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, 2017 – February 28, 2018 |
Item 1: Reports to Shareholders |
Semiannual Report | February 28, 2018
Vanguard Money Market Funds
Vanguard Prime Money Market Fund
Vanguard Federal Money Market Fund
Vanguard Treasury Money Market Fund
Vanguard’s Principles for Investing Success
We want to give you the best chance of investment success. These principles, grounded in Vanguard’s research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds. Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
| |
| Contents | |
| Your Fund’s Performance at a Glance. | 1 |
| CEO’s Perspective. | 3 |
| Advisor’s Report. | 6 |
| Results of Proxy Voting. | 9 |
| Prime Money Market Fund. | 12 |
| Federal Money Market Fund. | 30 |
| Treasury Money Market Fund. | 44 |
| About Your Fund’s Expenses. | 53 |
| Glossary. | 55 |
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: Nautical images have been part of Vanguard’s rich heritage since its start in 1975. For an
incoming ship, a lighthouse offers a beacon and safe path to shore. You can similarly depend on Vanguard to put
you first––and light the way––as you strive to meet your financial goals. Our client focus and low costs,
stemming from our unique ownership structure, assure that your interests are paramount.
Your Fund’s Performance at a Glance
• For the six months ended February 28, 2018, Investor Shares of Vanguard Prime Money Market Fund returned 0.63%, while Admiral Shares, with their lower expense ratio, returned 0.66%. Vanguard Federal Money Market Fund returned 0.56% and Vanguard Treasury Money Market Fund returned 0.55%. All three funds surpassed the average returns of their peers.
• The Federal Reserve raised the federal funds rate by a quarter of a percentage point during the period, pushing its target range to 1.25%–1.5%. It also began trimming its $4.5 trillion balance sheet.
• A surge in volatility allowed us to add to the funds’ floating-rate securities exposures at attractive prices. These moves helped the funds’ returns.
| | |
| Total Returns: Six Months Ended February 28, 2018 | | |
| | 7-Day SEC | Total |
| | Yield | Returns |
| Vanguard Prime Money Market Fund | | |
| Investor Shares | 1.52% | 0.63% |
| Admiral™ Shares | 1.58 | 0.66 |
| Money Market Funds Average | | 0.41 |
| Money Market Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
| |
| Vanguard Federal Money Market Fund | 1.36% | 0.56% |
| Government Money Market Funds Average | | 0.29 |
| Government Money Market Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
| |
| Vanguard Treasury Money Market Fund | 1.41% | 0.55% |
| iMoneyNet Money Fund Report’s 100% Treasury Funds Average | | 0.31 |
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.
| | |
| Expense Ratios | | |
| Your Fund Compared With Its Peer Group | | |
| | | Peer Group |
| | Fund | Average |
| Prime Money Market Fund | | |
| Investor Shares | 0.16% | 0.50% |
| Admiral Shares | 0.10 | 0.50 |
| Federal Money Market Fund | 0.11 | 0.48 |
| Treasury Money Market Fund | 0.09 | 0.40 |
The fund expense ratios shown are from the prospectus dated December 22, 2017, and represent estimated costs for the current fiscal
year. For the six months ended February 28, 2018, 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%; and 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.
2
CEO’s Perspective
Tim Buckley
President and Chief Executive Officer
Dear Shareholder,
As I begin my tenure as Vanguard’s fourth chief executive, I’ve been reflecting on both the past and the future of the company where I have spent my entire professional career.
I feel extremely fortunate to have the chance to lead a company filled with people who come to work every day passionate about Vanguard’s core purpose: to take a stand for all investors, to treat them fairly, and to give them the best chance for investment success.
Making a real difference
When I joined Vanguard in 1991, I found a mission-driven team focused on improving lives—helping people retire more comfortably, put their children through college, and achieve financial security. I found a company with purpose in an industry ripe for improvement.
It was clear, even early in my career, that the cards were stacked against most investors. Hidden fees, performance-chasing, and poor advice were relentlessly eroding investors’ dreams.
We knew Vanguard could be different and, as a result, could make a real difference. Over the past 25 years, for example, Vanguard has lowered our funds’ asset-weighted average expense ratio
3
from 0.31% to 0.12%. And over the past decade, 94% of our funds have beaten the average annual return of their peers.1
Focused on your success
Vanguard is built for Vanguard investors—as a client-owned company, we focus solely on you, our fund shareholders. Everything we do is designed to give our clients the best chance for investment success. In my role as CEO, I intend to keep this priority front and center. We’re proud of what we’ve achieved, but we’re even more excited about what’s to come.
As I write this, we’ve experienced a period of pronounced market volatility. Strong economic growth and budding signs of inflation have raised concerns about a more aggressive Federal Reserve. Although volatility can test investors’ nerves, we sometimes think of this as “Vanguard weather”—a time when having a disciplined, low-cost, and long-term approach to investment management serves investors well.
| | | |
| Market Barometer | | | |
| | Total Returns |
| | Periods Ended February 28, 2018 |
| | Six | One | Five Years |
| | Months | Year | (Annualized) |
| Stocks | | | |
| Russell 1000 Index (Large-caps) | 10.62% | 16.70% | 14.56% |
| Russell 2000 Index (Small-caps) | 8.30 | 10.51 | 12.19 |
| Russell 3000 Index (Broad U.S. market) | 10.45 | 16.22 | 14.37 |
| FTSE All-World ex US Index (International) | 7.84 | 21.50 | 6.69 |
| |
| Bonds | | | |
| Bloomberg Barclays U.S. Aggregate Bond Index | | | |
| (Broad taxable market) | -2.18% | 0.51% | 1.71% |
| Bloomberg Barclays Municipal Bond Index | | | |
| (Broad tax-exempt market) | -1.24 | 2.50 | 2.57 |
| Citigroup Three-Month U.S. Treasury Bill Index | 0.59 | 0.98 | 0.27 |
| |
| CPI | | | |
| Consumer Price Index | 1.41% | 2.21% | 1.41% |
The performance data shown represent past performance, which is not a guarantee of future results.
1 For the ten-year period through December 31, 2017, 9 of 9 Vanguard money market funds, 56 of 60 bond funds, 21 of 22 balanced funds,
and 131 of 140 stock funds, or 217 of 231 Vanguard funds, outperformed their peer-group averages. Sources: Vanguard, based on data
from Lipper, a Thomson Reuters Company.
4
Steady, time-tested guidance
Our guidance for investors, as always, is to stay the course, tune out the hyperbolic headlines, and focus on your goals and what you can control, such as costs and how much you save. This time-tested advice has served our clients well over the decades.
Regardless of how the markets perform in the short term, I’m incredibly optimistic about the future for our investors. We have a dedicated team serving you, and we will never stop striving to make Vanguard the best place for you to invest through our high-quality funds and services, advice and guidance to help you meet your financial goals, and an experience that makes you feel good about entrusting us with your hard-earned savings.
Thank you for your continued loyalty.
Sincerely,
Mortimer J. Buckley
President and Chief Executive Officer
March 19, 2018
5
Advisor’s Report
For the six months ended February 28, 2018, Investor Shares of Vanguard Prime Money Market Fund returned 0.63%, while Admiral Shares, with their lower expense ratio, returned 0.66%. Vanguard Federal Money Market Fund returned 0.56% and Vanguard Treasury Money Market Fund 0.55%. Each fund exceeded the average returns of its peer group.
The investment environment
Congress passed a tax reform bill during the period, overcoming political debate that had waylaid much of the administration’s agenda throughout 2017. Investors pushed U.S. stocks to new highs as the economy remained on solid footing and companies recorded strong profits.
The Federal Reserve acknowledged the health of the economy in December, when it raised interest rates in its third hike of 2017. This brought the target range for the federal funds rate to 1.25%–1.5%. The Fed also began reducing its $4.5 trillion balance sheet, signaling its intent to normalize monetary policy.
Early in 2018, however, a surge in volatility caught investors off guard. Although there was no single catalyst, the volatility was likely the by-product of the resilient U.S. economy. Investors worried that record-low unemployment would lead to higher wages, triggering price inflation—which would in turn cause the Federal Reserve under new chair Jerome Powell to raise rates at a more aggressive pace than anticipated.
Although volatility eventually moderated in the United States and other markets, concern remained as the period closed.
There are ample reasons for such concerns. The U.S. economy made up for a sluggish start to the year with stronger growth later on. Gross domestic product grew at a rate of 2.3% in 2017, up from 1.5% in 2016. The unemployment rate continued to grind lower, hovering at 4.1% at the end of February compared with 4.2% at the beginning of September and 4.8% 12 months earlier. And although wage growth and inflation didn’t accelerate, there were signs the two measures were on the upswing.
Fed action contributed to a significant increase in short-term yields. The 2-year U.S. Treasury note rose 76 basis points over the period to 2.25% and the 5-year note rose 70 basis points to 2.64%. (A basis point is one one-hundredth of a percentage point.) Longer-term yields, which are more affected by market expectations for growth and inflation, moved less. The yield of the bellwether 10-year Treasury note was lower than where it started for a good part of the year, but it finished up 53 basis points at 2.86%.
Continued growth in business revenue and earnings, a reduction in corporate tax rates, and investor thirst for yield all supported demand for investment-grade corporate bonds. The picture was somewhat nuanced, however, with long-dated bonds and those rated BBB generally faring best.
6
Management of the funds
The six months were characterized by a surge in volatility throughout global markets. In the past, we’ve had success using the funds’ liquidity to our advantage in such environments—most recently in 2016, when compliance with new money market regulations triggered the movement of more than $1 trillion in assets industrywide to government money market funds from prime money market funds. We were similarly opportunistic during this period.
In the Prime Money Market Fund, we continued to add exposure to floating-rate securities as a way to position the fund for a rising interest rate environment. These debt securities reset, typically every month, at prevailing interest rates. They generated positive performance as the Fed raised rates three times in 2017, including a hike in the middle of the period. Market volatility also allowed us to purchase high-quality short-term corporate bonds and bank debt at attractive prices. In recent months we have added bonds from companies outside the United States, which enhances the fund’s diversification.
The floating-rate securities theme carried over to the Federal Money Market and Treasury Money Market Funds. In the Federal Money Market Fund, we increased our exposure to floating-rate agency securities. In the Treasury fund, we added to our floating-rate Treasury positions. (We also increased the Treasury exposure in the Federal Money Market Fund.) These moves allowed us to generate incremental yield while maintaining the funds’ short maturity profiles.
A look ahead
Despite long-term structural challenges posed by, among other things, the pace of productivity growth, demographic trends, and the impact of new technologies, the U.S. economy is on pace to break above its long-term potential growth rate to around 2.5% in 2018.
The unemployment rate has fallen to its lowest level since 2000 and is likely to move even lower. While it’s taken longer than expected, we have seen some indications lately that the tight labor market is putting some upward pressure on wages. That, along with stable and broader global growth, may well lead to a cyclical upswing in inflation, a scenario the financial markets are now beginning to price in. Recent weakness in the U.S. dollar will also likely bolster core inflation metrics, albeit moderately and over the course of the next year. Our long-term outlook, which calls for tepid inflation, remains unchanged.
Against such a backdrop, the Fed would be justified in raising the federal funds rate to at least 2% by the end of 2018. Barring unexpected economic data or unintended consequences from tapering in the bond market, the central bank will probably want to stick to its framework and timetable for reducing its balance sheet.
7
Volatility has recently picked up from the very low levels we’ve been experiencing for some time, bringing with it more opportunities to take advantage of price dislocations in the market. Rising inflation expectations seem to have been the trigger, but other potential developments could also fuel volatility: midterm elections, stalled or scuttled trade negotiations, and flare-ups in geopolitical tensions, to name a few. In addition, as 2018 unfolds, we anticipate a convergence of monetary policy, with central banks adopting a less accommodative stance—some raising rates, some planning to raise rates, some reducing quantitative easing.
While spreads have become very tight, U.S. corporate bonds could get some support from pension and life insurance companies drawn back into the market for longer-term securities now that yields for these securities have moved higher. U.S.
corporates should also remain attractive to international investors, given their yield advantage. And the new tax bill could prove supportive to prices if the repatriation of profits results in reduced bond issuance.
It’s worth restating that investors should look beyond short-term volatility and adhere to their long-term investment strategies. And keep in mind the silver lining in higher rates for long-term investors—namely, that coupon payments and proceeds from maturing bonds can be reinvested at higher rates.
David R. Glocke, Principal
John C. Lanius, Portfolio Manager
Nafis T. Smith, Portfolio Manager
Vanguard Fixed Income Group
March 9, 2018
8
Results of Proxy Voting
At a special meeting of shareholders on November 15, 2017, fund shareholders approved the following proposals:
Proposal 1—Elect trustees for the fund.*
The individuals listed in the table below were elected as trustees for the fund. All trustees with the exception of Ms. Mulligan, Ms. Raskin, and Mr. Buckley (each of whom already serves as a director of The Vanguard Group, Inc.) served as trustees to the funds prior to the shareholder meeting.
Vanguard Federal Money Market Fund and Vanguard Prime Money Market Fund
| | | |
| | | | Percentage |
| Trustee | For | Withheld | For |
| Mortimer J. Buckley | 118,781,453,243 | 5,071,631,564 | 95.9% |
| Emerson U. Fullwood | 118,444,250,215 | 5,408,834,592 | 95.6% |
| Amy Gutmann | 118,277,288,931 | 5,575,795,875 | 95.5% |
| JoAnn Heffernan Heisen | 118,525,270,236 | 5,327,814,570 | 95.7% |
| F. Joseph Loughrey | 118,643,625,864 | 5,209,458,942 | 95.8% |
| Mark Loughridge | 118,669,847,294 | 5,183,237,512 | 95.8% |
| Scott C. Malpass | 118,371,923,332 | 5,481,161,474 | 95.6% |
| F. William McNabb III | 118,599,687,891 | 5,253,396,915 | 95.8% |
| Deanna Mulligan | 118,583,905,224 | 5,269,179,582 | 95.7% |
| André F. Perold | 117,533,261,439 | 6,319,823,367 | 94.9% |
| Sarah Bloom Raskin | 118,312,165,055 | 5,540,919,751 | 95.5% |
| Peter F. Volanakis | 118,525,374,500 | 5,327,710,306 | 95.7% |
| * Results are for all funds within the same trust. |
| | | |
| Vanguard Treasury Money Market Fund | | | |
| | | | Percentage |
| Trustee | For | Withheld | For |
| Mortimer J. Buckley | 9,281,319,082 | 271,149,701 | 97.2% |
| Emerson U. Fullwood | 9,233,627,321 | 318,841,462 | 96.7% |
| Amy Gutmann | 9,180,258,885 | 372,209,899 | 96.1% |
| JoAnn Heffernan Heisen | 9,203,859,497 | 348,609,287 | 96.4% |
| F. Joseph Loughrey | 9,266,102,164 | 286,366,620 | 97.0% |
| Mark Loughridge | 9,194,614,438 | 357,854,345 | 96.3% |
| Scott C. Malpass | 9,160,256,693 | 392,212,090 | 95.9% |
| F. William McNabb III | 9,281,230,095 | 271,238,689 | 97.2% |
| Deanna Mulligan | 9,181,747,156 | 370,721,628 | 96.1% |
| André F. Perold | 9,107,402,388 | 445,066,396 | 95.3% |
| Sarah Bloom Raskin | 9,115,014,439 | 437,454,345 | 95.4% |
| Peter F. Volanakis | 9,200,130,944 | 352,337,840 | 96.3% |
| * Results are for all funds within the same trust. |
9
Proposal 2—Approve a manager-of-managers arrangement with third-party investment advisors.
This arrangement enables the fund to enter into and materially amend investment advisory arrangements with third-party investment advisors, subject to the approval of the fund’s board of trustees and certain conditions imposed by the Securities and Exchange Commission, while avoiding the costs and delays associated with obtaining future shareholder approval.
| | | | | |
| | | | | Broker | Percentage |
| Vanguard Fund | For | Abstain | Against | Non-Votes | For |
| Federal Money Market | | | | | |
| Fund | 42,528,217,434 | 2,817,574,671 | 2,501,499,754 | 1,244,196,023 | 86.6% |
| Prime Money Market | | | | | |
| Fund | 59,317,369,292 | 4,125,039,938 | 4,281,910,211 | 7,037,277,483 | 79.3% |
| Treasury Money Market | | | | | |
| Fund | 7,567,392,069 | 441,297,018 | 642,627,540 | 865,685,329 | 79.5% |
Proposal 3—Approve a manager-of-managers arrangement with wholly owned subsidiaries of Vanguard.
This arrangement enables Vanguard or the fund to enter into and materially amend investment advisory arrangements with wholly owned subsidiaries of Vanguard, subject to the approval of the fund’s board of trustees and any conditions imposed by the Securities and Exchange Commission (SEC), while avoiding the costs and delays associated with obtaining future shareholder approval. The ability of the fund to operate in this manner is contingent upon the SEC’s approval of a pending application for an order of exemption.
| | | | | |
| | | | | Broker | Percentage |
| Vanguard Fund | For | Abstain | Against | Non-Votes | For |
| Federal Money Market | | | | | |
| Fund | 43,173,490,603 | 2,649,171,040 | 2,024,630,216 | 1,244,196,023 | 87.9% |
| Prime Money Market | | | | | |
| Fund | 60,370,123,611 | 3,881,002,978 | 3,473,192,853 | 7,037,277,483 | 80.8% |
| Treasury Money Market | | | | | |
| Fund | 7,824,819,015 | 413,441,306 | 413,056,307 | 865,685,329 | 82.2% |
10
Fund shareholders did not approve the following proposal:
Proposal 7—Institute transparent procedures to avoid holding investments in companies that, in management’s judgment, substantially contribute to genocide or crimes against humanity, the most egregious violations of human rights. Such procedures may include time-limited engagement with problem companies if management believes that their behavior can be changed.
The trustees recommended a vote against the proposal for the following reasons: (1) Vanguard is fully compliant with all applicable U.S. laws and regulations that prohibit the investment in any company owned or controlled by the government of Sudan; (2) the addition of further investment constraints is not in fund shareholders’ best interests if those constraints are unrelated to a fund’s stated investment objective, policies, and strategies; and (3) divestment is an ineffective means to implement social change, as it often puts the shares into the hands of another owner with no direct impact to the company’s capitalization.
| | | | | |
| | | | | Broker | Percentage |
| Vanguard Fund | For | Abstain | Against | Non-Votes | For |
| Prime Money Market | | | | | |
| Fund | 16,260,938,113 | 4,759,401,331 | 46,703,979,997 | 7,037,277,483 | 21.8% |
11
Prime Money Market Fund
Fund Profile
As of February 28, 2018
| | |
| Financial Attributes | | |
| | Investor | Admiral |
| | Shares | Shares |
| Ticker Symbol | VMMXX | VMRXX |
| Expense Ratio1 | 0.16% | 0.10% |
| 7-Day SEC Yield | 1.52% | 1.58% |
| Average Weighted | | |
| Maturity | 46 days | 46 days |
| |
| Sector Diversification (% of portfolio) | |
| Certificates of Deposit | 20.7% |
| U.S. Commercial Paper | 4.7 |
| U.S. Government Obligations | 9.2 |
| U.S. Treasury Bills | 21.6 |
| Yankee/Foreign | 43.8 |
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 22, 2017, and represent estimated costs for the current fiscal year.
For the six months ended February 28, 2018, the annualized expense ratios were 0.16% for Investor Shares and 0.10% for Admiral Shares.
12
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 per share, it cannot guarantee it will do so. The fund may impose a fee upon 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, 2007, Through February 28, 2018 | |
| | | Money |
| | | Market |
| | | Funds |
| | Investor Shares | Average |
| Fiscal Year | Total Returns | Total Returns |
| 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 | 0.83 | 0.43 |
| 2018 | 0.63 | 0.41 |
| 7-day SEC yield (2/28/2018): 1.52% |
| Money Market Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
| Note: For 2018, performance data reflect the six months ended February 28, 2018. |
See Financial Highlights for dividend information.
13
Prime Money Market Fund
Average Annual Total Returns: Periods Ended December 31, 2017
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 | 1.02% | 0.32% | 0.50% |
| Admiral Shares | 10/3/1989 | 1.08 | 0.37 | 0.59 |
14
Prime Money Market Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 28, 2018
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 (30.7%) | | | |
| 2 | Federal Home Loan Bank Discount Notes | 1.370% | 3/2/18 | 4,576 | 4,576 |
| 2 | Federal Home Loan Bank Discount Notes | 1.351% | 3/16/18 | 2,314,000 | 2,312,700 |
| 2 | Federal Home Loan Bank Discount Notes | 1.322% | 3/19/18 | 161,500 | 161,393 |
| 2 | Federal Home Loan Bank Discount | | | | | |
| | Notes | 1.327%–1.338% | 3/21/18 | 681,538 | 681,038 |
| 2 | Federal Home Loan Bank Discount Notes | 1.423% | 4/4/18 | 1,875,000 | 1,872,485 |
| 2 | Federal Home Loan Bank Discount | | | | | |
| | Notes | 1.438%–1.483% | 4/6/18 | 934,237 | 932,855 |
| 2 | Federal Home Loan Bank Discount Notes | 1.582% | 4/11/18 | 1,449,000 | 1,446,396 |
| | United States Treasury Bill | 1.503%–1.564% | 4/12/18 | 1,121,486 | 1,119,452 |
| | United States Treasury Bill | 1.435%–1.444% | 4/19/18 | 4,582,618 | 4,573,667 |
| | United States Treasury Bill | 1.356%–1.381% | 5/10/18 | 1,500,000 | 1,496,157 |
| | United States Treasury Bill | | 1.425% | 5/24/18 | 2,493,357 | 2,485,125 |
| | United States Treasury Bill | | 1.652% | 5/31/18 | 2,000,000 | 1,991,684 |
| | United States Treasury Bill | | 1.588% | 7/5/18 | 1,500,000 | 1,491,731 |
| | United States Treasury Bill | | 1.588% | 7/12/18 | 2,444,173 | 2,429,951 |
| | United States Treasury Bill | | 1.613% | 7/19/18 | 748,000 | 743,346 |
| | United States Treasury Bill | | 1.628% | 7/26/18 | 2,000,000 | 1,986,811 |
| | United States Treasury Bill | 1.638%–1.639% | 8/2/18 | 750,000 | 744,785 |
| | United States Treasury Bill | 1.796%–1.802% | 8/16/18 | 2,000,000 | 1,983,348 |
| † | United States Treasury | | | | | |
| | Floating Rate Note | | 1.822% | 10/31/18 | 1,500,000 | 1,500,010 |
| Total U.S. Government and Agency Obligations (Cost $29,957,510) | | 29,957,510 |
| Commercial Paper (39.2%) | | | | | |
| Bank Holding Company (0.7%) | | | | | |
| 3 | ABN Amro Funding USA LLC | | 1.728% | 3/26/18 | 29,250 | 29,215 |
| 3 | ABN Amro Funding USA LLC | 1.588%–1.589% | 4/5/18 | 173,250 | 172,984 |
| 3 | ABN Amro Funding USA LLC | | 1.842% | 4/30/18 | 10,000 | 9,969 |
| 3 | ABN Amro Funding USA LLC | | 1.973% | 6/12/18 | 227,250 | 225,976 |
| 3 | ABN Amro Funding USA LLC | | 2.044% | 6/21/18 | 198,000 | 196,750 |
| | | | | | | 634,894 |
15
| | | | | | |
| Prime Money Market Fund | | | | | |
| |
| |
| |
| | | | | | Face | Market |
| | | | | Maturity | Amount | Value • |
| | | | Yield1 | Date | ($000) | ($000) |
| Finance—Auto (0.7%) | | | | | |
| | Toyota Motor Credit Corp. | | 1.760% | 4/13/18 | 188,000 | 187,607 |
| | Toyota Motor Credit Corp. | | 2.084% | 6/25/18 | 99,000 | 98,340 |
| | Toyota Motor Credit Corp. | | 2.084% | 6/26/18 | 198,000 | 196,668 |
| | Toyota Motor Credit Corp. | | 2.084% | 6/27/18 | 198,000 | 196,656 |
| | | | | | | 679,271 |
| Finance—Other (0.3%) | | | | | |
| 4 | GE Capital Treasury Services US LLC | | 1.660% | 3/2/18 | 99,000 | 99,000 |
| | GE Capital Treasury Services US LLC | | 1.339% | 3/13/18 | 31,250 | 31,236 |
| | GE Capital Treasury Services US LLC | | 1.400% | 4/3/18 | 61,000 | 60,922 |
| | GE Capital Treasury Services US LLC | | 1.430% | 4/9/18 | 49,500 | 49,424 |
| | GE Capital Treasury Services US LLC | | 1.471% | 4/19/18 | 30,750 | 30,689 |
| | | | | | | 271,271 |
| Foreign Banks (31.7%) | | | | | |
| 3 | Australia & New Zealand Banking Group Ltd. | 1.395% | 3/1/18 | 99,000 | 99,000 |
| 3,4 | Australia & New Zealand Banking Group Ltd. | 1.716% | 3/21/18 | 156,000 | 156,000 |
| 3,4 | Australia & New Zealand Banking Group Ltd. | 1.706% | 3/22/18 | 121,500 | 121,498 |
| 3,4 | Australia & New Zealand Banking Group Ltd. | 1.746% | 6/21/18 | 156,000 | 156,000 |
| 3,4 | Australia & New Zealand Banking Group Ltd. | 1.771% | 7/26/18 | 63,000 | 62,998 |
| 3,4 | Australia & New Zealand Banking Group Ltd. | 1.740% | 8/2/18 | 107,000 | 107,000 |
| 3,4 | Australia & New Zealand Banking Group Ltd. | 1.740% | 8/7/18 | 240,000 | 240,000 |
| 3,4 | Australia & New Zealand Banking Group Ltd. | 1.739% | 8/8/18 | 89,000 | 88,998 |
| 3,4 | Australia & New Zealand Banking Group Ltd. | 1.739% | 8/9/18 | 118,000 | 118,000 |
| 3,4 | Australia & New Zealand Banking Group Ltd. | 1.757% | 8/14/18 | 161,500 | 161,493 |
| 3,4 | Australia & New Zealand Banking Group Ltd. | 1.750% | 9/6/18 | 220,000 | 219,994 |
| 3,4 | Australia & New Zealand Banking Group Ltd. | 1.796% | 9/24/18 | 135,500 | 135,496 |
| 3,4 | Australia & New Zealand Banking Group Ltd. | 1.848% | 11/29/18 | 524,500 | 524,500 |
| 3,4 | Australia & New Zealand Banking Group Ltd. | 1.790% | 12/6/18 | 150,000 | 149,972 |
| 3,4 | Australia & New Zealand Banking Group Ltd. | 1.791% | 12/10/18 | 120,000 | 120,000 |
| 3,4 | Australia & New Zealand Banking Group Ltd. | 1.838% | 12/14/18 | 65,000 | 65,000 |
| 3 | Bank Nederlandse Gemeenten NV | 1.475%–1.48% | 3/1/18 | 436,750 | 436,750 |
| 3 | Bank Nederlandse Gemeenten NV | | 1.470% | 3/6/18 | 1,268,000 | 1,267,741 |
| 3 | Bank Nederlandse Gemeenten NV | 1.470%–1.48% | 3/7/18 | 565,750 | 565,611 |
| 3 | Bank of Nova Scotia | | 1.707% | 3/15/18 | 145,000 | 144,904 |
| 3 | Bank of Nova Scotia | | 1.511% | 4/23/18 | 155,000 | 154,658 |
| 3,4 | Bank of Nova Scotia | | 1.699% | 5/3/18 | 289,000 | 289,000 |
| 3,4 | Bank of Nova Scotia | | 1.744% | 6/18/18 | 531,000 | 531,000 |
| 3,4 | Bank of Nova Scotia | | 1.826% | 9/21/18 | 655,000 | 655,000 |
| 3,4 | Canadian Imperial Bank of Commerce | | 1.771% | 4/26/18 | 440,000 | 440,000 |
| 3,4 | Commonwealth Bank of Australia | | 1.915% | 3/1/18 | 100,000 | 100,000 |
| 3,4 | Commonwealth Bank of Australia | | 1.919% | 3/2/18 | 350,000 | 350,000 |
| 3,4 | Commonwealth Bank of Australia | | 1.781% | 5/11/18 | 100,000 | 100,000 |
| 3,4 | Commonwealth Bank of Australia | | 1.794% | 5/17/18 | 148,000 | 148,000 |
| 3,4 | Commonwealth Bank of Australia | | 1.794% | 5/18/18 | 99,000 | 99,000 |
| 3,4 | Commonwealth Bank of Australia | | 1.739% | 6/4/18 | 99,000 | 98,999 |
| 3,4 | Commonwealth Bank of Australia | | 1.748% | 6/15/18 | 99,000 | 99,000 |
| 3,4 | Commonwealth Bank of Australia | | 1.753% | 7/13/18 | 300,000 | 300,000 |
| 3,4 | Commonwealth Bank of Australia | | 1.750% | 8/2/18 | 132,000 | 131,995 |
| 3,4 | Commonwealth Bank of Australia | | 1.749% | 8/3/18 | 110,000 | 110,000 |
| 3,4 | Commonwealth Bank of Australia | | 1.759% | 8/9/18 | 268,000 | 268,000 |
| 3,4 | Commonwealth Bank of Australia | | 1.838% | 8/30/18 | 190,000 | 190,000 |
| 3,4 | Commonwealth Bank of Australia | | 1.811% | 9/24/18 | 136,000 | 136,001 |
16
| | | | | |
| Prime Money Market Fund | | | | |
| |
| |
| |
| | | | | Face | Market |
| | | | Maturity | Amount | Value • |
| | | Yield1 | Date | ($000) | ($000) |
| 3,4 | Commonwealth Bank of Australia | 1.838% | 9/28/18 | 180,000 | 180,000 |
| 3,4 | Commonwealth Bank of Australia | 1.831% | 2/7/19 | 222,750 | 222,750 |
| 3,4 | Commonwealth Bank of Australia | 1.838% | 2/8/19 | 247,500 | 247,500 |
| | Credit Agricole Corporate & Investment | | | |
| | Bank (New York Branch) | 1.330% | 3/1/18 | 1,881,000 | 1,881,000 |
| | Credit Suisse AG (New York Branch) | 2.040% | 5/22/18 | 1,000,000 | 995,376 |
| | Credit Suisse AG (New York Branch) | 2.040% | 5/24/18 | 920,000 | 915,642 |
| 3 | Danske Corp. | 1.588% | 4/3/18 | 49,500 | 49,428 |
| 3 | Danske Corp. | 1.588% | 4/4/18 | 247,500 | 247,131 |
| 3 | Danske Corp. | 1.589% | 4/5/18 | 297,000 | 296,544 |
| 3 | Danske Corp. | 1.589% | 4/6/18 | 297,000 | 296,531 |
| 3 | Danske Corp. | 1.709% | 4/10/18 | 198,000 | 197,626 |
| 3 | Danske Corp. | 1.710% | 4/11/18 | 264,250 | 263,738 |
| 3 | Danske Corp. | 1.710% | 4/12/18 | 244,500 | 244,015 |
| 3,4 | DNB Bank ASA | 1.688% | 3/15/18 | 502,000 | 501,999 |
| 3,4 | HSBC Bank plc | 1.920% | 3/19/18 | 160,750 | 160,750 |
| 3,4 | HSBC Bank plc | 1.851% | 4/24/18 | 110,000 | 110,000 |
| 3,4 | HSBC Bank plc | 1.851% | 4/25/18 | 63,000 | 63,000 |
| 3,4 | HSBC Bank plc | 1.821% | 10/24/18 | 123,000 | 123,000 |
| 3,4 | HSBC Bank plc | 1.821% | 10/25/18 | 61,250 | 61,250 |
| 3,4 | HSBC Bank plc | 1.779% | 11/5/18 | 86,000 | 86,000 |
| 3,4 | HSBC Bank plc | 1.841% | 11/26/18 | 142,600 | 142,600 |
| 3,4 | HSBC Bank plc | 1.881% | 1/25/19 | 341,000 | 341,000 |
| 3,4 | HSBC Bank plc | 1.840% | 2/1/19 | 239,000 | 239,000 |
| 3,4 | HSBC Bank plc | 1.851% | 2/12/19 | 43,000 | 43,000 |
| 3,4 | HSBC Bank plc | 2.014% | 2/26/19 | 187,000 | 187,000 |
| | ING US Funding LLC | 2.041% | 6/1/18 | 49,880 | 49,621 |
| | Lloyds Bank plc | 2.085% | 6/25/18 | 504,000 | 500,638 |
| 3,4 | National Australia Bank Ltd. | 1.798% | 5/30/18 | 186,000 | 186,000 |
| 3,4 | National Australia Bank Ltd. | 1.798% | 5/31/18 | 160,000 | 160,000 |
| 3,4 | National Australia Bank Ltd. | 1.721% | 6/12/18 | 435,000 | 435,000 |
| 3,4 | National Australia Bank Ltd. | 1.798% | 7/30/18 | 600,000 | 600,000 |
| 3,4 | National Australia Bank Ltd. | 1.794% | 9/19/18 | 760,000 | 760,000 |
| | Natixis (New York Branch) | 1.370% | 3/1/18 | 603,000 | 603,000 |
| | Natixis (New York Branch) | 1.440% | 3/6/18 | 1,340,000 | 1,339,732 |
| 3 | Nederlandse Waterschapsbank NV | 1.475% | 3/2/18 | 312,000 | 311,987 |
| 3 | Nederlandse Waterschapsbank NV | 1.470% | 3/6/18 | 400,000 | 399,918 |
| 3 | Nordea Bank AB | 1.395% | 3/1/18 | 190,000 | 190,000 |
| 3 | Nordea Bank AB | 1.395% | 3/8/18 | 494,750 | 494,617 |
| 3 | Nordea Bank AB | 1.395% | 3/9/18 | 198,000 | 197,939 |
| 3 | Nordea Bank AB | 1.395% | 3/12/18 | 130,000 | 129,945 |
| 3 | Nordea Bank AB | 1.461% | 4/12/18 | 614,000 | 612,961 |
| 3 | Nordea Bank AB | 1.476% | 4/16/18 | 148,000 | 147,723 |
| 3 | Nordea Bank AB | 1.809% | 6/20/18 | 392,000 | 389,834 |
| 3 | Skandinaviska Enskilda Banken AB | 1.476% | 4/18/18 | 200,000 | 199,609 |
| | Swedbank AB | 1.400% | 3/1/18 | 126,750 | 126,750 |
| | Swedbank AB | 1.395% | 3/5/18 | 138,500 | 138,479 |
| | Swedbank AB | 1.390% | 3/12/18 | 200,000 | 199,916 |
| | Swedbank AB | 1.390% | 3/13/18 | 200,000 | 199,908 |
| | Swedbank AB | 1.390% | 3/14/18 | 200,000 | 199,900 |
| | Swedbank AB | 1.390%–1.395% | 3/15/18 | 205,750 | 205,640 |
| | Swedbank AB | 1.583% | 5/4/18 | 211,000 | 210,411 |
| | Swedbank AB | 2.194% | 8/20/18 | 99,500 | 98,468 |
17
| | | | | |
| Prime Money Market Fund | | | | |
| |
| |
| |
| | | | | Face | Market |
| | | | Maturity | Amount | Value • |
| | | Yield1 | Date | ($000) | ($000) |
| | Swedbank AB | 2.194% | 8/21/18 | 98,500 | 97,473 |
| | Swedbank AB | 2.214% | 8/22/18 | 230,000 | 227,565 |
| | Swedbank AB | 2.214% | 8/23/18 | 230,000 | 227,551 |
| | Swedbank AB | 2.225% | 8/27/18 | 143,000 | 141,436 |
| 3,4 | Toronto Dominion Bank | 1.739% | 6/5/18 | 250,000 | 250,000 |
| 3,4 | Toronto Dominion Bank | 1.778% | 9/14/18 | 260,000 | 260,000 |
| 3,4 | Toronto Dominion Bank | 1.788% | 11/14/18 | 792,000 | 792,000 |
| 3,4 | Toronto Dominion Bank | 1.809% | 12/5/18 | 208,000 | 208,000 |
| 3,4 | Toronto-Dominion Bank | 1.853% | 2/8/19 | 200,000 | 200,000 |
| 3,4 | Westpac Banking Corp. | 1.915% | 3/1/18 | 198,000 | 198,000 |
| 3,4 | Westpac Banking Corp. | 1.801% | 5/25/18 | 312,000 | 312,000 |
| 3,4 | Westpac Banking Corp. | 1.748% | 6/14/18 | 186,000 | 186,000 |
| 3,4 | Westpac Banking Corp. | 1.748% | 6/15/18 | 400,000 | 400,000 |
| 3,4 | Westpac Banking Corp. | 1.784% | 9/20/18 | 250,000 | 249,994 |
| 3,4 | Westpac Banking Corp. | 1.821% | 9/27/18 | 199,000 | 198,996 |
| 3,4 | Westpac Banking Corp. | 1.838% | 9/28/18 | 200,000 | 200,000 |
| 3,4 | Westpac Banking Corp. | 1.801% | 12/10/18 | 340,000 | 339,985 |
| 3,4 | Westpac Banking Corp. | 1.851% | 1/24/19 | 83,000 | 82,987 |
| | | | | | 30,897,471 |
| Foreign Governments (2.0%) | | | | |
| 3 | CDP Financial Inc. | 1.430% | 3/1/18 | 23,250 | 23,250 |
| 3 | CDP Financial Inc. | 1.460% | 3/26/18 | 60,000 | 59,940 |
| 3 | CDP Financial Inc. | 1.491% | 3/29/18 | 53,800 | 53,738 |
| 3 | CDP Financial Inc. | 1.471%–1.501% | 4/3/18 | 112,750 | 112,598 |
| 3 | CDP Financial Inc. | 1.470% | 4/4/18 | 51,000 | 50,930 |
| 3 | CDP Financial Inc. | 1.471% | 4/10/18 | 27,000 | 26,956 |
| 3 | CDP Financial Inc. | 1.512%–1.532% | 4/20/18 | 27,600 | 27,542 |
| 3 | CDP Financial Inc. | 1.542% | 4/30/18 | 39,250 | 39,150 |
| 3 | CDP Financial Inc. | 1.562% | 5/11/18 | 29,250 | 29,161 |
| 3 | CDP Financial Inc. | 1.653% | 5/31/18 | 45,100 | 44,913 |
| 3 | CDP Financial Inc. | 1.674%–1.714% | 6/6/18 | 80,500 | 80,133 |
| 3 | CDP Financial Inc. | 1.817% | 6/18/18 | 91,950 | 91,449 |
| 3 | CDP Financial Inc. | 1.878% | 7/13/18 | 41,900 | 41,610 |
| 3 | CDP Financial Inc. | 1.878% | 7/16/18 | 69,500 | 69,008 |
| 3 | CDP Financial Inc. | 2.180% | 8/1/18 | 22,250 | 22,046 |
| | Export Development Canada | 2.079% | 8/1/18 | 198,000 | 196,266 |
| | Export Development Canada | 2.079% | 8/2/18 | 198,000 | 196,255 |
| 5 | Ontario Teachers’ Finance Trust | 1.432%–1.451% | 4/10/18 | 66,000 | 65,895 |
| 5 | Ontario Teachers’ Finance Trust | 1.482% | 4/19/18 | 45,500 | 45,409 |
| 5 | Ontario Teachers’ Finance Trust | 1.493% | 4/30/18 | 6,250 | 6,235 |
| 5 | Ontario Teachers’ Finance Trust | 1.771% | 5/1/18 | 49,500 | 49,352 |
| 5 | Ontario Teachers’ Finance Trust | 1.504% | 5/9/18 | 14,000 | 13,960 |
| 5 | Ontario Teachers’ Finance Trust | 1.952% | 6/14/18 | 25,000 | 24,858 |
| 5 | Ontario Teachers’ Finance Trust | 1.717% | 7/5/18 | 54,500 | 54,176 |
| 5 | Ontario Teachers’ Finance Trust | 1.717%–1.899% | 7/6/18 | 73,000 | 72,544 |
| 5 | Ontario Teachers’ Finance Trust | 1.760% | 8/2/18 | 24,600 | 24,417 |
| 5 | Ontario Teachers’ Finance Trust | 2.005% | 8/24/18 | 50,000 | 49,516 |
| 5 | Ontario Teachers’ Finance Trust | 2.258% | 9/18/18 | 31,250 | 30,861 |
| 5 | Ontario Teachers’ Finance Trust | 2.309% | 11/16/18 | 61,169 | 60,166 |
| 4,5 | PSP Capital Inc. | 1.674% | 4/20/18 | 108,250 | 108,250 |
| 4,5 | PSP Capital Inc. | 1.801% | 10/26/18 | 122,500 | 122,500 |
| | | | | | 1,893,084 |
18
| | | | |
| Prime Money Market Fund | | | | |
| |
| |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value • |
| | Yield1 | Date | ($000) | ($000) |
| Foreign Industrial (2.3%) | | | | |
| 3 Nestle Capital Corp. | 1.694% | 6/11/18 | 62,000 | 61,705 |
| 3 Nestle Capital Corp. | 1.694% | 6/12/18 | 62,000 | 61,702 |
| 3 Nestle Capital Corp. | 1.694% | 6/13/18 | 62,000 | 61,699 |
| 3 Nestle Capital Corp. | 1.694% | 6/14/18 | 198,000 | 197,030 |
| 3 Nestle Capital Corp. | 1.694% | 6/15/18 | 198,000 | 197,021 |
| 3 Nestle Capital Corp. | 1.980% | 8/9/18 | 198,000 | 196,264 |
| 3 Nestle Capital Corp. | 1.979% | 8/10/18 | 192,250 | 190,554 |
| 3 Nestle Capital Corp. | 1.980% | 8/13/18 | 297,000 | 294,332 |
| Nestle Finance International Ltd. | 1.430% | 3/1/18 | 101,000 | 101,000 |
| 3 Sanofi | 1.881% | 6/8/18 | 160,700 | 159,874 |
| 3 Siemens Capital Co. LLC | 1.445% | 3/6/18 | 94,000 | 93,981 |
| 3 Total Capital Canada Ltd. | 1.969% | 8/8/18 | 495,000 | 490,710 |
| Toyota Credit Canada Inc. | 1.609% | 3/27/18 | 30,750 | 30,714 |
| Toyota Credit Canada Inc. | 1.609% | 3/29/18 | 30,750 | 30,712 |
| Toyota Credit Canada Inc. | 1.760% | 4/13/18 | 50,000 | 49,896 |
| Toyota Credit Canada Inc. | 1.760% | 4/16/18 | 49,000 | 48,890 |
| | | | | 2,266,084 |
| Industrial (1.5%) | | | | |
| 4 General Electric Co. | 1.718% | 3/29/18 | 371,250 | 371,250 |
| 4 General Electric Co. | 1.718% | 3/29/18 | 273,500 | 273,500 |
| 4 General Electric Co. | 1.718% | 3/29/18 | 30,250 | 30,250 |
| 3 Henkel of America Inc. | 1.420% | 3/1/18 | 20,000 | 20,000 |
| 3 Novartis Finance Corp. | 1.500% | 3/6/18 | 22,000 | 21,995 |
| 3 The Coca-Cola Co. | 1.644% | 6/6/18 | 46,250 | 46,047 |
| 3 The Coca-Cola Co. | 1.644% | 6/7/18 | 154,250 | 153,565 |
| 3 The Coca-Cola Co. | 1.644% | 6/8/18 | 77,250 | 76,904 |
| 3 The Coca-Cola Co. | 1.644% | 6/11/18 | 179,500 | 178,671 |
| 3 The Coca-Cola Co. | 1.644% | 6/12/18 | 130,000 | 129,394 |
| 3 The Coca-Cola Co. | 1.694% | 6/13/18 | 100,000 | 99,515 |
| 3 The Coca-Cola Co. | 1.694% | 6/14/18 | 100,000 | 99,510 |
| | | | | 1,500,601 |
| Total Commercial Paper (Cost $38,142,676) | | | | 38,142,676 |
| Certificates of Deposit (30.3%) | | | | |
| Domestic Banks (9.6%) | | | | |
| Citibank NA | 1.720% | 4/3/18 | 250,000 | 250,000 |
| Citibank NA | 1.810% | 6/18/18 | 344,500 | 344,500 |
| Citibank NA | 1.830% | 6/21/18 | 500,000 | 500,000 |
| Citibank NA | 1.860% | 7/9/18 | 372,000 | 372,000 |
| Citibank NA | 1.860% | 7/10/18 | 366,000 | 366,000 |
| 4 Citibank NA | 1.575% | 8/2/18 | 544,500 | 544,500 |
| 4 HSBC Bank USA NA | 1.940% | 3/2/18 | 67,250 | 67,250 |
| 4 HSBC Bank USA NA | 1.940% | 3/6/18 | 101,250 | 101,250 |
| 4 HSBC Bank USA NA | 1.889% | 4/3/18 | 130,000 | 130,000 |
| 4 HSBC Bank USA NA | 1.874% | 4/19/18 | 63,000 | 63,000 |
| 4 HSBC Bank USA NA | 1.819% | 5/3/18 | 273,500 | 273,500 |
| 4 HSBC Bank USA NA | 1.769% | 6/5/18 | 150,000 | 150,000 |
| 4 HSBC Bank USA NA | 1.788% | 8/16/18 | 48,300 | 48,300 |
| 4 HSBC Bank USA NA | 1.796% | 8/21/18 | 99,000 | 99,000 |
| 4 HSBC Bank USA NA | 1.775% | 8/31/18 | 257,000 | 257,000 |
| 4 HSBC Bank USA NA | 1.770% | 10/2/18 | 153,000 | 153,000 |
| 4 HSBC Bank USA NA | 1.780% | 11/2/18 | 71,975 | 71,975 |
19
| | | | |
| Prime Money Market Fund | | | | |
| |
| |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value • |
| | Yield1 | Date | ($000) | ($000) |
| 4 HSBC Bank USA NA | 1.841% | 11/23/18 | 82,250 | 82,250 |
| 4 HSBC Bank USA NA | 1.851% | 11/27/18 | 30,750 | 30,750 |
| 4 State Street Bank & Trust Co. | 1.731% | 4/26/18 | 1,225,000 | 1,225,000 |
| 4 State Street Bank & Trust Co. | 1.699% | 5/8/18 | 1,000,000 | 1,000,000 |
| 4 Wells Fargo Bank NA | 1.689% | 3/5/18 | 320,000 | 320,000 |
| 4 Wells Fargo Bank NA | 1.691% | 3/12/18 | 205,000 | 205,000 |
| 4 Wells Fargo Bank NA | 1.690% | 4/6/18 | 460,000 | 460,000 |
| 4 Wells Fargo Bank NA | 1.711% | 5/10/18 | 499,000 | 499,000 |
| 4 Wells Fargo Bank NA | 1.771% | 5/29/18 | 210,000 | 210,000 |
| 4 Wells Fargo Bank NA | 1.821% | 8/1/18 | 849,250 | 849,250 |
| 4 Wells Fargo Bank NA | 1.861% | 8/28/18 | 690,000 | 690,000 |
| | | | | 9,362,525 |
| Yankee Certificates of Deposit (20.7%) | | | | |
| 4 Bank of Montreal (Chicago Branch) | 1.710% | 3/2/18 | 168,000 | 168,000 |
| Bank of Montreal (Chicago Branch) | 1.700% | 3/15/18 | 214,000 | 214,000 |
| 4 Bank of Montreal (Chicago Branch) | 1.733% | 4/13/18 | 140,000 | 140,000 |
| 4 Bank of Montreal (Chicago Branch) | 1.725% | 6/1/18 | 243,000 | 243,000 |
| 4 Bank of Montreal (Chicago Branch) | 1.808% | 6/29/18 | 573,000 | 573,000 |
| 4 Bank of Montreal (Chicago Branch) | 1.784% | 7/19/18 | 322,000 | 322,000 |
| 4 Bank of Montreal (Chicago Branch) | 1.781% | 9/12/18 | 259,000 | 259,000 |
| 4 Bank of Montreal (Chicago Branch) | 1.836% | 9/21/18 | 399,000 | 399,000 |
| 4 Bank of Montreal (Chicago Branch) | 1.853% | 9/24/18 | 277,000 | 277,000 |
| 4 Bank of Nova Scotia (Houston Branch) | 1.733% | 4/13/18 | 464,000 | 464,000 |
| 4 Bank of Nova Scotia (Houston Branch) | 1.793% | 7/23/18 | 181,000 | 181,000 |
| 4 Canadian Imperial Bank of Commerce | | | | |
| (New York Branch) | 1.711% | 3/12/18 | 505,000 | 505,000 |
| 4 Canadian Imperial Bank of Commerce | | | | |
| (New York Branch) | 1.751% | 7/12/18 | 141,000 | 141,000 |
| 4 Canadian Imperial Bank of Commerce | | | | |
| (New York Branch) | 1.784% | 8/20/18 | 910,000 | 910,000 |
| 4 Canadian Imperial Bank of Commerce | | | | |
| (New York Branch) | 1.826% | 9/20/18 | 420,000 | 420,000 |
| 4 DNB Bank ASA (New York Branch) | 1.700% | 5/7/18 | 250,000 | 250,000 |
| 4 DNB Bank ASA (New York Branch) | 1.731% | 7/12/18 | 1,000,000 | 1,000,000 |
| 4 DNB Bank ASA (New York Branch) | 1.781% | 7/26/18 | 172,000 | 172,000 |
| 4 DNB Bank ASA (New York Branch) | 1.803% | 8/27/18 | 499,000 | 499,000 |
| KBC Bank NV (New York Branch) | 1.450% | 3/5/18 | 1,320,000 | 1,320,000 |
| KBC Bank NV (New York Branch) | 1.450% | 3/6/18 | 500,000 | 500,000 |
| Nordea Bank AB (New York Branch) | 1.455% | 4/12/18 | 100,000 | 99,999 |
| Nordea Bank AB (New York Branch) | 1.590% | 5/14/18 | 60,750 | 60,749 |
| Nordea Bank AB (New York Branch) | 1.590% | 5/17/18 | 60,000 | 59,999 |
| Nordea Bank AB (New York Branch) | 1.680% | 6/5/18 | 494,000 | 493,994 |
| Nordea Bank AB (New York Branch) | 2.170% | 8/27/18 | 223,000 | 222,995 |
| 4 Royal Bank of Canada (New York Branch) | 1.930% | 3/7/18 | 100,875 | 100,875 |
| 4 Royal Bank of Canada (New York Branch) | 1.718% | 3/16/18 | 979,000 | 979,000 |
| 4 Royal Bank of Canada (New York Branch) | 1.914% | 3/20/18 | 128,400 | 128,400 |
| 4 Royal Bank of Canada (New York Branch) | 1.723% | 4/13/18 | 700,000 | 700,000 |
| 4 Royal Bank of Canada (New York Branch) | 1.738% | 6/15/18 | 517,000 | 517,000 |
| 4 Royal Bank of Canada (New York Branch) | 1.753% | 7/13/18 | 214,000 | 214,000 |
| 4 Royal Bank of Canada (New York Branch) | 1.918% | 8/28/18 | 119,000 | 119,000 |
| 4 Royal Bank of Canada (New York Branch) | 1.771% | 9/12/18 | 260,000 | 260,000 |
| 4 Skandinaviska Enskilda Banken AB | | | | |
| (New York Branch) | 1.670% | 3/6/18 | 150,000 | 150,000 |
20
| | | | |
| Prime Money Market Fund | | | | |
| |
| |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value • |
| | Yield1 | Date | ($000) | ($000) |
| 4 Skandinaviska Enskilda Banken AB | | | | |
| (New York Branch) | 1.686% | 3/22/18 | 198,000 | 198,000 |
| 4 Skandinaviska Enskilda Banken AB | | | | |
| (New York Branch) | 1.784% | 7/19/18 | 500,000 | 500,000 |
| 4 Svenska HandelsBanken AB (New York Branch) | 1.798% | 4/30/18 | 135,000 | 135,000 |
| 4 Svenska HandelsBanken AB (New York Branch) | 1.720% | 8/6/18 | 461,000 | 460,990 |
| 4 Svenska HandelsBanken AB (New York Branch) | 1.739% | 9/4/18 | 569,000 | 569,000 |
| 4 Svenska HandelsBanken AB (New York Branch) | 1.760% | 9/7/18 | 272,000 | 272,000 |
| 4 Svenska HandelsBanken AB (New York Branch) | 1.806% | 9/21/18 | 470,000 | 470,000 |
| 4 Svenska HandelsBanken AB (New York Branch) | 1.824% | 11/19/18 | 1,000,000 | 1,000,000 |
| Swedbank AB (New York Branch) | 1.390% | 3/2/18 | 457,000 | 457,000 |
| 4 Swedbank AB (New York Branch) | 1.731% | 7/11/18 | 346,000 | 345,994 |
| 4 Swedbank AB (New York Branch) | 1.790% | 11/6/18 | 750,000 | 750,000 |
| 4 Toronto Dominion Bank (New York Branch) | 1.767% | 6/15/18 | 490,000 | 490,000 |
| 4 Toronto Dominion Bank (New York Branch) | 1.781% | 8/10/18 | 694,000 | 694,000 |
| 4 Westpac Banking Corp. (New York Branch) | 1.838% | 2/13/19 | 234,000 | 234,000 |
| 4 Westpac Banking Corp. (New York Branch) | 1.838% | 2/14/19 | 500,000 | 500,000 |
| | | | | 20,138,995 |
| Total Certificates of Deposit (Cost $29,501,520) | | | | 29,501,520 |
| Other Notes (1.4%) | | | | |
| 4 Bank of America NA | 1.690% | 3/7/18 | 128,500 | 128,500 |
| 4 Bank of America NA | 1.689% | 4/3/18 | 153,250 | 153,250 |
| 4 Bank of America NA | 1.699% | 4/3/18 | 60,000 | 60,000 |
| 4 Bank of America NA | 1.699% | 4/5/18 | 60,000 | 60,000 |
| 4 Bank of America NA | 1.689% | 4/9/18 | 220,500 | 220,500 |
| 4 Bank of America NA | 1.691% | 4/11/18 | 153,750 | 153,750 |
| 4 Bank of America NA | 1.700% | 5/2/18 | 155,500 | 155,500 |
| 4 Bank of America NA | 1.708% | 5/14/18 | 149,750 | 149,750 |
| 4 Bank of America NA | 1.718% | 5/16/18 | 155,500 | 155,500 |
| 4 Bank of America NA | 1.826% | 9/10/18 | 157,000 | 157,000 |
| Total Other Notes (Cost $1,393,750) | | | | 1,393,750 |
| Taxable Municipal Bonds (0.0%) | | | | |
| 6 Greene County GA Development Authority | | | | |
| Revenue VRDO (Cost $6,250) | 1.600% | 3/7/18 | 6,250 | 6,250 |
| Total Investments (101.6%) (Cost $99,001,706) | | | | 99,001,706 |
21
| |
| Prime Money Market Fund | |
| |
| |
| |
| |
| | Amount |
| | ($000) |
| Other Assets and Liabilities (-1.6%) | |
| Other Assets | |
| Investment in Vanguard | 5,001 |
| Receivables for Investment Securities Sold | 249,860 |
| Receivables for Accrued Income | 41,375 |
| Receivables for Capital Shares Issued | 223,547 |
| Other Assets | 91,721 |
| Total Other Assets | 611,504 |
| Liabilities | |
| Payables for Investment Securities Purchased | (1,991,684) |
| Payables for Capital Shares Redeemed | (193,306) |
| Payables for Distributions | (6,487) |
| Payables to Vanguard | (6,056) |
| Total Liabilities | (2,197,533) |
| Net Assets (100%) | 97,415,677 |
| |
| |
| At February 28, 2018, net assets consisted of: | |
| | Amount |
| | ($000) |
| Paid-in Capital | 97,410,911 |
| Undistributed Net Investment Income | 4 |
| Accumulated Net Realized Gains | 4,762 |
| Net Assets | 97,415,677 |
| |
| |
| Investor Shares—Net Assets | |
| Applicable to 84,305,243,959 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 84,318,526 |
| Net Asset Value Per Share—Investor Shares | $1.00 |
| |
| |
| Admiral Shares—Net Assets | |
| Applicable to 13,095,103,407 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 13,097,151 |
| Net Asset Value Per Share—Admiral Shares | $1.00 |
• See Note A in Notes to Financial Statements.
† Adjustable-rate security based upon 3-month U.S. Treasury Bill Auction High Money Market Yield plus spread.
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 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, 2018, the aggregate value
of these securities was $26,776,756,000, representing 27.5% of net assets.
4 Adjustable-rate security based upon 1-month USD LIBOR plus spread.
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, 2018, the aggregate value of these securities
was $728,139,000, representing 0.7% of net assets.
6 Scheduled principal and interest payments are guaranteed by bank letter of credit.
VRDO—Variable Rate Demand Obligation.
See accompanying Notes, which are an integral part of the Financial Statements.
22
| |
| Prime Money Market Fund | |
| |
| |
| Statement of Operations | |
| |
| | Six Months Ended |
| | February28,2018 |
| | ($000) |
| Investment Income | |
| Income | |
| Interest | 681,285 |
| Total Income | 681,285 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 1,840 |
| Management and Administrative—Investor Shares | 55,278 |
| Management and Administrative—Admiral Shares | 5,586 |
| Marketing and Distribution—Investor Shares | 8,319 |
| Marketing and Distribution—Admiral Shares | 272 |
| Custodian Fees | 377 |
| Shareholders’ Reports and Proxy—Investor Shares | 914 |
| Shareholders’ Reports and Proxy—Admiral Shares | 46 |
| Trustees’ Fees and Expenses | 47 |
| Total Expenses | 72,679 |
| Net Investment Income | 608,606 |
| Realized Net Gain (Loss) on Investment Securities Sold | (3,169) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 605,437 |
See accompanying Notes, which are an integral part of the Financial Statements.
23
| | |
| Prime Money Market Fund | | |
| |
| |
| Statement of Changes in Net Assets | | |
| |
| | Six Months Ended | Year Ended |
| | February 28, | August 31, |
| | 2018 | 2017 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 608,606 | 834,141 |
| Realized Net Gain (Loss) | (3,169) | 1,961 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 605,437 | 836,102 |
| Distributions | | |
| Net Investment Income | | |
| Investor Shares | (526,191) | (726,141) |
| Admiral Shares | (82,456) | (107,955) |
| Realized Capital Gain | | |
| Investor Shares | — | — |
| Admiral Shares | — | — |
| Total Distributions | (608,647) | (834,096) |
| Capital Share Transactions (at $1.00 per share) | | |
| Investor Shares | (564,961) | (15,325,634) |
| Admiral Shares | 1,100,367 | (4,432,381) |
| Net Increase (Decrease) from Capital Share Transactions | 535,406 | (19,758,015) |
| Total Increase (Decrease) | 532,196 | (19,756,009) |
| Net Assets | | |
| Beginning of Period | 96,883,481 | 116,639,490 |
| End of Period1 | 97,415,677 | 96,883,481 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $4,000 and $45,000.
See accompanying Notes, which are an integral part of the Financial Statements.
24
| | | | | | | |
| Prime Money Market Fund | | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| Investor Shares | | | | | | | |
| | Six Months | | | | | |
| | | Ended | | | | | |
| For a Share Outstanding | February 28, | Year Ended August 31, |
| Throughout Each Period | | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Investment Operations | | | | | | | |
| Net Investment Income | | . 0061 | .0081 | .0032 | .0002 | .0001 | .0002 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | | — | — | — | — | — | — |
| Total from Investment Operations | .006 | .008 | .0032 | .0002 | .0001 | .0002 |
| Distributions | | | | | | | |
| Dividends from Net Investment Income | (.006) | (.008) | (.0032) | (.0002) | (.0001) | (.0002) |
| Distributions from Realized Capital Gains | — | — | — | — | (.0000)2 | — |
| Total Distributions | | (.006) | (.008) | (.0032) | (.0002) | (.0001) | (.0002) |
| Net Asset Value, End of Period | | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| |
| Total Return3 | | 0.63% | 0.83% | 0.32% | 0.02% | 0.02% | 0.02% |
| |
| Ratios/Supplemental Data | | | | | | | |
| Net Assets, End of Period (Millions) | $84,319 | $84,886 | $100,210 | $105,820 | $101,910 | $102,160 |
| Ratio of Total Expenses to | | | | | | | |
| Average Net Assets | | 0.16% | 0.16% | 0.16%4 | 0.15% 4 | 0.14% 4 | 0.16% 4 |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | | 1.27% | 0.82% | 0.32% | 0.02% | 0.01% | 0.02% |
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Distribution was less than $.0001 per share.
3 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.
4 The ratio of total expenses to average net assets before an expense reduction was 0.16% for 2016, 0.16% for 2015, 0.16% for 2014, and
0.17% for 2013. For the six months ended February 28, 2018, and the year ended August 31, 2017, there were no expense reductions.
See Note B in the Notes to Financial Statements.
See accompanying Notes, which are an integral part of the Financial Statements.
25
| | | | | | | |
| Prime Money Market Fund | | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| Admiral Shares | | | | | | | |
| | Six Months | | | | | |
| | | Ended | | | | | |
| For a Share Outstanding | February 28, | Year Ended August 31, |
| Throughout Each Period | | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Investment Operations | | | | | | | |
| Net Investment Income | | . 0071 | .0091 | .004 | .001 | .001 | .001 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | | — | — | — | — | — | — |
| Total from Investment Operations | .007 | .009 | .004 | .001 | .001 | .001 |
| Distributions | | | | | | | |
| Dividends from Net Investment Income | (. 007) | (. 009) | (. 004) | (. 001) | (. 001) | (. 001) |
| Distributions from Realized Capital Gains | — | — | — | — | (.000)2 | — |
| Total Distributions | | (. 007) | (. 009) | (. 004) | (. 001) | (. 001) | (. 001) |
| Net Asset Value, End of Period | | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| |
| Total Return3 | | 0.66% | 0.89% | 0.38% | 0.07% | 0.06% | 0.07% |
| |
| Ratios/Supplemental Data | | | | | | | |
| Net Assets, End of Period (Millions) | $13,097 | $11,997 | $16,429 | $28,988 | $28,699 | $27,015 |
| Ratio of Total Expenses to | | | | | | | |
| Average Net Assets | | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | | 1.33% | 0.88% | 0.38% | 0.07% | 0.05% | 0.07% |
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 Calculated based on average shares outstanding.
2 Distribution was less than $.0001 per share.
3 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information
about any applicable account service fees.
See accompanying Notes, which are an integral part of the Financial Statements.
26
Prime Money Market Fund
Notes to Financial Statements
Vanguard Prime Money Market Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund invests in short-term debt instruments of companies primarily operating in specific industries, particularly financial services; the issuers’ abilities to meet their obligations may be affected by economic developments in such industries. The fund offers two classes of shares, Investor Shares and Admiral Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, service, and account-size criteria. Effective December 2015, Institutional Shares were renamed Admiral Shares.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Securities are valued at amortized cost, which approximates market value.
2. 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, 2014–2017), and for the period ended February 28, 2018, 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, 2018, 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.
27
Prime Money Market 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), shareholder reporting, and the proxy. 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. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2018, the fund had contributed to Vanguard capital in the amount of $5,001,000, representing 0.01% of the fund’s net assets and 2.00% 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, 2018, 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). Any investments valued with significant unobservable inputs are
noted on the Statement of Net Assets.
At February 28, 2018, 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.
28
Prime Money Market Fund
D. Capital share transactions for each class of shares were:
| | | | |
| | Six Months Ended | Year Ended |
| | February 28, 2018 | August 31, 2017 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| Investor Shares | | | | |
| Issued | 26,018,983 | 26,019,141 | 64,128,512 | 64,127,620 |
| Issued in Lieu of Cash Distributions | 491,622 | 491,622 | 680,319 | 680,319 |
| Redeemed | (27,075,566) | (27,075,566) | (80,134,465) | (80,134,468) |
| Net Increase (Decrease)—Investor Shares | (564,961) | (564,803) | (15,325,634) | (15,326,529) |
| Admiral Shares | | | | |
| Issued | 4,368,242 | 4,368,085 | 8,144,434 | 8,145,324 |
| Issued in Lieu of Cash Distributions | 77,173 | 77,173 | 102,733 | 102,733 |
| Redeemed | (3,345,048) | (3,345,048) | (12,679,548) | (12,679,548) |
| Net Increase (Decrease)—Admiral Shares | 1,100,367 | 1,100,210 | (4,432,381) | (4,431,491) |
E. Management has determined that no material events or transactions occurred subsequent to February 28, 2018, that would require recognition or disclosure in these financial statements.
29
Federal Money Market Fund
Fund Profile
As of February 28, 2018
| |
| Financial Attributes | |
| Ticker Symbol | VMFXX |
| Expense Ratio1 | 0.11% |
| 7-Day SEC Yield | 1.36% |
| Average Weighted | |
| Maturity | 48 days |
| |
| Sector Diversification (% of portfolio) | |
| U.S. Government Obligations | 42.6% |
| U.S. Treasury Bills | 40.3 |
| Repurchase Agreements | 17.1 |
The agency and mortgage-backed securities sectors may include
issues from government-sponsored enterprises; such issues are
generally not backed by the full faith and credit of the U.S.
government.
1 The expense ratio shown is from the prospectus dated December 22, 2017, and represents estimated costs for the current fiscal year.
For the six months ended February 28, 2018, the annualized expense ratio was 0.11%.
30
Federal Money Market Fund
Performance Summary
Investment returns will fluctuate. All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) The returns shown do not reflect taxes that a shareholder would pay on fund distributions. You could lose money by investing in the fund. Although the fund seeks to preserve the value of your investment at $1 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, 2007, Through February 28, 2018 | |
| | | US Gov’t Money |
| | | Market Funds |
| | | Average |
| Fiscal Year | Total Returns | Total Returns |
| 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 | 0.57 | 0.19 |
| 2018 | 0.56 | 0.29 |
| 7-day SEC yield (2/28/2018): 1.36% |
| Government Money Market Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
| Note: For 2018, performance data reflect the six months ended February 28, 2018. |
Average Annual Total Returns: Periods Ended December 31, 2017
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 | 0.81% | 0.24% | 0.41% |
See Financial Highlights for dividend information.
31
Federal Money Market Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 28, 2018
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 (82.9%) | | | |
| 2 | Fannie Mae Discount Notes | 1.305% | 3/26/18 | 550,000 | 549,503 |
| 3 | Federal Home Loan Bank Discount | �� | | | |
| | Notes | 1.323%–1.325% | 3/2/18 | 147,375 | 147,370 |
| 3 | Federal Home Loan Bank Discount | | | | |
| | Notes | 1.330% | 3/8/18 | 533 | 533 |
| 3 | Federal Home Loan Bank Discount | | | | |
| | Notes | 1.353% | 3/9/18 | 200,000 | 199,940 |
| 3 | Federal Home Loan Bank Discount | | | | |
| | Notes | 1.353% | 3/12/18 | 500,000 | 499,794 |
| 3 | Federal Home Loan Bank Discount | | | | |
| | Notes | 1.342%–1.353% | 3/14/18 | 866,500 | 866,078 |
| 3 | Federal Home Loan Bank Discount | | | | |
| | Notes | 1.167%–1.351% | 3/16/18 | 1,029,000 | 1,028,430 |
| 3 | Federal Home Loan Bank Discount | | | | |
| | Notes | 1.348% | 3/19/18 | 250,000 | 249,832 |
| 3 | Federal Home Loan Bank Discount | | | | |
| | Notes | 1.157%–1.372% | 3/20/18 | 275,000 | 274,809 |
| 3 | Federal Home Loan Bank Discount | | | | |
| | Notes | 1.338%–1.358% | 3/21/18 | 1,179,462 | 1,178,582 |
| 3 | Federal Home Loan Bank Discount | | | | |
| | Notes | 1.353%–1.359% | 3/22/18 | 765,000 | 764,396 |
| 3 | Federal Home Loan Bank Discount | | | | |
| | Notes | 1.330%–1.369% | 3/23/18 | 730,000 | 729,404 |
| 3 | Federal Home Loan Bank Discount | | | | |
| | Notes | 1.368% | 3/26/18 | 500,000 | 499,526 |
| 3 | Federal Home Loan Bank Discount | | | | |
| | Notes | 1.369% | 3/27/18 | 500,000 | 499,507 |
| 3 | Federal Home Loan Bank Discount | | | | |
| | Notes | 1.373%–1.384% | 3/28/18 | 549,913 | 549,346 |
| 3 | Federal Home Loan Bank Discount | | | | |
| | Notes | 1.353% | 3/29/18 | 1,800,000 | 1,798,110 |
| 3 | Federal Home Loan Bank Discount | | | | |
| | Notes | 1.423% | 4/2/18 | 225,000 | 224,716 |
32
| | | | | |
| Federal Money Market Fund | | | | |
| |
| |
| |
| | | | | Face | Market |
| | | | Maturity | Amount | Value • |
| | | Yield1 | Date | ($000) | ($000) |
| 3 | Federal Home Loan Bank Discount | | | | |
| | Notes | 1.414%–1.423% | 4/4/18 | 1,145,250 | 1,143,715 |
| 3 | Federal Home Loan Bank Discount | | | | |
| | Notes | 1.212%–1.483% | 4/6/18 | 911,909 | 910,616 |
| 3 | Federal Home Loan Bank Discount | | | | |
| | Notes | 1.233%–1.624% | 4/11/18 | 680,000 | 678,969 |
| 3 | Federal Home Loan Bank Discount | | | | |
| | Notes | 1.580% | 4/13/18 | 333,218 | 332,591 |
| 3 | Federal Home Loan Bank Discount | | | | |
| | Notes | 1.584% | 4/17/18 | 600,000 | 598,762 |
| 3 | Federal Home Loan Bank Discount | | | | |
| | Notes | 1.233% | 4/18/18 | 75,000 | 74,878 |
| 3 | Federal Home Loan Bank Discount | | | | |
| | Notes | 1.248% | 4/20/18 | 215,000 | 214,630 |
| 3 | Federal Home Loan Bank Discount | | | | |
| | Notes | 1.627% | 5/16/18 | 200,000 | 199,316 |
| 3,4 | Federal Home Loan Banks | 1.630% | 3/2/18 | 250,000 | 250,000 |
| 3,5 | Federal Home Loan Banks | 1.560% | 3/7/18 | 500,000 | 500,000 |
| 3,5 | Federal Home Loan Banks | 1.623% | 3/23/18 | 500,000 | 500,000 |
| 3,5 | Federal Home Loan Banks | 1.508% | 4/27/18 | 500,000 | 500,000 |
| 3,5 | Federal Home Loan Banks | 1.440% | 5/1/18 | 500,000 | 500,000 |
| 3,5 | Federal Home Loan Banks | 1.414% | 5/3/18 | 100,000 | 99,992 |
| 3,5 | Federal Home Loan Banks | 1.444% | 5/9/18 | 500,000 | 500,000 |
| 3,5 | Federal Home Loan Banks | 1.455% | 5/17/18 | 500,000 | 500,000 |
| 3,5 | Federal Home Loan Banks | 1.468% | 5/23/18 | 750,000 | 750,000 |
| 3,5 | Federal Home Loan Banks | 1.486% | 5/25/18 | 500,000 | 500,000 |
| 3,5 | Federal Home Loan Banks | 1.486% | 5/25/18 | 500,000 | 500,000 |
| 3,5 | Federal Home Loan Banks | 1.486% | 5/25/18 | 750,000 | 750,000 |
| 3,5 | Federal Home Loan Banks | 1.445% | 6/1/18 | 500,000 | 500,000 |
| 3,5 | Federal Home Loan Banks | 1.445% | 6/1/18 | 500,000 | 500,000 |
| 3,5 | Federal Home Loan Banks | 1.441% | 6/12/18 | 350,000 | 350,000 |
| 3,5 | Federal Home Loan Banks | 1.441% | 6/12/18 | 230,000 | 230,000 |
| 3,5 | Federal Home Loan Banks | 1.443% | 6/13/18 | 250,000 | 250,000 |
| 3,5 | Federal Home Loan Banks | 1.448% | 6/14/18 | 500,000 | 500,000 |
| 3,5 | Federal Home Loan Banks | 1.518% | 6/28/18 | 500,000 | 500,000 |
| 3,5 | Federal Home Loan Banks | 1.450% | 8/20/18 | 44,850 | 44,844 |
| 3,5 | Federal Home Loan Banks | 1.476% | 8/24/18 | 1,750,000 | 1,750,000 |
| 3,5 | Federal Home Loan Banks | 1.506% | 8/24/18 | 750,000 | 750,000 |
| 3,5 | Federal Home Loan Banks | 1.533% | 8/28/18 | 250,000 | 250,000 |
| 3,5 | Federal Home Loan Banks | 1.533% | 8/28/18 | 930,000 | 930,081 |
| 3,5 | Federal Home Loan Banks | 1.450% | 9/18/18 | 240,000 | 239,957 |
| 3,5 | Federal Home Loan Banks | 1.516% | 9/27/18 | 600,000 | 600,000 |
| 3,5 | Federal Home Loan Banks | 1.486% | 10/26/18 | 1,000,000 | 1,000,000 |
| 3,5 | Federal Home Loan Banks | 1.489% | 11/8/18 | 100,000 | 99,997 |
| 3,5 | Federal Home Loan Banks | 1.465% | 11/20/18 | 1,000,000 | 1,000,000 |
| 3,5 | Federal Home Loan Banks | 1.514% | 11/21/18 | 500,000 | 500,000 |
| 3,5 | Federal Home Loan Banks | 1.523% | 11/23/18 | 230,000 | 230,000 |
| 3,5 | Federal Home Loan Banks | 1.556% | 11/28/18 | 600,000 | 600,000 |
| 2,5 | Federal Home Loan Mortgage Corp. | 1.564% | 3/9/18 | 650,000 | 650,000 |
| 2,5 | Federal Home Loan Mortgage Corp. | 1.595% | 7/6/18 | 750,000 | 750,000 |
| 2,5 | Federal Home Loan Mortgage Corp. | 1.444% | 8/20/18 | 2,000,000 | 2,000,000 |
| 2,5 | Federal Home Loan Mortgage Corp. | 1.460% | 12/7/18 | 1,500,000 | 1,500,000 |
| 2,5 | Federal Home Loan Mortgage Corp. | 1.479% | 8/8/19 | 1,000,000 | 1,000,000 |
| 2,5 | Federal Home Loan Mortgage Corp. | 1.481% | 8/12/19 | 1,000,000 | 1,000,000 |
33
| | | | | | |
| Federal Money Market Fund | | | | | |
| |
| |
| |
| | | | | | Face | Market |
| | | | | Maturity | Amount | Value • |
| | | | Yield1 | Date | ($000) | ($000) |
| 2,4 | Federal National Mortgage Assn. | | 1.592% | 3/21/18 | 400,000 | 400,016 |
| 2 | Freddie Mac Discount Notes | | 1.337% | 3/1/18 | 25,121 | 25,121 |
| 2 | Freddie Mac Discount Notes | | 1.167% | 3/16/18 | 44,491 | 44,469 |
| | United States Treasury Bill | | 1.564% | 4/12/18 | 500,000 | 499,090 |
| | United States Treasury Bill | | 1.444% | 4/19/18 | 4,228,500 | 4,220,212 |
| | United States Treasury Bill | | 1.268% | 5/3/18 | 3,000,000 | 2,993,385 |
| | United States Treasury Bill | 1.309%–1.531% | 5/10/18 | 2,500,000 | 2,493,462 |
| | United States Treasury Bill | 1.369%–1.576% | 5/17/18 | 4,780,600 | 4,765,894 |
| | United States Treasury Bill | | 1.425% | 5/24/18 | 2,250,000 | 2,242,571 |
| | United States Treasury Bill | 1.445%–1.652% | 5/31/18 | 3,750,000 | 3,735,601 |
| | United States Treasury Bill | | 1.461% | 6/7/18 | 1,875,000 | 1,867,599 |
| | United States Treasury Bill | | 1.471% | 6/14/18 | 1,923,000 | 1,914,811 |
| | United States Treasury Bill | | 1.542% | 6/28/18 | 3,500,000 | 3,482,299 |
| | United States Treasury Bill | | 1.588% | 7/5/18 | 1,500,000 | 1,491,731 |
| | United States Treasury Bill | | 1.588% | 7/12/18 | 1,500,000 | 1,491,272 |
| | United States Treasury Bill | | 1.613% | 7/19/18 | 1,500,000 | 1,490,667 |
| | United States Treasury Bill | | 1.628% | 7/26/18 | 1,000,000 | 993,405 |
| | United States Treasury Bill | | 1.639% | 8/2/18 | 750,000 | 744,783 |
| | United States Treasury Bill | | 1.801% | 8/16/18 | 500,000 | 495,835 |
| | United States Treasury Bill | | 1.837% | 8/23/18 | 1,743,600 | 1,728,174 |
| 6 | United States Treasury Floating Rate Note | 1.822% | 10/31/18 | 600,000 | 600,004 |
| Total U.S. Government and Agency Obligations (Cost $75,508,625) | | 75,508,625 |
| Repurchase Agreements (18.7%) | | | | | |
| | Bank of Montreal | | | | | |
| | (Dated 2/1/18, Repurchase Value | | | | | |
| | $500,513,000, collateralized by | | | | | |
| | Treasury Inflation Indexed Note/Bond | | | | | |
| | 0.125%–3.875%, 7/15/26–2/15/47, | | | | | |
| | and U.S. Treasury Note/Bond | | | | | |
| | 0.750%–3.625%, 5/31/18–2/15/48, | | | | | |
| | with a value of $510,000,000) | | 1.320% | 3/1/18 | 500,000 | 500,000 |
| | Bank of Montreal | | | | | |
| | (Dated 2/28/18, Repurchase Value | | | | | |
| | $400,015,000, collateralized by | | | | | |
| | Treasury Inflation Indexed Note/Bond | | | | | |
| | 0.125%–1.375%, 4/15/18–2/15/46, | | | | | |
| | U. S. Treasury Bill 0.000%, 3/29/18, | | | | | |
| | and U.S. Treasury Note/Bond | | | | | |
| | 1.375%–5.250%, 2/28/19–11/15/46, | | | | | |
| | with a value of $408,000,000) | | 1.340% | 3/1/18 | 400,000 | 400,000 |
| | Bank of Montreal | | | | | |
| | (Dated 1/29/18, Repurchase Value | | | | | |
| | $250,484,000, collateralized by | | | | | |
| | Treasury Inflation Indexed Note/Bond | | | | | |
| | 0.125%–2.125%, 7/15/19–2/15/47, | | | | | |
| | and U.S. Treasury Note/Bond | | | | | |
| | 1.250%–3.750%, 5/31/19–8/15/46, | | | | | |
| | with a value of $255,000,000) | | 1.340% | 3/22/18 | 250,000 | 250,000 |
34
| | | | |
| Federal Money Market Fund | | | | |
| |
| |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value • |
| | Yield1 | Date | ($000) | ($000) |
| Bank of Montreal | | | | |
| (Dated 1/29/18, Repurchase Value | | | | |
| $400,795,000, collateralized by | | | | |
| Treasury Inflation Indexed Note/Bond | | | | |
| 0.125%–1.375%, 7/15/20–2/15/44, | | | | |
| and U.S. Treasury Note/Bond | | | | |
| 1.375%–3.875%, 11/30/18–5/15/47, | | | | |
| with a value of $408,000,000) | 1.350% | 3/23/18 | 400,000 | 400,000 |
| Bank of Nova Scotia | | | | |
| (Dated 2/28/18, Repurchase Value | | | | |
| $1,750,065,000, collateralized by | | | | |
| Treasury Inflation Indexed Note/Bond | | | | |
| 0.125%–3.875%, 7/15/20–2/15/40, | | | | |
| U. S. Treasury Bill 0.000%, 4/12/18–1/3/19, | | | | |
| and U.S. Treasury Note/Bond | | | | |
| 0.875%– 6.000%, 4/30/18–8/15/47, | | | | |
| with a value of $1,785,000,000) | 1.340% | 3/1/18 | 1,750,000 | 1,750,000 |
| Canadian Imperial Bank of Commerce | | | | |
| (Dated 2/28/18, Repurchase Value | | | | |
| $3,500,130,000, collateralized by | | | | |
| Treasury Inflation Indexed Note/Bond | | | | |
| 0.125%–3.625%, 4/15/20–4/15/28, | | | | |
| and U.S. Treasury Note/Bond | | | | |
| 0.875%–4.375%, 10/15/18–11/15/46, | | | | |
| with a value of $3,570,000,000) | 1.340% | 3/1/18 | 3,500,000 | 3,500,000 |
| Credit Agricole Corporate & Investment | | | | |
| Bank NY Branch (Dated 2/28/18, | | | | |
| Repurchase Value $2,000,075,000, | | | | |
| collateralized by Treasury Inflation | | | | |
| Indexed Note/Bond 0.125%, 7/15/26, | | | | |
| U. S. Treasury Bill 0.000%, 5/10/18, | | | | |
| and U.S. Treasury Note/Bond | | | | |
| 1.125%–3.000%, 9/30/21–11/15/45, | | | | |
| with a value of $2,040,000,000) | 1.350% | 3/1/18 | 2,000,000 | 2,000,000 |
| Credit Agricole Corporate & | | | | |
| Investment Bank NY Branch | | | | |
| (Dated 2/23/18, Repurchase Value | | | | |
| $300,079,000, collateralized by | | | | |
| U. S. Treasury Note/Bond 1.875%–2.875%, | | | | |
| 10/31/22–11/15/46, with a value | | | | |
| of $306,000,000) | 1.350% | 3/2/18 | 300,000 | 300,000 |
| Credit Agricole Corporate & | | | | |
| Investment Bank NY Branch | | | | |
| (Dated 2/27/18, Repurchase Value | | | | |
| $500,131,000, collateralized by | | | | |
| Treasury Inflation Indexed | | | | |
| Note/Bond 0.125%–3.625%, | | | | |
| 4/15/22–4/15/28, and U.S. | | | | |
| Treasury Note/Bond 1.375%–3.125%, | | | | |
| 9/30/19–11/15/41, with a value | | | | |
| of $510,000,000) | 1.350% | 3/6/18 | 500,000 | 500,000 |
35
| | | | |
| Federal Money Market Fund | | | | |
| |
| |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value • |
| | Yield1 | Date | ($000) | ($000) |
| Credit Agricole Corporate & | | | | |
| Investment Bank NY Branch | | | | |
| (Dated 2/28/18, Repurchase Value | | | | |
| $1,200,317,000, collateralized by | | | | |
| Treasury Inflation Indexed Note/Bond | | | | |
| 0.625%–3.375%, 1/15/19–2/15/48, | | | | |
| U. S. Treasury Bill 0.000%, | | | | |
| 3/8/18–1/31/19, and U.S. Treasury | | | | |
| Note/Bond 0.750%–9.125%, | | | | |
| 3/15/18–2/15/48, with a value | | | | |
| of $1,224,000,000) | 1.360% | 3/7/18 | 1,200,000 | 1,200,000 |
| JP Morgan Securities LLC | | | | |
| (Dated 2/28/18, Repurchase Value | | | | |
| $45,002,000, collateralized by | | | | |
| U.S. Treasury Note/Bond 3.750%, | | | | |
| 11/15/43, with a value of $45,902,000) | 1.320% | 3/1/18 | 45,000 | 45,000 |
| JP Morgan Securities LLC | | | | |
| (Dated 2/28/18, Repurchase Value | | | | |
| $100,004,000, collateralized by | | | | |
| U.S. Treasury Note/Bond | | | | |
| 1.875%–2.125%, 10/31/22–9/30/24, | | | | |
| with a value of $102,004,000) | 1.320% | 3/1/18 | 100,000 | 100,000 |
| JP Morgan Securities LLC | | | | |
| (Dated 2/28/18, Repurchase Value | | | | |
| $500,018,000, collateralized by | | | | |
| Treasury Inflation Indexed Note/Bond | | | | |
| 0.375%–0.625%, 1/15/26–7/15/27, | | | | |
| and U.S. Treasury Note/Bond | | | | |
| 1.625%–1.875%, 8/31/22–9/30/22, | | | | |
| with a value of $510,002,000) | 1.320% | 3/1/18 | 500,000 | 500,000 |
| JP Morgan Securities LLC | | | | |
| (Dated 2/28/18, Repurchase Value | | | | |
| $1,050,040,000, collateralized by | | | | |
| Treasury Inflation Indexed | | | | |
| Note/Bond 0.125%–3.875%, | | | | |
| 1/15/19–2/15/44, with a value | | | | |
| of $1,071,013,000) | 1.360% | 3/1/18 | 1,050,000 | 1,050,000 |
| Mizuho Securities (USA) Inc. | | | | |
| (Dated 2/28/18, Repurchase Value | | | | |
| $500,019,000, collateralized by | | | | |
| U. S. Treasury Note/Bond 1.125%–2.875%, | | | | |
| 7/31/21–11/15/46, with a value | | | | |
| of $510,000,000) | 1.350% | 3/1/18 | 500,000 | 500,000 |
| RBC Dominion Securities | | | | |
| (Dated 2/28/18, Repurchase Value | | | | |
| $250,009,000, collateralized by | | | | |
| U. S. Treasury Note/Bond 1.875%–3.625%, | | | | |
| 12/31/19–11/15/27, with a value | | | | |
| of $255,000,000) | 1.340% | 3/1/18 | 250,000 | 250,000 |
36
| | | | |
| Federal Money Market Fund | | | | |
| |
| |
| |
| | | | Face | Market |
| | | Maturity | Amount | Value • |
| | Yield1 | Date | ($000) | ($000) |
| RBC Dominion Securities | | | | |
| (Dated 2/28/18, Repurchase Value | | | | |
| $2,500,093,000, collateralized | | | | |
| by Treasury Inflation Indexed | | | | |
| Note/Bond 0.125%–1.000%, | | | | |
| 7/15/24–2/15/46, U.S. Treasury | | | | |
| Bill 0.000%, 5/24/18, and | | | | |
| U.S. Treasury Note/Bond | | | | |
| 0.750%–4.500%, 3/31/18–5/15/47, | | | | |
| with a value of $2,550,000,000) | 1.340% | 3/1/18 | 2,500,000 | 2,500,000 |
| RBC Dominion Securities | | | | |
| (Dated 2/28/18, Repurchase Value | | | | |
| $250,066,000, collateralized by | | | | |
| Treasury Inflation Indexed Note/Bond | | | | |
| 0.750%, 2/15/45, and U.S. Treasury | | | | |
| Note/Bond 1.625%–2.250%, | | | | |
| 3/31/19–11/15/27, with a value | | | | |
| of $255,000,000) | 1.350% | 3/7/18 | 250,000 | 250,000 |
| TD Securities (USA) LLC | | | | |
| (Dated 2/28/18, Repurchase Value | | | | |
| $400,015,000, collateralized by | | | | |
| U.S. Treasury Note/Bond | | | | |
| 3.625%–4.375%, 5/15/40–8/15/43, | | | | |
| with a value of $408,000,000) | 1.340% | 3/1/18 | 400,000 | 400,000 |
| TD Securities (USA) LLC | | | | |
| (Dated 2/23/18, Repurchase Value | | | | |
| $200,053,000, collateralized by | | | | |
| U.S. Treasury Note/Bond | | | | |
| 2.000%–2.250%, 3/31/21–2/15/23, | | | | |
| with a value of $204,000,000) | 1.350% | 3/2/18 | 200,000 | 200,000 |
| TD Securities (USA) LLC | | | | |
| (Dated 2/28/18, Repurchase Value | | | | |
| $100,026,000, collateralized by | | | | |
| U.S. Treasury Note/Bond | | | | |
| 1.250%–2.375%, 7/31/23–8/15/24, | | | | |
| with a value of $102,000,000) | 1.350% | 3/7/18 | 100,000 | 100,000 |
| TD Securities (USA) LLC | | | | |
| (Dated 2/28/18, Repurchase Value | | | | |
| $275,073,000, collateralized by | | | | |
| U.S. Treasury Note/Bond | | | | |
| 1.375%–2.125%, 2/28/19–8/15/25, | | | | |
| with a value of $280,500,000) | 1.360% | 3/7/18 | 275,000 | 275,000 |
| Total Repurchase Agreements (Cost $16,970,000) | | | 16,970,000 |
| Total Investments (101.6%) (Cost $92,478,625) | | | | 92,478,625 |
37
| |
| Federal Money Market Fund | |
| |
| |
| |
| |
| | Amount |
| | ($000) |
| Other Assets and Liabilities (-1.6%) | |
| Other Assets | |
| Investment in Vanguard | 4,519 |
| Receivables for Accrued Income | 15,245 |
| Receivables for Capital Shares Issued | 468,671 |
| Other Assets | 24,040 |
| Total Other Assets | 512,475 |
| Liabilities | |
| Payables for Investment Securities Purchased | (1,493,763) |
| Payables for Capital Shares Redeemed | (438,718) |
| Payables for Distributions | (1,334) |
| Payables to Vanguard | (4,096) |
| Total Liabilities | (1,937,911) |
| Net Assets (100%) | |
| Applicable to 91,054,888,465 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 91,053,189 |
| Net Asset Value Per Share | $1.00 |
| |
| |
| At February 28, 2018, net assets consisted of: | |
| | Amount |
| | ($000) |
| Paid-in Capital | 91,055,398 |
| Undistributed Net Investment Income | 114 |
| Accumulated Net Realized Losses | (2,323) |
| Net Assets | 91,053,189 |
• See Note A in Notes to Financial Statements.
1 Represents annualized yield at date of purchase for discount securities, and coupon for coupon-bearing securities.
2 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed
by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth,
in exchange for senior preferred stock.
3 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed
by the full faith and credit of the U.S. government.
4 Adjustable-rate security based upon 3-month USD LIBOR plus spread.
5 Adjustable-rate security based upon 1-month USD LIBOR plus spread.
6 Adjustable-rate security based upon 3-month U.S. Treasury Bill Auction High Money Market Yield plus spread.
See accompanying Notes, which are an integral part of the Financial Statements.
38
| |
| Federal Money Market Fund | |
| |
| |
| Statement of Operations | |
| |
| | Six Months Ended |
| | February28,2018 |
| | ($000) |
| Investment Income | |
| Income | |
| Interest | 514,711 |
| Total Income | 514,711 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 1,623 |
| Management and Administrative | 34,658 |
| Marketing and Distribution | 8,416 |
| Custodian Fees | 315 |
| Shareholders’ Reports and Proxy | 836 |
| Trustees’ Fees and Expenses | 44 |
| Total Expenses | 45,892 |
| Net Investment Income | 468,819 |
| Realized Net Gain (Loss) on Investment Securities Sold | (1,783) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 467,036 |
See accompanying Notes, which are an integral part of the Financial Statements.
39
| | |
| Federal Money Market Fund | | |
| |
| |
| Statement of Changes in Net Assets | | |
| |
| | Six Months Ended | Year Ended |
| | February 28, | August 31, |
| | 2018 | 2017 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 468,819 | 402,841 |
| Realized Net Gain (Loss) | (1,783) | (596) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 467,036 | 402,245 |
| Distributions | | |
| Net Investment Income | (468,754) | (402,787) |
| Realized Capital Gain | — | — |
| Total Distributions | (468,754) | (402,787) |
| Capital Share Transactions (at $1.00 per share) | | |
| Issued | 44,071,135 | 88,362,924 |
| Issued in Lieu of Cash Distributions | 460,416 | 395,681 |
| Redeemed | (32,928,229) | (48,110,472) |
| Net Increase (Decrease) from Capital Share Transactions | 11,603,322 | 40,648,133 |
| Total Increase (Decrease) | 11,601,604 | 40,647,591 |
| Net Assets | | |
| Beginning of Period | 79,451,585 | 38,803,994 |
| End of Period1 | 91,053,189 | 79,451,585 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $114,000 and $49,000.
See accompanying Notes, which are an integral part of the Financial Statements.
40
| | | | | | | |
| Federal Money Market Fund | | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| | Six Months | | | | | |
| | | Ended | | | | | |
| For a Share Outstanding | February 28, | Year Ended August 31, |
| Throughout Each Period | | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Investment Operations | | | | | | | |
| Net Investment Income | | . 0061 | .0061 | .0022 | .0001 | .0001 | .0001 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | | — | — | — | — | — | — |
| Total from Investment Operations | .006 | .006 | .0022 | .0001 | .0001 | .0001 |
| Distributions | | | | | | | |
| Dividends from Net Investment Income | (.006) | (.006) | (.0022) | (.0001) | (.0001) | (.0001) |
| Distributions from Realized Capital Gains | — | — | — | — | (.0000)2 | — |
| Total Distributions | | (.006) | (.006) | (.0022) | (.0001) | (.0001) | (.0001) |
| Net Asset Value, End of Period | | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| |
| Total Return3 | | 0.56% | 0.57% | 0.23% | 0.01% | 0.02% | 0.01% |
| |
| Ratios/Supplemental Data | | | | | | | |
| Net Assets, End of Period (Millions) | $91,053 | $79,452 | $38,804 | $3,325 | $3,108 | $3,522 |
| Ratio of Total Expenses to | | | | | | | |
| Average Net Assets | | 0.11% | 0.11% | 0.11%4 | 0.10% 4 | 0.09% 4 | 0.13% 4 |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | | 1.12% | 0.60% | 0.27% | 0.01% | 0.01% | 0.01% |
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Distribution was less than $.0001 per share.
3 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.
4 The ratio of total expenses to average net assets before an expense reduction was 0.11% for 2016, 0.11% for 2015, 0.11% for 2014,
and 0.14% for 2013. For the six months ended February 28, 2018, and the year ended August 31, 2017, there were no expense
reductions. See Note B in the Notes to Financial Statements.
See accompanying Notes, which are an integral part of the Financial Statements.
41
Federal Money Market Fund
Notes to Financial Statements
Vanguard Federal Money Market Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund invests in short-term debt instruments issued by the U.S. government or its agencies and instrumentalities, and repurchase agreements collateralized by such instruments.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Securities are valued at amortized cost, which approximates market value.
2. Repurchase Agreements: The fund enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the fund under repurchase agreements are held by a custodian bank until the agreements mature, 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 counterparty’s default (including bankruptcy), the fund may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral.
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, 2014–2017), and for the period ended February 28, 2018, 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.
The fund had no borrowings outstanding at February 28, 2018, or at any time during the period then ended.
42
Federal Money Market Fund
6. Other: Interest income is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2018, the fund had contributed to Vanguard capital in the amount of $4,519,000, representing 0.01% of the fund’s net assets and 1.81% 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, 2018, 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). Any investments valued with significant unobservable inputs are
noted on the Statement of Net Assets.
At February 28, 2018, 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, 2018, that would require recognition or disclosure in these financial statements.
43
Treasury Money Market Fund
Fund Profile
As of February 28, 2018
| |
| Financial Attributes | |
| Ticker Symbol | VUSXX |
| Expense Ratio1 | 0.09% |
| 7-Day SEC Yield | 1.41% |
| Average Weighted | |
| Maturity | 55 days |
| |
| Sector Diversification (% of portfolio) | |
| U.S. Treasury Bills | 100.0% |
The agency and mortgage-backed securities sectors may include
issues from government-sponsored enterprises; such issues are
generally not backed by the full faith and credit of the U.S.
government.
1 The expense ratio shown is from the prospectus dated December 22, 2017, and represents estimated costs for the current fiscal year.
For the six months ended February 28, 2018, the annualized expense ratio was 0.09%.
44
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 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, 2007, Through February 28, 2018 | |
| | | iMoneyNet |
| | | Average |
| Fiscal Year | Total Returns | Total Returns |
| 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 | 0.54 | 0.19 |
| 2018 | 0.55 | 0.31 |
| 7-day SEC yield (2/28/2018): 1.41% |
| iMoneyNet Money Fund Report’s 100% Treasury Funds Average: Derived from data provided by iMoneyNet, Inc. |
| Note: For 2018, performance data reflect the six months ended February 28, 2018. |
Average Annual Total Returns: Periods Ended December 31, 2017
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 | 0.79% | 0.22% | 0.35% |
See Financial Highlights for dividend information.
45
Treasury Money Market Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 28, 2018
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 (102.4%) | | | |
| | United States Treasury Bill | 1.100%–1.175% | 3/1/18 | 422,808 | 422,808 |
| | United States Treasury Bill | 1.293%–1.323% | 3/29/18 | 1,547,450 | 1,545,880 |
| | United States Treasury Bill | 1.298%–1.378% | 4/5/18 | 526,817 | 526,133 |
| | United States Treasury Bill | 1.425%–1.564% | 4/12/18 | 2,155,068 | 2,151,458 |
| | United States Treasury Bill | 1.435%–1.516% | 4/19/18 | 2,338,570 | 2,333,973 |
| | United States Treasury Bill | 1.422%–1.435% | 4/26/18 | 2,023,860 | 2,019,359 |
| | United States Treasury Bill | 1.264%–1.430% | 5/3/18 | 1,040,000 | 1,037,615 |
| | United States Treasury Bill | 1.491%–1.536% | 5/10/18 | 987,575 | 984,722 |
| | United States Treasury Bill | 1.576% | 5/17/18 | 1,778,819 | 1,772,846 |
| | United States Treasury Bill | 1.643% | 5/24/18 | 800,000 | 796,946 |
| | United States Treasury Bill | 1.445%–1.652% | 5/31/18 | 1,599,163 | 1,592,837 |
| | United States Treasury Bill | 1.461% | 6/14/18 | 10,046 | 10,004 |
| | United States Treasury Bill | 1.853% | 8/23/18 | 300,000 | 297,322 |
| 2 | United States Treasury Floating | | | | |
| | Rate Note | 1.842% | 4/30/18 | 15,000 | 15,007 |
| 2 | United States Treasury Floating | | | | |
| | Rate Note | 1.822% | 10/31/18 | 899,825 | 899,831 |
| 2 | United States Treasury Floating | | | | |
| | Rate Note | 1.652% | 1/31/20 | 500,000 | 500,000 |
| Total U.S. Government and Agency Obligations (Cost $16,906,741) | | 16,906,741 |
| Total Investments (102.4%) (Cost $16,906,741) | | | 16,906,741 |
46
| |
| Treasury Money Market Fund | |
| |
| |
| |
| |
| | Amount |
| | ($000) |
| Other Assets and Liabilities (-2.4%) | |
| Other Assets | |
| Investment in Vanguard | 836 |
| Receivables for Investment Securities Sold | 602,101 |
| Receivables for Accrued Income | 1,886 |
| Receivables for Capital Shares Issued | 51,376 |
| Other Assets | 3,993 |
| Total Other Assets | 660,192 |
| Liabilities | |
| Payables for Investment Securities Purchased | (1,024,904) |
| Payables for Capital Shares Redeemed | (33,657) |
| Payables for Distributions | (562) |
| Payables to Vanguard | (604) |
| Total Liabilities | (1,059,727) |
| Net Assets (100%) | |
| Applicable to 16,504,503,065 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 16,507,206 |
| Net Asset Value Per Share | $1.00 |
| |
| At February 28, 2018, net assets consisted of: | |
| | Amount |
| | ($000) |
| Paid-in Capital | 16,507,543 |
| Undistributed Net Investment Income | 16 |
| Accumulated Net Realized Losses | (353) |
| Net Assets | 16,507,206 |
• See Note A in Notes to Financial Statements.
1 Represents annualized yield at date of purchase for discount securities, and coupon for coupon-bearing securities.
2 Adjustable-rate security based upon 3-month U.S. Treasury Bill Auction High Money Market Yield plus spread.
See accompanying Notes, which are an integral part of the Financial Statements.
47
| |
| Treasury Money Market Fund | |
| |
| |
| Statement of Operations | |
| |
| | Six Months Ended |
| | February28,2018 |
| | ($000) |
| Investment Income | |
| Income | |
| Interest | 94,609 |
| Total Income | 94,609 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 304 |
| Management and Administrative | 5,012 |
| Marketing and Distribution | 1,569 |
| Custodian Fees | 75 |
| Shareholders’ Reports and Proxy | 100 |
| Trustees’ Fees and Expenses | 6 |
| Total Expenses | 7,066 |
| Net Investment Income | 87,543 |
| Realized Net Gain (Loss) on Investment Securities Sold | 79 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 87,622 |
See accompanying Notes, which are an integral part of the Financial Statements.
48
| | |
| Treasury Money Market Fund | | |
| |
| |
| Statement of Changes in Net Assets | | |
| |
| | Six Months Ended | Year Ended |
| | February 28, | August 31, |
| | 2018 | 2017 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 87,543 | 80,882 |
| Realized Net Gain (Loss) | 79 | (407) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 87,622 | 80,475 |
| Distributions | | |
| Net Investment Income | (87,536) | (80,873) |
| Realized Capital Gain | — | — |
| Total Distributions | (87,536) | (80,873) |
| Capital Share Transactions (at $1.00 per share) | | |
| Issued | 4,924,461 | 9,585,836 |
| Issued in Lieu of Cash Distributions | 84,508 | 78,567 |
| Redeemed | (4,140,602) | (6,828,339) |
| Net Increase (Decrease) from Capital Share Transactions | 868,367 | 2,836,064 |
| Total Increase (Decrease) | 868,453 | 2,835,666 |
| Net Assets | | |
| Beginning of Period | 15,638,753 | 12,803,087 |
| End of Period1 | 16,507,206 | 15,638,753 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $16,000 and $9,000.
See accompanying Notes, which are an integral part of the Financial Statements.
49
| | | | | | | |
| Treasury Money Market Fund | | | | | | | |
| |
| |
| Financial Highlights | | | | | | |
| |
| |
| | Six Months | | | | | |
| | | Ended | | | | | |
| For a Share Outstanding | February 28, | Year Ended August 31, |
| Throughout Each Period | | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| Investment Operations | | | | | | | |
| Net Investment Income | | . 0061 | .0051 | .0017 | .0001 | .0001 | .0002 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | | — | — | — | — | — | — |
| Total from Investment Operations | .006 | .005 | .0017 | .0001 | .0001 | .0002 |
| Distributions | | | | | | | |
| Dividends from Net Investment Income | (.006) | (.005) | (.0017) | (.0001) | (.0001) | (.0002) |
| Distributions from Realized Capital Gains | — | — | — | — | (.0000)2 | — |
| Total Distributions | | (.006) | (.005) | (.0017) | (.0001) | (.0001) | (0002) |
| Net Asset Value, End of Period | | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 | $1.00 |
| |
| Total Return3 | | 0.55% | 0.54% | 0.17% | 0.01% | 0.01% | 0.02% |
| |
| Ratios/Supplemental Data | | | | | | | |
| Net Assets, End of Period (Millions) | $16,507 | $15,639 | $12,803 | $9,388 | $10,365 | $11,660 |
| Ratio of Total Expenses to | | | | | | | |
| Average Net Assets | | 0.09% | 0.09% | 0.09%4 | 0.04% 4 | 0.05% 4 | 0.08% 4 |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | | 1.12% | 0.55% | 0.18% | 0.01% | 0.01% | 0.02% |
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Distributions from realized capital gains were less than $.0001 per share.
3 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.
4 The ratio of total expenses to average net assets before an expense reduction was 0.09% for 2016, 0.09% for 2015, 0.09% for
2014, and 0.09% for 2013. For the six months ended February 28, 2018, and the year ended August 31, 2017, there were no expense
reductions. See Note B in the Notes to Financial Statements.
See accompanying Notes, which are an integral part of the Financial Statements.
50
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, 2014–2017), and for the period ended February 28, 2018, 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, 2018, 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. All other costs of operations payable to Vanguard are generally settled twice a month.
51
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, 2018, the fund had contributed to Vanguard capital in the amount of $836,000, representing 0.01% of the fund’s net assets and 0.33% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
Vanguard and the board of trustees have agreed to temporarily limit certain net operating expenses in excess of the fund’s daily yield in order to maintain a zero or positive yield for the fund. Vanguard and the board of trustees may terminate the temporary expense limitation at any time. The fund is not obligated to repay this amount to Vanguard. For the six months ended February 28, 2018, 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). Any investments valued with significant unobservable inputs are
noted on the Statement of Net Assets.
At February 28, 2018, 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, 2018, that would require recognition or disclosure in these financial statements.
52
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.
53
| | | |
| Six Months Ended February 28, 2018 | | | |
| | Beginning | Ending | Expenses |
| | Account Value | Account Value | Paid During |
| | 8/31/2017 | 2/28/2018 | Period |
| Based on Actual Fund Return | | | |
| Prime Money Market Fund | | | |
| Investor Shares | $1,000.00 | $1,006.30 | $0.80 |
| Admiral Shares | 1,000.00 | 1,006.60 | 0.50 |
| Federal Money Market Fund | $1,000.00 | $1,005.56 | $0.55 |
| Treasury Money Market Fund | $1,000.00 | $1,005.54 | $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).
54
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.
55
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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 208 Vanguard funds.
Information for each trustee and executive officer of the fund appears below. 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.
Interested Trustees1
F. William McNabb III
Born in 1957. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: chairman of the board (January 2010–present) of Vanguard and of each of the investment companies served by Vanguard, trustee (2009–present) of each of the investment companies served by Vanguard, and director (2008–present) of Vanguard. Chief executive officer and president (2008–2017) of Vanguard and each of the investment companies served by Vanguard, managing director (1995–2008) of Vanguard, and director (1997–2018) of Vanguard Marketing Corporation. Director (2018–present) of UnitedHealth Group.
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chief executive officer (January 2018–present) of Vanguard; chief executive officer, president, and trustee (January 2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (February 2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) of the Children’s Hospital of Philadelphia.
Independent Trustees
Emerson U. Fullwood
Born in 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). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. 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 University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.
Amy Gutmann
Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) 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.
1 Mr. McNabb and Mr. Buckley are considered “interested persons,” as defined in the Investment Company Act of 1940, because they are officers of the Vanguard funds.
JoAnn Heffernan Heisen
Born in 1950. Trustee since July 1998. Principal occupation(s) during the past five years and other experience: corporate vice president of Johnson & Johnson (pharmaceuticals/medical devices/consumer products) and member of its executive committee (1997–2008). Chief global diversity officer (retired 2008), vice president and chief information officer (1997–2006), controller (1995–1997), treasurer (1991–1995), and assistant treasurer (1989–1991) of Johnson & Johnson. 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 in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) 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 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 in 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) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.
Scott C. Malpass
Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (1989–present) and vice president (1996–present) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Chairman of the board of TIFF Advisory Services, Inc. Member of the board of Catholic Investment Services, Inc. (investment advisors), the board of advisors for Spruceview Capital Partners, and the board of superintendence of the Institute for the Works of Religion.
Deanna Mulligan
Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: president (2010–present) and chief executive officer (2011–present) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, the Partnership for New York City (business leadership), and the Committee Encouraging Corporate Philanthropy. Trustee of the Economic Club of New York and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.
André F. Perold
Born in 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.
Sarah Bloom Raskin
Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director of i(x) Investments, LLC.
Peter F. Volanakis
Born in 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) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). 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 in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.
Christine M. Buchanan
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard and global head of Fund Administration at Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG LLP (audit, tax, and advisory services).
Brian Dvorak
Born in 1973. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2017–present) of Vanguard and each of the investment companies served by Vanguard. Assistant vice president (2017–present) of Vanguard Marketing Corporation. Vice president and director of Enterprise Risk Management (2011–2013) at Oppenheimer Funds, Inc.
Thomas J. Higgins
Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2008–present) and treasurer (1998–2008) of each of the investment companies served by Vanguard.
Peter Mahoney
Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.
Anne E. Robinson
Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Director and senior vice president (2016–2018) of Vanguard Marketing Corporation. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.
Michael Rollings
Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.
| |
| Vanguard Senior Management Team |
| |
| Mortimer J. Buckley | James M. Norris |
| Gregory Davis | Thomas M. Rampulla |
| John James | Karin A. Risi |
| Martha G. King | Anne E. Robinson |
| John T. Marcante | Michael Rollings |
| 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 |
|  |
| | P.O. Box 2600 |
| | Valley Forge, PA 19482-2600 |
| |
| |
| |
| Connect with Vanguard® > vanguard.com |
| |
| |
| |
| Fund Information > 800-662-7447 | Source for Bloomberg Barclays indexes: Bloomberg |
| Direct Investor Account Services > 800-662-2739 | Index Services Limited. Copyright 2018, Bloomberg. All |
| | rights reserved. |
| Institutional Investor Services > 800-523-1036 | |
| Text Telephone for People | |
| 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 | |
| Public Reference Section, Securities and Exchange | |
| Commission, Washington, DC 20549-1520. | |
| | © 2018 The Vanguard Group, Inc. |
| | All rights reserved. |
| | Vanguard Marketing Corporation, Distributor. |
| |
| | Q302 042018 |
Semiannual Report | February 28, 2018
Vanguard S&P Mid-Cap 400 Index Funds
Vanguard S&P Mid-Cap 400 Index Fund
Vanguard S&P Mid-Cap 400 Value Index Fund
Vanguard S&P Mid-Cap 400 Growth Index Fund
Vanguard’s Principles for Investing Success
We want to give you the best chance of investment success. These principles, grounded in Vanguard’s research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds. Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
| |
| Contents | |
| Your Fund’s Performance at a Glance. | 1 |
| CEO’s Perspective. | 3 |
| Results of Proxy Voting. | 6 |
| S&P Mid-Cap 400 Index Fund. | 8 |
| S&P Mid-Cap 400 Value Index Fund. | 26 |
| S&P Mid-Cap 400 Growth Index Fund. | 44 |
| About Your Fund’s Expenses. | 61 |
| Glossary. | 63 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises
or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this
report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: Nautical images have been part of Vanguard’s rich heritage since its start in 1975. For an
incoming ship, a lighthouse offers a beacon and safe path to shore. You can similarly depend on Vanguard to put
you first––and light the way––as you strive to meet your financial goals. Our client focus and low costs,
stemming from our unique ownership structure, assure that your interests are paramount.
Your Fund’s Performance at a Glance
• Mid-capitalization growth stocks generally outpaced their value counterparts during the six months ended February 28, 2018. The broad stock market recorded robust returns for most of the period as corporate earnings improved and investors paid more for those earnings. These trends were reflected in the performance of the Vanguard S&P Mid-Cap 400 Index Funds.
• Results ranged from almost 6% for Vanguard S&P Mid-Cap 400 Value Index Fund to about 11% for Vanguard S&P Mid-Cap 400 Growth Index Fund. Vanguard S&P Mid-Cap 400 Index Fund, which includes both value and growth stocks, returned more than 8%.
• Each fund closely tracked its target index. The Index Fund exceeded the average return of its mid-cap peer group, while the Growth and Value Index Funds lagged their peers.
• Financial, information technology, industrial, and consumer discretionary stocks were among the top contributors to all three funds. The real estate and utilities sectors posted negative returns.
| |
| Total Returns: Six Months Ended February 28, 2018 | |
| | Total |
| | Returns |
| Vanguard S&P Mid-Cap 400 Index Fund | |
| ETF Shares | |
| Market Price | 8.49% |
| Net Asset Value | 8.48 |
| Institutional Shares | 8.52 |
| S&P MidCap 400 Index | 8.55 |
| Mid-Cap Core Funds Average | 7.90 |
| Mid-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
| |
| Vanguard S&P Mid-Cap 400 Value Index Fund | |
| ETF Shares | |
| Market Price | 5.83% |
| Net Asset Value | 5.76 |
| Institutional Shares | 5.83 |
| S&P MidCap 400 Value Index | 5.85 |
| Mid-Cap Value Funds Average | 6.49 |
| 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 | 11.03% |
| Net Asset Value | 11.02 |
| Institutional Shares | 11.08 |
| S&P MidCap 400 Growth Index | 11.11 |
| Mid-Cap Growth Funds Average | 11.34 |
| 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% | 1.15% |
| S&P Mid-Cap 400 Value Index Fund | 0.20 | 0.08 | 1.15 |
| S&P Mid-Cap 400 Growth Index Fund | 0.20 | 0.08 | 1.21 |
The fund expense ratios shown are from the prospectus dated December 22, 2017, and represent estimated costs for the current fiscal
year. For the six months ended February 28, 2018, the funds’ annualized expense ratios were: for the S&P Mid-Cap 400 Index Fund, 0.15%
for ETF Shares and 0.08% for Institutional Shares; for the S&P Mid-Cap 400 Value Index Fund, 0.20% for ETF Shares and 0.08% for
Institutional Shares; and for the S&P Mid-Cap 400 Growth Index Fund, 0.20% 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 2017.
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
CEO’s Perspective
Tim Buckley
President and Chief Executive Officer
Dear Shareholder,
As I begin my tenure as Vanguard’s fourth chief executive, I’ve been reflecting on both the past and the future of the company where I have spent my entire professional career.
I feel extremely fortunate to have the chance to lead a company filled with people who come to work every day passionate about Vanguard’s core purpose: to take a stand for all investors, to treat them fairly, and to give them the best chance for investment success.
Making a real difference
When I joined Vanguard in 1991, I found a mission-driven team focused on improving lives—helping people retire more comfortably, put their children through college, and achieve financial security. I found a company with purpose in an industry ripe for improvement.
It was clear, even early in my career, that the cards were stacked against most investors. Hidden fees, performance-chasing, and poor advice were relentlessly eroding investors’ dreams.
We knew Vanguard could be different and, as a result, could make a real difference. Over the past 25 years, for example, Vanguard has lowered our funds’ asset-weighted average expense ratio
3
from 0.31% to 0.12%. And over the past decade, 94% of our funds have beaten the average annual return of their peers.1
Focused on your success
Vanguard is built for Vanguard investors—as a client-owned company, we focus solely on you, our fund shareholders. Everything we do is designed to give our clients the best chance for investment success. In my role as CEO, I intend to keep this priority front and center. We’re proud of what we’ve achieved, but we’re even more excited about what’s to come.
As I write this, we’ve experienced a period of pronounced market volatility. Strong economic growth and budding signs of inflation have raised concerns about a more aggressive Federal Reserve. Although volatility can test investors’ nerves, we sometimes think of this as “Vanguard weather”—a time when having a disciplined, low-cost, and long-term approach to investment management serves investors well.
| | | |
| Market Barometer | | | |
| | Total Returns |
| | Periods Ended February 28, 2018 |
| | Six | One | Five Years |
| | Months | Year | (Annualized) |
| Stocks | | | |
| Russell 1000 Index (Large-caps) | 10.62% | 16.70% | 14.56% |
| Russell 2000 Index (Small-caps) | 8.30 | 10.51 | 12.19 |
| Russell 3000 Index (Broad U.S. market) | 10.45 | 16.22 | 14.37 |
| FTSE All-World ex US Index (International) | 7.84 | 21.50 | 6.69 |
| |
| Bonds | | | |
| Bloomberg Barclays U.S. Aggregate Bond Index | | | |
| (Broad taxable market) | -2.18% | 0.51% | 1.71% |
| Bloomberg Barclays Municipal Bond Index | | | |
| (Broad tax-exempt market) | -1.24 | 2.50 | 2.57 |
| Citigroup Three-Month U.S. Treasury Bill Index | 0.59 | 0.98 | 0.27 |
| |
| CPI | | | |
| Consumer Price Index | 1.41% | 2.21% | 1.41% |
The performance data shown represent past performance, which is not a guarantee of future results.
1 For the ten-year period through December 31, 2017, 9 of 9 Vanguard money market funds, 56 of 60 bond funds, 21 of 22 balanced funds,
and 131 of 140 stock funds, or 217 of 231 Vanguard funds, outperformed their peer-group averages. Sources: Vanguard, based on data
from Lipper, a Thomson Reuters Company.
4
Steady, time-tested guidance
Our guidance for investors, as always, is to stay the course, tune out the hyperbolic headlines, and focus on your goals and what you can control, such as costs and how much you save. This time-tested advice has served our clients well over the decades.
Regardless of how the markets perform in the short term, I’m incredibly optimistic about the future for our investors. We have a dedicated team serving you, and we will never stop striving to make Vanguard the best place for you to invest through our high-quality funds and services, advice
and guidance to help you meet your financial goals, and an experience that makes you feel good about entrusting us with your hard-earned savings.
Thank you for your continued loyalty.
Sincerely,
Mortimer J. Buckley
President and Chief Executive Officer
March 19, 2018
5
Results of Proxy Voting
At a special meeting of shareholders on November 15, 2017, fund shareholders approved the following proposals:
Proposal 1—Elect trustees for the fund.*
The individuals listed in the table below were elected as trustees for the fund. All trustees with the exception of Ms. Mulligan, Ms. Raskin, and Mr. Buckley (each of whom already serves as a director of The Vanguard Group, Inc.) served as trustees to the funds prior to the shareholder meeting.
| | | |
| | | | Percentage |
| Trustee | For | Withheld | For |
| Mortimer J. Buckley | 9,281,319,082 | 271,149,701 | 97.2% |
| Emerson U. Fullwood | 9,233,627,321 | 318,841,462 | 96.7% |
| Amy Gutmann | 9,180,258,885 | 372,209,899 | 96.1% |
| JoAnn Heffernan Heisen | 9,203,859,497 | 348,609,287 | 96.4% |
| F. Joseph Loughrey | 9,266,102,164 | 286,366,620 | 97.0% |
| Mark Loughridge | 9,194,614,438 | 357,854,345 | 96.3% |
| Scott C. Malpass | 9,160,256,693 | 392,212,090 | 95.9% |
| F. William McNabb III | 9,281,230,095 | 271,238,689 | 97.2% |
| Deanna Mulligan | 9,181,747,156 | 370,721,628 | 96.1% |
| André F. Perold | 9,107,402,388 | 445,066,396 | 95.3% |
| Sarah Bloom Raskin | 9,115,014,439 | 437,454,345 | 95.4% |
| Peter F. Volanakis | 9,200,130,944 | 352,337,840 | 96.3% |
| * Results are for all funds within the same trust. |
Proposal 2—Approve a manager-of-managers arrangement with third-party investment advisors.
This arrangement enables the fund to enter into and materially amend investment advisory arrangements with third-party investment advisors, subject to the approval of the fund’s board of trustees and certain conditions imposed by the Securities and Exchange Commission, while avoiding the costs and delays associated with obtaining future shareholder approval.
| | | | | |
| | | | | Broker | Percentage |
| Vanguard Fund | For | Abstain | Against | Non-Votes | For |
| S&P Mid-Cap 400 Growth Index Fund | 3,011,064 | 171,640 | 437,246 | 560,331 | 72.0% |
| S&P Mid-Cap 400 Index Fund | 4,572,925 | 317,195 | 360,679 | 1,237,185 | 70.5% |
| S&P Mid-Cap 400 Value Index Fund | 2,945,441 | 178,559 | 638,755 | 596,606 | 67.6% |
6
Proposal 3—Approve a manager-of-managers arrangement with wholly owned subsidiaries of Vanguard.
This arrangement enables Vanguard or the fund to enter into and materially amend investment advisory arrangements with wholly owned subsidiaries of Vanguard, subject to the approval of the fund’s board of trustees and any conditions imposed by the Securities and Exchange Commission (SEC), while avoiding the costs and delays associated with obtaining future shareholder approval. The ability of the fund to operate in this manner is contingent upon the SEC’s approval of a pending application for an order of exemption.
| | | | | |
| | | | | Broker | Percentage |
| Vanguard Fund | For | Abstain | Against | Non-Votes | For |
| S&P Mid-Cap 400 Growth Index Fund | 3,024,566 | 176,474 | 418,911 | 560,331 | 72.4% |
| S&P Mid-Cap 400 Index Fund | 4,588,697 | 316,306 | 345,795 | 1,237,185 | 70.7% |
| S&P Mid-Cap 400 Value Index Fund | 2,971,111 | 178,988 | 612,656 | 596,606 | 68.2% |
7
S&P Mid-Cap 400 Index Fund
Fund Profile
As of February 28, 2018
| | |
| Share-Class Characteristics | |
| | ETF | Institutional |
| | Shares | Shares |
| Ticker Symbol | IVOO | VSPMX |
| Expense Ratio1 | 0.15% | 0.08% |
| 30-Day SEC Yield | 1.42% | 1.49% |
| | | |
| Portfolio Characteristics | | |
| | | | DJ |
| | | S&P | U.S. Total |
| | | MidCap | Market |
| | Fund | 400 Index | FA Index |
| Number of Stocks | 400 | 400 | 3,746 |
| Median Market Cap | $5.2B | $5.2B | $68.2B |
| Price/Earnings Ratio | 20.3x | 20.2x | 21.7x |
| Price/Book Ratio | 2.3x | 2.3x | 3.0x |
| Return on Equity | 11.4% | 11.4% | 15.0% |
| Earnings Growth | | | |
| Rate | 9.3% | 9.4% | 8.5% |
| Dividend Yield | 1.5% | 1.5% | 1.7% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | | | |
| (Annualized) | 7% | — | — |
| Short-Term | | | |
| Reserves | -0.1% | — | — |
| | |
| Volatility Measures | | |
| | | DJ |
| | S&P | U.S. Total |
| | MidCap | Market |
| | 400 Index | FA Index |
| R-Squared | 1.00 | 0.84 |
| Beta | 1.00 | 1.00 |
| These measures show the degree and timing of the fund’s |
| fluctuations compared with the indexes over 36 months. |
| | |
| Ten Largest Holdings (% of total net assets) |
| SVB Financial Group | Regional Banks | 0.7% |
| Take-Two Interactive | Home Entertainment | |
| Software Inc. | Software | 0.7 |
| MSCI Inc. | Financial Exchanges | |
| | & Data | 0.7 |
| Broadridge Financial | Data Processing & | |
| Solutions Inc. | Outsourced Services | 0.7 |
| Bioverativ Inc. | Biotechnology | 0.6 |
| ABIOMED Inc. | Health Care | |
| | Equipment | 0.6 |
| Teleflex Inc. | Health Care | |
| | Equipment | 0.6 |
| Steel Dynamics Inc. | Steel | 0.6 |
| IDEX Corp. | Industrial Machinery | 0.6 |
| Reinsurance Group of | | |
| America Inc. | Reinsurance | 0.6 |
| Top Ten | | 6.4% |
| The holdings listed exclude any temporary cash investments and equity index products. |
Investment Focus
1 The expense ratios shown are from the prospectus dated December 22, 2017, and represent estimated costs for the current fiscal year.
For the six months ended February 28, 2018, the annualized expense ratios were 0.15% for ETF Shares and 0.08% for Institutional Shares.
8
S&P Mid-Cap 400 Index Fund
| | | |
| Sector Diversification (% of equity exposure) |
| | | | DJ |
| | | S&P | U.S. Total |
| | | MidCap | Market |
| | Fund | 400 Index | FA Index |
| Consumer Discretionary | 12.0% | 12.0% | 13.0% |
| Consumer Staples | 3.7 | 3.7 | 6.8 |
| Energy | 3.8 | 3.8 | 5.2 |
| Financials | 17.9 | 17.9 | 15.4 |
| Health Care | 8.1 | 8.1 | 13.4 |
| Industrials | 15.3 | 15.3 | 10.8 |
| Information Technology | 18.5 | 18.5 | 24.2 |
| Materials | 7.2 | 7.2 | 3.3 |
| Real Estate | 8.4 | 8.4 | 3.5 |
| Telecommunication | | | |
| Services | 0.2 | 0.2 | 1.7 |
| Utilities | 4.9 | 4.9 | 2.7 |
Sector categories are based on the Global Industry Classification
Standard (“GICS”), except for the “Other” category (if applicable),
which includes securities that have not been provided a GICS
classification as of the effective reporting period.
9
S&P Mid-Cap 400 Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): September 7, 2010, Through February 28, 2018
Note: For 2018, performance data reflect the six months ended February 28, 2018.
Average Annual Total Returns: Periods Ended December 31, 2017
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 | | 16.09% | 14.84% | 15.04% |
| Net Asset Value | | 16.10 | 14.86 | 15.03 |
| Institutional Shares | 3/28/20111 | 16.18 | 14.94 | 12.16 |
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.
10
S&P Mid-Cap 400 Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 28, 2018
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 (12.0%) | |
| * | NVR Inc. | 4,141 | 11,774 |
| | Domino’s Pizza Inc. | 52,054 | 11,577 |
| | Service Corp. | | |
| | InternationaL | 223,148 | 8,352 |
| | Polaris Industries Inc. | 69,231 | 7,892 |
| | Toll Brothers Inc. | 175,158 | 7,677 |
| | Gentex Corp. | 337,922 | 7,674 |
| | Thor Industries Inc. | 58,331 | 7,525 |
| * | Live Nation Entertainment | | |
| | Inc. | 159,474 | 7,144 |
| | Pool Corp. | 47,807 | 6,599 |
| | Carter’s Inc. | 56,316 | 6,571 |
| * | Skechers U. S. A. Inc. | | |
| | Class A | 159,387 | 6,522 |
| | Dunkin’ Brands Group Inc. | 107,497 | 6,438 |
| | Brunswick Corp. | 104,366 | 5,970 |
| | Six Flags Entertainment | | |
| | Corp. | 92,737 | 5,944 |
| | Cinemark Holdings Inc. | 126,133 | 5,368 |
| | Delphi Technologies plc | 105,871 | 5,055 |
| | Williams-Sonoma Inc. | 92,488 | 4,787 |
| | Dana Inc. | 172,442 | 4,582 |
| | Cracker Barrel Old | | |
| | Country Store Inc. | 28,557 | 4,458 |
| | Texas Roadhouse Inc. | | |
| | Class A | 77,853 | 4,302 |
| | American Eagle Outfitters | | |
| | Inc. | 200,267 | 3,859 |
| | ILG Inc. | 125,536 | 3,811 |
| | Cable One Inc. | 5,585 | 3,803 |
| | Bed Bath & Beyond Inc. | 170,456 | 3,655 |
| | New York Times Co. | | |
| | Class A | 149,887 | 3,612 |
| * | Deckers Outdoor Corp. | 38,052 | 3,599 |
| *,^ | AutoNation Inc. | 70,581 | 3,544 |
| | Churchill Downs Inc. | 13,489 | 3,483 |
| | | |
| | Boyd Gaming Corp. | 97,703 | 3,457 |
| | Wendy’s Co. | 216,272 | 3,450 |
| | Aaron’s Inc. | 74,144 | 3,426 |
| | John Wiley & Sons Inc. | | |
| | Class A | 53,065 | 3,409 |
| * | Urban Outfitters Inc. | 95,375 | 3,366 |
| * | Adtalem Global Education | | |
| | Inc. | 72,233 | 3,326 |
| | TEGNA Inc. | 256,000 | 3,292 |
| | Graham Holdings Co. | | |
| | Class B | 5,509 | 3,196 |
| | Jack in the Box Inc. | 35,030 | 3,155 |
| * | AMC Networks Inc. | | |
| | Class A | 59,985 | 3,153 |
| | Dick’s Sporting Goods Inc. | 98,460 | 3,153 |
| * | Michaels Cos. Inc. | 131,451 | 3,025 |
| | Tupperware Brands Corp. | 60,589 | 2,972 |
| * | Helen of Troy Ltd. | 32,466 | 2,924 |
| * | Murphy USA Inc. | 38,528 | 2,894 |
| | Big Lots Inc. | 50,541 | 2,840 |
| * | Scientific Games Corp. | 62,973 | 2,799 |
| | KB Home | 100,226 | 2,781 |
| * | TRI Pointe Group Inc. | 179,122 | 2,746 |
| *,^ | Tempur Sealy | | |
| | International Inc. | 54,836 | 2,711 |
| | Meredith Corp. | 47,100 | 2,699 |
| * | Sally Beauty Holdings Inc. | 152,924 | 2,575 |
| | Cheesecake Factory Inc. | 50,694 | 2,357 |
| * | Sotheby’s | 44,387 | 2,050 |
| ^ | Dillard’s Inc. Class A | 25,015 | 2,040 |
| | Cooper Tire & Rubber Co. | 61,056 | 1,914 |
| | Brinker International Inc. | 55,116 | 1,898 |
| | GameStop Corp. Class A | 120,613 | 1,892 |
| ^ | Papa John’s International | | |
| | Inc. | 30,456 | 1,759 |
| | Office Depot Inc. | 613,019 | 1,612 |
| | International Speedway | | |
| | Corp. Class A | 29,113 | 1,310 |
| | | | 249,758 |
11
S&P Mid-Cap 400 Index Fund
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| Consumer Staples (3.7%) | | |
| | Ingredion Inc. | 85,542 | 11,175 |
| | Lamb Weston Holdings | | |
| | Inc. | 173,985 | 9,411 |
| * | Post Holdings Inc. | 78,695 | 5,963 |
| | Casey’s General Stores | | |
| | Inc. | 45,502 | 5,110 |
| | Snyder’s-Lance Inc. | 102,075 | 5,091 |
| | Flowers Foods Inc. | 219,530 | 4,553 |
| * | Hain Celestial Group Inc. | 123,529 | 4,296 |
| | Nu Skin Enterprises Inc. | | |
| | Class A | 58,923 | 4,148 |
| | Energizer Holdings Inc. | 72,293 | 3,939 |
| * | Sprouts Farmers Market | | |
| | Inc. | 147,346 | 3,796 |
| * | Edgewell Personal Care | | |
| | Co. | 66,694 | 3,345 |
| | Sanderson Farms Inc. | 23,829 | 2,935 |
| | Lancaster Colony Corp. | 23,200 | 2,745 |
| * | TreeHouse Foods Inc. | 68,126 | 2,590 |
| * | United Natural Foods Inc. | 60,500 | 2,582 |
| * | Boston Beer Co. Inc. | | |
| | Class A | 10,315 | 1,682 |
| * | Avon Products Inc. | 524,696 | 1,380 |
| | Dean Foods Co. | 108,447 | 940 |
| ^ | Tootsie Roll Industries Inc. | 22,653 | 757 |
| | | | 76,438 |
| Energy (3.8%) | | |
| | HollyFrontier Corp. | 211,007 | 9,037 |
| * | WPX Energy Inc. | 473,491 | 6,690 |
| * | Energen Corp. | 115,665 | 6,328 |
| ^ | Core Laboratories NV | 52,488 | 5,404 |
| | Murphy Oil Corp. | 193,041 | 4,894 |
| | Patterson-UTI Energy Inc. | 264,709 | 4,783 |
| * | Transocean Ltd. | 497,812 | 4,535 |
| | CNX Resources Corp. | 246,584 | 3,963 |
| | PBF Energy Inc. Class A | 131,019 | 3,840 |
| * | Matador Resources Co. | 114,923 | 3,317 |
| * | Callon Petroleum Co. | 240,328 | 2,540 |
| * | QEP Resources Inc. | 286,886 | 2,473 |
| | Nabors Industries Ltd. | 378,151 | 2,447 |
| | Ensco plc Class A | 519,158 | 2,305 |
| | SM Energy Co. | 122,278 | 2,243 |
| * | Southwestern Energy Co. | 608,454 | 2,172 |
| | Oceaneering International | | |
| | Inc. | 117,004 | 2,151 |
| * | Dril-Quip Inc. | 45,077 | 2,031 |
| * | Gulfport Energy Corp. | 196,197 | 1,903 |
| | World Fuel Services Corp. | 80,512 | 1,840 |
| * | Rowan Cos. plc Class A | 135,281 | 1,645 |
| * | Superior Energy Services | | |
| | Inc. | 182,275 | 1,558 |
| | | |
| *,^ | Diamond Offshore | | |
| | Drilling Inc. | 76,793 | 1,113 |
| | | | 79,212 |
| Financials (17.9%) | | |
| * | SVB Financial Group | 62,782 | 15,631 |
| | MSCI Inc. Class A | 107,202 | 15,171 |
| | Reinsurance Group of | | |
| | America Inc. Class A | 76,668 | 11,791 |
| | SEI Investments Co. | 155,590 | 11,332 |
| | East West Bancorp Inc. | 172,063 | 11,279 |
| * | Alleghany Corp. | 18,377 | 11,139 |
| ^ | FactSet Research | | |
| | Systems Inc. | 46,553 | 9,459 |
| * | Signature Bank | 63,898 | 9,341 |
| | American Financial Group | | |
| | Inc. | 81,811 | 9,228 |
| | MarketAxess Holdings Inc. | 44,737 | 9,055 |
| | PacWest Bancorp | 153,475 | 8,002 |
| | New York Community | | |
| | Bancorp Inc. | 582,010 | 7,927 |
| | WR Berkley Corp. | 114,530 | 7,832 |
| | First American Financial | | |
| | Corp. | 131,797 | 7,648 |
| | Janus Henderson Group | | |
| | plc | 214,714 | 7,588 |
| | Eaton Vance Corp. | 140,556 | 7,440 |
| | First Horizon National | | |
| | Corp. | 386,333 | 7,360 |
| | Brown & Brown Inc. | 137,723 | 7,250 |
| | Bank of the Ozarks | 144,543 | 7,211 |
| | Cullen/Frost Bankers Inc. | 68,419 | 7,115 |
| | Synovus Financial Corp. | 142,339 | 7,017 |
| | Commerce Bancshares | | |
| | Inc. | 111,799 | 6,459 |
| | Sterling Bancorp | 267,453 | 6,218 |
| | Prosperity Bancshares Inc. | 82,713 | 6,204 |
| | RenaissanceRe Holdings | | |
| | Ltd. | 47,640 | 6,111 |
| | Webster Financial Corp. | 109,603 | 5,982 |
| | Interactive Brokers Group | | |
| | Inc. | 85,064 | 5,903 |
| | Old Republic International | | |
| | Corp. | 292,014 | 5,849 |
| | Pinnacle Financial | | |
| | Partners Inc. | 87,799 | 5,667 |
| | Wintrust Financial Corp. | 66,566 | 5,626 |
| * | SLM Corp. | 514,051 | 5,608 |
| | Umpqua Holdings Corp. | 262,101 | 5,585 |
| | Hanover Insurance Group | | |
| | Inc. | 50,447 | 5,444 |
| | FNB Corp. | 384,698 | 5,393 |
| * | Texas Capital Bancshares | | |
| | Inc. | 59,090 | 5,330 |
12
S&P Mid-Cap 400 Index Fund
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | Hancock Holding Co. | 101,408 | 5,243 |
| | Stifel Financial Corp. | 81,492 | 5,205 |
| | Primerica Inc. | 52,667 | 5,135 |
| | Associated Banc-Corp | 200,980 | 4,964 |
| | Chemical Financial Corp. | 84,732 | 4,676 |
| | TCF Financial Corp. | 204,698 | 4,565 |
| | CNO Financial Group Inc. | 199,751 | 4,502 |
| | United Bankshares Inc. | 124,999 | 4,437 |
| | Home BancShares Inc. | 188,213 | 4,327 |
| | Bank of Hawaii Corp. | 50,551 | 4,146 |
| | MB Financial Inc. | 99,805 | 4,093 |
| | Legg Mason Inc. | 100,506 | 4,011 |
| | Valley National Bancorp | 313,456 | 3,909 |
| | UMB Financial Corp. | 52,238 | 3,813 |
| | Fulton Financial Corp. | 208,444 | 3,773 |
| | Cathay General Bancorp | 90,427 | 3,713 |
| | Federated Investors Inc. | | |
| | Class B | 112,909 | 3,679 |
| | Washington Federal Inc. | 103,770 | 3,601 |
| | Kemper Corp. | 58,196 | 3,282 |
| | BancorpSouth Bank | 100,002 | 3,150 |
| | Aspen Insurance | | |
| | Holdings Ltd. | 70,732 | 2,575 |
| | Trustmark Corp. | 80,581 | 2,517 |
| | International Bancshares | | |
| | Corp. | 64,490 | 2,493 |
| | Mercury General Corp. | 43,477 | 1,984 |
| * | Genworth Financial Inc. | | |
| | Class A | 594,318 | 1,617 |
| | | | 372,605 |
| Health Care (8.0%) | | |
| * | Bioverativ Inc. | 128,742 | 13,477 |
| * | ABIOMED Inc. | 49,998 | 13,408 |
| | Teleflex Inc. | 53,621 | 13,396 |
| * | WellCare Health Plans Inc. | 52,994 | 10,276 |
| | STERIS plc | 101,230 | 9,242 |
| | West Pharmaceutical | | |
| | Services Inc. | 88,377 | 7,708 |
| * | Catalent Inc. | 158,128 | 6,602 |
| | Hill-Rom Holdings Inc. | 78,337 | 6,554 |
| * | Bio-Rad Laboratories Inc. | | |
| | Class A | 24,061 | 6,497 |
| | Bio-Techne Corp. | 44,586 | 6,302 |
| * | Encompass Health Corp. | 117,510 | 6,259 |
| * | MEDNAX Inc. | 111,466 | 6,128 |
| * | Charles River | | |
| | Laboratories | | |
| | International Inc. | 56,372 | 6,010 |
| * | United Therapeutics Corp. | 51,429 | 5,958 |
| * | Masimo Corp. | 56,578 | 4,952 |
| * | LivaNova plc | 51,625 | 4,633 |
| * | Medidata Solutions Inc. | 69,577 | 4,568 |
| * | Globus Medical Inc. | 86,306 | 4,112 |
| * | Molina Healthcare Inc. | 52,324 | 3,783 |
| | | |
| * | Acadia Healthcare Co. Inc. | 97,260 | 3,706 |
| * | Allscripts Healthcare | | |
| | Solutions Inc. | 215,123 | 2,984 |
| * | NuVasive Inc. | 60,686 | 2,935 |
| * | Syneos Health Inc. | 67,087 | 2,811 |
| * | Halyard Health Inc. | 55,715 | 2,751 |
| * | LifePoint Health Inc. | 46,932 | 2,163 |
| * | Prestige Brands Holdings | | |
| | Inc. | 63,149 | 2,134 |
| *,^ | Tenet Healthcare Corp. | 96,199 | 1,982 |
| * | Akorn Inc. | 111,679 | 1,892 |
| * | Mallinckrodt plc | 113,122 | 1,887 |
| * | Endo International plc | 239,285 | 1,509 |
| | Owens & Minor Inc. | 72,930 | 1,197 |
| | | | 167,816 |
| Industrials (15.3%) | | |
| | IDEX Corp. | 90,949 | 12,442 |
| | Old Dominion Freight | | |
| | Line Inc. | 81,388 | 11,306 |
| * | Copart Inc. | 239,378 | 11,205 |
| | ManpowerGroup Inc. | 78,883 | 9,344 |
| | Lennox International Inc. | 44,750 | 9,157 |
| | Orbital ATK Inc. | 68,665 | 9,068 |
| | Graco Inc. | 200,452 | 8,890 |
| | Hubbell Inc. Class B | 65,109 | 8,533 |
| | Wabtec Corp. | 101,698 | 8,272 |
| | Toro Co. | 128,282 | 8,155 |
| | Nordson Corp. | 60,428 | 8,102 |
| * | JetBlue Airways Corp. | 381,651 | 8,034 |
| * | Teledyne Technologies | | |
| | Inc. | 42,179 | 7,843 |
| | Carlisle Cos. Inc. | 73,786 | 7,593 |
| | Knight-Swift | | |
| | Transportation Holdings | | |
| | Inc. | 152,495 | 7,344 |
| | Donaldson Co. Inc. | 154,642 | 7,339 |
| | Curtiss-Wright Corp. | 52,525 | 7,090 |
| | Oshkosh Corp. | 89,478 | 7,063 |
| * | AECOM | 187,606 | 6,662 |
| | Lincoln Electric Holdings | | |
| | Inc. | 73,581 | 6,441 |
| | Watsco Inc. | 36,318 | 6,006 |
| | Trinity Industries Inc. | 180,662 | 5,897 |
| | Rollins Inc. | 114,159 | 5,739 |
| | Crane Co. | 60,047 | 5,543 |
| | Dun & Bradstreet Corp. | 43,983 | 5,500 |
| | Landstar System Inc. | 49,901 | 5,429 |
| | EMCOR Group Inc. | 70,001 | 5,342 |
| | ITT Inc. | 104,748 | 5,256 |
| | AGCO Corp. | 78,487 | 5,227 |
| * | Genesee & Wyoming Inc. | | |
| | Class A | 73,410 | 5,104 |
| * | Kirby Corp. | 63,950 | 4,796 |
| | Woodward Inc. | 65,597 | 4,646 |
13
S&P Mid-Cap 400 Index Fund
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | MSC Industrial Direct Co. | | |
| | Inc. Class A | 53,012 | 4,638 |
| | Ryder System Inc. | 63,019 | 4,561 |
| | Brink’s Co. | 60,082 | 4,416 |
| * | KLX Inc. | 61,205 | 4,142 |
| | Deluxe Corp. | 57,300 | 4,068 |
| * | Dycom Industries Inc. | 36,823 | 4,023 |
| | Kennametal Inc. | 96,472 | 3,975 |
| | Healthcare Services | | |
| | Group Inc. | 87,203 | 3,962 |
| | Valmont Industries Inc. | 26,917 | 3,960 |
| | Terex Corp. | 95,094 | 3,948 |
| * | Avis Budget Group Inc. | 85,314 | 3,854 |
| | Regal Beloit Corp. | 52,752 | 3,814 |
| | Timken Co. | 81,299 | 3,561 |
| | EnerSys | 50,160 | 3,496 |
| | MSA Safety Inc. | 40,306 | 3,250 |
| | GATX Corp. | 45,604 | 3,144 |
| * | Clean Harbors Inc. | 61,696 | 3,080 |
| | Pitney Bowes Inc. | 222,344 | 2,757 |
| | Granite Construction Inc. | 47,451 | 2,757 |
| | Herman Miller Inc. | 71,176 | 2,555 |
| | KBR Inc. | 166,792 | 2,525 |
| * | Esterline Technologies | | |
| | Corp. | 31,416 | 2,322 |
| | Werner Enterprises Inc. | 53,399 | 1,989 |
| | HNI Corp. | 51,714 | 1,912 |
| * | NOW Inc. | 128,206 | 1,217 |
| | | | 318,294 |
| Information Technology (18.4%) | |
| * | Take-Two Interactive | | |
| | Software Inc. | 135,757 | 15,187 |
| | Broadridge Financial | | |
| | Solutions Inc. | 138,741 | 13,927 |
| * | Trimble Inc. | 299,681 | 11,367 |
| | Cognex Corp. | 206,137 | 11,072 |
| * | IPG Photonics Corp. | 44,674 | 10,974 |
| | Jack Henry & Associates | | |
| | Inc. | 91,940 | 10,785 |
| | CDK Global Inc. | 156,344 | 10,738 |
| | Leidos Holdings Inc. | 169,267 | 10,716 |
| | Teradyne Inc. | 233,483 | 10,600 |
| * | Keysight Technologies | | |
| | Inc. | 220,640 | 10,372 |
| * | PTC Inc. | 137,606 | 10,150 |
| * | Microsemi Corp. | 139,967 | 9,084 |
| * | Fortinet Inc. | 178,001 | 8,984 |
| * | Zebra Technologies Corp. | 63,311 | 8,746 |
| * | Arrow Electronics Inc. | 104,712 | 8,542 |
| * | Tyler Technologies Inc. | 41,584 | 8,446 |
| * | Ultimate Software Group | | |
| | Inc. | 33,782 | 8,056 |
| | LogMeIn Inc. | 62,702 | 7,245 |
| | | |
| | MKS Instruments Inc. | 64,625 | 7,196 |
| * | WEX Inc. | 47,499 | 7,103 |
| | Cypress Semiconductor | | |
| | Corp. | 397,132 | 6,938 |
| | National Instruments | | |
| | Corp. | 127,606 | 6,452 |
| | Avnet Inc. | 143,931 | 6,146 |
| * | Coherent Inc. | 29,319 | 6,132 |
| | Littelfuse Inc. | 29,499 | 6,121 |
| * | First Solar Inc. | 96,960 | 6,094 |
| | Fair Isaac Corp. | 35,695 | 6,066 |
| | DST Systems Inc. | 71,677 | 5,961 |
| | Blackbaud Inc. | 57,235 | 5,868 |
| | Sabre Corp. | 248,258 | 5,702 |
| | Jabil Inc. | 210,229 | 5,695 |
| * | ARRIS International plc | 210,080 | 5,357 |
| | Monolithic Power | | |
| | Systems Inc. | 45,459 | 5,321 |
| * | Teradata Corp. | 144,018 | 5,303 |
| | MAXIMUS Inc. | 77,529 | 5,193 |
| * | Integrated Device | | |
| | Technology Inc. | 158,103 | 4,797 |
| | Versum Materials Inc. | 129,539 | 4,795 |
| * | NCR Corp. | 144,963 | 4,784 |
| * | Silicon Laboratories Inc. | 50,680 | 4,739 |
| *,^ | ViaSat Inc. | 64,457 | 4,498 |
| * | CoreLogic Inc. | 98,035 | 4,461 |
| * | Cree Inc. | 116,844 | 4,420 |
| | SYNNEX Corp. | 34,722 | 4,293 |
| * | Tech Data Corp. | 41,317 | 4,270 |
| | j2 Global Inc. | 57,610 | 4,264 |
| * | Ciena Corp. | 169,812 | 3,935 |
| | Science Applications | | |
| | International Corp. | 51,486 | 3,727 |
| | Belden Inc. | 50,196 | 3,651 |
| * | Manhattan Associates Inc. | 82,040 | 3,454 |
| * | Cirrus Logic Inc. | 75,801 | 3,359 |
| * | ACI Worldwide Inc. | 141,192 | 3,339 |
| | InterDigital Inc. | 41,325 | 2,967 |
| | Vishay Intertechnology | | |
| | Inc. | 157,018 | 2,889 |
| * | NetScout Systems Inc. | 103,749 | 2,754 |
| * | CommVault Systems Inc. | 51,140 | 2,662 |
| * | Acxiom Corp. | 94,318 | 2,581 |
| | Convergys Corp. | 110,023 | 2,554 |
| * | Cars.com Inc. | 85,211 | 2,334 |
| * | VeriFone Systems Inc. | 133,600 | 2,218 |
| | Plantronics Inc. | 39,377 | 2,128 |
| * | Synaptics Inc. | 40,522 | 1,883 |
| * | Knowles Corp. | 106,468 | 1,537 |
| | Diebold Nixdorf Inc. | 89,942 | 1,412 |
| *,^ | 3D Systems Corp. | 135,693 | 1,289 |
| | | | 383,633 |
14
S&P Mid-Cap 400 Index Fund
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| Materials (7.2%) | | |
| | Steel Dynamics Inc. | 282,042 | 13,044 |
| | Chemours Co. | 220,409 | 10,472 |
| | United States Steel Corp. | 207,895 | 9,045 |
| | RPM International Inc. | 158,944 | 7,911 |
| | Reliance Steel & | | |
| | Aluminum Co. | 86,783 | 7,825 |
| | AptarGroup Inc. | 74,153 | 6,631 |
| | Olin Corp. | 197,897 | 6,432 |
| | Royal Gold Inc. | 77,902 | 6,292 |
| | Eagle Materials Inc. | 57,875 | 5,801 |
| | Sonoco Products Co. | 118,311 | 5,675 |
| | Valvoline Inc. | 241,158 | 5,525 |
| | Ashland Global Holdings | | |
| | Inc. | 73,959 | 5,238 |
| | Louisiana-Pacific Corp. | 172,433 | 4,914 |
| | Bemis Co. Inc. | 108,074 | 4,765 |
| | NewMarket Corp. | 11,007 | 4,600 |
| | Cabot Corp. | 73,733 | 4,437 |
| | Scotts Miracle-Gro Co. | 48,665 | 4,372 |
| * | Owens-Illinois Inc. | 194,016 | 4,183 |
| | PolyOne Corp. | 96,173 | 3,973 |
| * | Allegheny Technologies | | |
| | Inc. | 149,806 | 3,881 |
| | Sensient Technologies | | |
| | Corp. | 51,764 | 3,724 |
| | Commercial Metals Co. | 137,928 | 3,352 |
| | Domtar Corp. | 74,639 | 3,341 |
| | Minerals Technologies Inc. | 42,112 | 2,893 |
| | Carpenter Technology | | |
| | Corp. | 55,745 | 2,840 |
| | Silgan Holdings Inc. | 88,053 | 2,505 |
| | Compass Minerals | | |
| | International Inc. | 40,275 | 2,429 |
| | Worthington Industries | | |
| | Inc. | 53,229 | 2,355 |
| | Greif Inc. Class A | 30,761 | 1,771 |
| | | | 150,226 |
| Real Estate (8.4%) | | |
| | Camden Property Trust | 110,292 | 8,791 |
| | Jones Lang LaSalle Inc. | 54,000 | 8,673 |
| | Kilroy Realty Corp. | 117,104 | 7,975 |
| | Liberty Property Trust | 175,460 | 6,889 |
| | Douglas Emmett Inc. | 189,671 | 6,781 |
| | National Retail Properties | | |
| | Inc. | 180,958 | 6,739 |
| | Lamar Advertising Co. | | |
| | Class A | 100,002 | 6,647 |
| | DCT Industrial Trust Inc. | 110,847 | 6,135 |
| ^ | Omega Healthcare | | |
| | Investors Inc. | 235,740 | 6,007 |
| | American Campus | | |
| | Communities Inc. | 162,345 | 5,922 |
| | CyrusOne Inc. | 108,651 | 5,422 |
| | | |
| | Medical Properties Trust | | |
| | Inc. | 433,388 | 5,313 |
| | Highwoods Properties Inc. | 122,873 | 5,285 |
| | Rayonier Inc. | 153,473 | 5,216 |
| | Hospitality Properties | | |
| | Trust | 195,614 | 4,976 |
| | EPR Properties | 76,262 | 4,395 |
| | Life Storage Inc. | 55,381 | 4,351 |
| | Senior Housing Properties | | |
| | Trust | 282,764 | 4,281 |
| | Taubman Centers Inc. | 72,265 | 4,225 |
| | Cousins Properties Inc. | 499,803 | 4,168 |
| | First Industrial Realty | | |
| | Trust Inc. | 142,695 | 4,000 |
| | Healthcare Realty Trust | | |
| | Inc. | 148,607 | 3,945 |
| | Weingarten Realty | | |
| | Investors | 142,197 | 3,858 |
| | CoreSite Realty Corp. | 40,710 | 3,821 |
| | PotlatchDeltic Corp. | 71,448 | 3,655 |
| | JBG SMITH Properties | 111,187 | 3,630 |
| | Sabra Health Care REIT | | |
| | Inc. | 212,110 | 3,580 |
| | LaSalle Hotel Properties | 134,810 | 3,307 |
| | GEO Group Inc. | 147,686 | 3,146 |
| ^ | Uniti Group Inc. | 196,369 | 3,014 |
| | Corporate Office | | |
| | Properties Trust | 118,592 | 2,960 |
| | CoreCivic Inc. | 140,751 | 2,926 |
| | Education Realty Trust Inc. | 90,189 | 2,808 |
| | Urban Edge Properties | 126,034 | 2,720 |
| ^ | Tanger Factory Outlet | | |
| | Centers Inc. | 112,556 | 2,512 |
| | Mack-Cali Realty Corp. | 106,975 | 1,807 |
| | Alexander & Baldwin Inc. | 80,340 | 1,767 |
| | Washington Prime Group | | |
| | Inc. | 221,204 | 1,449 |
| * | Quality Care Properties | | |
| | Inc. | 111,706 | 1,384 |
| | | | 174,480 |
| Telecommunication Services (0.1%) | |
| | Telephone & Data | | |
| | Systems Inc. | 109,239 | 3,063 |
| |
| Utilities (4.9%) | | |
| | Atmos Energy Corp. | 132,139 | 10,636 |
| | UGI Corp. | 206,313 | 8,890 |
| | Westar Energy Inc. | | |
| | Class A | 169,113 | 8,241 |
| | Great Plains Energy Inc. | 256,762 | 7,485 |
| | OGE Energy Corp. | 237,781 | 7,452 |
| | Aqua America Inc. | 211,603 | 7,235 |
| | MDU Resources Group | | |
| | Inc. | 232,527 | 6,113 |
15
S&P Mid-Cap 400 Index Fund
| | |
| | | Market |
| | | Value• |
| | Shares | ($000) |
| Vectren Corp. | 98,826 | 5,954 |
| WGL Holdings Inc. | 61,193 | 5,095 |
| National Fuel Gas Co. | 100,580 | 4,972 |
| IDACORP Inc. | 60,000 | 4,863 |
| Hawaiian Electric | | |
| Industries Inc. | 129,555 | 4,270 |
| ONE Gas Inc. | 62,413 | 3,969 |
| New Jersey Resources | | |
| Corp. | 103,604 | 3,947 |
| Southwest Gas Holdings | | |
| Inc. | 56,898 | 3,748 |
| PNM Resources Inc. | 94,853 | 3,339 |
| Black Hills Corp. | 63,704 | 3,236 |
| NorthWestern Corp. | 57,895 | 2,957 |
| | | 102,402 |
| Total Common Stocks | | |
| (Cost $1,824,065) | | 2,077,927 |
| Temporary Cash Investments (0.7%)1 | |
| Money Market Fund (0.7%) | | |
| 2,3 Vanguard Market Liquidity | | |
| Fund, 1.601% | 144,675 | 14,466 |
| |
| | Face | |
| | Amount | |
| | ($000) | |
| U. S. Government and Agency Obligations (0.0%) |
| United States Treasury | | |
| Bill, 1.432%, 4/26/18 | 100 | 100 |
| 4 United States Treasury | | |
| Bill, 1.509%, 6/21/18 | 600 | 597 |
| | | 697 |
| Total Temporary Cash Investments | |
| (Cost $15,164) | | 15,163 |
| Total Investments (100.4%) | | |
| (Cost $1,839,229) | | 2,093,090 |
| |
| | Amount |
| | ($000) |
| Other Assets and Liabilities (-0.4%) | |
| Other Assets | |
| Investment in Vanguard | 115 |
| Receivables for Accrued Income | 2,351 |
| Receivables for Capital Shares Issued | 243 |
| Other Assets | 33 |
| Total Other Assets | 2,742 |
| Liabilities | |
| Payables for Investment Securities | |
| Purchased | (4) |
| Collateral for Securities on Loan | (10,083) |
| Payables for Capital Shares Redeemed | (376) |
| Payables to Vanguard | (407) |
| Variation Margin Payable— | |
| Futures Contracts | (78) |
| Total Liabilities | (10,948) |
| Net Assets (100%) | 2,084,884 |
| |
| At February 28, 2018, net assets consisted of: |
| | Amount |
| | ($000) |
| Paid-in Capital | 1,851,373 |
| Undistributed Net Investment Income | 1,464 |
| Accumulated Net Realized Losses | (21,736) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 253,861 |
| Futures Contracts | (78) |
| Net Assets | 2,084,884 |
| |
| |
| ETF Shares—Net Assets | |
| Applicable to 6,675,000 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 838,442 |
| Net Asset Value Per Share— | |
| ETF Shares | $125.61 |
16
S&P Mid-Cap 400 Index Fund
| |
| | Amount |
| | ($000) |
| Institutional Shares—Net Assets | |
| Applicable to 4,975,265 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 1,246,442 |
| Net Asset Value Per Share— | |
| Institutional Shares | $250.53 |
• 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 $9,452,000.
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 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 $10,083,000 of collateral received for securities
on loan.
4 Securities with a value of $507,000 have been segregated
as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
| | | | |
| Derivative Financial Instruments Outstanding as of Period End | | |
| |
| Futures Contracts | | | | |
| | | | ($000) |
| | | | | Value and |
| | | Number of | | Unrealized |
| | | Long (Short) | Notional | Appreciation |
| | Expiration | Contracts | Amount | (Depreciation) |
| Long Futures Contracts | | | | |
| E-mini S&P Mid-Cap 400 Index | March 2018 | 34 | 6,339 | (78) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized
gain (loss) for tax purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
17
S&P Mid-Cap 400 Index Fund
Statement of Operations
| |
| | Six Months Ended |
| | February28,2018 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 14,182 |
| Interest1 | 62 |
| Securities Lending—Net | 153 |
| Total Income | 14,397 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 253 |
| Management and Administrative—ETF Shares | 421 |
| Management and Administrative—Institutional Shares | 287 |
| Marketing and Distribution—ETF Shares | 25 |
| Marketing and Distribution—Institutional Shares | 15 |
| Custodian Fees | 28 |
| Shareholders’ Reports and Proxy—ETF Shares | 46 |
| Shareholders’ Reports and Proxy—Institutional Shares | 19 |
| Trustees’ Fees and Expenses | 1 |
| Total Expenses | 1,095 |
| Net Investment Income | 13,302 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1 | 30,969 |
| Futures Contracts | 881 |
| Realized Net Gain (Loss) | 31,850 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities1 | 114,036 |
| Futures Contracts | (151) |
| Change in Unrealized Appreciation (Depreciation) | 113,885 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 159,037 |
| 1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund |
| were $54,000, ($4,000), and ($2,000), respectively. Purchases and sales are for temporary cash investment purposes. |
See accompanying Notes, which are an integral part of the Financial Statements.
18
S&P Mid-Cap 400 Index Fund
Statement of Changes in Net Assets
| | |
| | Six Months Ended | Year Ended |
| | February 28, | August 31, |
| | 2018 | 2017 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 13,302 | 23,046 |
| Realized Net Gain (Loss) | 31,850 | 91,321 |
| Change in Unrealized Appreciation (Depreciation) | 113,885 | 68,439 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 159,037 | 182,806 |
| Distributions | | |
| Net Investment Income | | |
| ETF Shares | (6,567) | (8,335) |
| Institutional Shares | (10,341) | (14,448) |
| Realized Capital Gain | | |
| ETF Shares | — | — |
| Institutional Shares | — | — |
| Total Distributions | (16,908) | (22,783) |
| Capital Share Transactions | | |
| ETF Shares | 56,135 | 181,495 |
| Institutional Shares | 41,310 | 170,668 |
| Net Increase (Decrease) from Capital Share Transactions | 97,445 | 352,163 |
| Total Increase (Decrease) | 239,574 | 512,186 |
| Net Assets | | |
| Beginning of Period | 1,845,310 | 1,333,124 |
| End of Period1 | 2,084,884 | 1,845,310 |
| 1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $1,464,000 and $5,070,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
19
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 | | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $116.74 | $105.51 | $95.87 | $97.19 | $79.72 | $65.20 |
| Investment Operations | | | | | | | |
| Net Investment Income | | .7861 | 1.5101 | 1.393 | 1.330 | 1.016 | 1.1331 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | | 9.103 | 11.294 | 10.091 | (1.425) | 17.285 | 14.112 |
| Total from Investment Operations | 9.889 | 12.804 | 11.484 | (.095) | 18.301 | 15.245 |
| Distributions | | | | | | | |
| Dividends from Net Investment Income | (1.019) | (1.574) | (1.844) | (1.225) | (.831) | (.725) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | | (1.019) | (1.574) | (1.844) | (1.225) | (.831) | (.725) |
| Net Asset Value, End of Period | | $125.61 | $116.74 | $105.51 | $95.87 | $97.19 | $79.72 |
| |
| Total Return | | 8.48% | 12.22% | 12.19% | -0.12% | 23.06% | 23.57% |
| |
| Ratios/Supplemental Data | | | | | | | |
| Net Assets, End of Period (Millions) | $838 | $727 | $485 | $379 | $345 | $191 |
| Ratio of Total Expenses to | | | | | | | |
| Average Net Assets | | 0.15% | 0.15% | 0.15% | 0.15% | 0.15% | 0.15% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | | 1.32% | 1.34% | 1.56% | 1.45% | 1.28% | 1.50% |
| Portfolio Turnover Rate2 | | 7% | 13% | 11% | 12% | 14% | 10% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on averages 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 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 | | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $232.82 | $210.40 | $191.51 | $194.13 | $159.20 | $130.17 |
| Investment Operations | | | | | | | |
| Net Investment Income | | 1.6581 | 3.1761 | 3.171 | 2.794 | 2.135 | 2.3551 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | | 18.159 | 22.516 | 19.869 | (2.844) | 34.537 | 28.174 |
| Total from Investment Operations | 19.817 | 25.692 | 23.040 | (. 050) | 36.672 | 30.529 |
| Distributions | | | | | | | |
| Dividends from Net Investment Income | (2.107) | (3.272) | (4.150) | (2.570) | (1.742) | (1.499) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | | (2.107) | (3.272) | (4.150) | (2.570) | (1.742) | (1.499) |
| Net Asset Value, End of Period | | $250.53 | $232.82 | $210.40 | $191.51 | $194.13 | $159.20 |
| |
| Total Return | | 8.52% | 12.31% | 12.26% | -0.04% | 23.16% | 23.65% |
| |
| Ratios/Supplemental Data | | | | | | | |
| Net Assets, End of Period (Millions) | $1,246 | $1,119 | $848 | $665 | $523 | $216 |
| 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 | | 1.39% | 1.41% | 1.63% | 1.52% | 1.35% | 1.57% |
| Portfolio Turnover Rate2 | | 7% | 13% | 11% | 12% | 14% | 10% |
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.
21
S&P Mid-Cap 400 Index Fund
Notes to Financial Statements
Vanguard S&P Mid-Cap 400 Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: 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, 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 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 notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the six months ended February 28, 2018, 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 the notional amounts at each quarter-end during the period.
22
S&P Mid-Cap 400 Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2014–2017), and for the period ended February 28, 2018, 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 event 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, 2018, 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.
23
S&P Mid-Cap 400 Index Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses), shareholder reporting, and the proxy. 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. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2018, the fund had contributed to Vanguard capital in the amount of $115,000, 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). Any investments valued with significant unobservable inputs are
noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as of February 28, 2018, based on the inputs used to value them:
| | | |
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 2,077,927 | — | — |
| Temporary Cash Investments | 14,466 | 697 | — |
| Futures Contracts—Liabilities1 | (78) | — | — |
| Total | 2,092,315 | 697 | — |
| 1 Represents variation margin on the last day of the reporting period. |
24
S&P Mid-Cap 400 Index Fund
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended February 28, 2018, the fund realized $28,332,000 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, 2017, the fund had available capital losses totaling $25,181,000 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, 2018; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 28, 2018, the cost of investment securities for tax purposes was $1,839,229,000.
Net unrealized appreciation of investment securities for tax purposes was $253,861,000, consisting of unrealized gains of $385,295,000 on securities that had risen in value since their purchase and $131,434,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 28, 2018, the fund purchased $254,539,000 of investment securities and sold $156,834,000 of investment securities, other than temporary cash investments. Purchases and sales include $92,515,000, and $85,316,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
F. Capital share transactions for each class of shares were:
| | | | |
| | Six Months Ended | Year Ended |
| | February 28, 2018 | August 31, 2017 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| ETF Shares | | | | |
| Issued | 145,886 | 1,175 | 530,214 | 4,625 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (89,751) | (725) | (348,719) | (3,000) |
| Net Increase (Decrease)—ETF Shares | 56,135 | 450 | 181,495 | 1,625 |
| Institutional Shares | | | | |
| Issued | 127,788 | 514 | 301,445 | 1,345 |
| Issued in Lieu of Cash Distributions | 10,088 | 41 | 14,259 | 64 |
| Redeemed | (96,566) | (384) | (145,036) | (634) |
| Net Increase (Decrease)—Institutional Shares | 41,310 | 171 | 170,668 | 775 |
G. Management has determined that no material events or transactions occurred subsequent to February 28, 2018, that would require recognition or disclosure in these financial statements.
25
S&P Mid-Cap 400 Value Index Fund
Fund Profile
As of February 28, 2018
| | |
| Share-Class Characteristics | |
| | ETF | Institutional |
| | Shares | Shares |
| Ticker Symbol | IVOV | VMFVX |
| Expense Ratio1 | 0.20% | 0.08% |
| 30-Day SEC Yield | 1.82% | 1.94% |
| | | |
| Portfolio Characteristics | | |
| | | S&P | DJ |
| | | MidCap | U.S. Total |
| | | 400 Value | Market |
| | Fund | Index | FA Index |
| Number of Stocks | 298 | 296 | 3,746 |
| Median Market Cap | $4.5B | $4.5B | $68.2B |
| Price/Earnings Ratio | 15.7x | 15.7x | 21.7x |
| Price/Book Ratio | 1.6x | 1.6x | 3.0x |
| Return on Equity | 9.5% | 9.5% | 15.0% |
| Earnings Growth | | | |
| Rate | 7.1% | 7.2% | 8.5% |
| Dividend Yield | 2.0% | 2.0% | 1.7% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | | | |
| (Annualized) | 34% | — | — |
| Short-Term | | | |
| Reserves | -0.1% | — | — |
| | |
| Volatility Measures | | |
| | S&P | DJ |
| | MidCap | U.S. Total |
| | 400 Value | Market |
| | Index | FA Index |
| R-Squared | 1.00 | 0.73 |
| Beta | 1.00 | 1.02 |
| These measures show the degree and timing of the fund’s |
| fluctuations compared with the indexes over 36 months. |
| | |
| Ten Largest Holdings (% of total net assets) |
| Steel Dynamics Inc. | Steel | 1.3% |
| Reinsurance Group of | | |
| America Inc. | Reinsurance | 1.2 |
| Alleghany Corp. | Reinsurance | 1.1 |
| Leidos Holdings Inc. | IT Consulting & | |
| | Other Services | 1.1 |
| Atmos Energy Corp. | Gas Utilities | 1.1 |
| ManpowerGroup Inc. | Human Resource & | |
| | Employment | |
| | Services | 0.9 |
| American Financial | | |
| Group Inc. | Multi-line Insurance | 0.9 |
| United States Steel | | |
| Corp. | Steel | 0.9 |
| HollyFrontier Corp. | Oil & Gas Refining & | |
| | Marketing | 0.9 |
| UGI Corp. | Gas Utilities | 0.9 |
| Top Ten | | 10.3% |
| The holdings listed exclude any temporary cash investments and |
| equity index products. |
Investment Focus
1 The expense ratios shown are from the prospectus dated December 22, 2017, and represent estimated costs for the current fiscal year.
For the six months ended February 28, 2018, the annualized expense ratios were 0.20% for ETF Shares and 0.08% for Institutional Shares.
26
S&P Mid-Cap 400 Value Index Fund
| | | |
| Sector Diversification (% of equity exposure) |
| | | S&P | DJ |
| | | MidCap | U.S. Total |
| | | 400 Value | Market |
| | Fund | Index | FA Index |
| Consumer Discretionary | 9.6% | 9.6% | 13.0% |
| Consumer Staples | 4.7 | 4.7 | 6.8 |
| Energy | 7.6 | 7.7 | 5.2 |
| Financials | 19.2 | 19.2 | 15.4 |
| Health Care | 4.2 | 4.1 | 13.4 |
| Industrials | 14.6 | 14.6 | 10.8 |
| Information Technology | 11.3 | 11.3 | 24.2 |
| Materials | 10.1 | 10.1 | 3.3 |
| Real Estate | 9.9 | 9.9 | 3.5 |
| Telecommunication | | | |
| Services | 0.3 | 0.3 | 1.7 |
| Utilities | 8.5 | 8.5 | 2.7 |
Sector categories are based on the Global Industry Classification
Standard (“GICS”), except for the “Other” category (if applicable),
which includes securities that have not been provided a GICS
classification as of the effective reporting period.
27
S&P Mid-Cap 400 Value Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): September 7, 2010, Through February 28, 2018
Note: For 2018, performance data reflect the six months ended February 28, 2018.
Average Annual Total Returns: Periods Ended December 31, 2017
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 | | 12.13% | 14.60% | 14.57% |
| Net Asset Value | | 12.13 | 14.61 | 14.57 |
| Institutional Shares | 11/2/2010 | 12.27 | 14.75 | 13.53 |
See Financial Highlights for dividend and capital gains information.
S&P Mid-Cap 400 Value Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 28, 2018
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 (9.6%) | |
| | Cinemark Holdings Inc. | 103,644 | 4,411 |
| | Williams-Sonoma Inc. | 76,003 | 3,934 |
| | Bed Bath & Beyond Inc. | 140,081 | 3,003 |
| ^,* | AutoNation Inc. | 58,000 | 2,912 |
| | Aaron’s Inc. | 60,896 | 2,814 |
| * | Urban Outfitters Inc. | 78,333 | 2,764 |
| * | Adtalem Global Education | | |
| | Inc. | 59,326 | 2,732 |
| | TEGNA Inc. | 210,374 | 2,705 |
| | Brunswick Corp. | 47,163 | 2,698 |
| | Graham Holdings Co. | | |
| | Class B | 4,525 | 2,625 |
| | Dick’s Sporting Goods | | |
| | Inc. | 80,870 | 2,589 |
| * | Michaels Cos. Inc. | 107,964 | 2,484 |
| | Gentex Corp. | 105,503 | 2,396 |
| * | Murphy USA Inc. | 31,646 | 2,377 |
| | Big Lots Inc. | 41,514 | 2,333 |
| | Cracker Barrel Old | | |
| | Country Store Inc. | 14,079 | 2,198 |
| * | Sally Beauty Holdings Inc. | 125,599 | 2,115 |
| | Cheesecake Factory Inc. | 41,639 | 1,936 |
| | John Wiley & Sons Inc. | | |
| | Class A | 27,020 | 1,736 |
| ^ | Dillard’s Inc. Class A | 20,546 | 1,676 |
| | Carter’s Inc. | 14,344 | 1,674 |
| | Cooper Tire & Rubber Co. | 50,142 | 1,572 |
| | Brinker International Inc. | 45,268 | 1,559 |
| | GameStop Corp. Class A | 99,071 | 1,554 |
| * | Deckers Outdoor Corp. | 15,624 | 1,478 |
| | Tupperware Brands Corp. | 28,366 | 1,391 |
| | Wendy’s Co. | 87,033 | 1,388 |
| | Dana Inc. | 51,006 | 1,355 |
| | Office Depot Inc. | 503,514 | 1,324 |
| | | |
| | American Eagle | | |
| | Outfitters Inc. | 67,442 | 1,300 |
| ^,* | Tempur Sealy | | |
| | International Inc. | 26,121 | 1,291 |
| * | Helen of Troy Ltd. | 14,132 | 1,273 |
| | Texas Roadhouse Inc. | | |
| | Class A | 21,748 | 1,202 |
| | Cable One Inc. | 1,743 | 1,187 |
| | International Speedway | | |
| | Corp. Class A | 23,913 | 1,076 |
| | Meredith Corp. | 17,409 | 998 |
| * | AMC Networks Inc. | | |
| | Class A | 18,228 | 958 |
| | Jack in the Box Inc. | 10,070 | 907 |
| | ILG Inc. | 28,865 | 876 |
| ^ | Papa John’s International | | |
| | Inc. | 15,010 | 867 |
| | | | 77,668 |
| Consumer Staples (4.7%) | | |
| | Ingredion Inc. | 37,950 | 4,958 |
| * | Post Holdings Inc. | 64,660 | 4,900 |
| | Casey’s General Stores | | |
| | Inc. | 37,391 | 4,199 |
| | Snyder’s-Lance Inc. | 83,864 | 4,183 |
| * | Edgewell Personal Care | | |
| | Co. | 54,781 | 2,747 |
| * | TreeHouse Foods Inc. | 55,952 | 2,127 |
| * | United Natural Foods Inc. | 49,691 | 2,120 |
| * | Hain Celestial Group Inc. | 60,897 | 2,118 |
| | Flowers Foods Inc. | 99,206 | 2,058 |
| | Nu Skin Enterprises Inc. | | |
| | Class A | 26,618 | 1,874 |
| | Energizer Holdings Inc. | 33,263 | 1,812 |
| * | Avon Products Inc. | 430,290 | 1,132 |
| | Lancaster Colony Corp. | 9,148 | 1,083 |
| | Dean Foods Co. | 89,077 | 772 |
| | Sanderson Farms Inc. | 6,262 | 771 |
29
S&P Mid-Cap 400 Value Index Fund
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| * | Boston Beer Co. Inc. | | |
| | Class A | 4,490 | 732 |
| ^ | Tootsie Roll Industries | | |
| | Inc. | 10,050 | 336 |
| | | | 37,922 |
| Energy (7.6%) | | |
| | HollyFrontier Corp. | 173,361 | 7,425 |
| * | WPX Energy Inc. | 389,067 | 5,497 |
| * | Energen Corp. | 95,047 | 5,200 |
| | Murphy Oil Corp. | 158,640 | 4,022 |
| | Patterson-UTI Energy Inc. | 217,528 | 3,931 |
| * | Transocean Ltd. | 409,078 | 3,727 |
| | CNX Resources Corp. | 202,524 | 3,255 |
| | PBF Energy Inc. Class A | 107,607 | 3,154 |
| | Core Laboratories NV | 25,015 | 2,576 |
| * | Callon Petroleum Co. | 197,380 | 2,086 |
| * | QEP Resources Inc. | 235,629 | 2,031 |
| | Nabors Industries Ltd. | 310,577 | 2,009 |
| | Ensco plc Class A | 426,399 | 1,893 |
| | SM Energy Co. | 100,428 | 1,842 |
| * | Southwestern Energy Co. | 499,796 | 1,784 |
| | Oceaneering International | | |
| | Inc. | 96,092 | 1,766 |
| * | Dril-Quip Inc. | 37,022 | 1,668 |
| * | Gulfport Energy Corp. | 161,140 | 1,563 |
| * | Matador Resources Co. | 53,802 | 1,553 |
| | World Fuel Services Corp. | 66,127 | 1,511 |
| * | Rowan Cos. plc Class A | 111,108 | 1,351 |
| * | Superior Energy Services | | |
| | Inc. | 149,705 | 1,280 |
| ^,* | Diamond Offshore Drilling | | |
| | Inc. | 63,067 | 914 |
| | | | 62,038 |
| Financials (19.4%) | | |
| | Reinsurance Group of | | |
| | America Inc. Class A | 62,981 | 9,686 |
| * | Alleghany Corp. | 15,098 | 9,152 |
| | American Financial Group | | |
| | Inc. | 67,208 | 7,581 |
| | PacWest Bancorp | 126,090 | 6,574 |
| | New York Community | | |
| | Bancorp Inc. | 478,248 | 6,514 |
| | WR Berkley Corp. | 94,088 | 6,434 |
| | First Horizon National | | |
| | Corp. | 317,413 | 6,047 |
| | Prosperity Bancshares Inc. | 67,958 | 5,097 |
| * | Signature Bank | 33,598 | 4,912 |
| | Old Republic International | | |
| | Corp. | 239,921 | 4,806 |
| | Umpqua Holdings Corp. | 215,343 | 4,589 |
| | Hanover Insurance Group | | |
| | Inc. | 41,445 | 4,472 |
| | FNB Corp. | 316,090 | 4,432 |
| | Stifel Financial Corp. | 66,957 | 4,276 |
| | | |
| | Associated Banc-Corp | 165,144 | 4,079 |
| | Chemical Financial Corp. | 69,598 | 3,841 |
| | TCF Financial Corp. | 168,136 | 3,749 |
| | United Bankshares Inc. | 102,682 | 3,645 |
| | Legg Mason Inc. | 82,674 | 3,299 |
| | Valley National Bancorp | 257,536 | 3,211 |
| | UMB Financial Corp. | 42,912 | 3,133 |
| | Fulton Financial Corp. | 171,245 | 3,099 |
| | Cullen/Frost Bankers Inc. | 26,981 | 2,806 |
| | First American Financial | | |
| | Corp. | 47,638 | 2,764 |
| | Commerce Bancshares | | |
| | Inc. | 44,076 | 2,546 |
| | Hancock Holding Co. | 46,649 | 2,412 |
| | RenaissanceRe Holdings | | |
| | Ltd. | 18,788 | 2,410 |
| | Brown & Brown Inc. | 40,724 | 2,144 |
| | Aspen Insurance Holdings | | |
| | Ltd. | 58,095 | 2,115 |
| | Wintrust Financial Corp. | 24,611 | 2,080 |
| | Trustmark Corp. | 66,248 | 2,070 |
| | Webster Financial Corp. | 37,824 | 2,064 |
| | International Bancshares | | |
| | Corp. | 52,997 | 2,048 |
| | Weingarten Realty | | |
| | Investors | 71,245 | 1,933 |
| | Pinnacle Financial | | |
| | Partners Inc. | 29,575 | 1,909 |
| | Home BancShares Inc. | 80,387 | 1,848 |
| | Bank of Hawaii Corp. | 21,598 | 1,771 |
| | Washington Federal Inc. | 50,305 | 1,746 |
| | Sterling Bancorp | 74,712 | 1,737 |
| | MB Financial Inc. | 40,175 | 1,648 |
| | Mercury General Corp. | 35,717 | 1,630 |
| * | SLM Corp. | 135,161 | 1,475 |
| | BancorpSouth Bank | 44,385 | 1,398 |
| * | Genworth Financial Inc. | | |
| | Class A | 488,142 | 1,328 |
| | Cathay General Bancorp | 27,493 | 1,129 |
| | Janus Henderson Group | | |
| | plc | 4 | — |
| | | | 157,639 |
| Health Care (4.1%) | | |
| * | MEDNAX Inc. | 91,587 | 5,035 |
| * | WellCare Health Plans Inc. | 16,544 | 3,208 |
| * | Acadia Healthcare Co. Inc. | 79,879 | 3,043 |
| | STERIS plc | 32,430 | 2,961 |
| | West Pharmaceutical | | |
| | Services Inc. | 27,589 | 2,406 |
| * | Syneos Health Inc. | 55,099 | 2,309 |
| * | Halyard Health Inc. | 45,756 | 2,259 |
| * | LifePoint Health Inc. | 38,546 | 1,777 |
| * | Molina Healthcare Inc. | 21,925 | 1,585 |
| * | Mallinckrodt plc | 92,910 | 1,550 |
30
S&P Mid-Cap 400 Value Index Fund
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| * | United Therapeutics Corp. | 13,099 | 1,518 |
| * | Endo International plc | 196,526 | 1,239 |
| * | Allscripts Healthcare | | |
| | Solutions Inc. | 84,807 | 1,176 |
| | Owens & Minor Inc. | 59,905 | 983 |
| * | NuVasive Inc. | 19,936 | 964 |
| ^,* | Tenet Healthcare Corp. | 46,590 | 960 |
| * | Prestige Brands Holdings | | |
| | Inc. | 17,116 | 579 |
| | | | 33,552 |
| Industrials (14.5%) | | |
| | ManpowerGroup Inc. | 64,805 | 7,677 |
| * | JetBlue Airways Corp. | 313,558 | 6,600 |
| * | AECOM | 154,149 | 5,474 |
| | Trinity Industries Inc. | 148,433 | 4,845 |
| | EMCOR Group Inc. | 57,516 | 4,389 |
| | AGCO Corp. | 64,487 | 4,295 |
| * | Genesee & Wyoming Inc. | | |
| | Class A | 60,311 | 4,193 |
| | Wabtec Corp. | 49,296 | 4,010 |
| * | Kirby Corp. | 52,541 | 3,941 |
| | Ryder System Inc. | 51,779 | 3,747 |
| | Carlisle Cos. Inc. | 31,523 | 3,244 |
| | Hubbell Inc. Class B | 24,607 | 3,225 |
| * | Avis Budget Group Inc. | 70,069 | 3,166 |
| | Regal Beloit Corp. | 43,327 | 3,132 |
| | Oshkosh Corp. | 38,225 | 3,017 |
| | Knight-Swift | | |
| | Transportation Holdings | | |
| | Inc. | 62,638 | 3,017 |
| | EnerSys | 41,197 | 2,871 |
| | GATX Corp. | 37,458 | 2,582 |
| | Watsco Inc. | 15,517 | 2,566 |
| | Crane Co. | 27,627 | 2,550 |
| * | Clean Harbors Inc. | 50,670 | 2,530 |
| | Curtiss-Wright Corp. | 18,555 | 2,505 |
| | Lincoln Electric Holdings | | |
| | Inc. | 27,809 | 2,434 |
| | Donaldson Co. Inc. | 49,548 | 2,351 |
| | Pitney Bowes Inc. | 182,617 | 2,264 |
| | Dun & Bradstreet Corp. | 17,346 | 2,169 |
| | MSC Industrial Direct Co. | | |
| | Inc. Class A | 23,958 | 2,096 |
| | KBR Inc. | 136,991 | 2,074 |
| | ITT Inc. | 40,450 | 2,030 |
| | Valmont Industries Inc. | 13,044 | 1,919 |
| * | Esterline Technologies | | |
| | Corp. | 25,801 | 1,907 |
| | Kennametal Inc. | 45,976 | 1,894 |
| | Terex Corp. | 45,319 | 1,882 |
| | Woodward Inc. | 25,330 | 1,794 |
| | Deluxe Corp. | 24,002 | 1,704 |
| | HNI Corp. | 42,473 | 1,571 |
| | Timken Co. | 32,066 | 1,404 |
| | | |
| | Landstar System Inc. | 12,709 | 1,383 |
| | Granite Construction Inc. | 17,928 | 1,042 |
| * | NOW Inc. | 105,308 | 999 |
| | MSA Safety Inc. | 11,257 | 908 |
| | Werner Enterprises Inc. | 20,613 | 768 |
| | | | 118,169 |
| Information Technology (11.2%) | |
| | Leidos Holdings Inc. | 139,060 | 8,804 |
| * | Arrow Electronics Inc. | 86,028 | 7,018 |
| | Avnet Inc. | 118,260 | 5,050 |
| * | ARRIS International plc | 172,611 | 4,402 |
| * | Take-Two Interactive | | |
| | Software Inc. | 39,034 | 4,367 |
| * | Keysight Technologies Inc. | 92,446 | 4,346 |
| * | NCR Corp. | 119,113 | 3,931 |
| | SYNNEX Corp. | 28,531 | 3,528 |
| * | Tech Data Corp. | 33,950 | 3,508 |
| * | PTC Inc. | 46,348 | 3,419 |
| * | Ciena Corp. | 139,531 | 3,233 |
| | Science Applications | | |
| | International Corp. | 42,288 | 3,061 |
| | DST Systems Inc. | 33,565 | 2,792 |
| | Sabre Corp. | 116,266 | 2,671 |
| * | First Solar Inc. | 40,625 | 2,553 |
| * | ViaSat Inc. | 33,365 | 2,328 |
| * | NetScout Systems Inc. | 85,209 | 2,262 |
| | Cypress Semiconductor | | |
| | Corp. | 123,988 | 2,166 |
| | Convergys Corp. | 90,366 | 2,097 |
| * | Cree Inc. | 51,822 | 1,960 |
| * | VeriFone Systems Inc. | 109,717 | 1,821 |
| | Belden Inc. | 23,098 | 1,680 |
| * | Teradata Corp. | 43,779 | 1,612 |
| * | Synaptics Inc. | 33,279 | 1,546 |
| * | ACI Worldwide Inc. | 56,821 | 1,344 |
| * | Knowles Corp. | 87,445 | 1,263 |
| | Vishay Intertechnology Inc. | 65,771 | 1,210 |
| * | Acxiom Corp. | 43,380 | 1,187 |
| | Diebold Nixdorf Inc. | 73,870 | 1,160 |
| * | Manhattan Associates Inc. | 26,288 | 1,107 |
| * | CommVault Systems Inc. | 20,576 | 1,071 |
| ^,* | 3D Systems Corp. | 111,348 | 1,058 |
| * | Cars.com Inc. | 32,192 | 882 |
| | Plantronics Inc. | 14,870 | 803 |
| | | | 91,240 |
| Materials (10.1%) | | |
| | Steel Dynamics Inc. | 231,715 | 10,717 |
| | United States Steel Corp. | 170,802 | 7,432 |
| | Reliance Steel & | | |
| | Aluminum Co. | 71,305 | 6,430 |
| | Sonoco Products Co. | 97,196 | 4,662 |
| | Ashland Global Holdings | | |
| | Inc. | 60,767 | 4,303 |
| | Bemis Co. Inc. | 88,796 | 3,915 |
31
S&P Mid-Cap 400 Value Index Fund
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | RPM International Inc. | 74,435 | 3,705 |
| | Cabot Corp. | 60,581 | 3,646 |
| * | Owens-Illinois Inc. | 159,398 | 3,437 |
| * | Allegheny Technologies | | |
| | Inc. | 123,086 | 3,189 |
| | AptarGroup Inc. | 31,066 | 2,778 |
| | Commercial Metals Co. | 113,283 | 2,753 |
| | Domtar Corp. | 61,308 | 2,744 |
| | Minerals Technologies Inc. | 34,590 | 2,376 |
| | Carpenter Technology | | |
| | Corp. | 45,785 | 2,332 |
| | Olin Corp. | 68,290 | 2,219 |
| | NewMarket Corp. | 5,063 | 2,116 |
| | Compass Minerals | | |
| | International Inc. | 33,079 | 1,995 |
| | Worthington Industries Inc. | 43,720 | 1,934 |
| | Valvoline Inc. | 79,251 | 1,816 |
| | Scotts Miracle-Gro Co. | 18,792 | 1,688 |
| | Sensient Technologies | | |
| | Corp. | 23,382 | 1,682 |
| | Greif Inc. Class A | 25,266 | 1,455 |
| | Silgan Holdings Inc. | 41,946 | 1,193 |
| | PolyOne Corp. | 28,447 | 1,175 |
| | | | 81,692 |
| Real Estate (9.7%) | | |
| ^ | Omega Healthcare | | |
| | Investors Inc. | 193,695 | 4,935 |
| | American Campus | | |
| | Communities Inc. | 133,408 | 4,867 |
| | Hospitality Properties | | |
| | Trust | 160,728 | 4,089 |
| | EPR Properties | 62,673 | 3,612 |
| | Senior Housing Properties | | |
| | Trust | 232,379 | 3,518 |
| | Camden Property Trust | 42,586 | 3,395 |
| | National Retail Properties | | |
| | Inc. | 87,722 | 3,267 |
| | JBG SMITH Properties | 91,312 | 2,981 |
| | Sabra Health Care REIT Inc. | 174,302 | 2,942 |
| | Liberty Property Trust | 73,516 | 2,886 |
| | LaSalle Hotel Properties | 110,722 | 2,716 |
| | Jones Lang LaSalle Inc. | 16,416 | 2,637 |
| | Kilroy Realty Corp. | 38,486 | 2,621 |
| | CyrusOne Inc. | 50,884 | 2,539 |
| | CoreCivic Inc. | 115,604 | 2,403 |
| | Highwoods Properties Inc. | 55,525 | 2,388 |
| | Education Realty Trust Inc. | 74,075 | 2,307 |
| | Douglas Emmett Inc. | 57,653 | 2,061 |
| | Medical Properties Trust | | |
| | Inc. | 160,240 | 1,965 |
| | Taubman Centers Inc. | 33,251 | 1,944 |
| | Life Storage Inc. | 21,842 | 1,716 |
| | Rayonier Inc. | 49,173 | 1,671 |
| | |
| Cousins Properties Inc. | 193,014 | 1,610 |
| Healthcare Realty Trust | | |
| Inc. | 59,831 | 1,588 |
| Mack-Cali Realty Corp. | 87,867 | 1,484 |
| Alexander & Baldwin Inc. | 65,985 | 1,451 |
| Corporate Office | | |
| Properties Trust | 55,513 | 1,386 |
| Uniti Group Inc. | 85,484 | 1,312 |
| Tanger Factory Outlet | | |
| Centers Inc. | 53,617 | 1,197 |
| Washington Prime Group | | |
| Inc. | 181,697 | 1,190 |
| GEO Group Inc. | 55,803 | 1,189 |
| PotlatchDeltic Corp. | 20,557 | 1,051 |
| Urban Edge Properties | 46,590 | 1,005 |
| * Quality Care Properties | | |
| Inc. | 62,395 | 773 |
| | | 78,696 |
| Telecommunication Services (0.3%) | |
| Telephone & Data | | |
| Systems Inc. | 89,719 | 2,516 |
| Frontier Communications | | |
| Corp. | 2 | — |
| | | 2,516 |
| Utilities (8.5%) | | |
| Atmos Energy Corp. | 108,471 | 8,731 |
| UGI Corp. | 169,426 | 7,301 |
| Westar Energy Inc. | | |
| Class A | 138,918 | 6,770 |
| Great Plains Energy Inc. | 210,912 | 6,148 |
| OGE Energy Corp. | 195,328 | 6,122 |
| MDU Resources Group | | |
| Inc. | 191,016 | 5,022 |
| National Fuel Gas Co. | 83,169 | 4,111 |
| Hawaiian Electric | | |
| Industries Inc. | 106,409 | 3,507 |
| New Jersey Resources | | |
| Corp. | 85,049 | 3,240 |
| Black Hills Corp. | 52,315 | 2,657 |
| WGL Holdings Inc. | 31,664 | 2,636 |
| NorthWestern Corp. | 47,540 | 2,428 |
| Aqua America Inc. | 67,795 | 2,318 |
| ONE Gas Inc. | 29,741 | 1,891 |
| IDACORP Inc. | 23,168 | 1,878 |
| Vectren Corp. | 29,232 | 1,761 |
| Southwest Gas Holdings | | |
| Inc. | 24,314 | 1,602 |
| PNM Resources Inc. | 31,170 | 1,097 |
| | | 69,220 |
| Total Common Stocks | | |
| (Cost $788,800) | | 810,352 |
32
S&P Mid-Cap 400 Value Index Fund
| | |
| | | Market |
| | | Value• |
| | Shares | ($000) |
| Temporary Cash Investments (0.6%)1 | |
| Money Market Fund (0.5%) | |
| 2,3 Vanguard Market Liquidity | |
| Fund, 1.601% | 42,136 | 4,213 |
| |
| | Face | |
| | Amount | |
| | ($000) | |
| U. S. Government and Agency Obligations (0.1%) |
| 4 United States Treasury | | |
| Bill, 1.446%, 5/31/18 | 500 | 498 |
| Total Temporary Cash Investments | |
| (Cost $4,711) | | 4,711 |
| Total Investments (100.3%) | |
| (Cost $793,511) | | 815,063 |
| |
| | | Amount |
| | | ($000) |
| Other Assets and Liabilities (-0.3%) | |
| Other Assets | | |
| Investment in Vanguard | | 45 |
| Receivables for Accrued Income | 1,025 |
| Receivables for Capital Shares Issued | 75 |
| Other Assets | | 55 |
| Total Other Assets | | 1,200 |
| Liabilities | | |
| Payables for Investment Securities | |
| Purchased | | (1) |
| Collateral for Securities on Loan | (3,419) |
| Payables for Capital Shares Redeemed | (8) |
| Payables to Vanguard | | (175) |
| Variation Margin Payable— | | |
| Futures Contracts | | (16) |
| Total Liabilities | | (3,619) |
| Net Assets (100%) | | 812,644 |
| |
| At February 28, 2018, net assets consisted of: |
| | Amount |
| | ($000) |
| Paid-in Capital | 831,078 |
| Undistributed Net Investment Income | 764 |
| Accumulated Net Realized Losses | (40,704) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 21,552 |
| Futures Contracts | (46) |
| Net Assets | 812,644 |
| |
| | Amount |
| | ($000) |
| ETF Shares—Net Assets | |
| Applicable to 5,575,000 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 652,062 |
| Net Asset Value Per Share— | |
| ETF Shares | $116.96 |
| |
| |
| Institutional Shares—Net Assets | |
| Applicable to 684,820 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 160,582 |
| Net Asset Value Per Share— | |
| Institutional Shares | $234.49 |
• See Note A in Notes to Financial Statements.
^ Includes partial security positions on loan to broker-dealers.
The total value of securities on loan is $3,197,000.
* Non-income-producing security.
1 The fund invests a portion of its cash reserves in equity
markets through the use of index futures contracts. After
giving effect to futures investments, the fund’s effective
common stock and temporary cash investment positions
represent 100.0% and 0.3%, 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 $3,419,000 of collateral received for securities
on loan.
4 Securities with a value of $498,000 have been segregated
as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
33
S&P Mid-Cap 400 Value Index Fund
| | | | |
| Derivative Financial Instruments Outstanding as of Period End | | |
| Futures Contracts | | | | |
| | | | ($000) |
| | | | | Value and |
| | | Number of | | Unrealized |
| | | Long (Short) | Notional | Appreciation |
| | Expiration | Contracts | Amount | (Depreciation) |
| Long Futures Contracts | | | | |
| E-mini S&P Mid-Cap 400 Index | March 2018 | 13 | 2,424 | (46) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized
gain (loss) for tax purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
34
S&P Mid-Cap 400 Value Index Fund
Statement of Operations
| |
| | Six Months Ended |
| | February28,2018 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 7,235 |
| Interest1 | 10 |
| Securities Lending—Net | 102 |
| Total Income | 7,347 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 106 |
| Management and Administrative—ETF Shares | 525 |
| Management and Administrative—Institutional Shares | 39 |
| Marketing and Distribution—ETF Shares | 20 |
| Marketing and Distribution—Institutional Shares | 2 |
| Custodian Fees | 18 |
| Shareholders’ Reports and Proxy—ETF Shares | 22 |
| Shareholders’ Reports and Proxy—Institutional Shares | — |
| Total Expenses | 732 |
| Net Investment Income | 6,615 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1 | 53,082 |
| Futures Contracts | 125 |
| Realized Net Gain (Loss) | 53,207 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities1 | (15,028) |
| Futures Contracts | (70) |
| Change in Unrealized Appreciation (Depreciation) | (15,098) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 44,724 |
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund
were $5,000, ($2,000), and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
35
S&P Mid-Cap 400 Value Index Fund
Statement of Changes in Net Assets
| | |
| | Six Months Ended | Year Ended |
| | February 28, | August 31, |
| | 2018 | 2017 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 6,615 | 12,227 |
| Realized Net Gain (Loss) | 53,207 | 56,629 |
| Change in Unrealized Appreciation (Depreciation) | (15,098) | 3,657 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 44,724 | 72,513 |
| Distributions | | |
| Net Investment Income | | |
| ETF Shares | (10,667) | (7,918) |
| Institutional Shares | (2,513) | (2,032) |
| Realized Capital Gain | | |
| ETF Shares | — | — |
| Institutional Shares | — | — |
| Total Distributions | (13,180) | (9,950) |
| Capital Share Transactions | | |
| ETF Shares | (4,637) | 122,285 |
| Institutional Shares | (5,451) | (775) |
| Net Increase (Decrease) from Capital Share Transactions | (10,088) | 121,510 |
| Total Increase (Decrease) | 21,456 | 184,073 |
| Net Assets | | |
| Beginning of Period | 791,188 | 607,115 |
| End of Period1 | 812,644 | 791,188 |
| 1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $764,000 and $7,329,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
36
S&P Mid-Cap 400 Value Index Fund
Financial Highlights
| | | | | | | |
| ETF Shares | | | | | | | |
| | Six Months | | | | | |
| | | Ended | | | | | |
| For a Share Outstanding | February 28, | Year Ended August 31, |
| Throughout Each Period | | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $112.31 | $101.70 | $91.40 | $96.78 | $77.93 | $62.71 |
| Investment Operations | | | | | | | |
| Net Investment Income | | . 9341 | 1.7671 | 1.8911 | 1.600 | 1.5001 | 1.153 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | | 5.604 | 10.344 | 9.880 | (5.563) | 18.094 | 15.146 |
| Total from Investment Operations | 6.538 | 12.111 | 11.771 | (3.963) | 19.594 | 16.299 |
| Distributions | | | | | | | |
| Dividends from Net Investment Income | (1.888) | (1.501) | (1.471) | (1.417) | (.744) | (1.079) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | | (1.888) | (1.501) | (1.471) | (1.417) | (.744) | (1.079) |
| Net Asset Value, End of Period | | $116.96 | $112.31 | $101.70 | $91.40 | $96.78 | $77.93 |
| |
| Total Return | | 5.76% | 11.91% | 13.13% | -4.17% | 25.26% | 26.31% |
| |
| Ratios/Supplemental Data | | | | | | | |
| Net Assets, End of Period (Millions) | $652 | $632 | $460 | $103 | $87 | $27 |
| Ratio of Total Expenses to | | | | | | | |
| Average Net Assets | | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | | 1.62% | 1.61% | 1.97% | 1.75% | 1.66% | 1.87% |
| Portfolio Turnover Rate2 | | 34% | 39% | 26% | 47% | 35% | 74% |
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 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 | | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $225.05 | $203.65 | $182.92 | $193.66 | $155.83 | $125.30 |
| Investment Operations | | | | | | | |
| Net Investment Income | | 1.9901 | 3.8661 | 3.7741 | 3.420 | 3.1911 | 2.392 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | | 11.252 | 20.656 | 20.020 | (11.127) | 36.207 | 30.364 |
| Total from Investment Operations | 13.242 | 24.522 | 23.794 | (7.707) | 39.398 | 32.756 |
| Distributions | | | | | | | |
| Dividends from Net Investment Income | (3.802) | (3.122) | (3.064) | (3.033) | (1.568) | (2.226) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | | (3.802) | (3.122) | (3.064) | (3.033) | (1.568) | (2.226) |
| Net Asset Value, End of Period | | $234.49 | $225.05 | $203.65 | $182.92 | $193.66 | $155.83 |
| |
| Total Return | | 5.83% | 12.05% | 13.25% | -4.05% | 25.42% | 26.47% |
| |
| Ratios/Supplemental Data | | | | | | | |
| Net Assets, End of Period (Millions) | $161 | $159 | $147 | $143 | $137 | $49 |
| 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 | | 1.74% | 1.73% | 2.09% | 1.87% | 1.78% | 1.99% |
| Portfolio Turnover Rate2 | | 34% | 39% | 26% | 47% | 35% | 74% |
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.
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, 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 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. Counter-party 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 notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the six months ended February 28, 2018, 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 the notional amounts at each quarter-end during the period.
39
S&P Mid-Cap 400 Value Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2014–2017), and for the period ended February 28, 2018, 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 counter-parties. 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 event 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, 2018, 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.
40
S&P Mid-Cap 400 Value Index Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses), shareholder reporting, and the proxy. 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. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2018, the fund had contributed to Vanguard capital in the amount of $45,000, representing 0.01% of the fund’s net assets and 0.02% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine
the fair value of investments). Any investments valued with significant unobservable inputs are
noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as of February 28, 2018, based on the inputs used to value them:
| | | |
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 810,352 | — | — |
| Temporary Cash Investments | 4,213 | 498 | — |
| Futures Contracts—Liabilities1 | (16) | — | — |
| Total | 814,549 | 498 | — |
| 1 Represents variation margin on the last day of the reporting period. |
41
S&P Mid-Cap 400 Value Index Fund
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended February 28, 2018, the fund realized $64,852,000 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, 2017, the fund had available capital losses totaling $29,036,000 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, 2018; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 28, 2018, the cost of investment securities for tax purposes was $793,511,000. Net unrealized appreciation of investment securities for tax purposes was $21,552,000, consisting of unrealized gains of $77,279,000 on securities that had risen in value since their purchase and $55,727,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 28, 2018, the fund purchased $437,812,000 of investment securities and sold $452,767,000 of investment securities, other than temporary cash investments. Purchases and sales include $192,138,000 and $214,112,000, 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, 2018, such purchases and sales were $179,535,000 and $113,770,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
42
S&P Mid-Cap 400 Value Index Fund
F. Capital share transactions for each class of shares were:
| | | | |
| | Six Months Ended | Year Ended |
| | February 28, 2018 | August 31, 2017 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| ETF Shares | | | | |
| Issued | 210,645 | 1,725 | 397,751 | 3,550 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (215,282) | (1,775) | (275,466) | (2,450) |
| Net Increase (Decrease)—ETF Shares | (4,637) | (50) | 122,285 | 1,100 |
| Institutional Shares | | | | |
| Issued | 9,711 | 41 | 45,048 | 200 |
| Issued in Lieu of Cash Distributions | 1,572 | 6 | 1,071 | 5 |
| Redeemed | (16,734) | (71) | (46,894) | (218) |
| Net Increase (Decrease)—Institutional Shares | (5,451) | (24) | (775) | (13) |
G. Management has determined that no material events or transactions occurred subsequent to February 28, 2018, that would require recognition or disclosure in these financial statements.
43
S&P Mid-Cap 400 Growth Index Fund
Fund Profile
As of February 28, 2018
| | |
| Share-Class Characteristics | |
| | ETF | Institutional |
| | Shares | Shares |
| Ticker Symbol | IVOG | VMFGX |
| Expense Ratio1 | 0.20% | 0.08% |
| 30-Day SEC Yield | 0.98% | 1.10% |
| | | |
| Portfolio Characteristics | | |
| | | S&P | |
| | | MidCap | DJ |
| | | 400 | U.S. Total |
| | | Growth | Market |
| | Fund | Index | FA Index |
| Number of Stocks | 241 | 240 | 3,746 |
| Median Market Cap | $6.4B | $6.4B | $68.2B |
| Price/Earnings Ratio | 26.9x | 26.7x | 21.7x |
| Price/Book Ratio | 3.7x | 3.7x | 3.0x |
| Return on Equity | 14.7% | 14.7% | 15.0% |
| Earnings Growth | | | |
| Rate | 11.3% | 11.3% | 8.5% |
| Dividend Yield | 1.1% | 1.1% | 1.7% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | | | |
| (Annualized) | 43% | — | — |
| Short-Term | | | |
| Reserves | -0.1% | — | — |
| | |
| Volatility Measures | | |
| | S&P | |
| | MidCap | DJ |
| | 400 | U.S. Total |
| | Growth | Market |
| | Index | FA Index |
| R-Squared | 1.00 | 0.85 |
| 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) |
| SVB Financial Group | Regional Banks | 1.4% |
| MSCI Inc. | Financial Exchanges | |
| | & Data | 1.4 |
| Broadridge Financial | Data Processing & | |
| Solutions Inc. | Outsourced Services | 1.3 |
| Bioverativ Inc. | Biotechnology | 1.2 |
| ABIOMED Inc. | Health Care | |
| | Equipment | 1.2 |
| Teleflex Inc. | Health Care | |
| | Equipment | 1.2 |
| IDEX Corp. | Industrial Machinery | 1.1 |
| NVR Inc. | Homebuilding | 1.1 |
| Domino's Pizza Inc. | Restaurants | 1.1 |
| Trimble Inc. | Electronic Equipment | |
| | & Instruments | 1.0 |
| Top Ten | | 12.0% |
The holdings listed exclude any temporary cash investments and
equity index products.
Investment Focus
1 The expense ratios shown are from the prospectus dated December 22, 2017, and represent estimated costs for the current fiscal year.
For the six months ended February 28, 2018, the annualized expense ratios were 0.20% for ETF Shares and 0.08% for Institutional Shares.
44
S&P Mid-Cap 400 Growth Index Fund
| | | |
| Sector Diversification (% of equity exposure) |
| | | S&P | |
| | | MidCap | DJ |
| | | 400 | U.S. Total |
| | | Growth | Market |
| | Fund | Index | FA Index |
| Consumer Discretionary | 14.2% | 14.2% | 13.0% |
| Consumer Staples | 2.8 | 2.8 | 6.8 |
| Energy | 0.3 | 0.3 | 5.2 |
| Financials | 16.8 | 16.8 | 15.4 |
| Health Care | 11.6 | 11.6 | 13.4 |
| Industrials | 16.0 | 16.0 | 10.8 |
| Information Technology | 25.0 | 25.0 | 24.2 |
| Materials | 4.6 | 4.6 | 3.3 |
| Real Estate | 7.0 | 7.0 | 3.5 |
| Telecommunication | | | |
| Services | 0.0 | 0.0 | 1.7 |
| Utilities | 1.7 | 1.7 | 2.7 |
Sector categories are based on the Global Industry Classification
Standard (“GICS”), except for the “Other” category (if applicable),
which includes securities that have not been provided a GICS
classification as of the effective reporting period.
45
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, 2018
Note: For 2018, performance data reflect the six months ended February 28, 2018.
Average Annual Total Returns: Periods Ended December 31, 2017
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 | | 19.75% | 14.71% | 15.23% |
| Net Asset Value | | 19.72 | 14.72 | 15.22 |
| Institutional Shares | 3/28/20111 | 19.87 | 14.86 | 12.14 |
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.
46
S&P Mid-Cap 400 Growth Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 28, 2018
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| Common Stocks (99.8%)1 | | |
| Consumer Discretionary (14.2%) | |
| * | NVR Inc. | 3,742 | 10,639 |
| | Domino’s Pizza Inc. | 47,062 | 10,467 |
| | Service Corp. International | 201,764 | 7,552 |
| | Polaris Industries Inc. | 62,574 | 7,133 |
| | Toll Brothers Inc. | 158,357 | 6,941 |
| | Thor Industries Inc. | 52,764 | 6,807 |
| * | Live Nation Entertainment | | |
| | Inc. | 144,170 | 6,459 |
| | Pool Corp. | 43,224 | 5,966 |
| * | Skechers U. S. A. Inc. | | |
| | Class A | 144,160 | 5,899 |
| | Dunkin’ Brands Group Inc. | 97,222 | 5,823 |
| | Six Flags Entertainment | | |
| | Corp. | 83,876 | 5,376 |
| | Delphi Technologies plc | 95,729 | 4,571 |
| | Gentex Corp. | 189,434 | 4,302 |
| | Carter’s Inc. | 35,155 | 4,102 |
| | New York Times Co. | | |
| | Class A | 135,516 | 3,266 |
| | Churchill Downs Inc. | 12,247 | 3,162 |
| | Boyd Gaming Corp. | 88,150 | 3,119 |
| | Dana Inc. | 99,755 | 2,650 |
| | Texas Roadhouse Inc. | | |
| | Class A | 46,484 | 2,569 |
| * | Scientific Games Corp. | 56,923 | 2,530 |
| | KB Home | 90,556 | 2,513 |
| * | TRI Pointe Group Inc. | 161,833 | 2,481 |
| | ILG Inc. | 81,657 | 2,479 |
| | Brunswick Corp. | 42,484 | 2,430 |
| | Cable One Inc. | 3,111 | 2,118 |
| | American Eagle Outfitters | | |
| | Inc. | 106,969 | 2,061 |
| * | Sotheby’s | 40,166 | 1,855 |
| | Jack in the Box Inc. | 20,591 | 1,855 |
| * | AMC Networks Inc. | | |
| | Class A | 34,206 | 1,798 |
| | | |
| * | Deckers Outdoor Corp. | 17,248 | 1,631 |
| | Cracker Barrel Old Country | | |
| | Store Inc. | 10,348 | 1,615 |
| | Wendy’s Co. | 99,824 | 1,592 |
| | Meredith Corp. | 23,409 | 1,341 |
| * | Helen of Troy Ltd. | 13,793 | 1,242 |
| | John Wiley & Sons Inc. | | |
| | Class A | 18,234 | 1,172 |
| | Tupperware Brands Corp. | 23,562 | 1,156 |
| *,^ | Tempur Sealy International | | |
| | Inc. | 20,820 | 1,029 |
| ^ | Papa John’s International | | |
| | Inc. | 11,065 | 639 |
| | | | 140,340 |
| Consumer Staples (2.8%) | | |
| | Lamb Weston Holdings | | |
| | Inc. | 157,264 | 8,506 |
| | Ingredion Inc. | 35,554 | 4,645 |
| * | Sprouts Farmers Market | | |
| | Inc. | 133,181 | 3,431 |
| | Flowers Foods Inc. | 89,315 | 1,852 |
| | Sanderson Farms Inc. | 14,633 | 1,802 |
| | Nu Skin Enterprises Inc. | | |
| | Class A | 23,974 | 1,688 |
| | Energizer Holdings Inc. | 28,747 | 1,566 |
| * | Hain Celestial Group Inc. | 44,681 | 1,554 |
| | Lancaster Colony Corp. | 10,912 | 1,291 |
| * | Boston Beer Co. Inc. | | |
| | Class A | 4,377 | 714 |
| ^ | Tootsie Roll Industries Inc. | 9,528 | 318 |
| | | | 27,367 |
| Energy (0.3%) | | |
| | Core Laboratories NV | 19,926 | 2,052 |
| * | Matador Resources Co. | 44,670 | 1,289 |
| | | | 3,341 |
| Financials (16.7%) | | |
| * | SVB Financial Group | 56,726 | 14,124 |
| | MSCI Inc. Class A | 96,914 | 13,715 |
47
S&P Mid-Cap 400 Growth Index Fund
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | SEI Investments Co. | 140,724 | 10,249 |
| | East West Bancorp Inc. | 155,416 | 10,188 |
| | FactSet Research | | |
| | Systems Inc. | 42,111 | 8,556 |
| | MarketAxess Holdings Inc. | 40,468 | 8,191 |
| | Janus Henderson Group | | |
| | plc | 194,216 | 6,864 |
| | Eaton Vance Corp. | 127,130 | 6,729 |
| | Bank of the Ozarks | 130,609 | 6,516 |
| | Synovus Financial Corp. | 128,353 | 6,328 |
| | Interactive Brokers Group | | |
| | Inc. | 76,957 | 5,341 |
| * | Texas Capital Bancshares | | |
| | Inc. | 53,156 | 4,795 |
| | Primerica Inc. | 47,610 | 4,642 |
| | Brown & Brown Inc. | 79,663 | 4,194 |
| | CNO Financial Group Inc. | 180,553 | 4,070 |
| | First American Financial | | |
| | Corp. | 66,677 | 3,869 |
| | Sterling Bancorp | 159,659 | 3,712 |
| * | SLM Corp. | 315,504 | 3,442 |
| | Cullen/Frost Bankers Inc. | 32,213 | 3,350 |
| | Federated Investors Inc. | | |
| | Class B | 102,220 | 3,330 |
| | Webster Financial Corp. | 57,581 | 3,143 |
| | Commerce Bancshares | | |
| | Inc. | 52,641 | 3,041 |
| * | Signature Bank | 20,798 | 3,040 |
| | Pinnacle Financial Partners | | |
| | Inc. | 46,870 | 3,025 |
| | Kemper Corp. | 52,594 | 2,966 |
| | RenaissanceRe Holdings | | |
| | Ltd. | 22,420 | 2,876 |
| | Wintrust Financial Corp. | 33,163 | 2,803 |
| | Cathay General Bancorp | 51,636 | 2,120 |
| | Hancock Holding Co. | 40,402 | 2,089 |
| | MB Financial Inc. | 46,119 | 1,891 |
| | Home BancShares Inc. | 81,745 | 1,879 |
| | Bank of Hawaii Corp. | 21,978 | 1,802 |
| | BancorpSouth Bank | 41,797 | 1,317 |
| | Washington Federal Inc. | 37,733 | 1,309 |
| | | | 165,506 |
| Health Care (11.6%) | | |
| * | Bioverativ Inc. | 116,389 | 12,184 |
| * | ABIOMED Inc. | 45,178 | 12,116 |
| | Teleflex Inc. | 48,469 | 12,109 |
| * | Catalent Inc. | 143,047 | 5,972 |
| | Hill-Rom Holdings Inc. | 70,809 | 5,924 |
| * | Bio-Rad Laboratories Inc. | | |
| | Class A | 21,757 | 5,875 |
| * | WellCare Health Plans Inc. | 29,717 | 5,762 |
| | Bio-Techne Corp. | 40,318 | 5,699 |
| * | Encompass Health Corp. | 106,308 | 5,662 |
| | | |
| * | Charles River Laboratories | | |
| | International Inc. | 50,991 | 5,436 |
| | STERIS plc | 55,786 | 5,093 |
| * | Masimo Corp. | 51,157 | 4,478 |
| | West Pharmaceutical | | |
| | Services Inc. | 49,584 | 4,325 |
| * | LivaNova plc | 46,618 | 4,183 |
| * | Medidata Solutions Inc. | 62,907 | 4,130 |
| * | United Therapeutics Corp. | 32,108 | 3,720 |
| * | Globus Medical Inc. | 78,020 | 3,717 |
| * | Akorn Inc. | 100,924 | 1,710 |
| * | Molina Healthcare Inc. | 23,183 | 1,676 |
| * | NuVasive Inc. | 32,924 | 1,592 |
| * | Allscripts Healthcare | | |
| | Solutions Inc. | 101,071 | 1,402 |
| * | Prestige Brands Holdings | | |
| | Inc. | 38,276 | 1,294 |
| *,^ | Tenet Healthcare Corp. | 35,693 | 735 |
| * | Community Health | | |
| | Systems Inc. Rights | 29,782 | — |
| | | | 114,794 |
| Industrials (16.0%) | | |
| | IDEX Corp. | 82,197 | 11,245 |
| | Old Dominion Freight | | |
| | Line Inc. | 73,586 | 10,223 |
| * | Copart Inc. | 216,335 | 10,127 |
| | Lennox International Inc. | 40,478 | 8,283 |
| | Orbital ATK Inc. | 62,065 | 8,196 |
| | Graco Inc. | 181,173 | 8,035 |
| | Toro Co. | 116,016 | 7,375 |
| | Nordson Corp. | 54,625 | 7,324 |
| * | Teledyne Technologies | | |
| | Inc. | 38,114 | 7,087 |
| | Rollins Inc. | 103,153 | 5,186 |
| | Hubbell Inc. Class B | 31,798 | 4,167 |
| | Donaldson Co. Inc. | 85,271 | 4,047 |
| | Brink’s Co. | 54,296 | 3,991 |
| * | KLX Inc. | 55,370 | 3,747 |
| | Curtiss-Wright Corp. | 27,078 | 3,655 |
| * | Dycom Industries Inc. | 33,319 | 3,640 |
| | Healthcare Services | | |
| | Group Inc. | 79,134 | 3,595 |
| | Landstar System Inc. | 31,149 | 3,389 |
| | Knight-Swift | | |
| | Transportation Holdings | | |
| | Inc. | 69,000 | 3,323 |
| | Carlisle Cos. Inc. | 32,016 | 3,295 |
| | Lincoln Electric Holdings | | |
| | Inc. | 35,946 | 3,147 |
| | Wabtec Corp. | 37,721 | 3,068 |
| | Oshkosh Corp. | 38,841 | 3,066 |
| | Watsco Inc. | 15,743 | 2,603 |
| | Dun & Bradstreet Corp. | 20,712 | 2,590 |
48
S&P Mid-Cap 400 Growth Index Fund
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | ITT Inc. | 50,188 | 2,518 |
| | Herman Miller Inc. | 64,323 | 2,309 |
| | Woodward Inc. | 31,439 | 2,227 |
| | Crane Co. | 23,910 | 2,207 |
| | MSA Safety Inc. | 24,035 | 1,938 |
| | MSC Industrial Direct Co. | | |
| | Inc. Class A | 21,624 | 1,892 |
| | Deluxe Corp. | 25,396 | 1,803 |
| | Timken Co. | 38,250 | 1,675 |
| | Kennametal Inc. | 36,676 | 1,511 |
| | Terex Corp. | 36,135 | 1,500 |
| | Valmont Industries Inc. | 9,991 | 1,470 |
| | Granite Construction Inc. | 23,190 | 1,347 |
| | Werner Enterprises Inc. | 25,645 | 955 |
| | | | 157,756 |
| Information Technology (24.9%) | |
| | Broadridge Financial | | |
| | Solutions Inc. | 125,384 | 12,586 |
| * | Trimble Inc. | 270,896 | 10,275 |
| | Cognex Corp. | 186,392 | 10,011 |
| * | IPG Photonics Corp. | 40,401 | 9,924 |
| | Jack Henry & Associates | | |
| | Inc. | 83,105 | 9,748 |
| | CDK Global Inc. | 141,345 | 9,708 |
| | Teradyne Inc. | 211,120 | 9,585 |
| * | Take-Two Interactive | | |
| | Software Inc. | 79,802 | 8,927 |
| * | Microsemi Corp. | 126,545 | 8,213 |
| * | Fortinet Inc. | 160,911 | 8,121 |
| * | Zebra Technologies Corp. | 57,221 | 7,904 |
| * | Tyler Technologies Inc. | 37,574 | 7,632 |
| * | Ultimate Software Group | | |
| | Inc. | 30,533 | 7,281 |
| | LogMeIn Inc. | 56,669 | 6,548 |
| | MKS Instruments Inc. | 58,399 | 6,503 |
| * | WEX Inc. | 42,963 | 6,425 |
| | National Instruments | | |
| | Corp. | 115,358 | 5,832 |
| * | Coherent Inc. | 26,528 | 5,549 |
| | Littelfuse Inc. | 26,642 | 5,528 |
| | Fair Isaac Corp. | 32,245 | 5,480 |
| * | PTC Inc. | 73,412 | 5,415 |
| | Blackbaud Inc. | 51,733 | 5,304 |
| | Jabil Inc. | 190,097 | 5,150 |
| | Monolithic Power | | |
| | Systems Inc. | 41,070 | 4,808 |
| | MAXIMUS Inc. | 70,128 | 4,697 |
| * | Keysight Technologies Inc. | 97,789 | 4,597 |
| * | Integrated Device | | |
| | Technology Inc. | 142,954 | 4,337 |
| | Versum Materials Inc. | 117,079 | 4,334 |
| * | Silicon Laboratories Inc. | 45,786 | 4,281 |
| * | CoreLogic Inc. | 88,692 | 4,035 |
| | | |
| | Cypress Semiconductor | | |
| | Corp. | 222,615 | 3,889 |
| | j2 Global Inc. | 52,100 | 3,856 |
| * | Cirrus Logic Inc. | 68,516 | 3,036 |
| * | Teradata Corp. | 82,077 | 3,022 |
| * | First Solar Inc. | 42,957 | 2,700 |
| | InterDigital Inc. | 37,376 | 2,684 |
| | DST Systems Inc. | 27,890 | 2,320 |
| | Sabre Corp. | 96,617 | 2,219 |
| * | Manhattan Associates Inc. | 45,256 | 1,905 |
| * | Cree Inc. | 48,607 | 1,839 |
| * | ACI Worldwide Inc. | 65,101 | 1,540 |
| *,^ | ViaSat Inc. | 21,596 | 1,507 |
| | Belden Inc. | 19,980 | 1,453 |
| | Vishay Intertechnology Inc. | 69,607 | 1,281 |
| * | CommVault Systems Inc. | 23,585 | 1,228 |
| * | Cars.com Inc. | 41,641 | 1,141 |
| | Plantronics Inc. | 19,290 | 1,042 |
| * | Acxiom Corp. | 37,607 | 1,029 |
| | | | 246,429 |
| Materials (4.6%) | | |
| | Chemours Co. | 199,269 | 9,467 |
| | Royal Gold Inc. | 70,483 | 5,693 |
| | Eagle Materials Inc. | 52,356 | 5,248 |
| | Louisiana-Pacific Corp. | 155,974 | 4,445 |
| | Olin Corp. | 103,756 | 3,372 |
| | RPM International Inc. | 61,770 | 3,074 |
| | Valvoline Inc. | 130,805 | 2,997 |
| | AptarGroup Inc. | 32,841 | 2,937 |
| | PolyOne Corp. | 55,619 | 2,298 |
| | Scotts Miracle-Gro Co. | 23,324 | 2,095 |
| | NewMarket Corp. | 4,368 | 1,825 |
| | Sensient Technologies | | |
| | Corp. | 21,007 | 1,512 |
| | Silgan Holdings Inc. | 33,473 | 952 |
| | | | 45,915 |
| Real Estate (7.0%) | | |
| | Lamar Advertising Co. | | |
| | Class A | 90,413 | 6,010 |
| | DCT Industrial Trust Inc. | 100,160 | 5,544 |
| | Jones Lang LaSalle Inc. | 30,746 | 4,938 |
| | Kilroy Realty Corp. | 63,392 | 4,317 |
| | Camden Property Trust | 52,840 | 4,212 |
| | Douglas Emmett Inc. | 108,023 | 3,862 |
| | First Industrial Realty | | |
| | Trust Inc. | 128,939 | 3,614 |
| | CoreSite Realty Corp. | 36,800 | 3,454 |
| | Liberty Property Trust | 77,716 | 3,051 |
| | Rayonier Inc. | 84,631 | 2,877 |
| | Medical Properties Trust | | |
| | Inc. | 215,403 | 2,641 |
| | National Retail Properties | | |
| | Inc. | 67,124 | 2,500 |
| | Highwoods Properties Inc. | 49,972 | 2,149 |
49
S&P Mid-Cap 400 Growth Index Fund
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | PotlatchDeltic Corp. | 41,865 | 2,141 |
| | CyrusOne Inc. | 42,240 | 2,108 |
| | Life Storage Inc. | 26,064 | 2,048 |
| | Cousins Properties Inc. | 239,610 | 1,998 |
| | Healthcare Realty Trust | | |
| | Inc. | 68,523 | 1,819 |
| | Taubman Centers Inc. | 28,768 | 1,682 |
| | GEO Group Inc. | 72,136 | 1,537 |
| | Weingarten Realty | | |
| | Investors | 50,212 | 1,362 |
| | Urban Edge Properties | 62,627 | 1,351 |
| ^ | Uniti Group Inc. | 83,544 | 1,282 |
| | Corporate Office | | |
| | Properties Trust | 46,119 | 1,151 |
| ^ | Tanger Factory Outlet | | |
| | Centers Inc. | 42,830 | 956 |
| * | Quality Care Properties | | |
| | Inc. | 32,383 | 401 |
| | | | 69,005 |
| Utilities (1.7%) | | |
| | Aqua America Inc. | 116,555 | 3,985 |
| | Vectren Corp. | 57,120 | 3,442 |
| | IDACORP Inc. | 28,971 | 2,348 |
| | PNM Resources Inc. | 51,372 | 1,808 |
| | WGL Holdings Inc. | 20,408 | 1,699 |
| | Southwest Gas Holdings | | |
| | Inc. | 24,660 | 1,625 |
| | ONE Gas Inc. | 23,603 | 1,501 |
| | | | 16,408 |
| Total Common Stocks | | |
| (Cost $892,371) | | 986,861 |
| Temporary Cash Investments (0.3%)1 | |
| Money Market Fund (0.3%) | | |
| 2,3 | Vanguard Market Liquidity | | |
| | Fund, 1.601% | 27,481 | 2,748 |
| |
| | | Face | |
| | | Amount | |
| | | ($000) | |
| U. S. Government and Agency Obligations (0.0%) |
| 4 | United States Treasury | | |
| | Bill, 1.432%, 4/26/18 | 100 | 99 |
| Total Temporary Cash | | |
| Investments (Cost $2,848) | | 2,847 |
| Total Investments (100.1%) | | |
| (Cost $895,219) | | 989,708 |
| |
| | Amount |
| | ($000) |
| Other Assets and Liabilities (-0.1%) | |
| Other Assets | |
| Investment in Vanguard | 55 |
| Receivables for Accrued Income | 992 |
| Receivables for Capital Shares Issued | 41 |
| Other Assets | 1 |
| Total Other Assets | 1,089 |
| Liabilities | |
| Payables for Investment Securities | |
| Purchased | (1) |
| Collateral for Securities on Loan | (2,147) |
| Payables to Vanguard | (252) |
| Variation Margin Payable— | |
| Futures Contracts | (5) |
| Total Liabilities | (2,405) |
| Net Assets (100%) | 988,392 |
| |
| At February 28, 2018, net assets consisted of: |
| | Amount |
| | ($000) |
| Paid-in Capital | 945,829 |
| Overdistributed Net Investment Income | (870) |
| Accumulated Net Realized Losses | (51,048) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 94,489 |
| Futures Contracts | (8) |
| Net Assets | 988,392 |
| |
| |
| ETF Shares—Net Assets | |
| Applicable to 5,775,000 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 770,747 |
| Net Asset Value Per Share— | |
| ETF Shares | $133.46 |
50
S&P Mid-Cap 400 Growth Index Fund
| |
| | Amount |
| | ($000) |
| Institutional Shares—Net Assets | |
| Applicable to 818,231 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 217,645 |
| Net Asset Value Per Share— | |
| Institutional Shares | $266.00 |
• 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 $2,015,000.
1 The fund invests a portion of its cash reserves in equity
markets through the use of index futures contracts. After
giving effect to futures investments, the fund’s effective
common stock and temporary cash investment positions
represent 100.0% and 0.1%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard
funds and certain trusts and accounts managed by
Vanguard. Rate shown is the 7-day yield.
3 Includes $2,147,000 of collateral received for securities
on loan.
4 Securities with a value of $56,000 have been segregated
as initial margin for open futures contracts.
| | | | |
| Derivative Financial Instruments Outstanding as of Period End | | |
| |
| Futures Contracts | | | | |
| | | | ($000) |
| | | | | Value and |
| | | Number of | | Unrealized |
| | | Long (Short) | Notional | Appreciation |
| | Expiration | Contracts | Amount | (Depreciation) |
| Long Futures Contracts | | | | |
| E-mini S&P Mid-Cap 400 Index | March 2018 | 7 | 1,305 | (8) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
51
S&P Mid-Cap 400 Growth Index Fund
Statement of Operations
| |
| | Six Months Ended |
| | February28,2018 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 5,487 |
| Interest1 | 9 |
| Securities Lending—Net | 20 |
| Total Income | 5,516 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 127 |
| Management and Administrative—ETF Shares | 643 |
| Management and Administrative—Institutional Shares | 58 |
| Marketing and Distribution—ETF Shares | 22 |
| Marketing and Distribution—Institutional Shares | 3 |
| Custodian Fees | 17 |
| Shareholders’ Reports and Proxy—ETF Shares | 24 |
| Shareholders’ Reports and Proxy—Institutional Shares | 1 |
| Total Expenses | 895 |
| Net Investment Income | 4,621 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1 | 108,683 |
| Futures Contracts | 21 |
| Realized Net Gain (Loss) | 108,704 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities1 | 424 |
| Futures Contracts | (12) |
| Change in Unrealized Appreciation (Depreciation) | 412 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 113,737 |
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund
were $5,000, ($1,000), and ($1,000) respectively. Purchases and sales are for temporary cash investment purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
52
S&P Mid-Cap 400 Growth Index Fund
Statement of Changes in Net Assets
| | |
| | Six Months Ended | Year Ended |
| | February 28, | August 31, |
| | 2018 | 2017 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 4,621 | 8,810 |
| Realized Net Gain (Loss) | 108,704 | 71,370 |
| Change in Unrealized Appreciation (Depreciation) | 412 | 11,967 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 113,737 | 92,147 |
| Distributions | | |
| Net Investment Income | | |
| ETF Shares | (8,531) | (5,674) |
| Institutional Shares | (1,904) | (2,068) |
| Realized Capital Gain | | |
| ETF Shares | — | — |
| Institutional Shares | — | — |
| Total Distributions | (10,435) | (7,742) |
| Capital Share Transactions | | |
| ETF Shares | 9,078 | 109,562 |
| Institutional Shares | (129,313) | 128,195 |
| Net Increase (Decrease) from Capital Share Transactions | (120,235) | 237,757 |
| Total Increase (Decrease) | (16,933) | 322,162 |
| Net Assets | | |
| Beginning of Period | 1,005,325 | 683,163 |
| End of Period1 | 988,392 | 1,005,325 |
| 1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($870,000) and $4,944,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
53
S&P Mid-Cap 400 Growth Index Fund
Financial Highlights
| | | | | | | |
| ETF Shares | | | | | | | |
| | Six Months | | | | | |
| | | Ended | | | | | |
| For a Share Outstanding | February 28, | Year Ended August 31, |
| Throughout Each Period | | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $121.33 | $109.76 | $99.88 | $97.18 | $80.96 | $67.47 |
| Investment Operations | | | | | | | |
| Net Investment Income | | . 5511 | 1.1521 | .954 | 1.036 | .571 | .721 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | | 12.815 | 11.576 | 9.960 | 2.456 | 16.256 | 13.257 |
| Total from Investment Operations | 13.366 | 12.728 | 10.914 | 3.492 | 16.827 | 13.978 |
| Distributions | | | | | | | |
| Dividends from Net Investment Income | (1.236) | (1.158) | (1.034) | (.792) | (.607) | (.488) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | | (1.236) | (1.158) | (1.034) | (.792) | (.607) | (.488) |
| Net Asset Value, End of Period | | $133.46 | $121.33 | $109.76 | $99.88 | $97.18 | $80.96 |
| |
| Total Return | | 11.02% | 11.67% | 11.04% | 3.60% | 20.84% | 20.83% |
| |
| Ratios/Supplemental Data | | | | | | | |
| Net Assets, End of Period (Millions) | $771 | $686 | $513 | $377 | $292 | $182 |
| Ratio of Total Expenses to | | | | | | | |
| Average Net Assets | | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | | 0.93% | 0.99% | 1.08% | 1.08% | 0.81% | 1.08% |
| Portfolio Turnover Rate2 | | 43% | 40% | 38% | 47% | 38% | 35% |
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.
54
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 | | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $241.68 | $218.61 | $198.85 | $193.45 | $161.12 | $134.20 |
| Investment Operations | | | | | | | |
| Net Investment Income | | 1.3101 | 2.6041 | 2.094 | 2.271 | 1.316 | 1. |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | | 25.485 | 23.011 | 19.906 | 4.900 | 32.386 | 26. |
| Total from Investment Operations | 26.795 | 25.615 | 22.000 | 7.171 | 33.702 | 27. |
| Distributions | | | | | | | |
| Dividends from Net Investment Income | (2.475) | (2.545) | (2.240) | (1.771) | (1.372) | (1. |
| Distributions from Realized Capital Gains | — | — | — | — | — | |
| Total Distributions | | (2.475) | (2.545) | (2.240) | (1.771) | (1.372) | (1. |
| Net Asset Value, End of Period | | $266.00 | $241.68 | $218.61 | $198.85 | $193.45 | $161.12 |
| |
| Total Return | | 11.08% | 11.80% | 11.18% | 3.72% | 20.99% | 20.97% |
| |
| Ratios/Supplemental Data | | | | | | | |
| Net Assets, End of Period (Millions) | $218 | $320 | $170 | $96 | $90 | $42 |
| 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 | | 1.05% | 1.11% | 1.20% | 1.20% | 0.93% | 1.20% |
| Portfolio Turnover Rate2 | | 43% | 40% | 38% | 47% | 38% | 35% |
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.
55
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, 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 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. Counter-party 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 notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the six months ended February 28, 2018, 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 the notional amounts at each quarter-end during the period
56
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, 2014–2017), and for the period ended February 28, 2018, 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 event 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, 2018, or at any time during the period then ended.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
57
S&P Mid-Cap 400 Growth Index Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses), shareholder reporting, and the proxy. 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. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2018, the fund had contributed to Vanguard capital in the amount of $55,000 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). Any investments valued with significant unobservable inputs are
noted on the Statement of Net Assets
The following table summarizes the market value of the fund’s investments as of February 28, 2018, based on the inputs used to value them:
| | | |
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 986,861 | — | — |
| Temporary Cash Investments | 2,748 | 99 | — |
| Futures Contracts—Liabilities1 | (5) | — | — |
| Total | 989,604 | 99 | — |
| 1 Represents variation margin on the last day of the reporting period. |
58
S&P Mid-Cap 400 Growth Index Fund
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended February 28, 2018, the fund realized $119,688,000 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, 2017, the fund had available capital losses totaling $40,060,000 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, 2018; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 28, 2018, the cost of investment securities for tax purposes was $895,219,000. Net unrealized appreciation of investment securities for tax purposes was $94,489,000, consisting of unrealized gains of $121,705,000 on securities that had risen in value since their purchase and $27,216,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 28, 2018, the fund purchased $665,509,000 of investment securities and sold $789,015,000 of investment securities, other than temporary cash investments. Purchases and sales include $244,315,000 and $439,849,000, 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, 2018, such purchases and sales were $157,148,000 and $178,341,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
59
S&P Mid-Cap 400 Growth Index Fund
F. Capital share transactions for each class of shares were:
| | | | |
| | Six Months Ended | Year Ended |
| | February 28, 2018 | August 31, 2017 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| ETF Shares | | | | |
| Issued | 350,956 | 2,650 | 361,088 | 3,075 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (341,878) | (2,525) | (251,526) | (2,100) |
| Net Increase (Decrease)—ETF Shares | 9,078 | 125 | 109,562 | 975 |
| Institutional Shares | | | | |
| Issued | 18,657 | 70 | 162,354 | 692 |
| Issued in Lieu of Cash Distributions | 1,315 | 5 | 430 | 2 |
| Redeemed | (149,285) | (580) | (34,589) | (148) |
| Net Increase (Decrease)—Institutional Shares | (129,313) | (505) | 128,195 | 546 |
G. Management has determined that no material events or transactions occurred subsequent to February 28, 2018, that would require recognition or disclosure in these financial statements.
60
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, 2018 | | | |
| | Beginning | Ending | Expenses |
| | Account Value | Account Value | Paid During |
| | 8/31/2017 | 2/28/2018 | Period |
| Based on Actual Fund Return | | | |
| S&P Mid-Cap 400 Index Fund | | | |
| ETF Shares | $1,000.00 | $1,084.81 | $0.78 |
| Institutional Shares | 1,000.00 | 1,085.24 | 0.41 |
| S&P Mid-Cap 400 Value Index Fund | | | |
| ETF Shares | $1,000.00 | $1,057.56 | $1.02 |
| Institutional Shares | 1,000.00 | 1,058.26 | 0.41 |
| S&P Mid-Cap 400 Growth Index Fund | | | |
| ETF Shares | $1,000.00 | $1,110.18 | $1.05 |
| Institutional Shares | 1,000.00 | 1,110.84 | 0.42 |
| Based on Hypothetical 5% Yearly Return | | | |
| S&P Mid-Cap 400 Index Fund | | | |
| ETF Shares | $1,000.00 | $1,024.05 | $0.75 |
| Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
| S&P Mid-Cap 400 Value Index Fund | | | |
| ETF Shares | $1,000.00 | $1,023.80 | $1.00 |
| Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
| S&P Mid-Cap 400 Growth Index Fund | | | |
| ETF Shares | $1,000.00 | $1,023.80 | $1.00 |
| 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, 0.15% for ETF Shares and 0.08% for Institutional Shares; for the S&P Mid-Cap 400
Value Index Fund, 0.20% for ETF Shares and 0.08% for Institutional Shares; and for the S&P Mid-Cap 400 Growth Index Fund, 0.20% 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).
62
Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
Dividend Yield. Dividend income earned by stocks, expressed as a percentage of the aggregate market value (or of net asset value, for a fund). The yield is determined by dividing the amount of the annual dividends by the aggregate value (or net asset value) at the end of the period. For a fund, the dividend yield is based solely on stock holdings and does not include any income produced by other investments.
Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund.
Equity Exposure. A measure that reflects a fund’s investments in stocks and stock futures. Any holdings in short-term reserves are excluded.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Foreign Holdings. The percentage of a fund represented by securities or depositary receipts of companies based outside the United States.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it.
Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share.
For a fund, the weighted average price/book ratio of the stocks it holds.
63
Price/Earnings Ratio. The ratio of a stock’s current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company’s future growth.
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
Return on Equity. The annual average rate of return generated by a company during the past five years for each dollar of shareholder’s equity (net income divided by shareholder’s equity). For a fund, the weighted average return on equity for the companies whose stocks it holds.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Turnover Rate. An indication of the fund’s trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors). The turnover rate excludes in-kind transactions, which have minimal impact on costs.
64
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark
of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use
by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification
makes any express or implied warranties or representations with respect to such standard or classification (or the results
to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy,
completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification.
Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in
making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive,
consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
65
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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 208 Vanguard funds.
Information for each trustee and executive officer of the fund appears below. 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.
Interested Trustees1
F. William McNabb III
Born in 1957. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: chairman of the board (January 2010–present) of Vanguard and of each of the investment companies served by Vanguard, trustee (2009–present) of each of the investment companies served by Vanguard, and director (2008–present) of Vanguard. Chief executive officer and president (2008–2017) of Vanguard and each of the investment companies served by Vanguard, managing director (1995–2008) of Vanguard, and director (1997–2018) of Vanguard Marketing Corporation. Director (2018–present) of UnitedHealth Group.
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chief executive officer (January 2018–present) of Vanguard; chief executive officer, president, and trustee (January 2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (February 2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) of the Children’s Hospital of Philadelphia.
Independent Trustees
Emerson U. Fullwood
Born in 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). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. 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 University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.
Amy Gutmann
Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) 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.
1 Mr. McNabb and Mr. Buckley are considered “interested persons,” as defined in the Investment Company Act of 1940, because they are officers of the Vanguard funds.
JoAnn Heffernan Heisen
Born in 1950. Trustee since July 1998. Principal occupation(s) during the past five years and other experience: corporate vice president of Johnson & Johnson (pharmaceuticals/medical devices/consumer products) and member of its executive committee (1997–2008). Chief global diversity officer (retired 2008), vice president and chief information officer (1997–2006), controller (1995–1997), treasurer (1991–1995), and assistant treasurer (1989–1991) of Johnson & Johnson. 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 in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) 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 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 in 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) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.
Scott C. Malpass
Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (1989–present) and vice president (1996–present) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Chairman of the board of TIFF Advisory Services, Inc. Member of the board of Catholic Investment Services, Inc. (investment advisors), the board of advisors for Spruceview Capital Partners, and the board of superintendence of the Institute for the Works of Religion.
Deanna Mulligan
Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: president (2010–present) and chief executive officer (2011–present) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, the Partnership for New York City (business leadership), and the Committee Encouraging Corporate Philanthropy. Trustee of the Economic Club of New York and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.
André F. Perold
Born in 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.
Sarah Bloom Raskin
Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director of i(x) Investments, LLC.
Peter F. Volanakis
Born in 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) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). 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 in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.
Christine M. Buchanan
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard and global head of Fund Administration at Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG LLP (audit, tax, and advisory services).
Brian Dvorak
Born in 1973. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2017–present) of Vanguard and each of the investment companies served by Vanguard. Assistant vice president (2017–present) of Vanguard Marketing Corporation. Vice president and director of Enterprise Risk Management (2011–2013) at Oppenheimer Funds, Inc.
Thomas J. Higgins
Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2008–present) and treasurer (1998–2008) of each of the investment companies served by Vanguard.
Peter Mahoney
Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.
Anne E. Robinson
Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Director and senior vice president (2016–2018) of Vanguard Marketing Corporation. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.
Michael Rollings
Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.
| |
| Vanguard Senior Management Team |
| |
| Mortimer J. Buckley | James M. Norris |
| Gregory Davis | Thomas M. Rampulla |
| John James | Karin A. Risi |
| Martha G. King | Anne E. Robinson |
| John T. Marcante | Michael Rollings |
| 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 |
|  |
| | P.O. Box 2600 |
| | Valley Forge, PA 19482-2600 |
| |
| |
| |
| Connect with Vanguard® > vanguard.com |
| |
| |
| |
| Fund Information > 800-662-7447 | Source for Bloomberg Barclays indexes: Bloomberg |
| Direct Investor Account Services > 800-662-2739 | Index Services Limited. Copyright 2018, Bloomberg. All |
| | rights reserved. |
| Institutional Investor Services > 800-523-1036 | |
| | The index is a product of S&P Dow Jones Indices LLC |
| Text Telephone for People | (“SPDJI”), and has been licensed for use by Vanguard. |
| Who Are Deaf or Hard of Hearing > 800-749-7273 | Standard & Poor’s® and S&P® are registered |
| This material may be used in conjunction | trademarks of Standard & Poor’s Financial Services LLC |
| | (“S&P”); Dow Jones® is a registered trademark of Dow |
| with the offering of shares of any Vanguard | Jones Trademark Holdings LLC (“Dow Jones”); S&P® |
| fund only if preceded or accompanied by | and S&P 500® are trademarks of S&P; and these |
| the fund’s current prospectus. | trademarks have been licensed for use by SPDJI and |
| | sublicensed for certain purposes by Vanguard. |
| All comparative mutual fund data are from Lipper, a | Vanguard product(s) are not sponsored, endorsed, sold |
| Thomson Reuters Company, or Morningstar, Inc., unless | or promoted by SPDJI, Dow Jones, S&P, or their |
| otherwise noted. | respective affiliates and none of such parties make any |
| You can obtain a free copy of Vanguard’s proxy voting | representation regarding the advisability of investing in |
| guidelines by visiting vanguard.com/proxyreporting or by | such product(s) nor do they have any liability for any |
| calling Vanguard at 800-662-2739. The guidelines are | errors, omissions, or interruptions of the index. |
| 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. | |
| | © 2018 The Vanguard Group, Inc. |
| | All rights reserved. |
| | Vanguard Marketing Corporation, Distributor. |
| |
| | Q18422 042018 |
Semiannual Report | February 28, 2018
Vanguard S&P 500 Value and Growth
Index Funds
Vanguard S&P 500 Value Index Fund
Vanguard S&P 500 Growth Index Fund
Vanguard’s Principles for Investing Success
We want to give you the best chance of investment success. These principles, grounded in Vanguard’s research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds. Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
| |
| Contents | |
| Your Fund’s Performance at a Glance. | 1 |
| CEO’s Perspective. | 3 |
| Results of Proxy Voting. | 6 |
| S&P 500 Value Index Fund. | 8 |
| S&P 500 Growth Index Fund. | 27 |
| About Your Fund’s Expenses. | 43 |
| Glossary. | 45 |
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: Nautical images have been part of Vanguard’s rich heritage since its start in 1975. For an
incoming ship, a lighthouse offers a beacon and safe path to shore. You can similarly depend on Vanguard to put
you first––and light the way––as you strive to meet your financial goals. Our client focus and low costs,
stemming from our unique ownership structure, assure that your interests are paramount.
Your Fund’s Performance at a Glance
• Large-capitalization growth stocks generally outperformed their value counterparts over the six months ended February 28, 2018. Vanguard S&P Growth Index Fund returned more than 13% and Vanguard S&P 500 Value Index Fund returned about 8%.
• Both funds closely tracked their target indexes. The Growth Index Fund’s result slightly edged the average return of its peers, while the Value Index Fund trailed its peer-group average.
• The broad stock market recorded robust returns for most of the period as corporate earnings improved. Stocks retreated in February as inflation concerns increased.
• Information technology stocks contributed most to the Growth Index Fund’s returns.
Real estate stocks were the most notable detractor.
• Financials added the most to the Value Index Fund’s results. Utilities and real estate detracted the most.
| |
| Total Returns: Six Months Ended February 28, 2018 | |
| | Total |
| | Returns |
| Vanguard S&P 500 Value Index Fund | |
| ETF Shares | |
| Market Price | 8.11% |
| Net Asset Value | 8.04 |
| Institutional Shares | 8.08 |
| S&P 500 Value Index | 8.10 |
| Large-Cap Value Funds Average | 8.92 |
| 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 | 13.44% |
| Net Asset Value | 13.37 |
| S&P 500 Growth Index | 13.45 |
| Large-Cap Growth Funds Average | 13.29 |
| 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% | 1.04% |
| S&P 500 Growth Index Fund | 0.15 | — | 1.10 |
The fund expense ratios shown are from the prospectus dated December 22, 2017, and represent estimated costs for the current fiscal
year. For the six months ended February 28, 2018, the funds’ annualized expense ratios were: for the S&P 500 Value Index Fund, 0.15% for
ETF Shares and 0.08% for Institutional Shares; and for the S&P 500 Growth Index Fund, 0.15%. Peer-group expense ratios are derived
from data provided by Lipper, a Thomson Reuters Company, and capture information through year-end 2017.
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
CEO’s Perspective
Tim Buckley
President and Chief Executive Officer
Dear Shareholder,
As I begin my tenure as Vanguard’s fourth chief executive, I’ve been reflecting on both the past and the future of the company where I have spent my entire professional career.
I feel extremely fortunate to have the chance to lead a company filled with people who come to work every day passionate about Vanguard’s core purpose: to take a stand for all investors, to treat them fairly, and to give them the best chance for investment success.
Making a real difference
When I joined Vanguard in 1991, I found a mission-driven team focused on improving lives—helping people retire more comfortably, put their children through college, and achieve financial security. I found a company with purpose in an industry ripe for improvement.
It was clear, even early in my career, that the cards were stacked against most investors. Hidden fees, performance-chasing, and poor advice were relentlessly eroding investors’ dreams.
We knew Vanguard could be different and, as a result, could make a real difference. Over the past 25 years, for example, Vanguard has lowered our funds’ asset-weighted average expense ratio
3
from 0.31% to 0.12%. And over the past decade, 94% of our funds have beaten the average annual return of their peers.1
Focused on your success
Vanguard is built for Vanguard investors—as a client-owned company, we focus solely on you, our fund shareholders. Everything we do is designed to give our clients the best chance for investment success. In my role as CEO, I intend to keep this priority front and center. We’re proud of what we’ve achieved, but we’re even more excited about what’s to come.
As I write this, we’ve experienced a period of pronounced market volatility. Strong economic growth and budding signs of inflation have raised concerns about a more aggressive Federal Reserve. Although volatility can test investors’ nerves, we sometimes think of this as “Vanguard weather”—a time when having a disciplined, low-cost, and long-term approach to investment management serves investors well.
| | | |
| Market Barometer | | | |
| | | | Total Returns |
| | | Periods Ended February 28, 2018 |
| | Six | One | Five Years |
| | Months | Year | (Annualized) |
| Stocks | | | |
| Russell 1000 Index (Large-caps) | 10.62% | 16.70% | 14.56% |
| Russell 2000 Index (Small-caps) | 8.30 | 10.51 | 12.19 |
| Russell 3000 Index (Broad U.S. market) | 10.45 | 16.22 | 14.37 |
| FTSE All-World ex US Index (International) | 7.84 | 21.50 | 6.69 |
| |
| Bonds | | | |
| Bloomberg Barclays U.S. Aggregate Bond Index | | | |
| (Broad taxable market) | -2.18% | 0.51% | 1.71% |
| Bloomberg Barclays Municipal Bond Index | | | |
| (Broad tax-exempt market) | -1.24 | 2.50 | 2.57 |
| Citigroup Three-Month U.S. Treasury Bill Index | 0.59 | 0.98 | 0.27 |
| |
| CPI | | | |
| Consumer Price Index | 1.41% | 2.21% | 1.41% |
The performance data shown represent past performance, which is not a guarantee of future results.
1 For the ten-year period through December 31, 2017, 9 of 9 Vanguard money market funds, 56 of 60 bond funds, 21 of 22 balanced funds,
and 131 of 140 stock funds, or 217 of 231 Vanguard funds, outperformed their peer-group averages. Sources: Vanguard, based on data
from Lipper, a Thomson Reuters Company.
4
Steady, time-tested guidance
Our guidance for investors, as always, is to stay the course, tune out the hyperbolic headlines, and focus on your goals and what you can control, such as costs and how much you save. This time-tested advice has served our clients well over the decades.
Regardless of how the markets perform in the short term, I’m incredibly optimistic about the future for our investors. We have a dedicated team serving you, and we will never stop striving to make Vanguard the best place for you to invest through our high-quality funds and services, advice
and guidance to help you meet your financial goals, and an experience that makes you feel good about entrusting us with your hard-earned savings.
Thank you for your continued loyalty.
Sincerely,
Mortimer J. Buckley
President and Chief Executive Officer
March 19, 2018
5
Results of Proxy Voting
At a special meeting of shareholders on November 15, 2017, fund shareholders approved the following proposals:
Proposal 1—Elect trustees for the fund.*
The individuals listed in the table below were elected as trustees for the fund. All trustees with the exception of Ms. Mulligan, Ms. Raskin, and Mr. Buckley (each of whom already serves as a director of The Vanguard Group, Inc.) served as trustees to the funds prior to the shareholder meeting.
| | | |
| | | | Percentage |
| Trustee | For | Withheld | For |
| Mortimer J. Buckley | 9,281,319,082 | 271,149,701 | 97.2% |
| Emerson U. Fullwood | 9,233,627,321 | 318,841,462 | 96.7% |
| Amy Gutmann | 9,180,258,885 | 372,209,899 | 96.1% |
| JoAnn Heffernan Heisen | 9,203,859,497 | 348,609,287 | 96.4% |
| F. Joseph Loughrey | 9,266,102,164 | 286,366,620 | 97.0% |
| Mark Loughridge | 9,194,614,438 | 357,854,345 | 96.3% |
| Scott C. Malpass | 9,160,256,693 | 392,212,090 | 95.9% |
| F. William McNabb III | 9,281,230,095 | 271,238,689 | 97.2% |
| Deanna Mulligan | 9,181,747,156 | 370,721,628 | 96.1% |
| André F. Perold | 9,107,402,388 | 445,066,396 | 95.3% |
| Sarah Bloom Raskin | 9,115,014,439 | 437,454,345 | 95.4% |
| Peter F. Volanakis | 9,200,130,944 | 352,337,840 | 96.3% |
| * Results are for all funds within the same trust. |
Proposal 2—Approve a manager-of-managers arrangement with third-party investment advisors.
This arrangement enables the fund to enter into and materially amend investment advisory arrangements with third-party investment advisors, subject to the approval of the fund’s board of trustees and certain conditions imposed by the Securities and Exchange Commission, while avoiding the costs and delays associated with obtaining future shareholder approval.
| | | | | |
| | | | | Broker | Percentage |
| Vanguard Fund | For | Abstain | Against | Non-Votes | For |
| S&P 500 Growth Index Fund | 5,957,218 | 193,111 | 208,151 | 2,256,379 | 69.2% |
| S&P 500 Value Index Fund | 4,036,342 | 78,152 | 59,346 | 897,545 | 79.6% |
6
Proposal 3—Approve a manager-of-managers arrangement with wholly owned subsidiaries of Vanguard.
This arrangement enables Vanguard or the fund to enter into and materially amend investment advisory arrangements with wholly owned subsidiaries of Vanguard, subject to the approval of the fund’s board of trustees and any conditions imposed by the Securities and Exchange Commission (SEC), while avoiding the costs and delays associated with obtaining future shareholder approval. The ability of the fund to operate in this manner is contingent upon the SEC’s approval of a pending application for an order of exemption.
| | | | | |
| | | | | Broker | Percentage |
| Vanguard Fund | For | Abstain | Against | Non-Votes | For |
| S&P 500 Growth Index Fund | 5,978,758 | 187,698 | 192,024 | 2,256,379 | 69.4% |
| S&P 500 Value Index Fund | 4,030,728 | 80,259 | 62,853 | 897,545 | 79.5% |
7
S&P 500 Value Index Fund
Fund Profile
As of February 28, 2018
| | |
| Share-Class Characteristics | | |
| | ETF | Institutional |
| | Shares | Shares |
| Ticker Symbol | VOOV | VSPVX |
| Expense Ratio1 | 0.15% | 0.08% |
| 30-Day SEC Yield | 2.36% | 2.43% |
| | | |
| Portfolio Characteristics | | |
| | | | DJ |
| | | S&P 500 | U.S. Total |
| | | Value | Market |
| | Fund | Index | FA Index |
| Number of Stocks | 393 | 392 | 3,746 |
| Median Market Cap | $74.6B | $74.6B | $68.2B |
| Price/Earnings Ratio | 16.9x | 16.9x | 21.7x |
| Price/Book Ratio | 2.1x | 2.1x | 3.0x |
| Return on Equity | 12.6% | 12.6% | 15.0% |
| Earnings Growth | | | |
| Rate | 5.7% | 5.7% | 8.5% |
| Dividend Yield | 2.4% | 2.4% | 1.7% |
| Foreign Holdings | 0.1% | 0.0% | 0.0% |
| Turnover Rate | | | |
| (Annualized) | 20% | — | — |
| Short-Term Reserves | -0.1% | — | — |
| | |
| Volatility Measures | | |
| | | DJ |
| | S&P 500 | U.S. Total |
| | Value | Market |
| | Index | FA Index |
| R-Squared | 1.00 | 0.91 |
| Beta | 1.00 | 0.97 |
| 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) |
| JPMorgan Chase & Co. | Diversified Banks | 3.7% |
| Berkshire Hathaway Inc. Multi-Sector | |
| | Holdings | 3.6 |
| Exxon Mobil Corp. | Integrated Oil & Gas | 2.9 |
| Wells Fargo & Co. | Diversified Banks | 2.4 |
| AT&T Inc. | Integrated | |
| | Telecommunication | |
| | Services | 2.0 |
| Chevron Corp. | Integrated Oil & Gas | 1.9 |
| Citigroup Inc. | Diversified Banks | 1.8 |
| Verizon Communications Integrated | |
| Inc. | Telecommunication | |
| | Services | 1.8 |
| DowDuPont Inc. | Diversified | |
| | Chemicals | 1.5 |
| Bank of America Corp. | Diversified Banks | 1.5 |
| Top Ten | | 23.1% |
| The holdings listed exclude any temporary cash investments and |
| equity index products. |
Investment Focus
1 The expense ratios shown are from the prospectus dated December 22, 2017, and represent estimated costs for the current fiscal year.
For the six months ended February 28, 2018, the annualized expense ratios were 0.15% for ETF Shares and 0.08% for Institutional Shares.
8
S&P 500 Value Index Fund
| | | |
| Sector Diversification (% of equity exposure) |
| | | | DJ |
| | | S&P 500 | U.S. Total |
| | | Value | Market |
| | Fund | Index | FA Index |
| Consumer Discretionary | 8.9% | 8.9% | 13.0% |
| Consumer Staples | 10.7 | 10.7 | 6.8 |
| Energy | 11.4 | 11.4 | 5.2 |
| Financials | 25.8 | 25.6 | 15.4 |
| Health Care | 10.3 | 10.3 | 13.4 |
| Industrials | 9.9 | 9.9 | 10.8 |
| Information Technology | 7.2 | 7.2 | 24.2 |
| Materials | 4.4 | 4.4 | 3.3 |
| Real Estate | 2.5 | 2.7 | 3.5 |
| Telecommunication | | | |
| Services | 4.0 | 4.0 | 1.7 |
| Utilities | 4.9 | 4.9 | 2.7 |
Sector categories are based on the Global Industry Classification
Standard (“GICS”), except for the “Other” category (if applicable),
which includes securities that have not been provided a GICS
classification as of the effective reporting period.
9
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, 2018
Note: For 2018, performance data reflect the six months ended February 28, 2018.
Average Annual Total Returns: Periods Ended December 31, 2017
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 | | 15.29% | 14.09% | 13.88% |
| Net Asset Value | | 15.22 | 14.07 | 13.85 |
| Institutional Shares | 3/3/2015 | 15.29 | — | 9.68 |
See Financial Highlights for dividend and capital gains information.
10
S&P 500 Value Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 28, 2018
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| Common Stocks (99.5%)1 | | |
| Consumer Discretionary (8.8%) | |
| | Comcast Corp. Class A | 181,353 | 6,567 |
| | Walt Disney Co. | 62,246 | 6,421 |
| | Time Warner Inc. | 60,545 | 5,628 |
| | General Motors Co. | 99,406 | 3,912 |
| | Ford Motor Co. | 303,369 | 3,219 |
| | Target Corp. | 42,267 | 3,187 |
| | Twenty-First Century Fox | | |
| | Inc. Class A | 81,975 | 3,018 |
| | Starbucks Corp. | 39,830 | 2,274 |
| | NIKE Inc. Class B | 33,717 | 2,260 |
| | TJX Cos. Inc. | 27,211 | 2,250 |
| | Lowe’s Cos. Inc. | 20,723 | 1,857 |
| | Best Buy Co. Inc. | 19,776 | 1,433 |
| | Omnicom Group Inc. | 17,926 | 1,366 |
| | Twenty-First Century Fox | | |
| | Inc. | 34,138 | 1,243 |
| | Yum! Brands Inc. | 14,414 | 1,173 |
| | Carnival Corp. | 17,442 | 1,167 |
| | Genuine Parts Co. | 11,401 | 1,047 |
| | Dollar General Corp. | 10,537 | 997 |
| | Newell Brands Inc. | 38,110 | 979 |
| | L Brands Inc. | 19,203 | 947 |
| | Viacom Inc. Class B | 27,438 | 915 |
| | Whirlpool Corp. | 5,588 | 908 |
| | PVH Corp. | 6,022 | 869 |
| | Kohl’s Corp. | 13,107 | 866 |
| | CBS Corp. Class B | 15,511 | 822 |
| * | AutoZone Inc. | 1,219 | 810 |
| | Ross Stores Inc. | 10,200 | 797 |
| | Hilton Worldwide Holdings | | |
| | Inc. | 9,436 | 762 |
| | MGM Resorts International | 22,196 | 760 |
| * | O’Reilly Automotive Inc. | 3,041 | 743 |
| * | DISH Network Corp. | | |
| | Class A | 17,729 | 739 |
| | VF Corp. | 9,691 | 723 |
| | | |
| | Interpublic Group of | | |
| | Cos. Inc. | 30,230 | 707 |
| | Macy’s Inc. | 23,695 | 697 |
| | Tapestry Inc. | 13,480 | 686 |
| | Advance Auto Parts Inc. | 5,742 | 656 |
| | News Corp. Class A | 39,022 | 629 |
| | Harley-Davidson Inc. | 13,091 | 594 |
| | Royal Caribbean Cruises | | |
| | Ltd. | 4,526 | 573 |
| | Goodyear Tire & Rubber | | |
| | Co. | 19,168 | 555 |
| | Gap Inc. | 16,939 | 535 |
| | Lennar Corp. Class A | 8,367 | 473 |
| | Nordstrom Inc. | 9,069 | 465 |
| | Tiffany & Co. | 4,604 | 465 |
| | Ralph Lauren Corp. Class A | 4,306 | 456 |
| | Leggett & Platt Inc. | 10,259 | 446 |
| | Foot Locker Inc. | 9,651 | 443 |
| * | CarMax Inc. | 7,092 | 439 |
| * | Mohawk Industries Inc. | 1,721 | 413 |
| | Expedia Inc. | 3,917 | 412 |
| * | LKQ Corp. | 10,084 | 398 |
| | Hasbro Inc. | 4,059 | 388 |
| * | Chipotle Mexican Grill Inc. | | |
| | Class A | 1,179 | 375 |
| | Tractor Supply Co. | 5,757 | 374 |
| * | Discovery Communications | | |
| | Inc. | 15,878 | 365 |
| | Darden Restaurants Inc. | 3,844 | 354 |
| | Hanesbrands Inc. | 16,457 | 319 |
| | Mattel Inc. | 19,491 | 310 |
| * | Discovery Communications | | |
| | Inc. Class A | 11,922 | 290 |
| * | Ulta Beauty Inc. | 1,408 | 286 |
| | Garmin Ltd. | 4,308 | 255 |
| | BorgWarner Inc. | 5,081 | 249 |
| * | Under Armour Inc. Class A | 14,347 | 238 |
| | Signet Jewelers Ltd. | 4,704 | 237 |
| * | Under Armour Inc. | 14,408 | 217 |
11
S&P 500 Value Index Fund
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| * | TripAdvisor Inc. | 5,314 | 213 |
| | Scripps Networks | | |
| | Interactive Inc. Class A | 2,088 | 188 |
| | H&R Block Inc. | 5,844 | 148 |
| | Lennar Corp. Class B | 364 | 17 |
| | News Corp. Class B | 371 | 6 |
| | | | 75,530 |
| Consumer Staples (10.7%) | | |
| | Walmart Inc. | 113,823 | 10,245 |
| | Procter & Gamble Co. | 124,834 | 9,802 |
| | Coca-Cola Co. | 164,009 | 7,088 |
| | Costco Wholesale Corp. | 33,981 | 6,487 |
| | Philip Morris International | | |
| | Inc. | 60,389 | 6,253 |
| | PepsiCo Inc. | 56,402 | 6,189 |
| | CVS Health Corp. | 78,771 | 5,335 |
| | Mondelez International Inc. | | |
| | Class A | 116,208 | 5,102 |
| | Walgreens Boots Alliance | | |
| | Inc. | 67,513 | 4,651 |
| | Altria Group Inc. | 65,290 | 4,110 |
| | Kraft Heinz Co. | 46,430 | 3,113 |
| | Colgate-Palmolive Co. | 36,193 | 2,496 |
| | Sysco Corp. | 37,276 | 2,224 |
| | Kroger Co. | 69,168 | 1,876 |
| | Archer-Daniels-Midland Co. | 43,488 | 1,806 |
| | Tyson Foods Inc. Class A | 23,142 | 1,721 |
| | Kimberly-Clark Corp. | 15,318 | 1,699 |
| | General Mills Inc. | 28,726 | 1,452 |
| | Conagra Brands Inc. | 31,765 | 1,148 |
| | JM Smucker Co. | 8,832 | 1,116 |
| | Molson Coors Brewing Co. | | |
| | Class B | 14,366 | 1,095 |
| | Dr Pepper Snapple Group | | |
| | Inc. | 7,303 | 849 |
| | Kellogg Co. | 12,383 | 820 |
| | Coty Inc. Class A | 36,720 | 709 |
| | Hormel Foods Corp. | 20,943 | 680 |
| | Campbell Soup Co. | 14,965 | 644 |
| | Clorox Co. | 4,313 | 557 |
| | McCormick & Co. Inc. | 4,744 | 507 |
| | Hershey Co. | 5,041 | 495 |
| | Church & Dwight Co. Inc. | 9,125 | 449 |
| | Brown-Forman Corp. | | |
| | Class B | 5,019 | 350 |
| | | | 91,068 |
| Energy (11.3%) | | |
| | Exxon Mobil Corp. | 329,500 | 24,956 |
| | Chevron Corp. | 147,700 | 16,531 |
| | Schlumberger Ltd. | 107,722 | 7,071 |
| | ConocoPhillips | 92,966 | 5,049 |
| | Occidental Petroleum Corp. | 59,508 | 3,904 |
| | Halliburton Co. | 67,851 | 3,150 |
| | Valero Energy Corp. | 34,027 | 3,077 |
| | | |
| | EOG Resources Inc. | 29,227 | 2,964 |
| | Phillips 66 | 32,613 | 2,947 |
| | Marathon Petroleum Corp. | 37,980 | 2,433 |
| | Anadarko Petroleum Corp. | 42,548 | 2,427 |
| | Kinder Morgan Inc. | 149,348 | 2,419 |
| | Pioneer Natural Resources | | |
| | Co. | 13,232 | 2,252 |
| | ONEOK Inc. | 31,935 | 1,799 |
| | Williams Cos. Inc. | 64,290 | 1,785 |
| * | Concho Resources Inc. | 11,564 | 1,744 |
| | Devon Energy Corp. | 40,863 | 1,253 |
| | Noble Energy Inc. | 37,838 | 1,129 |
| | National Oilwell Varco Inc. | 29,552 | 1,037 |
| | Apache Corp. | 29,621 | 1,012 |
| | Andeavor | 11,161 | 1,000 |
| | TechnipFMC plc | 34,094 | 983 |
| | Marathon Oil Corp. | 66,068 | 959 |
| | EQT Corp. | 19,042 | 958 |
| | Baker Hughes a GE Co. | 33,297 | 879 |
| | Hess Corp. | 14,498 | 658 |
| | Helmerich & Payne Inc. | 8,447 | 545 |
| | Cimarex Energy Co. | 5,032 | 484 |
| | Cabot Oil & Gas Corp. | 19,414 | 469 |
| * | Newfield Exploration Co. | 15,474 | 361 |
| | Range Resources Corp. | 17,538 | 233 |
| * | Chesapeake Energy Corp. | 70,586 | 199 |
| | | | 96,667 |
| Financials (25.7%) | | |
| | JPMorgan Chase & Co. | 269,814 | 31,164 |
| * | Berkshire Hathaway Inc. | | |
| | Class B | 149,646 | 31,007 |
| | Wells Fargo & Co. | 344,628 | 20,130 |
| | Citigroup Inc. | 205,603 | 15,521 |
| | Bank of America Corp. | 392,250 | 12,591 |
| | Goldman Sachs Group Inc. | 27,278 | 7,172 |
| | US Bancorp | 122,596 | 6,664 |
| | Morgan Stanley | 108,249 | 6,064 |
| | PNC Financial Services | | |
| | Group Inc. | 37,000 | 5,834 |
| | Chubb Ltd. | 36,100 | 5,123 |
| | Bank of New York Mellon | | |
| | Corp. | 79,630 | 4,541 |
| | American International | | |
| | Group Inc. | 69,905 | 4,008 |
| | MetLife Inc. | 81,828 | 3,780 |
| | Capital One Financial Corp. | 37,693 | 3,691 |
| | Prudential Financial Inc. | 32,970 | 3,505 |
| | BB&T Corp. | 61,348 | 3,334 |
| | State Street Corp. | 28,837 | 3,061 |
| | Travelers Cos. Inc. | 21,283 | 2,958 |
| | Aflac Inc. | 30,573 | 2,717 |
| | SunTrust Banks Inc. | 37,016 | 2,585 |
| | Discover Financial Services | 28,254 | 2,227 |
| | M&T Bank Corp. | 11,704 | 2,222 |
12
S&P 500 Value Index Fund
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | American Express Co. | 22,409 | 2,185 |
| | BlackRock Inc. | 3,938 | 2,164 |
| | Synchrony Financial | 57,200 | 2,082 |
| | Fifth Third Bancorp | 54,865 | 1,813 |
| | KeyCorp | 83,621 | 1,767 |
| | Regions Financial Corp. | 90,197 | 1,751 |
| | Citizens Financial Group | | |
| | Inc. | 38,255 | 1,664 |
| | Hartford Financial Services | | |
| | Group Inc. | 27,740 | 1,466 |
| | CME Group Inc. | 8,733 | 1,451 |
| | Marsh & McLennan | | |
| | Cos. Inc. | 17,067 | 1,417 |
| | Allstate Corp. | 14,789 | 1,365 |
| | Huntington Bancshares Inc. | 84,046 | 1,320 |
| | Lincoln National Corp. | 17,015 | 1,296 |
| | Aon plc | 7,968 | 1,118 |
| | Loews Corp. | 21,465 | 1,059 |
| | Invesco Ltd. | 31,651 | 1,030 |
| | Franklin Resources Inc. | 25,410 | 983 |
| | Willis Towers Watson plc | 5,956 | 941 |
| | AvalonBay Communities | | |
| | Inc. | 6,013 | 938 |
| | Unum Group | 17,452 | 889 |
| | Cincinnati Financial Corp. | 11,611 | 866 |
| | Zions Bancorporation | 15,536 | 854 |
| | XL Group Ltd. | 19,910 | 842 |
| | Northern Trust Corp. | 7,677 | 813 |
| | Everest Re Group Ltd. | 3,194 | 767 |
| | Principal Financial Group | | |
| | Inc. | 11,280 | 703 |
| | Comerica Inc. | 6,624 | 644 |
| | Leucadia National Corp. | 24,392 | 585 |
| | Ameriprise Financial Inc. | 3,564 | 558 |
| | People’s United Financial | | |
| | Inc. | 26,924 | 515 |
| | Kimco Realty Corp. | 33,066 | 495 |
| | Raymond James Financial | | |
| | Inc. | 5,197 | 482 |
| | Arthur J Gallagher & Co. | 6,881 | 476 |
| | Affiliated Managers Group | | |
| | Inc. | 2,377 | 450 |
| | Torchmark Corp. | 4,840 | 413 |
| * | Brighthouse Financial Inc. | 7,449 | 404 |
| | Nasdaq Inc. | 4,708 | 380 |
| | Assurant Inc. | 4,179 | 357 |
| | Navient Corp. | 20,469 | 265 |
| | | | 219,467 |
| Health Care (10.2%) | | |
| | Johnson & Johnson | 96,098 | 12,481 |
| | Pfizer Inc. | 250,296 | 9,088 |
| | Merck & Co. Inc. | 133,995 | 7,265 |
| | Medtronic plc | 59,997 | 4,793 |
| | Danaher Corp. | 47,602 | 4,655 |
| | | |
| | Amgen Inc. | 23,143 | 4,253 |
| | Allergan plc | 25,862 | 3,989 |
| * | Express Scripts Holding | | |
| | Co. | 44,042 | 3,323 |
| | Bristol-Myers Squibb Co. | 47,090 | 3,117 |
| | Humana Inc. | 11,109 | 3,020 |
| | Gilead Sciences Inc. | 35,551 | 2,799 |
| | McKesson Corp. | 16,211 | 2,419 |
| | Eli Lilly & Co. | 29,382 | 2,263 |
| | Aetna Inc. | 12,679 | 2,245 |
| | Anthem Inc. | 9,384 | 2,209 |
| | Thermo Fisher Scientific | | |
| | Inc. | 8,731 | 1,821 |
| | Cardinal Health Inc. | 24,463 | 1,693 |
| * | Mylan NV | 41,701 | 1,681 |
| * | Biogen Inc. | 5,097 | 1,473 |
| | AmerisourceBergen Corp. | | |
| | Class A | 12,549 | 1,194 |
| | Baxter International Inc. | 17,152 | 1,163 |
| | Quest Diagnostics Inc. | 10,599 | 1,092 |
| | HCA Healthcare Inc. | 10,132 | 1,006 |
| | Dentsply Sirona Inc. | 17,860 | 1,001 |
| * | Alexion Pharmaceuticals | | |
| | Inc. | 8,341 | 980 |
| * | DaVita Inc. | 11,775 | 848 |
| * | Henry Schein Inc. | 12,205 | 808 |
| | Zimmer Biomet Holdings | | |
| | Inc. | 6,928 | 805 |
| | Universal Health Services | | |
| | Inc. Class B | 6,814 | 778 |
| * | Laboratory Corp. of | | |
| | America Holdings | 3,325 | 574 |
| | Perrigo Co. plc | 6,522 | 531 |
| * | IQVIA Holdings Inc. | 4,760 | 468 |
| * | Varian Medical Systems | | |
| | Inc. | 3,351 | 400 |
| * | Envision Healthcare Corp. | 9,397 | 362 |
| | PerkinElmer Inc. | 3,255 | 249 |
| | Patterson Cos. Inc. | 6,407 | 202 |
| | | | 87,048 |
| Industrials (9.9%) | | |
| | General Electric Co. | 674,352 | 9,515 |
| | United Technologies Corp. | 57,746 | 7,781 |
| | Union Pacific Corp. | 29,381 | 3,827 |
| | Honeywell International | | |
| | Inc. | 24,287 | 3,670 |
| | Caterpillar Inc. | 22,206 | 3,434 |
| | United Parcel Service Inc. | | |
| | Class B | 27,248 | 2,845 |
| | Eaton Corp. plc | 34,261 | 2,765 |
| | Delta Air Lines Inc. | 51,007 | 2,749 |
| | Johnson Controls | | |
| | International plc | 71,962 | 2,653 |
| | Lockheed Martin Corp. | 7,369 | 2,597 |
13
S&P 500 Value Index Fund
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | General Dynamics Corp. | 10,793 | 2,401 |
| | Emerson Electric Co. | 29,444 | 2,092 |
| | Cummins Inc. | 12,131 | 2,040 |
| | FedEx Corp. | 8,249 | 2,033 |
| | PACCAR Inc. | 27,341 | 1,957 |
| | Raytheon Co. | 8,762 | 1,906 |
| | Deere & Co. | 11,193 | 1,801 |
| | Norfolk Southern Corp. | 12,238 | 1,702 |
| | Northrop Grumman Corp. | 4,329 | 1,515 |
| * | IHS Markit Ltd. | 28,250 | 1,329 |
| * | United Continental | | |
| | Holdings Inc. | 19,581 | 1,327 |
| | L3 Technologies Inc. | 6,072 | 1,260 |
| | Textron Inc. | 20,480 | 1,226 |
| | WW Grainger Inc. | 4,032 | 1,055 |
| | CH Robinson Worldwide | | |
| | Inc. | 10,842 | 1,012 |
| | Ingersoll-Rand plc | 11,269 | 1,001 |
| | Pentair plc | 12,842 | 882 |
| | Nielsen Holdings plc | 26,035 | 850 |
| | American Airlines Group | | |
| | Inc. | 15,239 | 827 |
| | Parker-Hannifin Corp. | 4,557 | 813 |
| | Southwest Airlines Co. | 14,013 | 810 |
| | Arconic Inc. | 32,936 | 803 |
| | Snap-on Inc. | 4,429 | 705 |
| | Stanley Black & Decker Inc. | 4,056 | 646 |
| | Republic Services Inc. | | |
| | Class A | 9,538 | 641 |
| | Fortive Corp. | 8,090 | 621 |
| | Fluor Corp. | 10,874 | 619 |
| | Alaska Air Group Inc. | 9,560 | 617 |
| | Jacobs Engineering Group | | |
| | Inc. | 9,353 | 571 |
| | Rockwell Automation Inc. | 3,099 | 560 |
| | Fastenal Co. | 9,824 | 538 |
| | Harris Corp. | 3,425 | 535 |
| | Dover Corp. | 5,325 | 533 |
| | Acuity Brands Inc. | 3,277 | 467 |
| * | Verisk Analytics Inc. | | |
| | Class A | 4,355 | 445 |
| | Kansas City Southern | 4,269 | 440 |
| | Equifax Inc. | 3,825 | 432 |
| | Flowserve Corp. | 10,164 | 430 |
| * | Stericycle Inc. | 6,638 | 416 |
| * | Quanta Services Inc. | 12,023 | 414 |
| | Expeditors International of | | |
| | Washington Inc. | 6,217 | 404 |
| | Masco Corp. | 8,310 | 342 |
| | JB Hunt Transport Services | | |
| | Inc. | 2,860 | 339 |
| | Xylem Inc. | 4,324 | 322 |
| | Huntington Ingalls | | |
| | Industries Inc. | 1,168 | 306 |
| | | |
| | Robert Half International | | |
| | Inc. | 3,991 | 228 |
| | Allegion plc | 2,587 | 218 |
| | | | 84,267 |
| Information Technology (7.1%) | |
| | International Business | | |
| | Machines Corp. | 66,951 | 10,433 |
| | Cisco Systems Inc. | 207,586 | 9,296 |
| | Intel Corp. | 156,488 | 7,713 |
| | Oracle Corp. | 116,087 | 5,882 |
| | QUALCOMM Inc. | 74,512 | 4,843 |
| | HP Inc. | 129,879 | 3,038 |
| | Accenture plc Class A | 17,781 | 2,863 |
| | Hewlett Packard Enterprise | | |
| | Co. | 124,025 | 2,306 |
| | Western Digital Corp. | 23,000 | 2,002 |
| | Seagate Technology plc | 22,497 | 1,201 |
| | DXC Technology Co. | 10,648 | 1,092 |
| | Fidelity National | | |
| | Information Services Inc. | 9,866 | 959 |
| | CA Inc. | 24,408 | 857 |
| | TE Connectivity Ltd. | 7,661 | 790 |
| * | Autodesk Inc. | 6,646 | 781 |
| | Juniper Networks Inc. | 29,156 | 748 |
| | Symantec Corp. | 26,532 | 697 |
| | Paychex Inc. | 8,707 | 567 |
| | Xilinx Inc. | 7,603 | 542 |
| * | Akamai Technologies Inc. | 7,899 | 533 |
| | CSRA Inc. | 12,725 | 516 |
| * | Advanced Micro Devices | | |
| | Inc. | 42,122 | 510 |
| | Xerox Corp. | 16,601 | 503 |
| * | Citrix Systems Inc. | 4,900 | 451 |
| | Western Union Co. | 21,764 | 431 |
| | Alliance Data Systems | | |
| | Corp. | 1,459 | 351 |
| * | F5 Networks Inc. | 2,045 | 304 |
| | FLIR Systems Inc. | 3,444 | 169 |
| | | | 60,378 |
| Materials (4.4%) | | |
| | DowDuPont Inc. | 181,963 | 12,792 |
| | LyondellBasell Industries | | |
| | NV Class A | 25,152 | 2,722 |
| | Monsanto Co. | 16,400 | 2,023 |
| * | Freeport-McMoRan Inc. | 104,684 | 1,947 |
| | International Paper Co. | 32,110 | 1,913 |
| | Air Products & Chemicals | | |
| | Inc. | 10,848 | 1,744 |
| | Nucor Corp. | 24,719 | 1,617 |
| | Praxair Inc. | 10,687 | 1,600 |
| | Newmont Mining Corp. | 41,472 | 1,584 |
| | Ecolab Inc. | 10,920 | 1,425 |
| | WestRock Co. | 19,801 | 1,302 |
| | PPG Industries Inc. | 10,290 | 1,157 |
14
S&P 500 Value Index Fund
| | |
| | | Market |
| | | Value• |
| | Shares | ($000) |
| Eastman Chemical Co. | 11,179 | 1,130 |
| Ball Corp. | 27,224 | 1,088 |
| Mosaic Co. | 27,169 | 715 |
| Vulcan Materials Co. | 5,043 | 594 |
| Martin Marietta Materials | | |
| Inc. | 2,787 | 568 |
| CF Industries Holdings Inc. | 10,327 | 426 |
| Sealed Air Corp. | 8,686 | 368 |
| Albemarle Corp. | 3,520 | 354 |
| International Flavors | | |
| & Fragrances Inc. | 2,396 | 338 |
| Packaging Corp. of America | 2,566 | 306 |
| | | 37,713 |
| Real Estate (2.5%) | | |
| Weyerhaeuser Co. | 58,696 | 2,056 |
| Simon Property Group Inc. | 12,327 | 1,892 |
| Equity Residential | 28,576 | 1,607 |
| Welltower Inc. | 28,798 | 1,512 |
| Ventas Inc. | 27,693 | 1,338 |
| Crown Castle International | | |
| Corp. | 10,110 | 1,113 |
| Realty Income Corp. | 21,910 | 1,077 |
| Host Hotels & Resorts Inc. | 57,544 | 1,068 |
| Public Storage | 5,122 | 996 |
| Boston Properties Inc. | 6,715 | 798 |
| HCP Inc. | 36,485 | 790 |
| Mid-America Apartment | | |
| Communities Inc. | 8,838 | 758 |
| SL Green Realty Corp. | 7,235 | 701 |
| Duke Realty Corp. | 27,705 | 686 |
| Regency Centers Corp. | 11,507 | 669 |
| Digital Realty Trust Inc. | 6,385 | 643 |
| GGP Inc. | 29,630 | 627 |
| Essex Property Trust Inc. | 2,465 | 552 |
| Macerich Co. | 8,432 | 497 |
| Alexandria Real Estate | | |
| Equities Inc. | 3,619 | 439 |
| Iron Mountain Inc. | 12,025 | 378 |
| Federal Realty Investment | | |
| Trust | 2,990 | 341 |
| Vornado Realty Trust | 4,687 | 312 |
| Apartment Investment | | |
| & Management Co. | 6,829 | 264 |
| UDR Inc. | 7,070 | 238 |
| | | 21,352 |
| Telecommunication Services (4.0%) | |
| AT&T Inc. | 477,458 | 17,332 |
| Verizon Communications | | |
| Inc. | 317,220 | 15,144 |
| CenturyLink Inc. | 75,643 | 1,337 |
| | | 33,813 |
| | |
| Utilities (4.9%) | | |
| Duke Energy Corp. | 54,428 | 4,101 |
| Southern Co. | 78,045 | 3,361 |
| Exelon Corp. | 74,659 | 2,765 |
| NextEra Energy Inc. | 17,925 | 2,727 |
| American Electric Power | | |
| Co. Inc. | 38,248 | 2,508 |
| Dominion Energy Inc. | 31,027 | 2,298 |
| Sempra Energy | 19,524 | 2,128 |
| Public Service Enterprise | | |
| Group Inc. | 39,350 | 1,906 |
| Consolidated Edison Inc. | 24,110 | 1,806 |
| Xcel Energy Inc. | 39,489 | 1,709 |
| PG&E Corp. | 39,874 | 1,638 |
| Edison International | 25,333 | 1,535 |
| PPL Corp. | 53,122 | 1,522 |
| DTE Energy Co. | 13,949 | 1,406 |
| Eversource Energy | 24,641 | 1,404 |
| Entergy Corp. | 14,016 | 1,063 |
| Ameren Corp. | 18,867 | 1,024 |
| CMS Energy Corp. | 21,930 | 931 |
| CenterPoint Energy Inc. | 33,525 | 907 |
| WEC Energy Group Inc. | 14,238 | 853 |
| Alliant Energy Corp. | 17,963 | 694 |
| Pinnacle West Capital Corp. | 8,687 | 669 |
| FirstEnergy Corp. | 20,486 | 662 |
| NiSource Inc. | 26,189 | 606 |
| AES Corp. | 51,367 | 558 |
| American Water Works | | |
| Co. Inc. | 6,248 | 496 |
| SCANA Corp. | 11,096 | 440 |
| NRG Energy Inc. | 10,749 | 278 |
| | | 41,995 |
| Total Common Stocks | | |
| (Cost $774,073) | | 849,298 |
| Temporary Cash Investments (0.3%)1 | |
| Money Market Fund (0.2%) | | |
| 2 Vanguard Market | | |
| Liquidity Fund, | | |
| 1.601% | 19,999 | 2,000 |
15
S&P 500 Value Index Fund
| | | |
| | | Face | Market |
| | | Amount | Value • |
| | | ($000) | ($000) |
| U. S. Government and Agency Obligations (0.1%) |
| 3 | United States Treasury | | |
| | Bill, 1.391%, 5/3/18 | 200 | 199 |
| 3 | United States Treasury | | |
| | Bill, 1.475%, 6/21/18 | 200 | 199 |
| | | | 398 |
| Total Temporary Cash Investments | |
| (Cost $2,398) | | 2,398 |
| Total Investments (99.8%) | | |
| (Cost $776,471) | | 851,696 |
| |
| | | | Amount |
| | | | ($000) |
| Other Assets and Liabilities (0.2%) | |
| Other Assets | | |
| Investment in Vanguard | | 49 |
| Receivables for Accrued Income | 2,258 |
| Total Other Assets | | 2,307 |
| Liabilities | | |
| Payables for Investment Securities | |
| | Purchased | | (3) |
| Payables to Vanguard | | (176) |
| Variation Margin Payable— | | |
| | Futures Contracts | | (45) |
| Total Liabilities | | (224) |
| Net Assets (100%) | | 853,779 |
| |
| At February 28, 2018, net assets consisted of: |
| | Amount |
| | ($000) |
| Paid-in Capital | 790,534 |
| Undistributed Net Investment Income | 3,262 |
| Accumulated Net Realized Losses | (15,336) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 75,225 |
| Futures Contracts | 94 |
| Net Assets | 853,779 |
| |
| |
| ETF Shares—Net Assets | |
| Applicable to 7,525,000 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 813,845 |
| Net Asset Value Per Share— | |
| ETF Shares | $108.15 |
| |
| |
| Institutional Shares—Net Assets | |
| Applicable to 168,349 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 39,934 |
| Net Asset Value Per Share— | |
| Institutional Shares | $237.21 |
• 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 -0.1%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds
and certain trusts and accounts managed by Vanguard. Rate
shown is the 7-day yield.
3 Securities with a value of $249,000 have been segregated as
initial margin for open futures contracts.
16
S&P 500 Value Index Fund
| | | | |
| Derivative Financial Instruments Outstanding as of Period End | | |
| Futures Contracts | | | | |
| | | | ($000) |
| | | | | Value and |
| | | Number of | | Unrealized |
| | | Long (Short) | Notional | Appreciation |
| | Expiration | Contracts | Amount | (Depreciation) |
| Long Futures Contracts | | | | |
| E-mini S&P 500 Index | March 2018 | 27 | 3,664 | 94 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized
gain (loss) for tax purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
17
S&P 500 Value Index Fund
Statement of Operations
| |
| | Six Months Ended |
| | February28,2018 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 9,943 |
| Interest1 | 22 |
| Total Income | 9,965 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 103 |
| Management and Administrative—ETF Shares | 443 |
| Management and Administrative—Institutional Shares | 10 |
| Marketing and Distribution—ETF Shares | 25 |
| Marketing and Distribution—Institutional Shares | — |
| Custodian Fees | 16 |
| Shareholders’ Reports and Proxy—ETF Shares | 27 |
| Shareholders’ Reports and Proxy—Institutional Shares | — |
| Total Expenses | 624 |
| Net Investment Income | 9,341 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1 | 42,901 |
| Futures Contracts | 253 |
| Realized Net Gain (Loss) | 43,154 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | 10,846 |
| Futures Contracts | 97 |
| Change in Unrealized Appreciation (Depreciation)1 | 10,943 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 63,438 |
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund
were $20,000, $1,000, and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
18
S&P 500 Value Index Fund
Statement of Changes in Net Assets
| | |
| | Six Months Ended | Year Ended |
| | February 28, | August 31, |
| | 2018 | 2017 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 9,341 | 15,972 |
| Realized Net Gain (Loss) | 43,154 | 26,418 |
| Change in Unrealized Appreciation (Depreciation) | 10,943 | 24,609 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 63,438 | 66,999 |
| Distributions | | |
| Net Investment Income | | |
| ETF Shares | (9,862) | (14,252) |
| Institutional Shares | (275) | (117) |
| Realized Capital Gain | | |
| ETF Shares | — | — |
| Institutional Shares | — | — |
| Return of Capital | | |
| Total Distributions | (10,137) | (14,369) |
| Capital Share Transactions | | |
| ETF Shares | (5,197) | 227,736 |
| Institutional Shares | 34,410 | (3,373) |
| Net Increase (Decrease) from Capital Share Transactions | 29,213 | 224,363 |
| Total Increase (Decrease) | 82,514 | 276,993 |
| Net Assets | | |
| Beginning of Period | 771,265 | 494,272 |
| End of Period1 | 853,779 | 771,265 |
| 1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $3,262,000 and $4,058,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
19
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 | | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $101.33 | $92.41 | $83.75 | $88.54 | $73.72 | $61.42 |
| Investment Operations | | | | | | | |
| Net Investment Income | | 1.1731 | 2.4221 | 2.125 | 1.932 | 1.702 | 1.584 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | | 6.945 | 8.726 | 8.605 | (4.838) | 14.824 | 12.242 |
| Total from Investment Operations | 8.118 | 11.148 | 10.730 | (2.906) | 16.526 | 13.826 |
| Distributions | | | | | | | |
| Dividends from Net Investment Income | (1.298) | (2.228) | (2.070) | (1.884) | (1.706) | (1.526) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | | (1.298) | (2.228) | (2.070) | (1.884) | (1.706) | (1.526) |
| Net Asset Value, End of Period | | $108.15 | $101.33 | $92.41 | $83.75 | $88.54 | $73.72 |
| |
| Total Return | | 8.04% | 12.19% | 13.03% | -3.41% | 22.64% | 22.79% |
| |
| Ratios/Supplemental Data | | | | | | | |
| Net Assets, End of Period (Millions) | $814 | $768 | $487 | $274 | $204 | $118 |
| Ratio of Total Expenses to | | | | | | | |
| Average Net Assets | | 0.15% | 0.15% | 0.15% | 0.15% | 0.15% | 0.15% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | | 2.19% | 2.46% | 2.64% | 2.37% | 2.31% | 2.45% |
| Portfolio Turnover Rate2 | | 20% | 16% | 22% | 23% | 25% | 25% |
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 500 Value Index Fund
Financial Highlights
| | | | |
| Institutional Shares | | | | |
| | Six Months | | | March 3, |
| | Ended | Year Ended | 20151 to |
| | February 28, | August 31, | Aug. 31, |
| For a Share Outstanding Throughout Each Period | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $222.23 | $202.64 | $183.75 | $199.34 |
| Investment Operations | | | | |
| Net Investment Income | 2.768 2 | 5.202 2 | 4.765 | 2.352 |
| Net Realized and Unrealized Gain (Loss) on Investments | 15.128 | 19.393 | 18.875 | (15.830) |
| Total from Investment Operations | 17.896 | 24.595 | 23.640 | (13.478) |
| Distributions | | | | |
| Dividends from Net Investment Income | (2.916) | (5.005) | (4.750) | (2.112) |
| Distributions from Realized Capital Gains | — | — | — | — |
| Total Distributions | (2.916) | (5.005) | (4.750) | (2.112) |
| Net Asset Value, End of Period | $237.21 | $222.23 | $202.64 | $183.75 |
| |
| Total Return | 8.08% | 12.27% | 13.09% | -6.84% |
| |
| Ratios/Supplemental Data | | | | |
| Net Assets, End of Period (Millions) | $40 | $4 | $7 | $11 |
| Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08%3 |
| Ratio of Net Investment Income to Average Net Assets | 2.26% | 2.53% | 2.71% | 2.44%3 |
| Portfolio Turnover Rate 4 | 20% | 16% | 22% | 23% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Calculated based on average shares outstanding.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital
shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
21
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, 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 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 notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the six months ended February 28, 2018, 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 the notional amounts at each quarter-end during the period.
22
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, 2014–2017), and for the period ended February 28, 2018, 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 event 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, 2018, 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.
23
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), shareholder reporting, and the proxy. 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. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2018, the fund had contributed to Vanguard capital in the amount of $49,000, 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). Any investments valued with significant unobservable inputs are
noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as of February 28, 2018, based on the inputs used to value them:
| | | |
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 849,298 | — | — |
| Temporary Cash Investments | 2,000 | 398 | — |
| Futures Contracts—Liabilities1 | (45) | — | — |
| Total | 851,253 | 398 | — |
| 1 Represents variation margin on the last day of the reporting period. |
24
S&P 500 Value Index Fund
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended February 28, 2018, the fund realized $47,585,000 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, 2017, the fund had available capital losses totaling $10,909,000 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, 2018; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 28, 2018, the cost of investment securities for tax purposes was $776,471,000. Net unrealized appreciation of investment securities for tax purposes was $75,225,000, consisting of unrealized gains of $105,142,000 on securities that had risen in value since their purchase and $29,917,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 28, 2018, the fund purchased $384,288,000 of investment securities and sold $358,044,000 of investment securities, other than temporary cash investments. Purchases and sales include $182,619,000 and $198,365,000, 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, 2018, such purchases and sales were $109,239,000 and $66,654,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
25
S&P 500 Value Index Fund
F. Capital share transactions for each class of shares were:
| | | | |
| | Six Months Ended | Year Ended |
| | February 28, 2018 | August 31, 2017 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| ETF Shares | | | | |
| Issued | 194,455 | 1,775 | 347,607 | 3,525 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (199,652) | (1,825) | (119,871) | (1,225) |
| Net Increase (Decrease)—ETF Shares | (5,197) | (50) | 227,736 | 2,300 |
| Institutional Shares | | | | |
| Issued | 35,745 | 158 | 1,590 | 7 |
| Issued in Lieu of Cash Distributions | 275 | 1 | 117 | 1 |
| Redeemed | (1,610) | (7) | (5,080) | (25) |
| Net Increase (Decrease)—Institutional Shares | 34,410 | 152 | (3,373) | (17) |
G. Management has determined that no material events or transactions occurred subsequent to February 28, 2018, that would require recognition or disclosure in these financial statements.
26
S&P 500 Growth Index Fund
Fund Profile
As of February 28, 2018
| | | |
| Portfolio Characteristics | | |
| | | | DJ |
| | | S&P 500 | U.S. Total |
| | | Growth | Market |
| | Fund | Index | FA Index |
| Number of Stocks | 291 | 290 | 3,746 |
| Median Market Cap | $132.7B | $132.7B | $68.2B |
| Price/Earnings Ratio | 29.8x | 29.8x | 21.7x |
| Price/Book Ratio | 5.8x | 5.8x | 3.0x |
| Return on Equity | 19.8% | 19.8% | 15.0% |
| Earnings Growth | | | |
| Rate | 10.1% | 10.1% | 8.5% |
| Dividend Yield | 1.3% | 1.3% | 1.7% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | | | |
| (Annualized) | 17% | — | — |
| Ticker Symbol | VOOG | — | — |
| Expense Ratio1 | 0.15% | — | — |
| 30-Day SEC Yield | 1.23% | — | — |
| Short-Term Reserves | 0.0% | — | — |
| | | |
| Sector Diversification (% of equity exposure) |
| | | | DJ |
| | | S&P 500 | U.S. Total |
| | | Growth | Market |
| | Fund | Index | FA Index |
| Consumer Discretionary | 16.1% | 16.1% | 13.0% |
| Consumer Staples | 4.7 | 4.7 | 6.8 |
| Energy | 0.3 | 0.3 | 5.2 |
| Financials | 5.6 | 5.5 | 15.4 |
| Health Care | 16.9 | 16.9 | 13.4 |
| Industrials | 10.5 | 10.5 | 10.8 |
| Information Technology | 41.2 | 41.3 | 24.2 |
| Materials | 1.5 | 1.5 | 3.3 |
| Real Estate | 2.5 | 2.5 | 3.5 |
| Telecommunication | | | |
| Services | 0.0 | 0.0 | 1.7 |
| Utilities | 0.7 | 0.7 | 2.7 |
Sector categories are based on the Global Industry Classification
Standard (“GICS”), except for the “Other” category (if applicable),
which includes securities that have not been provided a GICS
classification as of the effective reporting period.
| | |
| Volatility Measures | | |
| | | DJ |
| | S&P 500 | U.S. Total |
| | Growth | Market |
| | Index | FA Index |
| R-Squared | 1.00 | 0.87 |
| Beta | 1.00 | 0.99 |
| 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 | 7.4% |
| Microsoft Corp. | Systems Software | 5.9 |
| Alphabet Inc. | Internet Software & | |
| | Services | 5.4 |
| Amazon.com Inc. | Internet & Direct | |
| | Marketing Retail | 4.9 |
| Facebook Inc. | Internet Software & | |
| | Services | 3.5 |
| Visa Inc. | Data Processing & | |
| | Outsourced Services | 1.8 |
| UnitedHealth Group Inc. | Managed Health | |
| | Care | 1.8 |
| Home Depot Inc. | Home Improvement | |
| | Retail | 1.7 |
| Boeing Co. | Aerospace & | |
| | Defense | 1.7 |
| Johnson & Johnson | Pharmaceuticals | 1.5 |
| Top Ten | | 35.6% |
| The holdings listed exclude any temporary cash investments and equity index products. |
1 The expense ratio shown is from the prospectus dated December 22, 2017, and represents estimated costs for the current fiscal year.
For the six months ended February 28, 2018, the annualized expense ratio was 0.15%.
27
S&P 500 Growth Index Fund
Investment Focus
28
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, 2018
Note: For 2018, performance data reflect the six months ended February 28, 2018.
Average Annual Total Returns: Periods Ended December 31, 2017
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 | | 27.16% | 16.84% | 16.47% |
| Net Asset Value | | 27.21 | 16.83 | 16.46 |
See Financial Highlights for dividend and capital gains information.
29
S&P 500 Growth Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 28, 2018
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 (16.0%) | |
| * | Amazon.com Inc. | 65,175 | 98,574 |
| | Home Depot Inc. | 190,296 | 34,685 |
| * | Netflix Inc. | 70,518 | 20,548 |
| | McDonald’s Corp. | 129,900 | 20,490 |
| * | Booking Holdings Inc. | 7,945 | 16,161 |
| | Comcast Corp. Class A | 379,956 | 13,758 |
| | Walt Disney Co. | 115,642 | 11,930 |
| * | Charter Communications | | |
| | Inc. Class A | 31,601 | 10,805 |
| | NIKE Inc. Class B | 143,360 | 9,609 |
| | Starbucks Corp. | 148,368 | 8,472 |
| | Lowe’s Cos. Inc. | 92,279 | 8,267 |
| | Marriott International Inc. | | |
| | Class A | 49,887 | 7,045 |
| | Aptiv plc | 43,542 | 3,977 |
| * | Dollar Tree Inc. | 38,631 | 3,965 |
| | TJX Cos. Inc. | 46,653 | 3,857 |
| | Ross Stores Inc. | 41,451 | 3,237 |
| | VF Corp. | 33,309 | 2,484 |
| | DR Horton Inc. | 55,897 | 2,342 |
| | Royal Caribbean Cruises | | |
| | Ltd. | 18,397 | 2,329 |
| | Wynn Resorts Ltd. | 13,063 | 2,188 |
| | Yum! Brands Inc. | 24,719 | 2,012 |
| | Carnival Corp. | 30,061 | 2,011 |
| | Dollar General Corp. | 20,389 | 1,929 |
| | Wyndham Worldwide Corp. | 16,499 | 1,910 |
| * | Norwegian Cruise Line | | |
| | Holdings Ltd. | 33,504 | 1,906 |
| * | O’Reilly Automotive Inc. | 7,479 | 1,826 |
| * | Mohawk Industries Inc. | 6,678 | 1,602 |
| * | Michael Kors Holdings Ltd. | 24,725 | 1,556 |
| | Lennar Corp. Class A | 26,045 | 1,474 |
| | CBS Corp. Class B | 26,549 | 1,406 |
| * | Ulta Beauty Inc. | 6,560 | 1,334 |
| * | AutoZone Inc. | 1,924 | 1,279 |
| | | |
| | MGM Resorts International | 36,477 | 1,249 |
| | PulteGroup Inc. | 44,292 | 1,243 |
| | Expedia Inc. | 11,821 | 1,243 |
| * | LKQ Corp. | 29,207 | 1,153 |
| | Darden Restaurants Inc. | 12,065 | 1,112 |
| | BorgWarner Inc. | 21,749 | 1,068 |
| | Hilton Worldwide Holdings | | |
| | Inc. | 13,149 | 1,062 |
| | Scripps Networks | | |
| | Interactive Inc. Class A | 11,300 | 1,015 |
| | Hasbro Inc. | 9,948 | 951 |
| * | CarMax Inc. | 14,844 | 919 |
| | Tapestry Inc. | 18,011 | 917 |
| | Tiffany & Co. | 6,989 | 706 |
| | H&R Block Inc. | 21,911 | 555 |
| | Tractor Supply Co. | 8,379 | 544 |
| | Garmin Ltd. | 8,986 | 532 |
| * | Chipotle Mexican Grill Inc. | | |
| | Class A | 1,581 | 503 |
| | Hanesbrands Inc. | 24,826 | 482 |
| * | TripAdvisor Inc. | 6,607 | 265 |
| | Mattel Inc. | 15,185 | 242 |
| | Lennar Corp. Class B | 47 | 2 |
| | | | 320,731 |
| Consumer Staples (4.7%) | | |
| | Philip Morris International | | |
| | Inc. | 126,563 | 13,106 |
| | PepsiCo Inc. | 113,618 | 12,467 |
| | Coca-Cola Co. | 281,212 | 12,154 |
| | Procter & Gamble Co. | 153,639 | 12,064 |
| | Altria Group Inc. | 174,089 | 10,959 |
| | Constellation Brands Inc. | | |
| | Class A | 28,083 | 6,051 |
| | Estee Lauder Cos. Inc. | | |
| | Class A | 36,491 | 5,052 |
| | Colgate-Palmolive Co. | 67,318 | 4,643 |
| * | Monster Beverage Corp. | 67,094 | 4,252 |
| | Kimberly-Clark Corp. | 25,222 | 2,798 |
30
S&P 500 Growth Index Fund
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | Dr Pepper Snapple Group | | |
| | Inc. | 14,134 | 1,643 |
| | General Mills Inc. | 32,353 | 1,635 |
| | Clorox Co. | 11,988 | 1,547 |
| | Brown-Forman Corp. | | |
| | Class B | 21,433 | 1,496 |
| | Hershey Co. | 12,421 | 1,220 |
| | Church & Dwight Co. Inc. | 21,631 | 1,064 |
| | McCormick & Co. Inc. | 9,555 | 1,020 |
| | Kellogg Co. | 14,586 | 966 |
| | | | 94,137 |
| Energy (0.3%) | | |
| | EOG Resources Inc. | 32,968 | 3,344 |
| | Cabot Oil & Gas Corp. | 34,697 | 838 |
| | Hess Corp. | 13,719 | 623 |
| | Cimarex Energy Co. | 4,978 | 478 |
| | | | 5,283 |
| Financials (5.5%) | | |
| | Bank of America Corp. | 762,631 | 24,480 |
| | Charles Schwab Corp. | 194,132 | 10,293 |
| | S&P Global Inc. | 41,511 | 7,962 |
| | Intercontinental Exchange | | |
| | Inc. | 95,186 | 6,956 |
| | American Express Co. | 70,232 | 6,848 |
| | BlackRock Inc. | 11,832 | 6,501 |
| | CME Group Inc. | 37,077 | 6,161 |
| | Progressive Corp. | 95,263 | 5,485 |
| | Moody’s Corp. | 27,046 | 4,513 |
| | T. Rowe Price Group Inc. | 39,434 | 4,413 |
| | Marsh & McLennan | | |
| | Cos. Inc. | 47,234 | 3,921 |
| | Aon plc | 23,950 | 3,361 |
| | Ameriprise Financial Inc. | 16,605 | 2,598 |
| | Allstate Corp. | 27,621 | 2,548 |
| * | E*TRADE Financial Corp. | 43,887 | 2,292 |
| | Cboe Global Markets Inc. | 18,460 | 2,068 |
| | Northern Trust Corp. | 18,774 | 1,988 |
| | Willis Towers Watson plc | 9,080 | 1,434 |
| | Comerica Inc. | 14,371 | 1,397 |
| | Principal Financial Group | | |
| | Inc. | 20,086 | 1,252 |
| | Arthur J Gallagher & Co. | 14,814 | 1,024 |
| | Raymond James Financial | | |
| | Inc. | 9,989 | 926 |
| | Affiliated Managers Group | | |
| | Inc. | 4,093 | 775 |
| | Nasdaq Inc. | 9,059 | 732 |
| | Torchmark Corp. | 7,383 | 630 |
| | | | 110,558 |
| Health Care (16.9%) | | |
| | UnitedHealth Group Inc. | 157,818 | 35,692 |
| | Johnson & Johnson | 236,383 | 30,701 |
| | AbbVie Inc. | 259,787 | 30,091 |
| | | |
| | Abbott Laboratories | 285,085 | 17,199 |
| | Pfizer Inc. | 446,714 | 16,220 |
| | Amgen Inc. | 69,793 | 12,826 |
| * | Celgene Corp. | 128,306 | 11,178 |
| | Bristol-Myers Squibb Co. | 168,019 | 11,123 |
| | Gilead Sciences Inc. | 138,356 | 10,893 |
| | Thermo Fisher Scientific | | |
| | Inc. | 47,029 | 9,809 |
| | Becton Dickinson and Co. | 43,116 | 9,573 |
| | Merck & Co. Inc. | 164,876 | 8,940 |
| | Stryker Corp. | 52,318 | 8,484 |
| | Cigna Corp. | 40,378 | 7,910 |
| * | Intuitive Surgical Inc. | 18,242 | 7,779 |
| | Medtronic plc | 95,338 | 7,616 |
| | Eli Lilly & Co. | 96,270 | 7,415 |
| * | Biogen Inc. | 23,773 | 6,870 |
| * | Vertex Pharmaceuticals | | |
| | Inc. | 41,216 | 6,843 |
| | Zoetis Inc. | 79,423 | 6,422 |
| * | Boston Scientific Corp. | 223,471 | 6,092 |
| * | Illumina Inc. | 23,786 | 5,424 |
| | Anthem Inc. | 22,290 | 5,247 |
| | Aetna Inc. | 26,452 | 4,684 |
| * | Edwards Lifesciences | | |
| | Corp. | 34,457 | 4,606 |
| * | Regeneron | | |
| | Pharmaceuticals Inc. | 12,554 | 4,023 |
| | Agilent Technologies Inc. | 52,400 | 3,594 |
| * | Cerner Corp. | 51,438 | 3,300 |
| | Baxter International Inc. | 45,974 | 3,117 |
| * | Align Technology Inc. | 11,746 | 3,083 |
| * | Centene Corp. | 28,254 | 2,865 |
| * | IDEXX Laboratories Inc. | 14,188 | 2,656 |
| * | Waters Corp. | 12,945 | 2,649 |
| * | Mettler-Toledo International | | |
| | Inc. | 4,168 | 2,568 |
| | HCA Healthcare Inc. | 24,842 | 2,466 |
| * | Incyte Corp. | 28,548 | 2,431 |
| * | Alexion Pharmaceuticals | | |
| | Inc. | 18,932 | 2,224 |
| | ResMed Inc. | 23,097 | 2,200 |
| | Zimmer Biomet Holdings | | |
| | Inc. | 18,417 | 2,141 |
| | Cooper Cos. Inc. | 7,959 | 1,835 |
| * | Hologic Inc. | 44,885 | 1,743 |
| * | Laboratory Corp. of | | |
| | America Holdings | 9,577 | 1,654 |
| * | IQVIA Holdings Inc. | 13,737 | 1,351 |
| * | Varian Medical Systems | | |
| | Inc. | 7,865 | 939 |
| | PerkinElmer Inc. | 11,192 | 854 |
| | Perrigo Co. plc | 7,725 | 629 |
| | | | 337,959 |
31
S&P 500 Growth Index Fund
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| Industrials (10.5%) | | |
| | Boeing Co. | 91,228 | 33,044 |
| | 3M Co. | 97,232 | 22,899 |
| | Honeywell International | | |
| | Inc. | 73,207 | 11,062 |
| | Lockheed Martin Corp. | 25,218 | 8,888 |
| | Union Pacific Corp. | 66,662 | 8,683 |
| | Illinois Tool Works Inc. | 50,225 | 8,108 |
| | CSX Corp. | 145,580 | 7,821 |
| | Caterpillar Inc. | 50,390 | 7,792 |
| | Northrop Grumman Corp. | 19,293 | 6,753 |
| | Raytheon Co. | 28,752 | 6,254 |
| | United Parcel Service Inc. | | |
| | Class B | 54,819 | 5,724 |
| | FedEx Corp. | 22,859 | 5,633 |
| | Waste Management Inc. | 65,021 | 5,613 |
| | General Dynamics Corp. | 22,620 | 5,032 |
| | Deere & Co. | 28,651 | 4,609 |
| | Roper Technologies Inc. | 16,675 | 4,587 |
| | Rockwell Collins Inc. | 26,545 | 3,656 |
| | Southwest Airlines Co. | 59,425 | 3,437 |
| | Emerson Electric Co. | 42,773 | 3,039 |
| | Norfolk Southern Corp. | 21,093 | 2,934 |
| | AMETEK Inc. | 37,857 | 2,867 |
| | Stanley Black & Decker Inc. | 16,473 | 2,622 |
| | Rockwell Automation Inc. | 14,413 | 2,606 |
| | Fortive Corp. | 32,890 | 2,526 |
| * | United Rentals Inc. | 13,753 | 2,408 |
| | Cintas Corp. | 14,009 | 2,391 |
| | TransDigm Group Inc. | 7,871 | 2,269 |
| | Parker-Hannifin Corp. | 12,124 | 2,164 |
| | American Airlines Group | | |
| | Inc. | 37,664 | 2,043 |
| | Harris Corp. | 12,245 | 1,912 |
| * | Verisk Analytics Inc. | | |
| | Class A | 16,207 | 1,656 |
| | AO Smith Corp. | 23,778 | 1,526 |
| | Fortune Brands Home | | |
| | & Security Inc. | 25,065 | 1,520 |
| | Ingersoll-Rand plc | 17,084 | 1,517 |
| | Xylem Inc. | 20,227 | 1,509 |
| | Fastenal Co. | 26,195 | 1,433 |
| | Dover Corp. | 14,294 | 1,431 |
| | Masco Corp. | 33,773 | 1,389 |
| | Huntington Ingalls | | |
| | Industries Inc. | 5,025 | 1,317 |
| | Equifax Inc. | 11,524 | 1,302 |
| | Republic Services Inc. | | |
| | Class A | 16,949 | 1,139 |
| | Expeditors International of | | |
| | Washington Inc. | 15,879 | 1,031 |
| | JB Hunt Transport Services | | |
| | Inc. | 7,934 | 941 |
| | Allegion plc | 10,093 | 849 |
| | | |
| | Kansas City Southern | 7,967 | 821 |
| | Robert Half International | | |
| | Inc. | 12,117 | 691 |
| | | | 209,448 |
| Information Technology (41.1%) | |
| | Apple Inc. | 836,683 | 149,030 |
| | Microsoft Corp. | 1,257,117 | 117,880 |
| * | Facebook Inc. Class A | 388,625 | 69,300 |
| * | Alphabet Inc. Class C | 49,424 | 54,600 |
| * | Alphabet Inc. Class A | 48,331 | 53,354 |
| | Visa Inc. Class A | 295,487 | 36,327 |
| | Mastercard Inc. Class A | 151,366 | 26,604 |
| | NVIDIA Corp. | 98,749 | 23,897 |
| | Intel Corp. | 434,662 | 21,424 |
| | Texas Instruments Inc. | 160,540 | 17,394 |
| * | Adobe Systems Inc. | 80,326 | 16,799 |
| | Cisco Systems Inc. | 372,466 | 16,679 |
| | Broadcom Ltd. | 66,244 | 16,326 |
| * | PayPal Holdings Inc. | 184,095 | 14,619 |
| * | salesforce.com Inc. | 111,803 | 12,997 |
| | Oracle Corp. | 253,147 | 12,827 |
| | Accenture plc Class A | 63,456 | 10,217 |
| | Applied Materials Inc. | 173,664 | 10,001 |
| * | Micron Technology Inc. | 188,890 | 9,220 |
| | Activision Blizzard Inc. | 123,194 | 9,009 |
| | Automatic Data Processing | |
| | Inc. | 72,268 | 8,334 |
| | Cognizant Technology | | |
| | Solutions Corp. Class A | 96,076 | 7,880 |
| * | eBay Inc. | 158,489 | 6,793 |
| | Intuit Inc. | 39,582 | 6,605 |
| * | Electronic Arts Inc. | 50,172 | 6,206 |
| | QUALCOMM Inc. | 84,037 | 5,462 |
| | Analog Devices Inc. | 60,015 | 5,410 |
| | Lam Research Corp. | 26,368 | 5,059 |
| * | Fiserv Inc. | 33,971 | 4,871 |
| | Amphenol Corp. Class A | 49,702 | 4,542 |
| * | Red Hat Inc. | 28,837 | 4,251 |
| | TE Connectivity Ltd. | 41,182 | 4,245 |
| | Corning Inc. | 141,459 | 4,114 |
| | Microchip Technology Inc. | 38,065 | 3,385 |
| | Fidelity National | | |
| | Information Services Inc. | 33,715 | 3,276 |
| | Skyworks Solutions Inc. | 29,925 | 3,269 |
| | Global Payments Inc. | 25,931 | 2,940 |
| | KLA-Tencor Corp. | 25,514 | 2,891 |
| | Motorola Solutions Inc. | 26,325 | 2,794 |
| | NetApp Inc. | 43,911 | 2,659 |
| * | Autodesk Inc. | 21,793 | 2,560 |
| | DXC Technology Co. | 24,162 | 2,478 |
| | Total System Services Inc. | 27,267 | 2,398 |
| * | ANSYS Inc. | 13,836 | 2,213 |
| | Paychex Inc. | 33,848 | 2,205 |
| * | Synopsys Inc. | 24,471 | 2,072 |
32
S&P 500 Growth Index Fund
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| * | Cadence Design Systems | | |
| | Inc. | 46,035 | 1,785 |
| | Xilinx Inc. | 24,923 | 1,776 |
| * | Qorvo Inc. | 20,841 | 1,682 |
| * | Gartner Inc. | 14,770 | 1,675 |
| * | VeriSign Inc. | 13,831 | 1,605 |
| * | Citrix Systems Inc. | 13,060 | 1,202 |
| | Symantec Corp. | 45,449 | 1,195 |
| | Alliance Data Systems | | |
| | Corp. | 4,771 | 1,150 |
| * | F5 Networks Inc. | 5,868 | 872 |
| | FLIR Systems Inc. | 15,311 | 752 |
| * | Akamai Technologies Inc. | 11,003 | 742 |
| | Western Union Co. | 29,180 | 578 |
| ^,* | Advanced Micro Devices | | |
| | Inc. | 45,383 | 550 |
| | | | 822,980 |
| Materials (1.5%) | | |
| | Sherwin-Williams Co. | 13,399 | 5,381 |
| | Monsanto Co. | 37,243 | 4,595 |
| | Praxair Inc. | 24,217 | 3,626 |
| | Ecolab Inc. | 19,469 | 2,540 |
| | PPG Industries Inc. | 19,864 | 2,234 |
| | Air Products & Chemicals | | |
| | Inc. | 12,743 | 2,049 |
| | FMC Corp. | 21,854 | 1,715 |
| | Avery Dennison Corp. | 14,400 | 1,701 |
| | Vulcan Materials Co. | 10,994 | 1,294 |
| | Packaging Corp. of America | 9,963 | 1,188 |
| | International Flavors | | |
| | & Fragrances Inc. | 7,861 | 1,110 |
| | Albemarle Corp. | 10,601 | 1,065 |
| | Martin Marietta Materials | | |
| | Inc. | 4,409 | 899 |
| | CF Industries Holdings Inc. | 16,422 | 677 |
| | Sealed Air Corp. | 11,107 | 471 |
| | | | 30,545 |
| Real Estate (2.5%) | | |
| | American Tower Corp. | 69,896 | 9,739 |
| | Prologis Inc. | 86,681 | 5,260 |
| | Equinix Inc. | 12,751 | 5,000 |
| | Crown Castle International | | |
| | Corp. | 45,036 | 4,957 |
| | Simon Property Group Inc. | 24,823 | 3,811 |
| * | SBA Communications Corp. | | |
| | Class A | 19,168 | 3,014 |
| | Public Storage | 13,674 | 2,659 |
| * | CBRE Group Inc. Class A | 49,275 | 2,304 |
| | Digital Realty Trust Inc. | 20,078 | 2,021 |
| | Extra Space Storage Inc. | 20,544 | 1,747 |
| | AvalonBay Communities | | |
| | Inc. | 9,910 | 1,546 |
| | Boston Properties Inc. | 11,065 | 1,315 |
| | Essex Property Trust Inc. | 5,603 | 1,254 |
| | | |
| | Vornado Realty Trust | 18,254 | 1,213 |
| | Alexandria Real Estate | | |
| | Equities Inc. | 8,917 | 1,082 |
| | UDR Inc. | 29,000 | 975 |
| | GGP Inc. | 39,659 | 840 |
| | Iron Mountain Inc. | 20,679 | 650 |
| | Federal Realty Investment | | |
| | Trust | 5,585 | 636 |
| | Apartment Investment | | |
| | & Management Co. | 11,415 | 441 |
| | | | 50,464 |
| Utilities (0.7%) | | |
| | NextEra Energy Inc. | 39,078 | 5,946 |
| | Dominion Energy Inc. | 39,874 | 2,953 |
| | WEC Energy Group Inc. | 21,569 | 1,292 |
| | American Water Works | | |
| | Co. Inc. | 15,997 | 1,270 |
| | FirstEnergy Corp. | 29,916 | 967 |
| | NRG Energy Inc. | 26,609 | 688 |
| | | | 13,116 |
| Total Common Stocks | | |
| (Cost $1,470,867) | | 1,995,221 |
| Temporary Cash Investments (0.2%)1 | |
| Money Market Fund (0.2%) | | |
| 2,3 | Vanguard Market | | |
| | Liquidity Fund, | | |
| | 1.601% | 42,046 | 4,204 |
| |
| | | Face | |
| | | Amount | |
| | | ($000) | |
| U. S. Government and Agency Obligations (0.0%) |
| 4 | United States Treasury | | |
| | Bill, 1.446%, 5/31/18 | 210,000 | 209 |
| 4 | United States Treasury | | |
| | Bill, 1.475–1.509%, | | |
| | 6/21/18 | 600,000 | 597 |
| | | | 806 |
| Total Temporary Cash Investments | |
| (Cost $5,011) | | 5,010 |
| Total Investments (99.9%) | | |
| (Cost $1,475,878) | | 2,000,231 |
33
S&P 500 Growth Index Fund
| |
| | Amount |
| | ($000) |
| Other Assets and Liabilities (0.1%) | |
| Other Assets | |
| Investment in Vanguard | 108 |
| Receivables for Accrued Income | 2,415 |
| Receivables for Capital Shares Issued | 16 |
| Total Other Assets | 2,539 |
| Liabilities | |
| Payables for Investment Securities | |
| Purchased | (269) |
| Collateral for Securities on Loan | (268) |
| Payables to Vanguard | (362) |
| Variation Margin Payable— | |
| Futures Contracts | (66) |
| Other Liabilities | (3) |
| Total Liabilities | (968) |
| Net Assets (100%) | 2,001,802 |
| |
| At February 28, 2018, net assets consisted of: |
| | Amount |
| | ($000) |
| Paid-in Capital | 1,508,767 |
| Undistributed Net Investment Income | 3,032 |
| Accumulated Net Realized Losses | (34,471) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 524,353 |
| Futures Contracts | 121 |
| Net Assets | 2,001,802 |
| |
| |
| ETF Shares—Net Assets | |
| Applicable to 13,925,000 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 2,001,802 |
| Net Asset Value Per Share— | |
| ETF Shares | $143.76 |
• See Note A in Notes to Financial Statements.
^ Includes partial security positions on loan to broker-dealers.
The total value of securities on loan is $249,000.
* 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 Includes $268,000 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 $607,000 have been segregated as
initial margin for open futures contracts.
34
S&P 500 Growth Index Fund
| | | | |
| Derivative Financial Instruments Outstanding as of Period End | | |
| Futures Contracts | | | | |
| | | | | ($000) |
| | | | | Value and |
| | | Number of | | Unrealized |
| | | Long (Short) | Notional | Appreciation |
| | Expiration | Contracts | Amount | (Depreciation) |
| Long Futures Contracts | | | | |
| E-mini S&P 500 Index | March 2018 | 40 | 5,429 | 121 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized
gain (loss) for tax purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
35
S&P 500 Growth Index Fund
Statement of Operations
| |
| | Six Months Ended |
| | February28,2018 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 12,968 |
| Interest1 | 37 |
| Securities Lending—Net | 15 |
| Total Income | 13,020 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 221 |
| Management and Administrative | 1,010 |
| Marketing and Distribution | 52 |
| Custodian Fees | 19 |
| Shareholders’ Reports and Proxy | 68 |
| Trustees’ Fees and Expenses | 1 |
| Total Expenses | 1,371 |
| Net Investment Income | 11,649 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1 | 42,019 |
| Futures Contracts | 584 |
| Realized Net Gain (Loss) | 42,603 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities1 | 173,491 |
| Futures Contracts | 59 |
| Change in Unrealized Appreciation (Depreciation) | 173,550 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 227,802 |
| 1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund |
| were $29,000, ($1,000), and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes. |
See accompanying Notes, which are an integral part of the Financial Statements.
36
S&P 500 Growth Index Fund
Statement of Changes in Net Assets
| | |
| | Six Months Ended | Year Ended |
| | February 28, | August 31, |
| | 2018 | 2017 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 11,649 | 21,296 |
| Realized Net Gain (Loss) | 42,603 | 17,599 |
| Change in Unrealized Appreciation (Depreciation) | 173,550 | 205,577 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 227,802 | 244,472 |
| Distributions | | |
| Net Investment Income | (13,619) | (19,314) |
| Realized Capital Gain | — | — |
| Total Distributions | (13,619) | (19,314) |
| Capital Share Transactions | | |
| Issued | 249,900 | 455,621 |
| Issued in Lieu of Cash Distributions | — | — |
| Redeemed | (126,669) | (47,587) |
| Net Increase (Decrease) from Capital Share Transactions | 123,231 | 408,034 |
| Total Increase (Decrease) | 337,414 | 633,192 |
| Net Assets | | |
| Beginning of Period | 1,664,388 | 1,031,196 |
| End of Period1 | 2,001,802 | 1,664,388 |
| 1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $3,032,000 and $5,002,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
37
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 | | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $127.78 | $109.12 | $99.21 | $96.99 | $77.29 | $68.43 |
| Investment Operations | | | | | | | |
| Net Investment Income | | . 8601 | 1.8411 | 1.565 | 1.523 | 1.257 | 1.291 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | | 16.138 | 18.527 | 9.857 | 2.193 | 19.715 | 8.848 |
| Total from Investment Operations | 16.998 | 20.368 | 11.422 | 3.716 | 20.972 | 10.139 |
| Distributions | | | | | | | |
| Dividends from Net Investment Income | (1.018) | (1.708) | (1.512) | (1.496) | (1.272) | (1.279) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | | (1.018) | (1.708) | (1.512) | (1.496) | (1.272) | (1.279) |
| Net Asset Value, End of Period | | $143.76 | $127.78 | $109.12 | $99.21 | $96.99 | $77.29 |
| |
| Total Return | | 13.37% | 18.85% | 11.62% | 3.80% | 27.33% | 15.00% |
| |
| Ratios/Supplemental Data | | | | | | | |
| Net Assets, End of Period (Millions) | $2,002 | $1,664 | $1,031 | $570 | $325 | $147 |
| Ratio of Total Expenses to | | | | | | | |
| Average Net Assets | | 0.15% | 0.15% | 0.15% | 0.15% | 0.15% | 0.15% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | | 1.28% | 1.57% | 1.59% | 1.62% | 1.56% | 1.81% |
| Portfolio Turnover Rate2 | | 17% | 19% | 20% | 21% | 23% | 24% |
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.
38
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, 2018.
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, 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 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 notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the six months ended February 28, 2018, 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 the notional amounts at each quarter-end during the period.
39
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, 2014–2017), and for the period ended February 28, 2018, 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 event 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, 2018, 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.
40
S&P 500 Growth Index Fund
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2018, the fund had contributed to Vanguard capital in the amount of $108,000, 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). Any investments valued with significant unobservable inputs are
noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as of February 28, 2018, based on the inputs used to value them:
| | | |
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 1,995,221 | — | — |
| Temporary Cash Investments | 4,204 | 806 | — |
| Futures Contracts—Liabilities1 | (66) | — | — |
| Total | 1,999,359 | 806 | — |
| 1 Represents variation margin on the last day of the reporting period. |
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year.
41
S&P 500 Growth Index Fund
During the six months ended February 28, 2018, the fund realized $51,534,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
At February 28, 2018, the cost of investment securities for tax purposes was $1,475,878,000. Net unrealized appreciation of investment securities for tax purposes was $524,353,000, consisting of unrealized gains of $536,711,000 on securities that had risen in value since their purchase and $12,358,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 28, 2018, the fund purchased $541,907,000 of investment securities and sold $420,217,000 of investment securities, other than temporary cash investments. Purchases and sales include $229,621,000 and $142,251,000, 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, 2018, such purchases and sales were $128,018,000 and $155,029,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
F. Capital shares issued and redeemed were:
| | |
| | Six Months Ended | Year Ended |
| | February 28, 2018 | August 31, 2017 |
| | Shares | Shares |
| | (000) | (000) |
| Issued | 1,825 | 3,975 |
| Issued in Lieu of Cash Distributions | — | — |
| Redeemed | (925) | (400) |
| Net Increase (Decrease) in Shares Outstanding | 900 | 3,575 |
G. Management has determined that no material events or transactions occurred subsequent to February 28, 2018, that would require recognition or disclosure in these financial statements.
42
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.
43
| | | |
| Six Months Ended February 28, 2018 | | | |
| | Beginning | Ending | Expenses |
| | Account Value | Account Value | Paid During |
| | 8/31/2017 | 2/28/2018 | Period |
| Based on Actual Fund Return | | | |
| S&P 500 Value Index Fund | | | |
| ETF Shares | $1,000.00 | $1,080.36 | $0.77 |
| Institutional Shares | 1,000.00 | 1,080.78 | 0.41 |
| S&P 500 Growth Index Fund | | | |
| ETF Shares | $1,000.00 | $1,133.69 | $0.79 |
| Based on Hypothetical 5% Yearly Return | | | |
| S&P 500 Value Index Fund | | | |
| ETF Shares | $1,000.00 | $1,024.05 | $0.75 |
| Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
| S&P 500 Growth Index Fund | | | |
| ETF Shares | $1,000.00 | $1,024.05 | $0.75 |
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for
that period are: for the S&P 500 Value Index Fund, 0.15% for ETF Shares and 0.08% for Institutional Shares; and for the S&P 500 Growth
Index Fund, 0.15%. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average
account value over the period, multiplied by the number of days in the most recent six-month peiod, then divided by the number of days in
the most recent 12-month period (181/365).
44
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.
45
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.
46
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark
of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use
by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification
makes any express or implied warranties or representations with respect to such standard or classification (or the results
to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy,
completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification.
Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in
making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive,
consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
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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 208 Vanguard funds.
Information for each trustee and executive officer of the fund appears below. 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.
Interested Trustees1
F. William McNabb III
Born in 1957. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: chairman of the board (January 2010–present) of Vanguard and of each of the investment companies served by Vanguard, trustee (2009–present) of each of the investment companies served by Vanguard, and director (2008–present) of Vanguard. Chief executive officer and president (2008–2017) of Vanguard and each of the investment companies served by Vanguard, managing director (1995–2008) of Vanguard, and director (1997–2018) of Vanguard Marketing Corporation. Director (2018–present) of UnitedHealth Group.
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chief executive officer (January 2018–present) of Vanguard; chief executive officer, president, and trustee (January 2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (February 2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) of the Children’s Hospital of Philadelphia.
Independent Trustees
Emerson U. Fullwood
Born in 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). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. 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 University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.
Amy Gutmann
Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) 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.
1 Mr. McNabb and Mr. Buckley are considered “interested persons,” as defined in the Investment Company Act of 1940, because they are officers of the Vanguard funds.
JoAnn Heffernan Heisen
Born in 1950. Trustee since July 1998. Principal occupation(s) during the past five years and other experience: corporate vice president of Johnson & Johnson (pharmaceuticals/medical devices/consumer products) and member of its executive committee (1997–2008). Chief global diversity officer (retired 2008), vice president and chief information officer (1997–2006), controller (1995–1997), treasurer (1991–1995), and assistant treasurer (1989–1991) of Johnson & Johnson. 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 in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) 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 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 in 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) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.
Scott C. Malpass
Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (1989–present) and vice president (1996–present) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Chairman of the board of TIFF Advisory Services, Inc. Member of the board of Catholic Investment Services, Inc. (investment advisors), the board of advisors for Spruceview Capital Partners, and the board of superintendence of the Institute for the Works of Religion.
Deanna Mulligan
Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: president (2010–present) and chief executive officer (2011–present) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, the Partnership for New York City (business leadership), and the Committee Encouraging Corporate Philanthropy. Trustee of the Economic Club of New York and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.
André F. Perold
Born in 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.
Sarah Bloom Raskin
Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director of i(x) Investments, LLC.
Peter F. Volanakis
Born in 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) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). 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 in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.
Christine M. Buchanan
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard and global head of Fund Administration at Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG LLP (audit, tax, and advisory services).
Brian Dvorak
Born in 1973. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2017–present) of Vanguard and each of the investment companies served by Vanguard. Assistant vice president (2017–present) of Vanguard Marketing Corporation. Vice president and director of Enterprise Risk Management (2011–2013) at Oppenheimer Funds, Inc.
Thomas J. Higgins
Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2008–present) and treasurer (1998–2008) of each of the investment companies served by Vanguard.
Peter Mahoney
Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.
Anne E. Robinson
Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Director and senior vice president (2016–2018) of Vanguard Marketing Corporation. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.
Michael Rollings
Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.
| |
| Vanguard Senior Management Team |
| |
| Mortimer J. Buckley | James M. Norris |
| Gregory Davis | Thomas M. Rampulla |
| John James | Karin A. Risi |
| Martha G. King | Anne E. Robinson |
| John T. Marcante | Michael Rollings |
| 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 |
|  |
| | P.O. Box 2600 |
| | Valley Forge, PA 19482-2600 |
| |
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| |
| Connect with Vanguard® > vanguard.com |
| |
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| Fund Information > 800-662-7447 | Source for Bloomberg Barclays indexes: Bloomberg |
| Direct Investor Account Services > 800-662-2739 | Index Services Limited. Copyright 2018, Bloomberg. All |
| | rights reserved. |
| Institutional Investor Services > 800-523-1036 | |
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| All comparative mutual fund data are from Lipper, a | Vanguard product(s) are not sponsored, endorsed, sold |
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| guidelines by visiting vanguard.com/proxyreporting or by | such product(s) nor do they have any liability for any |
| calling Vanguard at 800-662-2739. The guidelines are | errors, omissions, or interruptions of the index. |
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| months ended June 30. To get the report, visit either | |
| vanguard.com/proxyreporting or sec.gov. | |
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| | © 2018 The Vanguard Group, Inc. |
| | All rights reserved. |
| | Vanguard Marketing Corporation, Distributor. |
| |
| | Q18402 042018 |
Semiannual Report | February 28, 2018
Vanguard S&P Small-Cap 600 Index Funds
Vanguard S&P Small-Cap 600 Index Fund
Vanguard S&P Small-Cap 600 Value Index Fund
Vanguard S&P Small-Cap 600 Growth Index Fund
Vanguard’s Principles for Investing Success
We want to give you the best chance of investment success. These principles, grounded in Vanguard’s research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds. Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
| |
| Contents | |
| Your Fund’s Performance at a Glance. | 1 |
| CEO’s Perspective. | 3 |
| Results of Proxy Voting. | 6 |
| S&P Small-Cap 600 Index Fund. | 8 |
| S&P Small-Cap 600 Value Index Fund. | 28 |
| S&P Small-Cap 600 Growth Index Fund. | 47 |
| About Your Fund’s Expenses. | 63 |
| Glossary. | 65 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises
or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this
report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: Nautical images have been part of Vanguard’s rich heritage since its start in 1975. For an
incoming ship, a lighthouse offers a beacon and safe path to shore. You can similarly depend on Vanguard to put
you first––and light the way––as you strive to meet your financial goals. Our client focus and low costs,
stemming from our unique ownership structure, assure that your interests are paramount.
Your Fund’s Performance at a Glance
• Small-capitalization growth stocks generally outpaced their value counterparts over the six months ended February 28, 2018. The performance of the Vanguard S&P Small-Cap 600 Index Funds reflected this trend.
• Results ranged from almost 10% for the Value Index Fund to almost 11% for the Growth Index Fund. Vanguard S&P Small-Cap 600 Index Fund, which includes both value and growth stocks, returned more than 10%.
• The broad stock market recorded robust returns for most of the period as corporate earnings improved and investors paid more for those earnings.
• All three funds closely tracked their target indexes. The Index and Value Index Funds exceeded the average returns of their peers, while the Growth Index Fund lagged its peer-group average.
• Stocks in the industrial, health care, financial, and consumer discretionary sectors were among the top contributors for all three funds, while real estate, utilities, and telecommunication services stocks declined.
| |
| Total Returns: Six Months Ended February 28, 2018 | |
| | Total |
| | Returns |
| Vanguard S&P Small-Cap 600 Index Fund | |
| ETF Shares | |
| Market Price | 10.34% |
| Net Asset Value | 10.31 |
| Institutional Shares | 10.33 |
| S&P SmallCap 600 Index | 10.36 |
| Small-Cap Core Funds Average | 7.60 |
| 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 | 9.71% |
| Net Asset Value | 9.70 |
| Institutional Shares | 9.77 |
| S&P SmallCap 600 Value Index | 9.77 |
| Small-Cap Value Funds Average | 6.63 |
| 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 | 10.84% |
| Net Asset Value | 10.81 |
| S&P SmallCap 600 Growth Index | 10.91 |
| Small-Cap Growth Funds Average | 12.08 |
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% | 1.20% |
| S&P Small-Cap 600 Value Index Fund | 0.20 | 0.08 | 1.30 |
| S&P Small-Cap 600 Growth Index Fund | 0.20 | — | 1.31 |
The fund expense ratios shown are from the prospectus dated December 22, 2017, and represent estimated costs for the current fiscal
year. For the six months ended February 28, 2018, the annualized expense ratios were: for the S&P Small-Cap 600 Index Fund, 0.15% for
ETF Shares and 0.08% for Institutional Shares; for the S&P Small-Cap 600 Value Index Fund, 0.20% for ETF Shares and 0.08%
for Institutional Shares; and for the S&P Small-Cap 600 Growth Index Fund, 0.20% for ETF Shares. Peer-group expense ratios are derived
from data provided by Lipper, a Thomson Reuters Company, and capture information through year-end 2017.
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
CEO’s Perspective
Tim Buckley
President and Chief Executive Officer
Dear Shareholder,
As I begin my tenure as Vanguard’s fourth chief executive, I’ve been reflecting on both the past and the future of the company where I have spent my entire professional career.
I feel extremely fortunate to have the chance to lead a company filled with people who come to work every day passionate about Vanguard’s core purpose: to take a stand for all investors, to treat them fairly, and to give them the best chance for investment success.
Making a real difference
When I joined Vanguard in 1991, I found a mission-driven team focused on improving lives—helping people retire more comfortably, put their children through college, and achieve financial security. I found a company with purpose in an industry ripe for improvement.
It was clear, even early in my career, that the cards were stacked against most investors. Hidden fees, performance-chasing, and poor advice were relentlessly eroding investors’ dreams.
We knew Vanguard could be different and, as a result, could make a real difference. Over the past 25 years, for example, Vanguard has lowered our funds’ asset-weighted average expense ratio
3
from 0.31% to 0.12%. And over the past decade, 94% of our funds have beaten the average annual return of their peers.1
Focused on your success
Vanguard is built for Vanguard investors—as a client-owned company, we focus solely on you, our fund shareholders. Everything we do is designed to give our clients the best chance for investment success. In my role as CEO, I intend to keep this priority front and center. We’re proud of what we’ve achieved, but we’re even more excited about what’s to come.
As I write this, we’ve experienced a period of pronounced market volatility. Strong economic growth and budding signs of inflation have raised concerns about a more aggressive Federal Reserve. Although volatility can test investors’ nerves, we sometimes think of this as “Vanguard weather”—a time when having a disciplined, low-cost, and long-term approach to investment management serves investors well.
| | | |
| Market Barometer | | | |
| | | | Total Returns |
| | | Periods Ended February 28, 2018 |
| | Six | One | Five Years |
| | Months | Year | (Annualized) |
| Stocks | | | |
| Russell 1000 Index (Large-caps) | 10.62% | 16.70% | 14.56% |
| Russell 2000 Index (Small-caps) | 8.30 | 10.51 | 12.19 |
| Russell 3000 Index (Broad U.S. market) | 10.45 | 16.22 | 14.37 |
| FTSE All-World ex US Index (International) | 7.84 | 21.50 | 6.69 |
| |
| Bonds | | | |
| Bloomberg Barclays U.S. Aggregate Bond Index | | | |
| (Broad taxable market) | -2.18% | 0.51% | 1.71% |
| Bloomberg Barclays Municipal Bond Index | | | |
| (Broad tax-exempt market) | -1.24 | 2.50 | 2.57 |
| Citigroup Three-Month U.S. Treasury Bill Index | 0.59 | 0.98 | 0.27 |
| |
| CPI | | | |
| Consumer Price Index | 1.41% | 2.21% | 1.41% |
The performance data shown represent past performance, which is not a guarantee of future results.
1 For the ten-year period through December 31, 2017, 9 of 9 Vanguard money market funds, 56 of 60 bond funds, 21 of 22 balanced funds,
and 131 of 140 stock funds, or 217 of 231 Vanguard funds, outperformed their peer-group averages. Sources: Vanguard, based on data
from Lipper, a Thomson Reuters Company.
4
Steady, time-tested guidance
Our guidance for investors, as always, is to stay the course, tune out the hyperbolic headlines, and focus on your goals and what you can control, such as costs and how much you save. This time-tested advice has served our clients well over the decades.
Regardless of how the markets perform in the short term, I’m incredibly optimistic about the future for our investors. We have a dedicated team serving you, and we will never stop striving to make Vanguard the best place for you to invest through our high-quality funds and services, advice
and guidance to help you meet your financial goals, and an experience that makes you feel good about entrusting us with your hard-earned savings.
Thank you for your continued loyalty.
Sincerely,
Mortimer J. Buckley
President and Chief Executive Officer
March 19, 2018
5
Results of Proxy Voting
At a special meeting of shareholders on November 15, 2017, fund shareholders approved the following proposals:
Proposal 1—Elect trustees for the fund.*
The individuals listed in the table below were elected as trustees for the fund. All trustees with the exception of Ms. Mulligan, Ms. Raskin, and Mr. Buckley (each of whom already serves as a director of The Vanguard Group, Inc.) served as trustees to the funds prior to the shareholder meeting.
| | | |
| | | | Percentage |
| Trustee | For | Withheld | For |
| Mortimer J. Buckley | 9,281,319,082 | 271,149,701 | 97.2% |
| Emerson U. Fullwood | 9,233,627,321 | 318,841,462 | 96.7% |
| Amy Gutmann | 9,180,258,885 | 372,209,899 | 96.1% |
| JoAnn Heffernan Heisen | 9,203,859,497 | 348,609,287 | 96.4% |
| F. Joseph Loughrey | 9,266,102,164 | 286,366,620 | 97.0% |
| Mark Loughridge | 9,194,614,438 | 357,854,345 | 96.3% |
| Scott C. Malpass | 9,160,256,693 | 392,212,090 | 95.9% |
| F. William McNabb III | 9,281,230,095 | 271,238,689 | 97.2% |
| Deanna Mulligan | 9,181,747,156 | 370,721,628 | 96.1% |
| André F. Perold | 9,107,402,388 | 445,066,396 | 95.3% |
| Sarah Bloom Raskin | 9,115,014,439 | 437,454,345 | 95.4% |
| Peter F. Volanakis | 9,200,130,944 | 352,337,840 | 96.3% |
| *Results are for all funds within the same trust. |
6
Shareholders of Vanguard S&P Small-Cap 600 Value Index Fund did approve, but shareholders of Vanguard S&P Small-Cap 600 Growth Index Fund and Vanguard S&P Small-Cap 600 Index Fund did not approve, the following proposals:
Proposal 2—Approve a manager-of-managers arrangement with third-party investment advisors.
This arrangement enables the fund to enter into and materially amend investment advisory arrangements with third-party investment advisors, subject to the approval of the fund’s board of trustees and certain conditions imposed by the Securities and Exchange Commission, while avoiding the costs and delays associated with obtaining future shareholder approval.
| | | | | |
| | | | | Broker | Percentage |
| Vanguard Fund | For | Abstain | Against | Non-Votes | For |
| S&P Small-Cap 600 Growth | | | | | |
| Index Fund | 774,207 | 44,706 | 51,966 | 398,271 | 61.0%* |
| S&P Small-Cap 600 | | | | | |
| Index Fund | 2,862,091 | 209,535 | 93,279 | 1,134,725 | 66.6%* |
| S&P Small-Cap 600 Value | | | | | |
| Index Fund | 809,648 | 54,638 | 39,715 | 280,176 | 68.4% |
| * Although a sufficient percentage of the fund’s shares outstanding were voted, the “Percentage For” was not high enough for the proposal to pass. |
Proposal 3—Approve a manager-of-managers arrangement with wholly owned subsidiaries of Vanguard.
This arrangement enables Vanguard or the fund to enter into and materially amend investment advisory arrangements with wholly owned subsidiaries of Vanguard, subject to the approval of the fund’s board of trustees and any conditions imposed by the Securities and Exchange Commission (SEC), while avoiding the costs and delays associated with obtaining future shareholder approval. The ability of the fund to operate in this manner is contingent upon the SEC’s approval of a pending application for an order of exemption.
| | | | | |
| | | | | Broker | Percentage |
| Vanguard Fund | For | Abstain | Against | Non-Votes | For |
| S&P Small-Cap 600 Growth | | | | | |
| Index Fund | 771,003 | 45,879 | 53,997 | 398,271 | 60.8%* |
| S&P Small-Cap 600 Index | | | | | |
| Fund | 2,863,019 | 209,556 | 92,330 | 1,134,725 | 66.6%* |
| S&P Small-Cap 600 Value | | | | | |
| Index Fund | 813,084 | 55,474 | 35,444 | 280,176 | 68.7% |
| * Although a sufficient percentage of the fund’s shares outstanding were voted, the “Percentage For” was not high enough for the proposal to pass. |
7
S&P Small-Cap 600 Index Fund
Fund Profile
As of February 28, 2018
| | |
| Share-Class Characteristics | | |
| | ETF | Institutional |
| | Shares | Shares |
| Ticker Symbol | VIOO | VSMSX |
| Expense Ratio1 | 0.15% | 0.08% |
| 30-Day SEC Yield | 1.14% | 1.21% |
| | | |
| Portfolio Characteristics | | |
| | | | DJ |
| | | S&P | U.S. Total |
| | | SmallCap | Market |
| | Fund | 600 Index | FA Index |
| Number of Stocks | 603 | 601 | 3,746 |
| Median Market Cap | $1.7B | $1.7B | $68.2B |
| Price/Earnings Ratio | 21.5x | 21.5x | 21.7x |
| Price/Book Ratio | 2.2x | 2.2x | 3.0x |
| Return on Equity | 9.0% | 9.0% | 15.0% |
| Earnings Growth | | | |
| Rate | 9.2% | 9.2% | 8.5% |
| Dividend Yield | 1.3% | 1.3% | 1.7% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | | | |
| (Annualized) | 13% | — | — |
| Short-Term | | | |
| Reserves | 0.0% | — | — |
| | |
| Volatility Measures | | |
| | | DJ |
| | S&P | U.S. Total |
| | SmallCap | Market |
| | 600 Index | FA Index |
| R-Squared | 1.00 | 0.64 |
| Beta | 1.00 | 1.05 |
| 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) | |
| Nektar Therapeutics | Pharmaceuticals | 1.8% |
| Cantel Medical Corp. | Health Care | |
| | Equipment | 0.5 |
| Chemed Corp. | Health Care Services | 0.5 |
| Lumentum Holdings Inc. Communications | |
| | Equipment | 0.5 |
| On Assignment Inc. | Human Resource & | |
| | Employment | |
| | Services | 0.5 |
| Haemonetics Corp. | Health Care Supplies | 0.5 |
| Five Below Inc. | Specialty Stores | 0.5 |
| CACI International Inc. | IT Consulting & | |
| | Other Services | 0.5 |
| Evercore Inc. | Investment Banking | |
| | & Brokerage | 0.5 |
| John Bean Technologies | | |
| Corp. | Industrial Machinery | 0.5 |
| Top Ten | | 6.3% |
| The holdings listed exclude any temporary cash investments and equity index products. |
Investment Focus
1 The expense ratios shown are from the prospectus dated December 22, 2017, and represent estimated costs for the current fiscal year.
For the six months ended February 28, 2018, the annualized expense ratios were 0.15% for ETF Shares and 0.08% for Institutional Shares.
8
S&P Small-Cap 600 Index Fund
| | | |
| Sector Diversification (% of equity exposure) |
| | | | DJ |
| | | S&P U.S. Total |
| | | SmallCap Market |
| | Fund | 600 Index | FA Index |
| Consumer Discretionary | 14.5% | 14.5% | 13.0% |
| Consumer Staples | 2.5 | 2.5 | 6.8 |
| Energy | 3.2 | 3.2 | 5.2 |
| Financials | 17.1 | 17.1 | 15.4 |
| Health Care | 14.8 | 14.8 | 13.4 |
| Industrials | 18.9 | 18.9 | 10.8 |
| Information Technology | 14.8 | 14.8 | 24.2 |
| Materials | 5.3 | 5.3 | 3.3 |
| Real Estate | 5.2 | 5.2 | 3.5 |
| Telecommunication | | | |
| Services | 1.2 | 1.2 | 1.7 |
| Utilities | 2.5 | 2.5 | 2.7 |
Sector categories are based on the Global Industry Classification
Standard (“GICS”), except for the “Other” category (if applicable),
which includes securities that have not been provided a GICS
classification as of the effective reporting period.
9
S&P Small-Cap 600 Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): September 7, 2010, Through February 28, 2018
Note: For 2018, performance data reflect the six months ended February 28, 2018.
Average Annual Total Returns: Periods Ended December 31, 2017
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 | | 13.24% | 15.88% | 16.37% |
| Net Asset Value | | 13.31 | 15.89 | 16.36 |
| Institutional Shares | 4/1/20111 | 13.37 | 15.97 | 12.96 |
1 Institutional Shares were first issued on December 15, 2010, and the sole shareholder redeemed shortly thereafter. Institutional Shares
were next issued on April 1, 2011. The total returns shown are based on the period beginning April 1, 2011.
See Financial Highlights for dividend and capital gains information.
10
S&P Small-Cap 600 Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 28, 2018
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 (14.5%) | |
| * | Five Below Inc. | 116,771 | 7,806 |
| | Marriott Vacations | | |
| | Worldwide Corp. | 49,876 | 7,008 |
| * | Ollie’s Bargain Outlet | | |
| | Holdings Inc. | 103,965 | 6,170 |
| | Wolverine World Wide Inc. | 202,330 | 5,924 |
| | LCI Industries | 52,741 | 5,765 |
| * | Shutterfly Inc. | 69,491 | 5,332 |
| | Lithia Motors Inc. Class A | 50,792 | 5,277 |
| | Children’s Place Inc. | 36,814 | 5,239 |
| * | TopBuild Corp. | 75,189 | 5,236 |
| * | Steven Madden Ltd. | 112,620 | 4,944 |
| * | Penn National Gaming Inc. | 177,435 | 4,722 |
| * | Dorman Products Inc. | 63,498 | 4,381 |
| * | Cooper-Standard Holdings | | |
| | Inc. | 33,404 | 4,070 |
| *,^ | iRobot Corp. | 58,942 | 4,005 |
| * | Dave & Buster’s | | |
| | Entertainment Inc. | 86,928 | 3,892 |
| | Monro Inc. | 69,303 | 3,528 |
| * | Meritage Homes Corp. | 80,141 | 3,398 |
| * | RH | 39,791 | 3,377 |
| * | G-III Apparel Group Ltd. | 87,669 | 3,236 |
| | World Wrestling | | |
| | Entertainment Inc. | | |
| | Class A | 84,667 | 3,230 |
| | La-Z-Boy Inc. | 102,083 | 3,134 |
| | Callaway Golf Co. | 200,084 | 3,097 |
| * | American Axle & | | |
| | Manufacturing Holdings | | |
| | Inc. | 209,664 | 3,095 |
| | DSW Inc. Class A | 152,827 | 2,997 |
| * | Fox Factory Holding Corp. | 79,427 | 2,982 |
| | Abercrombie & Fitch Co. | 143,798 | 2,967 |
| * | Sleep Number Corp. | 84,194 | 2,900 |
| | Dine Brands Global Inc. | 38,047 | 2,891 |
| | | |
| | Group 1 Automotive Inc. | 41,466 | 2,855 |
| * | Cavco Industries Inc. | 17,935 | 2,853 |
| * | JC Penney Co. Inc. | 657,783 | 2,848 |
| | Oxford Industries Inc. | 35,572 | 2,843 |
| | Wingstop Inc. | 61,533 | 2,788 |
| | Chico’s FAS Inc. | 270,267 | 2,713 |
| | Winnebago Industries | | |
| | Inc. | 61,220 | 2,666 |
| * | Installed Building | | |
| | Products Inc. | 44,485 | 2,658 |
| | MDC Holdings Inc. | 95,091 | 2,632 |
| * | Asbury Automotive | | |
| | Group Inc. | 39,224 | 2,583 |
| | Caleres Inc. | 90,879 | 2,546 |
| | Tailored Brands Inc. | 104,024 | 2,435 |
| * | Gentherm Inc. | 77,483 | 2,386 |
| | Gannett Co. Inc. | 236,411 | 2,374 |
| ^ | Sonic Corp. | 85,230 | 2,141 |
| | Scholastic Corp. | 58,450 | 2,128 |
| * | Vista Outdoor Inc. | 121,222 | 2,089 |
| * | LGI Homes Inc. | 36,784 | 2,082 |
| * | Belmond Ltd. Class A | 177,237 | 2,047 |
| | Strayer Education Inc. | 22,412 | 2,009 |
| | Standard Motor | | |
| | Products Inc. | 42,974 | 2,005 |
| | Guess? Inc. | 126,731 | 2,001 |
| | Core-Mark Holding Co. | | |
| | Inc. | 97,693 | 2,000 |
| | PetMed Express Inc. | 43,561 | 1,969 |
| | Nutrisystem Inc. | 63,518 | 1,953 |
| | New Media Investment | | |
| | Group Inc. | 112,697 | 1,944 |
| | Capella Education Co. | 24,714 | 1,920 |
| * | Career Education Corp. | 138,919 | 1,838 |
| * | Crocs Inc. | 147,348 | 1,804 |
| * | M/I Homes Inc. | 58,328 | 1,694 |
| * | Genesco Inc. | 42,113 | 1,655 |
| | BJ’s Restaurants Inc. | 37,999 | 1,653 |
| | EW Scripps Co. Class A | 117,031 | 1,612 |
11
S&P Small-Cap 600 Index Fund
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| ^ | Sturm Ruger & Co. Inc. | 36,836 | 1,586 |
| | Ruth’s Hospitality Group | | |
| | Inc. | 61,628 | 1,513 |
| *,^ | Shake Shack Inc. Class A | 38,792 | 1,513 |
| * | Universal Electronics Inc. | 30,271 | 1,498 |
| * | William Lyon Homes | | |
| | Class A | 58,853 | 1,488 |
| * | Red Robin Gourmet | | |
| | Burgers Inc. | 27,347 | 1,467 |
| * | Lumber Liquidators | | |
| | Holdings Inc. | 60,151 | 1,393 |
| | Ethan Allen Interiors Inc. | 53,476 | 1,270 |
| * | Unifi Inc. | 36,117 | 1,264 |
| | Buckle Inc. | 59,808 | 1,259 |
| *,^ | Fossil Group Inc. | 91,406 | 1,223 |
| * | Express Inc. | 166,952 | 1,205 |
| * | Regis Corp. | 74,098 | 1,192 |
| | Marcus Corp. | 40,565 | 1,095 |
| * | American Public | | |
| | Education Inc. | 34,525 | 1,062 |
| * | Hibbett Sports Inc. | 40,447 | 1,042 |
| | Movado Group Inc. | 32,881 | 1,019 |
| | Sonic Automotive Inc. | | |
| | Class A | 51,996 | 1,019 |
| * | Monarch Casino & | | |
| | Resort Inc. | 23,997 | 1,013 |
| * | MarineMax Inc. | 46,748 | 977 |
| * | Fiesta Restaurant | | |
| | Group Inc. | 57,437 | 976 |
| * | Chuy’s Holdings Inc. | 35,868 | 968 |
| | Finish Line Inc. Class A | 85,060 | 903 |
| * | Biglari Holdings Inc. | 2,138 | 896 |
| ^ | Rent-A-Center Inc. | 112,957 | 849 |
| | Haverty Furniture Cos. | | |
| | Inc. | 41,132 | 837 |
| * | Motorcar Parts of | | |
| | America Inc. | 40,305 | 821 |
| * | Ascena Retail Group Inc. | 360,754 | 819 |
| * | Nautilus Inc. | 65,190 | 773 |
| * | Zumiez Inc. | 38,454 | 758 |
| * | Perry Ellis International Inc. | 26,711 | 712 |
| | Superior Industries | | |
| | International Inc. | 49,254 | 712 |
| * | Barnes & Noble Education | | |
| | Inc. | 78,946 | 576 |
| | Shoe Carnival Inc. | 24,121 | 563 |
| | Cato Corp. Class A | 49,084 | 558 |
| | Barnes & Noble Inc. | 119,611 | 538 |
| * | El Pollo Loco Holdings Inc. | 45,895 | 447 |
| * | Vera Bradley Inc. | 40,534 | 408 |
| * | Francesca’s Holdings Corp. | 77,481 | 404 |
| | Tile Shop Holdings Inc. | 72,722 | 393 |
| * | Kirkland’s Inc. | 33,960 | 298 |
| ^ | Big 5 Sporting Goods Corp. | 42,406 | 261 |
| | | |
| ^ | Fred’s Inc. Class A | 76,002 | 253 |
| * | FTD Cos. Inc. | 35,734 | 215 |
| * | Vitamin Shoppe Inc. | 51,317 | 192 |
| | | | 234,555 |
| Consumer Staples (2.5%) | | |
| * | Darling Ingredients Inc. | 348,557 | 6,340 |
| | J&J Snack Foods Corp. | 31,579 | 4,242 |
| | B&G Foods Inc. | 140,593 | 3,894 |
| | WD-40 Co. | 29,548 | 3,685 |
| | Calavo Growers Inc. | 33,362 | 2,847 |
| * | Cal-Maine Foods Inc. | 62,948 | 2,682 |
| * | Central Garden & Pet Co. | | |
| | Class A | 73,537 | 2,665 |
| | Universal Corp. | 53,108 | 2,610 |
| | Andersons Inc. | 55,768 | 1,955 |
| | Coca-Cola Bottling Co. | | |
| | Consolidated | 9,823 | 1,833 |
| | Inter Parfums Inc. | 36,293 | 1,539 |
| | Medifast Inc. | 22,187 | 1,415 |
| | SpartanNash Co. | 78,191 | 1,311 |
| | SUPERVALU Inc. | 80,975 | 1,152 |
| | John B Sanfilippo & Son | | |
| | Inc. | 18,436 | 1,065 |
| * | Central Garden & Pet Co. | 22,173 | 857 |
| * | Seneca Foods Corp. | | |
| | Class A | 14,282 | 416 |
| | | | 40,508 |
| Energy (3.2%) | | |
| * | PDC Energy Inc. | 139,252 | 7,315 |
| * | SRC Energy Inc. | 510,376 | 4,527 |
| | US Silica Holdings Inc. | 171,793 | 4,448 |
| * | McDermott International | | |
| | Inc. | 600,151 | 4,381 |
| * | Oil States International Inc. | 113,575 | 2,794 |
| * | Carrizo Oil & Gas Inc. | 163,599 | 2,299 |
| * | Unit Corp. | 111,613 | 2,139 |
| * | Noble Corp. plc | 518,778 | 2,013 |
| * | Denbury Resources Inc. | 850,494 | 1,863 |
| * | Helix Energy Solutions | | |
| | Group Inc. | 294,197 | 1,753 |
| * | Exterran Corp. | 67,584 | 1,748 |
| * | CONSOL Energy Inc. | 54,755 | 1,735 |
| * | Ring Energy Inc. | 113,172 | 1,536 |
| * | Newpark Resources Inc. | 182,141 | 1,503 |
| | Green Plains Inc. | 81,883 | 1,498 |
| * | SEACOR Holdings Inc. | 35,644 | 1,480 |
| | Archrock Inc. | 150,490 | 1,430 |
| | Bristow Group Inc. | 68,251 | 1,007 |
| * | REX American Resources | | |
| | Corp. | 12,245 | 988 |
| * | Bill Barrett Corp. | 209,133 | 947 |
| * | Par Pacific Holdings Inc. | 53,367 | 908 |
| * | TETRA Technologies Inc. | 246,252 | 894 |
| * | Matrix Service Co. | 56,741 | 811 |
12
S&P Small-Cap 600 Index Fund
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| * | Cloud Peak Energy Inc. | 159,022 | 523 |
| * | Pioneer Energy Services | | |
| | Corp. | 164,297 | 452 |
| * | Era Group Inc. | 42,921 | 406 |
| *,^ | CARBO Ceramics Inc. | 46,543 | 316 |
| * | Geospace Technologies | | |
| | Corp. | 28,855 | 295 |
| | Gulf Island Fabrication Inc. | 28,813 | 238 |
| | | | 52,247 |
| Financials (17.1%) | | |
| | Evercore Inc. Class A | 81,680 | 7,600 |
| | FirstCash Inc. | 99,840 | 7,358 |
| | Selective Insurance Group | | |
| | Inc. | 123,465 | 7,019 |
| | Columbia Banking System | | |
| | Inc. | 154,543 | 6,457 |
| | First Financial Bankshares | | |
| | Inc. | 140,158 | 6,447 |
| | Glacier Bancorp Inc. | 165,117 | 6,423 |
| * | Green Dot Corp. Class A | 96,781 | 6,303 |
| | American Equity | | |
| | Investment Life Holding | | |
| | Co. | 188,566 | 5,772 |
| | Community Bank System | | |
| | Inc. | 107,216 | 5,716 |
| *,^ | LendingTree Inc. | 15,956 | 5,561 |
| | ProAssurance Corp. | 112,924 | 5,398 |
| | First Midwest Bancorp | | |
| | Inc. | 217,526 | 5,269 |
| | Great Western Bancorp | | |
| | Inc. | 124,405 | 5,087 |
| | RLI Corp. | 82,017 | 4,987 |
| | CVB Financial Corp. | 216,743 | 4,985 |
| | Hope Bancorp Inc. | 272,099 | 4,914 |
| | Old National Bancorp | 283,331 | 4,817 |
| | Simmons First National | | |
| | Corp. Class A | 165,187 | 4,700 |
| | United Community Banks | | |
| | Inc. | 151,981 | 4,698 |
| | Financial Engines Inc. | 133,951 | 4,487 |
| *,^ | BofI Holding Inc. | 118,441 | 4,405 |
| | Ameris Bancorp | 78,698 | 4,183 |
| | Independent Bank Corp. | 58,090 | 4,031 |
| | Banner Corp. | 69,442 | 3,839 |
| | ServisFirst Bancshares | | |
| | Inc. | 95,303 | 3,827 |
| | Apollo Commercial Real | | |
| | Estate Finance Inc. | 206,706 | 3,775 |
| | LegacyTexas Financial | | |
| | Group Inc. | 89,392 | 3,745 |
| * | PRA Group Inc. | 95,515 | 3,658 |
| | Invesco Mortgage Capital | | |
| | Inc. | 236,459 | 3,634 |
| | First Financial Bancorp | 131,347 | 3,573 |
| | | |
| | Northwest Bancshares | | |
| | Inc. | 217,294 | 3,566 |
| | Horace Mann Educators | | |
| | Corp. | 86,006 | 3,539 |
| | Waddell & Reed Financial | | |
| | Inc. Class A | 176,404 | 3,528 |
| * | Pacific Premier Bancorp | | |
| | Inc. | 82,079 | 3,451 |
| | NBT Bancorp Inc. | 91,847 | 3,196 |
| | Westamerica | | |
| | Bancorporation | 55,658 | 3,189 |
| | Provident Financial | | |
| | Services Inc. | 128,040 | 3,186 |
| | S&T Bancorp Inc. | 73,848 | 2,914 |
| | Walker & Dunlop Inc. | 59,769 | 2,889 |
| | First Commonwealth | | |
| | Financial Corp. | 205,660 | 2,873 |
| | Infinity Property & | | |
| | Casualty Corp. | 23,113 | 2,726 |
| | Employers Holdings Inc. | 68,605 | 2,686 |
| * | Seacoast Banking Corp. | | |
| | of Florida | 99,200 | 2,601 |
| | Boston Private Financial | | |
| | Holdings Inc. | 177,901 | 2,597 |
| | Brookline Bancorp Inc. | 161,842 | 2,565 |
| * | Third Point Reinsurance | | |
| | Ltd. | 183,987 | 2,557 |
| | Navigators Group Inc. | 47,442 | 2,557 |
| | Piper Jaffray Cos. | 30,030 | 2,508 |
| * | NMI Holdings Inc. Class A | 119,955 | 2,381 |
| | WisdomTree Investments | | |
| | Inc. | 243,232 | 2,338 |
| * | First BanCorp | 384,161 | 2,317 |
| | Safety Insurance Group | | |
| | Inc. | 32,152 | 2,294 |
| | AMERISAFE Inc. | 40,701 | 2,279 |
| | City Holding Co. | 33,102 | 2,230 |
| * | Encore Capital Group Inc. | 50,089 | 2,144 |
| | PennyMac Mortgage | | |
| | Investment Trust | 127,588 | 2,127 |
| | Hanmi Financial Corp. | 68,375 | 2,089 |
| | Meta Financial Group Inc. | 19,212 | 2,063 |
| | Stewart Information | | |
| | Services Corp. | 50,264 | 2,017 |
| | Tompkins Financial Corp. | 26,063 | 2,000 |
| | United Fire Group Inc. | 44,744 | 1,990 |
| | Universal Insurance | | |
| | Holdings Inc. | 67,724 | 1,984 |
| | Southside Bancshares Inc. | 58,121 | 1,941 |
| | ARMOUR Residential | | |
| | REIT Inc. | 88,771 | 1,902 |
| | Virtus Investment | | |
| | Partners Inc. | 15,130 | 1,862 |
| | National Bank Holdings | | |
| | Corp. Class A | 56,749 | 1,849 |
13
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | Banc of California Inc. | 90,095 | 1,797 |
| * | Customers Bancorp Inc. | 61,259 | 1,797 |
| | Central Pacific Financial | | |
| | Corp. | 63,879 | 1,780 |
| | TrustCo Bank Corp. NY | 203,346 | 1,728 |
| | James River Group | | |
| | Holdings Ltd. | 52,527 | 1,718 |
| | Capstead Mortgage Corp. | 202,807 | 1,693 |
| * | HomeStreet Inc. | 56,882 | 1,633 |
| * | Enova International Inc. | 70,734 | 1,556 |
| | Northfield Bancorp Inc. | 98,388 | 1,527 |
| * | EZCORP Inc. Class A | 108,697 | 1,413 |
| | Investment Technology | | |
| | Group Inc. | 70,015 | 1,388 |
| * | World Acceptance Corp. | 12,440 | 1,338 |
| * | INTL. FCStone Inc. | 32,954 | 1,307 |
| | Oritani Financial Corp. | 83,224 | 1,298 |
| * | Donnelley Financial | | |
| | Solutions Inc. | 71,346 | 1,235 |
| | Dime Community | | |
| | Bancshares Inc. | 64,967 | 1,169 |
| * | Green Bancorp Inc. | 51,940 | 1,132 |
| ^ | Greenhill & Co. Inc. | 51,665 | 1,051 |
| | Fidelity Southern Corp. | 46,609 | 1,049 |
| | Opus Bank | 36,516 | 1,024 |
| | OFG Bancorp | 93,073 | 1,001 |
| | Maiden Holdings Ltd. | 147,070 | 882 |
| | United Insurance Holdings | | |
| | Corp. | 43,566 | 852 |
| | HCI Group Inc. | 16,824 | 583 |
| * | eHealth Inc. | 34,598 | 564 |
| | Interactive Brokers | | |
| | Group Inc. | 74 | 5 |
| | | | 276,123 |
| Health Care (14.8%) | | |
| * | Nektar Therapeutics | | |
| | Class A | 333,130 | 28,836 |
| | Cantel Medical Corp. | 75,417 | 8,772 |
| | Chemed Corp. | 33,772 | 8,768 |
| * | Haemonetics Corp. | 111,740 | 7,922 |
| * | ICU Medical Inc. | 31,931 | 7,384 |
| * | Integra LifeSciences | | |
| | Holdings Corp. | 134,474 | 7,091 |
| * | Ligand Pharmaceuticals | | |
| | Inc. | 44,656 | 6,783 |
| * | Neogen Corp. | 107,815 | 6,282 |
| * | HealthEquity Inc. | 108,801 | 6,265 |
| * | AMN Healthcare Services | | |
| | Inc. | 101,094 | 5,626 |
| * | Magellan Health Inc. | 50,837 | 5,129 |
| * | Merit Medical Systems | | |
| | Inc. | 106,149 | 4,830 |
| * | Myriad Genetics Inc. | 146,529 | 4,751 |
| * | Inogen Inc. | 36,188 | 4,372 |
| | | |
| * | Supernus | | |
| | Pharmaceuticals Inc. | 108,496 | 4,221 |
| * | Medicines Co. | 135,633 | 4,153 |
| * | Spectrum | | |
| | Pharmaceuticals Inc. | 191,756 | 4,125 |
| * | Select Medical Holdings | | |
| | Corp. | 226,373 | 4,097 |
| * | Emergent BioSolutions | | |
| | Inc. | 74,266 | 3,691 |
| * | Cambrex Corp. | 69,323 | 3,601 |
| * | Amedisys Inc. | 60,269 | 3,569 |
| * | Omnicell Inc. | 80,248 | 3,503 |
| | Abaxis Inc. | 48,004 | 3,200 |
| * | Impax Laboratories Inc. | 156,678 | 3,196 |
| | CONMED Corp. | 52,571 | 3,182 |
| * | Corcept Therapeutics Inc. | 200,547 | 3,046 |
| * | Integer Holdings Corp. | 59,628 | 3,044 |
| * | HMS Holdings Corp. | 177,808 | 2,852 |
| * | Tivity Health Inc. | 72,046 | 2,777 |
| * | Varex Imaging Corp. | 79,397 | 2,770 |
| * | Momenta | | |
| | Pharmaceuticals Inc. | 161,490 | 2,753 |
| | Ensign Group Inc. | 101,809 | 2,718 |
| * | Repligen Corp. | 79,226 | 2,717 |
| * | Innoviva Inc. | 155,497 | 2,412 |
| * | Enanta Pharmaceuticals | | |
| | Inc. | 30,210 | 2,375 |
| * | Acorda Therapeutics Inc. | 98,838 | 2,347 |
| * | LHC Group Inc. | 34,409 | 2,215 |
| * | OraSure Technologies Inc. | 128,228 | 2,213 |
| | Analogic Corp. | 26,420 | 2,206 |
| * | Orthofix International NV | 38,447 | 2,153 |
| * | BioTelemetry Inc. | 65,004 | 2,100 |
| * | Diplomat Pharmacy Inc. | 100,469 | 2,094 |
| | US Physical Therapy Inc. | 26,614 | 2,063 |
| * | Natus Medical Inc. | 65,893 | 2,053 |
| | Luminex Corp. | 86,790 | 1,702 |
| | Kindred Healthcare Inc. | 183,923 | 1,692 |
| * | Anika Therapeutics Inc. | 31,024 | 1,615 |
| | Phibro Animal Health | | |
| | Corp. Class A | 41,363 | 1,590 |
| * | AMAG Pharmaceuticals | | |
| | Inc. | 74,931 | 1,577 |
| * | Almost Family Inc. | 26,574 | 1,567 |
| *,^ | MiMedx Group Inc. | 215,947 | 1,531 |
| * | Providence Service Corp. | 23,637 | 1,502 |
| * | Amphastar | | |
| | Pharmaceuticals Inc. | 74,759 | 1,373 |
| * | CryoLife Inc. | 70,091 | 1,328 |
| * | Cutera Inc. | 29,329 | 1,321 |
| * | HealthStream Inc. | 53,997 | 1,305 |
| * | AngioDynamics Inc. | 77,655 | 1,265 |
| * | Quality Systems Inc. | 99,839 | 1,253 |
| | Meridian Bioscience Inc. | 89,253 | 1,245 |
14
S&P Small-Cap 600 Index Fund
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| * | Community Health | | |
| | Systems Inc. | 243,026 | 1,244 |
| * | ANI Pharmaceuticals Inc. | 18,981 | 1,216 |
| | Invacare Corp. | 69,319 | 1,192 |
| | LeMaitre Vascular Inc. | 32,244 | 1,121 |
| * | Lannett Co. Inc. | 63,796 | 1,021 |
| * | Cross Country Healthcare | | |
| | Inc. | 77,299 | 1,001 |
| * | CorVel Corp. | 20,364 | 997 |
| * | Tactile Systems | | |
| | Technology Inc. | 30,716 | 994 |
| * | Progenics | | |
| | Pharmaceuticals Inc. | 148,764 | 994 |
| * | Eagle Pharmaceuticals Inc. | 17,686 | 993 |
| * | Lantheus Holdings Inc. | 62,761 | 960 |
| * | Heska Corp. | 13,793 | 938 |
| * | Depomed Inc. | 133,167 | 915 |
| * | Surmodics Inc. | 27,806 | 837 |
| * | Cytokinetics Inc. | 107,203 | 831 |
| | Computer Programs & | | |
| | Systems Inc. | 23,651 | 705 |
| | Aceto Corp. | 63,547 | 456 |
| * | Quorum Health Corp. | 60,450 | 359 |
| | | | 238,897 |
| Industrials (18.8%) | | |
| * | On Assignment Inc. | 103,431 | 7,932 |
| | John Bean Technologies | | |
| | Corp. | 66,769 | 7,395 |
| * | Trex Co. Inc. | 62,258 | 6,437 |
| | Barnes Group Inc. | 104,245 | 6,287 |
| | SkyWest Inc. | 109,684 | 6,011 |
| | Hillenbrand Inc. | 133,192 | 5,847 |
| | Applied Industrial | | |
| | Technologies Inc. | 82,166 | 5,784 |
| | Tetra Tech Inc. | 117,898 | 5,771 |
| * | Moog Inc. Class A | 68,427 | 5,736 |
| * | Proto Labs Inc. | 52,410 | 5,710 |
| | Insperity Inc. | 78,464 | 5,124 |
| | UniFirst Corp. | 32,660 | 5,072 |
| | Korn/Ferry International | 119,430 | 5,005 |
| | Simpson Manufacturing | | |
| | Co. Inc. | 89,132 | 4,931 |
| * | Mercury Systems Inc. | 102,025 | 4,690 |
| | Watts Water Technologies | | |
| | Inc. Class A | 58,802 | 4,440 |
| | Allegiant Travel Co. | | |
| | Class A | 26,514 | 4,409 |
| * | WageWorks Inc. | 83,979 | 4,405 |
| * | SPX FLOW Inc. | 89,415 | 4,360 |
| * | Aerojet Rocketdyne | | |
| | Holdings Inc. | 158,802 | 4,288 |
| | Universal Forest | | |
| | Products Inc. | 129,312 | 4,260 |
| | Exponent Inc. | 54,559 | 4,242 |
| | | |
| | ABM Industries Inc. | 117,188 | 4,120 |
| | Hawaiian Holdings Inc. | 110,928 | 3,993 |
| | Mobile Mini Inc. | 93,668 | 3,929 |
| * | Saia Inc. | 53,908 | 3,916 |
| | Albany International Corp. | 61,397 | 3,908 |
| *,^ | Axon Enterprise Inc. | 111,927 | 3,898 |
| * | American Woodmark Corp. | 30,341 | 3,896 |
| * | FTI Consulting Inc. | 80,346 | 3,832 |
| | Brady Corp. Class A | 101,662 | 3,802 |
| | Kaman Corp. | 58,681 | 3,592 |
| * | Chart Industries Inc. | 65,075 | 3,586 |
| | Matthews International | | |
| | Corp. Class A | 68,039 | 3,487 |
| * | Harsco Corp. | 170,116 | 3,445 |
| | Forward Air Corp. | 62,985 | 3,401 |
| | EnPro Industries Inc. | 45,135 | 3,270 |
| * | Atlas Air Worldwide | | |
| | Holdings Inc. | 53,519 | 3,257 |
| | Cubic Corp. | 52,942 | 3,251 |
| | Mueller Industries Inc. | 122,337 | 3,241 |
| | ESCO Technologies Inc. | 54,663 | 3,220 |
| | Comfort Systems USA Inc. | 78,374 | 3,217 |
| | Franklin Electric Co. Inc. | 81,889 | 3,206 |
| | Greenbrier Cos. Inc. | 60,724 | 3,145 |
| | AAON Inc. | 85,551 | 3,144 |
| | General Cable Corp. | 105,676 | 3,123 |
| * | Patrick Industries Inc. | 50,518 | 3,104 |
| * | Hub Group Inc. Class A | 70,765 | 3,089 |
| | Interface Inc. Class A | 127,380 | 3,083 |
| | Triumph Group Inc. | 105,015 | 2,935 |
| | AAR Corp. | 68,098 | 2,900 |
| | Actuant Corp. Class A | 126,612 | 2,874 |
| * | SPX Corp. | 90,194 | 2,817 |
| | Wabash National Corp. | 124,749 | 2,726 |
| | Federal Signal Corp. | 126,660 | 2,709 |
| | Apogee Enterprises Inc. | 60,538 | 2,612 |
| | Standex International Corp. | 27,098 | 2,604 |
| | Raven Industries Inc. | 75,583 | 2,566 |
| | Matson Inc. | 89,780 | 2,559 |
| | US Ecology Inc. | 46,190 | 2,443 |
| | Tennant Co. | 37,791 | 2,434 |
| | Astec Industries Inc. | 40,455 | 2,383 |
| * | TrueBlue Inc. | 87,419 | 2,378 |
| * | Gibraltar Industries Inc. | 67,094 | 2,328 |
| | Encore Wire Corp. | 44,111 | 2,311 |
| | Alamo Group Inc. | 20,215 | 2,247 |
| | AZZ Inc. | 54,991 | 2,246 |
| | Viad Corp. | 43,084 | 2,243 |
| * | Aerovironment Inc. | 44,881 | 2,231 |
| | Heartland Express Inc. | 105,772 | 2,065 |
| | Briggs & Stratton Corp. | 90,578 | 2,036 |
| | Lindsay Corp. | 22,519 | 1,992 |
| * | Navigant Consulting Inc. | 97,358 | 1,935 |
| | Kelly Services Inc. Class A | 64,346 | 1,898 |
15
S&P Small-Cap 600 Index Fund
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | Multi-Color Corp. | 29,373 | 1,861 |
| * | PGT Innovations Inc. | 105,183 | 1,841 |
| | ArcBest Corp. | 54,271 | 1,796 |
| | Marten Transport Ltd. | 81,842 | 1,772 |
| * | Lydall Inc. | 36,530 | 1,759 |
| | CIRCOR International Inc. | 34,693 | 1,631 |
| * | Aegion Corp. Class A | 68,915 | 1,582 |
| * | Echo Global Logistics Inc. | 55,490 | 1,468 |
| | Titan International Inc. | 104,775 | 1,347 |
| | Quanex Building Products | | |
| | Corp. | 73,520 | 1,231 |
| | Griffon Corp. | 63,983 | 1,196 |
| * | MYR Group Inc. | 34,910 | 1,129 |
| | RR Donnelley & Sons Co. | 148,517 | 1,120 |
| | Insteel Industries Inc. | 38,380 | 1,084 |
| | LSC Communications Inc. | 73,949 | 1,077 |
| | Heidrick & Struggles | | |
| | International Inc. | 39,754 | 1,050 |
| *,^ | Team Inc. | 63,193 | 1,033 |
| * | Engility Holdings Inc. | 37,422 | 1,022 |
| * | DXP Enterprises Inc. | 33,587 | 999 |
| | National Presto | | |
| | Industries Inc. | 10,611 | 963 |
| | Resources Connection Inc. | 60,080 | 934 |
| * | Vicor Corp. | 34,391 | 886 |
| | Forrester Research Inc. | 20,985 | 850 |
| | Essendant Inc. | 79,771 | 633 |
| * | Veritiv Corp. | 23,584 | 572 |
| | Powell Industries Inc. | 18,421 | 491 |
| * | Orion Group Holdings Inc. | 59,853 | 376 |
| * | Roadrunner Transportation | | |
| | Systems Inc. | 67,172 | 257 |
| | | | 304,723 |
| Information Technology (14.8%) | |
| * | Lumentum Holdings Inc. | 131,059 | 7,995 |
| * | CACI International Inc. | | |
| | Class A | 52,070 | 7,761 |
| * | Stamps.com Inc. | 34,392 | 6,571 |
| * | Advanced Energy | | |
| | Industries Inc. | 83,863 | 5,562 |
| | Cabot Microelectronics | | |
| | Corp. | 53,608 | 5,463 |
| * | Rogers Corp. | 38,597 | 5,300 |
| * | Itron Inc. | 72,026 | 5,042 |
| * | Qualys Inc. | 67,377 | 4,989 |
| | Progress Software Corp. | 101,168 | 4,742 |
| * | Semtech Corp. | 140,111 | 4,715 |
| * | Viavi Solutions Inc. | 481,170 | 4,629 |
| * | Anixter International Inc. | 61,211 | 4,624 |
| * | II-VI Inc. | 116,090 | 4,469 |
| * | Plexus Corp. | 71,195 | 4,294 |
| | Power Integrations Inc. | 62,907 | 4,227 |
| * | Sanmina Corp. | 152,265 | 4,195 |
| * | ExlService Holdings Inc. | 71,827 | 4,096 |
| | | |
| | Brooks Automation Inc. | 148,759 | 3,973 |
| | Ebix Inc. | 46,585 | 3,911 |
| | TiVo Corp. | 258,147 | 3,872 |
| * | SolarEdge Technologies | | |
| | Inc. | 76,411 | 3,824 |
| | Travelport Worldwide Ltd. | 265,179 | 3,779 |
| * | NETGEAR Inc. | 66,572 | 3,711 |
| * | 8x8 Inc. | 194,480 | 3,549 |
| * | Kulicke & Soffa Industries | | |
| | Inc. | 149,243 | 3,477 |
| | CSG Systems | | |
| | International Inc. | 70,878 | 3,309 |
| * | Benchmark Electronics | | |
| | Inc. | 104,992 | 3,150 |
| * | TTM Technologies Inc. | 193,810 | 3,132 |
| | ManTech International | | |
| | Corp. Class A | 54,568 | 3,076 |
| | Methode Electronics Inc. | 77,778 | 3,068 |
| * | Rambus Inc. | 232,611 | 2,956 |
| * | MaxLinear Inc. | 128,970 | 2,931 |
| | Badger Meter Inc. | 61,474 | 2,926 |
| * | Bottomline Technologies | | |
| | de Inc. | 74,473 | 2,828 |
| * | Virtusa Corp. | 57,750 | 2,756 |
| * | Extreme Networks Inc. | 236,910 | 2,703 |
| * | Electronics For Imaging | | |
| | Inc. | 96,703 | 2,649 |
| * | Insight Enterprises Inc. | 75,645 | 2,642 |
| * | Oclaro Inc. | 356,962 | 2,559 |
| * | MicroStrategy Inc. | | |
| | Class A | 19,899 | 2,547 |
| * | Sykes Enterprises Inc. | 84,511 | 2,456 |
| * | Diodes Inc. | 81,391 | 2,450 |
| * | Fabrinet | 79,540 | 2,398 |
| * | OSI Systems Inc. | 37,766 | 2,384 |
| | Xperi Corp. | 104,395 | 2,302 |
| * | ePlus Inc. | 30,031 | 2,299 |
| * | Blucora Inc. | 97,625 | 2,275 |
| * | SPS Commerce Inc. | 36,447 | 2,188 |
| * | Cardtronics plc Class A | 96,612 | 2,162 |
| | Monotype Imaging | | |
| | Holdings Inc. | 88,375 | 2,130 |
| * | FARO Technologies Inc. | 35,395 | 2,101 |
| | EVERTEC Inc. | 127,071 | 2,059 |
| * | Shutterstock Inc. | 38,900 | 1,955 |
| * | Alarm.com Holdings Inc. | 52,857 | 1,910 |
| | NIC Inc. | 140,051 | 1,891 |
| * | Cray Inc. | 85,596 | 1,866 |
| * | KEMET Corp. | 103,751 | 1,865 |
| * | Veeco Instruments Inc. | 102,196 | 1,855 |
| | MTS Systems Corp. | 37,511 | 1,836 |
| | CTS Corp. | 69,937 | 1,797 |
| * | Rudolph Technologies Inc. | 66,967 | 1,778 |
| * | ScanSource Inc. | 54,084 | 1,771 |
16
S&P Small-Cap 600 Index Fund
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| * | CalAmp Corp. | 75,393 | 1,764 |
| * | CEVA Inc. | 46,532 | 1,710 |
| * | LivePerson Inc. | 115,715 | 1,672 |
| * | Axcelis Technologies Inc. | 66,460 | 1,625 |
| | ADTRAN Inc. | 102,001 | 1,596 |
| * | Ultra Clean Holdings Inc. | 80,987 | 1,560 |
| * | Super Micro Computer Inc. | 80,433 | 1,456 |
| * | Perficient Inc. | 74,000 | 1,441 |
| * | Nanometrics Inc. | 53,996 | 1,425 |
| * | Electro Scientific | | |
| | Industries Inc. | 70,961 | 1,272 |
| | Cohu Inc. | 59,929 | 1,200 |
| *,^ | Applied Optoelectronics | | |
| | Inc. | 41,052 | 1,147 |
| * | Photronics Inc. | 146,357 | 1,142 |
| | Comtech | | |
| | Telecommunications | | |
| | Corp. | 50,090 | 1,107 |
| * | TTEC Holdings Inc. | 30,125 | 1,074 |
| * | Control4 Corp. | 41,793 | 1,005 |
| * | QuinStreet Inc. | 75,376 | 990 |
| * | XO Group Inc. | 51,088 | 984 |
| * | Synchronoss Technologies | | |
| | Inc. | 92,494 | 864 |
| * | VASCO Data Security | | |
| | International Inc. | 64,032 | 772 |
| | Daktronics Inc. | 82,859 | 738 |
| | Park Electrochemical Corp. | 40,643 | 692 |
| * | PDF Solutions Inc. | 58,207 | 648 |
| * | Digi International Inc. | 56,581 | 591 |
| * | DSP Group Inc. | 47,322 | 575 |
| * | Harmonic Inc. | 172,297 | 521 |
| *,^ | Kopin Corp. | 129,405 | 396 |
| * | Liquidity Services Inc. | 53,952 | 370 |
| | Bel Fuse Inc. Class B | 21,082 | 365 |
| * | Agilysys Inc. | 32,461 | 363 |
| * | DHI Group Inc. | 99,848 | 165 |
| | | | 238,960 |
| Materials (5.3%) | | |
| * | Ingevity Corp. | 89,044 | 6,670 |
| | KapStone Paper and | | |
| | Packaging Corp. | 184,518 | 6,438 |
| | HB Fuller Co. | 106,413 | 5,362 |
| | Balchem Corp. | 67,634 | 5,090 |
| | Quaker Chemical Corp. | 28,097 | 4,005 |
| | Kaiser Aluminum Corp. | 35,770 | 3,590 |
| *,^ | AK Steel Holding Corp. | 665,586 | 3,434 |
| | Stepan Co. | 41,812 | 3,349 |
| | Innospec Inc. | 51,000 | 3,312 |
| | Boise Cascade Co. | 81,544 | 3,286 |
| * | Kraton Corp. | 66,201 | 2,808 |
| | Neenah Inc. | 35,615 | 2,730 |
| | A Schulman Inc. | 62,211 | 2,728 |
| * | AdvanSix Inc. | 64,389 | 2,663 |
| | | |
| | Schweitzer-Mauduit | | |
| | International Inc. | 65,082 | 2,552 |
| *,^ | US Concrete Inc. | 33,107 | 2,409 |
| | Calgon Carbon Corp. | 107,521 | 2,285 |
| | Rayonier Advanced | | |
| | Materials Inc. | 109,539 | 2,231 |
| | Materion Corp. | 42,397 | 2,137 |
| * | Century Aluminum Co. | 105,251 | 2,005 |
| | PH Glatfelter Co. | 91,985 | 1,877 |
| * | Koppers Holdings Inc. | 43,928 | 1,775 |
| | Innophos Holdings Inc. | 41,385 | 1,720 |
| * | SunCoke Energy Inc. | 135,950 | 1,452 |
| * | TimkenSteel Corp. | 82,516 | 1,350 |
| * | Clearwater Paper Corp. | 34,811 | 1,309 |
| | Haynes International Inc. | 26,442 | 1,100 |
| | American Vanguard Corp. | 55,541 | 1,083 |
| | Myers Industries Inc. | 46,407 | 879 |
| | Tredegar Corp. | 53,947 | 861 |
| * | Flotek Industries Inc. | 120,222 | 715 |
| | Hawkins Inc. | 20,153 | 675 |
| | FutureFuel Corp. | 53,879 | 646 |
| | Olympic Steel Inc. | 19,404 | 437 |
| * | LSB Industries Inc. | 42,994 | 321 |
| | | | 85,284 |
| Other (0.0%)2 | | |
| *,3 | Gerber Scientific Inc. CVR | 4,758 | 1 |
| |
| Real Estate (5.1%) | | |
| | EastGroup Properties Inc. | 72,754 | 5,895 |
| | PS Business Parks Inc. | 42,187 | 4,677 |
| | DiamondRock Hospitality | | |
| | Co. | 424,198 | 4,361 |
| | Acadia Realty Trust | 177,327 | 4,270 |
| | Retail Opportunity | | |
| | Investments Corp. | 232,589 | 3,991 |
| | Lexington Realty Trust | 457,102 | 3,639 |
| | HFF Inc. Class A | 77,522 | 3,540 |
| | Chesapeake Lodging Trust | 127,378 | 3,294 |
| | LTC Properties Inc. | 83,971 | 3,103 |
| | Agree Realty Corp. | 61,774 | 2,910 |
| | Summit Hotel Properties | | |
| | Inc. | 220,434 | 2,903 |
| | Government Properties | | |
| | Income Trust | 209,512 | 2,874 |
| | Four Corners Property | | |
| | Trust Inc. | 129,507 | 2,844 |
| | American Assets Trust | | |
| | Inc. | 87,402 | 2,772 |
| | Kite Realty Group Trust | 171,666 | 2,599 |
| | National Storage Affiliates | | |
| | Trust | 104,945 | 2,574 |
| | CareTrust REIT Inc. | 160,337 | 2,124 |
| | RE/MAX Holdings Inc. | | |
| | Class A | 37,465 | 2,072 |
17
S&P Small-Cap 600 Index Fund
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | Ramco-Gershenson | | |
| | Properties Trust | 168,077 | 1,980 |
| | Franklin Street Properties | | |
| | Corp. | 227,001 | 1,836 |
| | Easterly Government | | |
| | Properties Inc. | 93,307 | 1,777 |
| | Chatham Lodging Trust | 96,364 | 1,753 |
| | CBL & Associates | | |
| | Properties Inc. | 361,964 | 1,676 |
| | Getty Realty Corp. | 69,328 | 1,636 |
| | Pennsylvania REIT | 147,909 | 1,544 |
| | Independence Realty | | |
| | Trust Inc. | 177,048 | 1,508 |
| | Universal Health Realty | | |
| | Income Trust | 26,660 | 1,476 |
| | Hersha Hospitality Trust | | |
| | Class A | 83,146 | 1,397 |
| | Saul Centers Inc. | 25,634 | 1,254 |
| | Armada Hoffler | | |
| | Properties Inc. | 95,435 | 1,248 |
| | Urstadt Biddle | | |
| | Properties Inc. Class A | 63,114 | 1,106 |
| | Whitestone REIT | 81,809 | 1,010 |
| | Community Healthcare | | |
| | Trust Inc. | 36,267 | 854 |
| | Cedar Realty Trust Inc. | 172,338 | 684 |
| | | | 83,181 |
| Telecommunication Services (1.1%) | |
| * | Vonage Holdings Corp. | 440,473 | 4,471 |
| | Cogent Communications | | |
| | Holdings Inc. | 87,458 | 3,747 |
| * | GCI Liberty Inc. | 55,923 | 2,150 |
| *,^ | Iridium Communications | | |
| | Inc. | 176,121 | 2,061 |
| | Consolidated | | |
| | Communications | | |
| | Holdings Inc. | 136,255 | 1,575 |
| * | Cincinnati Bell Inc. | 89,171 | 1,440 |
| | ATN International Inc. | 23,018 | 1,379 |
| ^ | Frontier Communications | | |
| | Corp. | 166,289 | 1,169 |
| | Spok Holdings Inc. | 42,253 | 657 |
| | | | 18,649 |
| Utilities (2.5%) | | |
| | ALLETE Inc. | 107,543 | 7,329 |
| | Spire Inc. | 102,062 | 6,920 |
| | Avista Corp. | 136,305 | 6,519 |
| | South Jersey Industries | | |
| | Inc. | 168,100 | 4,406 |
| | El Paso Electric Co. | 85,862 | 4,173 |
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | American States Water Co. | 77,568 | 4,120 |
| | California Water Service | | |
| | Group | 101,448 | 3,850 |
| | Northwest Natural Gas Co. | 60,739 | 3,168 |
| | | | 40,485 |
| Total Common Stocks | | |
| (Cost $1,433,168) | | 1,613,613 |
| Temporary Cash Investments (0.9%)1 | |
| Money Market Fund (0.9%) | | |
| 4,5 | Vanguard Market Liquidity | | |
| | Fund, 1.601% | 150,851 | 15,083 |
| |
| | | Face | |
| | | Amount | |
| | | ($000) | |
| U. S. Government and Agency Obligations (0.0%) |
| 6 | United States Treasury | | |
| | Bill, 1.424%, 5/31/18 | 200 | 199 |
| 6 | United States Treasury | | |
| | Bill, 1.475%, 6/21/18 | 300 | 299 |
| | | | 498 |
| Total Temporary Cash Investments | |
| (Cost $15,583) | | 15,581 |
| Total Investments (100.6%) | | |
| (Cost $1,448,751) | | 1,629,194 |
| |
| | | | Amount |
| | | | ($000) |
| Other Assets and Liabilities (-0.6%) | |
| Other Assets | | |
| Investment in Vanguard | | 89 |
| Receivables for Accrued Income | 929 |
| Receivables for Capital Shares Issued | 115 |
| Other Assets | | 105 |
| Total Other Assets | | 1,238 |
| Liabilities | | |
| Payables for Investment Securities | |
| Purchased | | (185) |
| Collateral for Securities on Loan | (10,486) |
| Payables for Capital Shares Redeemed | (578) |
| Payables to Vanguard | | (242) |
| Variation Margin Payable—Future Contracts (92) |
| Total Liabilities | | (11,583) |
| Net Assets (100%) | | 1,618,849 |
18
S&P Small-Cap 600 Index Fund
| |
| At February 28, 2018, net assets consisted of: |
| | Amount |
| | ($000) |
| Paid-in Capital | 1,457,419 |
| Undistributed Net Investment Income | 1,208 |
| Accumulated Net Realized Losses | (20,071) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 180,443 |
| Futures Contracts | (150) |
| Net Assets | 1,618,849 |
| |
| |
| ETF Shares—Net Assets | |
| Applicable to 5,550,000 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 761,893 |
| Net Asset Value Per Share— | |
| ETF Shares | $137.28 |
| |
| | Amount |
| | ($000) |
| Institutional Shares—Net Assets | |
| Applicable to 3,104,251 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 856,956 |
| Net Asset Value Per Share— | |
| Institutional Shares | $276.06 |
• 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 $9,633,000.
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 “Other” represents securities that are not classified by the
fund’s benchmark index.
3 Security value determined using significant unobservable inputs.
4 Affiliated money market fund available only to Vanguard funds
and certain trusts and accounts managed by Vanguard. Rate
shown is the 7-day yield.
5 Includes $10,486,000 of collateral received for securities
on loan.
6 Securities with a value of $348,000 have been segregated
as initial margin for open futures contracts.
CVR—Contingent Value Rights.
REIT—Real Estate Investment Trust.
| | | | |
| Derivative Financial Instruments Outstanding as of Period End | | |
| |
| Futures Contracts | | | | |
| | | | | ($000) |
| | | | | Value and |
| | | Number of | | Unrealized |
| | | Long (Short) | Notional | Appreciation |
| | Expiration | Contracts | Amount | (Depreciation) |
| Long Futures Contracts | | | | |
| E-mini Russell 2000 Index | March 2018 | 68 | 5,138 | (150) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized
gain (loss) for tax purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
19
S&P Small-Cap 600 Index Fund
Statement of Operations
| |
| | Six Months Ended |
| | February28,2018 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 9,677 |
| Interest1 | 21 |
| Securities Lending—Net | 557 |
| Total Income | 10,255 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 184 |
| Management and Administrative—ETF Shares | 364 |
| Management and Administrative—Institutional Shares | 182 |
| Marketing and Distribution—ETF Shares | 23 |
| Marketing and Distribution—Institutional Shares | 10 |
| Custodian Fees | 49 |
| Shareholders’ Reports and Proxy—ETF Shares | 49 |
| Shareholders’ Reports and Proxy—Institutional Shares | 13 |
| Trustees’ Fees and Expenses | 1 |
| Total Expenses | 875 |
| Net Investment Income | 9,380 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1 | 51,110 |
| Futures Contracts | 6 |
| Realized Net Gain (Loss) | 51,116 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities1 | 80,896 |
| Futures Contracts | (143) |
| Change in Unrealized Appreciation (Depreciation) | 80,753 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 141,249 |
| 1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund |
| were $18,000, ($1,000), and ($3,000), respectively. Purchases and sales are for temporary cash investment purposes. |
See accompanying Notes, which are an integral part of the Financial Statements.
20
S&P Small-Cap 600 Index Fund
Statement of Changes in Net Assets
| | |
| | Six Months Ended | Year Ended |
| | February 28, | August 31, |
| | 2018 | 2017 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 9,380 | 13,778 |
| Realized Net Gain (Loss) | 51,116 | 29,661 |
| Change in Unrealized Appreciation (Depreciation) | 80,753 | 57,649 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 141,249 | 101,088 |
| Distributions | | |
| Net Investment Income | | |
| ETF Shares | (8,287) | (4,355) |
| Institutional Shares | (9,557) | (4,245) |
| Realized Capital Gain | | |
| ETF Shares | — | — |
| Institutional Shares | — | — |
| Total Distributions | (17,844) | (8,600) |
| Capital Share Transactions | | |
| ETF Shares | 17,429 | 293,444 |
| Institutional Shares | 123,131 | 295,662 |
| Net Increase (Decrease) from Capital Share Transactions | 140,560 | 589,106 |
| Total Increase (Decrease) | 263,965 | 681,594 |
| Net Assets | | |
| Beginning of Period | 1,354,884 | 673,290 |
| End of Period1 | 1,618,849 | 1,354,884 |
| 1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $1,208,000 and $9,672,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
21
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 | | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $125.83 | $112.23 | $100.42 | $99.81 | $84.98 | $68.12 |
| Investment Operations | | | | | | | |
| Net Investment Income | | . 8031 | 1.5731 | 1.3751 | 1.204 | .976 | 1.024 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | | 12.189 | 13.212 | 11.683 | .497 | 14.697 | 16.854 |
| Total from Investment Operations | 12.992 | 14.785 | 13.058 | 1.701 | 15.673 | 17.878 |
| Distributions | | | | | | | |
| Dividends from Net Investment Income | (1.542) | (1.185) | (1.248) | (1.091) | (.843) | (1.018) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | | (1.542) | (1.185) | (1.248) | (1.091) | (.843) | (1.018) |
| Net Asset Value, End of Period | | $137.28 | $125.83 | $112.23 | $100.42 | $99.81 | $84.98 |
| |
| Total Return | | 10.31% | 13.18% | 13.17% | 1.69% | 18.47% | 26.57% |
| |
| Ratios/Supplemental Data | | | | | | | |
| Net Assets, End of Period (Millions) | $762 | $683 | $342 | $206 | $165 | $85 |
| Ratio of Total Expenses to | | | | | | | |
| Average Net Assets | | 0.15% | 0.15% | 0.15% | 0.15% | 0.15% | 0.15% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | | 1.15% | 1.27% | 1.36% | 1.27% | 1.10% | 1.48% |
| Portfolio Turnover Rate 2 | | 13% | 22% | 15% | 11% | 16% | 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.
22
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 | | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $252.98 | $225.56 | $201.83 | $200.56 | $170.71 | $136.79 |
| Investment Operations | | | | | | | |
| Net Investment Income | | 1.7081 | 3.3031 | 2.9251 | 2.545 | 2.049 | 2.131 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | | 24.493 | 26.605 | 23.454 | 1.019 | 29.565 | 33.883 |
| Total from Investment Operations | 26.201 | 29.908 | 26.379 | 3.564 | 31.614 | 36.014 |
| Distributions | | | | | | | |
| Dividends from Net Investment Income | (3.121) | (2.488) | (2.649) | (2.294) | (1.764) | (2.094) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | | (3.121) | (2.488) | (2.649) | (2.294) | (1.764) | (2.094) |
| Net Asset Value, End of Period | | $276.06 | $252.98 | $225.56 | $201.83 | $200.56 | $170.71 |
| |
| Total Return | | 10.33% | 13.26% | 13.22% | 1.77% | 18.57% | 26.65% |
| |
| Ratios/Supplemental Data | | | | | | | |
| Net Assets, End of Period (Millions) | $857 | $672 | $331 | $238 | $179 | $152 |
| 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 | | 1.22% | 1.34% | 1.43% | 1.34% | 1.17% | 1.55% |
| Portfolio Turnover Rate2 | | 13% | 22% | 15% | 11% | 16% | 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.
23
S&P Small-Cap 600 Index Fund
Notes to Financial Statements
Vanguard S&P Small-Cap 600 Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: 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, 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 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 notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the six months ended February 28, 2018, 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 the notional amounts at each quarter-end during the period.
24
S&P Small-Cap 600 Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2014–2017), and for the period ended February 28, 2018, 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 event 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, 2018, 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.
25
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), shareholder reporting, and the proxy. 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. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2018, the fund had contributed to Vanguard capital in the amount of $89,000, representing 0.01% of the fund’s net assets and 0.04% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine
the fair value of investments). Any investments valued with significant unobservable inputs are
noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as of February 28, 2018, based on the inputs used to value them:
| | | |
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 1,613,612 | — | 1 |
| Temporary Cash Investments | 15,083 | 498 | — |
| Futures Contracts—Liabilities1 | (92) | — | — |
| Total | 1,628,603 | 498 | 1 |
| 1 Represents variation margin on the last day of the reporting period. |
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect
26
S&P Small-Cap 600 Index Fund
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, 2018, the fund realized $54,883,000 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, 2017, the fund had available capital losses totaling $16,323,000 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, 2018; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 28, 2018, the cost of investment securities for tax purposes was $1,448,751,000. Net unrealized appreciation of investment securities for tax purposes was $180,443,000, consisting of unrealized gains of $280,013,000 on securities that had risen in value since their purchase and $99,570,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 28, 2018, the fund purchased $376,242,000 of investment securities and sold $247,761,000 of investment securities, other than temporary cash investments. Purchases and sales include $157,675,000 and $150,245,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
F. Capital share transactions for each class of shares were:
| | | | |
| | Six Months Ended | Year Ended |
| | February 28, 2018 | August 31, 2017 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| ETF Shares | | | | |
| Issued | 182,220 | 1,325 | 407,916 | 3,300 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (164,791) | (1,200) | (114,472) | (925) |
| Net Increase (Decrease)—ETF Shares | 17,429 | 125 | 293,444 | 2,375 |
| Institutional Shares | | | | |
| Issued | 166,727 | 605 | 387,035 | 1,558 |
| Issued in Lieu of Cash Distributions | 7,621 | 27 | 2,776 | 11 |
| Redeemed | (51,217) | (185) | (94,149) | (379) |
| Net Increase (Decrease)—Institutional Shares | 123,131 | 447 | 295,662 | 1,190 |
G. Management has determined that no material events or transactions occurred subsequent to February 28, 2018, that would require recognition or disclosure in these financial statements.
27
S&P Small-Cap 600 Value Index Fund
Fund Profile
As of February 28, 2018
| | |
| Share-Class Characteristics | | |
| | ETF | Institutional |
| | Shares | Shares |
| Ticker Symbol | VIOV | VSMVX |
| Expense Ratio1 | 0.20% | 0.08% |
| 30-Day SEC Yield | 1.54% | 1.66% |
| | | |
| Portfolio Characteristics | | |
| | | S&P | DJ |
| | | SmallCap | U.S. Total |
| | | 600 Value | Market |
| | Fund | Index | FA Index |
| Number of Stocks | 454 | 452 | 3,746 |
| Median Market Cap | $1.5B | $1.5B | $68.2B |
| Price/Earnings Ratio | 18.4x | 18.4x | 21.7x |
| Price/Book Ratio | 1.6x | 1.6x | 3.0x |
| Return on Equity | 8.0% | 8.0% | 15.0% |
| Earnings Growth | | | |
| Rate | 5.3% | 5.3% | 8.5% |
| Dividend Yield | 1.8% | 1.8% | 1.7% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | | | |
| (Annualized) | 40% | — | — |
| Short-Term | | | |
| Reserves | 0.0% | — | — |
| | |
| Volatility Measures | | |
| | S&P | DJ |
| | SmallCap | U.S. Total |
| | 600 Value | Market |
| | Index | FA Index |
| R-Squared | 1.00 | 0.58 |
| Beta | 1.00 | 1.05 |
| 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) | |
| CACI International Inc. | IT Consulting & | |
| | Other Services | 1.0% |
| PDC Energy Inc. | Oil & Gas Exploration | |
| | & Production | 0.9 |
| Spire Inc. | Gas Utilities | 0.9 |
| KapStone Paper and | | |
| Packaging Corp. | Paper Products | 0.8 |
| SkyWest Inc. | Airlines | 0.8 |
| Wolverine World Wide | | |
| Inc. | Footwear | 0.7 |
| Applied Industrial | Trading Companies & | |
| Technologies Inc. | Distributors | 0.7 |
| American Equity | | |
| Investment Life Holding | Life & Health | |
| Co. | Insurance | 0.7 |
| Community Bank | | |
| System Inc. | Regional Banks | 0.7 |
| First Midwest Bancorp | | |
| Inc. | Regional Banks | 0.7 |
| Top Ten | | 7.9% |
| The holdings listed exclude any temporary cash investments and equity index products. |
Investment Focus
1 The expense ratios shown are from the prospectus dated December 22, 2017, and represent estimated costs for the current fiscal year.
For the six months ended February 28, 2018, the annualized expense ratios were 0.20% for ETF Shares and 0.08% for Institutional Shares.
28
S&P Small-Cap 600 Value Index Fund
| | | |
| Sector Diversification (% of equity exposure) |
| | | S&P | DJ |
| | | SmallCap | U.S. Total |
| | | 600 Value | Market |
| | Fund | Index | FA Index |
| Consumer Discretionary 15.3% | 15.3% | 13.0% |
| Consumer Staples | 2.2 | 2.2 | 6.8 |
| Energy | 6.4 | 6.4 | 5.2 |
| Financials | 20.6 | 20.6 | 15.4 |
| Health Care | 6.4 | 6.3 | 13.4 |
| Industrials | 18.8 | 18.8 | 10.8 |
| Information Technology | 13.7 | 13.7 | 24.2 |
| Materials | 7.1 | 7.1 | 3.3 |
| Real Estate | 5.4 | 5.5 | 3.5 |
| Telecommunication | | | |
| Services | 1.2 | 1.2 | 1.7 |
| Utilities | 2.9 | 2.9 | 2.7 |
Sector categories are based on the Global Industry Classification
Standard (“GICS”), except for the “Other” category (if applicable),
which includes securities that have not been provided a GICS
classification as of the effective reporting period.
29
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, 2018
Note: For 2018, performance data reflect the six months ended February 28, 2018.
Average Annual Total Returns: Periods Ended December 31, 2017
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 | | 11.41% | 15.31% | 15.76% |
| Net Asset Value | | 11.50 | 15.33 | 15.76 |
| Institutional Shares | 11/19/20141 | 11.64 | — | 11.92 |
1 Institutional Shares were first issued on December 15, 2010, and the sole shareholder redeemed shortly thereafter. Institutional Shares
were next issued on November 19, 2014. The total returns shown are based on the period beginning November 19, 2014.
See Financial Highlights for dividend and capital gains information.
30
S&P Small-Cap 600 Value Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 28, 2018
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 (99.2%)1 | | |
| Consumer Discretionary (15.2%) | |
| | Wolverine World Wide Inc. | 72,089 | 2,111 |
| * | Cooper-Standard Holdings | | |
| | Inc. | 11,886 | 1,448 |
| | Monro Inc. | 24,691 | 1,257 |
| * | G-III Apparel Group Ltd. | 31,227 | 1,153 |
| * | American Axle & | | |
| | Manufacturing Holdings | | |
| | Inc. | 74,628 | 1,101 |
| | DSW Inc. Class A | 54,450 | 1,068 |
| | Abercrombie & Fitch Co. | 51,248 | 1,057 |
| | Group 1 Automotive Inc. | 14,773 | 1,017 |
| * | JC Penney Co. Inc. | 234,421 | 1,015 |
| | Oxford Industries Inc. | 12,678 | 1,013 |
| | Chico’s FAS Inc. | 96,303 | 967 |
| | Lithia Motors Inc. Class A | 8,869 | 921 |
| * | Asbury Automotive Group | | |
| | Inc. | 13,970 | 920 |
| | Caleres Inc. | 32,371 | 907 |
| | Gannett Co. Inc. | 84,217 | 846 |
| * | Dorman Products Inc. | 11,080 | 764 |
| | Scholastic Corp. | 20,858 | 759 |
| * | Steven Madden Ltd. | 17,232 | 756 |
| * | Vista Outdoor Inc. | 43,198 | 744 |
| * | Shutterfly Inc. | 9,650 | 740 |
| * | Belmond Ltd. Class A | 63,226 | 730 |
| | Standard Motor Products | | |
| | Inc. | 15,335 | 716 |
| | Guess? Inc. | 45,171 | 713 |
| | Core-Mark Holding Co. | | |
| | Inc. | 34,805 | 712 |
| | New Media Investment | | |
| | Group Inc. | 40,113 | 692 |
| * | M/I Homes Inc. | 20,733 | 602 |
| * | Genesco Inc. | 15,010 | 590 |
| | Children’s Place Inc. | 4,063 | 578 |
| * | Meritage Homes Corp. | 13,423 | 569 |
| | | |
| | La-Z-Boy Inc. | 17,811 | 547 |
| * | Universal Electronics Inc. | 10,781 | 534 |
| | Dine Brands Global Inc. | 6,914 | 525 |
| * | Red Robin Gourmet | | |
| | Burgers Inc. | 9,747 | 523 |
| * | Gentherm Inc. | 15,476 | 477 |
| | Ethan Allen Interiors Inc. | 19,046 | 452 |
| | Buckle Inc. | 21,350 | 449 |
| | MDC Holdings Inc. | 16,232 | 449 |
| * | Unifi Inc. | 12,799 | 448 |
| * | Fossil Group Inc. | 32,552 | 436 |
| * | Express Inc. | 59,373 | 429 |
| | Tailored Brands Inc. | 18,164 | 425 |
| * | Regis Corp. | 26,323 | 424 |
| | Marcus Corp. | 14,499 | 391 |
| * | American Public | | |
| | Education Inc. | 12,258 | 377 |
| * | Hibbett Sports Inc. | 14,385 | 370 |
| | Callaway Golf Co. | 23,500 | 364 |
| | Sonic Automotive Inc. | | |
| | Class A | 18,553 | 364 |
| | Capella Education Co. | 4,661 | 362 |
| | Movado Group Inc. | 11,668 | 362 |
| | Sonic Corp. | 14,253 | 358 |
| * | MarineMax Inc. | 16,633 | 348 |
| * | Fiesta Restaurant Group | | |
| | Inc. | 20,395 | 347 |
| * | Chuy’s Holdings Inc. | 12,744 | 344 |
| | Sturm Ruger & Co. Inc. | 7,616 | 328 |
| | Finish Line Inc. Class A | 30,287 | 322 |
| * | Biglari Holdings Inc. | 763 | 320 |
| ^ | Rent-A-Center Inc. | 40,169 | 302 |
| | Haverty Furniture Cos. Inc. | 14,632 | 298 |
| * | Ascena Retail Group Inc. | 128,507 | 292 |
| * | Zumiez Inc. | 13,688 | 270 |
| | Strayer Education Inc. | 2,956 | 265 |
| | EW Scripps Co. Class A | 19,160 | 264 |
| | BJ’s Restaurants Inc. | 5,951 | 259 |
| * | Perry Ellis International Inc. | 9,474 | 253 |
31
S&P Small-Cap 600 Value Index Fund
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | Superior Industries | | |
| | International Inc. | 17,458 | 252 |
| * | William Lyon Homes | | |
| | Class A | 9,648 | 244 |
| * | Career Education Corp. | 17,803 | 236 |
| * | Crocs Inc. | 17,845 | 218 |
| * | Lumber Liquidators | | |
| | Holdings Inc. | 9,011 | 209 |
| * | Barnes & Noble | | |
| | Education Inc. | 27,997 | 204 |
| | Shoe Carnival Inc. | 8,594 | 201 |
| | Cato Corp. Class A | 17,546 | 199 |
| | Barnes & Noble Inc. | 42,725 | 192 |
| * | El Pollo Loco Holdings Inc. | 16,309 | 159 |
| * | Motorcar Parts of | | |
| | America Inc. | 7,470 | 152 |
| * | Nautilus Inc. | 12,498 | 148 |
| * | Vera Bradley Inc. | 14,366 | 145 |
| * | Francesca’s Holdings | | |
| | Corp. | 27,688 | 144 |
| | Tile Shop Holdings Inc. | 25,943 | 140 |
| * | Kirkland’s Inc. | 12,063 | 106 |
| ^ | Big 5 Sporting Goods | | |
| | Corp. | 15,187 | 93 |
| | Fred’s Inc. Class A | 26,985 | 90 |
| * | FTD Cos. Inc. | 12,672 | 76 |
| * | Vitamin Shoppe Inc. | 18,047 | 68 |
| | | | 43,020 |
| Consumer Staples (2.2%) | | |
| * | Darling Ingredients Inc. | 60,811 | 1,106 |
| | Universal Corp. | 18,924 | 930 |
| | Andersons Inc. | 19,867 | 696 |
| | WD-40 Co. | 4,523 | 564 |
| | J&J Snack Foods Corp. | 4,160 | 559 |
| * | Cal-Maine Foods Inc. | 13,008 | 554 |
| | B&G Foods Inc. | 18,543 | 514 |
| | SpartanNash Co. | 27,859 | 467 |
| | SUPERVALU Inc. | 28,903 | 411 |
| | John B Sanfilippo & Son | | |
| | Inc. | 6,555 | 379 |
| * | Seneca Foods Corp. | | |
| | Class A | 5,105 | 149 |
| | | | 6,329 |
| Energy (6.4%) | | |
| * | PDC Energy Inc. | 49,634 | 2,607 |
| * | SRC Energy Inc. | 181,844 | 1,613 |
| | US Silica Holdings Inc. | 61,192 | 1,584 |
| * | McDermott International | | |
| | Inc. | 213,998 | 1,562 |
| * | Oil States International | | |
| | Inc. | 40,619 | 999 |
| * | Carrizo Oil & Gas Inc. | 58,298 | 819 |
| * | Unit Corp. | 39,846 | 763 |
| * | Noble Corp. plc | 184,591 | 716 |
| * | Denbury Resources Inc. | 303,045 | 664 |
| | | |
| * | Helix Energy Solutions | | |
| | Group Inc. | 104,631 | 624 |
| * | Exterran Corp. | 24,000 | 621 |
| | Green Plains Inc. | 29,157 | 534 |
| * | Newpark Resources Inc. | 64,672 | 534 |
| * | SEACOR Holdings Inc. | 12,646 | 525 |
| | Archrock Inc. | 53,488 | 508 |
| * | Ring Energy Inc. | 27,082 | 368 |
| | Bristow Group Inc. | 24,251 | 358 |
| * | REX American | | |
| | Resources Corp. | 4,354 | 351 |
| * | Bill Barrett Corp. | 74,610 | 338 |
| * | Par Pacific Holdings Inc. | 18,973 | 323 |
| * | TETRA Technologies Inc. | 87,336 | 317 |
| * | Matrix Service Co. | 20,155 | 288 |
| * | CONSOL Energy Inc. | 8,777 | 278 |
| * | Cloud Peak Energy Inc. | 56,563 | 186 |
| * | Pioneer Energy Services | | |
| | Corp. | 58,583 | 161 |
| * | Era Group Inc. | 15,230 | 144 |
| * | Geospace Technologies | | |
| | Corp. | 10,131 | 104 |
| | Gulf Island Fabrication Inc. | 10,210 | 84 |
| *,^ | CARBO Ceramics Inc. | 11,433 | 78 |
| | | | 18,051 |
| Financials (20.4%) | | |
| | American Equity | | |
| | Investment Life Holding | | |
| | Co. | 67,149 | 2,055 |
| | Community Bank System | | |
| | Inc. | 38,130 | 2,033 |
| | First Midwest Bancorp Inc. | 77,412 | 1,875 |
| | Great Western Bancorp | | |
| | Inc. | 44,330 | 1,813 |
| | Hope Bancorp Inc. | 96,991 | 1,752 |
| | Old National Bancorp | 100,800 | 1,714 |
| | Simmons First National | | |
| | Corp. Class A | 58,788 | 1,672 |
| | Apollo Commercial Real | | |
| | Estate Finance Inc. | 73,566 | 1,343 |
| * | PRA Group Inc. | 34,035 | 1,303 |
| | Invesco Mortgage Capital | | |
| | Inc. | 84,165 | 1,294 |
| | Northwest Bancshares Inc. | 77,321 | 1,269 |
| | Horace Mann Educators | | |
| | Corp. | 30,639 | 1,261 |
| | Waddell & Reed Financial | | |
| | Inc. Class A | 62,820 | 1,256 |
| | Columbia Banking System | | |
| | Inc. | 27,505 | 1,149 |
| | NBT Bancorp Inc. | 32,803 | 1,142 |
| | Provident Financial | | |
| | Services Inc. | 45,580 | 1,134 |
| | ProAssurance Corp. | 21,326 | 1,019 |
| | RLI Corp. | 16,654 | 1,013 |
32
S&P Small-Cap 600 Value Index Fund
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | Infinity Property & | | |
| | Casualty Corp. | 8,232 | 971 |
| | Glacier Bancorp Inc. | 24,678 | 960 |
| | First Financial Bankshares | | |
| | Inc. | 20,456 | 941 |
| | Boston Private Financial | | |
| | Holdings Inc. | 63,479 | 927 |
| | Navigators Group Inc. | 16,896 | 911 |
| | Selective Insurance | | |
| | Group Inc. | 15,836 | 900 |
| | Financial Engines Inc. | 26,243 | 879 |
| * | First BanCorp | 136,859 | 825 |
| | Safety Insurance Group | | |
| | Inc. | 11,467 | 818 |
| | CVB Financial Corp. | 35,490 | 816 |
| | United Community Banks | | |
| | Inc. | 25,424 | 786 |
| | Banner Corp. | 14,091 | 779 |
| | PennyMac Mortgage | | |
| | Investment Trust | 45,467 | 758 |
| | Stewart Information | | |
| | Services Corp. | 17,889 | 718 |
| | United Fire Group Inc. | 15,934 | 709 |
| | Independent Bank Corp. | 10,129 | 703 |
| | Southside Bancshares Inc. | 20,759 | 693 |
| | First Financial Bancorp | 25,252 | 687 |
| | ARMOUR Residential | | |
| | REIT Inc. | 31,594 | 677 |
| | Virtus Investment | | |
| | Partners Inc. | 5,394 | 664 |
| | Westamerica | | |
| | Bancorporation | 11,313 | 648 |
| | Capstead Mortgage Corp. | 72,601 | 606 |
| | Ameris Bancorp | 11,222 | 596 |
| * | HomeStreet Inc. | 20,256 | 581 |
| * | Enova International Inc. | 25,221 | 555 |
| | S&T Bancorp Inc. | 13,704 | 541 |
| | Brookline Bancorp Inc. | 32,914 | 522 |
| | Employers Holdings Inc. | 13,191 | 516 |
| * | EZCORP Inc. Class A | 38,753 | 504 |
| | AMERISAFE Inc. | 8,992 | 504 |
| | Investment Technology | | |
| | Group Inc. | 24,912 | 494 |
| * | World Acceptance Corp. | 4,438 | 477 |
| | Piper Jaffray Cos. | 5,672 | 474 |
| * | INTL. FCStone Inc. | 11,702 | 464 |
| | Oritani Financial Corp. | 29,641 | 462 |
| * | Donnelley Financial | | |
| | Solutions Inc. | 25,395 | 440 |
| | City Holding Co. | 6,117 | 412 |
| | First Commonwealth | | |
| | Financial Corp. | 29,351 | 410 |
| | Tompkins Financial Corp. | 5,214 | 400 |
| | WisdomTree Investments | | |
| | Inc. | 39,861 | 383 |
| | | |
| | Greenhill & Co. Inc. | 18,410 | 375 |
| | Fidelity Southern Corp. | 16,580 | 373 |
| | Opus Bank | 12,980 | 364 |
| | OFG Bancorp | 33,126 | 356 |
| | Hanmi Financial Corp. | 11,232 | 343 |
| | TrustCo Bank Corp. NY | 39,106 | 332 |
| * | Customers Bancorp Inc. | 11,127 | 326 |
| | Maiden Holdings Ltd. | 52,303 | 314 |
| * | Encore Capital Group Inc. | 7,316 | 313 |
| | United Insurance | | |
| | Holdings Corp. | 15,462 | 302 |
| | Banc of California Inc. | 14,754 | 294 |
| | James River Group | | |
| | Holdings Ltd. | 8,789 | 287 |
| | Universal Insurance | | |
| | Holdings Inc. | 8,450 | 248 |
| | Central Pacific Financial | | |
| | Corp. | 8,850 | 247 |
| | Dime Community | | |
| | Bancshares Inc. | 13,411 | 241 |
| * | Seacoast Banking Corp. | | |
| | of Florida | 8,800 | 231 |
| | Northfield Bancorp Inc. | 13,648 | 212 |
| | HCI Group Inc. | 5,973 | 207 |
| * | Green Bancorp Inc. | 5,554 | 121 |
| * | eHealth Inc. | 5,806 | 95 |
| | | | 57,789 |
| Health Care (6.3%) | | |
| * | Magellan Health Inc. | 18,114 | 1,828 |
| * | Haemonetics Corp. | 14,724 | 1,044 |
| * | Integra LifeSciences | | |
| | Holdings Corp. | 18,201 | 960 |
| * | Acorda Therapeutics Inc. | 35,224 | 837 |
| * | Medicines Co. | 25,136 | 770 |
| * | Diplomat Pharmacy Inc. | 35,745 | 745 |
| * | Select Medical Holdings | | |
| | Corp. | 34,684 | 628 |
| | Kindred Healthcare Inc. | 65,569 | 603 |
| * | HMS Holdings Corp. | 37,378 | 599 |
| | CONMED Corp. | 9,740 | 590 |
| * | AMAG Pharmaceuticals | | |
| | Inc. | 26,660 | 561 |
| * | Spectrum Pharmaceuticals | | |
| | Inc. | 23,207 | 499 |
| * | Impax Laboratories Inc. | 24,013 | 490 |
| | Analogic Corp. | 5,832 | 487 |
| | Abaxis Inc. | 7,183 | 479 |
| * | Cambrex Corp. | 9,139 | 475 |
| * | Varex Imaging Corp. | 13,007 | 454 |
| * | AngioDynamics Inc. | 27,664 | 451 |
| * | Community Health | | |
| | Systems Inc. | 86,453 | 443 |
| | Ensign Group Inc. | 16,309 | 435 |
| | Invacare Corp. | 24,738 | 425 |
33
S&P Small-Cap 600 Value Index Fund
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| * | Cross Country Healthcare | | |
| | Inc. | 27,489 | 356 |
| * | Natus Medical Inc. | 11,268 | 351 |
| | Luminex Corp. | 14,198 | 278 |
| | Meridian Bioscience Inc. | 18,763 | 262 |
| | US Physical Therapy Inc. | 3,316 | 257 |
| * | CryoLife Inc. | 13,526 | 256 |
| * | Anika Therapeutics Inc. | 4,750 | 247 |
| * | Amphastar | | |
| | Pharmaceuticals Inc. | 13,335 | 245 |
| * | Almost Family Inc. | 4,072 | 240 |
| * | HealthStream Inc. | 9,805 | 237 |
| * | Progenics | | |
| | Pharmaceuticals Inc. | 32,840 | 219 |
| * | Depomed Inc. | 27,049 | 186 |
| * | Cytokinetics Inc. | 22,905 | 177 |
| | Aceto Corp. | 22,695 | 163 |
| * | Tactile Systems | | |
| | Technology Inc. | 4,703 | 152 |
| | Computer Programs & | | |
| | Systems Inc. | 4,613 | 137 |
| * | Lannett Co. Inc. | 8,402 | 134 |
| * | Quorum Health Corp. | 21,397 | 127 |
| * | CorVel Corp. | 671 | 33 |
| | | | 17,860 |
| Industrials (18.7%) | | |
| | SkyWest Inc. | 39,059 | 2,140 |
| | Applied Industrial | | |
| | Technologies Inc. | 29,246 | 2,059 |
| * | SPX FLOW Inc. | 31,866 | 1,554 |
| | ABM Industries Inc. | 41,716 | 1,467 |
| | Hawaiian Holdings Inc. | 39,537 | 1,423 |
| * | FTI Consulting Inc. | 28,596 | 1,364 |
| | Kaman Corp. | 20,952 | 1,283 |
| * | Chart Industries Inc. | 23,184 | 1,278 |
| | Matthews International | | |
| | Corp. Class A | 24,224 | 1,241 |
| * | Atlas Air Worldwide | | |
| | Holdings Inc. | 19,051 | 1,159 |
| | Mueller Industries Inc. | 43,556 | 1,154 |
| | Greenbrier Cos. Inc. | 21,624 | 1,120 |
| | General Cable Corp. | 37,648 | 1,112 |
| * | Hub Group Inc. Class A | 25,203 | 1,100 |
| * | Moog Inc. Class A | 12,919 | 1,083 |
| | Triumph Group Inc. | 37,410 | 1,046 |
| | AAR Corp. | 24,259 | 1,033 |
| * | SPX Corp. | 32,100 | 1,002 |
| | Hillenbrand Inc. | 22,789 | 1,000 |
| | UniFirst Corp. | 6,054 | 940 |
| | Tetra Tech Inc. | 18,893 | 925 |
| | Watts Water | | |
| | Technologies Inc. Class A | 12,134 | 916 |
| | Matson Inc. | 31,986 | 912 |
| | Astec Industries Inc. | 14,427 | 850 |
| | | |
| * | TrueBlue Inc. | 31,166 | 848 |
| * | Gibraltar Industries Inc. | 23,878 | 829 |
| | Encore Wire Corp. | 15,683 | 822 |
| | AZZ Inc. | 19,562 | 799 |
| | Brady Corp. Class A | 19,897 | 744 |
| | Universal Forest Products | | |
| | Inc. | 22,123 | 729 |
| | Briggs & Stratton Corp. | 32,297 | 726 |
| * | Navigant Consulting Inc. | 34,602 | 688 |
| | Kelly Services Inc. Class A | 22,936 | 676 |
| | Allegiant Travel Co. Class A | 3,873 | 644 |
| | ArcBest Corp. | 19,171 | 635 |
| | Actuant Corp. Class A | 27,947 | 634 |
| | Mobile Mini Inc. | 14,365 | 603 |
| | Cubic Corp. | 9,619 | 591 |
| | CIRCOR International Inc. | 12,373 | 581 |
| * | Aegion Corp. Class A | 24,508 | 563 |
| | Franklin Electric Co. Inc. | 14,277 | 559 |
| * | Echo Global Logistics Inc. | 19,766 | 523 |
| | Tennant Co. | 7,936 | 511 |
| | Titan International Inc. | 37,348 | 480 |
| | Wabash National Corp. | 21,331 | 466 |
| | Federal Signal Corp. | 21,689 | 464 |
| | Standex International Corp. | 4,720 | 454 |
| | Heartland Express Inc. | 22,968 | 448 |
| * | Saia Inc. | 5,952 | 432 |
| | AAON Inc. | 11,563 | 425 |
| | ESCO Technologies Inc. | 7,203 | 424 |
| | Apogee Enterprises Inc. | 9,714 | 419 |
| * | MYR Group Inc. | 12,404 | 401 |
| | Insteel Industries Inc. | 13,631 | 385 |
| | Viad Corp. | 7,378 | 384 |
| | LSC Communications Inc. | 26,300 | 383 |
| | Lindsay Corp. | 4,244 | 375 |
| | Heidrick & Struggles | | |
| | International Inc. | 14,152 | 374 |
| * | Team Inc. | 22,546 | 369 |
| | Multi-Color Corp. | 5,760 | 365 |
| * | Engility Holdings Inc. | 13,302 | 363 |
| * | Lydall Inc. | 7,406 | 357 |
| * | DXP Enterprises Inc. | 11,927 | 355 |
| | National Presto Industries | | |
| | Inc. | 3,779 | 343 |
| | Resources Connection Inc. | 21,341 | 332 |
| | US Ecology Inc. | 6,258 | 331 |
| | RR Donnelley & Sons Co. | 36,414 | 275 |
| | Marten Transport Ltd. | 12,234 | 265 |
| | Essendant Inc. | 28,366 | 225 |
| | Griffon Corp. | 11,618 | 217 |
| * | Veritiv Corp. | 8,396 | 204 |
| | Powell Industries Inc. | 6,548 | 174 |
| | Quanex Building Products | | |
| | Corp. | 10,209 | 171 |
| * | Orion Group Holdings Inc. | 21,254 | 133 |
34
S&P Small-Cap 600 Value Index Fund
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | Forrester Research Inc. | 2,902 | 117 |
| * | Roadrunner Transportation | | |
| | Systems Inc. | 23,688 | 91 |
| | | | 52,867 |
| Information Technology (13.5%) | |
| * | CACI International Inc. | | |
| | Class A | 18,551 | 2,765 |
| * | Anixter International Inc. | 21,811 | 1,648 |
| * | Plexus Corp. | 25,302 | 1,526 |
| * | Sanmina Corp. | 54,268 | 1,495 |
| * | Lumentum Holdings Inc. | 23,339 | 1,424 |
| | TiVo Corp. | 91,974 | 1,380 |
| | Travelport Worldwide Ltd. | 94,434 | 1,346 |
| * | NETGEAR Inc. | 23,712 | 1,322 |
| * | Benchmark Electronics Inc. | 37,463 | 1,124 |
| * | Itron Inc. | 15,662 | 1,096 |
| | ManTech International | | |
| | Corp. | 19,443 | 1,096 |
| * | Electronics For Imaging Inc. | 34,432 | 943 |
| * | Insight Enterprises Inc. | 26,968 | 942 |
| * | Diodes Inc. | 29,023 | 874 |
| * | Sykes Enterprises Inc. | 30,060 | 873 |
| * | Fabrinet | 28,324 | 854 |
| * | Blucora Inc. | 34,756 | 810 |
| * | Cardtronics plc Class A | 34,426 | 770 |
| * | Cray Inc. | 30,469 | 664 |
| * | Veeco Instruments Inc. | 36,401 | 661 |
| | MTS Systems Corp. | 13,394 | 656 |
| * | ScanSource Inc. | 19,207 | 629 |
| * | Viavi Solutions Inc. | 65,117 | 626 |
| | CSG Systems International | | |
| | Inc. | 13,388 | 625 |
| * | Semtech Corp. | 18,456 | 621 |
| * | SolarEdge Technologies Inc. | 11,702 | 586 |
| * | 8x8 Inc. | 31,875 | 582 |
| | Methode Electronics Inc. | 14,144 | 558 |
| | Power Integrations Inc. | 8,284 | 557 |
| * | Super Micro Computer Inc. | 28,621 | 518 |
| * | Perficient Inc. | 26,302 | 512 |
| | Xperi Corp. | 23,040 | 508 |
| * | MicroStrategy Inc. Class A | 3,617 | 463 |
| | EVERTEC Inc. | 27,617 | 447 |
| * | OSI Systems Inc. | 6,719 | 424 |
| * | Oclaro Inc. | 57,238 | 410 |
| * | Photronics Inc. | 51,952 | 405 |
| | Comtech | | |
| | Telecommunications | | |
| | Corp. | 17,792 | 393 |
| | Badger Meter Inc. | 7,896 | 376 |
| | NIC Inc. | 26,967 | 364 |
| * | Alarm.com Holdings Inc. | 8,661 | 313 |
| * | Synchronoss Technologies | | |
| | Inc. | 32,947 | 308 |
| * | LivePerson Inc. | 21,041 | 304 |
| | | |
| | CTS Corp. | 11,662 | 300 |
| | Monotype Imaging | | |
| | Holdings Inc. | 11,950 | 288 |
| | ADTRAN Inc. | 17,778 | 278 |
| * | VASCO Data Security | | |
| | International Inc. | 22,703 | 274 |
| | Daktronics Inc. | 29,367 | 262 |
| * | FARO Technologies Inc. | 4,408 | 262 |
| * | ePlus Inc. | 3,416 | 261 |
| * | Digi International Inc. | 20,097 | 210 |
| * | DSP Group Inc. | 16,815 | 204 |
| * | Harmonic Inc. | 61,508 | 186 |
| * | Ultra Clean Holdings Inc. | 8,953 | 172 |
| * | Nanometrics Inc. | 5,785 | 153 |
| | Park Electrochemical Corp. | 8,889 | 151 |
| * | PDF Solutions Inc. | 12,836 | 143 |
| * | Liquidity Services Inc. | 19,251 | 132 |
| | Bel Fuse Inc. Class B | 7,430 | 128 |
| * | Agilysys Inc. | 5,876 | 66 |
| * | DHI Group Inc. | 35,447 | 58 |
| * | Kopin Corp. | 16,573 | 51 |
| | | | 38,377 |
| Materials (7.0%) | | |
| | KapStone Paper and | | |
| | Packaging Corp. | 65,750 | 2,294 |
| | Kaiser Aluminum Corp. | 12,735 | 1,278 |
| *,^ | AK Steel Holding Corp. | 237,193 | 1,224 |
| | Stepan Co. | 14,899 | 1,193 |
| | Boise Cascade Co. | 29,032 | 1,170 |
| | HB Fuller Co. | 20,479 | 1,032 |
| | A Schulman Inc. | 22,174 | 972 |
| | Rayonier Advanced | | |
| | Materials Inc. | 39,018 | 795 |
| | Materion Corp. | 15,099 | 761 |
| | Balchem Corp. | 9,885 | 744 |
| * | Century Aluminum Co. | 37,506 | 714 |
| | PH Glatfelter Co. | 32,843 | 670 |
| | Innophos Holdings Inc. | 14,716 | 612 |
| | Innospec Inc. | 9,275 | 602 |
| | Quaker Chemical Corp. | 3,907 | 557 |
| | Neenah Inc. | 6,966 | 534 |
| | Schweitzer-Mauduit | | |
| | International Inc. | 13,425 | 526 |
| * | SunCoke Energy Inc. | 48,452 | 517 |
| * | TimkenSteel Corp. | 29,427 | 481 |
| * | Clearwater Paper Corp. | 12,383 | 466 |
| * | AdvanSix Inc. | 10,777 | 446 |
| | Calgon Carbon Corp. | 19,144 | 407 |
| | Haynes International Inc. | 9,428 | 392 |
| | Tredegar Corp. | 19,166 | 306 |
| * | Flotek Industries Inc. | 42,831 | 255 |
| | Hawkins Inc. | 7,156 | 240 |
| | FutureFuel Corp. | 19,119 | 229 |
| | Olympic Steel Inc. | 6,865 | 155 |
35
S&P Small-Cap 600 Value Index Fund
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | American Vanguard Corp. | 5,927 | 116 |
| * | LSB Industries Inc. | 15,201 | 114 |
| | Myers Industries Inc. | 5,943 | 113 |
| | | | 19,915 |
| Other (0.0%)2 | | |
| *,3 | Gerber Scientific Inc. CVR | 1,604 | — |
| |
| Real Estate (5.4%) | | |
| | DiamondRock Hospitality | | |
| | Co. | 151,028 | 1,553 |
| | Acadia Realty Trust | 63,128 | 1,520 |
| | Government Properties | | |
| | Income Trust | 74,788 | 1,026 |
| | Kite Realty Group Trust | 59,626 | 903 |
| | RE/MAX Holdings Inc. | | |
| | Class A | 13,339 | 738 |
| | Retail Opportunity | | |
| | Investments Corp. | 41,434 | 711 |
| | PS Business Parks Inc. | 6,316 | 700 |
| | Chesapeake Lodging Trust | 25,865 | 669 |
| | Franklin Street Properties | | |
| | Corp. | 80,949 | 655 |
| | Chatham Lodging Trust | 34,257 | 623 |
| | CBL & Associates | | |
| | Properties Inc. | 129,004 | 597 |
| | Pennsylvania REIT | 52,713 | 550 |
| | American Assets Trust Inc. | 17,255 | 547 |
| | Independence Realty | | |
| | Trust Inc. | 63,061 | 537 |
| | Agree Realty Corp. | 11,044 | 520 |
| | LTC Properties Inc. | 14,063 | 520 |
| | Hersha Hospitality Trust | | |
| | Class A | 29,546 | 496 |
| | Summit Hotel Properties | | |
| | Inc. | 27,548 | 363 |
| | CareTrust REIT Inc. | 23,529 | 312 |
| | Getty Realty Corp. | 11,453 | 270 |
| | Ramco-Gershenson | | |
| | Properties Trust | 21,612 | 255 |
| | Cedar Realty Trust Inc. | 61,354 | 244 |
| | Urstadt Biddle Properties | | |
| | Inc. Class A | 13,502 | 237 |
| | Saul Centers Inc. | 4,291 | 210 |
| | Whitestone REIT | 16,342 | 202 |
| | Armada Hoffler Properties | | |
| | Inc. | 14,639 | 191 |
| | Community Healthcare | | |
| | Trust Inc. | 6,729 | 158 |
| | | | 15,307 |
| | | |
| Telecommunication Services (1.2%) | |
| *,^ | Iridium Communications | | |
| | Inc. | 62,747 | 734 |
| | Consolidated | | |
| | Communications | | |
| | Holdings Inc. | 48,587 | 562 |
| * | Cincinnati Bell Inc. | 31,791 | 513 |
| | ATN International Inc. | 8,208 | 492 |
| ^ | Frontier Communications | | |
| | Corp. | 59,189 | 416 |
| * | GCI Liberty Inc. | 7,567 | 291 |
| | Spok Holdings Inc. | 15,063 | 234 |
| | | | 3,242 |
| Utilities (2.9%) | | |
| | Spire Inc. | 36,368 | 2,466 |
| | Avista Corp. | 27,655 | 1,323 |
| | ALLETE Inc. | 18,400 | 1,254 |
| | South Jersey Industries | | |
| | Inc. | 33,549 | 879 |
| | El Paso Electric Co. | 14,380 | 699 |
| | Northwest Natural Gas Co. | 12,119 | 632 |
| | American States Water Co. | 10,228 | 543 |
| | California Water Service | | |
| | Group | 13,015 | 494 |
| | | | 8,290 |
| Total Common Stocks | | |
| (Cost $290,098) | | 281,047 |
| Temporary Cash Investments (1.1%)1 | |
| Money Market Fund (1.0%) | | |
| 4,5 | Vanguard Market Liquidity | | |
| | Fund, 1.601% | 30,233 | 3,023 |
| |
| | | Face | |
| | | Amount | |
| | | ($000) | |
| U. S. Government and Agency Obligations (0.1%) |
| 6 | United States Treasury | | |
| | Bill, 1.432%, 4/26/18 | 100 | 100 |
| 6 | United States Treasury | | |
| | Bill, 1.475%, 6/21/18 | 100 | 99 |
| | | | 199 |
| Total Temporary Cash Investments | |
| (Cost $3,222) | | 3,222 |
| Total Investments (100.3%) | | |
| (Cost $293,320) | | 284,269 |
36
S&P Small-Cap 600 Value Index Fund
| | |
| | Amount |
| | ($000) |
| Other Assets and Liabilities (-0.3%) | | |
| Other Assets | | |
| Investment in Vanguard | | 15 |
| Receivables for Accrued Income | | 209 |
| Receivables for Capital Shares Issued | | 8 |
| Other Assets | | 7 |
| Total Other Assets | | 239 |
| Liabilities | | |
| Payables for Investment Securities Purchased | (13) |
| Collateral for Securities on Loan | | (964) |
| Payables to Vanguard | | (53) |
| Variation Margin Payable—Futures Contracts | (41) |
| Total Liabilities | | (1,071) |
| Net Assets (100%) | 283,437 |
| |
| At February 28, 2018, net assets consisted of: |
| | Amount |
| | ($000) |
| Paid-in Capital | 305,786 |
| Undistributed Net Investment Income | 320 |
| Accumulated Net Realized Losses | (13,542) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | (9,051) |
| Futures Contracts | (76) |
| Net Assets | 283,437 |
| |
| | Amount |
| | ($000) |
| ETF Shares—Net Assets | |
| Applicable to 2,100,000 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 270,087 |
| Net Asset Value Per Share—ETF Shares | $128.61 |
| |
| |
| Institutional Shares—Net Assets | |
| Applicable to 49,631 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 13,350 |
| Net Asset Value Per Share— | |
| Institutional Shares | $268.99 |
• 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 $783,000.
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 “Other” represents securities that are not classified by the
fund’s benchmark index.
3 Security value determined using significant unobservable inputs.
4 Affiliated money market fund available only to Vanguard funds
and certain trusts and accounts managed by Vanguard. Rate
shown is the 7-day yield.
5 Includes $964,000 of collateral received for securities on loan.
6 Securities with a value of $199,000 have been segregated
as initial margin for open futures contracts.
CVR—Contingent Value Rights.
REIT—Real Estate Investment Trust.
| | | | |
| Derivative Financial Instruments Outstanding as of Period End | | |
| Futures Contracts | | | | |
| | | | | ($000) |
| | | | | Value and |
| | | Number of | | Unrealized |
| | | Long (Short) | Notional | Appreciation |
| | Expiration | Contracts | Amount | (Depreciation) |
| Long Futures Contracts | | | | |
| E-mini Russell 2000 Index | March 2018 | 30 | 2,267 | (76) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
37
S&P Small-Cap 600 Value Index Fund
Statement of Operations
| |
| | Six Months Ended |
| | February28,2018 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 2,004 |
| Interest1 | 11 |
| Securities Lending—Net | 118 |
| Total Income | 2,133 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 33 |
| Management and Administrative—ETF Shares | 155 |
| Management and Administrative—Institutional Shares | 1 |
| Marketing and Distribution—ETF Shares | 8 |
| Marketing and Distribution—Institutional Shares | — |
| Custodian Fees | 51 |
| Shareholders’ Reports and Proxy—ETF Shares | 14 |
| Shareholders’ Reports and Proxy—Institutional Shares | — |
| Total Expenses | 262 |
| Net Investment Income | 1,871 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1 | 33,739 |
| Futures Contracts | 171 |
| Realized Net Gain (Loss) | 33,910 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities1 | (13,731) |
| Futures Contracts | (94) |
| Change in Unrealized Appreciation (Depreciation) | (13,825) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 21,956 |
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund
were $11,000, ($1,000), and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
38
S&P Small-Cap 600 Value Index Fund
Statement of Changes in Net Assets
| | |
| | Six Months Ended | Year Ended |
| | February 28, | August 31, |
| | 2018 | 2017 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 1,871 | 3,095 |
| Realized Net Gain (Loss) | 33,910 | 13,319 |
| Change in Unrealized Appreciation (Depreciation) | (13,825) | (379) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 21,956 | 16,035 |
| Distributions | | |
| Net Investment Income | | |
| ETF Shares | (2,132) | (2,596) |
| Institutional Shares | (113) | (318) |
| Realized Capital Gain | | |
| ETF Shares | — | — |
| Institutional Shares | — | — |
| Total Distributions | (2,245) | (2,914) |
| Capital Share Transactions | | |
| ETF Shares | 41,511 | 71,827 |
| Institutional Shares | 626 | (24,173) |
| Net Increase (Decrease) from Capital Share Transactions | 42,137 | 47,654 |
| Total Increase (Decrease) | 61,848 | 60,775 |
| Net Assets | | |
| Beginning of Period | 221,589 | 160,814 |
| End of Period1 | 283,437 | 221,589 |
| 1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $320,000 and $694,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
39
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 | | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $118.23 | $106.98 | $94.66 | $98.93 | $82.76 | $65.79 |
| Investment Operations | | | | | | | |
| Net Investment Income | | . 8921 | 1.7491 | 1.352 | 1.337 | 1.3551 | 1.146 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | | 10.588 | 11.165 | 12.736 | (4.323) | 15.685 | 16.731 |
| Total from Investment Operations | 11.480 | 12.914 | 14.088 | (2.986) | 17.040 | 17.877 |
| Distributions | | | | | | | |
| Dividends from Net Investment Income | (1.100) | (1.664) | (1.768) | (1.284) | (.870) | (.907) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | | (1.100) | (1.664) | (1.768) | (1.284) | (.870) | (.907) |
| Net Asset Value, End of Period | | $128.61 | $118.23 | $106.98 | $94.66 | $98.93 | $82.76 |
| |
| Total Return | | 9.70% | 12.11% | 15.14% | -3.09% | 20.64% | 27.45% |
| |
| Ratios/Supplemental Data | | | | | | | |
| Net Assets, End of Period (Millions) | $270 | $210 | $126 | $95 | $94 | $29 |
| Ratio of Total Expenses to | | | | | | | |
| Average Net Assets | | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | | 1.36% | 1.49% | 1.49% | 1.43% | 1.43% | 1.73% |
| Portfolio Turnover Rate2 | | 40% | 46% | 42% | 43% | 32% | 37% |
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.
40
S&P Small-Cap 600 Value Index Fund
Financial Highlights
| | | | |
| Institutional Shares | | | | |
| | Six Months | | | Nov. 19, |
| | Ended | Year Ended | 20141 to |
| | February 28, | August 31, | Aug. 31, |
| For a Share Outstanding Throughout Each Period | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $247.26 | $223.74 | $198.02 | $206.40 |
| Investment Operations | | | | |
| Net Investment Income | 2.007 2 | 3.829 2 | 3.057 | 2.201 |
| Net Realized and Unrealized Gain (Loss) on Investments | 22.171 | 23.461 | 26.649 | (7.820) |
| Total from Investment Operations | 24.178 | 27.290 | 29.706 | (5.619) |
| Distributions | | | | |
| Dividends from Net Investment Income | (2.448) | (3.770) | (3.986) | (2.761) |
| Distributions from Realized Capital Gains | — | — | — | — |
| Total Distributions | (2.448) | (3.770) | (3.986) | (2.761) |
| Net Asset Value, End of Period | $268.99 | $247.26 | $223.74 | $198.02 |
| |
| Total Return | 9.77% | 12.25% | 15.28% | -2.79% |
| |
| Ratios/Supplemental Data | | | | |
| Net Assets, End of Period (Millions) | $13 | $12 | $35 | $15 |
| Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08%3 |
| Ratio of Net Investment Income to Average Net Assets | 1.48% | 1.61% | 1.61% | 1.55%3 |
| Portfolio Turnover Rate 4 | 40% | 46% | 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 Calculated based on average shares outstanding.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital
shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
41
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, 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 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 notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the six months ended February 28, 2018, 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 the notional amounts at each quarter-end during the period.
42
S&P Small-Cap 600 Value Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2014–2017), and for the period ended February 28, 2018, 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 event 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, 2018, 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.
43
S&P Small-Cap 600 Value Index Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses), shareholder reporting, and the proxy. 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. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2018, the fund had contributed to Vanguard capital in the amount of $15,000, 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). Any investments valued with significant unobservable inputs are
noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as of February 28, 2018, based on the inputs used to value them:
| | | |
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 281,047 | — | — |
| Temporary Cash Investments | 3,023 | 199 | — |
| Futures Contracts—Liabilities1 | (41) | — | — |
| Total | 284,029 | 199 | — |
| 1 Represents variation margin on the last day of the reporting period. |
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or
44
S&P Small-Cap 600 Value Index Fund
loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended February 28, 2018, the fund realized $33,347,000 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, 2017, the fund had available capital losses totaling $14,087,000 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, 2018; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 28, 2018, the cost of investment securities for tax purposes was $293,320,000. Net unrealized depreciation of investment securities for tax purposes was $9,051,000, consisting of unrealized gains of $17,592,000 on securities that had risen in value since their purchase and $26,643,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 28, 2018, the fund purchased $245,112,000 of investment securities and sold $203,479,000 of investment securities, other than temporary cash investments. Purchases and sales include $109,841,000 and $119,312,000, 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, 2018, such purchases and sales were $55,784,000 and $46,201,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
45
S&P Small-Cap 600 Value Index Fund
F. Capital share transactions for each class of shares were:
| | | | |
| | Six Months Ended | Year Ended |
| | February 28, 2018 | August 31, 2017 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| ETF Shares | | | | |
| Issued | 170,289 | 1,300 | 155,430 | 1,325 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (128,778) | (975) | (83,603) | (725) |
| Net Increase (Decrease)—ETF Shares | 41,511 | 325 | 71,827 | 600 |
| Institutional Shares | | | | |
| Issued | 1,372 | 5 | 1,384 | 6 |
| Issued in Lieu of Cash Distributions | 113 | — | 318 | 1 |
| Redeemed | (859) | (3) | (25,875) | (116) |
| Net Increase (Decrease)—Institutional Shares | 626 | 2 | (24,173) | (109) |
G. Management has determined that no material events or transactions occurred subsequent to February 28, 2018, that would require recognition or disclosure in these financial statements.
46
S&P Small-Cap 600 Growth Index Fund
Fund Profile
As of February 28, 2018
| | | |
| Portfolio Characteristics | | |
| | | S&P | |
| | | SmallCap | DJ |
| | | 600 | U.S. Total |
| | | Growth | Market |
| | Fund | Index | FA Index |
| Number of Stocks | 340 | 338 | 3,746 |
| Median Market Cap | $2.0B | $2.0B | $68.2B |
| Price/Earnings Ratio | 25.2x | 25.2x | 21.7x |
| Price/Book Ratio | 3.4x | 3.4x | 3.0x |
| Return on Equity | 10.3% | 10.3% | 15.0% |
| Earnings Growth | | | |
| Rate | 13.2% | 13.2% | 8.5% |
| Dividend Yield | 0.8% | 0.8% | 1.7% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | | | |
| (Annualized) | 51% | — | — |
| Ticker Symbol | VIOG | — | — |
| Expense Ratio1 | 0.20% | — | — |
| 30-Day SEC Yield | 0.66% | — | — |
| Short-Term | | | |
| Reserves | 0.0% | — | — |
| | |
| Volatility Measures | | |
| | S&P | DJ |
| | SmallCap | U.S. Total |
| | 600 Growth | Market |
| | Index | FA Index |
| R-Squared | 1.00 | 0.66 |
| Beta | 1.00 | 1.05 |
| 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) |
| Nektar Therapeutics | Pharmaceuticals | 3.5% |
| Cantel Medical Corp. | Health Care | |
| | Equipment | 1.1 |
| Chemed Corp. | Health Care Services | 1.1 |
| On Assignment Inc. | Human Resource & | |
| | Employment | |
| | Services | 1.0 |
| Five Below Inc. | Specialty Stores | 0.9 |
| Evercore Inc. | Investment Banking | |
| | & Brokerage | 0.9 |
| John Bean Technologies | | |
| Corp. | Industrial Machinery | 0.9 |
| ICU Medical Inc. | Health Care Supplies | 0.9 |
| FirstCash Inc. | Consumer Finance | 0.9 |
| Marriott Vacations | Hotels, Resorts & | |
| Worldwide Corp. | Cruise Lines | 0.8 |
| Top Ten | | 12.0% |
| The holdings listed exclude any temporary cash investments and |
| equity index products. | | |
Investment Focus
1 The expense ratio shown is from the prospectus dated December 22, 2017, and represents estimated costs for the current fiscal year.
For the six months ended February 28, 2018, the annualized expense ratio was 0.20%.
47
S&P Small-Cap 600 Growth Index Fund
| | | |
| Sector Diversification (% of equity exposure) |
| | | S&P | |
| | | SmallCap | DJ |
| | | 600 | U.S. Total |
| | | Growth | Market |
| | Fund | Index | FA Index |
| Consumer Discretionary | 13.8% | 13.8% | 13.0% |
| Consumer Staples | 2.7 | 2.8 | 6.8 |
| Energy | 0.2 | 0.2 | 5.2 |
| Financials | 13.8 | 13.8 | 15.4 |
| Health Care | 22.9 | 22.9 | 13.4 |
| Industrials | 18.9 | 18.9 | 10.8 |
| Information Technology | 15.9 | 15.9 | 24.2 |
| Materials | 3.6 | 3.6 | 3.3 |
| Real Estate | 4.9 | 4.9 | 3.5 |
| Telecommunication | | | |
| Services | 1.2 | 1.1 | 1.7 |
| Utilities | 2.1 | 2.1 | 2.7 |
Sector categories are based on the Global Industry Classification
Standard (“GICS”), except for the “Other” category (if applicable),
which includes securities that have not been provided a GICS
classification as of the effective reporting period.
48
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, 2018
Note: For 2018, performance data reflect the six months ended February 28, 2018.
Average Annual Total Returns: Periods Ended December 31, 2017
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 | | 14.51% | 16.18% | 16.82% |
| Net Asset Value | | 14.58 | 16.18 | 16.82 |
See Financial Highlights for dividend and capital gains information.
49
S&P Small-Cap 600 Growth Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 28, 2018
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 (13.8%) | |
| * | Five Below Inc. | 44,225 | 2,956 |
| | Marriott Vacations | | |
| | Worldwide Corp. | 18,895 | 2,655 |
| * | Ollie’s Bargain Outlet | | |
| | Holdings Inc. | 39,361 | 2,336 |
| | LCI Industries | 19,981 | 2,184 |
| * | TopBuild Corp. | 28,483 | 1,984 |
| * | Penn National Gaming Inc. | 67,175 | 1,788 |
| *,^ | iRobot Corp. | 22,337 | 1,518 |
| * | Dave & Buster’s | | |
| | Entertainment Inc. | 32,934 | 1,474 |
| | Children’s Place Inc. | 9,617 | 1,369 |
| * | RH | 15,062 | 1,278 |
| * | Shutterfly Inc. | 16,049 | 1,231 |
| | World Wrestling | | |
| | Entertainment Inc. | | |
| | Class A | 32,081 | 1,224 |
| * | Fox Factory Holding Corp. | 30,076 | 1,129 |
| * | Sleep Number Corp. | 31,903 | 1,099 |
| * | Cavco Industries Inc. | 6,799 | 1,082 |
| * | Steven Madden Ltd. | 24,299 | 1,067 |
| | Wingstop Inc. | 23,318 | 1,057 |
| | Lithia Motors Inc. Class A | 9,813 | 1,019 |
| | Winnebago Industries Inc. | 23,196 | 1,010 |
| * | Installed Building Products | | |
| | Inc. | 16,853 | 1,007 |
| * | Dorman Products Inc. | 12,263 | 846 |
| * | LGI Homes Inc. | 13,940 | 789 |
| | Callaway Golf Co. | 50,762 | 786 |
| | PetMed Express Inc. | 16,515 | 746 |
| | Nutrisystem Inc. | 24,069 | 740 |
| * | Meritage Homes Corp. | 16,104 | 683 |
| | La-Z-Boy Inc. | 19,703 | 605 |
| *,^ | Shake Shack Inc. Class A | 14,697 | 573 |
| | Ruth’s Hospitality Group | | |
| | Inc. | 23,281 | 572 |
| | | |
| | Dine Brands Global Inc. | 7,061 | 537 |
| | MDC Holdings Inc. | 18,706 | 518 |
| | Strayer Education Inc. | 5,356 | 480 |
| | Tailored Brands Inc. | 20,106 | 471 |
| * | Crocs Inc. | 36,873 | 451 |
| * | Career Education Corp. | 33,654 | 445 |
| | Sonic Corp. | 17,090 | 429 |
| * | Gentherm Inc. | 12,925 | 398 |
| * | Monarch Casino & | | |
| | Resort Inc. | 9,079 | 383 |
| | BJ’s Restaurants Inc. | 8,064 | 351 |
| | Capella Education Co. | 4,393 | 341 |
| | EW Scripps Co. Class A | 23,941 | 330 |
| * | Lumber Liquidators | | |
| | Holdings Inc. | 13,233 | 306 |
| * | William Lyon Homes | | |
| | Class A | 12,059 | 305 |
| | Sturm Ruger & Co. Inc. | 5,875 | 253 |
| * | Motorcar Parts of | | |
| | America Inc. | 7,334 | 149 |
| * | Nautilus Inc. | 11,299 | 134 |
| | | | 43,088 |
| Consumer Staples (2.7%) | | |
| * | Darling Ingredients Inc. | 67,322 | 1,225 |
| | Calavo Growers Inc. | 12,644 | 1,079 |
| * | Central Garden & Pet Co. | | |
| | Class A | 28,019 | 1,015 |
| | J&J Snack Foods Corp. | 7,531 | 1,012 |
| | B&G Foods Inc. | 33,564 | 930 |
| | WD-40 Co. | 6,369 | 794 |
| | Coca-Cola Bottling Co. | | |
| | Consolidated | 3,720 | 694 |
| | Inter Parfums Inc. | 13,744 | 583 |
| | Medifast Inc. | 8,415 | 537 |
| * | Cal-Maine Foods Inc. | 10,013 | 427 |
| * | Central Garden & Pet Co. | 8,245 | 318 |
| | | | 8,614 |
50
S&P Small-Cap 600 Growth Index Fund
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| Energy (0.2%) | | |
| * | CONSOL Energy Inc. | 11,412 | 362 |
| * | Ring Energy Inc. | 14,190 | 192 |
| * | CARBO Ceramics Inc. | 5,420 | 37 |
| | | | 591 |
| Financials (13.9%) | | |
| | Evercore Inc. Class A | 30,947 | 2,880 |
| | FirstCash Inc. | 37,804 | 2,786 |
| * | Green Dot Corp. Class A | 36,657 | 2,387 |
| *,^ | LendingTree Inc. | 6,043 | 2,106 |
| | Selective Insurance Group | | |
| | Inc. | 29,937 | 1,702 |
| *,^ | BofI Holding Inc. | 44,886 | 1,669 |
| | ServisFirst Bancshares Inc. | 36,081 | 1,449 |
| | First Financial Bankshares | | |
| | Inc. | 31,317 | 1,441 |
| | LegacyTexas Financial | | |
| | Group Inc. | 33,881 | 1,419 |
| | Glacier Bancorp Inc. | 36,266 | 1,411 |
| * | Pacific Premier Bancorp Inc. | 31,094 | 1,307 |
| | Columbia Banking System | | |
| | Inc. | 29,263 | 1,223 |
| | Walker & Dunlop Inc. | 22,648 | 1,095 |
| | CVB Financial Corp. | 44,352 | 1,020 |
| * | Third Point Reinsurance | | |
| | Ltd. | 69,693 | 969 |
| | ProAssurance Corp. | 20,093 | 960 |
| | Ameris Bancorp | 17,907 | 952 |
| | United Community Banks | | |
| | Inc. | 30,509 | 943 |
| * | NMI Holdings Inc. Class A | 45,437 | 902 |
| | RLI Corp. | 13,356 | 812 |
| | Meta Financial Group Inc. | 7,282 | 782 |
| | Independent Bank Corp. | 11,214 | 778 |
| | Financial Engines Inc. | 22,838 | 765 |
| * | Seacoast Banking Corp. | | |
| | of Florida | 28,200 | 739 |
| | National Bank Holdings | | |
| | Corp. Class A | 21,473 | 700 |
| | First Commonwealth | | |
| | Financial Corp. | 46,875 | 655 |
| | Banner Corp. | 11,297 | 624 |
| | First Financial Bancorp | 22,881 | 622 |
| | Chesapeake Lodging Trust | 20,712 | 536 |
| | S&T Bancorp Inc. | 13,452 | 531 |
| | Westamerica | | |
| | Bancorporation | 9,076 | 520 |
| | Universal Insurance | | |
| | Holdings Inc. | 16,685 | 489 |
| * | Encore Capital Group Inc. | 11,187 | 479 |
| | WisdomTree Investments | | |
| | Inc. | 49,813 | 479 |
| | Employers Holdings Inc. | 11,940 | 467 |
| | Piper Jaffray Cos. | 5,354 | 447 |
| | Hanmi Financial Corp. | 14,007 | 428 |
| | | |
| | Brookline Bancorp Inc. | 26,413 | 419 |
| | Central Pacific Financial | | |
| | Corp. | 14,704 | 410 |
| | City Holding Co. | 6,006 | 405 |
| | Banc of California Inc. | 18,422 | 367 |
| | Northfield Bancorp Inc. | 22,574 | 350 |
| | James River Group | | |
| | Holdings Ltd. | 10,542 | 345 |
| | Tompkins Financial Corp. | 4,350 | 334 |
| * | Customers Bancorp Inc. | 11,355 | 333 |
| | AMERISAFE Inc. | 5,849 | 328 |
| | TrustCo Bank Corp. NY | 35,382 | 301 |
| * | Green Bancorp Inc. | 13,773 | 300 |
| | Dime Community | | |
| | Bancshares Inc. | 10,273 | 185 |
| * | eHealth Inc. | 6,963 | 113 |
| | Associated Banc-Corp | 15 | — |
| | | | 43,664 |
| Health Care (22.9%) | | |
| * | Nektar Therapeutics | | |
| | Class A | 126,292 | 10,932 |
| | Cantel Medical Corp. | 28,561 | 3,322 |
| | Chemed Corp. | 12,791 | 3,321 |
| * | ICU Medical Inc. | 12,097 | 2,797 |
| * | Ligand Pharmaceuticals Inc. | 16,911 | 2,569 |
| * | Neogen Corp. | 40,836 | 2,380 |
| * | HealthEquity Inc. | 41,195 | 2,372 |
| * | AMN Healthcare Services | | |
| | Inc. | 38,276 | 2,130 |
| * | Haemonetics Corp. | 26,661 | 1,890 |
| * | Merit Medical Systems Inc. | 40,225 | 1,830 |
| * | Myriad Genetics Inc. | 55,482 | 1,799 |
| * | Integra LifeSciences | | |
| | Holdings Corp. | 31,575 | 1,665 |
| * | Inogen Inc. | 13,712 | 1,657 |
| * | Supernus Pharmaceuticals | | |
| | Inc. | 41,078 | 1,598 |
| * | Emergent BioSolutions Inc. | 28,112 | 1,397 |
| * | Amedisys Inc. | 22,839 | 1,352 |
| * | Omnicell Inc. | 30,406 | 1,327 |
| * | Corcept Therapeutics Inc. | 75,910 | 1,153 |
| * | Integer Holdings Corp. | 22,586 | 1,153 |
| * | Tivity Health Inc. | 27,300 | 1,052 |
| * | Momenta | | |
| | Pharmaceuticals Inc. | 61,206 | 1,044 |
| * | Spectrum | | |
| | Pharmaceuticals Inc. | 47,921 | 1,031 |
| * | Repligen Corp. | 30,023 | 1,030 |
| * | Innoviva Inc. | 58,866 | 913 |
| * | Enanta Pharmaceuticals Inc. | 11,442 | 900 |
| * | Select Medical Holdings | | |
| | Corp. | 48,897 | 885 |
| * | Cambrex Corp. | 16,547 | 860 |
| * | LHC Group Inc. | 13,034 | 839 |
| * | OraSure Technologies Inc. | 48,605 | 839 |
51
S&P Small-Cap 600 Growth Index Fund
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| * | Orthofix International NV | 14,559 | 815 |
| * | BioTelemetry Inc. | 24,637 | 796 |
| * | Medicines Co. | 24,673 | 756 |
| | Abaxis Inc. | 10,550 | 703 |
| * | Impax Laboratories Inc. | 33,852 | 691 |
| | Phibro Animal Health Corp. | | |
| | Class A | 15,683 | 603 |
| *,^ | MiMedx Group Inc. | 81,856 | 580 |
| | CONMED Corp. | 9,557 | 579 |
| * | Providence Service Corp. | 8,955 | 569 |
| * | Varex Imaging Corp. | 16,241 | 567 |
| | Ensign Group Inc. | 21,193 | 566 |
| | US Physical Therapy Inc. | 6,545 | 507 |
| * | Cutera Inc. | 11,106 | 500 |
| * | Quality Systems Inc. | 37,752 | 474 |
| * | ANI Pharmaceuticals Inc. | 7,184 | 460 |
| * | HMS Holdings Corp. | 27,625 | 443 |
| | LeMaitre Vascular Inc. | 12,192 | 424 |
| * | Natus Medical Inc. | 12,976 | 404 |
| * | CorVel Corp. | 7,696 | 377 |
| * | Eagle Pharmaceuticals Inc. | 6,694 | 376 |
| * | Lantheus Holdings Inc. | 23,754 | 363 |
| * | Heska Corp. | 5,221 | 355 |
| * | Anika Therapeutics Inc. | 6,694 | 348 |
| | Luminex Corp. | 17,715 | 347 |
| * | Almost Family Inc. | 5,739 | 338 |
| | Analogic Corp. | 3,798 | 317 |
| * | Surmodics Inc. | 10,498 | 316 |
| * | Amphastar | | |
| | Pharmaceuticals Inc. | 14,185 | 260 |
| *,^ | Lannett Co. Inc. | 15,217 | 243 |
| * | HealthStream Inc. | 10,010 | 242 |
| * | CryoLife Inc. | 12,226 | 232 |
| * | Tactile Systems | | |
| | Technology Inc. | 6,622 | 214 |
| | Meridian Bioscience Inc. | 13,896 | 194 |
| * | Depomed Inc. | 21,708 | 149 |
| * | Progenics Pharmaceuticals | | |
| | Inc. | 21,425 | 143 |
| * | Cytokinetics Inc. | 16,255 | 126 |
| | Computer Programs & | | |
| | Systems Inc. | 4,011 | 120 |
| | | | 71,534 |
| Industrials (18.9%) | | |
| * | On Assignment Inc. | 39,178 | 3,005 |
| | John Bean Technologies | | |
| | Corp. | 25,291 | 2,801 |
| * | Trex Co. Inc. | 23,576 | 2,438 |
| | Barnes Group Inc. | 39,520 | 2,383 |
| * | Proto Labs Inc. | 19,859 | 2,164 |
| | Insperity Inc. | 29,727 | 1,941 |
| | Korn/Ferry International | 45,273 | 1,897 |
| | Simpson Manufacturing | | |
| | Co. Inc. | 33,733 | 1,866 |
| * | Mercury Systems Inc. | 38,656 | 1,777 |
| | | |
| * | WageWorks Inc. | 31,804 | 1,668 |
| * | Aerojet Rocketdyne | | |
| | Holdings Inc. | 60,184 | 1,625 |
| | Exponent Inc. | 20,675 | 1,607 |
| | Albany International Corp. | 23,234 | 1,479 |
| * | Axon Enterprise Inc. | 42,404 | 1,477 |
| * | American Woodmark Corp. | 11,495 | 1,476 |
| * | Harsco Corp. | 64,475 | 1,306 |
| | Forward Air Corp. | 23,850 | 1,288 |
| | EnPro Industries Inc. | 17,083 | 1,238 |
| | Comfort Systems USA Inc. | 29,746 | 1,221 |
| | Tetra Tech Inc. | 24,556 | 1,202 |
| * | Patrick Industries Inc. | 19,139 | 1,176 |
| | Interface Inc. Class A | 48,283 | 1,168 |
| | Hillenbrand Inc. | 26,255 | 1,153 |
| * | Saia Inc. | 14,096 | 1,024 |
| * | Moog Inc. Class A | 12,192 | 1,022 |
| | Allegiant Travel Co. Class A | 5,928 | 986 |
| | Raven Industries Inc. | 28,656 | 973 |
| | UniFirst Corp. | 5,944 | 923 |
| | Alamo Group Inc. | 7,644 | 850 |
| | Mobile Mini Inc. | 20,239 | 849 |
| * | Aerovironment Inc. | 17,012 | 846 |
| | Universal Forest Products | | |
| | Inc. | 25,485 | 839 |
| | ESCO Technologies Inc. | 13,039 | 768 |
| | AAON Inc. | 20,069 | 738 |
| | Watts Water Technologies | | |
| | Inc. Class A | 9,343 | 705 |
| * | PGT Innovations Inc. | 39,801 | 696 |
| | Brady Corp. Class A | 17,310 | 647 |
| | Franklin Electric Co. Inc. | 15,799 | 619 |
| | Cubic Corp. | 9,832 | 604 |
| | US Ecology Inc. | 10,856 | 574 |
| | Apogee Enterprises Inc. | 12,614 | 544 |
| | Wabash National Corp. | 24,576 | 537 |
| | Federal Signal Corp. | 24,996 | 535 |
| | Standex International Corp. | 5,219 | 502 |
| | Viad Corp. | 8,497 | 442 |
| | Actuant Corp. Class A | 18,222 | 414 |
| | Marten Transport Ltd. | 17,977 | 389 |
| | Tennant Co. | 5,856 | 377 |
| | Lindsay Corp. | 4,006 | 354 |
| * | Vicor Corp. | 13,037 | 336 |
| | Multi-Color Corp. | 5,016 | 318 |
| | Heartland Express Inc. | 15,585 | 304 |
| * | Lydall Inc. | 5,932 | 286 |
| | Quanex Building Products | | |
| | Corp. | 16,955 | 284 |
| | Griffon Corp. | 11,867 | 222 |
| | Forrester Research Inc. | 4,821 | 195 |
| | RR Donnelley & Sons Co. | 17,409 | 131 |
| | | | 59,189 |
52
S&P Small-Cap 600 Growth Index Fund
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| Information Technology (15.9%) | |
| * | Stamps.com Inc. | 13,025 | 2,488 |
| * | Advanced Energy | | |
| | Industries Inc. | 31,781 | 2,108 |
| | Cabot Microelectronics | | |
| | Corp. | 20,321 | 2,071 |
| * | Rogers Corp. | 14,623 | 2,008 |
| * | Qualys Inc. | 25,534 | 1,891 |
| | Progress Software Corp. | 38,335 | 1,797 |
| * | II-VI Inc. | 43,985 | 1,693 |
| * | ExlService Holdings Inc. | 27,186 | 1,550 |
| * | Lumentum Holdings Inc. | 24,824 | 1,514 |
| | Brooks Automation Inc. | 56,353 | 1,505 |
| | Ebix Inc. | 17,649 | 1,482 |
| * | Kulicke & Soffa Industries | | |
| | Inc. | 56,588 | 1,319 |
| * | TTM Technologies Inc. | 73,440 | 1,187 |
| * | Semtech Corp. | 33,421 | 1,125 |
| * | Rambus Inc. | 87,968 | 1,118 |
| * | MaxLinear Inc. | 48,821 | 1,110 |
| * | Viavi Solutions Inc. | 113,100 | 1,088 |
| * | Bottomline Technologies | | |
| | de Inc. | 28,226 | 1,072 |
| * | Virtusa Corp. | 21,885 | 1,044 |
| | Power Integrations Inc. | 15,007 | 1,008 |
| * | Extreme Networks Inc. | 87,900 | 1,003 |
| * | SPS Commerce Inc. | 13,803 | 828 |
| * | SolarEdge Technologies | | |
| | Inc. | 16,510 | 826 |
| * | Itron Inc. | 10,655 | 746 |
| * | Shutterstock Inc. | 14,731 | 740 |
| * | 8x8 Inc. | 39,808 | 727 |
| | Badger Meter Inc. | 14,939 | 711 |
| * | KEMET Corp. | 39,321 | 707 |
| * | Rudolph Technologies Inc. | 25,321 | 672 |
| * | CalAmp Corp. | 28,596 | 669 |
| * | CEVA Inc. | 17,607 | 647 |
| * | Axcelis Technologies Inc. | 25,182 | 616 |
| * | ePlus Inc. | 7,726 | 591 |
| | CSG Systems | | |
| | International Inc. | 12,611 | 589 |
| | Methode Electronics Inc. | 14,452 | 570 |
| * | Oclaro Inc. | 74,451 | 534 |
| * | FARO Technologies Inc. | 8,711 | 517 |
| | Monotype Imaging | | |
| | Holdings Inc. | 20,752 | 500 |
| * | Electro Scientific | | |
| | Industries Inc. | 26,854 | 481 |
| * | MicroStrategy Inc. | | |
| | Class A | 3,701 | 474 |
| | Cohu Inc. | 22,692 | 455 |
| * | OSI Systems Inc. | 7,152 | 452 |
| *,^ | Applied Optoelectronics | | |
| | Inc. | 15,539 | 434 |
| | | |
| * | Ultra Clean Holdings Inc. | 21,207 | 408 |
| * | TTEC Holdings Inc. | 11,382 | 406 |
| * | Alarm.com Holdings Inc. | 10,818 | 391 |
| * | Control4 Corp. | 15,812 | 380 |
| * | Nanometrics Inc. | 14,372 | 379 |
| * | QuinStreet Inc. | 28,586 | 375 |
| * | XO Group Inc. | 19,345 | 373 |
| | CTS Corp. | 14,001 | 360 |
| | Xperi Corp. | 15,000 | 331 |
| | NIC Inc. | 24,468 | 330 |
| * | LivePerson Inc. | 21,538 | 311 |
| | ADTRAN Inc. | 19,721 | 309 |
| | EVERTEC Inc. | 18,800 | 305 |
| | Park Electrochemical Corp. | 5,784 | 98 |
| * | Kopin Corp. | 31,287 | 96 |
| * | PDF Solutions Inc. | 8,357 | 93 |
| * | Agilysys Inc. | 6,023 | 67 |
| | Bel Fuse Inc. Class B | 474 | 8 |
| | | | 49,687 |
| Materials (3.5%) | | |
| * | Ingevity Corp. | 33,732 | 2,527 |
| | Balchem Corp. | 15,128 | 1,138 |
| * | Kraton Corp. | 25,086 | 1,064 |
| | HB Fuller Co. | 18,558 | 935 |
| | Quaker Chemical Corp. | 6,501 | 926 |
| *,^ | US Concrete Inc. | 12,544 | 912 |
| * | Koppers Holdings Inc. | 16,625 | 672 |
| | Innospec Inc. | 9,481 | 616 |
| * | AdvanSix Inc. | 12,931 | 535 |
| | Neenah Inc. | 6,051 | 464 |
| | Calgon Carbon Corp. | 20,367 | 433 |
| | Schweitzer-Mauduit | | |
| | International Inc. | 10,331 | 405 |
| | American Vanguard Corp. | 14,698 | 287 |
| | Myers Industries Inc. | 11,234 | 213 |
| | | | 11,127 |
| Real Estate (4.7%) | | |
| | EastGroup Properties Inc. | 27,585 | 2,235 |
| | Lexington Realty Trust | 173,407 | 1,380 |
| | HFF Inc. Class A | 29,379 | 1,341 |
| | Four Corners Property | | |
| | Trust Inc. | 49,016 | 1,076 |
| | PS Business Parks Inc. | 9,237 | 1,024 |
| | National Storage Affiliates | | |
| | Trust | 39,699 | 974 |
| | Retail Opportunity | | |
| | Investments Corp. | 43,963 | 754 |
| | Summit Hotel Properties | | |
| | Inc. | 54,284 | 715 |
| | Easterly Government | | |
| | Properties Inc. | 35,133 | 669 |
| | LTC Properties Inc. | 16,786 | 620 |
| | Universal Health Realty | | |
| | Income Trust | 10,124 | 561 |
53
S&P Small-Cap 600 Growth Index Fund
| | | |
| | | | Market |
| | | | Value• |
| | | Shares | ($000) |
| | Agree Realty Corp. | 11,697 | 551 |
| | Ramco-Gershenson | | |
| | Properties Trust | 40,712 | 480 |
| | CareTrust REIT Inc. | 35,877 | 475 |
| | American Assets Trust Inc. | 14,905 | 473 |
| | Getty Realty Corp. | 14,204 | 335 |
| | Armada Hoffler Properties | | |
| | Inc. | 20,559 | 269 |
| | Saul Centers Inc. | 5,110 | 250 |
| | Whitestone REIT | 13,630 | 168 |
| | Urstadt Biddle Properties | | |
| | Inc. Class A | 9,510 | 167 |
| | Community Healthcare | | |
| | Trust Inc. | 6,609 | 156 |
| | | | 14,673 |
| Telecommunication Services (1.2%) | |
| * | Vonage Holdings Corp. | 166,754 | 1,693 |
| | Cogent Communications | | |
| | Holdings Inc. | 33,143 | 1,420 |
| * | GCI Liberty Inc. | 13,145 | 505 |
| | | | 3,618 |
| Utilities (2.1%) | | |
| | ALLETE Inc. | 21,184 | 1,444 |
| | Avista Corp. | 22,182 | 1,061 |
| | American States Water Co. | 18,509 | 983 |
| | California Water Service | | |
| | Group | 24,597 | 933 |
| | El Paso Electric Co. | 17,238 | 838 |
| | South Jersey Industries Inc. | 27,997 | 734 |
| | Northwest Natural Gas Co. | 10,101 | 527 |
| | | | 6,520 |
| Total Common Stocks | | |
| (Cost $262,152) | | 312,305 |
| Temporary Cash Investments (0.9%)1 | |
| Money Market Fund (0.8%) | | |
| 2,3 | Vanguard Market Liquidity | | |
| | Fund, 1.601% | 25,872 | 2,587 |
| |
| | | Face | |
| | | Amount | |
| | | ($000) | |
| U. S. Government and Agency Obligations (0.1%) |
| 4 | United States Treasury | | |
| | Bill, 1.602%, 5/24/18 | 200 | 199 |
| Total Temporary Cash Investments | |
| (Cost $2,787) | | 2,786 |
| Total Investments (100.7%) | | |
| (Cost $264,939) | | 315,091 |
| |
| | Amount |
| | ($000) |
| Other Assets and Liabilities (-0.7%) | |
| Other Assets | |
| Investment in Vanguard | 17 |
| Receivables for Accrued Income | 130 |
| Receivables for Capital Shares Issued | 3 |
| Total Other Assets | 150 |
| Liabilities | |
| Payables for Investment Securities Purchased (60) |
| Collateral for Securities on Loan | (2,211) |
| Payables to Vanguard | (49) |
| Variation Margin Payable—Futures Contracts | (11) |
| Total Liabilities | (2,331) |
| Net Assets (100%) | 312,910 |
| |
| At February 28, 2018, net assets consisted of: |
| | Amount |
| | ($000) |
| Paid-in Capital | 277,663 |
| Undistributed Net Investment Income | 76 |
| Accumulated Net Realized Losses | (14,974) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 50,152 |
| Futures Contracts | (7) |
| Net Assets | 312,910 |
| |
| |
| ETF Shares—Net Assets | |
| Applicable to 2,150,000 outstanding | |
| $.001 par value shares of beneficial | |
| interest (unlimited authorization) | 312,910 |
| Net Asset Value Per Share— | |
| ETF Shares | $145.54 |
• 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 $2,132,000.
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 0.7%, respectively, of net assets.
2 Affiliated money market fund available only to Vanguard funds
and certain trusts and accounts managed by Vanguard. Rate
shown is the 7-day yield.
3 Includes $2,211,000 of collateral received for securities
on loan.
4 Securities with a value of $149,000 have been segregated as
initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
54
S&P Small-Cap 600 Growth Index Fund
| | | | |
| Derivative Financial Instruments Outstanding as of Period End | | |
| Futures Contracts | | | | |
| | | | ($000) |
| | | | | Value and |
| | | Number of | | Unrealized |
| | | Long (Short) | Notional | Appreciation |
| | Expiration | Contracts | Amount | (Depreciation) |
| Long Futures Contracts | | | | |
| E-mini Russell 2000 Index | March 2018 | 8 | 604 | (7) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
55
S&P Small-Cap 600 Growth Index Fund
Statement of Operations
| |
| | Six Months Ended |
| | February28,2018 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 1,488 |
| Interest1 | 9 |
| Securities Lending—Net | 64 |
| Total Income | 1,561 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 36 |
| Management and Administrative | 172 |
| Marketing and Distribution | 9 |
| Custodian Fees | 57 |
| Shareholders’ Reports and Proxy | 21 |
| Total Expenses | 295 |
| Net Investment Income | 1,266 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1 | (1,450) |
| Futures Contracts | 257 |
| Realized Net Gain (Loss) | (1,193) |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities1 | 28,802 |
| Futures Contracts | (21) |
| Change in Unrealized Appreciation (Depreciation) | 28,781 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 28,854 |
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund
were $4,000, ($1,000), and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
56
S&P Small-Cap 600 Growth Index Fund
Statement of Changes in Net Assets
| | |
| | Six Months Ended | Year Ended |
| | February 28, | August 31, |
| | 2018 | 2017 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 1,266 | 2,007 |
| Realized Net Gain (Loss) | (1,193) | 10,005 |
| Change in Unrealized Appreciation (Depreciation) | 28,781 | 10,949 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 28,854 | 22,961 |
| Distributions | | |
| Net Investment Income | (1,676) | (1,784) |
| Realized Capital Gain | — | — |
| Total Distributions | (1,676) | (1,784) |
| Capital Share Transactions | | |
| Issued | 50,626 | 129,921 |
| Issued in Lieu of Cash Distributions | — | — |
| Redeemed | (29,089) | (18,805) |
| Net Increase (Decrease) from Capital Share Transactions | 21,537 | 111,116 |
| Total Increase (Decrease) | 48,715 | 132,293 |
| Net Assets | | |
| Beginning of Period | 264,195 | 131,902 |
| End of Period1 | 312,910 | 264,195 |
| 1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $76,000 and $486,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
57
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 | | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 |
| Net Asset Value, Beginning of Period | $132.10 | $117.25 | $106.99 | $101.36 | $87.79 | $70.70 |
| Investment Operations | | | | | | | |
| Net Investment Income | | . 6121 | 1.2221 | 1.180 | 1.043 | .6681 | .822 |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | | 13.649 | 14.762 | 10.685 | 5.345 | 13.432 | 17.083 |
| Total from Investment Operations | 14.261 | 15.984 | 11.865 | 6.388 | 14.100 | 17.905 |
| Distributions | | | | | | | |
| Dividends from Net Investment Income | (.821) | (1.134) | (1.605) | (.758) | (.530) | (.815) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | | (.821) | (1.134) | (1.605) | (.758) | (.530) | (.815) |
| Net Asset Value, End of Period | | $145.54 | $132.10 | $117.25 | $106.99 | $101.36 | $87.79 |
| |
| Total Return | | 10.81% | 13.67% | 11.24% | 6.32% | 16.07% | 25.59% |
| |
| Ratios/Supplemental Data | | | | | | | |
| Net Assets, End of Period (Millions) | $313 | $264 | $132 | $75 | $61 | $22 |
| Ratio of Total Expenses to | | | | | | | |
| Average Net Assets | | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | | 0.85% | 0.95% | 1.15% | 0.98% | 0.66% | 1.03% |
| Portfolio Turnover Rate2 | | 51% | 48% | 48% | 63% | 44% | 39% |
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.
58
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. The fund has not issued any Institutional Shares as of February 28, 2018.
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, 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 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 notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the six months ended February 28, 2018, 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 the notional amounts at each quarter-end during the period.
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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, 2014–2017), and for the period ended February 28, 2018, 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 event 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, 2018, 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.
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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. All other costs of operations payable to Vanguard are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2018, the fund had contributed to Vanguard capital in the amount of $17,000, 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). Any investments valued with significant unobservable inputs are
noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as of February 28, 2018, based on the inputs used to value them:
| | | |
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 312,305 | — | — |
| Temporary Cash Investments | 2,587 | 199 | — |
| Futures Contracts—Liabilities1 | (11) | — | — |
| Total | 314,881 | 199 | — |
| 1 Represents variation margin on the last day of the reporting period. |
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
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S&P Small-Cap 600 Growth Index Fund
During the six months ended February 28, 2018, the fund realized $6,912,000 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, 2017, the fund had available capital losses totaling $6,866,000 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, 2018; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 28, 2018, the cost of investment securities for tax purposes was $264,939,000. Net unrealized appreciation of investment securities for tax purposes was $50,152,000, consisting of unrealized gains of $59,667,000 on securities that had risen in value since their purchase and $9,515,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 28, 2018, the fund purchased $151,253,000 of investment securities and sold $127,170,000 of investment securities, other than temporary cash investments. Purchases and sales include $36,197,000 and $21,219,000, 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, 2018, such purchases and sales were $46,741,000 and $62,493,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
F. Capital shares issued and redeemed were:
| | |
| | Six Months Ended | Year Ended |
| | February 28, 2018 | August 31, 2017 |
| | Shares | Shares |
| | (000) | (000) |
| Issued | 350 | 1,025 |
| Issued in Lieu of Cash Distributions | — | — |
| Redeemed | (200) | (150) |
| Net Increase (Decrease) In Shares Outstanding | 150 | 875 |
G. Management has determined that no material events or transactions occurred subsequent to February 28, 2018, that would require recognition or disclosure in these financial statements.
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About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
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| | | |
| Six Months Ended February 28, 2018 | | | |
| | Beginning | Ending | Expenses |
| | Account Value | Account Value | Paid During |
| | 8/31/2017 | 2/28/2018 | Period |
| Based on Actual Fund Return | | | |
| S&P Small-Cap 600 Index Fund | | | |
| ETF Shares | $1,000.00 | $1,103.08 | $0.78 |
| Institutional Shares | 1,000.00 | 1,103.29 | 0.42 |
| S&P Small-Cap 600 Value Index Fund | | | |
| ETF Shares | $1,000.00 | $1,097.01 | $1.04 |
| Institutional Shares | 1,000.00 | 1,097.72 | 0.42 |
| S&P Small-Cap 600 Growth Index Fund | | | |
| ETF Shares | $1,000.00 | $1,108.06 | $1.05 |
| Based on Hypothetical 5% Yearly Return | | | |
| S&P Small-Cap 600 Index Fund | | | |
| ETF Shares | $1,000.00 | $1,024.05 | $0.75 |
| Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
| S&P Small-Cap 600 Value Index Fund | | | |
| ETF Shares | $1,000.00 | $1,023.80 | $1.00 |
| Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
| S&P Small-Cap 600 Growth Index Fund | | | |
| ETF Shares | $1,000.00 | $1,023.80 | $1.00 |
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, 0.15% for ETF Shares and 0.08% for Institutional Shares; for the S&P Small-Cap
600 Value Index Fund, 0.20% for ETF Shares and 0.08% for Institutional Shares; and for the S&P Small-Cap 600 Growth Index Fund, 0.20%
for ETF Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average
account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in
the most recent 12-month period (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.
65
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.
66
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark
of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use
by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification
makes any express or implied warranties or representations with respect to such standard or classification (or the results
to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy,
completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification.
Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in
making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive,
consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
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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 208 Vanguard funds.
Information for each trustee and executive officer of the fund appears below. 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.
Interested Trustees1
F. William McNabb III
Born in 1957. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: chairman of the board (January 2010–present) of Vanguard and of each of the investment companies served by Vanguard, trustee (2009–present) of each of the investment companies served by Vanguard, and director (2008–present) of Vanguard. Chief executive officer and president (2008–2017) of Vanguard and each of the investment companies served by Vanguard, managing director (1995–2008) of Vanguard, and director (1997–2018) of Vanguard Marketing Corporation. Director (2018–present) of UnitedHealth Group.
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chief executive officer (January 2018–present) of Vanguard; chief executive officer, president, and trustee (January 2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (February 2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) of the Children’s Hospital of Philadelphia.
Independent Trustees
Emerson U. Fullwood
Born in 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). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. 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 University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.
Amy Gutmann
Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) 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.
1 Mr. McNabb and Mr. Buckley are considered “interested persons,” as defined in the Investment Company Act of 1940, because they are officers of the Vanguard funds.
JoAnn Heffernan Heisen
Born in 1950. Trustee since July 1998. Principal occupation(s) during the past five years and other experience: corporate vice president of Johnson & Johnson (pharmaceuticals/medical devices/consumer products) and member of its executive committee (1997–2008). Chief global diversity officer (retired 2008), vice president and chief information officer (1997–2006), controller (1995–1997), treasurer (1991–1995), and assistant treasurer (1989–1991) of Johnson & Johnson. 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 in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) 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 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 in 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) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.
Scott C. Malpass
Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (1989–present) and vice president (1996–present) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Chairman of the board of TIFF Advisory Services, Inc. Member of the board of Catholic Investment Services, Inc. (investment advisors), the board of advisors for Spruceview Capital Partners, and the board of superintendence of the Institute for the Works of Religion.
Deanna Mulligan
Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: president (2010–present) and chief executive officer (2011–present) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, the Partnership for New York City (business leadership), and the Committee Encouraging Corporate Philanthropy. Trustee of the Economic Club of New York and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.
André F. Perold
Born in 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.
Sarah Bloom Raskin
Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director of i(x) Investments, LLC.
Peter F. Volanakis
Born in 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) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). 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 in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.
Christine M. Buchanan
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard and global head of Fund Administration at Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG LLP (audit, tax, and advisory services).
Brian Dvorak
Born in 1973. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2017–present) of Vanguard and each of the investment companies served by Vanguard. Assistant vice president (2017–present) of Vanguard Marketing Corporation. Vice president and director of Enterprise Risk Management (2011–2013) at Oppenheimer Funds, Inc.
Thomas J. Higgins
Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2008–present) and treasurer (1998–2008) of each of the investment companies served by Vanguard.
Peter Mahoney
Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.
Anne E. Robinson
Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Director and senior vice president (2016–2018) of Vanguard Marketing Corporation. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.
Michael Rollings
Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.
| |
| Vanguard Senior Management Team |
| |
| Mortimer J. Buckley | James M. Norris |
| Gregory Davis | Thomas M. Rampulla |
| John James | Karin A. Risi |
| Martha G. King | Anne E. Robinson |
| John T. Marcante | Michael Rollings |
| 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 |
|  |
| | P.O. Box 2600 |
| | Valley Forge, PA 19482-2600 |
| |
| |
| |
| Connect with Vanguard® > vanguard.com |
| |
| |
| |
| Fund Information > 800-662-7447 | Source for Bloomberg Barclays indexes: Bloomberg |
| Direct Investor Account Services > 800-662-2739 | Index Services Limited. Copyright 2018, Bloomberg. All |
| | rights reserved. |
| Institutional Investor Services > 800-523-1036 | |
| | The index is a product of S&P Dow Jones Indices LLC |
| Text Telephone for People | (“SPDJI”), and has been licensed for use by Vanguard. |
| Who Are Deaf or Hard of Hearing > 800-749-7273 | Standard & Poor’s® and S&P® are registered |
| This material may be used in conjunction | trademarks of Standard & Poor’s Financial Services LLC |
| | (“S&P”); Dow Jones® is a registered trademark of Dow |
| with the offering of shares of any Vanguard | Jones Trademark Holdings LLC (“Dow Jones”); S&P® |
| fund only if preceded or accompanied by | and S&P 500® are trademarks of S&P; and these |
| the fund’s current prospectus. | trademarks have been licensed for use by SPDJI and |
| | sublicensed for certain purposes by Vanguard. |
| All comparative mutual fund data are from Lipper, a | Vanguard product(s) are not sponsored, endorsed, sold |
| Thomson Reuters Company, or Morningstar, Inc., unless | or promoted by SPDJI, Dow Jones, S&P, or their |
| otherwise noted. | respective affiliates and none of such parties make any |
| You can obtain a free copy of Vanguard’s proxy voting | representation regarding the advisability of investing in |
| guidelines by visiting vanguard.com/proxyreporting or by | such product(s) nor do they have any liability for any |
| calling Vanguard at 800-662-2739. The guidelines are | errors, omissions, or interruptions of the index. |
| 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. | |
| | © 2018 The Vanguard Group, Inc. |
| | All rights reserved. |
| | Vanguard Marketing Corporation, Distributor. |
| |
| | Q18452 042018 |
Item 2: Code of Ethics.
Not Applicable.
Item 3: Audit Committee Financial Expert.
Not Applicable.
Item 4: Principal Accountant Fees and Services.
(a) Audit Fees.
Not Applicable.
Item 5: Audit Committee of Listed Registrants.
Not Applicable.
Item 6: Investments.
Not Applicable.
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment
Companies.
Not Applicable.
Item 8: Portfolio Managers of Closed-End Management Investment Companies.
Not Applicable.
Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and
Affiliated Purchasers.
Not Applicable.
Item 10: Submission of Matters to a Vote of Security Holders.
Not Applicable.
Item 11: Controls and Procedures.
(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
(b) Internal Control Over Financial Reporting. There were no significant changes in Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12: Disclosure of Securities Lending Activities for Closed-End Management
Investment Companies.
Not Applicable.
Item 13: 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/ MORTIMER J. BUCKLEY* |
| | MORTIMER J. BUCKLEY |
| | CHIEF EXECUTIVE OFFICER |
| |
| Date: April 17, 2018 |
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/ MORTIMER J. BUCKLEY* |
| | MORTIMER J. BUCKLEY |
| | CHIEF EXECUTIVE OFFICER |
Date: April 17, 2018 |
| | VANGUARD ADMIRAL FUNDS |
| |
| BY: | /s/ THOMAS J. HIGGINS* |
| | THOMAS J. HIGGINS |
| | CHIEF FINANCIAL OFFICER |
| Date: April 17, 2018 |
* By: /s/ Anne E. Robinson
Anne E. Robinson, pursuant to a Power of Attorney filed on January 18, 2018 see file Number
33-32216, Incorporated by Reference.
