UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT
OF
REGISTERED MANAGEMENT COMPANY
Investment Company Act file number: | 811-070175 |
Name of Registrant: | Vanguard Tax-Managed Funds |
Address of Registrant: | P.O. Box 2600 Valley Forge, PA 19482 |
Name and address of agent for service: | Heidi Stam, Esquire P.O. Box 876 Valley Forge, PA 19482 |
Registrant’s telephone number, including area code: (610) 669-1000
Date of fiscal year end: | December 31 |
Date of reporting period: | January 1, 2006 - December 31, 2006 |
Item 1: | Reports to Shareholders |
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| December 31, 2006 |
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| Vanguard Tax-Managed Balanced Fund |
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| Vanguard Tax-Managed Growth and Income Fund |
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| Vanguard Tax-Managed Capital Appreciation Fund |
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| Vanguard Tax-Managed Small-Cap Fund |
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| Vanguard Tax-Managed International Fund |
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> | Vanguard Tax-Managed Fund returns ranged from 26.3% (Investor Shares) for the international portfolio to 9.1% for the balanced fund. |
> | Gains were strong across stock sectors, particularly among financials, telecommunication services, and commodities stocks. |
> | The funds have continued to avoid any taxable capital gain distributions to shareholders. |
Contents |
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Your Fund’s Total Returns | 1 |
Chairman’s Letter | 2 |
Tax-Managed Balanced Fund | 8 |
Tax-Managed Growth and Income Fund | 16 |
Tax-Managed Capital Appreciation Fund | 26 |
Tax-Managed Small-Cap Fund | 36 |
Tax-Managed International Fund | 45 |
Your Fund’s After-Tax Returns | 58 |
About Your Fund’s Expenses | 60 |
Glossary | 62 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the cover of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
Your Fund’s Total Returns
Fiscal Year Ended December 31, 2006 |
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| Total |
| Returns |
Vanguard Tax-Managed Balanced Fund | 9.1% |
Tax-Managed Balanced Composite Index1 | 9.6 |
Average Mixed-Asset Target Moderate Fund2 | 11.1 |
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Vanguard Tax-Managed Growth and Income Fund |
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Investor Shares | 15.7% |
Admiral™ Shares3 | 15.8 |
Institutional Shares4 | 15.8 |
S&P 500 Index | 15.8 |
Average Large-Cap Core Fund2 | 13.5 |
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Vanguard Tax-Managed Capital Appreciation Fund |
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Investor Shares | 14.4% |
Admiral Shares | 14.4 |
Institutional Shares | 14.5 |
Russell 1000 Index | 15.5 |
Average Multi-Cap Core Fund2 | 13.3 |
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Vanguard Tax-Managed Small-Cap Fund |
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Investor Shares | 14.2% |
Institutional Shares | 14.2 |
S&P SmallCap 600 Index | 15.1 |
Average Small-Cap Core Fund2 | 14.9 |
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Vanguard Tax-Managed International Fund |
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Investor Shares | 26.3% |
Institutional Shares | 26.4 |
MSCI EAFE Index | 26.3 |
Average International Fund2 | 24.8 |
1 50% Russell 1000 Index, 50% Lehman Brothers 7 Year Municipal Bond Index.
2 Derived from data provided by Lipper Inc.
3 A lower-cost class of shares available to many longtime shareholders and to those with significant investments in the fund.
4 This class of shares also carries low expenses and is available for a minimum investment of $5 million.
1
Chairman’s Letter
Dear Shareholder,
Calendar-year 2006 provided robust gains across stock markets, particularly outside the United States. Gains were more modest for bonds, given rising interest rates during the first half of the year. The returns of the Vanguard Tax-Managed Funds ranged from 9.1% for the Tax-Managed Balanced Fund to 26.3% for the Investor Shares of the Tax-Managed International Fund.
The funds met their tax-management objectives, as they have since their inceptions. From the Performance at a Glance chart on page 7, you can see that the funds’ managers, Vanguard’s Quantitative Equity and Fixed Income Groups, continued to avoid distributing capital gains, even after four consecutive years of positive stock performance. The funds’ managers used a variety of strategies to avoid realizing capital gains, yet strayed from a pure indexing strategy as little as possible. Some of the funds also focus on minimizing dividend income, which is taxable at 15% for most investors. For the year, this strategy hurt performance relative to several of the funds’ target indexes, because the highest-yielding stocks were the top performers in the market.
Strong second half pushed stocks to new high
Beginning in mid-July, stocks climbed steadily through the remainder of the year, with the Dow Jones Industrial Average setting a record high on December 27. For the year, the broad U.S. stock market gained 15.9%. Despite a soft housing
2
sector and ongoing troubles within the U.S. auto industry, the economy continued to grow and corporate profits remained strong.
For the year, small-capitalization stocks beat out large-cap issues, and value stocks outperformed their growth-oriented counterparts. International stocks continued to best domestic equities, particularly in emerging markets and Europe. A declining dollar further enhanced returns abroad for U.S.-based investors.
Bond returns remained modest as the Fed paused its rate hikes
The Federal Reserve Board extended its money-tightening campaign during the first half of the year, raising its target for the federal funds rate four times. The Fed then paused, leaving the target rate unchanged at 5.25% for the rest of the year, and inflation fears eased. Bond yields declined in the second half of the year, and short-term yields were higher than longer-term yields.
Fixed income returns for 2006 were modest, with the broad taxable bond market returning 4.3% and municipal bonds providing 4.8%.
All sectors notched gains; value segments were extra-strong
Returns were clustered between 14% and 16% for Vanguard Tax-Managed Small-Cap, Capital Appreciation, and Growth and Income Funds. These funds invest, respectively, in small-cap, large- and mid-cap, and large-cap stocks. In all three cases, returns were positive across all ten economic sectors encompassed by the funds.
Market Barometer |
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| Average Annual Total Returns | |
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| One Year | Three Years | Five Years |
Stocks |
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Russell 1000 Index (Large-caps) | 15.5% | 11.0% | 6.8% |
Russell 2000 Index (Small-caps) | 18.4 | 13.6 | 11.4 |
Dow Jones Wilshire 5000 Index (Entire market) | 15.9 | 11.5 | 7.6 |
MSCI All Country World Index ex USA (International) | 27.2 | 21.8 | 16.9 |
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Bonds |
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Lehman Aggregate Bond Index (Broad taxable market) | 4.3% | 3.7% | 5.1% |
Lehman Municipal Bond Index | 4.8 | 4.3 | 5.5 |
Citigroup 3-Month Treasury Bill Index | 4.8 | 3.0 | 2.3 |
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CPI |
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Consumer Price Index | 2.5% | 3.1% | 2.7% |
3
For the two funds in this group of three that focus on larger stocks, one of the strongest categories was financials stocks, which represented roughly one-fifth of the holdings in both Capital Appreciation and Growth and Income. Banks, brokerage firms, asset managers, real estate investment trusts (REITs), and commodity stock exchanges all turned in excellent performances. Not only did many of these companies produce record earnings, but they also benefited from an active market for mergers and acquisitions (M&As). Such activity often boosts the stocks of both acquired companies and those companies the market deems likely to be acquired.
The M&A theme also played out among companies in telecommunication services, the best-performing sector in both the Capital Appreciation and Growth and Income Funds. Merger partners BellSouth and AT&T were up 80% and 53%, respectively, and competitor Verizon rose 35%. Other strong gains came in the energy, utilities, and materials sectors. Health care and information technology were the weakest sectors, with gains in the single digits.
Within small-cap stocks, the industrials sector made the greatest contribution to returns. Many industrial companies benefited from a strong export market for goods ranging from air compressors, to lighting equipment, to refrigeration equipment. Within this category, defense contractors also performed well. Financials provided the second-largest contribution to returns, with REITs, insurance companies, and banks driving gains.
Turning to international markets, the Tax-Managed International Fund’s 26.3% gain (Investor Shares) reflected prospering economies across Europe. As in the United States, economic growth was strong and M&A activity was a factor. U.S. investors also benefited from the dollar’s decline against most major currencies, which boosts returns when gains are translated into U.S. dollars. For the year, the dollar was down 10.2% versus the euro and 12.2% against the British pound. After soaring in 2005, the Japanese economy cooled in 2006, hurting returns in that market.
The Tax-Managed Balanced Fund’s 9.1% gain reflected its equal weighting between a stock index and a municipal bond index that returned 15.5% and 4.0%, respectively.
Funds start with advantages that grow each April
From the chart on page 5, you can see that each of the Tax-Managed Funds is ahead of the average return for peer funds within its category. This achievement reflects the skillful execution of a disciplined and broadly diversified tax-management strategy, as well as the funds’ low costs.
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The chart shows only pre-tax returns. The funds’ performance advantage would widen on an after-tax basis because, unlike many peers, the funds have not generated capital gains distributions to shareholders. Taxes are due each April on any capital gain distribution that investors received in the prior year. Investors in Vanguard’s Tax-Managed Funds have never had to pay taxes for merely holding the fund—only when they sell shares that have appreciated. By keeping an eye on the tax consequences of each stock purchase or sale, Vanguard’s managers hope to continue this record for years to come.
Funds are structured to protect interests of long-term investors
The Vanguard Tax-Managed Funds charge a 1% fee to investors who redeem any portion of their investment within five
Total Returns |
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Ten Years Ended December 31, 20061 |
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| Average | Final Value of a $10,000 |
| Annual Return | Initial Investment |
Tax-Managed Balanced Fund | 7.2% | $20,130 |
Tax-Managed Balanced Composite Index2 | 7.3 | 20,194 |
Average Mixed-Asset Target Moderate Fund3 | 6.6 | 18,924 |
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Tax-Managed Growth and Income Fund Investor Shares | 8.4% | $22,461 |
S&P 500 Index | 8.4 | 22,447 |
Average Large-Cap Core Fund3 | 6.7 | 19,050 |
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Tax-Managed Capital Appreciation Fund Investor Shares | 8.6% | $22,920 |
Russell 1000 Index | 8.6 | 22,914 |
Average Multi-Cap Core Fund3 | 7.9 | 21,468 |
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Tax-Managed Small-Cap Fund Investor Shares | 13.7% | $27,042 |
S&P SmallCap 600 Index | 13.5 | 26,791 |
Average Small-Cap Core Fund3 | 13.6 | 26,910 |
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Tax-Managed International Fund Investor Shares | 6.8% | $16,207 |
MSCI EAFE Index | 6.7 | 16,167 |
Average International Fund3 | 6.3 | 15,721 |
The figures shown represent past performance, which is not a guarantee of future results. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at www.vanguard.com.) 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.
1 Annualized returns are since inception for the Tax-Managed Small-Cap Fund (March 25, 1999) and the Tax-Managed International Fund (August 17, 1999).
2 50% Russell 1000 Index, 50% Lehman Brothers 7 Year Municipal Bond Index.
3 Derived from data provided by Lipper Inc.
5
years of opening a Tax-Managed Fund account. This policy benefits our investors in two ways:
• Any redemption fees are retained by the fund in order to offset transaction costs caused by redemptions.
• The penalty helps to screen out short-term investors, who increase transactions within the fund and make it more difficult to control the timing and tax consequences of sales from the portfolio.
Vanguard’s success as a mutual fund company turns on being a responsible caretaker of our clients’ money. That entails charging low fees for industry-leading products and encouraging responsible behavior: Invest for the long-term and remain diversified. This tax-managed group of funds is itself a diversified offering, and it can be used in combination with other Vanguard funds to design a portfolio that matches your own time horizon, risk tolerance, and investment goals.
Expense Ratios1 |
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Your fund compared with its peer group |
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| Expense |
Tax-Managed Fund | Ratio |
Balanced | 0.12% |
Average Mixed-Asset Target Moderate Fund | 1.15 |
Growth and Income |
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Investor Shares | 0.15% |
Admiral Shares | 0.10 |
Institutional Shares | 0.07 |
Average Large-Cap Core Fund | 1.41 |
Capital Appreciation |
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Investor Shares | 0.15% |
Admiral Shares | 0.10 |
Institutional Shares | 0.07 |
Average Multi-Cap Core Fund | 1.28 |
Small-Cap |
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Investor Shares | 0.14% |
Institutional Shares | 0.09 |
Average Small-Cap Core Fund | 1.53 |
International |
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Investor Shares | 0.20% |
Institutional Shares | 0.14 |
Average International Fund | 1.65 |
1 Fund expense ratios reflect the 12 months ended December 31, 2006. Peer-group expense ratios are derived from data provided by Lipper Inc. and capture information through year-end 2005.
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Thank you for investing your assets with Vanguard.
Sincerely,
John J. Brennan
Chairman and Chief Executive Officer
January 18, 2007
Your Fund’s Performance at a Glance |
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December 31, 2005–December 31, 2006 |
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| Distributions Per Share | |
| Starting | Ending | Income | Capital |
Tax-Managed Fund | Share Price | Share Price | Dividends | Gains |
Balanced | $18.88 | $20.02 | $0.550 | $0.000 |
Growth and Income |
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Investor Shares | $27.15 | $30.87 | $0.511 | $0.000 |
Admiral Shares | 55.80 | 63.44 | 1.077 | 0.000 |
Institutional Shares | 27.15 | 30.87 | 0.534 | 0.000 |
Capital Appreciation |
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Investor Shares | $29.80 | $33.62 | $0.472 | $0.000 |
Admiral Shares | 60.00 | 67.68 | 0.990 | 0.000 |
Institutional Shares | 29.81 | 33.63 | 0.500 | 0.000 |
Small-Cap |
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Investor Shares | $22.70 | $25.72 | $0.194 | $0.000 |
Institutional Shares | 22.74 | 25.77 | 0.207 | 0.000 |
International |
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Investor Shares | $11.48 | $14.16 | $0.336 | $0.000 |
Institutional Shares | 11.48 | 14.17 | 0.343 | 0.000 |
8
Tax-Managed Balanced Fund
Fund Profile
As of December 31, 2006
Total Fund Characteristics |
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Yield | 2.6% |
Turnover Rate | 4% |
Expense Ratio | 0.12% |
Short-Term Reserves | 0% |
Total Fund Volatility Measures1 |
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| Fund Versus | Fund Versus |
| Composite Index2 | Broad Index3 |
R-Squared | 0.99 | 0.85 |
Beta | 1.00 | 0.47 |
Equity Characteristics |
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| Comparative | Broad |
| Fund | Index4 | Index3 |
Number of Stocks | 599 | 987 | 4,964 |
Median Market Cap | $41.1B | $41.8B | $30.7B |
Price/Earnings Ratio | 17.3x | 17.5x | 18.0x |
Price/Book Ratio | 2.9x | 2.9x | 2.8x |
Dividend Yield | 1.5% | 1.8% | 1.7% |
Return on Equity | 18.9% | 18.8% | 17.8% |
Earnings Growth Rate | 20.2% | 18.6% | 18.5% |
Foreign Holdings | 0.0% | 0.0% | 1.1% |
Sector Diversification (% of equity portfolio) | |||
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| Comparative | Broad |
| Fund | Index4 | Index3 |
Consumer Discretionary | 12% | 11% | 12% |
Consumer Staples | 8 | 9 | 9 |
Energy | 9 | 9 | 9 |
Financials | 21 | 22 | 23 |
Health Care | 13 | 12 | 12 |
Industrials | 11 | 11 | 11 |
Information Technology | 17 | 15 | 15 |
Materials | 3 | 3 | 3 |
Telecommunication Services | 3 | 4 | 3 |
Utilities | 3 | 4 | 3 |
Equity Investment Focus
Ten Largest Stocks5 (% of equity portfolio) |
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ExxonMobil Corp. | integrated oil and gas | 3.4% |
General Electric Co. | industrial conglomerates | 2.6 |
Citigroup, Inc. | diversified financial services | 2.0 |
Microsoft Corp. | systems software | 1.9 |
Bank of America Corp. | diversified financial services | 1.6 |
The Procter & Gamble Co. | household products | 1.6 |
Johnson & Johnson | pharmaceuticals | 1.4 |
Cisco Systems, Inc. | communications equipment | 1.2 |
Pfizer Inc. | pharmaceuticals | 1.2 |
American International Group, Inc. | multi-line insurance | 1.1 |
Top Ten |
| 18.0% |
Top Ten as % of Total Net Assets | 8.9% |
Fund Asset Allocation
1 For an explanation of R-squared, beta, and other terms used here, see the Glossary on pages 62–63.
2 50% Russell 1000 Index, 50% Lehman 7 Year Municipal Bond Index.
3 Dow Jones Wilshire 5000 Index.
4 Russell 1000 Index.
5 “Ten Largest Stocks” excludes any temporary cash investments and equity index products.
8
Tax-Managed Balanced Fund
Fixed Income Characteristics |
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| Comparative | Broad |
| Fund | Index1 | Index2 |
Number of Bonds | 146 | 4,117 | 39,486 |
Yield to Maturity | 3.8%3 | 3.7% | 3.9% |
Average Coupon | 5.1% | 5.1% | 5.0% |
Average Effective Maturity | 6.5 years | 6.9 years | 13.3 years |
Average Quality | AA+ | AAA | AA+ |
Average Duration | 5.2 years | 5.2 years | 6.1 years |
Distribution by Credit Quality (% of fixed income portfolio) |
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AAA | 76% |
AA | 22 |
A | 1 |
BBB | 1 |
Distribution by Maturity (% of fixed income portfolio) |
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Under 1 Year | 7% |
1–5 Years | 34 |
5–10 Years | 44 |
10–20 Years | 15 |
Fixed Income Investment Focus
Largest State Concentrations4 (% of fixed income portfolio) |
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Ohio | 9% |
Massachusetts | 8 |
New York | 8 |
Texas | 8 |
New Jersey | 8 |
California | 5 |
South Carolina | 4 |
Tennessee | 4 |
Colorado | 4 |
Michigan | 4 |
Top Ten | 62% |
1 Lehman 7 Year Municipal Bond Index. |
2 Lehman Municipal Bond Index. |
3 Before expenses. |
4 “Largest State Concentrations” figures exclude any fixed income futures contracts. |
9
Tax-Managed Balanced 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 www.vanguard.com.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: December 31, 1996–December 31, 2006
Initial Investment of $10,000
| Average Annual Total Returns | Final Value | ||
| Periods Ended December 31, 2006 | of a $10,000 | ||
| One Year | Five Years | Ten Years | Investment |
Tax-Managed Balanced Fund | 9.09% | 5.91% | 7.25% | $20,130 |
Fee-Adjusted Returns1 | 8.02 | 5.91 | 7.25 | 20,130 |
Russell 1000 Index | 15.46 | 6.82 | 8.64 | 22,914 |
Lehman 7 Year Municipal Bond Index | 3.98 | 4.89 | 5.22 | 16,634 |
Tax-Managed Balanced Composite Index2 | 9.63 | 6.12 | 7.28 | 20,194 |
Average Mixed-Asset Target Moderate Fund3 | 11.06 | 6.19 | 6.59 | 18,924 |
Fiscal-Year Total Returns (%): December 31, 1996–December 31, 2006
1 Reflective of the 1% fee assessed on redemptions of shares held in the fund for less than five years.
2 50% Russell 1000 Index, 50% Lehman 7 Year Municipal Bond Index.
3 Derived from data provided by Lipper Inc.
Note: See Financial Highlights table on page 13 for dividend and capital gains information.
10
Tax-Managed Balanced Fund
Financial Statements
The Statement of Net Assets—an integral part of the Financial Statements for Vanguard Tax-Managed Balanced Fund—is included as an insert to this report.
Statement of Operations
| Year Ended |
| December 31, 2006 |
| ($000) |
Investment Income |
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Income |
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Dividends | 4,927 |
Interest | 13,757 |
Total Income | 18,684 |
Expenses |
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The Vanguard Group—Note B |
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Investment Advisory Services | 66 |
Management and Administrative | 530 |
Marketing and Distribution | 105 |
Custodian Fees | 7 |
Auditing Fees | 21 |
Shareholders’ Reports | 11 |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 741 |
Expenses Paid Indirectly—Note C | (11) |
Net Expenses | 730 |
Net Investment Income | 17,954 |
Realized Net Gain (Loss) on Investment Securities Sold | 5,417 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 31,865 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 55,236 |
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Tax-Managed Balanced Fund
Statement of Changes in Net Assets
| Year Ended December 31, | |
| 2006 | 2005 |
| ($000) | ($000) |
Increase (Decrease) in Net Assets |
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Operations |
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Net Investment Income | 17,954 | 15,359 |
Realized Net Gain (Loss) | 5,417 | 2,491 |
Change in Unrealized Appreciation (Depreciation) | 31,865 | 9,712 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 55,236 | 27,562 |
Distributions |
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Net Investment Income | (17,991) | (15,286) |
Realized Capital Gain | — | — |
Total Distributions | (17,991) | (15,286) |
Capital Share Transactions—Note F |
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Issued | 54,013 | 70,173 |
Issued in Lieu of Cash Distributions | 15,248 | 12,950 |
Redeemed1 | (50,805) | (50,278) |
Net Increase (Decrease) from Capital Share Transactions | 18,456 | 32,845 |
Total Increase (Decrease) | 55,701 | 45,121 |
Net Assets |
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Beginning of Period | 606,459 | 561,338 |
End of Period2 | 662,160 | 606,459 |
1 Net of redemption fees of $164,000 and $210,000.
2 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($837,000) and ($800,000).
12
Tax-Managed Balanced Fund
Financial Highlights
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| Year Ended December 31, | ||
For a Share Outstanding Throughout Each Period | 2006 | 2005 | 2004 | 2003 | 2002 |
Net Asset Value, Beginning of Period | $18.88 | $18.49 | $17.72 | $15.54 | $17.18 |
Investment Operations |
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Net Investment Income | .54 | .496 | .481 | .42 | .44 |
Net Realized and Unrealized |
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Gain (Loss) on Investments2 | 1.15 | .380 | .77 | 2.20 | (1.65) |
Total from Investment Operations | 1.69 | .876 | 1.25 | 2.62 | (1.21) |
Distributions |
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Dividends from Net Investment Income3 | (.55) | (.486) | (.48) | (.44) | (.43) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.55) | (.486) | (.48) | (.44) | (.43) |
Net Asset Value, End of Period | $20.02 | $18.88 | $18.49 | $17.72 | $15.54 |
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Total Return4 | 9.09% | 4.80% | 7.16% | 17.05% | –7.07% |
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Ratios/Supplemental Data |
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Net Assets, End of Period (Millions) | $662 | $606 | $561 | $498 | $416 |
Ratio of Total Expenses to |
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Average Net Assets | 0.12% | 0.12% | 0.12% | 0.17% | 0.18% |
Ratio of Net Investment Income to |
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Average Net Assets | 2.84% | 2.64% | 2.70%1 | 2.58% | 2.69% |
Portfolio Turnover Rate | 4% | 10% | 15% | 16% | 24% |
1 Net investment income per share and ratio of net investment income to average net assets include $.02 and 0.13%, respectively, resulting from a special dividend from Microsoft Corp. in November 2004.
2 Includes increases from redemption fees of $.00, $.01, $.01, $.01, and $.01.
3 For tax purposes, nontaxable dividends represent 74%, 76%, 73%, 77%, and 82% of dividends from net investment income.
4 Total returns do not reflect the 1% redemption fee on shares held less than five years or the 2% redemption fee assessed prior to September 14, 2005, on shares held less than one year.
See accompanying Notes, which are an integral part of the Financial Statements.
13
Tax-Managed Balanced Fund
Notes to Financial Statements
Vanguard Tax-Managed Balanced Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund invests in debt instruments of many municipal issuers; the issuers’ abilities to meet their obligations may be affected by economic and political developments in a specific state or region.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4:00 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. Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Accordingly, no provision for federal income taxes is required in the financial statements.
3. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
4. Other: Dividend income is recorded on the ex-dividend date. Interest income is accrued daily. Premiums and discounts on municipal bonds 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. Fees assessed on redemptions of capital shares are credited to paid-in capital.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2006, the fund had contributed capital of $65,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.06% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. The fund’s investment advisor may direct new issue purchases, subject to obtaining the best price and execution, to underwriters who have agreed to rebate or credit to the fund part of the underwriting fees generated. Such rebates or credits are used solely to reduce the fund’s management and administrative expenses. The fund’s custodian bank has also agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended December 31, 2006, these arrangements reduced the fund’s management and administrative expenses by $6,000 and custodian fees by $5,000.
14
Tax-Managed Balanced 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.
For tax purposes, at December 31, 2006, the fund had $131,000 of ordinary income available for distribution. The fund had available realized losses of $27,773,000 to offset future net capital gains of $2,594,000 through December 31, 2009, $15,836,000 through December 31, 2010, and $9,343,000 through December 31, 2011.
At December 31, 2006, the cost of investment securities for tax purposes was $503,750,000. Net unrealized appreciation of investment securities for tax purposes was $153,920,000, consisting of unrealized gains of $155,612,000 on securities that had risen in value since their purchase and $1,692,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the year ended December 31, 2006, the fund purchased $77,420,000 of investment securities and sold $26,700,000 of investment securities, other than temporary cash investments.
F. Capital shares issued and redeemed were:
| Year Ended December 31, | |
| 2006 | 2005 |
| Shares | Shares |
| (000) | (000) |
Issued | 2,805 | 3,788 |
Issued in Lieu of Cash Distributions | 788 | 697 |
Redeemed | (2,640) | (2,721) |
Net Increase (Decrease) in Shares Outstanding | 953 | 1,764 |
G. In June 2006, the Financial Accounting Standards Board issued Interpretation No. 48 (“FIN 48”), “Accounting for Uncertainty in Income Taxes.” FIN 48 establishes the minimum threshold for recognizing, and a system for measuring, the benefits of tax-return positions in financial statements. FIN 48 will be effective for the fund’s fiscal year ending December 31, 2007. Management is in the process of analyzing the fund’s tax positions for purposes of implementing FIN 48; based on the analysis completed to date, management does not believe the adoption of FIN 48 will result in any material impact to the fund’s financial statements.
15
Tax-Managed Growth and Income Fund
Fund Profile
As of December 31, 2006
Portfolio Characteristics |
|
| |
|
| Comparative | Broad |
| Fund | Index1 | Index2 |
Number of Stocks | 506 | 500 | 4,964 |
Median Market Cap | $58.8B | $58.8B | $30.7B |
Price/Earnings Ratio | 17.1x | 17.1x | 18.0x |
Price/Book Ratio | 2.9x | 2.9x | 2.8x |
Yield |
| 1.8% | 1.7% |
Investor Shares | 1.6% |
|
|
Admiral Shares | 1.7% |
|
|
Institutional Shares | 1.7% |
|
|
Return on Equity | 19.1% | 19.1% | 17.8% |
Earnings Growth Rate | 18.8% | 18.8% | 18.5% |
Foreign Holdings | 0.0% | 0.0% | 1.1% |
Turnover Rate | 6% | — | — |
Expense Ratio |
| — | — |
Investor Shares | 0.15% |
|
|
Admiral Shares | 0.10% |
|
|
Institutional Shares | 0.07% |
|
|
Short-Term Reserves | 0% | — | — |
Volatility Measures3 |
| |
| Fund Versus | Fund Versus |
| Comparative Index1 | Broad Index2 |
R-Squared | 1.00 | 0.97 |
Beta | 1.00 | 0.88 |
Investment Focus
Sector Diversification (% of portfolio) |
| ||
|
| Comparative | Broad |
| Fund | Index1 | Index2 |
Consumer Discretionary | 11% | 11% | 12% |
Consumer Staples | 9 | 9 | 9 |
Energy | 10 | 10 | 9 |
Financials | 22 | 22 | 23 |
Health Care | 12 | 12 | 12 |
Industrials | 11 | 11 | 11 |
Information Technology | 15 | 15 | 15 |
Materials | 3 | 3 | 3 |
Telecommunication Services | 3 | 3 | 3 |
Utilities | 4 | 4 | 3 |
Ten Largest Holdings4 (% of total net assets) | ||
|
|
|
ExxonMobil Corp. | integrated oil and gas | 3.5% |
General Electric Co. | industrial conglomerates | 3.0 |
Citigroup, Inc. | diversified financial services | 2.1 |
Microsoft Corp. | systems software | 2.0 |
Bank of America Corp. | diversified financial services | 1.9 |
The Procter & Gamble Co. | household products | 1.6 |
Johnson & Johnson | pharmaceuticals | 1.5 |
Pfizer Inc. | pharmaceuticals | 1.5 |
American International Group, Inc. | multi-line insurance | 1.5 |
Altria Group, Inc. | tobacco | 1.4 |
Top Ten |
| 20.0% |
1 S&P 500 Index.
2 Dow Jones Wilshire 5000 Index.
3 For an explanation of R-squared, beta, and other terms used here, see the Glossary on pages 62–63.
4 “Ten Largest Holdings” excludes any temporary cash investments and equity index products.
16
Tax-Managed Growth and Income 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 www.vanguard.com.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: December 31, 1996–December 31, 2006
Initial Investment of $10,000
| Average Annual Total Returns | Final Value | ||
| Periods Ended December 31, 2006 | of a $10,000 | ||
| One Year | Five Years | Ten Years | Investment |
Tax-Managed Growth and Income Fund |
|
|
|
|
Investor Shares | 15.73% | 6.18% | 8.43% | $22,461 |
Fee-Adjusted Returns1 | 14.59 | 6.18 | 8.43 | 22,461 |
Dow Jones Wilshire 5000 Index | 15.87 | 7.65 | 8.67 | 22,961 |
S&P 500 Index | 15.79 | 6.19 | 8.42 | 22,447 |
Average Large-Cap Core Fund2 | 13.53 | 4.27 | 6.66 | 19,050 |
|
|
|
| Final Value of |
|
| Five | Since | a $100,000 |
| One Year | Years | Inception3 | Investment |
Tax-Managed Growth and Income Fund |
|
|
|
|
Admiral Shares | 15.77% | 6.23% | 6.65% | $139,149 |
Fee-Adjusted Returns1 | 14.63 | 6.23 | 6.65 | 139,149 |
Dow Jones Wilshire 5000 Index | 15.87 | 7.65 | 8.32 | 150,735 |
S&P 500 Index | 15.79 | 6.19 | 6.61 | 138,906 |
1 Reflective of the 1% fee assessed on redemptions of shares held in the fund for less than five years.
2 Derived from data provided by Lipper Inc.
3 November 12, 2001.
17
Tax-Managed Growth and Income Fund
| Average Annual Total Returns |
| ||
| Periods Ended December 31, 2006 | Final Value of | ||
| One | Five | Since | a $5,000,000 |
| Year | Years | Inception1 | Investment |
Tax-Managed Growth and Income Fund |
|
|
|
|
Institutional Shares | 15.82% | 6.26% | 3.37% | $6,482,520 |
Fee-Adjusted Returns2 | 14.68 | 6.26 | 3.37 | 6,482,520 |
Dow Jones Wilshire 5000 Index | 15.87 | 7.65 | 4.46 | 7,036,200 |
S&P 500 Index | 15.79 | 6.19 | 3.28 | 6,438,269 |
Fiscal-Year Total Returns (%): December 31, 1996–December 31, 2006
1 March 4, 1999.
2 Reflective of the 1% fee assessed on redemptions of shares held for less than five years.
Note: See Financial Highlights tables on pages 21–23 for dividend and capital gains information.
18
Tax-Managed Growth and Income Fund
Financial Statements
The Statement of Net Assets—an integral part of the Financial Statements for Vanguard Tax-Managed Growth and Income Fund—is included as an insert to this report.
Statement of Operations
| Year Ended |
| December 31, 2006 |
| ($000) |
Investment Income |
|
Income |
|
Dividends | 54,326 |
Interest1 | 80 |
Total Income | 54,406 |
Expenses |
|
The Vanguard Group—Note B |
|
Investment Advisory Services | 66 |
Management and Administrative |
|
Investor Shares | 928 |
Admiral Shares | 1,322 |
Institutional Shares | 148 |
Marketing and Distribution |
|
Investor Shares | 149 |
Admiral Shares | 250 |
Institutional Shares | 59 |
Custodian Fees | 52 |
Auditing Fees | 22 |
Shareholders’ Reports |
|
Investor Shares | 24 |
Admiral Shares | 5 |
Institutional Shares | — |
Trustees’ Fees and Expenses | 3 |
Total Expenses | 3,028 |
Net Investment Income | 51,378 |
Realized Net Gain (Loss) on Investment Securities Sold | 2,041 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 368,009 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 421,428 |
1 Interest income from an affiliated company of the fund was $68,000.
19
Tax-Managed Growth and Income Fund
Statement of Changes in Net Assets
| Year Ended December 31, | |
| 2006 | 2005 |
| ($000) | ($000) |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net Investment Income | 51,378 | 47,158 |
Realized Net Gain (Loss) | 2,041 | (34,119) |
Change in Unrealized Appreciation (Depreciation) | 368,009 | 112,439 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 421,428 | 125,478 |
Distributions |
|
|
Net Investment Income |
|
|
Investor Shares | (13,535) | (18,610) |
Admiral Shares | (31,978) | (24,005) |
Institutional Shares | (6,367) | (5,290) |
Realized Capital Gain |
|
|
Investor Shares | — | — |
Admiral Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (51,880) | (47,905) |
Capital Share Transactions—Note E |
|
|
Investor Shares | (122,838) | (617,688) |
Admiral Shares | 134,096 | 580,021 |
Institutional Shares | 42,048 | 28,881 |
Net Increase (Decrease) from Capital Share Transactions | 53,306 | (8,786) |
Total Increase (Decrease) | 422,854 | 68,787 |
Net Assets |
|
|
Beginning of Period | 2,683,971 | 2,615,184 |
End of Period1 | 3,106,825 | 2,683,971 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($3,721,000) and ($3,219,000).
20
Tax-Managed Growth and Income Fund
Financial Highlights
Investor Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Year Ended December 31, | ||
For a Share Outstanding Throughout Each Period | 2006 | 2005 | 2004 | 2003 | 2002 |
Net Asset Value, Beginning of Period | $27.15 | $26.36 | $24.23 | $19.15 | $24.93 |
Investment Operations |
|
|
|
|
|
Net Investment Income | .504 | .467 | .471 | .34 | .313 |
Net Realized and Unrealized |
|
|
|
|
|
Gain (Loss) on Investments2 | 3.727 | .801 | 2.13 | 5.08 | (5.768) |
Total from Investment Operations | 4.231 | 1.268 | 2.60 | 5.42 | (5.455) |
Distributions |
|
|
|
|
|
Dividends from Net Investment Income | (.511) | (.478) | (.47) | (.34) | (.325) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.511) | (.478) | (.47) | (.34) | (.325) |
Net Asset Value, End of Period | $30.87 | $27.15 | $26.36 | $24.23 | $19.15 |
|
|
|
|
|
|
Total Return3 | 15.73% | 4.87% | 10.83% | 28.53% | –21.95% |
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
Net Assets, End of Period (Millions) | $784 | $806 | $1,395 | $1,321 | $1,077 |
Ratio of Total Expenses to |
|
|
|
|
|
Average Net Assets | 0.15% | 0.14% | 0.14% | 0.17% | 0.17% |
Ratio of Net Investment Income to |
|
|
|
|
|
Average Net Assets | 1.77% | 1.78% | 1.89%1 | 1.63% | 1.44% |
Portfolio Turnover Rate | 6% | 10% | 8% | 5% | 9% |
1 Net investment income per share and the ratio of net investment income to average net assets include $.08 and 0.31%, respectively, resulting from a special dividend from Microsoft Corp. in November 2004.
2 Includes increases from redemption fees of $.00, $.01, $.01, $.01, and $.03.
3 Total returns do not reflect the 1% redemption fee on shares held less than five years or the 2% redemption fee assessed prior to September 14, 2005, on shares held less than one year.
21
Tax-Managed Growth and Income Fund
Admiral Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Year Ended December 31, | ||
For a Share Outstanding Throughout Each Period | 2006 | 2005 | 2004 | 2003 | 2002 |
Net Asset Value, Beginning of Period | $55.80 | $54.17 | $49.80 | $39.35 | $51.24 |
Investment Operations |
|
|
|
|
|
Net Investment Income | 1.069 | .989 | .991 | .733 | .673 |
Net Realized and Unrealized |
|
|
|
|
|
Gain (Loss) on Investments2 | 7.648 | 1.645 | 4.37 | 10.443 | (11.870) |
Total from Investment Operations | 8.717 | 2.634 | 5.36 | 11.176 | (11.197) |
Distributions |
|
|
|
|
|
Dividends from Net Investment Income | (1.077) | (1.004) | (.99) | (.726) | (.693) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (1.077) | (1.004) | (.99) | (.726) | (.693) |
Net Asset Value, End of Period | $63.44 | $55.80 | $54.17 | $49.80 | $39.35 |
|
|
|
|
|
|
Total Return3 | 15.77% | 4.93% | 10.87% | 28.64% | –21.92% |
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
Net Assets, End of Period (Millions) | $1,935 | $1,575 | $954 | $777 | $520 |
Ratio of Total Expenses to |
|
|
|
|
|
Average Net Assets | 0.10% | 0.10% | 0.10% | 0.11% | 0.11% |
Ratio of Net Investment Income to |
|
|
|
|
|
Average Net Assets | 1.82% | 1.82% | 1.96%1 | 1.69% | 1.52% |
Portfolio Turnover Rate | 6% | 10% | 8% | 5% | 9% |
1 Net investment income per share and the ratio of net investment income to average net assets include $.16 and 0.31%, respectively, resulting from a special dividend from Microsoft Corp. in November 2004.
2 Includes increases from redemption fees of $.01, $.01, $.02, $.02, and $.05.
3 Total returns do not reflect the 1% redemption fee on shares held less than five years or the 2% redemption fee assessed prior to September 14, 2005, on shares held less than one year.
22
Tax-Managed Growth and Income Fund
Institutional Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Year Ended December 31, | ||
For a Share Outstanding Throughout Each Period | 2006 | 2005 | 2004 | 2003 | 2002 |
Net Asset Value, Beginning of Period | $27.15 | $26.36 | $24.24 | $19.15 | $24.93 |
Investment Operations |
|
|
|
|
|
Net Investment Income | .527 | .485 | .4791 | .369 | .331 |
Net Realized and Unrealized |
|
|
|
|
|
Gain (Loss) on Investments2 | 3.727 | .801 | 2.130 | 5.080 | (5.768) |
Total from Investment Operations | 4.254 | 1.286 | 2.609 | 5.449 | (5.437) |
Distributions |
|
|
|
|
|
Dividends from Net Investment Income | (.534) | (.496) | (.489) | (.359) | (.343) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.534) | (.496) | (.489) | (.359) | (.343) |
Net Asset Value, End of Period | $30.87 | $27.15 | $26.36 | $24.24 | $19.15 |
|
|
|
|
|
|
Total Return3 | 15.82% | 4.94% | 10.87% | 28.69% | –21.88% |
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
Net Assets, End of Period (Millions) | $389 | $303 | $266 | $217 | $167 |
Ratio of Total Expenses to |
|
|
|
|
|
Average Net Assets | 0.07% | 0.07% | 0.07% | 0.08% | 0.08% |
Ratio of Net Investment Income to |
|
|
|
|
|
Average Net Assets | 1.85% | 1.85% | 1.97%1 | 1.72% | 1.54% |
Portfolio Turnover Rate | 6% | 10% | 8% | 5% | 9% |
1 Net investment income per share and the ratio of net investment income to average net assets include $.077 and 0.31%, respectively, resulting from a special dividend from Microsoft Corp. in November 2004.
2 Includes increases from redemption fees of $.00, $.01, $.01, $.01, and $.03.
3 Total returns do not reflect the 1% redemption fee on shares held less than five years or the 2% redemption fee assessed prior to September 14, 2005, on shares held less than one year.
See accompanying Notes, which are an integral part of the Financial Statements.
23
Tax-Managed Growth and Income Fund
Notes to Financial Statements
Vanguard Tax-Managed Growth and Income Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers three classes of shares: Investor Shares, Admiral Shares, and Institutional 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, servicing, tenure, and account-size criteria. Institutional Shares are designed for investors who meet certain administrative and servicing criteria and invest a minimum of $5 million.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4:00 p.m. Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value.
2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Accordingly, no provision for federal income taxes is required in the financial statements.
3. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
4. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold. Fees assessed on redemptions of capital shares are credited to paid-in capital.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2006, the fund had contributed capital of $300,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.30% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. 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.
24
Tax-Managed Growth and Income Fund
For tax purposes, at December 31, 2006, the fund had $357,000 of ordinary income available for distribution. The fund had available realized losses of $442,807,000 to offset future net capital gains of $34,004,000 through December 31, 2008, $81,507,000 through December 31, 2009, $201,652,000 through December 31, 2010, $92,868,000 through December 31, 2011, $31,345,000 through December 31, 2013, and $1,431,000 through December 31, 2014.
At December 31, 2006, the cost of investment securities for tax purposes was $1,947,701,000. Net unrealized appreciation of investment securities for tax purposes was $1,163,287,000, consisting of unrealized gains of $1,197,220,000 on securities that had risen in value since their purchase and $33,933,000 in unrealized losses on securities that had fallen in value since their purchase.
D. During the year ended December 31, 2006, the fund purchased $217,468,000 of investment securities and sold $169,465,000 of investment securities, other than temporary cash investments.
E. Capital share transactions for each class of shares were:
| Year Ended December 31, | |||
|
| 2006 |
| 2005 |
| Amount | Shares | Amount | Shares |
| ($000) | (000) | ($000) | (000) |
Investor Shares |
|
|
|
|
Issued | 70,085 | 2,458 | 89,341 | 3,418 |
Issued in Lieu of Cash Distributions | 11,722 | 407 | 16,179 | 616 |
Redeemed1 | (204,645) | (7,168) | (723,208) | (27,273) |
Net Increase (Decrease)—Investor Shares | (122,838) | (4,303) | (617,688) | (23,239) |
Admiral Shares |
|
|
|
|
Issued | 206,113 | 3,509 | 653,973 | 11,983 |
Issued in Lieu of Cash Distributions | 25,316 | 426 | 18,694 | 343 |
Redeemed1 | (97,333) | (1,661) | (92,646) | (1,718) |
Net Increase (Decrease)—Admiral Shares | 134,096 | 2,274 | 580,021 | 10,608 |
Institutional Shares |
|
|
|
|
Issued | 55,863 | 1,933 | 33,835 | 1,274 |
Issued in Lieu of Cash Distributions | 4,524 | 157 | 3,620 | 137 |
Redeemed1 | (18,339) | (662) | (8,574) | (325) |
Net Increase (Decrease)—Institutional Shares | 42,048 | 1,428 | 28,881 | 1,086 |
F. In June 2006, the Financial Accounting Standards Board issued Interpretation No. 48 (“FIN 48”), “Accounting for Uncertainty in Income Taxes.” FIN 48 establishes the minimum threshold for recognizing, and a system for measuring, the benefits of tax-return positions in financial statements. FIN 48 will be effective for the fund’s fiscal year ending December 31, 2007. Management is in the process of analyzing the fund’s tax positions for purposes of implementing FIN 48; based on the analysis completed to date, management does not believe the adoption of FIN 48 will result in any material impact to the fund’s financial statements.
1 Net of redemption fees for 2006 and 2005 of $423,000 and $650,000, respectively (fund totals).
25
Tax-Managed Capital Appreciation Fund
Fund Profile
As of December 31, 2006
Portfolio Characteristics |
|
| |
|
| Comparative | Broad |
| Fund | Index1 | Index2 |
Number of Stocks | 636 | 987 | 4,964 |
Median Market Cap | $35.0B | $41.8B | $30.7B |
Price/Earnings Ratio | 17.4x | 17.5x | 18.0x |
Price/Book Ratio | 2.9x | 2.9x | 2.8x |
Yield |
| 1.8% | 1.7% |
Investor Shares | 1.3% |
|
|
Admiral Shares | 1.4% |
|
|
Institutional Shares | 1.4% |
|
|
Return on Equity | 19.0% | 18.8% | 17.8% |
Earnings Growth Rate | 19.7% | 18.6% | 18.5% |
Foreign Holdings | 0.0% | 0.0% | 1.1% |
Turnover Rate | 5% | — | — |
Expense Ratio |
| — | — |
Investor Shares | 0.15% |
|
|
Admiral Shares | 0.10% |
|
|
Institutional Shares | 0.07% |
|
|
Short-Term Reserves | 0% | — | — |
Volatility Measures3 |
| |
| Fund Versus | Fund Versus |
| Comparative Index1 | Broad Index2 |
R-Squared | 0.99 | 0.99 |
Beta | 1.07 | 0.98 |
Investment Focus
Sector Diversification (% of portfolio) |
| ||
|
| Comparative | Broad |
| Fund | Index1 | Index2 |
Consumer Discretionary | 12% | 11% | 12% |
Consumer Staples | 9 | 9 | 9 |
Energy | 9 | 9 | 9 |
Financials | 22 | 22 | 23 |
Health Care | 13 | 12 | 12 |
Industrials | 11 | 11 | 11 |
Information Technology | 15 | 15 | 15 |
Materials | 3 | 3 | 3 |
Telecommunication Services | 3 | 4 | 3 |
Utilities | 3 | 4 | 3 |
Ten Largest Holdings4 (% of total net assets) | ||
|
|
|
ExxonMobil Corp. | integrated oil and gas | 3.3% |
General Electric Co. | industrial conglomerates | 2.6 |
Citigroup, Inc. | diversified financial services | 1.9 |
Microsoft Corp. | systems software | 1.7 |
Bank of America Corp. | diversified financial services | 1.6 |
The Procter & Gamble Co. | household products | 1.5 |
Johnson & Johnson | pharmaceuticals | 1.4 |
Cisco Systems, Inc. | communications equipment | 1.2 |
Pfizer Inc. | pharmaceuticals | 1.2 |
American International Group, Inc. | multi-line insurance | 1.2 |
Top Ten |
| 17.6% |
1 Russell 1000 Index.
2 Dow Jones Wilshire 5000 Index.
3 For an explanation of R-squared, beta, and other terms used here, see the Glossary on pages 62–63.
4 “Ten Largest Holdings” excludes any temporary cash investments and equity index products.
26
Tax-Managed Capital Appreciation 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 www.vanguard.com.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: December 31, 1996–December 31, 2006
Initial Investment of $10,000
| Average Annual Total Returns | Final Value | ||
| Periods Ended December 31, 2006 | of a $10,000 | ||
| One Year | Five Years | Ten Years | Investment |
Tax-Managed Capital Appreciation Fund |
|
|
|
|
Investor Shares | 14.40% | 6.74% | 8.65% | $22,920 |
Fee-Adjusted Returns1 | 13.27 | 6.74 | 8.65 | 22,920 |
Dow Jones Wilshire 5000 Index | 15.87 | 7.65 | 8.67 | 22,961 |
Russell 1000 Index | 15.46 | 6.82 | 8.64 | 22,914 |
Average Multi-Cap Core Fund2 | 13.31 | 6.39 | 7.94 | 21,468 |
|
|
|
| Final Value of |
| One | Five | Since | a $100,000 |
| Year | Years | Inception3 | Investment |
Tax-Managed Capital Appreciation Fund |
|
|
|
|
Admiral Shares | 14.44% | 6.80% | 7.48% | $144,856 |
Fee-Adjusted Returns1 | 13.32 | 6.80 | 7.48 | 144,856 |
Dow Jones Wilshire 5000 Index | 15.87 | 7.65 | 8.32 | 150,735 |
Russell 1000 Index | 15.46 | 6.82 | 7.31 | 143,684 |
1 Reflective of the 1% fee assessed on redemptions of shares held for less than five years.
2 Derived from data provided by Lipper Inc.
3 November 12, 2001.
27
Tax-Managed Capital Appreciation Fund
| Average Annual Total Returns |
| ||
| Periods Ended December 31, 2006 | Final Value of | ||
| One | Five | Since | a $5,000,000 |
| Year | Years | Inception1 | Investment |
Tax-Managed Capital Appreciation Fund |
|
|
|
|
Institutional Shares | 14.49% | 6.83% | 4.22% | $6,914,785 |
Fee-Adjusted Returns2 | 13.36 | 6.83 | 4.22 | 6,914,785 |
Dow Jones Wilshire 5000 Index | 15.87 | 7.65 | 4.39 | 7,003,195 |
Russell 1000 Index | 15.46 | 6.82 | 3.77 | 6,685,126 |
Fiscal-Year Total Returns (%): December 31, 1996–December 31, 2006
1 February 24, 1999.
2 Reflective of the 1% fee assessed on redemptions of shares held for less than five years.
Note: See Financial Highlights tables on pages 31–33 for dividend and capital gains information.
28
Tax-Managed Capital Appreciation Fund
Financial Statements
The Statement of Net Assets—an integral part of the Financial Statements for Vanguard Tax-Managed Capital Appreciation Fund—is included as an insert to this report.
Statement of Operations
| Year Ended |
| December 31, 2006 |
| ($000) |
Investment Income |
|
Income |
|
Dividends | 60,695 |
Interest1 | 118 |
Total Income | 60,813 |
Expenses |
|
The Vanguard Group—Note B |
|
Investment Advisory Services | 74 |
Management and Administrative |
|
Investor Shares | 1,006 |
Admiral Shares | 2,061 |
Institutional Shares | 100 |
Marketing and Distribution |
|
Investor Shares | 160 |
Admiral Shares | 377 |
Institutional Shares | 29 |
Custodian Fees | 18 |
Auditing Fees | 22 |
Shareholders’ Reports |
|
Investor Shares | 22 |
Admiral Shares | 8 |
Institutional Shares | — |
Trustees’ Fees and Expenses | 3 |
Total Expenses | 3,880 |
Net Investment Income | 56,933 |
Realized Net Gain (Loss) on Investment Securities Sold | 59,140 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 385,292 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 501,365 |
1 Interest income from an affiliated company of the fund was $118,000.
29
Tax-Managed Capital Appreciation Fund
Statement of Changes in Net Assets
| Year Ended December 31, | |
| 2006 | 2005 |
| ($000) | ($000) |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net Investment Income | 56,933 | 40,837 |
Realized Net Gain (Loss) | 59,140 | 5,891 |
Change in Unrealized Appreciation (Depreciation) | 385,292 | 191,693 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 501,365 | 238,421 |
Distributions |
|
|
Net Investment Income |
|
|
Investor Shares | (11,552) | (10,082) |
Admiral Shares | (42,410) | (28,472) |
Institutional Shares | (3,220) | (2,552) |
Realized Capital Gain |
|
|
Investor Shares | — | — |
Admiral Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (57,182) | (41,106) |
Capital Share Transactions—Note E |
|
|
Investor Shares | (124,968) | (812,241) |
Admiral Shares | 262,868 | 849,487 |
Institutional Shares | (10,718) | 90,644 |
Net Increase (Decrease) from Capital Share Transactions | 127,182 | 127,890 |
Total Increase (Decrease) | 571,365 | 325,205 |
Net Assets |
|
|
Beginning of Period | 3,420,245 | 3,095,040 |
End of Period1 | 3,991,610 | 3,420,245 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($3,947,000) and ($3,698,000).
30
Tax-Managed Capital Appreciation Fund
Financial Highlights
Investor Shares
|
|
| Year Ended December 31, | ||
For a Share Outstanding Throughout Each Period | 2006 | 2005 | 2004 | 2003 | 2002 |
Net Asset Value, Beginning of Period | $29.80 | $28.05 | $25.43 | $19.49 | $25.73 |
Investment Operations |
|
|
|
|
|
Net Investment Income | .471 | .352 | .3651 | .238 | .196 |
Net Realized and Unrealized |
|
|
|
|
|
Gain (Loss) on Investments2 | 3.821 | 1.752 | 2.622 | 5.940 | (6.231) |
Total from Investment Operations | 4.292 | 2.104 | 2.987 | 6.178 | (6.035) |
Distributions |
|
|
|
|
|
Dividends from Net Investment Income | (.472) | (.354) | (.367) | (.238) | (.205) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.472) | (.354) | (.367) | (.238) | (.205) |
Net Asset Value, End of Period | $33.62 | $29.80 | $28.05 | $25.43 | $19.49 |
|
|
|
|
|
|
Total Return3 | 14.40% | 7.49% | 11.75% | 31.72% | –23.45% |
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
Net Assets, End of Period (Millions) | $832 | $857 | $1,596 | $1,466 | $1,154 |
Ratio of Total Expenses to |
|
|
|
|
|
Average Net Assets | 0.15% | 0.14% | 0.14% | 0.17% | 0.17% |
Ratio of Net Investment Income to |
|
|
|
|
|
Average Net Assets | 1.51% | 1.25% | 1.40%1 | 1.09% | 0.87% |
Portfolio Turnover Rate | 5% | 8% | 5% | 11% | 10% |
1 Net investment income per share and the ratio of net investment income to average net assets include $.061 and 0.24%, respectively, resulting from a special dividend from Microsoft Corp. in November 2004.
2 Includes increases from redemption fees of $.00, $.01, $.01, $.01, and $.02.
3 Total returns do not reflect the 1% redemption fee on shares held less than five years or the 2% redemption fee assessed prior to September 14, 2005, on shares held less than one year.
31
Tax-Managed Capital Appreciation Fund
Admiral Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Year Ended December 31, | ||
For a Share Outstanding Throughout Each Period | 2006 | 2005 | 2004 | 2003 | 2002 |
Net Asset Value, Beginning of Period | $60.00 | $56.46 | $51.20 | $39.24 | $51.79 |
Investment Operations |
|
|
|
|
|
Net Investment Income | .99 | .729 | .7621 | .51 | .42 |
Net Realized and Unrealized |
|
|
|
|
|
Gain (Loss) on Investments2 | 7.68 | 3.543 | 5.263 | 11.96 | (12.53) |
Total from Investment Operations | 8.67 | 4.272 | 6.025 | 12.47 | (12.11) |
Distributions |
|
|
|
|
|
Dividends from Net Investment Income | (.99) | (.732) | (.765) | (.51) | (.44) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.99) | (.732) | (.765) | (.51) | (.44) |
Net Asset Value, End of Period | $67.68 | $60.00 | $56.46 | $51.20 | $39.24 |
|
|
|
|
|
|
Total Return3 | 14.44% | 7.56% | 11.77% | 31.80% | –23.38% |
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
Net Assets, End of Period (Millions) | $2,941 | $2,360 | $1,397 | $1,103 | $741 |
Ratio of Total Expenses to |
|
|
|
|
|
Average Net Assets | 0.10% | 0.10% | 0.10% | 0.11% | 0.11% |
Ratio of Net Investment Income to |
|
|
|
|
|
Average Net Assets | 1.56% | 1.29% | 1.47%1 | 1.16% | 0.95% |
Portfolio Turnover Rate | 5% | 8% | 5% | 11% | 10% |
1 Net investment income per share and the ratio of net investment income to average net assets include $.122 and 0.24%, respectively, resulting from a special dividend from Microsoft Corp. in November 2004.
2 Includes increases from redemption fees of $.01, $.01, $.01, $.02, and $.03.
3 Total returns do not reflect the 1% redemption fee on shares held less than five years or the 2% redemption fee assessed prior to September 14, 2005, on shares held less than one year.
32
Tax-Managed Capital Appreciation Fund
Institutional Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Year Ended December 31, | ||
For a Share Outstanding Throughout Each Period | 2006 | 2005 | 2004 | 2003 | 2002 |
Net Asset Value, Beginning of Period | $29.81 | $28.05 | $25.44 | $19.49 | $25.73 |
Investment Operations |
|
|
|
|
|
Net Investment Income | .50 | .384 | .3751 | .267 | .216 |
Net Realized and Unrealized |
|
|
|
|
|
Gain (Loss) on Investments2 | 3.82 | 1.752 | 2.622 | 5.940 | (6.231) |
Total from Investment Operations | 4.32 | 2.136 | 2.997 | 6.207 | (6.015) |
Distributions |
|
|
|
|
|
Dividends from Net Investment Income | (.50) | (.376) | (.387) | (.257) | (.225) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.50) | (.376) | (.387) | (.257) | (.225) |
Net Asset Value, End of Period | $33.63 | $29.81 | $28.05 | $25.44 | $19.49 |
|
|
|
|
|
|
Total Return3 | 14.49% | 7.61% | 11.78% | 31.87% | –23.37% |
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
Net Assets, End of Period (Millions) | $218 | $204 | $102 | $104 | $106 |
Ratio of Total Expenses to |
|
|
|
|
|
Average Net Assets | 0.07% | 0.07% | 0.07% | 0.08% | 0.08% |
Ratio of Net Investment Income to |
|
|
|
|
|
Average Net Assets | 1.59% | 1.32% | 1.47%1 | 1.17% | 0.98% |
Portfolio Turnover Rate | 5% | 8% | 5% | 11% | 10% |
1 Net investment income per share and the ratio of net investment income to average net assets include $.061 and 0.24%, respectively, resulting from a special dividend from Microsoft Corp. in November 2004.
2 Includes increases from redemption fees of $.00, $.00, $.01, $.01, and $.02.
3 Total returns do not reflect the 1% redemption fee on shares held less than five years or the 2% redemption fee assessed prior to September 14, 2005, on shares held less than one year.
See accompanying Notes, which are an integral part of the Financial Statements.
33
Tax-Managed Capital Appreciation Fund
Notes to Financial Statements
Vanguard Tax-Managed Capital Appreciation Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers three classes of shares: Investor Shares, Admiral Shares, and Institutional 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, servicing, tenure, and account-size criteria. Institutional Shares are designed for investors who meet certain administrative and servicing criteria and invest a minimum of $5 million.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4:00 p.m. Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value.
2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Accordingly, no provision for federal income taxes is required in the financial statements.
3. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
4. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold. Fees assessed on redemptions of capital shares are credited to paid-in capital.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2006, the fund had contributed capital of $387,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.39% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. 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.
34
Tax-Managed Capital Appreciation Fund
For tax purposes, at December 31, 2006, the fund had $681,000 of ordinary income available for distribution. The fund had available realized losses of $509,348,000 to offset future net capital gains of $239,522,000 through December 31, 2009, $106,018,000 through December 31, 2010, and $163,808,000 through December 31, 2011.
At December 31, 2006, the cost of investment securities for tax purposes was $2,263,742,000. Net unrealized appreciation of investment securities for tax purposes was $1,725,818,000, consisting of unrealized gains of $1,753,592,000 on securities that had risen in value since their purchase and $27,774,000 in unrealized losses on securities that had fallen in value since their purchase.
D. During the year ended December 31, 2006, the fund purchased $308,784,000 of investment securities and sold $183,759,000 of investment securities, other than temporary cash investments.
E. Capital share transactions for each class of shares were:
| Year Ended December 31, | |||
|
| 2006 |
| 2005 |
| Amount | Shares | Amount | Shares |
| ($000) | (000) | ($000) | (000) |
Investor Shares |
|
|
|
|
Issued | 85,007 | 2,726 | 132,702 | 4,704 |
Issued in Lieu of Cash Distributions | 10,331 | 306 | 8,922 | 297 |
Redeemed1 | (220,306) | (7,022) | (953,865) | (33,164) |
Net Increase (Decrease)—Investor Shares | (124,968) | (3,990) | (812,241) | (28,163) |
Admiral Shares |
|
|
|
|
Issued | 357,983 | 5,676 | 1,002,550 | 17,285 |
Issued in Lieu of Cash Distributions | 34,083 | 502 | 23,431 | 388 |
Redeemed1 | (129,198) | (2,054) | (176,494) | (3,084) |
Net Increase (Decrease)—Admiral Shares | 262,868 | 4,124 | 849,487 | 14,589 |
Institutional Shares |
|
|
|
|
Issued | 15,940 | 515 | 104,124 | 3,675 |
Issued in Lieu of Cash Distributions | 1,584 | 47 | 1,227 | 41 |
Redeemed1 | (28,242) | (910) | (14,707) | (521) |
Net Increase (Decrease)—Institutional Shares | (10,718) | (348) | 90,644 | 3,195 |
F. In June 2006, the Financial Accounting Standards Board issued Interpretation No. 48 (“FIN 48”), “Accounting for Uncertainty in Income Taxes.” FIN 48 establishes the minimum threshold for recognizing, and a system for measuring, the benefits of tax-return positions in financial statements. FIN 48 will be effective for the fund’s fiscal year ending December 31, 2007. Management is in the process of analyzing the fund’s tax positions for purposes of implementing FIN 48; based on the analysis completed to date, management does not believe the adoption of FIN 48 will result in any material impact to the fund’s financial statements.
1 Net of redemption fees for 2006 and 2005 of $468,000 and $610,000, respectively (fund totals).
35
Tax-Managed Small-Cap Fund
Fund Profile
As of December 31, 2006
Portfolio Characteristics |
|
| |
|
| Comparative | Broad |
| Fund | Index1 | Index2 |
Number of Stocks | 598 | 600 | 4,964 |
Median Market Cap | $1.3B | $1.3B | $30.7B |
Price/Earnings Ratio | 20.5x | 20.6x | 18.0x |
Price/Book Ratio | 2.4x | 2.3x | 2.8x |
Yield |
| 0.9% | 1.7% |
Investor Shares | 0.8% |
|
|
Institutional Shares | 0.8% |
|
|
Return on Equity | 13.9% | 13.9% | 17.8% |
Earnings Growth Rate | 17.5% | 17.0% | 18.5% |
Foreign Holdings | 0.0% | 0.0% | 1.1% |
Turnover Rate | 42% | — | — |
Expense Ratio |
| — | — |
Investor Shares | 0.14% |
|
|
Institutional Shares | 0.09% |
|
|
Short-Term Reserves | 0% | — | — |
Volatility Measures3 |
| |
| Fund Versus | Fund Versus |
| Comparative Index1 | Broad Index2 |
R-Squared | 1.00 | 0.81 |
Beta | 1.00 | 1.49 |
Investment Focus
Sector Diversification (% of portfolio) |
| ||
|
| Comparative | Broad |
| Fund | Index1 | Index2 |
Consumer Discretionary | 17% | 16% | 12% |
Consumer Staples | 4 | 4 | 9 |
Energy | 8 | 7 | 9 |
Financials | 15 | 17 | 23 |
Health Care | 12 | 12 | 12 |
Industrials | 17 | 17 | 11 |
Information Technology | 17 | 17 | 15 |
Materials | 5 | 5 | 3 |
Telecommunication Services | 0 | 0 | 3 |
Utilities | 5 | 5 | 3 |
Ten Largest Holdings4 (% of total net assets) | ||
|
|
|
The Manitowoc Co., Inc. | construction and farm machinery and heavy trucks | 0.6% |
Energen Corp. | gas utilities | 0.6 |
NVR, Inc. | homebuilding | 0.6 |
Frontier Oil Corp. | oil and gas refining and marketing | 0.6 |
Global Payments Inc. | data processing and outsourced services | 0.6 |
Veritas DGC Inc. | oil and gas equipment and services | 0.6 |
Cimarex Energy Co. | oil and gas exploration and production | 0.5 |
Southern Union Co. | gas utilities | 0.5 |
Cerner Corp. | health care technology | 0.5 |
Helix Energy Solutions Group, Inc. | oil and gas exploration and production | 0.5 |
Top Ten |
| 5.6% |
1 S&P SmallCap 600 Index.
2 Dow Jones Wilshire 5000 Index.
3 For an explanation of R-squared, beta, and other terms used here, see the Glossary on pages 62–63.
4 “Ten Largest Holdings” excludes any temporary cash investments and equity index products.
36
Tax-Managed Small-Cap 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 www.vanguard.com.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: March 25, 1999–December 31, 2006
Initial Investment of $10,000
| Average Annual Total Returns |
| ||
| Periods Ended December 31, 2006 | Final Value | ||
| One | Five | Since | of a $10,000 |
| Year | Years | Inception1 | Investment |
Tax-Managed Small-Cap Fund |
|
|
|
|
Investor Shares | 14.15% | 12.35% | 13.66% | $27,042 |
Fee-Adjusted Returns2 | 13.02 | 12.35 | 13.66 | 27,042 |
Dow Jones Wilshire 5000 Index | 15.87 | 7.65 | 4.10 | 13,664 |
S&P SmallCap 600 Index | 15.12 | 12.49 | 13.52 | 26,791 |
Average Small-Cap Core Fund3 | 14.87 | 11.29 | 13.59 | 26,910 |
1 March 25, 1999.
2 Reflective of the 1% fee assessed on redemptions of shares held for less than five years.
3 Derived from data provided by Lipper Inc.
37
Tax-Managed Small-Cap Fund
| Average Annual Total Returns |
| ||
| Periods Ended December 31, 2006 | Final Value of | ||
| One | Five | Since | a $5,000,000 |
| Year | Years | Inception1 | Investment |
Tax-Managed Small-Cap Fund |
|
|
|
|
Institutional Shares | 14.23% | 12.43% | 12.85% | $12,676,388 |
Fee-Adjusted Returns2 | 13.09 | 12.43 | 12.85 | 12,676,388 |
Dow Jones Wilshire 5000 Index | 15.87 | 7.65 | 3.56 | 6,544,003 |
S&P SmallCap 600 Index | 15.12 | 12.49 | 12.69 | 12,537,670 |
Fiscal-Year Total Returns (%): March 25, 1999–December 31, 2006
1 April 21, 1999.
2 Reflective of the 1% fee assessed on redemptions of shares held for less than five years.
Note: See Financial Highlights tables on pages 41 and 42 for dividend and capital gains information.
38
Tax-Managed Small-Cap Fund
Financial Statements
The Statement of Net Assets—an integral part of the Financial Statements for Vanguard Tax-Managed Small-Cap Fund—is included as an insert to this report.
Statement of Operations
| Year Ended |
| December 31, 2006 |
| ($000) |
Investment Income |
|
Income |
|
Dividends | 15,961 |
Interest1 | 98 |
Total Income | 16,059 |
Expenses |
|
The Vanguard Group—Note B |
|
Investment Advisory Services | 55 |
Management and Administrative |
|
Investor Shares | 1,802 |
Institutional Shares | 59 |
Marketing and Distribution |
|
Investor Shares | 279 |
Institutional Shares | 23 |
Custodian Fees | 68 |
Auditing Fees | 22 |
Shareholders’ Reports |
|
Investor Shares | 20 |
Institutional Shares | — |
Trustees’ Fees and Expenses | 2 |
Total Expenses | 2,330 |
Net Investment Income | 13,729 |
Realized Net Gain (Loss) on Investment Securities Sold | 64,295 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 146,889 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 224,913 |
1 Interest income from an affiliated company of the fund was $98,000.
39
Tax-Managed Small-Cap Fund
Statement of Changes in Net Assets
| Year Ended December 31, | |
| 2006 | 2005 |
| ($000) | ($000) |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net Investment Income | 13,729 | 13,049 |
Realized Net Gain (Loss) | 64,295 | 16,073 |
Change in Unrealized Appreciation (Depreciation) | 146,889 | 80,864 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 224,913 | 109,986 |
Distributions |
|
|
Net Investment Income |
|
|
Investor Shares | (13,148) | (12,546) |
Institutional Shares | (940) | (849) |
Realized Capital Gain |
|
|
Investor Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (14,088) | (13,395) |
Capital Share Transactions—Note E |
|
|
Investor Shares | 100,595 | 83,202 |
Institutional Shares | 20,689 | 74,735 |
Net Increase (Decrease) from Capital Share Transactions | 121,284 | 157,937 |
Total Increase (Decrease) | 332,109 | 254,528 |
Net Assets |
|
|
Beginning of Period | 1,551,193 | 1,296,665 |
End of Period1 | 1,883,302 | 1,551,193 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($1,649,000) and ($1,290,000).
40
Tax-Managed Small-Cap Fund
Financial Highlights
Investor Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Year Ended December 31, | ||
For a Share Outstanding Throughout Each Period | 2006 | 2005 | 2004 | 2003 | 2002 |
Net Asset Value, Beginning of Period | $22.70 | $21.25 | $17.44 | $12.67 | $14.92 |
Investment Operations |
|
|
|
|
|
Net Investment Income | .191 | .193 | .172 | .109 | .092 |
Net Realized and Unrealized |
|
|
|
|
|
Gain (Loss) on Investments1 | 3.023 | 1.454 | 3.811 | 4.770 | (2.247) |
Total from Investment Operations | 3.214 | 1.647 | 3.983 | 4.879 | (2.155) |
Distributions |
|
|
|
|
|
Dividends from Net Investment Income | (.194) | (.197) | (.173) | (.109) | (.095) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.194) | (.197) | (.173) | (.109) | (.095) |
Net Asset Value, End of Period | $25.72 | $22.70 | $21.25 | $17.44 | $12.67 |
|
|
|
|
|
|
Total Return2 | 14.15% | 7.74% | 22.84% | 38.51% | –14.44% |
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
Net Assets, End of Period (Millions) | $1,756 | $1,458 | $1,282 | $929 | $601 |
Ratio of Total Expenses to |
|
|
|
|
|
Average Net Assets | 0.14% | 0.14% | 0.14% | 0.17% | 0.17% |
Ratio of Net Investment Income to |
|
|
|
|
|
Average Net Assets | 0.78% | 0.92% | 0.96% | 0.77% | 0.68% |
Portfolio Turnover Rate3 | 42% | 20% | 19% | 21% | 21% |
1 Includes increases from redemption fees of $.01, $.01, $.01, $.01, and $.01.
2 Total returns do not reflect the 0.5% transaction fee on purchases through March 31, 2002, the 1% redemption fee on shares held less than five years, or the 2% redemption fee assessed prior to September 14, 2005, on shares held less than one year.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.
41
Tax-Managed Small-Cap Fund
Institutional Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Year Ended December 31, | ||
For a Share Outstanding Throughout Each Period | 2006 | 2005 | 2004 | 2003 | 2002 |
Net Asset Value, Beginning of Period | $22.74 | $21.28 | $17.47 | $12.68 | $14.92 |
Investment Operations |
|
|
|
|
|
Net Investment Income | .209 | .213 | .178 | .134 | .105 |
Net Realized and Unrealized |
|
|
|
|
|
Gain (Loss) on Investments1 | 3.028 | 1.454 | 3.811 | 4.770 | (2.247) |
Total from Investment Operations | 3.237 | 1.667 | 3.989 | 4.904 | (2.142) |
Distributions |
|
|
|
|
|
Dividends from Net Investment Income | (.207) | (.207) | (.179) | (.114) | (.098) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.207) | (.207) | (.179) | (.114) | (.098) |
Net Asset Value, End of Period | $25.77 | $22.74 | $21.28 | $17.47 | $12.68 |
|
|
|
|
|
|
Total Return2 | 14.23% | 7.82% | 22.83% | 38.68% | –14.36% |
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
Net Assets, End of Period (Millions) | $128 | $94 | $15 | $12 | $29 |
Ratio of Total Expenses to |
|
|
|
|
|
Average Net Assets | 0.09% | 0.09% | 0.09% | 0.10% | 0.10% |
Ratio of Net Investment Income to |
|
|
|
|
|
Average Net Assets | 0.83% | 0.97% | 1.01% | 0.84% | 0.74% |
Portfolio Turnover Rate3 | 42% | 20% | 19% | 21% | 21% |
1 Includes increases from redemption fees of $.01, $.00, $.01, $.01, and $.01.
2 Total returns do not reflect the 0.5% transaction fee on purchases through March 31, 2002, the 1% redemption fee on shares held less than five years, or the 2% redemption fee assessed prior to September 14, 2005, on shares held less than one year.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. See accompanying Notes, which are an integral part of the Financial Statements.
42
Tax-Managed Small-Cap Fund
Notes to Financial Statements
Vanguard Tax-Managed Small-Cap 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: Investor Shares and Institutional Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Institutional Shares are designed for investors who meet certain administrative and servicing criteria and invest a minimum of $5 million.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4:00 p.m. Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value.
2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Accordingly, no provision for federal income taxes is required in the financial statements.
3. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
4. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold. Fees assessed on redemptions of capital shares are credited to paid-in capital.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2006, the fund had contributed capital of $185,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.18% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. 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.
43
Tax-Managed Small-Cap Fund
During the year ended December 31, 2006, the fund realized $61,565,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
For tax purposes, at December 31, 2006, the fund had $179,000 of ordinary income available for distribution. The fund had available realized losses of $2,167,000 to offset future net capital gains through December 31, 2011.
At December 31, 2006, the cost of investment securities for tax purposes was $1,179,433,000. Net unrealized appreciation of investment securities for tax purposes was $706,618,000, consisting of unrealized gains of $708,038,000 on securities that had risen in value since their purchase and $1,420,000 in unrealized losses on securities that had fallen in value since their purchase.
D. During the year ended December 31, 2006, the fund purchased $961,708,000 of investment securities and sold $837,720,000 of investment securities, other than temporary cash investments.
E. Capital share transactions for each class of shares were:
| Year Ended December 31, | |||
|
| 2006 |
| 2005 |
| Amount | Shares | Amount | Shares |
| ($000) | (000) | ($000) | (000) |
Investor Shares |
|
|
|
|
Issued | 285,353 | 11,437 | 227,656 | 10,622 |
Issued in Lieu of Cash Distributions | 10,601 | 409 | 10,411 | 454 |
Redeemed1 | (195,359) | (7,809) | (154,865) | (7,182) |
Net Increase (Decrease)—Investor Shares | 100,595 | 4,037 | 83,202 | 3,894 |
Institutional Shares |
|
|
|
|
Issued | 59,307 | 2,411 | 74,452 | 3,402 |
Issued in Lieu of Cash Distributions | 450 | 17 | 369 | 16 |
Redeemed1 | (39,068) | (1,594) | (86) | (4) |
Net Increase (Decrease)—Institutional Shares | 20,689 | 834 | 74,735 | 3,414 |
F. In June 2006, the Financial Accounting Standards Board issued Interpretation No. 48 (“FIN 48”), “Accounting for Uncertainty in Income Taxes.” FIN 48 establishes the minimum threshold for recognizing, and a system for measuring, the benefits of tax-return positions in financial statements. FIN 48 will be effective for the fund’s fiscal year ending December 31, 2007. Management is in the process of analyzing the fund’s tax positions for purposes of implementing FIN 48; based on the analysis completed to date, management does not believe the adoption of FIN 48 will result in any material impact to the fund’s financial statements.
1 Net of redemption fees for 2006 and 2005 of $599,000 and $574,000, respectively (fund totals).
44
Tax-Managed International Fund
Fund Profile
As of December 31, 2006
Portfolio Characteristics |
|
|
|
|
| Comparative | Broad |
| Fund | Index1 | Index2 |
Number of Stocks | 1,139 | 1,164 | 2,115 |
Turnover Rate | 4% | — | — |
Expense Ratio |
| — | — |
Investor Shares | 0.20% |
|
|
Institutional Shares | 0.14% |
|
|
Short-Term Reserves | 0% | — | — |
Volatility Measures3 |
| |
| Fund Versus | Fund Versus |
| Comparative Index1 | Broad Index2 |
R-Squared | 0.99 | 0.97 |
Beta | 1.01 | 0.91 |
Sector Diversification (% of portfolio) |
| ||
|
| Comparative | Broad |
| Fund | Index1 | Index2 |
Consumer Discretionary | 12% | 11% | 11% |
Consumer Staples | 8 | 8 | 8 |
Energy | 7 | 9 | 10 |
Financials | 29 | 27 | 27 |
Health Care | 7 | 8 | 8 |
Industrials | 11 | 11 | 10 |
Information Technology | 6 | 9 | 9 |
Materials | 8 | 7 | 7 |
Telecommunication |
|
|
|
Services | 6 | 5 | 5 |
Utilities | 6 | 5 | 5 |
Ten Largest Holdings4 (% of total net assets) | ||
|
|
|
Royal Dutch Shell PLC | integrated oil and gas | 1.8% |
BP PLC | integrated oil and gas | 1.7 |
HSBC Holdings PLC | diversified banks | 1.6 |
Toyota Motor Corp. | automobile manufacturers | 1.5 |
Total SA | integrated oil and gas | 1.2 |
GlaxoSmithKline PLC | pharmaceuticals | 1.2 |
Vodafone Group PLC | wireless telecommunication services | 1.1 |
Nestle SA (Registered) | packaged foods and meats | 1.1 |
Novartis AG (Registered) | pharmaceuticals | 1.0 |
Roche Holdings AG | pharmaceuticals | 1.0 |
Top Ten |
| 13.2% |
Fund Allocation by Region
1 MSCI EAFE Index.
2 MSCI All Country World Index ex USA.
3 For an explanation of R-squared, beta, and other terms used here, see the Glossary on pages 62–63.
4 “Ten Largest Holdings” excludes any temporary cash investments and equity index products.
45
Tax-Managed International Fund
Market Diversification (% of portfolio) | ||||
|
|
| Comparative | Broad |
|
| Fund | Index1 | Index2 |
Europe |
|
|
| |
| United Kingdom | 24% | 24% | 19% |
| France | 10 | 10 | 8 |
| Germany | 7 | 7 | 6 |
| Switzerland | 7 | 7 | 5 |
| Italy | 4 | 4 | 3 |
| Netherlands | 4 | 3 | 3 |
| Spain | 4 | 4 | 3 |
| Sweden | 3 | 3 | 2 |
| Finland | 1 | 1 | 1 |
| Belgium | 1 | 1 | 1 |
| Norway | 1 | 1 | 1 |
| Ireland | 1 | 1 | 1 |
| Denmark | 1 | 1 | 1 |
| Greece | 1 | 1 | 1 |
| Austria | 1 | 1 | 0 |
| Subtotal | 70% | 69% | 55% |
Pacific |
|
|
| |
| Japan | 22% | 22% | 18% |
| Australia | 5 | 6 | 4 |
| Hong Kong | 2 | 2 | 1 |
| Singapore | 1 | 1 | 1 |
| Subtotal | 30% | 31% | 24% |
Emerging Markets |
|
|
| |
| Combined | 0% | — | 15% |
North America |
|
|
| |
| Canada | 0% | — | 6% |
1 MSCI EAFE Index.
2 MSCI All Country World Index ex USA.
46
Tax-Managed International 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 www.vanguard.com.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: August 17, 1999–December 31, 2006
Initial Investment of $10,000
| Average Annual Total Returns |
| ||
| Periods Ended December 31, 2006 | Final Value | ||
| One | Five | Since | of a $10,000 |
| Year | Years | Inception1 | Investment |
Tax-Managed International Fund |
|
|
|
|
Investor Shares | 26.27% | 15.08% | 6.77% | $16,207 |
Fee-Adjusted Returns2 | 25.04 | 15.08 | 6.77 | 16,207 |
MSCI All Country World Index ex USA | 27.16 | 16.87 | 8.26 | 17,947 |
MSCI EAFE Index | 26.34 | 14.98 | 6.73 | 16,167 |
Average International Fund3 | 24.84 | 13.66 | 6.33 | 15,721 |
1 August 17, 1999.
2 Reflective of the 1% fee assessed on redemptions of shares held for less than five years.
3 Derived from data provided by Lipper Inc.
47
Tax-Managed International Fund
| Average Annual Total Returns |
| ||
| Periods Ended December 31, 2006 | Final Value of | ||
| One | Five | Since | a $5,000,000 |
| Year | Years | Inception1 | Investment |
Tax-Managed International Fund |
|
|
|
|
Institutional Shares | 26.42% | 15.18% | 8.00% | $7,928,712 |
Fee-Adjusted Returns2 | 25.18 | 15.18 | 8.00 | 7,928,712 |
MSCI All Country World Index ex USA | 27.16 | 16.87 | 9.58 | 8,648,329 |
MSCI EAFE Index | 26.34 | 14.98 | 7.94 | 7,901,381 |
Fiscal-Year Total Returns (%): August 17, 1999–December 31, 2006
1 January 4, 2001.
2 Reflective of the 1% fee assessed on redemptions of shares held for less than five years.
Note: See Financial Highlights tables on pages 51 and 52 for dividend and capital gains information.
48
Tax-Managed International Fund
Financial Statements
The Statement of Net Assets—an integral part of the Financial Statements for Vanguard Tax-Managed International Fund—is included as an insert to this report.
Statement of Operations |
|
|
|
| Year Ended |
| December 31, 2006 |
| ($000) |
Investment Income |
|
Income |
|
Dividends1 | 46,129 |
Interest2 | 58 |
Total Income | 46,187 |
Expenses |
|
The Vanguard Group—Note B |
|
Investment Advisory Services | 53 |
Management and Administrative—Investor Shares | 1,982 |
Management and Administrative—Institutional Shares | 196 |
Marketing and Distribution—Investor Shares | 227 |
Marketing and Distribution—Institutional Shares | 33 |
Custodian Fees | 460 |
Auditing Fees | 29 |
Shareholders’ Reports—Investor Shares | 10 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 2,991 |
Net Investment Income | 43,196 |
Realized Net Gain (Loss) |
|
Investment Securities Sold | 6,301 |
Foreign Currencies | 398 |
Realized Net Gain (Loss) | 6,699 |
Change in Unrealized Appreciation (Depreciation) |
|
Investment Securities | 322,565 |
Foreign Currencies | 95 |
Change in Unrealized Appreciation (Depreciation) | 322,660 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 372,555 |
1 Dividends are net of foreign withholding taxes of $3,372,000.
2 Interest income from an affiliated company of the fund was $58,000.
49
Tax-Managed International Fund
Statement of Changes in Net Assets
| Year Ended December 31, | |
| 2006 | 2005 |
| ($000) | ($000) |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net Investment Income | 43,196 | 27,932 |
Realized Net Gain (Loss) | 6,699 | 1,949 |
Change in Unrealized Appreciation (Depreciation) | 322,660 | 124,148 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 372,555 | 154,029 |
Distributions |
|
|
Net Investment Income |
|
|
Investor Shares | (37,760) | (24,521) |
Institutional Shares | (6,145) | (4,367) |
Realized Capital Gain |
|
|
Investor Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (43,905) | (28,888) |
Capital Share Transactions—Note E |
|
|
Investor Shares | 223,171 | 187,101 |
Institutional Shares | 18,341 | 31,932 |
Net Increase (Decrease) from Capital Share Transactions | 241,512 | 219,033 |
Total Increase (Decrease) | 570,162 | 344,174 |
Net Assets |
|
|
Beginning of Period | 1,312,459 | 968,285 |
End of Period1 | 1,882,621 | 1,312,459 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($559,000) and ($343,000).
50
Tax-Managed International Fund
Financial Highlights
Investor Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Year Ended December 31, | ||
For a Share Outstanding Throughout Each Period | 2006 | 2005 | 2004 | 2003 | 2002 |
Net Asset Value, Beginning of Period | $11.48 | $10.33 | $8.76 | $6.43 | $7.79 |
Investment Operations |
|
|
|
|
|
Net Investment Income | .331 | .246 | .201 | .158 | .14 |
Net Realized and Unrealized |
|
|
|
|
|
Gain (Loss) on Investments1 | 2.685 | 1.161 | 1.571 | 2.325 | (1.36) |
Total from Investment Operations | 3.016 | 1.407 | 1.772 | 2.483 | (1.22) |
Distributions |
|
|
|
|
|
Dividends from Net Investment Income | (.336) | (.257) | (.202) | (.153) | (.14) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.336) | (.257) | (.202) | (.153) | (.14) |
Net Asset Value, End of Period | $14.16 | $11.48 | $10.33 | $8.76 | $6.43 |
|
|
|
|
|
|
Total Return2 | 26.27% | 13.60% | 20.25% | 38.67% | –15.62% |
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
Net Assets, End of Period (Millions) | $1,624 | $1,119 | $825 | $514 | $334 |
Ratio of Total Expenses to |
|
|
|
|
|
Average Net Assets | 0.20% | 0.20% | 0.23% | 0.28% | 0.31% |
Ratio of Net Investment Income to |
|
|
|
|
|
Average Net Assets | 2.70% | 2.50% | 2.34% | 2.33% | 2.04% |
Portfolio Turnover Rate | 4% | 5% | 5% | 9% | 7% |
1 Includes increases from redemption fees of $.00, $.00, $.00, $.01, and $.01.
2 Total returns do not reflect the 0.25% transaction fee on purchases through March 31, 2002, the 1% redemption fee on shares held less than five years, or the 2% redemption fee assessed prior to September 14, 2005, on shares held less than one year.
51
Tax-Managed International Fund
Institutional Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Year Ended December 31, | ||
For a Share Outstanding Throughout Each Period | 2006 | 2005 | 2004 | 2003 | 2002 |
Net Asset Value, Beginning of Period | $11.48 | $10.33 | $8.77 | $6.43 | $7.79 |
Investment Operations |
|
|
|
|
|
Net Investment Income | .348 | .253 | .198 | .17 | .148 |
Net Realized and Unrealized |
|
|
|
|
|
Gain (Loss) on Investments1 | 2.685 | 1.161 | 1.571 | 2.33 | (1.361) |
Total from Investment Operations | 3.033 | 1.414 | 1.769 | 2.50 | (1.213) |
Distributions |
|
|
|
|
|
Dividends from Net Investment Income | (.343) | (.264) | (.209) | (.16) | (.147) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.343) | (.264) | (.209) | (.16) | (.147) |
Net Asset Value, End of Period | $14.17 | $11.48 | $10.33 | $8.77 | $6.43 |
|
|
|
|
|
|
Total Return2 | 26.42% | 13.66% | 20.19% | 38.94% | –15.52% |
|
|
|
|
|
|
Ratios/Supplemental Data |
|
|
|
|
|
Net Assets, End of Period (Millions) | $258 | $193 | $143 | $102 | $47 |
Ratio of Total Expenses to |
|
|
|
|
|
Average Net Assets | 0.14% | 0.14% | 0.15% | 0.17% | 0.20% |
Ratio of Net Investment Income to |
|
|
|
|
|
Average Net Assets | 2.76% | 2.56% | 2.42% | 2.44% | 2.16% |
Portfolio Turnover Rate | 4% | 5% | 5% | 9% | 7% |
1 Includes increases from redemption fees of $.00, $.00, $.00, $.00, and $.01.
2 Total returns do not reflect the 0.25% transaction fee on purchases through March 31, 2002, the 1% redemption fee on shares held less than five years, or the 2% redemption fee assessed prior to September 14, 2005, on shares held less than one year.
See accompanying Notes, which are an integral part of the Financial Statements.
52
Tax-Managed International Fund
Notes to Financial Statements
Vanguard Tax-Managed International 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: Investor Shares and Institutional Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Institutional Shares are designed for investors who meet certain administrative and servicing criteria and invest a minimum of $5 million. The fund invests in securities of foreign issuers, which may subject it to investment risks not normally associated with investing in securities of United States corporations.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4:00 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 affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued at their fair values calculated according to procedures adopted by the board of trustees. These procedures include obtaining quotations from an independent pricing service, monitoring news to identify significant market- or security-specific events, and evaluating changes in the values of foreign market proxies (for example, ADRs, futures contracts, or exchange-traded funds) between the time the foreign markets close and the fund’s pricing time. When fair-value pricing is employed, the prices of securities used by a fund to calculate its net asset value may differ from quoted or published prices for the same securities. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value.
2. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the exchange rates on the valuation date as employed by Morgan Stanley Capital International (MSCI) in the calculation of its indexes. As part of the fund’s fair value procedures, exchange rates may be adjusted if they change significantly before the fund’s pricing time but after the time at which the MSCI rates are determined (generally 11:00 a.m. Eastern time).
Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the asset or liability is settled in cash, when they are recorded as realized foreign currency gains (losses).
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Accordingly, no provision for federal income taxes is required in the financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold. Fees assessed on redemptions of capital shares are credited to paid-in capital.
53
Tax-Managed International Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2006, the fund had contributed capital of $179,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.18% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the year ended December 31, 2006, the fund realized net foreign currency gains of $398,000, which increased distributable net income for tax purposes; accordingly, such gains have been reclassified from accumulated net realized losses to overdistributed net investment income. Certain of the fund’s investments are in securities considered to be “passive foreign investment companies,” for which any unrealized appreciation and/or realized gains are required to be included in distributable net income for tax purposes. The fund realized gains on the sale of passive foreign investment companies of $95,000, which have been included in 2006 taxable income; accordingly, such gains have been reclassified from accumulated net realized losses to overdistributed net investment income.
For tax purposes, at December 31, 2006, the fund had $584,000 of ordinary income available for distribution. The fund had available realized losses of $71,783,000 to offset future net capital gains of $2,247,000 through December 31, 2009, $37,123,000 through December 31, 2010, $27,239,000 through December 31, 2011, and $5,174,000 through December 31, 2012.
At December 31, 2006, the cost of investment securities for tax purposes was $1,250,685,000. Net unrealized appreciation of investment securities for tax purposes was $629,245,000, consisting of unrealized gains of $642,751,000 on securities that had risen in value since their purchase and $13,506,000 in unrealized losses on securities that had fallen in value since their purchase.
D. During the year ended December 31, 2006, the fund purchased $307,432,000 of investment securities and sold $68,284,000 of investment securities, other than temporary cash investments.
Tax-Managed International Fund
E. Capital share transactions for each class of shares were:
54
Tax-Managed International Fund
|
|
| Year Ended December 31, | |
|
| 2006 |
| 2005 |
| Amount | Shares | Amount | Shares |
| ($000) | (000) | ($000) | (000) |
Investor Shares |
|
|
|
|
Issued | 251,022 | 19,618 | 226,831 | 21,539 |
Issued in Lieu of Cash Distributions | 30,239 | 2,133 | 20,386 | 1,760 |
Redeemed1 | (58,090) | (4,528) | (60,116) | (5,656) |
Net Increase (Decrease)—Investor Shares | 223,171 | 17,223 | 187,101 | 17,643 |
Institutional Shares |
|
|
|
|
Issued | 15,987 | 1,240 | 30,383 | 2,829 |
Issued in Lieu of Cash Distributions | 4,453 | 314 | 3,057 | 264 |
Redeemed1 | (2,099) | (156) | (1,508) | (147) |
Net Increase (Decrease)—Institutional Shares | 18,341 | 1,398 | 31,932 | 2,946 |
F. In June 2006, the Financial Accounting Standards Board issued Interpretation No. 48 (“FIN 48”), “Accounting for Uncertainty in Income Taxes.” FIN 48 establishes the minimum threshold for recognizing, and a system for measuring, the benefits of tax-return positions in financial statements. FIN 48 will be effective for the fund’s fiscal year ending December 31, 2007. Management is in the process of analyzing the fund’s tax positions for purposes of implementing FIN 48; based on the analysis completed to date, management does not believe the adoption of FIN 48 will result in any material impact to the fund’s financial statements.
1 Net of redemption fees for 2006 and 2005 of $290,000 and $264,000, respectively (fund totals).
55
Report of Independent Registered Public Accounting Firm
To the Trustees of Vanguard Tax-Managed Funds and Shareholders of Vanguard Tax-Managed Balanced Fund, Vanguard Tax-Managed Growth and Income Fund, Vanguard Tax-Managed Capital Appreciation Fund, Vanguard Tax-Managed Small-Cap Fund, and Vanguard Tax-Managed International Fund:
In our opinion, the statements of net assets appearing in the insert to this annual report and the accompanying related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Tax-Managed Balanced Fund, Vanguard Tax-Managed Growth and Income Fund, Vanguard Tax-Managed Capital Appreciation Fund, Vanguard Tax-Managed Small-Cap Fund, and Vanguard Tax-Managed International Fund (constituting Vanguard Tax-Managed Funds, hereafter referred to as the “Funds”) at December 31, 2006, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2006 by correspondence with the custodian and by agreement to the underlying ownership records for Vanguard Market Liquidity Fund, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 9, 2007
56
Special 2006 tax information (unaudited) for Vanguard Tax-Managed Funds
This information for the fiscal year ended December 31, 2006, is included pursuant to provisions of the Internal Revenue Code.
The Tax-Managed Balanced Fund designates 73.63% of its income dividends as exempt-interest dividends.
The funds distributed qualified dividend income to shareholders during the fiscal year as follows:
| Qualified Dividend Income |
Tax-Managed Fund | ($000) |
Balanced | 4,744 |
Growth and Income | 51,880 |
Capital Appreciation | 57,182 |
Small-Cap | 14,088 |
International | 43,905 |
For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends-received deduction is as follows:
Tax-Managed Fund | Percentage |
Balanced | 100%1 |
Growth and Income | 100 |
Capital Appreciation | 100 |
Small-Cap | 96 |
The Tax-Managed International Fund passed through to shareholders foreign source income of $49,459,000 and foreign taxes paid of $3,326,000. The pass-through of foreign taxes paid will affect only shareholders on the dividend record date in December 2006. Shareholders received more detailed information along with their Form 1099-DIV in January 2007.
1 The percentage applies only to the taxable ordinary income that has been reported on Form 1099-DIV.
57
Your Fund’s After-Tax Returns
The table on page 59 presents returns for your fund both before and after taxes. The after-tax returns are shown in two ways: (1) assuming that an investor owned the fund during the entire period and paid taxes on the fund’s distributions, and (2) assuming that an investor paid taxes on the fund’s distributions and sold all shares at the end of each period.
Calculations are based on the highest individual federal income tax and capital gains tax rates in effect at the times of the distributions and the hypothetical sales. State and local taxes were not considered. After-tax returns reflect any qualified dividend income. (In the example, returns after the sale of fund shares may be higher than those assuming no sale. This occurs when the sale would have produced a capital loss. The calculation assumes that the investor received a tax deduction for the loss.)
The table shows returns for Investor Shares only; returns for other share classes will differ. Please note that your actual after-tax returns will depend on your tax situation and may differ from those shown. Also note that if you own the fund in a tax-deferred account, such as an individual retirement account or a 401(k) plan, this information does not apply to you. Such accounts are not subject to current taxes.
Finally, keep in mind that a fund’s performance—whether before or after taxes—does not guarantee future results.
58
Average Annual Total Returns:1 |
|
|
|
Periods Ended December 31, 2006 |
|
|
|
| One | Five | Ten |
| Year | Years | Years2 |
Tax-Managed Balanced Fund |
|
|
|
Returns Before Taxes | 8.02% | 5.91% | 7.25% |
Returns After Taxes on Distributions | 7.90 | 5.78 | 7.12 |
Returns After Taxes on Distributions and Sale of Fund Shares | 6.13 | 5.34 | 6.62 |
|
|
|
|
Tax-Managed Growth and Income Fund |
|
|
|
Returns Before Taxes | 14.59% | 6.18% | 8.43% |
Returns After Taxes on Distributions | 14.29 | 5.82 | 8.00 |
Returns After Taxes on Distributions and Sale of Fund Shares | 9.85 | 5.20 | 7.23 |
|
|
|
|
Tax-Managed Capital Appreciation Fund |
|
|
|
Returns Before Taxes | 13.27% | 6.74% | 8.65% |
Returns After Taxes on Distributions | 13.03 | 6.50 | 8.42 |
Returns After Taxes on Distributions and Sale of Fund Shares | 8.94 | 5.75 | 7.57 |
|
|
|
|
Tax-Managed Small-Cap Fund |
|
|
|
Returns Before Taxes | 13.02% | 12.35% | 13.66% |
Returns After Taxes on Distributions | 12.89 | 12.19 | 13.46 |
Returns After Taxes on Distributions and Sale of Fund Shares | 8.63 | 10.76 | 12.10 |
|
|
|
|
Tax-Managed International Fund |
|
|
|
Returns Before Taxes | 25.04% | 15.08% | 6.77% |
Returns After Taxes on Distributions | 24.74 | 14.75 | 6.42 |
Returns After Taxes on Distributions and Sale of Fund Shares | 17.00 | 13.22 | 5.78 |
1 All fund returns are adjusted to reflect fees. Each of the Vanguard Tax-Managed Funds assesses a 1% fee on redemptions of shares held in the fund for less than five years.
2 Since inception for the Tax-Managed Small-Cap Fund (March 25,1999) and the Tax-Managed International Fund (August 17,1999).
59
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The table on page 61 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 any transactional costs or account maintenance fees. They do not include your fund’s low-balance fee, which is described in the prospectus. If this fee were applied to your account, your costs would be higher. Your fund does not charge transaction fees, such as purchase or redemption fees, nor does it 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 the appropriate fund prospectus.
60
Six Months Ended December 31, 2006 |
|
|
|
|
|
|
|
| Beginning | Ending | Expenses |
| Account Value | Account Value | Paid During |
Tax-Managed Fund | 6/30/2006 | 12/31/2006 | Period1 |
Based on Actual Fund Return |
|
|
|
Balanced | $1,000.00 | $1,078.86 | $0.58 |
Growth and Income |
|
|
|
Investor Shares | $1,000.00 | $1,126.98 | $0.75 |
Admiral Shares | 1,000.00 | 1,127.13 | 0.48 |
Institutional Shares | 1,000.00 | 1,127.43 | 0.32 |
Capital Appreciation |
|
|
|
Investor Shares | $1,000.00 | $1,118.63 | $0.75 |
Admiral Shares | 1,000.00 | 1,119.06 | 0.48 |
Institutional Shares | 1,000.00 | 1,119.15 | 0.32 |
Small-Cap |
|
|
|
Investor Shares | $1,000.00 | $1,063.60 | $0.68 |
Institutional Shares | 1,000.00 | 1,064.00 | 0.42 |
International |
|
|
|
Investor Shares | $1,000.00 | $1,144.63 | $1.03 |
Institutional Shares | 1,000.00 | 1,145.07 | 0.70 |
Based on Hypothetical 5% Return |
|
|
|
Balanced | $1,000.00 | $1,024.65 | $0.56 |
Growth and Income |
|
|
|
Investor Shares | $1,000.00 | $1,024.50 | $0.71 |
Admiral Shares | 1,000.00 | 1,024.75 | 0.46 |
Institutional Shares | 1,000.00 | 1,024.90 | 0.31 |
Capital Appreciation |
|
|
|
Investor Shares | $1,000.00 | $1,024.50 | $0.71 |
Admiral Shares | 1,000.00 | 1,024.75 | 0.46 |
Institutional Shares | 1,000.00 | 1,024.90 | 0.31 |
Small-Cap |
|
|
|
Investor Shares | $1,000.00 | $1,024.55 | $0.66 |
Institutional Shares | 1,000.00 | 1,024.80 | 0.41 |
International |
|
|
|
Investor Shares | $1,000.00 | $1,024.25 | $0.97 |
Institutional Shares | 1,000.00 | 1,024.55 | 0.66 |
1 The calculations are based on expenses incurred during the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the Tax-Managed Balanced Fund, 0.11%; for the Tax-Managed Growth and Income Fund, 0.14% for Investor Shares, 0.09% for Admiral Shares, and 0.06% for Institutional Shares; for the Tax-Managed Capital Appreciation Fund, 0.14% for Investor Shares, 0.09% for Admiral Shares, and 0.06% for Institutional Shares; for the Tax-Managed Small-Cap Fund, 0.13% for Investor Shares and 0.08% for Institutional Shares; for the Tax-Managed International Fund, 0.19% for Investor Shares and 0.13% 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.
61
Glossary
Average Coupon. The average interest rate paid on the fixed income securities held by a fund. It is expressed as a percentage of face value.
Average Duration. An estimate of how much the value of the bonds held by a fund will fluctuate in response to a change in interest rates. To see how the value could change, multiply the average duration by the change in rates. If interest rates rise by 1 percentage point, the value of the bonds in a fund with an average duration of five years would decline by about 5%. If rates decrease by a percentage point, the value would rise by 5%.
Average Effective Maturity. The average length of time until fixed income securities held by a fund reach maturity and are repaid, taking into consideration the possibility that the issuer may call the bond before its maturity date. The figure reflects the proportion of fund assets represented by each security; it also reflects any futures contracts held. In general, the longer the average effective maturity, the more a fund’s share price will fluctuate in response to changes in market interest rates.
Average Quality. An indicator of credit risk, this figure is the average of the ratings assigned to a fund’s fixed income holdings by credit-rating agencies. The agencies make their judgment after appraising an issuer’s ability to meet its obligations. Quality is graded on a scale, with Aaa or AAA indicating the most creditworthy bond issuers. U.S. Treasury securities are considered to have the highest credit quality.
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%. A fund’s beta should be reviewed in conjunction with its R-squared (see definition on the next page). 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. The current, annualized rate of dividends paid on a share of stock, divided by its current share price. For a fund, the weighted average yield for stocks it holds. The index yield is based on the current annualized rate of dividends paid on stocks in the index.
Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund.
Expense Ratio. The percentage of a fund’s average net assets used to pay its annual administrative and advisory expenses. These expenses directly reduce returns to investors.
Foreign Holdings. The percentage of a fund represented by stocks 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.
Largest State Concentrations. An indicator of diversification. The less concentrated a fund’s holdings of bonds, the less the fund will be hurt by any financial problems in a single state or region.
62
Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it.
Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds.
Price/Earnings Ratio. The ratio of a stock’s current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company’s future growth.
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.
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.
Yield. A snapshot of a fund’s income from interest and dividends. The yield, expressed as a percentage of the fund’s net asset value, is based on income earned over the past 30 days and is annualized, or projected forward for the coming year. The index yield is based on the current annualized rate of income provided by securities in the index.
Yield to Maturity. The rate of return an investor would receive if the fixed income securities held by a fund were held to their maturity dates.
63
The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals.
Our independent board members bring distinguished backgrounds in business, academia, and public service to their task of working with Vanguard officers to establish the policies and oversee the activities of the funds. Among board members’ responsibilities are selecting investment advisors for the funds; monitoring fund operations, performance, and costs; reviewing contracts; nominating and selecting new trustees/directors; and electing Vanguard officers.
Each trustee serves a fund until its termination; or until the trustee’s retirement, resignation, or death; or otherwise as specified in the fund’s organizational documents. Any trustee may be removed at a shareholders’ meeting by a vote representing two-thirds of the net asset value of all shares of the fund together with shares of other Vanguard funds organized within the same trust. The table on these two pages shows information for each trustee and executive officer of the fund. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482.
Chairman of the Board, Chief Executive Officer, and Trustee | |
|
|
John J. Brennan1 |
|
Born 1954 | Principal Occupation(s) During the Past Five Years: Chairman of the Board, Chief |
Trustee since May 1987; | Executive Officer, and Director/Trustee of The Vanguard Group, Inc., and of each |
Chairman of the Board and | of the investment companies served by The Vanguard Group. |
Chief Executive Officer |
|
145 Vanguard Funds Overseen | |
|
|
Independent Trustees |
|
|
|
Charles D. Ellis |
|
Born 1937 | Principal Occupation(s) During the Past Five Years: Applecore Partners (pro bono ventures |
Trustee since January 2001 | in education); Senior Advisor to Greenwich Associates (international business strategy |
145 Vanguard Funds Overseen | consulting); Successor Trustee of Yale University; Overseer of the Stern School of Business |
| at New York University; Trustee of the Whitehead Institute for Biomedical Research. |
|
|
Rajiv L. Gupta |
|
Born 1945 | Principal Occupation(s) During the Past Five Years: Chairman and Chief Executive Officer |
Trustee since December 20012 | of Rohm and Haas Co. (chemicals); Board Member of the American Chemistry Council; |
145 Vanguard Funds Overseen | Director of Tyco International, Ltd. (diversified manufacturing and services) (since 2005); |
| Trustee of Drexel University and of the Chemical Heritage Foundation. |
|
|
Amy Gutmann |
|
Born 1949 | Principal Occupation(s) During the Past Five Years: President of the University of |
Trustee since June 2006 | Pennsylvania since 2004; Professor in the School of Arts and Sciences, Annenberg School |
145 Vanguard Funds Overseen | for Communication, and Graduate School of Education of the University of Pennsylvania |
| since 2004; Provost (2001–2004) and Laurance S. Rockefeller Professor of Politics and the |
| University Center for Human Values (1990–2004), Princeton University; Director of Carnegie |
| Corporation of New York and of Philadelphia 2016 (since 2005) and of Schuylkill River |
| Development Corporation and Greater Philadelphia Chamber of Commerce (since 2004). |
JoAnn Heffernan Heisen |
| |
Born 1950 | Principal Occupation(s) During the Past Five Years: Corporate Vice President and Chief | |
Trustee since July 1998 | Global Diversity Officer (since January 2006), Vice President and Chief Information | |
145 Vanguard Funds Overseen | Officer (1997–2005), and Member of the Executive Committee of Johnson & Johnson | |
| (pharmaceuticals/consumer products); Director of the University Medical Center at | |
| Princeton and Women’s Research and Education Institute. | |
|
| |
André F. Perold |
| |
Born 1952 | Principal Occupation(s) During the Past Five Years: George Gund Professor of Finance and | |
Trustee since December 2004 | Banking, Harvard Business School (since 2000); Senior Associate Dean, Director of Faculty | |
145 Vanguard Funds Overseen | Recruiting, and Chair of Finance Faculty, Harvard Business School; Director and Chairman | |
| of UNX, Inc. (equities trading firm) (since 2003); Director of registered investment | |
| companies advised by Merrill Lynch Investment Managers and affiliates (1985–2004), | |
| Genbel Securities Limited (South African financial services firm) (1999–2003), Gensec | |
| Bank (1999–2003), Sanlam, Ltd. (South African insurance company) (2001–2003), and | |
| Stockback, Inc. (credit card firm) (2000–2002). | |
|
| |
Alfred M. Rankin, Jr. |
| |
Born 1941 | Principal Occupation(s) During the Past Five Years: Chairman, President, Chief Executive | |
Trustee since January 1993 | Officer, and Director of NACCO Industries, Inc. (forklift trucks/housewares/ lignite); | |
145 Vanguard Funds Overseen | Director of Goodrich Corporation (industrial products/aircraft systems and services). | |
|
| |
J. Lawrence Wilson |
| |
Born 1936 | Principal Occupation(s) During the Past Five Years: Retired Chairman and Chief Executive | |
Trustee since April 1985 | Officer of Rohm and Haas Co. (chemicals); Director of Cummins Inc. (diesel engines), | |
145 Vanguard Funds Overseen | MeadWestvaco Corp. (packaging products), and AmerisourceBergen Corp. (pharmaceutical | |
| distribution); Trustee of Vanderbilt University and of Culver Educational Foundation. | |
|
| |
Executive Officers1 |
| |
|
| |
Heidi Stam |
| |
Born 1956 | Principal Occupation(s) During the Past Five Years: Managing Director of the Vanguard | |
Secretary since July 2005 | Group, Inc., since 2006; General Counsel of The Vanguard Group since 2005; Secretary of | |
145 Vanguard Funds Overseen | The Vanguard Group, and of each of the investment companies served by The Vanguard | |
| Group, since 2005; Principal of The Vanguard Group (1997-2006). | |
|
| |
Thomas J. Higgins |
| |
Born 1957 | Principal Occupation(s) During the Past Five Years: Principal of The Vanguard Group, Inc.; | |
Treasurer since July 1998 | Treasurer of each of the investment companies served by The Vanguard Group. | |
145 Vanguard Funds Overseen |
| |
|
| |
Vanguard Senior Management Team | ||
|
| |
R. Gregory Barton | Kathleen C. Gubanich | Michael S. Miller |
Mortimer J. Buckley | Paul A. Heller | Ralph K. Packard |
James H. Gately | F. William McNabb, III | George U. Sauter |
|
| |
Founder |
| |
|
| |
John C. Bogle |
| |
Chairman and Chief Executive Officer, 1974–1996 |
1 Officers of the funds are “interested persons” as defined in the Investment Company Act of 1940.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
More information about the trustees is in the Statement of Additional Information, available from The Vanguard Group.
| |
| P.O. Box 2600 |
| Valley Forge, PA 19482-2600 |
Connect with Vanguard™ > www.vanguard.com
Fund Information > 800-662-7447 | Vanguard, Vanguard Tax-Managed Funds, Admiral, |
| Connect with Vanguard, and the ship logo are |
Direct Investor Account Services > 800-662-2739 | trademarks of The Vanguard Group, Inc. |
|
|
Institutional Investor Services > 800-523-1036 | All other marks are the exclusive property of their |
| respective owners. |
Text Telephone for the |
|
Hearing Impaired > 800-952-3335 | All comparative mutual fund data are from Lipper Inc. |
| or Morningstar, Inc., unless otherwise noted. |
|
|
|
|
This material may be used in conjunction | You can obtain a free copy of Vanguard’s proxy voting |
with the offering of shares of any Vanguard | guidelines by visiting our website, www.vanguard.com, |
fund only if preceded or accompanied by | and searching for “proxy voting guidelines,” or by calling |
the fund’s current prospectus. | Vanguard at 800-662-2739. They are also available from |
| the SEC’s website, www.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 www.vanguard.com |
| or www.sec.gov. |
|
|
| You can review and copy information about your fund |
| at the SEC’s Public Reference Room in Washington, D.C. |
| To find out more about this public service, call the SEC |
| at 202-551-8090. Information about your fund is also |
| available on the SEC’s website, and you can receive |
| copies of this information, for a fee, by sending a |
| request in either of two ways: via e-mail addressed to |
| publicinfo@sec.gov or via regular mail addressed to the |
| Public Reference Section, Securities and Exchange |
| Commission, Washington, DC 20549-0102. |
|
|
|
|
|
|
| © 2007 The Vanguard Group, Inc. |
| All rights reserved. |
| Vanguard Marketing Corporation, Distributor. |
|
|
| Q872007 |
Vanguard Tax-Managed Funds®
The Statement of Net Assets should be read in conjunction with each fund’s Statement of Operations, Statement of Changes in Net Assets, Financial Highlights, Notes to Financial
Statements, and Report of Independent Registered Public Accounting Firm, all of which appear in the accompanying report.
Statement of Net Assets
As of December 31, 2006
Each fund provides a complete list of its holdings 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 www.sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of the accompanying report for further information).
Contents |
|
|
|
Tax-Managed Balanced Fund | 2 |
Tax-Managed Growth and Income Fund | 14 |
Tax-Managed Capital Appreciation Fund | 20 |
Tax-Managed Small-Cap Fund | 27 |
Tax-Managed International Fund | 34 |
1
Tax-Managed Balanced Fund
|
| Market |
|
| Value• |
| Shares | ($000) |
Common Stocks (48.4%) |
|
|
Consumer Discretionary (5.9%) |
|
|
Time Warner, Inc. | 101,040 | 2,201 |
Home Depot, Inc. | 46,700 | 1,875 |
The Walt Disney Co. | 52,450 | 1,797 |
McDonald’s Corp. | 33,009 | 1,463 |
* Comcast Corp. Class A | 33,766 | 1,429 |
News Corp., Class A | 62,200 | 1,336 |
Target Corp. | 23,100 | 1,318 |
Lowe’s Cos., Inc. | 40,800 | 1,271 |
* Viacom Inc. Class B | 19,758 | 811 |
* Starbucks Corp. | 22,800 | 808 |
Staples, Inc. | 24,355 | 650 |
Harley-Davidson, Inc. | 8,900 | 627 |
CBS Corp. | 19,058 | 594 |
* Coach, Inc. | 13,700 | 589 |
Marriott International, Inc. Class A | 12,300 | 587 |
NIKE, Inc. Class B | 5,700 | 564 |
Yum! Brands, Inc. | 9,500 | 559 |
International Game Technology | 11,600 | 536 |
Best Buy Co., Inc. | 10,875 | 535 |
* Kohl’s Corp. | 7,800 | 534 |
Harrah’s Entertainment, Inc. | 6,382 | 528 |
Hilton Hotels Corp. | 15,079 | 526 |
Starwood Hotels & Resorts Worldwide, Inc. | 7,801 | 488 |
Federated Department Stores, Inc. | 12,400 | 473 |
* Sears Holdings Corp. | 2,700 | 453 |
Nordstrom, Inc. | 9,000 | 444 |
* Office Depot, Inc. | 11,400 | 435 |
The Gap, Inc. | 21,525 | 420 |
* Liberty Media Corp.– Interactive Series A | 19,207 | 414 |
* Bed Bath & Beyond, Inc. | 10,500 | 400 |
* Liberty Media Corp.– Capital Series A | 3,841 | 376 |
NTL Inc. | 14,542 | 367 |
Mattel, Inc. | 16,080 | 364 |
* MGM Mirage, Inc. | 6,228 | 357 |
* EchoStar Communications Corp. Class A | 9,057 | 344 |
* Lamar Advertising Co. Class A | 5,000 | 327 |
* AutoZone Inc. | 2,800 | 324 |
Polo Ralph Lauren Corp. | 4,100 | 318 |
Tiffany & Co. | 8,100 | 318 |
Abercrombie & Fitch Co. | 4,500 | 313 |
Darden Restaurants Inc. | 7,750 | 311 |
* CarMax, Inc. | 5,703 | 306 |
E.W. Scripps Co. Class A | 6,100 | 305 |
Centex Corp. | 5,400 | 304 |
Black & Decker Corp. | 3,700 | 296 |
Hasbro, Inc. | 10,625 | 290 |
* Amazon.com, Inc. | 7,300 | 288 |
Brinker International, Inc. | 9,375 | 283 |
|
| Market |
|
| Value• |
| Shares | ($000) |
Cablevision Systems NY Group Class A | 9,894 | 282 |
TJX Cos., Inc. | 9,800 | 279 |
Pulte Homes, Inc. | 8,400 | 278 |
D. R. Horton, Inc. | 10,499 | 278 |
Liz Claiborne, Inc. | 6,300 | 274 |
Lennar Corp. Class A | 5,100 | 268 |
Clear Channel Communications, Inc. | 7,520 | 267 |
* O’Reilly Automotive, Inc. | 8,000 | 256 |
Dillard’s Inc. | 7,100 | 248 |
PetSmart, Inc. | 8,400 | 242 |
* AutoNation, Inc. | 11,292 | 241 |
* Mohawk Industries, Inc. | 3,100 | 232 |
* NVR, Inc. | 350 | 226 |
Barnes & Noble, Inc. | 5,400 | 214 |
Omnicom Group Inc. | 2,000 | 209 |
Circuit City Stores, Inc. | 10,600 | 201 |
Weight Watchers International, Inc. | 3,800 | 200 |
Williams-Sonoma, Inc. | 6,200 | 195 |
Jones Apparel Group, Inc. | 5,800 | 194 |
Ryland Group, Inc. | 3,500 | 191 |
* Wyndham Worldwide Corp. | 5,919 | 190 |
* Toll Brothers, Inc. | 5,800 | 187 |
Harte-Hanks, Inc. | 6,700 | 186 |
* Apollo Group, Inc. Class A | 4,700 | 183 |
OSI Restaurant Partners, Inc. | 4,650 | 182 |
Saks Inc. | 10,200 | 182 |
Brunswick Corp. | 5,600 | 179 |
* IAC/InterActiveCorp | 4,700 | 175 |
Gentex Corp. | 10,200 | 159 |
ServiceMaster Co. | 11,900 | 156 |
* Liberty Global, Inc. Class A | 5,238 | 153 |
* Liberty Global, Inc. Series C | 5,446 | 152 |
* The Cheesecake Factory Inc. | 6,000 | 148 |
BorgWarner, Inc. | 2,400 | 142 |
* Univision Communications Inc. | 3,710 | 131 |
* Discovery Holding Co. Class A | 7,682 | 124 |
* Career Education Corp. | 4,500 | 112 |
Thor Industries, Inc. | 2,400 | 106 |
* Expedia, Inc. | 4,700 | 99 |
* Chico’s FAS, Inc. | 4,200 | 87 |
* Idearc Inc. | 2,720 | 78 |
Hearst-Argyle Television Inc. | 2,900 | 74 |
* Comcast Corp. Special Class A | 1,548 | 65 |
* DIRECTV Group, Inc. | 2,171 | 54 |
The McGraw-Hill Cos., Inc. | 700 | 48 |
Sally Beauty Co. Inc. | 5,450 | 43 |
Limited Brands, Inc. | 1,424 | 41 |
Sherwin-Williams Co. | 600 | 38 |
* R.H. Donnelley Corp. | 579 | 36 |
Foot Locker, Inc. | 1,600 | 35 |
Lennar Corp. Class B | 680 | 33 |
* Sirius Satellite Radio, Inc. | 9,200 | 33 |
Harman International Industries, Inc. | 300 | 30 |
2
Tax-Managed Balanced Fund
|
| Market |
|
| Value• |
| Shares | ($000) |
Fortune Brands, Inc. | 300 | 26 |
* Dollar Tree Stores, Inc. | 750 | 23 |
International Speedway Corp. | 410 | 21 |
John Wiley & Sons Class A | 200 | 8 |
Newell Rubbermaid, Inc. | 218 | 6 |
RadioShack Corp. | 300 | 5 |
* Hanesbrands Inc. | 62 | 1 |
|
| 38,962 |
Consumer Staples (4.0%) |
|
|
The Procter & Gamble Co. | 77,410 | 4,975 |
Altria Group, Inc. | 42,000 | 3,604 |
Wal-Mart Stores, Inc. | 60,100 | 2,775 |
PepsiCo, Inc. | 40,300 | 2,521 |
The Coca-Cola Co. | 36,700 | 1,771 |
Walgreen Co. | 27,000 | 1,239 |
Costco Wholesale Corp. | 14,200 | 751 |
Sysco Corp. | 18,800 | 691 |
CVS Corp. | 21,256 | 657 |
Archer-Daniels-Midland Co. | 19,921 | 637 |
Kimberly-Clark Corp. | 9,172 | 623 |
Safeway, Inc. | 17,134 | 592 |
Anheuser-Busch Cos., Inc. | 9,000 | 443 |
Avon Products, Inc. | 10,600 | 350 |
The Clorox Co. | 5,400 | 346 |
* Dean Foods Co. | 7,650 | 323 |
* Constellation Brands, Inc. Class A | 11,000 | 319 |
Coca-Cola Enterprises, Inc. | 15,500 | 317 |
Colgate-Palmolive Co. | 4,800 | 313 |
Wm. Wrigley Jr. Co. | 6,000 | 310 |
Tyson Foods, Inc. | 18,031 | 297 |
The Kroger Co. | 12,400 | 286 |
The Pepsi Bottling Group, Inc. | 9,000 | 278 |
* Energizer Holdings, Inc. | 3,900 | 277 |
Whole Foods Market, Inc. | 5,600 | 263 |
* Smithfield Foods, Inc. | 9,400 | 241 |
Del Monte Foods Co. | 18,000 | 199 |
Reynolds American Inc. | 3,002 | 197 |
PepsiAmericas, Inc. | 8,300 | 174 |
Kellogg Co. | 3,200 | 160 |
Church & Dwight, Inc. | 3,400 | 145 |
General Mills, Inc. | 2,400 | 138 |
* Hansen Natural Corp. | 3,900 | 131 |
* Rite Aid Corp. | 22,300 | 121 |
* Alberto-Culver Co. | 5,450 | 117 |
Brown-Forman Corp. Class B | 1,400 | 93 |
Wm. Wrigley Jr. Co. Class B | 1,500 | 77 |
The Hershey Co. | 300 | 15 |
The Estee Lauder Cos. Inc. Class A | 300 | 12 |
Hormel Foods Corp. | 300 | 11 |
Sara Lee Corp. | 500 | 9 |
ConAgra Foods, Inc. | 100 | 3 |
|
| 26,801 |
|
| Market |
|
| Value• |
| Shares | ($000) |
Energy (4.6%) |
|
|
ExxonMobil Corp. | 140,094 | 10,735 |
Chevron Corp. | 45,133 | 3,319 |
ConocoPhillips Co. | 34,887 | 2,510 |
Devon Energy Corp. | 13,046 | 875 |
Valero Energy Corp. | 16,468 | 843 |
Baker Hughes, Inc. | 10,340 | 772 |
Halliburton Co. | 24,200 | 751 |
Apache Corp. | 9,646 | 642 |
Occidental Petroleum Corp. | 13,004 | 635 |
Anadarko Petroleum Corp. | 14,492 | 631 |
XTO Energy, Inc. | 12,233 | 576 |
Williams Cos., Inc. | 19,800 | 517 |
EOG Resources, Inc. | 7,800 | 487 |
Hess Corp. | 9,000 | 446 |
Peabody Energy Corp. | 10,000 | 404 |
* National Oilwell Varco Inc. | 6,439 | 394 |
Kinder Morgan, Inc. | 3,700 | 391 |
Smith International, Inc. | 9,000 | 370 |
Noble Energy, Inc. | 7,400 | 363 |
ENSCO International, Inc. | 7,200 | 360 |
BJ Services Co. | 12,200 | 358 |
* Cameron International Corp. | 6,600 | 350 |
Murphy Oil Corp. | 6,700 | 341 |
* FMC Technologies Inc. | 4,803 | 296 |
Tesoro Petroleum Corp. | 4,400 | 289 |
Marathon Oil Corp. | 3,091 | 286 |
* Newfield Exploration Co. | 6,100 | 280 |
* Pride International, Inc. | 9,300 | 279 |
CONSOL Energy, Inc. | 8,600 | 276 |
Range Resources Corp. | 9,750 | 268 |
Pioneer Natural Resources Co. | 6,500 | 258 |
Arch Coal, Inc. | 7,800 | 234 |
Rowan Cos., Inc. | 6,700 | 222 |
Patterson-UTI Energy, Inc. | 8,502 | 197 |
Pogo Producing Co. | 4,000 | 194 |
Chesapeake Energy Corp. | 6,300 | 183 |
El Paso Corp. | 2,400 | 37 |
Overseas Shipholding Group Inc. | 100 | 6 |
* Grant Prideco, Inc. | 115 | 5 |
|
| 30,380 |
Financials (10.2%) |
|
|
Citigroup, Inc. | 116,797 | 6,506 |
Bank of America Corp. | 98,435 | 5,255 |
American International Group, Inc. | 51,006 | 3,655 |
JPMorgan Chase & Co. | 70,516 | 3,406 |
Wachovia Corp. | 42,657 | 2,429 |
Wells Fargo & Co. | 68,000 | 2,418 |
Merrill Lynch & Co., Inc. | 23,250 | 2,165 |
The Goldman Sachs Group, Inc. | 9,600 | 1,914 |
Morgan Stanley | 21,960 | 1,788 |
American Express Co. | 28,200 | 1,711 |
Fannie Mae | 25,400 | 1,509 |
U.S. Bancorp | 41,500 | 1,502 |
Prudential Financial, Inc. | 13,800 | 1,185 |
3
Tax-Managed Balanced Fund
|
| Market |
|
| Value• |
| Shares | ($000) |
Lehman Brothers Holdings, Inc. | 14,728 | 1,151 |
Washington Mutual, Inc. | 22,159 | 1,008 |
Countrywide Financial Corp. | 18,198 | 773 |
MetLife, Inc. | 12,700 | 749 |
AFLAC Inc. | 15,200 | 699 |
Charles Schwab Corp. | 34,550 | 668 |
Freddie Mac | 9,500 | 645 |
State Street Corp. | 9,500 | 641 |
Bear Stearns Co., Inc. | 3,900 | 635 |
Loews Corp. | 15,000 | 622 |
SLM Corp. | 12,700 | 619 |
Franklin Resources Corp. | 5,600 | 617 |
The Allstate Corp. | 9,400 | 612 |
Capital One Financial Corp. | 7,900 | 607 |
Progressive Corp. of Ohio | 24,800 | 601 |
Moody’s Corp. | 8,500 | 587 |
The Hartford Financial Services Group Inc. | 5,200 | 485 |
Host Hotels & Resorts Inc. REIT | 19,475 | 478 |
CIT Group Inc. | 8,300 | 463 |
Simon Property Group, Inc. REIT | 4,400 | 446 |
Avalonbay Communities, Inc. REIT | 3,300 | 429 |
Ambac Financial Group, Inc. | 4,750 | 423 |
Sovereign Bancorp, Inc. | 16,575 | 421 |
MBIA, Inc. | 5,600 | 409 |
The Chicago Mercantile Exchange | 800 | 408 |
* Realogy Corp. | 13,298 | 403 |
M & T Bank Corp. | 3,300 | 403 |
Ameriprise Financial, Inc. | 6,980 | 380 |
Zions Bancorp | 4,600 | 379 |
The St. Paul Travelers, Cos. Inc. | 6,889 | 370 |
ProLogis REIT | 6,064 | 369 |
* CB Richard Ellis Group, Inc. | 10,750 | 357 |
Assurant, Inc. | 6,400 | 354 |
Genworth Financial Inc. | 10,200 | 349 |
Torchmark Corp. | 5,400 | 344 |
Commerce Bancorp, Inc. | 9,100 | 321 |
Mellon Financial Corp. | 7,300 | 308 |
SL Green Realty Corp. REIT | 2,300 | 305 |
AMB Property Corp. REIT | 5,200 | 305 |
Apartment Investment & Management Co. Class A REIT | 5,400 | 303 |
The PMI Group Inc. | 6,400 | 302 |
Janus Capital Group Inc. | 13,900 | 300 |
W.R. Berkley Corp. | 8,550 | 295 |
MGIC Investment Corp. | 4,700 | 294 |
* Markel Corp. | 600 | 288 |
The Principal Financial Group, Inc. | 4,900 | 288 |
Eaton Vance Corp. | 8,700 | 287 |
Forest City Enterprise Class A | 4,900 | 286 |
Leucadia National Corp. | 10,100 | 285 |
|
| Market |
|
| Value• |
| Shares | ($000) |
HCC Insurance Holdings, Inc. | 8,700 | 279 |
Jones Lang LaSalle Inc. | 3,000 | 277 |
Plum Creek Timber Co. Inc. REIT | 6,900 | 275 |
Radian Group, Inc. | 5,100 | 275 |
American Financial Group, Inc. | 7,650 | 275 |
Legg Mason Inc. | 2,800 | 266 |
BRE Properties Inc. Class A REIT | 4,000 | 260 |
Brown & Brown, Inc. | 9,200 | 260 |
The St. Joe Co. | 4,800 | 257 |
Raymond James Financial, Inc. | 8,350 | 253 |
Investors Financial Services Corp. | 5,900 | 252 |
Camden Property Trust REIT | 3,400 | 251 |
City National Corp. | 3,500 | 249 |
* AmeriCredit Corp. | 9,800 | 247 |
Reinsurance Group of America, Inc. | 4,400 | 245 |
IndyMac Bancorp, Inc. | 5,400 | 244 |
* Alleghany Corp. | 669 | 243 |
Jefferies Group, Inc. | 8,700 | 233 |
Marshall & Ilsley Corp. | 4,800 | 231 |
Commerce Bancshares, Inc. | 4,725 | 229 |
Federated Investors, Inc. | 6,700 | 226 |
StanCorp Financial Group, Inc. | 5,000 | 225 |
Webster Financial Corp. | 4,600 | 224 |
Cullen/Frost Bankers, Inc. | 4,000 | 223 |
East West Bancorp, Inc. | 6,300 | 223 |
Wesco Financial Corp. | 480 | 221 |
SEI Investments Co. | 3,700 | 220 |
BB&T Corp. | 5,000 | 220 |
SunTrust Banks, Inc. | 2,600 | 220 |
* CNA Financial Corp. | 5,400 | 218 |
* Conseco, Inc. | 10,800 | 216 |
BOK Financial Corp. | 3,840 | 211 |
The Bank of New York Co., Inc. | 5,300 | 209 |
First Citizens BancShares Class A | 967 | 196 |
Transatlantic Holdings, Inc. | 3,150 | 196 |
UnumProvident Corp. | 9,100 | 189 |
Regions Financial Corp. | 5,000 | 187 |
National City Corp. | 4,400 | 161 |
Douglas Emmett, Inc. REIT | 4,000 | 106 |
BlackRock, Inc. | 500 | 76 |
The Chubb Corp. | 600 | 32 |
Safeco Corp. | 500 | 31 |
A.G. Edwards & Sons, Inc. | 400 | 25 |
First Horizon National Corp. | 300 | 13 |
CapitalSource Inc. REIT | 429 | 12 |
PNC Financial Services Group | 100 | 7 |
|
| 67,702 |
Health Care (6.2%) |
|
|
Johnson & Johnson | 67,232 | 4,439 |
Pfizer Inc. | 148,510 | 3,846 |
* Amgen, Inc. | 29,524 | 2,017 |
UnitedHealth Group Inc. | 31,874 | 1,713 |
4
Tax-Managed Balanced Fund
|
| Market |
|
| Value• |
| Shares | ($000) |
Merck & Co., Inc. | 38,600 | 1,683 |
Medtronic, Inc. | 30,500 | 1,632 |
* WellPoint Inc. | 17,125 | 1,348 |
Abbott Laboratories | 25,200 | 1,227 |
Wyeth | 20,900 | 1,064 |
* Genentech, Inc. | 12,400 | 1,006 |
Schering-Plough Corp. | 42,200 | 998 |
* Gilead Sciences, Inc. | 13,000 | 844 |
Cardinal Health, Inc. | 12,390 | 798 |
Aetna Inc. | 17,276 | 746 |
Caremark Rx, Inc. | 12,600 | 720 |
Eli Lilly & Co. | 13,300 | 693 |
Bristol-Myers Squibb Co. | 25,500 | 671 |
* Celgene Corp. | 11,400 | 656 |
* Thermo Fisher Scientific, Inc. | 14,003 | 634 |
* Zimmer Holdings, Inc. | 7,470 | 585 |
Stryker Corp. | 10,500 | 579 |
Allergan, Inc. | 4,800 | 575 |
CIGNA Corp. | 4,100 | 539 |
McKesson Corp. | 10,500 | 532 |
* Medco Health Solutions, Inc. | 9,478 | 507 |
* Forest Laboratories, Inc. | 9,700 | 491 |
* Genzyme Corp. | 7,400 | 456 |
* St. Jude Medical, Inc. | 11,368 | 416 |
AmerisourceBergen Corp. | 9,200 | 414 |
Biomet, Inc. | 9,925 | 410 |
* Laboratory Corp. of America Holdings | 5,500 | 404 |
Quest Diagnostics, Inc. | 6,900 | 366 |
* Humana Inc. | 6,500 | 360 |
* Express Scripts Inc. | 5,000 | 358 |
* Coventry Health Care Inc. | 7,050 | 353 |
Applera Corp.– Applied Biosystems Group | 9,600 | 352 |
IMS Health, Inc. | 11,776 | 324 |
* Biogen Idec Inc. | 6,560 | 323 |
* Varian Medical Systems, Inc. | 6,700 | 319 |
* Boston Scientific Corp. | 18,300 | 314 |
* Waters Corp. | 6,400 | 313 |
* Sepracor Inc. | 4,900 | 302 |
Baxter International, Inc. | 6,400 | 297 |
* Barr Pharmaceuticals Inc. | 5,775 | 289 |
Mylan Laboratories, Inc. | 14,250 | 284 |
DENTSPLY International Inc. | 9,200 | 275 |
* Hospira, Inc. | 8,060 | 271 |
* MedImmune Inc. | 8,324 | 269 |
* Henry Schein, Inc. | 5,500 | 269 |
Health Management Associates Class A | 12,212 | 258 |
Dade Behring Holdings Inc. | 6,400 | 255 |
Beckman Coulter, Inc. | 4,100 | 245 |
* Patterson Cos. | 6,600 | 234 |
* Lincare Holdings, Inc. | 5,700 | 227 |
Omnicare, Inc. | 5,700 | 220 |
Universal Health Services Class B | 3,400 | 188 |
|
| Market |
|
| Value• |
| Shares | ($000) |
* Endo Pharmaceuticals Holdings, Inc. | 6,500 | 179 |
* Health Net Inc. | 2,900 | 141 |
Becton, Dickinson & Co. | 1,684 | 118 |
* Millipore Corp. | 1,300 | 87 |
* Abraxis Bioscience, Inc. | 2,950 | 81 |
Pharmaceutical Product Development, Inc. | 2,400 | 77 |
* Watson Pharmaceuticals, Inc. | 2,600 | 68 |
C.R. Bard, Inc. | 400 | 33 |
Cooper Cos., Inc. | 300 | 13 |
Manor Care, Inc. | 100 | 5 |
|
| 40,710 |
Industrials (5.2%) |
|
|
General Electric Co. | 226,209 | 8,417 |
The Boeing Co. | 20,440 | 1,816 |
United Technologies Corp. | 25,900 | 1,619 |
3M Co. | 14,600 | 1,138 |
Lockheed Martin Corp. | 10,600 | 976 |
FedEx Corp. | 8,700 | 945 |
United Parcel Service, Inc. | 12,200 | 915 |
General Dynamics Corp. | 11,600 | 862 |
Illinois Tool Works, Inc. | 14,600 | 674 |
Norfolk Southern Corp. | 13,200 | 664 |
Waste Management, Inc. | 17,301 | 636 |
Caterpillar, Inc. | 10,000 | 613 |
Danaher Corp. | 8,150 | 590 |
Union Pacific Corp. | 5,959 | 548 |
CSX Corp. | 15,400 | 530 |
Precision Castparts Corp. | 5,800 | 454 |
Southwest Airlines Co. | 29,618 | 454 |
Honeywell International Inc. | 9,800 | 443 |
Rockwell Collins, Inc. | 6,900 | 437 |
ITT Industries, Inc. | 7,600 | 432 |
L-3 Communications Holdings, Inc. | 5,100 | 417 |
Northrop Grumman Corp. | 5,918 | 401 |
* Terex Corp. | 6,000 | 387 |
Emerson Electric Co. | 8,400 | 370 |
Manpower Inc. | 4,900 | 367 |
Expeditors International of Washington, Inc. | 8,600 | 348 |
Fluor Corp. | 4,200 | 343 |
C.H. Robinson Worldwide Inc. | 7,969 | 326 |
* The Dun & Bradstreet Corp. | 3,900 | 323 |
Republic Services, Inc. Class A | 7,600 | 309 |
Robert Half International, Inc. | 8,200 | 304 |
The Manitowoc Co., Inc. | 5,100 | 303 |
Roper Industries Inc. | 6,000 | 301 |
Equifax, Inc. | 7,400 | 300 |
The Brink’s Co. | 4,700 | 300 |
American Power Conversion Corp. | 9,700 | 297 |
Cummins Inc. | 2,500 | 295 |
Burlington Northern Santa Fe Corp. | 3,838 | 283 |
W.W. Grainger, Inc. | 4,000 | 280 |
5
Tax-Managed Balanced Fund
|
| Market |
|
| Value• |
| Shares | ($000) |
DRS Technologies, Inc. | 5,300 | 279 |
* Stericycle, Inc. | 3,600 | 272 |
* Jacobs Engineering Group Inc. | 3,300 | 269 |
Ametek, Inc. | 8,250 | 263 |
SPX Corp. | 4,100 | 251 |
* Alliant Techsystems, Inc. | 3,200 | 250 |
Fastenal Co. | 6,700 | 240 |
Graco, Inc. | 5,900 | 234 |
The Toro Co. | 4,900 | 228 |
IDEX Corp. | 4,800 | 228 |
Oshkosh Truck Corp. | 4,600 | 223 |
* Armor Holdings, Inc. | 4,000 | 219 |
J.B. Hunt Transport Services, Inc. | 10,400 | 216 |
American Standard Cos., Inc. | 4,300 | 197 |
Cintas Corp. | 4,550 | 181 |
Parker Hannifin Corp. | 2,200 | 169 |
Trinity Industries, Inc. | 4,800 | 169 |
Rockwell Automation, Inc. | 2,400 | 147 |
* Allied Waste Industries, Inc. | 9,800 | 120 |
Walter Industries, Inc. | 4,000 | 108 |
* Mueller Water Products, Inc. | 6,609 | 98 |
Adesa, Inc. | 3,400 | 94 |
Ryder System, Inc. | 1,400 | 71 |
Avis Budget Group, Inc. | 2,959 | 64 |
Deere & Co. | 600 | 57 |
Carlisle Co., Inc. | 700 | 55 |
Raytheon Co. | 1,000 | 53 |
PACCAR, Inc. | 600 | 39 |
Pall Corp. | 800 | 28 |
Aramark Corp. Class B | 700 | 23 |
Donaldson Co., Inc. | 600 | 21 |
Pentair, Inc. | 500 | 16 |
|
| 34,299 |
Information Technology (8.0%) |
|
|
Microsoft Corp. | 208,200 | 6,217 |
* Cisco Systems, Inc. | 144,300 | 3,944 |
International Business Machines Corp. | 35,000 | 3,400 |
Hewlett-Packard Co. | 69,012 | 2,843 |
Intel Corp. | 116,900 | 2,367 |
* Apple Computer, Inc. | 21,100 | 1,790 |
* Google Inc. | 3,700 | 1,704 |
* Oracle Corp. | 94,900 | 1,627 |
QUALCOMM Inc. | 41,100 | 1,553 |
Motorola, Inc. | 64,506 | 1,326 |
Texas Instruments, Inc. | 41,900 | 1,207 |
* Dell Inc. | 37,700 | 946 |
Automatic Data Processing, Inc. | 17,100 | 842 |
* Corning, Inc. | 42,200 | 790 |
Applied Materials, Inc. | 42,700 | 788 |
* Yahoo! Inc. | 29,200 | 746 |
* eBay Inc. | 23,400 | 704 |
* Adobe Systems, Inc. | 17,000 | 699 |
* EMC Corp. | 51,900 | 685 |
* Symantec Corp. | 31,362 | 654 |
First Data Corp. | 21,814 | 557 |
|
| Market |
|
| Value• |
| Shares | ($000) |
Electronic Data Systems Corp. | 19,500 | 537 |
* NVIDIA Corp. | 13,800 | 511 |
* Network Appliance, Inc. | 12,912 | 507 |
Western Union Co. | 21,814 | 489 |
* Xerox Corp. | 27,700 | 470 |
* Sun Microsystems, Inc. | 85,000 | 461 |
* Electronic Arts Inc. | 9,043 | 455 |
Paychex, Inc. | 11,450 | 453 |
* Broadcom Corp. | 13,350 | 431 |
* Intuit, Inc. | 13,800 | 421 |
* Fiserv, Inc. | 8,025 | 421 |
* NCR Corp. | 8,936 | 382 |
* Autodesk, Inc. | 9,400 | 380 |
Analog Devices, Inc. | 11,434 | 376 |
KLA-Tencor Corp. | 7,500 | 373 |
* Lam Research Corp. | 7,000 | 354 |
National Semiconductor Corp. | 15,300 | 347 |
* Agilent Technologies, Inc. | 9,844 | 343 |
* Lexmark International, Inc. | 4,500 | 329 |
* BMC Software, Inc. | 10,100 | 325 |
Amphenol Corp. | 5,000 | 310 |
Maxim Integrated Products, Inc. | 10,100 | 309 |
* Advanced Micro Devices, Inc. | 15,000 | 305 |
* Computer Sciences Corp. | 5,700 | 304 |
* Iron Mountain, Inc. | 7,050 | 291 |
* Altera Corp. | 14,800 | 291 |
Microchip Technology, Inc. | 8,800 | 288 |
* Mettler-Toledo International Inc. | 3,500 | 276 |
Intersil Corp. | 11,200 | 268 |
Molex, Inc. | 8,466 | 268 |
* DST Systems, Inc. | 4,200 | 263 |
* Affiliated Computer Services, Inc. Class A | 5,300 | 259 |
* Arrow Electronics, Inc. | 8,100 | 256 |
CDW Corp. | 3,600 | 253 |
* Citrix Systems, Inc. | 9,200 | 249 |
Linear Technology Corp. | 8,200 | 249 |
* Ingram Micro, Inc. Class A | 12,100 | 247 |
* Comverse Technology, Inc. | 11,667 | 246 |
Tektronix, Inc. | 8,300 | 242 |
Global Payments Inc. | 5,200 | 241 |
Fair Isaac, Inc. | 5,800 | 236 |
* Tellabs, Inc. | 22,600 | 232 |
Symbol Technologies, Inc. | 15,000 | 224 |
Jabil Circuit, Inc. | 9,100 | 223 |
* Cadence Design Systems, Inc. | 12,400 | 222 |
* Compuware Corp. | 26,600 | 222 |
Fidelity National Information Services, Inc. | 5,500 | 220 |
* Avnet, Inc. | 8,500 | 217 |
Total System Services, Inc. | 6,900 | 182 |
* Ceridian Corp. | 6,400 | 179 |
AVX Corp. | 10,700 | 158 |
* Avaya Inc. | 11,300 | 158 |
CA, Inc. | 5,930 | 134 |
* LSI Logic Corp. | 14,400 | 130 |
6
Tax-Managed Balanced Fund
|
| Market |
|
| Value• |
| Shares | ($000) |
* Synopsys, Inc. | 4,800 | 128 |
* Teradyne, Inc. | 8,000 | 120 |
* Western Digital Corp. | 4,800 | 98 |
Harris Corp. | 2,100 | 96 |
Sabre Holdings Corp. | 2,540 | 81 |
* ADC Telecommunications, Inc. | 5,528 | 80 |
* Solectron Corp. | 24,600 | 79 |
* BEA Systems, Inc. | 6,100 | 77 |
* Convergys Corp. | 3,100 | 74 |
Xilinx, Inc. | 2,800 | 67 |
* Tech Data Corp. | 1,400 | 53 |
* Micron Technology, Inc. | 2,600 | 36 |
* Novellus Systems, Inc. | 1,000 | 34 |
* Sanmina-SCI Corp. | 4,908 | 17 |
* Unisys Corp. | 200 | 2 |
|
| 52,948 |
Materials (1.5%) |
|
|
E.I. du Pont de Nemours & Co. | 16,900 | 823 |
Phelps Dodge Corp. | 6,100 | 730 |
Praxair, Inc. | 10,500 | 623 |
Monsanto Co. | 11,708 | 615 |
Newmont Mining Corp. (Holding Co.) | 12,889 | 582 |
Nucor Corp. | 10,600 | 579 |
Dow Chemical Co. | 13,500 | 539 |
Alcoa Inc. | 14,588 | 438 |
Allegheny Technologies Inc. | 4,500 | 408 |
United States Steel Corp. | 5,500 | 402 |
Ecolab, Inc. | 7,900 | 357 |
Freeport-McMoRan Copper & Gold, Inc. Class B | 6,300 | 351 |
Sigma-Aldrich Corp. | 4,100 | 319 |
* Pactiv Corp. | 8,700 | 311 |
Sealed Air Corp. | 4,600 | 299 |
Martin Marietta Materials, Inc. | 2,700 | 281 |
Scotts Miracle-Gro Co. | 5,300 | 274 |
Steel Dynamics, Inc. | 8,000 | 260 |
Celanese Corp. Series A | 9,900 | 256 |
Lyondell Chemical Co. | 10,000 | 256 |
Reliance Steel & Aluminum Co. | 6,400 | 252 |
Airgas, Inc. | 6,000 | 243 |
Cytec Industries, Inc. | 4,100 | 232 |
* Owens-Illinois, Inc. | 9,800 | 181 |
Packaging Corp. of America | 7,300 | 161 |
* Smurfit-Stone Container Corp. | 7,388 | 78 |
Westlake Chemical Corp. | 1,700 | 53 |
Vulcan Materials Co. | 300 | 27 |
Ball Corp. | 500 | 22 |
Albemarle Corp. | 300 | 22 |
Ashland, Inc. | 300 | 21 |
Florida Rock Industries, Inc. | 300 | 13 |
|
| 10,008 |
|
| Market |
|
| Value• |
| Shares | ($000) |
Telecommunication Services (1.5%) |
|
|
AT&T Inc. | 73,544 | 2,629 |
Verizon Communications Inc. | 53,300 | 1,985 |
BellSouth Corp. | 41,300 | 1,946 |
Sprint Nextel Corp. | 49,177 | 929 |
* Qwest Communications International Inc. | 56,200 | 470 |
Embarq Corp. | 7,458 | 392 |
* Crown Castle International Corp. | 10,500 | 339 |
CenturyTel, Inc. | 7,175 | 313 |
* U.S. Cellular Corp. | 3,450 | 240 |
Alltel Corp. | 3,230 | 195 |
* SBA Communications Corp. | 6,600 | 181 |
Telephone & Data Systems, Inc. | 3,000 | 163 |
Telephone & Data Systems, Inc.– Special Common Shares | 3,000 | 149 |
Windstream Corp. | 7,139 | 102 |
Citizens Communications Co. | 937 | 13 |
|
| 10,046 |
Utilities (1.3%) |
|
|
PG&E Corp. | 12,200 | 577 |
* AES Corp. | 24,000 | 529 |
Edison International | 11,600 | 528 |
Exelon Corp. | 7,800 | 483 |
Duke Energy Corp. | 12,992 | 431 |
* Mirant Corp. | 13,654 | 431 |
* NRG Energy, Inc. | 6,700 | 375 |
Questar Corp. | 4,400 | 365 |
* Allegheny Energy, Inc. | 7,911 | 363 |
CenterPoint Energy Inc. | 20,000 | 332 |
Wisconsin Energy Corp. | 6,800 | 323 |
* Sierra Pacific Resources | 18,017 | 303 |
MDU Resources Group, Inc. | 11,650 | 299 |
* Reliant Energy, Inc. | 20,800 | 296 |
Equitable Resources, Inc. | 7,000 | 292 |
* CMS Energy Corp. | 16,901 | 282 |
* Dynegy, Inc. | 38,400 | 278 |
Energen Corp. | 5,900 | 277 |
NSTAR | 7,900 | 271 |
Northeast Utilities | 8,900 | 251 |
Southern Co. | 6,600 | 243 |
TXU Corp. | 4,400 | 239 |
Southern Union Co. | 8,400 | 235 |
Dominion Resources, Inc. | 2,590 | 217 |
Aqua America, Inc. | 9,100 | 207 |
SCANA Corp. | 1,400 | 57 |
FirstEnergy Corp. | 700 | 42 |
NiSource, Inc. | 1,077 | 26 |
|
| 8,552 |
Total Common Stocks |
|
|
(Cost $173,904) |
| 320,408 |
7
Tax-Managed Balanced Fund
| Face | Market |
| Amount | Value• |
| ($000) | ($000) |
Municipal Bonds (50.9%) |
|
|
Alaska (0.3%) |
|
|
Matanuska-Susitna |
|
|
Borough AK GO |
|
|
5.500%, 3/1/12 (3) | 1,695 | 1,809 |
|
|
|
Arizona (1.6%) |
|
|
Arizona Transp. Board |
|
|
Highway Rev. |
|
|
5.250%, 7/1/12 (Prere.) | 1,965 | 2,119 |
Arizona Transp. Board |
|
|
Highway Rev. |
|
|
5.250%, 7/1/17 | 2,215 | 2,375 |
Phoenix AZ Civic Improvement |
|
|
Corp. Water System Rev. |
|
|
5.500%, 7/1/15 (3) | 5,525 | 6,006 |
|
| 10,500 |
California (2.7%) |
|
|
California GO |
|
|
6.000%, 2/1/16 | 2,000 | 2,322 |
California Public Works Board |
|
|
Lease Rev. (Dept. of Corrections) |
|
|
5.000%, 9/1/11 (2) | 1,535 | 1,583 |
California State Dept. of Water |
|
|
Resources Power Supply Rev. |
|
|
5.500%, 5/1/14 (2) | 4,065 | 4,464 |
California State Dept. of Water |
|
|
Resources Power Supply Rev. |
|
|
5.500%, 5/1/15 (2) | 3,000 | 3,294 |
California State Econ. |
|
|
Recovery Bonds |
|
|
5.000%, 7/1/15 | 2,100 | 2,283 |
Los Angeles CA USD GO |
|
|
6.000%, 7/1/08 (3) | 1,000 | 1,036 |
Oakland CA Redev. Agency |
|
|
(Central Dist.) |
|
|
5.000%, 9/1/21 (2) | 3,000 | 3,213 |
|
| 18,195 |
Colorado (1.9%) |
|
|
Colorado Dept. of Transp. Rev. |
|
|
5.250%, 12/15/13 (2)(Prere.) | 3,750 | 4,109 |
Colorado Springs CO Util. |
|
|
System Rev. |
|
|
5.375%, 11/15/13 | 2,775 | 2,977 |
Univ. of Colorado Enterprise |
|
|
System Rev. |
|
|
5.000%, 6/1/23 (3) | 5,025 | 5,366 |
|
| 12,452 |
District of Columbia (0.8%) |
|
|
District of Columbia GO |
|
|
5.400%, 6/1/07 (2)(Prere.) | 455 | 467 |
District of Columbia GO |
|
|
5.500%, 6/1/07 (4) | 1,490 | 1,502 |
| Face | Market |
| Amount | Value• |
| ($000) | ($000) |
District of Columbia Univ. Rev. |
|
|
(George Washington Univ.) |
|
|
6.000%, 9/15/11 (1) | 3,000 | 3,203 |
|
| 5,172 |
Florida (1.2%) |
|
|
Florida Turnpike Auth. Rev. |
|
|
5.250%, 7/1/09 (3) | 485 | 501 |
Florida Turnpike Auth. Rev. |
|
|
5.250%, 7/1/10 (3) | 825 | 851 |
Seminole County FL |
|
|
Water & Sewer Rev. |
|
|
5.000%, 10/1/23 | 2,435 | 2,614 |
Seminole County FL |
|
|
Water & Sewer Rev. |
|
|
5.000%, 10/1/24 | 2,805 | 3,008 |
Tampa FL Health System Rev. |
|
|
(Catholic Healthcare East) |
|
|
5.000%, 11/15/09 (1) | 1,000 | 1,033 |
|
| 8,007 |
Georgia (1.7%) |
|
|
Atlanta GA Airport Fac. Rev. |
|
|
5.750%, 1/1/13 (3) | 3,370 | 3,574 |
Georgia GO |
|
|
5.500%, 7/1/14 | 4,000 | 4,476 |
Georgia Muni. Electric |
|
|
Power Auth. Rev. |
|
|
6.250%, 1/1/12 (1) | 3,000 | 3,347 |
|
| 11,397 |
Hawaii (0.8%) |
|
|
Hawaii GO |
|
|
5.875%, 10/1/10 (1)(Prere.) | 1,870 | 2,014 |
Hawaii GO |
|
|
5.000%, 10/1/24 (1) | 3,000 | 3,184 |
|
| 5,198 |
Illinois (1.4%) |
|
|
Chicago IL (City Colleges |
|
|
Improvement) GO |
|
|
0.000%, 1/1/12 (3) | 2,380 | 1,967 |
Illinois GO |
|
|
5.250%, 8/1/12 (1) | 3,700 | 3,985 |
Illinois Sales Tax Rev. |
|
|
0.000%, 12/15/16 (2) | 5,000 | 3,347 |
|
| 9,299 |
Indiana (0.7%) |
|
|
Indiana Muni. Power |
|
|
Agency Rev. |
|
|
5.250%, 1/1/15 (1) | 4,440 | 4,783 |
|
|
|
Louisiana (0.4%) |
|
|
Louisiana GO |
|
|
5.500%, 5/15/15 (3) | 2,665 | 2,831 |
|
|
|
Maryland (1.4%) |
|
|
Baltimore MD Consolidated |
|
|
Public Improvement GO |
|
|
5.000%, 10/15/17 (2) | 2,240 | 2,420 |
Tax-Managed Balanced Fund
| Face | Market |
| Amount | Value• |
| ($000) | ($000) |
Baltimore MD Consolidated |
|
|
Public Improvement GO |
|
|
5.000%, 10/15/18 (2) | 2,365 | 2,550 |
Baltimore MD Consolidated |
|
|
Public Improvement GO |
|
|
5.000%, 10/15/19 (2) | 2,185 | 2,351 |
Maryland GO |
|
|
5.500%, 8/1/08 | 2,250 | 2,317 |
|
| 9,638 |
Massachusetts (4.3%) |
|
|
Chelsea MA GO |
|
|
5.500%, 6/15/11 (2) | 740 | 766 |
Chelsea MA GO |
|
|
5.500%, 6/15/12 (2) | 735 | 761 |
Massachusetts Bay |
|
|
Transp. Auth. Rev. |
|
|
5.125%, 3/1/09 (Prere.) | 1,695 | 1,765 |
Massachusetts Bay |
|
|
Transp. Auth. Rev. |
|
|
5.000%, 7/1/22 | 5,000 | 5,555 |
Massachusetts Bay |
|
|
Transp. Auth. Rev. |
|
|
5.500%, 7/1/25 (1) | 2,045 | 2,420 |
Massachusetts Bay |
|
|
Transp. Auth. Rev. |
|
|
5.500%, 7/1/26 (1) | 3,500 | 4,159 |
Massachusetts GO |
|
|
5.500%, 11/1/13 (3) | 2,000 | 2,211 |
Massachusetts GO VRDO |
|
|
3.960%, 1/2/07 | 1,700 | 1,700 |
Massachusetts Health & Educ. |
|
|
Fac. Auth. Rev. (Caritas |
|
|
Christi Obligated Group) |
|
|
6.500%, 7/1/12 | 1,880 | 2,078 |
Massachusetts Health & Educ. |
|
|
Fac. Auth. Rev. |
|
|
(Northeastern Univ.) |
|
|
5.000%, 10/1/17 (1) | 1,000 | 1,029 |
Massachusetts Water Pollution |
|
|
Abatement Trust |
|
|
6.000%, 8/1/09 (Prere.) | 415 | 444 |
Massachusetts Water Pollution |
|
|
Abatement Trust |
|
|
6.000%, 8/1/10 | 1,365 | 1,454 |
Massachusetts Water |
|
|
Resources Auth. Rev. |
|
|
5.250%, 8/1/17 (4) | 3,000 | 3,359 |
Massachusetts Water |
|
|
Resources Auth. Rev. VRDO |
|
|
4.000%, 1/2/07 LOC | 500 | 500 |
|
| 28,201 |
Michigan (1.9%) |
|
|
Detroit MI City School Dist. GO |
|
|
5.000%, 5/1/11 (3) | 3,510 | 3,686 |
| Face | Market |
| Amount | Value• |
| ($000) | ($000) |
Mason MI Public School Dist. |
|
|
(School Building & Site) GO |
|
|
5.250%, 5/1/17 (4) | 1,850 | 2,018 |
Michigan Building Auth. Rev. |
|
|
5.300%, 10/1/07 (2)(Prere.) | 1,250 | 1,290 |
Michigan Building Auth. Rev. |
|
|
5.125%, 10/15/08 (Prere.) | 3,015 | 3,097 |
Michigan Muni. Bond Auth. Rev. |
|
|
(Clean Water Revolving Fund) |
|
|
5.875%, 10/1/10 (Prere.) | 2,110 | 2,291 |
|
| 12,382 |
Minnesota (0.6%) |
|
|
Minnesota GO |
|
|
5.000%, 11/1/09 | 3,685 | 3,826 |
|
|
|
Mississippi (0.8%) |
|
|
Mississippi GO |
|
|
5.500%, 12/1/18 | 2,750 | 3,149 |
Mississippi GO |
|
|
5.500%, 12/1/19 | 2,000 | 2,305 |
|
| 5,454 |
Missouri (1.8%) |
|
|
Curators of the Univ. of |
|
|
Missouri System Fac. Rev. |
|
|
5.000%, 11/1/26 | 4,410 | 4,715 |
Missouri Health & Educ. Fac. |
|
|
Auth. (Washington Univ.) |
|
|
6.000%, 3/1/10 (Prere.) | 4,000 | 4,307 |
Missouri Health & Educ. Fac. |
|
|
Auth. Health Fac. Rev. |
|
|
(St. Luke’s Episcopal– |
|
|
Presbyterian Hosp.) |
|
|
5.500%, 12/1/15 (4) | 2,965 | 3,177 |
|
| 12,199 |
Nebraska (0.1%) |
|
|
Nebraska Public Power Dist. Rev. |
|
|
5.250%, 1/1/08 (1)(Prere.) | 135 | 139 |
Nebraska Public Power Dist. Rev. |
|
|
5.250%, 1/1/08 (1)(Prere.) | 100 | 103 |
Nebraska Public Power Dist. Rev. |
|
|
5.250%, 1/1/08 (1)(Prere.) | 40 | 41 |
Nebraska Public Power Dist. Rev. |
|
|
5.250%, 1/1/10 (1) | 25 | 26 |
Nebraska Public Power Dist. Rev. |
|
|
5.250%, 1/1/11 (1) | 50 | 51 |
|
| 360 |
New Jersey (3.8%) |
|
|
New Jersey GO |
|
|
5.000%, 7/15/09 | 3,000 | 3,100 |
New Jersey Transp. Corp. COP |
|
|
5.500%, 9/15/11 (2) | 3,000 | 3,225 |
New Jersey Transp. |
|
|
Trust Fund Auth. Rev. |
|
|
6.000%, 6/15/07 (Prere.) | 250 | 258 |
9
Tax-Managed Balanced Fund
| Face | Market |
| Amount | Value• |
| ($000) | ($000) |
New Jersey Transp. |
|
|
Trust Fund Auth. Rev. |
|
|
5.000%, 6/15/08 (Prere.) | 1,555 | 1,587 |
New Jersey Transp. |
|
|
Trust Fund Auth. Rev. |
|
|
6.000%, 12/15/11 (1)(Prere.) | 625 | 691 |
New Jersey Transp. |
|
|
Trust Fund Auth. Rev. |
|
|
6.000%, 12/15/11 (1)(Prere.) | 330 | 365 |
New Jersey Transp. |
|
|
Trust Fund Auth. Rev. |
|
|
6.000%, 12/15/11 (1)(Prere.) | 1,440 | 1,592 |
New Jersey Transp. |
|
|
Trust Fund Auth. Rev. |
|
|
5.500%, 12/15/20 (3) | 4,000 | 4,642 |
New Jersey Turnpike Auth. Rev. |
|
|
5.500%, 1/1/25 (2) | 5,000 | 5,913 |
New Jersey Turnpike Auth. Rev. |
|
|
VRDO 3.880%, 1/8/07 (4) | 4,000 | 4,000 |
|
| 25,373 |
New York (4.0%) |
|
|
Erie County NY GO |
|
|
6.125%, 1/15/11 (3) | 610 | 666 |
Hempstead NY GO |
|
|
5.625%, 2/1/11 (3) | 685 | 693 |
Huntington NY GO |
|
|
6.700%, 2/1/10 (3) | 375 | 408 |
Long Island NY Power Auth. |
|
|
Electric System Rev. |
|
|
5.500%, 12/1/09 (2) | 2,000 | 2,103 |
Long Island NY Power Auth. |
|
|
Electric System Rev. |
|
|
5.500%, 12/1/11 (2) | 3,000 | 3,242 |
Long Island NY Power Auth. |
|
|
Electric System Rev. |
|
|
5.500%, 12/1/12 (4)(ETM) | 2,000 | 2,195 |
Metro. New York Transp. Auth. Rev. |
|
|
(Dedicated Petroleum Tax) |
|
|
6.125%, 4/1/10 (3)(Prere.) | 2,110 | 2,271 |
New York City NY Transitional |
|
|
Finance Auth. Rev. |
|
|
5.875%, 5/1/10 (Prere.) | 3,305 | 3,567 |
New York City NY Transitional |
|
|
Finance Auth. Rev. |
|
|
5.375%, 2/1/13 | 2,000 | 2,168 |
New York City NY Transitional |
|
|
Finance Auth. Rev. VRDO |
|
|
3.900%, 1/2/07 | 2,000 | 2,000 |
New York State Dormitory |
|
|
Auth. Rev. (State Univ.) |
|
|
5.375%, 5/15/07 (2) | 400 | 403 |
New York State Dormitory Auth. |
|
|
Rev. (Vassar Brothers Hosp.) |
|
|
5.100%, 7/1/10 (4) | 1,500 | 1,549 |
| Face | Market |
| Amount | Value• |
| ($000) | ($000) |
New York State Thruway Auth. |
|
|
Rev. (Service Contract) |
|
|
5.500%, 4/1/14 | 4,000 | 4,322 |
Suffolk County NY GO |
|
|
5.000%, 4/1/07 (3) | 1,120 | 1,124 |
|
| 26,711 |
North Carolina (1.3%) |
|
|
North Carolina Eastern Muni. |
|
|
Power Agency Rev. |
|
|
5.125%, 1/1/14 | 2,400 | 2,535 |
North Carolina GO |
|
|
5.000%, 6/1/09 | 3,500 | 3,616 |
North Carolina GO |
|
|
5.000%, 3/1/20 | 2,000 | 2,143 |
|
| 8,294 |
Ohio (4.3%) |
|
|
Butler County OH Transp. |
|
|
Improvement Dist. Rev. |
|
|
6.000%, 4/1/08 (4)(Prere.) | 2,250 | 2,360 |
Cleveland OH Public |
|
|
Power System Rev. |
|
|
5.000%, 11/15/20 (3) | 5,000 | 5,388 |
Franklin County OH Hosp. Rev. |
|
|
(OhioHealth Corp.) VRDO |
|
|
3.880%, 1/8/07 (2) | 1,560 | 1,560 |
Lorain County OH Hosp. Fac. Rev. |
|
|
(Catholic Healthcare Partners) |
|
|
5.625%, 9/1/13 (1) | 1,775 | 1,830 |
Ohio Common Schools GO VRDO |
|
|
3.950%, 1/8/07 | 400 | 400 |
Ohio GO |
|
|
5.500%, 2/1/19 | 2,000 | 2,308 |
Ohio Higher Educ. Fac. |
|
|
Comm. Rev. (Case Western |
|
|
Reserve Univ.) VRDO |
|
|
3.900%, 1/8/07 | 2,000 | 2,000 |
Ohio Higher Educ. GO |
|
|
5.000%, 2/1/25 | 1,160 | 1,234 |
Ohio State Conservation |
|
|
Projects GO |
|
|
5.000%, 3/1/17 | 3,885 | 4,162 |
Ohio Water Dev. Auth. PCR |
|
|
5.000%, 6/1/17 | 5,000 | 5,379 |
Ohio Water Dev. Auth. Rev. |
|
|
6.000%, 12/1/08 (2) | 35 | 35 |
Univ. of Akron OH General |
|
|
Receipts Rev. VRDO |
|
|
3.910%, 1/8/07 (3) | 2,100 | 2,100 |
|
| 28,756 |
Oklahoma (0.5%) |
|
|
Oklahoma State Capitol |
|
|
Improvement Auth. Fac. Rev. |
|
|
5.000%, 7/1/25 (2) | 3,000 | 3,197 |
10
Tax-Managed Balanced Fund
| Face | Market |
| Amount | Value• |
| ($000) | ($000) |
Oregon (0.4%) |
|
|
Oregon State Dept. |
|
|
Administrative Services |
|
|
5.750%, 4/1/09 (4)(Prere.) | 2,400 | 2,534 |
|
|
|
Pennsylvania (1.6%) |
|
|
Geisinger Health System Auth. |
|
|
of Pennsylvania Rev. |
|
|
(Penn State Geisinger |
|
|
Health System) VRDO |
|
|
3.980%, 1/2/07 | 1,650 | 1,650 |
Northampton County PA |
|
|
Higher Educ. Auth. Rev. |
|
|
(Lehigh Univ.) VRDO |
|
|
3.880%, 1/8/07 | 1,000 | 1,000 |
Pennsylvania Turnpike Comm. |
|
|
Oil Franchise Tax Rev. |
|
|
5.250%, 12/1/08 (2)(Prere.) | 115 | 120 |
Pennsylvania Turnpike Comm. |
|
|
Oil Franchise Tax Rev. |
|
|
5.250%, 12/1/09 (2)(ETM) | 420 | 437 |
Pennsylvania Turnpike Comm. |
|
|
Oil Franchise Tax Rev. |
|
|
5.250%, 12/1/09 (2) | 195 | 202 |
Pennsylvania Turnpike Comm. |
|
|
Oil Franchise Tax Rev. |
|
|
5.250%, 12/1/11 (2)(ETM) | 310 | 322 |
Pennsylvania Turnpike Comm. |
|
|
Oil Franchise Tax Rev. |
|
|
5.250%, 12/1/11 (2) | 30 | 31 |
Philadelphia PA Airport |
|
|
Parking Auth. |
|
|
5.750%, 9/1/08 (2) | 1,150 | 1,188 |
Philadelphia PA Hosp. & |
|
|
Higher Educ. Fac. Auth. |
|
|
Rev. (Children’s Hosp. |
|
|
of Philadelphia) VRDO |
|
|
3.990%, 1/2/07 | 900 | 900 |
Philadelphia PA School Dist. GO |
|
|
5.000%, 8/1/20 (2) | 3,500 | 3,734 |
Philadelphia PA Water & |
|
|
Waste Water Rev. |
|
|
6.250%, 8/1/09 (1) | 1,000 | 1,064 |
Southcentral Pennsylvania |
|
|
General Auth. Rev. |
|
|
(Wellspan Health) VRDO |
|
|
3.890%, 1/8/07 (2) | 240 | 240 |
|
| 10,888 |
Puerto Rico (1.0%) |
|
|
Puerto Rico Public Buildings |
|
|
Auth. Govt. Fac. Rev. |
|
|
5.250%, 7/1/14 (3) | 2,425 | 2,669 |
Puerto Rico Public |
|
|
Finance Corp. |
|
|
6.000%, 8/1/26 (4) | 3,000 | 3,776 |
|
| 6,445 |
| Face | Market |
| Amount | Value• |
| ($000) | ($000) |
South Carolina (2.0%) |
|
|
Charleston SC Educ. Excellence |
|
|
Financing Corp. Rev. |
|
|
5.250%, 12/1/26 | 2,610 | 2,806 |
Piedmont SC Muni. |
|
|
Power Agency Rev. |
|
|
0.000%, 1/1/24 (3) | 4,000 | 1,905 |
South Carolina GO |
|
|
5.000%, 7/1/08 | 2,250 | 2,298 |
South Carolina Transp. |
|
|
Infrastructure Rev. |
|
|
5.250%, 10/1/13 (2) | 5,700 | 6,215 |
|
| 13,224 |
Tennessee (1.9%) |
|
|
Memphis TN Electric |
|
|
System Rev. |
|
|
5.000%, 12/1/10 (1) | 2,300 | 2,412 |
Metro. Govt. of Nashville & |
|
|
Davidson County TN |
|
|
Water & Sewer Rev. |
|
|
6.500%, 1/1/09 (3) | 2,000 | 2,109 |
Tennessee Energy Acquisition |
|
|
Corp. Gas Rev. |
|
|
5.000%, 9/1/16 | 7,500 | 8,094 |
|
| 12,615 |
Texas (3.9%) |
|
|
Austin TX Water & Wastewater |
|
|
System Rev. |
|
|
5.750%, 5/15/10 (1)(Prere.) | 2,200 | 2,343 |
Brazos River TX Harbor |
|
|
Navigation Dist. Brazoria County Environmental |
|
|
(Dow Chemical Co. Project) |
|
|
PUT 5.200%, 5/15/08 | 800 | 814 |
Carrollton TX Independent |
|
|
School Dist. GO |
|
|
6.000%, 2/15/09 (Prere.) | 2,925 | 3,069 |
Dallas TX Civic Center |
|
|
Refunding & Improvement Rev. |
|
|
4.600%, 8/15/09 (1) | 110 | 113 |
Dallas TX Civic Center |
|
|
Refunding & Improvement Rev. |
|
|
4.700%, 8/15/10 (1) | 815 | 835 |
Houston TX Water & |
|
|
Sewer System Rev. |
|
|
0.000%, 12/1/08 (2) | 2,750 | 2,561 |
Lubbock TX Health Fac. Dev. |
|
|
Corp. Rev. (St. Joseph’s |
|
|
Health System) |
|
|
5.000%, 7/1/08 (4) | 1,645 | 1,677 |
San Antonio TX Electric & Gas Rev. |
|
|
5.125%, 2/1/09 | 1,000 | 1,029 |
San Antonio TX Electric & Gas Rev. |
|
|
5.000%, 2/1/21 | 3,405 | 3,641 |
San Antonio TX Muni. |
|
|
Drain Util. System Rev.5.250%, 2/1/27 (1) | 3,635 | 3,925 |
11
Tax-Managed Balanced Fund
| Face | Market |
| Amount | Value• |
| ($000) | ($000) |
San Antonio TX Water Rev. |
|
|
6.500%, 5/15/10 (1)(ETM) | 75 | 80 |
Texas Muni. Power Agency Rev. |
|
|
0.000%, 9/1/10 (2)(ETM) | 160 | 140 |
Univ. of Texas Permanent |
|
|
Univ. Fund Rev. |
|
|
5.250%, 8/15/18 | 4,900 | 5,504 |
|
| 25,731 |
Utah (0.7%) |
|
|
Salt Lake County UT Building |
|
|
Auth. Lease Rev. |
|
|
5.500%, 10/1/09 (Prere.) | 4,340 | 4,559 |
|
|
|
Washington (0.7%) |
|
|
Port of Seattle WA Rev. |
|
|
5.000%, 3/1/20 (1) | 3,000 | 3,203 |
Washington GO |
|
|
6.000%, 6/1/12 | 1,000 | 1,110 |
|
| 4,313 |
Wisconsin (0.4%) |
|
|
Wisconsin GO |
|
|
5.750%, 5/1/11 (Prere.) | 1,355 | 1,468 |
Wisconsin GO |
|
|
5.750%, 5/1/11 (Prere.) | 1,340 | 1,451 |
|
| 2,919 |
Total Municipal Bonds |
|
|
(Cost $329,846) |
| 337,262 |
Total Investments (99.3%) |
|
|
(Cost $503,750) |
| 657,670 |
Other Assets and Liabilities (0.7%) |
|
|
Other Assets—Note B |
| 5,835 |
Liabilities |
| (1,345) |
|
| 4,490 |
Net Assets (100%) |
|
|
Applicable to 33,069,087 outstanding $.001 |
|
|
par value shares of beneficial interest |
|
|
(unlimited authorization) |
| 662,160 |
Net Asset Value Per Share |
| $20.02 |
At December 31, 2006, net assets consisted of:1 | ||
| Amount | Per |
| ($000) | Share |
Paid-in Capital | 536,847 | $16.24 |
Overdistributed Net |
|
|
Investment Income | (837) | (.03) |
Accumulated Net |
|
|
Realized Losses | (27,770) | (.84) |
Unrealized Appreciation | 153,920 | 4.65 |
Net Assets | 662,160 | $20.02 |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 See Note D in Notes to Financial Statements for the tax-basis components of net assets.
REIT—Real Estate Investment Trust.
12
Key to Abbreviations
ARS—Auction Rate Security. |
BAN—Bond Anticipation Note. |
COP—Certificate of Participation. |
CP—Commercial Paper. |
FR—Floating Rate. |
GAN—Grant Anticipation Note. |
GO—General Obligation Bond. |
IDA—Industrial Development Authority Bond. |
IDR—Industrial Development Revenue Bond. |
PCR—Pollution Control Revenue Bond. |
PUT—Put Option Obligation. |
RAN—Revenue Anticipation Note. |
TAN—Tax Anticipation Note. |
TOB—Tender Option Bond. |
TRAN—Tax Revenue Anticipation Note. |
UFSD—Union Free School District. |
USD—United School District. |
VRDO—Variable Rate Demand Obligation. |
(ETM)—Escrowed to Maturity. |
(Prere.)—Prerefunded. |
Scheduled principal and interest payments are guaranteed by: |
(1) MBIA (Municipal Bond Insurance Association). |
(2) AMBAC (Ambac Assurance Corporation). |
(3) FGIC (Financial Guaranty Insurance Company). |
(4) FSA (Financial Security Assurance). |
(5) BIGI (Bond Investors Guaranty Insurance). |
(6) Connie Lee Inc. |
(7) FHA (Federal Housing Authority). |
(8) CapMAC (Capital Markets Assurance Corporation). |
(9) American Capital Access Financial Guaranty Corporation. |
(10) XL Capital Assurance Inc. |
(11) CIFG (CDC IXIS Financial Guaranty). |
The insurance does not guarantee the market value of the municipal bonds. |
LOC—Scheduled principal and interest payments are guaranteed by bank letter of credit.
13
Tax-Managed Growth and Income Fund
|
| Market |
|
| Value• |
| Shares | ($000) |
Common Stocks (99.9%) |
|
|
Consumer Discretionary (10.6%) |
|
|
* Comcast Corp. Class A | 504,595 | 21,360 |
Time Warner, Inc. | 974,020 | 21,214 |
Home Depot, Inc. | 497,906 | 19,996 |
The Walt Disney Co. | 504,612 | 17,293 |
McDonald’s Corp. | 301,758 | 13,377 |
News Corp., Class A | 570,857 | 12,262 |
Target Corp. | 209,536 | 11,954 |
Lowe’s Cos., Inc. | 371,488 | 11,572 |
* Viacom Inc. Class B | 168,728 | 6,923 |
* Starbucks Corp. | 184,476 | 6,534 |
CBS Corp. | 188,828 | 5,888 |
The McGraw-Hill Cos., Inc. | 86,479 | 5,882 |
* Kohl’s Corp. | 79,871 | 5,466 |
Carnival Corp. | 108,567 | 5,325 |
Federated Department Stores, Inc. | 128,054 | 4,883 |
Best Buy Co., Inc. | 98,318 | 4,836 |
Staples, Inc. | 176,040 | 4,700 |
* DIRECTV Group, Inc. | 188,100 | 4,691 |
NIKE, Inc. Class B | 45,986 | 4,554 |
Harley-Davidson, Inc. | 63,127 | 4,449 |
Omnicom Group Inc. | 41,661 | 4,355 |
Clear Channel Communications, Inc. | 120,468 | 4,281 |
J.C. Penney Co., Inc. (Holding Co.) | 54,975 | 4,253 |
General Motors Corp. | 138,016 | 4,240 |
Johnson Controls, Inc. | 47,809 | 4,108 |
Marriott International, Inc. Class A | 81,876 | 3,907 |
* Coach, Inc. | 89,709 | 3,854 |
International Game Technology | 82,878 | 3,829 |
Yum! Brands, Inc. | 64,630 | 3,800 |
Harrah’s Entertainment, Inc. | 45,307 | 3,748 |
Ford Motor Co. | 460,694 | 3,460 |
Gannett Co., Inc. | 57,125 | 3,454 |
* Sears Holdings Corp. | 20,372 | 3,421 |
Hilton Hotels Corp. | 94,296 | 3,291 |
Starwood Hotels & Resorts Worldwide, Inc. | 51,608 | 3,225 |
TJX Cos., Inc. | 111,068 | 3,168 |
Fortune Brands, Inc. | 37,020 | 3,161 |
* Amazon.com, Inc. | 75,421 | 2,976 |
Nordstrom, Inc. | 55,736 | 2,750 |
* Bed Bath & Beyond, Inc. | 69,014 | 2,629 |
* Office Depot, Inc. | 67,897 | 2,592 |
The Gap, Inc. | 128,410 | 2,504 |
Limited Brands, Inc. | 83,468 | 2,416 |
* Univision Communications Inc. | 61,617 | 2,182 |
Mattel, Inc. | 93,115 | 2,110 |
* IAC/InterActiveCorp | 54,263 | 2,016 |
Genuine Parts Co. | 41,618 | 1,974 |
Newell Rubbermaid, Inc. | 67,709 | 1,960 |
H & R Block, Inc. | 78,698 | 1,813 |
|
| Market |
|
| Value• |
| Shares | ($000) |
Eastman Kodak Co. | 70,116 | 1,809 |
VF Corp. | 21,902 | 1,798 |
D. R. Horton, Inc. | 67,315 | 1,783 |
Lennar Corp. Class A | 33,669 | 1,766 |
Sherwin-Williams Co. | 27,234 | 1,732 |
Pulte Homes, Inc. | 51,424 | 1,703 |
Centex Corp. | 28,906 | 1,627 |
Harman International Industries, Inc. | 15,881 | 1,587 |
Whirlpool Corp. | 19,092 | 1,585 |
* Wyndham Worldwide Corp. | 48,396 | 1,550 |
Darden Restaurants Inc. | 35,911 | 1,443 |
Tribune Co. | 46,548 | 1,433 |
* AutoZone Inc. | 12,282 | 1,419 |
Black & Decker Corp. | 16,586 | 1,326 |
* Apollo Group, Inc. Class A | 33,977 | 1,324 |
* Interpublic Group of Cos., Inc. | 107,681 | 1,318 |
Tiffany & Co. | 32,983 | 1,294 |
Dollar General Corp. | 76,143 | 1,223 |
Family Dollar Stores, Inc. | 36,976 | 1,085 |
Liz Claiborne, Inc. | 24,838 | 1,079 |
Hasbro, Inc. | 38,705 | 1,055 |
Leggett & Platt, Inc. | 43,581 | 1,042 |
E.W. Scripps Co. Class A | 20,261 | 1,012 |
The Stanley Works | 19,766 | 994 |
KB Home | 19,222 | 986 |
OfficeMax, Inc. | 18,230 | 905 |
* Goodyear Tire & Rubber Co. | 43,016 | 903 |
Jones Apparel Group, Inc. | 26,840 | 897 |
New York Times Co. Class A | 35,102 | 855 |
* AutoNation, Inc. | 36,449 | 777 |
Wendy’s International, Inc. | 23,311 | 771 |
Brunswick Corp. | 22,566 | 720 |
Snap-On Inc. | 14,067 | 670 |
Circuit City Stores, Inc. | 34,500 | 655 |
* Big Lots Inc. | 26,652 | 611 |
Dow Jones & Co., Inc. | 15,918 | 605 |
RadioShack Corp. | 33,156 | 556 |
Meredith Corp. | 9,525 | 537 |
Dillard’s Inc. | 15,006 | 525 |
* Comcast Corp. Special Class A | 3,155 | 132 |
* Viacom Inc. Class A | 1,900 | 78 |
CBS Corp. Class A | 1,900 | 59 |
News Corp., Class B | 200 | 4 |
|
| 329,869 |
Consumer Staples (9.2%) |
|
|
The Procter & Gamble Co. | 773,051 | 49,684 |
Altria Group, Inc. | 511,375 | 43,886 |
Wal-Mart Stores, Inc. | 599,915 | 27,704 |
PepsiCo, Inc. | 400,634 | 25,060 |
The Coca-Cola Co. | 497,517 | 24,005 |
Walgreen Co. | 244,794 | 11,234 |
Anheuser-Busch Cos., Inc. | 187,617 | 9,231 |
Colgate-Palmolive Co. | 125,548 | 8,191 |
Kimberly-Clark Corp. | 111,902 | 7,604 |
CVS Corp. | 200,935 | 6,211 |
14
Tax-Managed Growth and Income Fund
|
| Market |
|
| Value• |
| Shares | ($000) |
Costco Wholesale Corp. | 111,702 | 5,906 |
Sysco Corp. | 150,855 | 5,545 |
Archer-Daniels-Midland Co. | 160,414 | 5,127 |
General Mills, Inc. | 83,655 | 4,819 |
The Kroger Co. | 174,947 | 4,036 |
Safeway, Inc. | 108,175 | 3,739 |
H.J. Heinz Co. | 80,323 | 3,615 |
Avon Products, Inc. | 108,421 | 3,582 |
ConAgra Foods, Inc. | 124,157 | 3,352 |
Sara Lee Corp. | 182,058 | 3,100 |
Kellogg Co. | 61,073 | 3,057 |
Reynolds American Inc. | 41,800 | 2,737 |
The Clorox Co. | 37,058 | 2,377 |
UST, Inc. | 39,181 | 2,280 |
Wm. Wrigley Jr. Co. | 42,794 | 2,213 |
The Hershey Co. | 42,335 | 2,108 |
Campbell Soup Co. | 53,022 | 2,062 |
SuperValu Inc. | 50,146 | 1,793 |
Whole Foods Market, Inc. | 34,956 | 1,640 |
* Constellation Brands, Inc. Class A | 51,375 | 1,491 |
Coca-Cola Enterprises, Inc. | 67,660 | 1,382 |
* Dean Foods Co. | 32,600 | 1,378 |
The Estee Lauder Cos. Inc. Class A | 31,037 | 1,267 |
Brown-Forman Corp. Class B | 19,104 | 1,265 |
McCormick & Co., Inc. | 31,940 | 1,232 |
The Pepsi Bottling Group, Inc. | 33,197 | 1,026 |
Tyson Foods, Inc. | 61,232 | 1,007 |
Molson Coors Brewing Co. Class B | 11,125 | 850 |
Wm. Wrigley Jr. Co. Class B | 10,623 | 546 |
|
| 287,342 |
Energy (9.8%) |
|
|
ExxonMobil Corp. | 1,422,911 | 109,038 |
Chevron Corp. | 531,868 | 39,108 |
ConocoPhillips Co. | 401,527 | 28,890 |
Schlumberger Ltd. | 287,482 | 18,157 |
Occidental Petroleum Corp. | 210,180 | 10,263 |
Marathon Oil Corp. | 85,839 | 7,940 |
Halliburton Co. | 245,328 | 7,617 |
Valero Energy Corp. | 147,560 | 7,549 |
Devon Energy Corp. | 107,906 | 7,238 |
Baker Hughes, Inc. | 78,310 | 5,847 |
* Transocean Inc. | 71,339 | 5,771 |
Apache Corp. | 80,370 | 5,345 |
Anadarko Petroleum Corp. | 112,186 | 4,882 |
XTO Energy, Inc. | 89,351 | 4,204 |
Williams Cos., Inc. | 145,535 | 3,801 |
EOG Resources, Inc. | 59,461 | 3,713 |
* Weatherford International Ltd. | 82,836 | 3,462 |
Hess Corp. | 66,051 | 3,274 |
Chesapeake Energy Corp. | 101,516 | 2,949 |
Kinder Morgan, Inc. | 26,100 | 2,760 |
El Paso Corp. | 172,120 | 2,630 |
* National Oilwell Varco Inc. | 42,722 | 2,614 |
|
| Market |
|
| Value• |
| Shares | ($000) |
Peabody Energy Corp. | 64,180 | 2,594 |
Noble Corp. | 33,024 | 2,515 |
Murphy Oil Corp. | 45,631 | 2,320 |
* Nabors Industries, Inc. | 73,002 | 2,174 |
BJ Services Co. | 71,460 | 2,095 |
Smith International, Inc. | 48,585 | 1,995 |
Sunoco, Inc. | 30,088 | 1,876 |
CONSOL Energy, Inc. | 44,619 | 1,434 |
Rowan Cos., Inc. | 27,086 | 899 |
|
| 304,954 |
Financials (22.3%) |
|
|
Citigroup, Inc. | 1,198,784 | 66,772 |
Bank of America Corp. | 1,095,610 | 58,495 |
American International Group, Inc. | 634,304 | 45,454 |
JPMorgan Chase & Co. | 846,312 | 40,877 |
Wells Fargo & Co. | 823,586 | 29,287 |
Wachovia Corp. | 464,997 | 26,482 |
Morgan Stanley | 258,314 | 21,035 |
The Goldman Sachs Group, Inc. | 103,886 | 20,710 |
Merrill Lynch & Co., Inc. | 215,687 | 20,080 |
American Express Co. | 293,972 | 17,835 |
U.S. Bancorp | 428,876 | 15,521 |
Fannie Mae | 237,925 | 14,130 |
Freddie Mac | 169,082 | 11,481 |
MetLife, Inc. | 185,496 | 10,946 |
Washington Mutual, Inc. | 230,684 | 10,494 |
Lehman Brothers Holdings, Inc. | 129,396 | 10,108 |
Prudential Financial, Inc. | 116,368 | 9,991 |
The Allstate Corp. | 152,482 | 9,928 |
The St. Paul Travelers, Cos. Inc. | 168,346 | 9,038 |
Capital One Financial Corp. | 99,586 | 7,650 |
The Bank of New York Co., Inc. | 186,460 | 7,341 |
SunTrust Banks, Inc. | 86,299 | 7,288 |
The Hartford Financial Services Group Inc. | 77,340 | 7,217 |
Regions Financial Corp. | 177,913 | 6,654 |
Countrywide Financial Corp. | 151,559 | 6,434 |
BB&T Corp. | 132,048 | 5,801 |
National City Corp. | 154,097 | 5,634 |
Fifth Third Bancorp | 136,239 | 5,576 |
AFLAC Inc. | 120,649 | 5,550 |
Simon Property Group, Inc. REIT | 54,077 | 5,477 |
State Street Corp. | 81,060 | 5,467 |
The Chubb Corp. | 100,517 | 5,318 |
PNC Financial Services Group | 71,743 | 5,312 |
SLM Corp. | 99,804 | 4,867 |
Charles Schwab Corp. | 249,414 | 4,824 |
ACE Ltd. | 79,455 | 4,813 |
Bear Stearns Co., Inc. | 28,601 | 4,656 |
Lincoln National Corp. | 70,115 | 4,656 |
15
Tax-Managed Growth and Income Fund
|
| Market |
|
| Value• |
| Shares | ($000) |
Loews Corp. | 111,564 | 4,627 |
Progressive Corp. of Ohio | 185,716 | 4,498 |
Franklin Resources Corp. | 40,726 | 4,487 |
The Chicago Mercantile Exchange | 8,489 | 4,327 |
Mellon Financial Corp. | 100,512 | 4,237 |
Equity Office Properties Trust REIT | 85,815 | 4,134 |
Marsh & McLennan Cos., Inc. | 134,530 | 4,125 |
Moody’s Corp. | 57,260 | 3,954 |
The Principal Financial Group, Inc. | 65,818 | 3,864 |
Vornado Realty Trust REIT | 31,522 | 3,830 |
KeyCorp | 98,022 | 3,728 |
Genworth Financial Inc. | 108,026 | 3,696 |
ProLogis REIT | 60,353 | 3,668 |
Equity Residential REIT | 71,260 | 3,616 |
Ameriprise Financial, Inc. | 58,942 | 3,212 |
Boston Properties, Inc. REIT | 28,503 | 3,189 |
XL Capital Ltd. Class A | 44,120 | 3,178 |
Archstone-Smith Trust REIT | 53,299 | 3,103 |
Legg Mason Inc. | 32,067 | 3,048 |
Marshall & Ilsley Corp. | 62,308 | 2,998 |
Public Storage, Inc. REIT | 29,953 | 2,920 |
T. Rowe Price Group Inc. | 64,380 | 2,818 |
Northern Trust Corp. | 45,648 | 2,770 |
CIT Group Inc. | 48,382 | 2,698 |
Aon Corp. | 75,494 | 2,668 |
Kimco Realty Corp. REIT | 55,149 | 2,479 |
Synovus Financial Corp. | 79,072 | 2,438 |
MBIA, Inc. | 32,785 | 2,395 |
* E*TRADE Financial Corp. | 104,101 | 2,334 |
M & T Bank Corp. | 18,920 | 2,311 |
Ambac Financial Group, Inc. | 25,900 | 2,307 |
Comerica, Inc. | 38,713 | 2,272 |
Sovereign Bancorp, Inc. | 87,358 | 2,218 |
Zions Bancorp | 26,029 | 2,146 |
Cincinnati Financial Corp. | 42,195 | 1,912 |
Compass Bancshares Inc. | 31,546 | 1,882 |
UnumProvident Corp. | 83,320 | 1,731 |
Plum Creek Timber Co. Inc. REIT | 43,135 | 1,719 |
Commerce Bancorp, Inc. | 45,771 | 1,614 |
Safeco Corp. | 25,620 | 1,603 |
* Realogy Corp. | 52,370 | 1,588 |
Torchmark Corp. | 23,846 | 1,520 |
* CB Richard Ellis Group, Inc. | 45,121 | 1,498 |
Huntington Bancshares Inc. | 57,928 | 1,376 |
Apartment Investment & Management Co. Class A REIT | 23,500 | 1,316 |
MGIC Investment Corp. | 20,242 | 1,266 |
First Horizon National Corp. | 30,280 | 1,265 |
Janus Capital Group Inc. | 48,325 | 1,043 |
Federated Investors, Inc. | 21,895 | 740 |
|
| 691,565 |
|
| Market |
|
| Value• |
| Shares | ($000) |
Health Care (12.0%) |
|
|
Johnson & Johnson | 707,397 | 46,702 |
Pfizer Inc. | 1,759,022 | 45,559 |
Merck & Co., Inc. | 529,627 | 23,092 |
* Amgen, Inc. | 284,593 | 19,441 |
Abbott Laboratories | 374,457 | 18,240 |
UnitedHealth Group Inc. | 328,621 | 17,657 |
Wyeth | 328,617 | 16,733 |
Medtronic, Inc. | 280,874 | 15,030 |
Bristol-Myers Squibb Co. | 479,864 | 12,630 |
Eli Lilly & Co. | 240,247 | 12,517 |
* WellPoint Inc. | 151,288 | 11,905 |
Schering-Plough Corp. | 361,679 | 8,550 |
Baxter International, Inc. | 159,708 | 7,409 |
* Gilead Sciences, Inc. | 112,230 | 7,287 |
Cardinal Health, Inc. | 98,859 | 6,369 |
Caremark Rx, Inc. | 104,071 | 5,943 |
Aetna Inc. | 127,248 | 5,495 |
* Celgene Corp. | 90,900 | 5,229 |
* Boston Scientific Corp. | 287,734 | 4,943 |
* Zimmer Holdings, Inc. | 58,128 | 4,556 |
* Thermo Fisher Scientific, Inc. | 99,563 | 4,509 |
Allergan, Inc. | 37,449 | 4,484 |
Becton, Dickinson & Co. | 60,052 | 4,213 |
* Biogen Idec Inc. | 82,175 | 4,042 |
Stryker Corp. | 72,500 | 3,995 |
* Genzyme Corp. | 64,220 | 3,955 |
* Forest Laboratories, Inc. | 77,217 | 3,907 |
* Medco Health Solutions, Inc. | 71,601 | 3,826 |
McKesson Corp. | 72,105 | 3,656 |
CIGNA Corp. | 24,970 | 3,285 |
* St. Jude Medical, Inc. | 86,005 | 3,144 |
Biomet, Inc. | 59,566 | 2,458 |
* Express Scripts Inc. | 32,944 | 2,359 |
* Humana Inc. | 40,559 | 2,243 |
* Laboratory Corp. of America Holdings | 30,500 | 2,241 |
AmerisourceBergen Corp. | 46,772 | 2,103 |
C.R. Bard, Inc. | 25,214 | 2,092 |
Quest Diagnostics, Inc. | 38,954 | 2,065 |
* Coventry Health Care Inc. | 38,780 | 1,941 |
* MedImmune Inc. | 58,396 | 1,890 |
Applera Corp.– Applied Biosystems Group | 44,747 | 1,642 |
IMS Health, Inc. | 48,304 | 1,327 |
* Barr Pharmaceuticals Inc. | 26,022 | 1,304 |
* Hospira, Inc. | 37,994 | 1,276 |
Health Management Associates Class A | 58,557 | 1,236 |
* Waters Corp. | 24,658 | 1,208 |
* Patterson Cos. | 33,740 | 1,198 |
Mylan Laboratories, Inc. | 51,419 | 1,026 |
* King Pharmaceuticals, Inc. | 59,332 | 945 |
* Millipore Corp. | 12,974 | 864 |
Manor Care, Inc. | 18,094 | 849 |
* Tenet Healthcare Corp. | 115,017 | 802 |
Bausch & Lomb, Inc. | 13,062 | 680 |
16
Tax-Managed Growth and Income Fund
|
| Market |
|
| Value• |
| Shares | ($000) |
PerkinElmer, Inc. | 29,937 | 666 |
* Watson Pharmaceuticals, Inc. | 25,077 | 653 |
|
| 373,371 |
Industrials (10.8%) |
|
|
General Electric Co. | 2,514,748 | 93,574 |
United Parcel Service, Inc. | 261,957 | 19,642 |
The Boeing Co. | 192,923 | 17,139 |
United Technologies Corp. | 244,925 | 15,313 |
Tyco International Ltd. | 485,265 | 14,752 |
3M Co. | 179,663 | 14,001 |
Caterpillar, Inc. | 158,783 | 9,738 |
Honeywell International Inc. | 199,214 | 9,012 |
Emerson Electric Co. | 195,760 | 8,631 |
FedEx Corp. | 74,897 | 8,135 |
Lockheed Martin Corp. | 86,914 | 8,002 |
General Dynamics Corp. | 98,792 | 7,345 |
Burlington Northern Santa Fe Corp. | 87,686 | 6,472 |
Union Pacific Corp. | 65,860 | 6,060 |
Raytheon Co. | 108,355 | 5,721 |
Northrop Grumman Corp. | 84,272 | 5,705 |
Deere & Co. | 56,350 | 5,357 |
Norfolk Southern Corp. | 96,724 | 4,864 |
Waste Management, Inc. | 130,430 | 4,796 |
Illinois Tool Works, Inc. | 102,432 | 4,731 |
Danaher Corp. | 57,900 | 4,194 |
PACCAR, Inc. | 60,633 | 3,935 |
CSX Corp. | 106,046 | 3,651 |
Southwest Airlines Co. | 193,186 | 2,960 |
Ingersoll-Rand Co. | 74,767 | 2,926 |
Textron, Inc. | 30,704 | 2,879 |
Masco Corp. | 96,119 | 2,871 |
Eaton Corp. | 36,301 | 2,728 |
Rockwell Collins, Inc. | 40,692 | 2,575 |
ITT Industries, Inc. | 45,002 | 2,557 |
Rockwell Automation, Inc. | 41,433 | 2,531 |
Pitney Bowes, Inc. | 54,001 | 2,494 |
L-3 Communications Holdings, Inc. | 30,477 | 2,492 |
Dover Corp. | 49,906 | 2,446 |
Parker Hannifin Corp. | 28,747 | 2,210 |
Cooper Industries, Inc. Class A | 22,283 | 2,015 |
American Standard Cos., Inc. | 42,279 | 1,938 |
R.R. Donnelley & Sons Co. | 52,908 | 1,880 |
Fluor Corp. | 21,454 | 1,752 |
* Terex Corp. | 24,794 | 1,601 |
Avery Dennison Corp. | 23,091 | 1,569 |
Cummins Inc. | 12,821 | 1,515 |
Robert Half International, Inc. | 40,801 | 1,514 |
* Monster Worldwide Inc. | 31,382 | 1,464 |
Goodrich Corp. | 30,448 | 1,387 |
Cintas Corp. | 33,102 | 1,314 |
American Power Conversion Corp. | 41,130 | 1,258 |
W.W. Grainger, Inc. | 17,783 | 1,244 |
Equifax, Inc. | 30,487 | 1,238 |
|
| Market |
|
| Value• |
| Shares | ($000) |
Pall Corp. | 29,795 | 1,029 |
* Allied Waste Industries, Inc. | 62,018 | 762 |
Ryder System, Inc. | 14,804 | 756 |
* Raytheon Co. Warrants Exp. 6/16/2011 | 2,287 | 41 |
|
| 336,716 |
Information Technology (15.1%) |
|
|
Microsoft Corp. | 2,110,466 | 63,019 |
* Cisco Systems, Inc. | 1,481,492 | 40,489 |
International Business Machines Corp. | 367,484 | 35,701 |
Intel Corp. | 1,406,655 | 28,485 |
Hewlett-Packard Co. | 668,214 | 27,524 |
* Google Inc. | 52,283 | 24,075 |
* Apple Computer, Inc. | 207,489 | 17,603 |
* Oracle Corp. | 975,985 | 16,728 |
QUALCOMM Inc. | 403,212 | 15,237 |
* Dell Inc. | 554,198 | 13,905 |
Motorola, Inc. | 589,809 | 12,126 |
Texas Instruments, Inc. | 362,052 | 10,427 |
* eBay Inc. | 282,300 | 8,489 |
* Yahoo! Inc. | 298,700 | 7,629 |
* Corning, Inc. | 381,683 | 7,141 |
* EMC Corp. | 537,301 | 7,092 |
Automatic Data Processing, Inc. | 134,211 | 6,610 |
Applied Materials, Inc. | 338,855 | 6,252 |
* Adobe Systems, Inc. | 142,390 | 5,855 |
* Symantec Corp. | 228,855 | 4,772 |
First Data Corp. | 186,822 | 4,768 |
* Sun Microsystems, Inc. | 858,631 | 4,654 |
Western Union Co. | 187,022 | 4,193 |
* Xerox Corp. | 235,386 | 3,990 |
* Electronic Arts Inc. | 75,355 | 3,795 |
* Broadcom Corp. | 114,445 | 3,698 |
* Network Appliance, Inc. | 91,218 | 3,583 |
* Agilent Technologies, Inc. | 99,747 | 3,476 |
Electronic Data Systems Corp. | 126,148 | 3,475 |
Paychex, Inc. | 82,675 | 3,269 |
* NVIDIA Corp. | 86,754 | 3,211 |
Analog Devices, Inc. | 83,317 | 2,739 |
* Advanced Micro Devices, Inc. | 133,845 | 2,724 |
* Cognizant Technology Solutions Corp. | 34,655 | 2,674 |
* Juniper Networks, Inc. | 137,689 | 2,608 |
* Intuit, Inc. | 85,044 | 2,595 |
* Micron Technology, Inc. | 184,009 | 2,569 |
KLA-Tencor Corp. | 48,559 | 2,416 |
Maxim Integrated Products, Inc. | 78,281 | 2,397 |
* SanDisk Corp. | 54,885 | 2,362 |
* Autodesk, Inc. | 56,533 | 2,287 |
CA, Inc. | 100,035 | 2,266 |
* Computer Sciences Corp. | 41,914 | 2,237 |
Linear Technology Corp. | 72,997 | 2,213 |
* Fiserv, Inc. | 42,191 | 2,212 |
Xilinx, Inc. | 82,086 | 1,954 |
17
Tax-Managed Growth and Income Fund
|
| Market |
|
| Value• |
| Shares | ($000) |
* NCR Corp. | 43,379 | 1,855 |
* Lexmark International, Inc. | 23,808 | 1,743 |
* Altera Corp. | 88,291 | 1,738 |
* BMC Software, Inc. | 49,785 | 1,603 |
National Semiconductor Corp. | 70,316 | 1,596 |
Fidelity National Information Services, Inc. | 39,393 | 1,579 |
* Avaya Inc. | 110,320 | 1,542 |
* VeriSign, Inc. | 59,831 | 1,439 |
* Affiliated Computer Services, Inc. Class A | 29,000 | 1,416 |
* Citrix Systems, Inc. | 44,000 | 1,190 |
Jabil Circuit, Inc. | 45,030 | 1,105 |
* Tellabs, Inc. | 107,715 | 1,105 |
Molex, Inc. | 34,722 | 1,098 |
* Novellus Systems, Inc. | 30,148 | 1,038 |
* Comverse Technology, Inc. | 49,056 | 1,036 |
Sabre Holdings Corp. | 32,295 | 1,030 |
Symbol Technologies, Inc. | 62,224 | 930 |
* LSI Logic Corp. | 97,554 | 878 |
* JDS Uniphase Corp. | 51,291 | 855 |
* QLogic Corp. | 38,380 | 841 |
* Convergys Corp. | 33,400 | 794 |
* Compuware Corp. | 86,476 | 720 |
* Solectron Corp. | 223,147 | 719 |
* Teradyne, Inc. | 46,200 | 691 |
* Unisys Corp. | 84,047 | 659 |
Tektronix, Inc. | 20,056 | 585 |
* Ciena Corp. | 20,665 | 573 |
* Novell, Inc. | 82,681 | 513 |
* Sanmina-SCI Corp. | 130,020 | 449 |
* ADC Telecommunications, Inc. | 28,357 | 412 |
* PMC Sierra Inc. | 51,181 | 343 |
* Parametric Technology Corp. | 9,932 | 179 |
|
| 469,778 |
Materials (3.0%) |
|
|
E.I. du Pont de |
|
|
Nemours & Co. | 224,431 | 10,932 |
Dow Chemical Co. | 233,109 | 9,310 |
Monsanto Co. | 132,612 | 6,966 |
Alcoa Inc. | 211,596 | 6,350 |
Phelps Dodge Corp. | 49,856 | 5,969 |
Newmont Mining Corp. (Holding Co.) | 109,848 | 4,960 |
Praxair, Inc. | 78,784 | 4,674 |
Weyerhaeuser Co. | 57,596 | 4,069 |
Nucor Corp. | 73,640 | 4,025 |
International Paper Co. | 110,763 | 3,777 |
Air Products & Chemicals, Inc. | 53,662 | 3,771 |
Freeport-McMoRan Copper & Gold, Inc. Class B | 48,076 | 2,679 |
PPG Industries, Inc. | 40,204 | 2,581 |
Allegheny Technologies Inc. | 24,500 | 2,222 |
United States Steel Corp. | 28,860 | 2,111 |
Vulcan Materials Co. | 22,960 | 2,063 |
Ecolab, Inc. | 43,360 | 1,960 |
|
| Market |
|
| Value• |
| Shares | ($000) |
Rohm & Haas Co. | 34,557 | 1,767 |
MeadWestvaco Corp. | 43,999 | 1,323 |
Sealed Air Corp. | 19,596 | 1,272 |
Sigma-Aldrich Corp. | 16,160 | 1,256 |
Temple-Inland Inc. | 26,076 | 1,200 |
Eastman Chemical Co. | 20,062 | 1,190 |
* Pactiv Corp. | 32,377 | 1,156 |
Ball Corp. | 25,387 | 1,107 |
Ashland, Inc. | 14,027 | 970 |
International Flavors & Fragrances, Inc. | 19,022 | 935 |
Bemis Co., Inc. | 25,450 | 865 |
* Hercules, Inc. | 27,717 | 535 |
|
| 91,995 |
Telecommunication Services (3.5%) |
|
|
AT&T Inc. | 937,500 | 33,516 |
Verizon Communications Inc. | 712,241 | 26,524 |
BellSouth Corp. | 445,000 | 20,964 |
Sprint Nextel Corp. | 706,308 | 13,342 |
Alltel Corp. | 91,200 | 5,516 |
* Qwest Communications International Inc. | 392,199 | 3,283 |
Embarq Corp. | 36,485 | 1,918 |
Windstream Corp. | 116,338 | 1,654 |
CenturyTel, Inc. | 27,953 | 1,220 |
Citizens Communications Co. | 78,559 | 1,129 |
|
| 109,066 |
Utilities (3.6%) |
|
|
Duke Energy Corp. | 306,350 | 10,174 |
Exelon Corp. | 163,707 | 10,132 |
Dominion Resources, Inc. | 86,358 | 7,240 |
Southern Co. | 181,208 | 6,679 |
TXU Corp. | 112,060 | 6,075 |
FPL Group, Inc. | 98,695 | 5,371 |
FirstEnergy Corp. | 77,810 | 4,692 |
Entergy Corp. | 50,400 | 4,653 |
American Electric Power Co., Inc. | 96,598 | 4,113 |
Public Service Enterprise Group, Inc. | 61,595 | 4,089 |
PG&E Corp. | 85,098 | 4,028 |
Edison International | 79,579 | 3,619 |
Sempra Energy | 64,002 | 3,587 |
* AES Corp. | 162,035 | 3,571 |
PPL Corp. | 93,119 | 3,337 |
Progress Energy, Inc. | 62,090 | 3,047 |
Constellation Energy Group, Inc. | 43,976 | 3,029 |
Consolidated Edison Inc. | 62,682 | 3,013 |
Ameren Corp. | 50,361 | 2,706 |
Xcel Energy, Inc. | 98,974 | 2,282 |
DTE Energy Co. | 43,379 | 2,100 |
* Allegheny Energy, Inc. | 40,400 | 1,855 |
KeySpan Corp. | 42,597 | 1,754 |
Questar Corp. | 20,934 | 1,739 |
NiSource, Inc. | 66,643 | 1,606 |
CenterPoint Energy Inc. | 76,107 | 1,262 |
18
Tax-Managed Growth and Income Fund
|
| Market |
|
| Value• |
| Shares | ($000) |
Pinnacle West Capital Corp. | 24,240 | 1,229 |
* CMS Energy Corp. | 54,381 | 908 |
TECO Energy, Inc. | 50,810 | 875 |
* Dynegy, Inc. | 92,251 | 668 |
Nicor Inc. | 10,780 | 505 |
Peoples Energy Corp. | 9,519 | 424 |
|
| 110,362 |
Total Common Stocks |
|
|
(Cost $1,941,731) |
| 3,105,018 |
Temporary Cash Investments (0.2%) |
|
|
1 Vanguard Market Liquidity Fund, 5.294% |
|
|
(Cost $5,970) | 5,969,706 | 5,970 |
Total Investments (100.1%) |
|
|
(Cost $1,947,701) |
| 3,110,988 |
Other Assets and Liabilities (–0.1%) |
|
|
Other Assets—Note B |
| 6,421 |
Liabilities |
| (10,584) |
|
| (4,163) |
Net Assets (100%) |
| 3,106,825 |
At December 31, 2006, net assets consisted of:2 | |
| Amount |
| ($000) |
Paid-in Capital | 2,390,065 |
Overdistributed Net Investment Income | (3,721) |
Accumulated Net Realized Losses | (442,806) |
Unrealized Appreciation | 1,163,287 |
Net Assets | 3,106,825 |
|
|
Investor Shares—Net Assets |
|
Applicable to 25,382,993 outstanding $.001 |
|
par value shares of beneficial interest |
|
(unlimited authorization) | 783,509 |
Net Asset Value Per Share—Investor Shares | $ 30.87 |
|
|
Admiral Shares—Net Assets |
|
Applicable to 30,498,204 outstanding $.001 |
|
par value shares of beneficial interest |
|
(unlimited authorization) | 1,934,712 |
Net Asset Value Per Share—Admiral Shares | $ 63.44 |
|
|
Institutional Shares—Net Assets |
|
Applicable to 12,589,069 outstanding $.001 |
|
par value shares of beneficial interest |
|
(unlimited authorization) | 388,604 |
Net Asset Value Per Share—Institutional Shares | $ 30.87 |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
2 See Note C in Notes to Financial Statements for the tax-basis components of net assets.
REIT—Real Estate Investment Trust.
19
Tax-Managed Capital Appreciation Fund
|
| Market |
|
| Value• |
| Shares | ($000) |
Common Stocks (99.9%) |
|
|
Consumer Discretionary (12.0%) |
|
|
Time Warner, Inc. | 1,151,647 | 25,083 |
The Walt Disney Co. | 655,436 | 22,462 |
Home Depot, Inc. | 480,000 | 19,277 |
* Comcast Corp. Class A | 439,229 | 18,593 |
McDonald’s Corp. | 379,294 | 16,814 |
News Corp., Class A | 747,200 | 16,050 |
Lowe’s Cos., Inc. | 497,800 | 15,506 |
Target Corp. | 243,300 | 13,880 |
* Starbucks Corp. | 265,252 | 9,395 |
The McGraw-Hill Cos., Inc. | 122,900 | 8,360 |
Harley-Davidson, Inc. | 107,000 | 7,540 |
* Kohl’s Corp. | 103,500 | 7,083 |
Best Buy Co., Inc. | 142,650 | 7,017 |
Johnson Controls, Inc. | 80,700 | 6,934 |
Marriott International, Inc. Class A | 144,300 | 6,886 |
Yum! Brands, Inc. | 114,780 | 6,749 |
* Viacom Inc. Class B | 164,484 | 6,749 |
* Coach, Inc. | 156,900 | 6,740 |
CBS Corp. | 214,484 | 6,688 |
* DIRECTV Group, Inc. | 257,302 | 6,417 |
NIKE, Inc. Class B | 63,600 | 6,298 |
Hilton Hotels Corp. | 174,850 | 6,102 |
Harrah’s Entertainment, Inc. | 73,410 | 6,072 |
International Game Technology | 129,600 | 5,988 |
Starwood Hotels & Resorts Worldwide, Inc. | 88,624 | 5,539 |
Federated Department Stores, Inc. | 140,200 | 5,346 |
Clear Channel Communications, Inc. | 140,636 | 4,998 |
* Office Depot, Inc. | 129,800 | 4,954 |
The Gap, Inc. | 246,487 | 4,806 |
* Liberty Media-Interactive A | 210,189 | 4,534 |
* Bed Bath & Beyond, Inc. | 118,717 | 4,523 |
* MGM Mirage, Inc. | 74,564 | 4,276 |
* Liberty Media Capital A | 42,037 | 4,119 |
NTL Inc. | 162,740 | 4,107 |
* CarMax, Inc. | 76,479 | 4,102 |
Darden Restaurants Inc. | 97,150 | 3,903 |
* AutoZone Inc. | 33,300 | 3,848 |
Mattel, Inc. | 168,032 | 3,808 |
* Lamar Advertising Co. Class A | 56,186 | 3,674 |
Polo Ralph Lauren Corp. | 47,100 | 3,658 |
Centex Corp. | 63,000 | 3,545 |
Abercrombie & Fitch Co. | 50,500 | 3,516 |
PetSmart, Inc. | 119,300 | 3,443 |
Black & Decker Corp. | 42,400 | 3,391 |
D. R. Horton, Inc. | 126,366 | 3,347 |
Pulte Homes, Inc. | 100,800 | 3,338 |
* Amazon.com, Inc. | 82,900 | 3,271 |
* Univision Communications Inc. | 90,095 | 3,191 |
Liz Claiborne, Inc. | 72,400 | 3,147 |
Advance Auto Parts, Inc. | 87,600 | 3,115 |
|
| Market |
|
| Value• |
| Shares | ($000) |
E.W. Scripps Co. Class A | 62,170 | 3,105 |
Brinker International, Inc. | 102,750 | 3,099 |
* O’Reilly Automotive, Inc. | 93,848 | 3,009 |
Lennar Corp. Class A | 54,600 | 2,864 |
Dillard’s Inc. | 81,100 | 2,836 |
BorgWarner, Inc. | 47,500 | 2,803 |
Hasbro, Inc. | 102,100 | 2,782 |
* AutoNation, Inc. | 130,380 | 2,780 |
Cablevision Systems NY Group Class A | 95,544 | 2,721 |
Harman International Industries, Inc. | 26,800 | 2,678 |
Thor Industries, Inc. | 59,200 | 2,604 |
* Mohawk Industries, Inc. | 34,700 | 2,598 |
Jones Apparel Group, Inc. | 77,600 | 2,594 |
Staples, Inc. | 94,495 | 2,523 |
John Wiley & Sons Class A | 63,800 | 2,454 |
Circuit City Stores, Inc. | 129,200 | 2,452 |
Harte-Hanks, Inc. | 88,400 | 2,450 |
* NVR, Inc. | 3,780 | 2,438 |
Weight Watchers International, Inc. | 45,200 | 2,374 |
American Eagle Outfitters, Inc. | 75,991 | 2,372 |
Foot Locker, Inc. | 103,900 | 2,279 |
Barnes & Noble, Inc. | 57,300 | 2,275 |
Williams-Sonoma, Inc. | 69,100 | 2,173 |
* Wyndham Worldwide Corp. | 66,385 | 2,126 |
Dollar General Corp. | 131,987 | 2,120 |
OSI Restaurant Partners, Inc. | 53,950 | 2,115 |
* Sirius Satellite Radio, Inc. | 591,100 | 2,092 |
Saks Inc. | 116,900 | 2,083 |
* Toll Brothers, Inc. | 64,600 | 2,082 |
* Liberty Global, Inc. Class A | 71,392 | 2,081 |
* Liberty Global, Inc. Series C | 74,208 | 2,078 |
* Chico’s FAS, Inc. | 100,200 | 2,073 |
* Apollo Group, Inc. Class A | 52,984 | 2,065 |
Omnicom Group Inc. | 19,600 | 2,049 |
Ryland Group, Inc. | 37,500 | 2,048 |
* Dollar Tree Stores, Inc. | 67,734 | 2,039 |
International Speedway Corp. | 36,764 | 1,876 |
* IAC/InterActiveCorp | 49,030 | 1,822 |
Gentex Corp. | 116,252 | 1,809 |
Brunswick Corp. | 56,400 | 1,799 |
Hearst-Argyle Television Inc. | 70,100 | 1,788 |
Washington Post Co. Class B | 2,260 | 1,685 |
* The Cheesecake Factory Inc. | 66,900 | 1,646 |
* Sears Holdings Corp. | 9,500 | 1,595 |
* R.H. Donnelley Corp. | 24,975 | 1,567 |
* Career Education Corp. | 60,400 | 1,497 |
* Discovery Holding Co. Class A | 86,075 | 1,385 |
Nordstrom, Inc. | 27,000 | 1,332 |
Limited Brands, Inc. | 36,609 | 1,059 |
* TRW Automotive Holdings Corp. | 40,300 | 1,043 |
* Expedia, Inc. | 49,030 | 1,029 |
RadioShack Corp. | 58,000 | 973 |
* Idearc Inc. | 33,207 | 951 |
ServiceMaster Co. | 66,000 | 865 |
20
Tax-Managed Capital Appreciation Fund
|
| Market |
|
| Value• |
| Shares | ($000) |
Sally Beauty Co. Inc. | 61,650 | 481 |
Lennar Corp. Class B | 8,300 | 408 |
* Comcast Corp. Special Class A | 8,265 | 346 |
* Viacom Inc. Class A | 6,844 | 281 |
CBS Corp. Class A | 6,844 | 214 |
Wynn Resorts Ltd. | 2,000 | 188 |
* Hanesbrands Inc. | 5,575 | 132 |
|
| 477,267 |
Consumer Staples (8.7%) |
|
|
The Procter & Gamble Co. | 934,377 | 60,052 |
Altria Group, Inc. | 516,100 | 44,292 |
Wal-Mart Stores, Inc. | 696,528 | 32,166 |
PepsiCo, Inc. | 498,400 | 31,175 |
The Coca-Cola Co. | 461,400 | 22,263 |
Walgreen Co. | 307,300 | 14,102 |
CVS Corp. | 286,444 | 8,854 |
Costco Wholesale Corp. | 156,100 | 8,253 |
Archer-Daniels-Midland Co. | 246,873 | 7,890 |
The Kroger Co. | 277,400 | 6,400 |
Sysco Corp. | 163,300 | 6,003 |
Kimberly-Clark Corp. | 87,496 | 5,945 |
Anheuser-Busch Cos., Inc. | 120,600 | 5,934 |
Safeway, Inc. | 170,462 | 5,891 |
Colgate-Palmolive Co. | 80,200 | 5,232 |
Campbell Soup Co. | 124,800 | 4,853 |
Wm. Wrigley Jr. Co. | 87,700 | 4,536 |
The Clorox Co. | 69,120 | 4,434 |
The Hershey Co. | 88,500 | 4,407 |
Coca-Cola Enterprises, Inc. | 184,600 | 3,770 |
* Constellation Brands, Inc. Class A | 128,900 | 3,741 |
McCormick & Co., Inc. | 96,400 | 3,717 |
* Dean Foods Co. | 86,900 | 3,674 |
The Estee Lauder Cos. Inc. Class A | 87,000 | 3,551 |
* Energizer Holdings, Inc. | 48,528 | 3,445 |
Tyson Foods, Inc. | 204,945 | 3,371 |
Molson Coors Brewing Co. Class B | 43,100 | 3,295 |
The Pepsi Bottling Group, Inc. | 102,800 | 3,178 |
Brown-Forman Corp. Class B | 47,500 | 3,146 |
Whole Foods Market, Inc. | 65,740 | 3,085 |
Church & Dwight, Inc. | 70,600 | 3,011 |
Hormel Foods Corp. | 79,000 | 2,950 |
* Hansen Natural Corp. | 85,300 | 2,873 |
* Smithfield Foods, Inc. | 107,300 | 2,753 |
Corn Products International, Inc. | 79,700 | 2,753 |
Del Monte Foods Co. | 234,800 | 2,590 |
* Rite Aid Corp. | 417,400 | 2,271 |
PepsiAmericas, Inc. | 99,900 | 2,096 |
Kellogg Co. | 30,200 | 1,512 |
* Alberto-Culver Co. | 61,650 | 1,322 |
General Mills, Inc. | 22,200 | 1,279 |
Wm. Wrigley Jr. Co. Class B | 20,325 | 1,045 |
Sara Lee Corp. | 44,600 | 760 |
ConAgra Foods, Inc. | 11,200 | 302 |
|
| Market |
|
| Value• |
| Shares | ($000) |
* Bare Escentuals, Inc. | 3,800 | 118 |
Reynolds American Inc. | 106 | 7 |
|
| 348,297 |
Energy (8.9%) |
|
|
ExxonMobil Corp. | 1,692,934 | 129,730 |
Chevron Corp. | 541,838 | 39,841 |
ConocoPhillips Co. | 392,330 | 28,228 |
Devon Energy Corp. | 155,722 | 10,446 |
Valero Energy Corp. | 196,480 | 10,052 |
Baker Hughes, Inc. | 120,680 | 9,010 |
Apache Corp. | 115,462 | 7,679 |
Anadarko Petroleum Corp. | 171,416 | 7,460 |
XTO Energy, Inc. | 146,033 | 6,871 |
Occidental Petroleum Corp. | 132,600 | 6,475 |
Williams Cos., Inc. | 247,700 | 6,470 |
EOG Resources, Inc. | 100,100 | 6,251 |
Hess Corp. | 109,800 | 5,443 |
Kinder Morgan, Inc. | 47,200 | 4,991 |
* National Oilwell Varco Inc. | 77,023 | 4,712 |
ENSCO International, Inc. | 88,000 | 4,405 |
Smith International, Inc. | 106,800 | 4,386 |
BJ Services Co. | 147,100 | 4,313 |
Peabody Energy Corp. | 106,400 | 4,300 |
Noble Energy, Inc. | 87,600 | 4,299 |
Halliburton Co. | 138,200 | 4,291 |
* Cameron International Corp. | 75,000 | 3,979 |
Marathon Oil Corp. | 40,000 | 3,700 |
* Newfield Exploration Co. | 78,200 | 3,593 |
* FMC Technologies Inc. | 54,325 | 3,348 |
Range Resources Corp. | 116,800 | 3,207 |
* Pride International, Inc. | 106,400 | 3,192 |
Cabot Oil & Gas Corp. | 52,100 | 3,160 |
* Grant Prideco, Inc. | 78,800 | 3,134 |
Pioneer Natural Resources Co. | 78,800 | 3,128 |
Rowan Cos., Inc. | 80,600 | 2,676 |
Pogo Producing Co. | 53,800 | 2,606 |
St. Mary Land & Exploration Co. | 69,400 | 2,557 |
Patterson-UTI Energy, Inc. | 108,000 | 2,509 |
Arch Coal, Inc. | 66,500 | 1,997 |
W&T Offshore, Inc. | 60,100 | 1,846 |
Frontier Oil Corp. | 51,100 | 1,469 |
Chesapeake Energy Corp. | 25,200 | 732 |
Diamond Offshore Drilling, Inc. | 5,800 | 464 |
* Forest Oil Corp. | 8,600 | 281 |
Tesoro Petroleum Corp. | 200 | 13 |
|
| 357,244 |
Financials (21.4%) |
|
|
Citigroup, Inc. | 1,340,244 | 74,652 |
Bank of America Corp. | 1,189,931 | 63,530 |
American International Group, Inc. | 644,131 | 46,158 |
JPMorgan Chase & Co. | 857,289 | 41,407 |
Wachovia Corp. | 497,991 | 28,361 |
Wells Fargo & Co. | 780,980 | 27,772 |
21
Tax-Managed Capital Appreciation Fund
|
| Market |
|
| Value• |
| Shares | ($000) |
The Goldman Sachs Group, Inc. | 118,800 | 23,683 |
Morgan Stanley | 264,800 | 21,563 |
American Express Co. | 340,300 | 20,646 |
Fannie Mae | 310,000 | 18,411 |
Freddie Mac | 215,700 | 14,646 |
U.S. Bancorp | 392,700 | 14,212 |
Prudential Financial, Inc. | 163,700 | 14,055 |
Lehman Brothers Holdings, Inc. | 179,738 | 14,041 |
Washington Mutual, Inc. | 230,482 | 10,485 |
Capital One Financial Corp. | 136,100 | 10,455 |
Countrywide Financial Corp. | 221,198 | 9,390 |
MetLife, Inc. | 148,200 | 8,745 |
State Street Corp. | 123,500 | 8,329 |
Charles Schwab Corp. | 414,000 | 8,007 |
AFLAC Inc. | 173,700 | 7,990 |
Bear Stearns Co., Inc. | 47,800 | 7,781 |
The St. Paul Travelers, Cos. Inc. | 140,077 | 7,521 |
Loews Corp. | 180,400 | 7,481 |
Progressive Corp. of Ohio | 306,500 | 7,423 |
Franklin Resources Corp. | 67,100 | 7,392 |
The Chicago Mercantile Exchange | 14,110 | 7,193 |
Moody’s Corp. | 100,900 | 6,968 |
SLM Corp. | 140,700 | 6,862 |
The Principal Financial Group, Inc. | 113,500 | 6,662 |
The Allstate Corp. | 102,300 | 6,661 |
Host Marriott Corp. REIT | 238,898 | 5,865 |
Legg Mason Inc. | 59,800 | 5,684 |
Marshall & Ilsley Corp. | 113,600 | 5,465 |
Ameriprise Financial, Inc. | 99,360 | 5,415 |
Public Storage, Inc. REIT | 54,600 | 5,324 |
Kimco Realty Corp. REIT | 112,300 | 5,048 |
Sovereign Bancorp, Inc. | 192,775 | 4,895 |
ProLogis REIT | 80,068 | 4,866 |
M & T Bank Corp. | 39,700 | 4,850 |
Avalonbay Communities, Inc. REIT | 37,200 | 4,838 |
Ambac Financial Group, Inc. | 53,850 | 4,796 |
Zions Bancorp | 55,900 | 4,608 |
The Hartford Financial Services Group Inc. | 49,200 | 4,591 |
Hudson City Bancorp, Inc. | 317,502 | 4,407 |
Assurant, Inc. | 78,300 | 4,326 |
* Realogy Corp. | 141,881 | 4,302 |
MBIA, Inc. | 57,000 | 4,164 |
Genworth Financial Inc. | 119,800 | 4,098 |
T. Rowe Price Group Inc. | 92,978 | 4,070 |
Plum Creek Timber Co. Inc. REIT | 100,900 | 4,021 |
* CB Richard Ellis Group, Inc. | 121,000 | 4,017 |
SL Green Realty Corp. REIT | 29,900 | 3,970 |
Torchmark Corp. | 60,600 | 3,864 |
|
| Market |
|
| Value• |
| Shares | ($000) |
Apartment Investment & Management Co. Class A REIT | 68,200 | 3,821 |
Commerce Bancorp, Inc. | 108,200 | 3,816 |
* Markel Corp. | 7,800 | 3,745 |
W.R. Berkley Corp. | 108,350 | 3,739 |
MGIC Investment Corp. | 59,500 | 3,721 |
AMB Property Corp. REIT | 60,900 | 3,569 |
Janus Capital Group Inc. | 164,200 | 3,545 |
Forest City Enterprise Class A | 60,400 | 3,527 |
Leucadia National Corp. | 121,400 | 3,423 |
SEI Investments Co. | 56,335 | 3,355 |
Radian Group, Inc. | 61,720 | 3,327 |
The PMI Group Inc. | 70,500 | 3,325 |
The St. Joe Co. | 61,900 | 3,316 |
Eaton Vance Corp. | 96,502 | 3,186 |
Mercantile Bankshares Corp. | 67,935 | 3,179 |
Colonial BancGroup, Inc. | 123,300 | 3,174 |
Camden Property Trust REIT | 42,400 | 3,131 |
BlackRock, Inc. | 20,500 | 3,114 |
Jones Lang LaSalle Inc. | 33,200 | 3,060 |
The First Marblehead Corp. | 55,450 | 3,030 |
City National Corp. | 42,000 | 2,990 |
Commerce Bancshares, Inc. | 61,640 | 2,984 |
HCC Insurance Holdings, Inc. | 92,400 | 2,965 |
Investors Financial Services Corp. | 69,400 | 2,961 |
* AmeriCredit Corp. | 117,600 | 2,960 |
Cullen/Frost Bankers, Inc. | 52,600 | 2,936 |
Brown & Brown, Inc. | 103,600 | 2,923 |
The Bank of New York Co., Inc. | 74,200 | 2,921 |
* Alleghany Corp. | 7,892 | 2,870 |
SunTrust Banks, Inc. | 33,800 | 2,854 |
Webster Financial Corp. | 58,300 | 2,840 |
The Hanover Insurance Group Inc. | 58,100 | 2,835 |
Reinsurance Group of America, Inc. | 50,300 | 2,802 |
Raymond James Financial, Inc. | 89,650 | 2,717 |
UnionBanCal Corp. | 43,800 | 2,683 |
StanCorp Financial Group, Inc. | 59,000 | 2,658 |
East West Bancorp, Inc. | 74,957 | 2,655 |
BOK Financial Corp. | 46,671 | 2,566 |
* CNA Financial Corp. | 63,000 | 2,540 |
The South Financial Group, Inc. | 95,367 | 2,536 |
IndyMac Bancorp, Inc. | 56,000 | 2,529 |
First Citizens BancShares Class A | 12,261 | 2,485 |
CapitalSource Inc. REIT | 90,638 | 2,475 |
Wesco Financial Corp. | 5,280 | 2,429 |
Transatlantic Holdings, Inc. | 38,814 | 2,410 |
TD Ameritrade Holding Corp. | 148,900 | 2,409 |
Federated Investors, Inc. | 68,250 | 2,305 |
* Conseco, Inc. | 112,500 | 2,248 |
BB&T Corp. | 46,300 | 2,034 |
Regions Financial Corp. | 49,934 | 1,868 |
People’s Bank | 41,752 | 1,863 |
22
Tax-Managed Capital Appreciation Fund
|
| Market |
|
| Value• |
| Shares | ($000) |
Boston Properties, Inc. REIT | 16,100 | 1,801 |
National City Corp. | 48,800 | 1,784 |
BRE Properties Inc. Class A REIT | 21,500 | 1,398 |
New York Community Bancorp, Inc. | 86,400 | 1,391 |
Bank of Hawaii Corp. | 20,100 | 1,084 |
Synovus Financial Corp. | 32,256 | 994 |
* Affiliated Managers Group, Inc. | 7,900 | 831 |
Taubman Co. REIT | 11,300 | 575 |
The Chubb Corp. | 10,400 | 550 |
Fifth Third Bancorp | 12,300 | 503 |
Douglas Emmett, Inc. REIT | 15,100 | 402 |
American Financial Group, Inc. | 10,500 | 377 |
PNC Financial Services Group | 3,800 | 281 |
UnumProvident Corp. | 13,100 | 272 |
Wilmington Trust Corp. | 3,100 | 131 |
Simon Property Group, Inc. REIT | 1,000 | 101 |
A.G. Edwards & Sons, Inc. | 1,400 | 89 |
Northern Trust Corp. | 800 | 49 |
First Horizon National Corp. | 300 | 13 |
|
| 853,930 |
Health Care (12.7%) |
|
|
Johnson & Johnson | 841,498 | 55,556 |
Pfizer Inc. | 1,845,260 | 47,792 |
* Amgen, Inc. | 362,275 | 24,747 |
Wyeth | 414,500 | 21,106 |
Merck & Co., Inc. | 478,000 | 20,841 |
UnitedHealth Group Inc. | 367,662 | 19,754 |
Medtronic, Inc. | 330,400 | 17,680 |
* WellPoint Inc. | 200,516 | 15,779 |
Abbott Laboratories | 320,000 | 15,587 |
* Genentech, Inc. | 154,800 | 12,559 |
Schering-Plough Corp. | 512,600 | 12,118 |
* Gilead Sciences, Inc. | 157,200 | 10,207 |
Cardinal Health, Inc. | 145,512 | 9,375 |
Caremark Rx, Inc. | 161,623 | 9,230 |
Eli Lilly & Co. | 175,800 | 9,159 |
Bristol-Myers Squibb Co. | 334,600 | 8,807 |
Aetna Inc. | 197,988 | 8,549 |
* Celgene Corp. | 140,500 | 8,083 |
* Thermo Fisher Scientific, Inc. | 165,993 | 7,518 |
Allergan, Inc. | 60,900 | 7,292 |
* Zimmer Holdings, Inc. | 81,170 | 6,362 |
CIGNA Corp. | 46,600 | 6,131 |
* Medco Health Solutions, Inc. | 114,321 | 6,109 |
Stryker Corp. | 109,200 | 6,018 |
* Forest Laboratories, Inc. | 113,800 | 5,758 |
Becton, Dickinson & Co. | 80,600 | 5,654 |
* Biogen Idec Inc. | 104,640 | 5,147 |
* St. Jude Medical, Inc. | 139,832 | 5,112 |
AmerisourceBergen Corp. | 109,200 | 4,910 |
* Laboratory Corp. of America Holdings | 66,100 | 4,856 |
* Genzyme Corp. | 78,200 | 4,816 |
* Humana Inc. | 84,300 | 4,663 |
Biomet, Inc. | 103,175 | 4,258 |
|
| Market |
|
| Value• |
| Shares | ($000) |
Quest Diagnostics, Inc. | 80,200 | 4,251 |
Applera Corp.– Applied Biosystems Group | 114,000 | 4,183 |
* Express Scripts Inc. | 57,931 | 4,148 |
* Coventry Health Care Inc. | 81,025 | 4,055 |
IMS Health, Inc. | 135,552 | 3,725 |
McKesson Corp. | 73,424 | 3,723 |
* Sepracor Inc. | 58,700 | 3,615 |
* Health Net Inc. | 74,200 | 3,611 |
* Boston Scientific Corp. | 207,945 | 3,572 |
* Waters Corp. | 72,900 | 3,570 |
* Varian Medical Systems, Inc. | 72,900 | 3,468 |
* Henry Schein, Inc. | 70,200 | 3,438 |
Mylan Laboratories, Inc. | 164,837 | 3,290 |
DENTSPLY International Inc. | 109,200 | 3,260 |
* Hospira, Inc. | 91,940 | 3,087 |
* Millipore Corp. | 46,200 | 3,077 |
Pharmaceutical Product Development, Inc. | 92,003 | 2,964 |
* Barr Pharmaceuticals Inc. | 58,025 | 2,908 |
Health Management Associates Class A | 135,368 | 2,858 |
Beckman Coulter, Inc. | 47,600 | 2,846 |
* MedImmune Inc. | 84,000 | 2,719 |
* Lincare Holdings, Inc. | 66,500 | 2,649 |
PerkinElmer, Inc. | 117,704 | 2,617 |
* Patterson Cos. | 73,530 | 2,611 |
Baxter International, Inc. | 54,500 | 2,528 |
Universal Health Services Class B | 45,300 | 2,511 |
C.R. Bard, Inc. | 29,300 | 2,431 |
* Endo Pharmaceuticals Holdings, Inc. | 86,000 | 2,372 |
* Watson Pharmaceuticals, Inc. | 78,500 | 2,043 |
Omnicare, Inc. | 40,900 | 1,580 |
Cooper Cos., Inc. | 28,600 | 1,273 |
* Kinetic Concepts, Inc. | 31,000 | 1,226 |
* Abraxis Bioscience, Inc. | 44,198 | 1,208 |
* DaVita, Inc. | 4,000 | 228 |
|
| 509,178 |
Industrials (10.7%) |
|
|
General Electric Co. | 2,811,434 | 104,613 |
The Boeing Co. | 229,570 | 20,395 |
United Technologies Corp. | 296,600 | 18,543 |
3M Co. | 154,200 | 12,017 |
FedEx Corp. | 105,700 | 11,481 |
United Parcel Service, Inc. | 147,300 | 11,045 |
Lockheed Martin Corp. | 116,800 | 10,754 |
General Dynamics Corp. | 141,600 | 10,528 |
Caterpillar, Inc. | 171,100 | 10,494 |
Illinois Tool Works, Inc. | 175,200 | 8,092 |
Norfolk Southern Corp. | 155,200 | 7,805 |
Waste Management, Inc. | 204,297 | 7,512 |
Danaher Corp. | 97,600 | 7,070 |
CSX Corp. | 183,200 | 6,308 |
Emerson Electric Co. | 142,400 | 6,278 |
PACCAR, Inc. | 92,607 | 6,010 |
23
Tax-Managed Capital Appreciation Fund
|
| Market |
|
| Value• |
| Shares | ($000) |
Southwest Airlines Co. | 373,587 | 5,723 |
Rockwell Collins, Inc. | 85,600 | 5,418 |
Precision Castparts Corp. | 67,600 | 5,292 |
ITT Industries, Inc. | 89,500 | 5,085 |
Northrop Grumman Corp. | 72,268 | 4,893 |
Honeywell International Inc. | 106,800 | 4,832 |
L-3 Communications Holdings, Inc. | 58,200 | 4,760 |
Parker Hannifin Corp. | 58,500 | 4,497 |
Expeditors International of Washington, Inc. | 110,161 | 4,462 |
American Standard Cos., Inc. | 95,700 | 4,388 |
Manpower Inc. | 54,600 | 4,091 |
Fluor Corp. | 48,700 | 3,976 |
C.H. Robinson Worldwide Inc. | 95,400 | 3,901 |
* The Dun & Bradstreet Corp. | 45,200 | 3,742 |
Cummins Inc. | 31,200 | 3,687 |
Union Pacific Corp. | 39,353 | 3,621 |
Republic Services, Inc. Class A | 88,800 | 3,611 |
Equifax, Inc. | 88,300 | 3,585 |
Burlington Northern Santa Fe Corp. | 48,398 | 3,572 |
Roper Industries Inc. | 69,400 | 3,487 |
* Jacobs Engineering Group Inc. | 42,500 | 3,465 |
Joy Global Inc. | 71,300 | 3,447 |
American Power Conversion Corp. | 109,800 | 3,359 |
Robert Half International, Inc. | 87,500 | 3,248 |
W.W. Grainger, Inc. | 45,400 | 3,175 |
The Manitowoc Co., Inc. | 51,834 | 3,080 |
* Stericycle, Inc. | 40,000 | 3,020 |
Ametek, Inc. | 94,800 | 3,018 |
Fastenal Co. | 83,600 | 3,000 |
SPX Corp. | 48,300 | 2,954 |
Oshkosh Truck Corp. | 60,700 | 2,939 |
DRS Technologies, Inc. | 54,500 | 2,871 |
Cintas Corp. | 70,766 | 2,810 |
Landstar System, Inc. | 72,789 | 2,779 |
* Alliant Techsystems, Inc. | 35,400 | 2,768 |
IDEX Corp. | 57,600 | 2,731 |
Donaldson Co., Inc. | 78,300 | 2,718 |
The Toro Co. | 57,400 | 2,677 |
Con-way, Inc. | 60,300 | 2,656 |
Carlisle Co., Inc. | 32,600 | 2,559 |
J.B. Hunt Transport Services, Inc. | 119,800 | 2,488 |
* Allied Waste Industries, Inc. | 195,300 | 2,400 |
Teleflex Inc. | 37,000 | 2,389 |
The Brink’s Co. | 36,800 | 2,352 |
MSC Industrial Direct Co., Inc. Class A | 59,200 | 2,318 |
Aramark Corp. Class B | 67,200 | 2,248 |
Graco, Inc. | 33,700 | 1,335 |
Walter Industries, Inc. | 46,800 | 1,266 |
Rockwell Automation, Inc. | 20,300 | 1,240 |
Trinity Industries, Inc. | 21,498 | 757 |
|
| Market |
|
| Value• |
| Shares | ($000) |
Avis Budget Group, Inc. | 33,192 | 720 |
* YRC Worldwide, Inc. | 18,712 | 706 |
* Flowserve Corp. | 12,300 | 621 |
Deere & Co. | 6,200 | 589 |
Raytheon Co. | 8,400 | 444 |
Textron, Inc. | 4,200 | 394 |
Ryder System, Inc. | 1,700 | 87 |
* Raytheon Co. Warrants Exp. 6/16/2011 | 2,285 | 41 |
|
| 427,237 |
Information Technology (15.4%) |
|
|
Microsoft Corp. | 2,308,900 | 68,944 |
* Cisco Systems, Inc. | 1,774,600 | 48,500 |
International Business Machines Corp. | 390,458 | 37,933 |
Intel Corp. | 1,376,700 | 27,878 |
Hewlett-Packard Co. | 642,058 | 26,446 |
* Google Inc. | 54,100 | 24,912 |
* Apple Computer, Inc. | 252,100 | 21,388 |
* Oracle Corp. | 1,229,234 | 21,069 |
QUALCOMM Inc. | 384,120 | 14,516 |
Texas Instruments, Inc. | 496,200 | 14,291 |
* Dell Inc. | 528,600 | 13,263 |
* EMC Corp. | 747,800 | 9,871 |
Motorola, Inc. | 450,546 | 9,263 |
Applied Materials, Inc. | 496,300 | 9,157 |
* Corning, Inc. | 478,200 | 8,947 |
* Yahoo! Inc. | 325,000 | 8,301 |
* eBay Inc. | 265,420 | 7,981 |
* Symantec Corp. | 376,453 | 7,849 |
* Adobe Systems, Inc. | 188,800 | 7,763 |
* Sun Microsystems, Inc. | 1,229,900 | 6,666 |
First Data Corp. | 250,995 | 6,405 |
* NVIDIA Corp. | 160,300 | 5,933 |
* Agilent Technologies, Inc. | 166,306 | 5,796 |
* Network Appliance, Inc. | 144,963 | 5,694 |
Western Union Co. | 250,995 | 5,627 |
* Electronic Arts Inc. | 104,800 | 5,278 |
* Xerox Corp. | 305,400 | 5,177 |
* Broadcom Corp. | 158,250 | 5,113 |
Automatic Data Processing, Inc. | 98,100 | 4,831 |
Analog Devices, Inc. | 144,366 | 4,745 |
* Fiserv, Inc. | 89,450 | 4,689 |
Paychex, Inc. | 113,185 | 4,475 |
* NCR Corp. | 104,574 | 4,472 |
* Autodesk, Inc. | 109,588 | 4,434 |
* Intuit, Inc. | 142,600 | 4,351 |
* Computer Sciences Corp. | 78,900 | 4,211 |
* LAM Research Corp. | 82,108 | 4,156 |
CA, Inc. | 180,766 | 4,094 |
KLA-Tencor Corp. | 80,300 | 3,995 |
National Semiconductor Corp. | 166,600 | 3,782 |
Linear Technology Corp. | 124,200 | 3,766 |
* Lexmark International, Inc. | 50,300 | 3,682 |
* SanDisk Corp. | 83,500 | 3,593 |
Amphenol Corp. | 57,400 | 3,563 |
* Advanced Micro Devices, Inc. | 173,600 | 3,533 |
24
Tax-Managed Capital Appreciation Fund
|
| Market |
|
| Value• |
| Shares | ($000) |
Maxim Integrated Products, Inc. | 113,700 | 3,481 |
* Iron Mountain, Inc. | 81,400 | 3,365 |
Molex, Inc. | 104,756 | 3,313 |
Microchip Technology, Inc. | 100,800 | 3,296 |
* QLogic Corp. | 150,000 | 3,288 |
* Micron Technology, Inc. | 234,000 | 3,267 |
* DST Systems, Inc. | 51,800 | 3,244 |
* Altera Corp. | 164,347 | 3,234 |
* Mettler-Toledo International Inc. | 40,200 | 3,170 |
* Convergys Corp. | 131,800 | 3,134 |
* Cadence Design Systems, Inc. | 173,000 | 3,098 |
* BMC Software, Inc. | 95,000 | 3,059 |
Global Payments Inc. | 63,500 | 2,940 |
Fair Isaac, Inc. | 71,200 | 2,894 |
* Arrow Electronics, Inc. | 91,500 | 2,887 |
Xilinx, Inc. | 120,436 | 2,868 |
* Affiliated Computer Services, Inc. Class A | 58,400 | 2,852 |
* Comverse Technology, Inc. | 133,396 | 2,816 |
* Western Digital Corp. | 136,500 | 2,793 |
* Avaya Inc. | 196,100 | 2,741 |
* Tellabs, Inc. | 266,900 | 2,738 |
* Avnet, Inc. | 105,400 | 2,691 |
* Ingram Micro, Inc. Class A | 125,000 | 2,551 |
* Ceridian Corp. | 89,900 | 2,515 |
* Compuware Corp. | 294,562 | 2,454 |
Fidelity National Information Services, Inc. | 61,200 | 2,454 |
Jabil Circuit, Inc. | 98,100 | 2,408 |
* Synopsys, Inc. | 89,121 | 2,382 |
* Juniper Networks, Inc. | 119,000 | 2,254 |
* Tech Data Corp. | 55,510 | 2,102 |
Intersil Corp. | 85,600 | 2,048 |
Total System Services, Inc. | 73,550 | 1,941 |
* Citrix Systems, Inc. | 71,356 | 1,930 |
* Teradyne, Inc. | 110,200 | 1,649 |
* LSI Logic Corp. | 180,700 | 1,626 |
* Solectron Corp. | 495,700 | 1,596 |
MoneyGram International, Inc. | 48,300 | 1,515 |
Sabre Holdings Corp. | 43,200 | 1,378 |
* Zebra Technologies Corp. Class A | 27,257 | 948 |
* BEA Systems, Inc. | 67,300 | 847 |
* Sanmina-SCI Corp. | 184,046 | 635 |
* Novellus Systems, Inc. | 13,100 | 451 |
MasterCard, Inc. Class A | 2,900 | 286 |
CDW Corp. | 1,358 | 95 |
Harris Corp. | 1,800 | 83 |
|
| 613,650 |
Materials (3.2%) |
|
|
Monsanto Co. | 195,834 | 10,287 |
Phelps Dodge Corp. | 76,200 | 9,123 |
Praxair, Inc. | 123,700 | 7,339 |
E.I. du Pont de Nemours & Co. | 148,700 | 7,243 |
Newmont Mining Corp. (Holding Co.) | 160,056 | 7,227 |
|
| Market |
|
| Value• |
| Shares | ($000) |
Alcoa Inc. | 231,928 | 6,960 |
Nucor Corp. | 125,800 | 6,876 |
Dow Chemical Co. | 159,800 | 6,382 |
Allegheny Technologies Inc. | 53,100 | 4,815 |
United States Steel Corp. | 64,400 | 4,710 |
Ecolab, Inc. | 101,000 | 4,565 |
Freeport-McMoRan Copper & Gold, Inc. Class B | 72,900 | 4,063 |
* Pactiv Corp. | 104,300 | 3,722 |
Sigma-Aldrich Corp. | 47,000 | 3,653 |
Martin Marietta Materials, Inc. | 34,500 | 3,585 |
Sealed Air Corp. | 53,036 | 3,443 |
Ball Corp. | 76,600 | 3,340 |
Reliance Steel & Aluminum Co. | 77,800 | 3,064 |
Airgas, Inc. | 74,700 | 3,027 |
Cytec Industries, Inc. | 52,200 | 2,950 |
Celanese Corp. Series A | 113,200 | 2,930 |
Scotts Miracle-Gro Co. | 56,400 | 2,913 |
Lyondell Chemical Co. | 112,500 | 2,877 |
Albemarle Corp. | 32,400 | 2,326 |
Westlake Chemical Corp. | 71,500 | 2,244 |
* Owens-Illinois, Inc. | 118,100 | 2,179 |
Packaging Corp. of America | 91,200 | 2,016 |
Carpenter Technology Corp. | 16,300 | 1,671 |
FMC Corp. | 14,400 | 1,102 |
Valspar Corp. | 23,400 | 647 |
Vulcan Materials Co. | 5,500 | 494 |
Commercial Metals Co. | 16,100 | 415 |
Florida Rock Industries, Inc. | 8,700 | 375 |
* The Mosaic Co. | 11,900 | 254 |
|
| 128,817 |
Telecommunication Services (3.5%) |
|
|
AT&T Inc. | 920,612 | 32,912 |
Verizon Communications Inc. | 664,142 | 24,733 |
BellSouth Corp. | 503,900 | 23,739 |
Sprint Nextel Corp. | 926,067 | 17,493 |
Alltel Corp. | 146,884 | 8,884 |
* Qwest Communications International Inc. | 712,279 | 5,962 |
* American Tower Corp. Class A | 123,800 | 4,615 |
Embarq Corp. | 84,843 | 4,459 |
CenturyTel, Inc. | 86,300 | 3,768 |
Windstream Corp. | 250,657 | 3,564 |
Citizens Communications Co. | 195,702 | 2,812 |
* U.S. Cellular Corp. | 38,500 | 2,679 |
Telephone & Data Systems, Inc. | 40,000 | 2,173 |
Telephone & Data Systems, Inc.– Special Common Shares | 33,200 | 1,647 |
* Crown Castle International Corp. | 2,600 | 84 |
|
| 139,524 |
Utilities (3.4%) |
|
|
Exelon Corp. | 186,400 | 11,536 |
TXU Corp. | 161,100 | 8,733 |
PG&E Corp. | 147,000 | 6,957 |
Edison International | 140,500 | 6,390 |
25
Tax-Managed Capital Appreciation Fund
|
| Market |
|
| Value• |
| Shares | ($000) |
* AES Corp. | 286,300 | 6,310 |
Sempra Energy | 111,800 | 6,265 |
Constellation Energy Group, Inc. | 83,300 | 5,737 |
Duke Energy Corp. | 163,592 | 5,433 |
* Mirant Corp. | 147,298 | 4,650 |
* Allegheny Energy, Inc. | 95,989 | 4,407 |
* NRG Energy, Inc. | 76,500 | 4,285 |
Questar Corp. | 49,800 | 4,136 |
Wisconsin Energy Corp. | 81,000 | 3,844 |
CenterPoint Energy Inc. | 223,800 | 3,711 |
Equitable Resources, Inc. | 86,300 | 3,603 |
* Reliant Energy, Inc. | 241,700 | 3,435 |
MDU Resources Group, Inc. | 132,750 | 3,404 |
FirstEnergy Corp. | 55,900 | 3,371 |
* CMS Energy Corp. | 201,086 | 3,358 |
Energen Corp. | 69,800 | 3,276 |
* Sierra Pacific Resources | 191,183 | 3,218 |
NSTAR | 92,000 | 3,161 |
* Dynegy, Inc. | 422,400 | 3,058 |
Northeast Utilities | 107,400 | 3,024 |
Southern Union Co. | 108,200 | 3,024 |
SCANA Corp. | 74,200 | 3,014 |
Aqua America, Inc. | 121,983 | 2,779 |
Dominion Resources, Inc. | 31,239 | 2,619 |
Southern Co. | 64,200 | 2,366 |
Entergy Corp. | 23,100 | 2,133 |
DPL Inc. | 75,000 | 2,084 |
NiSource, Inc. | 35,920 | 866 |
UGI Corp. Holding Co. | 8,400 | 229 |
|
| 134,416 |
Total Common Stocks |
|
|
(Cost $2,263,742) |
| 3,989,560 |
Other Assets and Liabilities (0.1%) |
|
|
Other Assets—Note B |
| 17,770 |
Liabilities |
| (15,720) |
|
| 2,050 |
Net Assets (100%) |
| 3,991,610 |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 See Note C in Notes to Financial Statements for the tax-basis components of net assets.
REIT—Real Estate Investment Trust.
At December 31, 2006, net assets consisted of:1 |
|
| Amount |
| ($000) |
Paid-in Capital | 2,779,087 |
Overdistributed Net Investment Income | (3,947) |
Accumulated Net Realized Losses | (509,348) |
Unrealized Appreciation | 1,725,818 |
Net Assets | 3,991,610 |
|
|
Investor Shares—Net Assets |
|
Applicable to 24,752,691 outstanding $.001 |
|
par value shares of beneficial interest |
|
(unlimited authorization) | 832,261 |
Net Asset Value Per Share— |
|
Investor Shares | $33.62 |
|
|
Admiral Shares—Net Assets |
|
Applicable to 43,456,187 outstanding $.001 |
|
par value shares of beneficial interest |
|
(unlimited authorization) | 2,941,212 |
Net Asset Value Per Share— |
|
Admiral Shares | $67.68 |
|
|
Institutional Shares—Net Assets |
|
Applicable to 6,486,709 outstanding $.001 |
|
par value shares of beneficial interest |
|
(unlimited authorization) | 218,137 |
Net Asset Value Per Share— |
|
Institutional Shares | $33.63 |
26
Tax-Managed Small-Cap Fund
|
| Market |
|
| Value• |
| Shares | ($000) |
Common Stocks (100.1%) |
|
|
Consumer Discretionary (16.4%) |
|
|
* NVR, Inc. | 16,905 | 10,904 |
Phillips-Van Heusen Corp. | 185,738 | 9,318 |
* Jack in the Box Inc. | 116,482 | 7,110 |
Pool Corp. | 181,130 | 7,095 |
* Sonic Corp. | 289,537 | 6,934 |
Men’s Wearhouse, Inc. | 179,381 | 6,863 |
* Aztar Corp. | 123,364 | 6,713 |
* Quiksilver, Inc. | 402,322 | 6,337 |
Polaris Industries, Inc. | 130,771 | 6,124 |
Standard Pacific Corp. | 213,457 | 5,719 |
Wolverine World Wide, Inc. | 193,161 | 5,509 |
* Pinnacle Entertainment, Inc. | 159,613 | 5,290 |
* Live Nation | 228,592 | 5,120 |
* The Children’s Place Retail Stores, Inc. | 78,095 | 4,961 |
* Crocs, Inc. | 111,608 | 4,821 |
* Tractor Supply Co. | 105,201 | 4,704 |
* Zale Corp. | 164,763 | 4,648 |
Aaron Rents, Inc. | 161,187 | 4,639 |
Brown Shoe Co., Inc. | 96,080 | 4,587 |
* CEC Entertainment Inc. | 113,522 | 4,569 |
* Guitar Center, Inc. | 99,311 | 4,515 |
* Panera Bread Co. | 78,862 | 4,409 |
* Tween Brands, Inc. | 108,024 | 4,313 |
Arbitron Inc. | 98,391 | 4,274 |
* The Gymboree Corp. | 110,500 | 4,217 |
Group 1 Automotive, Inc. | 80,400 | 4,158 |
Ethan Allen Interiors, Inc. | 111,325 | 4,020 |
* Rare Hospitality International Inc. | 116,053 | 3,822 |
* Hibbett Sporting Goods, Inc. | 122,260 | 3,733 |
* Meritage Corp. | 76,518 | 3,651 |
* LKQ Corp. | 158,053 | 3,634 |
* The Dress Barn, Inc. | 153,603 | 3,584 |
* Fossil, Inc. | 157,759 | 3,562 |
ADVO, Inc. | 107,120 | 3,492 |
* P.F. Chang’s China Bistro, Inc. | 90,879 | 3,488 |
Winnebago Industries, Inc. | 104,872 | 3,451 |
Triarc Cos., Inc. Class B | 169,962 | 3,399 |
IHOP Corp. | 61,616 | 3,247 |
* RC2 Corp. | 70,137 | 3,086 |
* Shuffle Master, Inc. | 115,864 | 3,036 |
Sonic Automotive, Inc. | 102,269 | 2,970 |
* Genesco, Inc. | 79,264 | 2,957 |
Stage Stores, Inc. | 95,599 | 2,905 |
* Skechers U.S.A., Inc. | 85,500 | 2,848 |
* Select Comfort Corp. | 163,741 | 2,847 |
* Coinstar, Inc. | 92,794 | 2,837 |
Kellwood Co. | 86,710 | 2,820 |
* WMS Industries, Inc. | 78,891 | 2,750 |
K-Swiss, Inc. | 89,209 | 2,742 |
The Pep Boys (Manny, Moe & Jack) | 178,753 | 2,656 |
Oxford Industries, Inc. | 50,708 | 2,518 |
Cato Corp. Class A | 107,561 | 2,464 |
|
| Market |
|
| Value• |
| Shares | ($000) |
Building Materials Holding Corp. | 99,281 | 2,451 |
* Interface, Inc. | 172,317 | 2,450 |
* Champion Enterprises, Inc. | 255,708 | 2,393 |
* Papa John’s International, Inc. | 80,484 | 2,335 |
* Deckers Outdoor Corp. | 37,316 | 2,237 |
* K2 Inc. | 162,770 | 2,147 |
* California Pizza Kitchen, Inc. | 63,731 | 2,123 |
Finish Line, Inc. | 148,614 | 2,122 |
* Jo-Ann Stores, Inc. | 83,085 | 2,044 |
* JAKKS Pacific, Inc. | 93,259 | 2,037 |
The Marcus Corp. | 74,641 | 1,909 |
* Hot Topic, Inc. | 141,841 | 1,892 |
The Stride Rite Corp. | 125,264 | 1,889 |
Landry’s Restaurants, Inc. | 58,561 | 1,762 |
* Universal Technical Institute Inc. | 78,009 | 1,733 |
* Blue Nile Inc. | 46,750 | 1,725 |
* Radio One, Inc. Class D | 254,764 | 1,717 |
* Fleetwood Enterprises, Inc. | 216,534 | 1,713 |
* O’Charley’s Inc. | 79,315 | 1,688 |
* Red Robin Gourmet Burgers, Inc. | 46,632 | 1,672 |
* Keystone Automotive Industries, Inc. | 49,028 | 1,666 |
* Steak n Shake Co. | 94,623 | 1,665 |
* MarineMax, Inc. | 62,567 | 1,622 |
* Drew Industries, Inc. | 62,057 | 1,614 |
Fred’s, Inc. | 132,931 | 1,600 |
Tuesday Morning Corp. | 99,107 | 1,541 |
Christopher & Banks Corp. | 82,579 | 1,541 |
M/I Homes, Inc. | 39,446 | 1,506 |
Nautilus Inc. | 104,545 | 1,464 |
Superior Industries International, Inc. | 75,940 | 1,463 |
* Pre-Paid Legal Services, Inc. | 34,736 | 1,359 |
* Vertrue Inc. | 33,576 | 1,290 |
Monaco Coach Corp. | 88,944 | 1,259 |
* Sturm, Ruger & Co., Inc. | 129,936 | 1,247 |
Stein Mart, Inc. | 93,675 | 1,242 |
Haverty Furniture Cos., Inc. | 77,519 | 1,147 |
* Jos. A. Bank Clothiers, Inc. | 38,690 | 1,136 |
* Stamps.com Inc. | 65,896 | 1,038 |
CPI Corp. | 22,128 | 1,029 |
* Midas Inc. | 42,754 | 983 |
National Presto Industries, Inc. | 16,189 | 969 |
Triarc Cos., Inc. Class A | 43,900 | 954 |
Skyline Corp. | 23,629 | 950 |
* PetMed Express, Inc. | 71,063 | 949 |
* Multimedia Games Inc. | 92,601 | 889 |
* Audiovox Corp. | 63,074 | 889 |
* 4Kids Entertainment Inc. | 45,718 | 833 |
Arctic Cat, Inc. | 44,551 | 784 |
* Russ Berrie and Co., Inc. | 41,072 | 635 |
Standard Motor Products, Inc. | 41,330 | 619 |
Bassett Furniture Industries, Inc. | 36,369 | 594 |
Coachmen Industries, Inc. | 53,326 | 587 |
27
Tax-Managed Small-Cap Fund
|
| Market |
|
| Value• |
| Shares | ($000) |
Libbey, Inc. | 40,668 | 502 |
Movado Group, Inc. | 14,700 | 426 |
CKE Restaurants Inc. | 19,946 | 367 |
* Lenox Group, Inc. | 48,703 | 312 |
* Ashworth, Inc. | 41,492 | 301 |
* Hancock Fabrics, Inc. | 66,118 | 227 |
La-Z-Boy Inc. | 7,539 | 89 |
* Bright Horizons Family Solutions, Inc. | 2,102 | 81 |
* Cost Plus, Inc. | 1,728 | 18 |
|
| 309,796 |
Consumer Staples (4.3%) |
|
|
Corn Products |
|
|
International, Inc. | 253,568 | 8,758 |
* NBTY, Inc. | 189,322 | 7,870 |
* United Natural Foods, Inc. | 142,239 | 5,109 |
Delta & Pine Land Co. | 122,194 | 4,943 |
* Ralcorp Holdings, Inc. | 95,288 | 4,849 |
Flowers Foods, Inc. | 171,285 | 4,623 |
* Hain Celestial Group, Inc. | 131,670 | 4,109 |
Casey’s General Stores, Inc. | 170,375 | 4,012 |
Longs Drug Stores, Inc. | 94,164 | 3,991 |
* Central Garden and Pet Co. | 79,777 | 3,863 |
* TreeHouse Foods Inc. | 103,095 | 3,217 |
* Performance Food Group Co. | 115,013 | 3,179 |
* Playtex Products, Inc. | 216,627 | 3,117 |
* Alliance One International, Inc. | 296,349 | 2,092 |
The Great Atlantic & Pacific Tea Co., Inc. | 78,125 | 2,011 |
WD-40 Co. | 57,596 | 2,008 |
J & J Snack Foods Corp. | 46,416 | 1,922 |
Lance, Inc. | 92,109 | 1,850 |
* USANA Health Sciences, Inc. | 33,802 | 1,746 |
Sanderson Farms, Inc. | 52,641 | 1,595 |
* Spectrum Brands Inc. | 126,944 | 1,384 |
Nash-Finch Co. | 46,560 | 1,271 |
* Peet’s Coffee & Tea Inc. | 46,003 | 1,207 |
Mannatech, Inc. | 53,276 | 785 |
* American Italian Pasta Co. | 63,623 | 569 |
|
| 80,080 |
Energy (7.6%) |
|
|
Frontier Oil Corp. | 368,898 | 10,602 |
* Veritas DGC Inc. | 121,934 | 10,441 |
Cimarex Energy Co. | 276,993 | 10,110 |
* Helix Energy Solutions Group, Inc. | 308,133 | 9,666 |
Cabot Oil & Gas Corp. | 157,822 | 9,572 |
* Unit Corp. | 152,998 | 7,413 |
* Oceaneering International, Inc. | 182,198 | 7,233 |
* SEACOR Holdings Inc. | 71,397 | 7,078 |
St. Mary Land & Exploration Co. | 181,574 | 6,689 |
Massey Energy Co. | 266,799 | 6,198 |
* TETRA Technologies, Inc. | 238,273 | 6,095 |
* Lone Star Technologies, Inc. | 103,498 | 5,010 |
* W-H Energy Services, Inc. | 100,045 | 4,871 |
|
| Market |
|
| Value• |
| Shares | ($000) |
* Hydrill Co. | 63,763 | 4,794 |
Penn Virginia Corp. | 63,752 | 4,465 |
* Swift Energy Co. | 98,738 | 4,424 |
* Atwood Oceanics, Inc. | 90,315 | 4,423 |
World Fuel Services Corp. | 94,609 | 4,206 |
* Stone Energy Corp. | 92,397 | 3,266 |
* Input/Output, Inc. | 234,810 | 3,200 |
* Dril-Quip, Inc. | 79,290 | 3,105 |
Lufkin Industries, Inc. | 51,108 | 2,968 |
* Bristow Group, Inc. | 77,502 | 2,797 |
CARBO Ceramics Inc. | 66,584 | 2,488 |
* Petroleum Development Corp. | 55,757 | 2,400 |
|
| 143,514 |
Financials (14.6%) |
|
|
* Philadelphia Consolidated |
|
|
Holding Corp. | 191,197 | 8,520 |
Whitney Holdings Corp. | 218,937 | 7,142 |
The South Financial Group, Inc. | 251,995 | 6,701 |
First Midwest Bancorp, Inc. | 170,515 | 6,596 |
* Investment Technology Group, Inc. | 143,596 | 6,157 |
Zenith National Insurance Corp. | 126,407 | 5,930 |
Delphi Financial Group, Inc. | 146,093 | 5,911 |
Umpqua Holdings Corp. | 195,865 | 5,764 |
UCBH Holdings, Inc. | 325,897 | 5,723 |
Selective Insurance Group | 98,935 | 5,668 |
* ProAssurance Corp. | 112,493 | 5,616 |
East West Bancorp, Inc. | 156,981 | 5,560 |
Senior Housing Properties Trust REIT | 218,815 | 5,357 |
Colonial Properties Trust REIT | 112,097 | 5,255 |
Hilb, Rogal and Hamilton Co. | 123,769 | 5,213 |
Chittenden Corp. | 159,511 | 4,895 |
Downey Financial Corp. | 67,136 | 4,873 |
United Bankshares, Inc. | 125,567 | 4,853 |
Cash America International Inc. | 101,104 | 4,742 |
Susquehanna Bancshares, Inc. | 175,667 | 4,722 |
Sterling Financial Corp. | 138,781 | 4,692 |
* Piper Jaffray Cos., Inc. | 70,779 | 4,611 |
National Retail Properties REIT | 193,632 | 4,444 |
MAF Bancorp, Inc. | 97,300 | 4,348 |
Glacier Bancorp, Inc. | 174,647 | 4,268 |
R.L.I. Corp. | 73,131 | 4,126 |
EastGroup Properties, Inc. REIT | 76,154 | 4,079 |
Central Pacific Financial Co. | 103,650 | 4,017 |
First Republic Bank | 102,598 | 4,010 |
Provident Bankshares Corp. | 110,463 | 3,932 |
Essex Property Trust, Inc. REIT | 30,213 | 3,905 |
* First Federal Financial Corp. | 56,757 | 3,801 |
LandAmerica Financial Group, Inc. | 59,348 | 3,745 |
Fremont General Corp. | 223,204 | 3,618 |
Kilroy Realty Corp. REIT | 45,490 | 3,548 |
Sovran Self Storage, Inc. REIT | 60,910 | 3,489 |
Boston Private Financial Holdings, Inc. | 122,175 | 3,447 |
28
Tax-Managed Small-Cap Fund
|
| Market |
|
| Value• |
| Shares | ($000) |
Republic Bancorp, Inc. | 255,309 | 3,436 |
Infinity Property & Casualty Corp. | 68,026 | 3,292 |
Hanmi Financial Corp. | 140,889 | 3,174 |
Sterling Bancshares, Inc. | 236,529 | 3,080 |
Fidelity Bankshares, Inc. | 76,869 | 3,049 |
Prosperity Bancshares, Inc. | 86,481 | 2,984 |
BankUnited Financial Corp. | 106,550 | 2,979 |
* World Acceptance Corp. | 62,675 | 2,943 |
Cascade Bancorp | 93,182 | 2,891 |
TrustCo Bank NY | 255,042 | 2,836 |
PS Business Parks, Inc. REIT | 38,887 | 2,750 |
First Commonwealth Financial Corp. | 204,710 | 2,749 |
Financial Federal Corp. | 91,907 | 2,703 |
Stewart Information Services Corp. | 61,039 | 2,647 |
First BanCorp Puerto Rico | 275,168 | 2,622 |
Bank Mutual Corp. | 211,109 | 2,557 |
PrivateBancorp, Inc. | 60,337 | 2,512 |
* Portfolio Recovery Associates, Inc. | 53,395 | 2,493 |
Parkway Properties Inc. REIT | 48,793 | 2,489 |
United Fire & Casualty Co. | 70,279 | 2,477 |
Safety Insurance Group, Inc. | 48,768 | 2,473 |
Wintrust Financial Corp. | 50,892 | 2,444 |
Community Bank System, Inc. | 102,238 | 2,351 |
BankAtlantic Bancorp, Inc. Class A | 153,404 | 2,119 |
SWS Group, Inc. | 54,999 | 1,963 |
Flagstar Bancorp, Inc. | 128,796 | 1,911 |
First Financial Bancorp | 107,432 | 1,784 |
Anchor Bancorp Wisconsin Inc. | 60,671 | 1,749 |
Independent Bank Corp. (MI) | 67,739 | 1,713 |
* Franklin Bank Corp. | 80,725 | 1,658 |
Presidential Life Corp. | 73,929 | 1,623 |
Nara Bancorp, Inc. | 69,804 | 1,460 |
Brookline Bancorp, Inc. | 110,534 | 1,456 |
Irwin Financial Corp. | 63,602 | 1,439 |
Dime Community Bancshares | 93,934 | 1,316 |
* Tradestation Group Inc. | 85,646 | 1,178 |
Sterling Bancorp | 58,386 | 1,150 |
First Indiana Corp. | 43,698 | 1,108 |
* First Cash Financial Services, Inc. | 39,500 | 1,022 |
Wilshire Bancorp Inc. | 52,409 | 994 |
* SCPIE Holdings Inc. | 34,852 | 911 |
* Rewards Network Inc. | 88,259 | 613 |
Mid-America Apartment Communities, Inc. REIT | 2,883 | 165 |
* LaBranche & Co. Inc. | 4,137 | 41 |
|
| 274,582 |
Health Care (11.8%) |
|
|
* Cerner Corp. | 215,112 | 9,788 |
* Respironics, Inc. | 248,536 | 9,382 |
* Hologic, Inc. | 176,276 | 8,334 |
|
| Market |
|
| Value• |
| Shares | ($000) |
* Pediatrix Medical Group, Inc. | 165,106 | 8,074 |
* IDEXX Laboratories Corp. | 100,024 | 7,932 |
Mentor Corp. | 140,095 | 6,846 |
* Sierra Health Services, Inc. | 188,755 | 6,803 |
* Immucor Inc. | 231,780 | 6,775 |
* AMERIGROUP Corp. | 175,696 | 6,306 |
* Healthways, Inc. | 115,949 | 5,532 |
* MGI Pharma, Inc. | 262,116 | 4,826 |
* Sunrise Senior Living, Inc. | 149,628 | 4,597 |
* American Medical Systems Holdings, Inc. | 234,249 | 4,338 |
* Allscripts Healthcare Solutions, Inc. | 159,422 | 4,303 |
* Regeneron Pharmaceuticals, Inc. | 212,755 | 4,270 |
Owens & Minor, Inc. Holding Co. | 134,466 | 4,205 |
* United Surgical Partners International, Inc. | 148,209 | 4,202 |
* Dionex Corp. | 68,435 | 3,881 |
* Digene Corp. | 79,289 | 3,800 |
* Centene Corp. | 144,443 | 3,549 |
* Haemonetics Corp. | 78,718 | 3,544 |
* inVentiv Health, Inc. | 99,861 | 3,530 |
Alpharma, Inc. Class A | 142,329 | 3,430 |
* DJ Orthopedics Inc. | 77,852 | 3,334 |
Chemed Corp. | 87,356 | 3,230 |
PolyMedica Corp. | 79,124 | 3,197 |
Cooper Cos., Inc. | 71,620 | 3,187 |
* Genesis Healthcare Corp. | 67,201 | 3,174 |
* AMN Healthcare Services, Inc. | 112,964 | 3,111 |
* Viasys Healthcare Inc. | 110,463 | 3,073 |
* ArthroCare Corp. | 76,027 | 3,035 |
* Per-Se Technologies, Inc. | 109,177 | 3,033 |
* Palomar Medical Technologies, Inc. | 58,581 | 2,968 |
* Amedisys Inc. | 85,887 | 2,823 |
* Integra LifeSciences Holdings | 65,420 | 2,786 |
* PAREXEL International Corp. | 93,006 | 2,694 |
* Biosite Inc. | 54,508 | 2,663 |
Invacare Corp. | 106,216 | 2,608 |
Analogic Corp. | 46,446 | 2,607 |
LCA-Vision Inc. | 69,580 | 2,391 |
* Sciele Pharma, Inc. | 98,039 | 2,353 |
* CONMED Corp. | 96,278 | 2,226 |
* AmSurg Corp. | 93,052 | 2,140 |
* Matria Healthcare, Inc. | 72,140 | 2,073 |
* Noven Pharmaceuticals, Inc. | 81,388 | 2,071 |
Cambrex Corp. | 88,947 | 2,021 |
* Greatbatch, Inc. | 75,048 | 2,020 |
* ICU Medical, Inc. | 49,180 | 2,001 |
Meridian Bioscience Inc. | 71,696 | 1,759 |
* Gentiva Health Services, Inc. | 92,015 | 1,754 |
* Savient Pharmaceuticals Inc. | 151,809 | 1,702 |
* Dendrite International, Inc. | 149,124 | 1,597 |
* Cross Country Healthcare, Inc. | 73,188 | 1,597 |
29
Tax-Managed Small-Cap Fund
|
| Market |
|
| Value• |
| Shares | ($000) |
Datascope Corp. | 43,350 | 1,580 |
* Odyssey Healthcare, Inc. | 113,265 | 1,502 |
* Cyberonics, Inc. | 72,535 | 1,497 |
* Merit Medical Systems, Inc. | 92,371 | 1,463 |
* Enzo Biochem, Inc. | 99,447 | 1,419 |
* Pharmanet Development Group, Inc. | 62,556 | 1,381 |
* SurModics, Inc. | 44,153 | 1,374 |
Vital Signs, Inc. | 26,267 | 1,311 |
* Kensey Nash Corp. | 38,612 | 1,228 |
* Bradley Pharmaceuticals, Inc. | 54,185 | 1,115 |
* RehabCare Group, Inc. | 54,644 | 811 |
* Possis Medical Inc. | 59,357 | 800 |
* Hooper Holmes, Inc. | 227,567 | 753 |
* BioLase Technology, Inc. | 79,566 | 696 |
* CryoLife Inc. | 75,834 | 580 |
* ArQule, Inc. | 90,128 | 534 |
* Theragenics Corp. | 114,604 | 355 |
* Osteotech, Inc. | 59,590 | 337 |
* Kendle International Inc. | 4,482 | 141 |
|
| 222,352 |
Industrials (17.3%) |
|
|
The Manitowoc Co., Inc. | 204,433 | 12,149 |
* Shaw Group, Inc. | 265,146 | 8,882 |
IDEX Corp. | 178,129 | 8,445 |
Acuity Brands, Inc. | 153,032 | 7,964 |
* Kansas City Southern | 257,764 | 7,470 |
* URS Corp. | 173,300 | 7,426 |
Brady Corp. Class A | 179,245 | 6,682 |
* Gardner Denver Inc. | 176,668 | 6,591 |
Watson Wyatt & Co. Holdings | 144,735 | 6,535 |
Landstar System, Inc. | 168,139 | 6,420 |
The Toro Co. | 135,707 | 6,328 |
* Waste Connections, Inc. | 151,521 | 6,296 |
* Kirby Corp. | 179,864 | 6,139 |
* EMCOR Group, Inc. | 107,561 | 6,115 |
Lennox International Inc. | 197,118 | 6,034 |
CLARCOR Inc. | 171,702 | 5,805 |
Belden CDT Inc. | 147,124 | 5,751 |
Curtiss-Wright Corp. | 149,577 | 5,546 |
Skywest, Inc. | 212,847 | 5,430 |
Regal-Beloit Corp. | 103,386 | 5,429 |
* Moog Inc. | 140,851 | 5,379 |
* Armor Holdings, Inc. | 94,650 | 5,192 |
* Ceradyne, Inc. | 90,329 | 5,104 |
* United Stationers, Inc. | 107,455 | 5,017 |
* Teledyne Technologies, Inc. | 117,190 | 4,703 |
John H. Harland Co. | 90,477 | 4,542 |
Woodward Governor Co. | 100,956 | 4,009 |
Watts Water Technologies, Inc. | 96,001 | 3,947 |
Watsco, Inc. | 82,203 | 3,877 |
* Hub Group, Inc. | 140,351 | 3,867 |
Simpson Manufacturing Co. | 121,263 | 3,838 |
Kaydon Corp. | 95,862 | 3,810 |
Briggs & Stratton Corp. | 138,310 | 3,727 |
* NCI Building Systems, Inc. | 70,560 | 3,651 |
* AAR Corp. | 122,871 | 3,587 |
|
| Market |
|
| Value• |
| Shares | ($000) |
* EGL, Inc. | 117,804 | 3,508 |
* Tetra Tech, Inc. | 191,296 | 3,461 |
Administaff, Inc. | 80,409 | 3,439 |
* Esterline Technologies Corp. | 85,195 | 3,427 |
Applied Industrial Technology, Inc. | 125,912 | 3,313 |
ABM Industries Inc. | 144,792 | 3,288 |
Valmont Industries, Inc. | 58,086 | 3,223 |
* Mobile Mini, Inc. | 119,348 | 3,215 |
Baldor Electric Co. | 96,066 | 3,211 |
* Labor Ready, Inc. | 174,332 | 3,196 |
Albany International Corp. | 96,256 | 3,168 |
Viad Corp. | 76,191 | 3,093 |
Heartland Express, Inc. | 203,582 | 3,058 |
Knight Transportation, Inc. | 171,907 | 2,931 |
Universal Forest Products, Inc. | 62,575 | 2,917 |
Triumph Group, Inc. | 55,386 | 2,904 |
Barnes Group, Inc. | 131,265 | 2,855 |
G & K Services, Inc. Class A | 72,925 | 2,836 |
ElkCorp | 68,205 | 2,803 |
Healthcare Services Group, Inc. | 93,249 | 2,701 |
* Heidrick & Struggles International, Inc. | 63,040 | 2,670 |
Forward Air Corp. | 90,673 | 2,623 |
Arkansas Best Corp. | 71,703 | 2,581 |
* GenCorp, Inc. | 178,806 | 2,507 |
Robbins & Myers, Inc. | 54,404 | 2,498 |
* Insituform Technologies Inc. Class A | 92,650 | 2,396 |
* School Specialty, Inc. | 63,798 | 2,392 |
* Consolidated Graphics, Inc. | 40,482 | 2,391 |
* EnPro Industries, Inc. | 71,048 | 2,360 |
A.O. Smith Corp. | 61,461 | 2,308 |
* Griffon Corp. | 87,125 | 2,222 |
Mueller Industries Inc. | 69,795 | 2,213 |
* Astec Industries, Inc. | 62,523 | 2,195 |
Tredegar Corp. | 96,086 | 2,173 |
* Old Dominion Freight Line, Inc. | 84,162 | 2,026 |
Apogee Enterprises, Inc. | 95,555 | 1,845 |
Kaman Corp. Class A | 82,404 | 1,845 |
Bowne & Co., Inc. | 105,438 | 1,681 |
Wabash National Corp. | 100,342 | 1,515 |
* Spherion Corp. | 194,128 | 1,442 |
* Volt Information Sciences Inc. | 28,588 | 1,435 |
Lindsay Manufacturing Co. | 39,842 | 1,301 |
* On Assignment, Inc. | 110,055 | 1,293 |
Standex International Corp. | 41,591 | 1,253 |
Cubic Corp. | 53,436 | 1,160 |
Central Parking Corp. | 61,260 | 1,103 |
CDI Corp. | 43,801 | 1,091 |
* A.S.V., Inc. | 66,720 | 1,086 |
* Mesa Air Group Inc. | 121,297 | 1,040 |
EDO Corp. | 43,512 | 1,033 |
* Frontier Airlines Holdings, Inc. | 124,705 | 923 |
Angelica Corp. | 32,378 | 835 |
Lawson Products, Inc. | 15,843 | 727 |
Vicor Corp. | 63,789 | 709 |
30
Tax-Managed Small-Cap Fund
|
| Market |
|
| Value• |
| Shares | ($000) |
* Lydall, Inc. | 56,010 | 605 |
* Magnatek, Inc. | 102,065 | 577 |
Applied Signal Technology, Inc. | 40,295 | 567 |
The Standard Register Co. | 46,837 | 562 |
C & D Technologies, Inc. | 75,207 | 356 |
|
| 325,773 |
Information Technology (17.1%) |
|
|
Global Payments Inc. | 226,512 | 10,488 |
* Trimble Navigation Ltd. | 187,030 | 9,488 |
* Varian Semiconductor Equipment Associates, Inc. | 194,984 | 8,876 |
* FLIR Systems, Inc. | 232,454 | 7,399 |
* Hyperion Solutions Corp. | 202,620 | 7,282 |
* THQ Inc. | 220,372 | 7,167 |
FactSet Research Systems Inc. | 124,372 | 7,025 |
* MICROS Systems, Inc. | 132,304 | 6,972 |
* Anixter International Inc. | 113,228 | 6,148 |
* CACI International, Inc. | 102,338 | 5,782 |
* ANSYS, Inc. | 130,594 | 5,680 |
* Cymer, Inc. | 122,181 | 5,370 |
* Benchmark Electronics, Inc. | 219,588 | 5,349 |
* Avid Technology, Inc. | 135,897 | 5,064 |
* WebEx Communications, Inc. | 143,929 | 5,022 |
* j2 Global Communications, Inc. | 169,456 | 4,618 |
* Microsemi Corp. | 234,650 | 4,611 |
Daktronics, Inc. | 121,057 | 4,461 |
* Itron, Inc. | 84,844 | 4,398 |
* Take-Two Interactive Software, Inc. | 247,431 | 4,394 |
* eFunds Corp. | 159,004 | 4,373 |
* Digital Insight Corp. | 109,873 | 4,229 |
* Digitas Inc. | 295,074 | 3,957 |
* Kronos, Inc. | 107,071 | 3,934 |
* Global Imaging Systems, Inc. | 178,749 | 3,924 |
* Progress Software Corp. | 140,423 | 3,922 |
* Komag, Inc. | 103,016 | 3,902 |
* ATMI, Inc. | 126,502 | 3,862 |
* Skyworks Solutions, Inc. | 534,977 | 3,788 |
* Websense, Inc. | 163,780 | 3,739 |
* Brooks Automation, Inc. | 254,713 | 3,668 |
Cognex Corp. | 147,921 | 3,523 |
* Rogers Corp. | 59,538 | 3,522 |
Technitrol, Inc. | 136,149 | 3,253 |
* Paxar Corp. | 136,037 | 3,137 |
* NETGEAR, Inc. | 113,892 | 2,990 |
* Comtech Telecommunications Corp. | 77,028 | 2,932 |
Talx Corp. | 106,531 | 2,924 |
United Online, Inc. | 218,140 | 2,897 |
* Aeroflex, Inc. | 246,143 | 2,885 |
* Manhattan Associates, Inc. | 93,628 | 2,816 |
* Cabot Microelectronics Corp. | 79,772 | 2,707 |
* ScanSource, Inc. | 87,714 | 2,667 |
* Open Solutions Inc. | 69,964 | 2,633 |
* Epicor Software Corp. | 189,880 | 2,565 |
* Checkpoint Systems, Inc. | 126,672 | 2,559 |
* Synaptics Inc. | 85,813 | 2,548 |
|
| Market |
|
| Value• |
| Shares | ($000) |
* Coherent, Inc. | 80,698 | 2,548 |
Black Box Corp. | 59,990 | 2,519 |
* Littelfuse, Inc. | 76,590 | 2,442 |
* ViaSat, Inc. | 80,483 | 2,399 |
* Photronics Inc. | 142,587 | 2,330 |
* ManTech International Corp. | 61,830 | 2,277 |
* FEI Co. | 85,187 | 2,246 |
* Advanced Energy Industries, Inc. | 117,665 | 2,220 |
MAXIMUS, Inc. | 70,706 | 2,176 |
Quality Systems, Inc. | 57,059 | 2,127 |
* Standard Microsystem Corp. | 75,855 | 2,122 |
* DSP Group Inc. | 95,292 | 2,068 |
* Altiris, Inc. | 81,387 | 2,066 |
* Hutchinson Technology, Inc. | 86,574 | 2,041 |
* SPSS, Inc. | 65,986 | 1,984 |
I* Electro Scientific ndustries, Inc. | 98,406 | 1,982 |
CTS Corp. | 121,225 | 1,903 |
* Harmonic, Inc. | 253,350 | 1,842 |
* C-COR Inc. | 164,865 | 1,837 |
* Intevac, Inc. | 70,683 | 1,834 |
* Keane, Inc. | 153,894 | 1,833 |
* Adaptec, Inc. | 391,908 | 1,826 |
* Brightpoint, Inc. | 135,099 | 1,817 |
* Supertex, Inc. | 46,017 | 1,806 |
MTS Systems Corp. | 45,031 | 1,739 |
* Sykes Enterprises, Inc. | 96,913 | 1,710 |
* Veeco Instruments, Inc. | 89,662 | 1,679 |
* Axcelis Technologies, Inc. | 286,641 | 1,671 |
Agilysys, Inc. | 99,743 | 1,670 |
* Kulicke & Soffa Industries, Inc. | 193,215 | 1,623 |
Inter-Tel, Inc. | 72,705 | 1,611 |
* Exar Corp. | 122,765 | 1,596 |
* Actel Corp. | 86,901 | 1,578 |
Cohu, Inc. | 77,498 | 1,562 |
* Insight Enterprises, Inc. | 82,459 | 1,556 |
Park Electrochemical Corp. | 58,116 | 1,491 |
* MKS Instruments, Inc. | 65,200 | 1,472 |
* Bankrate, Inc. | 37,441 | 1,421 |
Bel Fuse, Inc. Class B | 40,593 | 1,412 |
* Symmetricom Inc. | 158,084 | 1,410 |
* JDA Software Group, Inc. | 100,345 | 1,382 |
* Secure Computing Corp. | 207,500 | 1,361 |
Methode Electronics, Inc. Class A | 124,162 | 1,345 |
* Rudolph Technologies, Inc. | 83,047 | 1,322 |
* Sonic Solutions, Inc. | 79,307 | 1,293 |
* Ciber, Inc. | 180,405 | 1,223 |
* Blue Coat Systems, Inc. | 49,764 | 1,192 |
* Digi International, Inc. | 84,165 | 1,161 |
X-Rite Inc. | 91,132 | 1,121 |
Gevity HR, Inc. | 47,174 | 1,118 |
* LoJack Corp. | 63,281 | 1,081 |
* Pericom Semiconductor Corp. | 89,677 | 1,029 |
* Gerber Scientific, Inc. | 78,033 | 980 |
* Novatel Wireless, Inc. | 99,622 | 963 |
31
Tax-Managed Small-Cap Fund
|
| Market |
|
| Value• |
| Shares | ($000) |
* MapInfo Corp. | 73,133 | 954 |
* Ultratech, Inc. | 74,878 | 934 |
* RadiSys Corp. | 54,749 | 913 |
* Neoware Systems, Inc. | 65,806 | 869 |
* Mercury Computer Systems, Inc. | 63,448 | 848 |
* Kopin Corp. | 225,342 | 804 |
* EPIQ Systems, Inc. | 45,429 | 771 |
* Captaris Inc. | 99,046 | 770 |
* Bell Microproducts Inc. | 103,346 | 729 |
* Radiant Systems, Inc. | 67,544 | 705 |
Keithley Instruments Inc. | 50,001 | 658 |
* Diodes Inc. | 16,691 | 592 |
* Carreker Corp. | 76,696 | 586 |
* Napster, Inc. | 152,188 | 552 |
* Photon Dynamics, Inc. | 42,762 | 500 |
* Network Equipment Technologies, Inc. | 85,167 | 496 |
Startek, Inc. | 33,986 | 460 |
* Ditech Networks Inc. | 64,375 | 445 |
* Planar Systems, Inc. | 45,525 | 440 |
* Tollgrade Communications, Inc. | 33,056 | 349 |
* Miva Inc. | 92,307 | 313 |
* Phoenix Technologies Ltd. | 54,396 | 245 |
* Catapult Communications Corp. | 24,440 | 219 |
* InfoSpace, Inc. | 9,652 | 198 |
* PC-Tel, Inc. | 16,659 | 156 |
|
| 321,973 |
Materials (5.4%) |
|
|
Carpenter Technology Corp. | 75,359 | 7,726 |
AptarGroup Inc. | 120,084 | 7,090 |
Chaparral Steel Co. | 156,531 | 6,930 |
Cleveland-Cliffs Inc. | 137,578 | 6,664 |
* RTI International Metals, Inc. | 77,961 | 6,098 |
H.B. Fuller Co. | 199,768 | 5,158 |
Texas Industries, Inc. | 79,307 | 5,094 |
* OM Group, Inc. | 99,646 | 4,512 |
Quanex Corp. | 122,617 | 4,241 |
* Century Aluminum Co. | 77,192 | 3,447 |
* Headwaters Inc. | 141,496 | 3,390 |
Rock-Tenn Co. | 109,560 | 2,970 |
MacDermid, Inc. | 86,226 | 2,940 |
Arch Chemicals, Inc. | 82,258 | 2,740 |
Wausau Paper Corp. | 174,134 | 2,610 |
Deltic Timber Corp. | 42,146 | 2,351 |
* Brush Engineered Materials Inc. | 66,851 | 2,258 |
A. Schulman Inc. | 99,258 | 2,209 |
Ryerson Tull, Inc. | 87,843 | 2,204 |
Georgia Gulf Corp. | 109,079 | 2,106 |
AMCOL International Corp. | 74,823 | 2,076 |
Tronox Inc. Class B | 129,576 | 2,046 |
* PolyOne Corp. | 264,916 | 1,987 |
Neenah Paper Inc. | 50,846 | 1,796 |
Myers Industries, Inc. | 101,151 | 1,584 |
* Buckeye Technology, Inc. | 124,968 | 1,497 |
Schweitzer-Mauduit International, Inc. | 53,210 | 1,386 |
|
| Market |
|
| Value• |
| Shares | ($000) |
Chesapeake Corp. of Virginia | 68,473 | 1,165 |
A.M. Castle & Co. | 41,840 | 1,065 |
* Caraustar Industries, Inc. | 100,154 | 810 |
Quaker Chemical Corp. | 33,927 | 749 |
* Omnova Solutions Inc. | 139,840 | 640 |
Steel Technologies, Inc. | 35,943 | 631 |
Penford Corp. | 31,021 | 537 |
* Material Sciences Corp. | 31,700 | 410 |
Wellman, Inc. | 64,861 | 207 |
* Pope & Talbot, Inc. | 37,280 | 204 |
|
| 101,528 |
Telecommunication Services (0.3%) |
|
|
Commonwealth Telephone Enterprises, Inc. | 73,485 | 3,076 |
* General Communication, Inc. | 159,783 | 2,513 |
CT Communications, Inc. | 18,652 | 428 |
|
| 6,017 |
Utilities (5.3%) |
|
|
Energen Corp. | 250,138 | 11,741 |
Southern Union Co. | 356,099 | 9,953 |
UGI Corp. Holding Co. | 352,988 | 9,630 |
Atmos Energy Corp. | 289,765 | 9,246 |
Piedmont Natural Gas, Inc. | 256,305 | 6,856 |
Southwest Gas Corp. | 138,084 | 5,298 |
Cleco Corp. | 191,736 | 4,838 |
ALLETE, Inc. | 103,163 | 4,801 |
New Jersey Resources Corp. | 95,167 | 4,623 |
UniSource Energy Corp. | 119,203 | 4,354 |
Avista Corp. | 170,225 | 4,308 |
* El Paso Electric Co. | 164,994 | 4,021 |
Northwest Natural Gas Co. | 93,659 | 3,975 |
UIL Holdings Corp. | 82,595 | 3,485 |
South Jersey Industries, Inc. | 99,509 | 3,325 |
The Laclede Group, Inc. | 72,727 | 2,548 |
CH Energy Group, Inc. | 46,373 | 2,448 |
American States Water Co. | 57,743 | 2,230 |
Cascade Natural Gas Corp. | 39,632 | 1,027 |
Central Vermont Public Service Corp. | 37,009 | 872 |
Green Mountain Power Corp. | 17,819 | 604 |
|
| 100,183 |
Total Common Stocks |
|
|
(Cost $1,178,982) |
| 1,885,798 |
Temporary Cash Investment (0.0%) |
|
|
1 Vanguard Market Liquidity Fund, 5.294% |
|
|
(Cost $253) | 253,271 | 253 |
Total Investments (100.1%) |
|
|
(Cost $1,179,235) |
| 1,886,051 |
Other Assets and Liabilities (–0.1%) |
|
|
Other Assets—Note B |
| 24,414 |
Liabilities |
| (27,163) |
|
| (2,749) |
Net Assets (100%) |
| 1,883,302 |
32
Tax-Managed Small-Cap Fund
At December 31, 2006, net assets consisted of:2 |
|
| Amount |
| ($000) |
Paid-in Capital | 1,180,500 |
Overdistributed Net Investment Income | (1,649) |
Accumulated Net Realized Losses | (2,365) |
Unrealized Appreciation | 706,816 |
Net Assets | 1,883,302 |
|
|
Investor Shares—Net Assets |
|
Applicable to 68,251,377 outstanding $.001 |
|
par value shares of beneficial interest |
|
(unlimited authorization) | 1,755,672 |
Net Asset Value Per Share— |
|
Investor Shares | $25.72 |
|
|
Institutional Shares—Net Assets |
|
Applicable to 4,952,860 outstanding $.001 |
|
par value shares of beneficial interest |
|
(unlimited authorization) | 127,630 |
Net Asset Value Per Share— |
|
Institutional Shares | $25.77 |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
2 See Note C in Notes to Financial Statements for the tax-basis components of net assets.
REIT—Real Estate Investment Trust.
33
Tax-Managed International Fund
|
| Market |
|
| Value• |
| Shares | ($000) |
Common Stocks (99.9%) |
|
|
Australia (5.4%) |
|
|
BHP Billiton Ltd. | 523,552 | 10,398 |
National Australia Bank Ltd. | 241,279 | 7,670 |
Commonwealth Bank of Australia | 192,608 | 7,490 |
Australia & New Zealand Bank Group Ltd. | 275,313 | 6,102 |
Westpac Banking Corp., Ltd. | 277,464 | 5,286 |
Woolworths Ltd. | 180,549 | 3,396 |
QBE Insurance Group Ltd. | 123,950 | 2,808 |
Rio Tinto Ltd. | 44,291 | 2,575 |
Macquarie Bank Ltd. | 39,415 | 2,446 |
AMP Ltd. | 288,744 | 2,291 |
Woodside Petroleum Ltd. | 72,485 | 2,168 |
Rinker Group Ltd. | 143,539 | 2,029 |
Coles Group Ltd. | 184,030 | 2,027 |
Wesfarmers Ltd. | 60,205 | 1,780 |
Foster’s Group Ltd. | 316,506 | 1,723 |
Brambles Ltd. | 152,274 | 1,534 |
CSL Ltd. | 29,595 | 1,521 |
Suncorp-Metway Ltd. | 91,169 | 1,459 |
Insurance Australia Group Ltd. | 263,439 | 1,314 |
Toll Holdings Ltd. | 87,593 | 1,260 |
Zinifex Ltd. | 83,334 | 1,226 |
Telstra Corp. Ltd. | 374,991 | 1,224 |
Tabcorp Holdings Ltd. | 87,030 | 1,154 |
Newcrest Mining Ltd. | 54,301 | 1,123 |
* Telstra Corp. Ltd. Installment Receipt Exp. 3/31/08 | 527,235 | 1,118 |
Australian Stock Exchange Ltd. | 34,270 | 1,028 |
Orica Ltd. | 53,135 | 1,014 |
Alumina Ltd. | 200,659 | 1,000 |
Origin Energy Ltd. | 144,128 | 936 |
Amcor Ltd. | 158,432 | 904 |
Lend Lease Corp. | 61,161 | 887 |
Transurban Group | 143,831 | 862 |
AXA Asia Pacific Holdings Ltd. | 149,089 | 853 |
* AGL Energy Ltd. | 64,836 | 827 |
* Alinta Ltd. | 88,540 | 825 |
Babcock & Brown Ltd. | 41,689 | 811 |
BlueScope Steel Ltd. | 119,105 | 806 |
Santos Ltd. | 102,281 | 795 |
Aristocrat Leisure Ltd. | 63,633 | 794 |
Qantas Airways Ltd. | 181,892 | 749 |
James Hardie Industries NV | 90,006 | 677 |
John Fairfax Holdings Ltd. | 176,006 | 669 |
Tattersall’s Ltd. | 212,839 | 654 |
Boral Ltd. | 106,200 | 636 |
Coca-Cola Amatil Ltd. | 101,731 | 621 |
* Paladin Resources Ltd. | 85,992 | 600 |
Sonic Healthcare Ltd. | 51,234 | 600 |
Computershare Ltd. | 84,555 | 590 |
CSR Ltd. | 184,450 | 545 |
|
| Market |
|
| Value• |
| Shares | ($000) |
Perpetual Trustees Australia Ltd. | 8,173 | 502 |
Caltex Australia Ltd. | 27,021 | 489 |
WorleyParsons Ltd. | 28,548 | 479 |
Billabong International Ltd. | 34,342 | 470 |
ABC Learning Centres Ltd. | 69,387 | 458 |
Mayne Pharma Ltd. | 142,915 | 458 |
Cochlear Ltd. | 9,870 | 450 |
OneSteel Ltd. | 119,415 | 440 |
Leighton Holdings Ltd. | 27,561 | 438 |
Publishing & Broadcasting Ltd. | 26,140 | 438 |
Symbion Health Ltd. | 145,718 | 434 |
Goodman Fielder Ltd. | 241,247 | 421 |
Macquarie Airports Group | 146,209 | 414 |
Lion Nathan Ltd. | 62,429 | 400 |
Downer EDI Ltd. | 68,785 | 378 |
Harvey Norman Holdings Ltd. | 120,957 | 361 |
Macquarie Communications Infrastructure Group | 72,283 | 358 |
Paperlinx Ltd. | 107,186 | 331 |
Iluka Resources Ltd. | 61,086 | 319 |
APN News & Media Ltd. | 65,745 | 313 |
Challenger Financial Services Group Ltd. | 95,966 | 310 |
Sydney Roads Group | 289,790 | 301 |
Ansell Ltd. | 32,961 | 292 |
Futuris Corp., Ltd. | 177,109 | 274 |
Pacific Brands Ltd. | 123,807 | 254 |
|
| 101,587 |
Austria (0.6%) |
|
|
Erste Bank der Oesterreichischen Sparkassen AG | 28,633 | 2,190 |
Telekom Austria AG | 58,704 | 1,566 |
OMV AG | 26,205 | 1,484 |
* Meinl European Land Ltd. | 38,040 | 975 |
Raiffeisen International Bank-Holding AG | 6,156 | 935 |
Voestalpine AG | 14,482 | 816 |
Wienerberger AG | 12,820 | 760 |
Oesterreichische Elektrizitaetswirtschafts AG Class A | 12,982 | 690 |
Boehler-Uddeholm AG | 8,323 | 581 |
Andritz AG | 2,028 | 439 |
Wiener Staedtische Allgemeine Versicherung AG | 5,196 | 364 |
* RHI AG | 6,705 | 342 |
Mayr-Melnhof Karton AG | 1,375 | 257 |
Flughafen Wien AG | 1,602 | 157 |
* BETandWIN.com Interactive Entertainment AG | 1,916 | 40 |
|
| 11,596 |
34
Tax-Managed International Fund
|
| Market |
|
| Value• |
| Shares | ($000) |
Belgium (1.2%) |
|
|
Fortis Group | 174,401 | 7,416 |
KBC Bank & Verzekerings Holding | 27,701 | 3,388 |
Dexia | 89,718 | 2,449 |
InBev | 26,161 | 1,720 |
Solvay SA | 10,358 | 1,585 |
Belgacom SA | 25,834 | 1,135 |
UCB SA | 14,630 | 1,002 |
Delhaize Group | 11,051 | 918 |
Umicore | 4,229 | 718 |
Colruyt NV | 2,880 | 614 |
Mobistar SA | 5,608 | 477 |
Agfa Gevaert NV | 17,828 | 454 |
Bekaert NV | 2,850 | 355 |
Cofinimmo | 1,641 | 329 |
D’Ieteren SA | 662 | 235 |
Omega Pharma SA | 2,985 | 224 |
Compagnie Maritime Belge SA | 4,471 | 192 |
Euronav SA | 6,069 | 181 |
Barco NV | 1,397 | 127 |
|
| 23,519 |
Denmark (0.8%) |
|
|
Danske Bank A/S | 68,546 | 3,035 |
Novo Nordisk A/S B Shares | 33,044 | 2,749 |
AP Moller-Maersk A/S | 160 | 1,500 |
* Vestas Wind Systems A/S | 28,705 | 1,207 |
Novozymes A/S | 7,424 | 636 |
Danisco A/S | 7,329 | 622 |
DSV, De Sammensluttede Vognmaend A/S | 3,300 | 601 |
* Topdanmark A/S | 3,200 | 527 |
* Jyske Bank A/S | 7,335 | 518 |
GN Store Nord A/S | 32,367 | 476 |
Coloplast A/S B Shares | 5,050 | 455 |
* William Demant A/S | 5,500 | 445 |
Trygvesta AS | 5,107 | 388 |
Carlsberg A/S B Shares | 3,656 | 362 |
FLS Industries A/S B Shares | 5,099 | 323 |
H. Lundbeck A/S | 10,918 | 300 |
Codan A/S | 3,031 | 294 |
Sydbank A/S | 5,520 | 263 |
D/S Torm A/S | 3,635 | 237 |
Bang & Olufsen A/S B Shares | 1,709 | 220 |
NKT Holding A/S | 2,140 | 189 |
East Asiatic Co. A/S | 1,950 | 109 |
|
| 15,456 |
Finland (1.5%) |
|
|
Nokia Oyj | 590,126 | 11,971 |
Fortum Oyj | 66,615 | 1,890 |
UPM-Kymmene Oyj | 74,132 | 1,866 |
Sampo Oyj A Shares | 60,972 | 1,627 |
Stora Enso Oyj R Shares | 84,345 | 1,329 |
Metso Oyj | 19,140 | 963 |
Kone Oyj | 11,930 | 674 |
Elisa Oyj Class A | 24,243 | 662 |
|
| Market |
|
| Value• |
| Shares | ($000) |
Outokumpu Oyj A Shares | 16,600 | 646 |
Neste Oil Oyj | 19,581 | 593 |
Kesko Oyj | 10,860 | 572 |
Wartsila Oyj B Shares | 10,675 | 572 |
Rautaruuki Oyj | 14,370 | 569 |
YIT Oyj | 19,962 | 550 |
TietoEnator Oyj B Shares | 12,255 | 394 |
Cargotec Corp. | 6,897 | 382 |
Uponor Oyj | 9,790 | 365 |
Nokian Renkaat Oyj | 17,840 | 364 |
KCI Konecranes Oyj | 10,900 | 319 |
* Orion Oyj | 14,600 | 317 |
Amer Group Ltd. | 13,971 | 307 |
OKO Bank (Osuuspankkien Keskuspankki Oyj) | 17,542 | 293 |
SanomaWSOY Oyj | 4,602 | 129 |
|
| 27,354 |
France (9.8%) |
|
|
Total SA | 322,198 | 23,160 |
Sanofi-Aventis | 150,583 | 13,869 |
BNP Paribas SA | 123,469 | 13,418 |
AXA | 242,302 | 9,757 |
Societe Generale Class A | 54,747 | 9,252 |
Suez SA | 148,941 | 7,690 |
France Telecom SA | 245,143 | 6,756 |
Vivendi SA | 166,767 | 6,498 |
Carrefour SA | 89,716 | 5,424 |
Groupe Danone | 35,481 | 5,360 |
L’Air Liquide SA (Registered) | 18,111 | 4,287 |
L’Oreal SA | 40,876 | 4,082 |
Vinci SA | 31,957 | 4,069 |
Cie. de St. Gobain SA | 47,300 | 3,959 |
Credit Agricole SA | 90,301 | 3,781 |
Schneider Electric SA | 33,452 | 3,698 |
LVMH Louis Vuitton Moet Hennessy | 34,690 | 3,645 |
Lafarge SA | 22,648 | 3,363 |
Renault SA | 27,881 | 3,335 |
Veolia Environnement | 41,868 | 3,190 |
Alcatel-Lucent | 199,507 | 2,843 |
Pernod Ricard SA | 10,988 | 2,516 |
Accor SA | 28,328 | 2,188 |
* Alstom | 15,828 | 2,134 |
Bouygues SA | 31,389 | 2,008 |
STMicroelectronics NV | 106,291 | 1,960 |
Compagnie Generale des Etablissements Michelin SA | 20,080 | 1,916 |
Alcatel-Lucent ADR | 132,540 | 1,885 |
Unibail Co. | 7,121 | 1,735 |
Euronext NV | 14,179 | 1,668 |
Essilor International SA | 15,245 | 1,635 |
Vallourec SA | 5,442 | 1,571 |
Pinault-Printemps-Redoute SA | 10,268 | 1,529 |
PSA Peugeot Citroen | 22,843 | 1,511 |
Lagardere S.C.A. | 18,762 | 1,505 |
Cap Gemini SA | 19,894 | 1,243 |
35
Tax-Managed International Fund
|
| Market |
|
| Value• |
| Shares | ($000) |
Gaz de France | 25,083 | 1,150 |
Hermes International | 8,175 | 1,021 |
Technip SA | 13,051 | 894 |
Sodexho Alliance SA | 13,812 | 864 |
Air France | 19,641 | 824 |
CNP Assurances | 6,808 | 757 |
Publicis Groupe SA | 17,601 | 741 |
* Atos Origin SA | 11,703 | 691 |
Neopost SA | 5,359 | 672 |
Societe Television Francaise 1 | 17,999 | 666 |
Thomson SA | 33,816 | 660 |
* Business Objects SA | 16,537 | 648 |
Etablissements Economiques du Casino Guichard-Perrachon SA | 6,794 | 629 |
Klepierre | 3,237 | 610 |
Safran SA | 23,793 | 550 |
Thales SA | 10,538 | 524 |
Valeo SA | 12,059 | 500 |
Gecina SA | 2,389 | 456 |
PagesJaunes SA | 20,708 | 411 |
Dassault Systemes SA | 7,746 | 409 |
Zodiac SA | 5,969 | 400 |
Imerys SA | 3,620 | 321 |
SCOR SA | 103,661 | 306 |
Societe BIC SA | 3,486 | 242 |
Societe des Autoroutes Paris-Rhin-Rhone | 2,916 | 232 |
M6 Metropole Television | 5,568 | 198 |
|
| 183,816 |
Germany (7.4%) |
|
|
Allianz AG | 62,998 | 12,791 |
E.On AG | 92,271 | 12,448 |
Siemens AG | 123,691 | 12,126 |
Deutsche Bank AG | 76,084 | 10,097 |
DaimlerChrysler AG (Registered) | 132,842 | 8,152 |
Deutsche Telekom AG | 412,101 | 7,482 |
BASF AG | 72,818 | 7,071 |
RWE AG | 64,376 | 7,053 |
SAP AG | 130,316 | 6,904 |
Bayer AG | 104,395 | 5,569 |
Muenchener Rueckversicherungs-Gesellschaft AG (Registered) | 29,846 | 5,114 |
Commerzbank AG | 93,947 | 3,549 |
Deutsche Post AG | 109,529 | 3,294 |
Volkswagen AG | 25,405 | 2,876 |
Deutsche Boerse AG | 15,517 | 2,848 |
ThyssenKrupp AG | 53,630 | 2,512 |
Continental AG | 19,987 | 2,313 |
Man AG | 19,622 | 1,764 |
Linde AG | 15,575 | 1,603 |
Porsche AG | 1,232 | 1,561 |
Adidas AG | 31,066 | 1,546 |
Metro AG | 23,190 | 1,473 |
* Infineon Technologies AG | 100,900 | 1,414 |
|
| Market |
|
| Value• |
| Shares | ($000) |
Henkel KGaA | 9,373 | 1,375 |
Hypo Real Estate Holding AG | 21,377 | 1,340 |
Fresenius Medical Care AG | 9,342 | 1,241 |
Volkswagen AG Pfd. | 16,019 | 1,195 |
Deutsche Postbank AG | 12,509 | 1,053 |
Deutsche Lufthansa AG | 36,958 | 1,012 |
Puma AG | 1,921 | 745 |
Salzgitter AG | 5,641 | 730 |
TUI AG | 36,212 | 721 |
Merck KGaA | 6,867 | 710 |
Altana AG | 11,131 | 688 |
Celesio AG | 12,617 | 674 |
IVG Immobilien AG | 14,966 | 640 |
RWE AG Pfd. | 5,800 | 549 |
Beiersdorf AG | 8,373 | 541 |
Hochtief AG | 7,322 | 532 |
Rheinmetall AG | 6,594 | 498 |
Wincor Nixdorf AG | 2,903 | 448 |
Heidelberger Druckmaschinen AG | 9,407 | 443 |
Solarworld AG | 6,920 | 431 |
* Qiagen NV | 25,272 | 388 |
* Karstadt Quelle AG | 12,841 | 370 |
Bilfinger Berger AG | 4,886 | 356 |
ProSieben Sat.1 Media AG | 10,486 | 343 |
Douglas Holding AG | 6,424 | 331 |
Suedzucker AG | 12,234 | 295 |
MLP AG | 12,451 | 246 |
* Premier AG | 4,227 | 71 |
|
| 139,526 |
Greece (0.6%) |
|
|
National Bank of Greece SA | 54,616 | 2,502 |
Alpha Credit Bank SA | 52,021 | 1,567 |
* Hellenic Telecommunication Organization SA | 51,352 | 1,535 |
Greek Organization of Football Prognostics | 31,652 | 1,221 |
EFG Eurobank Ergasias | 30,136 | 1,088 |
Bank of Piraeus | 30,893 | 992 |
Cosmote Mobile Communications SA | 20,390 | 601 |
Coca-Cola Hellenic Bottling Co. SA | 15,207 | 593 |
Public Power Corp. | 18,490 | 467 |
Titan Cement Co. SA | 6,400 | 347 |
Hellenic Technodomiki Tev SA | 28,696 | 319 |
Hellenic Petroleum SA | 22,730 | 311 |
Hellenic Exchanges SA | 11,100 | 203 |
Viohalco, Hellenic Copper & Aluminum Industry SA | 12,610 | 156 |
* Intracom SA | 17,180 | 116 |
Motor Oil (Hellas) Corinth Refineries SA | 3,866 | 99 |
Folli-Follie SA | 1,400 | 55 |
Technical Olympic SA | 16,350 | 54 |
|
| 12,226 |
36
Tax-Managed International Fund
|
| Market |
|
| Value• |
| Shares | ($000) |
Hong Kong (1.8%) |
|
|
Hutchison Whampoa Ltd. | 304,512 | 3,088 |
Cheung Kong Holdings Ltd. | 227,500 | 2,795 |
Sun Hung Kai Properties Ltd. | 207,064 | 2,372 |
CLP Holdings Ltd. | 263,232 | 1,943 |
Hong Kong Exchanges & Clearing Ltd. | 165,000 | 1,807 |
Hang Seng Bank Ltd. | 119,043 | 1,626 |
Boc Hong Kong Holdings Ltd. | 575,000 | 1,558 |
Swire Pacific Ltd. A Shares | 142,198 | 1,525 |
Esprit Holdings Ltd. | 133,972 | 1,492 |
Bank of East Asia Ltd. | 208,149 | 1,175 |
Hong Kong & China Gas Co., Ltd. | 502,177 | 1,129 |
Li & Fung Ltd. | 350,835 | 1,089 |
* Foxconn International Holdings Ltd. | 323,000 | 1,054 |
Hong Kong Electric Holdings Ltd. | 188,600 | 922 |
New World Development Co., Ltd. | 409,750 | 821 |
Hang Lung Properties Ltd. | 316,700 | 795 |
Wharf Holdings Ltd. | 196,215 | 724 |
Henderson Land Development Co. Ltd. | 123,006 | 686 |
* Hutchison Telecommunications International Ltd. | 240,000 | 605 |
Sino Land Co. | 211,000 | 491 |
MTR Corp. | 179,500 | 451 |
Kerry Properties Ltd. | 89,500 | 418 |
PCCW Ltd. | 687,000 | 418 |
Wing Hang Bank Ltd. | 34,500 | 405 |
Cathay Pacific Airways Ltd. | 164,170 | 404 |
Hopewell Holdings Ltd. | 114,000 | 399 |
Kingboard Chemical Holdings Ltd. | 101,000 | 397 |
Yue Yuen Industrial (Holdings) Ltd. | 107,000 | 340 |
Hysan Development Co., Ltd. | 121,000 | 316 |
Shangri-La Asia Ltd. | 117,059 | 301 |
Shun Tak Holdings Ltd. | 186,000 | 284 |
Techtronic Industries Co., Ltd. | 209,000 | 270 |
ASM Pacific Technology Ltd. | 38,000 | 211 |
Cheung Kong Infrastructure Holdings Ltd. | 59,000 | 183 |
Giordano International Ltd. | 333,000 | 181 |
Television Broadcasts Ltd. | 29,000 | 177 |
* Melco PBL Entertainment (Macau) Ltd. ADR | 8,000 | 170 |
Orient Overseas International Ltd. | 25,300 | 161 |
Texwinca Holdings Ltd. | 224,000 | 155 |
Johnson Electric Holdings Ltd. | 200,998 | 138 |
Melco International Development Corp. | 55,000 | 130 |
Solomon Systech International Ltd. | 596,000 | 92 |
|
| 33,698 |
|
| Market |
|
| Value• |
| Shares | ($000) |
Ireland (0.9%) |
|
|
Allied Irish Banks PLC | 132,736 | 3,958 |
CRH PLC | 77,137 | 3,205 |
Bank of Ireland | 138,126 | 3,177 |
Irish Life & Permanent PLC | 37,932 | 1,044 |
* Elan Corp. PLC | 68,689 | 994 |
C&C Group PLC | 36,631 | 649 |
Kerry Group PLC A Shares | 24,705 | 616 |
* Grafton Group PLC | 34,703 | 578 |
IAWS Group PLC | 19,285 | 493 |
* Ryanair Holdings PLC | 35,282 | 484 |
Independent News & Media PLC | 113,866 | 452 |
Kingspan Group PLC | 13,404 | 355 |
DCC PLC | 9,780 | 332 |
Paddy Power PLC | 9,665 | 192 |
Fyffes PLC | 57,371 | 135 |
Greencore Group PLC | 13,017 | 81 |
|
| 16,745 |
Italy (3.9%) |
|
|
ENI SpA | 385,603 | 12,956 |
Unicredito Italiano SpA | 1,151,765 | 10,058 |
ENEL SpA | 639,818 | 6,587 |
Assicurazioni Generali SpA | 138,676 | 6,067 |
Telecom Italia SpA | 1,596,645 | 4,805 |
Banca Intesa SpA | 567,912 | 4,369 |
San Paolo-IMI SpA | 157,536 | 3,652 |
Telecom Italia SpA RNC | 929,050 | 2,350 |
Capitalia SpA | 244,117 | 2,301 |
Mediobanca Banca di Credito Finanziaria SpA | 75,052 | 1,766 |
* Fiat SpA | 86,448 | 1,647 |
Banco Popolare di Verona e Novara Scarl SpA | 49,779 | 1,425 |
Mediaset SpA | 116,784 | 1,382 |
Banche Popolari Unite Scarl SpA | 50,028 | 1,371 |
Banca Popolare di Milano SpA | 67,119 | 1,159 |
Banca Monte dei Paschi di Siena SpA | 176,353 | 1,138 |
Banca Intesa SpA Non Convertible Risp. | 150,274 | 1,093 |
Autostrade SpA | 37,226 | 1,067 |
Finmeccanica SpA | 38,416 | 1,038 |
Snam Rete Gas SpA | 160,036 | 906 |
Alleanza Assicurazioni SpA | 67,574 | 899 |
Terna SpA | 206,837 | 699 |
Luxottica Group SpA | 17,005 | 521 |
Pirelli & C. Accomandita per Azioni SpA | 513,121 | 510 |
Mediolanum SpA | 48,862 | 397 |
Fondiaria - Sai SpA | 8,309 | 396 |
Seat Pagine Gialle SpA | 655,900 | 390 |
Autogrill SpA | 19,325 | 354 |
Lottomatica SpA | 7,207 | 299 |
37
Tax-Managed International Fund
|
| Market |
|
| Value• |
| Shares | ($000) |
Compagnia Assicuratrice Unipol SpA | 84,705 | 274 |
Mondadori (Arnoldo)Editore SpA | 25,006 | 261 |
Italcementi SpA | 8,752 | 246 |
Gruppo Editoriale L’Espresso SpA | 38,823 | 210 |
Bulgari SpA | 13,389 | 189 |
Benetton Group SpA | 4,600 | 88 |
* Tiscali SpA | 17,212 | 57 |
* Parmalat Finanziaria SpA | 34,147 | — |
|
| 72,927 |
Japan (22.5%) |
|
|
Toyota Motor Corp. | 425,487 | 28,441 |
Mitsubishi UFJ Financial Group | 1,276 | 15,805 |
Mizuho Financial Group, Inc. | 1,412 | 10,059 |
Sumitomo Mitsui Financial Group, Inc. | 914 | 9,350 |
Honda Motor Co., Ltd. | 231,800 | 9,137 |
Takeda Pharmaceutical Co. Ltd. | 132,194 | 9,049 |
Canon, Inc. | 157,333 | 8,847 |
Sony Corp. | 145,000 | 6,202 |
Tokyo Electric Power Co. | 182,070 | 5,875 |
Matsushita Electric Industrial Co., Ltd. | 286,153 | 5,731 |
Nippon Steel Corp. | 919,000 | 5,266 |
Nomura Holdings Inc. | 266,000 | 5,012 |
Mitsubishi Estate Co., Ltd. | 176,000 | 4,542 |
JFE Holdings, Inc. | 84,000 | 4,314 |
NTT DoCoMo, Inc. | 2,670 | 4,220 |
Nissan Motor Co., Ltd. | 340,400 | 4,102 |
Shin-Etsu Chemical Co., Ltd. | 58,700 | 3,913 |
Seven and I Holdings Co., Ltd. | 124,120 | 3,855 |
Nintendo Co. | 14,900 | 3,853 |
Nippon Telegraph and Telephone Corp. | 776 | 3,822 |
Mitsubishi Corp. | 203,050 | 3,810 |
Millea Holdings, Inc. | 107,500 | 3,803 |
Astellas Pharma Inc. | 80,414 | 3,641 |
Mitsui & Co., Ltd. | 236,000 | 3,532 |
East Japan Railway Co. | 514 | 3,422 |
Daiichi Sankyo Co., Ltd. | 108,063 | 3,367 |
Japan Tobacco, Inc. | 678 | 3,273 |
Kansai Electric Power Co., Inc. | 116,850 | 3,142 |
Hitachi Ltd. | 502,000 | 3,123 |
Mitsui Fudosan Co., Ltd. | 127,000 | 3,090 |
Chubu Electric Power Co. | 100,700 | 3,005 |
Fuji Photo Film Co., Ltd. | 73,000 | 3,003 |
Denso Corp. | 74,000 | 2,930 |
Komatsu Ltd. | 137,000 | 2,769 |
Toshiba Corp. | 418,000 | 2,713 |
Sumitomo Metal Industries Ltd. | 624,000 | 2,706 |
Fanuc Co., Ltd. | 26,900 | 2,637 |
Sharp Corp. | 149,000 | 2,559 |
Central Japan Railway Co. | 241 | 2,481 |
|
| Market |
|
| Value• |
| Shares | ($000) |
KDDI Corp. | 365 | 2,475 |
Mitsubishi Electric Corp. | 271,000 | 2,466 |
Sumitomo Corp. | 164,000 | 2,452 |
Kyocera Corp. | 24,700 | 2,332 |
T & D Holdings, Inc. | 35,250 | 2,324 |
Hoya Corp. | 58,100 | 2,262 |
Fujitsu Ltd. | 281,000 | 2,199 |
Softbank Corp. | 113,300 | 2,192 |
Daiwa Securities Group Inc. | 191,000 | 2,135 |
Aeon Co., Ltd. | 98,473 | 2,127 |
Mitsubishi Heavy Industries Ltd. | 468,000 | 2,121 |
Bridgestone Corp. | 94,631 | 2,109 |
Ricoh Co. | 101,000 | 2,054 |
Eisai Co., Ltd. | 36,400 | 1,997 |
Murata Manufacturing Co., Ltd. | 29,400 | 1,981 |
Sumitomo Trust & Banking Co., Ltd. | 186,000 | 1,945 |
Mitsui Sumitomo Insurance Co. | 177,880 | 1,938 |
Resona Holdings Inc. | 706 | 1,924 |
Kao Corp. | 70,401 | 1,892 |
Itochu Corp. | 231,000 | 1,891 |
Sumitomo Realty & Development Co. | 59,000 | 1,889 |
Tokyo Gas Co., Ltd. | 346,000 | 1,835 |
Kirin Brewery Co., Ltd. | 116,000 | 1,820 |
Sumitomo Chemical Co. | 229,000 | 1,770 |
Tokyo Electron Ltd. | 22,200 | 1,744 |
Sumitomo Electric Industries Ltd. | 112,000 | 1,742 |
Asahi Glass Co., Ltd. | 143,035 | 1,712 |
Tohoku Electric Power Co. | 66,400 | 1,658 |
Rohm Co., Ltd. | 16,100 | 1,600 |
Kubota Corp. | 171,000 | 1,582 |
Kyushu Electric Power Co., Inc. | 58,400 | 1,538 |
Dai-Nippon Printing Co., Ltd. | 97,000 | 1,494 |
NEC Corp. | 307,400 | 1,472 |
Sompo Japan Insurance Inc. | 120,000 | 1,460 |
Nikko Securities Co., Ltd. | 127,087 | 1,456 |
Secom Co., Ltd. | 28,000 | 1,448 |
Keyence Corp. | 5,871 | 1,447 |
Daiwa House Industry Co., Ltd. | 83,000 | 1,437 |
Mitsui OSK Lines Ltd. | 142,000 | 1,401 |
Advantest Corp. | 24,000 | 1,374 |
Nippon Oil Corp. | 199,000 | 1,329 |
Shinsei Bank, Ltd. | 223,091 | 1,310 |
TDK Corp. | 16,400 | 1,304 |
Toray Industries, Inc. | 172,000 | 1,285 |
Asahi Kasei Corp. | 193,000 | 1,264 |
Mitsui Trust Holding Inc. | 110,100 | 1,256 |
Shiseido Co., Ltd. | 58,000 | 1,254 |
Daikin Industries Ltd. | 35,900 | 1,245 |
Kobe Steel Ltd. | 361,000 | 1,234 |
SMC Corp. | 8,700 | 1,230 |
Ajinomoto Co., Inc. | 93,000 | 1,228 |
38
Tax-Managed International Fund
|
| Market |
|
| Value• |
| Shares | ($000) |
Nippon Yusen Kabushiki Kaisha Co. | 168,000 | 1,227 |
Marubeni Corp. | 240,000 | 1,214 |
Bank of Yokohama Ltd. | 155,000 | 1,209 |
Nidec Corp. | 15,600 | 1,206 |
West Japan Railway Co. | 273 | 1,164 |
Nitto Denko Corp. | 23,300 | 1,162 |
Yamada Denki Co., Ltd. | 13,600 | 1,153 |
Electric Power Development Co., Ltd. | 25,240 | 1,109 |
Sekisui House Ltd. | 75,859 | 1,100 |
Hankyu Corp. | 192,304 | 1,092 |
Sumitomo Metal Mining Co. | 84,000 | 1,076 |
* Inpex Holdings, Inc. | 131 | 1,073 |
Mitsubishi Chemical Holdings Corp. | 167,500 | 1,053 |
Osaka Gas Co., Ltd. | 282,000 | 1,047 |
Ibiden Co., Ltd. | 20,600 | 1,035 |
Aisin Seiki Co., Ltd. | 30,700 | 1,028 |
Nippon Mining Holdings Inc. | 141,000 | 1,012 |
NTT Data Corp. | 202 | 1,010 |
Omron Corp. | 35,500 | 1,003 |
Terumo Corp. | 25,300 | 991 |
Chiba Bank Ltd. | 114,000 | 961 |
Olympus Corp. | 30,000 | 940 |
Asahi Breweries Ltd. | 58,800 | 938 |
JS Group Corp. | 44,412 | 933 |
Shizuoka Bank Ltd. | 93,000 | 920 |
Toppan Printing Co., Ltd. | 82,000 | 902 |
Credit Saison Co., Ltd. | 26,200 | 899 |
Chugai Pharmaceutical Co., Ltd. | 43,500 | 894 |
Toyota Tsusho Corp. | 33,293 | 890 |
Sumitomo Heavy Industries Ltd. | 83,000 | 869 |
Dentsu Inc. | 296 | 867 |
* Konica Minolta Holdings, Inc. | 61,500 | 867 |
Shionogi & Co., Ltd. | 44,000 | 863 |
* Elpida Memory Inc. | 15,300 | 839 |
Tokyu Corp. | 130,000 | 831 |
Casio Computer Co. | 35,800 | 811 |
Mitsui Chemicals, Inc. | 105,000 | 806 |
Hokkaido Electric Power Co., Ltd. | 30,900 | 788 |
Nikon Corp. | 36,000 | 788 |
Yamato Holdings Co., Ltd. | 51,000 | 782 |
Takefuji Corp. | 19,090 | 754 |
Yahoo Japan Corp. | 1,887 | 747 |
Nippon Express Co., Ltd. | 136,000 | 743 |
Bank of Fukuoka, Ltd. | 102,000 | 741 |
Fast Retailing Co., Ltd. | 7,700 | 733 |
Kintetsu Corp. | 246,190 | 716 |
Yamaha Motor Co., Ltd. | 22,700 | 713 |
Leopalace21 Corp. | 22,300 | 711 |
Hokuhoku Financial Group, Inc. | 191,100 | 698 |
OJI Paper Co., Ltd. | 126,000 | 667 |
Odakyu Electric Railway Co. | 104,000 | 663 |
NSK Ltd. | 67,000 | 659 |
|
| Market |
|
| Value• |
| Shares | ($000) |
Ishikawajima-Harima Heavy Industries Co. | 195,000 | 657 |
Tokyu Land Corp. | 70,000 | 657 |
Nippon Electric Glass Co., Ltd. | 31,000 | 649 |
Takashimaya Co. | 45,860 | 647 |
Mitsubishi Gas Chemical Co. | 61,000 | 637 |
Daito Trust Construction Co., Ltd. | 13,800 | 633 |
Ohbayashi Corp. | 97,000 | 628 |
Tobu Railway Co., Ltd. | 129,000 | 622 |
Joyo Bank Ltd. | 111,000 | 612 |
Keio Electric Railway Co., Ltd. | 94,000 | 607 |
Teijin Ltd. | 98,000 | 603 |
Matsushita Electric Works, Ltd. | 52,000 | 602 |
Hirose Electric Co., Ltd. | 5,300 | 600 |
Showa Denko K.K. | 155,000 | 594 |
Sega Sammy Holdings Inc. | 21,888 | 588 |
Makita Corp. | 19,000 | 582 |
Nomura Research Institute, Ltd. | 4,000 | 579 |
Tokyo Tatemono Co., Ltd. | 52,000 | 578 |
Kawasaki Heavy Industries Ltd. | 154,000 | 576 |
Yamaha Corp. | 26,900 | 569 |
Nissin Food Products Co., Ltd. | 15,200 | 562 |
Nippon Paper Group, Inc. | 149 | 560 |
JTEKT Corp. | 26,100 | 552 |
Furukawa Electric Co. | 88,000 | 551 |
Kajima Corp. | 126,000 | 551 |
Tanabe Seiyaku Co., Ltd. | 42,000 | 549 |
NTN Corp. | 61,000 | 546 |
Rakuten, Inc. | 1,154 | 537 |
Sapporo Hokuyo Holdings, Inc. | 55 | 530 |
Kuraray Co., Ltd. | 45,000 | 530 |
CSK Corp. | 12,400 | 528 |
Taisho Pharmaceutical Co. | 29,000 | 526 |
NGK Spark Plug Co. | 28,000 | 525 |
JSR Corp. | 20,300 | 525 |
Namco Bandai Holdings Inc. | 35,600 | 523 |
THK Co., Inc. | 20,200 | 519 |
Fuji Electric Holdings Co., Ltd. | 96,000 | 519 |
Sankyo Co., Ltd. | 9,400 | 518 |
TonenGeneral Sekiyu K.K. | 52,000 | 514 |
Shimizu Corp. | 103,000 | 514 |
Sumco Corp. | 6,030 | 509 |
Isetan Co. | 27,800 | 500 |
Toto Ltd. | 50,000 | 498 |
Nisshin Steel Co. | 134,000 | 496 |
Yokogawa Electric Corp. | 31,000 | 490 |
Stanley Electric Co. | 24,500 | 489 |
Mitsubishi Securities Co., Ltd. | 44,000 | 489 |
Taiheiyo Cement Corp. | 124,000 | 485 |
Japan Steel Works Ltd. | 61,513 | 480 |
NGK Insulators Ltd. | 31,000 | 479 |
Susuken Co., Ltd. | 12,660 | 475 |
Keihin Electric Express Railway Co., Ltd. | 69,000 | 475 |
Marui Co., Ltd. | 40,700 | 473 |
Oriental Land Co., Ltd. | 9,000 | 470 |
39
Tax-Managed International Fund
|
| Market |
|
| Value• |
| Shares | ($000) |
Citizen Watch Co., Ltd. | 61,600 | 470 |
Promise Co., Ltd. | 14,567 | 450 |
Mitsubishi Materials Corp. | 120,000 | 450 |
Daimaru, Inc. | 33,000 | 447 |
JGC Corp. | 26,000 | 446 |
Fujikura Ltd. | 50,000 | 439 |
Toyo Seikan Kaisha Ltd. | 26,500 | 438 |
Benesse Corp. | 11,500 | 438 |
Yakult Honsha Co., Ltd. | 15,200 | 435 |
Shimamura Co., Ltd. | 3,800 | 435 |
All Nippon Airways Co., Ltd. | 123,000 | 434 |
Acom Co., Ltd. | 12,840 | 430 |
Chiyoda Corp. | 22,000 | 430 |
Kawasaki Kisen Kaisha Ltd. | 55,000 | 429 |
Lawson Inc. | 12,000 | 429 |
Trend Micro Inc. | 14,500 | 425 |
Amada Co., Ltd. | 40,000 | 423 |
The Nishi-Nippon City Bank, Ltd. | 98,000 | 422 |
The Suruga Bank, Ltd. | 34,000 | 421 |
Mitsubishi Rayon Co., Ltd. | 62,000 | 416 |
Sumitomo Titanium Corp. | 3,714 | 414 |
SBI Holdings, Inc. | 1,225 | 411 |
Mitsui Mining & Smelting Co., Ltd. | 82,000 | 410 |
Sekisui Chemical Co. | 51,000 | 405 |
Aiful Corp. | 14,450 | 405 |
Uny Co., Ltd. | 31,000 | 404 |
Bank of Kyoto Ltd. | 43,000 | 400 |
Santen Pharmaceutical Co. Ltd. | 14,200 | 399 |
Taisei Corp. | 131,000 | 398 |
Tokuyama Corp. | 26,000 | 394 |
77 Bank Ltd. | 62,000 | 392 |
Nisshin Seifun Group Inc. | 37,900 | 391 |
Pioneer Corp. | 28,300 | 387 |
Sumitomo Rubber Industries Ltd. | 30,000 | 386 |
Gunma Bank Ltd. | 64,000 | 384 |
Kamigumi Co., Ltd. | 46,000 | 376 |
Toyobo Ltd. | 124,000 | 374 |
Seiko Epson Corp. | 15,100 | 366 |
Dai-Nippon Screen Manufacturing Co., Ltd. | 40,000 | 358 |
Mitsubishi Logistics Corp. | 23,000 | 355 |
NOK Corp. | 17,800 | 351 |
Kyowa Hakko Kogyo Co. | 41,000 | 350 |
MEDICEO Holdings Co., Ltd. | 18,500 | 350 |
Onward Kashiyama Co., Ltd. | 27,000 | 344 |
Tosoh Corp. | 78,000 | 344 |
Aeon Credit Service Co. Ltd. | 18,010 | 341 |
Otsuka Corp. | 3,360 | 341 |
Shimano, Inc. | 11,700 | 339 |
Kikkoman Corp. | 28,000 | 337 |
Nitori Co., Ltd. | 7,800 | 337 |
* Japan Airlines System Co. | 189,000 | 336 |
|
| Market |
|
| Value• |
| Shares | ($000) |
Dai-Nippon Ink & Chemicals, Inc. | 86,000 | 335 |
Shinko Securities Co., Ltd. | 86,000 | 333 |
Toyoda Gosei Co., Ltd. | 14,400 | 333 |
Shinko Electric Industries Co., Ltd. | 12,573 | 327 |
Konami Corp. | 10,700 | 323 |
Mabuchi Motor Co. | 5,400 | 320 |
Tokai Rika Co., Ltd. | 12,400 | 315 |
Hitachi Chemical Co., Ltd. | 11,400 | 314 |
Wacoal Corp. | 23,000 | 312 |
* Haseko Corp. | 87,422 | 312 |
Obic Co., Ltd. | 1,500 | 310 |
Oracle Corp. Japan | 6,700 | 310 |
* Sanyo Electric Co., Ltd. | 240,000 | 304 |
Mitsukoshi, Ltd. | 65,000 | 303 |
Alps Electric Co., Ltd. | 28,000 | 303 |
ZEON Corp. | 28,000 | 302 |
Shimachu Co. | 10,400 | 301 |
Meiji Seika Kaisha Ltd. | 63,000 | 301 |
Hitachi Construction Machinery Co. | 11,000 | 295 |
Ube Industries Ltd. | 103,000 | 295 |
Canon Sales Co. Inc. | 13,000 | 295 |
Showa Shell Sekiyu K.K. | 26,100 | 292 |
Kaneka Corp. | 32,000 | 290 |
Kokuyo Co., Ltd. | 18,400 | 290 |
Nisshinbo Industries, Inc. | 28,000 | 289 |
Ushio Inc. | 14,000 | 287 |
Nippon Shokubai Co., Ltd. | 27,000 | 287 |
Daifuku Co., Ltd. | 18,000 | 283 |
Asics Corp. | 22,596 | 283 |
NHK Spring Co. | 27,000 | 283 |
JAFCO Co., Ltd. | 5,700 | 281 |
Dowa Mining Co. Ltd. | 32,000 | 274 |
Uni-Charm Corp. | 4,600 | 273 |
Hakuhodo DY Holdings Inc. | 4,200 | 272 |
Seino Transportation Co., Ltd. | 29,000 | 272 |
Hino Motors, Ltd. | 53,000 | 271 |
Nippon Sanso Corp. | 30,000 | 269 |
Denki Kagaku Kogyo K.K. | 64,000 | 265 |
Toho Co., Ltd. | 14,700 | 265 |
FamilyMart Co., Ltd. | 9,500 | 258 |
Minebea Co., Ltd. | 37,000 | 258 |
* K.K. DaVinci Advisors | 259 | 256 |
Itochu Techno-Science Corp. | 4,800 | 255 |
Kose Corp. | 8,320 | 251 |
Sanwa Shutter Corp. | 42,000 | 248 |
House Foods Industry Corp. | 15,000 | 247 |
Mitsui Engineering & Shipbuilding Co., Ltd. | 76,000 | 247 |
Katokichi Co., Ltd. | 30,200 | 245 |
EDION Corp. | 16,514 | 244 |
Kurita Water Industries Ltd. | 11,100 | 239 |
Fuji Television Network, Inc. | 104 | 237 |
Hitachi Capital Corp. | 12,100 | 230 |
40
Tax-Managed International Fund
|
| Market |
|
| Value• |
| Shares | ($000) |
* Access Co., Ltd. | 50 | 230 |
Coca-Cola West Japan Co. Ltd. | 9,900 | 229 |
Matsui Securities Co., Ltd. | 29,500 | 224 |
Nippon Kayaku Co., Ltd. | 28,000 | 223 |
Nissan Chemical Industries, Ltd. | 18,000 | 223 |
Central Glass Co., Ltd. | 39,000 | 223 |
Ryohin Keikaku Co., Ltd. | 2,900 | 222 |
Glory Ltd. | 12,500 | 219 |
Daido Steel Co., Ltd. | 33,000 | 219 |
Kinden Corp. | 27,000 | 218 |
Circle K Sunkus Co., Ltd. | 12,200 | 216 |
Round One Corp. | 73 | 215 |
ARRK Corp. | 14,343 | 215 |
Taiyo Yuden Co., Ltd. | 12,000 | 212 |
Tokyo Broadcasting System, Inc. | 6,200 | 206 |
SFCG Co., Ltd. | 1,320 | 205 |
Daicel Chemical Industries Ltd. | 29,000 | 204 |
Asatsu-DK Inc. | 6,400 | 203 |
Kaken Pharmaceutical Co. | 26,000 | 203 |
TIS Inc. | 8,400 | 199 |
Aoyama Trading Co., Ltd. | 6,600 | 198 |
Sanken Electric Co., Ltd. | 16,000 | 197 |
Nippon Sheet Glass Co., Ltd. | 42,000 | 196 |
Meiji Dairies Corp. | 25,000 | 196 |
Nippon Meat Packers, Inc. | 18,000 | 196 |
Mitsumi Electric Co., Ltd. | 8,900 | 195 |
Ebara Corp. | 51,000 | 195 |
Toda Corp. | 46,000 | 195 |
Nishimatsu Construction Co. | 59,000 | 194 |
Index Holdings | 332 | 194 |
Aderans Co. Ltd. | 7,800 | 193 |
Oki Electric Industry Co. Ltd. | 86,000 | 191 |
Gunze Ltd. | 38,000 | 191 |
* Sojitz Holdings Corp. | 62,800 | 190 |
Ito En, Ltd. | 6,200 | 189 |
Amano Corp. | 15,000 | 188 |
SBI E*Trade Securities Co., Ltd. | 197 | 187 |
* NEC Electronics Corp. | 6,400 | 186 |
Q.P. Corp. | 21,400 | 185 |
Sapporo Holdings Ltd. | 32,000 | 182 |
USS Co., Ltd. | 2,780 | 181 |
Comsys Holdings Corp. | 16,000 | 177 |
Hankyu Department Stores, Inc. | 21,000 | 175 |
Kansai Paint Co., Ltd. | 22,000 | 174 |
Yaskawa Electric Corp. | 15,000 | 173 |
Net One Systems Co., Ltd. | 130 | 171 |
Rinnai Corp. | 5,700 | 170 |
The Goodwill Group, Inc. | 205 | 167 |
Hikari Tsushin, Inc. | 3,800 | 167 |
Nichirei Corp. | 29,000 | 162 |
Toyo Suisan Kaisha, Ltd. | 10,000 | 160 |
Tokyo Style Co. | 14,000 | 151 |
Sumitomo Osaka Cement Co., Ltd. | 45,000 | 147 |
Hitachi High-Technologies Corp. | 4,851 | 144 |
Tokyo Steel Manufacturing Co. | 9,200 | 143 |
|
| Market |
|
| Value• |
| Shares | ($000) |
eAccess Ltd. | 251 | 141 |
Yamazaki Baking Co., Ltd. | 14,000 | 136 |
Alfresa Holdings Corp. | 2,200 | 133 |
Sumitomo Bakelite Co. Ltd. | 19,000 | 131 |
Komori Corp. | 7,000 | 130 |
Meitec Corp. | 4,300 | 130 |
Takara Holdings Inc. | 20,000 | 129 |
Hitachi Cable Ltd. | 22,000 | 123 |
Nippon Light Metal Co. | 46,000 | 118 |
Autobacs Seven Co., Ltd. | 3,200 | 117 |
Keisei Electric Railway Co., Ltd. | 20,000 | 113 |
Toho Titanium Co., Ltd. | 2,022 | 106 |
Okumura Corp. | 21,000 | 103 |
Matsumotokiyoshi Co., Ltd. | 4,500 | 100 |
Tokyo Seimitsu Co., Ltd. | 1,904 | 90 |
Okuma Corp. | 7,373 | 85 |
Fuji Soft ABC Inc. | 3,200 | 76 |
Park24 Co., Ltd. | 4,222 | 54 |
OSG Corp. | 3,041 | 50 |
Uniden Corp. | 7,000 | 48 |
* Dowa Mining Co., Ltd. Rights Exp. 1/29/10 | 32,000 | 14 |
|
| 424,444 |
Netherlands (3.7%) |
|
|
ING Groep NV | 277,693 | 12,258 |
ABN-AMRO Holding NV | 269,368 | 8,626 |
Unilever NV | 247,484 | 6,742 |
Koninklijke (Royal) Philips Electronics NV | 174,219 | 6,544 |
Mittal Steel Company NV (Paris Shares) | 104,528 | 4,401 |
Koninklijke KPN NV | 289,046 | 4,098 |
Aegon NV | 210,250 | 3,986 |
TNT NV | 59,849 | 2,570 |
Akzo Nobel NV | 40,095 | 2,441 |
* Koninklijke Ahold NV | 210,732 | 2,233 |
* ASML Holding NV | 73,913 | 1,822 |
Reed Elsevier NV | 106,823 | 1,817 |
Heineken NV | 37,289 | 1,770 |
European Aeronautic Defence and Space Co. | 45,706 | 1,567 |
Koninklijke DSM NV | 23,885 | 1,177 |
Koninklijke Numico NV | 21,623 | 1,160 |
Rodamco Europe NV | 8,535 | 1,132 |
Wolters Kluwer NV | 38,788 | 1,112 |
Vedior NV | 27,910 | 576 |
SBM Offshore NV | 16,412 | 563 |
Corio NV | 6,849 | 558 |
Randstad Holding NV | 7,573 | 522 |
Wereldhave NV | 3,585 | 476 |
* Hagemeyer NV | 86,573 | 437 |
Fugro NV | 7,662 | 365 |
Buhrmann NV | 21,001 | 311 |
Oce NV | 16,556 | 270 |
Getronics NV | 12,395 | 100 |
|
| 69,634 |
41
Tax-Managed International Fund
|
| Market |
|
| Value• |
| Shares | ($000) |
New Zealand (0.2%) |
|
|
Telecom Corp. of New Zealand Ltd. | 275,981 | 934 |
Fletcher Building Ltd. | 63,252 | 493 |
Sky City Entertainment Group Ltd. | 82,761 | 300 |
Auckland International Airport Ltd. | 186,250 | 287 |
Contact Energy Ltd. | 46,220 | 271 |
Fisher & Paykel Healthcare Corp. Ltd. | 74,048 | 222 |
The Warehouse Group Ltd. | 43,707 | 221 |
Sky Network Television Ltd. | 42,839 | 198 |
* Tower Ltd. | 42,538 | 66 |
Fisher & Paykel Appliances Holdings Ltd. | 24,054 | 65 |
Vector Ltd. | 24,000 | 43 |
|
| 3,100 |
Norway (0.9%) |
|
|
Norsk Hydro ASA | 102,550 | 3,170 |
Statoil ASA | 91,736 | 2,419 |
Telenor ASA | 116,526 | 2,187 |
Orkla ASA | 30,005 | 1,694 |
DnB NOR ASA | 105,480 | 1,495 |
* Acergy SA | 34,455 | 658 |
* Petroleum Geo-Services ASA | 26,220 | 615 |
Norske Skogindustrier ASA | 32,914 | 566 |
Yara International ASA | 24,352 | 552 |
Storebrand ASA | 41,200 | 522 |
* SeaDrill Ltd. | 29,759 | 500 |
Prosafe ASA | 35,155 | 498 |
Aker Kvaerner ASA | 2,919 | 363 |
Schibsted ASA | 9,980 | 357 |
Tandberg ASA | 23,700 | 356 |
* TGS Nopec Geophysical Co. ASA | 16,641 | 344 |
Frontline Ltd. | 9,560 | 308 |
* Pan Fish ASA | 198,908 | 181 |
Tomra Systems ASA | 23,800 | 163 |
* Tandberg Television ASA | 9,271 | 116 |
Stolt-Nielsen SA | 3,547 | 108 |
* Det Norske Oljeselskap (DNO) ASA | 56,440 | 104 |
* Ocean Rig ASA | 6,837 | 50 |
|
| 17,326 |
Portugal (0.4%) |
|
|
Portugal Telecom SGPS SA | 122,661 | 1,589 |
Electricidade de Portugal SA | 256,668 | 1,299 |
Banco Comercial Portugues SA | 333,618 | 1,230 |
Brisa-Auto Estradas de Portugal SA | 48,011 | 597 |
Banco Espirito Santo SA | 32,795 | 589 |
Banco BPI SA | 54,724 | 426 |
Cimpor-Cimento de Portugal SA | 45,172 | 374 |
|
| Market |
|
| Value• |
| Shares | ($000) |
Sonae SGPS SA | 147,882 | 294 |
PT Multimedia-Servicos de Telecomunicacoes e Multimedia, SGPS, SA | 10,936 | 141 |
Jeronimo Martins & Filho, SGPS, SA | 2,748 | 62 |
|
| 6,601 |
Singapore (1.0%) |
|
|
DBS Group Holdings Ltd. | 163,082 | 2,393 |
Singapore Telecommunications Ltd. | 1,102,690 | 2,351 |
United Overseas Bank Ltd. | 172,504 | 2,175 |
Oversea-Chinese Banking Corp., Ltd. | 376,300 | 1,883 |
Capitaland Ltd. | 208,000 | 837 |
City Developments Ltd. | 91,000 | 750 |
Singapore Airlines Ltd. | 64,751 | 737 |
Keppel Corp., Ltd. | 62,000 | 709 |
Singapore Exchange Ltd. | 145,000 | 535 |
Singapore Press Holdings Ltd. | 189,250 | 527 |
Singapore Technologies Engineering Ltd. | 212,906 | 427 |
Venture Corp. Ltd. | 48,000 | 421 |
Keppel Land Ltd. | 86,000 | 386 |
Fraser & Neave Ltd. | 130,650 | 381 |
Capitacommercial Trust | 193,000 | 329 |
United Overseas Land Ltd. | 109,750 | 309 |
ComfortDelGro Corp. Ltd. | 203,000 | 213 |
Sembcorp Industries Ltd. | 83,660 | 209 |
Singapore Land Ltd. | 36,000 | 201 |
Wing Tai Holdings Ltd. | 132,000 | 195 |
Noble Group Ltd. | 268,000 | 191 |
Neptune Orient Lines Ltd. | 140,000 | 190 |
SMRT Corp. Ltd. | 244,000 | 189 |
Parkway Holdings Ltd. | 88,200 | 180 |
Allgreen Properties Ltd. | 209,000 | 178 |
Singapore Post Ltd. | 216,000 | 153 |
SembCorp Marine Ltd. | 68,000 | 151 |
Jardine Cycle N Carriage Ltd. | 14,037 | 135 |
Cosco Corp. Singapore Ltd. | 90,000 | 134 |
* Chartered Semiconductor Manufacturing Ltd. | 152,398 | 127 |
Olam International Ltd. | 74,000 | 102 |
Want Want Holdings Ltd. | 46,000 | 75 |
* STATS ChipPAC Ltd. | 96,000 | 74 |
* Allgreen Properties Ltd. Rights Exp. 1/16/07 | 104,500 | 46 |
Singapore Petroleum Co. Ltd. | 13,000 | 37 |
Creative Technology Ltd. | 4,450 | 29 |
|
| 17,959 |
Spain (4.0%) |
|
|
Banco Santander Central Hispano SA | 862,834 | 16,050 |
Telefonica SA | 652,883 | 13,847 |
Banco Bilbao Vizcaya Argentaria SA | 508,511 | 12,204 |
42
Tax-Managed International Fund
|
| Market |
|
| Value• |
| Shares | ($000) |
Endesa SA | 110,979 | 5,243 |
Iberdrola SA | 114,832 | 5,001 |
Repsol YPF SA | 127,617 | 4,392 |
Banco Popular Espanol SA | 129,722 | 2,344 |
ACS, Actividades de Contruccion y Servisios, SA | 37,213 | 2,091 |
Altadis SA | 36,629 | 1,912 |
Industria de Diseno Textil SA | 33,484 | 1,799 |
Gas Natural SDG SA | 28,128 | 1,109 |
Abertis Infraestructuras SA | 31,802 | 942 |
Sacyr Vallehermoso SA | 15,561 | 920 |
Union Fenosa SA | 17,329 | 855 |
Acciona SA | 4,528 | 840 |
Acerinox SA | 27,296 | 828 |
Fomento de Construc y Contra SA | 7,495 | 761 |
Gamesa Corporacion Tecnologica, SA | 26,867 | 736 |
Grupo Ferrovial, SA | 7,476 | 727 |
Cintra Concesiones de Infraestructuras de Transporte SA | 33,454 | 559 |
Ebro Puleva SA | 16,206 | 409 |
Corporacion Mapfre SA | 90,740 | 408 |
Iberia (Linea Aerea Espana) | 91,967 | 334 |
Indra Sistemas, SA | 13,384 | 328 |
Antena 3 Television | 13,035 | 306 |
* Sogecable SA | 8,043 | 286 |
Fadesa Inmobiliaria SA | 5,414 | 250 |
Promotora de Informaciones SA | 14,190 | 247 |
Sociedad General de Aguas de Barcelona SA | 6,202 | 226 |
NH Hoteles SA | 8,543 | 169 |
* Zeltia SA | 14,509 | 107 |
|
| 76,230 |
Sweden (2.6%) |
|
|
Telefonaktiebolaget LM Ericsson AB Class B | 2,151,215 | 8,654 |
Nordea Bank AB | 311,674 | 4,794 |
Hennes & Mauritz AB B Shares | 66,946 | 3,378 |
Svenska Handelsbanken AB A Shares | 77,970 | 2,353 |
TeliaSonera AB | 282,347 | 2,312 |
Skandinaviska Enskilda Banken AB A Shares | 70,524 | 2,236 |
Volvo AB B Shares | 32,370 | 2,224 |
Sandvik AB | 137,405 | 1,991 |
Svenska Cellulosa AB B Shares | 29,410 | 1,533 |
Atlas Copco AB A Shares | 44,457 | 1,489 |
SKF AB B Shares | 61,280 | 1,128 |
Scania AB Class B | 16,000 | 1,123 |
Volvo AB A Shares | 15,252 | 1,081 |
Assa Abloy AB | 45,800 | 994 |
Skanska AB B Shares | 48,768 | 958 |
|
| Market |
|
| Value• |
| Shares | ($000) |
Atlas Copco AB Class B Shares | 29,590 | 957 |
Swedish Match AB | 49,731 | 929 |
Boliden AB | 35,179 | 897 |
Electrolux AB Series B | 40,036 | 799 |
Securitas AB B Shares | 50,140 | 775 |
Tele2 AB B Shares | 48,688 | 710 |
* Husqvarna AB-B Shares | 37,036 | 578 |
* Modern Times Group AB B Shares | 8,650 | 567 |
SSAB Svenskt Stal AB Series A | 21,951 | 518 |
Alfa Laval AB | 10,300 | 463 |
Eniro AB | 33,500 | 442 |
Getinge AB B Shares | 18,600 | 417 |
Kungsleden AB | 26,056 | 399 |
Castellum AB | 29,928 | 399 |
Fabege AB | 14,865 | 398 |
Trelleborg AB B Shares | 14,420 | 344 |
Oriflame Cosmetics SA | 7,807 | 321 |
* Lundin Petroleum AB | 27,000 | 314 |
OMX AB | 17,060 | 313 |
D. Carnegie & Co. AB | 12,800 | 275 |
Holmen AB | 6,096 | 265 |
Elekta AB B Shares | 9,600 | 202 |
Wihlborgs Fastigheter AB | 9,280 | 193 |
Billerud Aktiebolag | 9,900 | 176 |
* Securitas Systems AB B Shares | 42,340 | 171 |
* SAS AB | 9,375 | 159 |
SSAB Svenskt Stal AB Series B | 6,966 | 157 |
* Telelogic AB | 62,900 | 140 |
* Securitas Direct AB B Shares | 42,340 | 134 |
Hoganas AB B Shares | 4,800 | 126 |
Nobia AB | 3,170 | 122 |
Axfood AB | 2,650 | 109 |
|
| 49,017 |
Switzerland (6.9%) |
|
|
Nestle SA (Registered) | 58,952 | 20,873 |
Novartis AG (Registered) | 343,969 | 19,724 |
Roche Holdings AG | 103,037 | 18,401 |
UBS AG | 293,481 | 17,729 |
Credit Suisse Group (Registered) | 170,610 | 11,873 |
Zurich Financial Services AG | 21,634 | 5,794 |
ABB Ltd. | 296,681 | 5,303 |
Cie. Financiere Richemont AG | 74,644 | 4,324 |
Swiss Re (Registered) | 48,005 | 4,061 |
Syngenta AG | 15,790 | 2,928 |
Holcim Ltd. (Registered) | 30,396 | 2,775 |
Adecco SA (Registered) | 19,779 | 1,346 |
Swisscom AG | 2,864 | 1,080 |
Swatch Group AG (Bearer) | 4,764 | 1,048 |
Nobel Biocare Holding AG | 3,391 | 998 |
Givaudan SA | 999 | 921 |
Synthes, Inc. | 7,280 | 864 |
Geberit AG | 554 | 850 |
43
Tax-Managed International Fund
|
| Market |
|
| Value• |
| Shares | ($000) |
* Logitech International SA | 27,210 | 782 |
Sulzer AG (Registered) | 616 | 699 |
Serono SA Class B | 776 | 692 |
SGS Societe Generale de Surveillance Holding SA (Registered) | 601 | 666 |
Clariant AG | 39,537 | 589 |
CIBA Specialty Chemicals AG (Registered) | 8,131 | 539 |
* OC Oerlikon Corp AG | 1,069 | 526 |
Schindler Holding AG | 8,284 | 518 |
Kuehne & Nagel International AG | 6,709 | 486 |
PSP Swiss Property AG | 7,988 | 458 |
Rieter Holding AG | 770 | 401 |
Lonza AG (Registered) | 4,428 | 381 |
Phonak Holding AG | 4,454 | 353 |
SIG Holding AG | 1,033 | 344 |
Swatch Group AG (Registered) | 7,181 | 320 |
Straumann Holding AG | 1,201 | 290 |
Kudelski SA | 6,651 | 249 |
Kuoni Reisen Holding AG (Registered) | 321 | 171 |
UBS AG (New York Shares) | 1,482 | 89 |
Micronas Semiconductor Holding AG | 3,849 | 84 |
|
| 129,529 |
United Kingdom (23.8%) |
|
|
BP PLC | 2,857,285 | 31,848 |
HSBC Holdings PLC | 1,699,629 | 30,920 |
GlaxoSmithKline PLC | 850,923 | 22,387 |
Vodafone Group PLC | 7,732,104 | 21,344 |
Royal Bank of Scotland Group PLC | 470,248 | 18,293 |
Royal Dutch Shell PLC Class A (Amsterdam Shares) | 499,582 | 17,583 |
Royal Dutch Shell PLC Class B | 407,952 | 14,257 |
Barclays PLC | 956,583 | 13,652 |
HBOS PLC | 555,626 | 12,278 |
AstraZeneca Group PLC | 228,293 | 12,229 |
Anglo American PLC | 211,923 | 10,309 |
Lloyds TSB Group PLC | 836,592 | 9,401 |
Tesco PLC | 1,163,901 | 9,194 |
Rio Tinto PLC | 154,904 | 8,206 |
Diageo PLC | 411,445 | 8,080 |
BT Group PLC | 1,223,408 | 7,225 |
BG Group PLC | 510,393 | 6,937 |
BHP Billiton PLC | 354,748 | 6,494 |
British American Tobacco PLC | 230,998 | 6,465 |
Aviva PLC | 379,475 | 6,085 |
National Grid Transco PLC | 406,543 | 5,881 |
Unilever PLC | 180,106 | 5,007 |
Prudential PLC | 362,467 | 4,950 |
|
| Market |
|
| Value• |
| Shares | ($000) |
Xstrata PLC | 91,587 | 4,555 |
Reckitt Benckiser PLC | 92,106 | 4,200 |
Imperial Tobacco Group PLC | 102,867 | 4,047 |
BAE Systems PLC | 486,224 | 4,041 |
Scottish & Southern Energy PLC | 129,345 | 3,926 |
Centrica PLC | 543,033 | 3,756 |
Marks & Spencer Group PLC | 250,805 | 3,513 |
Land Securities Group PLC | 70,859 | 3,212 |
Scottish Power PLC | 216,978 | 3,171 |
Cadbury Schweppes PLC | 292,342 | 3,121 |
Legal & General Group PLC | 979,378 | 3,009 |
SABMiller PLC | 123,596 | 2,837 |
Man Group PLC | 263,292 | 2,686 |
Old Mutual PLC | 783,011 | 2,664 |
British Land Co., PLC | 78,869 | 2,637 |
WPP Group PLC | 169,569 | 2,287 |
Wolseley PLC | 92,104 | 2,220 |
Gallaher Group PLC | 98,543 | 2,215 |
Rolls-Royce Group PLC | 246,218 | 2,151 |
United Utilities PLC | 134,997 | 2,058 |
Alliance Boots PLC | 124,965 | 2,045 |
Reed Elsevier PLC | 185,417 | 2,033 |
* Standard Life PLC | 322,570 | 1,865 |
Royal Dutch Shell PLC Class A | 53,405 | 1,861 |
Pearson PLC | 123,271 | 1,857 |
British Sky Broadcasting Group PLC | 167,165 | 1,708 |
Smiths Group PLC | 86,601 | 1,677 |
Compass Group PLC | 289,425 | 1,639 |
Kingfisher PLC | 349,950 | 1,631 |
International Power PLC | 217,194 | 1,617 |
Experian Group Ltd. | 137,711 | 1,612 |
J. Sainsbury PLC | 200,052 | 1,599 |
Reuters Group PLC | 176,605 | 1,534 |
Hanson Building Materials PLC | 95,855 | 1,444 |
3i Group PLC | 71,153 | 1,402 |
Imperial Chemical Industries PLC | 158,469 | 1,399 |
Hammerson PLC | 45,002 | 1,386 |
Royal & Sun Alliance Insurance Group PLC | 464,316 | 1,383 |
Corus Group PLC | 133,379 | 1,378 |
Scottish & Newcastle PLC | 125,232 | 1,369 |
Persimmon PLC | 44,554 | 1,329 |
Intercontinental Hotels Group, PLC | 52,822 | 1,304 |
Amvescap PLC | 111,508 | 1,300 |
ITV PLC | 622,128 | 1,293 |
Smith & Nephew PLC | 123,485 | 1,288 |
Next PLC | 35,901 | 1,261 |
Enterprise Inns PLC | 47,425 | 1,253 |
Cable and Wireless PLC | 385,426 | 1,185 |
Liberty International PLC | 43,363 | 1,183 |
Resolution PLC | 93,158 | 1,168 |
Capita Group PLC | 97,906 | 1,160 |
44
Tax-Managed International Fund
|
| Market |
|
| Value• |
| Shares | ($000) |
Friends Provident PLC | 270,450 | 1,146 |
Whitbread PLC | 34,727 | 1,135 |
Slough Estates PLC | 72,925 | 1,118 |
Carnival PLC | 22,137 | 1,118 |
Yell Group PLC | 100,031 | 1,113 |
Brambles Ltd. (U.K. Shares) | 110,604 | 1,099 |
DSG International PLC | 286,790 | 1,072 |
Severn Trent PLC | 36,450 | 1,048 |
Home Retail Group | 128,811 | 1,034 |
The Sage Group PLC | 193,564 | 1,023 |
Rentokil Initial PLC | 289,475 | 936 |
Kelda Group PLC | 51,732 | 935 |
* British Airways PLC | 90,559 | 933 |
Punch Taverns PLC | 37,210 | 930 |
Tate & Lyle PLC | 61,059 | 917 |
Rexam PLC | 87,578 | 899 |
Barratt Developments PLC | 36,570 | 881 |
Burberry Group PLC | 68,427 | 862 |
Johnson Matthey PLC | 30,754 | 846 |
ICAP PLC | 79,933 | 747 |
Hays PLC | 228,327 | 710 |
Ladbrokes PLC | 84,314 | 687 |
William Hill PLC | 55,450 | 684 |
Investec PLC | 52,923 | 681 |
* Invensys PLC | 126,084 | 676 |
Tomkins PLC | 138,432 | 664 |
London Stock Exchange PLC | 25,992 | 664 |
Mitchells & Butlers PLC | 47,551 | 659 |
LogicaCMG PLC | 176,033 | 639 |
GKN PLC | 117,701 | 639 |
Cobham PLC | 164,920 | 623 |
BP PLC ADR | 9,184 | 616 |
George Wimpey PLC | 54,763 | 596 |
Group 4 Securicor PLC | 160,897 | 589 |
Signet Group PLC | 250,538 | 584 |
Provident Financial PLC | 41,914 | 573 |
IMI PLC | 57,657 | 570 |
EMI Group PLC | 109,604 | 568 |
Kesa Electricals PLC | 85,308 | 565 |
Bellway PLC | 18,332 | 553 |
Travis Perkins PLC | 14,182 | 549 |
Taylor Woodrow PLC | 65,918 | 548 |
Inchcape PLC | 55,482 | 547 |
FirstGroup PLC | 48,689 | 546 |
ARM Holdings PLC | 221,374 | 543 |
Bunzl PLC | 43,650 | 535 |
Serco Group PLC | 70,937 | 529 |
National Express Group PLC | 23,846 | 525 |
* Charter PLC | 28,033 | 495 |
Daily Mail and General Trust PLC | 34,989 | 490 |
United Business Media PLC | 35,972 | 486 |
Rank Group PLC | 103,034 | 470 |
Trinity Mirror PLC | 50,599 | 464 |
Cattles PLC | 53,780 | 461 |
Schroders PLC | 21,039 | 459 |
|
| Market |
|
| Value• |
| Shares | ($000) |
Bovis Homes Group PLC | 21,511 | 455 |
* The Berkeley Group Holdings PLC | 13,604 | 455 |
Close Brothers Group PLC | 22,628 | 449 |
Tullett Prebon PLC | 34,676 | 440 |
EMAP PLC | 27,959 | 440 |
Electrocomponents PLC | 74,491 | 426 |
Balfour Beatty PLC | 47,969 | 415 |
Arriva PLC | 27,388 | 408 |
BBA Aviation PLC | 75,134 | 400 |
First Choice Holidays PLC | 70,436 | 391 |
Great Portland Estates PLC | 28,864 | 391 |
Amec PLC | 46,300 | 380 |
De La Rue Group PLC | 28,071 | 353 |
Biffa PLC | 54,636 | 328 |
Aegis Group PLC | 118,779 | 324 |
* CSR PLC | 23,258 | 294 |
Intertek Testing Services PLC | 17,796 | 290 |
Carphone Warehouse PLC | 46,278 | 283 |
Meggitt PLC | 46,047 | 279 |
Cookson Group PLC | 22,457 | 275 |
Michael Page International PLC | 30,556 | 270 |
Aggreko PLC | 29,981 | 255 |
Stagecoach Group PLC | 84,745 | 253 |
Misys PLC | 59,036 | 249 |
FKI PLC | 115,557 | 233 |
HMV Group PLC | 79,274 | 221 |
Premier Farnell PLC | 53,314 | 205 |
The Davis Service Group PLC | 20,506 | 202 |
* Collins Stewart PLC | 38,558 | 192 |
* Galiform PLC | 64,913 | 174 |
SSL International PLC | 20,805 | 150 |
WPP Group PLC ADR | 2,004 | 136 |
Scottish Power PLC ADR | 1,841 | 108 |
PartyGaming PLC | 70,103 | 43 |
|
| 447,640 |
Total Common Stocks |
|
|
(Cost $1,250,357) |
| 1,879,930 |
Other Assets and Liabilities (0.1%) |
|
|
Other Assets—Note B |
| 22,418 |
Liabilities |
| (19,727) |
|
| 2,691 |
Net Assets (100%) |
| 1,882,621 |
45
Tax-Managed International Fund
At December 31, 2006, net assets consisted of:1 |
|
| Amount |
| ($000) |
Paid-in Capital | 1,325,666 |
Overdistributed Net Investment Income | (559) |
Accumulated Net Realized Losses | (72,105) |
Unrealized Appreciation |
|
Investment Securities | 629,573 |
Foreign Currencies | 46 |
Net Assets | 1,882,621 |
|
|
Investor Shares—Net Assets |
|
Applicable to 114,745,518 outstanding $.001 |
|
par value shares of beneficial interest |
|
(unlimited authorization) | 1,624,436 |
Net Asset Value Per Share— |
|
Investor Shares | $14.16 |
|
|
Institutional Shares—Net Assets |
|
Applicable to 18,225,021 outstanding $.001 |
|
par value shares of beneficial interest |
|
(unlimited authorization) | 258,185 |
Net Asset Value Per Share— |
|
Institutional Shares | $14.17 |
• | See Note A in Notes to Financial Statements. |
* | Non-income-producing security. |
1 See Note C in Notes to Financial Statements for the tax-basis components of net assets.
ADR—American Depositary Receipt.
46
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© 2007 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
F870 022007
Item 2: Code of Ethics. The Registrant has adopted a code of ethics that applies to the Registrant's principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. The Code of Ethics was amended during the reporting period covered by this report to make certain technical, non-material changes.
Item 3: Audit Committee Financial Expert. The following members of the Audit Committee have been determined by the Registrant’s Board of Trustees to be Audit Committee Financial Experts serving on its Audit Committee, and to be independent: Charles D. Ellis, Rajiv L. Gupta, JoAnn Heffernan Heisen, André F. Perold, Alfred M. Rankin, Jr., and J. Lawrence Wilson.
Item 4: Principal Accountant Fees and Services.
(a) Audit Fees.
Audit Fees of the Registrant
Fiscal Year Ended December 31, 2006: $116,000
Fiscal Year Ended December 31, 2005: $102,000
Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group
Fiscal Year Ended December 31, 2006: $2,347,620
Fiscal Year Ended December 31, 2005: $2,152,740
(b) Audit-Related Fees.
Fiscal Year Ended December 31, 2006: $530,000
Fiscal Year Ended December 31, 2005: $382,200
Includes fees billed in connection with assurance and related services provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group.
(c) Tax Fees.
Fiscal Year Ended December 31, 2006: $101,300
Fiscal Year Ended December 31, 2005: $98,400
Includes fees billed in connection with tax compliance, planning and advice services provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group and related to income and excise taxes.
(d) All Other Fees.
Fiscal Year Ended December 31, 2006: $0
Fiscal Year Ended December 31, 2005: $0
Includes fees billed for services related to risk management and privacy matters. Services were provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group.
(e) (1) Pre-Approval Policies. The policy of the Registrant’s Audit Committee is to consider and, if appropriate, approve before the principal accountant is engaged for such services, all specific audit and non-audit services provided to: (1) the Registrant; (2) The Vanguard Group, Inc.; (3) other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant; and (4) other registered investment companies in the Vanguard Group. In making a determination, the Audit Committee considers whether the services are consistent with maintaining the principal accountant’s independence.
In the event of a contingency situation in which the principal accountant is needed to provide services in between scheduled Audit Committee meetings, the Chairman of the Audit Committee would be called on to consider and, if appropriate, pre-approve audit or permitted non-audit services in an amount sufficient to complete services through the next Audit Committee meeting, and to determine if such services would be consistent with maintaining the accountant’s independence. At the next scheduled Audit Committee meeting, services and fees would be presented to the Audit Committee for formal consideration, and, if appropriate, approval by the entire Audit Committee. The Audit Committee would again consider whether such services and fees are consistent with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee is informed at least annually of all audit and non-audit services provided by the principal accountant to the Vanguard complex, whether such services are provided to: (1) the Registrant; (2) The Vanguard Group, Inc.; (3) other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant; or (4) other registered investment companies in the Vanguard Group.
(2) No percentage of the principal accountant’s fees or services were approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) For the most recent fiscal year, over 50% of the hours worked under the principal accountant’s engagement were not performed by persons other than full-time, permanent employees of the principal accountant.
(g) Aggregate Non-Audit Fees.
Fiscal Year Ended December 31, 2006: $101,300
Fiscal Year Ended December 31, 2005: $98,400
Includes fees billed for non-audit services provided to the Registrant, The Vanguard Group, Inc., Vanguard Marketing Corporation, and other registered investment companies in the Vanguard Group.
(h) For the most recent fiscal year, the Audit Committee has determined that the provision of all non-audit services was consistent with maintaining the principal accountant’s independence.
Item 5: Not applicable.
Item 6: Not applicable.
Item 7: Not applicable.
Item 8: Not applicable.
Item 9: Not applicable.
Item 10: Not applicable
Item 11: Controls and Procedures.
(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
(b) Internal Control Over Financial Reporting. There were no significant changes in Registrant’s internal control over financial reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12: Exhibits.
(a) Code of Ethics.
(b) Certifications.
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
VANGUARD TAX-MANAGED FUNDS | |
BY: | (signature) |
(HEIDI STAM) JOHN J. BRENNAN* CHIEF EXECUTIVE OFFICER |
Date: | February 14, 2007 |
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 TAX-MANAGED FUNDS | |
BY: | (signature) |
(HEIDI STAM) JOHN J. BRENNAN* CHIEF EXECUTIVE OFFICER |
Date: | February 14, 2007 |
VANGUARD TAX-MANAGED FUNDS | |
BY: | (signature) |
(HEIDI STAM) THOMAS J. HIGGINS* TREASURER |
Date: | February 14, 2007 |
* By Power of Attorney. See File Number 002-65955-99, filed on July 27, 2006. Incorporated by Reference.