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, 2012 – June 30, 2012
Item 1: Reports to Shareholders
Semiannual Report | June 30, 2012 |
Vanguard Tax-Managed Funds® |
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, 2012, the returns of the domestic Vanguard Tax-Managed Funds ranged from about 6% for the Tax-Managed Balanced Fund to 9% for the Tax-Managed Growth and Income Fund and the Tax-Managed Capital Appreciation Fund.
> Financial stocks were among the top performers for all four funds, while energy stocks were weak.
> Meeting their goal of tax efficiency, the funds again avoided making taxable capital-gains distributions to shareholders.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
Tax-Managed Balanced Fund. | 8 |
Tax-Managed Growth and Income Fund. | 49 |
Tax-Managed Capital Appreciation Fund. | 64 |
Tax-Managed Small-Cap Fund. | 81 |
About Your Fund’s Expenses. | 98 |
Trustees Approve Advisory Arrangement. | 100 |
Glossary. | 101 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice.
Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the
risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: Vanguard was named for the HMS Vanguard, flagship of British Admiral Horatio Nelson. A ship—whose
performance and safety depend on the work of all hands—has served as a fitting metaphor for the Vanguard crew as we
strive to help clients reach their financial goals.
Your Fund’s Total Returns | |
Six Months Ended June 30, 2012 | |
Total | |
Returns | |
Vanguard Tax-Managed Balanced Fund | 6.11% |
Tax-Managed Balanced Composite Index | 5.98 |
Mixed-Asset Target Allocation Moderate Funds Average | 5.37 |
Tax-Managed Balanced Composite Index: Weighted 50% Russell 1000 Index and 50% Barclay’s 7 Year Municipal Bond Index through January 31, 2002, and 50% Russell 1000 Index and 50% Barclays 1–15 Year Municipal Bond Index thereafter.
Mixed-Asset Target Allocation Moderate Funds Average: Derived from data provided by Lipper Inc.
Vanguard Tax-Managed Growth and Income Fund | |
Admiral™ Shares | 9.44% |
Institutional Shares | 9.47 |
S&P 500 Index | 9.49 |
Large-Cap Core Funds Average | 7.96 |
Large-Cap Core Funds Average: Derived from data provided by Lipper Inc. | |
Vanguard Tax-Managed Capital Appreciation Fund | |
Admiral Shares | 9.26% |
Institutional Shares | 9.29 |
Russell 1000 Index | 9.38 |
Multi-Cap Core Funds Average | 7.15 |
Multi-Cap Core Funds Average: Derived from data provided by Lipper Inc. | |
Vanguard Tax-Managed Small-Cap Fund | |
Admiral Shares | 7.89% |
Institutional Shares | 7.92 |
S&P SmallCap 600 Index | 7.98 |
Small-Cap Core Funds Average | 6.29 |
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,
Despite a stretch of instability in the spring, stocks advanced over the six months ended June 30, 2012. All four domestic Vanguard Tax-Managed Funds generated strong returns as the stock market’s gain in the first quarter more than offset a second-quarter retreat.
Each of the funds closely tracked its benchmark index and exceeded the average return of its peer group. Both the Tax-Managed Growth and Income Fund and the Tax-Managed Capital Appreciation Fund returned about 9%, leading the group. They were followed by the Tax-Managed Small-Cap Fund, with a gain of nearly 8%. The weakest performer was the Tax-Managed Balanced Fund, with a still solid return of 6%. (We review the performance of Vanguard Tax-Managed International Fund in a separate report.)
As they have since their inception, the funds met their tax-efficiency objective. In the Performance at a Glance chart at the end of this letter, you can see that the funds’ advisors, Vanguard’s Equity Investment Group and Fixed Income Group, continued to avoid distributing capital gains to shareholders. The advisors used a variety of portfolio management strategies to accomplish this while deviating as little as possible from a pure indexing strategy.
On a separate note, I want to call your attention to an announcement we made on June 22: George U. “Gus” Sauter, managing director and Vanguard’s chief
2
investment officer, plans to retire at the end of 2012. It’s hard to overstate the contributions that Gus has made to Vanguard in his 25-year career. He honed the strategy and built the team that have helped make Vanguard a world leader in indexing, he developed our active quantitative equity strategies, and he has been our chief investment officer since 2003.
We’re fortunate that Mortimer J. “Tim” Buckley, managing director, will succeed Gus. Tim has been a member of Vanguard’s senior staff since 2001 and has directed Vanguard’s Retail Investor Group since 2006. I’ll have more to say about Gus’s retirement at the end of the year.
U.S. stocks posted strong returns, but Europe remained a trouble spot
U.S. stocks were the standout performers for the six months ended June 30, returning about 9%. Domestic equities seemed to benefit from the perception that they offered some shelter from the storms roiling European markets. International stocks didn’t fare as well, returning about 3%. European stocks were the weakest performers. Returns for emerging markets and the developed markets of the Pacific region were restrained by signs of slowing growth.
Throughout the period, investors were preoccupied with Europe’s debt troubles, and global stock markets moved sharply up
Market Barometer | |||
Total Returns | |||
Periods Ended June 30, 2012 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 9.38% | 4.37% | 0.39% |
Russell 2000 Index (Small-caps) | 8.53 | -2.08 | 0.54 |
Dow Jones U.S. Total Stock Market Index | 9.45 | 3.78 | 0.63 |
MSCI All Country World Index ex USA (International) | 2.77 | -14.57 | -4.62 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable | |||
market) | 2.37% | 7.47% | 6.79% |
Barclays Municipal Bond Index (Broad tax-exempt | |||
market) | 3.66 | 9.90 | 5.95 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.03 | 0.04 | 0.87 |
CPI | |||
Consumer Price Index | 1.69% | 1.66% | 1.95% |
3
and down depending on whether the latest news from the region was positive or negative. Vanguard economists anticipate that Europe will remain a trouble spot.
The most likely scenario is that it will “muddle through” for several years, with occasional spikes in market volatility, as fiscal tightening continues in the face of weak economic growth.
Investors’ appetite for Treasuries drove the 10-year yield to a new low
Amid the turmoil in Europe, U.S. Treasury securities continued to benefit from a “flight to quality.” Investor demand nudged bond prices higher, and in early June, the yield of the 10-year U.S. Treasury note slipped below 1.5% for the first time. (Bond yields and prices move in opposite directions.) It’s important to understand that low yields do imply lower future returns: As yields tumble, the scope for further declines—and price increases—diminishes.
The broad U.S. taxable bond market posted a return of about 2% for the half-year. Municipal bonds remained a bright spot, delivering a return of more than 3%.
As it has since December 2008, the Federal Reserve Board held its target for the shortest-term interest rates between 0% and 0.25%. That policy has kept a tight lid on the returns from money market funds and savings accounts.
Expense Ratios
Your Fund Compared With Its Peer Group
Admiral | Institutional | Peer Group | |
Shares | Shares | Average | |
Tax-Managed Balanced Fund | 0.12% | — | 0.94% |
Tax-Managed Growth and Income Fund | 0.12 | 0.08% | 1.19 |
Tax-Managed Capital Appreciation Fund | 0.12 | 0.08 | 1.18 |
Tax-Managed Small-Cap Fund | 0.13 | 0.09 | 1.37 |
The fund expense ratios shown are from the prospectus dated April 26, 2012, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2012, the funds’ annualized expense ratios were: for the Tax-Managed Balanced Fund, 0.12%; 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, 0.12% 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 2011.
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
Information technology stocks raised returns for all four funds
During the half-year, large-capitalization stocks somewhat outpaced small-caps in the U.S. market. That gave the Tax-Managed Growth and Income Fund and Tax-Managed Capital Appreciation Fund, both of which concentrate on large-caps, an advantage over the Tax-Managed Small-Cap Fund.
Although investors initially embraced risk, favoring stocks over bonds in the first three months of the period, the market dynamic changed in April and bonds’ positive returns softened stocks’ fall. The Tax-Managed Balanced Fund’s return of about 6% reflected its nearly equal allocations to stocks and bonds.
For the Growth and Income, Capital Appreciation, and Balanced Funds, information technology stocks were both the largest allocation and the top contributor to return. Smartphones and tablets, along with the peripheral products and services they’ve spawned, were responsible for much of the sector’s success. Retail and business-services companies and software firms also boosted the sector as consumers and businesses spent more freely on technology.
Financial holdings boosted returns in all four funds, benefiting as the U.S. economy showed signs of improvement and as prospects brightened for solid companies that endured the financial crisis and subsequent regulatory challenges. Major asset managers, diversified financial services firms, commercial banks, and credit card companies participated in the gains along with insurance and real estate companies.
The Small-Cap Fund’s best performers, in addition to financials, were its consumer discretionary, health care, and consumer staples holdings. Health care stocks benefited from improved product pipelines and increased merger-and-acquisition activity. Service companies and restaurants were bright spots in the consumer discretionary sector, and food companies boosted consumer staples.
Energy was the only sector that recorded negative returns in all four funds as depressed prices for natural gas in the United States hurt the production, exploration, and drilling industries. Investors were also worried about how weaker global demand for oil might affect the profitability of energy companies.
As I noted earlier, the Balanced Fund’s assets are divided about equally between stocks and bonds. The stock portfolio is similar to that of the Capital Appreciation Fund. The bond portfolio has as its benchmark the Barclays 1–15 Year Municipal Bond Index, which returned 2.42% for the six months. (Please note that this is a new benchmark for the bond portfolio. It has replaced the Barclays 7 Year Municipal Bond Index.) Yields of municipal bonds rose in the first half of the period, but then fell again as investors bid up muni prices.
5
Good news: Investors are smart, and they’re getting smarter
In recent years, I’ve often written in this space about the challenges facing investors, from the 2008–2009 financial crisis to the more recent volatility caused by Europe’s debt troubles. Bad news inevitably seems to grab attention, and it’s our responsibility to speak to you candidly about these difficulties and to offer Vanguard’s perspective.
I think it’s also our responsibility to point out positive developments that may have been overlooked. On that score, I’ve been especially heartened to see individual investors become more discerning over time, particularly about the costs of investing. As I said in a recent address to financial advisors, “Individual investors are smart and getting smarter. And that’s a good thing. Increasingly, they are bringing a healthy consumer mentality to their investment portfolios. They want to know what they are buying and how much they are paying for it.”
Vanguard research confirms that over the past decade investors have displayed a healthy cost-consciousness, directing a larger share of their money to low-cost investments. You can read the full report (Costs Matter: Are Fund Investors Voting With Their Feet?) at vanguard.com/ research.
In our view, investors are serving their interests by paying attention to costs. The math is simple: The less investors pay for an investment, the more they keep. And because cost savings compound over the long term, keeping costs low can help investors build greater wealth.
So if you’re feeling buffeted by the latest headlines, it can be constructive to focus your attention on one of the things you can control: your investment costs. We continue to believe that holding a balanced and diversified portfolio of low-cost investments can give investors a greater chance of reaching their long-term financial goals. Vanguard’s Tax-Managed Funds, with their demonstrated tax efficiency and low expenses, can play a useful role in such a portfolio.
As always, thank you for entrusting your assets to Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
July 19, 2012
6
Your Fund’s Performance at a Glance
December 31, 2011, Through June 30, 2012
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Tax-Managed Balanced Fund | $20.55 | $21.56 | $0.245 | $0.000 |
Vanguard Tax-Managed Growth and Income | ||||
Fund | ||||
Admiral Shares | $56.33 | $61.05 | $0.596 | $0.000 |
Institutional Shares | 27.41 | 29.71 | 0.296 | 0.000 |
Vanguard Tax-Managed Capital Appreciation | ||||
Fund | ||||
Admiral Shares | $62.36 | $68.12 | $0.013 | $0.000 |
Institutional Shares | 30.98 | 33.85 | 0.007 | 0.000 |
Vanguard Tax-Managed Small-Cap Fund | ||||
Admiral Shares | $27.26 | $29.41 | $0.002 | $0.000 |
Institutional Shares | 27.33 | 29.48 | 0.014 | 0.000 |
7
Tax-Managed Balanced Fund
Fund Profile
As of June 30, 2012
Equity and Portfolio Characteristics | |||
DJ | |||
Russell | U.S. Total | ||
1000 | Market | ||
Fund | Index | Index | |
Number of Stocks | 643 | 991 | 3,694 |
Median Market Cap $34.6B | $40.2B | $33.1B | |
Price/Earnings Ratio | 15.9x | 15.8x | 16.1x |
Price/Book Ratio | 2.1x | 2.2x | 2.1x |
Return on Equity | 18.5% | 18.7% | 18.1% |
Earnings Growth Rate | 10.2% | 9.7% | 9.4% |
Dividend Yield | 1.8% | 2.1% | 2.1% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 7% | — | — |
Ticker Symbol | VTMFX | — | — |
Expense Ratio1 | 0.12% | — | — |
30-Day SEC Yield | 1.73% | — | — |
Short-Term Reserves | 0.0% | — | — |
Fixed Income Characteristics | |||
Barclays | |||
1-15 Year | Barclays | ||
Municipal | Municipal | ||
Fund | Index Bond Index | ||
Number of Bonds | 763 | 37,858 | 46,773 |
Yield to Maturity | |||
(before expenses) | 1.8% | 1.8% | 2.5% |
Average Coupon | 4.6% | 4.8% | 4.9% |
Average Duration | 5.1 years | 5.1 years | 7.5 years |
Average Maturity | 5.5 years | 8.0 years | 13.6 years |
Total Fund Volatility Measures | ||
DJ | ||
Tax-Managed | U.S. Total | |
Balanced | Market | |
Comp Index | Index | |
R-Squared | 1.00 | 0.94 |
Beta | 0.98 | 0.46 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
| ||
Apple Inc. | Computer | |
Hardware | 4.0% | |
Exxon Mobil Corp. | Integrated Oil & | |
Gas | 2.9 | |
International Business | IT Consulting & | |
Machines Corp. | Other Services | 1.6 |
Microsoft Corp. | Systems Software | 1.5 |
General Electric Co. | Industrial | |
Conglomerates | 1.4 | |
Chevron Corp. | Integrated Oil & | |
Gas | 1.4 | |
AT&T Inc. | Integrated | |
Telecommunication | ||
Services | 1.4 | |
Coca-Cola Co. | Soft Drinks | 1.3 |
Johnson & Johnson | Pharmaceuticals | 1.2 |
Procter & Gamble Co. | Household | |
Products | 1.2 | |
Top Ten | 17.9% | |
Top Ten as % of Total Net Assets | 8.7% |
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 April 26, 2012, and represents estimated costs for the current fiscal year. For the six months ended June 30, 2012, the annualized expense ratio was 0.12%.
8
Tax-Managed Balanced Fund
Sector Diversification (% of equity exposure) | |||
DJ | |||
Russell | U.S. Total | ||
1000 | Market | ||
Fund | Index | Index | |
Consumer | |||
Discretionary | 11.9% | 11.9% | 11.9% |
Consumer Staples | 10.4 | 10.2 | 9.8 |
Energy | 10.2 | 10.1 | 10.0 |
Financials | 15.1 | 15.4 | 15.9 |
Health Care | 11.9 | 11.8 | 12.0 |
Industrials | 10.8 | 10.8 | 10.8 |
Information | |||
Technology | 19.1 | 19.1 | 19.1 |
Materials | 3.9 | 3.9 | 3.9 |
Telecommunication | |||
Services | 3.0 | 3.0 | 2.9 |
Utilities | 3.7 | 3.8 | 3.7 |
Distribution by Maturity (% of fixed income portfolio) | |
Under 1 Year | 9.9% |
1 - 3 Years | 13.2 |
3 - 5 Years | 21.1 |
5 - 10 Years | 49.7 |
10 - 20 Years | 6.1 |
Largest Area Concentrations (% of fixed income portfolio) | |
New York | 16.4% |
California | 10.7 |
New Jersey | 7.4 |
Texas | 7.1 |
Massachusetts | 5.5 |
Illinois | 3.8 |
Florida | 3.4 |
Pennsylvania | 3.4 |
Georgia | 3.3 |
Ohio | 3.2 |
Top Ten | 64.2% |
"Largest Area Concentration" figures exclude any fixed income futures contracts.
Distribution by Credit Quality (% of fixed income portfolio) | |
Aaa | 22.6% |
Aa | 51.6 |
A | 22.1 |
Baa | 3.5 |
Not Rated | 0.2 |
For information about these ratings, see the Glossary entry Credit Quality.
Equity Investment Focus
Fixed Income Investment Focus
9
Tax-Managed Balanced Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at 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, 2001, Through June 30, 2012
Tax-Managed Balanced Fund |
Tax-Managed Balanced Composite Index |
Tax-Managed Balanced Composite Index: Weighted 50% Russell 1000 Index and 50% Barclay’s 7 Year Municipal Bond Index through January 31, 2002, and 50% Russell 1000 Index and 50% Barclays 1–15 Year Municipal Bond Index thereafter.
Note: For 2012, performance data reflect the six months ended June 30, 2012.
Average Annual Total Returns: Periods Ended June 30, 2012 | ||||||
Ten Years | ||||||
Inception Date | One Year | Five Years | Income | Capital | Total | |
Admiral Shares | 9/6/1994 | 6.46% | 3.82% | 2.85% | 2.93% | 5.78% |
See Financial Highlights for dividend and capital gains information.
10
Tax-Managed Balanced Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2012
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 (48.5%) | |||
Consumer Discretionary (5.7%) | |||
Walt Disney Co. | 59,666 | 2,894 | |
McDonald’s Corp. | 30,774 | 2,724 | |
* | Amazon.com Inc. | 11,752 | 2,684 |
Comcast Corp. Class A | 77,645 | 2,482 | |
Home Depot Inc. | 38,799 | 2,056 | |
News Corp. Class A | 79,351 | 1,769 | |
Starbucks Corp. | 26,263 | 1,400 | |
Ford Motor Co. | 139,400 | 1,337 | |
* | DIRECTV Class A | 26,718 | 1,304 |
Target Corp. | 22,045 | 1,283 | |
TJX Cos. Inc. | 28,586 | 1,227 | |
Lowe’s Cos. Inc. | 42,215 | 1,201 | |
NIKE Inc. Class B | 12,847 | 1,128 | |
Yum! Brands Inc. | 15,505 | 999 | |
Viacom Inc. Class B | 21,227 | 998 | |
Time Warner Inc. | 25,796 | 993 | |
CBS Corp. Class B | 26,200 | 859 | |
* | priceline.com Inc. | 1,278 | 849 |
Coach Inc. | 13,120 | 767 | |
Ross Stores Inc. | 10,904 | 681 | |
* | Dollar Tree Inc. | 12,088 | 650 |
Macy’s Inc. | 18,494 | 635 | |
Time Warner Cable Inc. | 7,643 | 628 | |
* | Bed Bath & Beyond Inc. | 10,100 | 624 |
Carnival Corp. | 16,650 | 571 | |
Harley-Davidson Inc. | 12,290 | 562 | |
* | O’Reilly Automotive Inc. | 6,562 | 550 |
* | Liberty Media Corp. - | ||
Liberty Capital Class A | 6,204 | 545 | |
Gap Inc. | 19,725 | 540 | |
Marriott International Inc. | |||
Class A | 13,683 | 536 | |
Kohl’s Corp. | 11,385 | 518 | |
PetSmart Inc. | 7,424 | 506 | |
Starwood Hotels & Resorts | |||
Worldwide Inc. | 9,507 | 504 | |
* | AutoZone Inc. | 1,351 | 496 |
* | General Motors Co. | 24,900 | 491 |
Market | |||
Value | |||
Shares | ($000) | ||
Ralph Lauren Corp. Class A | 3,473 | 486 | |
Family Dollar Stores Inc. | 6,866 | 457 | |
Virgin Media Inc. | 18,636 | 455 | |
DR Horton Inc. | 24,122 | 443 | |
Lennar Corp. Class A | 14,123 | 437 | |
Scripps Networks | |||
Interactive Inc. Class A | 7,068 | 402 | |
Tractor Supply Co. | 4,757 | 395 | |
DISH Network Corp. Class A | 13,705 | 391 | |
Jarden Corp. | 9,292 | 390 | |
Staples Inc. | 29,898 | 390 | |
PVH Corp. | 4,783 | 372 | |
* | Dollar General Corp. | 6,500 | 354 |
Advance Auto Parts Inc. | 5,064 | 346 | |
International Game | |||
Technology | 21,367 | 337 | |
Wyndham Worldwide Corp. | 6,300 | 332 | |
* | Discovery | ||
Communications Inc. | |||
Class A | 6,041 | 326 | |
Johnson Controls Inc. | 11,700 | 324 | |
* | Liberty Global Inc. Class A | 6,532 | 324 |
* | NVR Inc. | 380 | 323 |
Best Buy Co. Inc. | 15,075 | 316 | |
John Wiley & Sons Inc. | |||
Class A | 6,318 | 310 | |
Lear Corp. | 8,200 | 309 | |
Brinker International Inc. | 9,637 | 307 | |
Expedia Inc. | 6,191 | 298 | |
* | BorgWarner Inc. | 4,476 | 294 |
Harman International | |||
Industries Inc. | 7,407 | 293 | |
Aaron’s Inc. | 10,311 | 292 | |
Dillard’s Inc. Class A | 4,413 | 281 | |
* | TripAdvisor Inc. | 6,191 | 277 |
Morningstar Inc. | 4,628 | 268 | |
DeVry Inc. | 8,600 | 266 | |
Royal Caribbean Cruises Ltd. | 10,147 | 264 | |
Hasbro Inc. | 7,712 | 261 | |
* | Liberty Global Inc. | 5,446 | 260 |
* | Apollo Group Inc. Class A | 6,500 | 235 |
11
Tax-Managed Balanced Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Las Vegas Sands Corp. | 5,400 | 235 | |
Gentex Corp. | 10,743 | 224 | |
Washington Post Co. Class B | 560 | 209 | |
Wendy’s Co. | 43,670 | 206 | |
Comcast Corp. | 6,476 | 203 | |
Abercrombie & Fitch Co. | 5,400 | 184 | |
Service Corp. International | 14,900 | 184 | |
Weight Watchers | |||
International Inc. | 3,433 | 177 | |
Newell Rubbermaid Inc. | 9,718 | 176 | |
Omnicom Group Inc. | 3,200 | 156 | |
Guess? Inc. | 4,600 | 140 | |
Polaris Industries Inc. | 1,800 | 129 | |
* | Panera Bread Co. Class A | 900 | 126 |
Chico’s FAS Inc. | 7,000 | 104 | |
McGraw-Hill Cos. Inc. | 1,800 | 81 | |
* | Toll Brothers Inc. | 2,000 | 60 |
Thor Industries Inc. | 2,000 | 55 | |
* | MGM Resorts International | 4,013 | 45 |
* | Liberty Interactive Corp. | ||
Class A | 2,138 | 38 | |
* | AMC Networks Inc. Class A | 573 | 20 |
Lennar Corp. Class B | 680 | 16 | |
Cablevision Systems Corp. | |||
Class A | 1,094 | 15 | |
Signet Jewelers Ltd. | 300 | 13 | |
* | Netflix Inc. | 177 | 12 |
Tiffany & Co. | 200 | 11 | |
H&R Block Inc. | 500 | 8 | |
52,633 | |||
Consumer Staples (5.0%) | |||
Procter & Gamble Co. | 83,449 | 5,111 | |
Coca-Cola Co. | 64,782 | 5,065 | |
Philip Morris | |||
International Inc. | 49,594 | 4,328 | |
Wal-Mart Stores Inc. | 55,649 | 3,880 | |
PepsiCo Inc. | 49,690 | 3,511 | |
CVS Caremark Corp. | 41,792 | 1,953 | |
Colgate-Palmolive Co. | 17,935 | 1,867 | |
Altria Group Inc. | 47,900 | 1,655 | |
Kraft Foods Inc. | 39,837 | 1,539 | |
Costco Wholesale Corp. | 15,117 | 1,436 | |
Archer-Daniels-Midland Co. | 28,673 | 846 | |
Walgreen Co. | 28,118 | 832 | |
Mead Johnson Nutrition Co. | 9,113 | 734 | |
Whole Foods Market Inc. | 7,400 | 705 | |
Hershey Co. | 8,200 | 591 | |
* | Monster Beverage Corp. | 8,238 | 587 |
Brown-Forman Corp. Class B | 5,792 | 561 | |
Estee Lauder Cos. Inc. | |||
Class A | 10,318 | 558 | |
General Mills Inc. | 14,314 | 552 | |
Beam Inc. | 8,600 | 537 | |
Bunge Ltd. | 8,530 | 535 | |
Coca-Cola Enterprises Inc. | 18,186 | 510 | |
JM Smucker Co. | 6,651 | 502 |
Market | |||
Value | |||
Shares | ($000) | ||
Dr Pepper Snapple Group Inc. | 11,332 | 496 | |
McCormick & Co. Inc. | 8,147 | 494 | |
Church & Dwight Co. Inc. | 8,655 | 480 | |
Clorox Co. | 6,400 | 464 | |
Kroger Co. | 19,300 | 448 | |
* | Constellation Brands Inc. | ||
Class A | 16,387 | 443 | |
Herbalife Ltd. | 8,627 | 417 | |
Kimberly-Clark Corp. | 4,772 | 400 | |
Tyson Foods Inc. Class A | 21,210 | 399 | |
* | Energizer Holdings Inc. | 5,065 | 381 |
Hormel Foods Corp. | 12,092 | 368 | |
Safeway Inc. | 20,134 | 365 | |
* | Ralcorp Holdings Inc. | 5,199 | 347 |
Molson Coors Brewing Co. | |||
Class B | 8,300 | 345 | |
Ingredion Inc. | 6,786 | 336 | |
* | Dean Foods Co. | 19,002 | 324 |
* | Smithfield Foods Inc. | 14,856 | 321 |
Hillshire Brands Co. | 6,087 | 176 | |
* | Green Mountain Coffee | ||
Roasters Inc. | 5,629 | 123 | |
Sysco Corp. | 1,500 | 45 | |
Avon Products Inc. | 2,100 | 34 | |
DE Master Blenders | 609 | 7 | |
45,608 | |||
Energy (5.0%) | |||
Exxon Mobil Corp. | 148,015 | 12,666 | |
Chevron Corp. | 58,132 | 6,133 | |
Schlumberger Ltd. | 33,567 | 2,179 | |
ConocoPhillips | 33,812 | 1,889 | |
Occidental Petroleum Corp. | 20,404 | 1,750 | |
Apache Corp. | 14,714 | 1,293 | |
Anadarko Petroleum Corp. | 19,090 | 1,264 | |
National Oilwell Varco Inc. | 16,529 | 1,065 | |
EOG Resources Inc. | 10,628 | 958 | |
* | Phillips 66 | 28,106 | 934 |
Devon Energy Corp. | 15,657 | 908 | |
Halliburton Co. | 30,064 | 854 | |
Marathon Petroleum Corp. | 15,241 | 685 | |
Noble Energy Inc. | 7,999 | 678 | |
* | Southwestern Energy Co. | 18,631 | 595 |
Kinder Morgan Inc. | 18,167 | 585 | |
Hess Corp. | 12,904 | 561 | |
Pioneer Natural | |||
Resources Co. | 6,119 | 540 | |
Range Resources Corp. | 8,646 | 535 | |
* | Cameron International Corp. | 12,452 | 532 |
Cabot Oil & Gas Corp. | 13,152 | 518 | |
* | FMC Technologies Inc. | 12,986 | 509 |
EQT Corp. | 7,897 | 424 | |
QEP Resources Inc. | 13,725 | 411 | |
* | Ultra Petroleum Corp. | 15,900 | 367 |
Diamond Offshore | |||
Drilling Inc. | 5,860 | 346 | |
Murphy Oil Corp. | 6,700 | 337 |
12
Tax-Managed Balanced Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Helmerich & Payne Inc. | 7,715 | 335 | |
* | Newfield Exploration Co. | 11,327 | 332 |
Cimarex Energy Co. | 5,776 | 318 | |
HollyFrontier Corp. | 8,292 | 294 | |
SM Energy Co. | 5,972 | 293 | |
Peabody Energy Corp. | 11,809 | 290 | |
* | Rowan Cos. plc Class A | 8,883 | 287 |
* | SEACOR Holdings Inc. | 3,197 | 286 |
* | Continental Resources Inc. | 4,164 | 277 |
* | Dresser-Rand Group Inc. | 6,122 | 273 |
* | Oil States International Inc. | 4,098 | 271 |
Energen Corp. | 5,830 | 263 | |
Baker Hughes Inc. | 5,750 | 236 | |
* | Nabors Industries Ltd. | 16,090 | 232 |
CONSOL Energy Inc. | 7,605 | 230 | |
Marathon Oil Corp. | 8,482 | 217 | |
* | Concho Resources Inc. | 2,200 | 187 |
* | Plains Exploration | ||
& Production Co. | 4,748 | 167 | |
* | Kosmos Energy Ltd. | 14,997 | 166 |
CARBO Ceramics Inc. | 2,108 | 162 | |
* | Whiting Petroleum Corp. | 3,600 | 148 |
* | SandRidge Energy Inc. | 21,613 | 145 |
* | Superior Energy Services Inc. | 6,121 | 124 |
Patterson-UTI Energy Inc. | 8,502 | 124 | |
* | McDermott International Inc. | 11,085 | 123 |
EXCO Resources Inc. | 13,311 | 101 | |
Chesapeake Energy Corp. | 2,100 | 39 | |
* | Alpha Natural Resources Inc. | 3,888 | 34 |
* | Denbury Resources Inc. | 1,400 | 21 |
45,491 | |||
Financials (7.3%) | |||
* | Berkshire Hathaway Inc. | ||
Class B | 59,577 | 4,964 | |
Wells Fargo & Co. | 145,121 | 4,853 | |
JPMorgan Chase & Co. | 109,301 | 3,905 | |
Bank of America Corp. | 373,017 | 3,051 | |
Citigroup Inc. | 101,192 | 2,774 | |
American Express Co. | 34,259 | 1,994 | |
Goldman Sachs Group Inc. | 18,285 | 1,753 | |
Simon Property Group Inc. | 10,878 | 1,693 | |
US Bancorp | 43,300 | 1,392 | |
American Tower Corporation | 15,973 | 1,117 | |
Capital One Financial Corp. | 20,192 | 1,104 | |
Morgan Stanley | 57,960 | 846 | |
Discover Financial Services | 24,229 | 838 | |
Public Storage | 5,672 | 819 | |
Equity Residential | 12,950 | 808 | |
State Street Corp. | 18,069 | 807 | |
Boston Properties Inc. | 6,781 | 735 | |
Franklin Resources Inc. | 6,525 | 724 | |
Aon plc | 14,800 | 692 | |
Travelers Cos. Inc. | 10,589 | 676 | |
SunTrust Banks Inc. | 27,029 | 655 | |
AvalonBay Communities Inc. | 4,600 | 651 | |
Loews Corp. | 15,716 | 643 |
Market | |||
Value | |||
Shares | ($000) | ||
Progressive Corp. | 30,397 | 633 | |
Weyerhaeuser Co. | 26,857 | 600 | |
* | American International | ||
Group Inc. | 18,100 | 581 | |
Host Hotels & Resorts Inc. | 36,299 | 574 | |
* | IntercontinentalExchange Inc. | 4,171 | 567 |
Charles Schwab Corp. | 43,305 | 560 | |
General Growth | |||
Properties Inc. | 30,900 | 559 | |
Bank of New York | |||
Mellon Corp. | 25,100 | 551 | |
Regions Financial Corp. | 78,215 | 528 | |
Fifth Third Bancorp | 38,275 | 513 | |
PNC Financial Services | |||
Group Inc. | 7,700 | 470 | |
SL Green Realty Corp. | 5,859 | 470 | |
Moody’s Corp. | 12,500 | 457 | |
Federal Realty | |||
Investment Trust | 4,219 | 439 | |
Comerica Inc. | 13,700 | 421 | |
Lincoln National Corp. | 19,130 | 418 | |
* | Alleghany Corp. | 1,219 | 414 |
Torchmark Corp. | 7,948 | 402 | |
Essex Property Trust Inc. | 2,600 | 400 | |
MetLife Inc. | 12,940 | 399 | |
* | CBRE Group Inc. Class A | 24,373 | 399 |
Unum Group | 20,827 | 398 | |
* | Affiliated Managers | ||
Group Inc. | 3,584 | 392 | |
Digital Realty Trust Inc. | 5,143 | 386 | |
Taubman Centers Inc. | 5,000 | 386 | |
Aflac Inc. | 8,800 | 375 | |
WR Berkley Corp. | 9,543 | 371 | |
Alexandria Real Estate | |||
Equities Inc. | 5,100 | 371 | |
Leucadia National Corp. | 17,000 | 362 | |
Hartford Financial Services | |||
Group Inc. | 20,400 | 360 | |
* | Arch Capital Group Ltd. | 8,850 | 351 |
Legg Mason Inc. | 13,154 | 347 | |
Zions Bancorporation | 17,851 | 347 | |
East West Bancorp Inc. | 14,669 | 344 | |
Douglas Emmett Inc. | 14,834 | 343 | |
RenaissanceRe Holdings Ltd. | 4,498 | 342 | |
* | Markel Corp. | 771 | 340 |
Apartment Investment | |||
& Management Co. Class A | 12,576 | 340 | |
Allied World Assurance | |||
Co. Holdings AG | 4,248 | 338 | |
Allstate Corp. | 9,400 | 330 | |
DDR Corp. | 22,207 | 325 | |
American Financial Group Inc. | 8,250 | 324 | |
HCC Insurance Holdings Inc. | 10,264 | 322 | |
Raymond James Financial Inc. | 9,334 | 320 | |
Vornado Realty Trust | 3,800 | 319 | |
First Horizon National Corp. | 36,840 | 319 |
13
Tax-Managed Balanced Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Brown & Brown Inc. | 11,661 | 318 | |
* | MSCI Inc. Class A | 9,334 | 317 |
* | American Capital Ltd. | 31,200 | 314 |
Jones Lang LaSalle Inc. | 4,412 | 310 | |
* | Forest City Enterprises Inc. | ||
Class A | 20,713 | 302 | |
Associated Banc-Corp | 22,727 | 300 | |
KeyCorp | 38,318 | 297 | |
Reinsurance Group of | |||
America Inc. Class A | 5,570 | 296 | |
* | Howard Hughes Corp. | 4,800 | 296 |
* | First Republic Bank | 8,800 | 296 |
Assurant Inc. | 8,400 | 293 | |
Washington Federal Inc. | 17,000 | 287 | |
Assured Guaranty Ltd. | 20,094 | 283 | |
TD Ameritrade Holding Corp. | 16,661 | 283 | |
White Mountains Insurance | |||
Group Ltd. | 538 | 281 | |
CapitalSource Inc. | 41,714 | 280 | |
TCF Financial Corp. | 24,400 | 280 | |
SEI Investments Co. | 13,347 | 265 | |
* | St. Joe Co. | 16,600 | 262 |
First Citizens BancShares Inc. | |||
Class A | 1,517 | 253 | |
Chubb Corp. | 3,400 | 248 | |
NASDAQ OMX Group Inc. | 10,873 | 246 | |
Retail Properties of | |||
America Inc. | 25,300 | 246 | |
* | MBIA Inc. | 22,375 | 242 |
CNA Financial Corp. | 8,693 | 241 | |
* | LPL Financial Holdings Inc. | 7,100 | 240 |
* | TFS Financial Corp. | 24,900 | 238 |
Commerce Bancshares Inc. | 6,271 | 238 | |
BOK Financial Corp. | 4,040 | 235 | |
Huntington Bancshares Inc. | 35,900 | 230 | |
Prudential Financial Inc. | 4,712 | 228 | |
Lazard Ltd. Class A | 7,700 | 200 | |
Hanover Insurance Group Inc. | 5,014 | 196 | |
StanCorp Financial Group Inc. | 5,000 | 186 | |
BB&T Corp. | 5,800 | 179 | |
BRE Properties Inc. | 3,400 | 170 | |
ACE Ltd. | 2,100 | 156 | |
CME Group Inc. | 499 | 134 | |
BlackRock Inc. | 722 | 123 | |
Jefferies Group Inc. | 9,300 | 121 | |
Prologis Inc. | 3,600 | 120 | |
* | Genworth Financial Inc. | ||
Class A | 20,900 | 118 | |
Hospitality Properties Trust | 3,122 | 77 | |
* | CIT Group Inc. | 2,100 | 75 |
City National Corp. | 1,500 | 73 | |
M&T Bank Corp. | 750 | 62 | |
Ameriprise Financial Inc. | 1,180 | 62 | |
* | E*TRADE Financial Corp. | 3,200 | 26 |
Cullen/Frost Bankers Inc. | 200 | 11 |
Market | |||
Value | |||
Shares | ($000) | ||
People’s United Financial Inc. | 400 | 5 | |
67,140 | |||
Health Care (5.8%) | |||
Johnson & Johnson | 77,944 | 5,266 | |
Pfizer Inc. | 220,790 | 5,078 | |
Merck & Co. Inc. | 82,221 | 3,433 | |
Abbott Laboratories | 43,600 | 2,811 | |
UnitedHealth Group Inc. | 37,413 | 2,189 | |
Amgen Inc. | 28,655 | 2,093 | |
* | Express Scripts Holding Co. | 30,149 | 1,683 |
* | Gilead Sciences Inc. | 29,801 | 1,528 |
* | Biogen Idec Inc. | 9,411 | 1,359 |
Bristol-Myers Squibb Co. | 35,760 | 1,286 | |
Allergan Inc. | 12,209 | 1,130 | |
* | Celgene Corp. | 17,412 | 1,117 |
McKesson Corp. | 10,036 | 941 | |
Medtronic Inc. | 23,200 | 899 | |
* | Intuitive Surgical Inc. | 1,590 | 881 |
WellPoint Inc. | 13,626 | 869 | |
Stryker Corp. | 13,949 | 769 | |
Thermo Fisher Scientific Inc. | 14,767 | 767 | |
Eli Lilly & Co. | 17,300 | 742 | |
Agilent Technologies Inc. | 16,907 | 663 | |
Cigna Corp. | 14,062 | 619 | |
Aetna Inc. | 15,855 | 615 | |
Zimmer Holdings Inc. | 9,070 | 584 | |
Perrigo Co. | 4,728 | 558 | |
Covidien plc | 10,400 | 556 | |
Cardinal Health Inc. | 13,245 | 556 | |
St. Jude Medical Inc. | 13,835 | 552 | |
AmerisourceBergen Corp. | |||
Class A | 13,906 | 547 | |
* | Watson Pharmaceuticals Inc. | 7,264 | 537 |
CR Bard Inc. | 4,965 | 533 | |
* | Forest Laboratories Inc. | 15,119 | 529 |
* | Vertex Pharmaceuticals Inc. | 9,400 | 526 |
* | Mylan Inc. | 24,356 | 520 |
* | Life Technologies Corp. | 10,917 | 491 |
* | Laboratory Corp. of | ||
America Holdings | 5,191 | 481 | |
Quest Diagnostics Inc. | 8,019 | 480 | |
* | DaVita Inc. | 4,800 | 471 |
Humana Inc. | 6,000 | 465 | |
* | Waters Corp. | 5,718 | 454 |
* | Hospira Inc. | 12,260 | 429 |
DENTSPLY International Inc. | 10,283 | 389 | |
* | Alexion Pharmaceuticals Inc. | 3,886 | 386 |
Baxter International Inc. | 7,100 | 377 | |
* | Mettler-Toledo | ||
International Inc. | 2,400 | 374 | |
Universal Health | |||
Services Inc. Class B | 8,417 | 363 | |
* | Varian Medical Systems Inc. | 5,800 | 352 |
Cooper Cos. Inc. | 4,384 | 350 | |
* | Endo Health Solutions Inc. | 11,269 | 349 |
14
Tax-Managed Balanced Fund | |||
Market | |||
Value• | |||
Shares | ($000) | ||
Techne Corp. | 4,600 | 341 | |
Omnicare Inc. | 10,893 | 340 | |
HCA Holdings Inc. | 10,844 | 330 | |
* | Warner Chilcott plc Class A | 18,109 | 325 |
PerkinElmer Inc. | 12,100 | 312 | |
Patterson Cos. Inc. | 9,000 | 310 | |
* | Human Genome | ||
Sciences Inc. | 20,600 | 270 | |
Hill-Rom Holdings Inc. | 8,722 | 269 | |
* | Illumina Inc. | 5,800 | 234 |
* | Tenet Healthcare Corp. | 42,100 | 221 |
* | CareFusion Corp. | 8,395 | 216 |
* | Bio-Rad Laboratories Inc. | ||
Class A | 2,100 | 210 | |
Becton Dickinson and Co. | 1,684 | 126 | |
* | Edwards Lifesciences Corp. | 919 | 95 |
* | Cerner Corp. | 505 | 42 |
* | QIAGEN NV | 1,800 | 30 |
52,618 | |||
Industrials (5.3%) | |||
General Electric Co. | 307,009 | 6,398 | |
Union Pacific Corp. | 17,026 | 2,031 | |
United Technologies Corp. | 24,876 | 1,879 | |
3M Co. | 16,900 | 1,514 | |
United Parcel Service Inc. | |||
Class B | 15,200 | 1,197 | |
Boeing Co. | 15,820 | 1,175 | |
Caterpillar Inc. | 13,500 | 1,146 | |
Danaher Corp. | 21,851 | 1,138 | |
FedEx Corp. | 12,376 | 1,134 | |
Precision Castparts Corp. | 5,952 | 979 | |
Raytheon Co. | 14,149 | 801 | |
Honeywell International Inc. | 13,600 | 759 | |
Goodrich Corp. | 5,800 | 736 | |
Tyco International Ltd. | 13,500 | 714 | |
Cummins Inc. | 7,321 | 710 | |
CSX Corp. | 29,700 | 664 | |
Ingersoll-Rand plc | 14,900 | 629 | |
Fastenal Co. | 14,225 | 573 | |
WW Grainger Inc. | 2,932 | 561 | |
Roper Industries Inc. | 5,310 | 523 | |
Fluor Corp. | 9,958 | 491 | |
Emerson Electric Co. | 10,300 | 480 | |
* | Stericycle Inc. | 5,198 | 477 |
AMETEK Inc. | 9,467 | 473 | |
* | TransDigm Group Inc. | 3,510 | 471 |
Southwest Airlines Co. | 50,857 | 469 | |
Deere & Co. | 5,600 | 453 | |
Textron Inc. | 18,111 | 450 | |
CH Robinson Worldwide Inc. | 7,611 | 445 | |
JB Hunt Transport | |||
Services Inc. | 7,310 | 436 | |
Expeditors International | |||
of Washington Inc. | 11,166 | 433 | |
Flowserve Corp. | 3,671 | 421 | |
Equifax Inc. | 8,958 | 417 |
Market | |||
Value• | |||
Shares | ($000) | ||
Pall Corp. | 7,400 | 406 | |
Joy Global Inc. | 7,019 | 398 | |
* | Quanta Services Inc. | 16,495 | 397 |
* | Jacobs Engineering | ||
Group Inc. | 10,295 | 390 | |
* | AGCO Corp. | 8,437 | 386 |
Republic Services Inc. | |||
Class A | 14,110 | 373 | |
Donaldson Co. Inc. | 11,186 | 373 | |
* | Fortune Brands Home | ||
& Security Inc. | 16,325 | 364 | |
Wabtec Corp. | 4,653 | 363 | |
* | BE Aerospace Inc. | 8,311 | 363 |
Chicago Bridge & Iron Co. NV | 9,558 | 363 | |
Valmont Industries Inc. | 2,911 | 352 | |
Stanley Black & Decker Inc. | 5,227 | 336 | |
Nordson Corp. | 6,550 | 336 | |
* | WABCO Holdings Inc. | 6,296 | 333 |
Towers Watson & Co. | |||
Class A | 5,500 | 329 | |
* | Spirit Aerosystems | ||
Holdings Inc. Class A | 13,500 | 322 | |
Gardner Denver Inc. | 5,988 | 317 | |
KBR Inc. | 12,796 | 316 | |
Rockwell Collins Inc. | 6,400 | 316 | |
* | Huntington Ingalls | ||
Industries Inc. | 7,819 | 315 | |
Robert Half International Inc. | 11,000 | 314 | |
* | Babcock & Wilcox Co. | 12,819 | 314 |
Regal-Beloit Corp. | 5,000 | 311 | |
PACCAR Inc. | 7,800 | 306 | |
Toro Co. | 4,159 | 305 | |
Copa Holdings SA Class A | 3,638 | 300 | |
Landstar System Inc. | 5,685 | 294 | |
* | WESCO International Inc. | 5,019 | 289 |
Manitowoc Co. Inc. | 24,400 | 286 | |
* | Shaw Group Inc. | 10,400 | 284 |
Trinity Industries Inc. | 11,200 | 280 | |
* | Navistar International Corp. | 9,846 | 279 |
Armstrong World | |||
Industries Inc. | 5,503 | 271 | |
Waste Connections Inc. | 9,000 | 269 | |
MSC Industrial Direct | |||
Co. Inc. Class A | 4,100 | 269 | |
* | AECOM Technology Corp. | 16,334 | 269 |
URS Corp. | 7,607 | 265 | |
SPX Corp. | 3,997 | 261 | |
Pentair Inc. | 6,800 | 260 | |
UTi Worldwide Inc. | 17,612 | 257 | |
Covanta Holding Corp. | 14,400 | 247 | |
* | CNH Global NV | 6,300 | 245 |
ITT Corp. | 13,869 | 244 | |
Dun & Bradstreet Corp. | 3,400 | 242 | |
General Dynamics Corp. | 3,491 | 230 | |
Alliant Techsystems Inc. | 4,486 | 227 | |
Kansas City Southern | 3,200 | 223 |
15
Tax-Managed Balanced Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Xylem Inc. | 8,739 | 220 | |
Con-way Inc. | 6,065 | 219 | |
Illinois Tool Works Inc. | 3,700 | 196 | |
Norfolk Southern Corp. | 2,700 | 194 | |
Manpower Inc. | 5,250 | 192 | |
Cintas Corp. | 4,850 | 187 | |
* | Air Lease Corp. | 8,000 | 155 |
* | Delta Air Lines Inc. | 12,100 | 133 |
Lincoln Electric Holdings Inc. | 3,023 | 132 | |
Lockheed Martin Corp. | 1,503 | 131 | |
Kennametal Inc. | 3,300 | 109 | |
* | Owens Corning | 3,600 | 103 |
Exelis Inc. | 8,739 | 86 | |
* | Oshkosh Corp. | 3,547 | 74 |
Ryder System Inc. | 1,400 | 50 | |
L-3 Communications | |||
Holdings Inc. | 489 | 36 | |
* | United Continental | ||
Holdings Inc. | 1,200 | 29 | |
IDEX Corp. | 529 | 21 | |
* | Verisk Analytics Inc. Class A | 300 | 15 |
48,248 | |||
Information Technology (9.3%) | |||
* | Apple Inc. | 30,144 | 17,604 |
International Business | |||
Machines Corp. | 35,847 | 7,011 | |
Microsoft Corp. | 218,356 | 6,679 | |
* | Google Inc. Class A | 8,652 | 5,019 |
Intel Corp. | 151,400 | 4,035 | |
Oracle Corp. | 130,390 | 3,873 | |
QUALCOMM Inc. | 54,900 | 3,057 | |
Cisco Systems Inc. | 172,915 | 2,969 | |
Visa Inc. Class A | 18,424 | 2,278 | |
* | EMC Corp. | 75,036 | 1,923 |
* | eBay Inc. | 42,444 | 1,783 |
Mastercard Inc. Class A | 3,960 | 1,703 | |
Hewlett-Packard Co. | 65,489 | 1,317 | |
Texas Instruments Inc. | 40,646 | 1,166 | |
* | Yahoo! Inc. | 53,466 | 846 |
Accenture plc Class A | 13,600 | 817 | |
* | Cognizant Technology | ||
Solutions Corp. Class A | 13,498 | 810 | |
* | Dell Inc. | 64,601 | 809 |
Intuit Inc. | 13,524 | 803 | |
Broadcom Corp. Class A | 23,743 | 802 | |
Corning Inc. | 58,977 | 763 | |
* | Citrix Systems Inc. | 8,754 | 735 |
* | Adobe Systems Inc. | 22,696 | 735 |
* | Salesforce.com Inc. | 4,903 | 678 |
Motorola Solutions Inc. | 12,867 | 619 | |
* | Teradata Corp. | 8,451 | 609 |
Applied Materials Inc. | 53,080 | 608 | |
* | Fiserv Inc. | 7,771 | 561 |
* | Symantec Corp. | 38,139 | 557 |
Altera Corp. | 16,352 | 553 |
Market | |||
Value | |||
Shares | ($000) | ||
* | NetApp Inc. | 17,371 | 553 |
Fidelity National Information | |||
Services Inc. | 15,481 | 528 | |
CA Inc. | 19,407 | 526 | |
Analog Devices Inc. | 13,696 | 516 | |
Amphenol Corp. Class A | 9,296 | 511 | |
Avago Technologies Ltd. | 13,035 | 468 | |
* | VeriSign Inc. | 10,728 | 467 |
* | Alliance Data Systems Corp. | 3,377 | 456 |
Xilinx Inc. | 13,429 | 451 | |
KLA-Tencor Corp. | 9,012 | 444 | |
* | BMC Software Inc. | 10,183 | 435 |
Western Union Co. | 25,665 | 432 | |
* | Autodesk Inc. | 11,608 | 406 |
Activision Blizzard Inc. | 31,360 | 376 | |
Jabil Circuit Inc. | 17,500 | 356 | |
Global Payments Inc. | 7,914 | 342 | |
* | Juniper Networks Inc. | 20,600 | 336 |
* | Synopsys Inc. | 11,200 | 330 |
IAC/InterActiveCorp | 7,200 | 328 | |
FactSet Research | |||
Systems Inc. | 3,499 | 325 | |
National Instruments Corp. | 11,411 | 306 | |
FLIR Systems Inc. | 15,269 | 298 | |
* | Lam Research Corp. | 7,700 | 291 |
DST Systems Inc. | 5,230 | 284 | |
Total System Services Inc. | 11,700 | 280 | |
SAIC Inc. | 22,806 | 276 | |
Solera Holdings Inc. | 6,390 | 267 | |
* | NVIDIA Corp. | 17,900 | 247 |
Automatic Data | |||
Processing Inc. | 4,274 | 238 | |
* | Fairchild Semiconductor | ||
International Inc. Class A | 16,325 | 230 | |
Xerox Corp. | 26,155 | 206 | |
Computer Sciences Corp. | 8,200 | 204 | |
* | Atmel Corp. | 28,800 | 193 |
Marvell Technology | |||
Group Ltd. | 15,000 | 169 | |
Maxim Integrated | |||
Products Inc. | 5,500 | 141 | |
Lexmark International Inc. | |||
Class A | 5,300 | 141 | |
* | Ingram Micro Inc. | 7,800 | 136 |
Linear Technology Corp. | 4,000 | 125 | |
* | LSI Corp. | 14,400 | 92 |
* | NCR Corp. | 4,000 | 91 |
Harris Corp. | 2,100 | 88 | |
AVX Corp. | 6,400 | 68 | |
* | Tech Data Corp. | 1,400 | 67 |
* | Arrow Electronics Inc. | 700 | 23 |
Lender Processing | |||
Services Inc. | 800 | 20 | |
* | Freescale Semiconductor Ltd. | 1,600 | 16 |
84,805 |
16
Tax-Managed Balanced Fund | ||||
Market | ||||
Value | ||||
Shares | ($000) | |||
Materials (1.9%) | ||||
Monsanto Co. | 19,008 | 1,574 | ||
Freeport-McMoRan Copper | ||||
& Gold Inc. | 29,394 | 1,001 | ||
EI du Pont de Nemours & Co. | 16,728 | 846 | ||
Newmont Mining Corp. | 16,554 | 803 | ||
Ecolab Inc. | 11,400 | 781 | ||
Mosaic Co. | 12,948 | 709 | ||
CF Industries Holdings Inc. | 3,512 | 680 | ||
Sherwin-Williams Co. | 4,600 | 609 | ||
Dow Chemical Co. | 18,300 | 576 | ||
LyondellBasell Industries NV | ||||
Class A | 13,538 | 545 | ||
Sigma-Aldrich Corp. | 6,980 | 516 | ||
Praxair Inc. | 4,400 | 478 | ||
FMC Corp. | 8,798 | 471 | ||
Ball Corp. | 10,718 | 440 | ||
Alcoa Inc. | 49,200 | 431 | ||
Vulcan Materials Co. | 10,834 | 430 | ||
Airgas Inc. | 5,019 | 422 | ||
Royal Gold Inc. | 5,371 | 421 | ||
Ashland Inc. | 5,798 | 402 | ||
* | Crown Holdings Inc. | 11,441 | 395 | |
Celanese Corp. Class A | 10,140 | 351 | ||
Reliance Steel & | ||||
Aluminum Co. | 6,800 | 343 | ||
Cytec Industries Inc. | 5,833 | 342 | ||
Solutia Inc. | 12,000 | 337 | ||
* | WR Grace & Co. | 6,600 | 333 | |
* | Owens-Illinois Inc. | 16,400 | 314 | |
Albemarle Corp. | 5,200 | 310 | ||
Silgan Holdings Inc. | 6,906 | 295 | ||
Nucor Corp. | 7,400 | 281 | ||
Westlake Chemical Corp. | 4,700 | 246 | ||
Walter Energy Inc. | 5,107 | 226 | ||
Cliffs Natural Resources Inc. | 4,384 | 216 | ||
Scotts Miracle-Gro Co. | ||||
Class A | 5,042 | 207 | ||
Sealed Air Corp. | 11,800 | 182 | ||
Martin Marietta Materials Inc. | 2,286 | 180 | ||
* | Intrepid Potash Inc. | 6,803 | 155 | |
International Paper Co. | 4,943 | 143 | ||
Titanium Metals Corp. | 9,700 | 110 | ||
Valspar Corp. | 1,600 | 84 | ||
Air Products & Chemicals Inc. | 500 | 40 | ||
Rockwood Holdings Inc. | 900 | 40 | ||
United States Steel Corp. | 1,659 | 34 | ||
17,299 | ||||
Telecommunication Services (1.4%) | ||||
AT&T Inc. | 171,666 | 6,122 | ||
Verizon Communications Inc. | 77,200 | 3,431 | ||
* | Crown Castle | |||
International Corp. | 13,267 | 778 | ||
* | Sprint Nextel Corp. | 141,935 | 463 |
Market | |||
Value | |||
Shares | ($000) | ||
* | SBA Communications Corp. | ||
Class A | 8,011 | 457 | |
* | tw telecom inc Class A | 14,900 | 382 |
* | Level 3 Communications Inc. | 15,500 | 343 |
Telephone & Data | |||
Systems Inc. | 14,325 | 305 | |
* | MetroPCS | ||
Communications Inc. | 47,200 | 286 | |
* | NII Holdings Inc. | 25,451 | 260 |
* | United States Cellular Corp. | 6,215 | 240 |
CenturyLink Inc. | 3,000 | 118 | |
* | Clearwire Corp. Class A | 10,263 | 12 |
13,197 | |||
Utilities (1.8%) | |||
Southern Co. | 29,442 | 1,363 | |
NextEra Energy Inc. | 15,197 | 1,046 | |
FirstEnergy Corp. | 16,378 | 806 | |
Public Service Enterprise | |||
Group Inc. | 22,764 | 740 | |
Consolidated Edison Inc. | 11,880 | 739 | |
Sempra Energy | 10,529 | 725 | |
Dominion Resources Inc. | 13,408 | 724 | |
Edison International | 15,408 | 712 | |
PG&E Corp. | 14,635 | 663 | |
Xcel Energy Inc. | 21,000 | 597 | |
Northeast Utilities | 15,264 | 592 | |
Entergy Corp. | 7,700 | 523 | |
ONEOK Inc. | 12,284 | 520 | |
Wisconsin Energy Corp. | 12,732 | 504 | |
* | AES Corp. | 39,069 | 501 |
Duke Energy Corp. | 21,392 | 493 | |
* | Calpine Corp. | 26,810 | 443 |
American Water Works | |||
Co. Inc. | 12,228 | 419 | |
CMS Energy Corp. | 16,627 | 391 | |
* | NRG Energy Inc. | 21,724 | 377 |
OGE Energy Corp. | 7,193 | 372 | |
Exelon Corp. | 9,692 | 365 | |
NV Energy Inc. | 20,487 | 360 | |
Alliant Energy Corp. | 7,713 | 351 | |
Aqua America Inc. | 13,983 | 349 | |
MDU Resources Group Inc. | 15,804 | 341 | |
Questar Corp. | 16,333 | 341 | |
ITC Holdings Corp. | 4,870 | 336 | |
UGI Corp. | 9,552 | 281 | |
National Fuel Gas Co. | 5,501 | 258 | |
AGL Resources Inc. | 6,000 | 232 | |
American Electric Power | |||
Co. Inc. | 300 | 12 | |
16,476 | |||
Total Common Stocks | |||
(Cost $279,977) | 443,515 |
17
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Tax-Exempt Municipal Bonds (51.1%) | ||||
Alabama (0.2%) | ||||
Alabama 21st Century Authority | ||||
Tobacco Settlement Revenue | 5.000% | 6/1/20 | 500 | 593 |
Alabama Public School & College Authority | ||||
Capital Improvement Revenue | 5.000% | 12/1/21 | 500 | 585 |
Alabama Public School & College Authority | ||||
Capital Improvement Revenue | 5.000% | 12/1/22 | 500 | 582 |
1,760 | ||||
Arizona (1.5%) | ||||
Arizona Board Regents Arizona | ||||
State University System Revenue | 5.875% | 7/1/24 | 100 | 119 |
Arizona COP | 5.000% | 10/1/18 (4) | 500 | 586 |
Arizona Health Facilities Authority | ||||
Revenue (Banner Health) | 5.000% | 1/1/25 | 500 | 546 |
Arizona School Facilities Board COP | 5.500% | 9/1/23 | 500 | 571 |
Arizona School Facilities Board Revenue | ||||
(School Improvement) | 5.750% | 7/1/14 (Prere.) | 500 | 554 |
Arizona Transportation Board Excise Tax Revenue | ||||
(Maricopa County Regional Area) | 5.000% | 7/1/24 | 500 | 591 |
Arizona Transportation Board Excise Tax Revenue | ||||
(Maricopa County Regional Area) | 5.000% | 7/1/25 | 500 | 571 |
Arizona Transportation Board Highway Revenue | 5.250% | 7/1/12 (Prere.) | 2,215 | 2,216 |
Arizona Transportation Board Highway Revenue | 5.250% | 7/1/12 (Prere.) | 1,965 | 1,966 |
Arizona Water Infrastructure Finance | ||||
Authority Revenue | 4.000% | 10/1/14 | 500 | 540 |
Glendale AZ Industrial Development Authority | ||||
Revenue (Midwestern University) | 5.000% | 5/15/30 | 275 | 295 |
Mesa AZ Utility System Revenue | 5.000% | 7/1/14 (Prere.) | 500 | 547 |
Phoenix AZ Civic Improvement Corp. | ||||
Airport Revenue | 5.000% | 7/1/24 | 300 | 339 |
Phoenix AZ Civic Improvement Corp. | ||||
Airport Revenue (Light Rail Project) | 5.000% | 7/1/19 (2) | 780 | 848 |
Phoenix AZ Civic Improvement Corp. | ||||
Water System Revenue | 5.000% | 7/1/21 (14) | 500 | 560 |
Salt River Project Arizona Agricultural | ||||
Improvement & Power District Revenue | 5.000% | 1/1/28 | 750 | 854 |
Salt River Project Arizona Agricultural | ||||
Improvement & Power District Revenue | 5.000% | 12/1/28 | 500 | 590 |
Salt Verde AZ Financial Project Revenue | 5.250% | 12/1/24 | 500 | 539 |
University Medical Center Corp. | ||||
Arizona Hospital Revenue | 5.000% | 7/1/19 | 500 | 561 |
Yavapai County AZ Industrial Development | ||||
Authority Hospital Facility Revenue (Northern | ||||
Arizona Healthcare System) | 5.250% | 10/1/22 | 500 | 602 |
13,995 | ||||
California (5.5%) | ||||
Bay Area CA Infrastructure Financing | ||||
Authority Revenue | 5.000% | 8/1/17 (14) | 500 | 537 |
Bay Area Toll Authority California Toll Bridge | ||||
Revenue (San Francisco Bay Area) | 5.000% | 4/1/25 | 500 | 565 |
Bay Area Toll Authority California Toll Bridge | ||||
Revenue (San Francisco Bay Area) | 5.000% | 10/1/30 | 500 | 553 |
California Department of | ||||
Water Resources Power Supply Revenue | 5.000% | 5/1/16 | 500 | 581 |
18
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
California Department of | ||||
Water Resources Power Supply Revenue | 5.000% | 5/1/17 | 500 | 595 |
California Department of | ||||
Water Resources Power Supply Revenue | 5.000% | 5/1/18 | 500 | 604 |
California Department of | ||||
Water Resources Power Supply Revenue | 5.000% | 5/1/18 | 500 | 604 |
California Department of | ||||
Water Resources Power Supply Revenue | 5.000% | 5/1/19 | 500 | 613 |
California Department of | ||||
Water Resources Power Supply Revenue | 5.000% | 5/1/20 | 575 | 713 |
California Department of | ||||
Water Resources Water System Revenue | ||||
(Central Valley Project) | 5.000% | 12/1/28 | 500 | 579 |
California Economic Recovery Bonds GO | 5.000% | 7/1/14 (Prere.) | 205 | 224 |
California Economic Recovery Bonds GO | 5.000% | 7/1/15 | 295 | 320 |
California Economic Recovery Bonds GO | 5.000% | 7/1/18 | 500 | 603 |
California Economic Recovery Bonds GO | 5.000% | 7/1/19 | 500 | 609 |
California Economic Recovery Bonds GO | 5.000% | 7/1/20 | 500 | 599 |
California Economic Recovery Bonds GO | 5.250% | 7/1/21 | 500 | 602 |
California Economic Recovery Bonds GO | 5.000% | 7/1/22 | 500 | 571 |
California Educational Facilities Authority | ||||
Revenue (University of San Francisco) | 6.125% | 10/1/30 | 500 | 611 |
California GO | 5.250% | 10/1/13 (14) | 500 | 530 |
California GO | 5.000% | 11/1/13 | 500 | 530 |
California GO | 5.000% | 6/1/15 | 500 | 549 |
California GO | 6.000% | 2/1/16 | 500 | 588 |
California GO | 5.000% | 11/1/16 | 350 | 408 |
California GO | 5.000% | 3/1/17 | 500 | 585 |
California GO | 5.000% | 4/1/17 | 500 | 586 |
California GO | 5.500% | 4/1/18 | 500 | 605 |
California GO | 6.000% | 4/1/18 | 500 | 620 |
California GO | 5.000% | 9/1/18 | 500 | 566 |
California GO | 5.000% | 11/1/18 (3) | 500 | 583 |
California GO | 5.000% | 6/1/19 (14) | 500 | 569 |
California GO | 5.000% | 10/1/21 | 250 | 283 |
California GO | 5.000% | 6/1/25 | 495 | 531 |
California GO | 5.500% | 3/1/26 | 500 | 567 |
California GO | 5.000% | 6/1/27 (14) | 500 | 551 |
California GO | 5.000% | 9/1/27 | 500 | 544 |
California GO | 4.500% | 8/1/28 (2) | 485 | 510 |
California GO | 5.750% | 4/1/29 | 500 | 580 |
California GO | 5.000% | 9/1/29 (2) | 500 | 534 |
California GO | 5.250% | 3/1/30 | 500 | 571 |
California GO | 5.250% | 9/1/30 | 500 | 565 |
California GO | 5.000% | 2/1/32 | 500 | 547 |
California Health Facilities | ||||
Financing Authority Revenue | ||||
(Catholic Healthcare West) PUT | 5.000% | 7/1/14 | 500 | 544 |
California Health Facilities | ||||
Financing Authority Revenue | ||||
(Cedars-Sinai Medical Center) | 5.000% | 8/15/17 | 500 | 584 |
California Health Facilities | ||||
Financing Authority Revenue | ||||
(Lucile Salter Packard Children’s | ||||
Hospitalat Stanford) | 5.000% | 8/15/20 | 325 | 392 |
19
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
California Health Facilities | ||||
Financing Authority Revenue | ||||
(Rady Children’s Hospital) | 5.000% | 8/15/31 | 500 | 532 |
California Health Facilities | ||||
Financing Authority Revenue | ||||
(Sutter Health) | 5.500% | 8/15/26 | 500 | 575 |
California Infrastructure & Economic | ||||
Development Bank Revenue | ||||
(Bay Area Toll Bridges Seismic Retrofit) | 5.000% | 1/1/28 (Prere.) | 500 | 670 |
1 California Infrastructure & Economic | ||||
Development Bank Revenue | ||||
(Bay Area Toll Bridges Seismic Retrofit) | ||||
TOB VRDO | 0.180% | 7/3/12 (ETM) | 1,545 | 1,545 |
California Municipal Finance Authority | ||||
Revenue (University of La Verne) | 6.125% | 6/1/30 | 500 | 556 |
California Public Works Board Lease Revenue | ||||
(Judicial Council Projects) | 5.125% | 12/1/29 | 250 | 273 |
California Public Works Board Lease Revenue | ||||
(Various Capital Projects) | 5.000% | 4/1/32 | 350 | 375 |
California State University Revenue Systemwide | 5.750% | 11/1/27 | 500 | 583 |
California State University Revenue Systemwide | 5.250% | 11/1/29 | 300 | 338 |
California Statewide Communities | ||||
Development Authority Revenue | ||||
(Kaiser Permanente) | 5.000% | 4/1/19 | 500 | 593 |
California Statewide Communities | ||||
Development Authority Revenue | ||||
(Proposition 1A Receivables Program) | 5.000% | 6/15/13 | 500 | 522 |
Los Angeles CA Community College District GO | 5.000% | 8/1/27 | 500 | 566 |
Los Angeles CA Department of Airports | ||||
International Airport Revenue | 5.000% | 5/15/27 | 500 | 574 |
Los Angeles CA Department of Water & | ||||
Power Revenue | 5.000% | 7/1/24 | 500 | 583 |
Los Angeles CA GO | 5.000% | 9/1/14 (Prere.) | 500 | 550 |
Los Angeles CA Unified School District GO | 5.000% | 7/1/21 (4) | 1,825 | 2,118 |
Los Angeles CA Unified School District GO | 5.000% | 7/1/26 | 500 | 570 |
Los Angeles CA Unified School District GO | 5.000% | 7/1/29 | 500 | 564 |
Los Angeles CA Unified School District GO | 5.000% | 7/1/29 | 500 | 564 |
Los Angeles CA Wastewater System Revenue | 5.000% | 6/1/29 | 500 | 564 |
Los Angeles County CA Metropolitan | ||||
Transportation Authority Sales Tax Revenue | 5.000% | 7/1/19 | 560 | 685 |
Sacramento CA Municipal Utility District Revenue | 5.000% | 8/15/27 (4) | 500 | 562 |
Sacramento County CA Airport Revenue | 5.625% | 7/1/29 | 500 | 560 |
San Bernardino County CA Transportation | ||||
Authority Revenue | 5.000% | 3/1/31 | 500 | 577 |
San Diego CA Community College District GO | 5.000% | 8/1/31 | 500 | 573 |
San Diego CA Public Facilities | ||||
Financing Authority Sewer Revenue | 5.000% | 5/15/28 | 500 | 572 |
San Diego CA Public Facilities | ||||
Financing Authority Water Revenue | 5.250% | 8/1/28 | 500 | 587 |
San Diego CA Unified School District GO | 0.000% | 7/1/27 | 500 | 250 |
San Diego CA Unified School District GO | 5.500% | 7/1/27 (4) | 500 | 646 |
San Diego CA Unified School District GO | 0.000% | 7/1/28 | 500 | 233 |
San Diego CA Unified School District GO | 0.000% | 7/1/29 | 500 | 220 |
San Diego County CA Regional Airport | ||||
Authority Revenue | 5.000% | 7/1/30 (4) | 500 | 550 |
20
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
San Francisco CA City & County | ||||
Earthquake Safety GO | 5.000% | 6/15/28 | 500 | 575 |
San Francisco CA City & County | ||||
International Airport Revenue | 5.250% | 5/1/22 | 500 | 599 |
San Francisco CA City & County | ||||
International Airport Revenue | 5.000% | 5/1/27 | 225 | 260 |
San Francisco CA City & County | ||||
International Airport Revenue | 5.000% | 5/1/30 | 500 | 561 |
San Francisco CA City & County | ||||
Public Utilities Commission Water Revenue | 5.500% | 11/1/30 | 500 | 600 |
San Jose CA Redevelopment Agency | ||||
Tax Allocation Revenue | 6.500% | 8/1/28 | 700 | 742 |
University of California Revenue | 5.000% | 5/15/21 | 500 | 557 |
University of California Revenue | 5.000% | 5/15/25 | 500 | 576 |
University of California Revenue | 5.000% | 5/15/27 (14) | 500 | 564 |
University of California Revenue | 5.000% | 5/15/28 (14) | 500 | 556 |
Whittier CA Health Facility Revenue | ||||
(Presbyterian Intercommunity Hospital) VRDO | 0.170% | 7/4/12 LOC | 1,200 | 1,200 |
50,125 | ||||
Colorado (1.0%) | ||||
Colorado (UCDHSC Fitzsimons | ||||
Academic Projects) COP | 5.000% | 11/1/21 | 500 | 599 |
Colorado Department of Transportation RAN | 5.250% | 12/15/13 (Prere.) | 3,750 | 4,014 |
Colorado Department of Transportation RAN | 5.500% | 6/15/15 (14) | 500 | 572 |
Colorado Health Facilities Authority Revenue | ||||
(Catholic Health Initiatives) | 5.250% | 2/1/31 | 500 | 569 |
Denver CO City & County Airport Revenue | 5.000% | 11/15/26 | 430 | 485 |
E-470 Public Highway Authority | ||||
Colorado Revenue | 5.250% | 9/1/18 (14) | 1,500 | 1,663 |
E-470 Public Highway Authority | ||||
Colorado Revenue | 5.375% | 9/1/26 | 500 | 533 |
University of Colorado Enterprise | ||||
System Revenue | 5.000% | 6/1/29 | 500 | 589 |
9,024 | ||||
Connecticut (1.1%) | ||||
Connecticut GO | 5.500% | 12/15/13 | 3,000 | 3,227 |
Connecticut GO | 5.000% | 1/1/14 | 500 | 535 |
Connecticut GO | 5.000% | 11/1/14 | 500 | 552 |
Connecticut GO | 5.000% | 12/1/14 | 500 | 554 |
Connecticut GO | 5.000% | 11/1/16 | 410 | 483 |
Connecticut GO | 5.000% | 4/15/21 | 500 | 621 |
Connecticut GO | 5.000% | 4/15/28 | 500 | 594 |
Connecticut Health & Educational | ||||
Facilities Authority Revenue | ||||
(Hartford Healthcare) | 5.000% | 7/1/26 | 500 | 548 |
Connecticut Health & Educational | ||||
Facilities Authority Revenue | ||||
(Yale University) VRDO | 0.130% | 7/5/12 | 2,100 | 2,100 |
Connecticut Special Tax Revenue | ||||
(Transportation Infrastructure) | 6.500% | 10/1/12 | 500 | 508 |
Connecticut Special Tax Revenue | ||||
(Transportation Infrastructure) | 5.000% | 2/1/16 | 110 | 127 |
Connecticut Special Tax Revenue | ||||
(Transportation Infrastructure) | 5.000% | 11/1/25 | 500 | 580 |
10,429 |
21
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Delaware (0.1%) | ||||
Delaware GO | 5.000% | 10/1/20 | 500 | 632 |
District of Columbia (0.3%) | ||||
District of Columbia GO | 5.000% | 6/1/21 (4) | 500 | 582 |
District of Columbia Income Tax Revenue | 5.250% | 12/1/27 | 500 | 605 |
District of Columbia Income Tax Revenue | 5.000% | 12/1/30 | 500 | 573 |
Metropolitan Washington DC/VA Airports | ||||
Authority Airport System Revenue | 5.000% | 10/1/24 | 500 | 582 |
2,342 | ||||
Florida (1.7%) | ||||
Broward County FL Airport System Revenue | 5.375% | 10/1/29 | 500 | 562 |
Citizens Property Insurance Corp. | ||||
Florida Revenue (Coastal Account) | 5.000% | 6/1/15 | 1,000 | 1,096 |
Citizens Property Insurance Corp. | ||||
Florida Revenue (Coastal Account) | 5.250% | 6/1/17 | 435 | 494 |
Citizens Property Insurance Corp. | ||||
Florida Revenue (Coastal Account) | 5.500% | 6/1/17 | 1,075 | 1,234 |
Citizens Property Insurance Corp. | ||||
Florida Revenue (Personal Lines | ||||
Account/Commercial Lines Account) | 5.000% | 6/1/20 | 450 | 506 |
Florida Board of Education Capital Outlay GO | 5.000% | 1/1/14 | 500 | 535 |
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 | 601 |
Florida Board of Education Public Education | ||||
Capital Outlay GO | 4.000% | 6/1/16 | 300 | 338 |
Florida Board of Education Public Education | ||||
Capital Outlay GO | 5.000% | 6/1/22 | 500 | 598 |
Florida Board of Education Public Education | ||||
Capital Outlay GO | 5.000% | 6/1/24 | 500 | 584 |
Florida Department of Environmental Protection | ||||
& Preservation Revenue | 5.000% | 7/1/15 (14) | 625 | 701 |
Florida Turnpike Authority Revenue | 5.000% | 7/1/19 | 500 | 604 |
Jacksonville FL Electric Authority Water & | ||||
Sewer Revenue | 5.000% | 10/1/31 | 500 | 570 |
Miami-Dade County FL Aviation Revenue | ||||
(Miami International Airport) | 4.875% | 10/1/24 | 500 | 553 |
Miami-Dade County FL Aviation Revenue | ||||
(Miami International Airport) | 5.000% | 10/1/30 | 585 | 631 |
Miami-Dade County FL School Board COP | 5.000% | 11/1/22 (2) | 500 | 543 |
Miami-Dade County FL Water & Sewer Revenue | 5.000% | 10/1/26 (14) | 500 | 549 |
Orange County FL Health Facilities Authority | ||||
Revenue (Nemours Foundation Project) | 5.000% | 1/1/19 | 500 | 594 |
Orange County FL School Board COP VRDO | 0.210% | 7/5/12 LOC | 1,225 | 1,225 |
Orlando & Orange County FL Expressway | ||||
Authority Revenue | 5.000% | 7/1/30 | 500 | 552 |
Orlando FL Utility Commission Water & | ||||
Electric Revenue | 5.250% | 10/1/13 (ETM) | 500 | 531 |
Orlando FL Utility Commission Water & | ||||
Electric Revenue | 5.250% | 10/1/14 (ETM) | 500 | 555 |
Tampa FL Health System Revenue | ||||
(Baycare Health System) | 5.000% | 11/15/33 | 500 | 544 |
Tohopekaliga FL Water Authority Utility | ||||
System Revenue | 5.750% | 10/1/30 | 500 | 601 |
15,866 |
22
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Georgia (1.7%) | ||||
Atlanta GA Airport Revenue | 5.000% | 1/1/16 | 525 | 597 |
Atlanta GA Airport Revenue | 5.000% | 1/1/20 | 500 | 599 |
Atlanta GA Water & Wastewater Revenue | 5.750% | 11/1/27 (4) | 500 | 637 |
Burke County GA Development Authority | ||||
Pollution Control Revenue (Georgia Power Co. | ||||
Plant Vogtle Project) PUT | 1.750% | 6/1/17 | 500 | 503 |
DeKalb County GA Water & Sewer Revenue | 5.250% | 10/1/31 | 500 | 578 |
Georgia GO | 5.000% | 10/1/13 | 500 | 530 |
Georgia GO | 4.000% | 1/1/15 | 575 | 626 |
Georgia GO | 5.000% | 9/1/15 (Prere.) | 500 | 571 |
Georgia GO | 5.000% | 4/1/16 | 500 | 582 |
Georgia GO | 5.000% | 5/1/16 | 500 | 584 |
Georgia GO | 5.000% | 7/1/16 | 400 | 470 |
Georgia GO | 5.000% | 7/1/16 | 500 | 587 |
Georgia GO | 5.000% | 5/1/17 | 450 | 540 |
Georgia GO | 5.750% | 8/1/17 | 500 | 622 |
Georgia GO | 5.000% | 7/1/21 | 500 | 636 |
Georgia GO | 5.000% | 7/1/22 | 500 | 607 |
Georgia GO | 5.000% | 5/1/25 | 500 | 597 |
Georgia Road & Tollway Authority GAN | 5.000% | 6/1/14 | 500 | 543 |
Georgia Road & Tollway Authority Revenue | 5.000% | 6/1/17 | 500 | 595 |
Gwinnett County GA School District GO | 5.000% | 2/1/17 (ETM) | 500 | 594 |
Gwinnett County GA School District GO | 5.000% | 2/1/28 | 500 | 631 |
Main Street Natural Gas Inc. Georgia | ||||
Gas Project Revenue | 5.000% | 3/15/16 | 590 | 658 |
Main Street Natural Gas Inc. Georgia | ||||
Gas Project Revenue | 5.000% | 3/15/21 | 500 | 529 |
Milledgeville-Baldwin County GA | ||||
Development Authority Revenue | ||||
(Georgia College & State University Foundation) | 5.625% | 9/1/14 (Prere.) | 500 | 562 |
Municipal Electric Authority Georgia | ||||
Revenue (Combined Cycle Project) | 5.000% | 11/1/17 | 365 | 431 |
Municipal Electric Authority Georgia | ||||
Revenue (Project One) | 5.250% | 1/1/17 | 525 | 614 |
Private Colleges & University Authority | ||||
of Georgia Revenue (Emory University) | 5.000% | 9/1/28 | 500 | 571 |
15,594 | ||||
Hawaii (0.6%) | ||||
Hawaii GO | 5.000% | 7/1/14 (2) | 500 | 546 |
Hawaii GO | 5.750% | 2/1/15 (4) | 500 | 567 |
Hawaii GO | 5.000% | 4/1/19 (2) | 500 | 582 |
Hawaii GO | 5.000% | 6/1/29 | 500 | 592 |
Hawaii GO | 5.000% | 12/1/29 | 500 | 590 |
Hawaii Pacific Health Revenue | 5.000% | 7/1/19 | 575 | 643 |
Honolulu HI City & County GO | 5.000% | 7/1/20 (4) | 500 | 585 |
Honolulu HI City & County GO | 5.000% | 12/1/30 | 310 | 358 |
Honolulu HI City & County GO | 5.250% | 8/1/31 | 500 | 598 |
University of Hawaii Revenue | 5.000% | 10/1/27 | 500 | 570 |
5,631 | ||||
Illinois (1.9%) | ||||
Chicago IL Board of Education GO | 5.250% | 12/1/24 (4) | 500 | 569 |
Chicago IL Board of Education GO | 5.250% | 12/1/26 (12) | 500 | 560 |
Chicago IL GO | 5.000% | 12/1/16 (2) | 500 | 576 |
Chicago IL GO | 5.500% | 1/1/17 (4) | 500 | 583 |
Chicago IL GO | 5.000% | 1/1/19 (2) | 500 | 562 |
23
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Chicago IL Metropolitan Water | ||||
Reclamation District GO | 5.000% | 12/1/31 | 500 | 579 |
Chicago IL O’Hare International Airport Revenue | 5.250% | 1/1/15 (14) | 155 | 171 |
Chicago IL O’Hare International Airport Revenue | 5.250% | 1/1/17 (14) | 370 | 431 |
Chicago IL O’Hare International Airport Revenue | 5.000% | 1/1/24 (4) | 500 | 548 |
Chicago IL O’Hare International Airport Revenue | 5.250% | 1/1/24 (14) | 500 | 549 |
Cook County IL GO | 5.000% | 11/15/21 | 500 | 583 |
Cook County IL GO | 5.000% | 11/15/28 | 500 | 556 |
Cook County IL GO | 5.250% | 11/15/28 | 500 | 572 |
Illinois Finance Authority Revenue (Ascension | ||||
Health Credit Group) | 5.000% | 11/15/32 | 500 | 556 |
1 Illinois Finance Authority Revenue | ||||
(Northwestern University) TOB VRDO | 0.180% | 7/3/12 | 2,100 | 2,100 |
Illinois Finance Authority Revenue | ||||
(Trinity Health Corp.) | 5.000% | 12/1/30 | 500 | 544 |
Illinois Finance Authority Revenue | ||||
(University of Chicago) | 5.000% | 10/1/29 | 500 | 585 |
Illinois GO | 5.000% | 1/1/18 | 500 | 561 |
Illinois GO | 5.000% | 8/1/19 | 250 | 282 |
Illinois GO | 5.000% | 8/1/20 | 500 | 562 |
Illinois GO | 5.000% | 1/1/21 (4) | 710 | 792 |
Illinois GO | 5.000% | 6/1/26 | 500 | 520 |
Illinois Regional Transportation Authority Revenue | 6.250% | 7/1/23 (4) | 500 | 669 |
Illinois Sales Tax Revenue | 5.500% | 6/15/17 (3) | 500 | 603 |
Illinois Toll Highway Authority Revenue | 5.000% | 1/1/25 (4) | 500 | 557 |
Illinois Toll Highway Authority Revenue | 5.000% | 1/1/28 | 500 | 551 |
Metropolitan Pier & Exposition Authority | ||||
Illinois Dedicated Sales Tax Revenue | 0.000% | 6/15/19 (3) | 1,000 | 803 |
Metropolitan Pier & Exposition Authority | ||||
Illinois Dedicated Sales Tax Revenue | 0.000% | 6/15/26 (4) | 500 | 268 |
Metropolitan Pier & Exposition Authority | ||||
Illinois Dedicated Sales Tax Revenue | 0.000% | 6/15/27 (4) | 250 | 127 |
Railsplitter Tobacco Settlement Authority | ||||
Illinois Tobacco Settlement Revenue | 6.000% | 6/1/28 | 400 | 455 |
1 Schaumburg IL GO TOB VRDO | 0.200% | 7/5/12 (13) | 400 | 400 |
17,774 | ||||
Indiana (0.5%) | ||||
Indiana Finance Authority Revenue | ||||
(Lease Appropriation) VRDO | 0.170% | 7/3/12 | 1,100 | 1,100 |
Indiana Finance Authority Revenue | ||||
(State Revolving Fund) | 5.000% | 2/1/18 | 500 | 602 |
Indiana Health & Educational Facility | ||||
Financing Authority Hospital Revenue | ||||
(Clarian Health Obligated Group) | 5.000% | 2/15/25 | 290 | 309 |
Indiana Municipal Power Agency Revenue | 5.250% | 1/1/15 (14) | 500 | 511 |
Indiana Office Building Commission Facilities | ||||
Revenue (New Castle Correctional Facility) | 5.250% | 7/1/19 (14) | 500 | 603 |
Indiana Transportation Finance | ||||
Authority Highway Revenue | 5.000% | 12/1/12 (14) | 500 | 510 |
Indiana University Student Fee Revenue | 5.000% | 6/1/19 | 445 | 547 |
Indiana University Student Fee Revenue | 5.000% | 8/1/23 | 100 | 116 |
4,298 | ||||
Iowa (0.0%) | ||||
Iowa Special Obligation Revenue (Ijobs Program) | 5.000% | 6/1/24 | 220 | 260 |
24
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Kansas (0.5%) | ||||
Kansas Department of Transportation | ||||
Highway Revenue | 5.000% | 9/1/22 | 500 | 591 |
Leavenworth County KS Unified | ||||
School District GO | 4.500% | 9/1/19 (12) | 500 | 591 |
University of Kansas Hospital Authority | ||||
Health Facilities Improvement Revenue | 5.000% | 9/1/16 | 1,250 | 1,448 |
University of Kansas Hospital Authority | ||||
Health Facilities Improvement Revenue | 5.000% | 9/1/17 | 900 | 1,036 |
Wichita KS Hospital Facilities Revenue | ||||
(Via Christi Health System Inc.) | 5.000% | 11/15/29 | 500 | 545 |
4,211 | ||||
Kentucky (0.2%) | ||||
Kentucky Property & Building | ||||
Commission Revenue | 5.250% | 10/1/15 (4) | 150 | 171 |
Kentucky Property & Building | ||||
Commission Revenue | 5.375% | 11/1/23 | 500 | 582 |
Kentucky Property & Building | ||||
Commission Revenue | 5.000% | 11/1/26 (4) | 500 | 562 |
Kentucky Turnpike Authority | ||||
Economic Development Road Revenue | ||||
(Revitalization Project) | 4.000% | 7/1/17 | 500 | 572 |
Kentucky Turnpike Authority Economic | ||||
Development Road Revenue | ||||
(Revitalization Project) | 5.000% | 7/1/25 | 305 | 352 |
2,239 | ||||
Louisiana (0.5%) | ||||
Jefferson Parish LA Environmental | ||||
Facilities & Community Development | ||||
Authority Revenue | 5.000% | 4/1/18 | 405 | 472 |
Louisiana Citizens Property Insurance | ||||
Corp. Assessment Revenue | 5.000% | 6/1/22 (2) | 500 | 542 |
Louisiana Gasoline & Fuel Tax Revenue | 5.000% | 5/1/31 (4) | 500 | 550 |
Louisiana GO | 5.000% | 5/1/16 (Prere.) | 500 | 584 |
Louisiana GO | 5.000% | 5/1/16 (Prere.) | 500 | 584 |
Louisiana Public Facilities Authority | ||||
Revenue (Ochsner Clinic Foundation Project) | 5.000% | 5/15/16 | 1,260 | 1,377 |
4,109 | ||||
Maine (0.1%) | ||||
Portland ME Airport Revenue | 5.000% | 1/1/20 (4) | 500 | 588 |
Maryland (1.5%) | ||||
Howard County MD GO | 5.000% | 8/15/24 | 200 | 246 |
Maryland Department of Transportation Revenue | 5.000% | 2/15/18 | 500 | 606 |
Maryland GO | 5.000% | 3/1/15 | 550 | 616 |
Maryland GO | 5.250% | 3/1/15 | 500 | 564 |
Maryland GO | 5.000% | 8/1/15 (Prere.) | 500 | 570 |
Maryland GO | 5.000% | 8/1/15 | 500 | 569 |
Maryland GO | 5.000% | 8/1/16 (Prere.) | 450 | 531 |
Maryland GO | 5.000% | 11/1/16 | 105 | 125 |
Maryland GO | 5.000% | 3/15/17 | 500 | 597 |
Maryland GO | 5.000% | 7/15/17 | 610 | 736 |
Maryland GO | 5.000% | 8/1/17 | 500 | 604 |
Maryland GO | 5.250% | 8/15/17 | 500 | 610 |
Maryland GO | 5.000% | 3/15/22 | 500 | 603 |
25
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Maryland Health & Higher Educational | ||||
Facilities Authority Revenue | ||||
(Johns Hopkins Health System Obligated Group) | 5.000% | 7/1/24 | 500 | 600 |
Maryland Health & Higher Educational | ||||
Facilities Authority Revenue (Loyola University) | 5.000% | 10/1/16 | 575 | 666 |
Maryland Transportation Authority | ||||
Facilities Projects Revenue | 5.000% | 7/1/15 (4) | 750 | 817 |
Maryland Transportation Authority | ||||
Facilities Projects Revenue | 5.000% | 7/1/22 | 500 | 608 |
Maryland Transportation Authority GAN | 5.000% | 3/1/16 | 465 | 541 |
Maryland Transportation Authority GAN | 5.250% | 3/1/16 | 585 | 686 |
Maryland Transportation Authority GAN | 5.250% | 3/1/20 | 500 | 617 |
Montgomery County MD GO | 5.000% | 7/1/17 | 500 | 602 |
Montgomery County MD GO | 5.000% | 11/1/17 | 500 | 608 |
Prince Georges County MD GO | 5.000% | 9/15/23 | 500 | 624 |
Washington Suburban Sanitation | ||||
District Maryland GO | 5.000% | 6/1/17 | 500 | 601 |
13,947 | ||||
Massachusetts (2.8%) | ||||
Boston MA GO | 5.000% | 2/1/22 | 500 | 639 |
Massachusetts Bay Transportation | ||||
Authority Sales Tax Revenue | 5.000% | 7/1/18 (Prere.) | 500 | 618 |
Massachusetts Bay Transportation | ||||
Authority Sales Tax Revenue | 5.250% | 7/1/22 | 480 | 617 |
Massachusetts Bay Transportation | ||||
Authority Sales Tax Revenue | 5.500% | 7/1/26 (14) | 400 | 527 |
Massachusetts Bay Transportation | ||||
Authority Sales Tax Revenue | 5.250% | 7/1/28 | 500 | 642 |
Massachusetts College Building | ||||
Authority Revenue | 5.000% | 5/1/16 (Prere.) | 500 | 583 |
Massachusetts College Building | ||||
Authority Revenue | 5.250% | 5/1/29 | 445 | 512 |
Massachusetts Department of | ||||
Transportation Metropolitan Highway | ||||
System Revenue | 5.000% | 1/1/23 | 500 | 576 |
Massachusetts Department of | ||||
Transportation Metropolitan Highway | ||||
System Revenue VRDO | 0.150% | 7/4/12 | 190 | 190 |
Massachusetts Development Finance | ||||
Agency Revenue (Boston University) VRDO | 0.170% | 7/3/12 LOC | 100 | 100 |
Massachusetts Development Finance | ||||
Agency Revenue (Emerson College) | 5.500% | 1/1/30 | 350 | 386 |
Massachusetts Development Finance | ||||
Agency Revenue (Harvard University) | 5.000% | 1/1/20 | 355 | 444 |
Massachusetts Development Finance | ||||
Agency Revenue | ||||
(UMASS Memorial Medical Center) | 5.125% | 7/1/26 | 500 | 538 |
Massachusetts Development Finance | ||||
Agency Revenue | ||||
(Wentworth Institute of Technology) VRDO | 0.190% | 7/5/12 LOC | 500 | 500 |
Massachusetts GO | 5.500% | 11/1/13 (3) | 2,000 | 2,140 |
Massachusetts GO | 5.000% | 5/1/14 | 500 | 542 |
Massachusetts GO | 5.000% | 8/1/14 | 500 | 548 |
Massachusetts GO | 5.000% | 8/1/15 | 500 | 568 |
Massachusetts GO | 5.500% | 11/1/16 | 500 | 602 |
Massachusetts GO | 5.500% | 10/1/18 | 500 | 626 |
26
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Massachusetts GO | 5.000% | 7/1/20 | 500 | 612 |
Massachusetts GO | 5.000% | 8/1/20 | 500 | 623 |
Massachusetts GO | 5.500% | 10/1/20 | 500 | 643 |
Massachusetts GO | 5.500% | 10/1/20 (14) | 500 | 643 |
Massachusetts GO | 5.250% | 8/1/23 | 500 | 645 |
Massachusetts GO | 5.000% | 3/1/26 | 500 | 587 |
Massachusetts GO | 5.000% | 4/1/29 | 500 | 584 |
Massachusetts Health & Educational | ||||
Facilities Authority Revenue | ||||
(Caritas Christi Obligated Group) | 6.500% | 7/1/12 (ETM) | 505 | 505 |
Massachusetts Health & Educational | ||||
Facilities Authority Revenue | ||||
(Harvard University) | 5.000% | 12/15/28 | 500 | 590 |
Massachusetts Health & Educational | ||||
Facilities Authority Revenue | ||||
(Lahey Clinic Medical Center) | 5.000% | 8/15/15 (14) | 500 | 554 |
Massachusetts School Building Authority | ||||
Dedicated Sales Tax Revenue | 5.000% | 5/15/19 | 500 | 611 |
Massachusetts School Building Authority | ||||
Dedicated Sales Tax Revenue | 5.000% | 10/15/20 | 225 | 279 |
Massachusetts School Building Authority | ||||
Dedicated Sales Tax Revenue | 5.000% | 8/15/27 (14) | 500 | 549 |
Massachusetts School Building Authority | ||||
Dedicated Sales Tax Revenue | 5.000% | 8/15/30 (4) | 500 | 552 |
1 Massachusetts School Building Authority | ||||
Dedicated Sales Tax Revenue TOB VRDO | 0.180% | 7/3/12 | 2,600 | 2,600 |
Massachusetts Special Obligation | ||||
Dedicated Tax Revenue | 5.500% | 1/1/26 (3) | 500 | 613 |
Massachusetts Turnpike Authority Revenue | ||||
(Metropolitan Highway System) | 0.000% | 1/1/29 (14) | 300 | 154 |
Massachusetts Water Pollution Abatement | ||||
Trust Revenue | 5.250% | 8/1/21 | 500 | 644 |
Massachusetts Water Resources | ||||
Authority Revenue | 5.000% | 8/1/25 | 895 | 1,061 |
University of Massachusetts Building | ||||
Authority Revenue | 5.250% | 11/1/14 (Prere.) | 500 | 557 |
25,504 | ||||
Michigan (0.8%) | ||||
Detroit MI City School District GO | 5.250% | 5/1/28 (4) | 500 | 588 |
Mason MI Public School District | ||||
(School Building & Site) GO | 5.250% | 5/1/14 (Prere.) | 1,850 | 2,004 |
Michigan Building Authority Revenue | 5.000% | 10/15/20 (4) | 500 | 594 |
Michigan Finance Authority Revenue | ||||
(State Clean Water Revolving Fund) | 5.000% | 10/1/31 | 500 | 584 |
Michigan GO | 5.000% | 9/15/14 (4) | 500 | 547 |
Michigan GO | 5.000% | 5/1/18 | 500 | 593 |
Michigan GO | 5.500% | 11/1/25 | 595 | 694 |
Michigan Trunk Line Revenue | 5.000% | 11/1/21 | 500 | 598 |
University of Michigan Hospital Revenue VRDO | 0.140% | 7/3/12 | 700 | 700 |
Wayne County MI Airport Authority Revenue | ||||
(Detroit Metropolitan Wayne County Airport) | 5.000% | 12/1/16 | 500 | 557 |
7,459 | ||||
Minnesota (0.7%) | ||||
Chisago Lakes MN Independent School District GO | 5.000% | 2/1/15 (4) | 500 | 555 |
Minnesota GO | 5.000% | 6/1/13 (ETM) | 435 | 454 |
Minnesota GO | 5.000% | 6/1/13 | 65 | 68 |
27
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Minnesota GO | 5.000% | 11/1/14 | 500 | 553 |
Minnesota GO | 5.000% | 8/1/15 | 500 | 569 |
Minnesota GO | 5.000% | 10/1/17 | 500 | 605 |
Minnesota GO | 5.000% | 8/1/19 | 500 | 622 |
Minnesota GO | 5.000% | 8/1/21 | 500 | 611 |
Minnesota Public Facilities Authority | ||||
Revenue (State Revolving Fund) | 5.000% | 3/1/15 | 500 | 559 |
Southern Minnesota Municipal Power | ||||
Agency Power Supply System Revenue | 5.250% | 1/1/30 | 500 | 559 |
University of Minnesota Revenue | 5.000% | 8/1/19 | 500 | 613 |
University of Minnesota Revenue | 5.250% | 12/1/29 | 500 | 601 |
6,369 | ||||
Mississippi (0.2%) | ||||
DeSoto County MS School District GO | 5.000% | 5/1/19 | 370 | 453 |
Mississippi GO | 5.500% | 12/1/18 | 750 | 938 |
1,391 | ||||
Missouri (0.4%) | ||||
Curators of the University of Missouri | ||||
System Facilities Revenue | 5.000% | 11/1/15 (Prere.) | 130 | 149 |
Curators of the University of Missouri | ||||
System Facilities Revenue | 5.000% | 11/1/26 | 370 | 413 |
Missouri Highways & Transportation | ||||
Commission Road Revenue | 5.000% | 5/1/15 | 300 | 338 |
Missouri Highways & Transportation | ||||
Commission Road Revenue | 5.000% | 5/1/17 | 500 | 598 |
Missouri Highways & Transportation | ||||
Commission Road Revenue | 5.000% | 2/1/23 | 600 | 771 |
Missouri Highways & Transportation | ||||
Commission Road Revenue | 5.000% | 5/1/23 | 500 | 591 |
Missouri Highways & Transportation | ||||
Commission Road Revenue | 5.250% | 5/1/23 | 350 | 415 |
3,275 | ||||
Nebraska (0.0%) | ||||
Municipal Energy Agency of Nebraska | ||||
Power Supply System Revenue | 5.000% | 4/1/31 | 345 | 389 |
Nevada (0.5%) | ||||
Clark County NV GO | 5.000% | 12/1/29 | 500 | 558 |
Clark County NV Highway | ||||
Improvement Motor Vehicle Fuel Tax Revenue | 5.000% | 7/1/27 | 500 | 558 |
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 | 512 |
Clark County NV School District GO | 5.000% | 6/15/18 | 1,690 | 1,998 |
Nevada Capital Improvement | ||||
& Cultural Affairs GO | 5.000% | 12/1/26 (3) | 500 | 556 |
4,354 | ||||
New Hampshire (0.1%) | ||||
Manchester NH General Airport Revenue | 5.000% | 1/1/17 | 500 | 560 |
New Hampshire Municipal Bond Bank Revenue | 5.000% | 8/15/16 | 115 | 135 |
695 |
28
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
New Jersey (3.8%) | ||||
Garden State Preservation Trust | ||||
New Jersey Revenue | ||||
(Open Space & Farmland Preservation) | 5.250% | 11/1/13 (Prere.) | 875 | 933 |
Garden State Preservation Trust | ||||
New Jersey Revenue | ||||
(Open Space & Farmland Preservation) | 0.000% | 11/1/21 (4) | 500 | 391 |
Garden State Preservation Trust | ||||
New Jersey Revenue | ||||
(Open Space & Farmland Preservation) | 0.000% | 11/1/22 (4) | 500 | 374 |
Morris County NJ Improvement | ||||
Authority School District Revenue | ||||
(Morris Hills Regional District Project) | 5.000% | 10/1/23 | 495 | 631 |
New Jersey Economic Development | ||||
Authority Revenue | ||||
(Bayonne/IMTT Project) VRDO | 0.170% | 7/3/12 LOC | 2,300 | 2,300 |
New Jersey Economic Development | ||||
Authority Revenue | ||||
(Bayonne/IMTT Project) VRDO | 0.170% | 7/3/12 LOC | 3,200 | 3,200 |
New Jersey Economic Development | ||||
Authority Revenue (Cigarette Tax) | 5.750% | 6/15/14 (Prere.) | 500 | 552 |
New Jersey Economic Development | ||||
Authority Revenue (Motor Vehicle Surcharges) | 5.250% | 7/1/26 (14) | 500 | 594 |
New Jersey Economic Development | ||||
Authority Revenue (New Jersey Transit | ||||
Light Rail Transit System Project) | 5.000% | 5/1/17 | 500 | 582 |
New Jersey Economic Development | ||||
Authority Revenue | ||||
(School Facilities Construction) | 5.000% | 9/1/13 (Prere.) | 500 | 528 |
New Jersey Economic Development | ||||
Authority Revenue | ||||
(School Facilities Construction) | 5.000% | 9/1/13 (Prere.) | 500 | 528 |
New Jersey Economic Development | ||||
Authority Revenue | ||||
(School Facilities Construction) | 5.000% | 9/1/14 | 500 | 545 |
New Jersey Economic Development | ||||
Authority Revenue | ||||
(School Facilities Construction) | 5.250% | 12/15/15 (14) | 400 | 459 |
New Jersey Economic Development | ||||
Authority Revenue | ||||
(School Facilities Construction) | 5.250% | 9/1/24 | 300 | 353 |
New Jersey Economic Development | ||||
Authority Revenue | ||||
(School Facilities Construction) | 5.250% | 3/1/26 | 500 | 543 |
New Jersey Economic Development | ||||
Authority Revenue | ||||
(School Facilities Construction) PUT | 5.000% | 9/1/14 (4) | 500 | 543 |
New Jersey Economic Development | ||||
Authority Transportation Project | ||||
Sublease Revenue (New Jersey Transit | ||||
Corp. Light Rail Transit System Project) | 5.000% | 5/1/18 | 500 | 590 |
New Jersey Economic Development | ||||
Authority Transportation Project Sublease | ||||
Revenue (New Jersey Transit Corp. Light | ||||
Rail Transit System Project) | 5.000% | 5/1/19 | 500 | 593 |
New Jersey Equipment Lease Purchase COP | 5.000% | 6/15/16 | 425 | 485 |
29
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
New Jersey Equipment Lease Purchase COP | 5.000% | 6/15/17 | 295 | 341 |
New Jersey Equipment Lease Purchase COP | 5.000% | 6/15/18 | 530 | 618 |
New Jersey Equipment Lease Purchase COP | 5.000% | 6/15/19 | 500 | 578 |
New Jersey GO | 5.250% | 7/15/15 (2) | 500 | 570 |
New Jersey GO | 5.000% | 8/15/15 | 790 | 897 |
New Jersey GO | 5.250% | 7/1/16 (14) | 500 | 588 |
New Jersey GO | 5.250% | 7/15/18 (2) | 500 | 611 |
New Jersey Health Care Facilities | ||||
Financing Authority Revenue | ||||
(Hackensack University Medical Center) | 5.000% | 1/1/19 | 500 | 566 |
New Jersey Higher Education Assistance | ||||
Authority Student Loan Revenue | 5.000% | 12/1/16 | 245 | 280 |
New Jersey Higher Education Assistance | ||||
Authority Student Loan Revenue | 5.250% | 12/1/28 | 400 | 436 |
New Jersey Sports & Exposition | ||||
Authority Revenue | 5.000% | 9/1/16 | 200 | 227 |
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 | 535 |
New Jersey Transportation Trust Fund | ||||
Authority Transportation System Revenue | 5.250% | 6/15/14 (Prere.) | 500 | 547 |
New Jersey Transportation Trust Fund | ||||
Authority Transportation System Revenue | 5.250% | 12/15/14 (14) | 500 | 554 |
New Jersey Transportation Trust Fund | ||||
Authority Transportation System Revenue | 5.250% | 12/15/15 (2) | 170 | 194 |
New Jersey Transportation Trust Fund | ||||
Authority Transportation System Revenue | 5.500% | 12/15/15 (14) | 200 | 230 |
New Jersey Transportation Trust Fund | ||||
Authority Transportation System Revenue | 5.500% | 12/15/15 (2) | 230 | 264 |
New Jersey Transportation Trust Fund | ||||
Authority Transportation System Revenue | 5.000% | 12/15/16 | 275 | 319 |
New Jersey Transportation Trust Fund | ||||
Authority Transportation System Revenue | 5.500% | 12/15/16 (14) | 100 | 118 |
New Jersey Transportation Trust Fund | ||||
Authority Transportation System Revenue | 5.500% | 12/15/17 (4) | 150 | 182 |
New Jersey Transportation Trust Fund | ||||
Authority Transportation System Revenue | 5.500% | 12/15/20 (3) | 2,500 | 3,098 |
New Jersey Transportation Trust Fund | ||||
Authority Transportation System Revenue | 0.000% | 12/15/26 (2) | 2,000 | 1,064 |
New Jersey Transportation Trust Fund | ||||
Authority Transportation System Revenue | 5.500% | 6/15/31 | 500 | 580 |
New Jersey Turnpike Authority Revenue | 5.000% | 1/1/20 | 100 | 118 |
New Jersey Turnpike Authority Revenue | 5.000% | 1/1/22 | 500 | 580 |
New Jersey Turnpike Authority Revenue | 5.500% | 1/1/25 (2) | 500 | 622 |
Newark NJ GO | 5.000% | 10/1/19 | 500 | 590 |
Rutgers State University New Jersey | ||||
Revenue VRDO | 0.160% | 7/3/12 | 3,600 | 3,600 |
Tobacco Settlement Financing Corp. | ||||
New Jersey Revenue | 5.000% | 6/1/18 | 500 | 533 |
34,389 | ||||
New Mexico (0.2%) | ||||
New Mexico Educational Assistance | ||||
Foundation Revenue | 5.000% | 12/1/19 | 500 | 594 |
New Mexico Finance Authority | ||||
Transportation Revenue | 5.000% | 6/15/13 (2) | 500 | 523 |
30
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
New Mexico Finance Authority | ||||
Transportation Revenue | 5.000% | 6/15/23 | 500 | 599 |
1,716 | ||||
New York (8.4%) | ||||
Erie County NY Industrial Development | ||||
Agency School Facility Revenue | ||||
(Buffalo City School District Project) | 5.000% | 5/1/15 | 500 | 558 |
Erie County NY Industrial Development | ||||
Agency School Facility Revenue | ||||
(Buffalo City School District Project) | 5.000% | 5/1/18 | 500 | 595 |
Erie County NY Industrial Development | ||||
Agency School Facility Revenue | ||||
(Buffalo City School District Project) | 5.000% | 5/1/19 | 500 | 602 |
Erie County NY Industrial Development | ||||
Agency School Facility Revenue | ||||
(Buffalo City School District Project) | 5.250% | 5/1/31 | 500 | 570 |
Long Island NY Power Authority | ||||
Electric System Revenue | 5.500% | 12/1/12 (ETM) | 2,000 | 2,045 |
Long Island NY Power Authority | ||||
Electric System Revenue | 5.000% | 5/1/14 | 410 | 442 |
Long Island NY Power Authority | ||||
Electric System Revenue | 5.000% | 12/1/17 | 630 | 737 |
Long Island NY Power Authority | ||||
Electric System Revenue | 5.000% | 5/1/19 (14) | 500 | 571 |
Long Island NY Power Authority | ||||
Electric System Revenue | 5.000% | 12/1/21 (14) | 500 | 569 |
Long Island NY Power Authority | ||||
Electric System Revenue | 5.000% | 4/1/23 | 500 | 581 |
New York City NY GO | 5.750% | 8/1/12 (Prere.) | 20 | 20 |
New York City NY GO | 5.500% | 6/1/13 (Prere.) | 500 | 524 |
New York City NY GO | 5.250% | 8/1/13 | 500 | 527 |
New York City NY GO | 5.750% | 8/1/13 | 480 | 482 |
New York City NY GO | 5.750% | 8/1/13 | 500 | 502 |
New York City NY GO | 5.000% | 1/1/14 | 500 | 535 |
New York City NY GO | 5.250% | 9/1/14 | 500 | 551 |
New York City NY GO | 5.000% | 2/1/16 | 105 | 120 |
New York City NY GO | 5.000% | 8/1/16 | 500 | 581 |
New York City NY GO | 5.000% | 2/1/17 | 500 | 586 |
New York City NY GO | 5.000% | 9/1/17 | 500 | 564 |
New York City NY GO | 5.000% | 2/1/18 | 500 | 583 |
New York City NY GO | 5.000% | 8/1/19 | 500 | 583 |
New York City NY GO | 5.000% | 8/1/23 (14) | 500 | 560 |
New York City NY GO | 5.000% | 11/1/23 | 305 | 334 |
New York City NY GO | 5.250% | 8/15/24 | 500 | 590 |
New York City NY GO | 5.000% | 8/1/25 | 905 | 1,001 |
New York City NY GO | 5.000% | 8/15/26 | 475 | 541 |
New York City NY GO | 5.000% | 5/15/28 | 480 | 540 |
New York City NY GO | 5.000% | 8/1/28 | 400 | 457 |
New York City NY GO | 5.000% | 8/1/28 | 500 | 561 |
New York City NY GO | 5.500% | 11/15/28 | 300 | 352 |
New York City NY GO | 5.625% | 4/1/29 | 840 | 985 |
New York City NY GO | 5.000% | 5/15/29 | 500 | 563 |
New York City NY GO | 5.000% | 8/1/31 | 365 | 417 |
New York City NY GO VRDO | 0.150% | 7/4/12 LOC | 1,300 | 1,300 |
New York City NY Health & Hospital Corp. | ||||
Revenue (Health System) | 5.000% | 2/15/30 | 500 | 555 |
31
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% | 6/15/15 | 250 | 282 |
New York City NY Municipal Water Finance | ||||
Authority Water & Sewer System Revenue | 0.000% | 6/15/18 | 750 | 696 |
New York City NY Municipal Water Finance | ||||
Authority Water & Sewer System Revenue | 5.000% | 6/15/27 | 500 | 575 |
New York City NY Municipal Water Finance | ||||
Authority Water & Sewer System Revenue | 5.000% | 6/15/29 | 500 | 559 |
New York City NY Municipal Water Finance | ||||
Authority Water & Sewer System Revenue | 4.750% | 6/15/30 | 255 | 282 |
New York City NY Municipal Water Finance | ||||
Authority Water & Sewer System Revenue | 5.000% | 6/15/30 | 500 | 571 |
New York City NY Municipal Water Finance | ||||
Authority Water & Sewer System Revenue | 5.000% | 6/15/31 | 500 | 572 |
New York City NY Sales Tax Asset | ||||
Receivable Corp. Revenue | 5.000% | 10/15/24 (14) | 500 | 549 |
New York City NY Sales Tax Asset | ||||
Receivable Corp. Revenue | 5.000% | 10/15/26 (14) | 500 | 542 |
New York City NY Transitional Finance | ||||
Authority Building Aid Revenue | 5.250% | 1/15/25 | 500 | 581 |
New York City NY Transitional Finance | ||||
Authority Building Aid Revenue | 5.250% | 1/15/26 | 500 | 578 |
New York City NY Transitional Finance | ||||
Authority Building Aid Revenue | 5.125% | 1/15/29 | 1,070 | 1,212 |
New York City NY Transitional Finance | ||||
Authority Future Tax Revenue | 5.250% | 8/1/12 (Prere.) | 500 | 502 |
New York City NY Transitional Finance | ||||
Authority Future Tax Revenue | 5.250% | 2/1/13 (Prere.) | 500 | 515 |
New York City NY Transitional Finance | ||||
Authority Future Tax Revenue | 5.375% | 2/1/13 | 2,000 | 2,009 |
New York City NY Transitional Finance | ||||
Authority Future Tax Revenue | 5.000% | 11/1/18 | 500 | 591 |
New York City NY Transitional Finance | ||||
Authority Future Tax Revenue | 5.000% | 8/1/22 | 280 | 324 |
New York City NY Transitional Finance | ||||
Authority Future Tax Revenue | 5.000% | 11/1/23 | 500 | 586 |
New York City NY Transitional Finance | ||||
Authority Future Tax Revenue | 5.000% | 11/1/24 | 500 | 581 |
New York City NY Transitional Finance | ||||
Authority Future Tax Revenue | 5.000% | 11/1/25 | 500 | 572 |
New York City NY Transitional Finance | ||||
Authority Future Tax Revenue | 5.250% | 2/1/30 | 500 | 584 |
New York City NY Transitional Finance | ||||
Authority Future Tax Revenue | 5.000% | 2/1/31 | 500 | 569 |
New York City NY Transitional Finance | ||||
Authority Future Tax Revenue VRDO | 0.160% | 7/4/12 | 2,300 | 2,300 |
New York GO | 4.500% | 2/1/17 | 500 | 579 |
New York GO | 4.500% | 2/1/18 | 500 | 586 |
New York GO | 4.500% | 2/1/19 | 500 | 592 |
New York GO | 5.000% | 2/15/30 | 315 | 363 |
New York Metropolitan Transportation | ||||
Authority Revenue | 5.250% | 11/15/21 (3) | 300 | 362 |
New York Metropolitan Transportation | ||||
Authority Revenue | 5.000% | 11/15/23 | 500 | 576 |
New York Metropolitan Transportation | ||||
Authority Revenue | 5.000% | 11/15/30 | 500 | 559 |
32
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
New York Metropolitan Transportation | ||||
Authority Revenue | 5.250% | 11/15/30 | 500 | 565 |
New York Metropolitan Transportation | ||||
Authority Revenue (Dedicated Petroleum Tax) | 5.250% | 11/15/24 | 600 | 707 |
New York Metropolitan Transportation | ||||
Authority Revenue (Service Contract) | 5.500% | 7/1/15 | 500 | 570 |
New York Metropolitan Transportation | ||||
Authority Revenue (Service Contract) | 5.750% | 1/1/17 (14) | 560 | 668 |
New York Metropolitan Transportation | ||||
Authority Revenue (Service Contract) | 5.750% | 1/1/17 | 210 | 251 |
New York Metropolitan Transportation | ||||
Authority Revenue (Transit Revenue) | 5.500% | 11/15/14 (14) | 500 | 555 |
New York Metropolitan Transportation | ||||
Authority Revenue (Transit Revenue) | 5.500% | 11/15/18 | 600 | 683 |
New York Metropolitan Transportation | ||||
Authority Revenue (Transit Revenue) | 5.500% | 11/15/19 (14) | 500 | 509 |
New York State Dormitory Authority | ||||
Lease Revenue | ||||
(City of New York Court Facilities) | 5.500% | 5/15/24 (2) | 500 | 624 |
New York State Dormitory Authority | ||||
Lease Revenue | ||||
(City of New York Court Facilities) | 5.500% | 5/15/27 (2) | 500 | 624 |
New York State Dormitory Authority | ||||
Lease Revenue | ||||
(Mental Health Services Facilities) | 5.000% | 8/15/21 | 500 | 600 |
New York State Dormitory Authority | ||||
Revenue (City University System) | 5.000% | 7/1/24 | 400 | 468 |
New York State Dormitory Authority | ||||
Revenue (Fordham University) | 5.000% | 7/1/25 (4) | 250 | 279 |
New York State Dormitory Authority | ||||
Revenue (Memorial Sloan-Kettering | ||||
Cancer Center) | 5.000% | 7/1/30 | 500 | 544 |
New York State Dormitory Authority | ||||
Revenue (Mental Health Services | ||||
Facilities Improvement) | 5.000% | 8/15/15 | 100 | 113 |
New York State Dormitory Authority | ||||
Revenue (Mount Sinai Hospital Obligated Group) | 5.000% | 7/1/22 | 595 | 678 |
New York State Dormitory Authority | ||||
Revenue (Mount Sinai Hospital Obligated Group) | 5.000% | 7/1/23 | 500 | 567 |
New York State Dormitory Authority | ||||
Revenue (Mount Sinai School of Medicine of | ||||
New York University) | 5.000% | 7/1/18 | 325 | 377 |
New York State Dormitory Authority Revenue | ||||
(Mount Sinai School of Medicine of | ||||
New York University) | 5.000% | 7/1/24 (14) | 500 | 537 |
New York State Dormitory Authority Revenue | ||||
(New York University) | 6.000% | 7/1/19 (14) | 500 | 638 |
New York State Dormitory Authority Revenue | ||||
(North Shore - Long Island Jewish | ||||
Obligated Group) | 5.000% | 5/1/26 | 500 | 557 |
New York State Dormitory Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 2/15/15 | 165 | 184 |
New York State Dormitory Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 2/15/17 | 500 | 589 |
New York State Dormitory Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 3/15/28 | 500 | 576 |
33
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
New York State Dormitory Authority Revenue | ||||
(School Districts Financing Program) | 5.000% | 10/1/20 | 500 | 597 |
New York State Dormitory Authority Revenue | ||||
(School Districts Financing Program) | 5.000% | 10/1/21 (4) | 390 | 464 |
New York State Dormitory Authority Revenue | ||||
(Service Contract) | 5.000% | 7/1/16 | 275 | 318 |
New York State Dormitory Authority Revenue | ||||
(Service Contract) | 5.000% | 7/1/22 | 500 | 588 |
New York State Dormitory Authority Revenue | ||||
(State University Educational Facilities) | 5.000% | 5/15/20 | 500 | 611 |
New York State Dormitory Authority Revenue | ||||
(The New School) | 5.250% | 7/1/30 | 500 | 553 |
New York State Environmental Facilities Corp. | ||||
Revenue (State Clean Water & Drinking Water | ||||
RevolvingFunds) | 5.000% | 6/15/22 | 500 | 588 |
New York State Environmental Facilities Corp. | ||||
Revenue (State Clean Water & Drinking Water | ||||
RevolvingFunds) | 5.000% | 6/15/24 | 365 | 436 |
New York State Local Government | ||||
Assistance Corp. Revenue | 5.000% | 4/1/21 | 500 | 613 |
New York State Thruway Authority Revenue | 5.000% | 1/1/15 (14) | 550 | 607 |
New York State Thruway Authority Revenue | 5.000% | 1/1/20 (14) | 500 | 588 |
New York State Thruway Authority Revenue | 5.000% | 1/1/21 (14) | 490 | 571 |
2 New York State Thruway Authority Revenue | 5.000% | 1/1/30 | 500 | 560 |
New York State Thruway Authority Revenue | ||||
(Highway & Bridge Trust Fund) | 5.000% | 4/1/13 | 500 | 518 |
New York State Thruway Authority Revenue | ||||
(Highway & Bridge Trust Fund) | 5.250% | 4/1/13 (2) | 500 | 519 |
New York State Thruway Authority Revenue | ||||
(Highway & Bridge Trust Fund) | 5.000% | 4/1/18 (2) | 500 | 567 |
New York State Thruway Authority Revenue | ||||
(Highway & Bridge Trust Fund) | 5.000% | 4/1/24 | 500 | 576 |
New York State Thruway Authority Revenue | ||||
(Highway & Bridge Trust Fund) | 5.000% | 4/1/25 (2) | 500 | 557 |
New York State Thruway Authority Revenue | ||||
(Highway & Bridge Trust Fund) | 5.000% | 4/1/26 (2) | 500 | 554 |
New York State Thruway Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 3/15/16 | 225 | 259 |
New York State Thruway Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 3/15/19 | 500 | 605 |
New York State Thruway Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 3/15/20 | 500 | 608 |
New York State Thruway Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 3/15/22 (4) | 385 | 425 |
New York State Urban Development | ||||
Corp. Revenue | 5.000% | 12/15/14 | 100 | 111 |
New York State Urban Development | ||||
Corp. Revenue | 5.000% | 1/1/15 | 500 | 553 |
New York State Urban Development | ||||
Corp. Revenue | 5.000% | 12/15/15 | 400 | 459 |
New York State Urban Development | ||||
Corp. Revenue | 5.000% | 12/15/18 | 500 | 606 |
New York State Urban Development Corp. | ||||
Revenue (Personal Income Tax) | 5.000% | 12/15/15 | 275 | 316 |
New York State Urban Development Corp. | ||||
Revenue (Personal Income Tax) | 5.000% | 12/15/18 | 600 | 727 |
34
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
New York State Urban Development Corp. | ||||
Revenue (Personal Income Tax) | 5.500% | 3/15/22 (14) | 530 | 685 |
New York State Urban Development Corp. | ||||
Revenue (Personal Income Tax) | 5.000% | 12/15/25 | 1,500 | 1,771 |
New York State Urban Development Corp. | ||||
Revenue (Service Contract) | 5.000% | 1/1/18 | 540 | 640 |
Port Authority of New York & | ||||
New Jersey Revenue | 5.000% | 7/15/26 | 500 | 562 |
Triborough Bridge & Tunnel Authority | ||||
New York Revenue | 5.250% | 11/15/15 | 500 | 577 |
Triborough Bridge & Tunnel Authority | ||||
New York Revenue | 5.500% | 11/15/19 (14) | 500 | 624 |
Triborough Bridge & Tunnel Authority | ||||
New York Revenue | 5.500% | 11/15/21 (14) | 500 | 633 |
Triborough Bridge & Tunnel Authority | ||||
New York Revenue | 5.000% | 11/15/25 | 500 | 565 |
Westchester County NY GO | 5.000% | 7/1/20 | 500 | 631 |
Westchester County NY Health | ||||
Care Corp. Revenue | 5.000% | 11/1/30 | 500 | 535 |
76,673 | ||||
North Carolina (1.4%) | ||||
Guilford County NC GO | 5.000% | 3/1/18 | 500 | 609 |
Mecklenburg County NC GO | 5.000% | 3/1/17 | 500 | 597 |
Mecklenburg County NC Public Facilities | ||||
Corp. Revenue (Annual Appropriation) | 5.000% | 3/1/26 | 500 | 573 |
1 North Carolina Capital Facilities Finance | ||||
Agency Revenue (Duke University Project) | ||||
TOB VRDO | 0.180% | 7/3/12 | 1,000 | 1,000 |
North Carolina Capital Improvement Revenue | 5.000% | 5/1/19 | 555 | 676 |
North Carolina Capital Improvement Revenue | 5.000% | 5/1/29 | 500 | 573 |
North Carolina Eastern Municipal Power | ||||
Agency Power Systems Revenue | 5.125% | 1/1/14 | 2,400 | 2,453 |
North Carolina Eastern Municipal Power | ||||
Agency Power Systems Revenue | 5.000% | 1/1/26 | 500 | 556 |
North Carolina GO | 5.000% | 3/1/16 | 500 | 580 |
North Carolina GO | 5.000% | 3/1/18 | 500 | 601 |
North Carolina GO | 5.000% | 5/1/22 | 250 | 321 |
North Carolina Infrastructure Financial | ||||
Corp. Capital Improvements COP | 5.000% | 2/1/21 (4) | 2,000 | 2,270 |
North Carolina Municipal Power Agency Revenue | 5.000% | 1/1/30 | 500 | 548 |
Orange County NC Public Facilities Co. Revenue | 5.000% | 10/1/24 | 500 | 599 |
Wake County NC GO | 5.000% | 2/1/18 | 350 | 425 |
Wake County NC GO | 5.000% | 3/1/22 | 400 | 513 |
Wake County NC Public Improvement GO | 5.000% | 3/1/16 | 100 | 116 |
13,010 | ||||
Ohio (1.6%) | ||||
Allen County OH Hospital Facilities Revenue | ||||
(Catholic Healthcare Partners) VRDO | 0.170% | 7/3/12 LOC | 100 | 100 |
American Municipal Power Ohio Inc. Revenue | ||||
(Hydroelectric Projects) | 5.250% | 2/15/18 | 500 | 583 |
Butler County OH Hospital Facilities Revenue | ||||
(Kettering Health Network) | 5.250% | 4/1/31 | 500 | 543 |
Cincinnati OH City School District GO | 5.250% | 12/1/26 (14) | 500 | 636 |
Cleveland OH Public Power System Revenue | 5.000% | 11/15/20 (3) | 500 | 556 |
Columbus OH GO | 5.000% | 7/1/25 | 535 | 659 |
Columbus OH Sewer Revenue VRDO | 0.160% | 7/5/12 | 500 | 500 |
35
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Hamilton County OH Sales Tax Revenue | 4.500% | 12/1/15 (2) | 350 | 389 |
Kent State University OH Revenue | 5.000% | 5/1/23 (12) | 500 | 572 |
Lucas County OH Hospital Revenue | ||||
(ProMedica Healthcare Obligated Group) | 5.000% | 11/15/26 | 500 | 567 |
Ohio Conservation Projects GO | 5.000% | 3/1/14 (Prere.) | 1,885 | 2,031 |
Ohio GO | 5.000% | 9/15/19 | 260 | 298 |
Ohio GO | 5.000% | 8/1/23 | 500 | 616 |
Ohio Major New State Infrastructure | ||||
Project Revenue | 5.000% | 12/15/14 | 500 | 553 |
Ohio Major New State Infrastructure | ||||
Project Revenue | 5.000% | 12/15/15 | 550 | 628 |
Ohio State University General Receipts Revenue | 5.000% | 12/1/16 | 500 | 590 |
Ohio Turnpike Commission Turnpike Revenue | 5.500% | 2/15/15 (3) | 500 | 562 |
Ohio Turnpike Commission Turnpike Revenue | 5.000% | 2/15/31 | 500 | 557 |
Ohio Water Development Authority | ||||
Water Pollution Control Loan Fund Revenue | 5.000% | 6/1/14 (Prere.) | 2,365 | 2,575 |
Ohio Water Development Authority | ||||
Water Pollution Control Loan Fund Revenue | 5.000% | 6/1/14 (Prere.) | 635 | 691 |
University of Cincinnati Ohio General | ||||
Receipts Revenue | 5.000% | 6/1/20 | 500 | 607 |
14,813 | ||||
Oklahoma (0.2%) | ||||
Oklahoma City OK GO | 5.000% | 3/1/24 | 525 | 640 |
Oklahoma Turnpike Authority Revenue | 5.000% | 1/1/31 | 300 | 343 |
University of Oklahoma Revenue | 5.000% | 7/1/31 | 475 | 548 |
1,531 | ||||
Oregon (0.1%) | ||||
Oregon Department of Administrative | ||||
Services Lottery Revenue | 5.250% | 4/1/31 | 500 | 594 |
Portland OR Sewer System Revenue | 5.000% | 6/15/22 (4) | 500 | 584 |
1,178 | ||||
Pennsylvania (1.7%) | ||||
Allegheny County PA Higher Education | ||||
Building Authority University Revenue | ||||
(Duquesne University) | 5.500% | 3/1/29 | 325 | 369 |
Allegheny County PA Hospital Development | ||||
Authority Revenue (University of Pittsburgh | ||||
Medical Center) | 5.000% | 5/15/18 | 500 | 589 |
Allegheny County PA Port Authority Revenue | 5.750% | 3/1/29 | 500 | 581 |
Central Bradford PA Progress Authority | ||||
Revenue (Guthrie Healthcare System) | 5.500% | 12/1/31 | 500 | 580 |
Commonwealth Financing Authority | ||||
Pennsylvania Revenue | 5.000% | 6/1/25 (14) | 500 | 542 |
Geisinger Health System Authority | ||||
of Pennsylvania Revenue | ||||
(Penn State Geisinger Health System) VRDO | 0.130% | 7/3/12 | 170 | 170 |
Pennsylvania Economic Development | ||||
Financing Authority Solid Waste Disposal | ||||
Revenue (Waste Management Inc. Project) PUT | 3.700% | 5/1/15 | 750 | 789 |
Pennsylvania GO | 5.000% | 9/1/14 (4) | 500 | 550 |
Pennsylvania GO | 5.000% | 5/1/15 | 405 | 457 |
Pennsylvania GO | 5.250% | 7/1/15 | 500 | 571 |
Pennsylvania GO | 5.000% | 3/1/16 | 100 | 116 |
Pennsylvania GO | 5.000% | 7/1/16 | 120 | 141 |
Pennsylvania GO | 5.000% | 7/1/16 | 400 | 469 |
36
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Pennsylvania GO | 5.000% | 11/15/17 | 500 | 606 |
Pennsylvania GO | 5.375% | 7/1/21 | 500 | 639 |
Pennsylvania GO | 5.000% | 8/1/22 | 500 | 586 |
Pennsylvania GO | 5.000% | 1/1/26 | 100 | 112 |
Pennsylvania GO | 5.000% | 4/15/28 | 500 | 586 |
Pennsylvania Higher Educational Facilities | ||||
Authority Revenue (Drexel University) VRDO | 0.140% | 7/5/12 LOC | 200 | 200 |
Pennsylvania Higher Educational Facilities | ||||
Authority Revenue (Higher Education System) | 5.000% | 6/15/13 (14) | 110 | 115 |
Pennsylvania Higher Educational Facilities | ||||
Authority Revenue (St. Joseph’s University) | 5.000% | 11/1/24 | 200 | 227 |
Pennsylvania Higher Educational Facilities | ||||
Authority Revenue (Trustees of the | ||||
University of Pennsylvania) | 5.000% | 9/1/28 | 500 | 575 |
Pennsylvania State University Revenue | 5.000% | 3/1/25 | 500 | 586 |
Pennsylvania Turnpike Commission Revenue | 5.000% | 12/1/21 | 345 | 398 |
Pennsylvania Turnpike Commission Revenue | 5.000% | 6/1/29 | 1,050 | 1,145 |
Pennsylvania Turnpike Commission Revenue | 5.000% | 12/1/31 | 500 | 563 |
Philadelphia PA Airport Revenue | 5.000% | 6/15/15 | 505 | 560 |
Philadelphia PA Municipal Authority Revenue | 6.375% | 4/1/29 | 500 | 565 |
Philadelphia PA School District GO | 5.000% | 8/1/20 (2) | 500 | 536 |
Philadelphia PA School District GO | 5.250% | 9/1/22 | 500 | 577 |
Philadelphia PA Water & Waste Water Revenue | 5.000% | 8/1/22 (4) | 560 | 656 |
University of Pittsburgh of the Commonwealth | ||||
System of Higher Education Pennsylvania | ||||
Revenue (University Capital Project) | 5.250% | 9/15/24 | 500 | 593 |
15,749 | ||||
Puerto Rico (1.3%) | ||||
Puerto Rico Electric Power Authority Revenue | 5.250% | 7/1/20 | 500 | 568 |
Puerto Rico Electric Power Authority Revenue | 5.000% | 7/1/21 (14) | 500 | 534 |
Puerto Rico Electric Power Authority Revenue | 5.500% | 7/1/21 | 500 | 554 |
Puerto Rico Electric Power Authority Revenue | 5.250% | 7/1/22 (14) | 500 | 567 |
Puerto Rico Electric Power Authority Revenue | 5.000% | 7/1/23 | 500 | 535 |
Puerto Rico Electric Power Authority Revenue | 5.250% | 7/1/26 | 500 | 538 |
Puerto Rico GO | 6.000% | 7/1/27 (14) | 500 | 557 |
Puerto Rico Highway & Transportation | ||||
Authority Revenue | 5.250% | 7/1/22 (3) | 500 | 547 |
Puerto Rico Highway & Transportation | ||||
Authority Revenue | 5.500% | 7/1/25 | 500 | 548 |
Puerto Rico Infrastructure Financing Authority | ||||
Special Tax Revenue | 5.500% | 7/1/24 (2) | 500 | 558 |
Puerto Rico Municipal Finance Agency GO | 5.250% | 8/1/22 (11) | 500 | 547 |
Puerto Rico Public Buildings Authority | ||||
Government Facilities Revenue | 5.250% | 7/1/14 (3) | 2,425 | 2,584 |
Puerto Rico Public Buildings Authority | ||||
Government Facilities Revenue | 5.500% | 7/1/18 (2) | 500 | 558 |
Puerto Rico Public Buildings Authority | ||||
Government Facilities Revenue | 5.250% | 7/1/29 | 500 | 505 |
Puerto Rico Public Finance | ||||
Corp. Revenue | 6.000% | 8/1/26 (ETM) | 1,000 | 1,412 |
Puerto Rico Sales Tax Financing Corp. Revenue | 5.250% | 8/1/27 | 500 | 557 |
Puerto Rico Sales Tax Financing Corp. Revenue | 5.250% | 8/1/30 | 500 | 540 |
12,209 |
37
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
South Carolina (0.6%) | ||||
Charleston SC Educational Excellence | ||||
Financing Corp. Revenue (Charleston County | ||||
School District, South Carolina Project) | 5.000% | 12/1/19 | 500 | 567 |
Columbia SC Waterworks & Sewer | ||||
System Revenue | 5.000% | 2/1/27 | 250 | 300 |
Greenville County SC School District GO | 5.000% | 12/1/27 | 500 | 560 |
Piedmont SC Municipal Power Agency Revenue | 0.000% | 1/1/24 (3) | 1,600 | 1,020 |
South Carolina GO | 5.000% | 4/1/20 | 450 | 565 |
South Carolina Jobs Economic Development | ||||
Authority Hospital Revenue (Palmetto Health) | 5.250% | 8/1/24 (4) | 500 | 542 |
South Carolina Public Service Authority Revenue | 5.000% | 1/1/14 (Prere.) | 400 | 428 |
South Carolina Public Service Authority Revenue | 5.000% | 1/1/16 | 130 | 149 |
South Carolina Public Service Authority Revenue | 5.000% | 1/1/29 | 500 | 566 |
South Carolina Transportation | ||||
Infrastructure Revenue | 5.250% | 10/1/13 (2) | 500 | 529 |
5,226 | ||||
Tennessee (0.8%) | ||||
Memphis TN Electric System Revenue | 5.000% | 12/1/17 | 500 | 601 |
Memphis TN GO | 5.000% | 7/1/21 | 500 | 611 |
Memphis TN GO | 5.000% | 5/1/30 | 500 | 578 |
Metropolitan Government of Nashville | ||||
& Davidson County TN GO | 5.000% | 7/1/21 | 500 | 615 |
Metropolitan Government of Nashville | ||||
& Davidson County TN Health & Educational | ||||
Facilities Board Revenue (Vanderbilt University) | 5.000% | 10/1/15 | 350 | 398 |
Metropolitan Government of Nashville | ||||
& Davidson County TN Water & Sewer Revenue | 5.000% | 7/1/20 | 500 | 607 |
Shelby County TN GO | 5.000% | 3/1/19 | 500 | 612 |
Shelby County TN GO | 5.000% | 4/1/19 (ETM) | 100 | 124 |
Shelby County TN GO | 5.000% | 4/1/19 | 400 | 488 |
Tennessee Energy Acquisition Corp. | ||||
Gas Revenue | 5.000% | 9/1/16 | 500 | 548 |
Tennessee Energy Acquisition Corp. | ||||
Gas Revenue | 5.250% | 9/1/17 | 500 | 556 |
Tennessee Energy Acquisition Corp. | ||||
Gas Revenue | 5.250% | 9/1/18 | 500 | 561 |
Tennessee Energy Acquisition Corp. | ||||
Gas Revenue | 5.250% | 9/1/22 | 510 | 562 |
Tennessee Energy Acquisition Corp. | ||||
Gas Revenue | 5.250% | 9/1/24 | 250 | 273 |
Tennessee GO | 5.000% | 8/1/14 | 500 | 548 |
7,682 | ||||
Texas (3.6%) | ||||
Austin TX Combined Utility System Revenue | 0.000% | 5/15/18 (3) | 1,000 | 872 |
Austin TX Water & Wastewater System Revenue | 5.000% | 11/15/21 | 500 | 619 |
Austin TX Water & Wastewater System Revenue | 5.000% | 11/15/24 | 275 | 322 |
Central Texas Regional Mobility Authority Revenue | 5.750% | 1/1/25 | 500 | 556 |
Clifton TX Higher Education Finance Corp. | ||||
Revenue (Baylor University) | 5.250% | 3/1/29 | 200 | 233 |
Cypress-Fairbanks TX Independent | ||||
School District GO | 5.000% | 2/15/25 | 500 | 598 |
Cypress-Fairbanks TX Independent | ||||
School District Unlimited Tax Schoolhouse GO | 5.000% | 2/15/30 | 500 | 568 |
38
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Dallas TX Area Rapid Transit Sales Tax Revenue | 4.500% | 12/1/27 | 500 | 544 |
Dallas TX GO | 5.000% | 2/15/15 | 500 | 559 |
Dallas TX Independent School District GO | 5.000% | 8/15/14 | 500 | 549 |
Dallas TX Independent School District GO | 5.000% | 2/15/23 | 485 | 588 |
Dallas TX Waterworks & Sewer System Revenue | 5.000% | 10/1/15 (2) | 485 | 555 |
Dallas TX Waterworks & Sewer System Revenue | 5.000% | 10/1/17 | 200 | 242 |
Dallas TX Waterworks & Sewer System Revenue | 5.000% | 10/1/22 | 330 | 410 |
Dallas-Fort Worth TX International Airport Revenue | 5.000% | 11/1/16 | 515 | 599 |
Garland TX Independent School District GO | 5.000% | 2/15/23 | 470 | 572 |
Harris County TX Flood Control District GO | 5.250% | 10/1/18 | 435 | 540 |
Harris County TX GO | 5.000% | 10/1/23 | 300 | 369 |
Harris County TX GO | 5.000% | 10/1/23 | 500 | 595 |
Harris County TX Health Facilities | ||||
Development Corp. Revenue | ||||
(St. Luke’s Episcopal Hospital) VRDO | 0.240% | 7/3/12 | 800 | 800 |
Harris County TX Toll Road Revenue | 5.000% | 8/15/27 | 500 | 573 |
Houston TX GO | 5.000% | 3/1/20 | 500 | 605 |
Houston TX Independent School District GO | 5.000% | 7/15/15 (4) | 500 | 566 |
Houston TX Utility System Revenue | 5.125% | 5/15/28 (14) | 500 | 535 |
Houston TX Utility System Revenue | 5.000% | 11/15/28 (4) | 500 | 569 |
Houston TX Utility System Revenue | 5.250% | 11/15/30 | 500 | 586 |
Lake Travis TX Independent School District GO | 5.000% | 2/15/32 | 500 | 574 |
Lone Star College System Texas GO | 5.000% | 8/15/23 | 250 | 303 |
Lower Colorado River Authority Texas Revenue | 5.750% | 5/15/28 | 500 | 551 |
Lubbock TX GO | 5.000% | 2/15/23 | 500 | 609 |
North East TX Independent School District GO | 5.250% | 2/1/22 | 500 | 641 |
North Texas Tollway Authority System Revenue | 6.000% | 1/1/20 | 500 | 598 |
North Texas Tollway Authority System Revenue | 6.000% | 1/1/25 | 500 | 595 |
North Texas Tollway Authority System Revenue | 6.000% | 1/1/28 | 250 | 288 |
North Texas Tollway Authority System Revenue | 5.500% | 9/1/28 | 500 | 596 |
SA Energy Acquisition Public Facility Corp. | ||||
Texas Gas Supply Revenue | 5.250% | 8/1/17 | 500 | 554 |
SA Energy Acquisition Public Facility Corp. | ||||
Texas Gas Supply Revenue | 5.500% | 8/1/19 | 500 | 562 |
San Antonio TX Electric & Gas Systems Revenue | 5.000% | 2/1/16 (Prere.) | 905 | 1,047 |
San Antonio TX Electric & Gas Systems Revenue | 5.000% | 2/1/19 | 500 | 611 |
San Antonio TX GO | 5.000% | 8/1/20 | 125 | 156 |
San Antonio TX GO | 5.000% | 2/1/24 | 500 | 603 |
Southwest Texas Higher Education | ||||
Authority Inc. Revenue (Southern | ||||
Methodist University Project) | 5.000% | 10/1/16 (2) | 260 | 305 |
Tarrant County TX Cultural Education | ||||
Facilities Finance Corp. Revenue | ||||
(CHRISTUS Health) | 6.250% | 7/1/28 (12) | 325 | 379 |
Tarrant County TX Cultural Education | ||||
Facilities Finance Corp. Revenue | ||||
(Texas Health Resources) | 5.000% | 2/15/26 | 500 | 548 |
Texas A&M University System Revenue | ||||
Financing System Revenue | 5.000% | 5/15/26 | 500 | 579 |
Texas GO | 5.000% | 8/1/31 | 500 | 579 |
Texas Municipal Gas Acquisition & Supply | ||||
Corp. Revenue | 5.250% | 12/15/17 | 500 | 546 |
Texas Municipal Power Agency Revenue | 0.000% | 9/1/15 (14) | 1,500 | 1,453 |
Texas Public Finance Authority Revenue | ||||
(Unemployment Compensation) | 5.000% | 7/1/14 | 500 | 546 |
39
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Texas Public Finance Authority Revenue | ||||
(Unemployment Compensation) | 5.000% | 1/1/18 | 500 | 563 |
Texas Tech University System Revenue Financing | ||||
System Revenue | 5.000% | 2/15/28 | 500 | 566 |
Texas Transportation Commission Revenue | 4.750% | 4/1/24 | 500 | 562 |
Texas Transportation Commission Revenue | 5.000% | 4/1/25 | 500 | 565 |
Texas Transportation Commission Revenue | 5.000% | 4/1/26 | 500 | 565 |
Texas Water Financial Assistance GO | 5.000% | 8/1/24 | 500 | 595 |
Texas Water Financial Assistance GO | 5.000% | 8/1/25 | 500 | 602 |
Texas Water Financial Assistance GO | 5.000% | 8/1/27 | 500 | 594 |
University of Texas System Revenue | ||||
Financing System Revenue | 5.000% | 8/15/19 | 325 | 403 |
University of Texas System Revenue | ||||
Financing System Revenue | 5.000% | 8/15/21 | 500 | 630 |
Williamson County TX GO | 5.000% | 2/15/23 | 230 | 287 |
33,279 | ||||
Utah (0.2%) | ||||
Central Utah Water Conservancy District GO | 5.000% | 4/1/30 | 500 | 580 |
Intermountain Power Agency Utah | ||||
Power Supply Revenue | 5.250% | 7/1/21 | 500 | 524 |
Utah GO | 5.000% | 7/1/16 | 500 | 587 |
Utah GO | 5.000% | 7/1/16 | 500 | 587 |
2,278 | ||||
Virgin Islands (0.1%) | ||||
Virgin Islands Public Finance Authority Revenue | 5.000% | 10/1/29 | 500 | 534 |
Virginia (0.7%) | ||||
Arlington County VA GO | 5.000% | 8/1/23 | 500 | 635 |
Chesterfield County VA GO | 5.000% | 1/1/22 | 500 | 639 |
Fairfax County VA Public Improvement GO | 5.000% | 10/1/17 | 500 | 606 |
Fairfax County VA Water Authority Revenue | 5.000% | 4/1/25 | 500 | 621 |
Norfolk VA Water Revenue | 5.000% | 11/1/31 | 500 | 585 |
Roanoke VA Economic Development | ||||
Authority Hospital Revenue | ||||
(Carilion Clinic Obligated Group) | 5.000% | 7/1/30 | 500 | 553 |
Virginia College Building Authority | ||||
Educational Facilities Revenue | ||||
(21st Century College & Equipment Programs) | 5.000% | 2/1/17 | 200 | 237 |
Virginia College Building Authority | ||||
Educational Facilities Revenue | ||||
(Public Higher Education Financing Program) | 5.000% | 9/1/22 | 355 | 446 |
Virginia Public Building Authority | ||||
Public Facilities Revenue | 5.000% | 8/1/22 | 575 | 728 |
Virginia Public School Authority Revenue | 5.000% | 8/1/13 | 500 | 526 |
Virginia Public School Authority Revenue | 5.000% | 8/1/19 | 500 | 617 |
6,193 | ||||
Washington (1.3%) | ||||
Energy Northwest Washington Electric | ||||
Revenue (Columbia Generating Station) | 5.000% | 7/1/20 | 500 | 618 |
Energy Northwest Washington | ||||
Electric Revenue (Project No. 1) | 5.250% | 7/1/16 | 500 | 589 |
Energy Northwest Washington | ||||
Electric Revenue (Project No. 1) | 5.000% | 7/1/17 | 500 | 597 |
Energy Northwest Washington Electric | ||||
Revenue (Project No. 3) | 5.000% | 7/1/15 | 100 | 113 |
40
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Energy Northwest Washington | ||||
Electric Revenue (Project No. 3) | 5.000% | 7/1/16 | 865 | 1,010 |
King County WA GO | 5.000% | 1/1/24 | 500 | 610 |
Port of Seattle WA Revenue | 5.000% | 3/1/20 (14) | 665 | 726 |
Port of Seattle WA Revenue | 5.000% | 8/1/29 | 250 | 287 |
University of Washington Revenue | 5.000% | 4/1/31 | 335 | 388 |
Washington (Motor Vehicle Fuel Tax) GO | 5.000% | 7/1/23 | 375 | 455 |
Washington (Motor Vehicle Fuel Tax) GO | 5.000% | 7/1/23 | 425 | 503 |
Washington (Motor Vehicle Fuel Tax) GO | 5.000% | 7/1/28 | 500 | 575 |
Washington GO | 5.700% | 10/1/15 (4) | 410 | 444 |
Washington GO | 5.000% | 2/1/16 | 500 | 576 |
Washington GO | 0.000% | 6/1/20 (3) | 500 | 419 |
Washington GO | 5.000% | 8/1/20 | 500 | 612 |
Washington GO | 5.000% | 7/1/21 | 500 | 595 |
Washington GO | 5.000% | 7/1/21 (4) | 500 | 574 |
Washington GO | 5.000% | 7/1/25 | 500 | 603 |
Washington GO | 5.000% | 2/1/32 | 500 | 578 |
Washington State University General Revenue | 5.000% | 10/1/31 | 500 | 573 |
11,445 | ||||
Wisconsin (0.7%) | ||||
Wisconsin Annual Appropriation Revenue | 5.625% | 5/1/28 | 460 | 546 |
Wisconsin GO | 4.000% | 9/1/15 | 970 | 1,071 |
Wisconsin GO | 5.000% | 5/1/16 | 500 | 581 |
Wisconsin GO | 5.000% | 5/1/16 (4) | 600 | 673 |
Wisconsin GO | 5.000% | 5/1/23 | 500 | 585 |
Wisconsin GO | 5.000% | 5/1/24 | 500 | 610 |
Wisconsin Health & Educational Facilities | ||||
Authority Revenue (Meriter Hospital Inc. | ||||
Project) VRDO | 0.170% | 7/3/12 LOC | 1,180 | 1,180 |
Wisconsin Transportation Revenue | 5.250% | 7/1/14 (4) | 500 | 548 |
Wisconsin Transportation Revenue | 5.000% | 7/1/23 | 500 | 618 |
6,412 | ||||
Total Tax-Exempt Municipal Bonds (Cost $436,481) | 466,577 | |||
Total Investments (99.6%) (Cost $716,458) | 910,092 | |||
Other Assets and Liabilities (0.4%) | ||||
Other Assets | 7,668 | |||
Liabilities | (3,735) | |||
3,933 | ||||
Net Assets (100%) | ||||
Applicable to 42,391,508 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 914,025 | |||
Net Asset Value Per Share | $21.56 |
41
Tax-Managed Balanced Fund | |
At June 30, 2012, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 732,045 |
Overdistributed Net Investment Income | (1,023) |
Accumulated Net Realized Losses | (10,631) |
Unrealized Appreciation (Depreciation) | 193,634 |
Net Assets | 914,025 |
See Note A in Notes to Financial Statements.
* 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, 2012, the aggregate value of these securities was $7,645,000, representing 0.8% of net assets.
2 Security purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of June 30, 2012.
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.
42
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.
43
Tax-Managed Balanced Fund | |
Statement of Operations | |
Six Months Ended | |
June 30, 2012 | |
($000) | |
Investment Income | |
Income | |
Dividends | 3,739 |
Interest | 7,082 |
Total Income | 10,821 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 31 |
Management and Administrative | 401 |
Marketing and Distribution | 80 |
Custodian Fees | 5 |
Shareholders’ Reports | 4 |
Total Expenses | 521 |
Net Investment Income | 10,300 |
Realized Net Gain (Loss) on Investment Securities Sold | 1,627 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 37,483 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 49,410 |
See accompanying Notes, which are an integral part of the Financial Statements.
44
Tax-Managed Balanced Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 10,300 | 19,426 |
Realized Net Gain (Loss) | 1,627 | 9,695 |
Change in Unrealized Appreciation (Depreciation) | 37,483 | 12,259 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 49,410 | 41,380 |
Distributions | ||
Net Investment Income | (10,133) | (19,292) |
Realized Capital Gain | — | — |
Total Distributions | (10,133) | (19,292) |
Capital Share Transactions | ||
Issued | 95,856 | 84,410 |
Issued in Lieu of Cash Distributions | 8,612 | 16,324 |
Redeemed1 | (27,057) | (58,490) |
Net Increase (Decrease) from Capital Share Transactions | 77,411 | 42,244 |
Total Increase (Decrease) | 116,688 | 64,332 |
Net Assets | ||
Beginning of Period | 797,337 | 733,005 |
End of Period2 | 914,025 | 797,337 |
1 Net of redemption fees for fiscal 2011 of $39,000. Effective April 28, 2011, the redemption fee was eliminated.
2 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($1,023,000) and ($1,190,000).
See accompanying Notes, which are an integral part of the Financial Statements.
45
Tax-Managed Balanced Fund | ||||||
Financial Highlights | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $20.55 | $19.96 | $18.75 | $16.19 | $20.45 | $20.02 |
Investment Operations | ||||||
Net Investment Income | .252 | .519 | .496 | .491 | .565 | .588 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.003 | .585 | 1.210 | 2.566 | (4.260) | .430 |
Total from Investment Operations | 1.255 | 1.104 | 1.706 | 3.057 | (3.695) | 1.018 |
Distributions | ||||||
Dividends from Net Investment Income1 | (.245) | (.514) | (.496) | (.497) | (.565) | (.588) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.245) | (.514) | (.496) | (.497) | (.565) | (.588) |
Net Asset Value, End of Period | $21.56 | $20.55 | $19.96 | $18.75 | $16.19 | $20.45 |
Total Return2 | 6.11% | 5.58% | 9.22% | 19.14% | -18.32% | 5.11% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $914 | $797 | $733 | $669 | $587 | $722 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.12% | 0.12% | 0.15% | 0.15% | 0.13% | 0.12% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.37% | 2.55% | 2.58% | 2.86% | 3.01% | 2.86% |
Portfolio Turnover Rate | 7% | 12% | 23% | 27% | 19% | 10% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 For tax purposes, nontaxable dividends represent 65%, 70%, 70%, 69%, 72%, and 73% 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.
46
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, 2008–2011), and for the period ended June 30, 2012, 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 were 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, 2012, the fund had contributed capital of $136,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.05% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and 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).
47
Tax-Managed Balanced Fund
The following table summarizes the market value of the fund’s investments as of June 30, 2012, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 443,508 | 7 | — |
Tax-Exempt Municipal Bonds | — | 466,577 | — |
Total | 443,508 | 466,584 | — |
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, 2011, the fund had available capital loss carryforwards totaling $12,258,000 to offset future net capital gains 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, 2012; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2012, the cost of investment securities for tax purposes was $716,458,000. Net unrealized appreciation of investment securities for tax purposes was $193,634,000, consisting of unrealized gains of $204,603,000 on securities that had risen in value since their purchase and $10,969,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended June 30, 2012, the fund purchased $94,714,000 of investment securities and sold $30,406,000 of investment securities, other than temporary cash investments.
F. Capital shares issued and redeemed were:
Six Months Ended | Year Ended | |
June 30, 2012 | December 31, 2011 | |
Shares | Shares | |
(000) | (000) | |
Issued | 4,453 | 4,149 |
Issued in Lieu of Cash Distributions | 400 | 802 |
Redeemed | (1,258) | (2,887) |
Net Increase (Decrease) in Shares Outstanding | 3,595 | 2,064 |
G. In preparing the financial statements as of June 30, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
48
Tax-Managed Growth and Income Fund
Fund Profile
As of June 30, 2012
Share-Class Characteristics | ||
Admiral | Institutional | |
Shares | Shares | |
Ticker Symbol | VTGLX | VTMIX |
Expense Ratio1 | 0.12% | 0.08% |
30-Day SEC Yield | 2.19% | 2.23% |
Portfolio Characteristics | |||
DJ | |||
U.S. Total | |||
S&P 500 | Market | ||
Fund | Index | Index | |
Number of Stocks | 503 | 500 | 3,694 |
Median Market Cap $56.8B | $56.8B | $33.1B | |
Price/Earnings Ratio | 15.3x | 15.3x | 16.1x |
Price/Book Ratio | 2.2x | 2.2x | 2.1x |
Return on Equity | 19.9% | 19.7% | 18.1% |
Earnings Growth Rate | 9.7% | 9.7% | 9.4% |
Dividend Yield | 2.2% | 2.2% | 2.1% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 4% | — | — |
Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
U.S. Total | |||
S&P 500 | Market | ||
Fund | Index | Index | |
Consumer Discretionary 11.0% | 11.0% | 11.9% | |
Consumer Staples | 11.3 | 11.3 | 9.8 |
Energy | 10.8 | 10.8 | 10.0 |
Financials | 14.4 | 14.4 | 15.9 |
Health Care | 12.0 | 12.0 | 12.0 |
Industrials | 10.5 | 10.5 | 10.8 |
Information Technology 19.7 | 19.7 | 19.1 | |
Materials | 3.4 | 3.4 | 3.9 |
Telecommunication | |||
Services | 3.2 | 3.2 | 2.9 |
Utilities | 3.7 | 3.7 | 3.7 |
Volatility Measures | ||
DJ | ||
U.S. Total | ||
S&P 500 | Market | |
Index | Index | |
R-Squared | 1.00 | 1.00 |
Beta | 1.00 | 0.95 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
Ten Largest Holdings (% of total net assets) | ||
Apple Inc. | Computer | |
Hardware | 4.4% | |
Exxon Mobil Corp. | Integrated Oil & | |
Gas | 3.3 | |
Microsoft Corp. | Systems Software | 1.9 |
International Business | IT Consulting & | |
Machines Corp. | Other Services | 1.8 |
General Electric Co. | Industrial | |
Conglomerates | 1.8 | |
AT&T Inc. | Integrated | |
Telecommunication | ||
Services | 1.7 | |
Chevron Corp. | Integrated Oil & | |
Gas | 1.7 | |
Johnson & Johnson | Pharmaceuticals | 1.5 |
Wells Fargo & Co. | Diversified Banks | 1.4 |
Coca-Cola Co. | Soft Drinks | 1.4 |
Top Ten | 20.9% |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
1 The expense ratios shown are from the prospectus dated April 26, 2012, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2012, the annualized expense ratios were 0.12% for Admiral Shares and 0.08% for Institutional Shares.
49
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, 2001, Through June 30, 2012
Tax-Managed Growth and Income Fund Admiral Shares |
S&P 500 Index |
Note: For 2012, performance data reflect the six months ended June 30, 2012.
Average Annual Total Returns: Periods Ended June 30, 2012 | ||||
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Admiral Shares | 9/6/1994 | 5.34% | 0.19% | 5.33% |
Institutional Shares | 3/4/1999 | 5.40 | 0.23 | 5.36 |
See Financial Highlights for dividend and capital gains information.
50
Tax-Managed Growth and Income Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2012
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 (11.0%) | |||
McDonald’s Corp. | 201,847 | 17,869 | |
Walt Disney Co. | 355,098 | 17,222 | |
* | Amazon.com Inc. | 71,715 | 16,376 |
Home Depot Inc. | 304,514 | 16,136 | |
Comcast Corp. Class A | 501,868 | 16,045 | |
News Corp. Class A | 419,154 | 9,343 | |
Starbucks Corp. | 151,026 | 8,053 | |
Target Corp. | 131,536 | 7,654 | |
Time Warner Inc. | 190,911 | 7,350 | |
Ford Motor Co. | 759,396 | 7,283 | |
Lowe’s Cos. Inc. | 234,131 | 6,659 | |
* | priceline.com Inc. | 9,903 | 6,581 |
NIKE Inc. Class B | 72,974 | 6,406 | |
* | DIRECTV Class A | 130,254 | 6,359 |
TJX Cos. Inc. | 147,342 | 6,325 | |
Yum! Brands Inc. | 91,484 | 5,893 | |
Time Warner Cable Inc. | 62,007 | 5,091 | |
Viacom Inc. Class B | 105,003 | 4,937 | |
CBS Corp. Class B | 129,128 | 4,233 | |
Johnson Controls Inc. | 135,422 | 3,753 | |
Coach Inc. | 57,163 | 3,343 | |
Carnival Corp. | 89,840 | 3,079 | |
* | Bed Bath & Beyond Inc. | 46,164 | 2,853 |
Macy’s Inc. | 82,286 | 2,827 | |
Ross Stores Inc. | 44,786 | 2,798 | |
* | Discovery | ||
Communications Inc. | |||
Class A | 50,700 | 2,738 | |
Omnicom Group Inc. | 54,075 | 2,628 | |
McGraw-Hill Cos. Inc. | 55,169 | 2,483 | |
* | Dollar Tree Inc. | 46,116 | 2,481 |
* | Chipotle Mexican Grill Inc. | ||
Class A | 6,318 | 2,401 | |
VF Corp. | 17,142 | 2,288 | |
Mattel Inc. | 67,546 | 2,191 | |
Kohl’s Corp. | 47,613 | 2,166 | |
Harley-Davidson Inc. | 46,127 | 2,109 | |
* | O’Reilly Automotive Inc. | 25,168 | 2,108 |
Market | |||
Value | |||
Shares | ($000) | ||
Starwood Hotels & Resorts | |||
Worldwide Inc. | 39,011 | 2,069 | |
Marriott International Inc. | |||
Class A | 52,524 | 2,059 | |
Limited Brands Inc. | 48,068 | 2,044 | |
* | AutoZone Inc. | 5,302 | 1,947 |
Genuine Parts Co. | 30,898 | 1,862 | |
Gap Inc. | 65,910 | 1,803 | |
Staples Inc. | 137,760 | 1,798 | |
Ralph Lauren Corp. Class A | 12,835 | 1,798 | |
Wynn Resorts Ltd. | 15,693 | 1,628 | |
Nordstrom Inc. | 31,636 | 1,572 | |
Family Dollar Stores Inc. | 23,356 | 1,553 | |
Wyndham Worldwide Corp. | 28,996 | 1,529 | |
* | BorgWarner Inc. | 22,801 | 1,496 |
Tiffany & Co. | 25,203 | 1,334 | |
Darden Restaurants Inc. | 25,511 | 1,292 | |
* | CarMax Inc. | 44,891 | 1,164 |
Best Buy Co. Inc. | 55,078 | 1,154 | |
Comcast Corp. | 33,914 | 1,065 | |
Scripps Networks | |||
Interactive Inc. Class A | 18,381 | 1,045 | |
Newell Rubbermaid Inc. | 57,189 | 1,037 | |
DR Horton Inc. | 55,355 | 1,017 | |
Lennar Corp. Class A | 32,369 | 1,001 | |
Interpublic Group | |||
of Cos. Inc. | 88,609 | 961 | |
Whirlpool Corp. | 15,273 | 934 | |
H&R Block Inc. | 58,383 | 933 | |
International | |||
Game Technology | 58,978 | 929 | |
Expedia Inc. | 17,913 | 861 | |
* | TripAdvisor Inc. | 18,913 | 845 |
* | Fossil Inc. | 10,312 | 789 |
Hasbro Inc. | 23,105 | 783 | |
* | Apollo Group Inc. Class A | 21,305 | 771 |
* | Netflix Inc. | 11,099 | 760 |
* | PulteGroup Inc. | 66,207 | 708 |
Gannett Co. Inc. | 47,625 | 701 | |
JC Penney Co. Inc. | 28,875 | 673 |
51
Tax-Managed Growth and Income Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Urban Outfitters Inc. | 22,040 | 608 |
Leggett & Platt Inc. | 28,081 | 593 | |
Cablevision Systems Corp. | |||
Class A | 43,668 | 580 | |
* | Goodyear Tire & Rubber Co. | 48,343 | 571 |
Abercrombie & Fitch Co. | 16,328 | 557 | |
Harman International | |||
Industries Inc. | 13,781 | 546 | |
* | Big Lots Inc. | 12,856 | 524 |
GameStop Corp. Class A | 25,921 | 476 | |
* | Sears Holdings Corp. | 7,688 | 459 |
DeVry Inc. | 11,989 | 371 | |
Washington Post Co. | |||
Class B | 960 | 359 | |
* | AutoNation Inc. | 8,349 | 295 |
267,915 | |||
Consumer Staples (11.3%) | |||
Coca-Cola Co. | 448,235 | 35,047 | |
Procter & Gamble Co. | 544,470 | 33,349 | |
Philip Morris | |||
International Inc. | 338,907 | 29,573 | |
Wal-Mart Stores Inc. | 342,862 | 23,904 | |
PepsiCo Inc. | 310,742 | 21,957 | |
Altria Group Inc. | 404,823 | 13,987 | |
Kraft Foods Inc. | 352,834 | 13,626 | |
CVS Caremark Corp. | 254,941 | 11,913 | |
Colgate-Palmolive Co. | 94,741 | 9,863 | |
Costco Wholesale Corp. | 85,975 | 8,168 | |
Kimberly-Clark Corp. | 78,149 | 6,547 | |
Walgreen Co. | 171,628 | 5,077 | |
General Mills Inc. | 128,814 | 4,964 | |
Archer-Daniels-Midland Co. | 131,524 | 3,883 | |
HJ Heinz Co. | 63,676 | 3,463 | |
Sysco Corp. | 116,070 | 3,460 | |
Lorillard Inc. | 25,856 | 3,412 | |
Mead Johnson Nutrition Co. | 40,412 | 3,254 | |
Whole Foods Market Inc. | 32,314 | 3,080 | |
Reynolds American Inc. | 66,300 | 2,975 | |
Kroger Co. | 111,577 | 2,587 | |
Kellogg Co. | 49,093 | 2,422 | |
Estee Lauder Cos. Inc. | |||
Class A | 44,614 | 2,414 | |
Hershey Co. | 30,435 | 2,192 | |
* | Monster Beverage Corp. | 30,166 | 2,148 |
ConAgra Foods Inc. | 82,247 | 2,133 | |
Beam Inc. | 31,220 | 1,951 | |
Brown-Forman Corp. Class B | 19,750 | 1,913 | |
Clorox Co. | 25,728 | 1,864 | |
Dr Pepper Snapple Group Inc. 42,018 | 1,838 | ||
JM Smucker Co. | 22,428 | 1,694 | |
Coca-Cola Enterprises Inc. | 59,660 | 1,673 | |
McCormick & Co. Inc. | 26,343 | 1,598 | |
Avon Products Inc. | 85,543 | 1,387 | |
Molson Coors Brewing Co. Class B31,110 | 1,294 | ||
Campbell Soup Co. | 35,630 | 1,189 |
Market | |||
Value | |||
Shares | ($000) | ||
Tyson Foods Inc. Class A | 58,131 | 1,095 | |
Safeway Inc. | 47,710 | 866 | |
Hormel Foods Corp. | 27,400 | 833 | |
* | Constellation Brands Inc. | ||
Class A | 30,322 | 820 | |
* | Dean Foods Co. | 36,900 | 628 |
276,041 | |||
Energy (10.8%) | |||
Exxon Mobil Corp. | 929,233 | 79,514 | |
Chevron Corp. | 392,027 | 41,359 | |
Schlumberger Ltd. | 264,960 | 17,199 | |
ConocoPhillips | 251,576 | 14,058 | |
Occidental Petroleum Corp. | 161,413 | 13,844 | |
Apache Corp. | 77,847 | 6,842 | |
Anadarko Petroleum Corp. | 99,488 | 6,586 | |
National Oilwell Varco Inc. | 84,816 | 5,466 | |
Halliburton Co. | 183,311 | 5,204 | |
EOG Resources Inc. | 53,729 | 4,842 | |
Devon Energy Corp. | 80,271 | 4,655 | |
* | Phillips 66 | 124,338 | 4,133 |
Spectra Energy Corp. | 129,471 | 3,762 | |
Williams Cos. Inc. | 124,255 | 3,581 | |
Marathon Oil Corp. | 140,048 | 3,581 | |
Baker Hughes Inc. | 86,840 | 3,569 | |
Kinder Morgan Inc. | 100,481 | 3,237 | |
Marathon Petroleum Corp. | 67,724 | 3,042 | |
Noble Energy Inc. | 35,205 | 2,986 | |
Valero Energy Corp. | 110,160 | 2,660 | |
Hess Corp. | 60,211 | 2,616 | |
Chesapeake Energy Corp. | 131,835 | 2,452 | |
* | Southwestern Energy Co. | 69,553 | 2,221 |
Pioneer Natural | |||
Resources Co. | 24,370 | 2,150 | |
* | Cameron International Corp. | 48,775 | 2,083 |
Range Resources Corp. | 32,286 | 1,998 | |
Murphy Oil Corp. | 38,666 | 1,944 | |
* | FMC Technologies Inc. | 47,556 | 1,866 |
Cabot Oil & Gas Corp. | 41,538 | 1,637 | |
Noble Corp. | 50,151 | 1,631 | |
EQT Corp. | 29,604 | 1,588 | |
CONSOL Energy Inc. | 45,089 | 1,363 | |
Peabody Energy Corp. | 54,220 | 1,329 | |
* | Denbury Resources Inc. | 77,492 | 1,171 |
QEP Resources Inc. | 35,068 | 1,051 | |
Sunoco Inc. | 21,088 | 1,002 | |
Helmerich & Payne Inc. | 21,287 | 926 | |
* | Nabors Industries Ltd. | 57,606 | 830 |
Diamond Offshore | |||
Drilling Inc. | 13,711 | 811 | |
* | Rowan Cos. plc Class A | 24,786 | 801 |
* | Newfield Exploration Co. | 26,311 | 771 |
* | Tesoro Corp. | 27,484 | 686 |
* | WPX Energy Inc. | 39,218 | 635 |
* | Alpha Natural Resources Inc. | 43,709 | 381 |
264,063 |
52
Tax-Managed Growth and Income Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Financials (14.4%) | |||
Wells Fargo & Co. | 1,055,880 | 35,309 | |
JPMorgan Chase & Co. | 756,407 | 27,026 | |
* | Berkshire Hathaway Inc. | ||
Class B | 314,899 | 26,241 | |
Bank of America Corp. | 2,141,192 | 17,515 | |
Citigroup Inc. | 582,562 | 15,968 | |
US Bancorp | 376,904 | 12,121 | |
American Express Co. | 199,198 | 11,595 | |
Simon Property Group Inc. | 60,282 | 9,384 | |
Goldman Sachs Group Inc. | 97,804 | 9,375 | |
MetLife Inc. | 210,545 | 6,495 | |
PNC Financial Services | |||
Group Inc. | 104,880 | 6,409 | |
Capital One Financial Corp. | 115,486 | 6,312 | |
American | |||
Tower Corporation | 78,279 | 5,472 | |
Bank of New York | |||
Mellon Corp. | 237,323 | 5,209 | |
ACE Ltd. | 67,400 | 4,996 | |
Travelers Cos. Inc. | 77,389 | 4,941 | |
Prudential Financial Inc. | 93,396 | 4,523 | |
Morgan Stanley | 302,438 | 4,413 | |
BlackRock Inc. | 25,553 | 4,339 | |
State Street Corp. | 96,850 | 4,323 | |
BB&T Corp. | 138,683 | 4,278 | |
Public Storage | 28,289 | 4,085 | |
* | American International | ||
Group Inc. | 126,972 | 4,075 | |
Aflac Inc. | 92,939 | 3,958 | |
Chubb Corp. | 53,776 | 3,916 | |
Equity Residential | 59,695 | 3,723 | |
HCP Inc. | 83,540 | 3,688 | |
Discover Financial Services | 105,278 | 3,641 | |
Ventas Inc. | 57,458 | 3,627 | |
CME Group Inc. | 13,222 | 3,545 | |
Marsh & | |||
McLennan Cos. Inc. | 108,000 | 3,481 | |
Allstate Corp. | 97,676 | 3,427 | |
Boston Properties Inc. | 29,883 | 3,238 | |
T. Rowe Price Group Inc. | 50,370 | 3,171 | |
Franklin Resources Inc. | 28,226 | 3,133 | |
Vornado Realty Trust | 36,657 | 3,078 | |
Prologis Inc. | 91,370 | 3,036 | |
Aon plc | 64,639 | 3,024 | |
* | Berkshire Hathaway Inc. | ||
Class A | 23 | 2,874 | |
Charles Schwab Corp. | 215,043 | 2,781 | |
AvalonBay | |||
Communities Inc. | 18,943 | 2,680 | |
SunTrust Banks Inc. | 107,099 | 2,595 | |
Progressive Corp. | 121,393 | 2,529 | |
Loews Corp. | 60,857 | 2,490 | |
Health Care REIT Inc. | 42,566 | 2,482 | |
Fifth Third Bancorp | 183,119 | 2,454 | |
Weyerhaeuser Co. | 106,573 | 2,383 |
Market | ||||
Value | ||||
Shares | ($000) | |||
Ameriprise Financial Inc. | 43,442 | 2,270 | ||
Host Hotels & Resorts Inc. | 143,042 | 2,263 | ||
Northern Trust Corp. | 48,048 | 2,211 | ||
M&T Bank Corp. | 25,009 | 2,065 | ||
Invesco Ltd. | 88,616 | 2,003 | ||
* | IntercontinentalExchange Inc. | 14,414 | 1,960 | |
Regions Financial Corp. | 280,713 | 1,895 | ||
Principal Financial Group Inc. | 60,118 | 1,577 | ||
Hartford Financial | ||||
Services Group Inc. | 87,829 | 1,548 | ||
Kimco Realty Corp. | 80,823 | 1,538 | ||
SLM Corp. | 97,004 | 1,524 | ||
KeyCorp | 189,260 | 1,465 | ||
Moody’s Corp. | 39,140 | 1,431 | ||
XL Group plc Class A | 62,526 | 1,316 | ||
NYSE Euronext | 51,137 | 1,308 | ||
Plum Creek Timber Co. Inc. | 32,015 | 1,271 | ||
Lincoln National Corp. | 56,525 | 1,236 | ||
Cincinnati Financial Corp. | 32,195 | 1,226 | ||
Comerica Inc. | 39,393 | 1,210 | ||
Unum Group | 57,825 | 1,106 | ||
Huntington Bancshares Inc. | 171,123 | 1,095 | ||
* | CBRE Group Inc. Class A | 65,421 | 1,070 | |
Torchmark Corp. | 19,799 | 1,001 | ||
Leucadia National Corp. | 39,294 | 836 | ||
People’s United Financial Inc. 71,932 | 835 | |||
Apartment Investment | ||||
& Management Co. Class A | 28,192 | 762 | ||
Zions Bancorporation | 36,340 | 706 | ||
Hudson City Bancorp Inc. | 104,119 | 663 | ||
Legg Mason Inc. | 24,636 | 650 | ||
Assurant Inc. | 17,309 | 603 | ||
NASDAQ OMX Group Inc. | 24,595 | 558 | ||
* | Genworth Financial Inc. | |||
Class A | 97,134 | 550 | ||
First Horizon National Corp. | 51,824 | 448 | ||
* | E*TRADE Financial Corp. | 50,359 | 405 | |
Federated Investors Inc. | ||||
Class B | 18,495 | 404 | ||
352,367 | ||||
Health Care (12.0%) | ||||
Johnson & Johnson | 545,676 | 36,866 | ||
Pfizer Inc. | 1,487,898 | 34,222 | ||
Merck & Co. Inc. | 604,275 | 25,229 | ||
Abbott Laboratories | 312,543 | 20,150 | ||
Bristol-Myers Squibb Co. | 336,166 | 12,085 | ||
UnitedHealth Group Inc. | 206,417 | 12,075 | ||
Amgen Inc. | 154,700 | 11,299 | ||
* | Express Scripts Holding Co. | 160,276 | 8,948 | |
Eli Lilly & Co. | 203,015 | 8,711 | ||
Medtronic Inc. | 206,734 | 8,007 | ||
* | Gilead Sciences Inc. | 150,314 | 7,708 | |
* | Biogen Idec Inc. | 47,560 | 6,867 | |
Baxter International Inc. | 109,521 | 5,821 | ||
Allergan Inc. | 61,248 | 5,670 | ||
* | Celgene Corp. | 87,685 | 5,626 |
53
Tax-Managed Growth and Income Fund | ||||
Market | ||||
Value | ||||
Shares | ($000) | |||
Covidien plc | 96,100 | 5,141 | ||
McKesson Corp. | 46,835 | 4,391 | ||
* | Intuitive Surgical Inc. | 7,907 | 4,379 | |
WellPoint Inc. | 65,815 | 4,198 | ||
* | Alexion Pharmaceuticals Inc. | 38,244 | 3,798 | |
Thermo Fisher Scientific Inc. | 72,617 | 3,770 | ||
Stryker Corp. | 64,313 | 3,544 | ||
Becton Dickinson and Co. | 40,238 | 3,008 | ||
Cardinal Health Inc. | 68,559 | 2,879 | ||
Agilent Technologies Inc. | 68,947 | 2,706 | ||
Aetna Inc. | 68,878 | 2,670 | ||
Humana Inc. | 32,662 | 2,529 | ||
Cigna Corp. | 57,388 | 2,525 | ||
St. Jude Medical Inc. | 62,408 | 2,491 | ||
* | Cerner Corp. | 28,938 | 2,392 | |
* | Edwards Lifesciences Corp. | 22,743 | 2,349 | |
Zimmer Holdings Inc. | 34,918 | 2,247 | ||
Perrigo Co. | 18,602 | 2,194 | ||
AmerisourceBergen Corp. | ||||
Class A | 49,824 | 1,961 | ||
Quest Diagnostics Inc. | 31,542 | 1,889 | ||
* | Watson | |||
Pharmaceuticals Inc. | 25,177 | 1,863 | ||
* | Forest Laboratories Inc. | 52,827 | 1,848 | |
* | DaVita Inc. | 18,513 | 1,818 | |
* | Mylan Inc. | 84,719 | 1,810 | |
CR Bard Inc. | 16,629 | 1,787 | ||
* | Laboratory Corp. of | |||
America Holdings | 19,268 | 1,784 | ||
* | Boston Scientific Corp. | 283,516 | 1,608 | |
* | Life Technologies Corp. | 35,382 | 1,592 | |
* | Waters Corp. | 17,758 | 1,411 | |
* | Varian Medical Systems Inc. | 22,049 | 1,340 | |
* | Hospira Inc. | 32,754 | 1,146 | |
* | CareFusion Corp. | 44,489 | 1,142 | |
DENTSPLY International Inc. | 28,153 | 1,064 | ||
Coventry Health Care Inc. | 27,980 | 890 | ||
Patterson Cos. Inc. | 17,440 | 601 | ||
PerkinElmer Inc. | 22,637 | 584 | ||
* | Tenet Healthcare Corp. | 81,317 | 426 | |
293,059 | ||||
Industrials (10.5%) | ||||
General Electric Co. | 2,105,374 | 43,876 | ||
United Parcel Service Inc. | ||||
Class B | 190,584 | 15,010 | ||
United Technologies Corp. | 181,000 | 13,671 | ||
3M Co. | 138,043 | 12,369 | ||
Union Pacific Corp. | 94,740 | 11,303 | ||
Boeing Co. | 148,746 | 11,052 | ||
Caterpillar Inc. | 129,839 | 11,025 | ||
Honeywell International Inc. | 155,061 | 8,659 | ||
Emerson Electric Co. | 145,904 | 6,796 | ||
Deere & Co. | 79,056 | 6,393 | ||
Danaher Corp. | 114,488 | 5,963 | ||
FedEx Corp. | 62,797 | 5,753 |
Market | |||
Value | |||
Shares | ($000) | ||
Illinois Tool Works Inc. | 94,961 | 5,023 | |
Tyco International Ltd. | 92,172 | 4,871 | |
Precision Castparts Corp. | 28,865 | 4,748 | |
General Dynamics Corp. | 71,844 | 4,739 | |
Norfolk Southern Corp. | 64,806 | 4,651 | |
CSX Corp. | 206,707 | 4,622 | |
Lockheed Martin Corp. | 52,999 | 4,615 | |
Raytheon Co. | 66,282 | 3,751 | |
Cummins Inc. | 38,044 | 3,687 | |
Northrop Grumman Corp. | 50,170 | 3,200 | |
Goodrich Corp. | 24,968 | 3,168 | |
Waste Management Inc. | 91,834 | 3,067 | |
PACCAR Inc. | 70,839 | 2,776 | |
Eaton Corp. | 67,258 | 2,665 | |
Ingersoll-Rand plc | 59,000 | 2,489 | |
Fastenal Co. | 58,782 | 2,370 | |
WW Grainger Inc. | 12,123 | 2,318 | |
Parker Hannifin Corp. | 29,890 | 2,298 | |
Stanley Black & Decker Inc. | 33,611 | 2,163 | |
Cooper Industries plc | 31,400 | 2,141 | |
Dover Corp. | 36,606 | 1,962 | |
Roper Industries Inc. | 19,440 | 1,916 | |
CH Robinson Worldwide Inc. | 32,412 | 1,897 | |
Rockwell Automation Inc. | 28,303 | 1,870 | |
Republic Services Inc. | |||
Class A | 62,756 | 1,661 | |
Fluor Corp. | 33,590 | 1,657 | |
Expeditors International | |||
of Washington Inc. | 42,123 | 1,632 | |
* | Stericycle Inc. | 16,864 | 1,546 |
L-3 Communications | |||
Holdings Inc. | 19,577 | 1,449 | |
Rockwell Collins Inc. | 28,814 | 1,422 | |
Southwest Airlines Co. | 154,136 | 1,421 | |
Textron Inc. | 55,708 | 1,386 | |
Pall Corp. | 22,895 | 1,255 | |
Flowserve Corp. | 10,768 | 1,236 | |
Joy Global Inc. | 21,089 | 1,196 | |
Iron Mountain Inc. | 33,955 | 1,119 | |
Equifax Inc. | 23,967 | 1,117 | |
* | Quanta Services Inc. | 41,969 | 1,010 |
Masco Corp. | 70,719 | 981 | |
* | Jacobs Engineering | ||
Group Inc. | 25,445 | 963 | |
Xylem Inc. | 36,801 | 926 | |
Cintas Corp. | 21,802 | 842 | |
Robert Half International Inc. | 28,401 | 811 | |
Snap-on Inc. | 11,667 | 726 | |
Dun & Bradstreet Corp. | 9,396 | 669 | |
Pitney Bowes Inc. | 39,381 | 590 | |
Avery Dennison Corp. | 21,287 | 582 | |
RR Donnelley & Sons Co. | 35,168 | 414 | |
Ryder System Inc. | 10,104 | 364 | |
255,852 |
54
Tax-Managed Growth and Income Fund
Market | |||
Value | |||
Shares | ($000) | ||
Information Technology (19.8%) | |||
* | Apple Inc. | 185,810 | 108,513 |
Microsoft Corp. | 1,485,723 | 45,448 | |
International Business | |||
Machines Corp. | 229,192 | 44,825 | |
* | Google Inc. Class A | 50,527 | 29,309 |
Intel Corp. | 999,668 | 26,641 | |
Oracle Corp. | 771,073 | 22,901 | |
QUALCOMM Inc. | 340,613 | 18,965 | |
Cisco Systems Inc. | 1,064,395 | 18,276 | |
Visa Inc. Class A | 98,848 | 12,221 | |
* | EMC Corp. | 417,901 | 10,711 |
* | eBay Inc. | 228,707 | 9,608 |
Mastercard Inc. Class A | 21,114 | 9,081 | |
Hewlett-Packard Co. | 392,374 | 7,891 | |
Accenture plc Class A | 128,134 | 7,700 | |
Texas Instruments Inc. | 227,448 | 6,525 | |
Automatic Data | |||
Processing Inc. | 97,546 | 5,429 | |
Corning Inc. | 302,490 | 3,911 | |
* | Yahoo! Inc. | 241,151 | 3,817 |
* | Salesforce.com Inc. | 27,523 | 3,805 |
* | Dell Inc. | 295,772 | 3,703 |
* | Cognizant Technology | ||
Solutions Corp. Class A | 60,360 | 3,622 | |
Intuit Inc. | 58,694 | 3,484 | |
Broadcom Corp. Class A | 98,695 | 3,336 | |
* | Adobe Systems Inc. | 98,130 | 3,176 |
* | Citrix Systems Inc. | 36,903 | 3,098 |
Applied Materials Inc. | 256,195 | 2,936 | |
Motorola Solutions Inc. | 57,968 | 2,789 | |
TE Connectivity Ltd. | 84,700 | 2,703 | |
* | Teradata Corp. | 33,359 | 2,402 |
* | NetApp Inc. | 72,218 | 2,298 |
Analog Devices Inc. | 59,147 | 2,228 | |
Altera Corp. | 64,221 | 2,173 | |
* | Red Hat Inc. | 38,327 | 2,165 |
Xerox Corp. | 268,220 | 2,111 | |
* | Symantec Corp. | 143,052 | 2,090 |
Western Union Co. | 121,922 | 2,053 | |
Paychex Inc. | 63,925 | 2,008 | |
* | Fiserv Inc. | 27,067 | 1,955 |
CA Inc. | 70,385 | 1,907 | |
Seagate Technology plc | 73,860 | 1,827 | |
Amphenol Corp. Class A | 32,363 | 1,777 | |
* | SanDisk Corp. | 48,185 | 1,758 |
Xilinx Inc. | 52,136 | 1,750 | |
* | Juniper Networks Inc. | 104,883 | 1,711 |
* | NVIDIA Corp. | 121,281 | 1,676 |
KLA-Tencor Corp. | 33,159 | 1,633 | |
Fidelity National Information | |||
Services Inc. | 47,541 | 1,620 | |
* | Autodesk Inc. | 45,033 | 1,576 |
* | F5 Networks Inc. | 15,794 | 1,572 |
* | Lam Research Corp. | 39,704 | 1,498 |
Linear Technology Corp. | 45,347 | 1,421 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Western Digital Corp. | 46,424 | 1,415 |
* | VeriSign Inc. | 31,831 | 1,387 |
* | BMC Software Inc. | 31,945 | 1,363 |
Microchip Technology Inc. | 38,299 | 1,267 | |
* | Micron Technology Inc. | 196,959 | 1,243 |
* | Akamai Technologies Inc. | 35,153 | 1,116 |
Harris Corp. | 22,520 | 942 | |
* | Electronic Arts Inc. | 63,155 | 780 |
Computer Sciences Corp. | 30,784 | 764 | |
Total System Services Inc. | 31,698 | 759 | |
Jabil Circuit Inc. | 36,840 | 749 | |
* | LSI Corp. | 113,132 | 721 |
* | Advanced Micro | ||
Devices Inc. | 115,945 | 664 | |
SAIC Inc. | 54,768 | 664 | |
Molex Inc. | 27,322 | 654 | |
FLIR Systems Inc. | 30,396 | 593 | |
* | Teradyne Inc. | 36,700 | 516 |
* | JDS Uniphase Corp. | 45,491 | 500 |
Lexmark International Inc. | |||
Class A | 14,208 | 378 | |
* | First Solar Inc. | 11,633 | 175 |
484,283 | |||
Materials (3.4%) | |||
EI du Pont de | |||
Nemours & Co. | 186,514 | 9,432 | |
Monsanto Co. | 105,914 | 8,768 | |
Dow Chemical Co. | 237,894 | 7,494 | |
Praxair Inc. | 59,234 | 6,440 | |
Freeport-McMoRan | |||
Copper & Gold Inc. | 188,416 | 6,419 | |
Newmont Mining Corp. | 98,383 | 4,773 | |
Ecolab Inc. | 58,179 | 3,987 | |
Air Products & | |||
Chemicals Inc. | 42,132 | 3,401 | |
Mosaic Co. | 59,015 | 3,232 | |
PPG Industries Inc. | 30,124 | 3,197 | |
CF Industries Holdings Inc. | 12,989 | 2,516 | |
International Paper Co. | 86,818 | 2,510 | |
Nucor Corp. | 62,890 | 2,383 | |
Sherwin-Williams Co. | 17,154 | 2,270 | |
Alcoa Inc. | 212,503 | 1,859 | |
Sigma-Aldrich Corp. | 23,940 | 1,770 | |
FMC Corp. | 27,628 | 1,478 | |
Cliffs Natural Resources Inc. | 28,332 | 1,396 | |
Eastman Chemical Co. | 27,344 | 1,377 | |
Ball Corp. | 31,014 | 1,273 | |
Airgas Inc. | 13,597 | 1,142 | |
Vulcan Materials Co. | 25,630 | 1,018 | |
MeadWestvaco Corp. | 33,759 | 971 | |
International Flavors | |||
& Fragrances Inc. | 16,054 | 880 | |
Allegheny Technologies Inc. | 21,020 | 670 | |
Bemis Co. Inc. | 20,650 | 647 | |
* | Owens-Illinois Inc. | 32,485 | 623 |
Sealed Air Corp. | 38,392 | 593 |
55
Tax-Managed Growth and Income Fund
Market | |||
Value | |||
Shares | ($000) | ||
United States Steel Corp. | 28,480 | 587 | |
Titanium Metals Corp. | 16,600 | 188 | |
83,294 | |||
Telecommunication Services (3.2%) | |||
AT&T Inc. | 1,164,976 | 41,543 | |
Verizon | |||
Communications Inc. | 564,496 | 25,086 | |
CenturyLink Inc. | 123,189 | 4,865 | |
* | Crown Castle | ||
International Corp. | 51,317 | 3,010 | |
* | Sprint Nextel Corp. | 597,466 | 1,948 |
Windstream Corp. | 116,958 | 1,130 | |
Frontier | |||
Communications Corp. | 197,606 | 757 | |
* | MetroPCS | ||
Communications Inc. | 57,928 | 350 | |
78,689 | |||
Utilities (3.7%) | |||
Southern Co. | 172,903 | 8,005 | |
Exelon Corp. | 169,656 | 6,382 | |
Dominion Resources Inc. | 113,791 | 6,145 | |
Duke Energy Corp. | 265,598 | 6,125 | |
NextEra Energy Inc. | 83,018 | 5,712 | |
FirstEnergy Corp. | 83,208 | 4,093 | |
American Electric | |||
Power Co. Inc. | 95,952 | 3,829 | |
PG&E Corp. | 84,081 | 3,806 | |
Consolidated Edison Inc. | 58,132 | 3,615 | |
Progress Energy Inc. | 58,740 | 3,534 | |
Sempra Energy | 47,752 | 3,289 | |
Public Service | |||
Enterprise Group Inc. | 100,434 | 3,264 | |
PPL Corp. | 115,039 | 3,199 | |
Edison International | 64,733 | 2,991 | |
Xcel Energy Inc. | 96,924 | 2,754 | |
Northeast Utilities | 62,357 | 2,420 | |
Entergy Corp. | 35,035 | 2,379 | |
DTE Energy Co. | 33,579 | 1,992 | |
Wisconsin Energy Corp. | 45,742 | 1,810 | |
CenterPoint Energy Inc. | 84,988 | 1,757 | |
ONEOK Inc. | 41,224 | 1,744 | |
* | AES Corp. | 127,535 | 1,636 |
Ameren Corp. | 48,121 | 1,614 | |
NiSource Inc. | 56,343 | 1,395 | |
CMS Energy Corp. | 51,320 | 1,206 |
Market | ||
Value | ||
Shares | ($000) | |
Pinnacle West Capital Corp. | 21,640 | 1,120 |
SCANA Corp. | 23,188 | 1,109 |
AGL Resources Inc. | 23,189 | 899 |
Pepco Holdings Inc. | 45,155 | 884 |
Integrys Energy Group Inc. | 15,473 | 880 |
* NRG Energy Inc. | 44,974 | 781 |
TECO Energy Inc. | 42,750 | 772 |
91,141 | ||
Total Investments (100.1%) | ||
(Cost $1,957,695) | 2,446,704 | |
Other Assets and Liabilities (-0.1%) | ||
Other Assets | 8,603 | |
Liabilities | (10,194) | |
(1,591) | ||
Net Assets (100%) | 2,445,113 |
At June 30, 2012, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 2,028,213 |
Overdistributed Net Investment Income | (3,077) |
Accumulated Net Realized Losses | (69,032) |
Unrealized Appreciation (Depreciation) | 489,009 |
Net Assets | 2,445,113 |
Admiral Shares—Net Assets | |
Applicable to 35,133,223 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 2,144,876 |
Net Asset Value Per Share— | |
Admiral Shares | $61.05 |
Institutional Shares—Net Assets | |
Applicable to 10,106,381 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 300,237 |
Net Asset Value Per Share— | |
Institutional Shares | $29.71 |
See Note A in Notes to Financial Statements.
* Non-income-producing security.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
56
Tax-Managed Growth and Income Fund | |
Statement of Operations | |
Six Months Ended | |
June 30, 2012 | |
($000) | |
Investment Income | |
Income | |
Dividends | 25,379 |
Interest1 | 1 |
Total Income | 25,380 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 125 |
Management and Administrative—Admiral Shares | 859 |
Management and Administrative—Institutional Shares | 72 |
Marketing and Distribution—Admiral Shares | 274 |
Marketing and Distribution—Institutional Shares | 26 |
Custodian Fees | 23 |
Shareholders’ Reports—Admiral Shares | 8 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 1,388 |
Net Investment Income | 23,992 |
Realized Net Gain (Loss) on Investment Securities Sold | 19,297 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 170,099 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 213,388 |
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.
57
Tax-Managed Growth and Income Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 23,992 | 45,068 |
Realized Net Gain (Loss) | 19,297 | (28,111) |
Change in Unrealized Appreciation (Depreciation) | 170,099 | 27,238 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 213,388 | 44,195 |
Distributions | ||
Net Investment Income | ||
Investor Shares | — | (2,110) |
Admiral Shares | (20,905) | (37,797) |
Institutional Shares | (2,923) | (5,052) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (23,828) | (44,959) |
Capital Share Transactions | ||
Investor Shares | — | (521,190) |
Admiral Shares | (23,937) | 418,062 |
Institutional Shares | 11,018 | 44,908 |
Net Increase (Decrease) from Capital Share Transactions | (12,919) | (58,220) |
Total Increase (Decrease) | 176,641 | (58,984) |
Net Assets | ||
Beginning of Period | 2,268,472 | 2,327,456 |
End of Period1 | 2,445,113 | 2,268,472 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($3,077,000) and ($3,241,000).
See accompanying Notes, which are an integral part of the Financial Statements.
58
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 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $56.33 | $56.31 | $49.94 | $40.39 | $65.69 | $63.44 |
Investment Operations | ||||||
Net Investment Income | .599 | 1.104 | 1.017 | 1.036 | 1.212 | 1.230 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 4.717 | .018 | 6.374 | 9.532 | (25.276) | 2.245 |
Total from Investment Operations | 5.316 | 1.122 | 7.391 | 10.568 | (24.064) | 3.475 |
Distributions | ||||||
Dividends from Net Investment Income | (.596) | (1.102) | (1.021) | (1.018) | (1.236) | (1.225) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.596) | (1.102) | (1.021) | (1.018) | (1.236) | (1.225) |
Net Asset Value, End of Period | $61.05 | $56.33 | $56.31 | $49.94 | $40.39 | $65.69 |
Total Return1 | 9.44% | 2.00% | 14.99% | 26.54% | -37.00% | 5.47% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,145 | $2,001 | $1,614 | $1,466 | $1,203 | $2,113 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.12% | 0.12% | 0.12% | 0.15% | 0.10% | 0.09% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.99% | 1.93% | 1.98% | 2.40% | 2.19% | 1.86% |
Portfolio Turnover Rate | 4% | 6% | 6% | 38% | 8% | 5% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 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.
59
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 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $27.41 | $27.40 | $24.30 | $19.65 | $31.96 | $30.87 |
Investment Operations | ||||||
Net Investment Income | .298 | .549 | .506 | .515 | .598 | .604 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.298 | .009 | 3.101 | 4.642 | (12.299) | 1.089 |
Total from Investment Operations | 2.596 | .558 | 3.607 | 5.157 | (11.701) | 1.693 |
Distributions | ||||||
Dividends from Net Investment Income | (.296) | (.548) | (.507) | (.507) | (.609) | (.603) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.296) | (.548) | (.507) | (.507) | (.609) | (.603) |
Net Asset Value, End of Period | $29.71 | $27.41 | $27.40 | $24.30 | $19.65 | $31.96 |
Total Return1 | 9.47% | 2.05% | 15.04% | 26.63% | -36.98% | 5.47% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $300 | $267 | $225 | $200 | $263 | $469 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.09% | 0.07% | 0.07% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.03% | 1.97% | 2.02% | 2.46% | 2.22% | 1.88% |
Portfolio Turnover Rate | 4% | 6% | 6% | 38% | 8% | 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.
60
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 and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. 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.
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, 2008–2011), and for the period ended June 30, 2012, 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 were 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, 2012, the fund had contributed capital of $356,000 to Vanguard (included in Other Assets), representing 0.01% 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.
61
Tax-Managed Growth and Income Fund
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, 2012, 100% of the market value of the fund’s investments was determined 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, 2011, the fund had available capital loss carryforwards totaling $82,173,000 to offset future net capital gains. Of this amount $49,308,000 may be used to offset future net capital gains through December 31, 2016. Capital losses of $32,865,000 realized beginning in fiscal 2011 may be carried forward indefinitely but must be used before any expiring loss carryforwards. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2012; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2012, the cost of investment securities for tax purposes was $1,957,695,000. Net unrealized appreciation of investment securities for tax purposes was $489,009,000, consisting of unrealized gains of $730,345,000 on securities that had risen in value since their purchase and $241,336,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended June 30, 2012, the fund purchased $52,293,000 of investment securities and sold $61,960,000 of investment securities, other than temporary cash investments.
62
Tax-Managed Growth and Income Fund
F. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2012 | December 31, 2011 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | — | — | 9,282 | 325 |
Issued in Lieu of Cash Distributions | — | — | 1,877 | 65 |
Redeemed1,2 | — | — | (532,349) | (18,237) |
Net Increase (Decrease)—Investor Shares | — | — | (521,190) | (17,847) |
Admiral Shares | ||||
Issued2 | 36,074 | 596 | 578,240 | 9,701 |
Issued in Lieu of Cash Distributions | 16,726 | 274 | 30,196 | 537 |
Redeemed1 | (76,737) | (1,264) | (190,374) | (3,366) |
Net Increase (Decrease)—Admiral Shares | (23,937) | (394) | 418,062 | 6,872 |
Institutional Shares | ||||
Issued | 12,260 | 406 | 54,768 | 1,918 |
Issued in Lieu of Cash Distributions | 2,149 | 72 | 3,509 | 128 |
Redeemed1 | (3,391) | (118) | (13,369) | (506) |
Net Increase (Decrease)—Institutional Shares | 11,018 | 360 | 44,908 | 1,540 |
1 Net of redemption fees for fiscal 2011 of $66,000 (fund totals). Effective April 28, 2011, the redemption fee was eliminated.
2 For fiscal 2011, 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, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
63
Tax-Managed Capital Appreciation Fund
Fund Profile
As of June 30, 2012
Share-Class Characteristics | ||
Admiral | Institutional | |
Shares | Shares | |
Ticker Symbol | VTCLX | VTCIX |
Expense Ratio1 | 0.12% | 0.08% |
30-Day SEC Yield | 1.88% | 1.92% |
Portfolio Characteristics | |||
DJ | |||
Russell | U.S. Total | ||
1000 | Market | ||
Fund | Index | Index | |
Number of Stocks | 622 | 991 | 3,694 |
Median Market Cap $39.8B | $40.2B | $33.1B | |
Price/Earnings Ratio | 15.6x | 15.8x | 16.1x |
Price/Book Ratio | 2.1x | 2.2x | 2.1x |
Return on Equity | 18.8% | 18.7% | 18.1% |
Earnings Growth Rate | 9.7% | 9.7% | 9.4% |
Dividend Yield | 1.9% | 2.1% | 2.1% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 4% | — | — |
Short-Term Reserves | 0.1% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
Russell | U.S. Total | ||
1000 | Market | ||
Fund | Index | Index | |
Consumer Discretionary 12.2% | 11.9% | 11.9% | |
Consumer Staples | 10.4 | 10.2 | 9.8 |
Energy | 10.2 | 10.1 | 10.0 |
Financials | 15.1 | 15.4 | 15.9 |
Health Care | 11.9 | 11.8 | 12.0 |
Industrials | 10.9 | 10.8 | 10.8 |
Information Technology 19.3 | 19.1 | 19.1 | |
Materials | 3.9 | 3.9 | 3.9 |
Telecommunication | |||
Services | 3.0 | 3.0 | 2.9 |
Utilities | 3.1 | 3.8 | 3.7 |
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) | ||
Apple Inc. | Computer | |
Hardware | 3.9% | |
Exxon Mobil Corp. | Integrated Oil & | |
Gas | 2.9 | |
Microsoft Corp. | Systems Software | 1.6 |
International Business | IT Consulting & | |
Machines Corp. | Other Services | 1.6 |
General Electric Co. | Industrial | |
Conglomerates | 1.6 | |
AT&T Inc. | Integrated | |
Telecommunication | ||
Services | 1.6 | |
Chevron Corp. | Integrated Oil & | |
Gas | 1.6 | |
Johnson & Johnson | Pharmaceuticals | 1.4 |
Procter & Gamble Co. | Household | |
Products | 1.3 | |
Pfizer Inc. | Pharmaceuticals | 1.2 |
Top Ten | 18.7% |
The holdings listed exclude any temporary cash investments and equity index products.
Investment Focus
1 The expense ratios shown are from the prospectus dated April 26, 2012, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2012, the annualized expense ratios were 0.12% for Admiral Shares and 0.08% for Institutional Shares.
64
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, 2001, Through June 30, 2012
Tax-Managed Capital Appreciation Fund Admiral Shares |
Russell 1000 Index |
Note: For 2012, performance data reflect the six months ended June 30, 2012.
Average Annual Total Returns: Periods Ended June 30, 2012 | ||||
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Admiral Shares | 9/6/1994 | 4.02% | 0.38% | 5.97% |
Institutional Shares | 2/24/1999 | 4.06 | 0.42 | 6.01 |
See Financial Highlights for dividend and capital gains information.
65
Tax-Managed Capital Appreciation Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2012
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | |||
Value | |||
Shares | ($000) | ||
Common Stocks (100.0%) | |||
Consumer Discretionary (12.2%) | |||
McDonald’s Corp. | 306,260 | 27,113 | |
Walt Disney Co. | 545,936 | 26,478 | |
* | Amazon.com Inc. | 111,190 | 25,390 |
Home Depot Inc. | 471,000 | 24,958 | |
Comcast Corp. Class A | 755,371 | 24,149 | |
News Corp. Class A | 705,830 | 15,733 | |
Starbucks Corp. | 250,852 | 13,375 | |
Target Corp. | 227,300 | 13,227 | |
Time Warner Inc. | 328,649 | 12,653 | |
Lowe’s Cos. Inc. | 421,600 | 11,990 | |
Ford Motor Co. | 1,209,933 | 11,603 | |
* | DIRECTV Class A | 234,909 | 11,468 |
NIKE Inc. Class B | 121,600 | 10,674 | |
Yum! Brands Inc. | 163,460 | 10,530 | |
Viacom Inc. Class B | 171,033 | 8,042 | |
Time Warner Cable Inc. | 94,542 | 7,762 | |
Johnson Controls Inc. | 237,600 | 6,584 | |
Coach Inc. | 111,500 | 6,521 | |
Ross Stores Inc. | 96,892 | 6,053 | |
* | Bed Bath & Beyond Inc. | 97,215 | 6,008 |
* | Dollar Tree Inc. | 107,938 | 5,807 |
McGraw-Hill Cos. Inc. | 122,900 | 5,531 | |
* | Liberty Interactive Corp. | ||
Class A | 291,926 | 5,193 | |
Kohl’s Corp. | 112,150 | 5,102 | |
Marriott International Inc. | |||
Class A | 125,975 | 4,938 | |
* | AutoZone Inc. | 13,300 | 4,883 |
* | O’Reilly Automotive Inc. | 57,848 | 4,846 |
Starwood Hotels & | |||
Resorts Worldwide Inc. | 89,818 | 4,764 | |
Gap Inc. | 170,687 | 4,670 | |
* | Discovery | ||
Communications Inc. | 90,137 | 4,515 | |
PetSmart Inc. | 65,500 | 4,466 | |
* | General Motors Co. | 223,518 | 4,408 |
Las Vegas Sands Corp. | 100,440 | 4,368 |
Market | |||
Value | |||
Shares | ($000) | ||
Ralph Lauren Corp. Class A | 30,800 | 4,314 | |
Darden Restaurants Inc. | 83,850 | 4,245 | |
CBS Corp. Class B | 127,174 | 4,169 | |
* | Sirius XM Radio Inc. | 2,129,000 | 3,939 |
* | priceline.com Inc. | 5,925 | 3,937 |
* | Dollar General Corp. | 71,400 | 3,883 |
* | BorgWarner Inc. | 58,100 | 3,811 |
* | NVR Inc. | 4,440 | 3,774 |
* | Toll Brothers Inc. | 125,300 | 3,725 |
* | PulteGroup Inc. | 347,549 | 3,719 |
* | Liberty Global Inc. | 75,207 | 3,591 |
Scripps Networks | |||
Interactive Inc. Class A | 62,170 | 3,535 | |
TJX Cos. Inc. | 79,152 | 3,398 | |
PVH Corp. | 43,031 | 3,347 | |
* | CarMax Inc. | 128,143 | 3,324 |
Interpublic Group | |||
of Cos. Inc. | 294,400 | 3,194 | |
Advance Auto Parts Inc. | 46,302 | 3,159 | |
Brinker International Inc. | 98,650 | 3,144 | |
Expedia Inc. | 62,306 | 2,995 | |
Best Buy Co. Inc. | 141,084 | 2,957 | |
* | TripAdvisor Inc. | 62,306 | 2,784 |
* | Liberty Media Corp. - | ||
Liberty Capital Class A | 30,877 | 2,714 | |
John Wiley & Sons Inc. | |||
Class A | 53,700 | 2,631 | |
* | Apollo Group Inc. Class A | 72,229 | 2,614 |
Hasbro Inc. | 77,100 | 2,611 | |
Harley-Davidson Inc. | 56,800 | 2,598 | |
Omnicom Group Inc. | 50,600 | 2,459 | |
* | Mohawk Industries Inc. | 34,700 | 2,423 |
* | MGM Resorts International | 208,690 | 2,329 |
DR Horton Inc. | 126,366 | 2,323 | |
Gentex Corp. | 107,252 | 2,238 | |
* | AutoNation Inc. | 62,525 | 2,206 |
Foot Locker Inc. | 70,600 | 2,159 | |
* | Liberty Global Inc. Class A | 42,398 | 2,104 |
International | |||
Game Technology | 129,600 | 2,041 |
66
Tax-Managed Capital Appreciation Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Macy’s Inc. | 56,800 | 1,951 | |
Weight Watchers | |||
International Inc. | 36,200 | 1,867 | |
Harman International | |||
Industries Inc. | 43,600 | 1,727 | |
DeVry Inc. | 55,239 | 1,711 | |
Lennar Corp. Class A | 54,600 | 1,688 | |
* | Lamar Advertising Co. | ||
Class A | 56,186 | 1,607 | |
Nordstrom Inc. | 32,300 | 1,605 | |
Virgin Media Inc. | 62,269 | 1,519 | |
American Eagle | |||
Outfitters Inc. | 66,991 | 1,322 | |
Staples Inc. | 94,495 | 1,233 | |
Aaron’s Inc. | 37,182 | 1,053 | |
* | Sears Holdings Corp. | 14,700 | 878 |
Comcast Corp. | 26,219 | 823 | |
Abercrombie & Fitch Co. | 23,300 | 796 | |
Cablevision Systems Corp. | |||
Class A | 54,344 | 722 | |
* | Madison Square Garden Co. | ||
Class A | 13,586 | 509 | |
* | Hanesbrands Inc. | 18,286 | 507 |
* | AMC Networks Inc. Class A | 13,586 | 483 |
Chico’s FAS Inc. | 28,340 | 421 | |
Mattel Inc. | 12,557 | 407 | |
GameStop Corp. Class A | 20,430 | 375 | |
Wynn Resorts Ltd. | 2,000 | 207 | |
Lennar Corp. Class B | 8,300 | 199 | |
Carnival Corp. | 5,800 | 199 | |
Washington Post Co. Class B | 520 | 194 | |
476,199 | |||
Consumer Staples (10.4%) | |||
Procter & Gamble Co. | 802,178 | 49,133 | |
Coca-Cola Co. | 572,900 | 44,795 | |
Philip Morris | |||
International Inc. | 491,809 | 42,915 | |
Wal-Mart Stores Inc. | 509,028 | 35,489 | |
PepsiCo Inc. | 469,139 | 33,149 | |
CVS Caremark Corp. | 412,754 | 19,288 | |
Altria Group Inc. | 414,023 | 14,305 | |
Costco Wholesale Corp. | 146,000 | 13,870 | |
Kraft Foods Inc. | 348,826 | 13,472 | |
Colgate-Palmolive Co. | 115,900 | 12,065 | |
Walgreen Co. | 307,300 | 9,090 | |
Archer-Daniels-Midland Co. | 243,273 | 7,181 | |
Kroger Co. | 248,700 | 5,767 | |
Estee Lauder Cos. Inc. | |||
Class A | 100,700 | 5,450 | |
Hershey Co. | 75,300 | 5,424 | |
* | Monster Beverage Corp. | 71,200 | 5,069 |
Brown-Forman Corp. | |||
Class B | 51,646 | 5,002 | |
Dr Pepper Snapple | |||
Group Inc. | 114,200 | 4,996 |
Market | ||||
Value | ||||
Shares | ($000) | |||
Clorox Co. | 66,120 | 4,791 | ||
McCormick & Co. Inc. | 76,100 | 4,615 | ||
Church & Dwight Co. Inc. | 81,388 | 4,515 | ||
Coca-Cola Enterprises Inc. | 153,000 | 4,290 | ||
* | Constellation Brands Inc. | |||
Class A | 151,500 | 4,100 | ||
Bunge Ltd. | 62,800 | 3,940 | ||
JM Smucker Co. | 49,024 | 3,702 | ||
Kimberly-Clark Corp. | 43,340 | 3,631 | ||
Mead Johnson Nutrition Co. | 42,525 | 3,424 | ||
General Mills Inc. | 88,800 | 3,422 | ||
* | Energizer Holdings Inc. | 44,725 | 3,366 | |
Tyson Foods Inc. Class A | 177,944 | 3,351 | ||
Campbell Soup Co. | 97,400 | 3,251 | ||
Hormel Foods Corp. | 105,200 | 3,200 | ||
* | Smithfield Foods Inc. | 145,950 | 3,157 | |
Whole Foods Market Inc. | 32,840 | 3,130 | ||
Ingredion Inc. | 62,700 | 3,105 | ||
Safeway Inc. | 170,462 | 3,094 | ||
* | Ralcorp Holdings Inc. | 45,783 | 3,056 | |
Molson Coors Brewing Co. | ||||
Class B | 71,900 | 2,992 | ||
* | Dean Foods Co. | 163,416 | 2,783 | |
* | Green Mountain Coffee | |||
Roasters Inc. | 52,509 | 1,144 | ||
Kellogg Co. | 22,800 | 1,125 | ||
Avon Products Inc. | 59,300 | 961 | ||
Sysco Corp. | 17,111 | 510 | ||
ConAgra Foods Inc. | 11,200 | 290 | ||
Hillshire Brands Co. | 8,920 | 259 | ||
Nu Skin Enterprises Inc. | ||||
Class A | 4,600 | 216 | ||
DE Master Blenders | 892 | 10 | ||
405,890 | ||||
Energy (10.2%) | ||||
Exxon Mobil Corp. | 1,327,064 | 113,557 | ||
Chevron Corp. | 573,638 | 60,519 | ||
Schlumberger Ltd. | 375,599 | 24,380 | ||
ConocoPhillips | 315,926 | 17,654 | ||
Occidental Petroleum Corp. | 190,339 | 16,325 | ||
Apache Corp. | 126,217 | 11,093 | ||
Anadarko Petroleum Corp. | 164,623 | 10,898 | ||
National Oilwell Varco Inc. | 146,541 | 9,443 | ||
Devon Energy Corp. | 145,622 | 8,445 | ||
EOG Resources Inc. | 88,300 | 7,957 | ||
Williams Cos. Inc. | 232,200 | 6,692 | ||
Baker Hughes Inc. | 150,671 | 6,193 | ||
Noble Energy Inc. | 72,000 | 6,107 | ||
* | Phillips 66 | 157,963 | 5,251 | |
Hess Corp. | 109,600 | 4,762 | ||
Pioneer Natural | ||||
Resources Co. | 53,737 | 4,740 | ||
* | Cameron International Corp. 109,002 | 4,655 | ||
* | Southwestern Energy Co. | 145,700 | 4,652 | |
Range Resources Corp. | 72,800 | 4,504 |
67
Tax-Managed Capital Appreciation Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Halliburton Co. | 158,200 | 4,491 | |
Valero Energy Corp. | 182,480 | 4,407 | |
Cabot Oil & Gas Corp. | 108,670 | 4,282 | |
* | FMC Technologies Inc. | 107,100 | 4,202 |
EQT Corp. | 67,900 | 3,641 | |
QEP Resources Inc. | 103,165 | 3,092 | |
* | Concho Resources Inc. | 35,300 | 3,005 |
* | Denbury Resources Inc. | 184,776 | 2,792 |
* | Rowan Cos. plc Class A | 85,600 | 2,767 |
* | Dresser-Rand Group Inc. | 61,355 | 2,733 |
Peabody Energy Corp. | 108,100 | 2,651 | |
* | Continental Resources Inc. | 39,400 | 2,625 |
Energen Corp. | 56,100 | 2,532 | |
Helmerich & Payne Inc. | 57,980 | 2,521 | |
Cimarex Energy Co. | 43,499 | 2,398 | |
Marathon Oil Corp. | 92,900 | 2,375 | |
* | Plains Exploration & | ||
Production Co. | 66,760 | 2,349 | |
Diamond Offshore | |||
Drilling Inc. | 39,700 | 2,347 | |
SM Energy Co. | 43,156 | 2,119 | |
Marathon Petroleum Corp. | 46,450 | 2,087 | |
* | Newfield Exploration Co. | 66,098 | 1,937 |
* | SandRidge Energy Inc. | 262,914 | 1,759 |
* | WPX Energy Inc. | 77,400 | 1,252 |
CONSOL Energy Inc. | 33,900 | 1,025 | |
* | Nabors Industries Ltd. | 67,300 | 969 |
* | Tesoro Corp. | 26,500 | 661 |
* | Unit Corp. | 12,800 | 472 |
Chesapeake Energy Corp. | 25,211 | 469 | |
Patterson-UTI Energy Inc. | 21,200 | 309 | |
* | Ultra Petroleum Corp. | 12,870 | 297 |
Kinder Morgan Inc. | 8,193 | 264 | |
* | Superior Energy | ||
Services Inc. | 1,048 | 21 | |
396,678 | |||
Financials (15.1%) | |||
* | Berkshire Hathaway Inc. | ||
Class B | 523,945 | 43,660 | |
Wells Fargo & Co. | 1,236,508 | 41,349 | |
JPMorgan Chase & Co. | 1,126,421 | 40,247 | |
Bank of America Corp. | 2,583,633 | 21,134 | |
American Express Co. | 323,300 | 18,819 | |
Citigroup Inc. | 681,300 | 18,674 | |
Simon Property Group Inc. | 98,448 | 15,324 | |
Goldman Sachs Group Inc. | 139,830 | 13,404 | |
US Bancorp | 392,700 | 12,629 | |
American | |||
Tower Corporation | 145,800 | 10,193 | |
State Street Corp. | 191,478 | 8,548 | |
Public Storage | 55,200 | 7,971 | |
Prudential Financial Inc. | 161,904 | 7,841 | |
Discover Financial Services | 215,100 | 7,438 | |
Aflac Inc. | 172,500 | 7,347 | |
Equity Residential | 115,600 | 7,209 |
Market | |||
Value | |||
Shares | ($000) | ||
Boston Properties Inc. | 60,200 | 6,524 | |
Travelers Cos. Inc. | 101,877 | 6,504 | |
Franklin Resources Inc. | 58,200 | 6,460 | |
Capital One Financial Corp. | 117,800 | 6,439 | |
T. Rowe Price Group Inc. | 92,978 | 5,854 | |
Progressive Corp. | 276,700 | 5,764 | |
Loews Corp. | 138,908 | 5,683 | |
AvalonBay Communities Inc. | 38,375 | 5,429 | |
MetLife Inc. | 175,820 | 5,424 | |
SunTrust Banks Inc. | 216,990 | 5,258 | |
Host Hotels & Resorts Inc. | 328,172 | 5,192 | |
Ameriprise Financial Inc. | 98,860 | 5,166 | |
Fifth Third Bancorp | 368,920 | 4,944 | |
Charles Schwab Corp. | 377,200 | 4,877 | |
General Growth | |||
Properties Inc. | 252,757 | 4,572 | |
* | CIT Group Inc. | 114,835 | 4,093 |
SL Green Realty Corp. | 50,810 | 4,077 | |
CME Group Inc. | 14,701 | 3,941 | |
M&T Bank Corp. | 46,286 | 3,822 | |
* | American International | ||
Group Inc. | 115,680 | 3,712 | |
* | Affiliated Managers | ||
Group Inc. | 33,850 | 3,705 | |
WR Berkley Corp. | 94,897 | 3,693 | |
Bank of New York | |||
Mellon Corp. | 167,906 | 3,686 | |
* | Arch Capital Group Ltd. | 92,500 | 3,671 |
* | Alleghany Corp. | 10,759 | 3,655 |
PNC Financial Services | |||
Group Inc. | 59,631 | 3,644 | |
Plum Creek Timber Co. Inc. | 91,500 | 3,633 | |
Allstate Corp. | 102,300 | 3,590 | |
KeyCorp | 457,769 | 3,543 | |
* | CBRE Group Inc. Class A | 215,090 | 3,519 |
* | Markel Corp. | 7,930 | 3,503 |
Morgan Stanley | 238,900 | 3,486 | |
Torchmark Corp. | 68,650 | 3,470 | |
East West Bancorp Inc. | 145,700 | 3,418 | |
Taubman Centers Inc. | 43,500 | 3,356 | |
Lincoln National Corp. | 150,986 | 3,302 | |
* | American Capital Ltd. | 323,503 | 3,258 |
Brown & Brown Inc. | 118,600 | 3,234 | |
White Mountains | |||
Insurance Group Ltd. | 6,191 | 3,230 | |
Unum Group | 166,800 | 3,191 | |
DDR Corp. | 216,364 | 3,168 | |
Principal Financial Group Inc. | 120,400 | 3,158 | |
Reinsurance Group | |||
of America Inc. Class A | 58,819 | 3,130 | |
Raymond James | |||
Financial Inc. | 89,650 | 3,070 | |
* | First Republic Bank | 90,257 | 3,033 |
TD Ameritrade Holding Corp. | 174,400 | 2,965 | |
Hospitality Properties Trust | 119,270 | 2,954 |
68
Tax-Managed Capital Appreciation Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Douglas Emmett Inc. | 127,273 | 2,940 | |
Apartment Investment | |||
& Management Co. | |||
Class A | 108,443 | 2,931 | |
HCC Insurance Holdings Inc. | 91,600 | 2,876 | |
Camden Property Trust | 42,400 | 2,869 | |
Jones Lang LaSalle Inc. | 40,577 | 2,855 | |
Equity Lifestyle | |||
Properties Inc. | 40,500 | 2,793 | |
* | Popular Inc. | 165,844 | 2,755 |
Cullen/Frost Bankers Inc. | 47,600 | 2,736 | |
* | Forest City Enterprises Inc. | ||
Class A | 183,891 | 2,685 | |
Zions Bancorporation | 136,284 | 2,647 | |
Assurant Inc. | 75,300 | 2,623 | |
Alexandria Real Estate | |||
Equities Inc. | 35,930 | 2,613 | |
NASDAQ OMX Group Inc. | 114,892 | 2,605 | |
Moody’s Corp. | 70,100 | 2,562 | |
* | MBIA Inc. | 235,700 | 2,548 |
Commerce Bancshares Inc. | 66,871 | 2,534 | |
Leucadia National Corp. | 116,219 | 2,472 | |
* | Howard Hughes Corp. | 39,999 | 2,466 |
SEI Investments Co. | 123,770 | 2,462 | |
BlackRock Inc. | 14,450 | 2,454 | |
* | St. Joe Co. | 147,091 | 2,325 |
Eaton Vance Corp. | 86,202 | 2,323 | |
* | TFS Financial Corp. | 235,775 | 2,252 |
Associated Banc-Corp | 170,670 | 2,251 | |
Chubb Corp. | 30,900 | 2,250 | |
BOK Financial Corp. | 38,571 | 2,245 | |
Retail Properties | |||
of America Inc. | 226,600 | 2,203 | |
Digital Realty Trust Inc. | 28,440 | 2,135 | |
City National Corp. | 42,000 | 2,040 | |
People’s United | |||
Financial Inc. | 174,014 | 2,020 | |
First Horizon National Corp. | 227,345 | 1,967 | |
Hanover Insurance | |||
Group Inc. | 49,600 | 1,941 | |
SLM Corp. | 123,245 | 1,936 | |
CNA Financial Corp. | 69,500 | 1,927 | |
StanCorp Financial Group Inc. | 50,600 | 1,880 | |
BB&T Corp. | 53,000 | 1,635 | |
* | IntercontinentalExchange Inc. | 11,907 | 1,619 |
First Citizens | |||
BancShares Inc. Class A | 9,642 | 1,607 | |
Hudson City Bancorp Inc. | 251,902 | 1,605 | |
Northern Trust Corp. | 34,773 | 1,600 | |
Janus Capital Group Inc. | 203,766 | 1,593 | |
Prologis Inc. | 44,814 | 1,489 | |
Lazard Ltd. Class A | 55,686 | 1,447 | |
ACE Ltd. | 18,102 | 1,342 | |
American Financial | |||
Group Inc. | 32,200 | 1,263 |
Market | |||
Value | |||
Shares | ($000) | ||
Legg Mason Inc. | 47,500 | 1,253 | |
Hartford Financial | |||
Services Group Inc. | 64,184 | 1,132 | |
New York Community | |||
Bancorp Inc. | 86,400 | 1,083 | |
BRE Properties Inc. | 21,500 | 1,075 | |
* | Signature Bank | 15,300 | 933 |
Bank of Hawaii Corp. | 20,100 | 924 | |
Federal Realty | |||
Investment Trust | 8,200 | 854 | |
Aon plc | 16,400 | 767 | |
Interactive Brokers | |||
Group Inc. | 51,335 | 756 | |
* | E*TRADE Financial Corp. | 74,916 | 602 |
* | Genworth Financial Inc. | ||
Class A | 96,700 | 547 | |
Invesco Ltd. | 12,010 | 271 | |
Essex Property Trust Inc. | 300 | 46 | |
587,351 | |||
Health Care (11.9%) | |||
Johnson & Johnson | 801,298 | 54,136 | |
Pfizer Inc. | 2,052,484 | 47,207 | |
Merck & Co. Inc. | 790,626 | 33,009 | |
Abbott Laboratories | 407,600 | 26,278 | |
UnitedHealth Group Inc. | 328,662 | 19,227 | |
Amgen Inc. | 234,487 | 17,127 | |
* | Express Scripts | ||
Holding Co. | 266,995 | 14,906 | |
* | Gilead Sciences Inc. | 256,600 | 13,158 |
* | Biogen Idec Inc. | 82,861 | 11,963 |
Bristol-Myers Squibb Co. | 327,241 | 11,764 | |
Medtronic Inc. | 263,600 | 10,209 | |
Allergan Inc. | 108,530 | 10,047 | |
* | Celgene Corp. | 153,819 | 9,869 |
WellPoint Inc. | 124,216 | 7,924 | |
Thermo Fisher | |||
Scientific Inc. | 147,706 | 7,667 | |
McKesson Corp. | 73,424 | 6,883 | |
Baxter International Inc. | 127,341 | 6,768 | |
Eli Lilly & Co. | 155,695 | 6,681 | |
Cardinal Health Inc. | 145,512 | 6,111 | |
Becton Dickinson and Co. | 80,600 | 6,025 | |
Stryker Corp. | 109,200 | 6,017 | |
Agilent Technologies Inc. | 151,706 | 5,953 | |
Humana Inc. | 72,800 | 5,638 | |
St. Jude Medical Inc. | 139,832 | 5,581 | |
Aetna Inc. | 138,944 | 5,387 | |
Perrigo Co. | 44,840 | 5,288 | |
Zimmer Holdings Inc. | 81,170 | 5,224 | |
Cigna Corp. | 118,300 | 5,205 | |
* | Forest Laboratories Inc. | 143,600 | 5,024 |
AmerisourceBergen Corp. | |||
Class A | 127,300 | 5,009 | |
* | Laboratory Corp. | ||
of America Holdings | 51,900 | 4,806 |
69
Tax-Managed Capital Appreciation Fund | ||||
Market | ||||
Value | ||||
Shares | ($000) | |||
* | Watson | |||
Pharmaceuticals Inc. | 63,683 | 4,712 | ||
* | Mylan Inc. | 218,137 | 4,662 | |
Quest Diagnostics Inc. | 72,800 | 4,361 | ||
* | Henry Schein Inc. | 55,100 | 4,325 | |
* | Life Technologies Corp. | 95,435 | 4,294 | |
* | Waters Corp. | 50,250 | 3,993 | |
* | Hospira Inc. | 104,140 | 3,643 | |
DENTSPLY | ||||
International Inc. | 93,300 | 3,528 | ||
* | Mettler-Toledo | |||
International Inc. | 22,100 | 3,444 | ||
* | Amylin Pharmaceuticals Inc. | 117,875 | 3,328 | |
CR Bard Inc. | 29,300 | 3,148 | ||
* | Endo Health Solutions Inc. | 95,447 | 2,957 | |
Universal Health | ||||
Services Inc. Class B | 67,400 | 2,909 | ||
PerkinElmer Inc. | 106,204 | 2,740 | ||
Lincare Holdings Inc. | 78,950 | 2,686 | ||
Coventry Health Care Inc. | 81,025 | 2,576 | ||
Patterson Cos. Inc. | 73,530 | 2,534 | ||
* | CareFusion Corp. | 97,796 | 2,511 | |
Teleflex Inc. | 37,000 | 2,254 | ||
Covidien plc | 33,900 | 1,814 | ||
* | Health Net Inc. | 74,200 | 1,801 | |
* | Varian Medical Systems Inc. | 28,200 | 1,714 | |
* | Vertex Pharmaceuticals Inc. | 28,588 | 1,599 | |
Omnicare Inc. | 40,900 | 1,277 | ||
* | Boston Scientific Corp. | 205,500 | 1,165 | |
* | Warner Chilcott plc Class A | 24,818 | 445 | |
* | Intuitive Surgical Inc. | 630 | 349 | |
Cooper Cos. Inc. | 3,600 | 287 | ||
* | DaVita Inc. | 2,200 | 216 | |
Techne Corp. | 2,000 | 148 | ||
461,511 | ||||
Industrials (10.9%) | ||||
General Electric Co. | 2,917,272 | 60,796 | ||
United Technologies Corp. | 280,100 | 21,156 | ||
Boeing Co. | 236,770 | 17,592 | ||
Union Pacific Corp. | 123,914 | 14,784 | ||
3M Co. | 154,200 | 13,816 | ||
United Parcel Service Inc. | ||||
Class B | 147,300 | 11,601 | ||
Caterpillar Inc. | 128,820 | 10,938 | ||
FedEx Corp. | 110,700 | 10,141 | ||
Danaher Corp. | 194,200 | 10,114 | ||
Norfolk Southern Corp. | 125,650 | 9,018 | ||
CSX Corp. | 398,800 | 8,917 | ||
Illinois Tool Works Inc. | 163,500 | 8,648 | ||
Precision Castparts Corp. | 52,100 | 8,570 | ||
Deere & Co. | 104,800 | 8,475 | ||
General Dynamics Corp. | 124,400 | 8,205 | ||
Honeywell International Inc. | 131,400 | 7,337 | ||
Cummins Inc. | 75,400 | 7,307 | ||
Emerson Electric Co. | 142,400 | 6,633 |
Market | |||
Value | |||
Shares | ($000) | ||
PACCAR Inc. | 142,910 | 5,601 | |
Parker Hannifin Corp. | 67,500 | 5,189 | |
WW Grainger Inc. | 27,000 | 5,163 | |
Fastenal Co. | 126,000 | 5,079 | |
Raytheon Co. | 88,118 | 4,987 | |
Roper Industries Inc. | 49,600 | 4,890 | |
Waste Management Inc. | 140,297 | 4,686 | |
Northrop Grumman Corp. | 72,268 | 4,610 | |
* | Stericycle Inc. | 48,408 | 4,438 |
AMETEK Inc. | 88,650 | 4,425 | |
CH Robinson Worldwide Inc. | 74,090 | 4,337 | |
Fluor Corp. | 81,200 | 4,006 | |
L-3 Communications | |||
Holdings Inc. | 54,000 | 3,997 | |
Expeditors International | |||
of Washington Inc. | 101,061 | 3,916 | |
* | Quanta Services Inc. | 159,348 | 3,836 |
Pall Corp. | 69,300 | 3,798 | |
Flowserve Corp. | 33,000 | 3,787 | |
Equifax Inc. | 81,200 | 3,784 | |
JB Hunt Transport | |||
Services Inc. | 63,096 | 3,761 | |
Rockwell Collins Inc. | 73,700 | 3,637 | |
* | Jacobs Engineering | ||
Group Inc. | 91,366 | 3,459 | |
Donaldson Co. Inc. | 103,200 | 3,444 | |
Southwest Airlines Co. | 351,687 | 3,243 | |
Carlisle Cos. Inc. | 56,500 | 2,996 | |
Joy Global Inc. | 52,500 | 2,978 | |
* | WABCO Holdings Inc. | 56,041 | 2,966 |
Toro Co. | 40,100 | 2,939 | |
Valmont Industries Inc. | 23,637 | 2,859 | |
* | Owens Corning | 99,837 | 2,849 |
Landstar System Inc. | 54,289 | 2,808 | |
IDEX Corp. | 71,845 | 2,801 | |
Wabtec Corp. | 35,800 | 2,793 | |
MSC Industrial | |||
Direct Co. Inc. Class A | 41,700 | 2,733 | |
Cintas Corp. | 70,766 | 2,732 | |
* | Huntington Ingalls | ||
Industries Inc. | 65,905 | 2,652 | |
Dun & Bradstreet Corp. | 36,200 | 2,576 | |
* | Verisk Analytics Inc. Class A | 51,500 | 2,537 |
Robert Half International Inc. | 87,500 | 2,500 | |
* | Navistar International Corp. | 88,034 | 2,498 |
SPX Corp. | 37,400 | 2,443 | |
Lockheed Martin Corp. | 28,020 | 2,440 | |
* | CNH Global NV | 58,469 | 2,272 |
* | Oshkosh Corp. | 106,357 | 2,228 |
KBR Inc. | 89,249 | 2,205 | |
Xylem Inc. | 87,100 | 2,192 | |
Manpower Inc. | 54,600 | 2,001 | |
Iron Mountain Inc. | 57,536 | 1,896 | |
* | Terex Corp. | 99,066 | 1,766 |
* | TransDigm Group Inc. | 13,034 | 1,750 |
70
Tax-Managed Capital Appreciation Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Stanley Black & Decker Inc. | 26,745 | 1,721 | |
Con-way Inc. | 46,800 | 1,690 | |
Alliant Techsystems Inc. | 33,100 | 1,674 | |
Lennox International Inc. | 35,090 | 1,636 | |
Textron Inc. | 61,020 | 1,518 | |
Tyco International Ltd. | 25,300 | 1,337 | |
Graco Inc. | 27,658 | 1,274 | |
UTi Worldwide Inc. | 77,587 | 1,134 | |
Gardner Denver Inc. | 19,846 | 1,050 | |
Exelis Inc. | 87,100 | 859 | |
ITT Corp. | 43,550 | 766 | |
Manitowoc Co. Inc. | 62,200 | 728 | |
Republic Services Inc. | |||
Class A | 19,512 | 516 | |
* | AGCO Corp. | 10,600 | 485 |
* | Babcock & Wilcox Co. | 10,920 | 268 |
* | KAR Auction Services Inc. | 10,953 | 188 |
Ryder System Inc. | 3,600 | 130 | |
* | Fortune Brands Home | ||
& Security Inc. | 2,546 | 57 | |
424,562 | |||
Information Technology (19.3%) | |||
* | Apple Inc. | 263,100 | 153,650 |
Microsoft Corp. | 2,063,000 | 63,107 | |
International Business | |||
Machines Corp. | 315,858 | 61,776 | |
* | Google Inc. Class A | 76,058 | 44,119 |
Intel Corp. | 1,303,330 | 34,734 | |
Oracle Corp. | 1,143,334 | 33,957 | |
Cisco Systems Inc. | 1,637,600 | 28,118 | |
QUALCOMM Inc. | 415,720 | 23,147 | |
Visa Inc. Class A | 157,298 | 19,447 | |
* | EMC Corp. | 661,500 | 16,954 |
* | eBay Inc. | 376,518 | 15,818 |
Mastercard Inc. Class A | 35,440 | 15,243 | |
Hewlett-Packard Co. | 632,423 | 12,718 | |
Texas Instruments Inc. | 389,800 | 11,183 | |
* | Yahoo! Inc. | 497,420 | 7,874 |
Intuit Inc. | 124,760 | 7,405 | |
* | Cognizant Technology | ||
Solutions Corp. Class A | 119,097 | 7,146 | |
* | Adobe Systems Inc. | 213,200 | 6,901 |
Broadcom Corp. Class A | 203,950 | 6,894 | |
* | Citrix Systems Inc. | 80,756 | 6,779 |
Corning Inc. | 504,200 | 6,519 | |
* | Teradata Corp. | 82,574 | 5,946 |
Accenture plc Class A | 88,713 | 5,331 | |
* | Dell Inc. | 415,500 | 5,202 |
CA Inc. | 191,266 | 5,181 | |
* | Fiserv Inc. | 70,050 | 5,059 |
Western Union Co. | 298,095 | 5,020 | |
* | Symantec Corp. | 339,351 | 4,958 |
Applied Materials Inc. | 417,500 | 4,785 | |
Altera Corp. | 140,647 | 4,759 | |
Xerox Corp. | 577,604 | 4,546 |
Market | |||
Value | |||
Shares | ($000) | ||
KLA-Tencor Corp. | 90,600 | 4,462 | |
Analog Devices Inc. | 118,166 | 4,451 | |
Fidelity National Information | |||
Services Inc. | 130,478 | 4,447 | |
* | NetApp Inc. | 137,963 | 4,390 |
Amphenol Corp. Class A | 79,800 | 4,383 | |
* | Autodesk Inc. | 123,488 | 4,321 |
* | BMC Software Inc. | 96,266 | 4,109 |
Linear Technology Corp. | 124,200 | 3,891 | |
* | NVIDIA Corp. | 255,244 | 3,527 |
* | Western Digital Corp. | 114,100 | 3,478 |
* | Lam Research Corp. | 91,845 | 3,466 |
* | Avnet Inc. | 105,400 | 3,253 |
* | Synopsys Inc. | 108,990 | 3,208 |
Global Payments Inc. | 69,217 | 2,992 | |
* | Cadence Design | ||
Systems Inc. | 258,160 | 2,837 | |
* | AOL Inc. | 98,840 | 2,775 |
* | Arrow Electronics Inc. | 84,500 | 2,772 |
* | LSI Corp. | 428,628 | 2,730 |
* | CoreLogic Inc. | 147,500 | 2,701 |
* | Tech Data Corp. | 55,510 | 2,674 |
Automatic Data | |||
Processing Inc. | 47,100 | 2,622 | |
* | Compuware Corp. | 276,640 | 2,570 |
Xilinx Inc. | 71,336 | 2,395 | |
Motorola Solutions Inc. | 49,604 | 2,386 | |
DST Systems Inc. | 42,800 | 2,324 | |
* | NCR Corp. | 99,574 | 2,263 |
* | Ingram Micro Inc. | 125,000 | 2,184 |
Microchip Technology Inc. | 65,100 | 2,154 | |
* | Fairchild Semiconductor | ||
International Inc. Class A | 147,958 | 2,086 | |
* | Zynga Inc. Class A | 382,800 | 2,082 |
Computer Sciences Corp. | 78,900 | 1,958 | |
* | Juniper Networks Inc. | 119,000 | 1,941 |
Total System Services Inc. | 74,759 | 1,789 | |
* | Atmel Corp. | 248,700 | 1,666 |
* | Teradyne Inc. | 110,200 | 1,549 |
Lender Processing | |||
Services Inc. | 61,250 | 1,548 | |
Lexmark International Inc. | |||
Class A | 50,300 | 1,337 | |
* | Alliance Data Systems Corp. | 9,600 | 1,296 |
Broadridge Financial | |||
Solutions Inc. | 58,725 | 1,249 | |
IAC/InterActiveCorp | 24,515 | 1,118 | |
* | Electronic Arts Inc. | 90,200 | 1,114 |
* | Zebra Technologies Corp. | 27,257 | 937 |
Solera Holdings Inc. | 22,096 | 923 | |
Molex Inc. | 24,751 | 593 | |
* | Advanced Micro Devices Inc. | 81,100 | 465 |
Activision Blizzard Inc. | 32,800 | 393 | |
* | Micron Technology Inc. | 56,400 | 356 |
* | Salesforce.com Inc. | 1,400 | 194 |
71
Tax-Managed Capital Appreciation Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Harris Corp. | 4,300 | 180 | |
* | VeriSign Inc. | 2,305 | 100 |
748,915 | |||
Materials (3.9%) | |||
Praxair Inc. | 105,400 | 11,460 | |
Freeport-McMoRan Copper | |||
& Gold Inc. | 294,908 | 10,048 | |
EI du Pont de Nemours | |||
& Co. | 160,300 | 8,106 | |
Newmont Mining Corp. | 164,386 | 7,974 | |
Ecolab Inc. | 109,138 | 7,479 | |
Monsanto Co. | 82,434 | 6,824 | |
CF Industries Holdings Inc. | 30,200 | 5,851 | |
LyondellBasell | |||
Industries NV Class A | 140,900 | 5,674 | |
Dow Chemical Co. | 178,640 | 5,627 | |
Nucor Corp. | 129,600 | 4,912 | |
Sigma-Aldrich Corp. | 63,400 | 4,687 | |
FMC Corp. | 78,000 | 4,172 | |
Airgas Inc. | 48,100 | 4,041 | |
Mosaic Co. | 71,400 | 3,910 | |
Ball Corp. | 91,200 | 3,744 | |
Albemarle Corp. | 60,400 | 3,602 | |
* | Crown Holdings Inc. | 103,000 | 3,553 |
Solutia Inc. | 117,550 | 3,297 | |
* | WR Grace & Co. | 62,089 | 3,132 |
* | Owens-Illinois Inc. | 150,280 | 2,881 |
Celanese Corp. Class A | 82,811 | 2,867 | |
* | Allied Nevada Gold Corp. | 99,213 | 2,816 |
Rockwood Holdings Inc. | 62,760 | 2,783 | |
Cytec Industries Inc. | 46,300 | 2,715 | |
* | Molycorp Inc. | 117,800 | 2,539 |
* | Intrepid Potash Inc. | 111,125 | 2,529 |
Martin Marietta Materials Inc. | 30,600 | 2,412 | |
Reliance Steel | |||
& Aluminum Co. | 46,300 | 2,338 | |
Cliffs Natural Resources Inc. | 42,761 | 2,108 | |
Scotts Miracle-Gro Co. | |||
Class A | 51,099 | 2,101 | |
Allegheny Technologies Inc. | 60,900 | 1,942 | |
Vulcan Materials Co. | 41,800 | 1,660 | |
Sealed Air Corp. | 106,072 | 1,638 | |
United States Steel Corp. | 79,356 | 1,635 | |
Royal Gold Inc. | 20,686 | 1,622 | |
Titanium Metals Corp. | 139,110 | 1,573 | |
Valspar Corp. | 23,400 | 1,228 | |
International Paper Co. | 35,900 | 1,038 | |
Packaging Corp. of America | 26,600 | 751 | |
Southern Copper Corp. | 21,224 | 669 | |
Walter Energy Inc. | 11,780 | 520 | |
Air Products & Chemicals Inc. | 5,700 | 460 | |
* | Tahoe Resources Inc. | 27,000 | 375 |
151,293 |
Market | |||
Value | |||
Shares | ($000) | ||
Telecommunication Services (3.0%) | |||
AT&T Inc. | 1,702,979 | 60,728 | |
Verizon | |||
Communications Inc. | 711,342 | 31,612 | |
* | Crown Castle | ||
International Corp. | 124,900 | 7,327 | |
* | Sprint Nextel Corp. | 1,404,038 | 4,577 |
* | SBA Communications Corp. | ||
Class A | 72,050 | 4,111 | |
CenturyLink Inc. | 94,364 | 3,726 | |
* | United States Cellular Corp. | 44,516 | 1,719 |
Telephone & Data | |||
Systems Inc. | 80,594 | 1,716 | |
* | Level 3 | ||
Communications Inc. | 58,413 | 1,294 | |
Frontier | |||
Communications Corp. | 126,223 | 483 | |
117,293 | |||
Utilities (3.1%) | |||
NextEra Energy Inc. | 122,451 | 8,426 | |
Sempra Energy | 100,036 | 6,890 | |
Exelon Corp. | 182,000 | 6,847 | |
FirstEnergy Corp. | 137,900 | 6,783 | |
PG&E Corp. | 145,600 | 6,591 | |
Edison International | 142,500 | 6,584 | |
Northeast Utilities | 149,399 | 5,798 | |
Southern Co. | 124,900 | 5,783 | |
Entergy Corp. | 77,000 | 5,228 | |
Wisconsin Energy Corp. | 125,000 | 4,946 | |
* | AES Corp. | 359,398 | 4,611 |
CenterPoint Energy Inc. | 213,800 | 4,419 | |
CMS Energy Corp. | 173,986 | 4,089 | |
* | Calpine Corp. | 236,180 | 3,899 |
Duke Energy Corp. | 163,592 | 3,772 | |
Dominion Resources Inc. | 67,086 | 3,623 | |
SCANA Corp. | 74,200 | 3,550 | |
NV Energy Inc. | 201,083 | 3,535 | |
Integrys Energy Group Inc. | 61,481 | 3,496 | |
* | NRG Energy Inc. | 198,906 | 3,453 |
American Water Works | |||
Co. Inc. | 87,200 | 2,989 | |
MDU Resources Group Inc. | 137,050 | 2,962 | |
ITC Holdings Corp. | 40,293 | 2,777 | |
Aqua America Inc. | 107,583 | 2,685 | |
Questar Corp. | 115,800 | 2,416 | |
Public Service Enterprise | |||
Group Inc. | 69,800 | 2,269 | |
UGI Corp. | 34,466 | 1,014 | |
National Fuel Gas Co. | 19,487 | 916 | |
NiSource Inc. | 35,920 | 889 | |
American Electric Power | |||
Co. Inc. | 9,300 | 371 | |
121,611 | |||
Total Common Stocks | |||
(Cost $2,773,506) | 3,891,303 |
72
Tax-Managed Capital Appreciation Fund
Market | ||
Value | ||
Shares | ($000) | |
Temporary Cash Investment (0.1%) | ||
Money Market Fund (0.1%) | ||
1 Vanguard Market | ||
Liquidity Fund, 0.148% | ||
(Cost $4,240) | 4,239,720 | 4,240 |
Total Investments (100.1%) | ||
(Cost $2,777,746) | 3,895,543 | |
Other Assets and Liabilities (-0.1%) | ||
Other Assets | 5,572 | |
Liabilities | (9,406) | |
(3,834) | ||
Net Assets (100%) | 3,891,709 |
At June 30, 2012, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 2,757,938 |
Undistributed Net Investment Income | 27,893 |
Accumulated Net Realized Losses | (11,919) |
Unrealized Appreciation (Depreciation) | 1,117,797 |
Net Assets | 3,891,709 |
Admiral Shares—Net Assets | |
Applicable to 52,403,432 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 3,569,651 |
Net Asset Value Per Share— | |
Admiral Shares | $68.12 |
Institutional Shares—Net Assets | |
Applicable to 9,513,730 outstanding $.001 | |
par value shares of beneficial interest | |
(unlimited authorization) | 322,058 |
Net Asset Value Per Share— | |
Institutional Shares | $33.85 |
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.
73
Tax-Managed Capital Appreciation Fund | |
Statement of Operations | |
Six Months Ended | |
June 30, 2012 | |
($000) | |
Investment Income | |
Income | |
Dividends | 35,336 |
Interest1 | 2 |
Total Income | 35,338 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 170 |
Management and Administrative—Admiral Shares | 1,515 |
Management and Administrative—Institutional Shares | 86 |
Marketing and Distribution—Admiral Shares | 414 |
Marketing and Distribution—Institutional Shares | 26 |
Custodian Fees | 24 |
Shareholders’ Reports—Admiral Shares | 11 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | 2 |
Total Expenses | 2,248 |
Net Investment Income | 33,090 |
Realized Net Gain (Loss) on Investment Securities Sold | 33,770 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 267,145 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 334,005 |
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.
74
Tax-Managed Capital Appreciation Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 33,090 | 61,585 |
Realized Net Gain (Loss) | 33,770 | 91,977 |
Change in Unrealized Appreciation (Depreciation) | 267,145 | (101,060) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 334,005 | 52,502 |
Distributions | ||
Net Investment Income | ||
Investor Shares | — | (76) |
Admiral Shares | (694) | (55,947) |
Institutional Shares | (70) | (5,254) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (764) | (61,277) |
Capital Share Transactions | ||
Investor Shares | — | (632,954) |
Admiral Shares | (40,825) | 497,531 |
Institutional Shares | (8,063) | 20,879 |
Net Increase (Decrease) from Capital Share Transactions | (48,888) | (114,544) |
Total Increase (Decrease) | 284,353 | (123,319) |
Net Assets | ||
Beginning of Period | 3,607,356 | 3,730,675 |
End of Period1 | 3,891,709 | 3,607,356 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $27,893,000 and ($4,433,000). |
See accompanying Notes, which are an integral part of the Financial Statements.
75
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 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $62.36 | $62.56 | $54.72 | $43.04 | $70.70 | $67.68 |
Investment Operations | ||||||
Net Investment Income | .578 | 1.072 | .915 | .855 | 1.040 | 1.113 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 5.195 | (.202) | 7.849 | 11.673 | (27.656) | 3.026 |
Total from Investment Operations | 5.773 | .870 | 8.764 | 12.528 | (26.616) | 4.139 |
Distributions | ||||||
Dividends from Net Investment Income | (.013) | (1.070) | (.924) | (.848) | (1.044) | (1.119) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.013) | (1.070) | (.924) | (.848) | (1.044) | (1.119) |
Net Asset Value, End of Period | $68.12 | $62.36 | $62.56 | $54.72 | $43.04 | $70.70 |
Total Return1 | 9.26% | 1.38% | 16.02% | 29.11% | -37.58% | 6.11% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $3,570 | $3,305 | $2,860 | $2,526 | $2,045 | $3,283 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.12% | 0.12% | 0.12% | 0.15% | 0.10% | 0.09% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.71% | 1.65% | 1.59% | 1.80% | 1.72% | 1.57% |
Portfolio Turnover Rate | 4% | 2% | 7% | 26% | 8% | 5% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 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.
76
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 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $30.98 | $31.09 | $27.19 | $21.38 | $35.13 | $33.63 |
Investment Operations | ||||||
Net Investment Income | .287 | .548 | .466 | .439 | .525 | .551 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 2.590 | (.113) | 3.905 | 5.806 | (13.748) | 1.513 |
Total from Investment Operations | 2.877 | .435 | 4.371 | 6.245 | (13.223) | 2.064 |
Distributions | ||||||
Dividends from Net Investment Income | (.007) | (.545) | (.471) | (.435) | (.527) | (.564) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.007) | (.545) | (.471) | (.435) | (.527) | (.564) |
Net Asset Value, End of Period | $33.85 | $30.98 | $31.09 | $27.19 | $21.38 | $35.13 |
Total Return1 | 9.29% | 1.39% | 16.08% | 29.21% | -37.57% | 6.13% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $322 | $302 | $282 | $225 | $185 | $291 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.09% | 0.07% | 0.07% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.75% | 1.69% | 1.63% | 1.86% | 1.75% | 1.59% |
Portfolio Turnover Rate | 4% | 2% | 7% | 26% | 8% | 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.
77
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 and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. 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, 2008–2011), and for the period ended June 30, 2012, 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 were 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, 2012, the fund had contributed capital of $568,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.23% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
78
Tax-Managed Capital Appreciation Fund
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, 2012, 100% of the market value of the fund’s investments was determined 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, 2011, the fund had available capital loss carryforwards totaling $45,689,000 to offset future net capital gains 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, 2012; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2012, the cost of investment securities for tax purposes was $2,777,746,000. Net unrealized appreciation of investment securities for tax purposes was $1,117,797,000, consisting of unrealized gains of $1,290,863,000 on securities that had risen in value since their purchase and $173,066,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended June 30, 2012, the fund purchased $74,371,000 of investment securities and sold $90,175,000 of investment securities, other than temporary cash investments.
79
Tax-Managed Capital Appreciation Fund
F. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2012 | December 31, 2011 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | — | — | 19,204 | 593 |
Issued in Lieu of Cash Distributions | — | — | 66 | 2 |
Redeemed1,2 | — | — | (652,224) | (19,543) |
Net Increase (Decrease)—Investor Shares | — | — | (632,954) | (18,948) |
Admiral Shares | ||||
Issued2 | 71,585 | 1,062 | 754,793 | 11,363 |
Issued in Lieu of Cash Distributions | 539 | 8 | 44,170 | 704 |
Redeemed1 | (112,949) | (1,673) | (301,432) | (4,772) |
Net Increase (Decrease)—Admiral Shares | (40,825) | (603) | 497,531 | 7,295 |
Institutional Shares | ||||
Issued | 6,199 | 179 | 33,090 | 1,065 |
Issued in Lieu of Cash Distributions | 41 | 1 | 3,139 | 101 |
Redeemed1 | (14,303) | (410) | (15,350) | (486) |
Net Increase (Decrease)—Institutional Shares | (8,063) | (230) | 20,879 | 680 |
1 Net of redemption fees for fiscal 2011 of $112,000 (fund totals). Effective April 28, 2011, the redemption fee was eliminated.
2 For fiscal 2011, 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, 2012, management considered the impact of subsequent events for potential recognition or disclosure in these financial statements.
80
Tax-Managed Small-Cap Fund
Fund Profile
As of June 30, 2012
Share-Class Characteristics | ||
Admiral | Institutional | |
Shares | Shares | |
Ticker Symbol | VTMSX | VTSIX |
Expense Ratio1 | 0.13% | 0.09% |
30-Day SEC Yield | 1.12% | 1.16% |
Portfolio Characteristics | |||
DJ | |||
S&P | U.S. Total | ||
SmallCap | Market | ||
Fund 600 Index | Index | ||
Number of Stocks | 602 | 600 | 3,694 |
Median Market Cap | $1.2B | $1.2B | $33.1B |
Price/Earnings Ratio | 20.0x | 20.6x | 16.1x |
Price/Book Ratio | 1.8x | 1.8x | 2.1x |
Return on Equity | 10.5% | 10.3% | 18.1% |
Earnings Growth Rate | 5.8% | 5.3% | 9.4% |
Dividend Yield | 1.1% | 1.3% | 2.1% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | |||
(Annualized) | 46% | — | — |
Short-Term Reserves | 0.0% | — | — |
Sector Diversification (% of equity exposure) | |||
DJ | |||
S&P | U.S. Total | ||
SmallCap | Market | ||
Fund 600 Index | Index | ||
Consumer Discretionary 15.4% | 15.4% | 11.9% | |
Consumer Staples | 4.7 | 4.7 | 9.8 |
Energy | 4.0 | 4.0 | 10.0 |
Financials | 19.9 | 20.1 | 15.9 |
Health Care | 11.5 | 11.4 | 12.0 |
Industrials | 15.4 | 15.3 | 10.8 |
Information Technology 18.5 | 18.6 | 19.1 | |
Materials | 5.7 | 5.6 | 3.9 |
Telecommunication | |||
Services | 0.6 | 0.6 | 2.9 |
Utilities | 4.3 | 4.3 | 3.7 |
Volatility Measures | ||
DJ | ||
U.S. Total | ||
S&P SmallCap | Market | |
600 Index | Index | |
R-Squared | 1.00 | 0.91 |
Beta | 1.00 | 1.17 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
Ten Largest Holdings (% of total net assets) | ||
Questcor | ||
Pharmaceuticals Inc. | Pharmaceuticals | 0.7% |
Salix Pharmaceuticals | ||
Ltd. | Pharmaceuticals | 0.7 |
ProAssurance Corp. | Property & Casualty | |
Insurance | 0.6 | |
United Natural Foods | ||
Inc. | Food Distributors | 0.6 |
Hain Celestial Group Inc. | Packaged Foods & | |
Meats | 0.5 | |
Cubist Pharmaceuticals | ||
Inc. | Biotechnology | 0.5 |
Align Technology Inc. | Health Care | |
Supplies | 0.5 | |
Piedmont Natural Gas | ||
Co. Inc. | Gas Utilities | 0.5 |
Teledyne Technologies | Aerospace & | |
Inc. | Defense | 0.5 |
Casey's General Stores | ||
Inc. | Food Retail | 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 April 26, 2012, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2012, the annualized expense ratios were 0.12% for Admiral Shares and 0.08% for Institutional Shares.
81
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, 2001, Through June 30, 2012
Tax-Managed Small-Cap Fund Admiral Shares |
S&P SmallCap 600 Index |
Note: For 2012, performance data reflect the six months ended June 30, 2012.
Average Annual Total Returns: Periods Ended June 30, 2012 | ||||
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Admiral Shares | 3/25/1999 | 1.44% | 2.03% | 7.95% |
Institutional Shares | 4/21/1999 | 1.47 | 2.10 | 8.01 |
See Financial Highlights for dividend and capital gains information.
82
Tax-Managed Small-Cap Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2012
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 (15.4%) | |||
* | Coinstar Inc. | 140,959 | 9,678 |
Brunswick Corp. | 402,060 | 8,934 | |
Pool Corp. | 213,739 | 8,648 | |
Wolverine World Wide Inc. | 219,073 | 8,496 | |
* | Cabela’s Inc. | 196,414 | 7,426 |
* | Vitamin Shoppe Inc. | 132,449 | 7,275 |
* | Buffalo Wild Wings Inc. | 83,281 | 7,215 |
* | Hibbett Sports Inc. | 118,214 | 6,822 |
* | Genesco Inc. | 109,877 | 6,609 |
* | Crocs Inc. | 407,429 | 6,580 |
Cracker Barrel Old Country | |||
Store Inc. | 104,283 | 6,549 | |
Men’s Wearhouse Inc. | 229,198 | 6,450 | |
* | Live Nation | ||
Entertainment Inc. | 668,180 | 6,134 | |
* | Steven Madden Ltd. | 177,536 | 5,637 |
* | Iconix Brand Group Inc. | 319,120 | 5,575 |
* | Jack in the Box Inc. | 199,870 | 5,572 |
* | Children’s Place Retail | ||
Stores Inc. | 109,178 | 5,440 | |
* | Jos A Bank Clothiers Inc. | 126,181 | 5,358 |
* | Select Comfort Corp. | 256,031 | 5,356 |
* | Fifth & Pacific Cos. Inc. | 489,385 | 5,251 |
Hillenbrand Inc. | 283,176 | 5,205 | |
Ryland Group Inc. | 201,742 | 5,161 | |
Texas Roadhouse Inc. | |||
Class A | 270,021 | 4,977 | |
Finish Line Inc. Class A | 235,364 | 4,921 | |
Buckle Inc. | 123,051 | 4,869 | |
* | Helen of Troy Ltd. | 143,425 | 4,861 |
Group 1 Automotive Inc. | 102,940 | 4,695 | |
Monro Muffler Brake Inc. | 139,951 | 4,652 | |
* | Meritage Homes Corp. | 127,896 | 4,341 |
* | Lumber Liquidators | ||
Holdings Inc. | 123,886 | 4,186 | |
* | BJ’s Restaurants Inc. | 110,079 | 4,183 |
Arbitron Inc. | 119,049 | 4,167 | |
Cato Corp. Class A | 131,274 | 3,999 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Zumiez Inc. | 99,052 | 3,922 |
* | Papa John’s | ||
International Inc. | 81,487 | 3,876 | |
* | Marriott Vacations | ||
Worldwide Corp. | 122,454 | 3,794 | |
* | Peet’s Coffee & Tea Inc. | 59,651 | 3,581 |
Sturm Ruger & Co. Inc. | 86,804 | 3,485 | |
* | Shuffle Master Inc. | 249,186 | 3,439 |
Interval Leisure Group Inc. | 180,760 | 3,436 | |
* | Skechers U.S.A. Inc. | ||
Class A | 168,051 | 3,423 | |
True Religion Apparel Inc. | 115,491 | 3,347 | |
* | DineEquity Inc. | 70,631 | 3,153 |
CEC Entertainment Inc. | 82,056 | 2,984 | |
* | La-Z-Boy Inc. | 234,877 | 2,887 |
* | Standard Pacific Corp. | 458,659 | 2,839 |
Oxford Industries Inc. | 62,931 | 2,813 | |
* | iRobot Corp. | 123,890 | 2,744 |
* | Pinnacle Entertainment Inc. | 281,699 | 2,710 |
* | American Public | ||
Education Inc. | 81,135 | 2,596 | |
Fred’s Inc. Class A | 167,250 | 2,557 | |
Stage Stores Inc. | 138,437 | 2,536 | |
* | Biglari Holdings Inc. | 6,501 | 2,512 |
Brown Shoe Co. Inc. | 190,862 | 2,464 | |
* | Drew Industries Inc. | 86,050 | 2,397 |
Pep Boys-Manny | |||
Moe & Jack | 240,350 | 2,379 | |
Ethan Allen Interiors Inc. | 117,873 | 2,349 | |
American Greetings Corp. | |||
Class A | 158,895 | 2,323 | |
Lithia Motors Inc. Class A | 97,847 | 2,255 | |
* | Capella Education Co. | 62,315 | 2,166 |
Sonic Automotive Inc. | |||
Class A | 157,958 | 2,159 | |
* | Maidenform Brands Inc. | 106,743 | 2,126 |
* | Arctic Cat Inc. | 57,640 | 2,107 |
* | OfficeMax Inc. | 391,843 | 1,983 |
Movado Group Inc. | 79,235 | 1,982 | |
* | Sonic Corp. | 197,559 | 1,980 |
* | Ruby Tuesday Inc. | 284,388 | 1,937 |
83
Tax-Managed Small-Cap Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Blue Nile Inc. | 63,148 | 1,876 |
JAKKS Pacific Inc. | 117,035 | 1,874 | |
Hot Topic Inc. | 192,472 | 1,865 | |
Harte-Hanks Inc. | 200,770 | 1,835 | |
* | rue21 inc | 71,368 | 1,801 |
* | Boyd Gaming Corp. | 248,778 | 1,791 |
Superior Industries | |||
International Inc. | 107,380 | 1,758 | |
Callaway Golf Co. | 295,769 | 1,748 | |
* | Multimedia Games | ||
Holding Co. Inc. | 122,826 | 1,720 | |
Blyth Inc. | 48,944 | 1,692 | |
* | Career Education Corp. | 242,554 | 1,623 |
* | Digital Generation Inc. | 125,100 | 1,548 |
* | Red Robin Gourmet | ||
Burgers Inc. | 50,454 | 1,539 | |
* | M/I Homes Inc. | 85,737 | 1,485 |
Nutrisystem Inc. | 127,987 | 1,480 | |
* | EW Scripps Co. Class A | 141,575 | 1,361 |
* | Winnebago Industries Inc. | 133,081 | 1,356 |
Universal Technical | |||
Institute Inc. | 98,257 | 1,327 | |
* | Quiksilver Inc. | 555,568 | 1,294 |
Standard Motor Products Inc. | 88,749 | 1,250 | |
Marcus Corp. | 90,609 | 1,247 | |
* | Perry Ellis International Inc. | 55,327 | 1,148 |
* | Corinthian Colleges Inc. | 387,142 | 1,119 |
PetMed Express Inc. | 91,342 | 1,111 | |
* | Ruth’s Hospitality Group Inc. | 160,092 | 1,057 |
* | MarineMax Inc. | 107,160 | 1,019 |
* | Stein Mart Inc. | 123,596 | 983 |
Haverty Furniture Cos. Inc. | 87,022 | 972 | |
* | Universal Electronics Inc. | 67,262 | 886 |
* | Tuesday Morning Corp. | 192,864 | 827 |
Spartan Motors Inc. | 154,174 | 808 | |
* | VOXX International Corp. | ||
Class A | 85,662 | 798 | |
* | Kirkland’s Inc. | 70,675 | 795 |
Big 5 Sporting Goods Corp. | 99,008 | 749 | |
Lincoln Educational | |||
Services Corp. | 102,965 | 669 | |
* | Monarch Casino & | ||
Resort Inc. | 52,366 | 479 | |
* | K-Swiss Inc. Class A | 125,667 | 387 |
* | Zale Corp. | 123,488 | 332 |
* | Coldwater Creek Inc. | 405,296 | 221 |
Christopher & Banks Corp. | 164,926 | 195 | |
336,488 | |||
Consumer Staples (4.7%) | |||
* | United Natural Foods Inc. | 219,833 | 12,060 |
* | Hain Celestial Group Inc. | 200,903 | 11,058 |
Casey’s General Stores Inc. | 171,435 | 10,113 | |
* | TreeHouse Foods Inc. | 161,783 | 10,078 |
* | Darling International Inc. | 529,388 | 8,730 |
B&G Foods Inc. Class A | 217,718 | 5,791 | |
Snyders-Lance Inc. | 212,145 | 5,352 |
Market | ||||
Value | ||||
Shares | ($000) | |||
* | Boston Beer Co. Inc. | |||
Class A | 38,597 | 4,670 | ||
Sanderson Farms Inc. | 87,913 | 4,028 | ||
J&J Snack Foods Corp. | 65,566 | 3,875 | ||
WD-40 Co. | 72,152 | 3,594 | ||
* | Prestige Brands | |||
Holdings Inc. | 226,337 | 3,578 | ||
Andersons Inc. | 83,435 | 3,559 | ||
Cal-Maine Foods Inc. | 65,194 | 2,549 | ||
* | Central Garden and Pet Co. | |||
Class A | 192,209 | 2,093 | ||
Spartan Stores Inc. | 98,504 | 1,786 | ||
Diamond Foods Inc. | 99,979 | 1,784 | ||
Calavo Growers Inc. | 57,384 | 1,468 | ||
* | Alliance One | |||
International Inc. | 398,443 | 1,379 | ||
Inter Parfums Inc. | 73,500 | 1,269 | ||
* | Medifast Inc. | 62,494 | 1,230 | |
Nash Finch Co. | 55,608 | 1,194 | ||
* | Seneca Foods Corp. Class A | 41,415 | 1,114 | |
102,352 | ||||
Energy (4.0%) | ||||
* | SEACOR Holdings Inc. | 94,670 | 8,462 | |
Lufkin Industries Inc. | 150,479 | 8,174 | ||
Bristow Group Inc. | 161,815 | 6,581 | ||
* | Hornbeck Offshore | |||
Services Inc. | 158,683 | 6,154 | ||
* | Stone Energy Corp. | 221,834 | 5,621 | |
* | Cloud Peak Energy Inc. | 276,134 | 4,669 | |
* | Gulfport Energy Corp. | 204,347 | 4,216 | |
* | ION Geophysical Corp. | 578,479 | 3,812 | |
* | Exterran Holdings Inc. | 291,948 | 3,722 | |
* | Swift Energy Co. | 192,954 | 3,591 | |
* | Comstock Resources Inc. | 218,477 | 3,587 | |
* | Contango Oil & Gas Co. | 57,795 | 3,422 | |
* | PDC Energy Inc. | 136,911 | 3,357 | |
* | GeoResources Inc. | 90,702 | 3,321 | |
* | Approach Resources Inc. | 123,761 | 3,161 | |
* | OYO Geospace Corp. | 28,932 | 2,604 | |
* | TETRA Technologies Inc. | 351,221 | 2,504 | |
* | Pioneer Drilling Co. | 279,964 | 2,231 | |
Gulf Island Fabrication Inc. | 65,558 | 1,849 | ||
Penn Virginia Corp. | 208,335 | 1,529 | ||
* | Basic Energy Services Inc. | 134,433 | 1,387 | |
* | Matrix Service Co. | 116,793 | 1,326 | |
Overseas Shipholding | ||||
Group Inc. | 118,896 | 1,321 | ||
* | Petroquest Energy Inc. | 260,375 | 1,302 | |
87,903 | ||||
Exchange-Traded Fund (4.1%) | ||||
1 | Vanguard REIT ETF | 1,370,000 | 89,639 | |
Financials (15.9%) | ||||
ProAssurance Corp. | 137,947 | 12,290 | ||
Susquehanna | ||||
Bancshares Inc. | 847,306 | 8,727 |
84
Tax-Managed Small-Cap Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
UMB Financial Corp. | 145,983 | 7,479 | |
* | Stifel Financial Corp. | 241,174 | 7,452 |
Kilroy Realty Corp. | 153,529 | 7,432 | |
Extra Space Storage Inc. | 233,852 | 7,156 | |
* | Texas Capital | ||
Bancshares Inc. | 171,344 | 6,921 | |
FNB Corp. | 628,237 | 6,829 | |
Tanger Factory | |||
Outlet Centers | 208,582 | 6,685 | |
Umpqua Holdings Corp. | 505,903 | 6,658 | |
Mid-America Apartment | |||
Communities Inc. | 92,782 | 6,331 | |
Post Properties Inc. | 120,727 | 5,910 | |
Wintrust Financial Corp. | 164,491 | 5,839 | |
Cash America | |||
International Inc. | 132,215 | 5,823 | |
LaSalle Hotel Properties | 192,666 | 5,614 | |
National Penn | |||
Bancshares Inc. | 558,828 | 5,348 | |
United Bankshares Inc. | 205,026 | 5,306 | |
Northwest Bancshares Inc. | 441,822 | 5,174 | |
* | First Cash Financial | ||
Services Inc. | 128,728 | 5,171 | |
Old National Bancorp | 428,938 | 5,151 | |
RLI Corp. | 75,394 | 5,142 | |
Glacier Bancorp Inc. | 325,874 | 5,048 | |
First Financial | |||
Bankshares Inc. | 142,729 | 4,933 | |
�� | Community Bank | ||
System Inc. | 177,526 | 4,814 | |
* | Ezcorp Inc. Class A | 198,450 | 4,656 |
CVB Financial Corp. | 397,755 | 4,634 | |
Colonial Properties Trust | 199,293 | 4,412 | |
Entertainment | |||
Properties Trust | 105,689 | 4,345 | |
Selective Insurance | |||
Group Inc. | 248,179 | 4,321 | |
First Financial Bancorp | 264,180 | 4,222 | |
Healthcare Realty Trust Inc. | 176,879 | 4,217 | |
* | World Acceptance Corp. | 62,799 | 4,132 |
PrivateBancorp Inc. Class A | 272,710 | 4,025 | |
Bank of the Ozarks Inc. | 130,250 | 3,918 | |
DiamondRock | |||
Hospitality Co. | 380,890 | 3,885 | |
* | Financial Engines Inc. | 179,729 | 3,855 |
* | BBCN Bancorp Inc. | 353,908 | 3,854 |
First Midwest Bancorp Inc. | 339,336 | 3,726 | |
Provident Financial | |||
Services Inc. | 242,415 | 3,721 | |
Tower Group Inc. | 178,079 | 3,716 | |
PacWest Bancorp | 151,948 | 3,597 | |
Columbia Banking | |||
System Inc. | 179,420 | 3,377 | |
EastGroup Properties Inc. | 63,316 | 3,375 | |
Sovran Self Storage Inc. | 65,664 | 3,289 | |
NBT Bancorp Inc. | 150,998 | 3,260 |
Market | |||
Value | |||
Shares | ($000) | ||
First Commonwealth | |||
Financial Corp. | 477,643 | 3,214 | |
Boston Private Financial | |||
Holdings Inc. | 354,451 | 3,165 | |
Horace Mann | |||
Educators Corp. | 178,668 | 3,123 | |
Infinity Property & | |||
Casualty Corp. | 53,618 | 3,092 | |
Home BancShares Inc. | 101,104 | 3,092 | |
* | Pinnacle Financial | ||
Partners Inc. | 157,347 | 3,070 | |
Prospect Capital Corp. | 267,653 | 3,049 | |
Oritani Financial Corp. | 206,562 | 2,972 | |
Medical Properties | |||
Trust Inc. | 306,742 | 2,951 | |
PS Business Parks Inc. | 42,232 | 2,860 | |
Independent Bank Corp. | 97,813 | 2,857 | |
* | Virtus Investment | ||
Partners Inc. | 35,009 | 2,836 | |
Brookline Bancorp Inc. | 318,384 | 2,818 | |
Safety Insurance Group Inc. | 68,983 | 2,803 | |
Lexington Realty Trust | 306,810 | 2,599 | |
Interactive Brokers | |||
Group Inc. | 175,981 | 2,590 | |
Employers Holdings Inc. | 142,273 | 2,567 | |
LTC Properties Inc. | 68,944 | 2,501 | |
* | National Financial | ||
Partners Corp. | 185,005 | 2,479 | |
* | Navigators Group Inc. | 49,220 | 2,463 |
S&T Bancorp Inc. | 127,948 | 2,363 | |
ViewPoint Financial | |||
Group Inc. | 147,052 | 2,300 | |
City Holding Co. | 67,381 | 2,270 | |
Acadia Realty Trust | 97,252 | 2,254 | |
TrustCo Bank Corp. NY | 394,298 | 2,153 | |
* | AMERISAFE Inc. | 82,806 | 2,149 |
Meadowbrook Insurance | |||
Group Inc. | 231,982 | 2,039 | |
* | Forestar Group Inc. | 157,911 | 2,023 |
United Fire Group Inc. | 93,798 | 2,001 | |
Pennsylvania REIT | 125,970 | 1,887 | |
Cousins Properties Inc. | 236,049 | 1,829 | |
Simmons First National | |||
Corp. Class A | 78,374 | 1,822 | |
Franklin Street | |||
Properties Corp. | 163,752 | 1,732 | |
Dime Community | |||
Bancshares Inc. | 127,356 | 1,693 | |
* | Piper Jaffray Cos. | 71,538 | 1,676 |
Tompkins Financial Corp. | 40,767 | 1,536 | |
* | Hanmi Financial Corp. | 142,751 | 1,496 |
* | Wilshire Bancorp Inc. | 272,020 | 1,491 |
Inland Real Estate Corp. | 176,864 | 1,482 | |
* | eHealth Inc. | 89,933 | 1,449 |
Sabra Health Care REIT Inc. | 82,974 | 1,420 | |
Sterling Bancorp | 141,237 | 1,409 |
85
Tax-Managed Small-Cap Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Investment Technology | ||
Group Inc. | 151,148 | 1,391 | |
Stewart Information | |||
Services Corp. | 88,132 | 1,353 | |
Universal Health Realty | |||
Income Trust | 29,025 | 1,205 | |
Getty Realty Corp. | 61,929 | 1,186 | |
Saul Centers Inc. | 26,843 | 1,151 | |
Urstadt Biddle | |||
Properties Inc. Class A | 53,480 | 1,057 | |
Calamos Asset | |||
Management Inc. Class A | 92,013 | 1,054 | |
Presidential Life Corp. | 96,873 | 952 | |
Bank Mutual Corp. | 211,692 | 934 | |
* | United Community | ||
Banks Inc. | 86,531 | 742 | |
Kite Realty Group Trust | 145,868 | 728 | |
* | SWS Group Inc. | 133,932 | 714 |
Cedar Realty Trust Inc. | 130,789 | 660 | |
Parkway Properties Inc. | 45,462 | 520 | |
* | First BanCorp | 93,468 | 370 |
347,362 | |||
Health Care (11.5%) | |||
* | Questcor | ||
Pharmaceuticals Inc. | 271,019 | 14,429 | |
* | Salix Pharmaceuticals Ltd. | 261,400 | 14,231 |
* | Cubist Pharmaceuticals Inc. | 285,196 | 10,812 |
* | Align Technology Inc. | 314,862 | 10,535 |
* | Haemonetics Corp. | 114,069 | 8,454 |
West Pharmaceutical | |||
Services Inc. | 153,013 | 7,726 | |
* | PAREXEL | ||
International Corp. | 269,631 | 7,612 | |
* | ViroPharma Inc. | 313,866 | 7,439 |
* | Centene Corp. | 230,835 | 6,962 |
* | Par Pharmaceutical Cos. Inc. | 165,727 | 5,989 |
* | MWI Veterinary Supply Inc. | 57,550 | 5,914 |
* | Medicines Co. | 248,287 | 5,696 |
* | Magellan Health | ||
Services Inc. | 122,859 | 5,569 | |
Chemed Corp. | 86,489 | 5,227 | |
* | Air Methods Corp. | 51,473 | 5,057 |
* | Cyberonics Inc. | 111,515 | 5,011 |
Quality Systems Inc. | 179,449 | 4,937 | |
* | Neogen Corp. | 106,800 | 4,934 |
* | NuVasive Inc. | 194,461 | 4,932 |
* | Akorn Inc. | 305,479 | 4,817 |
* | PSS World Medical Inc. | 227,016 | 4,765 |
* | Amsurg Corp. Class A | 143,032 | 4,288 |
* | Luminex Corp. | 169,420 | 4,149 |
* | Hanger Inc. | 152,897 | 3,920 |
Meridian Bioscience Inc. | 187,380 | 3,834 | |
* | Spectrum | ||
Pharmaceuticals Inc. | 235,869 | 3,670 | |
* | Abaxis Inc. | 98,570 | 3,647 |
CONMED Corp. | 127,096 | 3,517 | |
Analogic Corp. | 55,495 | 3,441 |
Market | |||
Value | |||
Shares | ($000) | ||
* | IPC The Hospitalist Co. Inc. | 75,158 | 3,406 |
* | Integra LifeSciences | ||
Holdings Corp. | 90,239 | 3,355 | |
* | Medidata Solutions Inc. | 100,172 | 3,273 |
* | Molina Healthcare Inc. | 128,769 | 3,021 |
* | ICU Medical Inc. | 55,406 | 2,958 |
* | Bio-Reference Labs Inc. | 111,281 | 2,924 |
Computer Programs | |||
& Systems Inc. | 49,913 | 2,856 | |
* | Momenta | ||
Pharmaceuticals Inc. | 200,659 | 2,713 | |
* | Merit Medical Systems Inc. | 190,613 | 2,632 |
Cantel Medical Corp. | 91,985 | 2,507 | |
Landauer Inc. | 42,872 | 2,458 | |
* | Greatbatch Inc. | 106,536 | 2,419 |
* | Kindred Healthcare Inc. | 236,376 | 2,324 |
Invacare Corp. | 144,938 | 2,236 | |
* | Omnicell Inc. | 151,087 | 2,212 |
Ensign Group Inc. | 75,079 | 2,122 | |
* | Emergent Biosolutions Inc. | 113,024 | 1,712 |
* | Amedisys Inc. | 136,456 | 1,699 |
* | Arqule Inc. | 278,842 | 1,654 |
eResearchTechnology Inc. | 199,292 | 1,592 | |
* | Natus Medical Inc. | 133,971 | 1,557 |
* | Hi-Tech Pharmacal Co. Inc. | 47,284 | 1,532 |
* | Affymetrix Inc. | 320,956 | 1,505 |
* | PharMerica Corp. | 134,299 | 1,467 |
* | Symmetry Medical Inc. | 164,713 | 1,413 |
* | Corvel Corp. | 28,803 | 1,411 |
* | Cambrex Corp. | 134,113 | 1,262 |
* | LHC Group Inc. | 72,295 | 1,226 |
* | Healthways Inc. | 151,767 | 1,211 |
* | SurModics Inc. | 66,408 | 1,149 |
* | AMN Healthcare | ||
Services Inc. | 183,700 | 1,089 | |
* | Gentiva Health Services Inc. | 140,109 | 971 |
* | Almost Family Inc. | 37,719 | 843 |
* | Palomar Medical | ||
Technologies Inc. | 89,722 | 763 | |
* | CryoLife Inc. | 125,783 | 658 |
* | Cross Country | ||
Healthcare Inc. | 142,763 | 624 | |
* | Enzo Biochem Inc. | 155,977 | 260 |
* | Savient Pharmaceuticals Inc. | 338,461 | 183 |
250,711 | |||
Industrials (15.4%) | |||
* | Teledyne Technologies Inc. | 165,417 | 10,198 |
Toro Co. | 134,703 | 9,872 | |
* | Old Dominion | ||
Freight Line Inc. | 212,032 | 9,179 | |
AO Smith Corp. | 175,109 | 8,561 | |
* | Moog Inc. Class A | 203,677 | 8,422 |
EMCOR Group Inc. | 301,684 | 8,393 | |
Actuant Corp. Class A | 308,025 | 8,366 | |
Robbins & Myers Inc. | 197,616 | 8,264 | |
* | EnerSys | 216,524 | 7,593 |
* | Tetra Tech Inc. | 286,440 | 7,470 |
86
Tax-Managed Small-Cap Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
Mueller Industries Inc. | 172,145 | 7,332 | |
* | Portfolio Recovery | ||
Associates Inc. | 76,965 | 7,024 | |
Applied Industrial | |||
Technologies Inc. | 190,371 | 7,015 | |
Belden Inc. | 204,841 | 6,831 | |
Curtiss-Wright Corp. | 211,748 | 6,575 | |
Brady Corp. Class A | 237,877 | 6,544 | |
* | Geo Group Inc. | 276,517 | 6,282 |
* | Hub Group Inc. Class A | 170,003 | 6,154 |
Healthcare Services | |||
Group Inc. | 303,376 | 5,879 | |
Simpson | |||
Manufacturing Co. Inc. | 183,918 | 5,427 | |
Barnes Group Inc. | 210,015 | 5,101 | |
United Stationers Inc. | 183,093 | 4,934 | |
* | Allegiant Travel Co. Class A | 68,311 | 4,760 |
UniFirst Corp. | 69,492 | 4,430 | |
Watts Water | |||
Technologies Inc. Class A | 132,759 | 4,426 | |
ESCO Technologies Inc. | 121,090 | 4,413 | |
Franklin Electric Co. Inc. | 85,701 | 4,382 | |
ABM Industries Inc. | 219,151 | 4,287 | |
Knight Transportation Inc. | 266,787 | 4,266 | |
Forward Air Corp. | 130,103 | 4,198 | |
* | II-VI Inc. | 247,707 | 4,129 |
Briggs & Stratton Corp. | 219,011 | 3,831 | |
Lindsay Corp. | 57,656 | 3,742 | |
Heartland Express Inc. | 259,007 | 3,706 | |
Kaman Corp. | 119,329 | 3,692 | |
* | Interface Inc. Class A | 261,314 | 3,562 |
AZZ Inc. | 57,084 | 3,497 | |
* | EnPro Industries Inc. | 93,225 | 3,484 |
Universal Forest | |||
Products Inc. | 88,695 | 3,457 | |
Cubic Corp. | 71,704 | 3,448 | |
Tennant Co. | 84,825 | 3,389 | |
* | Orbital Sciences Corp. | 254,402 | 3,287 |
* | Exponent Inc. | 60,594 | 3,201 |
* | Aegion Corp. Class A | 178,844 | 3,200 |
Kaydon Corp. | 145,107 | 3,104 | |
* | On Assignment Inc. | 192,553 | 3,073 |
* | Navigant Consulting Inc. | 236,365 | 2,988 |
Quanex Building | |||
Products Corp. | 166,294 | 2,973 | |
* | Encore Capital Group Inc. | 99,385 | 2,944 |
* | Sykes Enterprises Inc. | 178,460 | 2,848 |
Ceradyne Inc. | 109,998 | 2,821 | |
* | TrueBlue Inc. | 181,980 | 2,817 |
* | Dycom Industries Inc. | 151,265 | 2,815 |
* | Astec Industries Inc. | 90,630 | 2,781 |
Insperity Inc. | 101,716 | 2,751 | |
CIRCOR International Inc. | 78,552 | 2,678 | |
G&K Services Inc. Class A | 85,764 | 2,675 | |
AAR Corp. | 182,914 | 2,466 | |
Standex International Corp. | 57,450 | 2,446 |
Market | |||
Value | |||
Shares | ($000) | ||
Albany International Corp. | 128,242 | 2,399 | |
* | Mobile Mini Inc. | 165,595 | 2,385 |
Resources Connection Inc. | 191,332 | 2,353 | |
Encore Wire Corp. | 87,206 | 2,335 | |
American Science & | |||
Engineering Inc. | 40,254 | 2,272 | |
* | Aerovironment Inc. | 83,192 | 2,189 |
Apogee Enterprises Inc. | 127,505 | 2,049 | |
Cascade Corp. | 39,439 | 1,856 | |
Viad Corp. | 91,487 | 1,830 | |
Griffon Corp. | 209,743 | 1,800 | |
John Bean | |||
Technologies Corp. | 130,612 | 1,772 | |
* | GenCorp Inc. | 267,607 | 1,742 |
Comfort Systems USA Inc. | 170,913 | 1,713 | |
Kelly Services Inc. Class A | 128,939 | 1,665 | |
* | Federal Signal Corp. | 282,125 | 1,648 |
AAON Inc. | 85,548 | 1,613 | |
National Presto | |||
Industries Inc. | 21,948 | 1,531 | |
* | Powell Industries Inc. | 40,589 | 1,516 |
Arkansas Best Corp. | 115,852 | 1,460 | |
* | Gibraltar Industries Inc. | 138,148 | 1,434 |
Heidrick & Struggles | |||
International Inc. | 81,436 | 1,425 | |
SkyWest Inc. | 182,727 | 1,193 | |
* | Consolidated Graphics Inc. | 40,271 | 1,170 |
* | Lydall Inc. | 78,301 | 1,059 |
* | NCI Building Systems Inc. | 93,388 | 1,011 |
CDI Corp. | 58,527 | 960 | |
* | Dolan Co. | 137,833 | 928 |
* | Orion Marine Group Inc. | 122,120 | 850 |
Vicor Corp. | 90,437 | 628 | |
Lawson Products Inc. | 17,207 | 159 | |
335,328 | |||
Information Technology (18.5%) | |||
* | CommVault Systems Inc. | 200,318 | 9,930 |
* | Cirrus Logic Inc. | 290,520 | 8,681 |
* | Cymer Inc. | 139,669 | 8,233 |
* | FEI Co. | 170,744 | 8,168 |
MAXIMUS Inc. | 152,764 | 7,906 | |
* | Microsemi Corp. | 400,060 | 7,397 |
* | ViaSat Inc. | 194,131 | 7,332 |
* | Arris Group Inc. | 508,898 | 7,079 |
MKS Instruments Inc. | 237,440 | 6,869 | |
* | Sourcefire Inc. | 132,104 | 6,790 |
Anixter International Inc. | 125,894 | 6,679 | |
* | CACI International Inc. | ||
Class A | 120,121 | 6,609 | |
* | Hittite Microwave Corp. | 126,334 | 6,458 |
Cognex Corp. | 192,056 | 6,079 | |
* | Veeco Instruments Inc. | 175,940 | 6,045 |
* | Cardtronics Inc. | 199,406 | 6,024 |
* | NETGEAR Inc. | 171,294 | 5,911 |
* | Progress Software Corp. | 283,036 | 5,907 |
* | DealerTrack Holdings Inc. | 190,329 | 5,731 |
87
Tax-Managed Small-Cap Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | JDA Software Group Inc. | 191,534 | 5,687 |
* | OSI Systems Inc. | 89,767 | 5,686 |
Littelfuse Inc. | 97,557 | 5,550 | |
j2 Global Inc. | 208,236 | 5,502 | |
* | 3D Systems Corp. | 160,542 | 5,481 |
* | Liquidity Services Inc. | 106,811 | 5,468 |
Heartland Payment | |||
Systems Inc. | 174,452 | 5,248 | |
Blackbaud Inc. | 203,863 | 5,233 | |
Power Integrations Inc. | 128,286 | 4,785 | |
* | MicroStrategy Inc. Class A | 36,713 | 4,768 |
* | Stratasys Inc. | 96,180 | 4,766 |
* | OpenTable Inc. | 102,247 | 4,602 |
* | Tyler Technologies Inc. | 111,586 | 4,502 |
* | Plexus Corp. | 157,798 | 4,450 |
* | Synaptics Inc. | 151,703 | 4,343 |
* | LivePerson Inc. | 220,608 | 4,205 |
* | Manhattan Associates Inc. | 91,390 | 4,177 |
* | TriQuint Semiconductor Inc. | 754,391 | 4,149 |
* | SYNNEX Corp. | 117,726 | 4,060 |
* | Take-Two Interactive | ||
Software Inc. | 405,973 | 3,840 | |
* | ScanSource Inc. | 124,516 | 3,815 |
* | Ultratech Inc. | 118,724 | 3,740 |
* | Standard | ||
Microsystems Corp. | 100,467 | 3,706 | |
* | Benchmark Electronics Inc. | 262,297 | 3,659 |
Tessera Technologies Inc. | 235,435 | 3,619 | |
* | Netscout Systems Inc. | 156,321 | 3,375 |
* | Insight Enterprises Inc. | 199,202 | 3,353 |
* | FARO Technologies Inc. | 76,174 | 3,205 |
* | Websense Inc. | 169,027 | 3,166 |
* | Diodes Inc. | 167,219 | 3,139 |
Cabot | |||
Microelectronics Corp. | 106,074 | 3,098 | |
* | Kulicke & Soffa | ||
Industries Inc. | 334,280 | 2,982 | |
* | Bottomline | ||
Technologies Inc. | 164,570 | 2,970 | |
* | LogMeIn Inc. | 97,140 | 2,965 |
* | ATMI Inc. | 143,802 | 2,958 |
* | Rogers Corp. | 73,762 | 2,922 |
Brooks Automation Inc. | 301,023 | 2,842 | |
Ebix Inc. | 141,206 | 2,817 | |
MTS Systems Corp. | 71,828 | 2,769 | |
* | Monotype Imaging | ||
Holdings Inc. | 165,082 | 2,768 | |
* | Digital River Inc. | 166,271 | 2,763 |
* | Monolithic Power | ||
Systems Inc. | 134,861 | 2,680 | |
* | Volterra | ||
Semiconductor Corp. | 113,955 | 2,672 | |
* | CSG Systems | ||
International Inc. | 154,279 | 2,666 | |
* | comScore Inc. | 159,108 | 2,619 |
* | Rofin-Sinar Technologies Inc. | 129,711 | 2,455 |
Market | |||
Value | |||
Shares | ($000) | ||
Badger Meter Inc. | 65,271 | 2,451 | |
* | Advanced Energy | ||
Industries Inc. | 182,270 | 2,446 | |
Park Electrochemical Corp. | 94,453 | 2,444 | |
* | GT Advanced | ||
Technologies Inc. | 451,178 | 2,382 | |
* | iGATE Corp. | 136,760 | 2,328 |
Comtech | |||
Telecommunications Corp. | 80,846 | 2,311 | |
Black Box Corp. | 79,704 | 2,287 | |
* | Harmonic Inc. | 532,086 | 2,267 |
* | Synchronoss | ||
Technologies Inc. | 122,703 | 2,266 | |
Forrester Research Inc. | 66,909 | 2,266 | |
* | Measurement | ||
Specialties Inc. | 68,759 | 2,235 | |
* | Blucora Inc. | 179,316 | 2,209 |
* | TTM Technologies Inc. | 232,665 | 2,189 |
Micrel Inc. | 224,417 | 2,139 | |
* | Newport Corp. | 170,892 | 2,054 |
* | Super Micro Computer Inc. | 125,909 | 1,997 |
* | DTS Inc. | 75,043 | 1,957 |
* | Ceva Inc. | 106,834 | 1,881 |
* | ExlService Holdings Inc. | 74,700 | 1,841 |
* | Interactive Intelligence | ||
Group Inc. | 65,053 | 1,835 | |
* | Mercury Computer | ||
Systems Inc. | 140,919 | 1,822 | |
* | TeleTech Holdings Inc. | 113,241 | 1,812 |
EPIQ Systems Inc. | 146,061 | 1,789 | |
OPNET | 65,944 | 1,753 | |
United Online Inc. | 411,154 | 1,735 | |
* | Brightpoint Inc. | 312,577 | 1,691 |
* | Exar Corp. | 203,795 | 1,663 |
* | Higher One Holdings Inc. | 135,558 | 1,657 |
* | Perficient Inc. | 141,851 | 1,593 |
* | Checkpoint Systems Inc. | 180,488 | 1,572 |
* | Stamps.com Inc. | 62,136 | 1,533 |
CTS Corp. | 155,424 | 1,464 | |
Methode Electronics Inc. | 167,910 | 1,429 | |
* | Intermec Inc. | 229,825 | 1,425 |
* | CIBER Inc. | 328,775 | 1,417 |
Electro Scientific | |||
Industries Inc. | 110,779 | 1,309 | |
* | Rudolph Technologies Inc. | 146,139 | 1,274 |
* | Nanometrics Inc. | 78,446 | 1,205 |
* | Digi International Inc. | 116,411 | 1,192 |
* | Oplink Communications Inc. | 87,667 | 1,186 |
Daktronics Inc. | 167,824 | 1,160 | |
* | Symmetricom Inc. | 190,736 | 1,142 |
* | Virtusa Corp. | 85,199 | 1,137 |
* | Entropic | ||
Communications Inc. | 200,189 | 1,129 | |
Cohu Inc. | 111,124 | 1,129 | |
* | QuinStreet Inc. | 115,916 | 1,073 |
* | Kopin Corp. | 311,290 | 1,071 |
88
Tax-Managed Small-Cap Fund | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | VASCO Data Security | ||
International Inc. | 130,459 | 1,067 | |
* | XO Group Inc. | 117,916 | 1,046 |
* | Supertex Inc. | 55,164 | 1,040 |
* | Avid Technology Inc. | 134,130 | 997 |
* | Pericom | ||
Semiconductor Corp. | 109,412 | 985 | |
* | Sigma Designs Inc. | 147,418 | 941 |
* | Rubicon Technology Inc. | 80,445 | 821 |
Bel Fuse Inc. Class B | 46,240 | 814 | |
* | Intevac Inc. | 106,942 | 804 |
* | Radisys Corp. | 105,980 | 666 |
* | DSP Group Inc. | 100,272 | 636 |
* | Agilysys Inc. | 68,719 | 596 |
PC-Tel Inc. | 82,628 | 535 | |
* | STR Holdings Inc. | 88,623 | 404 |
Pulse Electronics Corp. | 192,191 | 379 | |
* | Novatel Wireless Inc. | 150,932 | 376 |
* | NCI Inc. Class A | 35,797 | 145 |
* | Gerber Scientific Inc. CVR | 110,699 | — |
404,452 | |||
Materials (5.7%) | |||
Eagle Materials Inc. | 203,855 | 7,612 | |
HB Fuller Co. | 224,705 | 6,898 | |
PolyOne Corp. | 404,677 | 5,536 | |
Innophos Holdings Inc. | 97,999 | 5,533 | |
Buckeye Technologies Inc. | 178,337 | 5,081 | |
Texas Industries Inc. | 126,593 | 4,938 | |
Schweitzer-Mauduit | |||
International Inc. | 70,202 | 4,784 | |
* | SunCoke Energy Inc. | 317,733 | 4,655 |
Balchem Corp. | 132,462 | 4,320 | |
Globe Specialty Metals Inc. | 282,697 | 3,797 | |
Kaiser Aluminum Corp. | 71,605 | 3,712 | |
* | Calgon Carbon Corp. | 257,734 | 3,665 |
* | Clearwater Paper Corp. | 105,331 | 3,594 |
Stepan Co. | 37,688 | 3,549 | |
AMCOL International Corp. | 114,340 | 3,237 | |
* | Kraton Performance | ||
Polymers Inc. | 145,996 | 3,199 | |
Koppers Holdings Inc. | 93,735 | 3,187 | |
* | RTI International Metals Inc. | 137,299 | 3,107 |
Deltic Timber Corp. | 49,093 | 2,994 | |
AK Steel Holding Corp. | 501,235 | 2,942 | |
American Vanguard Corp. | 105,658 | 2,809 | |
* | KapStone Paper and | ||
Packaging Corp. | 177,081 | 2,807 | |
Haynes International Inc. | 55,039 | 2,804 | |
* | OM Group Inc. | 146,475 | 2,783 |
Quaker Chemical Corp. | 58,631 | 2,709 | |
A Schulman Inc. | 133,436 | 2,649 | |
Myers Industries Inc. | 151,579 | 2,601 | |
* | LSB Industries Inc. | 83,948 | 2,595 |
Wausau Paper Corp. | 223,484 | 2,174 | |
Materion Corp. | 92,963 | 2,141 | |
Neenah Paper Inc. | 71,837 | 1,917 |
Market | |||
Value | |||
Shares | ($000) | ||
* | Century Aluminum Co. | 245,934 | 1,803 |
Hawkins Inc. | 40,825 | 1,559 | |
Tredegar Corp. | 106,423 | 1,549 | |
* | Headwaters Inc. | 278,888 | 1,436 |
Zep Inc. | 100,145 | 1,375 | |
* | AM Castle & Co. | 75,517 | 802 |
Olympic Steel Inc. | 42,254 | 694 | |
123,547 | |||
Telecommunication Services (0.6%) | |||
* | Cincinnati Bell Inc. | 891,065 | 3,315 |
* | Neutral Tandem Inc. | 143,043 | 1,885 |
Atlantic Tele-Network Inc. | 41,961 | 1,416 | |
USA Mobility Inc. | 100,713 | 1,295 | |
NTELOS Holdings Corp. | 68,058 | 1,283 | |
* | General Communication Inc. | ||
Class A | 148,272 | 1,232 | |
* | Cbeyond Inc. | 141,035 | 955 |
Lumos Networks Corp. | 67,099 | 634 | |
12,015 | |||
Utilities (4.3%) | |||
Piedmont Natural | |||
Gas Co. Inc. | 325,666 | 10,483 | |
Southwest Gas Corp. | 207,604 | 9,062 | |
New Jersey | |||
Resources Corp. | 187,811 | 8,190 | |
UIL Holdings Corp. | 227,499 | 8,158 | |
Avista Corp. | 264,113 | 7,052 | |
South Jersey Industries Inc. | 137,274 | 6,997 | |
UNS Energy Corp. | 181,228 | 6,961 | |
ALLETE Inc. | 151,131 | 6,317 | |
El Paso Electric Co. | 181,358 | 6,014 | |
NorthWestern Corp. | 163,586 | 6,004 | |
Northwest Natural Gas Co. | 121,367 | 5,777 | |
CH Energy Group Inc. | 67,681 | 4,446 | |
Laclede Group Inc. | 101,891 | 4,056 | |
American States Water Co. | 85,168 | 3,371 | |
92,888 | |||
Total Investments (100.1%) | |||
(Cost $1,639,802) | 2,182,685 | ||
Other Assets and Liabilities (-0.1%) | |||
Other Assets | 5,691 | ||
Liabilities | (7,535) | ||
(1,844) | |||
Net Assets (100%) | 2,180,841 |
89
Tax-Managed Small-Cap Fund
At June 30, 2012, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 1,641,484 |
Undistributed Net Investment Income | 10,227 |
Accumulated Net Realized Losses | (13,753) |
Unrealized Appreciation (Depreciation) | 542,883 |
Net Assets | 2,180,841 |
Admiral Shares—Net Assets | |
Applicable to 68,685,138 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 2,020,237 |
Net Asset Value Per Share— | |
Admiral Shares | $29.41 |
Institutional Shares—Net Assets | |
Applicable to 5,447,537 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 160,604 |
Net Asset Value Per Share— | |
Institutional Shares | $29.48 |
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.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
90
Tax-Managed Small-Cap Fund | |
Statement of Operations | |
Six Months Ended | |
June 30, 2012 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 14,585 |
Interest1 | 1 |
Total Income | 14,586 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 119 |
Management and Administrative—Admiral Shares | 736 |
Management and Administrative—Institutional Shares | 27 |
Marketing and Distribution—Admiral Shares | 310 |
Marketing and Distribution—Institutional Shares | 25 |
Custodian Fees | 29 |
Shareholders’ Reports—Admiral Shares | 10 |
Shareholders’ Reports—Institutional Shares | 1 |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 1,258 |
Net Investment Income | 13,328 |
Realized Net Gain (Loss) on Investment Securities Sold1 | 23,148 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 121,977 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 158,453 |
1 Dividend income, interest income, and realized net gain (loss) from affiliated companies of the fund were $36,000, $1,000, and $6,375,000, respectively.
See accompanying Notes, which are an integral part of the Financial Statements.
91
Tax-Managed Small-Cap Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 13,328 | 17,974 |
Realized Net Gain (Loss) | 23,148 | 103,170 |
Change in Unrealized Appreciation (Depreciation) | 121,977 | (94,648) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 158,453 | 26,496 |
Distributions | ||
Net Investment Income | ||
Admiral Shares1 | (137) | (16,493) |
Institutional Shares | (76) | (1,326) |
Realized Capital Gain | ||
Admiral Shares1 | — | — |
Institutional Shares | — | — |
Total Distributions | (213) | (17,819) |
Capital Share Transactions | ||
Admiral Shares1 | 16,501 | (28,775) |
Institutional Shares | 466 | (862) |
Net Increase (Decrease) from Capital Share Transactions | 16,967 | (29,637) |
Total Increase (Decrease) | 175,207 | (20,960) |
Net Assets | ||
Beginning of Period | 2,005,634 | 2,026,594 |
End of Period2 | 2,180,841 | 2,005,634 |
1 Investor Shares were renamed Admiral Shares as of the close of business on May 13, 2011.
2 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $10,227,000 and ($2,888,000).
See accompanying Notes, which are an integral part of the Financial Statements.
92
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 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $27.26 | $27.17 | $21.75 | $17.44 | $25.62 | $25.72 |
Investment Operations | ||||||
Net Investment Income | .180 | .245 | .231 | .146 | .266 | .229 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments1 | 1.972 | .089 | 5.424 | 4.316 | (8.174) | (.097) |
Total from Investment Operations | 2.152 | .334 | 5.655 | 4.462 | (7.908) | .132 |
Distributions | ||||||
Dividends from Net Investment Income | (.002) | (.244) | (.235) | (.152) | (.272) | (.232) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.002) | (.244) | (.235) | (.152) | (.272) | (.232) |
Net Asset Value, End of Period | $29.41 | $27.26 | $27.17 | $21.75 | $17.44 | $25.62 |
Total Return2 | 7.89% | 1.22% | 25.99% | 25.59% | -30.82% | 0.51% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,020 | $1,857 | $1,879 | $1,527 | $1,258 | $1,793 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.12% | 0.12% | 0.18% | 0.19% | 0.14% | 0.13% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.24% | 0.88% | 0.98% | 0.79% | 1.16% | 0.86% |
Portfolio Turnover Rate3 | 46% | 40% | 46% | 37% | 32% | 53% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
Investor Shares were renamed to 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, $.00, $.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.
93
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 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $27.33 | $27.23 | $21.80 | $17.47 | $25.66 | $25.77 |
Investment Operations | ||||||
Net Investment Income | .186 | .257 | .257 | .161 | .275 | .242 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments1 | 1.978 | .088 | 5.432 | 4.337 | (8.184) | (.108) |
Total from Investment Operations | 2.164 | .345 | 5.689 | 4.498 | (7.909) | .134 |
Distributions | ||||||
Dividends from Net Investment Income | (.014) | (.245) | (.259) | (.168) | (.281) | (.244) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.014) | (.245) | (.259) | (.168) | (.281) | (.244) |
Net Asset Value, End of Period | $29.48 | $27.33 | $27.23 | $21.80 | $17.47 | $25.66 |
Total Return2 | 7.92% | 1.26% | 26.09% | 25.75% | -30.77% | 0.51% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $161 | $149 | $147 | $99 | $102 | $171 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.08% | 0.08% | 0.09% | 0.09% | 0.09% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.28% | 0.92% | 1.08% | 0.89% | 1.21% | 0.90% |
Portfolio Turnover Rate3 | 46% | 40% | 46% | 37% | 32% | 53% |
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, $.00, $.02, $.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.
94
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 and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. 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.
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, 2008–2011), and for the period ended June 30, 2012, 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 were 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, 2012, the fund had contributed capital of $317,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.13% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and officers of Vanguard.
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Tax-Managed Small-Cap Fund
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, 2012, 100% of the market value of the fund’s investments was determined 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, 2011, the fund had available capital loss carryforwards totaling $33,436,000 to offset future net capital gains 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, 2012; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2012, the cost of investment securities for tax purposes was $1,639,802,000. Net unrealized appreciation of investment securities for tax purposes was $542,883,000, consisting of unrealized gains of $616,847,000 on securities that had risen in value since their purchase and $73,964,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended June 30, 2012, the fund purchased $528,384,000 of investment securities and sold $494,634,000 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, 2012 | December 31, 2011 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Admiral Shares1 | ||||
Issued | 83,301 | 2,853 | 106,650 | 3,914 |
Issued in Lieu of Cash Distributions | 108 | 4 | 13,005 | 472 |
Redeemed2 | (66,908) | (2,287) | (148,430) | (5,445) |
Net Increase (Decrease)—Admiral Shares | 16,501 | 570 | (28,775) | (1,059) |
Institutional Shares | ||||
Issued | 3,401 | 116 | 73,943 | 2,772 |
Issued in Lieu of Cash Distributions | 43 | 1 | 748 | 27 |
Redeemed2 | (2,978) | (103) | (75,553) | (2,768) |
Net Increase (Decrease)—Institutional Shares | 466 | 14 | (862) | 31 |
1 Investor Shares were renamed Admiral Shares as of the close of business on May 13, 2011.
2 Net of redemption fees for fiscal 2011 of $105,000 (fund totals). Effective April 28, 2011, the redemption fee was eliminated.
G. In preparing the financial statements as of June 30, 2012, 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, 2012 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
12/31/2011 | 6/30/2012 | Period | |
Based on Actual Fund Return | |||
Tax-Managed Balanced Fund | $1,000.00 | $1,061.11 | $0.61 |
Tax-Managed Growth and Income Fund | |||
Admiral Shares | $1,000.00 | $1,094.39 | $0.62 |
Institutional Shares | 1,000.00 | 1,094.73 | 0.42 |
Tax-Managed Capital Appreciation Fund | |||
Admiral Shares | $1,000.00 | $1,092.57 | $0.62 |
Institutional Shares | 1,000.00 | 1,092.86 | 0.42 |
Tax-Managed Small-Cap Fund | |||
Admiral Shares | $1,000.00 | $1,078.94 | $0.62 |
Institutional Shares | 1,000.00 | 1,079.16 | 0.41 |
Based on Hypothetical 5% Yearly Return | |||
Tax-Managed Balanced Fund | $1,000.00 | $1,024.27 | $0.60 |
Tax-Managed Growth and Income Fund | |||
Admiral Shares | $1,000.00 | $1,024.27 | $0.60 |
Institutional Shares | 1,000.00 | 1,024.47 | 0.40 |
Tax-Managed Capital Appreciation Fund | |||
Admiral Shares | $1,000.00 | $1,024.27 | $0.60 |
Institutional Shares | 1,000.00 | 1,024.47 | 0.40 |
Tax-Managed Small-Cap Fund | |||
Admiral Shares | $1,000.00 | $1,024.27 | $0.60 |
Institutional Shares | 1,000.00 | 1,024.47 | 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, 0.12%; 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, 0.12% 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 Arrangement
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 Equity Investment 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 Equity Investment 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 (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
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 Maturity. The average length of time until fixed income securities held by a fund reach maturity and are repaid. In general, the longer the average 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.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
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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.
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 179 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
InterestedTrustee1 | and Delphi Automotive LLP (automotive components); |
Senior Advisor at New Mountain Capital; Trustee of | |
The Conference Board. | |
F. William McNabb III | |
Born 1957. Trustee Since July 2009. Chairman of the | Amy Gutmann |
Board. Principal Occupation(s) During the Past Five | Born 1949. Trustee Since June 2006. Principal |
Years: Chairman of the Board of The Vanguard Group, | Occupation(s) During the Past Five Years: President |
Inc., and of each of the investment companies served | of the University of Pennsylvania; Christopher H. |
by The Vanguard Group, since January 2010; Director | Browne Distinguished Professor of Political Science |
of The Vanguard Group since 2008; Chief Executive | in the School of Arts and Sciences with secondary |
Officer and President of The Vanguard Group and of | appointments at the Annenberg School for |
each of the investment companies served by The | Communication and the Graduate School of Education |
Vanguard Group since 2008; Director of Vanguard | of the University of Pennsylvania; Member of the |
Marketing Corporation; Managing Director of The | National Commission on the Humanities and Social |
Vanguard Group (1995–2008). | Sciences; Trustee of Carnegie Corporation of New |
York and of the National Constitution Center; Chair | |
of the U. S. Presidential Commission for the Study | |
IndependentTrustees | of Bioethical Issues. |
JoAnn Heffernan Heisen | |
Emerson U. Fullwood | Born 1950. Trustee Since July 1998. Principal |
Born 1948. Trustee Since January 2008. Principal | Occupation(s) During the Past Five Years: Corporate |
Occupation(s) During the Past Five Years: Executive | Vice President and Chief Global Diversity Officer |
Chief Staff and Marketing Officer for North America | (retired 2008) and Member of the Executive |
and Corporate Vice President (retired 2008) of Xerox | Committee (1997–2008) of Johnson & Johnson |
Corporation (document management products and | (pharmaceuticals/medical devices/consumer |
services); Executive in Residence and 2010 | products); Director of Skytop Lodge Corporation |
Distinguished Minett Professor at the Rochester | (hotels), the University Medical Center at Princeton, |
Institute of Technology; Director of SPX Corporation | the Robert Wood Johnson Foundation, and the Center |
(multi-industry manufacturing), the United Way of | for Talent Innovation; Member of the Advisory Board |
Rochester, Amerigroup Corporation (managed health | of the Maxwell School of Citizenship and Public Affairs |
care), the University of Rochester Medical Center, | at Syracuse University. |
Monroe Community College Foundation, and North | |
Carolina A&T University. | F. Joseph Loughrey |
Born 1949. Trustee Since October 2009. Principal | |
Rajiv L. Gupta | Occupation(s) During the Past Five Years: President |
Born 1945. Trustee Since December 2001.2 | and Chief Operating Officer (retired 2009) of Cummins |
Principal Occupation(s) During the Past Five Years: | Inc. (industrial machinery); Director of SKF AB |
Chairman and Chief Executive Officer (retired 2009) | (industrial machinery), Hillenbrand, Inc. (specialized |
and President (2006–2008) of Rohm Haas Co. | consumer services), the Lumina Foundation for |
(chemicals); Director of Tyco International, Ltd. | |
(diversified manufacturing and services), Hewlett- | |
Packard Co. (electronic computer manufacturing), | |
Education, and Oxfam America; Chairman of the | Executive Officers | |
Advisory Council for the College of Arts and Letters | ||
and Member of the Advisory Board to the Kellogg | Glenn Booraem | |
Institute for International Studies at the University | Born 1967. Controller Since July 2010. Principal | |
of Notre Dame. | Occupation(s) During the Past Five Years: Principal | |
of The Vanguard Group, Inc.; Controller of each of | ||
Mark Loughridge | the investment companies served by The Vanguard | |
Born 1953. Trustee Since March 2012. Principal | Group; Assistant Controller of each of the investment | |
Occupation(s) During the Past Five Years: Senior Vice | companies served by The Vanguard Group (2001–2010). | |
President and Chief Financial Officer at IBM (information | ||
technology services); Fiduciary Member of IBM’s | Thomas J. Higgins | |
Retirement Plan Committee. | Born 1957. Chief Financial Officer Since September | |
2008. Principal Occupation(s) During the Past Five | ||
Scott C. Malpass | Years: Principal of The Vanguard Group, Inc.; Chief | |
Born 1962. Trustee Since March 2012. Principal | Financial Officer of each of the investment companies | |
Occupation(s) During the Past Five Years: Chief | served by The Vanguard Group; Treasurer of each of | |
Investment Officer and Vice President at the University | the investment companies served by The Vanguard | |
of Notre Dame; Assistant Professor of Finance at the | Group (1998–2008). | |
Mendoza College of Business at Notre Dame; Member | ||
of the Notre Dame 403(b) Investment Committee; | Kathryn J. Hyatt | |
Director of TIFF Advisory Services, Inc. (investment | Born 1955. Treasurer Since November 2008. Principal | |
advisor); Member of the Investment Advisory | Occupation(s) During the Past Five Years: Principal of | |
Committees of the Financial Industry Regulatory | The Vanguard Group, Inc.; Treasurer of each of the | |
Authority (FINRA) and of Major League Baseball. | investment companies served by The Vanguard | |
Group; Assistant Treasurer of each of the investment | ||
André F. Perold | companies served by The Vanguard Group (1988–2008). | |
Born 1952. Trustee Since December 2004. Principal | ||
Occupation(s) During the Past Five Years: George | Heidi Stam | |
Gund Professor of Finance and Banking at the Harvard | Born 1956. Secretary Since July 2005. Principal | |
Business School (retired 2011); Chief Investment | Occupation(s) During the Past Five Years: Managing | |
Officer and Managing Partner of HighVista Strategies | Director of The Vanguard Group, Inc.; General Counsel | |
LLC (private investment firm); Director of Rand | of The Vanguard Group; Secretary of The Vanguard | |
Merchant Bank; Overseer of the Museum of Fine | Group and of each of the investment companies | |
Arts Boston. | served by The Vanguard Group; Director and Senior | |
Vice President of Vanguard Marketing Corporation. | ||
Alfred M. Rankin, Jr. | ||
Born 1941. Trustee Since January 1993. Principal | ||
Occupation(s) During the Past Five Years: Chairman, | Vanguard Senior ManagementTeam | |
President, and Chief Executive Officer of NACCO | ||
Industries, Inc. (forklift trucks/housewares/lignite); | Mortimer J. Buckley | Michael S. Miller |
Director of Goodrich Corporation (industrial products/ | Kathleen C. Gubanich | James M. Norris |
aircraft systems and services) and the National | Paul A. Heller | Glenn W. Reed |
Association of Manufacturers; Chairman of the Board | Martha G. King | George U. Sauter |
of the Federal Reserve Bank of Cleveland and of | Chris D. McIsaac | |
University Hospitals of Cleveland; Advisory Chairman | ||
of the Board of The Cleveland Museum of Art. | ||
Chairman Emeritus and Senior Advisor | ||
Peter F. Volanakis | ||
Born 1955. Trustee Since July 2009. Principal | John J. Brennan | |
Occupation(s) During the Past Five Years: President | Chairman, 1996–2009 | |
and Chief Operating Officer (retired 2010) of Corning | Chief Executive Officer and President, 1996–2008 | |
Incorporated (communications equipment); Director | ||
of SPX Corporation (multi-industry manufacturing); | ||
Overseer of the Amos Tuck School of Business | Founder | |
Administration at Dartmouth College; Advisor to the | ||
Norris Cotton Cancer Center. | John C. Bogle | |
Chairman and Chief Executive Officer, 1974–1996 | ||
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, 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. | |
© 2012 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q872 082012 |
Semiannual Report | June 30, 2012 |
Vanguard Tax-Managed |
International Fund |
Including Vanguard MSCI EAFE ETF |
> Admiral Shares of Vanguard Tax-Managed International Fund returned 3.61% for the six months ended June 30, 2012, a period marked by a strong start and a rocky finish.
> The fund’s return diverged from that of its target index because of temporary price differences arising from fair-value pricing policies.
> German stocks, seen as a something of a safe haven amid the most recent market turmoil, generated solid returns. Greece and Spain, nations at the center of the European debt crisis, turned in two of the weakest performances among global equity markets.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
Fund Profile. | 8 |
Performance Summary. | 10 |
Financial Statements. | 11 |
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.
About the cover: Vanguard was named for the HMS Vanguard, flagship of British Admiral Horatio Nelson. A ship—whose
performance and safety depend on the work of all hands—has served as a fitting metaphor for the Vanguard crew as we
strive to help clients reach their financial goals.
Your Fund’s Total Returns | |
Six Months Ended June 30, 2012 | |
Total | |
Returns | |
Vanguard Tax-Managed International Fund | |
Admiral™ Shares | 3.61% |
Institutional Shares | 3.72 |
MSCI EAFE ETF Shares | |
Market Price | 3.10 |
Net Asset Value | 3.68 |
MSCI EAFE Index | 2.96 |
International Funds Average | 3.85 |
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; 7,720,749; 7,925,573; 8,090,646.
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, 2011, Through June 30, 2012
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Tax-Managed International Fund | ||||
Admiral Shares | $9.79 | $10.14 | $0.004 | $0.000 |
Institutional Shares | 9.79 | 10.15 | 0.004 | 0.000 |
MSCI EAFE ETF Shares | 30.44 | 31.55 | 0.011 | 0.000 |
1
Chairman’s Letter
Dear Shareholder,
Stocks of developed nations opened 2012 with a strong rally that dissipated in the second quarter as concerns about Europe’s debt crisis returned to the fore. Still, stocks managed to cling to a portion of their earlier advance and finished the six months ended June 30, 2012, with modestly positive results.
Vanguard Tax-Managed International Fund returned 3.61% for Admiral Shares and 3.72% for Institutional Shares for the period. Vanguard MSCI EAFE ETF returned 3.68%, based on net asset value. The fund’s returns diverged from that of its target index, the MSCI EAFE Index, because of temporary price differences arising from fair-value pricing policies. (See the box on page 5 for an explanation of fair-value pricing.) Peer funds, on average, returned 3.85% for the half-year.
As it has since its inception, the fund met its tax-management objective of avoiding the distribution of any capital gains during the period. The relative strength of the U.S. dollar compared with the euro and the yen constrained results a bit as some holdings lost value when converted into U.S. dollars.
Please note that Vanguard eliminated the redemption fee for your fund, effective May 23. This 2% fee, which applied to shares redeemed within two months of purchase, was one of several measures in place to protect the interests of long-term investors and discourage frequent trading. The fund’s trustees determined that the fee was no longer needed.
2
In addition, we’re implementing a change to your fund’s dividend distribution. In the future, distributions will be made each quarter, rather than once a year. Spreading them out in this way will reduce the impact to the fund of generating cash for payments to shareholders whose dividends are not reinvested. We’re phasing in the change, so in 2012 dividends will be paid twice, in September and December.
In case you missed our announcement last month, George U. “Gus” Sauter, managing director and chief investment officer of Vanguard, plans to retire at the end of 2012. It’s hard to overstate the contributions that Gus has made to Vanguard in his 25-year career, including nearly a decade as our chief investment officer. He honed the strategy and built
the team that have helped make Vanguard a world leader in indexing. He has also played a pivotal role in developing our active quantitative equity strategies.
We’re fortunate that Mortimer J. “Tim” Buckley, managing director, will succeed Gus. Tim has been a member of Vanguard’s senior staff since 2001 and has directed Vanguard’s Retail Investor Group since 2006. I’ll have more to say about Gus’s retirement at the end of the year.
U.S. stocks posted strong returns, but Europe remained a trouble spot
Among major global markets, U.S. stocks were the standout performers for the six months ended June 30, returning about 9%. Domestic equities seemed to benefit from the perception that they offered
Market Barometer | |||
Total Returns | |||
Periods Ended June 30, 2012 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Stocks | |||
Russell 1000 Index (Large-caps) | 9.38% | 4.37% | 0.39% |
Russell 2000 Index (Small-caps) | 8.53 | -2.08 | 0.54 |
Dow Jones U.S. Total Stock Market Index | 9.45 | 3.78 | 0.63 |
MSCI All Country World Index ex USA (International) | 2.77 | -14.57 | -4.62 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable | |||
market) | 2.37% | 7.47% | 6.79% |
Barclays Municipal Bond Index (Broad tax-exempt | |||
market) | 3.66 | 9.90 | 5.95 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.03 | 0.04 | 0.87 |
CPI | |||
Consumer Price Index | 1.69% | 1.66% | 1.95% |
3
some shelter from the storms roiling European markets. International stocks didn’t fare as well, returning about 3%. European stocks were the weakest performers. Returns for emerging markets and the developed markets of the Pacific region were restrained by signs of slowing growth.
Throughout the period, investors were preoccupied with Europe’s debt troubles and global stock markets moved sharply up and down depending on whether the latest news from the region was positive or negative. Vanguard economists anticipate that Europe will remain a trouble spot. The most likely scenario is that Europe will “muddle through” for several years, with occasional spikes in market
volatility, given the need for additional fiscal tightening in the face of weak economic growth.
Investors’ appetite for Treasuries drove 10-year yield to a new low
Amid the turmoil in Europe, U.S. Treasury bonds continued to benefit from a “flight to quality.” Investor demand nudged bond prices higher, and in early June, the yield on the 10-year Treasury slipped below 1.5% for the first time. (Bond yields and prices move in opposite directions.) It’s important to understand that low yields do imply lower future returns: As yields tumble, the scope for further declines—and increases in prices—diminishes.
Expense Ratios
Your Fund Compared With Its Peer Group
MSCI | ||||
EAFE | ||||
Admiral | Institutional | ETF | Peer Group | |
Shares | Shares | Shares | Average | |
Tax-Managed International Fund | 0.12% | 0.08% | 0.12% | 1.37% |
The fund expense ratios shown are from the prospectus dated April 26, 2012, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2012, the fund’s annualized expense ratios were 0.11% for Admiral Shares, 0.07% for Institutional Shares, and 0.11% for MSCI EAFE ETF Shares. The peer-group expense ratio is derived from data provided by Lipper Inc. and captures information through year-end 2011.
Peer group: International Funds.
4
The broad U.S. taxable bond market posted a return of about 2% for the half-year. Municipal bonds remained a bright spot, delivering a return of more than 3%.
Keeping with a policy set in December 2008, the Federal Reserve Board held its target for the shortest-term interest rates between 0% and 0.25%. That policy has kept a tight lid on the returns from money market funds and savings accounts.
With Europe’s debt woes in focus, investors search for safe harbors
As I discussed, Europe was very much on the minds of investors during the half-year. Concerns intensified in the second quarter as the yields on bonds from some of the most financially distressed European countries rose sharply, an indication that investors were increasingly apprehensive about potential default risk. At the same time, investors sought stability in bonds from Germany, Europe’s largest economy. German stocks seemed buoyed by this flight to quality as well; German equities delivered the strongest performance among the major European nations.
Stocks in European countries that don’t participate in the euro common currency, including Denmark, Switzerland, and the United Kingdom, appeared to benefit from a perception that they’re insulated, at least somewhat, from the Eurozone’s woes. Not surprisingly, two countries in the Eurozone that are a focus of concern—Greece and Spain—experienced steep declines in their equity markets.
A note on fair-value pricing
The reported return of a fund that tracks an index sometimes may diverge from the index’s return a bit more than would be expected. This may be the result of a fair-value pricing adjustment.
These adjustments, which are required by the Securities and Exchange Commission, address pricing discrepancies that may arise because of time-zone differences among global stock markets. Foreign stocks may trade on exchanges that close hours before a fund’s closing share price is calculated in the United States, generally at 4 p.m., Eastern time. In the hours between the foreign close and the U.S. close, the value of foreign securities may change—because of company-specific announcements or market-wide developments, for example. Such price changes aren’t immediately reflected in international index values.
Fair-value pricing takes such changes into account in calculating the fund’s daily net asset value, thus ensuring that the NAV doesn’t include “stale” prices. The result can be a temporary divergence between the return of the fund and that of its benchmark index—a difference that usually corrects itself when the foreign markets reopen.
5
The developed markets of the Pacific region fared better than their European counterparts. But here, as I mentioned, slowing economic growth in China and elsewhere in Asia contributed to generally muted results. Stocks in Japan and Australia were up only modestly. Japan, which represented a little more than 20% of the fund’s assets as of June 30, has been struggling with anemic growth for more than two decades, and it is also still contending with the effects of last year’s tragic natural and nuclear disaster. Australia has benefited in recent years from robust demand for its natural resources from emerging markets nations, but the slowdown in those countries represents a challenge to the Australian economy.
Singapore bucked the trend of tepid gains as stocks from that nation delivered a double-digit return. Once again, investors seemed to be in search of a safe haven; Singapore’s financial institutions, which are perceived as being in a strong position, led the advance.
The good news: Investors are smart, and they’re getting smarter
In recent years, I’ve often written in this space about the challenges facing investors, from the 2008–2009 financial crisis to the more recent market volatility caused by Europe’s debt troubles. Bad news inevitably seems to grab attention, and it’s our responsibility to speak to you candidly about these difficulties and to offer Vanguard’s perspective.
In the interest of presenting a full picture, I think it’s also our responsibility to point out positive developments that may have been overlooked. On that score, I’ve been especially heartened to see individual investors become more discerning over time, particularly about the costs of investing. As I said in a recent address to financial advisors, “Individual investors are smart and getting smarter. And that’s a good thing. Increasingly, they are bringing a healthy consumer mentality to their investment portfolios. They want to know what they are buying and how much they are paying for it.”
Vanguard research confirms that over the past decade investors have displayed a growing cost consciousness, directing a larger share of their money to low-cost investments. You can read the full report—Costs Matter: Are Fund Investors Voting With Their Feet?—at vanguard.com/ research. In our view, investors serve their interests by focusing on costs. The math is simple: The less you pay for an investment, the more you keep. And cost savings can compound over the long term, potentially helping to build greater wealth.
6
So if you’re feeling buffeted by the latest headlines, it can be constructive to direct your attention to one of the things you can control: your investment costs. We continue to believe that holding a balanced and diversified portfolio of low-cost investments can give investors a greater chance of reaching their long-term financial goals. Vanguard Tax-Managed International Fund’s broad, low-cost exposure to developed markets outside of the United States can play an important role in such a plan.
As always, thank you for entrusting your assets to Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
July 20, 2012
7
Tax-Managed International Fund
Fund Profile
As of June 30, 2012
Share-Class Characteristics | |||
MSCI | |||
EAFE | |||
Admiral | Institutional | ETF | |
Shares | Shares | Shares | |
Ticker Symbol | VTMGX | VTMNX | VEA |
Expense Ratio1 | 0.12% | 0.08% | 0.12% |
Portfolio Characteristics | |||
MSCI AC | |||
MSCI | World | ||
EAFE | Index | ||
Fund | Index | ex USA | |
Number of Stocks | 893 | 919 | 1,833 |
Median Market Cap | $30.3B | $30.2B | $25.9B |
Price/Earnings Ratio | 13.5x | 13.5x | 12.9x |
Price/Book Ratio | 1.3x | 1.3x | 1.4x |
Return on Equity | 16.5% | 16.4% | 17.0% |
Earnings Growth Rate | 1.2% | 1.2% | 4.9% |
Dividend Yield | 3.8% | 3.8% | 3.5% |
Turnover Rate | |||
(Annualized) | 1% | — | — |
Short-Term Reserves | 0.0% | — | — |
Volatility Measures | ||
MSCI | MSCI AC | |
EAFE | World Index | |
Index | ex USA | |
R-Squared | 0.99 | 0.97 |
Beta | 1.02 | 1.01 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
Ten Largest Holdings (% of total net assets) | ||
Royal Dutch Shell plc | Integrated Oil & | |
Gas | 2.2% | |
Nestle SA | Packaged Foods & | |
Meats | 2.0 | |
BHP Billiton | Diversified Metals | |
& Mining | 1.7 | |
HSBC Holdings plc | Diversified Banks | 1.6 |
Vodafone Group plc | Wireless | |
Telecommunication | ||
Services | 1.4 | |
Novartis AG | Pharmaceuticals | 1.3 |
BP plc | Integrated Oil & | |
Gas | 1.3 | |
Roche Holding AG | Pharmaceuticals | 1.3 |
GlaxoSmithKline plc | Pharmaceuticals | 1.2 |
Toyota Motor Corp. | Automobile | |
Manufacturers | 1.2 | |
Top Ten | 15.2% |
The holdings listed exclude any temporary cash investments and equity index products.
1 The expense ratios shown are from the prospectus dated April 26, 2012, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2012, the annualized expense ratios were 0.11% for Admiral Shares, 0.07% for Institutional Shares, and 0.11% for MSCI EAFE ETF Shares.
8
Tax-Managed International Fund
Sector Diversification (% of equity exposure) | |||
MSCI AC | |||
MSCI | World | ||
EAFE | Index | ||
Fund | Index | ex USA | |
Consumer Discretionary 10.7% | 10.6% | 9.4% | |
Consumer Staples | 12.0 | 11.9 | 10.4 |
Energy | 8.4 | 8.4 | 10.9 |
Financials | 21.7 | 22.6 | 24.0 |
Health Care | 10.1 | 10.1 | 7.3 |
Industrials | 12.7 | 12.5 | 10.6 |
Information Technology | 4.6 | 4.5 | 6.4 |
Materials | 9.7 | 9.6 | 11.0 |
Telecommunication | |||
Services | 5.7 | 5.6 | 6.1 |
Utilities | 4.4 | 4.2 | 3.9 |
Market Diversification (% of equity exposure) | |||
MSCI AC | |||
MSCI | World | ||
EAFE | Index | ||
Fund | Index | ex USA | |
Europe | |||
United Kingdom | 23.3% | 23.2% | 15.8% |
France | 9.2 | 9.2 | 6.2 |
Switzerland | 8.5 | 8.5 | 5.8 |
Germany | 8.0 | 8.0 | 5.5 |
Sweden | 3.1 | 3.1 | 2.1 |
Spain | 2.7 | 2.7 | 1.8 |
Netherlands | 2.5 | 2.4 | 1.6 |
Italy | 2.2 | 2.2 | 1.5 |
Denmark | 1.1 | 1.1 | 0.8 |
Belgium | 1.1 | 1.1 | 0.8 |
Other | 2.5 | 2.4 | 1.6 |
Subtotal | 64.2% | 63.9% | 43.5% |
Pacific | |||
Japan | 21.9% | 21.8% | 14.8% |
Australia | 8.3 | 8.7 | 5.9 |
Hong Kong | 3.0 | 3.0 | 2.0 |
Singapore | 1.9 | 1.9 | 1.3 |
Other | 0.1 | 0.1 | 0.1 |
Subtotal | 35.2% | 35.5% | 24.1% |
Emerging Markets | 0.0% | 0.0% | 23.9% |
North America | 0.0% | 0.0% | 8.1% |
Middle East | 0.6% | 0.6% | 0.4% |
Allocation by Region (% of portfolio)
9
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, 2001, Through June 30, 2012
Tax-Managed International Fund Admiral Shares |
MSCI EAFE Index |
Note: For 2012, performance data reflect the six months ended June 30, 2012.
Average Annual Total Returns: Periods Ended June 30, 2012 | ||||
Inception | One | Five | Ten | |
Date | Year | Years | Years | |
Admiral Shares | 8/17/1999 | -13.84% | -5.81% | 5.32% |
Institutional Shares | 1/4/2001 | -13.78 | -5.75 | 5.40 |
MSCI EAFE ETF Shares | 7/20/2007 | |||
Market Price | -14.19 | — | -6.281 | |
Net Asset Value | -13.82 | — | -6.261 | |
1 Return since inception. |
See Financial Highlights for dividend and capital gains information.
10
Tax-Managed International Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of June 30, 2012
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. | 3,268,819 | 106,474 | 1.1% |
Commonwealth Bank of Australia | 1,602,402 | 87,756 | 0.9% |
Westpac Banking Corp. | 3,092,873 | 67,537 | 0.7% |
Australia & New Zealand Banking Group Ltd | . 2,717,441 | 61,904 | 0.6% |
National Australia Bank Ltd. | 2,269,511 | 55,280 | 0.6% |
Australia—Other † | 435,701 | 4.4% | |
814,652 | 8.3% | ||
Austria † | 26,115 | 0.3% | |
Belgium | |||
Anheuser-Busch InBev NV | 813,260 | 64,119 | 0.7% |
Belgium—Other † | 44,511 | 0.4% | |
108,630 | 1.1% | ||
China † | 1,289 | 0.0% | |
Denmark | |||
Novo Nordisk A/S Class B | 411,684 | 59,709 | 0.6% |
Denmark—Other † | 52,051 | 0.6% | |
111,760 | 1.2% | ||
Finland † | 70,788 | 0.7% | |
France | |||
Total SA | 2,153,271 | 96,917 | 1.0% |
Sanofi | 1,228,951 | 93,033 | 1.0% |
LVMH Moet Hennessy Louis Vuitton SA | 257,361 | 39,168 | 0.4% |
BNP Paribas SA | 982,239 | 37,870 | 0.4% |
France—Other † | 629,589 | 6.4% | |
896,577 | 9.2% |
11
Tax-Managed International Fund | |||
Market | Percentage | ||
Value | of Net | ||
Shares | ($000) | Assets | |
Germany | |||
Siemens AG | 827,087 | 69,498 | 0.7% |
BASF SE | 927,273 | 64,478 | 0.7% |
Bayer AG | 843,441 | 60,778 | 0.6% |
SAP AG | 921,682 | 54,578 | 0.5% |
Allianz SE | 464,853 | 46,757 | 0.5% |
Daimler AG | 922,340 | 41,450 | 0.4% |
E.ON AG | 1,829,942 | 39,544 | 0.4% |
Germany—Other † | 407,731 | 4.2% | |
784,814 | 8.0% | ||
Greece † | 4,692 | 0.1% | |
1Hong Kong | |||
Hang Seng Bank Ltd. | 790,043 | 10,862 | 0.1% |
Hong Kong—Other † | 284,247 | 2.9% | |
295,109 | 3.0% | ||
Ireland † | 29,196 | 0.3% | |
Israel † | 57,153 | 0.6% | |
Italy | |||
Eni SPA | 2,445,418 | 51,954 | 0.5% |
Italy—Other † | 160,192 | 1.7% | |
212,146 | 2.2% | ||
Japan | |||
Toyota Motor Corp. | 2,802,518 | 113,116 | 1.1% |
Mitsubishi UFJ Financial Group Inc. | 12,855,944 | 61,591 | 0.6% |
Honda Motor Co. Ltd. | 1,657,239 | 57,830 | 0.6% |
Canon Inc. | 1,131,333 | 45,152 | 0.5% |
Sumitomo Mitsui Financial Group Inc. | 1,361,558 | 44,979 | 0.5% |
Mizuho Financial Group Inc. | 23,181,561 | 39,159 | 0.4% |
Chugai Pharmaceutical Co. Ltd. | 258,600 | 4,902 | 0.1% |
Daihatsu Motor Co. Ltd. | 205,000 | 3,589 | 0.0% |
Hino Motors Ltd. | 145,000 | 1,049 | 0.0% |
Japan—Other † | 1,773,123 | 18.1% | |
2,144,490 | 21.9% | ||
Netherlands | |||
Unilever NV | 1,643,765 | 54,911 | 0.6% |
Netherlands—Other † | 188,500 | 1.9% | |
243,411 | 2.5% | ||
New Zealand † | 11,868 | 0.1% | |
Norway † | 90,921 | 0.9% | |
Portugal † | 15,933 | 0.2% | |
Singapore † | 181,705 | 1.9% |
12
Tax-Managed International Fund | |||
Market | Percentage | ||
Value | of Net | ||
Shares | ($000) | Assets | |
Spain | |||
Banco Santander SA | 9,438,086 | 62,435 | 0.6% |
Telefonica SA | 4,130,596 | 54,373 | 0.6% |
Spain—Other † | 147,569 | 1.5% | |
264,377 | 2.7% | ||
Sweden † | 304,527 | 3.1% | |
Switzerland | |||
Nestle SA | 3,344,279 | 199,580 | 2.0% |
Novartis AG | 2,340,000 | 130,833 | 1.3% |
Roche Holding AG | 714,688 | 123,450 | 1.3% |
UBS AG | 3,718,256 | 43,512 | 0.5% |
Switzerland—Other † | 336,341 | 3.4% | |
833,716 | 8.5% | ||
United Kingdom | |||
HSBC Holdings plc | 18,210,837 | 160,473 | 1.6% |
Vodafone Group plc | 50,281,819 | 141,332 | 1.4% |
BP plc | 19,245,541 | 128,527 | 1.3% |
Royal Dutch Shell plc Class A | 3,628,811 | 122,267 | 1.3% |
GlaxoSmithKline plc | 5,126,110 | 116,436 | 1.2% |
British American Tobacco plc | 1,985,115 | 100,925 | 1.0% |
Royal Dutch Shell plc Class B | 2,704,547 | 94,454 | 1.0% |
BG Group plc | 3,448,654 | 70,600 | 0.7% |
Diageo plc | 2,527,401 | 65,145 | 0.7% |
Rio Tinto plc | 1,360,956 | 64,678 | 0.7% |
BHP Billiton plc | 2,116,180 | 60,148 | 0.6% |
AstraZeneca plc | 1,290,900 | 57,688 | 0.6% |
Standard Chartered plc | 2,385,862 | 51,829 | 0.5% |
Anglo American plc | 1,341,744 | 44,097 | 0.5% |
Unilever plc | 1,278,836 | 42,936 | 0.4% |
Imperial Tobacco Group plc | 1,028,666 | 39,633 | 0.4% |
TESCO plc | 8,101,104 | 39,370 | 0.4% |
SABMiller plc | 959,263 | 38,487 | 0.4% |
Royal Dutch Shell plc Class A (Amsterdam Shares) | 67,141 | 2,266 | 0.0% |
United Kingdom—Other † | 838,667 | 8.6% | |
2,279,958 | 23.3% | ||
Total Investments (Cost $10,722,203) | 9,783,827 | 100.1% | |
Other Assets and Liabilities | |||
Other Assets | 52,288 | 0.5% | |
Liabilities | (62,346) | (0.6%) | |
(10,058) | (0.1%) | ||
Net Assets | 9,773,769 | 100.0% |
13
Tax-Managed International Fund | |
At June 30, 2012, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 10,981,437 |
Undistributed Net Investment Income | 216,351 |
Accumulated Net Realized Losses | (485,436) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | (938,376) |
Foreign Currencies | (207) |
Net Assets | 9,773,769 |
Admiral Shares—Net Assets | |
Applicable to 124,045,922 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 1,258,216 |
Net Asset Value Per Share—Admiral Shares | $10.14 |
Institutional Shares—Net Assets | |
Applicable to 30,962,638 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 314,349 |
Net Asset Value Per Share—Institutional Shares | $10.15 |
ETF Shares—Net Assets | |
Applicable to 259,973,096 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 8,201,204 |
Net Asset Value Per Share—ETF Shares | $31.55 |
See Note A in Notes to Financial Statements.
† 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.
1 Certain of the fund’s securities are 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, 2012, the aggregate value of these securities was $39,542,000, representing 0.4% of net assets.
See accompanying Notes, which are an integral part of the Financial Statements.
14
Tax-Managed International Fund | |
Statement of Operations | |
Six Months Ended | |
June 30, 2012 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 231,627 |
Interest2 | 19 |
Total Income | 231,646 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 331 |
Management and Administrative—Admiral Shares | 349 |
Management and Administrative—Institutional Shares | 39 |
Management and Administrative—ETF Shares | 2,204 |
Marketing and Distribution—Admiral Shares | 209 |
Marketing and Distribution—Institutional Shares | 47 |
Marketing and Distribution—ETF Shares | 1,157 |
Custodian Fees | 472 |
Shareholders’ Reports—Admiral Shares | — |
Shareholders’ Reports—Institutional Shares | — |
Shareholders’ Reports—ETF Shares | 87 |
Trustees’ Fees and Expenses | 4 |
Total Expenses | 4,899 |
Net Investment Income | 226,747 |
Realized Net Gain (Loss) | |
Investment Securities Sold | (55,698) |
Foreign Currencies | (883) |
Realized Net Gain (Loss) | (56,581) |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 72,288 |
Foreign Currencies | 24 |
Change in Unrealized Appreciation (Depreciation) | 72,312 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 242,478 |
1 Dividends are net of foreign withholding taxes of $20,819,000.
2 Interest income from an affiliated company of the fund was $19,000.
See accompanying Notes, which are an integral part of the Financial Statements.
Tax-Managed International Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2012 | 2011 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 226,747 | 268,837 |
Realized Net Gain (Loss) | (56,581) | 92,738 |
Change in Unrealized Appreciation (Depreciation) | 72,312 | (1,527,668) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 242,478 | (1,166,093) |
Distributions | ||
Net Investment Income | ||
Admiral Shares1 | (500) | (41,602) |
Institutional Shares | (124) | (9,198) |
ETF Shares | (2,667) | (217,331) |
Realized Capital Gain | ||
Admiral Shares1 | — | — |
Institutional Shares | — | — |
ETF Shares | — | — |
Total Distributions | (3,291) | (268,131) |
Capital Share Transactions | ||
Admiral Shares1 | (14,852) | (22,043) |
Institutional Shares | 10,096 | 88,145 |
ETF Shares | 1,581,299 | 2,183,653 |
Net Increase (Decrease) from Capital Share Transactions | 1,576,543 | 2,249,755 |
Total Increase (Decrease) | 1,815,730 | 815,531 |
Net Assets | ||
Beginning of Period | 7,958,039 | 7,142,508 |
End of Period2 | 9,773,769 | 7,958,039 |
1 Investor Shares were renamed Admiral Shares as of the close of business on May 13, 2011.
2 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $216,351,000 and ($6,226,000).
See accompanying Notes, which are an integral part of the Financial Statements.
16
Tax-Managed International Fund | ||||||
Financial Highlights | ||||||
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $9.79 | $11.58 | $10.95 | $8.74 | $15.40 | $14.16 |
Investment Operations | ||||||
Net Investment Income | .236 | .342 | .278 | .2771 | .290 | .332 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | .118 | (1.794) | .634 | 2.190 | (6.661) | 1.244 |
Total from Investment Operations | .354 | (1.452) | .912 | 2.467 | (6.371) | 1.576 |
Distributions | ||||||
Dividends from Net Investment Income | (.004) | (.338) | (.282) | (.257) | (.289) | (.336) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.004) | (.338) | (.282) | (.257) | (.289) | (.336) |
Net Asset Value, End of Period | $10.14 | $9.79 | $11.58 | $10.95 | $8.74 | $15.40 |
Total Return2 | 3.61% | -12.51% | 8.36% | 28.27% | -41.27% | 11.15% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,258 | $1,229 | $1,476 | $1,409 | $1,131 | $1,915 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.11% | 0.12% | 0.18% | 0.20% | 0.15% | 0.15% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 4.82% | 3.31% | 2.70% | 2.87% | 3.47% | 2.71% |
Portfolio Turnover Rate3 | 1% | 5% | 6% | 9% | 16% | 6% |
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.
17
Tax-Managed International Fund | ||||||
Financial Highlights | ||||||
Institutional Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $9.79 | $11.60 | $10.96 | $8.74 | $15.41 | $14.17 |
Investment Operations | ||||||
Net Investment Income | .239 | .347 | .289 | .2881 | .296 | .341 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | .125 | (1.813) | .644 | 2.197 | (6.671) | 1.244 |
Total from Investment Operations | .364 | (1.466) | .933 | 2.485 | (6.375) | 1.585 |
Distributions | ||||||
Dividends from Net Investment Income | (.004) | (.344) | (.293) | (.265) | (.295) | (.345) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.004) | (.344) | (.293) | (.265) | (.295) | (.345) |
Net Asset Value, End of Period | $10.15 | $9.79 | $11.60 | $10.96 | $8.74 | $15.41 |
Total Return2 | 3.72% | -12.62% | 8.55% | 28.48% | -41.27% | 11.21% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $314 | $294 | $253 | $219 | $242 | $568 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.07% | 0.08% | 0.08% | 0.10% | 0.09% | 0.09% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 4.86% | 3.35% | 2.80% | 2.97% | 3.53% | 2.77% |
Portfolio Turnover Rate3 | 1% | 5% | 6% | 9% | 16% | 6% |
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.
18
Tax-Managed International Fund | ||||||
Financial Highlights | ||||||
MSCI EAFE ETF Shares | ||||||
Six Months | July 20, | |||||
Ended | 20071 to | |||||
Year Ended December 31, | ||||||
For a Share Outstanding | June 30, | Dec. 31, | ||||
Throughout Each Period | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 |
Net Asset Value, Beginning of Period | $30.44 | $36.04 | $34.06 | $27.18 | $47.92 | $49.99 |
Investment Operations | ||||||
Net Investment Income | .736 | 1.067 | .887 | .8602 | .934 | .204 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | .385 | (5.609) | 1.990 | 6.836 | (20.744) | (1.219) |
Total from Investment Operations | 1.121 | (4.542) | 2.877 | 7.696 | (19.810) | (1.015) |
Distributions | ||||||
Dividends from Net Investment Income | (.011) | (1.058) | (.897) | (.816) | (.930) | (1.055) |
Distributions from Realized Capital Gains | — | — | — | — | — | — |
Total Distributions | (.011) | (1.058) | (.897) | (.816) | (.930) | (1.055) |
Net Asset Value, End of Period | $31.55 | $30.44 | $36.04 | $34.06 | $27.18 | $47.92 |
Total Return | 3.68% | -12.57% | 8.47% | 28.34% | -41.25% | -2.02% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $8,201 | $6,435 | $5,414 | $4,356 | $2,292 | $653 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.11% | 0.12% | 0.12% | 0.15% | 0.11% | 0.12%3 |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 4.82% | 3.31% | 2.76% | 2.92% | 3.51% | 2.74%3 |
Portfolio Turnover Rate4 | 1% | 5% | 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.
19
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 and 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.
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.
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, 2008–2011), and for the period ended June 30, 2012, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. 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.
20
Tax-Managed International Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At June 30, 2012, the fund had contributed capital of $1,379,000 to Vanguard (included in Other Assets), representing 0.01% 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 market value of the fund’s investments as of June 30, 2012, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 1,308 | 9,782,519 | — |
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, 2012, the fund realized net foreign currency losses of $883,000, which decreased distributable net income for tax purposes; accordingly, such losses have been reclassified from accumulated net realized losses to undistributed net investment income.
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, 2011, the fund had available capital loss carryforwards totaling $429,605,000 to offset future net capital gains of $90,589,000 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, 2012; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
21
Tax-Managed International Fund
At June 30, 2012, the cost of investment securities for tax purposes was $10,722,203,000. Net unrealized depreciation of investment securities for tax purposes was $938,376,000, consisting of unrealized gains of $749,719,000 on securities that had risen in value since their purchase and $1,688,095,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended June 30, 2012, the fund purchased $1,954,105,000 of investment securities and sold $142,437,000 of investment securities, other than temporary cash investments.
F. Capital share transactions for each class of shares were:
Six Months Ended | Year Ended | |||
June 30, 2012 | December 31, 2011 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Admiral Shares1 | ||||
Issued | 67,513 | 6,579 | 1,634,445 | 136,031 |
Issued in Lieu of Cash Distributions | 394 | 36 | 32,302 | 3,328 |
Redeemed2 | (82,759) | (8,146) | (1,688,790) | (141,153) |
Net Increase (Decrease)—Admiral Shares | (14,852) | (1,531) | (22,043) | (1,794) |
Institutional Shares | ||||
Issued | 18,715 | 1,841 | 94,698 | 8,648 |
Issued in Lieu of Cash Distributions | 103 | 9 | 7,529 | 775 |
Redeemed2 | (8,722) | (868) | (14,082) | (1,224) |
Net Increase (Decrease)—Institutional Shares | 10,096 | 982 | 88,145 | 8,199 |
ETF Shares | ||||
Issued | 1,581,299 | 48,549 | 2,453,259 | 69,201 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed2 | — | — | (269,606) | (8,000) |
Net Increase (Decrease)—ETF Shares | 1,581,299 | 48,549 | 2,183,653 | 61,201 |
1 Investor Shares were renamed Admiral Shares as of the close of business on May 13, 2011.
2 Net of redemption fees for fiscal 2012 and 2011 of $0 and $155,000. Effective May 23, 2012, the redemption fee was eliminated.
G. In preparing the financial statements as of June 30, 2012, 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, 2012 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
Tax-Managed International Fund | 12/31/2011 | 6/30/2012 | Period |
Based on Actual Fund Return | |||
Admiral Shares | $1,000.00 | $1,036.13 | $0.56 |
Institutional Shares | 1,000.00 | 1,037.15 | 0.35 |
MSCI EAFE ETF Shares | 1,000.00 | 1,036.80 | 0.56 |
Based on Hypothetical 5% Yearly Return | |||
Admiral Shares | $1,000.00 | $1,024.32 | $0.55 |
Institutional Shares | 1,000.00 | 1,024.52 | 0.35 |
MSCI EAFE ETF Shares | 1,000.00 | 1,024.32 | 0.55 |
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 0.11% for Admiral Shares, 0.07% for Institutional Shares, and 0.11% 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 Equity Investment 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 Equity Investment 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. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
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.
26
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.
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 179 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
InterestedTrustee1 | and Delphi Automotive LLP (automotive components); |
Senior Advisor at New Mountain Capital; Trustee of | |
The Conference Board. | |
F. William McNabb III | |
Born 1957. Trustee Since July 2009. Chairman of the | Amy Gutmann |
Board. Principal Occupation(s) During the Past Five | Born 1949. Trustee Since June 2006. Principal |
Years: Chairman of the Board of The Vanguard Group, | Occupation(s) During the Past Five Years: President |
Inc., and of each of the investment companies served | of the University of Pennsylvania; Christopher H. |
by The Vanguard Group, since January 2010; Director | Browne Distinguished Professor of Political Science |
of The Vanguard Group since 2008; Chief Executive | in the School of Arts and Sciences with secondary |
Officer and President of The Vanguard Group and of | appointments at the Annenberg School for |
each of the investment companies served by The | Communication and the Graduate School of Education |
Vanguard Group since 2008; Director of Vanguard | of the University of Pennsylvania; Member of the |
Marketing Corporation; Managing Director of The | National Commission on the Humanities and Social |
Vanguard Group (1995–2008). | Sciences; Trustee of Carnegie Corporation of New |
York and of the National Constitution Center; Chair | |
of the U. S. Presidential Commission for the Study | |
IndependentTrustees | of Bioethical Issues. |
JoAnn Heffernan Heisen | |
Emerson U. Fullwood | Born 1950. Trustee Since July 1998. Principal |
Born 1948. Trustee Since January 2008. Principal | Occupation(s) During the Past Five Years: Corporate |
Occupation(s) During the Past Five Years: Executive | Vice President and Chief Global Diversity Officer |
Chief Staff and Marketing Officer for North America | (retired 2008) and Member of the Executive |
and Corporate Vice President (retired 2008) of Xerox | Committee (1997–2008) of Johnson & Johnson |
Corporation (document management products and | (pharmaceuticals/medical devices/consumer |
services); Executive in Residence and 2010 | products); Director of Skytop Lodge Corporation |
Distinguished Minett Professor at the Rochester | (hotels), the University Medical Center at Princeton, |
Institute of Technology; Director of SPX Corporation | the Robert Wood Johnson Foundation, and the Center |
(multi-industry manufacturing), the United Way of | for Talent Innovation; Member of the Advisory Board |
Rochester, Amerigroup Corporation (managed health | of the Maxwell School of Citizenship and Public Affairs |
care), the University of Rochester Medical Center, | at Syracuse University. |
Monroe Community College Foundation, and North | |
Carolina A&T University. | F. Joseph Loughrey |
Born 1949. Trustee Since October 2009. Principal | |
Rajiv L. Gupta | Occupation(s) During the Past Five Years: President |
Born 1945. Trustee Since December 2001.2 | and Chief Operating Officer (retired 2009) of Cummins |
Principal Occupation(s) During the Past Five Years: | Inc. (industrial machinery); Director of SKF AB |
Chairman and Chief Executive Officer (retired 2009) | (industrial machinery), Hillenbrand, Inc. (specialized |
and President (2006–2008) of Rohm Haas Co. | consumer services), the Lumina Foundation for |
(chemicals); Director of Tyco International, Ltd. | |
(diversified manufacturing and services), Hewlett- | |
Packard Co. (electronic computer manufacturing), | |
Education, and Oxfam America; Chairman of the | Executive Officers | |
Advisory Council for the College of Arts and Letters | ||
and Member of the Advisory Board to the Kellogg | Glenn Booraem | |
Institute for International Studies at the University | Born 1967. Controller Since July 2010. Principal | |
of Notre Dame. | Occupation(s) During the Past Five Years: Principal | |
of The Vanguard Group, Inc.; Controller of each of | ||
Mark Loughridge | the investment companies served by The Vanguard | |
Born 1953. Trustee Since March 2012. Principal | Group; Assistant Controller of each of the investment | |
Occupation(s) During the Past Five Years: Senior Vice | companies served by The Vanguard Group (2001–2010). | |
President and Chief Financial Officer at IBM (information | ||
technology services); Fiduciary Member of IBM’s | Thomas J. Higgins | |
Retirement Plan Committee. | Born 1957. Chief Financial Officer Since September | |
2008. Principal Occupation(s) During the Past Five | ||
Scott C. Malpass | Years: Principal of The Vanguard Group, Inc.; Chief | |
Born 1962. Trustee Since March 2012. Principal | Financial Officer of each of the investment companies | |
Occupation(s) During the Past Five Years: Chief | served by The Vanguard Group; Treasurer of each of | |
Investment Officer and Vice President at the University | the investment companies served by The Vanguard | |
of Notre Dame; Assistant Professor of Finance at the | Group (1998–2008). | |
Mendoza College of Business at Notre Dame; Member | ||
of the Notre Dame 403(b) Investment Committee; | Kathryn J. Hyatt | |
Director of TIFF Advisory Services, Inc. (investment | Born 1955. Treasurer Since November 2008. Principal | |
advisor); Member of the Investment Advisory | Occupation(s) During the Past Five Years: Principal of | |
Committees of the Financial Industry Regulatory | The Vanguard Group, Inc.; Treasurer of each of the | |
Authority (FINRA) and of Major League Baseball. | investment companies served by The Vanguard | |
Group; Assistant Treasurer of each of the investment | ||
André F. Perold | companies served by The Vanguard Group (1988–2008). | |
Born 1952. Trustee Since December 2004. Principal | ||
Occupation(s) During the Past Five Years: George | Heidi Stam | |
Gund Professor of Finance and Banking at the Harvard | Born 1956. Secretary Since July 2005. Principal | |
Business School (retired 2011); Chief Investment | Occupation(s) During the Past Five Years: Managing | |
Officer and Managing Partner of HighVista Strategies | Director of The Vanguard Group, Inc.; General Counsel | |
LLC (private investment firm); Director of Rand | of The Vanguard Group; Secretary of The Vanguard | |
Merchant Bank; Overseer of the Museum of Fine | Group and of each of the investment companies | |
Arts Boston. | served by The Vanguard Group; Director and Senior | |
Vice President of Vanguard Marketing Corporation. | ||
Alfred M. Rankin, Jr. | ||
Born 1941. Trustee Since January 1993. Principal | ||
Occupation(s) During the Past Five Years: Chairman, | Vanguard Senior ManagementTeam | |
President, and Chief Executive Officer of NACCO | ||
Industries, Inc. (forklift trucks/housewares/lignite); | Mortimer J. Buckley | Michael S. Miller |
Director of Goodrich Corporation (industrial products/ | Kathleen C. Gubanich | James M. Norris |
aircraft systems and services) and the National | Paul A. Heller | Glenn W. Reed |
Association of Manufacturers; Chairman of the Board | Martha G. King | George U. Sauter |
of the Federal Reserve Bank of Cleveland and of | Chris D. McIsaac | |
University Hospitals of Cleveland; Advisory Chairman | ||
of the Board of The Cleveland Museum of Art. | ||
Chairman Emeritus and Senior Advisor | ||
Peter F. Volanakis | ||
Born 1955. Trustee Since July 2009. Principal | John J. Brennan | |
Occupation(s) During the Past Five Years: President | Chairman, 1996–2009 | |
and Chief Operating Officer (retired 2010) of Corning | Chief Executive Officer and President, 1996–2008 | |
Incorporated (communications equipment); Director | ||
of SPX Corporation (multi-industry manufacturing); | ||
Overseer of the Amos Tuck School of Business | Founder | |
Administration at Dartmouth College; Advisor to the | ||
Norris Cotton Cancer Center. | John C. Bogle | |
Chairman and Chief Executive Officer, 1974–1996 | ||
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, 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 |
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Fund Information > 800-662-7447 | |
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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. | |
© 2012 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q1272 082012 |
Vanguard® Tax-Managed International Fund
Schedule of Investments
June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
Common Stocks (100.1%) | ||
Australia (8.3%) | ||
BHP Billiton Ltd. | 3,268,819 | 106,474 |
Commonwealth Bank of Australia | 1,602,402 | 87,756 |
Westpac Banking Corp. | 3,092,873 | 67,537 |
Australia & New Zealand Banking Group Ltd. | 2,717,441 | 61,904 |
National Australia Bank Ltd. | 2,269,511 | 55,280 |
Woolworths Ltd. | 1,260,993 | 34,713 |
Wesfarmers Ltd. | 1,040,972 | 32,043 |
Rio Tinto Ltd. | 443,575 | 26,041 |
CSL Ltd. | 538,095 | 21,826 |
Woodside Petroleum Ltd. | 658,677 | 21,108 |
Newcrest Mining Ltd. | 768,055 | 17,874 |
Telstra Corp. Ltd. | 4,441,430 | 16,828 |
QBE Insurance Group Ltd. | 1,164,818 | 16,099 |
Origin Energy Ltd. | 1,162,273 | 14,638 |
AMP Ltd. | 3,118,972 | 12,412 |
Suncorp Group Ltd. | 1,449,067 | 12,109 |
Santos Ltd. | 960,119 | 10,574 |
Brambles Ltd. | 1,630,212 | 10,339 |
Orica Ltd. | 395,521 | 10,075 |
Macquarie Group Ltd. | 344,839 | 9,312 |
Amcor Ltd. | 1,240,829 | 9,058 |
Coca-Cola Amatil Ltd. | 658,070 | 9,044 |
Transurban Group | 1,505,203 | 8,792 |
AGL Energy Ltd. | 576,597 | 8,763 |
Insurance Australia Group Ltd. | 2,167,090 | 7,773 |
Fortescue Metals Group Ltd. | 1,393,544 | 7,121 |
QR National Ltd. | 1,681,268 | 5,889 |
ASX Ltd. | 190,124 | 5,836 |
WorleyParsons Ltd. | 209,122 | 5,430 |
Lend Lease Group | 710,314 | 5,283 |
Sonic Healthcare Ltd. | 388,318 | 5,079 |
Incitec Pivot Ltd. | 1,709,127 | 5,049 |
Iluka Resources Ltd. | 414,191 | 4,888 |
Asciano Ltd. | 1,024,632 | 4,602 |
Computershare Ltd. | 588,596 | 4,499 |
Cochlear Ltd. | 60,425 | 4,104 |
Tatts Group Ltd. | 1,510,332 | 4,070 |
Campbell Brothers Ltd. | 70,811 | 3,970 |
James Hardie Industries SE | 464,270 | 3,828 |
Toll Holdings Ltd. | 928,160 | 3,816 |
Ramsay Health Care Ltd. | 161,733 | 3,758 |
Crown Ltd. | 406,981 | 3,559 |
Echo Entertainment Group Ltd. | 799,198 | 3,524 |
OZ Minerals Ltd. | 424,358 | 3,462 |
Bendigo and Adelaide Bank Ltd. | 422,293 | 3,227 |
APA Group | 622,399 | 3,195 |
Leighton Holdings Ltd. | 184,019 | 3,100 |
Boral Ltd. | 947,033 | 2,886 |
Metcash Ltd. | 825,428 | 2,860 |
Centro Retail Australia | 1,391,110 | 2,824 |
TABCORP Holdings Ltd. | 882,036 | 2,660 |
Sims Metal Management Ltd. | 245,639 | 2,433 |
Alumina Ltd. | 2,885,916 | 2,367 |
SP AusNet | 2,154,623 | 2,258 |
Caltex Australia Ltd. | 152,868 | 2,135 |
Whitehaven Coal Ltd. | 488,840 | 2,102 |
Harvey Norman Holdings Ltd. | 854,464 | 1,718 |
* Qantas Airways Ltd. | 1,500,683 | 1,667 |
Fairfax Media Ltd. | 2,700,382 | 1,549 |
Sydney Airport | 322,988 | 963 |
Newcrest Mining Ltd. ADR | 22,953 | 539 |
1
Vanguard® Tax-Managed International Fund
Schedule of Investments
June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
Sims Metal Management Ltd. ADR | 3,072 | 30 |
814,652 | ||
Austria (0.3%) | ||
OMV AG | 163,261 | 5,134 |
Telekom Austria AG | 423,608 | 4,164 |
* Erste Group Bank AG | 207,707 | 3,945 |
Andritz AG | 70,670 | 3,634 |
Voestalpine AG | 105,196 | 2,794 |
Vienna Insurance Group AG Wiener Versicherung Gruppe | 60,590 | 2,449 |
Verbund AG | 87,368 | 2,001 |
Raiffeisen Bank International AG | 60,891 | 1,994 |
26,115 | ||
Belgium (1.1%) | ||
Anheuser-Busch InBev NV | 813,260 | 64,119 |
Solvay SA Class A | 67,208 | 6,636 |
Umicore SA | 138,514 | 6,404 |
UCB SA | 115,797 | 5,849 |
Belgacom SA | 182,920 | 5,202 |
Ageas | 2,277,996 | 4,524 |
Colruyt SA | 97,792 | 4,363 |
Delhaize Group SA | 109,556 | 4,013 |
KBC Groep NV | 184,302 | 3,897 |
Telenet Group Holding NV | 53,769 | 2,353 |
Mobistar SA | 37,081 | 1,270 |
108,630 | ||
China (0.0%) | ||
MGM China Holdings Ltd. | 840,800 | 1,289 |
Denmark (1.2%) | ||
Novo Nordisk A/S Class B | 411,684 | 59,709 |
AP Moeller - Maersk A/S Class B | 1,436 | 9,417 |
Carlsberg A/S Class B | 115,709 | 9,133 |
* Danske Bank A/S | 630,116 | 8,761 |
Novozymes A/S | 238,840 | 6,193 |
Coloplast A/S Class B | 21,803 | 3,920 |
DSV A/S | 173,216 | 3,435 |
TDC A/S | 471,035 | 3,274 |
AP Moeller - Maersk A/S Class A | 490 | 3,050 |
* William Demant Holding A/S | 32,046 | 2,881 |
Tryg A/S | 35,346 | 1,987 |
111,760 | ||
Finland (0.7%) | ||
Sampo Oyj | 446,834 | 11,593 |
Kone Oyj Class B | 168,667 | 10,186 |
Fortum Oyj | 468,871 | 8,904 |
Nokia Oyj | 3,782,143 | 7,716 |
Wartsila OYJ Abp | 194,536 | 6,373 |
UPM-Kymmene Oyj | 470,551 | 5,323 |
Nokian Renkaat Oyj | 125,633 | 4,773 |
Metso Oyj | 111,978 | 3,861 |
Stora Enso Oyj | 470,456 | 2,896 |
Elisa Oyj | 115,612 | 2,328 |
Pohjola Bank plc Class A | 196,824 | 2,297 |
Neste Oil Oyj | 204,020 | 2,296 |
Orion Oyj Class B | 60,594 | 1,148 |
Kesko Oyj Class B | 41,838 | 1,094 |
70,788 | ||
France (9.2%) | ||
Total SA | 2,153,271 | 96,917 |
Sanofi | 1,228,951 | 93,033 |
LVMH Moet Hennessy Louis Vuitton SA | 257,361 | 39,168 |
BNP Paribas SA | 982,239 | 37,870 |
Danone SA | 585,622 | 36,395 |
2
Vanguard® Tax-Managed International Fund
Schedule of Investments
June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
Air Liquide SA | 316,724 | 36,211 |
GDF Suez | 1,262,371 | 30,105 |
Schneider Electric SA | 521,963 | 29,013 |
L'Oreal SA | 246,311 | 28,820 |
France Telecom SA | 1,887,310 | 24,815 |
AXA SA | 1,813,153 | 24,240 |
Vivendi SA | 1,291,881 | 24,004 |
Pernod-Ricard SA | 212,721 | 22,747 |
Vinci SA | 454,116 | 21,223 |
Cie Generale d'Optique Essilor International SA | 210,241 | 19,531 |
Unibail-Rodamco SE | 95,627 | 17,616 |
* Societe Generale SA | 676,278 | 15,858 |
European Aeronautic Defence and Space Co. NV | 420,020 | 14,907 |
Cie de St-Gobain | 395,018 | 14,596 |
ArcelorMittal | 916,507 | 14,022 |
Cie Generale des Etablissements Michelin | 185,804 | 12,157 |
Technip SA | 106,376 | 11,086 |
PPR | 77,475 | 11,043 |
Carrefour SA | 591,185 | 10,917 |
Lafarge SA | 213,176 | 9,520 |
Safran SA | 225,686 | 8,381 |
Renault SA | 200,344 | 8,000 |
Legrand SA | 234,659 | 7,964 |
Christian Dior SA | 57,478 | 7,905 |
Sodexo | 97,511 | 7,593 |
SES SA | 287,893 | 6,807 |
Alstom SA | 213,245 | 6,747 |
Dassault Systemes SA | 69,040 | 6,477 |
Publicis Groupe SA | 139,545 | 6,382 |
Cap Gemini SA | 165,578 | 6,094 |
Bureau Veritas SA | 64,212 | 5,712 |
Bouygues SA | 211,216 | 5,668 |
Gemalto NV | 76,987 | 5,529 |
Electricite de France SA | 231,733 | 5,156 |
Accor SA | 161,148 | 5,050 |
Vallourec SA | 117,037 | 4,782 |
* Credit Agricole SA | 1,068,305 | 4,714 |
Casino Guichard Perrachon SA | 51,211 | 4,501 |
Veolia Environnement SA | 354,324 | 4,487 |
* Cie Generale de Geophysique - Veritas | 170,072 | 4,399 |
Edenred | 152,108 | 4,312 |
Groupe Eurotunnel SA | 518,788 | 4,217 |
Klepierre | 123,261 | 4,051 |
* Alcatel-Lucent | 2,430,877 | 4,001 |
Eutelsat Communications SA | 124,275 | 3,823 |
Lagardere SCA | 134,400 | 3,752 |
STMicroelectronics NV | 687,871 | 3,743 |
Iliad SA | 24,974 | 3,616 |
SCOR SE | 148,206 | 3,593 |
AtoS | 59,531 | 3,560 |
Arkema SA | 51,178 | 3,356 |
Zodiac Aerospace | 32,516 | 3,308 |
Thales SA | 98,378 | 3,250 |
Societe BIC SA | 30,681 | 3,169 |
Suez Environnement Co. | 289,257 | 3,110 |
Natixis | 1,027,035 | 2,766 |
Fonciere Des Regions | 36,352 | 2,614 |
* Peugeot SA | 258,000 | 2,544 |
Gecina SA | 28,148 | 2,509 |
ICADE | 32,327 | 2,445 |
Remy Cointreau SA | 20,652 | 2,269 |
* CNP Assurances | 184,744 | 2,256 |
Aeroports de Paris | 26,681 | 2,018 |
Rexel SA | 97,984 | 1,674 |
3
Vanguard® Tax-Managed International Fund
Schedule of Investments
June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
Imerys SA | 26,932 | 1,373 |
JCDecaux SA | 49,267 | 1,086 |
896,577 | ||
Germany (8.0%) | ||
Siemens AG | 827,087 | 69,498 |
BASF SE | 927,273 | 64,478 |
Bayer AG | 843,441 | 60,778 |
SAP AG | 921,682 | 54,578 |
Allianz SE | 464,853 | 46,757 |
Daimler AG | 922,340 | 41,450 |
E.ON AG | 1,829,942 | 39,544 |
Deutsche Bank AG | 950,796 | 34,317 |
Deutsche Telekom AG | 2,858,531 | 31,328 |
Linde AG | 175,169 | 27,281 |
Muenchener Rueckversicherungs AG | 184,822 | 26,079 |
Bayerische Motoren Werke AG | 337,930 | 24,455 |
Volkswagen AG Prior Pfd. | 147,463 | 23,362 |
RWE AG | 491,542 | 20,101 |
Deutsche Post AG | 875,606 | 15,493 |
Adidas AG | 215,717 | 15,462 |
Fresenius Medical Care AG & Co. KGaA | 218,083 | 15,403 |
Fresenius SE & Co. KGaA | 123,661 | 12,804 |
Henkel AG & Co. KGaA Prior Pfd. | 187,300 | 12,445 |
Deutsche Boerse AG | 205,223 | 11,072 |
Porsche Automobil Holding SE Prior Pfd. | 165,392 | 8,227 |
Henkel AG & Co. KGaA | 142,658 | 7,916 |
K&S AG | 167,495 | 7,668 |
Infineon Technologies AG | 1,088,966 | 7,370 |
Beiersdorf AG | 113,257 | 7,342 |
Continental AG | 82,450 | 6,873 |
Merck KGaA | 66,906 | 6,682 |
HeidelbergCement AG | 137,003 | 6,577 |
ThyssenKrupp AG | 398,230 | 6,487 |
* Commerzbank AG | 3,498,225 | 5,942 |
* Kabel Deutschland Holding AG | 92,711 | 5,778 |
Volkswagen AG | 33,721 | 5,096 |
GEA Group AG | 190,766 | 5,085 |
Lanxess AG | 77,941 | 4,933 |
MAN SE | 44,482 | 4,549 |
Brenntag AG | 40,941 | 4,531 |
* QIAGEN NV | 268,801 | 4,501 |
Metro AG | 132,778 | 3,872 |
Hannover Rueckversicherung AG | 64,620 | 3,849 |
Bayerische Motoren Werke AG Prior Pfd. | 66,155 | 3,263 |
Fraport AG Frankfurt Airport Services Worldwide | 48,452 | 2,609 |
* Hochtief AG | 52,627 | 2,551 |
Hugo Boss AG | 22,989 | 2,278 |
Celesio AG | 128,925 | 2,110 |
Salzgitter AG | 51,234 | 2,109 |
Deutsche Lufthansa AG | 174,975 | 2,023 |
Suedzucker AG | 52,060 | 1,847 |
ProSiebenSat.1 Media AG Prior Pfd. | 67,149 | 1,505 |
United Internet AG | 85,324 | 1,467 |
Wacker Chemie AG | 17,073 | 1,176 |
Axel Springer AG | 25,002 | 1,074 |
RWE AG Prior Pfd. | 22,605 | 839 |
784,814 | ||
Greece (0.1%) | ||
* Coca Cola Hellenic Bottling Co. SA | 194,484 | 3,444 |
OPAP SA | 199,356 | 1,248 |
4,692 | ||
Hong Kong (3.0%) | ||
1 AIA Group Ltd. | 10,467,645 | 36,156 |
4
Vanguard® Tax-Managed International Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
Sun Hung Kai Properties Ltd. | 1,611,768 | 19,162 | |
Hutchison Whampoa Ltd. | 2,204,512 | 19,122 | |
Cheung Kong Holdings Ltd. | 1,481,500 | 18,291 | |
CLP Holdings Ltd. | 1,934,432 | 16,440 | |
Hong Kong Exchanges and Clearing Ltd. | 1,049,000 | 15,094 | |
Hong Kong & China Gas Co. Ltd. | 5,621,718 | 11,942 | |
Li & Fung Ltd. | 6,153,670 | 11,915 | |
BOC Hong Kong Holdings Ltd. | 3,819,000 | 11,757 | |
Power Assets Holdings Ltd. | 1,491,600 | 11,193 | |
Hang Seng Bank Ltd. | 790,043 | 10,862 | |
Wharf Holdings Ltd. | 1,714,815 | 9,536 | |
Swire Pacific Ltd. Class A | 710,088 | 8,259 | |
Hang Lung Properties Ltd. | 2,341,810 | 8,010 | |
Sands China Ltd. | 2,372,400 | 7,632 | |
Henderson Land Development Co. Ltd. | 1,179,506 | 6,557 | |
Bank of East Asia Ltd. | 1,631,663 | 5,881 | |
Hang Lung Group Ltd. | 925,000 | 5,719 | |
Sino Land Co. Ltd. | 3,317,300 | 5,037 | |
MTR Corp. Ltd. | 1,402,000 | 4,813 | |
New World Development Co. Ltd. | 3,906,125 | 4,603 | |
Kerry Properties Ltd. | 966,000 | 4,157 | |
Shangri-La Asia Ltd. | 2,068,552 | 3,973 | |
Wheelock & Co. Ltd. | 998,000 | 3,792 | |
Wynn Macau Ltd. | 1,546,400 | 3,649 | |
Hysan Development Co. Ltd. | 929,000 | 3,541 | |
*,1 | Galaxy Entertainment Group Ltd. | 1,346,000 | 3,386 |
SJM Holdings Ltd. | 1,666,000 | 3,122 | |
First Pacific Co. Ltd. | 2,738,000 | 2,840 | |
Cheung Kong Infrastructure Holdings Ltd. | 450,000 | 2,724 | |
ASM Pacific Technology Ltd. | 185,400 | 2,370 | |
Wing Hang Bank Ltd. | 199,775 | 1,943 | |
Yue Yuen Industrial Holdings Ltd. | 608,500 | 1,913 | |
Hopewell Holdings Ltd. | 637,000 | 1,824 | |
* | Foxconn International Holdings Ltd. | 4,240,000 | 1,549 |
NWS Holdings Ltd. | 1,047,500 | 1,532 | |
Lifestyle International Holdings Ltd. | 693,500 | 1,528 | |
Cathay Pacific Airways Ltd. | 896,770 | 1,454 | |
PCCW Ltd. | 2,971,000 | 1,096 | |
Orient Overseas International Ltd. | 149,800 | 735 | |
295,109 | |||
Ireland (0.3%) | |||
CRH plc | 701,110 | 13,432 | |
* | Elan Corp. plc | 579,763 | 8,503 |
Kerry Group plc Class A | 140,837 | 6,174 | |
* | Ryanair Holdings plc ADR | 24,300 | 739 |
* | Ryanair Holdings plc | 68,719 | 348 |
* | Irish Bank Resolution Corp. Ltd. | 257,065 | — |
29,196 | |||
Israel (0.6%) | |||
Teva Pharmaceutical Industries Ltd. | 945,266 | 37,260 | |
Israel Chemicals Ltd. | 458,075 | 5,068 | |
Bank Hapoalim BM | 1,247,358 | 3,847 | |
* | Bank Leumi Le-Israel BM | 1,198,424 | 2,928 |
* | NICE Systems Ltd. | 48,632 | 1,781 |
Bezeq The Israeli Telecommunication Corp. Ltd. | 1,531,631 | 1,629 | |
Elbit Systems Ltd. | 39,141 | 1,348 | |
Israel Corp. Ltd. | 2,364 | 1,337 | |
Delek Group Ltd. | 7,406 | 1,103 | |
* | Mizrahi Tefahot Bank Ltd. | 109,213 | 852 |
57,153 | |||
Italy (2.2%) | |||
Eni SPA | 2,445,418 | 51,954 | |
Enel SPA | 6,729,402 | 21,728 |
5
Vanguard® Tax-Managed International Fund
Schedule of Investments
June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
Assicurazioni Generali SPA | 1,203,071 | 16,312 |
* UniCredit SPA | 4,197,957 | 15,917 |
Intesa Sanpaolo SPA (Registered) | 10,291,478 | 14,648 |
Saipem SPA | 255,315 | 11,370 |
Telecom Italia SPA (Registered) | 9,951,042 | 9,833 |
Tenaris SA | 490,500 | 8,626 |
Fiat Industrial SPA | 835,730 | 8,226 |
Snam SPA | 1,464,780 | 6,563 |
Telecom Italia SPA (Bearer) | 6,767,485 | 5,484 |
Terna Rete Elettrica Nazionale SPA | 1,388,787 | 5,019 |
* Fiat SPA | 826,511 | 4,167 |
Luxottica Group SPA | 108,559 | 3,791 |
Atlantia SPA | 295,783 | 3,775 |
Pirelli & C. SPA | 320,826 | 3,384 |
Unione di Banche Italiane SCPA | 969,028 | 3,166 |
Prysmian SPA | 178,805 | 2,667 |
Mediobanca SPA | 580,701 | 2,561 |
Enel Green Power SPA | 1,577,200 | 2,499 |
Exor SPA | 99,651 | 2,142 |
* Finmeccanica SPA | 521,595 | 2,109 |
* Banco Popolare SC | 1,212,244 | 1,628 |
* Banca Monte dei Paschi di Siena SPA | 5,552,628 | 1,384 |
Intesa Sanpaolo SPA (Bearer) | 1,082,259 | 1,232 |
Autogrill SPA | 126,869 | 1,151 |
Mediaset SPA | 462,545 | 810 |
212,146 | ||
Japan (21.9%) | ||
Toyota Motor Corp. | 2,802,518 | 113,116 |
Mitsubishi UFJ Financial Group Inc. | 12,855,944 | 61,591 |
Honda Motor Co. Ltd. | 1,657,239 | 57,830 |
Canon Inc. | 1,131,333 | 45,152 |
Sumitomo Mitsui Financial Group Inc. | 1,361,558 | 44,979 |
Mizuho Financial Group Inc. | 23,181,561 | 39,159 |
Takeda Pharmaceutical Co. Ltd. | 806,794 | 36,630 |
Softbank Corp. | 894,600 | 33,300 |
FANUC Corp. | 194,100 | 31,906 |
Mitsubishi Corp. | 1,409,286 | 28,488 |
Hitachi Ltd. | 4,501,758 | 27,757 |
Japan Tobacco Inc. | 919,800 | 27,250 |
Mitsui & Co. Ltd. | 1,740,900 | 25,870 |
NTT DOCOMO Inc. | 15,063 | 25,065 |
Nissan Motor Co. Ltd. | 2,542,100 | 24,139 |
Komatsu Ltd. | 967,500 | 23,096 |
Mitsubishi Estate Co. Ltd. | 1,285,935 | 23,071 |
Shin-Etsu Chemical Co. Ltd. | 410,000 | 22,578 |
Seven & I Holdings Co. Ltd. | 733,320 | 22,106 |
East Japan Railway Co. | 346,900 | 21,782 |
Nippon Telegraph & Telephone Corp. | 446,100 | 20,802 |
Astellas Pharma Inc. | 457,214 | 19,952 |
Mitsui Fudosan Co. Ltd. | 916,000 | 17,773 |
Panasonic Corp. | 2,174,053 | 17,772 |
KDDI Corp. | 2,741 | 17,682 |
Tokio Marine Holdings Inc. | 701,600 | 17,605 |
Mitsubishi Electric Corp. | 2,039,000 | 17,059 |
Denso Corp. | 495,500 | 16,932 |
ITOCHU Corp. | 1,579,000 | 16,596 |
Sumitomo Corp. | 1,151,800 | 16,116 |
Bridgestone Corp. | 667,731 | 15,334 |
Toshiba Corp. | 3,996,000 | 15,210 |
Sony Corp. | 1,027,200 | 14,688 |
Kao Corp. | 524,901 | 14,476 |
Nomura Holdings Inc. | 3,761,477 | 14,062 |
Kyocera Corp. | 160,200 | 13,864 |
Mitsubishi Heavy Industries Ltd. | 3,183,000 | 12,939 |
6
Vanguard® Tax-Managed International Fund
Schedule of Investments
June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
Tokyo Gas Co. Ltd. | 2,490,000 | 12,726 |
Inpex Corp. | 2,254 | 12,660 |
Central Japan Railway Co. | 1,582 | 12,460 |
Keyence Corp. | 49,818 | 12,324 |
Nintendo Co. Ltd. | 104,400 | 12,192 |
Nippon Steel Corp. | 5,342,970 | 12,119 |
Marubeni Corp. | 1,817,000 | 12,106 |
JX Holdings Inc. | 2,291,050 | 11,808 |
Daiichi Sankyo Co. Ltd. | 698,663 | 11,781 |
Eisai Co. Ltd. | 265,300 | 11,618 |
Otsuka Holdings Co. Ltd. | 374,000 | 11,480 |
Chubu Electric Power Co. Inc. | 698,800 | 11,331 |
Murata Manufacturing Co. Ltd. | 213,000 | 11,204 |
Kubota Corp. | 1,209,000 | 11,173 |
Fast Retailing Co. Ltd. | 55,400 | 11,085 |
Kirin Holdings Co. Ltd. | 905,000 | 10,666 |
Nikon Corp. | 349,600 | 10,642 |
Toray Industries Inc. | 1,555,000 | 10,603 |
Dai-ichi Life Insurance Co. Ltd. | 8,851 | 10,251 |
Hoya Corp. | 462,500 | 10,189 |
Sumitomo Realty & Development Co. Ltd. | 411,000 | 10,109 |
Secom Co. Ltd. | 219,400 | 10,062 |
SMC Corp. | 57,700 | 10,004 |
Sumitomo Mitsui Trust Holdings Inc. | 3,262,270 | 9,750 |
Fujitsu Ltd. | 1,941,000 | 9,289 |
Ajinomoto Co. Inc. | 663,500 | 9,234 |
Kansai Electric Power Co. Inc. | 767,950 | 9,210 |
MS&AD Insurance Group Holdings | 521,033 | 9,116 |
FUJIFILM Holdings Corp. | 475,100 | 9,001 |
Sumitomo Electric Industries Ltd. | 709,900 | 8,846 |
Asahi Group Holdings Ltd. | 411,700 | 8,845 |
Nidec Corp. | 113,000 | 8,592 |
Osaka Gas Co. Ltd. | 2,014,000 | 8,438 |
Tokyo Electron Ltd. | 178,800 | 8,385 |
JFE Holdings Inc. | 499,800 | 8,365 |
Rakuten Inc. | 795,100 | 8,220 |
Resona Holdings Inc. | 1,958,736 | 8,069 |
Daito Trust Construction Co. Ltd. | 83,200 | 7,887 |
West Japan Railway Co. | 186,800 | 7,685 |
Daiwa House Industry Co. Ltd. | 533,000 | 7,561 |
Nitto Denko Corp. | 175,500 | 7,519 |
Aeon Co. Ltd. | 600,173 | 7,480 |
Odakyu Electric Railway Co. Ltd. | 749,000 | 7,447 |
Terumo Corp. | 177,200 | 7,282 |
Aisin Seiki Co. Ltd. | 216,000 | 7,220 |
Kintetsu Corp. | 1,810,190 | 7,217 |
Asahi Glass Co. Ltd. | 1,065,035 | 7,185 |
NKSJ Holdings Inc. | 336,200 | 7,157 |
Daikin Industries Ltd. | 252,600 | 7,114 |
Yamato Holdings Co. Ltd. | 440,000 | 7,085 |
Daiwa Securities Group Inc. | 1,849,000 | 6,968 |
Suzuki Motor Corp. | 336,200 | 6,903 |
Asahi Kasei Corp. | 1,259,000 | 6,825 |
Isuzu Motors Ltd. | 1,235,000 | 6,615 |
Sumitomo Metal Mining Co. Ltd. | 567,000 | 6,390 |
JGC Corp. | 215,000 | 6,233 |
T&D Holdings Inc. | 580,330 | 6,182 |
Shiseido Co. Ltd. | 391,400 | 6,176 |
Mitsubishi Chemical Holdings Corp. | 1,400,000 | 6,172 |
Bank of Yokohama Ltd. | 1,285,000 | 6,076 |
Unicharm Corp. | 105,500 | 6,005 |
Dentsu Inc. | 201,200 | 5,964 |
Ricoh Co. Ltd. | 698,000 | 5,891 |
Shizuoka Bank Ltd. | 571,000 | 5,875 |
7
Vanguard® Tax-Managed International Fund
Schedule of Investments
June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
LIXIL Group Corp. | 278,312 | 5,874 |
Tokyu Corp. | 1,224,000 | 5,762 |
Hankyu Hanshin Holdings Inc. | 1,114,000 | 5,626 |
Sekisui House Ltd. | 591,859 | 5,588 |
Tobu Railway Co. Ltd. | 1,040,000 | 5,468 |
Yahoo Japan Corp. | 16,804 | 5,441 |
Sharp Corp. | 1,056,000 | 5,380 |
TDK Corp. | 129,800 | 5,284 |
Sumitomo Chemical Co. Ltd. | 1,706,000 | 5,244 |
Oriental Land Co. Ltd. | 45,800 | 5,237 |
Kuraray Co. Ltd. | 403,000 | 5,223 |
Kyushu Electric Power Co. Inc. | 439,700 | 5,216 |
Chiba Bank Ltd. | 867,000 | 5,208 |
Keio Corp. | 716,000 | 5,190 |
Lawson Inc. | 73,790 | 5,160 |
Sega Sammy Holdings Inc. | 247,988 | 5,044 |
Omron Corp. | 236,000 | 5,001 |
Fuji Heavy Industries Ltd. | 616,000 | 4,991 |
Keikyu Corp. | 540,000 | 4,913 |
Chugai Pharmaceutical Co. Ltd. | 258,600 | 4,902 |
Sumitomo Metal Industries Ltd. | 2,926,000 | 4,827 |
Sekisui Chemical Co. Ltd. | 503,000 | 4,673 |
Toppan Printing Co. Ltd. | 699,000 | 4,669 |
Dai Nippon Printing Co. Ltd. | 591,800 | 4,636 |
* Tohoku Electric Power Co. Inc. | 458,100 | 4,603 |
Shionogi & Co. Ltd. | 336,500 | 4,575 |
Toyota Tsusho Corp. | 238,993 | 4,568 |
* Mitsubishi Motors Corp. | 4,517,000 | 4,555 |
Shimano Inc. | 69,200 | 4,537 |
Shikoku Electric Power Co. Inc. | 209,900 | 4,462 |
Kawasaki Heavy Industries Ltd. | 1,622,000 | 4,448 |
Rohm Co. Ltd. | 115,300 | 4,443 |
Nippon Express Co. Ltd. | 1,075,000 | 4,439 |
Konica Minolta Holdings Inc. | 552,000 | 4,349 |
Yamada Denki Co. Ltd. | 84,830 | 4,343 |
NTT Data Corp. | 1,413 | 4,337 |
Mitsui OSK Lines Ltd. | 1,199,000 | 4,322 |
Makita Corp. | 121,900 | 4,276 |
* Olympus Corp. | 255,600 | 4,142 |
* NEC Corp. | 2,646,400 | 4,118 |
Chugoku Electric Power Co. Inc. | 244,800 | 4,037 |
Hisamitsu Pharmaceutical Co. Inc. | 80,400 | 3,957 |
Credit Saison Co. Ltd. | 173,700 | 3,862 |
Hirose Electric Co. Ltd. | 39,000 | 3,861 |
Electric Power Development Co. Ltd. | 146,540 | 3,851 |
Benesse Holdings Inc. | 84,900 | 3,801 |
* Mazda Motor Corp. | 2,749,000 | 3,743 |
Nippon Yusen KK | 1,415,000 | 3,742 |
Sysmex Corp. | 93,100 | 3,682 |
NGK Insulators Ltd. | 331,000 | 3,665 |
Trend Micro Inc. | 124,100 | 3,656 |
JSR Corp. | 210,100 | 3,646 |
OJI Paper Co. Ltd. | 948,000 | 3,632 |
Yakult Honsha Co. Ltd. | 92,700 | 3,630 |
Joyo Bank Ltd. | 790,000 | 3,595 |
Daihatsu Motor Co. Ltd. | 205,000 | 3,589 |
Mitsubishi Materials Corp. | 1,205,000 | 3,494 |
Nitori Holdings Co. Ltd. | 36,950 | 3,494 |
Kyowa Hakko Kirin Co. Ltd. | 336,000 | 3,461 |
Obayashi Corp. | 788,000 | 3,460 |
Mitsubishi Tanabe Pharma Corp. | 240,050 | 3,452 |
Keisei Electric Railway Co. Ltd. | 405,000 | 3,421 |
NSK Ltd. | 523,000 | 3,389 |
MEIJI Holdings Co. Ltd. | 73,554 | 3,378 |
8
Vanguard® Tax-Managed International Fund
Schedule of Investments
June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
Kobe Steel Ltd. | 2,766,000 | 3,327 |
Santen Pharmaceutical Co. Ltd. | 80,600 | 3,312 |
Taisei Corp. | 1,232,000 | 3,302 |
Fukuoka Financial Group Inc. | 844,800 | 3,299 |
Teijin Ltd. | 1,081,000 | 3,291 |
Namco Bandai Holdings Inc. | 236,800 | 3,247 |
Dena Co. Ltd. | 120,500 | 3,172 |
IHI Corp. | 1,476,000 | 3,157 |
TonenGeneral Sekiyu KK | 355,000 | 3,157 |
Showa Denko KK | 1,616,000 | 3,140 |
Isetan Mitsukoshi Holdings Ltd. | 294,840 | 3,132 |
Kajima Corp. | 1,063,000 | 3,121 |
Suruga Bank Ltd. | 300,000 | 3,073 |
Hachijuni Bank Ltd. | 587,600 | 3,054 |
Tokyu Land Corp. | 609,000 | 3,023 |
Hokkaido Electric Power Co. Inc. | 233,500 | 3,018 |
Stanley Electric Co. Ltd. | 193,600 | 3,007 |
JTEKT Corp. | 289,300 | 2,995 |
Bank of Kyoto Ltd. | 392,000 | 2,970 |
Mitsubishi UFJ Lease & Finance Co. Ltd. | 70,740 | 2,942 |
Yokogawa Electric Corp. | 282,600 | 2,922 |
Yamaha Motor Co. Ltd. | 304,100 | 2,912 |
Sankyo Co. Ltd. | 59,200 | 2,889 |
Mitsubishi Gas Chemical Co. Inc. | 506,000 | 2,877 |
THK Co. Ltd. | 150,400 | 2,843 |
Nissin Foods Holdings Co. Ltd. | 74,000 | 2,814 |
Amada Co. Ltd. | 472,000 | 2,793 |
TOTO Ltd. | 374,000 | 2,789 |
Nippon Electric Glass Co. Ltd. | 464,500 | 2,774 |
Kurita Water Industries Ltd. | 119,000 | 2,753 |
Shimizu Corp. | 791,000 | 2,744 |
Advantest Corp. | 175,200 | 2,739 |
* Tokyo Electric Power Co. Inc. | 1,409,170 | 2,728 |
Sumitomo Heavy Industries Ltd. | 605,000 | 2,724 |
Toho Co. Ltd. | 156,400 | 2,706 |
Takashimaya Co. Ltd. | 347,860 | 2,674 |
Gunma Bank Ltd. | 565,000 | 2,673 |
Konami Corp. | 114,500 | 2,594 |
Toyo Suisan Kaisha Ltd. | 95,000 | 2,533 |
SBI Holdings Inc. | 33,843 | 2,515 |
Chugoku Bank Ltd. | 192,000 | 2,502 |
Mitsui Chemicals Inc. | 999,000 | 2,502 |
Nippon Meat Packers Inc. | 186,000 | 2,462 |
Sumitomo Rubber Industries Ltd. | 188,100 | 2,450 |
NOK Corp. | 114,700 | 2,449 |
Ube Industries Ltd. | 1,044,000 | 2,428 |
Brother Industries Ltd. | 210,400 | 2,409 |
Sony Financial Holdings Inc. | 146,800 | 2,396 |
Nisshin Seifun Group Inc. | 204,400 | 2,393 |
Taiheiyo Cement Corp. | 1,034,000 | 2,374 |
Ibiden Co. Ltd. | 130,900 | 2,371 |
Yamaha Corp. | 230,300 | 2,370 |
Hokuriku Electric Power Co. | 150,000 | 2,336 |
Toyo Seikan Kaisha Ltd. | 190,400 | 2,311 |
Iyo Bank Ltd. | 288,000 | 2,300 |
NGK Spark Plug Co. Ltd. | 172,000 | 2,272 |
Otsuka Corp. | 26,260 | 2,236 |
Tsumura & Co. | 83,200 | 2,203 |
Aeon Mall Co. Ltd. | 102,600 | 2,186 |
Japan Steel Works Ltd. | 392,513 | 2,167 |
Kikkoman Corp. | 173,000 | 2,139 |
FamilyMart Co. Ltd. | 46,500 | 2,128 |
Miraca Holdings Inc. | 50,800 | 2,109 |
Furukawa Electric Co. Ltd. | 891,000 | 2,107 |
9
Vanguard® Tax-Managed International Fund
Schedule of Investments
June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
Yamaguchi Financial Group Inc. | 238,000 | 2,099 |
Hamamatsu Photonics KK | 61,500 | 2,086 |
Casio Computer Co. Ltd. | 317,900 | 2,084 |
Citizen Holdings Co. Ltd. | 352,900 | 2,070 |
Marui Group Co. Ltd. | 269,100 | 2,058 |
Idemitsu Kosan Co. Ltd. | 22,709 | 2,037 |
Gree Inc. | 102,200 | 2,033 |
Nishi-Nippon City Bank Ltd. | 835,000 | 2,027 |
McDonald's Holdings Co. Japan Ltd. | 71,500 | 2,012 |
Nomura Real Estate Holdings Inc. | 109,671 | 2,008 |
NHK Spring Co. Ltd. | 182,000 | 1,965 |
Nippon Paper Group Inc. | 121,200 | 1,924 |
Shimadzu Corp. | 222,000 | 1,921 |
Daicel Corp. | 312,000 | 1,919 |
Shimamura Co. Ltd. | 16,600 | 1,918 |
* Nexon Co. Ltd. | 97,700 | 1,913 |
Jupiter Telecommunications Co. Ltd. | 1,857 | 1,896 |
Dainippon Sumitomo Pharma Co. Ltd. | 182,000 | 1,860 |
J Front Retailing Co. Ltd. | 367,200 | 1,846 |
* Kawasaki Kisen Kaisha Ltd. | 925,000 | 1,837 |
USS Co. Ltd. | 16,970 | 1,831 |
NTN Corp. | 570,000 | 1,794 |
Fuji Electric Co. Ltd. | 734,000 | 1,791 |
Yamazaki Baking Co. Ltd. | 134,000 | 1,755 |
Toyoda Gosei Co. Ltd. | 76,100 | 1,754 |
Aeon Credit Service Co. Ltd. | 94,010 | 1,744 |
Cosmo Oil Co. Ltd. | 681,000 | 1,733 |
Kaneka Corp. | 303,000 | 1,676 |
Nisshin Steel Co. Ltd. | 1,190,000 | 1,670 |
Aozora Bank Ltd. | 695,000 | 1,655 |
Koito Manufacturing Co. Ltd. | 112,712 | 1,579 |
Toho Gas Co. Ltd. | 247,000 | 1,533 |
Rinnai Corp. | 22,200 | 1,532 |
Tosoh Corp. | 557,000 | 1,519 |
Yaskawa Electric Corp. | 199,000 | 1,516 |
All Nippon Airways Co. Ltd. | 526,317 | 1,491 |
Seiko Epson Corp. | 146,300 | 1,485 |
Hitachi High-Technologies Corp. | 59,651 | 1,469 |
Showa Shell Sekiyu KK | 228,200 | 1,401 |
Kansai Paint Co. Ltd. | 126,000 | 1,350 |
Suzuken Co. Ltd. | 39,160 | 1,322 |
Nomura Research Institute Ltd. | 59,700 | 1,314 |
Sojitz Corp. | 782,500 | 1,295 |
Nabtesco Corp. | 58,000 | 1,294 |
Hakuhodo DY Holdings Inc. | 19,210 | 1,275 |
Coca-Cola West Co. Ltd. | 72,700 | 1,268 |
Sanrio Co. Ltd. | 34,200 | 1,247 |
Hitachi Metals Ltd. | 102,000 | 1,217 |
* Sumco Corp. | 133,060 | 1,210 |
MediPal Holdings Corp. | 84,700 | 1,200 |
Alfresa Holdings Corp. | 22,400 | 1,190 |
Asics Corp. | 91,596 | 1,162 |
Kamigumi Co. Ltd. | 146,000 | 1,161 |
Hulic Co. Ltd. | 208,700 | 1,148 |
Hitachi Construction Machinery Co. Ltd. | 58,400 | 1,103 |
Chiyoda Corp. | 87,809 | 1,076 |
GS Yuasa Corp. | 233,000 | 1,065 |
Denki Kagaku Kogyo KK | 302,000 | 1,056 |
Hino Motors Ltd. | 145,000 | 1,049 |
Shinsei Bank Ltd. | 834,014 | 1,015 |
Toyota Boshoku Corp. | 83,400 | 1,014 |
Air Water Inc. | 82,805 | 1,004 |
Daido Steel Co. Ltd. | 159,000 | 991 |
Hitachi Chemical Co. Ltd. | 60,900 | 959 |
10
Vanguard® Tax-Managed International Fund
Schedule of Investments
June 30, 2012
Market | |||
Value | |||
Shares | ($000) | ||
Oracle Corp. Japan | 22,100 | 951 | |
Taiyo Nippon Sanso Corp. | 161,000 | 941 | |
Mitsubishi Logistics Corp. | 83,000 | 878 | |
ABC-Mart Inc. | 22,200 | 831 | |
Ushio Inc. | 64,800 | 803 | |
Itochu Techno-Solutions Corp. | 14,900 | 719 | |
Yamato Kogyo Co. Ltd. | 22,000 | 613 | |
Mabuchi Motor Co. Ltd. | 14,900 | 594 | |
Square Enix Holdings Co. Ltd. | 35,600 | 561 | |
Kinden Corp. | 72,000 | 472 | |
2,144,490 | |||
Netherlands (2.5%) | |||
Unilever NV | 1,643,765 | 54,911 | |
* | ING Groep NV | 3,914,084 | 26,240 |
ASML Holding NV | 447,235 | 22,968 | |
Koninklijke Philips Electronics NV | 1,036,489 | 20,425 | |
Koninklijke KPN NV | 1,532,540 | 14,654 | |
Koninklijke Ahold NV | 1,069,330 | 13,246 | |
Heineken NV | 235,934 | 12,303 | |
Akzo Nobel NV | 246,162 | 11,586 | |
Aegon NV | 1,829,835 | 8,486 | |
Koninklijke DSM NV | 168,371 | 8,301 | |
Reed Elsevier NV | 617,440 | 7,044 | |
DE Master Blenders 1753 NV | 579,298 | 6,532 | |
Wolters Kluwer NV | 343,038 | 5,454 | |
Koninklijke Vopak NV | 83,083 | 5,329 | |
Heineken Holding NV | 116,964 | 5,239 | |
Fugro NV | 73,116 | 4,435 | |
Randstad Holding NV | 137,407 | 4,052 | |
TNT Express NV | 297,979 | 3,495 | |
Corio NV | 70,746 | 3,115 | |
* | SBM Offshore NV | 171,786 | 2,381 |
Delta Lloyd NV | 125,839 | 1,750 | |
Koninklijke Boskalis Westminster NV | 44,407 | 1,465 | |
243,411 | |||
New Zealand (0.1%) | |||
Telecom Corp. of New Zealand Ltd. | 2,188,859 | 4,168 | |
Fletcher Building Ltd. | 611,288 | 2,893 | |
SKYCITY Entertainment Group Ltd. | 947,431 | 2,588 | |
Auckland International Airport Ltd. | 687,559 | 1,349 | |
Contact Energy Ltd. | 224,755 | 870 | |
11,868 | |||
Norway (0.9%) | |||
Statoil ASA | 1,140,365 | 27,196 | |
Telenor ASA | 765,693 | 12,801 | |
Seadrill Ltd. | 349,005 | 12,448 | |
Yara International ASA | 205,031 | 8,973 | |
DNB ASA | 883,887 | 8,789 | |
Orkla ASA | 870,300 | 6,316 | |
Subsea 7 SA | 272,993 | 5,411 | |
Norsk Hydro ASA | 1,075,291 | 4,849 | |
Aker Solutions ASA | 180,631 | 2,563 | |
Gjensidige Forsikring ASA | 135,204 | 1,575 | |
90,921 | |||
Portugal (0.2%) | |||
EDP - Energias de Portugal SA | 2,257,272 | 5,340 | |
Jeronimo Martins SGPS SA | 210,361 | 3,556 | |
Portugal Telecom SGPS SA | 699,767 | 3,065 | |
Galp Energia SGPS SA | 199,524 | 2,530 | |
* | Banco Espirito Santo SA | 2,109,626 | 1,442 |
15,933 | |||
Singapore (1.9%) | |||
Singapore Telecommunications Ltd. | 8,312,290 | 21,768 |
11
Vanguard® Tax-Managed International Fund
Schedule of Investments
June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
DBS Group Holdings Ltd. | 1,897,123 | 20,955 |
United Overseas Bank Ltd. | 1,300,504 | 19,312 |
Oversea-Chinese Banking Corp. Ltd. | 2,636,300 | 18,435 |
Keppel Corp. Ltd. | 1,431,904 | 11,731 |
Genting Singapore plc | 6,144,000 | 6,902 |
CapitaLand Ltd. | 2,781,000 | 5,996 |
Singapore Press Holdings Ltd. | 1,864,250 | 5,759 |
Singapore Airlines Ltd. | 673,840 | 5,557 |
Wilmar International Ltd. | 1,893,000 | 5,458 |
Fraser and Neave Ltd. | 965,650 | 5,377 |
City Developments Ltd. | 537,000 | 4,787 |
Singapore Exchange Ltd. | 901,000 | 4,526 |
Noble Group Ltd. | 4,454,766 | 3,980 |
SembCorp Industries Ltd. | 957,660 | 3,920 |
Golden Agri-Resources Ltd. | 7,122,065 | 3,804 |
Jardine Cycle & Carriage Ltd. | 103,037 | 3,798 |
* Global Logistic Properties Ltd. | 2,229,000 | 3,711 |
Singapore Technologies Engineering Ltd. | 1,494,906 | 3,685 |
Hutchison Port Holdings Trust | 5,087,251 | 3,636 |
SembCorp Marine Ltd. | 803,600 | 3,067 |
Olam International Ltd. | 2,049,800 | 2,969 |
ComfortDelGro Corp. Ltd. | 2,248,912 | 2,754 |
Keppel Land Ltd. | 847,000 | 2,180 |
UOL Group Ltd. | 524,750 | 2,057 |
Cosco Corp. Singapore Ltd. | 2,522,000 | 1,981 |
StarHub Ltd. | 553,000 | 1,499 |
Yangzijiang Shipbuilding Holdings Ltd. | 1,770,000 | 1,419 |
* Neptune Orient Lines Ltd. | 746,250 | 659 |
* Golden Agri-Resources Ltd. Warrants Exp. 07/23/2012 | 236,188 | 23 |
181,705 | ||
Spain (2.7%) | ||
Banco Santander SA | 9,438,086 | 62,435 |
Telefonica SA | 4,130,596 | 54,373 |
Banco Bilbao Vizcaya Argentaria SA | 4,820,538 | 34,425 |
Inditex SA | 221,304 | 22,875 |
Iberdrola SA | 3,831,937 | 18,091 |
Repsol YPF SA | 815,950 | 13,117 |
Amadeus IT Holding SA | 296,054 | 6,272 |
Abertis Infraestructuras SA | 428,419 | 5,790 |
Gas Natural SDG SA | 374,442 | 4,808 |
Ferrovial SA | 420,796 | 4,746 |
Red Electrica Corp. SA | 103,702 | 4,526 |
Banco de Sabadell SA | 2,253,919 | 4,377 |
ACS Actividades de Construccion y Servicios SA | 158,853 | 3,403 |
* Grifols SA | 122,234 | 3,097 |
* Distribuidora Internacional de Alimentacion SA | 641,161 | 3,015 |
* International Consolidated Airlines Group SA | 1,176,828 | 2,953 |
CaixaBank | 885,560 | 2,883 |
Enagas SA | 155,300 | 2,834 |
Banco Popular Espanol SA | 1,173,779 | 2,655 |
Acciona SA | 34,082 | 2,037 |
Mapfre SA | 883,853 | 1,798 |
Acerinox SA | 141,615 | 1,587 |
Zardoya Otis SA | 104,251 | 1,159 |
* Bankia SA | 958,264 | 1,121 |
264,377 | ||
Sweden (3.1%) | ||
Hennes & Mauritz AB Class B | 962,849 | 34,560 |
Telefonaktiebolaget LM Ericsson Class B | 3,073,203 | 28,119 |
Nordea Bank AB | 2,777,260 | 23,934 |
Svenska Handelsbanken AB Class A | 532,477 | 17,506 |
Volvo AB Class B | 1,447,479 | 16,550 |
Atlas Copco AB Class A | 704,003 | 15,151 |
TeliaSonera AB | 2,336,860 | 14,930 |
12
Vanguard® Tax-Managed International Fund | ||
Schedule of Investments | ||
June 30, 2012 | ||
Market | ||
Value | ||
Shares | ($000) | |
Sandvik AB | 1,032,966 | 13,248 |
Swedbank AB Class A | 822,736 | 12,961 |
Assa Abloy AB Class B | 331,355 | 9,253 |
Skandinaviska Enskilda Banken AB Class A | 1,406,652 | 9,135 |
Svenska Cellulosa AB Class B | 577,098 | 8,659 |
SKF AB | 436,195 | 8,598 |
Swedish Match AB | 212,379 | 8,560 |
Atlas Copco AB Class B | 428,591 | 8,167 |
Alfa Laval AB | 376,299 | 6,448 |
Millicom International Cellular SA | 65,339 | 6,166 |
Getinge AB | 243,881 | 6,052 |
Skanska AB Class B | 375,213 | 5,750 |
Scania AB Class B | 313,482 | 5,372 |
Investment AB Kinnevik | 262,686 | 5,273 |
Tele2 AB | 333,750 | 5,171 |
Electrolux AB Class B | 252,109 | 5,017 |
Hexagon AB Class B | 248,987 | 4,274 |
Elekta AB Class B | 89,629 | 4,096 |
* Lundin Petroleum AB | 216,999 | 4,062 |
Boliden AB | 263,900 | 3,682 |
Securitas AB Class B | 365,720 | 2,844 |
Ratos AB | 258,668 | 2,456 |
Modern Times Group AB Class B | 52,602 | 2,435 |
Holmen AB | 89,063 | 2,425 |
SSAB AB Class A | 231,236 | 1,922 |
Husqvarna AB | 371,288 | 1,751 |
304,527 | ||
Switzerland (8.5%) | ||
Nestle SA | 3,344,279 | 199,580 |
Novartis AG | 2,340,000 | 130,833 |
Roche Holding AG | 714,688 | 123,450 |
UBS AG | 3,718,256 | 43,512 |
ABB Ltd. | 2,221,674 | 36,276 |
Zurich Insurance Group AG | 150,624 | 34,060 |
Syngenta AG | 95,363 | 32,645 |
Cie Financiere Richemont SA | 526,832 | 28,928 |
Swiss Re AG | 361,378 | 22,782 |
Credit Suisse Group AG | 1,194,525 | 21,856 |
Transocean Ltd. | 344,840 | 15,464 |
Holcim Ltd. | 233,967 | 12,963 |
Swatch Group AG (Bearer) | 32,494 | 12,843 |
SGS SA | 5,311 | 9,958 |
Swisscom AG | 24,445 | 9,848 |
Givaudan SA | 8,447 | 8,290 |
Geberit AG | 39,616 | 7,815 |
Julius Baer Group Ltd. | 214,746 | 7,786 |
Adecco SA | 128,221 | 5,702 |
Kuehne & Nagel International AG | 53,652 | 5,684 |
Sonova Holding AG | 54,073 | 5,230 |
Actelion Ltd. | 123,541 | 5,082 |
Aryzta AG | 99,633 | 4,959 |
Schindler Holding AG | 43,853 | 4,903 |
Swiss Prime Site AG | 52,228 | 4,356 |
Lindt & Spruengli AG | 115 | 4,223 |
Sika AG | 2,036 | 3,932 |
Swatch Group AG (Registered) | 51,887 | 3,610 |
Swiss Life Holding AG | 36,827 | 3,471 |
Baloise Holding AG | 51,619 | 3,410 |
Lindt & Spruengli AG | 952 | 2,942 |
Partners Group Holding AG | 14,900 | 2,650 |
Lonza Group AG | 60,446 | 2,515 |
GAM Holding AG | 220,328 | 2,460 |
Sulzer AG | 19,954 | 2,366 |
Schindler Holding AG (Registered) | 20,282 | 2,287 |
13
Vanguard® Tax-Managed International Fund
Schedule of Investments
June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
Straumann Holding AG | 12,356 | 1,817 |
Barry Callebaut AG | 1,993 | 1,813 |
Banque Cantonale Vaudoise | 2,669 | 1,415 |
833,716 | ||
United Kingdom (23.3%) | ||
HSBC Holdings plc | 18,210,837 | 160,473 |
Vodafone Group plc | 50,281,819 | 141,332 |
BP plc | 19,245,541 | 128,527 |
Royal Dutch Shell plc Class A | 3,628,811 | 122,267 |
GlaxoSmithKline plc | 5,126,110 | 116,436 |
British American Tobacco plc | 1,985,115 | 100,925 |
Royal Dutch Shell plc Class B | 2,704,547 | 94,454 |
BG Group plc | 3,448,654 | 70,600 |
Diageo plc | 2,527,401 | 65,145 |
Rio Tinto plc | 1,360,956 | 64,678 |
BHP Billiton plc | 2,116,180 | 60,148 |
AstraZeneca plc | 1,290,900 | 57,688 |
Standard Chartered plc | 2,385,862 | 51,829 |
Anglo American plc | 1,341,744 | 44,097 |
Unilever plc | 1,278,836 | 42,936 |
Imperial Tobacco Group plc | 1,028,666 | 39,633 |
TESCO plc | 8,101,104 | 39,370 |
SABMiller plc | 959,263 | 38,487 |
National Grid plc | 3,556,054 | 37,688 |
Reckitt Benckiser Group plc | 661,121 | 34,945 |
Barclays plc | 11,786,144 | 30,117 |
Prudential plc | 2,573,984 | 29,846 |
BT Group plc | 7,974,256 | 26,423 |
Rolls-Royce Holdings plc | 1,928,442 | 25,991 |
Xstrata plc | 2,056,503 | 25,858 |
Centrica plc | 5,158,312 | 25,792 |
SSE plc | 971,813 | 21,201 |
Tullow Oil plc | 910,311 | 21,040 |
* Lloyds Banking Group plc | 42,238,333 | 20,634 |
Compass Group plc | 1,912,085 | 20,071 |
Pearson plc | 848,714 | 16,840 |
Shire plc | 582,288 | 16,753 |
WPP plc | 1,322,378 | 16,054 |
BAE Systems plc | 3,507,151 | 15,900 |
Experian plc | 1,026,505 | 14,482 |
British Sky Broadcasting Group plc | 1,168,817 | 12,743 |
Aviva plc | 2,840,598 | 12,163 |
Legal & General Group plc | 5,942,766 | 11,881 |
Old Mutual plc | 4,897,787 | 11,648 |
Wolseley plc | 305,480 | 11,386 |
Kingfisher plc | 2,464,329 | 11,117 |
International Power PLC | 1,653,006 | 10,809 |
ARM Holdings plc | 1,348,638 | 10,685 |
Reed Elsevier plc | 1,297,929 | 10,403 |
WM Morrison Supermarkets plc | 2,372,836 | 9,901 |
Burberry Group plc | 473,177 | 9,852 |
Smith & Nephew plc | 955,524 | 9,558 |
Next plc | 189,370 | 9,509 |
Land Securities Group plc | 810,494 | 9,390 |
Standard Life plc | 2,538,668 | 9,295 |
Aggreko plc | 281,710 | 9,162 |
Marks & Spencer Group plc | 1,691,677 | 8,627 |
United Utilities Group plc | 730,158 | 7,735 |
Associated British Foods plc | 381,899 | 7,684 |
Johnson Matthey plc | 219,712 | 7,620 |
British Land Co. plc | 939,019 | 7,519 |
Randgold Resources Ltd. | 82,710 | 7,426 |
* Royal Bank of Scotland Group plc | 2,165,099 | 7,334 |
Capita plc | 681,460 | 7,003 |
14
Vanguard® Tax-Managed International Fund
Schedule of Investments
June 30, 2012
Market | ||
Value | ||
Shares | ($000) | |
Intertek Group plc | 166,121 | 6,960 |
Severn Trent plc | 266,620 | 6,912 |
Antofagasta plc | 400,640 | 6,853 |
InterContinental Hotels Group plc | 281,544 | 6,778 |
Carnival plc | 195,951 | 6,700 |
Smiths Group plc | 411,924 | 6,542 |
Rexam plc | 973,338 | 6,424 |
J Sainsbury plc | 1,349,551 | 6,378 |
G4S plc | 1,455,068 | 6,359 |
Petrofac Ltd. | 289,097 | 6,310 |
Sage Group plc | 1,416,866 | 6,167 |
Bunzl plc | 356,365 | 5,825 |
AMEC plc | 369,208 | 5,820 |
Glencore International plc | 1,246,203 | 5,779 |
RSA Insurance Group plc | 3,189,285 | 5,414 |
Hammerson plc | 752,816 | 5,229 |
Babcock International Group plc | 374,109 | 5,011 |
Resolution Ltd. | 1,600,746 | 4,924 |
Whitbread plc | 151,778 | 4,826 |
ITV plc | 3,999,607 | 4,813 |
Croda International plc | 130,948 | 4,653 |
Fresnillo plc | 203,076 | 4,652 |
GKN plc | 1,626,483 | 4,611 |
Weir Group plc | 188,865 | 4,538 |
Admiral Group plc | 240,263 | 4,482 |
Tate & Lyle plc | 440,212 | 4,471 |
Serco Group plc | 522,727 | 4,390 |
IMI plc | 310,613 | 4,058 |
Meggitt plc | 655,313 | 3,965 |
Aberdeen Asset Management plc | 929,236 | 3,785 |
Invensys plc | 1,017,302 | 3,546 |
Capital Shopping Centres Group plc | 698,629 | 3,529 |
Cobham plc | 966,823 | 3,522 |
ICAP plc | 648,516 | 3,433 |
Investec plc | 582,223 | 3,399 |
Segro plc | 895,101 | 3,050 |
London Stock Exchange Group plc | 191,851 | 3,029 |
Schroders plc (Voting Shares) | 138,202 | 2,897 |
Inmarsat plc | 367,960 | 2,840 |
Balfour Beatty plc | 573,409 | 2,681 |
Man Group plc | 2,124,315 | 2,542 |
Royal Dutch Shell plc Class A (Amsterdam Shares) | 67,141 | 2,266 |
Lonmin plc | 178,223 | 2,168 |
Eurasian Natural Resources Corp. plc | 323,512 | 2,111 |
Kazakhmys plc | 169,515 | 1,922 |
Vedanta Resources plc | 124,807 | 1,789 |
TUI Travel plc | 475,736 | 1,265 |
Evraz plc | 299,933 | 1,230 |
2,279,958 | ||
Total Investments (100.1%) (Cost $10,722,203) | 9,783,827 | |
Other Assets and Liabilities—Net (-0.1%) | (10,058) | |
Net Assets (100%) | 9,773,769 |
* 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, 2012, the aggregate value of these securities was $39,542,000, representing 0.4% of net assets.
ADR—American Depositary Receipt.
15
© 2012 The Vanguard Group. Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA 1272 082012
Item 2:
Not Applicable.
Item 3:
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 21, 2012 |
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 21, 2012 |
VANGUARD TAX-MANAGED FUNDS | |
By: | /s/ THOMAS J. HIGGINS* |
THOMAS J. HIGGINS | |
CHIEF FINANCIAL OFFICER | |
Date: August 21, 2012 |
* By: /s/ Heidi Stam
Heidi Stam, pursuant to a Power of Attorney filed on March 27, 2012 see file Number 2-11444, Incorporated by Reference.