UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT
OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-07175
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, 2011 – June 30, 2011
Item 1: Reports to Shareholders
Vanguard Tax-Managed Funds® |
Semiannual Report |
June 30, 2011 |
Vanguard Tax-Managed Balanced Fund |
Vanguard Tax-Managed Growth and Income Fund |
Vanguard Tax-Managed Capital Appreciation Fund |
Vanguard Tax-Managed Small-Cap Fund |
> For the six months ended June 30, 2011, Vanguard Tax-Managed Small-Cap Fund returned more than 7%—the best performance of the four Tax-Managed Funds discussed in this report.
> Vanguard Tax-Managed Balanced Fund, an almost even mix of stocks and municipal bonds, produced the lowest half-year return, a still-solid 5.23%.
> Health care and energy stocks were among the strongest performers, while financials struggled.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
Tax-Managed Balanced Fund. | 7 |
Tax-Managed Growth and Income Fund. | 43 |
Tax-Managed Capital Appreciation Fund. | 60 |
Tax-Managed Small-Cap Fund. | 78 |
About Your Fund’s Expenses. | 95 |
Trustees Approve Advisory Arrangement. | 97 |
Glossary. | 98 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice.
Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
Cover photograph: Jean Maher.
Your Fund’s Total Returns
Six Months Ended June 30, 2011 | |
Total | |
Returns | |
Vanguard Tax-Managed Balanced Fund | 5.23% |
Tax-Managed Balanced Composite Index | 5.27 |
Mixed-Asset Target Allocation Moderate Funds Average | 4.30 |
Tax-Managed Balanced Composite Index: Weighted 50% Russell 1000 Index and 50% Barclays Capital 7 Year Municipal Bond Index. | |
Mixed-Asset Target Allocation Moderate Funds Average: Derived from data provided by Lipper Inc. | |
Vanguard Tax-Managed Growth and Income Fund | |
Admiral™ Shares | 5.97% |
Institutional Shares | 5.99 |
S&P 500 Index | 6.02 |
Large-Cap Core Funds Average | 5.25 |
Large-Cap Core Funds Average: Derived from data provided by Lipper Inc. | |
Vanguard Tax-Managed Capital Appreciation Fund | |
Admiral™ Shares | 6.49% |
Institutional Shares | 6.48 |
Russell 1000 Index | 6.37 |
Multi-Cap Core Funds Average | 5.96 |
Multi-Cap Core Funds Average: Derived from data provided by Lipper Inc. | |
Vanguard Tax-Managed Small-Cap Fund | |
Admiral™ Shares | 7.66% |
Institutional Shares | 7.69 |
S&P SmallCap 600 Index | 7.54 |
Small-Cap Core Funds Average | 6.41 |
Small-Cap Core Funds Average: Derived from data provided by Lipper Inc. |
Institutional Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria.
1
Chairman’s Letter
Dear Shareholder,
The Vanguard Tax-Managed Funds produced strong returns for the six months ended June 30, an upbeat counterpoint to the sobering headlines and grim commentary that seemed to pervade the financial markets.
Of the funds discussed in this report, Vanguard Tax-Managed Small-Cap Fund produced the highest six-month return. Vanguard Tax-Managed Balanced Fund, which is split about evenly between U.S. stocks and municipal bonds, produced the lowest. (Vanguard Tax-Managed International Fund is covered in a separate report.)
I want to note two important changes we’ve made that will benefit shareholders in the Tax-Managed Funds. First, Vanguard has replaced each fund’s Investor Shares with lower-cost Admiral Shares. In addition, for the four funds in this report, we have eliminated the 1% fee for redemptions of shares held for less than five years.
Both changes are part of our ongoing efforts to reduce the cost and complexity of investing for Vanguard clients.
For stock markets, a ragged six-month gain
Global stock markets climbed unsteadily as investor attitudes swung from optimism about the strength of corporate earnings to fears that the slow, grinding recovery was losing momentum. Stock prices
2
rallied through the first four months of 2011, pulled back as economic news turned gloomier, then bounced up again at the end of the period.
The broad U.S. stock market returned about 6% for the six months. International stock markets finished a few steps behind, restrained by sovereign-debt dramas in Europe and the economic aftershocks of the Japanese natural and nuclear disaster. Gains were modest in emerging markets, too, as big economies such as China and Brazil grappled with inflationary pressures.
Low yields, solid returns in the bond market
Bonds delivered solid six-month returns even as interest rates hovered near generational lows. Bond prices rallied in the spring as economic anxiety prompted a search for safer havens in fixed income. The broad taxable bond market returned almost 3%. The municipal market performed even better.
The yields on money market instruments remained nearly invisible, consistent with the Federal Reserve Board’s target for short-term interest rates, which since December 2008 has been anchored between 0% and 0.25%.
The Tax-Managed Funds captured the markets’ strong returns
The returns of the Vanguard Tax-Managed Funds were consistent with the performance of their various market segments, a consequence of their index-oriented strategy. Each fund seeks to
Market Barometer | |||
Total Returns | |||
Periods Ended June 30, 2011 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 6.37% | 31.93% | 3.30% |
Russell 2000 Index (Small-caps) | 6.21 | 37.41 | 4.08 |
Dow Jones U.S. Total Stock Market Index | 6.01 | 32.26 | 3.66 |
MSCI All Country World Index ex USA (International) | 3.80 | 29.73 | 3.67 |
Bonds | |||
Barclays Capital U.S. Aggregate Bond Index (Broad | |||
taxable market) | 2.72% | 3.90% | 6.52% |
Barclays Capital Municipal Bond Index (Broad | |||
tax-exempt market) | 4.42 | 3.48 | 4.93 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.06 | 0.14 | 1.86 |
CPI | |||
Consumer Price Index | 2.99% | 3.56% | 2.15% |
3
capture the returns of a target index while allowing for some deviation related to the tax-management mandate. Each fund produced six-month results in line with those of its index; each outperformed the average return of its peer group.
Small-cap stocks were among the best performers in the broad U.S. stock market for the period; this pattern was also apparent in the Tax-Managed Funds. The Admiral Shares of Vanguard Tax-Managed Small-Cap Fund returned 7.66%, roughly a percentage point more than the return of Vanguard Tax-Managed Capital Appreciation Fund, the next-best performer of the group.
Health care and energy stocks produced the small-cap fund’s highest gains. Health care stocks were among the laggards in the market rally during 2010, but the sector has found favor more recently. Biotech companies produced especially strong returns. Energy stocks—particularly drilling, service, and equipment companies—rallied through the six months, even as oil prices retreated toward the end of the period.
Financial and industrial stocks were the small-cap fund’s weakest performers. Banks and brokerage firms continued to grapple with the legacies of the financial crisis, while smaller industrial companies confronted signs of economic deceleration in the United States.
Expense Ratios | |||
Your Fund Compared With Its Peer Group | |||
Admiral | Institutional | Peer Group | |
Shares | Shares | Average | |
Tax-Managed Balanced Fund | 0.15% | — | 0.97% |
Tax-Managed Growth and Income Fund | 0.12 | 0.08% | 1.26 |
Tax-Managed Capital Appreciation Fund | 0.12 | 0.08 | 1.18 |
Tax-Managed Small-Cap Fund | 0.18 | 0.08 | 1.38 |
The fund expense ratios shown are from the prospectus dated July 15, 2011, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2011, the funds’ annualized expense ratios were: for the Tax-Managed Balanced Fund, 0.13%; for the Tax-Managed Growth and Income Fund, 0.12% for Admiral Shares and 0.08% for Institutional Shares; for the Tax-Managed Capital Appreciation Fund, 0.12% for Admiral Shares and 0.08% for Institutional Shares; and for the Tax-Managed Small-Cap Fund, 0.14% for Admiral Shares and 0.08% for Institutional Shares. Peer-group expense ratios are derived from data provided by Lipper Inc. and capture information through year-end 2010.
Peer groups: For the Tax-Managed Balanced Fund, Mixed-Asset Target Allocation Moderate Funds; for the Tax-Managed Growth and Income Fund, Large-Cap Core Funds; for the Tax-Managed Capital Appreciation Fund, Multi-Cap Core Funds; and for the Tax-Managed Small-Cap Fund, Small-Cap Core Funds.
4
These general themes were reflected in the Tax-Managed Capital Appreciation Fund, a mid- and large-cap stock portfolio, and the Tax-Managed Growth and Income Fund, which focuses on large-caps.
The Tax-Managed Balanced Fund invests almost half its assets in a stock portfolio similar to that of the Tax-Managed Capital Appreciation Fund. It holds the remainder in a broadly diversified portfolio of municipal bonds. Municipal securities were hammered early in the year as unsettling (and in our opinion, overstated) headlines raised doubts about their safety. Toward the end of the period, investors’ worries began to recede and prices rose. For the half-year, this fund returned a solid 5.23%.
Time-tested counsel for an unsettled era
Over the decades, our counsel to clients has remained consistent, even boring: Build a broadly diversified, low-cost portfolio that includes stock and fixed income funds in proportions consistent with your goals and circumstances.
Since the financial crisis, of course, a series of once-hard-to-imagine developments has reverberated through the global stock and bond markets. Is our simple, straightforward counsel still relevant? In a word, yes.
Impulsive portfolio changes can do damage to sensible long-term investment plans. A commitment to those plans, by contrast, has proven a reliable strategy for enhancing wealth. A recent Vanguard study of defined-contribution plans found that, despite significant market shocks, participants, on average, had higher account balances in 2010 than in 2007, the eve of the financial crisis. The increase reflected the benefits of regular contributions, diversification, and the global stock markets’ rebound from crisis lows.
Thank you for entrusting your assets to Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
July 14, 2011
5
Your Fund’s Performance at a Glance | ||||
December 31, 2010 , Through June 30, 2011 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Tax-Managed Balanced Fund | $19.96 | $20.75 | $0.252 | $0.000 |
Vanguard Tax-Managed Growth and Income | ||||
Fund | ||||
Admiral Shares | $56.31 | $59.15 | $0.522 | $0.000 |
Institutional Shares | 27.40 | 28.78 | 0.260 | 0.000 |
Vanguard Tax-Managed Capital Appreciation | ||||
Fund | ||||
Admiral Shares | $62.56 | $66.61 | $0.009 | $0.000 |
Institutional Shares | 31.09 | 33.10 | 0.004 | 0.000 |
Vanguard Tax-Managed Small-Cap Fund | ||||
Admiral Shares | $27.17 | $29.25 | $0.002 | $0.000 |
Institutional Shares | 27.23 | 29.32 | 0.003 | 0.000 |
6
Tax-Managed Balanced Fund
Fund Profile
As of June 30, 2011
Equity and Portfolio Characteristics | |||
DJ | |||
Russell | U.S. Total | ||
1000 | Market | ||
Fund | Index | Index | |
Number of Stocks | 611 | 985 | 3,745 |
Median Market Cap $32.6B | $38.1B | $30.8B | |
Price/Earnings Ratio | 16.6x | 16.5x | 17.1x |
Price/Book Ratio | 2.2x | 2.2x | 2.2x |
Return on Equity | 19.5% | 19.4% | 19.1% |
Earnings Growth Rate | 6.5% | 5.7% | 5.8% |
Dividend Yield | 1.6% | 1.9% | 1.8% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 9% | — | — |
Ticker Symbol | VTMFX | — | — |
Expense Ratio1 | 0.15% | — | — |
30-Day SEC Yield | 2.08% | — | — |
Short-Term Reserves | 0.0% | — | — |
Fixed Income Characteristics | |||
Barclays | |||
7 Year | Barclays | ||
Municipal | Municipal | ||
Fund | Index | Bond Index | |
Number of Bonds | 604 | 4,786 | 45,667 |
Yield to Maturity | |||
(before expenses) | 2.7% | 2.6% | 3.5% |
Average Coupon | 4.8% | 4.9% | 4.9% |
Average Duration | 5.5 years | 5.1 years | 8.5 years |
Average Effective | |||
Maturity | 5.9 years | 6.9 years | 13.4 years |
Total Fund Volatility Measures | ||
DJ | ||
Tax-Managed | U.S. Total | |
Balanced | Market | |
Comp Index | Index | |
R-Squared | 0.99 | 0.93 |
Beta | 0.96 | 0.49 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
Ten Largest Stocks (% of equity portfolio) | ||
Exxon Mobil Corp. | Integrated Oil & | |
Gas | 2.9% | |
Apple Inc. | Computer | |
Hardware | 2.3 | |
International Business | IT Consulting & | |
Machines Corp. | Other Servies | 1.5 |
Microsoft Corp. | Systems Software | 1.4 |
Chevron Corp. | Integrated Oil & | |
Gas | 1.4 | |
General Electric Co. | Industrial | |
Conglomerates | 1.3 | |
JPMorgan Chase & Co. | Diversified Financial | |
Services | 1.2 | |
AT&T Inc. | Integrated | |
Telecommunication | ||
Services | 1.2 | |
Johnson & Johnson | Pharmaceuticals | 1.2 |
Procter & Gamble Co. | Household | |
Products | 1.2 | |
Top Ten | 15.6% | |
Top Ten as % of Total Net Assets | 7.6% |
The holdings listed exclude any temporary cash investments and equity index products.
Fund Asset Allocation
1 The expense ratio shown is from the prospectus dated July 15, 2011, and represents estimated costs for the current fiscal year. For the six months ended June 30, 2011, the annualized expense ratio was 0.13%.
7
Tax-Managed Balanced Fund
Sector Diversification (% of equity exposure) | |||
DJ | |||
Russell | U.S. Total | ||
1000 | Market | ||
Fund | Index | Index | |
Consumer | |||
Discretionary | 11.5% | 11.5% | 12.2% |
Consumer Staples | 9.5 | 9.5 | 9.7 |
Energy | 12.0 | 12.0 | 11.2 |
Financials | 15.5 | 15.4 | 15.4 |
Health Care | 11.5 | 11.6 | 11.3 |
Industrials | 11.5 | 11.4 | 11.6 |
Information | |||
Technology | 17.7 | 17.7 | 18.4 |
Materials | 4.4 | 4.4 | 4.4 |
Telecommunication | |||
Services | 3.0 | 3.0 | 2.6 |
Utilities | 3.4 | 3.5 | 3.2 |
Distribution by Maturity (% of fixed income | |
portfolio) | |
Under 1 Year | 9.4% |
1 - 3 Years | 13.2 |
3 - 5 Years | 18.6 |
5 - 10 Years | 49.6 |
10 - 20 Years | 9.2 |
Largest Area Concentrations (% of fixed income | |
portfolio) | |
New York | 19.1% |
California | 11.6 |
Texas | 7.0 |
Massachusetts | 4.8 |
New Jersey | 4.7 |
Georgia | 4.4 |
Illinois | 3.8 |
Florida | 3.8 |
Puerto Rico | 3.5 |
Ohio | 3.2 |
Top Ten | 65.9% |
"Largest Area Concentration" figures exclude any fixed income futures contracts.
Distribution by Credit Quality (% of fixed | |
income portfolio) | |
Aaa | 20.3% |
Aa | 52.8 |
A | 22.7 |
Baa | 2.3 |
Ba | 0.4 |
Not Rated | 1.5 |
For information about these ratings, see the Glossary entry for Credit Quality.
Equity Investment Focus
Fixed Income Investment Focus
8
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 vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): December 31, 2000, Through June 30, 2011
Tax-Managed Balanced Composite Index: Weighted 50% Russell 1000 Index and 50% Barclays Capital 7 Year Municipal Bond Index.
Note: For 2011, performance data reflect the six months ended June 30, 2011.
Average Annual Total Returns: Periods Ended June 30, 2011 | ||||||
Ten Years | ||||||
Inception Date | One Year | Five Years | Income | Capital | Total | |
Admiral Shares | 9/6/1994 | 16.92% | 4.87% | 2.84% | 1.58% | 4.42% |
See Financial Highlights for dividend and capital gains information.
9
Tax-Managed Balanced Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2011
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (47.4%) | |||
Consumer Discretionary (5.4%) | |||
* | Amazon.com Inc. | 10,752 | 2,199 |
McDonald’s Corp. | 24,559 | 2,071 | |
Walt Disney Co. | 49,866 | 1,947 | |
Comcast Corp. Class A | 74,045 | 1,876 | |
* | Ford Motor Co. | 113,700 | 1,568 |
News Corp. Class A | 72,500 | 1,283 | |
* | DIRECTV Class A | 24,418 | 1,241 |
Home Depot Inc. | 32,099 | 1,163 | |
NIKE Inc. Class B | 12,047 | 1,084 | |
Target Corp. | 22,045 | 1,034 | |
Starbucks Corp. | 25,127 | 992 | |
Lowe’s Cos. Inc. | 42,215 | 984 | |
Viacom Inc. Class B | 19,127 | 975 | |
Time Warner Inc. | 25,796 | 938 | |
Time Warner Cable Inc. | 11,243 | 877 | |
Yum! Brands Inc. | 15,505 | 856 | |
Coach Inc. | 11,770 | 752 | |
TJX Cos. Inc. | 13,693 | 719 | |
Carnival Corp. | 16,650 | 627 | |
Kohl’s Corp. | 12,082 | 604 | |
* | Bed Bath & Beyond Inc. | 10,100 | 590 |
Macy’s Inc. | 19,230 | 562 | |
Virgin Media Inc. | 16,636 | 498 | |
Harley-Davidson Inc. | 12,103 | 496 | |
Starwood Hotels & | |||
Resorts Worldwide Inc. | 8,707 | 488 | |
* | O’Reilly Automotive Inc. | 7,344 | 481 |
Best Buy Co. Inc. | 15,075 | 474 | |
Staples Inc. | 29,898 | 472 | |
Marriott International Inc. | |||
Class A | 12,968 | 460 | |
* | General Motors Co. | 14,400 | 437 |
Ross Stores Inc. | 5,432 | 435 | |
Polo Ralph Lauren Corp. | |||
Class A | 3,180 | 422 | |
Johnson Controls Inc. | 9,900 | 412 | |
Tractor Supply Co. | 5,946 | 398 | |
PetSmart Inc. | 8,668 | 393 |
Market | |||
Value | |||
Shares | ($000) | ||
* | AutoZone Inc. | 1,320 | 389 |
Expedia Inc. | 12,967 | 376 | |
* | BorgWarner Inc. | 4,476 | 362 |
Gap Inc. | 19,725 | 357 | |
DeVry Inc. | 6,000 | 355 | |
* | DISH Network Corp. | ||
Class A | 11,557 | 354 | |
Advance Auto Parts Inc. | 5,903 | 345 | |
* | Liberty Media Corp. - Starz | 4,555 | 343 |
International Game | |||
Technology | 19,300 | 339 | |
Hasbro Inc. | 7,712 | 339 | |
Phillips-Van Heusen Corp. | 4,953 | 324 | |
Scripps Networks | |||
Interactive Inc. Class A | 6,550 | 320 | |
Lear Corp. | 5,900 | 316 | |
Gentex Corp. | 10,400 | 314 | |
Brinker International Inc. | 12,637 | 309 | |
Harman International | |||
Industries Inc. | 6,730 | 307 | |
* | Liberty Global Inc. Class A | 6,532 | 294 |
Lennar Corp. Class A | 15,900 | 289 | |
* | Apollo Group Inc. Class A | 6,500 | 284 |
John Wiley & Sons Inc. | |||
Class A | 5,453 | 284 | |
Jarden Corp. | 8,200 | 283 | |
Aaron’s Inc. | 9,250 | 261 | |
Weight Watchers | |||
International Inc. | 3,425 | 258 | |
* | NVR Inc. | 340 | 247 |
Morningstar Inc. | 3,900 | 237 | |
Washington Post Co. | |||
Class B | 560 | 235 | |
* | Liberty Global Inc. | 5,446 | 233 |
Thor Industries Inc. | 7,788 | 225 | |
* | Dollar General Corp. | 6,500 | 220 |
Wyndham Worldwide Corp. | 6,300 | 212 | |
Guess? Inc. | 4,600 | 193 | |
Family Dollar Stores Inc. | 3,500 | 184 | |
Dillard’s Inc. Class A | 3,200 | 167 |
10
Tax-Managed Balanced Fund
Market | |||
Value | |||
Shares | ($000) | ||
RadioShack Corp. | 12,521 | 167 | |
Fortune Brands Inc. | 2,600 | 166 | |
* | Discovery | ||
Communications Inc. | |||
Class A | 3,841 | 157 | |
Comcast Corp. | |||
Class A Special Shares | 6,476 | 157 | |
DR Horton Inc. | 13,399 | 154 | |
Omnicom Group Inc. | 3,200 | 154 | |
* | Panera Bread Co. Class A | 900 | 113 |
* | priceline.com Inc. | 220 | 113 |
Chico’s FAS Inc. | 7,000 | 107 | |
* | Liberty Media Corp. - Capital | 1,200 | 103 |
* | Career Education Corp. | 4,500 | 95 |
Newell Rubbermaid Inc. | 3,718 | 59 | |
Abercrombie & Fitch Co. | 800 | 54 | |
* | MGM Resorts International | 4,013 | 53 |
CBS Corp. Class B | 1,600 | 46 | |
* | Toll Brothers Inc. | 2,000 | 41 |
Cablevision Systems Corp. | |||
Class A | 1,094 | 40 | |
Wendy’s/Arby’s Group Inc. | |||
Class A | 7,800 | 40 | |
Lennar Corp. Class B | 680 | 10 | |
H&R Block Inc. | 500 | 8 | |
Darden Restaurants Inc. | 50 | 2 | |
* | Krispy Kreme Doughnuts Inc. | ||
Warrants Exp. 03/02/2012 | 243 | — | |
42,202 | |||
Consumer Staples (4.5%) | |||
Procter & Gamble Co. | 69,184 | 4,398 | |
Coca-Cola Co. | 55,431 | 3,730 | |
Philip Morris | |||
International Inc. | 42,100 | 2,811 | |
Wal-Mart Stores Inc. | 50,181 | 2,667 | |
PepsiCo Inc. | 35,543 | 2,503 | |
CVS Caremark Corp. | 40,592 | 1,525 | |
Colgate-Palmolive Co. | 14,935 | 1,306 | |
Walgreen Co. | 28,118 | 1,194 | |
Costco Wholesale Corp. | 13,717 | 1,114 | |
Kraft Foods Inc. | 28,716 | 1,012 | |
Altria Group Inc. | 36,500 | 964 | |
Archer-Daniels-Midland Co. | 24,020 | 724 | |
Mead Johnson Nutrition Co. | 8,738 | 590 | |
Estee Lauder Cos. Inc. | |||
Class A | 4,995 | 525 | |
Bunge Ltd. | 7,330 | 505 | |
* | Green Mountain Coffee | ||
Roasters Inc. | 5,629 | 502 | |
Dr Pepper Snapple | |||
Group Inc. | 11,762 | 493 | |
Sara Lee Corp. | 25,200 | 479 | |
Safeway Inc. | 20,134 | 471 | |
JM Smucker Co. | 6,134 | 469 | |
Coca-Cola Enterprises Inc. | 15,786 | 461 |
Market | |||
Value | |||
Shares | ($000) | ||
Brown-Forman Corp. | |||
Class B | 5,851 | 437 | |
Kroger Co. | 16,800 | 417 | |
McCormick & Co. Inc. | 8,400 | 416 | |
Herbalife Ltd. | 6,900 | 398 | |
Tyson Foods Inc. Class A | 19,227 | 373 | |
Church & Dwight Co. Inc. | 9,086 | 368 | |
Clorox Co. | 5,400 | 364 | |
* | Hansen Natural Corp. | 4,445 | 360 |
Molson Coors Brewing Co. | |||
Class B | 8,000 | 358 | |
Hormel Foods Corp. | 11,946 | 356 | |
* | Energizer Holdings Inc. | 4,894 | 354 |
Corn Products | |||
International Inc. | 6,188 | 342 | |
* | Constellation Brands Inc. | ||
Class A | 15,484 | 322 | |
* | Ralcorp Holdings Inc. | 3,600 | 312 |
* | Smithfield Foods Inc. | 14,162 | 310 |
* | Dean Foods Co. | 23,350 | 287 |
Flowers Foods Inc. | 11,400 | 251 | |
Kimberly-Clark Corp. | 3,072 | 205 | |
General Mills Inc. | 4,900 | 182 | |
Avon Products Inc. | 2,100 | 59 | |
Sysco Corp. | 1,500 | 47 | |
* | BJ’s Wholesale Club Inc. | 900 | 45 |
35,006 | |||
Energy (5.7%) | |||
Exxon Mobil Corp. | 132,799 | 10,807 | |
Chevron Corp. | 51,183 | 5,264 | |
Schlumberger Ltd. | 31,867 | 2,753 | |
ConocoPhillips | 33,087 | 2,488 | |
Occidental Petroleum Corp. | 20,404 | 2,123 | |
Apache Corp. | 11,914 | 1,470 | |
Anadarko Petroleum Corp. | 16,285 | 1,250 | |
Devon Energy Corp. | 13,457 | 1,061 | |
EOG Resources Inc. | 9,028 | 944 | |
Hess Corp. | 10,804 | 808 | |
Halliburton Co. | 14,464 | 738 | |
Noble Energy Inc. | 6,999 | 627 | |
El Paso Corp. | 30,766 | 621 | |
* | Southwestern Energy Co. | 14,414 | 618 |
* | Cameron International Corp. | 10,652 | 536 |
* | FMC Technologies Inc. | 11,230 | 503 |
Pioneer Natural | |||
Resources Co. | 5,494 | 492 | |
Peabody Energy Corp. | 8,309 | 489 | |
Range Resources Corp. | 8,669 | 481 | |
Marathon Oil Corp. | 8,482 | 447 | |
Murphy Oil Corp. | 6,700 | 440 | |
* | Newfield Exploration Co. | 6,427 | 437 |
Helmerich & Payne Inc. | 6,308 | 417 | |
QEP Resources Inc. | 9,657 | 404 | |
* | Nabors Industries Ltd. | 16,090 | 396 |
Cimarex Energy Co. | 4,376 | 394 |
11
Tax-Managed Balanced Fund
Market | |||
Value | |||
Shares | ($000) | ||
SM Energy Co. | 5,157 | 379 | |
Cabot Oil & Gas Corp. | 5,645 | 374 | |
* | Ultra Petroleum Corp. | 8,100 | 371 |
Consol Energy Inc. | 7,605 | 369 | |
EQT Corp. | 6,997 | 367 | |
* | Rowan Cos. Inc. | 9,343 | 363 |
National Oilwell Varco Inc. | 4,529 | 354 | |
Diamond Offshore | |||
Drilling Inc. | 4,860 | 342 | |
Energen Corp. | 5,830 | 329 | |
* | Dresser-Rand Group Inc. | 6,113 | 329 |
* | SandRidge Energy Inc. | 30,400 | 324 |
Baker Hughes Inc. | 4,350 | 316 | |
* | Superior Energy Services Inc. | 7,900 | 293 |
* | McDermott International Inc. | 14,465 | 287 |
* | Continental Resources Inc. | 4,372 | 284 |
Frontier Oil Corp. | 8,618 | 278 | |
EXCO Resources Inc. | 15,400 | 272 | |
Patterson-UTI Energy Inc. | 8,502 | 269 | |
* | Forest Oil Corp. | 9,041 | 241 |
SEACOR Holdings Inc. | 2,397 | 240 | |
* | Concho Resources Inc. | 2,200 | 202 |
* | Plains Exploration & | ||
Production Co. | 4,748 | 181 | |
* | Alpha Natural Resources Inc. | 3,888 | 177 |
Chesapeake Energy Corp. | 2,100 | 62 | |
* | Denbury Resources Inc. | 1,400 | 28 |
44,039 | |||
Financials (7.3%) | |||
JPMorgan Chase & Co. | 109,301 | 4,475 | |
* | Berkshire Hathaway Inc. | ||
Class B | 52,186 | 4,039 | |
Wells Fargo & Co. | 137,921 | 3,870 | |
Bank of America Corp. | 286,217 | 3,137 | |
Citigroup Inc. | 68,501 | 2,852 | |
Goldman Sachs Group Inc. | 15,285 | 2,034 | |
US Bancorp | 43,300 | 1,105 | |
Simon Property Group Inc. | 9,302 | 1,081 | |
Morgan Stanley | 44,360 | 1,021 | |
American Express Co. | 17,933 | 927 | |
Capital One Financial Corp. | 17,139 | 886 | |
State Street Corp. | 18,069 | 815 | |
Franklin Resources Inc. | 5,175 | 679 | |
Public Storage | 5,851 | 667 | |
Discover Financial Services | 24,829 | 664 | |
Equity Residential | 10,950 | 657 | |
Charles Schwab Corp. | 39,305 | 647 | |
Bank of New York | |||
Mellon Corp. | 25,100 | 643 | |
Travelers Cos. Inc. | 10,589 | 618 | |
Progressive Corp. | 28,397 | 607 | |
Boston Properties Inc. | 5,681 | 603 | |
Loews Corp. | 14,324 | 603 | |
SunTrust Banks Inc. | 22,250 | 574 |
Market | |||
Value | |||
Shares | ($000) | ||
Hartford Financial Services | |||
Group Inc. | 20,400 | 538 | |
Host Hotels & Resorts Inc. | 29,846 | 506 | |
MetLife Inc. | 11,440 | 502 | |
Weyerhaeuser Co. | 22,357 | 489 | |
Fifth Third Bancorp | 38,275 | 488 | |
* | Intercontinental- | ||
Exchange Inc. | 3,700 | 461 | |
Lincoln National Corp. | 16,159 | 460 | |
PNC Financial Services | |||
Group Inc. | 7,700 | 459 | |
Moody’s Corp. | 11,300 | 433 | |
General Growth | |||
Properties Inc. | 25,900 | 432 | |
* | CB Richard Ellis Group Inc. | ||
Class A | 17,173 | 431 | |
Unum Group | 16,727 | 426 | |
Aflac Inc. | 8,800 | 411 | |
AvalonBay Communities Inc. | 3,000 | 385 | |
SL Green Realty Corp. | 4,459 | 370 | |
Torchmark Corp. | 5,740 | 368 | |
Reinsurance Group of | |||
America Inc. Class A | 5,872 | 357 | |
* | Affiliated Managers | ||
Group Inc. | 3,400 | 345 | |
Federal Realty Investment | |||
Trust | 3,999 | 341 | |
Jones Lang LaSalle Inc. | 3,612 | 341 | |
Zions Bancorporation | 13,887 | 333 | |
* | Markel Corp. | 830 | 329 |
TD Ameritrade Holding Corp. | 16,661 | 325 | |
Regions Financial Corp. | 51,500 | 319 | |
Digital Realty Trust Inc. | 5,143 | 318 | |
* | Forest City Enterprises Inc. | ||
Class A | 17,018 | 318 | |
Alexandria Real Estate | |||
Equities Inc. | 4,100 | 317 | |
RenaissanceRe Holdings Ltd. | 4,532 | 317 | |
East West Bancorp Inc. | 15,588 | 315 | |
Legg Mason Inc. | 9,554 | 313 | |
HCC Insurance Holdings Inc. | 9,864 | 311 | |
* | MSCI Inc. Class A | 8,200 | 309 |
Marshall & Ilsley Corp. | 38,700 | 308 | |
Apartment Investment & | |||
Management Co. | 12,073 | 308 | |
Developers Diversified | |||
Realty Corp. | 21,800 | 307 | |
Brown & Brown Inc. | 11,800 | 303 | |
Prudential Financial Inc. | 4,712 | 300 | |
Raymond James | |||
Financial Inc. | 9,250 | 297 | |
Douglas Emmett Inc. | 14,929 | 297 | |
* | Arch Capital Group Ltd. | 9,296 | 297 |
Allied World Assurance Co. | |||
Holdings Ltd. | 5,048 | 291 |
12
Tax-Managed Balanced Fund
Market | |||
Value | |||
Shares | ($000) | ||
Allstate Corp. | 9,400 | 287 | |
Lazard Ltd. Class A | 7,700 | 286 | |
WR Berkley Corp. | 8,803 | 286 | |
Vornado Realty Trust | 3,000 | 280 | |
Assured Guaranty Ltd. | 17,100 | 279 | |
* | NASDAQ OMX Group Inc. | 11,000 | 278 |
SEI Investments Co. | 12,147 | 273 | |
American Financial | |||
Group Inc. | 7,650 | 273 | |
Hospitality Properties Trust | 10,810 | 262 | |
Assurant Inc. | 7,200 | 261 | |
Associated Banc-Corp | 18,600 | 259 | |
* | Alleghany Corp. | 775 | 258 |
Commerce Bancshares Inc. | 5,973 | 257 | |
* | St. Joe Co. | 11,900 | 248 |
First Horizon National Corp. | 25,056 | 239 | |
Huntington Bancshares Inc. | 34,200 | 224 | |
Janus Capital Group Inc. | 23,600 | 223 | |
BOK Financial Corp. | 4,040 | 221 | |
* | Howard Hughes Corp. | 3,400 | 221 |
* | LPL Investment | ||
Holdings Inc. | 6,300 | 216 | |
* | Genworth Financial Inc. | ||
Class A | 20,900 | 215 | |
StanCorp Financial | |||
Group Inc. | 5,000 | 211 | |
* | First Republic Bank | 6,300 | 203 |
* | MBIA Inc. | 22,375 | 194 |
Jefferies Group Inc. | 9,300 | 190 | |
Hanover Insurance | |||
Group Inc. | 5,014 | 189 | |
Washington Federal Inc. | 11,100 | 182 | |
First Citizens | |||
BancShares Inc. Class A | 946 | 177 | |
White Mountains Insurance | |||
Group Ltd. | 380 | 160 | |
Kimco Realty Corp. | 8,469 | 158 | |
BB&T Corp. | 5,800 | 156 | |
Leucadia National Corp. | 4,500 | 153 | |
* | TFS Financial Corp. | 15,600 | 151 |
CME Group Inc. | 499 | 146 | |
BlackRock Inc. | 722 | 139 | |
Comerica Inc. | 3,800 | 131 | |
KeyCorp | 13,318 | 111 | |
American International | |||
Group Inc. | 3,600 | 106 | |
Chubb Corp. | 1,400 | 88 | |
ACE Ltd. | 1,200 | 79 | |
ProLogis Inc. | 2,000 | 72 | |
Ameriprise Financial Inc. | 1,180 | 68 | |
M&T Bank Corp. | 750 | 66 | |
AON Corp. | 900 | 46 | |
* | E*Trade Financial Corp. | 3,200 | 44 |
Taubman Centers Inc. | 400 | 24 | |
Cullen/Frost Bankers Inc. | 200 | 11 |
Market | |||
Value | |||
Shares | ($000) | ||
People’s United | |||
Financial Inc. | 400 | 5 | |
56,885 | |||
Health Care (5.5%) | |||
Johnson & Johnson | 66,187 | 4,403 | |
Pfizer Inc. | 192,889 | 3,973 | |
Merck & Co. Inc. | 69,021 | 2,436 | |
UnitedHealth Group Inc. | 32,213 | 1,661 | |
Abbott Laboratories | 31,300 | 1,647 | |
* | Amgen Inc. | 27,852 | 1,625 |
* | Gilead Sciences Inc. | 25,593 | 1,060 |
WellPoint Inc. | 12,026 | 947 | |
* | Express Scripts Inc. | 17,368 | 937 |
* | Celgene Corp. | 15,462 | 933 |
* | Biogen Idec Inc. | 8,369 | 895 |
Medtronic Inc. | 23,200 | 894 | |
Allergan Inc. | 10,399 | 866 | |
* | Thermo Fisher Scientific Inc. | 13,167 | 848 |
* | Medco Health Solutions Inc. | 14,845 | 839 |
Bristol-Myers Squibb Co. | 26,995 | 782 | |
Stryker Corp. | 12,549 | 736 | |
* | Agilent Technologies Inc. | 13,207 | 675 |
St. Jude Medical Inc. | 13,835 | 660 | |
McKesson Corp. | 7,632 | 638 | |
Aetna Inc. | 14,055 | 620 | |
Cardinal Health Inc. | 13,245 | 602 | |
CIGNA Corp. | 11,062 | 569 | |
* | Zimmer Holdings Inc. | 8,070 | 510 |
Eli Lilly & Co. | 13,200 | 495 | |
* | Mylan Inc. | 20,056 | 495 |
* | Forest Laboratories Inc. | 12,409 | 488 |
* | Watson Pharmaceuticals Inc. | 7,096 | 488 |
AmerisourceBergen Corp. | |||
Class A | 11,506 | 476 | |
* | Vertex Pharmaceuticals Inc. | 9,000 | 468 |
* | Hospira Inc. | 8,060 | 457 |
* | Laboratory Corp. of | ||
America Holdings | 4,591 | 444 | |
* | Life Technologies Corp. | 8,522 | 444 |
* | Illumina Inc. | 5,800 | 436 |
CR Bard Inc. | 3,965 | 436 | |
Quest Diagnostics Inc. | 7,345 | 434 | |
* | Waters Corp. | 4,518 | 432 |
* | DaVita Inc. | 4,800 | 416 |
Baxter International Inc. | 6,800 | 406 | |
DENTSPLY International Inc. | 10,328 | 393 | |
Perrigo Co. | 4,408 | 387 | |
* | Endo Pharmaceuticals | ||
Holdings Inc. | 9,559 | 384 | |
Cooper Cos. Inc. | 4,584 | 363 | |
* | Mettler-Toledo | ||
International Inc. | 2,100 | 354 | |
Universal Health | |||
Services Inc. Class B | 5,966 | 307 | |
PerkinElmer Inc. | 11,400 | 307 |
13
Tax-Managed Balanced Fund
Market | |||
Value | |||
Shares | ($000) | ||
Warner Chilcott plc Class A | 12,500 | 302 | |
Omnicare Inc. | 9,021 | 288 | |
* | HCA Holdings Inc. | 8,700 | 287 |
Techne Corp. | 3,400 | 283 | |
* | Intuitive Surgical Inc. | 720 | 268 |
* | Tenet Healthcare Corp. | 42,100 | 263 |
Hill-Rom Holdings Inc. | 5,600 | 258 | |
* | Bio-Rad Laboratories Inc. | ||
Class A | 2,100 | 251 | |
* | Varian Medical Systems Inc. | 3,400 | 238 |
* | CareFusion Corp. | 8,395 | 228 |
Patterson Cos. Inc. | 6,600 | 217 | |
Covidien plc | 3,600 | 192 | |
Becton Dickinson and Co. | 1,684 | 145 | |
Pharmaceutical Product | |||
Development Inc. | 5,200 | 139 | |
* | Cephalon Inc. | 200 | 16 |
42,441 | |||
Industrials (5.5%) | |||
General Electric Co. | 259,109 | 4,887 | |
United Technologies Corp. | 24,876 | 2,202 | |
3M Co. | 16,900 | 1,603 | |
Union Pacific Corp. | 14,884 | 1,554 | |
Caterpillar Inc. | 11,900 | 1,267 | |
Boeing Co. | 15,820 | 1,170 | |
FedEx Corp. | 10,776 | 1,022 | |
Danaher Corp. | 18,879 | 1,000 | |
United Parcel Service Inc. | |||
Class B | 13,600 | 992 | |
Precision Castparts Corp. | 5,252 | 865 | |
Cummins Inc. | 7,321 | 758 | |
Raytheon Co. | 14,149 | 705 | |
Honeywell International Inc. | 11,500 | 685 | |
Emerson Electric Co. | 12,100 | 681 | |
Ingersoll-Rand plc | 13,100 | 595 | |
CH Robinson Worldwide Inc. | 7,011 | 553 | |
CSX Corp. | 20,200 | 530 | |
Fluor Corp. | 8,058 | 521 | |
ITT Corp. | 8,739 | 515 | |
Expeditors International of | |||
Washington Inc. | 9,728 | 498 | |
Fastenal Co. | 13,730 | 494 | |
Joy Global Inc. | 5,000 | 476 | |
Deere & Co. | 5,600 | 462 | |
* | Stericycle Inc. | 4,995 | 445 |
Republic Services Inc. | |||
Class A | 14,110 | 435 | |
Southwest Airlines Co. | 37,967 | 434 | |
AMETEK Inc. | 9,294 | 417 | |
KBR Inc. | 10,782 | 406 | |
WW Grainger Inc. | 2,632 | 404 | |
PACCAR Inc. | 7,800 | 398 | |
Textron Inc. | 16,781 | 396 | |
Rockwell Collins Inc. | 6,400 | 395 |
Market | |||
Value | |||
Shares | ($000) | ||
Bucyrus International Inc. | |||
Class A | 4,216 | 386 | |
Flowserve Corp. | 3,434 | 377 | |
Stanley Black & Decker Inc. | 5,227 | 377 | |
* | WABCO Holdings Inc. | 5,415 | 374 |
* | TransDigm Group Inc. | 4,000 | 365 |
JB Hunt Transport | |||
Services Inc. | 7,744 | 365 | |
Donaldson Co. Inc. | 5,956 | 361 | |
SPX Corp. | 4,299 | 355 | |
* | Jacobs Engineering | ||
Group Inc. | 8,207 | 355 | |
Chicago Bridge & | |||
Iron Co. NV | 8,900 | 346 | |
Equifax Inc. | 9,900 | 344 | |
Wabtec Corp. | 5,116 | 336 | |
Gardner Denver Inc. | 3,977 | 334 | |
* | AGCO Corp. | 6,524 | 322 |
* | BE Aerospace Inc. | 7,800 | 318 |
* | Navistar International Corp. | 5,526 | 312 |
* | Thomas & Betts Corp. | 5,766 | 310 |
Copa Holdings SA Class A | 4,493 | 300 | |
Towers Watson & Co. | |||
Class A | 4,500 | 296 | |
* | Quanta Services Inc. | 14,555 | 294 |
* | URS Corp. | 6,559 | 293 |
Manpower Inc. | 5,250 | 282 | |
* | Oshkosh Corp. | 9,500 | 275 |
Pentair Inc. | 6,800 | 274 | |
* | Terex Corp. | 9,584 | 273 |
Con-way Inc. | 7,000 | 272 | |
Landstar System Inc. | 5,788 | 269 | |
* | Aecom Technology Corp. | 9,800 | 268 |
* | Babcock & Wilcox Co. | 9,632 | 267 |
* | WESCO International Inc. | 4,845 | 262 |
Valmont Industries Inc. | 2,711 | 261 | |
General Dynamics Corp. | 3,491 | 260 | |
Manitowoc Co. Inc. | 15,262 | 257 | |
Dun & Bradstreet Corp. | 3,400 | 257 | |
Alliant Techsystems Inc. | 3,544 | 253 | |
* | Spirit Aerosystems | ||
Holdings Inc. Class A | 11,400 | 251 | |
Armstrong World | |||
Industries Inc. | 5,403 | 246 | |
UTi Worldwide Inc. | 12,204 | 240 | |
Toro Co. | 3,959 | 240 | |
Covanta Holding Corp. | 14,400 | 237 | |
Robert Half International Inc. | 8,200 | 222 | |
Lennox International Inc. | 5,100 | 220 | |
* | Shaw Group Inc. | 7,200 | 218 |
Illinois Tool Works Inc. | 3,700 | 209 | |
Roper Industries Inc. | 2,400 | 200 | |
* | Air Lease Corp. | 8,000 | 194 |
Norfolk Southern Corp. | 2,300 | 172 | |
Cintas Corp. | 4,550 | 150 |
14
Tax-Managed Balanced Fund
Market | |||
Value | |||
Shares | ($000) | ||
Regal-Beloit Corp. | 2,200 | 147 | |
MSC Industrial Direct Co. | |||
Class A | 2,100 | 139 | |
Tyco International Ltd. | 2,600 | 129 | |
Lockheed Martin Corp. | 1,503 | 122 | |
Ryder System Inc. | 1,400 | 80 | |
Waste Connections Inc. | 2,400 | 76 | |
L-3 Communications | |||
Holdings Inc. | 489 | 43 | |
IDEX Corp. | 529 | 24 | |
Pall Corp. | 400 | 22 | |
Northrop Grumman Corp. | 118 | 8 | |
* | Huntington Ingalls | ||
Industries Inc. | 19 | 1 | |
42,205 | |||
Information Technology (8.4%) | |||
* | Apple Inc. | 25,249 | 8,475 |
International Business | |||
Machines Corp. | 33,103 | 5,679 | |
Microsoft Corp. | 203,956 | 5,303 | |
Oracle Corp. | 109,679 | 3,610 | |
* | Google Inc. Class A | 7,099 | 3,595 |
Intel Corp. | 150,400 | 3,333 | |
Qualcomm Inc. | 43,900 | 2,493 | |
Cisco Systems Inc. | 157,508 | 2,459 | |
Hewlett-Packard Co. | 64,430 | 2,345 | |
* | EMC Corp. | 61,290 | 1,689 |
Visa Inc. Class A | 15,897 | 1,339 | |
* | eBay Inc. | 38,644 | 1,247 |
Corning Inc. | 52,967 | 961 | |
* | Dell Inc. | 54,335 | 906 |
* | Cognizant Technology | ||
Solutions Corp. Class A | 10,977 | 805 | |
* | Yahoo! Inc. | 48,174 | 725 |
* | NetApp Inc. | 13,071 | 690 |
* | Adobe Systems Inc. | 21,444 | 674 |
Applied Materials Inc. | 51,280 | 667 | |
Texas Instruments Inc. | 19,446 | 638 | |
Altera Corp. | 13,770 | 638 | |
* | Juniper Networks Inc. | 19,800 | 624 |
* | Intuit Inc. | 11,938 | 619 |
Broadcom Corp. Class A | 18,243 | 614 | |
* | Citrix Systems Inc. | 7,528 | 602 |
* | Motorola Solutions Inc. | 12,918 | 595 |
* | Symantec Corp. | 30,039 | 592 |
Analog Devices Inc. | 13,334 | 522 | |
Western Union Co. | 25,665 | 514 | |
* | BMC Software Inc. | 8,983 | 491 |
* | Teradata Corp. | 7,736 | 466 |
CA Inc. | 20,140 | 460 | |
Fidelity National Information | |||
Services Inc. | 14,908 | 459 | |
Mastercard Inc. Class A | 1,514 | 456 | |
Amphenol Corp. Class A | 8,332 | 450 | |
Xilinx Inc. | 12,317 | 449 |
Market | |||
Value | |||
Shares | ($000) | ||
Accenture plc Class A | 7,400 | 447 | |
* | Autodesk Inc. | 11,308 | 436 |
* | Fiserv Inc. | 6,847 | 429 |
* | Atmel Corp. | 28,800 | 405 |
* | First Solar Inc. | 2,971 | 393 |
KLA-Tencor Corp. | 9,592 | 388 | |
Factset Research | |||
Systems Inc. | 3,682 | 377 | |
Activision Blizzard Inc. | 31,000 | 362 | |
Global Payments Inc. | 6,760 | 345 | |
* | Lam Research Corp. | 7,700 | 341 |
National | |||
Semiconductor Corp. | 13,741 | 338 | |
VeriSign Inc. | 10,000 | 335 | |
FLIR Systems Inc. | 9,900 | 334 | |
Solera Holdings Inc. | 5,600 | 331 | |
* | SAIC Inc. | 18,906 | 318 |
Computer Sciences Corp. | 8,200 | 311 | |
Avago Technologies Ltd. | 8,000 | 304 | |
DST Systems Inc. | 5,550 | 293 | |
* | NVIDIA Corp. | 17,900 | 285 |
* | Fairchild Semiconductor | ||
International Inc. Class A | 16,325 | 273 | |
Xerox Corp. | 26,155 | 272 | |
* | Motorola Mobility | ||
Holdings Inc. | 11,303 | 249 | |
* | Marvell Technology | ||
Group Ltd. | 15,000 | 221 | |
Automatic Data | |||
Processing Inc. | 3,274 | 172 | |
Tellabs Inc. | 35,248 | 163 | |
* | Ingram Micro Inc. | 7,800 | 142 |
* | Lexmark International Inc. | ||
Class A | 4,500 | 132 | |
* | LSI Corp. | 14,400 | 103 |
AVX Corp. | 6,400 | 98 | |
Harris Corp. | 2,100 | 95 | |
* | Salesforce.com Inc. | 603 | 90 |
* | Tech Data Corp. | 1,400 | 68 |
National Instruments Corp. | 2,200 | 65 | |
* | IAC/InterActiveCorp | 1,500 | 57 |
* | Arrow Electronics Inc. | 700 | 29 |
Lender Processing | |||
Services Inc. | 800 | 17 | |
65,202 | |||
Materials (2.1%) | |||
Freeport-McMoRan | |||
Copper & Gold Inc. | 29,394 | 1,555 | |
Monsanto Co. | 16,208 | 1,176 | |
Newmont Mining Corp. | 16,554 | 893 | |
EI du Pont de | |||
Nemours & Co. | 14,300 | 773 | |
Mosaic Co. | 10,248 | 694 | |
Dow Chemical Co. | 17,400 | 626 | |
Cliffs Natural Resources Inc. | 5,900 | 545 |
15
Tax-Managed Balanced Fund
Market | |||
Value | |||
Shares | ($000) | ||
Ecolab Inc. | 9,400 | 530 | |
LyondellBasell Industries NV | |||
Class A | 13,200 | 508 | |
Sigma-Aldrich Corp. | 6,633 | 487 | |
CF Industries Holdings Inc. | 3,411 | 483 | |
FMC Corp. | 4,759 | 409 | |
* | Crown Holdings Inc. | 10,241 | 398 |
Praxair Inc. | 3,400 | 369 | |
Walter Energy Inc. | 3,100 | 359 | |
Airgas Inc. | 5,043 | 353 | |
Ball Corp. | 9,018 | 347 | |
Sherwin-Williams Co. | 4,100 | 344 | |
United States Steel Corp. | 7,300 | 336 | |
Ashland Inc. | 5,198 | 336 | |
International Paper Co. | 10,743 | 320 | |
Reliance Steel & | |||
Aluminum Co. | 6,200 | 308 | |
Nucor Corp. | 7,400 | 305 | |
* | Owens-Illinois Inc. | 11,600 | 299 |
Nalco Holding Co. | 10,749 | 299 | |
Celanese Corp. Class A | 5,407 | 288 | |
* | WR Grace & Co. | 6,300 | 288 |
Cytec Industries Inc. | 4,933 | 282 | |
Sealed Air Corp. | 11,800 | 281 | |
* | Solutia Inc. | 12,000 | 274 |
Scotts Miracle-Gro Co. | |||
Class A | 5,042 | 259 | |
Royal Gold Inc. | 4,200 | 246 | |
Schnitzer Steel | |||
Industries Inc. | 3,979 | 229 | |
* | Intrepid Potash Inc. | 6,803 | 221 |
Martin Marietta | |||
Materials Inc. | 2,286 | 183 | |
Titanium Metals Corp. | 9,700 | 178 | |
Steel Dynamics Inc. | 9,800 | 159 | |
Albemarle Corp. | 2,000 | 138 | |
* | Rockwood Holdings Inc. | 900 | 50 |
Air Products & | |||
Chemicals Inc. | 500 | 48 | |
Alcoa Inc. | 3,000 | 48 | |
Vulcan Materials Co. | 334 | 13 | |
16,237 | |||
Telecommunication Services (1.4%) | |||
AT&T Inc. | 141,566 | 4,447 | |
Verizon | |||
Communications Inc. | 67,900 | 2,528 | |
* | American Tower Corp. | ||
Class A | 14,149 | 740 | |
* | Sprint Nextel Corp. | 122,135 | 658 |
* | Crown Castle | ||
International Corp. | 12,967 | 529 | |
* | NII Holdings Inc. | 9,651 | 409 |
* | MetroPCS | ||
Communications Inc. | 20,300 | 349 |
Market | |||
Value | |||
Shares | ($000) | ||
* | SBA Communications Corp. | ||
Class A | 8,118 | 310 | |
* | United States Cellular Corp. | 4,415 | 214 |
Telephone & | |||
Data Systems Inc. | 5,463 | 170 | |
Frontier | |||
Communications Corp. | 16,298 | 132 | |
* | Clearwire Corp. Class A | 29,147 | 110 |
CenturyLink Inc. | 2,600 | 105 | |
Telephone & | |||
Data Systems Inc. - | |||
Special Common Shares | 3,000 | 81 | |
* | tw telecom inc Class A | 3,500 | 72 |
10,854 | |||
Utilities (1.6%) | |||
NextEra Energy Inc. | 15,197 | 873 | |
FirstEnergy Corp. | 14,278 | 630 | |
PG&E Corp. | 14,635 | 615 | |
Edison International | 14,600 | 566 | |
Entergy Corp. | 7,700 | 526 | |
Xcel Energy Inc. | 21,000 | 510 | |
Sempra Energy | 9,628 | 509 | |
* | AES Corp. | 37,300 | 475 |
Southern Co. | 11,000 | 444 | |
Constellation Energy | |||
Group Inc. | 11,300 | 429 | |
Wisconsin Energy Corp. | 13,650 | 428 | |
Northeast Utilities | 11,500 | 405 | |
* | Calpine Corp. | 23,010 | 371 |
* | NRG Energy Inc. | 14,924 | 367 |
American Water | |||
Works Co. Inc. | 12,300 | 362 | |
National Fuel Gas Co. | 4,966 | 362 | |
CMS Energy Corp. | 17,403 | 343 | |
ITC Holdings Corp. | 4,713 | 338 | |
MDU Resources Group Inc. | 14,804 | 333 | |
Alliant Energy Corp. | 8,100 | 329 | |
UGI Corp. | 10,100 | 322 | |
* | GenOn Energy Inc. | 83,412 | 322 |
NV Energy Inc. | 20,104 | 309 | |
NSTAR | 6,542 | 301 | |
Oneok Inc. | 4,000 | 296 | |
Aqua America Inc. | 13,200 | 290 | |
DPL Inc. | 7,800 | 235 | |
Exelon Corp. | 5,200 | 223 | |
Dominion Resources Inc. | 4,508 | 218 | |
Public Service Enterprise | |||
Group Inc. | 5,564 | 182 | |
Great Plains Energy Inc. | 7,800 | 162 | |
Questar Corp. | 8,757 | 155 | |
Duke Energy Corp. | 7,292 | 137 | |
OGE Energy Corp. | 300 | 15 | |
12,382 | |||
Total Common Stocks | |||
(Cost $223,644) | 367,453 |
16
Tax-Managed Balanced Fund
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Tax-Exempt Municipal Bonds (52.1%) | ||||
Alabama (0.1%) | ||||
Alabama Public School & College Authority | ||||
Capital Improvement Revenue | 5.000% | 12/1/21 | 500 | 557 |
Alabama Public School & College Authority | ||||
Capital Improvement Revenue | 5.000% | 12/1/22 | 500 | 551 |
1,108 | ||||
Alaska (0.1%) | ||||
Matanuska-Susitna Borough AK GO | 5.500% | 3/1/12 (3) | 595 | 612 |
Arizona (1.6%) | ||||
Arizona Board Regents | ||||
Arizona State University System Revenue | 5.875% | 7/1/24 | 100 | 112 |
Arizona COP | 5.000% | 10/1/18 (4) | 500 | 552 |
Arizona Health Facilities Authority Revenue | ||||
(Banner Health) | 5.000% | 1/1/25 | 500 | 507 |
Arizona School Facilities Board COP | 5.500% | 9/1/23 | 500 | 523 |
Arizona School Facilities Board Revenue | ||||
(School Improvement) | 5.750% | 7/1/14 (Prere.) | 500 | 573 |
Arizona Transportation Board Excise Tax Revenue | ||||
(Maricopa County Regional Area) | 5.000% | 7/1/24 | 500 | 556 |
Arizona Transportation Board Excise Tax Revenue | ||||
(Maricopa County Regional Area) | 5.000% | 7/1/25 | 500 | 537 |
Arizona Transportation Board Highway Revenue | 5.250% | 7/1/12 (Prere.) | 1,965 | 2,063 |
Arizona Transportation Board Highway Revenue | 5.250% | 7/1/17 | 2,215 | 2,311 |
Arizona Water Infrastructure | ||||
Finance Authority Revenue | 4.000% | 10/1/14 | 500 | 550 |
Glendale AZ Industrial Development Authority | ||||
Revenue (Midwestern University) | 5.000% | 5/15/30 | 275 | 269 |
Mesa AZ Utility System Revenue | 5.000% | 7/1/14 (Prere.) | 500 | 566 |
Phoenix AZ Civic Improvement Corp. | ||||
Airport Revenue | 5.000% | 7/1/24 | 300 | 314 |
Phoenix AZ Civic Improvement Corp. | ||||
Airport Revenue (Light Rail Project) | 5.000% | 7/1/19 (2) | 780 | 845 |
Phoenix AZ Civic Improvement Corp. | ||||
Water System Revenue | 5.000% | 7/1/21 (14) | 500 | 541 |
Salt River Project Arizona Agricultural | ||||
Improvement & Power District Revenue | 5.000% | 1/1/28 | 750 | 804 |
Salt Verde AZ Financial Project Revenue | 5.250% | 12/1/24 | 500 | 477 |
12,100 | ||||
California (6.0%) | ||||
Bay Area CA Infrastructure Financing | ||||
Authority Revenue | 5.000% | 8/1/17 (14) | 500 | 522 |
Bay Area Toll Authority California Toll Bridge | ||||
Revenue (San Francisco Bay Area) | 5.000% | 4/1/25 | 500 | 535 |
Bay Area Toll Authority California Toll Bridge | ||||
Revenue (San Francisco Bay Area) | 5.000% | 10/1/30 | 500 | 501 |
California Department of | ||||
Water Resources Power Supply Revenue | 5.500% | 5/1/12 (Prere.) | 3,000 | 3,162 |
California Department of | ||||
Water Resources Power Supply Revenue | 5.000% | 5/1/16 | 500 | 578 |
California Department of | ||||
Water Resources Power Supply Revenue | 5.000% | 5/1/17 | 500 | 585 |
17
Tax-Managed Balanced Fund
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
California Department of | ||||
Water Resources Power Supply Revenue | 5.000% | 5/1/18 | 500 | 585 |
California Department of | ||||
Water Resources Power Supply Revenue | 5.000% | 5/1/18 | 500 | 585 |
California Department of | ||||
Water Resources Power Supply Revenue | 5.000% | 5/1/19 | 500 | 585 |
California Department of | ||||
Water Resources Power Supply Revenue | 5.000% | 5/1/20 | 575 | 672 |
California Department of | ||||
Water Resources Water System Revenue | ||||
(Central Valley Project) | 5.000% | 12/1/28 | 500 | 534 |
California Economic Recovery Bonds GO | 5.000% | 7/1/14 (Prere.) | 205 | 232 |
California Economic Recovery Bonds GO | 5.000% | 7/1/15 | 295 | 326 |
California Economic Recovery Bonds GO | 5.000% | 7/1/18 | 500 | 586 |
California Economic Recovery Bonds GO | 5.000% | 7/1/19 | 500 | 583 |
California Economic Recovery Bonds GO | 5.000% | 7/1/20 | 500 | 573 |
California Economic Recovery Bonds GO | 5.250% | 7/1/21 | 825 | 948 |
California Economic Recovery Bonds GO | 5.000% | 7/1/22 | 500 | 538 |
California Educational Facilities Authority Revenue | ||||
(University of San Francisco) | 6.125% | 10/1/30 | 500 | 541 |
California GO | 5.250% | 10/1/13 (14) | 500 | 547 |
California GO | 5.000% | 11/1/13 | 500 | 545 |
California GO | 5.000% | 6/1/15 | 500 | 556 |
California GO | 6.000% | 2/1/16 | 500 | 587 |
California GO | 5.000% | 11/1/16 | 350 | 400 |
California GO | 5.000% | 3/1/17 | 500 | 571 |
California GO | 5.000% | 4/1/17 | 500 | 571 |
California GO | 5.500% | 4/1/18 | 1,000 | 1,174 |
California GO | 6.000% | 4/1/18 | 500 | 601 |
California GO | 5.000% | 9/1/18 | 500 | 553 |
California GO | 5.000% | 11/1/18 (3) | 500 | 563 |
California GO | 5.000% | 6/1/19 (14) | 500 | 552 |
California GO | 5.000% | 10/1/21 | 250 | 271 |
California GO | 5.000% | 6/1/25 | 495 | 515 |
California GO | 5.500% | 3/1/26 | 500 | 531 |
California GO | 5.000% | 6/1/27 (14) | 500 | 512 |
California GO | 5.000% | 9/1/27 | 500 | 510 |
California GO | 4.500% | 8/1/28 (2) | 485 | 461 |
California GO | 5.750% | 4/1/29 | 500 | 532 |
California GO | 5.000% | 9/1/29 (2) | 500 | 503 |
California GO | 5.250% | 3/1/30 | 500 | 513 |
California Health Facilities | ||||
Financing Authority Revenue | ||||
(Catholic Healthcare West) PUT | 5.000% | 7/1/14 | 500 | 558 |
California Health Facilities | ||||
Financing Authority Revenue (Sutter Health) | 5.500% | 8/15/26 | 500 | 523 |
California Infrastructure & | ||||
Economic Development Bank Revenue | ||||
(Bay Area Toll Bridges Seismic Retrofit) | 5.000% | 1/1/28 (Prere.) | 500 | 589 |
California Municipal Finance Authority Revenue | ||||
(University of La Verne) | 6.125% | 6/1/30 | 500 | 504 |
California Public Works Board Lease Revenue | ||||
(Department of Corrections) | 5.000% | 9/1/11 (2) | 1,535 | 1,540 |
California State University Revenue Systemwide | 5.750% | 11/1/27 | 500 | 531 |
18
Tax-Managed Balanced Fund
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
California State University Revenue Systemwide | 5.250% | 11/1/29 | 300 | 306 |
California Statewide Communities Development | ||||
Authority Revenue (Kaiser Permanente) | 5.000% | 4/1/19 | 500 | 565 |
California Statewide Communities Development | ||||
Authority Revenue (Proposition 1A | ||||
Receivables Program) | 5.000% | 6/15/13 | 500 | 537 |
Golden State Tobacco Securitization Corp. | ||||
California | 4.500% | 6/1/27 | 995 | 825 |
Los Angeles CA Community College District GO | 5.000% | 8/1/27 | 500 | 517 |
Los Angeles CA Department of Airports | ||||
International Airport Revenue | 5.000% | 5/15/27 | 500 | 527 |
Los Angeles CA Department of Water & | ||||
Power Revenue | 5.000% | 7/1/24 | 500 | 540 |
Los Angeles CA GO | 5.000% | 9/1/20 (14) | 500 | 543 |
Los Angeles CA Unified School District GO | 5.000% | 7/1/21 (4) | 1,825 | 1,981 |
Los Angeles CA Unified School District GO | 5.000% | 7/1/26 | 500 | 522 |
Los Angeles CA Unified School District GO | 5.000% | 7/1/29 | 500 | 513 |
Los Angeles CA Unified School District GO | 5.000% | 7/1/29 | 500 | 513 |
Los Angeles CA Wastewater System Revenue | 5.000% | 6/1/29 | 500 | 520 |
Los Angeles County CA Metropolitan | ||||
Transportation Authority Sales Tax Revenue | 5.000% | 7/1/19 | 560 | 655 |
Roseville CA Natural Gas Financing Authority | ||||
Gas Revenue | 5.000% | 2/15/12 | 500 | 513 |
Sacramento CA Municipal Utility District Revenue | 5.000% | 8/15/27 (4) | 500 | 516 |
Sacramento County CA Airport Revenue | 5.625% | 7/1/29 | 500 | 520 |
San Diego CA Public Facilities Financing Authority | ||||
Sewer Revenue | 5.000% | 5/15/28 | 500 | 525 |
San Diego CA Public Facilities Financing Authority | ||||
Water Revenue | 5.250% | 8/1/28 | 500 | 532 |
San Diego CA Unified School District GO | 0.000% | 7/1/27 | 500 | 196 |
San Diego CA Unified School District GO | 5.500% | 7/1/27 (4) | 500 | 568 |
San Diego CA Unified School District GO | 0.000% | 7/1/28 | 500 | 182 |
San Diego CA Unified School District GO | 0.000% | 7/1/29 | 500 | 168 |
San Diego County CA Regional Airport | ||||
Authority Revenue | 5.000% | 7/1/30 (4) | 500 | 496 |
San Francisco CA City & | ||||
County Earthquake Safety GO | 5.000% | 6/15/28 | 500 | 523 |
San Francisco CA City & | ||||
County International Airport Revenue | 5.250% | 5/1/22 | 500 | 546 |
San Francisco CA City & | ||||
County Public Utility Commission Revenue | 5.500% | 11/1/30 | 500 | 548 |
San Jose CA Redevelopment Agency | ||||
Tax Allocation Revenue | 6.500% | 8/1/28 | 700 | 710 |
University of California Revenue | 5.000% | 5/15/21 | 500 | 541 |
University of California Revenue | 5.000% | 5/15/25 | 500 | 539 |
University of California Revenue | 5.000% | 5/15/27 (14) | 500 | 525 |
University of California Revenue | 5.000% | 5/15/28 (14) | 500 | 522 |
46,718 | ||||
Colorado (1.2%) | ||||
Colorado Department of Transportation RAN | 5.250% | 12/15/13 (Prere.) | 3,750 | 4,188 |
Colorado Department of Transportation RAN | 5.500% | 6/15/15 (14) | 500 | 584 |
Colorado Springs CO Utility System Revenue | 5.000% | 11/15/25 | 500 | 549 |
Denver CO City & County Airport Revenue | 5.000% | 11/15/26 | 430 | 450 |
Denver CO City & County COP VRDO | 0.030% | 7/1/11 | 825 | 825 |
19
Tax-Managed Balanced Fund
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Denver CO City & | ||||
County School District No. 1 GO | 5.500% | 12/1/23 (14) | 500 | 610 |
E-470 Public Highway Authority | ||||
Colorado Revenue | 5.250% | 9/1/18 (14) | 1,500 | 1,528 |
E-470 Public Highway Authority | ||||
Colorado Revenue | 5.375% | 9/1/26 | 500 | 469 |
9,203 | ||||
Connecticut (0.9%) | ||||
Connecticut GO | 5.500% | 12/15/13 | 3,000 | 3,356 |
Connecticut GO | 5.000% | 1/1/14 | 500 | 553 |
Connecticut GO | 5.000% | 11/1/14 | 500 | 567 |
Connecticut GO | 5.000% | 12/1/14 | 500 | 568 |
Connecticut GO | 5.000% | 2/15/23 | 500 | 559 |
Connecticut Special Tax Revenue | ||||
(Transportation Infrastructure) | 6.500% | 10/1/12 | 500 | 537 |
Connecticut Special Tax Revenue | ||||
(Transportation Infrastructure) | 5.000% | 11/1/25 | 500 | 541 |
6,681 | ||||
Delaware (0.2%) | ||||
Delaware GO | 5.000% | 10/1/20 | 500 | 598 |
Delaware Transportation Authority | ||||
Transportation System Revenue | 5.000% | 7/1/19 | 500 | 592 |
University of Delaware Revenue | 5.000% | 11/1/23 | 555 | 630 |
1,820 | ||||
District of Columbia (0.3%) | ||||
District of Columbia GO | 5.000% | 6/1/21 (4) | 500 | 553 |
District of Columbia Income Tax Revenue | 5.250% | 12/1/27 | 500 | 552 |
District of Columbia Income Tax Revenue | 5.000% | 12/1/30 | 500 | 529 |
Metropolitan Washington DC/VA | ||||
Airports Authority Airport System Revenue | 5.000% | 10/1/24 | 500 | 539 |
2,173 | ||||
Florida (2.0%) | ||||
Broward County FL Airport System Revenue | 5.375% | 10/1/29 | 500 | 516 |
Citizens Property Insurance Corp. | ||||
Florida Revenue (Coastal Account) | 5.000% | 6/1/15 | 1,000 | 1,071 |
Citizens Property Insurance Corp. | ||||
Florida Revenue (Coastal Account) | 5.250% | 6/1/17 | 435 | 466 |
Citizens Property Insurance Corp. | ||||
Florida Revenue (Coastal Account) | 5.500% | 6/1/17 | 500 | 542 |
Florida Board of Education Capital Outlay GO | 5.000% | 1/1/14 | 500 | 551 |
Florida Board of Education Lottery Revenue | 5.000% | 7/1/16 (2) | 500 | 565 |
Florida Board of Education Lottery Revenue | 5.000% | 7/1/18 | 500 | 574 |
Florida Board of Education | ||||
Public Education Capital Outlay GO | 5.000% | 6/1/22 | 500 | 566 |
Florida Board of Education | ||||
Public Education Capital Outlay GO | 5.000% | 6/1/24 | 500 | 542 |
Florida Department of Environmental Protection | ||||
& Preservation Revenue | 5.000% | 7/1/15 (14) | 625 | 701 |
Florida Hurricane Catastrophe Fund | ||||
Finance Corp. Revenue | 5.000% | 7/1/12 | 3,565 | 3,721 |
Florida Turnpike Authority Revenue | 5.000% | 7/1/19 | 500 | 577 |
Miami-Dade County FL Aviation Revenue | ||||
(Miami International Airport) | 4.875% | 10/1/24 | 500 | 510 |
20
Tax-Managed Balanced Fund
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Miami-Dade County FL Aviation Revenue | ||||
(Miami International Airport) | 5.000% | 10/1/30 | 585 | 576 |
Miami-Dade County FL School Board COP | 5.000% | 11/1/22 (2) | 500 | 512 |
Miami-Dade County FL Water & Sewer Revenue | 5.000% | 10/1/26 (14) | 500 | 519 |
Orange County FL Health Facilities Authority | ||||
Revenue (Nemours Foundation Project) | 5.000% | 1/1/19 | 500 | 559 |
Orlando & Orange County FL Expressway | ||||
Authority Revenue | 5.000% | 7/1/30 | 500 | 509 |
Orlando FL Utility Commission Water & | ||||
Electric Revenue | 5.250% | 10/1/13 (ETM) | 500 | 553 |
Orlando FL Utility Commission Water & | ||||
Electric Revenue | 5.250% | 10/1/14 (ETM) | 500 | 571 |
Tohopekaliga FL Water Authority Utility | ||||
System Revenue | 5.750% | 10/1/30 | 500 | 553 |
15,254 | ||||
Georgia (2.3%) | ||||
Atlanta GA Airport Revenue | 5.750% | 1/1/13 (3) | 3,370 | 3,400 |
Atlanta GA Airport Revenue | 5.000% | 1/1/16 | 525 | 587 |
Atlanta GA Airport Revenue | 5.000% | 1/1/20 | 500 | 555 |
Atlanta GA Water & Wastewater Revenue | 5.750% | 11/1/27 (4) | 500 | 565 |
Georgia GO | 5.000% | 10/1/13 | 500 | 551 |
Georgia GO | 4.000% | 1/1/15 | 575 | 634 |
Georgia GO | 5.000% | 9/1/15 (Prere.) | 500 | 582 |
Georgia GO | 5.000% | 4/1/16 | 500 | 584 |
Georgia GO | 5.000% | 5/1/16 | 500 | 586 |
Georgia GO | 5.000% | 7/1/16 | 500 | 588 |
Georgia GO | 5.000% | 7/1/16 | 400 | 470 |
Georgia GO | 5.750% | 8/1/17 | 500 | 614 |
Georgia GO | 5.000% | 7/1/22 | 500 | 575 |
Georgia GO | 5.000% | 5/1/25 | 500 | 556 |
Georgia Municipal Electric Power | ||||
Authority Revenue | 6.250% | 1/1/12 (14) | 3,000 | 3,085 |
Georgia Road & Tollway Authority GAN | 5.000% | 6/1/14 | 500 | 559 |
Georgia Road & Tollway Authority Revenue | 5.000% | 6/1/17 | 500 | 586 |
Gwinnett County GA School District GO | 5.000% | 2/1/28 | 500 | 569 |
Main Street Natural Gas Inc. | ||||
Georgia Gas Project Revenue | 5.000% | 3/15/16 | 590 | 636 |
Main Street Natural Gas Inc. | ||||
Georgia Gas Project Revenue | 5.000% | 3/15/21 | 500 | 487 |
Milledgeville-Baldwin County GA | ||||
Development Authority Revenue | ||||
(Georgia College & State University Foundation) | 5.625% | 9/1/14 (Prere.) | 500 | 579 |
Private Colleges & University Authority of | ||||
Georgia Revenue (Emory University) | 5.000% | 9/1/28 | 500 | 540 |
17,888 | ||||
Hawaii (0.5%) | ||||
Hawaii GO | 5.750% | 2/1/15 (4) | 500 | 581 |
Hawaii GO | 5.000% | 4/1/19 (2) | 500 | 571 |
Hawaii GO | 5.000% | 6/1/29 | 500 | 535 |
Hawaii Pacific Health Revenue | 5.000% | 7/1/19 | 575 | 592 |
Honolulu HI City & County GO | 5.000% | 7/1/20 (4) | 500 | 564 |
Honolulu HI City & County GO | 5.000% | 12/1/30 | 310 | 331 |
University of Hawaii Revenue | 5.000% | 10/1/27 | 500 | 536 |
3,710 |
21
Tax-Managed Balanced Fund
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Illinois (2.0%) | ||||
Chicago IL (City Colleges Capital | ||||
Improvement Project) GO | 0.000% | 1/1/12 (3) | 2,380 | 2,357 |
Chicago IL Board of Education GO | 5.250% | 12/1/24 (4) | 500 | 517 |
Chicago IL Board of Education GO | 5.250% | 12/1/26 (4) | 500 | 510 |
Chicago IL GO | 5.000% | 12/1/16 (2) | 500 | 559 |
Chicago IL GO | 5.500% | 1/1/17 (4) | 500 | 564 |
Chicago IL GO | 5.000% | 1/1/19 (2) | 500 | 535 |
Chicago IL GO VRDO | 0.050% | 7/1/11 | 1,240 | 1,240 |
Chicago IL O’Hare International Airport Revenue | 5.000% | 1/1/24 (4) | 500 | 521 |
Chicago IL O’Hare International Airport Revenue | 5.250% | 1/1/24 (14) | 500 | 517 |
Chicago IL Sales Tax Revenue VRDO | 0.050% | 7/1/11 | 1,300 | 1,300 |
Cook County IL GO | 5.000% | 11/15/21 | 500 | 531 |
Cook County IL GO | 5.000% | 11/15/28 | 500 | 511 |
Illinois Finance Authority Revenue | ||||
(University of Chicago) VRDO | 0.050% | 7/7/11 | 500 | 500 |
Illinois GO | 5.000% | 1/1/18 | 500 | 540 |
Illinois GO | 5.000% | 1/1/21 (4) | 500 | 532 |
Illinois GO | 5.000% | 6/1/26 | 500 | 497 |
Illinois Regional Transportation Authority Revenue | 6.250% | 7/1/23 (4) | 500 | 602 |
Illinois Sales Tax Revenue | 5.500% | 6/15/17 (3) | 500 | 583 |
Illinois Toll Highway Authority Revenue | 5.000% | 1/1/25 (4) | 500 | 513 |
Illinois Toll Highway Authority Revenue | 5.000% | 1/1/28 | 500 | 509 |
Metropolitan Pier & Exposition Authority Illinois | ||||
Dedicated Sales Tax Revenue | 0.000% | 6/15/19 (3) | 1,000 | 709 |
Metropolitan Pier & Exposition Authority Illinois | ||||
Dedicated Sales Tax Revenue | 0.000% | 6/15/26 (4) | 500 | 217 |
Railsplitter Tobacco Settlement Authority Illinois | ||||
Tobacco Settlement Revenue | 6.000% | 6/1/28 | 400 | 406 |
15,270 | ||||
Indiana (0.3%) | ||||
Indiana Finance Authority Revenue | ||||
(State Revolving Fund) | 5.000% | 2/1/18 | 500 | 589 |
Indiana Health & Educational Facility | ||||
Financing Authority Hospital Revenue | ||||
(Clarian Health Obligated Group) | 5.000% | 2/15/25 | 290 | 291 |
Indiana Municipal Power Agency Revenue | 5.250% | 1/1/15 (14) | 500 | 528 |
Indiana Office Building Commission Facilities | ||||
Revenue (New Castle Correctional Facility) | 5.250% | 7/1/19 (14) | 500 | 567 |
Indiana Transportation Finance Authority | ||||
Highway Revenue | 5.000% | 12/1/12 (14) | 500 | 533 |
Indiana University Student Fee Revenue | 5.000% | 8/1/23 | 100 | 110 |
2,618 | ||||
Iowa (0.0%) | ||||
Iowa Special Obligation Revenue (Ijobs Program) | 5.000% | 6/1/24 | 220 | 242 |
Kansas (0.5%) | ||||
Kansas Department of | ||||
Transportation Highway Revenue | 5.000% | 9/1/22 | 500 | 564 |
Leavenworth County KS Unified School District | ||||
GO | 4.500% | 9/1/19 (12) | 500 | 563 |
University of Kansas Hospital Authority | ||||
Health Facilities Improvement Revenue | 5.000% | 9/1/16 | 1,250 | 1,441 |
22
Tax-Managed Balanced Fund
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
University of Kansas Hospital Authority | ||||
Health Facilities Improvement Revenue | 5.000% | 9/1/17 | 1,000 | 1,132 |
3,700 | ||||
Kentucky (0.2%) | ||||
Kentucky Property & | ||||
Building Commission Revenue | 5.250% | 10/1/15 (4) | 150 | 173 |
Kentucky Property & | ||||
Building Commission Revenue | 5.375% | 11/1/23 | 500 | 549 |
Kentucky Property & | ||||
Building Commission Revenue | 5.000% | 11/1/26 (4) | 500 | 523 |
Kentucky Turnpike Authority | ||||
Economic Development Road Revenue | ||||
(Revitalization Project) | 5.000% | 7/1/25 | 305 | 328 |
1,573 | ||||
Louisiana (0.5%) | ||||
Jefferson Parish LA Environmental Facilities & | ||||
Community Development Authority Revenue | 5.000% | 4/1/18 | 405 | 453 |
Louisiana Citizens Property Insurance Corp. | ||||
Assessment Revenue | 5.000% | 6/1/22 (2) | 500 | 486 |
Louisiana Gasoline & Fuel Tax Revenue | 5.000% | 5/1/31 (4) | 500 | 514 |
Louisiana GO | 5.000% | 5/1/18 (4) | 500 | 565 |
Louisiana GO | 5.000% | 5/1/23 (4) | 500 | 543 |
Louisiana Public Facilities Authority Revenue | ||||
(Ochsner Clinic Foundation Project) | 5.000% | 5/15/16 | 1,260 | 1,370 |
3,931 | ||||
Maine (0.1%) | ||||
Portland ME Airport Revenue | 5.000% | 1/1/20 (4) | 500 | 551 |
Maryland (1.0%) | ||||
Maryland Department of Transportation Revenue | 5.000% | 2/15/18 | 500 | 592 |
Maryland GO | 5.000% | 3/1/15 | 550 | 629 |
Maryland GO | 5.250% | 3/1/15 | 500 | 576 |
Maryland GO | 5.000% | 8/1/15 | 500 | 579 |
Maryland GO | 5.000% | 8/1/15 (Prere.) | 500 | 581 |
Maryland GO | 5.250% | 3/1/17 | 500 | 597 |
Maryland GO | 5.000% | 7/15/17 | 610 | 725 |
Maryland GO | 5.000% | 3/15/22 | 500 | 577 |
Maryland Transportation Authority | ||||
Facilities Projects Revenue | 5.000% | 7/1/15 (4) | 750 | 836 |
Maryland Transportation Authority | ||||
Facilities Projects Revenue | 5.000% | 7/1/22 | 500 | 568 |
Maryland Transportation Authority GAN | 5.250% | 3/1/20 | 500 | 591 |
Montgomery County MD GO | 5.000% | 11/1/17 | 500 | 596 |
7,447 | ||||
Massachusetts (2.5%) | ||||
Massachusetts Bay Transportation Authority | ||||
Sales Tax Revenue | 5.000% | 7/1/18 (Prere.) | 500 | 607 |
Massachusetts Bay Transportation Authority | ||||
Sales Tax Revenue | 5.250% | 7/1/22 | 480 | 569 |
Massachusetts Bay Transportation Authority | ||||
Sales Tax Revenue | 5.500% | 7/1/26 (14) | 400 | 477 |
Massachusetts College Building | ||||
Authority Revenue | 5.250% | 5/1/29 | 445 | 480 |
23
Tax-Managed Balanced Fund
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Massachusetts Department of Transportation | ||||
Metropolitan Highway System Revenue | 5.000% | 1/1/23 | 500 | 537 |
Massachusetts Development Finance Agency | ||||
Revenue (Boston College) | 5.000% | 7/1/19 | 500 | 583 |
Massachusetts Development Finance Agency | ||||
Revenue (Emerson College) | 5.500% | 1/1/30 | 350 | 360 |
Massachusetts GO | 5.500% | 11/1/13 (3) | 2,000 | 2,229 |
Massachusetts GO | 5.000% | 5/1/14 | 500 | 558 |
Massachusetts GO | 5.000% | 8/1/14 | 500 | 562 |
Massachusetts GO | 5.000% | 8/1/15 | 500 | 575 |
Massachusetts GO | 5.500% | 11/1/16 | 500 | 600 |
Massachusetts GO | 5.500% | 10/1/18 | 500 | 606 |
Massachusetts GO | 5.000% | 7/1/20 | 500 | 579 |
Massachusetts GO | 5.000% | 8/1/20 | 500 | 588 |
Massachusetts GO | 5.500% | 10/1/20 | 500 | 609 |
Massachusetts GO | 5.250% | 8/1/23 | 500 | 591 |
Massachusetts GO | 5.000% | 3/1/26 | 500 | 546 |
Massachusetts GO | 5.000% | 4/1/29 | 500 | 541 |
Massachusetts Health & | ||||
Educational Facilities Authority Revenue | ||||
(Caritas Christi Obligated Group) | 6.500% | 7/1/12 (ETM) | 505 | 519 |
Massachusetts Health & | ||||
Educational Facilities Authority Revenue | ||||
(Children’s Hospital) VRDO | 0.060% | 7/1/11 LOC | 1,550 | 1,550 |
Massachusetts Health & | ||||
Educational Facilities Authority Revenue | ||||
(Harvard University) | 5.000% | 12/15/28 | 500 | 548 |
Massachusetts Health & | ||||
Educational Facilities Authority Revenue (MIT) | 5.250% | 7/1/28 | 500 | 591 |
Massachusetts Health & | ||||
Educational Facilities Authority Revenue | ||||
(Tufts University) VRDO | 0.030% | 7/1/11 | 200 | 200 |
Massachusetts School Building Authority | ||||
Dedicated Sales Tax Revenue | 5.000% | 5/15/19 | 500 | 590 |
Massachusetts School Building Authority | ||||
Dedicated Sales Tax Revenue | 5.000% | 8/15/27 (14) | 500 | 524 |
Massachusetts School Building Authority | ||||
Dedicated Sales Tax Revenue | 5.000% | 8/15/30 (4) | 500 | 518 |
Massachusetts Special Obligation | ||||
Dedicated Tax Revenue | 5.500% | 1/1/26 (3) | 500 | 554 |
Massachusetts Turnpike Authority Revenue | ||||
(Metropolitan Highway System) | 0.000% | 1/1/29 (14) | 300 | 115 |
Massachusetts Water Pollution Abatement | ||||
Trust Revenue | 5.250% | 8/1/21 | 500 | 607 |
Massachusetts Water Resources | ||||
Authority Revenue | 5.000% | 8/1/25 | 895 | 992 |
19,505 | ||||
Michigan (1.4%) | ||||
Detroit MI City School District GO | 5.250% | 5/1/28 (4) | 500 | 492 |
Mason MI Public School District | ||||
(School Building & Site) GO | 5.250% | 5/1/17 (4) | 1,850 | 2,019 |
Michigan Building Authority Revenue | 5.000% | 10/15/20 (4) | 500 | 551 |
Michigan GO | 5.000% | 9/15/14 (4) | 500 | 556 |
Michigan GO | 5.000% | 5/1/18 | 500 | 571 |
Michigan GO | 5.500% | 11/1/25 | 595 | 647 |
24
Tax-Managed Balanced Fund
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Michigan Hospital Finance Authority Revenue | ||||
(Ascension Health Credit Group) PUT | 5.000% | 11/1/12 | 4,735 | 5,009 |
Michigan Trunk Line Revenue | 5.000% | 11/1/21 | 500 | 553 |
Wayne County MI Airport Authority Revenue | ||||
(Detroit Metropolitan Wayne County Airport) | 5.000% | 12/1/16 | 500 | 544 |
10,942 | ||||
Minnesota (0.7%) | ||||
Chisago Lakes MN Independent School District | ||||
GO | 5.000% | 2/1/15 (4) | 500 | 567 |
Minnesota GO | 5.000% | 6/1/13 | 500 | 544 |
Minnesota GO | 5.000% | 11/1/14 | 500 | 569 |
Minnesota GO | 5.000% | 8/1/15 | 500 | 578 |
Minnesota GO | 5.000% | 8/1/19 | 500 | 595 |
Minnesota GO | 5.000% | 8/1/21 | 500 | 583 |
Minnesota Public Facilities Authority Revenue | ||||
(State Revolving Fund) | 5.000% | 3/1/15 | 500 | 571 |
Southern Minnesota Municipal Power Agency | ||||
Power Supply System Revenue | 5.250% | 1/1/30 | 500 | 526 |
University of Minnesota Revenue | 5.000% | 8/1/19 | 500 | 589 |
University of Minnesota Revenue | 5.250% | 12/1/29 | 500 | 555 |
5,677 | ||||
Mississippi (0.1%) | ||||
Mississippi GO | 5.500% | 12/1/18 | 750 | 914 |
Missouri (0.8%) | ||||
Curators of the University of Missouri | ||||
System Facilities Revenue | 5.000% | 11/1/26 | 500 | 530 |
Kansas City MO Water Revenue | 5.000% | 12/1/18 (13) | 500 | 589 |
Missouri Health & Educational Facilities Authority | ||||
Health Facilities Revenue | ||||
(St. Luke’s Episcopal - Presbyterian Hospital) | 5.500% | 12/1/15 (4) | 2,965 | 3,002 |
Missouri Highways & | ||||
Transportation Commission Road Revenue | 5.000% | 5/1/15 | 300 | 345 |
Missouri Highways & | ||||
Transportation Commission Road Revenue | 5.000% | 5/1/17 | 500 | 591 |
Missouri Highways & | ||||
Transportation Commission Road Revenue | 5.000% | 5/1/23 | 500 | 566 |
Missouri Highways & | ||||
Transportation Commission Road Revenue | 5.250% | 5/1/23 | 350 | 393 |
6,016 | ||||
Nevada (0.5%) | ||||
Clark County NV GO | 5.000% | 12/1/29 | 500 | 515 |
Clark County NV Highway Improvement | ||||
Motor Vehicle Fuel Tax Revenue | 5.000% | 7/1/27 | 500 | 517 |
Clark County NV | ||||
Passenger Facility Charge Revenue | ||||
(Las Vegas McCarran International Airport) | 5.000% | 7/1/15 | 155 | 172 |
Clark County NV | ||||
Passenger Facility Charge Revenue | ||||
(Las Vegas McCarran International Airport) | 4.500% | 7/1/20 | 455 | 476 |
Clark County NV School District GO | 5.000% | 6/15/18 | 1,690 | 1,910 |
Nevada Capital Improvement & | ||||
Cultural Affairs GO | 5.000% | 12/1/26 (3) | 500 | 523 |
4,113 |
25
Tax-Managed Balanced Fund
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
New Hampshire (0.1%) | ||||
Manchester NH General Airport Revenue | 5.000% | 1/1/17 | 500 | 546 |
New Jersey (2.5%) | ||||
Garden State Preservation Trust | ||||
New Jersey Revenue | ||||
(Open Space & Farmland Preservation) | 5.250% | 11/1/13 (Prere.) | 875 | 972 |
Garden State Preservation Trust | ||||
New Jersey Revenue | ||||
(Open Space & Farmland Preservation) | 0.000% | 11/1/21 (4) | 500 | 324 |
Garden State Preservation Trust | ||||
New Jersey Revenue | ||||
(Open Space & Farmland Preservation) | 0.000% | 11/1/22 (4) | 500 | 305 |
New Jersey Economic Development Authority | ||||
Revenue (Cigarette Tax) | 5.750% | 6/15/29 | 500 | 471 |
New Jersey Economic Development Authority | ||||
Revenue (Motor Vehicle Surcharges) | 5.250% | 7/1/26 (14) | 500 | 523 |
New Jersey Economic Development Authority | ||||
Revenue (School Facilities Construction) | 5.000% | 9/1/13 (Prere.) | 500 | 549 |
New Jersey Economic Development Authority | ||||
Revenue (School Facilities Construction) | 5.000% | 9/1/13 (Prere.) | 500 | 549 |
New Jersey Economic Development Authority | ||||
Revenue (School Facilities Construction) | 5.000% | 9/1/14 | 500 | 547 |
New Jersey Economic Development Authority | ||||
Revenue (School Facilities Construction) | 5.250% | 3/1/26 | 500 | 508 |
New Jersey Economic Development Authority | ||||
Revenue (School Facilities Construction) PUT | 5.000% | 9/1/14 (4) | 500 | 540 |
New Jersey Economic Development Authority | ||||
Revenue (Trustees of the | ||||
Lawrenceville School Project) VRDO | 3.450% | 7/1/11 | 600 | 600 |
New Jersey Economic Development Authority | ||||
Transportation Project Sublease Revenue | ||||
(New Jersey Transit Corp. Light Rail Transit | ||||
System Project) | 5.000% | 5/1/19 | 500 | 545 |
New Jersey Equipment Lease Purchase COP | 5.000% | 6/15/16 | 425 | 464 |
New Jersey Equipment Lease Purchase COP | 5.000% | 6/15/18 | 530 | 571 |
New Jersey Equipment Lease Purchase COP | 5.000% | 6/15/19 | 500 | 531 |
New Jersey GO | 5.250% | 7/15/15 (2) | 500 | 575 |
New Jersey GO | 5.000% | 8/15/15 | 790 | 903 |
New Jersey GO | 5.250% | 7/1/16 (14) | 500 | 582 |
New Jersey GO | 5.250% | 7/15/18 (2) | 500 | 586 |
New Jersey Higher Education Assistance | ||||
Authority Student Loan Revenue | 5.250% | 12/1/28 | 400 | 405 |
New Jersey Transportation Corp. COP | 5.500% | 9/15/15 (2) | 200 | 225 |
New Jersey Transportation Corp. COP | 5.000% | 9/15/19 (4) | 500 | 522 |
New Jersey Transportation Trust Fund Authority | ||||
Transportation System Revenue | 6.000% | 12/15/11 (Prere.) | 625 | 642 |
New Jersey Transportation Trust Fund Authority | ||||
Transportation System Revenue | 5.250% | 6/15/14 (Prere.) | 500 | 566 |
New Jersey Transportation Trust Fund Authority | ||||
Transportation System Revenue | 5.250% | 12/15/14 (14) | 500 | 558 |
New Jersey Transportation Trust Fund Authority | ||||
Transportation System Revenue | 5.000% | 12/15/16 | 275 | 309 |
New Jersey Transportation Trust Fund Authority | ||||
Transportation System Revenue | 5.500% | 12/15/20 (3) | 2,500 | 2,785 |
26
Tax-Managed Balanced Fund
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
New Jersey Transportation Trust Fund Authority | ||||
Transportation System Revenue | 0.000% | 12/15/26 (2) | 2,000 | 799 |
New Jersey Turnpike Authority Revenue | 5.000% | 1/1/22 | 500 | 539 |
New Jersey Turnpike Authority Revenue | 5.500% | 1/1/25 (2) | 500 | 570 |
Tobacco Settlement Financing Corp. | ||||
New Jersey Revenue | 5.000% | 6/1/18 | 500 | 503 |
19,068 | ||||
New Mexico (0.2%) | ||||
New Mexico Educational Assistance | ||||
Foundation Revenue | 5.000% | 12/1/19 | 500 | 565 |
New Mexico Finance Authority | ||||
Transportation Revenue | 5.000% | 6/15/13 (2) | 500 | 542 |
New Mexico Finance Authority | ||||
Transportation Revenue | 5.000% | 6/15/23 | 500 | 569 |
1,676 | ||||
New York (10.0%) | ||||
Erie County NY Industrial Development Agency | ||||
School Facility Revenue | ||||
(Buffalo City School District Project) | 5.000% | 5/1/15 | 500 | 564 |
Erie County NY Industrial Development Agency | ||||
School Facility Revenue | ||||
(Buffalo City School District Project) | 5.000% | 5/1/18 | 500 | 568 |
Erie County NY Industrial Development Agency | ||||
School Facility Revenue | ||||
(Buffalo City School District Project) | 5.000% | 5/1/19 | 500 | 563 |
Erie County NY Industrial Development Agency | ||||
School Facility Revenue | ||||
(Buffalo City School District Project) | 5.250% | 5/1/31 | 500 | 525 |
Long Island NY Power Authority | ||||
Electric System Revenue | 5.500% | 12/1/12 (ETM) | 2,000 | 2,145 |
Long Island NY Power Authority | ||||
Electric System Revenue | 5.000% | 5/1/14 | 425 | 469 |
Long Island NY Power Authority | ||||
Electric System Revenue | 5.000% | 12/1/17 | 630 | 710 |
Long Island NY Power Authority | ||||
Electric System Revenue | 5.000% | 5/1/19 (14) | 500 | 547 |
Long Island NY Power Authority | ||||
Electric System Revenue | 5.000% | 12/1/21 (14) | 500 | 536 |
Long Island NY Power Authority | ||||
Electric System Revenue | 5.000% | 4/1/23 | 500 | 536 |
Metropolitan New York | ||||
Transportation Authority Revenue | 5.250% | 11/15/21 (3) | 300 | 340 |
Metropolitan New York | ||||
Transportation Authority Revenue | 5.000% | 11/15/23 | 500 | 526 |
Metropolitan New York | ||||
Transportation Authority Revenue | 5.250% | 11/15/30 | 500 | 513 |
Metropolitan New York | ||||
Transportation Authority Revenue | ||||
(Dedicated Petroleum Tax) | 5.250% | 11/15/24 | 600 | 659 |
Metropolitan New York | ||||
Transportation Authority Revenue | ||||
(Service Contract) | 5.500% | 7/1/15 | 500 | 575 |
Metropolitan New York Transportation Authority | ||||
Revenue (Service Contract) | 5.750% | 1/1/17 | 210 | 247 |
27
Tax-Managed Balanced Fund
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Metropolitan New York Transportation Authority | ||||
Revenue (Service Contract) | 5.750% | 1/1/17 (14) | 560 | 659 |
Metropolitan New York Transportation Authority | ||||
Revenue (Transit Revenue) | 5.500% | 11/15/12 (14) | 1,000 | 1,066 |
Metropolitan New York Transportation Authority | ||||
Revenue (Transit Revenue) | 5.500% | 11/15/14 (14) | 500 | 566 |
Metropolitan New York Transportation Authority | ||||
Revenue (Transit Revenue) | 5.500% | 11/15/18 | 500 | 565 |
Metropolitan New York Transportation Authority | ||||
Revenue (Transit Revenue) | 5.500% | 11/15/19 (14) | 500 | 524 |
New York City NY GO | 5.750% | 8/1/12 (Prere.) | 20 | 21 |
New York City NY GO | 5.500% | 6/1/13 (Prere.) | 500 | 549 |
New York City NY GO | 5.250% | 8/1/13 | 500 | 547 |
New York City NY GO | 5.750% | 8/1/13 | 480 | 506 |
New York City NY GO | 5.750% | 8/1/13 | 500 | 527 |
New York City NY GO | 5.000% | 1/1/14 | 500 | 549 |
New York City NY GO | 5.250% | 9/1/14 | 500 | 565 |
New York City NY GO | 5.000% | 8/1/16 | 500 | 580 |
New York City NY GO | 5.000% | 2/1/17 | 500 | 579 |
New York City NY GO | 5.000% | 9/1/17 | 500 | 564 |
New York City NY GO | 5.000% | 2/1/18 | 500 | 569 |
New York City NY GO | 5.000% | 8/1/19 | 500 | 563 |
New York City NY GO | 5.000% | 8/1/23 (14) | 500 | 537 |
New York City NY GO | 5.000% | 11/1/23 | 305 | 328 |
New York City NY GO | 5.250% | 8/15/24 | 500 | 549 |
New York City NY GO | 5.000% | 8/1/25 | 905 | 955 |
New York City NY GO | 5.000% | 8/15/26 | 475 | 507 |
New York City NY GO | 5.000% | 5/15/28 | 480 | 507 |
New York City NY GO | 5.000% | 8/1/28 | 500 | 519 |
New York City NY GO | 5.000% | 8/1/28 | 400 | 425 |
New York City NY GO | 5.500% | 11/15/28 | 300 | 327 |
New York City NY GO | 5.625% | 4/1/29 | 840 | 917 |
New York City NY GO | 5.000% | 5/15/29 | 500 | 525 |
New York City NY GO VRDO | 0.050% | 7/7/11 LOC | 1,300 | 1,300 |
New York City NY Health & | ||||
Hospital Corp. Revenue (Health System) | 5.000% | 2/15/30 | 500 | 505 |
New York City NY Housing Development Corp. | ||||
Multi-Family Housing Revenue | 5.000% | 5/1/12 | 500 | 515 |
New York City NY Municipal Water Finance | ||||
Authority Water & Sewer System Revenue | 5.000% | 6/15/15 | 250 | 286 |
New York City NY Municipal Water Finance | ||||
Authority Water & Sewer System Revenue | 5.375% | 6/15/17 | 500 | 522 |
New York City NY Municipal Water Finance | ||||
Authority Water & Sewer System Revenue | 0.000% | 6/15/18 | 750 | 622 |
New York City NY Municipal Water Finance | ||||
Authority Water & Sewer System Revenue | 5.375% | 6/15/19 | 500 | 522 |
New York City NY Municipal Water Finance | ||||
Authority Water & Sewer System Revenue | 5.000% | 6/15/27 | 500 | 534 |
New York City NY Municipal Water Finance | ||||
Authority Water & Sewer System Revenue | 5.000% | 6/15/29 | 500 | 519 |
New York City NY Municipal Water Finance | ||||
Authority Water & Sewer System Revenue | 4.750% | 6/15/30 | 255 | 262 |
New York City NY Municipal Water Finance | ||||
Authority Water & Sewer System Revenue | 5.000% | 6/15/30 | 500 | 527 |
28
Tax-Managed Balanced Fund
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
New York City NY Municipal Water Finance | ||||
Authority Water & Sewer System Revenue | 5.000% | 6/15/31 | 500 | 525 |
New York City NY Sales Tax Asset | ||||
Receivable Corp. Revenue | 5.000% | 10/15/24 (14) | 500 | 539 |
New York City NY Sales Tax Asset | ||||
Receivable Corp. Revenue | 5.000% | 10/15/26 (14) | 500 | 535 |
New York City NY Transitional Finance Authority | ||||
Building Aid Revenue | 5.250% | 1/15/25 | 500 | 540 |
New York City NY Transitional Finance Authority | ||||
Building Aid Revenue | 5.250% | 1/15/26 | 500 | 536 |
New York City NY Transitional Finance Authority | ||||
Building Aid Revenue | 5.125% | 1/15/29 | 1,070 | 1,121 |
New York City NY Transitional Finance Authority | ||||
Future Tax Revenue | 5.250% | 8/1/12 (Prere.) | 500 | 527 |
New York City NY Transitional Finance Authority | ||||
Future Tax Revenue | 5.250% | 2/1/13 (Prere.) | 500 | 539 |
New York City NY Transitional Finance Authority | ||||
Future Tax Revenue | 5.375% | 2/1/13 | 2,000 | 2,111 |
New York City NY Transitional Finance Authority | ||||
Future Tax Revenue | 5.000% | 11/1/18 | 500 | 572 |
New York City NY Transitional Finance Authority | ||||
Future Tax Revenue | 5.000% | 8/1/22 | 280 | 309 |
New York City NY Transitional Finance Authority | ||||
Future Tax Revenue | 5.000% | 11/1/23 | 500 | 543 |
New York City NY Transitional Finance Authority | ||||
Future Tax Revenue | 5.000% | 11/1/24 | 500 | 539 |
New York City NY Transitional Finance Authority | ||||
Future Tax Revenue | 5.000% | 11/1/25 | 500 | 534 |
New York City NY Transitional Finance Authority | ||||
Future Tax Revenue | 5.250% | 2/1/30 | 500 | 546 |
New York GO | 4.500% | 2/1/17 | 500 | 564 |
New York GO | 4.500% | 2/1/18 | 500 | 563 |
New York GO | 4.500% | 2/1/19 | 500 | 558 |
New York GO | 5.000% | 2/15/30 | 315 | 339 |
New York State Dormitory Authority Lease | ||||
Revenue (City of New York Court Facilities) | 5.500% | 5/15/24 (2) | 500 | 569 |
New York State Dormitory Authority Lease | ||||
Revenue (City of New York Court Facilities) | 5.500% | 5/15/27 (2) | 500 | 559 |
New York State Dormitory Authority Lease | ||||
Revenue (Mental Health Services Facilities) | 5.000% | 8/15/21 | 500 | 562 |
New York State Dormitory Authority Revenue | ||||
(City University System) | 5.000% | 7/1/24 | 400 | 430 |
New York State Dormitory Authority Revenue | ||||
(Fordham University) | 5.000% | 7/1/25 (4) | 250 | 264 |
New York State Dormitory Authority Revenue | ||||
(Memorial Sloan-Kettering Cancer Center) | 5.000% | 7/1/30 | 500 | 513 |
New York State Dormitory Authority Revenue | ||||
(Mount Sinai Hospital Obligated Group) | 5.000% | 7/1/22 | 595 | 641 |
New York State Dormitory Authority Revenue | ||||
(Mount Sinai Hospital Obligated Group) | 5.000% | 7/1/23 | 500 | 531 |
New York State Dormitory Authority Revenue | ||||
(Mount Sinai School of Medicine of | ||||
New York University) | 5.000% | 7/1/18 | 325 | 359 |
29
Tax-Managed Balanced Fund
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
New York State Dormitory Authority Revenue | ||||
(Mount Sinai School of Medicine of | ||||
New York University) | 5.000% | 7/1/24 (14) | 500 | 511 |
New York State Dormitory Authority Revenue | ||||
(New York Law School) VRDO | 0.050% | 7/7/11 LOC | 4,800 | 4,800 |
New York State Dormitory Authority Revenue | ||||
(New York University) | 6.000% | 7/1/19 (14) | 500 | 612 |
New York State Dormitory Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 3/15/28 | 500 | 531 |
New York State Dormitory Authority Revenue | ||||
(School Districts Financing Program) | 5.000% | 10/1/20 | 500 | 558 |
New York State Dormitory Authority Revenue | ||||
(Service Contract) | 5.000% | 7/1/22 | 500 | 545 |
New York State Dormitory Authority Revenue | ||||
(The New School) | 5.250% | 7/1/30 | 500 | 510 |
New York State Environmental Facilities Corp. | ||||
Revenue (State Clean Water & | ||||
Drinking Water Revolving Funds) | 5.000% | 6/15/22 | 500 | 551 |
New York State Environmental Facilities Corp. | ||||
Revenue (State Clean Water & | ||||
Drinking Water Revolving Funds) | 5.000% | 6/15/24 | 365 | 404 |
New York State Local Government | ||||
Assistance Corp. Revenue | 5.000% | 4/1/21 | 500 | 579 |
New York State Thruway Authority Revenue | 5.000% | 1/1/15 (14) | 550 | 611 |
New York State Thruway Authority Revenue | 5.000% | 1/1/20 (14) | 500 | 546 |
New York State Thruway Authority Revenue | 5.000% | 1/1/21 (14) | 490 | 530 |
New York State Thruway Authority Revenue | ||||
(Highway & Bridge Trust Fund) | 5.000% | 4/1/13 | 500 | 538 |
New York State Thruway Authority Revenue | ||||
(Highway & Bridge Trust Fund) | 5.250% | 4/1/13 (2) | 500 | 540 |
New York State Thruway Authority Revenue | ||||
(Highway & Bridge Trust Fund) | 5.500% | 4/1/14 (2) | 475 | 492 |
New York State Thruway Authority Revenue | ||||
(Highway & Bridge Trust Fund) | 5.000% | 4/1/18 (2) | 500 | 560 |
New York State Thruway Authority Revenue | ||||
(Highway & Bridge Trust Fund) | 5.000% | 4/1/24 | 500 | 540 |
New York State Thruway Authority Revenue | ||||
(Highway & Bridge Trust Fund) | 5.000% | 4/1/25 (2) | 500 | 530 |
New York State Thruway Authority Revenue | ||||
(Highway & Bridge Trust Fund) | 5.000% | 4/1/26 (2) | 500 | 525 |
New York State Thruway Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 3/15/16 | 225 | 261 |
New York State Thruway Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 3/15/22 (4) | 385 | 419 |
New York State Thruway Authority Revenue | ||||
(Service Contract) | 5.500% | 4/1/14 | 4,000 | 4,140 |
New York State | ||||
Urban Development Corp. Revenue | 5.000% | 12/15/14 | 100 | 114 |
New York State | ||||
Urban Development Corp. Revenue | 5.000% | 1/1/15 | 500 | 561 |
New York State | ||||
Urban Development Corp. Revenue | 5.000% | 12/15/15 | 150 | 174 |
New York State | ||||
Urban Development Corp. Revenue | 5.000% | 12/15/18 | 500 | 589 |
30
Tax-Managed Balanced Fund
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
New York State Urban Development Corp. | ||||
Revenue (Personal Income Tax) | 5.000% | 12/15/15 | 140 | 162 |
New York State | ||||
Urban Development Corp. Revenue | ||||
(Personal Income Tax) | 5.500% | 3/15/22 (14) | 2,030 | 2,473 |
New York State Urban Development Corp. | ||||
Revenue (Personal Income Tax) | 5.000% | 12/15/25 | 1,500 | 1,616 |
New York State Urban Development Corp. | ||||
Revenue (Service Contract) | 5.000% | 1/1/18 | 540 | 617 |
Port Authority of New York & | ||||
New Jersey Revenue | 5.000% | 7/15/26 | 500 | 528 |
Triborough Bridge & | ||||
Tunnel Authority New York Revenue | 5.250% | 11/15/15 | 500 | 581 |
Triborough Bridge & | ||||
Tunnel Authority New York Revenue | 5.500% | 11/15/19 (14) | 500 | 591 |
Triborough Bridge & | ||||
Tunnel Authority New York Revenue | 5.500% | 11/15/21 (14) | 500 | 595 |
Triborough Bridge & | ||||
Tunnel Authority New York Revenue | 5.000% | 11/15/25 | 500 | 532 |
77,166 | ||||
North Carolina (1.0%) | ||||
Mecklenburg County NC Public Facilities Corp. | ||||
Revenue (Annual Appropriation) | 5.000% | 3/1/26 | 500 | 540 |
North Carolina Capital Improvement Revenue | 5.000% | 5/1/29 | 500 | 536 |
North Carolina Eastern Municipal Power | ||||
Agency Revenue | 5.125% | 1/1/14 | 2,400 | 2,534 |
North Carolina Eastern Municipal Power | ||||
Agency Revenue | 5.000% | 1/1/26 | 500 | 518 |
North Carolina GO | 5.000% | 6/1/19 | 500 | 596 |
North Carolina Infrastructure Financial Corp. | ||||
Capital Improvements COP | 5.000% | 2/1/21 (4) | 2,000 | 2,208 |
North Carolina Municipal Power Agency Revenue | 5.000% | 1/1/30 | 500 | 512 |
Wake County NC GO | 5.000% | 3/1/22 | 400 | 478 |
7,922 | ||||
Ohio (1.6%) | ||||
Allen County OH Hospital Facilities Revenue | ||||
(Catholic Healthcare Partners) VRDO | 0.030% | 7/1/11 LOC | 300 | 300 |
American Municipal Power Ohio Inc. Revenue | ||||
(Hydroelectric Projects) | 5.250% | 2/15/18 | 500 | 558 |
Buckeye Tobacco Settlement Financing Authority | ||||
Ohio Revenue | 5.125% | 6/1/24 | 1,930 | 1,582 |
Cincinnati OH City School District GO | 5.250% | 12/1/26 (14) | 500 | 565 |
Cleveland OH Public Power System Revenue | 5.000% | 11/15/20 (3) | 500 | 527 |
Kent State University OH Revenue | 5.000% | 5/1/23 (12) | 500 | 532 |
Montgomery County OH Revenue | ||||
(Miami Valley Hospital) VRDO | 0.030% | 7/1/11 | 200 | 200 |
Ohio Conservation Projects GO | 5.000% | 3/1/17 | 1,885 | 2,058 |
Ohio GO | 5.000% | 9/15/19 | 260 | 289 |
Ohio Major New State Infrastructure | ||||
Project Revenue | 5.000% | 12/15/14 | 500 | 564 |
Ohio Major New State Infrastructure | ||||
Project Revenue | 5.000% | 12/15/15 | 550 | 632 |
Ohio State University General Receipts Revenue | 5.000% | 12/1/16 | 500 | 586 |
Ohio Turnpike Commission Turnpike Revenue | 5.500% | 2/15/15 (3) | 500 | 572 |
31
Tax-Managed Balanced Fund
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Ohio Turnpike Commission Turnpike Revenue | 5.000% | 2/15/31 | 500 | 519 |
Ohio Water Development Authority | ||||
Water Pollution Control Loan Fund Revenue | 5.000% | 6/1/17 | 3,000 | 3,317 |
12,801 | ||||
Oregon (0.1%) | ||||
Oregon Department of | ||||
Administrative Services Lottery Revenue | 5.250% | 4/1/31 | 500 | 547 |
Portland OR Sewer System Revenue | 5.000% | 6/15/22 (4) | 500 | 559 |
1,106 | ||||
Pennsylvania (1.6%) | ||||
Allegheny County PA Higher Education | ||||
Building Authority University Revenue | ||||
(Duquesne University) | 5.500% | 3/1/29 | 325 | 343 |
Allegheny County PA | ||||
Hospital Development Authority Revenue | ||||
(University of Pittsburgh Medical Center) | 5.000% | 5/15/18 | 500 | 568 |
Allegheny County PA Port Authority Revenue | 5.750% | 3/1/29 | 500 | 538 |
Commonwealth Financing Authority | ||||
Pennsylvania Revenue | 5.000% | 6/1/25 (14) | 500 | 515 |
Pennsylvania Economic Development Financing | ||||
Authority Solid Waste Disposal Revenue | ||||
(Waste Management Inc. Project) PUT | 3.700% | 5/1/15 | 750 | 770 |
Pennsylvania GO | 5.000% | 9/1/14 (4) | 500 | 565 |
Pennsylvania GO | 5.000% | 5/1/15 | 405 | 464 |
Pennsylvania GO | 5.250% | 7/1/15 | 500 | 580 |
Pennsylvania GO | 5.375% | 7/1/21 | 1,085 | 1,320 |
Pennsylvania GO | 5.000% | 8/1/22 | 500 | 554 |
Pennsylvania GO | 5.000% | 1/1/26 | 100 | 107 |
Pennsylvania GO | 5.000% | 4/15/28 | 500 | 536 |
Pennsylvania Higher Educational Facilities | ||||
Authority Revenue (St. Joseph’s University) | 5.000% | 11/1/24 | 200 | 208 |
Pennsylvania Higher Educational Facilities | ||||
Authority Revenue (Trustees of the | ||||
University of Pennsylvania) | 5.000% | 9/1/28 | 500 | 537 |
Pennsylvania Turnpike Commission Oil Franchise | ||||
Tax Revenue | 5.250% | 12/1/11 (ETM) | 310 | 311 |
Pennsylvania Turnpike Commission Revenue | 5.000% | 12/1/21 | 345 | 368 |
Pennsylvania Turnpike Commission Revenue | 5.000% | 6/1/29 | 1,050 | 1,056 |
Philadelphia PA Airport Revenue | 5.000% | 6/15/15 | 505 | 557 |
Philadelphia PA Municipal Authority Revenue | 6.375% | 4/1/29 | 500 | 529 |
Philadelphia PA School District GO | 5.000% | 8/1/20 (2) | 500 | 523 |
Philadelphia PA School District GO | 5.250% | 9/1/22 | 500 | 534 |
Philadelphia PA Water & Waste Water Revenue | 5.000% | 8/1/22 (4) | 560 | 608 |
University of Pittsburgh of the | ||||
Commonwealth System of | ||||
Higher Education Pennsylvania Revenue | ||||
(University Capital Project) | 5.250% | 9/15/24 | 500 | 564 |
12,655 | ||||
Puerto Rico (1.8%) | ||||
Puerto Rico Electric Power Authority Revenue | 5.250% | 7/1/20 | 500 | 534 |
Puerto Rico Electric Power Authority Revenue | 5.000% | 7/1/21 (14) | 500 | 510 |
Puerto Rico Electric Power Authority Revenue | 5.500% | 7/1/21 | 500 | 529 |
Puerto Rico Electric Power Authority Revenue | 5.250% | 7/1/22 (14) | 500 | 529 |
32
Tax-Managed Balanced Fund
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Puerto Rico Electric Power Authority Revenue | 5.000% | 7/1/23 | 500 | 507 |
Puerto Rico Electric Power Authority Revenue | 5.250% | 7/1/26 | 500 | 503 |
Puerto Rico GO | 6.000% | 7/1/27 (14) | 500 | 518 |
Puerto Rico Highway & | ||||
Transportation Authority Revenue | 5.250% | 7/1/22 (3) | 500 | 508 |
Puerto Rico Highway & | ||||
Transportation Authority Revenue | 5.500% | 7/1/25 | 500 | 504 |
Puerto Rico Infrastructure Financing Authority | ||||
Special Tax Revenue | 5.500% | 7/1/24 (2) | 500 | 515 |
Puerto Rico Municipal Finance Agency GO | 5.250% | 8/1/22 (11) | 500 | 507 |
Puerto Rico Public Buildings Authority | ||||
Government Facilities Revenue | 5.250% | 7/1/14 (3) | 2,425 | 2,607 |
Puerto Rico Public Buildings Authority | ||||
Government Facilities Revenue | 5.500% | 7/1/18 (2) | 500 | 544 |
Puerto Rico Public Buildings Authority | ||||
Government Facilities Revenue | 5.250% | 7/1/29 | 500 | 491 |
Puerto Rico Public Finance Corp. Revenue | 6.000% | 8/1/26 (ETM) | 3,000 | 3,804 |
Puerto Rico Sales Tax Financing Corp. Revenue | 5.250% | 8/1/27 | 500 | 512 |
Puerto Rico Sales Tax Financing Corp. Revenue | 5.250% | 8/1/30 | 500 | 503 |
14,125 | ||||
South Carolina (0.7%) | ||||
Charleston SC Educational Excellence | ||||
Financing Corp. Revenue (Charleston County | ||||
School District, South Carolina Project) | 5.000% | 12/1/19 | 500 | 551 |
Greenville County SC School District GO | 5.000% | 12/1/27 | 500 | 510 |
Piedmont SC Municipal Power Agency Revenue | 0.000% | 1/1/24 (3) | 1,600 | 821 |
South Carolina GO | 5.000% | 4/1/20 | 450 | 537 |
South Carolina Jobs Economic Development | ||||
Authority Hospital Revenue (Palmetto Health) | 5.250% | 8/1/24 (4) | 1,700 | 1,779 |
South Carolina Public Service Authority Revenue | 5.000% | 1/1/29 | 500 | 525 |
South Carolina Transportation | ||||
Infrastructure Revenue | 5.250% | 10/1/13 (2) | 500 | 547 |
5,270 | ||||
Tennessee (0.7%) | ||||
Memphis TN Electric System Revenue | 5.000% | 12/1/17 | 500 | 588 |
Memphis TN GO | 5.000% | 7/1/21 | 500 | 582 |
Memphis TN GO | 5.000% | 5/1/30 | 500 | 527 |
Metropolitan Government of Nashville & | ||||
Davidson County TN GO | 5.000% | 7/1/21 | 500 | 584 |
Metropolitan Government of Nashville & | ||||
Davidson County TN Health & | ||||
Educational Facilities Board Revenue | ||||
(Vanderbilt University) | 5.000% | 10/1/15 | 350 | 405 |
Shelby County TN GO | 5.000% | 4/1/19 | 500 | 591 |
Tennessee Energy Acquisition Corp. | ||||
Gas Revenue | 5.000% | 9/1/16 | 500 | 520 |
Tennessee Energy Acquisition Corp. | ||||
Gas Revenue | 5.250% | 9/1/17 | 500 | 521 |
Tennessee Energy Acquisition Corp. | ||||
Gas Revenue | 5.250% | 9/1/18 | 500 | 518 |
Tennessee GO | 5.000% | 8/1/14 | 500 | 565 |
5,401 |
33
Tax-Managed Balanced Fund
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Texas (3.7%) | ||||
Austin TX Combined Utility System Revenue | 0.000% | 5/15/18 (3) | 1,000 | 807 |
Austin TX Water & Wastewater System Revenue | 5.000% | 11/15/24 | 275 | 305 |
Board of Regents of the University of | ||||
Texas System Revenue | ||||
Financing System Revenue | 5.000% | 8/15/18 | 500 | 594 |
Central Texas Regional Mobility | ||||
Authority Revenue | 5.750% | 1/1/25 | 500 | 515 |
Clifton TX Higher Education Finance Corp. | ||||
Revenue (Baylor University) | 5.250% | 3/1/29 | 200 | 214 |
Cypress-Fairbanks TX Independent School | ||||
District Unlimited Tax Schoolhouse GO | 5.000% | 2/15/30 | 500 | 526 |
Dallas TX Area Rapid Transit Revenue | 4.500% | 12/1/27 | 500 | 511 |
Dallas TX GO | 5.000% | 2/15/15 | 500 | 570 |
Dallas TX Independent School District GO | 5.000% | 8/15/14 | 500 | 565 |
Dallas TX Waterworks & | ||||
Sewer System Revenue | 5.000% | 10/1/15 (2) | 485 | 563 |
Harris County TX Flood Control District GO | 5.250% | 10/1/18 | 435 | 524 |
Harris County TX GO | 5.000% | 10/1/23 | 500 | 566 |
Harris County TX Health Facilities | ||||
Development Corp. Hospital Revenue | ||||
(Baylor College of Medicine) VRDO | 0.040% | 7/1/11 LOC | 1,080 | 1,080 |
Harris County TX Toll Road Revenue | 5.000% | 8/15/27 | 500 | 531 |
Houston TX GO | 5.000% | 3/1/20 | 500 | 574 |
Houston TX Independent School District GO | 5.000% | 7/15/15 (4) | 500 | 575 |
Houston TX Utility System Revenue | 5.125% | 5/15/28 (14) | 500 | 522 |
Houston TX Utility System Revenue | 5.000% | 11/15/28 (4) | 500 | 526 |
Houston TX Utility System Revenue | 5.250% | 11/15/30 | 500 | 539 |
Lone Star College System Texas GO | 5.000% | 8/15/23 | 250 | 285 |
Lower Colorado River Authority Texas Revenue | 5.750% | 5/15/28 | 500 | 529 |
North East TX Independent School District GO | 5.250% | 2/1/22 | 500 | 603 |
North Texas Tollway Authority System Revenue | 6.000% | 1/1/20 | 500 | 569 |
North Texas Tollway Authority System Revenue | 6.000% | 1/1/25 | 500 | 540 |
North Texas Tollway Authority System Revenue | 6.000% | 1/1/28 | 250 | 268 |
North Texas Tollway Authority System Revenue | 5.500% | 9/1/28 | 500 | 553 |
SA Energy Acquisition Public Facility Corp. | ||||
Texas Gas Supply Revenue | 5.250% | 8/1/17 | 500 | 529 |
SA Energy Acquisition Public Facility Corp. | ||||
Texas Gas Supply Revenue | 5.500% | 8/1/19 | 500 | 519 |
San Antonio TX Electric & Gas Systems Revenue | 5.000% | 2/1/19 | 500 | 589 |
San Antonio TX Electric & Gas Systems Revenue | 5.000% | 2/1/21 | 905 | 999 |
Southwest Texas Higher Education Authority Inc. | ||||
Revenue (Southern Methodist University Project) | 5.000% | 10/1/16 (2) | 260 | 303 |
Texas A&M University System Revenue | ||||
Financing System Revenue | 5.000% | 5/15/26 | 500 | 545 |
Texas GO | 5.500% | 10/1/12 | 500 | 506 |
Texas Municipal Gas Acquisition & | ||||
Supply Corp. Revenue | 6.250% | 12/15/26 | 500 | 524 |
Texas Municipal Power Agency Revenue | 0.000% | 9/1/15 (14) | 3,000 | 2,744 |
Texas Public Finance Authority Revenue | ||||
(Unemployment Compensation) | 5.000% | 7/1/14 | 500 | 561 |
Texas Public Finance Authority Revenue | ||||
(Unemployment Compensation) | 5.000% | 1/1/18 | 500 | 564 |
Texas State University System Revenue | 5.000% | 3/15/26 | 500 | 542 |
34
Tax-Managed Balanced Fund
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Texas Tech University System Revenue | ||||
Financing System Revenue | 5.000% | 2/15/28 | 500 | 535 |
Texas Transportation Commission Revenue | 4.750% | 4/1/24 | 500 | 534 |
Texas Transportation Commission Revenue | 5.000% | 4/1/25 | 500 | 540 |
Texas Transportation Commission Revenue | 5.000% | 4/1/26 | 500 | 535 |
Texas Water Financial Assistance GO | 5.000% | 8/1/24 | 500 | 553 |
Texas Water Financial Assistance GO | 5.000% | 8/1/25 | 500 | 548 |
Texas Water Financial Assistance GO | 5.000% | 8/1/26 | 500 | 542 |
Texas Water Financial Assistance GO | 5.000% | 8/1/27 | 500 | 539 |
University of Texas Permanent University | ||||
Fund Revenue | 5.250% | 7/1/22 | 500 | 602 |
University of Texas System Revenue | ||||
Financing System Revenue | 5.000% | 8/15/21 | 500 | 592 |
28,399 | ||||
Utah (0.3%) | ||||
Central Utah Water Conservancy District GO | 5.000% | 4/1/30 | 500 | 537 |
Intermountain Power Agency | ||||
Utah Power Supply Revenue | 5.250% | 7/1/21 | 500 | 532 |
Utah GO | 5.000% | 7/1/16 | 500 | 588 |
Utah GO | 5.000% | 7/1/16 | 500 | 589 |
2,246 | ||||
Virgin Islands (0.1%) | ||||
Virgin Islands Public Finance Authority Revenue | 5.000% | 10/1/29 | 500 | 472 |
Virginia (0.3%) | ||||
Fairfax County VA Public Improvement GO | 5.000% | 10/1/17 | 500 | 596 |
Virginia Public School Authority Revenue | 5.000% | 8/1/13 | 500 | 547 |
Virginia Public School Authority Revenue | 5.000% | 8/1/19 | 500 | 592 |
Virginia Public School Authority Revenue | 5.000% | 8/1/19 | 500 | 593 |
2,328 | ||||
Washington (1.1%) | ||||
Energy Northwest Washington Electric Revenue | ||||
(Columbia Generating Station) | 5.000% | 7/1/20 | 500 | 584 |
Energy Northwest Washington Electric Revenue | ||||
(Project No. 1) | 5.250% | 7/1/16 | 500 | 588 |
Energy Northwest Washington Electric Revenue | ||||
(Project No. 1) | 5.000% | 7/1/17 | 500 | 585 |
Energy Northwest Washington Electric Revenue | ||||
(Project No. 3) | 5.000% | 7/1/16 | 865 | 1,008 |
Port of Seattle WA Revenue | 5.000% | 3/1/20 (14) | 665 | 705 |
Seattle WA Municipal Light & Power Revenue | 5.000% | 2/1/26 | 500 | 545 |
Washington (Motor Vehicle Fuel Tax) GO | 5.000% | 7/1/23 | 425 | 471 |
Washington (Motor Vehicle Fuel Tax) GO | 5.000% | 7/1/28 | 500 | 529 |
Washington GO | 5.700% | 10/1/15 (4) | 500 | 542 |
Washington GO | 5.000% | 2/1/16 | 500 | 579 |
Washington GO | 0.000% | 6/1/20 (3) | 500 | 367 |
Washington GO | 5.000% | 8/1/20 | 500 | 580 |
Washington GO | 5.000% | 7/1/21 (4) | 500 | 552 |
Washington GO | 5.000% | 7/1/21 | 500 | 566 |
8,201 |
35
Tax-Managed Balanced Fund
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Wisconsin (0.5%) | ||||
Wisconsin Annual Appropriation Revenue | 5.625% | 5/1/28 | 460 | 505 |
Wisconsin GO | 4.000% | 9/1/15 | 970 | 1,068 |
Wisconsin GO | 5.000% | 5/1/16 (4) | 600 | 679 |
Wisconsin GO | 5.000% | 5/1/16 | 500 | 581 |
Wisconsin GO | 5.000% | 5/1/23 | 500 | 552 |
Wisconsin Transportation Revenue | 5.250% | 7/1/14 (4) | 500 | 566 |
3,951 | ||||
Total Tax-Exempt Municipal Bonds (Cost $380,224) | 403,099 | |||
Total Investments (99.5%) (Cost $603,868) | 770,552 | |||
Other Assets and Liabilities (0.5%) | ||||
Other Assets | 6,589 | |||
Liabilities | (2,504) | |||
4,085 | ||||
Net Assets (100%) | ||||
Applicable to 37,336,209 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 774,637 | |||
Net Asset Value Per Share | $20.75 |
At June 30, 2011, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 624,943 |
Overdistributed Net Investment Income | (1,183) |
Accumulated Net Realized Losses | (15,807) |
Unrealized Appreciation (Depreciation) | 166,684 |
Net Assets | 774,637 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
A key to abbreviations and other references follows the Statement of Net Assets.
See accompanying Notes, which are an integral part of the Financial Statements.
36
Tax-Managed Balanced Fund
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.
PUT—Put Option Obligation.
RAN—Revenue Anticipation Note.
TAN—Tax Anticipation Note.
TOB—Tender Option Bond.
TRAN—Tax Revenue Anticipation Note.
VRDO—Variable Rate Demand Obligation.
VRDP—Variable Rate Demand Preferred.
(ETM)—Escrowed to Maturity.
(Prere.)—Prerefunded.
Scheduled principal and interest payments are guaranteed by:
(1) MBIA (Municipal Bond Investors Assurance).
(2) AMBAC (Ambac Assurance Corporation).
(3) FGIC (Financial Guaranty Insurance Company).
(4) AGM (Assured Guaranty Municipal Corporation).
(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).
(12) Assured Guaranty Corporation.
(13) Berkshire Hathaway Assurance Corporation.
(14) National Public Finance Guarantee Corporation.
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.
37
Tax-Managed Balanced Fund
Statement of Operations | |
Six Months Ended | |
June 30, 2011 | |
($000) | |
Investment Income | |
Income | |
Dividends | 2,734 |
Interest | 7,211 |
Total Income | 9,945 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 27 |
Management and Administrative | 379 |
Marketing and Distribution | 71 |
Custodian Fees | 5 |
Shareholders’ Reports | 5 |
Total Expenses | 487 |
Net Investment Income | 9,458 |
Realized Net Gain (Loss) on Investment Securities Sold | 6,146 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 22,792 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 38,396 |
See accompanying Notes, which are an integral part of the Financial Statements.
38
Tax-Managed Balanced Fund
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2011 | 2010 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 9,458 | 17,981 |
Realized Net Gain (Loss) | 6,146 | 23,695 |
Change in Unrealized Appreciation (Depreciation) | 22,792 | 19,847 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 38,396 | 61,523 |
Distributions | ||
Net Investment Income | (9,317) | (18,035) |
Realized Capital Gain | — | — |
Total Distributions | (9,317) | (18,035) |
Capital Share Transactions | ||
Issued | 35,115 | 55,542 |
Issued in Lieu of Cash Distributions | 7,890 | 15,301 |
Redeemed1 | (30,452) | (50,511) |
Net Increase (Decrease) from Capital Share Transactions | 12,553 | 20,332 |
Total Increase (Decrease) | 41,632 | 63,820 |
Net Assets | ||
Beginning of Period | 733,005 | 669,185 |
End of Period2 | 774,637 | 733,005 |
1 Net of redemption fees for fiscal 2011 and 2010 of $39,000 and $176,000, respectively.
2 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($1,183,000) and ($1,324,000).
See accompanying Notes, which are an integral part of the Financial Statements.
39
Tax-Managed Balanced Fund
Financial Highlights | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $19.96 | $18.75 | $16.19 | $20.45 | $20.02 | $18.88 |
Investment Operations | ||||||
Net Investment Income | .256 | .496 | .491 | .565 | .588 | .540 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | .786 | 1.210 | 2.566 | (4.260) | .430 | 1.150 |
Total from Investment Operations | 1.042 | 1.706 | 3.057 | (3.695) | 1.018 | 1.690 |
Distributions | ||||||
Dividends from Net Investment Income1 | (.252) | (.496) | (.497) | (.565) | (.588) | (.550) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.252) | (.496) | (.497) | (.565) | (.588) | (.550) |
Net Asset Value, End of Period | $20.75 | $19.96 | $18.75 | $16.19 | $20.45 | $20.02 |
Total Return2 | 5.23% | 9.22% | 19.14% | -18.32% | 5.11% | 9.09% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $775 | $733 | $669 | $587 | $722 | $662 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.13% | 0.15% | 0.15% | 0.13% | 0.12% | 0.12% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.52% | 2.58% | 2.86% | 3.01% | 2.86% | 2.84% |
Portfolio Turnover Rate | 9% | 23% | 27% | 19% | 10% | 4% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 For tax purposes, nontaxable dividends represent 72%, 70%, 69%, 72%, 73%, and 74% of dividends from net investment income.
2 Total returns do not include transaction or account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction and account service fees.
See accompanying Notes, which are an integral part of the Financial Statements.
40
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 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 income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2007–2010), and for the period ended June 30, 2011, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
3. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
4. Other: Dividend income is recorded on the ex-dividend date. Interest income is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold. 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 June 30, 2011, the fund had contributed capital of $123,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 0.05% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
41
Tax-Managed Balanced Fund
The following table summarizes the fund’s investments as of June 30, 2011, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 367,453 | ---- | ---- |
Tax-Exempt Municipal Bonds | ---- | 403,099 | ---- |
Total | 367,453 | 403,099 | ---- |
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2010, the fund had available capital loss carryforwards totaling $21,953,000 to offset future net capital gains of $31,000 through December 31, 2016, and $21,922,000 through December 31, 2017. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2011; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2011, the cost of investment securities for tax purposes was $603,868,000. Net unrealized appreciation of investment securities for tax purposes was $166,684,000, consisting of unrealized gains of $173,648,000 on securities that had risen in value since their purchase and $6,964,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended June 30, 2011, the fund purchased $54,937,000 of investment securities and sold $33,357,000 of investment securities, other than U.S. government securities and temporary cash investments.
F. Capital shares issued and redeemed were:
Six Months Ended | Year Ended | |
June 30, 2011 | December 31, 2010 | |
Shares | Shares | |
(000) | (000) | |
Issued | 1,713 | 2,886 |
Issued in Lieu of Cash Distributions | 383 | 794 |
Redeemed | (1,492) | (2,635) |
Net Increase (Decrease) in Shares Outstanding | 604 | 1,045 |
G. In preparing the financial statements as of June 30, 2011, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
42
Tax-Managed Growth and Income Fund
Fund Profile
As of June 30, 2011
Share-Class Characteristics | ||
Admiral | Institutional | |
Shares | Shares | |
Ticker Symbol | VTGLX | VTMIX |
Expense Ratio1 | 0.12% | 0.08% |
30-Day SEC Yield | 1.89% | 1.93% |
Portfolio Characteristics | |||
DJ | |||
U.S. Total | |||
S&P 500 | Market | ||
Fund | Index | Index | |
Number of Stocks | 501 | 500 | 3,745 |
Median Market Cap | $50.1B | $50.1B | $30.8B |
Price/Earnings Ratio | 15.9x | 15.9x | 17.1x |
Price/Book Ratio | 2.2x | 2.2x | 2.2x |
Return on Equity | 20.3% | 20.3% | 19.1% |
Earnings Growth Rate | 5.6% | 5.6% | 5.8% |
Dividend Yield | 2.0% | 2.0% | 1.8% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 6% | — | — |
Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
U.S. Total | |||
S&P 500 | Market | ||
Fund | Index | Index | |
Consumer | |||
Discretionary | 10.6% | 10.6% | 12.2% |
Consumer Staples | 10.6 | 10.6 | 9.7 |
Energy | 12.7 | 12.7 | 11.2 |
Financials | 15.1 | 15.1 | 15.4 |
Health Care | 11.7 | 11.7 | 11.3 |
Industrials | 11.3 | 11.3 | 11.6 |
Information | |||
Technology | 17.8 | 17.8 | 18.4 |
Materials | 3.7 | 3.7 | 4.4 |
Telecommunication | |||
Services | 3.1 | 3.1 | 2.6 |
Utilities | 3.4 | 3.4 | 3.2 |
Volatility Measures | ||
DJ | ||
U.S. Total | ||
S&P 500 | Market | |
Index | Index | |
R-Squared | 1.00 | 1.00 |
Beta | 1.00 | 0.97 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
Ten Largest Holdings (% of total net assets) | ||
Exxon Mobil Corp. | Integrated Oil & | |
Gas | 3.3% | |
Apple Inc. | Computer | |
Hardware | 2.6 | |
International Business | IT Consulting & | |
Machines Corp. | Other Servies | 1.7 |
Chevron Corp. | Integrated Oil & | |
Gas | 1.7 | |
General Electric Co. | Industrial | |
Conglomerates | 1.7 | |
Microsoft Corp. | Systems Software | 1.6 |
AT&T Inc. | Integrated | |
Telecommunication | ||
Services | 1.5 | |
Johnson & Johnson | Pharmaceuticals | 1.5 |
Procter & Gamble Co. | Household | |
Products | 1.5 | |
Pfizer Inc. | Pharmaceuticals | 1.4 |
Top Ten | 18.5% |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
1 The expense ratios shown are from the prospectus dated July 15, 2011, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2011, the annualized expense ratios were 0.12% for Admiral Shares and 0.08% for Institutional Shares.
43
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 vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): December 31, 2000, Through June 30, 2011
Average Annual Total Returns: Periods Ended June 30, 2011 | ||||
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Admiral Shares | 9/6/1994 | 30.59% | 2.92% | 2.73% |
Institutional Shares | 3/4/1999 | 30.64 | 2.96 | 2.77 |
The inception date of the Admiral Shares is November 12, 2001. For the period ended June 30, 2011, the returns and other data shown in the table above reflect a blend of the historical performance of the fund’s Investor Shares prior to November 12, 2001, and of the Admiral Shares from then on.
See Financial Highlights for dividend and capital gains information.
44
Tax-Managed Growth and Income Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2011
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (100.0%) | |||
Consumer Discretionary (10.6%) | |||
McDonald’s Corp. | 210,347 | 17,736 | |
Walt Disney Co. | 383,698 | 14,980 | |
* | Amazon.com Inc. | 72,445 | 14,814 |
Comcast Corp. Class A | 527,068 | 13,356 | |
Home Depot Inc. | 322,814 | 11,692 | |
* | Ford Motor Co. | 770,096 | 10,620 |
News Corp. Class A | 463,354 | 8,201 | |
* | DIRECTV Class A | 155,654 | 7,910 |
Time Warner Inc. | 217,111 | 7,896 | |
NIKE Inc. Class B | 76,874 | 6,917 | |
Target Corp. | 139,636 | 6,550 | |
Lowe’s Cos. Inc. | 263,931 | 6,152 | |
Viacom Inc. Class B | 118,603 | 6,049 | |
Starbucks Corp. | 152,026 | 6,003 | |
Johnson Controls Inc. | 137,622 | 5,733 | |
Time Warner Cable Inc. | 68,107 | 5,315 | |
Yum! Brands Inc. | 94,584 | 5,225 | |
* | priceline.com Inc. | 10,073 | 5,157 |
TJX Cos. Inc. | 78,221 | 4,109 | |
CBS Corp. Class B | 136,128 | 3,878 | |
Coach Inc. | 59,863 | 3,827 | |
Carnival Corp. | 87,340 | 3,287 | |
* | Bed Bath & Beyond Inc. | 50,464 | 2,946 |
Kohl’s Corp. | 56,913 | 2,846 | |
Omnicom Group Inc. | 57,375 | 2,763 | |
McGraw-Hill Cos. Inc. | 61,869 | 2,593 | |
Macy’s Inc. | 86,586 | 2,532 | |
* | Netflix Inc. | 8,869 | 2,330 |
* | Discovery | ||
Communications Inc. | |||
Class A | 56,800 | 2,327 | |
Staples Inc. | 145,160 | 2,294 | |
Starwood Hotels & | |||
Resorts Worldwide Inc. | 39,611 | 2,220 | |
Wynn Resorts Ltd. | 15,393 | 2,209 | |
Best Buy Co. Inc. | 65,378 | 2,053 |
Market | |||
Value | |||
Shares | ($000) | ||
Marriott International Inc. | |||
Class A | 57,524 | 2,042 | |
Tiffany & Co. | 25,903 | 2,034 | |
Fortune Brands Inc. | 30,920 | 1,972 | |
Limited Brands Inc. | 51,068 | 1,964 | |
Harley-Davidson Inc. | 47,727 | 1,955 | |
VF Corp. | 17,842 | 1,937 | |
Mattel Inc. | 70,346 | 1,934 | |
* | Chipotle Mexican Grill Inc. | ||
Class A | 6,268 | 1,932 | |
Ross Stores Inc. | 23,643 | 1,894 | |
* | O’Reilly Automotive Inc. | 27,868 | 1,826 |
Polo Ralph Lauren Corp. | |||
Class A | 13,235 | 1,755 | |
Genuine Parts Co. | 31,798 | 1,730 | |
Cablevision Systems Corp. | |||
Class A | 47,068 | 1,704 | |
Nordstrom Inc. | 34,036 | 1,598 | |
* | CarMax Inc. | 45,791 | 1,514 |
* | AutoZone Inc. | 5,122 | 1,510 |
JC Penney Co. Inc. | 43,675 | 1,509 | |
Gap Inc. | 79,210 | 1,434 | |
Darden Restaurants Inc. | 27,911 | 1,389 | |
Family Dollar Stores Inc. | 24,756 | 1,301 | |
Whirlpool Corp. | 15,373 | 1,250 | |
Interpublic Group | |||
of Cos. Inc. | 99,009 | 1,238 | |
Hasbro Inc. | 27,805 | 1,221 | |
Wyndham Worldwide Corp. | 35,096 | 1,181 | |
Abercrombie & Fitch Co. | 17,628 | 1,180 | |
Expedia Inc. | 40,526 | 1,175 | |
* | Apollo Group Inc. Class A | 24,805 | 1,083 |
International Game | |||
Technology | 60,478 | 1,063 | |
H&R Block Inc. | 61,883 | 993 | |
Newell Rubbermaid Inc. | 58,789 | 928 | |
Scripps Networks | |||
Interactive Inc. Class A | 18,381 | 898 |
45
Tax-Managed Growth and Income Fund
Market | |||
Value | |||
Shares | ($000) | ||
* | Goodyear Tire & | ||
Rubber Co. | 49,443 | 829 | |
Comcast Corp. | |||
Class A Special Shares | 33,914 | 822 | |
* | GameStop Corp. Class A | 28,521 | 761 |
DeVry Inc. | 12,489 | 738 | |
* | Urban Outfitters Inc. | 25,740 | 725 |
Leggett & Platt Inc. | 29,581 | 721 | |
Gannett Co. Inc. | 48,625 | 696 | |
DR Horton Inc. | 56,755 | 654 | |
Harman International | |||
Industries Inc. | 14,181 | 646 | |
* | Sears Holdings Corp. | 8,888 | 635 |
Lennar Corp. Class A | 32,569 | 591 | |
* | Pulte Group Inc. | 68,107 | 522 |
* | Big Lots Inc. | 15,256 | 506 |
* | AutoNation Inc. | 12,949 | 474 |
Washington Post Co. | |||
Class B | 1,070 | 448 | |
259,432 | |||
Consumer Staples (10.6%) | |||
Procter & Gamble Co. | 566,070 | 35,985 | |
Coca-Cola Co. | 464,181 | 31,235 | |
Philip Morris | |||
International Inc. | 360,507 | 24,071 | |
PepsiCo Inc. | 320,542 | 22,576 | |
Wal-Mart Stores Inc. | 387,162 | 20,574 | |
Kraft Foods Inc. | 356,434 | 12,557 | |
Altria Group Inc. | 424,523 | 11,212 | |
CVS Caremark Corp. | 274,841 | 10,329 | |
Colgate-Palmolive Co. | 99,041 | 8,657 | |
Walgreen Co. | 185,528 | 7,878 | |
Costco Wholesale Corp. | 88,575 | 7,196 | |
Kimberly-Clark Corp. | 79,649 | 5,301 | |
General Mills Inc. | 129,514 | 4,821 | |
Archer-Daniels-Midland Co. | 137,624 | 4,149 | |
Sysco Corp. | 117,770 | 3,672 | |
HJ Heinz Co. | 64,976 | 3,462 | |
Lorillard Inc. | 29,056 | 3,163 | |
Kroger Co. | 122,877 | 3,047 | |
Kellogg Co. | 50,893 | 2,815 | |
Mead Johnson | |||
Nutrition Co. | 41,412 | 2,797 | |
Reynolds American Inc. | 68,300 | 2,531 | |
Avon Products Inc. | 86,743 | 2,429 | |
Estee Lauder Cos. Inc. | |||
Class A | 23,057 | 2,425 | |
Sara Lee Corp. | 118,528 | 2,251 | |
ConAgra Foods Inc. | 82,647 | 2,133 | |
Coca-Cola Enterprises Inc. | 65,860 | 1,922 | |
Dr Pepper Snapple | |||
Group Inc. | 45,318 | 1,900 | |
Whole Foods Market Inc. | 29,914 | 1,898 | |
Clorox Co. | 27,028 | 1,823 | |
JM Smucker Co. | 23,428 | 1,791 |
Market | |||
Value | |||
Shares | ($000) | ||
Hershey Co. | 31,335 | 1,781 | |
Safeway Inc. | 71,710 | 1,676 | |
Brown-Forman Corp. | |||
Class B | 20,850 | 1,557 | |
Molson Coors Brewing Co. | |||
Class B | 32,210 | 1,441 | |
McCormick & Co. Inc. | 26,743 | 1,326 | |
Campbell Soup Co. | 36,830 | 1,272 | |
Tyson Foods Inc. Class A | 60,231 | 1,170 | |
Hormel Foods Corp. | 28,200 | 841 | |
* | Constellation Brands Inc. | ||
Class A | 35,815 | 746 | |
* | Dean Foods Co. | 37,100 | 455 |
SUPERVALU Inc. | 42,646 | 401 | |
259,266 | |||
Energy (12.7%) | |||
Exxon Mobil Corp. | 998,733 | 81,277 | |
Chevron Corp. | 407,627 | 41,920 | |
Schlumberger Ltd. | 275,060 | 23,765 | |
ConocoPhillips | 286,576 | 21,548 | |
Occidental | |||
Petroleum Corp. | 164,813 | 17,147 | |
Apache Corp. | 77,747 | 9,593 | |
Halliburton Co. | 185,611 | 9,466 | |
Anadarko Petroleum Corp. | 100,888 | 7,744 | |
Marathon Oil Corp. | 144,448 | 7,609 | |
Devon Energy Corp. | 85,671 | 6,752 | |
National Oilwell Varco Inc. | 85,816 | 6,712 | |
Baker Hughes Inc. | 87,840 | 6,374 | |
EOG Resources Inc. | 54,429 | 5,691 | |
Hess Corp. | 61,311 | 4,584 | |
Chesapeake Energy Corp. | 133,035 | 3,950 | |
Spectra Energy Corp. | 131,171 | 3,595 | |
Williams Cos. Inc. | 118,455 | 3,583 | |
Peabody Energy Corp. | 54,720 | 3,224 | |
Noble Energy Inc. | 35,805 | 3,209 | |
El Paso Corp. | 155,020 | 3,131 | |
* | Southwestern Energy Co. | 70,153 | 3,008 |
Valero Energy Corp. | 114,860 | 2,937 | |
Murphy Oil Corp. | 39,066 | 2,565 | |
* | Cameron | ||
International Corp. | 49,375 | 2,483 | |
Consol Energy Inc. | 45,689 | 2,215 | |
* | FMC Technologies Inc. | 48,656 | 2,179 |
Pioneer Natural | |||
Resources Co. | 23,570 | 2,111 | |
* | Alpha Natural | ||
Resources Inc. | 45,910 | 2,086 | |
Noble Corp. | 51,151 | 2,016 | |
* | Newfield Exploration Co. | 26,811 | 1,824 |
Range Resources Corp. | 32,486 | 1,803 | |
* | Denbury Resources Inc. | 81,392 | 1,628 |
EQT Corp. | 30,104 | 1,581 | |
QEP Resources Inc. | 35,768 | 1,496 | |
* | Nabors Industries Ltd. | 57,706 | 1,422 |
46
Tax-Managed Growth and Income Fund
Market | |||
Value | |||
Shares | ($000) | ||
Helmerich & Payne Inc. | 21,487 | 1,421 | |
Cabot Oil & Gas Corp. | 21,069 | 1,397 | |
Sunoco Inc. | 24,288 | 1,013 | |
* | Rowan Cos. Inc. | 25,586 | 993 |
Diamond Offshore | |||
Drilling Inc. | 14,011 | 986 | |
* | Tesoro Corp. | 29,184 | 669 |
308,707 | |||
Financials (15.1%) | |||
JPMorgan Chase & Co. | 805,107 | 32,961 | |
Wells Fargo & Co. | 1,072,480 | 30,094 | |
Citigroup Inc. | 592,262 | 24,662 | |
* | Berkshire Hathaway Inc. | ||
Class B | 316,599 | 24,502 | |
Bank of America Corp. | 2,054,545 | 22,518 | |
Goldman Sachs Group Inc. | 104,904 | 13,962 | |
American Express Co. | 212,098 | 10,965 | |
US Bancorp | 390,704 | 9,967 | |
MetLife Inc. | 214,345 | 9,403 | |
Morgan Stanley | 312,238 | 7,185 | |
Simon Property Group Inc. | 59,382 | 6,902 | |
Bank of New York | |||
Mellon Corp. | 251,823 | 6,452 | |
PNC Financial Services | |||
Group Inc. | 106,780 | 6,365 | |
Prudential Financial Inc. | 98,996 | 6,295 | |
Travelers Cos. Inc. | 84,889 | 4,956 | |
Capital One Financial Corp. | 93,186 | 4,815 | |
State Street Corp. | 102,250 | 4,610 | |
ACE Ltd. | 68,500 | 4,509 | |
Aflac Inc. | 94,939 | 4,432 | |
CME Group Inc. | 13,532 | 3,946 | |
Franklin Resources Inc. | 29,326 | 3,850 | |
BB&T Corp. | 140,483 | 3,771 | |
BlackRock Inc. | 19,553 | 3,750 | |
Chubb Corp. | 59,576 | 3,730 | |
Equity Residential | 59,395 | 3,564 | |
Marsh & | |||
McLennan Cos. Inc. | 111,100 | 3,465 | |
AON Corp. | 67,439 | 3,460 | |
Charles Schwab Corp. | 201,844 | 3,320 | |
ProLogis Inc. | 92,070 | 3,300 | |
Allstate Corp. | 105,976 | 3,235 | |
Public Storage | 28,189 | 3,214 | |
T Rowe Price Group Inc. | 52,370 | 3,160 | |
Boston Properties Inc. | 29,583 | 3,141 | |
Vornado Realty Trust | 33,057 | 3,080 | |
HCP Inc. | 82,340 | 3,021 | |
Discover Financial Services | 110,378 | 2,953 | |
Progressive Corp. | 133,193 | 2,848 | |
Ameriprise Financial Inc. | 49,042 | 2,829 | |
SunTrust Banks Inc. | 108,499 | 2,799 | |
Loews Corp. | 63,457 | 2,671 | |
* | Berkshire Hathaway Inc. | ||
Class A | 23 | 2,670 |
Market | |||
Value | |||
Shares | ($000) | ||
American International | |||
Group Inc. | 88,072 | 2,582 | |
Weyerhaeuser Co. | 108,773 | 2,378 | |
Hartford Financial Services | |||
Group Inc. | 89,729 | 2,366 | |
Fifth Third Bancorp | 185,519 | 2,365 | |
Host Hotels & Resorts Inc. | 139,142 | 2,358 | |
AvalonBay | |||
Communities Inc. | 17,743 | 2,278 | |
Northern Trust Corp. | 48,848 | 2,245 | |
M&T Bank Corp. | 25,509 | 2,244 | |
Invesco Ltd. | 93,216 | 2,181 | |
Principal Financial | |||
Group Inc. | 64,718 | 1,969 | |
Health Care REIT Inc. | 35,566 | 1,865 | |
* | Intercontinental- | ||
Exchange Inc. | 14,814 | 1,847 | |
Lincoln National Corp. | 63,925 | 1,821 | |
NYSE Euronext | 52,737 | 1,807 | |
SLM Corp. | 106,704 | 1,794 | |
Ventas Inc. | 32,958 | 1,737 | |
KeyCorp | 192,960 | 1,607 | |
Unum Group | 62,725 | 1,598 | |
Regions Financial Corp. | 254,813 | 1,580 | |
Moody’s Corp. | 40,440 | 1,551 | |
Kimco Realty Corp. | 82,423 | 1,536 | |
* | CB Richard Ellis Group Inc. | ||
Class A | 58,921 | 1,479 | |
XL Group plc Class A | 62,926 | 1,383 | |
Leucadia National Corp. | 40,194 | 1,371 | |
Plum Creek Timber Co. Inc. | 32,615 | 1,322 | |
Comerica Inc. | 35,793 | 1,237 | |
Huntington | |||
Bancshares Inc. | 174,823 | 1,147 | |
People’s United | |||
Financial Inc. | 76,332 | 1,026 | |
* | Genworth Financial Inc. | ||
Class A | 99,134 | 1,019 | |
Legg Mason Inc. | 30,836 | 1,010 | |
Torchmark Corp. | 15,666 | 1,005 | |
Cincinnati Financial Corp. | 32,995 | 963 | |
Zions Bancorporation | 36,940 | 887 | |
Hudson City Bancorp Inc. | 107,019 | 876 | |
Marshall & Ilsley Corp. | 106,708 | 850 | |
* | NASDAQ OMX Group Inc. | 30,395 | 769 |
Assurant Inc. | 19,509 | 708 | |
* | E*Trade Financial Corp. | 51,059 | 705 |
Apartment Investment & | |||
Management Co. | 23,892 | 610 | |
First Horizon National Corp. | 53,224 | 508 | |
Federated Investors Inc. | |||
Class B | 18,495 | 441 | |
Janus Capital Group Inc. | 37,389 | 353 | |
368,710 |
47
Tax-Managed Growth and Income Fund
Market | |||
Value | |||
Shares | ($000) | ||
Health Care (11.7%) | |||
Johnson & Johnson | 555,859 | 36,976 | |
Pfizer Inc. | 1,601,898 | 32,999 | |
Merck & Co. Inc. | 625,875 | 22,087 | |
Abbott Laboratories | 315,143 | 16,583 | |
UnitedHealth Group Inc. | 219,617 | 11,328 | |
* | Amgen Inc. | 188,388 | 10,992 |
Bristol-Myers Squibb Co. | 345,966 | 10,019 | |
Medtronic Inc. | 216,234 | 8,331 | |
Eli Lilly & Co. | 205,975 | 7,730 | |
Baxter International Inc. | 115,621 | 6,901 | |
* | Gilead Sciences Inc. | 159,514 | 6,605 |
WellPoint Inc. | 74,415 | 5,862 | |
* | Express Scripts Inc. | 107,365 | 5,796 |
* | Celgene Corp. | 93,985 | 5,669 |
Covidien plc | 100,600 | 5,355 | |
* | Biogen Idec Inc. | 49,060 | 5,245 |
Allergan Inc. | 61,848 | 5,149 | |
* | Thermo Fisher | ||
Scientific Inc. | 77,617 | 4,998 | |
* | Medco Health | ||
Solutions Inc. | 80,975 | 4,577 | |
McKesson Corp. | 51,035 | 4,269 | |
Stryker Corp. | 68,013 | 3,992 | |
Becton Dickinson and Co. | 44,338 | 3,821 | |
* | Agilent Technologies Inc. | 70,647 | 3,611 |
Aetna Inc. | 76,878 | 3,390 | |
Cardinal Health Inc. | 71,159 | 3,232 | |
St. Jude Medical Inc. | 66,708 | 3,181 | |
* | Intuitive Surgical Inc. | 7,967 | 2,965 |
CIGNA Corp. | 54,820 | 2,819 | |
Humana Inc. | 34,062 | 2,743 | |
* | Zimmer Holdings Inc. | 38,918 | 2,460 |
AmerisourceBergen Corp. | |||
Class A | 55,324 | 2,290 | |
* | Forest Laboratories Inc. | 57,727 | 2,271 |
* | Mylan Inc. | 88,219 | 2,176 |
* | Boston Scientific Corp. | 308,016 | 2,128 |
* | Edwards Lifesciences Corp. | 23,243 | 2,026 |
* | Laboratory Corp. of | ||
America Holdings | 20,168 | 1,952 | |
* | Hospira Inc. | 33,654 | 1,907 |
* | Life Technologies Corp. | 36,482 | 1,900 |
CR Bard Inc. | 17,229 | 1,893 | |
Quest Diagnostics Inc. | 31,942 | 1,888 | |
* | Cerner Corp. | 29,038 | 1,775 |
* | Waters Corp. | 18,458 | 1,767 |
* | Watson | ||
Pharmaceuticals Inc. | 25,477 | 1,751 | |
* | DaVita Inc. | 19,413 | 1,681 |
* | Varian Medical | ||
Systems Inc. | 23,749 | 1,663 | |
* | Cephalon Inc. | 15,632 | 1,249 |
* | CareFusion Corp. | 44,989 | 1,222 |
* | Coventry Health Care Inc. | 30,280 | 1,104 |
Market | ||
Value | ||
Shares | ($000) | |
DENTSPLY | ||
International Inc. | 28,853 | 1,099 |
Patterson Cos. Inc. | 19,540 | 643 |
PerkinElmer Inc. | 23,137 | 623 |
* Tenet Healthcare Corp. | 98,417 | 614 |
285,307 | ||
Industrials (11.3%) | ||
General Electric Co. | 2,150,374 | 40,556 |
United Technologies Corp. | 185,500 | 16,419 |
United Parcel Service Inc. | ||
Class B | 199,984 | 14,585 |
Caterpillar Inc. | 130,739 | 13,919 |
3M Co. | 143,943 | 13,653 |
Boeing Co. | 149,746 | 11,071 |
Union Pacific Corp. | 99,540 | 10,392 |
Honeywell | ||
International Inc. | 159,661 | 9,514 |
Emerson Electric Co. | 152,304 | 8,567 |
Deere & Co. | 85,156 | 7,021 |
FedEx Corp. | 64,097 | 6,080 |
CSX Corp. | 224,307 | 5,881 |
Danaher Corp. | 110,488 | 5,855 |
Illinois Tool Works Inc. | 101,461 | 5,732 |
General Dynamics Corp. | 75,344 | 5,615 |
Norfolk Southern Corp. | 71,606 | 5,365 |
Precision Castparts Corp. | 29,265 | 4,819 |
Tyco International Ltd. | 95,072 | 4,699 |
Lockheed Martin Corp. | 57,899 | 4,688 |
Cummins Inc. | 39,944 | 4,134 |
Northrop Grumman Corp. | 59,370 | 4,117 |
PACCAR Inc. | 73,839 | 3,772 |
Raytheon Co. | 72,182 | 3,598 |
Waste Management Inc. | 96,234 | 3,587 |
Eaton Corp. | 68,758 | 3,538 |
Ingersoll-Rand plc | 67,200 | 3,052 |
Parker Hannifin Corp. | 32,790 | 2,943 |
CH Robinson | ||
Worldwide Inc. | 33,012 | 2,603 |
Dover Corp. | 37,806 | 2,563 |
Rockwell Automation Inc. | 29,303 | 2,542 |
Stanley Black & Decker Inc. | 33,811 | 2,436 |
Goodrich Corp. | 25,268 | 2,413 |
Fluor Corp. | 35,590 | 2,301 |
Expeditors International of | ||
Washington Inc. | 43,023 | 2,202 |
ITT Corp. | 37,102 | 2,186 |
Fastenal Co. | 59,682 | 2,148 |
Joy Global Inc. | 21,389 | 2,037 |
Rockwell Collins Inc. | 31,414 | 1,938 |
Republic Services Inc. | ||
Class A | 61,956 | 1,911 |
L-3 Communications | ||
Holdings Inc. | 21,477 | 1,878 |
Southwest Airlines Co. | 159,836 | 1,825 |
WW Grainger Inc. | 11,763 | 1,807 |
48
Tax-Managed Growth and Income Fund
Market | |||
Value | |||
Shares | ($000) | ||
Roper Industries Inc. | 19,340 | 1,611 | |
* | Stericycle Inc. | 17,464 | 1,556 |
Iron Mountain Inc. | 40,555 | 1,383 | |
Pall Corp. | 23,395 | 1,316 | |
Textron Inc. | 55,708 | 1,315 | |
Flowserve Corp. | 11,268 | 1,238 | |
* | Jacobs Engineering | ||
Group Inc. | 25,545 | 1,105 | |
Pitney Bowes Inc. | 41,281 | 949 | |
Masco Corp. | 72,919 | 877 | |
* | Quanta Services Inc. | 43,369 | 876 |
Equifax Inc. | 24,767 | 860 | |
Cintas Corp. | 25,702 | 849 | |
Avery Dennison Corp. | 21,587 | 834 | |
Robert Half | |||
International Inc. | 29,601 | 800 | |
Dun & Bradstreet Corp. | 9,996 | 755 | |
RR Donnelley & Sons Co. | 37,768 | 741 | |
Snap-On Inc. | 11,767 | 735 | |
Ryder System Inc. | 10,404 | 591 | |
274,353 | |||
Information Technology (17.8%) | |||
* | Apple Inc. | 187,500 | 62,938 |
International Business | |||
Machines Corp. | 245,542 | 42,123 | |
Microsoft Corp. | 1,504,623 | 39,120 | |
Oracle Corp. | 790,073 | 26,001 | |
* | Google Inc. Class A | 50,967 | 25,809 |
Intel Corp. | 1,074,968 | 23,821 | |
Qualcomm Inc. | 338,513 | 19,224 | |
Cisco Systems Inc. | 1,115,095 | 17,407 | |
Hewlett-Packard Co. | 420,474 | 15,305 | |
* | EMC Corp. | 417,101 | 11,491 |
Visa Inc. Class A | 97,048 | 8,177 | |
Texas Instruments Inc. | 235,348 | 7,727 | |
* | eBay Inc. | 230,807 | 7,448 |
Corning Inc. | 318,390 | 5,779 | |
Mastercard Inc. Class A | 19,084 | 5,751 | |
* | Dell Inc. | 332,872 | 5,549 |
Automatic Data | |||
Processing Inc. | 101,346 | 5,339 | |
* | Cognizant Technology | ||
Solutions Corp. Class A | 61,560 | 4,515 | |
* | Yahoo! Inc. | 264,451 | 3,977 |
* | NetApp Inc. | 74,218 | 3,917 |
* | Salesforce.com Inc. | 24,523 | 3,653 |
Applied Materials Inc. | 266,795 | 3,471 | |
* | Juniper Networks Inc. | 108,083 | 3,405 |
Broadcom Corp. Class A | 96,795 | 3,256 | |
* | Adobe Systems Inc. | 102,330 | 3,218 |
* | Motorola Solutions Inc. | 68,868 | 3,171 |
* | Citrix Systems Inc. | 38,203 | 3,056 |
* | Symantec Corp. | 154,452 | 3,046 |
Altera Corp. | 65,421 | 3,032 | |
Xerox Corp. | 283,120 | 2,947 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Intuit Inc. | 54,994 | 2,852 |
Western Union Co. | 128,122 | 2,566 | |
Analog Devices Inc. | 60,647 | 2,374 | |
* | Teradata Corp. | 33,959 | 2,044 |
* | SanDisk Corp. | 48,385 | 2,008 |
Paychex Inc. | 65,125 | 2,001 | |
* | BMC Software Inc. | 36,045 | 1,972 |
Xilinx Inc. | 53,936 | 1,967 | |
* | NVIDIA Corp. | 121,781 | 1,941 |
Amphenol Corp. Class A | 35,663 | 1,925 | |
* | Fiserv Inc. | 29,067 | 1,820 |
* | F5 Networks Inc. | 16,294 | 1,796 |
* | Red Hat Inc. | 39,127 | 1,796 |
* | Autodesk Inc. | 46,433 | 1,792 |
CA Inc. | 77,285 | 1,765 | |
* | Western Digital Corp. | 46,824 | 1,703 |
Fidelity National | |||
Information Services Inc. | 54,641 | 1,682 | |
* | Electronic Arts Inc. | 67,855 | 1,601 |
Linear Technology Corp. | 46,047 | 1,521 | |
Microchip Technology Inc. | 38,199 | 1,448 | |
* | First Solar Inc. | 10,933 | 1,446 |
KLA-Tencor Corp. | 33,859 | 1,371 | |
* | Motorola Mobility | ||
Holdings Inc. | 59,709 | 1,316 | |
* | Micron Technology Inc. | 174,059 | 1,302 |
National | |||
Semiconductor Corp. | 48,716 | 1,199 | |
* | Akamai Technologies Inc. | 37,953 | 1,194 |
Computer Sciences Corp. | 31,284 | 1,188 | |
Harris Corp. | 25,720 | 1,159 | |
VeriSign Inc. | 34,131 | 1,142 | |
FLIR Systems Inc. | 32,296 | 1,089 | |
* | SAIC Inc. | 56,568 | 952 |
* | LSI Corp. | 124,232 | 885 |
* | Advanced Micro | ||
Devices Inc. | 115,945 | 810 | |
Jabil Circuit Inc. | 39,740 | 803 | |
* | JDS Uniphase Corp. | 45,491 | 758 |
Molex Inc. | 28,022 | 722 | |
* | Novellus Systems Inc. | 18,248 | 660 |
Total System Services Inc. | 33,098 | 615 | |
* | Teradyne Inc. | 37,400 | 554 |
* | Lexmark International Inc. | ||
Class A | 15,908 | 465 | |
* | Compuware Corp. | 44,376 | 433 |
* | MEMC Electronic | ||
Materials Inc. | 46,504 | 397 | |
* | Monster Worldwide Inc. | 26,688 | 391 |
Tellabs Inc. | 73,015 | 337 | |
433,435 | |||
Materials (3.7%) | |||
EI du Pont de | |||
Nemours & Co. | 188,314 | 10,178 |
49
Tax-Managed Growth and Income Fund
Market | |||
Value | |||
Shares | ($000) | ||
Freeport-McMoRan | |||
Copper & Gold Inc. | 192,116 | 10,163 | |
Dow Chemical Co. | 238,394 | 8,582 | |
Monsanto Co. | 108,414 | 7,864 | |
Praxair Inc. | 61,734 | 6,691 | |
Newmont Mining Corp. | 99,783 | 5,385 | |
Air Products & | |||
Chemicals Inc. | 42,932 | 4,103 | |
Alcoa Inc. | 214,903 | 3,408 | |
PPG Industries Inc. | 32,024 | 2,908 | |
Cliffs Natural | |||
Resources Inc. | 29,132 | 2,693 | |
International Paper Co. | 88,918 | 2,652 | |
Ecolab Inc. | 46,979 | 2,649 | |
Nucor Corp. | 63,790 | 2,629 | |
CF Industries Holdings Inc. | 14,589 | 2,067 | |
Sigma-Aldrich Corp. | 24,740 | 1,815 | |
Sherwin-Williams Co. | 17,954 | 1,506 | |
Eastman Chemical Co. | 14,222 | 1,452 | |
Allegheny Technologies Inc. | 21,320 | 1,353 | |
United States Steel Corp. | 29,080 | 1,339 | |
Ball Corp. | 34,114 | 1,312 | |
FMC Corp. | 14,364 | 1,236 | |
MeadWestvaco Corp. | 34,159 | 1,138 | |
International Flavors & | |||
Fragrances Inc. | 16,254 | 1,044 | |
Airgas Inc. | 14,397 | 1,008 | |
Vulcan Materials Co. | 26,130 | 1,007 | |
* | Owens-Illinois Inc. | 33,185 | 857 |
Sealed Air Corp. | 32,092 | 764 | |
Bemis Co. Inc. | 21,550 | 728 | |
AK Steel Holding Corp. | 22,200 | 350 | |
Titanium Metals Corp. | 18,000 | 330 | |
89,211 | |||
Telecommunication Services (3.1%) | |||
AT&T Inc. | 1,200,776 | 37,716 | |
Verizon | |||
Communications Inc. | 573,696 | 21,359 | |
CenturyLink Inc. | 121,789 | 4,924 | |
* | American Tower Corp. | ||
Class A | 80,379 | 4,206 | |
* | Sprint Nextel Corp. | 604,466 | 3,258 |
Frontier | |||
Communications Corp. | 201,606 | 1,627 | |
Windstream Corp. | 102,058 | 1,323 | |
* | MetroPCS | ||
Communications Inc. | 53,328 | 918 | |
75,331 | |||
Utilities (3.4%) | |||
Southern Co. | 172,203 | 6,953 | |
Exelon Corp. | 134,386 | 5,757 | |
Dominion Resources Inc. | 116,691 | 5,633 | |
Duke Energy Corp. | 268,698 | 5,060 | |
NextEra Energy Inc. | 85,618 | 4,920 |
Market | |||
Value | |||
Shares | ($000) | ||
FirstEnergy Corp. | 84,508 | 3,731 | |
American Electric | |||
Power Co. Inc. | 97,252 | 3,664 | |
PG&E Corp. | 80,781 | 3,395 | |
Public Service Enterprise | |||
Group Inc. | 102,334 | 3,340 | |
PPL Corp. | 117,039 | 3,257 | |
Consolidated Edison Inc. | 59,032 | 3,143 | |
Progress Energy Inc. | 59,440 | 2,854 | |
Sempra Energy | 48,552 | 2,567 | |
Edison International | 65,733 | 2,547 | |
Entergy Corp. | 36,135 | 2,467 | |
Xcel Energy Inc. | 97,524 | 2,370 | |
DTE Energy Co. | 34,379 | 1,720 | |
* | AES Corp. | 134,335 | 1,711 |
CenterPoint Energy Inc. | 86,088 | 1,666 | |
Oneok Inc. | 21,662 | 1,603 | |
Constellation Energy | |||
Group Inc. | 40,276 | 1,529 | |
Wisconsin Energy Corp. | 47,342 | 1,484 | |
Ameren Corp. | 48,721 | 1,405 | |
Northeast Utilities | 35,859 | 1,261 | |
* | NRG Energy Inc. | 49,874 | 1,226 |
NiSource Inc. | 56,443 | 1,143 | |
CMS Energy Corp. | 51,020 | 1,005 | |
Pinnacle West | |||
Capital Corp. | 21,840 | 974 | |
SCANA Corp. | 23,088 | 909 | |
Pepco Holdings Inc. | 45,755 | 898 | |
TECO Energy Inc. | 43,450 | 821 | |
Integrys Energy Group Inc. | 15,773 | 818 | |
Nicor Inc. | 9,280 | 508 | |
82,339 | |||
Total Common Stocks | |||
(Cost $2,027,814) | 2,436,091 | ||
Temporary Cash Investment (0.0%) | |||
Money Market Fund (0.0%) | |||
1 | Vanguard Market | ||
Liquidity Fund, 0.140% | |||
(Cost $535) | 535,148 | 535 | |
Total Investments (100.0%) | |||
(Cost $2,028,349) | 2,436,626 | ||
Other Assets and Liabilities (0.0%) | |||
Other Assets | 4,260 | ||
Liabilities | (5,378) | ||
(1,118) | |||
Net Assets (100%) | 2,435,508 |
50
Tax-Managed Growth and Income Fund
At June 30, 2011, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 2,090,100 |
Overdistributed Net Investment Income | (2,768) |
Accumulated Net Realized Losses | (60,101) |
Unrealized Appreciation (Depreciation) | 408,277 |
Net Assets | 2,435,508 |
Admiral Shares—Net Assets | |
Applicable to 36,799,160 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 2,176,541 |
Net Asset Value Per Share— | |
Admiral Shares | $59.15 |
Institutional Shares—Net Assets | |
Applicable to 8,997,546 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 258,967 |
Net Asset Value Per Share— | |
Institutional Shares | $28.78 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
51
Tax-Managed Growth and Income Fund
Statement of Operations | |
Six Months Ended | |
June 30, 2011 | |
($000) | |
Investment Income | |
Income | |
Dividends | 23,533 |
Interest1 | 1 |
Total Income | 23,534 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 161 |
Management and Administrative—Investor Shares | 243 |
Management and Administrative—Admiral Shares | 781 |
Management and Administrative—Institutional Shares | 57 |
Marketing and Distribution—Investor Shares | 45 |
Marketing and Distribution—Admiral Shares | 140 |
Marketing and Distribution—Institutional Shares | 22 |
Custodian Fees | 26 |
Shareholders’ Reports—Admiral Shares | 12 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 1,488 |
Net Investment Income | 22,046 |
Realized Net Gain (Loss) on Investment Securities Sold | 117 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 116,605 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 138,768 |
1 Interest income from an affiliated company of the fund was $1,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
52
Tax-Managed Growth and Income Fund
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2011 | 2010 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 22,046 | 42,360 |
Realized Net Gain (Loss) | 117 | 29,493 |
Change in Unrealized Appreciation (Depreciation) | 116,605 | 234,852 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 138,768 | 306,705 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (2,110) | (8,731) |
Admiral Shares | (17,082) | (29,437) |
Institutional Shares | (2,272) | (4,196) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (21,464) | (42,364) |
Capital Share Transactions | ||
Investor Shares | (521,190) | (46,196) |
Admiral Shares | 489,348 | (35,245) |
Institutional Shares | 22,590 | (873) |
Net Increase (Decrease) from Capital Share Transactions | (9,252) | (82,314) |
Total Increase (Decrease) | 108,052 | 182,027 |
Net Assets | ||
Beginning of Period | 2,327,456 | 2,145,429 |
End of Period1 | 2,435,508 | 2,327,456 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($2,768,000) and ($3,350,000). |
See accompanying Notes, which are an integral part of the Financial Statements.
53
Tax-Managed Growth and Income Fund
Financial Highlights
Investor Shares | ||||||
January 1, | ||||||
2011 to | ||||||
For a Share Outstanding | May 13, | Year Ended December 31, | ||||
Throughout Each Period | 20111 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $27.40 | $24.30 | $19.65 | $31.96 | $30.87 | $27.15 |
Investment Operations | ||||||
Net Investment Income | .174 | .474 | .490 | .572 | .578 | .504 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.756 | 3.102 | 4.640 | (12.295) | 1.089 | 3.727 |
Total from Investment Operations | 1.930 | 3.576 | 5.130 | (11.723) | 1.667 | 4.231 |
Distributions | ||||||
Dividends from Net Investment Income | (.120) | (.476) | (.480) | (.587) | (.577) | (.511) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.120) | (.476) | (.480) | (.587) | (.577) | (.511) |
Net Asset Value, End of Period | $29.211 | $27.40 | $24.30 | $19.65 | $31.96 | $30.87 |
Total Return2 | 7.05% | 14.90% | 26.47% | -37.04% | 5.39% | 15.73% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $— | $489 | $479 | $420 | $740 | $784 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.17% | 0.20% | 0.21% | 0.16% | 0.15% | 0.15% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.74% | 1.90% | 2.34% | 2.13% | 1.80% | 1.77% |
Portfolio Turnover Rate | 6% | 6% | 38% | 8% | 5% | 6% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Net asset value as of May 13, 2011, at which date the Investor Shares were converted to Admiral Shares.
2 Total returns do not include transaction or account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction and account service fees.
See accompanying Notes, which are an integral part of the Financial Statements.
54
Tax-Managed Growth and Income Fund
Financial Highlights
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $56.31 | $49.94 | $40.39 | $65.69 | $63.44 | $55.80 |
Investment Operations | ||||||
Net Investment Income | .537 | 1.017 | 1.036 | 1.212 | 1.230 | 1.069 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.825 | 6.374 | 9.532 | (25.276) | 2.245 | 7.648 |
Total from Investment Operations | 3.362 | 7.391 | 10.568 | (24.064) | 3.475 | 8.717 |
Distributions | ||||||
Dividends from Net Investment Income | (.522) | (1.021) | (1.018) | (1.236) | (1.225) | (1.077) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.522) | (1.021) | (1.018) | (1.236) | (1.225) | (1.077) |
Net Asset Value, End of Period | $59.15 | $56.31 | $49.94 | $40.39 | $65.69 | $63.44 |
Total Return1 | 5.97% | 14.99% | 26.54% | -37.00% | 5.47% | 15.77% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,177 | $1,614 | $1,466 | $1,203 | $2,113 | $1,935 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.12% | 0.12% | 0.15% | 0.10% | 0.09% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.84% | 1.98% | 2.40% | 2.19% | 1.86% | 1.82% |
Portfolio Turnover Rate | 6% | 6% | 38% | 8% | 5% | 6% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include transaction fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction fees.
See accompanying Notes, which are an integral part of the Financial Statements.
55
Tax-Managed Growth and Income Fund
Financial Highlights
Institutional Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $27.40 | $24.30 | $19.65 | $31.96 | $30.87 | $27.15 |
Investment Operations | ||||||
Net Investment Income | .267 | .506 | .515 | .598 | .604 | .527 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.373 | 3.101 | 4.642 | (12.299) | 1.089 | 3.727 |
Total from Investment Operations | 1.640 | 3.607 | 5.157 | (11.701) | 1.693 | 4.254 |
Distributions | ||||||
Dividends from Net Investment Income | (.260) | (.507) | (.507) | (.609) | (.603) | (.534) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.260) | (.507) | (.507) | (.609) | (.603) | (.534) |
Net Asset Value, End of Period | $28.78 | $27.40 | $24.30 | $19.65 | $31.96 | $30.87 |
Total Return1 | 5.99% | 15.04% | 26.63% | -36.98% | 5.47% | 15.82% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $259 | $225 | $200 | $263 | $469 | $389 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.09% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.88% | 2.02% | 2.46% | 2.22% | 1.88% | 1.85% |
Portfolio Turnover Rate | 6% | 6% | 38% | 8% | 5% | 6% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include transaction fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction fees.
See accompanying Notes, which are an integral part of the Financial Statements.
56
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 two classes of shares: Admiral Shares and Institutional Shares. Admiral Shares are available to any investor who meets the fund’s minimum purchase requirements. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. Prior to May 14, 2011, the fund offered Investor Shares. Effective at the close of business on May 13, 2011, the Investor Shares were converted to Admiral Shares.
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 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value.
2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2007–2010), and for the period ended June 30, 2011, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
3. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
4. 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
57
Tax-Managed Growth and Income Fund
in capital contributions to Vanguard. At June 30, 2011, the fund had contributed capital of $390,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 0.16% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
At June 30, 2011, 100% of the fund’s investments were valued based on Level 1 inputs.
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2010, the fund had available capital loss carryforwards totaling $49,308,000 to offset future net capital gains through December 31, 2016. In addition, the fund realized losses of $7,745,000 during the period from November 1, 2010, through December 31, 2010, which are deferred and will be treated as realized for tax purposes in fiscal 2011. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2011; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2011, the cost of investment securities for tax purposes was $2,028,349,000. Net unrealized appreciation of investment securities for tax purposes was $408,277,000, consisting of unrealized gains of $639,801,000 on securities that had risen in value since their purchase and $231,524,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended June 30, 2011, the fund purchased $70,447,000 of investment securities and sold $78,646,000 of investment securities, other than temporary cash investments.
58
Tax-Managed Growth and Income Fund
F. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2011 | December 31, 2010 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 9,282 | 325 | 24,116 | 966 |
Issued in Lieu of Cash Distributions | 1,877 | 65 | 7,770 | 308 |
Redeemed1,2 | (532,349) | (18,237) | (78,082) | (3,142) |
Net Increase (Decrease)—Investor Shares | (521,190) | (17,847) | (46,196) | (1,868) |
Admiral Shares | ||||
Issued2 | 546,277 | 9,111 | 67,154 | 1,314 |
Issued in Lieu of Cash Distributions | 13,608 | 231 | 23,036 | 444 |
Redeemed1 | (70,537) | (1,199) | (125,435) | (2,457) |
Net Increase (Decrease)—Admiral Shares | 489,348 | 8,143 | (35,245) | (699) |
Institutional Shares | ||||
Issued | 27,096 | 948 | 26,919 | 1,121 |
Issued in Lieu of Cash Distributions | 1,516 | 53 | 2,634 | 104 |
Redeemed1 | (6,022) | (210) | (30,426) | (1,269) |
Net Increase (Decrease)—Institutional Shares | 22,590 | 791 | (873) | (44) |
1 Net of redemption fees for fiscal 2011 and 2010 of $66,000 and $288,000, respectively (fund totals). Effective April 28, 2011, the redemption fee was eliminated.
2 Investor Shares redeemed and Admiral Shares issued reflect $510,049,000 from the conversion of 17,461,000 Investor Shares to 8,497,000 Admiral Shares at the close of business on May 13, 2011.
G. In preparing the financial statements as of June 30, 2011, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
59
Tax-Managed Capital Appreciation Fund
Fund Profile
As of June 30, 2011
Share-Class Characteristics | ||
Admiral | Institutional | |
Shares | Shares | |
Ticker Symbol | VTCLX | VTCIX |
Expense Ratio1 | 0.12% | 0.08% |
30-Day SEC Yield | 1.57% | 1.61% |
Portfolio Characteristics | |||
DJ | |||
Russell | U.S. Total | ||
1000 | Market | ||
Fund | Index | Index | |
Number of Stocks | 628 | 985 | 3,745 |
Median Market Cap | $34.6B | $38.1B | $30.8B |
Price/Earnings Ratio | 16.4x | 16.5x | 17.1x |
Price/Book Ratio | 2.3x | 2.2x | 2.2x |
Return on Equity | 19.7% | 19.4% | 19.1% |
Earnings Growth Rate | 5.9% | 5.7% | 5.8% |
Dividend Yield | 1.7% | 1.9% | 1.8% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 3% | — | — |
Short-Term Reserves | 0.2% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
Russell | U.S. Total | ||
1000 | Market | ||
Fund | Index | Index | |
Consumer | |||
Discretionary | 11.7% | 11.5% | 12.2% |
Consumer Staples | 9.8 | 9.5 | 9.7 |
Energy | 12.2 | 12.0 | 11.2 |
Financials | 15.0 | 15.4 | 15.4 |
Health Care | 11.7 | 11.6 | 11.3 |
Industrials | 11.6 | 11.4 | 11.6 |
Information | |||
Technology | 17.7 | 17.7 | 18.4 |
Materials | 4.3 | 4.4 | 4.4 |
Telecommunication | |||
Services | 3.0 | 3.0 | 2.6 |
Utilities | 3.0 | 3.5 | 3.2 |
Volatility Measures | ||
DJ | ||
Russell | U.S. Total | |
1000 | Market | |
Index | Index | |
R-Squared | 1.00 | 1.00 |
Beta | 1.01 | 0.99 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
Ten Largest Holdings (% of total net assets) | ||
Exxon Mobil Corp. | Integrated Oil & | |
Gas | 3.0% | |
Apple Inc. | Computer | |
Hardware | 2.3 | |
International Business | IT Consulting & | |
Machines Corp. | Other Servies | 1.6 |
Chevron Corp. | Integrated Oil & | |
Gas | 1.5 | |
General Electric Co. | Industrial | |
Conglomerates | 1.4 | |
AT&T Inc. | Integrated | |
Telecommunication | ||
Services | 1.4 | |
Johnson & Johnson | Pharmaceuticals | 1.4 |
Microsoft Corp. | Systems Software | 1.4 |
Procter & Gamble Co. | Household | |
Products | 1.3 | |
JPMorgan Chase & Co. | Diversified Financial | |
Services | 1.2 | |
Top Ten | 16.5% |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
1 The expense ratios shown are from the prospectus dated July 15, 2011, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2011, the annualized expense ratios were 0.12% for Admiral Shares and 0.08% for Institutional Shares.
60
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 vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): December 31, 2000, Through June 30, 2011
Average Annual Total Returns: Periods Ended June 30, 2011 | ||||
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Admiral Shares | 9/6/1994 | 32.32% | 3.41% | 3.11% |
Institutional Shares | 2/24/1999 | 32.34 | 3.44 | 3.15 |
See Financial Highlights for dividend and capital gains information.
61
Tax-Managed Capital Appreciation Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2011
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (100.0%) | |||
Consumer Discretionary (11.7%) | |||
McDonald’s Corp. | 306,260 | 25,824 | |
Walt Disney Co. | 596,436 | 23,285 | |
* | Amazon.com Inc. | 111,200 | 22,739 |
Comcast Corp. Class A | 755,371 | 19,141 | |
Home Depot Inc. | 480,000 | 17,386 | |
* | Ford Motor Co. | 1,207,608 | 16,653 |
News Corp. Class A | 778,830 | 13,785 | |
* | DIRECTV Class A | 266,109 | 13,524 |
Time Warner Inc. | 370,649 | 13,480 | |
NIKE Inc. Class B | 127,200 | 11,445 | |
Target Corp. | 243,300 | 11,413 | |
Lowe’s Cos. Inc. | 467,600 | 10,900 | |
Starbucks Corp. | 274,352 | 10,834 | |
Johnson Controls Inc. | 237,600 | 9,898 | |
Yum! Brands Inc. | 173,360 | 9,576 | |
Viacom Inc. Class B | 171,033 | 8,723 | |
Coach Inc. | 118,900 | 7,601 | |
Time Warner Cable Inc. | 94,542 | 7,378 | |
* | Bed Bath & Beyond Inc. | 111,383 | 6,501 |
Kohl’s Corp. | 122,650 | 6,134 | |
McGraw-Hill Cos. Inc. | 122,900 | 5,151 | |
* | Liberty Media Corp. - | ||
Interactive | 302,926 | 5,080 | |
Starwood Hotels & | |||
Resorts Worldwide Inc. | 89,818 | 5,033 | |
* | BorgWarner Inc. | 60,600 | 4,896 |
Ross Stores Inc. | 60,296 | 4,831 | |
* | General Motors Co. | 157,000 | 4,767 |
* | O’Reilly Automotive Inc. | 71,748 | 4,700 |
* | Sirius XM Radio Inc. | 2,129,000 | 4,663 |
Marriott International Inc. | |||
Class A | 125,975 | 4,471 | |
* | AutoZone Inc. | 15,100 | 4,452 |
* | Dollar Tree Inc. | 66,769 | 4,448 |
Best Buy Co. Inc. | 141,084 | 4,431 | |
Polo Ralph Lauren Corp. | |||
Class A | 32,500 | 4,310 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Las Vegas Sands Corp. | 100,440 | 4,240 |
* | CarMax Inc. | 128,143 | 4,238 |
Darden Restaurants Inc. | 83,850 | 4,172 | |
Gap Inc. | 211,887 | 3,835 | |
PetSmart Inc. | 82,000 | 3,720 | |
Interpublic Group | |||
of Cos. Inc. | 294,400 | 3,680 | |
CBS Corp. Class B | 127,174 | 3,623 | |
Expedia Inc. | 124,613 | 3,613 | |
Hasbro Inc. | 77,100 | 3,387 | |
Advance Auto Parts Inc. | 56,402 | 3,299 | |
* | Discovery | ||
Communications Inc. | 90,137 | 3,294 | |
DeVry Inc. | 55,239 | 3,266 | |
Gentex Corp. | 107,252 | 3,242 | |
* | NVR Inc. | 4,440 | 3,221 |
* | Liberty Global Inc. | 75,207 | 3,211 |
* | Apollo Group Inc. Class A | 72,229 | 3,155 |
* | Dollar General Corp. | 90,900 | 3,081 |
John Wiley & Sons Inc. | |||
Class A | 58,700 | 3,053 | |
Scripps Networks | |||
Interactive Inc. Class A | 62,170 | 3,039 | |
Phillips-Van Heusen Corp. | 46,281 | 3,030 | |
* | Toll Brothers Inc. | 144,600 | 2,999 |
* | AutoNation Inc. | 76,525 | 2,802 |
* | MGM Resorts International | 208,690 | 2,757 |
Weight Watchers | |||
International Inc. | 36,200 | 2,732 | |
Brinker International Inc. | 102,750 | 2,513 | |
Omnicom Group Inc. | 50,600 | 2,437 | |
Harley-Davidson Inc. | 56,800 | 2,327 | |
International Game | |||
Technology | 129,600 | 2,278 | |
* | Mohawk Industries Inc. | 34,700 | 2,082 |
Harman International | |||
Industries Inc. | 43,600 | 1,987 | |
Cablevision Systems Corp. | |||
Class A | 54,344 | 1,968 |
62
Tax-Managed Capital Appreciation Fund
Market | |||
Value | |||
Shares | ($000) | ||
* | Liberty Global Inc. Class A | 42,398 | 1,910 |
Virgin Media Inc. | 62,269 | 1,864 | |
Foot Locker Inc. | 70,600 | 1,677 | |
Macy’s Inc. | 56,800 | 1,661 | |
Abercrombie & Fitch Co. | 23,300 | 1,559 | |
* | Lamar Advertising Co. | ||
Class A | 56,186 | 1,538 | |
Nordstrom Inc. | 32,300 | 1,516 | |
Staples Inc. | 94,495 | 1,493 | |
DR Horton Inc. | 126,366 | 1,456 | |
* | Pulte Group Inc. | 187,674 | 1,438 |
* | Liberty Media Corp. - | ||
Capital | 16,431 | 1,409 | |
* | priceline.com Inc. | 2,540 | 1,300 |
* | Career Education Corp. | 60,400 | 1,277 |
* | Liberty Media Corp. - Starz | 16,392 | 1,233 |
Aaron’s Inc. | 37,182 | 1,051 | |
Lennar Corp. Class A | 54,600 | 991 | |
Mattel Inc. | 36,032 | 991 | |
American Eagle | |||
Outfitters Inc. | 66,991 | 854 | |
RadioShack Corp. | 58,000 | 772 | |
TJX Cos. Inc. | 12,976 | 682 | |
Comcast Corp. | |||
Class A Special Shares | 26,219 | 635 | |
* | Hanesbrands Inc. | 18,286 | 522 |
* | Sears Holdings Corp. | 7,200 | 514 |
* | Education | ||
Management Corp. | 18,200 | 436 | |
Chico’s FAS Inc. | 28,340 | 432 | |
* | GameStop Corp. Class A | 16,030 | 428 |
* | Madison Square Garden Co. | ||
Class A | 13,586 | 374 | |
Wynn Resorts Ltd. | 2,000 | 287 | |
Carnival Corp. | 5,800 | 218 | |
Washington Post Co. | |||
Class B | 520 | 218 | |
Lennar Corp. Class B | 8,300 | 122 | |
* | Krispy Kreme | ||
Doughnuts Inc. | |||
Warrants Exp. 03/02/2012 | 2,684 | 2 | |
454,594 | |||
Consumer Staples (9.8%) | |||
Procter & Gamble Co. | 820,178 | 52,139 | |
Coca-Cola Co. | 587,700 | 39,546 | |
PepsiCo Inc. | 475,139 | 33,464 | |
Philip Morris | |||
International Inc. | 494,509 | 33,018 | |
Wal-Mart Stores Inc. | 538,528 | 28,617 | |
CVS Caremark Corp. | 443,754 | 16,676 | |
Walgreen Co. | 307,300 | 13,048 | |
Costco Wholesale Corp. | 153,000 | 12,430 | |
Kraft Foods Inc. | 348,826 | 12,289 | |
Colgate-Palmolive Co. | 115,900 | 10,131 | |
Altria Group Inc. | 383,363 | 10,125 |
Market | ||||
Value | ||||
Shares | ($000) | |||
Archer-Daniels-Midland Co. | 243,273 | 7,335 | ||
Kroger Co. | 263,700 | 6,540 | ||
Estee Lauder Cos. Inc. | ||||
Class A | 53,800 | 5,659 | ||
* | Green Mountain Coffee | |||
Roasters Inc. | 60,009 | 5,356 | ||
Dr Pepper Snapple | ||||
Group Inc. | 114,200 | 4,788 | ||
Clorox Co. | 69,120 | 4,661 | ||
Hershey Co. | 81,300 | 4,622 | ||
Coca-Cola Enterprises Inc. | 153,000 | 4,465 | ||
Bunge Ltd. | 62,800 | 4,330 | ||
Brown-Forman Corp. | ||||
Class B | 57,846 | 4,320 | ||
Safeway Inc. | 170,462 | 3,984 | ||
* | Hansen Natural Corp. | 48,300 | 3,910 | |
Church & Dwight Co. Inc. | 94,200 | 3,819 | ||
McCormick & Co. Inc. | 76,100 | 3,772 | ||
JM Smucker Co. | 49,024 | 3,747 | ||
Hormel Foods Corp. | 117,200 | 3,494 | ||
Corn Products | ||||
International Inc. | 62,700 | 3,466 | ||
Tyson Foods Inc. Class A | 177,944 | 3,456 | ||
Campbell Soup Co. | 97,400 | 3,365 | ||
General Mills Inc. | 88,800 | 3,305 | ||
Molson Coors Brewing Co. | ||||
Class B | 71,900 | 3,217 | ||
* | Energizer Holdings Inc. | 44,128 | 3,193 | |
* | Constellation Brands Inc. | |||
Class A | 151,500 | 3,154 | ||
* | Smithfield Foods Inc. | 135,135 | 2,955 | |
Kimberly-Clark Corp. | 43,340 | 2,885 | ||
Mead Johnson | ||||
Nutrition Co. | 42,525 | 2,873 | ||
* | Ralcorp Holdings Inc. | 29,009 | 2,512 | |
Kellogg Co. | 44,300 | 2,451 | ||
Whole Foods Market Inc. | 32,840 | 2,084 | ||
Avon Products Inc. | 59,300 | 1,660 | ||
* | Dean Foods Co. | 122,475 | 1,503 | |
Sara Lee Corp. | 44,600 | 847 | ||
Sysco Corp. | 17,111 | 534 | ||
* | BJ’s Wholesale Club Inc. | 9,300 | 468 | |
ConAgra Foods Inc. | 11,200 | 289 | ||
Reynolds American Inc. | 212 | 8 | ||
380,510 | ||||
Energy (12.2%) | ||||
Exxon Mobil Corp. | 1,418,064 | 115,402 | ||
Chevron Corp. | 582,638 | 59,918 | ||
Schlumberger Ltd. | 375,599 | 32,452 | ||
ConocoPhillips | 354,040 | 26,620 | ||
Occidental Petroleum Corp. | 190,339 | 19,803 | ||
Apache Corp. | 128,217 | 15,821 | ||
Anadarko Petroleum Corp. | 170,123 | 13,059 | ||
Devon Energy Corp. | 148,622 | 11,713 | ||
National Oilwell Varco Inc. | 149,541 | 11,696 |
63
Tax-Managed Capital Appreciation Fund
Market | |||
Value | |||
Shares | ($000) | ||
Baker Hughes Inc. | 153,671 | 11,150 | |
EOG Resources Inc. | 88,300 | 9,232 | |
Hess Corp. | 109,600 | 8,194 | |
Halliburton Co. | 158,200 | 8,068 | |
Williams Cos. Inc. | 239,700 | 7,251 | |
Noble Energy Inc. | 74,200 | 6,651 | |
* | Southwestern Energy Co. | 151,700 | 6,505 |
Peabody Energy Corp. | 108,100 | 6,368 | |
* | Cameron | ||
International Corp. | 109,002 | 5,482 | |
* | FMC Technologies Inc. | 120,100 | 5,379 |
Pioneer Natural | |||
Resources Co. | 56,337 | 5,046 | |
Marathon Oil Corp. | 92,900 | 4,894 | |
Valero Energy Corp. | 182,480 | 4,666 | |
Range Resources Corp. | 82,500 | 4,579 | |
* | Newfield Exploration Co. | 66,098 | 4,496 |
Cabot Oil & Gas Corp. | 66,235 | 4,392 | |
QEP Resources Inc. | 103,165 | 4,315 | |
EQT Corp. | 81,400 | 4,275 | |
Helmerich & Payne Inc. | 61,980 | 4,098 | |
Southern Union Co. | 99,700 | 4,003 | |
Cimarex Energy Co. | 43,499 | 3,911 | |
SM Energy Co. | 51,156 | 3,759 | |
* | Denbury Resources Inc. | 184,776 | 3,696 |
* | Dresser-Rand Group Inc. | 67,355 | 3,620 |
* | Rowan Cos. Inc. | 85,600 | 3,322 |
* | Concho Resources Inc. | 35,300 | 3,242 |
Energen Corp. | 56,100 | 3,170 | |
* | Continental Resources Inc. | 43,900 | 2,850 |
* | SandRidge Energy Inc. | 262,914 | 2,803 |
Diamond Offshore | |||
Drilling Inc. | 39,700 | 2,795 | |
Core Laboratories NV | 23,553 | 2,627 | |
* | Quicksilver Resources Inc. | 177,860 | 2,625 |
* | Plains Exploration & | ||
Production Co. | 66,760 | 2,545 | |
Arch Coal Inc. | 73,400 | 1,957 | |
* | Forest Oil Corp. | 65,300 | 1,744 |
* | Nabors Industries Ltd. | 67,300 | 1,658 |
Consol Energy Inc. | 33,900 | 1,643 | |
* | Unit Corp. | 12,800 | 780 |
Chesapeake Energy Corp. | 25,211 | 749 | |
Patterson-UTI Energy Inc. | 21,200 | 670 | |
* | Tesoro Corp. | 26,500 | 607 |
* | Ultra Petroleum Corp. | 12,870 | 589 |
* | Superior Energy | ||
Services Inc. | 1,048 | 39 | |
476,929 | |||
Financials (15.0%) | |||
JPMorgan Chase & Co. | 1,170,021 | 47,901 | |
* | Berkshire Hathaway Inc. | ||
Class B | 547,391 | 42,363 | |
Wells Fargo & Co. | 1,236,508 | 34,696 | |
Citigroup Inc. | 681,300 | 28,369 |
Market | |||
Value | |||
Shares | ($000) | ||
Bank of America Corp. | 2,583,633 | 28,317 | |
Goldman Sachs Group Inc. | 139,830 | 18,610 | |
American Express Co. | 331,300 | 17,128 | |
Simon Property Group Inc. | 98,548 | 11,454 | |
Prudential Financial Inc. | 161,904 | 10,295 | |
US Bancorp | 392,700 | 10,018 | |
State Street Corp. | 191,478 | 8,634 | |
Aflac Inc. | 172,500 | 8,052 | |
MetLife Inc. | 175,820 | 7,713 | |
Franklin Resources Inc. | 58,200 | 7,641 | |
Public Storage | 58,200 | 6,635 | |
Discover Financial Services | 240,700 | 6,439 | |
Boston Properties Inc. | 60,200 | 6,391 | |
Ameriprise Financial Inc. | 107,660 | 6,210 | |
Charles Schwab Corp. | 377,200 | 6,205 | |
Capital One Financial Corp. | 117,800 | 6,087 | |
Travelers Cos. Inc. | 101,877 | 5,948 | |
Progressive Corp. | 276,700 | 5,916 | |
Loews Corp. | 138,908 | 5,847 | |
T Rowe Price Group Inc. | 92,978 | 5,610 | |
SunTrust Banks Inc. | 216,990 | 5,598 | |
Morgan Stanley | 238,900 | 5,497 | |
Host Hotels & Resorts Inc. | 308,972 | 5,237 | |
AvalonBay | |||
Communities Inc. | 38,375 | 4,927 | |
Fifth Third Bancorp | 368,920 | 4,704 | |
Bank of New York | |||
Mellon Corp. | 167,906 | 4,302 | |
Lincoln National Corp. | 150,986 | 4,302 | |
CME Group Inc. | 14,701 | 4,287 | |
* | CB Richard Ellis Group Inc. | ||
Class A | 170,465 | 4,280 | |
Unum Group | 166,800 | 4,250 | |
General Growth | |||
Properties Inc. | 252,757 | 4,218 | |
SL Green Realty Corp. | 49,410 | 4,095 | |
M&T Bank Corp. | 46,286 | 4,071 | |
Leucadia National Corp. | 116,219 | 3,963 | |
KeyCorp | 457,769 | 3,813 | |
* | Affiliated Managers | ||
Group Inc. | 36,800 | 3,733 | |
Plum Creek | |||
Timber Co. Inc. | 91,500 | 3,709 | |
Principal Financial | |||
Group Inc. | 120,400 | 3,663 | |
Reinsurance Group of | |||
America Inc. Class A | 58,819 | 3,580 | |
Torchmark Corp. | 55,500 | 3,560 | |
PNC Financial Services | |||
Group Inc. | 59,631 | 3,555 | |
* | Arch Capital Group Ltd. | 108,000 | 3,447 |
TD Ameritrade | |||
Holding Corp. | 174,400 | 3,403 | |
WR Berkley Corp. | 102,297 | 3,318 | |
* | CIT Group Inc. | 74,900 | 3,315 |
64
Tax-Managed Capital Appreciation Fund
Market | |||
Value | |||
Shares | ($000) | ||
Jones Lang LaSalle Inc. | 34,450 | 3,249 | |
* | Markel Corp. | 7,930 | 3,147 |
Allstate Corp. | 102,300 | 3,123 | |
* | American Capital Ltd. | 313,600 | 3,114 |
Zions Bancorporation | 129,284 | 3,104 | |
White Mountains | |||
Insurance Group Ltd. | 7,291 | 3,063 | |
Developers Diversified | |||
Realty Corp. | 216,364 | 3,051 | |
Brown & Brown Inc. | 118,600 | 3,043 | |
* | Forest City Enterprises Inc. | ||
Class A | 159,584 | 2,979 | |
East West Bancorp Inc. | 145,700 | 2,945 | |
Douglas Emmett Inc. | 147,673 | 2,937 | |
Hospitality Properties Trust | 119,270 | 2,892 | |
* | NASDAQ OMX Group Inc. | 114,092 | 2,887 |
HCC Insurance | |||
Holdings Inc. | 91,600 | 2,885 | |
Raymond James | |||
Financial Inc. | 89,650 | 2,882 | |
SEI Investments Co. | 123,770 | 2,786 | |
Alexandria Real Estate | |||
Equities Inc. | 35,930 | 2,782 | |
BlackRock Inc. | 14,450 | 2,772 | |
Commerce Bancshares Inc. | 63,687 | 2,739 | |
Assurant Inc. | 75,300 | 2,731 | |
Cullen/Frost Bankers Inc. | 47,600 | 2,706 | |
Camden Property Trust | 42,400 | 2,697 | |
Moody’s Corp. | 70,100 | 2,688 | |
* | Howard Hughes Corp. | 41,009 | 2,667 |
* | Popular Inc. | 958,268 | 2,645 |
Eaton Vance Corp. | 86,202 | 2,606 | |
* | Alleghany Corp. | 7,747 | 2,581 |
Apartment Investment & | |||
Management Co. | 101,043 | 2,580 | |
* | St. Joe Co. | 118,988 | 2,480 |
Associated Banc-Corp | 170,670 | 2,372 | |
People’s United | |||
Financial Inc. | 174,014 | 2,339 | |
City National Corp. | 42,000 | 2,278 | |
First Horizon National Corp. | 227,345 | 2,169 | |
Transatlantic Holdings Inc. | 44,114 | 2,162 | |
* | TFS Financial Corp. | 221,854 | 2,148 |
StanCorp Financial | |||
Group Inc. | 50,600 | 2,135 | |
BOK Financial Corp. | 38,571 | 2,113 | |
SLM Corp. | 123,245 | 2,072 | |
Lazard Ltd. Class A | 55,686 | 2,066 | |
Hudson City Bancorp Inc. | 251,902 | 2,063 | |
CNA Financial Corp. | 69,500 | 2,019 | |
Chubb Corp. | 30,900 | 1,935 | |
Janus Capital Group Inc. | 203,766 | 1,924 | |
Hanover Insurance | |||
Group Inc. | 49,600 | 1,870 |
Market | |||
Value | |||
Shares | ($000) | ||
First Citizens | |||
BancShares Inc. Class A | 9,642 | 1,805 | |
Digital Realty Trust Inc. | 28,440 | 1,757 | |
Hartford Financial Services | |||
Group Inc. | 64,184 | 1,693 | |
ProLogis Inc. | 44,814 | 1,606 | |
Northern Trust Corp. | 34,773 | 1,598 | |
Legg Mason Inc. | 47,500 | 1,556 | |
BB&T Corp. | 53,000 | 1,423 | |
Federated Investors Inc. | |||
Class B | 56,200 | 1,340 | |
New York Community | |||
Bancorp Inc. | 86,400 | 1,295 | |
American Financial | |||
Group Inc. | 32,200 | 1,149 | |
BRE Properties Inc. | 21,500 | 1,072 | |
* | Genworth Financial Inc. | ||
Class A | 96,700 | 994 | |
* | E*Trade Financial Corp. | 71,066 | 981 |
American International | |||
Group Inc. | 32,021 | 939 | |
Bank of Hawaii Corp. | 20,100 | 935 | |
AON Corp. | 16,400 | 841 | |
Interactive Brokers | |||
Group Inc. | 51,335 | 803 | |
ACE Ltd. | 10,627 | 699 | |
Federal Realty | |||
Investment Trust | 8,200 | 698 | |
Taubman Centers Inc. | 11,300 | 669 | |
Marshall & Ilsley Corp. | 49,700 | 396 | |
Invesco Ltd. | 12,010 | 281 | |
* | MBIA Inc. | 11,300 | 98 |
Essex Property Trust Inc. | 300 | 41 | |
584,401 | |||
Health Care (11.7%) | |||
Johnson & Johnson | 810,598 | 53,921 | |
Pfizer Inc. | 2,052,484 | 42,281 | |
Merck & Co. Inc. | 790,626 | 27,901 | |
Abbott Laboratories | 407,600 | 21,448 | |
UnitedHealth Group Inc. | 349,662 | 18,036 | |
* | Amgen Inc. | 296,325 | 17,291 |
* | Gilead Sciences Inc. | 277,600 | 11,495 |
WellPoint Inc. | 132,316 | 10,423 | |
Medtronic Inc. | 263,600 | 10,157 | |
* | Celgene Corp. | 166,372 | 10,036 |
* | Biogen Idec Inc. | 90,361 | 9,661 |
Allergan Inc. | 114,530 | 9,535 | |
Bristol-Myers Squibb Co. | 324,041 | 9,384 | |
* | Thermo Fisher | ||
Scientific Inc. | 143,306 | 9,227 | |
* | Express Scripts Inc. | 168,324 | 9,086 |
* | Medco Health | ||
Solutions Inc. | 153,742 | 8,689 | |
Baxter International Inc. | 127,341 | 7,601 |
65
Tax-Managed Capital Appreciation Fund
Market | |||
Value | |||
Shares | ($000) | ||
* | Agilent Technologies Inc. | 146,106 | 7,467 |
Becton Dickinson and Co. | 80,600 | 6,945 | |
Aetna Inc. | 157,144 | 6,928 | |
St. Jude Medical Inc. | 139,832 | 6,667 | |
Cardinal Health Inc. | 145,512 | 6,609 | |
CIGNA Corp. | 124,800 | 6,418 | |
Stryker Corp. | 109,200 | 6,409 | |
Humana Inc. | 76,300 | 6,145 | |
McKesson Corp. | 73,424 | 6,142 | |
AmerisourceBergen Corp. | |||
Class A | 132,300 | 5,477 | |
* | Forest Laboratories Inc. | 136,600 | 5,374 |
* | Zimmer Holdings Inc. | 81,170 | 5,130 |
Eli Lilly & Co. | 135,995 | 5,104 | |
* | Laboratory Corp. of | ||
America Holdings | 50,700 | 4,907 | |
* | Waters Corp. | 49,900 | 4,777 |
* | Mylan Inc. | 188,137 | 4,641 |
* | Watson | ||
Pharmaceuticals Inc. | 66,500 | 4,571 | |
* | Life Technologies Corp. | 86,835 | 4,522 |
* | Hospira Inc. | 77,140 | 4,371 |
Quest Diagnostics Inc. | 72,800 | 4,302 | |
Perrigo Co. | 47,840 | 4,204 | |
* | Henry Schein Inc. | 55,100 | 3,945 |
DENTSPLY | |||
International Inc. | 98,300 | 3,743 | |
* | Mettler-Toledo | ||
International Inc. | 22,100 | 3,728 | |
* | Endo Pharmaceuticals | ||
Holdings Inc. | 87,900 | 3,531 | |
Universal Health | |||
Services Inc. Class B | 67,400 | 3,473 | |
CR Bard Inc. | 29,300 | 3,219 | |
* | Coventry Health Care Inc. | 81,025 | 2,955 |
PerkinElmer Inc. | 106,204 | 2,858 | |
Patterson Cos. Inc. | 73,530 | 2,418 | |
* | Health Net Inc. | 74,200 | 2,381 |
Lincare Holdings Inc. | 78,950 | 2,311 | |
Pharmaceutical Product | |||
Development Inc. | 84,803 | 2,276 | |
Teleflex Inc. | 37,000 | 2,259 | |
* | CareFusion Corp. | 72,756 | 1,977 |
* | Varian Medical | ||
Systems Inc. | 26,500 | 1,856 | |
Covidien plc | 33,900 | 1,804 | |
* | Kinetic Concepts Inc. | 31,000 | 1,787 |
* | Boston Scientific Corp. | 205,500 | 1,420 |
* | Dendreon Corp. | 35,345 | 1,394 |
Omnicare Inc. | 40,900 | 1,304 | |
* | Cephalon Inc. | 10,500 | 839 |
* | Amylin Pharmaceuticals Inc. | 47,800 | 639 |
* | DaVita Inc. | 2,200 | 191 |
Techne Corp. | 2,000 | 167 | |
455,757 |
Market | |||
Value | |||
Shares | ($000) | ||
Industrials (11.6%) | |||
General Electric Co. | 2,917,272 | 55,020 | |
United Technologies Corp. | 280,100 | 24,792 | |
Boeing Co. | 236,770 | 17,504 | |
3M Co. | 154,200 | 14,626 | |
Caterpillar Inc. | 126,995 | 13,520 | |
Union Pacific Corp. | 123,914 | 12,937 | |
United Parcel Service Inc. | |||
Class B | 147,300 | 10,743 | |
FedEx Corp. | 110,700 | 10,500 | |
CSX Corp. | 398,800 | 10,456 | |
Danaher Corp. | 194,200 | 10,291 | |
Norfolk Southern Corp. | 130,500 | 9,778 | |
General Dynamics Corp. | 124,400 | 9,270 | |
Illinois Tool Works Inc. | 163,500 | 9,236 | |
Precision Castparts Corp. | 55,600 | 9,154 | |
Deere & Co. | 104,800 | 8,641 | |
Cummins Inc. | 77,600 | 8,031 | |
Emerson Electric Co. | 142,400 | 8,010 | |
Honeywell | |||
International Inc. | 131,400 | 7,830 | |
PACCAR Inc. | 142,910 | 7,301 | |
Parker Hannifin Corp. | 71,000 | 6,372 | |
CH Robinson | |||
Worldwide Inc. | 76,100 | 6,000 | |
Lockheed Martin Corp. | 72,700 | 5,886 | |
Fluor Corp. | 81,200 | 5,250 | |
Waste Management Inc. | 140,297 | 5,229 | |
Expeditors International of | |||
Washington Inc. | 101,061 | 5,173 | |
ITT Corp. | 87,100 | 5,133 | |
Northrop Grumman Corp. | 72,268 | 5,012 | |
Joy Global Inc. | 52,500 | 5,000 | |
Fastenal Co. | 138,000 | 4,967 | |
WW Grainger Inc. | 31,800 | 4,886 | |
L-3 Communications | |||
Holdings Inc. | 54,000 | 4,722 | |
Rockwell Collins Inc. | 73,700 | 4,547 | |
Roper Industries Inc. | 54,200 | 4,515 | |
Raytheon Co. | 88,118 | 4,393 | |
* | Stericycle Inc. | 48,408 | 4,314 |
AMETEK Inc. | 94,650 | 4,250 | |
Pall Corp. | 73,800 | 4,150 | |
Bucyrus International Inc. | |||
Class A | 44,739 | 4,101 | |
Southwest Airlines Co. | 351,687 | 4,016 | |
Iron Mountain Inc. | 114,088 | 3,889 | |
Donaldson Co. Inc. | 60,000 | 3,641 | |
Flowserve Corp. | 33,000 | 3,626 | |
* | WABCO Holdings Inc. | 51,941 | 3,587 |
JB Hunt Transport | |||
Services Inc. | 73,500 | 3,461 | |
KBR Inc. | 89,249 | 3,364 | |
* | Jacobs Engineering | ||
Group Inc. | 77,700 | 3,360 |
66
Tax-Managed Capital Appreciation Fund
Market | |||
Value | |||
Shares | ($000) | ||
IDEX Corp. | 71,845 | 3,294 | |
Equifax Inc. | 93,200 | 3,236 | |
Carlisle Cos. Inc. | 65,200 | 3,210 | |
* | Owens Corning | 83,900 | 3,134 |
SPX Corp. | 37,400 | 3,091 | |
MSC Industrial Direct Co. | |||
Class A | 44,700 | 2,964 | |
Manpower Inc. | 54,600 | 2,929 | |
Valmont Industries Inc. | 29,537 | 2,847 | |
Landstar System Inc. | 59,289 | 2,756 | |
* | Quanta Services Inc. | 136,100 | 2,749 |
Dun & Bradstreet Corp. | 36,200 | 2,735 | |
* | Terex Corp. | 96,066 | 2,733 |
Toro Co. | 40,100 | 2,426 | |
Robert Half | |||
International Inc. | 87,500 | 2,365 | |
Alliant Techsystems Inc. | 33,100 | 2,361 | |
Cintas Corp. | 70,766 | 2,337 | |
* | Oshkosh Corp. | 79,200 | 2,292 |
Wabtec Corp. | 33,000 | 2,169 | |
* | CNH Global NV | 53,400 | 2,064 |
Stanley Black & | |||
Decker Inc. | 26,745 | 1,927 | |
Con-way Inc. | 46,800 | 1,816 | |
* | Verisk Analytics Inc. | ||
Class A | 51,500 | 1,783 | |
Gardner Denver Inc. | 19,846 | 1,668 | |
* | Navistar International Corp. | 28,500 | 1,609 |
UTi Worldwide Inc. | 77,587 | 1,528 | |
Lennox International Inc. | 35,090 | 1,511 | |
Textron Inc. | 61,020 | 1,441 | |
Graco Inc. | 27,658 | 1,401 | |
Tyco International Ltd. | 25,300 | 1,251 | |
Manitowoc Co. Inc. | 62,200 | 1,047 | |
Republic Services Inc. | |||
Class A | 19,512 | 602 | |
* | Huntington Ingalls | ||
Industries Inc. | 12,044 | 415 | |
* | KAR Auction Services Inc. | 10,953 | 207 |
Ryder System Inc. | 3,600 | 205 | |
* | AGCO Corp. | 3,600 | 178 |
* | TransDigm Group Inc. | 1,380 | 126 |
450,891 | |||
Information Technology (17.7%) | |||
* | Apple Inc. | 267,000 | 89,624 |
International Business | |||
Machines Corp. | 354,558 | 60,824 | |
Microsoft Corp. | 2,063,000 | 53,638 | |
* | Google Inc. Class A | 75,260 | 38,110 |
Oracle Corp. | 1,156,334 | 38,055 | |
Intel Corp. | 1,389,200 | 30,785 | |
Cisco Systems Inc. | 1,697,600 | 26,500 | |
Hewlett-Packard Co. | 673,258 | 24,507 | |
Qualcomm Inc. | 415,720 | 23,609 | |
* | EMC Corp. | 669,500 | 18,445 |
Market | |||
Value | |||
Shares | ($000) | ||
Visa Inc. Class A | 157,298 | 13,254 | |
* | eBay Inc. | 397,914 | 12,841 |
Texas Instruments Inc. | 389,800 | 12,797 | |
Mastercard Inc. Class A | 35,790 | 10,785 | |
Corning Inc. | 504,200 | 9,151 | |
* | Yahoo! Inc. | 503,300 | 7,570 |
* | NetApp Inc. | 137,963 | 7,282 |
* | Dell Inc. | 415,500 | 6,926 |
Broadcom Corp. Class A | 203,950 | 6,861 | |
* | Adobe Systems Inc. | 210,600 | 6,623 |
* | Symantec Corp. | 335,351 | 6,613 |
* | Cognizant Technology S | ||
olutions Corp. Class A | 89,337 | 6,552 | |
Altera Corp. | 140,647 | 6,519 | |
* | Citrix Systems Inc. | 80,756 | 6,460 |
* | Intuit Inc. | 124,185 | 6,440 |
Xerox Corp. | 577,604 | 6,013 | |
Western Union Co. | 298,095 | 5,971 | |
Applied Materials Inc. | 417,500 | 5,432 | |
* | Teradata Corp. | 84,674 | 5,097 |
* | BMC Software Inc. | 91,600 | 5,011 |
Accenture plc Class A | 82,713 | 4,998 | |
* | Fiserv Inc. | 78,050 | 4,888 |
Amphenol Corp. Class A | 89,500 | 4,832 | |
Analog Devices Inc. | 118,166 | 4,625 | |
CA Inc. | 201,266 | 4,597 | |
* | Autodesk Inc. | 117,288 | 4,527 |
Fidelity National | |||
Information Services Inc. | 146,178 | 4,501 | |
* | Western Digital Corp. | 114,100 | 4,151 |
Linear Technology Corp. | 124,200 | 4,101 | |
* | NVIDIA Corp. | 255,244 | 4,067 |
KLA-Tencor Corp. | 94,800 | 3,837 | |
* | Juniper Networks Inc. | 119,000 | 3,748 |
* | Arrow Electronics Inc. | 84,500 | 3,507 |
* | Atmel Corp. | 248,700 | 3,499 |
* | LSI Corp. | 488,428 | 3,478 |
* | Lam Research Corp. | 77,108 | 3,414 |
Global Payments Inc. | 66,817 | 3,408 | |
* | Avnet Inc. | 105,400 | 3,360 |
Computer Sciences Corp. | 78,900 | 2,995 | |
* | Tech Data Corp. | 55,510 | 2,714 |
Xilinx Inc. | 71,336 | 2,602 | |
* | Compuware Corp. | 258,162 | 2,520 |
Automatic Data | |||
Processing Inc. | 47,100 | 2,481 | |
* | Fairchild Semiconductor | ||
International Inc. Class A | 147,958 | 2,472 | |
Microchip Technology Inc. | 65,100 | 2,468 | |
National | |||
Semiconductor Corp. | 96,600 | 2,377 | |
* | Synopsys Inc. | 89,121 | 2,291 |
* | Monster Worldwide Inc. | 156,058 | 2,288 |
* | Motorola Solutions Inc. | 49,604 | 2,284 |
* | Ingram Micro Inc. | 125,000 | 2,267 |
67
Tax-Managed Capital Appreciation Fund
Market | |||
Value | |||
Shares | ($000) | ||
DST Systems Inc. | 42,800 | 2,260 | |
* | Cadence Design | ||
Systems Inc. | 205,607 | 2,171 | |
* | Electronic Arts Inc. | 90,200 | 2,129 |
* | QLogic Corp. | 129,000 | 2,054 |
* | NCR Corp. | 99,574 | 1,881 |
Molex Inc. | 69,751 | 1,797 | |
* | Teradyne Inc. | 110,200 | 1,631 |
* | Lexmark International Inc. | ||
Class A | 50,300 | 1,472 | |
Broadridge Financial | |||
Solutions Inc. | 58,725 | 1,413 | |
Total System Services Inc. | 74,759 | 1,389 | |
Solera Holdings Inc. | 22,096 | 1,307 | |
Lender Processing | |||
Services Inc. | 61,250 | 1,281 | |
Tellabs Inc. | 266,900 | 1,230 | |
* | Zebra Technologies Corp. | 27,257 | 1,149 |
* | Motorola Mobility | ||
Holdings Inc. | 43,403 | 957 | |
* | IAC/InterActiveCorp | 24,515 | 936 |
* | AOL Inc. | 34,240 | 680 |
* | Advanced Micro | ||
Devices Inc. | 81,100 | 567 | |
* | Novellus Systems Inc. | 13,100 | 473 |
* | Micron Technology Inc. | 56,400 | 422 |
Activision Blizzard Inc. | 32,800 | 383 | |
Harris Corp. | 4,300 | 194 | |
* | SunPower Corp. Class A | 8,219 | 159 |
Intersil Corp. Class A | 10,400 | 134 | |
689,661 | |||
Materials (4.3%) | |||
Freeport-McMoRan | |||
Copper & Gold Inc. | 294,908 | 15,601 | |
Praxair Inc. | 108,400 | 11,749 | |
Newmont Mining Corp. | 164,386 | 8,872 | |
EI du Pont de | |||
Nemours & Co. | 160,300 | 8,664 | |
Dow Chemical Co. | 178,640 | 6,431 | |
Monsanto Co. | 82,434 | 5,980 | |
Ecolab Inc. | 97,200 | 5,480 | |
LyondellBasell Industries | |||
NV Class A | 140,000 | 5,393 | |
Nucor Corp. | 129,600 | 5,342 | |
CF Industries Holdings Inc. | 35,300 | 5,001 | |
Sigma-Aldrich Corp. | 67,400 | 4,946 | |
Mosaic Co. | 71,400 | 4,836 | |
Celanese Corp. Class A | 87,011 | 4,639 | |
Albemarle Corp. | 60,400 | 4,180 | |
Ball Corp. | 107,100 | 4,119 | |
FMC Corp. | 47,400 | 4,077 | |
* | Crown Holdings Inc. | 103,000 | 3,998 |
Cliffs Natural | |||
Resources Inc. | 42,761 | 3,953 |
Market | |||
Value | |||
Shares | ($000) | ||
Allegheny | |||
Technologies Inc. | 60,900 | 3,865 | |
United States Steel Corp. | 79,356 | 3,654 | |
Airgas Inc. | 51,500 | 3,607 | |
* | Rockwood Holdings Inc. | 58,800 | 3,251 |
* | Allied Nevada Gold Corp. | 91,800 | 3,247 |
* | Owens-Illinois Inc. | 125,200 | 3,231 |
Cytec Industries Inc. | 54,300 | 3,105 | |
Nalco Holding Co. | 104,639 | 2,910 | |
* | Solutia Inc. | 124,800 | 2,852 |
Scotts Miracle-Gro Co. | |||
Class A | 51,099 | 2,622 | |
* | Intrepid Potash Inc. | 79,685 | 2,590 |
Titanium Metals Corp. | 139,110 | 2,549 | |
Sealed Air Corp. | 106,072 | 2,523 | |
Martin Marietta | |||
Materials Inc. | 30,600 | 2,447 | |
Schnitzer Steel | |||
Industries Inc. | 41,475 | 2,389 | |
Reliance Steel & | |||
Aluminum Co. | 46,300 | 2,299 | |
* | Molycorp Inc. | 31,500 | 1,923 |
Walter Energy Inc. | 11,780 | 1,364 | |
Royal Gold Inc. | 20,686 | 1,212 | |
International Paper Co. | 35,900 | 1,071 | |
Valspar Corp. | 23,400 | 844 | |
Packaging Corp. of | |||
America | 26,600 | 745 | |
Southern Copper Corp. | 21,000 | 690 | |
* | WR Grace & Co. | 12,500 | 570 |
Air Products & | |||
Chemicals Inc. | 5,700 | 545 | |
169,366 | |||
Telecommunication Services (3.0%) | |||
AT&T Inc. | 1,749,979 | 54,967 | |
Verizon | |||
Communications Inc. | 711,342 | 26,483 | |
* | American Tower Corp. | ||
Class A | 157,000 | 8,216 | |
* | Sprint Nextel Corp. | 1,239,656 | 6,682 |
CenturyLink Inc. | 145,600 | 5,886 | |
* | Crown Castle | ||
International Corp. | 130,600 | 5,327 | |
* | SBA | ||
Communications Corp. | |||
Class A | 52,823 | 2,017 | |
* | Level 3 | ||
Communications Inc. | 669,207 | 1,633 | |
* | United States | ||
Cellular Corp. | 32,300 | 1,564 | |
Telephone & | |||
Data Systems Inc. | 43,601 | 1,355 | |
Frontier | |||
Communications Corp. | 126,223 | 1,019 |
68
Tax-Managed Capital Appreciation Fund
Market | |||
Value | |||
Shares | ($000) | ||
Telephone & | |||
Data Systems Inc. - | |||
Special Common Shares | 33,200 | 894 | |
116,043 | |||
Utilities (3.0%) | |||
Exelon Corp. | 182,000 | 7,797 | |
NextEra Energy Inc. | 122,451 | 7,036 | |
PG&E Corp. | 145,600 | 6,120 | |
FirstEnergy Corp. | 137,900 | 6,088 | |
Sempra Energy | 107,736 | 5,697 | |
Edison International | 142,500 | 5,522 | |
Entergy Corp. | 77,000 | 5,258 | |
Southern Co. | 121,500 | 4,906 | |
* | AES Corp. | 352,898 | 4,496 |
CenterPoint Energy Inc. | 223,800 | 4,330 | |
Wisconsin Energy Corp. | 132,000 | 4,138 | |
* | NRG Energy Inc. | 166,615 | 4,095 |
* | Calpine Corp. | 241,180 | 3,890 |
Northeast Utilities | 110,600 | 3,890 | |
NSTAR | 76,600 | 3,522 | |
CMS Energy Corp. | 173,986 | 3,426 | |
Dominion Resources Inc. | 67,086 | 3,238 | |
Integrys Energy Group Inc. | 61,481 | 3,187 | |
NV Energy Inc. | 201,083 | 3,087 | |
MDU Resources | |||
Group Inc. | 137,050 | 3,084 | |
Duke Energy Corp. | 163,592 | 3,080 | |
SCANA Corp. | 74,200 | 2,921 | |
* | GenOn Energy Inc. | 729,429 | 2,816 |
ITC Holdings Corp. | 36,166 | 2,596 | |
American Water | |||
Works Co. Inc. | 87,200 | 2,568 | |
Aqua America Inc. | 107,583 | 2,365 | |
Public Service Enterprise | |||
Group Inc. | 69,800 | 2,278 | |
DPL Inc. | 75,000 | 2,262 | |
Questar Corp. | 115,800 | 2,051 | |
National Fuel Gas Co. | 19,487 | 1,419 | |
UGI Corp. | 34,466 | 1,099 | |
NiSource Inc. | 35,920 | 727 | |
American Electric | |||
Power Co. Inc. | 9,300 | 350 | |
119,339 | |||
Total Common Stocks | |||
(Cost $2,783,275) | 3,897,491 |
Market | ||
Value | ||
Shares | ($000) | |
Temporary Cash Investment (0.2%) | ||
Money Market Fund (0.2%) | ||
1 Vanguard Market | ||
Liquidity Fund, 0.140% | ||
(Cost $6,018) | 6,017,536 | 6,018 |
Total Investments (100.2%) | ||
(Cost $2,789,293) | 3,903,509 | |
Other Assets and Liabilities (-0.2%) | ||
Other Assets | 4,856 | |
Liabilities | (11,442) | |
(6,586) | ||
Net Assets (100%) | 3,896,923 |
At June 30, 2011, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 2,846,812 |
Undistributed Net Investment Income | 23,909 |
Accumulated Net Realized Losses | (88,014) |
Unrealized Appreciation (Depreciation) | 1,114,216 |
Net Assets | 3,896,923 |
Admiral Shares—Net Assets | |
Applicable to 53,898,410 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 3,590,170 |
Net Asset Value Per Share— | |
Admiral Shares | $66.61 |
Institutional Shares—Net Assets | |
Applicable to 9,266,368 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 306,753 |
Net Asset Value Per Share— | |
Institutional Shares | $33.10 |
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.
See accompanying Notes, which are an integral part of the Financial Statements.
69
Tax-Managed Capital Appreciation Fund
Statement of Operations | |
Six Months Ended | |
June 30, 2011 | |
($000) | |
Investment Income | |
Income | |
Dividends | 31,539 |
Interest1 | 2 |
Total Income | 31,541 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 214 |
Management and Administrative—Investor Shares | 259 |
Management and Administrative—Admiral Shares | 1,447 |
Management and Administrative—Institutional Shares | 73 |
Marketing and Distribution—Investor Shares | 56 |
Marketing and Distribution—Admiral Shares | 250 |
Marketing and Distribution—Institutional Shares | 25 |
Custodian Fees | 26 |
Shareholders’ Reports—Admiral Shares | 17 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | 2 |
Total Expenses | 2,369 |
Net Investment Income | 29,172 |
Realized Net Gain (Loss) on Investment Securities Sold | 49,652 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 162,504 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 241,328 |
1 Interest income from an affiliated company of the fund was $2,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
70
Tax-Managed Capital Appreciation Fund
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2011 | 2010 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 29,172 | 53,670 |
Realized Net Gain (Loss) | 49,652 | (74,140) |
Change in Unrealized Appreciation (Depreciation) | 162,504 | 539,562 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 241,328 | 519,092 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (76) | (8,130) |
Admiral Shares | (410) | (41,753) |
Institutional Shares | (36) | (4,226) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (522) | (54,109) |
Capital Share Transactions | ||
Investor Shares | (632,954) | (45,480) |
Admiral Shares | 552,072 | (22,214) |
Institutional Shares | 6,324 | 22,378 |
Net Increase (Decrease) from Capital Share Transactions | (74,558) | (45,316) |
Total Increase (Decrease) | 166,248 | 419,667 |
Net Assets | ||
Beginning of Period | 3,730,675 | 3,311,008 |
End of Period1 | 3,896,923 | 3,730,675 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $23,909,000 and ($4,741,000). |
See accompanying Notes, which are an integral part of the Financial Statements.
71
Tax-Managed Capital Appreciation Fund
Financial Highlights
Investor Shares | ||||||
January 1, | ||||||
2011 to | ||||||
For a Share Outstanding | May 13, | Year Ended December 31, | ||||
Throughout Each Period | 20111 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $31.09 | $27.19 | $21.39 | $35.13 | $33.62 | $29.80 |
Investment Operations | ||||||
Net Investment Income | .232 | .431 | .410 | .498 | .530 | .471 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.082 | 3.903 | 5.799 | (13.738) | 1.513 | 3.821 |
Total from Investment Operations | 2.314 | 4.334 | 6.209 | (13.240) | 2.043 | 4.292 |
Distributions | ||||||
Dividends from Net Investment Income | (.004) | (.434) | (.409) | (.500) | (.533) | (.472) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.004) | (.434) | (.409) | (.500) | (.533) | (.472) |
Net Asset Value, End of Period | $33.401 | $31.09 | $27.19 | $21.39 | $35.13 | $33.62 |
Total Return2 | 7.44% | 15.94% | 29.03% | -37.63% | 6.07% | 14.40% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $— | $589 | $560 | $473 | $782 | $832 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.17% | 0.20% | 0.21% | 0.16% | 0.15% | 0.15% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.43% | 1.51% | 1.74% | 1.66% | 1.51% | 1.51% |
Portfolio Turnover Rate | 3% | 7% | 26% | 8% | 5% | 5% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Net asset value as of May 13, 2011, at which date the Investor Shares were converted to Admiral Shares.
2 Total returns do not include transaction or account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction and account service fees.
See accompanying Notes, which are an integral part of the Financial Statements.
72
Tax-Managed Capital Appreciation Fund
Financial Highlights
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $62.56 | $54.72 | $43.04 | $70.70 | $67.68 | $60.00 |
Investment Operations | ||||||
Net Investment Income | .495 | .915 | .855 | 1.040 | 1.113 | .990 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 3.564 | 7.849 | 11.673 | (27.656) | 3.026 | 7.680 |
Total from Investment Operations | 4.059 | 8.764 | 12.528 | (26.616) | 4.139 | 8.670 |
Distributions | ||||||
Dividends from Net Investment Income | (.009) | (.924) | (.848) | (1.044) | (1.119) | (.990) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.009) | (.924) | (.848) | (1.044) | (1.119) | (.990) |
Net Asset Value, End of Period | $66.61 | $62.56 | $54.72 | $43.04 | $70.70 | $67.68 |
Total Return1 | 6.49% | 16.02% | 29.11% | -37.58% | 6.11% | 14.44% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,590 | $2,860 | $2,526 | $2,045 | $3,283 | $2,941 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.12% | 0.12% | 0.15% | 0.10% | 0.09% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.45% | 1.59% | 1.80% | 1.72% | 1.57% | 1.56% |
Portfolio Turnover Rate | 3% | 7% | 26% | 8% | 5% | 5% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include transaction fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction fees.
See accompanying Notes, which are an integral part of the Financial Statements.
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Tax-Managed Capital Appreciation Fund
Financial Highlights
Institutional Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $31.09 | $27.19 | $21.38 | $35.13 | $33.63 | $29.81 |
Investment Operations | ||||||
Net Investment Income | .255 | .466 | .439 | .525 | .551 | .500 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.759 | 3.905 | 5.806 | (13.748) | 1.513 | 3.820 |
Total from Investment Operations | 2.014 | 4.371 | 6.245 | (13.223) | 2.064 | 4.320 |
Distributions | ||||||
Dividends from Net Investment Income | (.004) | (.471) | (.435) | (.527) | (.564) | (.500) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.004) | (.471) | (.435) | (.527) | (.564) | (.500) |
Net Asset Value, End of Period | $33.10 | $31.09 | $27.19 | $21.38 | $35.13 | $33.63 |
Total Return1 | 6.48% | 16.08% | 29.21% | -37.57% | 6.13% | 14.49% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $307 | $282 | $225 | $185 | $291 | $218 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.09% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.49% | 1.63% | 1.86% | 1.75% | 1.59% | 1.59% |
Portfolio Turnover Rate | 3% | 7% | 26% | 8% | 5% | 5% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include transaction fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction fees.
See accompanying Notes, which are an integral part of the Financial Statements.
74
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 two classes of shares: Admiral Shares and Institutional Shares. Admiral Shares are available to any investor who meets the fund’s minimum purchase requirements. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. Prior to May 14, 2011, the fund offered Investor Shares. Effective at the close of business on May 13, 2011, the Investor Shares were converted to Admiral Shares.
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 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value.
2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2007–2010), and for the period ended June 30, 2011, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
3. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
4. 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
75
Tax-Managed Capital Appreciation Fund
in capital contributions to Vanguard. At June 30, 2011, the fund had contributed capital of $625,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 0.25% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
At June 30, 2011, 100% of the fund’s investments were valued based on Level 1 inputs.
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2010, the fund had available capital loss carryforwards totaling $134,312,000 to offset future net capital gains of $771,000 through December 31, 2011, $62,755,000 through December 31, 2016, and $70,786,000 through December 31, 2018. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2011; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2011, the cost of investment securities for tax purposes was $2,789,293,000. Net unrealized appreciation of investment securities for tax purposes was $1,114,216,000, consisting of unrealized gains of $1,228,049,000 on securities that had risen in value since their purchase and $113,833,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended June 30, 2011, the fund purchased $60,062,000 of investment securities and sold $103,973,000 of investment securities, other than temporary cash investments.
76
Tax-Managed Capital Appreciation Fund
F. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2011 | December 31, 2010 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 19,204 | 593 | 37,577 | 1,336 |
Issued in Lieu of Cash Distributions | 66 | 2 | 7,111 | 229 |
Redeemed1,2 | (652,224) | (19,543) | (90,168) | (3,219) |
Net Increase (Decrease)—Investor Shares | (632,954) | (18,948) | (45,480) | (1,654) |
Admiral Shares | ||||
Issued2 | 681,586 | 10,159 | 120,657 | 2,125 |
Issued in Lieu of Cash Distributions | 319 | 5 | 32,472 | 520 |
Redeemed1 | (129,833) | (1,977) | (175,343) | (3,090) |
Net Increase (Decrease)—Admiral Shares | 552,072 | 8,187 | (22,214) | (445) |
Institutional Shares | ||||
Issued | 14,470 | 445 | 22,531 | 793 |
Issued in Lieu of Cash Distributions | 23 | 1 | 2,641 | 85 |
Redeemed1 | (8,169) | (244) | (2,794) | (101) |
Net Increase (Decrease)—Institutional Shares | 6,324 | 202 | 22,378 | 777 |
1 Net of redemption fees for fiscal 2011 and 2010 of $112,000 and $392,000, respectively (fund totals). Effective April 28, 2011, the redemption fee was eliminated.
2 Investor Shares redeemed and Admiral Shares issued reflect $624,890,000 from the conversion of 18,707,000 Investor Shares to 9,293,000 Admiral Shares at the close of business on May 13, 2011.
G. In preparing the financial statements as of June 30, 2011, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
77
Tax-Managed Small-Cap Fund
Fund Profile
As of June 30, 2011
Share-Class Characteristics | ||
Admiral | Institutional | |
Shares | Shares | |
Ticker Symbol | VTMSX | VTSIX |
Expense Ratio1 | 0.18% | 0.08% |
30-Day SEC Yield | 0.93% | 0.94% |
Portfolio Characteristics | |||
DJ | |||
S&P | U.S. Total | ||
SmallCap | Market | ||
Fund | 600 Index | Index | |
Number of Stocks | 602 | 600 | 3,745 |
Median Market Cap | $1.2B | $1.2B | $30.8B |
Price/Earnings Ratio | 21.8x | 22.6x | 17.1x |
Price/Book Ratio | 2.0x | 1.9x | 2.2x |
Return on Equity | 11.2% | 11.1% | 19.1% |
Earnings Growth Rate | 6.1% | 5.2% | 5.8% |
Dividend Yield | 0.9% | 1.1% | 1.8% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 49% | — | — |
Short-Term Reserves | 0.1% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
S&P | U.S. Total | ||
SmallCap | Market | ||
Fund 600 Index | Index | ||
Consumer | |||
Discretionary | 15.0% | 14.7% | 12.2% |
Consumer Staples | 4.1 | 4.1 | 9.7 |
Energy | 4.3 | 5.0 | 11.2 |
Financials | 18.4 | 18.9 | 15.4 |
Health Care | 12.9 | 12.7 | 11.3 |
Industrials | 15.9 | 15.6 | 11.6 |
Information | |||
Technology | 19.3 | 19.1 | 18.4 |
Materials | 5.4 | 5.3 | 4.4 |
Telecommunication | |||
Services | 0.7 | 0.7 | 2.6 |
Utilities | 4.0 | 3.9 | 3.2 |
Volatility Measures | ||
DJ | ||
U.S. Total | ||
S&P SmallCap | Market | |
600 Index | Index | |
R-Squared | 1.00 | 0.90 |
Beta | 0.99 | 1.17 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
Ten Largest Holdings (% of total net assets) | ||
Regeneron | ||
Pharmaceuticals Inc. | Biotechnology | 0.8% |
AMERIGROUP Corp. | Managed Health | |
Care | 0.7 | |
Healthspring Inc. | Managed Health | |
Care | 0.6 | |
Lufkin Industries Inc. | Oil & Gas | |
Equipment & | ||
Services | 0.5 | |
World Fuel Services | Oil & Gas Refining | |
Corp. | & Marketing | 0.5 |
Robbins & Myers Inc. | Industrial | |
Machinery | 0.5 | |
CLARCOR Inc. | Industrial | |
Machinery | 0.5 | |
Signature Bank | Regional Banks | 0.5 |
Esterline Technologies | Aerospace & | |
Corp. | Defense | 0.5 |
Salix Pharmaceuticals | ||
Ltd. | Pharmaceuticals | 0.5 |
Top Ten | 5.6% |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
1 The expense ratios shown are from the prospectus dated July 15, 2011, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2011, the annualized expense ratios were 0.14% for Admiral Shares and 0.08% for Institutional Shares.
78
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 vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): December 31, 2000, Through June 30, 2011
Average Annual Total Returns: Periods Ended June 30, 2011 | ||||
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Admiral Shares | 3/25/1999 | 36.89% | 4.73% | 7.83% |
Institutional Shares | 4/21/1999 | 36.95 | 4.80 | 7.90 |
See Financial Highlights for dividend and capital gains information.
79
Tax-Managed Small-Cap Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2011
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (100.1%) | |||
Consumer Discretionary (15.1%) | |||
* | CROCS Inc. | 383,201 | 9,867 |
Wolverine World Wide Inc. | 215,132 | 8,982 | |
Brunswick Corp. | 385,774 | 7,870 | |
* | Live Nation | ||
Entertainment Inc. | 677,957 | 7,776 | |
* | Carter’s Inc. | 250,492 | 7,705 |
* | Iconix Brand Group Inc. | 315,915 | 7,645 |
Men’s Wearhouse Inc. | 222,933 | 7,513 | |
* | Coinstar Inc. | 135,823 | 7,408 |
Hillenbrand Inc. | 271,797 | 6,428 | |
Pool Corp. | 209,916 | 6,258 | |
* | JOS A Bank Clothiers Inc. | 120,152 | 6,009 |
* | Steven Madden Ltd. | 152,092 | 5,705 |
* | HSN Inc. | 169,788 | 5,589 |
* | Genesco Inc. | 102,546 | 5,343 |
* | Buffalo Wild Wings Inc. | 79,547 | 5,275 |
* | BJ’s Restaurants Inc. | 99,148 | 5,191 |
* | Vitamin Shoppe Inc. | 111,445 | 5,100 |
* | Childrens Place Retail | ||
Stores Inc. | 112,962 | 5,026 | |
Finish Line Inc. Class A | 233,520 | 4,997 | |
Cracker Barrel Old Country | |||
Store Inc. | 100,639 | 4,962 | |
Monro Muffler Brake Inc. | 132,406 | 4,937 | |
Buckle Inc. | 114,831 | 4,903 | |
* | Jack in the Box Inc. | 215,174 | 4,902 |
Arbitron Inc. | 117,710 | 4,865 | |
* | Hibbett Sports Inc. | 118,300 | 4,816 |
* | Cabela’s Inc. | 176,529 | 4,793 |
* | Helen of Troy Ltd. | 134,091 | 4,630 |
Texas Roadhouse Inc. | |||
Class A | 254,562 | 4,464 | |
* | Select Comfort Corp. | 241,383 | 4,340 |
Group 1 Automotive Inc. | 104,085 | 4,286 | |
* | Pinnacle Entertainment Inc. | 269,413 | 4,014 |
PF Chang’s China | |||
Bistro Inc. | 99,146 | 3,990 |
Market | |||
Value | |||
Shares | ($000) | ||
Cato Corp. Class A | 128,187 | 3,692 | |
* | DineEquity Inc. | 68,998 | 3,606 |
CEC Entertainment Inc. | 88,199 | 3,538 | |
* | American Public | ||
Education Inc. | 77,468 | 3,448 | |
* | Peet’s Coffee & Tea Inc. | 56,965 | 3,287 |
* | True Religion Apparel Inc. | 111,660 | 3,247 |
* | Meritage Homes Corp. | 140,699 | 3,174 |
* | Ruby Tuesday Inc. | 283,007 | 3,051 |
* | Capella Education Co. | 70,787 | 2,962 |
* | Papa John’s | ||
International Inc. | 87,363 | 2,906 | |
* | Sonic Corp. | 268,680 | 2,856 |
* | Pre-Paid Legal | ||
Services Inc. | 42,414 | 2,820 | |
* | Maidenform Brands Inc. | 101,492 | 2,807 |
* | Blue Nile Inc. | 63,309 | 2,784 |
Stage Stores Inc. | 158,925 | 2,670 | |
* | Quiksilver Inc. | 566,414 | 2,662 |
Ethan Allen Interiors Inc. | 124,706 | 2,655 | |
* | Lumber Liquidators | ||
Holdings Inc. | 102,036 | 2,592 | |
PEP Boys-Manny Moe | |||
& Jack | 228,154 | 2,494 | |
* | Red Robin Gourmet | ||
Burgers Inc. | 68,208 | 2,481 | |
Fred’s Inc. Class A | 171,310 | 2,472 | |
* | Interval Leisure Group Inc. | 177,395 | 2,429 |
* | Biglari Holdings Inc. | 6,209 | 2,428 |
* | Zumiez Inc. | 91,392 | 2,282 |
Sonic Automotive Inc. | |||
Class A | 154,336 | 2,261 | |
Superior Industries | |||
International Inc. | 101,704 | 2,249 | |
* | La-Z-Boy Inc. | 226,073 | 2,231 |
* | Skechers U.S.A. Inc. | ||
Class A | 153,117 | 2,217 | |
* | Liz Claiborne Inc. | 411,913 | 2,204 |
* | Shuffle Master Inc. | 234,920 | 2,198 |
80
Tax-Managed Small-Cap Fund
Market | |||
Value | |||
Shares | ($000) | ||
* | Jakks Pacific Inc. | 118,388 | 2,179 |
* | Boyd Gaming Corp. | 250,367 | 2,178 |
* | Rue21 Inc. | 65,628 | 2,133 |
Drew Industries Inc. | 83,767 | 2,071 | |
Brown Shoe Co. Inc. | 192,013 | 2,045 | |
Oxford Industries Inc. | 60,492 | 2,042 | |
* | California Pizza Kitchen Inc. | 106,797 | 1,973 |
Lithia Motors Inc. Class A | 94,940 | 1,864 | |
Universal Technical | |||
Institute Inc. | 91,759 | 1,814 | |
Sturm Ruger & Co. Inc. | 81,969 | 1,799 | |
Callaway Golf Co. | 279,594 | 1,739 | |
Lincoln Educational | |||
Services Corp. | 100,820 | 1,729 | |
Nutrisystem Inc. | 117,608 | 1,654 | |
* | Universal Electronics Inc. | 65,257 | 1,648 |
* | Corinthian Colleges Inc. | 370,300 | 1,577 |
HOT Topic Inc. | 194,864 | 1,450 | |
* | Standard Pacific Corp. | 429,522 | 1,439 |
Harte-Hanks Inc. | 173,694 | 1,410 | |
* | Perry Ellis International Inc. | 54,835 | 1,385 |
* | EW Scripps Co. Class A | 136,900 | 1,324 |
Standard Motor | |||
Products Inc. | 85,912 | 1,308 | |
Movado Group Inc. | 75,554 | 1,293 | |
* | K-Swiss Inc. Class A | 118,681 | 1,262 |
* | Winnebago Industries Inc. | 127,199 | 1,229 |
Blyth Inc. | 23,620 | 1,189 | |
PetMed Express Inc. | 98,156 | 1,163 | |
Stein Mart Inc. | 117,075 | 1,129 | |
* | M/I Homes Inc. | 81,166 | 995 |
Haverty Furniture Cos. Inc. | 81,069 | 933 | |
Marcus Corp. | 94,200 | 931 | |
* | MarineMax Inc. | 100,758 | 883 |
* | Kirkland’s Inc. | 68,921 | 828 |
Spartan Motors Inc. | 144,674 | 781 | |
* | Ruth’s Hospitality | ||
Group Inc. | 135,756 | 762 | |
Big 5 Sporting Goods Corp. | 95,867 | 753 | |
* | Tuesday Morning Corp. | 161,988 | 753 |
* | Arctic Cat Inc. | 54,049 | 726 |
* | O’Charleys Inc. | 84,226 | 616 |
* | Audiovox Corp. Class A | 81,075 | 613 |
* | Zale Corp. | 100,375 | 562 |
* | Multimedia Games | ||
Holding Co. Inc. | 117,956 | 537 | |
Skyline Corp. | 30,410 | 532 | |
* | Monarch Casino & | ||
Resort Inc. | 50,242 | 524 | |
* | OfficeMax Inc. | 66,304 | 520 |
* | Kid Brands Inc. | 94,245 | 486 |
* | Midas Inc. | 62,473 | 395 |
* | Coldwater Creek Inc. | 265,609 | 372 |
Christopher & Banks Corp. | 27,274 | 157 | |
325,977 |
Market | |||
Value | |||
Shares | ($000) | ||
Consumer Staples (4.1%) | |||
* | Darling International Inc. | 506,636 | 8,968 |
* | United Natural Foods Inc. | 209,398 | 8,935 |
* | TreeHouse Foods Inc. | 153,825 | 8,400 |
Diamond Foods Inc. | 95,501 | 7,291 | |
Casey’s General Stores Inc. | 164,757 | 7,249 | |
* | Hain Celestial Group Inc. | 188,163 | 6,277 |
Snyders-Lance Inc. | 206,615 | 4,469 | |
B&G Foods Inc. Class A | 208,217 | 4,294 | |
Sanderson Farms Inc. | 81,576 | 3,898 | |
* | Boston Beer Co. Inc. | ||
Class A | 39,734 | 3,560 | |
Andersons Inc. | 82,261 | 3,476 | |
J&J Snack Foods Corp. | 62,395 | 3,110 | |
WD-40 Co. | 74,415 | 2,905 | |
* | Prestige Brands | ||
Holdings Inc. | 217,941 | 2,798 | |
* | Central Garden and Pet Co. | ||
Class A | 212,372 | 2,156 | |
Spartan Stores Inc. | 98,299 | 1,920 | |
Nash Finch Co. | 52,617 | 1,884 | |
Cal-Maine Foods Inc. | 58,256 | 1,862 | |
Inter Parfums Inc. | 66,213 | 1,525 | |
* | Medifast Inc. | 58,546 | 1,389 |
* | Alliance One | ||
International Inc. | 380,297 | 1,228 | |
Calavo Growers Inc. | 52,815 | 1,112 | |
* | Seneca Foods Corp. | ||
Class A | 39,912 | 1,021 | |
89,727 | |||
Energy (4.3%) | |||
Lufkin Industries Inc. | 131,949 | 11,354 | |
World Fuel Services Corp. | 306,492 | 11,012 | |
SEACOR Holdings Inc. | 93,776 | 9,374 | |
Bristow Group Inc. | 157,536 | 8,038 | |
* | Swift Energy Co. | 183,722 | 6,847 |
* | Stone Energy Corp. | 212,924 | 6,471 |
* | ION Geophysical Corp. | 674,636 | 6,382 |
* | Gulfport Energy Corp. | 162,259 | 4,818 |
* | Tetra Technologies Inc. | 333,180 | 4,241 |
* | Pioneer Drilling Co. | 236,278 | 3,601 |
Contango Oil & Gas Co. | 55,774 | 3,259 | |
* | Basic Energy Services Inc. | 102,378 | 3,222 |
* | Petroleum | ||
Development Corp. | 101,978 | 3,050 | |
* | Hornbeck Offshore | ||
Services Inc. | 101,620 | 2,795 | |
Gulf Island Fabrication Inc. | 62,398 | 2,014 | |
* | OYO Geospace Corp. | 19,211 | 1,921 |
* | Georesources Inc. | 80,485 | 1,810 |
* | Petroquest Energy Inc. | 242,198 | 1,700 |
* | Matrix Service Co. | 114,661 | 1,534 |
Penn Virginia Corp. | 45,867 | 606 | |
94,049 |
81
Tax-Managed Small-Cap Fund
Market | |||
Value | |||
Shares | ($000) | ||
Exchange-Traded Fund (3.6%) | |||
1 | Vanguard REIT ETF | 1,315,000 | 79,031 |
Financials (14.8%) | |||
* | Signature Bank | 178,987 | 10,238 |
* | ProAssurance Corp. | 132,580 | 9,281 |
* | Stifel Financial Corp. | 232,591 | 8,341 |
* | Ezcorp Inc. Class A | 216,604 | 7,706 |
Cash America | |||
International Inc. | 128,407 | 7,431 | |
Delphi Financial Group Inc. | 237,690 | 6,943 | |
* | Portfolio Recovery | ||
Associates Inc. | 74,231 | 6,294 | |
Umpqua Holdings Corp. | 497,316 | 5,754 | |
* | First Cash Financial | ||
Services Inc. | 136,192 | 5,719 | |
FNB Corp. | 549,951 | 5,692 | |
BioMed Realty Trust Inc. | 285,145 | 5,486 | |
UMB Financial Corp. | 130,290 | 5,457 | |
Mid-America Apartment | |||
Communities Inc. | 77,454 | 5,226 | |
Home Properties Inc. | 82,316 | 5,011 | |
Kilroy Realty Corp. | 124,968 | 4,935 | |
Wintrust Financial Corp. | 152,010 | 4,892 | |
LaSalle Hotel Properties | 179,683 | 4,733 | |
Tanger Factory Outlet | |||
Centers | 176,764 | 4,732 | |
Entertainment | |||
Properties Trust | 101,245 | 4,728 | |
Prospect Capital Corp. | 465,065 | 4,702 | |
First Financial | |||
Bankshares Inc. | 136,409 | 4,699 | |
Susquehanna | |||
Bancshares Inc. | 564,306 | 4,514 | |
National Retail | |||
Properties Inc. | 184,023 | 4,510 | |
RLI Corp. | 72,119 | 4,466 | |
Old National Bancorp | 412,560 | 4,456 | |
* | World Acceptance Corp. | 67,659 | 4,436 |
Post Properties Inc. | 107,926 | 4,399 | |
Extra Space Storage Inc. | 203,099 | 4,332 | |
Tower Group Inc. | 180,305 | 4,295 | |
National Penn | |||
Bancshares Inc. | 532,122 | 4,220 | |
Glacier Bancorp Inc. | 312,500 | 4,212 | |
First Financial Bancorp | 252,178 | 4,209 | |
* | Texas Capital | ||
Bancshares Inc. | 161,140 | 4,162 | |
United Bankshares Inc. | 166,757 | 4,082 | |
First Midwest | |||
Bancorp Inc. | 323,753 | 3,979 | |
Community Bank | |||
System Inc. | 159,930 | 3,965 | |
DiamondRock | |||
Hospitality Co. | 362,667 | 3,891 |
Market | |||
Value | |||
Shares | ($000) | ||
Selective Insurance | |||
Group Inc. | 234,569 | 3,816 | |
Colonial Properties Trust | 180,682 | 3,686 | |
Sterling Bancshares Inc. | 444,265 | 3,625 | |
PrivateBancorp Inc. | |||
Class A | 255,153 | 3,521 | |
NBT Bancorp Inc. | 150,006 | 3,320 | |
Healthcare Realty | |||
Trust Inc. | 158,478 | 3,269 | |
Provident Financial | |||
Services Inc. | 225,149 | 3,224 | |
optionsXpress | |||
Holdings Inc. | 185,418 | 3,093 | |
Bank of the Ozarks Inc. | 57,055 | 2,970 | |
Columbia Banking | |||
System Inc. | 171,705 | 2,957 | |
PacWest Bancorp | 143,412 | 2,950 | |
Infinity Property & | |||
Casualty Corp. | 53,853 | 2,944 | |
Interactive Brokers | |||
Group Inc. | 183,278 | 2,868 | |
Employers Holdings Inc. | 167,363 | 2,807 | |
Medical Properties | |||
Trust Inc. | 242,293 | 2,786 | |
Safety Insurance | |||
Group Inc. | 65,815 | 2,767 | |
Horace Mann | |||
Educators Corp. | 172,676 | 2,695 | |
Lexington Realty Trust | 294,377 | 2,688 | |
* | Navigators Group Inc. | 54,366 | 2,555 |
* | Investment Technology | ||
Group Inc. | 181,103 | 2,539 | |
* | Forestar Group Inc. | 153,742 | 2,526 |
EastGroup Properties Inc. | 58,716 | 2,496 | |
Sovran Self Storage Inc. | 60,023 | 2,461 | |
Independent Bank Corp. | 92,879 | 2,438 | |
Brookline Bancorp Inc. | 256,722 | 2,380 | |
* | Pinnacle Financial | ||
Partners Inc. | 148,507 | 2,311 | |
Meadowbrook Insurance | |||
Group Inc. | 231,554 | 2,295 | |
Home Bancshares Inc. | 95,174 | 2,250 | |
PS Business Parks Inc. | 40,771 | 2,246 | |
City Holding Co. | 66,807 | 2,207 | |
Boston Private Financial | |||
Holdings Inc. | 333,980 | 2,198 | |
Saul Centers Inc. | 50,521 | 1,989 | |
Franklin Street | |||
Properties Corp. | 153,879 | 1,987 | |
* | Piper Jaffray Cos. | 67,959 | 1,958 |
Trustco Bank Corp. NY | 393,779 | 1,929 | |
Simmons First | |||
National Corp. Class A | 74,978 | 1,924 | |
Pennsylvania REIT | 120,502 | 1,892 | |
LTC Properties Inc. | 65,660 | 1,827 |
82
Tax-Managed Small-Cap Fund
Market | |||
Value | |||
Shares | ($000) | ||
* | AMERISAFE Inc. | 79,780 | 1,805 |
Acadia Realty Trust | 87,575 | 1,780 | |
Dime Community | |||
Bancshares Inc. | 121,370 | 1,765 | |
Inland Real Estate Corp. | 167,971 | 1,483 | |
Tompkins Financial Corp. | 36,169 | 1,419 | |
Getty Realty Corp. | 55,192 | 1,392 | |
* | Nara Bancorp Inc. | 165,228 | 1,343 |
* | eHealth Inc. | 97,233 | 1,299 |
Sterling Bancorp | 134,406 | 1,275 | |
Calamos Asset | |||
Management Inc. | |||
Class A | 87,815 | 1,275 | |
Universal Health Realty | |||
Income Trust | 27,576 | 1,102 | |
Presidential Life Corp. | 93,080 | 972 | |
Urstadt Biddle | |||
Properties Inc. Class A | 51,058 | 925 | |
* | United Community | ||
Banks Inc. | 82,700 | 873 | |
Stewart Information | |||
Services Corp. | 83,772 | 840 | |
Parkway Properties Inc. | 48,102 | 821 | |
* | Wilshire Bancorp Inc. | 248,186 | 730 |
* | Hanmi Financial Corp. | 656,642 | 703 |
Kite Realty Group Trust | 139,121 | 693 | |
First Commonwealth | |||
Financial Corp. | 80,510 | 462 | |
* | National Financial | ||
Partners Corp. | 37,686 | 435 | |
* | First BanCorp | 94,481 | 407 |
S&T Bancorp Inc. | 6,935 | 129 | |
Bank Mutual Corp. | 17,443 | 64 | |
SWS Group Inc. | 6,253 | 37 | |
United Fire & Casualty Co. | 1,073 | 19 | |
Cedar Shopping | |||
Centers Inc. | 778 | 4 | |
Northwest Bancshares Inc. | 95 | 1 | |
320,575 | |||
Health Care (12.9%) | |||
* | Regeneron | ||
Pharmaceuticals Inc. | 322,632 | 18,296 | |
* | AMERIGROUP Corp. | 214,812 | 15,138 |
* | Healthspring Inc. | 293,364 | 13,527 |
* | Salix Pharmaceuticals Ltd. | 252,822 | 10,070 |
* | HMS Holdings Corp. | 122,350 | 9,405 |
* | Cubist | ||
Pharmaceuticals Inc. | 259,556 | 9,341 | |
* | Centene Corp. | 216,339 | 7,687 |
* | Magellan Health | ||
Services Inc. | 135,681 | 7,427 | |
Quality Systems Inc. | 83,408 | 7,282 | |
* | Haemonetics Corp. | 111,192 | 7,157 |
* | Align Technology Inc. | 299,832 | 6,836 |
* | PSS World Medical Inc. | 240,131 | 6,726 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Questcor | ||
Pharmaceuticals Inc. | 266,969 | 6,434 | |
West Pharmaceutical | |||
Services Inc. | 145,308 | 6,359 | |
* | Viropharma Inc. | 328,894 | 6,085 |
Chemed Corp. | 92,157 | 6,038 | |
* | Parexel International Corp. | 255,160 | 6,012 |
* | NuVasive Inc. | 171,891 | 5,652 |
* | Zoll Medical Corp. | 94,911 | 5,378 |
* | Par | ||
Pharmaceutical Cos. Inc. | 156,827 | 5,172 | |
Invacare Corp. | 140,618 | 4,667 | |
* | Neogen Corp. | 100,598 | 4,548 |
* | MWI Veterinary | ||
Supply Inc. | 54,472 | 4,400 | |
Meridian Bioscience Inc. | 177,838 | 4,288 | |
* | Integra LifeSciences | ||
Holdings Corp. | 89,673 | 4,287 | |
* | Medicines Co. | 232,271 | 3,835 |
* | Air Methods Corp. | 48,846 | 3,651 |
* | Amsurg Corp. Class A | 136,371 | 3,563 |
* | Hanger Orthopedic | ||
Group Inc. | 144,156 | 3,527 | |
* | CONMED Corp. | 123,236 | 3,510 |
* | Amedisys Inc. | 128,245 | 3,415 |
* | IPC The Hospitalist Co. Inc. | 71,224 | 3,301 |
* | Merit Medical | ||
Systems Inc. | 177,812 | 3,195 | |
Computer Programs & | |||
Systems Inc. | 47,967 | 3,045 | |
* | Molina Healthcare Inc. | 111,266 | 3,018 |
* | Cyberonics Inc. | 106,314 | 2,971 |
Analogic Corp. | 55,596 | 2,924 | |
* | Gentiva Health | ||
Services Inc. | 132,439 | 2,759 | |
* | Greatbatch Inc. | 101,343 | 2,718 |
* | Abaxis Inc. | 97,718 | 2,663 |
Landauer Inc. | 40,884 | 2,518 | |
* | Affymetrix Inc. | 305,798 | 2,425 |
* | ICU Medical Inc. | 52,047 | 2,274 |
* | Omnicell Inc. | 144,046 | 2,246 |
* | Healthways Inc. | 147,899 | 2,245 |
* | Bio-Reference Labs Inc. | 106,516 | 2,226 |
* | Emergent Biosolutions Inc. | 95,324 | 2,150 |
* | Natus Medical Inc. | 125,776 | 1,906 |
Ensign Group Inc. | 57,144 | 1,737 | |
* | PharMerica Corp. | 127,697 | 1,629 |
* | LHC Group Inc. | 68,302 | 1,575 |
Cantel Medical Corp. | 55,915 | 1,505 | |
* | AMN Healthcare | ||
Services Inc. | 171,790 | 1,429 | |
* | Symmetry Medical Inc. | 158,172 | 1,419 |
* | Corvel Corp. | 28,516 | 1,337 |
* | Hi-Tech Pharmacal Co. Inc. | 44,664 | 1,292 |
* | Medcath Corp. | 88,543 | 1,203 |
83
Tax-Managed Small-Cap Fund
Market | |||
Value | |||
Shares | ($000) | ||
* | Arqule Inc. | 191,901 | 1,199 |
* | eResearchTechnology Inc. | 187,857 | 1,197 |
* | Cross Country | ||
Healthcare Inc. | 136,714 | 1,039 | |
* | Almost Family Inc. | 36,518 | 1,001 |
* | Kendle International Inc. | 65,793 | 992 |
* | Palomar Medical | ||
Technologies Inc. | 83,527 | 942 | |
* | Kensey Nash Corp. | 37,273 | 940 |
* | Savient | ||
Pharmaceuticals Inc. | 123,961 | 928 | |
* | SurModics Inc. | 76,328 | 847 |
* | CryoLife Inc. | 121,435 | 680 |
* | Enzo Biochem Inc. | 147,006 | 625 |
* | Cambrex Corp. | 128,900 | 596 |
* | LCA-Vision Inc. | 83,332 | 398 |
278,807 | |||
Industrials (15.9%) | |||
Robbins & Myers Inc. | 197,096 | 10,416 | |
CLARCOR Inc. | 218,516 | 10,331 | |
* | Esterline | ||
Technologies Corp. | 132,290 | 10,107 | |
* | Moog Inc. Class A | 198,636 | 8,645 |
* | EMCOR Group Inc. | 289,941 | 8,498 |
Toro Co. | 134,009 | 8,108 | |
* | Teledyne Technologies Inc. | 159,080 | 8,011 |
Actuant Corp. Class A | 297,121 | 7,972 | |
Brady Corp. Class A | 228,661 | 7,331 | |
Belden Inc. | 205,240 | 7,155 | |
United Stationers Inc. | 201,255 | 7,130 | |
* | Old Dominion Freight | ||
Line Inc. | 186,567 | 6,959 | |
Curtiss-Wright Corp. | 201,044 | 6,508 | |
* | Geo Group Inc. | 280,897 | 6,469 |
Mueller Industries Inc. | 164,667 | 6,243 | |
AO Smith Corp. | 145,994 | 6,176 | |
* | HUB Group Inc. Class A | 162,710 | 6,128 |
* | Tetra Tech Inc. | 270,006 | 6,075 |
Applied Industrial | |||
Technologies Inc. | 163,976 | 5,839 | |
* | II-VI Inc. | 221,916 | 5,681 |
Interface Inc. Class A | 283,284 | 5,487 | |
Kaydon Corp. | 142,570 | 5,321 | |
Simpson | |||
Manufacturing Co. Inc. | 174,358 | 5,208 | |
Barnes Group Inc. | 196,258 | 4,869 | |
ABM Industries Inc. | 206,720 | 4,825 | |
AAR Corp. | 172,610 | 4,676 | |
Healthcare Services | |||
Group Inc. | 287,452 | 4,671 | |
Knight Transportation Inc. | 269,173 | 4,573 | |
Watts Water | |||
Technologies Inc. | |||
Class A | 127,595 | 4,518 | |
Briggs & Stratton Corp. | 218,468 | 4,339 |
Market | |||
Value | |||
Shares | ($000) | ||
* | EnPro Industries Inc. | 89,584 | 4,306 |
Forward Air Corp. | 127,228 | 4,299 | |
* | Orbital Sciences Corp. | 253,394 | 4,270 |
ESCO Technologies Inc. | 115,250 | 4,241 | |
* | Ceradyne Inc. | 108,105 | 4,215 |
* | Mobile Mini Inc. | 195,185 | 4,136 |
Kaman Corp. | 113,767 | 4,035 | |
* | SYKES Enterprises Inc. | 177,880 | 3,830 |
Lindsay Corp. | 54,502 | 3,750 | |
Heartland Express Inc. | 220,526 | 3,652 | |
* | Insituform | ||
Technologies Inc. | |||
Class A | 171,114 | 3,588 | |
Unifirst Corp. | 63,748 | 3,582 | |
Skywest Inc. | 234,377 | 3,530 | |
Cubic Corp. | 68,483 | 3,492 | |
* | Allegiant Travel Co. | ||
Class A | 65,262 | 3,230 | |
CIRCOR International Inc. | 74,747 | 3,201 | |
* | Astec Industries Inc. | 86,497 | 3,199 |
Albany International Corp. | 120,743 | 3,186 | |
American Science & | |||
Engineering Inc. | 39,397 | 3,152 | |
Insperity Inc. | 98,754 | 2,924 | |
* | TrueBlue Inc. | 192,488 | 2,787 |
G&K Services Inc. Class A | 81,514 | 2,760 | |
Quanex Building | |||
Products Corp. | 162,913 | 2,670 | |
* | Exponent Inc. | 61,247 | 2,665 |
Arkansas Best Corp. | 110,718 | 2,627 | |
* | Dycom Industries Inc. | 152,831 | 2,497 |
AZZ Inc. | 54,522 | 2,497 | |
Badger Meter Inc. | 65,372 | 2,418 | |
John Bean | |||
Technologies Corp. | 124,960 | 2,414 | |
* | Consolidated Graphics Inc. | 43,178 | 2,373 |
* | Navigant Consulting Inc. | 224,527 | 2,355 |
* | Aerovironment Inc. | 65,420 | 2,313 |
National Presto | |||
Industries Inc. | 22,643 | 2,298 | |
* | Griffon Corp. | 205,929 | 2,076 |
* | Kelly Services Inc. Class A | 122,736 | 2,025 |
Universal Forest | |||
Products Inc. | 84,519 | 2,025 | |
* | SFN Group Inc. | 221,969 | 2,018 |
Encore Wire Corp. | 82,658 | 2,002 | |
Viad Corp. | 88,433 | 1,971 | |
Cascade Corp. | 40,386 | 1,921 | |
Tredegar Corp. | 99,987 | 1,835 | |
Federal Signal Corp. | 270,903 | 1,777 | |
Comfort Systems USA Inc. | 164,616 | 1,747 | |
Heidrick & Struggles | |||
International Inc. | 76,987 | 1,743 | |
AAON Inc. | 77,581 | 1,694 | |
Standex International Corp. | 54,437 | 1,670 |
84
Tax-Managed Small-Cap Fund
Market | |||
Value | |||
Shares | ($000) | ||
* | GenCorp Inc. | 258,047 | 1,657 |
* | On Assignment Inc. | 161,065 | 1,583 |
Apogee Enterprises Inc. | 123,267 | 1,579 | |
* | Gibraltar Industries Inc. | 132,544 | 1,500 |
* | Powell Industries Inc. | 38,843 | 1,418 |
Vicor Corp. | 85,473 | 1,382 | |
* | Dolan Co. | 132,590 | 1,123 |
* | Orion Marine Group Inc. | 117,508 | 1,106 |
* | School Specialty Inc. | 70,064 | 1,008 |
* | Lydall Inc. | 74,892 | 896 |
* | NCI Building Systems Inc. | 75,604 | 861 |
CDI Corp. | 56,920 | 756 | |
Lawson Products Inc. | 17,416 | 343 | |
Standard Register Co. | 56,159 | 177 | |
344,654 | |||
Information Technology (19.3%) | |||
* | Wright Express Corp. | 167,284 | 8,710 |
* | Veeco Instruments Inc. | 176,307 | 8,535 |
* | CommVault Systems Inc. | 190,644 | 8,474 |
* | CACI International Inc. | ||
Class A | 130,401 | 8,226 | |
Anixter International Inc. | 124,194 | 8,115 | |
* | Viasat Inc. | 180,979 | 7,831 |
* | Microsemi Corp. | 374,049 | 7,668 |
* | TriQuint | ||
Semiconductor Inc. | 710,909 | 7,244 | |
* | Progress Software Corp. | 291,168 | 7,026 |
* | Netgear Inc. | 158,506 | 6,930 |
* | Hittite Microwave Corp. | 108,800 | 6,736 |
* | Taleo Corp. Class A | 177,760 | 6,582 |
* | Cymer Inc. | 132,110 | 6,541 |
* | FEI Co. | 167,503 | 6,397 |
Cognex Corp. | 179,767 | 6,369 | |
* | Arris Group Inc. | 535,808 | 6,221 |
MAXIMUS Inc. | 75,158 | 6,218 | |
MKS Instruments Inc. | 226,288 | 5,979 | |
* | MicroStrategy Inc. Class A | 35,803 | 5,824 |
Littelfuse Inc. | 98,451 | 5,781 | |
* | Take-Two Interactive | ||
Software Inc. | 375,264 | 5,734 | |
* | Plexus Corp. | 164,647 | 5,731 |
* | JDA Software Group Inc. | 183,257 | 5,661 |
* | j2 Global | ||
Communications Inc. | 199,382 | 5,629 | |
Blackbaud Inc. | 187,605 | 5,200 | |
Power Integrations Inc. | 125,200 | 4,811 | |
* | Cabot | ||
Microelectronics Corp. | 101,829 | 4,732 | |
* | Websense Inc. | 176,246 | 4,577 |
* | Cirrus Logic Inc. | 286,731 | 4,559 |
* | Scansource Inc. | 117,106 | 4,389 |
* | Benchmark | ||
Electronics Inc. | 265,792 | 4,386 | |
* | Rofin-Sinar | ||
Technologies Inc. | 124,182 | 4,241 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Diodes Inc. | 158,785 | 4,144 |
* | Blue Coat Systems Inc. | 188,803 | 4,127 |
* | DealerTrack Holdings Inc. | 178,026 | 4,086 |
* | Synaptics Inc. | 148,303 | 3,817 |
* | Tessera Technologies Inc. | 221,785 | 3,801 |
* | Sourcefire Inc. | 123,101 | 3,659 |
* | Insight Enterprises Inc. | 202,238 | 3,582 |
* | Bottomline | ||
Technologies Inc. | 144,268 | 3,565 | |
* | OSI Systems Inc. | 82,568 | 3,550 |
* | Synchronoss | ||
Technologies Inc. | 109,818 | 3,485 | |
* | Kulicke & Soffa | ||
Industries Inc. | 312,544 | 3,482 | |
Heartland Payment | |||
Systems Inc. | 167,440 | 3,449 | |
* | RightNow | ||
Technologies Inc. | 104,432 | 3,384 | |
* | DG FastChannel Inc. | 104,550 | 3,351 |
* | SYNNEX Corp. | 104,448 | 3,311 |
* | Ultratech Inc. | 108,869 | 3,307 |
* | Manhattan Associates Inc. | 94,741 | 3,263 |
* | Ebix Inc. | 170,922 | 3,256 |
* | Rogers Corp. | 69,270 | 3,200 |
* | Netscout Systems Inc. | 153,047 | 3,197 |
Comtech | |||
Telecommunications Corp. | 112,810 | 3,163 | |
* | Harmonic Inc. | 432,688 | 3,128 |
* | Cardtronics Inc. | 132,616 | 3,110 |
* | Brooks Automation Inc. | 286,323 | 3,109 |
* | Checkpoint Systems Inc. | 173,536 | 3,103 |
* | FARO Technologies Inc. | 70,763 | 3,099 |
* | Radiant Systems Inc. | 148,035 | 3,094 |
* | Stratasys Inc. | 91,621 | 3,088 |
* | DTS Inc. | 75,370 | 3,056 |
* | TTM Technologies Inc. | 190,148 | 3,046 |
* | Newport Corp. | 161,585 | 2,936 |
* | Ceva Inc. | 95,894 | 2,921 |
* | Tyler Technologies Inc. | 108,381 | 2,902 |
* | comScore Inc. | 111,789 | 2,895 |
* | LivePerson Inc. | 200,710 | 2,838 |
* | Entropic | ||
Communications Inc. | 317,290 | 2,821 | |
* | ATMI Inc. | 137,018 | 2,799 |
* | CSG Systems | ||
International Inc. | 151,114 | 2,793 | |
MTS Systems Corp. | 66,538 | 2,783 | |
* | LogMeIn Inc. | 72,049 | 2,779 |
* | Tekelec | 299,815 | 2,737 |
* | Standard | ||
Microsystems Corp. | 99,993 | 2,699 | |
* | Volterra | ||
Semiconductor Corp. | 106,568 | 2,628 | |
* | TeleTech Holdings Inc. | 121,806 | 2,568 |
Park Electrochemical Corp. | 90,243 | 2,522 |
85
Tax-Managed Small-Cap Fund
Market | |||
Value | |||
Shares | ($000) | ||
* | Advanced Energy | ||
Industries Inc. | 168,061 | 2,486 | |
* | Mercury Computer | ||
Systems Inc. | 130,894 | 2,445 | |
Black Box Corp. | 77,826 | 2,434 | |
* | Brightpoint Inc. | 296,257 | 2,403 |
* | Avid Technology Inc. | 126,995 | 2,393 |
* | Monolithic Power | ||
Systems Inc. | 153,256 | 2,363 | |
* | Intermec Inc. | 209,173 | 2,309 |
Micrel Inc. | 218,146 | 2,308 | |
* | EMS Technologies Inc. | 66,682 | 2,199 |
Forrester Research Inc. | 63,911 | 2,107 | |
iGate Corp. | 127,466 | 2,080 | |
* | Interactive Intelligence Inc. | 58,082 | 2,036 |
* | Electro Scientific | ||
Industries Inc. | 104,877 | 2,024 | |
EPIQ Systems Inc. | 137,407 | 1,954 | |
Methode Electronics Inc. | 160,779 | 1,867 | |
* | Liquidity Services Inc. | 77,398 | 1,827 |
* | Super Micro Computer Inc. | 112,942 | 1,817 |
* | Monotype Imaging | ||
Holdings Inc. | 125,409 | 1,772 | |
* | Ciber Inc. | 308,303 | 1,711 |
* | Oplink | ||
Communications Inc. | 89,462 | 1,667 | |
Daktronics Inc. | 153,883 | 1,660 | |
* | Rudolph Technologies Inc. | 138,197 | 1,480 |
* | Nanometrics Inc. | 76,739 | 1,457 |
CTS Corp. | 148,953 | 1,440 | |
* | Infospace Inc. | 157,205 | 1,434 |
* | Digi International Inc. | 109,720 | 1,426 |
Cohu Inc. | 104,608 | 1,371 | |
* | XO Group Inc. | 137,518 | 1,368 |
* | Kopin Corp. | 282,341 | 1,330 |
* | Perficient Inc. | 128,923 | 1,323 |
* | Supertex Inc. | 56,689 | 1,270 |
* | Exar Corp. | 193,486 | 1,225 |
* | Gerber Scientific Inc. | 109,299 | 1,217 |
* | Symmetricom Inc. | 189,237 | 1,103 |
Bel Fuse Inc. Class B | 50,734 | 1,100 | |
* | THQ Inc. | 297,482 | 1,077 |
* | Intevac Inc. | 98,839 | 1,009 |
* | Pericom | ||
Semiconductor Corp. | 109,085 | 975 | |
* | Integral Systems Inc. | 76,919 | 936 |
* | DSP Group Inc. | 102,024 | 888 |
Pulse Electronics Corp. | 181,053 | 800 | |
* | Radisys Corp. | 106,972 | 780 |
* | NCI Inc. Class A | 34,287 | 779 |
* | Novatel Wireless Inc. | 139,607 | 765 |
* | Agilysys Inc. | 85,037 | 709 |
Stamps.com Inc. | 51,699 | 690 | |
* | Smith Micro Software Inc. | 138,137 | 582 |
* | PC-Tel Inc. | 80,556 | 522 |
Market | |||
Value | |||
Shares | ($000) | ||
* | LoJack Corp. | 79,509 | 347 |
* | Network Equipment | ||
Technologies Inc. | 132,649 | 292 | |
United Online Inc. | 27,898 | 168 | |
* | Sigma Designs Inc. | 8,071 | 62 |
418,477 | |||
Materials (5.4%) | |||
PolyOne Corp. | 408,160 | 6,314 | |
Balchem Corp. | 125,041 | 5,474 | |
* | OM Group Inc. | 134,340 | 5,460 |
* | Kraton Performance | ||
Polymers Inc. | 138,088 | 5,409 | |
Eagle Materials Inc. | 192,612 | 5,368 | |
HB Fuller Co. | 213,977 | 5,225 | |
Texas Industries Inc. | 120,870 | 5,032 | |
* | RTI International | ||
Metals Inc. | 131,115 | 5,031 | |
Buckeye Technologies Inc. | 172,755 | 4,661 | |
Schweitzer-Mauduit | |||
International Inc. | 75,975 | 4,266 | |
AMCOL International Corp. | 110,556 | 4,219 | |
* | Calgon Carbon Corp. | 245,358 | 4,171 |
* | Century Aluminum Co. | 246,641 | 3,860 |
Arch Chemicals Inc. | 110,144 | 3,793 | |
Kaiser Aluminum Corp. | 64,350 | 3,515 | |
A Schulman Inc. | 137,276 | 3,458 | |
* | Clearwater Paper Corp. | 49,885 | 3,406 |
Koppers Holdings Inc. | 89,659 | 3,401 | |
* | Materion Corp. | 88,792 | 3,283 |
Haynes International Inc. | 52,880 | 3,275 | |
* | LSB Industries Inc. | 73,780 | 3,167 |
* | KapStone Paper and | ||
Packaging Corp. | 166,725 | 2,763 | |
* | STR Holdings Inc. | 180,611 | 2,695 |
Deltic Timber Corp. | 47,031 | 2,525 | |
Stepan Co. | 33,900 | 2,403 | |
Quaker Chemical Corp. | 55,079 | 2,369 | |
Zep Inc. | 95,084 | 1,797 | |
Myers Industries Inc. | 153,444 | 1,577 | |
Wausau Paper Corp. | 214,268 | 1,444 | |
Neenah Paper Inc. | 64,733 | 1,377 | |
Hawkins Inc. | 37,463 | 1,357 | |
* | AM Castle & Co. | 72,739 | 1,208 |
American Vanguard Corp. | 93,077 | 1,207 | |
Olympic Steel Inc. | 39,907 | 1,099 | |
* | Headwaters Inc. | 266,032 | 833 |
116,442 | |||
Telecommunication Services (0.7%) | |||
* | Cincinnati Bell Inc. | 863,258 | 2,866 |
NTELOS Holdings Corp. | 130,047 | 2,656 | |
* | Neutral Tandem Inc. | 135,185 | 2,355 |
* | General | ||
Communication Inc. | |||
Class A | 169,956 | 2,051 |
86
Tax-Managed Small-Cap Fund
Market | ||
Value | ||
Shares | ($000) | |
* Cbeyond Inc. | 135,506 | 1,793 |
Atlantic Tele-Network Inc. | 39,516 | 1,516 |
USA Mobility Inc. | 95,878 | 1,463 |
14,700 | ||
Utilities (4.0%) | ||
Piedmont Natural | ||
Gas Co. Inc. | 311,601 | 9,429 |
New Jersey | ||
Resources Corp. | 179,764 | 8,019 |
Southwest Gas Corp. | 198,911 | 7,680 |
UIL Holdings Corp. | 218,957 | 7,083 |
South Jersey | ||
Industries Inc. | 129,762 | 7,047 |
Avista Corp. | 249,527 | 6,410 |
Unisource Energy Corp. | 158,910 | 5,932 |
El Paso Electric Co. | 182,365 | 5,891 |
Allete Inc. | 135,446 | 5,559 |
Northwest Natural Gas Co. | 115,807 | 5,226 |
NorthWestern Corp. | 157,346 | 5,210 |
Laclede Group Inc. | 97,225 | 3,678 |
CH Energy Group Inc. | 68,134 | 3,629 |
American States Water Co. | 80,893 | 2,804 |
Central Vermont Public | ||
Service Corp. | 58,104 | 2,101 |
85,698 | ||
Total Common Stocks | ||
(Cost $1,580,512) | 2,168,137 | |
Temporary Cash Investment (0.1%) | ||
Money Market Fund (0.1%) | ||
2 Vanguard Market | ||
Liquidity Fund, 0.140% | ||
(Cost $1,607) | 1,606,910 | 1,607 |
Total Investments (100.2%) | ||
(Cost $1,582,119) | 2,169,744 | |
Other Assets and Liabilities (-0.2%) | ||
Other Assets | 16,736 | |
Liabilities | (21,202) | |
(4,466) | ||
Net Assets (100%) | 2,165,278 |
At June 30, 2011, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 1,605,898 |
Undistributed Net Investment Income | 3,763 |
Accumulated Net Realized Losses | (32,008) |
Unrealized Appreciation (Depreciation) | 587,625 |
Net Assets | 2,165,278 |
Admiral Shares—Net Assets | |
Applicable to 68,659,826 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 2,008,248 |
Net Asset Value Per Share— | |
Admiral Shares | $29.25 |
Institutional Shares—Net Assets | |
Applicable to 5,355,675 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 157,030 |
Net Asset Value Per Share— | |
Institutional Shares | $29.32 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 Considered an affiliated company of the fund as the issuer is another member of The Vanguard Group.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
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Tax-Managed Small-Cap Fund
Statement of Operations | |
Six Months Ended | |
June 30, 2011 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 8,390 |
Interest1 | 1 |
Total Income | 8,391 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 146 |
Management and Administrative—Admiral Shares | 1,020 |
Management and Administrative—Institutional Shares | 27 |
Marketing and Distribution—Admiral Shares | 171 |
Marketing and Distribution—Institutional Shares | 22 |
Custodian Fees | 33 |
Shareholders’ Reports—Admiral Shares | 11 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 1,431 |
Net Investment Income | 6,960 |
Realized Net Gain (Loss) on Investment Securities Sold1 | 76,390 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 72,071 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 155,421 |
1 Dividend income, interest income, and realized net gain (loss) from affiliated companies of the fund were $14,000, $1,000, and $7,011,000, respectively.
See accompanying Notes, which are an integral part of the Financial Statements.
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Tax-Managed Small-Cap Fund
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2011 | 2010 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 6,960 | 17,282 |
Realized Net Gain (Loss) | 76,390 | 81,408 |
Change in Unrealized Appreciation (Depreciation) | 72,071 | 320,986 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 155,421 | 419,676 |
Distributions | ||
Net Investment Income | ||
Admiral Shares1 | (138) | (16,144) |
Institutional Shares | (16) | (1,390) |
Realized Capital Gain | ||
Admiral Shares1 | — | — |
Institutional Shares | — | — |
Total Distributions | (154) | (17,534) |
Capital Share Transactions | ||
Admiral Shares1 | (14,738) | (22,404) |
Institutional Shares | (1,845) | 20,389 |
Net Increase (Decrease) from Capital Share Transactions | (16,583) | (2,015) |
Total Increase (Decrease) | 138,684 | 400,127 |
Net Assets | ||
Beginning of Period | 2,026,594 | 1,626,467 |
End of Period2 | 2,165,278 | 2,026,594 |
1 Investor Shares were renamed Admiral Shares as of the close of business on May 13, 2011. Prior period’s Distributions and Capital Share Transactions are for the Investor class.
2 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $3,763,000 and ($3,043,000).
See accompanying Notes, which are an integral part of the Financial Statements.
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Tax-Managed Small-Cap Fund
Financial Highlights
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $27.17 | $21.75 | $17.44 | $25.62 | $25.72 | $22.70 |
Investment Operations | ||||||
Net Investment Income | .093 | .231 | .146 | .266 | .229 | .191 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments1 | 1.989 | 5.424 | 4.316 | (8.174) | (.097) | 3.023 |
Total from Investment Operations | 2.082 | 5.655 | 4.462 | (7.908) | .132 | 3.214 |
Distributions | ||||||
Dividends from Net Investment Income | (.002) | (.235) | (.152) | (.272) | (.232) | (.194) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.002) | (.235) | (.152) | (.272) | (.232) | (.194) |
Net Asset Value, End of Period | $29.25 | $27.17 | $21.75 | $17.44 | $25.62 | $25.72 |
Total Return2 | 7.66% | 25.99% | 25.59% | -30.82% | 0.51% | 14.15% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,008 | $1,879 | $1,527 | $1,258 | $1,793 | $1,756 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.14% | 0.18% | 0.19% | 0.14% | 0.13% | 0.14% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 0.66% | 0.98% | 0.79% | 1.16% | 0.86% | 0.78% |
Portfolio Turnover Rate3 | 49% | 46% | 37% | 32% | 53% | 42% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
Investor Shares were renamed Admiral Shares as of the close of business on May 13, 2011. Prior periods’ Financial Highlights are for the Investor class.
1 Includes increases from redemption fees of $.00, $.00, $.01, $.01, $.01, and $.01.
2 Total returns do not include transaction or account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction and account service fees.
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.
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Tax-Managed Small-Cap Fund
Financial Highlights
Institutional Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $27.23 | $21.80 | $17.47 | $25.66 | $25.77 | $22.74 |
Investment Operations | ||||||
Net Investment Income | .102 | .257 | .161 | .275 | .242 | .209 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments1 | 1.991 | 5.432 | 4.337 | (8.184) | (.108) | 3.028 |
Total from Investment Operations | 2.093 | 5.689 | 4.498 | (7.909) | .134 | 3.237 |
Distributions | ||||||
Dividends from Net Investment Income | (.003) | (.259) | (.168) | (.281) | (.244) | (.207) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.003) | (.259) | (.168) | (.281) | (.244) | (.207) |
Net Asset Value, End of Period | $29.32 | $27.23 | $21.80 | $17.47 | $25.66 | $25.77 |
Total Return2 | 7.69% | 26.09% | 25.75% | -30.77% | 0.51% | 14.23% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $157 | $147 | $99 | $102 | $171 | $128 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.09% | 0.09% | 0.09% | 0.09% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 0.72% | 1.08% | 0.89% | 1.21% | 0.90% | 0.83% |
Portfolio Turnover Rate3 | 49% | 46% | 37% | 32% | 53% | 42% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Includes increases from redemption fees of $.00, $.00, $.02, $.01, $.01, and $.01.
2 Total returns do not include transaction fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction fees.
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.
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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: Admiral Shares and Institutional Shares. Admiral Shares are available to any investor who meets the fund’s minimum purchase requirements. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. Prior to May 14, 2011, the fund offered Investor Shares. Effective at the close of business on May 13, 2011, Investor Shares were renamed Admiral Shares.
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 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value.
2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2007–2010), and for the period ended June 30, 2011, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
3. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
4. 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
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Tax-Managed Small-Cap Fund
in capital contributions to Vanguard. At June 30, 2011, the fund had contributed capital of $347,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 0.14% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
At June 30, 2011, 100% of the fund’s investments were valued based on Level 1 inputs.
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended June 30, 2011, the fund realized $9,272,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2010, the fund had available capital loss carryforwards totaling $95,599,000 to offset future net capital gains of $40,927,000 through December 31, 2016, and $54,672,000 through December 31, 2017. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2011; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2011, the cost of investment securities for tax purposes was $1,582,119,000. Net unrealized appreciation of investment securities for tax purposes was $587,625,000, consisting of unrealized gains of $640,550,000 on securities that had risen in value since their purchase and $52,925,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended June 30, 2011, the fund purchased $532,834,000 of investment securities and sold $538,980,000 of investment securities, other than temporary cash investments.
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Tax-Managed Small-Cap Fund
F. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2011 | December 31, 2010 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Admiral Shares1 | ||||
Issued | 57,228 | 2,024 | 105,382 | 4,463 |
Issued in Lieu of Cash Distributions | 112 | 4 | 13,025 | 475 |
Redeemed2 | (72,078) | (2,542) | (140,811) | (5,969) |
Net Increase (Decrease)—Admiral Shares | (14,738) | (514) | (22,404) | (1,031) |
Institutional Shares | ||||
Issued | 18,852 | 671 | 59,059 | 2,276 |
Issued in Lieu of Cash Distributions | 10 | — | 824 | 30 |
Redeemed2 | (20,707) | (718) | (39,494) | (1,462) |
Net Increase (Decrease)—Institutional Shares | (1,845) | (47) | 20,389 | 844 |
1 Investor Shares were renamed Admiral Shares as of the close of business on May 13, 2011. Prior period’s capital share transactions are for the Investor class.
2 Net of redemption fees for fiscal 2011 and 2010 of $103,000 and $339,000, respectively (fund totals). Effective April 28, 2011, the redemption fee was eliminated.
G. In preparing the financial statements as of June 30, 2011, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
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About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
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Six Months Ended June 30, 2011 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
12/31/2010 | 6/30/2011 | Period | |
Based on Actual Fund Return | |||
Tax-Managed Balanced Fund | $1,000.00 | $1,052.33 | $0.66 |
Tax-Managed Growth and Income Fund | |||
Admiral Shares | $1,000.00 | $1,059.75 | $0.61 |
Institutional Shares | 1,000.00 | 1,059.90 | 0.41 |
Tax-Managed Capital Appreciation Fund | |||
Admiral Shares | $1,000.00 | $1,064.89 | $0.61 |
Institutional Shares | 1,000.00 | 1,064.78 | 0.41 |
Tax-Managed Small-Cap Fund | |||
Admiral Shares | $1,000.00 | $1,076.63 | $0.72 |
Institutional Shares | 1,000.00 | 1,076.87 | 0.41 |
Based on Hypothetical 5% Yearly Return | |||
Tax-Managed Balanced Fund | $1,000.00 | $1,024.15 | $0.65 |
Tax-Managed Growth and Income Fund | |||
Admiral Shares | $1,000.00 | $1,024.20 | $0.60 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
Tax-Managed Capital Appreciation Fund | |||
Admiral Shares | $1,000.00 | $1,024.20 | $0.60 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
Tax-Managed Small-Cap Fund | |||
Admiral Shares | $1,000.00 | $1,024.10 | $0.70 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the Tax-Managed Balanced Fund, 0.13%; for the Tax-Managed Growth and Income Fund, 0.12% for Admiral Shares and 0.08% for Institutional Shares; for the Tax-Managed Capital Appreciation Fund, 0.12% for Admiral Shares and 0.08% for Institutional Shares; and for the Tax-Managed Small-Cap Fund, 0.14% for Admiral Shares and 0.08% for Institutional Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period.
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Trustees Approve Advisory Arrangment
The board of trustees of Vanguard Tax-Managed Balanced Fund, Tax-Managed Growth and Income Fund, Tax-Managed Capital Appreciation Fund, and Tax-Managed Small-Cap Fund has renewed the funds’ investment advisory arrangement with The Vanguard Group, Inc. Vanguard—through its Quantitative Equity and Fixed Income Groups—serves as the investment advisor for the funds. The board determined that continuing the funds’ internalized management structure was in the best interests of the funds and their shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board considered the quality of the funds’ investment management over both the short and long term, and took into account the organizational depth and stability of the advisor. The board noted that Vanguard has been managing investments for more than three decades. Both the Quantitative Equity Group and the Fixed Income Group adhere to sound, disciplined investment management processes; each group’s management team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement.
Investment performance
The board considered the short- and long-term performance of the funds, including any periods of outperformance or underperformance of relevant benchmarks and peer groups. The board concluded that the funds have performed in line with expectations, and that their results have been consistent with their investment strategies. Information about the funds’ most recent performance can be found in the Performance Summary pages of this report.
Cost
The board concluded that each fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that the funds’ advisory fee rates were also well below their peer-group averages. Information about the funds’ expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements section.
The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the funds’ low-cost arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangement again after a one-year period.
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Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (in the case of bonds) or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
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.
Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
Credit Quality. For Vanguard tax-exempt bond funds, credit-quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). “Not Rated” is used to classify securities for which a rating is not available. Credit-quality ratings are obtained from Moody’s and S&P, and the higher rating for each issue is used.
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.
Equity Exposure. A measure that reflects a fund’s investments in stocks and stock futures. Any holdings in short-term reserves are excluded.
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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 securities or depositary receipts of companies based outside the United States.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Largest Area 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.
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. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
Return on Equity. The annual average rate of return generated by a company during the past five years for each dollar of shareholder’s equity (net income divided by shareholder’s equity). For a fund, the weighted average return on equity for the companies whose stocks it holds.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Turnover Rate. An indication of the fund’s trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors). The turnover rate excludes in-kind transactions, which have minimal impact on costs.
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.
99
The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 178 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
Interested Trustee1 | and President (2006–2008) of Rohm and Haas Co. |
(chemicals); Director of Tyco International, Ltd. | |
F. William McNabb III | (diversified manufacturing and services) and Hewlett- |
Born 1957. Trustee Since July 2009. Chairman of the | Packard Co. (electronic computer manufacturing); |
Board. Principal Occupation(s) During the Past Five | Senior Advisor at New Mountain Capital; Trustee |
Years: Chairman of the Board of The Vanguard Group, | of The Conference Board; Member of the Board of |
Inc., and of each of the investment companies served | Managers of Delphi Automotive LLP (automotive |
by The Vanguard Group, since January 2010; Director | components). |
of The Vanguard Group since 2008; Chief Executive | |
Officer and President of The Vanguard Group and of | Amy Gutmann |
each of the investment companies served by The | Born 1949. Trustee Since June 2006. Principal |
Vanguard Group since 2008; Director of Vanguard | Occupation(s) During the Past Five Years: President |
Marketing Corporation; Managing Director of The | of the University of Pennsylvania; Christopher H. |
Vanguard Group (1995–2008). | Browne Distinguished Professor of Political Science |
in the School of Arts and Sciences with secondary | |
appointments at the Annenberg School for Commu- | |
Independent Trustees | nication and the Graduate School of Education |
of the University of Pennsylvania; Director of | |
Emerson U. Fullwood | Carnegie Corporation of New York, Schuylkill River |
Born 1948. Trustee Since January 2008. Principal | Development Corporation, and Greater Philadelphia |
Occupation(s) During the Past Five Years: Executive | Chamber of Commerce; Trustee of the National |
Chief Staff and Marketing Officer for North America | Constitution Center; Chair of the Presidential |
and Corporate Vice President (retired 2008) of Xerox | Commission for the Study of Bioethical Issues. |
Corporation (document management products and | |
services); Executive in Residence and 2010 | JoAnn Heffernan Heisen |
Distinguished Minett Professor at the Rochester | Born 1950. Trustee Since July 1998. Principal |
Institute of Technology; Director of SPX Corporation | Occupation(s) During the Past Five Years: Corporate |
(multi-industry manufacturing), the United Way of | Vice President and Chief Global Diversity Officer |
Rochester, Amerigroup Corporation (managed health | (retired 2008) and Member of the Executive |
care), the University of Rochester Medical Center, | Committee (1997–2008) of Johnson & Johnson |
Monroe Community College Foundation, and North | (pharmaceuticals/consumer products); Director of |
Carolina A&T University. | Skytop Lodge Corporation (hotels), the University |
Medical Center at Princeton, the Robert Wood | |
Rajiv L. Gupta | Johnson Foundation, and the Center for Work Life |
Born 1945. Trustee Since December 2001.2 | Policy; Member of the Advisory Board of the |
Principal Occupation(s) During the Past Five Years: | Maxwell School of Citizenship and Public Affairs |
Chairman and Chief Executive Officer (retired 2009) | at Syracuse University. |
F. Joseph Loughrey | Thomas J. Higgins | |
Born 1949. Trustee Since October 2009. Principal | Born 1957. Chief Financial Officer Since September | |
Occupation(s) During the Past Five Years: President | 2008. Principal Occupation(s) During the Past Five | |
and Chief Operating Officer (retired 2009) and Vice | Years: Principal of The Vanguard Group, Inc.; Chief | |
Chairman of the Board (2008–2009) of Cummins Inc. | Financial Officer of each of the investment companies | |
(industrial machinery); Director of SKF AB (industrial | served by The Vanguard Group since 2008; Treasurer | |
machinery), Hillenbrand, Inc. (specialized consumer | of each of the investment companies served by The | |
services), the Lumina Foundation for Education, and | Vanguard Group (1998–2008). | |
Oxfam America; Chairman of the Advisory Council | ||
for the College of Arts and Letters and Member | Kathryn J. Hyatt | |
of the Advisory Board to the Kellogg Institute for | Born 1955. Treasurer Since November 2008. Principal | |
International Studies at the University of Notre Dame. | Occupation(s) During the Past Five Years: Principal | |
of The Vanguard Group, Inc.; Treasurer of each of | ||
André F. Perold | the investment companies served by The Vanguard | |
Born 1952. Trustee Since December 2004. Principal | Group since 2008; Assistant Treasurer of each of the | |
Occupation(s) During the Past Five Years: George | investment companies served by The Vanguard Group | |
Gund Professor of Finance and Banking at the Harvard | (1988–2008). | |
Business School; Chair of the Investment Committee | ||
of HighVista Strategies LLC (private investment firm). | Heidi Stam | |
Born 1956. Secretary Since July 2005. Principal | ||
Alfred M. Rankin, Jr. | Occupation(s) During the Past Five Years: Managing | |
Born 1941. Trustee Since January 1993. Principal | Director of The Vanguard Group, Inc., since 2006; | |
Occupation(s) During the Past Five Years: Chairman, | General Counsel of The Vanguard Group since 2005; | |
President, and Chief Executive Officer of NACCO | Secretary of The Vanguard Group and of each of the | |
Industries, Inc. (forklift trucks/housewares/lignite); | investment companies served by The Vanguard Group | |
Director of Goodrich Corporation (industrial products/ | since 2005; Director and Senior Vice President of | |
aircraft systems and services) and the National | Vanguard Marketing Corporation since 2005; | |
Association of Manufacturers; Chairman of the | Principal of The Vanguard Group (1997–2006). | |
Federal Reserve Bank of Cleveland; Vice Chairman | ||
of University Hospitals of Cleveland; President of | ||
the Board of The Cleveland Museum of Art. | Vanguard Senior Management Team | |
Peter F. Volanakis | R. Gregory Barton | Michael S. Miller |
Born 1955. Trustee Since July 2009. Principal | Mortimer J. Buckley | James M. Norris |
Occupation(s) During the Past Five Years: President | Kathleen C. Gubanich | Glenn W. Reed |
and Chief Operating Officer (retired 2010) of Corning | Paul A. Heller | George U. Sauter |
Incorporated (communications equipment); Director of | Martha G. King | |
Corning Incorporated (2000–2010) and Dow Corning | ||
(2001–2010); Overseer of the Amos Tuck School of | ||
Business Administration at Dartmouth College. | Chairman Emeritus and Senior Advisor | |
John J. Brennan | ||
Executive Officers | Chairman, 1996–2009 | |
Chief Executive Officer and President, 1996–2008 | ||
Glenn Booraem | ||
Born 1967. Controller Since July 2010. Principal | ||
Occupation(s) During the Past Five Years: Principal | Founder | |
of The Vanguard Group, Inc.; Controller of each of | ||
the investment companies served by The Vanguard | John C. Bogle | |
Group since 2010; Assistant Controller of each of | Chairman and Chief Executive Officer, 1974–1996 | |
the investment companies served by The Vanguard | ||
Group (2001–2010). |
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
P.O. Box 2600 | |
Valley Forge, PA 19482-2600 |
Connect with Vanguard® > vanguard.com
Fund Information > 800-662-7447 | |
Direct Investor Account Services > 800-662-2739 | |
Institutional Investor Services > 800-523-1036 | |
Text Telephone for People | |
With Hearing Impairment > 800-749-7273 | |
This material may be used in conjunction | |
with the offering of shares of any Vanguard | |
fund only if preceded or accompanied by | |
the fund’s current prospectus. | |
All comparative mutual fund data are from Lipper Inc. or | |
Morningstar, Inc., unless otherwise noted. | |
You can obtain a free copy of Vanguard’s proxy voting | |
guidelines by visiting vanguard.com/proxyreporting or by | |
calling Vanguard at 800-662-2739. The guidelines are | |
also available from the SEC’s website, sec.gov. In | |
addition, you may obtain a free report on how your fund | |
voted the proxies for securities it owned during the 12 | |
months ended June 30. To get the report, visit either | |
vanguard.com/proxyreporting or sec.gov. | |
You can review and copy information about your fund at | |
the SEC’s Public Reference Room in Washington, D.C. To | |
find out more about this public service, call the SEC at | |
202-551-8090. Information about your fund is also | |
available on the SEC’s website, and you can receive | |
copies of this information, for a fee, by sending a | |
request in either of two ways: via e-mail addressed to | |
publicinfo@sec.gov or via regular mail addressed to the | |
Public Reference Section, Securities and Exchange | |
Commission, Washington, DC 20549-1520. | |
© 2011 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q872 082011 |
Vanguard Tax-Managed International |
Fund Semiannual Report |
June 30, 2011 |
> Vanguard Tax-Managed International Fund—including its exchange-traded share class, Vanguard MSCI EAFE ETF—returned about 5% for the six months ended June 30, 2011, as global stock markets lagged their U.S. counterparts.
> European stocks were responsible for the fund’s positive returns, while Pacific stocks declined.
> Health care stocks were among the strongest performers across developed markets.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
Fund Profile. | 7 |
Performance Summary. | 9 |
Financial Statements. | 10 |
About Your Fund’s Expenses. | 23 |
Trustees Approve Advisory Arrangement. | 25 |
Glossary. | 26 |
Tax-Managed International Fund
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
Cover photograph: Jean Maher.
Your Fund’s Total Returns
Six Months Ended June 30, 2011 | |
Total | |
Returns | |
Vanguard Tax-Managed International Fund | |
Admiral™ Shares | 5.21% |
Institutional Shares | 5.12 |
MSCI EAFE ETF Shares | |
Market Price | 5.37 |
Net Asset Value | 5.20 |
MSCI EAFE Index | 4.98 |
International Funds Average | 4.38 |
International Funds Average: Derived from data provided by Lipper Inc.
Institutional Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the NYSE Arca exchange and are available only through brokers. The table provides ETF returns based on both the NYSE Arca market price and the net asset value for a share. U.S. Pat. No. 6,879,964 B2; 7,337,138.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
Your Fund’s Performance at a Glance | ||||
December 31, 2010 , Through June 30, 2011 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Tax-Managed International Fund | ||||
Admiral Shares | $11.58 | $12.18 | $0.003 | $0.000 |
Institutional Shares | 11.60 | 12.19 | 0.004 | 0.000 |
MSCI EAFE ETF Shares | 36.04 | 37.90 | 0.012 | 0.000 |
1
Chairman’s Letter
Dear Shareholder,
International stocks broadly trailed the returns of their U.S. counterparts for the six months ended June 30, 2011. Still, returns were mostly positive despite persistent anxiety in the financial markets. For the period, Vanguard Tax-Managed International Fund returned about 5% for all share classes.
The fund’s return was in line with that of its benchmark, the MSCI EAFE Index, a consequence of its index-oriented strategy. It surpassed the average return of peer international funds. Many of these competing funds invest in emerging markets, which trailed the return of the developed markets that make up the Tax-Managed International Fund.
As it has since its inception, the fund met its tax-management objective of avoiding the distribution of any capital gains during the period.
In May, Vanguard converted all of the fund’s Investor Shares to lower-cost Admiral Shares—part of our ongoing efforts to lower the cost of investing for all our clients. Please note also that the fund’s ETF Shares have had a name change: The former Vanguard Europe Pacific ETF is now Vanguard MSCI EAFE ETF.
2
Another important change occurred in July, after our reporting period closed: The Tax-Managed International Fund introduced a 2% fee on redemptions of shares held for less than two months. This replaced the fund’s previous 1% redemption fee for shares held for less than five years. The change aligns the fund with Vanguard’s other international funds, which also have a 2% redemption fee for shares held less than two months. These fees, intended to discourage short-term trading, are paid directly to the funds to help compensate for transaction costs. (The fees do not apply to ETF Shares.)
For stock markets,
a ragged six-month gain
Global stock markets climbed unsteadily as investor attitudes swung from giddy optimism about the strength of corporate earnings to fears that the slow, grinding recovery was losing momentum. Stock prices rallied through the first four months of 2011, pulled back as economic news turned gloomier, then bounced up again at the end of the period.
The broad U.S. stock market returned about 6% for the six months. International stock markets finished a few steps behind, restrained by sovereign-debt dramas in
Market Barometer | |||
Total Returns | |||
Periods Ended June 30, 2011 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 6.37% | 31.93% | 3.30% |
Russell 2000 Index (Small-caps) | 6.21 | 37.41 | 4.08 |
Dow Jones U.S. Total Stock Market Index | 6.01 | 32.26 | 3.66 |
MSCI All Country World Index ex USA (International) | 3.80 | 29.73 | 3.67 |
Bonds | |||
Barclays Capital U.S. Aggregate Bond Index (Broad | |||
taxable market) | 2.72% | 3.90% | 6.52% |
Barclays Capital Municipal Bond Index (Broad | |||
tax-exempt market) | 4.42 | 3.48 | 4.93 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.06 | 0.14 | 1.86 |
CPI | |||
Consumer Price Index | 2.99% | 3.56% | 2.15% |
3
Europe and the economic aftershocks of the Japanese natural and nuclear disaster. Gains were modest in emerging markets, too, as big economies such as China, India, and Brazil grappled with inflationary pressures.
Low yields, solid returns in the bond market
Bonds delivered solid six-month returns even as interest rates hovered near generational lows. Bond prices rallied in the spring as economic anxiety prompted a search for safer havens in fixed income. The broad taxable bond market returned almost 3%. The municipal market performed even better. Municipal securities were hammered early in the year as unsettling (and in our opinion, overstated) headlines raised doubts about their safety. Toward the end of the period, investors’ worries began to recede and prices rose.
The yields on money market instruments remained nearly invisible, consistent with the Federal Reserve Board’s target for short-term interest rates, which since December 2008 has been anchored between 0% and 0.25%.
Strength in European markets offset weakness in the Pacific
Stocks from Europe’s developed markets, which accounted for about two-thirds of the fund’s assets, were responsible for all of its positive return. Although market performance was modest when viewed
Expense Ratios | ||||
Your Fund Compared With Its Peer Group | ||||
MSCI | ||||
EAFE | ||||
Admiral | Institutional | ETF | Peer Group | |
Shares | Shares | Shares | Average | |
Tax-Managed International Fund | 0.18% | 0.08% | 0.12% | 1.42% |
The fund expense ratios shown are from the prospectus dated July 15, 2011, (May 13, 2011, for ETF shares), and represent estimated costs for the current fiscal year. For the six months ended June 30, 2011, the fund’s annualized expense ratios were 0.14% for Admiral Shares, 0.08% for Institutional Shares, and 0.12% for MSCI EAFE ETF Shares. The peer-group expense ratio is derived from data provided by Lipper Inc. and captures information through year-end 2010.
Peer group: International Funds.
4
from the perspective of investors in Frankfurt, Paris, or London, the appreciation of the euro and the pound relative to the U.S. dollar enhanced the returns of U.S.-based investors.
European stocks returned more than 9% for the period despite debt concerns in some of the region’s troubled economies. France, Spain, Germany, and Italy––four of the region’s larger markets––all posted double-digit returns. The United Kingdom, which made up more than 20% of the fund’s assets, returned less but still contributed strongly to the overall result. Greece, which was dealing with a sovereign-debt crisis, and Finland were the only markets to decline during the period. Because each accounted for no more than 1% of the fund’s assets on average, their troubles had little effect.
Across the region, all ten sectors recorded solid gains, with consumer discretionary and health care stocks delivering double-digit returns. Pharmaceutical companies began to find favor with investors again, in part because of the companies’ prospects for growth in fast-developing economies that will spend more on health care as per-capita wealth increases. In the consumer discretionary sector, stocks of German automobile manufacturers climbed as demand for luxury cars increased across global markets.
The results weren’t as rosy in the Pacific region, which represented about a third of the portfolio. Stocks in the region’s developed markets retreated roughly 2%. The Japanese market, which is the largest by far, rebounded fairly well from its plunge after the earthquake and nuclear disasters struck in March, but long-term economic and financial challenges remain. For the half-year, Japanese stocks declined more than 4%, with the financial and information technology sectors weighing most on returns. Hong Kong stocks also fell.
Australia, the Pacific region’s second-largest market, generated a return of about 3%, mostly on the strength of its financial sector. Stocks in Singapore and New Zealand also advanced, but these markets account for only a tiny part of the fund’s assets.
Diversification matters at home and abroad
International equities sometimes follow a different path from U.S. stocks, which suggests that they can counter some of each other’s swings in a portfolio. Indeed, Vanguard research indicates that a portfolio holding both would, over time, have experienced lower average volatility than one made up only of U.S. holdings. Our researchers found that the benefits of such diversification become more notable over the long term as differences in the economic and monetary cycles of various regions lead to differences in their stock market performance.
5
At Vanguard, we encourage you to focus on the long term and adhere to the time-tested principles of balance and diversification, both within and across asset classes. This typically means building a portfolio that holds a broad mix of stocks––including international equities––along with bonds and short-term reserves that suits your time horizon, goals, and risk tolerance.
Vanguard Tax-Managed International Fund, with its low expenses, proven tax-management strategy, and broad exposure to the developed international equity markets, can play an effective role in such a diversified portfolio.
As always, thank you for entrusting your assets to Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
July 18, 2011
6
Tax-Managed International Fund
Fund Profile
As of June 30, 2011
Share-Class Characteristics | |||
MSCI | |||
EAFE | |||
Admiral | Institutional | ETF | |
Shares | Shares | Shares | |
Ticker Symbol | VTMGX | VTMNX | VEA |
Expense Ratio1 | 0.18% | 0.08% | 0.12% |
Portfolio Characteristics | |||
MSCI AC | |||
MSCI | World | ||
EAFE | Index | ||
Fund | Index | ex USA | |
Number of Stocks | 925 | 944 | 1,863 |
Median Market Cap | $36.3B | $36.3B | $30.9B |
Price/Earnings Ratio | 13.1x | 12.8x | 13.0x |
Price/Book Ratio | 1.5x | 1.5x | 1.6x |
Return on Equity | 17.1% | 17.1% | 17.7% |
Earnings Growth Rate | -1.6% | -1.6% | 2.6% |
Dividend Yield | 3.4% | 3.4% | 3.1% |
Turnover Rate | |||
(Annualized) | 2% | — | — |
Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure) | |||
MSCI AC | |||
MSCI | World | ||
EAFE | Index | ||
Fund | Index | ex USA | |
Consumer | |||
Discretionary | 10.6% | 10.5% | 9.3% |
Consumer Staples | 10.3 | 10.2 | 8.8 |
Energy | 8.1 | 8.1 | 11.2 |
Financials | 22.9 | 23.5 | 24.5 |
Health Care | 8.8 | 8.7 | 6.3 |
Industrials | 13.1 | 12.8 | 11.0 |
Information | |||
Technology | 4.7 | 4.7 | 6.2 |
Materials | 11.4 | 11.3 | 12.9 |
Telecommunication | |||
Services | 5.5 | 5.5 | 5.7 |
Utilities | 4.6 | 4.7 | 4.1 |
Volatility Measures | ||
MSCI | MSCI AC | |
EAFE | World Index | |
Index | ex USA | |
R-Squared | 0.98 | 0.97 |
Beta | 1.04 | 1.00 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
Ten Largest Holdings (% of total net assets) | ||
BHP Billiton | Diversified Metals | |
& Mining | 2.1% | |
Royal Dutch Shell plc | Integrated Oil & | |
Gas | 1.9 | |
Nestle SA | Packaged Foods & | |
Meats | 1.9 | |
HSBC Holdings plc | Diversified Banks | 1.5 |
Rio Tinto | Diversified Metals | |
& Mining | 1.3 | |
Novartis AG | Pharmaceuticals | 1.2 |
BP plc | Integrated Oil & | |
Gas | 1.2 | |
Vodafone Group plc | Wireless | |
Telecommunication | ||
Services | 1.2 | |
Total SA | Integrated Oil & | |
Gas | 1.1 | |
Roche Holding AG | Pharmaceuticals | 1.0 |
Top Ten | 14.4% |
The holdings listed exclude any temporary cash investments and equity index products.
Allocation by Region (% of equity exposure)
1 The expense ratios shown are from the prospectus dated July 15, 2011 (May 13, 2011, for the ETF shares), and represent estimated costs for the current fiscal year. For the six months ended June 30, 2011, the annualized expense ratios were 0.14% for Admiral Shares, 0.08% for Institutional Shares, and 0.12% for MSCI EAFE ETF Shares.
7
Tax-Managed International Fund
Market Diversification (% of equity exposure) | |||
MSCI AC | |||
MSCI | World | ||
EAFE | Index | ||
Fund | Index | ex USA | |
Europe | |||
United Kingdom | 21.3% | 21.3% | 14.5% |
France | 10.5 | 10.5 | 7.1 |
Germany | 9.0 | 9.0 | 6.2 |
Switzerland | 8.4 | 8.3 | 5.7 |
Spain | 3.6 | 3.6 | 2.5 |
Sweden | 3.1 | 3.1 | 2.1 |
Italy | 2.8 | 2.8 | 1.9 |
Netherlands | 2.5 | 2.5 | 1.7 |
Denmark | 1.1 | 1.1 | 0.7 |
Finland | 1.0 | 1.0 | 0.7 |
Other | 2.9 | 3.0 | 2.1 |
Subtotal | 66.2% | 66.2% | 45.2% |
Pacific | |||
Japan | 20.2% | 20.0% | 13.7% |
Australia | 8.4 | 8.6 | 5.9 |
Hong Kong | 2.7 | 2.7 | 1.9 |
Singapore | 1.7 | 1.7 | 1.2 |
Other | 0.1 | 0.1 | 0.1 |
Subtotal | 33.1% | 33.1% | 22.8% |
Emerging Markets | 0.0% | 0.0% | 23.5% |
Middle East | 0.7% | 0.7% | 0.5% |
North America | 0.0% | 0.0% | 8.0% |
8
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 vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): December 31, 2000, Through June 30, 2011
Average Annual Total Returns: Periods Ended June 30, 2011 | ||||
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Admiral Shares | 8/17/1999 | 32.06% | 1.79% | 5.82% |
Fee-Adjusted Returns | 30.77 | 1.79 | 5.82 | |
Institutional Shares | 1/4/2001 | 32.15 | 1.86 | 5.91 |
Fee-Adjusted Returns | 30.86 | 1.86 | 5.91 | |
MSCI EAFE ETF Shares | 7/20/2007 | |||
Market Price | 33.53 | — | -4.171 | |
Net Asset Value | 32.11 | — | -4.241 |
See Financial Highlights for dividend and capital gains information.
9
Tax-Managed International Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of June 30, 2011
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | Percentage | ||
Value | of Net | ||
Shares | ($000) | Assets | |
Common Stocks | |||
Australia | |||
BHP Billiton Ltd. | 2,530,587 | 119,599 | 1.3% |
Commonwealth Bank of Australia | 1,219,032 | 68,657 | 0.8% |
Westpac Banking Corp. | 2,355,153 | 56,505 | 0.6% |
Australia & New Zealand Banking Group Ltd. | 2,031,641 | 48,160 | 0.5% |
National Australia Bank Ltd. | 1,697,166 | 46,923 | 0.5% |
Rio Tinto Ltd. | 351,352 | 31,449 | 0.4% |
Australia—Other † | 383,907 | 4.3% | |
755,200 | 8.4% | ||
Austria † | 29,575 | 0.3% | |
Belgium | |||
Anheuser-Busch InBev NV | 627,224 | 36,403 | 0.4% |
Belgium—Other † | 48,261 | 0.5% | |
84,664 | 0.9% | ||
Denmark | |||
Novo Nordisk A/S Class B | 329,512 | 41,281 | 0.5% |
Denmark—Other † | 54,449 | 0.6% | |
95,730 | 1.1% | ||
Finland † | 88,507 | 1.0% | |
France | |||
Total SA | 1,655,092 | 95,687 | 1.0% |
Sanofi | 869,040 | 69,907 | 0.8% |
BNP Paribas SA | 750,060 | 57,837 | 0.6% |
France—Other † | 721,230 | 8.0% | |
944,661 | 10.4% |
10
Tax-Managed International Fund
Market | Percentage | ||
Value | of Net | ||
Shares | ($000) | Assets | |
Germany | |||
Siemens AG | 645,925 | 88,764 | 1.0% |
BASF SE | 716,492 | 70,232 | 0.8% |
Daimler AG | 709,515 | 53,506 | 0.6% |
Bayer AG | 651,648 | 52,339 | 0.6% |
Allianz SE | 350,991 | 48,945 | 0.5% |
SAP AG | 717,506 | 43,502 | 0.5% |
Deutsche Bank AG | 732,569 | 43,237 | 0.5% |
E.ON AG | 1,410,298 | 40,087 | 0.4% |
Germany—Other † | 375,257 | 4.1% | |
815,869 | 9.0% | ||
Greece † | 20,260 | 0.2% | |
Hong Kong | |||
Hang Seng Bank Ltd. | 597,343 | 9,555 | 0.1% |
Hong Kong—Other † | 236,932 | 2.6% | |
246,487 | 2.7% | ||
Ireland † | 23,632 | 0.3% | |
Israel † | 64,421 | 0.7% | |
Italy | |||
ENI SPA | 1,893,722 | 44,879 | 0.5% |
Italy—Other † | 205,012 | 2.3% | |
249,891 | 2.8% | ||
Japan | |||
Toyota Motor Corp. | 2,169,018 | 89,318 | 1.0% |
Honda Motor Co. Ltd. | 1,264,939 | 48,734 | 0.6% |
Mitsubishi UFJ Financial Group Inc. | 9,900,944 | 48,251 | 0.5% |
Canon Inc. | 879,033 | 41,812 | 0.5% |
Chugai Pharmaceutical Co. Ltd. | 202,000 | 3,312 | 0.0% |
Daihatsu Motor Co. Ltd. | 156,000 | 2,655 | 0.0% |
Hino Motors Ltd. | 145,000 | 847 | 0.0% |
Japan—Other † | 1,595,533 | 17.6% | |
1,830,462 | 20.2% | ||
Netherlands | |||
Unilever NV | 1,287,061 | 42,242 | 0.5% |
* ING Groep NV | 3,031,860 | 37,363 | 0.4% |
Netherlands—Other † | 149,395 | 1.6% | |
229,000 | 2.5% | ||
New Zealand † | 10,909 | 0.1% | |
Norway † | 82,363 | 0.9% | |
Portugal † | 23,505 | 0.3% | |
Singapore † | 155,592 | 1.7% |
11
Tax-Managed International Fund
Market | Percentage | ||
Value | of Net | ||
Shares | ($000) | Assets | |
Spain | |||
Telefonica SA | 3,201,149 | 78,184 | 0.9% |
Banco Santander SA | 6,586,625 | 75,879 | 0.9% |
Banco Bilbao Vizcaya Argentaria SA | 3,376,462 | 39,636 | 0.4% |
Spain—Other † | 129,757 | 1.4% | |
323,456 | 3.6% | ||
Sweden † | 280,626 | 3.1% | |
Switzerland | |||
Nestle SA | 2,721,222 | 169,338 | 1.9% |
Novartis AG | 1,831,399 | 112,241 | 1.2% |
Roche Holding AG | 552,958 | 92,577 | 1.0% |
* UBS AG | 2,868,350 | 52,346 | 0.6% |
ABB Ltd. | 1,723,600 | 44,783 | 0.5% |
Switzerland—Other † | 287,735 | 3.2% | |
759,020 | 8.4% | ||
United Kingdom | |||
HSBC Holdings plc | 13,876,066 | 137,578 | 1.5% |
BP plc | 14,696,912 | 108,214 | 1.2% |
Vodafone Group plc | 40,765,737 | 108,097 | 1.2% |
Royal Dutch Shell plc Class A | 2,621,894 | 93,297 | 1.0% |
GlaxoSmithKline plc | 4,082,603 | 87,508 | 1.0% |
Rio Tinto plc | 1,144,590 | 82,646 | 0.9% |
Royal Dutch Shell plc Class B | 2,117,203 | 75,555 | 0.8% |
British American Tobacco plc | 1,571,789 | 68,926 | 0.8% |
BHP Billiton plc | 1,714,910 | 67,385 | 0.7% |
BG Group plc | 2,654,870 | 60,281 | 0.7% |
AstraZeneca plc | 1,098,430 | 54,901 | 0.6% |
Anglo American plc | 1,044,786 | 51,815 | 0.6% |
Standard Chartered plc | 1,828,925 | 48,042 | 0.5% |
Diageo plc | 1,980,808 | 40,525 | 0.5% |
Tesco plc | 6,106,539 | 39,454 | 0.4% |
Barclays plc | 9,123,609 | 37,428 | 0.4% |
Xstrata plc | 1,639,540 | 36,112 | 0.4% |
Royal Dutch Shell plc Class A (Amsterdam Shares) | 167,144 | 5,935 | 0.1% |
United Kingdom—Other † | 725,355 | 8.0% | |
1,929,054 | 21.3% | ||
Total Common Stocks (Cost $8,369,390) | 9,042,884 | 99.9% | |
Other Assets and Liabilities | |||
Other Assets | 34,509 | 0.4% | |
Liabilities | (28,915) | (0.3%) | |
5,594 | 0.1% | ||
Net Assets | 9,048,478 | 100.0% |
12
Tax-Managed International Fund
At June 30, 2011, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 8,647,284 |
Undistributed Net Investment Income | 167,055 |
Accumulated Net Realized Losses | (439,513) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 673,494 |
Foreign Currencies | 158 |
Net Assets | 9,048,478 |
Admiral Shares—Net Assets | |
Applicable to 126,774,916 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 1,544,169 |
Net Asset Value Per Share—Admiral Shares | $12.18 |
Institutional Shares—Net Assets | |
Applicable to 25,328,193 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 308,870 |
Net Asset Value Per Share—Institutional Shares | $12.19 |
ETF Shares—Net Assets | |
Applicable to 189,869,905 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 7,195,439 |
Net Asset Value Per Share—ETF Shares | $37.90 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
See accompanying Notes, which are an integral part of the Financial Statements.
13
Tax-Managed International Fund
Statement of Operations | |
Six Months Ended | |
June 30, 2011 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 178,900 |
Interest2 | 20 |
Total Income | 178,920 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 340 |
Management and Administrative—Admiral Shares | 767 |
Management and Administrative—Institutional Shares | 45 |
Management and Administrative—ETF Shares | 2,230 |
Marketing and Distribution—Admiral Shares | 140 |
Marketing and Distribution—Institutional Shares | 39 |
Marketing and Distribution—ETF Shares | 888 |
Custodian Fees | 451 |
Shareholders’ Reports—Admiral Shares | 1 |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—ETF Shares | 9 |
Trustees’ Fees and Expenses | 3 |
Total Expenses | 4,913 |
Net Investment Income | 174,007 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 49,028 |
Foreign Currencies | 1,007 |
Realized Net Gain (Loss) | 50,035 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 156,742 |
Foreign Currencies | 137 |
Change in Unrealized Appreciation (Depreciation) | 156,879 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 380,921 |
1 Dividends are net of foreign withholding taxes of $17,267,000. | |
2 Interest income from an affiliated company of the fund was $20,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
14
Tax-Managed International Fund
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2011 | 2010 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 174,007 | 168,238 |
Realized Net Gain (Loss) | 50,035 | 288,616 |
Change in Unrealized Appreciation (Depreciation) | 156,879 | 102,039 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 380,921 | 558,893 |
Distributions | ||
Net Investment Income | ||
Admiral Shares1 | (381) | (35,288) |
Institutional Shares | (100) | (6,263) |
ETF Shares | (1,972) | (129,223) |
Realized Capital Gain | ||
Admiral Shares1 | — | — |
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (2,453) | (170,774) |
Capital Share Transactions | ||
Admiral Shares1 | (7,456) | (11,713) |
Institutional Shares | 41,473 | 24,551 |
ETF Shares | 1,493,485 | 757,013 |
Net Increase (Decrease) from Capital Share Transactions | 1,527,502 | 769,851 |
Total Increase (Decrease) | 1,905,970 | 1,157,970 |
Net Assets | ||
Beginning of Period | 7,142,508 | 5,984,538 |
End of Period2 | 9,048,478 | 7,142,508 |
1 Investor Shares were renamed Admiral Shares as of the close of business on May 13, 2011. Prior period’s Distributions and Capital Share Transactions are for the Investor class.
2 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $167,055,000 and ($5,506,000).
See accompanying Notes, which are an integral part of the Financial Statements.
15
Tax-Managed International Fund
Financial Highlights
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $11.58 | $10.95 | $8.74 | $15.40 | $14.16 | $11.48 |
Investment Operations | ||||||
Net Investment Income | .236 | .278 | .2771 | .290 | .332 | .331 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | .367 | .634 | 2.190 | (6.661) | 1.244 | 2.685 |
Total from Investment Operations | .603 | .912 | 2.467 | (6.371) | 1.576 | 3.016 |
Distributions | ||||||
Dividends from Net Investment Income | (.003) | (.282) | (.257) | (.289) | (.336) | (.336) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.003) | (.282) | (.257) | (.289) | (.336) | (.336) |
Net Asset Value, End of Period | $12.18 | $11.58 | $10.95 | $8.74 | $15.40 | $14.16 |
Total Return2 | 5.21% | 8.36% | 28.27% | -41.27% | 11.15% | 26.27% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,544 | $1,476 | $1,409 | $1,131 | $1,915 | $1,624 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.14% | 0.18% | 0.20% | 0.15% | 0.15% | 0.20% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 4.32% | 2.70% | 2.87% | 3.47% | 2.71% | 2.70% |
Portfolio Turnover Rate3 | 2% | 6% | 9% | 16% | 6% | 4% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
Investor Shares were renamed Admiral Shares as of the close of business on May 13, 2011. Prior periods’ Financial Highlights are for the Investor class.
1 Calculated based on average shares outstanding.
2 Total returns do not include transaction or account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction and account service fees.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
16
Tax-Managed International Fund
Financial Highlights
Institutional Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 |
Net Asset Value, Beginning of Period | $11.60 | $10.96 | $8.74 | $15.41 | $14.17 | $11.48 |
Investment Operations | ||||||
Net Investment Income | .240 | .289 | .2881 | .296 | .341 | .348 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | .354 | .644 | 2.197 | (6.671) | 1.244 | 2.685 |
Total from Investment Operations | .594 | .933 | 2.485 | (6.375) | 1.585 | 3.033 |
Distributions | ||||||
Dividends from Net Investment Income | (.004) | (.293) | (.265) | (.295) | (.345) | (.343) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.004) | (.293) | (.265) | (.295) | (.345) | (.343) |
Net Asset Value, End of Period | $12.19 | $11.60 | $10.96 | $8.74 | $15.41 | $14.17 |
Total Return2 | 5.12% | 8.55% | 28.48% | -41.27% | 11.21% | 26.42% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $309 | $253 | $219 | $242 | $568 | $258 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.10% | 0.09% | 0.09% | 0.14% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 4.38% | 2.80% | 2.97% | 3.53% | 2.77% | 2.76% |
Portfolio Turnover Rate3 | 2% | 6% | 9% | 16% | 6% | 4% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Total returns do not include transaction fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction fees.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
17
Tax-Managed International Fund
Financial Highlights
MSCI EAFE ETF Shares | |||||
Six Months | July 20, | ||||
Ended | 20071 to | ||||
June 30, | Year Ended December 31, | Dec. 31, | |||
For a Share Outstanding Throughout Each Period | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $36.04 | $34.06 | $27.18 | $47.92 | $49.99 |
Investment Operations | |||||
Net Investment Income | .738 | .887 | .8602 | .934 | .204 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | 1.134 | 1.990 | 6.836 | (20.744) | (1.219) |
Total from Investment Operations | 1.872 | 2.877 | 7.696 | (19.810) | (1.015) |
Distributions | |||||
Dividends from Net Investment Income | (.012) | (.897) | (.816) | (.930) | (1.055) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.012) | (.897) | (.816) | (.930) | (1.055) |
Net Asset Value, End of Period | $37.90 | $36.04 | $34.06 | $27.18 | $47.92 |
Total Return | 5.20% | 8.47% | 28.34% | -41.25% | -2.02% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $7,195 | $5,414 | $4,356 | $2,292 | $653 |
Ratio of Total Expenses to | |||||
Average Net Assets | 0.12% | 0.12% | 0.15% | 0.11% | 0.12%3 |
Ratio of Net Investment Income to | |||||
Average Net Assets | 4.34% | 2.76% | 2.92% | 3.51% | 2.74%3 |
Portfolio Turnover Rate4 | 2% | 6% | 9% | 16% | 6% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Calculated based on average shares outstanding.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
18
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 invests in securities of foreign issuers, which may subject it to investment risks not normally associated with investing in securities of U.S. corporations. The fund offers three classes of shares: Admiral Shares, Institutional Shares, and ETF Shares. Admiral Shares are available to any investor who meets the fund’s minimum purchase requirements. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. ETF Shares, known as Vanguard MSCI EAFE ETF Shares, are listed for trading on the NYSE Arca, Inc.; they can be purchased and sold through a broker. Prior to May 14, 2011, the fund offered Investor Shares. Effective at the close of business on May 13, 2011, the Investor Shares were renamed Admiral Shares.
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 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 using exchange rates obtained from an independent third party as of the fund’s pricing time on the valuation date. 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 assets or liabilities are settled in cash, at which time 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. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2007–2010), and for the period ended June 30, 2011, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
19
Tax-Managed International Fund
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.
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 June 30, 2011, the fund had contributed capital of $1,373,000 to Vanguard (included in Other Assets), representing 0.02% of the fund’s net assets and 0.55% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the fund’s investments as of June 30, 2011, based on the inputs used
to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 8,098 | 9,034,786 | — |
The following table summarizes changes in investments valued based on Level 3 inputs during the six months ended June 30, 2011:
Investments in | |
Common Stocks | |
Amount valued based on Level 3 Inputs | ($000) |
Balance as of December 31, 2010 | 75 |
Change in Unrealized Appreciation (Depreciation) | (75) |
Balance as of June 30, 2011 | — |
20
Tax-Managed International Fund
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended June 30, 2011, the fund realized net foreign currency gains of $1,007,000, which increased distributable net income for tax purposes; accordingly, such gains have been reclassified from accumulated net realized losses to undistributed net investment income.
During the six months ended June 30, 2011, the fund realized $56,738,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2010, the fund had available capital loss carryforwards totaling $431,803,000 to offset future net capital gains of $92,787,000 through December 31, 2016, and $339,016,000 through December 31, 2017. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2011; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2011, the cost of investment securities for tax purposes was $8,369,390,000. Net unrealized appreciation of investment securities for tax purposes was $673,494,000, consisting of unrealized gains of $1,289,366,000 on securities that had risen in value since their purchase and $615,872,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended June 30, 2011, the fund purchased $1,937,216,000 of investment securities and sold $246,222,000 of investment securities, other than temporary cash investments.
21
Tax-Managed International Fund
F. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2011 | December 31, 2010 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Admiral Shares1 | ||||
Issued | 46,782 | 3,922 | 110,270 | 10,303 |
Issued in Lieu of Cash Distributions | 300 | 26 | 27,785 | 2,426 |
Redeemed2 | (54,538) | (2,730) | (149,768) | (14,095) |
Net Increase (Decrease)—Admiral Shares | (7,456) | 1,218 | (11,713) | (1,366) |
Institutional Shares | ||||
Issued | 51,648 | 4,396 | 93,918 | 8,828 |
Issued in Lieu of Cash Distributions | 79 | 7 | 4,669 | 407 |
Redeemed2 | (10,254) | (856) | (74,036) | (7,475) |
Net Increase (Decrease)—Institutional Shares | 41,473 | 3,547 | 24,551 | 1,760 |
ETF Shares | ||||
Issued | 1,638,886 | 43,647 | 1,181,384 | 35,340 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed2 | (145,401) | (4,000) | (424,371) | (13,000) |
Net Increase (Decrease)—ETF Shares | 1,493,485 | 39,647 | 757,013 | 22,340 |
1 Investor Shares were renamed Admiral Shares as of the close of business on May 13, 2011. Prior period’s capital share transactions are for the Investor class.
2 Net of redemption fees for fiscal 2011 and 2010 of $138,000 and $957,000, respectively (fund totals).
G. In preparing the financial statements as of June 30, 2011, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
22
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
23
Six Months Ended June 30, 2011 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
Tax-Managed International Fund | 12/31/2010 | 6/30/2011 | Period |
Based on Actual Fund Return | |||
Admiral Shares | $1,000.00 | $1,052.08 | $0.71 |
Institutional Shares | 1,000.00 | 1,051.22 | 0.41 |
MSCI EAFE ETF Shares | 1,000.00 | 1,051.95 | 0.61 |
Based on Hypothetical 5% Yearly Return | |||
Admiral Shares | $1,000.00 | $1,024.10 | $0.70 |
Institutional Shares | 1,000.00 | 1,024.40 | 0.40 |
MSCI EAFE ETF Shares | 1,000.00 | 1,024.20 | 0.60 |
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.14% for Admiral Shares, 0.08% for Institutional Shares, and 0.12% for MSCI EAFE ETF Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period.
24
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard Tax-Managed International Fund has renewed the fund’s investment advisory arrangement with The Vanguard Group, Inc. Vanguard—through its Quantitative Equity Group—serves as the investment advisor for the fund. The board determined that continuing the fund’s internalized management structure was in the best interests of the fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board considered the quality of the fund’s investment management over both the short and long term, and took into account the organizational depth and stability of the advisor. The board noted that Vanguard has been managing investments for more than three decades. The Quantitative Equity Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement.
Investment performance
The board considered the short- and long-term performance of the fund, including any periods of outperformance or underperformance of a relevant benchmark and peer group. The board concluded that the fund has performed in line with expectations, and that its results have been consistent with its investment strategies. Information about the fund’s most recent performance can be found in the Performance Summary section of this report.
Cost
The board concluded that the fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that the fund’s advisory fee rate was also well below its peer-group average. Information about the fund’s expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements section.
The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the fund’s low-cost arrangement with Vanguard ensures that the fund will realize economies of scale as it grows, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangement again after a one-year period.
25
Glossary
Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
Dividend Yield. Dividend income earned by stocks, expressed as a percentage of the aggregate market value (or of net asset value, for a fund). The yield is determined by dividing the amount of the annual dividends by the aggregate value (or net asset value) at the end of the period. For a fund, the dividend yield is based solely on stock holdings and does not include any income produced by other investments.
Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund.
Equity Exposure. A measure that reflects a fund’s investments in stocks and stock futures. Any holdings in short-term reserves are excluded.
Expense Ratio. 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.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it.
Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds.
Price/Earnings Ratio. The ratio of a stock’s current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company’s future growth.
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
Return on Equity. The annual average rate of return generated by a company during the past five years for each dollar of shareholder’s equity (net income divided by shareholder’s equity). For a fund, the weighted average return on equity for the companies whose stocks it holds.
26
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.
27
The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 178 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
Interested Trustee1 | and President (2006–2008) of Rohm and Haas Co. |
(chemicals); Director of Tyco International, Ltd. | |
F. William McNabb III | (diversified manufacturing and services) and Hewlett- |
Born 1957. Trustee Since July 2009. Chairman of the | Packard Co. (electronic computer manufacturing); |
Board. Principal Occupation(s) During the Past Five | Senior Advisor at New Mountain Capital; Trustee |
Years: Chairman of the Board of The Vanguard Group, | of The Conference Board; Member of the Board of |
Inc., and of each of the investment companies served | Managers of Delphi Automotive LLP (automotive |
by The Vanguard Group, since January 2010; Director | components). |
of The Vanguard Group since 2008; Chief Executive | |
Officer and President of The Vanguard Group and of | Amy Gutmann |
each of the investment companies served by The | Born 1949. Trustee Since June 2006. Principal |
Vanguard Group since 2008; Director of Vanguard | Occupation(s) During the Past Five Years: President |
Marketing Corporation; Managing Director of The | of the University of Pennsylvania; Christopher H. |
Vanguard Group (1995–2008). | Browne Distinguished Professor of Political Science |
in the School of Arts and Sciences with secondary | |
appointments at the Annenberg School for Commu- | |
Independent Trustees | nication and the Graduate School of Education |
of the University of Pennsylvania; Director of | |
Emerson U. Fullwood | Carnegie Corporation of New York, Schuylkill River |
Born 1948. Trustee Since January 2008. Principal | Development Corporation, and Greater Philadelphia |
Occupation(s) During the Past Five Years: Executive | Chamber of Commerce; Trustee of the National |
Chief Staff and Marketing Officer for North America | Constitution Center; Chair of the Presidential |
and Corporate Vice President (retired 2008) of Xerox | Commission for the Study of Bioethical Issues. |
Corporation (document management products and | |
services); Executive in Residence and 2010 | JoAnn Heffernan Heisen |
Distinguished Minett Professor at the Rochester | Born 1950. Trustee Since July 1998. Principal |
Institute of Technology; Director of SPX Corporation | Occupation(s) During the Past Five Years: Corporate |
(multi-industry manufacturing), the United Way of | Vice President and Chief Global Diversity Officer |
Rochester, Amerigroup Corporation (managed health | (retired 2008) and Member of the Executive |
care), the University of Rochester Medical Center, | Committee (1997–2008) of Johnson & Johnson |
Monroe Community College Foundation, and North | (pharmaceuticals/consumer products); Director of |
Carolina A&T University. | Skytop Lodge Corporation (hotels), the University |
Medical Center at Princeton, the Robert Wood | |
Rajiv L. Gupta | Johnson Foundation, and the Center for Work Life |
Born 1945. Trustee Since December 2001.2 | Policy; Member of the Advisory Board of the |
Principal Occupation(s) During the Past Five Years: | Maxwell School of Citizenship and Public Affairs |
Chairman and Chief Executive Officer (retired 2009) | at Syracuse University. |
F. Joseph Loughrey | Thomas J. Higgins | |
Born 1949. Trustee Since October 2009. Principal | Born 1957. Chief Financial Officer Since September | |
Occupation(s) During the Past Five Years: President | 2008. Principal Occupation(s) During the Past Five | |
and Chief Operating Officer (retired 2009) and Vice | Years: Principal of The Vanguard Group, Inc.; Chief | |
Chairman of the Board (2008–2009) of Cummins Inc. | Financial Officer of each of the investment companies | |
(industrial machinery); Director of SKF AB (industrial | served by The Vanguard Group since 2008; Treasurer | |
machinery), Hillenbrand, Inc. (specialized consumer | of each of the investment companies served by The | |
services), the Lumina Foundation for Education, and | Vanguard Group (1998–2008). | |
Oxfam America; Chairman of the Advisory Council | ||
for the College of Arts and Letters and Member | Kathryn J. Hyatt | |
of the Advisory Board to the Kellogg Institute for | Born 1955. Treasurer Since November 2008. Principal | |
International Studies at the University of Notre Dame. | Occupation(s) During the Past Five Years: Principal | |
of The Vanguard Group, Inc.; Treasurer of each of | ||
André F. Perold | the investment companies served by The Vanguard | |
Born 1952. Trustee Since December 2004. Principal | Group since 2008; Assistant Treasurer of each of the | |
Occupation(s) During the Past Five Years: George | investment companies served by The Vanguard Group | |
Gund Professor of Finance and Banking at the Harvard | (1988–2008). | |
Business School; Chair of the Investment Committee | ||
of HighVista Strategies LLC (private investment firm). | Heidi Stam | |
Born 1956. Secretary Since July 2005. Principal | ||
Alfred M. Rankin, Jr. | Occupation(s) During the Past Five Years: Managing | |
Born 1941. Trustee Since January 1993. Principal | Director of The Vanguard Group, Inc., since 2006; | |
Occupation(s) During the Past Five Years: Chairman, | General Counsel of The Vanguard Group since 2005; | |
President, and Chief Executive Officer of NACCO | Secretary of The Vanguard Group and of each of the | |
Industries, Inc. (forklift trucks/housewares/lignite); | investment companies served by The Vanguard Group | |
Director of Goodrich Corporation (industrial products/ | since 2005; Director and Senior Vice President of | |
aircraft systems and services) and the National | Vanguard Marketing Corporation since 2005; | |
Association of Manufacturers; Chairman of the | Principal of The Vanguard Group (1997–2006). | |
Federal Reserve Bank of Cleveland; Vice Chairman | ||
of University Hospitals of Cleveland; President of | ||
the Board of The Cleveland Museum of Art. | Vanguard Senior Management Team | |
Peter F. Volanakis | R. Gregory Barton | Michael S. Miller |
Born 1955. Trustee Since July 2009. Principal | Mortimer J. Buckley | James M. Norris |
Occupation(s) During the Past Five Years: President | Kathleen C. Gubanich | Glenn W. Reed |
and Chief Operating Officer (retired 2010) of Corning | Paul A. Heller | George U. Sauter |
Incorporated (communications equipment); Director of | Martha G. King | |
Corning Incorporated (2000–2010) and Dow Corning | ||
(2001–2010); Overseer of the Amos Tuck School of | ||
Business Administration at Dartmouth College. | Chairman Emeritus and Senior Advisor | |
John J. Brennan | ||
Executive Officers | Chairman, 1996–2009 | |
Chief Executive Officer and President, 1996–2008 | ||
Glenn Booraem | ||
Born 1967. Controller Since July 2010. Principal | ||
Occupation(s) During the Past Five Years: Principal | Founder | |
of The Vanguard Group, Inc.; Controller of each of | ||
the investment companies served by The Vanguard | John C. Bogle | |
Group since 2010; Assistant Controller of each of | Chairman and Chief Executive Officer, 1974–1996 | |
the investment companies served by The Vanguard | ||
Group (2001–2010). |
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, Vanguard Growth Equity Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
P.O. Box 2600 | |
Valley Forge, PA 19482-2600 |
Connect with Vanguard® > vanguard.com
Fund Information > 800-662-7447 | |
Direct Investor Account Services > 800-662-2739 | |
Institutional Investor Services > 800-523-1036 | |
Text Telephone for People | |
With Hearing Impairment > 800-749-7273 | |
This material may be used in conjunction | |
with the offering of shares of any Vanguard | |
fund only if preceded or accompanied by | |
the fund’s current prospectus. | |
All comparative mutual fund data are from Lipper Inc. or | |
Morningstar, Inc., unless otherwise noted. | |
You can obtain a free copy of Vanguard’s proxy voting | |
guidelines by visiting vanguard.com/proxyreporting or by | |
calling Vanguard at 800-662-2739. The guidelines are | |
also available from the SEC’s website, sec.gov. In | |
addition, you may obtain a free report on how your fund | |
voted the proxies for securities it owned during the 12 | |
months ended June 30. To get the report, visit either | |
vanguard.com/proxyreporting or sec.gov. | |
You can review and copy information about your fund at | |
the SEC’s Public Reference Room in Washington, D.C. To | |
find out more about this public service, call the SEC at | |
202-551-8090. Information about your fund is also | |
available on the SEC’s website, and you can receive | |
copies of this information, for a fee, by sending a | |
request in either of two ways: via e-mail addressed to | |
publicinfo@sec.gov or via regular mail addressed to the | |
Public Reference Section, Securities and Exchange | |
Commission, Washington, DC 20549-1520. | |
© 2011 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q1272 082011 |
Vanguard® Tax-Managed International Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (99.9%) | |||
Australia (8.4%) | |||
BHP Billiton Ltd. | 2,530,587 | 119,599 | |
Commonwealth Bank of Australia | 1,219,032 | 68,657 | |
Westpac Banking Corp. | 2,355,153 | 56,505 | |
Australia & New Zealand Banking Group Ltd. | 2,031,641 | 48,160 | |
National Australia Bank Ltd. | 1,697,166 | 46,923 | |
Rio Tinto Ltd. | 351,352 | 31,449 | |
Woolworths Ltd. | 957,025 | 28,555 | |
Wesfarmers Ltd. | 799,612 | 27,404 | |
Newcrest Mining Ltd. | 582,153 | 23,589 | |
Woodside Petroleum Ltd. | 493,204 | 21,759 | |
QBE Insurance Group Ltd. | 838,092 | 15,555 | |
CSL Ltd. | 432,959 | 15,390 | |
Origin Energy Ltd. | 868,683 | 14,770 | |
AMP Ltd. | 2,370,952 | 12,469 | |
Telstra Corp. Ltd. | 3,587,373 | 11,147 | |
Santos Ltd. | 679,400 | 9,906 | |
Macquarie Group Ltd. | 290,107 | 9,787 | |
Suncorp Group Ltd. | 1,064,420 | 9,304 | |
Brambles Ltd. | 1,159,500 | 9,015 | |
Orica Ltd. | 300,861 | 8,723 | |
Foster's Group Ltd. | 1,548,605 | 8,571 | |
Amcor Ltd. | 1,050,474 | 8,140 | |
Insurance Australia Group Ltd. | 1,837,040 | 6,716 | |
Fortescue Metals Group Ltd. | 962,537 | 6,605 | |
Incitec Pivot Ltd. | 1,493,092 | 6,218 | |
Transurban Group | 1,080,810 | 6,071 | |
AGL Energy Ltd. | 379,426 | 5,972 | |
Coca-Cola Amatil Ltd. | 471,572 | 5,786 | |
Iluka Resources Ltd. | 319,298 | 5,776 | |
WorleyParsons Ltd. | 175,644 | 5,348 | |
ASX Ltd. | 161,016 | 5,276 | |
Sonic Healthcare Ltd. | 346,575 | 4,796 | |
Lend Lease Group | 493,228 | 4,763 | |
Asciano Ltd. | 2,665,395 | 4,712 | |
* | QR National Ltd. | 1,289,956 | 4,694 |
Alumina Ltd. | 2,031,987 | 4,654 | |
OZ Minerals Ltd. | 299,478 | 4,262 | |
Cochlear Ltd. | 54,773 | 4,239 | |
Computershare Ltd. | 433,476 | 4,141 | |
Wesfarmers Ltd. Price Protected Shares | 114,109 | 3,957 | |
Tatts Group Ltd. | 1,368,767 | 3,534 | |
Metcash Ltd. | 752,071 | 3,356 | |
Toll Holdings Ltd. | 625,200 | 3,262 | |
Crown Ltd. | 335,669 | 3,227 | |
Boral Ltd. | 679,073 | 3,220 | |
Sims Metal Management Ltd. | 165,419 | 3,145 | |
Leighton Holdings Ltd. | 136,117 | 3,071 | |
Bendigo and Adelaide Bank Ltd. | 292,164 | 2,786 | |
* | James Hardie Industries SE | 438,858 | 2,780 |
* | Echo Entertainment Group Ltd. | 592,072 | 2,610 |
* | Lynas Corp. Ltd. | 1,334,703 | 2,536 |
BlueScope Steel Ltd. | 1,802,655 | 2,346 | |
OneSteel Ltd. | 1,087,925 | 2,173 | |
TABCORP Holdings Ltd. | 611,276 | 2,162 | |
* | Qantas Airways Ltd. | 1,054,678 | 2,093 |
SP AusNet | 1,988,465 | 2,017 | |
Ramsay Health Care Ltd. | 98,589 | 1,926 | |
Fairfax Media Ltd. | 1,680,902 | 1,774 | |
Harvey Norman Holdings Ltd. | 574,464 | 1,538 | |
MacArthur Coal Ltd. | 123,955 | 1,462 | |
Caltex Australia Ltd. | 111,480 | 1,415 |
Vanguard® Tax-Managed International Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Paladin Energy Ltd. | 505,843 | 1,379 |
MAp Group | 289,224 | 1,039 | |
Newcrest Mining Ltd. ADR | 22,953 | 928 | |
Sims Metal Management Ltd. ADR | 3,072 | 58 | |
755,200 | |||
Austria (0.3%) | |||
Erste Group Bank AG | 158,275 | 8,289 | |
OMV AG | 126,581 | 5,530 | |
Voestalpine AG | 82,793 | 4,566 | |
Telekom Austria AG | 291,612 | 3,718 | |
Verbund AG | 67,908 | 2,957 | |
Raiffeisen Bank International AG | 44,091 | 2,271 | |
Vienna Insurance Group AG Wiener Versicherung Gruppe | 40,850 | 2,244 | |
29,575 | |||
Belgium (0.9%) | |||
Anheuser-Busch InBev NV | 627,224 | 36,403 | |
Solvay SA Class A | 50,268 | 7,761 | |
Delhaize Group SA | 83,516 | 6,267 | |
KBC Groep NV | 141,878 | 5,567 | |
Umicore SA | 100,165 | 5,463 | |
Belgacom SA | 132,730 | 4,730 | |
Ageas | 1,672,026 | 4,529 | |
UCB SA | 91,825 | 4,126 | |
Colruyt SA | 68,252 | 3,417 | |
Bekaert SA | 28,985 | 2,207 | |
* | Dexia SA | 696,039 | 2,167 |
Mobistar SA | 26,721 | 2,027 | |
84,664 | |||
Denmark (1.1%) | |||
Novo Nordisk A/S Class B | 329,512 | 41,281 | |
Carlsberg A/S Class B | 88,861 | 9,676 | |
AP Moller - Maersk A/S Class B | 1,114 | 9,617 | |
* | Danske Bank A/S | 494,586 | 9,154 |
Novozymes A/S | 33,741 | 5,498 | |
* | Vestas Wind Systems A/S | 170,383 | 3,955 |
DSV A/S | 142,722 | 3,426 | |
AP Moller - Maersk A/S | 392 | 3,247 | |
* | TDC A/S | 306,412 | 2,796 |
* | William Demant Holding A/S | 24,913 | 2,250 |
Coloplast A/S Class B | 14,275 | 2,171 | |
Tryg A/S | 25,861 | 1,493 | |
Pandora A/S | 36,954 | 1,166 | |
95,730 | |||
Finland (1.0%) | |||
Nokia Oyj | 2,908,214 | 18,760 | |
Sampo Oyj | 348,699 | 11,258 | |
Fortum Oyj | 364,896 | 10,580 | |
Kone Oyj Class B | 132,524 | 8,326 | |
UPM-Kymmene Oyj | 379,897 | 6,951 | |
Metso Oyj | 91,402 | 5,196 | |
Stora Enso Oyj | 455,212 | 4,780 | |
Wartsila Oyj | 138,536 | 4,685 | |
Nokian Renkaat Oyj | 91,781 | 4,609 | |
Neste Oil Oyj | 140,304 | 2,201 | |
Pohjola Bank plc Class A | 150,077 | 1,941 | |
Kesko Oyj Class B | 39,860 | 1,854 | |
Elisa Oyj | 79,630 | 1,714 | |
Rautaruukki Oyj | 71,895 | 1,625 | |
Outokumpu Oyj | 116,169 | 1,539 | |
Orion Oyj Class B | 50,794 | 1,310 | |
Sanoma Oyj | 63,480 | 1,178 | |
88,507 |
Vanguard® Tax-Managed International Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
France (10.4%) | |||
Total SA | 1,655,092 | 95,687 | |
Sanofi | 869,040 | 69,907 | |
BNP Paribas SA | 750,060 | 57,837 | |
GDF Suez | 964,443 | 35,248 | |
LVMH Moet Hennessy Louis Vuitton SA | 191,490 | 34,410 | |
Danone | 456,468 | 34,077 | |
Air Liquide SA | 222,784 | 31,917 | |
Schneider Electric SA | 190,843 | 31,866 | |
France Telecom SA | 1,461,715 | 31,081 | |
AXA SA | 1,347,121 | 30,580 | |
Societe Generale SA | 497,917 | 29,490 | |
Vivendi SA | 971,320 | 27,074 | |
L'Oreal SA | 187,030 | 24,272 | |
ArcelorMittal | 669,026 | 23,266 | |
Vinci SA | 339,462 | 21,786 | |
Cie de St-Gobain | 307,664 | 19,942 | |
* | Carrefour SA | 466,909 | 19,194 |
Unibail-Rodamco SE | 73,949 | 17,086 | |
Pernod-Ricard SA | 157,733 | 15,557 | |
Cie Generale des Etablissements Michelin Class B | 141,201 | 13,829 | |
Cie Generale d'Optique Essilor International SA | 164,200 | 13,323 | |
Credit Agricole SA | 744,472 | 11,185 | |
Vallourec SA | 89,041 | 10,856 | |
* | Alcatel-Lucent | 1,846,405 | 10,655 |
PPR | 59,415 | 10,582 | |
Lafarge SA | 163,816 | 10,438 | |
European Aeronautic Defence and Space Co. NV | 305,865 | 10,237 | |
Alstom SA | 164,169 | 10,112 | |
Renault SA | 154,274 | 9,153 | |
Technip SA | 83,132 | 8,911 | |
Bouygues SA | 192,529 | 8,466 | |
Veolia Environnement SA | 274,104 | 7,723 | |
Christian Dior SA | 48,087 | 7,557 | |
Cap Gemini SA | 126,683 | 7,418 | |
EDF SA | 186,295 | 7,304 | |
SES SA | 234,833 | 6,597 | |
Legrand SA | 146,008 | 6,146 | |
Sodexo | 76,050 | 5,957 | |
Peugeot SA | 128,133 | 5,748 | |
Publicis Groupe SA | 102,868 | 5,743 | |
Safran SA | 134,315 | 5,731 | |
Accor SA | 121,818 | 5,450 | |
STMicroelectronics NV | 525,770 | 5,233 | |
Suez Environnement Co. | 241,732 | 4,817 | |
* | Cie Generale de Geophysique - Veritas | 126,519 | 4,637 |
Dassault Systemes SA | 52,903 | 4,499 | |
Lagardere SCA | 103,168 | 4,366 | |
Groupe Eurotunnel SA | 381,768 | 4,272 | |
Arkema SA | 39,675 | 4,081 | |
Casino Guichard Perrachon SA | 42,953 | 4,048 | |
SCOR SE | 140,659 | 3,992 | |
Bureau Veritas SA | 46,497 | 3,926 | |
Klepierre | 89,766 | 3,706 | |
Edenred | 121,413 | 3,702 | |
Eutelsat Communications SA | 73,490 | 3,309 | |
Thales SA | 72,865 | 3,138 | |
Natixis | 622,353 | 3,123 | |
CNP Assurances | 142,621 | 3,105 | |
Wendel SA | 23,048 | 2,830 | |
Gecina SA | 19,698 | 2,752 | |
ICADE | 21,744 | 2,679 | |
Fonciere Des Regions | 23,377 | 2,476 | |
Atos Origin SA | 43,817 | 2,475 |
Vanguard® Tax-Managed International Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Iliad SA | 17,020 | 2,284 | |
* | Air France-KLM | 138,742 | 2,131 |
Eramet | 5,400 | 1,787 | |
Societe Television Francaise 1 | 90,938 | 1,659 | |
Aeroports de Paris | 17,471 | 1,643 | |
Neopost SA | 18,471 | 1,587 | |
Imerys SA | 21,874 | 1,539 | |
Eiffage SA | 22,965 | 1,518 | |
Societe BIC SA | 15,614 | 1,508 | |
* | JCDecaux SA | 38,449 | 1,234 |
Metropole Television SA | 52,124 | 1,207 | |
944,661 | |||
Germany (9.0%) | |||
Siemens AG | 645,925 | 88,764 | |
BASF SE | 716,492 | 70,232 | |
Daimler AG | 709,515 | 53,506 | |
Bayer AG | 651,648 | 52,339 | |
Allianz SE | 350,991 | 48,945 | |
SAP AG | 717,506 | 43,502 | |
Deutsche Bank AG | 732,569 | 43,237 | |
E.ON AG | 1,410,298 | 40,087 | |
Deutsche Telekom AG | 2,237,233 | 34,910 | |
Bayerische Motoren Werke AG | 258,573 | 25,821 | |
Volkswagen AG Prior Pfd. | 115,005 | 23,783 | |
Linde AG | 133,380 | 23,401 | |
Muenchener Rueckversicherungs AG | 148,717 | 22,703 | |
RWE AG | 329,412 | 18,301 | |
ThyssenKrupp AG | 275,198 | 14,299 | |
Adidas AG | 167,444 | 13,275 | |
Deutsche Post AG | 663,544 | 12,757 | |
Deutsche Boerse AG | 158,989 | 12,072 | |
Fresenius Medical Care AG & Co. KGaA | 158,272 | 11,838 | |
* | Commerzbank AG | 2,716,771 | 11,702 |
MAN SE | 87,464 | 11,650 | |
Porsche Automobil Holding SE Prior Pfd. | 131,702 | 10,447 | |
Henkel AG & Co. KGaA Prior Pfd. | 145,617 | 10,126 | |
K&S AG | 126,338 | 9,701 | |
Infineon Technologies AG | 857,579 | 9,636 | |
Fresenius SE & Co. KGaA | 85,811 | 8,957 | |
Henkel AG & Co. KGaA | 110,267 | 6,328 | |
HeidelbergCement AG | 95,844 | 6,130 | |
* | Continental AG | 57,999 | 6,112 |
Metro AG | 99,526 | 6,027 | |
Merck KGaA | 49,970 | 5,433 | |
Beiersdorf AG | 82,761 | 5,377 | |
Lanxess AG | 60,362 | 4,952 | |
GEA Group AG | 138,128 | 4,947 | |
Volkswagen AG | 25,807 | 4,747 | |
* | QIAGEN NV | 197,029 | 3,778 |
Bayerische Motoren Werke AG Prior Pfd. | 53,359 | 3,393 | |
Hochtief AG | 39,512 | 3,302 | |
* | Kabel Deutschland Holding AG | 52,593 | 3,240 |
Deutsche Lufthansa AG | 148,284 | 3,230 | |
Fraport AG Frankfurt Airport Services Worldwide | 38,880 | 3,124 | |
Salzgitter AG | 39,167 | 2,986 | |
Brenntag AG | 21,856 | 2,542 | |
Wacker Chemie AG | 10,451 | 2,257 | |
Suedzucker AG | 52,060 | 1,854 | |
Hannover Rueckversicherung AG | 34,350 | 1,786 | |
* | TUI AG | 153,659 | 1,670 |
Celesio AG | 76,304 | 1,524 | |
United Internet AG | 72,469 | 1,524 | |
Axel Springer AG | 25,002 | 1,236 | |
* | ProSiebenSat.1 Media AG Prior Pfd. | 42,998 | 1,224 |
Vanguard® Tax-Managed International Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
RWE AG Prior Pfd. | 22,605 | 1,155 | |
815,869 | |||
Greece (0.2%) | |||
National Bank of Greece SA ADR | 3,205,321 | 4,584 | |
Coca Cola Hellenic Bottling Co. SA | 136,695 | 3,672 | |
OPAP SA | 164,631 | 2,571 | |
Hellenic Telecommunications Organization SA ADR | 425,849 | 1,991 | |
Bank of Cyprus plc | 607,811 | 1,792 | |
* | Alpha Bank AE | 338,513 | 1,705 |
National Bank of Greece SA | 224,607 | 1,615 | |
Public Power Corp. SA | 76,157 | 1,092 | |
* | EFG Eurobank Ergasias SA | 221,765 | 1,040 |
Hellenic Telecommunications Organization SA | 21,242 | 198 | |
20,260 | |||
Hong Kong (2.7%) | |||
* | AIA Group Ltd. | 6,160,445 | 21,445 |
Hutchison Whampoa Ltd. | 1,710,512 | 18,533 | |
Hong Kong Exchanges and Clearing Ltd. | 815,900 | 17,180 | |
Sun Hung Kai Properties Ltd. | 1,165,064 | 17,030 | |
Cheung Kong Holdings Ltd. | 1,151,500 | 16,910 | |
CLP Holdings Ltd. | 1,492,432 | 13,239 | |
Hang Seng Bank Ltd. | 597,343 | 9,555 | |
Wharf Holdings Ltd. | 1,342,815 | 9,364 | |
Li & Fung Ltd. | 4,473,670 | 8,941 | |
Hong Kong & China Gas Co. Ltd. | 3,859,653 | 8,780 | |
Swire Pacific Ltd. Class A | 596,088 | 8,776 | |
Power Assets Holdings Ltd. | 1,141,600 | 8,645 | |
BOC Hong Kong Holdings Ltd. | 2,898,000 | 8,442 | |
Hang Lung Properties Ltd. | 2,008,810 | 8,260 | |
Henderson Land Development Co. Ltd. | 973,006 | 6,292 | |
Bank of East Asia Ltd. | 1,339,063 | 5,513 | |
* | Sands China Ltd. | 1,844,400 | 4,999 |
Hang Lung Group Ltd. | 634,000 | 4,026 | |
MTR Corp. | 1,083,000 | 3,852 | |
Wynn Macau Ltd. | 1,116,000 | 3,655 | |
Shangri-La Asia Ltd. | 1,488,552 | 3,654 | |
Sino Land Co. Ltd. | 2,221,000 | 3,572 | |
Kerry Properties Ltd. | 686,000 | 3,316 | |
Wheelock & Co. Ltd. | 822,000 | 3,306 | |
Hysan Development Co. Ltd. | 649,000 | 3,220 | |
SJM Holdings Ltd. | 1,290,000 | 3,069 | |
New World Development Ltd. | 2,011,750 | 3,054 | |
Esprit Holdings Ltd. | 938,228 | 2,932 | |
* | Galaxy Entertainment Group Ltd. | 855,000 | 1,839 |
Cathay Pacific Airways Ltd. | 787,770 | 1,833 | |
ASM Pacific Technology Ltd. | 122,900 | 1,690 | |
Hopewell Holdings Ltd. | 510,500 | 1,619 | |
Yue Yuen Industrial Holdings Ltd. | 492,500 | 1,567 | |
Cheung Kong Infrastructure Holdings Ltd. | 280,000 | 1,457 | |
Lifestyle International Holdings Ltd. | 465,500 | 1,362 | |
Wing Hang Bank Ltd. | 123,000 | 1,350 | |
* | Foxconn International Holdings Ltd. | 2,641,000 | 1,165 |
PCCW Ltd. | 2,596,000 | 1,120 | |
NWS Holdings Ltd. | 763,500 | 1,024 | |
Orient Overseas International Ltd. | 139,300 | 901 | |
246,487 | |||
Ireland (0.3%) | |||
CRH plc | 525,381 | 11,644 | |
* | Elan Corp. plc | 482,590 | 5,539 |
Kerry Group plc Class A | 108,549 | 4,472 | |
Ryanair Holdings plc | 282,408 | 1,440 | |
Ryanair Holdings plc ADR | 18,300 | 537 |
Vanguard® Tax-Managed International Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Anglo Irish Bank Corp. Ltd. | 257,065 | — |
23,632 | |||
Israel (0.7%) | |||
Teva Pharmaceutical Industries Ltd. | 726,069 | 35,018 | |
Israel Chemicals Ltd. | 391,131 | 6,242 | |
* | Bank Hapoalim BM | 945,681 | 4,727 |
Bank Leumi Le-Israel BM | 798,535 | 3,776 | |
Bezeq The Israeli Telecommunication Corp. Ltd. | 1,175,809 | 2,977 | |
Israel Corp. Ltd. | 1,934 | 2,114 | |
* | Israel Discount Bank Ltd. Class A | 740,045 | 1,459 |
* | NICE Systems Ltd. | 38,786 | 1,402 |
Cellcom Israel Ltd. (Registered) | 50,198 | 1,401 | |
Elbit Systems Ltd. | 28,675 | 1,363 | |
Mizrahi Tefahot Bank Ltd. | 109,213 | 1,162 | |
Delek Group Ltd. | 4,803 | 1,080 | |
* | Makhteshim-Agan Industries Ltd. | 174,001 | 972 |
Partner Communications Co. Ltd. | 48,274 | 728 | |
64,421 | |||
Italy (2.8%) | |||
ENI SPA | 1,893,722 | 44,879 | |
Enel SPA | 5,143,535 | 33,609 | |
UniCredit SPA | 10,742,977 | 22,740 | |
Intesa Sanpaolo SPA (Registered) | 7,784,460 | 20,728 | |
Assicurazioni Generali SPA | 932,179 | 19,653 | |
Telecom Italia SPA (Registered) | 7,558,964 | 10,514 | |
Saipem SPA | 198,576 | 10,255 | |
Tenaris SA | 376,457 | 8,605 | |
* | Fiat Industrial SPA | 617,669 | 7,978 |
Fiat SPA | 642,531 | 7,060 | |
Snam Rete Gas SPA | 1,170,882 | 6,930 | |
Telecom Italia SPA (Bearer) | 5,275,699 | 6,138 | |
Terna Rete Elettrica Nazionale SPA | 1,006,647 | 4,680 | |
Atlantia SPA | 215,721 | 4,594 | |
Finmeccanica SPA | 366,055 | 4,429 | |
Unione di Banche Italiane SCPA | 714,631 | 4,023 | |
* | Parmalat SPA | 1,035,754 | 3,898 |
Mediobanca SPA | 369,398 | 3,741 | |
Enel Green Power SPA | 1,130,740 | 3,119 | |
Banco Popolare SC | 1,212,244 | 2,792 | |
Pirelli & C SPA | 243,937 | 2,638 | |
Prysmian SPA | 126,290 | 2,542 | |
Banca Monte dei Paschi di Siena SPA | 3,133,805 | 2,372 | |
Exor SPA | 71,519 | 2,237 | |
Mediaset SPA | 462,545 | 2,174 | |
Luxottica Group SPA | 64,843 | 2,082 | |
Autogrill SPA | 124,479 | 1,635 | |
Banca Carige SPA | 700,625 | 1,587 | |
Intesa Sanpaolo SPA (Bearer) | 620,595 | 1,338 | |
A2A SPA | 591,515 | 921 | |
249,891 | |||
Japan (20.2%) | |||
Toyota Motor Corp. | 2,169,018 | 89,318 | |
Honda Motor Co. Ltd. | 1,264,939 | 48,734 | |
Mitsubishi UFJ Financial Group Inc. | 9,900,944 | 48,251 | |
Canon Inc. | 879,033 | 41,812 | |
Sumitomo Mitsui Financial Group Inc. | 1,054,658 | 32,520 | |
Takeda Pharmaceutical Co. Ltd. | 619,694 | 28,640 | |
Mizuho Financial Group Inc. | 16,123,521 | 26,501 | |
FANUC Corp. | 157,100 | 26,271 | |
Mitsubishi Corp. | 1,020,186 | 25,482 | |
Softbank Corp. | 670,900 | 25,409 | |
Mitsui & Co. Ltd. | 1,348,900 | 23,323 | |
Komatsu Ltd. | 742,900 | 23,196 |
Vanguard® Tax-Managed International Fund | ||
Schedule of Investments | ||
June 30, 2011 | ||
Market | ||
Value | ||
Shares | ($000) | |
NTT DoCoMo Inc. | 11,838 | 21,142 |
Panasonic Corp. | 1,696,353 | 20,745 |
Sony Corp. | 786,100 | 20,741 |
Nissan Motor Co. Ltd. | 1,973,400 | 20,739 |
Hitachi Ltd. | 3,487,758 | 20,700 |
Mitsubishi Electric Corp. | 1,585,000 | 18,412 |
Nippon Telegraph & Telephone Corp. | 380,000 | 18,328 |
Mitsubishi Estate Co. Ltd. | 995,935 | 17,479 |
Shin-Etsu Chemical Co. Ltd. | 322,800 | 17,303 |
KDDI Corp. | 2,301 | 16,556 |
Toshiba Corp. | 3,087,000 | 16,276 |
Seven & I Holdings Co. Ltd. | 603,420 | 16,228 |
Tokio Marine Holdings Inc. | 575,600 | 16,114 |
East Japan Railway Co. | 269,200 | 15,417 |
Nintendo Co. Ltd. | 80,700 | 15,155 |
Nomura Holdings Inc. | 2,810,977 | 13,871 |
Japan Tobacco Inc. | 3,591 | 13,862 |
Astellas Pharma Inc. | 355,514 | 13,794 |
Denso Corp. | 368,400 | 13,702 |
Nippon Steel Corp. | 4,136,970 | 13,421 |
Inpex Corp. | 1,728 | 12,775 |
ITOCHU Corp. | 1,228,000 | 12,772 |
Kyocera Corp. | 122,500 | 12,473 |
Mitsui Fudosan Co. Ltd. | 713,000 | 12,280 |
Sumitomo Corp. | 885,800 | 12,051 |
Bridgestone Corp. | 522,631 | 12,042 |
Kansai Electric Power Co. Inc. | 589,950 | 11,748 |
Mitsubishi Heavy Industries Ltd. | 2,480,000 | 11,662 |
FUJIFILM Holdings Corp. | 363,100 | 11,325 |
JX Holdings Inc. | 1,683,050 | 11,320 |
Kao Corp. | 429,301 | 11,288 |
Murata Manufacturing Co. Ltd. | 165,200 | 11,045 |
MS&AD Insurance Group Holdings | 456,133 | 10,677 |
Daiichi Sankyo Co. Ltd. | 532,663 | 10,409 |
JFE Holdings Inc. | 373,800 | 10,280 |
Chubu Electric Power Co. Inc. | 520,000 | 10,155 |
Keyence Corp. | 35,608 | 10,110 |
Kirin Holdings Co. Ltd. | 715,000 | 9,968 |
Central Japan Railway Co. | 1,232 | 9,685 |
Asahi Glass Co. Ltd. | 825,035 | 9,655 |
Marubeni Corp. | 1,416,000 | 9,410 |
Dai-ichi Life Insurance Co. Ltd. | 6,609 | 9,268 |
Tokyo Gas Co. Ltd. | 1,991,000 | 8,986 |
Sumitomo Mitsui Trust Holdings Inc. | 2,575,270 | 8,964 |
Toray Industries Inc. | 1,189,000 | 8,780 |
Nidec Corp. | 91,600 | 8,552 |
Sumitomo Electric Industries Ltd. | 581,300 | 8,479 |
Fujitsu Ltd. | 1,458,000 | 8,334 |
Kubota Corp. | 929,000 | 8,242 |
Secom Co. Ltd. | 170,600 | 8,180 |
Eisai Co. Ltd. | 206,900 | 8,072 |
NKSJ Holdings Inc. | 1,208,800 | 7,978 |
SMC Corp. | 43,700 | 7,878 |
Hoya Corp. | 344,900 | 7,636 |
Sharp Corp. | 821,000 | 7,492 |
Tokyo Electron Ltd. | 136,800 | 7,481 |
Terumo Corp. | 135,200 | 7,319 |
Ajinomoto Co. Inc. | 612,000 | 7,266 |
Sumitomo Realty & Development Co. Ltd. | 321,000 | 7,174 |
Sumitomo Metal Mining Co. Ltd. | 427,000 | 7,015 |
Fast Retailing Co. Ltd. | 43,200 | 6,987 |
Mitsubishi Chemical Holdings Corp. | 984,500 | 6,976 |
Daikin Industries Ltd. | 196,000 | 6,947 |
Resona Holdings Inc. | 1,456,436 | 6,852 |
Vanguard® Tax-Managed International Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Nitto Denko Corp. | 133,500 | 6,783 | |
Asahi Kasei Corp. | 979,000 | 6,598 | |
Sumitomo Chemical Co. Ltd. | 1,286,000 | 6,421 | |
Asahi Group Holdings Ltd. | 317,300 | 6,392 | |
Rakuten Inc. | 6,141 | 6,356 | |
Daiwa Securities Group Inc. | 1,430,000 | 6,300 | |
Nikon Corp. | 265,600 | 6,281 | |
Olympus Corp. | 185,600 | 6,263 | |
Aisin Seiki Co. Ltd. | 160,000 | 6,191 | |
Osaka Gas Co. Ltd. | 1,614,000 | 6,122 | |
Suzuki Motor Corp. | 266,000 | 5,996 | |
Daito Trust Construction Co. Ltd. | 68,000 | 5,773 | |
Ricoh Co. Ltd. | 520,000 | 5,769 | |
Yamada Denki Co. Ltd. | 70,610 | 5,753 | |
Aeon Co. Ltd. | 474,173 | 5,723 | |
West Japan Railway Co. | 146,600 | 5,723 | |
T&D Holdings Inc. | 236,790 | 5,636 | |
Kyushu Electric Power Co. Inc. | 309,300 | 5,569 | |
JS Group Corp. | 208,312 | 5,373 | |
Sumitomo Metal Industries Ltd. | 2,390,000 | 5,369 | |
Shiseido Co. Ltd. | 282,600 | 5,275 | |
Shizuoka Bank Ltd. | 572,000 | 5,259 | |
TDK Corp. | 95,300 | 5,257 | |
Yamato Holdings Co. Ltd. | 332,800 | 5,235 | |
Rohm Co. Ltd. | 90,700 | 5,204 | |
Otsuka Holdings Co. Ltd. | 196,100 | 5,189 | |
Dai Nippon Printing Co. Ltd. | 451,800 | 5,092 | |
Daiwa House Industry Co. Ltd. | 403,000 | 5,085 | |
JGC Corp. | 183,000 | 5,014 | |
Tohoku Electric Power Co. Inc. | 346,100 | 4,994 | |
Mitsui OSK Lines Ltd. | 919,000 | 4,945 | |
Bank of Yokohama Ltd. | 975,000 | 4,874 | |
NGK Insulators Ltd. | 259,000 | 4,825 | |
Kawasaki Heavy Industries Ltd. | 1,202,000 | 4,789 | |
Kobe Steel Ltd. | 2,066,000 | 4,698 | |
Omron Corp. | 168,700 | 4,691 | |
Odakyu Electric Railway Co. Ltd. | 589,000 | 4,677 | |
Kuraray Co. Ltd. | 316,500 | 4,637 | |
Kintetsu Corp. | 1,424,190 | 4,574 | |
Yahoo Japan Corp. | 13,197 | 4,542 | |
Tokyo Electric Power Co. Inc. | 1,110,070 | 4,494 | |
Isuzu Motors Ltd. | 925,000 | 4,379 | |
Makita Corp. | 93,900 | 4,376 | |
Dentsu Inc. | 145,200 | 4,298 | |
Chiba Bank Ltd. | 680,000 | 4,256 | |
Toppan Printing Co. Ltd. | 548,000 | 4,252 | |
Nippon Yusen KK | 1,135,000 | 4,217 | |
Sekisui House Ltd. | 451,859 | 4,207 | |
Nippon Electric Glass Co. Ltd. | 319,500 | 4,100 | |
Shionogi & Co. Ltd. | 248,200 | 4,064 | |
* | NEC Corp. | 1,778,400 | 4,061 |
Mitsubishi Tanabe Pharma Corp. | 241,000 | 4,034 | |
* | Mitsubishi Motors Corp. | 3,305,000 | 4,032 |
* | Yamaha Motor Co. Ltd. | 217,900 | 4,002 |
Tokyu Corp. | 944,000 | 3,925 | |
NSK Ltd. | 383,000 | 3,824 | |
Unicharm Corp. | 87,100 | 3,805 | |
NTT Data Corp. | 1,104 | 3,669 | |
Fuji Heavy Industries Ltd. | 466,000 | 3,621 | |
Sega Sammy Holdings Inc. | 185,788 | 3,591 | |
OJI Paper Co. Ltd. | 744,000 | 3,568 | |
Teijin Ltd. | 801,000 | 3,531 | |
TonenGeneral Sekiyu KK | 281,000 | 3,456 | |
Chugoku Electric Power Co. Inc. | 199,100 | 3,447 |
Vanguard® Tax-Managed International Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Konica Minolta Holdings Inc. | 412,000 | 3,441 | |
Dena Co. Ltd. | 78,500 | 3,376 | |
Chugai Pharmaceutical Co. Ltd. | 202,000 | 3,312 | |
Toyota Tsusho Corp. | 190,893 | 3,276 | |
Sekisui Chemical Co. Ltd. | 381,000 | 3,255 | |
Sumitomo Heavy Industries Ltd. | 465,000 | 3,246 | |
JSR Corp. | 166,600 | 3,229 | |
Ibiden Co. Ltd. | 102,900 | 3,222 | |
Tobu Railway Co. Ltd. | 760,000 | 3,199 | |
* | Mazda Motor Corp. | 1,211,000 | 3,191 |
Benesse Holdings Inc. | 73,700 | 3,166 | |
Keio Corp. | 565,000 | 3,116 | |
Hirose Electric Co. Ltd. | 30,400 | 3,116 | |
IHI Corp. | 1,196,000 | 3,090 | |
Lawson Inc. | 58,790 | 3,084 | |
Hisamitsu Pharmaceutical Co. Inc. | 72,300 | 3,080 | |
Nippon Express Co. Ltd. | 746,000 | 3,023 | |
THK Co. Ltd. | 117,700 | 3,008 | |
JTEKT Corp. | 204,100 | 3,007 | |
Oriental Land Co. Ltd. | 34,700 | 2,944 | |
Mitsubishi Materials Corp. | 925,000 | 2,914 | |
Trend Micro Inc. | 92,900 | 2,886 | |
Keikyu Corp. | 400,000 | 2,884 | |
Shikoku Electric Power Co. Inc. | 125,300 | 2,845 | |
Nitori Holdings Co. Ltd. | 29,950 | 2,843 | |
Bank of Kyoto Ltd. | 308,000 | 2,836 | |
Electric Power Development Co. Ltd. | 104,540 | 2,826 | |
Shimizu Corp. | 676,000 | 2,817 | |
Hokkaido Electric Power Co. Inc. | 163,500 | 2,720 | |
Obayashi Corp. | 619,000 | 2,704 | |
Kurita Water Industries Ltd. | 90,600 | 2,703 | |
Hiroshima Bank Ltd. | 619,200 | 2,702 | |
Mitsubishi Gas Chemical Co. Inc. | 366,000 | 2,682 | |
Hachijuni Bank Ltd. | 475,600 | 2,672 | |
Daihatsu Motor Co. Ltd. | 156,000 | 2,655 | |
Sony Financial Holdings Inc. | 146,800 | 2,654 | |
Joyo Bank Ltd. | 626,000 | 2,630 | |
Isetan Mitsukoshi Holdings Ltd. | 268,340 | 2,629 | |
Mitsui Chemicals Inc. | 719,000 | 2,620 | |
Nippon Sheet Glass Co. Ltd. | 830,000 | 2,581 | |
Amada Co. Ltd. | 332,000 | 2,553 | |
Furukawa Electric Co. Ltd. | 611,000 | 2,551 | |
Kyowa Hakko Kirin Co. Ltd. | 267,000 | 2,547 | |
Toyo Seikan Kaisha Ltd. | 147,600 | 2,485 | |
Santen Pharmaceutical Co. Ltd. | 60,500 | 2,453 | |
Advantest Corp. | 133,200 | 2,452 | |
NTN Corp. | 430,000 | 2,450 | |
Namco Bandai Holdings Inc. | 202,000 | 2,432 | |
Stanley Electric Co. Ltd. | 137,600 | 2,416 | |
Gunma Bank Ltd. | 456,000 | 2,410 | |
Hokuhoku Financial Group Inc. | 1,215,100 | 2,407 | |
Credit Saison Co. Ltd. | 141,400 | 2,380 | |
Nissin Foods Holdings Co. Ltd. | 65,100 | 2,371 | |
Shimano Inc. | 43,000 | 2,366 | |
Sankyo Co. Ltd. | 45,200 | 2,335 | |
MEIJI Holdings Co. Ltd. | 55,254 | 2,330 | |
Taisei Corp. | 1,008,000 | 2,313 | |
Yakult Honsha Co. Ltd. | 79,900 | 2,311 | |
Konami Corp. | 96,100 | 2,276 | |
Sysmex Corp. | 60,200 | 2,264 | |
Kawasaki Kisen Kaisha Ltd. | 645,000 | 2,255 | |
Kajima Corp. | 783,000 | 2,246 | |
Brother Industries Ltd. | 151,800 | 2,245 | |
Keisei Electric Railway Co. Ltd. | 376,000 | 2,225 |
Vanguard® Tax-Managed International Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
TOTO Ltd. | 285,000 | 2,218 | |
Nippon Meat Packers Inc. | 152,000 | 2,180 | |
Tokyu Land Corp. | 513,000 | 2,180 | |
Nippon Paper Group Inc. | 97,300 | 2,159 | |
Hokuriku Electric Power Co. | 112,800 | 2,153 | |
Showa Denko KK | 1,036,000 | 2,146 | |
Fukuoka Financial Group Inc. | 500,800 | 2,093 | |
Japan Steel Works Ltd. | 303,513 | 2,081 | |
Jupiter Telecommunications Co. Ltd. | 1,857 | 2,078 | |
Suruga Bank Ltd. | 236,000 | 2,058 | |
Nishi-Nippon City Bank Ltd. | 676,000 | 1,997 | |
Toho Co. Ltd. | 119,200 | 1,979 | |
Mitsubishi UFJ Lease & Finance Co. Ltd. | 50,690 | 1,962 | |
* | Elpida Memory Inc. | 164,889 | 1,942 |
Nisshin Seifun Group Inc. | 154,900 | 1,936 | |
Idemitsu Kosan Co. Ltd. | 18,109 | 1,933 | |
Seiko Epson Corp. | 110,900 | 1,922 | |
SBI Holdings Inc. | 20,425 | 1,898 | |
Fuji Electric Co. Ltd. | 607,000 | 1,896 | |
Takashimaya Co. Ltd. | 272,860 | 1,882 | |
NGK Spark Plug Co. Ltd. | 136,000 | 1,879 | |
Toyo Suisan Kaisha Ltd. | 78,000 | 1,845 | |
Marui Group Co. Ltd. | 241,700 | 1,836 | |
Yamaha Corp. | 160,300 | 1,828 | |
Hamamatsu Photonics KK | 41,800 | 1,807 | |
Aeon Mall Co. Ltd. | 74,600 | 1,807 | |
Ube Industries Ltd. | 599,000 | 1,803 | |
Casio Computer Co. Ltd. | 253,200 | 1,787 | |
* | Sumco Corp. | 105,060 | 1,779 |
Tsumura & Co. | 55,200 | 1,765 | |
Sumitomo Rubber Industries Ltd. | 144,000 | 1,743 | |
* | Yokogawa Electric Corp. | 201,800 | 1,722 |
All Nippon Airways Co. Ltd. | 526,317 | 1,717 | |
Mitsui Engineering & Shipbuilding Co. Ltd. | 768,000 | 1,677 | |
J Front Retailing Co. Ltd. | 367,200 | 1,622 | |
Rinnai Corp. | 22,200 | 1,603 | |
Yaskawa Electric Corp. | 142,000 | 1,594 | |
Citizen Holdings Co. Ltd. | 264,500 | 1,583 | |
Shimamura Co. Ltd. | 16,600 | 1,582 | |
GS Yuasa Corp. | 233,000 | 1,555 | |
NOK Corp. | 87,900 | 1,506 | |
Miraca Holdings Inc. | 36,800 | 1,491 | |
Nisshin Steel Co. Ltd. | 770,000 | 1,473 | |
Sojitz Corp. | 782,500 | 1,466 | |
Nomura Real Estate Holdings Inc. | 87,871 | 1,465 | |
Denki Kagaku Kogyo KK | 302,000 | 1,456 | |
FamilyMart Co. Ltd. | 39,500 | 1,450 | |
Hitachi Metals Ltd. | 102,000 | 1,441 | |
Shimadzu Corp. | 157,000 | 1,438 | |
Cosmo Oil Co. Ltd. | 500,000 | 1,423 | |
Kikkoman Corp. | 135,000 | 1,423 | |
* | Mizuho Securities Co. Ltd. | 588,000 | 1,417 |
Yamazaki Baking Co. Ltd. | 105,000 | 1,406 | |
Nabtesco Corp. | 58,000 | 1,405 | |
Iyo Bank Ltd. | 149,000 | 1,372 | |
Asics Corp. | 91,596 | 1,367 | |
Kamigumi Co. Ltd. | 146,000 | 1,364 | |
Showa Shell Sekiyu KK | 145,200 | 1,349 | |
Koito Manufacturing Co. Ltd. | 76,712 | 1,341 | |
NHK Spring Co. Ltd. | 131,000 | 1,340 | |
Toho Gas Co. Ltd. | 247,000 | 1,337 | |
Tosoh Corp. | 331,000 | 1,329 | |
Dainippon Sumitomo Pharma Co. Ltd. | 138,900 | 1,320 | |
USS Co. Ltd. | 16,970 | 1,316 |
Vanguard® Tax-Managed International Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Gree Inc. | 60,200 | 1,316 | |
Hitachi Construction Machinery Co. Ltd. | 58,400 | 1,309 | |
Nomura Research Institute Ltd. | 59,700 | 1,308 | |
Toyoda Gosei Co. Ltd. | 57,300 | 1,301 | |
Taiyo Nippon Sanso Corp. | 161,000 | 1,282 | |
Ushio Inc. | 64,800 | 1,281 | |
Chugoku Bank Ltd. | 102,000 | 1,262 | |
Kaneka Corp. | 185,000 | 1,216 | |
Hitachi Chemical Co. Ltd. | 60,900 | 1,208 | |
Otsuka Corp. | 18,660 | 1,162 | |
Kansai Paint Co. Ltd. | 126,000 | 1,148 | |
Yamaguchi Financial Group Inc. | 123,000 | 1,147 | |
Minebea Co. Ltd. | 201,000 | 1,072 | |
Daido Steel Co. Ltd. | 159,000 | 1,064 | |
Aeon Credit Service Co. Ltd. | 77,510 | 1,062 | |
Toyota Boshoku Corp. | 62,600 | 1,040 | |
Hakuhodo DY Holdings Inc. | 19,210 | 1,026 | |
Daicel Chemical Industries Ltd. | 154,000 | 1,017 | |
Chiyoda Corp. | 87,809 | 1,012 | |
Air Water Inc. | 82,805 | 998 | |
Coca-Cola West Co. Ltd. | 51,500 | 987 | |
McDonald's Holdings Co. Japan Ltd. | 38,000 | 966 | |
Oracle Corp. Japan | 22,100 | 963 | |
Mitsubishi Logistics Corp. | 83,000 | 934 | |
Suzuken Co. Ltd. | 39,160 | 903 | |
ABC-Mart Inc. | 22,200 | 900 | |
Alfresa Holdings Corp. | 22,400 | 871 | |
Hitachi High-Technologies Corp. | 38,651 | 847 | |
Hino Motors Ltd. | 145,000 | 847 | |
Shinsei Bank Ltd. | 834,014 | 834 | |
Aozora Bank Ltd. | 346,000 | 802 | |
Mabuchi Motor Co. Ltd. | 14,900 | 752 | |
MediPal Holdings Corp. | 84,700 | 751 | |
Mizuho Trust & Banking Co. Ltd. | 802,000 | 711 | |
Yamato Kogyo Co. Ltd. | 22,000 | 685 | |
Square Enix Holdings Co. Ltd. | 35,600 | 641 | |
Maruichi Steel Tube Ltd. | 25,300 | 627 | |
Kinden Corp. | 72,000 | 616 | |
Itochu Techno-Solutions Corp. | 14,900 | 529 | |
1,830,462 | |||
Netherlands (2.5%) | |||
Unilever NV | 1,287,061 | 42,242 | |
* | ING Groep NV | 3,031,860 | 37,363 |
Koninklijke Philips Electronics NV | 781,259 | 20,079 | |
Koninklijke KPN NV | 1,263,300 | 18,375 | |
Koninklijke Ahold NV | 975,654 | 13,118 | |
ASML Holding NV | 348,499 | 12,854 | |
Akzo Nobel NV | 190,523 | 12,037 | |
Heineken NV | 199,683 | 12,018 | |
* | Aegon NV | 1,381,255 | 9,412 |
Koninklijke DSM NV | 132,237 | 8,582 | |
Reed Elsevier NV | 486,460 | 6,535 | |
Wolters Kluwer NV | 236,739 | 5,249 | |
Randstad Holding NV | 99,630 | 4,607 | |
Heineken Holding NV | 83,663 | 4,283 | |
Fugro NV | 48,074 | 3,463 | |
SBM Offshore NV | 129,931 | 3,435 | |
Corio NV | 49,837 | 3,301 | |
* | TNT Express NV | 297,979 | 3,091 |
Koninklijke Vopak NV | 56,547 | 2,769 | |
PostNL NV | 280,623 | 2,378 | |
Koninklijke Boskalis Westminster NV | 41,075 | 1,944 |
Vanguard® Tax-Managed International Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Delta Lloyd NV | 78,519 | 1,865 | |
229,000 | |||
New Zealand (0.1%) | |||
Fletcher Building Ltd. | 491,028 | 3,514 | |
Telecom Corp. of New Zealand Ltd. | 1,639,499 | 3,341 | |
Sky City Entertainment Group Ltd. | 674,543 | 2,027 | |
Auckland International Airport Ltd. | 568,589 | 1,050 | |
Contact Energy Ltd. | 219,821 | 977 | |
10,909 | |||
Norway (0.9%) | |||
Statoil ASA | 890,904 | 22,554 | |
DnB NOR ASA | 718,045 | 10,003 | |
Telenor ASA | 599,192 | 9,806 | |
Yara International ASA | 158,296 | 8,894 | |
Seadrill Ltd. | 236,374 | 8,311 | |
Orkla ASA | 673,724 | 6,414 | |
Norsk Hydro ASA | 779,000 | 5,963 | |
* | Subsea 7 SA | 201,767 | 5,161 |
Aker Solutions ASA | 131,967 | 2,637 | |
Gjensidige Forsikring ASA | 135,204 | 1,667 | |
* | Renewable Energy Corp. ASA | 555,612 | 953 |
82,363 | |||
Portugal (0.3%) | |||
EDP - Energias de Portugal SA | 1,622,585 | 5,758 | |
Portugal Telecom SGPS SA | 498,447 | 4,900 | |
Galp Energia SGPS SA Class B | 164,297 | 3,918 | |
Jeronimo Martins SGPS SA | 155,552 | 2,988 | |
Banco Espirito Santo SA | 481,439 | 1,795 | |
* | EDP Renovaveis SA | 255,212 | 1,684 |
* | Banco Comercial Portugues SA | 2,666,585 | 1,586 |
Cimpor Cimentos de Portugal SGPS SA | 114,790 | 876 | |
23,505 | |||
Singapore (1.7%) | |||
DBS Group Holdings Ltd. | 1,454,123 | 17,395 | |
Singapore Telecommunications Ltd. | 6,537,290 | 16,850 | |
Oversea-Chinese Banking Corp. Ltd. | 2,089,300 | 15,959 | |
United Overseas Bank Ltd. | 972,504 | 15,614 | |
Keppel Corp. Ltd. | 1,052,904 | 9,526 | |
* | Genting Singapore plc | 4,574,000 | 7,211 |
Wilmar International Ltd. | 1,397,000 | 6,180 | |
CapitaLand Ltd. | 2,381,000 | 5,656 | |
Singapore Airlines Ltd. | 460,710 | 5,332 | |
Noble Group Ltd. | 3,041,890 | 4,899 | |
Singapore Press Holdings Ltd. | 1,467,250 | 4,663 | |
Singapore Exchange Ltd. | 734,000 | 4,510 | |
Golden Agri-Resources Ltd. | 6,824,831 | 3,792 | |
Fraser and Neave Ltd. | 783,650 | 3,703 | |
City Developments Ltd. | 429,000 | 3,643 | |
* | Hutchison Port Holdings Trust | 3,723,251 | 3,146 |
SembCorp Industries Ltd. | 694,660 | 2,829 | |
Olam International Ltd. | 1,209,800 | 2,689 | |
ComfortDelGro Corp. Ltd. | 2,258,000 | 2,688 | |
Singapore Technologies Engineering Ltd. | 1,074,906 | 2,639 | |
Jardine Cycle & Carriage Ltd. | 75,037 | 2,633 | |
SembCorp Marine Ltd. | 604,600 | 2,616 | |
* | Global Logistic Properties Ltd. | 1,556,000 | 2,614 |
Cosco Corp. Singapore Ltd. | 1,370,000 | 2,184 | |
Keppel Land Ltd. | 597,000 | 1,764 | |
UOL Group Ltd. | 423,750 | 1,721 | |
Yangzijiang Shipbuilding Holdings Ltd. | 1,303,000 | 1,555 | |
StarHub Ltd. | 373,000 | 848 | |
Neptune Orient Lines Ltd. | 561,250 | 702 |
Vanguard® Tax-Managed International Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Golden Agri-Resources Ltd. Warrants Exp. 07/23/2012 | 236,188 | 31 |
155,592 | |||
Spain (3.6%) | |||
Telefonica SA | 3,201,149 | 78,184 | |
Banco Santander SA | 6,586,625 | 75,879 | |
Banco Bilbao Vizcaya Argentaria SA | 3,376,462 | 39,636 | |
Iberdrola SA | 2,902,595 | 25,824 | |
Repsol YPF SA | 615,625 | 21,353 | |
Inditex SA | 160,560 | 14,629 | |
Abertis Infraestructuras SA | 263,826 | 5,888 | |
Red Electrica Corp. SA | 96,140 | 5,800 | |
Gas Natural SDG SA | 267,902 | 5,611 | |
Criteria Caixacorp SA | 612,566 | 4,266 | |
Banco Popular Espanol SA | 757,243 | 4,261 | |
ACS Actividades de Construccion y Servicios SA | 88,760 | 4,189 | |
Ferrovial SA | 312,748 | 3,952 | |
Banco de Sabadell SA | 899,526 | 3,711 | |
Iberdrola Renovables SA | 828,222 | 3,659 | |
* | Amadeus IT Holding SA | 175,281 | 3,643 |
Enagas SA | 106,433 | 2,577 | |
Acciona SA | 24,038 | 2,552 | |
Mapfre SA | 596,685 | 2,214 | |
Grifols SA | 104,404 | 2,094 | |
Bankinter SA | 307,469 | 2,086 | |
Indra Sistemas SA | 97,835 | 2,018 | |
Acerinox SA | 108,176 | 1,973 | |
* | International Consolidated Airlines Group SA | 450,135 | 1,826 |
Mediaset Espana Comunicacion SA | 176,643 | 1,536 | |
Fomento de Construcciones y Contratas SA | 46,770 | 1,427 | |
* | International Consolidated Airlines Group SA | 323,583 | 1,321 |
Zardoya Otis SA | 84,029 | 1,235 | |
* | Criteria Caixacorp SA Rights Exp. 07/14/2011 | 760,240 | 57 |
* | Banco Popular Espanol SA Rights | 757,243 | 55 |
323,456 | |||
Sweden (3.1%) | |||
Telefonaktiebolaget LM Ericsson Class B | 2,394,834 | 34,475 | |
Hennes & Mauritz AB Class B | 811,044 | 27,999 | |
Nordea Bank AB | 2,095,040 | 22,501 | |
Volvo AB Class B | 1,095,379 | 19,176 | |
Atlas Copco AB Class A | 561,179 | 14,779 | |
Sandvik AB | 835,728 | 14,641 | |
TeliaSonera AB | 1,734,860 | 12,726 | |
Svenska Handelsbanken AB Class A | 393,045 | 12,119 | |
Swedbank AB Class A | 624,861 | 10,508 | |
SKF AB | 315,935 | 9,148 | |
Skandinaviska Enskilda Banken AB Class A | 1,085,864 | 8,879 | |
Atlas Copco AB Class B | 349,652 | 8,249 | |
Alfa Laval AB | 306,287 | 6,605 | |
Millicom International Cellular SA | 62,488 | 6,547 | |
Assa Abloy AB Class B | 238,873 | 6,420 | |
Svenska Cellulosa AB Class B | 438,425 | 6,182 | |
Scania AB Class B | 243,302 | 5,648 | |
Swedish Match AB | 167,056 | 5,609 | |
Skanska AB Class B | 303,882 | 5,447 | |
Electrolux AB Class B | 225,334 | 5,389 | |
Hexagon AB Class B | 207,320 | 5,105 | |
Tele2 AB | 239,539 | 4,728 | |
Getinge AB | 168,197 | 4,523 | |
Boliden AB | 215,854 | 3,986 | |
Kinnevik Investment AB Class B | 177,266 | 3,937 | |
Securitas AB Class B | 346,436 | 3,668 | |
Ratos AB | 165,988 | 3,191 | |
Modern Times Group AB Class B | 39,872 | 2,637 | |
Husqvarna AB | 321,084 | 2,127 |
Vanguard® Tax-Managed International Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
SSAB AB Class A | 140,761 | 2,103 | |
Holmen AB | 50,471 | 1,574 | |
280,626 | |||
Switzerland (8.4%) | |||
Nestle SA | 2,721,222 | 169,338 | |
Novartis AG | 1,831,399 | 112,241 | |
Roche Holding AG | 552,958 | 92,577 | |
* | UBS AG | 2,868,350 | 52,346 |
ABB Ltd. | 1,723,600 | 44,783 | |
Credit Suisse Group AG | 890,897 | 34,720 | |
Zurich Financial Services AG | 115,359 | 29,190 | |
Cie Financiere Richemont SA | 413,118 | 27,073 | |
Syngenta AG | 75,569 | 25,539 | |
Transocean Ltd. | 248,918 | 16,250 | |
Swiss Re Ltd. | 286,674 | 16,097 | |
Holcim Ltd. | 196,213 | 14,839 | |
Swatch Group AG (Bearer) | 25,215 | 12,726 | |
Swisscom AG | 19,633 | 9,001 | |
1 | Synthes Inc. | 49,980 | 8,802 |
SGS SA | 4,066 | 7,724 | |
Geberit AG | 30,656 | 7,273 | |
Givaudan SA | 6,506 | 6,882 | |
Julius Baer Group Ltd. | 165,682 | 6,844 | |
Adecco SA | 99,101 | 6,361 | |
Kuehne & Nagel International AG | 41,192 | 6,258 | |
Schindler Holding AG (Bearer) | 41,602 | 5,060 | |
Swiss Life Holding AG | 28,410 | 4,659 | |
Actelion Ltd. | 84,571 | 4,173 | |
Baloise Holding AG | 39,361 | 4,062 | |
Sika AG | 1,619 | 3,908 | |
Sonova Holding AG | 39,562 | 3,696 | |
Swatch Group AG (Registered) | 40,387 | 3,631 | |
Lonza Group AG | 45,093 | 3,533 | |
Aryzta AG | 64,677 | 3,474 | |
GAM Holding AG | 202,046 | 3,324 | |
Lindt & Spruengli AG | 89 | 3,248 | |
Sulzer AG | 16,932 | 2,761 | |
Straumann Holding AG | 9,182 | 2,214 | |
Lindt & Spruengli AG | 683 | 2,132 | |
Schindler Holding AG (Registered) | 12,472 | 1,516 | |
Aryzta AG | 14,448 | 765 | |
759,020 | |||
United Kingdom (21.3%) | |||
HSBC Holdings plc | 13,876,066 | 137,578 | |
BP plc | 14,696,912 | 108,214 | |
Vodafone Group plc | 40,765,737 | 108,097 | |
Royal Dutch Shell plc Class A | 2,621,894 | 93,297 | |
GlaxoSmithKline plc | 4,082,603 | 87,508 | |
Rio Tinto plc | 1,144,590 | 82,646 | |
Royal Dutch Shell plc Class B | 2,117,203 | 75,555 | |
British American Tobacco plc | 1,571,789 | 68,926 | |
BHP Billiton plc | 1,714,910 | 67,385 | |
BG Group plc | 2,654,870 | 60,281 | |
AstraZeneca plc | 1,098,430 | 54,901 | |
Anglo American plc | 1,044,786 | 51,815 | |
Standard Chartered plc | 1,828,925 | 48,042 | |
Diageo plc | 1,980,808 | 40,525 | |
Tesco plc | 6,106,539 | 39,454 | |
Barclays plc | 9,123,609 | 37,428 | |
Xstrata plc | 1,639,540 | 36,112 | |
Unilever plc | 1,008,523 | 32,541 | |
SABMiller plc | 754,964 | 27,557 | |
Imperial Tobacco Group plc | 806,722 | 26,858 | |
National Grid plc | 2,721,562 | 26,792 |
Vanguard® Tax-Managed International Fund | |||
Schedule of Investments | |||
June 30, 2011 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Reckitt Benckiser Group plc | 472,978 | 26,124 | |
* | Lloyds Banking Group plc | 32,264,730 | 25,355 |
Prudential plc | 2,016,551 | 23,285 | |
BT Group plc | 6,229,622 | 20,199 | |
Centrica plc | 3,876,486 | 20,129 | |
Scottish & Southern Energy plc | 730,149 | 16,330 | |
Aviva plc | 2,245,598 | 15,807 | |
Rolls-Royce Holdings plc | 1,496,505 | 15,498 | |
Shire plc | 456,164 | 14,263 | |
Tullow Oil plc | 708,249 | 14,104 | |
BAE Systems plc | 2,692,053 | 13,772 | |
Compass Group plc | 1,407,910 | 13,575 | |
WPP plc | 998,335 | 12,507 | |
British Sky Broadcasting Group plc | 917,704 | 12,459 | |
Pearson plc | 656,863 | 12,426 | |
Experian plc | 803,626 | 10,237 | |
Old Mutual plc | 4,486,826 | 9,605 | |
Legal & General Group plc | 4,891,029 | 9,266 | |
Reed Elsevier plc | 1,004,319 | 9,144 | |
Land Securities Group plc | 652,779 | 8,930 | |
* | Royal Bank of Scotland Group plc | 14,311,496 | 8,853 |
ARM Holdings plc | 924,647 | 8,695 | |
Kingfisher plc | 1,958,052 | 8,411 | |
Burberry Group plc | 354,810 | 8,251 | |
WM Morrison Supermarkets plc | 1,652,971 | 7,906 | |
Smith & Nephew plc | 731,817 | 7,843 | |
* | Cairn Energy plc | 1,158,240 | 7,724 |
Wolseley plc | 231,676 | 7,562 | |
British Land Co. plc | 755,173 | 7,383 | |
Marks & Spencer Group plc | 1,250,640 | 7,250 | |
Antofagasta plc | 318,493 | 7,127 | |
Aggreko plc | 214,249 | 6,638 | |
Standard Life plc | 1,933,964 | 6,537 | |
International Power plc | 1,259,582 | 6,505 | |
RSA Insurance Group plc | 2,827,691 | 6,116 | |
Smiths Group plc | 317,033 | 6,115 | |
Resolution Ltd. | 1,285,377 | 6,059 | |
Randgold Resources Ltd. | 70,946 | 5,976 | |
Royal Dutch Shell plc Class A (Amsterdam Shares) | 167,144 | 5,935 | |
Man Group plc | 1,559,747 | 5,933 | |
Capita Group plc | 504,298 | 5,792 | |
Johnson Matthey plc | 177,246 | 5,597 | |
Next plc | 149,653 | 5,591 | |
J Sainsbury plc | 1,043,595 | 5,528 | |
Carnival plc | 142,539 | 5,523 | |
United Utilities Group plc | 569,473 | 5,477 | |
Petrofac Ltd. | 223,884 | 5,444 | |
Sage Group plc | 1,123,297 | 5,208 | |
Severn Trent plc | 213,105 | 5,035 | |
AMEC plc | 285,662 | 4,992 | |
G4S plc | 1,064,151 | 4,784 | |
Hammerson plc | 618,352 | 4,781 | |
* | Glencore International plc | 600,279 | 4,730 |
Associated British Foods plc | 269,236 | 4,684 | |
Weir Group plc | 136,708 | 4,667 | |
Intercontinental Hotels Group plc | 221,871 | 4,542 | |
* | Autonomy Corp. plc | 164,542 | 4,507 |
Admiral Group plc | 168,397 | 4,491 | |
Rexam plc | 727,277 | 4,471 | |
Intertek Group plc | 121,641 | 3,855 | |
* | ITV plc | 3,336,084 | 3,831 |
ICAP plc | 501,516 | 3,804 | |
Kazakhmys plc | 169,515 | 3,758 | |
Invensys plc | 708,672 | 3,666 |
Vanguard® Tax-Managed International Fund | ||
Schedule of Investments | ||
June 30, 2011 | ||
Market | ||
Value | ||
Shares | ($000) | |
3i Group plc | 808,759 | 3,652 |
Fresnillo plc | 157,480 | 3,547 |
Whitbread plc | 136,621 | 3,542 |
Bunzl plc | 278,894 | 3,492 |
Segro plc | 683,979 | 3,429 |
Serco Group plc | 380,591 | 3,376 |
Cobham plc | 991,878 | 3,366 |
Investec plc | 402,815 | 3,270 |
Babcock International Group plc | 281,480 | 3,219 |
Lonmin plc | 135,722 | 3,167 |
Vedanta Resources plc | 89,912 | 3,022 |
Capital Shopping Centres Group plc | 468,419 | 3,005 |
Inmarsat plc | 292,304 | 2,612 |
Schroders plc | 104,208 | 2,587 |
Eurasian Natural Resources Corp. plc | 205,290 | 2,576 |
Balfour Beatty plc | 443,462 | 2,199 |
London Stock Exchange Group plc | 126,170 | 2,150 |
* Essar Energy plc | 264,098 | 1,732 |
TUI Travel plc | 462,049 | 1,663 |
Home Retail Group plc | 511,448 | 1,344 |
1,929,054 | ||
Total Common Stocks (Cost $8,369,390) | 9,042,884 | |
Other Assets and Liabilities—Net 0.1% | 5,594 | |
Net Assets (100%) | 9,048,478 |
* Non-income-producing security.
1 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2011, the value of this security represented 0.1% of net assets.
ADR—American Depositary Receipt.
© 2011 The Vanguard Group. Inc. |
All rights reserved. |
Vanguard Marketing Corporation, Distributor. |
SNA 1272_082011 |
Item 2: Code of Ethics.
Not Applicable.
Item 3: Audit Committee Financial Expert.
Not Applicable.
Item 4: Principal Accountant Fees and Services.
Not Applicable.
Item 5: Audit Committee of Listed Registrants.
Not Applicable.
Item 6: Investments.
Not Applicable.
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not Applicable.
Item 8: Portfolio Managers of Closed-End Management Investment Companies.
Not Applicable.
Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not Applicable.
Item 10: Submission of Matters to a Vote of Security Holders.
Not Applicable.
Item 11: Controls and Procedures.
(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant's Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
(b) Internal Control Over Financial Reporting. There were no significant changes in Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12: Exhibits.
(a) Certifications.
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
VANGUARD TAX-MANAGED FUNDS | |
By: | /s/ F. WILLIAM MCNABB III* |
F. WILLIAM MCNABB III | |
CHIEF EXECUTIVE OFFICER | |
Date: August 18, 2011 |
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: | /s/ F. WILLIAM MCNABB III* |
F. WILLIAM MCNABB III | |
CHIEF EXECUTIVE OFFICER | |
Date: August 18, 2011 |
VANGUARD TAX-MANAGED FUNDS | |
By: | /s/ THOMAS J. HIGGINS* |
THOMAS J. HIGGINS | |
CHIEF FINANCIAL OFFICER | |
Date: August 18, 2011 |
* By: /s/ Heidi Stam
Heidi Stam, pursuant to a Power of Attorney filed on April 26, 2010, see file Number 33-53683,
Incorporated by Reference.