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, 2014 – December 31, 2014
Annual Report | December 31, 2014
Vanguard Tax-Managed Funds®
Vanguard Tax-Managed Balanced Fund
Vanguard Tax-Managed Capital Appreciation Fund
Vanguard Tax-Managed Small-Cap Fund
The mission continues
On May 1, 1975, Vanguard began operations, a fledgling company based on the simple but revolutionary idea that a mutual fund company should be managed solely in the interest of its investors.
Four decades later, that revolutionary spirit continues to animate the enterprise. Vanguard remains on a mission to give investors the best chance of investment success.
As we mark our 40th anniversary, we thank you for entrusting your assets to Vanguard and giving us the opportunity to help you reach your financial goals in the decades to come.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
Tax-Managed Balanced Fund. | 9 |
Tax-Managed Capital Appreciation Fund. | 68 |
Tax-Managed Small-Cap Fund. | 89 |
Your Fund’s After-Tax Returns. | 111 |
About Your Fund’s Expenses. | 112 |
Glossary. | 114 |
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: Since our founding, Vanguard has drawn inspiration from the enterprise and valor demonstrated by British naval hero Horatio Nelson and his command at the Battle of the Nile in 1798. The photograph displays a replica of a merchant ship from the same era as Nelson’s flagship, the HMS Vanguard.
Your Fund’s Total Returns
Fiscal Year Ended December 31, 2014 | |
Total | |
Returns | |
Vanguard Tax-Managed Balanced Fund | 9.81% |
Tax-Managed Balanced Composite Index | 9.95 |
Mixed-Asset Target Allocation Moderate Funds Average | 5.04 |
For a benchmark description, see the Glossary. | |
Mixed-Asset Target Allocation Moderate Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
Vanguard Tax-Managed Capital Appreciation Fund | |
Admiral™ Shares | 12.52% |
Institutional Shares | 12.56 |
Russell 1000 Index | 13.24 |
Multi-Cap Core Funds Average | 9.58 |
Multi-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
Vanguard Tax-Managed Small-Cap Fund | |
Admiral Shares | 6.23% |
Institutional Shares | 6.26 |
S&P SmallCap 600 Index | 5.76 |
Small-Cap Core Funds Average | 3.92 |
Small-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
Institutional Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. |
Your Fund’s Performance at a Glance | ||||
December 31, 2013, Through December 31, 2014 | ||||
Distributions Per Share | ||||
Starting | Ending | |||
Share | Share | Income | Capital | |
Price | Price | Dividends | Gains | |
Vanguard Tax-Managed Balanced Fund | $24.90 | $26.79 | $0.536 | $0.000 |
Vanguard Tax-Managed Capital Appreciation Fund | ||||
Admiral Shares | $93.70 | $103.82 | $1.616 | $0.000 |
Institutional Shares | 46.56 | 51.59 | 0.822 | 0.000 |
Vanguard Tax-Managed Small-Cap Fund | ||||
Admiral Shares | $43.53 | $45.78 | $0.455 | $0.000 |
Institutional Shares | 43.63 | 45.88 | 0.473 | 0.000 |
1
Chairman’s Letter
Dear Shareholder,
Despite recent volatility both domestically and internationally, the broad U.S. stock and bond markets posted strong results for the 12 months ended December 31, 2014. In this environment, returns for the Vanguard Tax-Managed Funds ranged from more than 6% for the Tax-Managed Small-Cap Fund to more than 12% for the Tax-Managed Capital Appreciation Fund. The Tax-Managed Balanced Fund—which is invested about 50% in stocks and about 50% in bonds—fell between the two, returning about 10%.
The funds’ returns were generally consistent with those of their benchmark indexes. Each of the funds significantly outpaced its peer group.
The funds continued to meet their tax-management objective, as they have since their inception.
You may wish to review the table later in this report that shows the funds’ after-tax returns for the past one, five, and ten years.
U.S. stocks finished strongly for the sixth straight year
U.S. stocks returned nearly 13% for the 12 months, posting gains for the sixth consecutive calendar year. Rising corporate
2
earnings, the growing U.S. economy, and generally accommodative global monetary policies lifted domestic markets even as Europe and China faced economic challenges, tensions flared in the Middle East and Ukraine, and concerns arose over stocks’ high valuations.
Although the Federal Reserve ended its stimulative bond-buying program in October, investors seemed reassured by the Fed’s promise to be “patient” as it decides when to increase short-term interest rates. Other central banks—including the Bank of Japan, the European Central Bank, and the People’s Bank of China—announced significant stimulus measures.
International stocks didn’t fare as well as their U.S. counterparts, returning about –3% in dollar terms. Their performance was hurt as many foreign currencies weakened against the U.S. dollar. Emerging-market stocks rose slightly, while stocks from the developed markets of Europe and the Pacific region retreated.
Defying analysts’ expectations, bond prices rose during the period
Bond prices received a boost from moves by many central banks along with various global economic, market, and geopolitical challenges that drew investors to perceived safe havens. In an unexpected rebound from the previous year, the broad U.S. bond market returned 5.97% for the period.
Market Barometer | |||
Average Annual Total Returns | |||
Periods Ended December 31, 2014 | |||
One | Three | Five | |
Year | Years | Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 13.24% | 20.62% | 15.64% |
Russell 2000 Index (Small-caps) | 4.89 | 19.21 | 15.55 |
Russell 3000 Index (Broad U.S. market) | 12.56 | 20.51 | 15.63 |
FTSE All-World ex US Index (International) | -3.31 | 9.41 | 4.75 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | 5.97% | 2.66% | 4.45% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 9.05 | 4.30 | 5.16 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.03 | 0.04 | 0.06 |
CPI | |||
Consumer Price Index | 0.76% | 1.33% | 1.69% |
3
Even as the Fed pared back its bond purchases, prices climbed and yields fell. (Bond prices and yields move in opposite directions.) The yield of the 10-year Treasury note ended December at 2.19%, down from 2.97% at the close of December 2013.
Municipal bonds returned 9.05%, benefiting from increased demand and generally limited supply.
International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned –3.08%.
Returns for money market funds and savings accounts remained minuscule, as the Fed kept its target for short-term interest rates to 0%–0.25%.
Large-cap companies trumped their smaller-cap counterparts
Vanguard’s three tax-managed domestic funds share a tax-efficient objective, while offering exposure to different areas of the market. The funds’ advisors—Vanguard’s Equity Investment Group and Fixed Income Group—use various portfolio management strategies to minimize the funds’ taxable gains, while deviating as little as possible from an indexing strategy.
The Tax-Managed Capital Appreciation Fund, which tracks the Russell 1000 Index and invests in large- and mid-cap stocks, was the trio’s top performer for the fiscal year. Although U.S. stocks of all sizes and styles posted gains, large-cap stocks returned significantly more than smaller-caps.
Expense Ratios | |||
Your Fund Compared With Its Peer Group | |||
Admiral | Institutional | Peer Group | |
Shares | Shares | Average | |
Tax-Managed Balanced Fund | 0.12% | — | 0.91% |
Tax-Managed Capital Appreciation Fund | 0.12 | 0.08% | 1.17 |
Tax-Managed Small-Cap Fund | 0.12 | 0.08 | 1.32 |
The fund expense ratios shown are from the prospectus dated April 7, 2014, and represent estimated costs for the current fiscal year. For the fiscal year ended December 31, 2014, the funds’ expense ratios were: for the Tax-Managed Balanced Fund, 0.12%; 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, a Thomson Reuters Company, and capture information through year-end 2013.
Peer groups: For the Tax-Managed Balanced Fund, Mixed-Asset Target Allocation Moderate 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
Eight of the fund’s nine market sectors advanced, with health care, technology, and financial stocks contributing most to performance. Together, these three sectors accounted for two-thirds of the fund’s total return.
In health care, pharmaceutical and biotech-nology firms benefited from new product development, mergers and acquisitions, and strategic alliances. Computer hardware and systems software companies led the way in technology, as demand for smartphones, mobile technologies, and cloud-based computing grew in the United States and overseas. Within the financial sector, low interest rates and the expanding economy propelled real estate investment trusts (REITs) to returns of nearly 30%.
Hurt by a slide in oil prices, energy was the only sector to decline for the period.
The Tax-Managed Balanced Fund, which seeks to hold half its assets in stocks and half in municipal bonds, was next in line. The fund’s equity portion, which also tracks the Russell 1000 Index, had similar results to the Capital Appreciation Fund.
Total Returns | |
Ten Years Ended December 31, 2014 | |
Average | |
Annual Return | |
Tax-Managed Balanced Fund | 6.50% |
Tax-Managed Balanced Composite Index | 6.73 |
Mixed-Asset Target Allocation Moderate Funds Average | 5.21 |
For a benchmark description, see the Glossary. | |
Mixed-Asset Target Allocation Moderate Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
Tax-Managed Capital Appreciation Fund Admiral Shares | 8.04% |
Russell 1000 Index | 7.96 |
Multi-Cap Core Funds Average | 6.73 |
Multi-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
Tax-Managed Small-Cap Fund Admiral Shares | 9.06% |
S&P SmallCap 600 Index | 9.02 |
Small-Cap Core Funds Average | 7.04 |
Small-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
The figures shown represent past performance, which is not a guarantee of future results. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at 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.
5
The Balanced Fund’s fixed income portion, which invests in intermediate-term municipal bonds, also posted strong results. As I mentioned, municipal bonds were boosted by an increase in demand, coupled with a limited supply.
The Tax-Managed Small-Cap Fund, which invests primarily in stocks of smaller companies and tracks the S&P SmallCap 600 Index, produced the group’s weakest result. Although its mandate differs, its performance was affected by trends similar to those I mentioned above. Technology, financials, and health care stocks were again top performers, but the smaller companies in these industries returned significantly less than the larger ones. The fund posted negative results in energy, materials, and telecommunication services.
Long term, the funds have stayed competitive with their benchmarks
For the decade ended December 31, 2014, Vanguard’s domestic tax-managed funds posted average annual returns ranging from more than 6% for the Balanced Fund to about 9% for the Small-Cap Fund. These returns were in line with the funds’ benchmarks, and all three funds outpaced the average returns of their peers.
Vanguard’s Equity Investment Group and Fixed Income Group deserve credit for the funds’ success in delivering results in line with their indexes and meeting their tax-management objectives. Unlike many of their peers, our tax-managed funds have never distributed capital gains to shareholders. We believe the advisors will continue this record, as they manage each fund with tax consequences in mind.
A note on expense ratios |
The Expense Ratios table in each shareholder report’s Chairman’s Letter displays fund expense |
ratios from the most recent prospectus. These figures include the funds’ actual operating |
expenses. For some funds, the figures also include “acquired fund fees and expenses,” |
which result from the funds’ holdings in business development companies (BDCs). |
Although the Securities and Exchange Commission requires that BDC costs be included in a |
fund’s expense ratio, these fees are not incurred by the fund. They have no impact on a fund’s |
total return or on its tracking error relative to an index. A footnote to the Expense Ratios table |
reports the fund’s actual expenses for the fiscal year, a more relevant tally of the operating |
costs incurred by shareholders. |
To build for the long term, start with a solid foundation
As the leader of a major investment firm, I get asked a lot of questions on all kinds of topics, from the outlook for global markets to the best fund choices for an IRA. But a topic that almost never comes up—and one that I consider perhaps the most important—is setting investment goals.
At Vanguard, we believe that following four timeless, straightforward principles can help put you on the right track toward investment success:
• Goals. Create clear, appropriate investment goals.
• Balance. Develop a suitable asset allocation using broadly diversified funds.
• Cost. Minimize cost.
• Discipline. Maintain perspective and long-term discipline.
All four principles are essential, and the order in which they’re listed is intentional. Every good investment plan begins with a clearly defined goal, which sets the foundation for building your portfolio.
Vanguard’s outlook for investors: Expect less and stay balanced |
In Vanguard’s recently published market outlook, global chief economist Joe Davis and his |
team discuss expected returns for various asset classes over the coming years. Although not |
bearish, our outlook on global stocks and bonds is the most guarded since 2006. The report |
cautions that, over the next decade, returns for a balanced portfolio are likely to be moderately |
below long-run historical averages. |
Our simulations indicate that the average annualized returns of a 60% equity/40% bond |
portfolio for the decade ending 2024 are most likely to be centered in the 3%–5% range |
after inflation, below the actual average after-inflation return of 5.6% for the same portfolio |
since 1926. |
Even so, Vanguard firmly believes that the principles for investing success—focusing on clear |
goals, a suitable asset allocation, low costs, and long-term discipline—remain unchanged. |
For more information about our expectations and the probability of various outcomes, |
see Vanguard’s Economic and Investment Outlook, available at vanguard.com/research. |
IMPORTANT: The projections and other information generated by the Vanguard Capital Markets Model (VCMM) regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results, and are not guarantees of future results. Distribution of return outcomes from VCMM, derived from 10,000 simulations for U.S. equity returns and fixed income returns. Simulations as of September 30, 2014. Results from the model may vary with each use and over time. For more information, please see page 8.
7
(You can read more about our principles in Vanguard’s Principles for Investing Success, available at vanguard.com/ research.)
Setting an investment goal doesn’t have to be complicated. It can be as simple as saving for retirement or for a child’s college education. Being realistic about your goals—and how to meet them—can help you stick with your investment plan even when times get tough.
We’ve recently welcomed a new year, which for many means a new beginning. Now is a perfect time to revisit your investment plan and make any necessary adjustments to help you reach your long-term financial goals.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
January 15, 2015
IMPORTANT: The projections and other information generated by the Vanguard Capital Markets Model regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results, and are not guarantees of future results. VCMM results will vary with each use and over time.
The VCMM projections are based on a statistical analysis of historical data. Future returns may behave differently from the historical patterns captured in the VCMM. More important, the VCMM may be underestimating extreme negative scenarios unobserved in the historical period on which the model estimation is based.
The Vanguard Capital Markets Model® is a proprietary financial simulation tool developed and maintained by Vanguard’s primary investment research and advice teams. The model forecasts distributions of future returns for a wide array of broad asset classes. Those asset classes include U.S. and international equity markets, several maturities of the U.S. Treasury and corporate fixed income markets, international fixed income markets, U.S. money markets, commodities, and certain alternative investment strategies. The theoretical and empirical foundation for the Vanguard Capital Markets Model is that the returns of various asset classes reflect the compensation investors require for bearing different types of systematic risk (beta). At the core of the model are estimates of the dynamic statistical relationship between risk factors and asset returns, obtained from statistical analysis based on available monthly financial and economic data from as early as 1960. Using a system of estimated equations, the model then applies a Monte Carlo simulation method to project the estimated interrelationships among risk factors and asset classes as well as uncertainty and randomness over time. The model generates a large set of simulated outcomes for each asset class over several time horizons. Forecasts are obtained by computing measures of central tendency in these simulations. Results produced by the tool will vary with each use and over time.
8
Tax-Managed Balanced Fund
Fund Profile
As of December 31, 2014
Equity and Portfolio Characteristics | |||
DJ | |||
U.S. | |||
Total | |||
Russell | Market | ||
1000 | FA | ||
Fund | Index | Index | |
Number of Stocks | 795 | 1,043 | 3,776 |
Median Market Cap | $50.3B | $61.1B | $48.1B |
Price/Earnings Ratio | 19.9x | 19.9x | 20.6x |
Price/Book Ratio | 2.8x | 2.8x | 2.7x |
Return on Equity | 18.4% | 18.5% | 17.8% |
Earnings Growth | |||
Rate | 16.2% | 15.5% | 15.4% |
Dividend Yield | 1.6% | 1.9% | 1.9% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 8% | — | — |
Ticker Symbol | VTMFX | — | — |
Expense Ratio1 | 0.12% | — | — |
30-Day SEC Yield | 1.59% | — | — |
Short-Term Reserves | 0.0% | — | — |
Fixed Income Characteristics | |||
Barclays | Barclays | ||
1-15 Year | Municipal | ||
Municipal | Bond | ||
Fund | Index | Index | |
Number of Bonds | 1,261 | 37,500 | 46,179 |
Yield to Maturity | |||
(before expenses) | 1.8% | 1.7% | 2.1% |
Average Coupon | 4.2% | 4.8% | 4.8% |
Average Duration | 4.7 years | 4.7 years | 6.1 years |
Average Stated | |||
Maturity | 9.1 years | 8.1 years | 13.4 years |
Total Fund Volatility Measures | ||
DJ | ||
Tax-Managed | U.S. Total | |
Balanced | Market | |
Comp Index | FA Index | |
R-Squared | 0.99 | 0.88 |
Beta | 1.00 | 0.49 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months. | ||
Ten Largest Stocks (% of equity portfolio) | ||
Apple Inc. | Computer | |
Technology | 3.0% | |
Exxon Mobil Corp. | Oil: Integrated | 1.7 |
Microsoft Corp. | Computer Services | |
Software & Systems | 1.7 | |
Google Inc. | Computer Services | |
Software & Systems | 1.5 | |
Berkshire Hathaway Inc. | Insurance: Multi-Line | 1.4 |
Johnson & Johnson | Pharmaceuticals | 1.3 |
Procter & Gamble Co. | Personal Care | 1.2 |
Wells Fargo & Co. | Banks: Diversified | 1.1 |
General Electric Co. | Diversified | |
Manufacturing | ||
Operations | 1.1 | |
JPMorgan Chase & Co. | Diversified Financial | |
Services | 1.0 | |
Top Ten | 15.0% | |
Top Ten as % of Total Net Assets | 7.2% | |
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 7, 2014, and represents estimated costs for the current fiscal year. For the fiscal year ended December 31, 2014, the expense ratio was 0.12%.
9
Tax-Managed Balanced Fund
Sector Diversification (% of equity exposure) | |||
DJ | |||
Russell | U.S. Total | ||
1000 | Market | ||
Fund | Index | FA Index | |
Consumer | |||
Discretionary | 14.4% | 14.3% | 14.5% |
Consumer Staples | 7.8 | 7.9 | 7.5 |
Energy | 7.8 | 7.8 | 7.6 |
Financial Services | 19.4 | 19.1 | 19.4 |
Health Care | 13.9 | 13.9 | 13.9 |
Materials & | |||
Processing | 4.1 | 4.0 | 4.2 |
Producer Durables | 11.0 | 11.3 | 11.3 |
Technology | 16.4 | 16.4 | 16.4 |
Utilities | 5.2 | 5.3 | 5.2 |
Distribution by Credit Quality (% of fixed | |
income portfolio) | |
AAA | 18.7% |
AA | 54.7 |
A | 19.8 |
BBB | 6.1 |
BB | 0.2 |
Not Rated | 0.5 |
Credit-quality ratings are obtained from Moody's and S&P, and the higher rating for each issue is shown. For more information about these ratings, see the Glossary entry for Credit Quality. | |
Equity Investment Focus
Fixed Income Investment Focus
Distribution by Stated Maturity | |
(% of fixed income portfolio) | |
Under 1 Year | 12.3% |
1 - 3 Years | 9.3 |
3 - 5 Years | 8.1 |
5 - 10 Years | 25.8 |
10 - 20 Years | 43.6 |
20 - 30 Years | 0.9 |
Largest Area Concentrations (% of fixed income | |
portfolio) | |
California | 15.8% |
New York | 13.7 |
Texas | 7.8 |
Pennsylvania | 6.2 |
Illinois | 5.9 |
New Jersey | 4.8 |
Florida | 4.4 |
Massachusetts | 4.0 |
Ohio | 3.5 |
Arizona | 3.3 |
Top Ten | 69.4% |
"Largest Area Concentration" figures exclude any fixed income futures contracts. | |
10
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.
Cumulative Performance: December 31, 2004, Through December 31, 2014
Initial Investment of $10,000
Average Annual Total Returns | |||||
Periods Ended December 31, 2014 | |||||
Final Value | |||||
One | Five | Ten | of a $10,000 | ||
Year | Years | Years | Investment | ||
Tax-Managed Balanced Fund | 9.81% | 9.93% | 6.50% | $18,772 | |
•••••••• | Tax-Managed Balanced Composite | ||||
Index | 9.95 | 10.21 | 6.73 | 19,189 | |
– – – – | Mixed-Asset Target Allocation | ||||
Moderate Funds Average | 5.04 | 8.34 | 5.21 | 16,613 | |
- - - - - - | Barclays Municipal Bond Index | 9.05 | 5.16 | 4.74 | 15,885 |
Dow Jones U.S. Total Stock Market | |||||
Float Adjusted Index | 12.47 | 15.72 | 8.09 | 21,779 | |
For a benchmark description, see the Glossary. | |||||
Mixed-Asset Target Allocation Moderate Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
See Financial Highlights for dividend and capital gains information.
11
Tax-Managed Balanced Fund
Fiscal-Year Total Returns (%): December 31, 2004, Through December 31, 2014
12
Tax-Managed Balanced Fund
Financial Statements
Statement of Net Assets
As of December 31, 2014
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 (48.1%) | |||
Consumer Discretionary (6.9%) | |||
Walt Disney Co. | 81,166 | 7,645 | |
Comcast Corp. Class A | 107,645 | 6,245 | |
Wal-Mart Stores Inc. | 67,049 | 5,758 | |
* | Amazon.com Inc. | 17,982 | 5,581 |
Home Depot Inc. | 51,699 | 5,427 | |
Twenty-First Century | |||
Fox Inc. Class A | 95,951 | 3,685 | |
* | eBay Inc. | 62,844 | 3,527 |
Time Warner Inc. | 40,396 | 3,451 | |
Lowe’s Cos. Inc. | 49,315 | 3,393 | |
NIKE Inc. Class B | 33,894 | 3,259 | |
Costco Wholesale Corp. | 22,617 | 3,206 | |
* | Priceline Group Inc. | 2,668 | 3,042 |
Starbucks Corp. | 32,863 | 2,696 | |
McDonald’s Corp. | 28,474 | 2,668 | |
TJX Cos. Inc. | 37,386 | 2,564 | |
* | DIRECTV | 25,818 | 2,238 |
Ford Motor Co. | 142,400 | 2,207 | |
CBS Corp. Class B | 30,913 | 1,711 | |
Target Corp. | 22,045 | 1,673 | |
Johnson Controls Inc. | 33,600 | 1,624 | |
* | Dollar General Corp. | 20,400 | 1,442 |
* | AutoZone Inc. | 2,201 | 1,363 |
Ross Stores Inc. | 14,304 | 1,348 | |
Macy’s Inc. | 20,494 | 1,347 | |
Yum! Brands Inc. | 17,905 | 1,304 | |
* | O’Reilly Automotive Inc. | 6,662 | 1,283 |
Marriott International Inc. | |||
Class A | 16,183 | 1,263 | |
Time Warner Cable Inc. | 8,243 | 1,253 | |
* | DISH Network Corp. Class A | 16,305 | 1,188 |
Royal Caribbean Cruises Ltd. | 14,147 | 1,166 | |
Starwood Hotels & Resorts | |||
Worldwide Inc. | 14,107 | 1,144 | |
Harley-Davidson Inc. | 16,890 | 1,113 | |
General Motors Co. | 31,600 | 1,103 | |
Estee Lauder Cos. Inc. | |||
Class A | 13,918 | 1,061 | |
BorgWarner Inc. | 18,852 | 1,036 |
Market | |||
Value• | |||
Shares | ($000) | ||
Advance Auto Parts Inc. | 6,264 | 998 | |
Tractor Supply Co. | 12,514 | 986 | |
Signet Jewelers Ltd. | 7,400 | 974 | |
Ralph Lauren Corp. Class A | 5,173 | 958 | |
Newell Rubbermaid Inc. | 25,118 | 957 | |
Wyndham Worldwide Corp. | 11,100 | 952 | |
Hanesbrands Inc. | 8,400 | 938 | |
PVH Corp. | 7,283 | 933 | |
Polaris Industries Inc. | 6,100 | 923 | |
Carnival Corp. | 19,950 | 904 | |
DR Horton Inc. | 35,222 | 891 | |
* | Jarden Corp. | 18,507 | 886 |
* | Dollar Tree Inc. | 12,588 | 886 |
PetSmart Inc. | 10,624 | 864 | |
Expedia Inc. | 10,091 | 861 | |
* | Sirius XM Holdings Inc. | 244,000 | 854 |
Harman International | |||
Industries Inc. | 7,907 | 844 | |
Lear Corp. | 8,600 | 844 | |
Fortune Brands Home | |||
& Security Inc. | 18,025 | 816 | |
Lennar Corp. Class A | 18,123 | 812 | |
* | Bed Bath & Beyond Inc. | 10,400 | 792 |
Scripps Networks | |||
Interactive Inc. Class A | 10,468 | 788 | |
* | WABCO Holdings Inc. | 7,296 | 764 |
Gap Inc. | 17,685 | 745 | |
* | Restaurant Brands | ||
International Inc. | 18,711 | 730 | |
Gentex Corp. | 19,985 | 722 | |
Domino’s Pizza Inc. | 7,400 | 697 | |
Kohl’s Corp. | 11,385 | 695 | |
* | Michael Kors Holdings Ltd. | 9,200 | 691 |
Service Corp. International | 29,800 | 676 | |
* | NVR Inc. | 530 | 676 |
CST Brands Inc. | 15,466 | 674 | |
Dillard’s Inc. Class A | 5,213 | 653 | |
Brinker International Inc. | 10,837 | 636 | |
Aaron’s Inc. | 20,411 | 624 | |
* | Hilton Worldwide | ||
Holdings Inc. | 23,650 | 617 |
13
Tax-Managed Balanced Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Dunkin’ Brands Group Inc. | 14,392 | 614 | |
DeVry Education Group Inc. | 12,900 | 612 | |
Thor Industries Inc. | 10,400 | 581 | |
John Wiley & Sons Inc. | |||
Class A | 9,618 | 570 | |
Big Lots Inc. | 14,000 | 560 | |
* | Starz | 17,904 | 532 |
Coach Inc. | 13,620 | 512 | |
Family Dollar Stores Inc. | 6,266 | 496 | |
* | TripAdvisor Inc. | 6,391 | 477 |
* | Liberty Media Corp. | 13,608 | 477 |
Viacom Inc. Class B | 6,227 | 469 | |
* | Discovery | ||
Communications Inc. | 13,841 | 467 | |
* | Liberty Media Corp. Class A | 11,947 | 421 |
Wendy’s Co. | 43,670 | 394 | |
Comcast Corp. | 6,476 | 373 | |
* | Liberty Ventures Class A | 9,144 | 345 |
Las Vegas Sands Corp. | 5,400 | 314 | |
* | News Corp. Class A | 19,237 | 302 |
* | TRW Automotive | ||
Holdings Corp. | 2,900 | 298 | |
Omnicom Group Inc. | 3,800 | 294 | |
* | Panera Bread Co. Class A | 1,500 | 262 |
* | Discovery | ||
Communications Inc. | |||
Class A | 6,841 | 236 | |
International Game | |||
Technology | 13,267 | 229 | |
Chico’s FAS Inc. | 13,300 | 216 | |
* | Taylor Morrison Home | ||
Corp. Class A | 9,600 | 181 | |
* | MGM Resorts International | 8,013 | 171 |
* | Outfront Media Inc. | 6,329 | 170 |
* | Liberty Broadband Corp. | 3,402 | 170 |
* | Tesla Motors Inc. | 700 | 156 |
* | Murphy USA Inc. | 2,175 | 150 |
* | Liberty Broadband Corp. | ||
Class A | 2,986 | 150 | |
* | Toll Brothers Inc. | 3,600 | 123 |
* | Foster Wheeler AG | 7,228 | 96 |
* | Liberty Interactive Corp. | ||
Class A | 3,238 | 95 | |
* | Netflix Inc. | 277 | 95 |
* | Chipotle Mexican Grill Inc. | ||
Class A | 100 | 68 | |
* | AMC Networks Inc. Class A | 1,073 | 68 |
* | Apollo Education Group Inc. | 2,000 | 68 |
* | Fossil Group Inc. | 600 | 66 |
* | LKQ Corp. | 1,900 | 53 |
* | Charter Communications Inc. | ||
Class A | 300 | 50 | |
* | Norwegian Cruise Line | ||
Holdings Ltd. | 1,000 | 47 | |
* | Mohawk Industries Inc. | 300 | 47 |
* | Visteon Corp. | 400 | 43 |
* | Under Armour Inc. Class A | 600 | 41 |
Market | |||
Value• | |||
Shares | ($000) | ||
* | CarMax Inc. | 600 | 40 |
* | Liberty TripAdvisor | ||
Holdings Inc. Class A | 1,484 | 40 | |
* | Avis Budget Group Inc. | 600 | 40 |
* | Ulta Salon Cosmetics | ||
& Fragrance Inc. | 300 | 38 | |
* | Madison Square | ||
Garden Co. Class A | 500 | 38 | |
* | Sally Beauty Holdings Inc. | 1,200 | 37 |
* | Deckers Outdoor Corp. | 400 | 36 |
* | Live Nation | ||
Entertainment Inc. | 1,300 | 34 | |
* | Tempur Sealy | ||
International Inc. | 600 | 33 | |
Lamar Advertising Co. Class A | 600 | 32 | |
* | AutoNation Inc. | 500 | 30 |
* | Hyatt Hotels Corp. Class A | 500 | 30 |
Wynn Resorts Ltd. | 200 | 30 | |
* | Sears Holdings Corp. | 900 | 30 |
* | DreamWorks Animation | ||
SKG Inc. Class A | 1,300 | 29 | |
* | Urban Outfitters Inc. | 800 | 28 |
* | HomeAway Inc. | 900 | 27 |
* | Cabela’s Inc. | 500 | 26 |
Lennar Corp. Class B | 680 | 25 | |
* | Ascena Retail Group Inc. | 1,700 | 21 |
* | zulily Inc. Class A | 800 | 19 |
H&R Block Inc. | 500 | 17 | |
* | Pandora Media Inc. | 900 | 16 |
* | Liberty Broadband Rights | ||
Expire 1/09/2015 | 1,277 | 12 | |
Cablevision Systems | |||
Corp. Class A | 394 | 8 | |
132,150 | |||
Consumer Staples (3.8%) | |||
Procter & Gamble Co. | 117,449 | 10,698 | |
Coca-Cola Co. | 160,464 | 6,775 | |
PepsiCo Inc. | 66,390 | 6,278 | |
CVS Health Corp. | 54,092 | 5,210 | |
Philip Morris | |||
International Inc. | 52,594 | 4,284 | |
* | Walgreens Boots | ||
Alliance Inc. | 44,478 | 3,389 | |
Colgate-Palmolive Co. | 46,570 | 3,222 | |
Mondelez International Inc. | |||
Class A | 85,637 | 3,111 | |
Altria Group Inc. | 60,380 | 2,975 | |
Archer-Daniels-Midland Co. | 37,973 | 1,975 | |
Kroger Co. | 29,300 | 1,881 | |
Mead Johnson Nutrition Co. | 13,513 | 1,359 | |
Keurig Green Mountain Inc. | 9,629 | 1,275 | |
* | Constellation Brands Inc. | ||
Class A | 11,987 | 1,177 | |
* | Monster Beverage Corp. | 10,838 | 1,174 |
Hershey Co. | 11,200 | 1,164 | |
Dr Pepper Snapple | |||
Group Inc. | 15,232 | 1,092 |
14
Tax-Managed Balanced Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Bunge Ltd. | 11,530 | 1,048 | |
Coca-Cola Enterprises Inc. | 21,786 | 963 | |
Tyson Foods Inc. Class A | 24,010 | 963 | |
Church & Dwight Co. Inc. | 12,055 | 950 | |
JM Smucker Co. | 9,251 | 934 | |
Molson Coors Brewing Co. | |||
Class B | 12,400 | 924 | |
McCormick & Co. Inc. | 11,947 | 888 | |
Brown-Forman Corp. Class B | 10,088 | 886 | |
Energizer Holdings Inc. | 6,365 | 818 | |
Kimberly-Clark Corp. | 6,972 | 805 | |
Hormel Foods Corp. | 14,892 | 776 | |
Ingredion Inc. | 9,086 | 771 | |
Whole Foods Market Inc. | 15,100 | 761 | |
Safeway Inc. | 20,134 | 707 | |
* | WhiteWave Foods Co. | ||
Class A | 20,166 | 706 | |
* | Pilgrim’s Pride Corp. | 16,300 | 534 |
Clorox Co. | 3,500 | 365 | |
Herbalife Ltd. | 9,027 | 340 | |
General Mills Inc. | 5,114 | 273 | |
Kraft Foods Group Inc. | 3,659 | 229 | |
* | Hain Celestial Group Inc. | 1,000 | 58 |
* | Sprouts Farmers Market Inc. | 1,400 | 48 |
71,786 | |||
Energy (3.7%) | |||
Exxon Mobil Corp. | 173,315 | 16,023 | |
Chevron Corp. | 70,832 | 7,946 | |
Schlumberger Ltd. | 55,167 | 4,712 | |
EOG Resources Inc. | 29,356 | 2,703 | |
ConocoPhillips | 32,992 | 2,278 | |
Anadarko Petroleum Corp. | 26,690 | 2,202 | |
Phillips 66 | 26,406 | 1,893 | |
Halliburton Co. | 44,525 | 1,751 | |
Occidental Petroleum Corp. | 20,404 | 1,645 | |
Baker Hughes Inc. | 26,550 | 1,489 | |
Pioneer Natural | |||
Resources Co. | 9,569 | 1,424 | |
Marathon Petroleum Corp. | 15,341 | 1,385 | |
* | Cheniere Energy Inc. | 16,800 | 1,183 |
Hess Corp. | 15,604 | 1,152 | |
Apache Corp. | 17,514 | 1,098 | |
Kinder Morgan Inc. | 24,883 | 1,053 | |
* | Concho Resources Inc. | 10,400 | 1,037 |
Cabot Oil & Gas Corp. | 33,504 | 992 | |
* | FMC Technologies Inc. | 20,686 | 969 |
* | Cameron International Corp. | 18,952 | 947 |
EQT Corp. | 12,497 | 946 | |
Noble Energy Inc. | 19,798 | 939 | |
Cimarex Energy Co. | 8,376 | 888 | |
* | Southwestern Energy Co. | 31,431 | 858 |
Range Resources Corp. | 15,746 | 842 | |
CONSOL Energy Inc. | 23,505 | 795 | |
Devon Energy Corp. | 12,654 | 774 | |
* | Whiting Petroleum Corp. | 22,900 | 756 |
* | Dresser-Rand Group Inc. | 9,122 | 746 |
Market | |||
Value• | |||
Shares | ($000) | ||
* | Continental Resources Inc. | 18,028 | 691 |
* | Newfield Exploration Co. | 24,827 | 673 |
World Fuel Services Corp. | 14,300 | 671 | |
ONEOK Inc. | 13,384 | 666 | |
Superior Energy | |||
Services Inc. | 32,721 | 659 | |
* | Dril-Quip Inc. | 8,200 | 629 |
* | NOW Inc. | 23,882 | 614 |
* | Oil States International Inc. | 12,498 | 611 |
Helmerich & Payne Inc. | 7,915 | 534 | |
National Oilwell Varco Inc. | 7,929 | 520 | |
* | Ultra Petroleum Corp. | 38,200 | 503 |
HollyFrontier Corp. | 12,492 | 468 | |
Valero Energy Corp. | 8,400 | 416 | |
Nabors Industries Ltd. | 31,390 | 407 | |
Murphy Oil Corp. | 6,700 | 338 | |
* | WPX Energy Inc. | 23,400 | 272 |
Marathon Oil Corp. | 8,482 | 240 | |
Rowan Cos. plc Class A | 9,383 | 219 | |
SM Energy Co. | 4,172 | 161 | |
Patterson-UTI Energy Inc. | 8,502 | 141 | |
QEP Resources Inc. | 6,298 | 127 | |
Williams Cos. Inc. | 2,020 | 91 | |
* | First Solar Inc. | 1,400 | 62 |
Chesapeake Energy Corp. | 2,400 | 47 | |
* | California Resources Corp. | 8,161 | 45 |
* | SunPower Corp. Class A | 800 | 21 |
* | Rice Energy Inc. | 900 | 19 |
* | Gulfport Energy Corp. | 400 | 17 |
* | Antero Resources Corp. | 400 | 16 |
* | Seventy Seven Energy Inc. | 321 | 2 |
Peabody Energy Corp. | 9 | — | |
71,306 | |||
Financial Services (9.3%) | |||
* | Berkshire Hathaway Inc. | ||
Class B | 83,477 | 12,534 | |
Wells Fargo & Co. | 184,759 | 10,128 | |
JPMorgan Chase & Co. | 143,601 | 8,987 | |
Bank of America Corp. | 431,517 | 7,720 | |
Citigroup Inc. | 142,243 | 7,697 | |
Visa Inc. Class A | 23,674 | 6,207 | |
MasterCard Inc. Class A | 49,200 | 4,239 | |
Goldman Sachs Group Inc. | 21,185 | 4,106 | |
American International | |||
Group Inc. | 72,100 | 4,038 | |
American Express Co. | 40,059 | 3,727 | |
Morgan Stanley | 78,760 | 3,056 | |
Simon Property Group Inc. | 16,078 | 2,928 | |
American Tower Corporation | 21,973 | 2,172 | |
US Bancorp | 46,300 | 2,081 | |
Charles Schwab Corp. | 65,505 | 1,978 | |
Capital One Financial Corp. | 22,592 | 1,865 | |
Allstate Corp. | 25,600 | 1,798 | |
Aon plc | 17,900 | 1,697 | |
Public Storage | 8,772 | 1,621 | |
Equity Residential | 22,150 | 1,591 |
15
Tax-Managed Balanced Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Discover Financial Services | 24,229 | 1,587 | |
Crown Castle | |||
International Corp. | 19,667 | 1,548 | |
Vornado Realty Trust | 12,200 | 1,436 | |
Ameriprise Financial Inc. | 10,680 | 1,412 | |
Franklin Resources Inc. | 25,275 | 1,399 | |
AvalonBay Communities Inc. | 8,500 | 1,389 | |
Boston Properties Inc. | 10,181 | 1,310 | |
SunTrust Banks Inc. | 30,529 | 1,279 | |
Fidelity National | |||
Information Services Inc. | 20,281 | 1,261 | |
* | Fiserv Inc. | 17,542 | 1,245 |
Weyerhaeuser Co. | 34,166 | 1,226 | |
T. Rowe Price Group Inc. | 14,000 | 1,202 | |
* | Alliance Data Systems Corp. | 4,187 | 1,198 |
Moody’s Corp. | 12,400 | 1,188 | |
General Growth | |||
Properties Inc. | 41,900 | 1,179 | |
Hartford Financial | |||
Services Group Inc. | 27,900 | 1,163 | |
PNC Financial Services | |||
Group Inc. | 12,500 | 1,140 | |
Essex Property Trust Inc. | 5,473 | 1,131 | |
Travelers Cos. Inc. | 10,589 | 1,121 | |
Host Hotels & Resorts Inc. | 46,699 | 1,110 | |
Lincoln National Corp. | 19,030 | 1,097 | |
Progressive Corp. | 40,197 | 1,085 | |
Loews Corp. | 25,816 | 1,085 | |
Intercontinental | |||
Exchange Inc. | 4,771 | 1,046 | |
State Street Corp. | 13,069 | 1,026 | |
KeyCorp | 71,618 | 995 | |
SL Green Realty Corp. | 8,159 | 971 | |
* | CBRE Group Inc. Class A | 26,773 | 917 |
Bank of New York | |||
Mellon Corp. | 22,432 | 910 | |
Regions Financial Corp. | 84,715 | 895 | |
* | Affiliated Managers | ||
Group Inc. | 4,184 | 888 | |
Equifax Inc. | 10,958 | 886 | |
MetLife Inc. | 16,240 | 878 | |
CIT Group Inc. | 18,000 | 861 | |
TD Ameritrade | |||
Holding Corp. | 24,061 | 861 | |
Federal Realty | |||
Investment Trust | 6,419 | 857 | |
Comerica Inc. | 18,100 | 848 | |
* | E*TRADE Financial Corp. | 34,200 | 830 |
Jones Lang LaSalle Inc. | 5,312 | 796 | |
* | Markel Corp. | 1,151 | 786 |
Everest Re Group Ltd. | 4,600 | 783 | |
* | Arch Capital Group Ltd. | 13,250 | 783 |
First Republic Bank | 15,000 | 782 | |
Torchmark Corp. | 14,422 | 781 | |
Fifth Third Bancorp | 38,275 | 780 | |
Legg Mason Inc. | 14,354 | 766 |
Market | |||
Value• | |||
Shares | ($000) | ||
Reinsurance Group of | |||
America Inc. Class A | 8,670 | 760 | |
* | Signature Bank | 6,000 | 756 |
Voya Financial Inc. | 17,600 | 746 | |
* | Alleghany Corp. | 1,609 | 746 |
Global Payments Inc. | 9,114 | 736 | |
Zions Bancorporation | 25,651 | 731 | |
Unum Group | 20,827 | 726 | |
* | SVB Financial Group | 6,200 | 720 |
East West Bancorp Inc. | 18,269 | 707 | |
Apartment Investment | |||
& Management Co. | |||
Class A | 18,776 | 698 | |
Equity LifeStyle | |||
Properties Inc. | 13,400 | 691 | |
Extra Space Storage Inc. | 11,700 | 686 | |
WR Berkley Corp. | 13,343 | 684 | |
Chubb Corp. | 6,600 | 683 | |
Taubman Centers Inc. | 8,900 | 680 | |
Assurant Inc. | 9,900 | 677 | |
* | Popular Inc. | 19,500 | 664 |
MSCI Inc. Class A | 13,834 | 656 | |
NASDAQ OMX Group Inc. | 13,673 | 656 | |
Raymond James | |||
Financial Inc. | 11,434 | 655 | |
City National Corp. | 8,000 | 646 | |
Douglas Emmett Inc. | 22,734 | 646 | |
Lazard Ltd. Class A | 12,825 | 642 | |
* | Howard Hughes Corp. | 4,900 | 639 |
SEI Investments Co. | 15,847 | 635 | |
White Mountains | |||
Insurance Group Ltd. | 998 | 629 | |
* | Forest City Enterprises Inc. | ||
Class A | 29,413 | 626 | |
BlackRock Inc. | 1,742 | 623 | |
Brown & Brown Inc. | 18,861 | 621 | |
Tanger Factory Outlet | |||
Centers Inc. | 16,700 | 617 | |
First Horizon National Corp. | 45,440 | 617 | |
Commerce Bancshares Inc. | 14,188 | 617 | |
Post Properties Inc. | 10,400 | 611 | |
FactSet Research | |||
Systems Inc. | 4,299 | 605 | |
StanCorp Financial | |||
Group Inc. | 8,600 | 601 | |
RenaissanceRe | |||
Holdings Ltd. | 6,098 | 593 | |
Associated Banc-Corp | 31,727 | 591 | |
TCF Financial Corp. | 37,100 | 590 | |
Assured Guaranty Ltd. | 22,194 | 577 | |
Total System Services Inc. | 16,500 | 560 | |
Leucadia National Corp. | 24,733 | 555 | |
HCC Insurance Holdings Inc. | 10,264 | 549 | |
Aflac Inc. | 8,800 | 538 | |
DDR Corp. | 29,107 | 534 | |
Huntington Bancshares Inc. | 50,700 | 533 |
16
Tax-Managed Balanced Fund
Market | |||
Value• | |||
Shares | ($000) | ||
American Homes 4 Rent | |||
Class A | 31,300 | 533 | |
Synovus Financial Corp. | 18,742 | 508 | |
Allied World Assurance | |||
Co. Holdings AG | 13,344 | 506 | |
TFS Financial Corp. | 33,500 | 499 | |
Prudential Financial Inc. | 5,512 | 499 | |
Brixmor Property Group Inc. | 19,000 | 472 | |
Ventas Inc. | 6,500 | 466 | |
LPL Financial Holdings Inc. | 10,200 | 454 | |
McGraw Hill Financial Inc. | 4,600 | 409 | |
Prologis Inc. | 8,700 | 374 | |
Hanover Insurance Group Inc. | 5,014 | 358 | |
ACE Ltd. | 3,000 | 345 | |
CNA Financial Corp. | 8,693 | 337 | |
Retail Properties | |||
of America Inc. | 19,700 | 329 | |
Morningstar Inc. | 5,028 | 325 | |
HCP Inc. | 7,300 | 321 | |
Dun & Bradstreet Corp. | 2,500 | 302 | |
CME Group Inc. | 2,895 | 257 | |
* | MBIA Inc. | 26,875 | 256 |
BOK Financial Corp. | 4,040 | 243 | |
ProAssurance Corp. | 5,000 | 226 | |
BB&T Corp. | 5,800 | 226 | |
Annaly Capital | |||
Management Inc. | 19,500 | 211 | |
* | Realogy Holdings Corp. | 4,200 | 187 |
Health Care REIT Inc. | 2,300 | 174 | |
CBOE Holdings Inc. | 2,400 | 152 | |
FNF Group | 3,247 | 112 | |
Santander Consumer | |||
USA Holdings Inc. | 5,400 | 106 | |
Hospitality Properties Trust | 3,122 | 97 | |
* | Genworth Financial Inc. | ||
Class A | 10,500 | 89 | |
Washington Prime | |||
Group Inc. | 5,041 | 87 | |
* | Synchrony Financial | 2,244 | 67 |
* | Ocwen Financial Corp. | 3,700 | 56 |
Navient Corp. | 2,200 | 48 | |
* | Ally Financial Inc. | 1,600 | 38 |
* | CoreLogic Inc. | 1,000 | 32 |
* | Vantiv Inc. Class A | 900 | 31 |
* | FleetCor Technologies Inc. | 200 | 30 |
Interactive Brokers Group Inc. | 1,000 | 29 | |
Marsh & McLennan Cos. Inc. | 500 | 29 | |
Gaming and Leisure | |||
Properties Inc. | 900 | 26 | |
* | Zillow Inc. Class A | 200 | 21 |
* | FNFV Group | 1,082 | 17 |
Cullen/Frost Bankers Inc. | 200 | 14 | |
* | Nationstar Mortgage | ||
Holdings Inc. | 400 | 11 | |
People’s United Financial Inc. | 400 | 6 | |
177,855 |
Market | |||
Value• | |||
Shares | ($000) | ||
Health Care (6.7%) | |||
Johnson & Johnson | 112,644 | 11,779 | |
Pfizer Inc. | 236,987 | 7,382 | |
* | Gilead Sciences Inc. | 71,902 | 6,777 |
Merck & Co. Inc. | 105,821 | 6,010 | |
Amgen Inc. | 35,755 | 5,695 | |
* | Celgene Corp. | 39,224 | 4,388 |
UnitedHealth Group Inc. | 40,213 | 4,065 | |
* | Biogen Idec Inc. | 11,821 | 4,013 |
Bristol-Myers Squibb Co. | 64,460 | 3,805 | |
* | Express Scripts | ||
Holding Co. | 39,249 | 3,323 | |
* | Actavis plc | 12,895 | 3,319 |
AbbVie Inc. | 49,600 | 3,246 | |
Allergan Inc. | 15,259 | 3,244 | |
Thermo Fisher | |||
Scientific Inc. | 21,267 | 2,665 | |
Medtronic Inc. | 35,800 | 2,585 | |
McKesson Corp. | 12,336 | 2,561 | |
Abbott Laboratories | 54,800 | 2,467 | |
* | Alexion Pharmaceuticals Inc. | 11,186 | 2,070 |
* | Anthem Inc. | 15,626 | 1,964 |
* | Regeneron | ||
Pharmaceuticals Inc. | 4,650 | 1,908 | |
Covidien plc | 18,400 | 1,882 | |
Aetna Inc. | 21,155 | 1,879 | |
Stryker Corp. | 19,549 | 1,844 | |
* | Vertex Pharmaceuticals Inc. | 14,400 | 1,711 |
Cigna Corp. | 16,362 | 1,684 | |
Eli Lilly & Co. | 24,100 | 1,663 | |
* | Illumina Inc. | 8,700 | 1,606 |
Perrigo Co. plc | 9,100 | 1,521 | |
* | HCA Holdings Inc. | 20,544 | 1,508 |
Zoetis Inc. | 33,380 | 1,436 | |
Humana Inc. | 10,000 | 1,436 | |
* | Mylan Inc. | 24,956 | 1,407 |
AmerisourceBergen | |||
Corp. Class A | 15,306 | 1,380 | |
Zimmer Holdings Inc. | 11,570 | 1,312 | |
* | CareFusion Corp. | 17,695 | 1,050 |
* | DaVita HealthCare | ||
Partners Inc. | 13,800 | 1,045 | |
CR Bard Inc. | 6,165 | 1,027 | |
* | Hospira Inc. | 15,860 | 971 |
* | Endo International plc | 13,469 | 971 |
* | Mallinckrodt plc | 9,675 | 958 |
Universal Health | |||
Services Inc. Class B | 8,217 | 914 | |
St. Jude Medical Inc. | 13,835 | 900 | |
Agilent Technologies Inc. | 20,807 | 852 | |
* | Intuitive Surgical Inc. | 1,590 | 841 |
DENTSPLY International Inc. | 15,483 | 825 | |
Cooper Cos. Inc. | 4,984 | 808 | |
* | Laboratory Corp. of | ||
America Holdings | 7,391 | 797 | |
Omnicare Inc. | 10,893 | 794 |
17
Tax-Managed Balanced Fund
Market | |||
Value• | |||
Shares | ($000) | ||
* | QIAGEN NV | 29,900 | 701 |
PerkinElmer Inc. | 16,000 | 700 | |
Baxter International Inc. | 8,900 | 652 | |
* | Quintiles Transnational | ||
Holdings Inc. | 10,400 | 612 | |
Hill-Rom Holdings Inc. | 12,822 | 585 | |
Cardinal Health Inc. | 7,245 | 585 | |
Bio-Techne Corp. | 6,200 | 573 | |
* | Tenet Healthcare Corp. | 10,925 | 554 |
Quest Diagnostics Inc. | 8,019 | 538 | |
* | Varian Medical Systems Inc. | 6,100 | 528 |
* | Cerner Corp. | 8,010 | 518 |
Patterson Cos. Inc. | 9,300 | 447 | |
* | Charles River Laboratories | ||
International Inc. | 5,500 | 350 | |
Becton Dickinson and Co. | 1,984 | 276 | |
* | Edwards Lifesciences Corp. | 1,319 | 168 |
* | Alkermes plc | 1,700 | 100 |
* | Boston Scientific Corp. | 6,700 | 89 |
* | Intercept Pharmaceuticals Inc. | 450 | 70 |
* | Jazz Pharmaceuticals plc | 300 | 49 |
* | Centene Corp. | 400 | 42 |
* | Cubist Pharmaceuticals Inc. | 400 | 40 |
* | Halyard Health Inc. | 871 | 40 |
* | VCA Inc. | 800 | 39 |
* | United Therapeutics Corp. | 300 | 39 |
* | Alnylam Pharmaceuticals Inc. | 400 | 39 |
* | Health Net Inc. | 700 | 37 |
* | Pharmacyclics Inc. | 300 | 37 |
* | Incyte Corp. | 500 | 37 |
* | Catamaran Corp. | 700 | 36 |
* | BioMarin Pharmaceutical Inc. | 400 | 36 |
* | Sirona Dental Systems Inc. | 400 | 35 |
* | Salix Pharmaceuticals Ltd. | 300 | 34 |
* | Veeva Systems Inc. Class A | 1,300 | 34 |
* | Align Technology Inc. | 600 | 34 |
* | MEDNAX Inc. | 500 | 33 |
* | Community Health | ||
Systems Inc. | 600 | 32 | |
* | Hologic Inc. | 1,200 | 32 |
* | Covance Inc. | 300 | 31 |
* | Alere Inc. | 800 | 30 |
* | Premier Inc. Class A | 900 | 30 |
* | Medivation Inc. | 300 | 30 |
* | IDEXX Laboratories Inc. | 200 | 30 |
* | Brookdale Senior Living Inc. | 800 | 29 |
* | athenahealth Inc. | 200 | 29 |
* | LifePoint Hospitals Inc. | 400 | 29 |
* | Envision Healthcare | ||
Holdings Inc. | 800 | 28 | |
* | Henry Schein Inc. | 200 | 27 |
* | Allscripts Healthcare | ||
Solutions Inc. | 1,900 | 24 | |
* | Myriad Genetics Inc. | 700 | 24 |
* | Seattle Genetics Inc. | 600 | 19 |
127,399 |
Market | |||
Value• | |||
Shares | ($000) | ||
Materials & Processing (2.0%) | |||
Monsanto Co. | 24,208 | 2,892 | |
Precision Castparts Corp. | 8,302 | 2,000 | |
PPG Industries Inc. | 7,550 | 1,745 | |
Ecolab Inc. | 16,100 | 1,683 | |
Praxair Inc. | 12,852 | 1,665 | |
EI du Pont de | |||
Nemours & Co. | 21,128 | 1,562 | |
Sherwin-Williams Co. | 5,650 | 1,486 | |
Sigma-Aldrich Corp. | 8,780 | 1,205 | |
Dow Chemical Co. | 26,400 | 1,204 | |
LyondellBasell Industries | |||
NV Class A | 13,538 | 1,075 | |
CF Industries Holdings Inc. | 3,912 | 1,066 | |
Ingersoll-Rand plc | 15,400 | 976 | |
Sealed Air Corp. | 21,500 | 912 | |
Celanese Corp. Class A | 14,840 | 890 | |
Ball Corp. | 13,018 | 887 | |
Vulcan Materials Co. | 13,034 | 857 | |
Airgas Inc. | 7,019 | 808 | |
FMC Corp. | 13,998 | 798 | |
* | WR Grace & Co. | 8,200 | 782 |
* | Crown Holdings Inc. | 15,341 | 781 |
Ashland Inc. | 6,198 | 742 | |
Valspar Corp. | 8,000 | 692 | |
Southern Copper Corp. | 23,700 | 668 | |
Lennox International Inc. | 7,000 | 666 | |
* | Hexcel Corp. | 15,600 | 647 |
Eagle Materials Inc. | 8,500 | 646 | |
NewMarket Corp. | 1,550 | 626 | |
United States Steel Corp. | 22,682 | 607 | |
Cytec Industries Inc. | 12,666 | 585 | |
Silgan Holdings Inc. | 10,642 | 570 | |
* | Owens-Illinois Inc. | 19,200 | 518 |
Westlake Chemical Corp. | 7,800 | 477 | |
Reliance Steel & | |||
Aluminum Co. | 7,600 | 466 | |
Martin Marietta | |||
Materials Inc. | 4,086 | 451 | |
Tahoe Resources Inc. | 31,199 | 433 | |
Albemarle Corp. | 7,000 | 421 | |
Valmont Industries Inc. | 3,311 | 421 | |
Freeport-McMoRan Inc. | 17,694 | 413 | |
Nucor Corp. | 7,400 | 363 | |
Scotts Miracle-Gro Co. | |||
Class A | 5,042 | 314 | |
* | Armstrong World | ||
Industries Inc. | 5,803 | 297 | |
International Paper Co. | 4,943 | 265 | |
Fastenal Co. | 4,725 | 225 | |
Eastman Chemical Co. | 2,640 | 200 | |
Air Products & | |||
Chemicals Inc. | 1,200 | 173 | |
Owens Corning | 3,600 | 129 | |
Mosaic Co. | 2,600 | 119 | |
Royal Gold Inc. | 800 | 50 |
18
Tax-Managed Balanced Fund
Market | |||
Value• | |||
Shares | ($000) | ||
* | USG Corp. | 1,400 | 39 |
Newmont Mining Corp. | 966 | 18 | |
* | Veritiv Corp. | 94 | 5 |
37,520 | |||
Producer Durables (5.3%) | |||
General Electric Co. | 386,409 | 9,765 | |
Union Pacific Corp. | 40,352 | 4,807 | |
3M Co. | 20,400 | 3,352 | |
Honeywell International Inc. | 33,000 | 3,297 | |
United Technologies Corp. | 28,576 | 3,286 | |
Boeing Co. | 21,420 | 2,784 | |
Danaher Corp. | 32,151 | 2,756 | |
FedEx Corp. | 15,576 | 2,705 | |
Delta Air Lines Inc. | 47,200 | 2,322 | |
United Parcel Service Inc. | |||
Class B | 19,000 | 2,112 | |
Southwest Airlines Co. | 44,257 | 1,873 | |
CSX Corp. | 47,000 | 1,703 | |
* | United Continental | ||
Holdings Inc. | 24,200 | 1,619 | |
Automatic Data | |||
Processing Inc. | 16,974 | 1,415 | |
Cummins Inc. | 9,721 | 1,401 | |
Accenture plc Class A | 15,600 | 1,393 | |
General Dynamics Corp. | 9,191 | 1,265 | |
Caterpillar Inc. | 13,500 | 1,236 | |
Xerox Corp. | 84,755 | 1,175 | |
Roper Industries Inc. | 7,410 | 1,159 | |
Raytheon Co. | 10,049 | 1,087 | |
Textron Inc. | 25,011 | 1,053 | |
AMETEK Inc. | 19,900 | 1,047 | |
Pall Corp. | 9,800 | 992 | |
Kansas City Southern | 7,600 | 927 | |
WW Grainger Inc. | 3,632 | 926 | |
TransDigm Group Inc. | 4,710 | 925 | |
* | Verisk Analytics Inc. Class A | 14,300 | 916 |
* | Waters Corp. | 8,118 | 915 |
Lockheed Martin Corp. | 4,703 | 906 | |
Rockwell Collins Inc. | 10,300 | 870 | |
* | United Rentals Inc. | 8,500 | 867 |
* | Mettler-Toledo | ||
International Inc. | 2,860 | 865 | |
Expeditors International | |||
of Washington Inc. | 19,366 | 864 | |
Wabtec Corp. | 9,906 | 861 | |
* | Stericycle Inc. | 6,554 | 859 |
Robert Half International Inc. | 14,100 | 823 | |
Flowserve Corp. | 13,613 | 814 | |
JB Hunt Transport | |||
Services Inc. | 9,610 | 810 | |
American Airlines Group Inc. | 14,700 | 788 | |
Xylem Inc. | 20,539 | 782 | |
Towers Watson | |||
& Co. Class A | 6,900 | 781 | |
* | Quanta Services Inc. | 26,695 | 758 |
Market | |||
Value• | |||
Shares | ($000) | ||
* | Spirit AeroSystems | ||
Holdings Inc. Class A | 17,600 | 757 | |
Allegion plc | 13,433 | 745 | |
Huntington Ingalls | |||
Industries Inc. | 6,569 | 739 | |
Manitowoc Co. Inc. | 32,800 | 725 | |
Emerson Electric Co. | 11,700 | 722 | |
Ryder System Inc. | 7,700 | 715 | |
Lincoln Electric Holdings Inc. | 10,323 | 713 | |
Nordson Corp. | 8,950 | 698 | |
Cintas Corp. | 8,650 | 678 | |
Carlisle Cos. Inc. | 7,500 | 677 | |
Oshkosh Corp. | 13,847 | 674 | |
Pentair plc | 10,087 | 670 | |
* | AECOM Technology Corp. | 21,934 | 666 |
AGCO Corp. | 14,737 | 666 | |
Regal-Beloit Corp. | 8,600 | 647 | |
Fluor Corp. | 10,658 | 646 | |
Air Lease Corp. Class A | 18,500 | 635 | |
Triumph Group Inc. | 9,400 | 632 | |
Con-way Inc. | 12,665 | 623 | |
* | WESCO International Inc. | 8,119 | 619 |
ITT Corp. | 15,069 | 610 | |
Toro Co. | 9,518 | 607 | |
Landstar System Inc. | 8,185 | 594 | |
Republic Services Inc. | |||
Class A | 14,710 | 592 | |
Babcock & Wilcox Co. | 19,119 | 579 | |
CH Robinson Worldwide Inc. | 7,611 | 570 | |
Trinity Industries Inc. | 19,100 | 535 | |
ADT Corp. | 14,600 | 529 | |
Waste Connections Inc. | 12,000 | 528 | |
Donaldson Co. Inc. | 13,286 | 513 | |
Alliant Techsystems Inc. | 4,386 | 510 | |
Deere & Co. | 5,600 | 495 | |
SPX Corp. | 5,597 | 481 | |
AO Smith Corp. | 8,400 | 474 | |
Stanley Black & Decker Inc. | 4,927 | 473 | |
* | B/E Aerospace Inc. | 8,111 | 471 |
* | Keysight Technologies Inc. | 13,903 | 469 |
* | Jacobs Engineering | ||
Group Inc. | 10,195 | 456 | |
National Instruments Corp. | 14,511 | 451 | |
MSC Industrial Direct | |||
Co. Inc. Class A | 5,300 | 431 | |
* | Navistar International Corp. | 12,650 | 424 |
L-3 Communications | |||
Holdings Inc. | 3,289 | 415 | |
Copa Holdings SA Class A | 3,938 | 408 | |
IDEX Corp. | 4,729 | 368 | |
ManpowerGroup Inc. | 5,250 | 358 | |
Illinois Tool Works Inc. | 3,700 | 350 | |
Chicago Bridge | |||
& Iron Co. NV | 8,088 | 340 | |
Covanta Holding Corp. | 14,400 | 317 | |
Paychex Inc. | 6,600 | 305 |
19
Tax-Managed Balanced Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Norfolk Southern Corp. | 2,700 | 296 | |
Eaton Corp. plc | 3,900 | 265 | |
FLIR Systems Inc. | 8,000 | 258 | |
Lexmark International Inc. | |||
Class A | 5,300 | 219 | |
* | KLX Inc. | 5,155 | 213 |
Joy Global Inc. | 4,200 | 195 | |
KBR Inc. | 10,782 | 183 | |
Kennametal Inc. | 3,000 | 107 | |
* | Middleby Corp. | 1,000 | 99 |
* | Spirit Airlines Inc. | 600 | 45 |
* | Old Dominion Freight Line Inc. | 500 | 39 |
* | HD Supply Holdings Inc. | 1,300 | 38 |
* | CoStar Group Inc. | 200 | 37 |
* | IHS Inc. Class A | 300 | 34 |
* | Kirby Corp. | 400 | 32 |
* | Genpact Ltd. | 1,700 | 32 |
* | Zebra Technologies Corp. | 400 | 31 |
* | Genesee & Wyoming Inc. | ||
Class A | 300 | 27 | |
* | Restaurant Brands | ||
International LP | 189 | 7 | |
101,318 | |||
Technology (7.9%) | |||
Apple Inc. | 252,718 | 27,895 | |
Microsoft Corp. | 333,556 | 15,494 | |
* | Facebook Inc. Class A | 92,700 | 7,232 |
* | Google Inc. Class C | 13,402 | 7,055 |
* | Google Inc. Class A | 13,122 | 6,963 |
Oracle Corp. | 152,290 | 6,848 | |
Intel Corp. | 181,400 | 6,583 | |
International Business | |||
Machines Corp. | 33,103 | 5,311 | |
Cisco Systems Inc. | 183,415 | 5,102 | |
QUALCOMM Inc. | 67,900 | 5,047 | |
EMC Corp. | 103,936 | 3,091 | |
* | Yahoo! Inc. | 54,466 | 2,751 |
Hewlett-Packard Co. | 68,473 | 2,748 | |
* | salesforce.com inc | 34,912 | 2,071 |
* | Adobe Systems Inc. | 28,196 | 2,050 |
* | Cognizant Technology | ||
Solutions Corp. Class A | 35,696 | 1,880 | |
Applied Materials Inc. | 69,980 | 1,744 | |
Avago Technologies Ltd. | |||
Class A | 16,735 | 1,683 | |
Corning Inc. | 71,577 | 1,641 | |
Intuit Inc. | 17,524 | 1,616 | |
Texas Instruments Inc. | 28,546 | 1,526 | |
SanDisk Corp. | 14,600 | 1,431 | |
* | Micron Technology Inc. | 39,500 | 1,383 |
Western Digital Corp. | 12,200 | 1,351 | |
Symantec Corp. | 48,039 | 1,232 | |
Broadcom Corp. Class A | 28,143 | 1,219 | |
Amphenol Corp. Class A | 22,392 | 1,205 | |
* | Autodesk Inc. | 18,108 | 1,088 |
Skyworks Solutions Inc. | 14,900 | 1,083 |
Market | |||
Value• | |||
Shares | ($000) | ||
NetApp Inc. | 25,271 | 1,048 | |
Lam Research Corp. | 13,000 | 1,031 | |
* | SBA Communications | ||
Corp. Class A | 9,211 | 1,020 | |
Altera Corp. | 26,452 | 977 | |
NVIDIA Corp. | 48,300 | 968 | |
Motorola Solutions Inc. | 14,167 | 950 | |
* | Citrix Systems Inc. | 14,628 | 933 |
Activision Blizzard Inc. | 43,960 | 886 | |
Computer Sciences Corp. | 13,800 | 870 | |
Analog Devices Inc. | 15,396 | 855 | |
Xilinx Inc. | 18,129 | 785 | |
* | Teradata Corp. | 17,736 | 775 |
* | Synopsys Inc. | 17,700 | 769 |
Avnet Inc. | 17,000 | 731 | |
Brocade Communications | |||
Systems Inc. | 61,300 | 726 | |
* | SunEdison Inc. | 37,200 | 726 |
Teradyne Inc. | 34,400 | 681 | |
* | VeriSign Inc. | 11,628 | 663 |
IAC/InterActiveCorp | 10,600 | 644 | |
* | Ingram Micro Inc. | 22,800 | 630 |
DST Systems Inc. | 6,430 | 605 | |
Sabre Corp. | 27,900 | 566 | |
Dolby Laboratories Inc. | |||
Class A | 12,800 | 552 | |
* | Tech Data Corp. | 8,600 | 544 |
Amdocs Ltd. | 11,100 | 518 | |
* | Twitter Inc. | 13,400 | 481 |
* | Cadence Design | ||
Systems Inc. | 24,100 | 457 | |
* | Atmel Corp. | 52,800 | 443 |
Juniper Networks Inc. | 19,100 | 426 | |
* | CommScope | ||
Holding Co. Inc. | 18,254 | 417 | |
Solera Holdings Inc. | 7,390 | 378 | |
AVX Corp. | 25,300 | 354 | |
Linear Technology Corp. | 4,900 | 223 | |
* | NCR Corp. | 6,800 | 198 |
Maxim Integrated | |||
Products Inc. | 5,500 | 175 | |
* | ON Semiconductor Corp. | 16,000 | 162 |
CA Inc. | 5,007 | 152 | |
CDK Global Inc. | 3,058 | 125 | |
* | Arrow Electronics Inc. | 1,900 | 110 |
* | Freescale | ||
Semiconductor Ltd. | 2,600 | 66 | |
* | Palo Alto Networks Inc. | 400 | 49 |
* | F5 Networks Inc. | 300 | 39 |
* | Groupon Inc. Class A | 4,600 | 38 |
* | IPG Photonics Corp. | 500 | 37 |
* | JDS Uniphase Corp. | 2,600 | 36 |
* | Gartner Inc. | 400 | 34 |
* | Stratasys Ltd. | 400 | 33 |
* | Rackspace Hosting Inc. | 700 | 33 |
* | NetSuite Inc. | 300 | 33 |
20
Tax-Managed Balanced Fund
Market | |||
Value• | |||
Shares | ($000) | ||
* | AOL Inc. | 700 | 32 |
* | EchoStar Corp. Class A | 600 | 32 |
* | IMS Health Holdings Inc. | 1,200 | 31 |
* | Fortinet Inc. | 1,000 | 31 |
* | Riverbed Technology Inc. | 1,500 | 31 |
* | SolarWinds Inc. | 600 | 30 |
* | VeriFone Systems Inc. | 800 | 30 |
* | Splunk Inc. | 500 | 29 |
* | Electronic Arts Inc. | 600 | 28 |
* | Red Hat Inc. | 400 | 28 |
* | ARRIS Group Inc. | 900 | 27 |
* | ServiceNow Inc. | 400 | 27 |
* | Tableau Software Inc. | ||
Class A | 300 | 25 | |
* | Akamai Technologies Inc. | 400 | 25 |
* | ANSYS Inc. | 300 | 25 |
* | Workday Inc. Class A | 300 | 25 |
Equinix Inc. | 102 | 23 | |
* | LinkedIn Corp. Class A | 100 | 23 |
* | Informatica Corp. | 600 | 23 |
* | Rovi Corp. | 1,000 | 23 |
* | PTC Inc. | 600 | 22 |
* | Zynga Inc. Class A | 7,300 | 19 |
* | FireEye Inc. | 600 | 19 |
* | VMware Inc. Class A | 200 | 17 |
* | Yelp Inc. Class A | 300 | 16 |
150,916 | |||
Utilities (2.5%) | |||
Verizon | |||
Communications Inc. | 169,200 | 7,915 | |
AT&T Inc. | 216,766 | 7,281 | |
Duke Energy Corp. | 32,430 | 2,709 | |
NextEra Energy Inc. | 23,497 | 2,498 | |
Southern Co. | 41,900 | 2,058 | |
Sempra Energy | 15,029 | 1,674 | |
* | Level 3 | ||
Communications Inc. | 31,510 | 1,556 |
Market | |||
Value• | |||
Shares | ($000) | ||
Exelon Corp. | 40,100 | 1,487 | |
Edison International | 21,508 | 1,408 | |
Dominion Resources Inc. | 17,408 | 1,339 | |
PG&E Corp. | 24,535 | 1,306 | |
NiSource Inc. | 25,200 | 1,069 | |
American Electric | |||
Power Co. Inc. | 16,500 | 1,002 | |
Wisconsin Energy Corp. | 18,432 | 972 | |
Public Service | |||
Enterprise Group Inc. | 22,200 | 919 | |
American Water | |||
Works Co. Inc. | 16,628 | 886 | |
* | Calpine Corp. | 39,910 | 883 |
NRG Energy Inc. | 32,224 | 868 | |
* | T-Mobile US Inc. | 29,700 | 800 |
OGE Energy Corp. | 22,086 | 784 | |
ITC Holdings Corp. | 18,810 | 761 | |
UGI Corp. | 19,878 | 755 | |
Xcel Energy Inc. | 21,000 | 754 | |
National Fuel Gas Co. | 10,501 | 730 | |
Energen Corp. | 11,230 | 716 | |
Aqua America Inc. | 25,378 | 678 | |
Questar Corp. | 26,333 | 666 | |
CMS Energy Corp. | 19,027 | 661 | |
AES Corp. | 47,369 | 652 | |
Telephone & Data | |||
Systems Inc. | 23,330 | 589 | |
Alliant Energy Corp. | 7,713 | 512 | |
Consolidated Edison Inc. | 6,400 | 423 | |
AGL Resources Inc. | 6,000 | 327 | |
MDU Resources Group Inc. | 9,950 | 234 | |
* | United States Cellular Corp. | 2,615 | 104 |
47,976 | |||
Total Common Stocks | |||
(Cost $492,273) | 918,226 |
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Tax-Exempt Municipal Bonds (51.2%) | ||||
Alabama (0.2%) | ||||
Alabama 21st Century Authority | ||||
Tobacco Settlement Revenue | 5.000% | 6/1/20 | 500 | 577 |
Alabama Incentives Financing | ||||
Authority Special Obligation Revenue | 5.000% | 9/1/32 | 380 | 425 |
Alabama Public School & College Authority | ||||
Capital Improvement Revenue | 5.000% | 12/1/17 (Prere.) | 500 | 562 |
Alabama Public School & College Authority | ||||
Capital Improvement Revenue | 5.000% | 12/1/17 (Prere.) | 500 | 562 |
Jefferson County AL Sewer Revenue | 5.000% | 10/1/23 | 500 | 561 |
Jefferson County AL Sewer Revenue | 0.000% | 10/1/25 (4) | 500 | 305 |
2,992 |
21
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Alaska (0.0%) | ||||
Alaska Housing Finance Corp. General | ||||
Housing Revenue | 5.000% | 12/1/29 | 500 | 579 |
Arizona (1.7%) | ||||
Arizona Board Regents Arizona State | ||||
University System COP | 5.000% | 7/1/22 (14) | 1,500 | 1,647 |
Arizona Board Regents Arizona State | ||||
University System Revenue | 5.875% | 7/1/24 | 100 | 116 |
Arizona COP | 5.000% | 10/1/18 (4) | 500 | 568 |
Arizona Health Facilities Authority Revenue | ||||
(Banner Health) | 5.000% | 1/1/25 | 500 | 553 |
Arizona School Facilities Board COP | 5.500% | 9/1/23 | 500 | 576 |
Arizona Transportation Board Excise Tax Revenue | 5.000% | 7/1/23 | 1,955 | 2,403 |
Arizona Transportation Board Excise Tax Revenue | 5.000% | 7/1/24 | 2,000 | 2,483 |
Arizona Transportation Board Excise Tax Revenue | ||||
(Maricopa County Regional Area) | 5.000% | 7/1/17 (Prere.) | 500 | 554 |
Arizona Transportation Board Excise Tax Revenue | ||||
(Maricopa County Regional Area) | 5.000% | 7/1/20 (Prere.) | 500 | 594 |
Arizona Transportation Board Highway Revenue | 5.000% | 7/1/22 | 2,005 | 2,428 |
Arizona Transportation Board Highway Revenue | 5.000% | 7/1/32 | 500 | 583 |
Chandler AZ GO | 5.000% | 7/1/23 | 1,000 | 1,237 |
Glendale AZ Industrial Development Authority | ||||
Revenue (Midwestern University) | 5.000% | 5/15/30 | 275 | 304 |
Maricopa County AZ School District No. 28 | ||||
(Kyrene Elementary) GO | 1.000% | 7/1/19 | 900 | 960 |
Mesa AZ Excise Tax Revenue | 5.000% | 7/1/27 | 2,500 | 2,739 |
Phoenix AZ Civic Improvement Corp. | ||||
Airport Revenue | 5.000% | 7/1/24 | 300 | 349 |
Phoenix AZ Civic Improvement Corp. | ||||
Water System Revenue | 5.000% | 7/1/15 (Prere.) | 500 | 512 |
Phoenix AZ Civic Improvement Corp. | ||||
Water System Revenue | 5.000% | 7/1/26 | 2,500 | 3,073 |
Pima County AZ Sewer Revenue | 5.000% | 7/1/20 | 500 | 589 |
Regional Public Transportation Authority | ||||
Arizona Excise Tax Revenue (Maricopa County | ||||
Public Transportation) | 5.250% | 7/1/24 | 1,000 | 1,261 |
Salt River Project Arizona Agricultural | ||||
Improvement & Power District Revenue | 5.000% | 1/1/28 | 750 | 858 |
Salt River Project Arizona Agricultural | ||||
Improvement & Power District Revenue | 5.000% | 12/1/28 | 500 | 592 |
Salt River Project Arizona Agricultural | ||||
Improvement & Power District Revenue | 5.000% | 12/1/29 | 2,000 | 2,350 |
Salt River Project Arizona Agricultural | ||||
Improvement & Power District Revenue | 5.000% | 1/1/35 | 2,000 | 2,083 |
Salt Verde AZ Financial Corp. Gas Revenue | 5.250% | 12/1/24 | 870 | 1,033 |
Salt Verde AZ Financial Corp. Gas Revenue | 5.250% | 12/1/28 | 510 | 610 |
University Medical Center Corp. Arizona | ||||
Hospital Revenue | 5.000% | 7/1/19 | 500 | 556 |
Yavapai County AZ Industrial Development | ||||
Authority Hospital Facility Revenue | ||||
(Northern Arizona Healthcare System) | 5.250% | 10/1/22 | 500 | 590 |
32,201 |
22
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
California (8.1%) | ||||
ABAG Finance Authority for Nonprofit | ||||
Corps. California Revenue (Episcopal | ||||
Senior Communities) | 5.000% | 7/1/22 | 500 | 570 |
ABAG Finance Authority for Nonprofit | ||||
Corps. California Revenue (Jackson Laboratory) | 5.000% | 7/1/21 | 760 | 887 |
Alameda CA Corridor Transportation | ||||
Authority Revenue | 5.300% | 10/1/23 (2) | 200 | 216 |
Alameda CA Corridor Transportation | ||||
Authority Revenue | 0.000% | 10/1/30 (2) | 740 | 365 |
Alameda CA Corridor Transportation | ||||
Authority Revenue | 0.000% | 10/1/32 (14) | 1,650 | 792 |
Bay Area Toll Authority California Toll Bridge | ||||
Revenue (San Francisco Bay Area) | 5.000% | 4/1/16 (Prere.) | 500 | 529 |
Bay Area Toll Authority California Toll Bridge | ||||
Revenue (San Francisco Bay Area) | 5.000% | 10/1/30 | 500 | 570 |
Bay Area Toll Authority California Toll Bridge | ||||
Revenue (San Francisco Bay Area) | 5.000% | 4/1/31 | 1,000 | 1,162 |
Bay Area Toll Authority California Toll Bridge | ||||
Revenue (San Francisco Bay Area) | 5.000% | 4/1/31 | 500 | 584 |
1 Bay Area Toll Authority California Toll Bridge | ||||
Revenue (San Francisco Bay Area) PUT | 0.640% | 4/1/20 | 1,000 | 1,000 |
1 Bay Area Toll Authority California Toll Bridge | ||||
Revenue (San Francisco Bay Area) PUT | 0.740% | 4/1/21 | 1,000 | 1,001 |
1 Bay Area Toll Authority California Toll Bridge | ||||
Revenue (San Francisco Bay Area) PUT | 0.940% | 5/1/23 | 1,000 | 1,003 |
Brea CA Public Financing Authority | ||||
Tax Allocation Revenue | 7.000% | 9/1/23 | 1,105 | 1,238 |
California Department of Water Resources | ||||
Power Supply Revenue | 5.000% | 5/1/16 | 500 | 531 |
California Department of Water Resources | ||||
Power Supply Revenue | 5.000% | 5/1/17 | 500 | 551 |
California Department of Water Resources | ||||
Power Supply Revenue | 5.000% | 5/1/18 | 165 | 187 |
California Department of Water Resources | ||||
Power Supply Revenue | 5.000% | 5/1/18 | 500 | 568 |
California Department of Water Resources | ||||
Power Supply Revenue | 5.000% | 5/1/20 | 575 | 685 |
California Department of Water Resources Water | ||||
System Revenue (Central Valley Project) | 5.000% | 6/1/18 (Prere.) | 480 | 546 |
California Department of Water Resources Water | ||||
System Revenue (Central Valley Project) | 5.000% | 12/1/24 | 500 | 636 |
California Department of Water Resources Water | ||||
System Revenue (Central Valley Project) | 5.000% | 12/1/28 | 20 | 23 |
California Economic Recovery GO | 5.000% | 7/1/18 | 500 | 571 |
California Economic Recovery GO | 5.000% | 7/1/19 (ETM) | 500 | 587 |
California Economic Recovery GO | 5.000% | 7/1/19 (Prere.) | 500 | 586 |
California Economic Recovery GO | 5.250% | 7/1/19 (Prere.) | 315 | 372 |
California Economic Recovery GO | 5.250% | 7/1/21 | 185 | 217 |
California Economic Recovery GO | 5.000% | 7/1/22 | 500 | 533 |
California Educational Facilities Authority Revenue | ||||
(University of San Francisco) | 6.125% | 10/1/30 | 500 | 611 |
California GO | 6.000% | 2/1/16 | 500 | 531 |
California GO | 5.000% | 11/1/16 | 350 | 379 |
California GO | 5.000% | 3/1/17 | 500 | 547 |
California GO | 6.000% | 4/1/18 | 500 | 581 |
23
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
California GO | 5.000% | 9/1/18 | 500 | 538 |
California GO | 5.000% | 11/1/18 (14) | 500 | 561 |
California GO | 5.000% | 6/1/19 (14) | 500 | 553 |
California GO | 5.000% | 2/1/20 | 500 | 588 |
California GO | 5.000% | 9/1/21 | 500 | 603 |
California GO | 5.000% | 10/1/21 | 250 | 270 |
California GO | 5.000% | 10/1/23 | 1,000 | 1,229 |
California GO | 5.000% | 12/1/25 | 1,000 | 1,216 |
California GO | 5.500% | 3/1/26 | 500 | 570 |
California GO | 5.000% | 6/1/27 (14) | 500 | 547 |
California GO | 4.500% | 8/1/27 | 85 | 91 |
California GO | 5.000% | 9/1/27 | 500 | 537 |
California GO | 5.000% | 2/1/28 | 690 | 814 |
California GO | 4.500% | 8/1/28 (2) | 725 | 775 |
California GO | 5.750% | 4/1/29 | 500 | 595 |
California GO | 5.000% | 9/1/29 (2) | 500 | 525 |
California GO | 5.000% | 9/1/29 | 495 | 561 |
California GO | 5.000% | 10/1/29 | 3,500 | 3,915 |
California GO | 5.000% | 11/1/29 | 1,700 | 2,020 |
California GO | 5.250% | 3/1/30 | 500 | 582 |
California GO | 5.250% | 9/1/30 | 500 | 593 |
California GO | 5.000% | 2/1/32 | 500 | 581 |
California GO | 5.000% | 6/1/32 | 370 | 401 |
California GO | 5.000% | 10/1/32 | 2,375 | 2,820 |
California Health Facilities Financing Authority | ||||
Revenue (Adventist Health System/West) | 5.000% | 3/1/23 | 1,000 | 1,185 |
California Health Facilities Financing Authority | ||||
Revenue (Catholic Healthcare West) | 5.250% | 3/1/22 | 300 | 358 |
California Health Facilities Financing Authority | ||||
Revenue (Cedars-Sinai Medical Center) | 5.000% | 8/15/17 | 500 | 555 |
California Health Facilities Financing Authority | ||||
Revenue (Children’s Hospital of Los Angeles) | 5.000% | 11/15/23 | 1,000 | 1,126 |
California Health Facilities Financing Authority | ||||
Revenue (Lucile Salter Packard Children’s | ||||
Hospital at Stanford) | 5.000% | 8/15/20 | 325 | 387 |
California Health Facilities Financing Authority | ||||
Revenue (Rady Children’s Hospital) | 5.000% | 8/15/31 | 965 | 1,127 |
California Health Facilities Financing Authority | ||||
Revenue (Sutter Health) | 5.500% | 8/15/26 | 500 | 593 |
California Health Facilities Financing Authority | ||||
Revenue (Sutter Health) | 5.000% | 8/15/30 | 110 | 120 |
California Infrastructure & Economic | ||||
Development Bank Revenue (Bay Area | ||||
Toll Bridges Seismic Retrofit) | 5.000% | 1/1/28 (Prere.) | 500 | 654 |
1 California Infrastructure & Economic | ||||
Development Bank Revenue | ||||
(J. Paul Getty Trust) PUT | 0.320% | 4/1/16 | 1,000 | 1,000 |
California Infrastructure & Economic | ||||
Development Bank Revenue | ||||
(Pacific Gas & Electric Co.) VRDO | 0.020% | 1/2/15 LOC | 4,500 | 4,500 |
California Municipal Finance Authority Revenue | ||||
(University of La Verne) | 6.125% | 6/1/30 | 500 | 589 |
California Public Works Board Lease Revenue | ||||
(Davidson Library) | 5.000% | 3/1/23 (Prere.) | 20 | 25 |
California Public Works Board Lease Revenue | ||||
(Department of Corrections) | 5.000% | 6/1/22 | 1,000 | 1,208 |
24
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
California Public Works Board Lease Revenue | ||||
(Department of Corrections) | 5.000% | 6/1/27 | 1,000 | 1,171 |
California Public Works Board Lease Revenue | ||||
(Judicial Council Projects) | 5.000% | 10/1/26 | 1,000 | 1,206 |
California Public Works Board Lease Revenue | ||||
(Judicial Council Projects) | 5.000% | 3/1/28 | 300 | 350 |
California Public Works Board Lease Revenue | ||||
(Judicial Council Projects) | 5.125% | 12/1/29 | 250 | 295 |
California Public Works Board Lease Revenue | ||||
(Regents of The University of California) | 5.000% | 10/1/16 (Prere.) | 100 | 108 |
California Public Works Board Lease Revenue | ||||
(Regents of The University of California) | 5.000% | 10/1/16 (Prere.) | 40 | 43 |
California Public Works Board Lease Revenue | ||||
(Regents of The University of California) | 5.000% | 3/1/18 (Prere.) | 200 | 226 |
California Public Works Board Lease Revenue | ||||
(Regents of The University of California) | 5.000% | 4/1/19 (Prere.) | 70 | 81 |
California Public Works Board Lease Revenue | ||||
(Regents of The University of California) | 5.000% | 4/1/19 (Prere.) | 120 | 140 |
California Public Works Board Lease Revenue | ||||
(Regents of The University of California) | 5.000% | 12/1/21 (Prere.) | 35 | 43 |
California Public Works Board Lease Revenue | ||||
(Various Capital Projects) | 5.000% | 12/1/21 (Prere.) | 25 | 30 |
California Public Works Board Lease Revenue | ||||
(Various Capital Projects) | 5.375% | 3/1/23 | 1,000 | 1,174 |
California Public Works Board Lease Revenue | ||||
(Various Capital Projects) | 5.000% | 11/1/31 | 1,000 | 1,171 |
California Public Works Board Lease Revenue | ||||
(Various Capital Projects) | 5.000% | 4/1/32 | 350 | 405 |
California State University Revenue Systemwide | 5.750% | 11/1/27 | 500 | 591 |
California State University Revenue Systemwide | 5.250% | 11/1/29 | 300 | 348 |
California State University Revenue Systemwide | 5.000% | 11/1/30 | 1,000 | 1,181 |
California State University Revenue Systemwide | 5.000% | 11/1/34 | 2,000 | 2,374 |
California Statewide Communities Development | ||||
Authority Revenue (Buck Institute for | ||||
Age Research) | 3.000% | 11/15/16 | 250 | 260 |
California Statewide Communities Development | ||||
Authority Revenue (Buck Institute for | ||||
Age Research) | 4.000% | 11/15/17 | 275 | 298 |
Chabot-Las Positas CA Community | ||||
College District GO | 5.000% | 8/1/31 | 1,000 | 1,173 |
Chaffey CA Community College District GO | 5.000% | 6/1/23 | 840 | 1,032 |
Chula Vista CA Municipal Financing Authority | ||||
Special Tax Revenue | 5.500% | 9/1/27 | 1,000 | 1,186 |
Citrus CA Community College District GO | 0.000% | 8/1/34 | 1,000 | 734 |
Colton CA Public Financing Authority | ||||
Electric Revenue | 5.000% | 4/1/28 | 500 | 574 |
Contra Costa CA Community College District GO | 5.000% | 8/1/31 | 1,000 | 1,177 |
Contra Costa CA Municipal Water | ||||
District Revenue | 5.000% | 10/1/33 | 1,000 | 1,170 |
1 Contra Costa CA Transportation Authority | ||||
Sales Tax Revenue PUT | 0.474% | 12/15/15 | 1,600 | 1,601 |
Corona-Norco CA Unified School District Special | ||||
Tax Revenue (Community Facilities | ||||
District No. 98-1) | 5.000% | 9/1/22 | 970 | 1,139 |
1 East Bay CA Municipal Utility District | ||||
Waste Water System Revenue PUT | 0.240% | 12/1/15 | 1,100 | 1,100 |
25
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Foothill/Eastern Transportation Corridor | ||||
Agency California Toll Road Revenue | 0.000% | 1/15/29 | 1,390 | 930 |
La Quinta CA Redevelopment Agency | ||||
Tax Allocation Revenue | 5.000% | 9/1/26 | 1,500 | 1,712 |
La Verne CA (Brethren Hillcrest Homes) COP | 5.000% | 5/15/26 | 350 | 390 |
Long Beach CA Finance Authority Natural | ||||
Gas Purchase Revenue | 5.250% | 11/15/19 | 75 | 86 |
Long Beach CA Finance Authority Natural | ||||
Gas Purchase Revenue | 5.250% | 11/15/23 | 330 | 388 |
Long Beach CA Unified School District GO | 0.000% | 8/1/24 (12) | 1,290 | 970 |
Los Angeles CA Community College District GO | 5.000% | 8/1/16 (Prere.) | 1,045 | 1,121 |
Los Angeles CA Community College District GO | 5.000% | 8/1/18 (Prere.) | 500 | 572 |
2 Los Angeles CA Community College District GO | 5.000% | 8/1/22 | 1,000 | 1,225 |
2 Los Angeles CA Community College District GO | 5.000% | 8/1/30 | 1,000 | 1,203 |
2 Los Angeles CA Community College District GO | 4.000% | 8/1/32 | 1,000 | 1,072 |
Los Angeles CA Department of Airports | ||||
International Airport Revenue | 5.000% | 5/15/27 | 500 | 586 |
Los Angeles CA Department of | ||||
Water & Power Revenue | 5.000% | 7/1/24 | 500 | 584 |
Los Angeles CA Department of | ||||
Water & Power Revenue | 5.000% | 7/1/31 (4) | 1,500 | 1,537 |
Los Angeles CA Municipal Improvement Corp. | ||||
Lease Revenue (Police Headquarters Facility) | 4.750% | 1/1/31 (14) | 1,175 | 1,243 |
Los Angeles CA Unified School District GO | 5.000% | 7/1/17 (Prere.) | 1,825 | 2,024 |
Los Angeles CA Unified School District GO | 4.500% | 7/1/22 (4) | 1,535 | 1,679 |
Los Angeles CA Unified School District GO | 4.500% | 7/1/24 (4) | 1,500 | 1,638 |
Los Angeles CA Unified School District GO | 5.000% | 7/1/26 | 500 | 577 |
Los Angeles CA Unified School District GO | 4.500% | 1/1/28 (14) | 745 | 801 |
Los Angeles CA Unified School District GO | 5.000% | 7/1/29 | 500 | 575 |
Los Angeles CA Unified School District GO | 5.000% | 7/1/29 | 500 | 575 |
Los Angeles CA Unified School District GO | 4.750% | 7/1/32 (4) | 1,475 | 1,589 |
Los Angeles CA Unified School District GO | 5.000% | 7/1/32 (4) | 650 | 708 |
Los Angeles CA Wastewater System Revenue | 5.000% | 6/1/29 | 500 | 573 |
Los Angeles County CA Metropolitan | ||||
Transportation Authority Sales Tax Revenue | 5.000% | 7/1/19 | 560 | 654 |
Los Angeles County CA Public Works Financing | ||||
Authority Lease Revenue | 5.000% | 8/1/26 | 500 | 584 |
Los Angeles County CA Public Works Financing | ||||
Authority Lease Revenue | 5.000% | 9/1/31 (14) | 1,500 | 1,588 |
Los Angeles County CA Redevelopment Authority | ||||
Tax Allocation Revenue (Hollywood/North | ||||
Hollywood Redevelopment Project) | 5.000% | 7/1/20 | 1,500 | 1,762 |
Marysville CA Revenue (Fremont-Rideout | ||||
Health Group) | 5.250% | 1/1/24 | 600 | 668 |
Newport Mesa CA Unified School District GO | 0.000% | 8/1/30 | 630 | 365 |
Oakland CA Redevelopment Agency Tax | ||||
Allocation Revenue (Central District Project) | 5.000% | 9/1/22 | 500 | 595 |
Orange County CA Development Agency Tax | ||||
Allocation Revenue (Santa Ana Heights Project) | 5.000% | 3/1/21 | 1,170 | 1,362 |
Orange County CA Transportation Authority | ||||
Toll Road Revenue | 5.000% | 8/15/29 | 1,250 | 1,470 |
Palomar CA Community College District GO | 4.750% | 5/1/32 (4) | 1,600 | 1,721 |
Palomar Pomerado Health California GO | 0.000% | 8/1/22 (14) | 1,000 | 808 |
Palomar Pomerado Health California GO | 0.000% | 8/1/26 (12) | 1,040 | 688 |
Palomar Pomerado Health California GO | 0.000% | 8/1/32 (12) | 700 | 334 |
Poway CA Unified School District GO | 5.000% | 8/1/24 | 1,750 | 2,171 |
26
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Rancho Mirage CA Joint Powers Financing | ||||
Authority Revenue (Eisenhower Medical Center) | 5.000% | 7/1/16 | 100 | 106 |
Riverside County CA Transportation Commission | ||||
Sales Tax Revenue | 5.250% | 6/1/29 | 1,000 | 1,211 |
Riverside County CA Transportation Commission | ||||
Toll Revenue | 0.000% | 6/1/30 | 2,415 | 1,162 |
Roseville CA Natural Gas Financing Authority | ||||
Gas Revenue | 5.000% | 2/15/16 | 100 | 104 |
Roseville CA Natural Gas Financing Authority | ||||
Gas Revenue | 5.000% | 2/15/23 | 140 | 160 |
Roseville CA Natural Gas Financing Authority | ||||
Gas Revenue | 5.000% | 2/15/25 | 245 | 284 |
Sacramento CA Municipal Utility District Financing | ||||
Authority Revenue (Cosumnes Project) | 5.125% | 7/1/29 (14) | 1,000 | 1,055 |
Sacramento CA Municipal Utility District Revenue | 5.000% | 8/15/27 (4) | 500 | 568 |
Sacramento CA Regional Transit District | ||||
Farebox Revenue | 5.000% | 3/1/23 | 500 | 573 |
Sacramento County CA Airport Revenue | 5.625% | 7/1/29 | 500 | 567 |
San Bernardino County CA Transportation | ||||
Authority Revenue | 5.000% | 3/1/31 | 500 | 578 |
San Diego CA Community College District GO | 5.000% | 8/1/29 | 1,000 | 1,193 |
San Diego CA Community College District GO | 5.000% | 8/1/31 | 500 | 585 |
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 | 590 |
San Diego CA Unified School District GO | 0.000% | 7/1/27 | 500 | 329 |
San Diego CA Unified School District GO | 5.500% | 7/1/27 (4) | 500 | 653 |
San Diego CA Unified School District GO | 0.000% | 7/1/28 | 500 | 313 |
San Diego CA Unified School District GO | 0.000% | 7/1/29 | 500 | 300 |
San Diego CA Unified School District GO | 0.000% | 7/1/30 | 100 | 55 |
San Diego County CA Regional Airport | ||||
Authority Revenue | 5.000% | 7/1/30 (4) | 500 | 570 |
San Diego County CA Regional Transportation | ||||
Commission Sales Tax Revenue | 5.000% | 4/1/31 | 560 | 652 |
San Francisco CA Bay Area Rapid Transit | ||||
District Sales Tax Revenue | 4.000% | 7/1/21 | 350 | 401 |
San Francisco CA City & County (Earthquake | ||||
Safety & Emergency Response) GO | 5.000% | 6/15/28 | 500 | 585 |
San Francisco CA City & County | ||||
(Laguna Honda Hospital) GO | 5.000% | 6/15/28 (12) | 2,000 | 2,042 |
San Francisco CA City & County International | ||||
Airport Revenue | 5.250% | 5/1/22 | 500 | 584 |
San Francisco CA City & County International | ||||
Airport Revenue | 5.000% | 5/1/27 | 225 | 262 |
San Francisco CA City & County International | ||||
Airport Revenue | 5.000% | 5/1/30 | 500 | 567 |
San Francisco CA City & County Public Utilities | ||||
Commission Water Revenue | 5.500% | 11/1/30 | 500 | 601 |
San Francisco CA City & County Public Utilities | ||||
Commission Water Revenue | 5.000% | 11/1/34 | 1,245 | 1,425 |
San Francisco CA City & County Redevelopment | ||||
Financing Authority Tax Allocation Revenue | ||||
(Mission Bays Redevelopment Project) | 4.000% | 8/1/15 | 140 | 143 |
San Francisco CA City & County Redevelopment | ||||
Financing Authority Tax Allocation Revenue | ||||
(Mission Bays Redevelopment Project) | 5.000% | 8/1/16 | 600 | 640 |
27
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
San Francisco CA City & County Unified | ||||
School District GO | 4.000% | 6/15/32 | 965 | 1,014 |
San Jose CA Airport Revenue | 5.000% | 3/1/27 | 500 | 590 |
San Jose CA Redevelopment Agency Tax | ||||
Allocation Revenue | 5.000% | 8/1/19 (14) | 1,000 | 1,027 |
San Jose CA Redevelopment Agency Tax | ||||
Allocation Revenue | 6.500% | 8/1/28 | 700 | 774 |
Southern California Public Power Authority | ||||
Revenue (Milford Wind Corridor Phase I Project) | 5.000% | 7/1/26 | 1,000 | 1,170 |
Southern California Public Power Authority | ||||
Revenue (Natural Gas Project) | 5.000% | 11/1/15 | 245 | 253 |
State Center California Community College | ||||
District GO | 5.000% | 8/1/31 (4) | 1,000 | 1,084 |
Turlock CA Public Financing Authority | ||||
Water Revenue | 4.750% | 5/1/32 | 2,000 | 2,140 |
University of California Revenue | 5.000% | 5/15/21 | 500 | 514 |
University of California Revenue | 5.000% | 5/15/23 | 1,000 | 1,197 |
University of California Revenue | 5.000% | 5/15/25 | 500 | 556 |
University of California Revenue | 5.000% | 5/15/27 (14) | 500 | 535 |
University of California Revenue | 5.000% | 5/15/28 (14) | 500 | 533 |
University of California Revenue | 5.000% | 5/15/28 | 1,000 | 1,199 |
University of California Revenue | 4.500% | 5/15/31 (4) | 2,000 | 2,047 |
University of California Revenue | 4.750% | 5/15/33 | 155 | 164 |
University of California Revenue PUT | 5.000% | 5/15/23 | 3,000 | 3,687 |
West Contra Costa CA Unified School District GO | 5.000% | 8/1/28 | 1,185 | 1,393 |
154,887 | ||||
Colorado (0.5%) | ||||
Board of Governors of the Colorado State | ||||
University System Enterprise Revenue | 5.000% | 3/1/23 | 300 | 365 |
Colorado (UCDHSC Fitzsimons Academic | ||||
Projects) COP | 5.000% | 11/1/21 | 500 | 589 |
Colorado Department of Transportation RAN | 5.500% | 6/15/15 (14) | 500 | 512 |
Colorado Health Facilities Authority Revenue | ||||
(Catholic Health Initiatives) | 5.250% | 2/1/31 | 500 | 563 |
Colorado Health Facilities Authority Revenue | ||||
(Covenant Retirement Community Inc.) | 5.000% | 12/1/27 | 500 | 542 |
Colorado Springs CO Utility System Revenue | 5.000% | 11/15/28 | 500 | 591 |
Denver CO City & County Airport Revenue | 5.000% | 11/15/20 | 500 | 589 |
Denver CO City & County Airport Revenue | 5.000% | 11/15/26 | 430 | 490 |
Denver CO City & County COP VRDO | 0.030% | 1/2/15 | 1,600 | 1,600 |
E-470 Public Highway Authority | ||||
Colorado Revenue | 5.250% | 9/1/18 (14) | 1,500 | 1,685 |
E-470 Public Highway Authority | ||||
Colorado Revenue | 0.000% | 9/1/23 (14) | 1,000 | 788 |
E-470 Public Highway Authority | ||||
Colorado Revenue | 5.500% | 9/1/24 (14) | 300 | 309 |
E-470 Public Highway Authority | ||||
Colorado Revenue | 5.375% | 9/1/26 | 1,000 | 1,132 |
University of Colorado Enterprise | ||||
System Revenue | 5.000% | 6/1/29 | 500 | 586 |
10,341 | ||||
Connecticut (0.9%) | ||||
1 Connecticut GO | 0.540% | 5/15/15 | 1,000 | 1,001 |
Connecticut GO | 5.000% | 7/15/15 | 1,000 | 1,026 |
Connecticut GO | 5.000% | 11/1/16 | 410 | 444 |
Connecticut GO | 5.000% | 4/15/21 | 500 | 594 |
28
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Connecticut GO | 5.000% | 11/15/22 | 1,935 | 2,339 |
Connecticut GO | 5.000% | 4/15/24 | 500 | 599 |
Connecticut GO | 5.000% | 9/1/26 | 1,000 | 1,212 |
Connecticut GO | 5.000% | 4/15/28 | 500 | 588 |
Connecticut GO | 5.000% | 3/1/32 | 2,950 | 3,469 |
Connecticut GO | 5.000% | 10/15/32 | 705 | 826 |
Connecticut Health & Educational Facilities | ||||
Authority Revenue (Hartford Healthcare) | 5.000% | 7/1/26 | 500 | 564 |
Connecticut Housing Finance Authority Revenue | ||||
Housing Mortgage Finance Program VRDO | 0.030% | 1/2/15 | 1,100 | 1,100 |
Connecticut Special Tax Revenue | ||||
(Transportation Infrastructure) | 5.000% | 2/1/16 | 110 | 116 |
Connecticut Special Tax Revenue | ||||
(Transportation Infrastructure) | 5.000% | 9/1/23 | 1,000 | 1,225 |
Connecticut Special Tax Revenue | ||||
(Transportation Infrastructure) | 5.000% | 11/1/25 | 500 | 566 |
Connecticut Special Tax Revenue | ||||
(Transportation Infrastructure) | 5.000% | 9/1/30 | 1,500 | 1,793 |
Hartford CT GO | 5.000% | 4/1/30 | 435 | 496 |
17,958 | ||||
Delaware (0.1%) | ||||
Delaware GO | 5.000% | 2/1/19 | 600 | 693 |
Delaware GO | 5.000% | 7/1/20 | 600 | 713 |
Delaware GO | 5.000% | 10/1/20 | 700 | 836 |
2,242 | ||||
District of Columbia (0.2%) | ||||
District of Columbia GO | 5.000% | 6/1/21 (4) | 500 | 559 |
District of Columbia Income Tax Revenue | 5.000% | 12/1/26 | 655 | 773 |
District of Columbia Income Tax Revenue | 5.250% | 12/1/27 | 500 | 586 |
District of Columbia Income Tax Revenue | 5.000% | 12/1/30 | 500 | 576 |
Metropolitan Washington DC/VA Airports | ||||
Authority Airport System Revenue | 5.000% | 10/1/24 | 500 | 585 |
3,079 | ||||
Florida (2.3%) | ||||
Brevard County FL Health Facilities Authority | ||||
Revenue (Health First Inc. Project) | 5.000% | 4/1/16 (Prere.) | 530 | 560 |
Brevard County FL School Board COP | 5.000% | 7/1/25 | 1,000 | 1,186 |
Broward County FL Airport System Revenue | 5.000% | 10/1/28 | 400 | 458 |
Broward County FL Airport System Revenue | 5.375% | 10/1/29 | 500 | 573 |
Broward County FL Airport System Revenue | 5.500% | 10/1/31 | 1,000 | 1,176 |
Citizens Property Insurance Corp. Florida | ||||
Revenue (Coastal Account) | 5.000% | 6/1/15 | 1,000 | 1,020 |
Citizens Property Insurance Corp. Florida | ||||
Revenue (Coastal Account) | 5.250% | 6/1/17 | 435 | 478 |
Citizens Property Insurance Corp. Florida | ||||
Revenue (Coastal Account) | 5.500% | 6/1/17 | 1,295 | 1,432 |
1 Citizens Property Insurance Corp. Florida | ||||
Revenue (Personal Lines Account/ | ||||
Commercial Lines Account) | 1.290% | 6/1/15 | 1,105 | 1,110 |
Citizens Property Insurance Corp. Florida | ||||
Revenue (Personal Lines Account/Commercial | ||||
Lines Account) | 5.000% | 6/1/20 | 450 | 520 |
Florida Board of Education Lottery Revenue | 5.000% | 7/1/15 (Prere.) | 255 | 264 |
Florida Board of Education Lottery Revenue | 5.000% | 7/1/16 (2) | 245 | 253 |
Florida Board of Education Lottery Revenue | 5.000% | 7/1/18 | 500 | 567 |
29
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Florida Board of Education Public Education | ||||
Capital Outlay GO | 4.000% | 6/1/16 | 300 | 316 |
Florida Board of Education Public Education | ||||
Capital Outlay GO | 5.000% | 6/1/19 | 220 | 255 |
Florida Board of Education Public Education | ||||
Capital Outlay GO | 5.000% | 6/1/21 | 750 | 899 |
Florida Board of Education Public Education | ||||
Capital Outlay GO | 5.000% | 6/1/22 | 500 | 583 |
Florida Board of Education Public Education | ||||
Capital Outlay GO | 5.000% | 6/1/24 | 600 | 730 |
Florida Board of Education Public Education | ||||
Capital Outlay GO | 5.000% | 6/1/24 | 500 | 554 |
Florida Department of Environmental Protection | ||||
& Preservation Revenue | 5.000% | 7/1/15 (14) | 625 | 640 |
Florida Department of Transportation GO | 5.000% | 7/1/19 | 545 | 633 |
Florida Turnpike Authority Revenue | 5.000% | 7/1/19 | 500 | 579 |
Fort Myers FL Improvement Revenue | 4.750% | 12/1/16 (Prere.) | 70 | 76 |
Fort Myers FL Improvement Revenue | 4.750% | 12/1/31 (14) | 30 | 32 |
Hillsborough County FL Industrial Development | ||||
Authority Hospital Revenue (Tampa General | ||||
Hospital Project) | 5.000% | 10/1/28 | 500 | 573 |
Jacksonville FL Electric Authority Electric | ||||
System Revenue VRDO | 0.060% | 1/8/15 | 1,200 | 1,200 |
Jacksonville FL Electric Authority Water | ||||
& Sewer Revenue | 5.000% | 10/1/31 | 500 | 572 |
Jacksonville FL Special Revenue | 5.000% | 10/1/28 | 1,000 | 1,187 |
Jacksonville FL Special Revenue | 5.000% | 10/1/32 | 500 | 576 |
Lakeland FL Educational Facilities Revenue | ||||
(Florida Southern College Project) | 5.000% | 9/1/31 | 880 | 948 |
Miami Beach FL Health Facilities Authority | ||||
Revenue (Mount Sinai Medical Center) | 5.000% | 11/15/27 | 1,000 | 1,137 |
Miami-Dade County FL Aviation Revenue | ||||
(Miami International Airport) | 4.875% | 10/1/24 | 500 | 569 |
Miami-Dade County FL Aviation Revenue | ||||
(Miami International Airport) | 5.000% | 10/1/30 | 585 | 656 |
Miami-Dade County FL Aviation Revenue | ||||
(Miami International Airport) | 5.000% | 10/1/30 | 1,000 | 1,171 |
Miami-Dade County FL Health Facilities Authority | ||||
Hospital Revenue (Miami Children’s Hospital) | 5.000% | 8/1/25 | 1,000 | 1,151 |
Miami-Dade County FL Public Facilities Revenue | ||||
(Jackson Memorial Hospital) | 5.000% | 6/1/22 (14) | 2,000 | 2,037 |
Miami-Dade County FL School Board COP | 5.000% | 11/1/16 (Prere.) | 115 | 124 |
Miami-Dade County FL School Board COP | 5.000% | 11/1/16 (Prere.) | 640 | 691 |
Miami-Dade County FL School Board COP | 5.000% | 11/1/16 (Prere.) | 1,300 | 1,404 |
Miami-Dade County FL Seaport Revenue | 5.750% | 10/1/28 | 1,500 | 1,799 |
Miami-Dade County FL Special Obligation | ||||
Revenue | 5.000% | 10/1/24 | 1,000 | 1,173 |
Miami-Dade County FL Special Obligation | ||||
Revenue | 5.000% | 10/1/30 | 500 | 571 |
Miami-Dade County FL Water & Sewer Revenue | 5.000% | 10/1/26 (14) | 500 | 553 |
Orange County FL Health Facilities Authority | ||||
Revenue (Nemours Foundation Project) | 5.000% | 1/1/19 | 500 | 569 |
Orlando & Orange County FL Expressway | ||||
Authority Revenue | 5.000% | 7/1/30 | 500 | 564 |
Osceola County FL Expressway System | ||||
Revenue (Poinciana Parkway Project) | 0.000% | 10/1/19 | 815 | 704 |
30
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Osceola County FL Expressway System | ||||
Revenue (Poinciana Parkway Project) | 0.000% | 10/1/20 | 1,270 | 1,035 |
Palm Beach County FL Health Facilities Authority | ||||
Hospital Revenue (BRRH Corp. Obligated Group) | 5.000% | 12/1/25 | 540 | 622 |
Polk County FL Constitutional Fuel Tax Revenue | 5.000% | 12/1/20 (14) | 590 | 638 |
3 South Florida Water Management District COP | ||||
TOB VRDO | 0.040% | 1/2/15 | 560 | 560 |
St. Johns County FL Water & Sewer Revenue | 0.000% | 6/1/24 | 1,110 | 864 |
Sumter County FL Industrial Development | ||||
Authority Hospital Revenue (Central Florida | ||||
Health Alliance Project) | 4.000% | 7/1/16 | 265 | 277 |
Sunshine State Governmental Financing | ||||
Commission Florida Revenue (Miami Dade | ||||
County Program) | 5.000% | 9/1/26 | 1,000 | 1,170 |
Tampa FL Cigarette Tax Allocation Revenue | ||||
(H. Lee Moffitt Cancer Center Project) | 5.000% | 9/1/26 | 200 | 229 |
Tampa FL Health System Revenue | ||||
(Baycare Health System) | 5.000% | 11/15/33 | 1,535 | 1,713 |
Tampa FL Hospital Revenue | 5.000% | 7/1/23 | 750 | 861 |
Tohopekaliga FL Water Authority Utility | ||||
System Revenue | 5.750% | 10/1/30 | 500 | 612 |
43,404 | ||||
Georgia (0.9%) | ||||
Atlanta GA Airport Revenue | 5.000% | 1/1/16 | 525 | 550 |
Atlanta GA Airport Revenue | 5.000% | 1/1/33 | 2,000 | 2,314 |
Atlanta GA Water & Wastewater Revenue | 5.750% | 11/1/27 (4) | 500 | 646 |
Burke County GA Development Authority | ||||
Pollution Control Revenue (Georgia Power Co. | ||||
Plant Vogtle Project) PUT | 1.750% | 6/1/17 | 500 | 507 |
Cobb County GA Kennestone Hospital | ||||
Authority Revenue | 5.000% | 4/1/24 | 400 | 467 |
DeKalb County GA Water & Sewer Revenue | 5.250% | 10/1/31 | 500 | 585 |
Georgia GO | 4.000% | 1/1/15 | 575 | 575 |
Georgia GO | 5.000% | 9/1/15 (Prere.) | 500 | 516 |
Georgia GO | 5.000% | 4/1/16 | 500 | 529 |
Georgia GO | 5.000% | 5/1/16 | 500 | 531 |
Georgia GO | 5.000% | 7/1/16 | 500 | 535 |
Georgia GO | 5.000% | 7/1/16 | 400 | 428 |
Georgia GO | 5.750% | 8/1/17 | 500 | 565 |
Georgia GO | 5.000% | 10/1/19 | 750 | 879 |
Georgia GO | 5.000% | 7/1/22 | 500 | 585 |
Georgia GO | 5.000% | 5/1/25 | 500 | 576 |
Georgia Road & Tollway Authority Revenue | 5.000% | 6/1/17 | 650 | 715 |
Gwinnett County GA School District GO | 5.000% | 2/1/17 (ETM) | 500 | 546 |
Gwinnett County GA School District GO | 5.000% | 2/1/28 | 500 | 621 |
Main Street Natural Gas Inc. Georgia Gas | ||||
Project Revenue | 5.000% | 3/15/16 | 590 | 617 |
Main Street Natural Gas Inc. Georgia Gas | ||||
Project Revenue | 5.125% | 9/15/16 | 80 | 85 |
Main Street Natural Gas Inc. Georgia Gas | ||||
Project Revenue | 5.250% | 9/15/18 | 100 | 112 |
Main Street Natural Gas Inc. Georgia Gas | ||||
Project Revenue | 5.000% | 3/15/19 | 250 | 278 |
Main Street Natural Gas Inc. Georgia Gas | ||||
Project Revenue | 5.000% | 3/15/21 | 500 | 564 |
31
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Main Street Natural Gas Inc. Georgia Gas | ||||
Project Revenue | 5.000% | 3/15/22 | 400 | 454 |
Municipal Electric Authority Georgia Revenue | ||||
(Combined Cycle Project) | 5.000% | 11/1/17 | 365 | 408 |
Municipal Electric Authority Georgia Revenue | ||||
(Project One) | 5.250% | 1/1/17 | 525 | 573 |
Private Colleges & University Authority of | ||||
Georgia Revenue (Emory University) | 5.000% | 9/1/28 | 500 | 577 |
16,338 | ||||
Guam (0.2%) | ||||
Guam Government Waterworks Authority | ||||
Water & Waste Water System Revenue | 5.250% | 7/1/23 | 1,000 | 1,165 |
Guam Government Waterworks Authority | ||||
Water & Waste Water System Revenue | 5.250% | 7/1/33 | 1,305 | 1,485 |
Guam International Airport Authority Revenue | 5.000% | 10/1/21 | 350 | 410 |
3,060 | ||||
Hawaii (0.7%) | ||||
Hawaii Department of Budget & Finance | ||||
Special Purpose Revenue (Hawaii Pacific | ||||
Health Obligated Group) | 5.000% | 7/1/19 | 250 | 283 |
Hawaii Department of Budget & Finance | ||||
Special Purpose Revenue (Hawaii Pacific | ||||
Health Obligated Group) | 5.000% | 7/1/20 | 300 | 343 |
Hawaii Department of Budget & Finance | ||||
Special Purpose Revenue (Hawaii Pacific | ||||
Health Obligated Group) | 5.000% | 7/1/21 | 400 | 461 |
Hawaii GO | 5.750% | 2/1/15 (4) | 500 | 502 |
Hawaii GO | 5.000% | 11/1/16 | 200 | 217 |
Hawaii GO | 5.000% | 4/1/17 (Prere.) | 55 | 60 |
Hawaii GO | 5.000% | 4/1/19 (2) | 445 | 487 |
Hawaii GO | 5.000% | 12/1/21 | 375 | 451 |
Hawaii GO | 5.000% | 8/1/24 | 1,765 | 2,193 |
Hawaii GO | 5.000% | 8/1/25 | 1,500 | 1,853 |
Hawaii GO | 5.000% | 6/1/29 | 500 | 573 |
Hawaii GO | 5.000% | 8/1/29 | 1,500 | 1,811 |
Hawaii GO | 5.000% | 12/1/29 | 500 | 588 |
Hawaii Pacific Health Revenue | 5.000% | 7/1/19 | 575 | 638 |
Honolulu HI City & County GO | 5.000% | 7/1/20 (4) | 500 | 554 |
Honolulu HI City & County GO | 5.000% | 12/1/30 | 310 | 362 |
Honolulu HI City & County GO | 5.250% | 8/1/31 | 500 | 590 |
Honolulu HI City & County GO | 5.250% | 8/1/33 | 1,245 | 1,466 |
University of Hawaii Revenue | 5.000% | 10/1/27 | 500 | 574 |
14,006 | ||||
Idaho (0.0%) | ||||
Idaho Health Facilities Authority Revenue | ||||
(Trinity Health Group) | 6.125% | 12/1/28 | 105 | 121 |
Illinois (3.0%) | ||||
Chicago IL Board of Education GO | 5.250% | 12/1/17 (14) | 775 | 852 |
Chicago IL Board of Education GO | 5.000% | 12/1/18 (2) | 295 | 323 |
Chicago IL Board of Education GO | 5.000% | 12/1/19 (2) | 1,075 | 1,146 |
Chicago IL Board of Education GO | 5.000% | 12/1/19 (14) | 210 | 234 |
Chicago IL Board of Education GO | 5.000% | 12/1/21 (2) | 1,515 | 1,619 |
Chicago IL Board of Education GO | 5.250% | 12/1/21 (14) | 500 | 565 |
Chicago IL Board of Education GO | 5.000% | 12/1/24 (4) | 100 | 108 |
32
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Chicago IL Board of Education GO | 5.250% | 12/1/24 (4) | 500 | 551 |
Chicago IL Board of Education GO | 5.250% | 12/1/26 (12) | 500 | 547 |
Chicago IL Board of Education GO | 4.750% | 12/1/29 (4) | 105 | 107 |
Chicago IL Board of Education GO | 0.000% | 12/1/30 (14) | 110 | 51 |
Chicago IL Board of Education GO | 0.000% | 12/1/31 (14) | 150 | 66 |
Chicago IL Board of Education GO | 4.750% | 12/1/31 (4) | 50 | 51 |
Chicago IL Board of Education GO | 5.000% | 12/1/31 | 320 | 331 |
Chicago IL GO | 5.000% | 12/1/16 (2) | 500 | 535 |
Chicago IL GO | 5.500% | 1/1/17 (4) | 500 | 540 |
Chicago IL GO | 5.000% | 1/1/19 (2) | 500 | 526 |
Chicago IL Metropolitan Water | ||||
Reclamation District GO | 5.000% | 12/1/29 | 1,190 | 1,255 |
Chicago IL Metropolitan Water | ||||
Reclamation District GO | 5.000% | 12/1/31 | 500 | 572 |
Chicago IL Motor Fuel Tax Revenue | 5.000% | 1/1/16 | 200 | 209 |
Chicago IL Motor Fuel Tax Revenue | 5.000% | 1/1/17 | 200 | 216 |
Chicago IL Motor Fuel Tax Revenue | 5.000% | 1/1/18 | 200 | 221 |
Chicago IL Motor Fuel Tax Revenue | 5.000% | 1/1/19 | 250 | 281 |
Chicago IL Motor Fuel Tax Revenue | 5.000% | 1/1/20 | 300 | 341 |
Chicago IL Motor Fuel Tax Revenue | 5.000% | 1/1/22 | 300 | 345 |
Chicago IL O’Hare International Airport Revenue | 5.250% | 1/1/15 (14) | 155 | 155 |
Chicago IL O’Hare International Airport Revenue | 5.250% | 1/1/17 (14) | 370 | 403 |
Chicago IL O’Hare International Airport Revenue | 5.000% | 1/1/24 (4) | 500 | 553 |
Chicago IL O’Hare International Airport Revenue | 5.250% | 1/1/24 (14) | 500 | 523 |
Chicago IL O’Hare International Airport Revenue | 5.250% | 1/1/24 | 200 | 232 |
Chicago IL O’Hare International Airport Revenue | 5.500% | 1/1/26 | 1,000 | 1,163 |
Chicago IL O’Hare International Airport Revenue | 5.000% | 1/1/29 (14) | 1,500 | 1,564 |
Chicago IL O’Hare International Airport Revenue | 5.000% | 1/1/32 | 500 | 564 |
Chicago IL O’Hare International Airport Revenue | 5.000% | 1/1/33 (4) | 275 | 289 |
Chicago IL O’Hare International Airport Revenue | 5.000% | 1/1/33 (14) | 1,540 | 1,608 |
Chicago IL O’Hare International Airport Revenue | 4.750% | 1/1/34 (4) | 50 | 52 |
Chicago IL Wastewater Transmission Revenue | 5.000% | 1/1/29 | 1,350 | 1,549 |
Chicago IL Waterworks Revenue | 5.000% | 11/1/30 | 1,000 | 1,154 |
Chicago IL Waterworks Revenue | 5.000% | 11/1/36 (2) | 1,000 | 1,056 |
Cook County IL GO | 5.000% | 11/15/21 | 500 | 566 |
Cook County IL GO | 5.000% | 11/15/28 | 500 | 561 |
Cook County IL GO | 5.250% | 11/15/28 | 500 | 566 |
Cook County IL GO | 4.750% | 11/15/30 (2) | 200 | 205 |
Illinois Finance Authority Revenue | ||||
(Advocate Health Care Network) | 5.000% | 8/1/26 | 1,500 | 1,787 |
Illinois Finance Authority Revenue | ||||
(Art Institute of Chicago) | 4.000% | 3/1/16 | 500 | 520 |
Illinois Finance Authority Revenue | ||||
(Ascension Health Credit Group) | 5.000% | 11/15/32 | 500 | 564 |
Illinois Finance Authority Revenue | ||||
(Centegra Health System) | 5.000% | 9/1/29 | 1,300 | 1,419 |
Illinois Finance Authority Revenue | ||||
(Northwestern Community Hospital) | 5.750% | 8/15/30 | 95 | 110 |
Illinois Finance Authority Revenue | ||||
(OSF Healthcare System) | 4.000% | 5/15/16 | 450 | 470 |
Illinois Finance Authority Revenue | ||||
(Rehabilitation Institute of Chicago) | 5.500% | 7/1/28 | 2,000 | 2,319 |
Illinois Finance Authority Revenue | ||||
(Trinity Health Corp.) | 5.000% | 12/1/30 | 500 | 562 |
Illinois Finance Authority Revenue | ||||
(University of Chicago) | 5.000% | 10/1/29 | 500 | 571 |
33
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Illinois Finance Authority Revenue | ||||
(University of Chicago) | 5.000% | 10/1/35 | 1,000 | 1,165 |
Illinois GO | 2.000% | 5/1/15 | 1,000 | 1,005 |
Illinois GO | 5.000% | 1/1/17 | 330 | 354 |
Illinois GO | 5.000% | 1/1/18 | 500 | 547 |
Illinois GO | 5.000% | 8/1/19 | 250 | 279 |
Illinois GO | 5.000% | 1/1/20 (4) | 200 | 225 |
Illinois GO | 5.000% | 8/1/20 | 500 | 563 |
Illinois GO | 5.000% | 1/1/21 (4) | 710 | 789 |
Illinois GO | 5.000% | 8/1/21 | 500 | 563 |
Illinois GO | 5.500% | 7/1/24 | 1,000 | 1,153 |
Illinois GO | 5.000% | 6/1/26 | 500 | 523 |
Illinois GO | 5.250% | 2/1/30 | 1,900 | 2,108 |
Illinois GO | 5.250% | 7/1/31 | 1,000 | 1,100 |
Illinois GO | 5.000% | 9/1/31 | 3,000 | 3,146 |
Illinois Regional Transportation Authority Revenue | 6.250% | 7/1/23 (4) | 500 | 645 |
Illinois Sales Tax Revenue | 5.500% | 6/15/17 (3) | 500 | 556 |
Illinois Toll Highway Authority Revenue | 5.000% | 7/1/16 (Prere.) | 500 | 534 |
Illinois Toll Highway Authority Revenue | 5.000% | 1/1/28 | 500 | 567 |
Illinois Toll Highway Authority Revenue | 5.000% | 1/1/30 | 1,000 | 1,147 |
Illinois Toll Highway Authority Revenue | 5.000% | 1/1/32 | 500 | 570 |
Illinois Unemployment Insurance Fund | ||||
Building Receipts Revenue | 5.000% | 6/15/19 | 650 | 664 |
Metropolitan Pier & Exposition Authority | ||||
Illinois Dedicated Sales Tax Revenue | 0.000% | 6/15/19 (14) | 1,120 | 1,017 |
Metropolitan Pier & Exposition Authority | ||||
Illinois Dedicated Sales Tax Revenue | 0.000% | 6/15/21 (14) | 1,000 | 835 |
Metropolitan Pier & Exposition Authority | ||||
Illinois Dedicated Sales Tax Revenue | 0.000% | 6/15/26 (4) | 500 | 329 |
Metropolitan Pier & Exposition Authority | ||||
Illinois Dedicated Sales Tax Revenue | 0.000% | 6/15/27 (4) | 250 | 156 |
Metropolitan Pier & Exposition Authority | ||||
Illinois Dedicated Sales Tax Revenue | 0.000% | 12/15/31 (14) | 290 | 142 |
Railsplitter Tobacco Settlement Authority | ||||
Illinois Tobacco Settlement Revenue | 5.250% | 6/1/20 | 1,215 | 1,414 |
Railsplitter Tobacco Settlement Authority | ||||
Illinois Tobacco Settlement Revenue | 5.500% | 6/1/23 | 1,060 | 1,244 |
Railsplitter Tobacco Settlement Authority | ||||
Illinois Tobacco Settlement Revenue | 6.000% | 6/1/28 | 400 | 471 |
Will County IL Community High School | ||||
District No. 210 (Lincoln-Way) GO | 5.000% | 1/1/30 | 500 | 568 |
Will County IL Community High School | ||||
District No. 210 (Lincoln-Way) GO | 0.000% | 1/1/33 | 750 | 337 |
57,393 | ||||
Indiana (0.4%) | ||||
Indiana Bond Bank Special Program | ||||
Gas Revenue | 5.250% | 10/15/16 | 250 | 268 |
Indiana Finance Authority Highway Revenue | 4.500% | 12/1/23 (14) | 2,500 | 2,682 |
Indiana Finance Authority Hospital Revenue | ||||
(Indiana University Health Obligated Group) | 5.000% | 12/1/22 | 1,100 | 1,314 |
Indiana Finance Authority Revenue | ||||
(Community Foundation of Northwest | ||||
Indiana Obligated Group) | 5.000% | 3/1/25 | 690 | 776 |
Indiana Finance Authority Revenue | ||||
(State Revolving Fund) | 5.000% | 2/1/18 | 500 | 563 |
34
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Indiana Finance Authority Revenue | ||||
(State Revolving Fund) | 5.000% | 2/1/32 | 500 | 585 |
Indiana Finance Authority Wastewater | ||||
Utility Revenue (CWA Authority Project) | 5.000% | 10/1/32 | 500 | 569 |
Indiana Health & Educational Facility Financing | ||||
Authority Hospital Revenue (Clarian Health | ||||
Obligated Group) | 5.000% | 2/15/25 | 290 | 304 |
Indiana Office Building Commission Facilities | ||||
Revenue (New Castle Correctional Facility) | 5.250% | 7/1/19 (14) | 500 | 581 |
Indiana University Student Fee Revenue | 5.000% | 8/1/18 (Prere.) | 100 | 114 |
Indiana University Student Fee Revenue | 5.000% | 6/1/19 | 445 | 516 |
8,272 | ||||
Iowa (0.1%) | ||||
Iowa Finance Authority Midwestern Disaster | ||||
Area Revenue (Iowa Fertilizer Co. Project) | 5.000% | 12/1/19 | 750 | 796 |
Iowa Finance Authority Midwestern Disaster | ||||
Area Revenue (Iowa Fertilizer Co. Project) | 5.500% | 12/1/22 | 750 | 792 |
Iowa Special Obligation Revenue (Ijobs Program) | 5.000% | 6/1/24 | 220 | 253 |
1,841 | ||||
Kansas (0.4%) | ||||
1 Kansas Department of Transportation | ||||
Highway Revenue | 0.340% | 9/1/15 | 2,000 | 2,002 |
Kansas Department of Transportation | ||||
Highway Revenue | 5.000% | 9/1/22 | 500 | 571 |
Kansas Department of Transportation | ||||
Highway Revenue | 5.000% | 9/1/25 | 500 | 625 |
Kansas Department of Transportation | ||||
Highway Revenue | 5.000% | 9/1/26 | 700 | 869 |
Kansas Development Finance Authority | ||||
Hospital Revenue (Adventist Health | ||||
System/Sunbelt Obligated Group) | 5.000% | 11/15/24 | 100 | 111 |
Leavenworth County KS Unified School | ||||
District GO | 4.500% | 9/1/19 (12) | 500 | 567 |
University of Kansas Hospital Authority Health | ||||
Facilities Improvement Revenue | 5.000% | 9/1/16 | 1,250 | 1,342 |
University of Kansas Hospital Authority Health | ||||
Facilities Improvement Revenue | 5.000% | 9/1/17 | 900 | 964 |
Wichita KS Hospital Facilities Revenue | ||||
(Via Christi Health System Inc.) | 5.000% | 11/15/21 (Prere.) | 500 | 607 |
Wyandotte County/Kansas City KS Unified | ||||
Government Utility System Revenue | 5.000% | 9/1/23 | 500 | 593 |
8,251 | ||||
Kentucky (0.6%) | ||||
Kentucky Asset/Liability Commission | ||||
General Fund Revenue | 5.000% | 5/1/22 (14) | 1,080 | 1,097 |
Kentucky Economic Development Finance | ||||
Authority Health System Revenue | ||||
(Norton Healthcare Inc. & Affiliates) | 0.000% | 10/1/25 (14) | 1,140 | 771 |
Kentucky Economic Development Finance | ||||
Authority Hospital Revenue (Baptist | ||||
Healthcare System Obligated Group) | 5.625% | 8/15/27 | 1,200 | 1,341 |
Kentucky Property & Building Commission | ||||
Revenue | 5.250% | 10/1/15 (4) | 150 | 156 |
Kentucky Property & Building Commission | ||||
Revenue | 5.375% | 11/1/23 | 500 | 575 |
35
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Kentucky Property & Building Commission | ||||
Revenue | 5.000% | 11/1/26 (4) | 500 | 564 |
Kentucky Public Transportation Infrastructure | ||||
Authority Toll Revenue (Downtown Crossing | ||||
Project) BAN | 0.000% | 7/1/21 | 1,325 | 1,053 |
Kentucky Public Transportation Infrastructure | ||||
Authority Toll Revenue (Downtown Crossing | ||||
Project) BAN | 0.000% | 7/1/22 | 810 | 609 |
Kentucky Turnpike Authority Economic | ||||
Development Road Revenue (Revitalization | ||||
Project) | 4.000% | 7/1/17 | 500 | 540 |
Kentucky Turnpike Authority Economic | ||||
Development Road Revenue (Revitalization | ||||
Project) | 5.000% | 7/1/25 | 305 | 350 |
Kentucky Turnpike Authority Economic | ||||
Development Road Revenue (Revitalization | ||||
Project) | 5.000% | 7/1/28 | 1,000 | 1,181 |
Warren County KY Revenue (Western Kentucky | ||||
University Student Life Foundation Inc. Project) | ||||
VRDO | 0.070% | 1/8/15 LOC | 2,800 | 2,800 |
11,037 | ||||
Louisiana (0.5%) | ||||
Bossier City LA Utilities Revenue | 5.000% | 10/1/22 | 500 | 600 |
Bossier City LA Utilities Revenue | 5.000% | 10/1/23 | 500 | 605 |
Jefferson Parish LA Environmental Facilities | ||||
& Community Development Authority Revenue | 5.000% | 4/1/18 | 405 | 453 |
Louisiana Citizens Property Insurance Corp. | ||||
Assessment Revenue | 5.000% | 6/1/22 (2) | 500 | 528 |
Louisiana Gasoline & Fuel Tax Revenue | 5.000% | 5/1/16 (Prere.) | 500 | 531 |
Louisiana GO | 5.000% | 5/1/16 (Prere.) | 500 | 531 |
Louisiana GO | 5.000% | 5/1/16 (Prere.) | 500 | 531 |
Louisiana Public Facilities Authority Revenue | ||||
(Ochsner Clinic Foundation Project) | 5.000% | 5/15/16 | 1,260 | 1,320 |
Louisiana State University Revenue | 5.000% | 7/1/23 | 400 | 487 |
New Orleans LA GO | 5.000% | 12/1/31 | 500 | 550 |
New Orleans LA GO | 5.125% | 12/1/33 (17) | 1,645 | 1,744 |
New Orleans LA Sewage Service Revenue | 5.000% | 6/1/24 | 900 | 1,060 |
St. Charles Parish LA Gulf Opportunity Zone | ||||
Revenue (Valero Energy Corp.) PUT | 4.000% | 6/1/22 | 1,000 | 1,085 |
10,025 | ||||
Maine (0.2%) | ||||
Maine Health & Higher Educational Facilities | ||||
Authority Revenue (Bowdoin College) VRDO | 0.050% | 1/8/15 LOC | 4,100 | 4,100 |
Portland ME Airport Revenue | 5.000% | 1/1/20 (4) | 500 | 571 |
4,671 | ||||
Maryland (1.4%) | ||||
Baltimore MD Consolidated Public | ||||
Improvement GO | 5.000% | 10/15/28 | 650 | 763 |
Baltimore MD Project Revenue | 5.000% | 7/1/24 | 2,000 | 2,467 |
Howard County MD GO | 5.000% | 2/15/22 | 750 | 900 |
Howard County MD GO | 5.000% | 8/15/24 | 200 | 240 |
Maryland Department of Transportation Revenue | 5.000% | 2/15/18 | 500 | 563 |
Maryland GO | 5.000% | 3/1/15 | 550 | 555 |
Maryland GO | 5.250% | 3/1/15 | 500 | 504 |
Maryland GO | 5.000% | 8/1/15 | 500 | 514 |
36
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Maryland GO | 5.000% | 8/1/15 (Prere.) | 500 | 514 |
Maryland GO | 5.000% | 8/1/16 (Prere.) | 450 | 483 |
Maryland GO | 5.000% | 11/1/16 | 105 | 114 |
Maryland GO | 5.000% | 3/15/17 | 500 | 548 |
Maryland GO | 5.000% | 7/15/17 | 610 | 676 |
Maryland GO | 5.000% | 8/1/17 | 500 | 555 |
Maryland GO | 5.250% | 8/15/17 | 500 | 559 |
Maryland GO | 5.250% | 3/1/18 | 200 | 227 |
Maryland GO | 5.000% | 3/15/19 (Prere.) | 500 | 579 |
Maryland GO | 5.000% | 8/1/21 | 870 | 1,037 |
Maryland GO | 5.000% | 8/1/22 | 1,500 | 1,839 |
Maryland GO | 5.000% | 8/1/23 | 2,500 | 3,106 |
Maryland Health & Higher Educational | ||||
Facilities Authority Revenue (Anne Arundel | ||||
Health System) | 5.000% | 7/1/27 | 500 | 569 |
Maryland Health & Higher Educational | ||||
Facilities Authority Revenue (Johns Hopkins | ||||
Health System Obligated Group) | 5.000% | 7/1/24 | 500 | 596 |
1 Maryland Health & Higher Educational Facilities | ||||
Authority Revenue (Johns Hopkins Health | ||||
System Obligated Group) PUT | 1.254% | 11/15/16 | 2,000 | 2,020 |
Maryland Health & Higher Educational Facilities | ||||
Authority Revenue (Loyola University) | 5.000% | 10/1/16 | 575 | 620 |
Maryland Health & Higher Educational Facilities | ||||
Authority Revenue (Maryland Institute | ||||
College of Art) | 5.000% | 6/1/20 | 500 | 570 |
Maryland Transportation Authority Facilities | ||||
Projects Revenue | 5.000% | 7/1/22 | 500 | 577 |
Maryland Transportation Authority GAN | 5.000% | 3/1/16 | 465 | 491 |
Maryland Transportation Authority GAN | 5.250% | 3/1/16 | 585 | 619 |
Maryland Transportation Authority GAN | 5.250% | 3/1/18 | 700 | 794 |
Maryland Transportation Authority GAN | 5.250% | 3/1/20 | 500 | 579 |
Montgomery County MD GO | 5.000% | 7/1/17 | 500 | 554 |
Montgomery County MD GO | 5.000% | 11/1/17 | 500 | 559 |
Prince Georges County MD GO | 5.000% | 9/15/23 | 500 | 596 |
25,887 | ||||
Massachusetts (2.0%) | ||||
Massachusetts Bay Transportation Authority | ||||
Sales Tax Revenue | 5.000% | 7/1/18 (Prere.) | 500 | 570 |
Massachusetts Bay Transportation Authority | ||||
Sales Tax Revenue | 5.250% | 7/1/22 | 480 | 594 |
Massachusetts Bay Transportation Authority | ||||
Sales Tax Revenue | 5.500% | 7/1/26 (14) | 400 | 520 |
Massachusetts Bay Transportation Authority | ||||
Sales Tax Revenue | 5.250% | 7/1/28 | 500 | 647 |
Massachusetts Bay Transportation Authority | ||||
Sales Tax Revenue | 5.000% | 7/1/31 | 915 | 1,163 |
Massachusetts College Building Authority | ||||
Revenue | 5.000% | 5/1/16 (Prere.) | 500 | 531 |
Massachusetts College Building Authority | ||||
Revenue | 5.250% | 5/1/29 | 445 | 508 |
Massachusetts Department of Transportation | ||||
Metropolitan Highway System Revenue | 5.000% | 1/1/23 | 500 | 564 |
Massachusetts Development Finance Agency | ||||
Revenue (Emerson College) | 5.500% | 1/1/30 | 450 | 508 |
37
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Massachusetts Development Finance Agency | ||||
Revenue (Harvard University) | 5.000% | 1/1/20 | 355 | 419 |
Massachusetts Development Finance Agency | ||||
Revenue (Milford Regional Medical Center) | 5.000% | 7/15/17 | 300 | 321 |
Massachusetts Development Finance Agency | ||||
Revenue (Milford Regional Medical Center) | 5.000% | 7/15/18 | 200 | 217 |
Massachusetts Development Finance Agency | ||||
Revenue (UMass Memorial Medical Center) | 5.125% | 7/1/26 | 720 | 781 |
Massachusetts Educational Financing Authority | ||||
Education Loan Revenue | 5.500% | 1/1/22 | 300 | 342 |
Massachusetts GO | 5.000% | 8/1/15 | 500 | 514 |
1 Massachusetts GO | 0.490% | 9/1/15 | 1,500 | 1,502 |
Massachusetts GO | 4.750% | 8/1/16 (Prere.) | 500 | 534 |
Massachusetts GO | 5.500% | 11/1/16 | 500 | 546 |
Massachusetts GO | 5.250% | 8/1/17 (Prere.) | 800 | 892 |
Massachusetts GO | 5.500% | 10/1/18 | 500 | 581 |
Massachusetts GO | 5.000% | 7/1/20 | 500 | 582 |
Massachusetts GO | 5.000% | 8/1/20 | 500 | 593 |
Massachusetts GO | 5.250% | 8/1/20 | 300 | 360 |
Massachusetts GO | 5.500% | 10/1/20 | 500 | 609 |
Massachusetts GO | 5.500% | 10/1/20 (14) | 500 | 609 |
Massachusetts GO | 5.000% | 8/1/22 | 1,000 | 1,217 |
Massachusetts GO | 5.250% | 8/1/23 | 500 | 628 |
Massachusetts GO | 0.706% | 11/1/25 | 1,380 | 1,356 |
Massachusetts GO | 5.000% | 3/1/26 | 500 | 570 |
Massachusetts GO | 5.000% | 4/1/29 | 500 | 584 |
Massachusetts GO | 4.000% | 11/1/30 | 1,980 | 2,121 |
1 Massachusetts GO PUT | 0.340% | 8/1/17 | 1,000 | 1,000 |
Massachusetts GO VRDO | 0.020% | 1/2/15 | 1,000 | 1,000 |
Massachusetts Health & Educational Facilities | ||||
Authority Revenue (Harvard University) | 5.000% | 12/15/28 | 500 | 582 |
Massachusetts Health & Educational Facilities | ||||
Authority Revenue (Lahey Clinic Medical Center) | 5.000% | 8/15/15 (14) | 500 | 514 |
3 Massachusetts Health & Educational Facilities | ||||
Authority Revenue (Partners Healthcare System) | ||||
TOB VRDO | 0.050% | 1/8/15 | 1,200 | 1,200 |
Massachusetts Health & Educational Facilities | ||||
Authority Revenue (Tufts University) VRDO | 0.020% | 1/2/15 | 4,800 | 4,800 |
Massachusetts Port Authority Revenue | 5.000% | 7/1/17 | 415 | 458 |
Massachusetts School Building Authority | ||||
Dedicated Sales Tax Revenue | 5.000% | 8/15/15 (Prere.) | 195 | 201 |
Massachusetts School Building Authority | ||||
Dedicated Sales Tax Revenue | 5.000% | 8/15/15 (Prere.) | 65 | 67 |
Massachusetts School Building Authority | ||||
Dedicated Sales Tax Revenue | 5.000% | 8/15/15 (Prere.) | 305 | 314 |
Massachusetts School Building Authority | ||||
Dedicated Sales Tax Revenue | 5.000% | 8/15/15 (Prere.) | 415 | 427 |
Massachusetts School Building Authority | ||||
Dedicated Sales Tax Revenue | 5.000% | 8/15/15 (Prere.) | 600 | 618 |
Massachusetts School Building Authority | ||||
Dedicated Sales Tax Revenue | 5.000% | 5/15/19 | 500 | 579 |
Massachusetts School Building Authority | ||||
Dedicated Sales Tax Revenue | 5.000% | 10/15/20 | 225 | 268 |
Massachusetts School Building Authority | ||||
Dedicated Sales Tax Revenue | 5.000% | 5/15/21 | 900 | 1,079 |
Massachusetts School Building Authority | ||||
Dedicated Sales Tax Revenue | 5.000% | 8/15/23 | 495 | 602 |
38
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Massachusetts School Building Authority | ||||
Dedicated Sales Tax Revenue | 5.000% | 8/15/30 (4) | 20 | 21 |
Massachusetts Special Obligation Dedicated | ||||
Tax Revenue | 5.500% | 1/1/26 (3) | 500 | 620 |
Massachusetts Turnpike Authority Revenue | ||||
(Metropolitan Highway System) | 0.000% | 1/1/29 (14) | 300 | 197 |
Massachusetts Water Pollution Abatement | ||||
Trust Revenue | 5.000% | 8/1/19 | 240 | 280 |
Massachusetts Water Pollution Abatement | ||||
Trust Revenue | 5.250% | 8/1/20 | 200 | 240 |
Massachusetts Water Pollution Abatement | ||||
Trust Revenue | 5.250% | 8/1/21 | 500 | 611 |
Massachusetts Water Pollution Abatement | ||||
Trust Revenue | 5.250% | 8/1/30 | 625 | 817 |
Massachusetts Water Resources Authority | ||||
Revenue | 5.000% | 8/1/25 | 895 | 1,051 |
39,029 | ||||
Michigan (1.1%) | ||||
Birmingham MI City School District GO | 5.000% | 5/1/22 | 740 | 887 |
Dearborn MI School District GO | 5.000% | 5/1/34 | 1,200 | 1,389 |
Detroit MI City School District GO | 5.250% | 5/1/28 (4) | 500 | 598 |
Michigan Building Authority Revenue | 5.000% | 10/15/20 (4) | 500 | 581 |
Michigan Finance Authority Hospital Revenue | ||||
Bonds (Trinity Health Credit Group) | 5.000% | 12/1/35 | 920 | 1,020 |
Michigan Finance Authority Revenue | 5.000% | 10/1/22 | 500 | 582 |
Michigan Finance Authority Revenue | ||||
(Detroit Water & Sewer) | 5.000% | 7/1/23 (4) | 1,000 | 1,157 |
Michigan Finance Authority Revenue | ||||
(Detroit Water & Sewer) | 5.000% | 7/1/29 | 1,500 | 1,672 |
Michigan Finance Authority Revenue | ||||
(Sparrow Obligated Group) | 5.000% | 11/15/27 | 500 | 556 |
Michigan Finance Authority Revenue | ||||
(State Clean Water Revolving Fund) | 5.000% | 10/1/27 | 1,000 | 1,194 |
Michigan Finance Authority Revenue | ||||
(State Clean Water Revolving Fund) | 5.000% | 10/1/31 | 500 | 587 |
Michigan Finance Authority Revenue | ||||
(Unemployment Obligation Assessment) | 5.000% | 1/1/18 | 500 | 560 |
Michigan Finance Authority Revenue | ||||
(Unemployment Obligation Assessment) | 5.000% | 1/1/22 | 2,000 | 2,233 |
Michigan GO | 5.000% | 5/1/18 | 500 | 565 |
Michigan GO | 5.500% | 11/1/25 | 595 | 681 |
Michigan Housing Development Authority | ||||
Single Family Mortgage Revenue VRDO | 0.020% | 1/7/15 | 3,070 | 3,070 |
Michigan Trunk Line Revenue | 5.000% | 11/1/21 | 500 | 581 |
Royal Oak MI Hospital Finance Authority Hospital | ||||
Revenue (William Beaumont Hospital) | 5.000% | 9/1/25 | 1,400 | 1,649 |
Wayne County MI Airport Authority Revenue | ||||
(Detroit Metropolitan Wayne County Airport) | 5.000% | 12/1/16 | 500 | 540 |
Wayne County MI Airport Authority Revenue | ||||
(Detroit Metropolitan Wayne County Airport) | 4.500% | 12/1/25 (14) | 1,000 | 1,078 |
21,180 | ||||
Minnesota (0.4%) | ||||
Chisago Lakes MN Independent | ||||
School District GO | 5.000% | 2/1/15 (4) | 500 | 502 |
Minneapolis MN Special School | ||||
District No. 1 COP | 5.000% | 2/1/26 | 1,855 | 2,210 |
39
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Minnesota GO | 5.000% | 8/1/15 | 500 | 514 |
Minnesota GO | 5.000% | 10/1/17 (ETM) | 10 | 11 |
Minnesota GO | 5.000% | 10/1/17 | 490 | 547 |
Minnesota GO | 5.000% | 8/1/19 | 500 | 583 |
Minnesota GO | 5.000% | 11/1/20 | 325 | 380 |
Minnesota GO | 5.000% | 8/1/21 | 500 | 580 |
Minnesota Public Facilities Authority Revenue | ||||
(State Revolving Fund) | 5.000% | 3/1/15 | 500 | 504 |
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 | 581 |
University of Minnesota Revenue | 5.250% | 12/1/29 | 500 | 593 |
7,564 | ||||
Mississippi (0.1%) | ||||
DeSoto County MS School District GO | 5.000% | 5/1/19 | 370 | 428 |
Mississippi GO | 5.500% | 12/1/18 | 750 | 876 |
Mississippi State University Educational | ||||
Building Corp. Revenue | 5.000% | 8/1/32 | 1,000 | 1,160 |
2,464 | ||||
Missouri (0.7%) | ||||
Curators of the University of Missouri System | ||||
Facilities Revenue | 5.000% | 11/1/15 (Prere.) | 130 | 135 |
Curators of the University of Missouri System | ||||
Facilities Revenue | 5.000% | 11/1/26 | 370 | 384 |
Jackson County MO Special Obligation Revenue | ||||
(Truman Sports Complex Project) | 5.000% | 12/1/27 | 1,520 | 1,811 |
Missouri Development Finance Board Cultural | ||||
Facilities Revenue (Nelson Gallery Foundation) | ||||
VRDO | 0.030% | 1/2/15 | 5,200 | 5,200 |
Missouri Health & Educational Facilities | ||||
Authority Health Facilities Revenue | ||||
(SSM Health System) | 5.000% | 6/1/25 | 1,000 | 1,199 |
Missouri Health & Educational Facilities | ||||
Authority Revenue (Mercy Health) | 5.000% | 11/15/34 | 1,500 | 1,719 |
Missouri Health & Educational Facilities | ||||
Authority Revenue (Mercy Health) VRDO | 0.406% | 6/1/31 (2) | 500 | 457 |
Missouri Highways & Transportation | ||||
Commission Road Revenue | 5.000% | 5/1/15 | 300 | 305 |
Missouri Highways & Transportation | ||||
Commission Road Revenue | 5.000% | 5/1/17 | 500 | 551 |
Missouri Highways & Transportation | ||||
Commission Road Revenue | 5.250% | 5/1/17 (Prere.) | 350 | 387 |
Missouri Highways & Transportation | ||||
Commission Road Revenue | 5.000% | 2/1/23 | 600 | 738 |
Missouri Highways & Transportation | ||||
Commission Road Revenue | 5.000% | 5/1/23 | 500 | 577 |
13,463 | ||||
Nebraska (0.4%) | ||||
Central Plains Energy Project Nebraska Gas | ||||
Project Revenue (Project No. 1) | 5.250% | 12/1/18 | 160 | 184 |
Central Plains Energy Project Nebraska Gas | ||||
Supply Revenue PUT | 5.000% | 12/1/19 | 2,000 | 2,321 |
Lincoln County NE Hospital Authority No. 1 | ||||
Hospital Revenue (Great Plains Regional | ||||
Medical Center Project) | 5.000% | 11/1/23 | 750 | 841 |
40
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Lincoln NE Electric System Revenue | 5.000% | 9/1/25 | 400 | 475 |
Municipal Energy Agency of Nebraska Power | ||||
Supply System Revenue | 5.000% | 4/1/31 | 345 | 387 |
Nebraska Public Power District Revenue | 5.000% | 1/1/30 | 1,000 | 1,148 |
Nebraska Public Power District Revenue | 5.000% | 1/1/32 | 1,500 | 1,713 |
Omaha NE Public Power District | ||||
Electric Revenue | 4.000% | 2/1/16 | 350 | 364 |
7,433 | ||||
Nevada (0.4%) | ||||
Carson City NV Hospital Revenue (Carson Tahoe | ||||
Regional Medical Center) | 5.000% | 9/1/33 | 1,500 | 1,632 |
Clark County NV GO | 5.000% | 12/1/29 | 500 | 573 |
Clark County NV Highway Improvement | ||||
Motor Vehicle Fuel Tax Revenue | 5.000% | 7/1/27 | 500 | 567 |
Clark County NV Passenger Facility Charge | ||||
Revenue (Las Vegas McCarran | ||||
International Airport) | 5.000% | 7/1/15 | 155 | 159 |
Clark County NV Passenger Facility Charge | ||||
Revenue (Las Vegas McCarran | ||||
International Airport) | 4.500% | 7/1/20 | 455 | 515 |
Clark County NV School District GO | 5.000% | 6/15/18 | 1,690 | 1,895 |
Nevada Capital Improvement | ||||
& Cultural Affairs GO | 5.000% | 12/1/26 (3) | 500 | 559 |
Reno NV Health Facility Revenue | ||||
(Dignity Health Obligated Group) | 5.250% | 7/1/31 | 1,100 | 1,168 |
7,068 | ||||
New Hampshire (0.1%) | ||||
Manchester NH General Airport Revenue | 5.000% | 1/1/17 | 500 | 532 |
New Hampshire Health & Education Facilities | ||||
Authority Revenue (Southern New Hampshire | ||||
Medical Center) | 5.000% | 10/1/32 | 1,865 | 1,993 |
New Hampshire Municipal Bond Bank Revenue | 5.000% | 8/15/16 | 115 | 124 |
2,649 | ||||
New Jersey (2.4%) | ||||
Garden State Preservation Trust New Jersey | ||||
Revenue (Open Space & Farmland Preservation) | 0.000% | 11/1/21 (4) | 500 | 433 |
Garden State Preservation Trust New Jersey | ||||
Revenue (Open Space & Farmland Preservation) | 0.000% | 11/1/22 (4) | 500 | 419 |
Jersey City NJ GO | 5.000% | 3/1/21 | 480 | 552 |
Morris County NJ Improvement Authority | ||||
School District Revenue (Morris Hills Regional | ||||
District Project) | 5.000% | 10/1/23 | 495 | 601 |
New Jersey COP | 5.250% | 6/15/30 | 465 | 519 |
New Jersey Economic Development | ||||
Authority Revenue (Cigarette Tax) | 5.000% | 6/15/19 | 700 | 780 |
New Jersey Economic Development | ||||
Authority Revenue (Cigarette Tax) | 5.000% | 6/15/26 | 1,500 | 1,669 |
New Jersey Economic Development Authority | ||||
Revenue (Motor Vehicle Surcharges) | 5.250% | 7/1/26 (14) | 500 | 611 |
New Jersey Economic Development Authority | ||||
Revenue (School Facilities Construction) | 5.250% | 3/1/15 (Prere.) | 500 | 504 |
New Jersey Economic Development Authority | ||||
Revenue (School Facilities Construction) | 5.250% | 12/15/15 (ETM) | 205 | 215 |
New Jersey Economic Development Authority | ||||
Revenue (School Facilities Construction) | 5.250% | 12/15/15 (14) | 295 | 309 |
41
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
New Jersey Economic Development Authority | ||||
Revenue (School Facilities Construction) | 5.250% | 9/1/24 | 300 | 337 |
New Jersey Economic Development Authority | ||||
Revenue (School Facilities Construction) | 5.000% | 3/1/28 | 2,095 | 2,321 |
New Jersey Economic Development Authority | ||||
Revenue (New Jersey Transit Light Rail Transit | ||||
System Project) | 5.000% | 5/1/17 | 500 | 544 |
New Jersey Economic Development Authority | ||||
Sublease Revenue (New Jersey Transit Corp. | ||||
Light Rail Transit System Project) | 5.000% | 5/1/18 | 500 | 556 |
New Jersey Economic Development Authority | ||||
Sublease Revenue (New Jersey Transit Corp. | ||||
Light Rail Transit System Project) | 5.000% | 5/1/19 | 500 | 561 |
New Jersey Educational Facilities Authority | ||||
Revenue (University Medical & Dentistry) | 6.500% | 6/1/19 (Prere.) | 195 | 239 |
New Jersey GO | 5.250% | 7/1/15 (4) | 1,500 | 1,538 |
New Jersey GO | 5.250% | 7/15/15 (2) | 500 | 514 |
New Jersey GO | 5.000% | 8/15/15 | 790 | 814 |
New Jersey GO | 5.250% | 7/1/16 (14) | 500 | 536 |
New Jersey GO | 5.000% | 8/1/16 | 440 | 471 |
New Jersey GO | 5.250% | 7/15/18 (2) | 500 | 568 |
New Jersey GO | 5.000% | 8/15/19 | 750 | 863 |
3 New Jersey GO TOB VRDO | 0.040% | 1/2/15 LOC | 6,900 | 6,900 |
New Jersey Health Care Facilities Financing | ||||
Authority Department of Human Services | ||||
Lease Revenue (Greystone Park Psychiatric | ||||
Hospital Project) | 5.000% | 9/15/24 | 500 | 586 |
New Jersey Health Care Facilities Financing | ||||
Authority Revenue (Barnabas Health) | 5.000% | 7/1/18 | 250 | 278 |
New Jersey Health Care Facilities Financing | ||||
Authority Revenue (Barnabas Health) | 5.000% | 7/1/22 | 1,000 | 1,166 |
New Jersey Health Care Facilities Financing | ||||
Authority Revenue (Barnabas Health) | 5.000% | 7/1/25 | 900 | 1,027 |
New Jersey Health Care Facilities Financing | ||||
Authority Revenue (Hackensack University | ||||
Medical Center) | 5.000% | 1/1/18 (4) | 385 | 428 |
New Jersey Health Care Facilities Financing | ||||
Authority Revenue (Hackensack University | ||||
Medical Center) | 5.000% | 1/1/19 | 500 | 557 |
New Jersey Health Care Facilities Financing | ||||
Authority Revenue (Meridian Health System | ||||
Obligated Group) | 5.000% | 7/1/21 | 500 | 583 |
New Jersey Higher Education Assistance | ||||
Authority Student Loan Revenue | 5.000% | 12/1/16 | 245 | 264 |
New Jersey Higher Education Assistance | ||||
Authority Student Loan Revenue | 5.250% | 12/1/28 | 335 | 354 |
New Jersey Sports & Exposition Authority | ||||
Revenue | 5.000% | 9/1/16 | 200 | 214 |
New Jersey Transportation Corp. COP | 5.000% | 9/15/15 (Prere.) | 500 | 517 |
New Jersey Transportation Corp. COP | 5.500% | 9/15/15 (ETM) | 200 | 208 |
New Jersey Transportation Trust Fund Authority | ||||
Transportation System Revenue | 5.500% | 12/15/15 (14) | 625 | 656 |
New Jersey Transportation Trust Fund Authority | ||||
Transportation System Revenue | 5.500% | 12/15/15 (2) | 230 | 241 |
New Jersey Transportation Trust Fund Authority | ||||
Transportation System Revenue | 5.000% | 12/15/16 | 275 | 296 |
42
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
New Jersey Transportation Trust Fund Authority | ||||
Transportation System Revenue | 5.500% | 12/15/17 (4) | 150 | 168 |
New Jersey Transportation Trust Fund Authority | ||||
Transportation System Revenue | 5.000% | 12/15/19 | 650 | 737 |
New Jersey Transportation Trust Fund Authority | ||||
Transportation System Revenue | 5.500% | 12/15/20 (3) | 2,500 | 2,944 |
New Jersey Transportation Trust Fund Authority | ||||
Transportation System Revenue | 5.250% | 12/15/21 (14) | 245 | 288 |
New Jersey Transportation Trust Fund Authority | ||||
Transportation System Revenue | 5.500% | 12/15/21 (12) | 150 | 179 |
New Jersey Transportation Trust Fund Authority | ||||
Transportation System Revenue | 5.500% | 12/15/23 | 605 | 716 |
New Jersey Transportation Trust Fund Authority | ||||
Transportation System Revenue | 0.000% | 12/15/26 (2) | 2,000 | 1,252 |
New Jersey Transportation Trust Fund Authority | ||||
Transportation System Revenue | 5.500% | 6/15/31 | 500 | 581 |
New Jersey Transportation Trust Fund Authority | ||||
Transportation System Revenue | 5.000% | 6/15/32 | 700 | 776 |
New Jersey Transportation Trust Fund Authority | ||||
Transportation System Revenue | 5.250% | 6/15/32 | 1,000 | 1,136 |
New Jersey Turnpike Authority Revenue | 5.000% | 1/1/22 | 500 | 567 |
New Jersey Turnpike Authority Revenue | 5.000% | 1/1/31 | 1,000 | 1,143 |
New Jersey Turnpike Authority Revenue | 5.000% | 1/1/32 | 1,000 | 1,138 |
Newark NJ GO | 5.000% | 10/1/19 | 500 | 567 |
South Jersey Transportation Authority New Jersey | ||||
Transportation System Revenue | 5.000% | 11/1/25 | 500 | 559 |
Tobacco Settlement Financing Corp. New Jersey | ||||
Revenue | 5.000% | 6/1/18 | 500 | 546 |
Tobacco Settlement Financing Corp. New Jersey | ||||
Revenue | 5.000% | 6/1/19 | 100 | 108 |
Tobacco Settlement Financing Corp. New Jersey | ||||
Revenue | 0.000% | 6/1/41 | 7,100 | 1,722 |
West Deptford Township NJ GO | 5.000% | 7/1/27 (4) | 635 | 692 |
46,568 | ||||
New Mexico (0.1%) | ||||
New Mexico Educational Assistance | ||||
Foundation Revenue | 5.000% | 12/1/19 | 500 | 582 |
New Mexico Finance Authority Transportation | ||||
Revenue | 5.000% | 6/15/23 | 500 | 582 |
1,164 | ||||
New York (7.0%) | ||||
Erie County NY Industrial Development Agency | ||||
School Facility Revenue (Buffalo City School | ||||
District Project) | 5.000% | 5/1/15 | 500 | 508 |
Erie County NY Industrial Development Agency | ||||
School Facility Revenue (Buffalo City School | ||||
District Project) | 5.000% | 5/1/18 | 500 | 565 |
Erie County NY Industrial Development Agency | ||||
School Facility Revenue (Buffalo City School | ||||
District Project) | 5.000% | 5/1/19 | 500 | 577 |
Erie County NY Industrial Development Agency | ||||
School Facility Revenue (Buffalo City School | ||||
District Project) | 5.250% | 5/1/31 | 500 | 584 |
Long Island NY Power Authority Electric | ||||
System Revenue | 5.000% | 12/1/17 | 630 | 683 |
43
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Long Island NY Power Authority Electric | ||||
System Revenue | 5.000% | 12/1/18 (14) | 400 | 432 |
Long Island NY Power Authority Electric | ||||
System Revenue | 5.250% | 4/1/19 | 400 | 458 |
Long Island NY Power Authority Electric | ||||
System Revenue | 5.000% | 5/1/19 (14) | 500 | 538 |
Long Island NY Power Authority Electric | ||||
System Revenue | 5.000% | 4/1/23 | 575 | 636 |
Long Island NY Power Authority Electric | ||||
System Revenue | 5.000% | 9/1/24 | 45 | 52 |
Long Island NY Power Authority Electric | ||||
System Revenue | 5.000% | 12/1/24 (14) | 940 | 991 |
1 Long Island NY Power Authority Electric | ||||
System Revenue PUT | 0.763% | 11/1/18 | 1,000 | 1,000 |
Monroe County NY Industrial Development Corp. | ||||
Mortgage Revenue (Unity Hospital Rochester | ||||
Project) | 5.500% | 8/15/23 | 1,000 | 1,032 |
Nassau County NY GO | 5.000% | 4/1/23 | 1,000 | 1,183 |
New York City NY GO | 5.000% | 8/1/15 (Prere.) | 575 | 591 |
New York City NY GO | 5.000% | 8/1/15 (Prere.) | 320 | 329 |
New York City NY GO | 5.000% | 9/1/15 (Prere.) | 490 | 506 |
New York City NY GO | 5.000% | 2/1/16 | 105 | 110 |
New York City NY GO | 5.000% | 8/1/16 (Prere.) | 5 | 5 |
New York City NY GO | 5.000% | 8/1/16 | 500 | 536 |
New York City NY GO | 5.000% | 2/1/17 | 500 | 545 |
New York City NY GO | 5.250% | 8/1/17 | 700 | 780 |
New York City NY GO | 5.000% | 9/1/17 | 10 | 10 |
New York City NY GO | 5.000% | 2/1/18 | 500 | 548 |
New York City NY GO | 5.250% | 8/15/18 (Prere.) | 40 | 46 |
New York City NY GO | 5.000% | 8/1/19 | 500 | 557 |
New York City NY GO | 5.000% | 8/1/21 | 380 | 452 |
New York City NY GO | 5.000% | 8/1/21 | 515 | 612 |
New York City NY GO | 5.000% | 8/1/21 | 2,000 | 2,378 |
New York City NY GO | 5.000% | 10/1/22 | 500 | 599 |
New York City NY GO | 5.000% | 8/1/23 | 380 | 459 |
New York City NY GO | 5.000% | 8/1/23 (14) | 180 | 185 |
New York City NY GO | 5.250% | 8/15/24 | 460 | 524 |
New York City NY GO | 5.000% | 8/1/25 | 750 | 888 |
New York City NY GO | 5.000% | 8/1/25 | 330 | 339 |
New York City NY GO | 5.000% | 8/1/26 | 500 | 594 |
New York City NY GO | 5.000% | 8/1/26 | 1,000 | 1,179 |
New York City NY GO | 5.000% | 8/15/26 | 475 | 535 |
1 New York City NY GO | 0.440% | 8/1/27 | 2,000 | 2,000 |
New York City NY GO | 5.000% | 5/15/28 | 480 | 546 |
New York City NY GO | 5.000% | 8/1/28 | 495 | 527 |
New York City NY GO | 5.000% | 8/1/28 | 400 | 460 |
New York City NY GO | 5.500% | 11/15/28 | 300 | 349 |
New York City NY GO | 5.625% | 4/1/29 | 840 | 975 |
New York City NY GO | 5.000% | 5/15/29 | 500 | 567 |
New York City NY GO | 5.000% | 8/1/30 | 1,000 | 1,169 |
New York City NY GO | 5.000% | 3/1/31 | 1,340 | 1,551 |
New York City NY GO | 5.000% | 8/1/31 | 365 | 425 |
New York City NY GO VRDO | 0.010% | 1/2/15 | 3,400 | 3,400 |
New York City NY GO VRDO | 0.020% | 1/2/15 LOC | 1,300 | 1,300 |
New York City NY Health & Hospital Corp. | ||||
Revenue (Health System) | 5.000% | 2/15/24 | 1,500 | 1,712 |
44
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
New York City NY Health & Hospital Corp. | ||||
Revenue (Health System) | 5.000% | 2/15/30 | 500 | 555 |
New York City NY Housing Development Corp. | ||||
Multi-Family Housing Revenue | 5.250% | 7/1/29 | 1,000 | 1,175 |
New York City NY Municipal Water Finance | ||||
Authority Water & Sewer System Revenue | 5.000% | 6/15/15 | 250 | 256 |
New York City NY Municipal Water Finance | ||||
Authority Water & Sewer System Revenue | 0.000% | 6/15/18 | 750 | 726 |
New York City NY Municipal Water Finance | ||||
Authority Water & Sewer System Revenue | 5.000% | 6/15/27 | 500 | 574 |
New York City NY Municipal Water Finance | ||||
Authority Water & Sewer System Revenue | 5.000% | 6/15/29 | 500 | 531 |
New York City NY Municipal Water Finance | ||||
Authority Water & Sewer System Revenue | 4.750% | 6/15/30 | 255 | 280 |
New York City NY Municipal Water Finance | ||||
Authority Water & Sewer System Revenue | 5.000% | 6/15/30 | 345 | 353 |
New York City NY Municipal Water Finance | ||||
Authority Water & Sewer System Revenue | 5.000% | 6/15/30 | 500 | 576 |
New York City NY Municipal Water Finance | ||||
Authority Water & Sewer System Revenue | 5.000% | 6/15/31 | 500 | 575 |
New York City NY Municipal Water Finance | ||||
Authority Water & Sewer System Revenue | 5.000% | 6/15/31 | 2,500 | 2,554 |
New York City NY Municipal Water Finance | ||||
Authority Water & Sewer System Revenue | 5.000% | 6/15/32 (4) | 1,295 | 1,324 |
New York City NY Transitional Finance | ||||
Authority Building Aid Revenue | 5.000% | 7/15/24 | 500 | 600 |
New York City NY Transitional Finance | ||||
Authority Building Aid Revenue | 5.250% | 1/15/25 | 500 | 570 |
New York City NY Transitional Finance | ||||
Authority Building Aid Revenue | 5.250% | 1/15/26 | 500 | 569 |
New York City NY Transitional Finance | ||||
Authority Building Aid Revenue | 5.125% | 1/15/29 | 1,070 | 1,213 |
New York City NY Transitional Finance | ||||
Authority Building Aid Revenue | 5.000% | 7/15/32 | 250 | 289 |
New York City NY Transitional Finance | ||||
Authority Future Tax Revenue | 5.000% | 8/1/16 (Prere.) | 280 | 300 |
New York City NY Transitional Finance | ||||
Authority Future Tax Revenue | 5.000% | 5/1/17 (Prere.) | 25 | 28 |
New York City NY Transitional Finance | ||||
Authority Future Tax Revenue | 5.000% | 5/1/17 (Prere.) | 330 | 364 |
New York City NY Transitional Finance | ||||
Authority Future Tax Revenue | 5.000% | 5/1/17 (Prere.) | 200 | 221 |
New York City NY Transitional Finance | ||||
Authority Future Tax Revenue | 5.000% | 2/1/18 (ETM) | 200 | 225 |
New York City NY Transitional Finance | ||||
Authority Future Tax Revenue | 5.000% | 11/1/18 | 170 | 188 |
New York City NY Transitional Finance | ||||
Authority Future Tax Revenue | 5.000% | 11/1/23 | 300 | 330 |
New York City NY Transitional Finance | ||||
Authority Future Tax Revenue | 5.000% | 11/1/24 | 475 | 520 |
New York City NY Transitional Finance | ||||
Authority Future Tax Revenue | 5.000% | 11/1/25 | 1,000 | 1,095 |
New York City NY Transitional Finance | ||||
Authority Future Tax Revenue | 5.000% | 11/1/25 | 400 | 474 |
New York City NY Transitional Finance | ||||
Authority Future Tax Revenue | 5.000% | 5/1/29 | 850 | 1,004 |
45
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
New York City NY Transitional Finance | ||||
Authority Future Tax Revenue | 5.000% | 2/1/30 | 500 | 584 |
New York City NY Transitional Finance | ||||
Authority Future Tax Revenue | 5.250% | 2/1/30 | 500 | 585 |
New York City NY Transitional Finance | ||||
Authority Future Tax Revenue | 5.000% | 2/1/31 | 500 | 577 |
New York City NY Transitional Finance | ||||
Authority Future Tax Revenue | 5.000% | 5/1/31 | 300 | 353 |
New York City NY Transitional Finance | ||||
Authority Future Tax Revenue | 5.000% | 11/1/31 | 500 | 594 |
New York City NY Transitional Finance | ||||
Authority Future Tax Revenue | 5.000% | 8/1/32 | 1,250 | 1,477 |
New York City NY Transitional Finance | ||||
Authority Future Tax Revenue | 5.000% | 11/1/32 | 500 | 592 |
New York City NY Transitional Finance | ||||
Authority Future Tax Revenue | 5.000% | 8/1/34 | 1,450 | 1,707 |
3 New York City NY Transitional Finance | ||||
Authority Future Tax Revenue TOB VRDO | 0.030% | 1/2/15 | 2,235 | 2,235 |
New York City NY Transitional Finance | ||||
Authority Future Tax Revenue VRDO | 0.020% | 1/7/15 | 3,100 | 3,100 |
New York Liberty Development Corp. Revenue | 5.000% | 11/15/31 | 1,000 | 1,131 |
New York Liberty Development Corp. Revenue | ||||
(7 World Trade Center Project) | 5.000% | 9/15/31 | 1,000 | 1,164 |
New York Metropolitan Transportation | ||||
Authority Revenue | 5.000% | 11/15/21 | 210 | 249 |
New York Metropolitan Transportation | ||||
Authority Revenue | 5.250% | 11/15/21 (14) | 300 | 361 |
New York Metropolitan Transportation | ||||
Authority Revenue | 5.000% | 11/15/23 | 500 | 557 |
New York Metropolitan Transportation | ||||
Authority Revenue | 5.000% | 11/15/27 (14) | 110 | 122 |
New York Metropolitan Transportation | ||||
Authority Revenue | 5.000% | 11/15/28 | 500 | 554 |
New York Metropolitan Transportation | ||||
Authority Revenue | 5.000% | 11/15/30 | 500 | 582 |
New York Metropolitan Transportation | ||||
Authority Revenue | 5.000% | 11/15/30 | 500 | 573 |
New York Metropolitan Transportation | ||||
Authority Revenue | 5.250% | 11/15/30 | 500 | 571 |
New York Metropolitan Transportation | ||||
Authority Revenue | 5.000% | 11/15/32 | 500 | 574 |
New York Metropolitan Transportation | ||||
Authority Revenue | 5.000% | 11/15/33 | 1,500 | 1,721 |
New York Metropolitan Transportation | ||||
Authority Revenue (Dedicated Petroleum Tax) | 5.250% | 11/15/24 | 600 | 706 |
New York Metropolitan Transportation | ||||
Authority Revenue (Dedicated Tax Fund) | 5.000% | 11/15/16 (Prere.) | 500 | 542 |
New York Metropolitan Transportation | ||||
Authority Revenue (Service Contract) | 5.500% | 7/1/15 | 500 | 513 |
New York Metropolitan Transportation | ||||
Authority Revenue (Service Contract) | 5.750% | 1/1/17 (14) | 560 | 617 |
New York Metropolitan Transportation | ||||
Authority Revenue (Transit Revenue) | 5.500% | 11/15/18 | 490 | 533 |
New York Metropolitan Transportation | ||||
Authority Revenue (Transit Revenue) | 5.000% | 11/15/31 | 1,165 | 1,327 |
46
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
1 New York Metropolitan Transportation | ||||
Authority Revenue PUT | 0.634% | 11/1/15 | 600 | 601 |
1 New York Metropolitan Transportation | ||||
Authority Revenue PUT | 0.400% | 11/15/17 | 1,500 | 1,501 |
New York State Dormitory Authority Lease | ||||
Revenue (City of New York Court Facilities) | 5.500% | 5/15/24 (2) | 500 | 629 |
New York State Dormitory Authority Lease | ||||
Revenue (City of New York Court Facilities) | 5.500% | 5/15/27 (2) | 500 | 647 |
New York State Dormitory Authority Lease | ||||
Revenue (Mental Health Services Facilities) | 5.000% | 8/15/21 | 500 | 584 |
New York State Dormitory Authority Revenue | ||||
(City University System) | 5.000% | 7/1/24 | 400 | 458 |
New York State Dormitory Authority Revenue | ||||
(Fordham University) | 5.000% | 7/1/25 (4) | 250 | 280 |
New York State Dormitory Authority Revenue | ||||
(Memorial Sloan-Kettering Cancer Center) | 5.000% | 7/1/30 | 500 | 526 |
New York State Dormitory Authority Revenue | ||||
(Mental Health Services Facilities Improvement) | 5.000% | 8/15/15 | 100 | 103 |
New York State Dormitory Authority Revenue | ||||
(Mount Sinai Hospital Obligated Group) | 5.000% | 7/1/23 | 500 | 578 |
New York State Dormitory Authority Revenue | ||||
(Mount Sinai School of Medicine of | ||||
New York University) | 5.000% | 7/1/24 (14) | 500 | 550 |
New York State Dormitory Authority Revenue | ||||
(New York University) | 6.000% | 7/1/19 (14) | 500 | 596 |
New York State Dormitory Authority Revenue | ||||
(North Shore - Long Island Jewish | ||||
Obligated Group) | 5.000% | 5/1/26 | 500 | 566 |
New York State Dormitory Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 2/15/15 | 165 | 166 |
New York State Dormitory Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 3/15/15 | 600 | 606 |
New York State Dormitory Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 2/15/17 | 500 | 546 |
New York State Dormitory Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 3/15/20 | 200 | 232 |
New York State Dormitory Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 2/15/23 | 1,000 | 1,199 |
New York State Dormitory Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 2/15/24 | 1,000 | 1,197 |
New York State Dormitory Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 12/15/26 | 500 | 602 |
New York State Dormitory Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 3/15/28 | 500 | 557 |
New York State Dormitory Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 3/15/30 | 2,000 | 2,369 |
New York State Dormitory Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 3/15/32 | 500 | 576 |
New York State Dormitory Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 2/15/33 | 300 | 345 |
New York State Dormitory Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 3/15/34 | 2,000 | 2,334 |
New York State Dormitory Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 3/15/35 | 2,000 | 2,019 |
New York State Dormitory Authority Revenue | ||||
(School Districts Financing Program) | 5.000% | 10/1/20 | 500 | 590 |
47
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% | 10/1/21 (4) | 390 | 467 |
New York State Dormitory Authority Revenue | ||||
(Service Contract) | 5.000% | 7/1/16 | 275 | 294 |
New York State Dormitory Authority Revenue | ||||
(Service Contract) | 5.000% | 7/1/22 | 500 | 575 |
New York State Dormitory Authority Revenue | ||||
(The New School) | 5.250% | 7/1/30 | 500 | 567 |
New York State Environmental Facilities Corp. | ||||
Revenue (State Clean Water & Drinking Water | ||||
Revolving Funds) | 5.000% | 6/15/22 | 500 | 552 |
New York State Environmental Facilities Corp. | ||||
Revenue (State Clean Water & Drinking Water | ||||
Revolving Funds) | 5.000% | 6/15/24 | 365 | 428 |
New York State Environmental Facilities Corp. | ||||
Revenue (State Clean Water & Drinking Water | ||||
Revolving Funds) | 5.000% | 6/15/25 | 500 | 602 |
New York State GO | 4.500% | 2/1/17 | 500 | 541 |
New York State GO | 4.500% | 2/1/18 | 500 | 555 |
New York State GO | 4.500% | 2/1/19 | 500 | 565 |
New York State GO | 5.000% | 2/15/30 | 315 | 368 |
New York State Local Government Assistance | ||||
Corp. Revenue | 5.000% | 4/1/21 | 500 | 578 |
New York State Thruway Authority Revenue | 5.000% | 1/1/15 (14) | 550 | 550 |
New York State Thruway Authority Revenue | 5.000% | 1/1/20 (14) | 500 | 558 |
New York State Thruway Authority Revenue | 5.000% | 1/1/21 (14) | 490 | 547 |
New York State Thruway Authority Revenue | 5.000% | 1/1/30 | 500 | 574 |
New York State Thruway Authority Revenue | 5.000% | 1/1/32 (14) | 600 | 655 |
New York State Thruway Authority Revenue | ||||
(Highway & Bridge Trust Fund) | 5.000% | 10/1/15 (Prere.) | 65 | 67 |
New York State Thruway Authority Revenue | ||||
(Highway & Bridge Trust Fund) | 5.000% | 10/1/15 (Prere.) | 65 | 67 |
New York State Thruway Authority Revenue | ||||
(Highway & Bridge Trust Fund) | 5.000% | 4/1/18 (2) | 435 | 450 |
New York State Thruway Authority Revenue | ||||
(Highway & Bridge Trust Fund) | 5.000% | 4/1/24 | 500 | 566 |
New York State Thruway Authority Revenue | ||||
(Highway & Bridge Trust Fund) | 5.000% | 4/1/25 (2) | 435 | 450 |
New York State Thruway Authority Revenue | ||||
(Highway & Bridge Trust Fund) | 5.000% | 4/1/26 (2) | 500 | 545 |
New York State Thruway Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 3/15/15 (Prere.) | 385 | 389 |
New York State Thruway Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 3/15/16 | 225 | 238 |
New York State Thruway Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 3/15/19 | 500 | 577 |
New York State Thruway Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 3/15/20 | 500 | 588 |
New York State Thruway Authority Revenue | ||||
(Personal Income Tax) | 5.000% | 3/15/25 | 500 | 590 |
New York State Urban Development Corp. | ||||
Revenue | 5.000% | 1/1/15 | 500 | 500 |
New York State Urban Development Corp. | ||||
Revenue | 5.000% | 12/15/15 | 400 | 418 |
New York State Urban Development Corp. | ||||
Revenue | 5.000% | 12/15/18 | 500 | 575 |
48
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
New York State Urban Development Corp. | ||||
Revenue (Personal Income Tax) | 5.000% | 12/15/15 | 275 | 288 |
New York State Urban Development Corp. | ||||
Revenue (Personal Income Tax) | 5.000% | 12/15/18 | 600 | 690 |
New York State Urban Development Corp. | ||||
Revenue (Personal Income Tax) | 5.500% | 3/15/22 (14) | 530 | 660 |
New York State Urban Development Corp. | ||||
Revenue (Personal Income Tax) | 5.000% | 12/15/25 | 1,500 | 1,665 |
New York State Urban Development Corp. | ||||
Revenue (Personal Income Tax) | 5.000% | 3/15/31 | 2,000 | 2,335 |
New York State Urban Development Corp. | ||||
Revenue (Personal Income Tax) | 5.000% | 3/15/33 | 1,485 | 1,727 |
New York State Urban Development Corp. | ||||
Revenue (Service Contract) | 5.000% | 1/1/18 | 540 | 605 |
Port Authority of New York & New Jersey | ||||
Revenue | 5.000% | 7/15/26 | 500 | 563 |
Port Authority of New York & New Jersey | ||||
Revenue | 5.000% | 9/1/26 | 1,750 | 2,149 |
Suffolk County NY Economic Development Corp. | ||||
Revenue (Catholic Health Services) | 5.000% | 7/1/21 | 1,545 | 1,804 |
Suffolk County NY Economic Development Corp. | ||||
Revenue (Catholic Health Services) | 5.000% | 7/1/27 | 1,370 | 1,576 |
Tobacco Settlement Financing Corp. New York | ||||
Revenue | 5.000% | 6/1/22 | 500 | 531 |
Triborough Bridge & Tunnel Authority New York | ||||
Revenue | 5.250% | 11/15/15 | 500 | 522 |
Triborough Bridge & Tunnel Authority New York | ||||
Revenue | 5.000% | 11/15/25 | 500 | 568 |
Utility Debt Securitization Authority New York | ||||
Revenue | 5.000% | 12/15/33 | 1,600 | 1,908 |
Westchester County NY GO | 5.000% | 7/1/20 (ETM) | 55 | 65 |
Westchester County NY GO | 5.000% | 7/1/20 | 445 | 529 |
Westchester County NY Health Care Corp. | ||||
Revenue | 5.000% | 11/1/30 | 500 | 553 |
133,888 | ||||
North Carolina (0.8%) | ||||
Cary NC Combined Enterprise System Revenue | 5.000% | 12/1/27 | 500 | 599 |
Charlotte NC Water & Sewer System Revenue | 5.000% | 12/1/20 | 235 | 280 |
Durham County NC GO | 5.000% | 4/1/20 | 685 | 810 |
Mecklenburg County NC GO | 5.000% | 3/1/17 | 500 | 548 |
Mecklenburg County NC Public Facilities Corp. | ||||
Revenue (Annual Appropriation) | 5.000% | 3/1/26 | 500 | 571 |
North Carolina Capital Improvement Revenue | 5.000% | 5/1/19 | 555 | 641 |
North Carolina Capital Improvement Revenue | 5.000% | 5/1/29 | 500 | 578 |
North Carolina Eastern Municipal Power Agency | ||||
Power Systems Revenue | 6.000% | 1/1/18 (2) | 510 | 583 |
North Carolina Eastern Municipal Power Agency | ||||
Power Systems Revenue | 5.000% | 1/1/26 | 500 | 567 |
North Carolina GO | 5.000% | 3/1/16 | 500 | 528 |
North Carolina GO | 5.000% | 3/1/17 | 520 | 569 |
North Carolina GO | 5.000% | 3/1/18 | 500 | 561 |
North Carolina GO | 5.000% | 3/1/20 | 275 | 325 |
North Carolina GO | 4.000% | 6/1/20 | 500 | 567 |
North Carolina GO | 5.000% | 5/1/22 | 250 | 305 |
North Carolina Infrastructure Financial Corp. | ||||
Capital Improvements COP | 5.000% | 2/1/17 (Prere.) | 2,000 | 2,185 |
49
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
North Carolina Medical Care Commission Health | ||||
Care Facilities Revenue (Vidant Health) | 5.000% | 6/1/21 | 1,000 | 1,170 |
North Carolina Medical Care Commission Hospital | ||||
Revenue (Southeastern Regional Medical Center) | 5.000% | 6/1/24 | 600 | 681 |
North Carolina Municipal Power Agency Revenue | 5.000% | 1/1/30 | 500 | 560 |
Orange County NC Public Facilities Co. Revenue | 5.000% | 10/1/24 | 500 | 599 |
1 University of North Carolina University System | ||||
Revenue PUT | 0.854% | 12/1/17 | 1,100 | 1,111 |
Wake County NC GO | 4.000% | 2/1/18 | 695 | 761 |
Wake County NC GO | 5.000% | 3/1/18 | 500 | 564 |
Wake County NC Public Improvement GO | 5.000% | 3/1/16 | 100 | 106 |
15,769 | ||||
Ohio (1.8%) | ||||
Allen County OH Hospital Facilities Revenue | ||||
(Catholic Healthcare Partners) | 5.000% | 9/1/16 | 500 | 535 |
American Municipal Power Ohio Inc. Revenue | ||||
(Fremont Energy Center Project) | 5.250% | 2/15/27 | 570 | 660 |
American Municipal Power Ohio Inc. Revenue | ||||
(Hydroelectric Projects) | 5.250% | 2/15/18 | 500 | 563 |
Butler County OH Hospital Facilities Revenue | ||||
(Kettering Health Network) | 5.250% | 4/1/31 | 500 | 548 |
Butler County OH Hospital Facilities Revenue | ||||
(UC Health) | 5.250% | 11/1/29 | 435 | 486 |
Cleveland OH Airport System Revenue | 5.000% | 1/1/16 (2) | 250 | 261 |
Cleveland OH Airport System Revenue | 5.250% | 1/1/18 (2) | 260 | 288 |
Cleveland OH Airport System Revenue | 5.000% | 1/1/31 (4) | 500 | 529 |
Cleveland OH Public Power System Revenue | 5.000% | 11/15/16 (Prere.) | 265 | 287 |
Cleveland OH Public Power System Revenue | 5.000% | 11/15/20 (14) | 235 | 253 |
Columbus OH GO | 5.000% | 9/1/15 | 1,300 | 1,342 |
Columbus OH GO | 5.000% | 7/1/25 | 535 | 640 |
Cuyahoga County OH Sales Tax Revenue | 5.000% | 12/1/27 | 1,000 | 1,215 |
Fairfield County OH Hospital Facilities Revenue | ||||
(Fairfield Medical Center) | 5.125% | 6/15/33 | 615 | 675 |
Franklin County OH Convention Facilities | ||||
Authority Revenue | 5.000% | 12/1/28 | 1,680 | 1,995 |
Hamilton County OH Economic Development | ||||
Revenue (King Highland Community Urban | ||||
Redevelopment Corp. - University of Cincinnati | ||||
Lessee Project) | 5.000% | 6/1/33 (14) | 1,225 | 1,285 |
Hamilton County OH Hospital Facilities Revenue | ||||
(UC Health) | 5.000% | 2/1/21 | 200 | 231 |
Hamilton County OH Sales Tax Revenue | 4.500% | 12/1/15 (2) | 350 | 363 |
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 | 568 |
Montgomery County OH Revenue (Miami Valley | ||||
Hospital) VRDO | 0.010% | 1/2/15 | 4,700 | 4,700 |
Ohio Building Authority Revenue (Administration | ||||
Building Fund) | 5.000% | 10/1/20 | 100 | 118 |
Ohio Capital Facilities Lease-Appropriation | ||||
Revenue (Mental Health Facilities Improvement | ||||
Fund Projects) | 5.000% | 2/1/22 | 750 | 895 |
Ohio Common Schools GO | 5.000% | 6/15/16 (Prere.) | 750 | 801 |
Ohio GO | 5.000% | 9/15/15 | 3,165 | 3,273 |
Ohio GO | 5.000% | 3/15/16 (Prere.) | 260 | 275 |
Ohio GO | 5.000% | 8/1/23 | 500 | 606 |
50
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Ohio GO | 5.000% | 8/1/24 | 500 | 621 |
Ohio Higher Education GO | 5.000% | 8/1/17 | 770 | 854 |
Ohio Higher Education GO | 5.000% | 8/1/21 | 500 | 601 |
Ohio Higher Educational Facility Commission | ||||
Revenue (Case Western Reserve University | ||||
Project) | 5.000% | 12/1/22 | 550 | 668 |
Ohio Higher Educational Facility Commission | ||||
Revenue (Cleveland Clinic Health System | ||||
Obligated Group) VRDO | 0.020% | 1/2/15 | 2,500 | 2,500 |
Ohio Higher Educational Facility Commission | ||||
Revenue (University of Dayton Project) | 5.000% | 12/1/33 (3) | 1,000 | 1,067 |
Ohio Major New State Infrastructure Project | ||||
Revenue | 5.000% | 12/15/15 | 550 | 575 |
Ohio State University General Receipts Revenue | 5.000% | 12/1/16 (ETM) | 30 | 33 |
Ohio State University General Receipts Revenue | 5.000% | 12/1/16 | 470 | 510 |
Ohio Turnpike Commission Turnpike Revenue | 5.500% | 2/15/15 | 500 | 503 |
Ohio Turnpike Commission Turnpike Revenue | 5.000% | 2/15/28 | 1,000 | 1,149 |
Ohio Turnpike Commission Turnpike Revenue | 5.000% | 2/15/31 | 500 | 566 |
Ohio Water Development Authority Pollution | ||||
Control Revenue (Water Quality) | 5.250% | 6/1/19 | 435 | 509 |
Penta Career Center Ohio COP | 5.250% | 4/1/23 | 125 | 147 |
34,267 | ||||
Oklahoma (0.1%) | ||||
Oklahoma City OK GO | 5.000% | 3/1/24 | 525 | 614 |
Oklahoma Turnpike Authority Revenue | 5.000% | 1/1/31 | 300 | 348 |
University of Oklahoma Revenue | 5.000% | 7/1/31 | 475 | 554 |
1,516 | ||||
Oregon (0.3%) | ||||
Clackamas County OR School District No. 46 GO | 0.000% | 6/15/32 | 1,670 | 879 |
Deschutes & Jefferson Counties OR School | ||||
District No. 2J GO | 0.000% | 6/15/31 | 750 | 417 |
Oregon Department of Administrative Services | ||||
Lottery Revenue | 5.000% | 4/1/25 | 1,370 | 1,694 |
Oregon Department of Administrative Services | ||||
Lottery Revenue | 5.250% | 4/1/31 | 500 | 589 |
Oregon Facilities Authority Revenue (PeaceHealth) | 5.000% | 11/15/16 | 150 | 162 |
Oregon Facilities Authority Revenue (PeaceHealth) | 5.000% | 11/15/17 | 250 | 279 |
Oregon GO | 5.000% | 5/1/23 | 500 | 605 |
Portland OR Sewer System Revenue | 5.000% | 6/15/22 (4) | 500 | 565 |
5,190 | ||||
Pennsylvania (3.2%) | ||||
Allegheny County PA Higher Education Building | ||||
Authority University Revenue | ||||
(Duquesne University) | 5.500% | 3/1/29 | 325 | 371 |
Allegheny County PA Hospital Development | ||||
Authority Revenue (University of Pittsburgh | ||||
Medical Center) | 5.000% | 5/15/18 | 500 | 565 |
Allegheny County PA Hospital Development | ||||
Authority Revenue (University of Pittsburgh | ||||
Medical Center) | 0.876% | 2/1/21 | 1,000 | 1,000 |
Allegheny County PA Hospital Development | ||||
Authority Revenue (University of Pittsburgh | ||||
Medical Center) | 5.375% | 8/15/29 | 210 | 240 |
Allegheny County PA Port Authority Revenue | 5.750% | 3/1/29 | 500 | 593 |
Allentown PA Neighborhood Improvement Zone | ||||
Development Authority Tax Revenue | 5.000% | 5/1/24 | 1,000 | 1,139 |
51
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Beaver County PA Industrial Development | ||||
Authority Pollution Control Revenue | ||||
(FirstEnergy Generation Project) PUT | 2.500% | 6/1/17 | 500 | 509 |
Beaver County PA Industrial Development | ||||
Authority Pollution Control Revenue | ||||
(FirstEnergy Generation Project) VRDO | 0.040% | 1/2/15 LOC | 1,500 | 1,500 |
Central Bradford PA Progress Authority Revenue | ||||
(Guthrie Healthcare System) | 5.500% | 12/1/31 | 500 | 592 |
3 Central Bradford PA Progress Authority Revenue | ||||
(Robert Packer Hospital) TOB VRDO | 0.040% | 1/8/15 LOC | 1,280 | 1,280 |
Chester County PA GO | 5.000% | 11/15/31 | 750 | 885 |
Commonwealth Financing Authority | ||||
Pennsylvania Revenue | 5.000% | 6/1/25 (14) | 500 | 510 |
Commonwealth Financing Authority | ||||
Pennsylvania Revenue | 5.000% | 6/1/32 | 500 | 563 |
Dallas PA Area Muni Authority University | ||||
Revenue (Misericordia University Project) | 3.000% | 5/1/15 | 500 | 504 |
Dallas PA Area Muni Authority University | ||||
Revenue (Misericordia University Project) | 4.000% | 5/1/17 | 415 | 439 |
Delaware River Port Authority Pennsylvania | ||||
& New Jersey Revenue | 4.000% | 1/1/15 | 320 | 320 |
East Hempfield Township PA Industrial | ||||
Development Authority Revenue | ||||
(Millersville University Student Housing Project) | 5.000% | 7/1/29 | 1,000 | 1,100 |
Emmaus PA General Authority Revenue VRDO | 0.040% | 1/8/15 LOC | 1,400 | 1,400 |
Geisinger Authority Health System Pennsylvania | ||||
Revenue (Geisinger Health System) VRDO | 0.010% | 1/2/15 | 1,900 | 1,900 |
Geisinger Authority Health System Pennsylvania | ||||
Revenue (Geisinger Health System) VRDO | 0.010% | 1/2/15 | 2,500 | 2,500 |
Lancaster County PA Hospital Authority Health | ||||
Center Revenue (Masonic Homes Project) | ||||
VRDO | 0.010% | 1/2/15 LOC | 350 | 350 |
Monroeville PA Finance Authority Revenue | ||||
(UPMC Health System) | 5.000% | 2/15/19 | 500 | 574 |
Montgomery County PA Higher Education | ||||
& Health Authority Hospital Revenue | ||||
(Abington Memorial Hospital) | 5.000% | 6/1/31 | 500 | 554 |
Montgomery County PA Higher Education | ||||
& Health Authority Revenue | ||||
(Arcadia University) | 3.000% | 4/1/15 | 100 | 101 |
Montgomery County PA Higher Education | ||||
& Health Authority Revenue | ||||
(Arcadia University) | 3.000% | 4/1/16 | 200 | 205 |
Montgomery County PA Industrial | ||||
Development Authority Retirement | ||||
Community Revenue (ACTS Retirement- Life | ||||
Communities Obligated Group) | 5.000% | 11/15/25 | 1,250 | 1,370 |
Pennsylvania Economic Development | ||||
Financing Authority Health System Revenue | ||||
(Albert Einstein Healthcare Network) | 6.250% | 10/15/23 | 1,000 | 1,166 |
Pennsylvania Economic Development | ||||
Financing Authority Revenue | ||||
(UPMC Obligated Group) | 5.000% | 2/1/27 | 1,000 | 1,185 |
Pennsylvania Economic Development Financing | ||||
Authority Solid Waste Disposal Revenue | ||||
(Waste Management Inc. Project) PUT | 3.700% | 5/1/15 | 750 | 759 |
52
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Pennsylvania Economic Development Financing | ||||
Authority Unemployment Compensation | ||||
Revenue | 4.000% | 1/1/18 | 325 | 355 |
Pennsylvania GO | 5.000% | 5/1/15 | 405 | 412 |
Pennsylvania GO | 5.250% | 7/1/15 | 500 | 513 |
Pennsylvania GO | 5.000% | 3/1/16 | 100 | 105 |
Pennsylvania GO | 5.000% | 7/1/16 | 400 | 427 |
Pennsylvania GO | 5.000% | 7/1/16 | 120 | 128 |
Pennsylvania GO | 5.000% | 7/1/20 | 500 | 587 |
Pennsylvania GO | 5.000% | 11/15/20 | 250 | 295 |
Pennsylvania GO | 5.375% | 7/1/21 | 500 | 606 |
Pennsylvania GO | 5.000% | 8/1/22 | 500 | 551 |
Pennsylvania GO | 5.000% | 11/15/22 | 500 | 595 |
Pennsylvania GO | 5.000% | 1/1/26 | 100 | 105 |
Pennsylvania GO | 5.000% | 4/15/28 | 500 | 559 |
Pennsylvania GO | 5.000% | 10/15/32 | 1,000 | 1,169 |
Pennsylvania Higher Educational Facilities | ||||
Authority Revenue (Foundation for Indiana | ||||
University of Pennsylvania Student Housing) | 5.000% | 7/1/17 (10) | 500 | 527 |
Pennsylvania Higher Educational Facilities | ||||
Authority Revenue (Philadelphia University) | 5.000% | 6/1/19 | 740 | 821 |
Pennsylvania Higher Educational Facilities | ||||
Authority Revenue (Philadelphia University) | 5.500% | 6/1/20 | 1,000 | 1,048 |
Pennsylvania Higher Educational Facilities | ||||
Authority Revenue (Slippery Rock University | ||||
Foundation) | 4.500% | 7/1/28 (10) | 1,090 | 1,098 |
Pennsylvania Higher Educational Facilities | ||||
Authority Revenue (St. Joseph’s University) | 5.000% | 11/1/24 | 200 | 229 |
Pennsylvania Higher Educational Facilities | ||||
Authority Revenue (Temple University) | 5.000% | 4/1/32 | 500 | 565 |
Pennsylvania Higher Educational Facilities | ||||
Authority Revenue (Trustees of the University | ||||
of Pennsylvania) | 5.000% | 9/1/28 | 500 | 572 |
Pennsylvania State University Revenue | 5.000% | 3/1/25 | 500 | 582 |
Pennsylvania State University Revenue | 5.000% | 8/15/27 | 1,000 | 1,106 |
Pennsylvania Turnpike Commission Oil | ||||
Franchise Tax Revenue | 5.000% | 12/1/24 | 1,000 | 1,203 |
1 Pennsylvania Turnpike Commission Revenue | 1.020% | 12/1/21 | 1,215 | 1,219 |
Pennsylvania Turnpike Commission Revenue | 5.000% | 12/1/21 | 345 | 398 |
Pennsylvania Turnpike Commission Revenue | 5.000% | 12/1/22 (2) | 1,000 | 1,062 |
Pennsylvania Turnpike Commission Revenue | 5.000% | 12/1/27 | 1,000 | 1,186 |
Pennsylvania Turnpike Commission Revenue | 5.000% | 6/1/29 | 1,050 | 1,176 |
Pennsylvania Turnpike Commission Revenue | 0.000% | 12/1/30 | 1,330 | 1,396 |
Pennsylvania Turnpike Commission Revenue | 5.000% | 12/1/32 | 2,000 | 2,315 |
Pennsylvania Turnpike Commission Revenue | 5.000% | 12/1/34 | 1,000 | 1,149 |
Philadelphia PA Airport Revenue | 5.000% | 6/15/15 | 505 | 516 |
Philadelphia PA Airport Revenue | 5.000% | 6/15/23 | 1,120 | 1,274 |
Philadelphia PA Gas Works Revenue VRDO | 0.030% | 1/8/15 LOC | 4,500 | 4,500 |
Philadelphia PA Hospitals & Higher Education | ||||
Facilities Authority Hospital Revenue | ||||
(Temple University Health System | ||||
Obligated Group) | 6.250% | 7/1/23 | 500 | 535 |
Philadelphia PA Hospitals & Higher Education | ||||
Facilities Authority Hospital Revenue | ||||
(Temple University Health System | ||||
Obligated Group) | 5.500% | 7/1/30 | 245 | 252 |
53
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Philadelphia PA Municipal Authority Revenue | 6.375% | 4/1/29 | 500 | 577 |
Philadelphia PA School District GO | 5.000% | 8/1/20 (2) | 500 | 513 |
Philadelphia PA School District GO | 5.250% | 9/1/22 | 500 | 568 |
Philadelphia PA Water & Waste Water Revenue | 5.000% | 8/1/22 (4) | 560 | 646 |
Philadelphia PA Water & Waste Water Revenue | 5.000% | 7/1/26 | 1,000 | 1,191 |
St. Mary Hospital Authority Pennsylvania | ||||
Health System Revenue (Catholic Health | ||||
Initiatives) | 5.000% | 11/15/26 | 1,000 | 1,138 |
University of Pittsburgh of the Commonwealth | ||||
System of Higher Education Pennsylvania | ||||
Revenue (University Capital Project) | 5.250% | 9/15/24 | 500 | 585 |
West Shore Area Authority Hospital Revenue | ||||
(Holy Spirit Hospital of the Sisters of | ||||
Christian Charity Project) | 6.250% | 1/1/31 | 80 | 93 |
60,621 | ||||
Puerto Rico (0.2%) | ||||
Puerto Rico Electric Power Authority Revenue | 5.000% | 7/1/21 (14) | 500 | 501 |
Puerto Rico Electric Power Authority Revenue | 5.250% | 7/1/22 (14) | 500 | 511 |
Puerto Rico GO | 6.000% | 7/1/27 (14) | 500 | 510 |
Puerto Rico Public Finance Corp. Revenue | 6.000% | 8/1/26 (ETM) | 1,000 | 1,289 |
2,811 | ||||
South Carolina (0.5%) | ||||
Charleston SC Educational Excellence Financing | ||||
Corp. Revenue (Charleston County School | ||||
District, South Carolina Project) | 5.000% | 12/1/16 (Prere.) | 500 | 543 |
Charleston SC Educational Excellence Financing | ||||
Corp. Revenue (Charleston County School | ||||
District, South Carolina Project) | 5.000% | 12/1/23 | 500 | 615 |
Columbia SC Waterworks & Sewer System | ||||
Revenue | 5.000% | 2/1/27 | 250 | 294 |
Greenville County SC School District GO | 5.000% | 12/1/27 | 500 | 539 |
Laurens County SC School District No. 55 | ||||
Installment Purchase Revenue | 5.250% | 12/1/30 | 2,080 | 2,144 |
Myrtle Beach SC Hospitality Fee Revenue | 5.000% | 6/1/25 | 1,000 | 1,182 |
Piedmont SC Municipal Power Agency Revenue | 0.000% | 1/1/24 (14) | 1,600 | 1,227 |
South Carolina GO | 5.000% | 4/1/20 | 450 | 532 |
South Carolina Jobs Economic Development | ||||
Authority Hospital Revenue (Palmetto Health) | 5.250% | 8/1/24 (4) | 500 | 548 |
South Carolina Jobs Economic Development | ||||
Authority Hospital Revenue (Palmetto Health) | 5.250% | 8/1/26 | 1,000 | 1,165 |
South Carolina Public Service Authority Revenue | 5.000% | 1/1/16 (ETM) | 130 | 136 |
South Carolina Public Service Authority Revenue | 5.000% | 1/1/29 | 500 | 555 |
9,480 | ||||
South Dakota (0.1%) | ||||
Educational Enhancement Funding Corp. | ||||
South Dakota Tobacco Settlement Revenue | 5.000% | 6/1/25 | 2,000 | 2,297 |
Tennessee (0.7%) | ||||
Chattanooga TN Health Educational & Housing | ||||
Facility Board Revenue (Catholic Health | ||||
Initiatives) | 5.000% | 1/1/33 | 1,500 | 1,661 |
Chattanooga-Hamilton County TN Hospital | ||||
Authority Hospital Revenue | 5.000% | 10/1/27 | 1,000 | 1,121 |
Memphis TN Electric System Revenue | 5.000% | 12/1/17 | 500 | 560 |
Memphis TN GO | 5.000% | 5/1/30 | 500 | 570 |
54
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Metropolitan Government of Nashville | ||||
& Davidson County TN GO | 5.000% | 7/1/21 | 625 | 740 |
Metropolitan Government of Nashville | ||||
& Davidson County TN Health & Educational | ||||
Facilities Board Revenue (Blakeford at | ||||
Green Hills) | 5.000% | 7/1/27 | 500 | 545 |
Metropolitan Government of Nashville | ||||
& Davidson County TN Health & Educational | ||||
Facilities Board Revenue (Vanderbilt University) | 5.000% | 10/1/15 | 350 | 363 |
Metropolitan Government of Nashville | ||||
& Davidson County TN Water & Sewer Revenue | 5.000% | 7/1/20 | 500 | 589 |
Shelby County TN GO | 5.000% | 3/1/19 | 500 | 578 |
Shelby County TN GO | 5.000% | 4/1/19 (ETM) | 100 | 116 |
Shelby County TN GO | 5.000% | 4/1/19 | 400 | 463 |
Tennessee Energy Acquisition Corp. Gas Revenue | 5.000% | 9/1/16 | 500 | 532 |
Tennessee Energy Acquisition Corp. Gas Revenue | 5.000% | 2/1/17 | 250 | 269 |
Tennessee Energy Acquisition Corp. Gas Revenue | 5.250% | 9/1/17 | 500 | 552 |
Tennessee Energy Acquisition Corp. Gas Revenue | 5.250% | 9/1/18 | 625 | 712 |
Tennessee Energy Acquisition Corp. Gas Revenue | 5.250% | 9/1/22 | 1,115 | 1,300 |
Tennessee Energy Acquisition Corp. Gas Revenue | 5.000% | 2/1/24 | 1,500 | 1,728 |
Tennessee Energy Acquisition Corp. Gas Revenue | 5.250% | 9/1/24 | 375 | 443 |
Tennessee Energy Acquisition Corp. Gas Revenue | 5.000% | 2/1/25 | 535 | 619 |
Tennessee GO | 5.000% | 8/1/20 | 625 | 744 |
14,205 | ||||
Texas (4.0%) | ||||
Austin TX Combined Utility System Revenue | 0.000% | 5/15/18 (14) | 1,000 | 957 |
Austin TX Water & Wastewater System | ||||
Revenue | 5.000% | 11/15/21 | 500 | 600 |
Austin TX Water & Wastewater System | ||||
Revenue | 5.000% | 11/15/24 | 275 | 319 |
Central Texas Regional Mobility Authority | ||||
Revenue | 0.000% | 1/1/25 | 100 | 67 |
Central Texas Regional Mobility Authority | ||||
Revenue | 5.750% | 1/1/25 | 500 | 562 |
Central Texas Regional Mobility Authority | ||||
Revenue | 0.000% | 1/1/26 | 180 | 115 |
Central Texas Regional Mobility Authority | ||||
Revenue | 5.000% | 1/1/33 | 500 | 552 |
Clifton TX Higher Education Finance Corp. | ||||
Revenue (Baylor University) | 5.250% | 3/1/29 | 200 | 229 |
Cypress-Fairbanks TX Independent School | ||||
District GO | 5.000% | 2/15/25 | 500 | 591 |
Cypress-Fairbanks TX Independent School | ||||
District GO | 5.000% | 2/15/30 | 500 | 542 |
Dallas TX Area Rapid Transit Sales Tax Revenue | 4.500% | 12/1/27 | 500 | 539 |
Dallas TX Area Rapid Transit Sales Tax Revenue | 5.000% | 12/1/27 | 500 | 591 |
Dallas TX GO | 5.000% | 2/15/15 | 500 | 503 |
Dallas TX Independent School District GO | 5.000% | 2/15/23 | 485 | 577 |
Dallas TX Independent School District GO | 5.000% | 8/15/34 | 1,350 | 1,389 |
Dallas TX Waterworks & Sewer System | ||||
Revenue | 5.000% | 10/1/15 (2) | 485 | 503 |
Dallas TX Waterworks & Sewer System | ||||
Revenue | 5.000% | 10/1/17 | 200 | 223 |
Dallas TX Waterworks & Sewer System | ||||
Revenue | 5.000% | 10/1/22 | 330 | 396 |
55
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Dallas-Fort Worth TX International Airport | ||||
Revenue | 5.000% | 11/1/16 | 515 | 557 |
Dallas-Fort Worth TX International Airport | ||||
Revenue | 5.250% | 11/1/29 | 1,000 | 1,185 |
El Paso TX Water & Sewer Revenue | 5.000% | 3/1/22 | 765 | 920 |
Fort Worth TX Water & Sewer Revenue | 5.000% | 2/15/25 | 450 | 532 |
Grand Parkway Transportation Corp. Texas | ||||
System Toll Revenue | 0.000% | 10/1/30 | 1,550 | 1,201 |
Harris County TX Flood Control District GO | 5.250% | 10/1/18 | 435 | 502 |
Harris County TX GO | 5.000% | 10/1/23 | 500 | 579 |
Harris County TX GO | 5.000% | 10/1/23 | 300 | 360 |
Harris County TX GO | 5.000% | 8/15/32 | 1,000 | 1,160 |
Harris County TX Sports Authority Revenue | 5.000% | 11/15/22 | 945 | 1,092 |
1 Harris County TX Toll Road Revenue | 0.820% | 8/15/18 | 1,000 | 1,011 |
Harris County TX Toll Road Revenue | 5.000% | 8/15/27 | 500 | 579 |
Harris County TX Toll Road Revenue | 5.000% | 8/15/32 | 500 | 572 |
Houston TX Airport System Revenue | 5.000% | 7/1/19 (14) | 1,000 | 1,086 |
Houston TX Community College System GO | 5.000% | 2/15/27 | 1,000 | 1,006 |
Houston TX GO | 5.000% | 3/1/20 | 500 | 577 |
Houston TX Independent School District GO | 5.000% | 7/15/15 (4) | 500 | 513 |
Houston TX Independent School District GO PUT | 1.000% | 6/1/15 | 2,000 | 2,005 |
Houston TX Utility System Revenue | 5.000% | 5/15/25 | 1,000 | 1,222 |
Houston TX Utility System Revenue | 5.000% | 11/15/28 (4) | 500 | 551 |
1 Houston TX Utility System Revenue PUT | 0.640% | 8/1/16 | 1,000 | 1,003 |
Katy TX Independent School District GO | 5.000% | 2/15/20 | 2,000 | 2,188 |
Lake Travis TX Independent School District GO | 5.000% | 2/15/32 | 500 | 576 |
Laredo TX Community College District GO | 5.000% | 8/1/25 | 1,000 | 1,220 |
Lone Star College System Texas GO | 5.000% | 8/15/23 | 250 | 289 |
Lower Colorado River Authority Texas Revenue | 5.750% | 5/15/15 (Prere.) | 5 | 5 |
Lower Colorado River Authority Texas Revenue | 5.750% | 5/15/15 (Prere.) | 40 | 41 |
Lower Colorado River Authority Texas Revenue | 5.750% | 5/15/15 (Prere.) | 415 | 424 |
Lower Colorado River Authority Texas Revenue | 5.750% | 5/15/28 | 40 | 41 |
Lubbock TX GO | 5.000% | 2/15/23 | 500 | 606 |
Mesquite TX Health Facilities Development Corp. | ||||
Retirement Facility Revenue (Christian Care | ||||
Centers Inc. Project) | 5.000% | 2/15/24 | 350 | 375 |
New Hope TX Cultural Education Facilities | ||||
Finance Corp. First Mortgage Revenue | ||||
(Morningside Ministries Project) | 6.250% | 1/1/33 | 1,640 | 1,817 |
New Hope TX Cultural Education Facilities | ||||
Finance Corp. Student Housing Revenue | ||||
(Tarleton State University Project) | 4.000% | 4/1/17 | 245 | 258 |
New Hope TX Cultural Education Facilities | ||||
Finance Corp. Student Housing Revenue | ||||
(Tarleton State University Project) | 4.000% | 4/1/19 | 495 | 527 |
North East TX Independent School District GO | 5.250% | 2/1/22 | 500 | 611 |
North Texas Tollway Authority System Revenue | 4.000% | 9/1/15 | 1,400 | 1,436 |
North Texas Tollway Authority System Revenue | 6.000% | 1/1/18 (Prere.) | 440 | 506 |
North Texas Tollway Authority System Revenue | 6.000% | 1/1/18 (Prere.) | 440 | 506 |
North Texas Tollway Authority System Revenue | 6.000% | 1/1/20 | 60 | 68 |
North Texas Tollway Authority System Revenue | 6.000% | 1/1/25 | 60 | 69 |
North Texas Tollway Authority System Revenue | 6.000% | 1/1/28 | 250 | 293 |
North Texas Tollway Authority System Revenue | 5.500% | 9/1/28 | 500 | 600 |
North Texas Tollway Authority System Revenue | 5.000% | 1/1/31 | 500 | 570 |
SA Energy Acquisition Public Facility Corp. | ||||
Texas Gas Supply Revenue | 5.250% | 8/1/17 | 500 | 551 |
56
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
SA Energy Acquisition Public Facility Corp. | ||||
Texas Gas Supply Revenue | 5.500% | 8/1/19 | 500 | 574 |
Sam Rayburn TX Municipal Power Agency | ||||
Revenue | 5.000% | 10/1/19 | 210 | 241 |
San Antonio TX Electric & Gas Systems Revenue | 5.000% | 2/1/16 (Prere.) | 905 | 951 |
San Antonio TX Electric & Gas Systems Revenue | 5.000% | 2/1/19 | 500 | 576 |
San Antonio TX Electric & Gas Systems Revenue | 5.000% | 2/1/21 | 500 | 595 |
San Antonio TX GO | 5.000% | 8/1/20 | 125 | 148 |
San Antonio TX GO | 5.000% | 2/1/22 | 1,000 | 1,186 |
San Antonio TX GO | 5.000% | 2/1/24 | 500 | 591 |
1 San Antonio TX Water Revenue PUT | 0.720% | 11/1/16 | 1,000 | 1,006 |
Southwest Texas Higher Education Authority Inc. | ||||
Revenue (Southern Methodist University Project) | 5.000% | 10/1/16 (2) | 260 | 280 |
Tarrant County TX Cultural Education Facilities | ||||
Finance Corp. Hospital Revenue (Methodist | ||||
Hospitals of Dallas) | 5.250% | 10/1/31 | 1,000 | 1,195 |
Tarrant County TX Cultural Education Facilities | ||||
Finance Corp. Revenue (CHRISTUS Health) | 6.250% | 7/1/28 (12) | 325 | 372 |
Tarrant County TX Cultural Education Facilities | ||||
Finance Corp. Revenue (Texas Health Resources) | 5.000% | 2/15/26 | 735 | 793 |
Texas A&M University System Revenue | ||||
Financing System Revenue | 5.000% | 5/15/26 | 500 | 573 |
Texas GO | 4.000% | 4/1/18 | 400 | 440 |
Texas GO | 5.000% | 10/1/22 | 1,000 | 1,226 |
Texas GO | 5.000% | 10/1/27 | 1,400 | 1,711 |
Texas GO | 5.000% | 10/1/28 | 1,330 | 1,615 |
Texas GO | 5.000% | 8/1/31 | 500 | 589 |
Texas Municipal Gas Acquisition & Supply Corp. | ||||
Revenue | 5.250% | 12/15/17 | 550 | 607 |
Texas Municipal Gas Acquisition & Supply Corp. | ||||
Revenue | 5.250% | 12/15/21 | 240 | 278 |
Texas Municipal Gas Acquisition & Supply Corp. | ||||
Revenue | 5.000% | 12/15/22 | 405 | 471 |
Texas Municipal Gas Acquisition & Supply Corp. | ||||
Revenue | 5.000% | 12/15/23 | 380 | 434 |
Texas Municipal Gas Acquisition & Supply Corp. | ||||
Revenue | 5.250% | 12/15/23 | 190 | 224 |
Texas Municipal Gas Acquisition & Supply Corp. | ||||
Revenue | 5.250% | 12/15/24 | 495 | 588 |
Texas Municipal Gas Acquisition & Supply Corp. | ||||
Revenue | 5.000% | 12/15/25 | 1,000 | 1,123 |
Texas Municipal Power Agency Revenue | 0.000% | 9/1/15 (14) | 1,500 | 1,496 |
Texas Public Finance Authority Revenue | ||||
(Texas Southern University) | 5.000% | 11/1/21 (15) | 1,000 | 1,125 |
Texas Public Finance Authority Revenue | ||||
(Unemployment Compensation) | 5.000% | 1/1/15 | 425 | 425 |
Texas Public Finance Authority Revenue | ||||
(Unemployment Compensation) | 5.000% | 7/1/15 (Prere.) | 500 | 512 |
Texas Public Finance Authority Revenue | ||||
(Unemployment Compensation) | 4.000% | 1/1/18 | 1,000 | 1,052 |
Texas Tech University System Financing | ||||
System Revenue | 5.000% | 2/15/28 | 500 | 564 |
Texas Transportation Commission GO | 5.000% | 10/1/22 | 1,175 | 1,441 |
1 Texas Transportation Commission Mobility Fund | ||||
GO PUT | 0.420% | 10/1/18 | 1,500 | 1,501 |
57
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Texas Transportation Commission Mobility Fund | ||||
GO VRDO | 0.030% | 1/7/15 | 1,110 | 1,110 |
Texas Transportation Commission Revenue | 4.750% | 4/1/16 (Prere.) | 500 | 528 |
Texas Transportation Commission Revenue | 5.000% | 4/1/16 (Prere.) | 500 | 529 |
Texas Transportation Commission Revenue | 5.000% | 4/1/16 (Prere.) | 500 | 529 |
Texas Turnpike Authority Central Texas Turnpike | ||||
System Revenue | 0.000% | 8/15/20 (2) | 810 | 718 |
Texas Water Financial Assistance GO | 5.000% | 8/1/24 | 500 | 568 |
Texas Water Financial Assistance GO | 5.000% | 8/1/25 | 500 | 567 |
Texas Water Financial Assistance GO | 5.000% | 8/1/27 | 500 | 565 |
University of Texas System Revenue Financing | ||||
System Revenue | 4.750% | 2/15/17 (Prere.) | 820 | 891 |
University of Texas System Revenue Financing | ||||
System Revenue | 5.000% | 8/15/19 | 325 | 379 |
University of Texas System Revenue Financing | ||||
System Revenue | 5.000% | 8/15/21 | 500 | 604 |
University of Texas System Revenue Financing | ||||
System Revenue | 4.750% | 8/15/30 | 1,180 | 1,261 |
Williamson County TX GO | 5.000% | 2/15/23 | 230 | 277 |
76,074 | ||||
Utah (0.1%) | ||||
Central Utah Water Conservancy District GO | 5.000% | 4/1/30 | 500 | 571 |
Utah Associated Municipal Power Systems | ||||
Revenue (Horse Butte Wind Project) | 5.000% | 9/1/32 | 350 | 391 |
Utah GO | 5.000% | 7/1/16 | 615 | 658 |
Utah GO | 5.000% | 7/1/16 | 500 | 535 |
2,155 | ||||
Virgin Islands (0.0%) | ||||
Virgin Islands Public Finance Authority Revenue | 5.000% | 10/1/29 | 500 | 549 |
Virginia (0.5%) | ||||
Arlington County VA GO | 5.000% | 8/1/17 | 750 | 833 |
Arlington County VA GO | 5.000% | 8/1/23 | 600 | 730 |
Chesapeake VA Toll Road Revenue | 5.000% | 7/15/21 | 500 | 557 |
Chesterfield County VA GO | 5.000% | 1/1/22 | 900 | 1,091 |
Fairfax County VA Public Improvement GO | 5.000% | 10/1/17 | 500 | 559 |
Fairfax County VA Public Improvement GO | 5.000% | 4/1/21 | 300 | 362 |
Fairfax County VA Public Improvement GO | 5.000% | 4/1/23 | 500 | 621 |
Fairfax County VA Water Authority Revenue | 5.000% | 4/1/25 | 500 | 601 |
Norfolk VA Water Revenue | 5.000% | 11/1/31 | 500 | 580 |
Roanoke VA Economic Development Authority | ||||
Hospital Revenue (Carilion Clinic Obligated | ||||
Group) | 5.000% | 7/1/30 | 500 | 565 |
Virginia College Building Authority Educational | ||||
Facilities Revenue (21st Century College | ||||
& Equipment Programs) | 5.000% | 2/1/17 | 200 | 218 |
Virginia College Building Authority Educational | ||||
Facilities Revenue (Public Higher Education | ||||
Financing Program) | 5.000% | 9/1/15 | 1,000 | 1,032 |
Virginia College Building Authority Educational | ||||
Facilities Revenue (Public Higher Education | ||||
Financing Program) | 5.000% | 9/1/22 | 355 | 432 |
Virginia Public School Authority Revenue | 5.000% | 8/1/19 | 500 | 581 |
8,762 |
58
Tax-Managed Balanced Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Washington (1.1%) | ||||
Energy Northwest Washington Electric Revenue | ||||
(Columbia Generating Station) | 5.000% | 7/1/20 | 500 | 592 |
Energy Northwest Washington Electric Revenue | ||||
(Project No. 1) | 5.250% | 7/1/16 | 1,000 | 1,073 |
Energy Northwest Washington Electric Revenue | ||||
(Project No. 1) | 5.000% | 7/1/17 | 500 | 553 |
Energy Northwest Washington Electric Revenue | ||||
(Project No. 3) | 5.000% | 7/1/15 | 100 | 102 |
Energy Northwest Washington Electric Revenue | ||||
(Project No. 3) | 5.000% | 7/1/16 | 865 | 925 |
King County WA GO | 5.000% | 1/1/19 | 150 | 172 |
King County WA GO | 5.000% | 1/1/24 | 500 | 597 |
Port of Seattle WA Revenue | 5.000% | 3/1/20 (14) | 665 | 670 |
Port of Seattle WA Revenue | 5.000% | 8/1/29 | 250 | 291 |
Snohomish County WA School District No. 201 | ||||
GO | 5.250% | 12/1/26 | 1,760 | 1,997 |
University of Washington Revenue | 5.000% | 4/1/31 | 335 | 386 |
Washington (Motor Vehicle Fuel Tax) GO | 5.000% | 7/1/17 (Prere.) | 500 | 553 |
Washington (Motor Vehicle Fuel Tax) GO | 5.000% | 7/1/23 | 375 | 446 |
Washington (Motor Vehicle Fuel Tax) GO | 5.000% | 7/1/23 | 425 | 482 |
Washington Economic Development Finance | ||||
Authority Lease Revenue (Washington | ||||
Biomedical Research Properties 2) | 5.000% | 6/1/25 | 1,080 | 1,328 |
Washington GO | 5.700% | 10/1/15 (4) | 110 | 115 |
Washington GO | 5.000% | 2/1/16 | 500 | 526 |
Washington GO | 5.000% | 7/1/16 (Prere.) | 500 | 534 |
Washington GO | 5.000% | 7/1/17 | 200 | 221 |
Washington GO | 5.000% | 7/1/18 | 675 | 767 |
Washington GO | 0.000% | 6/1/20 (14) | 500 | 457 |
Washington GO | 5.000% | 8/1/20 | 500 | 587 |
Washington GO | 5.000% | 7/1/21 | 500 | 569 |
Washington GO | 5.000% | 7/1/23 | 1,000 | 1,229 |
Washington GO | 5.000% | 7/1/25 | 500 | 598 |
Washington GO | 5.000% | 7/1/25 | 1,500 | 1,851 |
Washington GO | 5.000% | 2/1/32 | 500 | 577 |
Washington Health Care Facilities Authority | ||||
Revenue (Providence Health & Services) | 5.000% | 10/1/31 (14) | 2,000 | 2,112 |
Washington Health Care Facilities Authority | ||||
Revenue (Providence Health & Services) | 5.000% | 10/1/33 | 880 | 997 |
Washington State University General Revenue | 5.000% | 10/1/31 | 500 | 580 |
21,887 | ||||
West Virginia (0.1%) | ||||
West Virginia Hospital Finance Authority Hospital | ||||
Revenue (Charleston Area Medical Center Inc.) | 5.125% | 9/1/23 | 1,000 | 1,109 |
Wisconsin (0.6%) | ||||
Wisconsin Annual Appropriation Revenue | 5.625% | 5/1/28 | 460 | 542 |
Wisconsin GO | 5.000% | 5/1/15 (Prere.) | 600 | 610 |
Wisconsin GO | 4.000% | 9/1/15 | 970 | 994 |
Wisconsin GO | 5.000% | 5/1/16 | 500 | 531 |
Wisconsin GO | 5.000% | 5/1/18 (Prere.) | 500 | 566 |
Wisconsin GO | 5.000% | 5/1/21 | 750 | 896 |
Wisconsin GO | 5.000% | 5/1/24 | 500 | 600 |
Wisconsin GO | 5.000% | 5/1/26 | 2,210 | 2,648 |
59
Tax-Managed Balanced Fund
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Wisconsin Health & Educational Facilities | ||||
Authority Revenue (Aspirus, Inc. Obligated | ||||
Group) | 5.000% | 8/15/25 | 1,570 | 1,834 |
Wisconsin Health & Educational Facilities | ||||
Authority Revenue (Marquette University) | 5.000% | 10/1/30 | 500 | 575 |
Wisconsin Public Power System Power | ||||
Supply System Revenue | 5.000% | 7/1/32 | 500 | 574 |
Wisconsin Transportation Revenue | 5.000% | 7/1/23 | 500 | 605 |
10,975 | ||||
Total Tax-Exempt Municipal Bonds (Cost $934,306) | 978,722 | |||
Total Investments (99.3%) (Cost $1,426,579) | 1,896,948 | |||
Other Assets and Liabilities (0.7%) | ||||
Other Assets | 20,459 | |||
Liabilities | (6,316) | |||
14,143 | ||||
Net Assets (100%) | ||||
Applicable to 71,340,845 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 1,911,091 | |||
Net Asset Value Per Share | $26.79 | |||
At December 31, 2014, net assets consisted of: | ||||
Amount | ||||
($000) | ||||
Paid-in Capital | 1,447,196 | |||
Overdistributed Net Investment Income | (899) | |||
Accumulated Net Realized Losses | (5,575) | |||
Unrealized Appreciation (Depreciation) | 470,369 | |||
Net Assets | 1,911,091 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 Adjustable-rate security.
2 Security purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of December 31, 2014.
3 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 December 31, 2014, the aggregate value of these securities was $12,175,000, representing 0.6% of net assets.
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.
60
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.
PILOT—Payments in Lieu of Taxes.
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) AGC (Assured Guaranty Corporation).
(13) BHAC (Berkshire Hathaway Assurance Corporation).
(14) NPFG (National Public Finance Guarantee Corporation).
(15) BAM (Build America Mutual Assurance Company).
(16) MAC (Municipal Assurance Corporation).
(17) RAA (Radian Asset Assurance Inc.).
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.
61
Tax-Managed Balanced Fund
Statement of Operations
Year Ended | |
December 31, 2014 | |
($000) | |
Investment Income | |
Income | |
Dividends | 13,471 |
Interest | 23,823 |
Total Income | 37,294 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 126 |
Management and Administrative | 1,546 |
Marketing and Distribution | 219 |
Custodian Fees | 22 |
Auditing Fees | 31 |
Shareholders’ Reports | 27 |
Trustees’ Fees and Expenses | 1 |
Total Expenses | 1,972 |
Net Investment Income | 35,322 |
Realized Net Gain (Loss) | |
Investment Securities Sold | (4,090) |
Futures Contracts | (21) |
Realized Net Gain (Loss) | (4,111) |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 122,292 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 153,503 |
See accompanying Notes, which are an integral part of the Financial Statements.
62
Tax-Managed Balanced Fund
Statement of Changes in Net Assets
Year Ended December 31, | ||
2014 | 2013 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 35,322 | 26,566 |
Realized Net Gain (Loss) | (4,111) | 7,341 |
Change in Unrealized Appreciation (Depreciation) | 122,292 | 126,559 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 153,503 | 160,466 |
Distributions | ||
Net Investment Income | (34,862) | (26,718) |
Realized Capital Gain | — | — |
Total Distributions | (34,862) | (26,718) |
Capital Share Transactions | ||
Issued | 478,055 | 319,975 |
Issued in Lieu of Cash Distributions | 29,911 | 23,002 |
Redeemed | (116,048) | (91,646) |
Net Increase (Decrease) from Capital Share Transactions | 391,918 | 251,331 |
Total Increase (Decrease) | 510,559 | 385,079 |
Net Assets | ||
Beginning of Period | 1,400,532 | 1,015,453 |
End of Period1 | 1,911,091 | 1,400,532 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($899,000) and ($1,369,000). |
See accompanying Notes, which are an integral part of the Financial Statements.
63
Tax-Managed Balanced Fund
Financial Highlights
For a Share Outstanding | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $24.90 | $22.25 | $20.55 | $19.96 | $18.75 |
Investment Operations | |||||
Net Investment Income | . 547 | .517 | .525 | .519 | .496 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | 1.879 | 2.647 | 1.696 | .585 | 1.210 |
Total from Investment Operations | 2.426 | 3.164 | 2.221 | 1.104 | 1.706 |
Distributions | |||||
Dividends from Net Investment Income1 | (. 536) | (. 514) | (. 521) | (. 514) | (. 496) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (. 536) | (. 514) | (. 521) | (. 514) | (. 496) |
Net Asset Value, End of Period | $26.79 | $24.90 | $22.25 | $20.55 | $19.96 |
Total Return2 | 9.81% | 14.34% | 10.87% | 5.58% | 9.22% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $1,911 | $1,401 | $1,015 | $797 | $733 |
Ratio of Total Expenses to Average Net Assets | 0.12% | 0.12% | 0.12% | 0.12% | 0.15% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 2.15% | 2.21% | 2.43% | 2.55% | 2.58% |
Portfolio Turnover Rate | 8% | 9% | 7% | 12% | 23% |
1 For tax purposes, nontaxable dividends represent 64%, 63%, 62%, 70%, and 70% 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.
64
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. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. 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. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended December 31, 2014, the fund’s average investments in long and short futures contracts each represented less than 1% of net assets, based on the average of aggregate settlement values at each quarter-end during the period. The fund had no open futures contracts at December 31, 2014.
3. 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, 2011–2014), 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.
65
Tax-Managed Balanced Fund
5. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $2.89 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at December 31, 2014, or at any time during the period then ended.
6. 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.
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 based on methods approved by the board of trustees. The fund has committed to invest up to 0.40% of its net assets in Vanguard. At December 31, 2014, the fund had contributed capital of $178,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.07% 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 December 31, 2014, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 918,130 | 96 | — |
Tax-Exempt Municipal Bonds | — | 978,722 | — |
Total | 918,130 | 978,818 | — |
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
66
Tax-Managed Balanced Fund
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.
Certain of the fund’s investments are in securities considered to be passive foreign investment companies, for which any unrealized appreciation and/or realized gains are required to be included in distributable net income for tax purposes. During the year ended December 31, 2014, the fund realized gains on the sale of passive foreign investment companies of $10,000, which have been included in current and prior periods’ taxable income; accordingly, such gains have been reclassified from accumulated net realized losses to overdistributed net investment income. Passive foreign investment companies held at December 31, 2014, had unrealized appreciation of $17,000, all of which has been distributed and is reflected in the balance of overdistributed net investment income.
For tax purposes, at December 31, 2014, the fund had $380,000 of ordinary income available for distribution. The fund had available capital losses totaling $5,575,000 to offset future net capital gains. Of this amount, $1,449,000 is subject to expiration on December 31, 2017. Capital losses of $4,126,000 realized beginning in fiscal 2014 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, but must be used before any expiring loss carryforwards.
At December 31, 2014, the cost of investment securities for tax purposes was $1,426,596,000. Net unrealized appreciation of investment securities for tax purposes was $470,352,000, consisting of unrealized gains of $472,250,000 on securities that had risen in value since their purchase and $1,898,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the year ended December 31, 2014, the fund purchased $519,620,000 of investment securities and sold $126,046,000 of investment securities, other than temporary cash investments.
F. Capital shares issued and redeemed were:
Year Ended December 31, | ||
2014 | 2013 | |
Shares | Shares | |
(000) | (000) | |
Issued | 18,435 | 13,516 |
Issued in Lieu of Cash Distributions | 1,141 | 964 |
Redeemed | (4,485) | (3,869) |
Net Increase (Decrease) in Shares Outstanding | 15,091 | 10,611 |
G. Management has determined that no material events or transactions occurred subsequent to December 31, 2014, that would require recognition or disclosure in these financial statements.
67
Tax-Managed Capital Appreciation Fund
Fund Profile
As of December 31, 2014
Share-Class Characteristics | ||
Admiral | Institutional | |
Shares | Shares | |
Ticker Symbol | VTCLX | VTCIX |
Expense Ratio1 | 0.12% | 0.08% |
30-Day SEC Yield | 1.59% | 1.63% |
Portfolio Characteristics | |||
DJ | |||
U.S. | |||
Total | |||
Russell | Market | ||
1000 | FA | ||
Fund | Index | Index | |
Number of Stocks | 782 | 1,043 | 3,776 |
Median Market Cap | $57.8B | $61.1B | $48.1B |
Price/Earnings Ratio | 19.8x | 19.9x | 20.6x |
Price/Book Ratio | 2.8x | 2.8x | 2.7x |
Return on Equity | 18.7% | 18.5% | 17.8% |
Earnings Growth | |||
Rate | 16.1% | 15.5% | 15.4% |
Dividend Yield | 1.7% | 1.9% | 1.9% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 6% | — | — |
Short-Term Reserves | 0.0% | — | — |
Total Fund Volatility Measures | ||
DJ | ||
Russell | U.S. Total | |
1000 | Market | |
Index | FA Index | |
R-Squared | 1.00 | 1.00 |
Beta | 1.02 | 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 | |
Technology | 3.2% | |
Exxon Mobil Corp. | Oil: Integrated | 1.9 |
Microsoft Corp. | Computer Services | |
Software & Systems | 1.7 | |
Google Inc. | Computer Services | |
Software & Systems | 1.5 | |
Johnson & Johnson | Pharmaceuticals | 1.4 |
Berkshire Hathaway Inc. | Insurance: Multi-Line | 1.4 |
Wells Fargo & Co. | Banks: Diversified | 1.3 |
Procter & Gamble Co. | Personal Care | 1.2 |
JPMorgan Chase & Co. | Diversified Financial | |
Services | 1.1 | |
General Electric Co. | Diversified | |
Manufacturing | ||
Operations | 1.1 | |
Top Ten | 15.8% | |
The holdings listed exclude any temporary cash investments and equity index products. | ||
1 The expense ratios shown are from the prospectus dated April 7, 2014, and represent estimated costs for the current fiscal year. For the fiscal year
ended December 31, 2014, the expense ratios were 0.12% for Admiral Shares and 0.08% for Institutional Shares.
68
Tax-Managed Capital Appreciation Fund
Sector Diversification (% of equity exposure) | |||
DJ | |||
Russell | U.S. Total | ||
1000 | Market | ||
Fund | Index | FA Index | |
Consumer | |||
Discretionary | 14.7% | 14.3% | 14.5% |
Consumer Staples | 8.0 | 7.9 | 7.5 |
Energy | 7.7 | 7.8 | 7.6 |
Financial Services | 19.2 | 19.1 | 19.4 |
Health Care | 13.8 | 13.9 | 13.9 |
Materials & | |||
Processing | 3.9 | 4.0 | 4.2 |
Producer Durables | 11.2 | 11.3 | 11.3 |
Technology | 16.7 | 16.4 | 16.4 |
Utilities | 4.8 | 5.3 | 5.2 |
Investment Focus
69
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.
Cumulative Performance: December 31, 2004, Through December 31, 2014
Initial Investment of $10,000
Average Annual Total Returns | |||||
Periods Ended December 31, 2014 | |||||
Final Value | |||||
One | Five | Ten | of a $10,000 | ||
Year | Years | Years | Investment | ||
Tax-Managed Capital Appreciation Fund | |||||
Admiral Shares | 12.52% | 15.53% | 8.04% | $21,666 | |
•••••••• | Russell 1000 Index | 13.24 | 15.64 | 7.96 | 21,509 |
– – – – | Multi-Cap Core Funds Average | 9.58 | 13.35 | 6.73 | 19,173 |
Dow Jones U.S. Total Stock Market | |||||
Float Adjusted Index | 12.47 | 15.72 | 8.09 | 21,779 | |
Multi-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
Final Value | ||||
One | Five | Ten | of a $5,000,000 | |
Year | Years | Years | Investment | |
Tax-Managed Capital Appreciation Fund | ||||
Institutional Shares | 12.56% | 15.58% | 8.08% | $10,875,036 |
Russell 1000 Index | 13.24 | 15.64 | 7.96 | 10,754,646 |
Dow Jones U.S. Total Stock Market Float | ||||
Adjusted Index | 12.47 | 15.72 | 8.09 | 10,889,319 |
See Financial Highlights for dividend and capital gains information.
70
Tax-Managed Capital Appreciation Fund
Fiscal-Year Total Returns (%): December 31, 2004, Through December 31, 2014
71
Tax-Managed Capital Appreciation Fund
Financial Statements
Statement of Net Assets
As of December 31, 2014
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 (14.7%) | |||
Walt Disney Co. | 542,636 | 51,111 | |
Home Depot Inc. | 445,800 | 46,796 | |
Comcast Corp. Class A | 755,371 | 43,819 | |
Wal-Mart Stores Inc. | 488,128 | 41,920 | |
* | Amazon.com Inc. | 122,190 | 37,922 |
McDonald’s Corp. | 306,260 | 28,697 | |
Time Warner Inc. | 315,349 | 26,937 | |
Lowe’s Cos. Inc. | 367,400 | 25,277 | |
* | eBay Inc. | 438,898 | 24,631 |
Twenty-First Century | |||
Fox Inc. Class A | 637,530 | 24,484 | |
NIKE Inc. Class B | 243,200 | 23,384 | |
Starbucks Corp. | 266,652 | 21,879 | |
Costco Wholesale Corp. | 144,000 | 20,412 | |
Ford Motor Co. | 1,209,933 | 18,754 | |
* | Priceline Group Inc. | 14,675 | 16,733 |
* | DIRECTV | 186,409 | 16,162 |
Time Warner Cable Inc. | 94,542 | 14,376 | |
General Motors Co. | 392,726 | 13,710 | |
Viacom Inc. Class B | 171,033 | 12,870 | |
Yum! Brands Inc. | 159,210 | 11,598 | |
Johnson Controls Inc. | 237,600 | 11,486 | |
* | O’Reilly Automotive Inc. | 54,848 | 10,565 |
* | AutoZone Inc. | 16,590 | 10,271 |
Marriott International Inc. | |||
Class A | 128,575 | 10,033 | |
Ross Stores Inc. | 103,292 | 9,736 | |
Target Corp. | 122,300 | 9,284 | |
* | CarMax Inc. | 131,243 | 8,738 |
* | Dollar Tree Inc. | 123,738 | 8,709 |
Royal Caribbean | |||
Cruises Ltd. | 104,800 | 8,639 | |
Estee Lauder Cos. Inc. | |||
Class A | 112,300 | 8,557 | |
* | Liberty Interactive Corp. | ||
Class A | 274,726 | 8,082 | |
Advance Auto Parts Inc. | 50,702 | 8,076 | |
* | Bed Bath & Beyond Inc. | 105,015 | 7,999 |
Market | |||
Value• | |||
Shares | ($000) | ||
Starwood Hotels & Resorts | |||
Worldwide Inc. | 95,418 | 7,736 | |
TJX Cos. Inc. | 103,996 | 7,132 | |
BorgWarner Inc. | 123,400 | 6,781 | |
CBS Corp. Class B | 117,780 | 6,518 | |
Hanesbrands Inc. | 57,986 | 6,472 | |
Gap Inc. | 148,547 | 6,255 | |
PVH Corp. | 48,631 | 6,233 | |
* | Mohawk Industries Inc. | 40,100 | 6,230 |
* | Discovery | ||
Communications Inc. | 182,374 | 6,150 | |
Interpublic Group | |||
of Cos. Inc. | 294,400 | 6,115 | |
* | Sirius XM Holdings Inc. | 1,746,425 | 6,112 |
Expedia Inc. | 68,906 | 5,882 | |
Las Vegas Sands Corp. | 100,440 | 5,842 | |
Ralph Lauren Corp. Class A | 31,300 | 5,796 | |
* | WABCO Holdings Inc. | 53,541 | 5,610 |
DR Horton Inc. | 218,469 | 5,525 | |
* | MGM Resorts International | 252,723 | 5,403 |
PetSmart Inc. | 65,000 | 5,284 | |
* | Dollar General Corp. | 73,900 | 5,225 |
* | Hertz Global Holdings Inc. | 208,787 | 5,207 |
Brinker International Inc. | 88,250 | 5,179 | |
Harley-Davidson Inc. | 78,500 | 5,174 | |
* | NVR Inc. | 4,050 | 5,165 |
Lennar Corp. Class A | 114,153 | 5,115 | |
Dillard’s Inc. Class A | 40,246 | 5,038 | |
* | TripAdvisor Inc. | 67,256 | 5,021 |
PulteGroup Inc. | 233,330 | 5,007 | |
* | Apollo Education | ||
Group Inc. | 146,229 | 4,988 | |
Harman International | |||
Industries Inc. | 43,600 | 4,653 | |
* | Tempur Sealy | ||
International Inc. | 83,350 | 4,577 | |
* | Toll Brothers Inc. | 132,160 | 4,529 |
Darden Restaurants Inc. | 77,080 | 4,519 | |
Scripps Networks | |||
Interactive Inc. Class A | 59,478 | 4,477 |
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Tax-Managed Capital Appreciation Fund
Market | |||
Value• | |||
Shares | ($000) | ||
* | Hilton Worldwide | ||
Holdings Inc. | 171,500 | 4,474 | |
Hasbro Inc. | 77,100 | 4,240 | |
Kohl’s Corp. | 68,850 | 4,203 | |
* | Tesla Motors Inc. | 17,950 | 3,992 |
Foot Locker Inc. | 70,600 | 3,966 | |
Omnicom Group Inc. | 50,600 | 3,920 | |
* | Hyatt Hotels Corp. Class A | 64,383 | 3,876 |
Gentex Corp. | 107,252 | 3,875 | |
Macy’s Inc. | 56,800 | 3,735 | |
* | Netflix Inc. | 10,930 | 3,734 |
* | AutoNation Inc. | 60,925 | 3,680 |
CST Brands Inc. | 74,475 | 3,248 | |
John Wiley & Sons Inc. | |||
Class A | 53,700 | 3,181 | |
Lamar Advertising Co. | |||
Class A | 59,186 | 3,175 | |
Goodyear Tire | |||
& Rubber Co. | 111,074 | 3,173 | |
* | Liberty Ventures Class A | 78,415 | 2,958 |
* | TRW Automotive | ||
Holdings Corp. | 27,253 | 2,803 | |
* | Under Armour Inc. Class A | 40,000 | 2,716 |
* | News Corp. Class A | 168,182 | 2,639 |
Nordstrom Inc. | 32,300 | 2,564 | |
KAR Auction Services Inc. | 71,953 | 2,493 | |
Aaron’s Inc. | 79,342 | 2,425 | |
* | Liberty Media Corp. | 64,154 | 2,247 |
Comcast Corp. | 26,219 | 1,509 | |
* | Michael Kors Holdings Ltd. | 17,000 | 1,277 |
* | Norwegian Cruise Line | ||
Holdings Ltd. | 27,300 | 1,277 | |
* | Madison Square Garden Co. | ||
Class A | 16,186 | 1,218 | |
* | Taylor Morrison Home Corp. | ||
Class A | 64,400 | 1,217 | |
* | Liberty Media Corp. Class A | 32,077 | 1,131 |
* | Starz | 36,277 | 1,077 |
* | AMC Networks Inc. Class A | 16,186 | 1,032 |
* | Liberty TripAdvisor | ||
Holdings Inc. Class A | 37,054 | 997 | |
Coach Inc. | 25,900 | 973 | |
* | Liberty Broadband Corp. | 16,038 | 799 |
GameStop Corp. Class A | 20,430 | 691 | |
* | Avis Budget Group Inc. | 10,400 | 690 |
Abercrombie & Fitch Co. | 23,300 | 667 | |
* | Outfront Media Inc. | 23,411 | 628 |
Best Buy Co. Inc. | 15,759 | 614 | |
* | Sears Holdings Corp. | 15,237 | 503 |
Chico’s FAS Inc. | 28,340 | 459 | |
* | Liberty Broadband Corp. | ||
Class A | 8,019 | 402 | |
Mattel Inc. | 12,557 | 389 | |
Cablevision Systems Corp. | |||
Class A | 14,944 | 308 |
Market | |||
Value• | |||
Shares | ($000) | ||
Lennar Corp. Class B | 8,300 | 300 | |
Wynn Resorts Ltd. | 2,000 | 298 | |
Carnival Corp. | 5,800 | 263 | |
* | Murphy USA Inc. | 3,300 | 227 |
* | Ulta Salon Cosmetics | ||
& Fragrance Inc. | 1,700 | 217 | |
* | Chipotle Mexican Grill Inc. | ||
Class A | 300 | 205 | |
* | Sally Beauty Holdings Inc. | 6,400 | 197 |
* | Jarden Corp. | 4,050 | 194 |
* | DISH Network Corp. Class A | 2,600 | 190 |
* | LKQ Corp. | 6,700 | 188 |
* | Charter Communications | ||
Inc. Class A | 1,100 | 183 | |
* | Live Nation | ||
Entertainment Inc. | 6,700 | 175 | |
* | Panera Bread Co. Class A | 1,000 | 175 |
Staples Inc. | 9,495 | 172 | |
* | Visteon Corp. | 1,600 | 171 |
* | Deckers Outdoor Corp. | 1,800 | 164 |
* | Urban Outfitters Inc. | 4,600 | 162 |
* | Fossil Group Inc. | 1,400 | 155 |
* | DreamWorks Animation | ||
SKG Inc. Class A | 6,900 | 154 | |
* | HomeAway Inc. | 4,800 | 143 |
Big Lots Inc. | 3,500 | 140 | |
* | Cabela’s Inc. | 2,600 | 137 |
Nielsen NV | 3,000 | 134 | |
Fortune Brands Home | |||
& Security Inc. | 2,546 | 115 | |
* | Discovery | ||
Communications Inc. | |||
Class A | 2,100 | 72 | |
* | Liberty Broadband Rights | ||
Expire 1/09/2015 | 4,810 | 46 | |
Nu Skin Enterprises Inc. | |||
Class A | 993 | 43 | |
International Game | |||
Technology | 400 | 7 | |
926,399 | |||
Consumer Staples (8.0%) | |||
Procter & Gamble Co. | 797,978 | 72,688 | |
Coca-Cola Co. | 1,145,800 | 48,376 | |
PepsiCo Inc. | 469,139 | 44,362 | |
CVS Health Corp. | 388,354 | 37,402 | |
Philip Morris | |||
International Inc. | 426,809 | 34,764 | |
* | Walgreens Boots | ||
Alliance Inc. | 302,300 | 23,035 | |
Altria Group Inc. | 408,523 | 20,128 | |
Colgate-Palmolive Co. | 258,600 | 17,892 | |
Mondelez International Inc. | |||
Class A | 468,465 | 17,017 | |
Kroger Co. | 221,700 | 14,235 | |
Archer-Daniels-Midland Co. | 243,273 | 12,650 |
73
Tax-Managed Capital Appreciation Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Keurig Green Mountain Inc. | 70,883 | 9,385 | |
* | Monster Beverage Corp. | 80,400 | 8,711 |
* | Constellation Brands Inc. | ||
Class A | 87,020 | 8,543 | |
Dr Pepper Snapple | |||
Group Inc. | 109,700 | 7,863 | |
Hershey Co. | 72,600 | 7,545 | |
Clorox Co. | 72,120 | 7,516 | |
Brown-Forman Corp. | |||
Class B | 79,247 | 6,961 | |
Tyson Foods Inc. Class A | 169,184 | 6,783 | |
Coca-Cola Enterprises Inc. | 153,000 | 6,766 | |
Kraft Foods Group Inc. | 106,194 | 6,654 | |
Church & Dwight Co. Inc. | 84,188 | 6,635 | |
Energizer Holdings Inc. | 45,169 | 5,807 | |
Safeway Inc. | 158,562 | 5,569 | |
Hormel Foods Corp. | 105,200 | 5,481 | |
Mead Johnson Nutrition Co. | 53,859 | 5,415 | |
Molson Coors Brewing Co. | |||
Class B | 71,900 | 5,358 | |
Kimberly-Clark Corp. | 45,440 | 5,250 | |
* | WhiteWave Foods Co. | ||
Class A | 149,340 | 5,225 | |
McCormick & Co. Inc. | 70,300 | 5,223 | |
JM Smucker Co. | 49,024 | 4,950 | |
General Mills Inc. | 88,800 | 4,736 | |
Ingredion Inc. | 54,900 | 4,658 | |
Campbell Soup Co. | 97,400 | 4,286 | |
Bunge Ltd. | 42,853 | 3,896 | |
* | Pilgrim’s Pride Corp. | 111,502 | 3,656 |
Whole Foods Market Inc. | 65,680 | 3,312 | |
Kellogg Co. | 22,800 | 1,492 | |
Sysco Corp. | 17,111 | 679 | |
ConAgra Foods Inc. | 11,200 | 406 | |
* | Hain Celestial Group Inc. | 3,400 | 198 |
* | Rite Aid Corp. | 23,400 | 176 |
* | Sprouts Farmers Market Inc. | 4,800 | 163 |
501,847 | |||
Energy (7.7%) | |||
Exxon Mobil Corp. | 1,288,164 | 119,091 | |
Chevron Corp. | 569,538 | 63,891 | |
Schlumberger Ltd. | 324,236 | 27,693 | |
ConocoPhillips | 260,332 | 17,978 | |
EOG Resources Inc. | 193,400 | 17,806 | |
Occidental Petroleum Corp. | 190,339 | 15,343 | |
Anadarko Petroleum Corp. | 177,823 | 14,670 | |
Halliburton Co. | 296,700 | 11,669 | |
Phillips 66 | 157,963 | 11,326 | |
Baker Hughes Inc. | 173,271 | 9,715 | |
National Oilwell Varco Inc. | 146,541 | 9,603 | |
Hess Corp. | 123,200 | 9,095 | |
Pioneer Natural | |||
Resources Co. | 60,887 | 9,063 | |
Valero Energy Corp. | 182,480 | 9,033 | |
Kinder Morgan Inc. | 178,103 | 7,535 |
Market | |||
Value• | |||
Shares | ($000) | ||
Noble Energy Inc. | 147,000 | 6,972 | |
Cabot Oil & Gas Corp. | 229,340 | 6,791 | |
* | Dresser-Rand Group Inc. | 76,955 | 6,295 |
* | Cameron | ||
International Corp. | 122,202 | 6,104 | |
* | FMC Technologies Inc. | 128,900 | 6,038 |
EQT Corp. | 79,400 | 6,011 | |
Cimarex Energy Co. | 56,501 | 5,989 | |
Williams Cos. Inc. | 128,600 | 5,779 | |
* | Concho Resources Inc. | 56,600 | 5,646 |
Apache Corp. | 82,251 | 5,155 | |
Range Resources Corp. | 94,800 | 5,067 | |
* | Southwestern Energy Co. | 156,602 | 4,274 |
World Fuel Services Corp. | 90,147 | 4,231 | |
Marathon Petroleum Corp. | 46,450 | 4,193 | |
Helmerich & Payne Inc. | 57,980 | 3,909 | |
* | Newfield Exploration Co. | 129,201 | 3,504 |
QEP Resources Inc. | 164,726 | 3,331 | |
SM Energy Co. | 84,307 | 3,253 | |
* | Kosmos Energy Ltd. | 375,989 | 3,154 |
* | Continental Resources Inc. | 80,700 | 3,096 |
* | Cobalt International | ||
Energy Inc. | 343,444 | 3,053 | |
CONSOL Energy Inc. | 89,413 | 3,023 | |
Superior Energy | |||
Services Inc. | 142,983 | 2,881 | |
* | WPX Energy Inc. | 226,881 | 2,639 |
Marathon Oil Corp. | 92,900 | 2,628 | |
* | Ultra Petroleum Corp. | 198,901 | 2,617 |
* | Oil States International Inc. | 53,200 | 2,601 |
Patterson-UTI Energy Inc. | 135,089 | 2,241 | |
Tesoro Corp. | 26,500 | 1,970 | |
Rowan Cos. plc Class A | 80,600 | 1,880 | |
Diamond Offshore | |||
Drilling Inc. | 36,065 | 1,324 | |
Chesapeake Energy Corp. | 61,153 | 1,197 | |
* | NOW Inc. | 36,635 | 943 |
* | Atwood Oceanics Inc. | 25,900 | 735 |
* | Rice Energy Inc. | 33,200 | 696 |
Devon Energy Corp. | 7,942 | 486 | |
* | California Resources Corp. | 76,135 | 419 |
* | Cheniere Energy Inc. | 2,500 | 176 |
* | Dril-Quip Inc. | 1,500 | 115 |
* | Gulfport Energy Corp. | 2,700 | 113 |
* | Antero Resources Corp. | 2,600 | 105 |
* | EP Energy Corp. Class A | 7,600 | 79 |
* | Whiting Petroleum Corp. | 2,100 | 69 |
* | Laredo Petroleum Inc. | 5,500 | 57 |
* | Oasis Petroleum Inc. | 3,200 | 53 |
* | Seventy Seven Energy Inc. | 4,368 | 24 |
484,427 | |||
Financial Services (19.2%) | |||
* | Berkshire Hathaway Inc. | ||
Class B | 568,345 | 85,337 | |
Wells Fargo & Co. | 1,451,001 | 79,544 |
74
Tax-Managed Capital Appreciation Fund
Market | |||
Value• | |||
Shares | ($000) | ||
JPMorgan Chase & Co. | 1,111,121 | 69,534 | |
Citigroup Inc. | 959,700 | 51,929 | |
Bank of America Corp. | 2,614,750 | 46,778 | |
Visa Inc. Class A | 164,098 | 43,026 | |
MasterCard Inc. Class A | 350,450 | 30,195 | |
American Express Co. | 300,500 | 27,958 | |
American International | |||
Group Inc. | 492,413 | 27,580 | |
Goldman Sachs Group Inc. | 109,200 | 21,166 | |
US Bancorp | 401,300 | 18,038 | |
Simon Property Group Inc. | 98,448 | 17,928 | |
American Tower | |||
Corporation | 150,800 | 14,907 | |
Prudential Financial Inc. | 161,904 | 14,646 | |
Discover Financial | |||
Services | 202,200 | 13,242 | |
State Street Corp. | 164,978 | 12,951 | |
Charles Schwab Corp. | 397,500 | 12,000 | |
Ameriprise Financial Inc. | 87,960 | 11,633 | |
Crown Castle | |||
International Corp. | 138,623 | 10,910 | |
Travelers Cos. Inc. | 101,877 | 10,784 | |
Aflac Inc. | 172,500 | 10,538 | |
McGraw Hill Financial Inc. | 117,000 | 10,411 | |
Public Storage | 55,200 | 10,204 | |
SunTrust Banks Inc. | 235,290 | 9,859 | |
Capital One Financial Corp. | 117,800 | 9,724 | |
* | Fiserv Inc. | 133,700 | 9,489 |
Boston Properties Inc. | 71,800 | 9,240 | |
Franklin Resources Inc. | 166,200 | 9,202 | |
General Growth | |||
Properties Inc. | 298,643 | 8,401 | |
Equity Residential | 115,600 | 8,305 | |
Lincoln National Corp. | 143,986 | 8,304 | |
Intercontinental | |||
Exchange Inc. | 37,569 | 8,238 | |
Morgan Stanley | 211,400 | 8,202 | |
Host Hotels & Resorts Inc. | 341,972 | 8,129 | |
Fidelity National Information | |||
Services Inc. | 130,478 | 8,116 | |
T. Rowe Price Group Inc. | 92,978 | 7,983 | |
Fifth Third Bancorp | 368,920 | 7,517 | |
Weyerhaeuser Co. | 209,214 | 7,509 | |
Essex Property Trust Inc. | 35,848 | 7,406 | |
Progressive Corp. | 267,900 | 7,231 | |
* | CBRE Group Inc. Class A | 209,990 | 7,192 |
Allstate Corp. | 102,300 | 7,187 | |
Loews Corp. | 168,408 | 7,076 | |
SL Green Realty Corp. | 58,110 | 6,916 | |
KeyCorp | 486,169 | 6,758 | |
Moody’s Corp. | 70,100 | 6,716 | |
* | Affiliated Managers | ||
Group Inc. | 30,550 | 6,484 | |
MetLife Inc. | 118,542 | 6,412 | |
AvalonBay | |||
Communities Inc. | 38,375 | 6,270 |
Market | |||
Value• | |||
Shares | ($000) | ||
* | Markel Corp. | 9,176 | 6,266 |
CIT Group Inc. | 130,535 | 6,243 | |
* | E*TRADE Financial Corp. | 257,379 | 6,243 |
TD Ameritrade | |||
Holding Corp. | 174,400 | 6,240 | |
Aon plc | 65,800 | 6,240 | |
Global Payments Inc. | 75,417 | 6,088 | |
Jones Lang LaSalle Inc. | 40,177 | 6,024 | |
Federal Realty | |||
Investment Trust | 44,921 | 5,995 | |
Equifax Inc. | 74,000 | 5,984 | |
Principal Financial | |||
Group Inc. | 113,500 | 5,895 | |
Unum Group | 166,800 | 5,818 | |
M&T Bank Corp. | 46,286 | 5,814 | |
* | Arch Capital Group Ltd. | 95,300 | 5,632 |
PNC Financial Services | |||
Group Inc. | 61,188 | 5,582 | |
Torchmark Corp. | 102,975 | 5,578 | |
* | Alleghany Corp. | 11,959 | 5,543 |
NASDAQ OMX Group Inc. | 114,892 | 5,510 | |
* | Signature Bank | 41,700 | 5,252 |
East West Bancorp Inc. | 134,700 | 5,214 | |
* | Realogy Holdings Corp. | 116,791 | 5,196 |
MSCI Inc. Class A | 109,064 | 5,174 | |
BlackRock Inc. | 14,450 | 5,167 | |
Reinsurance Group of | |||
America Inc. Class A | 58,819 | 5,154 | |
Assurant Inc. | 75,300 | 5,153 | |
Raymond James | |||
Financial Inc. | 89,650 | 5,136 | |
* | Howard Hughes Corp. | 38,899 | 5,073 |
WR Berkley Corp. | 97,596 | 5,003 | |
CME Group Inc. | 55,950 | 4,960 | |
First Republic Bank | 95,157 | 4,960 | |
SEI Investments Co. | 123,770 | 4,956 | |
* | Popular Inc. | 140,844 | 4,796 |
Prologis Inc. | 109,525 | 4,713 | |
Zions Bancorporation | 164,384 | 4,687 | |
HCC Insurance | |||
Holdings Inc. | 87,200 | 4,667 | |
Bank of New York | |||
Mellon Corp. | 112,806 | 4,577 | |
Taubman Centers Inc. | 59,362 | 4,536 | |
* | Forest City Enterprises Inc. | ||
Class A | 212,191 | 4,520 | |
Equity LifeStyle | |||
Properties Inc. | 86,764 | 4,473 | |
Dun & Bradstreet Corp. | 36,200 | 4,379 | |
SLM Corp. | 426,482 | 4,346 | |
First Horizon National Corp. | 319,894 | 4,344 | |
White Mountains | |||
Insurance Group Ltd. | 6,830 | 4,304 | |
Plum Creek Timber Co. Inc. | 97,800 | 4,185 | |
TFS Financial Corp. | 272,520 | 4,056 |
75
Tax-Managed Capital Appreciation Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Apartment Investment | |||
& Management Co. | |||
Class A | 108,443 | 4,029 | |
Commerce Bancshares Inc. | 91,480 | 3,978 | |
DDR Corp. | 216,364 | 3,972 | |
American Homes 4 Rent | |||
Class A | 230,000 | 3,917 | |
Brown & Brown Inc. | 118,600 | 3,903 | |
Douglas Emmett Inc. | 137,173 | 3,896 | |
Post Properties Inc. | 63,600 | 3,738 | |
Brixmor Property Group Inc. | 150,000 | 3,726 | |
Hospitality Properties Trust | 119,270 | 3,697 | |
* | CoreLogic Inc. | 116,846 | 3,691 |
Washington Prime | |||
Group Inc. | 209,824 | 3,613 | |
Hanover Insurance | |||
Group Inc. | 49,600 | 3,537 | |
StanCorp Financial | |||
Group Inc. | 50,600 | 3,535 | |
Eaton Vance Corp. | 86,202 | 3,528 | |
Retail Properties | |||
of America Inc. | 209,357 | 3,494 | |
* | Alliance Data Systems Corp. | 12,200 | 3,490 |
Alexandria Real Estate | |||
Equities Inc. | 38,630 | 3,428 | |
Cullen/Frost Bankers Inc. | 47,600 | 3,362 | |
Chubb Corp. | 30,900 | 3,197 | |
Associated Banc-Corp | 170,670 | 3,180 | |
* | Genworth Financial Inc. | ||
Class A | 373,060 | 3,171 | |
Camden Property Trust | 42,400 | 3,131 | |
Navient Corp. | 131,845 | 2,849 | |
Lazard Ltd. Class A | 55,686 | 2,786 | |
Broadridge Financial | |||
Solutions Inc. | 58,725 | 2,712 | |
CNA Financial Corp. | 69,500 | 2,690 | |
Hartford Financial | |||
Services Group Inc. | 64,184 | 2,676 | |
Leucadia National Corp. | 116,219 | 2,606 | |
Total System Services Inc. | 74,759 | 2,539 | |
Legg Mason Inc. | 47,500 | 2,535 | |
ACE Ltd. | 20,902 | 2,401 | |
BOK Financial Corp. | 38,571 | 2,316 | |
* | MBIA Inc. | 242,643 | 2,315 |
BB&T Corp. | 53,000 | 2,061 | |
American Financial | |||
Group Inc. | 32,200 | 1,955 | |
Jack Henry | |||
& Associates Inc. | 31,457 | 1,955 | |
Digital Realty Trust Inc. | 28,440 | 1,886 | |
Interactive Brokers | |||
Group Inc. | 51,335 | 1,497 | |
* | Nationstar Mortgage | ||
Holdings Inc. | 51,509 | 1,452 | |
Northern Trust Corp. | 19,050 | 1,284 | |
Bank of Hawaii Corp. | 20,100 | 1,192 |
Market | |||
Value• | |||
Shares | ($000) | ||
FNF Group | 25,361 | 874 | |
People’s United | |||
Financial Inc. | 42,614 | 647 | |
Santander Consumer | |||
USA Holdings Inc. | 25,100 | 492 | |
Invesco Ltd. | 12,010 | 475 | |
Extra Space Storage Inc. | 6,100 | 358 | |
Western Union Co. | 11,625 | 208 | |
* | FleetCor Technologies Inc. | 1,200 | 178 |
* | Vantiv Inc. Class A | 4,700 | 159 |
* | SVB Financial Group | 1,300 | 151 |
* | Ally Financial Inc. | 6,000 | 142 |
* | Zillow Inc. Class A | 1,200 | 127 |
1,209,512 | |||
Health Care (13.8%) | |||
Johnson & Johnson | 816,098 | 85,339 | |
Pfizer Inc. | 1,628,484 | 50,727 | |
* | Gilead Sciences Inc. | 493,400 | 46,508 |
Merck & Co. Inc. | 761,068 | 43,221 | |
Amgen Inc. | 241,637 | 38,490 | |
UnitedHealth Group Inc. | 328,662 | 33,225 | |
* | Celgene Corp. | 279,038 | 31,213 |
* | Biogen Idec Inc. | 80,941 | 27,475 |
AbbVie Inc. | 407,600 | 26,673 | |
* | Express Scripts | ||
Holding Co. | 273,395 | 23,148 | |
Allergan Inc. | 108,730 | 23,115 | |
* | Actavis plc | 89,768 | 23,107 |
Bristol-Myers Squibb Co. | 341,480 | 20,158 | |
Medtronic Inc. | 263,600 | 19,032 | |
Abbott Laboratories | 407,600 | 18,350 | |
Thermo Fisher | |||
Scientific Inc. | 144,556 | 18,111 | |
McKesson Corp. | 73,824 | 15,324 | |
* | Anthem Inc. | 116,816 | 14,680 |
* | Alexion | ||
Pharmaceuticals Inc. | 76,585 | 14,171 | |
Eli Lilly & Co. | 193,109 | 13,323 | |
Aetna Inc. | 144,422 | 12,829 | |
* | Vertex | ||
Pharmaceuticals Inc. | 103,788 | 12,330 | |
Cigna Corp. | 118,300 | 12,174 | |
Cardinal Health Inc. | 145,512 | 11,747 | |
Becton Dickinson and Co. | 80,600 | 11,216 | |
Humana Inc. | 72,800 | 10,456 | |
AmerisourceBergen Corp. | |||
Class A | 115,100 | 10,377 | |
* | Mylan Inc. | 183,570 | 10,348 |
Stryker Corp. | 109,200 | 10,301 | |
Zoetis Inc. | 228,682 | 9,840 | |
Baxter International Inc. | 127,341 | 9,333 | |
Zimmer Holdings Inc. | 81,170 | 9,206 | |
Perrigo Co. plc | 54,144 | 9,051 | |
St. Jude Medical Inc. | 131,832 | 8,573 | |
* | Henry Schein Inc. | 53,700 | 7,311 |
76
Tax-Managed Capital Appreciation Fund
Market | |||
Value• | |||
Shares | ($000) | ||
* | Regeneron | ||
Pharmaceuticals Inc. | 17,800 | 7,303 | |
* | Hospira Inc. | 118,240 | 7,242 |
* | Incyte Corp. | 96,900 | 7,084 |
Universal Health | |||
Services Inc. Class B | 60,400 | 6,720 | |
* | Endo International plc | 92,047 | 6,638 |
Agilent Technologies Inc. | 161,606 | 6,616 | |
* | CareFusion Corp. | 101,296 | 6,011 |
* | Laboratory Corp. | ||
of America Holdings | 53,400 | 5,762 | |
Cooper Cos. Inc. | 33,500 | 5,430 | |
DENTSPLY International Inc. | 95,800 | 5,103 | |
Quest Diagnostics Inc. | 72,800 | 4,882 | |
CR Bard Inc. | 29,300 | 4,882 | |
* | QIAGEN NV | 205,602 | 4,823 |
PerkinElmer Inc. | 109,504 | 4,789 | |
* | Myriad Genetics Inc. | 127,700 | 4,350 |
Bio-Techne Corp. | 46,700 | 4,315 | |
Teleflex Inc. | 37,000 | 4,248 | |
Covidien plc | 41,500 | 4,245 | |
* | Health Net Inc. | 78,100 | 4,181 |
Patterson Cos. Inc. | 73,530 | 3,537 | |
Omnicare Inc. | 40,900 | 2,983 | |
* | Bruker Corp. | 139,644 | 2,740 |
* | Varian Medical | ||
Systems Inc. | 30,000 | 2,595 | |
* | Boston Scientific Corp. | 111,650 | 1,479 |
* | Medivation Inc. | 14,754 | 1,470 |
* | Mallinckrodt plc | 6,525 | 646 |
* | Intuitive Surgical Inc. | 1,030 | 545 |
* | DaVita HealthCare | ||
Partners Inc. | 6,700 | 508 | |
* | Brookdale Senior Living Inc. | 8,400 | 308 |
* | Halyard Health Inc. | 5,680 | 258 |
* | United Therapeutics Corp. | 1,900 | 246 |
* | Alnylam Pharmaceuticals Inc. | 2,500 | 243 |
* | BioMarin Pharmaceutical Inc. | 2,600 | 235 |
* | Pharmacyclics Inc. | 1,900 | 232 |
* | Cubist Pharmaceuticals Inc. | 2,300 | 232 |
* | Edwards Lifesciences Corp. | 1,800 | 229 |
* | Centene Corp. | 2,200 | 229 |
* | HCA Holdings Inc. | 3,000 | 220 |
* | VCA Inc. | 4,500 | 220 |
* | Cerner Corp. | 3,100 | 201 |
* | Covance Inc. | 1,900 | 197 |
* | Charles River Laboratories | ||
International Inc. | 3,100 | 197 | |
* | Alkermes plc | 3,300 | 193 |
* | athenahealth Inc. | 1,300 | 189 |
* | Community Health | ||
Systems Inc. | 3,500 | 189 | |
* | Premier Inc. Class A | 5,600 | 188 |
* | Catamaran Corp. | 3,600 | 186 |
* | MEDNAX Inc. | 2,800 | 185 |
* | Illumina Inc. | 1,000 | 185 |
Market | |||
Value• | |||
Shares | ($000) | ||
* | Quintiles Transnational | ||
Holdings Inc. | 3,100 | 183 | |
* | LifePoint Hospitals Inc. | 2,500 | 180 |
* | IDEXX Laboratories Inc. | 1,200 | 178 |
* | Bio-Rad Laboratories Inc. | ||
Class A | 1,400 | 169 | |
* | Tenet Healthcare Corp. | 3,300 | 167 |
* | Sirona Dental Systems Inc. | 1,900 | 166 |
* | Veeva Systems Inc. Class A | 6,200 | 164 |
* | Jazz Pharmaceuticals plc | 1,000 | 164 |
* | Hologic Inc. | 6,100 | 163 |
* | Align Technology Inc. | 2,900 | 162 |
* | Alere Inc. | 4,000 | 152 |
* | Envision Healthcare | ||
Holdings Inc. | 4,300 | 149 | |
* | Salix Pharmaceuticals Ltd. | 1,200 | 138 |
* | Seattle Genetics Inc. | 4,200 | 135 |
868,441 | |||
Materials & Processing (3.9%) | |||
Precision Castparts Corp. | 55,700 | 13,417 | |
Praxair Inc. | 103,500 | 13,409 | |
EI du Pont de | |||
Nemours & Co. | 160,300 | 11,853 | |
Ecolab Inc. | 106,262 | 11,106 | |
Sherwin-Williams Co. | 40,131 | 10,556 | |
LyondellBasell Industries | |||
NV Class A | 132,900 | 10,551 | |
Monsanto Co. | 87,134 | 10,410 | |
Sigma-Aldrich Corp. | 65,500 | 8,991 | |
Dow Chemical Co. | 191,940 | 8,754 | |
CF Industries Holdings Inc. | 31,660 | 8,629 | |
Ball Corp. | 100,000 | 6,817 | |
Nucor Corp. | 129,600 | 6,357 | |
Fastenal Co. | 126,000 | 5,993 | |
Vulcan Materials Co. | 90,417 | 5,943 | |
Celanese Corp. Class A | 99,111 | 5,943 | |
Valspar Corp. | 65,700 | 5,682 | |
* | Crown Holdings Inc. | 111,000 | 5,650 |
* | WR Grace & Co. | 57,689 | 5,503 |
FMC Corp. | 94,700 | 5,401 | |
Sealed Air Corp. | 126,872 | 5,383 | |
Airgas Inc. | 43,400 | 4,999 | |
Rockwood Holdings Inc. | 62,760 | 4,945 | |
Martin Marietta | |||
Materials Inc. | 43,900 | 4,843 | |
* | Owens-Illinois Inc. | 173,080 | 4,671 |
Cytec Industries Inc. | 94,800 | 4,377 | |
United States Steel Corp. | 142,700 | 3,816 | |
Albemarle Corp. | 63,000 | 3,788 | |
Owens Corning | 104,987 | 3,760 | |
Westlake Chemical Corp. | 59,108 | 3,611 | |
Royal Gold Inc. | 55,857 | 3,502 | |
Newmont Mining Corp. | 180,553 | 3,412 | |
Lennox International Inc. | 35,090 | 3,336 | |
Valmont Industries Inc. | 25,537 | 3,243 |
77
Tax-Managed Capital Appreciation Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Scotts Miracle-Gro Co. | |||
Class A | 51,099 | 3,184 | |
Mosaic Co. | 68,100 | 3,109 | |
Reliance Steel | |||
& Aluminum Co. | 46,300 | 2,837 | |
Eastman Chemical Co. | 35,507 | 2,694 | |
Tahoe Resources Inc. | 173,304 | 2,404 | |
Packaging Corp. of America | 26,600 | 2,076 | |
* | USG Corp. | 71,300 | 1,996 |
International Paper Co. | 35,900 | 1,923 | |
Allegheny Technologies Inc. | 50,100 | 1,742 | |
Freeport-McMoRan Inc. | 73,200 | 1,710 | |
* | Platform Specialty | ||
Products Corp. | 68,089 | 1,581 | |
Southern Copper Corp. | 39,524 | 1,115 | |
Air Products | |||
& Chemicals Inc. | 5,700 | 822 | |
* | Hexcel Corp. | 3,700 | 153 |
* | Armstrong World | ||
Industries Inc. | 2,700 | 138 | |
* | MRC Global Inc. | 3,181 | 48 |
* | Veritiv Corp. | 686 | 36 |
246,219 | |||
Other (0.0%)1 | |||
* | Amec Foster Wheeler plc | 3,822 | 51 |
Producer Durables (11.2%) | |||
General Electric Co. | 2,726,769 | 68,905 | |
United Technologies Corp. | 280,100 | 32,212 | |
Union Pacific Corp. | 262,428 | 31,263 | |
Boeing Co. | 236,770 | 30,775 | |
3M Co. | 154,200 | 25,338 | |
FedEx Corp. | 116,000 | 20,145 | |
Danaher Corp. | 219,500 | 18,813 | |
Delta Air Lines Inc. | 351,400 | 17,285 | |
General Dynamics Corp. | 121,400 | 16,707 | |
United Parcel Service Inc. | |||
Class B | 147,300 | 16,375 | |
CSX Corp. | 389,800 | 14,122 | |
Honeywell | |||
International Inc. | 140,800 | 14,069 | |
Southwest Airlines Co. | 317,337 | 13,430 | |
Illinois Tool Works Inc. | 141,200 | 13,372 | |
Norfolk Southern Corp. | 121,650 | 13,334 | |
Caterpillar Inc. | 128,820 | 11,791 | |
* | United Continental | ||
Holdings Inc. | 173,800 | 11,625 | |
Cummins Inc. | 75,400 | 10,870 | |
Northrop Grumman Corp. | 72,268 | 10,652 | |
PACCAR Inc. | 142,910 | 9,719 | |
Emerson Electric Co. | 142,400 | 8,790 | |
Raytheon Co. | 80,915 | 8,753 | |
Parker-Hannifin Corp. | 67,500 | 8,704 | |
Accenture plc Class A | 97,213 | 8,682 | |
Xerox Corp. | 577,604 | 8,006 | |
Roper Industries Inc. | 49,700 | 7,771 |
Market | |||
Value• | |||
Shares | ($000) | ||
Deere & Co. | 82,916 | 7,336 | |
Waste Management Inc. | 140,297 | 7,200 | |
Pall Corp. | 69,300 | 7,014 | |
Textron Inc. | 165,420 | 6,966 | |
WW Grainger Inc. | 27,000 | 6,882 | |
L-3 Communications | |||
Holdings Inc. | 54,000 | 6,815 | |
AMETEK Inc. | 127,475 | 6,709 | |
* | Mettler-Toledo | ||
International Inc. | 21,600 | 6,533 | |
* | Stericycle Inc. | 49,808 | 6,529 |
* | Verisk Analytics Inc. | ||
Class A | 99,105 | 6,348 | |
Rockwell Collins Inc. | 73,700 | 6,226 | |
Wabtec Corp. | 71,600 | 6,221 | |
Lockheed Martin Corp. | 32,030 | 6,168 | |
* | Waters Corp. | 53,150 | 5,991 |
Expeditors International | |||
of Washington Inc. | 133,861 | 5,972 | |
Huntington Ingalls | |||
Industries Inc. | 52,000 | 5,848 | |
JB Hunt Transport | |||
Services Inc. | 68,896 | 5,805 | |
IDEX Corp. | 71,845 | 5,592 | |
Cintas Corp. | 70,766 | 5,551 | |
Flowserve Corp. | 87,550 | 5,238 | |
Robert Half International Inc. | 87,500 | 5,108 | |
Carlisle Cos. Inc. | 56,500 | 5,099 | |
Fluor Corp. | 81,200 | 4,923 | |
FLIR Systems Inc. | 141,500 | 4,572 | |
* | Quanta Services Inc. | 156,048 | 4,430 |
* | Jacobs Engineering | ||
Group Inc. | 98,466 | 4,400 | |
Landstar System Inc. | 59,989 | 4,351 | |
Toro Co. | 66,100 | 4,218 | |
TransDigm Group Inc. | 21,334 | 4,189 | |
* | Zebra Technologies Corp. | 53,557 | 4,146 |
* | HD Supply Holdings Inc. | 137,450 | 4,053 |
Donaldson Co. Inc. | 103,200 | 3,987 | |
Oshkosh Corp. | 80,757 | 3,929 | |
Automatic Data | |||
Processing Inc. | 47,100 | 3,927 | |
* | AECOM Technology Corp. | 128,801 | 3,912 |
Alliant Techsystems Inc. | 33,100 | 3,848 | |
Towers Watson | |||
& Co. Class A | 33,200 | 3,757 | |
ManpowerGroup Inc. | 54,600 | 3,722 | |
MSC Industrial | |||
Direct Co. Inc. Class A | 41,700 | 3,388 | |
Xylem Inc. | 87,100 | 3,316 | |
* | Copart Inc. | 88,600 | 3,233 |
SPX Corp. | 37,400 | 3,213 | |
Terex Corp. | 99,066 | 2,762 | |
* | Keysight Technologies Inc. | 78,303 | 2,644 |
Stanley Black & Decker Inc. | 26,745 | 2,570 | |
Joy Global Inc. | 52,500 | 2,442 |
78
Tax-Managed Capital Appreciation Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Allison Transmission | |||
Holdings Inc. | 68,285 | 2,315 | |
Graco Inc. | 27,658 | 2,218 | |
Lexmark International Inc. | |||
Class A | 50,300 | 2,076 | |
Eaton Corp. plc | 29,894 | 2,032 | |
Ryder System Inc. | 20,932 | 1,944 | |
ITT Corp. | 43,550 | 1,762 | |
Exelis Inc. | 87,100 | 1,527 | |
Manitowoc Co. Inc. | 62,200 | 1,375 | |
* | Navistar International Corp. | 36,334 | 1,216 |
Iron Mountain Inc. | 28,895 | 1,117 | |
American Airlines Group Inc. | 18,700 | 1,003 | |
Republic Services Inc. | |||
Class A | 19,512 | 785 | |
AGCO Corp. | 10,600 | 479 | |
ADT Corp. | 12,650 | 458 | |
KBR Inc. | 26,449 | 448 | |
Pentair plc | 6,070 | 403 | |
Babcock & Wilcox Co. | 10,920 | 331 | |
* | Vectrus Inc. | 9,938 | 272 |
* | Old Dominion Freight | ||
Line Inc. | 2,500 | 194 | |
* | Spirit AeroSystems | ||
Holdings Inc. Class A | 4,500 | 194 | |
* | CoStar Group Inc. | 1,000 | 184 |
* | Spirit Airlines Inc. | 2,400 | 181 |
* | Genpact Ltd. | 9,100 | 172 |
CH Robinson Worldwide Inc. | 2,249 | 168 | |
* | United Rentals Inc. | 1,500 | 153 |
* | WESCO International Inc. | 1,700 | 130 |
* | Genesee & Wyoming Inc. | ||
Class A | 1,400 | 126 | |
* | IHS Inc. Class A | 1,100 | 125 |
* | B/E Aerospace Inc. | 1,700 | 99 |
* | Middleby Corp. | 800 | 79 |
* | KLX Inc. | 850 | 35 |
702,192 | |||
Technology (16.7%) | |||
Apple Inc. | 1,821,360 | 201,042 | |
Microsoft Corp. | 2,288,040 | 106,279 | |
* | Facebook Inc. Class A | 637,517 | 49,739 |
International Business | |||
Machines Corp. | 300,858 | 48,270 | |
* | Google Inc. Class C | 90,768 | 47,780 |
Oracle Corp. | 1,060,834 | 47,706 | |
* | Google Inc. Class A | 89,658 | 47,578 |
Intel Corp. | 1,266,085 | 45,946 | |
Cisco Systems Inc. | 1,395,220 | 38,808 | |
QUALCOMM Inc. | 472,620 | 35,130 | |
EMC Corp. | 731,900 | 21,767 | |
Texas Instruments Inc. | 389,800 | 20,841 | |
* | Yahoo! Inc. | 380,920 | 19,240 |
Hewlett-Packard Co. | 365,623 | 14,672 | |
* | Adobe Systems Inc. | 199,900 | 14,533 |
* | Micron Technology Inc. | 410,119 | 14,358 |
Market | |||
Value• | |||
Shares | ($000) | ||
* | Cognizant Technology | ||
Solutions Corp. Class A | 250,394 | 13,186 | |
Intuit Inc. | 126,660 | 11,677 | |
Broadcom Corp. Class A | 255,750 | 11,082 | |
Corning Inc. | 478,200 | 10,965 | |
Western Digital Corp. | 98,400 | 10,893 | |
* | salesforce.com Inc. | 182,291 | 10,812 |
Amphenol Corp. Class A | 159,600 | 8,588 | |
Applied Materials Inc. | 335,600 | 8,363 | |
Symantec Corp. | 316,351 | 8,116 | |
* | SBA Communications | ||
Corp. Class A | 71,003 | 7,864 | |
* | Autodesk Inc. | 129,388 | 7,771 |
Lam Research Corp. | 96,945 | 7,692 | |
NetApp Inc. | 181,663 | 7,530 | |
NVIDIA Corp. | 329,244 | 6,601 | |
Analog Devices Inc. | 118,166 | 6,561 | |
Juniper Networks Inc. | 289,429 | 6,460 | |
KLA-Tencor Corp. | 90,600 | 6,371 | |
Brocade Communications | |||
Systems Inc. | 532,900 | 6,310 | |
Altera Corp. | 164,935 | 6,093 | |
* | Citrix Systems Inc. | 91,756 | 5,854 |
Linear Technology Corp. | 124,200 | 5,663 | |
* | VeriFone Systems Inc. | 145,152 | 5,400 |
* | Arrow Electronics Inc. | 89,700 | 5,193 |
Computer Sciences Corp. | 78,900 | 4,975 | |
* | Synopsys Inc. | 113,190 | 4,920 |
* | Cadence Design | ||
Systems Inc. | 254,660 | 4,831 | |
Avnet Inc. | 108,600 | 4,672 | |
Motorola Solutions Inc. | 69,204 | 4,642 | |
* | AOL Inc. | 96,440 | 4,453 |
Teradyne Inc. | 215,545 | 4,266 | |
* | Ingram Micro Inc. | 148,402 | 4,102 |
DST Systems Inc. | 42,800 | 4,030 | |
* | Tech Data Corp. | 62,310 | 3,940 |
Activision Blizzard Inc. | 194,800 | 3,925 | |
CA Inc. | 113,266 | 3,449 | |
* | Teradata Corp. | 78,564 | 3,432 |
Solera Holdings Inc. | 63,396 | 3,245 | |
* | Rovi Corp. | 141,500 | 3,196 |
* | FireEye Inc. | 97,800 | 3,088 |
Xilinx Inc. | 71,336 | 3,088 | |
* | NCR Corp. | 99,574 | 2,902 |
* | Zynga Inc. Class A | 950,300 | 2,528 |
* | Atmel Corp. | 265,500 | 2,229 |
IAC/InterActiveCorp | 24,515 | 1,490 | |
Microchip Technology Inc. | 31,400 | 1,416 | |
* | SunEdison Inc. | 38,500 | 751 |
CDK Global Inc. | 15,700 | 640 | |
* | VeriSign Inc. | 10,305 | 587 |
Amdocs Ltd. | 12,000 | 560 | |
Skyworks Solutions Inc. | 5,200 | 378 | |
Harris Corp. | 4,300 | 309 | |
* | Palo Alto Networks Inc. | 2,000 | 245 |
79
Tax-Managed Capital Appreciation Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Avago Technologies Ltd. | |||
Class A | 2,400 | 241 | |
* | Electronic Arts Inc. | 4,900 | 230 |
* | LinkedIn Corp. Class A | 1,000 | 230 |
* | NetSuite Inc. | 2,100 | 229 |
* | SolarWinds Inc. | 4,500 | 224 |
* | Fortinet Inc. | 7,300 | 224 |
* | Red Hat Inc. | 3,200 | 221 |
* | Tableau Software Inc. | ||
Class A | 2,500 | 212 | |
* | Rackspace Hosting Inc. | 4,400 | 206 |
* | Groupon Inc. Class A | 24,100 | 199 |
* | ServiceNow Inc. | 2,900 | 197 |
* | Splunk Inc. | 3,300 | 194 |
* | Gartner Inc. | 2,300 | 194 |
* | ANSYS Inc. | 2,300 | 189 |
Equinix Inc. | 818 | 185 | |
* | Informatica Corp. | 4,800 | 183 |
* | F5 Networks Inc. | 1,400 | 183 |
* | ON Semiconductor Corp. | 17,500 | 177 |
* | JDS Uniphase Corp. | 12,900 | 177 |
* | IPG Photonics Corp. | 2,300 | 172 |
* | PTC Inc. | 4,700 | 172 |
* | IMS Health Holdings Inc. | 6,700 | 172 |
* | Akamai Technologies Inc. | 2,700 | 170 |
* | Freescale | ||
Semiconductor Ltd. | 6,700 | 169 | |
Sabre Corp. | 8,100 | 164 | |
* | Workday Inc. Class A | 2,000 | 163 |
Dolby Laboratories Inc. | |||
Class A | 3,700 | 160 | |
* | Riverbed Technology Inc. | 7,800 | 159 |
* | Twitter Inc. | 4,400 | 158 |
* | VMware Inc. Class A | 1,900 | 157 |
* | EchoStar Corp. Class A | 2,900 | 152 |
* | CommScope | ||
Holding Co. Inc. | 6,500 | 148 | |
* | ARRIS Group Inc. | 4,700 | 142 |
* | Knowles Corp. | 1,550 | 36 |
* | Advanced Micro | ||
Devices Inc. | 5,300 | 14 | |
1,047,226 | |||
Utilities (4.8%) | |||
Verizon | |||
Communications Inc. | 1,054,404 | 49,325 | |
AT&T Inc. | 1,292,704 | 43,422 | |
NextEra Energy Inc. | 162,407 | 17,262 | |
Sempra Energy | 102,036 | 11,363 | |
Dominion Resources Inc. | 124,550 | 9,578 | |
Duke Energy Corp. | 111,730 | 9,334 | |
Edison International | 140,100 | 9,174 | |
* | Level 3 | ||
Communications Inc. | 179,470 | 8,862 | |
Northeast Utilities | 153,144 | 8,196 |
Market | |||
Value• | |||
Shares | ($000) | ||
PG&E Corp. | 145,600 | 7,752 | |
NiSource Inc. | 171,898 | 7,292 | |
Wisconsin Energy Corp. | 128,884 | 6,797 | |
AES Corp. | 460,081 | 6,335 | |
Southern Co. | 124,900 | 6,134 | |
* | Calpine Corp. | 267,480 | 5,919 |
NRG Energy Inc. | 219,506 | 5,916 | |
American Water | |||
Works Co. Inc. | 108,408 | 5,778 | |
CMS Energy Corp. | 164,986 | 5,733 | |
ITC Holdings Corp. | 134,079 | 5,421 | |
UGI Corp. | 137,359 | 5,217 | |
CenterPoint Energy Inc. | 217,600 | 5,098 | |
OGE Energy Corp. | 141,200 | 5,010 | |
National Fuel Gas Co. | 70,867 | 4,927 | |
Aqua America Inc. | 183,828 | 4,908 | |
SCANA Corp. | 80,500 | 4,862 | |
Integrys Energy Group Inc. | 61,481 | 4,786 | |
Energen Corp. | 68,300 | 4,355 | |
* | T-Mobile US Inc. | 137,917 | 3,715 |
American Electric | |||
Power Co. Inc. | 60,600 | 3,680 | |
MDU Resources Group Inc. | 156,150 | 3,670 | |
Telephone & Data | |||
Systems Inc. | 132,156 | 3,337 | |
Exelon Corp. | 79,200 | 2,937 | |
Questar Corp. | 115,800 | 2,927 | |
Consolidated Edison Inc. | 44,100 | 2,911 | |
* | United States Cellular Corp. | 67,100 | 2,673 |
* | Sprint Corp. | 572,097 | 2,374 |
CenturyLink Inc. | 56,364 | 2,231 | |
Entergy Corp. | 20,400 | 1,785 | |
FirstEnergy Corp. | 2,963 | 116 | |
Frontier | |||
Communications Corp. | 5 | — | |
301,112 | |||
Total Common Stocks | |||
(Cost $3,047,082) | 6,287,426 | ||
Temporary Cash Investment (0.0%) | |||
Money Market Fund (0.0%) | |||
2 | Vanguard Market Liquidity | ||
Fund, 0.126% | |||
(Cost $2,973) | 2,973,378 | 2,973 | |
Total Investments (100.0%) | |||
(Cost $3,050,055) | 6,290,399 | ||
Other Assets and Liabilities (0.0%) | |||
Other Assets | 10,472 | ||
Liabilities | (10,489) | ||
(17) | |||
Net Assets (100%) | 6,290,382 |
80
Tax-Managed Capital Appreciation Fund
At December 31, 2014, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 3,079,679 |
Overdistributed Net Investment Income | (3,831) |
Accumulated Net Realized Losses | (25,810) |
Unrealized Appreciation (Depreciation) | 3,240,344 |
Net Assets | 6,290,382 |
Admiral Shares—Net Assets | |
Applicable to 55,482,627 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 5,759,943 |
Net Asset Value Per Share— | |
Admiral Shares | $103.82 |
Institutional Shares—Net Assets | |
Applicable to 10,282,712 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 530,439 |
Net Asset Value Per Share— | |
Institutional Shares | $51.59 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 “Other” represents securities that are not classified by the fund’s benchmark index.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
See accompanying Notes, which are an integral part of the Financial Statements.
81
Tax-Managed Capital Appreciation Fund
Statement of Operations
Year Ended | |
December 31, 2014 | |
($000) | |
Investment Income | |
Income | |
Dividends | 104,592 |
Interest1 | 5 |
Total Income | 104,597 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 937 |
Management and Administrative—Admiral Shares | 4,789 |
Management and Administrative—Institutional Shares | 253 |
Marketing and Distribution—Admiral Shares | 688 |
Marketing and Distribution—Institutional Shares | 59 |
Custodian Fees | 42 |
Auditing Fees | 32 |
Shareholders’ Reports—Admiral Shares | 30 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | 4 |
Total Expenses | 6,834 |
Net Investment Income | 97,763 |
Realized Net Gain (Loss) on Investment Securities Sold | 7,504 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 593,212 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 698,479 |
1 Interest income from an affiliated company of the fund was $5,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
82
Tax-Managed Capital Appreciation Fund
Statement of Changes in Net Assets
Year Ended December 31, | ||
2014 | 2013 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 97,763 | 82,160 |
Realized Net Gain (Loss) | 7,504 | 3,156 |
Change in Unrealized Appreciation (Depreciation) | 593,212 | 1,297,582 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 698,479 | 1,382,898 |
Distributions | ||
Net Investment Income | ||
Admiral Shares | (88,550) | (75,511) |
Institutional Shares | (8,399) | (7,196) |
Realized Capital Gain | ||
Admiral Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (96,949) | (82,707) |
Capital Share Transactions | ||
Admiral Shares | 169,239 | 147,843 |
Institutional Shares | 11,250 | 41,279 |
Net Increase (Decrease) from Capital Share Transactions | 180,489 | 189,122 |
Total Increase (Decrease) | 782,019 | 1,489,313 |
Net Assets | ||
Beginning of Period | 5,508,363 | 4,019,050 |
End of Period1 | 6,290,382 | 5,508,363 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($3,831,000) and ($4,671,000). |
See accompanying Notes, which are an integral part of the Financial Statements.
83
Tax-Managed Capital Appreciation Fund
Financial Highlights
Admiral Shares | |||||
For a Share Outstanding | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $93.70 | $71.17 | $62.36 | $62.56 | $54.72 |
Investment Operations | |||||
Net Investment Income | 1.633 | 1.414 | 1.384 | 1.072 | .915 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | 10.103 | 22.537 | 8.806 | (.202) | 7.849 |
Total from Investment Operations | 11.736 | 23.951 | 10.190 | .870 | 8.764 |
Distributions | |||||
Dividends from Net Investment Income | (1.616) | (1.421) | (1.380) | (1.070) | (.924) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (1.616) | (1.421) | (1.380) | (1.070) | (.924) |
Net Asset Value, End of Period | $103.82 | $93.70 | $71.17 | $62.36 | $62.56 |
Total Return1 | 12.52% | 33.67% | 16.35% | 1.38% | 16.02% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $5,760 | $5,040 | $3,702 | $3,305 | $2,860 |
Ratio of Total Expenses to Average Net Assets | 0.12% | 0.12% | 0.12% | 0.12% | 0.12% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 1.66% | 1.71% | 1.96% | 1.65% | 1.59% |
Portfolio Turnover Rate | 6% | 4% | 3% | 2% | 7% |
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.
84
Tax-Managed Capital Appreciation Fund
Financial Highlights
Institutional Shares | |||||
For a Share Outstanding | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $46.56 | $35.36 | $30.98 | $31.09 | $27.19 |
Investment Operations | |||||
Net Investment Income | . 830 | .719 | .702 | .548 | .466 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | 5.022 | 11.203 | 4.379 | (.113) | 3.905 |
Total from Investment Operations | 5.852 | 11.922 | 5.081 | .435 | 4.371 |
Distributions | |||||
Dividends from Net Investment Income | (.822) | (.722) | (.701) | (. 545) | (. 471) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.822) | (.722) | (.701) | (. 545) | (. 471) |
Net Asset Value, End of Period | $51.59 | $46.56 | $35.36 | $30.98 | $31.09 |
Total Return1 | 12.56% | 33.73% | 16.41% | 1.39% | 16.08% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $530 | $468 | $317 | $302 | $282 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 1.70% | 1.75% | 2.00% | 1.69% | 1.63% |
Portfolio Turnover Rate | 6% | 4% | 3% | 2% | 7% |
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.
85
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. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value.
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, 2011–2014), 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. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $2.89 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at December 31, 2014, or at any time during the period then ended.
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.
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
86
Tax-Managed Capital Appreciation Fund
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 based on methods approved by the board of trustees. The fund has committed to invest up to 0.40% of its net assets in Vanguard. At December 31, 2014, the fund had contributed capital of $602,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 0.24% 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 December 31, 2014, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 6,287,375 | 51 | — |
Temporary Cash Investments | 2,973 | — | — |
Total | 6,290,348 | 51 | — |
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.
Certain of the fund’s investments are in securities considered to be passive foreign investment companies, for which any unrealized appreciation and/or realized gains are required to be included in distributable net income for tax purposes. During the year ended December 31, 2014, the fund realized gains on the sale of passive foreign investment companies of $26,000, which have been included in current and prior periods’ taxable income; accordingly, such gains have been reclassified from accumulated net realized losses to overdistributed net investment income. Passive foreign investment companies held at December 31, 2014, had unrealized appreciation of $7,000, of which all has been distributed and is reflected in the balance of overdistributed net investment income.
87
Tax-Managed Capital Appreciation Fund
For tax purposes, at December 31, 2014, the fund had $943,000 of ordinary income available for distribution. The fund used capital loss carryforwards of $7,478,000 to offset taxable capital gains realized during the year ended December 31, 2014. At December 31, 2014, the fund had available capital losses totaling $25,810,000 to offset future net capital gains. Of this amount, $13,590,000 is subject to expiration on December 31, 2018. Capital losses of $12,220,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, but must be used before any expiring loss carryforwards.
At December 31, 2014, the cost of investment securities for tax purposes was $3,050,062,000.
Net unrealized appreciation of investment securities for tax purposes was $3,240,337,000, consisting of unrealized gains of $3,259,554,000 on securities that had risen in value since their purchase and $19,217,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the year ended December 31, 2014, the fund purchased $517,769,000 of investment securities and sold $333,929,000 of investment securities, other than temporary cash investments.
F. Capital share transactions for each class of shares were:
Year Ended December 31, | ||||
2014 | 2013 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Admiral Shares | ||||
Issued | 316,759 | 3,230 | 305,664 | 3,728 |
Issued in Lieu of Cash Distributions | 67,420 | 647 | 59,261 | 637 |
Redeemed | (214,940) | (2,184) | (217,082) | (2,592) |
Net Increase (Decrease)—Admiral Shares | 169,239 | 1,693 | 147,843 | 1,773 |
Institutional Shares | ||||
Issued | 19,129 | 387 | 74,366 | 1,922 |
Issued in Lieu of Cash Distributions | 4,704 | 91 | 4,418 | 96 |
Redeemed | (12,583) | (252) | (37,505) | (921) |
Net Increase (Decrease) —Institutional Shares | 11,250 | 226 | 41,279 | 1,097 |
G. Management has determined that no material events or transactions occurred subsequent to December 31, 2014, that would require recognition or disclosure in these financial statements.
Tax-Managed Small-Cap Fund
Fund Profile
As of December 31, 2014
Share-Class Characteristics | ||
Admiral | Institutional | |
Shares | Shares | |
Ticker Symbol | VTMSX | VTSIX |
Expense Ratio1 | 0.12% | 0.08% |
30-Day SEC Yield | 1.19% | 1.23% |
Portfolio Characteristics | |||
DJ | |||
U.S. | |||
Total | |||
S&P | Market | ||
SmallCap | FA | ||
Fund | 600 Index | Index | |
Number of Stocks | 601 | 600 | 3,776 |
Median Market Cap | $1.6B | $1.6B | $48.1B |
Price/Earnings Ratio | 25.4x | 26.2x | 20.6x |
Price/Book Ratio | 2.2x | 2.2x | 2.7x |
Return on Equity | 12.2% | 11.8% | 17.8% |
Earnings Growth | |||
Rate | 14.4% | 13.9% | 15.4% |
Dividend Yield | 1.2% | 1.3% | 1.9% |
Foreign Holdings | 0.0% | 0.0% | 0.0% |
Turnover Rate | 40% | — | — |
Short-Term Reserves | 0.1% | — | — |
Total Fund Volatility Measures | ||
DJ | ||
U.S. Total | ||
S&P SmallCap | Market | |
600 Index | FA Index | |
R-Squared | 1.00 | 0.77 |
Beta | 0.99 | 1.16 |
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) | ||
Teledyne Technologies | Aerospace & | |
Inc. | Defense | 0.6% |
MAXIMUS Inc. | Data Processing & | |
Outsourced Services | 0.6 | |
West Pharmaceutical | ||
Services Inc. | Health Care Supplies | 0.6 |
Casey's General Stores | ||
Inc. | Food Retail | 0.5 |
Toro Co. | Agricultural & Farm | |
Machinery | 0.5 | |
Buffalo Wild Wings Inc. | Restaurants | 0.5 |
Cracker Barrel Old | ||
Country Store Inc. | Restaurants | 0.5 |
Curtiss-Wright Corp. | Aerospace & | |
Defense | 0.5 | |
Stifel Financial Corp. | Investment Banking | |
& Brokerage | 0.5 | |
PAREXEL International | Life Sciences Tools & | |
Corp. | Services | 0.5 |
Top Ten | 5.3% | |
The holdings listed exclude any temporary cash investments and equity index products. | ||
1 The expense ratios shown are from the prospectus dated April 7, 2014, and represent estimated costs for the current fiscal year. For the fiscal year ended December 31, 2014, the expense ratios were 0.12% for Admiral Shares and 0.08% for Institutional Shares.
89
Tax-Managed Small-Cap Fund
Sector Diversification (% of equity exposure)
DJ | |||
S&P | U.S. Total | ||
SmallCap | Market | ||
Fund | 600 Index | FA Index | |
Consumer | |||
Discretionary | 14.9% | 14.5% | 12.9% |
Consumer Staples | 3.5 | 3.5 | 8.5 |
Energy | 3.0 | 3.5 | 7.6 |
Financials | 23.8 | 23.5 | 17.9 |
Health Care | 11.2 | 11.4 | 14.0 |
Industrials | 16.6 | 16.5 | 11.3 |
Information | |||
Technology | 16.9 | 17.1 | 19.0 |
Materials | 5.6 | 5.5 | 3.6 |
Telecommunication | |||
Services | 0.6 | 0.7 | 2.0 |
Utilities | 3.9 | 3.8 | 3.2 |
Investment Focus
90
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.
Cumulative Performance: December 31, 2004, Through December 31, 2014
Initial Investment of $10,000
Average Annual Total Returns | |||||
Periods Ended December 31, 2014 | |||||
Final Value | |||||
One | Five | Ten | of a $10,000 | ||
Year | Years | Years | Investment | ||
Tax-Managed Small-Cap Fund Admiral | |||||
Shares | 6.23% | 17.25% | 9.06% | $23,802 | |
•••••••• | S&P SmallCap 600 Index | 5.76 | 17.27 | 9.02 | 23,727 |
– – – – | Small-Cap Core Funds Average | 3.92 | 14.45 | 7.04 | 19,752 |
Dow Jones U.S. Total Stock Market | |||||
Float Adjusted Index | 12.47 | 15.72 | 8.09 | 21,779 | |
Small-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
Final Value | ||||
One | Five | Ten | of a $5,000,000 | |
Year | Years | Years | Investment | |
Tax-Managed Small-Cap Fund Institutional | ||||
Shares | 6.26% | 17.31% | 9.12% | $11,968,988 |
S&P SmallCap 600 Index | 5.76 | 17.27 | 9.02 | 11,863,546 |
Dow Jones U.S. Total Stock Market Float | ||||
Adjusted Index | 12.47 | 15.72 | 8.09 | 10,889,319 |
See Financial Highlights for dividend and capital gains information.
91
Tax-Managed Small-Cap Fund
Fiscal-Year Total Returns (%): December 31, 2004, Through December 31, 2014
92
Tax-Managed Small-Cap Fund
Financial Statements
Statement of Net Assets
As of December 31, 2014
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Market | |||
Value• | |||
Shares | ($000) | ||
Common Stocks (99.6%)1 | |||
Consumer Discretionary (14.8%) | |||
* | Buffalo Wild Wings Inc. | 102,175 | 18,430 |
Cracker Barrel Old | |||
Country Store Inc. | 129,407 | 18,215 | |
Jack in the Box Inc. | 212,896 | 17,023 | |
Wolverine World Wide Inc. | 530,433 | 15,632 | |
Pool Corp. | 238,936 | 15,158 | |
Marriott Vacations | |||
Worldwide Corp. | 165,210 | 12,315 | |
* | Skechers U.S.A. Inc. | ||
Class A | 215,402 | 11,901 | |
Texas Roadhouse Inc. | |||
Class A | 325,100 | 10,975 | |
Men’s Wearhouse Inc. | 245,834 | 10,854 | |
Lithia Motors Inc. Class A | 122,397 | 10,611 | |
Group 1 Automotive Inc. | 116,821 | 10,469 | |
* | Steven Madden Ltd. | 326,521 | 10,393 |
* | Genesco Inc. | 130,681 | 10,013 |
* | Lumber Liquidators | ||
Holdings Inc. | 146,658 | 9,725 | |
Ryland Group Inc. | 251,397 | 9,694 | |
Papa John’s | |||
International Inc. | 173,498 | 9,681 | |
* | G-III Apparel Group Ltd. | 95,476 | 9,644 |
* | Helen of Troy Ltd. | 144,400 | 9,395 |
Monro Muffler Brake Inc. | 162,429 | 9,388 | |
DineEquity Inc. | 88,601 | 9,183 | |
* | Iconix Brand Group Inc. | 262,600 | 8,873 |
* | Outerwall Inc. | 108,819 | 8,185 |
* | Select Comfort Corp. | 301,209 | 8,142 |
* | Vitamin Shoppe Inc. | 165,573 | 8,043 |
* | Dorman Products Inc. | 165,581 | 7,993 |
Buckle Inc. | 151,245 | 7,943 | |
Sonic Corp. | 286,651 | 7,805 | |
La-Z-Boy Inc. | 285,423 | 7,661 | |
Brown Shoe Co. Inc. | 223,708 | 7,192 | |
* | Pinnacle Entertainment Inc. | 319,106 | 7,100 |
Children’s Place Inc. | 121,762 | 6,940 | |
* | Hibbett Sports Inc. | 136,989 | 6,634 |
Market | |||
Value• | |||
Shares | ($000) | ||
Finish Line Inc. Class A | 268,482 | 6,527 | |
Bob Evans Farms Inc. | 124,181 | 6,356 | |
Cato Corp. Class A | 146,673 | 6,187 | |
* | Drew Industries Inc. | 118,838 | 6,069 |
* | Crocs Inc. | 462,414 | 5,776 |
* | BJ’s Restaurants Inc. | 112,665 | 5,657 |
* | Red Robin Gourmet | ||
Burgers Inc. | 71,122 | 5,475 | |
* | Universal Electronics Inc. | 83,581 | 5,435 |
* | iRobot Corp. | 154,738 | 5,372 |
* | Boyd Gaming Corp. | 410,381 | 5,245 |
* | Barnes & Noble Inc. | 224,438 | 5,211 |
Sonic Automotive Inc. | |||
Class A | 188,238 | 5,090 | |
* | Tuesday Morning Corp. | 229,061 | 4,971 |
Scholastic Corp. | 134,072 | 4,883 | |
* | Meritage Homes Corp. | 134,786 | 4,851 |
Capella Education Co. | 60,774 | 4,677 | |
* | Zumiez Inc. | 120,190 | 4,643 |
Interval Leisure Group Inc. | 213,526 | 4,461 | |
* | Strayer Education Inc. | 58,520 | 4,347 |
Oxford Industries Inc. | 78,528 | 4,335 | |
Standard Motor | |||
Products Inc. | 112,640 | 4,294 | |
* | Regis Corp. | 235,266 | 3,943 |
* | Biglari Holdings Inc. | 9,568 | 3,822 |
* | Francesca’s Holdings Corp. | 225,696 | 3,769 |
* | EW Scripps Co. Class A | 167,636 | 3,747 |
* | Standard Pacific Corp. | 513,938 | 3,747 |
Stage Stores Inc. | 177,312 | 3,670 | |
Ethan Allen Interiors Inc. | 114,042 | 3,532 | |
* | FTD Cos. Inc. | 101,226 | 3,525 |
Winnebago Industries Inc. | 153,005 | 3,329 | |
* | Scientific Games Corp. | ||
Class A | 258,686 | 3,293 | |
* | American Public | ||
Education Inc. | 88,358 | 3,258 | |
Fred’s Inc. Class A | 186,135 | 3,241 | |
Nutrisystem Inc. | 156,298 | 3,056 | |
* | M/I Homes Inc. | 132,767 | 3,048 |
Callaway Golf Co. | 390,074 | 3,004 |
93
Tax-Managed Small-Cap Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Sturm Ruger & Co. Inc. | 85,428 | 2,958 | |
Ruth’s Hospitality | |||
Group Inc. | 195,703 | 2,936 | |
Movado Group Inc. | 98,503 | 2,794 | |
* | MarineMax Inc. | 132,721 | 2,661 |
Arctic Cat Inc. | 72,973 | 2,591 | |
Superior Industries | |||
International Inc. | 127,119 | 2,516 | |
Haverty Furniture Cos. Inc. | 109,127 | 2,402 | |
* | Blue Nile Inc. | 62,526 | 2,252 |
Stein Mart Inc. | 152,508 | 2,230 | |
* | Career Education Corp. | 314,171 | 2,187 |
* | Ruby Tuesday Inc. | 315,609 | 2,159 |
* | Kirkland’s Inc. | 81,991 | 1,938 |
Marcus Corp. | 102,321 | 1,894 | |
* | Perry Ellis International Inc. | 68,215 | 1,769 |
PetMed Express Inc. | 109,893 | 1,579 | |
* | Unifi Inc. | 50,000 | 1,486 |
Big 5 Sporting Goods Corp. | 88,003 | 1,287 | |
* | Christopher & Banks Corp. | 201,207 | 1,149 |
Universal Technical | |||
Institute Inc. | 101,829 | 1,002 | |
* | VOXX International Corp. | ||
Class A | 103,134 | 903 | |
* | Monarch Casino | ||
& Resort Inc. | 52,928 | 878 | |
* | Pep Boys-Manny | ||
Moe & Jack | 82,737 | 812 | |
* | Sizmek Inc. | 5,581 | 35 |
Harte-Hanks Inc. | 2,784 | 22 | |
* | Aeropostale Inc. | 7,464 | 17 |
* | Quiksilver Inc. | 7,792 | 17 |
535,530 | |||
Consumer Staples (3.5%) | |||
Casey’s General Stores Inc. | 209,274 | 18,902 | |
* | Darling Ingredients Inc. | 822,361 | 14,934 |
* | Boston Beer Co. Inc. | ||
Class A | 47,504 | 13,754 | |
Sanderson Farms Inc. | 110,131 | 9,254 | |
B&G Foods Inc. | 288,692 | 8,632 | |
J&J Snack Foods Corp. | 79,182 | 8,613 | |
Snyder’s-Lance Inc. | 264,856 | 8,091 | |
Andersons Inc. | 143,130 | 7,606 | |
WD-40 Co. | 79,470 | 6,761 | |
Cal-Maine Foods Inc. | 162,637 | 6,348 | |
SpartanNash Co. | 201,411 | 5,265 | |
Universal Corp. | 90,114 | 3,963 | |
* | Diamond Foods Inc. | 135,088 | 3,813 |
Calavo Growers Inc. | 74,929 | 3,544 | |
Inter Parfums Inc. | 92,107 | 2,528 | |
* | Central Garden and | ||
Pet Co. Class A | 229,839 | 2,195 | |
* | Medifast Inc. | 58,407 | 1,960 |
* | Seneca Foods Corp. | ||
Class A | 42,099 | 1,138 |
Market | |||
Value• | |||
Shares | ($000) | ||
* | Alliance One | ||
International Inc. | 198,305 | 313 | |
127,614 | |||
Energy (3.0%) | |||
Bristow Group Inc. | 197,498 | 12,993 | |
Exterran Holdings Inc. | 355,106 | 11,569 | |
* | Carrizo Oil & Gas Inc. | 223,870 | 9,313 |
* | PDC Energy Inc. | 186,885 | 7,713 |
* | SEACOR Holdings Inc. | 91,980 | 6,789 |
* | Stone Energy Corp. | 272,299 | 4,596 |
Green Plains Inc. | 174,886 | 4,334 | |
* | Hornbeck Offshore | ||
Services Inc. | 168,374 | 4,204 | |
Gulfmark Offshore Inc. | 136,048 | 3,322 | |
* | Matrix Service Co. | 142,267 | 3,175 |
* | Bill Barrett Corp. | 253,133 | 2,883 |
* | TETRA Technologies Inc. | 428,660 | 2,864 |
* | Bonanza Creek Energy Inc. | 100,583 | 2,414 |
* | Contango Oil & Gas Co. | 81,066 | 2,370 |
Tesco Corp. | 184,636 | 2,367 | |
* | Era Group Inc. | 103,650 | 2,192 |
* | Newpark Resources Inc. | 212,551 | 2,028 |
Arch Coal Inc. | 1,117,039 | 1,988 | |
* | Pioneer Energy Services | ||
Corp. | 340,364 | 1,886 | |
* | Penn Virginia Corp. | 276,409 | 1,847 |
* | Northern Oil and Gas Inc. | 322,548 | 1,822 |
* | ION Geophysical Corp. | 662,039 | 1,821 |
* | Cloud Peak Energy Inc. | 196,775 | 1,806 |
* | Geospace Technologies | ||
Corp. | 65,951 | 1,748 | |
Comstock Resources Inc. | 244,520 | 1,665 | |
Gulf Island Fabrication Inc. | 69,671 | 1,351 | |
* | C&J Energy Services Inc. | 96,524 | 1,275 |
* | Approach Resources Inc. | 191,330 | 1,223 |
* | Synergy Resources Corp. | 83,255 | 1,044 |
* | PetroQuest Energy Inc. | 267,245 | 1,000 |
* | Basic Energy Services Inc. | 138,962 | 974 |
* | Swift Energy Co. | 213,124 | 863 |
Paragon Offshore plc | 146,094 | 405 | |
* | Rex Energy Corp. | 5,100 | 26 |
107,870 | |||
Financials (20.1%) | |||
* | Stifel Financial Corp. | 346,985 | 17,703 |
* | PRA Group Inc. | 272,755 | 15,801 |
Geo Group Inc. | 390,892 | 15,776 | |
MarketAxess Holdings Inc. | 204,273 | 14,648 | |
ProAssurance Corp. | 315,731 | 14,255 | |
Bank of the Ozarks Inc. | 347,603 | 13,181 | |
* | Texas Capital | ||
Bancshares Inc. | 237,706 | 12,915 | |
Susquehanna | |||
Bancshares Inc. | 956,143 | 12,841 | |
United Bankshares Inc. | 337,999 | 12,658 | |
PrivateBancorp Inc. | 368,631 | 12,312 | |
FNB Corp. | 894,325 | 11,912 |
94
Tax-Managed Small-Cap Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Wintrust Financial Corp. | 246,957 | 11,548 | |
American Equity | |||
Investment Life | |||
Holding Co. | 393,687 | 11,492 | |
UMB Financial Corp. | 201,402 | 11,458 | |
Glacier Bancorp Inc. | 400,496 | 11,122 | |
MB Financial Inc. | 336,535 | 11,059 | |
Evercore Partners Inc. | |||
Class A | 191,110 | 10,008 | |
First Financial | |||
Bankshares Inc. | 330,738 | 9,882 | |
RLI Corp. | 195,460 | 9,656 | |
Home BancShares Inc. | 295,453 | 9,502 | |
EPR Properties | 154,344 | 8,895 | |
Post Properties Inc. | 150,321 | 8,834 | |
Interactive Brokers | |||
Group Inc. | 301,569 | 8,794 | |
* | First Cash Financial | ||
Services Inc. | 157,232 | 8,753 | |
DiamondRock | |||
Hospitality Co. | 583,435 | 8,676 | |
Acadia Realty Trust | 270,211 | 8,655 | |
Old National Bancorp | 562,289 | 8,367 | |
Community Bank | |||
System Inc. | 219,146 | 8,356 | |
Sovran Self Storage Inc. | 94,701 | 8,260 | |
Selective Insurance | |||
Group Inc. | 303,446 | 8,245 | |
CVB Financial Corp. | 508,755 | 8,150 | |
Healthcare Realty | |||
Trust Inc. | 282,873 | 7,728 | |
Columbia Banking | |||
System Inc. | 279,155 | 7,707 | |
Financial Engines Inc. | 200,017 | 7,311 | |
Horace Mann | |||
Educators Corp. | 217,789 | 7,226 | |
Associated Estates | |||
Realty Corp. | 311,201 | 7,223 | |
Pinnacle Financial | |||
Partners Inc. | 180,162 | 7,124 | |
First Midwest | |||
Bancorp Inc. | 408,295 | 6,986 | |
National Penn | |||
Bancshares Inc. | 645,536 | 6,794 | |
Westamerica | |||
Bancorporation | 137,698 | 6,750 | |
Medical Properties | |||
Trust Inc. | 482,147 | 6,644 | |
HFF Inc. Class A | 180,547 | 6,485 | |
Lexington Realty Trust | 589,514 | 6,473 | |
Virtus Investment | |||
Partners Inc. | 37,624 | 6,415 | |
NBT Bancorp Inc. | 238,990 | 6,278 | |
Kite Realty Group Trust | 218,085 | 6,268 | |
Cousins Properties Inc. | 543,103 | 6,202 | |
BBCN Bancorp Inc. | 430,790 | 6,195 |
Market | |||
Value• | |||
Shares | ($000) | ||
Sterling Bancorp | 425,972 | 6,125 | |
First Financial Bancorp | 319,684 | 5,943 | |
Boston Private Financial | |||
Holdings Inc. | 434,324 | 5,850 | |
EastGroup Properties Inc. | 90,796 | 5,749 | |
* | Encore Capital Group Inc. | 127,229 | 5,649 |
Montpelier Re Holdings Ltd. | 154,065 | 5,519 | |
Chesapeake Lodging Trust | 147,141 | 5,475 | |
Independent Bank Corp. | 126,786 | 5,428 | |
Provident Financial | |||
Services Inc. | 293,317 | 5,297 | |
* | Piper Jaffray Cos. | 88,166 | 5,122 |
* | BofI Holding Inc. | 65,191 | 5,073 |
First Commonwealth | |||
Financial Corp. | 531,370 | 4,899 | |
Infinity Property | |||
& Casualty Corp. | 63,125 | 4,877 | |
Pennsylvania REIT | 206,499 | 4,844 | |
S&T Bancorp Inc. | 162,203 | 4,835 | |
PS Business Parks Inc. | 59,888 | 4,763 | |
ViewPoint Financial | |||
Group Inc. | 195,862 | 4,671 | |
Banner Corp. | 106,304 | 4,573 | |
LTC Properties Inc. | 105,826 | 4,569 | |
United Community | |||
Banks Inc. | 237,623 | 4,501 | |
* | Education Realty Trust Inc. | 122,872 | 4,496 |
Safety Insurance Group Inc. | 70,015 | 4,482 | |
Sabra Health Care REIT Inc. | 141,388 | 4,294 | |
Stewart Information | |||
Services Corp. | 115,526 | 4,279 | |
AMERISAFE Inc. | 100,618 | 4,262 | |
* | Investment Technology | ||
Group Inc. | 203,635 | 4,240 | |
* | Navigators Group Inc. | 57,808 | 4,240 |
Government Properties | |||
Income Trust | 184,150 | 4,237 | |
American Assets Trust Inc. | 104,066 | 4,143 | |
Parkway Properties Inc. | 221,074 | 4,066 | |
Retail Opportunity | |||
Investments Corp. | 240,343 | 4,035 | |
City Holding Co. | 85,359 | 3,972 | |
Employers Holdings Inc. | 168,937 | 3,972 | |
* | Green Dot Corp. Class A | 188,844 | 3,869 |
Brookline Bancorp Inc. | 383,137 | 3,843 | |
* | World Acceptance Corp. | 48,198 | 3,829 |
Hanmi Financial Corp. | 172,897 | 3,771 | |
TrustCo Bank Corp. NY | 512,867 | 3,723 | |
Capstead Mortgage Corp. | 291,154 | 3,575 | |
United Fire Group Inc. | 118,638 | 3,527 | |
Cash America | |||
International Inc. | 155,314 | 3,513 | |
Wilshire Bancorp Inc. | 345,707 | 3,502 | |
Tompkins Financial Corp. | 63,252 | 3,498 | |
Cardinal Financial Corp. | 172,794 | 3,426 | |
FXCM Inc. Class A | 203,814 | 3,377 |
95
Tax-Managed Small-Cap Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Simmons First National | |||
Corp. Class A | 82,479 | 3,353 | |
Franklin Street Properties | |||
Corp. | 269,131 | 3,302 | |
Northwest Bancshares Inc. | 262,532 | 3,290 | |
Oritani Financial Corp. | 213,005 | 3,280 | |
Universal Insurance | |||
Holdings Inc. | 155,888 | 3,188 | |
* | Enova International Inc. | 142,111 | 3,163 |
* | First BanCorp | 536,433 | 3,149 |
Greenhill & Co. Inc. | 72,186 | 3,147 | |
* | Ezcorp Inc. Class A | 254,708 | 2,993 |
Inland Real Estate Corp. | 250,188 | 2,740 | |
Dime Community | |||
Bancshares Inc. | 159,010 | 2,589 | |
CoreSite Realty Corp. | 62,184 | 2,428 | |
Aviv REIT Inc. | 69,498 | 2,396 | |
HCI Group Inc. | 54,941 | 2,376 | |
* | eHealth Inc. | 94,246 | 2,349 |
Saul Centers Inc. | 39,598 | 2,265 | |
Central Pacific Financial | |||
Corp. | 100,000 | 2,150 | |
OFG Bancorp | 120,810 | 2,011 | |
Meadowbrook Insurance | |||
Group Inc. | 230,141 | 1,947 | |
Universal Health Realty | |||
Income Trust | 39,306 | 1,891 | |
Agree Realty Corp. | 56,214 | 1,748 | |
Urstadt Biddle | |||
Properties Inc. | |||
Class A | 79,292 | 1,735 | |
Bank Mutual Corp. | 236,141 | 1,620 | |
Getty Realty Corp. | 82,431 | 1,501 | |
Cedar Realty Trust Inc. | 196,396 | 1,442 | |
Calamos Asset | |||
Management Inc. | |||
Class A | 103,454 | 1,378 | |
* | Forestar Group Inc. | 60,638 | 934 |
CareTrust REIT Inc. | 74,812 | 922 | |
726,743 | |||
Health Care (11.1%) | |||
West Pharmaceutical | |||
Services Inc. | 379,728 | 20,217 | |
* | PAREXEL International | ||
Corp. | 306,917 | 17,052 | |
* | Akorn Inc. | 387,774 | 14,037 |
* | Medidata Solutions Inc. | 286,383 | 13,675 |
* | Amsurg Corp. | 233,921 | 12,802 |
* | MWI Veterinary Supply Inc. | 69,666 | 11,837 |
* | NuVasive Inc. | 243,002 | 11,460 |
* | Impax Laboratories Inc. | 347,316 | 11,003 |
* | Haemonetics Corp. | 279,619 | 10,463 |
Chemed Corp. | 95,394 | 10,080 | |
* | Neogen Corp. | 196,709 | 9,755 |
* | Prestige Brands | ||
Holdings Inc. | 278,874 | 9,683 |
Market | |||
Value• | |||
Shares | ($000) | ||
* | Acorda Therapeutics Inc. | 221,865 | 9,068 |
* | Magellan Health Inc. | 147,641 | 8,863 |
* | Air Methods Corp. | 190,598 | 8,392 |
* | Molina Healthcare Inc. | 153,587 | 8,222 |
* | Medicines Co. | 285,802 | 7,908 |
* | Cyberonics Inc. | 141,093 | 7,856 |
Cantel Medical Corp. | 181,025 | 7,831 | |
* | ABIOMED Inc. | 192,530 | 7,328 |
* | Integra LifeSciences | ||
Holdings Corp. | 132,609 | 7,191 | |
CONMED Corp. | 151,346 | 6,805 | |
Kindred Healthcare Inc. | 362,601 | 6,592 | |
Abaxis Inc. | 114,389 | 6,501 | |
* | Greatbatch Inc. | 131,197 | 6,468 |
* | Omnicell Inc. | 190,105 | 6,296 |
* | Natus Medical Inc. | 170,723 | 6,153 |
* | Lannett Co. Inc. | 138,490 | 5,938 |
* | ICU Medical Inc. | 71,139 | 5,826 |
Analogic Corp. | 66,814 | 5,653 | |
* | Masimo Corp. | 208,304 | 5,487 |
* | Ligand Pharmaceuticals Inc. | 99,888 | 5,315 |
* | Amedisys Inc. | 175,682 | 5,156 |
* | Depomed Inc. | 310,006 | 4,994 |
* | AMN Healthcare | ||
Services Inc. | 252,207 | 4,943 | |
Ensign Group Inc. | 106,413 | 4,724 | |
* | ExamWorks Group Inc. | 110,617 | 4,601 |
* | Bio-Reference | ||
Laboratories Inc. | 134,177 | 4,311 | |
* | Emergent Biosolutions Inc. | 156,449 | 4,260 |
* | IPC The Hospitalist Co. Inc. | 91,877 | 4,216 |
* | Affymetrix Inc. | 391,398 | 3,863 |
* | Merit Medical Systems Inc. | 220,615 | 3,823 |
* | Luminex Corp. | 200,345 | 3,758 |
* | Healthways Inc. | 187,757 | 3,733 |
* | Cambrex Corp. | 164,926 | 3,566 |
* | Hanger Inc. | 161,355 | 3,534 |
Computer Programs | |||
& Systems Inc. | 56,780 | 3,449 | |
* | PharMerica Corp. | 162,607 | 3,368 |
* | HealthStream Inc. | 111,863 | 3,298 |
* | Repligen Corp. | 161,351 | 3,195 |
* | Sagent Pharmaceuticals Inc. | 119,352 | 2,997 |
* | Gentiva Health Services Inc. | 156,582 | 2,983 |
* | Anika Therapeutics Inc. | 72,963 | 2,973 |
* | Cynosure Inc. Class A | 103,433 | 2,836 |
* | AngioDynamics Inc. | 127,606 | 2,426 |
* | CorVel Corp. | 64,320 | 2,394 |
Invacare Corp. | 136,692 | 2,291 | |
* | MedAssets Inc. | 110,383 | 2,181 |
* | LHC Group Inc. | 68,649 | 2,140 |
* | Spectrum | ||
Pharmaceuticals Inc. | 305,525 | 2,117 | |
Quality Systems Inc. | 120,521 | 1,879 | |
* | Cross Country | ||
Healthcare Inc. | 143,198 | 1,787 |
96
Tax-Managed Small-Cap Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Meridian Bioscience Inc. | 107,170 | 1,764 | |
Landauer Inc. | 50,178 | 1,713 | |
* | SurModics Inc. | 73,059 | 1,615 |
CryoLife Inc. | 137,372 | 1,556 | |
* | Almost Family Inc. | 36,570 | 1,059 |
* | Albany Molecular | ||
Research Inc. | 24,401 | 397 | |
* | Providence Service Corp. | 8,883 | 324 |
* | Momenta | ||
Pharmaceuticals Inc. | 5,007 | 60 | |
402,041 | |||
Industrials (16.5%) | |||
* | Teledyne Technologies Inc. | 203,589 | 20,917 |
Toro Co. | 296,104 | 18,894 | |
Curtiss-Wright Corp. | 256,283 | 18,091 | |
EMCOR Group Inc. | 364,913 | 16,235 | |
EnerSys | 258,612 | 15,962 | |
* | Moog Inc. Class A | 211,585 | 15,664 |
Hillenbrand Inc. | 341,909 | 11,796 | |
Healthcare Services | |||
Group Inc. | 380,459 | 11,768 | |
Allegiant Travel Co. Class A | 75,218 | 11,307 | |
* | WageWorks Inc. | 172,883 | 11,163 |
Knight Transportation Inc. | 326,423 | 10,987 | |
Mueller Industries Inc. | 306,612 | 10,468 | |
Applied Industrial | |||
Technologies Inc. | 229,416 | 10,459 | |
UniFirst Corp. | 82,694 | 10,043 | |
Mobile Mini Inc. | 243,823 | 9,877 | |
Watts Water | |||
Technologies Inc. | |||
Class A | 155,310 | 9,853 | |
Barnes Group Inc. | 257,448 | 9,528 | |
Tetra Tech Inc. | 353,296 | 9,433 | |
Actuant Corp. Class A | 338,907 | 9,232 | |
United Stationers Inc. | 215,645 | 9,092 | |
* | Orbital Sciences Corp. | 327,877 | 8,817 |
Forward Air Corp. | 166,467 | 8,385 | |
* | On Assignment Inc. | 251,262 | 8,339 |
ABM Industries Inc. | 279,317 | 8,002 | |
Franklin Electric Co. Inc. | 212,247 | 7,966 | |
* | EnPro Industries Inc. | 126,516 | 7,940 |
Heartland Express Inc. | 291,321 | 7,869 | |
* | Korn/Ferry International | 268,936 | 7,735 |
Simpson | |||
Manufacturing Co. Inc. | 222,034 | 7,682 | |
* | TASER International Inc. | 288,114 | 7,629 |
G&K Services Inc. Class A | 107,283 | 7,601 | |
Matthews International | |||
Corp. Class A | 155,309 | 7,559 | |
Matson Inc. | 217,191 | 7,497 | |
* | Hub Group Inc. Class A | 192,653 | 7,336 |
* | Saia Inc. | 132,274 | 7,323 |
Tennant Co. | 100,562 | 7,258 | |
* | Atlas Air Worldwide | ||
Holdings Inc. | 135,091 | 6,660 |
Market | ||
Value• | ||
Shares | ($000) | |
Apogee Enterprises Inc. | 156,690 | 6,639 |
AZZ Inc. | 138,646 | 6,505 |
Dycom Industries Inc. | 180,514 | 6,334 |
ArcBest Corp. | 131,855 | 6,114 |
Lindsay Corp. | 70,080 | 6,009 |
Cubic Corp. | 113,580 | 5,979 |
Exponent Inc. | 71,850 | 5,928 |
UTi Worldwide Inc. | 490,720 | 5,923 |
Kaman Corp. | 147,459 | 5,912 |
AAR Corp. | 212,188 | 5,895 |
Albany International Corp. | 152,273 | 5,785 |
CIRCOR International Inc. | 95,759 | 5,772 |
GenCorp Inc. | 314,650 | 5,758 |
Universal Forest | ||
Products Inc. | 108,190 | 5,756 |
Interface Inc. Class A | 337,316 | 5,556 |
Standex International Corp. | 69,276 | 5,352 |
ESCO Technologies Inc. | 144,047 | 5,315 |
Federal Signal Corp. | 340,778 | 5,262 |
AAON Inc. | 228,411 | 5,114 |
TrueBlue Inc. | 222,446 | 4,949 |
John Bean Technologies | ||
Corp. | 147,675 | 4,853 |
Brady Corp. Class A | 175,945 | 4,810 |
Navigant Consulting Inc. | 275,426 | 4,233 |
Insperity Inc. | 124,149 | 4,207 |
Engility Holdings Inc. | 93,841 | 4,016 |
Astec Industries Inc. | 101,342 | 3,984 |
Aegion Corp. Class A | 212,308 | 3,951 |
Brink’s Co. | 155,360 | 3,792 |
Quanex Building | ||
Products Corp. | 201,866 | 3,791 |
Encore Wire Corp. | 101,362 | 3,784 |
SkyWest Inc. | 283,345 | 3,763 |
Resources Connection Inc. | 222,423 | 3,659 |
Comfort Systems USA Inc. | 204,041 | 3,493 |
Griffon Corp. | 234,086 | 3,113 |
Briggs & Stratton Corp. | 150,426 | 3,072 |
Lydall Inc. | 92,751 | 3,044 |
Aerovironment Inc. | 107,598 | 2,932 |
Aceto Corp. | 133,307 | 2,893 |
Viad Corp. | 101,633 | 2,710 |
Celadon Group Inc. | 115,222 | 2,614 |
Gibraltar Industries Inc. | 158,773 | 2,582 |
American Woodmark Corp. | 63,238 | 2,557 |
Kelly Services Inc. Class A | 148,785 | 2,532 |
Powell Industries Inc. | 50,238 | 2,465 |
PGT Inc. | 248,884 | 2,397 |
Veritiv Corp. | 43,525 | 2,258 |
Heidrick & Struggles | ||
International Inc. | 89,588 | 2,065 |
Roadrunner Transportation | ||
Systems Inc. | 82,904 | 1,936 |
Orion Marine Group Inc. | 149,152 | 1,648 |
National Presto | ||
Industries Inc. | 26,742 | 1,552 |
97
Tax-Managed Small-Cap Fund
Market | |||
Value• | |||
Shares | ($000) | ||
US Ecology Inc. | 34,713 | 1,393 | |
CDI Corp. | 78,504 | 1,390 | |
* | Vicor Corp. | 102,641 | 1,242 |
Titan International Inc. | 51,212 | 544 | |
American Science | |||
& Engineering Inc. | 9,601 | 498 | |
* | DXP Enterprises Inc. | 7,910 | 400 |
General Cable Corp. | 5,301 | 79 | |
598,476 | |||
Information Technology (16.8%) | |||
MAXIMUS Inc. | 370,700 | 20,329 | |
* | Manhattan Associates Inc. | 417,574 | 17,004 |
j2 Global Inc. | 236,957 | 14,691 | |
* | Microsemi Corp. | 507,832 | 14,412 |
* | ViaSat Inc. | 227,599 | 14,346 |
* | Synaptics Inc. | 191,616 | 13,191 |
* | Anixter International Inc. | 144,445 | 12,778 |
* | Take-Two Interactive | ||
Software Inc. | 439,721 | 12,325 | |
Littelfuse Inc. | 121,836 | 11,778 | |
SYNNEX Corp. | 142,509 | 11,139 | |
* | CACI International Inc. | ||
Class A | 126,737 | 10,922 | |
* | Electronics For | ||
Imaging Inc. | 253,101 | 10,840 | |
Heartland Payment | |||
Systems Inc. | 200,263 | 10,804 | |
Blackbaud Inc. | 249,130 | 10,777 | |
* | Sanmina Corp. | 451,804 | 10,631 |
MKS Instruments Inc. | 289,408 | 10,592 | |
* | Dealertrack | ||
Technologies Inc. | 234,449 | 10,388 | |
Tessera Technologies Inc. | 263,635 | 9,428 | |
* | Cardtronics Inc. | 244,007 | 9,414 |
Monolithic Power | |||
Systems Inc. | 186,808 | 9,292 | |
* | comScore Inc. | 180,455 | 8,379 |
Power Integrations Inc. | 161,320 | 8,347 | |
* | Cirrus Logic Inc. | 344,846 | 8,128 |
* | Coherent Inc. | 133,168 | 8,086 |
* | MicroStrategy Inc. Class A | 49,220 | 7,993 |
* | Progress Software Corp. | 291,461 | 7,875 |
* | Rogers Corp. | 94,692 | 7,712 |
* | Synchronoss | ||
Technologies Inc. | 184,037 | 7,704 | |
* | Plexus Corp. | 185,332 | 7,638 |
* | Benchmark Electronics Inc. | 296,905 | 7,553 |
* | Veeco Instruments Inc. | 213,795 | 7,457 |
* | NetScout Systems Inc. | 202,592 | 7,403 |
Methode Electronics Inc. | 200,823 | 7,332 | |
* | iGATE Corp. | 184,991 | 7,303 |
* | OSI Systems Inc. | 102,107 | 7,226 |
* | NETGEAR Inc. | 197,172 | 7,015 |
MTS Systems Corp. | 86,060 | 6,457 | |
* | Super Micro Computer Inc. | 177,132 | 6,178 |
* | ScanSource Inc. | 152,909 | 6,141 |
Market | |||
Value• | |||
Shares | ($000) | ||
* | LogMeIn Inc. | 124,354 | 6,136 |
Monotype Imaging | |||
Holdings Inc. | 211,290 | 6,091 | |
* | Cabot Microelectronics | ||
Corp. | 127,357 | 6,027 | |
* | QLogic Corp. | 449,348 | 5,985 |
* | Kulicke & Soffa | ||
Industries Inc. | 410,450 | 5,935 | |
* | Insight Enterprises Inc. | 228,793 | 5,923 |
NIC Inc. | 324,911 | 5,845 | |
* | FARO Technologies Inc. | 93,235 | 5,844 |
* | Virtusa Corp. | 138,244 | 5,761 |
* | Diodes Inc. | 197,958 | 5,458 |
* | Sykes Enterprises Inc. | 215,051 | 5,047 |
* | Bottomline | ||
Technologies de Inc. | 197,519 | 4,993 | |
* | ExlService Holdings Inc. | 167,546 | 4,810 |
* | Advanced Energy | ||
Industries Inc. | 200,265 | 4,746 | |
ADTRAN Inc. | 214,606 | 4,678 | |
Badger Meter Inc. | 78,294 | 4,647 | |
CSG Systems | |||
International Inc. | 185,301 | 4,646 | |
Brooks Automation Inc. | 339,931 | 4,334 | |
* | Rofin-Sinar | ||
Technologies Inc. | 145,849 | 4,196 | |
* | Interactive Intelligence | ||
Group Inc. | 85,374 | 4,089 | |
* | Newport Corp. | 213,463 | 4,079 |
* | VASCO Data Security | ||
International Inc. | 139,480 | 3,935 | |
* | Digital River Inc. | 158,820 | 3,928 |
* | Harmonic Inc. | 548,054 | 3,842 |
* | LivePerson Inc. | 269,019 | 3,793 |
Micrel Inc. | 258,015 | 3,744 | |
* | Stamps.com Inc. | 77,709 | 3,729 |
ManTech International | |||
Corp. Class A | 122,651 | 3,708 | |
* | CalAmp Corp. | 190,530 | 3,487 |
* | Perficient Inc. | 183,183 | 3,413 |
* | Ixia | 299,397 | 3,368 |
* | II-VI Inc. | 243,400 | 3,322 |
CTS Corp. | 183,368 | 3,269 | |
* | Blucora Inc. | 224,392 | 3,108 |
* | Checkpoint Systems Inc. | 224,668 | 3,085 |
Epiq Systems Inc. | 175,288 | 2,994 | |
Ebix Inc. | 173,929 | 2,955 | |
Comtech | |||
Telecommunications Corp. | 90,262 | 2,845 | |
Forrester Research Inc. | 72,272 | 2,845 | |
Park Electrochemical Corp. | 113,474 | 2,829 | |
* | DTS Inc. | 91,566 | 2,816 |
* | Ultratech Inc. | 150,156 | 2,787 |
* | Fabrinet | 155,822 | 2,764 |
* | Exar Corp. | 258,575 | 2,637 |
Daktronics Inc. | 206,169 | 2,579 |
98
Tax-Managed Small-Cap Fund
Market | |||
Value• | |||
Shares | ($000) | ||
* | XO Group Inc. | 138,094 | 2,515 |
* | TeleTech Holdings Inc. | 104,355 | 2,471 |
* | Mercury Systems Inc. | 176,983 | 2,464 |
* | Monster Worldwide Inc. | 491,199 | 2,269 |
* | Dice Holdings Inc. | 221,421 | 2,216 |
* | CEVA Inc. | 112,320 | 2,037 |
* | Nanometrics Inc. | 121,092 | 2,037 |
Black Box Corp. | 81,520 | 1,948 | |
* | Rudolph Technologies Inc. | 179,546 | 1,837 |
* | Pericom | ||
Semiconductor Corp. | 116,547 | 1,578 | |
Bel Fuse Inc. Class B | 55,480 | 1,517 | |
Cohu Inc. | 126,514 | 1,506 | |
* | DSP Group Inc. | 122,871 | 1,336 |
* | Digi International Inc. | 142,353 | 1,322 |
* | Ciber Inc. | 368,775 | 1,309 |
* | Kopin Corp. | 337,540 | 1,222 |
* | Entropic | ||
Communications Inc. | 467,252 | 1,182 | |
* | Tangoe Inc. | 84,718 | 1,104 |
* | Agilysys Inc. | 77,664 | 978 |
* | QuinStreet Inc. | 141,772 | 861 |
Electro Scientific | |||
Industries Inc. | 97,877 | 760 | |
* | TTM Technologies Inc. | 21,335 | 161 |
* | Liquidity Services Inc. | 2,492 | 20 |
608,710 | |||
Materials (5.6%) | |||
KapStone Paper and | |||
Packaging Corp. | 436,328 | 12,789 | |
HB Fuller Co. | 271,716 | 12,099 | |
Balchem Corp. | 162,899 | 10,856 | |
* | Stillwater Mining Co. | 649,296 | 9,571 |
* | Boise Cascade Co. | 208,771 | 7,756 |
* | Clearwater Paper Corp. | 108,862 | 7,462 |
SunCoke Energy Inc. | 381,499 | 7,378 | |
US Silica Holdings Inc. | 285,592 | 7,337 | |
Kaiser Aluminum Corp. | 101,770 | 7,269 | |
Schweitzer-Mauduit | |||
International Inc. | 170,907 | 7,229 | |
Innophos Holdings Inc. | 119,501 | 6,985 | |
* | Century Aluminum Co. | 280,459 | 6,843 |
Quaker Chemical Corp. | 71,655 | 6,595 | |
A Schulman Inc. | 161,349 | 6,539 | |
* | Calgon Carbon Corp. | 295,175 | 6,134 |
Globe Specialty Metals Inc. | 352,017 | 6,065 | |
PH Glatfelter Co. | 234,469 | 5,995 | |
* | Headwaters Inc. | 398,323 | 5,971 |
Neenah Paper Inc. | 87,607 | 5,280 | |
OM Group Inc. | 173,995 | 5,185 | |
Deltic Timber Corp. | 60,889 | 4,165 | |
* | AK Steel Holding Corp. | 677,341 | 4,023 |
Materion Corp. | 112,274 | 3,955 | |
* | Kraton Performance | ||
Polymers Inc. | 172,426 | 3,585 | |
* | LSB Industries Inc. | 104,025 | 3,271 |
Market | |||
Value• | |||
Shares | ($000) | ||
* | Intrepid Potash Inc. | 232,994 | 3,234 |
Stepan Co. | 78,414 | 3,143 | |
Tredegar Corp. | 137,165 | 3,085 | |
Wausau Paper Corp. | 270,001 | 3,070 | |
Rayonier Advanced | |||
Materials Inc. | 135,351 | 3,018 | |
Myers Industries Inc. | 146,012 | 2,570 | |
* | RTI International Metals Inc. | 86,854 | 2,194 |
* | Flotek Industries Inc. | 105,807 | 1,982 |
Hawkins Inc. | 44,341 | 1,921 | |
Zep Inc. | 123,996 | 1,879 | |
FutureFuel Corp. | 117,017 | 1,524 | |
American Vanguard Corp. | 109,796 | 1,276 | |
Haynes International Inc. | 20,758 | 1,007 | |
Olympic Steel Inc. | 50,350 | 895 | |
* | AM Castle & Co. | 93,306 | 745 |
Koppers Holdings Inc. | 5,427 | 141 | |
202,021 | |||
Other (3.6%) | |||
2 | Vanguard REIT ETF | 1,600,000 | 129,600 |
Telecommunication Services (0.7%) | |||
Consolidated | |||
Communications | |||
Holdings Inc. | 244,907 | 6,816 | |
Atlantic Tele-Network Inc. | 54,098 | 3,656 | |
* | Cincinnati Bell Inc. | 1,135,279 | 3,622 |
* | 8x8 Inc. | 303,743 | 2,782 |
* | General | ||
Communication Inc. | |||
Class A | 176,305 | 2,424 | |
Spok Holdings Inc. | 119,277 | 2,071 | |
Lumos Networks Corp. | 98,651 | 1,659 | |
NTELOS Holdings Corp. | 37,531 | 157 | |
23,187 | |||
Utilities (3.9%) | |||
Piedmont Natural | |||
Gas Co. Inc. | 414,415 | 16,332 | |
Southwest Gas Corp. | 253,028 | 15,640 | |
New Jersey Resources | |||
Corp. | 224,436 | 13,735 | |
NorthWestern Corp. | 239,530 | 13,553 | |
UIL Holdings Corp. | 304,030 | 13,237 | |
Laclede Group Inc. | 223,886 | 11,911 | |
ALLETE Inc. | 207,090 | 11,419 | |
Avista Corp. | 314,556 | 11,120 | |
South Jersey | |||
Industries Inc. | 175,647 | 10,351 | |
El Paso Electric Co. | 219,145 | 8,779 | |
American States Water Co. | 210,802 | 7,939 | |
Northwest Natural Gas Co. | 147,165 | 7,343 | |
141,359 | |||
Total Common Stocks | |||
(Cost $2,226,241) | 3,603,151 |
99
Tax-Managed Small-Cap Fund
Market | |||
Value• | |||
Shares | ($000) | ||
Money Market Instruments (0.5%)1 | |||
Money Market Fund (0.5%) | |||
3 | Vanguard Market | ||
Liquidity Fund, 0.126% | 17,652,045 | 17,652 | |
Face | |||
Amount | |||
($000) | |||
U.S. Government and Agency Obligations (0.0%) | |||
4,5 | Federal Home Loan Bank | ||
Discount Notes, | |||
0.055%, 1/16/15 | 200 | 200 | |
4,5 | Federal Home Loan Bank | ||
Discount Notes, | |||
0.105%, 3/4/15 | 700 | 700 | |
900 | |||
Total Temporary Cash Investments | |||
(Cost $18,552) | 18,552 | ||
Total Investments (100.1%) | |||
(Cost $2,244,793) | 3,621,703 | ||
Other Assets and Liabilities (-0.1%) | |||
Other Assets | 43,401 | ||
Liabilities | (46,471) | ||
(3,070) | |||
Net Assets (100%) | 3,618,633 |
At December 31, 2014, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 2,259,815 |
Overdistributed Net Investment Income | (1,801) |
Accumulated Net Realized Losses | (16,103) |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 1,376,910 |
Futures Contracts | (188) |
Net Assets | 3,618,633 |
Admiral Shares—Net Assets | |
Applicable to 73,884,166 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 3,382,442 |
Net Asset Value Per Share— | |
Admiral Shares | $45.78 |
Institutional Shares—Net Assets | |
Applicable to 5,147,631 outstanding | |
$.001 par value shares of beneficial | |
interest (unlimited authorization) | 236,191 |
Net Asset Value Per Share— | |
Institutional Shares | $45.88 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.1%, respectively, of net assets.
2 Considered an affiliated company of the fund as the issuer is another member of The Vanguard Group.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
4 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
5 Securities with a value of $900,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
100
Tax-Managed Small-Cap Fund
Statement of Operations
Year Ended | |
December 31, 2014 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 40,624 |
Interest1 | 8 |
Total Income | 40,632 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 558 |
Management and Administrative—Admiral Shares | 2,788 |
Management and Administrative—Institutional Shares | 103 |
Marketing and Distribution—Admiral Shares | 369 |
Marketing and Distribution—Institutional Shares | 36 |
Custodian Fees | 102 |
Auditing Fees | 32 |
Shareholders’ Reports—Admiral Shares | 30 |
Shareholders’ Reports—Institutional Shares | 2 |
Trustees’ Fees and Expenses | 2 |
Total Expenses | 4,022 |
Net Investment Income | 36,610 |
Realized Net Gain (Loss) | |
Investment Securities Sold1 | 244,709 |
Futures Contracts | 1,022 |
Realized Net Gain (Loss) | 245,731 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (64,918) |
Futures Contracts | (188) |
Change in Unrealized Appreciation (Depreciation) | (65,106) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 217,235 |
1 Dividend income, interest income, and realized net gain (loss) from affiliated companies of the fund were $0, $7,000, and $31,048,000, respectively. | |
See accompanying Notes, which are an integral part of the Financial Statements.
101
Tax-Managed Small-Cap Fund
Statement of Changes in Net Assets
Year Ended December 31, | ||
2014 | 2013 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 36,610 | 29,725 |
Realized Net Gain (Loss) | 245,731 | 179,174 |
Change in Unrealized Appreciation (Depreciation) | (65,106) | 760,136 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 217,235 | 969,035 |
Distributions | ||
Net Investment Income | ||
Admiral Shares | (33,432) | (29,056) |
Institutional Shares | (2,536) | (2,254) |
Realized Capital Gain | ||
Admiral Shares | — | — |
Institutional Shares | — | — |
Total Distributions | (35,968) | (31,310) |
Capital Share Transactions | ||
Admiral Shares | 69,925 | 143,195 |
Institutional Shares | (13,029) | (7,441) |
Net Increase (Decrease) from Capital Share Transactions | 56,896 | 135,754 |
Total Increase (Decrease) | 238,163 | 1,073,479 |
Net Assets | ||
Beginning of Period | 3,380,470 | 2,306,991 |
End of Period1 | 3,618,633 | 3,380,470 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($1,801,000) and ($2,443,000). |
See accompanying Notes, which are an integral part of the Financial Statements.
102
Tax-Managed Small-Cap Fund
Financial Highlights
Admiral Shares | |||||
For a Share Outstanding | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $43.53 | $31.16 | $27.26 | $27.17 | $21.75 |
Investment Operations | |||||
Net Investment Income | . 463 | . 383 | .479 | .245 | .231 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | 2.242 | 12.389 | 3.885 | .089 | 5.424 |
Total from Investment Operations | 2.705 | 12.772 | 4.364 | .334 | 5.655 |
Distributions | |||||
Dividends from Net Investment Income | (. 455) | (. 402) | (. 464) | (. 244) | (. 235) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (. 455) | (. 402) | (. 464) | (. 244) | (. 235) |
Net Asset Value, End of Period | $45.78 | $43.53 | $31.16 | $27.26 | $27.17 |
Total Return1 | 6.23% | 41.00% | 16.03% | 1.22% | 25.99% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $3,382 | $3,143 | $2,132 | $1,857 | $1,879 |
Ratio of Total Expenses to Average Net Assets | 0.12% | 0.12% | 0.12% | 0.12% | 0.18% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 1.06% | 1.05% | 1.59% | 0.88% | 0.98% |
Portfolio Turnover Rate2 | 40% | 31% | 42% | 40% | 46% |
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 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.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.
See accompanying Notes, which are an integral part of the Financial Statements.
103
Tax-Managed Small-Cap Fund
Financial Highlights
Institutional Shares | |||||
For a Share Outstanding | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $43.63 | $31.22 | $27.33 | $27.23 | $21.80 |
Investment Operations | |||||
Net Investment Income | . 481 | .398 | .492 | . 257 | .257 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | 2.242 | 12.428 | 3.888 | .088 | 5.432 |
Total from Investment Operations | 2.723 | 12.826 | 4.380 | .345 | 5.689 |
Distributions | |||||
Dividends from Net Investment Income | (.473) | (. 416) | (. 490) | (. 245) | (. 259) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.473) | (. 416) | (. 490) | (. 245) | (. 259) |
Net Asset Value, End of Period | $45.88 | $43.63 | $31.22 | $27.33 | $27.23 |
Total Return1 | 6.26% | 41.09% | 16.05% | 1.26% | 26.09% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $236 | $237 | $175 | $149 | $147 |
Ratio of Total Expenses to Average Net Assets | 0.08% | 0.08% | 0.08% | 0.08% | 0.08% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 1.10% | 1.09% | 1.63% | 0.92% | 1.08% |
Portfolio Turnover Rate2 | 40% | 31% | 42% | 40% | 46% |
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. 2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares. | |||||
See accompanying Notes, which are an integral part of the Financial Statements.
104
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. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments 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.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The fund may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the year ended December 31, 2014, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2011–2014), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
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Tax-Managed Small-Cap Fund
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $2.89 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at December 31, 2014, or at any time during the period then ended.
6. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. 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 based on methods approved by the board of trustees. The fund has committed to invest up to 0.40% of its net assets in Vanguard. At December 31, 2014, the fund had contributed capital of $336,000 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.
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).
106
Tax-Managed Small-Cap Fund
The following table summarizes the market value of the fund’s investments as of December 31, 2014, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 3,603,151 | — | — |
Temporary Cash Investments | 17,652 | 900 | — |
Futures Contracts—Assets1 | 44 | — | — |
Futures Contracts—Liabilities1 | (191) | — | — |
Total | 3,620,656 | 900 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At December 31, 2014, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
E-mini Russell 2000 Index | March 2015 | 120 | 14,408 | (188) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the year ended December 31, 2014, the fund realized $249,303,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
For tax purposes, at December 31, 2014, the fund had $630,000 of ordinary income available for distribution. At December 31, 2014, the fund had available capital losses totaling $16,291,000 to offset future net capital gains. Of this amount, $6,546,000 is subject to expiration on December 31, 2017. Capital losses of $9,745,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, but must be used before any expiring loss carryforwards.
107
Tax-Managed Small-Cap Fund
At December 31, 2014, the cost of investment securities for tax purposes was $2,244,793,000.
Net unrealized appreciation of investment securities for tax purposes was $1,376,910,000, consisting of unrealized gains of $1,398,650,000 on securities that had risen in value since their purchase and $21,740,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended December 31, 2014, the fund purchased $1,834,590,000 of investment securities and sold $1,787,333,000 of investment securities, other than temporary cash investments. Purchases and sales include $360,506,000 and $400,126,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
G. Capital share transactions for each class of shares were:
Year Ended December 31, | ||||
2014 | 2013 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Admiral Shares | ||||
Issued | 674,454 | 15,455 | 362,747 | 9,487 |
Issued in Lieu of Cash Distributions | 25,881 | 574 | 22,870 | 528 |
Redeemed | (630,410) | (14,360) | (242,422) | (6,235) |
Net Increase (Decrease)—Admiral Shares | 69,925 | 1,669 | 143,195 | 3,780 |
Institutional Shares | ||||
Issued | 16,798 | 386 | 210,727 | 5,081 |
Issued in Lieu of Cash Distributions | 1,407 | 31 | 1,227 | 28 |
Redeemed | (31,234) | (702) | (219,395) | (5,274) |
Net Increase (Decrease) —Institutional Shares | (13,029) | (285) | (7,441) | (165) |
H. Management has determined that no material events or transactions occurred subsequent to December 31, 2014, that would require recognition or disclosure in these financial statements.
Report of Independent Registered
Public Accounting Firm
To the Board of Trustees of Vanguard Tax-Managed Funds and the Shareholders of Vanguard Tax-Managed Balanced Fund, Vanguard Tax-Managed Capital Appreciation Fund and Vanguard Tax-Managed Small-Cap Fund:
In our opinion, the accompanying statements of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Tax-Managed Balanced Fund, Vanguard Tax-Managed Capital Appreciation Fund and Vanguard Tax-Managed Small-Cap Fund (constituting separate portfolios of Vanguard Tax-Managed Funds, hereafter referred to as the “Funds”) at December 31, 2014, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement.
An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2014 by correspondence with the custodians and broker, by agreement to the underlying ownership records of the transfer agent and the application of alternative auditing procedures where securities purchased had not been received, provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 18, 2015
109
This information for the fiscal year ended December 31, 2014, is included pursuant to provisions of the Internal Revenue Code.
The Tax-Managed Balanced Fund designates 64% of its income dividends as exempt-interest dividends.
The funds distributed qualified dividend income to shareholders during the fiscal year as follows:
Fund | ($000) |
Tax-Managed Balanced Fund | 12,557 |
Tax-Managed Capital Appreciation Fund | 96,949 |
Tax-Managed Small-Cap Fund | 33,372 |
For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends-received deduction is as follows:
Fund | Percentage |
Tax-Managed Balanced Fund | 97.1%1 |
Tax-Managed Capital Appreciation Fund | 99.8 |
Tax-Managed Small-Cap Fund | 92.1 |
1 The percentage applies only to the taxable ordinary income that has been reported on Form 1099-DIV. |
110
Your Fund’s After-Tax Returns
This table presents returns for your fund both before and after taxes. The after-tax returns are shown in two ways: (1) assuming that an investor owned the fund during the entire period and paid taxes on the fund’s distributions, and (2) assuming that an investor paid taxes on the fund’s distributions and sold all shares at the end of each period.
Calculations are based on the highest individual federal income tax and capital gains tax rates in effect at the times of the distributions and the hypothetical sales. State and local taxes were not considered. After-tax returns reflect any qualified dividend income. (In the example, returns after the sale of fund shares may be higher than those assuming no sale. This occurs when the sale would have produced a capital loss. The calculation assumes that the investor received a tax deduction for the loss.)
The table shows returns for one share class only; returns for other share classes will differ. Please note that your actual after-tax returns will depend on your tax situation and may differ from those shown. Also note that if you own the fund in a tax-deferred account, such as an individual retirement account or a 401(k) plan, this information does not apply to you. Such accounts are not subject to current taxes.
Finally, keep in mind that a fund’s performance—whether before or after taxes—does not guarantee future results.
Average Annual Total Returns: Tax-Managed Funds
Periods Ended December 31, 2014
One | Five | Ten | |
Year | Years | Years | |
Tax-Managed Balanced Fund | |||
Returns Before Taxes | 9.81% | 9.93% | 6.50% |
Returns After Taxes on Distributions | 9.28 | 9.58 | 6.27 |
Returns After Taxes on Distributions and Sale of Fund Shares | 5.97 | 8.03 | 5.50 |
One | Five | Ten | |
Year | Years | Years | |
Tax-Managed Capital Appreciation Fund Admiral Shares | |||
Returns Before Taxes | 12.52% | 15.53% | 8.04% |
Returns After Taxes on Distributions | 12.11 | 15.19 | 7.75 |
Returns After Taxes on Distributions and Sale of Fund Shares | 7.42 | 12.56 | 6.55 |
One | Five | Ten | |
Year | Years | Years | |
Tax-Managed Small-Cap Fund Admiral Shares | |||
Returns Before Taxes | 6.23% | 17.25% | 9.06% |
Returns After Taxes on Distributions | 5.96 | 17.03 | 8.87 |
Returns After Taxes on Distributions and Sale of Fund Shares | 3.71 | 14.01 | 7.43 |
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.
112
Six Months Ended December 31, 2014 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
6/30/2014 | 12/31/2014 | Period | |
Based on Actual Fund Return | |||
Tax-Managed Balanced Fund | $1,000.00 | $1,036.96 | $0.62 |
Tax-Managed Capital Appreciation Fund | |||
Admiral Shares | $1,000.00 | $1,049.06 | $0.62 |
Institutional Shares | 1,000.00 | 1,049.33 | 0.41 |
Tax-Managed Small-Cap Fund | |||
Admiral Shares | $1,000.00 | $1,028.74 | $0.61 |
Institutional Shares | 1,000.00 | 1,028.85 | 0.41 |
Based on Hypothetical 5% Yearly Return | |||
Tax-Managed Balanced Fund | $1,000.00 | $1,024.60 | $0.61 |
Tax-Managed Capital Appreciation Fund | |||
Admiral Shares | $1,000.00 | $1,024.60 | $0.61 |
Institutional Shares | 1,000.00 | 1,024.80 | 0.41 |
Tax-Managed Small-Cap Fund | |||
Admiral Shares | $1,000.00 | $1,024.60 | $0.61 |
Institutional Shares | 1,000.00 | 1,024.80 | 0.41 |
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 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.
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 Stated Maturity. The average length of time until fixed income securities held by a fund reach maturity and are repaid using the maturity date of the security. The figure reflects the proportion of fund assets represented by each security; it also reflects any futures contracts held. In general, the longer the average stated 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.
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.
Benchmark Information
Tax-Managed Balanced Composite Index: Weighted 50% Russell 1000 Index and 50% Barclays 7 Year Municipal Bond Index through January 31, 2002, and 50% Russell 1000 Index and 50% Barclays 1–15 Year Municipal Bond Index thereafter.
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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 177 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. | |
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 of |
Inc., and of each of the investment companies served | the University of Pennsylvania; Christopher H. Browne |
by The Vanguard Group, since January 2010; Director | Distinguished Professor of Political Science, School of |
of The Vanguard Group since 2008; Chief Executive | Arts and Sciences, and Professor of Communication, |
Officer and President of The Vanguard Group, and of | Annenberg School for Communication, with secondary |
each of the investment companies served by The | faculty appointments in the Department of Philosophy, |
Vanguard Group, since 2008; Director of Vanguard | School of Arts and Sciences, and at the Graduate |
Marketing Corporation; Managing Director of The | School of Education, University of Pennsylvania; |
Vanguard Group (1995–2008). | Trustee of the National Constitution Center; Chair |
of the Presidential Commission for the Study of | |
IndependentTrustees | Bioethical Issues. |
Emerson U. Fullwood | JoAnn Heffernan Heisen |
Born 1948. Trustee Since January 2008. Principal | Born 1950. Trustee Since July 1998. Principal |
Occupation(s) During the Past Five Years: Executive | Occupation(s) During the Past Five Years: Corporate |
Chief Staff and Marketing Officer for North America | Vice President and Chief Global Diversity Officer |
and Corporate Vice President (retired 2008) of Xerox | (retired 2008) and Member of the Executive |
Corporation (document management products and | Committee (1997–2008) of Johnson & Johnson |
services); Executive in Residence and 2009–2010 | (pharmaceuticals/medical devices/consumer |
Distinguished Minett Professor at the Rochester | products); Director of Skytop Lodge Corporation |
Institute of Technology; Director of SPX Corporation | (hotels), the University Medical Center at Princeton, |
(multi-industry manufacturing), the United Way of | the Robert Wood Johnson Foundation, and the Center |
Rochester, Amerigroup Corporation (managed health | for Talent Innovation; Member of the Advisory Board |
care), the University of Rochester Medical Center, | of the Maxwell School of Citizenship and Public Affairs |
Monroe Community College Foundation, and North | at Syracuse University. |
Carolina A&T University. | |
F. Joseph Loughrey | |
Rajiv L. Gupta | Born 1949. Trustee Since October 2009. Principal |
Born 1945. Trustee Since December 2001.2 | Occupation(s) During the Past Five Years: President |
Principal Occupation(s) During the Past Five Years: | and Chief Operating Officer (retired 2009) of Cummins |
Chairman and Chief Executive Officer (retired 2009) | Inc. (industrial machinery); Chairman of the Board |
and President (2006–2008) of Rohm and Haas Co. | of Hillenbrand, Inc. (specialized consumer services), |
(chemicals); Director of Tyco International, Ltd. | and of Oxfam America; Director of SKF AB (industrial |
(diversified manufacturing and services), Hewlett- | machinery), Hyster-Yale Materials Handling, Inc. |
Packard Co. (electronic computer manufacturing), | (forklift trucks), the Lumina Foundation for Education, |
and the V Foundation for Cancer Research; Member | Executive Officers | |
of the Advisory Council for the College of Arts and | ||
Letters and of the Advisory Board to the Kellogg | Glenn Booraem | |
Institute for International Studies, both at the | Born 1967. Controller Since July 2010. Principal | |
University 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 (retired 2013) | ||
at IBM (information technology services); Fiduciary | Thomas J. Higgins | |
Member of IBM’s Retirement Plan Committee (2004– | Born 1957. Chief Financial Officer Since September | |
2013); Member of the Council on Chicago Booth. | 2008. Principal Occupation(s) During the Past Five | |
Years: Principal of The Vanguard Group, Inc.; Chief | ||
Scott C. Malpass | Financial Officer of each of the investment companies | |
Born 1962. Trustee Since March 2012. Principal | served by The Vanguard Group; Treasurer of each of | |
Occupation(s) During the Past Five Years: Chief | the investment companies served by The Vanguard | |
Investment Officer and Vice President at the University | Group (1998–2008). | |
of Notre Dame; Assistant Professor of Finance at the | ||
Mendoza College of Business at Notre Dame; Member | Kathryn J. Hyatt | |
of the Notre Dame 403(b) Investment Committee; | Born 1955. Treasurer Since November 2008. Principal | |
Board Member of TIFF Advisory Services, Inc. | Occupation(s) During the Past Five Years: Principal of | |
(investment advisor); Member of the Investment | The Vanguard Group, Inc.; Treasurer of each of the | |
Advisory Committees of the Financial Industry | investment companies served by The Vanguard | |
Regulatory Authority (FINRA) and of Major League | Group; Assistant Treasurer of each of the investment | |
Baseball. | companies served by The Vanguard Group (1988–2008). | |
André F. Perold | Heidi Stam | |
Born 1952. Trustee Since December 2004. Principal | Born 1956. Secretary Since July 2005. Principal | |
Occupation(s) During the Past Five Years: George | Occupation(s) During the Past Five Years: Managing | |
Gund Professor of Finance and Banking, Emeritus | Director of The Vanguard Group, Inc.; General Counsel | |
at the Harvard Business School (retired 2011); | of The Vanguard Group; Secretary of The Vanguard | |
Chief Investment Officer and Managing Partner of | Group and of each of the investment companies | |
HighVista Strategies LLC (private investment firm); | served by The Vanguard Group; Director and Senior | |
Director of Rand Merchant Bank; Overseer of the | Vice President of Vanguard Marketing Corporation. | |
Museum of Fine Arts Boston. | ||
Vanguard Senior ManagementTeam | ||
Alfred M. Rankin, Jr. | ||
Born 1941. Trustee Since January 1993. Principal | Mortimer J. Buckley | Chris D. McIsaac |
Occupation(s) During the Past Five Years: Chairman, | Kathleen C. Gubanich | Michael S. Miller |
President, and Chief Executive Officer of NACCO | Paul A. Heller | James M. Norris |
Industries, Inc. (housewares/lignite), and of Hyster- | Martha G. King | Glenn W. Reed |
Yale Materials Handling, Inc. (forklift trucks); Chairman | John T. Marcante | |
of the Board of University Hospitals of Cleveland. | ||
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); Trustee of | ||
Colby-Sawyer College; Member of the Advisory Board | Founder | |
of the Norris Cotton Cancer Center and of the Advisory | ||
Board of the Parthenon Group (strategy consulting). | John C. Bogle | |
Chairman and Chief Executive Officer, 1974–1996 | ||
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
P.O. Box 2600 | |
Valley Forge, PA 19482-2600 | |
Connect with Vanguard® > vanguard.com | |
Fund Information > 800-662-7447 | |
Direct Investor Account Services > 800-662-2739 | |
Institutional Investor Services > 800-523-1036 | |
Text Telephone for People | |
Who Are Deaf or Hard of Hearing> 800-749-7273 | |
This material may be used in conjunction | |
with the offering of shares of any Vanguard | |
fund only if preceded or accompanied by | |
the fund’s current prospectus. | |
All comparative mutual fund data are from Lipper, a | |
Thomson Reuters Company, or Morningstar, Inc., unless | |
otherwise noted. | |
You can obtain a free copy of Vanguard’s proxy voting | |
guidelines by visiting vanguard.com/proxyreporting or by | |
calling Vanguard at 800-662-2739. The guidelines are | |
also available from the SEC’s website, sec.gov. In | |
addition, you may obtain a free report on how your fund | |
voted the proxies for securities it owned during the 12 | |
months ended June 30. To get the report, visit either | |
vanguard.com/proxyreporting or sec.gov. | |
You can review and copy information about your fund at | |
the SEC’s Public Reference Room in Washington, D.C. To | |
find out more about this public service, call the SEC at | |
202-551-8090. Information about your fund is also | |
available on the SEC’s website, and you can receive | |
copies of this information, for a fee, by sending a | |
request in either of two ways: via 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. | |
© 2015 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q870 022015 |
Annual Report | December 31, 2014
Vanguard Developed Markets Index Fund
The mission continues
On May 1, 1975, Vanguard began operations, a fledgling company based on the simple but revolutionary idea that a mutual fund company should be managed solely in the interest of its investors.
Four decades later, that revolutionary spirit continues to animate the enterprise. Vanguard remains on a mission to give investors the best chance of investment success.
As we mark our 40th anniversary, we thank you for entrusting your assets to Vanguard and giving us the opportunity to help you reach your financial goals in the decades to come.
Contents | |
Your Fund’s Total Returns. | 1 |
Chairman’s Letter. | 2 |
Fund Profile. | 9 |
Performance Summary. | 11 |
Financial Statements. | 14 |
Your Fund’s After-Tax Returns. | 36 |
About Your Fund’s Expenses. | 37 |
Glossary. | 39 |
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: Since our founding, Vanguard has drawn inspiration from the enterprise and valor demonstrated by British naval hero Horatio Nelson and his command at the Battle of the Nile in 1798. The photograph displays a replica of a merchant ship from the same era as Nelson’s flagship, the HMS Vanguard.
Your Fund’s Total Returns
Fiscal Year Ended December 31, 2014 | |
Total | |
Returns | |
Vanguard Developed Markets Index Fund | |
Investor Shares | -5.82% |
Admiral™ Shares | -5.66 |
Institutional Shares | -5.72 |
Institutional Plus Shares (Inception: 4/1/2014) | -6.67 |
FTSE Developed Markets ETF Shares | |
Market Price | -6.02 |
Net Asset Value | -5.71 |
FTSE Developed ex North America Index | -4.85 |
International Funds Average | -5.08 |
International Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements. Institutional Shares and Institutional Plus Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the NYSE Arca exchange and are available only through brokers. The table provides ETF returns based on both the NYSE Arca market price and the net asset value for a share. U.S. Pat. Nos. 6,879,964; 7,337,138; 7,720,749; 7,925,573; 8,090,646; and 8,417,623.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
Your Fund’s Performance at a Glance | ||||
December 31, 2013, Through December 31, 2014 | ||||
Distributions Per Share | ||||
Starting | Ending | |||
Share | Share | Income | Capital | |
Price | Price | Dividends | Gains | |
Vanguard Developed Markets Index Fund | ||||
Investor Shares | $10.34 | $9.42 | $0.338 | $0.000 |
Admiral Shares | 13.35 | 12.17 | 0.450 | 0.000 |
Institutional Shares | 13.37 | 12.18 | 0.452 | 0.000 |
Institutional Plus Shares | ||||
(Inception: 4/1/2014) | 20.90 | 19.05 | 0.490 | 0.000 |
FTSE Developed Markets ETF Shares | 41.53 | 37.85 | 1.394 | 0.000 |
1
Chairman’s Letter
Dear Shareholder,
Stocks of developed markets outside the United States tumbled in 2014, as Europe and China faced economic challenges and tensions flared in Ukraine and the Middle East.
For the 12 months ended December 31, Vanguard Developed Markets Index Fund returned –5.82% for Investor Shares. The fund’s return diverged from that of its benchmark, the FTSE Developed ex North America Index, because of temporary price differences arising from fair-value pricing policies (see the inset box on page 6 for more detail). The fund’s result lagged the average return of its peer group.
If you hold this fund in a taxable account, you may wish to review the after-tax returns that appear later in this report.
U.S. stocks finished strongly for the sixth straight year
U.S. stocks returned nearly 13% for the 12 months, posting gains for the sixth consecutive calendar year. Rising corporate earnings, the growing U.S. economy, and generally accommodative global monetary policies lifted domestic markets.
Although the Federal Reserve ended its stimulative bond-buying program in October, investors seemed reassured by the Fed’s promise to be “patient” as it
2
decides when to increase short-term interest rates. Other central banks—including the Bank of Japan, the European Central Bank, and the People’s Bank of China—announced significant stimulus measures.
International stocks didn’t fare as well as their U.S. counterparts, returning about –3% in dollar terms. Their performance was hurt as many foreign currencies weakened against the U.S. dollar.
Defying analysts’ expectations, bond prices rose during the period
Bond prices received a boost from moves by many of the world’s central banks along with various global economic, market, and geopolitical challenges that drew investors to perceived safe havens. In an unexpected rebound from the previous year, the broad U.S. bond market returned 5.97% for the period.
Even with the Fed paring back its bond purchases, prices climbed and yields fell. (Bond prices and yields move in opposite directions.) The yield of the 10-year Treasury note ended December at 2.19%, down from 2.97% at the close of December 2013.
Municipal bonds returned 9.05%, benefiting from increased demand and generally limited supply.
Market Barometer | |||
Average Annual Total Returns | |||
Periods Ended December 31, 2014 | |||
One | Three | Five | |
Year | Years | Years | |
Stocks | |||
Russell 1000 Index (Large-caps) | 13.24% | 20.62% | 15.64% |
Russell 2000 Index (Small-caps) | 4.89 | 19.21 | 15.55 |
Russell 3000 Index (Broad U.S. market) | 12.56 | 20.51 | 15.63 |
FTSE All-World ex US Index (International) | -3.31 | 9.41 | 4.75 |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable market) | 5.97% | 2.66% | 4.45% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 9.05 | 4.30 | 5.16 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.03 | 0.04 | 0.06 |
CPI | |||
Consumer Price Index | 0.76% | 1.33% | 1.69% |
3
International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned –3.08%.
Returns for money market funds and savings accounts remained minuscule as the Fed kept its target for short-term interest rates to 0%–0.25%.
Developed markets faced hurdles in Europe and the Pacific region
After posting modest returns in the first half of 2014, developed markets in Europe and the Pacific region skidded as investors grew weary of slower growth in Europe (despite two interest rate cuts by the European Central Bank), in China, and elsewhere. In such an environment, the Developed Markets Index Fund recorded its lowest return in three years.
Developed markets in Europe, which constituted more than 60% of the fund’s holdings, returned less than –5% for 2014. Most of the region’s major economies posted negative returns, including the United Kingdom, Germany, and France.
The financial, oil and gas, and industrial sectors detracted from the fund’s performance in the region. Although most banks in the Eurozone passed stress tests conducted by the European Central Bank, investors remained anxious about the financial sector as a whole and banks’ lending abilities in particular. The plunge in global oil prices hurt oil producers and distributors. Tensions between Russia and some European powers over the crisis in Ukraine further hampered potentially lucrative deals for large energy and
Expense Ratios | ||||||
Your Fund Compared With Its Peer Group | ||||||
FTSE | ||||||
Developed | ||||||
Markets | Peer | |||||
Investor | Admiral | Institutional | Institutional | ETF | Group | |
Shares | Shares | Shares | Plus Shares | Shares | Average | |
Developed Markets Index Fund | 0.20% | 0.09% | 0.07% | 0.06% | 0.09% | 1.36% |
The fund expense ratios shown are from the prospectus dated April 7, 2014, and represent estimated costs for the current fiscal year. For the fiscal year ended December 31, 2014, the fund’s expense ratios were 0.20% for Investor Shares, 0.09% for Admiral Shares, 0.07% for Institutional Shares, 0.06% (annualized) for Institutional Plus Shares, and 0.09% for FTSE Developed Markets ETF Shares. The peer-group expense ratio is derived from data provided by Lipper, a Thomson Reuters Company, and captures information through year-end 2013.
Peer group: International Funds.
4
chemical companies. Continued softness in emerging-market economies also weighed on industrial stocks.
Boosted by strong returns for pharmaceutical and biotechnology companies, Switzerland and Denmark were among the few European countries to show gains for the year.
The Pacific region returned –3%. Japan, the largest holding in the fund, fell back into recession. At year-end, Prime Minister Shinzo Abe approved another aggressive stimulus program in the hope of jump-starting the economy. However, Japanese stocks ended the year down 3%.
Other large markets in the region—Australia, South Korea, and Hong Kong—produced mixed results. Weak demand for commodities and lower oil and gas prices detracted from Australian stocks. South Korea faced challenges in the industrial and banking sectors. But Hong Kong reported positive results, thanks in part to the strength of its financial sector.
The fund closely tracked its index over a decade, meeting a key goal
For the ten years through December 31, 2014, the Developed Market Index Fund’s average annual return was 4.51% for Admiral Shares. The fund closely tracked its benchmark and slightly outpaced its peer average.
Total Returns | |
Ten Years Ended December 31, 2014 | |
Average | |
Annual Return | |
Developed Markets Index Fund Admiral Shares | 4.51% |
Spliced Developed ex North America Index | 4.43 |
International Funds Average | 4.28 |
For a benchmark description, see the Glossary. | |
International Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
The figures shown represent past performance, which is not a guarantee of future results. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at 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.
5
The fund’s success in tracking its benchmark is a tribute to its advisor, Vanguard Equity Investment Group. The group relies on its proven portfolio management strategies to produce benchmark-tracking returns regardless of external market conditions. At the same time, the fund’s low costs help you keep more of the market’s returns.
As we reflect upon the past decade, and indeed the year, it’s important to consider the benefits of global diversification. The past year vividly illustrated how global stock markets don’t always move in
lockstep. A portfolio that includes both U.S. and international stocks and other asset classes can provide some cushion for investors to weather the inevitable variations in global market performance.
To build for the long term, start with a solid foundation
As the leader of a major investment firm, I get asked a lot of questions on all kinds of topics, from the outlook for global markets to the best fund choices for an IRA. But a topic that almost never comes up—and one that I consider perhaps the most important—is setting investment goals.
A note on fair-value pricing |
The reported return of a fund that tracks an index sometimes diverges 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 many 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 these foreign securities |
may change—because of company-specific announcements or market-wide developments, |
for example. Such price changes are not 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. |
6
At Vanguard, we believe that following four timeless, straightforward principles can help put you on the right track toward investment success:
• Goals. Create clear, appropriate investment goals.
• Balance. Develop a suitable asset allocation using broadly diversified funds.
• Cost. Minimize cost.
• Discipline. Maintain perspective and long-term discipline.
All four principles are essential, and the order in which they’re listed is intentional. Every good investment plan begins with a clearly defined goal, which sets the foundation for building your portfolio. (You can read more about our principles in
Vanguard’s Principles for Investing Success, available at vanguard.com/research.)
Setting an investment goal doesn’t have to be complicated. It can be as simple as saving for retirement or for a child’s college education. Being realistic about your
Vanguard’s outlook for investors: Expect less and stay balanced |
In Vanguard’s recently published market outlook, global chief economist Joe Davis and his |
team discuss expected returns for various asset classes over the coming years. Although not |
bearish, our outlook on global stocks and bonds is the most guarded since 2006. The report |
cautions that, over the next decade, returns for a balanced portfolio are likely to be moderately |
below long-run historical averages. |
Our simulations indicate that the average annualized returns of a 60% equity/40% bond |
portfolio for the decade ending 2024 are most likely to be centered in the 3%–5% range |
after inflation, below the actual average after-inflation return of 5.6% for the same portfolio |
since 1926. |
Even so, Vanguard firmly believes that the principles for investing success—focusing on clear |
goals, a suitable asset allocation, low costs, and long-term discipline—remain unchanged. |
For more information about our expectations and the probability of various outcomes, |
see Vanguard’s Economic and Investment Outlook, available at vanguard.com/research. |
IMPORTANT: The projections and other information generated by the Vanguard Capital Markets Model (VCMM) regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results, and are not guarantees of future results. Distribution of return outcomes from VCMM, derived from 10,000 simulations for U.S. equity returns and fixed income returns. Simulations as of September 30, 2014. Results from the model may vary with each use and over time. For more information, please see page 8.
7
goals—and how to meet them—can help you stick with your investment plan even when times get tough.
We’ve recently welcomed a new year, which for many means a new beginning. Now is a perfect time to revisit your investment plan and make any necessary adjustments to help you reach your long-term financial goals.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
January 16, 2015
IMPORTANT: The projections and other information generated by the Vanguard Capital Markets Model regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results, and are not guarantees of future results. VCMM results will vary with each use and over time.
The VCMM projections are based on a statistical analysis of historical data. Future returns may behave differently from the historical patterns captured in the VCMM. More important, the VCMM may be underestimating extreme negative scenarios unobserved in the historical period on which the model estimation is based.
The Vanguard Capital Markets Model® is a proprietary financial simulation tool developed and maintained by Vanguard’s primary investment research and advice teams. The model forecasts distributions of future returns for a wide array of broad asset classes. Those asset classes include U.S. and international equity markets, several maturities of the U.S. Treasury and corporate fixed income markets, international fixed income markets, U.S. money markets, commodities, and certain alternative investment strategies. The theoretical and empirical foundation for the Vanguard Capital Markets Model is that the returns of various asset classes reflect the compensation investors require for bearing different types of systematic risk (beta). At the core of the model are estimates of the dynamic statistical relationship between risk factors and asset returns, obtained from statistical analysis based on available monthly financial and economic data from as early as 1960. Using a system of estimated equations, the model then applies a Monte Carlo simulation method to project the estimated interrelationships among risk factors and asset classes as well as uncertainty and randomness over time. The model generates a large set of simulated outcomes for each asset class over several time horizons. Forecasts are obtained by computing measures of central tendency in these simulations. Results produced by the tool will vary with each use and over time.
8
Developed Markets Index Fund
Fund Profile
As of December 31, 2014
Share-Class Characteristics | |||||
Investor | Admiral | Institutional | Institutional | ||
Shares | Shares | Shares | Plus Shares | ETF Shares | |
Ticker Symbol | VDVIX | VTMGX | VTMNX | VDIPX | VEA |
Expense Ratio1 | 0.20% | 0.09% | 0.07% | 0.06% | 0.09% |
Portfolio Characteristics | |||
FTSE | FTSE | ||
Developed | Global | ||
ex North | All Cap | ||
America | ex US | ||
Fund | Index | Index | |
Number of Stocks | 1,402 | 1,385 | 5,579 |
Median Market Cap | $32.7B | $32.7B | $24.3B |
Price/Earnings Ratio | 17.6x | 17.5x | 17.1x |
Price/Book Ratio | 1.7x | 1.7x | 1.7x |
Return on Equity | 14.0% | 14.0% | 14.5% |
Earnings Growth | |||
Rate | 11.5% | 11.6% | 12.5% |
Dividend Yield | 3.0% | 3.0% | 2.9% |
Turnover Rate | 4% | — | — |
Short-Term Reserves | 0.1% | — | — |
Sector Diversification (% of equity exposure) | |||
FTSE | FTSE | ||
Developed | Global | ||
ex North | All Cap | ||
America | ex US | ||
Fund | Index | Index | |
Basic Materials | 7.8% | 7.8% | 7.7% |
Consumer Goods | 18.5 | 18.5 | 15.3 |
Consumer Services | 8.1 | 8.1 | 8.4 |
Financials | 24.7 | 24.8 | 26.6 |
Health Care | 9.8 | 9.7 | 7.7 |
Industrials | 14.0 | 14.1 | 14.0 |
Oil & Gas | 5.5 | 5.4 | 7.0 |
Technology | 3.6 | 3.6 | 5.1 |
Telecommunications | 4.3 | 4.3 | 4.6 |
Utilities | 3.7 | 3.7 | 3.6 |
Volatility Measures | ||
FTSE Global | ||
Spliced Dev | All Cap | |
ex North | ex US | |
America Index | Index | |
R-Squared | 0.98 | 0.95 |
Beta | 1.00 | 1.00 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months. | ||
Ten Largest Holdings (% of total net assets) | ||
Nestle SA | Food Products | 1.7% |
Royal Dutch Shell plc | Integrated Oil & Gas | 1.6 |
Novartis AG | Pharmaceuticals | 1.6 |
Roche Holding AG | Pharmaceuticals | 1.4 |
HSBC Holdings plc | Banks | 1.3 |
Toyota Motor Corp. | Automobiles | 1.2 |
Samsung Electronics Co. Consumer | ||
Ltd. | Electronics | 0.9 |
BHP Billiton | General Mining | 0.9 |
BP plc | Integrated Oil & Gas | 0.9 |
Bayer AG | Specialty Chemicals | 0.8 |
Top Ten | 12.3% | |
The holdings listed exclude any temporary cash investments and equity index products. | ||
Allocation by Region (% of portfolio)
1 The expense ratios shown are from the prospectus dated April 7, 2014, and represent estimated costs for the current fiscal year. For the fiscal year ended December 31, 2014, the expense ratios were 0.20% for Investor Shares, 0.09% for Admiral Shares, 0.07% for Institutional Shares, 0.06% (annualized) for Institutional Plus Shares, and 0.09% for FTSE Developed Markets ETF Shares.
9
Developed Markets Index Fund
Market Diversification (% of equity exposure) | |||
FTSE | FTSE | ||
Developed | Global | ||
ex North | All Cap | ||
America | ex US | ||
Fund | Index | Index | |
Europe | |||
United Kingdom | 19.9% | 19.9% | 15.0% |
Switzerland | 8.6 | 8.7 | 6.1 |
France | 8.5 | 8.5 | 6.0 |
Germany | 8.4 | 8.4 | 6.0 |
Spain | 3.2 | 3.2 | 2.4 |
Sweden | 2.9 | 2.9 | 2.2 |
Netherlands | 2.7 | 2.7 | 2.0 |
Italy | 2.2 | 2.2 | 1.7 |
Denmark | 1.5 | 1.5 | 1.1 |
Belgium | 1.2 | 1.2 | 0.9 |
Other | 2.3 | 2.3 | 1.8 |
Subtotal | 61.4% | 61.5% | 45.2% |
Pacific | |||
Japan | 21.5% | 21.3% | 15.9% |
Australia | 7.2 | 7.2 | 5.3 |
South Korea | 4.0 | 4.1 | 3.1 |
Hong Kong | 3.5 | 3.5 | 2.5 |
Singapore | 1.5 | 1.5 | 1.2 |
Other | 0.2 | 0.2 | 0.2 |
Subtotal | 37.9% | 37.8% | 28.2% |
Emerging Markets | 0.0% | 0.0% | 18.7% |
North America | 0.0% | 0.0% | 7.4% |
Middle East | 0.7% | 0.7% | 0.5% |
10
Developed Markets Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: July 20, 2007, Through December 31, 2014
Initial Investment of $10,000
Average Annual Total Returns | |||||
Periods Ended December 31, 2014 | |||||
Since | Final Value | ||||
One | Five | Inception | of a $10,000 | ||
Year | Years | (7/20/2007) | Investment | ||
FTSE Developed Markets ETF Shares | |||||
Net Asset Value | -5.71% | 5.31% | -0.59% | $9,569 | |
FTSE Developed Markets ETF Shares | |||||
Market Price | -6.02 | 5.24 | -0.61 | 9,553 | |
Spliced Developed ex North America | |||||
•••••••• | Index | -4.85 | 5.33 | -0.73 | 9,470 |
– – – – | International Funds Average | -5.08 | 5.05 | -0.94 | 9,320 |
FTSE Global All Cap ex US Index | -3.39 | 4.93 | -0.16 | 9,878 | |
For a benchmark description, see the Glossary. | |||||
International Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |||||
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards. |
Since | Final Value | ||
One | Inception | of a $10,000 | |
Year | (12/19/2013) | Investment | |
Developed Markets Index Fund Investor | |||
Shares | -5.82% | -2.54% | $9,738 |
Spliced Developed ex North America Index | -4.85 | -1.76 | 9,818 |
FTSE Global All Cap ex US Index | -3.39 | -0.63 | 9,935 |
"Since Inception" performance is calculated from the Investor Shares’ inception date for both the fund and its comparative standards. |
See Financial Highlights for dividend and capital gains information.
11
Developed Markets Index Fund
Average Annual Total Returns | ||||
Periods Ended December 31, 2014 | ||||
Final Value | ||||
One | Five | Ten | of a $10,000 | |
Year | Years | Years | Investment | |
Developed Markets Index Fund Admiral | ||||
Shares | -5.66% | 5.29% | 4.51% | $15,544 |
Spliced Developed ex North America Index | -4.85 | 5.33 | 4.43 | 15,428 |
FTSE Global All Cap ex US Index | -3.39 | 4.93 | 5.79 | 17,551 |
Final Value | ||||
One | Five | Ten | of a $5,000,000 | |
Year | Years | Years | Investment | |
Developed Markets Index Fund Institutional | ||||
Shares | -5.72% | 5.33% | 4.57% | $7,816,983 |
Spliced Developed ex North America Index | -4.85 | 5.33 | 4.43 | 7,714,216 |
FTSE Global All Cap ex US Index | -3.39 | 4.93 | 5.79 | 8,775,272 |
Since | Final Value | |
Inception | of a $100,000,000 | |
(4/1/2014) | Investment | |
Developed Markets Index Fund Institutional | ||
Plus Shares | -6.67% | $93,331,615 |
FTSE Developed ex North America Index | -5.77 | 94,231,125 |
FTSE Global All Cap ex US Index | -4.71 | 95,288,089 |
"Since Inception" performance is calculated from the Institutional Plus Shares’ inception date for both the fund and its comparative standards. |
Cumulative Returns of ETF Shares: July 20, 2007, Through December 31, 2014 | |||
Since | |||
One | Five | Inception | |
Year | Years | (7/20/2007) | |
FTSE Developed Markets ETF Shares Market Price | -6.02% | 29.10% | -4.47% |
FTSE Developed Markets ETF Shares Net Asset | |||
Value | -5.71 | 29.52 | -4.31 |
Spliced Developed ex North America Index | -4.85 | 29.67 | -5.30 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards. |
12
Developed Markets Index Fund
Fiscal-Year Total Returns (%): December 31, 2004, Through December 31, 2014
13
Developed Markets Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of December 31, 2014
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 | |||
Commonwealth Bank of Australia | 5,357,647 | 372,246 | 0.8% |
Westpac Banking Corp. | 10,256,131 | 275,849 | 0.6% |
BHP Billiton Ltd. | 10,687,029 | 252,672 | 0.6% |
Australia & New Zealand Banking Group Ltd. | 9,176,828 | 238,783 | 0.5% |
National Australia Bank Ltd. | 7,873,753 | 214,721 | 0.5% |
Australia—Other † | 1,869,059 | 4.1% | |
3,223,330 | 7.1% | ||
Austria † | 90,188 | 0.2% | |
Belgium | |||
Anheuser-Busch InBev NV | 2,656,505 | 298,968 | 0.7% |
Belgium—Other † | 241,314 | 0.5% | |
540,282 | 1.2% | ||
Denmark | |||
Novo Nordisk A/S Class B | 6,485,654 | 274,342 | 0.6% |
Denmark—Other † | 386,517 | 0.9% | |
660,859 | 1.5% | ||
Finland † | 384,167 | 0.8% | |
France | |||
Sanofi | 3,811,066 | 347,458 | 0.8% |
Total SA | 6,765,778 | 346,625 | 0.8% |
BNP Paribas SA | 3,250,702 | 191,903 | 0.4% |
France—Other † | 2,935,840 | 6.5% | |
3,821,826 | 8.5% |
14
Developed Markets Index Fund
Market | Percentage | ||
Value• | of Net | ||
Shares | ($000) | Assets | |
Germany | |||
Bayer AG | 2,753,401 | 375,313 | 0.8% |
Siemens AG | 2,639,376 | 296,149 | 0.6% |
Daimler AG | 3,180,099 | 264,121 | 0.6% |
BASF SE | 3,073,125 | 257,777 | 0.6% |
Allianz SE | 1,516,857 | 251,232 | 0.5% |
SAP SE | 2,987,645 | 208,623 | 0.5% |
Deutsche Telekom AG | 10,374,734 | 166,000 | 0.4% |
Germany—Other † | 1,944,444 | 4.3% | |
3,763,659 | 8.3% | ||
Greece † | 39,776 | 0.1% | |
Hong Kong | |||
AIA Group Ltd. | 40,118,009 | 221,270 | 0.5% |
Hang Seng Bank Ltd. | 2,570,034 | 42,715 | 0.1% |
1 Hong Kong—Other † | 1,325,726 | 2.9% | |
1,589,711 | 3.5% | ||
Ireland † | 115,594 | 0.3% | |
Israel | |||
Teva Pharmaceutical Industries Ltd. | 3,158,188 | 181,043 | 0.4% |
Osem Investments Ltd. | 127,339 | 2,259 | 0.0% |
Israel—Other † | 113,286 | 0.3% | |
296,588 | 0.7% | ||
Italy † | 972,299 | 2.1% | |
Japan | |||
Toyota Motor Corp. | 8,820,648 | 549,680 | 1.2% |
Mitsubishi UFJ Financial Group Inc. | 47,116,463 | 258,869 | 0.6% |
SoftBank Corp. | 3,136,391 | 186,688 | 0.4% |
Honda Motor Co. Ltd. | 5,981,489 | 175,487 | 0.4% |
Chugai Pharmaceutical Co. Ltd. | 745,913 | 18,315 | 0.1% |
Hino Motors Ltd. | 906,537 | 11,933 | 0.0% |
Daihatsu Motor Co. Ltd. | 704,304 | 9,199 | 0.0% |
Japan—Other † | 8,459,243 | 18.7% | |
9,669,414 | 21.4% | ||
Netherlands | |||
Unilever NV | 5,177,524 | 202,534 | 0.4% |
* ING Groep NV | 12,848,957 | 166,005 | 0.4% |
Netherlands—Other † | 839,051 | 1.9% | |
1,207,590 | 2.7% | ||
New Zealand † | 87,404 | 0.2% | |
1Norway † | 291,146 | 0.6% | |
Portugal † | 69,913 | 0.2% |
15
Developed Markets Index Fund
Market | Percentage | ||
Value• | of Net | ||
Shares | ($000) | Assets | |
Singapore † | 670,262 | 1.5% | |
South Korea | |||
Samsung Electronics Co. Ltd. | 272,968 | 328,174 | 0.7% |
South Korea—Other † | 1,491,793 | 3.3% | |
1,819,967 | 4.0% | ||
Spain | |||
* Banco Santander SA | 42,015,879 | 352,645 | 0.8% |
Banco Bilbao Vizcaya Argentaria SA | 20,453,641 | 193,173 | 0.4% |
Telefonica SA | 13,241,658 | 190,118 | 0.4% |
Spain—Other † | 719,118 | 1.6% | |
1,455,054 | 3.2% | ||
Sweden † | 1,289,343 | 2.8% | |
Switzerland | |||
Nestle SA | 10,619,955 | 774,205 | 1.7% |
Novartis AG | 7,756,107 | 719,328 | 1.6% |
Roche Holding AG | 2,339,315 | 633,819 | 1.4% |
* UBS Group AG | 11,779,433 | 202,485 | 0.4% |
Switzerland—Other † | 1,567,939 | 3.5% | |
3,897,776 | 8.6% | ||
United Kingdom | |||
HSBC Holdings plc | 63,513,955 | 600,193 | 1.3% |
Royal Dutch Shell plc Class A | 13,109,249 | 437,494 | 1.0% |
BP plc | 60,738,500 | 385,543 | 0.8% |
GlaxoSmithKline plc | 16,192,799 | 347,394 | 0.8% |
British American Tobacco plc | 6,208,278 | 336,433 | 0.7% |
Vodafone Group plc | 88,479,921 | 303,365 | 0.7% |
AstraZeneca plc | 4,202,975 | 296,860 | 0.7% |
Royal Dutch Shell plc Class B | 8,168,737 | 282,239 | 0.6% |
Diageo plc | 8,389,032 | 240,322 | 0.5% |
* Lloyds Banking Group plc | 180,022,468 | 211,754 | 0.5% |
Barclays plc | 54,604,087 | 205,275 | 0.5% |
Prudential plc | 8,498,440 | 196,480 | 0.4% |
Rio Tinto plc | 4,155,338 | 191,549 | 0.4% |
National Grid plc | 12,560,219 | 178,221 | 0.4% |
Reckitt Benckiser Group plc | 2,148,696 | 174,032 | 0.4% |
BT Group plc | 27,055,900 | 168,290 | 0.4% |
SABMiller plc | 3,148,578 | 164,139 | 0.4% |
1 United Kingdom—Other † | 4,179,250 | 9.2% | |
8,898,833 | 19.7% | ||
Total Common Stocks (Cost $42,128,146) | 44,854,981 | 99.2%2 |
16
Developed Markets Index Fund
Market | Percentage | |||
Value• | of Net | |||
Coupon | Shares | ($000) | Assets | |
Temporary Cash Investments | ||||
Money Market Fund | ||||
3,4 Vanguard Market Liquidity Fund | 0.126% | 578,660,805 | 578,661 | 1.3% |
5,6U.S. Government and Agency Obligations † | 33,590 | 0.1% | ||
Total Temporary Cash Investments (Cost $612,253) | 612,251 | 1.4%2 | ||
7Total Investments (Cost $42,740,399) | 45,467,232 | 100.6% | ||
Other Assets and Liabilities | ||||
Other Assets8 | 176,352 | 0.4% | ||
Liabilities3 | (428,636) | (1.0%) | ||
(252,284) | (0.6%) | |||
Net Assets | 45,214,948 | 100.0% | ||
At December 31, 2014, net assets consisted of: | ||||
Amount | ||||
($000) | ||||
Paid-in Capital | 44,489,847 | |||
Overdistributed Net Investment Income | (41,949) | |||
Accumulated Net Realized Losses | (1,958,486) | |||
Unrealized Appreciation (Depreciation) | ||||
Investment Securities | 2,726,833 | |||
Futures Contracts | 7,545 | |||
Forward Currency Contracts | (3,995) | |||
Foreign Currencies | (4,847) | |||
Net Assets | 45,214,948 | |||
Investor Shares—Net Assets | ||||
Applicable to 141,306,867 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 1,331,156 | |||
Net Asset Value Per Share—Investor Shares | $9.42 | |||
Admiral Shares—Net Assets | ||||
Applicable to 498,605,867 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 6,067,678 | |||
Net Asset Value Per Share—Admiral Shares | $12.17 |
17
Developed Markets Index Fund
Amount | |
($000) | |
Institutional Shares—Net Assets | |
Applicable to 635,557,997 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 7,743,041 |
Net Asset Value Per Share—Institutional Shares | $12.18 |
Institutional Plus Shares—Net Assets | |
Applicable to 310,708,103 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 5,917,737 |
Net Asset Value Per Share—Institutional Plus Shares | $19.05 |
ETF Shares—Net Assets | |
Applicable to 638,183,953 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 24,155,336 |
Net Asset Value Per Share—ETF Shares | $37.85 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
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 December 31, 2014, the aggregate value of these securities was $20,042,000.
2 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 99.8% and 0.8%, respectively, of net assets.
3 Includes $302,416,000 of collateral received for securities on loan.
4 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
5 Securities with a value of $13,346,000 have been segregated as initial margin for open futures contracts.
6 Securities with a value of $3,898,000 have been segregated as collateral for open forward currency contracts.
7 The total value of securities on loan is $284,092,000.
8 Cash of $500,000 has been segregated as collateral for open forward currency contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
18
Developed Markets Index Fund
Statement of Operations
Year Ended | |
December 31, 2014 | |
($000) | |
Investment Income | |
Income | |
Dividends1 | 1,308,185 |
Interest2 | 173 |
Securities Lending | 22,672 |
Total Income | 1,331,030 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 2,512 |
Management and Administrative—Investor Shares | 1,988 |
Management and Administrative—Admiral Shares | 2,865 |
Management and Administrative—Institutional Shares | 2,481 |
Management and Administrative—Institutional Plus Shares | 1,449 |
Management and Administrative—ETF Shares | 10,330 |
Marketing and Distribution—Investor Shares | 106 |
Marketing and Distribution—Admiral Shares | 651 |
Marketing and Distribution—Institutional Shares | 657 |
Marketing and Distribution—Institutional Plus Shares | 359 |
Marketing and Distribution—ETF Shares | 5,040 |
Custodian Fees | 4,771 |
Auditing Fees | 53 |
Shareholders’ Reports—Investor Shares | 19 |
Shareholders’ Reports—Admiral Shares | 30 |
Shareholders’ Reports—Institutional Shares | 11 |
Shareholders’ Reports—Institutional Plus Shares | 3 |
Shareholders’ Reports—ETF Shares | 392 |
Trustees’ Fees and Expenses | 23 |
Total Expenses | 33,740 |
Net Investment Income | 1,297,290 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 171,227 |
Futures Contracts | 6,741 |
Foreign Currencies and Forward Currency Contracts | (26,432) |
Realized Net Gain (Loss) | 151,536 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | (4,251,509) |
Futures Contracts | 1,910 |
Foreign Currencies and Forward Currency Contracts | (9,998) |
Change in Unrealized Appreciation (Depreciation) | (4,259,597) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (2,810,771) |
1 Dividends are net of foreign withholding taxes of $59,738,000.
2 Interest income from an affiliated company of the fund was $161,000.
See accompanying Notes, which are an integral part of the Financial Statements.
19
Developed Markets Index Fund
Statement of Changes in Net Assets
Year Ended December 31, | ||
2014 | 2013 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 1,297,290 | 483,317 |
Realized Net Gain (Loss) | 151,536 | (285,096) |
Change in Unrealized Appreciation (Depreciation) | (4,259,597) | 3,147,030 |
Net Increase (Decrease) in Net Assets Resulting from Operations | (2,810,771) | 3,345,251 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (35,479) | — |
Admiral Shares | (165,209) | (48,139) |
Institutional Shares | (200,275) | (10,060) |
Institutional Plus Shares | (139,232) | — |
ETF Shares | (771,236) | (421,854) |
Realized Capital Gain | ||
Investor Shares | — | — |
Admiral Shares | — | — |
Institutional Shares | — | — |
Institutional Plus Shares | — | — |
ETF Shares | — | — |
Total Distributions | (1,311,431) | (480,053) |
Capital Share Transactions | ||
Investor Shares | 1,460,710 | 96 |
Admiral Shares | 4,563,205 | 344,713 |
Institutional Shares | 7,942,013 | 89,173 |
Institutional Plus Shares | 6,469,745 | — |
ETF Shares | 7,338,607 | 5,527,704 |
Net Increase (Decrease) from Capital Share Transactions | 27,774,280 | 5,961,686 |
Total Increase (Decrease) | 23,652,078 | 8,826,884 |
Net Assets | ||
Beginning of Period | 21,562,870 | 12,735,986 |
End of Period1 | 45,214,948 | 21,562,870 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($41,949,000) and ($11,529,000). |
See accompanying Notes, which are an integral part of the Financial Statements.
20
Developed Markets Index Fund
Financial Highlights
Investor Shares | ||
Year | Dec. 19, | |
Ended | 20131 to | |
Dec. 31, | Dec. 31, | |
For a Share Outstanding Throughout Each Period | 2014 | 2013 |
Net Asset Value, Beginning of Period | $10.34 | $10.00 |
Investment Operations | ||
Net Investment Income | . 337 | .008 |
Net Realized and Unrealized Gain (Loss) on Investments | (.919) | .332 |
Total from Investment Operations | (.582) | . 340 |
Distributions | ||
Dividends from Net Investment Income | (.338) | — |
Distributions from Realized Capital Gains | — | — |
Total Distributions | (.338) | — |
Net Asset Value, End of Period | $9.42 | $10.34 |
Total Return2 | -5.82% | 3.40% |
Ratios/Supplemental Data | ||
Net Assets, End of Period (Millions) | $1,331 | $0.1 |
Ratio of Total Expenses to Average Net Assets | 0.20% | 0.20%3 |
Ratio of Net Investment Income to Average Net Assets | 3.22% | 2.80%3 |
Portfolio Turnover Rate 4 | 4% | 13% |
1 Inception.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 Annualized.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
21
Developed Markets Index Fund
Financial Highlights
Admiral Shares | |||||
For a Share Outstanding | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $13.35 | $11.26 | $9.79 | $11.58 | $10.95 |
Investment Operations | |||||
Net Investment Income | .450 | .353 | .332 | .342 | .278 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | (1.180) | 2.085 | 1.474 | (1.794) | .634 |
Total from Investment Operations | (.730) | 2.438 | 1.806 | (1.452) | .912 |
Distributions | |||||
Dividends from Net Investment Income | (.450) | (.348) | (. 336) | (. 338) | (.282) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (.450) | (.348) | (. 336) | (. 338) | (.282) |
Net Asset Value, End of Period | $12.17 | $13.35 | $11.26 | $9.79 | $11.58 |
Total Return1 | -5.66% | 22.06% | 18.56% | -12.51% | 8.36% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $6,068 | $2,060 | $1,425 | $1,229 | $1,476 |
Ratio of Total Expenses to Average Net Assets | 0.09% | 0.09% | 0.10% | 0.12% | 0.18% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 3.33% | 2.91% | 3.40% | 3.31% | 2.70% |
Portfolio Turnover Rate2 | 4% | 13% | 7% | 5% | 6% |
The fund’s original Investor Shares were renamed Admiral Shares as of the close of business on May 13, 2011, and prior periods’ Financial Highlights are for the Investor Share class. The Investor Shares recommenced on December 19, 2013, and are presented separately. 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. 2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | |||||
See accompanying Notes, which are an integral part of the Financial Statements.
22
Developed Markets Index Fund
Financial Highlights
Institutional Shares | |||||
For a Share Outstanding | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $13.37 | $11.27 | $9.79 | $11.60 | $10.96 |
Investment Operations | |||||
Net Investment Income | .452 | .356 | .336 | .347 | .289 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | (1.190) | 2.094 | 1.483 | (1.813) | .644 |
Total from Investment Operations | (.738) | 2.450 | 1.819 | (1.466) | .933 |
Distributions | |||||
Dividends from Net Investment Income | (. 452) | (. 350) | (. 339) | (. 344) | (. 293) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (. 452) | (. 350) | (. 339) | (. 344) | (. 293) |
Net Asset Value, End of Period | $12.18 | $13.37 | $11.27 | $9.79 | $11.60 |
Total Return1 | -5.72% | 22.15% | 18.70% | -12.62% | 8.55% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $7,743 | $482 | $332 | $294 | $253 |
Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.08% | 0.08% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 3.35% | 2.93% | 3.43% | 3.35% | 2.80% |
Portfolio Turnover Rate2 | 4% | 13% | 7% | 5% | 6% |
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. 2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | |||||
See accompanying Notes, which are an integral part of the Financial Statements.
23
Developed Markets Index Fund
Financial Highlights
Institutional Plus Shares | |
April 1, 20141 to | |
For a Share Outstanding Throughout the Period | December 31, 2014 |
Net Asset Value, Beginning of Period | $20.90 |
Investment Operations | |
Net Investment Income | .438 |
Net Realized and Unrealized Gain (Loss) on Investments | (1.798) |
Total from Investment Operations | (1.360) |
Distributions | |
Dividends from Net Investment Income | (.490) |
Distributions from Realized Capital Gains | — |
Total Distributions | (. 490) |
Net Asset Value, End of Period | $19.05 |
Total Return | -6.67% |
Ratios/Supplemental Data | |
Net Assets, End of Period (Millions) | $5,918 |
Ratio of Total Expenses to Average Net Assets | 0.06%2 |
Ratio of Net Investment Income to Average Net Assets | 2.92%2 |
Portfolio Turnover Rate3 | 4% |
1 Inception. 2 Annualized. 3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | |
See accompanying Notes, which are an integral part of the Financial Statements.
24
Developed Markets Index Fund
Financial Highlights
FTSE Developed Markets ETF Shares | |||||
For a Share Outstanding | Year Ended December 31, | ||||
Throughout Each Period | 2014 | 2013 | 2012 | 2011 | 2010 |
Net Asset Value, Beginning of Period | $41.53 | $35.02 | $30.44 | $36.04 | $34.06 |
Investment Operations | |||||
Net Investment Income | 1.395 | 1.099 | 1.035 | 1.067 | .887 |
Net Realized and Unrealized Gain (Loss) | |||||
on Investments | (3.681) | 6.494 | 4.591 | (5.609) | 1.990 |
Total from Investment Operations | (2.286) | 7.593 | 5.626 | (4.542) | 2.877 |
Distributions | |||||
Dividends from Net Investment Income | (1.394) | (1.083) | (1.046) | (1.058) | (.897) |
Distributions from Realized Capital Gains | — | — | — | — | — |
Total Distributions | (1.394) | (1.083) | (1.046) | (1.058) | (.897) |
Net Asset Value, End of Period | $37.85 | $41.53 | $35.02 | $30.44 | $36.04 |
Total Return | -5.71% | 22.12% | 18.60% | -12.57% | 8.47% |
Ratios/Supplemental Data | |||||
Net Assets, End of Period (Millions) | $24,155 | $19,021 | $10,979 | $6,435 | $5,414 |
Ratio of Total Expenses to Average Net Assets | 0.09% | 0.09% | 0.10% | 0.12% | 0.12% |
Ratio of Net Investment Income to | |||||
Average Net Assets | 3.33% | 2.91% | 3.40% | 3.31% | 2.76% |
Portfolio Turnover Rate1 | 4% | 13% | 7% | 5% | 6% |
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | |||||
See accompanying Notes, which are an integral part of the Financial Statements.
25
Developed Markets Index Fund
Notes to Financial Statements
Vanguard Developed Markets Index Fund (formerly known as 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 five classes of shares: Investor Shares, Admiral Shares, Institutional Shares, Institutional Plus Shares, and ETF Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares, Institutional Shares, and Institutional Plus Shares are designed for investors who meet certain administrative, service, and account-size criteria. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued at their fair values calculated according to procedures adopted by the board of trustees. These procedures include obtaining quotations from an independent pricing service, monitoring news to identify significant market- or security-specific events, and evaluating changes in the values of foreign market proxies (for example, ADRs, futures contracts, or exchange-traded funds), between the time the foreign markets close and the fund’s pricing time. When fair-value pricing is employed, the prices of securities used by a fund to calculate its net asset value may differ from quoted or published prices for the same securities. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. 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.
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. Futures and Forward Currency Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating
26
Developed Markets Index Fund
a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
The fund also enters into forward currency contracts to provide the appropriate currency exposure related to any open futures contracts. The fund’s risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any assets pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
Futures contracts are valued at their quoted daily settlement prices. Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. The aggregate settlement values and notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures or forward currency contracts.
During the year ended December 31, 2014, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period. The fund’s average investment in forward currency contracts represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
27
Developed Markets Index Fund
4. 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, 2011–2014), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
5. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
6. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the absence of a default the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan.
7. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $2.89 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at December 31, 2014, or at any time during the period then ended.
8. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
28
Developed Markets Index Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. 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 based on methods approved by the board of trustees. The fund has committed to invest up to 0.40% of its net assets in Vanguard. At December 31, 2014, the fund had contributed capital of $4,330,000 to Vanguard (included in Other Assets), representing 0.01% of the fund’s net assets and 1.73% 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 December 31, 2014, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
Common Stocks | 69,088 | 44,784,540 | 1,353 |
Temporary Cash Investments | 578,661 | 33,590 | — |
Futures Contracts—Assets1 | 331 | — | — |
Futures Contracts—Liabilities1 | (19) | — | — |
Forward Currency Contracts—Assets | — | 129 | — |
Forward Currency Contracts—Liabilities | — | (4,124) | — |
Total | 648,061 | 44,814,135 | 1,353 |
1 Represents variation margin on the last day of the reporting period. |
29
Developed Markets Index Fund
D. At December 31, 2014, the fair values of derivatives were reflected in the Statement of Net Assets as follows:
Foreign | |||
Equity | Exchange | ||
Contracts | Contracts | Total | |
Statement of Net Assets Caption | ($000) | ($000) | ($000) |
Other Assets | 331 | 129 | 460 |
Liabilities | (19) | (4,124) | (4,143) |
Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the year ended December 31, 2014, were:
Foreign | |||
Equity | Exchange | ||
Contracts | Contracts | Total | |
Realized Net Gain (Loss) on Derivatives | ($000) | ($000) | ($000) |
Futures Contracts | 6,741 | — | 6,741 |
Forward Currency Contracts | — | (10,648) | (10,648) |
Realized Net Gain (Loss) on Derivatives | 6,741 | (10,648) | (3,907) |
Change in Unrealized Appreciation (Depreciation) on Derivatives | |||
Futures Contracts | 1,910 | — | 1,910 |
Forward Currency Contracts | — | (3,995) | (3,995) |
Change in Unrealized Appreciation (Depreciation) on Derivatives | 1,910 | (3,995) | (2,085) |
At December 31, 2014, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
Dow Jones EURO STOXX 50 Index | March 2015 | 2,115 | 80,182 | 3,540 |
FTSE 100 Index | March 2015 | 764 | 77,701 | 3,654 |
Topix Index | March 2015 | 539 | 63,275 | (968) |
S&P ASX 200 Index | March 2015 | 288 | 31,717 | 1,319 |
7,545 |
Unrealized appreciation (depreciation) on open FTSE 100 Index and Dow Jones EURO STOXX 50 Index futures contracts is required to be treated as realized gain (loss) for tax purposes.
30
Developed Markets Index Fund
At December 31, 2014, the fund had open forward currency contracts to receive and deliver currencies as follows. Unrealized appreciation (depreciation) on open forward currency contracts is treated as realized gain (loss) for tax purposes.
Unrealized | ||||||
Contract | Appreciation | |||||
Settlement | Contract Amount (000) | (Depreciation) | ||||
Counterparty | Date | Receive | Deliver | ($000) | ||
Bank of America NA | 3/25/15 | EUR | 63,345 | USD | 79,178 | (2,467) |
Bank of America NA | 3/17/15 | JPY | 8,482,478 | USD | 71,394 | (528) |
UBS AG | 3/25/15 | GBP | 34,879 | USD | 54,826 | (500) |
Deutsche Bank AG | 3/17/15 | JPY | 2,950,734 | USD | 24,919 | (267) |
BNP Paribas | 3/24/15 | AUD | 22,135 | USD | 18,111 | (150) |
Deutsche Bank AG | 3/25/15 | GBP | 9,616 | USD | 15,013 | (35) |
UBS AG | 3/24/15 | AUD | 8,744 | USD | 7,245 | (149) |
Bank of America NA | 3/24/15 | AUD | 6,268 | USD | 5,114 | (28) |
BNP Paribas | 3/25/15 | GBP | 2,995 | USD | 4,661 | 4 |
BNP Paribas | 3/17/15 | USD | 32,708 | JPY | 3,900,000 | 125 |
(3,995) |
AUD—Australian dollar.
EUR—Euro.
GBP—British pound.
JPY—Japanese yen.
USD—U.S. dollar.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the year ended December 31, 2014, the fund realized net foreign currency losses of $15,784,000, which decreased distributable net income for tax purposes; accordingly, such losses have been reclassified from accumulated net realized losses to overdistributed net investment income. Certain of the fund’s investments are in securities considered to be passive foreign investment companies, for which any unrealized appreciation and/or realized gains are required to be included in distributable net income for tax purposes. During the year ended December 31, 2014, the fund sold passive foreign investment companies with unrealized gains that had been either included in the fund’s current and prior periods’ taxable income, or distributed by the acquired fund prior to merger and included in unrealized appreciation on securities acquired by merger in April 2014 (see Note H). Accordingly, $3,158,000 has been reclassified from accumulated net realized losses to overdistributed net investment income, and $3,653,000 has been reclassified from overdistributed net investment income to paid-in capital. Passive foreign investment
31
Developed Markets Index Fund
companies held at December 31, 2014, had unrealized appreciation of $58,715,000, of which $8,738,000 has been distributed and is reflected in the balance of overdistributed net investment income, and $49,977,000 represents the unrealized appreciation at merger date on lots acquired by merger in April 2014 and still held at December 31, 2014.
For tax purposes, at December 31, 2014, the fund had $11,619,000 of ordinary income available for distribution. The fund has deferred $26,312,000 of late year ordinary losses, which will reduce taxable income in 2015.
The fund acquired realized losses of $1,172,572,000 to offset future net capital gains in connection with the acquisition in April 2014 (see Note H); these losses have been reclassified from paid-in capital to accumulated net realized losses. The fund used capital loss carryforwards of $7,418,000 to offset taxable capital gains realized during the year ended December 31, 2014. At December 31, 2014, the fund had available capital losses totaling $1,954,319,000 to offset future net capital gains. Of this amount, $1,602,178,000 is subject to expiration dates; $820,581,000 may be used to offset future net capital gains through December 31, 2015, $408,342,000 through December 31, 2016, and $373,255,000 through December 31, 2017. Capital losses of $352,141,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, but must be used before any expiring loss carryforwards.
At December 31, 2014, the cost of investment securities for tax purposes was $42,800,082,000. Net unrealized appreciation of investment securities for tax purposes was $2,667,150,000, consisting of unrealized gains of $6,096,634,000 on securities that had risen in value since their purchase and $3,429,484,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the year ended December 31, 2014, the fund purchased $25,777,980,000 of investment securities, including $14,135,384,000 of securities acquired in connection with the acquisition of Vanguard Developed Markets Index Fund (see Note H), and sold $1,677,170,000 of investment securities, other than temporary cash investments. Purchases and sales include $6,343,244,000 and $0, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
G. Capital share transactions for each class of shares were:
Year Ended December 31, | ||||
2014 | 2013 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares1 | ||||
Issued | 230,538 | 22,845 | 96 | 9 |
Issued in Connection with Acquisition of | ||||
Vanguard Developed Markets Index Fund2 | 1,677,834 | 163,039 | — | — |
Issued in Lieu of Cash Distributions | 30,334 | 2,969 | — | — |
Redeemed | (477,996) | (47,556) | — | — |
Net Increase (Decrease)—Investor Shares | 1,460,710 | 141,297 | 96 | 9 |
32
Developed Markets Index Fund
Year Ended December 31, | ||||
2014 | 2013 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Admiral Shares | ||||
Issued | 2,081,872 | 160,055 | 414,929 | 33,436 |
Issued in Connection with Acquisition of | ||||
Vanguard Developed Markets Index Fund2 | 3,262,803 | 245,296 | — | — |
Issued in Lieu of Cash Distributions | 139,153 | 10,618 | 37,793 | 3,170 |
Redeemed | (920,623) | (71,618) | (108,009) | (8,865) |
Net Increase (Decrease)—Admiral Shares | 4,563,205 | 344,351 | 344,713 | 27,741 |
Institutional Shares | ||||
Issued | 2,221,853 | 171,218 | 120,193 | 9,170 |
Issued in Connection with Acquisition of | ||||
Vanguard Developed Markets Index Fund2 | 7,326,183 | 550,218 | — | — |
Issued in Lieu of Cash Distributions | 183,800 | 13,958 | 7,692 | 645 |
Redeemed | (1,789,823) | (135,930) | (38,712) | (3,203) |
Net Increase (Decrease) —Institutional Shares | 7,942,013 | 599,464 | 89,173 | 6,612 |
Institutional Plus Shares3 | ||||
Issued | 1,913,447 | 92,578 | — | — |
Issued in Connection with Acquisition of | ||||
Vanguard Developed Markets Index Fund2 | 5,176,319 | 248,740 | — | — |
Issued in Lieu of Cash Distributions | 134,325 | 6,537 | — | — |
Redeemed | (754,346) | (37,147) | — | — |
Net Increase (Decrease) —Institutional Plus Shares | 6,469,745 | 310,708 | — | — |
ETF Shares | ||||
Issued | 7,338,607 | 180,138 | 5,832,350 | 152,556 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | — | — | (304,646) | (8,000) |
Net Increase (Decrease)—ETF Shares | 7,338,607 | 180,138 | 5,527,704 | 144,556 |
1 Inception was December 19, 2013, for Investor Shares. 2 Effective April 4, 2014, Vanguard Developed Markets Index Fund merged into Vanguard Tax-Managed International Fund, and the combined fund was renamed Vanguard Developed Markets Index Fund. 3 Inception was April 1, 2014, for Institutional Plus Shares. | ||||
33
Developed Markets Index Fund
H. On April 4, 2014, the Vanguard Tax-Managed International Fund acquired all of the net assets of Vanguard Developed Markets Index Fund pursuant to a plan of reorganization approved by the funds’ board of trustees on September 26, 2013. The purpose of the transaction was to combine two funds with similar investment strategies. The acquisition was accomplished by a tax-free exchange of 1,207,293,000 shares of Vanguard Tax-Managed International Fund for the 930,508,000 shares of Vanguard Developed Markets Index Fund outstanding on April 4, 2014. Each class of shares of Vanguard Developed Markets Index Fund was exchanged for the like class of shares of Vanguard Tax-Managed International Fund. Vanguard Developed Markets Index Fund’s net assets of $17,443,139,000, including $3,320,421,000 of unrealized appreciation, were combined with Vanguard Tax-Managed International Fund’s net assets of $24,394,239,000, resulting in combined net assets of $41,837,378,000 on April 4, 2014. Immediately following the merger, Vanguard Tax-Managed International Fund was renamed Vanguard Developed Markets Index Fund.
Assuming that the acquisition had been completed on January 1, 2014, the beginning of the fund’s reporting period, the fund’s pro forma results of operations for the year ended December 31, 2014, would be:
($000) | |
Net Investment Income | 1,538,513 |
Realized Net Gain (Loss) | 300,318 |
Change in Unrealized Appreciation (Depreciation) | (4,519,244) |
Net Increase (Decrease) in Net Assets Resulting from Operations | (2,680,413) |
Because the combined funds have been managed as a single integrated fund since the acquisition was completed, it is not practical to separate the results of operations of the former Vanguard Developed Markets Index Fund that have been included in the fund’s statement of operations since April 4, 2014.
I. Management has determined that no material events or transactions occurred subsequent to December 31, 2014, that would require recognition or disclosure in these financial statements.
34
Report of Independent Registered
Public Accounting Firm
To the Board of Trustees of Vanguard Tax-Managed Funds and the Shareholders of Vanguard Developed Markets Index Fund:
In our opinion, the accompanying statement of net assets—investments summary and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Developed Markets Index Fund (constituting a separate portfolio of Vanguard Tax-Managed Funds, hereafter referred to as the “Fund”) at December 31, 2014, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2014 by correspondence with the custodian and brokers, by agreement to the underlying ownership records of the transfer agent and the application of alternative auditing procedures where securities purchased had not been received, provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 18, 2015
This information for the fiscal year ended December 31, 2014, is included pursuant to provisions of the Internal Revenue Code.
The fund distributed $1,023,833,000 of qualified dividend income to shareholders during the fiscal year.
The fund designates to shareholders foreign source income of $1,168,436,000 and foreign taxes paid of $56,214,000. Shareholders will receive more detailed information with their Form 1099-DIV in January 2015 to determine the calendar-year amounts to be included on their 2014 tax returns.
35
Your Fund’s After-Tax Returns
This table presents returns for your fund both before and after taxes. The after-tax returns are shown in two ways: (1) assuming that an investor owned the fund during the entire period and paid taxes on the fund’s distributions, and (2) assuming that an investor paid taxes on the fund’s distributions and sold all shares at the end of each period.
Calculations are based on the highest individual federal income tax and capital gains tax rates in effect at the times of the distributions and the hypothetical sales. State and local taxes were not considered. After-tax returns reflect any qualified dividend income. (In the example, returns after the sale of fund shares may be higher than those assuming no sale. This occurs when the sale would have produced a capital loss. The calculation assumes that the investor received a tax deduction for the loss.)
The table shows returns for one share class only; returns for other share classes will differ. Please note that your actual after-tax returns will depend on your tax situation and may differ from those shown. Also note that if you own the fund in a tax-deferred account, such as an individual retirement account or a 401(k) plan, this information does not apply to you. Such accounts are not subject to current taxes.
Finally, keep in mind that a fund’s performance—whether before or after taxes—does not guarantee future results.
Average Annual Total Returns: FTSE Developed Markets ETF Shares | |||
Periods Ended December 31, 2014 | |||
Since | |||
One | Five | Inception | |
Year | Years | (7/20/2007) | |
Returns Before Taxes | 5.71% | 5.31% | -0.59% |
Returns After Taxes on Distributions | 6.53 | 4.82 | -1.00 |
Returns After Taxes on Distributions and Sale of Fund Shares | -2.60 | 4.34 | -0.23 |
36
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.
37
Six Months Ended December 31, 2014 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
Developed Markets Index Fund | 6/30/2014 | 12/31/2014 | Period |
Based on Actual Fund Return | |||
Investor Shares | $1,000.00 | $900.15 | $0.96 |
Admiral Shares | 1,000.00 | 900.61 | 0.43 |
Institutional Shares | 1,000.00 | 900.75 | 0.34 |
Institutional Plus Shares | 1,000.00 | 901.01 | 0.29 |
FTSE Developed Markets ETF Shares | 1,000.00 | 900.62 | 0.43 |
Based on Hypothetical 5% Yearly Return | |||
Investor Shares | $1,000.00 | $1,024.20 | $1.02 |
Admiral Shares | 1,000.00 | 1,024.75 | 0.46 |
Institutional Shares | 1,000.00 | 1,024.85 | 0.36 |
Institutional Plus Shares | 1,000.00 | 1,024.90 | 0.31 |
FTSE Developed Markets ETF Shares | 1,000.00 | 1,024.75 | 0.46 |
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 0.20% for Investor Shares, 0.09% for Admiral Shares, 0.07% for Institutional Shares, 0.06% for Institutional Plus Shares, and 0.09% for FTSE Developed Markets 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. | |||
38
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.
39
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.
Benchmark Information
Spliced Developed ex North America Index: MSCI EAFE Index through May 28, 2013; FTSE Developed ex North America Index thereafter. Benchmark returns are adjusted for withholding taxes.
40
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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 177 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. | |
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 of |
Inc., and of each of the investment companies served | the University of Pennsylvania; Christopher H. Browne |
by The Vanguard Group, since January 2010; Director | Distinguished Professor of Political Science, School of |
of The Vanguard Group since 2008; Chief Executive | Arts and Sciences, and Professor of Communication, |
Officer and President of The Vanguard Group, and of | Annenberg School for Communication, with secondary |
each of the investment companies served by The | faculty appointments in the Department of Philosophy, |
Vanguard Group, since 2008; Director of Vanguard | School of Arts and Sciences, and at the Graduate |
Marketing Corporation; Managing Director of The | School of Education, University of Pennsylvania; |
Vanguard Group (1995–2008). | Trustee of the National Constitution Center; Chair |
of the Presidential Commission for the Study of | |
IndependentTrustees | Bioethical Issues. |
Emerson U. Fullwood | JoAnn Heffernan Heisen |
Born 1948. Trustee Since January 2008. Principal | Born 1950. Trustee Since July 1998. Principal |
Occupation(s) During the Past Five Years: Executive | Occupation(s) During the Past Five Years: Corporate |
Chief Staff and Marketing Officer for North America | Vice President and Chief Global Diversity Officer |
and Corporate Vice President (retired 2008) of Xerox | (retired 2008) and Member of the Executive |
Corporation (document management products and | Committee (1997–2008) of Johnson & Johnson |
services); Executive in Residence and 2009–2010 | (pharmaceuticals/medical devices/consumer |
Distinguished Minett Professor at the Rochester | products); Director of Skytop Lodge Corporation |
Institute of Technology; Director of SPX Corporation | (hotels), the University Medical Center at Princeton, |
(multi-industry manufacturing), the United Way of | the Robert Wood Johnson Foundation, and the Center |
Rochester, Amerigroup Corporation (managed health | for Talent Innovation; Member of the Advisory Board |
care), the University of Rochester Medical Center, | of the Maxwell School of Citizenship and Public Affairs |
Monroe Community College Foundation, and North | at Syracuse University. |
Carolina A&T University. | |
F. Joseph Loughrey | |
Rajiv L. Gupta | Born 1949. Trustee Since October 2009. Principal |
Born 1945. Trustee Since December 2001.2 | Occupation(s) During the Past Five Years: President |
Principal Occupation(s) During the Past Five Years: | and Chief Operating Officer (retired 2009) of Cummins |
Chairman and Chief Executive Officer (retired 2009) | Inc. (industrial machinery); Chairman of the Board |
and President (2006–2008) of Rohm and Haas Co. | of Hillenbrand, Inc. (specialized consumer services), |
(chemicals); Director of Tyco International, Ltd. | and of Oxfam America; Director of SKF AB (industrial |
(diversified manufacturing and services), Hewlett- | machinery), Hyster-Yale Materials Handling, Inc. |
Packard Co. (electronic computer manufacturing), | (forklift trucks), the Lumina Foundation for Education, |
and the V Foundation for Cancer Research; Member | Executive Officers | |
of the Advisory Council for the College of Arts and | ||
Letters and of the Advisory Board to the Kellogg | Glenn Booraem | |
Institute for International Studies, both at the | Born 1967. Controller Since July 2010. Principal | |
University 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 (retired 2013) | ||
at IBM (information technology services); Fiduciary | Thomas J. Higgins | |
Member of IBM’s Retirement Plan Committee (2004– | Born 1957. Chief Financial Officer Since September | |
2013); Member of the Council on Chicago Booth. | 2008. Principal Occupation(s) During the Past Five | |
Years: Principal of The Vanguard Group, Inc.; Chief | ||
Scott C. Malpass | Financial Officer of each of the investment companies | |
Born 1962. Trustee Since March 2012. Principal | served by The Vanguard Group; Treasurer of each of | |
Occupation(s) During the Past Five Years: Chief | the investment companies served by The Vanguard | |
Investment Officer and Vice President at the University | Group (1998–2008). | |
of Notre Dame; Assistant Professor of Finance at the | ||
Mendoza College of Business at Notre Dame; Member | Kathryn J. Hyatt | |
of the Notre Dame 403(b) Investment Committee; | Born 1955. Treasurer Since November 2008. Principal | |
Board Member of TIFF Advisory Services, Inc. | Occupation(s) During the Past Five Years: Principal of | |
(investment advisor); Member of the Investment | The Vanguard Group, Inc.; Treasurer of each of the | |
Advisory Committees of the Financial Industry | investment companies served by The Vanguard | |
Regulatory Authority (FINRA) and of Major League | Group; Assistant Treasurer of each of the investment | |
Baseball. | companies served by The Vanguard Group (1988–2008). | |
André F. Perold | Heidi Stam | |
Born 1952. Trustee Since December 2004. Principal | Born 1956. Secretary Since July 2005. Principal | |
Occupation(s) During the Past Five Years: George | Occupation(s) During the Past Five Years: Managing | |
Gund Professor of Finance and Banking, Emeritus | Director of The Vanguard Group, Inc.; General Counsel | |
at the Harvard Business School (retired 2011); | of The Vanguard Group; Secretary of The Vanguard | |
Chief Investment Officer and Managing Partner of | Group and of each of the investment companies | |
HighVista Strategies LLC (private investment firm); | served by The Vanguard Group; Director and Senior | |
Director of Rand Merchant Bank; Overseer of the | Vice President of Vanguard Marketing Corporation. | |
Museum of Fine Arts Boston. | ||
Vanguard Senior ManagementTeam | ||
Alfred M. Rankin, Jr. | ||
Born 1941. Trustee Since January 1993. Principal | Mortimer J. Buckley | Chris D. McIsaac |
Occupation(s) During the Past Five Years: Chairman, | Kathleen C. Gubanich | Michael S. Miller |
President, and Chief Executive Officer of NACCO | Paul A. Heller | James M. Norris |
Industries, Inc. (housewares/lignite), and of Hyster- | Martha G. King | Glenn W. Reed |
Yale Materials Handling, Inc. (forklift trucks); Chairman | John T. Marcante | |
of the Board of University Hospitals of Cleveland. | ||
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); Trustee of | ||
Colby-Sawyer College; Member of the Advisory Board | Founder | |
of the Norris Cotton Cancer Center and of the Advisory | ||
Board of the Parthenon Group (strategy consulting). | John C. Bogle | |
Chairman and Chief Executive Officer, 1974–1996 | ||
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
P.O. Box 2600 | |
Valley Forge, PA 19482-2600 | |
Connect with Vanguard® > vanguard.com | |
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Index is calculated by FTSE or its agent. FTSE and its | |
licensors are not connected to and do not sponsor, | |
This material may be used in conjunction | advise, recommend, endorse, or promote the Product |
with the offering of shares of any Vanguard | and do not accept any liability whatsoever to any |
fund only if preceded or accompanied by | person arising out of (a) the use of, reliance on, or any |
the fund’s current prospectus. | error in the Index or (b) investment in or operation of |
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All comparative mutual fund data are from Lipper, a | or representation either as to the results to be obtained |
Thomson Reuters Company, or Morningstar, Inc., unless | from the Product or the suitability of the Index for the |
otherwise noted. | purpose to which it is being put by Vanguard. |
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. | |
© 2015 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q1270 022015 |
Item 2: Code of Ethics. The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. The Code of Ethics was amended during the reporting period covered by this report to make certain technical, non-material changes.
Item 3: Audit Committee Financial Expert. The following members of the Audit Committee have been determined by the Registrant’s Board of Trustees to be Audit Committee Financial Experts serving on its Audit Committee, and to be independent: Rajiv L. Gupta, Amy Gutmann, JoAnn Heffernan Heisen, F. Joseph Loughrey, Mark Loughridge, Scott C. Malpass, and André F. Perold.
Item 4: Principal Accountant Fees and Services.
(a) Audit Fees.
Audit Fees of the Registrant
Fiscal Year Ended December 31, 2014: $148,000
Fiscal Year Ended December 31, 2013: $147,000
Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.
Fiscal Year Ended December 31, 2014: $6,605,127
Fiscal Year Ended December 31, 2013: $5,714,113
Includes fees billed in connection with audits of the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc. and Vanguard Marketing Corporation.
(b) Audit-Related Fees.
Fiscal Year Ended December 31, 2014: $2,176,479
Fiscal Year Ended December 31, 2013: $1,552,950
Includes fees billed in connection with assurance and related services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(c) Tax Fees.
Fiscal Year Ended December 31, 2014: $316,869
Fiscal Year Ended December 31, 2013: $110,000
Includes fees billed in connection with tax compliance, planning, and advice services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(d) All Other Fees.
Fiscal Year Ended December 31, 2014: $198,163
Fiscal Year Ended December 31, 2013: $132,000
Includes fees billed for services related to tax reported information provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(e) (1) Pre-Approval Policies. The policy of the Registrant’s Audit Committee is to consider and, if appropriate, approve before the principal accountant is engaged for such services, all specific audit and non-audit services provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant. In making a determination, the Audit Committee considers whether the services are consistent with maintaining the principal accountant’s independence.
In the event of a contingency situation in which the principal accountant is needed to provide services in between scheduled Audit Committee meetings, the Chairman of the Audit Committee would be called on to consider and, if appropriate, pre-approve audit or permitted non-audit services in an amount sufficient to complete services through the next Audit Committee meeting, and to determine if such services would be consistent with maintaining the accountant’s independence. At the next scheduled Audit Committee meeting, services and fees would be presented to the Audit Committee for formal consideration, and, if appropriate, approval by the entire Audit Committee. The Audit Committee would again consider whether such services and fees are consistent with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee is informed at least annually of all audit and non-audit services provided by the principal accountant to the Vanguard complex, whether such services are provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., or other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant.
(2) No percentage of the principal accountant’s fees or services were approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) For the most recent fiscal year, over 50% of the hours worked under the principal accountant’s engagement were not performed by persons other than full-time, permanent employees of the principal accountant.
(g) Aggregate Non-Audit Fees.
Fiscal Year Ended December 31, 2014: $515,032
Fiscal Year Ended December 31, 2013: $242,000
Includes fees billed for non-audit services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(h) For the most recent fiscal year, the Audit Committee has determined that the provision of all non-audit services was consistent with maintaining the principal accountant’s independence.
Item 5: Audit Committee of Listed Registrants.
The Registrant is a listed issuer as defined in rule 10A-3 under the Securities Exchange Act of 1934 (“Exchange Act”). The Registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act. The Registrant’s audit committee members are: Emerson U. Fullwood, Rajiv L. Gupta, Amy Gutmann, JoAnn Heffernan Heisen, F. Joseph Loughrey, Mark Loughridge, Scott C. Malpass, André F. Perold, and Peter F. Volanakis.
Item 6: Investments.Vanguard® Developed Markets Index Fund | ||
Schedule of Investments | ||
December 31, 2014 | ||
Market | ||
Value | ||
Shares | ($000) | |
Common Stocks (99.2%)1 | ||
Australia (7.1%) | ||
Commonwealth Bank of Australia | 5,357,647 | 372,246 |
Westpac Banking Corp. | 10,256,131 | 275,849 |
BHP Billiton Ltd. | 10,687,029 | 252,672 |
Australia & New Zealand Banking Group Ltd. | 9,176,828 | 238,783 |
National Australia Bank Ltd. | 7,873,753 | 214,721 |
Wesfarmers Ltd. | 3,725,462 | 126,136 |
CSL Ltd. | 1,705,439 | 119,801 |
Woolworths Ltd. | 4,083,496 | 101,474 |
Woodside Petroleum Ltd. | 2,382,163 | 73,674 |
Telstra Corp. Ltd. | 14,341,667 | 69,627 |
Rio Tinto Ltd. | 1,450,460 | 67,999 |
Suncorp Group Ltd. | 4,282,530 | 48,923 |
* Scentre Group | 17,191,062 | 48,706 |
* Westfield Corp. | 6,415,309 | 47,027 |
Macquarie Group Ltd. | 971,492 | 45,813 |
Brambles Ltd. | 5,168,015 | 44,519 |
Amcor Ltd. | 4,006,810 | 44,085 |
AMP Ltd. | 9,721,531 | 43,298 |
Transurban Group | 5,974,987 | 41,638 |
QBE Insurance Group Ltd. | 4,460,927 | 40,507 |
Insurance Australia Group Ltd. | 7,654,497 | 38,866 |
Origin Energy Ltd. | 3,618,506 | 34,237 |
Goodman Group | 5,706,204 | 26,356 |
Stockland | 7,666,071 | 25,619 |
Aurizon Holdings Ltd. | 6,809,632 | 25,484 |
Oil Search Ltd. | 3,835,021 | 24,593 |
* AGL Energy Ltd. | 2,191,962 | 23,908 |
Lend Lease Group | 1,792,739 | 23,877 |
* Newcrest Mining Ltd. | 2,537,248 | 22,325 |
APA Group | 3,599,996 | 21,763 |
Santos Ltd. | 3,159,598 | 21,106 |
GPT Group | 5,858,588 | 20,734 |
Ramsay Health Care Ltd. | 430,915 | 19,977 |
Sonic Healthcare Ltd. | 1,324,191 | 19,922 |
ASX Ltd. | 648,210 | 19,339 |
Orica Ltd. | 1,208,032 | 18,512 |
Mirvac Group | 12,223,153 | 17,682 |
Dexus Property Group | 3,026,935 | 17,135 |
Asciano Ltd. | 3,255,661 | 15,944 |
Computershare Ltd. | 1,637,151 | 15,661 |
Seek Ltd. | 1,117,246 | 15,579 |
James Hardie Industries plc | 1,457,789 | 15,562 |
Bendigo & Adelaide Bank Ltd. | 1,452,295 | 15,101 |
Incitec Pivot Ltd. | 5,449,353 | 14,096 |
Coca-Cola Amatil Ltd. | 1,803,934 | 13,620 |
Sydney Airport | 3,494,170 | 13,377 |
Tatts Group Ltd. | 4,719,449 | 13,274 |
Crown Resorts Ltd. | 1,264,926 | 13,009 |
Novion Property Group | 7,440,612 | 12,789 |
Caltex Australia Ltd. | 457,064 | 12,682 |
* Medibank Pvt Ltd. | 6,233,356 | 12,264 |
Cochlear Ltd. | 192,610 | 12,151 |
* Alumina Ltd. | 8,258,425 | 11,931 |
^ Fortescue Metals Group Ltd. | 5,342,155 | 11,730 |
Federation Centres | 4,844,458 | 11,279 |
Bank of Queensland Ltd. | 1,137,381 | 11,205 |
Aristocrat Leisure Ltd. | 2,094,037 | 11,121 |
Boral Ltd. | 2,580,525 | 11,074 |
Toll Holdings Ltd. | 2,286,832 | 10,893 |
Challenger Ltd. | 1,909,682 | 10,088 |
Ansell Ltd. | 518,463 | 9,486 |
1
Vanguard® Developed Markets Index Fund | |||
Schedule of Investments | |||
December 31, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | BlueScope Steel Ltd. | 1,873,515 | 8,480 |
Echo Entertainment Group Ltd. | 2,697,587 | 8,280 | |
Treasury Wine Estates Ltd. | 2,112,278 | 8,153 | |
Tabcorp Holdings Ltd. | 2,396,291 | 8,089 | |
* | Healthscope Ltd. | 3,512,766 | 7,761 |
Iluka Resources Ltd. | 1,561,810 | 7,501 | |
IOOF Holdings Ltd. | 984,998 | 7,101 | |
* | Qantas Airways Ltd. | 3,642,512 | 7,075 |
Metcash Ltd. | 4,282,878 | 6,455 | |
REA Group Ltd. | 172,889 | 6,339 | |
WorleyParsons Ltd. | 769,989 | 6,307 | |
Orora Ltd. | 3,959,893 | 6,256 | |
Leighton Holdings Ltd. | 331,287 | 6,032 | |
Recall Holdings Ltd. | 1,019,433 | 5,955 | |
AusNet Services | 5,464,718 | 5,904 | |
DuluxGroup Ltd. | 1,217,734 | 5,731 | |
Sims Metal Management Ltd. | 563,840 | 5,507 | |
Downer EDI Ltd. | 1,423,750 | 5,441 | |
Perpetual Ltd. | 145,120 | 5,424 | |
ALS Ltd. | 1,249,718 | 5,414 | |
CSR Ltd. | 1,675,441 | 5,293 | |
TPG Telecom Ltd. | 935,492 | 5,117 | |
Flight Centre Travel Group Ltd. | 190,003 | 5,030 | |
Harvey Norman Holdings Ltd. | 1,720,566 | 4,696 | |
Platinum Asset Management Ltd. | 712,695 | 4,187 | |
Adelaide Brighton Ltd. | 1,410,029 | 4,086 | |
Fairfax Media Ltd. | 5,378,525 | 3,815 | |
Macquarie Atlas Roads Group | 1,300,898 | 3,379 | |
Shopping Centres Australasia Property Group | 2,039,929 | 3,072 | |
Goodman Fielder Ltd. | 5,588,635 | 2,914 | |
OZ Minerals Ltd. | 963,556 | 2,703 | |
GWA Group Ltd. | 972,809 | 2,347 | |
Seven West Media Ltd. | 2,062,292 | 2,260 | |
Nufarm Ltd. | 558,011 | 2,146 | |
*,^ | Whitehaven Coal Ltd. | 1,849,428 | 2,096 |
New Hope Corp. Ltd. | 789,999 | 1,578 | |
Arrium Ltd. | 8,541,863 | 1,478 | |
* | Ten Network Holdings Ltd. | 5,893,587 | 1,079 |
3,223,330 | |||
Austria (0.2%) | |||
Erste Group Bank AG | 976,206 | 22,705 | |
Voestalpine AG | 372,131 | 14,704 | |
ANDRITZ AG | 242,779 | 13,347 | |
OMV AG | 480,830 | 12,768 | |
* | IMMOFINANZ AG | 3,194,965 | 8,047 |
Raiffeisen Bank International AG | 391,536 | 5,983 | |
Vienna Insurance Group AG Wiener Versicherung Gruppe | 127,418 | 5,695 | |
^ | Verbund AG | 217,788 | 4,033 |
Telekom Austria AG | 263,575 | 1,753 | |
Strabag SE | 52,479 | 1,153 | |
90,188 | |||
Belgium (1.2%) | |||
Anheuser-Busch InBev NV | 2,656,505 | 298,968 | |
* | KBC Groep NV | 916,583 | 51,155 |
UCB SA | 405,427 | 30,828 | |
Solvay SA Class A | 187,769 | 25,408 | |
Ageas | 705,333 | 25,078 | |
Delhaize Group SA | 336,495 | 24,505 | |
Groupe Bruxelles Lambert SA | 257,461 | 21,967 | |
Belgacom SA | 467,654 | 16,968 | |
Umicore SA | 340,361 | 13,696 | |
RTL Group SA | 128,456 | 12,249 | |
Colruyt SA | 221,200 | 10,284 |
2
Vanguard® Developed Markets Index Fund | ||
Schedule of Investments | ||
December 31, 2014 | ||
Market | ||
Value | ||
Shares | ($000) | |
* Telenet Group Holding NV | 163,521 | 9,176 |
540,282 | ||
Denmark (1.5%) | ||
Novo Nordisk A/S Class B | 6,485,654 | 274,342 |
Danske Bank A/S | 2,618,543 | 70,795 |
AP Moeller - Maersk A/S Class B | 22,405 | 44,562 |
Novozymes A/S | 768,541 | 32,351 |
Pandora A/S | 394,319 | 31,962 |
AP Moeller - Maersk A/S Class A | 14,948 | 28,605 |
Coloplast A/S Class B | 339,314 | 28,395 |
Carlsberg A/S Class B | 352,275 | 27,055 |
* Vestas Wind Systems A/S | 738,804 | 26,831 |
TDC A/S | 2,673,943 | 20,394 |
DSV A/S | 578,292 | 17,608 |
Chr Hansen Holding A/S | 294,812 | 13,061 |
* ISS A/S | 417,127 | 11,973 |
* Jyske Bank A/S | 236,450 | 11,952 |
Tryg A/S | 78,827 | 8,808 |
* William Demant Holding A/S | 80,842 | 6,129 |
H Lundbeck A/S | 188,946 | 3,750 |
Rockwool International A/S Class B | 20,338 | 2,286 |
660,859 | ||
Finland (0.8%) | ||
Nokia Oyj | 12,481,717 | 98,716 |
Sampo Oyj Class A | 1,566,892 | 73,353 |
Kone Oyj Class B | 1,263,599 | 57,529 |
Fortum Oyj | 1,480,937 | 32,154 |
UPM-Kymmene Oyj | 1,768,807 | 28,988 |
Wartsila OYJ Abp | 518,770 | 23,219 |
Stora Enso Oyj | 1,912,195 | 17,097 |
Metso Oyj | 447,044 | 13,384 |
^ Nokian Renkaat Oyj | 445,050 | 10,856 |
Neste Oil Oyj | 428,066 | 10,427 |
Orion Oyj Class B | 329,395 | 10,244 |
Kesko Oyj Class B | 225,474 | 8,200 |
384,167 | ||
France (8.5%) | ||
Sanofi | 3,811,066 | 347,458 |
Total SA | 6,765,778 | 346,625 |
BNP Paribas SA | 3,250,702 | 191,903 |
AXA SA | 6,317,495 | 145,575 |
Air Liquide SA | 1,139,970 | 141,060 |
Schneider Electric SE | 1,839,886 | 133,998 |
L'Oreal SA | 791,184 | 132,422 |
^ LVMH Moet Hennessy Louis Vuitton SA | 833,506 | 132,029 |
Danone SA | 1,853,839 | 121,201 |
GDF Suez | 4,735,168 | 110,420 |
Vivendi SA | 4,229,910 | 105,285 |
Orange SA | 5,994,390 | 101,945 |
Societe Generale SA | 2,404,791 | 100,641 |
Airbus Group NV | 1,844,059 | 91,167 |
Vinci SA | 1,523,300 | 83,176 |
Essilor International SA | 654,883 | 73,032 |
Pernod Ricard SA | 653,685 | 72,649 |
Cie de Saint-Gobain | 1,521,475 | 64,451 |
Carrefour SA | 1,966,890 | 59,855 |
Cie Generale des Etablissements Michelin | 622,366 | 56,179 |
Safran SA | 874,138 | 53,930 |
Kering | 244,953 | 47,073 |
Legrand SA | 882,681 | 46,304 |
Publicis Groupe SA | 643,553 | 46,153 |
Renault SA | 621,532 | 45,270 |
Credit Agricole SA | 3,420,634 | 44,155 |
3
Vanguard® Developed Markets Index Fund | |||
Schedule of Investments | |||
December 31, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Lafarge SA | 606,475 | 42,575 | |
SES SA | 988,828 | 35,479 | |
Cap Gemini SA | 488,620 | 34,945 | |
* | Alcatel-Lucent | 9,221,888 | 32,989 |
Valeo SA | 257,797 | 32,078 | |
Christian Dior SA | 171,824 | 29,406 | |
Sodexo SA | 300,015 | 29,367 | |
^ | Hermes International | 82,298 | 29,305 |
Accor SA | 576,864 | 25,931 | |
Dassault Systemes | 422,459 | 25,762 | |
Veolia Environnement SA | 1,438,766 | 25,485 | |
Electricite de France SA | 893,763 | 24,604 | |
* | Alstom SA | 718,458 | 23,172 |
Bouygues SA | 624,307 | 22,543 | |
Zodiac Aerospace | 640,203 | 21,554 | |
Technip SA | 356,862 | 21,257 | |
AtoS | 259,001 | 20,579 | |
Natixis SA | 3,103,073 | 20,476 | |
Groupe Eurotunnel SA | 1,533,934 | 19,803 | |
Suez Environnement Co. | 1,073,905 | 18,711 | |
Edenred | 673,342 | 18,622 | |
Iliad SA | 77,139 | 18,547 | |
Thales SA | 338,524 | 18,317 | |
Rexel SA | 996,717 | 17,857 | |
Casino Guichard Perrachon SA | 191,411 | 17,603 | |
Eutelsat Communications SA | 543,725 | 17,584 | |
* | Numericable-SFR | 339,465 | 16,860 |
Bureau Veritas SA | 728,006 | 16,130 | |
STMicroelectronics NV | 2,106,221 | 15,716 | |
* | Peugeot SA | 1,245,713 | 15,263 |
Arkema SA | 227,292 | 15,032 | |
SCOR SE | 471,847 | 14,297 | |
Gecina SA | 112,886 | 14,092 | |
Klepierre | 323,907 | 13,908 | |
Societe BIC SA | 90,710 | 12,030 | |
Aeroports de Paris | 96,335 | 11,649 | |
Wendel SA | 103,444 | 11,590 | |
Vallourec SA | 389,944 | 10,568 | |
Fonciere Des Regions | 112,456 | 10,394 | |
Lagardere SCA | 380,188 | 9,901 | |
CNP Assurances | 548,476 | 9,724 | |
ICADE | 117,009 | 9,362 | |
Eurazeo SA | 131,092 | 9,181 | |
^ | Bollore SA | 1,804,900 | 8,220 |
Imerys SA | 110,167 | 8,105 | |
JCDecaux SA | 223,815 | 7,706 | |
Eiffage SA | 133,237 | 6,755 | |
SEB SA | 86,566 | 6,431 | |
Ipsen SA | 111,967 | 5,796 | |
Societe Television Francaise 1 | 346,184 | 5,322 | |
Remy Cointreau SA | 77,634 | 5,180 | |
BioMerieux | 47,123 | 4,886 | |
*,^ | Air France-KLM | 491,010 | 4,705 |
Euler Hermes Group | 43,607 | 4,516 | |
3,821,826 | |||
Germany (8.3%) | |||
Bayer AG | 2,753,401 | 375,313 | |
Siemens AG | 2,639,376 | 296,149 | |
Daimler AG | 3,180,099 | 264,121 | |
BASF SE | 3,073,125 | 257,777 | |
Allianz SE | 1,516,857 | 251,232 | |
SAP SE | 2,987,645 | 208,623 | |
Deutsche Telekom AG | 10,374,734 | 166,000 | |
Deutsche Bank AG | 4,597,102 | 137,658 |
4
Vanguard® Developed Markets Index Fund | ||
Schedule of Investments | ||
December 31, 2014 | ||
Market | ||
Value | ||
Shares | ($000) | |
Bayerische Motoren Werke AG | 1,081,784 | 116,745 |
Volkswagen AG Preference Shares | 511,218 | 113,621 |
Linde AG | 615,628 | 113,401 |
E.ON SE | 6,170,585 | 105,466 |
Deutsche Post AG | 3,164,669 | 102,731 |
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 507,216 | 101,006 |
Continental AG | 359,515 | 75,830 |
Fresenius SE & Co. KGaA | 1,304,635 | 67,833 |
Henkel AG & Co. KGaA Preference Shares | 577,736 | 62,233 |
Fresenius Medical Care AG & Co. KGaA | 701,375 | 52,349 |
RWE AG | 1,609,697 | 49,683 |
adidas AG | 696,092 | 48,341 |
Deutsche Boerse AG | 611,761 | 43,473 |
Porsche Automobil Holding SE Preference Shares | 509,292 | 41,188 |
* Commerzbank AG | 3,138,338 | 41,164 |
Merck KGaA | 429,771 | 40,445 |
Infineon Technologies AG | 3,767,991 | 39,872 |
Henkel AG & Co. KGaA | 388,778 | 37,660 |
* ThyssenKrupp AG | 1,412,590 | 35,984 |
HeidelbergCement AG | 467,358 | 32,986 |
ProSiebenSat.1 Media AG | 709,519 | 29,646 |
Brenntag AG | 515,134 | 28,801 |
Beiersdorf AG | 332,101 | 26,965 |
GEA Group AG | 589,055 | 25,899 |
Symrise AG | 404,422 | 24,365 |
Deutsche Wohnen AG | 949,275 | 22,393 |
Volkswagen AG | 99,110 | 21,488 |
HUGO BOSS AG | 154,953 | 18,956 |
* QIAGEN NV | 780,841 | 18,188 |
Hannover Rueck SE | 200,616 | 18,098 |
United Internet AG | 392,126 | 17,663 |
K&S AG | 637,081 | 17,580 |
Wirecard AG | 381,274 | 16,625 |
MTU Aero Engines AG | 168,044 | 14,604 |
LANXESS AG | 303,875 | 14,073 |
* METRO AG | 441,405 | 13,493 |
MAN SE | 117,121 | 13,044 |
Deutsche Lufthansa AG | 771,309 | 12,781 |
* OSRAM Licht AG | 282,968 | 11,109 |
* TUI AG | 666,333 | 10,707 |
TUI AG | 619,859 | 10,278 |
* Kabel Deutschland Holding AG | 70,590 | 9,566 |
Telefonica Deutschland Holding AG | 1,777,177 | 9,419 |
Fuchs Petrolub SE Preference Shares | 233,355 | 9,294 |
Axel Springer SE | 137,919 | 8,319 |
Evonik Industries AG | 232,934 | 7,606 |
Fraport AG Frankfurt Airport Services Worldwide | 124,031 | 7,157 |
Bilfinger SE | 109,881 | 6,142 |
HOCHTIEF AG | 86,129 | 6,076 |
Fielmann AG | 82,651 | 5,645 |
Wacker Chemie AG | 48,499 | 5,320 |
Celesio AG | 153,334 | 4,942 |
Software AG | 181,097 | 4,401 |
^ Suedzucker AG | 300,836 | 4,325 |
FUCHS PETROLUB SE | 111,720 | 4,239 |
Talanx AG | 123,416 | 3,760 |
Puma SE | 8,709 | 1,808 |
3,763,659 | ||
Greece (0.1%) | ||
* Hellenic Telecommunications Organization SA | 810,088 | 8,858 |
OPAP SA | 698,761 | 7,488 |
* Piraeus Bank SA | 6,753,590 | 7,349 |
* National Bank of Greece SA | 4,150,029 | 7,284 |
* Alpha Bank AE | 12,712,803 | 7,141 |
5
Vanguard® Developed Markets Index Fund | |||
Schedule of Investments | |||
December 31, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | National Bank of Greece SA ADR | 924,821 | 1,656 |
39,776 | |||
Hong Kong (3.5%) | |||
AIA Group Ltd. | 40,118,009 | 221,270 | |
Hong Kong Exchanges and Clearing Ltd. | 3,838,197 | 84,735 | |
Sun Hung Kai Properties Ltd. | 5,142,007 | 77,904 | |
Hutchison Whampoa Ltd. | 6,672,942 | 76,282 | |
Cheung Kong Holdings Ltd. | 4,392,279 | 73,557 | |
Jardine Matheson Holdings Ltd. | 791,965 | 48,123 | |
Link REIT | 7,581,937 | 47,279 | |
Hong Kong & China Gas Co. Ltd. | 20,689,015 | 47,137 | |
CLP Holdings Ltd. | 5,140,352 | 44,512 | |
Power Assets Holdings Ltd. | 4,427,782 | 42,808 | |
Hang Seng Bank Ltd. | 2,570,034 | 42,715 | |
BOC Hong Kong Holdings Ltd. | 11,999,135 | 39,983 | |
Sands China Ltd. | 8,026,810 | 39,076 | |
Galaxy Entertainment Group Ltd. | 6,945,901 | 38,596 | |
Wharf Holdings Ltd. | 5,026,988 | 36,089 | |
Want Want China Holdings Ltd. | 22,032,000 | 28,957 | |
Swire Pacific Ltd. Class A | 2,111,686 | 27,411 | |
Hongkong Land Holdings Ltd. | 3,922,000 | 26,425 | |
Henderson Land Development Co. Ltd. | 3,793,398 | 26,365 | |
Jardine Strategic Holdings Ltd. | 752,761 | 25,599 | |
Hang Lung Properties Ltd. | 7,547,415 | 21,055 | |
New World Development Co. Ltd. | 16,614,636 | 19,074 | |
MTR Corp. Ltd. | 4,654,108 | 19,041 | |
China Mengniu Dairy Co. Ltd. | 4,573,409 | 18,832 | |
Bank of East Asia Ltd. | 4,509,829 | 18,112 | |
Li & Fung Ltd. | 19,268,934 | 17,972 | |
Sino Land Co. Ltd. | 9,954,168 | 15,979 | |
Tingyi Cayman Islands Holding Corp. | 6,426,541 | 14,605 | |
Techtronic Industries Co. Ltd. | 4,188,000 | 13,435 | |
Wheelock & Co. Ltd. | 2,772,132 | 12,871 | |
Samsonite International SA | 4,269,900 | 12,654 | |
Hang Lung Group Ltd. | 2,786,000 | 12,633 | |
AAC Technologies Holdings Inc. | 2,362,828 | 12,566 | |
Cheung Kong Infrastructure Holdings Ltd. | 1,653,698 | 12,161 | |
Swire Properties Ltd. | 3,859,814 | 11,357 | |
Yue Yuen Industrial Holdings Ltd. | 2,751,592 | 9,894 | |
Hysan Development Co. Ltd. | 2,181,359 | 9,681 | |
SJM Holdings Ltd. | 6,099,240 | 9,642 | |
Wynn Macau Ltd. | 3,451,536 | 9,629 | |
^ | Prada SPA | 1,702,800 | 9,616 |
PCCW Ltd. | 13,013,497 | 8,861 | |
NWS Holdings Ltd. | 4,474,818 | 8,208 | |
Esprit Holdings Ltd. | 6,592,856 | 7,865 | |
Kerry Properties Ltd. | 2,109,729 | 7,611 | |
^ | Sun Art Retail Group Ltd. | 7,623,652 | 7,557 |
First Pacific Co. Ltd. | 7,642,697 | 7,547 | |
VTech Holdings Ltd. | 523,800 | 7,508 | |
ASM Pacific Technology Ltd. | 779,637 | 7,423 | |
Cathay Pacific Airways Ltd. | 3,354,517 | 7,314 | |
* | Semiconductor Manufacturing International Corp. | 77,192,000 | 7,046 |
Hopewell Holdings Ltd. | 1,785,101 | 6,498 | |
Shangri-La Asia Ltd. | 4,705,254 | 6,448 | |
MGM China Holdings Ltd. | 2,534,051 | 6,398 | |
^ | Melco International Development Ltd. | 2,724,000 | 5,963 |
*,2 | WH Group Ltd. | 10,295,831 | 5,871 |
Television Broadcasts Ltd. | 948,200 | 5,518 | |
Huabao International Holdings Ltd. | 6,252,000 | 5,095 | |
New World China Land Ltd. | 8,466,000 | 5,006 | |
Chow Tai Fook Jewellery Group Ltd. | 3,608,800 | 4,833 | |
* | Alibaba Health Information Technology Ltd. | 7,166,000 | 4,673 |
Johnson Electric Holdings Ltd. | 1,175,125 | 4,307 |
6
Vanguard® Developed Markets Index Fund | |||
Schedule of Investments | |||
December 31, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Uni-President China Holdings Ltd. | 4,245,200 | 3,908 | |
Orient Overseas International Ltd. | 656,731 | 3,824 | |
* | Global Brands Group Holding Ltd. | 18,896,934 | 3,690 |
* | United Co. RUSAL plc | 5,481,000 | 3,679 |
Cafe de Coral Holdings Ltd. | 1,040,000 | 3,598 | |
L'Occitane International SA | 1,415,750 | 3,567 | |
Champion REIT | 7,430,400 | 3,449 | |
* | FIH Mobile Ltd. | 7,328,001 | 3,286 |
Lifestyle International Holdings Ltd. | 1,493,500 | 3,143 | |
Xinyi Glass Holdings Ltd. | 6,032,000 | 3,030 | |
China Travel International Investment Hong Kong Ltd. | 8,588,800 | 2,967 | |
Dah Sing Financial Holdings Ltd. | 479,120 | 2,783 | |
Kerry Logistics Network Ltd. | 1,745,114 | 2,757 | |
Shun Tak Holdings Ltd. | 5,810,000 | 2,678 | |
Shui On Land Ltd. | 11,091,500 | 2,608 | |
Great Eagle Holdings Ltd. | 803,400 | 2,607 | |
^ | Shougang Fushan Resources Group Ltd. | 11,516,000 | 2,502 |
*,^ | Brightoil Petroleum Holdings Ltd. | 9,495,000 | 2,379 |
^ | SA Sa International Holdings Ltd. | 3,154,301 | 2,200 |
Towngas China Co. Ltd. | 2,167,150 | 2,191 | |
^ | Xinyi Solar Holdings Ltd. | 7,152,000 | 1,949 |
*,^ | Macau Legend Development Ltd. | 5,121,034 | 1,909 |
Dah Sing Banking Group Ltd. | 1,159,685 | 1,854 | |
Texwinca Holdings Ltd. | 1,980,000 | 1,710 | |
Hutchison Telecommunications Hong Kong Holdings Ltd. | 3,982,000 | 1,684 | |
Hopewell Highway Infrastructure Ltd. | 3,020,405 | 1,513 | |
Kowloon Development Co. Ltd. | 1,108,000 | 1,293 | |
Parkson Retail Group Ltd. | 4,436,500 | 1,102 | |
*,^ | China Rongsheng Heavy Industries Group Holdings Ltd. | 11,435,500 | 1,014 |
* | Sun Hung Kai Properties Ltd. Warrants Exp. 04/08/2016 | 371,917 | 940 |
^ | Hutchison Harbour Ring Ltd. | 8,226,000 | 715 |
1,589,711 | |||
Ireland (0.3%) | |||
* | Bank of Ireland | 91,623,316 | 34,386 |
Kerry Group plc Class A | 484,904 | 33,500 | |
* | Ryanair Holdings plc ADR | 308,510 | 21,988 |
Smurfit Kappa Group plc | 763,508 | 17,170 | |
* | Ryanair Holdings plc | 720,715 | 8,550 |
* | Irish Bank Resolution Corp. Ltd. | 257,065 | — |
115,594 | |||
Israel (0.7%) | |||
Teva Pharmaceutical Industries Ltd. | 3,158,188 | 181,043 | |
Bank Hapoalim BM | 3,325,000 | 15,635 | |
* | Bank Leumi Le-Israel BM | 4,185,508 | 14,298 |
Bezeq The Israeli Telecommunication Corp. Ltd. | 6,525,023 | 11,574 | |
Israel Chemicals Ltd. | 1,505,008 | 10,829 | |
NICE-Systems Ltd. | 176,691 | 8,936 | |
* | Israel Discount Bank Ltd. Class A | 3,496,829 | 5,583 |
Elbit Systems Ltd. | 78,391 | 4,778 | |
* | Mizrahi Tefahot Bank Ltd. | 377,750 | 3,953 |
Azrieli Group | 119,340 | 3,927 | |
Delek Group Ltd. | 15,344 | 3,849 | |
Frutarom Industries Ltd. | 118,539 | 3,658 | |
* | Israel Corp. Ltd. | 7,575 | 3,585 |
Gazit-Globe Ltd. | 286,671 | 3,390 | |
Osem Investments Ltd. | 127,339 | 2,259 | |
Paz Oil Co. Ltd. | 15,633 | 2,022 | |
* | EZchip Semiconductor Ltd. | 96,378 | 1,848 |
Harel Insurance Investments & Financial Services Ltd. | 351,894 | 1,591 | |
* | Strauss Group Ltd. | 104,384 | 1,570 |
* | Partner Communications Co. Ltd. | 287,476 | 1,488 |
* | Cellcom Israel Ltd. (Registered) | 164,637 | 1,427 |
Shikun & Binui Ltd. | 634,002 | 1,336 | |
Ormat Industries | 173,502 | 1,189 |
7
Vanguard® Developed Markets Index Fund | |||
Schedule of Investments | |||
December 31, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Melisron Ltd. | 40,988 | 1,132 | |
* | Delek Energy Systems Ltd. | 2,356 | 1,065 |
* | Clal Insurance Enterprises Holdings Ltd. | 63,535 | 905 |
* | Oil Refineries Ltd. | 3,352,445 | 888 |
First International Bank Of Israel Ltd. | 63,811 | 816 | |
Delek Automotive Systems Ltd. | 90,675 | 806 | |
Migdal Insurance & Financial Holding Ltd. | 658,796 | 784 | |
Shufersal Ltd. | 199,114 | 424 | |
296,588 | |||
Italy (2.1%) | |||
Eni SPA | 8,200,674 | 143,647 | |
Intesa Sanpaolo SPA (Registered) | 39,239,622 | 113,831 | |
UniCredit SPA | 16,074,157 | 102,965 | |
Enel SPA | 21,607,152 | 96,314 | |
Assicurazioni Generali SPA | 4,195,345 | 86,143 | |
* | Telecom Italia SPA (Registered) | 34,723,089 | 37,032 |
Snam SPA | 6,968,887 | 34,491 | |
* | Fiat Chrysler Automobiles NV | 2,760,703 | 32,079 |
Luxottica Group SPA | 584,218 | 32,026 | |
Atlantia SPA | 1,321,570 | 30,716 | |
CNH Industrial NV | 3,051,091 | 24,699 | |
Tenaris SA | 1,569,135 | 23,711 | |
Terna Rete Elettrica Nazionale SPA | 4,767,984 | 21,657 | |
Unione di Banche Italiane SCpA | 2,879,454 | 20,595 | |
Telecom Italia SPA (Bearer) | 20,417,463 | 17,070 | |
Pirelli & C. SPA | 1,108,106 | 14,945 | |
Mediobanca SPA | 1,824,079 | 14,822 | |
Banco Popolare SC | 1,198,995 | 14,426 | |
EXOR SPA | 325,007 | 13,336 | |
Prysmian SPA | 682,185 | 12,432 | |
* | Finmeccanica SPA | 1,272,929 | 11,832 |
Enel Green Power SPA | 5,220,825 | 10,938 | |
* | Mediaset SPA | 2,235,732 | 9,199 |
* | Saipem SPA | 830,984 | 8,711 |
^ | Banca Monte dei Paschi di Siena SPA | 14,580,329 | 8,306 |
UnipolSai SPA | 2,718,785 | 7,320 | |
Davide Campari-Milano SPA | 927,942 | 5,792 | |
Mediolanum SPA | 842,321 | 5,368 | |
^ | GTECH SPA | 214,879 | 4,798 |
Salvatore Ferragamo SPA | 154,671 | 3,806 | |
UnipolSai SPA | 1,231,412 | 3,317 | |
Buzzi Unicem SPA | 240,516 | 3,044 | |
Parmalat SPA | 1,015,063 | 2,931 | |
972,299 | |||
Japan (21.4%) | |||
Toyota Motor Corp. | 8,820,648 | 549,680 | |
Mitsubishi UFJ Financial Group Inc. | 47,116,463 | 258,869 | |
SoftBank Corp. | 3,136,391 | 186,688 | |
Honda Motor Co. Ltd. | 5,981,489 | 175,487 | |
Sumitomo Mitsui Financial Group Inc. | 4,472,013 | 161,675 | |
Mizuho Financial Group Inc. | 79,695,593 | 133,594 | |
KDDI Corp. | 2,060,810 | 129,468 | |
Hitachi Ltd. | 15,445,335 | 113,998 | |
Canon Inc. | 3,478,644 | 110,564 | |
FANUC Corp. | 653,751 | 107,791 | |
Takeda Pharmaceutical Co. Ltd. | 2,575,522 | 106,621 | |
Astellas Pharma Inc. | 7,353,926 | 102,382 | |
Japan Tobacco Inc. | 3,508,096 | 96,553 | |
East Japan Railway Co. | 1,261,974 | 95,116 | |
Central Japan Railway Co. | 630,922 | 94,560 | |
Seven & i Holdings Co. Ltd. | 2,594,889 | 93,342 | |
Shin-Etsu Chemical Co. Ltd. | 1,370,847 | 89,242 | |
Mitsubishi Estate Co. Ltd. | 4,216,585 | 88,847 | |
Mitsubishi Corp. | 4,705,395 | 86,109 |
8
Vanguard® Developed Markets Index Fund | ||
Schedule of Investments | ||
December 31, 2014 | ||
Market | ||
Value | ||
Shares | ($000) | |
Mitsui Fudosan Co. Ltd. | 3,152,715 | 84,542 |
Panasonic Corp. | 7,081,562 | 83,410 |
Mitsubishi Electric Corp. | 6,571,924 | 78,062 |
Sony Corp. | 3,818,380 | 77,930 |
Mitsui & Co. Ltd. | 5,759,914 | 77,143 |
Tokio Marine Holdings Inc. | 2,374,783 | 77,127 |
Bridgestone Corp. | 2,217,211 | 76,897 |
Denso Corp. | 1,588,878 | 74,054 |
Fuji Heavy Industries Ltd. | 2,087,772 | 73,878 |
Nissan Motor Co. Ltd. | 8,447,744 | 73,679 |
Murata Manufacturing Co. Ltd. | 666,628 | 72,743 |
Komatsu Ltd. | 3,171,379 | 70,113 |
Nippon Steel & Sumitomo Metal Corp. | 28,152,576 | 69,836 |
Kao Corp. | 1,750,796 | 69,042 |
Keyence Corp. | 153,283 | 68,302 |
Nomura Holdings Inc. | 11,682,808 | 66,113 |
Fast Retailing Co. Ltd. | 178,155 | 64,830 |
Nippon Telegraph & Telephone Corp. | 1,229,733 | 62,818 |
Kubota Corp. | 4,166,706 | 60,479 |
Mitsubishi Heavy Industries Ltd. | 10,671,463 | 58,891 |
Toshiba Corp. | 13,655,301 | 57,589 |
Dai-ichi Life Insurance Co. Ltd. | 3,757,700 | 57,041 |
Daikin Industries Ltd. | 886,976 | 56,877 |
ITOCHU Corp. | 5,257,353 | 56,123 |
SMC Corp. | 206,902 | 54,255 |
ORIX Corp. | 4,306,700 | 54,190 |
Sumitomo Realty & Development Co. Ltd. | 1,458,257 | 49,682 |
Nidec Corp. | 768,430 | 49,630 |
Kyocera Corp. | 1,077,110 | 49,288 |
Sumitomo Mitsui Trust Holdings Inc. | 12,739,076 | 48,794 |
NTT DOCOMO Inc. | 3,328,684 | 48,476 |
Hoya Corp. | 1,412,636 | 47,782 |
FUJIFILM Holdings Corp. | 1,524,173 | 46,508 |
Daiwa Securities Group Inc. | 5,846,789 | 45,781 |
Asahi Group Holdings Ltd. | 1,435,746 | 44,418 |
Tokyo Electron Ltd. | 574,069 | 43,532 |
MS&AD Insurance Group Holdings Inc. | 1,806,208 | 42,804 |
Tokyo Gas Co. Ltd. | 7,876,774 | 42,500 |
Mazda Motor Corp. | 1,769,491 | 42,495 |
Suzuki Motor Corp. | 1,395,687 | 41,825 |
Toray Industries Inc. | 5,150,923 | 41,156 |
Oriental Land Co. Ltd. | 177,147 | 40,853 |
Daiwa House Industry Co. Ltd. | 2,150,632 | 40,628 |
Asahi Kasei Corp. | 4,431,069 | 40,422 |
Secom Co. Ltd. | 689,156 | 39,595 |
Otsuka Holdings Co. Ltd. | 1,281,849 | 38,431 |
Sumitomo Corp. | 3,738,145 | 38,393 |
JFE Holdings Inc. | 1,719,811 | 38,353 |
Nintendo Co. Ltd. | 356,777 | 37,232 |
Kirin Holdings Co. Ltd. | 2,954,825 | 36,716 |
Rakuten Inc. | 2,587,900 | 35,987 |
Eisai Co. Ltd. | 923,939 | 35,732 |
Ajinomoto Co. Inc. | 1,882,753 | 35,051 |
* Olympus Corp. | 994,177 | 34,826 |
Inpex Corp. | 3,071,600 | 34,196 |
Shimano Inc. | 262,088 | 33,946 |
Marubeni Corp. | 5,580,313 | 33,389 |
Omron Corp. | 737,446 | 32,990 |
Daiichi Sankyo Co. Ltd. | 2,315,297 | 32,374 |
Sompo Japan Nipponkoa Holdings Inc. | 1,286,152 | 32,344 |
Sumitomo Electric Industries Ltd. | 2,557,100 | 31,936 |
Resona Holdings Inc. | 6,300,822 | 31,829 |
Fujitsu Ltd. | 5,945,221 | 31,698 |
Dentsu Inc. | 753,178 | 31,665 |
9
Vanguard® Developed Markets Index Fund | ||
Schedule of Investments | ||
December 31, 2014 | ||
Market | ||
Value | ||
Shares | ($000) | |
JX Holdings Inc. | 8,066,507 | 31,392 |
Nitto Denko Corp. | 553,270 | 30,914 |
West Japan Railway Co. | 633,026 | 29,928 |
Toyota Industries Corp. | 567,188 | 29,069 |
Daito Trust Construction Co. Ltd. | 254,580 | 28,879 |
Unicharm Corp. | 1,182,078 | 28,333 |
* Chubu Electric Power Co. Inc. | 2,370,036 | 27,850 |
Shionogi & Co. Ltd. | 1,072,893 | 27,719 |
Terumo Corp. | 1,216,364 | 27,607 |
Ono Pharmaceutical Co. Ltd. | 308,821 | 27,342 |
T&D Holdings Inc. | 2,197,437 | 26,343 |
Tokyu Corp. | 4,207,264 | 26,070 |
Yamato Holdings Co. Ltd. | 1,278,751 | 25,321 |
NEC Corp. | 8,655,784 | 25,154 |
Sekisui House Ltd. | 1,893,673 | 24,917 |
Aeon Co. Ltd. | 2,459,798 | 24,720 |
Sumitomo Metal Mining Co. Ltd. | 1,653,113 | 24,656 |
* Kansai Electric Power Co. Inc. | 2,590,559 | 24,644 |
Osaka Gas Co. Ltd. | 6,568,395 | 24,533 |
IHI Corp. | 4,809,725 | 24,359 |
TDK Corp. | 410,707 | 24,189 |
Isuzu Motors Ltd. | 1,955,856 | 23,823 |
Kawasaki Heavy Industries Ltd. | 5,193,737 | 23,619 |
Aisin Seiki Co. Ltd. | 656,359 | 23,582 |
Ricoh Co. Ltd. | 2,310,176 | 23,354 |
Bank of Yokohama Ltd. | 4,165,925 | 22,626 |
Hankyu Hanshin Holdings Inc. | 4,209,636 | 22,581 |
Sysmex Corp. | 506,460 | 22,478 |
Mitsubishi Chemical Holdings Corp. | 4,585,815 | 22,243 |
NGK Spark Plug Co. Ltd. | 727,345 | 22,101 |
Nippon Paint Holdings Co. Ltd. | 758,000 | 21,965 |
MEIJI Holdings Co. Ltd. | 235,509 | 21,426 |
Japan Exchange Group Inc. | 911,853 | 21,256 |
* Tokyo Electric Power Co. Inc. | 5,193,214 | 21,122 |
Sumitomo Chemical Co. Ltd. | 5,180,827 | 20,395 |
Taisei Corp. | 3,527,695 | 20,009 |
LIXIL Group Corp. | 944,899 | 19,886 |
Kintetsu Corp. | 5,944,588 | 19,545 |
Seiko Epson Corp. | 464,200 | 19,424 |
Rohm Co. Ltd. | 321,936 | 19,398 |
Yakult Honsha Co. Ltd. | 366,025 | 19,321 |
NGK Insulators Ltd. | 929,748 | 19,058 |
NSK Ltd. | 1,604,670 | 18,946 |
Makita Corp. | 419,853 | 18,919 |
Mitsubishi Motors Corp. | 2,064,726 | 18,862 |
Yamaha Motor Co. Ltd. | 937,485 | 18,757 |
Dai Nippon Printing Co. Ltd. | 2,077,888 | 18,715 |
Tohoku Electric Power Co. Inc. | 1,594,766 | 18,557 |
Odakyu Electric Railway Co. Ltd. | 2,083,360 | 18,455 |
Shiseido Co. Ltd. | 1,313,024 | 18,414 |
Chugai Pharmaceutical Co. Ltd. | 745,913 | 18,315 |
Shizuoka Bank Ltd. | 1,934,033 | 17,685 |
Toyota Tsusho Corp. | 755,443 | 17,549 |
Minebea Co. Ltd. | 1,186,000 | 17,515 |
Sekisui Chemical Co. Ltd. | 1,454,600 | 17,500 |
Kobe Steel Ltd. | 9,912,055 | 17,073 |
Konica Minolta Inc. | 1,560,113 | 16,999 |
Asahi Glass Co. Ltd. | 3,436,264 | 16,728 |
Electric Power Development Co. Ltd. | 494,804 | 16,720 |
* Recruit Holdings Co. Ltd. | 575,612 | 16,531 |
Chiba Bank Ltd. | 2,443,190 | 16,010 |
Yahoo Japan Corp. | 4,449,100 | 15,945 |
NTT Data Corp. | 420,400 | 15,662 |
Nikon Corp. | 1,177,033 | 15,639 |
10
Vanguard® Developed Markets Index Fund | |||
Schedule of Investments | |||
December 31, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Kikkoman Corp. | 635,537 | 15,576 | |
* | Kyushu Electric Power Co. Inc. | 1,554,386 | 15,567 |
Brother Industries Ltd. | 850,983 | 15,426 | |
Nippon Express Co. Ltd. | 3,041,022 | 15,411 | |
Nippon Yusen KK | 5,427,399 | 15,330 | |
Asics Corp. | 629,678 | 15,160 | |
JGC Corp. | 735,666 | 15,145 | |
Isetan Mitsukoshi Holdings Ltd. | 1,221,362 | 15,113 | |
Fukuoka Financial Group Inc. | 2,925,986 | 15,085 | |
Shimizu Corp. | 2,176,359 | 14,782 | |
Santen Pharmaceutical Co. Ltd. | 273,054 | 14,700 | |
Suntory Beverage & Food Ltd. | 422,118 | 14,584 | |
Keio Corp. | 2,022,923 | 14,552 | |
Obayashi Corp. | 2,251,751 | 14,515 | |
Tobu Railway Co. Ltd. | 3,389,173 | 14,493 | |
NH Foods Ltd. | 649,536 | 14,211 | |
Mitsubishi Materials Corp. | 4,270,091 | 14,166 | |
Nitori Holdings Co. Ltd. | 262,382 | 14,097 | |
Bandai Namco Holdings Inc. | 650,107 | 13,764 | |
Chugoku Electric Power Co. Inc. | 1,047,955 | 13,701 | |
Kuraray Co. Ltd. | 1,184,584 | 13,459 | |
Lawson Inc. | 218,532 | 13,205 | |
Toppan Printing Co. Ltd. | 2,030,365 | 13,192 | |
Don Quijote Holdings Co. Ltd. | 190,308 | 13,083 | |
Nissin Foods Holdings Co. Ltd. | 269,163 | 12,829 | |
JTEKT Corp. | 756,879 | 12,738 | |
Koito Manufacturing Co. Ltd. | 416,356 | 12,737 | |
Taiheiyo Cement Corp. | 4,019,623 | 12,611 | |
Daicel Corp. | 1,075,689 | 12,565 | |
TOTO Ltd. | 1,074,179 | 12,496 | |
Keikyu Corp. | 1,674,142 | 12,387 | |
Hirose Electric Co. Ltd. | 106,717 | 12,382 | |
Aozora Bank Ltd. | 3,997,871 | 12,376 | |
Kansai Paint Co. Ltd. | 790,650 | 12,249 | |
Kajima Corp. | 2,916,891 | 11,995 | |
Japan Airlines Co. Ltd. | 403,364 | 11,959 | |
Hino Motors Ltd. | 906,537 | 11,933 | |
^ | Casio Computer Co. Ltd. | 779,802 | 11,929 |
Keisei Electric Railway Co. Ltd. | 977,312 | 11,884 | |
Suruga Bank Ltd. | 642,641 | 11,810 | |
Tokyu Fudosan Holdings Corp. | 1,688,771 | 11,717 | |
Joyo Bank Ltd. | 2,358,920 | 11,681 | |
Iyo Bank Ltd. | 1,075,037 | 11,643 | |
*,^ | Sharp Corp. | 5,251,910 | 11,619 |
Oji Holdings Corp. | 3,198,780 | 11,445 | |
Mitsui OSK Lines Ltd. | 3,854,445 | 11,420 | |
Hamamatsu Photonics KK | 239,631 | 11,407 | |
Mitsubishi Tanabe Pharma Corp. | 771,823 | 11,314 | |
Stanley Electric Co. Ltd. | 518,532 | 11,197 | |
USS Co. Ltd. | 725,650 | 11,149 | |
JSR Corp. | 646,174 | 11,091 | |
Nagoya Railroad Co. Ltd. | 2,964,000 | 11,036 | |
Alps Electric Co. Ltd. | 575,900 | 10,886 | |
Yaskawa Electric Corp. | 850,978 | 10,870 | |
Hitachi Metals Ltd. | 635,350 | 10,795 | |
Amada Co. Ltd. | 1,257,843 | 10,778 | |
Toyo Suisan Kaisha Ltd. | 327,571 | 10,547 | |
Bank of Kyoto Ltd. | 1,256,114 | 10,501 | |
Hachijuni Bank Ltd. | 1,623,629 | 10,430 | |
Shinsei Bank Ltd. | 5,971,028 | 10,392 | |
Gunma Bank Ltd. | 1,585,958 | 10,292 | |
Shimadzu Corp. | 1,009,050 | 10,264 | |
Tokyo Tatemono Co. Ltd. | 1,403,000 | 10,211 | |
Nomura Research Institute Ltd. | 333,678 | 10,206 |
11
Vanguard® Developed Markets Index Fund | ||
Schedule of Investments | ||
December 31, 2014 | ||
Market | ||
Value | ||
Shares | ($000) | |
Credit Saison Co. Ltd. | 545,777 | 10,149 |
Hokuhoku Financial Group Inc. | 5,030,652 | 10,144 |
M3 Inc. | 603,600 | 10,099 |
Sumitomo Heavy Industries Ltd. | 1,876,770 | 10,095 |
ANA Holdings Inc. | 4,003,965 | 9,900 |
J Front Retailing Co. Ltd. | 852,683 | 9,876 |
Hulic Co. Ltd. | 986,781 | 9,865 |
Citizen Holdings Co. Ltd. | 1,270,782 | 9,778 |
^ Yamada Denki Co. Ltd. | 2,911,020 | 9,767 |
Ryohin Keikaku Co. Ltd. | 79,200 | 9,761 |
^ Seibu Holdings Inc. | 476,846 | 9,722 |
Trend Micro Inc. | 351,555 | 9,715 |
Taisho Pharmaceutical Holdings Co. Ltd. | 158,618 | 9,692 |
Nabtesco Corp. | 399,198 | 9,648 |
NOK Corp. | 377,994 | 9,621 |
MISUMI Group Inc. | 291,000 | 9,596 |
THK Co. Ltd. | 399,215 | 9,594 |
Tosoh Corp. | 1,995,000 | 9,594 |
Seven Bank Ltd. | 2,238,149 | 9,395 |
Hiroshima Bank Ltd. | 1,941,302 | 9,240 |
Yokogawa Electric Corp. | 841,467 | 9,233 |
Daihatsu Motor Co. Ltd. | 704,304 | 9,199 |
Air Water Inc. | 570,733 | 9,040 |
Keihan Electric Railway Co. Ltd. | 1,685,000 | 9,017 |
Rinnai Corp. | 133,580 | 8,976 |
Toho Co. Ltd. | 394,800 | 8,958 |
Hisamitsu Pharmaceutical Co. Inc. | 279,133 | 8,802 |
Nisshin Seifun Group Inc. | 907,983 | 8,790 |
Nissan Chemical Industries Ltd. | 480,600 | 8,716 |
Kyowa Hakko Kirin Co. Ltd. | 924,839 | 8,709 |
Sumitomo Rubber Industries Ltd. | 582,198 | 8,655 |
Mitsui Chemicals Inc. | 3,027,133 | 8,574 |
TonenGeneral Sekiyu KK | 993,576 | 8,482 |
Toho Gas Co. Ltd. | 1,726,095 | 8,445 |
Yamaha Corp. | 571,490 | 8,424 |
Miraca Holdings Inc. | 195,197 | 8,397 |
Yamaguchi Financial Group Inc. | 815,631 | 8,382 |
Teijin Ltd. | 3,142,082 | 8,351 |
Sony Financial Holdings Inc. | 566,329 | 8,339 |
Kurita Water Industries Ltd. | 399,657 | 8,334 |
Calbee Inc. | 240,164 | 8,273 |
Shimamura Co. Ltd. | 95,560 | 8,247 |
Mitsubishi UFJ Lease & Finance Co. Ltd. | 1,712,060 | 8,052 |
Benesse Holdings Inc. | 269,750 | 8,004 |
Chugoku Bank Ltd. | 586,478 | 7,994 |
Kawasaki Kisen Kaisha Ltd. | 2,991,055 | 7,991 |
Fuji Electric Co. Ltd. | 1,995,559 | 7,956 |
Takashimaya Co. Ltd. | 989,838 | 7,904 |
Hakuhodo DY Holdings Inc. | 825,370 | 7,899 |
Sega Sammy Holdings Inc. | 617,298 | 7,898 |
Alfresa Holdings Corp. | 650,688 | 7,858 |
Hokuriku Electric Power Co. | 614,432 | 7,847 |
Marui Group Co. Ltd. | 868,096 | 7,830 |
Hoshizaki Electric Co. Ltd. | 161,800 | 7,797 |
FamilyMart Co. Ltd. | 205,226 | 7,730 |
NTN Corp. | 1,713,000 | 7,565 |
SBI Holdings Inc. | 689,629 | 7,535 |
Japan Airport Terminal Co. Ltd. | 191,300 | 7,523 |
Mitsubishi Gas Chemical Co. Inc. | 1,487,798 | 7,467 |
MediPal Holdings Corp. | 637,294 | 7,443 |
Haseko Corp. | 918,100 | 7,384 |
Hitachi Construction Machinery Co. Ltd. | 345,952 | 7,315 |
AEON Financial Service Co. Ltd. | 370,020 | 7,308 |
Toyo Seikan Group Holdings Ltd. | 581,881 | 7,228 |
12
Vanguard® Developed Markets Index Fund | ||
Schedule of Investments | ||
December 31, 2014 | ||
Market | ||
Value | ||
Shares | ($000) | |
Nippon Kayaku Co. Ltd. | 581,000 | 7,226 |
Obic Co. Ltd. | 221,900 | 7,201 |
Suzuken Co. Ltd. | 259,724 | 7,174 |
Mabuchi Motor Co. Ltd. | 177,916 | 7,062 |
Nippon Shokubai Co. Ltd. | 539,000 | 7,061 |
Mitsubishi Logistics Corp. | 484,575 | 7,048 |
Yokohama Rubber Co. Ltd. | 769,000 | 7,002 |
Pigeon Corp. | 119,200 | 6,950 |
Aeon Mall Co. Ltd. | 391,055 | 6,930 |
Kewpie Corp. | 370,600 | 6,909 |
Advantest Corp. | 556,717 | 6,900 |
^ Taiyo Nippon Sanso Corp. | 625,000 | 6,880 |
Kamigumi Co. Ltd. | 765,413 | 6,818 |
Nishi-Nippon City Bank Ltd. | 2,359,195 | 6,788 |
Sawai Pharmaceutical Co. Ltd. | 118,100 | 6,785 |
Nomura Real Estate Holdings Inc. | 393,476 | 6,733 |
Tsuruha Holdings Inc. | 116,300 | 6,729 |
Nippon Shinyaku Co. Ltd. | 205,000 | 6,586 |
DIC Corp. | 2,715,000 | 6,509 |
Toyo Tire & Rubber Co. Ltd. | 329,700 | 6,470 |
Iida Group Holdings Co. Ltd. | 530,900 | 6,467 |
Nihon Kohden Corp. | 130,700 | 6,440 |
Nankai Electric Railway Co. Ltd. | 1,658,000 | 6,386 |
77 Bank Ltd. | 1,207,000 | 6,343 |
Disco Corp. | 79,100 | 6,327 |
Kobayashi Pharmaceutical Co. Ltd. | 108,100 | 6,290 |
Zenkoku Hosho Co. Ltd. | 221,600 | 6,288 |
^ Kakaku.com Inc. | 438,400 | 6,272 |
Ebara Corp. | 1,529,000 | 6,265 |
Dowa Holdings Co. Ltd. | 783,000 | 6,221 |
Showa Shell Sekiyu KK | 630,622 | 6,212 |
* Shikoku Electric Power Co. Inc. | 506,946 | 6,149 |
Hitachi High-Technologies Corp. | 212,404 | 6,102 |
Nippon Electric Glass Co. Ltd. | 1,355,486 | 6,099 |
Showa Denko KK | 4,913,002 | 6,048 |
Sugi Holdings Co. Ltd. | 147,600 | 6,025 |
Hitachi Chemical Co. Ltd. | 339,998 | 6,007 |
Sotetsu Holdings Inc. | 1,449,000 | 5,971 |
Kaneka Corp. | 1,113,752 | 5,968 |
Yamazaki Baking Co. Ltd. | 482,007 | 5,948 |
Sankyo Co. Ltd. | 172,982 | 5,934 |
Zeon Corp. | 659,000 | 5,912 |
Ezaki Glico Co. Ltd. | 167,400 | 5,852 |
Konami Corp. | 318,459 | 5,838 |
Sojitz Corp. | 4,106,482 | 5,735 |
Ibiden Co. Ltd. | 381,112 | 5,628 |
Denki Kagaku Kogyo KK | 1,502,633 | 5,504 |
Idemitsu Kosan Co. Ltd. | 330,776 | 5,462 |
Tokai Tokyo Financial Holdings Inc. | 800,300 | 5,461 |
Azbil Corp. | 237,000 | 5,460 |
GS Yuasa Corp. | 1,275,439 | 5,423 |
Sohgo Security Services Co. Ltd. | 223,000 | 5,394 |
Otsuka Corp. | 168,378 | 5,339 |
NHK Spring Co. Ltd. | 608,145 | 5,292 |
Topcon Corp. | 248,000 | 5,260 |
Glory Ltd. | 193,700 | 5,218 |
Sumitomo Dainippon Pharma Co. Ltd. | 535,175 | 5,183 |
Ube Industries Ltd. | 3,472,176 | 5,163 |
Seino Holdings Co. Ltd. | 511,000 | 5,151 |
Nisshinbo Holdings Inc. | 499,000 | 5,145 |
Square Enix Holdings Co. Ltd. | 245,600 | 5,064 |
^ Sanrio Co. Ltd. | 204,541 | 5,054 |
Nishi-Nippon Railroad Co. Ltd. | 1,236,000 | 5,040 |
Nippon Paper Industries Co. Ltd. | 347,110 | 4,985 |
13
Vanguard® Developed Markets Index Fund | |||
Schedule of Investments | |||
December 31, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
COMSYS Holdings Corp. | 362,900 | 4,964 | |
Park24 Co. Ltd. | 337,117 | 4,963 | |
^ | Tsumura & Co. | 222,869 | 4,928 |
Japan Aviation Electronics Industry Ltd. | 224,000 | 4,894 | |
Toyoda Gosei Co. Ltd. | 243,112 | 4,890 | |
* | Hokkaido Electric Power Co. Inc. | 607,439 | 4,863 |
^ | Sumco Corp. | 338,296 | 4,843 |
Okasan Securities Group Inc. | 635,516 | 4,779 | |
Nagase & Co. Ltd. | 399,600 | 4,771 | |
Chiyoda Corp. | 572,364 | 4,742 | |
Keiyo Bank Ltd. | 849,000 | 4,738 | |
Sapporo Holdings Ltd. | 1,121,000 | 4,737 | |
Tadano Ltd. | 383,000 | 4,731 | |
Izumi Co. Ltd. | 132,800 | 4,665 | |
Sundrug Co. Ltd. | 112,900 | 4,615 | |
Resorttrust Inc. | 210,000 | 4,598 | |
Maruichi Steel Tube Ltd. | 215,852 | 4,594 | |
Kaken Pharmaceutical Co. Ltd. | 237,000 | 4,583 | |
H2O Retailing Corp. | 284,600 | 4,508 | |
Temp Holdings Co. Ltd. | 143,000 | 4,487 | |
Daido Steel Co. Ltd. | 1,163,580 | 4,395 | |
Shiga Bank Ltd. | 823,000 | 4,384 | |
DMG Mori Seiki Co. Ltd. | 352,400 | 4,364 | |
Lion Corp. | 832,000 | 4,339 | |
Oracle Corp. Japan | 106,324 | 4,332 | |
Ushio Inc. | 410,555 | 4,276 | |
Nichirei Corp. | 944,000 | 4,272 | |
Fujikura Ltd. | 1,038,000 | 4,269 | |
Mitsui Engineering & Shipbuilding Co. Ltd. | 2,417,000 | 4,248 | |
Mitsui Mining & Smelting Co. Ltd. | 1,758,000 | 4,242 | |
Taiyo Yuden Co. Ltd. | 361,700 | 4,209 | |
Dena Co. Ltd. | 351,875 | 4,203 | |
Wacoal Holdings Corp. | 414,000 | 4,179 | |
Sumitomo Forestry Co. Ltd. | 422,800 | 4,135 | |
OKUMA Corp. | 520,000 | 4,091 | |
House Foods Group Inc. | 236,500 | 4,082 | |
Japan Steel Works Ltd. | 1,151,538 | 4,074 | |
Nexon Co. Ltd. | 436,763 | 4,072 | |
Juroku Bank Ltd. | 1,137,000 | 4,024 | |
Rohto Pharmaceutical Co. Ltd. | 320,300 | 4,002 | |
SCREEN Holdings Co. Ltd. | 681,000 | 4,002 | |
Shimachu Co. Ltd. | 164,300 | 3,982 | |
Takara Holdings Inc. | 612,300 | 3,971 | |
Kose Corp. | 101,400 | 3,964 | |
San-In Godo Bank Ltd. | 519,000 | 3,903 | |
SKY Perfect JSAT Holdings Inc. | 660,800 | 3,899 | |
Yamato Kogyo Co. Ltd. | 138,589 | 3,876 | |
*,^ | Acom Co. Ltd. | 1,267,450 | 3,869 |
Awa Bank Ltd. | 720,000 | 3,850 | |
Lintec Corp. | 173,300 | 3,831 | |
Cosmos Pharmaceutical Corp. | 28,000 | 3,826 | |
Toyobo Co. Ltd. | 2,846,000 | 3,815 | |
TS Tech Co. Ltd. | 163,000 | 3,812 | |
Aoyama Trading Co. Ltd. | 172,100 | 3,760 | |
Century Tokyo Leasing Corp. | 150,000 | 3,737 | |
Jafco Co. Ltd. | 108,900 | 3,729 | |
^ | Kagome Co. Ltd. | 242,000 | 3,680 |
Daishi Bank Ltd. | 1,093,000 | 3,628 | |
Matsumotokiyoshi Holdings Co. Ltd. | 126,100 | 3,616 | |
Furukawa Electric Co. Ltd. | 2,173,514 | 3,606 | |
Sumitomo Osaka Cement Co. Ltd. | 1,250,000 | 3,570 | |
* | Japan Display Inc. | 1,163,800 | 3,552 |
Shochiku Co. Ltd. | 363,000 | 3,527 | |
SCSK Corp. | 140,600 | 3,522 |
14
Vanguard® Developed Markets Index Fund | |||
Schedule of Investments | |||
December 31, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
UNY Group Holdings Co. Ltd. | 691,400 | 3,520 | |
Musashino Bank Ltd. | 105,000 | 3,490 | |
Kinden Corp. | 345,193 | 3,487 | |
ABC-Mart Inc. | 71,869 | 3,478 | |
NTT Urban Development Corp. | 344,800 | 3,472 | |
Higo Bank Ltd. | 655,000 | 3,469 | |
K's Holdings Corp. | 131,000 | 3,443 | |
^ | Nipro Corp. | 398,200 | 3,429 |
North Pacific Bank Ltd. | 887,800 | 3,427 | |
KYORIN Holdings Inc. | 184,200 | 3,413 | |
Tokai Rika Co. Ltd. | 161,600 | 3,392 | |
Autobacs Seven Co. Ltd. | 239,000 | 3,382 | |
HIS Co. Ltd. | 119,600 | 3,376 | |
Kagoshima Bank Ltd. | 535,000 | 3,357 | |
Senshu Ikeda Holdings Inc. | 729,800 | 3,310 | |
Kissei Pharmaceutical Co. Ltd. | 125,500 | 3,292 | |
Start Today Co. Ltd. | 157,000 | 3,262 | |
^ | Ito En Ltd. | 180,000 | 3,260 |
Hyakugo Bank Ltd. | 786,000 | 3,243 | |
Hitachi Capital Corp. | 146,700 | 3,229 | |
Anritsu Corp. | 455,168 | 3,166 | |
Coca-Cola East Japan Co. Ltd. | 205,000 | 3,130 | |
Hokkoku Bank Ltd. | 964,000 | 3,091 | |
Japan Petroleum Exploration Co. Ltd. | 97,955 | 3,077 | |
^ | Fukuyama Transporting Co. Ltd. | 568,000 | 3,069 |
*,^ | Aiful Corp. | 909,700 | 3,066 |
Toda Corp. | 768,000 | 3,029 | |
Rengo Co. Ltd. | 723,000 | 2,979 | |
Nissan Shatai Co. Ltd. | 244,667 | 2,970 | |
Maeda Road Construction Co. Ltd. | 200,000 | 2,967 | |
Matsui Securities Co. Ltd. | 341,900 | 2,958 | |
Cosmo Oil Co. Ltd. | 2,072,525 | 2,945 | |
Nanto Bank Ltd. | 841,000 | 2,886 | |
Canon Marketing Japan Inc. | 167,900 | 2,845 | |
Hyakujushi Bank Ltd. | 866,000 | 2,829 | |
Coca-Cola West Co. Ltd. | 204,691 | 2,823 | |
Itochu Techno-Solutions Corp. | 79,354 | 2,800 | |
Nisshin Steel Co. Ltd. | 292,900 | 2,793 | |
Toshiba TEC Corp. | 403,000 | 2,762 | |
Calsonic Kansei Corp. | 495,000 | 2,744 | |
Hikari Tsushin Inc. | 44,900 | 2,731 | |
* | Nippon Sheet Glass Co. Ltd. | 2,868,000 | 2,695 |
Nippo Corp. | 163,000 | 2,650 | |
^ | Toyota Boshoku Corp. | 196,242 | 2,605 |
Onward Holdings Co. Ltd. | 433,000 | 2,603 | |
KYB Co. Ltd. | 612,000 | 2,602 | |
Heiwa Corp. | 127,200 | 2,534 | |
FP Corp. | 78,800 | 2,526 | |
Pola Orbis Holdings Inc. | 62,000 | 2,478 | |
Capcom Co. Ltd. | 161,600 | 2,428 | |
Asatsu-DK Inc. | 100,900 | 2,427 | |
Mochida Pharmaceutical Co. Ltd. | 42,800 | 2,317 | |
Exedy Corp. | 94,400 | 2,273 | |
Nippon Television Holdings Inc. | 150,800 | 2,213 | |
Komeri Co. Ltd. | 95,000 | 2,056 | |
* | Orient Corp. | 1,213,000 | 1,987 |
Kandenko Co. Ltd. | 335,000 | 1,923 | |
^ | Gree Inc. | 294,925 | 1,775 |
Hitachi Transport System Ltd. | 138,500 | 1,696 | |
Fuji Media Holdings Inc. | 135,900 | 1,676 | |
PanaHome Corp. | 236,000 | 1,502 | |
Daikyo Inc. | 942,000 | 1,456 | |
Shinko Electric Industries Co. Ltd. | 214,000 | 1,449 | |
Tokyo Broadcasting System Holdings Inc. | 121,200 | 1,422 |
15
Vanguard® Developed Markets Index Fund | |||
Schedule of Investments | |||
December 31, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
NS Solutions Corp. | 50,400 | 1,348 | |
Toppan Forms Co. Ltd. | 133,000 | 1,335 | |
^ | Takata Corp. | 108,800 | 1,312 |
TV Asahi Holdings Corp. | 69,100 | 1,088 | |
Sumitomo Real Estate Sales Co. Ltd. | 47,160 | 1,062 | |
Mitsubishi Shokuhin Co. Ltd. | 46,800 | 1,019 | |
Sumitomo Riko Co. Ltd. | 117,200 | 881 | |
*,^ | Aplus Financial Co. Ltd. | 291,100 | 323 |
9,669,414 | |||
Netherlands (2.7%) | |||
Unilever NV | 5,177,524 | 202,534 | |
* | ING Groep NV | 12,848,957 | 166,005 |
ASML Holding NV | 1,069,694 | 115,578 | |
Koninklijke Philips NV | 3,102,726 | 89,936 | |
Unibail-Rodamco SE | 323,433 | 82,972 | |
Akzo Nobel NV | 805,741 | 55,749 | |
Koninklijke Ahold NV | 2,985,678 | 53,064 | |
Heineken NV | 734,699 | 52,169 | |
Reed Elsevier NV | 2,074,154 | 49,532 | |
Aegon NV | 6,307,290 | 47,406 | |
ArcelorMittal | 3,322,813 | 36,405 | |
Koninklijke DSM NV | 580,236 | 35,390 | |
Koninklijke KPN NV | 10,314,658 | 32,567 | |
Wolters Kluwer NV | 993,391 | 30,314 | |
* | Altice SA | 279,634 | 22,082 |
^ | Gemalto NV | 262,746 | 21,443 |
Heineken Holding NV | 325,139 | 20,354 | |
Randstad Holding NV | 354,990 | 17,081 | |
Boskalis Westminster NV | 258,639 | 14,149 | |
Koninklijke Vopak NV | 223,304 | 11,585 | |
Corio NV | 231,276 | 11,326 | |
TNT Express NV | 1,563,436 | 10,423 | |
* | OCI NV | 272,928 | 9,490 |
* | NN Group NV | 251,870 | 7,519 |
* | SBM Offshore NV | 605,240 | 7,118 |
Fugro NV | 259,919 | 5,399 | |
1,207,590 | |||
New Zealand (0.2%) | |||
Spark New Zealand Ltd. | 6,191,507 | 15,009 | |
Fletcher Building Ltd. | 2,292,988 | 14,773 | |
Auckland International Airport Ltd. | 3,025,202 | 9,954 | |
Ryman Healthcare Ltd. | 1,389,159 | 9,215 | |
Fisher & Paykel Healthcare Corp. Ltd. | 1,751,420 | 8,525 | |
SKY Network Television Ltd. | 1,261,567 | 5,923 | |
Contact Energy Ltd. | 1,192,003 | 5,920 | |
SKYCITY Entertainment Group Ltd. | 1,849,590 | 5,588 | |
*,^ | Xero Ltd. | 279,853 | 3,486 |
* | Kiwi Property Group Ltd. | 3,242,146 | 3,136 |
Air New Zealand Ltd. | 1,592,648 | 3,059 | |
Vector Ltd. | 786,740 | 1,710 | |
Warehouse Group Ltd. | 454,655 | 1,106 | |
87,404 | |||
Norway (0.6%) | |||
Statoil ASA | 3,182,562 | 56,035 | |
DNB ASA | 3,564,108 | 52,573 | |
Telenor ASA | 2,307,277 | 46,673 | |
Yara International ASA | 584,101 | 26,011 | |
Norsk Hydro ASA | 4,446,945 | 25,050 | |
Orkla ASA | 2,600,738 | 17,704 | |
Schibsted ASA | 269,820 | 17,112 | |
^ | Seadrill Ltd. | 1,168,188 | 13,516 |
Marine Harvest ASA | 953,607 | 13,093 | |
Gjensidige Forsikring ASA | 597,078 | 9,743 |
16
Vanguard® Developed Markets Index Fund | |||
Schedule of Investments | |||
December 31, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Subsea 7 SA | 932,472 | 9,542 | |
*,2 | Aker Solutions ASA | 485,053 | 2,698 |
^ | Akastor ASA | 484,372 | 1,396 |
291,146 | |||
Portugal (0.2%) | |||
EDP - Energias de Portugal SA | 8,410,229 | 32,612 | |
Galp Energia SGPS SA | 1,290,449 | 13,105 | |
* | Banco Comercial Portugues SA | 124,125,677 | 9,740 |
Jeronimo Martins SGPS SA | 818,751 | 8,204 | |
EDP Renovaveis SA | 658,191 | 4,283 | |
^ | Portugal Telecom SGPS SA | 1,809,291 | 1,887 |
* | Banco Espirito Santo SA | 10,412,510 | 82 |
69,913 | |||
Singapore (1.5%) | |||
DBS Group Holdings Ltd. | 5,778,865 | 89,464 | |
Oversea-Chinese Banking Corp. Ltd. | 10,167,113 | 79,995 | |
United Overseas Bank Ltd. | 3,950,492 | 72,903 | |
Singapore Telecommunications Ltd. | 24,359,722 | 71,503 | |
Keppel Corp. Ltd. | 4,728,198 | 31,515 | |
CapitaLand Ltd. | 8,405,708 | 20,900 | |
Global Logistic Properties Ltd. | 10,008,604 | 18,660 | |
^ | Singapore Press Holdings Ltd. | 5,372,073 | 17,053 |
Wilmar International Ltd. | 6,982,476 | 17,014 | |
Genting Singapore plc | 20,144,141 | 16,333 | |
Singapore Exchange Ltd. | 2,770,982 | 16,291 | |
City Developments Ltd. | 1,974,369 | 15,232 | |
Singapore Airlines Ltd. | 1,698,788 | 14,819 | |
CapitaMall Trust | 8,717,457 | 13,384 | |
Singapore Technologies Engineering Ltd. | 5,221,418 | 13,365 | |
ComfortDelGro Corp. Ltd. | 6,758,883 | 13,227 | |
Noble Group Ltd. | 15,032,116 | 12,824 | |
Ascendas REIT | 6,642,169 | 11,914 | |
Suntec REIT | 7,970,000 | 11,790 | |
Hutchison Port Holdings Trust | 16,911,436 | 11,623 | |
Jardine Cycle & Carriage Ltd. | 330,858 | 10,600 | |
Sembcorp Industries Ltd. | 2,963,537 | 9,925 | |
CapitaCommercial Trust | 6,367,408 | 8,407 | |
UOL Group Ltd. | 1,480,549 | 7,740 | |
Golden Agri-Resources Ltd. | 21,542,943 | 7,456 | |
^ | Sembcorp Marine Ltd. | 2,843,537 | 6,977 |
Singapore Post Ltd. | 4,688,000 | 6,782 | |
Yangzijiang Shipbuilding Holdings Ltd. | 6,799,489 | 6,162 | |
Keppel Land Ltd. | 2,331,073 | 6,005 | |
StarHub Ltd. | 1,908,991 | 5,964 | |
Venture Corp. Ltd. | 804,000 | 4,765 | |
SMRT Corp. Ltd. | 2,218,000 | 2,642 | |
M1 Ltd. | 942,000 | 2,560 | |
^ | Olam International Ltd. | 1,539,000 | 2,336 |
SIA Engineering Co. Ltd. | 712,000 | 2,262 | |
*,^ | Neptune Orient Lines Ltd. | 2,904,000 | 1,836 |
Yanlord Land Group Ltd. | 2,123,000 | 1,657 | |
Frasers Centrepoint Ltd. | 1,205,000 | 1,533 | |
Wing Tai Holdings Ltd. | 1,224,000 | 1,507 | |
^ | COSCO Corp. Singapore Ltd. | 3,145,000 | 1,329 |
* | Fraser and Neave Ltd. | 623,000 | 1,275 |
Indofood Agri Resources Ltd. | 1,347,000 | 733 | |
670,262 | |||
South Korea (4.0%) | |||
Samsung Electronics Co. Ltd. | 272,968 | 328,174 | |
Samsung Electronics Co. Ltd. GDR | 167,732 | 100,681 | |
Hyundai Motor Co. | 513,791 | 78,485 | |
* | SK Hynix Inc. | 1,770,282 | 75,654 |
POSCO | 246,081 | 61,986 |
17
Vanguard® Developed Markets Index Fund | |||
Schedule of Investments | |||
December 31, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
NAVER Corp. | 90,401 | 57,896 | |
Shinhan Financial Group Co. Ltd. | 1,202,025 | 48,316 | |
Hyundai Mobis Co. Ltd. | 225,140 | 48,168 | |
Kia Motors Corp. | 859,183 | 40,825 | |
Samsung Fire & Marine Insurance Co. Ltd. | 130,183 | 33,407 | |
KB Financial Group Inc. | 979,554 | 32,026 | |
Korea Electric Power Corp. | 760,381 | 29,300 | |
Hana Financial Group Inc. | 967,254 | 28,014 | |
KT&G Corp. | 399,653 | 27,749 | |
*,^ | Samsung SDS Co. Ltd. | 95,021 | 25,373 |
LG Chem Ltd. | 144,575 | 23,641 | |
Samsung C&T Corp. | 412,888 | 23,060 | |
* | LG Display Co. Ltd. | 746,641 | 22,645 |
Samsung Life Insurance Co. Ltd. | 212,736 | 22,526 | |
Amorepacific Corp. | 10,489 | 21,176 | |
LG Electronics Inc. | 365,477 | 19,577 | |
Samsung SDI Co. Ltd. | 184,748 | 19,316 | |
LG Household & Health Care Ltd. | 30,985 | 17,586 | |
LG Corp. | 297,894 | 16,546 | |
SK Telecom Co. Ltd. ADR | 602,482 | 16,273 | |
SK Innovation Co. Ltd. | 202,089 | 15,565 | |
Hyundai Heavy Industries Co. Ltd. | 145,390 | 15,090 | |
SK C&C Co. Ltd. | 73,107 | 14,159 | |
Coway Co. Ltd. | 184,027 | 14,032 | |
Hyundai Glovis Co. Ltd. | 52,327 | 13,847 | |
SK Telecom Co. Ltd. | 53,213 | 13,015 | |
SK Holdings Co. Ltd. | 86,062 | 12,774 | |
*,^ | Cheil Industries Inc. | 88,463 | 12,716 |
E-Mart Co. Ltd. | 68,684 | 12,710 | |
Korea Zinc Co. Ltd. | 34,701 | 12,684 | |
Shinhan Financial Group Co. Ltd. ADR | 311,008 | 12,562 | |
Hyundai Steel Co. | 218,966 | 12,542 | |
Hankook Tire Co. Ltd. | 256,621 | 12,195 | |
^ | Daum Kakao Corp. | 106,425 | 11,910 |
Orion Corp. | 12,231 | 11,293 | |
BS Financial Group Inc. | 817,632 | 10,765 | |
Industrial Bank of Korea | 823,176 | 10,531 | |
^ | Samsung Heavy Industries Co. Ltd. | 581,806 | 10,495 |
Kangwon Land Inc. | 378,682 | 10,438 | |
KB Financial Group Inc. ADR | 300,958 | 9,817 | |
Samsung Electro-Mechanics Co. Ltd. | 196,746 | 9,728 | |
Hyundai Engineering & Construction Co. Ltd. | 244,364 | 9,303 | |
KCC Corp. | 19,475 | 9,182 | |
Lotte Shopping Co. Ltd. | 37,121 | 9,181 | |
AMOREPACIFIC Group | 9,918 | 8,970 | |
^ | Hotel Shilla Co. Ltd. | 106,557 | 8,838 |
NCSoft Corp. | 53,461 | 8,767 | |
KT Corp. | 305,038 | 8,626 | |
* | Woori Bank | 942,081 | 8,571 |
Hyundai Wia Corp. | 53,374 | 8,533 | |
Dongbu Insurance Co. Ltd. | 170,598 | 8,519 | |
Samsung Securities Co. Ltd. | 197,518 | 7,942 | |
*,^ | Celltrion Inc. | 226,111 | 7,942 |
LG Uplus Corp. | 702,148 | 7,321 | |
Hyundai Development Co-Engineering & Construction | 205,331 | 7,200 | |
Lotte Chemical Corp. | 48,210 | 6,941 | |
CJ CheilJedang Corp. | 24,433 | 6,809 | |
CJ Corp. | 47,504 | 6,726 | |
^ | S-Oil Corp. | 142,537 | 6,263 |
GS Holdings Corp. | 167,699 | 6,104 | |
Korea Investment Holdings Co. Ltd. | 131,662 | 5,789 | |
Hyundai Department Store Co. Ltd. | 51,451 | 5,723 | |
Daewoo Securities Co. Ltd. | 611,055 | 5,400 | |
Hanwha Life Insurance Co. Ltd. | 712,457 | 5,383 |
18
Vanguard® Developed Markets Index Fund | |||
Schedule of Investments | |||
December 31, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
Daelim Industrial Co. Ltd. | 89,065 | 5,310 | |
^ | Daewoo Shipbuilding & Marine Engineering Co. Ltd. | 313,556 | 5,274 |
Hyosung Corp. | 79,893 | 4,958 | |
Hanwha Corp. | 171,945 | 4,861 | |
^ | Halla Visteon Climate Control Corp. | 108,584 | 4,784 |
Hyundai Marine & Fire Insurance Co. Ltd. | 199,447 | 4,719 | |
^ | OCI Co. Ltd. | 64,565 | 4,569 |
Samsung Card Co. Ltd. | 112,950 | 4,541 | |
S-1 Corp. | 69,814 | 4,504 | |
* | Cheil Worldwide Inc. | 283,063 | 4,436 |
Lotte Confectionery Co. Ltd. | 2,688 | 4,355 | |
Daewoo International Corp. | 149,422 | 4,270 | |
^ | Kumho Petrochemical Co. Ltd. | 57,970 | 4,233 |
DGB Financial Group Inc. | 403,111 | 4,144 | |
*,^ | CJ Korea Express Co. Ltd. | 23,434 | 4,138 |
Korea Gas Corp. | 90,846 | 4,085 | |
* | Korean Air Lines Co. Ltd. | 93,441 | 4,008 |
SK Networks Co. Ltd. | 496,623 | 4,003 | |
Yuhan Corp. | 25,622 | 3,937 | |
Woori Investment & Securities Co. Ltd. | 422,854 | 3,902 | |
* | Doosan Infracore Co. Ltd. | 440,392 | 3,860 |
Shinsegae Co. Ltd. | 22,605 | 3,711 | |
* | Mando Corp. | 21,804 | 3,640 |
* | Daewoo Engineering & Construction Co. Ltd. | 661,641 | 3,515 |
* | Korea Electric Power Corp. ADR | 177,871 | 3,444 |
^ | Paradise Co. Ltd. | 159,854 | 3,407 |
Doosan Heavy Industries & Construction Co. Ltd. | 158,857 | 3,394 | |
*,^ | Samsung Engineering Co. Ltd. | 98,166 | 3,360 |
KT Corp. ADR | 237,080 | 3,348 | |
*,^ | NHN Entertainment Corp. | 41,499 | 3,292 |
Mirae Asset Securities Co. Ltd. | 82,208 | 3,197 | |
*,^ | GS Engineering & Construction Corp. | 136,458 | 2,857 |
^ | LG Hausys Ltd. | 18,958 | 2,783 |
Hanwha Chemical Corp. | 256,484 | 2,723 | |
^ | Samsung Techwin Co. Ltd. | 125,716 | 2,706 |
LS Corp. | 54,039 | 2,665 | |
Lotte Chilsung Beverage Co. Ltd. | 1,918 | 2,606 | |
^ | NongShim Co. Ltd. | 10,614 | 2,435 |
Hyundai Securities Co. Ltd. | 377,012 | 2,357 | |
Doosan Corp. | 23,656 | 2,222 | |
^ | Hyundai Mipo Dockyard Co. Ltd. | 32,210 | 2,023 |
*,^ | Hyundai Merchant Marine Co. Ltd. | 219,179 | 1,964 |
^ | Hite Jinro Co. Ltd. | 87,734 | 1,843 |
^ | KEPCO Engineering & Construction Co. Inc. | 38,433 | 1,794 |
*,^ | Hanjin Shipping Co. Ltd. | 326,623 | 1,777 |
^ | Hyundai Hysco Co. Ltd. | 26,112 | 1,726 |
^ | Samsung Fine Chemicals Co. Ltd. | 56,215 | 1,667 |
SKC Co. Ltd. | 61,820 | 1,488 | |
Hyundai Securities Co. Ltd. Preference Shares | 211,557 | 1,353 | |
^ | Halla Holdings Corp. | 19,122 | 1,210 |
* | Kyongnam Bank | 109,552 | 1,184 |
* | DGB Financial Group Inc. Rights Exp. 12/26/2014 | 80,755 | 84 |
1,819,967 | |||
Spain (3.2%) | |||
* | Banco Santander SA | 42,015,879 | 352,645 |
Banco Bilbao Vizcaya Argentaria SA | 20,453,641 | 193,173 | |
Telefonica SA | 13,241,658 | 190,118 | |
Iberdrola SA | 17,082,662 | 115,150 | |
Inditex SA | 3,536,687 | 100,886 | |
Repsol SA | 3,410,724 | 63,852 | |
Amadeus IT Holding SA | 1,414,270 | 56,327 | |
* | CaixaBank SA | 6,519,821 | 34,163 |
Red Electrica Corp. SA | 360,815 | 31,806 | |
Banco de Sabadell SA | 11,670,654 | 30,880 |
19
Vanguard® Developed Markets Index Fund | |||
Schedule of Investments | |||
December 31, 2014 | |||
Market | |||
Value | |||
Shares | ($000) | ||
* | Ferrovial SA | 1,371,707 | 27,116 |
Abertis Infraestructuras SA | 1,313,793 | 26,052 | |
* | Banco Popular Espanol SA | 5,145,757 | 25,651 |
Gas Natural SDG SA | 1,019,084 | 25,600 | |
* | Bankia SA | 15,311,533 | 22,721 |
Grifols SA | 552,419 | 22,044 | |
Enagas SA | 678,533 | 21,402 | |
Endesa SA | 1,055,333 | 21,127 | |
* | ACS Actividades de Construccion y Servicios SA | 581,258 | 20,260 |
Bankinter SA | 2,287,320 | 18,376 | |
Distribuidora Internacional de Alimentacion SA | 1,971,318 | 13,358 | |
Mapfre SA | 3,378,529 | 11,419 | |
* | Mediaset Espana Comunicacion SA | 784,215 | 9,859 |
Zardoya Otis SA | 570,961 | 6,332 | |
* | Acerinox SA | 416,851 | 6,289 |
* | Acciona SA | 84,585 | 5,708 |
Corp Financiera Alba SA | 56,049 | 2,740 | |
1,455,054 | |||
Sweden (2.8%) | |||
Hennes & Mauritz AB Class B | 3,159,324 | 131,254 | |
Nordea Bank AB | 10,574,424 | 122,407 | |
Telefonaktiebolaget LM Ericsson Class B | 9,920,945 | 120,124 | |
Swedbank AB Class A | 3,477,016 | 86,268 | |
Svenska Handelsbanken AB Class A | 1,596,676 | 74,705 | |
Skandinaviska Enskilda Banken AB Class A | 4,836,514 | 61,417 | |
Atlas Copco AB Class A | 2,061,377 | 57,359 | |
Assa Abloy AB Class B | 1,039,159 | 54,885 | |
Volvo AB Class B | 5,076,472 | 54,742 | |
Investor AB Class B | 1,504,660 | 54,706 | |
TeliaSonera AB | 7,203,016 | 46,311 | |
Svenska Cellulosa AB SCA Class B | 1,928,534 | 41,577 | |
Sandvik AB | 3,583,227 | 34,840 | |
Atlas Copco AB Class B | 1,308,672 | 33,499 | |
SKF AB | 1,381,068 | 29,093 | |
Hexagon AB Class B | 843,043 | 26,008 | |
Skanska AB Class B | 1,199,293 | 25,749 | |
Investment AB Kinnevik | 679,536 | 22,098 | |
Electrolux AB Class B | 738,468 | 21,577 | |
Swedish Match AB | 663,951 | 20,805 | |
Alfa Laval AB | 1,039,016 | 19,648 | |
Boliden AB | 929,180 | 14,853 | |
Getinge AB | 606,166 | 13,804 | |
Trelleborg AB Class B | 805,258 | 13,556 | |
^ | Meda AB Class A | 909,898 | 13,048 |
Tele2 AB | 1,035,807 | 12,552 | |
Securitas AB Class B | 1,035,825 | 12,531 | |
Industrivarden AB Class A | 660,572 | 12,058 | |
Elekta AB Class B | 1,179,340 | 12,044 | |
*,^ | Lundin Petroleum AB | 715,367 | 10,237 |
Industrivarden AB | 543,717 | 9,438 | |
Husqvarna AB | 1,246,901 | 9,165 | |
Modern Times Group MTG AB Class B | 188,970 | 5,993 | |
Holmen AB | 161,108 | 5,474 | |
Ratos AB | 645,201 | 3,877 | |
Melker Schorling AB | 34,147 | 1,641 | |
1,289,343 | |||
Switzerland (8.6%) | |||
Nestle SA | 10,619,955 | 774,205 | |
Novartis AG | 7,756,107 | 719,328 | |
Roche Holding AG | 2,339,315 | 633,819 | |
* | UBS Group AG | 11,779,433 | 202,485 |
ABB Ltd. | 7,627,190 | 161,377 | |
Zurich Insurance Group AG | 490,713 | 153,349 | |
Cie Financiere Richemont SA | 1,699,179 | 150,647 |
20
Vanguard® Developed Markets Index Fund | ||
Schedule of Investments | ||
December 31, 2014 | ||
Market | ||
Value | ||
Shares | ($000) | |
Credit Suisse Group AG | 5,330,804 | 133,916 |
Syngenta AG | 305,535 | 98,278 |
Swiss Re AG | 1,138,772 | 95,397 |
Givaudan SA | 30,723 | 55,113 |
Holcim Ltd. | 756,441 | 54,074 |
Swatch Group AG (Bearer) | 100,574 | 44,681 |
Geberit AG | 125,095 | 42,320 |
Swisscom AG | 76,269 | 40,021 |
Adecco SA | 551,807 | 37,931 |
Actelion Ltd. | 321,951 | 37,063 |
SGS SA | 16,997 | 34,707 |
Julius Baer Group Ltd. | 719,886 | 32,869 |
Sonova Holding AG | 174,254 | 25,600 |
Swiss Life Holding AG | 106,549 | 25,183 |
Kuehne & Nagel International AG | 168,410 | 22,876 |
Schindler Holding AG | 146,490 | 21,148 |
^ Transocean Ltd. | 1,145,697 | 21,023 |
Sika AG | 6,976 | 20,579 |
Baloise Holding AG | 155,006 | 19,812 |
Chocoladefabriken Lindt & Sprungli AG | 339 | 19,561 |
Lonza Group AG | 173,214 | 19,502 |
Aryzta AG | 252,870 | 19,433 |
Partners Group Holding AG | 59,313 | 17,256 |
Chocoladefabriken Lindt & Sprungli AG | 3,200 | 15,822 |
* Dufry AG | 104,538 | 15,625 |
Clariant AG | 895,766 | 15,010 |
Swatch Group AG (Registered) | 157,879 | 13,626 |
Galenica AG | 17,013 | 13,565 |
Swiss Prime Site AG | 183,995 | 13,495 |
PSP Swiss Property AG | 133,510 | 11,490 |
Schindler Holding AG (Registered) | 69,561 | 9,973 |
GAM Holding AG | 553,035 | 9,942 |
EMS-Chemie Holding AG | 24,307 | 9,840 |
Sulzer AG | 74,821 | 8,004 |
Pargesa Holding SA | 98,500 | 7,601 |
Barry Callebaut AG | 6,504 | 6,668 |
DKSH Holding AG | 87,230 | 6,641 |
Banque Cantonale Vaudoise | 9,020 | 4,873 |
Aryzta AG | 26,749 | 2,048 |
3,897,776 | ||
United Kingdom (19.7%) | ||
HSBC Holdings plc | 63,513,955 | 600,193 |
Royal Dutch Shell plc Class A | 13,109,249 | 437,494 |
BP plc | 60,738,500 | 385,543 |
GlaxoSmithKline plc | 16,192,799 | 347,394 |
British American Tobacco plc | 6,208,278 | 336,433 |
Vodafone Group plc | 88,479,921 | 303,365 |
AstraZeneca plc | 4,202,975 | 296,860 |
Royal Dutch Shell plc Class B | 8,168,737 | 282,239 |
Diageo plc | 8,389,032 | 240,322 |
* Lloyds Banking Group plc | 180,022,468 | 211,754 |
Barclays plc | 54,604,087 | 205,275 |
Prudential plc | 8,498,440 | 196,480 |
Rio Tinto plc | 4,155,338 | 191,549 |
National Grid plc | 12,560,219 | 178,221 |
Reckitt Benckiser Group plc | 2,148,696 | 174,032 |
BT Group plc | 27,055,900 | 168,290 |
SABMiller plc | 3,148,578 | 164,139 |
Glencore plc | 35,545,669 | 164,073 |
Unilever plc | 4,018,128 | 163,250 |
BG Group plc | 11,331,988 | 151,642 |
BHP Billiton plc | 7,034,378 | 150,756 |
Imperial Tobacco Group plc | 3,208,470 | 141,235 |
Shire plc | 1,957,918 | 138,817 |
21
Vanguard® Developed Markets Index Fund | ||
Schedule of Investments | ||
December 31, 2014 | ||
Market | ||
Value | ||
Shares | ($000) | |
Standard Chartered plc | 6,739,723 | 100,799 |
* Compass Group plc | 5,556,000 | 94,968 |
WPP plc | 4,424,959 | 92,002 |
Rolls-Royce Holdings plc | 6,233,178 | 83,736 |
SSE plc | 3,288,328 | 83,087 |
Anglo American plc London Shares | 4,352,055 | 80,533 |
Tesco plc | 27,052,633 | 78,877 |
BAE Systems plc | 10,532,303 | 77,025 |
Legal & General Group plc | 19,775,582 | 76,357 |
Aviva plc | 9,808,508 | 73,695 |
Centrica plc | 16,553,921 | 71,702 |
ARM Holdings plc | 4,649,885 | 71,433 |
Reed Elsevier plc | 3,821,831 | 65,285 |
Associated British Foods plc | 1,160,357 | 56,729 |
Experian plc | 3,305,360 | 55,718 |
Smith & Nephew plc | 2,986,404 | 53,853 |
Next plc | 490,418 | 52,012 |
Wolseley plc | 879,809 | 50,300 |
Pearson plc | 2,708,327 | 50,018 |
Standard Life plc | 7,960,148 | 49,307 |
Sky plc | 3,492,185 | 48,738 |
Old Mutual plc | 16,277,486 | 47,973 |
Land Securities Group plc | 2,619,302 | 47,084 |
Whitbread plc | 600,462 | 44,438 |
* Royal Bank of Scotland Group plc | 7,180,356 | 43,687 |
Kingfisher plc | 7,885,821 | 41,686 |
ITV plc | 12,470,061 | 41,597 |
Marks & Spencer Group plc | 5,571,351 | 41,253 |
British Land Co. plc | 3,368,390 | 40,618 |
CRH plc | 1,583,612 | 38,079 |
Burberry Group plc | 1,475,688 | 37,441 |
Capita plc | 2,231,038 | 37,409 |
Johnson Matthey plc | 682,449 | 35,904 |
United Utilities Group plc | 2,270,404 | 32,249 |
InterContinental Hotels Group plc | 786,830 | 31,659 |
Bunzl plc | 1,103,833 | 30,176 |
Ashtead Group plc | 1,674,787 | 29,744 |
London Stock Exchange Group plc | 842,540 | 28,991 |
GKN plc | 5,422,962 | 28,865 |
Carnival plc | 607,666 | 27,465 |
Friends Life Group Ltd. | 4,533,312 | 25,746 |
* International Consolidated Airlines Group SA (London Shares) | 3,373,463 | 25,396 |
Sage Group plc | 3,478,280 | 25,122 |
Persimmon plc | 1,018,657 | 24,880 |
Severn Trent plc | 791,917 | 24,699 |
Hammerson plc | 2,611,099 | 24,453 |
Barratt Developments plc | 3,278,467 | 23,861 |
Travis Perkins plc | 822,887 | 23,686 |
Taylor Wimpey plc | 10,735,234 | 22,903 |
Direct Line Insurance Group plc | 5,004,679 | 22,639 |
* RSA Insurance Group plc | 3,345,331 | 22,586 |
3i Group plc | 3,216,146 | 22,425 |
G4S plc | 5,163,761 | 22,275 |
Smiths Group plc | 1,305,453 | 22,198 |
Aberdeen Asset Management plc | 3,275,638 | 21,888 |
Meggitt plc | 2,681,873 | 21,574 |
St. James's Place plc | 1,706,898 | 21,522 |
CRH plc | 877,245 | 21,035 |
Randgold Resources Ltd. | 305,754 | 20,758 |
WM Morrison Supermarkets plc | 7,205,759 | 20,560 |
Weir Group plc | 707,377 | 20,285 |
Mondi plc | 1,222,613 | 19,862 |
Tullow Oil plc | 3,005,127 | 19,366 |
Intertek Group plc | 535,015 | 19,363 |
22
Vanguard® Developed Markets Index Fund | |||||
Schedule of Investments | |||||
December 31, 2014 | |||||
Market | |||||
Value | |||||
Shares | ($000) | ||||
Cobham plc | 3,780,045 | 18,976 | |||
easyJet plc | 724,251 | 18,743 | |||
Aggreko plc | 799,341 | 18,641 | |||
Croda International plc | 450,563 | 18,597 | |||
Provident Financial plc | 486,732 | 18,579 | |||
J Sainsbury plc | 4,702,435 | 17,957 | |||
IMI plc | 908,815 | 17,780 | |||
Inmarsat plc | 1,422,682 | 17,641 | |||
Amec Foster Wheeler plc | 1,283,966 | 16,957 | |||
Rexam plc | 2,325,987 | 16,375 | |||
William Hill plc | 2,901,591 | 16,304 | |||
Berkeley Group Holdings plc | 417,980 | 16,071 | |||
Intu Properties plc | 3,054,377 | 15,791 | |||
Informa plc | 2,156,741 | 15,751 | |||
Schroders plc | 375,489 | 15,606 | |||
DCC plc | 279,018 | 15,361 | |||
Melrose Industries plc | 3,579,625 | 14,818 | |||
Tate & Lyle plc | 1,555,699 | 14,576 | |||
Investec plc | 1,693,667 | 14,190 | |||
Segro plc | 2,468,543 | 14,141 | |||
Babcock International Group plc | 850,385 | 13,931 | |||
Antofagasta plc | 1,179,121 | 13,739 | |||
Royal Mail plc | 2,058,932 | 13,721 | |||
Hikma Pharmaceuticals plc | 447,150 | 13,719 | |||
Admiral Group plc | 654,270 | 13,422 | |||
Coca-Cola HBC AG | 659,528 | 12,557 | |||
ICAP plc | 1,782,861 | 12,484 | |||
2 | Merlin Entertainments plc | 1,854,120 | 11,473 | ||
Rentokil Initial plc | 6,060,900 | 11,413 | |||
Hargreaves Lansdown plc | 726,238 | 11,363 | |||
Daily Mail & General Trust plc | 877,491 | 11,218 | |||
John Wood Group plc | 1,203,405 | 11,133 | |||
Drax Group plc | 1,340,704 | 9,601 | |||
Petrofac Ltd. | 860,992 | 9,380 | |||
* | Sports Direct International plc | 834,406 | 9,179 | ||
TalkTalk Telecom Group plc | 1,743,889 | 8,208 | |||
Fresnillo plc | 567,558 | 6,745 | |||
Polymetal International plc | 713,095 | 6,382 | |||
Polyus Gold International Ltd. | 2,215,791 | 6,255 | |||
Ashmore Group plc | 1,328,569 | 5,754 | |||
Serco Group plc | 2,163,825 | 5,399 | |||
* | Indivior plc | 2,148,055 | 5,002 | ||
Vedanta Resources plc | 334,857 | 2,970 | |||
8,898,833 | |||||
Total Common Stocks (Cost $42,128,146) | 44,854,981 | ||||
Coupon | |||||
Temporary Cash Investments (1.4%)1 | |||||
Money Market Fund (1.3%) | |||||
3,4 | Vanguard Market Liquidity Fund | 0.126% | 578,660,805 | 578,661 | |
Face | |||||
Maturity | Amount | ||||
Date | ($000) | ||||
U.S. Government and Agency Obligations (0.1%) | |||||
5,6 | Fannie Mae Discount Notes | 0.100% | 1/28/15 | 1,000 | 1,000 |
6,7 | Federal Home Loan Bank Discount Notes | 0.060% | 2/3/15 | 1,600 | 1,600 |
6,7 | Federal Home Loan Bank Discount Notes | 0.090% | 2/11/15 | 4,000 | 4,000 |
7 | Federal Home Loan Bank Discount Notes | 0.110% | 2/20/15 | 2,100 | 2,100 |
7,8 | Federal Home Loan Bank Discount Notes | 0.097% | 2/27/15 | 4,400 | 4,399 |
23
Vanguard® Developed Markets Index Fund | |||||
Schedule of Investments | |||||
December 31, 2014 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
7,8 | Federal Home Loan Bank Discount Notes | 0.105% | 3/6/15 | 800 | 800 |
6,7,8 | Federal Home Loan Bank Discount Notes | 0.135% | 3/20/15 | 15,000 | 14,994 |
6,7,8 | Federal Home Loan Bank Discount Notes | 0.100% | 4/24/15 | 3,200 | 3,198 |
5,8 | Freddie Mac Discount Notes | 0.131% | 6/8/15 | 1,500 | 1,499 |
33,590 | |||||
Total Temporary Cash Investments (Cost $612,253) | 612,251 | ||||
Total Investments (100.6%) (Cost $42,740,399) | 45,467,232 | ||||
Other Assets and Liabilities—Net (-0.6%)4,9 | (252,284) | ||||
Net Assets (100%) | 45,214,948 |
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $284,092,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 99.8% and 0.8%, respectively, of net assets.
2 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 December 31, 2014, the aggregate value of these securities was $20,042,000.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
4 Includes $302,416,000 of collateral received for securities on loan.
5 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
6 Securities with a value of $13,346,000 have been segregated as initial margin for open futures contracts.
7 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
8 Securities with a value of $3,898,000 have been segregated as collateral for open forward currency contracts.
9 Cash of $500,000 has been segregated as collateral for open forward currency contracts.
ADR—American Depositary Receipt.
GDR—Global Depositary Receipt.
REIT—Real Estate Investment Trust.
24
© 2015 The Vanguard Group. Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA1270_022015
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Vanguard Tax-Managed Funds and the Shareholders of Vanguard Developed Markets Index Fund:
In our opinion, the accompanying statement of net assets – investments summary and the related statements of operations and of changes in net assets and the financial highlights (included in Item 1 of this Form N-CSR) and the schedule of investments (included in Item 6 of this Form N-CSR) present fairly, in all material respects, the financial position of Vanguard Developed Markets Index Fund (the "Fund") at December 31, 2014, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements, financial highlights, and schedule of investments (hereafter referred to as "financial statements") are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2014 by correspondence with the custodian and brokers, by agreement to the underlying ownership records of the transfer agent and the application of alternative auditing procedures where securities purchased had not been received, provide a reasonable basis for our opinion.
February 18, 2015
PricewaterhouseCoopers LLP, Two Commerce Square, 2001 Market Street, Suite 1700, Philadelphia, PA 19103-7042
T: (267) 330-3000, F: (267) 330-3300, www.pwc.com/us
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) Code of Ethics.
(b) Certifications.
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
VANGUARD TAX-MANAGED FUNDS | |
BY: | /s/ F. WILLIAM MCNABB III* |
F. WILLIAM MCNABB III | |
CHIEF EXECUTIVE OFFICER | |
Date: February 18, 2015 |
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: February 18, 2015
| |
VANGUARD TAX-MANAGED FUNDS | |
BY: | /s/ THOMAS J. HIGGINS* |
THOMAS J. HIGGINS | |
CHIEF FINANCIAL OFFICER | |
Date: February 18, 2015 |
* By: /s/ Heidi Stam
Heidi Stam, pursuant to a Power of Attorney filed on April 22, 2014 see file Number
2-17620, Incorporated by Reference.