49 | $40 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 1.67% | 2.09% | 1.87% | 1.78% | 1.99% | 1.92% | |
Portfolio Turnover Rate2 | 38% | 26% | 47% | 35% | 74% | 31% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
33
S&P Mid-Cap 400 Value Index Fund
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 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.
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 28, 2017, 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.
34
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, 2013–2016), and for the period ended February 28, 2017, 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. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 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 0.10% 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 based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 28, 2017, 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
35
S&P Mid-Cap 400 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 28, 2017, the fund had contributed to Vanguard capital in the amount of $57,000, 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 28, 2017, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 828,531 | — | — |
Temporary Cash Investments | 3,167 | 200 | — |
Futures Contracts—Liabilities1 | (10) | — | — |
Total | 831,688 | 200 | — |
1 Represents variation margin on the last day of the reporting period. |
36
S&P Mid-Cap 400 Value Index Fund
D. At February 28, 2017, 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 2017 | 5 | 864 | (9) |
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 28, 2017, the fund realized $45,188,000 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, 2016, the fund had available capital losses totaling $20,986,000 that may be carried forward indefinitely to offset future capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2017; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 28, 2017, the cost of investment securities for tax purposes was $756,232,000.
Net unrealized appreciation of investment securities for tax purposes was $75,666,000, consisting of unrealized gains of $92,379,000 on securities that had risen in value since their purchase and $16,713,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended February 28, 2017, the fund purchased $534,342,000 of investment securities and sold $390,329,000 of investment securities, other than temporary cash investments. Purchases and sales include $334,810,000 and $175,791,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the period ended February 28, 2017, such purchases and sales were $47,499,000 and $39,234,000 respectively; these amounts are included in the purchases and sales of investment securities noted above.
37
S&P Mid-Cap 400 Value Index Fund
G. Capital share transactions for each class of shares were: | ||||
Six Months Ended | Year Ended | |||
February 28, 2017 | August 31, 2016 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
ETF Shares | ||||
Issued | 346,076 | 3,100 | 416,496 | 4,400 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (179,020) | (1,600) | (91,382) | (1,000) |
Net Increase (Decrease)—ETF Shares | 167,056 | 1,500 | 325,114 | 3,400 |
Institutional Shares | ||||
Issued | 13,264 | 60 | 12,200 | 69 |
Issued in Lieu of Cash Distributions | 1,071 | 5 | 1,307 | 7 |
Redeemed | (32,544) | (155) | (24,124) | (138) |
Net Increase (Decrease) —Institutional Shares | (18,209) | (90) | (10,617) | (62) |
H. Management has determined that no material events or transactions occurred subsequent to February 28, 2017, that would require recognition or disclosure in these financial statements.
38
S&P Mid-Cap 400 Growth Index Fund
Fund Profile
As of February 28, 2017
Share-Class Characteristics | ||
ETF | Institutional | |
Shares | Shares | |
Ticker Symbol | IVOG | VMFGX |
Expense Ratio1 | 0.20% | 0.08% |
30-Day SEC Yield | 1.02% | 1.15% |
Volatility Measures | ||
S&P | DJ | |
MidCap | U.S. Total | |
400 Growth | Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.81 |
Beta | 1.00 | 0.98 |
Portfolio Characteristics | |||
S&P | |||
MidCap | DJ | ||
400 | U.S. Total | ||
Growth | Market | ||
Fund | Index | FA Index | |
Number of Stocks | 245 | 244 | 3,807 |
Median Market Cap | $5.8B | $5.8B | $57.6B |
Price/Earnings Ratio | 30.4x | 30.4x | 24.8x |
Price/Book Ratio | 4.0x | 4.1x | 3.0x |
Return on Equity | 15.6% | 15.6% | 16.4% |
Earnings Growth Rate | 12.2% | 12.1% | 7.6% |
Dividend Yield | 1.2% | 1.2% | 1.9% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 46% | — | — |
Short-Term Reserves | 3.5% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
S&P | U.S. | ||
MidCap | Total | ||
400 | Market | ||
Growth | FA | ||
Fund | Index | Index | |
Consumer Discretionary | 12.1% | 12.0% | 12.4% |
Consumer Staples | 3.3 | 3.3 | 8.4 |
Energy | 1.4 | 1.4 | 6.2 |
Financials | 12.4 | 12.8 | 15.3 |
Health Care | 9.4 | 9.3 | 13.4 |
Industrials | 16.5 | 16.9 | 10.8 |
Information Technology | 23.5 | 23.4 | 20.7 |
Materials | 6.7 | 6.6 | 3.4 |
Real Estate | 12.0 | 11.7 | 4.1 |
Telecommunication | |||
Services | 0.0 | 0.0 | 2.1 |
Utilities | 2.7 | 2.6 | 3.2 |
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) | ||
Advanced Micro Devices | ||
Inc. | Semiconductors | 1.2% |
Synopsys Inc. | Application Software | 1.2 |
Alexandria Real Estate | ||
Equities Inc. | Office REITs | 1.2 |
Huntington Ingalls | Aerospace & | |
Industries Inc. | Defense | 1.1 |
CDK Global Inc. | Application Software | 1.1 |
WhiteWave Foods Co. | Packaged Foods & | |
Meats | 1.1 | |
Domino's Pizza Inc. | Restaurants | 1.0 |
Duke Realty Corp. | Industrial REITs | 1.0 |
MSCI Inc. | Financial Exchanges | |
& Data | 1.0 | |
Packaging Corp. of | ||
America | Paper Packaging | 1.0 |
Top Ten | 10.9% |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-17-004017/spmid-cap400indexfundsx41x1.jpg)
1 The expense ratios shown are from the prospectus dated December 23, 2016, and represent estimated costs for the current fiscal year. For the six months ended February 28, 2017, the annualized expense ratios were 0.21% for ETF Shares and 0.08% for Institutional Shares.
39
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 28, 2017
![](https://capedge.com/proxy/N-CSRS/0000932471-17-004017/spmid-cap400indexfundsx42x1.jpg)
Note: For 2017, performance data reflect the six months ended February 28, 2017.
Average Annual Total Returns: Periods Ended December 31, 2016
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 | 14.54% | 14.22% | 14.53% | |
Net Asset Value | 14.55 | 14.22 | 14.53 | |
Institutional Shares | 3/28/20111 | 14.71 | 14.36 | 10.85 |
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.
40
S&P Mid-Cap 400 Growth Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 28, 2017
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 (12.1%) | |||
Domino’s Pizza Inc. | 46,953 | 8,912 | |
* | NVR Inc. | 3,443 | 6,662 |
Gentex Corp. | 279,802 | 5,884 | |
Thor Industries Inc. | 46,734 | 5,179 | |
Dunkin’ Brands Group Inc. | 89,585 | 4,928 | |
* | Panera Bread Co. Class A | 21,323 | 4,921 |
Pool Corp. | 40,373 | 4,631 | |
Carter’s Inc. | 48,218 | 4,244 | |
Dick’s Sporting Goods Inc. | 85,887 | 4,204 | |
Service Corp. | |||
International | 115,350 | 3,545 | |
* | Skechers U.S.A. Inc. | ||
Class A | 130,224 | 3,343 | |
* | Kate Spade & Co. | 125,149 | 2,986 |
Jack in the Box Inc. | 31,584 | 2,960 | |
Cable One Inc. | 4,576 | 2,862 | |
* | Buffalo Wild Wings Inc. | 17,779 | 2,756 |
Wendy’s Co. | 195,823 | 2,730 | |
^ | Cracker Barrel Old | ||
Country Store Inc. | 16,906 | 2,722 | |
Texas Roadhouse Inc. | |||
Class A | 62,682 | 2,651 | |
Cheesecake Factory Inc. | 43,086 | 2,630 | |
Cinemark Holdings Inc. | 58,875 | 2,465 | |
^ | Polaris Industries Inc. | 27,937 | 2,381 |
* | AMC Networks Inc. Class A | 37,424 | 2,238 |
^ | Brinker International Inc. | 48,507 | 2,049 |
Papa John’s International Inc. | 25,946 | 2,048 | |
* | Sotheby’s | 45,015 | 2,032 |
* | Live Nation | ||
Entertainment Inc. | 67,046 | 1,905 | |
Churchill Downs Inc. | 12,125 | 1,822 | |
* | Sally Beauty Holdings Inc. | 78,555 | 1,718 |
* | Tempur Sealy | ||
International Inc. | 28,935 | 1,336 | |
* | Cabela’s Inc. | 27,502 | 1,288 |
Meredith Corp. | 19,916 | 1,249 | |
Tupperware Brands Corp. | 20,676 | 1,249 | |
John Wiley & Sons Inc. | |||
Class A | 20,564 | 1,073 | |
Chico’s FAS Inc. | 60,618 | 878 | |
* | Deckers Outdoor Corp. | 15,994 | 845 |
* | Vista Outdoor Inc. | 25,309 | 512 |
105,838 | |||
Consumer Staples (3.3%) | |||
* | WhiteWave Foods Co. | ||
Class A | 173,071 | 9,533 | |
* | Post Holdings Inc. | 63,362 | 5,187 |
Ingredion Inc. | 33,235 | 4,018 | |
Lamb Weston Holdings Inc. | 83,991 | 3,292 | |
Lancaster Colony Corp. | 19,020 | 2,507 | |
Energizer Holdings Inc. | 37,392 | 2,051 | |
* | Sprouts Farmers Market Inc. | 63,827 | 1,178 |
* | Boston Beer Co. Inc. Class A | 4,771 | 757 |
^ | Tootsie Roll Industries Inc. | 11,391 | 446 |
28,969 | |||
Energy (1.4%) | |||
* | WPX Energy Inc. | 201,621 | 2,601 |
* | Energen Corp. | 39,828 | 2,091 |
Patterson-UTI Energy Inc. | 73,655 | 2,034 | |
* | Gulfport Energy Corp. | 88,709 | 1,538 |
* | QEP Resources Inc. | 88,631 | 1,219 |
SM Energy Co. | 45,071 | 1,111 | |
* | Superior Energy Services Inc. | 60,582 | 1,000 |
* | Denbury Resources Inc. | 155,935 | 423 |
12,017 | |||
Financials (12.4%) | |||
MSCI Inc. Class A | 91,916 | 8,694 | |
MarketAxess Holdings Inc. | 36,700 | 7,165 | |
* | SVB Financial Group | 31,031 | 5,923 |
* | Signature Bank | 35,126 | 5,533 |
Raymond James | |||
Financial Inc. | 67,869 | 5,332 |
41
S&P Mid-Cap 400 Growth Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Commerce | |||
Bancshares Inc. | 85,184 | 5,028 | |
* | SLM Corp. | 418,252 | 5,015 |
FactSet Research | |||
Systems Inc. | 28,081 | 4,996 | |
East West Bancorp Inc. | 90,105 | 4,876 | |
Bank of the Ozarks Inc. | 88,737 | 4,857 | |
Brown & Brown Inc. | 112,283 | 4,839 | |
First Horizon National Corp. | 227,784 | 4,542 | |
SEI Investments Co. | 80,070 | 4,032 | |
Primerica Inc. | 44,734 | 3,612 | |
Eaton Vance Corp. | 68,687 | 3,203 | |
Webster Financial Corp. | 57,339 | 3,150 | |
Washington Federal Inc. | 87,010 | 2,945 | |
PrivateBancorp Inc. | 49,032 | 2,775 | |
RenaissanceRe | |||
Holdings Ltd. | 18,493 | 2,730 | |
Cullen/Frost Bankers Inc. | 27,914 | 2,581 | |
Synovus Financial Corp. | 60,924 | 2,572 | |
Bank of Hawaii Corp. | 29,192 | 2,466 | |
Chemical Financial Corp. | 43,415 | 2,313 | |
UMB Financial Corp. | 28,971 | 2,283 | |
MB Financial Inc. | 39,416 | 1,775 | |
Fulton Financial Corp. | 84,336 | 1,613 | |
Federated Investors Inc. | |||
Class B | 44,374 | 1,206 | |
International | |||
Bancshares Corp. | 28,262 | 1,075 | |
Trustmark Corp. | 30,293 | 1,001 | |
WisdomTree | |||
Investments Inc. | 70,574 | 643 | |
CBOE Holdings Inc. | 172 | 13 | |
108,788 | |||
Health Care (9.4%) | |||
* | Align Technology Inc. | 73,153 | 7,517 |
* | VCA Inc. | 79,237 | 7,203 |
ResMed Inc. | 90,859 | 6,545 | |
* | WellCare Health Plans Inc. | 43,254 | 6,107 |
West Pharmaceutical | |||
Services Inc. | 71,471 | 5,894 | |
Bioverativ Inc. | 106,242 | 5,533 | |
Teleflex Inc. | 24,954 | 4,771 | |
* | ABIOMED Inc. | 39,402 | 4,648 |
* | United Therapeutics Corp. | 28,998 | 4,284 |
* | MEDNAX Inc. | 56,087 | 3,993 |
Bio-Techne Corp. | 36,440 | 3,874 | |
HealthSouth Corp. | 87,702 | 3,711 | |
* | NuVasive Inc. | 49,174 | 3,676 |
* | Charles River Laboratories | ||
International Inc. | 28,663 | 2,493 | |
Hill-Rom Holdings Inc. | 36,216 | 2,406 | |
* | Bio-Rad Laboratories Inc. | ||
Class A | 9,936 | 1,934 | |
* | Akorn Inc. | 85,336 | 1,776 |
* | Prestige Brands | ||
Holdings Inc. | 29,370 | 1,663 | |
* | PAREXEL International Corp. | 25,408 | 1,644 |
* | Catalent Inc. | 51,007 | 1,464 |
* | Globus Medical Inc. | 33,041 | 919 |
* | Community Health | ||
Systems Inc. | |||
Rights Exp. 12/31/2099 | 29,782 | — | |
82,055 | |||
Industrials (16.5%) | |||
Huntington Ingalls | |||
Industries Inc. | 45,278 | 9,893 | |
AO Smith Corp. | 144,238 | 7,264 | |
IDEX Corp. | 74,456 | 6,864 | |
Carlisle Cos. Inc. | 62,990 | 6,507 | |
Toro Co. | 106,753 | 6,428 | |
Nordson Corp. | 51,944 | 6,235 | |
Lennox International Inc. | 37,836 | 6,229 | |
* | Old Dominion | ||
Freight Line Inc. | 67,629 | 6,206 | |
* | Copart Inc. | 99,595 | 5,890 |
Lincoln Electric Holdings Inc. | 60,616 | 5,104 | |
Graco Inc. | 54,382 | 4,936 | |
Wabtec Corp. | 56,544 | 4,530 | |
MSC Industrial Direct | |||
Co. Inc. Class A | 43,608 | 4,386 | |
Curtiss-Wright Corp. | 43,197 | 4,226 | |
B/E Aerospace Inc. | 62,516 | 3,976 | |
Donaldson Co. Inc. | 90,283 | 3,878 | |
Woodward Inc. | 54,169 | 3,816 | |
Hubbell Inc. Class B | 31,175 | 3,698 | |
Landstar System Inc. | 40,806 | 3,542 | |
Crane Co. | 48,696 | 3,520 | |
Rollins Inc. | 93,613 | 3,422 | |
EnerSys | 42,419 | 3,255 | |
* | Teledyne Technologies Inc. | 23,208 | 3,050 |
* | Avis Budget Group Inc. | 85,847 | 2,969 |
Watsco Inc. | 17,787 | 2,637 | |
Oshkosh Corp. | 37,823 | 2,568 | |
Deluxe Corp. | 31,330 | 2,306 | |
MSA Safety Inc. | 30,479 | 2,202 | |
* | Genesee & Wyoming Inc. | ||
Class A | 28,145 | 2,087 | |
Granite Construction Inc. | 38,687 | 2,051 | |
Valmont Industries Inc. | 11,395 | 1,792 | |
EMCOR Group Inc. | 28,336 | 1,742 | |
Joy Global Inc. | 54,470 | 1,535 | |
Kennametal Inc. | 35,798 | 1,328 | |
CEB Inc. | 16,944 | 1,314 | |
* | Dycom Industries Inc. | 15,624 | 1,284 |
HNI Corp. | 25,151 | 1,152 | |
GATX Corp. | 17,096 | 993 | |
144,815 |
42
S&P Mid-Cap 400 Growth Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Information Technology (23.5%) | |||
* | Advanced Micro | ||
Devices Inc. | 742,187 | 10,732 | |
* | Synopsys Inc. | 147,786 | 10,558 |
CDK Global Inc. | 145,994 | 9,698 | |
* | Gartner Inc. | 80,673 | 8,326 |
Broadridge Financial | |||
Solutions Inc. | 116,286 | 8,062 | |
Jack Henry | |||
& Associates Inc. | 76,272 | 7,152 | |
Cognex Corp. | 83,660 | 6,426 | |
* | Cadence Design | ||
Systems Inc. | 201,600 | 6,229 | |
* | NCR Corp. | 121,195 | 5,826 |
* | Microsemi Corp. | 111,965 | 5,802 |
* | ANSYS Inc. | 52,394 | 5,594 |
* | Ultimate Software | ||
Group Inc. | 28,322 | 5,477 | |
* | Fortinet Inc. | 143,643 | 5,365 |
Computer Sciences Corp. | 72,888 | 4,997 | |
* | Tyler Technologies Inc. | 32,552 | 4,937 |
* | Trimble Inc. | 159,072 | 4,936 |
LogMeIn Inc. | 51,061 | 4,685 | |
* | Zebra Technologies Corp. | 51,556 | 4,677 |
* | IPG Photonics Corp. | 36,307 | 4,295 |
* | PTC Inc. | 79,033 | 4,259 |
* | WEX Inc. | 37,565 | 4,178 |
Mentor Graphics Corp. | 106,967 | 3,969 | |
Fair Isaac Corp. | 30,219 | 3,931 | |
j2 Global Inc. | 46,892 | 3,818 | |
Science Applications | |||
International Corp. | 43,779 | 3,808 | |
MAXIMUS Inc. | 63,267 | 3,775 | |
* | Keysight Technologies Inc. | 94,606 | 3,557 |
Littelfuse Inc. | 22,008 | 3,553 | |
* | Cirrus Logic Inc. | 62,226 | 3,365 |
* | CoreLogic Inc. | 84,355 | 3,306 |
Monolithic Power | |||
Systems Inc. | 36,549 | 3,215 | |
Teradyne Inc. | 112,026 | 3,186 | |
Brocade Communications | |||
Systems Inc. | 255,421 | 3,144 | |
* | Integrated Device | ||
Technology Inc. | 130,919 | 3,130 | |
InterDigital Inc. | 33,486 | 2,815 | |
* | Silicon Laboratories Inc. | 40,777 | 2,752 |
* | Manhattan Associates Inc. | 46,592 | 2,337 |
* | ViaSat Inc. | 32,704 | 2,251 |
* | Versum Materials Inc. | 66,881 | 2,027 |
* | CommVault Systems Inc. | 41,147 | 2,018 |
* | ARRIS International plc | 76,369 | 1,970 |
* | WebMD Health Corp. | 36,002 | 1,869 |
Cypress Semiconductor | |||
Corp. | 131,312 | 1,743 | |
National Instruments Corp. | 50,425 | 1,626 | |
Belden Inc. | 20,514 | 1,449 | |
Plantronics Inc. | 22,365 | 1,198 | |
* | 3D Systems Corp. | 73,788 | 1,122 |
* | ACI Worldwide Inc. | 53,677 | 1,050 |
* | Acxiom Corp. | 33,948 | 968 |
Convergys Corp. | 40,082 | 877 | |
* | comScore Inc. | 2,355 | 57 |
206,097 | |||
Materials (6.7%) | |||
Packaging Corp. of America | 91,195 | 8,429 | |
Steel Dynamics Inc. | 159,535 | 5,839 | |
Valspar Corp. | 49,908 | 5,551 | |
Eagle Materials Inc. | 47,093 | 4,884 | |
RPM International Inc. | 80,763 | 4,304 | |
Royal Gold Inc. | 63,791 | 4,213 | |
Scotts Miracle-Gro Co. | 43,427 | 3,936 | |
United States Steel Corp. | 84,222 | 3,261 | |
Chemours Co. | 95,904 | 3,228 | |
Sonoco Products Co. | 50,714 | 2,704 | |
Minerals Technologies Inc. | 34,124 | 2,636 | |
NewMarket Corp. | 4,966 | 2,164 | |
Sensient Technologies Corp. | 26,978 | 2,157 | |
Worthington Industries Inc. | 42,798 | 2,099 | |
AptarGroup Inc. | 28,171 | 2,099 | |
^ | Compass Minerals | ||
International Inc. | 14,805 | 1,122 | |
58,626 | |||
Real Estate (11.9%) | |||
Alexandria Real Estate | |||
Equities Inc. | 86,790 | 10,355 | |
Duke Realty Corp. | 346,372 | 8,881 | |
Kilroy Realty Corp. | 95,359 | 7,357 | |
Lamar Advertising Co. | |||
Class A | 80,776 | 6,097 | |
Douglas Emmett Inc. | 140,582 | 5,671 | |
Liberty Property Trust | 143,554 | 5,662 | |
Regency Centers Corp. | 64,293 | 4,523 | |
DCT Industrial Trust Inc. | 88,901 | 4,253 | |
Weingarten Realty | |||
Investors | 115,070 | 4,082 | |
Uniti Group Inc. | 136,939 | 3,967 | |
American Campus | |||
Communities Inc. | 76,120 | 3,890 | |
Camden Property Trust | 45,282 | 3,833 | |
National Retail | |||
Properties Inc. | 83,342 | 3,770 | |
First Industrial Realty | |||
Trust Inc. | 114,197 | 3,072 | |
Education Realty Trust Inc. | 71,347 | 3,007 |
43
S&P Mid-Cap 400 Growth Index Fund | ||
Market | ||
Value• | ||
Shares | ($000) | |
Highwoods Properties Inc. | 56,772 | 2,980 |
EPR Properties | 37,912 | 2,918 |
Equity One Inc. | 90,729 | 2,873 |
Healthcare Realty Trust Inc. | 79,232 | 2,532 |
Taubman Centers Inc. | 32,467 | 2,265 |
Tanger Factory Outlet | ||
Centers Inc. | 64,752 | 2,193 |
Corporate Office | ||
Properties Trust | 63,872 | 2,177 |
Urban Edge Properties | 58,063 | 1,610 |
Mack-Cali Realty Corp. | 53,259 | 1,553 |
Rayonier Inc. | 53,676 | 1,537 |
CyrusOne Inc. | 28,276 | 1,439 |
Potlatch Corp. | 26,039 | 1,152 |
Alexander & Baldwin Inc. | 24,677 | 1,106 |
104,755 | ||
Utilities (2.7%) | ||
MDU Resources Group Inc. | 190,736 | 5,171 |
Westar Energy Inc. Class A | 83,085 | 4,485 |
Southwest Gas Holdings Inc. | 46,374 | 3,966 |
Aqua America Inc. | 90,082 | 2,859 |
National Fuel Gas Co. | 45,751 | 2,759 |
Black Hills Corp. | 31,152 | 2,021 |
WGL Holdings Inc. | 24,002 | 2,004 |
23,265 | ||
Total Common Stocks | ||
(Cost $741,618) | 875,225 | |
Temporary Cash Investments (3.8%)1 | ||
Money Market Fund (3.8%) | ||
2,3 Vanguard Market Liquidity | ||
Fund, 0.864% | 333,382 | 33,341 |
Face | ||
Amount | ||
($000) |
U.S. Government and Agency Obligations (0.0%) | |
4 | United States Treasury Bill, |
0.564%–0.587%, 5/4/17 | 200 | 200 |
United States Treasury Bill, | ||
0.607%, 5/25/17 | 100 | 100 |
300 | ||
Total Temporary Cash Investments | ||
(Cost $33,641) | 33,641 | |
Total Investments (103.7%) | ||
(Cost $775,259) | 908,866 |
Amount | |
($000) | |
Other Assets and Liabilities (-3.7%) | |
Other Assets | |
Investment in Vanguard | 57 |
Receivables for Investment Securities Sold | 396 |
Receivables for Accrued Income | 612 |
Receivables for Capital Shares Issued | 3,187 |
Total Other Assets | 4,252 |
Liabilities | |
Payables for Investment Securities | |
Purchased | (33,051) |
Collateral for Securities on Loan | (1,121) |
Payables for Capital Shares Redeemed | (2,120) |
Payables to Vanguard | (227) |
Other Liabilities | (8) |
Total Liabilities | (36,527) |
Net Assets (100%) | 876,591 |
44
S&P Mid-Cap 400 Growth Index Fund
At February 28, 2017, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 785,877 |
Overdistributed Net Investment Income | (696) |
Accumulated Net Realized Losses | (42,195) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 133,607 |
Futures Contracts | (2) |
Net Assets | 876,591 |
ETF Shares—Net Assets | |
Applicable to 5,350,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 631,121 |
Net Asset Value Per Share—ETF Shares | $117.97 |
Institutional Shares—Net Assets | |
Applicable to 1,045,245 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 245,470 |
Net Asset Value Per Share— | |
Institutional Shares | $234.84 |
• 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 $1,080,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund’s effective common stock and temporary cash investment positions represent 99.9% and 3.8%, respectively,
of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the
7-day yield.
3 Includes $1,121,000 of collateral received for securities on loan.
4 Securities with a value of $190,000 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 28, 2017 | |
($000) | |
Investment Income | |
Income | |
Dividends | 3,775 |
Interest1 | 8 |
Securities Lending—Net | 17 |
Total Income | 3,800 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 52 |
Management and Administrative—ETF Shares | 469 |
Management and Administrative—Institutional Shares | 53 |
Marketing and Distribution—ETF Shares | 19 |
Marketing and Distribution—Institutional Shares | 3 |
Custodian Fees | 13 |
Shareholders’ Reports—ETF Shares | 20 |
Shareholders’ Reports—Institutional Shares | — |
Total Expenses | 629 |
Net Investment Income | 3,171 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | 7,957 |
Futures Contracts | 84 |
Realized Net Gain (Loss) | 8,041 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 51,505 |
Futures Contracts | (2) |
Change in Unrealized Appreciation (Depreciation) | 51,503 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 62,715 |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $7,000 and $0, respectively.
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 28, | August 31, | |
2017 | 2016 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 3,171 | 6,123 |
Realized Net Gain (Loss) | 8,041 | 5,353 |
Change in Unrealized Appreciation (Depreciation) | 51,503 | 51,455 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 62,715 | 62,931 |
Distributions | ||
Net Investment Income | ||
ETF Shares | (5,674) | (4,524) |
Institutional Shares | (2,068) | (1,029) |
Realized Capital Gain | ||
ETF Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (7,742) | (5,553) |
Capital Share Transactions | ||
ETF Shares | 76,495 | 93,098 |
Institutional Shares | 61,960 | 59,674 |
Net Increase (Decrease) from Capital Share Transactions | 138,455 | 152,772 |
Total Increase (Decrease) | 193,428 | 210,150 |
Net Assets | ||
Beginning of Period | 683,163 | 473,013 |
End of Period1 | 876,591 | 683,163 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($696,000) and $3,875,000.
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 | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, | |||||||
Beginning of Period | $109.76 | $99.88 | $97.18 | $80.96 | $67.47 | $61.13 | |
Investment Operations | |||||||
Net Investment Income | . 455 | . 954 | 1.036 | . 571 | .721 | . 405 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | 8.913 | 9.960 | 2.456 | 16.256 | 13.257 | 6.266 | |
Total from Investment Operations | 9.368 | 10.914 | 3.492 | 16.827 | 13.978 | 6.671 | |
Distributions | |||||||
Dividends from Net Investment Income | (1.158) | (1.034) | (.792) | (.607) | (.488) | (.331) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (1.158) | (1.034) | (.792) | (.607) | (.488) | (.331) | |
Net Asset Value, End of Period | $117.97 | $109.76 | $99.88 | $97.18 | $80.96 | $67.47 | |
Total Return | 8.58% | 11.04% | 3.60% | 20.84% | 20.83% | 10.97% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $631 | $513 | $377 | $292 | $182 | $91 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.21% | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 1.03% | 1.08% | 1.08% | 0.81% | 1.08% | 0.76% | |
Portfolio Turnover Rate1 | 46% | 38% | 47% | 38% | 35% | 26% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 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 | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, | |||||||
Beginning of Period | $218.61 | $198.85 | $193.45 | $161.12 | $134.20 | $121.54 | |
Investment Operations | |||||||
Net Investment Income | 1.033 | 2.094 | 2.271 | 1.316 | 1.584 | .915 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | 17.742 | 19.906 | 4.900 | 32.386 | 26.392 | 12.506 | |
Total from Investment Operations | 18.775 | 22.000 | 7.171 | 33.702 | 27.976 | 13.421 | |
Distributions | |||||||
Dividends from Net Investment Income | (2.545) | (2.240) | (1.771) | (1.372) | (1.056) | (.761) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (2.545) | (2.240) | (1.771) | (1.372) | (1.056) | (.761) | |
Net Asset Value, End of Period | $234.84 | $218.61 | $198.85 | $193.45 | $161.12 | $134.20 | |
Total Return | 8.64% | 11.18% | 3.72% | 20.99% | 20.97% | 11.12% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $245 | $170 | $96 | $90 | $42 | $23 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 1.16% | 1.20% | 1.20% | 0.93% | 1.20% | 0.88% | |
Portfolio Turnover Rate1 | 46% | 38% | 47% | 38% | 35% | 26% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 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 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.
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 28, 2017, 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, 2013–2016), and for the period ended February 28, 2017, 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. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 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 0.10% 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 based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 28, 2017, 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
51
S&P Mid-Cap 400 Growth 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 28, 2017, the fund had contributed to Vanguard capital in the amount of $57,000, 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 28, 2017, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 875,225 | — | — |
Temporary Cash Investments | 33,341 | 300 | — |
Futures Contracts—Liabilities1 | (8) | — | — |
Total | 908,558 | 300 | — |
1 Represents variation margin on the last day of the reporting period. |
52
S&P Mid-Cap 400 Growth Index Fund
D. At February 28, 2017, 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 2017 | 4 | 691 | (2) |
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 28, 2017, the fund realized $8,564,000 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, 2016, the fund had available capital losses totaling $41,672,000 that maybe 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, 2017; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 28, 2017, the cost of investment securities for tax purposes was $775,259,000.
Net unrealized appreciation of investment securities for tax purposes was $133,607,000, consisting of unrealized gains of $146,808,000 on securities that had risen in value since their purchase and $13,201,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended February 28, 2017, the fund purchased $432,896,000 of investment securities and sold $298,544,000 of investment securities, other than temporary cash investments. Purchases and sales include $98,906,000 and $28,888,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the period ended February 28, 2017, such purchases and sales were $86,495,000 and $46,493,000 respectively; these amounts are included in the purchases and sales of investment securities noted above.
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 28, 2017 | August 31, 2016 | ||||
Amount | Shares | Amount | Shares | ||
($000) | (000) | ($000) | (000) | ||
ETF Shares | |||||
Issued | 110,098 | 975 | 198,705 | 1,950 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (33,603) | (300) | (105,607) | (1,050) | |
Net Increase (Decrease)—ETF Shares | 76,495 | 675 | 93,098 | 900 | |
Institutional Shares | |||||
Issued | 73,867 | 321 | 87,252 | 431 | |
Issued in Lieu of Cash Distributions | 430 | 2 | 407 | 2 | |
Redeemed | (12,337) | (56) | (27,985) | (138) | |
Net Increase (Decrease)—Institutional Shares | 61,960 | 267 | 59,674 | 295 |
H. Management has determined that no material events or transactions occurred subsequent to February 28, 2017, 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 28, 2017 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
8/31/2016 | 2/28/2017 | Period | |
Based on Actual Fund Return | |||
S&P Mid-Cap 400 Index Fund | |||
ETF Shares | $1,000.00 | $1,112.87 | $0.84 |
Institutional Shares | 1,000.00 | 1,113.35 | 0.42 |
S&P Mid-Cap 400 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,134.56 | $1.11 |
Institutional Shares | 1,000.00 | 1,135.33 | 0.42 |
S&P Mid-Cap 400 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,085.75 | $1.09 |
Institutional Shares | 1,000.00 | 1,086.39 | 0.41 |
Based on Hypothetical 5% Yearly Return | |||
S&P Mid-Cap 400 Index Fund | |||
ETF Shares | $1,000.00 | $1,024.00 | $0.80 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
S&P Mid-Cap 400 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,023.75 | $1.05 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
S&P Mid-Cap 400 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,023.75 | $1.05 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
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, 0.16% for ETF Shares and 0.08% for Institutional Shares; for the S&P Mid-Cap 400 Value Index Fund, 0.21% for ETF Shares and 0.08% for Institutional Shares; and for the S&P Mid-Cap 400 Growth Index Fund, 0.21% for ETF Shares and 0.08% 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 (181/365).
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 195 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. 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
F. William McNabb III
Born 1957. Trustee Since July 2009. Chairman of the Board. Principal Occupation(s) During the Past Five Years and Other Experience: Chairman of the Board of The Vanguard Group, Inc., and of each of the investment companies served by The Vanguard Group, since January 2010; Director of The Vanguard Group since 2008; Chief Executive Officer and President of The Vanguard Group, and of each of the investment companies served by The Vanguard Group, since 2008; Director of Vanguard Marketing Corporation; Managing Director of The Vanguard Group (1995–2008).
IndependentTrustees
Emerson U. Fullwood
Born 1948. Trustee Since January 2008. Principal Occupation(s) During the Past Five Years and Other Experience: Executive Chief Staff and Marketing Officer for North America and Corporate Vice President (retired 2008) of Xerox Corporation (document management products and services); Executive in Residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology; Lead Director of SPX FLOW, Inc. (multi-industry manufacturing); Director of the United Way of Rochester, the University of Rochester Medical Center, Monroe Community College Foundation, North Carolina A&T University, and Roberts Wesleyan College.
Rajiv L. Gupta
Born 1945. Trustee Since December 2001.2 Principal Occupation(s) During the Past Five Years and Other Experience: Chairman and Chief Executive Officer (retired 2009) and President (2006–2008) of Rohm and Haas Co. (chemicals); Director of Arconic Inc.
(diversified manufacturer), HP Inc. (printer and personal computer manufacturing), and Delphi Automotive plc (automotive components); Senior Advisor at New Mountain Capital.
Amy Gutmann
Born 1949. Trustee Since June 2006. Principal Occupation(s) During the Past Five Years and Other Experience: President of the University of Pennsylvania; Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and Professor of Communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania; Trustee of the National Constitution Center; Chair of the Presidential Commission for the Study of Bioethical Issues.
JoAnn Heffernan Heisen
Born 1950. Trustee Since July 1998. Principal Occupation(s) During the Past Five Years and Other Experience: Corporate Vice President and Chief Global Diversity Officer (retired 2008) and 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
Born 1949. Trustee Since October 2009. Principal Occupation(s) During the Past Five Years and Other Experience: President and Chief Operating Officer (retired 2009) of Cummins Inc. (industrial machinery); Chairman of the Board of Hillenbrand, Inc. (specialized consumer services), Oxfam America, and the Lumina
Foundation for Education; Director of SKF AB (industrial machinery), Hyster-Yale Materials Handling, Inc. (forklift trucks), and the V Foundation for Cancer Research; Member of the Advisory Council for the College of Arts and Letters and Chair of the Advisory Board to the Kellogg Institute for International Studies, both at the University of Notre Dame.
Mark Loughridge
Born 1953. Trustee Since March 2012. Principal Occupation(s) During the Past Five Years and Other Experience: Senior Vice President and Chief Financial Officer (retired 2013) at IBM (information technology services); Fiduciary Member of IBM’s Retirement Plan Committee (2004–2013); Director of the Dow Chemical Company; Member of the Council on Chicago Booth.
Scott C. Malpass
Born 1962. Trustee Since March 2012. Principal Occupation(s) During the Past Five Years and Other Experience: Chief Investment Officer and Vice President at the University of Notre Dame; Assistant Professor of Finance at the Mendoza College of Business at Notre Dame; Member of the Notre Dame 403(b) Investment Committee, the Board of Advisors for Spruceview Capital Partners, and the Investment Advisory Committee of Major League Baseball; Board Member of TIFF Advisory Services, Inc., and Catholic Investment Services, Inc. (investment advisors); Member of the Board of Superintendence of the Institute for the Works of Religion.
André F. Perold
Born 1952. Trustee Since December 2004. Principal Occupation(s) During the Past Five Years and Other Experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011); Chief Investment Officer and Co-Managing Partner of HighVista Strategies LLC (private investment firm); Overseer of the Museum of Fine Arts Boston.
Peter F. Volanakis
Born 1955. Trustee Since July 2009. Principal Occupation(s) During the Past Five Years and Other Experience: President and Chief Operating Officer (retired 2010) of Corning Incorporated (communications equipment); Chairman of the Board of Trustees of Colby-Sawyer College; Member of the Board of Hypertherm, Inc. (industrial cutting systems, software, and consumables).
Executive Officers
Glenn Booraem
Born 1967. Investment Stewardship Officer Since February 2017. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Treasurer (2015–2017), Controller (2010–2015), and Assistant Controller (2001–2010) of each of the investment companies served by The Vanguard Group.
Thomas J. Higgins
Born 1957. Chief Financial Officer Since September 2008. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Chief Financial Officer of each of the investment companies served by The Vanguard Group; Treasurer of each of the investment companies served by The Vanguard Group (1998–2008).
Peter Mahoney
Born 1974. Controller Since May 2015. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Controller of each of the investment companies served by The Vanguard Group; Head of International Fund Services at The Vanguard Group (2008–2014).
Anne E. Robinson
Born 1970. Secretary Since September 2016. Principal Occupation(s) During the Past Five Years and Other Experience: Managing Director of The Vanguard Group, Inc.; General Counsel of The Vanguard Group; Secretary of The Vanguard Group and of each of the investment companies served by The Vanguard Group; Director and Senior Vice President of Vanguard Marketing Corporation; Managing Director and General Counsel of Global Cards and Consumer Services at Citigroup (2014–2016); Counsel at American Express (2003–2014).
Michael Rollings
Born 1963. Treasurer Since February 2017. Principal Occupation(s) During the Past Five Years and Other Experience: Managing Director of The Vanguard Group, Inc.; Treasurer of each of the investment companies served by The Vanguard Group; Executive Vice President and Chief Financial Officer of MassMutual Financial Group (2006–2016).
Vanguard Senior Management Team
Mortimer J. Buckley | James M. Norris |
John James | Thomas M. Rampulla |
Martha G. King | Glenn W. Reed |
John T. Marcante | Karin A. Risi |
Chris D. McIsaac |
Chairman Emeritus and Senior Advisor
John J. Brennan
Chairman, 1996–2009
Chief Executive Officer and President, 1996–2008
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. | |
© 2017 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q18422 042017 |
![](https://capedge.com/proxy/N-CSRS/0000932471-17-004017/sp500valueandgrowthindexx1x1.jpg)
Semiannual Report | February 28, 2017
Vanguard S&P 500 Value and Growth Index Funds
Vanguard S&P 500 Value Index Fund
Vanguard S&P 500 Growth Index Fund
A new format, unwavering commitment
As you begin reading this report, you’ll notice that we’ve made some improvements to the opening sections—based on feedback from you, our clients.
Page 1 starts with a new ”Your Fund’s Performance at a Glance,” a concise, handy summary of how your fund performed during the period.
In the renamed ”Chairman’s Perspective,” Bill McNabb will focus on enduring principles and investment insights.
We’ve modified some tables, and eliminated some redundancy, but we haven’t removed any information.
At Vanguard, we’re always looking for better ways to communicate and to help you make sound investment decisions. Thank you for entrusting your assets to us.
Contents | |
Your Fund’s Performance at a Glance. | 1 |
Chairman’s Perspective. | 3 |
S&P 500 Value Index Fund. | 6 |
S&P 500 Growth Index Fund. | 22 |
About Your Fund’s Expenses. | 36 |
Glossary. | 38 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: No matter what language you speak, Vanguard has one consistent message and set of principles. Our primary focus is on you, our clients. We conduct our business with integrity as a faithful steward of your assets. This message is shown translated into seven languages, reflecting our expanding global presence.
Your Fund’s Performance at a Glance
• Large-capitalization value stocks generally outperformed their growth counterparts over the six months ended February 28, 2017. Vanguard S&P 500 Value Index Fund returned nearly 12% for the period and Vanguard S&P 500 Growth Index Fund returned about 8%.
• Both funds closely tracked their target indexes and exceeded the average returns of their large-cap fund peers.
• Financial stocks, which make up more than one-quarter of the Value Index Fund, contributed most to returns. Industrials and information technology also performed well.
• Information technology, which makes up about one-third of the Growth Index Fund, added most to returns. Consumer discretionary and industrials also boosted results.
• For both funds, the real state sector was a negative performer, although telecommunication services also struggled. Other laggards included health care in the Growth Index Fund and consumer staples in the Value Index Fund.
Total Returns: Six Months Ended February 28, 2017 | |
Total | |
Returns | |
Vanguard S&P 500 Value Index Fund | |
ETF Shares | |
Market Price | 11.70% |
Net Asset Value | 11.71 |
Institutional Shares | 11.76 |
S&P 500 Value Index | 11.81 |
Large-Cap Value Funds Average | 11.57 |
Large-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
1
Total | |
Returns | |
Vanguard S&P 500 Growth Index Fund | |
ETF Shares | |
Market Price | 8.04% |
Net Asset Value | 8.06 |
S&P 500 Growth Index | 8.14 |
Large-Cap Growth Funds Average | 7.44 |
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.
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% | 1.09% |
S&P 500 Growth Index Fund | 0.15 | — | 1.14 |
The fund expense ratios shown are from the prospectus dated December 23, 2016, and represent estimated costs for the current fiscal year. For the six months ended February 28, 2017, the funds’ annualized expense ratios were: for the S&P 500 Value Index Fund, 0.16% for ETF Shares and 0.07% for Institutional Shares; and for the S&P 500 Growth Index Fund, 0.16%. Peer-group expense ratios are derived from data provided by Lipper, a Thomson Reuters Company, and capture information through year-end 2016.
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.
2
Chairman’s Perspective
![](https://capedge.com/proxy/N-CSRS/0000932471-17-004017/sp500valueandgrowthindexx5x1.jpg)
Bill McNabb
Chairman and Chief Executive Officer
Dear Shareholder,
More than a decade ago, a Vanguard client asked us to help improve its defined contribution retirement plan. New hires were participating in the plan at lower rates than in previous years, and the client wanted to reverse this trend. Another priority was to help more participants invest their retirement savings in balanced portfolios.
The overall goal of this longtime client: Give employees a better chance to achieve financial security in retirement.
Today, that plan automatically enrolls employees at a 5% contribution rate, puts them in a low-cost target-date fund that takes on less risk as they near retirement, and offers a comprehensive suite of advice services. On top of that, employees get an employer contribution of 5% and are eligible for a company match.
Because of this combination of attractive features and generous employer contributions, nearly all new hires now participate in the plan, 81% of plan participants invest their retirement savings in balanced portfolios, and 87% of participants meet or exceed Vanguard’s recommended total retirement savings target. (Vanguard generally recommends that retirement investors save 12%–15% of pay, including company matches.)
3
Changing the retirement landscape
Am I singling out an isolated Vanguard success story? Absolutely not.
Stories like these are becoming increasingly common with employer-based retirement plans, particularly among large and midsize companies. Solutions such as automatic enrollment, automatic contribution increases, and default investment in target-date funds are having a positive effect.
Insights from the relatively new discipline of behavioral finance have contributed to the advances. Simply put, retirement plans are making natural human inertia work for future retirees, rather than against them, by putting savings on autopilot as much as possible.
More than 60% of Vanguard participants are in plans with automatic enrollment, which has led to a big jump in participation. Today, more than four-fifths of eligible employees are saving for retirement, compared with only two-thirds ten years ago.
In addition, many plans have adopted automatic-escalation features, which increase plan contributions at regular intervals until a maximum level is reached or an employee opts out. Automatic increases are a crucial tool for boosting retirement savings rates.
The growing use of target-date funds is another enormous benefit. More than 70% of all participants in Vanguard plans invest at least part of their retirement savings in
Market Barometer | |||
Total Returns | |||
Periods Ended February 28, 2017 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 10.10% | 25.53% | 13.94% |
Russell 2000 Index (Small-caps) | 12.61 | 36.11 | 12.89 |
Russell 3000 Index (Broad U.S. market) | 10.29 | 26.29 | 13.85 |
FTSE All-World ex US Index (International) | 5.40 | 19.87 | 4.00 |
Bonds | |||
Bloomberg Barclays U.S. Aggregate Bond Index | |||
(Broad taxable market) | -2.19% | 1.42% | 2.24% |
Bloomberg Barclays Municipal Bond Index | |||
(Broad tax-exempt market) | -2.80 | 0.25 | 3.07 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.19 | 0.32 | 0.10 |
CPI | |||
Consumer Price Index | 1.14% | 2.74% | 1.36% |
4
these age-appropriate, diversified strategies. And nearly 50% of Vanguard participants are invested solely in a single target-date fund.
Consider a do-it-yourself autopilot
But what if you don’t have access to a world-class, employer-based retirement plan? Unfortunately, not everyone does, which is an important policy issue.
However, you can still put the features of these plans to work. For example, you can set up automatic contributions from your paycheck to an IRA. And you can adopt your own automatic escalation by investing any pay raises.
You can also take a page from top-quality retirement plans by considering a low-cost, globally diversified target-date fund. The beauty of this approach is that you don’t need to remember to rebalance your portfolio—the fund does it for you.
Of course, you can take a more active role in picking your own investments, and this can be a good choice for some. But keep in mind the lessons from successful employer-based plans: Busy workers, faced with a lot of competing priorities, are often best served by putting their retirement savings on autopilot.
Winning by default
In highlighting some recent successes in retirement savings, I don’t want to minimize the challenges we still face. We’re living in a slow-growth, uncertain world, and investment returns for both stocks and bonds could well be modest in the coming decade.
But I believe the innovations we’ve seen in the last ten years in many retirement plans—you might call it the “default revolution”—point the way toward a solution. And that even goes for people whose employers don’t have a world-class retirement plan.
As always, thank you for investing with Vanguard.
![](https://capedge.com/proxy/N-CSRS/0000932471-17-004017/sp500valueandgrowthindexx7x1.jpg)
F. William McNabb III
Chairman and Chief Executive Officer
March 14, 2017
5
S&P 500 Value Index Fund
Fund Profile
As of February 28, 2017
Share-Class Characteristics | ||
ETF | Institutional | |
Shares | Shares | |
Ticker Symbol | VOOV | VSPVX |
Expense Ratio1 | 0.15% | 0.08% |
30-Day SEC Yield | 2.23% | 2.28% |
Portfolio Characteristics | |||
DJ | |||
U.S. | |||
S&P 500 | Total | ||
Value | Market | ||
Fund | Index | FA Index | |
Number of Stocks | 352 | 352 | 3,807 |
Median Market Cap | $77.7B | $77.7B | $57.6B |
Price/Earnings Ratio | 21.6x | 21.6x | 24.8x |
Price/Book Ratio | 2.1x | 2.1x | 3.0x |
Return on Equity | 13.8% | 13.7% | 16.4% |
Earnings Growth Rate | 3.9% | 3.9% | 7.6% |
Dividend Yield | 2.4% | 2.4% | 1.9% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 20% | — | — |
Short-Term Reserves | -0.2% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
U.S. | |||
Total | |||
S&P 500 | Market | ||
Value | FA | ||
Fund | Index | Index | |
Consumer Discretionary | 6.8% | 6.8% | 12.4% |
Consumer Staples | 11.7 | 11.7 | 8.4 |
Energy | 11.3 | 11.3 | 6.2 |
Financials | 27.0 | 27.0 | 15.3 |
Health Care | 12.3 | 12.3 | 13.4 |
Industrials | 8.7 | 8.7 | 10.8 |
Information Technology | 7.1 | 7.1 | 20.7 |
Materials | 3.4 | 3.4 | 3.4 |
Real Estate | 1.8 | 1.8 | 4.1 |
Telecommunication | |||
Services | 4.0 | 4.0 | 2.1 |
Utilities | 5.9 | 5.9 | 3.2 |
Volatility Measures | ||
DJ | ||
S&P 500 | U.S. Total | |
Value | Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.92 |
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 | 3.6% |
Berkshire Hathaway Inc. Multi-Sector Holdings | 3.4 | |
JPMorgan Chase & Co. | Diversified Banks | 3.4 |
Wells Fargo & Co. | Diversified Banks | 2.8 |
AT&T Inc. | Integrated | |
Telecommunication | ||
Services | 2.7 | |
Bank of America Corp. | Diversified Banks | 2.6 |
Chevron Corp. | Integrated Oil & Gas | 2.2 |
Cisco Systems Inc. | Communications | |
Equipment | 1.8 | |
Citigroup Inc. | Diversified Banks | 1.8 |
General Electric Co. | Industrial | |
Conglomerates | 1.5 | |
Top Ten | 25.8% |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-17-004017/sp500valueandgrowthindexx8x1.jpg)
1 The expense ratios shown are from the prospectus dated December 23, 2016, and represent estimated costs for the current fiscal year. For the six months ended February 28, 2017, the annualized expense ratios were 0.16% for ETF Shares and 0.07% for Institutional Shares.
6
S&P 500 Value Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): September 7, 2010, Through February 28, 2017
![](https://capedge.com/proxy/N-CSRS/0000932471-17-004017/sp500valueandgrowthindexx9x1.jpg)
Note: For 2017, performance data reflect the six months ended February 28, 2017.
Average Annual Total Returns: Periods Ended December 31, 2016
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 | 17.23% | 14.55% | 13.65% | |
Net Asset Value | 17.19 | 14.54 | 13.64 | |
Institutional Shares | 3/3/2015 | 17.29 | — | 6.73 |
See Financial Highlights for dividend and capital gains information.
7
S&P 500 Value Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 28, 2017
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 (6.7%) | |||
Walt Disney Co. | 43,771 | 4,819 | |
General Motors Co. | 101,143 | 3,726 | |
Ford Motor Co. | 284,572 | 3,566 | |
McDonald’s Corp. | 23,010 | 2,937 | |
Target Corp. | 40,955 | 2,407 | |
NIKE Inc. Class B | 41,894 | 2,395 | |
Carnival Corp. | 30,576 | 1,711 | |
Lowe’s Cos. Inc. | 22,832 | 1,698 | |
Delphi Automotive plc | 19,749 | 1,503 | |
VF Corp. | 24,066 | 1,262 | |
Twenty-First Century Fox | |||
Inc. Class A | 40,146 | 1,201 | |
Viacom Inc. Class B | 25,331 | 1,101 | |
Genuine Parts Co. | 10,846 | 1,038 | |
Whirlpool Corp. | 5,476 | 978 | |
DR Horton Inc. | 24,673 | 789 | |
Macy’s Inc. | 22,159 | 736 | |
Lennar Corp. Class A | 14,292 | 697 | |
Newell Brands Inc. | 13,688 | 671 | |
Goodyear Tire & Rubber Co. | 18,980 | 665 | |
BorgWarner Inc. | 14,521 | 613 | |
Royal Caribbean Cruises Ltd. | 5,981 | 575 | |
* | Mohawk Industries Inc. | 2,430 | 550 |
Kohl’s Corp. | 12,789 | 545 | |
Twenty-First Century Fox Inc. | 18,338 | 538 | |
Best Buy Co. Inc. | 11,985 | 529 | |
PVH Corp. | 5,736 | 525 | |
* | CarMax Inc. | 7,633 | 493 |
L Brands Inc. | 9,254 | 487 | |
PulteGroup Inc. | 21,591 | 476 | |
News Corp. Class A | 36,374 | 466 | |
Bed Bath & Beyond Inc. | 11,031 | 446 | |
Staples Inc. | 47,166 | 424 | |
Omnicom Group Inc. | 4,849 | 413 | |
TEGNA Inc. | 15,638 | 401 | |
* | Chipotle Mexican Grill Inc. | ||
Class A | 948 | 397 |
Gap Inc. | 15,903 | 395 | |
Coach Inc. | 10,311 | 393 | |
Nordstrom Inc. | 8,411 | 392 | |
Tiffany & Co. | 3,853 | 354 | |
Ralph Lauren Corp. Class A | 4,077 | 323 | |
H&R Block Inc. | 15,685 | 322 | |
Signet Jewelers Ltd. | 5,065 | 322 | |
Interpublic Group of Cos. Inc. | 12,915 | 311 | |
Tractor Supply Co. | 4,102 | 291 | |
Foot Locker Inc. | 3,815 | 289 | |
Mattel Inc. | 10,872 | 280 | |
Hanesbrands Inc. | 13,231 | 265 | |
* | AutoNation Inc. | 4,774 | 219 |
Wyndham Worldwide Corp. | 2,557 | 213 | |
Leggett & Platt Inc. | 3,814 | 188 | |
* | TripAdvisor Inc. | 3,435 | 142 |
46,477 | |||
Consumer Staples (11.7%) | |||
Procter & Gamble Co. | 99,509 | 9,062 | |
Wal-Mart Stores Inc. | 109,798 | 7,788 | |
CVS Health Corp. | 77,756 | 6,266 | |
Coca-Cola Co. | 138,683 | 5,819 | |
Costco Wholesale Corp. | 31,873 | 5,647 | |
Philip Morris International | |||
Inc. | 50,901 | 5,566 | |
Walgreens Boots Alliance | |||
Inc. | 62,400 | 5,390 | |
PepsiCo Inc. | 46,011 | 5,079 | |
Mondelez International Inc. | |||
Class A | 112,608 | 4,946 | |
Kraft Heinz Co. | 43,491 | 3,980 | |
Kroger Co. | 68,843 | 2,189 | |
Colgate-Palmolive Co. | 28,516 | 2,081 | |
Archer-Daniels-Midland Co. | 41,955 | 1,971 | |
Kimberly-Clark Corp. | 12,535 | 1,662 | |
Molson Coors Brewing Co. | |||
Class B | 13,439 | 1,349 | |
Tyson Foods Inc. Class A | 21,186 | 1,325 | |
Conagra Brands Inc. | 30,243 | 1,246 | |
JM Smucker Co. | 8,462 | 1,199 |
8
S&P 500 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
General Mills Inc. | 19,358 | 1,169 | |
Sysco Corp. | 17,432 | 919 | |
Whole Foods Market Inc. | 23,094 | 708 | |
Hormel Foods Corp. | 19,633 | 692 | |
Kellogg Co. | 8,448 | 626 | |
Clorox Co. | 4,220 | 577 | |
Estee Lauder Cos. Inc. | |||
Class A | 6,788 | 562 | |
Mead Johnson Nutrition Co. | 6,171 | 542 | |
Dr Pepper Snapple Group | |||
Inc. | 5,348 | 500 | |
* | Monster Beverage Corp. | 11,798 | 489 |
Coty Inc. Class A | 19,827 | 372 | |
Church & Dwight Co. Inc. | 6,577 | 328 | |
Campbell Soup Co. | 5,491 | 326 | |
McCormick & Co. Inc. | 2,982 | 293 | |
Brown-Forman Corp. Class B | 5,322 | 260 | |
80,928 | |||
Energy (11.2%) | |||
Exxon Mobil Corp. | 302,344 | 24,587 | |
Chevron Corp. | 137,643 | 15,485 | |
Schlumberger Ltd. | 55,794 | 4,484 | |
ConocoPhillips | 90,342 | 4,298 | |
Kinder Morgan Inc. | 139,982 | 2,983 | |
Phillips 66 | 32,280 | 2,524 | |
Valero Energy Corp. | 33,006 | 2,243 | |
Occidental Petroleum Corp. | 31,760 | 2,082 | |
EOG Resources Inc. | 20,177 | 1,957 | |
Marathon Petroleum Corp. | 38,485 | 1,909 | |
Halliburton Co. | 26,834 | 1,434 | |
Anadarko Petroleum Corp. | 20,376 | 1,317 | |
National Oilwell Varco Inc. | 27,541 | 1,113 | |
* | TechnipFMC plc | 34,279 | 1,108 |
Baker Hughes Inc. | 17,666 | 1,065 | |
Hess Corp. | 19,445 | 1,000 | |
Marathon Oil Corp. | 61,776 | 988 | |
Williams Cos. Inc. | 32,583 | 923 | |
Devon Energy Corp. | 17,098 | 741 | |
Tesoro Corp. | 8,492 | 723 | |
Noble Energy Inc. | 18,210 | 663 | |
* | Concho Resources Inc. | 4,899 | 649 |
^ | Helmerich & Payne Inc. | 7,838 | 536 |
Apache Corp. | 9,993 | 525 | |
* | Transocean Ltd. | 28,231 | 390 |
Cabot Oil & Gas Corp. | 17,561 | 385 | |
Cimarex Energy Co. | 3,047 | 383 | |
EQT Corp. | 5,125 | 307 | |
ONEOK Inc. | 4,727 | 255 | |
Range Resources Corp. | 8,504 | 235 | |
* | Newfield Exploration Co. | 4,733 | 173 |
* | Chesapeake Energy Corp. | 28,988 | 158 |
* | Southwestern Energy Co. | 15,931 | 120 |
77,743 |
Financials (27.0%) | |||
* Berkshire Hathaway Inc. | |||
Class B | 138,452 | 23,733 | |
JPMorgan Chase & Co. | 260,899 | 23,643 | |
Wells Fargo & Co. | 329,569 | 19,075 | |
Bank of America Corp. | 736,783 | 18,184 | |
Citigroup Inc. | 207,781 | 12,427 | |
Goldman Sachs Group Inc. | 26,966 | 6,689 | |
Morgan Stanley | 105,148 | 4,802 | |
Chubb Ltd. | 33,929 | 4,688 | |
American International | |||
Group Inc. | 71,148 | 4,548 | |
PNC Financial Services | |||
Group Inc. | 35,473 | 4,513 | |
MetLife Inc. | 80,141 | 4,203 | |
Bank of New York Mellon | |||
Corp. | 77,095 | 3,634 | |
Prudential Financial Inc. | 31,354 | 3,466 | |
Capital One Financial Corp. | 35,167 | 3,301 | |
BB&T Corp. | 59,166 | 2,853 | |
US Bancorp | 51,257 | 2,819 | |
Travelers Cos. Inc. | 20,714 | 2,532 | |
American Express Co. | 29,360 | 2,351 | |
Allstate Corp. | 26,850 | 2,206 | |
Aflac Inc. | 29,757 | 2,153 | |
SunTrust Banks Inc. | 35,786 | 2,129 | |
State Street Corp. | 26,439 | 2,107 | |
Synchrony Financial | 57,178 | 2,072 | |
M&T Bank Corp. | 11,306 | 1,888 | |
BlackRock Inc. | 4,513 | 1,749 | |
Progressive Corp. | 42,312 | 1,658 | |
Fifth Third Bancorp | 55,097 | 1,512 | |
Regions Financial Corp. | 89,759 | 1,371 | |
Hartford Financial Services | |||
Group Inc. | 27,544 | 1,347 | |
Principal Financial Group Inc. | 19,508 | 1,220 | |
Willis Towers Watson plc | 9,354 | 1,201 | |
Lincoln National Corp. | 16,667 | 1,169 | |
Huntington Bancshares Inc. | 78,883 | 1,115 | |
CME Group Inc. | 9,151 | 1,111 | |
Franklin Resources Inc. | 25,302 | 1,089 | |
Invesco Ltd. | 29,789 | 959 | |
Loews Corp. | 20,147 | 946 | |
Citizens Financial Group Inc. | 23,093 | 863 | |
Unum Group | 16,928 | 827 | |
XL Group Ltd. | 19,519 | 790 | |
Ameriprise Financial Inc. | 5,993 | 788 | |
KeyCorp | 40,487 | 760 | |
Affiliated Managers Group | |||
Inc. | 3,991 | 670 | |
Zions Bancorporation | 14,778 | 663 | |
Leucadia National Corp. | 23,489 | 625 | |
Torchmark Corp. | 8,030 | 623 | |
Northern Trust Corp. | 5,570 | 487 |
9
S&P 500 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
T. Rowe Price Group Inc. | 6,195 | 441 | |
People’s United Financial Inc. | 22,580 | 434 | |
Assurant Inc. | 4,157 | 412 | |
Comerica Inc. | 5,722 | 408 | |
Cincinnati Financial Corp. | 4,796 | 350 | |
Navient Corp. | 21,988 | 339 | |
Nasdaq Inc. | 4,459 | 317 | |
CBOE Holdings Inc. | 2,133 | 166 | |
186,426 | |||
Health Care (12.3%) | |||
Johnson & Johnson | 77,362 | 9,454 | |
Medtronic plc | 100,113 | 8,100 | |
Allergan plc | 27,348 | 6,695 | |
Pfizer Inc. | 194,685 | 6,643 | |
Abbott Laboratories | 125,492 | 5,657 | |
Merck & Co. Inc. | 76,391 | 5,032 | |
Amgen Inc. | 24,409 | 4,309 | |
Eli Lilly & Co. | 39,669 | 3,285 | |
* | Express Scripts Holding Co. | 44,960 | 3,176 |
Anthem Inc. | 19,209 | 3,166 | |
Bristol-Myers Squibb Co. | 54,837 | 3,110 | |
Cigna Corp. | 18,720 | 2,787 | |
McKesson Corp. | 15,462 | 2,321 | |
Cardinal Health Inc. | 23,337 | 1,899 | |
Baxter International Inc. | 35,695 | 1,818 | |
Danaher Corp. | 20,860 | 1,785 | |
Thermo Fisher Scientific Inc. | 11,235 | 1,772 | |
* | Mylan NV | 33,466 | 1,401 |
AmerisourceBergen Corp. | |||
Class A | 12,197 | 1,116 | |
Dentsply Sirona Inc. | 16,787 | 1,066 | |
* | Henry Schein Inc. | 5,859 | 1,005 |
* | HCA Holdings Inc. | 10,413 | 908 |
* | Centene Corp. | 12,461 | 879 |
* | DaVita Inc. | 11,482 | 797 |
Perrigo Co. plc | 10,433 | 780 | |
* | Vertex Pharmaceuticals Inc. | 7,758 | 703 |
Zimmer Biomet Holdings Inc. | 5,256 | 615 | |
* | Illumina Inc. | 3,308 | 554 |
* | Laboratory Corp. of America | ||
Holdings | 3,450 | 491 | |
Universal Health Services | |||
Inc. Class B | 3,596 | 452 | |
PerkinElmer Inc. | 7,962 | 432 | |
Agilent Technologies Inc. | 8,339 | 428 | |
* | Mallinckrodt plc | 7,668 | 402 |
Quest Diagnostics Inc. | 3,900 | 380 | |
* | Envision Healthcare Corp. | 5,040 | 353 |
* | Hologic Inc. | 8,095 | 328 |
* | Waters Corp. | 1,987 | 308 |
Patterson Cos. Inc. | 5,986 | 272 | |
Cooper Cos. Inc. | 1,010 | 201 | |
* | Endo International plc | 14,304 | 195 |
85,075 |
Industrials (8.6%) | |||
General Electric Co. | 341,856 | 10,191 | |
United Technologies Corp. | 55,834 | 6,284 | |
Johnson Controls | |||
International plc | 68,299 | 2,864 | |
Honeywell International Inc. | 22,783 | 2,836 | |
Delta Air Lines Inc. | 53,692 | 2,681 | |
3M Co. | 14,022 | 2,613 | |
Norfolk Southern Corp. | 21,288 | 2,576 | |
Boeing Co. | 13,811 | 2,489 | |
Eaton Corp. plc | 32,937 | 2,371 | |
Union Pacific Corp. | 18,776 | 2,027 | |
Caterpillar Inc. | 20,676 | 1,999 | |
American Airlines Group Inc. | 37,781 | 1,752 | |
Emerson Electric Co. | 25,455 | 1,530 | |
CSX Corp. | 25,722 | 1,249 | |
Deere & Co. | 10,848 | 1,188 | |
Raytheon Co. | 7,057 | 1,088 | |
Textron Inc. | 19,704 | 932 | |
Arconic Inc. | 31,973 | 920 | |
AMETEK Inc. | 16,875 | 911 | |
Dover Corp. | 11,328 | 907 | |
PACCAR Inc. | 12,374 | 827 | |
Stanley Black & Decker Inc. | 5,697 | 724 | |
Pentair plc | 12,159 | 706 | |
Roper Technologies Inc. | 3,315 | 693 | |
Kansas City Southern | 7,800 | 691 | |
Fluor Corp. | 10,085 | 559 | |
L3 Technologies Inc. | 3,103 | 522 | |
* | Stericycle Inc. | 6,190 | 513 |
Jacobs Engineering Group | |||
Inc. | 8,749 | 494 | |
Parker-Hannifin Corp. | 3,177 | 492 | |
Nielsen Holdings plc | 11,000 | 488 | |
Robert Half International Inc. | 9,400 | 453 | |
Flowserve Corp. | 9,455 | 439 | |
CH Robinson Worldwide Inc. | 5,136 | 413 | |
Snap-on Inc. | 1,978 | 336 | |
Rockwell Collins Inc. | 3,506 | 335 | |
Alaska Air Group Inc. | 3,237 | 317 | |
Masco Corp. | 9,100 | 307 | |
Ryder System Inc. | 3,862 | 294 | |
Expeditors International of | |||
Washington Inc. | 4,840 | 273 | |
Fortune Brands Home & | |||
Security Inc. | 3,198 | 185 | |
Allegion plc | 2,518 | 183 | |
Pitney Bowes Inc. | 3,346 | 46 | |
59,698 | |||
Information Technology (7.1%) | |||
Cisco Systems Inc. | 366,004 | 12,510 | |
Intel Corp. | 179,678 | 6,504 | |
International Business | |||
Machines Corp. | 27,131 | 4,879 | |
Oracle Corp. | 91,781 | 3,909 |
10
S&P 500 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
* | Yahoo! Inc. | 64,005 | 2,923 |
Hewlett Packard | |||
Enterprise Co. | 121,475 | 2,772 | |
HP Inc. | 124,748 | 2,167 | |
* | Micron Technology Inc. | 75,262 | 1,764 |
Western Digital Corp. | 20,816 | 1,600 | |
* | eBay Inc. | 46,244 | 1,568 |
Seagate Technology plc | 21,475 | 1,035 | |
TE Connectivity Ltd. | 12,916 | 962 | |
* | Cognizant Technology | ||
Solutions Corp. Class A | 13,207 | 783 | |
CA Inc. | 22,850 | 737 | |
Symantec Corp. | 23,350 | 667 | |
* | Qorvo Inc. | 9,283 | 614 |
Xerox Corp. | 61,735 | 459 | |
* | Autodesk Inc. | 4,839 | 418 |
Alliance Data Systems Corp. | 1,677 | 408 | |
Xilinx Inc. | 6,429 | 378 | |
Juniper Networks Inc. | 12,170 | 341 | |
NetApp Inc. | 7,756 | 324 | |
* | Teradata Corp. | 9,369 | 291 |
Western Union Co. | 12,379 | 243 | |
* | First Solar Inc. | 5,751 | 208 |
CSRA Inc. | 5,480 | 163 | |
FLIR Systems Inc. | 2,992 | 110 | |
48,737 | |||
Materials (3.4%) | |||
Dow Chemical Co. | 81,716 | 5,088 | |
EI du Pont de Nemours | |||
& Co. | 31,694 | 2,489 | |
LyondellBasell Industries NV | |||
Class A | 24,366 | 2,223 | |
International Paper Co. | 29,985 | 1,580 | |
Monsanto Co. | 10,556 | 1,202 | |
Praxair Inc. | 9,132 | 1,084 | |
Ecolab Inc. | 8,611 | 1,067 | |
WestRock Co. | 18,311 | 984 | |
Air Products & Chemicals Inc. | 6,789 | 954 | |
Ball Corp. | 12,711 | 935 | |
PPG Industries Inc. | 9,047 | 927 | |
Eastman Chemical Co. | 10,703 | 859 | |
Mosaic Co. | 25,538 | 796 | |
Nucor Corp. | 9,651 | 604 | |
Sherwin-Williams Co. | 1,827 | 564 | |
CF Industries Holdings Inc. | 16,910 | 531 | |
* | Freeport-McMoRan Inc. | 37,558 | 503 |
International Flavors & | |||
Fragrances Inc. | 2,433 | 306 | |
Sealed Air Corp. | 6,568 | 305 | |
Avery Dennison Corp. | 3,050 | 246 | |
FMC Corp. | 3,381 | 195 | |
23,442 |
Real Estate (1.8%) | |||
Weyerhaeuser Co. | 54,546 | 1,839 | |
Simon Property Group Inc. | 7,791 | 1,437 | |
HCP Inc. | 34,095 | 1,118 | |
Public Storage | 3,807 | 866 | |
Crown Castle International | |||
Corp. | 9,159 | 857 | |
SL Green Realty Corp. | 7,364 | 830 | |
Ventas Inc. | 11,078 | 721 | |
Vornado Realty Trust | 6,270 | 689 | |
Macerich Co. | 8,778 | 591 | |
Equity Residential | 8,771 | 553 | |
Boston Properties Inc. | 3,927 | 546 | |
Essex Property Trust Inc. | 2,235 | 525 | |
Realty Income Corp. | 7,165 | 439 | |
* | CBRE Group Inc. Class A | 12,222 | 435 |
Mid-America Apartment | |||
Communities Inc. | 3,205 | 329 | |
Iron Mountain Inc. | 7,674 | 279 | |
Federal Realty Investment | |||
Trust | 1,919 | 270 | |
12,324 | |||
Telecommunication Services (4.0%) | |||
AT&T Inc. | 447,755 | 18,712 | |
Verizon Communications | |||
Inc. | 139,702 | 6,933 | |
CenturyLink Inc. | 39,863 | 967 | |
* | Level 3 Communications | ||
Inc. | 9,342 | 535 | |
^ | Frontier Communications | ||
Corp. | 85,040 | 249 | |
27,396 | |||
Utilities (5.9%) | |||
Duke Energy Corp. | 50,235 | 4,147 | |
Southern Co. | 71,455 | 3,631 | |
Exelon Corp. | 67,321 | 2,471 | |
PG&E Corp. | 36,870 | 2,461 | |
American Electric Power | |||
Co. Inc. | 35,855 | 2,401 | |
NextEra Energy Inc. | 17,505 | 2,293 | |
Sempra Energy | 18,232 | 2,011 | |
Edison International | 23,758 | 1,895 | |
Dominion Resources Inc. | 24,223 | 1,881 | |
PPL Corp. | 49,555 | 1,828 | |
Consolidated Edison Inc. | 22,219 | 1,712 | |
Public Service Enterprise | |||
Group Inc. | 36,887 | 1,696 | |
Xcel Energy Inc. | 37,038 | 1,619 | |
Eversource Energy | 23,128 | 1,357 | |
DTE Energy Co. | 13,083 | 1,326 | |
FirstEnergy Corp. | 31,045 | 1,007 | |
Entergy Corp. | 13,061 | 1,001 | |
Ameren Corp. | 17,692 | 968 | |
CMS Energy Corp. | 20,352 | 906 |
11
S&P 500 Value Index Fund
Market | ||
Value• | ||
Shares | ($000) | |
SCANA Corp. | 10,423 | 723 |
WEC Energy Group Inc. | 11,154 | 672 |
Pinnacle West Capital Corp. | 8,071 | 663 |
NiSource Inc. | 23,402 | 560 |
AES Corp. | 47,783 | 550 |
NRG Energy Inc. | 22,871 | 379 |
CenterPoint Energy Inc. | 13,374 | 365 |
Alliant Energy Corp. | 8,836 | 349 |
40,872 | ||
Total Common Stocks | ||
(Cost $612,428) | 689,118 | |
Temporary Cash Investments (0.1%)1 | ||
Money Market Fund (0.1%) | ||
2,3 Vanguard Market | ||
Liquidity Fund, 0.864% | 6,269 | 627 |
Face | ||
Amount | ||
($000) | ||
U.S. Government and Agency Obligations (0.0%) | ||
4 United States | ||
Treasury Bill, | ||
0.612%, 7/20/17 | 100 | 100 |
Total Temporary Cash Investments | ||
(Cost $727) | 727 | |
Total Investments (99.8%) | ||
(Cost $613,155) | 689,845 | |
Amount | ||
($000) | ||
Other Assets and Liabilities (0.2%) | ||
Other Assets | ||
Investment in Vanguard | 46 | |
Receivables for Investment Securities Sold | 138 | |
Receivables for Accrued Income | 1,779 | |
Total Other Assets | 1,963 |
Amount | |
($000) | |
Liabilities | |
Payables for Investment Securities | |
Purchased | (167) |
Collateral for Securities on Loan | (139) |
Payables to Vanguard | (155) |
Other Liabilities | (11) |
Total Liabilities | (472) |
Net Assets (100%) | 691,336 |
At February 28, 2017, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 622,341 |
Undistributed Net Investment Income | 2,352 |
Accumulated Net Realized Losses | (10,108) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 76,690 |
Futures Contracts | 61 |
Net Assets | 691,336 |
ETF Shares—Net Assets | |
Applicable to 6,725,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 685,597 |
Net Asset Value Per Share— | |
ETF Shares | $101.95 |
Institutional Shares—Net Assets | |
Applicable to 25,666 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 5,739 |
Net Asset Value Per Share— | |
Institutional Shares | $223.59 |
• 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 $121,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and -0.2%, respectively,
of net assets.
2 Includes $139,000 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.
12
S&P 500 Value Index Fund | |
Statement of Operations | |
Six Months Ended | |
February 28, 2017 | |
($000) | |
Investment Income | |
Income | |
Dividends | 7,090 |
Interest1 | 3 |
Securities Lending—Net | 11 |
Total Income | 7,104 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 42 |
Management and Administrative—ETF Shares | 343 |
Management and Administrative—Institutional Shares | 1 |
Marketing and Distribution—ETF Shares | 19 |
Marketing and Distribution—Institutional Shares | — |
Custodian Fees | 19 |
Shareholders’ Reports—ETF Shares | 8 |
Shareholders’ Reports—Institutional Shares | — |
Total Expenses | 432 |
Net Investment Income | 6,672 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | 19,572 |
Futures Contracts | 138 |
Realized Net Gain (Loss) | 19,710 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 36,926 |
Futures Contracts | 58 |
Change in Unrealized Appreciation (Depreciation) | 36,984 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 63,366 |
See accompanying Notes, which are an integral part of the Financial Statements.
13
S&P 500 Value Index Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
February 28, | August 31, | |
2017 | 2016 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 6,672 | 9,552 |
Realized Net Gain (Loss) | 19,710 | 3,069 |
Change in Unrealized Appreciation (Depreciation) | 36,984 | 35,972 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 63,366 | 48,593 |
Distributions | ||
Net Investment Income | ||
ETF Shares | (6,706) | (8,238) |
Institutional Shares | (69) | (245) |
Realized Capital Gain | ||
ETF Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (6,775) | (8,483) |
Capital Share Transactions | ||
ETF Shares | 141,878 | 173,732 |
Institutional Shares | (1,405) | (4,966) |
Net Increase (Decrease) from Capital Share Transactions | 140,473 | 168,766 |
Total Increase (Decrease) | 197,064 | 208,876 |
Net Assets | ||
Beginning of Period | 494,272 | 285,396 |
End of Period1 | 691,336 | 494,272 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $2,352,000 and $2,455,000.
See accompanying Notes, which are an integral part of the Financial Statements.
14
S&P 500 Value Index Fund | |||||||
Financial Highlights | |||||||
ETF Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $92.41 | $83.75 | $88.54 | $73.72 | $61.42 | $53.59 | |
Investment Operations | |||||||
Net Investment Income | 1.072 | 2.125 | 1.932 | 1.702 | 1.584 | 1.329 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | 9.652 | 8.605 | (4.838) | 14.824 | 12.242 | 7.734 | |
Total from Investment Operations | 10.724 | 10.730 | (2.906) | 16.526 | 13.826 | 9.063 | |
Distributions | |||||||
Dividends from Net Investment Income | (1.184) | (2.070) | (1.884) | (1.706) | (1.526) | (1.233) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (1.184) | (2.070) | (1.884) | (1.706) | (1.526) | (1.233) | |
Net Asset Value, End of Period | $101.95 | $92.41 | $83.75 | $88.54 | $73.72 | $61.42 | |
Total Return | 11.71% | 13.03% | -3.41% | 22.64% | 22.79% | 17.16% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $686 | $487 | $274 | $204 | $118 | $52 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.16% | 0.15% | 0.15% | 0.15% | 0.15% | 0.15% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 2.40% | 2.64% | 2.37% | 2.31% | 2.45% | 2.43% | |
Portfolio Turnover Rate1 | 20% | 22% | 23% | 25% | 25% | 20% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
15
S&P 500 Value Index Fund | |||
Financial Highlights | |||
Institutional Shares | |||
Six Months | Year | March 3, | |
Ended | Ended | 20151 to | |
February 28, | Aug. 31, | Aug. 31, | |
For a Share Outstanding Throughout Each Period | 2017 | 2016 | 2015 |
Net Asset Value, Beginning of Period | $202.64 | $183.75 | $199.34 |
Investment Operations | |||
Net Investment Income | 2.426 | 4.765 | 2.352 |
Net Realized and Unrealized Gain (Loss) on Investments | 21.182 | 18.875 | (15.830) |
Total from Investment Operations | 23.608 | 23.640 | (13.478) |
Distributions | |||
Dividends from Net Investment Income | (2.658) | (4.750) | (2.112) |
Distributions from Realized Capital Gains | — | — | — |
Total Distributions | (2.658) | (4.750) | (2.112) |
Net Asset Value, End of Period | $223.59 | $202.64 | $183.75 |
Total Return | 11.76% | 13.09% | -6.84% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $6 | $7 | $11 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.08% | 0.08%2 |
Ratio of Net Investment Income to Average Net Assets | 2.49% | 2.71% | 2.44%2 |
Portfolio Turnover Rate 3 | 20% | 22% | 23% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 | Inception. |
2 | Annualized. |
3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
16
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 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.
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 28, 2017, 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.
17
S&P 500 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, 2013–2016), and for the period ended February 28, 2017, 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. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 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 0.10% 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 based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 28, 2017, 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.
18
S&P 500 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 28, 2017, the fund had contributed to Vanguard capital in the amount of $46,000, 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 28, 2017, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 689,118 | — | — |
Temporary Cash Investments | 627 | 100 | — |
Futures Contracts—Liabilities1 | (4) | — | — |
Total | 689,741 | 100 | — |
1 Represents variation margin on the last day of the reporting period. |
19
S&P 500 Value Index Fund
D. At February 28, 2017, 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 2017 | 16 | 1,890 | 61 |
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 28, 2017, the fund realized $21,736,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
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, 2016, the fund had available capital losses totaling $8,079,000 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, 2017; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 28, 2017, the cost of investment securities for tax purposes was $613,155,000. Net unrealized appreciation of investment securities for tax purposes was $76,690,000, consisting of unrealized gains of $85,092,000 on securities that had risen in value since their purchase and $8,402,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended February 28, 2017, the fund purchased $325,197,000 of investment securities and sold $185,790,000 of investment securities, other than temporary cash investments. Purchases and sales include $226,829,000 and $91,420,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the period ended February 28, 2017, such purchases and sales were $39,296,000 and $13,076,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
20
S&P 500 Value Index Fund
G. Capital share transactions for each class of shares were: | ||||
Six Months Ended | Year Ended | |||
February 28, 2017 | August 31, 2016 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
ETF Shares | ||||
Issued | 234,113 | 2,400 | 215,592 | 2,500 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (92,235) | (950) | (41,860) | (500) |
Net Increase (Decrease)—ETF Shares | 141,878 | 1,450 | 173,732 | 2,000 |
Institutional Shares | ||||
Issued | 1,526 | 7 | 39 | — |
Issued in Lieu of Cash Distributions | 69 | — | 245 | 1 |
Redeemed | (3,000) | (15) | (5,250) | (28) |
Net Increase (Decrease)—Institutional Shares | (1,405) | (8) | (4,966) | (27) |
H. Management has determined that no material events or transactions occurred subsequent to February 28, 2017, that would require recognition or disclosure in these financial statements.
21
S&P 500 Growth Index Fund
Fund Profile
As of February 28, 2017
Portfolio Characteristics | |||
DJ | |||
U.S. | |||
S&P 500 | Total | ||
Growth | Market | ||
Fund | Index | FA Index | |
Number of Stocks | 322 | 319 | 3,807 |
Median Market Cap | $93.9B | $93.9B | $57.6B |
Price/Earnings Ratio | 25.3x | 25.3x | 24.8x |
Price/Book Ratio | 5.3x | 5.3x | 3.0x |
Return on Equity | 21.3% | 20.9% | 16.4% |
Earnings Growth Rate | 9.9% | 10.5% | 7.6% |
Dividend Yield | 1.7% | 1.7% | 1.9% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 21% | — | — |
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 16.7% | 16.7% | 12.4% | |
Consumer Staples | 7.5 | 7.5 | 8.4 |
Energy | 2.6 | 2.6 | 6.2 |
Financials | 4.2 | 4.1 | 15.3 |
Health Care | 15.5 | 15.6 | 13.4 |
Industrials | 11.5 | 11.5 | 10.8 |
Information Technology 34.0 | 34.0 | 20.7 | |
Materials | 2.3 | 2.3 | 3.4 |
Real Estate | 3.8 | 3.8 | 4.1 |
Telecommunication | |||
Services | 1.1 | 1.1 | 2.1 |
Utilities | 0.8 | 0.8 | 3.2 |
Volatility Measures | ||
DJ | ||
S&P 500 | U.S. Total | |
Growth | Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.91 |
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) | ||
Apple Inc. | Technology | |
Hardware, Storage & | ||
Peripherals | 6.7% | |
Microsoft Corp. | Systems Software | 4.6 |
Alphabet Inc. | Internet Software & | |
Services | 4.5 | |
Amazon.com Inc. | Internet & Direct | |
Marketing Retail | 3.1 | |
Facebook Inc. | Internet Software & | |
Services | 2.9 | |
Johnson & Johnson | Pharmaceuticals | 1.9 |
Comcast Corp. | Cable & Satellite | 1.6 |
Home Depot Inc. | Home Improvement | |
Retail | 1.6 | |
Visa Inc. | Data Processing & | |
Outsourced Services | 1.5 | |
UnitedHealth Group Inc. | Managed Health | |
Care | 1.4 | |
Top Ten | 29.8% |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-17-004017/sp500valueandgrowthindex24x1.jpg)
1 The expense ratio shown is from the prospectus dated December 23, 2016, and represents estimated costs for the current fiscal year. For the six months ended February 28, 2017, the annualized expense ratio was 0.16%.
22
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 28, 2017
![](https://capedge.com/proxy/N-CSRS/0000932471-17-004017/sp500valueandgrowthindex25x1.jpg)
Note: For 2017, performance data reflect the six months ended February 28, 2017.
Average Annual Total Returns: Periods Ended December 31, 2016
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 | 6.81% | 14.39% | 14.86% | |
Net Asset Value | 6.74 | 14.38 | 14.84 |
See Financial Highlights for dividend and capital gains information.
23
S&P 500 Growth Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 28, 2017
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | |||
Value• | |||
Shares | ($000) | ||
Common Stocks (99.6%)1 | |||
Consumer Discretionary (16.7%) | |||
* | Amazon.com Inc. | 50,343 | 42,542 |
Comcast Corp. Class A | 608,616 | 22,774 | |
Home Depot Inc. | 155,495 | 22,533 | |
Walt Disney Co. | 110,267 | 12,139 | |
* | Priceline Group Inc. | 6,299 | 10,860 |
Starbucks Corp. | 185,778 | 10,565 | |
Time Warner Inc. | 98,433 | 9,667 | |
* | Charter Communications | ||
Inc. Class A | 27,670 | 8,939 | |
McDonald’s Corp. | 65,703 | 8,387 | |
* | Netflix Inc. | 54,780 | 7,786 |
TJX Cos. Inc. | 83,214 | 6,528 | |
NIKE Inc. Class B | 97,103 | 5,550 | |
Lowe’s Cos. Inc. | 70,972 | 5,278 | |
Marriott International Inc. | |||
Class A | 40,833 | 3,552 | |
Ross Stores Inc. | 50,514 | 3,464 | |
CBS Corp. Class B | 49,976 | 3,295 | |
* | O’Reilly Automotive Inc. | 12,058 | 3,276 |
Yum! Brands Inc. | 44,441 | 2,903 | |
* | AutoZone Inc. | 3,690 | 2,718 |
Dollar General Corp. | 32,402 | 2,366 | |
* | Dollar Tree Inc. | 30,061 | 2,305 |
* | Ulta Beauty Inc. | 7,488 | 2,048 |
Twenty-First Century Fox Inc. | |||
Class A | 64,857 | 1,941 | |
Newell Brands Inc. | 37,880 | 1,857 | |
Omnicom Group Inc. | 21,679 | 1,845 | |
Expedia Inc. | 15,363 | 1,829 | |
Advance Auto Parts Inc. | 9,399 | 1,472 | |
Hasbro Inc. | 14,304 | 1,386 | |
Harley-Davidson Inc. | 22,524 | 1,270 | |
* | LKQ Corp. | 39,167 | 1,237 |
Darden Restaurants Inc. | 15,694 | 1,172 | |
Royal Caribbean Cruises Ltd. | 10,937 | 1,051 | |
Harman International | |||
Industries Inc. | 8,839 | 987 |
Scripps Networks | |||
Interactive Inc. Class A | 12,059 | 974 | |
Wynn Resorts Ltd. | 10,130 | 974 | |
Twenty-First Century Fox Inc. | 29,854 | 876 | |
* | Mohawk Industries Inc. | 3,845 | 870 |
* | Chipotle Mexican Grill Inc. | ||
Class A | 2,037 | 853 | |
Foot Locker Inc. | 10,520 | 796 | |
* | Discovery Communications | ||
Inc. | 28,107 | 789 | |
Wyndham Worldwide Corp. | 9,253 | 770 | |
L Brands Inc. | 14,627 | 770 | |
* | Michael Kors Holdings Ltd. | 20,823 | 760 |
Garmin Ltd. | 14,674 | 757 | |
* | CarMax Inc. | 10,968 | 708 |
Tractor Supply Co. | 9,646 | 684 | |
Coach Inc. | 17,894 | 682 | |
Interpublic Group of Cos. Inc. | 27,897 | 672 | |
Mattel Inc. | 24,887 | 640 | |
Tiffany & Co. | 6,868 | 631 | |
Best Buy Co. Inc. | 13,941 | 615 | |
* | Discovery Communications | ||
Inc. Class A | 19,373 | 557 | |
Hanesbrands Inc. | 25,423 | 509 | |
Leggett & Platt Inc. | 10,222 | 503 | |
* | Under Armour Inc. Class A | 23,394 | 482 |
* | Under Armour Inc. | 23,545 | 437 |
* | TripAdvisor Inc. | 8,558 | 355 |
* | Urban Outfitters Inc. | 11,098 | 289 |
232,475 | |||
Consumer Staples (7.4%) | |||
Altria Group Inc. | 248,946 | 18,651 | |
Procter & Gamble Co. | 167,376 | 15,243 | |
Philip Morris International | |||
Inc. | 108,914 | 11,910 | |
PepsiCo Inc. | 102,519 | 11,316 | |
Coca-Cola Co. | 252,696 | 10,603 | |
Reynolds American Inc. | 105,559 | 6,499 | |
Colgate-Palmolive Co. | 63,537 | 4,637 |
24
S&P 500 Growth Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Constellation Brands Inc. | |||
Class A | 22,667 | 3,600 | |
Kimberly-Clark Corp. | 23,755 | 3,149 | |
General Mills Inc. | 41,526 | 2,507 | |
Hershey Co. | 17,769 | 1,925 | |
Sysco Corp. | 34,004 | 1,793 | |
Estee Lauder Cos. Inc. | |||
Class A | 16,622 | 1,377 | |
Dr Pepper Snapple Group Inc. | 14,208 | 1,328 | |
* | Monster Beverage Corp. | 31,307 | 1,297 |
Kellogg Co. | 17,402 | 1,289 | |
Clorox Co. | 9,141 | 1,250 | |
Mead Johnson Nutrition Co. | 12,708 | 1,116 | |
Church & Dwight Co. Inc. | 21,590 | 1,076 | |
McCormick & Co. Inc. | 9,369 | 922 | |
Campbell Soup Co. | 15,226 | 904 | |
Brown-Forman Corp. Class B | 14,070 | 686 | |
Coty Inc. Class A | 25,716 | 483 | |
103,561 | |||
Energy (2.6%) | |||
Schlumberger Ltd. | 79,835 | 6,416 | |
Pioneer Natural Resources | |||
Co. | 21,617 | 4,020 | |
EOG Resources Inc. | 38,264 | 3,711 | |
Halliburton Co. | 64,000 | 3,421 | |
Occidental Petroleum Corp. | 41,832 | 2,742 | |
Anadarko Petroleum Corp. | 35,538 | 2,298 | |
Apache Corp. | 30,998 | 1,630 | |
Devon Energy Corp. | 36,634 | 1,588 | |
Baker Hughes Inc. | 23,191 | 1,398 | |
* | Concho Resources Inc. | 10,065 | 1,333 |
Williams Cos. Inc. | 46,791 | 1,326 | |
ONEOK Inc. | 18,790 | 1,016 | |
Cimarex Energy Co. | 6,781 | 853 | |
Noble Energy Inc. | 22,946 | 836 | |
EQT Corp. | 13,181 | 789 | |
Cabot Oil & Gas Corp. | 28,405 | 622 | |
* | Newfield Exploration Co. | 16,797 | 612 |
Murphy Oil Corp. | 20,662 | 585 | |
* | Southwestern Energy Co. | 34,478 | 259 |
Range Resources Corp. | 8,945 | 247 | |
* | Chesapeake Energy Corp. | 43,505 | 237 |
Enbridge Inc. | 1,352 | 57 | |
35,996 | |||
Financials (4.1%) | |||
US Bancorp | 114,085 | 6,275 | |
Charles Schwab Corp. | 153,989 | 6,223 | |
Marsh & McLennan Cos. | |||
Inc. | 65,775 | 4,833 | |
Intercontinental Exchange | |||
Inc. | 75,906 | 4,337 | |
S&P Global Inc. | 33,069 | 4,281 | |
Aon plc | 33,552 | 3,880 | |
American Express Co. | 47,106 | 3,771 |
Discover Financial Services | 50,344 | 3,581 | |
CME Group Inc. | 27,290 | 3,315 | |
BlackRock Inc. | 7,619 | 2,952 | |
Moody’s Corp. | 21,208 | 2,362 | |
Northern Trust Corp. | 17,351 | 1,516 | |
T. Rowe Price Group Inc. | 20,158 | 1,435 | |
Arthur J Gallagher & Co. | 22,714 | 1,294 | |
Ameriprise Financial Inc. | 9,649 | 1,269 | |
KeyCorp | 67,521 | 1,267 | |
* | E*TRADE Financial Corp. | 34,858 | 1,203 |
Citizens Financial Group Inc. | 24,606 | 920 | |
Comerica Inc. | 12,065 | 860 | |
Cincinnati Financial Corp. | 10,751 | 784 | |
CBOE Holdings Inc. | 6,932 | 541 | |
Nasdaq Inc. | 6,713 | 477 | |
57,376 | |||
Health Care (15.4%) | |||
Johnson & Johnson | 212,134 | 25,925 | |
UnitedHealth Group Inc. | 121,465 | 20,088 | |
Pfizer Inc. | 434,742 | 14,833 | |
Merck & Co. Inc. | 218,203 | 14,373 | |
AbbVie Inc. | 207,377 | 12,824 | |
* | Celgene Corp. | 98,953 | 12,222 |
Gilead Sciences Inc. | 168,169 | 11,853 | |
Amgen Inc. | 52,182 | 9,212 | |
* | Biogen Inc. | 27,773 | 8,015 |
Bristol-Myers Squibb Co. | 117,273 | 6,651 | |
Aetna Inc. | 44,792 | 5,767 | |
Stryker Corp. | 39,664 | 5,099 | |
Becton Dickinson and Co. | 27,061 | 4,954 | |
Thermo Fisher Scientific Inc. | 30,749 | 4,848 | |
Eli Lilly & Co. | 54,563 | 4,518 | |
* | Boston Scientific Corp. | 173,488 | 4,259 |
Humana Inc. | 19,020 | 4,018 | |
* | Alexion Pharmaceuticals Inc. | 28,567 | 3,749 |
* | Intuitive Surgical Inc. | 4,946 | 3,645 |
* | Regeneron Pharmaceuticals | ||
Inc. | 9,650 | 3,604 | |
Danaher Corp. | 41,240 | 3,528 | |
Zoetis Inc. | 62,954 | 3,356 | |
* | Edwards Lifesciences Corp. | 27,226 | 2,560 |
CR Bard Inc. | 9,385 | 2,302 | |
Incyte Corp. | 17,252 | 2,296 | |
* | Illumina Inc. | 12,997 | 2,176 |
* | Cerner Corp. | 38,499 | 2,119 |
Zimmer Biomet Holdings Inc. | 16,364 | 1,916 | |
* | IDEXX Laboratories Inc. | 11,402 | 1,653 |
* | HCA Holdings Inc. | 18,943 | 1,653 |
* | Vertex Pharmaceuticals Inc. | 17,984 | 1,630 |
* | Mettler-Toledo International | ||
Inc. | 3,345 | 1,593 | |
Agilent Technologies Inc. | 26,915 | 1,381 | |
Quest Diagnostics Inc. | 10,959 | 1,068 | |
* | Waters Corp. | 6,816 | 1,056 |
25
S&P 500 Growth Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
* | Laboratory Corp. of | ||
America Holdings | 7,184 | 1,022 | |
* | Varian Medical Systems Inc. | 11,819 | 991 |
Cooper Cos. Inc. | 4,480 | 892 | |
* | Hologic Inc. | 21,504 | 873 |
Universal Health Services | |||
Inc. Class B | 5,183 | 651 | |
* | Envision Healthcare Corp. | 6,269 | 439 |
* | Varex Imaging Corp. | 30 | 1 |
215,613 | |||
Industrials (11.5%) | |||
General Electric Co. | 530,730 | 15,821 | |
3M Co. | 52,310 | 9,748 | |
United Parcel Service Inc. | |||
Class B | 87,966 | 9,303 | |
Boeing Co. | 49,088 | 8,847 | |
Lockheed Martin Corp. | 32,162 | 8,574 | |
Union Pacific Corp. | 72,568 | 7,833 | |
Honeywell International Inc. | 57,511 | 7,160 | |
General Dynamics Corp. | 36,522 | 6,932 | |
FedEx Corp. | 31,180 | 6,017 | |
Northrop Grumman Corp. | 22,500 | 5,560 | |
Illinois Tool Works Inc. | 40,324 | 5,323 | |
Southwest Airlines Co. | 78,448 | 4,534 | |
Raytheon Co. | 25,114 | 3,871 | |
Waste Management Inc. | 51,889 | 3,804 | |
Caterpillar Inc. | 38,835 | 3,754 | |
CSX Corp. | 75,324 | 3,658 | |
Cummins Inc. | 19,680 | 2,922 | |
* | United Continental Holdings | ||
Inc. | 36,856 | 2,731 | |
Ingersoll-Rand plc | 32,976 | 2,617 | |
Rockwell Automation Inc. | 16,335 | 2,468 | |
Emerson Electric Co. | 37,690 | 2,265 | |
Fortive Corp. | 38,396 | 2,214 | |
Equifax Inc. | 15,253 | 2,000 | |
Deere & Co. | 18,073 | 1,979 | |
Fastenal Co. | 36,894 | 1,846 | |
Republic Services Inc. | |||
Class A | 29,477 | 1,826 | |
Parker-Hannifin Corp. | 11,554 | 1,789 | |
WW Grainger Inc. | 7,001 | 1,736 | |
* | Verisk Analytics Inc. Class A | 19,861 | 1,647 |
TransDigm Group Inc. | 6,402 | 1,627 | |
PACCAR Inc. | 23,247 | 1,553 | |
Roper Technologies Inc. | 7,202 | 1,507 | |
* | United Rentals Inc. | 10,751 | 1,376 |
Cintas Corp. | 10,956 | 1,293 | |
Acuity Brands Inc. | 5,630 | 1,190 | |
Stanley Black & Decker Inc. | 9,350 | 1,189 | |
Xylem Inc. | 22,900 | 1,102 | |
JB Hunt Transport Services | |||
Inc. | 11,170 | 1,097 | |
Nielsen Holdings plc | 23,624 | 1,048 | |
Rockwell Collins Inc. | 10,551 | 1,009 |
Alaska Air Group Inc. | 10,131 | 991 | |
Masco Corp. | 26,198 | 885 | |
Expeditors International of | |||
Washington Inc. | 14,460 | 815 | |
Fortune Brands Home & | |||
Security Inc. | 14,028 | 811 | |
L3 Technologies Inc. | 4,441 | 748 | |
CH Robinson Worldwide Inc. | 9,021 | 725 | |
* | Quanta Services Inc. | 19,301 | 720 |
Snap-on Inc. | 3,962 | 672 | |
Allegion plc | 7,861 | 571 | |
Dun & Bradstreet Corp. | 4,664 | 492 | |
160,200 | |||
Information Technology (33.9%) | |||
Apple Inc. | 680,653 | 93,243 | |
Microsoft Corp. | 992,498 | 63,500 | |
* | Facebook Inc. Class A | 298,799 | 40,499 |
* | Alphabet Inc. Class A | 37,795 | 31,934 |
* | Alphabet Inc. Class C | 37,883 | 31,186 |
Visa Inc. Class A | 238,391 | 20,964 | |
Mastercard Inc. Class A | 121,501 | 13,421 | |
International Business | |||
Machines Corp. | 62,989 | 11,327 | |
Broadcom Ltd. | 50,718 | 10,698 | |
QUALCOMM Inc. | 188,520 | 10,648 | |
Intel Corp. | 290,862 | 10,529 | |
Texas Instruments Inc. | 127,612 | 9,778 | |
Accenture plc Class A | 79,181 | 9,700 | |
Oracle Corp. | 222,299 | 9,468 | |
* | Adobe Systems Inc. | 63,470 | 7,511 |
NVIDIA Corp. | 68,802 | 6,982 | |
* | salesforce.com Inc. | 81,484 | 6,629 |
* | PayPal Holdings Inc. | 143,243 | 6,016 |
Automatic Data Processing | |||
Inc. | 57,600 | 5,911 | |
Applied Materials Inc. | 137,973 | 4,997 | |
Activision Blizzard Inc. | 87,114 | 3,931 | |
Intuit Inc. | 31,125 | 3,904 | |
Fidelity National Information | |||
Services Inc. | 41,851 | 3,443 | |
Corning Inc. | 121,421 | 3,352 | |
* | Electronic Arts Inc. | 38,456 | 3,326 |
* | Cognizant Technology | ||
Solutions Corp. Class A | 54,486 | 3,229 | |
Analog Devices Inc. | 39,276 | 3,218 | |
* | Fiserv Inc. | 27,654 | 3,191 |
Amphenol Corp. Class A | 39,310 | 2,721 | |
Paychex Inc. | 40,998 | 2,518 | |
Lam Research Corp. | 20,764 | 2,461 | |
Skyworks Solutions Inc. | 23,687 | 2,246 | |
Microchip Technology Inc. | 27,526 | 1,996 | |
Linear Technology Corp. | 30,634 | 1,978 | |
* | Red Hat Inc. | 22,881 | 1,895 |
KLA-Tencor Corp. | 19,954 | 1,798 | |
* | eBay Inc. | 51,557 | 1,748 |
26
S&P 500 Growth Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Harris Corp. | 15,864 | 1,743 | |
TE Connectivity Ltd. | 22,595 | 1,683 | |
Motorola Solutions Inc. | 21,185 | 1,673 | |
* | Citrix Systems Inc. | 19,880 | 1,570 |
Global Payments Inc. | 19,573 | 1,560 | |
* | Autodesk Inc. | 16,462 | 1,421 |
* | Akamai Technologies Inc. | 22,067 | 1,381 |
Xilinx Inc. | 20,888 | 1,229 | |
* | F5 Networks Inc. | 8,285 | 1,187 |
Total System Services Inc. | 21,059 | 1,147 | |
Symantec Corp. | 38,954 | 1,113 | |
Alliance Data Systems Corp. | 4,449 | 1,081 | |
* | VeriSign Inc. | 11,577 | 955 |
NetApp Inc. | 21,794 | 912 | |
Western Union Co. | 40,012 | 786 | |
Juniper Networks Inc. | 27,470 | 769 | |
FLIR Systems Inc. | 12,097 | 444 | |
CSRA Inc. | 8,899 | 265 | |
472,815 | |||
Materials (2.3%) | |||
EI du Pont de Nemours | |||
& Co. | 55,485 | 4,358 | |
Monsanto Co. | 37,430 | 4,261 | |
Praxair Inc. | 20,335 | 2,414 | |
Newmont Mining Corp. | 67,662 | 2,317 | |
Ecolab Inc. | 18,367 | 2,277 | |
Air Products & Chemicals | |||
Inc. | 15,816 | 2,222 | |
Sherwin-Williams Co. | 7,159 | 2,209 | |
Vulcan Materials Co. | 16,841 | 2,031 | |
PPG Industries Inc. | 17,872 | 1,830 | |
Martin Marietta Materials | |||
Inc. | 8,085 | 1,746 | |
Nucor Corp. | 23,944 | 1,498 | |
Albemarle Corp. | 14,335 | 1,455 | |
* | Freeport-McMoRan Inc. | 102,990 | 1,380 |
International Flavors & | |||
Fragrances Inc. | 5,918 | 744 | |
FMC Corp. | 11,276 | 650 | |
Sealed Air Corp. | 13,047 | 606 | |
Avery Dennison Corp. | 6,110 | 493 | |
32,491 | |||
Real Estate (3.8%) | |||
American Tower Corporation | 54,338 | 6,238 | |
Simon Property Group Inc. | 26,460 | 4,879 | |
Prologis Inc. | 67,353 | 3,438 | |
Equinix Inc. | 9,112 | 3,427 | |
Welltower Inc. | 46,217 | 3,253 | |
AvalonBay Communities Inc. | 17,507 | 3,218 | |
Public Storage | 12,461 | 2,834 | |
Crown Castle International | |||
Corp. | 30,129 | 2,818 | |
Digital Realty Trust Inc. | 20,289 | 2,191 | |
Equity Residential | 31,462 | 1,984 |
* | GGP Inc. | 74,537 | 1,853 |
Boston Properties Inc. | 12,744 | 1,772 | |
Host Hotels & Resorts Inc. | 94,326 | 1,697 | |
Ventas Inc. | 25,632 | 1,667 | |
Kimco Realty Corp. | 54,152 | 1,313 | |
Extra Space Storage Inc. | 16,047 | 1,271 | |
Realty Income Corp. | 20,481 | 1,255 | |
UDR Inc. | 34,057 | 1,243 | |
Vornado Realty Trust | 10,950 | 1,203 | |
Essex Property Trust Inc. | 4,470 | 1,049 | |
Apartment Investment & | |||
Management Co. | 19,843 | 923 | |
Mid-America Apartment | |||
Communities Inc. | 8,871 | 911 | |
Federal Realty Investment | |||
Trust | 5,756 | 810 | |
Iron Mountain Inc. | 17,681 | 643 | |
* | CBRE Group Inc. Class A | 17,137 | 611 |
52,501 | |||
Telecommunication Services (1.1%) | |||
Verizon Communications | |||
Inc. | 276,093 | 13,702 | |
* | Level 3 Communications | ||
Inc. | 20,729 | 1,187 | |
14,889 | |||
Utilities (0.8%) | |||
NextEra Energy Inc. | 29,227 | 3,829 | |
Dominion Resources Inc. | 37,602 | 2,920 | |
American Water Works Co. | |||
Inc. | 22,722 | 1,772 | |
WEC Energy Group Inc. | 20,927 | 1,261 | |
CenterPoint Energy Inc. | 31,886 | 871 | |
Alliant Energy Corp. | 13,431 | 530 | |
11,183 | |||
Total Common Stocks | |||
(Cost $1,152,591) | 1,389,100 | ||
Temporary Cash Investments (0.3%)1 | |||
Money Market Fund (0.3%) | |||
2 | Vanguard Market | ||
Liquidity Fund, 0.864% | 40,987 | 4,099 | |
Face | |||
Amount | |||
($000) | |||
U.S. Government and Agency Obligations (0.0%) | |||
3 | United States | ||
Treasury Bill, | |||
0.564%, 5/4/17 | 200 | 200 | |
Total Temporary Cash Investments | |||
(Cost $4,299) | 4,299 | ||
Total Investments (99.9%) | |||
(Cost $1,156,890) | 1,393,399 |
27
S&P 500 Growth Index Fund
Amount | |
($000) | |
Other Assets and Liabilities (0.1%) | |
Other Assets | |
Investment in Vanguard | 91 |
Receivables for Investment Securities Sold 3,538 | |
Receivables for Accrued Income | 2,221 |
Receivables for Capital Shares Issued | 3 |
Other Assets 3 | 41 |
Total Other Assets | 5,894 |
Liabilities | |
Payables for Investment Securities | |
Purchased | (4,459) |
Payables to Vanguard | (290) |
Other Liabilities | (21) |
Total Liabilities | (4,770) |
Net Assets (100%) | 1,394,523 |
At February 28, 2017, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 1,184,145 |
Undistributed Net Investment Income | 2,453 |
Accumulated Net Realized Losses | (28,686) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 236,509 |
Futures Contracts | 102 |
Net Assets | 1,394,523 |
ETF Shares—Net Assets | |
Applicable to 11,925,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 1,394,523 |
Net Asset Value Per Share— | |
ETF Shares | $116.94 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund’s effective common stock and temporary cash investment positions represent 99.9% and 0.0%, respectively,
of net assets.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the
7-day yield.
3 Securities with a value of $200,000 and cash of $37,000 have been segregated as initial margin for open futures contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
28
S&P 500 Growth Index Fund | |
Statement of Operations | |
Six Months Ended | |
February 28, 2017 | |
($000) | |
Investment Income | |
Income | |
Dividends | 9,611 |
Interest1 | 8 |
Securities Lending—Net | 22 |
Total Income | 9,641 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 83 |
Management and Administrative | 727 |
Marketing and Distribution | 43 |
Custodian Fees | 17 |
Shareholders’ Reports | 24 |
Total Expenses | 894 |
Net Investment Income | 8,747 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | (2,978) |
Futures Contracts | 263 |
Realized Net Gain (Loss) | (2,715) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 91,182 |
Futures Contracts | 82 |
Change in Unrealized Appreciation (Depreciation) | 91,264 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 97,296 |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $7,000 and $1,000, respectively.
See accompanying Notes, which are an integral part of the Financial Statements.
29
S&P 500 Growth Index Fund | |||
Statement of Changes in Net Assets | |||
Six Months Ended | Year Ended | ||
February 28, | August 31, | ||
2017 | 2016 | ||
($000) | ($000) | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net Investment Income | 8,747 | 12,234 | |
Realized Net Gain (Loss) | (2,715) | (12,411) | |
Change in Unrealized Appreciation (Depreciation) | 91,264 | 90,333 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | 97,296 | 90,156 | |
Distributions | |||
Net Investment Income | (9,314) | (10,749) | |
Realized Capital Gain | — | — | |
Total Distributions | (9,314) | (10,749) | |
Capital Share Transactions | |||
Issued | 286,169 | 409,258 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | (10,824) | (27,919) | |
Net Increase (Decrease) from Capital Share Transactions | 275,345 | 381,339 | |
Total Increase (Decrease) | 363,327 | 460,746 | |
Net Assets | |||
Beginning of Period | 1,031,196 | 570,450 | |
End of Period1 | 1,394,523 | 1,031,196 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $2,453,000 and $3,020,000.
See accompanying Notes, which are an integral part of the Financial Statements.
30
S&P 500 Growth Index Fund | |||||||
Financial Highlights | |||||||
ETF Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $109.12 | $99.21 | $96.99 | $77.29 | $68.43 | $58.81 | |
Investment Operations | |||||||
Net Investment Income | .798 | 1.565 | 1.523 | 1.257 | 1.291 | 1.135 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | 7.934 | 9.857 | 2.193 | 19.715 | 8.848 | 9.543 | |
Total from Investment Operations | 8.732 | 11.422 | 3.716 | 20.972 | 10.139 | 10.678 | |
Distributions | |||||||
Dividends from Net Investment Income | (.912) | (1.512) | (1.496) | (1.272) | (1.279) | (1.058) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (.912) | (1.512) | (1.496) | (1.272) | (1.279) | (1.058) | |
Net Asset Value, End of Period | $116.94 | $109.12 | $99.21 | $96.99 | $77.29 | $68.43 | |
Total Return | 8.06% | 11.62% | 3.80% | 27.33% | 15.00% | 18.38% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $1,395 | $1,031 | $570 | $325 | $147 | $96 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.16% | 0.15% | 0.15% | 0.15% | 0.15% | 0.15% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 1.55% | 1.59% | 1.62% | 1.56% | 1.81% | 1.82% | |
Portfolio Turnover Rate1 | 21% | 20% | 21% | 23% | 24% | 22% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
31
S&P 500 Growth Index Fund
Notes to Financial Statements
Vanguard S&P 500 Growth Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: 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 28, 2017.
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 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.
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 28, 2017, 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.
32
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, 2013–2016), and for the period ended February 28, 2017, 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. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 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 0.10% 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 based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 28, 2017, 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.
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
33
S&P 500 Growth Index Fund
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 28, 2017, the fund had contributed to Vanguard capital in the amount of $91,000, 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 28, 2017, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 1,389,100 | — | — |
Temporary Cash Investments | 4,099 | 200 | — |
Futures Contracts—Liabilities1 | (16) | — | — |
Total | 1,393,183 | 200 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At February 28, 2017, 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 2017 | 34 | 4,017 | 102 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
34
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 28, 2017, the fund realized $4,471,000 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, 2016, the fund had available capital losses totaling $21,480,000 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, 2017; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 28, 2017, the cost of investment securities for tax purposes was $1,156,890,000. Net unrealized appreciation of investment securities for tax purposes was $236,509,000, consisting of unrealized gains of $245,047,000 on securities that had risen in value since their purchase and $8,538,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended February 28, 2017, the fund purchased $508,228,000 of investment securities and sold $235,378,000 of investment securities, other than temporary cash investments. Purchases and sales include $275,114,000 and $10,541,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the period ended February 28, 2017, such purchases and sales were $80,109,000 and $21,244,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
G. Capital shares issued and redeemed were: | |||
Six Months Ended | Year Ended | ||
February 28, 2017 | August 31, 2016 | ||
Shares | Shares | ||
(000) | (000) | ||
ETF Shares | |||
Issued | 2,575 | 3,975 | |
Issued in Lieu of Cash Distributions | — | — | |
Redeemed | (100) | (275) | |
Net Increase (Decrease) in Shares Outstanding | 2,475 | 3,700 |
H. Management has determined that no material events or transactions occurred subsequent to February 28, 2017, that would require recognition or disclosure in these financial statements.
35
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.
36
Six Months Ended February 28, 2017 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
8/31/2016 | 2/28/2017 | Period | |
Based on Actual Fund Return | |||
S&P 500 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,117.12 | $0.84 |
Institutional Shares | 1,000.00 | 1,117.63 | 0.37 |
S&P 500 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,080.61 | $0.83 |
Based on Hypothetical 5% Yearly Return | |||
S&P 500 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,024.00 | $0.80 |
Institutional Shares | 1,000.00 | 1,024.45 | 0.35 |
S&P 500 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,024.00 | $0.80 |
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, 0.16% for ETF Shares and 0.07% for Institutional Shares; and for the S&P 500 Growth Index Fund, 0.16%. 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 (181/365).
37
Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
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.
38
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.
39
The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 195 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. 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
F. William McNabb III
Born 1957. Trustee Since July 2009. Chairman of the Board. Principal Occupation(s) During the Past Five Years and Other Experience: Chairman of the Board of The Vanguard Group, Inc., and of each of the investment companies served by The Vanguard Group, since January 2010; Director of The Vanguard Group since 2008; Chief Executive Officer and President of The Vanguard Group, and of each of the investment companies served by The Vanguard Group, since 2008; Director of Vanguard Marketing Corporation; Managing Director of The Vanguard Group (1995–2008).
IndependentTrustees
Emerson U. Fullwood
Born 1948. Trustee Since January 2008. Principal Occupation(s) During the Past Five Years and Other Experience: Executive Chief Staff and Marketing Officer for North America and Corporate Vice President (retired 2008) of Xerox Corporation (document management products and services); Executive in Residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology; Lead Director of SPX FLOW, Inc. (multi-industry manufacturing); Director of the United Way of Rochester, the University of Rochester Medical Center, Monroe Community College Foundation, North Carolina A&T University, and Roberts Wesleyan College.
Rajiv L. Gupta
Born 1945. Trustee Since December 2001.2 Principal Occupation(s) During the Past Five Years and Other Experience: Chairman and Chief Executive Officer (retired 2009) and President (2006–2008) of Rohm and Haas Co. (chemicals); Director of Arconic Inc. (diversified manufacturer), HP Inc. (printer and personal computer manufacturing), and Delphi Automotive plc (automotive components); Senior Advisor at New Mountain Capital.
Amy Gutmann
Born 1949. Trustee Since June 2006. Principal Occupation(s) During the Past Five Years and Other Experience: President of the University of Pennsylvania; Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and Professor of Communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania; Trustee of the National Constitution Center; Chair of the Presidential Commission for the Study of Bioethical Issues.
JoAnn Heffernan Heisen
Born 1950. Trustee Since July 1998. Principal Occupation(s) During the Past Five Years and Other Experience: Corporate Vice President and Chief Global Diversity Officer (retired 2008) and 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
Born 1949. Trustee Since October 2009. Principal Occupation(s) During the Past Five Years and Other Experience: President and Chief Operating Officer (retired 2009) of Cummins Inc. (industrial machinery); Chairman of the Board of Hillenbrand, Inc. (specialized consumer services), Oxfam America, and the Lumina
Foundation for Education; Director of SKF AB (industrial machinery), Hyster-Yale Materials Handling, Inc. (forklift trucks), and the V Foundation for Cancer Research; Member of the Advisory Council for the College of Arts and Letters and Chair of the Advisory Board to the Kellogg Institute for International Studies, both at the University of Notre Dame.
Mark Loughridge
Born 1953. Trustee Since March 2012. Principal Occupation(s) During the Past Five Years and Other Experience: Senior Vice President and Chief Financial Officer (retired 2013) at IBM (information technology services); Fiduciary Member of IBM’s Retirement Plan Committee (2004–2013); Director of the Dow Chemical Company; Member of the Council on Chicago Booth.
Scott C. Malpass
Born 1962. Trustee Since March 2012. Principal Occupation(s) During the Past Five Years and Other Experience: Chief Investment Officer and Vice President at the University of Notre Dame; Assistant Professor of Finance at the Mendoza College of Business at Notre Dame; Member of the Notre Dame 403(b) Investment Committee, the Board of Advisors for Spruceview Capital Partners, and the Investment Advisory Committee of Major League Baseball; Board Member of TIFF Advisory Services, Inc., and Catholic Investment Services, Inc. (investment advisors); Member of the Board of Superintendence of the Institute for the Works of Religion.
André F. Perold
Born 1952. Trustee Since December 2004. Principal Occupation(s) During the Past Five Years and Other Experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011); Chief Investment Officer and Co-Managing Partner of HighVista Strategies LLC (private investment firm); Overseer of the Museum of Fine Arts Boston.
Peter F. Volanakis
Born 1955. Trustee Since July 2009. Principal Occupation(s) During the Past Five Years and Other Experience: President and Chief Operating Officer (retired 2010) of Corning Incorporated (communications equipment); Chairman of the Board of Trustees of Colby-Sawyer College; Member of the Board of Hypertherm, Inc. (industrial cutting systems, software, and consumables).
Executive Officers
Glenn Booraem
Born 1967. Investment Stewardship Officer Since February 2017. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Treasurer (2015–2017),
Controller (2010–2015), and Assistant Controller (2001–2010) of each of the investment companies served by The Vanguard Group.
Thomas J. Higgins
Born 1957. Chief Financial Officer Since September 2008. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Chief Financial Officer of each of the investment companies served by The Vanguard Group; Treasurer of each of the investment companies served by The Vanguard Group (1998–2008).
Peter Mahoney
Born 1974. Controller Since May 2015. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Controller of each of the investment companies served by The Vanguard Group; Head of International Fund Services at The Vanguard Group (2008–2014).
Anne E. Robinson
Born 1970. Secretary Since September 2016. Principal Occupation(s) During the Past Five Years and Other Experience: Managing Director of The Vanguard Group, Inc.; General Counsel of The Vanguard Group; Secretary of The Vanguard Group and of each of the investment companies served by The Vanguard Group; Director and Senior Vice President of Vanguard Marketing Corporation; Managing Director and General Counsel of Global Cards and Consumer Services at Citigroup (2014–2016); Counsel at American Express (2003–2014).
Michael Rollings
Born 1963. Treasurer Since February 2017. Principal Occupation(s) During the Past Five Years and Other Experience: Managing Director of The Vanguard Group, Inc.; Treasurer of each of the investment companies served by The Vanguard Group; Executive Vice President and Chief Financial Officer of MassMutual Financial Group (2006–2016).
Vanguard Senior ManagementTeam | |
Mortimer J. Buckley | James M. Norris |
John James | Thomas M. Rampulla |
Martha G. King | Glenn W. Reed |
John T. Marcante | Karin A. Risi |
Chris D. McIsaac |
Chairman Emeritus and Senior Advisor
John J. Brennan
Chairman, 1996–2009
Chief Executive Officer and President, 1996–2008
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. | |
© 2017 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q18402 042017 |
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Semiannual Report | February 28, 2017
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
A new format, unwavering commitment
As you begin reading this report, you’ll notice that we’ve made some improvements to the opening sections—based on feedback from you, our clients.
Page 1 starts with a new ”Your Fund’s Performance at a Glance,” a concise, handy summary of how your fund performed during the period.
In the renamed ”Chairman’s Perspective,” Bill McNabb will focus on enduring principles and investment insights.
We’ve modified some tables, and eliminated some redundancy, but we haven’t removed any information.
At Vanguard, we’re always looking for better ways to communicate and to help you make sound investment decisions. Thank you for entrusting your assets to us.
Contents | |
Your Fund’s Performance at a Glance. | 1 |
Chairman’s Perspective. | 3 |
S&P Small-Cap 600 Index Fund. | 6 |
S&P Small-Cap 600 Value Index Fund. | 26 |
S&P Small-Cap 600 Growth Index Fund. | 44 |
About Your Fund’s Expenses. | 58 |
Glossary. | 60 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: No matter what language you speak, Vanguard has one consistent message and set of principles. Our primary focus is on you, our clients. We conduct our business with integrity as a faithful steward of your assets. This message is shown translated into seven languages, reflecting our expanding global presence.
Your Fund’s Performance at a Glance
• Small-capitalization value stocks generally outperformed their growth counterparts for the six months ended February 28, 2017. The performance of the Vanguard S&P Small-Cap 600 Index Funds mirrored this trend.
• Results ranged from about 14% for the Value Index Fund to about 12% for the Growth Index Fund. Vanguard S&P Small-Cap 600 Index Fund, which includes both value and growth stocks, returned about 13%.
• All three funds closely tracked their target indexes. The Small-Cap 600 Index Fund and the Growth Index Fund exceeded the average returns of their peers; the Value Index Fund’s result was nearly identical to its peer average.
• All three funds recorded positive returns across a spectrum of sectors. The only negative performers were consumer staples stocks in the Small-Cap 600 Index Fund and the Growth Index Fund.
• Financials was the top contributor for the Small-Cap 600 Index Fund and the Growth Index Fund. Industrials paced the Value Index Fund.
Total Returns: Six Months Ended February 28, 2017 | |
Total | |
Returns | |
Vanguard S&P Small-Cap 600 Index Fund | |
ETF Shares | |
Market Price | 13.14% |
Net Asset Value | 13.15 |
Institutional Shares | 13.18 |
S&P SmallCap 600 Index | 13.18 |
Small-Cap Core Funds Average | 12.04 |
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 | 13.77% |
Net Asset Value | 13.81 |
Institutional Shares | 13.88 |
S&P SmallCap 600 Value Index | 13.91 |
Small-Cap Value Funds Average | 13.77 |
Small-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
1
Total | |
Returns | |
Vanguard S&P Small-Cap 600 Growth Index Fund | |
ETF Shares | |
Market Price | 12.22 |
Net Asset Value | 12.27 |
S&P SmallCap 600 Growth Index | 12.35 |
Small-Cap Growth Funds Average | 8.61 |
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.
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% | 1.24% |
S&P Small-Cap 600 Value Index Fund | 0.20 | 0.08 | 1.32 |
S&P Small-Cap 600 Growth Index Fund | 0.20 | — | 1.34 |
The fund expense ratios shown are from the prospectus dated December 23, 2016, and represent estimated costs for the current fiscal year. For the six months ended February 28, 2017, the annualized expense ratios were: for the S&P Small-Cap 600 Index Fund, 0.16% for ETF Shares and 0.08% for Institutional Shares; for the S&P Small-Cap 600 Value Index Fund, 0.21% for ETF Shares and 0.09% for Institutional Shares; and for the S&P Small-Cap 600 Growth Index Fund, 0.21% for ETF Shares. Peer-group expense ratios are derived from data provided by Lipper, a Thomson Reuters Company, and capture information through year-end 2016.
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.
2
Chairman’s Perspective
![](https://capedge.com/proxy/N-CSRS/0000932471-17-004017/spsmall-cap600indexfundsx5x1.jpg)
Bill McNabb
Chairman and Chief Executive Officer
Dear Shareholder,
More than a decade ago, a Vanguard client asked us to help improve its defined contribution retirement plan. New hires were participating in the plan at lower rates than in previous years, and the client wanted to reverse this trend. Another priority was to help more participants invest their retirement savings in balanced portfolios.
The overall goal of this longtime client: Give employees a better chance to achieve financial security in retirement.
Today, that plan automatically enrolls employees at a 5% contribution rate, puts them in a low-cost target-date fund that takes on less risk as they near retirement, and offers a comprehensive suite of advice services. On top of that, employees get an employer contribution of 5% and are eligible for a company match.
Because of this combination of attractive features and generous employer contributions, nearly all new hires now participate in the plan, 81% of plan participants invest their retirement savings in balanced portfolios, and 87% of participants meet or exceed Vanguard’s recommended total retirement savings target. (Vanguard generally recommends that retirement investors save 12%–15% of pay, including company matches.)
3
Changing the retirement landscape
Am I singling out an isolated Vanguard success story? Absolutely not.
Stories like these are becoming increasingly common with employer-based retirement plans, particularly among large and midsize companies. Solutions such as automatic enrollment, automatic contribution increases, and default investment in target-date funds are having a positive effect.
Insights from the relatively new discipline of behavioral finance have contributed to the advances. Simply put, retirement plans are making natural human inertia work for future retirees, rather than against them, by putting savings on autopilot as much as possible.
More than 60% of Vanguard participants are in plans with automatic enrollment, which has led to a big jump in participation. Today, more than four-fifths of eligible employees are saving for retirement, compared with only two-thirds ten years ago.
In addition, many plans have adopted automatic-escalation features, which increase plan contributions at regular intervals until a maximum level is reached or an employee opts out. Automatic increases are a crucial tool for boosting retirement savings rates.
The growing use of target-date funds is another enormous benefit. More than 70% of all participants in Vanguard plans invest at least part of their retirement savings in
Market Barometer | |||
Total Returns | |||
Periods Ended February 28, 2017 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 10.10% | 25.53% | 13.94% |
Russell 2000 Index (Small-caps) | 12.61 | 36.11 | 12.89 |
Russell 3000 Index (Broad U.S. market) | 10.29 | 26.29 | 13.85 |
FTSE All-World ex US Index (International) | 5.40 | 19.87 | 4.00 |
Bonds | |||
Bloomberg Barclays U.S. Aggregate Bond Index | |||
(Broad taxable market) | -2.19% | 1.42% | 2.24% |
Bloomberg Barclays Municipal Bond Index | |||
(Broad tax-exempt market) | -2.80 | 0.25 | 3.07 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.19 | 0.32 | 0.10 |
CPI | |||
Consumer Price Index | 1.14% | 2.74% | 1.36% |
4
these age-appropriate, diversified strategies. And nearly 50% of Vanguard participants are invested solely in a single target-date fund.
Consider a do-it-yourself autopilot
But what if you don’t have access to a world-class, employer-based retirement plan? Unfortunately, not everyone does, which is an important policy issue.
However, you can still put the features of these plans to work. For example, you can set up automatic contributions from your paycheck to an IRA. And you can adopt your own automatic escalation by investing any pay raises.
You can also take a page from top-quality retirement plans by considering a low-cost, globally diversified target-date fund. The beauty of this approach is that you don’t need to remember to rebalance your portfolio—the fund does it for you.
Of course, you can take a more active role in picking your own investments, and this can be a good choice for some. But keep in mind the lessons from successful employer-based plans: Busy workers, faced with a lot of competing priorities, are often best served by putting their retirement savings on autopilot.
Winning by default
In highlighting some recent successes in retirement savings, I don’t want to minimize the challenges we still face. We’re living in a slow-growth, uncertain world, and investment returns for both stocks and bonds could well be modest in the coming decade.
But I believe the innovations we’ve seen in the last ten years in many retirement plans—you might call it the “default revolution”—point the way toward a solution. And that even goes for people whose employers don’t have a world-class retirement plan.
As always, thank you for investing with Vanguard.
![](https://capedge.com/proxy/N-CSRS/0000932471-17-004017/spsmall-cap600indexfundsx7x1.jpg)
F. William McNabb III
Chairman and Chief Executive Officer
March 14, 2017
5
S&P Small-Cap 600 Index Fund
Fund Profile
As of February 28, 2017
Share-Class Characteristics | ||
ETF | Institutional | |
Shares | Shares | |
Ticker Symbol | VIOO | VSMSX |
Expense Ratio1 | 0.15% | 0.08% |
30-Day SEC Yield | 1.07% | 1.12% |
Portfolio Characteristics | |||
DJ | |||
S&P | U.S. Total | ||
SmallCap | Market | ||
Fund | 600 Index | FA Index | |
Number of Stocks | 602 | 601 | 3,807 |
Median Market Cap | $1.7B | $1.7B | $57.6B |
Price/Earnings Ratio | 29.3x | 29.4x | 24.8x |
Price/Book Ratio | 2.4x | 2.4x | 3.0x |
Return on Equity | 11.0% | 11.0% | 16.4% |
Earnings Growth Rate | 9.3% | 9.2% | 7.6% |
Dividend Yield | 1.2% | 1.2% | 1.9% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 20% | — | — |
Short-Term Reserves | -0.3% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
U.S. | |||
Total | |||
S&P Market | |||
SmallCap | FA | ||
Fund | 600 Index | Index | |
Consumer Discretionary | 13.9% | 13.9% | 12.4% |
Consumer Staples | 2.8 | 2.7 | 8.4 |
Energy | 3.2 | 3.2 | 6.2 |
Financials | 18.3 | 18.3 | 15.3 |
Health Care | 12.4 | 12.5 | 13.4 |
Industrials | 18.7 | 18.7 | 10.8 |
Information Technology | 15.2 | 15.2 | 20.7 |
Materials | 5.7 | 5.7 | 3.4 |
Real Estate | 6.3 | 6.3 | 4.1 |
Telecommunication | |||
Services | 0.9 | 0.9 | 2.1 |
Utilities | 2.6 | 2.6 | 3.2 |
Volatility Measures | ||
DJ | ||
S&P | U.S. Total | |
SmallCap | Market | |
600 Index | FA Index | |
R-Squared | 1.00 | 0.68 |
Beta | 1.00 | 1.14 |
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) | ||
Take-Two Interactive | Home Entertainment | |
Software Inc. | Software | 0.8% |
Coherent Inc. | Electronic Equipment | |
& Instruments | 0.6 | |
Texas Capital | ||
Bancshares Inc. | Regional Banks | 0.6 |
Masimo Corp. | Health Care | |
Equipment | 0.5 | |
Wintrust Financial Corp. | Regional Banks | 0.5 |
PDC Energy Inc. | Oil & Gas Exploration | |
& Production | 0.5 | |
Medicines Co. | Pharmaceuticals | 0.5 |
US Silica Holdings Inc. | Oil & Gas Equipment | |
& Services | 0.5 | |
United Bankshares Inc. | Regional Banks | 0.5 |
GEO Group Inc. | Specialized REITs | 0.5 |
Top Ten | 5.5% |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-17-004017/spsmall-cap600indexfundsx8x1.jpg)
1 The expense ratios shown are from the prospectus dated December 23, 2016, and represent estimated costs for the current fiscal year. For the six months ended February 28, 2017, the annualized expense ratios were 0.16% for ETF Shares and 0.08% for Institutional Shares.
6
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 28, 2017
![](https://capedge.com/proxy/N-CSRS/0000932471-17-004017/spsmall-cap600indexfundsx9x1.jpg)
Note: For 2017, performance data reflect the six months ended February 28, 2017.
Average Annual Total Returns: Periods Ended December 31, 2016
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 | 26.59% | 16.50% | 16.87% | |
Net Asset Value | 26.44 | 16.47 | 16.86 | |
Institutional Shares | 4/1/2011 | 26.52 | 16.55 | 12.88 |
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.
7
S&P Small-Cap 600 Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 28, 2017
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 (13.9%) | |||
* | LCI Industries | 38,510 | 4,148 |
Wolverine World Wide Inc. | 154,299 | 3,884 | |
* | Dorman Products Inc. | 47,451 | 3,709 |
Marriott Vacations | |||
Worldwide Corp. | 38,000 | 3,569 | |
Lithia Motors Inc. Class A | 36,617 | 3,503 | |
* | Dave & Buster’s | ||
Entertainment Inc. | 58,532 | 3,347 | |
* | Five Below Inc. | 85,835 | 3,309 |
* | Steven Madden Ltd. | 85,464 | 3,192 |
ILG Inc. | 165,944 | 3,133 | |
* | Cooper-Standard | ||
Holdings Inc. | 27,609 | 3,092 | |
Monro Muffler Brake Inc. | 50,517 | 2,905 | |
Children’s Place Inc. | 28,210 | 2,858 | |
* | Popeyes Louisiana | ||
Kitchen Inc. | 32,542 | 2,571 | |
* | Boyd Gaming Corp. | 128,508 | 2,528 |
* | TopBuild Corp. | 59,563 | 2,500 |
* | iRobot Corp. | 42,581 | 2,431 |
Group 1 Automotive Inc. | 31,196 | 2,424 | |
Shutterfly Inc. | 53,131 | 2,411 | |
* | American Axle & | ||
Manufacturing | |||
Holdings Inc. | 119,774 | 2,374 | |
Core-Mark Holding Co. Inc. | 72,392 | 2,354 | |
* | Ollie’s Bargain Outlet | ||
Holdings Inc. | 74,534 | 2,337 | |
Nutrisystem Inc. | 45,992 | 2,139 | |
* | Meritage Homes Corp. | 59,031 | 2,099 |
* | Gentherm Inc. | 57,181 | 2,073 |
La-Z-Boy Inc. | 76,687 | 2,071 | |
* | EW Scripps Co. Class A | 89,006 | 2,050 |
Caleres Inc. | 67,967 | 2,030 | |
* | Asbury Automotive | ||
Group Inc. | 30,969 | 2,018 | |
Scholastic Corp. | 42,312 | 1,907 |
* | Genesco Inc. | 32,390 | 1,888 |
MDC Holdings Inc. | 64,595 | 1,886 | |
^ | RH | 60,007 | 1,827 |
Sonic Corp. | 71,773 | 1,814 | |
* | G-III Apparel Group Ltd. | 68,763 | 1,769 |
Tailored Brands Inc. | 76,246 | 1,762 | |
Bob Evans Farms Inc. | 30,943 | 1,755 | |
* | Belmond Ltd. Class A | 132,395 | 1,715 |
* | Select Comfort Corp. | 70,493 | 1,656 |
* | Scientific Games Corp. | ||
Class A | 79,688 | 1,646 | |
DineEquity Inc. | 26,714 | 1,598 | |
Gannett Co. Inc. | 182,814 | 1,594 | |
* | Cavco Industries Inc. | 13,289 | 1,585 |
* | Universal Electronics Inc. | 22,908 | 1,574 |
Standard Motor | |||
Products Inc. | 31,573 | 1,515 | |
Callaway Golf Co. | 147,477 | 1,491 | |
^ | Sturm Ruger & Co. Inc. | 29,716 | 1,481 |
* | Installed Building | ||
Products Inc. | 31,167 | 1,466 | |
* | Express Inc. | 123,008 | 1,383 |
Capella Education Co. | 18,015 | 1,371 | |
Winnebago Industries Inc. | 41,529 | 1,370 | |
Oxford Industries Inc. | 23,468 | 1,319 | |
Abercrombie & Fitch Co. | 106,098 | 1,269 | |
New Media Investment | |||
Group Inc. | 82,129 | 1,267 | |
* | Strayer Education Inc. | 16,336 | 1,267 |
World Wrestling | |||
Entertainment Inc. Class A | 60,333 | 1,266 | |
Guess? Inc. | 96,559 | 1,226 | |
* | Ascena Retail Group Inc. | 265,503 | 1,221 |
* | Fox Factory Holding Corp. | 45,066 | 1,208 |
Wingstop Inc. | 45,206 | 1,189 | |
Ethan Allen Interiors Inc. | 39,891 | 1,147 | |
* | BJ’s Restaurants Inc. | 30,337 | 1,103 |
Finish Line Inc. Class A | 63,735 | 1,039 | |
* | Hibbett Sports Inc. | 35,205 | 1,039 |
^,* | Shake Shack Inc. Class A | 28,205 | 1,011 |
8
S&P Small-Cap 600 Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
* | Francesca’s Holdings Corp. | 59,490 | 1,010 |
Cato Corp. Class A | 39,404 | 985 | |
^ | Fred’s Inc. Class A | 55,121 | 977 |
Marcus Corp. | 29,677 | 926 | |
* | Red Robin Gourmet | ||
Burgers Inc. | 20,247 | 924 | |
* | M/I Homes Inc. | 38,739 | 914 |
* | Tile Shop Holdings Inc. | 51,815 | 912 |
Sonic Automotive Inc. | |||
Class A | 41,253 | 895 | |
* | MarineMax Inc. | 38,756 | 872 |
^ | Buckle Inc. | 43,804 | 869 |
Barnes & Noble Inc. | 86,858 | 851 | |
* | Career Education Corp. | 100,940 | 841 |
* | Motorcar Parts of | ||
America Inc. | 29,334 | 832 | |
* | Fiesta Restaurant Group Inc. | 41,893 | 832 |
Superior Industries | |||
International Inc. | 36,019 | 807 | |
* | Vitamin Shoppe Inc. | 37,296 | 794 |
* | Nautilus Inc. | 48,847 | 786 |
Ruth’s Hospitality Group Inc. | 46,460 | 783 | |
^,* | LGI Homes Inc. | 26,830 | 778 |
* | Crocs Inc. | 115,396 | 767 |
* | Lumber Liquidators | ||
Holdings Inc. | 42,844 | 760 | |
* | Chuy’s Holdings Inc. | 26,346 | 751 |
^ | Rent-A-Center Inc. | 83,391 | 723 |
Haverty Furniture Cos. Inc. | 29,901 | 694 | |
* | Biglari Holdings Inc. | 1,596 | 685 |
* | Iconix Brand Group Inc. | 87,909 | 678 |
* | Regis Corp. | 55,056 | 678 |
PetMed Express Inc. | 32,110 | 676 | |
* | FTD Cos. Inc. | 26,860 | 649 |
* | Unifi Inc. | 23,743 | 648 |
* | American Public | ||
Education Inc. | 25,351 | 612 | |
Movado Group Inc. | 24,173 | 586 | |
* | Barnes & Noble | ||
Education Inc. | 60,353 | 579 | |
Shoe Carnival Inc. | 20,759 | 526 | |
* | Perry Ellis International Inc. | 19,037 | 443 |
* | Monarch Casino & | ||
Resort Inc. | 17,170 | 437 | |
* | El Pollo Loco Holdings Inc. | 33,701 | 421 |
* | Arctic Cat Inc. | 20,488 | 379 |
^ | Big 5 Sporting Goods Corp. | 27,835 | 374 |
* | Kirkland’s Inc. | 22,950 | 259 |
* | Zumiez Inc. | 10,761 | 220 |
* | Vera Bradley Inc. | 7,758 | 81 |
* | Tuesday Morning Corp. | 3,101 | 11 |
* | Ruby Tuesday Inc. | 2,328 | 4 |
Stein Mart Inc. | 1,197 | 4 | |
158,916 |
Consumer Staples (2.7%) | |||
B&G Foods Inc. | 103,861 | 4,414 | |
* | Darling Ingredients Inc. | 257,575 | 3,351 |
J&J Snack Foods Corp. | 23,375 | 3,128 | |
Sanderson Farms Inc. | 31,077 | 2,954 | |
Universal Corp. | 39,531 | 2,676 | |
WD-40 Co. | 22,253 | 2,446 | |
SpartanNash Co. | 58,677 | 2,048 | |
^ | Cal-Maine Foods Inc. | 46,600 | 1,768 |
* | Central Garden & Pet Co. | ||
Class A | 52,556 | 1,679 | |
Andersons Inc. | 40,804 | 1,614 | |
* | SUPERVALU Inc. | 417,001 | 1,576 |
Calavo Growers Inc. | 24,128 | 1,361 | |
Inter Parfums Inc. | 26,798 | 927 | |
Medifast Inc. | 17,446 | 782 | |
* | Central Garden & Pet Co. | 15,783 | 533 |
* | Seneca Foods Corp. Class A | 9,801 | 368 |
31,625 | |||
Energy (3.2%) | |||
* | PDC Energy Inc. | 87,301 | 5,901 |
US Silica Holdings Inc. | 112,094 | 5,669 | |
* | Carrizo Oil & Gas Inc. | 95,763 | 3,117 |
^,* | Synergy Resources Corp. | 313,906 | 2,565 |
* | Unit Corp. | 80,676 | 2,190 |
* | SEACOR Holdings Inc. | 25,318 | 1,743 |
* | Helix Energy Solutions | ||
Group Inc. | 209,175 | 1,728 | |
* | Exterran Corp. | 48,949 | 1,490 |
Archrock Inc. | 108,948 | 1,487 | |
Green Plains Inc. | 56,066 | 1,404 | |
^,* | Atwood Oceanics Inc. | 114,176 | 1,200 |
* | Newpark Resources Inc. | 132,765 | 1,022 |
* | TETRA Technologies Inc. | 180,058 | 808 |
Bristow Group Inc. | 50,123 | 787 | |
* | REX American Resources | ||
Corp. | 8,885 | 739 | |
* | Matrix Service Co. | 41,642 | 675 |
* | Bill Barrett Corp. | 118,669 | 654 |
* | Pioneer Energy Services | ||
Corp. | 120,029 | 630 | |
* | Tesco Corp. | 72,785 | 608 |
* | Cloud Peak Energy Inc. | 117,465 | 586 |
* | CARBO Ceramics Inc. | 32,869 | 422 |
* | Geospace Technologies | ||
Corp. | 20,850 | 344 | |
Gulf Island Fabrication Inc. | 21,273 | 242 | |
^,* | Northern Oil and Gas Inc. | 68,184 | 205 |
* | Era Group Inc. | 9,962 | 137 |
* | Hornbeck Offshore | ||
Services Inc. | 9,065 | 41 | |
* | Contango Oil & Gas Co. | 3,953 | 29 |
* | Tidewater Inc. | 5,066 | 7 |
36,430 |
9
S&P Small-Cap 600 Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Financials (18.2%) | |||
* | Texas Capital | ||
Bancshares Inc. | 76,654 | 6,834 | |
Wintrust Financial Corp. | 80,967 | 5,967 | |
United Bankshares Inc. | 126,345 | 5,654 | |
Home BancShares Inc. | 193,285 | 5,439 | |
Sterling Bancorp | 204,567 | 5,063 | |
Pinnacle Financial | |||
Partners Inc. | 72,006 | 4,997 | |
ProAssurance Corp. | 83,275 | 4,922 | |
Evercore Partners Inc. | |||
Class A | 60,866 | 4,842 | |
First Financial | |||
Bankshares Inc. | 103,320 | 4,546 | |
Glacier Bancorp Inc. | 119,681 | 4,419 | |
Hope Bancorp Inc. | 198,810 | 4,255 | |
Community Bank | |||
System Inc. | 69,411 | 4,124 | |
Selective Insurance | |||
Group Inc. | 90,484 | 4,008 | |
Great Western Bancorp Inc. | 91,827 | 3,925 | |
Interactive Brokers | |||
Group Inc. | 106,323 | 3,903 | |
Old National Bancorp | 211,108 | 3,874 | |
CVB Financial Corp. | 157,280 | 3,735 | |
American Equity Investment | |||
Life Holding Co. | 137,783 | 3,708 | |
Financial Engines Inc. | 83,344 | 3,692 | |
Columbia Banking | |||
System Inc. | 90,774 | 3,621 | |
RLI Corp. | 59,753 | 3,493 | |
FirstCash Inc. | 75,863 | 3,364 | |
United Community | |||
Banks Inc. | 110,991 | 3,207 | |
First Midwest Bancorp Inc. | 126,501 | 3,090 | |
* | PRA Group Inc. | 72,614 | 2,963 |
ServisFirst Bancshares Inc. | 69,164 | 2,875 | |
Northwest Bancshares Inc. | 158,433 | 2,874 | |
^,* | BofI Holding Inc. | 90,087 | 2,841 |
LegacyTexas Financial | |||
Group Inc. | 65,003 | 2,768 | |
Independent Bank Corp. | 42,228 | 2,745 | |
NBT Bancorp Inc. | 67,580 | 2,729 | |
First Financial Bancorp | 97,070 | 2,694 | |
Simmons First National Corp. | |||
Class A | 46,462 | 2,672 | |
Ameris Bancorp | 54,689 | 2,641 | |
Horace Mann Educators | |||
Corp. | 62,992 | 2,639 | |
Astoria Financial Corp. | 142,634 | 2,637 | |
Provident Financial | |||
Services Inc. | 94,303 | 2,504 | |
Banner Corp. | 41,452 | 2,409 | |
Westamerica Bancorporation | 40,296 | 2,331 |
Boston Private Financial | |||
Holdings Inc. | 130,053 | 2,237 | |
* | Green Dot Corp. Class A | 69,282 | 2,031 |
S&T Bancorp Inc. | 54,684 | 1,946 | |
First Commonwealth | |||
Financial Corp. | 139,423 | 1,942 | |
AMERISAFE Inc. | 30,167 | 1,940 | |
Navigators Group Inc. | 34,753 | 1,913 | |
Employers Holdings Inc. | 50,231 | 1,889 | |
Maiden Holdings Ltd. | 114,555 | 1,770 | |
* | Walker & Dunlop Inc. | 43,523 | 1,769 |
Brookline Bancorp Inc. | 110,475 | 1,751 | |
Tompkins Financial Corp. | 19,101 | 1,714 | |
Hanmi Financial Corp. | 50,519 | 1,687 | |
Infinity Property & Casualty | |||
Corp. | 17,375 | 1,638 | |
Stewart Information Services | |||
Corp. | 36,706 | 1,630 | |
Cardinal Financial Corp. | 51,385 | 1,605 | |
Capstead Mortgage Corp. | 150,342 | 1,591 | |
Safety Insurance Group Inc. | 22,377 | 1,589 | |
Piper Jaffray Cos. | 22,346 | 1,581 | |
* | First BanCorp | 245,295 | 1,565 |
City Holding Co. | 23,584 | 1,545 | |
Central Pacific Financial Corp. | 48,393 | 1,528 | |
* | Customers Bancorp Inc. | 44,143 | 1,515 |
Banc of California Inc. | 77,656 | 1,510 | |
Southside Bancshares Inc. | 41,158 | 1,450 | |
United Fire Group Inc. | 33,861 | 1,430 | |
Universal Insurance | |||
Holdings Inc. | 51,102 | 1,377 | |
National Bank Holdings | |||
Corp. Class A | 40,767 | 1,345 | |
* | LendingTree Inc. | 11,312 | 1,339 |
Northfield Bancorp Inc. | 70,284 | 1,319 | |
Greenhill & Co. Inc. | 42,672 | 1,261 | |
TrustCo Bank Corp. NY | 149,938 | 1,252 | |
* | Encore Capital Group Inc. | 36,770 | 1,224 |
Virtus Investment | |||
Partners Inc. | 10,165 | 1,115 | |
* | HomeStreet Inc. | 39,458 | 1,077 |
Dime Community | |||
Bancshares Inc. | 48,910 | 1,052 | |
Oritani Financial Corp. | 59,530 | 1,024 | |
Investment Technology | |||
Group Inc. | 48,561 | 972 | |
* | Donnelley Financial | ||
Solutions Inc. | 41,311 | 955 | |
OFG Bancorp | 69,003 | 890 | |
* | INTL. FCStone Inc. | 23,453 | 885 |
Fidelity Southern Corp. | 33,212 | 783 | |
* | EZCORP Inc. Class A | 76,074 | 669 |
HCI Group Inc. | 13,339 | 658 | |
Bank Mutual Corp. | 65,836 | 639 | |
Opus Bank | 28,562 | 617 |
10
S&P Small-Cap 600 Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
* | Enova International Inc. | 36,578 | 525 |
* | World Acceptance Corp. | 2,920 | 153 |
* | eHealth Inc. | 10,716 | 117 |
United Insurance Holdings | |||
Corp. | 3,636 | 61 | |
* | First NBC Bank Holding Co. | 759 | 3 |
209,082 | |||
Health Care (12.4%) | |||
* | Masimo Corp. | 69,146 | 6,248 |
* | Medicines Co. | 108,805 | 5,704 |
* | Medidata Solutions Inc. | 85,577 | 4,786 |
Cantel Medical Corp. | 56,761 | 4,661 | |
Chemed Corp. | 25,373 | 4,530 | |
* | Integra LifeSciences | ||
Holdings Corp. | 93,554 | 3,999 | |
* | Neogen Corp. | 58,987 | 3,826 |
* | ICU Medical Inc. | 23,213 | 3,491 |
* | Nektar Therapeutics | ||
Class A | 239,026 | 3,126 | |
* | Zeltiq Aesthetics Inc. | 56,355 | 3,120 |
* | Ligand Pharmaceuticals Inc. | 29,744 | 3,112 |
* | AMN Healthcare | ||
Services Inc. | 75,212 | 3,095 | |
* | Haemonetics Corp. | 80,909 | 3,020 |
* | HealthEquity Inc. | 67,226 | 2,938 |
* | Cambrex Corp. | 50,281 | 2,833 |
* | Magellan Health Inc. | 36,409 | 2,518 |
* | Surgical Care Affiliates Inc. | 43,694 | 2,478 |
* | HMS Holdings Corp. | 132,703 | 2,472 |
* | Cynosure Inc. Class A | 37,321 | 2,463 |
* | Select Medical Holdings | ||
Corp. | 167,883 | 2,418 | |
* | Omnicell Inc. | 57,294 | 2,179 |
* | Merit Medical Systems Inc. | 69,785 | 2,149 |
* | Amedisys Inc. | 43,742 | 2,109 |
Myriad Genetics Inc. | 107,161 | 2,082 | |
* | Varex Imaging Corp. | 58,689 | 2,044 |
* | Supernus | ||
Pharmaceuticals Inc. | 77,546 | 1,993 | |
* | Air Methods Corp. | 51,877 | 1,964 |
* | Natus Medical Inc. | 51,690 | 1,914 |
* | Acorda Therapeutics Inc. | 72,197 | 1,910 |
Abaxis Inc. | 35,396 | 1,765 | |
* | Community Health | ||
Systems Inc. | 178,479 | 1,740 | |
* | Inogen Inc. | 25,152 | 1,726 |
* | Emergent BioSolutions Inc. | 53,921 | 1,692 |
* | Repligen Corp. | 52,998 | 1,670 |
* | Impax Laboratories Inc. | 115,787 | 1,650 |
CONMED Corp. | 38,888 | 1,619 | |
Analogic Corp. | 19,573 | 1,612 | |
* | Depomed Inc. | 96,655 | 1,584 |
* | Integer Holdings Corp. | 43,025 | 1,555 |
* | Momenta | ||
Pharmaceuticals Inc. | 100,090 | 1,546 |
* | Tivity Health Inc. | 52,275 | 1,511 |
US Physical Therapy Inc. | 19,687 | 1,489 | |
Ensign Group Inc. | 74,612 | 1,406 | |
* | Innoviva Inc. | 121,116 | 1,399 |
^,* | MiMedx Group Inc. | 157,784 | 1,352 |
Progenics | |||
Pharmaceuticals Inc. | 109,613 | 1,232 | |
* | AMAG Pharmaceuticals Inc. | 53,652 | 1,205 |
Kindred Healthcare Inc. | 133,551 | 1,202 | |
* | PharMerica Corp. | 48,220 | 1,186 |
* | Luminex Corp. | 62,134 | 1,154 |
* | LHC Group Inc. | 23,447 | 1,126 |
* | BioTelemetry Inc. | 44,173 | 1,124 |
* | Quality Systems Inc. | 72,174 | 1,101 |
* | Anika Therapeutics Inc. | 22,906 | 1,072 |
^,* | Lannett Co. Inc. | 45,987 | 1,012 |
* | HealthStream Inc. | 39,778 | 973 |
* | Eagle Pharmaceuticals Inc. | 12,406 | 951 |
* | Diplomat Pharmacy Inc. | 67,326 | 912 |
* | Almost Family Inc. | 18,114 | 899 |
* | Amphastar | ||
Pharmaceuticals Inc. | 56,230 | 870 | |
Meridian Bioscience Inc. | 65,964 | 848 | |
Phibro Animal Health Corp. | |||
Class A | 29,195 | 813 | |
* | AngioDynamics Inc. | 49,360 | 807 |
* | Cross Country | ||
Healthcare Inc. | 51,798 | 801 | |
* | SciClone | ||
Pharmaceuticals Inc. | 79,948 | 792 | |
Landauer Inc. | 15,139 | 791 | |
* | Providence Service Corp. | 19,078 | 775 |
* | ANI Pharmaceuticals Inc. | 12,512 | 739 |
Aceto Corp. | 47,168 | 724 | |
* | CryoLife Inc. | 42,151 | 674 |
* | Enanta Pharmaceuticals Inc. | 21,898 | 631 |
* | CorVel Corp. | 15,574 | 629 |
* | Albany Molecular | ||
Research Inc. | 34,972 | 524 | |
* | Surmodics Inc. | 20,778 | 514 |
Sucampo Pharmaceuticals | |||
Inc. Class A | 38,797 | 456 | |
* | Quorum Health Corp. | 37,243 | 318 |
Invacare Corp. | 20,852 | 252 | |
* | Spectrum | ||
Pharmaceuticals Inc. | 38,558 | 247 | |
^ | Computer Programs & | ||
Systems Inc. | 2,133 | 57 | |
* | Adeptus Health Inc. Class A | 585 | 4 |
141,913 | |||
Industrials (18.7%) | |||
Healthcare Services | |||
Group Inc. | 113,523 | 4,698 | |
* | WageWorks Inc. | 57,307 | 4,413 |
11
S&P Small-Cap 600 Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
John Bean Technologies | |||
Corp. | 45,600 | 4,077 | |
* | Hawaiian Holdings Inc. | 83,556 | 4,065 |
Barnes Group Inc. | 78,270 | 3,922 | |
Applied Industrial | |||
Technologies Inc. | 61,006 | 3,846 | |
Brink’s Co. | 70,225 | 3,754 | |
Mueller Industries Inc. | 89,738 | 3,753 | |
* | On Assignment Inc. | 76,206 | 3,596 |
Tetra Tech Inc. | 89,240 | 3,592 | |
Hillenbrand Inc. | 98,617 | 3,585 | |
Allegiant Travel Co. Class A | 20,449 | 3,560 | |
ABM Industries Inc. | 87,229 | 3,558 | |
* | Moog Inc. Class A | 50,273 | 3,397 |
Knight Transportation Inc. | 103,891 | 3,397 | |
Matthews International | |||
Corp. Class A | 50,268 | 3,310 | |
UniFirst Corp. | 24,123 | 3,211 | |
* | Trex Co. Inc. | 45,971 | 3,126 |
Universal Forest | |||
Products Inc. | 31,798 | 3,047 | |
G&K Services Inc. Class A | 30,843 | 2,915 | |
SkyWest Inc. | 81,031 | 2,848 | |
Brady Corp. Class A | 74,100 | 2,834 | |
Korn/Ferry International | 90,706 | 2,804 | |
Watts Water Technologies | |||
Inc. Class A | 43,557 | 2,785 | |
* | Mercury Systems Inc. | 73,726 | 2,754 |
Simpson Manufacturing | |||
Co. Inc. | 63,319 | 2,733 | |
* | Hub Group Inc. Class A | 51,920 | 2,622 |
Apogee Enterprises Inc. | 45,198 | 2,584 | |
Franklin Electric Co. Inc. | 60,180 | 2,522 | |
Insperity Inc. | 29,624 | 2,466 | |
Actuant Corp. Class A | 92,317 | 2,451 | |
AZZ Inc. | 40,819 | 2,394 | |
Forward Air Corp. | 47,753 | 2,366 | |
Exponent Inc. | 40,176 | 2,308 | |
Matson Inc. | 67,141 | 2,278 | |
Mobile Mini Inc. | 69,795 | 2,272 | |
* | SPX FLOW Inc. | 65,723 | 2,235 |
* | Atlas Air Worldwide | ||
Holdings Inc. | 39,207 | 2,229 | |
Comfort Systems USA Inc. | 57,814 | 2,206 | |
Kaman Corp. | 42,560 | 2,203 | |
ESCO Technologies Inc. | 40,373 | 2,188 | |
EnPro Industries Inc. | 33,498 | 2,187 | |
Triumph Group Inc. | 77,587 | 2,157 | |
* | Aerojet Rocketdyne | ||
Holdings Inc. | 109,668 | 2,126 | |
* | TASER International Inc. | 81,817 | 2,100 |
AAON Inc. | 61,949 | 2,085 | |
* | Proto Labs Inc. | 38,135 | 2,082 |
Wabash National Corp. | 97,368 | 2,059 | |
Cubic Corp. | 39,136 | 2,057 |
Albany International Corp. | 45,261 | 2,053 | |
* | Gibraltar Industries Inc. | 49,057 | 2,033 |
Tennant Co. | 27,646 | 1,942 | |
Interface Inc. Class A | 101,377 | 1,916 | |
Standex International Corp. | 19,962 | 1,906 | |
* | American Woodmark Corp. | 21,960 | 1,898 |
* | Saia Inc. | 39,250 | 1,898 |
Astec Industries Inc. | 30,028 | 1,897 | |
Greenbrier Cos. Inc. | 44,534 | 1,873 | |
RR Donnelley & Sons Co. | 109,391 | 1,834 | |
* | Patrick Industries Inc. | 22,878 | 1,827 |
* | Harsco Corp. | 125,717 | 1,773 |
US Ecology Inc. | 34,159 | 1,734 | |
* | SPX Corp. | 65,622 | 1,731 |
* | TrueBlue Inc. | 66,548 | 1,727 |
* | Navigant Consulting Inc. | 73,655 | 1,716 |
AAR Corp. | 49,724 | 1,711 | |
* | Chart Industries Inc. | 48,025 | 1,709 |
Raven Industries Inc. | 56,664 | 1,674 | |
CIRCOR International Inc. | 25,810 | 1,603 | |
* | Team Inc. | 46,267 | 1,589 |
Encore Wire Corp. | 32,540 | 1,546 | |
Viad Corp. | 31,906 | 1,506 | |
Multi-Color Corp. | 20,752 | 1,488 | |
Briggs & Stratton Corp. | 67,146 | 1,437 | |
Heartland Express Inc. | 67,888 | 1,408 | |
Federal Signal Corp. | 93,964 | 1,398 | |
* | Lydall Inc. | 26,958 | 1,367 |
Lindsay Corp. | 16,720 | 1,339 | |
General Cable Corp. | 77,174 | 1,289 | |
* | Aegion Corp. Class A | 53,297 | 1,213 |
LSC Communications Inc. | 41,563 | 1,181 | |
Griffon Corp. | 46,661 | 1,174 | |
Alamo Group Inc. | 14,852 | 1,116 | |
ArcBest Corp. | 37,404 | 1,098 | |
Quanex Building Products | |||
Corp. | 53,730 | 1,050 | |
Insteel Industries Inc. | 27,445 | 991 | |
Kelly Services Inc. Class A | 45,841 | 980 | |
* | MYR Group Inc. | 25,263 | 948 |
* | Echo Global Logistics Inc. | 43,081 | 941 |
Essendant Inc. | 57,847 | 922 | |
Titan International Inc. | 68,682 | 909 | |
Marten Transport Ltd. | 36,362 | 893 | |
* | Aerovironment Inc. | 32,296 | 873 |
* | Engility Holdings Inc. | 27,750 | 869 |
* | DXP Enterprises Inc. | 24,266 | 849 |
* | Veritiv Corp. | 14,829 | 825 |
Resources Connection Inc. | 46,254 | 782 | |
* | PGT Innovations Inc. | 76,845 | 772 |
* | National Presto Industries Inc. | 7,736 | 771 |
Heidrick & Struggles | |||
International Inc. | 29,206 | 714 | |
Powell Industries Inc. | 13,387 | 437 | |
* | Orion Group Holdings Inc. | 43,691 | 409 |
12
S&P Small-Cap 600 Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
* | Vicor Corp. | 25,090 | 408 |
* | Roadrunner Transportation | ||
Systems Inc. | 48,054 | 362 | |
* | CDI Corp. | 21,683 | 198 |
Celadon Group Inc. | 5,597 | 45 | |
214,309 | |||
Information Technology (15.2%) | |||
* | Take-Two Interactive | ||
Software Inc. | 158,599 | 9,037 | |
* | Coherent Inc. | 38,399 | 7,011 |
MKS Instruments Inc. | 83,811 | 5,498 | |
Blackbaud Inc. | 74,416 | 5,322 | |
* | CACI International Inc. | ||
Class A | 38,128 | 4,781 | |
* | Sanmina Corp. | 114,826 | 4,478 |
* | Lumentum Holdings Inc. | 85,578 | 3,928 |
* | Advanced Energy | ||
Industries Inc. | 62,072 | 3,855 | |
* | Anixter International Inc. | 44,460 | 3,704 |
* | Viavi Solutions Inc. | 359,906 | 3,606 |
* | TiVo Corp. | 186,981 | 3,459 |
* | Semtech Corp. | 102,677 | 3,435 |
* | Electronics For Imaging Inc. | 73,168 | 3,371 |
* | Itron Inc. | 52,055 | 3,368 |
* | Stamps.com Inc. | 24,801 | 3,127 |
* | Cardtronics plc Class A | 70,910 | 3,126 |
* | II-VI Inc. | 84,822 | 3,020 |
* | Plexus Corp. | 52,457 | 2,941 |
Power Integrations Inc. | 45,574 | 2,880 | |
* | NETGEAR Inc. | 51,734 | 2,835 |
* | MicroStrategy Inc. Class A | 14,696 | 2,820 |
Xperi Corp. | 75,984 | 2,724 | |
Cabot Microelectronics Corp. | 37,926 | 2,625 | |
Methode Electronics Inc. | 57,879 | 2,402 | |
* | Fabrinet | 57,648 | 2,395 |
* | Benchmark Electronics Inc. | 76,506 | 2,379 |
* | Insight Enterprises Inc. | 55,671 | 2,358 |
* | ExlService Holdings Inc. | 52,593 | 2,349 |
* | Rogers Corp. | 28,212 | 2,328 |
* | Kulicke & Soffa | ||
Industries Inc. | 111,223 | 2,277 | |
Brooks Automation Inc. | 108,135 | 2,256 | |
^ | Ebix Inc. | 35,085 | 2,193 |
Progress Software Corp. | 76,115 | 2,183 | |
* | Rambus Inc. | 172,933 | 2,172 |
* | OSI Systems Inc. | 28,436 | 2,145 |
* | 8x8 Inc. | 141,865 | 2,142 |
* | TTM Technologies Inc. | 132,132 | 2,135 |
NIC Inc. | 97,345 | 2,054 | |
CSG Systems | |||
International Inc. | 50,664 | 1,997 | |
* | Ixia | 99,028 | 1,941 |
* | Synchronoss | ||
Technologies Inc. | 65,952 | 1,786 | |
* | Veeco Instruments Inc. | 63,708 | 1,742 |
* | Sykes Enterprises Inc. | 61,852 | 1,684 |
Badger Meter Inc. | 45,595 | 1,669 | |
ADTRAN Inc. | 75,803 | 1,603 | |
* | ScanSource Inc. | 39,422 | 1,587 |
* | Qualys Inc. | 45,310 | 1,584 |
* | Super Micro Computer Inc. | 58,716 | 1,527 |
* | SPS Commerce Inc. | 26,748 | 1,480 |
ManTech International Corp. | |||
Class A | 39,723 | 1,455 | |
* | Diodes Inc. | 60,710 | 1,449 |
MTS Systems Corp. | 26,205 | 1,440 | |
* | Bottomline Technologies | ||
de Inc. | 57,444 | 1,433 | |
* | Virtusa Corp. | 43,277 | 1,342 |
* | Cray Inc. | 63,866 | 1,332 |
^,* | Shutterstock Inc. | 30,263 | 1,320 |
Monotype Imaging | |||
Holdings Inc. | 65,266 | 1,315 | |
* | ePlus Inc. | 10,357 | 1,315 |
CTS Corp. | 51,310 | 1,124 | |
* | CEVA Inc. | 33,400 | 1,116 |
* | Ultratech Inc. | 37,150 | 1,072 |
* | Nanometrics Inc. | 39,112 | 1,064 |
* | Rudolph Technologies Inc. | 48,605 | 1,045 |
* | Perficient Inc. | 56,459 | 1,026 |
* | Blucora Inc. | 60,087 | 937 |
* | CalAmp Corp. | 56,846 | 921 |
* | FARO Technologies Inc. | 26,150 | 902 |
TeleTech Holdings Inc. | 24,853 | 753 | |
* | XO Group Inc. | 39,126 | 721 |
* | Exar Corp. | 66,009 | 690 |
* | Harmonic Inc. | 122,823 | 663 |
Cohu Inc. | 39,181 | 652 | |
* | VASCO Data Security | ||
International Inc. | 47,356 | 616 | |
* | LivePerson Inc. | 83,882 | 591 |
Daktronics Inc. | 63,013 | 590 | |
Forrester Research Inc. | 15,818 | 577 | |
Park Electrochemical Corp. | 29,947 | 573 | |
* | Digi International Inc. | 40,942 | 504 |
* | DHI Group Inc. | 78,446 | 388 |
* | DSP Group Inc. | 34,296 | 358 |
Bel Fuse Inc. Class B | 13,613 | 355 | |
* | Kopin Corp. | 96,273 | 340 |
* | Electro Scientific | ||
Industries Inc. | 50,827 | 340 | |
* | Agilysys Inc. | 23,880 | 217 |
* | Liquidity Services Inc. | 11,911 | 97 |
* | Tangoe Inc. | 16,021 | 92 |
Comtech | |||
Telecommunications Corp. | 6,057 | 69 | |
* | QuinStreet Inc. | 11,083 | 36 |
Black Box Corp. | 2,938 | 26 | |
174,175 |
13
S&P Small-Cap 600 Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Materials (5.6%) | |||
Balchem Corp. | 49,610 | 4,325 | |
* | AK Steel Holding Corp. | 489,544 | 4,078 |
HB Fuller Co. | 78,653 | 3,886 | |
* | Ingevity Corp. | 65,866 | 3,555 |
* | Stillwater Mining Co. | 189,434 | 3,232 |
KapStone Paper and | |||
Packaging Corp. | 137,519 | 3,108 | |
Quaker Chemical Corp. | 20,733 | 2,730 | |
* | Headwaters Inc. | 116,060 | 2,669 |
Innospec Inc. | 37,539 | 2,451 | |
Stepan Co. | 30,597 | 2,313 | |
Kaiser Aluminum Corp. | 28,117 | 2,216 | |
Schweitzer-Mauduit | |||
International Inc. | 47,830 | 1,962 | |
Neenah Paper Inc. | 26,297 | 1,926 | |
* | Boise Cascade Co. | 60,875 | 1,650 |
Innophos Holdings Inc. | 30,416 | 1,612 | |
A Schulman Inc. | 46,052 | 1,554 | |
PH Glatfelter Co. | 68,314 | 1,510 | |
* | Clearwater Paper Corp. | 26,275 | 1,461 |
* | Koppers Holdings Inc. | 32,452 | 1,423 |
* | US Concrete Inc. | 22,342 | 1,408 |
* | Kraton Corp. | 48,520 | 1,321 |
* | AdvanSix Inc. | 47,846 | 1,305 |
* | TimkenSteel Corp. | 61,030 | 1,277 |
Deltic Timber Corp. | 16,638 | 1,237 | |
^,* | Flotek Industries Inc. | 84,477 | 1,142 |
Calgon Carbon Corp. | 79,395 | 1,120 | |
* | Century Aluminum Co. | 77,943 | 1,098 |
Materion Corp. | 31,229 | 1,088 | |
* | SunCoke Energy Inc. | 100,509 | 980 |
Rayonier Advanced | |||
Materials Inc. | 67,866 | 900 | |
Haynes International Inc. | 19,691 | 769 | |
Tredegar Corp. | 39,497 | 750 | |
Hawkins Inc. | 14,961 | 740 | |
American Vanguard Corp. | 40,469 | 637 | |
Myers Industries Inc. | 34,417 | 484 | |
FutureFuel Corp. | 35,823 | 474 | |
Olympic Steel Inc. | 14,324 | 346 | |
^,* | LSB Industries Inc. | 5,679 | 62 |
64,799 | |||
Other (0.0%)2 | |||
* | Gerber Scientific Inc. CVR | 4,758 | — |
Real Estate (6.3%) | |||
GEO Group Inc. | 117,315 | 5,585 | |
CoreSite Realty Corp. | 53,011 | 4,775 | |
Acadia Realty Trust | 126,465 | 4,051 | |
EastGroup Properties Inc. | 51,208 | 3,807 | |
Retail Opportunity | |||
Investments Corp. | 170,935 | 3,761 | |
Lexington Realty Trust | 333,719 | 3,724 | |
PS Business Parks Inc. | 30,537 | 3,549 |
DiamondRock | |||
Hospitality Co. | 313,350 | 3,406 | |
LTC Properties Inc. | 61,351 | 2,960 | |
Kite Realty Group Trust | 130,662 | 2,959 | |
Sabra Health Care REIT Inc. | 102,219 | 2,780 | |
American Assets Trust Inc. | 62,815 | 2,764 | |
Government Properties | |||
Income Trust | 111,509 | 2,298 | |
Chesapeake Lodging Trust | 94,026 | 2,272 | |
Summit Hotel | |||
Properties Inc. | 136,746 | 2,104 | |
Four Corners Property | |||
Trust Inc. | 93,855 | 2,082 | |
Franklin Street Properties | |||
Corp. | 167,922 | 2,081 | |
Agree Realty Corp. | 41,066 | 2,038 | |
Pennsylvania REIT | 108,808 | 1,795 | |
HFF Inc. Class A | 54,925 | 1,629 | |
RE/MAX Holdings Inc. | |||
Class A | 27,730 | 1,594 | |
CareTrust REIT Inc. | 100,883 | 1,592 | |
* | Parkway Inc. | 67,024 | 1,406 |
Hersha Hospitality Trust | |||
Class A | 65,592 | 1,280 | |
Universal Health Realty | |||
Income Trust | 19,597 | 1,258 | |
Saul Centers Inc. | 18,517 | 1,186 | |
Getty Realty Corp. | 41,659 | 1,099 | |
Urstadt Biddle Properties | |||
Inc. Class A | 45,275 | 1,009 | |
Cedar Realty Trust Inc. | 118,829 | 697 | |
* | Forestar Group Inc. | 41,739 | 555 |
72,096 | |||
Telecommunication Services (0.9%) | |||
Cogent Communications | |||
Holdings Inc. | 64,123 | 2,658 | |
Consolidated | |||
Communications | |||
Holdings Inc. | 79,487 | 1,793 | |
* | Cincinnati Bell Inc. | 65,890 | 1,272 |
ATN International Inc. | 16,656 | 1,139 | |
* | Iridium Communications Inc. | 126,021 | 1,096 |
* | General Communication Inc. | ||
Class A | 41,748 | 841 | |
* | Lumos Networks Corp. | 37,151 | 658 |
Spok Holdings Inc. | 32,267 | 587 | |
10,044 | |||
Utilities (2.6%) | |||
ALLETE Inc. | 77,353 | 5,199 | |
Spire Inc. | 71,403 | 4,705 | |
South Jersey Industries Inc. | 123,972 | 4,341 | |
Avista Corp. | 100,381 | 4,002 | |
El Paso Electric Co. | 63,471 | 3,101 | |
California Water Service | |||
Group | 75,134 | 2,761 |
14
S&P Small-Cap 600 Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Northwest Natural Gas Co. | 44,684 | 2,686 | |
American States Water Co. | 57,249 | 2,560 | |
29,355 | |||
Total Common Stocks | |||
(Cost $1,019,752) | 1,142,744 | ||
Temporary Cash Investments (0.5%)1 | |||
Money Market Fund (0.5%) | |||
3,4 | Vanguard Market Liquidity | ||
Fund, 0.864% | 57,696 | 5,770 | |
Face | |||
Amount | |||
($000) | |||
U.S. Government and Agency Obligations (0.0%) | |||
5 | United States Treasury Bill, | ||
0.591%, 5/18/17 | 100 | 100 | |
5 | United States Treasury Bill, | ||
0.618%, 5/25/17 | 100 | 100 | |
5 | United States Treasury Bill, | ||
0.607%, 6/8/17 | 100 | 100 | |
300 | |||
Total Temporary Cash Investments | |||
(Cost $6,069) | 6,070 | ||
Total Investments (100.2%) | |||
(Cost $1,025,821) | 1,148,814 |
Amount | |
($000) | |
Other Assets and Liabilities (-0.2%) | |
Other Assets | |
Receivables for Investment Securities Sold 12 | |
Investment in Vanguard | 79 |
Receivables for Accrued Income | 720 |
Receivables for Capital Shares Issued | 230 |
Other Assets | 3,475 |
Total Other Assets | 4,516 |
Liabilities | |
Payables for Investment | |
Securities Purchased | (880) |
Collateral for Securities on Loan | (5,767) |
Payables for Capital Shares Redeemed | (279) |
Payables to Vanguard | (196) |
Other Liabilities | (44) |
Total Liabilities | (7,166) |
Net Assets (100%) | 1,146,164 |
15
S&P Small-Cap 600 Index Fund
At February 28, 2017, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 1,031,856 |
Undistributed Net Investment Income | 895 |
Accumulated Net Realized Losses | (9,615) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 122,993 |
Futures Contracts | 35 |
Net Assets | 1,146,164 |
ETF Shares—Net Assets | |
Applicable to 4,700,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 591,219 |
Net Asset Value Per Share— | |
ETF Shares | $125.79 |
Institutional Shares—Net Assets | |
Applicable to 2,195,183 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 554,945 |
Net Asset Value Per Share— | |
Institutional Shares | $252.80 |
• 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 $5,489,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures
investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.2%, respectively, of
net assets.
2 “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 $5,767,000 of collateral received for securities on loan.
5 Securities with a value of $300,000 have been segregated as initial margin for open futures contracts.
CVR—Contingent Value Rights.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
16
S&P Small-Cap 600 Index Fund
Statement of Operations | |
Six Months Ended | |
February 28, 2017 | |
($000) | |
Investment Income | |
Income | |
Dividends | 5,387 |
Interest1 | 20 |
Securities Lending—Net | 113 |
Total Income | 5,520 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 68 |
Management and Administrative—ETF Shares | 238 |
Management and Administrative—Institutional Shares | 105 |
Marketing and Distribution—ETF Shares | 17 |
Marketing and Distribution—Institutional Shares | 7 |
Custodian Fees | 69 |
Shareholders’ Reports—ETF Shares | 13 |
Shareholders’ Reports—Institutional Shares | 2 |
Total Expenses | 519 |
Net Investment Income | 5,001 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | 14,251 |
Futures Contracts | 93 |
Realized Net Gain (Loss) | 14,344 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 81,129 |
Futures Contracts | 8 |
Change in Unrealized Appreciation (Depreciation) | 81,137 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 100,482 |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $19,000 and $0, respectively.
See accompanying Notes, which are an integral part of the Financial Statements.
17
S&P Small-Cap 600 Index Fund
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
February 28, | August 31, | |
2017 | 2016 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 5,001 | 7,230 |
Realized Net Gain (Loss) | 14,344 | 21,804 |
Change in Unrealized Appreciation (Depreciation) | 81,137 | 43,900 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 100,482 | 72,934 |
Distributions | ||
Net Investment Income | ||
ETF Shares | (4,355) | (2,746) |
Institutional Shares | (4,245) | (3,398) |
Realized Capital Gain | ||
ETF Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (8,600) | (6,144) |
Capital Share Transactions | ||
ETF Shares | 202,553 | 104,022 |
Institutional Shares | 178,439 | 58,790 |
Net Increase (Decrease) from Capital Share Transactions | 380,992 | 162,812 |
Total Increase (Decrease) | 472,874 | 229,602 |
Net Assets | ||
Beginning of Period | 673,290 | 443,688 |
End of Period1 | 1,146,164 | 673,290 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $895,000 and $4,494,000.
See accompanying Notes, which are an integral part of the Financial Statements.
18
S&P Small-Cap 600 Index Fund
Financial Highlights | |||||||
ETF Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $112.23 | $100.42 | $99.81 | $84.98 | $68.12 | $58.84 | |
Investment Operations | |||||||
Net Investment Income | . 6641 | 1.3751 | 1.204 | .976 | 1.024 | .745 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | 14.081 | 11.683 | .497 | 14.697 | 16.854 | 9.012 | |
Total from Investment Operations | 14.745 | 13.058 | 1.701 | 15.673 | 17.878 | 9.757 | |
Distributions | |||||||
Dividends from Net Investment Income | (1.185) | (1.248) | (1.091) | (.843) | (1.018) | (.477) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (1.185) | (1.248) | (1.091) | (.843) | (1.018) | (.477) | |
Net Asset Value, End of Period | $125.79 | $112.23 | $100.42 | $99.81 | $84.98 | $68.12 | |
Total Return | 13.15% | 13.17% | 1.69% | 18.47% | 26.57% | 16.66% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $591 | $342 | $206 | $165 | $85 | $34 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.16% | 0.15% | 0.15% | 0.15% | 0.15% | 0.15% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 1.09% | 1.36% | 1.27% | 1.10% | 1.48% | 1.28% | |
Portfolio Turnover Rate2 | 20% | 15% | 11% | 16% | 12% | 12% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 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 Small-Cap 600 Index Fund
Financial Highlights | |||||||
Institutional Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $225.56 | $201.83 | $200.56 | $170.71 | $136.79 | $118.12 | |
Investment Operations | |||||||
Net Investment Income | 1.4211 | 2.9251 | 2.545 | 2.049 | 2.131 | 1.558 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | 28.307 | 23.454 | 1.019 | 29.565 | 33.883 | 18.126 | |
Total from Investment Operations | 29.728 | 26.379 | 3.564 | 31.614 | 36.014 | 19.684 | |
Distributions | |||||||
Dividends from Net Investment Income | (2.488) | (2.649) | (2.294) | (1.764) | (2.094) | (1.014) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (2.488) | (2.649) | (2.294) | (1.764) | (2.094) | (1.014) | |
Net Asset Value, End of Period | $252.80 | $225.56 | $201.83 | $200.56 | $170.71 | $136.79 | |
Total Return | 13.18% | 13.22% | 1.77% | 18.57% | 26.65% | 16.75% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $555 | $331 | $238 | $179 | $152 | $101 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 1.17% | 1.43% | 1.34% | 1.17% | 1.55% | 1.35% | |
Portfolio Turnover Rate2 | 20% | 15% | 11% | 16% | 12% | 12% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
20
S&P Small-Cap 600 Index Fund
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 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.
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 28, 2017, 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.
21
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, 2013–2016), and for the period ended February 28, 2017, 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. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 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 0.10% 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 based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 28, 2017, 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.
22
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 28, 2017, the fund had contributed to Vanguard capital in the amount of $79,000, 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 28, 2017, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 1,142,744 | — | — |
Temporary Cash Investments | 5,770 | 300 | — |
Futures Contracts—Liabilities1 | (44) | — | — |
Total | 1,148,470 | 300 | — |
1 Represents variation margin on the last day of the reporting period. |
23
S&P Small-Cap 600 Index Fund
D. At February 28, 2017, 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 2017 | 29 | 2,008 | 8 |
E-mini S&P Mid-Cap 400 Index | March 2017 | 7 | 1,209 | 27 |
35 |
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 28, 2017, the fund realized $15,217,000 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, 2016, the fund had available capital losses totaling $8,727,000 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, 2017; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 28, 2017, the cost of investment securities for tax purposes was $1,025,821,000. Net unrealized appreciation of investment securities for tax purposes was $122,993,000, consisting of unrealized gains of $164,458,000 on securities that had risen in value since their purchase and $41,465,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended February 28, 2017, the fund purchased $502,931,000 of investment securities and sold $126,982,000 of investment securities, other than temporary cash investments. Purchases and sales include $275,216,000 and $38,422,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
24
S&P Small-Cap 600 Index Fund
G. Capital share transactions for each class of shares were: | |||||
Six Months Ended | Year Ended | ||||
February 28, 2017 | August 31, 2016 | ||||
Amount | Shares | Amount | Shares | ||
($000) | (000) | ($000) | (000) | ||
ETF Shares | |||||
Issued | 247,847 | 2,025 | 195,784 | 1,900 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (45,294) | (375) | (91,762) | (900) | |
Net Increase (Decrease)—ETF Shares | 202,553 | 1,650 | 104,022 | 1,000 | |
Institutional Shares | |||||
Issued | 221,794 | 905 | 95,096 | 466 | |
Issued in Lieu of Cash Distributions | 2,776 | 11 | 1,960 | 10 | |
Redeemed | (46,131) | (188) | (38,266) | (187) | |
Net Increase (Decrease)—Institutional Shares | 178,439 | 728 | 58,790 | 289 |
H. Management has determined that no material events or transactions occurred subsequent to February 28, 2017, that would require recognition or disclosure in these financial statements.
25
S&P Small-Cap 600 Value Index Fund
Fund Profile
As of February 28, 2017
Share-Class Characteristics | ||
ETF | Institutional | |
Shares | Shares | |
Ticker Symbol | VIOV | VSMVX |
Expense Ratio1 | 0.20% | 0.08% |
30-Day SEC Yield | 1.17% | 1.30% |
Portfolio Characteristics | |||
S&P | DJ | ||
SmallCap | U.S. Total | ||
600 Value | Market | ||
Fund | Index | FA Index | |
Number of Stocks | 436 | 435 | 3,807 |
Median Market Cap | $1.5B | $1.5B | $57.6B |
Price/Earnings Ratio | 26.9x | 26.9x | 24.8x |
Price/Book Ratio | 1.8x | 1.8x | 3.0x |
Return on Equity | 9.9% | 9.9% | 16.4% |
Earnings Growth Rate | 6.5% | 6.5% | 7.6% |
Dividend Yield | 1.4% | 1.4% | 1.9% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 51% | — | — |
Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
U.S. | |||
S&P | Total | ||
SmallCap | Market | ||
600 Value | FA | ||
Fund | Index | Index | |
Consumer Discretionary | 16.7% | 16.8% | 12.4% |
Consumer Staples | 3.2 | 3.2 | 8.4 |
Energy | 3.9 | 3.9 | 6.2 |
Financials | 19.4 | 19.4 | 15.3 |
Health Care | 9.5 | 9.5 | 13.4 |
Industrials | 19.1 | 19.1 | 10.8 |
Information Technology | 11.9 | 11.9 | 20.7 |
Materials | 6.7 | 6.7 | 3.4 |
Real Estate | 4.8 | 4.8 | 4.1 |
Telecommunication | |||
Services | 0.9 | 0.8 | 2.1 |
Utilities | 3.9 | 3.9 | 3.2 |
Volatility Measures | ||
S&P | DJ | |
SmallCap | U.S. Total | |
600 Value | Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.67 |
Beta | 1.00 | 1.17 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
Ten Largest Holdings (% of total net assets) | ||
Wintrust Financial Corp. | Regional Banks | 1.1% |
ALLETE Inc. | Electric Utilities | 1.0 |
ProAssurance Corp. | Property & Casualty | |
Insurance | 0.9 | |
CACI International Inc. | IT Consulting & | |
Other Services | 0.9 | |
Spire Inc. | Gas Utilities | 0.9 |
Sanmina Corp. | Electronic | |
Manufacturing | ||
Services | 0.8 | |
Hope Bancorp Inc. | Regional Banks | 0.8 |
Selective Insurance | Property & Casualty | |
Group Inc. | Insurance | 0.7 |
Avista Corp. | Multi-Utilities | 0.7 |
Interactive Brokers | Investment Banking | |
Group Inc. | & Brokerage | 0.7 |
Top Ten | 8.5% |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-17-004017/spsmall-cap600indexfundx28x1.jpg)
1 The expense ratios shown are from the prospectus dated December 23, 2016, and represent estimated costs for the current fiscal year. For the six months ended February 28, 2017, the annualized expense ratios were 0.21% for ETF Shares and 0.09% for Institutional Shares.
26
S&P Small-Cap 600 Value Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): September 7, 2010, Through February 28, 2017
![](https://capedge.com/proxy/N-CSRS/0000932471-17-004017/spsmall-cap600indexfundx29x1.jpg)
Note: For 2017, performance data reflect the six months ended February 28, 2017.
Average Annual Total Returns: Periods Ended December 31, 2016
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 | 31.25% | 16.66% | 16.46% | |
Net Asset Value | 31.07 | 16.64 | 16.45 | |
Institutional Shares | 11/19/2014 | 31.23 | — | 12.05 |
See Financial Highlights for dividend and capital gains information.
27
S&P Small-Cap 600 Value Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 28, 2017
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 (16.7%) | |||
Wolverine World Wide Inc. | 63,173 | 1,590 | |
Lithia Motors Inc. Class A | 14,991 | 1,434 | |
* | Cooper-Standard | ||
Holdings Inc. | 11,305 | 1,266 | |
* | Boyd Gaming Corp. | 52,590 | 1,035 |
Group 1 Automotive Inc. | 12,730 | 989 | |
* | American Axle & | ||
Manufacturing Holdings Inc. | 48,979 | 971 | |
Core-Mark Holding Co. Inc. | 29,561 | 961 | |
* | Meritage Homes Corp. | 24,102 | 857 |
* | Gentherm Inc. | 23,389 | 848 |
La-Z-Boy Inc. | 31,343 | 846 | |
* | EW Scripps Co. Class A | 36,374 | 838 |
Caleres Inc. | 27,799 | 830 | |
* | Asbury Automotive | ||
Group Inc. | 12,634 | 823 | |
Scholastic Corp. | 17,262 | 778 | |
* | Genesco Inc. | 13,214 | 770 |
MDC Holdings Inc. | 26,388 | 770 | |
^ | RH | 24,517 | 746 |
* | G-III Apparel Group Ltd. | 28,048 | 722 |
Monro Muffler Brake Inc. | 11,574 | 666 | |
Gannett Co. Inc. | 74,720 | 652 | |
* | Cavco Industries Inc. | 5,408 | 645 |
Standard Motor Products Inc. | 12,858 | 617 | |
^ | Sturm Ruger & Co. Inc. | 12,139 | 605 |
* | Express Inc. | 50,167 | 564 |
ILG Inc. | 29,841 | 563 | |
Abercrombie & Fitch Co. | 43,301 | 518 | |
New Media Investment | |||
Group Inc. | 33,510 | 517 | |
* | Steven Madden Ltd. | 13,615 | 509 |
Guess? Inc. | 39,404 | 501 | |
* | Ascena Retail Group Inc. | 108,416 | 499 |
* | BJ’s Restaurants Inc. | 12,352 | 449 |
Marriott Vacations | |||
Worldwide Corp. | 4,514 | 424 |
Finish Line Inc. Class A | 25,953 | 423 | |
Cato Corp. Class A | 16,075 | 402 | |
^ | Fred’s Inc. Class A | 22,464 | 398 |
Tailored Brands Inc. | 16,537 | 382 | |
* | Red Robin Gourmet | ||
Burgers Inc. | 8,239 | 376 | |
* | M/I Homes Inc. | 15,809 | 373 |
Sonic Automotive Inc. | |||
Class A | 16,837 | 365 | |
* | MarineMax Inc. | 15,795 | 355 |
^ | Buckle Inc. | 17,882 | 355 |
Barnes & Noble Inc. | 35,344 | 346 | |
Bob Evans Farms Inc. | 6,071 | 344 | |
* | Fiesta Restaurant Group Inc. | 17,113 | 340 |
* | Motorcar Parts of | ||
America Inc. | 11,943 | 339 | |
Superior Industries | |||
International Inc. | 14,653 | 328 | |
DineEquity Inc. | 5,453 | 326 | |
* | Vitamin Shoppe Inc. | 15,235 | 325 |
* | Crocs Inc. | 47,058 | 313 |
* | Lumber Liquidators | ||
Holdings Inc. | 17,445 | 309 | |
* | Select Comfort Corp. | 12,656 | 297 |
Rent-A-Center Inc. | 34,023 | 295 | |
Sonic Corp. | 11,421 | 289 | |
Oxford Industries Inc. | 5,063 | 285 | |
Haverty Furniture Cos. Inc. | 12,221 | 284 | |
* | Regis Corp. | 22,450 | 276 |
Callaway Golf Co. | 26,510 | 268 | |
* | FTD Cos. Inc. | 10,982 | 265 |
* | Unifi Inc. | 9,704 | 265 |
* | Strayer Education Inc. | 3,272 | 254 |
* | American Public | ||
Education Inc. | 10,308 | 249 | |
Movado Group Inc. | 9,805 | 238 | |
* | Barnes & Noble | ||
Education Inc. | 24,597 | 236 | |
Shoe Carnival Inc. | 8,495 | 215 | |
Ethan Allen Interiors Inc. | 7,315 | 210 |
28
S&P Small-Cap 600 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
* | Hibbett Sports Inc. | 6,307 | 186 |
* | Perry Ellis International Inc. | 7,740 | 180 |
* | Monarch Casino & Resort Inc. | 7,009 | 179 |
Ruth’s Hospitality Group Inc. | 9,881 | 167 | |
* | Iconix Brand Group Inc. | 21,581 | 166 |
* | Arctic Cat Inc. | 8,356 | 155 |
Big 5 Sporting Goods Corp. | 11,369 | 153 | |
* | Career Education Corp. | 16,497 | 137 |
* | Vera Bradley Inc. | 12,498 | 131 |
* | Shake Shack Inc. Class A | 3,319 | 119 |
* | Biglari Holdings Inc. | 266 | 114 |
* | Kirkland’s Inc. | 9,344 | 106 |
* | Tuesday Morning Corp. | 28,759 | 105 |
* | Nautilus Inc. | 6,349 | 102 |
PetMed Express Inc. | 4,601 | 97 | |
* | Ruby Tuesday Inc. | 38,550 | 73 |
Stein Mart Inc. | 19,827 | 71 | |
* | El Pollo Loco Holdings Inc. | 5,382 | 67 |
37,436 | |||
Consumer Staples (3.2%) | |||
* | Darling Ingredients Inc. | 105,398 | 1,371 |
Sanderson Farms Inc. | 12,725 | 1,209 | |
Universal Corp. | 16,186 | 1,096 | |
^ | Cal-Maine Foods Inc. | 19,054 | 723 |
Andersons Inc. | 16,628 | 658 | |
* | SUPERVALU Inc. | 170,503 | 644 |
J&J Snack Foods Corp. | 4,305 | 576 | |
WD-40 Co. | 3,356 | 369 | |
Inter Parfums Inc. | 5,698 | 197 | |
* | Seneca Foods Corp. Class A | 3,988 | 150 |
Medifast Inc. | 3,069 | 138 | |
7,131 | |||
Energy (3.9%) | |||
* | PDC Energy Inc. | 15,373 | 1,039 |
* | SEACOR Holdings Inc. | 10,331 | 711 |
* | Exterran Corp. | 20,011 | 609 |
* | Carrizo Oil & Gas Inc. | 18,411 | 599 |
Green Plains Inc. | 22,831 | 572 | |
* | Synergy Resources Corp. | 69,302 | 566 |
* | Unit Corp. | 20,096 | 545 |
* | Atwood Oceanics Inc. | 46,596 | 490 |
* | Newpark Resources Inc. | 54,231 | 418 |
* | Helix Energy Solutions | ||
Group Inc. | 49,600 | 410 | |
Archrock Inc. | 25,439 | 347 | |
Bristow Group Inc. | 20,434 | 321 | |
* | Matrix Service Co. | 17,019 | 276 |
* | Cloud Peak Energy Inc. | 47,949 | 239 |
* | TETRA Technologies Inc. | 49,361 | 222 |
* | CARBO Ceramics Inc. | 13,442 | 172 |
* | Era Group Inc. | 12,471 | 172 |
* | Tesco Corp. | 19,623 | 164 |
* | Pioneer Energy Services | ||
Corp. | 28,509 | 150 |
* | REX American Resources | ||
Corp. | 1,669 | 139 | |
* | Bill Barrett Corp. | 25,187 | 139 |
Gulf Island Fabrication Inc. | 8,777 | 100 | |
* | Hornbeck Offshore | ||
Services Inc. | 20,731 | 93 | |
* | Geospace Technologies Corp. | 4,761 | 79 |
* | Contango Oil & Gas Co. | 9,064 | 67 |
* | Northern Oil and Gas Inc. | 16,417 | 49 |
* | Tidewater Inc. | 30,105 | 41 |
8,729 | |||
Financials (19.4%) | |||
Wintrust Financial Corp. | 33,150 | 2,443 | |
ProAssurance Corp. | 34,094 | 2,015 | |
Hope Bancorp Inc. | 81,397 | 1,742 | |
Selective Insurance | |||
Group Inc. | 37,046 | 1,641 | |
Interactive Brokers | |||
Group Inc. | 43,531 | 1,598 | |
Old National Bancorp | 86,433 | 1,586 | |
American Equity Investment | |||
Life Holding Co. | 56,412 | 1,518 | |
FirstCash Inc. | 31,060 | 1,377 | |
United Bankshares Inc. | 28,969 | 1,296 | |
* | PRA Group Inc. | 29,679 | 1,211 |
Astoria Financial Corp. | 58,405 | 1,080 | |
Horace Mann Educators | |||
Corp. | 25,751 | 1,079 | |
Banner Corp. | 16,914 | 983 | |
* | Texas Capital | ||
Bancshares Inc. | 10,675 | 952 | |
S&T Bancorp Inc. | 22,367 | 796 | |
Navigators Group Inc. | 14,178 | 780 | |
Employers Holdings Inc. | 20,558 | 773 | |
Maiden Holdings Ltd. | 46,905 | 725 | |
RLI Corp. | 12,238 | 715 | |
Community Bank | |||
System Inc. | 11,944 | 710 | |
Columbia Banking | |||
System Inc. | 17,480 | 697 | |
Great Western Bancorp Inc. | 15,779 | 674 | |
Infinity Property & Casualty | |||
Corp. | 7,074 | 667 | |
Stewart Information Services | |||
Corp. | 14,976 | 665 | |
Capstead Mortgage Corp. | 61,417 | 650 | |
Safety Insurance Group Inc. | 9,113 | 647 | |
CVB Financial Corp. | 27,026 | 642 | |
Banc of California Inc. | 31,692 | 616 | |
United Fire Group Inc. | 13,791 | 582 | |
Glacier Bancorp Inc. | 15,179 | 560 | |
First Midwest Bancorp Inc. | 21,737 | 531 | |
Financial Engines Inc. | 11,924 | 528 | |
* | Encore Capital Group Inc. | 15,029 | 500 |
29
S&P Small-Cap 600 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Simmons First National Corp. | |||
Class A | 8,554 | 492 | |
Provident Financial | |||
Services Inc. | 17,689 | 470 | |
Northwest Bancshares Inc. | 25,279 | 459 | |
Virtus Investment | |||
Partners Inc. | 4,138 | 454 | |
* | HomeStreet Inc. | 16,136 | 440 |
NBT Bancorp Inc. | 10,782 | 435 | |
* | Green Dot Corp. Class A | 13,867 | 406 |
Independent Bank Corp. | 6,227 | 405 | |
Investment Technology | |||
Group Inc. | 19,823 | 397 | |
First Financial Bancorp | 14,290 | 397 | |
* | Donnelley Financial | ||
Solutions Inc. | 16,863 | 390 | |
Boston Private Financial | |||
Holdings Inc. | 22,372 | 385 | |
Westamerica Bancorporation | 6,570 | 380 | |
OFG Bancorp | 28,142 | 363 | |
* | INTL. FCStone Inc. | 9,544 | 360 |
AMERISAFE Inc. | 5,168 | 332 | |
Fidelity Southern Corp. | 13,548 | 319 | |
City Holding Co. | 4,514 | 296 | |
First Commonwealth | |||
Financial Corp. | 20,505 | 286 | |
Greenhill & Co. Inc. | 9,575 | 283 | |
* | EZCORP Inc. Class A | 31,019 | 273 |
HCI Group Inc. | 5,413 | 267 | |
Brookline Bancorp Inc. | 16,708 | 265 | |
Opus Bank | 11,637 | 251 | |
TrustCo Bank Corp. NY | 26,355 | 220 | |
* | Enova International Inc. | 14,898 | 214 |
Oritani Financial Corp. | 11,925 | 205 | |
* | World Acceptance Corp. | 3,827 | 201 |
United Insurance Holdings | |||
Corp. | 11,343 | 192 | |
Dime Community | |||
Bancshares Inc. | 8,583 | 185 | |
* | eHealth Inc. | 10,727 | 118 |
Bank Mutual Corp. | 11,522 | 112 | |
*,^ | First NBC Bank Holding Co. | 10,337 | 46 |
43,277 | |||
Health Care (9.5%) | |||
* | Medicines Co. | 27,619 | 1,448 |
* | Select Medical Holdings | ||
Corp. | 68,652 | 989 | |
Chemed Corp. | 4,885 | 872 | |
* | Amedisys Inc. | 17,849 | 861 |
Myriad Genetics Inc. | 43,828 | 852 | |
* | Air Methods Corp. | 21,217 | 803 |
* | Acorda Therapeutics Inc. | 29,547 | 781 |
* | Community Health | ||
Systems Inc. | 72,852 | 710 | |
* | Impax Laboratories Inc. | 47,343 | 675 |
CONMED Corp. | 15,845 | 659 | |
* | Integer Holdings Corp. | 17,571 | 635 |
* | Haemonetics Corp. | 16,196 | 605 |
* | Integra LifeSciences | ||
Holdings Corp. | 13,779 | 589 | |
* | Nektar Therapeutics Class A | 41,072 | 537 |
* | Magellan Health Inc. | 7,733 | 535 |
* | HealthEquity Inc. | 12,102 | 529 |
Kindred Healthcare Inc. | 54,551 | 491 | |
* | PharMerica Corp. | 19,696 | 484 |
* | LHC Group Inc. | 9,537 | 458 |
* | Quality Systems Inc. | 29,401 | 449 |
* | Natus Medical Inc. | 11,793 | 437 |
* | Lannett Co. Inc. | 18,723 | 412 |
* | Emergent BioSolutions Inc. | 11,915 | 374 |
* | Diplomat Pharmacy Inc. | 27,460 | 372 |
Analogic Corp. | 4,463 | 367 | |
* | Almost Family Inc. | 7,359 | 365 |
* | Cambrex Corp. | 6,378 | 359 |
* | Surgical Care Affiliates Inc. | 6,064 | 344 |
* | AngioDynamics Inc. | 20,164 | 330 |
* | Providence Service Corp. | 7,795 | 317 |
* | Tivity Health Inc. | 10,647 | 308 |
Abaxis Inc. | 6,058 | 302 | |
Aceto Corp. | 19,272 | 296 | |
* | Spectrum | ||
Pharmaceuticals Inc. | 44,823 | 287 | |
* | Depomed Inc. | 17,344 | 284 |
Ensign Group Inc. | 14,630 | 276 | |
* | Inogen Inc. | 3,894 | 267 |
Invacare Corp. | 20,321 | 246 | |
* | Albany Molecular | ||
Research Inc. | 14,279 | 214 | |
Phibro Animal Health Corp. | |||
Class A | 6,760 | 188 | |
^ | Computer Programs & | ||
Systems Inc. | 6,857 | 184 | |
Meridian Bioscience Inc. | 14,315 | 184 | |
* | Quorum Health Corp. | 18,928 | 162 |
* | CorVel Corp. | 3,639 | 147 |
* | Anika Therapeutics Inc. | 3,000 | 140 |
* | Amphastar | ||
Pharmaceuticals Inc. | 7,327 | 113 | |
* | Adeptus Health Inc. Class A | 9,705 | 65 |
21,302 | |||
Industrials (19.1%) | |||
Brink’s Co. | 28,751 | 1,537 | |
Mueller Industries Inc. | 36,741 | 1,537 | |
* | Moog Inc. Class A | 20,584 | 1,391 |
SkyWest Inc. | 33,135 | 1,165 | |
Korn/Ferry International | 37,081 | 1,146 | |
* | Hub Group Inc. Class A | 21,260 | 1,074 |
Matson Inc. | 27,441 | 931 | |
* | SPX FLOW Inc. | 26,837 | 912 |
30
S&P Small-Cap 600 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
* | Atlas Air Worldwide | ||
Holdings Inc. | 16,021 | 911 | |
Comfort Systems USA Inc. | 23,646 | 902 | |
Kaman Corp. | 17,365 | 899 | |
Triumph Group Inc. | 31,742 | 882 | |
Wabash National Corp. | 39,741 | 841 | |
Cubic Corp. | 15,963 | 839 | |
Interface Inc. Class A | 41,509 | 785 | |
Standex International Corp. | 8,165 | 780 | |
Greenbrier Cos. Inc. | 18,174 | 764 | |
ABM Industries Inc. | 18,576 | 758 | |
RR Donnelley & Sons Co. | 44,716 | 750 | |
* | On Assignment Inc. | 15,603 | 736 |
Hillenbrand Inc. | 19,796 | 720 | |
* | SPX Corp. | 26,839 | 708 |
Barnes Group Inc. | 14,110 | 707 | |
* | TrueBlue Inc. | 27,220 | 706 |
AAR Corp. | 20,336 | 700 | |
Healthcare Services | |||
Group Inc. | 15,815 | 654 | |
* | Team Inc. | 18,873 | 648 |
Encore Wire Corp. | 13,261 | 630 | |
Universal Forest Products Inc. | 6,505 | 623 | |
Briggs & Stratton Corp. | 27,391 | 586 | |
Federal Signal Corp. | 38,329 | 570 | |
UniFirst Corp. | 4,147 | 552 | |
General Cable Corp. | 31,542 | 527 | |
Actuant Corp. Class A | 19,617 | 521 | |
Applied Industrial | |||
Technologies Inc. | 8,236 | 519 | |
Mobile Mini Inc. | 15,647 | 509 | |
Watts Water Technologies | |||
Inc. Class A | 7,841 | 501 | |
* | Aegion Corp. Class A | 21,731 | 495 |
Franklin Electric Co. Inc. | 11,558 | 484 | |
LSC Communications Inc. | 16,999 | 483 | |
ArcBest Corp. | 15,247 | 448 | |
EnPro Industries Inc. | 6,698 | 437 | |
Apogee Enterprises Inc. | 7,581 | 434 | |
Matthews International | |||
Corp. Class A | 6,178 | 407 | |
Kelly Services Inc. Class A | 18,732 | 401 | |
* | Echo Global Logistics Inc. | 17,602 | 385 |
Essendant Inc. | 23,654 | 377 | |
* | Harsco Corp. | 26,676 | 376 |
Titan International Inc. | 28,058 | 372 | |
* | American Woodmark Corp. | 4,204 | 363 |
* | Engility Holdings Inc. | 11,295 | 354 |
* | Chart Industries Inc. | 9,806 | 349 |
* | DXP Enterprises Inc. | 9,891 | 346 |
AZZ Inc. | 5,825 | 342 | |
* | Veritiv Corp. | 6,023 | 335 |
Albany International Corp. | 7,212 | 327 | |
* | Saia Inc. | 6,729 | 325 |
Brady Corp. Class A | 8,483 | 324 |
CIRCOR International Inc. | 5,151 | 320 | |
Exponent Inc. | 5,568 | 320 | |
Forward Air Corp. | 6,445 | 319 | |
Resources Connection Inc. | 18,891 | 319 | |
* | National Presto Industries Inc. | 3,157 | 314 |
* | Aerojet Rocketdyne | ||
Holdings Inc. | 16,126 | 313 | |
Heidrick & Struggles | |||
International Inc. | 11,898 | 291 | |
Raven Industries Inc. | 9,722 | 287 | |
Tennant Co. | 4,063 | 285 | |
Lindsay Corp. | 3,335 | 267 | |
Heartland Express Inc. | 10,265 | 213 | |
Multi-Color Corp. | 2,869 | 206 | |
* | Aerovironment Inc. | 6,854 | 185 |
Marten Transport Ltd. | 7,406 | 182 | |
Powell Industries Inc. | 5,474 | 179 | |
Alamo Group Inc. | 2,292 | 172 | |
* | Roadrunner Transportation | ||
Systems Inc. | 19,457 | 147 | |
Celadon Group Inc. | 18,063 | 145 | |
* | CDI Corp. | 8,891 | 81 |
42,630 | |||
Information Technology (11.9%) | |||
* | CACI International Inc. | ||
Class A | 15,610 | 1,957 | |
* | Sanmina Corp. | 47,013 | 1,834 |
* | Anixter International Inc. | 18,203 | 1,516 |
* | Viavi Solutions Inc. | 147,352 | 1,476 |
* | Plexus Corp. | 21,462 | 1,203 |
* | Benchmark Electronics Inc. | 31,307 | 974 |
* | Insight Enterprises Inc. | 22,723 | 963 |
* | OSI Systems Inc. | 11,601 | 875 |
* | Ixia | 40,508 | 794 |
* | Electronics For Imaging Inc. | 14,985 | 690 |
* | Sykes Enterprises Inc. | 25,286 | 688 |
* | ScanSource Inc. | 16,092 | 648 |
ManTech International Corp. | |||
Class A | 16,223 | 594 | |
* | Diodes Inc. | 24,719 | 590 |
MTS Systems Corp. | 10,670 | 586 | |
* | Virtusa Corp. | 17,637 | 547 |
* | Cray Inc. | 26,072 | 544 |
* | MicroStrategy Inc. Class A | 2,767 | 531 |
* | Semtech Corp. | 15,539 | 520 |
* | NETGEAR Inc. | 9,101 | 499 |
Brooks Automation Inc. | 21,639 | 451 | |
* | Kulicke & Soffa | ||
Industries Inc. | 21,769 | 446 | |
Methode Electronics Inc. | 10,640 | 442 | |
* | Perficient Inc. | 23,100 | 420 |
* | Blucora Inc. | 24,596 | 384 |
* | Veeco Instruments Inc. | 12,992 | 355 |
* | ExlService Holdings Inc. | 7,504 | 335 |
31
S&P Small-Cap 600 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Monotype Imaging | |||
Holdings Inc. | 15,747 | 317 | |
TeleTech Holdings Inc. | 10,113 | 306 | |
* | Super Micro Computer Inc. | 11,734 | 305 |
CSG Systems | |||
International Inc. | 7,644 | 301 | |
* | Bottomline Technologies | ||
de Inc. | 11,463 | 286 | |
* | Rogers Corp. | 3,452 | 285 |
* | Harmonic Inc. | 50,149 | 271 |
Cohu Inc. | 15,900 | 265 | |
* | ePlus Inc. | 2,024 | 257 |
ADTRAN Inc. | 11,468 | 243 | |
Daktronics Inc. | 25,654 | 240 | |
Park Electrochemical Corp. | 12,185 | 233 | |
* | CalAmp Corp. | 13,270 | 215 |
* | Ultratech Inc. | 7,424 | 214 |
* | Digi International Inc. | 16,628 | 205 |
* | FARO Technologies Inc. | 5,019 | 173 |
Comtech | |||
Telecommunications Corp. | 15,059 | 172 | |
* | DSP Group Inc. | 13,818 | 144 |
* | VASCO Data Security | ||
International Inc. | 11,017 | 143 | |
* | XO Group Inc. | 7,648 | 141 |
* | Electro Scientific | ||
Industries Inc. | 20,807 | 139 | |
* | LivePerson Inc. | 19,133 | 135 |
* | Liquidity Services Inc. | 15,598 | 127 |
* | Exar Corp. | 10,210 | 107 |
* | DHI Group Inc. | 20,105 | 100 |
* | Agilysys Inc. | 9,760 | 89 |
Black Box Corp. | 9,648 | 87 | |
* | Tangoe Inc. | 14,900 | 85 |
* | Kopin Corp. | 21,493 | 76 |
* | QuinStreet Inc. | 23,017 | 74 |
Bel Fuse Inc. Class B | 2,453 | 64 | |
26,661 | |||
Materials (6.7%) | |||
HB Fuller Co. | 32,203 | 1,591 | |
KapStone Paper and | |||
Packaging Corp. | 56,306 | 1,272 | |
Kaiser Aluminum Corp. | 11,474 | 904 | |
Schweitzer-Mauduit | |||
International Inc. | 19,563 | 803 | |
* | AK Steel Holding Corp. | 88,248 | 735 |
* | Boise Cascade Co. | 24,794 | 672 |
PH Glatfelter Co. | 27,865 | 616 | |
* | Clearwater Paper Corp. | 10,701 | 595 |
* | AdvanSix Inc. | 19,504 | 532 |
* | TimkenSteel Corp. | 24,899 | 521 |
Innospec Inc. | 7,826 | 511 | |
Calgon Carbon Corp. | 32,395 | 457 | |
* | Stillwater Mining Co. | 26,340 | 449 |
* | Century Aluminum Co. | 31,757 | 447 |
Materion Corp. | 12,757 | 445 | |
* | SunCoke Energy Inc. | 41,146 | 401 |
Rayonier Advanced | |||
Materials Inc. | 27,735 | 368 | |
A Schulman Inc. | 10,718 | 362 | |
Stepan Co. | 4,615 | 349 | |
Haynes International Inc. | 7,993 | 312 | |
Tredegar Corp. | 16,123 | 306 | |
Neenah Paper Inc. | 3,753 | 275 | |
*,^ | Flotek Industries Inc. | 20,009 | 271 |
American Vanguard Corp. | 16,540 | 260 | |
* | Koppers Holdings Inc. | 4,897 | 215 |
Deltic Timber Corp. | 2,779 | 207 | |
Myers Industries Inc. | 13,990 | 197 | |
FutureFuel Corp. | 14,557 | 193 | |
* | US Concrete Inc. | 2,916 | 184 |
Innophos Holdings Inc. | 3,463 | 183 | |
Olympic Steel Inc. | 5,846 | 141 | |
*,^ | LSB Industries Inc. | 12,873 | 140 |
Hawkins Inc. | 2,396 | 118 | |
15,032 | |||
Other (0.0%)2 | |||
* | Gerber Scientific Inc. CVR | 1,604 | — |
Real Estate (4.8%) | |||
Kite Realty Group Trust | 53,500 | 1,212 | |
GEO Group Inc. | 23,059 | 1,098 | |
Acadia Realty Trust | 29,522 | 946 | |
Government Properties | |||
Income Trust | 45,592 | 940 | |
Chesapeake Lodging Trust | 38,496 | 930 | |
DiamondRock Hospitality Co. | 61,611 | 670 | |
RE/MAX Holdings Inc. | |||
Class A | 11,291 | 649 | |
Sabra Health Care REIT Inc. | 20,460 | 556 | |
PS Business Parks Inc. | 4,373 | 508 | |
Retail Opportunity | |||
Investments Corp. | 23,078 | 508 | |
Pennsylvania REIT | 25,361 | 418 | |
LTC Properties Inc. | 8,545 | 412 | |
Franklin Street Properties | |||
Corp. | 32,978 | 409 | |
Cedar Realty Trust Inc. | 48,595 | 285 | |
* | Parkway Inc. | 13,401 | 281 |
* | Forestar Group Inc. | 17,013 | 226 |
Hersha Hospitality Trust | |||
Class A | 11,537 | 225 | |
HFF Inc. Class A | 7,405 | 219 | |
Universal Health Realty | |||
Income Trust | 2,724 | 175 | |
Saul Centers Inc. | 2,339 | 150 | |
10,817 |
32
S&P Small-Cap 600 Value Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Telecommunication Services (0.8%) | |||
*,^ | Iridium Communications Inc. | 51,473 | 448 |
* | General Communication Inc. | ||
Class A | 17,005 | 343 | |
Consolidated | |||
Communications | |||
Holdings Inc. | 11,670 | 263 | |
Spok Holdings Inc. | 13,152 | 239 | |
ATN International Inc. | 3,403 | 233 | |
* | Cincinnati Bell Inc. | 11,309 | 218 |
* | Lumos Networks Corp. | 8,456 | 150 |
1,894 | |||
Utilities (3.9%) | |||
ALLETE Inc. | 31,670 | 2,128 | |
Spire Inc. | 29,234 | 1,926 | |
Avista Corp. | 41,098 | 1,639 | |
El Paso Electric Co. | 25,949 | 1,268 | |
Northwest Natural Gas Co. | 18,297 | 1,100 | |
American States Water Co. | 12,167 | 544 | |
8,605 | |||
Total Common Stocks | |||
(Cost $212,629) | 223,514 | ||
Temporary Cash Investments (0.5%)1 | |||
Money Market Fund (0.5%) | |||
3,4 | Market Liquidity Fund, | ||
0.864% | 10,218 | 1,022 | |
Face | |||
Amount | |||
$000) | |||
U.S. Government and Agency Obligations (0.0%) | |||
5 | United States Treasury Bill, | ||
0.574%, 5/11/17 | 100 | 100 | |
Total Temporary Cash Investments | |||
(Cost $1,122) | 1,122 | ||
Total Investments (100.4%) | |||
(Cost $213,751) | 224,636 |
Amount | |
($000) | |
Other Assets and Liabilities (-0.4%) | |
Other Assets | |
Investment in Vanguard | 16 |
Receivables for Accrued Income | 168 |
Other Assets | 19 |
Total Other Assets | 203 |
Liabilities | |
Payables for Investment | |
Securities Purchased | (171) |
Collateral for Securities on Loan | (970) |
Payables to Vanguard | (41) |
Other Liabilities | (3) |
Total Liabilities | (1,185) |
Net Assets (100%) | 223,654 |
33
S&P Small-Cap 600 Value Index Fund
At February 28, 2017, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 225,664 |
Undistributed Net Investment Income | 276 |
Accumulated Net Realized Losses | (13,170) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 10,885 |
Futures Contracts | (1) |
Net Assets | 223,654 |
ETF Shares—Net Assets | |
Applicable to 1,725,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 208,412 |
Net Asset Value Per Share— | |
ETF Shares | $120.82 |
Institutional Shares—Net Assets | |
Applicable to 60,314 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 15,242 |
Net Asset Value Per Share— | |
Institutional Shares | $252.71 |
• 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 $917,000.
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 0.4%, 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 $970,000 of collateral received for securities on loan.
5 Securities with a value of $100,000 have been segregated as initial margin for open futures contracts.
CVR—Contingent Value Rights.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
34
S&P Small-Cap 600 Value Index Fund
Statement of Operations
Six Months Ended | |
February 28, 2017 | |
($000) | |
Investment Income | |
Income | |
Dividends | 1,346 |
Interest1 | 1 |
Securities Lending—Net | 9 |
Total Income | 1,356 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 14 |
Management and Administrative—ETF Shares | 118 |
Management and Administrative—Institutional Shares | 3 |
Marketing and Distribution—ETF Shares | 6 |
Marketing and Distribution—Institutional Shares | — |
Custodian Fees | 32 |
Shareholders’ Reports—ETF Shares | 6 |
Shareholders’ Reports—Institutional Shares | — |
Total Expenses | 179 |
Net Investment Income | 1,177 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | 12,477 |
Futures Contracts | 5 |
Realized Net Gain (Loss) | 12,482 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 5,808 |
Futures Contracts | (1) |
Change in Unrealized Appreciation (Depreciation) | 5,807 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 19,466 |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $1,000 and $0, respectively.
See accompanying Notes, which are an integral part of the Financial Statements.
35
S&P Small-Cap 600 Value Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
February 28, | August 31, | |
2017 | 2016 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 1,177 | 1,853 |
Realized Net Gain (Loss) | 12,482 | 4,359 |
Change in Unrealized Appreciation (Depreciation) | 5,807 | 13,066 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 19,466 | 19,278 |
Distributions | ||
Net Investment Income | ||
ETF Shares | (1,198) | (1,886) |
Institutional Shares | (213) | (331) |
Realized Capital Gain | ||
ETF Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (1,411) | (2,217) |
Capital Share Transactions | ||
ETF Shares | 65,789 | 16,679 |
Institutional Shares | (21,004) | 17,620 |
Net Increase (Decrease) from Capital Share Transactions | 44,785 | 34,299 |
Total Increase (Decrease) | 62,840 | 51,360 |
Net Assets | ||
Beginning of Period | 160,814 | 109,454 |
End of Period1 | 223,654 | 160,814 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $276,000 and $510,000.
See accompanying Notes, which are an integral part of the Financial Statements.
36
S&P Small-Cap 600 Value Index Fund
Financial Highlights
ETF Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $106.98 | $94.66 | $98.93 | $82.76 | $65.79 | $56.68 | |
Investment Operations | |||||||
Net Investment Income | .690 | 1.352 | 1.337 | 1.3551 | 1.146 | .960 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | 14.026 | 12.736 | (4.323) | 15.685 | 16.731 | 8.801 | |
Total from Investment Operations | 14.716 | 14.088 | (2.986) | 17.040 | 17.877 | 9.761 | |
Distributions | |||||||
Dividends from Net Investment Income | (.876) | (1.768) | (1.284) | (.870) | (.907) | (.651) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (.876) | (1.768) | (1.284) | (.870) | (.907) | (.651) | |
Net Asset Value, End of Period | $120.82 | $106.98 | $94.66 | $98.93 | $82.76 | $65.79 | |
Total Return | 13.81% | 15.14% | -3.09% | 20.64% | 27.45% | 17.33% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $208 | $126 | $95 | $94 | $29 | $16 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.21% | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 1.22% | 1.49% | 1.43% | 1.43% | 1.73% | 1.56% | |
Portfolio Turnover Rate 2 | 51% | 42% | 43% | 32% | 37% | 29% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
37
S&P Small-Cap 600 Value Index Fund
Financial Highlights
Institutional Shares | |||
Six Months | Year | Nov. 19, | |
Ended | Ended | 20141 to | |
February 28, | Aug. 31, | Aug. 31, | |
For a Share Outstanding Throughout Each Period | 2017 | 2016 | 2015 |
Net Asset Value, Beginning of Period | $223.74 | $198.02 | $206.40 |
Investment Operations | |||
Net Investment Income | 1.573 | 3.057 | 2.201 |
Net Realized and Unrealized Gain (Loss) on Investments | 29.341 | 26.649 | (7.820) |
Total from Investment Operations | 30.914 | 29.706 | (5.619) |
Distributions | |||
Dividends from Net Investment Income | (1.944) | (3.986) | (2.761) |
Distributions from Realized Capital Gains | — | — | — |
Total Distributions | (1.944) | (3.986) | (2.761) |
Net Asset Value, End of Period | $252.71 | $223.74 | $198.02 |
Total Return | 13.88% | 15.28% | -2.79% |
Ratios/Supplemental Data | |||
Net Assets, End of Period (Millions) | $15 | $35 | $15 |
Ratio of Total Expenses to Average Net Assets | 0.09% | 0.08% | 0.08%2 |
Ratio of Net Investment Income to Average Net Assets | 1.34% | 1.61% | 1.55%2 |
Portfolio Turnover Rate 3 | 51% | 42% | 43% |
The expense ratio, net investment 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.
38
S&P Small-Cap 600 Value Index Fund
Notes to Financial Statements
Vanguard S&P Small-Cap 600 Value Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: 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 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.
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).
39
S&P Small-Cap 600 Value Index Fund
During the six months ended February 28, 2017, 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, 2013–2016), and for the period ended February 28, 2017, 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. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 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 0.10% 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 based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 28, 2017, 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
40
S&P Small-Cap 600 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 28, 2017, the fund had contributed to Vanguard capital in the amount of $16,000, 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 28, 2017, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 223,514 | — | — |
Temporary Cash Investments | 1,022 | 100 | — |
Futures Contracts—Liabilities1 | (3) | — | — |
Total | 224,533 | 100 | — |
1 Represents variation margin on the last day of the reporting period. |
41
S&P Small-Cap 600 Value Index Fund
D. At February 28, 2017, 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 2017 | 3 | 208 | (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 28, 2017, the fund realized $18,134,000 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 gains 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, 2016, the fund had available capital losses totaling $7,518,000 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, 2017; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 28, 2017, the cost of investment securities for tax purposes was $213,751,000. Net unrealized appreciation of investment securities for tax purposes was $10,885,000, consisting of unrealized gains of $20,863,000 on securities that had risen in value since their purchase and $9,978,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended February 28, 2017, the fund purchased $191,620,000 of investment securities and sold $146,713,000 of investment securities, other than temporary cash investments. Purchases and sales include $119,775,000 and $73,412,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
42
S&P Small-Cap 600 Value Index Fund
G. Capital share transactions for each class of shares were: | |||||
Six Months Ended | Year Ended | ||||
February 28, 2017 | August 31, 2016 | ||||
Amount | Shares | Amount | Shares | ||
($000) | (000) | ($000) | (000) | ||
ETF Shares | |||||
Issued | 140,442 | 1,200 | 72,083 | 750 | |
Issued in Lieu of Cash Distributions | — | — | — | — | |
Redeemed | (74,653) | (650) | (55,404) | (575) | |
Net Increase (Decrease)—ETF Shares | 65,789 | 550 | 16,679 | 175 | |
Institutional Shares | |||||
Issued | 1,292 | 5 | 17,622 | 82 | |
Issued in Lieu of Cash Distributions | 213 | 1 | 331 | 2 | |
Redeemed | (22,509) | (103) | (333) | (2) | |
Net Increase (Decrease) —Institutional Shares | (21,004) | (97) | 17,620 | 82 |
At February 28, 2017, 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.
H. Management has determined that no material events or transactions occurred subsequent to February 28, 2017, that would require recognition or disclosure in these financial statements.
43
S&P Small-Cap 600 Growth Index Fund
Fund Profile
As of February 28, 2017
Portfolio Characteristics | |||
S&P | |||
SmallCap | DJ | ||
600 | U.S. Total | ||
Growth | Market | ||
Fund | Index | FA Index | |
Number of Stocks | 347 | 347 | 3,807 |
Median Market Cap | $1.9B | $1.9B | $57.6B |
Price/Earnings Ratio | 32.0x | 32.0x | 24.8x |
Price/Book Ratio | 3.2x | 3.2x | 3.0x |
Return on Equity | 12.0% | 12.0% | 16.4% |
Earnings Growth Rate | 11.8% | 11.8% | 7.6% |
Dividend Yield | 1.1% | 1.1% | 1.9% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 52% | — | — |
Ticker Symbol | VIOG | — | — |
Expense Ratio1 | 0.20% | — | — |
30-Day SEC Yield | 0.89% | — | — |
Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
S&P | U.S. | ||
SmallCap | Total | ||
600 | Market | ||
Growth | FA | ||
Fund | Index | Index | |
Consumer Discretionary | 11.4% | 11.4% | 12.4% |
Consumer Staples | 2.4 | 2.4 | 8.4 |
Energy | 2.6 | 2.6 | 6.2 |
Financials | 17.3 | 17.3 | 15.3 |
Health Care | 15.1 | 15.1 | 13.4 |
Industrials | 18.3 | 18.3 | 10.8 |
Information Technology | 18.3 | 18.3 | 20.7 |
Materials | 4.7 | 4.7 | 3.4 |
Real Estate | 7.6 | 7.6 | 4.1 |
Telecommunication | |||
Services | 0.9 | 0.9 | 2.1 |
Utilities | 1.4 | 1.4 | 3.2 |
Volatility Measures | ||
S&P | DJ | |
SmallCap | U.S. Total | |
600 Growth | Market | |
Index | FA Index | |
R-Squared | 1.00 | 0.66 |
Beta | 1.00 | 1.11 |
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) | ||
Take-Two Interactive | Home Entertainment | |
Software Inc. | Software | 1.5% |
Coherent Inc. | Electronic Equipment | |
& Instruments | 1.2 | |
Masimo Corp. | Health Care | |
Equipment | 1.0 | |
US Silica Holdings Inc. | Oil & Gas Equipment | |
& Services | 0.9 | |
MKS Instruments Inc. | Semiconductor | |
Equipment | 0.9 | |
Home BancShares Inc. | Regional Banks | 0.9 |
Blackbaud Inc. | Application Software | 0.9 |
Sterling Bancorp | Regional Banks | 0.8 |
Pinnacle Financial | ||
Partners Inc. | Regional Banks | 0.8 |
Evercore Partners Inc. | Investment Banking | |
& Brokerage | 0.8 | |
Top Ten | 9.7% |
Investment Focus
![](https://capedge.com/proxy/N-CSRS/0000932471-17-004017/spsmall-cap600indexfundx46x2.jpg)
1 The expense ratio shown is from the prospectus dated December 23, 2016, and represents estimated costs for the current fiscal year. For the six months ended February 28, 2017, the annualized expense ratio was 0.21%.
44
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 28, 2017
![](https://capedge.com/proxy/N-CSRS/0000932471-17-004017/spsmall-cap600indexfundx47x1.jpg)
Note: For 2017, performance data reflect the six months ended February 28, 2017.
Average Annual Total Returns: Periods Ended December 31, 2016
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 | 22.09% | 16.16% | 17.19% | |
Net Asset Value | 22.01 | 16.14 | 17.18 |
See Financial Highlights for dividend and capital gains information.
45
S&P Small-Cap 600 Growth Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 28, 2017
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 (11.3%) | |||
* | LCI Industries | 14,842 | 1,598 |
* | Dorman Products Inc. | 18,287 | 1,429 |
* | Dave & Buster’s | ||
Entertainment Inc. | 22,558 | 1,290 | |
* | Five Below Inc. | 33,081 | 1,275 |
Children’s Place Inc. | 10,872 | 1,101 | |
* | Popeyes Louisiana | ||
Kitchen Inc. | 12,492 | 987 | |
Marriott Vacations | |||
Worldwide Corp. | 10,398 | 977 | |
* | TopBuild Corp. | 22,930 | 963 |
* | iRobot Corp. | 16,354 | 934 |
Shutterfly Inc. | 20,460 | 928 | |
* | Ollie’s Bargain Outlet | ||
Holdings Inc. | 28,682 | 899 | |
Nutrisystem Inc. | 17,694 | 823 | |
* | Steven Madden Ltd. | 20,058 | 749 |
ILG Inc. | 35,770 | 675 | |
* | Belmond Ltd. Class A | 50,904 | 659 |
* | Scientific Games Corp. | ||
Class A | 30,604 | 632 | |
* | Universal Electronics Inc. | 8,780 | 603 |
* | Installed Building | ||
Products Inc. | 11,946 | 562 | |
Winnebago Industries Inc. | 15,933 | 526 | |
Capella Education Co. | 6,906 | 526 | |
Monro Muffler Brake Inc. | 8,559 | 492 | |
World Wrestling | |||
Entertainment Inc. Class A | 23,162 | 486 | |
* | Fox Factory Holding Corp. | 17,314 | 464 |
Wingstop Inc. | 17,313 | 455 | |
Sonic Corp. | 16,808 | 425 | |
* | Francesca’s Holdings Corp. | 22,885 | 388 |
* | Select Comfort Corp. | 15,188 | 357 |
Marcus Corp. | 11,425 | 356 | |
Bob Evans Farms Inc. | 6,202 | 352 | |
* | Tile Shop Holdings Inc. | 19,928 | 351 |
Callaway Golf Co. | 31,808 | 322 | |
Tailored Brands Inc. | 13,813 | 319 | |
DineEquity Inc. | 5,132 | 307 | |
^,* | LGI Homes Inc. | 10,275 | 298 |
* | Chuy’s Holdings Inc. | 10,152 | 289 |
* | Shake Shack Inc. Class A | 7,688 | 275 |
* | Strayer Education Inc. | 3,209 | 249 |
Ethan Allen Interiors Inc. | 8,443 | 243 | |
Oxford Industries Inc. | 4,233 | 238 | |
* | Hibbett Sports Inc. | 7,563 | 223 |
* | Zumiez Inc. | 10,517 | 215 |
* | Nautilus Inc. | 12,775 | 206 |
* | Career Education Corp. | 23,313 | 194 |
PetMed Express Inc. | 8,053 | 170 | |
* | Biglari Holdings Inc. | 360 | 155 |
Ruth’s Hospitality Group Inc. | 8,579 | 145 | |
* | Iconix Brand Group Inc. | 13,514 | 104 |
* | El Pollo Loco Holdings Inc. | 7,932 | 99 |
26,313 | |||
Consumer Staples (2.3%) | |||
B&G Foods Inc. | 40,029 | 1,701 | |
SpartanNash Co. | 22,592 | 789 | |
J&J Snack Foods Corp. | 4,953 | 663 | |
* | Central Garden & Pet Co. | ||
Class A | 20,192 | 645 | |
WD-40 Co. | 5,380 | 591 | |
Calavo Growers Inc. | 9,243 | 521 | |
* | Central Garden & Pet Co. | 6,082 | 205 |
Medifast Inc. | 3,831 | 172 | |
Inter Parfums Inc. | 4,953 | 172 | |
5,459 | |||
Energy (2.6%) | |||
US Silica Holdings Inc. | 43,201 | 2,185 | |
* | PDC Energy Inc. | 19,178 | 1,296 |
* | Carrizo Oil & Gas Inc. | 19,551 | 636 |
* | Synergy Resources Corp. | 55,569 | 454 |
* | Unit Corp. | 12,118 | 329 |
* | Helix Energy Solutions | ||
Group Inc. | 33,840 | 280 |
46
S&P Small-Cap 600 Growth Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Archrock Inc. | 18,070 | 247 | |
* | REX American Resources | ||
Corp. | 1,843 | 153 | |
* | Bill Barrett Corp. | 21,857 | 120 |
* | TETRA Technologies Inc. | 22,821 | 102 |
* | Pioneer Energy Services | ||
Corp. | 19,381 | 102 | |
* | Tesco Corp. | 9,528 | 80 |
* | Geospace Technologies Corp. | 3,542 | 58 |
* | Contango Oil & Gas Co. | 5,219 | 39 |
* | Northern Oil and Gas Inc. | 10,735 | 32 |
6,113 | |||
Financials (17.3%) | |||
Home BancShares Inc. | 74,493 | 2,096 | |
Sterling Bancorp | 78,841 | 1,951 | |
Pinnacle Financial | |||
Partners Inc. | 27,751 | 1,926 | |
Evercore Partners Inc. | |||
Class A | 23,457 | 1,866 | |
First Financial | |||
Bankshares Inc. | 39,819 | 1,752 | |
* | Texas Capital | ||
Bancshares Inc. | 19,498 | 1,738 | |
United Community | |||
Banks Inc. | 42,713 | 1,234 | |
Glacier Bancorp Inc. | 31,826 | 1,175 | |
ServisFirst Bancshares Inc. | 26,637 | 1,107 | |
^,* | BofI Holding Inc. | 34,719 | 1,095 |
LegacyTexas Financial | |||
Group Inc. | 25,052 | 1,067 | |
Ameris Bancorp | 21,048 | 1,017 | |
United Bankshares Inc. | 21,425 | 959 | |
Financial Engines Inc. | 20,860 | 924 | |
Community Bank System Inc. | 15,515 | 922 | |
Great Western Bancorp Inc. | 20,527 | 877 | |
CVB Financial Corp. | 35,158 | 835 | |
Columbia Banking | |||
System Inc. | 18,540 | 740 | |
First Midwest Bancorp Inc. | 28,272 | 691 | |
* | Walker & Dunlop Inc. | 16,707 | 679 |
Independent Bank Corp. | 10,413 | 677 | |
Northwest Bancshares Inc. | 37,239 | 676 | |
RLI Corp. | 11,510 | 673 | |
First Financial Bancorp | 23,895 | 663 | |
Tompkins Financial Corp. | 7,348 | 659 | |
Hanmi Financial Corp. | 19,436 | 649 | |
NBT Bancorp Inc. | 15,864 | 641 | |
Cardinal Financial Corp. | 19,766 | 618 | |
Piper Jaffray Cos. | 8,569 | 606 | |
* | First BanCorp | 94,324 | 602 |
Central Pacific Financial Corp. | 18,574 | 587 | |
* | Customers Bancorp Inc. | 16,967 | 583 |
Simmons First National Corp. | |||
Class A | 9,843 | 566 | |
Southside Bancshares Inc. | 15,791 | 556 |
Westamerica Bancorporation | 9,277 | 537 | |
Universal Insurance | |||
Holdings Inc. | 19,631 | 529 | |
Provident Financial | |||
Services Inc. | 19,548 | 519 | |
National Bank Holdings Corp. | |||
Class A | 15,638 | 516 | |
* | LendingTree Inc. | 4,331 | 513 |
Northfield Bancorp Inc. | 27,047 | 507 | |
Boston Private Financial | |||
Holdings Inc. | 29,039 | 499 | |
First Commonwealth | |||
Financial Corp. | 34,303 | 478 | |
AMERISAFE Inc. | 6,715 | 432 | |
Brookline Bancorp Inc. | 26,755 | 424 | |
* | Green Dot Corp. Class A | 13,595 | 398 |
City Holding Co. | 4,800 | 314 | |
TrustCo Bank Corp. NY | 32,923 | 275 | |
Dime Community | |||
Bancshares Inc. | 10,719 | 230 | |
Greenhill & Co. Inc. | 7,386 | 218 | |
Oritani Financial Corp. | 11,698 | 201 | |
Bank Mutual Corp. | 14,428 | 140 | |
40,137 | |||
Health Care (15.1%) | |||
* | Masimo Corp. | 26,649 | 2,408 |
* | Medidata Solutions Inc. | 32,982 | 1,844 |
Cantel Medical Corp. | 21,876 | 1,796 | |
* | Neogen Corp. | 22,729 | 1,474 |
* | ICU Medical Inc. | 8,946 | 1,345 |
* | Zeltiq Aesthetics Inc. | 21,686 | 1,201 |
* | Ligand Pharmaceuticals Inc. | 11,464 | 1,199 |
* | AMN Healthcare Services Inc. 28,962 | 1,192 | |
* | Integra LifeSciences Holdings | ||
Corp. | 23,076 | 986 | |
* | HMS Holdings Corp. | 51,029 | 951 |
* | Cynosure Inc. Class A | 14,380 | 949 |
Chemed Corp. | 5,182 | 925 | |
* | Omnicell Inc. | 22,011 | 837 |
* | Medicines Co. | 15,935 | 835 |
* | Merit Medical Systems Inc. | 26,873 | 828 |
* | Varex Imaging Corp. | 22,519 | 784 |
* | Supernus | ||
Pharmaceuticals Inc. | 29,840 | 767 | |
* | Cambrex Corp. | 13,369 | 753 |
* | Nektar Therapeutics Class A | 53,422 | 699 |
* | Repligen Corp. | 20,385 | 642 |
* | HealthEquity Inc. | 14,503 | 634 |
* | Surgical Care Affiliates Inc. | 11,085 | 629 |
* | Momenta | ||
Pharmaceuticals Inc. | 38,524 | 595 | |
* | Haemonetics Corp. | 15,873 | 593 |
US Physical Therapy Inc. | 7,543 | 571 | |
* | Innoviva Inc. | 46,507 | 537 |
^,* | MiMedx Group Inc. | 60,687 | 520 |
47
S&P Small-Cap 600 Growth Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Progenics | |||
Pharmaceuticals Inc. | 42,223 | 475 | |
* | Magellan Health Inc. | 6,719 | 465 |
* | AMAG Pharmaceuticals Inc. | 20,604 | 463 |
* | Luminex Corp. | 23,882 | 444 |
* | BioTelemetry Inc. | 17,037 | 434 |
* | Inogen Inc. | 5,988 | 411 |
Abaxis Inc. | 7,887 | 393 | |
* | HealthStream Inc. | 15,324 | 375 |
* | Eagle Pharmaceuticals Inc. | 4,750 | 364 |
* | Depomed Inc. | 20,813 | 341 |
* | Natus Medical Inc. | 8,739 | 324 |
* | Cross Country Healthcare Inc. | 19,923 | 308 |
* | SciClone Pharmaceuticals Inc. | 30,812 | 305 |
Landauer Inc. | 5,796 | 303 | |
* | Emergent BioSolutions Inc. | 9,557 | 300 |
* | Tivity Health Inc. | 10,039 | 290 |
* | ANI Pharmaceuticals Inc. | 4,822 | 285 |
Ensign Group Inc. | 14,940 | 281 | |
* | Anika Therapeutics Inc. | 6,001 | 281 |
Analogic Corp. | 3,307 | 272 | |
* | CryoLife Inc. | 16,255 | 260 |
* | Enanta Pharmaceuticals Inc. | 8,386 | 242 |
* | Amphastar | ||
Pharmaceuticals Inc. | 14,732 | 228 | |
* | Surmodics Inc. | 7,970 | 197 |
Sucampo Pharmaceuticals | |||
Inc. Class A | 14,909 | 175 | |
Meridian Bioscience Inc. | 11,943 | 153 | |
Phibro Animal Health Corp. | |||
Class A | 4,797 | 134 | |
* | CorVel Corp. | 2,573 | 104 |
35,101 | |||
Industrials (18.3%) | |||
* | WageWorks Inc. | 22,086 | 1,701 |
John Bean Technologies | |||
Corp. | 17,574 | 1,571 | |
* | Hawaiian Holdings Inc. | 32,203 | 1,567 |
Tetra Tech Inc. | 34,394 | 1,384 | |
Allegiant Travel Co. Class A | 7,880 | 1,372 | |
Knight Transportation Inc. | 40,040 | 1,309 | |
* | Trex Co. Inc. | 17,717 | 1,205 |
Healthcare Services | |||
Group Inc. | 28,876 | 1,195 | |
G&K Services Inc. Class A | 11,887 | 1,123 | |
* | Mercury Systems Inc. | 28,338 | 1,059 |
Simpson Manufacturing | |||
Co. Inc. | 24,360 | 1,051 | |
Applied Industrial | |||
Technologies Inc. | 15,752 | 993 | |
Insperity Inc. | 11,414 | 950 | |
Matthews International Corp. | |||
Class A | 13,561 | 893 | |
Barnes Group Inc. | 16,893 | 847 | |
ESCO Technologies Inc. | 15,503 | 840 |
* | TASER International Inc. | 31,513 | 809 |
AAON Inc. | 23,849 | 803 | |
* | Proto Labs Inc. | 14,657 | 800 |
Brady Corp. Class A | 20,547 | 786 | |
* | Gibraltar Industries Inc. | 18,868 | 782 |
Astec Industries Inc. | 11,528 | 728 | |
UniFirst Corp. | 5,391 | 718 | |
Hillenbrand Inc. | 19,381 | 705 | |
* | Patrick Industries Inc. | 8,778 | 701 |
* | On Assignment Inc. | 14,675 | 693 |
US Ecology Inc. | 13,124 | 666 | |
* | Navigant Consulting Inc. | 28,359 | 661 |
ABM Industries Inc. | 16,127 | 658 | |
Forward Air Corp. | 12,322 | 611 | |
Watts Water Technologies | |||
Inc. Class A | 9,395 | 601 | |
AZZ Inc. | 10,185 | 597 | |
Apogee Enterprises Inc. | 10,271 | 587 | |
Universal Forest Products Inc. | 6,125 | 587 | |
Exponent Inc. | 10,176 | 585 | |
Viad Corp. | 12,234 | 577 | |
* | Lydall Inc. | 10,337 | 524 |
* | Aerojet Rocketdyne | ||
Holdings Inc. | 26,985 | 523 | |
Franklin Electric Co. Inc. | 12,268 | 514 | |
Albany International Corp. | 10,617 | 481 | |
Tennant Co. | 6,795 | 477 | |
Actuant Corp. Class A | 17,042 | 452 | |
Griffon Corp. | 17,901 | 450 | |
EnPro Industries Inc. | 6,575 | 429 | |
* | Saia Inc. | 8,765 | 424 |
Quanex Building Products | |||
Corp. | 20,651 | 404 | |
Mobile Mini Inc. | 12,075 | 393 | |
* | American Woodmark Corp. | 4,470 | 386 |
Insteel Industries Inc. | 10,536 | 381 | |
Multi-Color Corp. | 5,260 | 377 | |
Raven Industries Inc. | 12,657 | 374 | |
* | MYR Group Inc. | 9,695 | 364 |
Heartland Express Inc. | 16,466 | 342 | |
* | Chart Industries Inc. | 9,232 | 329 |
* | Harsco Corp. | 23,226 | 327 |
CIRCOR International Inc. | 5,055 | 314 | |
* | PGT Innovations Inc. | 29,570 | 297 |
Alamo Group Inc. | 3,532 | 265 | |
Lindsay Corp. | 3,271 | 262 | |
Marten Transport Ltd. | 6,973 | 171 | |
* | Aerovironment Inc. | 5,955 | 161 |
* | Vicor Corp. | 9,649 | 157 |
* | Orion Group Holdings Inc. | 16,698 | 156 |
42,449 | |||
Information Technology (18.2%) | |||
* | Take-Two Interactive | ||
Software Inc. | 61,125 | 3,483 | |
* | Coherent Inc. | 14,798 | 2,702 |
48
S&P Small-Cap 600 Growth Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
MKS Instruments Inc. | 32,301 | 2,119 | |
Blackbaud Inc. | 28,680 | 2,051 | |
* | Lumentum Holdings Inc. | 32,983 | 1,514 |
* | Advanced Energy | ||
Industries Inc. | 23,923 | 1,486 | |
* | TiVo Corp. | 72,063 | 1,333 |
* | Itron Inc. | 20,062 | 1,298 |
* | Stamps.com Inc. | 9,558 | 1,205 |
* | Cardtronics plc Class A | 27,306 | 1,204 |
* | II-VI Inc. | 32,659 | 1,163 |
Power Integrations Inc. | 17,564 | 1,110 | |
Xperi Corp. | 29,284 | 1,050 | |
Cabot Microelectronics Corp. | 14,602 | 1,011 | |
* | Fabrinet | 22,216 | 923 |
^ | Ebix Inc. | 13,480 | 842 |
Progress Software Corp. | 29,289 | 840 | |
* | Rambus Inc. | 66,575 | 836 |
* | Semtech Corp. | 24,924 | 834 |
* | 8x8 Inc. | 54,581 | 824 |
* | TTM Technologies Inc. | 50,830 | 821 |
NIC Inc. | 37,383 | 789 | |
* | Synchronoss | ||
Technologies Inc. | 25,402 | 688 | |
* | Electronics For Imaging Inc. | 14,091 | 649 |
Badger Meter Inc. | 17,540 | 642 | |
* | Rogers Corp. | 7,579 | 625 |
* | NETGEAR Inc. | 11,362 | 623 |
* | Qualys Inc. | 17,419 | 609 |
* | MicroStrategy Inc. Class A | 3,056 | 586 |
* | ExlService Holdings Inc. | 13,122 | 586 |
* | SPS Commerce Inc. | 10,264 | 568 |
Methode Electronics Inc. | 12,241 | 508 | |
* | Shutterstock Inc. | 11,641 | 508 |
CSG Systems | |||
International Inc. | 12,247 | 483 | |
* | Kulicke & Soffa | ||
Industries Inc. | 22,196 | 454 | |
Brooks Automation Inc. | 21,197 | 442 | |
CTS Corp. | 19,728 | 432 | |
* | CEVA Inc. | 12,813 | 428 |
* | Nanometrics Inc. | 15,037 | 409 |
* | Rudolph Technologies Inc. | 18,721 | 402 |
ADTRAN Inc. | 18,402 | 389 | |
* | Veeco Instruments Inc. | 12,254 | 335 |
* | Super Micro Computer Inc. | 11,518 | 299 |
* | Bottomline Technologies | ||
de Inc. | 11,250 | 281 | |
* | ePlus Inc. | 2,066 | 262 |
Forrester Research Inc. | 6,047 | 221 | |
* | Ultratech Inc. | 7,278 | 210 |
Monotype Imaging | |||
Holdings Inc. | 10,300 | 207 | |
* | FARO Technologies Inc. | 5,333 | 184 |
* | Exar Corp. | 15,762 | 165 |
* | CalAmp Corp. | 9,414 | 153 |
* | XO Group Inc. | 7,794 | 144 |
* | VASCO Data Security | ||
International Inc. | 7,797 | 101 | |
* | LivePerson Inc. | 14,173 | 100 |
Bel Fuse Inc. Class B | 2,935 | 77 | |
* | Kopin Corp. | 16,452 | 58 |
* | DHI Group Inc. | 11,082 | 55 |
42,321 | |||
Materials (4.7%) | |||
Balchem Corp. | 19,120 | 1,667 | |
* | Ingevity Corp. | 25,386 | 1,370 |
Quaker Chemical Corp. | 7,990 | 1,052 | |
* | Headwaters Inc. | 44,698 | 1,028 |
* | AK Steel Holding Corp. | 105,658 | 880 |
* | Stillwater Mining Co. | 48,167 | 822 |
Stepan Co. | 7,398 | 559 | |
* | Kraton Corp. | 18,620 | 507 |
Neenah Paper Inc. | 6,556 | 480 | |
Innospec Inc. | 7,077 | 462 | |
Innophos Holdings Inc. | 8,410 | 446 | |
* | US Concrete Inc. | 5,833 | 367 |
* | Koppers Holdings Inc. | 7,856 | 344 |
Deltic Timber Corp. | 3,767 | 280 | |
A Schulman Inc. | 7,613 | 257 | |
* | Flotek Industries Inc. | 13,647 | 185 |
Hawkins Inc. | 3,516 | 174 | |
10,880 | |||
Real Estate (7.6%) | |||
CoreSite Realty Corp. | 20,431 | 1,840 | |
EastGroup Properties Inc. | 19,735 | 1,467 | |
Lexington Realty Trust | 128,618 | 1,435 | |
GEO Group Inc. | 23,511 | 1,119 | |
American Assets Trust Inc. | 24,209 | 1,065 | |
Retail Opportunity | |||
Investments Corp. | 44,139 | 971 | |
PS Business Parks Inc. | 7,650 | 889 | |
Summit Hotel Properties Inc. | 52,653 | 810 | |
Four Corners Property | |||
Trust Inc. | 36,098 | 801 | |
Agree Realty Corp. | 15,764 | 782 | |
LTC Properties Inc. | 15,601 | 753 | |
DiamondRock Hospitality Co. | 62,777 | 683 | |
Acadia Realty Trust | 20,953 | 671 | |
CareTrust REIT Inc. | 38,803 | 612 | |
Sabra Health Care REIT Inc. | 20,046 | 545 | |
Getty Realty Corp. | 15,976 | 422 | |
HFF Inc. Class A | 14,168 | 420 | |
Franklin Street Properties | |||
Corp. | 33,653 | 417 | |
Urstadt Biddle Properties Inc. | |||
Class A | 17,403 | 388 | |
Universal Health Realty | |||
Income Trust | 4,983 | 320 | |
Saul Centers Inc. | 4,901 | 314 |
49
S&P Small-Cap 600 Growth Index Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Pennsylvania REIT | 18,046 | 298 | |
Hersha Hospitality Trust | |||
Class A | 14,393 | 281 | |
* | Parkway Inc. | 13,150 | 276 |
17,579 | |||
Telecommunication Services (0.9%) | |||
Cogent Communications | |||
Holdings Inc. | 24,674 | 1,023 | |
Consolidated | |||
Communications | |||
Holdings Inc. | 19,526 | 440 | |
* | Cincinnati Bell Inc. | 14,710 | 284 |
ATN International Inc. | 3,208 | 219 | |
* | Lumos Networks Corp. | 6,262 | 111 |
2,077 | |||
Utilities (1.4%) | |||
South Jersey Industries Inc. | 47,780 | 1,673 | |
California Water Service | |||
Group | 28,912 | 1,063 | |
American States Water Co. | 10,570 | 473 | |
3,209 | |||
Total Common Stocks | |||
(Cost $203,013) | 231,638 | ||
Temporary Cash Investments (0.6%)1 | |||
Money Market Fund (0.6%) | |||
2,3 | Vanguard Market Liquidity | ||
Fund, 0.864% | 13,001 | 1,300 | |
Face | |||
Amount | |||
($000) | |||
U.S. Government and Agency Obligations (0.0%) | |||
4 | United States Treasury | ||
Bill, 0.564%, 5/4/17 | 100 | 100 | |
Total Temporary Cash Investments | |||
(Cost $1,400) | 1,400 | ||
Total Investments (100.3%) | |||
(Cost $204,413) | 233,038 |
Amount | |
($000) | |
Other Assets and Liabilities (-0.3%) | |
Other Assets | |
Investment in Vanguard | 16 |
Receivables for Accrued Income | 118 |
Receivables for Capital Shares Issued | 1 |
Total Other Assets | 135 |
Liabilities | |
Payables for Investment Securities Purchased (17) | |
Collateral for Securities on Loan | (741) |
Payables to Vanguard | (33) |
Other Liabilities | (15) |
Total Liabilities | (806) |
ETF Shares—Net Assets (100%) | |
Applicable to 1,775,000 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 232,367 |
Net Asset Value Per Share— | |
ETF Shares | $130.91 |
At February 28, 2017, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 216,187 |
Undistributed Net Investment Income | 101 |
Accumulated Net Realized Losses | (12,544) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 28,625 |
Futures Contracts | (2) |
Net Assets | 232,367 |
• 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 $728,000.
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 0.3%, 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 $741,000 of collateral received for securities on loan.
4 Securities with a value of $100,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
50
S&P Small-Cap 600 Growth Index Fund
Statement of Operations
Six Months Ended | |
February 28, 2017 | |
($000) | |
Investment Income | |
Income | |
Dividends | 917 |
Interest1 | 1 |
Securities Lending—Net | 28 |
Total Income | 946 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 14 |
Management and Administrative | 117 |
Marketing and Distribution | 7 |
Custodian Fees | 30 |
Shareholders’ Reports | 9 |
Total Expenses | 177 |
Net Investment Income | 769 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | 976 |
Futures Contracts | 18 |
Realized Net Gain (Loss) | 994 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 18,210 |
Futures Contracts | (2) |
Change in Unrealized Appreciation (Depreciation) | 18,208 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 19,971 |
1 Interest income and realized net gain (loss) from an affiliated company of the fund were $1,000 and $0, respectively.
See accompanying Notes, which are an integral part of the Financial Statements.
51
S&P Small-Cap 600 Growth Index Fund
Statement of Changes in Net Assets
Six Months Ended | Year Ended | |
February 28, | August 31, | |
2017 | 2016 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 769 | 1,197 |
Realized Net Gain (Loss) | 994 | (5,037) |
Change in Unrealized Appreciation (Depreciation) | 18,208 | 16,336 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 19,971 | 12,496 |
Distributions | ||
Net Investment Income | (931) | (1,395) |
Realized Capital Gain | — | — |
Total Distributions | (931) | (1,395) |
Capital Share Transactions | ||
Issued | 90,308 | 86,678 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (8,883) | (40,767) |
Net Increase (Decrease) from Capital Share Transactions | 81,425 | 45,911 |
Total Increase (Decrease) | 100,465 | 57,012 |
Net Assets | ||
Beginning of Period | 131,902 | 74,890 |
End of Period1 | 232,367 | 131,902 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $101,000 and $263,000.
See accompanying Notes, which are an integral part of the Financial Statements.
52
S&P Small-Cap 600 Growth Index Fund
Financial Highlights
ETF Shares | |||||||
Six Months | |||||||
Ended | |||||||
For a Share Outstanding | February 28, | Year Ended August 31, | |||||
Throughout Each Period | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
Net Asset Value, Beginning of Period | $117.25 | $106.99 | $101.36 | $87.79 | $70.70 | $61.18 | |
Investment Operations | |||||||
Net Investment Income | .509 | 1.180 | 1.043 | .6681 | .822 | .5311 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | 13.836 | 10.685 | 5.345 | 13.432 | 17.083 | 9.326 | |
Total from Investment Operations | 14.345 | 11.865 | 6.388 | 14.100 | 17.905 | 9.857 | |
Distributions | |||||||
Dividends from Net Investment Income | (. 685) | (1.605) | (.758) | (. 530) | (. 815) | (. 337) | |
Distributions from Realized Capital Gains | — | — | — | — | — | — | |
Total Distributions | (. 685) | (1.605) | (.758) | (. 530) | (. 815) | (. 337) | |
Net Asset Value, End of Period | $130.91 | $117.25 | $106.99 | $101.36 | $87.79 | $70.70 | |
Total Return | 12.27% | 11.24% | 6.32% | 16.07% | 25.59% | 16.17% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $232 | $132 | $75 | $61 | $22 | $14 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.21% | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 0.86% | 1.15% | 0.98% | 0.66% | 1.03% | 0.83% | |
Portfolio Turnover Rate 2 | 52% | 48% | 63% | 44% | 39% | 45% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
53
S&P Small-Cap 600 Growth Index Fund
Notes to Financial Statements
Vanguard S&P Small-Cap 600 Growth Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: 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 28, 2017, 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 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.
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 28, 2017, 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.
54
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, 2013–2016), and for the period ended February 28, 2017, 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. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 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 0.10% 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 based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 28, 2017, 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.
55
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 28, 2017, the fund had contributed to Vanguard capital in the amount of $16,000, 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 28, 2017, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 231,638 | — | — |
Temporary Cash Investments | 1,300 | 100 | — |
Futures Contracts—Liabilities1 | (11) | — | — |
Total | 232,927 | 100 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At February 28, 2017, 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 2017 | 10 | 693 | (2) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
56
S&P Small-Cap 600 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 28, 2017, the fund realized $1,188,000 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, 2016, the fund had available capital losses totaling $12,361,000 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, 2017; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 28, 2017, the cost of investment securities for tax purposes was $204,413,000. Net unrealized appreciation of investment securities for tax purposes was $28,625,000, consisting of unrealized gains of $32,309,000 on securities that had risen in value since their purchase and $3,684,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended February 28, 2017, the fund purchased $164,373,000 of investment securities and sold $83,662,000 of investment securities, other than temporary cash investments. Purchases and sales include $90,265,000 and $3,797,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 28, 2017, such purchases and sales were $10,573,000 and $11,170,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
G. Capital share transactions for each class of shares were: | ||
Six Months Ended | Year Ended | |
February 28, 2017 | August 31, 2016 | |
Shares | Shares | |
(000) | (000) | |
Issued | 725 | 800 |
Issued in Lieu of Cash Distributions | — | — |
Redeemed | (75) | (375) |
Net Increase (Decrease) in Shares Outstanding | 650 | 425 |
H. Management has determined that no material events or transactions occurred subsequent to February 28, 2017, that would require recognition or disclosure in these financial statements.
57
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
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Six Months Ended February 28, 2017 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
8/31/2016 | 2/28/2017 | Period | |
Based on Actual Fund Return | |||
S&P Small-Cap 600 Index Fund | |||
ETF Shares | $1,000.00 | $1,131.48 | $0.85 |
Institutional Shares | 1,000.00 | 1,131.79 | 0.42 |
S&P Small-Cap 600 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,138.11 | $1.11 |
Institutional Shares | 1,000.00 | 1,138.79 | 0.48 |
S&P Small-Cap 600 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,122.68 | $1.11 |
Based on Hypothetical 5% Yearly Return | |||
S&P Small-Cap 600 Index Fund | |||
ETF Shares | $1,000.00 | $1,024.00 | $0.80 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
S&P Small-Cap 600 Value Index Fund | |||
ETF Shares | $1,000.00 | $1,023.75 | $1.05 |
Institutional Shares | 1,000.00 | 1,024.35 | 0.45 |
S&P Small-Cap 600 Growth Index Fund | |||
ETF Shares | $1,000.00 | $1,023.75 | $1.05 |
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, 0.16% for ETF Shares and 0.08% for Institutional Shares; for the S&P Small-Cap 600 Value Index Fund, 0.21% for ETF Shares and 0.09% for Institutional Shares; and for the S&P Small-Cap 600 Growth Index Fund, 0.21% 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 (181/365).
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Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
Dividend Yield. Dividend income earned by stocks, expressed as a percentage of the aggregate market value (or of net asset value, for a fund). The yield is determined by dividing the amount of the annual dividends by the aggregate value (or net asset value) at the end of the period. For a fund, the dividend yield is based solely on stock holdings and does not include any income produced by other investments.
Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund.
Equity Exposure. A measure that reflects a fund’s investments in stocks and stock futures. Any holdings in short-term reserves are excluded.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Foreign Holdings. The percentage of a fund represented by securities or depositary receipts of companies based outside the United States.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it.
Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds.
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Price/Earnings Ratio. The ratio of a stock’s current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company’s future growth.
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
Return on Equity. The annual average rate of return generated by a company during the past five years for each dollar of shareholder’s equity (net income divided by shareholder’s equity). For a fund, the weighted average return on equity for the companies whose stocks it holds.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Turnover Rate. An indication of the fund’s trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors). The turnover rate excludes in-kind transactions, which have minimal impact on costs.
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 195 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. 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
F. William McNabb III
Born 1957. Trustee Since July 2009. Chairman of the Board. Principal Occupation(s) During the Past Five Years and Other Experience: Chairman of the Board of The Vanguard Group, Inc., and of each of the investment companies served by The Vanguard Group, since January 2010; Director of The Vanguard Group since 2008; Chief Executive Officer and President of The Vanguard Group, and of each of the investment companies served by The Vanguard Group, since 2008; Director of Vanguard Marketing Corporation; Managing Director of The Vanguard Group (1995–2008).
IndependentTrustees
Emerson U. Fullwood
Born 1948. Trustee Since January 2008. Principal Occupation(s) During the Past Five Years and Other Experience: Executive Chief Staff and Marketing Officer for North America and Corporate Vice President (retired 2008) of Xerox Corporation (document management products and services); Executive in Residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology; Lead Director of SPX FLOW, Inc. (multi-industry manufacturing); Director of the United Way of Rochester, the University of Rochester Medical Center, Monroe Community College Foundation, North Carolina A&T University, and Roberts Wesleyan College.
Rajiv L. Gupta
Born 1945. Trustee Since December 2001.2 Principal Occupation(s) During the Past Five Years and Other Experience: Chairman and Chief Executive Officer (retired 2009) and President (2006–2008) of Rohm and Haas Co. (chemicals); Director of Arconic Inc.
(diversified manufacturer), HP Inc. (printer and personal computer manufacturing), and Delphi Automotive plc (automotive components); Senior Advisor at New Mountain Capital.
Amy Gutmann
Born 1949. Trustee Since June 2006. Principal Occupation(s) During the Past Five Years and Other Experience: President of the University of Pennsylvania; Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and Professor of Communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania; Trustee of the National Constitution Center; Chair of the Presidential Commission for the Study of Bioethical Issues.
JoAnn Heffernan Heisen
Born 1950. Trustee Since July 1998. Principal Occupation(s) During the Past Five Years and Other Experience: Corporate Vice President and Chief Global Diversity Officer (retired 2008) and 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
Born 1949. Trustee Since October 2009. Principal Occupation(s) During the Past Five Years and Other Experience: President and Chief Operating Officer (retired 2009) of Cummins Inc. (industrial machinery); Chairman of the Board of Hillenbrand, Inc. (specialized consumer services), Oxfam America, and the Lumina
Foundation for Education; Director of SKF AB (industrial machinery), Hyster-Yale Materials Handling, Inc. (forklift trucks), and the V Foundation for Cancer Research; Member of the Advisory Council for the College of Arts and Letters and Chair of the Advisory Board to the Kellogg Institute for International Studies, both at the University of Notre Dame.
Mark Loughridge
Born 1953. Trustee Since March 2012. Principal Occupation(s) During the Past Five Years and Other Experience: Senior Vice President and Chief Financial Officer (retired 2013) at IBM (information technology services); Fiduciary Member of IBM’s Retirement Plan Committee (2004–2013); Director of the Dow Chemical Company; Member of the Council on Chicago Booth.
Scott C. Malpass
Born 1962. Trustee Since March 2012. Principal Occupation(s) During the Past Five Years and Other Experience: Chief Investment Officer and Vice President at the University of Notre Dame; Assistant Professor of Finance at the Mendoza College of Business at Notre Dame; Member of the Notre Dame 403(b) Investment Committee, the Board of Advisors for Spruceview Capital Partners, and the Investment Advisory Committee of Major League Baseball; Board Member of TIFF Advisory Services, Inc., and Catholic Investment Services, Inc. (investment advisors); Member of the Board of Superintendence of the Institute for the Works of Religion.
André F. Perold
Born 1952. Trustee Since December 2004. Principal Occupation(s) During the Past Five Years and Other Experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011); Chief Investment Officer and Co-Managing Partner of HighVista Strategies LLC (private investment firm); Overseer of the Museum of Fine Arts Boston.
Peter F. Volanakis
Born 1955. Trustee Since July 2009. Principal Occupation(s) During the Past Five Years and Other Experience: President and Chief Operating Officer (retired 2010) of Corning Incorporated (communications equipment); Chairman of the Board of Trustees of Colby-Sawyer College; Member of the Board of Hypertherm, Inc. (industrial cutting systems, software, and consumables).
Executive Officers
Glenn Booraem
Born 1967. Investment Stewardship Officer Since February 2017. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Treasurer (2015–2017),
Controller (2010–2015), and Assistant Controller (2001–2010) of each of the investment companies served by The Vanguard Group.
Thomas J. Higgins
Born 1957. Chief Financial Officer Since September 2008. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Chief Financial Officer of each of the investment companies served by The Vanguard Group; Treasurer of each of the investment companies served by The Vanguard Group (1998–2008).
Peter Mahoney
Born 1974. Controller Since May 2015. Principal Occupation(s) During the Past Five Years and Other Experience: Principal of The Vanguard Group, Inc.; Controller of each of the investment companies served by The Vanguard Group; Head of International Fund Services at The Vanguard Group (2008–2014).
Anne E. Robinson
Born 1970. Secretary Since September 2016. Principal Occupation(s) During the Past Five Years and Other Experience: Managing Director of The Vanguard Group, Inc.; General Counsel of The Vanguard Group; Secretary of The Vanguard Group and of each of the investment companies served by The Vanguard Group; Director and Senior Vice President of Vanguard Marketing Corporation; Managing Director and General Counsel of Global Cards and Consumer Services at Citigroup (2014–2016); Counsel at American Express (2003–2014).
Michael Rollings
Born 1963. Treasurer Since February 2017. Principal Occupation(s) During the Past Five Years and Other Experience: Managing Director of The Vanguard Group, Inc.; Treasurer of each of the investment companies served by The Vanguard Group; Executive Vice President and Chief Financial Officer of MassMutual Financial Group (2006–2016).
Vanguard Senior Management Team
Mortimer J. Buckley | James M. Norris |
John James | Thomas M. Rampulla |
Martha G. King | Glenn W. Reed |
John T. Marcante | Karin A. Risi |
Chris D. McIsaac | |
Chairman Emeritus and Senior Advisor | |
John J. Brennan | |
Chairman, 1996–2009 | |
Chief Executive Officer and President, 1996–2008 | |
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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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 |
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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. | |
© 2017 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q18452 042017 |
Item 2: Code of Ethics. The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. The Code of Ethics was amended during the reporting period covered by this report to make certain technical, non-material changes.
Item 3: Audit Committee Financial Expert.
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 17, 2017
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 17, 2017 | |
VANGUARD ADMIRAL FUNDS | |
BY: | /s/ THOMAS J. HIGGINS* |
THOMAS J. HIGGINS | |
CHIEF FINANCIAL OFFICER |
Date: April 17, 2017
* By: /s/ Anne E. Robinson
Anne E. Robinson, pursuant to a Power of Attorney filed on October 4, 2016 see file Number 33-32548, Incorporated by Reference.